0001145549-22-044543.txt : 20220728 0001145549-22-044543.hdr.sgml : 20220728 20220728130103 ACCESSION NUMBER: 0001145549-22-044543 CONFORMED SUBMISSION TYPE: NPORT-P/A PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220430 FILED AS OF DATE: 20220728 DATE AS OF CHANGE: 20220728 PERIOD START: 20230131 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Angel Oak Strategic Credit Fund CENTRAL INDEX KEY: 0001716885 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: NPORT-P/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-23289 FILM NUMBER: 221114002 BUSINESS ADDRESS: STREET 1: ONE BUCKHEAD PLAZA STREET 2: 3060 PEACHTREE RD. NW, SUITE 500 CITY: ATLANTA STATE: GA ZIP: 30305 BUSINESS PHONE: 404-953-4900 MAIL ADDRESS: STREET 1: ONE BUCKHEAD PLAZA STREET 2: 3060 PEACHTREE RD. NW, SUITE 500 CITY: ATLANTA STATE: GA ZIP: 30305 NPORT-P/A 1 primary_doc.xml NPORT-P/A false 0001145549-22-039067 0001716885 XXXXXXXX Angel Oak Strategic Credit Fund 811-23289 0001716885 549300KHR3RXXW4KTW47 3344 Peachtree Road NE Suite 1725 Atlanta 30326 404-953-4900 Angel Oak Strategic Credit Fund 549300KHR3RXXW4KTW47 2023-01-31 2022-04-30 N 13997568.440000000000 650689.070000000000 13346879.370000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 467500.000000000000 0.000000000000 0.000000000000 USD N Affirm Inc N/A Affirm Asset Securitization Trust 2021-A 00833MAD6 150000.000000000000 PA USD 145846.350000000000 1.0927374554 Long ABS-O CORP US N 2 2025-08-15 Fixed 3.490000000000 N N N N N N Affirm Inc N/A Affirm Asset Securitization Trust 2021-A 00833MAE4 500000.000000000000 PA USD 486594.000000000000 3.6457510892 Long ABS-O CORP US N 2 2025-08-15 Fixed 5.650000000000 N N N N N N Affirm Inc N/A Affirm Asset Securitization Trust 2021-B 00834DAE3 500000.000000000000 PA USD 467345.000000000000 3.5015301109 Long ABS-O CORP US N 2 2026-08-17 Fixed 4.610000000000 N N N N N N American Home Mortgage Assets N/A American Home Mortgage Assets Trust 2006-6 008684AF9 910769.610000000000 PA USD 32016.280000000000 0.2398783949 Long ABS-MBS CORP US N 2 2046-12-25 Variable 2.054123000000 N N N N N N Aimco 549300MMTPNJGGRMPB33 AIMCO CLO Series 2017-A 00900DAE2 250000.000000000000 PA USD 170000.000000000000 1.2737059749 Long ABS-CBDO CORP KY N 2 2034-04-20 Variable .000000000000 N N N N N N Countrywide Alternative Loan T N/A Alternative Loan Trust 2007-20 02151LAA4 222407.980000000000 PA USD 101038.610000000000 0.7570204780 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.167860000000 N N N N N N American Home Mortgage Investm N/A American Home Mortgage Investment Trust 2006-3 026929AM1 318981.960000000000 PA USD 138404.360000000000 1.0369791782 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.750000000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUN N/A Bayview Opportunity Master Fund IVb Trust 2017-SPL2 07333BAD0 100000.000000000000 PA USD 99927.300000000000 0.7486941122 Long ABS-MBS CORP US N 2 2054-06-28 Variable 4.250000000000 N N N N N N BELLEMEADE RE LT N/A Bellemeade Re 2020-4 Ltd 07876UAC3 250000.000000000000 PA USD 244197.250000000000 1.8296205670 Long ABS-MBS CORP BM N 2 2030-06-25 Floating 5.667860000000 N N N N N N BELLEMEADE RE LT N/A Bellemeade RE 2021-3 Ltd 078777AE9 500000.000000000000 PA USD 460858.500000000000 3.4529307355 Long ABS-MBS CORP US N 2 2031-09-25 Floating 3.438700000000 N N N N N N CPS Auto Trust N/A CPS Auto Trust 12658VAE1 250000.000000000000 PA USD 237740.000000000000 1.7812403440 Long ABS-O CORP US N 2 2028-12-15 Fixed 4.060000000000 N N N N N N Countrywide Home Loans N/A CHL Mortgage Pass-Through Trust 2004-29 12669GJA0 2185576.640000000000 PA USD 51302.040000000000 0.3843747934 Long ABS-MBS CORP US N 2 2035-02-25 Variable 1.222320000000 N N N N N N Capital Funding Mortgage Trust N/A Capital Funding Mortgage Trust 14019QAB8 175000.000000000000 PA USD 172761.400000000000 1.2943954554 Long ABS-MBS CORP US N 2 2023-11-06 Floating 16.460000000000 N N N N N N Capital Funding Mortgage Trust N/A Capital Funding Mortgage Trust 2020-9 14020FAB9 250000.000000000000 PA USD 248557.000000000000 1.8622855059 Long ABS-MBS CORP US N 2 2022-11-19 Floating 15.900000000000 N N N N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 Connecticut Avenue Securities Trust 2019-HRP1 20754PAD2 300000.000000000000 PA USD 307125.000000000000 2.3010996914 Long ABS-MBS CORP US N 2 2039-11-25 Floating 9.917860000000 N N N N N N Fannie Mae - CAS N/A Connecticut Avenue Securities Trust 2020-R02 20754WAC9 250000.000000000000 PA USD 227812.500000000000 1.7068596612 Long ABS-MBS CORP US N 2 2040-01-25 Floating 3.667860000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL1 Trust 22945AAH2 1515306.830000000000 PA USD 328914.020000000000 2.4643514853 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.967960000000 N N N N N N DSLA Mortgage Loan Trust N/A DSLA Mortgage Loan Trust 2004-AR2 23332UAU8 420168.910000000000 PA USD 10336.160000000000 0.0774425221 Long ABS-MBS CORP US N 2 2044-11-19 Variable 1.983696000000 N N N N N N FREMF Mortgage Trust N/A FREMF 2017-KF41 Mortgage Trust 30306KAC7 138539.580000000000 PA USD 126612.360000000000 0.9486289378 Long ABS-MBS CORP US N 2 2024-11-25 Floating 2.952000000000 N N N N N N Freddie Mac - STACR 549300D2VO9JVX6KU482 STACR Trust 2018-HRP1 3137G0VB2 95825.490000000000 PA USD 103786.480000000000 0.7776085864 Long ABS-MBS CORP US N 2 2043-05-25 Floating 12.417860000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G1CG0 275332.140000000000 PA USD 261498.350000000000 1.9592471225 Long ABS-MBS CORP US N 2 2047-09-25 Variable 4.043103000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G1DF1 31033.440000000000 PA USD 28686.540000000000 0.2149306906 Long ABS-MBS CORP US N 2 2048-08-25 Variable 4.147969000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G1DQ7 306067.570000000000 PA USD 302782.240000000000 2.2685620481 Long ABS-MBS CORP US N 2 2048-11-25 Variable 4.503842000000 N N N N N N First American Government Obli 549300R5MYM6VZF1RM44 First American Government Obligations Fund 31846V211 415999.220000000000 NS USD 415999.220000000000 3.1168276004 Long STIV RF US N 1 N N N Freddie Mac - STACR 5493003FQV7GR462GO02 Freddie Mac Stacr Remic Trust 2020-DNA1 35565HBE4 500000.000000000000 PA USD 470000.000000000000 3.5214224012 Long ABS-MBS CORP US N 2 2050-01-25 Floating 5.917860000000 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust 2006-15 3622E8AF2 42184.260000000000 PA USD 19253.660000000000 0.1442558928 Long ABS-MBS CORP US N 2 2036-09-25 Variable 6.375650000000 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust 2006-18 3622ELAC0 131962.060000000000 PA USD 56216.760000000000 0.4211977830 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.772340000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corp Trust 2018-TWR 36251SAU2 311000.000000000000 PA USD 273175.250000000000 2.0467349890 Long ABS-MBS CORP US N 2 2031-07-15 Floating 4.478660000000 N N N N N N GS Mortgage-Backed Securities N/A GS Mortgage-Backed Securities Corp Trust 2020-PJ3 36258WBS0 1661769.960000000000 PA USD 1104058.360000000000 8.2720337046 Long ABS-MBS CORP US N 3 2050-10-25 Variable 3.429256000000 N N N N N N GS Mortgage-Backed Securities N/A GS Mortgage-Backed Securities Corp Trust 2020-PJ6 36260RBJ7 998383.260000000000 PA USD 536157.770000000000 4.0171020891 Long ABS-MBS CORP US N 3 2051-05-25 Variable 2.782941000000 N N N N N N Chase Mortgage Finance Corpora N/A Chase Mortgage Reference Notes 2020-CL1 46591HAL4 181168.600000000000 PA USD 187993.760000000000 1.4085222080 Long ABS-MBS CORP US N 2 2057-10-25 Floating 6.267860000000 N N N N N N J.P. Morgan Wealth Management N/A J.P. Morgan Wealth Management 46591HBP4 53853.030000000000 PA USD 53006.950000000000 0.3971486407 Long ABS-MBS CORP US N 2 2051-03-25 Floating 3.938700000000 N N N N N N J.P. Morgan Wealth Management N/A J.P. Morgan Wealth Management 46591HBQ2 75000.000000000000 PA USD 74385.300000000000 0.5573235356 Long ABS-MBS CORP US N 2 2051-03-25 Floating 7.188700000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-8 46591KBY8 252209.010000000000 PA USD 211660.360000000000 1.5858415599 Long ABS-MBS CORP US N 3 2050-03-25 Variable 3.906495000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2019-1 46650HBB3 209042.370000000000 PA USD 202379.980000000000 1.5163093513 Long ABS-MBS CORP US N 3 2049-05-25 Variable 3.430751000000 N N N N N N LendingClub Receivables Trust N/A LendingClub Receivables Trust Series 2019-1 52604L104 17660.000000000000 PA USD 103705.500000000000 0.7770018528 Long ABS-O CORP US N 2 2045-07-17 Fixed .000000000000 N N N N N N LendingPoint Asset Securitizat N/A Lendingpoint 2022-A Asset Securitization Trust 52605AAE7 100000.000000000000 PA USD 94198.900000000000 0.7057747162 Long ABS-O CORP US N 2 2029-06-15 Fixed 7.020000000000 N N N N N N Monroe Capital MML CLO X LLC 254900N1X9F88IDW7908 Monroe Capital Mml Clo X Ltd 61034UAL9 500000.000000000000 PA USD 467500.000000000000 3.5026914310 Long ABS-CBDO CORP US N 2 2034-05-20 Floating 8.750000000000 N N N N N N Monroe Capital MML CLO X LLC 254900N1X9F88IDW7908 Monroe Capital Mml Clo X Ltd 61034XAA7 500000.000000000000 PA USD 500000.000000000000 3.7461940439 Long ABS-CBDO CORP US N 2 2031-08-20 Floating 9.329570000000 N N N N N N Mosaic Solar Loans LLC N/A Mosaic Solar Loan Trust 2019-1 61946CAB8 36193.410000000000 PA USD 33697.950000000000 0.2524781192 Long ABS-O CORP US N 2 2043-12-21 Fixed .000000000000 N N N N N N Mosaic Solar Loans LLC N/A Mosaic Solar Loan Trust 2018-1 61946FAC9 129776.640000000000 PA USD 122164.590000000000 0.9153045189 Long ABS-O CORP US N 2 2043-06-22 Fixed .000000000000 N N N N N N NMI Holdings Inc 529900KNNGFXJX1C3Z08 NMI Holdings Inc 629209305 5000.000000000000 NS USD 91900.000000000000 0.6885504653 Long EC CORP US N 1 N N N New Residential Mortgage Loan N/A New Residential Mortgage Loan Trust 2019-6 64828GCT5 168742.180000000000 PA USD 112815.120000000000 0.8452546612 Long ABS-MBS CORP US N 2 2059-09-25 Variable 4.503683000000 N N N N N N Continental Credit Card llc N/A Continental Finance Credit Card ABS Master Trust 66981PAC2 200000.000000000000 PA USD 190337.600000000000 1.4260831669 Long ABS-O CORP US N 2 2028-12-15 Fixed 5.750000000000 N N N N N N Pagaya AI Debt Selection Trust N/A Pagaya AI Debt Trust 2022-1 69546MAC1 100000.000000000000 PA USD 93472.600000000000 0.7003329948 Long ABS-O CORP US N 2 2029-10-15 Fixed 4.888000000000 N N N N N N Residential Mortgage Loan Trus N/A Residential Mortgage Loan Trust 2020-1 76119CAF8 400000.000000000000 PA USD 379376.400000000000 2.8424352201 Long ABS-MBS CORP US N 2 2060-01-26 Variable 4.665000000000 N N N N N N Rockford Tower CLO Ltd 549300GGUAM1ZV2SKK63 Rockford Tower CLO 2019-1 Ltd 77342NAC8 300000.000000000000 PA USD 228000.000000000000 1.7082644840 Long ABS-CBDO CORP KY N 2 2034-04-20 Variable .000000000000 N N N N N N Santander Consumer Auto Receiv N/A Santander Consumer Auto Receivables Trust 2021-A 80282YAJ5 250000.000000000000 PA USD 247825.750000000000 1.8568066971 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.790000000000 N N N N N N Saranac CLO LTD 5493002KTJG5M0SYTB50 Saranac Clo VIII Ltd 80316RAA9 250000.000000000000 PA USD 233567.000000000000 1.7499746085 Long ABS-CBDO CORP JE N 2 2033-02-20 Floating 8.599570000000 N N N N N N Unison Trust N/A Unison Trust 2021-1 90919VAA0 243170.920000000000 PA USD 228754.780000000000 1.7139195887 Long ABS-MBS CORP US N 2 2050-04-25 Variable 4.500000000000 N N N N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust Series 2021-ST9 91683MAB0 200000.000000000000 PA USD 160917.210000000000 1.2056541873 Long ABS-O CORP US N 2 2029-11-20 Fixed .000000000000 N N N N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust Series 2022-ST1 91683NAB8 100000.000000000000 PA USD 88917.800000000000 0.6662066655 Long ABS-O CORP US N 2 2030-03-20 Fixed .000000000000 N N N N N N L Street Securities 549300T6W1U156OOG754 Wells Fargo Credit Risk Transfer Securities Trust 2015 949771AC3 13305.460000000000 PA USD 10449.800000000000 0.0782939570 Long ABS-MBS CORP US N 2 2025-11-25 Floating 5.917860000000 N N N N N N Western Alliance Bank N/A Western Mortgage Reference Notes Series 2021-CL2 95763PES6 477130.040000000000 PA USD 464447.450000000000 3.4798205418 Long ABS-MBS CORP US N 2 2059-07-25 Floating 6.788700000000 N N N N N N Western Alliance Bank N/A Western Mortgage Reference Notes Series 2021-CL2 95763PET4 400000.000000000000 PA USD 388746.000000000000 2.9126358995 Long ABS-MBS CORP US N 2 2059-07-25 Floating 8.788700000000 N N N N N N WT HOLDINGS INC 5493003A5MRDVHNV6S26 WT Holdings Inc 98258PAA5 300000.000000000000 PA USD 299076.720000000000 2.2407988542 Long DBT CORP US N 2 2023-04-30 Fixed 7.000000000000 N N N N N N XCALI 2020-1 Mortgage Trust N/A XCALI 2020-1 Mortgage Trust 98370AAB9 250000.000000000000 PA USD 244295.750000000000 1.8303585672 Long ABS-MBS CORP US N 2 2023-01-22 Floating 9.150000000000 N N N N N N X-CALIBER FUNDING LLC 549300GGW5CBE4FDT866 X-Caliber Funding LLC 98373XAH3 100000.000000000000 PA USD 99766.600000000000 0.7474900854 Long DBT CORP US N 2 2024-10-01 Fixed .000000000000 N N N N N N XCAL 2021-MI3 549300GGW5CBE4FDT866 X-Caliber Funding LLC 98401YAC8 500000.000000000000 PA USD 489092.500000000000 3.6644708208 Long ABS-MBS CORP US N 2 2023-05-06 Floating 8.000000000000 N N N N N N x-caliber funding llc N/A XCALI 2020-1 Mortgage Trust 98402TAC8 50000.000000000000 PA USD 48916.550000000000 0.3665017765 Long ABS-MBS CORP US N 2 2024-03-01 Floating 9.000000000000 N N N N N N Essent Group Ltd 254900QUO860OUT6ZF83 Essent Group Ltd G3198U102 2200.000000000000 NS USD 89166.000000000000 0.6680662762 Long EC CORP US N 1 N N N N/A N/A 5y Eris Swp Fut Jun19 N/A -1.000000000000 NC USD -2736.600000000000 -0.0205036692 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 5 Year Eris Swap 5 Year Eris Swap 2024-06-18 -103226.500000000000 USD -2736.600000000000 N N N 2022-05-25 Angel Oak Strategic Credit Fund /s/ Daniel Fazioli Angel Oak Strategic Credit Fund Principal Financial Officer XXXX NPORT-EX 2 aostrategiccreditfund-nport.htm N-PORT EX

Angel Oak Strategic Credit Fund
           
Schedule of Investments
           
April 30, 2022 (Unaudited)
           
   
Principal
       
   
Amount
   
Value
 
Asset-Backed Securities ― 19.94%
           
Affirm Asset Securitization Trust, Series 2021-A, Class D, 3.490%, 8/15/2025 (a)
 
$
150,000
   
$
145,846
 
Affirm Asset Securitization Trust, Series 2021-A, Class E, 5.650%, 8/15/2025 (a)
   
500,000
     
486,594
 
Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a)
   
500,000
     
467,345
 
CAL Receivables LLC, Series 2022-1, Class B, 0.000% (SOFR30A + 4.350%), 10/15/2022 (a)(b)(c)
   
100,000
     
98,000
 
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C, 5.750%, 12/15/2028 (a)
   
200,000
     
190,338
 
CPS Auto Receivables Trust, Series 2021-D, Class E, 4.060%, 12/15/2028 (a)
   
250,000
     
237,740
 
LendingClub Receivables Trust, Series 2019-1, Class CERT, 6.000%, 7/17/2045 (a)
   
17,660
     
103,705
 
Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a)
   
100,000
     
94,199
 
Mosaic Solar Loan Trust, Series 2018-1A, Class C, 0.000%, 6/22/2043 (a)(d)
   
129,777
     
122,165
 
Mosaic Solar Loan Trust, Series 2019-1A, Class B, 0.000%, 12/21/2043 (a)(d)
   
36,193
     
33,698
 
Pagaya AI Debt Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a)
   
100,000
     
93,473
 
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F, 5.790%, 8/15/2028 (a)
   
250,000
     
247,826
 
Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a)(c)
   
100,000
     
99,502
 
Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 4.500%, 11/20/2029 (a)
   
200,000
     
160,917
 
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 0.000%, 3/20/2030 (a)
   
100,000
     
88,918
 
TOTAL ASSET-BACKED SECURITIES (Cost ― $2,926,432)
         
$
2,670,266
 
                 
Collateralized Loan Obligations ― 11.94%
               
AIMCO CLO Ltd., Series 2017-AA, Class SUB, 0.000%, 7/20/2029 (a)(e)
   
250,000
     
170,000
 
Monroe Capital MML CLO Ltd., Series 2020-1A, Class E, 9.330% (3 Month LIBOR USD + 8.850%), 8/20/2031 (a)(b)
   
500,000
     
500,000
 
Monroe Capital MML CLO Ltd., Series 2020-1A, Class ER, 8.750% (TSFR3M + 8.750%), 5/20/2034 (a)(b)(c)
   
500,000
     
467,500
 
Rockford Tower CLO Ltd., Series 2019-1A, Class SUB, 0.000%, 4/20/2032 (a)(e)
   
300,000
     
228,000
 
Saranac CLO Ltd., Series 2020-8A, Class E, 8.600% (3 Month LIBOR USD + 8.120%), 2/22/2033 (a)(b)
   
250,000
     
233,567
 
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost ― $1,629,914)
         
$
1,599,067
 
                 
Commercial Mortgage-Backed Securities ― 11.78%
               
Capital Funding Mortgage Trust, Series 2020-9, Class B, 15.900% (1 Month LIBOR USD + 14.900%), 11/28/2022 (a)(b)
   
250,000
     
248,557
 
Capital Funding Mortgage Trust, Series 2021-19, Class B, 16.460% (1 Month LIBOR USD + 15.210%), 11/6/2023 (a)(b)
   
175,000
     
172,761
 
GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class G, 4.479% (1 Month LIBOR USD + 3.925%), 7/15/2031 (a)(b)
   
311,000
     
273,175
 
X-CALI Mortgage Trust, Series 2020-1, Class B1, 9.150% (1 Month LIBOR USD + 7.500%), 2/15/2023 (a)(b)
   
250,000
     
244,296
 
X-CALI Mortgage Trust, Series 2021-9, Class B1, 9.000% (1 Month LIBOR USD + 8.000%), 3/15/2024 (a)(b)
   
50,000
     
48,917
 
X-Caliber Funding LLC, Series 2021-MI3, Class B1, 8.000% (1 Month LIBOR USD + 7.000%), 4/17/2023 (a)(b)
   
500,000
     
489,092
 
X-Caliber Funding LLC, 18.900%, 10/15/2024 (a)(e)
   
100,000
     
99,767
 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost ― $1,614,980)
         
$
1,576,565
 
                 
Commercial Mortgage-Backed Securities - U.S. Government Agency ― 0.95%
               
Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B, 2.952% (1 Month LIBOR USD + 2.500%), 11/25/2024 (a)(b)
   
138,540
     
126,612
 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY (Cost ― $131,651)
         
$
126,612
 
                 
Common Stocks ― 1.35%
 
Shares
         
Financial ― 1.35%
               
Essent Group Ltd.
   
2,200
     
89,166
 
NMI Holdings, Inc. (f)
   
5,000
     
91,900
 
TOTAL COMMON STOCKS (Cost ― $205,753)
         
$
181,066
 
   
Principal
         
Corporate Obligations ― 2.23%
 
Amount
         
Financial ― 2.23%
               
WT Holdings, Inc., 7.000%, 4/30/2023 (a)
   
300,000
     
299,077
 
TOTAL CORPORATE OBLIGATIONS (Cost ― $300,000)
         
$
299,077
 
                 
Residential Mortgage-Backed Securities ― 41.06%
               
American Home Mortgage Assets Trust, Series 2006-6, Class XP, 2.054%, 12/25/2046 (e)(g)
   
910,770
     
32,016
 
American Home Mortgage Investment Trust, Series 2006-3, Class 3A2, 6.750%, 12/25/2036 (h)
   
318,982
     
138,404
 
Bayview Opportunity Master Fund Trust, Series 2017-SPL2, Class B1, 4.250%, 6/28/2054 (a)(e)
   
100,000
     
99,927
 
Bellemeade Re Ltd., Series 2020-4A, Class B1, 5.668% (1 Month LIBOR USD + 5.000%), 6/25/2030 (a)(b)
   
250,000
     
244,197
 
Bellemeade Re Ltd., Series 2021-3A, Class M2, 3.439% (SOFR30A + 3.150%), 9/25/2031 (a)(b)
   
500,000
     
460,859
 
CountryWide Alternative Loan Trust, Series 2007-20, Class A1, 1.168% (1 Month LIBOR USD + 0.500%), 8/25/2047 (b)
   
222,408
     
101,039
 
CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X, 1.222%, 2/25/2035 (e)(g)
   
2,185,577
     
51,302
 
CSMC Trust, Series 2017-RPL1, Class B4, 2.968%, 7/25/2057 (a)(e)
   
1,515,307
     
328,914
 
DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 1.984%, 11/19/2044 (e)(g)
   
420,169
     
10,336
 
GS Mortgage Securities Corp. Trust, Series 2020-PJ3, Class B6, 3.429%, 10/25/2050 (a)(e)(i)
   
1,661,770
     
1,104,058
 
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6, 2.783%, 5/25/2051 (a)(e)(i)
   
998,383
     
536,158
 
GSAA Home Equity Trust, Series 2006-15, Class AF6, 6.376%, 9/25/2036 (h)
   
42,184
     
19,254
 
GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (e)
   
131,962
     
56,217
 
JP Morgan Chase Bank, Series 2021-CL1, Class M5, 3.939% (SOFR30A + 3.650%), 3/27/2051 (a)(b)
   
53,853
     
53,007
 
JP Morgan Chase Bank, Series 2021-CL1, Class B, 7.189% (SOFR30A + 6.900%), 3/27/2051 (a)(b)
   
75,000
     
74,385
 
JP Morgan Chase Bank, Series 2020-CL1, Class M5, 6.268% (1 Month LIBOR USD + 5.600%), 10/25/2057 (a)(b)
   
181,169
     
187,994
 
JP Morgan Mortgage Trust, Series 2019-1, Class B6, 3.431%, 5/25/2049 (a)(e)(i)
   
209,042
     
202,380
 
JP Morgan Mortgage Trust, Series 2019-8, Class B6, 3.906%, 3/25/2050 (a)(e)(i)
   
252,209
     
211,660
 
New Residential Mortgage Loan Trust, Series 2019-6A, Class B6, 4.504%, 9/25/2059 (a)(e)
   
168,742
     
112,815
 
Residential Mortgage Loan Trust, Series 2020-1, Class B2, 4.665%, 1/25/2060 (a)(e)
   
400,000
     
379,376
 
Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(e)
   
243,171
     
228,755
 
Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2, 5.918% (1 Month LIBOR USD + 5.250%), 11/25/2025 (a)(b)
   
13,305
     
10,450
 
Western Mortgage Reference Notes, Series 2021-CL2, Class M5, 6.789% (SOFR30A + 6.500%), 7/25/2059 (a)(b)
   
477,130
     
464,448
 
Western Mortgage Reference Notes, Series 2021-CL2, Class B, 8.789% (SOFR30A + 8.500%), 7/25/2059 (a)(b)
   
400,000
     
388,746
 
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost ― $5,752,547)
         
$
5,496,697
 
                 
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer ― 12.71%
               
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 9.918% (1 Month LIBOR USD + 9.250%), 11/25/2039 (a)(b)
   
300,000
     
307,125
 
Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1, 3.668% (1 Month LIBOR USD + 3.000%), 1/25/2040 (a)(b)
   
250,000
     
227,813
 
Federal Home Loan Mortgage Corp., Series 2018-HRP1, Class B2, 12.418% (1 Month LIBOR USD + 11.750%), 4/25/2043 (a)(b)
   
95,825
     
103,786
 
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class B, 4.043%, 9/25/2047 (a)(e)
   
275,332
     
261,498
 
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class B, 4.148%, 8/25/2048 (a)(e)
   
31,033
     
28,687
 
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B, 4.504%, 11/25/2048 (a)(e)
   
306,068
     
302,782
 
Federal Home Loan Mortgage Corp., Series 2020-DNA1, Class B2, 5.918% (1 Month LIBOR USD + 5.250%), 1/25/2050 (a)(b)
   
500,000
     
470,000
 
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost ― $1,739,600)
         
$
1,701,691
 
                 
   
Shares
         
Short-Term Investments ― 3.11%
               
Money Market Funds ― 3.11%
               
First American Government Obligations Fund, Class U, 0.237% (j)
   
415,999
     
415,999
 
TOTAL SHORT-TERM INVESTMENTS (Cost ― $415,999)
         
$
415,999
 
TOTAL INVESTMENTS ― 105.07% (Cost ― $14,716,876)
         
$
14,067,040
 
Liabilities in Excess of Other Assets ― (5.07%)
           
(679,182
)
NET ASSETS ― 100.00%
         
$
13,387,858
 


LIBOR:
 
London Inter-Bank Offered Rate
         
TSFR3M:
 
3 Month Term Secured Overnight Financing Rate
         
SOFR30A:
 
Secured Overnight Financing Rate 30 Day Average
         
 
             
(a)
 
Security exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are determined to be liquid by the Adviser, under the procedures established by the Fund's Board of Trustees, unless otherwise denoted. At April 30, 2022,
the value of these securities amounted to $13,061,407 or 97.56% of net assets.
       
(b)
 
Variable or floating rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. Rate disclosed is the rate in effect as of April 30, 2022.
(c)
 
Security issued on a when-issued basis. On April 30, 2022, the total value of investments purchased on a when-issued basis was $665,002 or 4.97% of net assets.
(d)
 
Principal only security.
         
(e)
 
Variable rate security. The coupon is based on an underlying pool of assets. Rate disclosed is the rate in effect as of April 30, 2022.
(f)
 
Non-income producing security.
         
(g)
 
Interest only security.
         
(h)
 
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of April 30, 2022.
(i)
 
As of April 30, 2022, the Fund has fair valued these securities. The value of these securities amounted to $2,054,256 or 15.34% of net assets. Value determined using significant unobservable inputs.
(j)
 
Rate disclosed is the seven day yield as of April 30, 2022.
         



Schedule of Open Futures Contracts
                     
 
   
   
   
Value & Unrealized
 
Short Futures Contracts
Expiration Month    
Number of
Contracts
    Notional Value     Appreciation (Depreciation)  
5 Year ERIS Aged Standard Swap Future
June 2024
     
(1)

 
$
(105,963)

 
$
(2,737)

 
                           



Securities Valuation and Fair Value Measurements (Unaudited)
             
                     
The Fund records its investments at fair value and in accordance with fair valuation accounting standards. The Fund has adopted fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs, if any, during the period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below:
                     
Level 1 - quoted prices in active markets for identical securities
       
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments based on the best information available)
                     
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
                     
Investments in registered open-end management investment companies, including money market funds, will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy.
                     
Fair values for long-term debt securities, including asset-backed securities ("ABS"), collateralized loan obligations ("CLOs"), collateralized mortgage obligations ("CMOs"), corporate obligations, and mortgage-backed securities ("MBS") are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs, including but not limited to, benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measurers calculated using factors such as cash flows, financial or collateral performance and other reference data. In addition to these inputs, MBS and ABS may utilize cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable; the values generally would be categorized as Level 3.
                     
Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market® exchanges (collectively, “Nasdaq”), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange-listed or Nasdaq security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite Market (defined below) for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets (“OTC”) as published by a pricing service. In the event market quotations or Composite Market pricing are not readily available, Fair Value will be determined in accordance with the procedures adopted by the Board of Trustees (“Board”). All equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the over-the counter market. If a non-exchange listed security does not trade on a particular day, then the mean between the last quoted bid and asked price will be used as long as it continues to reflect the value of the security. If the mean is not available, then bid price can be used as long as the bid price continues to reflect the value of the security. Otherwise Fair Value will be determined in accordance with the procedures adopted by the Board. These securities will generally be categorized as Level 3 securities. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the 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.
                     
Short term debt securities having a maturity of 60 days or less are generally valued at amortized cost, which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.  Reverse repurchase agreements and repurchase agreements are priced at their acquisition cost, and assessed for credit adjustments, which represents fair value.  These securities will generally be categorized as Level 2 securities.
                     
Financial derivative instruments, such as futures contracts, that are traded on a national securities or commodities exchange are typically valued at the settlement price determined by the relevant exchange. Swaps, such as credit default swaps, interest-rate swaps and currency swaps, are valued by a pricing service. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.  Over-the-counter financial derivative instruments, such as certain futures contracts or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Derivatives that use similar valuation techniques as described above are typically categorized as Level 2 of the fair value hierarchy.
                     
Securities may be fair valued in accordance with the fair valuation procedures approved by the Board. The Valuation and Risk Management Oversight Committee is generally responsible for overseeing the Funds' valuation processes and reports quarterly to the Board. The Valuation and Risk Management Oversight Committee has delegated to the Valuation Committee of Angel Oak Capital Advisors, LLC (the"Adviser") the day to day responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed to be unreliable indicators of market or fair value. Representatives of the Adviser's Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.
                     
The following is a summary of the investments by their inputs used to value the Fund's net assets as of April 30, 2022:

Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Asset-Backed Securities
 
$
-
   
$
2,670,266
   
$
-
   
$
2,670,266
 
Collateralized Loan Obligations
   
-
     
1,599,067
     
-
     
1,599,067
 
Commercial Mortgage-Backed Securities
   
-
     
1,576,565
     
-
     
1,576,565
 
Commercial Mortgage-Backed Securities - U.S. Government Agency
   
-
     
126,612
     
-
     
126,612
 
 Common Stocks
   
181,066
     
-
     
-
     
181,066
 
 Corporate Obligations
   
-
     
299,077
     
-
     
299,077
 
 Residential Mortgage-Backed Securities
   
-
     
3,442,441
     
2,054,256
     
5,496,697
 
 Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer
   
-
     
1,701,691
     
-
     
1,701,691
 
 Short-Term Investments
   
415,999
     
-
     
-
     
415,999
 
 Total
 
$
597,065
   
$
11,415,719
   
$
2,054,256
   
$
14,067,040
 
 Other Financial Instruments
                               
 Liabilities
                               
 Futures Contracts*
 
$
2,737
   
$
-
   
$
-
   
$
2,737
 

*Futures are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Schedule of Investments.
                     
See the Schedule of Investments for further disaggregation of investment categories. During the period ended April 30, 2022, the Fund recognized $1,842,596 of transfers from Level 2 to Level 3 for securities lacking observable market data due to a decrease in relevant market activity. See the summary of quantitative information about Level 3 Fair Value Measurements for more information.
                     
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

   
Balance as of 01/31/22
   
Amortization/
Accretion
   
Net Realized
Gain (Loss)
   
Change in Net Unrealized Appreciation (Depreciation)
   
Purchases
   
Sales
   
Transfers Into
Level 3
   
Transfers Out of
Level 3
   
Balance as of 04/30/22
 
Residential Mortgage-Backed Securities
 
$
214,560
   
$
17,168
   
$
-
   
$
(20,068)

 
$
-
   
$
-
   
$
1,842,596
   
$
-
   
$
2,054,256
 

The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at April 30, 2022, is ($183,772).
                     
The following is a summary of quantitative information about Level 3 Fair Value Measurements:

   
Fair Value as
of 4/30/22
 
Valuation Techniques
Unobservable Input
 
Range
   
Weighted Average Unobservable Input
   
Residential Mortgage-Backed Securities
 
$
2,054,256
 
Model Technique
Limited trading of callable first loss pieces
 

$53.70 - $96.81
   
$
65.81
   

The average monthly notional value of short futures contracts during the period ended April 30, 2022, was ($415,474).