1WS CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
January 31, 2022 (Unaudited)
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||
| MORTGAGE-BACKED SECURITIES (47.89%) | ||||||||||||
| Residential (29.29%) | ||||||||||||
| Alternative Loan Trust, Series 2007-17CB, Class 1A6(b) | 1M US L + 0.50% | 08/25/37 | $ | 889,550 | $ | 477,421 | ||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A2(b) | 28.40% - 1M US L | 09/25/37 | 37,308 | 51,105 | ||||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A3(b) | 1M US L + 0.50% | 09/25/37 | 1,100,228 | 446,252 | ||||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A4(b)(c) | 5.60% - 1M US L | 09/25/37 | 1,017,004 | 232,996 | ||||||||
| APS Resecuritization Trust, Series 2014-1, Class 1M(b)(d) | 1.52% | 08/28/54 | 2,233,311 | 615,947 | ||||||||
| Banc of America Funding , Series 2007-5, Class CA8(b)(c) | 5.35% - 1M US L | 07/25/37 | 3,118,658 | 625,915 | ||||||||
| Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2(b)(e) | 1M US L + 0.25% | 07/25/36 | 341,396 | 408,855 | ||||||||
| Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2(b)(e) | 1M US L + 0.23% | 01/25/37 | 951,940 | 1,048,657 | ||||||||
| Bellemeade Re 2020-3, Ltd., Series 2020-3A, Class M2(b)(d) | 1M US L + 4.85% | 10/25/30 | 682,000 | 712,826 | ||||||||
| Bellemeade Re, Ltd., Series 2021-1A, Class M2(b)(d) | 30D US SOFR + 4.85% | 03/25/31 | 500,000 | 532,600 | ||||||||
| CIT Mortgage Loan Trust, Series 2007-1, Class 1M2(b)(d)(e) | 1M US L + 1.75% | 05/25/22 | 1,000,000 | 961,900 | ||||||||
| Citicorp Residential Mortgage Trust, Series 2006-2, Class M2(e)(f) | 5.12% | 09/25/36 | 2,000,000 | 1,966,200 | ||||||||
| Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17 | 5.50% | 12/25/35 | 246,685 | 161,406 | ||||||||
| Domi BV, Series 2020-1, Class F(b)(e) | 6.50% - 3M EUR L | 04/15/52 | € | 500,000 | 569,923 | |||||||
| Domi BV, Series 2020-1, Class X2(b)(e) | 6.75% - 3M EUR L | 04/15/52 | 500,000 | 572,451 | ||||||||
| Domi BV, Series 2021-1, Class E(b) | 6.50% - 3M EUR L | 06/15/26 | 411,000 | 465,337 | ||||||||
| Domi BV, Series 2021-1, Class X2(b) | 6.50% - 3M EUR L | 06/15/26 | 411,000 | 465,476 | ||||||||
| Eagle RE, Ltd., Series 2021-1, Class M2(b)(d)(e) | 30D US SOFR + 4.45% | 10/25/33 | $ | 1,048,000 | 1,092,645 | |||||||
| Finance Ireland Rmbs, Series 3, Class F(b) | 4.23% - 3M EUR L | 06/24/61 | € | 420,000 | 473,121 | |||||||
| Finsbury Square 2021-2 PLC, Series 2021-2X, Class G(b) | 3M SONIA IR + 5.25% | 12/16/71 | £ | 371,000 | 496,812 | |||||||
| Finsbury Square PLC, Series 2019-3, Class X(b)(e) | 3M SONIA IR + 3.90% | 12/16/69 | 26,673 | 35,944 | ||||||||
| First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3(b) | 1M US L + 0.75% | 11/25/36 | $ | 1,949,016 | 1,480,862 | |||||||
| Fremont Home Loan Trust, Series 2004-C, Class M3(b) | 1M US L + 1.73% | 08/25/34 | 71,217 | 72,712 | ||||||||
| GSAA Home Equity Trust, Series 2007-8, Class A4(b) | 1M US L + 1.20% | 08/25/37 | 547,743 | 339,436 | ||||||||
| GSAMP Trust, Series 2005-WMC1, Class M2(b)(e) | 1M US L + 0.78% | 09/25/35 | 728,703 | 684,471 | ||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7(b) | 1M US L + 2.48% | 12/25/35 | 216,620 | 272,725 | ||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3(b) | 1M US L + 0.56% | 02/25/36 | 852,456 | 864,390 | ||||||||
| JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2(b) | 1M US L + 0.48% | 07/25/36 | 1,079,929 | 1,243,863 | ||||||||
| JP Morgan Mortgage Trust, Series 2005-A5, Class TB1(b) | 2.53% | 08/25/35 | 29,763 | 29,823 | ||||||||
| Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2(b)(e) | 0.84% - 3M EUR L | 06/15/45 | € | 500,000 | 411,068 | |||||||
| Lehman Mortgage Trust, Series 2007-5, Class 6A1(b)(e) | 1M US L + 0.32% | 10/25/36 | $ | 797,007 | 441,861 | |||||||
| Miravet Sarl - Compartment, Series 2019-1, Class E(b)(e) | 3.00% - 3M EUR L | 05/26/65 | € | 500,000 | 527,962 | |||||||
| Miravet Sarl - Compartment, Series 2020-1, Class E(b)(e) | 4.00% - 3M EUR L | 05/26/65 | 1,000,000 | 1,073,788 | ||||||||
| Nationstar Home Equity Loan Trust, Series 2007-B, Class M2(b) | 1M US L + 0.47% | 04/25/37 | $ | 1,080,427 | 1,589,416 | |||||||
| New Century Home Equity Loan Trust, Series 2005-2, Class M6(b) | 1M US L + 1.02% | 06/25/35 | 303,004 | 300,338 | ||||||||
| Ownit Mortgage Loan Trust, Series 2005-4, Class M1(b)(e) | 1M US L + 0.83% | 08/25/36 | 1,282,473 | 1,277,472 | ||||||||
| Polaris PLC, Series 2021-1, Class X2(b) | 3M SONIA IR + 5.00% | 12/23/58 | £ | 366,000 | 501,733 | |||||||
| Polaris PLC, Series 2022-1, Class X2(b) | 3M SONIA IR + 5.89% | 10/23/59 | 371,000 | 500,205 | ||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1(f) | 3.60% | 11/25/35 | $ | 386,769 | 289,922 | |||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1(e)(f) | 3.55% | 01/25/36 | 387,602 | 352,563 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2(b)(e) | 1M US L + 0.19% | 05/25/46 | 907,114 | 1,137,430 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16(b)(e) | 1M US L + 0.65% | 07/25/36 | 546,823 | 406,781 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5(b)(e) | 1M US L + 0.70% | 07/25/36 | 806,166 | 616,717 | ||||||||
| Residential Asset Securitization Trust, Series 2005-A15, Class 2A10(b) | 1M US L + 0.45% | 02/25/36 | 1,400,721 | 482,268 | ||||||||
| Residential Mortgage Securities 32 PLC, Series 2020-32X, Class F1(b)(e) | 3M SONIA IR + 6.50% | 06/20/70 | £ | 500,000 | 730,549 | |||||||
| Soundview Home Loan Trust, Series 2005-OPT4, Class M2(b)(e) | 1M US L + 0.83% | 12/25/35 | $ | 675,546 | 703,649 | |||||||
| Stratton Mortgage Funding, Series 2021-2X, Class X(b)(e) | 3M SONIA IR + 4.00% | 07/20/60 | £ | 488,859 | 665,947 | |||||||
| Stratton Mortgage Funding PLC, Series 2021-3, Class X2(b)(e) | 3M SONIA IR + 3.50% | 06/12/24 | 507,000 | 677,705 | ||||||||
| SYON, Series 2020-2, Class E | 6.27% | 12/17/27 | 1,125,147 | 1,597,344 | ||||||||
| Tower Bridge Funding PLC, Series 2021-1, Class X(b) | 3M SONIA IR + 4.50% | 04/21/24 | 44,817 | 60,432 | ||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
| Triangle Re, Ltd., Series 2021-2, Class M1C(b)(d) | 1M US L + 4.50% | 10/25/33 | $ | 500,000 | $ | 511,300 | ||||||
| Twin Bridges PLC, Series 2021-1, Class X2(b) | 3M SONIA IR + 5.00% | 03/12/26 | £ | 363,000 | 484,586 | |||||||
| Twin Bridges PLC, Series 2021-2, Class X2(b) | 1M SONIA IR + 4.40% | 09/12/26 | 459,000 | 608,913 | ||||||||
| Twin Bridges PLC, Series 2022-1, Class X2(b) | 3M SONIA IR + 5.00% | 06/12/27 | 377,000 | 494,301 | ||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C(b) | 12M US FED + 1.00% | 02/25/46 | $ | 382,721 | 444,875 | |||||||
| Total Residential Mortgage Backed Securities | $ | 34,291,196 | ||||||||||
| Commercial (18.60%) | ||||||||||||
| Ashford Hospitality Trust, Series 2018-KEYS, Class E(b)(d) | 1M US L + 4.15% | 06/15/35 | 2,000,000 | 1,901,600 | ||||||||
| Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class F(b)(d) | 1M US L + 4.00% | 06/15/35 | 1,194,000 | 1,126,181 | ||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F(b)(d) | 1M US L + 5.00% | 09/15/23 | 2,500,000 | 2,506,250 | ||||||||
| BBCMS Mortgage Trust, Series 2021-AGW, Class F(b)(d)(e) | 1M US L + 4.00% | 06/15/26 | 2,000,000 | 1,965,200 | ||||||||
| BFLD Trust, Series 2021-FPM, Class D(b)(d) | 1M US L + 4.65% | 06/15/26 | 500,000 | 500,600 | ||||||||
| BPR Trust, Series 2021-WILL, Class E(b)(d) | 1M US L + 6.75% | 06/15/23 | 500,000 | 502,850 | ||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D(b)(d) | 5.10% | 11/10/23 | 2,000,000 | 1,885,400 | ||||||||
| Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E(b)(d) | 4.94% | 05/10/26 | 572,000 | 513,141 | ||||||||
| COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E(d) | 3.60% | 07/15/24 | 1,000,000 | 877,500 | ||||||||
| COMM Mortgage Trust, Series 2015-PC1, Class D(b)(e) | 4.32% | 06/10/25 | 500,000 | 455,550 | ||||||||
| Commercial Mortgage Trust, Series 2014-FL5, Class KH2(b)(d) | 1M US L + 4.50% | 08/15/31 | 626,813 | 563,819 | ||||||||
| GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G(b)(d) | 1M US L + 4.00% | 12/15/21 | 839,000 | 805,859 | ||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017- FL11, Class E(b)(d) | 1M US L + 4.02% | 10/15/32 | 542,000 | 522,922 | ||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F(d) | 3.59% | 10/15/23 | 560,000 | 511,952 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class F(d)(e) | 3.71% | 02/15/24 | 500,000 | 462,050 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E(b)(d)(e) | 4.53% | 09/15/25 | 660,000 | 614,724 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G(b)(d)(e) | 4.53% | 09/15/30 | 1,500,000 | 768,750 | ||||||||
| Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class D(b)(d)(e) | 4.40% | 08/15/24 | 149,000 | 136,946 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class E(d)(e) | 3.15% | 09/15/57 | 1,311,000 | 1,140,832 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class F(d) | 3.15% | 09/15/57 | 489,500 | 391,306 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class G(d)(e) | 3.15% | 09/15/57 | 814,500 | 609,165 | ||||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C11, Class E(b)(d)(e) | 4.24% | 03/15/45 | 542,000 | 507,800 | ||||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C17, Class E(d)(e) | 3.50% | 12/15/46 | 539,000 | 500,677 | ||||||||
| Wilmot Plaza Mezz Loan, Class F(b)(g) | 11.15% | 10/01/31 | 2,000,000 | 2,000,000 | ||||||||
| Total Commercial Mortgage Backed Securities | $ | 21,771,074 | ||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost $52,000,285) | $ | 56,062,270 | ||||||||||
| ASSET-BACKED SECURITIES (45.17%) | ||||||||||||
| ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7, Class M2(b) | 1M US L + 0.69% | 11/25/35 | 510,602 | 545,119 | ||||||||
| Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E(b) | 6.40% | 01/25/35 | € | 380,968 | 429,494 | |||||||
| Autonoria Spain 2021 FT, Series 2021-SP, Class G(b)(e) | 5.25% | 01/31/39 | 700,000 | 793,960 | ||||||||
| BL Consumer Credit 2021, Series 2021-1, Class G | 5.80% | 09/25/38 | 561,000 | 644,622 | ||||||||
| Brignole Co. 2021 SRL, Series 2021-2021, Class F(b) | 1M EUR L + 5.90% | 07/24/36 | 424,000 | 484,581 | ||||||||
| Carvana Auto Receivables Trust, Series 2021-N2, Class E(d) | 2.90% | 04/10/26 | $ | 1,373,000 | 1,339,911 | |||||||
| CFG Investments, Ltd., Series 2021-1, Class A(d)(e) | 4.70% | 11/20/24 | 1,350,000 | 1,379,565 | ||||||||
| CFG Investments, Ltd., Series 2021-1, Class B(d)(e) | 5.82% | 10/20/25 | 1,724,000 | 1,771,582 | ||||||||
| CFG Investments, Ltd., Series 2021-1, Class C(d)(e) | 7.48% | 05/20/26 | 833,000 | 855,408 | ||||||||
| Countrywide Asset-Backed Certificates, Series 2005-2, Class M6(b) | 1M US L + 2.03% | 08/25/35 | 525,184 | 555,539 | ||||||||
| Countrywide Asset-Backed Certificates, Series 2006-12, Class M1(b) | 1M US L + 0.45% | 12/25/36 | 609,535 | 550,532 | ||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| CPS Auto Receivables Trust, Series 2021-C, Class E(d)(e) | 3.21% | 09/15/25 | $ | 333,000 | $ | 327,073 | ||||||
| Credito Real USA Auto Receivables Trust 2021-1, Series 2021-1A, Class C(d) | 4.37% | 06/17/24 | 1,108,000 | 1,091,712 | ||||||||
| CWABS Asset-Backed Certificates Trust, Series 2007-13, Class 2M1(b) | 1M US L + 1.50% | 12/25/36 | 545,000 | 506,850 | ||||||||
| Dowson PLC, Series 2021-1, Class E(b) | 1M SONIA IR + 4.45% | 03/20/28 | £ | 363,000 | 499,134 | |||||||
| Dowson PLC, Series 2021-1, Class F(b) | 1M SONIA IR + 6.45% | 03/20/28 | 363,000 | 498,988 | ||||||||
| Dowson PLC, Series 2021-2, Class F(b) | 1M SONIA IR + 5.30% | 10/20/24 | 361,000 | 486,722 | ||||||||
| E-Carat 11 PLC, Series 2020-11, Class G(b)(e) | 1M SONIA IR + 5.00% | 01/18/24 | 314,928 | 427,273 | ||||||||
| Exeter Automobile Receivables Trust 2018-1A R(g) | N/A(h) | 10/15/29 | $ | 2,799 | 727,053 | |||||||
| Exeter Automobile Receivables Trust 2017-3A R(g) | N/A(h) | 10/15/29 | 3,110 | 728,186 | ||||||||
| Exeter Automobile Receivables Trust 2018-2A R(g) | N/A(h) | 05/15/30 | 4,839 | 1,458,161 | ||||||||
| FCT Noria 2021, Series 2021-1, Class G | 5.95% | 10/25/49 | € | 1,400,000 | 1,601,132 | |||||||
| FCT Pixel 2021, Series 2021-1, Class G | 5.50% | 02/25/38 | 400,000 | 450,501 | ||||||||
| Frontline Re, Ltd., Series B(b)(d)(g) | 3M T-Bill + 0.50% | 07/06/22 | $ | 223,289 | – | |||||||
| FTA Santander Consumo 4, Series 2021-4, Class E | 4.90% | 09/18/32 | € | 500,000 | 580,091 | |||||||
| FTA Santander Consumo 4, Series 2021-4, Class F | 6.50% | 09/18/32 | 350,000 | 399,693 | ||||||||
| GLS Auto Receivables Issuer Trust 2020-2, Series 2020-2A, Class D(d)(e) | 7.48% | 04/15/27 | $ | 1,560,000 | 1,677,000 | |||||||
| Hertz Vehicle Financing LLC, Series 2021-1A, Class D(d)(e) | 3.98% | 12/25/24 | 5,000,000 | 4,953,000 | ||||||||
| KeyCorp Student Loan Trust, Series 2006-A, Class 2C(b)(e) | 3M US L + 1.15% | 03/27/42 | 2,000,000 | 1,760,600 | ||||||||
| Latitude Australia Credit Card Master Trust, Series 2017-2, Class E(b)(e) | 5.01% | 08/22/23 | AUD | 502,000 | 358,878 | |||||||
| Marlette Funding Trust 2021-2, Series 2021-2A, Class R(d)(g) | N/A(h) | 02/15/26 | $ | 1,296 | 411,583 | |||||||
| National Collegiate Student Loan Trust, Series 2005-3, Class B(b)(e) | 1M US L + 0.50% | 07/27/37 | 1,846,000 | 1,554,147 | ||||||||
| National Collegiate Student Loan Trust, Series 2007-1, Class A4(b)(e) | 1M US L + 0.31% | 10/25/33 | 1,396,113 | 1,332,590 | ||||||||
| Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R(d)(g) | N/A(h) | 07/15/69 | 830 | 525,939 | ||||||||
| Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R(d)(g) | N/A(h) | 07/15/69 | 2,259 | 1,431,442 | ||||||||
| NOW Trust, Series 2021-1, Class F(b)(e) | 1M BBSW + 6.40% | 06/14/29 | AUD | 700,000 | 497,260 | |||||||
| Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT(b)(c)(d)(g) | N/A(h) | 05/17/27 | $ | 510,470 | 277,575 | |||||||
| PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class F(b) | 4.50% - 1M EUR L | 11/26/30 | € | 400,000 | 450,501 | |||||||
| PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class G | 6.50% | 11/26/30 | 391,111 | 440,490 | ||||||||
| SAFCO Mezz WH 2021(g) | 9.00% | 12/31/49 | $ | 890,667 | 890,667 | |||||||
| Satus PLC, Series 2021-1, Class F(b) | 1M SONIA IR + 5.40% | 08/17/28 | £ | 500,000 | 674,131 | |||||||
| SCF Rahoituspalvelut X DAC, Series 2021-10, Class D | 5.35% | 10/25/31 | € | 400,000 | 448,749 | |||||||
| SoFi Consumer Loan Program , Series 2020-1, Class R1(d)(g) | N/A(h) | 01/25/29 | $ | 14,000 | 229,801 | |||||||
| SoFi Consumer Loan Program , Series 2021-1, Class R1(d)(g) | N/A(h) | 09/25/30 | 28,777 | 1,037,739 | ||||||||
| SoFi Professional Loan Program, Series 2020-A, Class R1(d)(g) | N/A(h) | 05/15/46 | 14,661 | 593,336 | ||||||||
| Sofi Professional Loan Program , Series 2018-D, Class R1(d)(g) | N/A(h) | 02/25/48 | 21,839 | 288,646 | ||||||||
| SoFi Professional Loan Program , Series 2020-B, Class R1(d)(g) | N/A(h) | 05/15/46 | 10,000 | 590,700 | ||||||||
| SoFi Professional Loan Program , Series 2021-A, Class R1(d)(g) | N/A(h) | 08/17/43 | 19,142 | 405,640 | ||||||||
| SoFi Professional Loan Program , Series 2021-B, Class R1(d)(g) | N/A(h) | 02/15/47 | 11,625 | 690,597 | ||||||||
| Sofi Professional Loan Program LLC, Series 2019-B, Class R1(d)(g) | N/A(h) | 08/17/48 | 56,770 | 897,974 | ||||||||
| Sofi Professional Loan Program LLC, Series 2019-B, Class R1(d)(g) | N/A(h) | 08/17/48 | 78,583 | 1,243,006 | ||||||||
| SoFi Professional Loan Program LLC, Series 2017-D, Class R1(d)(g) | N/A(h) | 09/25/40 | 16,181 | 319,479 | ||||||||
| SoFi Professional Loan Program LLC, Series 2019-A, Class R1(d)(g) | N/A(h) | 06/15/48 | 32,016 | 443,101 | ||||||||
| Structured Asset Investment Loan Trust, Series 2005-8, Class M2(b)(e) | 1M US L + 0.75% | 10/25/35 | 973,481 | 970,463 | ||||||||
| Structured Asset Investment Loan Trust, Series 2005-9, Class M2(b)(e) | 1M US L + 0.68% | 11/25/35 | 1,245,440 | 1,370,108 | ||||||||
| Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4(b)(e) | 1M US L + 0.31% | 09/25/36 | 860,000 | 530,104 | ||||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D(e) | 7.25% | 02/25/35 | € | 500,000 | 586,719 | |||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class E(e) | 8.00% | 02/25/35 | 350,000 | 403,900 | ||||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F(b) | 5.49% - 1M EUR L | 09/23/38 | 400,000 | 450,591 | ||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class G(b) | 5.00% - 1M EUR L | 09/23/38 | € | 320,000 | $ | 360,401 | ||||||
| Theorem Funding Trust 2022-1, Series 2022-1A, Class B(d) | 3.10% | 02/15/28 | $ | 507,000 | 501,017 | |||||||
| Upstart Pass-Through Trust, Series 2021-ST6, Class CERT(d)(g) | N/A(h) | 08/20/27 | 450,000 | 462,443 | ||||||||
| Upstart Pass-Through Trust, Series 2021-ST8, Class CERT(d)(g) | N/A(h) | 10/20/29 | 724,419 | 814,555 | ||||||||
| Upstart Pass-Through Trust, Series 2021-ST9, Class CERT(d)(g) | N/A(h) | 11/20/29 | 417,000 | 544,396 | ||||||||
| Upstart Pass-Through Trust, Series 2022-ST1, Class CERT(d)(g) | N/A(h) | 03/20/30 | 418,000 | 491,298 | ||||||||
| USASF Receivables LLC, Series 2021-1A, Class D(d) | 4.36% | 03/15/27 | 1,125,000 | 1,128,263 | ||||||||
| Zip Master Trust, Series 2021-1, Class D(b) | 1M BBSW + 3.70% | 04/10/24 | AUD | 500,000 | 354,479 | |||||||
| Zip Master Trust, Series 2021-1, Class E(b) | 1M BBSW + 5.70% | 04/10/24 | 500,000 | 354,479 | ||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $54,021,327) | $ | 52,880,669 | ||||||||||
| COLLATERALIZED LOAN OBLIGATIONS (22.14%)(b) | ||||||||||||
| ALM 2020, Ltd., Series 2020-1A, Class D(d)(e) | 3M US L + 6.00% | 10/15/29 | $ | 751,000 | $ | 743,790 | ||||||
| Anchorage Capital CLO 3-R, Ltd., Series 2018-3RA, Class E(d)(e) | 3M US L + 5.50% | 01/28/31 | 551,000 | 533,148 | ||||||||
| Anchorage Capital CLO 6, Ltd., Series 2017-6A, Class ER(d) | 3M US L + 6.35% | 07/15/30 | 506,000 | 500,029 | ||||||||
| Apex Credit Clo 2021, Ltd., Series 2021-1A, Class SUB(d)(g) | N/A(h) | 07/18/34 | 667,000 | 480,240 | ||||||||
| ARES XLIV CLO, Ltd., Series 2017-44A, Class SUB(d)(g) | N/A(h) | 04/15/34 | 1,605,000 | 690,150 | ||||||||
| Ares XXXVIII CLO, Ltd., Series 2015-38X, Class SUB(g) | N/A(h) | 04/20/30 | 735,000 | 446,145 | ||||||||
| Barings CLO, Ltd. 2013-I, Series 2017-IA, Class ER(d)(e) | 3M US L + 5.20% | 01/20/28 | 514,000 | 497,706 | ||||||||
| Barings CLO, Ltd. 2018-III, Series 2018-3A, Class E(d) | 3M US L + 5.75% | 07/20/29 | 250,000 | 242,700 | ||||||||
| Birch Grove CLO, Ltd., Series 2019-19A, Class E(d) | 3M US L + 6.77% | 06/15/31 | 250,000 | 247,900 | ||||||||
| Carlyle Global Market Strategies CLO, Ltd., Series 2019-1A, Class ER(d)(e) | 3M US L + 6.94% | 07/20/31 | 1,095,000 | 1,071,458 | ||||||||
| CFIP CLO 2013-1, Ltd., Series 2017-1A, Class ER(d)(e) | 3M US L + 6.65% | 04/20/29 | 2,004,000 | 1,988,970 | ||||||||
| CFIP CLO 2014-1, Ltd., Series 2017-1A, Class ER(d)(e) | 3M US L + 6.60% | 07/13/29 | 1,833,000 | 1,817,969 | ||||||||
| Gallatin CLO VIII 2017-1, Ltd., Series 2021-1A, Class ER(d) | 3M US L + 6.92% | 07/15/31 | 250,000 | 243,150 | ||||||||
| Generate CLO 3, Ltd., Series 2017-3A, Class ER(d) | 3M US L + 6.40% | 10/20/29 | 250,000 | 248,650 | ||||||||
| Jamestown CLO II, Ltd., Series 2018-2A, Class DR(d)(e) | 3M US L + 5.45% | 04/22/30 | 508,000 | 494,944 | ||||||||
| KKR CLO 10, Ltd., Series 2017-10, Class ER(d)(e) | 3M US L + 6.50% | 09/15/29 | 755,000 | 750,093 | ||||||||
| KKR Financial CLO 2013-1, Ltd., Series 2017-1A, Class DR(d) | 3M US L + 6.08% | 04/15/29 | 512,000 | 496,742 | ||||||||
| MAN GLG US CLO, Ltd., Series 2021-1A, Class D(d) | 3M US L + 7.39% | 07/15/34 | 271,000 | 265,580 | ||||||||
| Mountain View CLO X, Ltd., Series 2015-10A, Class E(d)(e) | 3M US L + 4.85% | 10/13/27 | 799,000 | 787,015 | ||||||||
| Neuberger Berman CLO XIV, Ltd., Series 2020-14A, Class ER2(d) | 3M US L + 6.75% | 01/28/30 | 1,212,000 | 1,202,183 | ||||||||
| Newark BSL CLO 2, Ltd., Series 2017-1A, Class D(d)(e) | 3M US L + 6.30% | 07/25/30 | 502,000 | 498,837 | ||||||||
| OCP CLO 2019-16, Ltd., Class Sub(d)(g) | N/A(h) | 01/20/32 | 602,000 | 475,580 | ||||||||
| OCP CLO, Ltd., Series 2017-6A, Class DR(d)(e) | 3M US L + 6.52% | 10/17/30 | 2,003,000 | 1,986,375 | ||||||||
| OZLM Funding IV, Ltd., Series 2017-4A, Class D1R(d)(e) | 3M US L + 6.30% | 10/22/30 | 522,000 | 497,362 | ||||||||
| OZLM XII, Ltd., Series 2015-12A, Class D(d)(e) | 3M US L + 5.40% | 04/30/27 | 562,000 | 559,415 | ||||||||
| Race Point VIII CLO, Ltd., Series 2017-8A, Class ER(d)(e) | 3M US L + 6.85% | 02/20/30 | 640,000 | 602,816 | ||||||||
| Regatta IX Funding, Ltd., Series 2017-1A, Class E(d)(e) | 3M US L + 6.00% | 04/17/30 | 1,010,000 | 1,002,728 | ||||||||
| Rockford Tower CLO, Ltd., Series 2019-1A, Class SUB(d)(g) | N/A(h) | 04/20/34 | 917,000 | 724,430 | ||||||||
| RR 2, Ltd., Series 2017-2A, Class SUB(d)(g) | N/A(h) | 10/15/17 | 250,000 | 202,500 | ||||||||
| RR 2, Ltd., Series 2017-2A, Class SUB(d)(g) | N/A(h) | 10/15/17 | 1,176,000 | 952,560 | ||||||||
| Shackleton CLO, Ltd., Series 2017-8A, Class ER(d) | 3M US L + 5.34% | 10/20/27 | 1,000,000 | 985,800 | ||||||||
| Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB(d)(g) | N/A(h) | 07/28/31 | 2,272,000 | 1,317,760 | ||||||||
| Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB(d)(g) | N/A(h) | 07/28/31 | 1,000,000 | 580,000 | ||||||||
| Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B(d)(i) | 3M US L + 0.90% | 11/05/35 | 529,000 | 142,830 | ||||||||
| Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1 | 3M US L + 0.80% | 02/05/36 | 706,000 | 261,220 | ||||||||
| Venture Xxv Clo, Ltd., Series 2016-25A, Class E(d) | 3M US L + 7.20% | 04/20/29 | 900,000 | 879,120 | ||||||||
| Wind River 2013-1 CLO, Ltd., Series 2017-1A, Class DR(d) | 3M US L + 6.30% | 07/20/30 | 523,000 | 503,963 | ||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $25,929,156) | $ | 25,921,858 | ||||||||||
| Shares | Fair Value | |||||||
| PREFERRED STOCKS (0.55%)(b)(j) | ||||||||
| New York Mortgage Trust, Inc., Series D | 8,071 | $ | 201,936 | |||||
| New York Mortgage Trust, Inc., Series E | 17,808 | 446,447 | ||||||
| TOTAL PREFERRED STOCKS (Cost $482,862) | $ | 648,383 | ||||||
| 7-Day Yield | Shares | Fair Value | ||||||||||
| MONEY MARKET FUNDS (12.65%) | ||||||||||||
| BlackRock Liquidity Funds T-Fund, Institutional Class | 0.01 | % | 14,589,785 | $ | 14,589,785 | |||||||
| BNY Mellon U.S. Treasury Fund, Institutional Class | 0.01 | % | 216,328 | 216,328 | ||||||||
| TOTAL MONEY MARKET FUNDS (Cost $14,806,113) | $ | 14,806,113 | ||||||||||
| Fair Value | ||||
| TOTAL INVESTMENTS (128.40%) (Cost $147,239,743) | $ | 150,319,293 | ||
| Liabilities in Excess of Other Assets (-28.40%)(k) | (33,244,359 | ) | ||
| NET ASSETS (100.00%) | $ | 117,074,934 | ||
Percentages above are stated as a percentage of net assets as of January 31, 2022
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:
1M EUR L - 1 Month EURIBOR as of January 31, 2022 was (0.56)%
3M EUR L - 3 Month EURIBOR as of January 31, 2022 was (0.55)%
1M US L - 1 Month USD LIBOR as of January 31, 2022 was 0.11%
3M US L - 3 Month USD LIBOR as of January 31, 2022 was 0.31%
3M T-Bill - 3 Month Treasury Bill as of January 31, 2022 was 0.33%
1M SONIA IR - 1 Month SONIA as of January 31, 2022 was 0.20%
3M SONIA IR - 3 Month SONIA as of January 31, 2022 was 0.12%
1M BBSW - 1 Month BBSW as of January 31, 2022 was 0.01%
30D US SOFR - 30 Day US SOFR as of January 31, 2022 was 0.05%
12M US FED – 12 Month US FED as of January 31, 2022 was 0.08%
| (a) | The maturity date for credit investments represents the expected maturity. Many of the instruments are callable through cash flows on the underlying securities 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 January 31, 2022. 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 January 31, 2022, the aggregate market value of those securities was $74,678,517, representing 63.79% of net assets. |
| (e) | On January 31, 2022, all or a portion of these securities were pledged as collateral for reverse repurchase agreements in the amount of $51,955,579. |
| (f) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at January 31, 2022. |
| (g) | This security has been classified as level 3 in accordance with ASC 820 as 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 January 31, 2022, 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 | Short | 70 | March 2022 | $ | (15,165,937 | ) | $ | 110,922 | |||||||
| 5-YEAR U.S. TREASURY NOTE FUTURES | Wells Fargo Securities, LLC | Short | 278 | March 2022 | (33,138,469 | ) | 360,412 | |||||||||
| AUD/USD CURRENCY FUTURES | Wells Fargo Securities, LLC | Short | 23 | March 2022 | (1,627,135 | ) | 18,652 | |||||||||
| EUR/USD CURRENCY FUTURES | Wells Fargo Securities, LLC | Short | 72 | March 2022 | (10,128,150 | ) | 68,003 | |||||||||
| EURO BOBL FUTURES | Wells Fargo Securities, LLC | Short | 16 | March 2022 | (2,377,028 | ) | 32,822 | |||||||||
| GBP/USD CURRENCY FUTURES | Wells Fargo Securities, LLC | Short | 58 | March 2022 | (4,877,437 | ) | (90,981 | ) | ||||||||
| LONG GILT FUTURES | Wells Fargo Securities, LLC | Short | 1 | March 2022 | (164,024 | ) | 3,890 | |||||||||
| US 10-YR U.S. TREASURY NOTE FUTURES | Wells Fargo Securities, LLC | Short | 6 | March 2022 | (767,813 | ) | 6,000 | |||||||||
| $ | (68,245,993 | ) | $ | 509,719 | ||||||||||||
CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION (OVER THE COUNTER)(a)
| Reference Obligations | Counterparty | Fixed Deal Receive Rate | Currency | Maturity Date | Implied Credit Spread at January 31, 2022(b) | Notional Amount(c) | Value | Upfront Premiums Received/(Paid) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
| The Markit CMBX North America AAA Series 12 Index | Morgan Stanley | 5.00 | % | USD | 8/17/61 | 0.50 | % | 10,000,000 | $ | (15,324 | ) | $ | 57,679 | $ | 42,355 | |||||||||||||||
| The Markit CDX High Yield Series 33 Index Tranche 15-25 | Morgan Stanley | 5.00 | % | USD | 6/20/24 | 7.50 | % | 5,000,000 | (311,157 | ) | 125,000 | (186,157 | ) | |||||||||||||||||
| $ | (326,481 | ) | $ | 182,679 | $ | (143,802 | ) | |||||||||||||||||||||||
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 year 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
JANUARY 31, 2022 (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.
The Fund currently offers Institutional (“Class I”) Shares and Brokerage Class ("Class A-2") Shares (collectively, the "Share Classes"). Both Share Classes of the Fund are being offered on a continuous basis at the NAV per Share calculated each day. Class A-2 Shares are offered subject to a maximum sales charge of 3.00% of their offering price and an asset-based distribution/shareholder servicing fee not to exceed 0.75% of its net assets and Class I shares are not subject to any sales load or asset-based distribution fee. Class A-2 Shares purchased without a sales charge may be subject to a 1.50% contingent deferred sales charge ("CDSC"). The Fund received exemptive relief from the SEC to issue multiple classes of Shares and to impose asset-based distribution fees as applicable. Class I and Class A-2 shares commenced operations on March 4, 2019 and May 1, 2021, respectively.
Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund's income, expenses (other than class specific service and distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
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.
The preparation of these consolidated schedule of investments in accordance with GAAP requires management to make certain estimates and assumptions that affect the amounts reported in the consolidated schedule and accompanying notes. The Adviser believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from such estimates and the differences could be material.
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. The NAV per share of each class 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). The Fund’s NAV is then allocated pro-rata between the share classes, adjusting for share class specific liabilities. The NAV of each share class is then divided by the total number of Shares outstanding of each share class 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 January 31, 2022, approximately 2% of the 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 January 31, 2022:
| Investments in Securities at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Residential Mortgage-Backed Securities | $ | – | $ | 34,291,196 | $ | – | $ | 34,291,196 | ||||||||
| Commercial Mortgage-Backed Securities | – | 19,771,074 | 2,000,000 | 21,771,074 | ||||||||||||
| Asset-Backed Securities | – | 37,377,352 | 15,503,317 | 52,880,669 | ||||||||||||
| Collateralized Loan Obligations | – | 20,052,493 | 5,869,365 | 25,921,858 | ||||||||||||
| Preferred Stocks | 648,383 | – | – | 648,383 | ||||||||||||
| Money Market Funds | 14,806,113 | – | – | 14,806,113 | ||||||||||||
| Total | $ | 15,454,496 | $ | 111,492,115 | $ | 23,372,682 | $ | 150,319,293 | ||||||||
| Derivative Instruments | ||||||||||||||||
| Assets: | ||||||||||||||||
| Future Contracts | $ | 600,700 | $ | – | $ | – | $ | 600,700 | ||||||||
| Credit Default Swap Contracts | – | 42,355 | – | 42,355 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Future Contracts | $ | (90,981 | ) | – | – | (90,981 | ) | |||||||||
| Credit Default Swap Contracts | – | (186,157 | ) | – | (186,157 | ) | ||||||||||
| Total | $ | 509,719 | $ | (143,802 | ) | $ | – | $ | 365,917 | |||||||
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 January 31, 2022 of the Fund’s Level 3 portfolio investments:
| 1WS Credit Income Fund | Asset-Backed Securities | Collateralized Loan Obligations | Commercial Mortgage Backed Securities | Total | ||||||||||||
| Balance as of October 31, 2021 | $ | 10,591,228 | $ | 6,161,282 | $ | 2,000,000 | $ | 18,752,510 | ||||||||
| Accrued discount/ premium | (958,068 | ) | - | - | (958,068 | ) | ||||||||||
| Realized Gain/(Loss) | (114,591 | ) | - | - | (114,591 | ) | ||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (588,259 | ) | (126,343 | ) | - | (714,602 | ) | |||||||||
| Purchases | 4,734,766 | - | - | 4,734,766 | ||||||||||||
| Sales Proceeds | (119,140 | ) | (165,574 | ) | - | (284,714 | ) | |||||||||
| Transfer into Level 3 | 1,957,381 | - | - | 1,957,381 | ||||||||||||
| Transfer out of Level 3 | - | - | - | - | ||||||||||||
| Balance as of January 31, 2022 | $ | 15,503,317 | $ | 5,869,365 | $ | 2,000,000 | $ | 23,372,682 | ||||||||
| Net change in unrealized appreciation /(depreciation) | ||||||||||||||||
| attributable to Level 3 investments held at January 31, 2022 | $ | (622,035 | ) | $ | (126,343 | ) | $ | - | $ | (748,378 | ) | |||||
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 January 31, 2022:
Quantitative Information about Level 3 Fair Value Measurements
| Asset Class | Fair Value | Valuation Technique | Unobservable Inputs | Value/Range |
| Asset-Backed Securities | $14,612,650 | Broker pricing | Indicative quotes | $54-$63,366 |
| Asset-Backed Securities | $890,667 | Internal Model | Loss severity analysis | $0(1)-$100(2) |
| Collateralized Loan Obligations | $5,869,365 | Broker pricing | Indicative quotes | $43-$790 |
| Commercial Mortgage Backed Securities | $2,000,000 | Internal Model | Loss severity analysis | $100 |
| (1) | Input is due to 100% loss experienced by investment. |
| (2) | Input is due to immaterial delinquencies on the underlying collateral. |