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
Atlanta, Georgia 30326
(Address of principal executive offices) (Zip code)
Adam Langley, President
3344 Peachtree Rd. NE, Suite 1725
Atlanta, Georgia 30326
(Name and address of agent for service)
Copy to:
Stephen T. Cohen
Matthew E. Barsamian
Dechert LLP
1900 K Street NW
Washington, DC 20006
404-953-4900
Registrant’s telephone number, including area code
Date of fiscal year end: January 31
Date of reporting period: July 31, 2024
Item 1. Reports to Stockholders.
| | |
| Angel Oak Multi-Strategy Income Fund | |
| Class A | ANGLX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak Multi-Strategy Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class A | $90 | 1.76%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund’s Class A Shares returned 4.76% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Aggregate Bond Index, the Fund’s benchmark, by 287 basis points, as the benchmark returned 1.89% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund’s outperformance during the period was primarily due to a rate duration shorter than the benchmark’s, higher current income relative to the benchmark, and relative spread outperformance in the credit allocation, particularly the non-agency residential mortgage-backed securities (RMBS) allocation.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund’s allocation to non-agency RMBS was reduced to take gains on sectors that have experienced spread compression. The Fund’s allocation to agency RMBS was increased to boost the portfolio’s credit quality and position it in light of our view that agency RMBS spreads will tighten.
| |
Top Contributors |
| ↑ | Interest rate duration positioning; non-agency RMBS |
| |
Top Detractors |
| ↓ | Agency RMBS |
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
| Angel Oak Multi-Strategy Income Fund | PAGE 1 | TSR_SAR_03463K307 |
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | 10 Year |
Class A (without sales charge) | 8.60 | -0.01 | 1.75 |
Class A (with sales charge) | 6.21 | -0.47 | 1.52 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | 0.19 | 1.61 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $2,647,946,931 |
Number of Holdings | 1,035 |
Portfolio Turnover | 22% |
Average Credit Quality | A |
Effective Duration | 3.89 years |
30-Day SEC Yield | 6.43% |
30-Day SEC Yield Unsubsidized | 6.38% |
Weighted Average Life | 5.77 years |
Distribution Yield | 5.97% |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Residential Mortgage-Backed Securities | 53.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 17.3% |
Asset-Backed Securities | 12.8% |
Collateralized Loan Obligations | 8.6% |
Corporate Obligations | 4.7% |
Commercial Mortgage-Backed Securities | 4.3% |
Affiliated Exchange Traded Funds | 2.5% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 1.9% |
Money Market Funds | 1.0% |
Cash & Other | -7.0% |
Top 10 Issuers (% of net assets)
| |
Government National Mortgage Association | 11.4% |
GS Mortgage-Backed Securities Trust | 6.5% |
JP Morgan Mortgage Trust | 4.9% |
Federal Home Loan Mortgage Corp. | 4.8% |
Saluda Grade Mortgage Funding LLC | 3.9% |
Federal National Mortgage Association | 3.6% |
Lake Summit Mortgage Trust | 3.4% |
Credit Suisse Mortgage Capital Certificates | 2.0% |
Downey Savings & Loan Association Mortgage Loan Trust | 1.9% |
Upstart Securitization Trust | 1.8% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 25.7% |
AA | 6.1% |
A | 5.6% |
BBB | 10.9% |
BB | 15.4% |
B | 5.8% |
CCC | 3.6% |
CC | 1.0% |
C | 0.1% |
NR | 25.8% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| Angel Oak Multi-Strategy Income Fund | PAGE 2 | TSR_SAR_03463K307 |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak Multi-Strategy Income Fund | PAGE 3 | TSR_SAR_03463K307 |
9777101421009010814111811163411152119501124710708116291000010282108931083710750116191279512705115471115811727
| | |
| Angel Oak Multi-Strategy Income Fund | |
| Class C | ANGCX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak Multi-Strategy Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class C | $128 | 2.51%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund’s Class C Shares returned 4.42% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Aggregate Bond Index, the Fund’s benchmark, by 253 basis points, as the benchmark returned 1.89% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund’s outperformance during the period was primarily due to a rate duration shorter than the benchmark’s, higher current income relative to the benchmark, and relative spread outperformance in the credit allocation, particularly the non-agency residential mortgage-backed securities (RMBS) allocation.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund’s allocation to non-agency RMBS was reduced to take gains on sectors that have experienced spread compression. The Fund’s allocation to agency RMBS was increased to boost the portfolio’s credit quality and position it in light of our view that agency RMBS spreads will tighten.
| |
Top Contributors |
| ↑ | Interest rate duration positioning; non-agency RMBS |
| |
Top Detractors |
| ↓ | Agency RMBS |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
| Angel Oak Multi-Strategy Income Fund | PAGE 1 | TSR_SAR_03463K505 |
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | Since Inception
(08/04/2015) |
Class C (without sales charge) | 7.76 | -0.76 | 0.77 |
Class C (with sales charge) | 6.76 | -0.76 | 0.77 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | 0.19 | 1.48 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $2,647,946,931 |
Number of Holdings | 1,035 |
Portfolio Turnover | 22% |
Average Credit Quality | A |
Effective Duration | 3.89 years |
30-Day SEC Yield | 5.83% |
30-Day SEC Yield Unsubsidized | 5.78% |
Weighted Average Life | 5.77 years |
Distribution Yield | 5.27% |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Residential Mortgage-Backed Securities | 53.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 17.3% |
Asset-Backed Securities | 12.8% |
Collateralized Loan Obligations | 8.6% |
Corporate Obligations | 4.7% |
Commercial Mortgage-Backed Securities | 4.3% |
Affiliated Exchange Traded Funds | 2.5% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 1.9% |
Money Market Funds | 1.0% |
Cash & Other | -7.0% |
Top 10 Issuers (% of net assets)
| |
Government National Mortgage Association | 11.4% |
GS Mortgage-Backed Securities Trust | 6.5% |
JP Morgan Mortgage Trust | 4.9% |
Federal Home Loan Mortgage Corp. | 4.8% |
Saluda Grade Mortgage Funding LLC | 3.9% |
Federal National Mortgage Association | 3.6% |
Lake Summit Mortgage Trust | 3.4% |
Credit Suisse Mortgage Capital Certificates | 2.0% |
Downey Savings & Loan Association Mortgage Loan Trust | 1.9% |
Upstart Securitization Trust | 1.8% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 25.7% |
AA | 6.1% |
A | 5.6% |
BBB | 10.9% |
BB | 15.4% |
B | 5.8% |
CCC | 3.6% |
CC | 1.0% |
C | 0.1% |
NR | 25.8% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| Angel Oak Multi-Strategy Income Fund | PAGE 2 | TSR_SAR_03463K505 |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak Multi-Strategy Income Fund | PAGE 3 | TSR_SAR_03463K505 |
9871104991078511134105891127010522994710718106011054610462113071245112364112371085811412
| | |
| Angel Oak Multi-Strategy Income Fund | |
| Institutional Class | ANGIX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak Multi-Strategy Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Institutional Class | $77 | 1.51%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund’s Institutional Class Shares returned 5.02% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Aggregate Bond Index, the Fund’s benchmark, by 313 basis points, as the benchmark returned 1.89% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund’s outperformance during the period was primarily due to a rate duration shorter than the benchmark’s, higher current income relative to the benchmark, and relative spread outperformance in the credit allocation, particularly the non-agency residential mortgage-backed securities (RMBS) allocation.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund’s allocation to non-agency RMBS was reduced to take gains on sectors that have experienced spread compression. The Fund’s allocation to agency RMBS was increased to boost the portfolio’s credit quality and position it in light of our view that agency RMBS spreads will tighten.
| |
Top Contributors |
| ↑ | Interest rate duration positioning; non-agency RMBS |
| |
Top Detractors |
| ↓ | Agency RMBS |
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?* (as of July 31, 2024)
The $500,000 chart reflects a hypothetical $500,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $500,000)
| Angel Oak Multi-Strategy Income Fund | PAGE 1 | TSR_SAR_03463K406 |
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | 10 Year |
Institutional Class | 8.90 | 0.25 | 2.01 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | 0.19 | 1.61 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $2,647,946,931 |
Number of Holdings | 1,035 |
Portfolio Turnover | 22% |
Average Credit Quality | A |
Effective Duration | 3.89 years |
30-Day SEC Yield | 6.83% |
30-Day SEC Yield Unsubsidized | 6.78% |
Weighted Average Life | 5.77 years |
Distribution Yield | 6.24% |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Residential Mortgage-Backed Securities | 53.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 17.3% |
Asset-Backed Securities | 12.8% |
Collateralized Loan Obligations | 8.6% |
Corporate Obligations | 4.7% |
Commercial Mortgage-Backed Securities | 4.3% |
Affiliated Exchange Traded Funds | 2.5% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 1.9% |
Money Market Funds | 1.0% |
Cash & Other | -7.0% |
Top 10 Issuers (% of net assets)
| |
Government National Mortgage Association | 11.4% |
GS Mortgage-Backed Securities Trust | 6.5% |
JP Morgan Mortgage Trust | 4.9% |
Federal Home Loan Mortgage Corp. | 4.8% |
Saluda Grade Mortgage Funding LLC | 3.9% |
Federal National Mortgage Association | 3.6% |
Lake Summit Mortgage Trust | 3.4% |
Credit Suisse Mortgage Capital Certificates | 2.0% |
Downey Savings & Loan Association Mortgage Loan Trust | 1.9% |
Upstart Securitization Trust | 1.8% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 25.7% |
AA | 6.1% |
A | 5.6% |
BBB | 10.9% |
BB | 15.4% |
B | 5.8% |
CCC | 3.6% |
CC | 1.0% |
C | 0.1% |
NR | 25.8% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
| Angel Oak Multi-Strategy Income Fund | PAGE 2 | TSR_SAR_03463K406 |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak Multi-Strategy Income Fund | PAGE 3 | TSR_SAR_03463K406 |
500000520021518637557111578413602829578667622319587184560442610302500000514120544634541830537495580929639726635237577326557882586340
| | |
| Angel Oak UltraShort Income Fund | |
| Class A | AOUAX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak UltraShort Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class A | $30 | 0.60%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund’s Class A Shares returned 3.40% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg Short Treasury: 9-12 Months Index and the Bloomberg Short-Term Government/Corporate Index, the Fund’s performance benchmarks, by 99 basis points (bps) and 79 bps, respectively, as the performance benchmarks returned 2.41% and 2.61%, respectively.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund outperformed the performance benchmarks during the period, driven primarily by the higher allocation to investment-grade asset-backed securities (ABS), non-agency residential mortgage-backed securities (RMBS), and collateralized loan obligations (CLOs). Higher income relative to the performance benchmarks and the short duration of the Fund allowed it to better weather the volatility that occurred during the period. The higher yield and tighter spreads in RMBS, ABS, and CLOs contributed to relative performance versus the performance benchmarks.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained an overweight position to securitized credit. Within securitized credit, the Fund had higher allocations to investment-grade ABS, non-agency RMBS, and CLOs, which had strong performance.
| |
Top Contributors |
| ↑ | High income relative to performance benchmarks; short duration; investment-grade securitized credit |
| |
Top Detractors |
| ↓ | Investment-grade corporate bonds |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
| Angel Oak UltraShort Income Fund | PAGE 1 | TSR_SAR_03463K844 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | Since Inception
(04/30/2018) |
Class A | 7.24 | 2.14 | 2.39 |
Bloomberg U.S. Aggregate Bond Index** | 5.10 | 0.19 | 1.50 |
Bloomberg Short Treasury: 9-12 Months | 5.48 | 2.02 | 2.15 |
Bloomberg Short Term Government/Corporate Index | 5.59 | 2.25 | 2.31 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
| ** | In accordance with new regulatory requirements, the Fund’s regulatory index has changed to the Bloomberg U.S. Aggregate Bond Index. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $430,124,946 |
Number of Holdings | 372 |
Portfolio Turnover | 42% |
Average Credit Quality | AA |
Effective Duration | 0.82 years |
30-Day SEC Yield | 4.83% |
30-Day SEC Yield Unsubsidized | 4.59% |
Weighted Average Life | 1.53 years |
Distribution Yield | 5.11% |
| Angel Oak UltraShort Income Fund | PAGE 2 | TSR_SAR_03463K844 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Asset-Backed Securities | 44.5% |
Residential Mortgage-Backed Securities | 18.7% |
Collateralized Loan Obligations | 12.7% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 10.7% |
Corporate Obligations | 5.4% |
Money Market Funds | 3.5% |
Commercial Mortgage-Backed Securities | 2.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 1.3% |
U.S. Treasury Bills | 1.2% |
Cash & Other | -0.9% |
Top 10 Issuers (% of net assets)
| |
Federal Home Loan Mortgage Corp. | 11.5% |
Pagaya AI Debt Selection Trust | 9.8% |
First American Government Obligations Fund | 3.5% |
American Credit Acceptance Receivables Trust | 2.3% |
GS Mortgage-Backed Securities Trust | 2.0% |
Marlette Funding Trust | 1.8% |
Verus Securitization Trust | 1.8% |
GLS Auto Receivables Trust | 1.7% |
CPS Auto Trust | 1.7% |
Pretium Mortgage Credit Partners LLC | 1.6% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 47.2% |
AA | 10.1% |
A | 19.2% |
BBB | 15.6% |
BB | 2.2% |
B | 0.6% |
NR | 5.0% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak UltraShort Income Fund | PAGE 3 | TSR_SAR_03463K844 |
10070104271061110810105741081111594100611087411975118911080710443109761005010333106131063310536108261142010053103221055110574105491092711538
| | |
| Angel Oak UltraShort Income Fund | |
| Class A1 | AOUNX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak UltraShort Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class A1 | $30 | 0.60%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund returned 3.41% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg Short Treasury: 9-12 Months Index and the Bloomberg Short-Term Government/Corporate Index, the Fund’s performance benchmarks, by 100 basis points (bps) and 80 bps, respectively, as the performance benchmarks returned 2.41% and 2.61%, respectively.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund outperformed the performance benchmarks during the period, driven primarily by the higher allocation to investment-grade asset-backed securities (ABS), non-agency residential mortgage-backed securities (RMBS), and collateralized loan obligations (CLOs). Higher income relative to the performance benchmarks and the short duration of the Fund allowed it to better weather the volatility that occurred during the period. The higher yield and tighter spreads in RMBS, ABS, and CLOs contributed to relative performance versus the performance benchmarks.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained an overweight position to securitized credit. Within securitized credit, the Fund had higher allocations to investment-grade ABS, non-agency RMBS, and CLOs, which had strong performance.
| |
Top Contributors |
| ↑ | High income relative to performance benchmarks; short duration; investment-grade securitized credit |
| |
Top Detractors |
| ↓ | Investment-grade corporate bonds |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
| Angel Oak UltraShort Income Fund | PAGE 1 | TSR_SAR_03463K778 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(07/22/2022) |
Class A1 (without sales charge) | 7.26 | 4.64 |
Class A1 (with sales charge) | 5.11 | 3.85 |
Bloomberg U.S. Aggregate Bond Index** | 5.10 | 1.09 |
Bloomberg Short Treasury: 9-12 Months | 5.48 | 4.11 |
Bloomberg Short Term Government/Corporate Index | 5.59 | 4.56 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
| ** | In accordance with new regulatory requirements, the Fund’s regulatory index has changed to the Bloomberg U.S. Aggregate Bond Index. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $430,124,946 |
Number of Holdings | 372 |
Portfolio Turnover | 42% |
Average Credit Quality | AA |
Effective Duration | 0.82 years |
30-Day SEC Yield | 4.87% |
30-Day SEC Yield Unsubsidized | 4.62% |
Weighted Average Life | 1.53 years |
Distribution Yield | 5.13% |
| Angel Oak UltraShort Income Fund | PAGE 2 | TSR_SAR_03463K778 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Asset-Backed Securities | 44.5% |
Residential Mortgage-Backed Securities | 18.7% |
Collateralized Loan Obligations | 12.7% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 10.7% |
Corporate Obligations | 5.4% |
Money Market Funds | 3.5% |
Commercial Mortgage-Backed Securities | 2.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 1.3% |
U.S. Treasury Bills | 1.2% |
Cash & Other | -0.9% |
Top 10 Issuers (% of net assets)
| |
Federal Home Loan Mortgage Corp. | 11.5% |
Pagaya AI Debt Selection Trust | 9.8% |
First American Government Obligations Fund | 3.5% |
American Credit Acceptance Receivables Trust | 2.3% |
GS Mortgage-Backed Securities Trust | 2.0% |
Marlette Funding Trust | 1.8% |
Verus Securitization Trust | 1.8% |
GLS Auto Receivables Trust | 1.7% |
CPS Auto Trust | 1.7% |
Pretium Mortgage Credit Partners LLC | 1.6% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 47.2% |
AA | 10.1% |
A | 19.2% |
BBB | 15.6% |
BB | 2.2% |
B | 0.6% |
NR | 5.0% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak UltraShort Income Fund | PAGE 3 | TSR_SAR_03463K778 |
9851100661079610064972510221100091028510849100081036610946
| | |
| Angel Oak UltraShort Income Fund | |
| Institutional Class | AOUIX |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak UltraShort Income Fund (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Institutional Class | $18 | 0.35%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund’s Institutional Class Shares returned 3.64% for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg Short Treasury: 9-12 Months Index and the Bloomberg Short-Term Government/Corporate Index, the Fund’s performance benchmarks, by 123 basis points (bps) and 103 bps, respectively, as the performance benchmarks returned 2.41% and 2.61%, respectively.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund outperformed the performance benchmarks during the period, driven primarily by the higher allocation to investment-grade asset-backed securities (ABS), non-agency residential mortgage-backed securities (RMBS), and collateralized loan obligations (CLOs). Higher income relative to the performance benchmarks and the short duration of the Fund allowed it to better weather the volatility that occurred during the period. The higher yield and tighter spreads in RMBS, ABS, and CLOs contributed to relative performance versus the performance benchmarks.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained an overweight position to securitized credit. Within securitized credit, the Fund had higher allocations to investment-grade ABS, non-agency RMBS, and CLOs, which had strong performance.
| |
Top Contributors |
| ↑ | High income relative to performance benchmarks; short duration; investment-grade securitized credit |
| |
Top Detractors |
| ↓ | Investment-grade corporate bonds |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $500,000 chart reflects a hypothetical $500,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
| Angel Oak UltraShort Income Fund | PAGE 1 | TSR_SAR_03463K828 |
CUMULATIVE PERFORMANCE (Initial Investment of $500,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | Since Inception
(04/02/2018) |
Institutional Class | 7.51 | 2.40 | 2.67 |
Bloomberg U.S. Aggregate Bond Index** | 5.10 | 0.19 | 1.35 |
Bloomberg Short Treasury: 9-12 Months | 5.48 | 2.02 | 2.13 |
Bloomberg Short Term Government/Corporate Index | 5.59 | 2.25 | 2.31 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
| ** | In accordance with new regulatory requirements, the Fund’s regulatory index has changed to the Bloomberg U.S. Aggregate Bond Index. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $430,124,946 |
Number of Holdings | 372 |
Portfolio Turnover | 42% |
Average Credit Quality | AA |
Effective Duration | 0.82 years |
30-Day SEC Yield | 5.19% |
30-Day SEC Yield Unsubsidized | 4.94% |
Weighted Average Life | 1.53 years |
Distribution Yield | 5.37% |
| Angel Oak UltraShort Income Fund | PAGE 2 | TSR_SAR_03463K828 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Asset-Backed Securities | 44.5% |
Residential Mortgage-Backed Securities | 18.7% |
Collateralized Loan Obligations | 12.7% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 10.7% |
Corporate Obligations | 5.4% |
Money Market Funds | 3.5% |
Commercial Mortgage-Backed Securities | 2.9% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 1.3% |
U.S. Treasury Bills | 1.2% |
Cash & Other | -0.9% |
Top 10 Issuers (% of net assets)
| |
Federal Home Loan Mortgage Corp. | 11.5% |
Pagaya AI Debt Selection Trust | 9.8% |
First American Government Obligations Fund | 3.5% |
American Credit Acceptance Receivables Trust | 2.3% |
GS Mortgage-Backed Securities Trust | 2.0% |
Marlette Funding Trust | 1.8% |
Verus Securitization Trust | 1.8% |
GLS Auto Receivables Trust | 1.7% |
CPS Auto Trust | 1.7% |
Pretium Mortgage Credit Partners LLC | 1.6% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 47.2% |
AA | 10.1% |
A | 19.2% |
BBB | 15.6% |
BB | 2.2% |
B | 0.6% |
NR | 5.0% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak UltraShort Income Fund | PAGE 3 | TSR_SAR_03463K828 |
505171524431535482546894535782549314590578499060539388593981589813536043517990544413502847517013531021532028527167541705571399503352516812528244529392528172547100577684
| | |
| Angel Oak High Yield Opportunities ETF | |
| AOHY (Principal U.S. Listing Exchange: NYSEArca) |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak High Yield Opportunities ETF (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Angel Oak High Yield Opportunities ETF | $28 | 0.55%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund returned 4.86% based on market price and 4.57% based on net asset value (NAV) for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Corporate High Yield Index, the Fund’s performance benchmark, by 28 basis points (bps) based on market price and underperformed its performance benchmark by 1 bp based on NAV, as the performance benchmark returned 4.58% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The outperformance of high yield securitized credit relative to the Fund’s performance benchmark underpinned performance. Securitized credit is an out-of-index allocation, and the non-agency residential mortgage-backed securities (RMBS) and asset-backed securities (ABS) allocations outperformed the index by more than 120 bps and 370 bps, respectively. The high yield corporate bond allocation underperformed the Fund’s performance benchmark, reflecting its relatively conservative positioning in a period of tight credit spread valuations and softening economic activity at the margin.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained an out-of-index exposure to securitized credit, specifically high yield non-agency RMBS and ABS, which we believe remain undervalued relative to high yield corporate credit.
| |
Top Contributors |
| ↑ | Overweight to high yield securitized credit |
| |
Top Detractors |
| ↓ | Underweight to higher risk, higher potential return CCC and below-rated issuers in a period of outperformance; select holdings in media issuers |
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
| Angel Oak High Yield Opportunities ETF | PAGE 1 | TSR_SAR_03463K745 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | 10 Year |
Angel Oak High Yield Opportunities ETF NAV | 10.77 | 4.81 | 5.03 |
Angel Oak High Yield Opportunities ETF Market | 11.08 | 4.86 | 5.06 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | 0.19 | 1.61 |
Bloomberg U.S. Corporate High Yield Index | 11.05 | 4.20 | 4.65 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $86,539,640 |
Number of Holdings | 201 |
Portfolio Turnover | 20% |
Average Credit Quality | BB |
Effective Duration | 3.07 years |
30-Day SEC Yield | 6.95% |
30-Day SEC Yield Unsubsidized | 6.95% |
Weighted Average Life | 4.35 years |
Distribution Yield | 6.87% |
| Angel Oak High Yield Opportunities ETF | PAGE 2 | TSR_SAR_03463K745 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Sectors (% of net assets)
| |
Mortgage Securities | 14.8% |
Energy | 14.6% |
Financial | 11.6% |
Industrial | 10.7% |
Asset Backed Securities | 10.3% |
Consumer, Cyclical | 9.9% |
Consumer, Non-cyclical | 7.4% |
Basic Materials | 5.8% |
Communications | 5.5% |
Cash & Other | 9.4% |
Top 10 Issuers (% of net assets)
| |
First American Government Obligations Fund | 4.0% |
COLT Funding LLC | 3.5% |
iShares Broad USD High Yield Corporate Bond ETF | 2.9% |
Radnor RE Ltd. | 1.8% |
Verus Securitization Trust | 1.7% |
Antero Midstream Partners LP / Antero Midstream Finance Corp. | 1.6% |
PRPM LLC | 1.5% |
JP Morgan Mortgage Trust | 1.4% |
Progress Residential Trust | 1.3% |
Warrior Met Coal, Inc. | 1.2% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 3.4% |
AA | 1.4% |
A | 1.0% |
BBB | 4.8% |
BB | 56.4% |
B | 22.3% |
CCC | 3.2% |
NR | 7.5% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
Changes to the Fund’s Principal Investment Strategy.
Effective May 30, 2024, the Fund’s minimum investment, under normal circumstances, in structured products has been reduced from 20% to 5%.
Other Material Fund Changes.
Effective as of the close of business on February 16, 2024, the Angel Oak High Yield Opportunities Fund (the Predecessor Fund) was reorganized into the Fund, and the Predecessor Fund’s performance (Institutional Class shares) and financial history were adopted by the Fund.
This is a summary of certain changes to the Fund since February 1, 2024. For more complete information, you may review the Fund’s current prospectus, dated May 30, 2024, as supplemented to date, which is available at https://angeloakcapital.com/resources/ or upon request at 1-855-751-4324.
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak High Yield Opportunities ETF | PAGE 3 | TSR_SAR_03463K745 |
1000010001105971177812158129181320614689138291474816337100001000110597117781215812918132061468913829147481638110000102821089310837107501161912795127051154711158117271000010036105361168911993128221335314771135871418515753
| | |
| Angel Oak Mortgage-Backed Securities ETF | |
| MBS (Principal U.S. Listing Exchange: NYSEArca) |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak Mortgage-Backed Securities ETF (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Angel Oak Mortgage-Backed Securities ETF | $25 | 0.49%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund returned 3.61% based on market price and 3.64% based on net asset value (NAV) for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Mortgage-Backed Securities Index, the Fund’s performance benchmark, by 150 basis points (bps) based on market price and 153 bps based on NAV, as the performance benchmark returned 2.11% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund outperformed the performance benchmark during the period, driven primarily by the higher allocation to non-agency residential mortgage-backed securities (RMBS). Higher current income relative to the performance benchmark allowed the Fund to better weather the volatility occurring during the period. The higher yield and tighter spreads in RMBS contributed to relative performance versus the performance benchmark.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained a higher allocation than the performance benchmark to non-agency RMBS. The Fund was positioned to limit cash exposure because of large shareholder inflows relative to Fund size. Within non-agency RMBS, the Fund had higher allocations to non-qualified mortgage (non-QM) and prime jumbo subsectors, which had strong performance.
| |
Top Contributors |
| ↑ | Investment-grade non-agency RMBS; non-QM subsector; underweight to agency RMBS |
| |
Top Detractors |
| ↓ | Higher-coupon agency RMBS |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
| Angel Oak Mortgage-Backed Securities ETF | PAGE 1 | TSR_SAR_03463K737 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(06/04/2021) |
Angel Oak Mortgage-Backed Securities ETF NAV | 7.67 | -1.31 |
Angel Oak Mortgage-Backed Securities ETF Market | 7.63 | -1.32 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | -1.98 |
Bloomberg U.S. Mortgage-Backed Securities Index | 4.89 | -1.99 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $69,171,792 |
Number of Holdings | 99 |
Portfolio Turnover | 86% |
Average Credit Quality | AA |
Effective Duration | 6.02 years |
30-Day SEC Yield | 4.77% |
30-Day SEC Yield Unsubsidized | 4.47% |
Weighted Average Life | 5.77 years |
Distribution Yield | 5.61% |
| Angel Oak Mortgage-Backed Securities ETF | PAGE 2 | TSR_SAR_03463K737 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Residential Mortgage-Backed Securities | 61.6% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 32.3% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 6.9% |
Money Market Funds | 1.9% |
Asset-Backed Securities | 1.8% |
Corporate Obligations | 0.6% |
Futures | 0.4% |
Commercial Mortgage-Backed Securities | 0.3% |
Cash & Other | -5.8% |
Top 10 Issuers (% of net assets)
| |
Federal Home Loan Mortgage Corp. | 20.6% |
Federal National Mortgage Association | 16.8% |
JP Morgan Mortgage Trust | 7.6% |
Verus Securitization Trust | 7.5% |
COLT Funding LLC | 6.1% |
PRPM LLC | 5.8% |
SGR Residential Mortgage Trust | 3.6% |
Onslow Bay Mortgage Loan Trust | 2.8% |
Mello Mortgage Capital Acceptance | 2.6% |
JP Morgan Wealth Management | 2.5% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 69.7% |
AA | 6.6% |
A | 3.5% |
BBB | 6.0% |
BB | 8.5% |
B | 0.3% |
NR | 5.4% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
Effective as of the close of business on February 16, 2024, the Angel Oak Total Return Bond Fund (the Predecessor Fund) was reorganized into the Fund, and the Predecessor Fund’s performance (Institutional Class shares) and financial history were adopted by the Fund.
This is a summary of certain changes to the Fund since February 1, 2024. For more complete information, you may review the Fund’s current prospectus, dated May 30, 2024, as supplemented to date, which is available at https://angeloakcapital.com/resources/ or upon request at 1-855-751-4324.
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak Mortgage-Backed Securities ETF | PAGE 3 | TSR_SAR_03463K737 |
10112940089089591101129400890895881017092438932938710057938589479384
| | |
| Angel Oak UltraShort Income ETF | |
| UYLD (Principal U.S. Listing Exchange: NYSEArca) |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak UltraShort Income ETF (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Angel Oak UltraShort Income ETF | $15 | 0.29%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund returned 3.40% based on market price and 3.29% based on net asset value (NAV) for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Treasury Bills Index, one of the Fund’s performance benchmarks, by 74 basis points (bps) based on market value and 63 bps based on NAV, as the performance benchmark returned 2.66% over the same period. The Fund outperformed the Bloomberg Short-Term Government/Corporate Index, the Fund’s other performance benchmark, by 79 bps based on market value and 68 bps based on NAV, as the performance benchmark returned 2.61% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund outperformed the performance benchmarks during the period, driven primarily by the higher allocation to investment-grade asset-backed securities (ABS), non-agency residential mortgage-backed securities (RMBS), and collateralized loan obligations (CLOs). Higher income relative to the performance benchmarks and the short duration of the Fund allowed it to better weather the volatility occurring during the period. The higher yield and tighter spreads in RMBS, ABS, and CLOs contributed to relative performance versus the performance benchmarks.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund maintained an overweight position to securitized credit. Within securitized credit, the Fund had higher allocations to investment-grade ABS, non-agency RMBS, and CLOs, which had strong performance.
| |
Top Contributors |
| ↑ | High income relative to performance benchmarks; short duration; investment-grade securitized credit |
| |
Top Detractors |
| ↓ | Investment-grade corporate bonds |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
| Angel Oak UltraShort Income ETF | PAGE 1 | TSR_SAR_03463K752 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(10/24/2022) |
Angel Oak UltraShort Income ETF NAV | 7.36 | 6.85 |
Angel Oak UltraShort Income ETF Market | 7.49 | 6.93 |
Bloomberg U.S. Aggregate Bond Index** | 5.10 | 6.70 |
Bloomberg Short Term Government/Corporate Index | 5.59 | 5.14 |
Bloomberg U.S. Treasury Bills | 5.50 | 5.10 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
| ** | In accordance with new regulatory requirements, the Fund’s regulatory index has changed to the Bloomberg U.S. Aggregate Bond Index. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $480,804,575 |
Number of Holdings | 375 |
Portfolio Turnover | 53% |
Average Credit Quality | A |
Effective Duration | 0.84 years |
30-Day SEC Yield | 5.79% |
30-Day SEC Yield Unsubsidized | 5.53% |
Weighted Average Life | 1.25 years |
Distribution Yield | 6.37% |
| Angel Oak UltraShort Income ETF | PAGE 2 | TSR_SAR_03463K752 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Asset-Backed Securities | 41.9% |
Collateralized Loan Obligations | 13.6% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 11.6% |
Corporate Obligations | 10.9% |
Residential Mortgage-Backed Securities | 10.6% |
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer | 4.9% |
Money Market Funds | 4.4% |
Commercial Mortgage-Backed Securities | 1.6% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 1.2% |
Cash & Other | -0.7% |
Top 10 Issuers (% of net assets)
| |
Federal Home Loan Mortgage Corp. | 14.9% |
Pagaya AI Debt Selection Trust | 10.6% |
First American Government Obligations Fund | 4.4% |
Marlette Funding Trust | 3.4% |
Exeter Automobile Receivables Trust | 3.2% |
PRPM LLC | 2.4% |
American Credit Acceptance Receivables Trust | 1.7% |
CPS Auto Trust | 1.7% |
Westlake Automobile Receivables Trust | 1.7% |
Prosper Marketplace Issuance Trust | 1.7% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 42.0% |
AA | 10.4% |
A | 21.7% |
BBB | 21.2% |
BB | 1.5% |
B | 0.5% |
NR | 2.8% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak UltraShort Income ETF | PAGE 3 | TSR_SAR_03463K752 |
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| | |
| Angel Oak Income ETF | |
| CARY (Principal U.S. Listing Exchange: NYSEArca) |
| Semi-Annual Shareholder Report | July 31, 2024 |
This semi-annual shareholder report contains important information about the Angel Oak Income ETF (the Fund) for the period of February 1, 2024, to July 31, 2024. You can find additional information about the Fund at https://angeloakcapital.com/resources/. You can also request this information by contacting us at 1-855-751-4324.
WHAT WERE THE FUND COSTS FOR THE LAST SIX MONTHS? (based on a hypothetical $10,000 investment)
| | |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Angel Oak Income ETF | $40 | 0.79%* |
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Fund returned 4.90% based on market price and 4.34% based on net asset value (NAV) for the six-month period ending July 31, 2024. The Fund outperformed the Bloomberg U.S. Aggregate Bond Index, the Fund’s benchmark, by 301 basis points (bps) based on market value and 245 bps based on NAV, as the benchmark returned 1.89% over the same period.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund’s outperformance was primarily due to a rate duration shorter than the benchmark’s, higher current income relative to the benchmark, and relative spread outperformance in the credit allocation, particularly the non-agency residential mortgage-backed securities (RMBS) allocation.
HOW WAS THE FUND POSITIONED DURING THE PERIOD?
The Fund’s allocations to non-agency RMBS and asset-backed securities (ABS) were reduced to take gains on sectors that have experienced spread compression. Additionally, the Fund’s allocation to commercial mortgage-backed securities was increased to take advantage of what we believe is attractive relative value.
| |
Top Contributors |
| ↑ | Interest rate duration positioning; non-agency RMBS; ABS |
| |
Top Detractors |
| ↓ | Agency RMBS |
HOW DID THE FUND PERFORM SINCE INCEPTION?* (as of July 31, 2024)
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
| Angel Oak Income ETF | PAGE 1 | TSR_SAR_03463K760 |
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(11/07/2022) |
Angel Oak Income ETF NAV | 9.88 | 8.61 |
Angel Oak Income ETF Market | 10.18 | 8.80 |
Bloomberg U.S. Aggregate Bond Index | 5.10 | 6.44 |
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Visit https://angeloakcapital.com/resources/ for more recent performance information. |
KEY FUND STATISTICS (as of July 31, 2024)
| |
Net Assets | $212,936,133 |
Number of Holdings | 392 |
Portfolio Turnover | 55% |
Average Credit Quality | A |
Effective Duration | 3.89 years |
30-Day SEC Yield | 6.44% |
30-Day SEC Yield Unsubsidized | 6.24% |
Weighted Average Life | 5.75 years |
Distribution Yield | 7.55% |
| Angel Oak Income ETF | PAGE 2 | TSR_SAR_03463K760 |
WHAT DID THE FUND INVEST IN? (as of July 31, 2024)
Top Security Types (% of net assets)
| |
Residential Mortgage-Backed Securities | 42.6% |
Residential Mortgage-Backed Securities - U.S. Government Agency | 19.5% |
Asset-Backed Securities | 15.8% |
Collateralized Loan Obligations | 11.2% |
Commercial Mortgage-Backed Securities | 5.9% |
Corporate Obligations | 4.6% |
Commercial Mortgage-Backed Securities - U.S. Government Agency | 2.5% |
Money Market Funds | 2.4% |
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer | 1.5% |
Cash & Other | -6.0% |
Top 10 Issuers (% of net assets)
| |
Government National Mortgage Association | 10.6% |
JP Morgan Mortgage Trust | 7.9% |
Federal National Mortgage Association | 6.4% |
Federal Home Loan Mortgage Corp. | 6.0% |
COLT Funding LLC | 6.0% |
PRPM LLC | 5.0% |
Verus Securitization Trust | 4.1% |
Pagaya AI Debt Selection Trust | 2.9% |
First American Government Obligations Fund | 2.4% |
Saluda Grade Mortgage Funding LLC | 2.0% |
Credit Ratings Breakdown (% of net assets)*
| |
AAA | 29.8% |
AA | 4.6% |
A | 8.8% |
BBB | 18.5% |
BB | 23.2% |
B | 5.5% |
CCC | 0.1% |
NR | 9.5% |
| * | Ratings provided by nationally recognized statistical rating organizations. Ratings are expressed as letters ranging from AAA, the highest grade, to D, the lowest grade. The adviser uses the highest rating if securities are rated differently and uses nonrated when no formal rating is issued. |
| |
| AVAILABILITY OF ADDITIONAL INFORMATION |
| For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://angeloakcapital.com/resources/. |
The Fund is distributed by Quasar Distributors, LLC.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Angel Oak Capital Advisors, LLC documents not be householded, please contact Angel Oak Capital Advisors, LLC at 1-855-751-4324, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Angel Oak Capital Advisors, LLC or your financial intermediary.
| Angel Oak Income ETF | PAGE 3 | TSR_SAR_03463K760 |
104971153510500115691059811138
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 7 of this Form.
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
TABLE OF CONTENTS
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Schedule of Investments
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Statements of Changes in Net Assets
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Financial Highlights
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TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 53.9%
|
A&D Mortgage LLC
| | | | | | |
Series 2023-NQM3, Class A3, 7.34%, 07/25/2068(a)(b) | | | $6,811,304 | | | $6,983,542 |
Series 2023-NQM4, Class A1, 7.47%, 09/25/2068(a)(b) | | | 2,469,356 | | | 2,548,514 |
Series 2023-NQM4, Class A3, 8.10%, 09/25/2068(a)(b) | | | 1,554,780 | | | 1,610,592 |
Series 2023-NQM4, Class B1, 8.10%, 09/25/2068(a)(c) | | | 5,000,000 | | | 5,112,930 |
Series 2023-NQM5, Class A3, 7.76%, 11/25/2068(a)(b) | | | 3,789,268 | | | 3,913,093 |
Series 2024-NQM1, Class B1, 8.57%, 02/25/2069(a)(c) | | | 7,000,000 | | | 7,181,993 |
Adjustable Rate Mortgage Trust
| | | | | | |
Series 2005-12, Class 2A1, 4.94%, 03/25/2036(c) | | | 1,368,402 | | | 1,019,788 |
Series 2007-2, Class 1A21, 4.91%, 06/25/2037(c) | | | 1,616,249 | | | 1,257,991 |
Agate Bay Mortgage Trust, Series 2015-4, Class B4,
3.50%, 06/25/2045(a)(c) | | | 2,018,000 | | | 1,544,765 |
American Home Mortgage Assets LLC
| | | | | | |
Series 2006-1, Class XC, 0.00%, 05/25/2046(c)(d) | | | 13,989,917 | | | 103,553 |
Series 2006-6, Class XP, 0.05%, 12/25/2046(c)(d) | | | 53,121,663 | | | 410,152 |
Series 2007-5, Class XP, 0.07%, 06/25/2047(c)(d) | | | 12,506,621 | | | 148,754 |
American Home Mortgage Investment Trust
| | | | | | |
Series 2006-3, Class 22A1, 7.44% (6 mo. Term SOFR + 2.18%), 12/25/2036(e) | | | 3,375,380 | | | 2,797,941 |
Series 2006-3, Class 3A2, 6.75%, 12/25/2036(b)(e) | | | 6,101,050 | | | 1,740,745 |
Series 2007-2, Class 11A1, 5.92% (1 mo. Term SOFR + 0.57%), 03/25/2047 | | | 3,642,251 | | | 1,467,572 |
AMSR Trust, Series 2023-SFR1, Class C, 4.00%, 04/17/2040(a) | | | 1,000,000 | | | 941,098 |
Arroyo Mortgage Trust, Series 2022-1, Class M1, 3.65%, 12/25/2056(a) | | | 2,000,000 | | | 1,438,242 |
Banc of America Alternative Loan Trust, Series 2006-9, Class 30PO,
0.00%, 01/25/2037(f) | | | 129,380 | | | 72,914 |
Banc of America Funding Corp.
| | | | | | |
Series 2007-2, Class 1A16, 6.00% (1 mo. Term SOFR + 0.71%), 03/25/2037 | | | 2,037,985 | | | 1,436,635 |
Series 2007-8, Class 2A1, 7.00%, 10/25/2037(e) | | | 3,373,273 | | | 2,307,005 |
Series 2007-A, Class 2A2, 5.88% (1 mo. Term SOFR + 0.53%), 02/20/2047 | | | 725,142 | | | 637,645 |
Series 2007-B, Class A1, 5.88% (1 mo. Term SOFR + 0.53%), 04/20/2047(e) | | | 2,508,656 | | | 2,011,405 |
Series 2007-C, Class 7A4, 5.90% (1 mo. Term SOFR + 0.55%), 05/20/2047(e) | | | 1,675,549 | | | 1,521,877 |
Series 2014-R1, Class A2, 3.94% (1 mo. LIBOR US + 0.15%), 06/26/2037(a)(e)(g) | | | 3,731,175 | | | 3,210,336 |
Bayview Financial Acquisition Trust, Series 2005-D, Class APO,
0.00%, 12/28/2035(f) | | | 199,419 | | | 157,268 |
BCAP LLC Trust, Series 2013-RR1, Class 6A2, 4.85%, 05/26/2036(a)(c) | | | 2,827,783 | | | 1,847,563 |
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6, Class 1A1, 5.57%, 08/25/2035(c) | | | 1,322,936 | | | 1,099,365 |
Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2, 5.50% (1 mo. Term SOFR + 1.11%), 08/25/2035 | | | 1,164,581 | | | 720,972 |
Bellemeade Re Ltd.
| | | | | | |
Series 2023-1, Class B1, 12.05% (30 day avg SOFR US + 6.70%), 10/25/2033(a) | | | 538,000 | | | 597,890 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2023-1, Class M1B, 9.60% (30 day avg SOFR US + 4.25%), 10/25/2033(a) | | | $6,200,000 | | | $6,411,736 |
Boston Lending Trust, Series 2021-1, Class A, 2.00%, 07/25/2061(a)(c) | | | 3,738,888 | | | 3,331,439 |
BRAVO Residential Funding Trust
| | | | | | |
Series 2021-NQM3, Class A2, 1.85%, 04/25/2060(a)(c) | | | 1,939,783 | | | 1,775,336 |
Series 2023-NQM4, Class B1, 7.11%, 05/25/2063(a)(c) | | | 4,000,000 | | | 3,979,936 |
Series 2023-NQM8, Class B1, 8.28%, 10/25/2063(a)(c) | | | 2,186,000 | | | 2,234,743 |
Series 2024-NQM2, Class B1, 7.91%, 02/25/2064(a) | | | 2,041,000 | | | 2,080,993 |
Series 2024-NQM4, Class A1A, 4.35%, 01/25/2060(a)(b) | | | 3,962,974 | | | 3,810,855 |
Series 2024-NQM4, Class A2, 4.35%, 01/25/2060(a)(b) | | | 1,486,115 | | | 1,429,811 |
Series 2024-NQM4, Class A3, 4.35%, 01/25/2060(a)(b) | | | 990,743 | | | 949,555 |
Brean Asset Backed Securities Trust
| | | | | | |
Series 2024-RM8, Class A1, 4.50%, 05/25/2064(a) | | | 2,467,707 | | | 2,290,533 |
Series 2024-RM8, Class M3, 4.50%, 05/25/2064(a) | | | 4,600,000 | | | 3,362,641 |
Cascade MH Asset Trust, Series 2021-MH1, Class B3,
7.71%, 02/25/2046(a)(c) | | | 3,000,000 | | | 2,284,506 |
CC Funding Corp.
| | | | | | |
Series 2005-4A, Class NIO, 0.41%, 04/25/2037(a)(c)(d) | | | 15,534,258 | | | 203,110 |
Series 2006-1A, Class A1, 5.61% (1 mo. Term SOFR + 0.26%), 12/25/2046(a)(e) | | | 2,677,317 | | | 2,293,824 |
Series 2006-2A, Class A1, 5.59% (1 mo. Term SOFR + 0.24%), 04/25/2047(a)(e) | | | 8,536,773 | | | 7,951,586 |
Series 2006-4A, Class A2, 5.64% (1 mo. Term SOFR + 0.29%), 11/25/2047(a)(e) | | | 3,149,423 | | | 2,346,824 |
Chase Mortgage Finance Corp.
| | | | | | |
Series 2021-CL1, Class B, 11.85% (30 day avg SOFR US + 6.50%), 02/25/2050(a) | | | 2,159,000 | | | 2,023,881 |
Series 2021-CL1, Class M3, 6.90% (30 day avg SOFR US + 1.55%), 02/25/2050(a) | | | 2,149,161 | | | 2,045,419 |
Series 2021-CL1, Class M4, 8.00% (30 day avg SOFR US + 2.65%), 02/25/2050(a) | | | 2,223,308 | | | 2,033,315 |
Series 2021-CL1, Class M5, 8.60% (30 day avg SOFR US + 3.25%), 02/25/2050(a) | | | 889,213 | | | 796,505 |
Chaseflex Trust, Series 2005-2, Class 5A6, 5.00%, 06/25/2035 | | | 1,355,093 | | | 768,777 |
CIM Trust
| | | | | | |
Series 2019-J1, Class B5, 3.93%, 08/25/2049(a)(c) | | | 613,000 | | | 393,743 |
Series 2021-J1, Class B4, 2.66%, 03/25/2051(a)(c) | | | 1,296,566 | | | 744,234 |
Series 2021-J1, Class B5, 2.66%, 03/25/2051(a)(c) | | | 810,000 | | | 386,533 |
Series 2021-J2, Class B4, 2.67%, 04/25/2051(a)(c) | | | 1,551,904 | | | 897,740 |
Series 2021-J2, Class B5, 2.67%, 04/25/2051(a)(c) | | | 718,000 | | | 343,536 |
Series 2021-J3, Class B4, 2.61%, 06/25/2051(a)(c) | | | 1,281,000 | | | 639,421 |
Series 2021-J3, Class B5, 2.61%, 06/25/2051(a)(c) | | | 481,000 | | | 204,203 |
Citimortgage Alternative Loan Trust
| | | | | | |
Series 2006-A4, Class 1A3, 6.00%, 09/25/2036(e) | | | 2,686,112 | | | 2,381,179 |
Series 2006-A6, Class 1APO, 0.00%, 11/25/2036(f) | | | 72,113 | | | 39,243 |
Series 2006-A7, Class 1A1, 6.00%, 12/25/2036(c)(e) | | | 1,765,870 | | | 1,477,271 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2006-A7, Class 1A9, 6.00% (1 mo. Term SOFR + 0.76%), 12/25/2036(e) | | | $3,392,825 | | | $2,697,208 |
Series 2007-A3, Class 1A2, 6.00% (1 mo. Term SOFR + 0.71%), 03/25/2037(e) | | | 2,112,925 | | | 1,644,175 |
Series 2007-A3, Class APO, 0.00%, 03/25/2037(f) | | | 109,914 | | | 57,263 |
Series 2007-A4, Class APO, 0.00%, 04/25/2037(f) | | | 72,599 | | | 38,021 |
Series 2007-A5, Class 1A3, 5.96% (1 mo. Term SOFR + 0.61%), 05/25/2037(e) | | | 3,307,633 | | | 2,633,008 |
CitiMortgage, Inc., Series 2005-2, Class 1APO, 0.00%, 03/25/2035(f) | | | 34,406 | | | 20,003 |
COLT Funding LLC
| | | | | | |
Series 2020-2R, Class B1, 4.12%, 10/26/2065(a)(c) | | | 3,605,000 | | | 3,029,793 |
Series 2021-3R, Class M1, 2.36%, 12/25/2064(a)(c) | | | 2,862,000 | | | 2,276,549 |
Series 2022-2, Class B1, 4.02%, 02/25/2067(a)(c) | | | 1,750,000 | | | 1,391,098 |
Series 2022-3, Class B1, 4.23%, 02/25/2067(a)(c) | | | 2,362,000 | | | 1,997,602 |
Series 2022-5, Class B1, 4.66%, 03/25/2067(a)(c) | | | 4,714,000 | | | 4,281,453 |
Series 2022-7, Class B1, 6.29%, 04/25/2067(a)(c) | | | 3,916,000 | | | 3,781,419 |
Series 2023-2, Class B1, 7.93%, 07/25/2068(a)(c) | | | 2,000,000 | | | 2,027,548 |
Series 2023-3, Class B1, 7.84%, 09/25/2068(a)(c) | | | 2,000,000 | | | 2,031,734 |
Series 2023-4, Class B1, 8.30%, 10/25/2068(a)(c) | | | 1,688,000 | | | 1,718,995 |
Series 2024-1, Class B1, 7.83%, 02/25/2069(a)(c) | | | 3,250,000 | | | 3,305,978 |
Series 2024-2, Class B1, 8.09%, 04/25/2069(a)(c) | | | 2,500,000 | | | 2,564,270 |
Countrywide Alternative Loan Trust
| | | | | | |
Series 2005-14, Class 2X, 0.05%, 05/25/2035(c)(d) | | | 12,648,632 | | | 76,562 |
Series 2005-16, Class X2, 0.00%, 06/25/2035(c)(d) | | | 15,324,038 | | | 153 |
Series 2005-24, Class 1AX, 0.01%, 07/20/2035(c)(d) | | | 6,857,440 | | | 5,356 |
Series 2005-27, Class 2X1, 0.00%, 08/25/2035(c)(d) | | | 18,777,101 | | | 188 |
Series 2005-38, Class X, 5.09%, 09/25/2035(c)(d) | | | 38,141,737 | | | 572 |
Series 2005-41, Class 2X2, 0.00%, 09/25/2035(c)(d) | | | 3,566,121 | | | 7,293 |
Series 2005-44, Class 1X, 0.02%, 10/25/2035(c)(d) | | | 17,952,442 | | | 41,021 |
Series 2005-51, Class 1X, 1.48%, 11/20/2035(c)(d) | | | 13,794,777 | | | 1,070,309 |
Series 2005-51, Class 3X2, 0.05%, 11/20/2035(c)(d) | | | 10,405,826 | | | 70,645 |
Series 2005-51, Class 4X, 0.03%, 11/20/2035(c)(d) | | | 14,726,308 | | | 63,323 |
Series 2005-56, Class 4X, 0.00%, 11/25/2035(c)(d) | | | 19,505,193 | | | 181,808 |
Series 2005-58R, Class A, 0.06%, 12/20/2035(a)(c)(d) | | | 36,533,876 | | | 2,441,303 |
Series 2005-59R, Class A, 2.21%, 12/20/2035(a)(c)(d) | | | 10,140,213 | | | 872 |
Series 2005-J11, Class 1A4, 5.50% (1 mo. Term SOFR + 0.51%), 11/25/2035 | | | 2,574,121 | | | 1,269,763 |
Series 2005-J14, Class A8, 5.50%, 12/25/2035 | | | 1,447,664 | | | 936,210 |
Series 2006-29T1, Class 2A13, 5.76% (1 mo. Term SOFR + 0.41%), 10/25/2036 | | | 1,507,816 | | | 693,093 |
Series 2006-HY10, Class 1X, 0.48%, 05/25/2036(c)(d) | | | 2,416,772 | | | 45,227 |
Series 2006-OA1, Class 1X, 0.08%, 03/20/2046(c)(d) | | | 8,520,580 | | | 85,538 |
Series 2006-OA10, Class XAD, 0.00%, 08/25/2046(b)(d) | | | 20,449,142 | | | 18,302 |
Series 2006-OA10, Class XNB, 0.00%, 08/25/2046(c)(d) | | | 18,799,913 | | | 188 |
Series 2006-OA10, Class XPP, 0.00%, 08/25/2046(c)(d) | | | 11,725,723 | | | 117 |
Series 2006-OA3, Class X, 0.00%, 05/25/2036(c)(d) | | | 12,671,874 | | | 31,287 |
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See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Countrywide Home Loan Mortgage Pass Through Trust
| | | | | | |
Series 2004-20, Class X, 0.17%, 10/25/2034(c)(d) | | | $5,260,776 | | | $211,746 |
Series 2004-25, Class 1X, 0.00%, 02/25/2035(c)(d) | | | 11,025,027 | | | 110 |
Series 2004-29, Class 1X, 0.00%, 02/25/2035(c)(d) | | | 1,726,445 | | | 10 |
Series 2005-1, Class 1X, 0.00%, 03/25/2035(c)(d) | | | 2,843,818 | | | 3,734 |
Series 2005-11, Class 4X, 0.05%, 04/25/2035(c)(d) | | | 4,401,975 | | | 242,509 |
Series 2005-2, Class 2X, 0.00%, 03/25/2035(c)(d) | | | 7,499,645 | | | 75 |
Series 2005-7, Class 3A2, 3.47%, 03/25/2035(c)(e) | | | 3,262,321 | | | 2,587,781 |
Series 2005-7, Class 3X, 0.86%, 03/25/2035(c)(d) | | | 884,736 | | | 36,060 |
Series 2006-12, Class X, 0.13%, 07/25/2036(c)(d) | | | 13,325,912 | | | 54,370 |
Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | | | 1,881,570 | | | 674,947 |
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12, 5.50%, 11/25/2035(e) | | | 2,039,239 | | | 833,484 |
Credit Suisse Management LLC, Series 2002-18, Class 2A1,
7.50%, 06/25/2032 | | | 1,898,388 | | | 1,769,157 |
Credit Suisse Mortgage Capital Certificates
| | | | | | |
Series 2006-4, Class 1A1, 6.00% (1 mo. Term SOFR + 0.81%), 05/25/2036 | | | 1,704,710 | | | 853,022 |
Series 2014-3R, Class 1A1, 2.47% (1 mo. LIBOR US + 0.45%), 03/27/2036(a)(g) | | | 391,142 | | | 300,863 |
Series 2017-RPL3, Class B5, 4.56%, 08/01/2057(a)(c) | | | 7,402,861 | | | 6,425,298 |
Series 2020-RPL4, Class B3, 4.01%, 01/25/2060(a)(c) | | | 10,124,150 | | | 7,155,182 |
Series 2020-RPL4, Class B4, 4.01%, 01/25/2060(a)(c) | | | 10,125,738 | | | 6,183,272 |
Series 2020-RPL4, Class XS, 1.56%, 01/25/2060(a)(c)(d) | | | 175,574,271 | | | 5,656,476 |
Series 2021-AFC1, Class B1, 3.25%, 03/25/2056(a)(c) | | | 3,031,450 | | | 1,794,837 |
Series 2021-AFC1, Class B2, 4.26%, 03/25/2056(a)(c) | | | 1,539,950 | | | 986,395 |
Series 2021-INV1, Class AIOS, 0.04%, 07/25/2056(a)(c)(d) | | | 107,543,947 | | | 187,772 |
Series 2021-INV1, Class AX4, 0.40%, 07/25/2056(a)(c)(d) | | | 7,245,126 | | | 125,131 |
Series 2021-INV1, Class B3, 3.08%, 07/25/2056(a)(c) | | | 4,117,450 | | | 3,414,358 |
Series 2021-INV1, Class B5, 3.08%, 07/25/2056(a)(c) | | | 1,574,268 | | | 966,911 |
Series 2021-INV2, Class A11X, 0.00% (-1 x 30 day avg SOFR US + 4.15%), 11/25/2056(a)(d)(h) | | | 19,580,352 | | | 630,781 |
Series 2021-INV2, Class A15X, 0.50%, 11/25/2056(a)(c)(d) | | | 11,731,109 | | | 252,489 |
Series 2021-INV2, Class AIOS, 0.04%, 11/25/2056(a)(c)(d) | | | 312,659,628 | | | 547,154 |
Series 2021-INV2, Class AX4, 0.15%, 11/25/2056(a)(c)(d) | | | 17,967,764 | | | 115,784 |
Series 2021-INV2, Class B5, 3.29%, 11/25/2056(a)(c) | | | 2,744,266 | | | 2,002,839 |
Series 2021-NQM2, Class M1, 2.28%, 02/25/2066(a)(c) | | | 1,000,000 | | | 703,080 |
Series 2021-NQM8, Class A2, 2.30%, 10/25/2066(a)(c) | | | 1,590,628 | | | 1,389,916 |
Series 2022-NQM4, Class A3, 4.82%, 06/25/2067(a)(b) | | | 6,806,605 | | | 6,733,257 |
Series 2022-NQM5, Class M1, 5.17%, 05/25/2067(a)(c) | | | 500,000 | | | 455,713 |
Series 2022-RPL3, Class A1, 3.89%, 03/25/2061(a)(c) | | | 7,007,040 | | | 7,074,546 |
Deephaven Residential Mortgage Trust, Series 2022-1, Class B1,
4.28%, 01/25/2067(a)(c) | | | 2,000,000 | | | 1,611,620 |
Deutsche ALT-A Securities, Inc.
| | | | | | |
Series 2005-5, Class 2A4, 5.50%, 11/25/2035(e) | | | 3,302,941 | | | 1,713,047 |
Series 2006-AB2, Class A8, 4.75%, 06/25/2036(c)(e) | | | 2,555,587 | | | 2,334,432 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2007-AR1, Class A1, 5.70% (1 mo. Term SOFR + 0.35%), 01/25/2047(e) | | | $5,165,595 | | | $4,730,352 |
Series 2007-AR1, Class A2, 5.82% (1 mo. Term SOFR + 0.47%), 01/25/2047 | | | 897,138 | | | 776,335 |
Series 2007-BAR1, Class A4, 5.94% (1 mo. Term SOFR + 0.59%), 03/25/2037(e) | | | 76,432,950 | | | 4,617,926 |
Deutsche Mortgage Securities, Inc., Series 2009-RS6, Class A2B,
4.04%, 08/25/2037(a)(c)(e) | | | 6,927,491 | | | 6,375,336 |
Downey Savings & Loan Association Mortgage Loan Trust
| | | | | | |
Series 2004-AR1, Class X2, 0.01%, 09/19/2044(c)(d) | | | 11,712,818 | | | 3,795 |
Series 2004-AR2, Class C, 0.00%, 11/19/2044(i) | | | 1,000 | | | 1 |
Series 2004-AR2, Class X2, 0.00%, 11/19/2044(c)(d) | | | 10,677,493 | | | 8,980 |
Series 2004-AR4, Class X2, 0.00%, 01/19/2045(c)(d) | | | 10,016,749 | | | 611 |
Series 2005-AR1, Class 1A, 6.00% (1 mo. Term SOFR + 0.65%), 02/19/2045(e) | | | 16,821,741 | | | 12,825,636 |
Series 2005-AR1, Class C, 0.00%, 02/19/2045(i) | | | 1,000,000 | | | 10,000 |
Series 2005-AR1, Class X2, 0.00%, 02/19/2045(c)(d) | | | 18,578,066 | | | 21,773 |
Series 2005-AR2, Class 2A1C, 5.90% (1 mo. Term SOFR + 0.55%), 03/19/2045(e) | | | 1,144,181 | | | 1,100,926 |
Series 2006-AR2, Class 2A1A, 5.66% (1 mo. Term SOFR + 0.31%), 10/19/2036(e) | | | 18,425,552 | | | 12,463,928 |
Series 2007-AR1, Class 1A1A, 5.60% (1 mo. Term SOFR + 0.25%), 04/19/2047(e) | | | 31,472,789 | | | 24,762,916 |
DSLA Mortgage Loan Trust, Series 2005-AR2, Class C,
0.00%, 03/19/2045 | | | 1 | | | 28,071 |
Eagle Re Ltd.
| | | | | | |
Series 2021-2, Class M2, 9.60% (30 day avg SOFR US + 4.25%), 04/25/2034(a) | | | 3,000,000 | | | 3,103,842 |
Series 2023-1, Class M2, 10.55% (30 day avg SOFR US + 5.20%), 09/26/2033(a) | | | 3,000,000 | | | 3,152,058 |
Ellington Financial Mortgage Trust
| | | | | | |
Series 2021-2, Class M1, 2.30%, 06/25/2066(a)(c) | | | 2,710,000 | | | 1,801,193 |
Series 2022-4, Class AIOS, 0.25%, 09/25/2067(a)(c)(d) | | | 301,810,550 | | | 1,428,168 |
Series 2022-4, Class B3, 5.95%, 09/25/2067(a)(c) | | | 20,820,278 | | | 11,732,393 |
Series 2022-4, Class X, 0.00%, 09/25/2067(a)(c)(d) | | | 301,810,550 | | | 638,329 |
FIGRE Trust
| | | | | | |
Series 2024-HE1, Class A, 6.17%, 03/25/2054(a)(c) | | | 4,164,965 | | | 4,227,139 |
Series 2024-HE1, Class C, 6.75%, 03/25/2054(a)(c) | | | 1,388,322 | | | 1,420,986 |
First Horizon Alternative Mortgage Securities, Series 2006-FA1, Class 1A8, 5.50% (1 mo. Term SOFR + 0.61%), 04/25/2036 | | | 3,379,061 | | | 1,173,940 |
Flagstar Mortgage Trust
| | | | | | |
Series 2017-2, Class B5, 3.98%, 10/25/2047(a)(c) | | | 1,153,000 | | | 837,914 |
Series 2018-2, Class B5, 4.00%, 04/25/2048(a)(c) | | | 2,693,988 | | | 2,303,252 |
Series 2018-6RR, Class B5, 4.93%, 10/25/2048(a)(c) | | | 2,478,000 | | | 1,965,664 |
Series 2021-1, Class B4, 3.09%, 02/01/2051(a)(c) | | | 2,664,823 | | | 2,126,324 |
Series 2021-1, Class B5, 3.09%, 02/01/2051(a)(c) | | | 1,222,000 | | | 645,359 |
Series 2021-10IN, Class B5, 3.51%, 10/25/2051(a)(c) | | | 1,198,265 | | | 915,780 |
Series 2021-2, Class B4, 2.78%, 04/25/2051(a)(c) | | | 1,340,188 | | | 748,243 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2021-2, Class B5, 2.78%, 04/25/2051(a)(c) | | | $1,343,000 | | | $658,900 |
Series 2021-6INV, Class B5, 3.49%, 08/25/2051(a)(c) | | | 2,972,932 | | | 2,239,337 |
Series 2021-9INV, Class AX1, 0.48%, 09/25/2041(a)(c)(d) | | | 205,913,366 | | | 2,700,966 |
Series 2021-9INV, Class B4, 2.98%, 09/25/2041(a)(c) | | | 495,101 | | | 435,073 |
Series 2021-9INV, Class B5, 2.98%, 09/25/2041(a)(c) | | | 1,238,138 | | | 771,813 |
GCAT Trust
| | | | | | |
Series 2020-NQM2, Class M1, 3.59%, 04/25/2065(a)(c) | | | 1,650,000 | | | 1,444,426 |
Series 2021-NQM4, Class A3, 1.56%, 08/25/2066(a)(c) | | | 698,379 | | | 583,740 |
Series 2021-NQM6, Class M1, 3.41%, 08/25/2066(a)(c) | | | 1,250,000 | | | 886,889 |
Series 2021-NQM7, Class A1, 1.92%, 08/25/2066(a)(c) | | | 4,468,310 | | | 4,070,643 |
Series 2022-NQM4, Class A3, 5.73%, 08/25/2067(a)(b) | | | 830,992 | | | 840,875 |
Series 2023-NQM3, Class B1, 7.59%, 08/25/2068(a)(c) | | | 8,940,000 | | | 9,016,213 |
Series 2024-NQM1, Class A3, 6.51%, 01/25/2059(a)(b) | | | 891,782 | | | 902,119 |
Goldman Sachs Mortgage Pass-Through Trust, Series 2022-1, Class PT, 4.23%, 02/25/2053(a)(c) | | | 48,716,510 | | | 43,128,239 |
Greenpoint Mortgage Funding Trust
| | | | | | |
Series 2005-AR1, Class X1, 0.00%, 06/25/2045(c)(d) | | | 12,116,233 | | | 88,073 |
Series 2005-AR3, Class X1, 0.00%, 08/25/2045(c)(d) | | | 20,736,780 | | | 238,328 |
Series 2005-AR4, Class 4A1A, 6.08% (1 mo. Term SOFR + 0.73%), 10/25/2045 | | | 1,327,398 | | | 1,135,564 |
Series 2005-AR4, Class X4, 0.00%, 10/25/2045(c)(d) | | | 11,406,083 | | | 114 |
Series 2006-AR3, Class 4X, 1.00%, 04/25/2036(d) | | | 13,779,962 | | | 470,324 |
GS Mortgage Securities Corp.
| | | | | | |
Series 2014-5R, Class 3B2, 5.75% (1 mo. Term SOFR + 0.26%), 02/26/2037(a) | | | 5,707,000 | | | 5,202,855 |
Series 2014-5R, Class 3B3, 5.75% (1 mo. Term SOFR + 0.26%), 02/26/2037(a)(e) | | | 5,707,000 | | | 4,797,401 |
Series 2014-5R, Class 3B4, 5.75% (1 mo. Term SOFR + 0.26%), 02/26/2037(a)(e) | | | 5,709,149 | | | 4,168,141 |
GS Mortgage-Backed Securities Trust
| | | | | | |
Series 2019-PJ1, Class B4, 4.04%, 08/25/2049(a)(c) | | | 1,500,000 | | | 1,202,956 |
Series 2019-PJ1, Class B5, 4.04%, 08/25/2049(a)(c) | | | 577,000 | | | 413,113 |
Series 2019-PJ3, Class AIOS, 0.22%, 03/25/2050(a)(c)(d) | | | 27,889,070 | | | 265,643 |
Series 2019-PJ3, Class B6, 3.95%, 03/25/2050(a)(c) | | | 1,730,156 | | | 964,763 |
Series 2020-PJ5, Class B5, 3.26%, 03/27/2051(a)(c) | | | 1,730,698 | | | 1,113,772 |
Series 2020-PJ6, Class AX1, 0.02%, 05/25/2051(a)(c)(d) | | | 317,394,030 | | | 275,498 |
Series 2020-PJ6, Class B4, 2.77%, 05/25/2051(a)(c) | | | 1,752,408 | | | 1,405,445 |
Series 2020-PJ6, Class B5, 2.77%, 05/25/2051(a)(c) | | | 1,518,282 | | | 926,000 |
Series 2020-PJ6, Class B6, 2.77%, 05/25/2051(a)(c) | | | 1,704,942 | | | 655,025 |
Series 2020-RPL1, Class B1, 3.82%, 07/25/2059(a)(c) | | | 6,323,000 | | | 4,909,923 |
Series 2021-HP1, Class B1, 3.21%, 01/25/2052(a)(c)(e) | | | 4,448,230 | | | 3,721,047 |
Series 2021-HP1, Class B3, 3.21%, 01/25/2052(a)(c)(e) | | | 3,559,897 | | | 2,956,160 |
Series 2021-HP1, Class B4, 3.21%, 01/25/2052(a)(c) | | | 3,569,561 | | | 2,932,562 |
Series 2021-HP1, Class B5, 3.21%, 01/25/2052(a)(c) | | | 1,433,610 | | | 1,114,251 |
Series 2021-INV1, Class B3, 3.03%, 12/25/2051(a)(c) | | | 4,024,994 | | | 3,316,414 |
Series 2021-MM1, Class A2, 2.50%, 04/25/2052(a)(c) | | | 861,045 | | | 706,736 |
Series 2021-MM1, Class B1, 2.73%, 04/25/2052(a)(c)(e) | | | 4,525,449 | | | 3,700,491 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2021-MM1, Class B2, 2.73%, 04/25/2052(a)(c)(e) | | | $4,530,154 | | | $3,665,556 |
Series 2021-MM1, Class B3, 2.73%, 04/25/2052(a)(c)(e) | | | 2,509,990 | | | 1,999,027 |
Series 2021-MM1, Class B4, 2.73%, 04/25/2052(a)(c) | | | 1,523,773 | | | 722,611 |
Series 2021-MM1, Class B5, 2.73%, 04/25/2052(a)(c) | | | 849,000 | | | 343,568 |
Series 2021-PJ1, Class B4, 2.75%, 06/25/2051(a)(c) | | | 2,288,702 | | | 1,687,414 |
Series 2021-PJ1, Class B5, 2.75%, 06/25/2051(a)(c) | | | 1,039,000 | | | 524,169 |
Series 2021-PJ11, Class A2, 2.50%, 04/25/2052(a)(c) | | | 1,270,779 | | | 1,038,555 |
Series 2021-PJ11, Class B4, 2.86%, 04/25/2052(a)(c) | | | 1,300,000 | | | 667,564 |
Series 2021-PJ11, Class B5, 2.86%, 04/25/2052(a)(c) | | | 1,606,000 | | | 714,410 |
Series 2021-PJ2, Class B2, 2.69%, 07/25/2051(a)(c)(e) | | | 5,237,223 | | | 4,264,524 |
Series 2021-PJ3, Class B4, 2.65%, 08/25/2051(a)(c) | | | 1,218,746 | | | 960,978 |
Series 2021-PJ3, Class B5, 2.65%, 08/25/2051(a)(c) | | | 1,226,072 | | | 730,023 |
Series 2021-PJ4, Class AX1, 0.01%, 09/25/2051(a)(c)(d) | | | 456,386,291 | | | 222,717 |
Series 2021-PJ4, Class B2, 2.61%, 09/25/2051(a)(c) | | | 7,611,423 | | | 6,262,900 |
Series 2021-PJ4, Class B4, 2.61%, 09/25/2051(a)(c) | | | 2,588,401 | | | 1,564,875 |
Series 2021-PJ4, Class B5, 2.61%, 09/25/2051(a)(c) | | | 1,244,000 | | | 594,724 |
Series 2021-PJ5, Class B4, 2.59%, 10/25/2051(a)(c) | | | 3,611,772 | | | 2,473,385 |
Series 2021-PJ5, Class B5, 2.59%, 10/25/2051(a)(c) | | | 1,194,000 | | | 571,905 |
Series 2021-PJ6, Class AX1, 0.02%, 11/25/2051(a)(c)(d) | | | 786,366,147 | | | 733,680 |
Series 2021-PJ6, Class B4, 2.68%, 11/25/2051(a)(c) | | | 5,333,906 | | | 4,049,640 |
Series 2021-PJ6, Class B5, 2.68%, 11/25/2051(a)(c) | | | 1,038,000 | | | 506,451 |
Series 2021-PJ6, Class B6, 2.68%, 11/25/2051(a)(c) | | | 4,647,730 | | | 1,601,454 |
Series 2021-PJ7, Class B4, 2.72%, 01/25/2052(a)(c) | | | 7,358,436 | | | 5,594,015 |
Series 2021-PJ7, Class B5, 2.72%, 01/25/2052(a)(c) | | | 1,747,715 | | | 933,579 |
Series 2021-PJ7, Class B6, 2.72%, 01/25/2052(a)(c) | | | 3,252,733 | | | 1,116,205 |
Series 2021-PJ8, Class B4, 2.76%, 01/25/2052(a)(c) | | | 3,747,148 | | | 2,770,918 |
Series 2021-PJ8, Class B5, 2.76%, 01/25/2052(a)(c) | | | 1,237,000 | | | 613,703 |
Series 2021-PJ9, Class B4, 2.93%, 02/26/2052(a)(c) | | | 3,269,338 | | | 2,516,939 |
Series 2021-PJ9, Class B5, 2.93%, 02/26/2052(a)(c) | | | 1,231,074 | | | 823,404 |
Series 2021-PJ9, Class B6, 2.87%, 02/26/2052(a)(c) | | | 5,673,304 | | | 1,996,039 |
Series 2022-GR1, Class B2, 3.20%, 06/25/2052(a)(c) | | | 10,221,274 | | | 8,249,427 |
Series 2022-GR1, Class B4, 3.20%, 06/25/2052(a)(c) | | | 3,723,367 | | | 2,785,377 |
Series 2022-GR1, Class B5, 3.20%, 06/25/2052(a)(c) | | | 1,169,016 | | | 814,499 |
Series 2022-LTV1, Class A14, 3.00%, 06/25/2052(a)(c) | | | 59,557,500 | | | 41,823,123 |
Series 2022-LTV1, Class A15X, 0.00% (-1 x 30 day avg SOFR US + 4.15%), 06/25/2052(a)(d)(h) | | | 13,599,219 | | | 475,538 |
Series 2022-LTV1, Class B1, 3.25%, 06/25/2052(a)(c) | | | 11,887,202 | | | 9,787,994 |
Series 2022-LTV1, Class B2, 3.25%, 06/25/2052(a)(c)(e) | | | 4,665,066 | | | 3,794,509 |
Series 2022-LTV1, Class B4, 3.25%, 06/25/2052(a)(c) | | | 4,814,758 | | | 3,581,857 |
Series 2022-LTV1, Class B5, 3.25%, 06/25/2052(a)(c) | | | 752,247 | | | 511,278 |
Series 2022-PJ3, Class A4, 2.50%, 08/25/2052(a)(c) | | | 4,295,954 | | | 3,501,765 |
Series 2023-CCM1, Class B1, 7.49%, 08/25/2053(a)(c) | | | 2,300,000 | | | 2,307,721 |
Series 2023-PJ3, Class A16, 5.50%, 10/27/2053(a)(c) | | | 4,532,963 | | | 4,558,275 |
Series 2023-PJ4, Class A15, 6.00%, 01/25/2054(a)(c) | | | 3,265,799 | | | 3,324,316 |
Series 2023-PJ6, Class A16, 6.50%, 04/25/2054(a)(c) | | | 3,800,251 | | | 3,894,285 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
GSAA Trust
| | | | | | |
Series 2005-14, Class 2A3, 6.16% (1 mo. Term SOFR + 0.81%), 12/25/2035(e) | | | $2,124,405 | | | $1,806,747 |
Series 2006-18, Class AF5A, 6.50%, 11/25/2036(b) | | | 1,980,511 | | | 793,484 |
Series 2007-2, Class AV1, 5.54% (1 mo. Term SOFR + 0.19%), 03/25/2037 | | | 3,311,889 | | | 665,921 |
Series 2007-5, Class 2A1A, 5.70% (1 mo. Term SOFR + 0.35%), 04/25/2047(e) | | | 1,684,340 | | | 1,510,826 |
GSR Mortgage Loan Trust
| | | | | | |
Series 2005-6F, Class 3A6, 5.79% (1 mo. Term SOFR + 0.44%), 07/25/2035 | | | 1,426,956 | | | 1,162,788 |
Series 2007-3F, Class 4A1, 5.76% (1 mo. Term SOFR + 0.41%), 05/25/2037 | | | 4,475,551 | | | 975,406 |
Harborview Mortgage Loan Trust
| | | | | | |
Series 2004-11, Class X1, 0.00%, 01/19/2035(c)(d) | | | 6,909,099 | | | 69 |
Series 2004-7, Class X1, 0.50%, 11/19/2034(c)(d) | | | 1,502,024 | | | 23,598 |
Series 2004-9, Class 4A2, 6.24% (1 mo. Term SOFR + 0.89%), 12/19/2034(e) | | | 1,651,782 | | | 1,399,984 |
Series 2005-1, Class X, 0.00%, 03/19/2035(c)(d) | | | 5,040,342 | | | 7,233 |
Series 2005-10, Class X, 0.00%, 11/19/2035(c)(d) | | | 25,606,882 | | | 256 |
Series 2005-11, Class X, 0.00%, 08/19/2045(c)(d) | | | 7,261,880 | | | 73 |
Series 2005-12, Class X2B, 0.12%, 10/19/2035(c)(d) | | | 7,422,671 | | | 74 |
Series 2005-13, Class X, 0.00%, 02/19/2036(c)(d) | | | 12,543,892 | | | 125 |
Series 2005-15, Class 2A11, 6.00% (1 mo. Term SOFR + 0.65%), 10/20/2045(e) | | | 2,364,934 | | | 2,079,020 |
Series 2005-3, Class X2, 0.04%, 06/19/2035(c)(d) | | | 36,298,282 | | | 363 |
Series 2005-8, Class 2XA1, 0.04%, 09/19/2035(c)(d) | | | 21,704,962 | | | 217 |
Series 2006-14, Class 2A1A, 5.76% (1 mo. Term SOFR + 0.41%), 01/25/2047(e) | | | 15,779,516 | | | 13,903,190 |
Series 2007-6, Class 1A1A, 5.66% (1 mo. Term SOFR + 0.31%), 08/19/2037(e) | | | 15,256,639 | | | 12,677,779 |
Series 2007-6, Class 2A1A, 5.65% (1 mo. Term SOFR + 0.30%), 08/19/2037 | | | 1,654,006 | | | 1,482,667 |
Helios Loan Funding Trust, 12.63%, 06/06/2034 | | | 13,191,224 | | | 13,968,873 |
Home RE Ltd.
| | | | | | |
Series 2021-2, Class M2, 8.60% (30 day avg SOFR US + 3.25%), 01/25/2034(a) | | | 8,250,000 | | | 8,306,166 |
Series 2023-1, Class M2, 11.35% (30 day avg SOFR US + 6.00%), 10/25/2033(a) | | | 3,000,000 | | | 3,266,463 |
Homebanc Mortgage Trust, Series 2004-2, Class A2, 6.36% (1 mo. Term SOFR + 1.01%), 12/25/2034 | | | 897,009 | | | 843,208 |
Impac Secured Assets CMN Owner Trust, Series 2006-2, Class 1A2C, 6.02% (1 mo. Term SOFR + 0.67%), 08/25/2036(e) | | | 3,508,393 | | | 3,068,791 |
Indymac Index Mortgage Loan Trust
| | | | | | |
Series 2004-AR12, Class AX2, 0.00%, 12/25/2034(c)(d) | | | 1,698,180 | | | 17 |
Series 2005-16IP, Class AX, 0.00%, 07/25/2045(c)(d) | | | 12,186,340 | | | 5,910 |
Series 2005-AR10, Class AX, 0.00%, 06/25/2035(c)(d) | | | 26,034,769 | | | 260 |
Series 2005-AR12, Class AX2, 0.00%, 07/25/2035(c)(d) | | | 39,437,844 | | | 394 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2005-AR14, Class 2X, 0.01%, 07/25/2035(c)(d) | | | $19,240,265 | | | $16,643 |
Series 2005-AR2, Class AX2, 0.00%, 02/25/2035(c)(d) | | | 9,906,075 | | | 4,695 |
Series 2005-AR4, Class AX2, 0.00%, 03/25/2035(c)(d) | | | 12,842,191 | | | 161,850 |
Series 2005-AR8, Class AX2, 0.00%, 05/25/2035(c)(d) | | | 15,988,171 | | | 160 |
Series 2006-AR25, Class 5A1, 3.67%, 09/25/2036(c)(e) | | | 3,945,608 | | | 3,218,449 |
Series 2007-AR9, Class 2A1, 4.04%, 04/25/2037(c)(e) | | | 3,295,263 | | | 2,121,777 |
JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4, 5.92%
(1 mo. Term SOFR + 0.57%), 12/25/2036 | | | 989,190 | | | 857,372 |
JP Morgan Chase Commercial Mortgage Securities
| | | | | | |
Series 2019-LTV1, Class B4, 4.58%, 06/25/2049(a)(c) | | | 4,202,855 | | | 3,978,322 |
Series 2019-LTV1, Class B5, 4.58%, 06/25/2049(a)(c) | | | 1,752,008 | | | 1,412,104 |
Series 2019-LTV1, Class B6, 4.27%, 06/25/2049(a)(c) | | | 2,800,224 | | | 1,930,609 |
JP Morgan Mortgage Trust
| | | | | | |
Series 2005-ALT1, Class 2A1, 5.46%, 10/25/2035(c)(e) | | | 4,986,022 | | | 4,060,856 |
Series 2006-A6, Class 1A4L, 4.38%, 10/25/2036(c) | | | 1,383,630 | | | 1,047,921 |
Series 2007-A4, Class 3A3, 5.47%, 06/25/2037(c) | | | 1,166,630 | | | 869,625 |
Series 2019-7, Class AX1, 0.00%, 02/25/2050(a)(c)(d) | | | 19,707,943 | | | 59 |
Series 2019-7, Class B4, 3.97%, 02/25/2050(a)(c) | | | 2,830,223 | | | 2,294,320 |
Series 2019-7, Class B5, 3.97%, 02/25/2050(a)(c) | | | 1,199,000 | | | 786,918 |
Series 2019-7, Class B6, 3.97%, 02/25/2050(a)(c) | | | 1,554,174 | | | 915,740 |
Series 2019-8, Class AX1, 0.17%, 03/25/2050(a)(c)(d) | | | 45,587,817 | | | 331,332 |
Series 2019-9, Class B4, 3.80%, 05/25/2050(a)(c) | | | 2,777,874 | | | 2,464,849 |
Series 2019-9, Class B5, 3.80%, 05/25/2050(a)(c) | | | 2,469,624 | | | 2,173,912 |
Series 2019-9, Class B6, 3.75%, 05/25/2050(a)(c) | | | 4,740,327 | | | 2,528,135 |
Series 2019-LTV3, Class B5, 4.37%, 03/25/2050(a)(c) | | | 1,767,774 | | | 1,553,140 |
Series 2020-1, Class B4, 3.82%, 06/25/2050(a)(c) | | | 3,807,497 | | | 3,310,600 |
Series 2020-1, Class B5, 3.82%, 06/25/2050(a)(c) | | | 2,110,694 | | | 1,716,866 |
Series 2020-1, Class B6, 3.48%, 06/25/2050(a)(c) | | | 3,561,003 | | | 2,120,958 |
Series 2020-2, Class B4, 3.82%, 07/25/2050(a)(c) | | | 282,933 | | | 249,250 |
Series 2020-3, Class B4, 3.84%, 08/25/2050(a)(c) | | | 202,917 | | | 178,068 |
Series 2020-3, Class B5, 3.84%, 08/25/2050(a)(c) | | | 1,610,709 | | | 1,387,966 |
Series 2020-5, Class B4, 3.57%, 12/25/2050(a)(c) | | | 3,408,812 | | | 2,951,343 |
Series 2020-5, Class B5, 3.57%, 12/25/2050(a)(c) | | | 1,703,497 | | | 1,292,203 |
Series 2020-5, Class B6, 3.57%, 12/25/2050(a)(c) | | | 4,046,371 | | | 2,000,857 |
Series 2020-9, Class B6, 2.83%, 05/25/2051(a)(c) | | | 1,075,745 | | | 438,605 |
Series 2020-LTV1, Class B5, 4.26%, 06/25/2050(a)(c) | | | 2,770,781 | | | 2,407,144 |
Series 2020-LTV1, Class B6, 4.11%, 06/25/2050(a)(c) | | | 9,086,972 | | | 6,770,176 |
Series 2020-LTV2, Class B5, 4.01%, 11/25/2050(a)(c) | | | 3,013,864 | | | 2,476,119 |
Series 2020-LTV2, Class B6, 3.98%, 11/25/2050(a)(c) | | | 8,196,613 | | | 5,475,534 |
Series 2021-10, Class B5, 2.83%, 12/25/2051(a)(c) | | | 2,356,679 | | | 1,591,479 |
Series 2021-10, Class B6, 2.83%, 12/25/2051(a)(c) | | | 3,959,004 | | | 1,404,370 |
Series 2021-15, Class B3, 3.12%, 06/25/2052(a)(c) | | | 8,668,978 | | | 6,958,372 |
Series 2021-15, Class B4, 3.12%, 06/25/2052(a)(c) | | | 5,043,443 | | | 3,908,260 |
Series 2021-15, Class B5, 3.12%, 06/25/2052(a)(c) | | | 4,033,621 | | | 2,921,608 |
Series 2021-15, Class B6, 2.93%, 06/25/2052(a)(c) | | | 7,994,621 | | | 2,937,576 |
Series 2021-3, Class B4, 2.94%, 07/25/2051(a)(c) | | | 2,023,174 | | | 1,577,026 |
Series 2021-6, Class B4, 2.86%, 10/25/2051(a)(c) | | | 3,609,622 | | | 2,750,135 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2021-6, Class B5, 2.86%, 10/25/2051(a)(c) | | | $2,887,882 | | | $1,995,460 |
Series 2021-6, Class B6, 2.86%, 10/25/2051(a)(c) | | | 4,581,872 | | | 1,632,306 |
Series 2021-7, Class B4, 2.80%, 11/25/2051(a)(c) | | | 1,769,665 | | | 1,353,008 |
Series 2021-7, Class B5, 2.80%, 11/25/2051(a)(c) | | | 1,769,665 | | | 991,253 |
Series 2021-7, Class B6, 1.76%, 11/25/2051(a)(c) | | | 2,819,035 | | | 1,072,789 |
Series 2021-8, Class B4, 2.84%, 12/25/2051(a)(c) | | | 3,017,154 | | | 2,311,744 |
Series 2021-8, Class B5, 2.84%, 12/25/2051(a)(c) | | | 2,154,713 | | | 1,149,723 |
Series 2021-INV6, Class A5A, 2.50%, 04/25/2052(a)(c) | | | 1,154,030 | | | 949,597 |
Series 2022-1, Class B4, 3.09%, 07/25/2052(a)(c) | | | 14,152,005 | | | 10,686,745 |
Series 2022-1, Class B5, 3.09%, 07/25/2052(a)(c) | | | 6,654,589 | | | 4,253,793 |
Series 2022-1, Class B6, 2.09%, 07/25/2052(a)(c) | | | 5,628,864 | | | 2,040,041 |
Series 2023-6, Class B3, 6.23%, 12/26/2053(a)(c) | | | 4,859,466 | | | 4,908,236 |
Series 2023-6, Class B4, 6.23%, 12/26/2053(a)(c) | | | 1,579,450 | | | 1,416,376 |
Series 2023-6, Class B5, 6.23%, 12/26/2053(a)(c) | | | 1,234,000 | | | 947,668 |
Series 2023-6, Class B6, 5.89%, 12/26/2053(a)(c) | | | 986,203 | | | 640,553 |
Series 2023-7, Class B4, 6.30%, 02/25/2054(a)(c) | | | 1,035,500 | | | 905,644 |
Series 2023-7, Class B5, 6.30%, 02/25/2054(a)(c) | | | 717,000 | | | 554,320 |
Series 2023-7, Class B6, 6.06%, 02/25/2054(a)(c) | | | 637,329 | | | 412,525 |
Series 2023-9, Class B5, 6.42%, 04/25/2054(a)(c) | | | 1,054,000 | | | 842,200 |
Series 2023-9, Class B6, 6.16%, 04/25/2054(a)(c) | | | 1,054,525 | | | 708,329 |
Series 2024-4, Class B4, 7.21%, 10/25/2054(a)(c) | | | 3,037,993 | | | 3,036,274 |
Series 2024-4, Class B6, 7.12%, 10/25/2054(a)(c) | | | 2,742,301 | | | 2,017,618 |
Series 2024-5, Class B4, 6.97%, 11/25/2054(a)(c) | | | 2,639,422 | | | 2,547,826 |
Series 2024-5, Class B5, 6.97%, 11/25/2054(a)(c) | | | 2,366,000 | | | 1,929,523 |
Series 2024-6, Class B4, 6.96%, 12/25/2054(a)(c) | | | 2,515,000 | | | 2,324,677 |
Series 2024-6, Class B5, 6.96%, 12/25/2054(a)(c) | | | 1,795,000 | | | 1,485,650 |
JP Morgan Wealth Management, Series 2020-ATR1, Class A5,
3.00%, 02/25/2050(a)(c) | | | 3,000,000 | | | 2,584,278 |
JPMorgan Chase Bank NA
| | | | | | |
Series 2019-CL1, Class M2, 7.16% (1 mo. Term SOFR + 1.81%), 04/25/2047(a) | | | 3,613,206 | | | 3,692,140 |
Series 2019-CL1, Class M4, 8.06% (1 mo. Term SOFR + 2.71%), 04/25/2047(a) | | | 1,337,721 | | | 1,359,537 |
Series 2020-CL1, Class B, 15.46% (1 mo. Term SOFR + 10.11%), 10/25/2057(a) | | | 6,694,579 | | | 7,031,571 |
Series 2020-CL1, Class M2, 7.96% (1 mo. Term SOFR + 2.61%), 10/25/2057(a) | | | 3,038,460 | | | 3,101,277 |
Series 2020-CL1, Class M4, 9.81% (1 mo. Term SOFR + 4.46%), 10/25/2057(a) | | | 971,513 | | | 992,502 |
Series 2020-CL1, Class M5, 11.06% (1 mo. Term SOFR + 5.71%), 10/25/2057(a) | | | 1,865,943 | | | 1,942,181 |
Series 2021-CL1, Class B, 12.25% (30 day avg SOFR US + 6.90%), 03/25/2051(a) | | | 1,151,000 | | | 1,123,900 |
Series 2021-CL1, Class M5, 9.20% (30 day avg SOFR US + 3.85%), 03/25/2051(a) | | | 404,351 | | | 370,926 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Lake Summit Mortgage Trust
| | | | | | |
8.67%, 08/15/2049(c) | | | $3,054,044 | | | $3,012,931 |
6.68%, 08/28/2049(c) | | | 91,337,663 | | | 88,147,787 |
Lehman Mortgage Trust
| | | | | | |
Series 2007-5, Class PO1, 0.00%, 06/25/2037(f) | | | 16,392 | | | 12,027 |
Series 2007-9, Class AP, 0.00%, 10/25/2037(f) | | | 12,020 | | | 9,846 |
Lehman XS Trust
| | | | | | |
Series 2005-3, Class 3A3A, 4.86%, 09/25/2035(b) | | | 905,402 | | | 806,653 |
Series 2007-9, Class WFIO, 0.55%, 04/25/2037(d) | | | 15,383,390 | | | 154 |
Luminent Mortgage Trust
| | | | | | |
Series 2006-1, Class A1, 6.18% (1 mo. Term SOFR + 0.83%), 04/25/2036(e) | | | 3,168,377 | | | 2,716,623 |
Series 2006-1, Class X, 0.05%, 04/25/2036(c)(d) | | | 22,379,007 | | | 91,015 |
Series 2006-2, Class X, 0.00%, 02/25/2046(c)(d) | | | 29,954,787 | | | 300 |
Series 2006-5, Class X, 0.00%, 07/25/2036(c)(d) | | | 25,412,228 | | | 254 |
Mastr Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1, 4.81%, 09/25/2035(c) | | | 1,184,465 | | | 1,092,942 |
MASTR Alternative Loans Trust
| | | | | | |
Series 2004-6, Class 30PO, 0.00%, 07/25/2034(f) | | | 76,381 | | | 63,439 |
Series 2007-1, Class 15PO, 0.00%, 08/25/2024(f) | | | 2,913 | | | 0 |
Series 2007-HF1, Class 4A1, 7.00%, 10/25/2047(e) | | | 9,538,410 | | | 4,529,400 |
MASTR Asset Securitization Trust
| | | | | | |
Series 2005-2, Class PO, 0.00%, 11/25/2035(f) | | | 10,107 | | | 6,331 |
Series 2007-1, Class AP, 0.00%, 11/25/2037(f) | | | 403 | | | 0 |
Mello Mortgage Capital Acceptance
| | | | | | |
Series 2018-MTG1, Class B4, 3.69%, 03/25/2048(a)(c) | | | 1,799,000 | | | 1,410,308 |
Series 2018-MTG1, Class B5, 3.69%, 03/25/2048(a)(c) | | | 1,499,000 | | | 1,084,107 |
Series 2021-INV4, Class B5, 3.21%, 12/25/2051(a)(c) | | | 1,163,093 | | | 836,841 |
Series 2021-MTG1, Class B4, 2.64%, 04/25/2051(a)(c) | | | 1,054,277 | | | 803,937 |
Series 2021-MTG1, Class B5, 2.64%, 04/25/2051(a)(c) | | | 526,680 | | | 285,742 |
Series 2021-MTG2, Class B4, 2.67%, 06/25/2051(a)(c) | | | 1,611,095 | | | 1,157,908 |
Series 2021-MTG2, Class B5, 2.67%, 06/25/2051(a)(c) | | | 349,000 | | | 150,752 |
Series 2021-MTG3, Class B5, 2.90%, 07/01/2051(a)(c) | | | 488,000 | | | 221,845 |
Mello Warehouse Securitization Trust, Series 2021-3, Class F,
10.61% (1 mo. Term SOFR + 5.26%), 11/25/2055(a) | | | 11,750,000 | | | 11,874,479 |
Merrill Lynch Mortgage Investors, Inc., Series 2006-AF1, Class AF2A, 6.25%, 08/25/2036 | | | 1,637,917 | | | 705,606 |
MFRA Trust
| | | | | | |
Series 2021-AEI2, Class B1, 3.28%, 10/25/2051(a)(c)(e) | | | 3,110,312 | | | 2,578,744 |
Series 2021-AEI2, Class B2, 3.28%, 10/25/2051(a)(c)(e) | | | 5,705,553 | | | 4,674,771 |
Series 2021-AEI2, Class B5, 3.28%, 10/25/2051(a)(c) | | | 1,984,540 | | | 1,435,223 |
Series 2021-RPL1, Class A2, 2.07%, 07/25/2060(a)(c) | | | 4,106,000 | | | 3,409,951 |
Series 2021-RPL1, Class M2, 2.85%, 07/25/2060(a)(c) | | | 4,500,000 | | | 3,610,746 |
Morgan Stanley ABS Capital, Inc.
| | | | | | |
Series 2007-HE6, Class A3, 5.64% (1 mo. Term SOFR + 0.29%), 05/25/2037 | | | 12,558,084 | | | 11,471,446 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2007-HE6, Class A4, 5.71% (1 mo. Term SOFR + 0.36%), 05/25/2037(e) | | | $1,808,364 | | | $1,631,879 |
Morgan Stanley Mortgage Loan Trust
| | | | | | |
Series 2005-6AR, Class 5A1, 4.53%, 11/25/2035(c) | | | 2,004,315 | | | 886,576 |
Series 2006-3AR, Class 1AX, 0.00%, 03/25/2036(c)(d) | | | 13,724,198 | | | 359,396 |
Series 2006-3AR, Class 2A1, 4.79%, 03/25/2036(c)(e) | | | 4,536,766 | | | 2,834,712 |
Series 2006-3AR, Class 2A3, 4.79%, 03/25/2036(c)(e) | | | 2,305,934 | | | 1,511,238 |
Series 2006-5AR, Class AX, 0.00%, 04/25/2036(c)(d) | | | 15,044,485 | | | 147,917 |
Series 2006-7, Class 4A2, 6.00% (1 mo. Term SOFR + 0.86%), 06/25/2036 | | | 3,051,208 | | | 1,194,835 |
Morgan Stanley Reremic Trust, Series 2015-R4, Class CB3,
4.82%, 08/26/2047(a)(c) | | | 1,010,309 | | | 775,106 |
Morgan Stanley Residential Mortgage Loan Trust
| | | | | | |
Series 2021-1, Class B4, 2.95%, 03/25/2051(a)(c) | | | 777,338 | | | 470,172 |
Series 2021-1, Class B5, 2.95%, 03/25/2051(a)(c) | | | 988,000 | | | 501,073 |
Series 2021-3, Class B4, 2.79%, 06/25/2051(a)(c) | | | 1,093,000 | | | 561,921 |
Series 2021-3, Class B5, 2.79%, 06/25/2051(a)(c) | | | 781,000 | | | 342,786 |
Series 2021-4, Class B1, 2.93%, 07/25/2051(a)(c) | | | 7,231,785 | | | 5,854,744 |
Series 2021-4, Class B2, 2.93%, 07/25/2051(a)(c)(e) | | | 3,426,260 | | | 2,756,327 |
Series 2021-4, Class B4, 2.93%, 07/25/2051(a)(c) | | | 1,240,000 | | | 658,710 |
Series 2021-4, Class B5, 2.93%, 07/25/2051(a)(c) | | | 690,000 | | | 312,826 |
Series 2021-5, Class B2, 2.98%, 08/25/2051(a)(c)(e) | | | 6,012,682 | | | 4,887,132 |
Series 2021-5, Class B4, 2.98%, 08/25/2051(a)(c) | | | 2,004,538 | | | 1,203,354 |
Series 2021-5, Class B5, 2.98%, 08/25/2051(a)(c) | | | 956,000 | | | 441,334 |
MortgageIT Trust, Series 2006-1, Class 1X, 0.00%, 04/25/2036(c)(d) | | | 7,871,618 | | | 79 |
New Residential Mortgage Loan Trust
| | | | | | |
Series 2018-2A, Class B6, 5.36%, 02/25/2058(a)(c) | | | 1,175,207 | | | 769,972 |
Series 2019-2A, Class B6, 4.79%, 12/25/2057(a)(c) | | | 4,949,412 | | | 3,598,183 |
Series 2019-6A, Class B5IA, 1.75%, 09/25/2059(a)(c)(d) | | | 13,734,754 | | | 1,063,029 |
Series 2019-6A, Class B6, 4.38%, 09/25/2059(a)(c) | | | 16,588,500 | | | 9,170,272 |
Nomura Resecuritization Trust, Series 2014-3R, Class 4A15, 2.04%
(1 mo. Term SOFR + 0.27%), 03/26/2037(a)(e) | | | 3,759,194 | | | 2,958,726 |
Oceanview Mortgage Trust
| | | | | | |
Series 2021-5, Class B4, 2.97%, 10/25/2051(a)(c) | | | 1,715,000 | | | 935,409 |
Series 2021-5, Class B5, 2.97%, 10/25/2051(a)(c) | | | 734,000 | | | 343,336 |
Onslow Bay Mortgage Loan Trust
| | | | | | |
Series 2021-INV3, Class A3, 2.50%, 10/25/2051(a)(c) | | | 1,231,434 | | | 1,004,611 |
Series 2021-J2, Class A1, 2.50%, 07/25/2051(a)(c) | | | 1,607,553 | | | 1,309,522 |
Series 2021-NQM1, Class A1, 1.07%, 02/25/2066(a)(c) | | | 1,089,160 | | | 950,885 |
Series 2021-NQM2, Class A3, 1.56%, 05/25/2061(a)(c) | | | 1,951,907 | | | 1,596,546 |
PHH Alternative Mortgage Trust
| | | | | | |
Series 2007-1, Class 21PO, 0.00%, 02/25/2037(f) | | | 11,651 | | | 9,373 |
Series 2007-2, Class 2A2, 6.00%, 05/25/2037 | | | 1,054,127 | | | 873,382 |
Pretium Mortgage Credit Partners LLC
| | | | | | |
Series 2021-NPL2, Class A1, 4.99%, 06/27/2060(a)(b) | | | 939,676 | | | 922,882 |
Series 2021-RN1, Class A1, 4.99%, 02/25/2061(a)(b) | | | 4,136,632 | | | 4,084,689 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2024-NPL3, Class A1, 7.52%, 04/27/2054(a)(b) | | | $1,967,345 | | | $1,998,533 |
Series 2024-NPL4, Class A1, 7.00%, 07/25/2054(a)(b) | | | 1,000,000 | | | 1,009,968 |
PRKCM Trust, Series 2023-AFC4, Class A1, 7.23%, 11/25/2058(a)(b) | | | 3,585,623 | | | 3,703,210 |
Progress Residential Trust, Series 2023-SFR2, Class D,
4.50%, 10/17/2040(a) | | | 800,000 | | | 755,910 |
PRPM LLC
| | | | | | |
Series 2021-3, Class A1, 4.87%, 04/25/2026(a)(b) | | | 368,018 | | | 360,631 |
Series 2021-7, Class A1, 1.87%, 08/25/2026(a)(b) | | | 2,035,962 | | | 1,977,274 |
Series 2021-RPL1, Class M1, 2.68%, 07/25/2051(a)(c) | | | 6,167,000 | | | 5,066,123 |
Series 2022-NQM1, Class B1, 5.43%, 08/25/2067(a)(c) | | | 3,500,000 | | | 3,285,376 |
Series 2023-NQM3, Class M1, 7.25%, 11/25/2068(a)(c) | | | 750,000 | | | 776,911 |
Series 2024-1, Class A1, 6.96%, 02/25/2029(a)(b) | | | 3,535,902 | | | 3,579,542 |
Series 2024-2, Class A1, 7.03%, 03/25/2029(a)(b) | | | 951,272 | | | 966,477 |
Series 2024-3, Class A1, 6.99%, 05/25/2029(a)(b) | | | 1,923,741 | | | 1,956,418 |
Series 2024-3, Class A2, 9.56%, 05/25/2029(a)(b) | | | 1,000,000 | | | 1,017,020 |
Series 2024-NQM1, Class A3, 6.67%, 12/25/2068(a)(b) | | | 1,683,726 | | | 1,709,571 |
Series 2024-NQM2, Class B1, 7.73%, 06/25/2069(a)(c) | | | 2,000,000 | | | 2,008,532 |
Series 2024-RCF1, Class A1, 4.00%, 01/25/2054(a)(b) | | | 1,653,179 | | | 1,597,669 |
Series 2024-RCF1, Class A3, 4.00%, 01/25/2054(a)(b) | | | 1,000,000 | | | 918,281 |
Series 2024-RCF1, Class M1, 4.00%, 01/25/2054(a)(b) | | | 1,250,000 | | | 1,099,590 |
Series 2024-RCF2, Class A3, 3.75%, 03/25/2054(a)(b) | | | 2,000,000 | | | 1,818,640 |
Radnor RE Ltd.
| | | | | | |
Series 2021-1, Class M2, 8.50% (30 day avg SOFR US + 3.15%), 12/27/2033(a) | | | 3,500,000 | | | 3,512,747 |
Series 2023-1, Class M1A, 8.05% (30 day avg SOFR US + 2.70%), 07/25/2033(a) | | | 4,500,000 | | | 4,551,188 |
RALI Trust
| | | | | | |
Series 2005-QA13, Class 2A1, 5.33%, 12/25/2035(c)(e) | | | 3,312,999 | | | 2,948,413 |
Series 2005-QO5, Class X, 1.70%, 01/25/2046(c)(d) | | | 20,441,003 | | | 861,527 |
Series 2005-QS13, Class AP, 0.00%, 09/25/2035(f) | | | 202,894 | | | 115,111 |
Series 2005-QS17, Class A1, 6.00%, 12/25/2035(e) | | | 1,657,382 | | | 1,458,080 |
Series 2005-QS17, Class AP, 0.00%, 12/25/2035(f) | | | 230,148 | | | 136,003 |
Series 2006-QA7, Class 2A1, 5.83% (1 mo. Term SOFR + 0.48%), 08/25/2036(e) | | | 4,768,419 | | | 4,197,567 |
Series 2006-QA9, Class A1, 5.82% (1 mo. Term SOFR + 0.47%), 11/25/2036 | | | 1,422,460 | | | 781,855 |
Series 2006-QS11, Class 1A2, 6.00%, 08/25/2036(e) | | | 1,954,069 | | | 1,497,647 |
Series 2006-QS11, Class 1A8, 6.00%, 08/25/2036(e) | | | 1,946,838 | | | 1,477,778 |
Series 2006-QS12, Class AP, 0.00%, 09/25/2036(f) | | | 74,291 | | | 44,333 |
Series 2006-QS14, Class A15, 5.76% (1 mo. Term SOFR + 0.41%), 11/25/2036 | | | 1,387,853 | | | 956,876 |
Series 2006-QS14, Class A25, 6.50%, 11/25/2036(e) | | | 4,735,405 | | | 3,893,976 |
Series 2006-QS15, Class A5, 6.50%, 10/25/2036 | | | 931,100 | | | 790,103 |
Series 2006-QS15, Class AP, 0.00%, 10/25/2036(f) | | | 111,173 | | | 54,789 |
Series 2006-QS16, Class AP, 0.00%, 11/25/2036(f) | | | 100,881 | | | 48,882 |
Series 2006-QS3, Class 1A1, 5.50% (1 mo. Term SOFR + 0.81%), 03/25/2036(e) | | | 2,391,765 | | | 1,890,528 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2006-QS3, Class 1A8, 5.86% (1 mo. Term SOFR + 0.51%), 03/25/2036 | | | $1,290,390 | | | $1,035,954 |
Series 2006-QS5, Class AP, 0.00%, 05/25/2036(f) | | | 29,533 | | | 18,015 |
Series 2006-QS9, Class 1AP, 0.00%, 07/25/2036(f) | | | 35,392 | | | 20,111 |
Series 2006-QS9, Class 2AP, 0.00%, 07/25/2036(f) | | | 14,951 | | | 0 |
Series 2007-QA2, Class A3, 5.76% (1 mo. Term SOFR + 0.41%), 02/25/2037(e) | | | 5,077,776 | | | 4,518,647 |
Series 2007-QS1, Class 1AP, 0.00%, 01/25/2037(f) | | | 22,082 | | | 17,806 |
Series 2007-QS1, Class 2A10, 6.00%, 01/25/2037 | | | 1,381,964 | | | 1,059,851 |
Series 2007-QS3, Class AP, 0.00%, 02/25/2037(f) | | | 377,655 | | | 175,142 |
Series 2007-QS4, Class 4A3, 0.00%, 03/25/2037(f) | | | 500,777 | | | 24,186 |
Series 2007-QS5, Class AP, 0.00%, 03/25/2037(f) | | | 173,004 | | | 86,948 |
Series 2007-QS6, Class AP, 0.00%, 04/25/2037(f) | | | 293,591 | | | 135,603 |
Series 2007-QS9, Class AP, 0.00%, 07/25/2037(f) | | | 833,931 | | | 376,953 |
Rate Mortgage Trust
| | | | | | |
Series 2021-HB1, Class B4, 2.70%, 12/25/2051(a)(c) | | | 2,505,818 | | | 1,682,374 |
Series 2021-HB1, Class B5, 2.70%, 12/25/2051(a)(c) | | | 575,000 | | | 221,959 |
Series 2021-J1, Class B4, 2.71%, 07/25/2051(a)(c) | | | 1,291,000 | | | 655,309 |
Series 2021-J1, Class B5, 2.71%, 07/25/2051(a)(c) | | | 922,000 | | | 398,341 |
Series 2022-J1, Class B4, 2.75%, 01/25/2052(a)(c) | | | 3,552,028 | | | 1,947,577 |
RBSSP Resecuritization Trust, Series 2009-3, Class 3A3,
5.75%, 09/26/2035(a)(c) | | | 1,394,369 | | | 1,230,595 |
RCKT Mortgage Trust
| | | | | | |
Series 2021-2, Class B4, 2.56%, 06/25/2051(a)(c) | | | 2,445,358 | | | 1,725,760 |
Series 2021-2, Class B5, 2.56%, 06/25/2051(a)(c) | | | 1,566,000 | | | 738,515 |
Series 2021-4, Class B5, 3.01%, 09/25/2051(a)(c) | | | 7,799,811 | | | 4,802,445 |
Series 2021-4, Class B6, 3.01%, 09/25/2051(a)(c) | | | 6,069,465 | | | 2,188,248 |
Series 2021-6, Class B5, 2.79%, 12/25/2051(a)(c) | | | 1,948,000 | | | 788,028 |
Series 2022-1, Class B3, 2.76%, 01/25/2052(a)(c) | | | 9,279,922 | | | 7,098,667 |
Series 2022-1, Class B4, 2.76%, 01/25/2052(a)(c) | | | 5,197,193 | | | 3,610,636 |
Series 2022-1, Class B5, 2.76%, 01/25/2052(a)(c) | | | 2,245,000 | | | 908,819 |
Series 2022-1, Class B6, 2.76%, 01/25/2052(a)(c) | | | 2,066,093 | | | 686,738 |
Residential Asset Securitization Trust
| | | | | | |
Series 2005-A11, Class 1A1, 5.50% (1 mo. Term SOFR + 0.56%), 10/25/2035 | | | 1,646,217 | | | 973,588 |
Series 2005-A11, Class 1A3, 5.50%, 10/25/2035 | | | 1,489,463 | | | 1,023,004 |
Series 2005-A11, Class PO, 0.00%, 10/25/2035(f) | | | 558,145 | | | 263,862 |
Series 2006-A2, Class A5, 6.00% (1 mo. Term SOFR + 0.81%), 01/25/2046 | | | 1,855,458 | | | 673,294 |
Series 2006-A8, Class 2A2, 6.75%, 08/25/2036(e) | | | 10,306,484 | | | 3,292,839 |
Series 2006-A8, Class 2A3, 6.00%, 08/25/2036(e) | | | 6,231,897 | | | 1,910,911 |
Series 2006-A8, Class 2A4, 6.50%, 08/25/2036(e) | | | 10,236,563 | | | 2,966,628 |
Series 2007-A2, Class 2A2, 6.50%, 04/25/2037 | | | 3,941,174 | | | 1,128,264 |
Series 2007-A8, Class 1A1, 6.00%, 08/25/2037 | | | 3,911,769 | | | 2,025,780 |
RFMSI Trust
| | | | | | |
Series 2005-S7, Class AP, 0.00%, 11/25/2035(f) | | | 18,208 | | | 12,473 |
Series 2006-S10, Class 1AP, 0.00%, 10/25/2036(f) | | | 11,530 | | | 6,054 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2006-S4, Class AP, 0.00%, 04/25/2036(f) | | | $109,525 | | | $67,614 |
Series 2006-S5, Class A4, 0.00%, 06/25/2036(f) | | | 30,254 | | | 16,867 |
Series 2007-S1, Class A7, 6.00%, 01/25/2037 | | | 1,117,313 | | | 867,854 |
Series 2007-S5, Class AP, 0.00%, 05/25/2037(f) | | | 182,901 | | | 92,917 |
Rithm Capital Corp.
| | | | | | |
Series 2022-SFR2, Class E2, 4.00%, 09/04/2039(a) | | | 2,554,000 | | | 2,242,644 |
Series 2023-NQM1, Class B1, 7.59%, 10/25/2063(a)(c) | | | 3,000,000 | | | 3,022,479 |
Saluda Grade Mortgage Funding LLC
| | | | | | |
Series 2020-SEQ1, Class A1, 3.32%, 05/25/2050(a)(c) | | | 3,469,060 | | | 3,286,917 |
Series 2020-SEQ1, Class C, 0.00%, 05/25/2050(a)(c)(d) | | | 31,330,421 | | | 3,617,285 |
Series 2021-FIG2, Class C, 0.00%, 10/25/2051(a)(c)(d) | | | 149,483 | | | 616,087 |
Series 2021-FIG2, Class M1, 4.25%, 10/25/2051(a)(c) | | | 1,449,524 | | | 1,699,197 |
Series 2021-FIG2, Class M2, 6.00%, 10/25/2051(a)(c) | | | 1,159,619 | | | 1,342,568 |
Series 2021-MF1, Class A1, 2.81%, 11/25/2029(a)(c) | | | 12,474,356 | | | 12,580,313 |
Series 2022-SEQ2, Class B1, 5.50%, 02/25/2052(a)(c) | | | 3,153,250 | | | 2,708,982 |
Series 2022-SEQ2, Class B2, 6.00%, 02/25/2052(a)(c) | | | 2,011,000 | | | 1,726,331 |
Series 2022-SEQ2, Class B3, 7.90%, 02/25/2052(a)(c) | | | 2,309,200 | | | 2,023,194 |
Series 2022-SEQ2, Class CERT, 0.00%, 02/25/2052(a) | | | 38,061,600 | | | 35,388,420 |
Series 2022-SEQ2, Class M1, 5.00%, 02/25/2052(a)(c) | | | 5,213,750 | | | 4,729,466 |
Series 2022-SEQ2, Class XS, 0.00%, 02/25/2052(a)(c)(d) | | | 115,983,906 | | | 6,026,988 |
Series 2022-SG2, Class A, 5.00%, 05/15/2052(a) | | | 15,000,000 | | | 14,781,735 |
Series 2023-FIG3, Class A, 7.07%, 08/25/2053(a)(c) | | | 3,577,261 | | | 3,708,536 |
Series 2023-FIG4, Class A, 6.72%, 11/25/2053(a)(c) | | | 5,818,024 | | | 5,993,746 |
Series 2023-SEQ3, Class A2, 6.89%, 06/01/2053(a)(c) | | | 4,250,000 | | | 4,359,756 |
Sequoia Mortgage Trust
| | | | | | |
Series 2005-2, Class XA, 0.00%, 03/20/2035(c)(d) | | | 3,397,533 | | | 0 |
Series 2007-1, Class 5A1, 4.26%, 10/20/2046(c)(e) | | | 1,855,152 | | | 1,383,190 |
Series 2021-1, Class B4, 2.66%, 03/25/2051(a)(c) | | | 2,414,921 | | | 1,539,024 |
Series 2023-4, Class A10, 6.00%, 11/25/2053(a)(c) | | | 3,449,493 | | | 3,487,427 |
Series 2024-1, Class A13, 6.00%, 01/25/2054(a)(c) | | | 4,000,000 | | | 4,002,356 |
Series 2024-2, Class A13, 6.00%, 12/25/2053(a)(c) | | | 3,000,000 | | | 3,018,888 |
SGR Residential Mortgage Trust
| | | | | | |
Series 2020-2, Class A1, 1.38%, 05/25/2065(a)(c) | | | 636,919 | | | 573,618 |
Series 2021-2, Class A1, 1.74%, 12/25/2061(a)(c) | | | 3,212,776 | | | 2,681,132 |
Series 2021-2, Class A2, 1.94%, 12/25/2061(a)(c) | | | 7,662,377 | | | 6,423,478 |
Shellpoint Asset Funding Trust
| | | | | | |
Series 2013-1, Class B4, 3.84%, 07/25/2043(a)(c) | | | 782,566 | | | 701,803 |
Series 2013-1, Class B5, 3.84%, 07/25/2043(a)(c)(e) | | | 2,733,998 | | | 1,858,178 |
Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class B2, 4.68%, 01/28/2050(a)(c) | | | 6,000,000 | | | 5,148,282 |
Starwood Mortgage Residential Trust
| | | | | | |
Series 2021-1, Class B1, 3.52%, 05/25/2065(a)(c) | | | 1,158,500 | | | 967,496 |
Series 2021-2, Class A3, 1.43%, 05/25/2065(a)(c) | | | 179,953 | | | 166,084 |
Series 2021-3, Class M1, 2.49%, 06/25/2056(a)(c) | | | 5,170,000 | | | 3,573,163 |
Series 2021-5, Class A3, 2.44%, 09/25/2066(a)(c) | | | 7,726,328 | | | 6,469,633 |
Series 2022-SFR3, Class A, 6.98% (1 mo. Term SOFR + 1.65%), 05/17/2039(a) | | | 1,978,548 | | | 1,983,129 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 3A1, 5.03%, 09/25/2035(c)(e) | | | $1,598,285 | | | $1,098,632 |
Structured Asset Mortgage Investments, Inc.
| | | | | | |
Series 2004-AR1, Class X, 0.00%, 03/19/2034(c)(d) | | | 3,889,744 | | | 39 |
Series 2004-AR7, Class X, 0.13%, 04/19/2035(c)(d) | | | 5,969,375 | | | 32,730 |
Series 2005-AR2, Class 1X, 0.01%, 05/25/2045(c)(d) | | | 6,896,621 | | | 9,524 |
Series 2005-AR3, Class 1X, 0.01%, 08/25/2035(c)(d) | | | 9,277,467 | | | 16,644 |
Series 2006-AR5, Class 1X, 0.00%, 05/25/2046(c)(d) | | | 10,270,470 | | | 111,856 |
Series 2006-AR5, Class 4X, 0.00%, 05/25/2046(c)(d) | | | 35,313,912 | | | 29,205 |
Series 2006-AR8, Class X, 0.40%, 10/25/2036(d) | | | 53,424,156 | | | 764,179 |
Terwin Mortgage Trust, Series 2005-18AL, Class PX,
0.00%, 01/25/2037(a)(c)(d) | | | 22,625,190 | | | 136,928 |
Towd Point Mortgage Trust, Series 2019-HY2, Class B3, 7.71%
(1 mo. Term SOFR + 2.36%), 05/25/2058(a) | | | 2,294,000 | | | 2,293,310 |
Triangle Re Ltd.
| | | | | | |
Series 2021-3, Class M1B, 8.25% (30 day avg SOFR US + 2.90%), 02/25/2034(a) | | | 7,230,278 | | | 7,334,698 |
Series 2021-3, Class M2, 9.10% (30 day avg SOFR US + 3.75%), 02/25/2034(a) | | | 2,200,000 | | | 2,288,605 |
Series 2023-1, Class M1A, 8.75% (30 day avg SOFR US + 3.40%), 11/25/2033(a) | | | 5,000,000 | | | 5,101,570 |
Unlock Hea Trust
| | | | | | |
Series 2022-1, Class A, 7.00%, 09/25/2035(a)(b) | | | 8,854,335 | | | 8,871,114 |
Series 2022-1, Class B, 8.00%, 09/25/2035(a)(b) | | | 10,000,000 | | | 9,451,870 |
Series 2023-1, Class A, 7.00%, 10/25/2038(a) | | | 1,743,149 | | | 1,739,370 |
UWM Mortgage Trust
| | | | | | |
Series 2021-INV1, Class B5, 3.15%, 08/25/2051(a)(c) | | | 1,576,727 | | | 1,223,665 |
Series 2021-INV2, Class B5, 3.25%, 09/25/2051(a)(c) | | | 2,066,965 | | | 1,571,288 |
Verus Securitization Trust
| | | | | | |
Series 2021-4, Class A3, 1.35%, 07/25/2066(a)(c) | | | 1,676,445 | | | 1,390,371 |
Series 2022-3, Class M1, 4.07%, 02/25/2067(a)(c) | | | 2,500,000 | | | 1,927,897 |
Series 2022-7, Class B1, 5.37%, 07/25/2067(a)(c) | | | 3,119,000 | | | 2,987,403 |
Series 2022-7, Class M1, 5.37%, 07/25/2067(a)(c) | | | 750,000 | | | 739,727 |
Series 2022-8, Class A3, 6.13%, 09/25/2067(a)(b) | | | 588,385 | | | 598,199 |
Series 2022-INV1, Class B1, 5.82%, 08/25/2067(a)(c) | | | 3,483,000 | | | 3,376,810 |
Series 2023-2, Class A2, 6.60%, 03/25/2068(a)(b) | | | 2,637,025 | | | 2,652,515 |
Series 2023-5, Class B1, 8.11%, 06/25/2068(a)(c) | | | 5,000,000 | | | 5,044,230 |
Series 2023-8, Class M1, 7.45%, 12/25/2068(a)(c) | | | 850,000 | | | 880,885 |
Series 2023-INV1, Class M1, 7.55%, 02/25/2068(a)(c) | | | 2,300,000 | | | 2,309,386 |
Series 2024-1, Class B1, 7.91%, 01/25/2069(a)(c) | | | 4,339,000 | | | 4,377,916 |
Series 2024-2, Class B1, 7.86%, 02/25/2069(a)(c) | | | 7,500,000 | | | 7,629,968 |
WaMu Mortgage Pass Through Certificates
| | | | | | |
Series 2004-AR10, Class X, 0.00%, 07/25/2044(c)(d) | | | 8,293,188 | | | 12,456 |
Series 2005-AR6, Class X, 0.06%, 04/25/2045(c)(d) | | | 14,865,038 | | | 85,192 |
Series 2007-OA4, Class 1XPP, 0.00%, 05/25/2047(c)(d) | | | 65,108,450 | | | 19,858 |
Series 2007-OA5, Class 1XPP, 0.00%, 06/25/2047(c)(d) | | | 56,127,192 | | | 4,097 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
| | | | | | |
Series 2006-2, Class 1A1, 6.00%, 03/25/2036 | | | $890,341 | | | $821,858 |
Series 2006-2, Class 4CB, 6.00%, 03/25/2036 | | | 1,007,014 | | | 935,615 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
| | | | | | |
Series 2003-MS7, Class P, 0.00%, 03/25/2033(f) | | | 213 | | | 154 |
Series 2005-5, Class CB11, 6.00% (1 mo. Term SOFR + 1.51%), 07/25/2035(e) | | | 2,872,115 | | | 2,571,468 |
Series 2006-AR8, Class 3X1, 0.04%, 10/25/2046(c)(d) | | | 11,137,696 | | | 153,656 |
Series 2007-OA4, Class XPPP, 0.01%, 04/25/2047(c)(d) | | | 19,042,949 | | | 67,545 |
Wells Fargo Mortgage Backed Securities Trust
| | | | | | |
Series 2007-17, Class APO, 0.00%, 01/25/2038(f) | | | 15,619 | | | 9,580 |
Series 2007-PA2, Class 1A1, 6.00%, 06/25/2037 | | | 749,219 | | | 675,233 |
Series 2007-PA3, Class 4A1, 6.50%, 07/25/2037 | | | 1,306,518 | | | 1,120,439 |
Series 2007-PA3, Class 4A3, 6.50%, 07/25/2037 | | | 1,433,247 | | | 1,229,118 |
Series 2019-3, Class B4, 3.73%, 07/25/2049(a)(c) | | | 1,627,000 | | | 1,150,852 |
Series 2019-4, Class B4, 3.52%, 09/25/2049(a)(c) | | | 2,124,000 | | | 1,422,094 |
Series 2021-1, Class B4, 2.70%, 12/25/2050(a)(c) | | | 1,818,000 | | | 1,012,491 |
Series 2021-1, Class B5, 2.70%, 12/25/2050(a)(c) | | | 1,011,000 | | | 498,081 |
Series 2022-1, Class B2, 2.97%, 08/25/2051(a)(c)(e) | | | 4,564,519 | | | 3,729,796 |
Series 2022-1, Class B4, 2.97%, 08/25/2051(a)(c) | | | 1,520,880 | | | 1,135,439 |
Series 2022-1, Class B5, 2.97%, 08/25/2051(a)(c) | | | 1,158,000 | | | 538,773 |
Western Alliance Bancorp
| | | | | | |
Series 2021-CL2, Class B, 13.85% (30 day avg SOFR US + 8.50%), 07/25/2059(a) | | | 6,600,000 | | | 6,556,994 |
Series 2021-CL2, Class M4, 10.70% (30 day avg SOFR US + 5.35%), 07/25/2059(a) | | | 12,380,053 | | | 12,217,243 |
Series 2021-CL2, Class M5, 11.85% (30 day avg SOFR US + 6.50%), 07/25/2059(a) | | | 7,231,417 | | | 7,053,206 |
WinWater Mortgage Loan Trust
| | | | | | |
Series 2014-1, Class B5, 3.92%, 06/20/2044(a)(c)(e) | | | 2,370,000 | | | 1,789,682 |
Series 2014-2, Class B5, 4.04%, 09/20/2044(a)(c) | | | 1,938,000 | | | 1,639,157 |
Series 2015-A, Class B5, 3.85%, 06/20/2045(a)(c) | | | 3,899,813 | | | 2,265,850 |
ZeroDown LLC
| | | | | | |
Series 2021-SFR1, Class A, 3.86%, 09/25/2024(a)(c) | | | 6,454,801 | | | 6,470,725 |
Series 2021-SFR1, Class B, 7.68%, 09/25/2024(a) | | | 1,721,262 | | | 1,725,029 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $1,670,976,172) | | | | | | 1,427,272,303 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 17.3%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Pool QG4323, 6.00%, 06/01/2053 | | | 3,298,413 | | | 3,357,145 |
Pool QI2043, 6.00%, 03/01/2054 | | | 10,692,441 | | | 10,862,782 |
Pool QI2950, 6.00%, 04/01/2054 | | | 2,345,954 | | | 2,387,727 |
Pool QJ0225, 6.00%, 07/01/2054 | | | 11,817,770 | | | 11,998,653 |
Pool RJ0846, 6.00%, 02/01/2054 | | | 2,679,341 | | | 2,720,350 |
Pool SD5143, 6.00%, 04/01/2054 | | | 22,672,994 | | | 23,062,539 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — (Continued)
|
Pool SD5709, 6.00%, 07/01/2054 | | | $3,989,458 | | | $4,053,014 |
Pool SD5781, 6.00%, 07/01/2054 | | | 8,400,000 | | | 8,533,820 |
Pool SD5809, 6.00%, 07/01/2054 | | | 5,100,000 | | | 5,173,282 |
Pool SD8322, 4.50%, 05/01/2053 | | | 373,506 | | | 359,381 |
Federal National Mortgage Association
| | | | | | |
4.00%, 08/15/2040 | | | 10,000,000 | | | 9,353,125 |
6.00%, 08/15/2040 | | | 45,000,000 | | | 45,632,520 |
Pool BY0126, 5.50%, 04/01/2053 | | | 4,201,843 | | | 4,211,667 |
Pool CB4289, 4.50%, 08/01/2052 | | | 3,199,021 | | | 3,081,038 |
Pool CB8004, 6.00%, 02/01/2054 | | | 4,693,750 | | | 4,771,459 |
Pool CB8710, 6.00%, 06/01/2054 | | | 3,982,133 | | | 4,055,528 |
Pool DB4019, 6.00%, 05/01/2054 | | | 6,200,196 | | | 6,318,347 |
Pool DB6624, 5.50%, 06/01/2054 | | | 1,298,603 | | | 1,303,104 |
Pool FS7798, 6.00%, 06/01/2054 | | | 3,961,474 | | | 4,032,012 |
Government National Mortgage Association
| | | | | | |
5.00%, 08/15/2040 | | | 45,000,000 | | | 44,389,075 |
5.50%, 03/20/2053 | | | 45,000,000 | | | 45,058,133 |
Pool MA8201, 4.50%, 08/20/2052 | | | 7,973,858 | | | 7,723,383 |
Pool MA8202, 5.00%, 08/20/2052 | | | 21,803,148 | | | 21,534,729 |
Pool MA8429, 5.50%, 11/20/2052 | | | 9,294,985 | | | 9,316,717 |
Pool MA8430, 6.00%, 11/20/2052 | | | 8,010,093 | | | 8,102,970 |
Pool MA8491, 5.50%, 12/20/2052 | | | 10,697,226 | | | 10,722,236 |
Pool MA8647, 5.00%, 02/20/2053 | | | 8,302,891 | | | 8,198,083 |
Pool MA8725, 5.00%, 03/20/2053 | | | 1,475,113 | | | 1,456,493 |
Pool MA8727, 6.00%, 03/20/2053 | | | 4,059,828 | | | 4,106,902 |
Pool MA8799, 4.50%, 04/20/2053 | | | 3,769,062 | | | 3,643,601 |
Pool MA8801, 5.50%, 04/20/2053 | | | 29,565,265 | | | 29,671,346 |
Pool MA8878, 5.00%, 05/20/2053 | | | 8,618,056 | | | 8,509,270 |
Pool MA8947, 5.00%, 06/20/2053 | | | 38,221,473 | | | 37,739,004 |
Pool MA8948, 5.50%, 06/20/2053 | | | 11,492,880 | | | 11,519,750 |
Pool MA9016, 5.00%, 07/20/2053 | | | 28,832,435 | | | 28,468,483 |
Pool MA9166, 3.00%, 09/20/2053 | | | 3,748,433 | | | 3,352,190 |
Pool MA9485, 4.00%, 02/20/2054 | | | 11,175,248 | | | 10,530,860 |
Pool MA9538, 4.00%, 03/20/2054 | | | 8,920,824 | | | 8,417,582 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $454,596,398) | | | | | | 457,728,300 |
ASSET-BACKED SECURITIES — 12.8%
| | | | | | |
Automobile — 6.4%
| | | | | | |
ACC Trust, Series 2022-1, Class D, 6.65%, 10/20/2028(a) | | | 1,500,000 | | | 150 |
Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D, 7.38%, 09/17/2029(a) | | | 500,000 | | | 492,380 |
Avis Budget Car Rental LLC
| | | | | | |
Series 2019-2A, Class D, 3.04%, 09/22/2025(a) | | | 1,500,000 | | | 1,497,366 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Series 2020-1A, Class D, 3.34%, 08/20/2026(a) | | | $5,000,000 | | | $4,840,140 |
Series 2023-1A, Class C, 6.23%, 04/20/2029(a) | | | 700,000 | | | 708,337 |
BOF URSA Funding Trust
| | | | | | |
Series 2024-CAR1, Class D, 7.40% (30 day avg SOFR US + 2.05%), 12/26/2031(a) | | | 433,747 | | | 436,700 |
Series 2024-CAR1, Class E, 8.95% (30 day avg SOFR US + 3.60%), 12/26/2031(a) | | | 390,372 | | | 391,344 |
CAL Receivables LLC, Series 2022-1, Class B, 9.69% (30 day avg SOFR US + 4.35%), 10/15/2026(a) | | | 8,295,414 | | | 8,321,884 |
Carvana Auto Receivables Trust
| | | | | | |
Series 2021-N1, Class F, 4.55%, 01/10/2028(a) | | | 1,552,697 | | | 1,505,978 |
Series 2021-N2, Class E, 2.90%, 03/10/2028(a) | | | 20,537,042 | | | 19,368,854 |
Series 2021-N3, Class E, 3.16%, 06/12/2028(a) | | | 7,110,000 | | | 6,605,389 |
Series 2021-N4, Class E, 4.53%, 09/11/2028(a) | | | 7,670,000 | | | 7,217,010 |
CPS Auto Trust
| | | | | | |
Series 2021-B, Class E, 3.41%, 06/15/2028(a) | | | 500,000 | | | 485,626 |
Series 2021-D, Class E, 4.06%, 12/15/2028(a) | | | 500,000 | | | 479,395 |
Series 2022-A, Class E, 4.88%, 04/16/2029(a) | | | 5,400,000 | | | 5,117,634 |
Series 2024-B, Class E, 8.36%, 11/17/2031(a) | | | 2,980,000 | | | 3,083,439 |
Series 2024-C, Class E, 8.04%, 03/15/2032(a) | | | 1,500,000 | | | 1,531,050 |
DT Auto Owner Trust, Series 2022-1A, Class E, 5.53%, 03/15/2029(a) | | | 5,000,000 | | | 4,813,450 |
Exeter Automobile Receivables Trust
| | | | | | |
Series 2021-3A, Class E, 3.04%, 12/15/2028(a) | | | 1,700,000 | | | 1,598,751 |
Series 2022-1A, Class E, 5.02%, 10/15/2029(a) | | | 2,000,000 | | | 1,913,442 |
Series 2022-5A, Class E, 10.45%, 04/15/2030(a) | | | 7,146,000 | | | 7,563,641 |
Series 2023-2A, Class E, 9.75%, 11/15/2030(a) | | | 600,000 | | | 645,954 |
Series 2024-1A, Class E, 7.89%, 08/15/2031(a) | | | 600,000 | | | 606,880 |
Series 2024-2A, Class E, 7.98%, 10/15/2031(a) | | | 600,000 | | | 605,888 |
Series 2024-3A, Class E, 7.84%, 10/15/2031(a) | | | 1,628,000 | | | 1,651,987 |
FHF Trust
| | | | | | |
Series 2023-2A, Class D, 9.31%, 10/15/2030(a) | | | 688,000 | | | 727,555 |
Series 2024-1A, Class C, 7.42%, 05/15/2031(a) | | | 300,000 | | | 308,512 |
Series 2024-2A, Class D, 7.15%, 09/15/2031(a) | | | 1,128,000 | | | 1,149,218 |
Flagship Credit Auto Trust
| | | | | | |
Series 2020-4, Class E, 3.84%, 07/17/2028(a) | | | 10,416,000 | | | 9,942,259 |
Series 2021-2, Class E, 3.16%, 09/15/2028(a) | | | 4,100,000 | | | 3,771,299 |
Series 2021-4, Class E, 4.03%, 03/15/2029(a) | | | 4,000,000 | | | 3,506,728 |
Series 2022-1, Class E, 5.37%, 06/15/2029(a) | | | 1,000,000 | | | 852,873 |
Series 2024-1, Class E, 8.60%, 05/15/2031(a) | | | 400,000 | | | 411,496 |
Foursight Capital Automobile Receivables Trust
| | | | | | |
Series 2021-2, Class E, 3.35%, 10/15/2027(a) | | | 2,500,000 | | | 2,413,222 |
Series 2021-2, Class F, 4.19%, 02/15/2029(a) | | | 900,000 | | | 856,130 |
Series 2022-1, Class E, 4.69%, 08/15/2029(a) | | | 5,000,000 | | | 4,737,600 |
Series 2023-1, Class D, 7.41%, 02/15/2030(a) | | | 2,080,000 | | | 2,120,957 |
GLS Auto Receivables Trust
| | | | | | |
Series 2021-4A, Class E, 4.43%, 10/16/2028(a) | | | 3,000,000 | | | 2,876,484 |
Series 2023-3A, Class E, 9.27%, 08/15/2030(a) | | | 2,500,000 | | | 2,648,483 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Series 2024-1A, Class E, 7.94%, 10/15/2030(a) | | | $400,000 | | | $404,110 |
Hertz Corp., Series 2021-2A, Class D, 4.34%, 12/27/2027(a) | | | 3,935,000 | | | 3,599,766 |
Hertz Global Holdings, Inc., Series 2022-4A, Class D,
6.56%, 09/25/2026(a) | | | 3,800,000 | | | 3,721,526 |
Hertz Vehicle Financing LLC, Series 2023-4A, Class C,
7.51%, 03/25/2030(a) | | | 800,000 | | | 844,224 |
Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class D, 10.59% (30 day avg SOFR US + 5.25%), 05/20/2032(a) | | | 1,674,008 | | | 1,686,883 |
JPMorgan Chase Bank NA, Series 2021-2, Class E,
2.28%, 12/26/2028(a) | | | 61,502 | | | 60,987 |
Kinetic Advantage Master Owner Trust, Series 2024-1A, Class A,
7.99% (30 day avg SOFR US + 2.65%), 11/15/2027(a) | | | 750,000 | | | 754,210 |
LAD Auto Receivables Trust, Series 2024-2A, Class D,
6.37%, 10/15/2031(a) | | | 1,000,000 | | | 1,013,793 |
Lobel Automobile Receivables Trust, Series 2023-1, Class C,
8.31%, 10/16/2028(a) | | | 800,000 | | | 810,524 |
Prestige Auto Receivables Trust, Series 2024-1A, Class E,
7.94%, 04/15/2031(a) | | | 500,000 | | | 508,997 |
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class E, 3.28%, 03/15/2027(a) | | | 1,750,000 | | | 1,693,235 |
Santander Holdings USA, Inc.
| | | | | | |
Series 2022-A, Class B, 5.28%, 05/15/2032(a) | | | 282,539 | | | 281,627 |
Series 2024-A, Class F, 10.17%, 06/15/2032(a) | | | 1,500,000 | | | 1,517,904 |
SBNA Auto Receivables Trust, Series 2024-A, Class D,
6.04%, 04/15/2030(a) | | | 500,000 | | | 506,802 |
Skopos Auto Receivable Trust, Series 2019-1A, Class E,
7.82%, 06/15/2026(a) | | | 2,162,436 | | | 2,169,311 |
Strike Acceptance Auto Funding Trust, Series 2023-1A, Class A,
8.00%, 05/15/2026(a) | | | 3,878,114 | | | 3,826,442 |
Tricolor Auto Securitization Trust
| | | | | | |
Series 2022-1A, Class F, 9.80%, 07/16/2029(a) | | | 2,520,000 | | | 2,518,793 |
Series 2023-1A, Class E, 13.45%, 06/15/2028(a) | | | 2,200,000 | | | 2,309,021 |
US Auto Funding Trust
| | | | | | |
Series 2022-1A, Class A, 3.98%, 04/15/2025(a) | | | 691,970 | | | 683,943 |
Series 2022-1A, Class B, 5.13%, 12/15/2025(a) | | | 1,300,000 | | | 736,698 |
Series 2022-1A, Class D, 9.14%, 07/15/2027(a) | | | 2,053,000 | | | 205 |
Veros Automobile Receivables Trust
| | | | | | |
Series 2021-1, Class C, 3.64%, 08/15/2028(a) | | | 17,000,000 | | | 16,986,281 |
Series 2023-1, Class D, 11.46%, 08/15/2030(a) | | | 700,000 | | | 730,397 |
Series 2024-1, Class D, 9.87%, 05/15/2031(a) | | | 1,000,000 | | | 1,017,287 |
Westlake Automobile Receivables Trust, Series 2021-3A, Class F, 4.25%, 06/15/2028(a) | | | 3,000,000 | | | 2,790,609 |
| | | | | | 168,979,060 |
Consumer — 5.9%
| | | | | | |
ACHV ABS TRUST, Series 2023-3PL, Class D, 8.36%, 08/19/2030(a) | | | 1,650,000 | | | 1,691,539 |
Affirm, Inc.
| | | | | | |
Series 2023-B, Class E, 11.32%, 09/15/2028(a) | | | 800,000 | | | 808,774 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
| | | | | | |
Series 2024-A, Class 1E, 9.17%, 02/15/2029(a) | | | $1,750,000 | | | $1,763,599 |
Series 2024-A, Class D, 6.89%, 02/15/2029(a) | | | 900,000 | | | 905,297 |
Series 2024-A, Class E, 9.17%, 02/15/2029(a) | | | 500,000 | | | 503,051 |
Series 2024-X1, Class CERT, 0.00%, 05/15/2029(a) | | | 10,885 | | | 910,328 |
Aqua Finance Trust, Series 2021-A, Class C, 3.14%, 07/17/2046(a) | | | 2,220,000 | | | 1,855,234 |
Bankers Healthcare Group, Inc.
| | | | | | |
Series 2021-B, Class D, 3.17%, 10/17/2034(a) | | | 1,170,000 | | | 974,731 |
Series 2024-1CON, Class D, 8.00%, 04/17/2035(a) | | | 800,000 | | | 802,785 |
Foundation Finance Trust
| | | | | | |
Series 2021-1A, Class A, 1.27%, 05/15/2041(a) | | | 906,857 | | | 828,669 |
Series 2021-2A, Class D, 5.73%, 01/15/2042(a) | | | 1,740,000 | | | 1,659,791 |
Series 2023-1A, Class D, 9.18%, 12/15/2043(a) | | | 1,131,764 | | | 1,142,746 |
Series 2024-1A, Class D, 8.13%, 12/15/2049(a) | | | 400,000 | | | 407,570 |
FREED ABS TRUST, Series 2022-4FP, Class D, 7.40%, 12/18/2029(a) | | | 650,000 | | | 656,185 |
Goldman Home Improvement Trust
| | | | | | |
Series 2021-GRN2, Class C, 2.77%, 06/25/2051(a) | | | 8,815,998 | | | 8,348,027 |
Series 2021-GRN2, Class D, 4.00%, 06/25/2051(a) | | | 2,395,970 | | | 2,201,170 |
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, 2.10%, 05/20/2048(a) | | | 1,067,433 | | | 852,770 |
GreenSky Home Improvement Trust, Series 2024-1, Class D,
7.33%, 07/25/2059(a)(j) | | | 1,000,000 | | | 1,003,136 |
LendingClub Receivables Trust
| | | | | | |
Series 2019-1, Class CERT, 0.00%, 07/17/2045(a) | | | 932,340 | | | 270,352 |
Series 2019-7, Class R1, 0.00%, 01/15/2027(a) | | | 19,049,500 | | | 1,034,598 |
Series 2019-7, Class R2, 0.00%, 01/15/2027(a) | | | 4,408,000 | | | 239,403 |
Lendingpoint Asset Securitization Trust
| | | | | | |
Series 2021-B, Class C, 3.21%, 02/15/2029(a) | | | 1,145,779 | | | 1,056,200 |
Series 2022-A, Class E, 7.02%, 06/15/2029(a) | | | 3,320,000 | | | 332 |
Series 2022-B, Class C, 8.45%, 10/15/2029(a) | | | 1,500,000 | | | 598,375 |
LendingPoint Pass-Through Trust, Series 2022-ST3, Class CERT, 0.00%, 05/15/2028(a) | | | 1,576,000 | | | 66,446 |
Marlette Funding Trust
| | | | | | |
Series 2023-2A, Class D, 7.92%, 06/15/2033(a) | | | 4,750,000 | | | 4,771,294 |
Series 2024-1A, Class D, 6.93%, 07/17/2034(a) | | | 500,000 | | | 508,778 |
Momnt Technologies Trust
| | | | | | |
Series 2023-1A, Class B, 8.29%, 03/20/2045(a) | | | 400,000 | | | 405,912 |
Series 2023-1A, Class C, 11.24%, 03/20/2045(a) | | | 900,000 | | | 890,387 |
Oportun Financial Corp., Series 2022-3, Class C,
10.15%, 01/08/2030(a) | | | 2,100,000 | | | 2,134,566 |
Pagaya AI Debt Selection Trust
| | | | | | |
Series 2021-1, Class C, 4.09%, 11/15/2027(a) | | | 4,407,141 | | | 3,769,886 |
Series 2021-3, Class C, 3.27%, 05/15/2029(a) | | | 2,962,876 | | | 2,723,410 |
Series 2021-5, Class C, 3.93%, 08/15/2029(a) | | | 2,399,717 | | | 2,265,523 |
Series 2022-1, Class C, 4.89%, 10/15/2029(a) | | | 6,299,167 | | | 5,662,057 |
Series 2022-2, Class C, 7.50%, 01/15/2030(a) | | | 4,999,702 | | | 4,845,472 |
Series 2022-5, Class B, 10.31%, 06/17/2030(a) | | | 999,963 | | | 1,055,695 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
| | | | | | |
Series 2023-1, Class B, 9.44%, 07/15/2030(a) | | | $749,896 | | | $765,071 |
Series 2023-7, Class C, 8.80%, 07/15/2031(a) | | | 1,999,255 | | | 2,051,769 |
Series 2023-8, Class D, 9.00%, 06/16/2031(a) | | | 2,398,459 | | | 2,384,059 |
Series 2024-1, Class C, 8.34%, 07/15/2031(a) | | | 3,274,181 | | | 3,340,271 |
Series 2024-1, Class D, 9.00%, 07/15/2031(a) | | | 2,199,450 | | | 2,157,427 |
Series 2024-2, Class C, 7.57%, 08/15/2031(a) | | | 699,689 | | | 707,753 |
Series 2024-2, Class D, 9.00%, 08/15/2031(a) | | | 1,599,289 | | | 1,581,621 |
Series 2024-3, Class C, 7.30%, 10/15/2031(a) | | | 1,500,000 | | | 1,514,183 |
Series 2024-3, Class D, 9.00%, 10/15/2031(a) | | | 3,800,000 | | | 3,846,554 |
Series 2024-5, Class C, 7.27%, 10/15/2031(a) | | | 1,000,000 | | | 1,007,477 |
Series 2024-5, Class D, 12.97%, 10/15/2031(a) | | | 1,000,000 | | | 1,038,986 |
Series 2024-6, Class D, 11.35%, 11/15/2031(a) | | | 500,000 | | | 503,326 |
Series 2024-7, Class D, 10.90%, 12/15/2031(a) | | | 2,300,000 | | | 2,315,074 |
Powerpay Securitization Funding LLC
| | | | | | |
Series 2024-1A, Class A, 6.53%, 02/18/2039(a) | | | 894,620 | | | 911,747 |
Series 2024-1A, Class B, 8.46%, 02/18/2039(a) | | | 500,000 | | | 508,147 |
Prosper Marketplace Issuance Trust
| | | | | | |
Series 2023-1A, Class C, 8.29%, 07/16/2029(a) | | | 2,400,000 | | | 2,460,559 |
Series 2023-1A, Class D, 11.24%, 07/16/2029(a) | | | 350,000 | | | 355,225 |
Series 2024-1A, Class D, 10.98%, 08/15/2029(a) | | | 2,000,000 | | | 2,050,050 |
Purchasing Power Funding
| | | | | | |
Series 2024-A, Class D, 7.26%, 08/15/2028(a) | | | 600,000 | | | 606,766 |
Series 2024-A, Class E, 10.18%, 08/15/2028(a) | | | 400,000 | | | 408,449 |
Reach Financial LLC
| | | | | | |
Series 2023-1A, Class C, 8.45%, 02/18/2031(a) | | | 600,000 | | | 623,279 |
Series 2024-2A, Class D, 8.83%, 07/15/2031(a) | | | 1,000,000 | | | 1,013,479 |
Republic Finance Issuance Trust
| | | | | | |
Series 2020-A, Class D, 7.00%, 11/20/2030(a) | | | 1,050,000 | | | 1,044,092 |
Series 2021-A, Class D, 5.23%, 12/22/2031(a) | | | 1,840,000 | | | 1,700,519 |
Series 2024-A, Class C, 7.28%, 08/20/2032(a) | | | 600,000 | | | 604,985 |
Series 2024-A, Class D, 9.49%, 08/20/2032(a) | | | 500,000 | | | 501,582 |
Theorem Funding Trust, Series 2022-2A, Class B, 9.27%, 12/15/2028(a) | | | 4,200,000 | | | 4,319,734 |
Upgrade Master Pass-Thru Trust, Series 2021-PT2, Class A,
14.45%, 05/15/2027(a)(c) | | | 1,416,735 | | | 1,101,232 |
Upstart Pass-Through Trust
| | | | | | |
Series 2020-ST4, Class CERT, 0.00%, 11/20/2026(a) | | | 8,452,371 | | | 481,917 |
Series 2021-ST3, Class CERT, 0.00%, 05/20/2027(a) | | | 11,400,000 | | | 887,098 |
Series 2021-ST4, Class CERT, 0.00%, 07/20/2027(a) | | | 1,475,000 | | | 186,642 |
Series 2021-ST5, Class CERT, 0.00%, 07/20/2027(a)(k) | | | 4,250,000 | | | 696,443 |
Series 2021-ST6, Class CERT, 0.00%, 08/20/2027(a) | | | 5,450,000 | | | 1,240,609 |
Series 2021-ST7, Class CERT, 0.00%, 09/20/2029(a) | | | 1,500,000 | | | 539,327 |
Series 2021-ST8, Class CERT, 0.00%, 10/20/2029(a) | | | 2,370,000 | | | 840,258 |
Series 2021-ST9, Class CERT, 0.00%, 11/20/2029(a) | | | 1,629,000 | | | 533,880 |
Series 2022-ST1, Class CERT, 0.00%, 03/20/2030(a) | | | 2,400,000 | | | 720,472 |
Series 2022-ST2, Class CERT, 0.00%, 04/20/2030(a) | | | 1,500,000 | | | 230,806 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
| | | | | | |
Upstart Securitization Trust
| | | | | | |
Series 2019-1, Class CERT, 0.00%, 04/20/2026(a) | | | $20,143 | | | $219,698 |
Series 2019-3, Class CERT, 0.00%, 01/21/2030(a)(d) | | | 25,442 | | | 670,608 |
Series 2021-3, Class C, 3.28%, 07/20/2031(a) | | | 14,395,326 | | | 13,929,580 |
Series 2021-4, Class C, 3.19%, 09/20/2031(a) | | | 5,250,000 | | | 4,876,819 |
Series 2021-5, Class C, 4.15%, 11/20/2031(a) | | | 12,400,000 | | | 11,643,563 |
Series 2022-1, Class C, 5.71%, 03/20/2032(a) | | | 1,800,000 | | | 885,029 |
Series 2022-2, Class C, 8.43%, 05/20/2032(a) | | | 1,500,000 | | | 1,302,918 |
Series 2023-1, Class C, 11.10%, 02/20/2033(a) | | | 3,600,000 | | | 3,690,605 |
Series 2023-2, Class B, 7.92%, 06/20/2033(a) | | | 4,350,000 | | | 4,401,930 |
Series 2023-3, Class B, 8.25%, 10/20/2033(a) | | | 6,700,000 | | | 6,957,930 |
| | | | | | 155,973,636 |
Credit Card — 0.2%
| | | | | | |
Avant Credit Card Master Trust, Series 2021-1A, Class C,
2.16%, 04/15/2027(a) | | | 2,500,000 | | | 2,471,787 |
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C, 5.75%, 12/15/2028(a) | | | 1,700,000 | | | 1,635,973 |
| | | | | | 4,107,760 |
Equipment — 0.1%
| | | | | | |
Octane Receivables Trust
| | | | | | |
Series 2024-1A, Class E, 7.82%, 08/20/2031(a) | | | 512,000 | | | 499,073 |
Series 2024-2A, Class E, 9.04%, 07/20/2032(a) | | | 835,000 | | | 849,914 |
| | | | | | 1,348,987 |
Property Assessed Clean Energy — 0.1%
| | | | | | |
Goodgreen Trust, Series 2017-2A, Class A, 3.26%, 10/15/2053(a) | | | 3,343,029 | | | 2,985,827 |
Solar — 0.1%
| | | | | | |
GoodLeap Sustainable Home Solutions Trust, Series 2023-2GS, Class B, 7.80%, 05/20/2055(a) | | | 900,000 | | | 917,738 |
Helios Issuer LLC, Series 2021-B, Class A, 1.62%, 07/20/2048(a) | | | 2,178,282 | | | 1,869,043 |
Mosaic Solar Loans LLC
| | | | | | |
Series 2019-1A, Class B, 0.00%, 12/21/2043(a)(f) | | | 518,193 | | | 445,448 |
Series 2021-2A, Class B, 2.09%, 04/22/2047(a) | | | 862,369 | | | 680,746 |
| | | | | | 3,912,975 |
Structured Settlement — 0.0%(l)
| | | | | | |
Stone Street Receivables Funding, Series 2015-1A, Class C,
5.60%, 12/15/2054(a) | | | 552,602 | | | 488,031 |
Whole Business — 0.1%
| | | | | | |
FAT Brands, Inc., Series 2021-1, Class A2, 7.00%, 07/25/2051(a) | | | 1,960,000 | | | 1,870,491 |
TOTAL ASSET-BACKED SECURITIES
(Cost $388,939,768) | | | | | | 339,666,767 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — 8.6%
| | | | | | |
ABPCI Direct Lending Fund CLO LLC, Series 2022-11A, Class A1, 7.81% (3 mo. Term SOFR + 2.55%), 10/27/2034(a) | | | $1,000,000 | | | $1,001,671 |
AGL CLO Ltd., Series 2023-24A, Class B, 7.93% (3 mo. Term SOFR + 2.65%), 07/25/2036(a) | | | 1,000,000 | | | 1,007,129 |
Allegro CLO Ltd., Series 2014-1RX, Class SUB,
0.00%, 10/21/2028(c)(m) | | | 4,000,000 | | | 400 |
AMMC CDO
| | | | | | |
Series 2024-30A, Class B, 7.64% (3 mo. Term SOFR + 2.35%), 01/15/2037(a) | | | 2,000,000 | | | 2,014,398 |
Series 2024-30A, Class D, 9.79% (3 mo. Term SOFR + 4.50%), 01/15/2037(a) | | | 2,000,000 | | | 2,047,146 |
Anchorage Capital CLO Ltd., Series 2024-28A, Class B, 7.53%
(3 mo. Term SOFR + 2.25%), 04/20/2037(a) | | | 5,000,000 | | | 5,028,335 |
Antares CLO Ltd., Series 2019-2A, Class A1R, 7.23% (3 mo. Term SOFR + 1.95%), 01/23/2036(a)(e) | | | 9,000,000 | | | 9,055,971 |
Apidos CLO Ltd., Series 2023-43A, Class D, 10.28% (3 mo. Term SOFR + 5.00%), 04/25/2035(a) | | | 3,800,000 | | | 3,881,582 |
AREIT Ltd., Series 2024-CRE9, Class AS, 7.57% (1 mo. Term SOFR + 2.24%), 05/17/2041(a) | | | 1,700,000 | | | 1,699,257 |
ARES CLO Ltd., Series 2024-69A, Class B, 7.33% (3 mo. Term SOFR + 2.00%), 04/15/2036(a) | | | 5,000,000 | | | 5,014,010 |
AUF Funding LLC, Series 2022-1A, Class A1LN, 7.78% (3 mo. Term SOFR + 2.50%), 01/20/2031(a) | | | 1,781,671 | | | 1,784,770 |
Bain Capital Credit CLO Ltd., Series 2023-3A, Class B, 7.98%
(3 mo. Term SOFR + 2.70%), 07/24/2036(a) | | | 2,620,000 | | | 2,647,948 |
Barings Middle Market CLO Ltd.
| | | | | | |
Series 2018-II, Class COM, 0.00%, 01/15/2031(c) | | | 1,500,000 | | | 1,401,664 |
Series 2023-IIA, Class A2, 8.48% (3 mo. Term SOFR + 3.20%), 01/20/2032(a)(e) | | | 5,000,000 | | | 5,039,715 |
Series 2023-IIA, Class B, 9.43% (3 mo. Term SOFR + 4.15%), 01/20/2032(a) | | | 1,150,000 | | | 1,162,895 |
BCC Middle Market CLO LLC, Series 2023-2A, Class A1, 7.78%
(3 mo. Term SOFR + 2.50%), 10/21/2035(a)(e) | | | 10,000,000 | | | 10,094,210 |
Blackrock CLO Ltd.
| | | | | | |
Series 2021-6A, Class A, 7.24% (3 mo. Term SOFR + 1.96%), 04/20/2033(a)(e) | | | 6,205,000 | | | 6,216,864 |
Series 2023-1A, Class C, 9.97% (3 mo. Term SOFR + 4.65%), 04/20/2035(a) | | | 2,000,000 | | | 2,031,208 |
Series 2023-1A, Class VDN, 0.00%, 04/20/2035(a)(c) | | | 2,000,000 | | | 1,060,000 |
Capital Four US CLO Ltd., Series 2022-1A, Class BR, 7.93%
(3 mo. Term SOFR + 2.65%), 01/20/2037(a)(e) | | | 8,500,000 | | | 8,595,659 |
CBAM Ltd., Series 2018-6A, Class B1R, 7.66% (3 mo. Term SOFR + 2.36%), 01/15/2031(a) | | | 5,000,000 | | | 5,016,600 |
Churchill Middle Market CLO Ltd., Series 2024-1A, Class A, 7.28%
(3 mo. Term SOFR + 2.00%), 04/20/2036(a) | | | 8,000,000 | | | 8,033,840 |
CIFC Funding Ltd., Series 2019-FAL, Class D, 10.25% (3 mo. Term SOFR + 4.97%), 01/20/2033(a) | | | 5,000,000 | | | 4,993,835 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
|
Dryden Senior Loan Fund, Series 2022-106A, Class D, 11.00%
(3 mo. Term SOFR + 5.70%), 10/15/2035(a) | | | $5,750,000 | | | $5,785,932 |
Fortress Credit Opportunities, Series 2023-21A, Class AT, 7.93%
(3 mo. Term SOFR + 2.65%), 01/21/2035(a)(e) | | | 8,750,000 | | | 8,782,506 |
Golub Capital Partners CLO Ltd.
| | | | | | |
Series 2013-17A, Class A1R, 7.20% (3 mo. Term SOFR + 1.91%), 10/25/2030(a) | | | 360,304 | | | 361,659 |
Series 2017-34A, Class B1R, 8.10% (3 mo. Term SOFR + 2.86%), 03/14/2031(a) | | | 1,550,000 | | | 1,550,158 |
Harvest US CLO Ltd., Series 2024-1A, Class B, 7.43% (3 mo. Term SOFR + 2.15%), 04/18/2037(a) | | | 3,000,000 | | | 3,009,573 |
Highbridge Loan Management Ltd., Series 2013-2A, Class A2R, 7.17% (3 mo. Term SOFR + 1.89%), 10/20/2029(a) | | | 1,975,000 | | | 1,978,974 |
Jamestown CLO Ltd., Series 2021-17A, Class D, 9.23% (3 mo. Term SOFR + 3.94%), 01/25/2035(a) | | | 5,000,000 | | | 4,984,635 |
Madison Park Funding Ltd., Series 2022-62A, Class AR, 7.14%
(3 mo. Term SOFR + 1.85%), 07/17/2036(a) | | | 10,000,000 | | | 10,069,960 |
Man GLG US CLO Ltd.
| | | | | | |
Series 2024-1A, Class B1, 7.42% (3 mo. Term SOFR + 2.10%), 07/20/2037(a) | | | 4,000,000 | | | 4,000,188 |
Series 2024-1A, Class D2, 10.52% (3 mo. Term SOFR + 5.20%), 07/20/2037(a) | | | 2,000,000 | | | 1,999,622 |
Marble Point CLO Ltd., Series 2022-1A, Class E, 13.46% (3 mo. Term SOFR + 8.18%), 04/20/2035(a) | | | 3,000,000 | | | 3,021,930 |
MCF CLO Ltd., Series 2017-3A, Class ER, 14.69% (3 mo. Term SOFR + 9.41%), 07/20/2033(a) | | | 3,000,000 | | | 3,014,451 |
MidOcean Credit CLO Ltd., Series 2022-11A, Class ER, 13.59%
(3 mo. Term SOFR + 8.31%), 10/18/2033(a) | | | 1,500,000 | | | 1,516,587 |
Monroe Capital MML CLO Ltd., Series 2019-2A, Class D, 10.54%
(3 mo. Term SOFR + 5.26%), 10/22/2031(a) | | | 700,000 | | | 702,477 |
Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd., Series 2024-2A, Class E, 12.80% (3 mo. Term SOFR + 7.50%), 04/20/2038(a) | | | 2,000,000 | | | 2,021,870 |
Oaktree CLO Ltd., Series 2023-2A, Class D, 10.73% (3 mo. Term SOFR + 5.45%), 07/20/2036(a) | | | 6,000,000 | | | 6,216,402 |
OFSI Fund Ltd., Series 2023-12A, Class D1, 11.23% (3 mo. Term SOFR + 5.95%), 01/20/2035(a) | | | 7,000,000 | | | 7,129,185 |
Owl Rock CLO Ltd., Series 2023-13A, Class A, 7.89% (3 mo. Term SOFR + 2.55%), 09/20/2035(a) | | | 3,000,000 | | | 3,023,322 |
Palmer Square CLO Ltd.
| | | | | | |
Series 2022-3X, Class D, 10.12% (3 mo. Term SOFR + 4.84%), 07/20/2035(m) | | | 1,100,000 | | | 1,109,106 |
Series 2022-5A, Class A, 7.28% (3 mo. Term SOFR + 2.00%), 10/20/2035(a) | | | 6,000,000 | | | 6,011,808 |
Pikes Peak CLO Ltd.
| | | | | | |
Series 2023-12X, Class D, 11.11% (3 mo. Term SOFR + 5.83%), 04/20/2036(m) | | | 2,000,000 | | | 2,054,010 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
|
Series 2023-14A, Class E, 13.86% (3 mo. Term SOFR + 8.58%), 04/20/2036(a) | | | $4,600,000 | | | $4,777,146 |
Rad CLO Ltd., Series 2024-23A, Class B1, 7.33% (3 mo. Term SOFR + 2.05%), 04/20/2037(a) | | | 5,000,000 | | | 5,013,750 |
Regatta Funding Ltd., Series 2024-1A, Class B, 7.30% (3 mo. Term SOFR + 2.00%), 04/26/2037(a) | | | 2,000,000 | | | 2,006,860 |
Rockford Tower CLO Ltd., Series 2023-1A, Class D, 10.60% (3 mo. Term SOFR + 5.32%), 01/20/2036(a) | | | 7,000,000 | | | 7,231,084 |
Saranac CLO Ltd., Series 2013-1A, Class BR, 7.44% (3 mo. Term SOFR + 2.16%), 07/26/2029(a) | | | 1,500,000 | | | 1,502,048 |
Steele Creek CLO Ltd., Series 2016-1A, Class CR, 7.50% (3 mo. Term SOFR + 2.16%), 06/15/2031(a)(e) | | | 14,750,000 | | | 14,750,796 |
Strata CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 10/20/2033(a)(c) | | | 3,000,000 | | | 960,000 |
Sycamore Tree CLO Ltd., Series 2023-4A, Class D, 10.83% (3 mo. Term SOFR + 5.55%), 10/20/2036(a) | | | 4,250,000 | | | 4,401,759 |
TCI-Flatiron CLO Ltd., Series 2018-1A, Class DR, 8.28% (3 mo. Term SOFR + 3.01%), 01/29/2032(a) | | | 3,000,000 | | | 3,006,597 |
Trinitas CLO Ltd.
| | | | | | |
Series 2020-14A, Class D, 9.85% (3 mo. Term SOFR + 4.56%), 01/25/2034(a) | | | 3,000,000 | | | 3,005,796 |
Series 2023-22A, Class B1, 8.18% (3 mo. Term SOFR + 2.90%), 07/20/2036(a)(e) | | | 5,300,000 | | | 5,352,348 |
Voya CLO Ltd., Series 2014-2A, Class A2RB, 7.10% (3 mo. Term SOFR + 1.81%), 04/17/2030(a) | | | 6,040,000 | | | 6,059,068 |
Wellfleet CLO Ltd., Series 2015-1A, Class SUB, 0.00%, 07/20/2029(a)(c) | | | 4,900,000 | | | 490 |
Wind River CLO Ltd., Series 2019-3A, Class E2R, 12.31% (3 mo. Term SOFR + 7.01%), 07/15/2031(a) | | | 1,500,000 | | | 1,417,983 |
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $230,168,072) | | | | | | 226,659,187 |
CORPORATE OBLIGATIONS — 4.7%
| | | | | | |
Basic Materials — 0.1%
| | | | | | |
CVR Partners LP / CVR Nitrogen Finance Corp., 6.13%, 06/15/2028(a) | | | 1,700,000 | | | 1,643,429 |
Mercer International, Inc.
| | | | | | |
5.50%, 01/15/2026 | | | 650,000 | | | 634,011 |
5.13%, 02/01/2029 | | | 1,400,000 | | | 1,189,135 |
NOVA Chemicals Corp., 8.50%, 11/15/2028(a) | | | 200,000 | | | 212,208 |
| | | | | | 3,678,783 |
Communications — 0.3%
| | | | | | |
Consolidated Communications, Inc., 6.50%, 10/01/2028(a) | | | 2,400,000 | | | 2,165,585 |
Directv Financing LLC / Directv Financing Co.-Obligor, Inc.,
5.88%, 08/15/2027(a) | | | 1,900,000 | | | 1,832,242 |
Gray Television, Inc., 5.38%, 11/15/2031(a) | | | 3,900,000 | | | 2,502,907 |
Townsquare Media, Inc., 6.88%, 02/01/2026(a) | | | 1,000,000 | | | 985,760 |
| | | | | | 7,486,494 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Consumer, Cyclical — 0.4%
| | | | | | |
American Axle & Manufacturing, Inc., 5.00%, 10/01/2029 | | | $1,700,000 | | | $1,559,199 |
FirstCash, Inc., 4.63%, 09/01/2028(a) | | | 1,500,000 | | | 1,433,987 |
Goodyear Tire & Rubber Co., 5.00%, 07/15/2029 | | | 1,500,000 | | | 1,414,543 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 11.00%, 04/15/2029(a) | | | 1,072,500 | | | 1,019,985 |
NCL Corp. Ltd., 8.38%, 02/01/2028(a) | | | 300,000 | | | 315,912 |
STL Holding Co. LLC, 8.75%, 02/15/2029(a) | | | 450,000 | | | 468,372 |
White Cap Buyer LLC, 6.88%, 10/15/2028(a) | | | 3,100,000 | | | 3,070,095 |
| | | | | | 9,282,093 |
Consumer, Non-cyclical — 0.2%
| | | | | | |
B&G Foods, Inc., 8.00%, 09/15/2028(a) | | | 650,000 | | | 663,059 |
Medline Borrower LP, 5.25%, 10/01/2029(a) | | | 900,000 | | | 869,674 |
NESCO Holdings, Inc., 5.50%, 04/15/2029(a) | | | 1,700,000 | | | 1,583,691 |
Upbound Group, Inc., 6.38%, 02/15/2029(a) | | | 2,100,000 | | | 2,055,368 |
US Foods, Inc., 7.25%, 01/15/2032(a) | | | 200,000 | | | 209,411 |
VT Topco, Inc., 8.50%, 08/15/2030(a) | | | 500,000 | | | 529,414 |
| | | | | | 5,910,617 |
Diversified — 0.0%(l)
| | | | | | |
Stena International SA, 7.25%, 01/15/2031(a) | | | 625,000 | | | 639,987 |
Energy — 0.2%
| | | | | | |
Antero Midstream Partners LP / Antero Midstream Finance Corp.,
6.63%, 02/01/2032(a) | | | 100,000 | | | 102,089 |
Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.75%, 07/15/2028(a) | | | 200,000 | | | 183,578 |
CITGO Petroleum Corp., 7.00%, 06/15/2025(a) | | | 100,000 | | | 100,052 |
Enviva Partners LP / Enviva Partners Finance Corp.,
6.50%, 01/15/2026(a)(k) | | | 100,000 | | | 44,500 |
Genesis Energy LP / Genesis Energy Finance Corp.,
8.25%, 01/15/2029 | | | 275,000 | | | 286,232 |
Greenfire Resources Ltd., 12.00%, 10/01/2028(a) | | | 198,000 | | | 212,738 |
Helix Energy Solutions Group, Inc., 9.75%, 03/01/2029(a) | | | 250,000 | | | 267,375 |
New Fortress Energy, Inc., 6.50%, 09/30/2026(a) | | | 200,000 | | | 185,871 |
Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029(a) | | | 1,000,000 | | | 962,059 |
SunCoke Energy, Inc., 4.88%, 06/30/2029(a) | | | 2,550,000 | | | 2,332,499 |
Venture Global LNG, Inc., 8.38%, 06/01/2031(a) | | | 250,000 | | | 262,447 |
| | | | | | 4,939,440 |
Financial — 3.3%
| | | | | | |
A10 Capital LLC, 5.88%, 08/17/2026(a) | | | 1,000,000 | | | 930,909 |
B Riley Financial, Inc., 6.38%, 02/28/2025(n) | | | 5,185,725 | | | 5,017,707 |
BankGuam Holding Co., 4.75% to 07/01/2026 then 3 mo. Term SOFR + 4.13%, 07/01/2031(a) | | | 2,000,000 | | | 1,807,103 |
Brookline Bancorp, Inc., 6.00% to 09/15/2024 then 3 mo. LIBOR US + 3.32%, 09/15/2029(g) | | | 1,000,000 | | | 985,000 |
Clear Street Holdings LLC, 5.88%, 05/15/2026(a) | | | 2,000,000 | | | 1,926,650 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Financial — (Continued)
|
Columbia Banking System, Inc., 10.84% (3 mo. Term SOFR + 5.52%), 12/10/2025(a) | | | $2,500,000 | | | $2,463,363 |
Customers Bank, 9.05% (3 mo. LIBOR US + 3.44%), 06/26/2029(a)(g) | | | 1,000,000 | | | 950,574 |
Dime Community Bancshares, Inc., 5.00% to 05/15/2027 then 3 mo. Term SOFR + 2.18%, 05/15/2032 | | | 1,000,000 | | | 887,694 |
Encore Capital Group, Inc., 8.50%, 05/15/2030(a) | | | 500,000 | | | 518,997 |
FedNat Holding Co., 7.75%, 03/15/2029(i)(k) | | | 2,500,000 | | | 400,000 |
Fidelity Financial Corp., 5.00% to 04/30/2027 then 3 mo. Term SOFR + 2.47%, 04/30/2032(a) | | | 3,000,000 | | | 2,610,000 |
Financial Institutions, Inc., 6.00% to 04/15/2025 then 3 mo. LIBOR US + 3.94%, 04/15/2030(g) | | | 1,500,000 | | | 1,402,500 |
First Bancshares, Inc., 6.40% to 05/01/2028 then 3 mo. Term SOFR + 3.65%, 05/01/2033 | | | 1,000,000 | | | 983,678 |
First Foundation, Inc., 3.50% to 02/01/2027 then SOFR + 2.04%, 02/01/2032 | | | 1,000,000 | | | 737,500 |
First NBC Bank Holding Co., 5.75%, 02/18/2025(i)(k) | | | 13,500,000 | | | 772,200 |
First Northwest Bancorp, 3.75% to 03/30/2026 then 3 mo. Term SOFR + 3.00%, 03/30/2031 | | | 1,500,000 | | | 1,283,868 |
Flushing Financial Corp., 3.13% to 12/01/2026 then 3 mo. Term SOFR + 2.04%, 12/01/2031 | | | 3,000,000 | | | 2,250,000 |
Freedom Mortgage Corp., 7.63%, 05/01/2026(a) | | | 1,900,000 | | | 1,903,768 |
Freedom Mortgage Holdings LLC, 9.25%, 02/01/2029(a) | | | 100,000 | | | 100,788 |
FS Bancorp, Inc., 3.75% to 02/15/2026 then 3 mo. Term SOFR + 3.37%, 02/15/2031 | | | 1,000,000 | | | 893,173 |
Georgia Banking Co., Inc., 4.13% to 06/15/2026 then 3 mo. Term SOFR + 3.40%, 06/15/2031(a) | | | 4,000,000 | | | 3,457,764 |
GGAM Finance Ltd., 8.00%, 02/15/2027(a) | | | 400,000 | | | 413,782 |
goeasy Ltd., 7.63%, 07/01/2029(a) | | | 400,000 | | | 409,427 |
HomeStreet, Inc., 6.50%, 06/01/2026 | | | 750,000 | | | 637,500 |
Jacksonville Bancorp, Inc. Statutory Trust III, 9.35% (3 mo. Term SOFR + 4.01%), 09/15/2038(a) | | | 1,200,000 | | | 1,155,615 |
Kingstone Cos., Inc., 12.00%, 12/30/2024(a) | | | 5,880,000 | | | 5,777,100 |
LD Holdings Group LLC, 6.13%, 04/01/2028(a) | | | 500,000 | | | 399,547 |
Luther Burbank Corp., 6.50%, 09/30/2024(a) | | | 3,300,000 | | | 3,286,093 |
Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/2029(a) | | | 200,000 | | | 211,772 |
Marble Point Loan Financing Ltd. / MPLF Funding I LLC,
7.50%, 11/16/2025(a) | | | 3,500,000 | | | 3,329,375 |
Narragansett Financial Corp., 3.88% to 05/15/2026 then 3 mo. Term SOFR + 3.19%, 05/15/2031(a) | | | 2,000,000 | | | 1,758,876 |
Nationstar Mortgage Holdings, Inc., 5.50%, 08/15/2028(a) | | | 2,500,000 | | | 2,429,702 |
NexBank Capital, Inc., 6.00%, 07/15/2032(a) | | | 1,000,000 | | | 874,273 |
Northern Bancorp, Inc., 4.75% to 12/30/2024 then 3 mo. Term SOFR + 3.28%, 12/30/2029(a) | | | 1,000,000 | | | 960,610 |
Northpointe Bancshares, Inc., 6.00% to 09/30/2024 then 3 mo. Term SOFR + 4.91%, 09/30/2029(a) | | | 1,000,000 | | | 985,000 |
OneMain Finance Corp., 4.00%, 09/15/2030 | | | 800,000 | | | 700,987 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Financial — (Continued)
|
PennyMac Financial Services, Inc.
| | | | | | |
4.25%, 02/15/2029(a) | | | $900,000 | | | $834,601 |
5.75%, 09/15/2031(a) | | | 900,000 | | | 860,680 |
PHH Mortgage Corp., 7.88%, 03/15/2026(a) | | | 2,500,000 | | | 2,457,731 |
PRA Group, Inc., 5.00%, 10/01/2029(a) | | | 2,600,000 | | | 2,312,046 |
Preferred Pass-Through Trust, 6.87% (N/A + 0.00%), Perpetual(a)(o) | | | 1,000,000 | | | 840,000 |
Primis Financial Corp., 9.47% (3 mo. Term SOFR + 4.21%), 01/31/2027(a) | | | 1,000,000 | | | 971,322 |
Ready Capital Corp., 6.20%, 07/30/2026(n) | | | 8,000,000 | | | 7,696,000 |
South Street Securities Funding LLC, 6.25%, 12/30/2026(a) | | | 1,000,000 | | | 913,852 |
Texas State Bankshares, Inc., 9.15% (3 mo. LIBOR US + 3.55%), 06/15/2029(a)(g) | | | 2,000,000 | | | 1,925,509 |
TIAA, 7.56%, 01/07/2035(c) | | | 5,000,000 | | | 3,550,000 |
Trinitas Capital Management LLC, 6.00%, 07/30/2026(a) | | | 4,000,000 | | | 3,805,000 |
Trinity Capital, Inc., 7.00%, 01/16/2025 | | | 83,553 | | | 2,103,865 |
United Wholesale Mortgage LLC, 5.50%, 04/15/2029(a) | | | 2,800,000 | | | 2,703,536 |
| | | | | | 86,587,037 |
Industrial — 0.2%
| | | | | | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 02/01/2026(a) | | | 1,400,000 | | | 1,396,273 |
Clearwater Paper Corp., 4.75%, 08/15/2028(a) | | | 1,400,000 | | | 1,327,655 |
EquipmentShare.com, Inc., 9.00%, 05/15/2028(a) | | | 500,000 | | | 515,041 |
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031(a) | | | 225,000 | | | 222,236 |
Reworld Holding Corp., 4.88%, 12/01/2029(a) | | | 200,000 | | | 183,151 |
Seaspan Corp., 5.50%, 08/01/2029(a) | | | 1,350,000 | | | 1,217,734 |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028(a) | | | 200,000 | | | 198,308 |
Summit Materials LLC / Summit Materials Finance Corp.,
7.25%, 01/15/2031(a) | | | 100,000 | | | 104,339 |
XPO, Inc., 7.13%, 06/01/2031(a) | | | 250,000 | | | 258,115 |
| | | | | | 5,422,852 |
Technology — 0.0%(l)
| | | | | | |
Zebra Technologies Corp., 6.50%, 06/01/2032(a) | | | 500,000 | | | 514,046 |
Utilities — 0.0%(l)
| | | | | | |
Pike Corp., 8.63%, 01/31/2031(a) | | | 225,000 | | | 242,260 |
Vistra Operations Co. LLC, 7.75%, 10/15/2031(a) | | | 100,000 | | | 105,564 |
| | | | | | 347,824 |
TOTAL CORPORATE OBLIGATIONS
(Cost $143,486,680) | | | | | | 124,809,173 |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3%
|
ARES Commercial Mortgage Trust
| | | | | | |
Series 2024-IND, Class D, 8.22% (1 mo. Term SOFR + 2.89%), 07/15/2041(a) | | | 9,500,000 | | | 9,504,132 |
Series 2024-IND, Class E, 9.27% (1 mo. Term SOFR + 3.94%), 07/15/2041(a) | | | 9,000,000 | | | 9,003,789 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
ARZ Trust
| | | | | | |
Series 2024-BILT, Class D, 7.00%, 06/11/2029(a) | | | $850,000 | | | $869,927 |
Series 2024-BILT, Class E, 7.49%, 06/11/2029(a) | | | 800,000 | | | 820,138 |
Banc of America Re-Remic Trust
| | | | | | |
Series 2024-NASH, Class A, 7.33% (1 mo. Term SOFR + 2.00%), 05/15/2039(a) | | | 2,400,000 | | | 2,403,024 |
Series 2024-NASH, Class C, 8.83% (1 mo. Term SOFR + 3.50%), 05/15/2039(a) | | | 800,000 | | | 802,004 |
Series 2024-NASH, Class D, 10.18% (1 mo. Term SOFR + 4.85%), 05/15/2039(a) | | | 400,000 | | | 401,000 |
BX Trust
| | | | | | |
Series 2024-AIRC, Class C, 7.89% (1 mo. Term SOFR + 2.59%), 08/15/2039(a)(j) | | | 1,700,000 | | | 1,699,990 |
Series 2024-BIO, Class C, 7.97% (1 mo. Term SOFR + 2.64%), 02/15/2041(a) | | | 4,800,000 | | | 4,810,104 |
Series 2024-BIO, Class D, 8.97% (1 mo. Term SOFR + 3.64%), 02/15/2041(a) | | | 3,300,000 | | | 3,306,841 |
Series 2024-KING, Class D, 7.82% (1 mo. Term SOFR + 2.49%), 05/15/2034(a) | | | 2,500,000 | | | 2,515,478 |
Series 2024-PALM, Class D, 7.97% (1 mo. Term SOFR + 2.64%), 06/15/2037(a) | | | 1,200,000 | | | 1,200,058 |
Series 2024-VLT4, Class E, 8.22% (1 mo. Term SOFR + 2.89%), 07/15/2029(a) | | | 300,000 | | | 299,249 |
Series 2024-VLT4, Class F, 9.27% (1 mo. Term SOFR + 3.94%), 07/15/2029(a) | | | 4,500,000 | | | 4,503,699 |
Commercial Mortgage Pass Through Certificates, Series 2024-WCL1, Class C, 8.22% (1 mo. Term SOFR + 2.89%), 06/15/2041(a) | | | 5,500,000 | | | 5,500,116 |
Computershare Corporate Trust
| | | | | | |
Series 2024-1CHI, Class D, 6.71%, 07/15/2035(a)(c) | | | 1,450,000 | | | 1,446,771 |
Series 2024-1CHI, Class E, 7.57%, 07/15/2035(a)(c) | | | 1,800,000 | | | 1,795,633 |
DBSG Mortgage Trust, Series 2024-ALTA, Class D,
7.06%, 06/10/2037(a)(c) | | | 1,600,000 | | | 1,622,590 |
DC Commercial Mortgage Trust
| | | | | | |
Series 2024-HLTN, Class C, 7.04%, 04/13/2028(a)(c) | | | 1,200,000 | | | 1,219,436 |
Series 2024-HLTN, Class D, 7.71%, 04/13/2028(a)(c) | | | 1,200,000 | | | 1,222,672 |
GS Mortgage Securities Corp., Series 2018-TWR, Class G, 9.55%
(1 mo. Term SOFR + 4.22%), 07/15/2031(a) | | | 500,000 | | | 11,980 |
Harvest SBA Loan Trust, Series 2018-1, Class A, 7.71% (1 mo. Term SOFR + 2.36%), 08/25/2044(a) | | | 315,616 | | | 314,451 |
Hilton USA Trust
| | | | | | |
Series 2024-ORL, Class C, 7.77% (1 mo. Term SOFR + 2.44%), 05/15/2037(a) | | | 800,000 | | | 799,413 |
Series 2024-ORL, Class D, 8.52% (1 mo. Term SOFR + 3.19%), 05/15/2037(a) | | | 800,000 | | | 799,421 |
HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class D, 8.67% (1 mo. Term SOFR + 3.34%), 06/15/2041(a) | | | 1,700,000 | | | 1,696,688 |
HTL Commercial Mortgage Trust
| | | | | | |
Series 2024-T53, Class D, 8.20%, 05/10/2039(a)(c) | | | 700,000 | | | 707,885 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2024-T53, Class F, 11.93%, 05/10/2039(a)(c) | | | $400,000 | | | $404,226 |
Jackson Park Trust, Series 2019-LIC, Class E, 3.24%, 10/14/2039(a)(c) | | | 5,000,000 | | | 4,149,695 |
JP Morgan Chase Commercial Mortgage Securities, Series 2018-PTC, Class A, 6.83% (1 mo. Term SOFR + 1.50%), 04/15/2031(a)(e) | | | 3,500,000 | | | 2,276,820 |
LBA Trust
| | | | | | |
Series 2024-BOLT, Class E, 9.02% (1 mo. Term SOFR + 3.69%), 06/15/2026(a) | | | 6,500,000 | | | 6,500,189 |
Series 2024-BOLT, Class F, 9.77% (1 mo. Term SOFR + 4.44%), 06/15/2026(a) | | | 1,400,000 | | | 1,400,035 |
Morgan Stanley, Series 2024-BPR2, Class A, 7.29%, 05/05/2029(a) | | | 2,695,759 | | | 2,777,079 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class G, 4.17%, 02/15/2046(a)(c) | | | 1,000,000 | | | 125,011 |
Morgan Stanley Capital I, Inc., Series 2014-150E, Class A, 3.91%, 09/09/2032(a) | | | 800,000 | | | 691,055 |
Newtek Small Business Loan Trust, Series 2018-1, Class B, 9.25% (Prime Rate + 0.75%), 02/25/2044(a) | | | 455,707 | | | 457,209 |
TX Trust
| | | | | | |
Series 2024-HOU, Class D, 8.57% (1 mo. Term SOFR + 3.24%), 06/15/2039(a) | | | 500,000 | | | 500,020 |
Series 2024-HOU, Class E, 9.72% (1 mo. Term SOFR + 4.39%), 06/15/2039(a) | | | 5,000,000 | | | 5,000,175 |
X-Caliber Funding LLC
| | | | | | |
5.00%, 09/01/2024(a) | | | 300,000 | | | 291,109 |
11.00%, 09/01/2024(a) | | | 3,500,000 | | | 3,465,462 |
11.96% (1 mo. LIBOR US + 6.50%), 11/01/2024(a)(g) | | | 1,628,000 | | | 1,624,524 |
8.08% (1 mo. Term SOFR + 2.75%), 12/15/2024(a) | | | 3,990,418 | | | 3,979,197 |
13.08% (1 mo. Term SOFR + 7.75%), 03/15/2025(a) | | | 748,203 | | | 727,192 |
7.00%, 03/31/2025(a) | | | 3,621,300 | | | 3,384,814 |
Series 2019-1, Class B1, 21.10% (1 mo. Term SOFR + 15.75%), 11/06/2024(a) | | | 5,129,931 | | | 4,618,482 |
Series 2020-1, Class B1, 12.96% (1 mo. Term SOFR + 7.61%), 09/06/2024(a) | | | 515,875 | | | 513,176 |
Series 2020-5, Class A, 8.71% (1 mo. Term SOFR + 3.37%), 10/06/2024(a) | | | 1,124,144 | | | 1,124,429 |
Series 2020-5, Class B1, 13.71% (1 mo. Term SOFR + 8.37%), 10/06/2024(a) | | | 2,623,002 | | | 2,615,908 |
Series 2021-10, Class B1, 13.46% (1 mo. Term SOFR + 8.12%), 03/06/2025(a) | | | 2,000,000 | | | 1,988,313 |
Series 2021-7, Class A, 8.46% (1 mo. LIBOR US + 3.00%), 01/06/2026(a)(g) | | | 3,950,000 | | | 3,895,901 |
Series 2021-7, Class B2, 0.00%, 01/06/2026(a) | | | 1,788,000 | | | 1,853,167 |
Series 2021-9, Class B1, 13.46% (1 mo. Term SOFR + 8.12%), 04/06/2026(a) | | | 1,215,000 | | | 209,150 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $117,605,235) | | | | | | 113,848,827 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
AFFILIATED EXCHANGE TRADED FUNDS — 2.5%
| | | | | | |
Angel Oak High Yield Opportunities ETF(p) | | | 3,330,740 | | | $36,656,792 |
Angel Oak Mortgage-Backed Securities ETF(p) | | | 3,413,382 | | | 29,389,219 |
TOTAL AFFILIATED EXCHANGE TRADED FUNDS
(Cost $72,902,217) | | | | | | 66,046,011 |
| | | | | | | |
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 1.9%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 2017-KF41, Class B, 7.95% (30 day avg SOFR US + 2.61%), 11/25/2024(a) | | | $600,479 | | | 590,571 |
Series 2019-KF58, Class B, 7.60% (30 day avg SOFR US + 2.26%), 01/25/2026(a) | | | 1,182,007 | | | 1,163,279 |
Series 2019-KF64, Class B, 7.75% (30 day avg SOFR US + 2.41%), 06/25/2026(a) | | | 2,487,563 | | | 2,410,436 |
Series K-157, Class A2, 4.20%, 05/25/2033 | | | 1,500,000 | | | 1,469,060 |
Series K-158, Class A2, 4.05%, 07/25/2033 | | | 1,000,000 | | | 968,018 |
Series K-159, Class A2, 4.50%, 07/25/2033(c) | | | 12,820,000 | | | 12,825,564 |
Series K-162, Class A2, 5.15%, 12/25/2033 | | | 8,000,000 | | | 8,376,648 |
Series K-163, Class A2, 5.00%, 03/25/2034(c) | | | 10,000,000 | | | 10,372,440 |
Federal National Mortgage Association
| | | | | | |
Series 2019-01, Class B10, 10.96% (30 day avg SOFR US + 5.61%), 10/25/2049(a) | | | 1,500,000 | | | 1,520,257 |
Series 2019-01, Class CE, 14.21% (30 day avg SOFR US + 8.86%), 10/25/2049(a) | | | 2,000,000 | | | 2,017,100 |
Series 2020-01, Class CE, 12.96% (30 day avg SOFR US + 7.61%), 03/25/2050(a) | | | 8,000,000 | | | 7,999,184 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $48,928,572) | | | | | | 49,712,557 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — 0.6%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 2018-SPI4, Class B, 4.51%, 11/25/2048(a) (c) | | | 9,084,271 | | | 6,586,096 |
Series 2021-DNA6, Class B2, 12.85% (30 day avg SOFR US + 7.50%), 10/25/2041(a) | | | 4,300,000 | | | 4,705,813 |
Series 2021-HQA1, Class B2, 10.35% (30 day avg SOFR US + 5.00%), 08/25/2033(a) | | | 3,121,727 | | | 3,418,291 |
Series 2022-DNA3, Class M1A, 7.35% (30 day avg SOFR US + 2.00%), 04/25/2042(a) | | | 2,188,192 | | | 2,222,934 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost $18,152,030) | | | | | | 16,933,134 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMON STOCKS — 0.5%
| | | | | | |
Financial — 0.5%
| | | | | | |
Annaly Capital Management, Inc. | | | 84,833 | | | $1,689,025 |
Ellington Financial, Inc. | | | 103,500 | | | 1,313,415 |
PennyMac Mortgage Investment Trust | | | 81,182 | | | 1,117,876 |
Redwood Trust, Inc. | | | 929,117 | | | 6,754,681 |
Rithm Capital Corp. | | | 258,870 | | | 3,005,481 |
TOTAL COMMON STOCKS
(Cost $20,753,415) | | | | | | 13,880,478 |
PREFERRED STOCKS — 0.3%
| | | | | | |
Financial — 0.3%
| | | | | | |
AGNC Investment Corp., Series E, 6.50% to 10/15/2024 then 3 mo. LIBOR US + 4.99%, Perpetual(g) | | | 66,529 | | | 1,647,923 |
Dynex Capital, Inc., Series C, 6.90% to 04/15/2025 then 3 mo. LIBOR US + 5.46%, Perpetual(g) | | | 173,425 | | | 4,333,891 |
MFA Financial, Inc., Series C, 6.50% to 03/31/2025 then 3 mo. LIBOR US + 5.35%, Perpetual(g) | | | 52,942 | | | 1,223,490 |
TOTAL PREFERRED STOCKS
(Cost $6,384,095) | | | | | | 7,205,304 |
| | | | | | | |
| | | | | | | |
WHOLE LOANS — 0.2%
| | | | | | |
Agency High Balance Residential Mortgages
| | | | | | |
5.13%, 05/24/2048 | | | $473,352 | | | 445,310 |
6.50%, 07/24/2026 | | | 634,729 | | | 622,749 |
6.00%, 04/26/2037 | | | 184,444 | | | 181,441 |
6.50%, 05/24/2037 | | | 286,605 | | | 284,363 |
6.50%, 05/25/2037 | | | 450,898 | | | 447,466 |
6.50%, 08/24/2037 | | | 230,032 | | | 229,551 |
Savannah Grand, 10.60%, 08/06/2024 | | | 3,500,000 | | | 3,488,388 |
TOTAL WHOLE LOANS
(Cost $5,712,187) | | | | | | 5,699,268 |
| | | | | | | |
| | | | | | | |
WARRANTS — 0.0%(l)
| | | | | | |
Financial — 0.0%(l)
| | | | | | |
Kingstone Cos., Inc., Expires 12/30/2025, Exercise Price $1.00(a)(q) | | | 285,750 | | | 1,114,425 |
TOTAL WARRANTS
(Cost $716,445) | | | | | | 1,114,425 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
SHORT-TERM INVESTMENTS — 1.0%
| | | | | | |
Money Market Funds — 1.0%
| | | | | | |
First American Government Obligations Fund - Class U, 5.25%(r) | | | 26,183,887 | | | $26,183,887 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $26,183,887) | | | | | | 26,183,887 |
TOTAL INVESTMENTS — 108.6%
(Cost $3,205,505,173) | | | | | | 2,876,759,621 |
Liabilities in Excess of Other Assets — (8.6%) | | | | | | (228,812,690) |
TOTAL NET ASSETS — 100.0% | | | | | | $2,647,946,931 |
| | | | | | | |
Percentages are stated as a percent of net assets.
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
(a)
| Security is 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. As of July 31, 2024, the value of these securities total $1,869,068,249 or 70.6% of the Fund’s net assets.
|
(b)
| Step coupon bond. The rate disclosed is as of July 31, 2024.
|
(c)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024.
|
(d)
| Interest only security.
|
(e)
| All or a portion of security has been pledged as collateral in connection with open credit agreements. At July 31, 2024, the value of securities pledged amounted to $324,799,902.
|
(f)
| Principal only security.
|
(g)
| Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
|
(h)
| 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.
|
(i)
| As of July 31, 2024, 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 $1,182,201 or 0.0% of net assets. Value determined using significant unobservable inputs.
|
(j)
| Security or a portion of the security purchased on a when-issued or delayed delivery basis.
|
(k)
| Issuer is currently in default.
|
(l)
| Represents less than 0.05% of net assets.
|
(m)
| Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. As of July 31, 2024, the value of these securities total $3,163,516 or 0.1% of the Fund’s net assets. |
(n)
| 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.
|
(n)
| Auction rate security. Rate disclosed is the rate in effect as of July 31, 2024.
|
(p)
| Affiliated company as defined by the Investment Company Act of 1940.
|
(q)
| Non-income producing security.
|
(r)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Schedule of Centrally Cleared Credit Default Swaps – Buy Protection(a)
July 31, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Markit
CDX.NA.IG(d) | | | 0.555% | | | 1.000% | | | Quarterly | | | 06/20/2029 | | | Wells Fargo
Securities,
LLC | | | $500,000,000 | | | ($10,374,240) | | | ($10,754,203) | | | $379,963 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(a)
| If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
(b)
| Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on U.S. municipal issues, corporate issues or sovereign issues of an emerging country as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
|
(c)
| The maximum potential amount the Fund could be required to pay as seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
|
(d)
| Centrally cleared swap, clearing agent: Intercontinental Exchange. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
ASSET-BACKED SECURITIES — 44.5%
|
Automobile — 16.6%
| | | | | | |
ACC Trust, Series 2022-1, Class B, 2.55%, 02/20/2025(a) | | | $410,179 | | | $406,597 |
ACM Auto Trust, Series 2023-2A, Class A, 7.97%, 06/20/2030(a) | | | 477,088 | | | 480,412 |
American Credit Acceptance Receivables Trust
| | | | | | |
Series 2022-4, Class D, 8.00%, 02/15/2029(a) | | | 7,000,000 | | | 7,179,249 |
Series 2024-1, Class B, 5.60%, 11/12/2027(a) | | | 1,200,000 | | | 1,202,142 |
Series 2024-2, Class B, 6.10%, 12/13/2027(a) | | | 1,500,000 | | | 1,523,207 |
Arivo Acceptance Auto Loan Receivables Trust
| | | | | | |
Series 2021-1A, Class C, 3.77%, 03/15/2027(a) | | | 150,000 | | | 146,629 |
Series 2022-1A, Class A, 3.93%, 05/15/2028(a) | | | 439,786 | | | 435,125 |
Series 2022-2A, Class A, 6.90%, 01/16/2029(a) | | | 305,202 | | | 307,507 |
Avid Automobile Receivables Trust
| | | | | | |
Series 2021-1, Class D, 1.99%, 04/17/2028(a) | | | 917,080 | | | 904,513 |
Series 2023-1, Class B, 7.12%, 03/15/2027(a) | | | 2,600,000 | | | 2,605,811 |
Avis Budget Car Rental LLC
| | | | | | |
Series 2019-2A, Class C, 4.24%, 09/22/2025(a) | | | 166,667 | | | 166,731 |
Series 2020-1A, Class B, 2.68%, 08/20/2026(a) | | | 2,100,000 | | | 2,050,064 |
Series 2020-2A, Class C, 4.25%, 02/20/2027(a) | | | 3,705,000 | | | 3,620,078 |
CarNow Auto Receivables Trust
| | | | | | |
Series 2021-1A, Class D, 3.64%, 02/17/2026(a) | | | 92,153 | | | 92,277 |
Series 2022-1A, Class B, 4.89%, 03/16/2026(a) | | | 55,710 | | | 55,659 |
Carvana Auto Receivables Trust
| | | | | | |
Series 2020-N1A, Class E, 5.20%, 07/15/2027(a) | | | 1,152,524 | | | 1,134,895 |
Series 2021-N1, Class C, 1.30%, 01/10/2028 | | | 916,322 | | | 874,811 |
Series 2021-N2, Class B, 0.75%, 03/10/2028 | | | 1,260,453 | | | 1,190,682 |
Series 2021-N2, Class C, 1.07%, 03/10/2028 | | | 374,121 | | | 354,928 |
Series 2021-N3, Class C, 1.02%, 06/12/2028 | | | 837,756 | | | 790,652 |
Series 2024-P2, Class N, 7.03%, 06/10/2031(a) | | | 407,410 | | | 408,402 |
CPS Auto Trust
| | | | | | |
Series 2021-B, Class E, 3.41%, 06/15/2028(a) | | | 500,000 | | | 485,627 |
Series 2022-C, Class C, 5.28%, 04/15/2030(a) | | | 1,800,000 | | | 1,793,997 |
Series 2022-D, Class D, 8.73%, 01/16/2029(a) | | | 2,900,000 | | | 3,061,756 |
Series 2024-B, Class B, 6.04%, 10/16/2028(a) | | | 2,000,000 | | | 2,033,446 |
DT Auto Owner Trust
| | | | | | |
Series 2022-2A, Class D, 5.46%, 03/15/2028(a) | | | 3,000,000 | | | 2,986,671 |
Series 2022-3A, Class C, 7.69%, 07/17/2028(a) | | | 1,000,000 | | | 1,018,160 |
Exeter Automobile Receivables Trust
| | | | | | |
Series 2020-3A, Class F, 5.56%, 06/15/2027(a) | | | 1,500,000 | | | 1,493,061 |
Series 2022-3A, Class D, 6.76%, 09/15/2028 | | | 4,200,000 | | | 4,270,211 |
Series 2023-2A, Class C, 5.75%, 07/17/2028 | | | 1,000,000 | | | 1,003,628 |
FHF Trust
| | | | | | |
Series 2021-2A, Class A, 0.83%, 12/15/2026(a) | | | 418,570 | | | 410,780 |
Series 2022-2A, Class A, 6.14%, 12/15/2027(a) | | | 393,729 | | | 393,256 |
Flagship Credit Auto Trust, Series 2019-4, Class D, 3.12%, 01/15/2026(a) | | | 552,931 | | | 550,552 |
Foursight Capital Automobile Receivables Trust, Series 2022-2, Class B, 5.19%, 10/15/2027(a) | | | 1,200,000 | | | 1,196,453 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Automobile — (Continued)
|
GLS Auto Receivables Trust
| | | | | | |
Series 2021-1A, Class E, 3.14%, 01/18/2028(a) | | | $2,400,000 | | | $2,324,366 |
Series 2022-3A, Class D, 6.42%, 06/15/2028(a) | | | 2,600,000 | | | 2,635,131 |
Series 2023-1A, Class B, 6.19%, 06/15/2027(a) | | | 2,493,000 | | | 2,499,060 |
Hertz Global Holdings, Inc., Series 2021-1A, Class D,
3.98%, 12/26/2025(a) | | | 1,250,000 | | | 1,240,736 |
Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class B1, 6.15%, 05/20/2032(a) | | | 465,002 | | | 469,307 |
JPMorgan Chase Bank NA, Series 2021-2, Class D,
1.14%, 12/26/2028(a) | | | 78,722 | | | 78,175 |
Lendbuzz Securitization Trust
| | | | | | |
Series 2022-1A, Class A, 4.22%, 05/17/2027(a) | | | 1,163,641 | | | 1,152,106 |
Series 2023-1A, Class A2, 6.92%, 08/15/2028(a) | | | 623,349 | | | 625,835 |
Series 2023-3A, Class A2, 7.50%, 12/15/2028(a) | | | 442,433 | | | 448,841 |
Series 2024-1A, Class A2, 6.19%, 08/15/2029(a) | | | 981,686 | | | 983,141 |
Lobel Automobile Receivables Trust, Series 2023-1, Class A, 6.97%, 07/15/2026(a) | | | 149,674 | | | 149,944 |
Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A, 7.29%, 07/15/2030(a) | | | 647,716 | | | 649,065 |
Prestige Auto Receivables Trust, Series 2022-1A, Class B, 6.55%, 07/17/2028(a) | | | 1,160,000 | | | 1,164,424 |
Research-Driven Pagaya Motor Asset Trust
| | | | | | |
Series 2023-3A, Class A, 7.13%, 01/26/2032(a) | | | 398,222 | | | 401,488 |
Series 2023-4A, Class A, 7.54%, 03/25/2032(a) | | | 1,319,563 | | | 1,340,937 |
SAFCO Auto Receivables Trust, Series 2024-1A, Class A, 6.51%, 03/20/2028(a) | | | 444,593 | | | 446,256 |
Santander Consumer USA, Inc., Series 2023-1, Class B, 4.98%, 02/15/2028 | | | 1,610,000 | | | 1,604,394 |
Santander Holdings USA, Inc., Series 2022-A, Class B, 5.28%, 05/15/2032(a) | | | 70,635 | | | 70,407 |
Skopos Auto Receivable Trust, Series 2019-1A, Class E, 7.82%, 06/15/2026(a) | | | 1,224,021 | | | 1,227,912 |
Tricolor Auto Securitization Trust, Series 2023-1A, Class A, 6.48%, 08/17/2026(a) | | | 65,199 | | | 65,293 |
UNIFY Auto Receivables Trust, Series 2021-1A, Class B, 1.29%, 11/16/2026(a) | | | 1,450,000 | | | 1,427,064 |
US Auto Funding Trust
| | | | | | |
Series 2022-1A, Class A, 3.98%, 04/15/2025(a) | | | 588,910 | | | 582,080 |
Series 2022-1A, Class B, 5.13%, 12/15/2025(a) | | | 750,000 | | | 425,018 |
Veros Automobile Receivables Trust
| | | | | | |
Series 2021-1, Class C, 3.64%, 08/15/2028(a) | | | 1,000,000 | | | 999,193 |
Series 2023-1, Class A, 7.12%, 11/15/2028(a) | | | 691,257 | | | 694,762 |
Westlake Automobile Receivables Trust, Series 2022-2A, Class D, 5.48%, 09/15/2027(a) | | | 1,000,000 | | | 1,000,516 |
| | | | | | 71,333,420 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — 23.6%
| | | | | | |
ACHV ABS TRUST
| | | | | | |
Series 2023-3PL, Class C, 7.35%, 08/19/2030(a) | | | $440,000 | | | $443,219 |
Series 2024-1PL, Class C, 6.42%, 04/25/2031(a) | | | 2,200,000 | | | 2,225,463 |
Affirm, Inc.
| | | | | | |
Series 2023-B, Class 1B, 7.44%, 09/15/2028(a) | | | 1,200,000 | | | 1,221,593 |
Series 2023-X1, Class B, 7.77%, 11/15/2028(a) | | | 750,000 | | | 760,097 |
Series 2024-A, Class 1B, 5.93%, 02/15/2029(a) | | | 1,000,000 | | | 1,004,010 |
Series 2024-X1, Class B, 6.34%, 05/15/2029(a) | | | 1,500,000 | | | 1,513,829 |
AMCR ABS Trust, Series 2023-1A, Class A, 7.66%, 01/21/2031(a) | | | 1,011,749 | | | 1,017,363 |
Aqua Finance Trust, Series 2017-A, Class B, 6.61%, 11/15/2035(a) | | | 278,584 | | | 279,159 |
Cascade Funding Mortgage Trust, Series 2021-GRN1, Class A, 1.10%, 03/20/2041(a) | | | 788,938 | | | 758,253 |
Conn’s, Inc., Series 2024-A, Class A, 7.05%, 01/16/2029(a) | | | 319,095 | | | 320,116 |
Consumer Loan Underlying Bond CLUB Certificate Issuer Trust, Series 2019-33, Class PT, 5.63%, 10/17/2044(a)(b) | | | 84,201 | | | 83,702 |
Foundation Finance Trust
| | | | | | |
Series 2021-1A, Class A, 1.27%, 05/15/2041(a) | | | 710,371 | | | 649,124 |
Series 2021-2A, Class A, 2.19%, 01/15/2042(a) | | | 696,418 | | | 644,909 |
FREED ABS TRUST
| | | | | | |
Series 2021-3FP, Class D, 2.37%, 11/20/2028(a) | | | 202,274 | | | 198,738 |
Series 2022-3FP, Class D, 7.36%, 08/20/2029(a) | | | 1,250,000 | | | 1,259,979 |
Series 2022-4FP, Class D, 7.40%, 12/18/2029(a) | | | 1,250,000 | | | 1,261,894 |
Goldman Home Improvement Trust, Series 2021-GRN2, Class A, 1.15%, 06/25/2051(a) | | | 864,673 | | | 821,715 |
Lendingpoint Asset Securitization Trust
| | | | | | |
Series 2022-B, Class A, 4.77%, 10/15/2029(a) | | | 133,337 | | | 132,895 |
Series 2022-C, Class B, 7.46%, 02/15/2030(a) | | | 2,000,000 | | | 2,007,784 |
LendingPoint Pass-Through Trust
| | | | | | |
Series 2022-ST1, Class A, 2.50%, 03/15/2028(a) | | | 330,455 | | | 323,827 |
Series 2022-ST2, Class A, 3.25%, 04/15/2028(a) | | | 479,181 | | | 472,907 |
Marlette Funding Trust
| | | | | | |
Series 2022-3A, Class B, 5.95%, 11/15/2032(a) | | | 629,319 | | | 630,540 |
Series 2023-1A, Class B, 6.50%, 04/15/2033(a) | | | 2,000,000 | | | 2,010,692 |
Series 2023-1A, Class C, 7.20%, 04/15/2033(a) | | | 2,000,000 | | | 2,036,406 |
Series 2023-3A, Class C, 7.06%, 09/15/2033(a) | | | 3,200,000 | | | 3,261,014 |
Momnt Technologies Trust, Series 2023-1A, Class A,
6.92%, 03/20/2045(a) | | | 1,392,519 | | | 1,397,031 |
NetCredit Funding LLC, Series 2024-A, Class A, 7.43%, 10/21/2030(a) | | | 454,166 | | | 456,516 |
Oportun Financial Corp.
| | | | | | |
Series 2021-A, Class A, 1.21%, 03/08/2028(a) | | | 215,419 | | | 209,617 |
Series 2021-C, Class A, 2.18%, 10/08/2031(a) | | | 2,000,000 | | | 1,914,894 |
Series 2022-A, Class B, 5.25%, 06/09/2031(a) | | | 4,350,000 | | | 4,282,362 |
Pagaya AI Debt Selection Trust
| | | | | | |
Series 2021-1, Class C, 4.09%, 11/15/2027(a) | | | 102,492 | | | 87,672 |
Series 2021-5, Class B, 2.63%, 08/15/2029(a) | | | 281,340 | | | 280,307 |
Series 2021-HG1, Class A, 1.22%, 01/16/2029(a) | | | 1,020,304 | | | 1,003,596 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
|
Series 2021-HG1, Class B, 1.82%, 01/16/2029(a) | | | $634,400 | | | $612,933 |
Series 2022-1, Class B, 3.34%, 10/15/2029(a) | | | 5,199,312 | | | 5,139,624 |
Series 2022-2, Class B, 6.63%, 01/15/2030(a) | | | 3,699,780 | | | 3,715,271 |
Series 2022-5, Class A, 8.10%, 06/17/2030(a) | | | 1,964,032 | | | 1,991,426 |
Series 2023-5, Class B, 7.63%, 04/15/2031(a) | | | 3,749,968 | | | 3,783,178 |
Series 2023-5, Class C, 9.10%, 04/15/2031(a) | | | 1,749,985 | | | 1,796,103 |
Series 2023-7, Class B, 7.55%, 07/15/2031(a) | | | 1,399,479 | | | 1,411,177 |
Series 2023-7, Class C, 8.80%, 07/15/2031(a) | | | 1,249,534 | | | 1,282,356 |
Series 2024-1, Class B, 7.11%, 07/15/2031(a) | | | 4,398,900 | | | 4,452,048 |
Series 2024-2, Class B, 6.61%, 08/15/2031(a) | | | 6,297,565 | | | 6,339,727 |
Series 2024-3, Class A, 6.26%, 10/15/2031(a) | | | 643,401 | | | 646,207 |
Series 2024-3, Class B, 6.57%, 10/15/2031(a) | | | 5,100,000 | | | 5,141,988 |
Series 2024-5, Class B, 6.60%, 10/15/2031(a) | | | 2,000,000 | | | 2,013,666 |
Series 2024-6, Class B, 6.59%, 11/15/2031(a) | | | 2,250,000 | | | 2,268,353 |
Republic Finance Issuance Trust, Series 2020-A, Class A, 2.47%, 11/20/2030(a) | | | 56,517 | | | 56,394 |
SpringCastle America LLC, Series 2020-AA, Class A,
1.97%, 09/25/2037(a) | | | 6,593,118 | | | 6,080,279 |
Theorem Funding Trust
| | | | | | |
Series 2022-3A, Class A, 7.60%, 04/15/2029(a) | | | 1,248,538 | | | 1,261,247 |
Series 2022-3A, Class B, 8.95%, 04/15/2029(a) | | | 1,400,000 | | | 1,443,099 |
Upstart Pass-Through Trust
| | | | | | |
Series 2020-ST5, Class A, 3.00%, 12/20/2026(a) | | | 756,019 | | | 746,702 |
Series 2020-ST6, Class A, 3.00%, 01/20/2027(a) | | | 172,723 | | | 170,447 |
Series 2021-ST1, Class A, 2.75%, 02/20/2027(a) | | | 716,480 | | | 702,967 |
Series 2021-ST10, Class A, 2.25%, 01/20/2030(a) | | | 530,377 | | | 524,760 |
Series 2021-ST4, Class A, 2.00%, 07/20/2027(a) | | | 2,034,716 | | | 1,976,686 |
Series 2021-ST6, Class A, 1.85%, 08/20/2027(a) | | | 865,885 | | | 856,661 |
Series 2022-ST1, Class A, 2.60%, 03/20/2030(a) | | | 1,199,640 | | | 1,183,721 |
Series 2022-ST3, Class A, 4.30%, 05/20/2030(a) | | | 700,373 | | | 687,353 |
Upstart Securitization Trust
| | | | | | |
Series 2021-1, Class C, 4.06%, 03/20/2031(a) | | | 834,302 | | | 827,317 |
Series 2021-4, Class B, 1.84%, 09/20/2031(a) | | | 1,667,417 | | | 1,654,816 |
Series 2021-5, Class B, 2.49%, 11/20/2031(a) | | | 446,445 | | | 443,477 |
Series 2022-2, Class B, 6.10%, 05/20/2032(a) | | | 1,414,198 | | | 1,415,427 |
Series 2022-4, Class A, 5.98%, 08/20/2032(a) | | | 511,903 | | | 512,808 |
Series 2023-1, Class A, 6.59%, 02/20/2033(a) | | | 249,038 | | | 249,413 |
Series 2023-2, Class A, 6.77%, 06/20/2033(a) | | | 445,306 | | | 446,823 |
Upstart Structured Pass-Through Trust
| | | | | | |
Series 2022-1A, Class A, 3.40%, 04/15/2030(a) | | | 2,206,160 | | | 2,180,125 |
Series 2022-2A, Class A, 4.25%, 06/17/2030(a) | | | 300,500 | | | 293,179 |
Series 2022-4A, Class B, 8.54%, 11/15/2030(a) | | | 2,200,000 | | | 2,244,376 |
| | | | | | 101,523,357 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Credit Card — 3.2%
| | | | | | |
American Express Travel Related Services Co., Inc., Series 2022-3, Class A, 3.75%, 08/15/2027 | | | $2,280,000 | | | $2,252,743 |
Avant Credit Card Master Trust
| | | | | | |
Series 2021-1A, Class A, 1.37%, 04/15/2027(a) | | | 3,500,000 | | | 3,461,048 |
Series 2021-1A, Class B, 1.62%, 04/15/2027(a) | | | 2,250,000 | | | 2,228,159 |
BA Credit Card Trust, Series 2022-A1, Class A1, 3.53%, 11/15/2027 | | | 1,485,000 | | | 1,468,114 |
Continental Finance Credit Card ABS Master Trust, Series 2021-A, Class A, 2.55%, 12/17/2029(a) | | | 2,000,000 | | | 1,964,704 |
Genesis Sales Finance Master Trust, Series 2021-AA, Class A, 1.20%, 12/21/2026(a) | | | 2,000,000 | | | 1,953,262 |
Mercury Financial Credit Card Master Trust, Series 2023-1A, Class A, 8.04%, 09/20/2027(a) | | | 700,000 | | | 704,855 |
| | | | | | 14,032,885 |
Equipment — 1.1%
| | | | | | |
ClickLease Equipment Receivables Trust, Series 2024-1, Class A, 6.86%, 02/15/2030(a) | | | 1,091,941 | | | 1,095,036 |
Octane Receivables Trust, Series 2020-1A, Class D,
5.45%, 03/20/2028(a) | | | 3,100,000 | | | 3,105,007 |
Verizon Master Trust, Series 2023-5, Class A1B, 6.02% (30 day avg SOFR US + 0.68%), 09/08/2028 | | | 400,000 | | | 402,076 |
| | | | | | 4,602,119 |
TOTAL ASSET-BACKED SECURITIES
(Cost $191,782,070) | | | | | | 191,491,781 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 18.7%
|
A&D Mortgage LLC
| | | | | | |
Series 2023-NQM4, Class A1, 7.47%, 09/25/2068(a)(c) | | | 914,576 | | | 943,894 |
Series 2023-NQM4, Class A3, 8.10%, 09/25/2068(a)(c) | | | 914,576 | | | 947,407 |
Bellemeade Re Ltd., Series 2023-1, Class M1B, 9.60% (30 day avg SOFR US + 4.25%), 10/25/2033(a) | | | 300,000 | | | 310,245 |
BRAVO Residential Funding Trust, Series 2024-NQM4, Class A1A, 4.35%, 01/25/2060(a)(c) | | | 990,743 | | | 952,714 |
Bunker Hill Loan Depositary Trust, Series 2019-3, Class A3, 3.14%, 11/25/2059(a)(c) | | | 714,371 | | | 697,722 |
Chase Mortgage Finance Corp., Series 2019-ATR2, Class A11, 6.36% (1 mo. Term SOFR + 1.01%), 07/25/2049(a) | | | 1,237,161 | | | 1,169,542 |
CIM Trust
| | | | | | |
Series 2019-INV2, Class A11, 6.41% (30 day avg SOFR US + 1.06%), 05/25/2049(a) | | | 157,876 | | | 150,988 |
Series 2021-NR2, Class A1, 5.57%, 07/25/2059(a)(c) | | | 1,714,940 | | | 1,701,483 |
COLT Funding LLC
| | | | | | |
Series 2020-2, Class A3, 3.70%, 03/25/2065(a)(b) | | | 1,710,000 | | | 1,623,029 |
Series 2021-3R, Class A3, 1.51%, 12/25/2064(a)(b) | | | 591,586 | | | 523,901 |
Series 2022-7, Class A3, 6.25%, 04/25/2067(a)(b) | | | 527,282 | | | 535,151 |
Credit Suisse Mortgage Capital Certificates
| | | | | | |
Series 2019-AFC1, Class A3, 3.88%, 07/25/2049(a)(c) | | | 1,326,328 | | | 1,259,699 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2019-NQM1, Class A1, 3.66%, 10/25/2059(a)(c) | | | $789,410 | | | $764,129 |
Series 2021-NQM1, Class A1, 0.81%, 05/25/2065(a)(b) | | | 1,374,216 | | | 1,230,210 |
Cross Mortgage Trust, Series 2023-H2, Class A1A,
7.14%, 11/25/2068(a)(c) | | | 874,387 | | | 899,022 |
Flagstar Mortgage Trust, Series 2018-6RR, Class 1A2, 6.16% (1 mo. Term SOFR + 0.81%), 10/25/2048(a) | | | 932,389 | | | 882,107 |
Galton Funding Mortgage Trust, Series 2017-1, Class A21, 3.50%, 07/25/2056(a)(b) | | | 35,492 | | | 32,523 |
GCAT Trust
| | | | | | |
Series 2020-NQM2, Class A1, 2.56%, 04/25/2065(a)(c) | | | 1,326,044 | | | 1,245,717 |
Series 2021-NQM2, Class A2, 1.24%, 05/25/2066(a)(b) | | | 1,290,754 | | | 1,110,886 |
Series 2022-NQM4, Class A3, 5.73%, 08/25/2067(a)(c) | | | 540,145 | | | 546,569 |
GS Mortgage-Backed Securities Trust
| | | | | | |
Series 2014-EB1A, Class B2, 6.56%, 07/25/2044(a)(b) | | | 882,489 | | | 886,902 |
Series 2020-PJ2, Class A1, 3.50%, 07/25/2050(a)(b) | | | 209,436 | | | 185,855 |
Series 2021-NQM1, Class A3, 1.53%, 07/25/2061(a)(b) | | | 1,358,217 | | | 1,193,796 |
Series 2021-PJ9, Class A8, 2.50%, 02/26/2052(a)(b) | | | 7,432,499 | | | 6,437,079 |
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3, 1.62%, 06/25/2056(a)(b) | | | 1,133,422 | | | 979,188 |
JP Morgan Mortgage Trust
| | | | | | |
Series 2019-5, Class A11, 6.36% (1 mo. Term SOFR + 1.01%), 11/25/2049(a) | | | 628,518 | | | 607,567 |
Series 2019-6, Class A3, 3.50%, 12/25/2049(a)(b) | | | 1,368,177 | | | 1,259,077 |
Series 2019-LTV3, Class A3, 3.50%, 03/25/2050(a)(b) | | | 131,797 | | | 129,836 |
Series 2023-HE1, Class A1, 7.09% (30 day avg SOFR US + 1.75%), 11/25/2053(a) | | | 646,989 | | | 658,295 |
Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class A10, 2.50%, 06/25/2051(a)(b) | | | 3,411,556 | | | 2,981,888 |
Metlife Securitization Trust, Series 2020-INV1, Class A5, 3.00%, 05/25/2050(a)(b) | | | 1,642,616 | | | 1,444,383 |
Mill City Mortgage Trust, Series 2021-NMR1, Class A1, 1.13%, 11/25/2060(a)(b) | | | 812,543 | | | 771,934 |
NMLT Trust, Series 2021-INV1, Class A3, 1.80%, 05/25/2056(a)(b) | | | 1,310,165 | | | 1,104,454 |
Onslow Bay Mortgage Loan Trust
| | | | | | |
Series 2018-EXP1, Class 2A2, 6.46% (1 mo. Term SOFR + 1.11%), 04/25/2048(a) | | | 15,136 | | | 15,078 |
Series 2020-EXP1, Class 2A1, 6.21% (1 mo. Term SOFR + 0.86%), 02/25/2060(a) | | | 386,473 | | | 373,218 |
Series 2021-NQM1, Class A3, 1.33%, 02/25/2066(a)(b) | | | 3,937,314 | | | 3,394,059 |
Pretium Mortgage Credit Partners LLC
| | | | | | |
Series 2021-NPL3, Class A1, 4.87%, 07/25/2051(a)(c) | | | 3,933,541 | | | 3,815,668 |
Series 2024-NPL1, Class A1, 7.14%, 01/25/2054(a)(c) | | | 2,178,272 | | | 2,223,112 |
Series 2024-RN2, Class A1, 7.12%, 04/25/2054(a)(c) | | | 997,606 | | | 1,014,067 |
PRKCM Trust, Series 2023-AFC1, Class A3, 7.30%, 02/25/2058(a)(c) | | | 1,150,956 | | | 1,159,484 |
PRPM LLC
| | | | | | |
Series 2021-3, Class A1, 4.87%, 04/25/2026(a)(c) | | | 63,311 | | | 62,040 |
Series 2021-6, Class A1, 4.79%, 07/25/2026(a)(c) | | | 2,278,396 | | | 2,211,038 |
Series 2021-7, Class A1, 1.87%, 08/25/2026(a)(c) | | | 676,546 | | | 657,044 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Series 2022-NQM1, Class A3, 5.50%, 08/25/2067(a)(c) | | | $2,122,879 | | | $2,143,346 |
Series 2024-2, Class A1, 7.03%, 03/25/2029(a)(c) | | | 761,017 | | | 773,181 |
Series 2024-RCF1, Class A3, 4.00%, 01/25/2054(a)(c) | | | 500,000 | | | 459,140 |
RCO Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/2027(a)(c) | | | 1,531,598 | | | 1,496,104 |
Rithm Capital Corp., Series 2021-INV1, Class A6,
2.50%, 06/25/2051(a)(b) | | | 2,123,607 | | | 1,896,169 |
Saluda Grade Mortgage Funding LLC, Series 2021-MF1, Class A1, 2.81%, 11/25/2029(a)(b) | | | 4,455,127 | | | 4,492,969 |
Sequoia Mortgage Trust, Series 2023-4, Class A10,
6.00%, 11/25/2053(a)(b) | | | 587,982 | | | 594,448 |
SGR Residential Mortgage Trust, Series 2021-2, Class A2, 1.94%, 12/25/2061(a)(b) | | | 3,714,192 | | | 3,113,659 |
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A3, 1.59%, 11/25/2055(a)(b) | | | 1,566,002 | | | 1,488,085 |
Toorak Mortgage Corp., Series 2022-INV1, Class A1, 2.58%, 02/25/2057(a)(b) | | | 2,977,290 | | | 2,724,718 |
Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 6.46% (1 mo. Term SOFR + 1.11%), 10/25/2059(a) | | | 938,411 | | | 948,761 |
Verus Securitization Trust
| | | | | | |
Series 2019-INV3, Class A2, 3.95%, 11/25/2059(a)(b) | | | 719,163 | | | 704,579 |
Series 2019-INV3, Class M1, 3.28%, 11/25/2059(a)(b) | | | 2,513,000 | | | 2,299,636 |
Series 2021-4, Class A2, 1.25%, 07/25/2066(a)(b) | | | 1,481,111 | | | 1,228,214 |
Series 2021-8, Class A3, 2.49%, 11/25/2066(a)(b) | | | 1,544,695 | | | 1,359,111 |
Series 2022-5, Class A3, 3.80%, 04/25/2067(a)(b) | | | 861,784 | | | 776,209 |
Series 2023-2, Class A3, 6.85%, 03/25/2068(a)(c) | | | 753,436 | | | 762,900 |
Series 2023-3, Class A3, 6.74%, 03/25/2068(a)(c) | | | 758,050 | | | 763,035 |
Visio Trust, Series 2021-1R, Class A3, 1.69%, 05/25/2056(a) | | | 1,222,551 | | | 1,099,745 |
WinWater Mortgage Loan Trust, Series 2015-A, Class AX1, 0.35%, 06/20/2045(a)(b)(d) | | | 5,574,829 | | | 73,599 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $85,430,536) | | | | | | 80,289,608 |
COLLATERALIZED LOAN OBLIGATIONS — 12.7%
|
ABPCI Direct Lending Fund CLO LLC, Series 2017-1A, Class A1R,
7.14% (3 mo. Term SOFR + 1.86%), 04/20/2032(a) | | | 2,484,848 | | | 2,489,281 |
Apidos CLO Ltd.
| | | | | | |
Series 2015-20A, Class A1RA, 6.65% (3 mo. Term SOFR + 1.36%), 07/16/2031(a) | | | 204,613 | | | 204,305 |
Series XXXA, Class A1A, 6.68% (3 mo. Term SOFR + 1.40%), 10/18/2031(a) | | | 1,237,311 | | | 1,240,152 |
ArrowMark Colorado Holdings
| | | | | | |
Series 2021-13A, Class X, 6.56% (3 mo. Term SOFR + 1.26%), 07/15/2034(a) | | | 800,000 | | | 799,837 |
Series 2021-14A, Class X, 6.49% (3 mo. Term SOFR + 1.21%), 10/20/2034(a) | | | 1,250,000 | | | 1,249,716 |
Barings Middle Market CLO Ltd., Series 2021-IA, Class X, 6.79% (3 mo. Term SOFR + 1.51%), 07/20/2033(a) | | | 1,142,857 | | | 1,142,835 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
|
Barings Private Credit Corp. CLO Ltd., Series 2023-1A, Class A1,
7.70% (3 mo. Term SOFR + 2.40%), 07/15/2031(a) | | | $1,038,614 | | | $1,042,167 |
Black Diamond CLO Ltd., Series 2019-2A, Class A1AR, 6.60% (3 mo. Term SOFR + 1.32%), 07/23/2032(a) | | | 2,500,000 | | | 2,500,330 |
Blackstone, Inc., Series 2018-1A, Class A2, 6.57% (3 mo. Term SOFR + 1.27%), 04/15/2031(a) | | | 2,422,845 | | | 2,427,742 |
Cathedral Lake CLO Ltd., Series 2021-6A, Class X, 6.55% (3 mo. Term SOFR + 1.26%), 04/25/2034(a) | | | 1,473,684 | | | 1,473,960 |
Cedar Funding Ltd., Series 2014-4A, Class X, 6.44% (3 mo. Term SOFR + 1.16%), 07/23/2034(a) | | | 952,376 | | | 949,989 |
Churchill Middle Market CLO Ltd., Series 2023-2A, Class X, 7.28% (3 mo. Term SOFR + 2.00%), 01/20/2036(a) | | | 2,000,000 | | | 2,001,228 |
Dryden Senior Loan Fund, Series 2015-40A, Class AR2, 6.47% (3 mo. Term SOFR + 1.15%), 08/15/2031(a) | | | 3,950,424 | | | 3,950,286 |
First Eagle Private Credit LLC, Series 2016-1A, Class A1AR, 7.24% (3 mo. Term SOFR + 1.95%), 01/25/2032(a) | | | 1,477,309 | | | 1,479,462 |
Gallatin CLO Ltd., Series 2017-1A, Class A1R, 6.65% (3 mo. Term SOFR + 1.35%), 07/15/2031(a) | | | 3,745,997 | | | 3,751,732 |
Golub Capital Partners CLO Ltd., Series 2013-17A, Class A1R, 7.20% (3 mo. Term SOFR + 1.91%), 10/25/2030(a) | | | 810,685 | | | 813,733 |
Great Lakes CLO Ltd., Series 2021-5A, Class AX, 6.51% (3 mo. Term SOFR + 1.21%), 04/15/2033(a) | | | 711,429 | | | 711,404 |
Jamestown CLO Ltd., Series 2016-9A, Class XRR, 6.45% (3 mo. Term SOFR + 1.16%), 07/25/2034(a) | | | 333,337 | | | 333,337 |
Kingsland Ltd., Series 2019-2A, Class XR, 6.49% (3 mo. Term SOFR + 1.21%), 10/20/2034(a) | | | 300,000 | | | 299,967 |
LCM XIII LP, Series 14A, Class AR, 6.58% (3 mo. Term SOFR + 1.30%), 07/20/2031(a) | | | 1,275,450 | | | 1,277,947 |
Monroe Capital MML CLO Ltd., Series 2021-2A, Class X, 6.61% (3 mo. Term SOFR + 1.26%), 09/14/2033(a) | | | 930,000 | | | 929,964 |
Mountain View Funding CLO Ltd., Series 2016-1A, Class XR, 6.36% (3 mo. Term SOFR + 1.06%), 04/14/2033(a) | | | 421,053 | | | 420,000 |
Neuberger Berman CLO Ltd.
| | | | | | |
Series 2015-20A, Class XR, 6.51% (3 mo. Term SOFR + 1.21%), 07/15/2034(a) | | | 2,000,000 | | | 1,999,952 |
Series 2017-26A, Class AR, 6.46% (3 mo. Term SOFR + 1.18%), 10/18/2030(a) | | | 797,887 | | | 799,069 |
NXT Capital CLO LLC, Series 2020-1A, Class A, 7.39% (3 mo. Term SOFR + 2.11%), 01/20/2031(a) | | | 1,187,592 | | | 1,189,361 |
OZLM Ltd., Series 2015-14A, Class X, 6.56% (3 mo. Term SOFR + 1.26%), 07/15/2034(a) | | | 200,000 | | | 199,466 |
Saranac CLO Ltd., Series 2014-2A, Class A1AR, 6.82% (3 mo. Term SOFR + 1.49%), 11/20/2029(a) | | | 673,058 | | | 673,172 |
TCW CLO Ltd.
| | | | | | |
Series 2019-1A, Class XR, 6.59% (3 mo. Term SOFR + 1.26%), 08/16/2034(a) | | | 1,066,667 | | | 1,066,635 |
Series 2020-1A, Class XRR, 6.39% (3 mo. Term SOFR + 1.11%), 04/20/2034(a) | | | 571,429 | | | 571,318 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
|
Series 2021-2A, Class X, 6.55% (3 mo. Term SOFR + 1.26%), 07/25/2034(a) | | | $1,066,667 | | | $1,066,784 |
THL Credit Lake Shore MM CLO Ltd.
| | | | | | |
Series 2019-2A, Class A1RR, 6.69% (3 mo. Term SOFR + 1.40%), 10/17/2031(a) | | | 2,500,000 | | | 2,499,902 |
Series 2021-1A, Class X, 6.74% (3 mo. Term SOFR + 1.44%), 10/15/2033(a) | | | 3,583,332 | | | 3,583,214 |
TIAA CLO Ltd., Series 2016-1A, Class ARR, 6.53% (3 mo. Term SOFR + 1.25%), 07/20/2031(a) | | | 4,097,307 | | | 4,097,725 |
Venture CDO Ltd., Series 2015-22A, Class AR, 6.64% (3 mo. Term SOFR + 1.34%), 01/15/2031(a) | | | 1,581,103 | | | 1,583,694 |
Voya CLO Ltd., Series 2014-2A, Class A2RB, 7.10% (3 mo. Term SOFR + 1.81%), 04/17/2030(a) | | | 3,000,000 | | | 3,009,471 |
Wellfleet CLO Ltd., Series 2019-XA, Class X, 6.54% (3 mo. Term SOFR + 1.26%), 07/20/2032(a) | | | 681,818 | | | 681,710 |
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $54,485,654) | | | | | | 54,510,847 |
COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — 10.7%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series K053, Class A2, 3.00%, 12/25/2025(b) | | | 3,000,000 | | | 2,927,418 |
Series K055, Class A2, 2.67%, 03/25/2026 | | | 500,000 | | | 484,270 |
Series K056, Class A2, 2.53%, 05/25/2026 | | | 250,000 | | | 240,881 |
Series K058, Class A2, 2.65%, 08/25/2026 | | | 3,000,000 | | | 2,885,250 |
Series K-F100, Class AL, 5.58% (30 day avg SOFR US + 0.24%), 11/25/2027 | | | 3,000,765 | | | 2,978,775 |
Series K-F100, Class AS, 5.52% (30 day avg SOFR US + 0.18%), 01/25/2028 | | | 1,523,551 | | | 1,511,148 |
Series K-F101, Class AS, 5.54% (30 day avg SOFR US + 0.20%), 01/25/2031 | | | 297,524 | | | 292,770 |
Series K-F113, Class AS, 5.57% (30 day avg SOFR US + 0.23%), 05/25/2028 | | | 909,952 | | | 904,480 |
Series K-F114, Class AS, 5.56% (30 day avg SOFR US + 0.22%), 05/25/2031 | | | 211,287 | | | 208,257 |
Series K-F115, Class AS, 5.55% (30 day avg SOFR US + 0.21%), 06/25/2031 | | | 724,723 | | | 714,025 |
Series K-F117, Class AS, 5.58% (30 day avg SOFR US + 0.24%), 06/25/2031 | | | 495,914 | | | 490,472 |
Series K-F129, Class AS, 5.59% (30 day avg SOFR US + 0.25%), 01/25/2029 | | | 322,433 | | | 317,881 |
Series KF130, Class AS, 0.00% (30 day avg SOFR US + 0.29%), 01/25/2029 | | | 1,128,109 | | | 1,121,940 |
Series KF133, Class AS, 5.71% (30 day avg SOFR US + 0.37%), 02/25/2029 | | | 1,395,083 | | | 1,388,005 |
Series KF155, Class AS, 6.01% (30 day avg SOFR US + 0.67%), 02/25/2030 | | | 1,000,000 | | | 1,007,584 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — (Continued)
| | | | | | |
Series KF160, Class AS, 6.04% (30 day avg SOFR US + 0.70%), 10/25/2030 | | | $2,277,244 | | | $2,289,634 |
Series K-F43, Class A, 5.69% (30 day avg SOFR US + 0.35%), 01/25/2028 | | | 2,119,852 | | | 2,110,900 |
Series K-F48, Class A, 5.74% (30 day avg SOFR US + 0.40%), 06/25/2028 | | | 823,150 | | | 820,634 |
Series K-F51, Class A, 5.85% (30 day avg SOFR US + 0.51%), 08/25/2025 | | | 1,447,602 | | | 1,449,329 |
Series K-F60, Class A, 5.94% (30 day avg SOFR US + 0.60%), 02/25/2026 | | | 987,169 | | | 989,107 |
Series K-F62, Class A, 5.93% (30 day avg SOFR US + 0.59%), 04/25/2026 | | | 699,427 | | | 697,504 |
Series K-F64, Class A, 5.89% (30 day avg SOFR US + 0.55%), 06/25/2026 | | | 279,367 | | | 278,432 |
Series KF67, Class A, 5.97% (30 day avg SOFR US + 0.63%), 08/25/2029 | | | 1,046,545 | | | 1,052,499 |
Series K-F68, Class A, 5.94% (30 day avg SOFR US + 0.60%), 07/25/2026 | | | 4,093,630 | | | 4,101,437 |
Series K-F74, Class AS, 5.87% (SOFR 1M Historical Calendar Day Compounded + 0.53%), 01/25/2027 | | | 44,131 | | | 43,966 |
Series KF75, Class AS, 5.89% (SOFR 1M Historical Calendar Day Compounded + 0.55%), 12/25/2029 | | | 531,556 | | | 532,709 |
Series KF81, Class AS, 5.74% (30 day avg SOFR US + 0.40%), 06/25/2027 | | | 770,511 | | | 768,929 |
Series K-F84, Class AL, 5.75% (30 day avg SOFR US + 0.41%), 07/25/2030 | | | 1,494,208 | | | 1,493,183 |
Series K-F86, Class AL, 5.74% (30 day avg SOFR US + 0.40%), 08/25/2027 | | | 1,187,582 | | | 1,185,092 |
Series K-F86, Class AS, 5.66% (30 day avg SOFR US + 0.32%), 08/25/2027 | | | 3,893,180 | | | 3,876,256 |
Series K-F91, Class AL, 5.78% (30 day avg SOFR US + 0.44%), 10/25/2030 | | | 654,211 | | | 652,158 |
Series K-F92, Class AS, 5.70% (30 day avg SOFR US + 0.36%), 10/25/2030 | | | 287,696 | | | 284,515 |
Series K-F93, Class AL, 5.73% (30 day avg SOFR US + 0.39%), 10/25/2027 | | | 953,663 | | | 951,104 |
Series K-F93, Class AS, 5.65% (30 day avg SOFR US + 0.31%), 10/25/2027 | | | 815,382 | | | 811,197 |
Series K-F94, Class AL, 5.75% (30 day avg SOFR US + 0.41%), 11/25/2030 | | | 729,711 | | | 726,214 |
Series KF95, Class AL, 5.71% (30 day avg SOFR US + 0.37%), 11/25/2030 | | | 185,261 | | | 183,830 |
Series K-F96, Class AS, 5.64% (30 day avg SOFR US + 0.30%), 11/25/2030 | | | 262,627 | | | 258,882 |
Series KF97, Class AS, 5.59% (30 day avg SOFR US + 0.25%), 12/25/2030 | | | 204,801 | | | 202,357 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — (Continued)
| | | | | | |
Series K-F99, Class AS, 5.54% (30 day avg SOFR US + 0.20%), 12/25/2030 | | | $988,988 | | | $974,468 |
Federal National Mortgage Association, Pool AN6538,
2.50%, 09/01/2024 | | | 1,902,999 | | | 1,893,220 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY
(Cost $46,165,102) | | | | | | 46,100,712 |
CORPORATE OBLIGATIONS — 5.4%
|
Basic Materials — 0.3%
| | | | | | |
Mercer International, Inc., 5.50%, 01/15/2026 | | | 300,000 | | | 292,620 |
NOVA Chemicals Corp., 5.00%, 05/01/2025(a) | | | 650,000 | | | 644,838 |
Steel Dynamics, Inc., 2.80%, 12/15/2024 | | | 400,000 | | | 395,404 |
| | | | | | 1,332,862 |
Communications — 0.2%
| | | | | | |
Nexstar Media, Inc., 5.63%, 07/15/2027(a) | | | 100,000 | | | 97,001 |
T-Mobile USA, Inc., 3.50%, 04/15/2025 | | | 360,000 | | | 354,914 |
Univision Communications, Inc., 6.63%, 06/01/2027(a) | | | 400,000 | | | 398,199 |
| | | | | | 850,114 |
Consumer, Cyclical — 0.5%
| | | | | | |
AutoNation, Inc., 3.50%, 11/15/2024 | | | 300,000 | | | 297,649 |
Brunswick Corp./DE, 0.85%, 08/18/2024 | | | 190,000 | | | 189,512 |
Carnival Corp., 7.63%, 03/01/2026(a) | | | 250,000 | | | 252,568 |
Ford Motor Credit Co. LLC, 4.06%, 11/01/2024 | | | 200,000 | | | 199,048 |
General Motors Financial Co., Inc., 2.90%, 02/26/2025 | | | 200,000 | | | 196,972 |
Harley-Davidson Financial Services, Inc., 3.35%, 06/08/2025(a) | | | 100,000 | | | 97,990 |
NCL Corp. Ltd., 5.88%, 03/15/2026(a) | | | 500,000 | | | 498,226 |
Volkswagen Group of America Finance LLC, 3.35%, 05/13/2025(a) | | | 500,000 | | | 492,024 |
| | | | | | 2,223,989 |
Consumer, Non-cyclical — 0.6%
| | | | | | |
Baxter International, Inc., 1.32%, 11/29/2024 | | | 500,000 | | | 493,015 |
GE HealthCare Technologies, Inc., 5.55%, 11/15/2024 | | | 500,000 | | | 499,814 |
Global Payments, Inc., 2.65%, 02/15/2025 | | | 500,000 | | | 492,323 |
Mondelez International Holdings Netherlands BV, 0.75%, 09/24/2024(a) | | | 510,000 | | | 506,430 |
Zimmer Biomet Holdings, Inc., 1.45%, 11/22/2024 | | | 500,000 | | | 493,475 |
| | | | | | 2,485,057 |
Energy — 1.7%
| | | | | | |
Archrock Partners LP / Archrock Partners Finance Corp., 6.88%, 04/01/2027(a) | | | 120,000 | | | 120,539 |
CITGO Petroleum Corp., 7.00%, 06/15/2025(a) | | | 500,000 | | | 500,260 |
CrownRock LP / CrownRock Finance, Inc., 5.63%, 10/15/2025(a) | | | 350,000 | | | 350,010 |
DCP Midstream Operating LP, 5.38%, 07/15/2025 | | | 126,000 | | | 125,933 |
Enbridge, Inc., 2.50%, 02/14/2025 | | | 500,000 | | | 491,920 |
Energy Transfer LP, 2.90%, 05/15/2025 | | | 500,000 | | | 490,042 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Energy — (Continued)
|
EnLink Midstream Partners LP, 4.85%, 07/15/2026 | | | $600,000 | | | $593,104 |
Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 01/15/2027 | | | 300,000 | | | 306,996 |
Marathon Petroleum Corp., 3.63%, 09/15/2024 | | | 500,000 | | | 498,613 |
MPLX LP, 4.88%, 12/01/2024 | | | 200,000 | | | 199,448 |
New Fortress Energy, Inc., 6.75%, 09/15/2025(a) | | | 300,000 | | | 295,776 |
ONEOK Partners LP, 4.90%, 03/15/2025 | | | 400,000 | | | 398,443 |
Ovintiv, Inc., 5.65%, 05/15/2025 | | | 200,000 | | | 200,106 |
Plains All American Pipeline LP / PAA Finance Corp., 3.60%, 11/01/2024 | | | 500,000 | | | 497,294 |
Sabine Pass Liquefaction LLC, 5.63%, 03/01/2025 | | | 200,000 | | | 199,839 |
Southwestern Energy Co., 5.70%, 01/23/2025 | | | 205,000 | | | 204,316 |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 7.50%, 10/01/2025(a) | | | 500,000 | | | 501,461 |
Targa Resources Partners LP / Targa Resources Partners Finance Corp., 6.50%, 07/15/2027 | | | 200,000 | | | 202,123 |
TransCanada PipeLines Ltd., 1.00%, 10/12/2024 | | | 500,000 | | | 495,236 |
USA Compression Partners LP / USA Compression Finance Corp., 6.88%, 09/01/2027 | | | 300,000 | | | 301,895 |
Western Midstream Operating LP, 3.10%, 02/01/2025 | | | 438,000 | | | 432,551 |
| | | | | | 7,405,905 |
Financial — 1.1%
| | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 2.88%, 08/14/2024 | | | 200,000 | | | 199,782 |
Ares Capital Corp., 3.25%, 07/15/2025 | | | 300,000 | | | 293,346 |
Avolon Holdings Funding Ltd., 2.88%, 02/15/2025(a) | | | 300,000 | | | 294,967 |
Bank of America Corp., 4.00%, 01/22/2025 | | | 500,000 | | | 496,800 |
Capital One Financial Corp., 3.30%, 10/30/2024 | | | 200,000 | | | 198,820 |
goeasy Ltd., 4.38%, 05/01/2026(a) | | | 274,000 | | | 266,922 |
HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026(a) | | | 400,000 | | | 382,021 |
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/2027(a) | | | 250,000 | | | 248,282 |
OneMain Finance Corp., 3.50%, 01/15/2027 | | | 250,000 | | | 236,489 |
PennyMac Financial Services, Inc., 5.38%, 10/15/2025(a) | | | 500,000 | | | 497,461 |
PRA Group, Inc., 7.38%, 09/01/2025(a) | | | 155,000 | | | 155,253 |
Starwood Property Trust, Inc., 4.38%, 01/15/2027(a) | | | 300,000 | | | 288,357 |
Truist Financial Corp., 2.50%, 08/01/2024 | | | 300,000 | | | 300,000 |
UBS Group AG, 3.63%, 09/09/2024 | | | 500,000 | | | 498,887 |
United Wholesale Mortgage LLC, 5.75%, 06/15/2027(a) | | | 400,000 | | | 394,091 |
| | | | | | 4,751,478 |
Industrial — 0.8%
| | | | | | |
3M Co., 2.65%, 04/15/2025 | | | 500,000 | | | 490,717 |
Boeing Co., 4.88%, 05/01/2025 | | | 500,000 | | | 496,267 |
Carrier Global Corp., 2.24%, 02/15/2025 | | | 365,000 | | | 358,792 |
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027(a) | | | 550,000 | | | 564,257 |
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/2027(a) | | | 300,000 | | | 300,606 |
Penske Truck Leasing Co. Lp / PTL Finance Corp., 2.70%, 11/01/2024(a) | | | 340,000 | | | 337,423 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Industrial — (Continued)
|
Rolls-Royce PLC, 3.63%, 10/14/2025(a) | | | $300,000 | | | $293,110 |
Ryder System, Inc., 2.50%, 09/01/2024 | | | 260,000 | | | 259,145 |
Westinghouse Air Brake Technologies Corp., 3.20%, 06/15/2025 | | | 320,000 | | | 313,806 |
| | | | | | 3,414,123 |
Technology — 0.1%
| | | | | | |
Hewlett Packard Enterprise Co., 5.90%, 10/01/2024 | | | 500,000 | | | 500,061 |
Oracle Corp., 2.50%, 04/01/2025 | | | 150,000 | | | 147,133 |
| | | | | | 647,194 |
Utilities — 0.1%
| | | | | | |
AmeriGas Partners LP / AmeriGas Finance Corp., 5.50%, 05/20/2025 | | | 125,000 | | | 124,248 |
Edison International, 3.55%, 11/15/2024 | | | 170,000 | | | 168,761 |
| | | | | | 293,009 |
TOTAL CORPORATE OBLIGATIONS
(Cost $23,332,140) | | | | | | 23,403,731 |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 2.9%
|
ACREC Trust, Series 2021-FL1, Class AS, 6.95% (1 mo. Term SOFR + 1.61%), 10/16/2036(a) | | | 370,000 | | | 369,589 |
BrightSpire Capital, Inc., Series 2021-FL1, Class AS, 7.06% (1 mo. Term SOFR + 1.71%), 08/19/2038(a) | | | 2,000,000 | | | 1,959,052 |
BXP Trust, Series 2017-CQHP, Class A, 6.23% (1 mo. Term SOFR + 0.90%), 11/15/2034(a) | | | 1,000,000 | | | 926,532 |
Credit Suisse Mortgage Capital Certificates, Series 2017-PFHP, Class A, 6.33% (1 mo. Term SOFR + 1.00%), 12/15/2030(a) | | | 620,000 | | | 576,346 |
GS Mortgage Securities Corp., Series 2018-TWR, Class B, 6.83% (1 mo. Term SOFR + 1.50%), 07/15/2031(a) | | | 775,000 | | | 595,247 |
JP Morgan Chase Commercial Mortgage Securities, Series 2018-PTC, Class A, 6.83% (1 mo. Term SOFR + 1.50%), 04/15/2031(a) | | | 1,253,000 | | | 815,102 |
KREF, Series 2021-FL2, Class A, 6.52% (1 mo. Term SOFR + 1.18%), 02/15/2039(a) | | | 498,988 | | | 493,404 |
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 6.91% (1 mo. Term SOFR + 1.58%), 07/15/2036(a) | | | 848,857 | | | 792,238 |
TPG Real Estate Finance Issuer Ltd., Series 2022-FL5, Class AS,
7.48% (1 mo. Term SOFR + 2.15%), 02/15/2039(a) | | | 1,000,000 | | | 986,318 |
Velocity Commercial Capital Loan Trust
| | | | | | |
Series 2021-2, Class A, 1.52%, 08/25/2051(a)(b) | | | 2,982,971 | | | 2,559,517 |
Series 2021-3, Class A, 1.96%, 10/25/2051(a)(b) | | | 2,046,359 | | | 1,662,258 |
Series 2021-4, Class A, 2.52%, 12/26/2051(a)(b) | | | 995,957 | | | 840,859 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $14,307,535) | | | | | | 12,576,462 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — 1.3%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 4776, Class QM, 3.00%, 06/15/2045 | | | 50,702 | | | 50,550 |
Series 5078, Class AB, 2.00%, 09/25/2035 | | | 1,430,653 | | | 1,388,724 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — (Continued)
| | | | | | |
Federal National Mortgage Association
| | | | | | |
Pool AN0571, 3.10%, 01/01/2026 | | | $2,000,000 | | | $1,951,102 |
Pool BM7189, 2.92%, 10/01/2025(b) | | | 1,619,776 | | | 1,587,124 |
Series 2017-61, Class K, 3.50%, 08/25/2046 | | | 588,222 | | | 557,432 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY
(Cost $5,647,564) | | | | | | 5,534,932 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — 0.9%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 2016-SC02, Class M2, 3.63%, 10/25/2046(b) | | | 1,505,252 | | | 1,442,412 |
Series 2022-DNA3, Class M1A, 7.35% (30 day avg SOFR US + 2.00%), 04/25/2042(a) | | | 273,524 | | | 277,867 |
Series 2024-DNA2, Class M1, 6.55% (30 day avg SOFR US + 1.20%), 05/25/2044(a) | | | 1,892,841 | | | 1,899,131 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost $3,681,784) | | | | | | 3,619,410 |
| | | | | | | |
| | | | | | | |
SHORT-TERM INVESTMENTS — 4.7%
| | | | | | |
Money Market Funds — 3.5%
| | | | | | |
First American Government Obligations Fund - Class U, 5.25%(e) | | | 15,201,162 | | | 15,201,162 |
| | | | | | | |
| | | | | | | |
U.S. Treasury Bills — 1.2%
| | | | | | |
5.26%, 09/05/2024(f) | | | $2,000,000 | | | 1,989,830 |
5.30%, 09/24/2024(f) | | | 3,000,000 | | | 2,976,345 |
| | | | | | 4,966,175 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $20,167,337) | | | | | | 20,167,337 |
TOTAL INVESTMENTS — 101.8%
(Cost $444,999,722) | | | | | | $437,694,820 |
Liabilities in Excess of Other Assets — (1.8%) | | | | | | (7,569,874) |
TOTAL NET ASSETS — 100.0% | | | | | | $430,124,946 |
| | | | | | | |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a)
| Security is 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. As of July 31, 2024, the value of these securities total $335,611,529 or 78.0% of the Fund’s net assets. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024. |
(c)
| Step coupon bond. The rate disclosed is as of July 31, 2024. |
(d)
| Interest only security. |
(e)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
(f)
| The rate shown is the effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund
Schedule of Open Futures Contracts
July 31, 2024 (Unaudited)
| | | | | | | | | | | | | |
Eris SOFR 3 Year Swap | | | (166) | | | 09/22/2025 | | | $(15,275,669) | | | $179,512 |
Eris SOFR 3 Year Swap | | | (293) | | | 12/22/2025 | | | (27,759,728) | | | 345,506 |
Eris SOFR 4 Year Swap | | | (213) | | | 12/21/2026 | | | (19,904,743) | | | 305,016 |
Total Unrealized Appreciation (Depreciation) | | | $830,034 |
| | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
CORPORATE OBLIGATIONS — 67.8%
| | | | | | |
Basic Materials — 5.8%
|
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/2031(a) | | | $250,000 | | | $ 262,139 |
Cleveland-Cliffs, Inc.
|
5.88%, 06/01/2027 | | | 400,000 | | | 399,866 |
6.75%, 04/15/2030(a) | | | 500,000 | | | 503,861 |
Consolidated Energy Finance SA, 12.00%, 02/15/2031(a) | | | 400,000 | | | 395,379 |
CVR Partners LP / CVR Nitrogen Finance Corp., 6.13%, 06/15/2028(a) | | | 1,000,000 | | | 966,723 |
Hecla Mining Co., 7.25%, 02/15/2028 | | | 500,000 | | | 504,653 |
Mercer International, Inc., 5.13%, 02/01/2029 | | | 750,000 | | | 637,036 |
Methanex Corp., 5.25%, 12/15/2029 | | | 500,000 | | | 486,294 |
NOVA Chemicals Corp., 8.50%, 11/15/2028(a) | | | 200,000 | | | 212,208 |
Taseko Mines Ltd., 8.25%, 05/01/2030(a) | | | 600,000 | | | 615,871 |
| | | 4,984,030 |
Communications — 5.5%
|
Cars.com, Inc., 6.38%, 11/01/2028(a) | | | 500,000 | | | 492,472 |
CMG Media Corp., 8.88%, 12/15/2027(a) | | | 250,000 | | | 143,212 |
Consolidated Communications, Inc., 6.50%, 10/01/2028(a) | | | 500,000 | | | 451,164 |
CSC Holdings LLC, 5.50%, 04/15/2027(a) | | | 500,000 | | | 418,518 |
Cumulus Media New Holdings, Inc., 8.00%, 07/01/2029(a) | | | 509,000 | | | 201,055 |
Directv Financing LLC / Directv Financing Co.-Obligor, Inc.,
5.88%, 08/15/2027(a) | | | 1,000,000 | | | 964,338 |
Gray Television, Inc., 5.38%, 11/15/2031(a) | | | 1,000,000 | | | 641,771 |
Lamar Media Corp., 4.88%, 01/15/2029 | | | 250,000 | | | 242,904 |
Nexstar Media, Inc., 5.63%, 07/15/2027(a) | | | 250,000 | | | 242,502 |
Outfront Media Capital LLC / Outfront Media Capital Corp.,
5.00%, 08/15/2027(a) | | | 250,000 | | | 244,177 |
Townsquare Media, Inc., 6.88%, 02/01/2026(a) | | | 300,000 | | | 295,728 |
Univision Communications, Inc., 6.63%, 06/01/2027(a) | | | 250,000 | | | 248,874 |
Urban One, Inc., 7.38%, 02/01/2028(a) | | | 200,000 | | | 152,837 |
| | | 4,739,552 |
Consumer, Cyclical — 9.9%
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 04/20/2026(a) | | | 291,667 | | | 289,885 |
American Axle & Manufacturing, Inc., 5.00%, 10/01/2029 | | | 1,000,000 | | | 917,176 |
Beacon Roofing Supply, Inc., 4.50%, 11/15/2026(a) | | | 250,000 | | | 242,976 |
Caesars Entertainment, Inc., 6.50%, 02/15/2032(a) | | | 100,000 | | | 101,282 |
Carnival Corp., 6.00%, 05/01/2029(a) | | | 350,000 | | | 349,398 |
Cinemark USA, Inc., 7.00%, 08/01/2032(a) | | | 1,000,000 | | | 1,018,831 |
Clarios Global LP, 6.75%, 05/15/2025(a) | | | 226,000 | | | 226,371 |
FirstCash, Inc., 4.63%, 09/01/2028(a) | | | 500,000 | | | 477,996 |
Goodyear Tire & Rubber Co., 5.00%, 07/15/2029 | | | 500,000 | | | 471,514 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 11.00%, 04/15/2029(a) | | | 412,500 | | | 392,302 |
Installed Building Products, Inc., 5.75%, 02/01/2028(a) | | | 100,000 | | | 98,380 |
LCM Investments Holdings LLC, 8.25%, 08/01/2031(a) | | | 100,000 | | | 104,933 |
Lithia Motors, Inc., 4.63%, 12/15/2027(a) | | | 250,000 | | | 240,716 |
Marriott Ownership Resorts, Inc., 4.75%, 01/15/2028 | | | 500,000 | | | 477,140 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Consumer, Cyclical — (Continued)
|
NCL Corp. Ltd., 5.88%, 03/15/2026(a) | | | $300,000 | | | $ 298,936 |
New Red Finance, Inc., 4.38%, 01/15/2028(a) | | | 250,000 | | | 237,946 |
Phinia, Inc., 6.75%, 04/15/2029(a) | | | 345,000 | | | 352,331 |
Resideo Funding, Inc., 6.50%, 07/15/2032(a) | | | 500,000 | | | 500,439 |
Sally Holdings LLC / Sally Capital, Inc., 6.75%, 03/01/2032 | | | 600,000 | | | 598,315 |
STL Holding Co. LLC, 8.75%, 02/15/2029(a) | | | 450,000 | | | 468,372 |
Suburban Propane Partners LP / Suburban Energy Finance Corp.,
5.00%, 06/01/2031(a) | | | 100,000 | | | 90,828 |
VistaJet Malta Finance PLC / Vista Management Holding, Inc.,
9.50%, 06/01/2028(a) | | | 100,000 | | | 89,339 |
White Cap Buyer LLC, 6.88%, 10/15/2028(a) | | | 500,000 | | | 495,177 |
| | | 8,540,583 |
Consumer, Non-cyclical — 7.4%
|
Arrow Bidco LLC, 10.75%, 06/15/2025(a) | | | 470,000 | | | 479,400 |
B&G Foods, Inc., 8.00%, 09/15/2028(a) | | | 650,000 | | | 663,059 |
Herc Holdings, Inc., 6.63%, 06/15/2029(a) | | | 250,000 | | | 255,465 |
Korn Ferry, 4.63%, 12/15/2027(a) | | | 250,000 | | | 242,094 |
Matthews International Corp., 5.25%, 12/01/2025(a) | | | 250,000 | | | 247,036 |
Medline Borrower LP, 5.25%, 10/01/2029(a) | | | 500,000 | | | 483,152 |
NESCO Holdings, Inc., 5.50%, 04/15/2029(a) | | | 100,000 | | | 93,158 |
Performance Food Group, Inc., 4.25%, 08/01/2029(a) | | | 500,000 | | | 462,858 |
Post Holdings, Inc., 6.25%, 02/15/2032(a) | | | 250,000 | | | 253,446 |
Prime Security Services Borrower LLC / Prime Finance, Inc.,
3.38%, 08/31/2027(a) | | | 250,000 | | | 233,629 |
Select Medical Corp., 6.25%, 08/15/2026(a) | | | 500,000 | | | 504,197 |
Simmons Foods, Inc., 4.63%, 03/01/2029(a) | | | 250,000 | | | 225,348 |
Sotheby’s
|
7.38%, 10/15/2027(a) | | | 300,000 | | | 250,099 |
5.88%, 06/01/2029(a) | | | 500,000 | | | 365,361 |
TreeHouse Foods, Inc., 4.00%, 09/01/2028 | | | 250,000 | | | 225,784 |
Upbound Group, Inc., 6.38%, 02/15/2029(a) | | | 500,000 | | | 489,373 |
US Foods, Inc., 7.25%, 01/15/2032(a) | | | 200,000 | | | 209,411 |
VT Topco, Inc., 8.50%, 08/15/2030(a) | | | 700,000 | | | 741,179 |
| | | 6,424,049 |
Diversified — 0.7%
|
Stena International SA, 7.25%, 01/15/2031(a) | | | 625,000 | | | 639,987 |
Energy — 14.6%
|
Alliance Resource Operating Partners LP / Alliance Resource
Finance Corp., 8.63%, 06/15/2029(a) | | | 100,000 | | | 105,198 |
Antero Midstream Partners LP / Antero Midstream Finance Corp.
|
5.75%, 01/15/2028(a) | | | 1,250,000 | | | 1,240,806 |
6.63%, 02/01/2032(a) | | | 100,000 | | | 102,089 |
Archrock Partners LP / Archrock Partners Finance Corp.,
6.88%, 04/01/2027(a) | | | 700,000 | | | 703,141 |
Borr IHC Ltd. / Borr Finance LLC, 10.38%, 11/15/2030(a) | | | 194,903 | | | 205,793 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Energy — (Continued)
|
Calumet Specialty Products Partners LP / Calumet Finance Corp.
|
8.13%, 01/15/2027(a) | | | $600,000 | | | $564,607 |
9.75%, 07/15/2028(a) | | | 200,000 | | | 183,578 |
CITGO Petroleum Corp., 7.00%, 06/15/2025(a) | | | 500,000 | | | 500,259 |
Comstock Resources, Inc.
|
6.75%, 03/01/2029(a) | | | 100,000 | | | 96,996 |
5.88%, 01/15/2030(a) | | | 100,000 | | | 92,846 |
Encino Acquisition Partners Holdings LLC, 8.50%, 05/01/2028(a) | | | 250,000 | | | 256,285 |
Enviva Partners LP / Enviva Partners Finance Corp.,
6.50%, 01/15/2026(a)(b) | | | 400,000 | | | 178,000 |
Genesis Energy LP / Genesis Energy Finance Corp., 8.25%, 01/15/2029 | | | 275,000 | | | 286,232 |
Greenfire Resources Ltd., 12.00%, 10/01/2028(a) | | | 200,000 | | | 214,887 |
Helix Energy Solutions Group, Inc., 9.75%, 03/01/2029(a) | | | 250,000 | | | 267,375 |
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/2029(a) | | | 900,000 | | | 885,622 |
Kinetik Holdings LP, 5.88%, 06/15/2030(a) | | | 250,000 | | | 247,627 |
New Fortress Energy, Inc.
|
6.75%, 09/15/2025(a) | | | 163,000 | | | 160,705 |
6.50%, 09/30/2026(a) | | | 500,000 | | | 464,679 |
PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 02/15/2028 | | | 500,000 | | | 490,925 |
Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029(a) | | | 1,000,000 | | | 962,059 |
SunCoke Energy, Inc., 4.88%, 06/30/2029(a) | | | 500,000 | | | 457,353 |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.
|
7.50%, 10/01/2025(a) | | | 500,000 | | | 501,460 |
6.00%, 12/31/2030(a) | | | 500,000 | | | 474,090 |
USA Compression Partners LP / USA Compression Finance Corp.,
6.88%, 09/01/2027 | | | 750,000 | | | 754,738 |
Venture Global Calcasieu Pass LLC
|
4.13%, 08/15/2031(a) | | | 250,000 | | | 227,397 |
3.88%, 11/01/2033(a) | | | 250,000 | | | 216,963 |
Venture Global LNG, Inc., 8.38%, 06/01/2031(a) | | | 700,000 | | | 734,850 |
Warrior Met Coal, Inc., 7.88%, 12/01/2028(a) | | | 1,009,000 | | | 1,034,633 |
| | | 12,611,193 |
Financial — 11.6%
|
Anywhere Real Estate Group LLC / Realogy Co.-Issuer Corp.,
5.25%, 04/15/2030(a) | | | 500,000 | | | 333,018 |
Encore Capital Group, Inc., 8.50%, 05/15/2030(a) | | | 500,000 | | | 518,997 |
Freedom Mortgage Corp., 7.63%, 05/01/2026(a) | | | 500,000 | | | 500,991 |
Freedom Mortgage Holdings LLC, 9.25%, 02/01/2029(a) | | | 600,000 | | | 604,726 |
GGAM Finance Ltd.
|
8.00%, 02/15/2027(a) | | | 500,000 | | | 517,227 |
6.88%, 04/15/2029(a) | | | 450,000 | | | 461,221 |
Global Aircraft Leasing Co. Ltd., 6.50% (includes 7.25% PIK),
09/15/2024(a) | | | 449,338 | | | 441,754 |
goeasy Ltd.
|
4.38%, 05/01/2026(a) | | | 500,000 | | | 487,084 |
9.25%, 12/01/2028(a) | | | 200,000 | | | 214,303 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Financial — (Continued)
|
HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026(a) | | | $ 750,000 | | | $716,289 |
Jefferson Capital Holdings LLC, 9.50%, 02/15/2029(a) | | | 200,000 | | | 210,008 |
LD Holdings Group LLC, 6.13%, 04/01/2028(a) | | | 400,000 | | | 319,638 |
LPL Holdings, Inc., 4.63%, 11/15/2027(a) | | | 500,000 | | | 487,627 |
Macquarie Airfinance Holdings Ltd.
|
8.13%, 03/30/2029(a) | | | 200,000 | | | 211,772 |
6.50%, 03/26/2031(a) | | | 200,000 | | | 207,705 |
MPT Operating Partnership LP / MPT Finance Corp., 3.50%, 03/15/2031 | | | 500,000 | | | 329,523 |
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/2027(a) | | | 650,000 | | | 645,533 |
OneMain Finance Corp., 7.50%, 05/15/2031 | | | 250,000 | | | 257,198 |
Panther Escrow Issuer LLC, 7.13%, 06/01/2031(a) | | | 100,000 | | | 102,680 |
PennyMac Financial Services, Inc., 5.75%, 09/15/2031(a) | | | 250,000 | | | 239,078 |
PRA Group, Inc.
|
7.38%, 09/01/2025(a) | | | 250,000 | | | 250,408 |
5.00%, 10/01/2029(a) | | | 500,000 | | | 444,624 |
8.88%, 01/31/2030(a) | | | 100,000 | | | 101,902 |
RHP Hotel Properties LP / RHP Finance Corp., 6.50%, 04/01/2032(a) | | | 300,000 | | | 303,580 |
StoneX Group, Inc., 7.88%, 03/01/2031(a) | | | 500,000 | | | 520,760 |
United Wholesale Mortgage LLC, 5.50%, 04/15/2029(a) | | | 500,000 | | | 482,774 |
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC,
6.50%, 02/15/2029(a) | | | 200,000 | | | 150,272 |
| | | 10,060,692 |
Industrial — 10.7%
|
Advanced Drainage Systems, Inc., 6.38%, 06/15/2030(a) | | | 500,000 | | | 504,229 |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 02/01/2026(a) | | | 250,000 | | | 249,334 |
Builders FirstSource, Inc.
|
5.00%, 03/01/2030(a) | | | 250,000 | | | 239,393 |
6.38%, 03/01/2034(a) | | | 500,000 | | | 504,863 |
Cargo Aircraft Management, Inc., 4.75%, 02/01/2028(a) | | | 500,000 | | | 470,452 |
Coherent Corp., 5.00%, 12/15/2029(a) | | | 500,000 | | | 477,336 |
EquipmentShare.com, Inc., 9.00%, 05/15/2028(a) | | | 500,000 | | | 515,041 |
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027(a) | | | 250,000 | | | 256,480 |
Genesee & Wyoming, Inc., 6.25%, 04/15/2032(a) | | | 300,000 | | | 304,121 |
Great Lakes Dredge & Dock Corp., 5.25%, 06/01/2029(a) | | | 300,000 | | | 270,558 |
Knife River Corp., 7.75%, 05/01/2031(a) | | | 500,000 | | | 525,214 |
MIWD Holdco LLC / MIWD Finance Corp., 5.50%, 02/01/2030(a) | | | 100,000 | | | 93,753 |
Moog, Inc., 4.25%, 12/15/2027(a) | | | 250,000 | | | 239,536 |
Mueller Water Products, Inc., 4.00%, 06/15/2029(a) | | | 300,000 | | | 280,230 |
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031(a) | | | 725,000 | | | 716,093 |
Reworld Holding Corp., 5.00%, 09/01/2030 | | | 500,000 | | | 453,704 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029(a) | | | 200,000 | | | 186,963 |
Sealed Air Corp., 6.50%, 07/15/2032(a) | | | 250,000 | | | 253,609 |
Sealed Air Corp./Sealed Air Corp. US, 7.25%, 02/15/2031(a) | | | 100,000 | | | 104,238 |
Seaspan Corp., 5.50%, 08/01/2029(a) | | | 500,000 | | | 451,013 |
Sensata Technologies BV, 5.88%, 09/01/2030(a) | | | 250,000 | | | 246,772 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Industrial — (Continued)
|
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028(a) | | | $250,000 | | | $247,886 |
Standard Industries, Inc., 6.50%, 08/15/2032(a)(c) | | | 500,000 | | | 501,535 |
Summit Materials LLC / Summit Materials Finance Corp.,
7.25%, 01/15/2031(a) | | | 100,000 | | | 104,339 |
Trinity Industries, Inc., 7.75%, 07/15/2028(a) | | | 100,000 | | | 104,360 |
Vertiv Group Corp., 4.13%, 11/15/2028(a) | | | 500,000 | | | 473,946 |
XPO, Inc., 7.13%, 06/01/2031(a) | | | 500,000 | | | 516,230 |
| | | 9,291,228 |
Technology — 0.6%
|
Zebra Technologies Corp., 6.50%, 06/01/2032(a) | | | 500,000 | | | 514,046 |
Utilities — 1.0%
|
Atlantica Sustainable Infrastructure PLC, 4.13%, 06/15/2028(a) | | | 250,000 | | | 247,581 |
Pike Corp., 8.63%, 01/31/2031(a) | | | 225,000 | | | 242,260 |
Vistra Operations Co. LLC
|
7.75%, 10/15/2031(a) | | | 100,000 | | | 105,564 |
6.88%, 04/15/2032(a) | | | 250,000 | | | 257,544 |
| | | 852,949 |
TOTAL CORPORATE OBLIGATIONS
(Cost $61,135,251) | | | | | | 58,658,309 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 19.1%
| | | | | | |
A&D Mortgage LLC, Series 2024-NQM1, Class B1,
8.57%, 02/25/2069(a)(d) | | | 1,000,000 | | | 1,025,999 |
BRAVO Residential Funding Trust, Series 2024-NQM2, Class B1,
7.91%, 02/25/2064(a) | | | 1,000,000 | | | 1,019,595 |
COLT Funding LLC
|
Series 2022-7, Class B1, 6.29%, 04/25/2067(a)(d) | | | 1,000,000 | | | 965,633 |
Series 2023-4, Class B1, 8.30%, 10/25/2068(a)(d) | | | 1,000,000 | | | 1,018,362 |
Series 2024-1, Class B1, 7.83%, 02/25/2069(a)(d) | | | 1,000,000 | | | 1,017,224 |
GCAT Trust, Series 2023-NQM2, Class B1, 6.98%, 11/25/2067(a)(d) | | | 850,000 | | | 841,166 |
GS Mortgage-Backed Securities Trust, Series 2019-PJ1, Class B6,
4.04%, 08/25/2049(a)(d) | | | 511,534 | | | 316,084 |
Home RE Ltd., Series 2021-2, Class B1, 9.50% (30 day avg SOFR US + 4.15%), 01/25/2034(a) | | | 800,000 | | | 808,149 |
JP Morgan Mortgage Trust
|
Series 2020-2, Class B4, 3.82%, 07/25/2050(a)(d) | | | 698,265 | | | 615,135 |
Series 2020-3, Class B4, 3.84%, 08/25/2050(a)(d) | | | 694,429 | | | 609,388 |
Oaktown Re, Series 2021-2, Class B1, 9.75% (30 day avg SOFR US + 4.40%), 04/25/2034(a) | | | 1,000,000 | | | 1,026,840 |
Progress Residential Trust
|
Series 2021-SFR1, Class F, 2.76%, 04/17/2038(a) | | | 765,000 | | | 711,869 |
Series 2021-SFR9, Class F, 4.05%, 11/17/2040(a) | | | 500,000 | | | 451,846 |
PRPM LLC
|
Series 2024-2, Class A2, 10.04%, 03/25/2029(a)(e) | | | 500,000 | | | 507,987 |
Series 2024-RCF1, Class M2, 4.00%, 01/25/2054(a)(e) | | | 1,000,000 | | | 829,059 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Radnor RE Ltd.
|
Series 2021-1, Class M2, 8.50% (30 day avg SOFR US + 3.15%), 12/27/2033(a) | | | $750,000 | | | $752,731 |
Series 2021-2, Class B1, 11.35% (30 day avg SOFR US + 6.00%), 11/25/2031(a) | | | 750,000 | | | 802,768 |
Rithm Capital Corp., Series 2015-1A, Class B6, 5.22%, 05/28/2052(a)(d) | | | 1,315,000 | | | 919,199 |
Starwood Mortgage Residential Trust, Series 2021-1, Class B1,
3.52%, 05/25/2065(a)(d) | | | 1,000,000 | | | 835,128 |
Verus Securitization Trust
|
Series 2023-3, Class B1, 7.87%, 03/25/2068(a)(d) | | | 450,000 | | | 455,375 |
Series 2024-2, Class B1, 7.86%, 02/25/2069(a)(d) | | | 1,000,000 | | | 1,017,329 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $15,909,373) | | | | | | 16,546,866 |
ASSET-BACKED SECURITIES — 5.1%
| | | | | | |
Automobile — 2.2%
|
BOF URSA Funding Trust, Series 2024-CAR1, Class E,
8.95% (30 day avg SOFR US + 3.60%), 12/26/2031(a) | | | 173,499 | | | 173,931 |
CPS Auto Trust, Series 2024-B, Class E, 8.36%, 11/17/2031(a) | | | 200,000 | | | 206,942 |
Exeter Automobile Receivables Trust, Series 2023-2A, Class E,
9.75%, 11/15/2030(a) | | | 200,000 | | | 215,318 |
GLS Auto Receivables Trust, Series 2024-1A, Class E,
7.94%, 10/15/2030(a) | | | 100,000 | | | 101,027 |
Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class D, 10.59% (30 day avg SOFR US + 5.25%), 05/20/2032(a) | | | 232,501 | | | 234,289 |
SBNA Auto Receivables Trust, Series 2024-A, Class E,
8.00%, 04/15/2032(a) | | | 200,000 | | | 201,684 |
Strike Acceptance Auto Funding Trust, Series 2023-1A, Class A,
8.00%, 05/15/2026(a) | | | 177,285 | | | 174,923 |
Tricolor Auto Securitization Trust
|
Series 2023-1A, Class E, 13.45%, 06/15/2028(a) | | | 100,000 | | | 104,955 |
Series 2023-1A, Class F, 16.00%, 06/17/2030(a) | | | 200,000 | | | 210,480 |
Veros Automobile Receivables Trust, Series 2024-1, Class D,
9.87%, 05/15/2031(a) | | | 250,000 | | | 254,322 |
| | | 1,877,871 |
Consumer — 2.5%
|
Affirm, Inc.
|
Series 2023-B, Class E, 11.32%, 09/15/2028(a) | | | 200,000 | | | 202,194 |
Series 2024-A, Class E, 9.17%, 02/15/2029(a) | | | 100,000 | | | 100,610 |
Foundation Finance Trust, Series 2023-1A, Class D,
9.18%, 12/15/2043(a) | | | 188,627 | | | 190,458 |
Pagaya AI Debt Selection Trust
|
Series 2024-1, Class D, 9.00%, 07/15/2031(a) | | | 199,950 | | | 196,130 |
Series 2024-2, Class D, 9.00%, 08/15/2031(a) | | | 149,933 | | | 148,277 |
Series 2024-3, Class D, 9.00%, 10/15/2031(a) | | | 200,000 | | | 202,450 |
Series 2024-5, Class D, 12.97%, 10/15/2031(a) | | | 200,000 | | | 207,797 |
Series 2024-7, Class D, 10.90%, 12/15/2031(a) | | | 200,000 | | | 201,311 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
|
Prosper Marketplace Issuance Trust, Series 2023-1A, Class D,
11.24%, 07/16/2029(a) | | | $ 200,000 | | | $ 202,986 |
Purchasing Power Funding, Series 2024-A, Class E,
10.18%, 08/15/2028(a) | | | 200,000 | | | 204,224 |
Upstart Securitization Trust
|
Series 2021-3, Class C, 3.28%, 07/20/2031(a) | | | 176,630 | | | 170,915 |
Series 2023-1, Class C, 11.10%, 02/20/2033(a) | | | 100,000 | | | 102,517 |
| | | 2,129,869 |
Equipment — 0.4%
|
Octane Receivables Trust
|
Series 2024-1A, Class E, 7.82%, 08/20/2031(a) | | | 200,000 | | | 194,951 |
Series 2024-2A, Class E, 9.04%, 07/20/2032(a) | | | 200,000 | | | 203,572 |
| | | 398,523 |
TOTAL ASSET-BACKED SECURITIES
(Cost $4,327,051) | | | | | | 4,406,263 |
| | | | | | | |
| | | | | | | |
EXCHANGE TRADED FUNDS — 2.9%
| | | | | | |
iShares Broad USD High Yield Corporate Bond ETF | | | 68,130 | | | 2,513,997 |
TOTAL EXCHANGE TRADED FUNDS
(Cost $2,501,454) | | | | | | 2,513,997 |
| | | | | | | |
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — 0.9%
| | | | | | |
Federal Home Loan Mortgage Corp., Series 2021-HQA1, Class B2,
10.35% (30 day avg SOFR US + 5.00%), 08/25/2033(a) | | | $750,000 | | | 821,250 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost $650,632) | | | | | | 821,250 |
SHORT-TERM INVESTMENTS — 4.0%
| | | | | | |
Money Market Funds — 4.0%
| | | | | | |
First American Government Obligations Fund - Class U, 5.25%(f) | | | 3,446,692 | | | 3,446,692 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $3,446,692) | | | | | | 3,446,692 |
TOTAL INVESTMENTS — 99.8%
(Cost $87,970,453) | | | | | | $86,393,377 |
Other Assets in Excess of Liabilities — 0.2% | | | | | | 146,263 |
TOTAL NET ASSETS — 100.0% | | | | | | $ 86,539,640 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
Percentages are stated as a percent of net assets.
PIK - Payment in Kind
PLC - Public Limited Company
SOFR - Secured Overnight Financing Rate
(a)
| Security is 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. As of July 31, 2024, the value of these securities total $72,899,686 or 84.2% of the Fund’s net assets.
|
(b)
| Issuer is currently in default. |
(c)
| Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(d)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024.
|
(e)
| Step coupon bond. The rate disclosed is as of July 31, 2024.
|
(f)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 61.6%
|
BRAVO Residential Funding Trust
|
Series 2021-NQM2, Class A3, 1.44%, 03/25/2060(a)(b) | | | $450,797 | | | $424,688 |
Series 2024-NQM4, Class A1A, 4.35%, 01/25/2060(a)(c) | | | 990,743 | | | 952,714 |
Brean Asset Backed Securities Trust, Series 2024-RM8, Class A1,
4.50%, 05/25/2064(a) | | | 493,541 | | | 458,107 |
Colony American Finance Ltd., Series 2020-4, Class D,
2.71%, 12/15/2052(a) | | | 300,000 | | | 242,603 |
COLT Funding LLC
|
Series 2021-1, Class M1, 2.29%, 06/25/2066(a)(b) | | | 1,179,000 | | | 849,926 |
Series 2021-3, Class M1, 2.30%, 09/27/2066(a)(b) | | | 135,000 | | | 87,993 |
Series 2022-2, Class B1, 4.02%, 02/25/2067(a)(b) | | | 500,000 | | | 397,456 |
Series 2022-3, Class B1, 4.23%, 02/25/2067(a)(b) | | | 2,000,000 | | | 1,691,450 |
Series 2024-1, Class A1, 5.84%, 02/25/2069(a)(c) | | | 267,519 | | | 268,739 |
Series 2024-INV1, Class A3, 6.48%, 12/25/2068(a)(c) | | | 939,327 | | | 956,898 |
Credit Suisse Mortgage Capital Certificates
|
Series 2021-AFC1, Class M1, 2.19%, 03/25/2056(a)(b) | | | 1,000,000 | | | 635,366 |
Series 2021-NQM2, Class M1, 2.28%, 02/25/2066(a)(b) | | | 50,000 | | | 35,154 |
Deephaven Residential Mortgage Trust
|
Series 2021-2, Class M1, 2.22%, 04/25/2066(a)(b) | | | 100,000 | | | 75,219 |
Series 2021-3, Class M1, 2.42%, 08/25/2066(a)(b) | | | 2,000,000 | | | 1,500,328 |
Ellington Financial Mortgage Trust
|
Series 2021-2, Class M1, 2.30%, 06/25/2066(a)(b) | | | 139,000 | | | 92,386 |
Series 2024-INV1, Class A1A, 6.56%, 03/25/2069(a)(c) | | | 479,102 | | | 495,199 |
FIGRE Trust
|
Series 2024-HE1, Class A, 6.17%, 03/25/2054(a)(b) | | | 462,774 | | | 469,682 |
Series 2024-HE1, Class D, 7.19%, 03/25/2054(a)(b) | | | 231,387 | | | 236,012 |
GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/2066(a)(b) | | | 251,923 | | | 229,502 |
GS Mortgage-Backed Securities Trust
|
Series 2021-MM1, Class A2, 2.50%, 04/25/2052(a)(b) | | | 861,045 | | | 706,736 |
Series 2024-HE1, Class A1, 6.95% (30 day avg SOFR US + 1.60%), 08/25/2054(a) | | | 952,046 | | | 961,285 |
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3,
1.62%, 06/25/2056(a)(b) | | | 226,684 | | | 195,838 |
JP Morgan Mortgage Trust
|
Series 2019-6, Class B3, 4.27%, 12/25/2049(a)(b) | | | 89,927 | | | 83,275 |
Series 2020-2, Class B4, 3.82%, 07/25/2050(a)(b) | | | 344,598 | | | 303,573 |
Series 2020-3, Class B4, 3.84%, 08/25/2050(a)(b) | | | 342,705 | | | 300,737 |
Series 2021-1, Class A3, 2.50%, 06/25/2051(a)(b) | | | 1,487,291 | | | 1,220,476 |
Series 2021-12, Class A8, 2.50%, 02/25/2052(a)(b) | | | 1,500,000 | | | 1,167,364 |
Series 2021-4, Class A3, 2.50%, 08/25/2051(a)(b) | | | 1,093,182 | | | 903,304 |
Series 2021-6, Class A4, 2.50%, 10/25/2051(a)(b) | | | 1,016,707 | | | 889,569 |
Series 2024-5, Class B4, 6.97%, 11/25/2054(a)(b) | | | 399,610 | | | 385,742 |
JP Morgan Wealth Management, Series 2020-ATR1, Class A5,
3.00%, 02/25/2050(a)(b) | | | 2,000,000 | | | 1,722,852 |
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A15,
3.00%, 04/25/2052(a)(b) | | | 2,162,588 | | | 1,831,619 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
MFRA Trust
|
Series 2021-RPL1, Class A2, 2.07%, 07/25/2060(a)(b) | | | $500,000 | | | $415,240 |
Series 2021-RPL1, Class M2, 2.85%, 07/25/2060(a)(b) | | | 500,000 | | | 401,194 |
Mill City Mortgage Trust, Series 2017-2, Class M3,
3.25%, 07/25/2059(a)(b) | | | 160,000 | | | 147,069 |
Morgan Stanley Residential Mortgage Loan Trust
|
Series 2023-3, Class B4, 6.58%, 09/25/2053(a)(b) | | | 250,000 | | | 225,505 |
Series 2024-NQM1, Class A2, 6.41%, 12/25/2068(a)(c) | | | 859,474 | | | 870,579 |
New Residential Mortgage Loan Trust, Series 2019-2A, Class B6,
4.79%, 12/25/2057(a)(b) | | | 289,877 | | | 210,738 |
Onslow Bay Mortgage Loan Trust
|
Series 2021-J2, Class A1, 2.50%, 07/25/2051(a)(b) | | | 803,776 | | | 654,761 |
Series 2021-NQM1, Class A1, 1.07%, 02/25/2066(a)(b) | | | 726,107 | | | 633,923 |
Series 2021-NQM2, Class A3, 1.56%, 05/25/2061(a)(b) | | | 641,341 | | | 524,580 |
Series 2022-INV1, Class A18, 3.00%, 12/25/2051(a)(b) | | | 176,348 | | | 148,870 |
Pretium Mortgage Credit Partners LLC, Series 2024-RN2, Class A1,
7.12%, 04/25/2054(a)(c) | | | 997,606 | | | 1,014,067 |
PRPM LLC
|
Series 2021-RPL1, Class M1, 2.68%, 07/25/2051(a)(b) | | | 1,000,000 | | | 821,489 |
Series 2023-NQM3, Class M1, 7.25%, 11/25/2068(a)(b) | | | 250,000 | | | 258,970 |
Series 2024-1, Class A1, 6.96%, 02/25/2029(a)(c) | | | 235,727 | | | 238,636 |
Series 2024-2, Class A1, 7.03%, 03/25/2029(a)(c) | | | 761,017 | | | 773,181 |
Series 2024-3, Class A1, 6.99%, 05/25/2029(a)(c) | | | 961,870 | | | 978,209 |
Series 2024-NQM1, Class A3, 6.67%, 12/25/2068(a)(c) | | | 479,148 | | | 486,503 |
Series 2024-RCF4, Class M1, 4.00%, 07/25/2054(a)(c) | | | 500,000 | | | 453,189 |
Rate Mortgage Trust, Series 2021-J3, Class A25, 2.50%, 10/25/2051(a)(b) | | | 500,000 | | | 322,105 |
RCKT Mortgage Trust, Series 2022-4, Class A2, 3.50%, 06/25/2052(a)(b) | | | 782,612 | | | 695,219 |
Rithm Capital Corp., Series 2015-1A, Class B6, 5.22%, 05/28/2052(a)(b) | | | 701,333 | | | 490,240 |
Saluda Grade Mortgage Funding LLC
|
Series 2022-SEQ2, Class A3, 4.50%, 02/25/2052(a)(b) | | | 750,000 | | | 718,521 |
Series 2023-FIG4, Class A, 6.72%, 11/25/2053(a)(b) | | | 895,081 | | | 922,115 |
Sequoia Mortgage Trust
|
Series 2024-1, Class A13, 6.00%, 01/25/2054(a)(b) | | | 300,000 | | | 300,177 |
Series 2024-2, Class A13, 6.00%, 12/25/2053(a)(b) | | | 500,000 | | | 503,148 |
SGR Residential Mortgage Trust
|
Series 2021-1, Class A3, 1.56%, 07/25/2061(a)(b) | | | 2,361,971 | | | 2,027,750 |
Series 2021-1, Class M1, 2.50%, 07/25/2061(a)(b) | | | 744,000 | | | 488,076 |
Starwood Mortgage Residential Trust, Series 2022-3, Class A1,
4.16%, 03/25/2067(a)(b) | | | 205,262 | | | 200,108 |
Towd Point Mortgage Trust, Series 2020-4, Class M1,
2.88%, 10/25/2060(a) | | | 565,000 | | | 444,482 |
Verus Securitization Trust
|
Series 2021-5, Class A3, 1.37%, 09/25/2066(a)(b) | | | 2,076,352 | | | 1,762,707 |
Series 2021-5, Class M1, 2.33%, 09/25/2066(a)(b) | | | 250,000 | | | 175,424 |
Series 2022-3, Class A3, 4.13%, 02/25/2067(a)(b) | | | 227,343 | | | 209,838 |
Series 2022-7, Class B1, 5.37%, 07/25/2067(a)(b) | | | 1,600,000 | | | 1,532,493 |
Series 2023-7, Class B1, 7.92%, 10/25/2068(a)(b) | | | 1,500,000 | | | 1,524,342 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Wells Fargo Mortgage Backed Securities Trust, Series 2021-2, Class A3, 2.50%, 06/25/2051(a)(b) | | | $323,011 | | | $277,740 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $42,564,024) | | | | | | 42,622,980 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 32.3%
| | | | |
Federal Home Loan Mortgage Corp.
|
Pool QE8504, 5.00%, 08/01/2052 | | | 877,736 | | | 865,455 |
Pool QI2043, 6.00%, 03/01/2054 | | | 498,323 | | | 506,261 |
Pool RC1914, 2.00%, 06/01/2036 | | | 332,534 | | | 297,824 |
Pool SD0803, 3.00%, 01/01/2052 | | | 829,831 | | | 723,666 |
Pool SD5781, 6.00%, 07/01/2054 | | | 450,000 | | | 457,169 |
Pool SD5809, 6.00%, 07/01/2054 | | | 1,000,000 | | | 1,014,369 |
Pool SD8243, 3.50%, 09/01/2052 | | | 319,135 | | | 289,214 |
Pool SD8401, 5.50%, 02/01/2054 | | | 2,917,504 | | | 2,920,678 |
Pool SD8409, 6.00%, 03/01/2054 | | | 2,374,670 | | | 2,408,048 |
Federal National Mortgage Association
|
4.00%, 08/15/2040 | | | 5,000,000 | | | 4,676,563 |
Pool CB8710, 6.00%, 06/01/2054 | | | 995,533 | | | 1,013,882 |
Pool DB4019, 6.00%, 05/01/2054 | | | 698,524 | | | 711,835 |
Pool MA5072, 5.50%, 07/01/2053 | | | 2,759,749 | | | 2,762,752 |
Pool MA5354, 6.00%, 05/01/2054 | | | 2,428,392 | | | 2,462,525 |
Government National Mortgage Association, Pool MA9305,
5.50%, 11/20/2053 | | | 1,263,563 | | | 1,266,518 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $22,294,505) | | | | | | 22,376,759 |
COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 6.9%
| | | | | | |
Federal Home Loan Mortgage Corp.
|
Series 2019-KF58, Class B, 7.60% (30 day avg SOFR US + 2.26%), 01/25/2026(a) | | | 253,287 | | | 249,274 |
Series K-158, Class A2, 4.05%, 07/25/2033 | | | 1,545,000 | | | 1,495,588 |
Series K-161, Class A2, 4.90%, 10/25/2033 | | | 1,000,000 | | | 1,029,422 |
Series KF130, Class AS, 0.00% (30 day avg SOFR US + 0.29%), 01/25/2029 | | | 650,832 | | | 647,273 |
Series K-G05, Class A2, 2.00%, 01/25/2031 | | | 250,000 | | | 216,870 |
Series KSG3, Class A2, 2.65%, 05/25/2032(b) | | | 200,000 | | | 176,845 |
Series K-SG4, Class A2, 3.40%, 08/25/2032(b) | | | 1,000,000 | | | 929,676 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $4,751,226) | | | | | | 4,744,948 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — 1.8%
| | | | | | |
Automobile — 0.5%
|
Carvana Auto Receivables Trust, Series 2020-N1A, Class E,
5.20%, 07/15/2027(a) | | | $119,227 | | | $117,403 |
Tricolor Auto Securitization Trust, Series 2022-1A, Class F,
9.80%, 07/16/2029(a) | | | 200,000 | | | 199,904 |
| | | 317,307 |
Consumer — 1.3%
|
Foundation Finance Trust, Series 2021-2A, Class D,
5.73%, 01/15/2042(a) | | | 500,000 | | | 476,952 |
Goldman Home Improvement Trust, Series 2021-GRN2, Class D,
4.00%, 06/25/2051(a) | | | 457,072 | | | 419,910 |
| | | 896,862 |
TOTAL ASSET-BACKED SECURITIES
(Cost $1,266,670) | | | | | | 1,214,169 |
CORPORATE OBLIGATIONS — 0.6%
| | | | | | |
Financial — 0.6%
|
Dime Community Bancshares, Inc., 5.00% to 05/15/2027 then 3 mo. Term SOFR + 2.18%, 05/15/2032 | | | 500,000 | | | 443,847 |
TOTAL CORPORATE OBLIGATIONS
(Cost $500,006) | | | | | | 443,847 |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.3%
| | | | | | |
BBCMS Trust, Series 2022-C17, Class A5, 4.44%, 09/15/2055 | | | 200,000 | | | 188,977 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $192,656) | | | | | | 188,977 |
SHORT-TERM INVESTMENTS — 1.9%
| | | | | | |
Money Market Funds — 1.9%
| | | | | | |
First American Government Obligations Fund - Class U, 5.25%(d) | | | 1,324,654 | | | 1,324,654 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,324,654) | | | | | | 1,324,654 |
TOTAL INVESTMENTS — 105.4%
(Cost $72,893,741) | | | | | | $72,916,334 |
Liabilities in Excess of Other Assets — (5.4%) | | | | | | (3,744,542) |
TOTAL NET ASSETS — 100.0% | | | | | | $69,171,792 |
| | | | | | | |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a)
| Security is 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. As of July 31, 2024, the value of these securities total $44,086,423 or 63.7% of the Fund’s net assets.
|
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024.
|
(c)
| Step coupon bond. The rate disclosed is as of July 31, 2024.
|
(d)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF
Schedule of Open Futures Contracts
July 31, 2024 (Unaudited)
| | | | | | | | | | | | | |
U.S. Treasury 10 Year Notes | | | 40 | | | 09/19/2024 | | | $4,472,500 | | | $115,171 |
U.S. Treasury 5 Year Note | | | 129 | | | 09/30/2024 | | | 13,917,891 | | | 128,950 |
U.S. Treasury Long Bonds | | | 13 | | | 09/19/2024 | | | 1,570,156 | | | 43,833 |
Total Unrealized Appreciation (Depreciation) | | | $ 287,954 |
| | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
ASSET-BACKED SECURITIES — 41.9%
| | | | | | |
Automobile — 16.6%
| | | | | | |
ACC Trust, Series 2022-1, Class B, 2.55%, 02/20/2025(a) | | | $ 51,272 | | | $ 50,825 |
ACM Auto Trust, Series 2023-2A, Class A, 7.97%, 06/20/2030(a) | | | 1,789,080 | | | 1,801,546 |
American Credit Acceptance Receivables Trust
| | | | | | |
Series 2022-4, Class D, 8.00%, 02/15/2029(a) | | | 6,700,000 | | | 6,871,567 |
Series 2024-2, Class B, 6.10%, 12/13/2027(a) | | | 1,500,000 | | | 1,523,207 |
Arivo Acceptance Auto Loan Receivables Trust
| | | | | | |
Series 2021-1A, Class C, 3.77%, 03/15/2027(a) | | | 150,000 | | | 146,629 |
Series 2022-1A, Class A, 3.93%, 05/15/2028(a) | | | 69,807 | | | 69,067 |
Series 2022-2A, Class A, 6.90%, 01/16/2029(a) | | | 203,468 | | | 205,005 |
Series 2024-1A, Class A, 6.46%, 04/17/2028(a) | | | 626,372 | | | 631,250 |
Avid Automobile Receivables Trust, Series 2023-1, Class B, 7.12%, 03/15/2027(a) | | | 400,000 | | | 400,894 |
Avis Budget Car Rental LLC
| | | | | | |
Series 2019-2A, Class C, 4.24%, 09/22/2025(a) | | | 400,000 | | | 400,154 |
Series 2019-3A, Class D, 5.43%, 03/20/2026(a) | | | 500,000 | | | 498,547 |
Series 2020-1A, Class A, 2.33%, 08/20/2026(a) | | | 1,965,000 | | | 1,918,217 |
Series 2020-1A, Class B, 2.68%, 08/20/2026(a) | | | 1,045,000 | | | 1,020,151 |
Series 2020-2A, Class C, 4.25%, 02/20/2027(a) | | | 1,500,000 | | | 1,465,618 |
Series 2022-5A, Class B, 7.09%, 04/20/2027(a) | | | 1,370,000 | | | 1,399,754 |
Carvana Auto Receivables Trust
| | | | | | |
Series 2020-N1A, Class E, 5.20%, 07/15/2027(a) | | | 1,907,627 | | | 1,878,448 |
Series 2021-N2, Class B, 0.75%, 03/10/2028 | | | 626,902 | | | 592,201 |
Series 2021-N2, Class C, 1.07%, 03/10/2028 | | | 152,694 | | | 144,860 |
Series 2021-N3, Class C, 1.02%, 06/12/2028 | | | 22,698 | | | 21,422 |
Series 2023-P3, Class A2, 6.09%, 11/10/2026(a) | | | 717,539 | | | 719,061 |
Series 2024-P2, Class N, 7.03%, 06/10/2031(a) | | | 407,410 | | | 408,402 |
CPS Auto Trust
| | | | | | |
Series 2022-C, Class C, 5.28%, 04/15/2030(a) | | | 2,912,000 | | | 2,902,288 |
Series 2022-D, Class D, 8.73%, 01/16/2029(a) | | | 3,100,000 | | | 3,272,912 |
Series 2024-B, Class B, 6.04%, 10/16/2028(a) | | | 2,000,000 | | | 2,033,446 |
DT Auto Owner Trust
| | | | | | |
Series 2022-1A, Class C, 2.96%, 11/15/2027(a) | | | 961,828 | | | 955,494 |
Series 2022-2A, Class D, 5.46%, 03/15/2028(a) | | | 3,000,000 | | | 2,986,671 |
Series 2022-3A, Class C, 7.69%, 07/17/2028(a) | | | 900,000 | | | 916,344 |
Exeter Automobile Receivables Trust
| | | | | | |
Series 2020-3A, Class F, 5.56%, 06/15/2027(a) | | | 4,500,000 | | | 4,479,183 |
Series 2022-3A, Class D, 6.76%, 09/15/2028 | | | 4,000,000 | | | 4,066,868 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | | | 2,390,000 | | | 2,381,351 |
Series 2022-5A, Class D, 7.40%, 02/15/2029 | | | 4,550,000 | | | 4,691,159 |
Flagship Credit Auto Trust, Series 2019-4, Class D, 3.12%, 01/15/2026(a) | | | 466,278 | | | 464,272 |
GLS Auto Receivables Trust
| | | | | | |
Series 2021-1A, Class E, 3.14%, 01/18/2028(a) | | | 600,000 | | | 581,092 |
Series 2022-2A, Class D, 6.15%, 04/17/2028(a) | | | 2,000,000 | | | 2,007,784 |
Series 2022-3A, Class D, 6.42%, 06/15/2028(a) | | | 2,400,000 | | | 2,432,429 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
| | | | | | |
Automobile — (Continued)
| | | | | | |
Hertz Global Holdings, Inc.
| | | | | | |
Series 2021-1A, Class B, 1.56%, 12/26/2025(a) | | | $ 858,333 | | | $ 849,383 |
Series 2021-1A, Class C, 2.05%, 12/26/2025(a) | | | 416,667 | | | 412,277 |
Series 2021-1A, Class D, 3.98%, 12/26/2025(a) | | | 1,250,000 | | | 1,240,736 |
Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class B1, 6.15%, 05/20/2032(a) | | | 465,002 | | | 469,307 |
Lendbuzz Securitization Trust, Series 2023-1A, Class A2, 6.92%, 08/15/2028(a) | | | 311,674 | | | 312,917 |
Lobel Automobile Receivables Trust
| | | | | | |
Series 2023-1, Class A, 6.97%, 07/15/2026(a) | | | 64,146 | | | 64,262 |
Series 2023-2, Class A, 7.59%, 04/16/2029(a) | | | 2,345,380 | | | 2,360,081 |
Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A, 7.29%, 07/15/2030(a) | | | 566,751 | | | 567,932 |
Prestige Auto Receivables Trust, Series 2024-1A, Class B, 5.71%, 05/15/2028(a) | | | 1,000,000 | | | 1,010,495 |
Research-Driven Pagaya Motor Asset Trust
| | | | | | |
Series 2023-3A, Class A, 7.13%, 01/26/2032(a) | | | 238,933 | | | 240,893 |
Series 2023-4A, Class A, 7.54%, 03/25/2032(a) | | | 263,913 | | | 268,187 |
SAFCO Auto Receivables Trust, Series 2024-1A, Class A, 6.51%, 03/20/2028(a) | | | 127,027 | | | 127,502 |
Santander Consumer USA, Inc., Series 2022-6, Class B, 4.72%, 06/15/2027 | | | 2,000,000 | | | 1,992,380 |
Skopos Auto Receivable Trust, Series 2019-1A, Class E, 7.82%, 06/15/2026(a) | | | 897,615 | | | 900,469 |
Tricolor Auto Securitization Trust
| | | | | | |
Series 2023-1A, Class A, 6.48%, 08/17/2026(a) | | | 108,665 | | | 108,821 |
Series 2024-2A, Class A, 6.36%, 12/15/2027(a) | | | 2,296,597 | | | 2,306,470 |
US Auto Funding Trust
| | | | | | |
Series 2022-1A, Class A, 3.98%, 04/15/2025(a) | | | 66,252 | | | 65,484 |
Series 2022-1A, Class B, 5.13%, 12/15/2025(a) | | | 50,000 | | | 28,335 |
Veros Automobile Receivables Trust
| | | | | | |
Series 2021-1, Class C, 3.64%, 08/15/2028(a) | | | 500,000 | | | 499,596 |
Series 2023-1, Class A, 7.12%, 11/15/2028(a) | | | 276,503 | | | 277,905 |
Series 2024-1, Class A, 6.28%, 11/15/2027(a) | | | 1,319,754 | | | 1,328,016 |
Westlake Automobile Receivables Trust
| | | | | | |
Series 2022-2A, Class D, 5.48%, 09/15/2027(a) | | | 2,100,000 | | | 2,101,084 |
Series 2023-2A, Class A3, 5.80%, 02/16/2027(a) | | | 4,500,000 | | | 4,514,332 |
Series 2024-1A, Class A2A, 5.62%, 03/15/2027(a) | | | 1,500,000 | | | 1,502,133 |
| | | | | | 79,887,115 |
Consumer — 23.6%
| | | | | | |
ACHV ABS TRUST
| | | | | | |
Series 2023-3PL, Class C, 7.35%, 08/19/2030(a) | | | 750,000 | | | 755,486 |
Series 2023-4CP, Class B, 7.24%, 11/25/2030(a) | | | 650,000 | | | 653,685 |
Series 2024-1PL, Class B, 6.34%, 04/25/2031(a) | | | 1,041,723 | | | 1,045,911 |
Series 2024-1PL, Class C, 6.42%, 04/25/2031(a) | | | 2,150,000 | | | 2,174,884 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
| | | | | | |
Consumer — (Continued)
| | | | | | |
Affirm, Inc.
| | | | | | |
Series 2023-B, Class 1B, 7.44%, 09/15/2028(a) | | | $ 500,000 | | | $ 508,997 |
Series 2023-X1, Class B, 7.77%, 11/15/2028(a) | | | 500,000 | | | 506,731 |
Series 2024-X1, Class C, 6.57%, 05/15/2029(a) | | | 1,500,000 | | | 1,517,151 |
AMCR ABS Trust, Series 2023-1A, Class A, 7.66%, 01/21/2031(a) | | | 1,747,567 | | | 1,757,263 |
FREED ABS TRUST
| | | | | | |
Series 2021-3FP, Class D, 2.37%, 11/20/2028(a) | | | 134,850 | | | 132,492 |
Series 2022-3FP, Class D, 7.36%, 08/20/2029(a) | | | 2,250,000 | | | 2,267,962 |
Series 2022-4FP, Class C, 8.59%, 12/18/2029(a) | | | 1,269,449 | | | 1,280,131 |
Series 2022-4FP, Class D, 7.40%, 12/18/2029(a) | | | 1,250,000 | | | 1,261,894 |
LendingPoint Pass-Through Trust, Series 2022-ST2, Class A, 3.25%, 04/15/2028(a) | | | 79,864 | | | 78,818 |
Marlette Funding Trust
| | | | | | |
Series 2021-3A, Class C, 1.81%, 12/15/2031(a) | | | 939,000 | | | 924,655 |
Series 2022-3A, Class B, 5.95%, 11/15/2032(a) | | | 2,247,569 | | | 2,251,929 |
Series 2022-3A, Class C, 6.89%, 11/15/2032(a) | | | 2,000,000 | | | 2,022,086 |
Series 2023-1A, Class B, 6.50%, 04/15/2033(a) | | | 4,709,000 | | | 4,734,174 |
Series 2023-1A, Class C, 7.20%, 04/15/2033(a) | | | 2,300,000 | | | 2,341,867 |
Series 2023-3A, Class B, 6.71%, 09/15/2033(a) | | | 1,500,000 | | | 1,512,959 |
Series 2023-3A, Class C, 7.06%, 09/15/2033(a) | | | 2,700,000 | | | 2,751,481 |
Momnt Technologies Trust, Series 2023-1A, Class A,
6.92%, 03/20/2045(a) | | | 1,139,334 | | | 1,143,025 |
NetCredit Funding LLC, Series 2024-A, Class A, 7.43%, 10/21/2030(a) | | | 454,166 | | | 456,516 |
Oportun Financial Corp.
| | | | | | |
Series 2021-A, Class A, 1.21%, 03/08/2028(a) | | | 132,159 | | | 128,599 |
Series 2022-A, Class B, 5.25%, 06/09/2031(a) | | | 3,750,000 | | | 3,691,691 |
Pagaya AI Debt Selection Trust
| | | | | | |
Series 2021-HG1, Class A, 1.22%, 01/16/2029(a) | | | 86,726 | | | 85,306 |
Series 2022-1, Class B, 3.34%, 10/15/2029(a) | | | 4,549,398 | | | 4,497,171 |
Series 2022-2, Class B, 6.63%, 01/15/2030(a) | | | 3,399,798 | | | 3,414,033 |
Series 2022-5, Class A, 8.10%, 06/17/2030(a) | | | 608,789 | | | 617,280 |
Series 2023-1, Class B, 9.44%, 07/15/2030(a) | | | 249,965 | | | 255,024 |
Series 2023-5, Class A, 7.18%, 04/15/2031(a) | | | 307,620 | | | 308,932 |
Series 2023-5, Class B, 7.63%, 04/15/2031(a) | | | 2,049,983 | | | 2,068,137 |
Series 2023-5, Class C, 9.10%, 04/15/2031(a) | | | 1,749,985 | | | 1,796,103 |
Series 2023-7, Class B, 7.55%, 07/15/2031(a) | | | 599,777 | | | 604,790 |
Series 2023-7, Class C, 8.80%, 07/15/2031(a) | | | 1,249,534 | | | 1,282,356 |
Series 2023-8, Class B, 7.96%, 06/16/2031(a) | | | 4,489,244 | | | 4,580,888 |
Series 2024-1, Class B, 7.11%, 07/15/2031(a) | | | 5,348,663 | | | 5,413,285 |
Series 2024-1, Class C, 8.34%, 07/15/2031(a) | | | 1,999,500 | | | 2,039,860 |
Series 2024-2, Class A, 6.32%, 08/15/2031(a) | | | 3,539,816 | | | 3,559,264 |
Series 2024-2, Class B, 6.61%, 08/15/2031(a) | | | 4,847,844 | | | 4,880,300 |
Series 2024-2, Class C, 7.57%, 08/15/2031(a) | | | 2,998,666 | | | 3,033,229 |
Series 2024-3, Class A, 6.26%, 10/15/2031(a) | | | 2,745,177 | | | 2,757,151 |
Series 2024-3, Class B, 6.57%, 10/15/2031(a) | | | 5,600,000 | | | 5,646,105 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
| | | | | | |
Consumer — (Continued)
| | | | | | |
Series 2024-5, Class B, 6.60%, 10/15/2031(a) | | | $2,000,000 | | | $2,013,666 |
Series 2024-6, Class B, 6.59%, 11/15/2031(a) | | | 2,250,000 | | | 2,268,353 |
Prosper Marketplace Issuance Trust
| | | | | | |
Series 2023-1A, Class B, 7.48%, 07/16/2029(a) | | | 4,600,000 | | | 4,660,642 |
Series 2023-1A, Class C, 8.29%, 07/16/2029(a) | | | 3,300,000 | | | 3,383,269 |
Purchasing Power Funding, Series 2024-A, Class B,
6.43%, 08/15/2028(a) | | | 600,000 | | | 604,839 |
Reach Financial LLC
| | | | | | |
Series 2022-2A, Class C, 8.40%, 05/15/2030(a) | | | 900,000 | | | 914,607 |
Series 2023-1A, Class B, 7.33%, 02/18/2031(a) | | | 1,000,000 | | | 1,015,146 |
Series 2023-1A, Class C, 8.45%, 02/18/2031(a) | | | 1,500,000 | | | 1,558,197 |
Series 2024-1A, Class B, 6.29%, 02/18/2031(a) | | | 2,100,000 | | | 2,110,483 |
Republic Finance Issuance Trust
| | | | | | |
Series 2020-A, Class A, 2.47%, 11/20/2030(a) | | | 37,182 | | | 37,101 |
Series 2020-A, Class B, 3.54%, 11/20/2030(a) | | | 550,000 | | | 544,862 |
Theorem Funding Trust
| | | | | | |
Series 2022-3A, Class A, 7.60%, 04/15/2029(a) | | | 106,259 | | | 107,340 |
Series 2022-3A, Class B, 8.95%, 04/15/2029(a) | | | 2,700,000 | | | 2,783,119 |
Upstart Pass-Through Trust
| | | | | | |
Series 2020-ST5, Class A, 3.00%, 12/20/2026(a) | | | 378,010 | | | 373,351 |
Series 2021-ST1, Class A, 2.75%, 02/20/2027(a) | | | 375,563 | | | 368,480 |
Series 2021-ST4, Class A, 2.00%, 07/20/2027(a) | | | 182,213 | | | 177,017 |
Series 2022-ST1, Class A, 2.60%, 03/20/2030(a) | | | 275,118 | | | 271,467 |
Series 2022-ST3, Class A, 4.30%, 05/20/2030(a) | | | 668,538 | | | 656,110 |
Upstart Securitization Trust
| | | | | | |
Series 2021-2, Class C, 3.61%, 06/20/2031(a) | | | 1,037,042 | | | 1,020,805 |
Series 2021-4, Class B, 1.84%, 09/20/2031(a) | | | 250,112 | | | 248,222 |
Series 2022-2, Class B, 6.10%, 05/20/2032(a) | | | 883,874 | | | 884,642 |
Series 2023-1, Class A, 6.59%, 02/20/2033(a) | | | 512,569 | | | 513,340 |
Series 2023-2, Class A, 6.77%, 06/20/2033(a) | | | 445,306 | | | 446,823 |
Upstart Structured Pass-Through Trust
| | | | | | |
Series 2022-1A, Class A, 3.40%, 04/15/2030(a) | | | 1,705,471 | | | 1,685,345 |
Series 2022-4A, Class B, 8.54%, 11/15/2030(a) | | | 2,200,000 | | | 2,244,376 |
| | | | | | 113,631,203 |
Credit Card — 1.0%
| | | | | | |
American Express Travel Related Services Co., Inc., Series 2021-1, Class A, 0.90%, 11/15/2026 | | | 2,000,000 | | | 1,975,824 |
Capital One Financial Corp., Series 2022-A1, Class A1,
2.80%, 03/15/2027 | | | 1,000,000 | | | 985,875 |
Mercury Financial Credit Card Master Trust
| | | | | | |
Series 2023-1A, Class A, 8.04%, 09/20/2027(a) | | | 450,000 | | | 453,121 |
Series 2024-2A, Class A, 6.56%, 07/20/2029(a) | | | 1,500,000 | | | 1,516,270 |
| | | | | | 4,931,090 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
| | | | | | |
Equipment — 0.7%
| | | | | | |
ClickLease Equipment Receivables Trust, Series 2024-1, Class A, 6.86%, 02/15/2030(a) | | | $1,091,941 | | | $1,095,036 |
Octane Receivables Trust, Series 2020-1A, Class D,
5.45%, 03/20/2028(a) | | | 700,000 | | | 701,131 |
Verizon Master Trust
| | | | | | |
Series 2023-4, Class A1B, 6.19% (30 day avg SOFR US + 0.85%), 06/20/2029 | | | 1,000,000 | | | 1,006,666 |
Series 2023-5, Class A1B, 6.02% (30 day avg SOFR US + 0.68%), 09/08/2028 | | | 300,000 | | | 301,557 |
| | | | | | 3,104,390 |
TOTAL ASSET-BACKED SECURITIES
(Cost $200,411,084) | | | | | | 201,553,798 |
COLLATERALIZED LOAN OBLIGATIONS — 13.6%
| | | | | | |
ABPCI Direct Lending Fund CLO LLC, Series 2017-1X, Class A1R, 7.14% (3 mo. Term SOFR + 1.86%), 04/20/2032 | | | 1,242,424 | | | 1,241,529 |
Apidos CLO Ltd., Series 2015-20A, Class A1RA, 6.65% (3 mo. Term SOFR + 1.36%), 07/16/2031(a) | | | 692,536 | | | 691,494 |
Atlas Senior Loan Fund Ltd., Series 2021-18A, Class X, 6.39% (3 mo. Term SOFR + 1.11%), 01/18/2035(a) | | | 400,000 | | | 399,992 |
Barings Middle Market CLO Ltd., Series 2019-IA, Class A1A, 7.31% (3 mo. Term SOFR + 2.01%), 10/15/2031(a) | | | 365,134 | | | 365,219 |
Black Diamond CLO Ltd., Series 2019-2A, Class A1AR, 6.60% (3 mo. Term SOFR + 1.32%), 07/23/2032(a) | | | 2,500,000 | | | 2,500,330 |
Clover Credit Partners CLO Ltd., Series 2017-1A, Class B, 7.41% (3 mo. Term SOFR + 2.11%), 10/15/2029(a) | | | 2,726,326 | | | 2,730,190 |
Dryden Senior Loan Fund, Series 2019-72A, Class AR, 6.66% (3 mo. Term SOFR + 1.34%), 05/15/2032(a) | | | 6,730,000 | | | 6,740,203 |
Gallatin CLO Ltd., Series 2017-1A, Class A1R, 6.65% (3 mo. Term SOFR + 1.35%), 07/15/2031(a) | | | 4,239,372 | | | 4,245,863 |
Golub Capital Partners CLO Ltd.
| | | | | | |
Series 2013-17A, Class A1R, 7.20% (3 mo. Term SOFR + 1.91%), 10/25/2030(a) | | | 360,304 | | | 361,659 |
Series 2014-21A, Class AR, 7.02% (3 mo. Term SOFR + 1.73%), 01/25/2031(a) | | | 448,812 | | | 448,109 |
Series 2018-36A, Class A, 6.80% (3 mo. Term SOFR + 1.56%), 02/05/2031(a) | | | 7,104,724 | | | 7,115,374 |
Madison Park Funding Ltd.
| | | | | | |
Series 2017-23A, Class AR, 6.50% (3 mo. Term SOFR + 1.23%), 07/27/2031(a) | | | 4,113,445 | | | 4,121,083 |
Series 2021-52A, Class X, 6.44% (3 mo. Term SOFR + 1.16%), 01/22/2035(a) | | | 710,526 | | | 710,521 |
Mountain View CLO Ltd., Series 2022-1A, Class X, 6.35% (3 mo. Term SOFR + 1.05%), 04/15/2034(a) | | | 2,625,000 | | | 2,624,898 |
Neuberger Berman CLO Ltd., Series 2017-26A, Class AR, 6.46% (3 mo. Term SOFR + 1.18%), 10/18/2030(a) | | | 1,703,316 | | | 1,705,839 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
| | | | | | |
Northwoods Capital Ltd., Series 2018-14BA, Class AR, 6.57% (3 mo. Term SOFR + 1.25%), 11/13/2031(a) | | | $ 5,000,000 | | | $ 4,999,840 |
OCP CLO Ltd., Series 2014-5A, Class A1R, 6.62% (3 mo. Term SOFR + 1.34%), 04/26/2031(a) | | | 2,974,331 | | | 2,980,176 |
Octagon Investment Partners, Ltd., Series 2018-1A, Class A1A, 6.60% (3 mo. Term SOFR + 1.32%), 01/20/2031(a) | | | 3,223,542 | | | 3,226,366 |
Octagon Loan Funding, Series 2014-1A, Class ARR, 6.77% (3 mo. Term SOFR + 1.44%), 11/18/2031(a) | | | 7,398,860 | | | 7,408,123 |
ROMARK CLO LLC, Series 2021-5A, Class X, 6.56% (3 mo. Term SOFR + 1.26%), 01/15/2035(a) | | | 1,052,632 | | | 1,052,609 |
THL Credit Lake Shore MM CLO Ltd., Series 2019-2A, Class A1RR, 6.69% (3 mo. Term SOFR + 1.40%), 10/17/2031(a) | | | 2,500,000 | | | 2,499,902 |
Venture CDO Ltd., Series 2015-22A, Class AR, 6.64% (3 mo. Term SOFR + 1.34%), 01/15/2031(a) | | | 6,324,411 | | | 6,334,776 |
Voya CLO Ltd.
| | | | | | |
Series 2014-2A, Class A1RR, 6.57% (3 mo. Term SOFR + 1.28%), 04/17/2030(a) | | | 206,661 | | | 206,441 |
Series 2022-3A, Class X, 6.88% (3 mo. Term SOFR + 1.60%), 10/20/2036(a) | | | 864,286 | | | 864,261 |
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $65,574,965) | | | | | | 65,574,797 |
COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — 11.6%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series K041, Class A2, 3.17%, 10/25/2024 | | | 1,024,345 | | | 1,019,334 |
Series K042, Class A2, 2.67%, 12/25/2024 | | | 3,942,650 | | | 3,908,404 |
Series K045, Class A2, 3.02%, 01/25/2025 | | | 1,298,801 | | | 1,283,830 |
Series K046, Class A2, 3.21%, 03/25/2025 | | | 1,376,318 | | | 1,358,374 |
Series K048, Class A2, 3.28%, 06/25/2025(b) | | | 4,340,000 | | | 4,275,777 |
Series K049, Class A2, 3.01%, 07/25/2025 | | | 5,763,168 | | | 5,660,814 |
Series K054, Class A2, 2.75%, 01/25/2026 | | | 1,190,000 | | | 1,155,899 |
Series K055, Class A2, 2.67%, 03/25/2026 | | | 826,000 | | | 800,015 |
Series K056, Class A2, 2.53%, 05/25/2026 | | | 250,000 | | | 240,881 |
Series K057, Class A2, 2.57%, 07/25/2026 | | | 3,800,000 | | | 3,660,365 |
Series K058, Class A2, 2.65%, 08/25/2026 | | | 4,880,000 | | | 4,693,340 |
Series K729, Class AM, 3.20%, 11/25/2024 | | | 1,500,000 | | | 1,490,007 |
Series K732, Class A2, 3.70%, 05/25/2025 | | | 5,422,440 | | | 5,362,826 |
Series K-F100, Class AS, 5.52% (30 day avg SOFR US + 0.18%), 01/25/2028 | | | 662,883 | | | 657,487 |
Series K-F101, Class AS, 5.54% (30 day avg SOFR US + 0.20%), 01/25/2031 | | | 99,175 | | | 97,590 |
Series K-F102, Class AS, 5.54% (30 day avg SOFR US + 0.20%), 01/25/2031 | | | 6,699,610 | | | 6,618,599 |
Series K-F114, Class AS, 5.56% (30 day avg SOFR US + 0.22%), 05/25/2031 | | | 3,002,967 | | | 2,959,911 |
Series K-F115, Class AS, 5.55% (30 day avg SOFR US + 0.21%), 06/25/2031 | | | 253,653 | | | 249,909 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — (Continued)
| | | | | | |
Series KF130, Class AS, 0.00% (30 day avg SOFR US + 0.29%), 01/25/2029 | | | $ 2,126,052 | | | $ 2,114,425 |
Series K-F136, Class AS, 5.75% (30 day avg SOFR US + 0.41%), 04/25/2032 | | | 1,058,942 | | | 1,052,511 |
Series K-F141, Class AS, 5.91% (30 day avg SOFR US + 0.57%), 07/25/2032 | | | 1,033,069 | | | 1,036,995 |
Series KF155, Class AS, 6.01% (30 day avg SOFR US + 0.67%), 02/25/2030 | | | 250,000 | | | 251,896 |
Series KF160, Class AS, 6.04% (30 day avg SOFR US + 0.70%), 10/25/2030 | | | 728,718 | | | 732,683 |
Series K-F46, Class A, 5.67% (30 day avg SOFR US + 0.33%), 03/25/2028 | | | 158,247 | | | 156,704 |
Series K-F57, Class A, 5.99% (30 day avg SOFR US + 0.65%), 12/25/2028 | | | 299,936 | | | 301,738 |
Series K-F59, Class A, 5.99% (30 day avg SOFR US + 0.65%), 02/25/2029 | | | 709,113 | | | 713,464 |
Series K-F61, Class A, 5.98% (30 day avg SOFR US + 0.64%), 03/25/2029 | | | 878,202 | | | 878,900 |
Series KF67, Class A, 5.97% (30 day avg SOFR US + 0.63%), 08/25/2029 | | | 380,562 | | | 382,727 |
Series KF75, Class AS, 5.89% (SOFR 1M Historical Calendar Day Compounded + 0.55%), 12/25/2029 | | | 1,461,780 | | | 1,464,950 |
Series KF81, Class AS, 5.74% (30 day avg SOFR US + 0.40%), 06/25/2027 | | | 214,229 | | | 213,789 |
Series K-F96, Class AL, 5.71% (30 day avg SOFR US + 0.37%), 12/25/2030 | | | 251,307 | | | 249,572 |
Series KF97, Class AS, 5.59% (30 day avg SOFR US + 0.25%), 12/25/2030 | | | 614,404 | | | 607,070 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY
(Cost $55,727,874) | | | | | | 55,650,786 |
CORPORATE OBLIGATIONS — 10.9%
| | | | | | |
Basic Materials — 0.7%
| | | | | | |
Eastman Chemical Co., 3.80%, 03/15/2025 | | | 590,000 | | | 584,142 |
Freeport-McMoRan, Inc., 4.55%, 11/14/2024 | | | 800,000 | | | 798,076 |
Mercer International, Inc., 5.50%, 01/15/2026 | | | 300,000 | | | 292,620 |
NOVA Chemicals Corp., 5.00%, 05/01/2025(a) | | | 200,000 | | | 198,412 |
Nutrien Ltd., 3.00%, 04/01/2025 | | | 250,000 | | | 246,209 |
Steel Dynamics, Inc., 2.80%, 12/15/2024 | | | 450,000 | | | 444,829 |
Westlake Corp., 0.88%, 08/15/2024 | | | 800,000 | | | 798,444 |
| | | | | | 3,362,732 |
Communications — 0.4%
| | | | | | |
Expedia Group, Inc., 6.25%, 05/01/2025(a) | | | 280,000 | | | 280,833 |
Sprint LLC, 7.63%, 02/15/2025 | | | 750,000 | | | 754,468 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
| | | | | | |
Communications — (Continued)
| | | | | | |
Univision Communications, Inc., 6.63%, 06/01/2027(a) | | | $ 400,000 | | | $ 398,199 |
Verizon Communications, Inc., 3.50%, 11/01/2024 | | | 400,000 | | | 397,905 |
| | | | | | 1,831,405 |
Consumer, Cyclical — 1.6%
| | | | | | |
American Honda Finance Corp., 0.75%, 08/09/2024 | | | 400,000 | | | 399,564 |
AutoNation, Inc., 3.50%, 11/15/2024 | | | 903,000 | | | 895,922 |
AutoZone, Inc., 3.25%, 04/15/2025 | | | 600,000 | | | 591,003 |
Brinker International, Inc., 5.00%, 10/01/2024(a) | | | 200,000 | | | 199,643 |
Brunswick Corp./DE, 0.85%, 08/18/2024 | | | 800,000 | | | 797,947 |
Carnival Corp., 7.63%, 03/01/2026(a) | | | 250,000 | | | 252,568 |
Delta Air Lines, Inc., 7.00%, 05/01/2025(a) | | | 750,000 | | | 756,421 |
Ford Motor Credit Co. LLC
| | | | | | |
4.06%, 11/01/2024 | | | 700,000 | | | 696,669 |
2.30%, 02/10/2025 | | | 200,000 | | | 196,266 |
General Motors Financial Co., Inc., 2.90%, 02/26/2025 | | | 500,000 | | | 492,430 |
Harley-Davidson Financial Services, Inc., 3.35%, 06/08/2025(a) | | | 800,000 | | | 783,919 |
NCL Corp. Ltd., 5.88%, 03/15/2026(a) | | | 500,000 | | | 498,226 |
Volkswagen Group of America Finance LLC, 3.35%, 05/13/2025(a) | | | 300,000 | | | 295,214 |
Whirlpool Corp., 3.70%, 05/01/2025 | | | 800,000 | | | 789,251 |
| | | | | | 7,645,043 |
Consumer, Non-cyclical — 1.3%
| | | | | | |
Ashtead Capital, Inc., 1.50%, 08/12/2026(a) | | | 558,000 | | | 516,691 |
Baxter International, Inc., 1.32%, 11/29/2024 | | | 700,000 | | | 690,221 |
Campbell Soup Co., 3.95%, 03/15/2025 | | | 500,000 | | | 495,287 |
GE HealthCare Technologies, Inc., 5.55%, 11/15/2024 | | | 700,000 | | | 699,739 |
Gilead Sciences, Inc., 3.50%, 02/01/2025 | | | 300,000 | | | 297,263 |
Global Payments, Inc., 2.65%, 02/15/2025 | | | 700,000 | | | 689,251 |
HCA, Inc.
| | | | | | |
5.38%, 02/01/2025 | | | 436,000 | | | 435,176 |
5.25%, 04/15/2025 | | | 100,000 | | | 99,809 |
Laboratory Corp. of America Holdings, 3.60%, 02/01/2025 | | | 690,000 | | | 682,622 |
Mondelez International Holdings Netherlands BV
| | | | | | |
2.25%, 09/19/2024(a) | | | 200,000 | | | 199,068 |
0.75%, 09/24/2024(a) | | | 500,000 | | | 496,500 |
Tyson Foods, Inc., 3.95%, 08/15/2024 | | | 100,000 | | | 99,927 |
Zimmer Biomet Holdings, Inc., 1.45%, 11/22/2024 | | | 700,000 | | | 690,865 |
| | | | | | 6,092,419 |
Energy — 2.4%
| | | | | | |
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/2027(a) | | | 85,000 | | | 85,381 |
CITGO Petroleum Corp., 7.00%, 06/15/2025(a) | | | 300,000 | | | 300,156 |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/2025(a) | | | 500,000 | | | 500,015 |
DCP Midstream Operating LP, 5.38%, 07/15/2025 | | | 189,000 | | | 188,899 |
Enbridge, Inc., 2.50%, 02/14/2025 | | | 700,000 | | | 688,689 |
Energy Transfer LP, 2.90%, 05/15/2025 | | | 600,000 | | | 588,051 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
| | | | | | |
Energy — (Continued)
| | | | | | |
EnLink Midstream Partners LP
| | | | | | |
4.15%, 06/01/2025 | | | $ 700,000 | | | $ 690,166 |
4.85%, 07/15/2026 | | | 600,000 | | | 593,104 |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/2027(a) | | | 255,000 | | | 273,885 |
Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 01/15/2027 | | | 300,000 | | | 306,996 |
Marathon Petroleum Corp., 3.63%, 09/15/2024 | | | 700,000 | | | 698,058 |
MPLX LP, 4.88%, 12/01/2024 | | | 700,000 | | | 698,069 |
New Fortress Energy, Inc., 6.75%, 09/15/2025(a) | | | 200,000 | | | 197,184 |
ONEOK Partners LP, 4.90%, 03/15/2025 | | | 800,000 | | | 796,887 |
Ovintiv, Inc., 5.65%, 05/15/2025 | | | 450,000 | | | 450,239 |
Phillips 66 Co., 3.61%, 02/15/2025 | | | 980,000 | | | 969,428 |
Plains All American Pipeline LP/PAA Finance Corp., 3.60%, 11/01/2024 | | | 700,000 | | | 696,212 |
Sabine Pass Liquefaction LLC, 5.63%, 03/01/2025 | | | 434,000 | | | 433,650 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 7.50%, 10/01/2025(a) | | | 300,000 | | | 300,876 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.50%, 07/15/2027 | | | 500,000 | | | 505,307 |
TransCanada PipeLines Ltd., 1.00%, 10/12/2024 | | | 700,000 | | | 693,331 |
USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 09/01/2027 | | | 300,000 | | | 301,895 |
Western Midstream Operating LP
| | | | | | |
3.10%, 02/01/2025 | | | 500,000 | | | 493,779 |
3.95%, 06/01/2025 | | | 300,000 | | | 295,710 |
| | | | | | 11,745,967 |
Financial — 2.6%
| | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, 08/14/2024 | | | 700,000 | | | 699,238 |
Aircastle Ltd., 5.25%, 08/11/2025(a) | | | 700,000 | | | 696,470 |
American Tower Corp.
| | | | | | |
2.95%, 01/15/2025 | | | 200,000 | | | 197,534 |
2.40%, 03/15/2025 | | | 700,000 | | | 686,325 |
Ares Capital Corp., 3.25%, 07/15/2025 | | | 900,000 | | | 880,039 |
Avolon Holdings Funding Ltd., 2.88%, 02/15/2025(a) | | | 900,000 | | | 884,900 |
Bank of America Corp.
| | | | | | |
4.00%, 01/22/2025 | | | 200,000 | | | 198,720 |
3.95%, 04/21/2025 | | | 100,000 | | | 98,947 |
Bank of Montreal, 1.50%, 01/10/2025 | | | 500,000 | | | 491,394 |
Bank of New York Mellon Corp., 0.85%, 10/25/2024 | | | 400,000 | | | 395,652 |
Capital One Financial Corp., 3.30%, 10/30/2024 | | | 500,000 | | | 497,051 |
Crown Castle, Inc., 3.20%, 09/01/2024 | | | 500,000 | | | 498,710 |
goeasy Ltd., 4.38%, 05/01/2026(a) | | | 260,000 | | | 253,284 |
Goldman Sachs Group, Inc.
| | | | | | |
3.50%, 01/23/2025 | | | 400,000 | | | 396,318 |
3.50%, 04/01/2025 | | | 100,000 | | | 98,746 |
HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026(a) | | | 500,000 | | | 477,526 |
JPMorgan Chase & Co., 3.88%, 09/10/2024 | | | 400,000 | | | 399,300 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
| | | | | | |
Financial — (Continued)
| | | | | | |
Morgan Stanley, 3.70%, 10/23/2024 | | | $ 500,000 | | | $ 497,906 |
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/2027(a) | | | 250,000 | | | 248,282 |
New York Life Global Funding, 2.00%, 01/22/2025(a) | | | 744,000 | | | 732,460 |
OneMain Finance Corp., 3.50%, 01/15/2027 | | | 250,000 | | | 236,489 |
PennyMac Financial Services, Inc., 5.38%, 10/15/2025(a) | | | 300,000 | | | 298,477 |
PRA Group, Inc., 7.38%, 09/01/2025(a) | | | 200,000 | | | 200,326 |
Radian Group, Inc., 4.88%, 03/15/2027 | | | 150,000 | | | 148,206 |
Starwood Property Trust, Inc., 4.38%, 01/15/2027(a) | | | 300,000 | | | 288,357 |
Truist Financial Corp., 2.50%, 08/01/2024 | | | 500,000 | | | 500,000 |
UBS Group AG, 3.63%, 09/09/2024 | | | 700,000 | | | 698,441 |
United Wholesale Mortgage LLC
| | | | | | |
5.50%, 11/15/2025(a) | | | 200,000 | | | 198,706 |
5.75%, 06/15/2027(a) | | | 400,000 | | | 394,091 |
Wells Fargo & Co., 3.00%, 02/19/2025 | | | 400,000 | | | 395,061 |
| | | | | | 12,686,956 |
Industrial — 1.5%
| | | | | | |
3M Co., 2.65%, 04/15/2025 | | | 400,000 | | | 392,574 |
Arrow Electronics, Inc., 3.25%, 09/08/2024 | | | 400,000 | | | 398,844 |
Boeing Co., 4.88%, 05/01/2025 | | | 750,000 | | | 744,400 |
Canadian Pacific Railway Co., 1.35%, 12/02/2024 | | | 375,000 | | | 369,779 |
Carrier Global Corp., 2.24%, 02/15/2025 | | | 700,000 | | | 688,094 |
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027(a) | | | 350,000 | | | 359,072 |
GATX Corp., 3.25%, 03/30/2025 | | | 300,000 | | | 295,124 |
Howmet Aerospace, Inc., 6.88%, 05/01/2025 | | | 600,000 | | | 605,817 |
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/2027(a) | | | 300,000 | | | 300,606 |
Penske Truck Leasing Co. Lp/PTL Finance Corp.
| | | | | | |
2.70%, 11/01/2024(a) | | | 325,000 | | | 322,537 |
3.95%, 03/10/2025(a) | | | 225,000 | | | 222,776 |
Rolls-Royce PLC, 3.63%, 10/14/2025(a) | | | 931,000 | | | 909,617 |
Ryder System, Inc., 2.50%, 09/01/2024 | | | 590,000 | | | 588,059 |
Westinghouse Air Brake Technologies Corp., 3.20%, 06/15/2025 | | | 860,000 | | | 843,355 |
| | | | | | 7,040,654 |
Technology — 0.3%
| | | | | | |
Dell International LLC/EMC Corp., 5.85%, 07/15/2025 | | | 500,000 | | | 501,926 |
Hewlett Packard Enterprise Co., 5.90%, 10/01/2024 | | | 632,000 | | | 632,078 |
Oracle Corp., 2.50%, 04/01/2025 | | | 400,000 | | | 392,354 |
| | | | | | 1,526,358 |
Utilities — 0.1%
| | | | | | |
AmeriGas Partners LP/AmeriGas Finance Corp., 5.50%, 05/20/2025 | | | 75,000 | | | 74,549 |
Edison International, 3.55%, 11/15/2024 | | | 457,000 | | | 453,670 |
| | | | | | 528,219 |
TOTAL CORPORATE OBLIGATIONS
(Cost $52,351,936) | | | | | | 52,459,753 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 10.6%
| | | | | | |
A&D Mortgage LLC
| | | | | | |
Series 2023-NQM4, Class A1, 7.47%, 09/25/2068(a)(c) | | | $ 914,576 | | | $ 943,894 |
Series 2023-NQM4, Class A3, 8.10%, 09/25/2068(a)(c) | | | 914,576 | | | 947,407 |
AMSR Trust, Series 2020-SFR1, Class D, 2.62%, 04/17/2037(a) | | | 446,000 | | | 435,753 |
Bellemeade Re Ltd., Series 2023-1, Class M1B, 9.60% (30 day avg SOFR US + 4.25%), 10/25/2033(a) | | | 200,000 | | | 206,830 |
BRAVO Residential Funding Trust
| | | | | | |
Series 2024-NQM4, Class A1A, 4.35%, 01/25/2060(a)(c) | | | 1,981,487 | | | 1,905,428 |
Series 2024-NQM4, Class A2, 4.35%, 01/25/2060(a)(c) | | | 1,981,487 | | | 1,906,414 |
Series 2024-NQM4, Class A3, 4.35%, 01/25/2060(a)(c) | | | 990,743 | | | 949,555 |
COLT Funding LLC, Series 2024-1, Class A1, 5.84%, 02/25/2069(a)(c) | | | 891,731 | | | 895,798 |
Cross Mortgage Trust, Series 2023-H2, Class A1A,
7.14%, 11/25/2068(a)(c) | | | 437,193 | | | 449,511 |
CSMCM Trust, Series 2019-RP10, Class A1, 3.21%, 12/26/2059(a)(b) | | | 200,804 | | | 200,604 |
Ellington Financial Mortgage Trust, Series 2024-INV1, Class A1A, 6.56%, 03/25/2069(a)(c) | | | 1,437,306 | | | 1,485,597 |
FirstKey Homes Trust, Series 2020-SFR2, Class B, 1.57%, 10/19/2037(a) | | | 425,000 | | | 404,695 |
GCAT Trust
| | | | | | |
Series 2021-NQM2, Class A2, 1.24%, 05/25/2066(a)(b) | | | 1,217,692 | | | 1,048,006 |
Series 2021-NQM7, Class A1, 1.92%, 08/25/2066(a)(b) | | | 251,923 | | | 229,502 |
Series 2023-NQM2, Class A3, 6.60%, 11/25/2067(a)(c) | | | 402,486 | | | 402,476 |
GS Mortgage-Backed Securities Trust, Series 2024-HE1, Class A1, 6.95% (30 day avg SOFR US + 1.60%), 08/25/2054(a) | | | 1,428,069 | | | 1,441,927 |
Home RE Ltd., Series 2023-1, Class M1A, 7.50% (30 day avg SOFR US + 2.15%), 10/25/2033(a) | | | 2,250,000 | | | 2,263,070 |
JP Morgan Mortgage Trust, Series 2023-HE1, Class A1, 7.09% (30 day avg SOFR US + 1.75%), 11/25/2053(a) | | | 420,543 | | | 427,891 |
JP Morgan Wealth Management, Series 2020-ATR1, Class A4, 3.00%, 02/25/2050(a)(b) | | | 140,511 | | | 140,189 |
Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM1, Class A2, 6.41%, 12/25/2068(a)(c) | | | 4,297,372 | | | 4,352,894 |
Oaktown Re, Series 2021-2, Class M1B, 8.25% (30 day avg SOFR US + 2.90%), 04/25/2034(a) | | | 2,250,000 | | | 2,293,715 |
Onslow Bay Mortgage Loan Trust, Series 2023-NQM1, Class A3, 6.50%, 11/25/2062(a)(b) | | | 394,555 | | | 397,947 |
Pretium Mortgage Credit Partners LLC
| | | | | | |
Series 2021-RN1, Class A1, 4.99%, 02/25/2061(a)(c) | | | 265,907 | | | 262,568 |
Series 2024-NPL1, Class A1, 7.14%, 01/25/2054(a)(c) | | | 2,178,272 | | | 2,223,112 |
Series 2024-NPL3, Class A1, 7.52%, 04/27/2054(a)(c) | | | 2,459,181 | | | 2,498,167 |
Series 2024-NPL4, Class A1, 7.00%, 07/25/2054(a)(c) | | | 2,000,000 | | | 2,019,936 |
Series 2024-RN2, Class A1, 7.12%, 04/25/2054(a)(c) | | | 997,606 | | | 1,014,067 |
PRKCM Trust, Series 2023-AFC1, Class A3, 7.30%, 02/25/2058(a)(c) | | | 287,739 | | | 289,871 |
PRPM LLC
| | | | | | |
Series 2020-4, Class A1, 5.61%, 10/25/2025(a)(c) | | | 421,162 | | | 422,338 |
Series 2021-3, Class A1, 4.87%, 04/25/2026(a)(c) | | | 72,705 | | | 71,246 |
Series 2021-7, Class A1, 1.87%, 08/25/2026(a)(c) | | | 156,126 | | | 151,626 |
Series 2022-NQM1, Class A3, 5.50%, 08/25/2067(a)(c) | | | 976,524 | | | 985,939 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
| | | | | | |
Series 2024-2, Class A1, 7.03%, 03/25/2029(a)(c) | | | $ 951,272 | | | $ 966,477 |
Series 2024-3, Class A1, 6.99%, 05/25/2029(a)(c) | | | 1,923,741 | | | 1,956,418 |
Series 2024-NQM1, Class A3, 6.67%, 12/25/2068(a)(c) | | | 3,354,036 | | | 3,405,520 |
Series 2024-NQM2, Class A1, 6.33%, 06/25/2069(a)(c) | | | 2,500,000 | | | 2,537,640 |
Series 2024-RCF1, Class A1, 4.00%, 01/25/2054(a)(c) | | | 236,168 | | | 228,238 |
Series 2024-RCF4, Class A1, 4.00%, 07/25/2054(a)(c) | | | 847,000 | | | 811,005 |
Sequoia Mortgage Trust, Series 2023-4, Class A10,
6.00%, 11/25/2053(a)(b) | | | 470,385 | | | 475,558 |
SGR Residential Mortgage Trust, Series 2019-3, Class A1, 2.70%, 09/25/2059(a)(b) | | | 308,131 | | | 304,335 |
Starwood Mortgage Residential Trust
| | | | | | |
Series 2021-2, Class A3, 1.43%, 05/25/2065(a)(b) | | | 836,403 | | | 771,938 |
Series 2021-SFR2, Class F, 8.29% (1 mo. Term SOFR + 2.96%), 01/17/2039(a) | | | 401,400 | | | 385,212 |
Series 2022-SFR3, Class A, 6.98% (1 mo. Term SOFR + 1.65%), 05/17/2039(a) | | | 989,274 | | | 991,565 |
Towd Point Mortgage Trust
| | | | | | |
Series 2017-2, Class A2, 3.25%, 04/25/2057(a)(b) | | | 81,476 | | | 80,620 |
Series 2017-5, Class A1, 6.06% (1 mo. Term SOFR + 0.71%), 02/25/2057(a) | | | 33,813 | | | 34,508 |
Series 2019-HY3, Class A1A, 6.46% (1 mo. Term SOFR + 1.11%), 10/25/2059(a) | | | 537,643 | | | 543,573 |
Verus Securitization Trust
| | | | | | |
Series 2022-3, Class A3, 4.13%, 02/25/2067(a)(b) | | | 189,453 | | | 174,865 |
Series 2022-8, Class A3, 6.13%, 09/25/2067(a)(c) | | | 336,220 | | | 341,828 |
Series 2023-1, Class A2, 6.56%, 12/25/2067(a)(c) | | | 494,326 | | | 496,808 |
Series 2023-2, Class A2, 6.60%, 03/25/2068(a)(c) | | | 753,436 | | | 757,861 |
Vista Point Securitization Trust, Series 2024-CES1, Class A1, 6.68%, 05/25/2054(a)(c) | | | 2,147,988 | | | 2,188,444 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $50,366,550) | | | | | | 51,120,386 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — 4.9%
| | | | | | |
Connecticut Avenue Securities Trust
| | | | | | |
Series 2024-R03, Class 2M1, 6.50% (30 day avg SOFR US + 1.15%), 03/25/2044(a) | | | 1,841,144 | | | 1,846,325 |
Series 2024-R04, Class 1M1, 6.45% (30 day avg SOFR US + 1.10%), 05/25/2044(a) | | | 2,552,801 | | | 2,558,986 |
Series 2024-R05, Class 2M1, 6.34% (30 day avg SOFR US + 1.00%), 07/25/2044(a) | | | 3,250,000 | | | 3,254,569 |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 2016-SC02, Class M2, 3.63%, 10/25/2046(b) | | | 65,228 | | | 62,505 |
Series 2022-DNA3, Class M1A, 7.35% (30 day avg SOFR US + 2.00%), 04/25/2042(a) | | | 273,524 | | | 277,867 |
Series 2022-HQA2, Class M1A, 8.00% (30 day avg SOFR US + 2.65%), 07/25/2042(a) | | | 176,726 | | | 181,868 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — (Continued)
| | | |
Series 2023-HQA2, Class M1A, 7.35% (30 day avg SOFR US + 2.00%), 06/25/2043(a) | | | $ 1,455,495 | | | $ 1,468,473 |
Series 2024-DNA1, Class M1, 6.70% (30 day avg SOFR US + 1.35%), 02/25/2044(a) | | | 5,853,803 | | | 5,881,498 |
Series 2024-DNA2, Class M1, 6.55% (30 day avg SOFR US + 1.20%), 05/25/2044(a) | | | 1,892,841 | | | 1,899,131 |
Series K047, Class A2, 3.33%, 05/25/2025(b) | | | 5,959,474 | | | 5,875,243 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost $23,289,100) | | | | | | 23,306,465 |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 1.6%
| | | | | | |
ACREC Trust, Series 2021-FL1, Class AS, 6.95% (1 mo. Term SOFR + 1.61%), 10/16/2036(a) | | | 700,000 | | | 699,221 |
BrightSpire Capital, Inc., Series 2021-FL1, Class AS, 7.06% (1 mo. Term SOFR + 1.71%), 08/19/2038(a) | | | 2,000,000 | | | 1,959,052 |
KREF, Series 2021-FL2, Class A, 6.52% (1 mo. Term SOFR + 1.18%), 02/15/2039(a) | | | 1,496,965 | | | 1,480,213 |
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class C, 7.15% (1 mo. Term SOFR + 1.81%), 07/15/2036(a) | | | 1,000,000 | | | 989,115 |
Rialto Real Estate Fund LP, Series 2022-FL8, Class A, 7.58% (1 mo. Term SOFR + 2.25%), 01/19/2037(a) | | | 2,000,000 | | | 2,007,450 |
TPG Real Estate Finance Issuer Ltd., Series 2022-FL5, Class AS, 7.48% (1 mo. Term SOFR + 2.15%), 02/15/2039(a) | | | 500,000 | | | 493,159 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $7,616,050) | | | | | | 7,628,210 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY — 1.2%
| | | | | | |
Federal Home Loan Mortgage Corp.
| | | | | | |
Series 4776, Class QM, 3.00%, 06/15/2045 | | | 50,702 | | | 50,550 |
Series 5149, Class BD, 2.00%, 02/25/2031 | | | 173,794 | | | 171,081 |
Federal National Mortgage Association, Pool BM7189, 2.92%, 10/01/2025(b) | | | 5,526,294 | | | 5,414,895 |
Government National Mortgage Association, Pool 405377, 9.00%, 12/15/2024 | | | 1,178 | | | 1,175 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY
(Cost $5,658,466) | | | | | | 5,637,701 |
| | | | | | | |
| | | | | | | |
SHORT-TERM INVESTMENTS — 5.4%
| | | | | | |
Money Market Funds — 4.4%
| | | | | | |
First American Government Obligations Fund - Class U, 5.25%(d) | | | 21,173,056 | | | 21,173,056 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
SHORT-TERM INVESTMENTS — (Continued)
|
U.S. Treasury Bills — 1.0%
| | | | | | |
5.29%, 09/12/2024(e) | | | $ 2,000,000 | | | $1,987,808 |
5.31%, 09/24/2024(e) | | | 3,000,000 | | | 2,976,501 |
| | | | | | 4,964,309 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $26,137,365) | | | | | | 26,137,365 |
TOTAL INVESTMENTS — 101.7%
(Cost $487,133,390) | | | | | | $489,069,261 |
Liabilities in Excess of Other Assets — (1.7%) | | | | | | (8,264,686) |
TOTAL NET ASSETS — 100.0% | | | | | | $480,804,575 |
| | | | | | | |
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
(a)
| Security is 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. As of July 31, 2024, the value of these securities total $337,164,894 or 70.1% of the Fund’s net assets. |
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024. |
(c)
| Step coupon bond. The rate disclosed is as of July 31, 2024. |
(d)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
(e)
| The rate shown is the effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 42.6%
|
Bellemeade Re Ltd.
|
Series 2023-1, Class B1, 12.05% (30 day avg SOFR US + 6.70%), 10/25/2033(a) | | | $ 200,000 | | | $ 222,264 |
Series 2023-1, Class M1B, 9.60% (30 day avg SOFR US + 4.25%), 10/25/2033(a) | | | 1,000,000 | | | 1,034,151 |
BRAVO Residential Funding Trust
|
Series 2021-NQM2, Class A2, 1.28%, 03/25/2060(a)(b) | | | 235,578 | | | 223,247 |
Series 2024-NQM4, Class A2, 4.35%, 01/25/2060(a)(c) | | | 495,372 | | | 476,604 |
Series 2024-NQM4, Class A3, 4.35%, 01/25/2060(a)(c) | | | 990,743 | | | 949,555 |
Chase Mortgage Finance Corp.
|
Series 2024-5, Class B4, 6.30%, 04/25/2055(a)(b) | | | 1,913,523 | | | 1,807,604 |
Series 2024-5, Class B5, 6.30%, 04/25/2055(a)(b) | | | 1,371,000 | | | 1,068,259 |
Series 2024-5, Class B6, 6.30%, 04/25/2055(a)(b) | | | 1,644,767 | | | 1,066,646 |
Colony American Finance Ltd., Series 2020-4, Class D, 2.71%, 12/15/2052(a) | | | 300,000 | | | 242,603 |
COLT Funding LLC
|
Series 2022-3, Class B1, 4.23%, 02/25/2067(a)(b) | | | 2,000,000 | | | 1,691,450 |
Series 2022-4, Class A2, 4.50%, 03/25/2067(a)(b) | | | 586,809 | | | 564,285 |
Series 2022-5, Class B1, 4.66%, 03/25/2067(a)(b) | | | 1,250,000 | | | 1,135,302 |
Series 2022-7, Class B1, 6.29%, 04/25/2067(a)(b) | | | 3,916,000 | | | 3,781,419 |
Series 2023-3, Class B1, 7.84%, 09/25/2068(a)(b) | | | 2,500,000 | | | 2,539,667 |
Series 2024-2, Class B1, 8.09%, 04/25/2069(a)(b) | | | 2,500,000 | | | 2,564,270 |
Series 2024-INV1, Class A3, 6.48%, 12/25/2068(a)(c) | | | 469,664 | | | 478,449 |
Credit Suisse Mortgage Capital Certificates
|
Series 2021-NQM6, Class A3, 1.59%, 07/25/2066(a)(b) | | | 168,261 | | | 139,658 |
Series 2022-NQM4, Class A3, 4.82%, 06/25/2067(a)(c) | | | 218,917 | | | 216,558 |
Series 2022-RPL3, Class A1, 3.89%, 03/25/2061(a)(b) | | | 283,345 | | | 286,075 |
Deephaven Residential Mortgage Trust
|
Series 2021-2, Class B1, 3.17%, 04/25/2066(a)(b) | | | 400,000 | | | 293,311 |
Series 2022-1, Class B1, 4.28%, 01/25/2067(a)(b) | | | 500,000 | | | 402,905 |
Series 2022-3, Class A3, 5.30%, 07/25/2067(a)(b) | | | 280,562 | | | 280,957 |
Eagle Re Ltd., Series 2023-1, Class M2, 10.55% (30 day avg SOFR
US + 5.20%), 09/26/2033(a) | | | 750,000 | | | 788,014 |
Ellington Financial Mortgage Trust
|
Series 2021-2, Class B1, 3.20%, 06/25/2066(a)(b) | | | 315,000 | | | 215,759 |
Series 2021-2, Class M1, 2.30%, 06/25/2066(a)(b) | | | 700,000 | | | 465,253 |
Series 2022-4, Class A3, 5.90%, 09/25/2067(a)(c) | | | 126,676 | | | 128,879 |
FIGRE Trust, Series 2024-HE1, Class D, 7.19%, 03/25/2054(a)(b) | | | 925,548 | | | 944,049 |
GCAT Trust
|
Series 2020-NQM2, Class M1, 3.59%, 04/25/2065(a)(b) | | | 946,000 | | | 828,138 |
Series 2021-NQM2, Class A3, 1.50%, 05/25/2066(a)(b) | | | 216,262 | | | 187,141 |
Series 2023-NQM2, Class B1, 6.98%, 11/25/2067(a)(b) | | | 150,000 | | | 148,441 |
GS Mortgage-Backed Securities Trust
|
Series 2019-PJ1, Class B6, 4.04%, 08/25/2049(a)(b) | | | 511,533 | | | 316,083 |
Series 2021-MM1, Class A2, 2.50%, 04/25/2052(a)(b) | | | 861,045 | | | 706,736 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
JP Morgan Mortgage Trust
|
Series 2014-2, Class B2, 3.41%, 06/25/2029(a)(b) | | | $ 21,186 | | | $ 20,023 |
Series 2019-INV3, Class B5, 4.37%, 05/25/2050(a)(b) | | | 1,683,813 | | | 1,484,305 |
Series 2019-INV3, Class B6, 4.32%, 05/25/2050(a)(b) | | | 4,957,237 | | | 3,679,985 |
Series 2020-2, Class B4, 3.82%, 07/25/2050(a)(b) | | | 344,598 | | | 303,573 |
Series 2020-3, Class B4, 3.84%, 08/25/2050(a)(b) | | | 342,705 | | | 300,737 |
Series 2020-4, Class B2, 3.64%, 11/25/2050(a)(b) | | | 1,183,355 | | | 1,034,648 |
Series 2023-6, Class B4, 6.23%, 12/26/2053(a)(b) | | | 526,811 | | | 472,420 |
Series 2023-6, Class B5, 6.23%, 12/26/2053(a)(b) | | | 411,000 | | | 315,633 |
Series 2023-6, Class B6, 5.89%, 12/26/2053(a)(b) | | | 330,000 | | | 214,340 |
Series 2023-7, Class B4, 6.30%, 02/25/2054(a)(b) | | | 1,035,500 | | | 905,644 |
Series 2023-7, Class B5, 6.30%, 02/25/2054(a)(b) | | | 717,000 | | | 554,320 |
Series 2023-7, Class B6, 6.06%, 02/25/2054(a)(b) | | | 637,329 | | | 412,525 |
Series 2023-9, Class B5, 6.42%, 04/25/2054(a)(b) | | | 1,054,000 | | | 842,200 |
Series 2023-9, Class B6, 6.16%, 04/25/2054(a)(b) | | | 1,054,524 | | | 708,328 |
Series 2024-1, Class B6, 5.89%, 06/25/2054(a)(b) | | | 2,285,608 | | | 1,595,174 |
Series 2024-4, Class B5, 7.21%, 10/25/2054(a)(b) | | | 2,437,000 | | | 2,176,770 |
Series 2024-5, Class B6, 6.97%, 11/25/2054(a)(b) | | | 2,704,722 | | | 1,845,397 |
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A15, 3.00%, 04/25/2052(a)(b) | | | 432,518 | | | 366,324 |
MFRA Trust, Series 2021-NQM2, Class A3, 1.47%, 11/25/2064(a)(b) | | | 430,725 | | | 371,166 |
Morgan Stanley Residential Mortgage Loan Trust, Series 2023-3, Class B4, 6.58%, 09/25/2053(a)(b) | | | 1,198,000 | | | 1,080,619 |
New Residential Mortgage Loan Trust
|
Series 2017-5A, Class B4, 6.38%, 06/25/2057(a)(b) | | | 295,514 | | | 285,978 |
Series 2019-2A, Class B6, 4.79%, 12/25/2057(a)(b) | | | 1,427,085 | | | 1,037,479 |
Oaktown Re
|
Series 2021-2, Class B1, 9.75% (30 day avg SOFR US + 4.40%), 04/25/2034(a) | | | 500,000 | | | 513,420 |
Series 2021-2, Class M1B, 8.25% (30 day avg SOFR US + 2.90%), 04/25/2034(a) | | | 2,000,000 | | | 2,038,858 |
Onslow Bay Mortgage Loan Trust
|
Series 2019-EXP1, Class 1A3, 4.00%, 01/25/2059(a)(b) | | | 157,062 | | | 154,079 |
Series 2021-J2, Class A1, 2.50%, 07/25/2051(a)(b) | | | 1,607,553 | | | 1,309,522 |
Series 2023-NQM1, Class A3, 6.50%, 11/25/2062(a)(b) | | | 394,555 | | | 397,947 |
Pretium Mortgage Credit Partners LLC
|
Series 2021-NPL2, Class A1, 4.99%, 06/27/2060(a)(c) | | | 53,696 | | | 52,736 |
Series 2021-NPL3, Class A1, 4.87%, 07/25/2051(a)(c) | | | 65,778 | | | 63,807 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060(a)(c) | | | 169,661 | | | 166,107 |
Series 2021-RN1, Class A1, 4.99%, 02/25/2061(a)(c) | | | 886,358 | | | 875,228 |
Series 2022-NPL1, Class A1, 2.98%, 01/25/2052(a)(c) | | | 371,960 | | | 372,331 |
Series 2024-NPL3, Class A2, 10.04%, 04/27/2054(a)(c) | | | 1,000,000 | | | 1,018,361 |
Series 2024-NPL4, Class A1, 7.00%, 07/25/2054(a)(c) | | | 1,000,000 | | | 1,009,968 |
PRKCM Trust, Series 2023-AFC4, Class A1, 7.23%, 11/25/2058(a)(c) | | | 448,203 | | | 462,901 |
Progress Residential Trust
|
Series 2021-SFR1, Class F, 2.76%, 04/17/2038(a) | | | 235,000 | | | 218,679 |
Series 2023-SFR2, Class D, 4.50%, 10/17/2040(a) | | | 200,000 | | | 188,978 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
PRPM LLC
|
Series 2020-4, Class A1, 5.61%, 10/25/2025(a)(c) | | | $ 421,162 | | | $ 422,338 |
Series 2022-NQM1, Class B1, 5.43%, 08/25/2067(a)(b) | | | 1,500,000 | | | 1,408,018 |
Series 2024-1, Class A1, 6.96%, 02/25/2029(a)(c) | | | 471,454 | | | 477,272 |
Series 2024-2, Class A1, 7.03%, 03/25/2029(a)(c) | | | 951,272 | | | 966,477 |
Series 2024-2, Class A2, 10.04%, 03/25/2029(a)(c) | | | 1,500,000 | | | 1,523,961 |
Series 2024-3, Class A2, 9.56%, 05/25/2029(a)(c) | | | 1,000,000 | | | 1,017,020 |
Series 2024-NQM2, Class B1, 7.73%, 06/25/2069(a)(b) | | | 1,000,000 | | | 1,004,266 |
Series 2024-RCF1, Class M1, 4.00%, 01/25/2054(a)(c) | | | 250,000 | | | 219,918 |
Series 2024-RCF1, Class M2, 4.00%, 01/25/2054(a)(c) | | | 250,000 | | | 207,265 |
Series 2024-RCF2, Class A3, 3.75%, 03/25/2054(a)(c) | | | 2,000,000 | | | 1,818,640 |
Series 2024-RCF4, Class M1, 4.00%, 07/25/2054(a)(c) | | | 1,850,000 | | | 1,676,799 |
Radnor RE Ltd.
|
Series 2021-1, Class M2, 8.50% (30 day avg SOFR US + 3.15%), 12/27/2033(a) | | | 1,000,000 | | | 1,003,642 |
Series 2021-2, Class B1, 11.35% (30 day avg SOFR US + 6.00%), 11/25/2031(a) | | | 250,000 | | | 267,589 |
Rate Mortgage Trust, Series 2021-J3, Class A25,
2.50%, 10/25/2051(a)(b) | | | 500,000 | | | 322,105 |
RCKT Mortgage Trust, Series 2022-4, Class A2,
3.50%, 06/25/2052(a)(b) | | | 2,695,664 | | | 2,394,644 |
Rithm Capital Corp.
|
Series 2015-1A, Class B6, 5.22%, 05/28/2052(a)(b) | | | 906,987 | | | 633,994 |
Series 2022-SFR2, Class E2, 4.00%, 09/04/2039(a) | | | 700,000 | | | 614,664 |
Saluda Grade Mortgage Funding LLC
|
Series 2020-SEQ1, Class A1, 3.32%, 05/25/2050(a)(b) | | | 208,144 | | | 197,215 |
Series 2022-INV1, Class A3, 4.94%, 04/25/2067(a)(b) | | | 459,979 | | | 430,749 |
Series 2023-FIG3, Class A, 7.07%, 08/25/2053(a)(b) | | | 841,709 | | | 872,597 |
Series 2023-FIG3, Class B, 7.71%, 08/25/2053(a) | | | 841,709 | | | 871,371 |
Series 2023-FIG4, Class A, 6.72%, 11/25/2053(a)(b) | | | 1,790,161 | | | 1,844,229 |
Sequoia Mortgage Trust
|
Series 2018-2, Class A19, 3.50%, 02/25/2048(a)(b) | | | 150,393 | | | 133,643 |
Series 2024-1, Class A13, 6.00%, 01/25/2054(a)(b) | | | 700,000 | | | 700,412 |
SGR Residential Mortgage Trust
|
Series 2021-1, Class A3, 1.56%, 07/25/2061(a)(b) | | | 1,605,550 | | | 1,378,363 |
Series 2021-2, Class A1, 1.74%, 12/25/2061(a)(b) | | | 371,419 | | | 309,957 |
Series 2021-2, Class A2, 1.94%, 12/25/2061(a)(b) | | | 599,471 | | | 502,545 |
Starwood Mortgage Residential Trust
|
Series 2019-INV1, Class B1, 3.66%, 09/27/2049(a)(b) | | | 500,000 | | | 453,590 |
Series 2021-1, Class B1, 3.52%, 05/25/2065(a)(b) | | | 600,000 | | | 501,077 |
Series 2021-3, Class M1, 2.49%, 06/25/2056(a)(b) | | | 1,000,000 | | | 691,134 |
Triangle Re Ltd., Series 2021-3, Class M2, 9.10% (30 day avg SOFR
US + 3.75%), 02/25/2034(a) | | | 500,000 | | | 520,137 |
Tricon American Homes Trust, Series 2020-SFR1, Class D,
2.55%, 07/17/2038(a) | | | 200,000 | | | 188,950 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
Verus Securitization Trust
|
Series 2021-1, Class M1, 1.97%, 01/25/2066(a)(b) | | | $ 926,000 | | | $ 698,101 |
Series 2021-4, Class A3, 1.35%, 07/25/2066(a)(b) | | | 661,062 | | | 548,257 |
Series 2021-6, Class M1, 2.94%, 10/25/2066(a)(b) | | | 290,000 | | | 201,215 |
Series 2021-7, Class B1, 4.14%, 10/25/2066(a)(b) | | | 400,000 | | | 290,938 |
Series 2022-3, Class A3, 4.13%, 02/25/2067(a)(b) | | | 2,273,435 | | | 2,098,376 |
Series 2022-7, Class B1, 5.37%, 07/25/2067(a)(b) | | | 1,100,000 | | | 1,053,589 |
Series 2022-8, Class A3, 6.13%, 09/25/2067(a)(c) | | | 336,220 | | | 341,828 |
Series 2022-INV1, Class B1, 5.82%, 08/25/2067(a)(b) | | | 1,500,000 | | | 1,454,268 |
Series 2023-1, Class A2, 6.56%, 12/25/2067(a)(c) | | | 494,326 | | | 496,808 |
Series 2023-8, Class M1, 7.45%, 12/25/2068(a)(b) | | | 850,000 | | | 880,885 |
Series 2023-INV1, Class A2, 6.56%, 02/25/2068(a)(c) | | | 546,387 | | | 564,801 |
Series 2023-INV1, Class M1, 7.55%, 02/25/2068(a)(b) | | | 126,000 | | | 126,514 |
Vista Point Securitization Trust, Series 2024-CES1, Class B1,
8.87%, 05/25/2054(a)(b) | | | 1,250,000 | | | 1,274,149 |
Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2, 10.71% (30 day avg SOFR US + 5.36%), 11/25/2025(a) | | | 30,557 | | | 30,930 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $87,720,451) | | | | | | 90,679,482 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 19.5%
| | | | | | |
Federal Home Loan Mortgage Corp.
|
Pool QG4323, 6.00%, 06/01/2053 | | | 1,413,606 | | | 1,438,776 |
Pool QI2043, 6.00%, 03/01/2054 | | | 996,645 | | | 1,012,523 |
Pool RA7673, 4.50%, 07/01/2052 | | | 892,658 | | | 859,457 |
Pool SD5143, 6.00%, 04/01/2054 | | | 944,708 | | | 960,939 |
Pool SD5709, 6.00%, 07/01/2054 | | | 997,365 | | | 1,013,254 |
Federal National Mortgage Association
|
6.00%, 08/15/2040 | | | 10,000,000 | | | 10,140,560 |
Pool BW5186, 5.00%, 11/01/2052 | | | 920,324 | | | 906,872 |
Pool DB4019, 6.00%, 05/01/2054 | | | 1,496,838 | | | 1,525,362 |
Pool FS7798, 6.00%, 06/01/2054 | | | 990,368 | | | 1,008,003 |
Government National Mortgage Association
|
Pool MA7419, 3.00%, 06/20/2051 | | | 1,908,765 | | | 1,707,586 |
Pool MA8200, 4.00%, 08/20/2052 | | | 1,788,353 | | | 1,685,233 |
Pool MA8267, 4.00%, 09/20/2052 | | | 1,348,821 | | | 1,272,731 |
Pool MA8490, 5.00%, 12/20/2052 | | | 897,606 | | | 886,275 |
Pool MA8491, 5.50%, 12/20/2052 | | | 174,602 | | | 175,010 |
Pool MA8570, 5.50%, 01/20/2053 | | | 5,979,264 | | | 5,993,243 |
Pool MA8649, 6.00%, 02/20/2053 | | | 526,393 | | | 533,155 |
Pool MA8725, 5.00%, 03/20/2053 | | | 462,418 | | | 456,581 |
Pool MA8727, 6.00%, 03/20/2053 | | | 811,966 | | | 821,380 |
Pool MA8948, 5.50%, 06/20/2053 | | | 854,958 | | | 856,957 |
Pool MA9017, 5.50%, 07/20/2053 | | | 1,421,676 | | | 1,425,000 |
Pool MA9018, 6.00%, 07/20/2053 | | | 893,274 | | | 903,632 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — (Continued)
|
Pool MA9106, 5.50%, 08/20/2053 | | | $ 3,324,974 | | | $ 3,332,748 |
Pool MA9166, 3.00%, 09/20/2053 | | | 749,687 | | | 670,438 |
Pool MA9171, 5.50%, 09/20/2053 | | | 1,153,077 | | | 1,155,773 |
Pool MA9305, 5.50%, 11/20/2053 | | | 734,630 | | | 736,347 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $41,256,662) | | | | | | 41,477,835 |
ASSET-BACKED SECURITIES — 15.8%
| | | | | | |
Automobile — 7.3%
|
Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B, 6.87%, 06/17/2030(a) | | | 700,000 | | | 710,509 |
BOF URSA Funding Trust, Series 2024-CAR1, Class E, 8.95% (30 day avg SOFR US + 3.60%), 12/26/2031(a) | | | 216,873 | | | 217,413 |
Carvana Auto Receivables Trust
|
Series 2021-N3, Class E, 3.16%, 06/12/2028(a) | | | 200,000 | | | 185,806 |
Series 2021-N4, Class E, 4.53%, 09/11/2028(a) | | | 450,000 | | | 423,423 |
Series 2024-P2, Class D, 6.10%, 06/10/2031 | | | 375,000 | | | 383,866 |
CPS Auto Trust
|
Series 2024-B, Class E, 8.36%, 11/17/2031(a) | | | 500,000 | | | 517,355 |
Series 2024-C, Class E, 8.04%, 03/15/2032(a) | | | 500,000 | | | 510,350 |
Exeter Automobile Receivables Trust
|
Series 2021-3A, Class E, 3.04%, 12/15/2028(a) | | | 300,000 | | | 282,133 |
Series 2022-5A, Class E, 10.45%, 04/15/2030(a) | | | 1,000,000 | | | 1,058,444 |
Series 2023-2A, Class E, 9.75%, 11/15/2030(a) | | | 200,000 | | | 215,318 |
Series 2024-1A, Class E, 7.89%, 08/15/2031(a) | | | 400,000 | | | 404,586 |
Series 2024-2A, Class E, 7.98%, 10/15/2031(a) | | | 354,000 | | | 357,474 |
Series 2024-3A, Class E, 7.84%, 10/15/2031(a) | | | 500,000 | | | 507,367 |
FHF Trust, Series 2024-1A, Class C, 7.42%, 05/15/2031(a) | | | 200,000 | | | 205,674 |
Foursight Capital Automobile Receivables Trust, Series 2023-1, Class D, 7.41%, 02/15/2030(a) | | | 250,000 | | | 254,923 |
GLS Auto Receivables Trust
|
Series 2023-3A, Class E, 9.27%, 08/15/2030(a) | | | 200,000 | | | 211,879 |
Series 2024-1A, Class E, 7.94%, 10/15/2030(a) | | | 200,000 | | | 202,055 |
Hertz Global Holdings, Inc., Series 2022-4A, Class D,
6.56%, 09/25/2026(a) | | | 200,000 | | | 195,870 |
Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class D, 10.59% (30 day avg SOFR US + 5.25%), 05/20/2032(a) | | | 465,002 | | | 468,579 |
Kinetic Advantage Master Owner Trust, Series 2024-1A, Class A, 7.99% (30 day avg SOFR US + 2.65%), 11/15/2027(a) | | | 500,000 | | | 502,807 |
Lendbuzz Securitization Trust, Series 2024-2A, Class C,
7.45%, 05/15/2031(a) | | | 1,129,000 | | | 1,165,664 |
Lobel Automobile Receivables Trust, Series 2023-1, Class C,
8.31%, 10/16/2028(a) | | | 250,000 | | | 253,289 |
Luxury Lease Partners Auto Lease Trust, Series 2024-4, Class A,
7.29%, 07/15/2030(a) | | | 809,644 | | | 811,331 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Automobile — (Continued)
|
Prestige Auto Receivables Trust
|
Series 2022-1A, Class D, 8.08%, 08/15/2028(a) | | | $ 25,000 | | | $ 25,396 |
Series 2024-1A, Class E, 7.94%, 04/15/2031(a) | | | 300,000 | | | 305,398 |
Santander Holdings USA, Inc., Series 2024-A, Class F,
10.17%, 06/15/2032(a) | | | 300,000 | | | 303,581 |
SBNA Auto Receivables Trust, Series 2024-A, Class E,
8.00%, 04/15/2032(a) | | | 500,000 | | | 504,209 |
Skopos Auto Receivable Trust, Series 2019-1A, Class E,
7.82%, 06/15/2026(a) | | | 326,405 | | | 327,443 |
Strike Acceptance Auto Funding Trust, Series 2023-1A, Class A,
8.00%, 05/15/2026(a) | | | 620,498 | | | 612,231 |
Tricolor Auto Securitization Trust
|
Series 2023-1A, Class E, 13.45%, 06/15/2028(a) | | | 200,000 | | | 209,911 |
Series 2023-1A, Class F, 16.00%, 06/17/2030(a) | | | 800,000 | | | 841,920 |
US Auto Funding Trust, Series 2022-1A, Class A,
3.98%, 04/15/2025(a) | | | 66,252 | | | 65,484 |
Veros Automobile Receivables Trust
|
Series 2021-1, Class C, 3.64%, 08/15/2028(a) | | | 1,000,000 | | | 999,193 |
Series 2023-1, Class D, 11.46%, 08/15/2030(a) | | | 100,000 | | | 104,342 |
Series 2024-1, Class C, 7.57%, 12/15/2028(a) | | | 680,000 | | | 691,782 |
Series 2024-1, Class D, 9.87%, 05/15/2031(a) | | | 500,000 | | | 508,643 |
| | | 15,545,648 |
Consumer — 8.0%
|
Affirm, Inc.
|
Series 2024-A, Class D, 6.89%, 02/15/2029(a) | | | 200,000 | | | 201,177 |
Series 2024-A, Class E, 9.17%, 02/15/2029(a) | | | 200,000 | | | 201,220 |
Aqua Finance Trust, Series 2021-A, Class C, 3.14%, 07/17/2046(a) | | | 180,000 | | | 150,424 |
Bankers Healthcare Group, Inc.
|
Series 2024-1CON, Class C, 6.86%, 04/17/2035(a) | | | 800,000 | | | 811,726 |
Series 2024-1CON, Class D, 8.00%, 04/17/2035(a) | | | 200,000 | | | 200,696 |
Foundation Finance Trust
|
Series 2021-1A, Class D, 4.96%, 05/15/2041(a) | | | 97,443 | | | 86,718 |
Series 2023-1A, Class D, 9.18%, 12/15/2043(a) | | | 188,627 | | | 190,458 |
Series 2024-1A, Class D, 8.13%, 12/15/2049(a) | | | 250,000 | | | 254,731 |
GreenSky Home Improvement Trust
|
Series 2024-1, Class D, 7.33%, 07/25/2059(a)(d) | | | 500,000 | | | 501,568 |
Series 2024-1, Class E, 9.00%, 07/25/2059(a)(d) | | | 500,000 | | | 491,112 |
Lendingpoint Asset Securitization Trust, Series 2022-B, Class C,
8.45%, 10/15/2029(a) | | | 100,000 | | | 39,892 |
Marlette Funding Trust, Series 2023-2A, Class D,
7.92%, 06/15/2033(a) | | | 750,000 | | | 753,362 |
Momnt Technologies Trust
|
Series 2023-1A, Class B, 8.29%, 03/20/2045(a) | | | 100,000 | | | 101,478 |
Series 2023-1A, Class C, 11.24%, 03/20/2045(a) | | | 100,000 | | | 98,932 |
Oportun Financial Corp., Series 2022-3, Class C,
10.15%, 01/08/2030(a) | | | 200,000 | | | 203,292 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Consumer — (Continued)
|
Pagaya AI Debt Selection Trust
|
Series 2021-1, Class C, 4.09%, 11/15/2027(a) | | | $ 25,623 | | | $ 21,918 |
Series 2021-5, Class C, 3.93%, 08/15/2029(a) | | | 299,965 | | | 283,190 |
Series 2022-2, Class C, 7.50%, 01/15/2030(a) | | | 499,970 | | | 484,547 |
Series 2023-8, Class D, 9.00%, 06/16/2031(a) | | | 599,615 | | | 596,015 |
Series 2024-1, Class C, 8.34%, 07/15/2031(a) | | | 1,899,525 | | | 1,937,867 |
Series 2024-1, Class D, 9.00%, 07/15/2031(a) | | | 399,900 | | | 392,260 |
Series 2024-2, Class C, 7.57%, 08/15/2031(a) | | | 349,844 | | | 353,877 |
Series 2024-2, Class D, 9.00%, 08/15/2031(a) | | | 599,733 | | | 593,108 |
Series 2024-3, Class D, 9.00%, 10/15/2031(a) | | | 400,000 | | | 404,900 |
Series 2024-5, Class D, 12.97%, 10/15/2031(a) | | | 500,000 | | | 519,493 |
Series 2024-7, Class D, 10.90%, 12/15/2031(a) | | | 500,000 | | | 503,277 |
Powerpay Securitization Funding LLC, Series 2024-1A, Class B,
8.46%, 02/18/2039(a) | | | 300,000 | | | 304,888 |
Prosper Marketplace Issuance Trust
|
Series 2023-1A, Class C, 8.29%, 07/16/2029(a) | | | 300,000 | | | 307,570 |
Series 2023-1A, Class D, 11.24%, 07/16/2029(a) | | | 150,000 | | | 152,239 |
Series 2024-1A, Class D, 10.98%, 08/15/2029(a) | | | 500,000 | | | 512,513 |
Purchasing Power Funding
|
Series 2024-A, Class D, 7.26%, 08/15/2028(a) | | | 200,000 | | | 202,255 |
Series 2024-A, Class E, 10.18%, 08/15/2028(a) | | | 200,000 | | | 204,225 |
Reach Financial LLC
|
Series 2022-2A, Class C, 8.40%, 05/15/2030(a) | | | 100,000 | | | 101,623 |
Series 2023-1A, Class C, 8.45%, 02/18/2031(a) | | | 200,000 | | | 207,760 |
Series 2024-2A, Class D, 8.83%, 07/15/2031(a) | | | 600,000 | | | 608,087 |
Republic Finance Issuance Trust
|
Series 2020-A, Class D, 7.00%, 11/20/2030(a) | | | 350,000 | | | 348,031 |
Series 2021-A, Class D, 5.23%, 12/22/2031(a) | | | 200,000 | | | 184,839 |
Series 2024-A, Class C, 7.28%, 08/20/2032(a) | | | 400,000 | | | 403,323 |
Series 2024-A, Class D, 9.49%, 08/20/2032(a) | | | 250,000 | | | 250,791 |
Theorem Funding Trust, Series 2022-2A, Class B,
9.27%, 12/15/2028(a) | | | 300,000 | | | 308,552 |
Upstart Securitization Trust
|
Series 2021-3, Class C, 3.28%, 07/20/2031(a) | | | 441,574 | | | 427,288 |
Series 2021-5, Class C, 4.15%, 11/20/2031(a) | | | 1,000,000 | | | 938,997 |
Series 2023-1, Class C, 11.10%, 02/20/2033(a) | | | 300,000 | | | 307,550 |
Series 2023-2, Class B, 7.92%, 06/20/2033(a) | | | 1,000,000 | | | 1,011,938 |
| | | 17,159,707 |
Equipment — 0.4%
|
Octane Receivables Trust
|
Series 2024-1A, Class E, 7.82%, 08/20/2031(a) | | | 200,000 | | | 194,950 |
Series 2024-2A, Class E, 9.04%, 07/20/2032(a) | | | 600,000 | | | 610,717 |
| | | 805,667 |
| | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
ASSET-BACKED SECURITIES — (Continued)
|
Solar — 0.1%
|
GoodLeap Sustainable Home Solutions Trust
|
Series 2022-3CS, Class A, 4.95%, 07/20/2049(a) | | | $ 166,344 | | | $ 156,490 |
Series 2023-2GS, Class B, 7.80%, 05/20/2055(a) | | | 100,000 | | | 101,971 |
| | | 258,461 |
TOTAL ASSET-BACKED SECURITIES
(Cost $33,315,816) | | | | | | 33,769,483 |
COLLATERALIZED LOAN OBLIGATIONS — 11.2%
| | | | | | |
37 Capital CLO Ltd., Series 2023-1A, Class D, 11.66% (3 mo. Term SOFR + 6.36%), 04/15/2036(a) | | | 1,500,000 | | | 1,553,438 |
ABPCI Direct Lending Fund CLO LLC, Series 2022-11A, Class A1, 7.81% (3 mo. Term SOFR + 2.55%), 10/27/2034(a) | | | 1,000,000 | | | 1,001,671 |
AMMC CDO, Series 2024-30A, Class D, 9.79% (3 mo. Term
SOFR + 4.50%), 01/15/2037(a) | | | 250,000 | | | 255,893 |
Apidos CLO Ltd.
|
Series 2018-29A, Class A2, 7.10% (3 mo. Term SOFR + 1.81%), 07/25/2030(a) | | | 500,000 | | | 498,632 |
Series 2022-42A, Class C, 9.18% (3 mo. Term SOFR + 3.90%), 01/20/2036(a) | | | 775,000 | | | 789,324 |
AREIT Ltd., Series 2024-CRE9, Class AS, 7.57% (1 mo. Term
SOFR + 2.24%), 05/17/2041(a) | | | 800,000 | | | 799,650 |
Bain Capital Credit CLO Ltd., Series 2023-4A, Class A2, 7.43%
(3 mo. Term SOFR + 2.15%), 10/21/2036(a) | | | 1,100,000 | | | 1,104,353 |
Barings Middle Market CLO Ltd., Series 2019-IA, Class A1A, 7.31%
(3 mo. Term SOFR + 2.01%), 10/15/2031(a) | | | 208,648 | | | 208,697 |
Bryant Park Funding Ltd., Series 2023-19A, Class C1, 11.32%
(3 mo. Term SOFR + 6.02%), 04/15/2036(a) | | | 1,500,000 | | | 1,531,011 |
Dryden Senior Loan Fund, Series 2022-106A, Class D, 11.00%
(3 mo. Term SOFR + 5.70%), 10/15/2035(a) | | | 1,500,000 | | | 1,509,373 |
Franklin Park Place CLO LLC, Series 2022-1A, Class E, 12.80%
(3 mo. Term SOFR + 7.50%), 04/14/2035(a) | | | 1,000,000 | | | 1,005,286 |
Golub Capital Partners CLO Ltd., Series 2017-34A, Class B1R, 8.10%
(3 mo. Term SOFR + 2.86%), 03/14/2031(a) | | | 250,000 | | | 250,025 |
Highbridge Loan Management Ltd., Series 2023-17A, Class E, 13.23% (3 mo. Term SOFR + 7.95%), 04/23/2036(a) | | | 1,425,000 | | | 1,469,707 |
Magnetite CLO Ltd., Series 2019-24A, Class BR, 7.05% (3 mo. Term SOFR + 1.75%), 04/15/2035(a) | | | 250,000 | | | 249,632 |
Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd., Series 2024-2A, Class E, 12.80% (3 mo. Term SOFR + 7.50%), 04/20/2038(a) | | | 1,000,000 | | | 1,010,935 |
Oaktree CLO Ltd.
|
Series 2020-1A, Class DR, 8.71% (3 mo. Term SOFR + 3.41%), 07/15/2034(a) | | | 1,000,000 | | | 1,004,093 |
Series 2023-2A, Class D, 10.73% (3 mo. Term SOFR + 5.45%), 07/20/2036(a) | | | 1,000,000 | | | 1,036,067 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COLLATERALIZED LOAN OBLIGATIONS — (Continued)
|
Octagon 60 Ltd., Series 2022-1A, Class B, 7.98% (3 mo. Term
SOFR + 2.70%), 10/20/2035(a) | | | $ 1,000,000 | | | $ 1,001,958 |
OFSI Fund Ltd., Series 2023-12A, Class D1, 11.23% (3 mo. Term
SOFR + 5.95%), 01/20/2035(a) | | | 500,000 | | | 509,228 |
OZLM Ltd.
|
Series 2018-18A, Class B, 7.11% (3 mo. Term SOFR + 1.81%), 04/15/2031(a) | | | 448,000 | | | 449,299 |
Series 2018-20A, Class A2, 7.19% (3 mo. Term SOFR + 1.91%), 04/20/2031(a) | | | 550,000 | | | 548,806 |
Palmer Square CLO Ltd., Series 2022-3X, Class D, 10.12% (3 mo. Term SOFR + 4.84%), 07/20/2035(e) | | | 1,000,000 | | | 1,008,278 |
Pikes Peak CLO Ltd.
|
Series 2023-12X, Class D, 11.11% (3 mo. Term SOFR + 5.83%), 04/20/2036(e) | | | 1,000,000 | | | 1,027,005 |
Series 2023-14A, Class E, 13.86% (3 mo. Term SOFR + 8.58%), 04/20/2036(a) | | | 400,000 | | | 415,404 |
Rockford Tower CLO Ltd., Series 2023-1A, Class D, 10.60% (3 mo. Term SOFR + 5.32%), 01/20/2036(a) | | | 1,000,000 | | | 1,033,012 |
Symphony CLO Ltd., Series 2022-37A, Class B1R, 7.68% (3 mo. Term SOFR + 2.40%), 01/20/2037(a) | | | 650,000 | | | 653,182 |
TCI-Flatiron CLO Ltd., Series 2018-1A, Class DR, 8.28% (3 mo. Term SOFR + 3.01%), 01/29/2032(a) | | | 500,000 | | | 501,099 |
Trimaran CAVU LLC, Series 2022-1A, Class D, 11.11% (3 mo. Term SOFR + 5.83%), 10/22/2035(a) | | | 500,000 | | | 504,833 |
Trinitas CLO Ltd., Series 2020-14A, Class D, 9.85% (3 mo. Term
SOFR + 4.56%), 01/25/2034(a) | | | 1,000,000 | | | 1,001,932 |
TOTAL COLLATERALIZED LOAN OBLIGATIONS
(Cost $23,869,292) | | | | | | 23,931,823 |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.9%
|
ARES Commercial Mortgage Trust
|
Series 2024-IND, Class D, 8.22% (1 mo. Term SOFR + 2.89%), 07/15/2041(a) | | | 500,000 | | | 500,217 |
Series 2024-IND, Class E, 9.27% (1 mo. Term SOFR + 3.94%), 07/15/2041(a) | | | 500,000 | | | 500,210 |
ARZ Trust
|
Series 2024-BILT, Class D, 7.00%, 06/11/2029(a) | | | 250,000 | | | 255,861 |
Series 2024-BILT, Class E, 7.49%, 06/11/2029(a) | | | 200,000 | | | 205,035 |
Banc of America Re-Remic Trust
|
Series 2024-NASH, Class A, 7.33% (1 mo. Term SOFR + 2.00%), 05/15/2039(a) | | | 600,000 | | | 600,756 |
Series 2024-NASH, Class C, 8.83% (1 mo. Term SOFR + 3.50%), 05/15/2039(a) | | | 200,000 | | | 200,501 |
Series 2024-NASH, Class D, 10.18% (1 mo. Term SOFR + 4.85%), 05/15/2039(a) | | | 100,000 | | | 100,250 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
BX Trust
|
Series 2024-AIRC, Class C, 7.89% (1 mo. Term SOFR + 2.59%), 08/15/2039(a)(d) | | | $ 300,000 | | | $ 299,998 |
Series 2024-BIO, Class C, 7.97% (1 mo. Term SOFR + 2.64%), 02/15/2041(a) | | | 200,000 | | | 200,421 |
Series 2024-BIO, Class D, 8.97% (1 mo. Term SOFR + 3.64%), 02/15/2041(a) | | | 200,000 | | | 200,415 |
Series 2024-KING, Class D, 7.82% (1 mo. Term SOFR + 2.49%), 05/15/2034(a) | | | 500,000 | | | 503,095 |
Series 2024-PALM, Class D, 7.97% (1 mo. Term SOFR + 2.64%), 06/15/2037(a) | | | 300,000 | | | 300,014 |
Series 2024-VLT4, Class E, 8.22% (1 mo. Term SOFR + 2.89%), 07/15/2029(a) | | | 200,000 | | | 199,499 |
Series 2024-VLT4, Class F, 9.27% (1 mo. Term SOFR + 3.94%), 07/15/2029(a) | | | 500,000 | | | 500,411 |
Commercial Mortgage Pass Through Certificates, Series 2024-WCL1, Class C, 8.22% (1 mo. Term SOFR + 2.89%), 06/15/2041(a) | | | 1,500,000 | | | 1,500,032 |
Computershare Corporate Trust
|
Series 2024-1CHI, Class D, 6.71%, 07/15/2035(a)(b) | | | 300,000 | | | 299,332 |
Series 2024-1CHI, Class E, 7.57%, 07/15/2035(a)(b) | | | 200,000 | | | 199,515 |
DBSG Mortgage Trust, Series 2024-ALTA, Class D, 7.06%,
06/10/2037(a)(b) | | | 400,000 | | | 405,648 |
DC Commercial Mortgage Trust
|
Series 2024-HLTN, Class C, 7.04%, 04/13/2028(a)(b) | | | 500,000 | | | 508,099 |
Series 2024-HLTN, Class D, 7.71%, 04/13/2028(a)(b) | | | 300,000 | | | 305,668 |
Hilton USA Trust
|
Series 2024-ORL, Class C, 7.77% (1 mo. Term SOFR + 2.44%), 05/15/2037(a) | | | 200,000 | | | 199,853 |
Series 2024-ORL, Class D, 8.52% (1 mo. Term SOFR + 3.19%), 05/15/2037(a) | | | 200,000 | | | 199,855 |
HLTN Commercial Mortgage Trust, Series 2024-DPLO, Class D, 8.67% (1 mo. Term SOFR + 3.34%), 06/15/2041(a) | | | 300,000 | | | 299,416 |
HTL Commercial Mortgage Trust
|
Series 2024-T53, Class D, 8.20%, 05/10/2039(a)(b) | | | 300,000 | | | 303,379 |
Series 2024-T53, Class F, 11.93%, 05/10/2039(a)(b) | | | 100,000 | | | 101,056 |
Jackson Park Trust, Series 2019-LIC, Class E, 3.24%, 10/14/2039(a)(b) | | | 750,000 | | | 622,454 |
LBA Trust
|
Series 2024-BOLT, Class E, 9.02% (1 mo. Term SOFR + 3.69%), 06/15/2026(a) | | | 1,000,000 | | | 1,000,029 |
Series 2024-BOLT, Class F, 9.77% (1 mo. Term SOFR + 4.44%), 06/15/2026(a) | | | 300,000 | | | 300,008 |
Morgan Stanley, Series 2024-BPR2, Class A, 7.29%, 05/05/2029(a) | | | 299,529 | | | 308,564 |
Morgan Stanley Capital I, Inc., Series 2014-150E, Class A,
3.91%, 09/09/2032(a) | | | 200,000 | | | 172,764 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — (Continued)
|
TX Trust
|
Series 2024-HOU, Class D, 8.57% (1 mo. Term SOFR + 3.24%), 06/15/2039(a) | | | $ 200,000 | | | $ 200,008 |
Series 2024-HOU, Class E, 9.72% (1 mo. Term SOFR + 4.39%), 06/15/2039(a) | | | 1,000,000 | | | 1,000,035 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $12,399,957) | | | | | | 12,492,398 |
CORPORATE OBLIGATIONS — 4.6%
|
Basic Materials — 0.2%
|
Cleveland-Cliffs, Inc., 6.75%, 04/15/2030(a) | | | 100,000 | | | 100,772 |
CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, 06/15/2028(a) | | | 100,000 | | | 96,673 |
Mercer International, Inc., 5.13%, 02/01/2029 | | | 100,000 | | | 84,938 |
Methanex Corp., 5.25%, 12/15/2029 | | | 100,000 | | | 97,259 |
NOVA Chemicals Corp., 8.50%, 11/15/2028(a) | | | 100,000 | | | 106,104 |
| | | 485,746 |
Communications — 0.3%
|
Cars.com, Inc., 6.38%, 11/01/2028(a) | | | 100,000 | | | 98,494 |
Comcast Corp., 6.50%, 11/15/2035 | | | 100,000 | | | 111,361 |
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.,
5.88%, 08/15/2027(a) | | | 100,000 | | | 96,434 |
Gray Television, Inc., 5.38%, 11/15/2031(a) | | | 200,000 | | | 128,354 |
Univision Communications, Inc., 6.63%, 06/01/2027(a) | | | 100,000 | | | 99,550 |
| | | 534,193 |
Consumer, Cyclical — 0.5%
|
American Axle & Manufacturing, Inc., 5.00%, 10/01/2029 | | | 100,000 | | | 91,718 |
Caesars Entertainment, Inc., 6.50%, 02/15/2032(a) | | | 100,000 | | | 101,282 |
Carnival Corp., 6.00%, 05/01/2029(a) | | | 100,000 | | | 99,828 |
General Motors Financial Co., Inc., 6.10%, 01/07/2034 | | | 100,000 | | | 102,674 |
LCM Investments Holdings LLC, 8.25%, 08/01/2031(a) | | | 100,000 | | | 104,933 |
Lithia Motors, Inc., 3.88%, 06/01/2029(a) | | | 100,000 | | | 90,897 |
NCL Corp. Ltd., 8.38%, 02/01/2028(a) | | | 300,000 | | | 315,912 |
STL Holding Co. LLC, 8.75%, 02/15/2029(a) | | | 100,000 | | | 104,083 |
| | | 1,011,327 |
Consumer, Non-cyclical — 0.8%
|
Ashtead Capital, Inc., 5.95%, 10/15/2033(a) | | | 200,000 | | | 204,885 |
B&G Foods, Inc., 8.00%, 09/15/2028(a) | | | 200,000 | | | 204,018 |
Bio-Rad Laboratories, Inc., 3.70%, 03/15/2032 | | | 100,000 | | | 90,846 |
Brown-Forman Corp., 4.00%, 04/15/2038 | | | 100,000 | | | 89,724 |
Bunge Ltd. Finance Corp., 2.75%, 05/14/2031 | | | 100,000 | | | 87,492 |
GE HealthCare Technologies, Inc., 5.91%, 11/22/2032 | | | 100,000 | | | 105,020 |
J M Smucker Co., 6.20%, 11/15/2033 | | | 100,000 | | | 107,663 |
JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl,
6.75%, 03/15/2034(a) | | | 93,000 | | | 99,623 |
Keurig Dr Pepper, Inc., 5.30%, 03/15/2034 | | | 100,000 | | | 101,404 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Consumer, Non-cyclical — (Continued)
|
Medline Borrower LP, 5.25%, 10/01/2029(a) | | | $ 100,000 | | | $ 96,630 |
Philip Morris International, Inc., 5.25%, 02/13/2034 | | | 100,000 | | | 100,473 |
Royalty Pharma PLC, 3.30%, 09/02/2040 | | | 100,000 | | | 74,137 |
Simmons Foods, Inc., 4.63%, 03/01/2029(a) | | | 100,000 | | | 90,139 |
US Foods, Inc., 7.25%, 01/15/2032(a) | | | 100,000 | | | 104,706 |
VT Topco, Inc., 8.50%, 08/15/2030(a) | | | 100,000 | | | 105,883 |
Zimmer Biomet Holdings, Inc., 2.60%, 11/24/2031 | | | 100,000 | | | 85,398 |
| | | 1,748,041 |
Diversified — 0.1%
|
Stena International SA, 7.25%, 01/15/2031(a) | | | 200,000 | | | 204,796 |
Energy — 0.6%
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.,
6.63%, 02/01/2032(a) | | | 50,000 | | | 51,044 |
Archrock Partners LP/Archrock Partners Finance Corp.,
6.88%, 04/01/2027(a) | | | 100,000 | | | 100,449 |
Calumet Specialty Products Partners LP/Calumet Finance Corp.,
9.75%, 07/15/2028(a) | | | 100,000 | | | 91,789 |
Continental Resources, Inc., 5.75%, 01/15/2031(a) | | | 100,000 | | | 100,468 |
Encino Acquisition Partners Holdings LLC
|
8.50%, 05/01/2028(a) | | | 100,000 | | | 102,514 |
8.75%, 05/01/2031(a) | | | 100,000 | | | 105,127 |
Energy Transfer LP, 7.38%, 02/01/2031(a) | | | 100,000 | | | 105,636 |
Enviva Partners LP/Enviva Partners Finance Corp.,
6.50%, 01/15/2026(a)(f) | | | 150,000 | | | 66,750 |
Genesis Energy LP/Genesis Energy Finance Corp.,
8.25%, 01/15/2029 | | | 50,000 | | | 52,042 |
Greenfire Resources Ltd., 12.00%, 10/01/2028(a) | | | 40,000 | | | 42,977 |
New Fortress Energy, Inc., 6.50%, 09/30/2026(a) | | | 200,000 | | | 185,871 |
Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029(a) | | | 100,000 | | | 96,206 |
SunCoke Energy, Inc., 4.88%, 06/30/2029(a) | | | 100,000 | | | 91,471 |
Venture Global LNG, Inc., 8.38%, 06/01/2031(a) | | | 100,000 | | | 104,979 |
| | | 1,297,323 |
Financial — 1.3%
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust,
3.00%, 10/29/2028 | | | 150,000 | | | 138,429 |
American Express Co., 5.04% to 05/01/2033 then SOFR +
1.84%, 05/01/2034 | | | 100,000 | | | 99,878 |
Avolon Holdings Funding Ltd., 5.75%, 11/15/2029(a) | | | 100,000 | | | 101,538 |
Bank of America Corp., 2.48% to 09/21/2031 then 5 yr. CMT Rate + 1.20%, 09/21/2036 | | | 100,000 | | | 81,727 |
Capital One Financial Corp., 5.82% to 02/01/2033 then SOFR +
2.60%, 02/01/2034 | | | 100,000 | | | 100,762 |
Enact Holdings, Inc., 6.25%, 05/28/2029 | | | 100,000 | | | 101,532 |
Freedom Mortgage Holdings LLC, 9.25%, 02/01/2029(a) | | | 50,000 | | | 50,394 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Financial — (Continued)
|
GGAM Finance Ltd.
|
8.00%, 02/15/2027(a) | | | $ 100,000 | | | $ 103,445 |
6.88%, 04/15/2029(a) | | | 100,000 | | | 102,494 |
goeasy Ltd., 7.63%, 07/01/2029(a) | | | 100,000 | | | 102,357 |
Goldman Sachs Group, Inc., 3.10% to 02/24/2032 then SOFR +
1.41%, 02/24/2033 | | | 100,000 | | | 87,115 |
HAT Holdings I LLC/HAT Holdings II LLC, 3.75%, 09/15/2030(a) | | | 100,000 | | | 87,826 |
Jefferson Capital Holdings LLC, 9.50%, 02/15/2029(a) | | | 50,000 | | | 52,502 |
JPMorgan Chase & Co., 6.25% to 10/23/2033 then SOFR +
1.81%, 10/23/2034 | | | 100,000 | | | 107,848 |
LPL Holdings, Inc., 4.00%, 03/15/2029(a) | | | 100,000 | | | 93,980 |
Macquarie Airfinance Holdings Ltd.
|
8.13%, 03/30/2029(a) | | | 100,000 | | | 105,886 |
6.50%, 03/26/2031(a) | | | 100,000 | | | 103,853 |
Morgan Stanley, 5.95% to 01/19/2033 then 5 yr. CMT Rate +
2.43%, 01/19/2038 | | | 100,000 | | | 101,870 |
OneMain Finance Corp., 5.38%, 11/15/2029 | | | 100,000 | | | 96,028 |
Panther Escrow Issuer LLC, 7.13%, 06/01/2031(a) | | | 150,000 | | | 154,019 |
PennyMac Financial Services, Inc., 5.75%, 09/15/2031(a) | | | 125,000 | | | 119,539 |
PRA Group, Inc., 5.00%, 10/01/2029(a) | | | 100,000 | | | 88,925 |
RHP Hotel Properties LP / RHP Finance Corp., 6.50%, 04/01/2032(a) | | | 100,000 | | | 101,193 |
StoneX Group, Inc., 7.88%, 03/01/2031(a) | | | 100,000 | | | 104,152 |
UBS Group AG, 5.70% to 02/08/2034 then 1 yr. CMT Rate +
1.77%, 02/08/2035(a) | | | 200,000 | | | 204,008 |
United Wholesale Mortgage LLC, 5.50%, 04/15/2029(a) | | | 100,000 | | | 96,555 |
Wells Fargo & Co., 5.56% to 07/25/2033 then SOFR +
1.99%, 07/25/2034 | | | 100,000 | | | 101,956 |
| | | 2,789,811 |
Industrial — 0.7%
|
Builders FirstSource, Inc., 6.38%, 03/01/2034(a) | | | 100,000 | | | 100,973 |
Burlington Northern Santa Fe LLC, 4.13%, 06/15/2047 | | | 100,000 | | | 84,598 |
Cargo Aircraft Management, Inc., 4.75%, 02/01/2028(a) | | | 100,000 | | | 94,090 |
Coherent Corp., 5.00%, 12/15/2029(a) | | | 100,000 | | | 95,467 |
CSX Corp., 6.15%, 05/01/2037 | | | 100,000 | | | 109,611 |
EquipmentShare.com, Inc., 8.63%, 05/15/2032(a) | | | 100,000 | | | 103,958 |
Fortress Transportation and Infrastructure Investors LLC,
7.88%, 12/01/2030(a) | | | 100,000 | | | 106,075 |
Genesee & Wyoming, Inc., 6.25%, 04/15/2032(a) | | | 100,000 | | | 101,374 |
Great Lakes Dredge & Dock Corp., 5.25%, 06/01/2029(a) | | | 100,000 | | | 90,186 |
MasTec, Inc., 4.50%, 08/15/2028(a) | | | 100,000 | | | 96,684 |
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031(a) | | | 50,000 | | | 49,386 |
Reworld Holding Corp., 4.88%, 12/01/2029(a) | | | 200,000 | | | 183,151 |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028(a) | | | 200,000 | | | 198,309 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
CORPORATE OBLIGATIONS — (Continued)
|
Industrial — (Continued)
|
Summit Materials LLC/Summit Materials Finance Corp.,
7.25%, 01/15/2031(a) | | | $ 50,000 | | | $ 52,169 |
XPO, Inc., 7.13%, 06/01/2031(a) | | | 100,000 | | | 103,246 |
| | | 1,569,277 |
Technology — 0.0%(g)
|
IBM International Capital Pte Ltd., 4.90%, 02/05/2034 | | | 100,000 | | | 99,233 |
Utilities — 0.1%
|
Pike Corp., 8.63%, 01/31/2031(a) | | | 50,000 | | | 53,836 |
Vistra Operations Co. LLC, 7.75%, 10/15/2031(a) | | | 50,000 | | | 52,782 |
| | | 106,618 |
TOTAL CORPORATE OBLIGATIONS
(Cost $9,625,502) | | | | | | 9,846,365 |
COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY — 2.5%
| | | | | | |
Federal Home Loan Mortgage Corp.
|
Series K-157, Class A2, 4.20%, 05/25/2033 | | | 2,500,000 | | | 2,448,433 |
Series K-158, Class A2, 4.05%, 07/25/2033 | | | 2,000,000 | | | 1,936,036 |
Series K-160, Class A2, 4.50%, 08/25/2033(b) | | | 1,000,000 | | | 1,000,269 |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY
(Cost $5,358,051) | | | | | | 5,384,738 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER — 1.5%
| | | | | | |
Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B2, 9.05% (30 day avg SOFR US + 3.70%), 02/25/2044(a) | | | 1,000,000 | | | 1,036,875 |
Federal Home Loan Mortgage Corp.
|
Series 2019-3, Class M, 4.75%, 10/25/2058(b) | | | 293,462 | | | 285,070 |
Series 2021-HQA1, Class B2, 10.35% (30 day avg SOFR
US + 5.00%), 08/25/2033(a) | | | 250,000 | | | 273,750 |
Series 2022-DNA2, Class M1B, 7.75% (30 day avg SOFR
US + 2.40%), 02/25/2042(a) | | | 500,000 | | | 514,392 |
Series 2022-DNA3, Class M1B, 8.25% (30 day avg SOFR
US + 2.90%), 04/25/2042(a) | | | 500,000 | | | 521,119 |
Series 2022-HQA3, Class M1B, 8.90% (30 day avg SOFR
US + 3.55%), 08/25/2042(a) | | | 500,000 | | | 529,276 |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES -
U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER
(Cost $2,959,035) | | | | | | 3,160,482 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Investments
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
SHORT-TERM INVESTMENTS — 2.4%
|
Money Market Funds — 2.4%
|
First American Government Obligations Fund - Class U, 5.25%(h) | | | 5,039,072 | | | $ 5,039,072 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $5,039,072) | | | | | | 5,039,072 |
TOTAL INVESTMENTS — 106.0%
(Cost $221,543,838) | | | | | | 225,781,678 |
Liabilities in Excess of Other Assets — (6.0%) | | | | | | (12,845,545) |
TOTAL NET ASSETS — 100.0% | | | | | | $ 212,936,133 |
| | | | | | | |
Percentages are stated as a percent of net assets.
CMT - Constant Maturity Treasury Rate
SOFR - Secured Overnight Financing Rate
(a)
| Security is exempt 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. As of July 31, 2024, the value of these securities total $168,483,078 or 79.1% of the Fund’s net assets. |
(b)
| Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of July 31, 2024. |
(c)
| Step coupon bond. The rate disclosed is as of July 31, 2024. |
(d)
| Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(e)
| Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. As of July 31, 2024, the value of these securities total $2,035,283 or 1.0% of the Fund’s net assets. |
(f)
| Issuer is currently in default. |
(g)
| Represents less than 0.05% of net assets. |
(h)
| The rate shown represents the 7-day effective yield as of July 31, 2024. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Schedule of Open Futures Contracts
July 31, 2024 (Unaudited)
| | | | | | | | | | | | | |
U.S. Treasury 10 Year Notes | | | 5 | | | 09/19/2024 | | | $559,063 | | | $14,396 |
U.S. Treasury 5 Year Note | | | 68 | | | 09/30/2024 | | | 7,336,562 | | | 67,105 |
US 3 Year Notes | | | 17 | | | 09/30/2024 | | | 3,567,742 | | | 41,378 |
Total Unrealized Appreciation (Depreciation) | | | $ 122,879 |
| | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Statements of Assets and Liabilities
July 31, 2024 (Unaudited)
| | | | | | | |
Assets
| | | | | | |
Investments in unaffiliated securities at fair value* | | | $2,810,713,610 | | | $437,694,820 |
Investments in affiliated securities at fair value* | | | 66,046,011 | | | — |
Cash | | | 1,823,425 | | | — |
Deposit at broker for TBA agreements | | | 844,000 | | | — |
Dividends and interest receivable | | | 15,009,379 | | | 980,866 |
Receivable for Fund shares sold | | | 4,480,040 | | | 384,181 |
Deposit at broker for futures* | | | 250,132 | | | 237,214 |
Deposit at broker for swaps* | | | 18,002,241 | | | — |
Receivable for investments sold | | | 3,840,893 | | | — |
Appreciation on swaps | | | 379,963 | | | — |
Prepaid expenses | | | 101,733 | | | 49,631 |
Total assets | | | 2,921,491,427 | | | 439,346,712 |
Liabilities
| | | | | | |
Payable for investments purchased | | | 149,848,902 | | | 7,584,837 |
Payable for credit agreements | | | 100,000,000 | | | — |
Net swap premiums received | | | 10,754,203 | | | — |
Payable for distributions to shareholders | | | 5,238,031 | | | 417,268 |
Payable for Fund shares redeemed | | | 4,362,186 | | | 1,012,129 |
Payable to Adviser | | | 1,905,372 | | | 70,337 |
Interest payable for credit agreements | | | 679,014 | | | — |
Interest payable for swaps | | | 88,889 | | | — |
Payable to administrator, fund accountant, and transfer agent | | | 331,907 | | | 65,802 |
12b-1 fees accrued | | | 117,618 | | | 14,668 |
Payable to custodian | | | 38,470 | | | 6,058 |
Other accrued expenses | | | 179,904 | | | 50,667 |
Total liabilities | | | 273,544,496 | | | 9,221,766 |
Net Assets | | | $2,647,946,931 | | | $430,124,946 |
Net Assets consist of:
| | | | | | |
Paid-in capital | | | $4,584,431,424 | | | $485,872,000 |
Total distributable earnings (accumulated deficit) | | | (1,936,484,493) | | | (55,747,054) |
Net assets | | | $2,647,946,931 | | | $430,124,946 |
Class A:
| | | | | | |
Net assets | | | $176,315,633 | | | $25,154,984 |
Shares outstanding (unlimited number of shares authorized, no par value) | | | 20,353,739 | | | 2,558,473 |
Net asset value (“NAV”) per share | | | $8.66 | | | $9.83 |
Offering price per share (NAV/0.9775)(b) | | | $8.86 | | | $9.83 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Statements of Assets and Liabilities
July 31, 2024 (Unaudited)(Continued)
| | | | | | | |
Class C:
| | | | | | |
Net assets | | | $31,701,997 | | | $— |
Shares outstanding (unlimited number of shares authorized, no par value) | | | 3,702,494 | | | — |
NAV and offering price per share | | | $8.56 | | | $— |
Minimum redemption price per share (NAV*0.99)(c) | | | $8.47 | | | $— |
Institutional Class:
| | | | | | |
Net assets | | | $2,439,929,301 | | | $404,401,338 |
Shares outstanding (unlimited number of shares authorized, no par value) | | | 282,539,758 | | | 41,140,786 |
Net asset value (“NAV”) and offering price per share | | | $8.64 | | | $9.83 |
Class A1:
| | | | | | |
Net assets | | | $— | | | $568,624 |
Shares outstanding (unlimited number of shares authorized, no par value) | | | — | | | 57,949 |
Net asset value (“NAV”) per share | | | $— | | | $9.81 |
Offering price per share (NAV/0.985)(d) | | | $— | | | $9.96 |
Minimum redemption price per share (NAV*0.995)(e) | | | $— | | | $9.76 |
*Identified Cost:
| | | | | | |
Investments in unaffiliated securities | | | $3,132,602,956 | | | $444,999,722 |
Investments in affiliated securities | | | 72,902,217 | | | — |
Required margin held as collateral for futures contracts | | | — | | | 258,025 |
Required margin held as collateral for swaps | | | 5,596,988 | | | — |
| | | | | | | |
(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.
TABLE OF CONTENTS
Statements of Assets and Liabilities
July 31, 2024 (Unaudited)(Continued)
| | | | | | | | | | | | | |
Assets
| | | | | | | | | | | | |
Investments in securities at fair value* | | | $86,393,377 | | | $72,916,334 | | | $489,069,261 | | | $225,781,678 |
Receivable for investments sold | | | 5,912 | | | 990,362 | | | 69,616 | | | — |
Dividends and interest receivable | | | 1,185,282 | | | 251,693 | | | 2,070,621 | | | 1,054,101 |
Deposit at broker for futures* | | | — | | | 689,805 | | | — | | | 391,491 |
Receivable for fund shares sold | | | — | | | — | | | 3,261,050 | | | — |
Total assets | | | 87,584,571 | | | 74,848,194 | | | 494,470,548 | | | 227,227,270 |
Liabilities
| | | | | | | | | | | | |
Payable for investments purchased | | | 500,844 | | | 5,319,303 | | | 10,968,307 | | | 12,783,943 |
Payable for distributions to shareholders | | | 505,085 | | | 329,401 | | | 2,584,189 | | | 1,365,699 |
Payable to Adviser | | | 39,002 | | | 27,698 | | | 113,477 | | | 141,495 |
Total liabilities | | | 1,044,931 | | | 5,676,402 | | | 13,665,973 | | | 14,291,137 |
Net Assets | | | $86,539,640 | | | $69,171,792 | | | $480,804,575 | | | $212,936,133 |
Net Assets consist of:
| | | | | | | | | | | | |
Paid-in capital | | | $92,961,755 | | | $74,023,907 | | | $478,700,228 | | | $208,325,815 |
Total distributable earnings (accumulated deficit) | | | (6,422,115) | | | (4,852,115) | | | 2,104,347 | | | 4,610,318 |
Net assets | | | $86,539,640 | | | $69,171,792 | | | $480,804,575 | | | $212,936,133 |
Shares outstanding (unlimited number of shares authorized, no par value) | | | 7,885,384 | | | 8,031,336 | | | 9,436,000 | | | 10,270,000 |
Net asset value (“NAV”) and offering price per share | | | $10.97 | | | $8.61 | | | $50.95 | | | $20.73 |
*Identified Cost:
| | | | | | | | | | | | |
Investments in securities | | | $87,970,453 | | | $72,893,741 | | | $487,133,390 | | | $221,543,838 |
Required margin held as collateral for futures contracts | | | — | | | 295,800 | | | — | | | 127,300 |
| | | | | | | | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak High Yield Opportunities Fund was reorganized into the Angel Oak High Yield Opportunities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
(b)
| Effective as of the close of business on February 16, 2024, the Angel Oak Total Return Bond Fund was reorganized into the Angel Oak Mortgage-Backed Securities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Statements of Operations
For the Period Ended July 31, 2024 (Unaudited)
| | | | | | | |
Investment Income
| | | | | | |
Interest | | | $99,491,936 | | | $12,373,890 |
Swap income | | | 449,429 | | | — |
Dividends from unaffiliated investments | | | 1,474,880 | | | — |
Dividends from affiliated investments | | | 2,496,928 | | | 6,890 |
Total Investment Income | | | 103,913,173 | | | 12,380,780 |
Expenses
| | | | | | |
Investment advisory (See Note 5) | | | 11,573,570 | | | 974,533 |
Interest expense | | | 6,724,906 | | | 78 |
Fund accounting | | | 490,192 | | | 87,344 |
12b-1 - Class A | | | 180,423 | | | 30,853 |
12b-1 - Class A1 | | | — | | | 683 |
12b-1 - Class C | | | 162,810 | | | — |
Legal | | | 243,585 | | | 47,011 |
Administration | | | 227,298 | | | 49,239 |
Transfer agent | | | 220,124 | | | 47,219 |
Trustee | | | 122,766 | | | 34,875 |
Custodian | | | 89,712 | | | 15,946 |
Printing | | | 83,589 | | | 11,626 |
Registration | | | 71,468 | | | 34,377 |
Audit & tax | | | 56,588 | | | 18,685 |
Insurance | | | 22,002 | | | 4,174 |
Compliance | | | 5,650 | | | 5,650 |
Miscellaneous | | | 24,142 | | | 8,997 |
Total expenses | | | 20,298,825 | | | 1,371,290 |
Fees contractually waived by adviser (See Note 5) | | | (358,694) | | | (564,479) |
Net expenses | | | 19,940,131 | | | 806,811 |
Net investment income (loss) | | | 83,973,042 | | | 11,573,969 |
Realized and Unrealized Gain (Loss) on Investments
| | | | | | |
Net realized gain (loss) from:
| | | | | | |
Unaffiliated securities | | | (69,795,407) | | | (4,034,985) |
Affiliated securities | | | (7,821,665) | | | 78,604 |
Future contracts | | | (10,816,978) | | | 262,397 |
Swaps | | | (2,442,855) | | | — |
Net change in unrealized appreciation/depreciation on:
| | | | | | |
Unaffiliated investments | | | 121,475,485 | | | 7,077,286 |
Affiliated investments | | | 9,534,187 | | | (62,786) |
Future contracts | | | (1,457,875) | | | 737,543 |
Swaps | | | 1,936,563 | | | — |
Net realized and unrealized gain (loss) on investments | | | 40,611,455 | | | 4,058,059 |
Net increase (decrease) in net assets resulting from operations | | | $124,584,497 | | | $15,632,028 |
| | | | | | | |
(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.
TABLE OF CONTENTS
Statements of Operations
For the Period Ended July 31, 2024 (Unaudited)(Continued)
| | | | | | | | | | | | | |
Investment Income
| | | | | | | | | | | | |
Interest | | | $2,786,353 | | | $1,244,871 | | | $11,910,464 | | | $6,828,441 |
Dividends | | | 19,202 | | | — | | | — | | | — |
Total Investment Income | | | 2,805,555 | | | 1,244,871 | | | 11,910,464 | | | 6,828,441 |
Expenses
| | | | | | | | | | | | |
Investment advisory (See Note 5) | | | 213,667 | | | 164,539 | | | 1,020,930 | | | 880,701 |
Registration | | | 19,470 | | | 14,190 | | | — | | | — |
Trustee | | | 5,144 | | | 4,767 | | | — | | | — |
Fund accounting | | | 2,350 | | | 704 | | | — | | | — |
Transfer agent | | | 1,605 | | | 613 | | | — | | | — |
Administration | | | 1,526 | | | 1,152 | | | — | | | — |
Insurance | | | 784 | | | 384 | | | — | | | — |
Compliance | | | 603 | | | 602 | | | — | | | — |
Custodian | | | 184 | | | 247 | | | — | | | — |
Audit & tax | | | 90 | | | 1 | | | — | | | — |
Legal | | | 6 | | | — | | | — | | | — |
Printing | | | — | | | 45 | | | — | | | — |
Total expenses | | | 245,429 | | | 187,244 | | | 1,020,930 | | | 880,701 |
Fees contractually waived by adviser (See Note 5) | | | (31,637) | | | (83,162) | | | (482,622) | | | (177,919) |
Net Expenses | | | 213,792 | | | 104,082 | | | 538,308 | | | 702,782 |
Net investment income (loss) | | | 2,591,763 | | | 1,140,789 | | | 11,372,156 | | | 6,125,659 |
Realized and Unrealized Gain (Loss) on Investments
| | | | | | | | | | | | |
Net realized gain (loss) from:
| | | | | | | | | | | | |
Investments | | | 580,443 | | | (808,622) | | | 186,456 | | | 577,484 |
Future contracts | | | — | | | 172,640 | | | — | | | (478,529) |
Net change in unrealized appreciation/
depreciation on:
| | | | | | | | | | | | |
Investments | | | 379,234 | | | 1,843,450 | | | 1,070,463 | | | 2,728,646 |
Future contracts | | | — | | | 52,863 | | | — | | | (61,861) |
Net Realized and Unrealized Gain (Loss) on Investments | | | 959,677 | | | 1,260,331 | | | 1,256,91 | | | 2,765,740 |
Net increase (decrease) in net assets resulting from operations | | | $3,551,440 | | | $2,401,120 | | | $12,629,075 | | | $8,891,399 |
| | | | | | | | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak High Yield Opportunities Fund was reorganized into the Angel Oak High Yield Opportunities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
(b)
| Effective as of the close of business on February 16, 2024, the Angel Oak Total Return Bond Fund was reorganized into the Angel Oak Mortgage-Backed Securities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Multi-Strategy Income Fund
Consolidated Statement of Cash Flows(a)
For the Period Ended July 31, 2024 (Unaudited)
| | | | |
CASH FLOWS FROM OPERATING ACTIVITIES:
| | | |
Net increase (decrease) in net assets resulting from operations | | | $124,584,497 |
Net adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities:
| | | |
Net amortization and accretion of premium and discount on investments and other cost adjustments | | | (2,650,851) |
Net realized paydown gains on mortgage-backed and other asset-backed
securities | | | (5,002,165) |
Purchases of short-term investments, net | | | 71,950,357 |
Purchases of investments | | | (608,510,818) |
Proceeds from sales of long-term investments | | | 725,329,166 |
Net realized gain (loss) on investments | | | 77,617,072 |
Net change in unrealized appreciation/depreciation on investments | | | (131,009,672) |
Net change in unrealized appreciation/depreciation on swaps | | | (1,936,563) |
Change in:
| | | |
Dividends and interest receivable | | | 81,150 |
Receivable for investments sold | | | (3,713,460) |
Prepaid expenses | | | (23,819) |
Payable for investments purchased | | | 15,896,007 |
Net swap premiums received | | | 9,222,130 |
Payable to Adviser | | | (66,787) |
Interest payable for reverse repurchase agreements | | | (850,491) |
Interest payable for credit agreements | | | 1,097 |
Interest payable for swaps | | | 88,889 |
Payable to administrator, fund accountant and transfer agent | | | 15,287 |
12b-1 fees accrued | | | 60,725 |
Payable to custodian | | | 11,171 |
Other accrued expenses | | | (32,981) |
Net cash provided by (used in) operating activities | | | 271,059,941 |
CASH FLOWS FROM FINANCING ACTIVITIES:
| | | |
Proceeds from shares sold | | | 407,484,873 |
Payment on shares redeemed | | | (546,166,123) |
Distributions paid to shareholders | | | (28,957,801) |
Repayments of reverse repurchase agreements | | | (100,000,000) |
Net cash provided by (used in) financing activities | | | (267,639,051) |
Net change in cash | | | 3,420,890 |
CASH AND RESTRICTED CASH:
| | | |
Beginning Balance | | | 17,498,908 |
Ending Balance | | | $20,919,798 |
| | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Multi-Strategy Income Fund
Consolidated Statement of Cash Flows(a)
For the Period Ended July 31, 2024 (Unaudited)(Continued)
| | | | |
SUPPLEMENTAL DISCLOSURES:
| | | |
Cash paid for interest | | | $ 7,574,300 |
Cash held in money market investments | | | 26,183,887 |
Non-cash financing activities - distributions reinvested | | | 49,307,074 |
Non-cash financing activities - (increase) decrease in receivable for fund shares sold | | | 8,961,937 |
Non-cash financing activities - increase (decrease) in payable for fund shares redeemed | | | (618,689) |
Redemption in-kind on investment in Affiliate (See Note 7) | | | 37,077,751 |
Investments acquired in-kind on redemption from Affiliate (See Note 7)(b) | | | (37,077,751) |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES:
| | | |
Cash | | | $1,049,849 |
Deposit at broker for futures | | | 10,508,351 |
Deposit at broker for swaps | | | 5,940,708 |
| | | $17,498,908 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES:
| | | |
Cash | | | $1,823,425 |
Deposit at broker for futures | | | 250,132 |
Deposit at broker for TBA agreements | | | 844,000 |
Deposit at broker for swaps | | | 18,002,241 |
| | | $20,919,798 |
| | | | |
(a)
| Statement has been consolidated. See Note 1 in the notes to Financial Statements for basis of consolidation. |
(b)
| Includes accrued interest. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $83,973,042 | | | $167,188,725 |
Net realized gain (loss) on investment transactions, futures contracts, and swaps | | | (90,876,905) | | | (290,914,899) |
Net change in unrealized appreciation/depreciation on investments, futures contracts, and swaps | | | 131,488,360 | | | 243,386,890 |
Net increase (decrease) in net assets resulting from operations | | | 124,584,497 | | | 119,660,716 |
Distributions to Shareholders
| | | | | | |
Distributions, Class A | | | (4,232,769) | | | (8,663,468) |
Distributions, Class C | | | (837,385) | | | (2,013,962) |
Distributions, Institutional Class | | | (74,012,601) | | | (155,093,358) |
Total distributions to shareholders | | | (79,082,755) | | | (165,770,788) |
Capital Transactions - Class A
| | | | | | |
Proceeds from shares sold | | | 58,751,250 | | | 62,489,650 |
Reinvestment of distributions | | | 3,149,151 | | | 6,685,554 |
Amount paid for shares redeemed | | | (21,954,351) | | | (83,609,939) |
Total Class A | | | 39,946,050 | | | (14,434,735) |
Capital Transactions - Class C
| | | | | | |
Proceeds from shares sold | | | 3,373,298 | | | 5,272,450 |
Reinvestment of distributions | | | 636,031 | | | 1,527,290 |
Amount paid for shares redeemed | | | (6,726,533) | | | (18,650,945) |
Total Class C | | | (2,717,204) | | | (11,851,205) |
Capital Transactions - Institutional Class
| | | | | | |
Proceeds from shares sold | | | 336,398,388 | | | 1,249,214,994 |
Reinvestment of distributions | | | 45,521,892 | | | 98,937,578 |
Amount paid for shares redeemed | | | (516,866,550) | | | (1,566,519,847) |
Total Institutional Class | | | (134,946,270) | | | (218,367,275) |
Net increase (decrease) in net assets resulting from capital transactions | | | (97,717,424) | | | (244,653,215) |
Total Increase (Decrease) in Net Assets | | | (52,215,682) | | | (290,763,287) |
Net Assets
| | | | | | |
Beginning of year or period | | | 2,700,162,613 | | | 2,990,925,900 |
End of year or period | | | $2,647,946,931 | | | $2,700,162,613 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund
Consolidated Statements of Changes in Net Assets(Continued)
| | | | | | | |
Share Transactions - Class A
| | | | | | |
Shares sold | | | $ 6,911,999 | | | $ 7,334,402 |
Shares issued in reinvestment of distributions | | | 369,454 | | | 791,122 |
Shares redeemed | | | (2,580,312) | | | (9,898,493) |
Total Class A | | | 4,701,141 | | | (1,772,969) |
Share Transactions - Class C
| | | | | | |
Shares sold | | | 400,611 | | | 631,091 |
Shares issued in reinvestment of distributions | | | 75,511 | | | 182,689 |
Shares redeemed | | | (799,678) | | | (2,232,397) |
Total Class C | | | (323,556) | | | (1,418,617) |
Share Transactions - Institutional Class
| | | | | | |
Shares sold | | | 39,572,655 | | | 148,159,905 |
Shares issued in reinvestment of distributions | | | 5,358,409 | | | 11,737,922 |
Shares redeemed | | | (60,998,463) | | | (185,702,659) |
Total Institutional Class | | | (16,067,399) | | | (25,804,832) |
Net increase (decrease) in share transactions | | | (11,689,814) | | | (28,996,418) |
| | | | | | | |
(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.
TABLE OF CONTENTS
Angel Oak Ultra Short Income Fund
Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $11,573,969 | | | $25,357,370 |
Net realized gain (loss) on investment transactions and futures contracts | | | (3,693,984) | | | (6,342,890) |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | 7,752,043 | | | 15,841,326 |
Net increase (decrease) in net assets resulting from operations | | | 15,632,028 | | | 34,855,806 |
Distributions to Shareholders
| | | | | | |
Distributions, Class A | | | (602,294) | | | (1,252,472) |
Distributions, Class A1 | | | (13,408) | | | (22,825) |
Distributions, Institutional Class | | | (10,734,628) | | | (24,186,151) |
Total distributions to shareholders | | | (11,350,330) | | | (25,461,448) |
Capital Transactions - Class A
| | | | | | |
Proceeds from shares sold | | | 6,130,205 | | | 8,093,958 |
Reinvestment of distributions | | | 584,097 | | | 1,180,682 |
Amount paid for shares redeemed | | | (7,236,969) | | | (23,866,513) |
Total Class A | | | (522,667) | | | (14,591,873) |
Capital Transactions - Class A1
| | | | | | |
Proceeds from shares sold | | | 9,925 | | | — |
Reinvestment of distributions | | | 13,483 | | | 22,751 |
Amount paid for shares redeemed | | | (5,832) | | | — |
Total Class A1 | | | 17,576 | | | 22,751 |
Capital Transactions - Institutional Class
| | | | | | |
Proceeds from shares sold | | | 64,992,597 | | | 141,780,964 |
Reinvestment of distributions | | | 8,481,366 | | | 18,256,473 |
Amount paid for shares redeemed | | | (102,010,212) | | | (393,875,353) |
Total Institutional Class | | | (28,536,249) | | | (233,837,916) |
Net increase (decrease) in net assets resulting from capital transactions | | | (29,041,340) | | | (248,407,038) |
Total Increase (Decrease) in Net Assets | | | (24,759,642) | | | (239,012,680) |
Net Assets
| | | | | | |
Beginning of year or period | | | 454,884,588 | | | 693,897,268 |
End of year or period | | | $430,124,946 | | | $454,884,588 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Ultra Short Income Fund
Statements of Changes in Net Assets (Continued)
| | | | | | | |
Share Transactions - Class A
| | | | | | |
Shares sold | | | $ 626,210 | | | $ 840,206 |
Shares issued in reinvestment of distributions | | | 59,688 | | | 122,668 |
Shares redeemed | | | (739,919) | | | (2,484,848) |
Total Class A | | | (54,021) | | | (1,521,974) |
Share Transactions - Class A1
| | | | | | |
Shares sold | | | 1,021 | | | — |
Shares issued in reinvestment of distributions | | | 1,373 | | | 2,367 |
Shares redeemed | | | (600) | | | — |
Total Class A1 | | | 1,794 | | | 2,367 |
Share Transactions - Institutional Class
| | | | | | |
Shares sold | | | 6,647,522 | | | 14,741,368 |
Shares issued in reinvestment of distributions | | | 867,014 | | | 1,897,493 |
Shares redeemed | | | (10,428,080) | | | (40,969,679) |
Total Institutional Class | | | (2,913,544) | | | (24,330,818) |
Net increase (decrease) in share transactions | | | (2,965,771) | | | (25,850,425) |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF(a)
Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $2,591,763 | | | $4,560,038 |
Net realized gain (loss) on investment transactions | | | 580,443 | | | (906,713) |
Net change in unrealized appreciation/depreciation on
investments | | | 379,234 | | | 2,689,612 |
Net increase (decrease) in net assets resulting from operations | | | 3,551,440 | | | 6,342,937 |
Distributions to Shareholders
| | | | | | |
Distributions, Class A(b) | | | — | | | (185,401) |
Distributions, Institutional Class | | | — | | | (4,375,551) |
Distributions, ETF | | | (2,642,851) | | | — |
Total distributions to shareholders | | | (2,642,851) | | | (4,560,952) |
Capital Transactions - Class A
| | | | | | |
Proceeds from shares sold | | | — | | | 2,296,223 |
Reinvestment of distributions | | | — | | | 177,371 |
Amount paid for shares redeemed | | | — | | | (4,353,526) |
Amount paid for shares redeemed from exchange to Institutional Class Shares(b) | | | — | | | (1,537,901) |
Total Class A | | | — | | | (3,417,833) |
Capital Transactions - Institutional Class
| | | | | | |
Proceeds from shares sold | | | 2,301,926 | | | 17,640,919 |
Reinvestment of distributions | | | — | | | 932,312 |
Amount paid for shares redeemed | | | (445,672) | | | (9,551,521) |
Proceeds from Class A exchange(b) | | | — | | | 1,537,901 |
Total Institutional Class | | | 1,856,254 | | | 10,559,611 |
Capital Transactions - ETF
| | | | | | |
Proceeds from shares sold | | | 16,628,077 | | | — |
Amount paid for shares redeemed | | | (4,888,273) | | | — |
Total | | | 11,739,804 | | | — |
Net increase (decrease) in net assets resulting from capital transactions | | | 13,596,058 | | | 7,141,778 |
Total Increase (Decrease) in Net Assets | | | 14,504,647 | | | 8,923,763 |
Net Assets
| | | | | | |
Beginning of year or period | | | 72,034,993 | | | 63,111,230 |
End of year or period | | | $86,539,640 | | | $72,034,993 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF(a)
Statements of Changes in Net Assets (Continued)
| | | | | | | |
Share Transactions - Class A
| | | | | | |
Shares sold | | | $ — | | | $ 218,394 |
Shares issued in reinvestment of distributions | | | — | | | 16,762 |
Shares redeemed | | | — | | | (414,307) |
Shares redeemed in exchange to Institutional Class Shares(b) | | | — | | | (142,300) |
Total Class A | | | — | | | (321,451) |
Share Transactions - Institutional Class
| | | | | | |
Shares sold | | | 212,117 | | | 1,676,907 |
Shares issued in reinvestment of distributions | | | — | | | 87,883 |
Shares redeemed | | | (40,968) | | | (910,112) |
Shares issued from Class A exchange(b) | | | — | | | 142,702 |
Total Institutional Class | | | 171,149 | | | 997,380 |
Share Transactions - ETF
| | | | | | |
Shares sold | | | 1,525,001 | | | — |
Shares issued in reinvestment of distributions | | | — | | | — |
Shares redeemed | | | (450,001) | | | — |
Total | | | 1,075,000 | | | — |
Net increase (decrease) in share transactions | | | 1,246,149 | | | 675,929 |
| | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak High Yield Opportunities Fund was reorganized into the Angel Oak High Yield Opportunities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
(b)
| Effective as of the close of business on January 19, 2024, the outstanding Class A Shares of the Fund were converted to Instititutional Class Shares of the Fund. See Note 1. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF(a)
Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $1,140,789 | | | $1,504,549 |
Net realized gain (loss) on investment transactions and futures contracts | | | (635,982) | | | (1,638,228) |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | 1,896,313 | | | 857,006 |
Net increase (decrease) in net assets resulting from operations | | | 2,401,120 | | | 723,327 |
Distributions to Shareholders
| | | | | | |
Distributions, Institutional Class | | | — | | | (1,506,825) |
Distributions, ETF | | | (1,141,210) | | | — |
Total distributions to shareholders | | | (1,141,210) | | | (1,506,825) |
Capital Transactions - Institutional Class
| | | | | | |
Amount paid for shares redeemed | | | (5) | | | (3,083,415) |
Total Institutional Class | | | (5) | | | (3,083,415) |
Capital Transactions - ETF
| | | | | | |
Proceeds from shares sold | | | 36,993,138 | | | — |
Total | | | 36,993,138 | | | — |
Net increase (decrease) in net assets resulting from capital transactions | | | 36,993,133 | | | (3,083,415) |
Total Increase (Decrease) in Net Assets | | | 38,253,043 | | | (3,866,913) |
Net Assets
| | | | | | |
Beginning of year or period | | | 30,918,749 | | | 34,785,662 |
End of year or period | | | $69,171,792 | | | $30,918,749 |
Share Transactions - Institutional Class
| | | | | | |
Shares sold | | | — | | | — |
Shares issued in reinvestment of distributions | | | — | | | — |
Shares redeemed | | | (1) | | | (364,279) |
Total Institutional Class | | | (1) | | | (364,279) |
Share Transactions - ETF
| | | | | | |
Shares sold | | | 4,400,000 | | | — |
Total | | | 4,400,000 | | | — |
Net increase (decrease) in share transactions | | | 4,400,000 | | | (364,279) |
| | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak Total Return Bond Fund was reorganized into the Angel Oak Mortgage-Backed Securities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $11,372,156 | | | $5,036,613 |
Net realized gain (loss) on investment transactions | | | 186,456 | | | (40,208) |
Net change in unrealized appreciation/depreciation on
investments | | | 1,070,463 | | | 642,797 |
Net increase (decrease) in net assets resulting from operations | | | 12,629,075 | | | 5,639,202 |
Distributions to Shareholders
| | | | | | |
Distributions | | | (11,347,405) | | | (5,260,978) |
Capital Transactions
| | | | | | |
Proceeds from shares sold | | | 359,743,257 | | | 80,971,791 |
Amount paid for shares redeemed | | | (3,051,504) | | | (5,053,360) |
Net increase (decrease) in net assets resulting from capital transactions | | | 356,691,753 | | | 75,918,431 |
Total Increase (Decrease) in Net Assets | | | 357,973,423 | | | 76,296,655 |
Net Assets
| | | | | | |
Beginning of year or period | | | 122,831,152 | | | 46,534,497 |
End of year or period | | | $480,804,575 | | | $122,831,152 |
Share Transactions
| | | | | | |
Shares sold | | | 7,072,000 | | | 1,604,000 |
Shares redeemed | | | (60,000) | | | (100,000) |
Net increase (decrease) in share transactions | | | 7,012,000 | | | 1,504,000 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Income ETF
Statements of Changes in Net Assets
| | | | | | | |
Increase (Decrease) in Net Assets due to:
| | | | | | |
Operations
| | | | | | |
Net investment income (loss) | | | $6,125,659 | | | $3,783,166 |
Net realized gain (loss) on investment transactions and futures contracts | | | 98,955 | | | 107,235 |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | 2,666,785 | | | 1,404,863 |
Net increase (decrease) in net assets resulting from operations | | | 8,891,399 | | | 5,295,264 |
Distributions to Shareholders
| | | | | | |
Distributions | | | (6,126,266) | | | (3,938,223) |
Capital Transactions
| | | | | | |
Proceeds from shares sold | | | 104,305,582 | | | 76,360,921 |
Amount paid for shares redeemed | | | — | | | (5,488,843) |
Net increase (decrease) in net assets resulting from capital transactions | | | 104,305,582 | | | 70,872,078 |
Total Increase (Decrease) in Net Assets | | | 107,070,715 | | | 72,229,119 |
Net Assets
| | | | | | |
Beginning of year or period | | | 105,865,418 | | | 33,636,299 |
End of year or period | | | $212,936,133 | | | $105,865,418 |
Share Transactions
| | | | | | |
Shares sold | | | 5,110,000 | | | 3,780,000 |
Shares redeemed | | | — | | | (270,000) |
Net increase (decrease) in share transactions | | | 5,110,000 | | | 3,510,000 |
| | | | | | | |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund - Class A
Consolidated Financial Highlights(a)
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year or period | | | $8.51 | | | $8.63 | | | $10.24 | | | $10.43 | | | $11.10 | | | $11.04 |
Income from investment operations:
|
Net investment income (loss) | | | 0.26 | | | 0.49 | | | 0.48 | | | 0.47 | | | 0.46 | | | 0.50 |
Net realized and unrealized gain (loss) on investments(b) | | | 0.14 | | | (0.13) | | | (1.62) | | | (0.19) | | | (0.68) | | | 0.06 |
Total from investment operations | | | 0.40 | | | 0.36 | | | (1.14) | | | 0.28 | | | (0.22) | | | 0.56 |
Less distributions to shareholders:
|
From net investment income | | | (0.25) | | | (0.48) | | | (0.47) | | | (0.47) | | | (0.45) | | | (0.50) |
Total distributions | | | (0.25) | | | (0.48) | | | (0.47) | | | (0.47) | | | (0.45) | | | (0.50) |
Net asset value, end of year or period | | | $8.66 | | | $8.51 | | | $8.63 | | | $10.24 | | | $10.43 | | | $11.10 |
Total return(c)(d) | | | 4.76% | | | 4.38% | | | −11.28% | | | 2.71% | | | −1.76% | | | 5.08% |
Ratios and Supplemental Data:
| | | | | | | | | | | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $176,316 | | | $133,198 | | | $150,450 | | | $335,439 | | | $396,711 | | | $496,114 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(e) | | | 1.78% | | | 2.13% | | | 1.79% | | | 1.29% | | | 1.40% | | | 1.37% |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment excluding interest
expense(e) | | | 1.26% | | | 1.26% | | | 1.23% | | | 1.20% | | | 1.21% | | | 1.20% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(e) | | | 1.76% | | | 2.11% | | | 1.77% | | | 1.28% | | | 1.38% | | | 1.36% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense(e) | | | 1.24% | | | 1.24% | | | 1.21% | | | 1.19% | | | 1.19% | | | 1.19% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(e) | | | 6.25% | | | 5.78% | | | 4.83% | | | 4.42% | | | 4.41% | | | 4.46% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(e) | | | 6.27% | | | 5.80% | | | 4.85% | | | 4.43% | | | 4.43% | | | 4.47% |
Portfolio turnover rate(d) | | | 22% | | | 32% | | | 14% | | | 56% | | | 67% | | | 63% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation. |
(b)
| Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period. |
(c)
| Total return does not include the effect of sales charges. |
(d)
| Not annualized for periods less than one year. |
(e)
| Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund - Class C
Consolidated Financial Highlights(a)
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year or period | | | $8.41 | | | $8.54 | | | $10.13 | | | $10.34 | | | $11.00 | | | $10.95 |
Income from investment operations:
|
Net investment income (loss) | | | 0.24 | | | 0.43 | | | 0.39 | | | 0.38 | | | 0.37 | | | 0.41 |
Net realized and unrealized gain (loss) on investments(b) | | | 0.13 | | | (0.14) | | | (1.58) | | | (0.20) | | | (0.66) | | | 0.06 |
Total from investment operations | | | 0.37 | | | 0.29 | | | (1.19) | | | 0.18 | | | (0.29) | | | 0.47 |
Less distributions to shareholders:
|
From net investment income | | | (0.22) | | | (0.42) | | | (0.40) | | | (0.39) | | | (0.37) | | | (0.42) |
Total distributions | | | (0.22) | | | (0.42) | | | (0.40) | | | (0.39) | | | (0.37) | | | (0.42) |
Net asset value, end of year or period | | | $8.56 | | | $8.41 | | | $8.54 | | | $10.13 | | | $10.34 | | | $11.00 |
Total return(c)(d) | | | 4.42% | | | 3.51% | | | −11.88% | | | 1.78% | | | −2.41% | | | 4.27% |
Ratios and Supplemental Data:
| | | | | | | | | | | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $31,702 | | | $33,868 | | | $46,512 | | | $71,445 | | | $87,743 | | | $116,328 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(e) | | | 2.53% | | | 2.88% | | | 2.54% | | | 2.04% | | | 2.15% | | | 2.12% |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment excluding interest expense(e) | | | 2.01% | | | 2.01% | | | 1.98% | | | 1.95% | | | 1.96% | | | 1.95% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(e) | | | 2.51% | | | 2.86% | | | 2.52% | | | 2.03% | | | 2.13% | | | 2.11% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense(e) | | | 1.99% | | | 1.99% | | | 1.96% | | | 1.94% | | | 1.94% | | | 1.94% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(e) | | | 5.45% | | | 5.03% | | | 4.17% | | | 3.69% | | | 3.67% | | | 3.70% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(e) | | | 5.47% | | | 5.05% | | | 4.19% | | | 3.70% | | | 3.69% | | | 3.71% |
Portfolio turnover rate(d) | | | 22% | | | 32% | | | 14% | | | 56% | | | 67% | | | 63% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation. |
(b)
| Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period. |
(c)
| Total return does not include the effect of sales charges. |
(d)
| Not annualized for periods less than one year. |
(e)
| Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak Multi-Strategy Income Fund - Institutional Class
Consolidated Financial Highlights(a)
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year or period | | | $8.48 | | | $8.61 | | | $10.21 | | | $10.41 | | | $11.08 | | | $11.02 |
Income from investment operations:
|
Net investment income (loss) | | | 0.28 | | | 0.51 | | | 0.49 | | | 0.49 | | | 0.48 | | | 0.53 |
Net realized and unrealized gain (loss) on investments(b) | | | 0.14 | | | (0.14) | | | (1.59) | | | (0.19) | | | (0.68) | | | 0.06 |
Total from investment operations | | | 0.42 | | | 0.37 | | | (1.10) | | | 0.30 | | | (0.20) | | | 0.59 |
Less distributions to shareholders:
|
From net investment income | | | (0.26) | | | (0.50) | | | (0.50) | | | (0.50) | | | (0.47) | | | (0.53) |
Total distributions | | | (0.26) | | | (0.50) | | | (0.50) | | | (0.50) | | | (0.47) | | | (0.53) |
Net asset value, end of year or period | | | $8.64 | | | $8.48 | | | $8.61 | | | $10.21 | | | $10.41 | | | $11.08 |
Total return(c) | | | 5.02% | | | 4.54% | | | −10.98% | | | 2.87% | | | −1.60% | | | 5.45% |
Ratios and Supplemental Data:
|
Net assets, end of year or period (000’s omitted) | | | $2,439,929 | | | $2,533,096 | | | $2,793,964 | | | $6,820,115 | | | $5,927,510 | | | $7,153,385 |
Ratio of expenses to average net assets before waiver and reimbursement/recoupment(d) | | | 1.53% | | | 1.88% | | | 1.54% | | | 1.04% | | | 1.15% | | | 1.12% |
Ratio of expenses to average net assets before waiver and reimbursement/recoupment excluding interest expense(d) | | | 1.01% | | | 1.01% | | | 0.98% | | | 0.95% | | | 0.96% | | | 0.95% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(d) | | | 1.51% | | | 1.86% | | | 1.52% | | | 1.03% | | | 1.13% | | | 1.11% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment excluding interest expense(d) | | | 0.99% | | | 0.99% | | | 0.96% | | | 0.94% | | | 0.94% | | | 0.94% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/
recoupment(d) | | | 6.45% | | | 6.01% | | | 5.03% | | | 4.69% | | | 4.65% | | | 4.70% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/
recoupment(d) | | | 6.47% | | | 6.03% | | | 5.05% | | | 4.70% | | | 4.67% | | | 4.71% |
Portfolio turnover rate(c) | | | 22% | | | 32% | | | 14% | | | 56% | | | 67% | | | 63% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Financial Highlights have been consolidated. See Note 1 in the Notes to Financial Statements for basis of consolidation. |
(b)
| Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period. |
(c)
| Not annualized for periods less than one year. |
(d)
| Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund - Class A
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year or period | | | $9.74 | | | $9.56 | | | $10.00 | | | $10.08 | | | $10.12 | | | $10.02 |
Income from investment operations:
|
Net investment income (loss) | | | 0.24 | | | 0.36 | | | 0.12 | | | 0.08 | | | 0.19 | | | 0.29 |
Net realized and unrealized gain (loss) on investments(a) | | | 0.09 | | | 0.24 | | | (0.36) | | | (0.05) | | | (0.04) | | | 0.10 |
Total from investment operations | | | 0.33 | | | 0.60 | | | (0.24) | | | 0.03 | | | 0.15 | | | 0.39 |
Less distributions to shareholders:
|
From net investment income | | | (0.24) | | | (0.42) | | | (0.20) | | | (0.11) | | | (0.19) | | | (0.29) |
Total distributions | | | (0.24) | | | (0.42) | | | (0.20) | | | (0.11) | | | (0.19) | | | (0.29) |
Net asset value, end of year or period | | | $9.83 | | | $9.74 | | | $9.56 | | | $10.00 | | | $10.08 | | | $10.12 |
Total return(b) | | | 3.40% | | | 6.36% | | | −2.42% | | | 0.27% | | | 1.52% | | | 3.92% |
Ratios and Supplemental Data:
|
Net assets, end of year or period (000’s omitted) | | | $25,155 | | | $25,439 | | | $39,536 | | | $171,328 | | | $66,366 | | | $51,529 |
Ratio of expenses to average net assets before waiver and reimbursement/recoupment(c) | | | 0.85% | | | 0.84% | | | 0.79% | | | 0.78% | | | 0.79% | | | 0.84% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(c) | | | 0.60% | | | 0.60% | | | 0.60% | | | 0.56% | | | 0.51% | | | 0.50% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(c) | | | 4.74% | | | 4.01% | | | 1.51% | | | 0.56% | | | 1.45% | | | 2.22% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(c) | | | 4.99% | | | 4.25% | | | 1.70% | | | 0.78% | | | 1.73% | | | 2.56% |
Portfolio turnover rate(b) | | | 42% | | | 46% | | | 31% | | | 92% | | | 81% | | | 156% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period. |
(b)
| Not annualized for periods less than one year. |
(c)
| Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund - Class A1
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
|
Net asset value, beginning of year or period | | | $9.72 | | | $9.55 | | | $9.70 |
Income from investment operations:
| | | | | | | | | |
Net investment income (loss) | | | 0.24 | | | 0.42 | | | 0.13 |
Net realized and unrealized gain (loss) on investments(b) | | | 0.09 | | | 0.17 | | | (0.14) |
Total from investment operations | | | 0.33 | | | 0.59 | | | (0.01) |
Less distributions to shareholders:
| | | | | | | | | |
From net investment income | | | (0.24) | | | (0.42) | | | (0.14) |
Total distributions | | | (0.24) | | | (0.42) | | | (0.14) |
Net asset value, end of year or period | | | $9.81 | | | $9.72 | | | $9.55 |
Total return(c)(d) | | | 3.41% | | | 6.27% | | | −0.25% |
Ratios and Supplemental Data:
| | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $569 | | | $546 | | | $513 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(e) | | | 0.85% | | | 0.84% | | | 0.79% |
Ratio of expenses to average net assets after waiver and reimbursement/
recoupment(e) | | | 0.60% | | | 0.60% | | | 0.60% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(e) | | | 4.75% | | | 4.08% | | | 2.32% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(e) | | | 5.00% | | | 4.32% | | | 2.51% |
Portfolio turnover rate(c) | | | 42% | | | 46% | | | 31%(f) |
| | | | | | | | | | |
(a)
| Class commenced operations on July 12, 2022.
|
(b)
| Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.
|
(c)
| Not annualized for periods less than one year.
|
(d)
| Total return does not include the effect of sales charges.
|
(e)
| Annualized for periods less than one year.
|
(f)
| Figure presented represents turnover for the Fund as a whole for the entire fiscal period. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income Fund - Institutional Class
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
|
Net asset value, beginning of year or
period | | | $9.74 | | | $9.56 | | | $10.01 | | | $10.09 | | | $10.12 | | | $10.02 |
Income from investment operations:
| | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.25 | | | 0.40 | | | 0.19 | | | 0.11 | | | 0.21 | | | 0.31 |
Net realized and unrealized gain (loss) on investments(a) | | | 0.09 | | | 0.22 | | | (0.41) | | | (0.06) | | | (0.03) | | | 0.10 |
Total from investment operations | | | 0.34 | | | 0.62 | | | (0.22) | | | 0.05 | | | 0.18 | | | 0.41 |
Less distributions to shareholders:
| | | | | | | | | | | | | | | |
From net investment income | | | (0.25) | | | (0.44) | | | (0.23) | | | (0.13) | | | (0.21) | | | (0.31) |
Total distributions | | | (0.25) | | | (0.44) | | | (0.23) | | | (0.13) | | | (0.21) | | | (0.31) |
Net asset value, end of year or period | | | $9.83 | | | $9.74 | | | $9.56 | | | $10.01 | | | $10.09 | | | $10.12 |
Total return(b) | | | 3.64% | | | 6.64% | | | −2.24% | | | 0.51% | | | 1.87% | | | 4.16% |
Ratios and Supplemental Data:
| | | | | | | | | | | | | | | | | | |
Net assets, end of year or period
(000’s omitted) | | | $404,401 | | | $428,899 | | | $653,848 | | | $1,492,542 | | | $796,407 | | | $357,303 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(c) | | | 0.60% | | | 0.59% | | | 0.54% | | | 0.53% | | | 0.54% | | | 0.59% |
Ratio of expenses to average net assets after waiver and reimbursement/
recoupment(c) | | | 0.35% | | | 0.35% | | | 0.35% | | | 0.31% | | | 0.26% | | | 0.25% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(c) | | | 4.99% | | | 4.27% | | | 1.82% | | | 0.82% | | | 1.67% | | | 2.58% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(c) | | | 5.24% | | | 4.51% | | | 2.01% | | | 1.04% | | | 1.95% | | | 2.92% |
Portfolio turnover rate(b) | | | 42% | | | 46% | | | 31% | | | 92% | | | 81% | | | 156% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Net realized and unrealized gain (loss) per share includes balancing amounts necessary to reconcile the change in net asset value per share for the year, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year.
|
(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.
TABLE OF CONTENTS
Angel Oak High Yield Opportunities ETF(a)
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year or period | | | $10.85 | | | $10.58 | | | $11.54 | | | $11.73 | | | $11.71 | | | $11.35 |
Income from investment operations:
| | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.36(b) | | | 0.72 | | | 0.60 | | | 0.60 | | | 0.63 | | | 0.67 |
Net realized and unrealized gain (loss) on investments(c) | | | 0.12 | | | 0.27 | | | (0.95) | | | (0.18) | | | 0.01 | | | 0.36 |
Total from investment operations | | | 0.48 | | | 0.99 | | | (0.35) | | | 0.42 | | | 0.64 | | | 1.03 |
Less distributions to shareholders:
| | | | | | | | | | | | | | | |
From net investment income | | | (0.36) | | | (0.72) | | | (0.61) | | | (0.61) | | | (0.62) | | | (0.67) |
Total distributions | | | (0.36) | | | (0.72) | | | (0.61) | | | (0.61) | | | (0.62) | | | (0.67) |
Net asset value, end of year or period | | | $10.97 | | | $10.85 | | | $10.58 | | | $11.54 | | | $11.73 | | | $11.71 |
Total return on net asset value(d) | | | 4.57%(e) | | | 9.77% | | | −2.89% | | | 3.62% | | | 5.97% | | | 9.28% |
Total return on market value(d) | | | 4.86%(f) | | | N/A | | | N/A | | | N/A | | | N/A | | | N/A |
Ratios and Supplemental Data:
| | | | | | | | | | | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $86,540 | | | $72,035 | | | $59,694 | | | $69,503 | | | $68,245 | | | $64,797 |
Ratio of expenses to average net assets before waiver and reimbursement/recoupment(g) | | | 0.63% | | | 0.93% | | | 0.98% | | | 0.89% | | | 0.89% | | | 0.89% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(g) | | | 0.55% | | | 0.55% | | | 0.64% | | | 0.65% | | | 0.65% | | | 0.65% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(g) | | | 6.59% | | | 6.48% | | | 5.30% | | | 4.86% | | | 5.41% | | | 5.52% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(g) | | | 6.67% | | | 6.86% | | | 5.64% | | | 5.10% | | | 5.65% | | | 5.76% |
Portfolio turnover rate(d) | | | 20% | | | 20% | | | 33% | | | 38% | | | 58% | | | 36% |
| | | | | | | | | | | | | | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak High Yield Opportunities Fund was reorganized into the Angel Oak High Yield Opportunities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1.
|
(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 includes balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.
|
(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 year or 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.
TABLE OF CONTENTS
Angel Oak Mortgage-Backed Securities ETF(a)
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
|
Net asset value, beginning of year or period | | | $8.51 | | | $8.71 | | | $9.77 | | | $10.00 |
Income from investment operations:
| | | | | | | | | |
Net investment income (loss) | | | 0.22(c) | | | 0.38 | | | 0.24 | | | 0.09 |
Net realized and unrealized gain (loss) on investments(d) | | | 0.08 | | | (0.20) | | | (1.05) | | | (0.22) |
Total from investment operations | | | 0.30 | | | 0.18 | | | (0.81) | | | (0.13) |
Less distributions to shareholders:
| | | | | | | | | |
From net investment income | | | (0.20) | | | (0.38) | | | (0.25) | | | (0.10) |
Total distributions | | | (0.20) | | | (0.38) | | | (0.25) | | | (0.10) |
Net asset value, end of year or period | | | $8.61 | | | $8.51 | | | $8.71 | | | $9.77 |
Total return on net asset value(e) | | | 3.64%(f) | | | 2.24% | | | −8.32% | | | −1.28% |
Total return on market value(e) | | | 3.61%(g) | | | N/A | | | N/A | | | N/A |
Ratios and Supplemental Data:
| | | | | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $69,171,792 | | | $30,919 | | | $34,786 | | | $39,133 |
Ratio of expenses to average net assets before waiver and reimbursement/recoupment(h) | | | 0.87% | | | 1.10% | | | 1.17% | | | 0.97% |
Ratio of expenses to average net assets after waiver and reimbursement/recoupment(h) | | | 0.49% | | | 0.44% | | | 0.58% | | | 0.59% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(h) | | | 4.94% | | | 3.87% | | | 2.08% | | | 1.06% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment (h) | | | 5.33% | | | 4.53% | | | 2.67% | | | 1.44% |
Portfolio turnover rate(e) | | | 86% | | | 60% | | | 53% | | | 22% |
| | | | | | | | | | | | | |
(a)
| Effective as of the close of business on February 16, 2024, the Angel Oak Total Return Bond Fund was reorganized into the Angel Oak Mortgage-Backed Securities ETF pursuant to an Agreement and Plan of Reorganization. See Note 1.
|
(b)
| Fund commenced operations on June 4, 2021.
|
(c)
| Net investment income/(loss) per share has been calculated based on average shares outstanding during the period.
|
(d)
| Net realized and unrealized gain (loss) per share may include balancing amounts necessary to reconcile the change in net asset value per share for the year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.
|
(e)
| Not annualized for periods less than one year.
|
(f)
| 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 year or period. Dividends and distributions are assumed to be reinvested.
|
(g)
| 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.
|
(h)
| Annualized for periods less than one year. |
See accompanying notes which are an integral part of these financial statements.
TABLE OF CONTENTS
Angel Oak UltraShort Income ETF
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
|
Net asset value, beginning of year or period | | | $50.67 | | | $50.58 | | | $50.00 |
Income from investment operations:
| | | | | | | | | |
Net investment income (loss)(b) | | | 1.55 | | | 3.16 | | | 0.69 |
Net realized and unrealized gain (loss) on investments(c) | | | 0.10 | | | 0.15 | | | 0.27 |
Total from investment operations | | | 1.65 | | | 3.31 | | | 0.96 |
Less distributions to shareholders:
| | | | | | | | | |
From net investment income | | | (1.37) | | | (3.19) | | | (0.38) |
From net realized gain | | | — | | | (0.03) | | | — |
Total distributions | | | (1.37) | | | (3.22) | | | (0.38) |
Net asset value, end of year or period | | | $50.95 | | | $50.67 | | | $50.58 |
Total return on net asset value(d)(e) | | | 3.29% | | | 6.78% | | | 1.92% |
Total return on market value(d)(f) | | | 3.40% | | | 6.84% | | | 1.90% |
Ratios and Supplemental Data:
| | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $480,805 | | | $122,831 | | | $46,534 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(g) | | | 0.55% | | | 0.55% | | | 0.55% |
Ratio of expenses to average net assets after waiver and reimbursement/
recoupment(g) | | | 0.29% | | | 0.29% | | | 0.29% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(g) | | | 5.87% | | | 6.00% | | | 4.80% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(g) | | | 6.13% | | | 6.26% | | | 5.06% |
Portfolio turnover rate(d) | | | 53% | | | 75% | | | 23% |
| | | | | | | | | | |
(a)
| Fund commenced operations on October 24, 2022.
|
(b)
| Net investment income/(loss) per share has been calculated based on average shares outstanding during the year or 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 year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.
(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 year or 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.
TABLE OF CONTENTS
Angel Oak Income ETF
Financial Highlights
(For a share outstanding during each year or period)
| | | | | | | |
Selected Per Share Data:
| | | | | | | | | |
Net asset value, beginning of year or period | | | $20.52 | | | $20.39 | | | $20.00 |
Income from investment operations:
| | | | | | | | | |
Net investment income (loss)(b) | | | 0.70 | | | 1.40 | | | 0.26 |
Net realized and unrealized gain (loss) on investments(c) | | | 0.16 | | | 0.15 | | | 0.23 |
Total from investment operations | | | 0.86 | | | 1.55 | | | 0.49 |
Less distributions to shareholders:
| | | | | | | | | |
From net investment income | | | (0.65) | | | (1.41) | | | (0.10) |
From net realized gain | | | — | | | (1.00) | | | — |
Total distributions | | | (0.65) | | | (1.42) | | | (0.10) |
Net asset value, end of year or period | | | $20.73 | | | $20.52 | | | $20.39 |
Total return on net asset value(d)(e) | | | 4.32% | | | 7.95% | | | 2.41% |
Total return on market value(d)(f) | | | 4.90% | | | 7.61% | | | 2.49% |
Ratios and Supplemental Data:
| | | | | | | | | |
Net assets, end of year or period (000’s omitted) | | | $212,936 | | | $105,865 | | | $33,636 |
Ratio of expenses to average net assets before waiver and reimbursement/
recoupment(g) | | | 0.99% | | | 0.99% | | | 0.99% |
Ratio of expenses to average net assets after waiver and reimbursement/
recoupment(g) | | | 0.79% | | | 0.79% | | | 0.79% |
Ratio of net investment income (loss) to average net assets before waiver and reimbursement/recoupment(g) | | | 6.69% | | | 6.71% | | | 5.44% |
Ratio of net investment income (loss) to average net assets after waiver and reimbursement/recoupment(g) | | | 6.89% | | | 6.91% | | | 5.64% |
Portfolio turnover rate(d) | | | 55% | | | 43% | | | 59% |
| | | | | | | | | | |
(a)
| Fund commenced operations on November 7, 2022.
|
(b)
| Net investment income/(loss) per share has been calculated based on average shares outstanding during the year or 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 year or period, and may not reconcile with the aggregate gain/(loss) in the Statements of Operations due to share transactions for the year or period.
(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 year or 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.
TABLE OF CONTENTS
Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)
NOTE 1. ORGANIZATION
Angel Oak Funds Trust (the “Trust”) is a Delaware statutory trust organized on June 20, 2014, and registered with the U.S. Securities and Exchange Commission as an open-end management investment company, as defined in the Investment Company Act of 1940 as amended (the “1940 Act”). The Trust consists of six series, Angel Oak Multi-Strategy Income Fund (the “Multi- Strategy Income Fund”), Angel Oak UltraShort Income Fund (the “UltraShort Income Fund”), Angel Oak High Yield Opportunities ETF (performance successor to the Angel Oak High Yield Opportunities Fund) (the “High Yield Opportunities ETF”), Angel Oak Mortgage-Backed Securities (performance successor to the Angel Oak Total Return Bond Fund) (the “Mortgage-Backed Securities ETF”), 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:
| | | | | | | | | | | | | | | | | | | |
Multi-Strategy Income Fund
|
Class A | | | ANGLX | | | | | | 06/28/2011 | | | 2.25% | | | N/A | | | 0.25% |
Class C | | | ANGCX | | | Current Income | | | 08/04/2015 | | | N/A | | | 1.00% | | | 1.00% |
Institutional Class | | | ANGIX | | | | | | 08/16/2012 | | | N/A | | | N/A | | | N/A |
UltraShort Income Fund
|
Class A | | | AOUAX | | | Current Income, Minimize | | | 04/30/2018 | | | N/A | | | N/A | | | 0.25% |
Class A1 | | | AOUNX | | | Price Volatility, and | | | 07/22/2022 | | | 1.50% | | | 0.50% | | | 0.25% |
Institutional Class | | | AOUIX | | | Maintain Liquidity | | | 04/02/2018 | | | N/A | | | N/A | | | N/A |
High Yield Opportunities ETF
|
| | | AOHY | | | Current Income & Capital
Appreciation | | | 03/31/2009 | | | N/A | | | N/A | | | N/A |
Mortgage-Backed Securities ETF
|
| | | MBS | | | Total Return | | | 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, UltraShort Income Fund, and High Yield Opportunities ETF are diversified series of the Trust. The Mortgage-Backed Securities ETF, 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.
Effective as of the close of business on January 19, 2024 (the “Conversion Date”), the outstanding Class A Shares of the Angel Oak High Yield Opportunities Fund were converted into Institutional Class Shares of the Fund. The conversion was completed based on the share classes’ relative net asset values on the Conversion Date, without the imposition of any fees or expenses. The following table illustrates the specifics of the conversion:
| | | | | | | | | | | | | | | | | | | |
Institutional Class | | | $69,860,859 | | | 6,482,406 | | | $10.7770 | | | $71,398,760 | | | 6,625,108 | | | 1.00283 |
Class A | | | $1,537,901 | | | 142,300 | | | $10.8075 | | | — | | | — | | | — |
| | | | | | | | | | | | | | | | | | | |
TABLE OF CONTENTS
Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
Effective as of the close of business on February 16, 2024, each Fund identified in the table below as a Target Fund was reorganized into an ETF through the reorganization of the Target Fund into its corresponding Acquiring ETF identified in the table below, pursuant to an Agreement and Plan of Reorganization, which was approved by the Board on December 6, 2023 (each, a “Reorganization”). Shareholder approval was not required to effect the Reorganization for the Angel Oak High Yield Opportunities Fund. However, due to the increase in advisory fees and 12b-1 fees with respect to the Angel Oak Total Return Bond Fund as a result of the Reorganization, shareholder approval was required for the Angel Oak Total Return Bond, in which the Fund’s sole shareholder approved the Reorganization by written consent. The Acquiring ETFs, each a series of the Trust, were established as “shell” funds, organized solely in connection with the Reorganizations for the purpose of acquiring the assets and liabilities of the corresponding Target Funds and continuing the operations of the Target Funds as ETFs. The Acquiring ETFs had no performance history prior to the Reorganizations. Following the Reorganizations, each Target Fund’s performance (Institutional Class Shares) and financial history were adopted by the respective Acquiring ETF.
| | | | |
Angel Oak High Yield Opportunities Fund
(the “Target High Yield Fund”) | | | Angel Oak High Yield Opportunities ETF
(the “Acquiring High Yield ETF”) |
Angel Oak Total Return Bond Fund
(the “Target Total Return Bond Fund”) | | | Angel Oak Mortgage-Backed Securities ETF (the “Acquiring MBS ETF”) |
| | | | |
Each Reorganization was accomplished by a tax-free exchange of shares (with an exception for fractional mutual fund shares) of the Acquiring ETFs for shares of the Target Funds of equivalent aggregate net asset value as noted below:
| | | | | | | | | | | | | |
Target High Yield Fund | | | 6,810,384 | | | $74,002,591 | | | $10.87 | | | ($2,390,998) |
Target Total Return Bond Fund | | | 3,631,336 | | | $30,502,641 | | | $8.40 | | | ($1,872,216) |
| | | | | | | | | | | | | |
Fees and expenses incurred to effect the Reorganizations were borne by the Adviser. The management fee of the Acquiring High Yield ETF is 0.55%, which is the same as the management fee of the Target High Yield Fund. The management fee of the Acquiring MBS ETF is 0.79%, which is higher than the management fee of 0.50% for the Target Total Return Bond Fund. The Acquiring High Yield ETF has experienced the same overall operating expenses as compared to its corresponding Target Fund after the applicable Target Fund fee waiver, because the Acquiring High Yield ETF has a unitary fee structure pursuant to which the Adviser has agreed to pay the operating expenses with only limited exceptions. However, the overall expenses of the Acquiring MBS ETF after the applicable fee waiver are higher compared to its corresponding Target Fund after the applicable Target Fund fee waiver.
The Reorganizations did not result in a material change to the Target Funds’ investment portfolios as compared to those of the Acquiring ETFs. There are no material differences in accounting policies of the Target Funds as compared to those of the Acquiring ETFs. The Acquiring ETFs did not purchase or sell securities following the Reorganizations for purposes of realigning its investment portfolio.
The High Yield Opportunities ETF, Mortgage-Backed Securities ETF, 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, Inc. (“NYSE Arca”) (“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 ETFs will issue and redeem shares on a continuous basis at NAV only in large blocks of shares called “Creation Units”. The table below summarizes the number of shares typically issued or redeemed in each Creation Unit.
| | | | |
High Yield Opportunities ETF | | | 25,000 |
Mortgage-Backed Securities ETF | | | 25,000 |
UltraShort Income ETF | | | 4,000 |
Income ETF | | | 10,000 |
| | | | |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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 Helios Loan Funding Trust (“Helios”), each a statutory trust organized under the laws of the state of Delaware and incorporated on August 2, 2018, and May 20, 2024, respectively. Hyperion acts as an investment vehicle 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. Helios acts an investment vehicle in order to purchase residential home equity lines of credit (“HELOCs”). The allocation of the Multi-Strategy Income Fund’s investments, if any, in Hyperion and Helios will vary over time.
On July 31, 2024, investments in Hyperion and Helios represented 0.22% and 0.53%, respectively, of the total net assets of the Multi-Strategy Income Fund.
The consolidated financial statements of the Multi-Strategy Income Fund include the investment activity and financial statements of Hyperion and Helios. 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 subsidiary, 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 subsidiary.
At July 31, 2024, investments held by Hyperion and Helios included whole loans and HELOCs, respectively, valued at $5,699,268 and $13,968,873, respectively. In addition, Hyperion and Helios held $1,759,193 and $64,232 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, Financial Services-Investment Companies.
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
TABLE OF CONTENTS
Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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”), mortgage-backed securities (“MBS”), collateralized loan obligations (“CLOs”), corporate obligations, and whole loans 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, cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information may be utilized. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable; the values generally would be categorized as Level 3.
Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price. If, on a particular day, an exchange-listed or Nasdaq security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite Market (defined below) for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter (“OTC”) markets as published by a pricing service. In the event market quotations or Composite Market pricing are not readily available, fair value will be determined in accordance with the procedures adopted by the Board of Trustees (“Board”). All equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the OTC 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
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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.
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. OTC financial derivative instruments, such as certain futures contracts or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Derivatives that use similar valuation techniques as described above are typically categorized as Level 2 of the fair value hierarchy.
Securities may be fair valued in accordance with the fair valuation procedures approved by the Board. The Valuation and Risk Management Oversight Committee is generally responsible for overseeing the Funds’ valuation processes and reports quarterly to the Board. The Board has selected Angel Oak Capital Advisors, LLC (the “Adviser”) as the Valuation Designee. As such, the Valuation Committee of the Adviser has been delegated the day-to-day responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed to be unreliable indicators of market or fair value. Representatives of the Valuation Designee’s Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.
The following is a summary of the investments by their inputs used to value each Fund’s net assets as of July 31, 2024:
| |
Assets
| | | | | | | | | | | | |
Residential Mortgage-Backed Securities | | | $— | | | $1,427,262,302 | | | $10,001 | | | $1,427,272,303 |
Residential Mortgage-Backed Securities – U.S. Government Agency | | | — | | | 457,728,300 | | | — | | | 457,728,300 |
Asset-Backed Securities | | | — | | | 339,666,767 | | | — | | | 339,666,767 |
Collateralized Loan Obligations | | | — | | | 226,659,187 | | | — | | | 226,659,187 |
Corporate Obligations | | | — | | | 123,636,973 | | | 1,172,200 | | | 124,809,173 |
Commercial Mortgage-Backed Securities | | | — | | | 113,848,827 | | | — | | | 113,848,827 |
Affiliated Exchange Traded Funds | | | 66,046,011 | | | — | | | — | | | 66,046,011 |
Commercial Mortgage-Backed Securities – U.S. Government Agency | | | — | | | 49,712,557 | | | — | | | 49,712,557 |
Residential Mortgage-Backed Securities – U.S. Government Agency Credit Risk Transfer | | | — | | | 16,933,134 | | | — | | | 16,933,134 |
Common Stocks | | | 13,880,478 | | | — | | | — | | | 13,880,478 |
Preferred Stocks | | | 7,205,304 | | | — | | | — | | | 7,205,304 |
Whole Loans | | | — | | | 5,699,268 | | | — | | | 5,699,268 |
Warrants | | | — | | | 1,114,425 | | | — | | | 1,114,425 |
Short-Term Investments | | | 26,183,887 | | | — | | | — | | | 26,183,887 |
Total | | | $113,315,680 | | | $2,762,261,740 | | | $1,182,201 | | | $2,876,759,621 |
| | | | | | | | | | | | | |
TABLE OF CONTENTS
Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
| |
Other Financial Instruments
| | | | | | | | | | | | |
Assets
| | | | | | | | | | | | |
Swaps* | | | $ — | | | $379,964 | | | $ — | | | $379,964 |
| | | | | | | | | | | | | |
*
| Swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Centrally Cleared Credit Default Swaps. |
See the Consolidated Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate
|
Obligations | | | $772,200 | | | $— | | | $ — | | | $— | | | $400,000* | | | $ — | | | $ — | | | $ — | | | $1,172,200 |
Residential Mortgage- Backed Securities | | | 10,001 | | | (11,981) | | | — | | | 11,981 | | | — | | | — | | | — | | | — | | | 10,001 |
Total | | | $782,201 | | | ($11,981) | | | $— | | | $11,981 | | | $400,000 | | | $— | | | $— | | | $— | | | $1,182,201 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*
| Represents value of Level 3 securities received from in-kind redemption of the Financials Income Impact Fund on May 17, 2024. See Note 7. |
The total change in unrealized appreciation/depreciation included in the Consolidated Statement of Operations attributable to Level 3 investments still held at July 31, 2024, is $11,981.
The following is a summary of quantitative information about Level 3 Fair Value Measurements:
| | | | | | | | | | | | | | | | |
Corporate Obligations | | | $772,200 | | | Model Valuation | | | Projected cash flow
from liquidation | | | $5.72** | | | Recovery
Estimate:
5.72% |
Corporate Obligations | | | $400,000 | | | Model Valuation | | | Estimated recovery from
proposed Chapter 11
liquidation plan | | | $16.00** | | | Recovery
Estimate:
16% |
Residential Mortgage-Backed Securities | | | $10,001 | | | Model Valuation | | | Discounted value of the
call rights and underlying
collateral of security | | | $0.10-$1.00 | | | $1.00 |
| | | | | | | | | | | | | | | | |
*
| Significant increases and decreases in the unobservable inputs used to determine fair value of Level 3 assets could result in significantly higher or lower fair value measurements. An increase to the unobservable input would result in an increase to the fair value. A decrease to the unobservable input would have the opposite effect. |
**
| Each input presents information for one security and reflects the value as of July 31, 2024. |
TABLE OF CONTENTS
Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
| |
Assets
| | | | | | | | | | | | |
Asset-Backed Securities | | | $— | | | $191,491,781 | | | $ — | | | $191,491,781 |
Residential Mortgage-Backed Securities | | | — | | | 80,289,608 | | | — | | | 80,289,608 |
Collateralized Loan Obligations | | | — | | | 54,510,847 | | | — | | | 54,510,847 |
Commercial Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 46,100,712 | | | — | | | 46,100,712 |
Corporate Obligations | | | — | | | 23,403,731 | | | — | | | 23,403,731 |
Commercial Mortgage-Backed Securities | | | — | | | 12,576,462 | | | — | | | 12,576,462 |
Residential Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 5,534,932 | | | — | | | 5,534,932 |
Residential Mortgage-Backed Securities –
U.S. Government Agency Credit Risk Transfer | | | — | | | 3,619,410 | | | — | | | 3,619,410 |
Short-Term Investments | | | 15,201,162 | | | 4,966,175 | | | — | | | 20,167,337 |
Total | | | $15,201,162 | | | $422,493,658 | | | $— | | | $437,694,820 |
Other Financial Instruments
| | | | | | | | | | | | |
Assets
| | | | | | | | | | | | |
Futures Contracts* | | | $830,034 | | | $— | | | $— | | | $830,034 |
| | | | | | | | | | | | | |
*
| Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts. |
See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, the Fund did not recognize any transfers to or from Level 3.
| |
Assets
| | | | | | | | | | | | |
Corporate Obligations | | | $— | | | $58,658,309 | | | $ — | | | $58,658,309 |
Residential Mortgage-Backed Securities | | | — | | | 16,546,866 | | | — | | | 16,546,866 |
Asset-Backed Securities | | | — | | | 4,406,263 | | | — | | | 4,406,263 |
Exchange Traded Funds | | | 2,513,997 | | | — | | | — | | | 2,513,997 |
Residential Mortgage-Backed Securities –
U.S. Government Agency Credit Risk Transfer | | | — | | | 821,250 | | | — | | | 821,250 |
Short-Term Investments | | | 3,446,692 | | | — | | | — | | | 3,446,692 |
Total | | | $5,960,689 | | | $80,432,688 | | | $— | | | $86,393,377 |
| | | | | | | | | | | | | |
See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, the Fund did not recognize any transfers to or from Level 3.
| |
Assets
| | | | | | | | | | | | |
Residential Mortgage-Backed Securities | | | $ — | | | $42,622,980 | | | $ — | | | $42,622,980 |
Residential Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 22,376,759 | | | — | | | 22,376,759 |
Commercial Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 4,744,948 | | | — | | | 4,744,948 |
Asset-Backed Securities | | | — | | | 1,214,169 | | | — | | | 1,214,169 |
Corporate Obligations | | | — | | | 443,847 | | | — | | | 443,847 |
Commercial Mortgage-Backed Securities | | | — | | | 188,977 | | | — | | | 188,977 |
| | | | | | | | | | | | | |
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Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
| |
Short-Term Investments | | | $1,324,654 | | | $— | | | $— | | | $— |
Total | | | $1,324,654 | | | $71,591,680 | | | $ — | | | $72,916,334 |
Other Financial Instruments
| | | | | | | | | | | | |
Assets
| | | | | | | | | | | | |
Futures Contracts* | | | $287,954 | | | $— | | | $— | | | $287,954 |
| | | | | | | | | | | | | |
*
| Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts. |
See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, the Fund did not recognize any transfers to or from Level 3.
| |
Assets
| | | | | | | | | | | | |
Asset-Backed Securities | | | $— | | | $201,553,798 | | | $— | | | $201,553,798 |
Collateralized Loan Obligations | | | — | | | 65,574,797 | | | — | | | 65,574,797 |
Commercial Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 55,650,786 | | | — | | | 55,650,786 |
Corporate Obligations | | | — | | | 52,459,753 | | | — | | | 52,459,753 |
Residential Mortgage-Backed Securities | | | — | | | 51,120,386 | | | — | | | 51,120,386 |
Residential Mortgage-Backed Securities –
U.S. Government Agency Credit Risk Transfer | | | — | | | 23,306,465 | | | — | | | 23,306,465 |
Commercial Mortgage-Backed Securities | | | — | | | 7,628,210 | | | — | | | 7,628,210 |
Residential Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 5,637,701 | | | — | | | 5,637,701 |
Short-Term Investments | | | 21,173,056 | | | 4,964,309 | | | — | | | 26,137,365 |
Total | | | $21,173,056 | | | $467,896,205 | | | $ — | | | $489,069,261 |
| | | | | | | | | | | | | |
See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, the Fund did not recognize any transfers to or from Level 3.
| |
Assets
| | | | | | | | | | | | |
Residential Mortgage-Backed Securities | | | $— | | | $90,679,482 | | | $— | | | $90,679,482 |
Residential Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 41,477,835 | | | — | | | 41,477,835 |
Asset-Backed Securities | | | — | | | 33,769,483 | | | — | | | 33,769,483 |
Collateralized Loan Obligations | | | — | | | 23,931,823 | | | — | | | 23,931,823 |
Commercial Mortgage-Backed Securities | | | — | | | 12,492,398 | | | — | | | 12,492,398 |
Corporate Obligations | | | — | | | 9,846,365 | | | — | | | 9,846,365 |
Commercial Mortgage-Backed Securities –
U.S. Government Agency | | | — | | | 5,384,738 | | | — | | | 5,384,738 |
Residential Mortgage-Backed Securities –
U.S. Government Agency Credit Risk Transfer | | | — | | | 3,160,482 | | | — | | | 3,160,482 |
Short-Term Investments | | | 5,039,072 | | | — | | | — | | | 5,039,072 |
Total | | | $5,039,072 | | | $220,742,606 | | | $ — | | | $225,871,678 |
| | | | | | | | | | | | | |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
| |
Other Financial Instruments
| | | | | | | | | | | | |
Assets
| | | | | | | | | | | | |
Futures Contracts* | | | $122,879 | | | $ — | | | $ — | | | $122,879 |
| | | | | | | | | | | | | |
*
| Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Open Futures Contracts. |
See the Schedule of Investments for further disaggregation of investment categories. During the period ended July 31, 2024, 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.
The Funds have adopted financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended July 31, 2024, the Funds did not incur any interest or penalties. The Funds have reviewed all open tax years and major jurisdictions and concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Security Transactions and Income Recognition – Investment security transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Interest income and expense is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted or amortized using the effective yield method, based on each security’s estimated life and recoverable principal and recorded in interest income on the Statements of Operations. Dividend income and corporate transactions, if any, are recorded on the ex-date. Paydown gains and losses on mortgage-related and other ABS are recorded as components of interest income on the Statements of Operations. Payments received from certain investments held by the Funds may be comprised of dividends, capital gains and return of capital. The Funds originally estimate the expected classification of such payments. The amounts may subsequently be reclassified upon receipt of the information from the issuer. The actual character of distributions to the Funds’ shareholders will be reflected in the Form 1099 received by shareholders after the end of the calendar year.
Expenses – Expenses incurred by the Trust that do not relate to a specific Fund are allocated to the individual Funds based on each Fund’s relative net assets or another appropriate basis. Expenses attributable to any class are borne by that class. Income, realized gains and losses, unrealized appreciation and depreciation and expenses are allocated to each class based on the net assets in relation to the relative net assets of each Fund.
Dividends and Distributions – Distributions from each Fund’s net investment income are accrued daily and typically paid monthly. The Funds intend to distribute their net realized long term capital gains and their net realized short term capital gains, if any, at least annually. Distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The treatment for financial reporting purposes of distributions made to shareholders during the period from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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 ended January 31, 2024, 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.
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 | | | $26,183,887 |
UltraShort Income Fund | | | $15,201,162 |
High Yield Opportunities ETF | | | $3,446,692 |
Mortgage-Backed Securities ETF | | | $1,324,654 |
UltraShort Income ETF | | | $21,173,056 |
Income ETF | | | $5,039,072 |
| | | | |
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
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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.
NOTE 3. RISKS ASSOCIATED WITH PORTFOLIO ASSETS
Asset-Backed and Mortgage-Backed Securities and Whole Loan Risks – Prepayment risk is associated with MBS 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 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.
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
High Yield Securities – The Funds may invest in below investment grade securities. These “high-yield” securities, also known as “junk bonds,” will generally be rated BB or lower by S&P or will be of equivalent quality rating from another Nationally Recognized Statistical Ratings Organization, or if unrated, considered by the Adviser to be of comparable quality.
Structured Products – The Funds may invest in certain structured products. Normally, structured products are privately offered and sold (that is, they are not registered under the securities laws); however, an active dealer market may exist for structured products that qualify for Rule 144A transactions. The risks of an investment in a structured product depend largely on the type of the collateral securities and the class of the structured product in which the Funds invest. In addition to the normal interest rate, default and other risks of fixed-income securities, structured products carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in structured products that are subordinate to other classes, values may be volatile and disputes with the issuer may produce unexpected investment results.
Common and Preferred Stocks – The Funds may invest in common stock and preferred stock. Common stock represents an equity (ownership) interest in a company, and usually possesses voting rights and earns dividends. Dividends on common stock are not fixed but are declared at the discretion of the issuer. Common stock generally represents the riskiest investment in a company. In addition, common stock generally has the greatest appreciation and depreciation potential because increases and decreases in earnings are usually reflected in a company’s stock price. The Funds may also invest in preferred stock. Preferred stock is a 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
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
entering into a contract. The use of futures contracts involves the risk of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities, or that the counterparty will fail to perform its obligations.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contract and may realize a loss. See Note 4 for information on futures contract activity during the period ended July 31, 2024.
Swaps – The Funds may invest in credit default swaps, total return swaps, interest rate swaps, equity swaps, currency swaps and other types of swaps. During the year, the Multi-Strategy Income Fund used centrally cleared credit default swaps to hedge interest risk on its portfolio. Such transactions are subject to market risk, liquidity risk, risk of default by the other party to the transaction, known as “counterparty risk,” regulatory risk and risk of imperfect correlation between the value of such instruments and the underlying assets and may involve commissions or other costs.
A credit default swap agreement may reference one or more debt securities or obligations that are not currently held by the Funds. The Funds are permitted to enter into a credit default swap as either the protection buyer or seller in the discretion of the Adviser. When buying protection under a credit default swap, the Fund is generally obligated to pay the protection seller an upfront or periodic stream of payments over the term of the contract until a credit event occurs, such as a default of the reference obligation. If no credit event occurs, the Fund may recover nothing if the swap is held through the termination date. However, if a credit event does occur, the Fund may receive the full notional value of the swap in exchange for the face amount of the obligations underlying the swap, the value of which may have significantly decreased. When selling protection under a credit default swap, the Fund receives an upfront or periodic stream of payments over the term of the contract provided that a credit event does not occur. However, as the seller of protection, the Fund effectively adds leverage to its portfolio because it gains exposure to the notional amount of the swap. Entering into a credit default swap may subject a Fund to greater risk than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps also involve illiquidity risk, counter-party risk (for OTC swaps) and credit risk.
Swap agreements are primarily entered into by institutional investors and the value of such agreements may be extremely volatile. Certain swap agreements are traded OTC between two parties, while other more standardized swaps must be transacted through a Futures Commission Merchant and centrally cleared and exchange traded. While central clearing and exchange-trading are intended to reduce counterparty credit and liquidity risk, they do not make a swap transaction risk-free. The current regulatory environment regarding swap agreements is subject to change. The Adviser will continue to monitor these developments, particularly to the extent regulatory changes affect the Funds’ ability to enter into swap agreements. See Note 4 for information on swap activity during the period ended July 31, 2024.
To Be Announced Securities – The Funds may invest in to-be-announced securities (“TBAs”). TBAs is a term that is generally used to describe forward-settling MBS. These TBAs are generally issued by U.S. Government Agencies or U.S. Government Sponsored Entities such as Freddie Mac, Fannie Mae and Ginnie Mae. The actual mortgage-backed security that will be delivered to the buyer at the time TBA trades are entered is not known, however, the terms of the acceptable pools of loans that will comprise the mortgage-backed security are determined at the time the trade is entered into (coupon rate, maturity, credit quality, etc.). Investment in TBAs will generally increase the Funds’ exposure to interest rate risk and could also expose the Funds to counterparty default risk. In order to mitigate counterparty default risk, the Funds only enter TBAs with counterparties for which the risk of default is determined to be remote.
Macroeconomic Risks – Developments such as public health crises, armed conflict, changing interest rates, inflation, supply chain disruptions, geopolitical risks, and economic sanctions may disrupt economic markets and the prolonged economic impacts of these types of developments are uncertain. The operational and financial performance of the issuers of securities in which the Funds invest depends
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
on future developments, including the duration, spread, and conclusion of global events, and such uncertainty may in turn impact the value of the Funds’ investments.
NOTE 4. DERIVATIVE TRANSACTIONS
The value and effect of derivative instruments on the Consolidated Statement of Assets and Liabilities as of July 31, 2024, for the Multi-Strategy Income Fund was as follows:
| | | | | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Deposit at broker for futures | | | $250,132 | | | $— |
Swaps | | | Credit | | | Deposit at broker for swaps | | | $18,002,241 | | | $379,963 |
| | | | | | | | | | | | | |
*
| Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps. |
The effect of derivative instruments on the Consolidated Statement of Operations for the period ended July 31, 2024, for the Multi-Strategy Income Fund was as follows:
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net realized gain (loss)
on futures contracts | | | ($10,816,978) |
Swaps | | | Credit | | | Net realized gain (loss)
on swaps | | | ($2,442,855) |
| | | | | | | | | | |
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net change in unrealized
appreciation/depreciation
on futures contracts | | | ($1,457,875) |
Swaps | | | Credit | | | Net change in unrealized
appreciation/depreciation
on swaps | | | $1,936,563 |
| | | | | | | | | | |
The average monthly notional value of long futures contracts during the period ended July 31, 2024, was $217,282,641. The average monthly notional value of long swap contracts during the period ended July 31, 2024, was $135,714,286.
The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2024, for the UltraShort Income Fund was as follows:
| | | | | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Deposit at broker for futures | | | $237,214 | | | $830,034 |
| | | | | | | | | | | | | |
*
| Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts. |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2024, for the UltraShort Income Fund was as follows:
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net realized gain (loss)
on futures contracts | | | $262,397 |
| | | | | | | | | | |
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net change in unrealized
appreciation/depreciation
on futures contracts | | | $737,543 |
| | | | | | | | | | |
The average monthly notional value of short futures contracts during the period ended July 31, 2024, was ($72,483,660).
The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2024, for the Mortgage-Backed Securities ETF was as follows:
| | | | | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Deposit at broker for futures | | | $689,805 | | | $287,954 |
| | | | | | | | | | | | | |
*
| Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts. |
The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2024, for the Mortgage-Backed Securities ETF was as follows:
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net realized gain (loss)
on futures contracts | | | $172,640 |
| | | | | | | | | | |
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net change in unrealized
appreciation/depreciation
on futures contracts | | | $52,863 |
| | | | | | | | | | |
The average monthly notional value of long futures contracts during the period ended July 31, 2024, was $12,377,147.
The value and effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2024, for the Income ETF was as follows:
| | | | | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Deposit at broker for futures | | | $391,491 | | | $122,879 |
| | | | | | | | | | | | | |
*
| Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts. |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
The effect of derivative instruments on the Statements of Operations for the period ended July 31, 2024, for the Income ETF was as follows:
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net realized gain (loss)
on futures contracts | | | ($478,529) |
| | | | | | | | | | |
| | | | | | | | | | |
Futures Contracts | | | Interest Rate | | | Net change in unrealized
appreciation/depreciation
on futures contracts | | | ($61,861) |
| | | | | | | | | | |
The average monthly notional value of long futures contracts during the period ended July 31, 2024, was $19,278,857.
Balance Sheet Offsetting Information – During the ordinary course of business, the Funds may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Funds to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreement. Generally, the Funds manage their cash collateral and securities collateral on a counterparty basis. As of July 31, 2024, the Funds were not subject to any netting agreements.
The following table provides a summary of offsetting financial liabilities and derivatives and the effect of derivative instruments on the Statements of Assets and Liabilities as of July 31, 2024.
| |
Swaps | | | $379,963 | | | $ — | | | $379,963** | | | $ — | | | $379,963 | | | $ — |
| | | | | | | | | | | | | | | | | | | |
| |
Futures Contracts | | | $830,034 | | | $ — | | | $830,034 | | | $ — | | | $ — | | | $830,034 |
| | | | | | | | | | | | | | | | | | | |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
| |
Futures Contracts | | | $287,954 | | | $ — | | | $287,954 | | | $ — | | | $ — | | | $287,954 |
| | | | | | | | | | | | | | | | | | | |
| |
Futures Contracts | | | $122,879 | | | $ — | | | $122,879 | | | $ — | | | $ — | | | $122,879 |
| | | | | | | | | | | | | | | | | | | |
*
| The amount is limited to the net amounts of financial assets and liabilities and accordingly does not include excess collateral pledged. |
**
| Represents the value of unrealized appreciation (depreciation) as presented in the Consolidated Schedule of Centrally Cleared Credit Default Swaps, which is included in appreciation on swaps on the Consolidated Statements of Assets and Liabilities. |
***
| Represents the value of unrealized appreciation (depreciation) as presented in the Schedule of Open Futures Contracts, which is included in deposit at broker for futures on the Statements of Assets and Liabilities. |
In some instances, the actual collateral received/pledged may be more than the amounts disclosed herein.
NOTE 5. FEES AND OTHER RELATED PARTY TRANSACTIONS
Under the terms of the investment advisory agreement, on behalf of the Funds (the “Agreement”), the Adviser manages the Funds’ investments subject to oversight of the Trustees. As compensation for its management services, the Funds are obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of the average daily net assets of each Fund as follows:
| | | | |
Multi-Strategy Income Fund | | | 0.89% |
UltraShort Income Fund | | | 0.44% |
High Yield Opportunities ETF | | | 0.55% |
Mortgage-Backed Securities ETF | | | 0.79% |
UltraShort Income ETF | | | 0.55% |
Income ETF | | | 0.99% |
| | | | |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
The Adviser contractually agreed through May 31, 2025, except with respect to the Mortgage-Backed Securities ETF which has contractually agreed through September 30, 2025, to waive or limit its fees and to assume other expenses of the Funds, except the High Yield Opportunities ETF, so that the ratio of each Fund’s Total Annual Fund Operating Expenses to average net assets does not exceed the following:
| | | | |
Multi-Strategy Income Fund | | | 0.99% |
UltraShort Income Fund | | | 0.35% |
Mortgage-Backed Securities ETF | | | 0.49% |
UltraShort Income ETF | | | 0.29% |
Income ETF | | | 0.79% |
| | | | |
These operating expense limitations do not apply to front-end sales loads, taxes, interest expenses, dividend and interest expenses related to short sales, brokerage commissions, 12b-1 fees, acquired fund fees and expenses, expenses incurred in connection with any merger or reorganization, any transaction-related expenses and fees arising out of transactions effected on behalf of a Fund, litigation and potential litigation expenses, and other extraordinary expenses not incurred in the ordinary course of a Fund's business and may only be changed or eliminated by the Board of Trustees upon 60 days’ written notice to the Adviser.
The contractual waiver and/or reimbursement by the Adviser with respect to the Funds is subject to repayment by the Funds within 36 months following the month in which that particular waiver and/or reimbursement occurred, provided that the Funds are able to make the repayment without exceeding the expense limitations described above or the expense limitation in effect at the time of the reimbursement (whichever is lower). During the period ended July 31, 2024, the Adviser waived $90,599 of the Multi-Strategy Income Fund’s expenses, $563,245 of the UltraShort Income Fund’s expenses, $31,637 of the High Yield Opportunities ETF’s expenses (all of which were waived pursuant to the Target Fund’s expense limitation agreement and no longer subject to recoupment, as noted below), $83,162 of the Mortgage-Backed Securities ETF’s expenses (of which $23,752 was waived pursuant to the Target Fund’s expense limitation agreement and no longer subject to recoupment, as noted below), $482,622 of the UltraShort Income ETF’s expenses, and $177,919 of the Income ETF’s expenses. The expense limitation agreement specifically refers to amounts that are contractually waived, see Statements of Operations. The amounts subject to repayment by the Funds, pursuant to the aforementioned conditions at July 31, 2024, are included in the table below.
| | | | | | | | | | | | | | | | |
Multi-Strategy Income Fund | | | $90,599 | | | $— | | | $— | | | $— | | | $90,599 |
UltraShort Income Fund | | | $4,381,288 | | | $298,340 | | | $2,187,213 | | | $1,332,490 | | | $563,245 |
Mortgage-Backed Securities ETF | | | $59,410 | | | $— | | | $— | | | $— | | | $59,410 |
UltraShort Income ETF | | | $719,041 | | | $— | | | $27,107 | | | $209,312 | | | $482,622 |
Income ETF | | | $298,693 | | | $— | | | $11,283 | | | $109,491 | | | $177,919 |
| | | | | | | | | | | | | | | | |
As a result of the Reorganizations, the Adviser did not retain any rights to recoup fees waived or expenses reimbursed pursuant to the Target Funds’ expense limitation agreement.
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
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
to recoupment by the Adviser. This arrangement may only be changed or eliminated by the Board of Trustees upon 60 days’ written notice to the Adviser. During the period ended July 31, 2024, the Adviser waived $268,095 and $1,234 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. Each of the Funds (except for the High Yield Opportunities ETF) have adopted a Distribution Plan in accordance with Rule 12b-1 under the 1940 Act with respect to the Class A shares, Class A1 shares, Class C shares, and the ETFs, as applicable. The Distribution Plan provides that the Funds will pay a fee to the Distributor at an annual rate of up to 0.25% of the average daily net assets of Class A shares and Class A1 shares and at an annual rate of up to 1.00% of the average daily net assets of Class C shares. The Distribution Plan for the ETFs has not been activated. No distribution fees are paid by Institutional Class shares. These fees may be used by the Distributor to provide compensation for sales support, distribution activities or shareholder servicing activities.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), an indirect wholly-owned subsidiary of U.S. Bancorp, serves as the Funds’ Administrator (“Administrator”) and, in that capacity, performs various administrative and accounting services for the Funds. Fund Services also serves as the Funds’ fund accountant and transfer agent. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Funds’ custodian; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. As compensation for its services, the Administrator is entitled to a monthly fee at an annual rate based upon the average daily net assets of the Funds. U.S. Bank, N.A. (the “Custodian”) serves as custodian to the Funds.
The Funds make reimbursement payments to the Adviser for the salary associated with the Chief Compliance Officer. The compliance fees expensed by the Funds during the period ended July 31, 2024, are included in the Statements of Operations.
Certain officers, Trustees and shareholders of the Funds are also owners or employees of the Adviser.
NOTE 6. INVESTMENT TRANSACTIONS
For the period ended July 31, 2024, purchases and sales of investment securities, other than short-term investments and short-term U.S. Government securities, were as follows:
| | | | | | | |
Multi-Strategy Income Fund | | | $608,510,818 | | | $725,329,166 |
UltraShort Income Fund | | | $177,400,257 | | | $213,447,470 |
High Yield Opportunities ETF | | | $24,907,554 | | | $15,119,801 |
Mortgage-Backed Securities ETF | | | $73,958,617 | | | $38,095,983 |
UltraShort Income ETF | | | $482,267,668 | | | $172,461,432 |
Income ETF | | | $200,368,661 | | | $96,489,142 |
| | | | | | | |
For the period ended July 31, 2024, purchases and sales of long-term U.S. Government securities (included in the aggregate purchases and sales of investment securities displayed in the table above) were as follows:
| | | | | | | |
Multi-Strategy Income Fund | | | $152,569,397 | | | $128,557,061 |
UltraShort Income Fund | | | $14,702,946 | | | $13,857,362 |
High Yield Opportunities ETF | | | $— | | | $2,664,641 |
Mortgage-Backed Securities ETF | | | $41,647,723 | | | $30,797,319 |
UltraShort Income ETF | | | $92,188,591 | | | $26,557,047 |
Income ETF | | | $61,149,478 | | | $48,551,654 |
| | | | | | | |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
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.
NOTE 7. TRANSACTIONS WITH AFFILIATES
The Multi-Strategy Income Fund had the following investments in affiliates during the period ended July 31, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Financials Income Impact Fund(a) | | | $39,328,978 | | | $— | | | ($40,188,141) | | | ($7,665,209) | | | $8,524,372 | | | $— | | | — | | | $516,006 |
High Yield Opportunities ETF | | | 36,198,214 | | | — | | | (59,890) | | | (3,646) | | | 522,114 | | | 36,656,792 | | | 3,330,740 | | | 1,209,046 |
Income ETF | | | 11,907,399 | | | — | | | (11,898,363) | | | 185,212 | | | (194,248) | | | — | | | — | | | 50,879 |
Mortgage-Backed Securities ETF | | | 30,902,674 | | | 84,601 | | | (1,941,983) | | | (338,022) | | | 681,949 | | | 29,389,219 | | | 3,413,382 | | | 720,997 |
Total | | | $118,337,265 | | | $84,601 | | | ($54,088,377) | | | ($7,821,665) | | | $9,534,187 | | | $66,046,011 | | | 6,744,122 | | | $2,496,928 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
(a)
| On May 17, 2024, as the result of the planned liquidation of the Financials Income Impact Fund, which was approved by the Board on April 10, 2024, the Multi-Strategy Income Fund redeemed 5,147,772 shares of the Financials Income Impact Fund with a value of $40,188,141. The redemption was satisfied with a cash payment in the amount of $3,110,390 and an in-kind payment of securities that had a value of $37,077,751, which included accrued interest of $514,899. The Multi-Strategy Income Fund recorded a realized loss of $7,665,209 on the in-kind redemption. |
The UltraShort Income Fund had the following investments in affiliates during the period ended July 31, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | |
UltraShort Income ETF | | | $4,942,607 | | | $ — | | | ($4,958,425) | | | $78,604 | | | ($62,786) | | | $ — | | | — | | | $6,890 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
NOTE 8. BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of 25% or more of the voting securities of a fund creates a presumption of control of a fund, under Section 2(a)(9) of the 1940 Act. At July 31, 2024, the Multi-Strategy Income Fund owned, as beneficial shareholder, 42% of the outstanding shares of the High Yield Opportunities ETF, and 43% of the outstanding shares of the Mortgage-Backed Securities ETF. It is not known whether any underlying beneficial owners owned or controlled 25% or more of the voting securities of the Funds. At July 31, 2024, no shareholder held more than 25% of the outstanding shares of the Multi-Strategy Income Fund and the UltraShort Income Fund.
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
NOTE 9. FEDERAL TAX INFORMATION
The tax characterization of distributions paid for the year or period ended January 31, 2024, and January 31, 2023, were as follows:
| | | | | | | | | | |
Distributions paid from:
| | | | | | | | | | | | | | | | | | |
Ordinary Income | | | $165,770,788 | | | $251,071,959 | | | $25,461,448 | | | $24,057,135 | | | $4,560,952 | | | $3,865,020 |
Net Long-Term Capital Gain | | | — | | | — | | | — | | | — | | | — | | | — |
Total | | | $165,770,788 | | | $251,071,959 | | | $25,461,448 | | | $24,057,135 | | | $4,560,952 | | | $3,865,020 |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Distributions paid from:
| | | | | | | | | | | | | | | | | | |
Ordinary Income | | | $ 1,506,825 | | | $ 994,943 | | | $ 5,260,978 | | | $ 316,786 | | | $3,938,223 | | | $ 148,244 |
Net Long-Term Capital Gain | | | — | | | — | | | — | | | — | | | — | | | — |
Total | | | $1,506,825 | | | $994,943 | | | $5,260,978 | | | $316,786 | | | $3,938,223 | | | $148,244 |
| | | | | | | | | | | | | | | | | | | |
(a)
| Fund commenced operations on October 24, 2022. |
(b)
| Fund commenced operations on November 7, 2022. |
At January 31, 2024, the components of distributable earnings (accumulated deficit) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | |
Tax Cost of Investments | | | $3,465,022,956 | | | $464,159,266 | | | $75,286,161 | | | $32,477,229 | | | $124,969,468 | | | $103,932,064 |
Unrealized Appreciation* | | | 28,587,163 | | | 2,079,448 | | | 1,416,416 | | | 162,175 | | | 950,503 | | | 2,085,518 |
Unrealized
Depreciation* | | | (488,612,510) | | | (16,399,508) | | | (3,448,012) | | | (1,983,013) | | | (85,095) | | | (576,238) |
Net Unrealized Appreciation (Depreciation)* | | | ($460,025,347) | | | ($14,320,060) | | | ($2,031,596) | | | ($1,820,838) | | | ($865,408) | | | $1,509,280 |
Undistributed Ordinary Income | | | 3,513,235 | | | 462,774 | | | 326,656 | | | 120,082 | | | 562,934 | | | 793,470 |
Undistributed Long-Term Gain (Loss) | | | — | | | — | | | — | | | — | | | — | | | 112,073 |
Accumulated Gain (Loss) | | | $3,513,235 | | | $462,774 | | | $326,656 | | | $120,082 | | | $562,934 | | | $905,543 |
Other Accumulated Gain (Loss) | | | (1,525,474,123) | | | (46,171,466) | | | (5,625,764) | | | (4,411,269) | | | (605,665) | | | (569,638) |
Distributable Earnings (Accumulated
Deficit) | | | ($1,981,986,235) | | | ($60,028,752) | | | ($7,330,704) | | | ($6,112,025) | | | $822,677 | | | $1,845,185 |
| | | | | | | | | | | | | | | | | | | |
*
| Represents aggregated amounts of Funds’ investments, reverse repurchase agreements, futures, and swaps. |
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
The temporary differences between book basis and tax basis in the Funds are primarily attributable to wash sales, partnership adjustments, amortization of callable bonds, dividends payable, and future contract marked-to-market.
As of January 31, 2024, 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 | | | $1,521,053,377 |
UltraShort Income Fund | | | $45,817,122 |
High Yield Opportunities ETF | | | $5,336,490 |
Mortgage-Backed Securities ETF | | | $4,300,458 |
UltraShort Income ETF | | | $47,846 |
Income ETF | | | $— |
| | | | |
For the year ended January 31, 2024, the Funds’ utilization of capital loss carryforward was as follows:
| | | | |
Multi-Strategy Income Fund | | | $ — |
UltraShort Income Fund | | | $— |
High Yield Opportunities ETF | | | $— |
Mortgage-Backed Securities ETF | | | $— |
UltraShort Income ETF | | | $— |
Income ETF | | | $— |
| | | | |
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:
| | | | | | | | | | | | | | | | | | | |
No expiration short-term | | | $490,244,176 | | | $30,172,767 | | | $1,286,276 | | | $774,669 | | | $47,846 | | | $ — |
No expiration long-term | | | $1,030,809,201 | | | $15,644,355 | | | $4,050,214 | | | $3,525,789 | | | $— | | | $— |
Total | | | $1,521,053,377 | | | $45,817,122 | | | $5,336,490 | | | $4,300,458 | | | $47,846 | | | $— |
| | | | | | | | | | | | | | | | | | | |
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, 2024, the Funds did not defer any post- October losses.
NOTE 10. CREDIT AGREEMENTS
In August 2015, as amended July 26, 2023, the Multi-Strategy Income Fund entered into a $200 million secured, committed, margin facility (the “Facility”) with Société Générale, which expires in August 2024 (the Facility was subsequently renewed on August 22, 2024, extending the expiration date to August 2025), but can be terminated prior to this date by either party with 90 days’ notice. Under the Facility, interest is charged at a floating rate based on the SOFR rate plus 1.85% and is payable on the last day of each interest period, which was 7.18% as of July 31, 2024. For the period ended July 31, 2024, the average principal balance and interest rate was approximately $133,104,396 and 7.17%, respectively. The Multi-Strategy Income Fund is required to pay a commitment fee under the Facility on undrawn amounts, and an additional fee if the level of debt outstanding falls below a certain percentage. During the reporting period the Multi-Strategy Income Fund was required to pay these commitment fees on undrawn amounts, which was 0.40% as of July 31, 2024. For the period ended July 31, 2024, these expense and commitment fees, amounted to $4,776,486 and are included in the Interest expense line item that is reflected in the Consolidated Statement of Operations. Under the terms of the Facility, the Multi-Strategy Income Fund is also required to satisfy certain collateral requirements and maintain a
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Angel Oak Funds Trust
Notes to the Financial Statements
July 31, 2024 (Unaudited)(Continued)
certain level of net assets. For additional information, see the Consolidated Schedule of Investments. As of July 31, 2024, the outstanding principal balance under the Facility was $100 million. The amount of the maximum loan outstanding during the period was $150 million from March 19, 2024, through July 11, 2024.
U.S. Bank, N.A. has made available to the Funds a $275 million unsecured credit facility, pursuant to a Loan Agreement (“Agreement”) effective June 8, 2016, expiring on April 25, 2025, for the purposes of having cash available to satisfy redemption requests. Prior to April 25, 2024, the credit facility had a maximum principal availability of $350 million. Advances under the Agreement would be limited to the lesser of $275 million or 20% of the unencumbered assets of the UltraShort Income Fund, the Mortgage-Backed Securities ETF, the UltraShort Income ETF, and Income ETF; or 15% of the unencumbered assets of the High Yield Opportunities ETF; or 10% of the unencumbered assets of the Multi-Strategy Income Fund. Principal is due 45 days after the initial advance and at the maturity. Interest is payable monthly in arrears. Under the credit facility, the interest rate paid by the Funds on outstanding borrowings is equal to the lender’s prime rate, minus 1.00% which was 8.50% as of July 31, 2024. For the period ended July 31, 2024, the Funds’ activity under the credit facility was as follows:
| | | | | | | | | | | | | |
UltraShort Income Fund | | | $54,802 | | | 7.50% | | | $3,200,000 | | | July 12, 2024 – July 14, 2024 |
| | | | | | | | | | | | | |
As of July 31, 2024, the Funds had no outstanding borrowings under this agreement.
NOTE 11. ACCOUNTING PRONOUNCEMENTS AND/OR REGULATORY UPDATES
In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates and which was effective as of March 12, 2020, through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.
NOTE 12. SUBSEQUENT EVENTS
Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments other than the following:
On August 29, 2024, ordinary income distributions were declared to shareholders of record as of August 30, 2024, payable September 3, 2024, as follows:
| | | | | | | | | | | | | |
Distributions Paid | | | $486,910 | | | $309,786 | | | $2,475,331 | | | $1,226,367 |
Distributions Paid Per Share | | | $0.05495363 | | | $0.03774967 | | | $0.22454017 | | | $0.10748176 |
| | | | | | | | | | | | | |
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Additional Information (Unaudited)
1. Shareholder Notification of Federal Tax Status
For the taxable year ended January 31, 2024, 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, 2024, the Multi-Strategy Income Fund, UltraShort Income Fund, High Yield Opportunities ETF, Mortgage-Backed Securities, UltraShort Income ETF, and Income ETF paid qualified dividend income of 0.00%, 0.00%, 0.00%, 0.00%, 0.00%, and 0.00%, respectively.
For the taxable year ended January 31, 2024, the percentage of ordinary income dividends paid by the Multi-Strategy Income Fund, UltraShort Income Fund, High Yield Opportunities ETF, Mortgage-Backed Securities, 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%, and 0.00%, respectively.
For the taxable year ended January 31, 2024, the percentage of taxable ordinary income distributions for the Multi-Strategy Income Fund, UltraShort Income Fund, High Yield Opportunities ETF, Mortgage-Backed Securities, UltraShort Income ETF, and Income ETF that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) was 0.00%, 0.00%, 0.00%, 0.00%, 0.22%, and 0.75%, respectively.
For the taxable year ended January 31, 2024, the percentage of taxable ordinary income distributions for the Multi-Strategy Income Fund, UltraShort Income Fund, High Yield Opportunities ETF, Mortgage-Backed Securities, UltraShort Income ETF, and Income ETF that are designated as interest related dividends under Internal Revenue 871(k)1(c) was 90.80%, 80.57%, 30.79%, 94.90%, 82.12%, and 80.22%, respectively.
2. Disclosure of Portfolio Holdings
The Funds will file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0230.
3. Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies related to portfolio securities and information regarding how the Funds voted those proxies during the most recent twelve month period ended June 30, is available without charge upon request by (1) calling the Funds at (855) 751-4324 and (2) from Trust documents filed with the SEC on the SEC’s website at www.sec.gov.
4. Distribution of Premiums and Discounts
Information regarding how often shares of the High Yield Opportunities ETF, Mortgage-Backed Securities ETF, 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. 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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6. Changes in and Disagreements with Accountants for Open-End Investment Companies
There were no changes in or disagreements with accountants during the period covered by this report.
7. Proxy Disclosure for Open-End Investment Companies
In connection with the reorganization of Angel Oak Total Return Bond Fund into Angel Oak Mortgage-Backed Securities ETF pursuant to an Agreement and Plan of Reorganization and Liquidation (the “Reorganization”), which was effective as of the close of business on February 16, 2024, the sole shareholder of Angel Oak Total Return Bond Fund, Angel Oak Multi-Strategy Income Fund, approved the Reorganization by written consent in lieu of a shareholder meeting pursuant to Article III, Section 9 of the Registrant’s By-Laws.
8. Renumeration Paid to Directors, Officers, and Others of Open-End Investment Companies
See the Statement of Operations for the compensation paid to Trustees for the Multi-Strategy Income Fund and UltraShort Income Fund.
Regarding the High Yield Opportunities ETF, Mortgage-Backed Securities ETF, UltraShort Income ETF, and Income ETF, all fund expenses, including Trustee compensation, are paid by the Investment Adviser pursuant to the Investment Advisory Agreement. Additional information is available in the Fund’s Statement of Additional Information.
9. 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 December 6, 2023 (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 High Yield ETF (the “High Yield ETF”) and the Angel Oak Mortgage-Backed Securities ETF (the “Mortgage-Backed Securities 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 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
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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 High Yield Opportunities Fund, which has the same investment strategies as the High Yield ETF, and the past performance of the Angel Oak Total Return Bond Fund, which has the same investment objective as, but different investment strategies than, the Mortgage-Backed Securities ETF. The Board noted that the performance of those Funds and the other 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 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 the Mortgage-Backed Securities ETF’s total operating expenses through at least September 30, 2025.
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, 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 High Yield Opportunities Fund and the Angel Oak Total Return Bond Fund, each of the Funds would operate pursuant to a unitary fee arrangement, which covers expenses not covered by the Angel Oak High Yield Opportunities Fund’s and the Angel Oak Total Return Bond Fund’s investment advisory fees. The Board also noted that the Angel Oak High Yield ETF’s anticipated net expense ratio was equal to the then-current net expense ratio of the Angel Oak High Yield Fund’s Institutional Class shares. The Trustees further considered that, after giving effect to the proposed expense limitation agreement for the Mortgage-Backed Securities ETF, the anticipated net expense ratio was higher than that of the Angel Oak Total Return Bond Fund’s Institutional Class shares after giving effect to its then-current expense limitation arrangement. The Trustees noted, however, that the expense limitation arrangement for the Angel Oak Total Return Bond Fund was scheduled to expire on May 31, 2024. The Trustees further observed that the investment strategies of the Mortgage-Backed Securities ETF differed from those of the Angel Oak Total Return Bond Fund. The Board also reviewed the net expense ratios of peer ETFs and determined that the anticipated net expense ratio for each of the Funds was within the range of its respective peer ETFs.
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
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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 the investment advisory fees will not be subject to 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’ respective peer groups operate without advisory fee breakpoints and that most of the ETFs in the Funds’ respective 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.
| (b) | Financial Highlights are included within the financial statements filed under Item 7 of this Form. |
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
See Item 7(a).
Item 9. Proxy Disclosure for Open-End Investment Companies.
See Item 7(a).
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
See Item 7(a).
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
See Item 7(a).
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. 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 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
Item 19. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed. Not Applicable.
(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)). Filed herewith.
(4) 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.
| (5) | Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not applicable to open-end investment companies. |
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) | |
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) | |
| | By (Signature and Title)* | /s/ Patrick Journy | |
| | | Patrick Journy, Treasurer (Principal Financial Officer) | |
* Print the name and title of each signing officer under his or her signature.
