1WS CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
July 31, 2020 (Unaudited)
| Description | Rate | Maturity Date(a) | Principal Amount | Value | ||||||||
| MORTGAGE-BACKED SECURITIES (53.87%) | ||||||||||||
| Residential (40.10%) | ||||||||||||
| Accredited Mortgage Loan Trust, Series 2006-1, Class M2(b) | 1M US L + 0.34% | 04/25/36 | $ | 746,000 | $ | 527,347 | ||||||
| Alternative Loan Trust, Series 2005-64CB, Class 1A17 | 5.50% | 12/25/35 | 346,723 | 231,022 | ||||||||
| APS Resecuritization Trust, Series 2014-1, Class 1M(b)(c) | 1.68% | 08/28/54 | 2,183,704 | 535,226 | ||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust Series NC, Series 2006-HE4, Class M1(b)(d) | 1M US L + 0.31% | 05/25/36 | 1,611,146 | 1,466,465 | ||||||||
| Banc of America Funding , Series 2007-5, Class CA8(b)(e) | 5.35% - 1M US L | 07/25/37 | 3,745,137 | 807,826 | ||||||||
| BCAPB Trust, LLC, Series 2007-AB1, Class A5(d)(f) | 4.86% | 10/25/22 | 725,542 | 511,290 | ||||||||
| Bear Stearns Asset Backed Securities I Trust, Series 2005-HE1, Class M6(b) | 1M US L + 3.68% | 01/25/35 | 440,352 | 424,103 | ||||||||
| BNC Mortgage Loan Trust, Series 2006-1, Class A4(b) | 1M US L + 0.31% | 10/25/36 | 1,512,000 | 1,046,758 | ||||||||
| CIT Mortgage Loan Trust, Series 2007-1, Class 1M2(b)(c)(d) | 1M US L + 1.75% | 05/25/22 | 1,000,000 | 868,800 | ||||||||
| Citicorp Residential Mortgage Trust, Series 2006-2, Class M2(d)(f) | 5.31% | 09/25/36 | 2,000,000 | 1,840,400 | ||||||||
| Delft 2020 BV, Series 2020-1, Class F(b)(c) | 3.30% - 3M EUR L | 04/17/23 | € | 307,000 | 342,212 | |||||||
| Dilosk RMBS No. 2 DAC, Series 2018-2, Class E(b)(c) | 3.25% - 3M EUR L | 12/20/57 | 605,000 | 691,282 | ||||||||
| Domi 2020-1 BV, Series 2020-1, Class F(b)(c) | 3M EUR L + 6.50% | 04/15/52 | 500,000 | 589,801 | ||||||||
| Domi 2020-1 BV, Series 2020-1, Class X1(b)(c) | 3M EUR L + 4.95% | 04/15/52 | 500,000 | 593,865 | ||||||||
| Domi 2020-1 BV, Series 2020-1, Class X2(b)(c) | 3M EUR L + 6.75% | 04/15/52 | 500,000 | 600,521 | ||||||||
| Finsbury Square 2019-3 PLC, Series 2019-3, Class X(b)(c) | 3M SONIA IR + 3.90% | 12/16/69 | £ | 387,211 | 495,354 | |||||||
| First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3(b) | 1M US L + 0.50% | 11/25/36 | $ | 1,948,791 | 1,439,572 | |||||||
| Freddie Mac STACR, Series 2020-HQA2, Class M2(b)(c)(d) | 1M US L + 3.10% | 03/25/50 | 500,000 | 479,700 | ||||||||
| Fremont Home Loan Trust, Series 2004-C, Class M3(b) | 1M US L + 1.73% | 08/25/34 | 208,259 | 206,280 | ||||||||
| GSAA Home Equity Trust, Series 2007-8, Class A4(b) | 1M US L + 0.60% | 08/25/37 | 547,743 | 317,472 | ||||||||
| GSAMP Trust, Series 2005-WMC1, Class M2(b) | 1M US L + 0.78% | 09/25/35 | 721,789 | 623,698 | ||||||||
| HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M5(b) | 1M US L + 0.54% | 01/25/36 | 984,257 | 737,110 | ||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7(b) | 1M US L + 1.65% | 12/25/35 | 196,569 | 188,962 | ||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3(b) | 1M US L + 0.37% | 02/25/36 | 795,346 | 576,069 | ||||||||
| JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2(b) | 1M US L + 0.32% | 07/25/36 | 1,017,666 | 1,099,283 | ||||||||
| JP Morgan Mortgage Trust, Series 2005-A5, Class TB1(b) | 3.27% | 08/25/35 | 367,875 | 361,254 | ||||||||
| JP Morgan Resecuritization Trust, Series 2015-3, Class 3A2(c)(f) | 5.77% | 09/26/37 | 382,392 | 328,895 | ||||||||
| Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2(b)(c) | 0.84% - 3M EUR L | 06/15/45 | € | 500,000 | 350,088 | |||||||
| Merrill Lynch Mortgage Investors Trust HE1, Series 2006-HE1, Class M2(b)(d) | 1M US L + 0.40% | 12/25/36 | $ | 2,000,000 | 1,654,800 | |||||||
| Miravet SARL, Series 2019-1, Class E(b)(c) | 3.00% - 3M EUR L | 05/26/65 | € | 500,000 | 505,754 | |||||||
| Nationstar Home Equity Loan Trust, Series 2007-B, Class M2(b)(g) | 1M US L + 0.47% | 04/25/37 | $ | 1,019,108 | 1,457,426 | |||||||
| New Century Home Equity Loan Trust, Series 2004-A, Class MI1(b)(d) | 4.31% | 08/25/34 | 895,048 | 923,779 | ||||||||
| New Century Home Equity Loan Trust, Series 2005-2, Class M6(b) | 1M US L + 1.02% | 06/25/35 | 302,618 | 249,145 | ||||||||
| New Century Home Equity Loan Trust, Series 2005-B, Class M2(b) | 1M US L + 0.49% | 10/25/35 | 500,000 | 396,800 | ||||||||
| Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2006-HE2, Class M2(b)(d) | 1M US L + 0.34% | 03/25/36 | 2,762,584 | 2,242,666 | ||||||||
| Ownit Mortgage Loan Trust, Series 2005-4, Class M1(b)(d) | 1M US L + 0.55% | 08/25/36 | 1,243,156 | 1,187,090 | ||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1(f) | 3.82% | 11/25/35 | 396,380 | 298,078 | ||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1(d)(f) | 3.68% | 01/25/36 | 392,592 | 344,892 | ||||||||
| RALI Trust, Series 2006-Q05, Class 1A2(b)(d) | 1M US L + 0.19% | 05/25/46 | 977,571 | 894,869 | ||||||||
| RALI Trust, Series 2006-QS9, Class 1A16(b)(d) | 1M US L + 0.65% | 07/25/36 | 775,042 | 562,060 | ||||||||
| RALI Trust, Series 2006-QS9, Class 1A5(b)(d) | 1M US L + 0.70% | 07/25/36 | 1,142,623 | 838,114 | ||||||||
| Residential Mortgage Securities 31 PLC, Series 2018-31, Class F2(b)(c) | 3M GBP L + 4.00% | 09/20/21 | £ | 509,000 | 648,093 | |||||||
| Soundview Home Loan Trust, Series 2005-OPT4, Class M2(b)(d) | 1M US L + 0.55% | 12/25/35 | $ | 666,915 | 578,816 | |||||||
| Soundview Home Loan Trust, Series 2007-NS1, Class M1(b) | 1M US L + 0.35% | 01/25/37 | 566,415 | 504,846 | ||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Value | ||||||||||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
| Tower Bridge Funding 2020-1 PLC, Series 2020-1, Class E(b)(c) | 3M SONIA IR + 2.50% | 09/20/63 | £ | 500,000 | $ | 656,007 | ||||||||
| Tower Bridge Funding 2020-1 PLC, Series 2020-1, Class X(b)(c) | 3M SONIA IR + 5.25% | 09/20/63 | 500,000 | 627,733 | ||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2007-1, Class A4 | 5.75% | 02/25/37 | –(h) | 74,343 | ||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2007-1, Class A8 | 5.75% | 02/25/37 | –(h) | 52,596 | ||||||||||
| 32,978,562 | ||||||||||||||
| Commercial (13.77%) | ||||||||||||||
| Ashford Hospitality Trust, Series 2018-ASHF, Class C(b)(c) | 1M US L + 1.40% | 04/15/35 | $ | 500,000 | 455,000 | |||||||||
| Ashford Hospitality Trust, Series 2018-ASHF, Class D(b)(c) | 1M US L + 2.10% | 04/16/35 | 554,000 | 500,040 | ||||||||||
| Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class F(b)(c) | 1M US L + 4.00% | 06/15/21 | 1,194,000 | 903,500 | ||||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT, Class C(b)(c) | 1M US L + 2.00% | 03/15/21 | 1,097,000 | 995,308 | ||||||||||
| BANK, Series 2017-BNK8, Class C(b) | 4.07% | 11/15/27 | 500,000 | 492,900 | ||||||||||
| CGDB Commercial Mortgage Trust, Series 2019-MOB, Class F(b)(c) | 1M US L + 2.55% | 11/15/21 | 526,000 | 497,070 | ||||||||||
| CGDB Commercial Mortgage Trust, Series 2019-MOB, Class G(b)(c) | 1M US L + 2.99% | 11/15/21 | 1,524,000 | 1,402,080 | ||||||||||
| CLNY Trust, Series 2019-IKPR, Class C(b)(c) | 1M US L + 1.68% | 11/15/21 | 556,000 | 490,503 | ||||||||||
| Commercial Mortgage Trust, Series 2015-CR24, Class D(b) | 3.46% | 08/12/25 | 500,000 | 391,000 | ||||||||||
| Credit Suisse Mortgage Trust, Series 2019-UVIL, Class B(b)(c) | 3.39% | 12/17/29 | 292,000 | 266,800 | ||||||||||
| Credit Suisse Mortgage Trust, Series 2019-UVIL, Class C(b)(c) | 3.39% | 12/17/29 | 297,000 | 251,114 | ||||||||||
| Credit Suisse Mortgage Trust, Series 2019-UVIL, Class D(b)(c) | 3.39% | 12/17/29 | 307,000 | 235,039 | ||||||||||
| Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class C(c) | 3.75% | 12/10/24 | 500,000 | 473,500 | ||||||||||
| FREMF Mortgage Trust, Series 2020-K104, Class C(b)(c) | 3.54% | 01/25/30 | 55,000 | 54,731 | ||||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-WIKI, Class B(c) | 3.20% | 10/05/21 | 750,000 | 738,675 | ||||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E(b)(c) | 1M US L + 4.02% | 10/15/32 | 504,000 | 428,098 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class C(b) | 4.10% | 06/15/23 | 526,000 | 508,800 | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class D(b)(c) | 4.66% | 07/17/24 | 526,000 | 422,220 | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4(d) | 3.25% | 12/17/24 | 1,000,000 | 1,063,600 | ||||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class D(b)(d) | 4.69% | 09/15/58 | 1,000,000 | 752,600 | ||||||||||
| 11,322,578 | ||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost $41,048,170) | 44,301,140 | |||||||||||||
| ASSET-BACKED SECURITIES (41.61%) | ||||||||||||||
| American Credit Acceptance Receivables Trust, Series 2020-1, Class E(c) | 3.32% | 03/13/26 | 243,000 | 236,172 | ||||||||||
| AutoFlorence 1 Srl, Series 2019-1, Class E(b)(c) | 4.50% - 1M EUR L | 12/25/42 | € | 500,000 | 584,972 | |||||||||
| CPS Auto Receivables Trust, Series 2018-D, Class E(c)(d) | 5.82% | 12/15/22 | $ | 1,000,000 | 1,025,800 | |||||||||
| E-Carat 11 PLC, Series 2020-11, Class G(b)(c) | 1M SONIA IR + 5.00% | 01/18/24 | £ | 500,000 | 620,926 | |||||||||
| E-Carat 11 PLC, Series 2020-11, Class H(c) | 9.50% | 01/18/24 | 500,000 | 649,593 | ||||||||||
| ENVA, LLC, Series 2019-A, Class B(c) | 6.17% | 06/22/26 | $ | 1,500,000 | 1,522,500 | |||||||||
| Exeter Automobile Receivables Trust, Series 2019-2X, Class E(c)(d) | 4.68% | 06/15/23 | 2,500,000 | 2,526,250 | ||||||||||
| Exeter Automobile Receivables Trust 2019-3, Series 2019-3A, Class E(c) | 4.00% | 08/15/23 | 810,000 | 792,180 | ||||||||||
| Exeter Automobile Receivables Trust 2020-2, Series 2020-2A, Class E(c)(d) | 7.19% | 07/15/24 | 699,000 | 749,817 | ||||||||||
| FREED ABS Trust, Series 2019-1, Class C(c)(d) | 5.39% | 06/18/26 | 2,000,000 | 1,929,400 | ||||||||||
| FREED ABS Trust, Series 2019-2, Class C(c)(d) | 4.86% | 11/18/26 | 2,500,000 | 2,249,000 | ||||||||||
| FREED ABS Trust, Series 2020-FP1, Class B(c) | 3.06% | 03/18/27 | 500,000 | 487,500 | ||||||||||
| FREED ABS Trust, Series 2020-FP1, Class C(c) | 4.37% | 03/18/27 | 500,000 | 463,900 | ||||||||||
| GLS Auto Receivables Issuer Trust 2019-4, Series 2019-4A, Class D(c)(d) | 4.09% | 08/17/26 | 1,000,000 | 999,300 | ||||||||||
| GLS Auto Receivables Issuer Trust 2020-1, Series 2020-1A, Class D(c)(d) | 3.68% | 02/15/24 | 900,000 | 860,400 | ||||||||||
| Honours PLC, Series 2006-2, Class B(b)(c) | 1M GBP L + 1.00% | 04/10/29 | £ | 453,453 | 412,057 | |||||||||
| KeyCorp Student Loan Trust, Series 2006-A, Class 2C(b)(d) | 3M US L + 1.15% | 03/27/42 | $ | 2,000,000 | 1,708,600 | |||||||||
| Lendingpoint 2019-2 Asset Securitization Trust, Series 2019-2, Class C(c) | 4.66% | 11/10/25 | 600,000 | 582,840 | ||||||||||
| Lendingpoint 2020-1 Asset Securitization Trust, Series 2020-1, Class C(c) | 4.14% | 07/11/22 | 500,000 | 474,850 | ||||||||||
| Lendingpoint Asset Securitization Trust, Series 2019-1X, Class C(c) | 4.50% | 12/15/21 | 1,933,000 | 1,850,847 | ||||||||||
| LL ABS Trust 2019-1, Series 2019-1A, Class C(c) | 5.07% | 03/15/27 | 500,000 | 452,950 | ||||||||||
| Marlette Funding Trust, Series 2020-1A, Class D(c) | 3.54% | 03/15/30 | 500,000 | 488,700 | ||||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Value | ||||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||||
| MelTel Land Funding LLC, Series 2019-1X, Class B(c) | 4.70% | 04/15/24 | $ | 750,000 | $ | 767,700 | ||||||||
| MelTel Land Funding LLC, Series 2019-1X, Class C(c) | 6.07% | 04/15/24 | 750,000 | 750,300 | ||||||||||
| National Collegiate Student Loan Trust, Series 2005-3, Class B(b)(d) | 1M US L + 0.50% | 07/27/37 | 1,746,000 | 1,035,727 | ||||||||||
| National Collegiate Student Loan Trust, Series 2007-1, Class A4(b)(d) | 1M US L + 0.31% | 10/25/33 | 1,942,297 | 1,771,763 | ||||||||||
| National Collegiate Student Loan Trust, Series 2007-4, Class A3A2(b) | 3.83% | 03/25/38 | 482,000 | 479,831 | ||||||||||
| Octane Receivables Trust, Series 2019-1A, Class C(c) | 4.74% | 06/20/25 | 750,000 | 714,675 | ||||||||||
| OnDeck Asset Securitization Trust II LLC, Series 2019-1A, Class D(c) | 4.02% | 11/18/24 | 300,000 | 283,830 | ||||||||||
| Perimeter Master Note Business Trust, Series 2019-2A, Class A(c) | 4.23% | 11/15/23 | 300,000 | 309,420 | ||||||||||
| Prosper Marketplace Issuance Trust Series, Series 2018-1A, Class D(c)(d) | 5.70% | 06/17/24 | 2,000,000 | 1,984,200 | ||||||||||
| Silk Finance No 5, Series 2020-5, Class D(c) | 7.25% | 02/25/35 | € | 500,000 | 590,449 | |||||||||
| Small Business Lending Trust, Series 2020-A, Class B(c) | 3.20% | 12/15/26 | $ | 500,000 | 404,700 | |||||||||
| SoFi Consumer Loan Program 2017-4 LLC, Series 2017-4, Class R2(c) | N/A | 05/26/26 | 9,390 | 215,024 | ||||||||||
| SoFi Professional Loan Program, Series 2019-BX, Class R1(c)(g) | N/A | 08/17/48 | 56,770 | 1,769,607 | ||||||||||
| United Auto Credit Securitization Trust, Series 2020-1, Class E(c) | 5.19% | 02/10/25 | 500,000 | 504,600 | ||||||||||
| Upstart Securitization Trust, Series 2020-1, Class B(c)(d) | 3.09% | 04/22/30 | 1,000,000 | 971,500 | ||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $34,885,360) | 34,221,880 | |||||||||||||
| COLLATERALIZED LOAN OBLIGATIONS (15.72%)(b) | ||||||||||||||
| AMMC CLO 19, Ltd., Series 2016-19A, Class E(c) | 3M US L + 7.00% | 10/15/28 | 300,000 | 260,070 | ||||||||||
| AMMC CLO 20, Ltd., Series 2017-20A, Class E(c) | 3M US L + 5.81% | 04/17/29 | 300,000 | 246,570 | ||||||||||
| Anchorage Capital CLO, Ltd., Series 2015-6X, Class ER(c) | 3M US L + 6.35% | 07/15/30 | 700,000 | 630,210 | ||||||||||
| Anchorage Capital CLO, Ltd., Series 2016-8X, Class ER(c) | 3M US L + 5.75% | 07/28/28 | 500,000 | 428,850 | ||||||||||
| Apex Credit CLO, LLC, Series 2015-2X, Class ER(c) | 3M US L + 6.10% | 10/17/26 | 519,358 | 326,572 | ||||||||||
| BlueMountain CLO, Ltd., Series 2018-1X, Class ER(c) | 3M US L + 5.55% | 04/20/27 | 500,000 | 401,500 | ||||||||||
| BlueMountain CLO, Ltd., Series 2018-2X, Class SUB(c) | N/A | 08/15/31 | 1,300,000 | 416,000 | ||||||||||
| Canyon Capital CLO, Ltd., Series 2014-2X, Class ER(c) | 3M US L + 6.85% | 04/15/29 | 950,000 | 808,355 | ||||||||||
| Cent CLO, Ltd., Series 2015-24X, Class DR(c) | 3M US L + 5.75% | 10/15/26 | 1,000,000 | 825,500 | ||||||||||
| Dryden Senior Loan Fund, Series 2015-38X, Class SUB(c) | N/A | 07/15/30 | 750,000 | 337,500 | ||||||||||
| Gallatin CLO IX, Ltd., Series 2018-1A, Class E(c) | 3M US L + 5.47% | 01/21/28 | 552,000 | 421,949 | ||||||||||
| ICG US CLO 2016-1, Ltd., Series 2018-1A, Class DR(c) | 3M US L + 5.75% | 07/29/28 | 1,250,000 | 956,000 | ||||||||||
| MP CLO, Ltd., Series 2015-2X, Class ER(c) | 3M US L + 5.45% | 10/28/27 | 750,000 | 593,850 | ||||||||||
| OCP CLO, Ltd., Series 2015-8X, Class D(c) | 3M US L + 5.50% | 04/17/27 | 500,000 | 483,000 | ||||||||||
| Recette CLO, Ltd., Series 2015-1X, Class E(c)(d) | 3M US L + 5.70% | 10/20/27 | 1,500,000 | 1,373,250 | ||||||||||
| Shackleton CLO, Ltd., Series 2017-8X, Class ER(c) | 3M US L + 5.34% | 10/20/27 | 1,000,000 | 774,000 | ||||||||||
| Sound Point CLO III-R, Ltd., Series 2013-2RX, Class E(c) | 3M US L + 6.00% | 04/15/29 | 1,500,000 | 986,100 | ||||||||||
| Sound Point CLO XII, Ltd., Series 2019-2X, Class ER(c) | 3M US L + 6.90% | 10/20/28 | 500,000 | 400,750 | ||||||||||
| Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1(c)(i) | 3M US L + 0.80% | 02/05/36 | 1,000,000 | 340,000 | ||||||||||
| TICP, Series 2015-1X, Class E(c) | 3M US L + 5.50% | 07/20/27 | 1,000,000 | 806,800 | ||||||||||
| Venture CDO, Ltd., Series 2016-23X, Class ER(c) | 3M US L + 5.95% | 07/19/28 | 500,000 | 367,900 | ||||||||||
| Voya CLO, Ltd., Series 2014-2X, Class SUB(c) | N/A | 04/17/30 | 761,000 | 152,200 | ||||||||||
| Wind River CLO, Ltd., Series 2016-1X, Class ER(c) | 3M US L + 5.55% | 07/15/28 | 750,000 | 591,750 | ||||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $15,599,896) | 12,928,676 | |||||||||||||
| Shares | ||||||||
| PREFERRED STOCKS (0.61%)(b)(j) | ||||||||
| New York Mortgage Trust, Inc., Series D | 8,071 | 160,613 | ||||||
| New York Mortgage Trust, Inc., Series E | 17,808 | 343,516 | ||||||
| TOTAL PREFERRED STOCKS (Cost $482,862) | 504,129 | |||||||
Percentages above are stated as a percentage of net assets as of July 31, 2020
| Investment Abbreviations: |
| LIBOR - London Interbank Offered Rate |
| EURIBOR - Euro Interbank Offered Rate |
| SONIA - Sterling Over Night Index Average |
| Libor Rates: |
| 1M GBP L - 1 Month LIBOR as of July 31, 2020 was 0.06% |
| 3M GBP L - 3 Month LIBOR as of July 31, 2020 was 0.08% |
| 1M EUR L - 1 Month EURIBOR as of July 31, 2020 was (0.50)% |
| 3M EUR L - 3 Month EURIBOR as of July 31, 2020 was (0.44)% |
| 1M US L - 1 Month LIBOR as of July 31, 2020 was 0.15% |
| 3M US L - 3 Month LIBOR as of July 31, 2020 was 0.25% |
| 1M SONIA IR - 1 Month SONIA as of July 31, 2020 was 0.06% |
| 3M SONIA IR - 3 Month Average SONIA as of June 30, 2020 was 0.07%* |
| * | Index reports rate on a calendar quarter end. |
| (a) | The maturity date for credit investments represents the expected maturity. Many of the instruments are callable through cash flows on the underlying or other call features. Expected maturity may be earlier than legal maturity. |
| (b) | Floating or variable rate security. The Reference Rate is described above. The Interest Rate in effect as of July 31, 2020 is based on the Reference Rate plus the displayed spread as of the security's last reset date. |
| (c) | Securities not registered under the Securities Act of 1933, as amended (the "Securities Act"). These securities generally involve certain transfer restrictions and may be sold in the ordinary course of business in transactions exempt from registration. As of July 31, 2020, the aggregate market value of those securities was $58,581,644, representing 71.23% of net assets. |
| (d) | On July 31, 2020, all or a portion of these securities were pledged as collateral for reverse repurchase agreements in the amount of $34,477,903. |
| (e) | Interest only security. |
| (f) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at July 31, 2020. |
| (g) | The level 3 assets were a result of unavailable quoted prices from an active market or the unavailability of other significant observable inputs. |
| (h) | Security principal paid in full; the value of the security at July 31, 2020 is expected to be received from the liquidation of the security's trust. |
| (i) | Security is in default as of period end and is therefore non-income producing. |
| (j) | Perpetual maturity. |
| (k) | Includes cash being held as collateral for derivatives and reverse repurchase agreements. |
DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS
| Description | Counterparty | Position | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
| 2-YEAR U.S. TREASURY NOTES FUTURES | Wells Fargo | Long | 5 | September 2020 | $ | 1,104,922 | $ | 1,016 | ||||||||||||
| 5-YEAR U.S. TREASURY NOTES FUTURES | Wells Fargo | Short | 413 | September 2020 | (52,089,625 | ) | (286,586 | ) | ||||||||||||
| 10-YEAR U.S. TREASURY NOTES FUTURES | Wells Fargo | Short | 10 | September 2020 | (1,400,781 | ) | (12,891 | ) | ||||||||||||
| BP CURRENCY FUTURES | Wells Fargo | Short | 38 | September 2020 | (3,113,150 | ) | (120,629 | ) | ||||||||||||
| EURO FX CURRENCY FUTURES | Wells Fargo | Short | 32 | September 2020 | (4,719,800 | ) | (184,326 | ) | ||||||||||||
| $ | (60,218,434 | ) | $ | (603,416 | ) | |||||||||||||||
CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION (OVER THE COUNTER)(a)
| Reference Obligations | Counterparty | Fixed Deal Receive Rate | Currency | Maturity Date | Implied Credit Spread at July 31, 2020(b) | Notional Amount(c) | Value | Upfront Premiums Received/(Paid) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
| The Markit CMBX North America BBB Series 12 Index | Morgan Stanley | 3.00 | % | USD | 8/17/61 | 5.46 | % | 2,500,000 | $ | (401,750 | ) | $ | 980,659 | $ | 578,909 | |||||||||||||||||
| The Markit CDX High Yield Series 33 Index Tranche 15-25 | Morgan Stanley | 5.00 | % | USD | 12/20/24 | 15.12 | % | 5,000,000 | (1,441,411 | ) | 125,000 | (1,316,411 | ) | |||||||||||||||||||
| $ | (1,843,161 | ) | $ | 1,105,659 | $ | (737,502 | ) | |||||||||||||||||||||||||
Credit default swaps pay quarterly.
| (a) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (b) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (c) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
See Notes to Quarterly Consolidated Schedule of Investments.
1WS CREDIT INCOME FUND
NOTES TO QUARTERLY CONSOLIDATED SCHEDULE OF INVESTMENTS
July 31, 2020
NOTE 1. ORGANIZATION
1WS Credit Income Fund (“1WS Credit” or the “Fund”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, closed-end management investment company that continuously offers its shares of beneficial interest (‘‘Shares’’). 1WS Credit operates as an interval fund under Rule 23c-3 of the 1940 Act and, as such, has adopted a policy to make quarterly repurchase offers at a price equal to net asset value (‘‘NAV’’) per Share, of no less than 5% of the Shares outstanding.
1WS Credit’s investment objective is to seek attractive risk-adjusted total returns through generating income and capital appreciation. 1WS Credit will seek to achieve its investment objective by investing primarily in a wide array of structured credit and securitized debt instruments. There can be no assurance that the Fund’s investment objective will be achieved.
1WS Credit was organized as a Delaware statutory trust on July 20, 2018 pursuant to an Agreement and Declaration of Trust governed by the laws of the State of Delaware. 1WS Credit had no operations from that date to March 4, 2019, commencement of operations, other than those related to organizational matters and the registration of its Shares under applicable securities laws. 1WS Credit wholly owns and consolidates 1WSCI Sub I, LLC (the “Cayman Islands SPV”), an exempted company incorporated in the Cayman Islands on February 22, 2019. The Cayman Islands SPV is an investment vehicle formed to make certain investments on behalf of 1WS Credit. 1WS Credit is the managing and sole member of the Cayman Islands SPV pursuant to a limited liability agreement dated March 1, 2019. Where context requires, the “Fund” includes both the Fund and the Cayman Island SPV.
1WS Capital Advisors, LLC (the ‘‘Adviser’’ or ‘‘1WS’’) serves as the investment adviser of the Fund. 1WS is a Delaware limited liability company that is registered as an investment adviser with the Securities and Exchange Commission (the ‘‘SEC’’) under the Investment Advisers Act of 1940 (the ‘‘Advisers Act’’). The Adviser is controlled by its managing member, One William Street Capital Management, L.P. (‘‘OWS’’), which is also registered with the SEC as an investment adviser. The Fund’s portfolio manager and other personnel of the Adviser have substantial experience in managing investments and investment funds, including funds which have investment programs similar to that of the Fund.
Institutional Class (“Class I”) Shares (which are not subject to any sales load or asset-based distribution fee) of the Fund are being offered on a continuous basis at the NAV per Share calculated each day. The Fund received exemptive relief from the SEC to issue multiple classes of Shares and to impose asset-based distribution fees as applicable. Currently, only the Institutional Class Shares are being offered.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation: The accompanying consolidated schedule of investments are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and are stated in United States dollars, unless disclosed otherwise. The Fund is considered an investment company under GAAP and follows the accounting and reporting guidance for investment companies under Financial Accounting Standards Board’s (‘’FASB’’) Accounting Standards Codification (‘’ASC’’) 946, Financial Services-Investment Companies, including accounting for investments at fair value.
Consolidation: 1WS Credit consolidates its investment in the Cayman Islands SPV because 1WS Credit is the sole shareholder of this entity. All investments held by the Cayman Islands SPV are disclosed in the Consolidated Schedule of Investments. All intercompany accounts and transactions have been eliminated upon consolidation.
Investment Transactions: Investment transactions are accounted for on a trade-date basis for financial reporting purposes and amounts payable or receivable for trades not settled at the time of period end are reflected as liabilities and assets, respectively. Interest is recorded on an accrual basis.
The Fund may enter into derivative contracts for hedging purposes or to gain synthetic exposures to certain investments (“Derivatives”). Derivatives are financial instruments whose values are based on an underlying asset, index, or reference rate and include futures, swaps, swaptions, options, or other financial instruments with similar characteristics.
The Board of Trustees (the “Board”) has adopted valuation policies and procedures for the Fund and has delegated the day-to-day responsibility for fair value determinations to the Adviser and the Administrator (defined below). The Fund’s valuation committee (the “Valuation Committee”) (comprised of officers of the Adviser and established pursuant to the policies and procedures adopted by the Board) has the day-to-day responsibility for overseeing the implementation of the Fund’s valuation policies and procedures and fair value determinations (subject to review and ratification by the Board).
Fund Valuation: Institutional Class Shares are offered at NAV. NAV per share is determined daily. The Fund’s NAV per share is calculated by subtracting liabilities (including accrued expenses and indebtedness) from the total assets of the Fund (the value of the investments plus cash or other assets, including interest accrued but not yet received) and dividing the result by the total number of Shares outstanding.
NOTE 3. PORTFOLIO VALUATION:
ASC 820 Fair Value Measurement defines fair value as an exit price representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value and maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing the use of the most observable input when available.
Valuation inputs broadly refer to the assumptions market participants would use in pricing the asset or liability, including assumptions about risk. ASC 820 distinguishes between: (i) observable inputs, which are based on market data obtained from parties independent of the reporting entity, and (ii) unobservable inputs, which reflect the Adviser’s own assumptions about the judgments market participants would use. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the fair value measurement. When a valuation uses multiple inputs from varying levels of the fair value hierarchy, the hierarchy level is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
| Level 1 — | Inputs that are unadjusted, quoted prices in active markets for identical assets or liabilities. |
| Level 2 — | Inputs (other than quoted prices included in Level 1) that are observable, either directly or indirectly. |
| Level 3 — | Inputs that are unobservable and reflect the Adviser’s best estimate of what market participants would use in pricing the asset or liability. This includes situations where there is little, if any, market activity for the asset or liability. |
Generally, the Fund expects to be able to obtain pricing from independent third-party sources on many of its investments. However, in certain circumstances where such inputs are difficult or impractical to obtain or such inputs are deemed unreliable, we may fair value certain investments using internal manager marks.
The following factors may be pertinent in determining fair value: security covenants, call protection provisions and information rights; cash flows, the nature and realizable value of any collateral; the debt instrument's ability to make payments; the principal markets and financial environment in which the debt instrument operates; publicly available financial ratios of peer companies; changes in interest rates for similar debt instruments; and enterprise values, among other relevant factors.
Determination of fair value involves subjective
judgments and estimates not susceptible to substantiation by auditing procedures. Due to the inherent uncertainty of determining
the fair value of investments that do not have readily available market quotations, the fair value of these investments may differ
significantly from the values that would have been used had such market quotations existed for such investments,
and any such differences could be material. Accordingly, under current accounting standards, the notes to the Fund’s consolidated
financial statements will refer to the uncertainty with respect to the possible effect of such valuations, and any change in such
valuations, on the Fund’s
financial statements.
The following tables summarize the Fund’s financial instruments classified as assets and liabilities measured at fair value by level within the fair value hierarchy as of July 31, 2020:
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Residential Mortgage-Backed Securities | $ | – | $ | 31,521,136 | $ | 1,457,426 | $ | 32,978,562 | ||||||||
| Commercial Mortgage-Backed Securities | – | 11,322,578 | – | 11,322,578 | ||||||||||||
| Asset-Backed Securities | – | 32,452,273 | 1,769,607 | 34,221,880 | ||||||||||||
| Collateralized Loan Obligations | – | 12,928,676 | – | 12,928,676 | ||||||||||||
| Preferred Stocks | 504,129 | – | – | 504,129 | ||||||||||||
| Money Market Funds | 9,573,302 | – | – | 9,573,302 | ||||||||||||
| Total | $ | 10,077,431 | $ | 88,224,663 | $ | 3,227,033 | $ | 101,529,127 | ||||||||
| Derivative Instruments | ||||||||||||||||
| Assets: | ||||||||||||||||
| Credit Default Swap Contracts | $ | – | $ | 578,909 | $ | – | $ | 578,909 | ||||||||
| Future Contracts | 1,016 | – | – | 1,016 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Future Contracts | (604,432 | ) | – | – | (604,432 | ) | ||||||||||
| Credit Default Swap Contracts | – | (1,316,411 | ) | – | (1,316,411 | ) | ||||||||||
| Total | $ | (603,416 | ) | $ | (737,502 | ) | $ | – | $ | (1,340,918 | ) | |||||
The following table discloses the purchase of Level 3 portfolio investments as well as the value of transfers into or out of Level 3 for the period ended July 31, 2020 of the Fund’s Level 3 portfolio investments:
| Asset-Backed Securities | Mortgage-Backed Securities | Collateralized Loan Obligations | Total | |||||||||||||
| Balance as of October 30, 2019 | $ | 2,098,965 | $ | - | $ | 1,283,300 | $ | 3,382,265 | ||||||||
| Accrued discount/ premium | (161,783 | ) | - | (64,817 | ) | (226,600 | ) | |||||||||
| Realized Gain/(Loss) | - | - | - | - | ||||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (167,575 | ) | - | (312,783 | ) | (480,358 | ) | |||||||||
| Purchases | - | - | - | - | ||||||||||||
| Sales Proceeds | - | - | - | - | ||||||||||||
| Transfer into Level 3 | - | 1,457,426 | - | 1,457,426 | ||||||||||||
| Transfer out of Level 3 | - | - | (905,700 | ) | (905,700 | ) | ||||||||||
| Balance as of July 31, 2020 | $ | 1,769,607 | $ | 1,457,426 | $ | - | $ | 3,227,033 | ||||||||
| Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at July 31, 2020 | $ | (167,575 | ) | $ | 449,862 | $ | - | $ | 282,287 | |||||||
The following table presents additional information about the valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of July 31, 2020:
Quantitative Information about Level 3 Fair Value Measurements
| Asset Class | Fair Value | Valuation Technique | Unobservable Inputs | Value/Range | ||||||||
| Residential Mortgage-Backed Securities | $ | 1,457,426 | Broker pricing | Indicative quote | $ | 143.01 | ||||||
| Asset-Backed Securities | $ | 1,769,607 | Broker pricing | Indicative quote | $3,117.15 (1) | |||||||
| (1) | Input is based on the total market value of the outstanding loan, of which the Fund owns 6%. |