Wellington Credit Total Return Fund Capital Risk Analysis

This document is a technical report discussing the Wellington Credit Total Return Fund and its capital risk analysis. It outlines the investment team's rationale for capitalizing on the mispricing of BBB versus BB credit spreads during a period of significant market fluctuations from January to October 2022. The report details how the S&P 500 experienced a 25% decline while US Treasury rates rose sharply. It explains the investment-grade managers' strategy of moving up in credit quality to mitigate potential losses amid recession fears. The report further describes the investment team's decision to rotate from BB to BBB credit ratings, highlighting the performance of this strategy as the credit spread relationship normalized. The document is intended for professional, accredited investors and emphasizes the importance of considering risks associated with investments in the Fund.