NPORT-EX 2 fp0057932_nportex.htm

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 

  

 

 

   7-Day Yield   Shares   Value 
MONEY MARKET FUNDS (11.64%)               
BlackRock Liquidity Funds T-Fund   0.09%   8,949,323   $8,949,323 
BNY Mellon U.S. Treasury Fund, Institutional Class   0.01%   623,979    623,979 
                
TOTAL MONEY MARKET FUNDS (Cost $9,573,302)             9,573,302 
                
                
TOTAL INVESTMENTS (123.45%) (Cost $101,589,590)            $101,529,127 
                
Liabilities in Excess of Other Assets (-23.45%)(k)             (19,288,502)
NET ASSETS (100.00%)            $82,240,625 

 

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%.