NPORT-EX 2 fp0069038_nportex.htm

1WS CREDIT INCOME FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS

July 31, 2021 (Unaudited)

 

      Maturity   Principal     
Description  Rate  Date(a)   Amount   Value 
MORTGAGE-BACKED SECURITIES (47.83%)
Residential (33.97%)                  
Alternative Loan Trust, Series 2007-21CB, Class 2A2(b)  28.40% - 1M US L   09/25/37   $39,405   $53,997 
Alternative Loan Trust, Series 2007-21CB, Class 2A3(b)  1M US L + 0.50%   09/25/37    1,161,979    479,316 
Alternative Loan Trust, Series 2007-21CB, Class 2A4(b)(c)  5.60% - 1M US L   09/25/37    1,074,095    269,061 
APS Resecuritization Trust, Series 2014-1, Class 1M(b)(d)  1.57%   08/28/54    2,216,101    606,990 
Banc of America Funding , Series 2007-5, Class CA8(b)(c)  5.35% - 1M US L   07/25/37    3,326,122    687,509 
Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2(b)(e)  1M US L + 0.25%   07/25/36    375,056    425,313 
Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2(b)(e)  1M US L + 0.23%   01/25/37    1,066,067    1,221,393 
Bellemeade Re, Ltd., Series 2021-1A, Class M2(b)(d)  30D US SOFR + 4.85%   03/25/31    500,000    545,100 
CIT Mortgage Loan Trust, Series 2007-1, Class 1M2(b)(d)  1M US L + 1.75%   05/25/22    1,000,000    968,400 
Citicorp Residential Mortgage Trust, Series 2006-2, Class M2(e)(f)  5.23%   09/25/36    2,000,000    2,061,600 
Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17  5.50%   12/25/35    272,664    182,412 
Domi BV, Series 2020-1, Class F(b)  3M EUR L + 6.50%   04/15/52   €500,000    589,331 
Domi BV, Series 2020-1, Class X1(b)  3M EUR L + 4.95%   04/15/52    278,559    334,440 
Domi BV, Series 2020-1, Class X2(b)  3M EUR L + 6.75%   04/15/52    500,000    604,574 
Domi BV, Series 2021-1, Class E(b)  6.50% - 3M EUR L   06/15/26    411,000    491,207 
Domi BV, Series 2021-1, Class X2(b)  6.50% - 3M EUR L   06/15/26    411,000    491,207 
Eagle RE, Ltd., Series 2021-1, Class M2(b)(d)(e)  30D US SOFR + 4.45%   10/25/33   $500,000    531,050 
Finance Ireland Rmbs, Series 3, Class F(b)  4.23% - 3M EUR L   06/24/61   €420,000    499,472 
Finsbury Square PLC, Series 2019-3, Class X(b)  3M SONIA IR + 3.90%   12/16/69   £134,529    187,277 
First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3(b)  1M US L + 0.75%   11/25/36   $1,948,939    1,576,497 
Fremont Home Loan Trust, Series 2004-C, Class M3(b)  1M US L + 1.73%   08/25/34    124,214    125,717 
GSAA Home Equity Trust, Series 2007-8, Class A4(b)  1M US L + 1.20%   08/25/37    547,743    330,070 
GSAMP Trust, Series 2005-WMC1, Class M2(b)(e)  1M US L + 0.78%   09/25/35    721,789    670,975 
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7(b)  1M US L + 2.48%   12/25/35    213,793    239,362 
JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3(b)  1M US L + 0.56%   02/25/36    824,873    842,361 
JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2(b)  1M US L + 0.32%   07/25/36    1,074,904    1,243,772 
JP Morgan Mortgage Trust, Series 2005-A5, Class TB1(b)  2.61%   08/25/35    148,647    146,283 
JP Morgan Resecuritization Trust, Series 2015-3, Class 3A2(d)(f)  5.47%   09/26/37    397,446    358,615 
Jubilee Place BV, Series 2021-1, Class X(b)  5.00% - 3M EUR L   07/17/58   €415,062    496,062 
Lanebrook Mortgage Transaction PLC, Series 2020-1, Class E(b)(d)  3M SONIA IR + 5.00%   09/12/24   £500,000    746,504 
Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2(b)  0.84% - 3M EUR L   06/15/45   €500,000    432,983 
Lehman Mortgage Trust, Series 2007-5, Class 6A1(b)  1M US L + 0.32%   10/25/36   $862,225    471,723 

Merrill Lynch Mortgage Investors Trust HE1, Series 2006-HE1, Class M2(b)

  1M US L + 0.60%   12/25/36    2,000,000    1,912,400 
Miravet SARL, Series 2019-1, Class E(b)(e)  3M EUR L + 3.00%   05/26/65   €500,000    536,424 
Miravet SARL - Compartment, Series 2020-1, Class E(b)(e)  3M EUR L + 4.00%   05/26/65    1,000,000    1,119,468 
Nationstar Home Equity Loan Trust, Series 2007-B, Class M2(b)  1M US L + 0.47%   04/25/37   $1,038,353    1,617,754 
New Century Home Equity Loan Trust, Series 2004-A, Class MI1(b)  4.20%   08/25/34    713,388    734,147 
New Century Home Equity Loan Trust, Series 2005-2, Class M6(b)  1M US L + 1.02%   06/25/35    303,001    305,213 
Ownit Mortgage Loan Trust, Series 2005-4, Class M1(b)  1M US L + 0.83%   08/25/36    1,272,286    1,240,479 
Polaris PLC, Series 2021-1, Class X2(b)  3M SONIA IR + 5.00%   12/23/58   £366,000    510,015 
Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1(f)  3.68%   11/25/35   $388,617    298,769 
Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1(f)  3.63%   01/25/36    388,298    367,835 
Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2(b)  1M US L + 0.19%   05/25/46    932,685    983,796 
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16(b)  1M US L + 0.65%   07/25/36    621,199    465,216 
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5(b)  1M US L + 0.70%   07/25/36    915,816    699,775 
Residential Mortgage Securities 31 PLC, Series 2018-31, Class F2(b)  3M GBP L + 4.00%   09/20/21   £509,000    706,524 
Residential Mortgage Securities 32 PLC, Series 2020-32X, Class F1(b)  3M SONIA IR + 6.50%   06/20/70    500,000    767,076 
Soundview Home Loan Trust, Series 2005-OPT4, Class M2(b)(e)  1M US L + 0.83%   12/25/35   $674,285    684,197 
Stratton Mortgage Funding, Series 2021-2X, Class X(b)  3M SONIA IR + 4.00%   07/20/60   £799,695    1,107,247 

 

 

 

      Maturity   Principal     
Description  Rate  Date(a)   Amount   Value 
MORTGAGE-BACKED SECURITIES (continued)                  
Stratton Mortgage Funding PLC, Series 2021-3, Class X2(b)  3M SONIA IR + 3.50%   06/12/24   £507,000   $696,630 
SYON 2020-2, Class B  6.27%   12/17/27    1,135,426    1,708,458 
Tower Bridge Funding PLC, Series 2020-1, Class X(b)  3M SONIA IR + 5.25%   09/20/63    87,104    120,943 
Tower Bridge Funding PLC, Series 2021-1, Class X(b)  3M SONIA IR + 4.50%   04/21/24    242,409    337,793 
Triangle Re, Ltd., Series 2021-2, Class M1C(b)(d)  1M US L + 4.50%   10/25/33   $500,000    525,100 
Twin Bridges PLC, Series 2021-1, Class X2(b)  3M SONIA IR + 5.00%   03/12/26   £363,000    493,573 
                $36,849,405 
Commercial (13.86%)                  
Ashford Hospitality Trust, Series 2018-ASHF, Class D(b)(d)  1M US L + 2.10%   04/16/35   $554,000    557,823 
Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class F(b)(d)  1M US L + 4.00%   06/15/21    1,194,000    1,136,927 
BBCMS Mortgage Trust, Series 2021-AGW, Class F(b)  1M US L + 4.00%   06/15/26    2,000,000    2,005,600 
BFLD Trust, Series 2021-FPM, Class D(b)(d)  1M US L + 4.65%   06/15/26    500,000    501,550 
BPR Trust, Series 2021-WILL, Class E(b)(d)  1M US L + 6.75%   06/15/23    500,000    502,800 
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class F(b)(d)  1M US L + 2.55%   11/15/21    526,000    528,630 
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class G(b)(d)  1M US L + 2.99%   11/15/21    1,524,000    1,487,272 
COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E(d)  3.60%   07/15/24    1,000,000    876,200 
Commercial Mortgage Trust, Series 2014-FL5, Class KH2(b)(d)  1M US L + 4.50%   08/15/31    693,207    590,334 
Commercial Mortgage Trust, Series 2015-CR24, Class D(b)  3.46%   08/12/25    274,000    251,176 
Great Wolf Trust, Series 2019-WOLF, Class D(b)(d)  1M US L + 1.93%   12/15/24    750,000    749,250 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

Series 2016-WIKI, Class B(d)

  3.20%   10/05/21    750,000    750,000 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

Series 2016-WIKI, Class C(d)

  3.55%   10/05/21    750,000    751,725 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

Series 2016-WIKI, Class D(b)(d)

  4.01%   10/05/21    652,000    644,632 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

Series 2017-FL11, Class D(b)(d)

  1M US L + 2.14%   10/15/32    500,000    487,550 

J.P. Morgan Chase Commercial Mortgage Securities Trust,

Series 2017-FL11, Class E(b)(d)

  1M US L + 4.02%   10/15/32    504,000    477,540 

JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F(d)

  3.59%   10/15/23    560,000    506,968 

JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class D(b)(d)

  4.65%   07/17/24    526,000    508,852 
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G(b)(d)  4.53%   09/15/30    1,500,000    782,850 
SLIDE, Series 2018-FUN, Class D(b)(d)  1M US L + 2.10%   06/15/21    943,706    938,988 
                $15,036,667 
                   
TOTAL MORTGAGE-BACKED SECURITIES (Cost $46,362,165)            $51,886,072 
                   
ASSET-BACKED SECURITIES (42.51%)                  

ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7, Class M2(b)

  1M US L + 0.69%   11/25/35    505,052    518,233 
AutoFlorence 1 Srl, Series 2019-1, Class E(b)  4.50% - 1M EUR L   12/25/42   €334,422    405,715 
Autonoria Spain 2021 FT, Series 2021-SP, Class G(b)  5.25%   01/31/39    700,000    832,454 
BL Consumer Credit 2021, Series 2021-1, Class G  5.80%   09/25/38    410,000    503,922 
Brignole Co. 2021 SRL, Series 2021-2021, Class F(b)  1M EUR L + 5.90%   07/24/36    424,000    504,229 
CFG Investments, Ltd., Series 2021-1, Class A(d)  4.70%   11/20/24   $1,350,000    1,402,650 
CFG Investments, Ltd., Series 2021-1, Class B(d)  5.82%   10/20/25    1,196,000    1,210,711 
CFG Investments, Ltd., Series 2021-1, Class C(d)  7.48%   05/20/26    500,000    516,750 
CIG Auto Receivables Trust 2020-1, Series 2020-1A, Class E(d)(e)  4.43%   02/12/27    1,150,000    1,188,640 
Countrywide Asset-Backed Certificates, Series 2005-2, Class M6(b)  1M US L + 2.03%   08/25/35    520,741    539,487 
CPS Auto Trust, Series 2018-C, Class E(d)  6.07%   09/15/25    500,000    524,250 
CPS Auto Trust, Series 2021-C, Class E(d)(e)  3.21%   09/15/25    499,000    499,898 

Credito Real USA Auto Receivables Trust 2021-1, Series 2021-1A, Class C(d)

  4.37%   06/17/24    1,108,000    1,111,989 

 

 

 

      Maturity   Principal     
Description  Rate  Date(a)   Amount   Value 
ASSET-BACKED SECURITIES (continued)                  
Dowson PLC, Series 2021-1, Class E(b)  1M SONIA IR + 4.45%   03/20/28   £363,000   $512,293 
Dowson PLC, Series 2021-1, Class F(b)  1M SONIA IR + 6.45%   03/20/28    363,000    509,417 
E-Carat 11 PLC, Series 2020-11, Class G  1M SONIA IR + 5.00%   01/18/24    431,333    605,732 
Exeter Automobile Receivables Trust 2019-1, Series 2019-1A, Class E(d)  5.20%   03/15/23   $480,000    511,824 
Exeter Automobile Receivables Trust 2020-2, Series 2020-2A, Class E(d)  7.19%   07/15/24    832,000    938,413 
FCT Noria 2021, Series 2021-1, Class G  5.95%   10/25/49   €1,400,000    1,664,907 
Freed ABS Trust, Series 2020-FP1, Class C(d)  4.37%   03/18/27   $500,000    512,100 
Frontline Re, Ltd., Series B(b)(d)(g)  3M T-Bill + 0.50%   07/06/22    463,724    44,464 
FTA Santander Consumo 4, Series 2021-4, Class E  4.90%   09/18/32   €500,000    615,488 
FTA Santander Consumo 4, Series 2021-4, Class F  6.50%   09/18/32    450,000    544,864 
GLS Auto Receivables Issuer Trust 2020-2, Series 2020-2A, Class D(d)(e)  7.48%   04/15/27   $1,560,000    1,758,276 
Hertz Vehicle Financing LLC, Series 2021-1A, Class D(d)(e)  3.98%   12/25/24    5,000,000    5,051,000 
KeyCorp Student Loan Trust, Series 2006-A, Class 2C(b)  3M US L + 1.15%   03/27/42    2,000,000    1,745,000 
Latitude Australia Credit Card Master Trust, Series 2017-2, Class E(b)  5.01%   08/22/23   AUD

502,000

    374,102 
Marlette Funding Trust 2021-2, Series 2021-2A, Class R(d)(g)  N/A(h)   02/15/26   $1,296    503,721 
National Collegiate Student Loan Trust, Series 2005-3, Class B(b)(e)  1M US L + 0.50%   07/27/37    1,846,000    1,509,474 
National Collegiate Student Loan Trust, Series 2007-1, Class A4(b)(e)  1M US L + 0.31%   10/25/33    1,612,548    1,536,436 
NOW Trust, Series 2021-1, Class F(b)  1M BBSW + 6.40%   06/14/29   AUD

700,000

    514,978 
Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT(b)(c)(d)(g)  N/A(h)   05/17/27   $510,470    470,938 
SAFCO Mezz WH 2021(g)  9.00%   12/31/49    877,040    877,040 
Silk Finance No 5, Series 2020-5, Class D(e)  7.25%   02/25/35   €500,000    619,402 
SoFi Consumer Loan Program , Series 2020-1, Class R1(d)(g)  N/A(h)   01/25/29   $14,000    373,406 
SoFi Consumer Loan Program LLC, Series 2017-4, Class R2(d)(g)  N/A(h)   05/26/26    9,390    342,830 
SoFi Professional Loan Program, Series 2020-A, Class R1(d)(g)  N/A(h)   05/15/46    10,000    502,597 
Sofi Professional Loan Program , Series 2018-D, Class R1(d)(g)  N/A(h)   02/25/48    21,839    372,626 
SoFi Professional Loan Program , Series 2020-B, Class R1(d)(g)  N/A(h)   05/15/46    10,000    750,828 
SoFi Professional Loan Program , Series 2021-A, Class R1(d)(g)  N/A(h)   08/17/43    19,142    508,543 
SoFi Professional Loan Program LLC, Series 2017-D, Class R1(d)(g)  N/A(h)   09/25/40    16,181    422,347 
SoFi Professional Loan Program LLC, Series 2019-B, Class R1(d)(g)  N/A(h)   08/17/48    56,770    1,067,534 
SoFi Professional Loan Program LLC, Series 2019-A, Class R1(d)(g)  N/A(h)   06/15/48    32,016    547,841 
Structured Asset Investment Loan Trust, Series 2005-8, Class M2(b)  1M US L + 0.75%   10/25/35    968,847    1,000,043 
Structured Asset Investment Loan Trust, Series 2005-9, Class M2(b)(e)  1M US L + 0.68%   11/25/35    1,225,109    1,276,932 
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4(b)  1M US L + 0.31%   09/25/36    860,000    548,422 
Upstart Pass-Through Trust, Series 2021-ST4, Class CERT(d)(g)  N/A(h)   07/20/27    500,000    561,143 
Upstart Pass-Through Trust, Series 2021-ST4, Class CERT(d)(g)  N/A(h)   07/20/27    1,000,000    1,122,285 
Upstart Pass-Through Trust, Series 2021-ST6, Class CERT(d)(g)  N/A(h)   08/20/27    450,000    519,098 
Upstart Pass-Through Trust Series, Series 2021-ST5, Class CERT(d)(g)  N/A(h)   07/20/27    607,000    693,019 
Upstart Securitization Trust, Series 2021-3, Class C(d)  3.28%   01/20/26    2,000,000    2,009,000 
Upstart Securitization Trust, Series 2020-3, Class C(d)(e)  6.25%   11/20/30    1,250,000    1,352,500 
Upstart Securitization Trust, Series 2021-2, Class CERT(g)  N/A(h)   06/20/31    240    232,998 
Zip Master Trust, Series 2021-1, Class D(b)  1M BBSW + 3.70%   04/10/24   AUD

500,000

    367,842 
Zip Master Trust, Series 2021-1, Class E(b)  1M BBSW + 5.70%   04/10/24    500,000    367,841 
                   
TOTAL ASSET-BACKED SECURITIES (Cost $45,383,447)            $46,118,472 
                   
COLLATERALIZED LOAN OBLIGATIONS (22.12%)(b)(d)               
ALM XVIII, Ltd., Series 2018-18A, Class DR  3M US L + 5.50%   01/15/28   $275,000   $275,440 
Anchorage Capital CLO 3-R, Ltd., Series 2018-3RA, Class E  3M US L + 5.50%   01/28/31    551,000    536,178 
Anchorage Capital CLO 6, Ltd., Series 2017-6A, Class ER  3M US L + 6.35%   07/15/30    700,000    696,360 
Apex Credit CLO, Ltd., Series 2019-1A, Class D  3M US L + 7.10%   04/18/32    641,000    593,566 
Apex Credit CLO, Ltd., Series 2020-1X, Class E1  3M US L + 7.56%   10/20/31    487,500    483,649 
Barings CLO, Ltd. 2013-I, Series 2017-IA, Class ER(e)  3M US L + 5.20%   01/20/28    514,000    505,570 
Carlyle Global Market Strategies CLO, Ltd., Series 2019-1A, Class ER(e)  3M US L + 6.94%   07/20/31    1,095,000    1,094,452 
Carlyle Global Market Strategies CLO, Ltd., Series 2019-4A, Class ERR  3M US L + 7.29%   04/22/32    843,000    824,117 
Dryden Senior Loan Fund, Series 2015-38X, Class SUB(g)  N/A(h)   07/15/30    1,415,000    749,950 
Elevation CLO, Ltd., Series 2021-12A, Class E  3M US L + 7.27%   04/20/32    760,000    756,200 

 

 

 

      Maturity   Principal     
Description  Rate  Date(a)   Amount   Value 
COLLATERALIZED LOAN OBLIGATIONS (continued)               
Galaxy XIX CLO, Ltd., Series 2017-19A, Class D1R(e)  3M US L + 6.53%   07/24/30   $735,000   $731,325 
Gallatin CLO IX, Ltd., Series 2018-1A, Class E  3M US L + 5.47%   01/21/28    805,000    804,437 
KKR CLO 10, Ltd., Series 2017-10, Class ER(e)  3M US L + 6.50%   09/15/29    505,000    503,283 
KVK CLO, Ltd., Series 2013-1A, Class ER  3M US L + 5.94%   01/14/28    500,000    499,800 
LCM XXV, Ltd., Series 2017-25X, Class INC(g)  N/A(h)   07/20/30    250,000    80,000 
MAN GLG US CLO, Ltd., Series 2021-1A, Class D  3M US L + 7.39%   07/15/34    521,000    500,681 
Oaktree CLO, Ltd., Series 2019-1A, Class E  3M US L + 6.80%   04/22/30    537,000    500,860 
Oaktree CLO, Ltd., Series 2019-3A, Class E(e)  3M US L + 6.77%   07/20/31    888,000    859,229 
Ocean Trails CLO IX, Series 2020-9A, Class E  3M US L + 6.80%   10/15/29    498,000    500,042 
OCP CLO 2019-16, Ltd.(g)  N/A(h)   01/20/32    602,000    487,620 
OCP CLO, Ltd., Series 2017-6A, Class DR(e)  3M US L + 6.52%   10/17/30    1,275,000    1,269,008 
OZLM Funding IV, Ltd., Series 2017-4A, Class D1R  3M US L + 6.30%   10/22/30    522,000    499,919 
OZLM XI, Ltd., Series 2017-11A, Class DR  3M US L + 7.00%   10/30/30    518,000    501,372 
OZLM XII, Ltd., Series 2015-12A, Class D  3M US L + 5.40%   04/30/27    562,000    559,190 
OZLM XIV, Ltd., Series 2021-14A, Class DRR  3M US L + 7.01%   07/15/34    521,000    500,108 
OZLM XX, Ltd., Series 2018-20A, Class D(e)  3M US L + 5.80%   04/20/31    1,005,000    935,856 
Race Point VIII CLO, Ltd., Series 2017-8A, Class ER(e)  3M US L + 6.85%   02/20/30    640,000    620,992 
Rockford Tower CLO, Ltd., Series 2019-1A, Class SUB(g)  N/A(h)   04/20/34    917,000    746,163 
Romark CLO II, Ltd., Series 2018-2A, Class D(e)  3M US L + 6.25%   07/25/31    531,000    507,264 
RR 2, Ltd., Series 2017-2A, Class SUB(g)  N/A(h)   10/15/17    1,176,000    988,428 
Shackleton CLO, Ltd., Series 2017-8A, Class ER  3M US L + 5.34%   10/20/27    1,000,000    955,600 
Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB(g)  N/A(h)   07/28/31    1,000,000    630,000 
Sound Point CLO III-R, Ltd., Series 2018-2RA, Class E  3M US L + 6.00%   04/15/29    1,500,000    1,327,650 
Sound Point CLO XVII, Series 2017-3A, Class D(e)  3M US L + 6.50%   10/20/30    858,000    826,511 
Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B(i)  3M US L + 0.90%   11/05/35    529,000    141,508 
Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1  3M US L + 0.80%   02/05/36    706,000    254,160 
Wind River CLO, Ltd., Series 2016-1X, Class ER  3M US L + 5.55%   07/15/28    750,000    750,000 
                   
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $23,337,178)            $23,996,488 
                   
            Shares    Value 
PREFERRED STOCKS (0.61%)(b)(j)                  
New York Mortgage Trust, Inc., Series D           8,071   $205,003 
New York Mortgage Trust, Inc., Series E           17,808    451,433 
                   
                   
TOTAL PREFERRED STOCKS (Cost $482,862)               $656,436 

 

   7-Day         
   Yield   Shares   Value 
MONEY MARKET FUNDS (11.92%)               
BlackRock Liquidity Funds T-Fund   0.01%   10,491,102   $10,491,102 
BNY Mellon U.S. Treasury Fund, Institutional Class   0.01%   2,440,554    2,440,554 
                
TOTAL MONEY MARKET FUNDS (Cost $12,931,656)            $12,931,656 
                
              Value 
TOTAL INVESTMENTS (124.99%) (Cost $128,497,308)            $135,589,124 
                
Liabilities in Excess of Other Assets (-24.99%)(k)             (27,109,794)
NET ASSETS (100.00%)            $108,479,330 
                
Percentages above are stated as a percentage of net assets as of July 31, 2021               

 

 

 

Investment Abbreviations:
LIBOR - London Interbank Offered Rate
EURIBOR - Euro Interbank Offered Rate
SONIA IR - Sterling Over Night Index Average
BOBL - German Federal Government Bond
GILT - United Kingdom Federal Government Bond
BBSW - Bank Bill Swap Rate
T-BILL - U.S. Treasury Bill
SOFR - Secured Overnight Financing Rate
 
Reference Rates:
3M GBP L - 3 Month GBP LIBOR as of July 31, 2021 was 0.07%
1M EUR L - 1 Month EURIBOR as of July 31, 2021 was (0.56)%
3M EUR L - 3 Month EURIBOR as of July 31, 2021 was (0.54)%
1M US L - 1 Month USD LIBOR as of July 31, 2021 was 0.09%
3M US L - 3 Month USD LIBOR as of July 31, 2021 was 0.12%
3M T-Bill - 3 Month Treasury Bill as of July 31, 2021 was 0.06%
1M SONIA IR - 1 Month SONIA as of July 31, 2021 was 0.05%
3M SONIA IR - 3 Month SONIA as of July 31, 2021 was 0.05%
1M BBSW - 1 Month BBSW as of July 31, 2021 was 0.02%
30D US SOFR - 30 Day US SOFR as of July 31, 2021 was 0.01%
 

(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. Interest rate shown reflects the rate in effect at July 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(c) Interest only security.
(d) 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, 2021, the aggregate market value of those securities was $68,449,358, representing 63.10% of net assets.
(e) On July 31, 2021, all or a portion of these securities were pledged as collateral for reverse repurchase agreements in the amount of $50,495,898.
(f) Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which was in effect at July 31, 2021.
(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) This security is a residual or equity position that does not have a stated interest rate. This residual or equity position is entitled to recurring distributions which are generally equal to the remaining cash flow of payments made by underlying securities less contractual payments to debt holders and fund expenses.
(i) Security was in default as of July 31, 2021 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		   Value and Unrealized Appreciation/ (Depreciation) 
2-YEAR U.S. TREASURY NOTE FUTURES  Wells Fargo Securities, LLC   Long    8   September 2021  $1,765,250   $(678)
5-YEAR U.S. TREASURY NOTE FUTURES  Wells Fargo Securities, LLC   Short    350   September 2021   (43,555,859)   (199,244)
AUD/USD CURRENCY FUTURES  Wells Fargo Securities, LLC   Short    23   September 2021   (1,687,280)   71,906 
EUR/USD CURRENCY FUTURES  Wells Fargo Securities, LLC   Short    55   September 2021   (8,157,875)   229,296 
EURO BOBL FUTURES  Wells Fargo Securities, LLC   Short    15   September 2021   (2,408,570)   (6,534)
GBP/USD CURRENCY FUTURES  Wells Fargo Securities, LLC   Short    128   September 2021   (11,114,400)   221,926 
LONG GILT FUTURES  Wells Fargo Securities, LLC   Short    1   September 2021   (180,409)   (440)
US 10-YR U.S. TREASURY NOTE FUTURES  Wells Fargo Securities, LLC   Short    7   September 2021   (941,172)   (1,750)
                   $(66,280,315)  $314,482 

 

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, 2021(b)   Notional Amount(c)   Value   Upfront Premiums Received/(Paid)   Unrealized Appreciation/ (Depreciation) 
The Markit CDX High Yield Series 33 Index Tranche 15-25  Morgan Stanley   5.00%   USD   6/20/24   2.18%   5,000,000   $(195,507)  $125,000   $(70,507)
                             $(195,507)  $125,000   $(70,507)

 

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, 2021 (Unaudited)

 

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 at least 5% of outstanding Shares.

 

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) as well as a Retail Class (“Class A-2”) Shares (which are subject to a front-end sales charge and a combined asset-based distribution and shareholder servicing fee) of the Fund are being offered on a continuous basis at the NAV per Share calculated each day. As of July 31, 2021, only the Class I and Class A-2 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: Class I and Class A-2 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 at each day's end .

 

 

 

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, 1WS may fair value certain investments using internal manager marks. As of July 31, 2021, two investments held by the Fund were valued 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, 2021:

 

Investments in Securities at Value  Level 1   Level 2   Level 3   Total 
Residential Mortgage-Backed Securities  $–   $36,849,405   $–   $36,849,405 
Commercial Mortgage-Backed Securities   –    15,036,667    –    15,036,667 
Asset-Backed Securities   –    36,205,214    9,913,258    46,118,472 
Collateralized Loan Obligations   –    20,314,327    3,682,161    23,996,488 
Preferred Stocks   656,436    –    –    656,436 
Money Market Funds   12,931,656    –    –    12,931,656 
Total  $13,588,092   $108,405,613   $13,595,419   $135,589,124 
Derivative Instruments                    
Assets:
Future Contracts  $523,128   $–   $–   $523,128 
Liabilities:
Credit Default Swap Contracts  $–    (70,507)   –    (70,507)
Future Contracts   (208,646)   –    –    (208,646)
Total  $314,482   $(70,507)  $–   $243,975 

 

 

 

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, 2021 of the Fund’s Level 3 portfolio investments:

1WS Credit Income Fund  Asset-Backed Securities   Collateralized Loan Obligations   Total 
 Balance as of October 31, 2020  $2,018,243   $-   $2,018,243 
 Accrued discount/ premium   (465,001)   (59,887)   (490,704)
 Realized Gain/(Loss)   -    (43,729)   - 
 Change in Unrealized Appreciation/(Depreciation)   (701,644)   130,833    (671,554)
 Purchases   9,061,867    2,927,824    11,989,691 
 Sales Proceeds   (207)   (159,810)   (207)
 Transfer into Level 3   -    886,930    749,950 
 Transfer out of Level 3   -    -    - 
 Balance as of July 31, 2021  $9,913,258   $3,682,161   $13,595,419 
                
Net change in unrealized appreciation /(depreciation)
attributable to Level 3 investments held at July 31, 2021		  $(599,645)   $118,858   $(480,787)

 

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, 2021:

 

Quantitative Information about Level 3 Fair Value Measurements

 

Asset Class Fair Value Valuation Technique Unobservable Inputs Value/Range
Asset-Backed Securities $8,991,754 Broker pricing Indicative quotes $92-$97,082(1)
Asset-Backed Securities $921,504 Discounted cash flow Loss severity analysis $10-$100(2)
Collateralized Loan Obligations $3,682,161 Broker pricing Indicative quotes $32-$810

 

(1)Input is based on the total market value of the outstanding loan, of which the Fund owns between 0 - 10%.
(2)Input is based on a 0% - 95% loss severity analysis.