0001193125-14-362277.txt : 20141003 0001193125-14-362277.hdr.sgml : 20141003 20141002180803 ACCESSION NUMBER: 0001193125-14-362277 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 7 CONFORMED PERIOD OF REPORT: 20140731 FILED AS OF DATE: 20141003 DATE AS OF CHANGE: 20141002 EFFECTIVENESS DATE: 20141003 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VALUED ADVISERS TRUST CENTRAL INDEX KEY: 0001437249 IRS NUMBER: 262762915 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22208 FILM NUMBER: 141137854 BUSINESS ADDRESS: STREET 1: 2960 N MERIDIAN STREET STE 300 CITY: INDIANAPOLIS STATE: IN ZIP: 46208 BUSINESS PHONE: 317-917-7000 MAIL ADDRESS: STREET 1: 2960 N MERIDIAN STREET STE 300 CITY: INDIANAPOLIS STATE: IN ZIP: 46208 0001437249 S000025018 Golub Group Equity Fund C000074420 Golub Group Equity Fund GGEFX 0001437249 S000031543 Angel Oak Multi-Strategy Income Fund C000098161 Angel Oak Multi-Strategy Income Fund - Class A ANGLX C000109360 Angel Oak Multi-Strategy Income Fund -- Class C ANGCX C000117833 Angel Oak Multi-Strategy Income Fund - Institutional Class ANGIX N-CSRS 1 d764393dncsrs.htm VALUED ADVISERS TRUST Valued Advisers Trust

 

 

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 811-22208

 

 

Valued Advisers Trust

(Exact name of registrant as specified in charter)

 

 

 

Huntington Asset Services, Inc.

2960 N. Meridian Street,

Suite 300

 

Indianapolis,

IN 46208

(Address of principal executive offices)   (Zip code)

 

 

Capitol Services, Inc.

615 S. Dupont Hwy.

Dover, DE 19901

(Name and address of agent for service)

 

 

With a copy to:

John H. Lively, Esq.

The Law Offices of John H. Lively & Associates, Inc.

A member firm of The 1940 Act Law Group

11300 Tomahawk Creek Parkway,

Suite 310

Leawood, KS 66221

 

 

Registrant’s telephone number, including area code: 317-917-7000

Date of fiscal year end: 1/31

Date of reporting period: 7/31/2014

 

 

 


Item 1. Reports to Stockholders.


LOGO

 

 

 

Golub Group Equity Fund

 

 

 

Semi-Annual Report

July 31, 2014

Fund Adviser:

Golub Group, LLC

1850 Gateway Drive, Suite 100

San Mateo, CA 94404

Toll Free (866) 954-6682


 

  

 

 

Investment Results (Unaudited)

Total Returns*

(For the periods ended July 31, 2014)

                Average Annual  
    Six Months     1 Year     3 Year    

Since

Inception

(April 1, 2009)

 

Golub Group Equity Fund

    8.92%        14.95%        16.90%        17.56%   

S&P 500® Index**

    9.44%        16.94%        16.84%        20.55%   
Total annual operating expenses, as disclosed in the most recent supplement to the Fund’s prospectus, were
1.46% of average daily net assets (1.26% after fee waivers/expense reimbursements by the Adviser.) The
Adviser has contractually agreed to waive or limit its fees and assume other expenses of the Fund until
May 31, 2015, so that Total Annual Fund Operating Expenses do not exceed 1.25%. This contractual
arrangement may only be terminated by mutual consent of the Adviser and the Fund, and it will
automatically terminate upon the termination of the investment advisory agreement between the Fund and
the Adviser. This operating expense limitation does not apply to: (i) interest, (ii) taxes, (iii) brokerage
commissions, (iv) other expenditures which are capitalized in accordance with generally accepted accounting
principles, (v) other extraordinary expenses not incurred in the ordinary course of the Fund’s business,
(vi) dividend expense on short sales, (vii) expenses incurred under a plan of distribution under Rule 12b-1, and
(viii) expenses that the Fund has incurred but did not actually pay because of an expense offset arrangement,
if applicable, incurred by the Fund in any fiscal year. The operating expense limitation also excludes any “Fees
and Expense of Acquired Funds,” which are the expenses indirectly incurred by the Fund as a result of
investing in money market funds or other investment companies, including ETFs, that have their own
expenses. The Adviser may be entitled to the reimbursement of any fees waived or expenses reimbursed
pursuant to the agreement provided overall expenses fall below the limitations set forth above. The Adviser
may recoup the sum of all fees previously waived or expenses reimbursed during any of the previous three
(3) years, less any reimbursement previously paid, provided total expenses do not exceed the limitation set
forth above.
 

 

The performance quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Current performance of the Fund may be lower or higher than the performance quoted. The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. Performance data current to the most recent month end may be obtained by calling 1-866-954-6682.

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

** The S&P 500® Index is a widely recognized unmanaged index of equity securities and is representative of a broader domestic equity market and range of securities than is found in the Fund’s portfolio. Individuals cannot invest directly in the Index; however, an individual can invest in exchange traded funds or other investment vehicles that attempt to track the performance of a benchmark index.

 

The Fund’s investment objectives, strategies, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the Fund and may be obtained by calling the same number as above. Please read it carefully before investing. The Fund is distributed by Unified Financial Securities, Inc., member FINRA.

 

1


 

  

 

 

Fund Holdings (Unaudited)

 

LOGO

 

1   

As a percentage of net assets.

The investment objective of the Golub Group Equity Fund is to provide long-term capital appreciation. A secondary objective is to provide current income.

Availability of Portfolio Schedule – (Unaudited)

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available at the SEC’s website at www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

 

2


 

  

 

 

Summary of Fund’s Expenses (Unaudited)

As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning and held for the entire period from February 1, 2014 to July 31, 2014.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line of the table below is useful in comparing ongoing costs only and will not help you determine the relative costs of owning different funds.

 

       Beginning
Account

Value
    Ending
Account

Value
    Expenses
Paid During
the Period Ended*
 
       February 1, 2014     July 31, 2014     July 31, 2014  

Golub Group Equity Fund

        

Actual

     $ 1,000.00      $ 1,089.20      $ 6.48   

Hypothetical**

     $ 1,000.00      $ 1,018.60      $ 6.26   

 

*   Expenses are equal to the Fund’s annualized net expense ratio of 1.25%, multiplied by the average account value over the period, multiplied by 181/365.
**   Assumes a 5% return before expenses.

 

3


Schedule of Investments (Unaudited)

July 31, 2014

 

Shares            Fair Value  
  COMMON STOCKS – 89.24%   
   Consumer Discretionary 2.85%   
  38,645      

General Motors Co.

   $ 1,306,974   
     

 

 

 
   Consumer Staples 10.47%   
  8,575      

Anheuser-Busch InBev NV ADR

     925,929   
  33,950      

Coca-Cola Co./The

     1,333,895   
  9,265      

Diageo PLC ADR

     1,113,838   
  16,225      

PepsiCo, Inc.

     1,429,422   
     

 

 

 
        4,803,084   
     

 

 

 
   Energy 8.38%   
  21,225      

Devon Energy Corp.

     1,602,487   
  8,550      

Exxon Mobil Corp.

     845,937   
  17,215      

National Oilwell Varco, Inc.

     1,395,104   
     

 

 

 
        3,843,528   
     

 

 

 
   Financials 23.54%   
  26,050      

American International Group, Inc.

     1,354,079   
  165,900      

Bank of America Corp.

     2,529,975   
  51,800      

Bank of New York Mellon Corp./The

     2,022,272   
  14,925      

Berkshire Hathaway, Inc. – Class B*

     1,872,043   
  38,465      

Citigroup, Inc.

     1,881,323   
  22,350      

Wells Fargo & Co.

     1,137,615   
     

 

 

 
        10,797,307   
     

 

 

 
   Health Care 9.98%   
  6,300      

C.R. Bard, Inc.

     940,149   
  16,710      

Hospira, Inc.*

     926,904   
  13,050      

Johnson & Johnson

     1,306,175   
  26,300      

Teva Pharmaceutical Industries Ltd. ADR

     1,407,050   
     

 

 

 
        4,580,278   
     

 

 

 
   Industrials 10.64%   
  6,550      

FedEx Corp.

     962,064   
  71,885      

General Electric Co.

     1,807,908   
  7,270      

Northrop Grumman Corp.

     896,173   
  6,298      

United Parcel Service, Inc. – Class B

     611,473   
  5,725      

United Technologies Corp.

     601,984   
     

 

 

 
        4,879,602   
     

 

 

 

 

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

 

4


Schedule of Investments (Unaudited) (continued)

July 31, 2014

 

Shares            Fair Value  
  COMMON STOCKS – (continued)   
   Information Technology 23.38%   
  14,340      

Apple, Inc.

   $ 1,370,474   
  56,600      

Cisco Systems, Inc.

     1,428,018   
  25,645      

eBay, Inc.*

     1,354,056   
  23,650      

Fiserv, Inc.*

     1,458,495   
  2,320      

Google, Inc. – Class A*

     1,344,556   
  1,050      

Google, Inc. – Class C*

     600,180   
  44,450      

Microsoft Corp.

     1,918,462   
  17,000      

QUALCOMM, Inc.

     1,252,900   
     

 

 

 
        10,727,141   
     

 

 

 
  

Total Common Stocks (Cost $30,511,667)

     40,937,914   
     

 

 

 
  MONEY MARKET SECURITIES – 10.14%   
  4,653,105      

Fidelity Institutional Money Market Portfolio – Institutional Class, 0.09%(a)

     4,653,105   
     

 

 

 
  

Total Money Market Securities (Cost $4,653,105)

     4,653,105   
     

 

 

 
  

Total Investments (Cost $35,164,772) 99.38%

   $ 45,591,019   
     

 

 

 
  

Other Assets in Excess of Liabilities 0.62%

     282,165   
     

 

 

 
  

TOTAL NET ASSETS 100.00%

   $ 45,873,184   
     

 

 

 

 

(a)   Rate disclosed is the seven day yield as of July 31, 2014.
*   Non-income producing security.
ADR   American Depositary Receipt

 

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

 

5


Statement of Assets and Liabilities (Unaudited)

July 31, 2014

 

Assets

  

Investments in securities at fair value (cost $35,164,772)

   $ 45,591,019   

Receivable for investments sold

     591,730   

Dividends receivable

     10,976   

Tax reclaims receivable

     203   

Prepaid expenses

     4,237   

Total Assets

     46,198,165   

Liabilities

  

Payable for fund shares redeemed

     258,039   

Payable to Adviser

     36,468   

Payable to administrator, fund accountant, transfer agent, and chief compliance officer

     15,655   

Payable to custodian

     1,076   

Payable to trustees

     1,246   

Other accrued expenses

     12,497   

Total Liabilities

     324,981   

Net Assets

   $ 45,873,184   

Net Assets consist of:

  

Paid-in capital

   $ 32,282,604   

Accumulated undistributed net investment income

     74,569   

Accumulated undistributed net realized gain from investments

     3,089,764   

Net unrealized appreciation on investments

     10,426,247   

Net Assets

   $ 45,873,184   

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

     2,348,245   

Net asset value, offering and redemption price per share

   $ 19.54   

 

6

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


Statement of Operations (Unaudited)

For the six months ended July 31, 2014

 

Investment Income

  

Dividend income (net of foreign taxes withheld of $7,130)

   $ 363,623   

Total investment income

     363,623   

Expenses

  

Investment Adviser

     220,980   

Administration

     19,897   

Fund accounting

     12,397   

Transfer agent

     17,634   

Legal

     7,311   

Registration

     2,947   

Custodian

     3,319   

Audit

     7,439   

Trustee

     3,345   

Insurance

     509   

Pricing

     620   

Printing

     4,799   

Miscellaneous

     1,290   

Total expenses

     302,487   

Fees waived by Adviser

     (26,068

Net operating expenses

     276,419   

Net investment income

     87,204   

Net Realized and Unrealized Gain on Investments

  

Net realized gain on investment securities transactions

     1,828,950   

Net change in unrealized appreciation of investment securities

     1,797,677   

Net realized and unrealized gain on investments

     3,626,627   

Net increase in net assets resulting from operations

   $ 3,713,831   

 

7

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


Statements of Changes in Net Assets

 

     For the Six Months Ended
July 31, 2014
(Unaudited)
    For the Year Ended
January 31, 2014
 

Increase in Net Assets due to:

Operations

    

Net investment income

   $ 87,204      $ 215,423   

Net realized gain on investment securities transactions

     1,828,950        2,997,985   

Net change in unrealized appreciation of investments

     1,797,677        3,420,746   

Net increase in net assets resulting from operations

     3,713,831        6,634,154   

Distributions

    

From net investment income

            (220,112

From net realized gains

            (1,972,205

Total distributions

            (2,192,317

Capital Transactions

    

Proceeds from shares sold

     5,151,992        7,788,369   

Reinvestment of distributions

            2,192,317   

Amount paid for shares redeemed

     (4,076,867     (5,855,754

Net increase in net assets resulting from
capital transactions

     1,075,125        4,124,932   

Total Increase in Net Assets

     4,788,956        8,566,769   

Net Assets

    

Beginning of period

     41,084,228        32,517,459   

End of period

   $ 45,873,184      $ 41,084,228   

Accumulated undistributed net investment income (loss) included in net assets at end of period

   $ 74,569      $ (12,635

Share Transactions

    

Shares sold

     271,426        438,267   

Shares issued in reinvestment of distributions

            121,931   

Shares redeemed

     (213,178     (333,667

Net increase in share transactions

     58,248        226,531   

 

8

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


Financial Highlights

(For a share outstanding during each period)

 

    

For the

Six Months

Ended
July 31,

2014
(Unaudited)

    For the Year Ended January 31,    

For the
Period

Ended
January 31,
2010(a)

 
      2014     2013     2012     2011    

Selected Per Share Data:

  

Net asset value, beginning of period

  $ 17.94      $ 15.76      $ 14.00      $ 14.58      $ 12.85      $ 10.00   

Income from investment operations:

           

Net investment income

    0.04        0.10 (b)      0.14 (b)      0.15 (b)      0.11 (b)      0.11 (b) 

Net realized and unrealized gain on investments

    1.56        3.09        2.12        0.20        2.09        2.83   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

    1.60        3.19        2.26        0.35        2.20        2.94   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions to shareholders:

           

From net investment income

           (0.10     (0.14     (0.14     (0.09     (0.09

From net realized gains

           (0.91     (0.36     (0.79     (0.38     (c) 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

           (1.01     (0.50     (0.93     (0.47     (0.09
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 19.54      $ 17.94      $ 15.76      $ 14.00      $ 14.58      $ 12.85   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d)

    8.92 %(e)      20.20     16.34     2.65     17.20     29.37 %(e) 
           

Ratios and Supplemental Data:

  

Net assets, end of period (000)

  $ 45,873      $ 41,084      $ 32,517      $ 23,946      $ 19,574      $ 9,390   

Ratio of expenses to average net assets after expense waiver and reimbursement

    1.25 %(f)      1.25     1.25     1.25     1.25     1.25 %(f) 

Ratio of expenses to average net assets before expense waiver and reimbursement

    1.37 %(f)      1.45     1.57     1.75     2.21     3.45 %(f) 

Ratio of net investment income to average net assets after expense waiver and reimbursement

    0.40 %(f)      0.58     0.95     1.03     0.82     1.07 %(f) 

Ratio of net investment income (loss) to average net assets before expense waiver and reimbursement

    0.28 %(f)      0.38     0.63     0.53     -0.14     -1.13 %(f) 

Portfolio turnover rate

    15.75 %(e)      29.83     16.79     27.33     23.15     8.58 %(e) 

 

 

(a)   

For the period April 1, 2009 (Commencement of Operations) to January 31, 2010.

(b)   

Net investment income per share is calculated by dividing net investment income by the average shares outstanding throughout the period.

(c)   

Distributions to shareholders resulted in less than $0.005 per share.

(d)   

Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of distributions.

(e)   

Not annualized

(f)   

Annualized

 

9

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


Notes to Financial Statements (Unaudited)

July 31, 2014

 

NOTE 1. ORGANIZATION

The Golub Group Equity Fund (the “Fund”) was organized as an open-end diversified series of the Valued Advisers Trust (the “Trust”) on April 1, 2009. The Trust is a management investment company established under the laws of Delaware by an Agreement and Declaration of Trust dated June 13, 2008 (the “Trust Agreement”). The Trust Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of shares of beneficial interest of separate series without par value. The Fund is one of a series of funds authorized by the Board. The Fund’s investment adviser is Golub Group, LLC (the “Adviser”). The investment objective of the Fund is to provide long-term capital appreciation. A secondary objective is to provide current income.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (”FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with the generally accepted accounting principles in the United States of America (“GAAP”).

Securities Valuation – All investments in securities are recorded at their estimated fair value as described in Note 3.

Federal Income Taxes – The Fund makes no provision for federal income or excise tax. The Fund intends to qualify each year as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code of 1986, as amended, by complying with the requirements applicable to RICs and by distributing substantially all of its taxable income. The Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. If the required amount of net investment income or gains is not distributed, the Fund could incur a tax expense.

As of, and during the six months ended July 31, 2014, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Fund did not incur any interest or penalties. The Fund is subject to examination by U.S. federal tax authorities for all tax years since inception.

Expenses – Expenses incurred by the Trust that do not relate to a specific fund of the Trust are allocated to the individual funds based on each fund’s relative net assets or another appropriate basis (as determined by the Board).

Security Transactions and Related Income – The Fund follows industry practice and records security transactions on the trade date for financial reporting purposes. The first in, first out method is used for determining gains or losses for financial statement and income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted or amortized using the effective interest method. The ability of issuers of debt securities held by the Fund to meet their obligations may be affected by economic and political developments in a specific country or region.

 

10


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Dividends and Distributions – The Fund intends to distribute all or substantially all of its net investment income, if any, as dividends to its shareholders on at least an annual basis. The Fund intends to distribute its net realized long term capital gains and its net realized short term capital gains, if any, at least once a year. Dividends to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. The treatment for financial reporting purposes of distributions made to shareholders during the period from net investment income or net realized capital gains may differ from their ultimate treatment for federal income tax purposes. These differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of the net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations or net asset values per share of the Fund.

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS

Fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. Accounting principles generally accepted in the United States of America (“GAAP”) establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and establish classification of fair value measurements for disclosure purposes.

Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Various inputs are used in determining the value of the Fund’s investments. 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 an identical security in an inactive market, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

   

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments based on the best information available)

 

11


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Equity securities, including common stocks, are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices more accurately reflect the fair value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price.

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 Fund 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. When market quotations are not readily available, when the Adviser determines that the market quotation or the price provided by the pricing service does not accurately reflect the current fair value, or when restricted or illiquid securities are being valued, such securities are valued as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review by the Board. These securities will generally be categorized as Level 3 securities.

Investments in mutual funds, including money market mutual funds, are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.

In accordance with the Trust’s good faith pricing guidelines, the Adviser is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Adviser is aware of any other data that calls into question the reliability of market quotations. Good faith pricing may also be used in instances when the bonds the Fund invests in may default or otherwise cease to have market quotations readily available.

 

12


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

The following is a summary of the inputs used to value the Fund’s investments as of July 31, 2014:

 

    Valuation Inputs        
Assets  

Level 1

Quoted Prices in

Active Markets

   

Level 2

Other Significant

Observable Inputs

   

Level 3

Significant

Unobservable Inputs

    Total  

Common Stocks*

  $ 40,937,914      $         –      $         –      $ 40,937,914   

Money Market Securities

    4,653,105                      4,653,105   

Total

  $ 45,591,019      $      $      $ 45,591,019   
*   Refer to the Schedule of Investments for industry classifications.

The Fund did not hold any investments at any time during the reporting period in which other significant observable inputs (Level 2) were used in determining fair value. The Fund did not hold any assets at any time during the reporting period in which significant unobservable inputs were used in determining fair value; therefore, no reconciliation of Level 3 securities is included for this reporting period.

The Trust recognizes transfers between fair value hierarchy levels at the end of the reporting period. There were no transfers between any levels during the period ended July 31, 2014.

NOTE 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES

Under the terms of the investment advisory agreement, on behalf of the Fund (the “Agreement”), the Adviser manages the Fund’s investments subject to oversight of the Board. As compensation for its services, the Fund is obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of 1.00% of the average daily net assets of the Fund. For the six months ended July 31, 2014, the Adviser earned a fee of $220,980 from the Fund before the waivers described below. At July 31, 2014, the Fund owed the Adviser $36,468.

The Adviser has contractually agreed to waive or limit its fee and reimburse certain Fund operating expenses, until May 31, 2015, so that the ratio of total annual operating expenses does not exceed 1.25%. This operating expense limitation does not apply to interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with generally accepted accounting principles, other extraordinary expenses not incurred in the ordinary course of the Fund’s business, dividend expense on short sales, expenses incurred under a plan of distribution under Rule 12b-1, and expenses that the Fund has incurred but did not actually pay because of an expense offset arrangement, if applicable, incurred by the Fund in any fiscal year. The operating expense limitation also excludes any “Acquired Fund Fees and Expenses.” Acquired Fund Fees and Expenses represent the pro rata expense indirectly incurred by the Fund as a result of investing in other investment companies, including ETFs, closed-end funds and money market funds that have their own expenses. For the six months ended July 31, 2014, the Adviser waived fees of $26,068.

The waiver and/or reimbursement by the Adviser with respect to the Fund is subject to repayment by the Fund within the three fiscal years following the fiscal year in which that particular waiver and/or reimbursement occurred, provided that the Fund is able to make the repayment without

 

13


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

exceeding the expense limitations described above. The amounts subject to repayment by the Fund, pursuant to the aforementioned conditions, at July 31, 2014 are as follows:

 

Amount   Recoverable through
January 31,
 
$107,613     2015   
    91,129     2016   
    74,349     2017   
    26,068     2018   

The Trust retains Huntington Asset Services, Inc. (“HASI”) to manage the Fund’s business affairs and provide the Fund with administrative and compliance services, including all regulatory reporting and necessary office equipment and personnel. For the six months ended July 31, 2014, HASI earned fees of $19,897 for administrative and compliance services provided to the Fund. At July 31, 2014, HASI was owed $6,100 from the Fund for administrative and compliance services. Certain officers and one Trustee of the Trust are members of management and/or employees of HASI. HASI is a wholly-owned subsidiary of Huntington Bancshares, Inc., the parent company of Unified Financial Securities, Inc. (the “Distributor”) and Huntington National Bank, the custodian of the Fund’s investments (the “Custodian”). For the six months ended July 31, 2014, the Custodian earned fees of $3,319 for custody services provided to the Fund. At July 31, 2014, the Custodian was owed $1,076 from the Fund for custody services.

The Trust also retains HASI to act as the Fund’s transfer agent and to provide fund accounting services. For the six months ended July 31, 2014, HASI earned fees of $17,634 for transfer agent services to the Fund. At July 31, 2014, the Fund owed HASI $5,432 for transfer agent services. For the six months ended July 31, 2014, HASI earned fees of $12,397 from the Fund for fund accounting services. At July 31, 2014, HASI was owed $4,063 from the Fund for fund accounting services.

The Fund has adopted a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan provides that the Fund will pay the Distributor and/or any registered securities dealer, financial institution or any other person (the “Recipient”) a shareholder servicing fee of 0.25% of the average daily net assets of the Fund in connection with the promotion and distribution of the Fund’s shares or the provision of personal services to shareholders, including, but not necessarily limited to, advertising, compensation to underwriters, dealers and selling personnel, the printing and mailing of prospectuses to other than current Fund shareholders, the printing and mailing of sales literature and servicing shareholder accounts (“12b-1 Expenses”). The Fund or Distributor may pay all or a portion of these fees to any recipient who renders assistance in distributing or promoting the sale of shares, or who provides certain shareholder services, pursuant to a written agreement. The Plan is a compensation plan, which means that the Plan will benefit shareholders because an effective sales program typically is necessary in order for the Fund to reach and maintain a sufficient size to achieve efficiently its investment objectives and to realize economies of scale. The Plan is not active and will not be activated prior to May 31, 2015.

Unified Financial Securities, Inc. acts as the principal distributor of the Fund’s shares. There were no payments made by the Fund to the Distributor during the six months ended July 31, 2014. An

 

14


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

officer of the Trust is an officer of the Distributor and such person may be deemed to be an affiliate of the Distributor.

NOTE 5. INVESTMENTS

For the six months ended July 31, 2014, purchases and sales of investment securities, other than short-term investments and short-term U.S. government obligations, were as follows:

 

      Amount  

Purchases

  

U.S. Government Obligations

   $   

Other

     6,791,961   

Sales

  

U.S. Government Obligations

   $   

Other

     6,358,654   

NOTE 6. 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 and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

NOTE 7. 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 Investment Company Act of 1940. At July 31, 2014, Charles Schwab owned, as record shareholder, 94.78% of the outstanding shares of the Fund. The Trust does not know whether Charles Schwab or any of the underlying beneficial owners owned or controlled 25% or more of the voting securities of the Fund.

NOTE 8. FEDERAL TAX INFORMATION

At July 31, 2014, the net unrealized appreciation (depreciation) of investments for tax purposes was as follows:

 

Gross Appreciation

   $ 10,553,323   

Gross (Depreciation)

     (127,595

Net Appreciation (Depreciation) on Investments

   $ 10,425,728   

At July 31, 2014, the aggregate cost of securities for federal income tax purposes was $35,165,291 for the Fund.

 

15


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

The tax characterization of distributions for the fiscal year ended January 31, 2014 was as follows:

 

      2014  

Distributions paid from:

  

Ordinary Income*

   $ 463,691   

Long-Term Capital Gain

     1,728,626   
     $ 2,192,317   
*   Short-term capital gain distributions are treated as ordinary income for tax purposes.

At January 31, 2014, the Fund’s most recent fiscal year end, the components of distributable earnings (accumulated losses) on a tax basis was as follows:

 

Undistributed Ordinary Income

   $ 33,518   

Undistributed Long-Term Capital Gains

     1,227,815   

Accumulated Capital and Other Losses

     (12,635

Unrealized Appreciation (Depreciation)

     8,628,051   
     $ 9,876,749   

At January 31, 2014, the difference between book basis and tax basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales in the amount of $519.

Under current tax law, net investment losses realized after December 31 and capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Fund deferred losses as follows:

 

      Late Year
Ordinary Loss
 

Golub Group Equity Fund

   $ 12,635   

NOTE 9. COMMITMENTS AND CONTINGENCIES

The Fund indemnifies its officers and trustees for certain liabilities that may arise from their performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.

NOTE 10. PROXY VOTING RESULTS

On May 21, 2014, a special meeting of the shareholders of the Fund was held at the offices of the Trust for the purpose of:

 

  1. Approval an investment advisory agreement with respect to the Fund between Golub Group, LLC and the Trust.

 

  2. Approval and ratification of the retention of payments of certain advisory fees for advisory services performed by the Golub Group, LLC and to approve and ratify the right to recoup advisory fees waived and/or expenses reimbursed to the Fund by Golub Group, LLC.

 

16


Notes to Financial Statements (Unaudited) (continued)

July 31, 2014

 

Below are the voting results from the special meeting:

 

  1. Approval of investment advisory agreement:

 

For

     2,034,524   

Against

     0   

Abstain

     3,261   

 

  2. Approval and ratification of retention of payments and recoupment of advisory fees waived/reimbursed:

 

For

     2,034,524   

Against

     0   

Abstain

     3,261   

NOTE 11. SUBSEQUENT EVENT

Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. These were no items requiring adjustment of financial statements or additional disclosure.

 

17


Board Considerations in Approving the New Advisory Agreement

At an in-person meeting held on March 11-12, 2014 the Board considered the approval of the New Advisory Agreement (the “New Agreement”) between the Trust and Golub Group, LLC (the “Adviser” or “Golub”) on behalf of the Golub Group Equity Fund (the “Fund”). Golub provided written information to the Board to assist the Board in its considerations.

The Board discussed the arrangements between the Adviser and the Trust with respect to the Fund. The Board reviewed a memorandum from Counsel, and addressed to the Trustees that summarized, among other things, the fiduciary duties and responsibilities of the Board in reviewing and approving the New Agreement. A copy of this memorandum was circulated to the Trustees in advance of the Meeting. Counsel discussed with the Trustees the types of information and factors that should be considered by the Board in order to make an informed decision regarding the approval of the New Agreement, including the following material factors: (i) the nature, extent, and quality of the services provided by the Adviser; (ii) the investment performance of the Fund; (iii) the costs of the services to be provided and profits to be realized by the Adviser from the relationship with the Fund; (iv) the extent to which economies of scale would be realized if the Fund grows and whether advisory fee levels reflect those economies of scale for the benefit of the Fund’s investors; and (v) the Adviser’s practices regarding possible conflicts of interest.

In assessing these factors and reaching its decisions, the Board took into consideration information furnished for the Board’s review and consideration throughout the year at regular Board meetings, as well as information specifically prepared and/or presented in connection with the annual renewal process, including information presented at the Meeting. The Board requested and was provided with information and reports relevant to the annual renewal of the New Agreement, including: (i) reports regarding the services and support provided to the Fund and its shareholders by the Adviser; (ii) quarterly assessments of the investment performance of the Fund by personnel of the Adviser; (iii) commentary on the reasons for the performance; (iv) presentations by the Adviser addressing its investment philosophy, investment strategy, personnel and operations; (v) compliance and audit reports concerning the Fund and the Adviser; (vi) disclosure information contained in the registration statement of the Trust and the Form ADV of the Adviser; and (vii) a memorandum from Counsel, that summarized the fiduciary duties and responsibilities of the Board in reviewing and approving the New Agreement, including the material factors set forth above and the types of information included in each factor that should be considered by the Board in order to make an informed decision. The Board also requested and received various informational materials including, without limitation: (i) documents containing information about the Adviser, including financial information, a description of personnel and the services provided to the Fund, information on investment advice, performance, summaries of Fund expenses, compliance program, current legal matters, and other general information; (ii) comparative expense and performance information for other mutual funds with strategies similar to the Fund and composite performance of other accounts managed by the Adviser; (iii) the anticipated effect of size on the Fund’s performance and expenses; and (iv) conflicts of interest and benefits to be realized by the Adviser from its relationship with the Fund. The Board did not identify any particular information that was most relevant to its consideration to approve the New Agreement and each Trustee may have afforded different weight to the various factors.

 

1.  

The nature, extent, and quality of the services to be provided by the Adviser.  In this regard, the Board considered the Adviser’s responsibilities under the New Agreement. The Trustees

 

18


 

considered the services being provided by the Adviser to the Fund including, without limitation: the quality of its investment advisory services (including research and recommendations with respect to portfolio securities), its process for formulating investment recommendations and assuring compliance with the Fund’s investment objectives and limitations, its coordination of services for the Fund among the Fund’s service providers, and its efforts to promote the Fund and grow its assets. The Trustees considered the Adviser’s continuity of, and commitment to retain, qualified personnel and the Adviser’s commitment to maintain its resources and systems, and the Adviser’s continued cooperation with the Independent Trustees and Counsel for the Fund. The Board considered that the Adviser’s approach to portfolio management for the Fund is from a team perspective, and the Board noted that the majority of the portfolio management team would remain managing the Fund. The Trustees considered the circumstances surrounding Mr. Golub’s departure as a portfolio manager to the Fund and concluded that they did not believe it would impact the quality of the services rendered to the Fund by the Adviser. The Trustees considered the Adviser’s personnel, including the education and experience of the Adviser’s personnel. After considering the foregoing information and further information in the Meeting materials provided by the Adviser (including the Adviser’s Form ADV), the Board concluded that, in light of all the facts and circumstances, the nature, extent, and quality of the services provided by the Adviser were satisfactory.

 

2.   Investment Performance of the Fund and the Adviser.  In considering the investment performance of the Fund and the Adviser, the Trustees compared the short-term performance, as well as the 1 year, 3 year and since inception annualized returns of the Fund with the performance of funds with similar objectives managed by other investment advisers, as well as with aggregated peer group data and composite data of other accounts managed by the Adviser. The Trustees also considered the consistency of the Adviser’s management of the Fund with its investment objective, strategies, and limitations. The Trustees noted that the Fund’s performance was lower than some, but higher than others as of the most recent quarter ended December 31, 2013. The Trustees noted that since inception returns showed that the Fund outperformed nearly all of its peers and had above average performance in its category. The Board concluded that the investment performance of the Fund and the Adviser was satisfactory.

 

3.   The costs of the services to be provided and profits to be realized by the Adviser from the relationship with the Fund.  In considering the costs of services to be provided and the profits to be realized by the Adviser from the relationship with the Fund, the Trustees considered: (1) the Adviser’s financial condition; (2) the asset level of the Fund; (3) the overall expenses of the Fund; and (4) the nature and frequency of advisory fee payments. The Trustees reviewed information provided by the Adviser regarding its profits associated with managing the Fund. The Trustees also considered potential benefits for the Adviser in managing the Fund. The Trustees then compared the fees and expenses of the Fund (including the management fee) to other comparable mutual funds. The Trustees noted that the Fund’s management fee tended to be toward the higher end of the comparable mutual funds although the overall expense ratio of the Fund was lower than some of the specifically identified comparable funds and higher than others. It was noted that the Adviser would continue to cap operating expenses of the Fund at 1.25%. Based on the foregoing, the Board concluded that the fees to be paid to the Adviser by the Fund and the profits to be realized by the Adviser, in light of all the facts and circumstances, were fair and reasonable in relation to the nature and quality of the services that the Adviser was required to provide under the investment advisory agreement.

 

19


4.   The extent to which economies of scale would be realized as the Fund grows and whether advisory fee levels reflect these economies of scale for the benefit of the Fund’s investors.  In this regard, the Board considered the Fund’s fee arrangements with the Adviser. The Board considered that while the management fee remained the same at all asset levels, the Fund’s shareholders had experienced benefits from the Fund’s expense limitation arrangement. The Trustees also noted that the Fund’s shareholders would continue to benefit from the economies of scale under the Fund’s agreements with service providers other than the Adviser. In light of its ongoing consideration of the Fund’s asset levels, the Board determined that the Fund’s fee arrangements, in light of all the facts and circumstances, were fair and reasonable at this time.

 

5.   Possible conflicts of interest and benefits to the Adviser.  In considering the Adviser’s practices regarding conflicts of interest, the Trustees evaluated the potential for conflicts of interest and considered such matters as the experience and ability of the advisory personnel assigned to the Fund; the basis of decisions to buy or sell securities for the Fund and/or the Adviser’s other accounts; and the substance and administration of the Adviser’s code of ethics. The Trustees also considered disclosure in the registration statement of the Trust relating to the Adviser’s potential conflicts of interest. The Trustees also considered the Adviser’s practices regarding brokerage and portfolio transactions, including particularly the Adviser’s practice for seeking best execution for the Fund’s portfolio transactions. The Trustees noted that the Adviser benefited from the Fund in that it is able to utilize the Fund as a vehicle into which to direct advisory clients with small account balances and that the Adviser was benefited by managing a public fund with credibility among its advisory clients. Based on the foregoing, the Board determined that the Adviser’s standards and practices of the Adviser relating to the identification and mitigation of potential conflicts of interest and the benefits that it derives from managing the Fund are acceptable.

The Board then reflected on information reviewed at its special meeting held on February 13, 2014 and its discussion with a representative of Golub at the Meeting. Next, the Independent Trustees met in executive session to discuss the approval of the New Agreement. The officers of the Trust were excused during this discussion. Based on its evaluation of the information and the conclusions with respect thereto at each of the February 13, 2014 and March 11-12, 2014 meetings, as well as information received throughout the year at quarterly meetings, the Board unanimously concluded that: (a) the terms of the New Agreement were fair and reasonable; (b) the approval of the New Agreement would be in the best interests of the shareholders and the Fund; and (c) it would recommend the approval of the New Agreement to shareholders. In the course of their deliberations, the Board did not identify any particular information or factor that was all-important or controlling.

After additional consideration of the factors delineated in the memorandum provided by Counsel and further discussion among the Board, the Board approved the New Agreement between the Adviser and the Trust with respect to the Fund.

 

20


VALUED ADVISERS TRUST

PRIVACY POLICY

The following is a description of the policies of the Valued Advisers Trust (the “Trust”) regarding disclosure of nonpublic personal information that shareholders provide to a series of the Trust (each, a “Fund”) or that the Fund collects from other sources. In the event that a shareholder holds shares of a Fund through a broker-dealer or other financial intermediary, the privacy policy of the financial intermediary would govern how shareholder nonpublic personal information would be shared with nonaffiliated third parties.

Categories of Information A Fund May Collect.  A Fund may collect the following nonpublic personal information about its shareholders:

 

   

Information the Fund receives from a shareholder on applications or other forms, correspondence, or conversations (such as the shareholder’s name, address, phone number, social security number, and date of birth); and

 

   

Information about the shareholder’s transactions with the Fund, its affiliates, or others (such as the shareholder’s account number and balance, payment history, cost basis information, and other financial information).

Categories of Information A Fund May Disclose.  A Fund may not disclose any nonpublic personal information about its current or former shareholders to unaffiliated third parties, except as required or permitted by law. A Fund is permitted by law to disclose all of the information it collects, as described above, to its service providers (such as the Fund’s custodian, administrator, transfer agent, accountant and legal counsel) to process shareholder transactions and otherwise provide services to the shareholder.

Confidentiality and Security.  Each Fund shall restrict access to shareholder nonpublic personal information to those persons who require such information to provide products or services to the shareholder. Each Fund shall maintain physical, electronic, and procedural safeguards that comply with federal standards to guard shareholder nonpublic personal information.

Disposal of Information.  The Funds, through their transfer agent, have taken steps to reasonably ensure that the privacy of a shareholder’s nonpublic personal information is maintained at all times, including in connection with the disposal of information that is no longer required to be maintained by the Funds. Such steps shall include, whenever possible, shredding paper documents and records prior to disposal, requiring off-site storage vendors to shred documents maintained in such locations prior to disposal, and erasing and/or obliterating any data contained on electronic media in such a manner that the information can no longer be read or reconstructed.

 

21


PROXY VOTING

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted those proxies is available without charge upon request by (1) calling the Fund at (866) 954-6682 and (2) from Fund documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.

TRUSTEES

R. Jeffrey Young, Chairman

Ira Cohen

Andrea N. Mullins

OFFICERS

R. Jeffrey Young, Principal Executive Officer and President

Bryan W. Ashmus, Principal Financial Officer and Treasurer

John C. Swhear, Chief Compliance Officer, AML Officer and Vice-President

Carol J. Highsmith, Vice President and Secretary

Matthew J. Miller, Vice President

INVESTMENT ADVISER

Golub Group, LLC

1850 Gateway Drive, Suite 100

San Mateo, CA 94404

DISTRIBUTOR

Unified Financial Securities, Inc.

2960 North Meridian Street, Suite 300

Indianapolis, IN 46208

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Cohen Fund Audit Services, Ltd.

1350 Euclid Avenue, Suite 800

Cleveland, OH 44115

LEGAL COUNSEL

The Law Offices of John H. Lively & Associates, Inc.,

A member firm of The 1940 Act Law GroupTM

11300 Tomahawk Creek Pkwy, Suite 310

Leawood, KS 66211

CUSTODIAN

Huntington National Bank

41 S. High St.

Columbus, OH 43215

ADMINISTRATOR, TRANSFER AGENT AND FUND ACCOUNTANT

Huntington Asset Services, Inc.

2960 North Meridian Street, Suite 300

Indianapolis, IN 46208

This report is intended only for the information of shareholders or those who have received the Fund’s prospectus which contains information about the Fund’s management fee and expenses. Please read the prospectus carefully before investing.

Distributed by Unified Financial Securities, Inc.

Member FINRA/SIPC


SEMI-ANNUAL REPORT

July 31, 2014

 

LOGO

Angel Oak Multi-Strategy Income Fund

 

Angel Oak Capital Advisors, LLC

One Buckhead Plaza

3060 Peachtree Road NW

Suite 500

Atlanta, GA 30305

(404) 953-4900

 

 


Investment Results – (Unaudited)

 

Total Returns*

(For the periods ended July 31, 2014)

 

      Average Annual Returns  
     Six Months     One Year     Three Year     Since Inception
(June 28, 2011)
 

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

     3.20     9.07     10.45     12.18

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

     0.88     6.64     8.27     10.05

Barclays Capital U.S. Aggregate Bond Index**

     2.16     3.97     3.04     3.26

 

Total annual operating expenses, as disclosed in the Fund’s prospectus dated May 30, 2014, were 1.92% of average daily net assets (1.69% after fee waivers/expense reimbursements by the Adviser. The Adviser has contractually agreed to waive or limit its fees and assume other expenses of the Fund until May 31, 2015, so that total annual fund operating expenses do not exceed 0.99%. This operating expense limitation does not apply to brokerage fees and commissions, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, 12b-1 fees, extraordinary expenses and indirect expenses (such as “acquired fund fees and expenses”). This contractual arrangement may only be terminated by mutual consent of the Adviser and the Board of Trustees of the Fund, and it will automatically terminate upon the termination of the investment advisory agreement between the Fund and the Adviser.

 

Total Returns*

(For the periods ended July 31, 2014)

 

      Average Annual Returns  
     Six Months     One Year     Since Inception
(March  14, 2012)
 

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

     2.78     8.16     9.07

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

     1.78     7.16     9.07

Barclays Capital U.S. Aggregate Bond Index**

     2.16     3.97     2.22

 

1


Investment Results – (Unaudited) (continued)

 

Total annual operating expenses, as disclosed in the Fund’s prospectus dated May 30, 2014, were 2.67% of average daily net assets (2.44% after fee waivers/expense reimbursements by the Adviser). The Adviser has contractually agreed to waive or limit its fees and assume other expenses of the Fund until May 31, 2015, so that total annual fund operating expenses do not exceed 0.99%. This operating expense limitation does not apply to brokerage fees and commissions, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, 12b-1 fees, extraordinary expenses and indirect expenses (such as “acquired fund fees and expenses”). This contractual arrangement may only be terminated by mutual consent of the Adviser and the Board of Trustees of the Fund, and it will automatically terminate upon the termination of the investment advisory agreement between the Fund and the Adviser.

 

Total Returns*

(For the periods ended July 31, 2014)

 

      Average Annual Returns  
     Six Months     One Year     Since Inception
(August  16, 2012)
 

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

     3.25     9.28     7.67

Barclays Capital U.S. Aggregate Bond Index**

     2.16     3.97     1.51

 

Total annual operating expenses, as disclosed in the Fund’s prospectus dated May 30, 2014, were 1.67% of average daily net assets (1.44% after fee waivers/expense reimbursements by the Adviser). The Adviser has contractually agreed to waive or limit its fees and assume other expenses of the Fund until May 31, 2015, so that total annual fund operating expenses do not exceed 0.99%. This operating expense limitation does not apply to brokerage fees and commissions, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, 12b-1 fees, extraordinary expenses and indirect expenses (such as “acquired fund fees and expenses”). This contractual arrangement may only be terminated by mutual consent of the Adviser and the Board of Trustees of the Fund, and it will automatically terminate upon the termination of the investment advisory agreement between the Fund and the Adviser.

 

2


Investment Results – (Unaudited) (continued)

The performance quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s investment objectives, risks, charges and expenses must be considered carefully before investing. Current performance of a Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-877-625-3042.

The performance above reflects any fee reductions during the applicable period. If such fee reductions had not occurred, the quoted performance would be lower.

* Return figures reflect any change in price per share and assume the reinvestment of all distributions. Total returns for Class A shares, with load, include the maximum 5.75% sales charge (effective May 30, 2013, the maximum sales charge was reduced to 2.25%). Total returns for Class C shares, with load, assume the deduction of the maximum 1.00% deferred sales charge as if redemption took place on the last business day of the reporting period.

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

The Fund’s investment objective, strategies, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the investment company and may be obtained by calling 1-877-625-3042. Please read it carefully before investing.

The Fund is distributed by Unified Financial Securities, Inc., Member FINRA.

 

3


Portfolio Holdings – (Unaudited)

 

LOGO

1As a percentage of total investments.

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

Availability of Portfolio Schedule – (Unaudited)

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available at the SEC’s website at www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Summary of Fund’s Expenses – (Unaudited)

As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period, and held for the entire period from February 1, 2014 to July 31, 2014.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide

 

4


Summary of Fund’s Expenses – (Unaudited) (continued)

your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line of the table below is useful in comparing ongoing costs only and will not help you determine the relative costs of owning different funds.

 

Angel Oak Multi-Strategy
Income Fund
  Beginning
Account Value,
February 1, 2014
    Ending
Account Value,
July 31, 2014
    Expenses Paid
During Period(1)
    Annualized
Expense Ratio
 

Class A

  Actual   $ 1,000.00      $ 1,032.00      $ 7.83        1.55
    Hypothetical(2)   $ 1,000.00      $ 1,017.09      $ 7.77        1.55

Class C

  Actual   $ 1,000.00      $ 1,027.80      $ 11.58        2.30
    Hypothetical(2)   $ 1,000.00      $ 1,013.38      $ 11.49        2.30

Class I

  Actual   $ 1,000.00      $ 1,032.50      $ 6.57        1.30
    Hypothetical(2)   $ 1,000.00      $ 1,018.33      $ 6.52        1.30

(1) Expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratios reflect reimbursement of expenses by the Fund’s Adviser for the period February 1, 2014 through July 31, 2014. The “Financial Highlights” tables in the Fund’s financial statements, included in the report, also show the gross expense ratios, without such reimbursements.

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

 

5


Angel Oak Multi-Strategy Income Fund

Schedule of Investments

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – 82.12%

  

Adjustable Rate Mortgage Trust, Series 2005-3, Class 7A1, 2.518%, 7/25/2035 (a)

  $ 2,009,692      $ 1,934,036   

Adjustable Rate Mortgage Trust, Series 2005-4, Class 3A1, 2.753%, 8/25/2035 (a)

    206,660        195,377   

Adjustable Rate Mortgage Trust, Series 2005-8, Class 3A21, 2.655%, 11/25/2035 (a)

    12,802,219        11,126,383   

Adjustable Rate Mortgage Trust, Series 2005-8, Class 3A1, 2.655%, 11/25/2035 (a)

    18,550,976        16,122,617   

Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A21, 5.376%, 6/25/2037 (a)

    8,537,144        7,802,062   

American Home Mortgage Assets Trust, Series 2006-2, Class XBJ, 2.532%, 9/25/2046 (I/O) (a)

    75,445,471        5,281,183   

American Home Mortgage Assets Trust, Series 2006-6, Class XP, 2.301%, 12/25/2046 (I/O) (a)

    98,094,137        7,062,778   

American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.069%, 10/25/2034 (a)

    2,897,689        2,732,581   

American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, 5.408%, 9/25/2035

    41,955,126        34,403,371   

American Home Mortgage Investment Trust, Series 2006-2, Class 3A2, 6.200%, 6/25/2036

    732,338        438,439   

American Home Mortgage Investment Trust, Series 2005-2, Class 2A1, 1.725%, 9/25/2045 (a)

    1,552,272        1,324,419   

American Home Mortgage Investment Trust, Series 2005-2, Class 1A1, 0.455%, 9/25/2045 (a)

    3,705,788        3,232,574   

American Home Mortgage Investment Trust, Series 2005-4, Class 3A1, 0.455%, 11/25/2045 (a)

    1,799,811        1,442,228   

Bank of America Alternative Loan Trust, Series 2004-3, Class 2A1, 6.000%, 4/25/2034

    769,705        782,437   

Bank of America Alternative Loan Trust, Series 2005-6, Class 5A2, 5.500%, 7/25/2035

    2,826,830        2,696,638   

Bank of America Alternative Loan Trust, Series 2005-9, Class 1CB2, 5.500%, 10/25/2035

    11,270,920        10,532,911   

Bank of America Commercial Mortgage Trust, Series 2007-5, Class AJ, 5.995%, 2/10/2051 (a)

    5,000,000        5,024,163   

 

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

 

6


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Bank of America Funding Corp., Series 2004-C, Class 3A1, 2.838%, 12/20/2034 (a)

  $ 141,366      $ 133,930   

Bank of America Funding Corp., Series 2007-C, Class 4A2, 5.269%, 5/20/2036 (a)

    5,118,183        5,049,182   

Bank of America Funding Corp., Series 2007-C, Class 4A3, 5.269%, 5/20/2036 (a)

    22,057,176        21,759,812   

Bank of America Funding Corp., Series 2006-G, Class 3A2, 5.750%, 7/20/2036 (a)

    5,920,000        5,790,911   

Bank of America Funding Corp., Series 2006-5, Class 1A4, 6.000%, 9/25/2036

    11,928,147        10,945,100   

Bank of America Funding Corp., Series 2007-1, Class TA3B, 5.943%, 1/25/2037

    1,786,519        1,459,615   

Bank of America Funding Corp., Series 2007-1, Class TA1B, 5.846%, 1/25/2037 (a)

    2,661,016        2,171,277   

Bank of America Funding Corp., Series 2007-1, Class TA4, 6.090%, 1/25/2037

    1,437,420        1,174,053   

Bank of America Funding Corp., Series 2007-D, Class 3A3, 5.322%, 6/20/2037 (a)

    6,150,675        5,935,905   

Bank of America Funding Corp., Series 2007-D, Class 3A1, 5.322%, 6/20/2037 (a)

    363,147        350,467   

Bank of America Mortgage Securities, Inc., Series 2004-I, Class 2A2, 2.754%, 10/25/2034 (a)

    436,035        440,269   

Bank of America Mortgage Securities, Inc., Series 2005-E, Class 2A1, 2.703%, 6/25/2035 (a)

    1,361,957        1,308,356   

Bank of America Mortgage Securities, Inc., Series 2005-I, Class 2A3, 2.779%, 10/25/2035 (a)

    240,304        217,550   

Bank of America Mortgage Securities, Inc., Series 2005-I, Class 4A1, 5.014%, 10/25/2035 (a)

    7,598,883        7,448,201   

Bank of America Mortgage Securities, Inc., Series 2006-2, Class A1, 6.000%, 7/25/2046 (a)

    8,478,516        7,944,870   

Bayview Commercial Asset Trust, Series 2005-2A, Class A1, 0.465%, 8/25/2035 (a)(b)

    12,478,536        11,394,613   

Bayview Commercial Asset Trust, Series 2005-4A, Class A2, 0.545%, 1/25/2036 (a)(b)

    3,172,390        2,837,506   

Bayview Commercial Asset Trust, Series 2005-4A, Class A1, 0.455%, 1/25/2036 (a)(b)

    2,934,681        2,679,217   

 

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

 

7


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 4A1, 4.944%, 3/25/2035 (a)

  $ 2,691,757      $ 2,684,879   

Bear Stearns ALT-A Trust, Series 2005-5, Class 21A1, 2.393%, 7/25/2035 (a)

    4,889,109        4,781,211   

Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1, 2.696%, 9/25/2035 (a)

    20,094,859        17,644,392   

Bear Stearns ALT-A Trust, Series 2005-8, Class 11A1, 0.695%, 10/25/2035 (a)(c)

    19,957,013        17,668,243   

Bear Stearns Asset Backed Securities Trust, Series 2005-AC2, Class 1A, 5.250%, 4/25/2035

    5,623,281        5,554,233   

Bear Stearns Asset Backed Securities Trust, Series 2005-AC4, Class A, 5.500%, 7/25/2035

    2,763,019        2,624,774   

Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2, 0.655%, 8/25/2035 (a)

    5,206,771        4,396,092   

Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class AJ, 5.886%, 6/11/2050 (a)

    5,000,000        5,121,520   

Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1X, 0.500%, 12/25/2046 (I/O)

    82,902,525        2,279,819   

CD Commercial Mortgage Trust, Series 2006-CD3, Class AJ, 5.688%, 10/15/2048

    4,580,000        4,494,136   

CFCRE Commercial Mortgage Trust, Series 2011-C1, Class F, 5.000%, 4/15/2044 (b)

    7,931,000        7,388,179   

Chase Mortgage Finance Corp., Series 2005-A1, Class 1A1, 4.879%, 12/25/2035 (a)

    8,760,755        8,499,987   

Chase Mortgage Finance Corp., Series 2005-A1, Class 3A1, 2.534%, 12/25/2035 (a)

    1,635,202        1,506,881   

Chase Mortgage Finance Corp., Series 2007-A2, Class 7A1, 4.965%, 7/25/2037 (a)

    1,723,274        1,619,747   

ChaseFlex Trust, Series 2006-1, Class A4, 5.126%, 6/25/2036 (a)

    31,805,000        28,801,177   

ChaseFlex Trust, Series 2006-2, Class A4, 5.516%, 9/25/2036 (a)

    14,791,214        14,427,180   

Chevy Chase Mortgage Funding Corp., Series 2005-1A, Class A1, 0.305%, 1/25/2036 (a)(b)

    11,104,035        9,930,949   

Chevy Chase Mortgage Funding Corp., Series 2005-1A, Class A2, 0.355%, 1/25/2036 (a)(b)

    8,914,920        8,245,766   

 

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

 

8


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Chevy Chase Mortgage Funding Corp., Series 2005-3A, Class A1, 0.335%, 7/25/2036 (a)(b)

  $ 9,011,551      $ 7,887,279   

Chevy Chase Mortgage Funding Corp., Series 2005-4A, Class IO, 1.308%, 4/25/2037 (I/O) (a)(b)

    85,207,395        5,378,717   

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class D, 4.658%, 7/10/2024 (b)

    10,000,000        9,382,101   

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A4, 3.622%, 7/10/2024 (b)

    7,000,000        7,209,702   

Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class A4, 4.131%, 11/10/2046 (c)

    10,000,000        10,688,455   

Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class D, 4.900%, 3/10/2047 (a)(b)

    9,000,000        8,752,536   

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A5, 3.855%, 5/10/2047 (c)

    10,000,000        10,421,885   

Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.583%, 5/25/2035 (a)

    602,689        595,921   

Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, 5.229%, 8/25/2035 (a)

    639,172        636,712   

Citigroup Mortgage Loan Trust, Inc., Series 2005-7, Class 2A2A, 2.852%, 9/25/2035 (a)

    10,472,231        9,797,139   

Citigroup Mortgage Loan Trust, Inc., Series 2005-8, Class 1A4A, 4.814%, 10/25/2035 (a)

    619,482        570,552   

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, 2.639%, 3/25/2036 (a)

    379,181        357,172   

Citigroup Mortgage Loan Trust, Inc., Series 2006-AR6, Class 1A1, 5.531%, 8/25/2036 (a)

    4,946,563        4,609,732   

Commercial Mortgage Trust, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 (c)

    10,000,000        10,364,285   

Commercial Mortgage Trust, Series 2013-CR6, Class E, 4.314%, 3/10/2046 (a)(b)

    6,146,000        5,235,639   

Commercial Mortgage Trust, Series 2013-CR11, Class AM, 4.715%, 10/10/2046 (a)(c)

    10,000,000        10,924,130   

Commercial Mortgage Trust, Series 2014-CR14, Class D, 4.612%,
2/10/2047 (a)(b)

    6,250,000        6,071,428   

Commercial Mortgage Trust, Series 2014-UBS2, Class AM, 4.199%, 3/10/2047

    4,250,000        4,458,465   

 

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

 

9


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Commercial Mortgage Trust, Series 2014-UBS2, Class B, 4.701%, 3/10/2047

  $ 2,000,000      $ 2,133,771   

Commercial Mortgage Trust, Series 2014-CR16, Class AM, 4.278%, 4/10/2047 (c)

    10,000,000        10,548,085   

Commercial Mortgage Trust, Series 2014-LC15, Class A4, 4.006%, 4/10/2047 (c)

    10,000,000        10,546,115   

Commercial Mortgage Trust, Series 2014-LC15, Class AM, 4.198%, 4/10/2047 (c)

    10,000,000        10,509,395   

Commercial Mortgage Trust, Series 2014-CR17, Class D, 4.800%,
5/10/2047 (a)(b)

    8,250,000        7,944,111   

Commercial Mortgage Trust, Series 2014-CR17, Class C, 4.736%, 5/10/2047 (a)

    5,000,000        5,256,298   

Commercial Mortgage Trust, Series 2014-UBS4, Class A5, 3.694%, 8/10/2047

    10,000,000        10,299,969   

Commercial Mortgage Trust, Series 2014-UBS4, Class B, 4.350%, 8/10/2047

    10,000,000        10,299,308   

Commercial Mortgage Trust, Series 2014-UBS4, Class C, 4.781%, 8/10/2047 (a)

    5,000,000        5,149,940   

CountryWide Alternative Loan Trust, Series 2004-J10, Class 1A3, 4.250%, 10/25/2034

    1,446,562        1,420,168   

CountryWide Alternative Loan Trust, Series 2005-J1, Class 1A7, 5.500%, 2/25/2035

    8,602,000        8,280,027   

CountryWide Alternative Loan Trust, Series 2005-1CB, Class 1A4, 5.500%, 3/25/2035

    1,809,169        1,763,178   

CountryWide Alternative Loan Trust, Series 2005-3CB, Class 1A11, 5.500%, 3/25/2035

    2,695,183        2,708,548   

CountryWide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.365%, 5/25/2035 (a)

    1,557,925        1,322,706   

CountryWide Alternative Loan Trust, Series 2005-J5, Class 1A1, 0.455%, 5/25/2035 (a)

    10,709        10,715   

CountryWide Alternative Loan Trust, Series 2005-21CB, Class A17, 6.000%, 6/25/2035

    900,153        932,006   

CountryWide Alternative Loan Trust, Series 2005-23CB, Class A2, 5.500%, 7/25/2035

    9,521,629        9,447,227   

CountryWide Alternative Loan Trust, Series 2005-J6, Class 1A4, 5.500%, 7/25/2035

    1,817,670        1,780,948   

 

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

 

10


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

CountryWide Alternative Loan Trust, Series 2005-26CB, Class A1, 0.655%, 7/25/2035 (a)

  $ 2,845,822      $ 2,261,421   

CountryWide Alternative Loan Trust, Series 2005-J6, Class 1A1, 0.655%, 7/25/2035 (a)

    1,305,174        1,088,124   

CountryWide Alternative Loan Trust, Series 2005-28CB, Class 1A6, 5.500%, 8/25/2035

    15,465,652        14,901,860   

CountryWide Alternative Loan Trust, Series 2005-31, Class 2X, 2.157%, 8/25/2035 (I/O) (a)

    54,244,399        4,136,135   

CountryWide Alternative Loan Trust, Series 2005-31, Class 2A1, 0.455%, 8/25/2035 (a)

    18,233,905        16,185,198   

CountryWide Alternative Loan Trust, Series 2005-J9, Class 1A6, 5.500%, 8/25/2035

    2,199,744        2,047,524   

CountryWide Alternative Loan Trust, Series 2005-44, Class 1X, 2.145%, 10/25/2035 (I/O) (a)

    69,515,863        4,931,282   

CountryWide Alternative Loan Trust, Series 2005-J10, Class 1A1, 0.655%, 10/25/2035 (a)

    1,111,675        891,432   

CountryWide Alternative Loan Trust, Series 2005-51, Class 3X2, 2.099%, 11/20/2035 (I/O) (a)

    43,826,623        2,629,597   

CountryWide Alternative Loan Trust, Series 2005-58R, Class A, 2.247%, 12/20/2035 (I/O) (a)(b)

    193,698,845        13,316,796   

CountryWide Alternative Loan Trust, Series 2005-65CB, Class 2A4, 5.500%, 12/25/2035

    2,297,855        2,099,274   

CountryWide Alternative Loan Trust, Series 2005-J14, Class A8, 5.500%, 12/25/2035

    6,714,881        6,170,250   

CountryWide Alternative Loan Trust, Series 2006-OA3, Class X, 2.264%, 5/25/2036 (I/O) (a)

    69,952,639        4,962,265   

CountryWide Alternative Loan Trust, Series 2006-0A10, Class XNB, 1.782%, 8/25/2046 (I/O) (a)

    56,981,514        3,048,511   

CountryWide Alternative Loan Trust, Series 2006-OA10, Class XAD, 1.701%, 8/25/2046 (I/O) (a)

    178,574,992        12,444,445   

CountryWide Alternative Loan Trust, Series 2006-OA12, Class X, 2.549%, 9/20/2046 (I/O) (a)

    90,545,287        6,736,569   

 

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

 

11


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

CountryWide Alternative Loan Trust, Series 2006-OA19, Class XP, 2.551%, 2/20/2047 (I/O) (a)

  $ 76,502,074      $ 6,646,118   

CountryWide Alternative Loan Trust, Series 2007-HY3, Class 3A1, 5.620%, 3/25/2047 (a)

    522,183        455,474   

CountryWide Home Loan Mortgage Pass Through Trust, Series 2005-7, Class 3X, 0.853%, 3/25/2035 (I/O) (a)

    4,092,755        155,525   

CountryWide Home Loan Mortgage Pass Through Trust, Series 2004-HYB3, Class 2A, 2.329%, 6/20/2034 (a)

    1,619,601        1,567,300   

CountryWide Home Loan Mortgage Pass Through Trust, Series 2004-11, Class 3A1, 2.475%, 7/25/2034 (a)

    1,959,827        1,961,805   

CountryWide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1X, 2.152%, 5/25/2035 (I/O) (a)

    58,595,361        3,369,233   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2003-52, Class A1, 2.541%, 2/19/2034 (a)

    1,087,297        1,072,716   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 3A1, 2.507%, 12/20/2035 (a)

    780,014        686,481   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-12, Class X, 0.276%, 7/25/2036 (I/O) (a)

    142,413,108        1,082,340   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-9, Class A13, 5.750%, 7/25/2037

    16,519,987        16,108,739   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2007-14, Class A15, 6.500%, 9/25/2037

    6,773,340        6,700,967   

CountryWide Home Loan Mortgage Pass-Through Trust, Series 2006-OA2, Class X1P, 0.230%, 5/20/2046 (I/O) (a)

    188,567,048        13,965,747   

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-4, Class 2A7, 0.605%, 6/25/2035 (a)

    1,862,191        1,601,005   

 

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

 

12


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 2A1, 5.500%, 10/25/2035

  $ 1,589,713      $ 1,559,325   

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 4A2, 0.505%, 10/25/2035 (a)

    3,526,244        2,959,845   

Credit Suisse First Boston Mortgage Securities Corp., Series 2006-2, Class 6A8, 5.750%, 3/25/2036

    3,874,897        3,569,938   

Credit Suisse Mortgage Capital Certificates, Series 2012-9, Class B1, 2.419%, 2/25/2050 (a)(b)

    10,363,000        9,308,565   

Credit Suisse Mortgage Trust, Series 2006-6, Class 1A10, 6.000%, 7/25/2036

    2,130,041        1,659,349   

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A2, 0.275%, 8/25/2036 (a)

    1,316,165        1,014,601   

Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-SR3, Class A6, 0.435%, 8/25/2036 (a)

    1,817,843        1,231,096   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-4, Class A3, 5.250%, 9/25/2035 (a)

    12,356,879        10,795,637   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A1A, 6.005%, 10/25/2036 (a)

    3,636,534        2,971,816   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A4C, 6.100%, 10/25/2036

    7,392,019        6,060,391   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A6A2, 5.886%, 10/25/2036

    407,329        330,960   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Class A6A1, 5.869%, 10/25/2036

    407,329        330,686   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR5, Class 1A2, 0.345%, 10/25/2036 (a)

    11,442,279        7,041,727   

Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR4, Class A2, 0.345%, 12/25/2036 (a)

    5,661,209        3,617,886   

Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A3, 6.510%, 7/25/2036 (a)

    8,642,469        6,354,920   

Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A2, 6.420%, 7/25/2036 (a)

    9,110,762        6,719,278   

Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A2, 6.160%, 6/25/2036 (a)

    5,503,594        4,498,181   

DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 2.074%, 11/19/2044 (I/O) (a)

    78,604,842        4,323,266   

 

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

 

13


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A, 0.366%, 3/19/2045 (a)

  $ 4,983,142      $ 4,562,998   

DSLA Mortgage Loan Trust, Series 2005-AR1, Class X2, 2.784%, 3/19/2045 (I/O) (a)

    76,902,897        6,104,167   

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A18, 5.500%, 11/25/2035

    4,647        4,154   

First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A5, 5.125%, 11/25/2035

    2,260,085        1,976,715   

First Horizon Alternative Mortgage Securities Trust, Series 2005-AR5, Class 2A1, 2.613%, 11/25/2035 (a)

    4,141,210        3,964,165   

GE Commercial Mortgage Corp. Trust, Series 2007-C1, Class AM, 5.606%, 12/10/2049 (a)

    10,000,000        10,579,300   

GMAC Mortgage Corp. Loan Trust, Series 2005-AR2, Class 4A, 4.621%, 5/25/2035 (a)

    1,791,231        1,743,523   

GMAC Mortgage Corp. Loan Trust, Series 2005-AR2, Class 2A, 3.062%, 5/25/2035 (a)

    13,926,951        13,672,366   

GMAC Mortgage Corp. Loan Trust, Series 2005-AF1, Class A11, 5.750%, 7/25/2035

    591,795        474,816   

GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 5A1, 4.634%, 9/19/2035 (a)

    726,753        719,783   

GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 2A1, 3.010%, 11/19/2035 (a)

    5,363,368        5,084,049   

GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 4A1, 4.961%, 11/19/2035 (a)

    476,344        464,424   

GreenPoint Mortgage Funding Trust, Series 2006-AR3, Class 4A1, 0.365%, 4/25/2036 (a)

    37,425,621        29,033,524   

GreenPoint Mortgage Funding Trust, Series 2006-AR3, Class 4X, 1.000%, 4/25/2036 (I/O)

    108,579,402        5,971,867   

GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 3X1, 2.313%, 11/25/2045 (I/O) (a)

    13,810,931        984,029   

GreenPoint MTA Trust, Series 2005-AR2, Class X1, 2.157%, 6/25/2045 (I/O) (a)

    54,275,708        3,392,232   

GreenPoint MTA Trust, Series 2005-AR1, Class X1, 2.195%, 6/25/2045 (I/O) (a)

    64,067,733        4,124,360   

GreenPoint MTA Trust, Series 2005-AR3, Class 1A1, 0.395%, 8/25/2045 (a)

    16,356,857        14,608,914   

 

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

 

14


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

GS Mortgage Securities Corp. II, Series 2013-GC10, Class C, 4.285%, 2/10/2046 (a)(b)

  $ 5,000,000      $ 5,083,535   

GS Mortgage Securities Corp. II, Series 2014-GC20, Class D, 4.866%, 4/10/2047 (a)(b)

    5,000,000        4,827,708   

GS Mortgage Securities Trust, Series 2013-GC14, Class D, 4.775%,
8/10/2023 (a)(b)

    7,260,000        7,077,683   

GS Mortgage Securities Trust, Series 2013-GC14, Class C, 4.775%,
8/10/2023 (a)(b)(c)

    6,600,000        6,943,114   

GS Mortgage Securities Trust, Series 2012-GCJ7, Class C, 5.723%,
5/10/2045 (a)(c)

    3,000,000        3,359,324   

GS Mortgage Securities Trust, Series 2013-GC12, Class AS, 3.375%, 6/10/2046

    3,000,000        2,981,633   

GS Mortgage Securities Trust, Series 2013-GC12, Class A4, 3.135%, 6/10/2046

    5,000,000        4,991,503   

GS Mortgage Securities Trust, Series 2013-GC13, Class C, 4.072%,
7/10/2046 (a)(b)

    7,500,000        7,545,026   

GS Mortgage Securities Trust, Series 2013-GC16, Class C, 5.315%, 11/10/2046 (a)(c)

    7,000,000        7,639,058   

GS Mortgage Securities Trust, Series 2013-GC16, Class A4, 4.271%, 11/10/2046

    5,000,000        5,392,250   

GS Mortgage Securities Trust, Series 2014-GC18, Class C, 4.949%, 1/10/2047 (a)

    5,000,000        5,303,432   

GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.646%,
6/10/2047 (a)(b)

    5,000,000        4,724,095   

GSR Mortgage Loan Trust, Series 2005-AR1, Class 4A1, 4.520%, 1/25/2035 (a)

    1,935,559        1,914,456   

GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A1, 2.783%, 4/25/2035 (a)

    2,799,569        2,668,734   

GSR Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 2.634%, 5/25/2035 (a)

    16,698,581        15,299,357   

GSR Mortgage Loan Trust, Series 2005-AR3, Class 8A1, 5.191%, 5/25/2035 (a)

    8,031,222        7,951,697   

GSR Mortgage Loan Trust, Series 2005-AR4, Class 3A5, 2.584%, 7/25/2035 (a)

    7,717,743        7,370,645   

GSR Mortgage Loan Trust, Series 2005-6F, Class 3410, 6.000%, 7/25/2035

    595,136        590,265   

 

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

 

15


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

GSR Mortgage Loan Trust, Series 2005-AR7, Class 4A1, 2.570%, 11/25/2035 (a)

  $ 6,010,953      $ 5,141,991   

GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1, 5.072%, 11/25/2035 (a)

    5,645,601        5,619,592   

GSR Mortgage Loan Trust, Series 2005-AR7, Class 5A1, 4.903%, 11/25/2035 (a)

    3,663,791        3,417,863   

GSR Mortgage Loan Trust, Series 2006-AR1, Class 3A1, 2.867%, 1/25/2036 (a)

    1,104,197        1,023,931   

GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6, 6.000%, 2/25/2036

    7,023,718        6,173,230   

GSR Mortgage Loan Trust, Series 2006-1F, Class 2A5, 6.000%, 2/25/2036

    4,283,158        4,093,757   

GSR Mortgage Loan Trust, Series 2006-1F, Class 1A6, 1.105%, 2/25/2036 (a)

    804,338        686,526   

HarborView Mortgage Loan Trust, Series 2005-12, Class 2A12, 0.906%, 10/19/2035 (a)

    18,381,886        16,206,408   

HarborView Mortgage Loan Trust, Series 2005-10, Class X, 2.080%, 11/19/2035 (I/O) (a)

    20,353,062        1,297,508   

HarborView Mortgage Loan Trust, Series 2006-1, Class X1, 2.273%, 3/19/2036 (I/O) (a)

    180,869,788        12,321,754   

HarborView Mortgage Loan Trust, Series 2006-10, Class 2A1A, 0.336%, 11/19/2036 (a)

    21,268,613        17,987,547   

HarborView Mortgage Loan Trust, Series 2007-6, Class 2A1A, 0.346%, 8/19/2037 (a)

    22,306,931        19,434,869   

HarborView Mortgage Loan Trust, Series 2005-11, Class X, 2.305%, 8/19/2045 (I/O) (a)

    88,177,564        5,235,543   

HarborView Mortgage Loan Trust, Series 2005-15, Class X1P, 2.259%, 10/20/2045 (I/O) (a)

    20,045,072        1,277,873   

HarborView Mortgage Loan Trust, Series 2006-5, Class X2, 3.035%, 7/19/2046 (I/O) (a)

    100,854,858        8,572,663   

HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 0.306%, 1/25/2047 (a)

    56,757,247        45,689,640   

HarborView Mortgage Loan Trust, Series 2007-3, Class 2A1A, 0.356%, 5/19/2047 (a)

    32,682,888        28,517,650   

HarborView Mortgage Loan Trust, Series 2007-5, Class A1A, 0.346%, 9/19/2037 (a)

    8,356,448        6,835,115   

 

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

 

16


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

HarborView Mortgage Loan Trust, Series 2007-2, Class 2A1A, 0.315%, 5/25/2038 (a)

  $ 30,847,991      $ 23,871,656   

HomeBanc Mortgage Trust, Series 2005-1, Class A1, 0.405%, 3/25/2035 (a)

    17,866,109        16,189,840   

IMPAC CMB Trust, Series 2005-4, Class 1A1A, 0.695%, 5/25/2035 (a)

    148,274        138,721   

IMPAC CMB Trust, Series 2005-5, Class A2, 0.595%, 8/25/2035 (a)

    11,381,739        10,188,227   

IMPAC CMB Trust, Series 2005-5, Class A4, 0.915%, 8/25/2035 (a)

    8,238,370        6,205,173   

IMPAC CMB Trust, Series 2005-6, Class 1A1, 0.655%, 10/25/2035 (a)

    337,490        285,175   

IMPAC Secured Assets Corp., Series 2006-2, Class 1A2C, 0.435%, 8/25/2036 (a)

    6,928,887        5,431,166   

IMPAC Secured Assets Corp., Series 2007-2, Class 1A1C, 0.535%, 5/25/2037 (a)

    8,252,449        5,766,028   

IMPAC Secured Assets Corp., Series 2007-3, Class A1B, 0.395%, 9/25/2037 (a)

    7,797,433        5,167,842   

INDYMAC IMSC Mortgage Loan Trust, Series 2007-AR2, Class AX, 2.385%, 3/25/2047 (I/O) (a)

    85,273,752        5,542,794   

INDYMAC INDA Mortgage Loan Trust, Series 2006-AR1, Class A3, 5.044%, 8/25/2036 (a)

    1,865,212        1,859,531   

INDYMAC Index Mortgage Loan Trust, Series 2004-AR5, Class AX2, 1.271%, 8/25/2034 (I/O) (a)

    52,187,507        2,979,907   

INDYMAC Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A, 0.955%, 11/25/2034 (a)

    1,353,674        1,243,096   

INDYMAC Index Mortgage Loan Trust, Series 2004-A9, Class A4, 5.250%, 12/25/2034

    7,345,755        7,344,631   

INDYMAC Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 2.674%, 4/25/2035 (a)

    4,858,445        4,824,601   

INDYMAC Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 4.553%, 9/25/2035 (a)

    16,267,762        14,531,764   

 

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

 

17


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

INDYMAC Index Mortgage Loan Trust, Series 2005-AR15, Class A1, 4.553%, 9/25/2035 (a)(c)

  $ 24,553,230      $ 21,933,057   

INDYMAC Index Mortgage Loan Trust, Series 2005-A11, Class 1A1, 0.605%, 10/25/2035 (a)

    394,088        347,821   

INDYMAC Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 4.784%, 11/25/2035 (a)

    5,620,510        5,405,138   

INDYMAC Index Mortgage Loan Trust, Series 2005-AR25, Class 1A21, 4.880%, 12/25/2035 (a)

    1,246,388        1,042,555   

INDYMAC Index Mortgage Loan Trust, Series 2006-AR9, Class 3A1, 4.372%, 6/25/2036 (a)

    2,712,220        2,634,277   

INDYMAC Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3, 4.372%, 6/25/2036 (a)

    2,645,266        2,569,246   

INDYMAC Index Mortgage Loan Trust, Series 2006-A13, Class A1, 4.759%, 7/25/2036 (a)

    820,020        762,893   

INDYMAC Index Mortgage Loan Trust, Series 2006-A13, Class A2, 0.455%, 7/25/2036 (a)

    3,837,432        3,148,786   

INDYMAC Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, 0.465%, 10/25/2036 (a)

    22,848,703        17,614,042   

INDYMAC Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1B, 0.365%, 4/25/2046 (a)

    4,971,918        4,175,128   

INDYMAC Index Mortgage Loan Trust, Series 2006-AR12, Class A1, 0.345%, 9/25/2046 (a)

    10,671,411        9,212,949   

JP Morgan Alternative Loan Trust, Series 2005-S1, Class 2A9, 6.000%, 12/25/2035

    589,648        551,145   

JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1, 0.675%, 1/25/2036 (a)

    2,471,430        2,276,063   

JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 0.385%, 3/25/2036 (a)

    11,984,313        9,938,064   

JP Morgan Alternative Loan Trust, Series 2006-S4, Class A5, 6.000%, 12/25/2036

    28,740,000        22,710,923   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D, 5.008%, 12/15/2046 (a)(b)

    10,000,000        9,945,015   

 

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

 

18


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A4, 4.166%, 12/15/2046 (c)

  $ 5,000,000      $ 5,351,472   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class C, 5.008%, 12/15/2046 (a)

    7,000,000        7,538,020   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class AJ, 5.502%, 6/12/2047

    10,000,000        9,978,440   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C, 4.160%, 12/15/2047 (a)

    2,755,000        2,809,269   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class AM, 5.805%, 6/15/2049 (a)

    5,000,000        5,291,823   

JP Morgan Chase Commercial Mortgage Securities Trust , Series 2006-CB14, Class AJ, 5.489%, 12/12/2044 (a)

    5,000,000        4,986,683   

JP Morgan Mortgage Trust, Series 2004-A2, Class 1A2, 2.609%, 5/25/2034 (a)

    1,639,534        1,648,983   

JP Morgan Mortgage Trust, Series 2005-A8, Class 1A1, 5.131%, 11/25/2035 (a)

    1,680,620        1,627,081   

JP Morgan Mortgage Trust, Series 2005-A8, Class 3A1, 2.536%, 11/25/2035 (a)

    318,523        309,972   

JP Morgan Mortgage Trust, Series 2005-S3, Class 1A14, 5.500%, 1/25/2036

    5,715,880        5,514,838   

JP Morgan Mortgage Trust, Series 2006-A1, Class 3A2, 2.604%, 2/25/2036 (a)

    1,155,064        1,029,589   

JP Morgan Mortgage Trust, Series 2006-A1, Class 2A2, 2.654%, 2/25/2036 (a)

    580,681        522,568   

JP Morgan Mortgage Trust, Series 2006-A5, Class 3A2, 5.552%, 10/25/2036 (a)

    1,156,942        1,073,123   

JP Morgan Mortgage Trust, Series 2007-A2, Class 4A2, 5.040%, 4/25/2037 (a)

    2,206,831        2,062,463   

JP Morgan Mortgage Trust, Series 2007-A2, Class 4A1, 5.040%, 4/25/2037 (a)

    1,986,891        1,856,911   

JP Morgan Mortgage Trust, Series 2007-A4, Class 3A3, 5.252%, 6/25/2037 (a)

    7,263,832        6,698,176   

 

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

 

19


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class A5, 4.131%, 11/15/2045 (c)

  $ 15,000,000      $ 16,015,425   

JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D, 4.713%, 8/15/2046 (a)(b)

    5,000,000        4,848,218   

JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class C, 4.887%, 1/15/2047 (a)

    10,000,000        10,667,920   

JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class A5, 4.079%, 2/15/2047 (c)

    10,000,000        10,609,215   

LB-UBS Commercial Mortgage Trust, Series 2008-C1, Class AJ, 6.150%, 4/15/2041 (a)

    4,855,516        4,853,120   

Luminent Mortgage Trust, Series 2005-1, Class A1, 0.415%, 11/25/2035 (a)

    13,455,716        12,232,605   

Luminent Mortgage Trust, Series 2007-2, Class 1A2, 0.435%, 5/25/2037 (a)

    11,714,803        8,983,708   

Luminent Mortgage Trust, Series 2006-2, Class X, 2.348%, 2/25/2046 (I/O) (a)

    49,604,722        3,162,301   

Luminent Mortgage Trust, Series 2006-6, Class A1, 0.355%, 10/25/2046 (a)

    29,629,521        26,128,141   

MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 2A2, 2.742%, 12/25/2034 (a)

    49,298        47,249   

MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class 9A1, 5.243%, 1/25/2035 (a)

    1,260,416        1,268,230   

MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.528%, 3/25/2035 (a)

    3,417,919        3,452,087   

MASTR Adjustable Rate Mortgages Trust, Series 2005-6, Class 7A1, 5.195%, 6/25/2035 (a)

    2,046,669        1,951,501   

MASTR Adjustable Rate Mortgages Trust, Series 2005-6, Class 5A2, 2.210%, 7/25/2035 (a)

    673,955        592,735   

MASTR Adjustable Rate Mortgages Trust, Series 2006-OA2, Class X1, 0.900%, 12/25/2046 (I/O)

    123,187,418        6,351,851   

MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A1, 0.305%, 3/25/2047 (a)

    3,293,845        2,809,544   

MASTR Alternative Loan Trust, Series 2005-3, Class 3A1, 6.500%, 4/25/2035

    3,568,974        3,567,832   

MASTR Asset Securitization Trust, Series 2007-2, Class A3, 6.250%, 1/25/2038

    2,286,284        2,122,620   

 

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

 

20


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1, Class 1AF4, 6.000%, 5/25/2037

  $ 5,053,615      $ 4,059,165   

Merrill Lynch Mortgage Investors Trust, Series 2005-A7, Class 2A1, 5.085%, 9/25/2035 (a)

    22,535,163        21,778,522   

Merrill Lynch-CFC Commercial Mortgage Trust, Series 2006-1, Class B, 5.568%, 2/12/2039 (a)

    2,500,000        2,385,091   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class D, 4.303%, 2/15/2046 (a)(b)

    10,000,000        9,542,310   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D, 4.160%, 5/15/2046 (a)(b)

    6,500,000        6,119,152   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.218%, 8/15/2046 (a)(c)

    21,000,000        22,611,897   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A4, 4.259%, 10/15/2046 (a)(c)

    17,480,000        18,827,778   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.770%, 10/15/2046 (a)

    4,000,000        4,201,732   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D, 4.899%, 4/15/2047 (a)(b)

    15,000,000        14,537,310   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class C, 4.609%, 8/15/2047 (a)

    10,000,000        9,999,675   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A5, 3.741%, 8/15/2047

    8,000,000        8,239,755   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class C, 4.835%, 2/15/2047 (a)

    4,000,000        4,240,418   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class D, 4.835%, 2/15/2047 (a)(b)

    7,500,000        7,313,332   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class A5, 3.892%, 6/15/2047 (c)

    6,500,000        6,790,972   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class D, 4.758%, 6/15/2047 (a)(b)

    10,500,000        9,970,548   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class C, 4.758%, 6/15/2047 (a)

    10,000,000        10,464,050   

Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AMFX, 5.685%, 4/15/2049 (a)

    9,700,000        10,337,959   

Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AM, 5.685%, 4/15/2049 (a)

    20,000,000        21,298,870   

 

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

 

21


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A5, 2.455%, 10/25/2034 (a)

  $ 470,492      $ 358,023   

Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A1, 2.810%, 3/25/2036 (a)

    16,095,715        13,813,198   

Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1, 2.628%, 11/25/2037 (a)

    12,110,144        9,798,378   

Mortgage IT Trust, Series 2006-1, Class 2A1A, 0.365%, 4/25/2036 (a)

    8,215,096        7,247,777   

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1, 2.871%, 8/25/2035 (a)

    8,546,335        8,368,819   

Prime Mortgage Trust, Series 2005-4, Class 2A4, 0.655%, 10/25/2035 (a)

    160,251        143,691   

RAIT Trust, Series 2014-FL2, Class B, 2.302%, 5/13/2031 (a)(b)

    650,000        641,875   

Residential Accredit Loans, Inc. Trust, Series 2005-QS2, Class A3, 5.500%, 2/25/2035

    9,720,973        9,722,265   

Residential Accredit Loans, Inc. Trust, Series 2005-QA4, Class A31, 3.061%, 4/25/2035 (a)

    10,255,978        9,792,254   

Residential Accredit Loans, Inc. Trust, Series 2005-QS9, Class A6, 5.500%, 6/25/2035

    7,911,958        7,469,197   

Residential Accredit Loans, Inc. Trust, Series 2005-QS11, Class A2, 0.655%, 7/25/2035 (a)

    1,002,494        875,428   

Residential Accredit Loans, Inc. Trust, Series 2005-QS12, Class A3, 5.500%, 8/25/2035

    2,640,920        2,560,216   

Residential Accredit Loans, Inc. Trust, Series 2005-QS12, Class A4, 5.500%, 8/25/2035

    19,761,862        18,003,708   

Residential Accredit Loans, Inc. Trust, Series 2005-QS12, Class A10, 1.505%, 8/25/2035 (a)

    12,894,031        10,664,679   

Residential Accredit Loans, Inc. Trust, Series 2005-QS13, Class 1A6, 5.500%, 9/25/2035

    4,480,638        3,920,003   

Residential Accredit Loans, Inc. Trust, Series 2006-QS1, Class A5, 1.065%, 1/25/2036 (a)

    22,309,370        16,750,388   

Residential Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A5, 1.155%, 2/25/2036 (a)

    3,099,901        2,238,727   

Residential Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A9, 5.500%, 2/25/2036

    6,195,797        5,316,230   

 

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

 

22


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Residential Accredit Loans, Inc. Trust, Series 2006-QS2, Class 1A14, 0.855%, 2/25/2036 (a)

  $ 17,348,850      $ 12,787,490   

Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A14, 6.000%, 3/25/2036

    6,365,263        5,577,473   

Residential Accredit Loans, Inc. Trust, Series 2006-QS3, Class 1A8, 0.555%, 3/25/2036 (a)

    7,722,837        5,504,329   

Residential Accredit Loans, Inc. Trust, Series 2006-QS4, Class A9, 6.000%, 4/25/2036

    1,222,609        1,054,306   

Residential Accredit Loans, Inc. Trust, Series 2006-QS4, Class A4, 6.000%, 4/25/2036

    1,984,858        1,711,624   

Residential Accredit Loans, Inc. Trust, Series 2006-QS5, Class A1, 6.000%, 5/25/2036

    3,772,158        3,207,383   

Residential Accredit Loans, Inc. Trust, Series 2006-QS9, Class 1A15, 7.000%, 7/25/2036

    5,763,766        4,966,660   

Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A4, 6.500%, 8/25/2036

    9,599,237        8,148,130   

Residential Accredit Loans, Inc. Trust, Series 2006-QA7, Class 1A1, 0.345%, 8/25/2036 (a)

    16,067,645        12,509,915   

Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A5, 0.455%, 8/25/2036 (a)

    3,571,874        2,400,157   

Residential Accredit Loans, Inc. Trust, Series 2006-QS10, Class A1, 6.000%, 8/25/2036

    5,742,242        4,877,868   

Residential Accredit Loans, Inc. Trust, Series 2006-QS11, Class 1A8, 6.000%, 8/25/2036

    10,025,736        8,259,793   

Residential Accredit Loans, Inc. Trust, Series 2006-QS12, Class 2A4, 6.000%, 9/25/2036

    11,383,287        9,423,643   

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A1, 6.500%, 11/25/2036

    1,672,142        1,348,031   

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A13, 6.500%, 11/25/2036

    3,568,456        2,876,782   

Residential Accredit Loans, Inc. Trust, Series 2006-QS14, Class A15, 0.455%, 11/25/2036 (a)

    6,719,765        4,257,683   

Residential Accredit Loans, Inc. Trust, Series 2006-Q17, Class A7, 6.000%, 12/25/2036

    9,193,146        7,284,208   

Residential Accredit Loans, Inc. Trust, Series 2007-QS2, Class A6, 6.250%, 1/25/2037

    8,772,774        7,272,709   

 

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

 

23


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Residential Accredit Loans, Inc. Trust, Series 2007-QS8, Class A13, 6.000%, 6/25/2037

  $ 2,480,937      $ 2,029,699   

Residential Asset Securitization Trust, Series 2007-A5, Class 2A3, 6.000%, 5/25/2037

    7,595,740        6,814,761   

Residential Funding Mortgage Securities I Trust, Series 2007-S6, Class 1A15, 6.000%, 6/25/2037

    1,832,295        1,635,085   

Residential Funding Mortgage Securities I Trust, Series 2006-SA1, Class 1A1, 3.224%, 2/25/2036 (a)

    463,989        418,334   

Residential Funding Mortgage Securities I Trust, Series 2006-S3, Class A7, 5.500%, 3/25/2036

    865,663        794,109   

Residential Funding Mortgage Securities I Trust, Series 2006-S6, Class A15, 6.000%, 7/25/2036

    3,146,102        2,916,389   

Residential Funding Mortgage Securities I Trust, Series 2006-S7, Class A7, 6.250%, 8/25/2036

    289,258        264,923   

Residential Funding Mortgage Securities I Trust, Series 2007-S6, Class 2A5, 0.655%, 6/25/2037 (a)

    5,118,338        4,010,361   

Residential Funding Mortgage Securities I Trust, Series 2007-S6, Class 1A10, 6.000%, 6/25/2037

    229,967        205,216   

Residential Funding Mortgage Securities I Trust, Series 2007-S6, Class 1A11, 6.000%, 6/25/2037

    1,305,866        1,165,316   

Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.855%, 2/25/2043 (a)(c)

    4,716,935        4,145,686   

Sequoia Mortgage Trust, Series 2013-3, Class A2, 2.500%, 3/25/2043 (a)(c)

    18,864,312        17,559,732   

Sequoia Mortgage Trust, Series 2007-1, Class 5A1, 5.112%, 10/20/2046 (a)

    10,454,294        10,005,177   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 5A3, 3.888%, 11/25/2034 (a)

    125,564        124,561   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 2.476%, 11/25/2034 (a)

    6,696,923        6,521,882   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 4A2, 2.374%, 2/25/2035 (a)

    888,806        523,489   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 5A2, 2.703%, 2/25/2035 (a)

    451,291        329,976   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1, 2.541%, 2/25/2035 (a)

    8,737,787        8,330,370   

 

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

 

24


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 5A, 4.454%, 3/25/2035 (a)

  $ 5,363,818      $ 5,025,694   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-11, Class 3A, 2.443%, 5/25/2035 (a)

    9,412,942        9,020,018   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-9, Class AX, 1.089%, 5/25/2035 (I/O) (a)

    123,554,246        3,436,352   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 2.561%, 7/25/2035 (a)

    2,595,587        2,107,092   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 5A1, 5.150%, 8/25/2035 (a)

    11,660,945        11,139,071   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 6A1, 2.507%, 9/25/2035 (a)

    2,759,482        2,518,621   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7A3, 4.852%, 9/25/2035 (a)

    25,964,608        22,309,259   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 4A1, 5.437%, 10/25/2035 (a)

    27,802,026        24,936,388   

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 7A1, 5.052%, 11/25/2035 (a)

    7,317,916        6,357,052   

Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1, 0.455%, 8/25/2037 (a)

    8,043,845        6,755,953   

Structured Asset Mortgage Investments II Trust, Series 2005-AR4, Class X2, 0.719%, 12/25/2035 (I/O) (a)

    30,802,087        385,026   

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-10, Class 5A4, 5.750%, 12/25/2034

    782,581        756,684   

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-17, Class 5A1, 5.500%, 10/25/2035

    4,756,331        4,323,862   

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-6A, Class 2A1, 2.369%, 3/25/2033 (a)

    75,358        75,526   

Thornburg Mortgage Securities Trust, Series 2006-4, Class A2C, 5.640%, 7/25/2036 (a)

    9,467,919        4,815,573   

UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class E, 4.501%, 12/10/2045 (a)(b)

    5,000,000        4,398,785   

UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class B, 3.649%, 3/10/2046 (a)(b)

    190,000        187,646   

 

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

 

25


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class C, 4.958%, 8/10/2049 (a)(b)

  $ 3,500,000      $ 3,750,723   

UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class F, 4.890%, 5/10/2063 (a)(b)

    7,000,000        6,365,138   

Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AJ, 5.997%, 6/15/2045 (a)

    5,105,000        5,216,029   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class B, 5.941%, 2/15/2051 (a)

    5,000,000        5,064,848   

Wachovia Mortgage Loan Trust LLC Trust, Series 2005-B, Class 4A1, 5.438%, 10/20/2035 (a)

    204,265        205,210   

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A1, 2.358%, 12/25/2035 (a)

    1,564,569        1,519,521   

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR18, Class 3A1, 4.693%, 1/25/2036 (a)

    8,976,534        8,502,043   

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1, 2.049%, 11/25/2036 (a)

    2,347,231        2,088,038   

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A3, 4.610%, 2/25/2037 (a)

    20,538,328        19,238,436   

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY5, Class 3A1, 4.652%, 5/25/2037 (a)

    6,932,216        6,675,117   

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A1, 4.676%, 7/25/2037 (a)

    18,946,618        17,963,516   

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A1, 2.314%, 8/25/2046 (a)

    1,275,112        1,123,874   

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR9, Class 1A, 1.118%, 8/25/2046 (a)

    28,058,032        25,272,487   

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR15, Class 2XPP, 0.396%, 11/25/2046 (I/O) (a)

    64,139,591        771,663   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2005-1, Class 1A1, 5.500%, 3/25/2035

    696,427        705,998   

 

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

 

26


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2005-7, Class 2CB1, 5.500%, 8/25/2035

  $ 4,461,174      $ 4,249,509   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2005-11, Class A2, 5.750%, 1/25/2036

    7,420,660        6,669,326   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR1, Class X2, 1.418%, 2/25/2036 (I/O) (a)

    36,712,678        1,560,289   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-8, Class A5, 4.943%, 10/25/2036

    13,990,428        10,131,281   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-8, Class A6, 4.943%, 10/25/2036

    14,353,024        10,398,134   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-8, Class A1, 0.272%, 10/25/2036 (a)

    19,660,026        11,516,057   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 5XPP, 0.752%, 6/25/2046 (I/O) (a)

    25,182,602        516,243   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR4, Class X2, 0.696%, 6/25/2046 (I/O) (a)

    156,256,709        3,047,006   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR6, Class 2XPP, 0.658%, 8/25/2046 (I/O) (a)

    157,615,459        2,915,886   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR8, Class 3X1, 1.388%, 10/25/2046 (I/O) (a)

    56,341,029        2,447,313   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR9, Class CX2P, 1.247%, 11/25/2046 (I/O) (a)

    59,931,448        2,472,172   

Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-0A1, Class CX2P, 1.515%, 12/25/2046 (I/O) (a)

    197,152,165        7,905,802   

 

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

 

27


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 2A1, 6.000%, 7/25/2037

  $ 7,996,748      $ 7,683,711   

Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 2A4, 6.000%, 7/25/2037

    3,402,903        3,269,694   

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR15, Class 1A1, 2.613%, 9/25/2035 (a)

    5,283,627        5,014,992   

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR15, Class 1A2, 2.613%, 9/25/2035 (a)

    9,263,486        9,074,590   

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 7A2, 5.203%, 10/25/2035 (a)

    617,997        243,426   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR6, Class 7A1, 5.014%, 3/25/2036 (a)

    86,205        87,053   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-5, Class 1A6, 5.250%, 4/25/2036

    181,075        178,550   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A1, 5.598%, 4/25/2036 (a)

    2,277,800        2,262,955   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1, 2.610%, 7/25/2036 (a)

    301,616        277,890   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A6, 2.612%, 7/25/2036 (a)

    282,942        277,778   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR11, Class A1, 2.613%, 8/25/2036 (a)

    901,581        863,691   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR14, Class 1A3, 5.881%, 10/25/2036 (a)

    6,190,649        6,089,509   

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR19, Class A3, 5.443%, 12/25/2036 (a)

    770,955        767,694   

Wells Fargo Mortgage Backed Securities Trust, Series 2007-10, Class 1A19, 6.000%, 7/25/2037

    840,728        839,475   

Wells Fargo Mortgage Backed Securities Trust, Series 2007-8, Class 1A5, 6.000%, 7/25/2037

    1,069,442        1,068,201   

Wells Fargo Mortgage Backed Securities Trust, Series 2007-15, Class A1, 6.000%, 11/25/2037

    2,429,150        2,450,303   

WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class C, 4.543%, 11/15/2045 (a)

    4,225,000        4,361,320   

 

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

 

28


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Mortgage Obligations – (continued)

  

 

WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class D, 4.803%, 11/15/2045 (a)(b)

  $ 9,000,000      $ 8,944,344   

WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class D, 4.001%, 6/15/2046 (a)(b)

    8,470,000        7,814,236   

WF-RBS Commercial Mortgage Trust, Series 2013-C15, Class A4, 4.153%, 8/15/2046 (a)(c)

    9,710,000        10,380,709   

WF-RBS Commercial Mortgage Trust, Series 2013-C16, Class D, 4.984%, 9/15/2046 (a)(b)

    4,000,000        3,962,458   

WF-RBS Commercial Mortgage Trust, Series 2013-C17, Class C, 5.127%, 12/15/2046 (a)

    1,000,000        1,071,679   

WF-RBS Commercial Mortgage Trust, Series 2013-C17, Class D, 5.127%, 12/15/2046 (a)(b)

    8,229,000        8,165,258   

WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class C, 4.513%, 5/15/2047 (a)

    10,000,000        10,162,340   

WF-RBS Commercial Mortgage Trust, Series 2014-C21, Class A5, 3.678%, 8/15/2047

    8,000,000        8,239,512   

WF-RBS Commercial Mortgage Trust, Series 2013-C12, Class A4, 3.198%, 3/15/2048

    4,435,000        4,437,710   
   

 

 

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost 2,408,792,704)

  

  

    2,469,069,470   
   

 

 

 

Collateralized Loan Obligations – 10.79%

   

Acis CLO Ltd., Series 2013-1A, Class E, 5.834%, 4/18/2024 (a)(b)

    12,000,000        11,259,600   

Acis CLO Ltd., Series 2014-3A, Class E, 4.990%, 2/1/2026 (a)(b)

    4,500,000        3,934,800   

Adams Mill CLO Ltd., Series 2014-1A, Class E1, 5.235%, 7/15/2026 (a)(b)

    3,000,000        2,760,000   

ALM Loan Funding, Series 2014-14A, Class D, 5.084%, 7/28/2026 (a)(b)

    7,500,000        6,865,500   

AMMC CLO IX Ltd., Series 2011-9A, Class E, 7.684%, 1/15/2022 (a)(b)

    1,000,000        1,000,400   

Anchorage Capital CLO Ltd., Series 2013-1A, Class D, 5.034%, 7/13/2025 (a)(b)

    5,000,000        4,556,500   

Ares XXVII CLO Ltd., Series 2013-2A, Class E, 5.085%, 7/28/2025 (a)(b)

    5,500,000        5,066,600   

 

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

 

29


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Loan Obligations – (continued)

   

Arrowpoint CLO Ltd., Series 2012-2A, Class E, 4.954%, 3/12/2026 (a)(b)

  $ 6,000,000      $ 5,333,400   

Arrowpoint CLO Ltd., Series 2012-2A, Class D, 3.934%, 3/12/2026 (a)(b)

    3,000,000        2,846,700   

Brookside Mill CLO Ltd., Series 2013-1A, Class E, 4.633%, 4/17/2025 (a)(b)

    7,250,000        6,561,250   

Canyon Capital CLO Ltd., Series 2012-1A, Class D, 4.534%, 1/15/2024 (a)(b)

    3,000,000        2,998,800   

Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class E, 5.734%, 1/20/2025 (a)(b)

    2,850,000        2,783,310   

Catamaran CLO Ltd., Series 2012-1A, Class D, 4.731%, 12/20/2023 (a)(b)

    8,750,000        8,756,125   

CIFC Funding Ltd., Series 2012-1A, Class B2L, 7.225%, 8/14/2024 (a)(b)

    10,000,000        10,002,000   

CIFC Funding Ltd., Series 2012-2A, Class B2L, 6.227%, 12/5/2024 (a)(b)

    6,630,000        6,625,359   

CIFC Funding Ltd., Series 2012-2A, Class B3L, 7.227%, 12/5/2024 (a)(b)

    2,000,000        1,944,400   

CIFC Funding Ltd., Series 2012-3A, Class B2L, 6.234%, 1/29/2025 (a)(b)

    9,200,000        9,080,400   

CIFC Funding Ltd., Series 2012-3A, Class B3L, 7.134%, 1/29/2025 (a)(b)

    1,000,000        952,700   

CIFC Funding Ltd., Series 2013-1A, Class E, 6.358%, 4/16/2025 (a)(b)

    4,800,000        4,363,200   

ColumbusNova CLO IV Ltd., Series 2007-2A, Class D, 4.734%, 10/15/2021 (a)(b)

    3,440,000        3,445,848   

Crown Point CLO II Ltd, Series 2013-2A, Class B1L, 3.784%, 12/14/2023 (a)

    4,000,000        3,811,600   

Crown Point CLO Ltd., Series 2012-1A, Class B1L, 5.229%, 11/21/2022 (a)(b)

    5,000,000        5,019,000   

Crown Point CLO Ltd., Series 2012-1A, Class B2L, 6.729%, 11/21/2022 (a)(b)

    6,625,000        6,630,300   

Emerson Park CLO Ltd., Series 2013-1A, Class E, 5.084%, 7/15/2025 (a)(b)

    3,000,000        2,775,600   

Finn Square CLO Ltd., Series 2012-1A, Class C, 3.831%, 12/24/2023 (a)(b)

    3,000,000        2,930,100   

 

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

 

30


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Loan Obligations – (continued)

   

Finn Square CLO Ltd, Series 2012-1A, Class D, 5.281%, 12/24/2023 (a)(b)

  $ 4,600,000      $ 4,373,220   

Gallatin CLO IV Ltd., Series 2012-1A, Class E, 5.484%, 10/15/2023 (a)(b)

    3,000,000        2,838,900   

ING IM CLO Ltd., Series 2012-1RA, Class ER, 6.731%, 3/14/2022 (a)(b)

    2,000,000        1,951,400   

ING IM CLO Ltd., Series 2012-1RA, Class DR, 5.431%, 3/14/2022 (a)(b)

    1,750,000        1,737,225   

ING IM CLO Ltd., Series 2014-1A, Class D, 5.169%, 4/18/2026 (a)(b)

    9,500,000        8,975,600   

JFIN Revolver CLO Ltd., Series 2013-1A, Class D, 3.984%, 1/20/2021 (a)(b)

    7,000,000        6,633,200   

JFIN Revolver CLO Ltd., Series 2014-2A, Class C, 2.984%, 2/20/2022 (a)(b)

    5,000,000        4,787,500   

JMP Credit Advisors CLO II Ltd., Series 2013-1A, Class E, 5.484%,
4/30/2023 (a)(b)

    13,200,000        12,372,360   

JMP Credit Advisors CLO II Ltd., Series 2013-1A, Class D, 4.084%, 4/30/2023 (a)(b)

    4,000,000        3,856,000   

KVK CLO Ltd., Series 2012-1X, Class E, 6.484%, 7/15/2023 (a)(b)

    3,700,000        3,700,000   

KVK CLO Ltd., Series 2013-1A, Class D, 4.584%, 4/14/2025 (a)(b)

    2,000,000        1,981,400   

Longfellow Place CLO Ltd., Series 2013-1A, Class D, 4.484%,
1/15/2024 (a)(b)

    9,000,000        8,990,100   

Muir Woods CLO Ltd., Series 2012-1A, Class E, 6.731%, 9/14/2023 (a)(b)

    2,500,000        2,500,750   

Neuberger Berman CLO XIII Ltd., Series 2012-13A, Class D, 4.733%, 1/23/2024 (a)(b)

    5,050,000        5,054,545   

NewMark Capital Funding CLO Ltd., Series 2013-1A, Class D, 3.017%, 6/2/2025 (a)(b)

    1,000,000        904,600   

Ocean Trails CLO IV, Series 2013-4A, Class A, 1.524%, 8/13/2025 (a)(b)(c)

    25,000,000        25,007,500   

Ocean Trails CLO IV, Series 2013-4A, Class D, 4.224%, 8/13/2025 (a)(b)

    4,000,000        3,879,200   

OHA Credit Partners VI Ltd., Series 2012-6A, Class D, 4.724%, 5/15/2023 (a)(b)

    3,000,000        3,000,300   

 

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

 

31


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Loan Obligations – (continued)

   

Portola CLO Ltd., Series 2007-1A, Class E, 6.624%, 11/15/2021 (a)(b)

  $ 2,747,252      $ 2,748,351   

Saratoga Investment Corp. CLO Ltd., Series 2013-1A, Class E, 4.734%, 10/20/2023 (a)(b)

    13,100,000        11,636,730   

Saratoga Investment Corp. CLO Ltd., Series 2013-1A, Class D, 3.734%, 10/20/2023 (a)(b)

    8,000,000        7,548,000   

Shackleton CLO Ltd., Series 2012-1A, Class D, 4.973%, 8/14/2023 (a)(b)

    6,000,000        6,000,600   

Shackleton CLO Ltd., Series 2013-3A, Class D, 4.034%, 4/15/2025 (a)(b)

    3,000,000        2,873,100   

Sound Point CLO Ltd., Series 2012-1A, Class D, 4.814%, 10/20/2023 (a)(b)

    2,000,000        2,001,600   

Sound Point CLO Ltd., Series 2013-1A, Class B2L, 4.735%, 4/26/2025 (a)(b)

    7,000,000        6,259,400   

Steele Creek CLO Ltd., Series 2014-1A, Class E2, 7.184%, 8/21/2026 (a)(b)

    2,000,000        1,982,856   

Steele Creek CLO Ltd., Series 2014-1A, Class D, 3.634%, 8/21/2026 (a)(b)

    2,000,000        1,831,864   

Sudbury Mill CLO Ltd., Series 2013-1A, Class E, 4.983%, 1/17/2026 (a)(b)

    5,000,000        4,561,000   

TICC CLO LLC, Series 2012-1A, Class D1, 5.977%, 8/25/2023 (a)(b)

    7,000,000        7,000,000   

Tuolumne Grove CLO Ltd., Series 2014-1A, Class E, 4.977%, 4/25/2026 (a)(b)

    5,000,000        4,449,000   

Vibrant CLO II Ltd., Series 2013-2A, Class C, 3.833%, 7/24/2024 (a)(b)

    3,000,000        2,838,000   

Vibrant CLO II Ltd., Series 2013-2A, Class D, 5.133%, 7/24/2024 (a)(b)

    3,200,000        2,929,920   

Vibrant CLO Ltd., Series 2012-1A, Class C, 4.733%, 7/17/2024 (a)(b)

    10,200,000        10,200,000   

Voya CLO Ltd., Series 2014-3A, Class D, 5.233%, 7/25/2026 (a)(b)

    1,750,000        1,591,800   

Washington Mill CLO Ltd., Series 2014-1A, Class E, 5.076%, 4/20/2026 (a)(b)

    5,000,000        4,584,000   

Washington Mill CLO Ltd., Series 2014-1A, Class D, 3.676%, 4/20/2026 (a)(b)

    5,000,000        4,771,000   

 

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

 

32


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Collateralized Loan Obligations – (continued)

   

West CLO Ltd., Series 2012-1A, Class D, 6.736%, 10/30/2023 (a)(b)

  $ 5,000,000      $ 5,003,500   

Wind River CLO Ltd., Series 2012-1A, Class E, 5.484%, 1/15/2024 (a)(b)

    5,000,000        4,729,000   

Wind River CLO Ltd., Series 2012-1A, Class D, 5.234%, 1/15/2024 (a)(b)

    4,000,000        4,012,400   
   

 

 

 

TOTAL COLLATERALIZED LOAN OBLIGATIONS

(Cost 320,690,197)

  

  

    324,399,413   
   

 

 

 

Asset-Backed Securities – 10.81%

   

321 Henderson Receivables LLC, Series 2012-3A, Class B, 6.170%, 8/15/2041 (b)

    1,000,000        1,129,547   

321 Henderson Receivables LLC, Series 2012-3A, Class A, 3.220%, 8/15/2041 (b)

    12,338,099        12,100,177   

321 Henderson Receivables LLC, Series 2014-1A, Class B, 4.940%, 3/16/2065 (b)

    1,500,000        1,554,783   

321 Henderson Receivables LLC, Series 2013-3A, Class A, 4.080%, 1/17/2073 (b)

    4,834,519        5,053,772   

321 Henderson Receivables LLC, Series 2014-2A, Class A, 3.610%, 1/17/2073 (b)

    6,000,000        5,996,111   

321 Henderson Receivables LLC, Series 2014-2A, Class B, 4.480%, 1/15/2075 (b)

    1,000,000        999,531   

ACE Securities Corp., Series 2006-CW1, Class A2C, 0.295%, 7/25/2036 (a)

    6,496,746        4,663,689   

Cajun Global LLC, Series 2011-1A, Class A2, 5.955%, 2/20/2041 (b)

    7,190,284        7,400,959   

Carrington Mortgage Loan Trust, Series 2006-NC5, Class A5, 0.215%, 1/25/2037 (a)

    7,217,718        5,697,623   

Carrington Mortgage Loan Trust, Series 2006-NC5, Class A2, 0.265%, 1/25/2037 (a)

    5,021,264        3,938,087   

Carrington Mortgage Loan Trust, Series 2006-NC3, Class A2, 0.255%, 8/25/2036 (a)

    12,338,462        10,529,248   

Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4, Class AV3, 0.302%, 5/25/2036 (a)

    26,992,872        20,018,480   

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4, 5.910%, 1/25/2037

    2,234,089        1,262,917   

 

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

 

33


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Asset-Backed Securities – (continued)

   

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF1B, 6.004%, 1/25/2037

  $ 8,467,733      $ 4,797,724   

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF3, 5.737%, 1/25/2037

    11,170,447        6,263,471   

Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF6, 5.835%, 1/25/2037

    13,385,736        7,541,591   

Drug Royalty II LP, Series 2014-1, Class A2, 3.484%, 7/15/2023 (b)

    9,713,043        9,712,932   

Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B6L, 4.124%, 8/15/2025 (a)(b)

    4,000,000        3,515,200   

Fieldstone Mortgage Investment Corp., Series 2006-1, Class A2, 0.345%, 5/25/2036 (a)

    12,802,442        8,476,190   

Fieldstone Mortgage Investment Corp., Series 2007-1, Class 2A3, 0.492%, 4/25/2047 (a)

    17,606,378        11,954,396   

Fortress Credit BSL II Ltd, Series 2013-2A, Class D, 4.084%, 10/19/2025 (a)(b)

    7,750,000        7,357,075   

Fortress Credit BSL II Ltd., Series 2013-2A, Class E, 5.384%, 10/19/2025 (a)(b)

    5,000,000        4,515,500   

FREMF Mortgage Trust, Series 2014-K36, Class C, 4.361%, 12/25/2046 (a)(b)(c)

    6,000,000        6,103,518   

FREMF Mortgage Trust, Series 2014-K37, Class C, 4.558%, 1/25/2047 (a)(b)

    8,500,000        8,760,444   

Fremont Home Loan Trust, Series 2006-C, Class 2A2, 0.305%, 10/25/2036 (a)

    40,737,123        21,310,241   

GSAA Home Equity Trust, Series 2007-5, Class 1F4A, 6.032%, 3/25/2047

    9,290,449        6,628,020   

Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class E, 5.631%, 12/20/2024 (a)(b)

    3,000,000        2,862,600   

HOA Funding LLC, Series 2014-1A, Class A2, 4.846%, 8/20/2044 (b)

    5,000,000        5,000,000   

INDYMAC Residential Asset Backed Trust, Series 2006-E, Class 2A2, 0.275%, 4/25/2037 (a)

    4,860,053        3,273,503   

KCAP Senior Funding I LLC, Series 2013-1A, Class D, 5.484%, 7/20/2024 (a)(b)

    2,500,000        2,442,500   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE1, Class A2C, 0.305%, 11/25/2036 (a)

    6,963,408        4,707,333   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE1, Class A2B, 0.255%, 11/25/2036 (a)

    3,170,631        2,130,227   

 

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

 

34


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Principal
Amount
    Fair Value  

Asset-Backed Securities – (continued)

   

Morgan Stanley Mortgage Loan Trust, Series 2007-3XS, Class 2A4S, 5.963%, 1/25/2047

  $ 11,814,880      $ 8,520,289   

Nomura Home Equity Loan, Inc., Series 2006-HE3, Class 2A3, 0.305%, 7/25/2036 (a)

    9,100,000        7,754,656   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class E, 6.734%, 1/15/2024 (a)(b)

    6,300,000        6,014,610   

OFSI Fund VI Ltd., Series 2014-6A, Class D, 5.213%, 3/20/2025 (a)(b)

    5,000,000        4,374,000   

Option One Mortgage Loan Trust, Series 2007-3, Class 2A3, 0.395%, 4/25/2037 (a)

    4,562,382        2,765,200   

RAMP Trust, Series 2007-RS2, Class A2, 0.435%, 5/25/2037 (a)

    12,359,143        10,573,568   

RASC Trust, Series 06-KS9, Class AI3, 0.315%, 11/25/2036 (a)

    10,285,955        8,831,645   

Regatta III Funding Ltd., Series 2014-1A, Class D, 5.153%, 4/15/2026 (a)(b)

    4,375,000        3,935,750   

Saranac CLO I Ltd., Series 2013-1A, Class D, 3.785%, 10/26/2024 (a)(b)

    4,000,000        3,712,400   

Securitized Asset Backed Receivables LLC, Series 2006-HE2, Class A2B, 0.255%, 7/25/2036 (a)

    37,422,819        21,053,853   

SolarCity LMC LLC, Series 2014-1, Class A, 4.590%, 4/20/2044 (b)

    2,214,646        2,292,104   

Specialty Underwriting & Residential Finance Trust, Series 2006-BC5, Class A2C, 0.255%, 11/25/2037 (a)

    5,483,767        3,962,389   

Store Master Funding LLC, Series 2012-1A, Class A, 5.770%, 8/20/2042 (b)

    6,376,524        6,855,911   

Store Master Funding LLC, Series 2013-1A, Class A1, 4.160%, 3/20/2043 (b)

    4,896,309        4,981,212   

Store Master Funding LLC, Series 2013-3A, Class A2, 5.210%, 11/20/2043 (b)

    14,853,694        15,615,837   

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC2, Class A3, 0.305%, 9/25/2036 (a)

    4,841,118        4,010,508   

Trade MAPS 1 Ltd., Series 2013-1A, Class D, 5.153%, 12/10/2018 (a)(b)

    2,000,000        2,014,380   
   

 

 

 

TOTAL ASSET-BACKED SECURITIES

(Cost 326,710,156)

  

  

    324,965,701   
   

 

 

 

 

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

 

35


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

    Shares or
Principal
Amount
    Fair Value  

Corporate Bonds – 0.75%

   

Financials – 0.75%

   

Brand Group Holdings, Inc., 8.500%, 6/27/2024 (b)(d)

  $ 10,000,000      $ 10,000,000   

Eagle Bancorp, Inc., 5.750%, 9/1/2024

    12,500,000        12,500,000   
   

 

 

 

TOTAL CORPORATE BONDS

(Cost 22,500,000)

  

  

    22,500,000   
   

 

 

 

Collateralized Debt Obligations – 0.46%

   

Venture CDO Ltd., Series 2012-11A, Class E, 6.725%, 11/14/2022 (a)(b)

    1,500,000        1,501,200   

Venture X CLO Ltd., Series 2012-10X, Class E, 6.234%, 7/20/2022 (a)

    3,000,000        2,957,700   

Venture X CLO Ltd., Series 2012-12A, Class E, 5.529%, 2/28/2024 (a)(b)

    10,000,000        9,394,000   
   

 

 

 

TOTAL COLLATERALIZED DEBT OBLIGATIONS

(Cost 14,231,630)

  

  

    13,852,900   
   

 

 

 

Preferred Stocks – 0.11%

   

Financials – 0.11%

   

Morgan Stanley, Series A, 4.000% (a)

    130,497        2,655,614   

Wells Fargo & Co., Series P, 5.250%

    23,990        555,369   
   

 

 

 

TOTAL PREFERRED STOCKS

(Cost 3,481,416)

  

  

    3,210,983   
   

 

 

 

Cash Equivalents – 4.36%

  

Fidelity Institutional Money Market Portfolio - Institutional Class, 0.090% (e)

    131,248,792        131,248,792   
   

 

 

 

TOTAL CASH EQUIVALENTS

(Cost 131,248,792)

      131,248,792   
   

 

 

 

TOTAL INVESTMENTS – 109.40%

(Cost 3,227,654,895)

      3,289,247,259   
   

 

 

 

Liabilities in Excess of Other Assets – (9.40)%

      (282,690,154
   

 

 

 

NET ASSETS – 100.00%

    $ 3,006,557,105   
   

 

 

 

 

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

 

36


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

(a) Variable or Floating Rate Security. Rate disclosed is as of July 31, 2014.
(b) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(c) All or a portion of the security has been pledged as collateral in connection with open reverse repurchase agreements and futures contracts. On July 31, 2014 securities valued at $279,613,057 were pledged as collateral for reverse repurchase agreements and futures contracts.
(d) Security is fair valued by the Adviser.
(e) Rate disclosed is the seven day yield as of July 31, 2014.

I/O — Interest Only Security

The value of Futures Contracts as of July 31, 2014 was as follows:

 

Long Futures Contracts

   Number of
Contracts
     Underlying Face
Amount at Fair
Value
     Unrealized Appreciation
(Depreciation)
 

10 Year U.S. Dollar Deliverable Interest Rate Swap Future expiring 9/17/14

     152       $ 14,512,154       $ 19,760   

Short Futures Contracts

   Number of
(Short)
Contracts
     Underlying Face
Amount at Fair
Value
     Unrealized Appreciation
(Depreciation)
 

5 Year U.S. Dollar Deliverable Interest Rate Swap Future expiring 9/15/14

     (3,451    $ (349,952,969    $ 1,118,857   

10 Year U.S. Dollar Deliverable Interest Rate Swap Future expiring 9/17/14

     (4,167      (436,102,594      (2,167,928
  

 

 

       

 

 

 

Total Short Futures Contracts

     (7,618       $ (1,049,071
  

 

 

       

 

 

 

 

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

 

37


Angel Oak Multi-Strategy Income Fund

Schedule of Investments – (continued)

July 31, 2014 (Unaudited)

 

Reverse repurchase agreements outstanding as of July 31, 2014 were as follows:

 

Counterparty

  Interest
Rate
    Trade
Date
    Maturity
Date
    Net Closing
Amount
    Face Value  

Bank of America

    1.50     5/14/2014        8/14/2014      $ 2,405,185      $ 2,396,000   

Bank of America

    0.90     7/11/2014        8/12/2014        10,657,519        10,649,000   

BNP Paribas

    1.31     7/23/2014        8/22/2014        4,937,364        4,932,000   

Credit Suisse

    1.00     7/7/2014        8/6/2014        15,105,027        15,092,450   

Goldman Sachs

    1.00     7/9/2014        8/8/2014        4,842,032        4,838,000   

Goldman Sachs

    0.95     7/9/2014        8/4/2014        9,325,412        9,319,000   

Goldman Sachs

    0.90     7/11/2014        8/11/2014        8,081,272        8,075,000   

JP Morgan

    0.76     7/16/2014        8/18/2014        14,431,987        14,422,000   

JP Morgan

    0.76     7/16/2014        8/18/2014        3,673,542        3,671,000   

Mizuho

    0.75     7/25/2014        8/20/2014        8,477,590        8,473,000   

Mizuho

    0.75     7/25/2014        8/20/2014        16,138,737        16,130,000   

Mizuho

    0.75     7/25/2014        8/13/2014        9,031,574        9,028,000   

Mizuho

    0.75     7/25/2014        8/20/2014        4,587,484        4,585,000   

Mizuho

    0.75     7/25/2014        8/20/2014        8,185,431        8,181,000   

Mizuho

    0.75     7/25/2014        8/20/2014        8,507,606        8,503,000   

Mizuho

    0.75     7/25/2014        8/13/2014        9,147,620        9,144,000   

Mizuho

    0.75     7/25/2014        8/27/2014        8,929,135        8,923,000   

Mizuho

    0.75     7/25/2014        8/27/2014        8,871,095        8,865,000   

Mizuho

    0.75     7/25/2014        8/27/2014        5,817,997        5,814,000   

Mizuho

    0.75     7/25/2014        8/27/2014        8,912,123        8,906,000   

Mizuho

    0.75     7/25/2014        8/27/2014        8,837,071        8,831,000   

Nomura

    1.19     10/3/2013        4/3/2015        23,493,864        23,075,625   

RBC Capital Markets

    1.82     5/12/2014        8/12/2014        13,371,016        13,309,000   

RBC Capital Markets

    1.83     5/12/2014        8/12/2014        17,377,058        17,296,000   
         

 

 

 
          $ 232,458,075   
         

 

 

 

A reverse repurchase agreement, although structured as a sale and repurchase obligation, acts as a financing transaction under which the Fund will effectively pledge certain assets as collateral to secure a short-term loan. Generally the other party to the agreement makes the loan in an amount equal to at least 100% of the fair value of the pledged collateral. At the maturity of the reverse repurchase agreement, the Fund will be required to repay the loan and interest and correspondingly receive back its collateral. While used as collateral, the pledged assets continue to pay principal and interest which are for the benefit of the Fund.

 

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

 

38


Angel Oak Multi-Strategy Income Fund

Statement of Assets and Liabilities

July 31, 2014

(Unaudited)

 

Assets

  

Investments in securities at fair value (cost $3,227,654,895)

   $ 3,289,247,259   

Cash

     5,301,537   

Cash due from broker (a)

     13,870,609   

Cash held at broker (b)

     11,526,900   

Receivable for fund shares sold

     7,353,454   

Receivable for investments sold

     32,741,024   

Receivable for net variation margin on futures contracts

     220,195   

Dividends and interest receivable

     15,964,842   

Prepaid expenses

     342,980   
  

 

 

 

Total Assets

     3,376,568,800   
  

 

 

 

Liabilities

  

Payable for reverse repurchase agreements

     232,458,075   

Payable for fund shares redeemed

     3,197,426   

Payable for investments purchased

     127,994,806   

Payable for distributions to shareholders

     3,364,390   

Interest payable for reverse repurchase agreements

     417,166   

Payable to Adviser

     2,218,791   

Payable to administrator, fund accountant, and transfer agent

     95,783   

Payable to custodian

     36,449   

12b-1 fees accrued

     206,719   

Other accrued expenses

     22,090   
  

 

 

 

Total Liabilities

     370,011,695   
  

 

 

 

Net Assets

   $ 3,006,557,105   
  

 

 

 

Net Assets consist of:

  

Paid-in capital

   $ 2,979,920,465   

Accumulated net investment loss

     (5,045,154

Accumulated net realized loss from investment transactions

     (28,881,259

Net unrealized appreciation on investments

     61,592,364   

Net unrealized appreciation (depreciation) on futures contracts

     (1,029,311
  

 

 

 

Net Assets

   $ 3,006,557,105   
  

 

 

 

 

(a) Margin claim to be received from broker.
(b) Cash used as collateral for futures contract transactions.

 

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

 

39


Angel Oak Multi-Strategy Income Fund

Statement of Assets and Liabilities – (continued)

July 31, 2014

(Unaudited)

 

Class A:

  

Net Assets

   $ 549,312,618   
  

 

 

 

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

     44,813,377   
  

 

 

 

Net asset value (“NAV”) per share

   $ 12.26   
  

 

 

 

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

   $ 12.54   
  

 

 

 

Class C:

  

Net Assets

   $ 55,027,771   
  

 

 

 

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

     4,502,082   
  

 

 

 

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

   $ 12.22   
  

 

 

 

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

   $ 12.10   
  

 

 

 

Institutional Class:

  

Net Assets

   $ 2,402,216,716   
  

 

 

 

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

     196,054,436   
  

 

 

 

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

   $ 12.25   
  

 

 

 

 

(c) Class A shares impose a maximum 2.25% sales charge on purchases.
(d) A contingent deferred sales charge (“CDSC”) of 1.00% may be charged.

 

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

 

40


Angel Oak Multi-Strategy Income Fund

Statement of Operations

For the six months ended July 31, 2014

(Unaudited)

 

Investment Income

  

Dividend income

   $ 159,102   

Interest income

     77,291,824   
  

 

 

 

Total Investment Income

     77,450,926   
  

 

 

 

Expenses

  

Investment Advisory

     13,331,693   

12b-1 – Class A

     1,077,506   

12b-1 – Class C

     241,140   

Administration

     375,357   

Fund accounting

     107,836   

Transfer agent

     129,884   

Legal

     10,252   

Registration

     108,826   

Custodian

     141,194   

Audit

     30,647   

Trustee

     5,563   

Insurance

     9,546   

Pricing

     81,904   

Printing

     51,885   

24f-2

     20,743   

Miscellaneous

     13,158   

Interest on reverse repurchase agreements

     3,786,318   

Line of credit

     130,660   
  

 

 

 

Total Expenses

     19,654,112   
  

 

 

 

Fees contractually waived by Adviser

     (2,055,481
  

 

 

 

Net operating expenses

     17,598,631   
  

 

 

 

Net Investment Income

     59,852,295   
  

 

 

 

Realized and Unrealized Gain (Loss) on Investments

  

Net realized gain on investment transactions

     12,626,259   

Net realized loss on futures contracts

     (16,052,293

Net change in unrealized appreciation on investments

     22,270,571   

Net change in unrealized appreciation on futures contracts

     3,208,314   
  

 

 

 

Net realized and unrealized gain on investments

     22,052,851   
  

 

 

 

Net increase in net assets resulting from operations

   $ 81,905,146   
  

 

 

 

 

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

 

41


Angel Oak Multi-Strategy Income Fund

Statement of Cash Flows

For the six months ended July 31, 2014

(Unaudited)

 

Increase/(Decrease) in Cash

 

Cash flows from operating activities:

 

Net increase in net assets resulting from operations

  $ 81,905,146   

Adjustments to reconcile net increase in net assets from operations to net cash used in operating activities:

 

Accretion of discount/amortization of premium, net

    (5,368,471

Purchase of long-term securities

    (1,593,767,549

Proceeds from sales of long-term securities

    950,501,630   

Sales of short-term securities, net

    45,194,742   

Increase in dividends and interest receivable

    (4,475,084

Increase in receivable for investments sold

    (29,793,524

Increase in prepaid expenses

    (157,388

Decrease in payable for variation margin on futures contracts

    (1,047,601

Increase in payable to Adviser

    682,066   

Increase in payable for investments purchased

    77,402,390   

Decrease in interest payable for reverse repurchase agreements

    (151,489

Decrease in accrued expenses and expenses payable

    (230,577

Net realized losses on investment securities

    3,426,034   

Net gains on paydowns of mortgage-backed securities

    (7,785,078

Change in unrealized appreciation on investments

    (25,478,885
 

 

 

 

Net cash used in operating activities

    (509,143,638
 

 

 

 

Cash flows from financing activities:

 

Decrease in payable for reverse repurchase agreements

    (311,379,086

Proceeds from shares sold

    1,577,250,427   

Amount paid for shares redeemed

    (735,026,806

Cash distributions paid

    (11,907,041
 

 

 

 

Net cash provided from financing activities

    518,937,494   
 

 

 

 

Net change in cash

  $ 9,793,856   

Cash balance beginning of period

  $ 20,905,190   
 

 

 

 

Cash balance end of period

  $ 30,699,046   
 

 

 

 

Non cash financing activities not included herein consist of receivable for fund shares sold of $7,353,454, payable for fund shares redeemed of $3,197,426, payable for distributions to shareholders of $3,364,390 and reinvestment of distributions of $49,453,735.

 

Supplemental Information

Interest paid

   $3,937,807

 

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

 

42


Angel Oak Multi-Strategy Income Fund

Statements of Changes in Net Assets

 

    For the Six  Months
Ended

July 31, 2014
(Unaudited)
    For the Year
Ended
January 31, 2014
 

Increase in Net Assets due to:

   

Operations

   

Net investment income

  $ 59,852,295      $ 77,697,243   

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

    (3,426,034     (23,937,489

Net change in unrealized appreciation on investments and futures contracts

    25,478,885        8,573,890   
 

 

 

   

 

 

 

Net increase in net assets resulting from operations

    81,905,146        62,333,644   
 

 

 

   

 

 

 

Distributions

   

From net investment income, Class A

    (20,558,962     (30,301,416

From net investment income, Class C

    (1,034,014     (1,545,459

From net investment income, Institutional Class

    (43,132,190     (50,498,388

From net realized gains, Class A

           (684,577

From net realized gains, Class C

           (46,361

From net realized gains, Institutional Class

           (1,341,331
 

 

 

   

 

 

 

Total distributions

    (64,725,166     (84,417,532
 

 

 

   

 

 

 

Capital Transactions – Class A

   

Proceeds from shares sold

    316,113,142        757,804,040   

Reinvestment of distributions

    19,869,637        25,380,973   

Amount paid for shares redeemed

    (553,068,885     (498,378,952
 

 

 

   

 

 

 

Total Class A

    (217,086,106     284,806,061   
 

 

 

   

 

 

 

Capital Transactions – Class C

   

Proceeds from shares sold

    16,838,221        29,188,997   

Reinvestment of distributions

    845,789        1,240,310   

Amount paid for shares redeemed

    (7,540,191     (8,082,943
 

 

 

   

 

 

 

Total Class C

    10,143,819        22,346,364   
 

 

 

   

 

 

 

Capital Transactions – Institutional Class

   

Proceeds from shares sold

    1,248,281,868        1,274,111,591   

Reinvestment of distributions

    28,738,309        40,059,812   

Amount paid for shares redeemed

    (173,078,668     (461,314,303
 

 

 

   

 

 

 

Total Institutional Class

    1,103,941,509        852,857,100   
 

 

 

   

 

 

 

Net increase in net assets resulting from capital transactions

    896,999,222        1,160,009,525   
 

 

 

   

 

 

 

Total Increase in Net Assets

    914,179,202        1,137,925,637   
 

 

 

   

 

 

 

Net Assets

   

Beginning of period

    2,092,377,903        954,452,266   
 

 

 

   

 

 

 

End of period

  $ 3,006,557,105      $ 2,092,377,903   
 

 

 

   

 

 

 

Accumulated net investment loss included in net assets at end of period

  $ (14,302,830   $ (172,283
 

 

 

   

 

 

 

 

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

 

43


Angel Oak Multi-Strategy Income Fund

Statements of Changes in Net Assets – (continued)

 

    For the Six  Months
Ended

July 31, 2014
(Unaudited)
    For the Year
Ended
January 31, 2014
 

Share Transactions – Class A

   

Shares sold

    25,912,017        62,096,058   

Shares issued in reinvestment of distributions

    1,630,745        2,098,034   

Shares redeemed

    (45,161,102     (41,165,435
 

 

 

   

 

 

 

Total Class A

    (17,618,340     23,028,657   
 

 

 

   

 

 

 

Share Transactions – Class C

   

Shares sold

    1,382,259        2,387,418   

Shares issued in reinvestment of distributions

    69,581        102,990   

Shares redeemed

    (619,515     (673,943
 

 

 

   

 

 

 

Total Class C

    832,325        1,816,465   
 

 

 

   

 

 

 

Share Transactions – Institutional Class

   

Shares sold

    102,059,977        104,592,577   

Shares issued in reinvestment of distributions

    2,357,532        3,317,550   

Shares redeemed

    (14,174,252     (38,176,686
 

 

 

   

 

 

 

Total Institutional Class

    90,243,257        69,733,441   
 

 

 

   

 

 

 

Net increase in share transactions

    73,457,242        94,578,563   
 

 

 

   

 

 

 

 

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

 

44


Angel Oak Multi-Strategy Income Fund - Class A

Financial Highlights

(For a share outstanding during each period)

 

    For the Six
Months Ended
July 31, 2014
(Unaudited)
    For the
Year Ended
January 31, 2014
    For the
Year Ended
January 31, 2013
    For the
Period Ended
January 31, 2012 (a)
 

Selected Per Share Data:

       

Net asset value, beginning of period

  $ 12.17      $ 12.35      $ 10.67      $ 10.00   
 

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

       

Net investment income

    0.29        0.54        0.60        0.26   

Net realized and unrealized gain (loss) on investments

    0.10        (0.13     1.74        0.63   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

    0.39        0.41        2.34        0.89   
 

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions to shareholders:

       

From net investment income

    (0.30     (0.58     (0.61     (0.22

From net realized gains

    -        (0.01     (0.05     -   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.30     (0.59     (0.66     (0.22
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 12.26      $ 12.17      $ 12.35      $ 10.67   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Return (b)

    3.20 % (c)      3.52     22.57     8.95 % (c) 

Ratios and Supplemental Data:

       
Net assets, end of period (000 omitted)   $ 549,313      $ 760,039      $ 486,444      $ 26,255   
Ratio of expenses to average net assets     1.55 % (d)      1.68     1.60     2.45 % (d) 
Ratio of expenses to average net assets (excluding interest expense)     1.24 % (d)      1.24     1.26     2.25 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement     1.72 % (d)      1.91     2.23     3.38 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement (excluding interest expense)     1.41 % (d)      1.47     1.90     3.18 % (d) 
Ratio of net investment income to average net assets     4.68 % (d)      4.60     5.02     5.29 % (d) 
Ratio of net investment income (loss) to average net assets before waiver and reimbursement     4.51 % (d)      4.36     4.39     4.36 % (d) 

Portfolio turnover rate

    33.74 % (c)      61.70     54.56     17.85 % (c) 

 

(a) For the period June 28, 2011 (commencement of operations) to January 31, 2012.
(b) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends, and excludes the sales charge.
(c) Not annualized
(d) Annualized

 

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

 

45


Angel Oak Multi-Strategy Income Fund - Class C

Financial Highlights

(For a share outstanding during each period)

 

    For the Six
Months Ended
July 31, 2014
(Unaudited)
    For the
Year Ended
January 31, 2014
    For the
Period Ended
January 31, 2013 (a)
 

Selected Per Share Data:

     

Net asset value, beginning of period

  $ 12.14      $ 12.31      $ 11.03   
 

 

 

   

 

 

   

 

 

 

Income from investment operations:

     

Net investment income

    0.23        0.45        0.47   

Net realized and unrealized gain (loss) on investments

    0.10        (0.12     1.30   
 

 

 

   

 

 

   

 

 

 

Total from investment operations

    0.33        0.33        1.77   
 

 

 

   

 

 

   

 

 

 

Less distributions to shareholders:

     

From net investment income

    (0.25     (0.49     (0.44

From net realized gains

    -        (0.01     (0.05
 

 

 

   

 

 

   

 

 

 

Total distributions

    (0.25     (0.50     (0.49
 

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 12.22      $ 12.14      $ 12.31   
 

 

 

   

 

 

   

 

 

 

Total Return (b)

    2.78 % (c)      2.82     16.39 % (c) 

Ratios and Supplemental Data:

     

Net assets, end of period (000 omitted)

  $ 55,028      $ 44,567      $ 22,821   

Ratio of expenses to average net assets

    2.30 % (d)      2.43     2.33 % (d) 
Ratio of expenses to average net assets (excluding interest expense)     1.99 % (d)      1.99     2.00 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement     2.47 % (d)      2.66     2.91 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement (excluding interest expense)     2.16 % (d)      2.22     2.56 % (d) 
Ratio of net investment income to average net assets     3.91 % (d)      3.83     4.12 % (d) 
Ratio of net investment income (loss) to average net assets before waiver and reimbursement     3.74 % (d)      3.60     3.55 % (d) 

Portfolio turnover rate

    33.74 % (c)      61.70     54.56 % (c) 

 

(a) For the period March 14, 2012 (commencement of operations) to January 31, 2013.
(b) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends and excludes any contingent deferred sales charge.
(c) Not annualized
(d) Annualized

 

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

 

46


Angel Oak Multi-Strategy Income Fund - Institutional Class

Financial Highlights

(For a share outstanding during each period)

 

    For the Six
Months Ended
July 31, 2014
(Unaudited)
    For the
Year Ended
January 31,
2014
    For the
Period Ended
January 31, 2013 (a)
 

Selected Per Share Data:

     

Net asset value, beginning of period

  $ 12.17      $ 12.34      $ 11.71   
 

 

 

   

 

 

   

 

 

 

Income from investment operations:

     

Net investment income

    0.29        0.56        0.25   

Net realized and unrealized gain (loss) on investments

    0.10        (0.10     0.65   
 

 

 

   

 

 

   

 

 

 

Total from investment operations

    0.39        0.46        0.90   
 

 

 

   

 

 

   

 

 

 

Less distributions to shareholders:

     

From net investment income

    (0.31     (0.62     (0.22

From net realized gains

    -        (0.01     (0.05
 

 

 

   

 

 

   

 

 

 

Total distributions

    (0.31     (0.63     (0.27
 

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 12.25      $ 12.17      $ 12.34   
 

 

 

   

 

 

   

 

 

 

Total Return (b)

    3.25 % (c)      3.88     7.75 % (c) 

Ratios and Supplemental Data:

     

Net assets, end of period (000 omitted)

  $ 2,402,217      $ 1,287,772      $ 445,187   

Ratio of expenses to average net assets

    1.30 % (d)      1.43     1.34 % (d) 
Ratio of expenses to average net assets (excluding interest expense)     0.99 % (d)      0.99     0.99 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement     1.47 % (d)      1.66     1.89 % (d) 
Ratio of expenses to average net assets before waiver and reimbursement (excluding interest expense)     1.16 % (d)      1.22     1.54 % (d) 
Ratio of net investment income to average net assets     4.88 % (d)      4.81     5.07 % (d) 
Ratio of net investment income (loss) to average net assets before waiver and reimbursement     4.71 % (d)      4.58     4.52 % (d) 

Portfolio turnover rate

    33.74 % (c)      61.70     54.56 % (c) 

 

(a) For the period August 16, 2012 (commencement of operations) to January 31, 2013.
(b) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
(c) Not annualized
(d) Annualized

 

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

 

47


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements

July 31, 2014

(Unaudited)

NOTE 1. ORGANIZATION

The Angel Oak Multi-Strategy Income Fund (the “Fund”) is an open-end non-diversified series of the Valued Advisers Trust (the “Trust”). The Trust is a management investment company established under the laws of Delaware by an Agreement and Declaration of Trust dated June 13, 2008 (the “Trust Agreement”). The Trust Agreement permits the Trustees to issue an unlimited number of shares of beneficial interest of separate series without par value. The Fund is one of a series of funds authorized by the Trustees. The Fund’s investment adviser is Angel Oak Capital Advisors, LLC (the “Adviser”). The investment objective of the Fund is current income.

The Fund currently offers three share classes, Class A, Class C and Institutional Class. Class A shares commenced operations on June 28, 2011, Class C shares commenced operations on March 14, 2012 and the Institutional Class shares commenced operations on August 16, 2012. Each share represents an equal proportionate interest in the assets and liabilities belonging to the Fund and is entitled to such dividends and distributions out of income belonging to the Fund as are declared by the Board of Trustees. Class A currently has a maximum sales charge on purchases of 2.25% as a percentage of the original purchase price. Class C does not have an initial sales charge on purchases. The dealer of record receives a payment from the Fund’s distributor of 1.00% of the amount you invest in Class C shares. If you redeem your Class C shares within one year of purchase, you will be subject to a 1.00% contingent deferred sales charge (“CDSC”), based on the lower of the shares’ cost or current net asset value. Any shares acquired by reinvestment of distributions will be redeemed without a CDSC. For the six months ended July 31, 2014, CDSC fees on Class C Shares paid to the Distributor were $2,111.

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES

The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services – Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with the generally accepted accounting principles in the United States of America (“GAAP”).

Securities Valuation – All investments in securities are recorded at their estimated fair value as described in Note 3.

Federal Income Taxes – The Fund makes no provision for federal income or excise tax. The Fund intends to qualify each year as a regulated investment company (“RIC”)

 

48


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES - (continued)

 

under subchapter M of the Internal Revenue Code of 1986, as amended, by complying with the requirements applicable to RICs and by distributing substantially all of its taxable income. The Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. If the required amount of net investment income or gains is not distributed, the Fund could incur a tax expense.

As of and during the six months ended July 31, 2014, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Fund did not incur any interest or penalties. The Fund is subject to examination by U.S. federal tax authorities for all tax years since inception.

Expenses – Expenses incurred by the Trust that do not relate to a specific fund of the Trust are allocated to the individual funds based on each fund’s relative net assets or another appropriate basis (as determined by the Trustees). 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 the Fund.

Security Transactions and Related Income – The Fund follows industry practice and records security transactions on the trade date for financial reporting purposes. The specific identification method is used for determining gains or losses for financial statement and income tax purposes. Dividend income is recorded on the ex-dividend date and interest income and expense is recorded on an accrual basis. Discounts and premiums on securities purchased are accreted or amortized using the effective interest method. The ability of issuers of debt securities held by the Fund to meet their obligations may be affected by economic and political developments in a specific country or region.

Dividends and Distributions – The Fund intends to distribute substantially all of its net investment income, if any, as dividends to its shareholders on a monthly basis. The Fund intends to distribute its net realized long term capital gains and its net realized short term capital gains, if any, at least once a year. Dividends 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

 

49


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES - (continued)

 

differences are caused primarily by differences in the timing of the recognition of certain components of income, expense or realized capital gain for federal income tax purposes. Where such differences are permanent in nature, they are reclassified in the components of the net assets based on their ultimate characterization for federal income tax purposes. Any such reclassifications will have no effect on net assets, results of operations or net asset values per share of the Fund. There were no such reclassifications made as of July 31, 2014.

Reverse Repurchase Agreements – A reverse repurchase agreement is the sale by the Fund of a security to a party for a specified price, with the simultaneous agreement by the Fund to repurchase that security from that party on a future date at a higher price. 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 Fund. In such situations, the Fund may incur losses as a result of a possible decline in the value of the underlying security during the period while the Fund seeks to enforce its rights, a possible lack of access to income on the underlying security during this period, or expenses of enforcing its rights.

Futures Contracts – The Fund may enter into futures contracts to hedge various investments for risk management. 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. Cash held at the broker as of July 31, 2014, noted on the Statement of Assets and Liabilities, is held for collateral for futures transactions.

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. Variation margin receivables or payables represent the difference between the change in unrealized appreciation and depreciation on the open contracts and the cash deposits made on the margin accounts. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from the closing transaction and the Fund’s cost of entering into a contract. The use of futures contracts involves the risk of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities, or that the counterparty will fail to perform its obligations.

 

50


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 2. SIGNIFICANT ACCOUNTING POLICIES - (continued)

 

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. These securities will be classified as Level 1 securities as described in Note 3 below. Should market conditions move unexpectedly, the Fund 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 six months ended July 31, 2014.

Mortgage-Backed and Asset-Backed Securities Risks – Prepayment risk is associated with mortgage-backed and asset-backed securities, including collateralized loan obligations (“CLOs”). If interest rates fall, the underlying debt may be repaid ahead of schedule, reducing the value of the Fund’s investments. If interest rates rise, there may be fewer prepayments, which would cause the average bond maturity to rise, increasing the potential for the Fund 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 Fund to successfully utilize these instruments may depend on the ability of the Fund’s 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 mortgage-backed securities may be secured by pools of mortgages on single-family, multi-family properties, as well as commercial properties. Similarly, asset-backed securities may be secured by pools of loans, such as corporate loans, student loans, automobile loans and credit card receivables. The credit risk on such securities is affected by homeowners or borrowers defaulting on their loans. The values of assets underlying mortgage-backed and asset-backed securities, including CLOs, may decline and therefore may not be adequate to cover underlying investors. Mortgage-backed securities and other securities issued by participants in housing and commercial real estate finance, as well as other real estate-related markets have experienced extraordinary weakness and volatility in recent years. Possible legislation in the area of residential mortgages, credit cards, corporate loans and other loans that may collateralize the securities in which the Fund may invest could negatively impact the value of the Fund’s investments. To the extent the Fund focuses its investments in particular types of mortgage-backed or asset-backed securities, including CLOs, the Fund may be more susceptible to risk factors affecting such types of securities.

 

51


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS

Fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.

Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (the risk inherent in a particular valuation technique used to measure fair value, such as pricing models and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Various inputs are used in determining the value of the Fund’s investments. 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 an identical security in an inactive market, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

   

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments based on the best information available)

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the level input that is most significant to the fair value measurement in its entirety.

Equity securities, including preferred stocks, are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices more accurately reflect the fair value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security

 

52


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS - (continued)

 

is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price. 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 Fund 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. When market quotations are not readily available, when the Adviser determines that the market quotation or the price provided by the pricing service does not accurately reflect the current fair value, or when certain restricted or illiquid securities are being valued, such securities are valued as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review by the Board of Trustees (the “Board”). These securities will generally be categorized as Level 3 securities.

Investments in mutual funds, including money market mutual funds, are generally priced at the ending net asset value (“NAV”) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.

Fixed income securities, including collateralized mortgage obligations, collateralized loan obligations, collateralized debt obligations, corporate bonds, and asset-backed securities when valued using market quotations in an active market, will be categorized as Level 1 securities. However, they may be valued on the basis of prices furnished by a pricing service when the Fund believes such prices more accurately reflect the fair value of such securities. A pricing service utilizes electronic data processing techniques based on yield spreads relating to securities with similar characteristics to determine prices for normal institutional-size trading units of debt securities without regard to sale or bid prices. For these securities, the pricing service may also use prepayment speeds, consideration of collateral, unemployment rates, credit risk, foreclosures, and liquidations. These securities will generally be categorized as Level 2 securities. If the Adviser decides that a price provided by the pricing service does not accurately reflect the fair value of the securities, when prices are not readily available from a pricing service, or when restricted or illiquid securities are being valued, securities are valued at fair value as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review of the Board. These securities will generally be categorized as Level 3 securities.

 

53


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS - (continued)

 

Reverse repurchase agreements are priced at their acquisition cost, which represents fair value. These securities will generally be categorized as Level 2 securities.

Short-term investments in fixed income securities, (those with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity), may be valued by using the amortized cost method of valuation, which the Board has determined will represent fair value. These securities will be classified as Level 2 securities.

In accordance with the Trust’s good faith pricing guidelines, the Adviser is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Adviser’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Adviser is aware of any other data that calls into question the reliability of market quotations. Good faith pricing may also be used in instances when the bonds the Fund invests in may default or otherwise cease to have market quotations readily available.

 

54


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS - (continued)

 

The following is a summary of the inputs used to value the Fund’s investments as of July 31, 2014:

 

     Valuation Inputs  
Assets   Level 1 -  Quoted
Prices in Active
Markets
   

Level 2 - Other
Significant

Observable
Inputs

    Level 3 -  Significant
Unobservable
Inputs
    Total  
Collateralized Mortgage Obligations   $     –      $ 2,469,069,470      $     –      $ 2,469,069,470   
Collateralized Loan Obligations         –        324,399,413            –        324,399,413   
Asset-Backed Securities         –        324,965,701            –        324,965,701   
Corporate Bonds         –        12,500,000        10,000,000        22,500,000   
Collateralized Debt Obligations         –        13,852,900            –        13,852,900   
Preferred Stocks     3,210,983            –            –        3,210,983   
Cash Equivalents     131,248,792            –            –        131,248,792   
Long Futures Contracts*     19,760            –            –        19,760   
Total   $ 134,499,295      $ 3,144,787,484      $ 10,000,000      $ 3,289,286,779   
Liabilities                                
Reverse Repurchase Agreements   $     –      $ (232,458,075   $     –      $ (232,458,075
Short Futures Contracts*     (1,049,071         –            –        (1,049,071
Total   $ (1,049,071   $ (232,458,075   $     –      $ (233,507,146

 

* The amount shown represents the gross unrealized appreciation/(depreciation) of the futures contracts.

During the six months ended July 31, 2014, the Fund had no transfers between Levels 1 and 2 at any time during the reporting period. The Fund’s transfers between Level 3 and Level 2 are detailed in the table below. The Trust recognizes transfers between fair value hierarchy levels at the end of the reporting period.

 

55


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS - (continued)

 

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for the Fund:

 

    Collateralized
Mortgage
Obligations
    Collateralized
Loan
Obligations
    Asset
Backed
Securities
    Corporate
Bonds
    Collateralized
Debt
Obligation
    Total
Investments
 

Balance as of January 31, 2014

  $ 30,673,322      $ 9,420,000      $ 37,149,498      $ –        $ 3,143,910      $ 80,386,730   

Realized gain/(loss)

    –          –          1,359        –          –          1,359   

Accretion/ (amortization)

    –          –          396        –          –          396   

Change in unrealized appreciation (depreciation)

    –          –          (5,193     –          –          (5,193

Purchases

    –          –          –          10,000,000        –          10,000,000   

Sales

    –          –          (10,996,562     –          –          (10,996,562

Transfers in to Level 3

    –          –          –          –          –          –     

Transfers out of Level 3*

    (30,673,322     (9,420,000     (26,149,498     –          (3,143,910     (69,386,730
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of July 31, 2014

  $ –        $ –        $ –        $ 10,000,000      $ –        $ 10,000,000   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* Transfers out of Level 3 were into Level 2 as a result of pricing sources beginning to price the securities on a daily basis.

The Fund’s Level 3 investments have been valued using acquisition cost. As a result, there were no unobservable inputs that have been internally developed by the Fund in determining the fair values of its investments as of July 31, 2014.

The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at July 31, 2014 was $0.

 

56


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 3. SECURITIES VALUATION AND FAIR VALUE MEASUREMENTS - (continued)

 

Balance Sheet Offsetting Information

The following table provides a summary of offsetting financial liabilities and derivatives and the effect of derivative instruments on the Statement of Assets and Liabilities as of July 31, 2014.

 

                      Gross Amounts Not Offset
in Statement of
Assets and Liabilities
       
     Gross Amounts
of Recognized
Assets
    Gross
Amounts
Offset in
Statement of
Assets and
Liabilities
    Net Amounts of
Assets
Presented in
Statement of
Assets and
Liabilities
    Financial
Instruments
    Cash Collateral
Pledged
    Net Amount
(not less than 0)
 

Futures Contracts

  $ 220,195      $ –            $ 220,195      $ –            $ 220,195      $ –         
                      Gross Amounts Not Offset
in Statement of
Assets and Liabilities
       
     Gross Amounts
of Recognized
Liabilities
    Gross
Amounts
Offset in
Statement of
Assets and
Liabilities
    Net Amounts of
Liabilities
Presented in
Statement of
Assets and
Liabilities
    Financial
Instruments
    Cash Collateral
Pledged
    Net Amount
(not less than 0)
 

Reverse Repurchase Agreements

  $ 232,458,075      $ –            $ 232,458,075      $ 232,458,075      $ –            $ –         

During the ordinary course of business, the Fund 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 Fund 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 Fund manages its cash collateral and securities collateral on a counterparty basis. As of July 31, 2014, the Fund did not enter into any netting agreements which would require any portfolio securities to be netted.

 

57


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 4. DERIVATIVE TRANSACTIONS

The following tables present a summary of the fair value of derivative instruments, not accounted for as hedging instruments as of July 31, 2014 and the effect of derivative instruments on the Statement of Operations for the fiscal year ended July 31, 2014.

At July 31, 2014:

 

       

Asset
Derivatives

 

Liability
Derivatives

   

Derivatives

 

Type of
Derivative
Risk

 

Statement of

Assets and

Liabilities

 

Statement of

Assets and
Liabilities

 

Variation
Margin
on Futures
Contracts

Futures Contracts

  Interest Rate   Receivable for net variation margin on futures contracts     $220,195

The effect of Derivative Instruments on the Statement of Operations for the six months ended July 31, 2014:

 

Derivatives  

Location of

Gain/(Loss) on
Derivatives on
Statement of
Operations

  Contracts
Opened
  Contracts
Closed
 

Realized

Gain (Loss)

on

Derivatives

 

Change in

Unrealized
Appreciation/
(Depreciation)
on Derivatives

Long Futures Contracts

  Net change in unrealized appreciation on futures contracts   152     $–   $19,760
Derivatives  

Location of

Gain/(Loss) on
Derivatives on
Statement of
Operations

  Contracts
Sold Short
  Contracts
Closed
  Realized Gain
(Loss) on
Derivatives
  Change in
Unrealized
Appreciation/
(Depreciation) on
Derivatives

Short Futures Contracts

  Net realized loss on futures contracts/net change in unrealized appreciation on futures contracts   22,555   19,359   $(16,052,293)   $3,188,554

 

58


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 5. FEES AND OTHER TRANSACTIONS WITH AFFILIATES

Under the terms of the management agreement, on behalf of the Fund (the “Agreement”), the Adviser manages the Fund’s investments subject to oversight of the Trustees. As compensation for its management services, the Fund is obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of 1.50% of the average daily net assets of the Fund on the first $200 million in assets, 1.25% for the next $300 million in assets and 1.00% for any assets in excess of $500 million. For the six months ended July 31, 2014, the Adviser earned a fee of $13,331,693 from the Fund before the waiver described below. At July 31, 2014, the Fund owed the Adviser $2,218,791.

The Adviser has contractually agreed to waive or limit its fees and to assume other expenses of the Fund until May 31, 2015, so that Total Annual Fund Operating Expenses does not exceed 0.99 %. This operating expense limitation does not apply to brokerage fees and commissions, borrowing costs (such as interest and dividend expenses on securities sold short), taxes, 12b-1 fees; extraordinary expenses and indirect expenses (such as “acquired funds fees and expenses”). For the six months ended July 31, 2014, the Adviser contractually waived fees of $2,055,481.

The waiver and/or reimbursement by the Adviser with respect to the Fund is subject to repayment by the Fund within the three fiscal years following the fiscal year in which that particular waiver and/or reimbursement occurred, provided that the Fund is able to make the repayment without exceeding the expense limitations described above. The amounts subject to repayment by the Fund, pursuant to the aforementioned conditions, at July 31, 2014 are as follows:

 

Amount

   Recoverable through
January 31,

$100,940

   2015

$1,319,337

   2016

$3,869,799

   2017

$2,055,481

   2018

The Trust retains Huntington Asset Services, Inc. (“HASI”) to manage the Fund’s business affairs and provide the Fund with administrative services, including all regulatory reporting and necessary office equipment and personnel related to that function. For the six months ended July 31, 2014, HASI earned fees of $375,357 for administrative and compliance services provided to the Fund. At July 31, 2014, HASI was owed $72,174 from the Fund for administrative services. Certain officers and one

 

59


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 5. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - (continued)

 

Trustee of the Trust are members of management and/or employees of HASI. HASI is a wholly-owned subsidiary of Huntington Bancshares, Inc., the parent company of Unified Financial Securities, Inc. (the “Distributor”) and Huntington National Bank, the custodian of the Fund’s investments (the “Custodian”). For the six months ended July, 31, 2014, the Custodian earned fees of $141,194 for custody services provided to the Fund. At July 31, 2014, the Custodian was owed $36,449 from the Fund for custody services.

The Trust also retains HASI to act as the Fund’s transfer agent and to provide fund accounting services. For the six months ended July 31, 2014, HASI earned fees of $129,884 for transfer agent services and reimbursement for out-of-pocket expenses incurred in providing transfer agent services to the Fund. At July 31, 2014, the Fund owed HASI $3,289 for transfer agent services and out-of-pocket expenses.

For the six months ended July 31, 2014, HASI earned fees of $107,836 from the Fund for fund accounting services. At July 31, 2014, HASI was owed $20,320 from the Fund for fund accounting services.

The Fund has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that the Fund will pay the Distributor and/or any registered securities dealer, financial institution or any other person (the “Recipient”) a shareholder servicing fee of 0.25% (Class A shares) and 1.00% (Class C shares) of each share classes’ respective average daily net assets of the Fund in connection with the promotion and distribution of the Fund’s shares or the provision of personal services to shareholders, including, but not necessarily limited to, advertising, compensation to underwriters, dealers and selling personnel, the printing and mailing of prospectuses to other than current Fund shareholders, the printing and mailing of sales literature and servicing shareholder accounts. The Fund or Adviser may pay all or a portion of these fees to any Recipient who renders assistance in distributing or promoting the sale of shares, or who provides certain shareholder services, pursuant to a written agreement. The Plan is a compensation plan, which means that compensation is paid regardless of 12b-1 expenses actually incurred. It is anticipated that the Plan will benefit shareholders because an effective sales program typically is necessary in order for the Fund to reach and maintain a sufficient size to achieve efficiently its investment objectives and to realize economies of scale. For the six months ended July 31, 2014, Class A shares 12b-1 expense incurred by the Fund was $1,077,506 and Class C shares 12b-1 expense incurred was $241,140. The Fund owed $161,721 for Class A shares and $44,998 for Class C shares 12b-1 fees as of July 31, 2014.

 

60


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 5. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - (continued)

 

Unified Financial Securities, Inc. (“Unified”) acts as the principal distributor of the Fund’s shares. During the six months ended July 31, 2014, the Distributor received $137,065 from commissions earned on sales of Class A shares, of which $124,695 was re-allowed to intermediaries of the Fund, and $2,111 from contingent deferred sales charges on Class C shares held for less than one year. An officer of the Trust is an officer of the Distributor and such person may be deemed to be an affiliate of the Distributor.

NOTE 6. INVESTMENT TRANSACTIONS

For the six months ended July 31, 2014, purchases and sales of investment securities, other than short-term investments and short-term U.S. government obligations, were as follows:

 

     Purchases      Sales  

U.S. Government Obligations

   $ –         $ –     

Other

     1,593,767,549         950,501,630   

NOTE 7. 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 and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

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 Investment Company Act of 1940. At July 31, 2014, Charles Schwab & Co. (“Schwab”) and UBS owned, as record shareholder, 27% and 32%, respectively, of the outstanding shares of Fund. It is not known whether Schwab or UBS or any other underlying beneficial owners owned or controlled 25% or more of the voting securities of the Fund.

 

61


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 9. FEDERAL TAX INFORMATION

At July 31, 2014, the unrealized appreciation (depreciation) of investments, excluding futures contracts, for tax purposes, was as follows:

 

Gross Unrealized Appreciation

   $ 82,651,002   

Gross Unrealized (Depreciation)

     (21,058,638
  

 

 

 

Net Unrealized Appreciation on Investments

   $ 61,592,364   
  

 

 

 

At July 31, 2014, the aggregate cost of securities for federal income tax purposes was $3,227,654,895 for the Fund.

The tax characterization of distributions paid for the fiscal year ended January 31, 2014 was as follows:

 

     2014  

Distributions paid from:

  

Ordinary Income

   $ 82,564,518   

Net Long-Term Capital Gain

     137,797   
  

 

 

 
   $ 82,702,315   
  

 

 

 

At January 31, 2014, the components of distributable earnings (accumulated losses) on a tax basis were as follows:

 

Undistributed ordinary income

   $ 1,546,079   

Undistributed long-term capital gains

     –     

Distributions payable

     (1,715,217

Accumulated capital and other losses

     (29,695,995

Unrealized appreciation

     39,321,793   
  

 

 

 
   $ 9,456,660   
  

 

 

 

As of January 31, 2014, the Fund had short-term capital loss carryforwards available to offset future gains and not subject to expiration in the amount of $21,896,476.

Certain capital losses incurred after October 31 and within the current taxable year, are deemed to arise on the on the first business day of the Fund’s following taxable year. For the tax year ended January 31, 2014 the Fund deferred post October capital losses in the amount of $7,796,374.

 

62


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 10. COMMITMENTS AND CONTINGENCIES

The Fund indemnifies its officers and trustees for certain liabilities that may arise from performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representatives and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.

NOTE 11. RESTRICTED SECURITIES

Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense, either upon demand or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined by the Fund to be liquid. The Fund does not anticipate incurring any registration costs upon such resale. The Fund’s restricted securities are valued at the price provided by pricing service or dealers in the secondary market or, if no market prices are available, at the fair value price as determined by the Fund’s Adviser or pursuant to the Fund’s fair value policies and procedures. The Fund has acquired securities, the sale of which is restricted under Rule 144A of the Securities Act of 1933. It is possible that the fair value price may differ significantly from the amount that may ultimately be realized in the near term, and the difference could be material. At July 31, 2014, the Fund held restricted securities representing 25% of net assets, as listed below:

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
321 Henderson Receivables LLC, Series 2012-3A, Class A, 3.220%, 8/15/2041   2/11/2013*   $ 12,338,099      $ 12,462,540      $ 12,100,177   
321 Henderson Receivables LLC, Series 2012-3A, Class B, 6.170%, 8/15/2041   11/9/2012     1,000,000        999,985        1,129,547   
321 Henderson Receivables LLC, Series 2013-3A, Class A, 4.080%, 1/17/2073   10/10/2013     4,834,519        4,830,659        5,053,772   
321 Henderson Receivables LLC, Series 2014-1A, Class B, 4.940%, 3/16/2065   2/10/2014     1,500,000        1,498,810        1,554,783   

 

63


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
321 Henderson Receivables LLC, Series 2014-2A, Class A, 3.610%, 1/17/2073   7/16/2014   $ 6,000,000      $ 5,996,112      $ 5,996,111   
321 Henderson Receivables LLC, Series 2014-2A, Class B, 4.480%, 1/15/2075   7/16/2014     1,000,000        999,531        999,531   
Acis CLO Ltd., Series 2013-1A, Class E, 5.834%, 4/18/2024   5/6/2013*     12,000,000        11,449,609        11,259,600   
Acis CLO Ltd., Series 2014-3A, Class E, 4.990%, 2/1/2026   1/16/2014     4,500,000        3,973,780        3,934,800   
Adams Mill CLO Ltd., Series 2014-1A, Class E1, 5.235%, 7/15/2026   7/1/2014     3,000,000        2,760,000        2,760,000   
ALM Loan Funding, Series 2014-14A, Class D, 5.084%, 7/28/2026   6/6/2014     7,500,000        6,827,521        6,865,500   
AMMC CLO IX Ltd., Series 2011-9A, Class E, 7.684%, 1/15/2022   5/10/2013     1,000,000        1,014,560        1,000,400   
Anchorage Capital CLO Ltd., Series 2013-1A, Class D, 5.034%, 7/13/2025   6/5/2013     5,000,000        4,704,143        4,556,500   
Ares XXVII CLO Ltd., Series 2013-2A, Class E, 5.085%, 7/28/2025   1/17/2014     5,500,000        5,207,444        5,066,600   
Arrowpoint CLO Ltd., Series 2012-2A, Class D, 3.934%, 3/12/2026   2/6/2014     3,000,000        2,865,517        2,846,700   
Arrowpoint CLO Ltd., Series 2012-2A, Class E, 4.954%, 3/12/2026   2/6/2014     6,000,000        5,413,665        5,333,400   
Bayview Commercial Asset Trust, Series 2005-2A, Class A1, 0.465%, 8/25/2035   4/1/2013*     12,478,536        10,419,132        11,394,613   
Bayview Commercial Asset Trust, Series 2005-4A, Class A1, 0.455%, 1/25/2036   4/29/2013     2,934,681        2,497,998        2,679,217   

 

64


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
Bayview Commercial Asset Trust, Series 2005-4A, Class A2, 0.545%, 1/25/2036   5/3/2013   $ 3,172,390      $ 2,648,454      $ 2,837,506   
Brand Group Holdings, Inc., 8.500%, 6/27/2024   6/27/2014     10,000,000        10,000,000        10,000,000   
Brookside Mill CLO Ltd., Series 2013-1A, Class E, 4.633%, 4/17/2025   4/25/2013*     7,250,000        6,618,674        6,561,250   
Cajun Global LLC, Series 2011-1A, Class A2, 5.955%, 2/20/2041   10/29/2013     7,190,284        7,547,967        7,400,959   
Canyon Capital CLO Ltd., Series 2012-1A, Class D, 4.534%, 1/15/2024   2/12/2013     3,000,000        3,005,872        2,998,800   
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class E, 5.734%, 1/20/2025   5/20/2013     2,850,000        2,855,309        2,783,310   
Catamaran CLO Ltd., Series 2012-1A, Class D, 4.731%, 12/20/2023   5/1/2013     8,750,000        8,805,230        8,756,125   
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class F, 5.000%, 4/15/2044   5/14/2013     7,931,000        6,855,817        7,388,179   
Chevy Chase Mortgage Funding Corp., Series 2005-1A, Class A1, 0.305%, 1/25/2036   7/23/2013*     11,104,035        9,458,223        9,930,949   
Chevy Chase Mortgage Funding Corp., Series 2005-1A, Class A2, 0.355%, 1/25/2036   11/20/2013     8,914,920        7,788,028        8,245,766   
Chevy Chase Mortgage Funding Corp., Series 2005-3A, Class A1, 0.335%, 7/25/2036   10/16/2013*     9,011,551        7,832,159        7,887,279   
Chevy Chase Mortgage Funding Corp., Series 2005-4A, Class IO, 1.308%, 4/25/2037 (I/O)   5/14/2014     85,207,395        5,261,918        5,378,717   
CIFC Funding Ltd., Series 2012-1A, Class B2L, 7.225%, 8/14/2024   4/25/2013*     10,000,000        10,067,362        10,002,000   
CIFC Funding Ltd., Series 2012-2A, Class B2L, 6.227%, 12/5/2024   12/24/2013     6,630,000        6,630,000        6,625,359   

 

65


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
CIFC Funding Ltd., Series 2012-2A, Class B3L, 7.227%, 12/5/2024   1/9/2014   $ 2,000,000      $ 2,000,000      $ 1,944,400   
CIFC Funding Ltd., Series 2012-3A, Class B2L, 6.234%, 1/29/2025   12/24/2013     9,200,000        9,200,000        9,080,400   
CIFC Funding Ltd., Series 2012-3A, Class B3L, 7.134%, 1/29/2025   2/3/2014     1,000,000        995,156        952,700   
CIFC Funding Ltd., Series 2013-1A, Class E, 6.358%, 4/16/2025   12/24/2013*     4,800,000        4,566,341        4,363,200   
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class D, 4.900%, 3/10/2047   2/28/2014*     9,000,000        8,303,331        8,752,536   
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A4, 3.622%, 7/10/2024   7/17/2014     7,000,000        7,209,702        7,209,702   
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class D, 4.658%, 7/10/2024   7/17/2014     10,000,000        9,382,101        9,382,101   
ColumbusNova CLO IV Ltd., Series 2007-2A, Class D, 4.734%, 10/15/2021   2/11/2014     3,440,000        3,448,178        3,445,848   
Commercial Mortgage Trust, Series 2013-CR6, Class E, 4.314%, 3/10/2046   6/4/2013     6,146,000        4,945,597        5,235,639   
Commercial Mortgage Trust, Series 2014-CR14, Class D, 4.612%, 2/10/2047   5/13/2014     6,250,000        5,867,069        6,071,428   
Commercial Mortgage Trust, Series 2014-CR17, Class D, 4.800%, 5/10/2047   4/29/2014*     8,250,000        7,749,721        7,944,111   
CountryWide Alternative Loan Trust, Series 2005-58R, Class A, 2.247%, 12/20/2035 (I/O)   3/6/2013     193,698,845        12,728,941        13,316,796   
Credit Suisse Mortgage Capital Certificates, Series 2012-9, Class B1, 2.419%, 2/25/2050   11/21/2012*     10,363,000        9,434,192        9,308,565   
Crown Point CLO Ltd., Series 2012-1A, Class B1L, 5.229%, 11/21/2022   5/8/2013     5,000,000        5,044,838        5,019,000   

 

66


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
Crown Point CLO Ltd., Series 2012-1A, Class B2L, 6.729%, 11/21/2022   5/15/2013*   $ 6,625,000      $ 6,659,208      $ 6,630,300   
Drug Royalty II LP, Series 2014-1, Class A2, 3.484%, 7/15/2023   6/18/2014     9,713,043        9,712,894        9,712,932   
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B6L, 4.124%, 8/15/2025   5/31/2013*     4,000,000        3,551,010        3,515,200   
Emerson Park CLO Ltd., Series 2013-1A, Class E, 5.084%, 7/15/2025   7/19/2013*     3,000,000        2,734,917        2,775,600   
Finn Square CLO Ltd, Series 2012-1A, Class D, 5.281%, 12/24/2023   1/17/2014     4,600,000        4,434,296        4,373,220   
Finn Square CLO Ltd., Series 2012-1A, Class C, 3.831%, 12/24/2023   2/20/2013     3,000,000        2,960,116        2,930,100   
Fortress Credit BSL II Ltd, Series 2013-2A, Class D, 4.084%, 10/19/2025   4/3/2014     7,750,000        7,389,590        7,357,075   
Fortress Credit BSL II Ltd., Series 2013-2A, Class E, 5.384%, 10/19/2025   10/25/2013     5,000,000        4,472,653        4,515,500   
FREMF Mortgage Trust, Series 2014-K36, Class C, 4.361%, 12/25/2046   2/6/2014*     6,000,000        5,567,271        6,103,518   
FREMF Mortgage Trust, Series 2014-K37, Class C, 4.558%, 1/25/2047   3/12/2014*     8,500,000        8,233,526        8,760,444   
Gallatin CLO IV Ltd., Series 2012-1A, Class E, 5.484%, 10/15/2023   12/6/2013     3,000,000        2,842,152        2,838,900   
GS Mortgage Securities Corp. II, Series 2013-GC10, Class C, 4.285%, 2/10/2046   1/3/2014     5,000,000        4,756,661        5,083,535   
GS Mortgage Securities Corp. II, Series 2014-GC20, Class D, 4.866%, 4/10/2047   3/27/2014     5,000,000        4,523,249        4,827,708   

 

67


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
GS Mortgage Securities Trust, Series 2013-GC13, Class C, 4.072%, 7/10/2046   9/26/2013   $ 7,500,000      $ 6,927,124      $ 7,545,026   
GS Mortgage Securities Trust, Series 2013-GC14, Class C, 4.775%, 8/10/2023   8/14/2013     6,600,000        6,293,321        6,943,114   
GS Mortgage Securities Trust, Series 2013-GC14, Class D, 4.775%, 8/10/2023   8/14/2013*     7,260,000        6,268,566        7,077,683   
GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.646%, 6/10/2047   6/5/2014     5,000,000        4,569,548        4,724,095   
Halcyon Loan Advisors Funding Ltd., Series 2012-2A, Class E, 5.631%, 12/20/2024   6/26/2013     3,000,000        2,747,483        2,862,600   
HOA Funding LLC, Series 2014-1A, Class A2, 4.846%, 8/20/2044   7/22/2014     5,000,000        5,000,000        5,000,000   
ING IM CLO Ltd., Series 2012-1RA, Class DR, 5.431%, 3/14/2022   3/6/2014     1,750,000        1,750,000        1,737,225   
ING IM CLO Ltd., Series 2012-1RA, Class ER, 6.731%, 3/14/2022   3/6/2014     2,000,000        2,000,000        1,951,400   
ING IM CLO Ltd., Series 2014-1A, Class D, 5.169%, 4/18/2026   2/5/2014     9,500,000        8,988,284        8,975,600   
JFIN Revolver CLO Ltd., Series 2013-1A, Class D, 3.984%, 1/20/2021   11/26/2013     7,000,000        6,658,281        6,633,200   
JFIN Revolver CLO Ltd., Series 2014-2A, Class C, 2.984%, 2/20/2022   7/18/2014     5,000,000        4,787,500        4,787,500   
JMP Credit Advisors CLO II Ltd., Series 2013-1A, Class D, 4.084%, 4/30/2023   4/3/2013*     4,000,000        3,752,134        3,856,000   
JMP Credit Advisors CLO II Ltd., Series 2013-1A, Class E, 5.484%, 4/30/2023   5/13/2013*     13,200,000        12,359,083        12,372,360   

 

68


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D, 5.008%, 12/15/2046   1/7/2014*   $ 10,000,000      $ 9,244,979      $ 9,945,015   
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D, 4.713%, 8/15/2046   8/2/2013     5,000,000        4,306,750        4,848,218   
KCAP Senior Funding I LLC, Series 2013-1A, Class D, 5.484%, 7/20/2024   5/6/2013     2,500,000        2,412,553        2,442,500   
KVK CLO Ltd., Series 2012-1X, Class E, 6.484%, 7/15/2023   5/9/2013     3,700,000        3,721,106        3,700,000   
KVK CLO Ltd., Series 2013-1A, Class D, 4.584%, 4/14/2025   5/16/2013     2,000,000        2,016,579        1,981,400   
Longfellow Place CLO Ltd., Series 2013-1A, Class D, 4.484%, 1/15/2024   1/15/2013*     9,000,000        8,732,458        8,990,100   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class D, 4.303%, 2/15/2046   4/16/2014     10,000,000        9,137,251        9,542,310   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D, 4.160%, 5/15/2046   12/13/2013     6,500,000        5,503,398        6,119,152   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class D, 4.835%, 2/15/2047   6/17/2014     7,500,000        7,084,960        7,313,332   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D, 4.899%, 4/15/2047   3/26/2014*     15,000,000        13,734,159        14,537,310   
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class D, 4.758%, 6/15/2047   6/27/2014*     10,500,000        9,927,853        9,970,548   
Muir Woods CLO Ltd., Series 2012-1A, Class E, 6.731%, 9/14/2023   5/13/2013     2,500,000        2,522,856        2,500,750   

 

69


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
Neuberger Berman CLO XIII Ltd., Series 2012-13A, Class D, 4.733%, 1/23/2024   11/20/2012*   $ 5,050,000      $ 4,860,180      $ 5,054,545   
NewMark Capital Funding CLO Ltd., Series 2013-1A, Class D, 3.017%, 6/2/2025   5/29/2013     1,000,000        907,183        904,600   
Ocean Trails CLO IV, Series 2013-4A, Class A, 1.524%, 8/13/2025   9/26/2013     25,000,000        24,824,797        25,007,500   
Ocean Trails CLO IV, Series 2013-4A, Class D, 4.224%, 8/13/2025   7/25/2013     4,000,000        3,830,896        3,879,200   
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class E, 6.734%, 1/15/2024   5/29/2013*     6,300,000        6,282,236        6,014,610   
OFSI Fund VI Ltd., Series 2014-6A, Class D, 5.213%, 3/20/2025   2/10/2014     5,000,000        4,475,125        4,374,000   
OHA Credit Partners VI Ltd., Series 2012-6A, Class D, 4.724%, 5/15/2023   2/7/2013     3,000,000        3,023,200        3,000,300   
Portola CLO Ltd., Series 2007-1A, Class E, 6.624%, 11/15/2021   4/15/2013     2,747,252        2,732,095        2,748,351   
RAIT Trust, Series 2014-FL2, Class B, 2.302%, 5/13/2031   5/22/2014     650,000        645,469        641,875   
Regatta III Funding Ltd., Series 2014-1A, Class D, 5.153%, 4/15/2026   2/25/2014     4,375,000        4,040,442        3,935,750   
Saranac CLO I Ltd., Series 2013-1A, Class D, 3.785%, 10/26/2024   11/7/2013     4,000,000        3,695,811        3,712,400   
Saratoga Investment Corp. CLO Ltd., Series 2013-1A, Class D, 3.734%, 10/20/2023   10/2/2013     8,000,000        7,494,240        7,548,000   
Saratoga Investment Corp. CLO Ltd., Series 2013-1A, Class E, 4.734%, 10/20/2023   10/2/2013     13,100,000        11,420,499        11,636,730   
Shackleton CLO Ltd., Series 2012-1A, Class D, 4.973%, 8/14/2023   2/25/2013     6,000,000        6,034,808        6,000,600   

 

70


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
Shackleton CLO Ltd., Series 2013-3A, Class D, 4.034%, 4/15/2025   3/20/2013   $ 3,000,000      $ 2,826,140      $ 2,873,100   
SolarCity LMC LLC, Series 2014-1, Class A, 4.590%, 4/20/2044   4/2/2014*     2,214,646        2,225,614        2,292,104   
Sound Point CLO Ltd., Series 2012-1A, Class D, 4.814%, 10/20/2023   5/6/2013     2,000,000        2,012,694        2,001,600   
Sound Point CLO Ltd., Series 2013-1A, Class B2L, 4.735%, 4/26/2025   5/6/2013*     7,000,000        6,404,700        6,259,400   
Steele Creek CLO Ltd., Series 2014-1A, Class D, 3.634%, 8/21/2026   7/18/2014     2,000,000        1,831,864        1,831,864   
Steele Creek CLO Ltd., Series 2014-1A, Class E2, 7.184%, 8/21/2026   7/18/2014     2,000,000        1,982,856        1,982,856   
Store Master Funding LLC, Series 2012-1A, Class A, 5.770%, 8/20/2042   8/17/2012*     6,376,524        6,772,820        6,855,911   
Store Master Funding LLC, Series 2013-1A, Class A1, 4.160%, 3/20/2043   3/20/2013     4,896,309        4,895,288        4,981,212   
Store Master Funding LLC, Series 2013-3A, Class A2, 5.210%, 11/20/2043   11/21/2013*     14,853,694        14,956,807        15,615,837   
Sudbury Mill CLO Ltd., Series 2013-1A, Class E, 4.983%, 1/17/2026   11/14/2013     5,000,000        4,580,044        4,561,000   
TICC CLO LLC, Series 2012-1A, Class D1, 5.977%, 8/25/2023   11/9/2012*     7,000,000        6,966,228        7,000,000   
Trade MAPS 1 Ltd., Series 2013-1A, Class D, 5.153%, 12/10/2018   12/6/2013     2,000,000        2,000,000        2,014,380   
Tuolumne Grove CLO Ltd., Series 2014-1A, Class E, 4.977%, 4/25/2026   2/28/2014     5,000,000        4,471,914        4,449,000   

 

71


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class F, 4.890%, 5/10/2063   5/7/2013   $ 7,000,000      $ 5,888,317      $ 6,365,138   
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class C, 4.958%, 8/10/2049   8/28/2013     3,500,000        3,458,780        3,750,723   
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class E, 4.501%, 12/10/2045   5/13/2013     5,000,000        4,139,744        4,398,785   
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class B, 3.649%, 3/10/2046   7/2/2014     190,000        184,336        187,646   
Venture CDO Ltd., Series 2012-11A, Class E, 6.725%, 11/14/2022   4/17/2013     1,500,000        1,500,000        1,501,200   
Venture X CLO Ltd., Series 2012-12A, Class E, 5.529%, 2/28/2024   5/20/2013*     10,000,000        9,760,952        9,394,000   
Vibrant CLO II Ltd., Series 2013-2A, Class C, 3.833%, 7/24/2024   8/13/2013     3,000,000        2,832,689        2,838,000   
Vibrant CLO II Ltd., Series 2013-2A, Class D, 5.133%, 7/24/2024   8/13/2013     3,200,000        2,892,053        2,929,920   
Vibrant CLO Ltd., Series 2012-1A, Class C, 4.733%, 7/17/2024   5/20/2013     10,200,000        10,294,450        10,200,000   
Voya CLO Ltd., Series 2014-3A, Class D, 5.233%, 7/25/2026   7/10/2014     1,750,000        1,591,824        1,591,800   
Washington Mill CLO Ltd., Series 2014-1A, Class D, 3.676%, 4/20/2026   4/11/2014     5,000,000        4,784,053        4,771,000   
Washington Mill CLO Ltd., Series 2014-1A, Class E, 5.076%, 4/20/2026   4/11/2014     5,000,000        4,623,727        4,584,000   
West CLO Ltd., Series 2012-1A, Class D, 6.736%, 10/30/2023   5/6/2013     5,000,000        5,029,787        5,003,500   
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class D, 4.803%, 11/15/2045   12/6/2013*     9,000,000        8,152,284        8,944,344   

 

72


Angel Oak Multi-Strategy Income Fund

Notes to the Financial Statements - (continued)

July 31, 2014

(Unaudited)

 

NOTE 11. RESTRICTED SECURITIES - (continued)

 

Issuer Description   Acquisition
Date
  Principal
Amount
    Amortized
Cost
   

Fair

Value

 
WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class D, 4.001%, 6/15/2046   7/25/2014   $ 8,470,000      $ 7,871,852      $ 7,814,236   
WF-RBS Commercial Mortgage Trust, Series 2013-C16, Class D, 4.984%, 9/15/2046   1/3/2014     4,000,000        3,625,535        3,962,458   
WF-RBS Commercial Mortgage Trust, Series 2013-C17, Class D, 5.127%, 12/15/2046   6/17/2014     8,229,000        8,003,312        8,165,258   
Wind River CLO Ltd., Series 2012-1A, Class D, 5.234%, 1/15/2024   4/18/2013     4,000,000        4,009,874        4,012,400   
Wind River CLO Ltd., Series 2012-1A, Class E, 5.484%, 1/15/2024   12/13/2013     5,000,000        4,719,682        4,729,000   
TOTAL                       $ 741,454,479   

 

* The security was purchased on multiple dates with the initial purchase date shown.

NOTE 12. LINE OF CREDIT

The Fund participates in a short-term credit agreement (“Line of Credit”) with Huntington National Bank. (“Huntington”). Under the terms of the agreement, the Fund may borrow up to $100 million at an interest rate of LIBOR plus 125 basis points. The purpose of the agreement is to meet temporary or emergency cash needs, including redemption requests that might otherwise require the untimely disposition of securities. Huntington receives an annual facility fee of 0.125% on $100 million as well as an additional annual fee of 0.125% on any unused portion of the credit facility, invoiced quarterly, for providing the Line of Credit. For the six months ended July 31, 2014, the Fund did not borrow under this Line of Credit.

NOTE 13. SUBSEQUENT EVENT

Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. There were no items requiring adjustment of financial statements or additional disclosure.

 

73


VALUED ADVISERS TRUST

PRIVACY POLICY

The following is a description of the policies of the Valued Advisers Trust (the “Trust”) regarding disclosure of nonpublic personal information that shareholders provide to a series of the Trust (each, a “Fund”) or that the Fund collects from other sources. In the event that a shareholder holds shares of a Fund through a broker-dealer or other financial intermediary, the privacy policy of the financial intermediary would govern how shareholder nonpublic personal information would be shared with nonaffiliated third parties.

Categories of Information A Fund May Collect. A Fund may collect the following nonpublic personal information about its shareholders:

 

   

Information the Fund receives from a shareholder on applications or other forms, correspondence, or conversations (such as the shareholder’s name, address, phone number, social security number, and date of birth); and

 

   

Information about the shareholder’s transactions with the Fund, its affiliates, or others (such as the shareholder’s account number and balance, payment history, cost basis information, and other financial information).

Categories of Information A Fund May Disclose. A Fund may not disclose any nonpublic personal information about its current or former shareholders to unaffiliated third parties, except as required or permitted by law. A Fund is permitted by law to disclose all of the information it collects, as described above, to its service providers (such as the Fund’s custodian, administrator, transfer agent, accountant and legal counsel) to process shareholder transactions and otherwise provide services to the shareholder.

Confidentiality and Security. Each Fund shall restrict access to shareholder nonpublic personal information to those persons who require such information to provide products or services to the shareholder. Each Fund shall maintain physical, electronic, and procedural safeguards that comply with federal standards to guard shareholder nonpublic personal information.

Disposal of Information. The Funds, through their transfer agent, have taken steps to reasonably ensure that the privacy of a shareholder’s nonpublic personal information is maintained at all times, including in connection with the disposal of information that is no longer required to be maintained by the Funds. Such steps shall include, whenever possible, shredding paper documents and records prior to disposal, requiring off-site storage vendors to shred documents maintained in such locations prior to disposal, and erasing and/or obliterating any data contained on electronic media in such a manner that the information can no longer be read or reconstructed.

 

74


PROXY VOTING

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted those proxies during the most recent twelve month period ended June 30, is available without charge upon request by (1) calling the Fund at (877) 625-3042 and (2) from Fund documents filed with the Securities and Exchange Commission (“SEC”) on the SEC’s website at www.sec.gov.

TRUSTEES

R. Jeffrey Young, Chairman

Ira Cohen

Andrea N. Mullins

OFFICERS

R. Jeffrey Young, Principal Executive Officer and President

Bryan W. Ashmus, Principal Financial Officer and Treasurer

John C. Swhear, Chief Compliance Officer, AML Officer and Vice-President

Carol J. Highsmith, Vice President and Secretary

Matthew J. Miller, Vice President

INVESTMENT ADVISER

Angel Oak Capital Advisors, LLC

One Buckhead Plaza

3060 Peachtree Road NW

Suite 500

Atlanta, GA 30305

DISTRIBUTOR

Unified Financial Securities, Inc.

2960 North Meridian Street, Suite 300

Indianapolis, IN 46208

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Cohen Fund Audit Services, Ltd.

1350 Euclid Avenue, Suite 800

Cleveland, OH 44115

LEGAL COUNSEL

The Law Offices of John H. Lively & Associates, Inc.

A member firm of The 1940 Act Law Group TM

1130 Tomahawk Creek Parkway, Suite 310

Leawood, KS 66211

CUSTODIAN

Huntington National Bank

41 South High Street

Columbus, OH 43215

ADMINISTRATOR, TRANSFER AGENT AND FUND ACCOUNTANT

Huntington Asset Services, Inc.

2960 North Meridian Street, Suite 300

Indianapolis, IN 46208

This report is intended only for the information of shareholders or those who have received the Fund’s prospectus which contains information about the Fund’s management fee and expenses. Please read the prospectus carefully before investing.

Distributed by Unified Financial Securities, Inc.

Member FINRA/SIPC

 

75


Item 2. Code of Ethics. NOT APPLICABLE – disclosed with annual report

Item 3. Audit Committee Financial Expert. NOT APPLICABLE – disclosed with annual report

Item 4. Principal Accountant Fees and Services. NOT APPLICABLE – disclosed with annual report

Item 5. Audit Committee of Listed Companies. NOT APPLICABLE – applies to listed companies only

Item 6. Schedule of Investments. Schedules filed with Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. NOT APPLICABLE – applies to closed-end funds only

Item 8. Portfolio Managers of Closed-End Investment Companies. NOT APPLICABLE – applies to closed-end funds only

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. NOT APPLICABLE – applies to closed-end funds only

Item 10. Submission of Matters to a Vote of Security Holders.

The guidelines applicable to shareholders desiring to submit recommendations for nominees to the Registrant’s board of trustees are contained in the statement of additional information of the Trust with respect to the Fund(s) for which this Form N-CSR is being filed.

Item 11. Controls and Procedures.

(a) Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Act”)) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant is made known to them by others within those entities and that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported on a timely basis.

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a) (1)   Not Applicable – filed with annual report

 

  (2) Certifications by the registrant’s principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes- Oxley Act of 2002 and required by Rule 30a-2under the Investment Company Act of 1940 are filed herewith.

 

  (3) Not Applicable –

 

(b) Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 is filed herewith


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)  

Valued Advisers Trust

By  
*               /s/ R. Jeffrey Young
  R. Jeffrey Young, President and Principal Executive Officer
Date  

      9/26/2014

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  
*               /s/ R. Jeffrey Young
  R. Jeffrey Young, President and Principal Executive Officer
Date  

      9/26/2014

 

By  
*               /s/ Bryan W. Ashmus
  Bryan W. Ashmus, Treasurer and Principal Financial Officer
Date  

      9/26/2014

EX-99.CERT 2 d764393dex99cert.htm CERTIFICATION PURSUANT TO SECTION 302 Certification Pursuant to Section 302

Exhibit 99.CERT

SECTION 302 CERTIFICATIONS

CERTIFICATION OF PRESIDENT

CERTIFICATIONS

I, R. Jeffrey Young, certify that:

 

1. I have reviewed this report on Form N-CSR of Valued Advisers Trust;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:  

        9/26/2014             

       

/s/ R. Jeffrey Young

          R. Jeffrey Young
          President and Principal Executive Officer


SECTION 302 CERTIFICATIONS

CERTIFICATION OF CHIEF FINANCIAL OFFICER

CERTIFICATIONS

I, Bryan W. Ashmus, certify that:

 

1. I have reviewed this report on Form N-CSR of Valued Advisers Trust;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date  

        9/26/2014             

       

/s/ Bryan W. Ashmus

          Bryan W. Ashmus
          Treasurer and Principal Financial Officer
EX-99.906 CERT 3 d764393dex99906cert.htm CERTIFICATION PURSUANT TO SECTION 906 Certification Pursuant to Section 906

EX-99.906CERT

CERTIFICATION OF PRESIDENT AND TREASURER PURSUANT TO 18 U.S.C. SECTION

1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002

R. Jeffrey Young, President, and Bryan W. Ashmus, Treasurer of Valued Advisers Trust (the “Registrant”), each certify to the best of his or her knowledge that:

 

1. The Registrant’s periodic report on Form N-CSR for the period ended July 31, 2014 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

President and Principal Executive Officer Valued Advisers Trust          

Treasurer and Principal Financial Officer

Valued Advisers Trust

/s/ R. Jeffrey Young

         

/s/ Bryan W. Ashmus

R. Jeffrey Young           Bryan W. Ashmus
Date:    9/26/2014                           Date:    9/26/2014                

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Valued Advisers Trust and will be retained by Valued Advisers Trust and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.

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