|
Angel Oak Strategic Credit Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
April 30, 2023 (Unaudited)
|
||||||||
|
Principal
|
||||||||
|
Amount
|
Value
|
|||||||
|
Asset-Backed Securities ― 19.35%
|
||||||||
|
Affirm Asset Securitization Trust, Series 2021-B, Class E, 4.610%, 8/17/2026 (a)
|
$
|
650,000
|
$
|
575,431
|
||||
|
Avid Automobile Receivables Trust, Series 2021-1, Class D, 1.990%, 4/17/2028 (a)
|
1,000,000
|
922,498
|
||||||
|
Avis Budget Rental Car Funding LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026 (a)
|
500,000
|
439,703
|
||||||
|
CAL Receivables LLC, Series 2022-1, Class B, 9.100% (SOFR30A + 4.350%), 10/15/2026 (a)(b)
|
600,000
|
580,904
|
||||||
|
Carvana Auto Receivables Trust, Series 2022-P1, Class N, 4.350%, 1/10/2029 (a)
|
108
|
106
|
||||||
|
Carvana Auto Receivables Trust, Series 2022-P2, Class D, 6.280%, 5/10/2029
|
923,000
|
927,266
|
||||||
|
Carvana Auto Receivables Trust, Series 2022-P3, Class D, 6.490%, 9/10/2029
|
453,000
|
452,886
|
||||||
|
Conn's Receivables Funding LLC, Series 2022-A, Class B, 9.520%, 12/15/2026 (a)
|
500,000
|
500,607
|
||||||
|
Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class C, 5.750%, 12/15/2028 (a)
|
200,000
|
169,409
|
||||||
|
Exeter Automobile Receivables Trust, Series 2022-4A, Class E, 8.230%, 3/15/2030 (a)
|
500,000
|
445,355
|
||||||
|
Foundation Finance Trust, Series 2021-2A, Class D, 5.730%, 1/15/2042 (a)
|
100,000
|
93,276
|
||||||
|
Foursight Capital Automobile Receivables Trust, Series 2022-2, Class D, 7.090%, 10/15/2029 (a)
|
500,000
|
505,443
|
||||||
|
FREED ABS Trust, Series 2022-3FP, Class D, 7.360%, 8/20/2029 (a)
|
500,000
|
507,441
|
||||||
|
Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026 (a)
|
265,000
|
253,347
|
||||||
|
LendingClub Receivables Trust, Series 2019-1, Class CERT, 0.000%, 7/17/2045 (a)
|
17,660
|
88,169
|
||||||
|
Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.020%, 6/15/2029 (a)
|
100,000
|
45,414
|
||||||
|
Lendingpoint Asset Securitization Trust, Series 2022-B, Class C, 8.450%, 10/15/2029 (a)
|
1,000,000
|
850,991
|
||||||
|
Marlette Funding Trust, Series 2022-2A, Class D, 7.500%, 8/15/2032 (a)
|
500,000
|
502,107
|
||||||
|
Mosaic Solar Loan Trust, Series 2018-1A, Class C, 0.000%, 6/22/2043 (a)(c)
|
79,270
|
72,524
|
||||||
|
Mosaic Solar Loan Trust, Series 2019-1A, Class B, 0.000%, 12/21/2043 (a)(c)
|
28,713
|
24,834
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2021-1, Class C, 4.090%, 11/15/2027 (a)
|
249,897
|
222,765
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2021-3, Class C, 3.270%, 5/15/2029 (a)
|
199,989
|
178,129
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2021-5, Class C, 3.930%, 8/15/2029 (a)
|
299,965
|
258,995
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2022-1, Class C, 4.888%, 10/15/2029 (a)
|
99,987
|
87,010
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2022-3, Class B, 8.050%, 3/15/2030 (a)
|
499,951
|
498,543
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2022-5, Class B, 10.310%, 6/17/2030 (a)
|
500,000
|
520,986
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2023-1, Class B, 9.435%, 7/15/2030 (a)
|
400,000
|
403,424
|
||||||
|
Pagaya AI Debt Selection Trust, Series 2023-3, Class B, 9.570%, 12/16/2030 (a)
|
400,000
|
401,937
|
||||||
|
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1, 1.992%, 2/25/2061 (a)(d)
|
221,174
|
204,175
|
||||||
|
Research-Driven Pagaya Motor Asset Trust, Series 2021-2A, Class A, 2.650%, 3/25/2030 (a)
|
328,316
|
289,005
|
||||||
|
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F, 5.790%, 8/15/2028 (a)
|
250,000
|
216,305
|
||||||
|
Theorem Funding Trust, Series 2022-2A, Class B, 9.270%, 12/15/2028 (a)
|
1,000,000
|
1,033,041
|
||||||
|
Tricolor Auto Securitization Trust, Series 2022-1A, Class F, 9.800%, 7/16/2029 (a)
|
100,000
|
96,232
|
||||||
|
United Auto Credit Securitization Trust, Series 2022-2, Class D, 6.840%, 1/10/2028 (a)
|
1,000,000
|
978,879
|
||||||
|
Upstart Pass-Through Trust, Series 2021-ST9, Class CERT, 0.000%, 11/20/2029 (a)
|
200,000
|
56,315
|
||||||
|
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT, 0.000%, 3/20/2030 (a)
|
100,000
|
34,255
|
||||||
|
Upstart Securitization Trust, Series 2021-1, Class C, 4.060%, 3/20/2031 (a)
|
500,000
|
473,213
|
||||||
|
Upstart Securitization Trust, Series 2021-3, Class C, 3.280%, 7/20/2031 (a)
|
500,000
|
452,440
|
||||||
|
Upstart Securitization Trust, Series 2021-4, Class B, 1.840%, 9/20/2031 (a)
|
460,000
|
431,102
|
||||||
|
Upstart Securitization Trust, Series 2022-1, Class C, 5.710%, 3/20/2032 (a)
|
200,000
|
157,765
|
||||||
|
Upstart Securitization Trust, Series 2022-2, Class C, 8.430%, 5/20/2032 (a)
|
500,000
|
489,670
|
||||||
|
US Auto Funding Trust, Series 2022-1A, Class D, 9.140%, 7/15/2027 (a)
|
450,000
|
435,502
|
||||||
|
TOTAL ASSET-BACKED SECURITIES (Cost ― $16,571,707)
|
$
|
15,877,399
|
||||||
|
Collateralized Loan Obligations ― 3.49%
|
||||||||
|
Allegro CLO Ltd., Series 2018-1X, Class D, 7.642% (3 Month LIBOR USD + 2.850%), 6/13/2031 (b)(e)
|
500,000
|
453,550
|
||||||
|
Blackrock MT Hood CLO LLC, Series 2023-1A, Class VDN, 0.000%, 4/20/2035 (a)(f)(g)
|
1,000,000
|
458,000
|
||||||
|
CARLYLE US CLO Ltd., Series 2017-4A, Class C, 8.060% (3 Month LIBOR USD + 2.800%), 1/15/2030 (a)(b)
|
500,000
|
450,919
|
||||||
|
Ivy Hill Middle Market Credit Fund Ltd., Series 9A, Class DRR, 9.021% (TSFR3M + 3.950%), 4/23/2034 (a)(b)
|
500,000
|
457,505
|
||||||
|
LCM Ltd., Series 23A, Class CR, 8.550% (3 Month LIBOR USD + 3.300%), 10/22/2029 (a)(b)
|
500,000
|
423,527
|
||||||
|
Saranac CLO Ltd., Series 2020-8A, Class E, 13.035% (3 Month LIBOR USD + 8.120%), 2/22/2033 (a)(b)
|
250,000
|
206,968
|
||||||
|
THL Credit Wind River CLO Ltd., Series 2018-1A, Class E, 10.760% (3 Month LIBOR USD + 5.500%), 7/15/2030 (a)(b)
|
500,000
|
414,956
|
||||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost ― $2,971,292)
|
$
|
2,865,425
|
||||||
|
Commercial Mortgage-Backed Securities ― 1.75%
|
||||||||
|
Capital Funding Mortgage Trust, Series 2020-9, Class B, 19.748% (1 Month LIBOR USD + 14.900%), 11/19/2023 (a)(b)
|
242,500
|
239,804
|
||||||
|
GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class G, 9.123% (1 Month LIBOR USD + 4.175%), 7/15/2031 (a)(b)
|
311,000
|
51,223
|
||||||
|
Med Trust, Series 2021-MDLN, Class G, 10.198% (1 Month LIBOR USD + 5.250%), 11/15/2038 (a)(b)
|
997,038
|
916,504
|
||||||
|
X-Caliber Mortgage Trust, Series 2020-1, Class B1, 12.348% (1 Month LIBOR USD + 7.500%), 2/6/2024 (a)(b)
|
184,784
|
179,789
|
||||||
|
X-Caliber Mortgage Trust, Series 2021-9, Class B1, 12.927% (TSFR1M + 8.120%), 3/15/2024 (a)(b)
|
50,000
|
48,797
|
||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost ― $1,711,681)
|
$
|
1,436,117
|
||||||
|
Commercial Mortgage-Backed Securities - U.S. Government Agency ― 0.14%
|
||||||||
|
Federal Home Loan Mortgage Corp., Series 2017-KF41, Class B, 7.358% (1 Month LIBOR USD + 2.500%), 11/25/2024 (a)(b)
|
129,217
|
118,920
|
||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY (Cost ― $127,265)
|
$
|
118,920
|
||||||
|
Common Stocks ― 0.37%
|
Shares
|
|||||||
|
Financial ― 0.37%
|
||||||||
|
Essent Group Ltd.
|
4,400
|
186,868
|
||||||
|
NMI Holdings, Inc. - Class A (h)
|
5,000
|
117,000
|
||||||
|
TOTAL COMMON STOCKS (Cost ― $299,270)
|
$
|
303,868
|
||||||
|
Principal
|
||||||||
|
Corporate Obligations ― 5.41%
|
Amount
|
|||||||
|
Communications ― 0.47%
|
||||||||
|
Gray Escrow, Inc., 5.375%, 11/15/2031 (a)
|
$
|
600,000
|
385,232
|
|||||
|
Consumer, Cyclical ― 0.48%
|
||||||||
|
Carnival Corp., 6.000%, 5/1/2029 (a)
|
500,000
|
392,949
|
||||||
|
Consumer, Non-cyclical ― 0.54%
|
||||||||
|
Upbound Group, Inc., 6.375%, 2/15/2029 (a)
|
500,000
|
439,520
|
||||||
|
Energy ― 0.56%
|
||||||||
|
New Fortress Energy, Inc., 6.500%, 9/30/2026 (a)
|
500,000
|
459,529
|
||||||
|
Financial ― 2.93%
|
||||||||
|
Freedom Mortgage Corp., 6.625%, 1/15/2027 (a)
|
500,000
|
405,517
|
||||||
|
OneMain Finance Corp., 7.125%, 3/15/2026
|
1,000,000
|
975,668
|
||||||
|
PennyMac Financial Services, Inc., 5.750%, 9/15/2031 (a)
|
500,000
|
418,033
|
||||||
|
United Wholesale Mortgage LLC, 5.500%, 4/15/2029 (a)
|
700,000
|
604,464
|
||||||
|
2,403,682
|
||||||||
|
Industrial ― 0.43%
|
||||||||
|
Great Lakes Dredge & Dock Corp., 5.250%, 6/1/2029 (a)
|
450,000
|
354,404
|
||||||
|
TOTAL CORPORATE OBLIGATIONS (Cost ― $4,426,077)
|
$
|
4,435,316
|
||||||
|
Residential Mortgage-Backed Securities ― 66.73%
|
||||||||
|
American Home Mortgage Assets Trust, Series 2006-6, Class XP, 0.039%, 12/25/2046 (g)(i)
|
852,420
|
17,525
|
||||||
|
American Home Mortgage Investment Trust, Series 2006-3, Class 3A2, 6.750%, 12/25/2036 (d)
|
318,140
|
126,207
|
||||||
|
Bellemeade Re Ltd., Series 2020-4A, Class B1, 10.020% (1 Month LIBOR USD + 5.000%), 6/25/2030 (a)(b)
|
250,000
|
252,372
|
||||||
|
Bellemeade Re Ltd., Series 2021-3A, Class M2, 7.965% (SOFR30A + 3.150%), 9/25/2031 (a)(b)
|
500,000
|
471,951
|
||||||
|
BRAVO Residential Funding Trust, Series 2021-A, Class A1, 1.991%, 10/25/2059 (a)(d)(j)
|
527,739
|
507,465
|
||||||
|
COLT Mortgage Loan Trust, Series 2021-1, Class M1, 2.287%, 6/25/2066 (a)(g)(j)
|
1,500,000
|
1,067,550
|
||||||
|
CountryWide Alternative Loan Trust, Series 2007-20, Class A1, 5.520% (1 Month LIBOR USD + 0.500%), 8/25/2047 (b)
|
216,568
|
84,248
|
||||||
|
CountryWide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 1X, 0.277%, 2/25/2035 (g)(i)
|
1,696,089
|
19,464
|
||||||
|
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class M1, 2.282%, 2/25/2066 (a)(g)(j)
|
1,215,000
|
800,928
|
||||||
|
Credit Suisse Mortgage Trust, Series 2022-NQM4, Class A3, 4.819%, 6/25/2067 (a)(d)(j)
|
944,223
|
889,963
|
||||||
|
Credit Suisse Mortgage Trust, Series 2022-NQM5, Class M1, 5.169%, 6/25/2067 (a)(g)
|
1,000,000
|
847,419
|
||||||
|
CSMC Trust, Series 2017-RPL1, Class B4, 2.957%, 7/25/2057 (a)(g)
|
1,486,226
|
295,890
|
||||||
|
CSMC Trust, Series 2022-ATH1, Class B2, 4.699%, 1/25/2067 (a)(g)
|
2,000,000
|
1,605,484
|
||||||
|
CSMC Trust, Series 2022-ATH1, Class B1, 4.699%, 1/25/2067 (a)(g)
|
2,000,000
|
1,665,934
|
||||||
|
DSLA Mortgage Loan Trust, Series 2004-AR2, Class X2, 0.000%, 11/19/2044 (g)(i)
|
349,509
|
3,996
|
||||||
|
Eagle RE Ltd., Series 2020-1, Class M2, 7.020% (1 Month LIBOR USD + 2.000%), 1/25/2030 (a)(b)
|
1,250,000
|
1,217,471
|
||||||
|
Eagle RE Ltd., Series 2020-1, Class B1, 7.870% (1 Month LIBOR USD + 2.850%), 1/25/2030 (a)(b)
|
1,000,000
|
974,154
|
||||||
|
Eagle RE Ltd., Series 2021-2, Class M2, 9.065% (SOFR30A + 4.250%), 4/25/2034 (a)(b)
|
2,250,000
|
2,233,982
|
||||||
|
Ellington Financial Mortgage Trust, Series 2021-2, Class M1, 2.296%, 6/25/2066 (a)(g)(j)
|
1,655,000
|
1,012,344
|
||||||
|
Ellington Financial Mortgage Trust, Series 2021-2, Class B1, 3.202%, 6/25/2066 (a)(g)
|
2,000,000
|
1,134,110
|
||||||
|
GCAT Trust, Series 2020-NQM2, Class M1, 3.589%, 4/25/2065 (a)(g)(j)
|
1,500,000
|
1,226,152
|
||||||
|
GS Mortgage Securities Corp. Trust, Series 2020-PJ3, Class B6, 3.425%, 10/25/2050 (a)(g)
|
1,653,995
|
694,906
|
||||||
|
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ6, Class B6, 2.776%, 5/25/2051 (a)(g)
|
985,798
|
357,002
|
||||||
|
GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class B1, 5.143%, 9/25/2060 (a)(g)(j)
|
2,408,000
|
2,027,447
|
||||||
|
GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class B2, 6.164%, 9/25/2060 (a)(g)
|
2,000,000
|
1,737,214
|
||||||
|
GSAA Home Equity Trust, Series 2006-15, Class AF6, 6.376%, 9/25/2036 (d)
|
41,300
|
17,280
|
||||||
|
GSAA Home Equity Trust, Series 2006-18, Class AF3A, 5.772%, 11/25/2036 (g)
|
125,134
|
38,906
|
||||||
|
Home RE Ltd., Series 2021-1, Class B1, 8.670% (1 Month LIBOR USD + 3.650%), 7/25/2033 (a)(b)
|
2,300,000
|
2,191,171
|
||||||
|
Home RE Ltd., Series 2021-2, Class B1, 8.965% (SOFR30A + 4.150%), 1/25/2034 (a)(b)
|
760,000
|
703,037
|
||||||
|
Home RE Ltd., Series 2022-1, Class M1C, 10.315% (SOFR30A + 5.500%), 10/25/2034 (a)(b)(j)
|
2,000,000
|
1,967,228
|
||||||
|
Home RE Ltd., Series 2022-1, Class M2, 11.565% (SOFR30A + 6.750%), 10/25/2034 (a)(b)
|
1,500,000
|
1,517,610
|
||||||
|
Home RE Ltd., Series 2022-1, Class B1, 13.815% (SOFR30A + 9.000%), 10/25/2034 (a)(b)
|
1,500,000
|
1,501,836
|
||||||
|
JP Morgan Chase Bank, Series 2021-CL1, Class M5, 8.465% (SOFR30A + 3.650%), 3/27/2051 (a)(b)
|
48,625
|
41,728
|
||||||
|
JP Morgan Chase Bank, Series 2021-CL1, Class B, 11.715% (SOFR30A + 6.900%), 3/27/2051 (a)(b)
|
75,000
|
67,819
|
||||||
|
JP Morgan Chase Bank, Series 2020-CL1, Class M5, 10.620% (1 Month LIBOR USD + 5.600%), 10/25/2057 (a)(b)
|
155,768
|
155,974
|
||||||
|
JP Morgan Mortgage Trust, Series 2019-1, Class B6, 3.307%, 5/25/2049 (a)(g)
|
205,070
|
147,449
|
||||||
|
JP Morgan Mortgage Trust, Series 2019-8, Class B6, 4.073%, 3/25/2050 (a)(g)
|
255,511
|
148,901
|
||||||
|
JP Morgan Mortgage Trust, Series 2022-6, Class B4, 3.310%, 5/25/2052 (a)(g)
|
3,030,175
|
1,262,098
|
||||||
|
JP Morgan Mortgage Trust, Series 2022-6, Class B5, 3.310%, 5/25/2052 (a)(g)
|
1,265,000
|
447,673
|
||||||
|
JP Morgan Mortgage Trust, Series 2022-6, Class B6, 3.310%, 5/25/2052 (a)(g)
|
1,265,736
|
353,337
|
||||||
|
New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.000%, 9/19/2039 (a)
|
850,000
|
711,694
|
||||||
|
New Residential Mortgage Loan Trust, Series 2019-6A, Class B6, 4.433%, 9/25/2059 (a)(g)
|
166,238
|
95,415
|
||||||
|
Oaktown Re Ltd., Series 2021-2, Class M2, 8.515% (SOFR30A + 3.700%), 4/25/2034 (a)(b)
|
1,500,000
|
1,428,567
|
||||||
|
Oaktown Re Ltd., Series 2021-2, Class B1, 9.215% (SOFR30A + 4.400%), 4/25/2034 (a)(b)
|
1,500,000
|
1,378,143
|
||||||
|
PRET LLC, Series 2022-NPL3, Class A2, 7.870%, 6/25/2052 (a)(d)
|
2,000,000
|
1,948,758
|
||||||
|
Progress Residential Trust, Series 2021-SFR1, Class F, 2.757%, 4/17/2038 (a)
|
1,400,000
|
1,207,317
|
||||||
|
Progress Residential Trust, Series 2021-SFR9, Class F, 4.053%, 11/19/2040 (a)
|
500,000
|
402,238
|
||||||
|
PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026 (a)(g)
|
2,966,621
|
2,827,555
|
||||||
|
Radnor RE Ltd., Series 2021-2, Class M2, 9.815% (SOFR30A + 5.000%), 11/25/2031 (a)(b)
|
2,000,000
|
1,971,914
|
||||||
|
Radnor RE Ltd., Series 2021-2, Class B1, 10.815% (SOFR30A + 6.000%), 11/25/2031 (a)(b)
|
1,000,000
|
879,574
|
||||||
|
Radnor RE Ltd., Series 2022-1, Class M1B, 11.565% (SOFR30A + 6.750%), 9/27/2032 (a)(b)
|
1,000,000
|
1,022,751
|
||||||
|
Radnor RE Ltd., Series 2022-1, Class M2, 13.315% (SOFR30A + 8.500%), 9/27/2032 (a)(b)
|
1,000,000
|
1,028,640
|
||||||
|
Radnor RE Ltd., Series 2021-1, Class M1C, 7.515% (SOFR30A + 2.700%), 12/27/2033 (a)(b)
|
2,000,000
|
1,972,840
|
||||||
|
Saluda Grade Alternative Mortgage Trust, Series 2022-INV1, Class A3, 4.658%, 10/25/2032 (a)(g)
|
993,268
|
911,414
|
||||||
|
Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.750%, 10/25/2058 (g)
|
1,800,000
|
1,634,380
|
||||||
|
Traingle Re Ltd., Series 2021-3, Class M2, 8.565% (SOFR30A + 3.750%), 2/25/2034 (a)(b)
|
1,600,000
|
1,516,885
|
||||||
|
Unison Trust, Series 2021-1, Class A, 4.500%, 4/25/2050 (a)(g)
|
229,580
|
208,313
|
||||||
|
Verus Securitization Trust, Series 2021-5, Class M1, 2.331%, 9/25/2066 (a)(g)
|
450,000
|
313,691
|
||||||
|
Verus Securitization Trust, Series 2022-7, Class M1, 5.408%, 7/25/2067 (a)(g)
|
750,000
|
662,193
|
||||||
|
Wells Fargo Credit Risk Transfer Securities Trust, Series 2015-WF1, Class 1M2, 10.270% (1 Month LIBOR USD + 5.250%), 11/25/2025 (a)(b)
|
11,498
|
8,350
|
||||||
|
Western Mortgage Reference Notes, Series 2021-CL2, Class M5, 11.315% (SOFR30A + 6.500%), 7/25/2059 (a)(b)
|
439,506
|
427,270
|
||||||
|
Western Mortgage Reference Notes, Series 2021-CL2, Class B, 13.315% (SOFR30A + 8.500%), 7/25/2059 (a)(b)
|
400,000
|
376,734
|
||||||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost ― $57,276,884)
|
$
|
54,767,861
|
||||||
|
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer ― 6.35%
|
||||||||
|
Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1, 8.020% (1 Month LIBOR USD + 3.000%), 1/25/2040 (a)(b)
|
250,000
|
238,906
|
||||||
|
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1, 7.915% (SOFR30A + 3.100%), 10/25/2041 (a)(b)
|
700,000
|
681,625
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2021-DNA5, Class B1, 7.865% (SOFR30A + 3.050%), 1/25/2034 (a)(b)
|
1,000,000
|
968,402
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class M2, 10.065% (SOFR30A + 5.250%), 3/25/2042 (a)(b)
|
1,000,000
|
1,011,263
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2022-HQA1, Class B2, 15.815% (SOFR30A + 11.000%), 3/25/2042 (a)(b)
|
1,000,000
|
963,750
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2022-HQA3, Class M2, 10.165% (SOFR30A + 5.350%), 8/25/2042 (a)(b)
|
500,000
|
502,502
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2017-SPI1, Class B, 4.117%, 9/25/2047 (a)(g)
|
273,443
|
161,689
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2018-SPI3, Class B, 4.164%, 8/25/2048 (a)(g)
|
31,030
|
21,469
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B, 4.511%, 11/25/2048 (a)(g)
|
302,886
|
191,176
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2020-DNA1, Class B2, 10.270% (1 Month LIBOR USD + 5.250%), 1/25/2050 (a)(b)
|
500,000
|
471,875
|
||||||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost ― $5,336,774)
|
$
|
5,212,657
|
||||||
|
Short-Term Investments ― 3.27%
|
Shares
|
|||||||
|
Money Market Funds ― 3.27%
|
||||||||
|
First American Government Obligations Fund, Class U, 4.746% (k)
|
2,681,733
|
2,681,733
|
||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost ― $2,681,733)
|
$
|
2,681,733
|
||||||
|
TOTAL INVESTMENTS ― 106.86% (Cost ― $91,402,683)
|
$
|
87,699,296
|
||||||
|
Liabilities in Excess of Other Assets ― (6.86%)
|
(5,628,863
|
)
|
||||||
|
NET ASSETS ― 100.00%
|
$
|
82,070,433
|
||||||
|
LIBOR:
|
London Inter-Bank Offered Rate
|
||
|
SOFR:
|
Secured Overnight Financing Rate
|
||
|
TSFR1M:
|
1 Month Term Secured Overnight Financing 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, 2023, the value of these securities amounted
to $79,962,319 or 97.43% of net assets.
|
||
|
(b)
|
Variable or floating rate security based on a reference index and spread. Certain securities are fixed to variable and currently in the fixed phase. Securities that reference SOFR may have been subject to a
credit
spread adjustment, particularly legacy holdings that previously referenced LIBOR and have transitioned to SOFR as the base lending rate. Rate disclosed is the rate in effect as of April 30, 2023.
|
||
|
(c)
|
Principal only security.
|
||
|
(d)
|
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate disclosed is the rate in effect as of April 30, 2023.
|
||
|
(e)
|
Security exempt from registration under Regulation S of the Securities Act of 1933. Such securities are treated as liquid securities according to the Fund's liquidity guidelines. At April 30, 2023, the value of
securities pledged amounted to $453,550 or 0.55% of net assets.
|
||
|
(f)
|
Security issued on a when-issued basis. On April 30, 2023, the total value of investments purchased on a when-issued basis was $458,000 or 0.56% of net assets.
|
||
|
(g)
|
Variable rate security. The coupon is based on an underlying pool of assets. Rate disclosed is the rate in effect as of April 30, 2023.
|
||
|
(h)
|
Non-income producing security.
|
||
|
(i)
|
Interest only security.
|
||
|
(j)
|
All or a portion of the security has been pledged as collateral in connection with open reverse repurchase agreements. At April 30, 2023, the value of securities pledged amounted to $9,499,077.
|
||
|
(k)
|
Rate disclosed is the seven day yield as of April 30, 2023.
|
||
|
Schedule of Open Futures Contracts
|
|||||
|
Short Futures Contracts
|
Expiration Month
|
Number of
Contracts
|
Notional Value
|
Value & Unrealized
Appreciation
(Depreciation)
|
|
|
5 Year ERIS Aged Standard Swap Future
|
June 2024
|
(1)
|
($103,649)
|
($422)
|
|
Schedule of Open Reverse Repurchase Agreements
|
|||||
|
Counterparty
|
Interest Rate
|
Trade Date
|
Maturity Date
|
Net Closing Amount
|
Face Value
|
|
Goldman Sachs & Co.
|
7.178%
|
4/6/2023
|
5/8/2023
|
$1,767,685
|
$1,756,478
|
|
Goldman Sachs & Co.
|
6.326%
|
4/13/2023
|
5/15/2023
|
327,642
|
325,810
|
|
Goldman Sachs & Co.
|
6.826%
|
4/13/2023
|
5/15/2023
|
1,302,828
|
1,294,970
|
|
Goldman Sachs & Co.
|
7.126%
|
4/13/2023
|
5/15/2023
|
1,526,287
|
1,516,680
|
|
Total
|
$4,893,938
|
||||
|
A reverse repurchase agreement, although structured as a sale and repurchase obligation, acts as a financing transaction under which the Fund will effectively pledge certain assets as collateral to secure a
short-term loan. Generally, the other party to the agreement makes the loan in an amount less than the fair value of the pledged collateral. At the maturity of the reverse repurchase agreement, the Fund will be required to repay the loan
and interest and correspondingly receive back its collateral. While used as collateral, the pledged assets continue to pay principal and interest which are for the benefit of the Fund.
|
|||||
|
Securities Valuation and Fair Value Measurements (Unaudited)
|
||||||||||
|
The Fund records its investments at fair value in accordance with fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.
These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs, if any, during the
period. In addition, these standards require expanded disclosure for each major category of assets. These inputs are summarized in the three broad levels listed below:
|
||||||||||
|
Level 1 - quoted prices in active markets for identical securities
|
||||||||||
|
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
|
||||||||||
|
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments based on the best information available)
|
||||||||||
|
The inputs or methodology used for valuing securities are not an indication of the 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, whole loans, and
mortgage-backed securities ("MBS") are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs, including but not limited to, benchmark
yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measurers calculated using
factors such as cash flows, financial or collateral performance and other reference data. In addition to these inputs, MBS and ABS may utilize cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral
characteristics, credit enhancements and specific deal information. Securities that use similar valuation techniques and inputs are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable;
the values generally would be categorized as Level 3.
|
||||||||||
|
Equity securities, including preferred stocks, that are traded on a national securities exchange, except those listed on the Nasdaq Global Market®, Nasdaq Global Select Market® and the Nasdaq Capital Market®
exchanges (collectively, “Nasdaq”), are valued at the last sale price at the close of that exchange. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price. If, on a particular day, an exchange-listed or Nasdaq
security does not trade, then: (i) the security shall be valued at the mean between the most recent quoted bid and asked prices at the close of the exchange; or (ii) the security shall be valued at the latest sales price on the Composite
Market (defined below) for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets as published by a pricing
service. In the event market quotations or Composite Market pricing are not readily available, fair value will be determined in accordance with the procedures adopted by the Board of Trustees (“Board”). All equity securities that are not
traded on a listed exchange are valued at the last sale price at the close of the over-the-counter market. If a non-exchange listed security does not trade on a particular day, then the mean between the last quoted bid and asked price will
be used as long as it continues to reflect the value of the security. If the mean is not available, then bid price can be used as long as the bid price continues to reflect the value of the security. Otherwise fair value will be determined
in accordance with the procedures adopted by the Board. These securities will generally be categorized as Level 3 securities. When using the market quotations or close prices provided by the pricing service and when the market is considered
active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by the 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 Fund's
valuation processes and reports quarterly to the Board. The board has selected Angel Oak Capital Advisors, LLC (the "Adviser") as the Valuation Designee. As such, the Valuation Committee of the Adviser has been delegated the day-to-day
responsibilities for making all necessary determinations of the fair value of portfolio securities and other assets for which market quotations are not readily available or if the prices obtained from independent pricing services are deemed
to be unreliable indicators of market or fair value. Representatives of the Valuation Designee's Valuation Committee report quarterly to the Valuation and Risk Management Oversight Committee.
|
||||||||||
|
The following is a summary of the investments by their inputs used to value the Fund's net assets as of April 30, 2023:
|
||||||||||
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
||
|
Assets
|
|
|
|
|
|
||
|
Asset-Backed Securities
|
$–
|
$15,877,399
|
$–
|
$15,877,399
|
|
||
|
Collateralized Loan Obligations
|
–
|
2,865,425
|
–
|
2,865,425
|
|
||
|
Commercial Mortgage-Backed Securities
|
–
|
1,436,117
|
–
|
1,436,117
|
|
||
|
Commercial Mortgage-Backed Securities - U.S. Government Agency
|
–
|
118,920
|
–
|
118,920
|
|
||
|
Common Stocks
|
303,868
|
–
|
–
|
303,868
|
|
||
|
Corporate Obligations
|
–
|
4,435,316
|
–
|
4,435,316
|
|
||
|
Residential Mortgage-Backed Securities
|
–
|
54,767,861
|
–
|
54,767,861
|
|
||
|
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer
|
–
|
5,212,657
|
–
|
5,212,657
|
|
||
|
Short-Term Investments
|
2,681,733
|
–
|
–
|
2,681,733
|
|
||
|
Total
|
$2,985,601
|
$84,713,695
|
$–
|
$87,699,296
|
|
||
|
Other Financial Instruments
|
|
|
|
|
|
||
|
Liabilities
|
|
|
|
|
|
||
|
Futures Contracts*
|
$422
|
$–
|
$–
|
$422
|
|
||
|
Reverse Repurchase Agreements
|
–
|
4,893,938
|
–
|
4,893,938
|
|
||
|
Total
|
$422
|
$4,893,938
|
$–
|
$4,894,360
|
|
||
|
*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, 2023, the Fund did not recognize any transfers to or from Level 3.
|
|
|||||||||
|
Secured Borrowings
|
|||||||||
|
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. 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.
|
|||||||||
|
The gross obligations for secured borrowing by the type of collateral pledged and remaining time to maturity on reverse repurchase contracts is as follows:
|
|||||||||
|
Reverse Repurchase Agreements
|
Overnight and Continuous
|
Up to 30 Days
|
30-90 Days
|
Greater than 90 Days
|
Total
|
|
|
|
|
|
Residential Mortgage-Backed Securities
|
$–
|
$4,893,938
|
$–
|
$–
|
$4,893,938
|
|
|
|
|
|
Total
|
$–
|
$4,893,938
|
$–
|
$–
|
$4,893,938
|
|
|
|
|
|
The average monthly notional value of short futures contracts during the period ended April 30, 2023, was ($103,552).
|