N-Q 1 wptrust-nq_083119.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

 

  

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

  

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

 

Investment Company Act file number: 811-23086

 

WP Trust

 (Exact name of registrant as specified in charter)

  

4300 Shawnee Mission Parkway, Suite 100, Fairway, KS  66205
(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

Corporation Trust Center

1209 Orange St.

Wilmington, DE 19801

  

With Copies To: 

John H. Lively

Practus, LLP

11300 Tomahawk Creek Parkway, Suite 310

Leawood, KS 66211

 

(Name and address of agent for service)

  

Registrant’s telephone number, including area code: 877.244.6235

 

Date of fiscal year end: 11/30/2019

 

Date of reporting period: 8/31/2019

 

 

 

 

Item 1.Schedules of Investments (Unaudited)

 

The Trust’s schedules of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

 

2

 

 

WP TRUST
WP SMALLER COMPANIES INCOME PLUS FUND
SCHEDULE OF INVESTMENTS
August 31, 2019 (Unaudited)

 

 

   Shares   Fair Value 
         
COMMON STOCKS - 14.47%          
           
Healthcare - Services - 4.10%          
Alphatec Holdings, Inc. (a) (b)   70,000   $366,100 
           
Healthcare - Services - 10.37%          
Catasys, Inc. (a) (b)   66,000    926,640 
           
TOTAL COMMON STOCKS (Cost $678,092)        1,292,740 
           
EXCHANGE-TRADED FUND - 98.27%          
           
Equity Fund - 98.27%          
iShares Russell 2000 ETF (a)   59,000    8,781,560 
           
TOTAL EXCHANGE-TRADED FUND (Cost $7,835,668)        8,781,560 
           
OPTIONS PURCHASED (Cost $66,256) - 0.50% (c)        44,820 
           
SHORT-TERM INVESTMENT - 1.92%          
Federated Government Obligations Fund - Institutional Class, 1.99% (d)   171,870    171,870 
TOTAL SHORT-TERM INVESTMENT (Cost $171,870)        171,870 
           
TOTAL INVESTMENTS (Cost $8,751,886) – 115.16%       $10,290,990 
           
OPTIONS WRITTEN (Proceeds $1,052,536) - (16.43%) (e)        (1,468,430)
           
OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 1.27%        113,650 
           
NET ASSETS - 100%       $8,936,210 

 

(a) All or a portion of the security is segregated as collateral for options written.

(b) Non-income producing security.

(c) Please refer to the Schedule of Options Purchased for details of options purchased.

(d) Rate shown represents the 7-day effective yield at August 31, 2019, is subject to change and resets daily.

(e) Please refer to the Schedule of Options Written for details of options written.

ETF - Exchange-Traded Fund

 

The accompanying notes are an integral part of these financial statements.

 

3

 

 

WP TRUST
WP SMALLER COMPANIES INCOME PLUS FUND
SCHEDULE OF OPTIONS PURCHASED
August 31, 2019 (Unaudited)

 

 

OPTIONS PURCHASED - 0.50%                    
       Notional   Exercise         
PUT OPTIONS PURCHASED - 0.50%  Contracts 1   Amount   Price   Expiration   Fair Value 
                     
CBOE S&P 500 Index   108  $24,300,000  $2,250.00   9/30/2019   $7,020
CBOE S&P 500 Index   108   $24,840,000   $2,300.00    10/31/2019    37,800 
TOTAL PUT OPTIONS PURCHASED (Cost $66,256)                       44,820 
                          
TOTAL OPTIONS PURCHASED (Cost $66,256)                      $44,820 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

WP TRUST
WP SMALLER COMPANIES INCOME PLUS FUND
SCHEDULE OF OPTIONS WRITTEN
August 31, 2019 (Unaudited)

 

 

OPTIONS WRITTEN - (16.43)%                    
       Notional   Exercise         
CALL OPTIONS WRITTEN - (4.49)%  Contracts 1   Amount   Price   Expiration   Fair Value 
                     
CBOE S&P 500 Index   41   $13,017,500   $3,175.00    12/18/2020   $401,390 
TOTAL CALL OPTIONS WRITTEN (Proceeds $295,765)                       401,390 
                          
PUT OPTIONS WRITTEN - (11.94)%                         
CBOE S&P 500 Index   108   $27,540,000   $2,550.00    9/18/2020    1,067,040 
TOTAL PUT OPTIONS WRITTEN (Proceeds $756,771)                       1,067,040 
                          
TOTAL OPTIONS WRITTEN (Proceeds $1,052,536)                      $1,468,430 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

5

 

 

WP TRUST 

WP INTERNATIONAL COMPANIES INCOME PLUS FUND 

SCHEDULE OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

 

EXCHANGE-TRADED FUNDS- 114.27%  Shares   Fair Value 
         
Equity Funds - 114.27%          
iShares MSCI EAFE ETF (a)   155,000   $9,797,550 
WisdomTree Emerging Markets SmallCap Dividend Fund (a)   9,850    438,424 
WisdomTree International SmallCap Dividend Fund (a)   6,216    381,227 
         10,617,201 
           
TOTAL EXCHANGE-TRADED FUNDS (Cost $10,238,807)        10,617,201 
           
OPTIONS PURCHASED (Cost $69,323) - 0.50% (b)        46,895 
           
SHORT-TERM INVESTMENT - 1.41%          
Federated Government Obligations Fund - Institutional Class, 1.99% (c)   130,593    130,593 
TOTAL SHORT-TERM INVESTMENT (Cost $130,593)        130,593 
           
TOTAL INVESTMENTS (Cost $10,438,723) – 116.18%       $10,794,689 
           
OPTIONS WRITTEN (Proceeds $1,109,203) - (16.65%) (d)        (1,547,200)
           
OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 0.47%        43,455 
           
NET ASSETS - 100%       $9,290,944 

 

(a) All or a portion of the security is segregated as collateral for options written. 

(b) Please refer to the Schedule of Options Purchased for details of options purchased. 

(c) Rate shown represents the 7-day effective yield at August 31, 2019, is subject to change and resets daily. 

(d) Please refer to the Schedule of Options Written for details of options written.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

WP TRUST 

WP INTERNATIONAL COMPANIES INCOME PLUS FUND 

SCHEDULE OF OPTIONS PURCHASED 

August 31, 2019 (Unaudited)

 

  

OPTIONS PURCHASED - 0.50%                    
                     
PUT OPTIONS PURCHASED - 0.50%  Contracts 1  

Notional

Amount

  

Exercise

Price

   Expiration   Fair Value 
                     
CBOE S&P 500 Index   113   $25,425,000   $2,250.00    9/30/2019   $7,345 
CBOE S&P 500 Index   113   $25,990,000   $2,300.00    10/31/2019    39,550 
TOTAL PUT OPTIONS PURCHASED (Cost $69,323)                       46,895 
                          
TOTAL OPTIONS PURCHASED (Cost $69,323)                      $46,895 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

7

 

 

WP TRUST 

WP INTERNATIONAL COMPANIES INCOME PLUS FUND 

SCHEDULE OF OPTIONS WRITTEN 

August 31, 2019 (Unaudited)

 

 

OPTIONS WRITTEN - (16.65)%                    
                     
CALL OPTIONS WRITTEN - (4.63)%  Contracts 1  

Notional

Amount

  

Exercise

Price

   Expiration   Fair Value 
                     
CBOE S&P 500 Index   44   $13,970,000   $3,175.00    12/18/2020   $430,760 
TOTAL CALL OPTIONS WRITTEN (Proceeds $317,406)                       430,760 
                          
PUT OPTIONS WRITTEN - (12.02)%                         
CBOE S&P 500 Index   113   $28,815,000   $2,550.00    9/18/2020    1,116,440 
TOTAL PUT OPTIONS WRITTEN (Proceeds $791,797)                       1,116,440 
                          
TOTAL OPTIONS WRITTEN (Proceeds $1,109,203)                      $1,547,200 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

WP TRUST 

WP INCOME PLUS FUND 

SCHEDULE OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

EXCHANGE-TRADED FUNDS - 113.53%  Shares   Fair Value 
         
Debt Funds - 113.53%          
iShares iBoxx $ High Yield Corporate Bond ETF (a)   120,400   $10,494,064 
SPDR Bloomberg Barclays High Yield Bond ETF (a)   61,000    6,637,410 
         17,131,474 
           
TOTAL EXCHANGE-TRADED FUNDS (Cost $16,976,637)        17,131,474 
           
CLOSED END FUND- 1.91%          
           
Closed End Fund - 1.91%          
Alpine Total Dynamic Dividend Fund (a)   36,000    288,720 
           
TOTAL CLOSED END FUND (Cost $302,045)        288,720 
           
OPTIONS PURCHASED (Cost $133,739) - 0.60% (b)        90,470 
           
SHORT-TERM INVESTMENT - 0.62%          
Federated Government Obligations Fund - Institutional Class, 1.99% (c)   93,554    93,554 
TOTAL SHORT-TERM INVESTMENT (Cost $93,554)        93,554 
           
TOTAL INVESTMENTS (Cost $17,505,975) – 116.66%       $17,604,218 
           
OPTIONS WRITTEN (Proceeds $1,794,436) - (16.59%) (d)        (2,503,130)
           
LIABILITIES IN EXCESS OF OTHER ASSETS, NET - (0.07%)        (11,402)
           
NET ASSETS - 100%       $15,089,686 

 

(a) All or a portion of the security is segregated as collateral for options written. 

(b) Please refer to the Schedule of Options Purchased for details of options purchased. 

(c) Rate shown represents the 7-day effective yield at August 31, 2019, is subject to change and resets daily. 

(d) Please refer to the Schedule of Options Written for details of options written.

 

The accompanying notes are an integral part of these financial statements.

 

9

 

 

WP TRUST 

WP INCOME PLUS FUND 

SCHEDULE OF OPTIONS PURCHASED 

August 31, 2019 (Unaudited)

 

OPTIONS PURCHASED - 0.60%                    
PUT OPTIONS PURCHASED - 0.60%  Contracts 1   Notional
Amount		   Exercise
Price		   Expiration   Fair Value 
                     
CBOE S&P 500 Index   218   $49,050,000   $2,250.00    9/30/2019   $14,170 
CBOE S&P 500 Index   218   $50,140,000   $2,300.00    10/31/2019    76,300 
TOTAL PUT OPTIONS PURCHASED (Cost $133,739)                       90,470 
                          
TOTAL OPTIONS PURCHASED (Cost $133,739)                      $90,470 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

WP TRUST 

WP INCOME PLUS FUND 

SCHEDULE OF OPTIONS WRITTEN 

August 31, 2019 (Unaudited)

 

OPTIONS WRITTEN - (16.59)%                    
CALL OPTIONS WRITTEN - (4.61)%  Contracts 1   Notional
Amount		   Exercise
Price		   Expiration   Fair Value 
                     
CBOE S&P 500 Index   71   $22,542,500   $3,175.00    12/18/2020   $695,090 
TOTAL CALL OPTIONS WRITTEN (Proceeds $512,177)                       695,090 
                          
PUT OPTIONS WRITTEN - (11.98)%                         
CBOE S&P 500 Index   183   $46,665,000   $2,550.00    9/18/2020    1,808,040 
TOTAL PUT OPTIONS WRITTEN (Proceeds $1,282,259)                       1,808,040 
                          
TOTAL OPTIONS WRITTEN (Proceeds $1,794,436)                      $2,503,130 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

11

 

 

WP TRUST

WP LARGE CAP INCOME PLUS FUND

SCHEDULE OF INVESTMENTS

August 31, 2019 (Unaudited)

 

 

COMMON STOCKS - 105.68%  Shares   Fair Value 
         
Aerospace & Defense - 4.25%          
Lockheed Martin Corp. (b)   4,200   $1,613,262 
           
Agriculture - 2.07%          
Altria Group, Inc. (b)   15,400    673,596 
Archer-Daniels-Midland Co. (b)   3,000    114,150 
         787,746 
Banks - 22.03%          
Bank of America Corp. (b)   69,000    1,898,190 
BB&T Corp. (b)   4,900    233,485 
Citigroup, Inc. (b)   21,000    1,351,350 
Goldman Sachs Group, Inc. (b)   2,600    530,166 
JPMorgan Chase & Co. (b)   17,200    1,889,592 
Lloyds Banking Group PLC - ADR (b)   58,000    138,620 
PNC Financial Services Group, Inc. (b)   2,300    296,539 
Wells Fargo & Co. (b)   43,600    2,030,452 
         8,368,394 
Beverages - 5.17%          
Diageo PLC - ADR (b)   5,800    993,424 
PepsiCo, Inc. (b)   7,100    970,783 
         1,964,207 
Biotechnology - 0.53%          
Biogen, Inc. (a) (b)   300    65,925 
Corteva, Inc. (b)   2,500    73,300 
Gilead Sciences, Inc. (b)   1,000    63,540 
         202,765 
Building Materials - 0.22%          
Johnson Controls International PLC (b)   2,000    85,380 
           
Computers - 7.60%          
Apple, Inc. (b)   10,500    2,191,770 
International Business Machines Corp. (b)   4,700    636,991 
Leidos Holdings, Inc. (b)   665    58,094 
         2,886,855 
Diversified Financial Services - 3.45%          
BlackRock, Inc. (b)   3,100    1,309,936 
           
Food - 3.54%          
Sysco Corp. (b)   18,100    1,345,373 
           
Healthcare - Products - 2.80%          
Alphatec Holdings, Inc. (a) (b)   50,000    261,500 
Baxter International, Inc. (b)   9,100    800,345 
         1,061,845 
Healthcare - Services - 4.80%          
Catasys, Inc. (a) (b)   130,000    1,825,200 

 

12

 

 

WP TRUST

WP LARGE CAP INCOME PLUS FUND

SCHEDULE OF INVESTMENTS

August 31, 2019 (Unaudited)

 

 

COMMON STOCKS - 105.68% (Continued)  Shares   Fair Value 
         
Housewares - 0.84%          
Scotts Miracle-Gro Co. (b)   3,000   $318,960 
           
Insurance - 3.69%          
Berkshire Hathaway, Inc. - Class B (a) (b)   6,900    1,403,529 
           
Internet - 0.46%          
Alibaba Group Holding Ltd. - ADR (a) (b)   1,000    175,030 
           
Lodging - 0.37%          
MGM Resorts International (b)   5,000    140,300 
           
Media - 1.17%          
Comcast Corp. - Class A (b)   10,000    442,600 
           
Oil & Gas - 14.65%          
BP PLC - ADR (b)   40,000    1,478,000 
Chevron Corp. (b)   8,900    1,047,708 
China Petroleum & Chemical Corp. - ADR (b)   5,500    319,935 
ConocoPhillips (b)   18,000    939,240 
Exxon Mobil Corp. (b)   26,000    1,780,480 
         5,565,363 
Pharmaceuticals - 0.80%          
AstraZeneca PLC - ADR (b)   2,800    126,084 
Pfizer, Inc. (b)   5,000    177,750 
         303,834 
Retail - 12.04%          
McDonald’s Corp. (b)   10,800    2,354,076 
Target Corp. (b)   9,000    963,360 
Walmart, Inc. (b)   11,000    1,256,860 
         4,574,296 
Semiconductors - 4.39%          
Intel Corp. (b)   32,000    1,517,120 
Skyworks Solutions, Inc. (b)   2,000    150,540 
         1,667,660 
Software - 8.31%          
Microsoft Corp. (b)   22,900    3,156,994 
           
Telecommunications - 2.50%          
China Mobile Ltd. - ADR (b)   23,000    950,130 
           
           
TOTAL COMMON STOCKS (Cost $28,980,468)        40,149,659 

 

13

 

 

WP TRUST

WP LARGE CAP INCOME PLUS FUND

SCHEDULE OF INVESTMENTS

August 31, 2019 (Unaudited)

 

 

   Shares   Fair Value 
CLOSED-END FUNDS - 4.19%          
Aberdeen Total Dynamic Dividend Fund (b)   30,000   $240,600 
Boulder Growth & Income Fund, Inc. (b)   97,000    1,044,690 
Special Opportunities Fund, Inc. (b)   22,185    306,597 
           
TOTAL CLOSED-END FUNDS (Cost $1,310,413)        1,591,887 
           
EXCHANGE-TRADED FUNDS - 3.37%          
           
Equity Funds - 3.37%          
iShares MSCI EAFE ETF (b)   10,200    644,742 
iShares U.S. Financial Services ETF (b)   4,800    637,056 
         1,281,798 
           
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,041,345)        1,281,798 
           
OPTIONS PURCHASED (Cost $284,687) - 0.47% (c)        179,695 
           
SHORT-TERM INVESTMENT - 1.34%          
Federated Government Obligations Fund - Institutional Shares, 1.99% (d)   510,270    510,270 
TOTAL SHORT-TERM INVESTMENT (Cost $510,270)        510,270 
           
TOTAL INVESTMENTS (Cost $32,127,183) – 115.05%       $43,713,309 
           
OPTIONS WRITTEN (Proceeds $4,245,564) - (15.74)% (e)        (5,981,500)
           
OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 0.69%        260,705 
           
NET ASSETS - 100%       $37,992,514 

 

(a) Non-income producing security.

(b) All or a portion of the security is segregated as collateral for options written.

(c) Please refer to the Schedule of Options Purchased for details of options purchased.

(d) Rate shown represents the 7-day effective yield at August 31, 2019, is subject to change and resets daily.

(e) Please refer to the Schedule of Options Written for details of options written.

ADR - American Depositary Receipt.

ETF - Exchange-Traded Fund

PLC - Public Limited Company

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

WP TRUST

WP LARGE CAP INCOME PLUS FUND

SCHEDULE OF OPTIONS PURCHASED

August 31, 2019 (Unaudited)

 

 

OPTIONS PURCHASED - 0.47%                    
       Notional   Exercise         
PUT OPTIONS PURCHASED - 0.47%  Contracts 1   Amount   Price   Expiration   Fair Value 
                     
CBOE S&P 500 Index   433   $97,425,000   $2,250.00    9/30/2019   $28,145 
CBOE S&P 500 Index   433   $99,590,000   $2,300.00    10/31/2019    151,550 
TOTAL PUT OPTIONS PURCHASED (Cost $284,687)                       179,695 
                          
TOTAL OPTIONS PURCHASED (Cost $284,687)                      $179,695 

 

1 Each option contract is equivalent to 100 units of the underlying Index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

15

 

 

WP TRUST

WP LARGE CAP INCOME PLUS FUND

SCHEDULE OF OPTIONS WRITTEN

August 31, 2019 (Unaudited)

 

 

OPTIONS WRITTEN - (15.74)%                    
                     
CALL OPTIONS WRITTEN - (4.48)%      Notional   Exercise         
   Contracts 1   Amount   Price   Expiration   Fair Value 
                     
CBOE S&P 500 Index   174   $55,245,000   $3,175.00    12/18/2020   $1,703,460 
TOTAL CALL OPTIONS WRITTEN (Proceeds $1,219,525)                       1,703,460 

 

PUT OPTIONS WRITTEN - (11.26%)      Notional   Exercise         
   Contracts 1   Amount   Price   Expiration   Fair Value 
                     
CBOE S&P 500 Index   206   $50,985,000   $2,475.00    9/18/2020    4,278,040 
TOTAL PUT OPTIONS WRITTEN (Proceeds $3,026,039)                       4,278,040 
                          
TOTAL OPTIONS WRITTEN (Proceeds $4,245,564)                      $5,981,500 

 

1 Each option contract is equivalent to 100 units of the underlying index. All options are non-income producing.

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

WP Trust 

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

The following is a summary of significant accounting policies consistently followed by the WP Family of Funds (the “Funds”). The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds are investment companies that follow the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to investment companies.

 

Processes and Structure

 

The Funds’ Board of Trustees have adopted guidelines for valuing securities and other derivative instruments including in circumstances in which market quotes are not readily available, and has delegated authority to the Adviser to apply those guidelines in determining fair value prices, subject to review by the Board of Trustees.

 

Hierarchy of Fair Value Inputs

 

The Funds utilize various methods to measure the fair value of all investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:

 

●Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
●Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
●Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

Fair Value Measurements

 

A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.

 

Equity securities (common stock, CEFs and ETFs) – Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, ETFs, and the movement of certain indexes of securities based on a statistical analysis of the historical relationship and they are categorized in Level 2. Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized in Level 2.

 

Money market funds – Money market funds are valued at their net asset value and are categorized as Level 1.

 

17

 

 

WP Trust

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

Derivative instruments – Listed derivatives, including options, that are actively traded, are valued based on quoted prices from the exchange and categorized in Level 1 of the fair value hierarchy. Options held by the Funds for which no current quotations are readily available and which are not traded on the valuation date are valued at the mean price and are categorized within Level 2 of the fair value hierarchy. Over-the-counter (OTC) derivative contracts include forward, swap, and option contracts related to interest rates; foreign currencies; credit standing of reference entities; equity prices; or commodity prices, and warrants on exchange-traded securities. Depending on the product and terms of the transaction, the fair value of the OTC derivative products can be modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments, and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. OTC derivative products valued using pricing models are categorized within Level 2 of the fair value hierarchy.

 

If the Adviser decides that a price provided by the pricing service does not accurately reflect the fair value of the securities, when prices are not readily available from a pricing service, or when certain restricted or illiquid securities are being valued, these securities are valued at fair value as determined in good faith by the Adviser, in conformity with guidelines adopted by and subject to review of the Board and the Fair Valuation Committee. These securities will be categorized as Level 3 securities.

 

The following tables summarize the inputs used to value the Funds’ assets and liabilities measured at fair value as of August 31, 2019.

 

WP Smaller Companies Income Plus Fund

 

Financial Instruments – Assets

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Common Stocks (2)  $1,292,740   $—   $—   $1,292,740 
Exchange-Traded Funds (2)   8,781,560    —    —    8,781,560 
Put Options Purchased   44,820    —    —    44,820 
Short-Term Investment   171,870    —    —    171,870 
Total Assets  $10,290,990   $—   $—   $10,290,990 
                     

WP Smaller Companies Income Plus Fund

 

Derivative Instruments – Liabilities

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Call Options Written  $401,390   $—   $—   $401,390 
Put Options Written   1,067,040    —    —    1,067,040 
Total Liabilities  $1,468,430   $—   $—   $1,468,430 
                     

WP International Companies Income Plus Fund

 

Financial Instruments – Assets

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Exchange-Traded Funds (2)  $10,617,201   $—   $—   $10,617,201 
Put Options Purchased   46,895    —    —    46,895 
Short-Term Investment   130,593    —    —    130,593 
Total Assets  $10,794,689   $—   $—   $10,794,689 
                     

  

18

 

 

WP Trust 

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

WP International Companies Income Plus Fund

 

Derivative Instruments – Liabilities

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Call Options Written  $430,760   $—   $—   $430,760 
Put Options Written   1,116,440    —    —    1,116,440 
Total Liabilities  $1,547,200   $—   $—   $1,547,200 
                     

WP Income Plus Fund

 

Financial Instruments – Assets

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Closed-End Funds (2)  $288,720   $—   $—   $288,720 
Exchange-Traded Funds (2)   17,131,474    —    —    17,131,474 
Put Options Purchased   90,470    —    —    90,470 
Short-Term Investment   93,554    —    —    93,554 
Total Assets  $17,604,218   $—   $—   $17,604,218 
                     

WP Income Plus Fund

 

Derivative Instruments – Liabilities

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Call Options Written  $695,090   $—   $—   $695,090 
Put Options Written   1,808,040    —    —    1,808,040 
Total Liabilities  $2,503,130   $—   $—   $2,503,130 
                     

WP Large Cap Income Plus Fund

 

Financial Instruments – Assets

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Common Stocks (2)  $40,149,659   $—   $—   $40,149,659 
Closed-End Funds (2)   1,591,887    —    —    1,591,887 
Exchange-Traded Funds (2)   1,281,798              1,281,798 
Put Options Purchased   179,695    —    —    179,695 
Short-Term Investment   510,270    —    —    510,270 
Total Assets  $43,713,309   $—   $—   $43,713,309 
                     

 

19

 

 

WP Trust 

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited) 

 

WP Large Cap Income Plus Fund

 

Derivative Instruments – Liabilities

 

Security Classification (1)  Level 1   Level 2   Level 3   Totals 
Call Options Written  $1,703,460   $—   $—   $1,703,460 
Put Options Written   4,278,040    —    —    4,278,040 
Total Liabilities  $5,981,500   $—   $—   $5,981,500 
                     

 

(1)       As of and during the nine month period ended August 31, 2019, the Funds held no securities that were considered to be “Level 3” securities (those valued using significant unobservable inputs). Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.

 

(2)       All closed-end funds (“CEFs”) and exchange traded funds (“ETFs”) held in the Funds are Level 1 securities. For a detailed break-out of CEFs and ETFs by investment type, please refer to the Schedules of Investments.

 

There were no transfers into and out of any Level during the nine month period ended August 31, 2019. It is the Funds’ policy to recognize transfers between Levels at the end of the reporting period.

 

Options – The Funds’ option strategies consist of selling and purchasing put and call options on equity indexes, bond indexes and exchange-traded funds (“ETFs”). The sale of put options generates income for the Funds, but exposes them to the risk of declines in the value of the underlying assets. The risk in purchasing options is limited to the premiums paid by the Funds for the options. The sale of call options generates income for the Funds, but may limit the Funds’ participation in equity market gains. The Funds’ investment adviser seeks to reduce the overall volatility of returns for the Funds by managing a portfolio of options. When the Funds write or purchase an option, an amount equal to the premium received or paid by the Funds is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Funds on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Funds have realized a gain or a loss on investment transactions.

 

Purchasing and selling put and call options are highly specialized activities and entail greater than ordinary investment risks. The successful use of options depends in part on the ability of the investment adviser to manage future price fluctuations and the degree of correlation between the options and securities (or currency) markets. By selling put options on equity securities, the Funds give up the opportunity to benefit from potential increases in the value of the underlying securities above the strike prices of the sold put options, but continue to bear the risk of declines in the value of underlying securities held by the Funds. The Funds will receive a premium from the purchaser of a covered call option sold, which they retain whether or not the option is exercised. The premium received from the sold options may not be sufficient to offset any losses sustained from the volatility of the underlying equity securities over time.

 

Exchange-Traded and Closed-End Funds – The Funds may invest in Exchange-Traded Funds (“ETFs”) and Closed-End Funds (“CEFs”). ETFs and CEFs are registered investment companies and incur fees and expenses such as operating expenses, licensing fees, registration fees, trustees fees, and marketing expenses, and ETF and CEF shareholders, such as a Fund, pay their proportionate share of these expenses. Your cost of investing in a Fund will generally be higher than the cost of investing directly in ETFs and CEFs. By investing in a Fund, you will indirectly bear fees and expenses charged by the underlying ETFs and CEFs in which a Fund invests in addition to a Fund’s direct fees and expenses. Also, with respect to dividends paid by the ETFs and CEFs, it is possible for these dividends to exceed the underlying investments’ taxable earnings and profits resulting in the excess portion of such dividends being designated as a return of capital. Distributions received from investments in securities that represent a return of capital or capital gains are recorded as a reduction of the cost of investments or as a realized gain, respectively.

 

20

 

 

WP Trust

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

The Funds may invest a significant portion of their assets in shares of one or more Investment Companies (i.e., ETFs). From time to time, the Funds may invest greater than 25% of their net assets in one security. As of August 31, 2019, the iShares Russell 2000 ETF represented 98.27% of the Smaller Companies Fund’s net assets, the iShares MSCI EAFE ETF represented 105.45% of the International Companies Fund’s net assets and the iShares iBoxx $ High Yield Corporate Bond ETF and the SPDR Bloomberg Barclays High Yield Bond ETF represented 69.54% and 43.99% of the Income Fund’s net assets, respectively. Additional information for these securities, including their financial statements, is available from the Securities and Exchange Commission’s website at www.sec.gov.

 

Derivative Transactions

 

As of August 31, 2019, portfolio securities were held in escrow by the custodian as cover for options written by the Funds with values as follows:

 

   Value 
WP Smaller Companies Income Plus Fund  $10,074,300 
WP International Companies Income Plus Fund   10,617,201 
WP Income Plus Fund   17,420,194 
WP Large Cap Income Plus Fund   43,023,344 

 

The average monthly notional value of options contracts purchased and written by each Fund during the nine month period ended August 31, 2019 were as follows:

 

WP Smaller Companies Income Plus Fund

  Average Notional Value 
      
Put Options Purchased  $54,295,000 
Call Options Written   9,359,000 
Put Options Written   24,741,250 

 

WP International Companies Income Plus Fund

  Average Notional Value 
      
Put Options Purchased  $58,394,000 
Call Options Written   10,961,500 
Put Options Written   27,382,500 

 

WP Income Plus Fund

  Average Notional Value 
      
Put Options Purchased  $115,979,500 
Call Options Written   18,061,750 
Put Options Written   45,535,000 

 

WP Large Cap Income Plus Fund

  Average Notional Value 
      
Put Options Purchased  $215,463,250 
Call Options Written   44,000,750 
Put Options Written   100,709,750 

 

As of August 31, 2019, the location on the Statements of Assets and Liabilities for financial derivative instrument fair values is as follows:

 

WP Smaller Companies Income Plus Fund:               
Assets   Location   Equity Contracts   Total 
Put options purchased   Investments, at value   $44,820   $44,820 
Total Assets       $44,820   $44,820 

 

21

 

 

WP Trust

 

WP Family of Funds 

NOTES TO THE SCHEDULES OF INVESTMENTS 

August 31, 2019 (Unaudited)

 

Liabilities    Location    Equity Contracts   Total 
Call options written    Options written, at value    $401,390   $401,390 
Put options written    Options written, at value     1,067,040    1,067,040 
Total Liabilities         $1,468,430   $1,468,430 

 

WP International Companies Income Plus Fund:                 
Assets    Location    Equity Contracts   Total 
Put options purchased    Investments, at value    $46,895   $46,895 
Total Assets         $46,895   $46,895 
                  
Liabilities    Location    Equity Contracts   Total 
Call options written    Options written, at value    $430,760   $430,760 
Put options written    Options written, at value     1,116,440    1,116,440 
Total Liabilities         $1,547,200   $1,547,200 

 

WP Income Plus Fund:               
Assets    Location    Equity Contracts   Total 
Put options purchased    Investments, at value    $90,470   $90,470 
Total Assets         $90,470   $90,470 
                  
Liabilities    Location    Equity Contracts   Total 
Call options written    Options written, at value    $695,090   $695,090 
Put options written    Options written, at value     1,808,040    1,808,040 
Total Liabilities         $2,503,130   $2,503,130 

 

WP Large Cap Income Plus Fund:               
Assets    Location    Equity Contracts   Total 
Put options purchased    Investments, at value    $179,695   $179,695 
Total Assets         $179,695   $179,695 
                  
Liabilities    Location    Equity Contracts   Total 
Call options written    Options written, at value    $1,703,460   $1,703,460 
Put options written    Options written, at value     4,278,040    4,278,040 
Total Liabilities         $5,981,500   $5,981,500 

 

Realized and unrealized gains and losses on derivatives contracts entered into by the Funds during the nine month period ended August 31, 2019, are recorded in the following locations in the Statements of Operations:

 

WP Smaller Companies Income Plus Fund:               
Net change in unrealized appreciation/(depreciation) on:    Location    Equity Contracts   Total 
Put options purchased    Options purchased    $8,197   $8,197 
Call options written    Options written     (195,449)   (195,449)
Put option written    Options written     73,221    73,221 
          $(114,031)  $(114,031)

 

22

 

 

WP Trust

 

WP Family of Funds

NOTES TO THE SCHEDULES OF INVESTMENTS

August 31, 2019 (Unaudited)

 

Net realized gain (loss) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $(341,297)  $(341,297)
Call options written  Options written   97,693    97,693 
Put option written  Options written   513,729    513,729 
      $270,125   $270,125 

 

WP International Companies Income Plus Fund:             
Net change in unrealized appreciation/(depreciation) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $12,248   $12,248 
Call options written  Options written   (260,338)   (260,338)
Put option written  Options written   123,589    123,589 
      $(124,501)  $(124,501)

 

Net realized gain (loss) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $(321,633)  $(321,633)
Call options written  Options written   162,379    162,379 
Put option written  Options written   499,255    499,255 
      $340,001   $340,001 

 

WP Income Plus Fund:           
Net change in unrealized appreciation/(depreciation) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $26,085   $26,085 
Call options written  Options written   (467,900)   (467,900)
Put option written  Options written   224,505    224,505 
      $(217,310)  $(217,310)

 

Net realized gain (loss) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $(644,967)  $(644,967)
Call options written  Options written   356,907    356,907 
Put option written  Options written   851,662    851,662 
      $563,602   $563,602 

 

WP Large Cap Income Plus Fund:           
Net change in unrealized appreciation/(depreciation) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $16,488   $16,488 
Call options written  Options written   (1,366,974)   (1,366,974)
Put option written  Options written   208,155    208,155 
      $(1,142,331)  $(1,142,331)

 

Net realized gain (loss) on:  Location  Equity Contracts   Total 
Put options purchased  Options purchased  $(1,141,298)  $(1,141,298)
Call options written  Options written   1,372,052    1,372,052 
Put option written  Options written   2,086,697    2,086,697 
      $2,317,451   $2,317,451 

 

23

 

 

WP Trust

 

WP Family of Funds

NOTES TO THE SCHEDULES OF INVESTMENTS

August 31, 2019 (Unaudited)

 

The following tables present the Funds’ derivatives available for offset under a master netting arrangement net of collateral pledged as of August 31, 2019.

 

WP Smaller Companies Income Plus Fund:        
Liabilities:    Gross Amounts of Liabilities Presented in the Statements of Assets & Liabilities  
                 

Gross Amounts Not Offset in

the Statement of Assets and

Liabilities

     
  

Gross Amounts

of Recognized Liabilities

    Gross Amounts Offset in the Statements of Assets and Liabilities   Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities  

Financial Instruments

Pledged

  

Cash

Collateral

Pledged

  

Net Amount

of

Liabilities

 
Options Written Contracts  $ 1.468,430 (1)  $—   $1,468,430(1)  $1,.322,020(2)  $146,410   $— 
Total  $ 1,468,430 (1)  $—    $    1,468,430(1)  $1,322,020(2)  $146,410   $— 

 

 

WP International Companies Income Plus Fund:        
Liabilities:  Gross Amounts of Liabilities Presented in the Statements of Assets & Liabilities 
              

Gross Amounts Not Offset in

the Statement of Assets and

Liabilities

     
  

Gross Amounts

of Recognized Liabilities

   Gross Amounts Offset in the Statements of Assets and Liabilities   Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities  

Financial Instruments

Pledged

  

Cash

Collateral

Pledged

  

Net Amount

of

Liabilities

 
Options Written Contracts  $1,547,200(1)  $—   $1,547,200(1)  $1,466,126(2)  $81,074   $— 
Total  $1,547,200(1)  $—   $1,547,200(1)  $1,466,126(2)  $81,074   $— 

 

WP Income Plus Fund:        
Liabilities:  Gross Amounts of Liabilities Presented in the Statements of Assets & Liabilities 
              

Gross Amounts Not Offset in

the Statement of Assets and

Liabilities

     
  

Gross Amounts

of Recognized Liabilities

   Gross Amounts Offset in the Statements of Assets and Liabilities   Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities  

Financial Instruments

Pledged

  

Cash

Collateral

Pledged

  

Net Amount

of

Liabilities

 
Options Written Contracts  $2,503,130(1)  $—   $2,503,130(1)  $2,473,792(2)  $29,338   $— 
Total  $2,503,130(1)  $—   $2,503,130(1)  $2,473,792(2)  $29,338   $— 

 

24

 

 

WP Trust

 

WP Family of Funds

NOTES TO THE SCHEDULES OF INVESTMENTS

August 31, 2019 (Unaudited)

 

WP Large Cap Income Plus Fund:        
Liabilities:  Gross Amounts of Liabilities Presented in the Statements of Assets & Liabilities 
              

Gross Amounts Not Offset in

the Statement of Assets and

Liabilities

     
   Gross Amounts of Recognized Liabilities   Gross Amounts Offset in the Statements of Assets and Liabilities   Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities   Financial Instruments Pledged   Cash Collateral Pledged   Net Amount of Liabilities 
Options Written Contracts  $5,981,500(1)  $—   $5,981,500(1)  $5,814,071(2)  $167,429   $— 
Total  $5,981,500(1)  $—   $5,981,500(1)  $5,814,071(2)  $167,429   $— 

 

(1) Written options at value as presented in the Funds’ Schedules of Written Options.

(2) The amounts are limited to the derivative liability balances and accordingly do not include excess collateral pledged.

 

TAX MATTERS

 

For U.S. Federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation, and net unrealized appreciation/(depreciation) of investments at August 31, 2019 were as follows:

 

   Cost  

Gross

Appreciation

  

Gross

Depreciation

  

Net

Appreciation (Depreciation)

 
WP Smaller Companies Income Plus Fund  $8,730,450   $1,803,390   $(242,850)  $1,560,540 
WP International Companies Income Plus Fund   10,416,295    567,834    (189,440)   378,394 
WP Income Plus Fund   17,471,108    313,736    (180,626)   (133,110)
WP Large Cap Income Plus Fund   32,022,524    13,757,180    (2,066,395)   11,690,785 

 

The difference between book basis and tax basis unrealized appreciation (depreciation) from investments is primarily attributable to the tax deferral of losses on wash sales and mark-to-market on 1256 contracts.

 

25

 

 

Item 2.Controls and Procedures.

 

(a)The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) were effective, as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b)There were no changes to the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3.Exhibits.

 

(a)A certification for the Principal Executive Officer of the registrant is attached hereto as part of EX-99.cert.

 

(b)A certification for the Principal Financial Officer of the registrant is attached hereto as part of EX-99.cert.

  

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

  

(Registrant) WP Trust

  

By: /s/ Charles S. Stoll  
Name: Charles S. Stoll
Title: Principal Executive Officer
Date: October 30, 2019

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ Charles S. Stoll  
Name: Charles S. Stoll
Title: Principal Executive Officer
Date: October 30, 2019
     
By: /s/ Larry E. Beaver, Jr.  
Name: Larry E. Beaver, Jr.
Title: Assistant Treasurer and Acting Principal Financial Officer
Date: October 30, 2019

 

26