1WS CREDIT INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
January 31, 2024 (Unaudited)
| Description | | Rate | | Maturity Date(a) | | | Principal Amount | | | Fair Value | | |||
| MORTGAGE-BACKED SECURITIES (44.73%) | ||||||||||||||
| Residential (27.75%) | ||||||||||||||
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class M1(b)(c) | 1M CME TERM SOFR + 0.49% | 08/25/36 | $ | 663,345 | $ | 477,078 | ||||||||
| AIMS , Series 2007-1, Class B(b) | 1M BBSW + 0.25% | 07/10/38 | AUD | 921,438 | 483,488 | |||||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A2(b) | 27.94% - 1M CME TERM SOFR | 09/25/37 | $ | 34,402 | 29,503 | |||||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A3(b) | 1M CME TERM SOFR + 0.61% | 09/25/37 | 1,014,594 | 317,771 | ||||||||||
| Alternative Loan Trust, Series 2007-21CB, Class 2A4(b)(d) | 5.49% - 1M CME TERM SOFR | 09/25/37 | 937,848 | 84,688 | ||||||||||
| Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4(b) | 1M CME TERM SOFR + 0.95% | 03/25/36 | 708,088 | 694,351 | ||||||||||
| APS Resecuritization Trust, Series 2014-1, Class 1M(b)(e) | 1.44% | 08/28/54 | 2,298,878 | 548,972 | ||||||||||
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1(b)(c) | 1M CME TERM SOFR + 0.80% | 01/25/36 | 526,424 | 491,785 | ||||||||||
| Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1(b) | 1M CME TERM SOFR + 0.56% | 03/25/36 | 633,902 | 518,278 | ||||||||||
| Atlas Funding PLC, Series 2023-1, Class F(b) | N/A(f) | 01/25/61 | £ | 402,000 | 532,023 | |||||||||
| Banc of America Funding , Series 2007-5, Class CA8(b)(d) | 5.35% - 1M US L | 07/25/37 | $ | 2,300,308 | 197,596 | |||||||||
| Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2(b)(c) | 1M CME TERM SOFR + 0.61% | 07/25/36 | 273,359 | 300,202 | ||||||||||
| Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2(b)(c) | 1M CME TERM SOFR + 0.57% | 01/25/37 | 765,680 | 700,674 | ||||||||||
| Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1(b) | 1M CME TERM SOFR + 0.61% | 02/25/37 | 690,021 | 480,807 | ||||||||||
| Castell PLC, Series 2023-1, Class G(b) | N/A(f) | 05/25/55 | £ | 399,000 | 510,607 | |||||||||
| Castell PLC, Series 2023-2, Class G(b) | SONIA IR + 9.90% | 11/25/55 | 407,000 | 520,639 | ||||||||||
| Castell PLC, Series 2023-2, Class X(b) | SONIA IR + 7.25% | 11/25/55 | 407,000 | 516,719 | ||||||||||
| Connecticut Avenue Securities, Series 2021-R02, Class 2B2(b)(e) | 30D US SOFR + 6.20% | 11/25/41 | $ | 666,000 | 702,230 | |||||||||
| Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1(b)(c)(e) | 30D US SOFR + 4.50% | 04/25/42 | 338,000 | 358,720 | ||||||||||
| Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B1(b)(c)(e) | 30D US SOFR + 5.55% | 01/25/43 | 500,000 | 552,500 | ||||||||||
| Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1(b)(c)(e) | 30D US SOFR + 6.35% | 04/25/43 | 996,000 | 1,130,460 | ||||||||||
| Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B1(b)(c)(e) | 30D US SOFR + 3.90% | 07/25/43 | 1,201,000 | 1,272,339 | ||||||||||
| Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2(b)(e) | 30D US SOFR + 4.00% | 01/25/44 | 700,000 | 714,000 | ||||||||||
| Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17 | 5.50% | 12/25/35 | 128,686 | 96,746 | ||||||||||
| CWABS Asset-Backed Certificates Trust, Series 2004-15, Class MV7(b) | 1M CME TERM SOFR + 2.51% | 02/25/35 | 734,113 | 510,135 | ||||||||||
| CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6(b)(c) | 30D US SOFR + 2.03% | 08/25/35 | 531,221 | 488,458 | ||||||||||
| CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12, Class M1(b) | 1M CME TERM SOFR + 0.56% | 12/25/36 | 677,966 | 563,932 | ||||||||||
| Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 2A2(b) | 1M CME TERM SOFR + 0.75% | 08/25/47 | 888,429 | 628,208 | ||||||||||
| Dilosk Rmbs NO 7 DAC, Series 2023-7, Class X1(b) | 3M EUR L + 6.33% | 10/20/62 | € | 356,522 | 386,910 | |||||||||
| Dilosk Rmbs No 8 Sts DAC, Series 2024-STS, Class F(b) | 9.57% | 05/20/62 | 459,000 | 497,279 | ||||||||||
| Dilosk Rmbs No 8 Sts DAC, Series 2024-STS, Class X(b) | 11.92% | 05/20/62 | 459,037 | 499,800 | ||||||||||
| Domi BV, Series 2020-1, Class F(b) | 3M EUR L + 6.50% | 04/15/52 | 500,000 | 538,240 | ||||||||||
| Domi BV, Series 2020-1, Class X2(b) | 3M EUR L + 6.75% | 04/15/52 | 463,957 | 500,243 | ||||||||||
| Domi BV, Series 2021-1, Class E(b) | 3M EUR L + 6.50% | 06/15/53 | 704,000 | 716,987 | ||||||||||
| Domi BV, Series 2021-1, Class X2(b) | 3M EUR L + 6.50% | 06/15/53 | 365,471 | 394,924 | ||||||||||
| Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C(b) | SONIA IR + 2.14% | 09/13/45 | £ | 389,132 | 454,878 | |||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
| Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2(b) | 1M CME TERM SOFR + 0.79% | 02/25/36 | $ | 1,626,000 | $ | 485,686 | ||||||||
| Finance Ireland Rmbs, Series 3, Class F(b) | 3M EUR L + 4.23% | 06/24/61 | € | 420,000 | 451,078 | |||||||||
| First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3(b)(c) | 1M CME TERM SOFR + 0.86% | 11/25/36 | $ | 1,963,687 | 1,263,436 | |||||||||
| First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2(b) | 1M CME TERM SOFR + 0.71% | 01/25/36 | 544,150 | 498,605 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2(b)(e) | 30D US SOFR + 5.36% | 01/25/50 | 494,000 | 529,815 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2020-DNA2, Class B2(b)(e) | 30D US SOFR + 4.91% | 02/25/50 | 1,749,000 | 1,873,004 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2(b)(e) | 30D US SOFR + 10.11% | 07/25/50 | 1,029,000 | 1,316,194 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2(b)(e) | 30D US SOFR + 9.51% | 09/25/50 | 439,000 | 554,106 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2022-DNA3, Class B1(b)(c)(e) | 30D US SOFR + 5.65% | 04/25/42 | 563,000 | 606,970 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1(b)(c)(e) | 30D US SOFR + 7.60% | 04/25/43 | 955,000 | 1,082,015 | ||||||||||
| Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class M2(b)(c)(e) | 30D US SOFR + 5.70% | 04/25/43 | 581,000 | 651,359 | ||||||||||
| Fremont Home Loan Trust, Series 2004-C, Class M3(b)(g) | 1M US L + 1.73% | 08/25/34 | 170 | – | ||||||||||
| FT Rmbs Miravet, Series 2023-1, Class E(b)(c) | 3M EUR L + 3.00% | 11/26/66 | € | 600,000 | 577,286 | |||||||||
| FT Rmbs Miravet, Series 2023-1, Class F(b)(c) | 3M EUR L + 4.00% | 11/26/66 | 600,000 | 553,619 | ||||||||||
| GSAA Home Equity Trust, Series 2007-8, Class A4(b) | 1M CME TERM SOFR + 1.31% | 08/25/37 | $ | 547,743 | 292,495 | |||||||||
| Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2(b) | 1M CME TERM SOFR + 0.82% | 03/25/36 | 458,790 | 314,638 | ||||||||||
| Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1(b)(c) | 1M CME TERM SOFR + 0.71% | 03/25/36 | 785,350 | 550,687 | ||||||||||
| Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1(b) | 1M CME TERM SOFR + 0.55% | 08/25/36 | 543,641 | 587,513 | ||||||||||
| Home RE, Ltd., Series 2021-1, Class B1(b)(e) | 30D US SOFR + 3.76% | 07/25/33 | 956,000 | 953,132 | ||||||||||
| Home RE, Ltd., Series 2022-1, Class M1C(b)(c)(e) | 30D US SOFR + 5.50% | 10/25/34 | 1,064,000 | 1,113,689 | ||||||||||
| Home RE, Ltd., Series 2023-1, Class M1B(b)(c)(e) | 30D US SOFR + 4.60% | 10/25/33 | 1,000,000 | 1,046,500 | ||||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7(b) | 1M US L + 2.48% | 12/25/35 | 236,999 | 186,945 | ||||||||||
| JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3(b) | 1M US L + 0.56% | 02/25/36 | 865,637 | 548,640 | ||||||||||
| JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2(b)(c) | 1M CME TERM SOFR + 0.59% | 07/25/36 | 1,093,510 | 1,080,060 | ||||||||||
| Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2(b) | 3M EUR L + 0.84% | 06/15/45 | € | 500,000 | 374,677 | |||||||||
| Lehman Mortgage Trust, Series 2006-9, Class 1A5(b)(c) | 1M CME TERM SOFR + 0.71% | 01/25/37 | $ | 696,109 | 374,854 | |||||||||
| Lehman Mortgage Trust, Series 2007-5, Class 6A1(b) | 1M CME TERM SOFR + 0.43% | 10/25/36 | 680,597 | 293,474 | ||||||||||
| Miravet Sarl - Compartment, Series 2019-1, Class E(b)(c) | 3M EUR L + 3.00% | 05/26/65 | € | 500,000 | 517,923 | |||||||||
| Miravet Sarl - Compartment, Series 2020-1, Class E(b)(c) | 3M EUR L + 4.00% | 05/26/65 | 1,135,000 | 1,144,163 | ||||||||||
| Nationstar Home Equity Loan Trust, Series 2007-B, Class M2(b)(c) | 1M CME TERM SOFR + 0.58% | 04/25/37 | $ | 1,170,201 | 1,149,606 | |||||||||
| Newgate Funding PLC, Series 2007-1X, Class DB(b) | 3M EUR L + 0.75% | 12/01/50 | € | 539,307 | 475,529 | |||||||||
| Oaktown Re VII, Ltd., Series 2021-2, Class M1B(b)(c)(e) | 30D US SOFR + 2.90% | 04/25/34 | $ | 562,000 | 562,899 | |||||||||
| Ownit Mortgage Loan Trust, Series 2005-4, Class M1(b)(c) | 1M US L + 0.83% | 08/25/36 | 977,291 | 855,814 | ||||||||||
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5(b) | 1M CME TERM SOFR + 1.13% | 07/25/35 | 543,968 | 519,000 | ||||||||||
| Parkmore Point RMBS 2022-1 PLC, Series 2022-1X, Class D(b)(c) | SONIA IR + 3.50% | 07/25/45 | £ | 440,000 | 547,296 | |||||||||
| Pierpont Btl PLC, Series 2023-1, Class X(b) | SONIA IR + 7.94% | 09/21/54 | 291,908 | 372,931 | ||||||||||
| Polaris PLC, Series 2022-2, Class E(b) | SONIA IR + 5.75% | 05/23/59 | 795,579 | 999,062 | ||||||||||
| Polaris PLC, Series 2023-1, Class F(b) | SONIA IR + 8.25% | 02/23/61 | 403,000 | 515,726 | ||||||||||
| Polaris PLC, Series 2023-2, Class F(b) | SONIA IR + 8.75% | 02/27/27 | 403,000 | 522,979 | ||||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1(h) | 3.44% | 11/25/35 | $ | 400,640 | 288,461 | |||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1(c)(h) | 3.51% | 01/25/36 | 394,601 | 326,138 | ||||||||||
| Portman Square 2023-NPL1 DAC, Series 2023-NPL1X, Class B(b) | 3M EUR L + 4.00% | 07/25/63 | € | 482,000 | 498,601 | |||||||||
| Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2(b)(c) | 1M US L + 0.19% | 05/25/46 | $ | 874,278 | 952,526 | |||||||||
| Description | | Rate | | Maturity Date(a) | | | Principal Amount | | | Fair Value | | |||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16(b)(c) | 1M CME TERM SOFR + 0.76% | 07/25/36 | $ | 412,355 | $ | 292,649 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5(b)(c) | 1M CME TERM SOFR + 0.81% | 07/25/36 | 607,925 | 432,477 | ||||||||||
| Residential Asset Securitization Trust, Series 2005-A15, Class 2A10(b) | 1M CME TERM SOFR + 0.56% | 02/25/36 | 1,379,243 | 420,117 | ||||||||||
| Residential Mortgage Securities 32 PLC, Series 2020-32X, Class F1(b) | 3M SONIA IR + 6.50% | 06/20/70 | £ | 500,000 | 638,275 | |||||||||
| SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR(b) | 3M EUR L + 5.00% | 06/20/45 | € | 500,000 | 505,928 | |||||||||
| Soundview Home Loan Trust, Series 2005-OPT4, Class M2(b)(c) | 1M US L + 0.83% | 12/25/35 | $ | 1,771,075 | 1,493,724 | |||||||||
| Soundview Home Loan Trust, Series 2006-OPT2, Class M1(b) | 1M CME TERM SOFR + 0.56% | 05/25/36 | 628,961 | 483,734 | ||||||||||
| STACR 2023-DNA1 B1 | 13.47% | 03/25/43 | 547,000 | 628,924 | ||||||||||
| Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F(b)(e) | 3M SONIA IR + 4.00% | 06/20/60 | £ | 465,000 | 573,206 | |||||||||
| Structured Asset Investment Loan Trust, Series 2005-8, Class M2(b)(c) | 1M CME TERM SOFR + 0.86% | 10/25/35 | $ | 1,007,487 | 774,758 | |||||||||
| Structured Asset Investment Loan Trust, Series 2005-9, Class M2(b)(c) | 1M US L + 0.68% | 11/25/35 | 1,307,269 | 1,100,459 | ||||||||||
| Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A4(b)(c) | 1M CME TERM SOFR + 0.42% | 09/25/36 | 1,907,568 | 1,056,411 | ||||||||||
| Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1(b)(e) | 1M CME TERM SOFR + 0.41% | 08/25/46 | 2,066,792 | 1,734,452 | ||||||||||
| SYON, Series 2020-2, Class E | 6.27% | 12/17/27 | £ | 921,803 | 1,192,148 | |||||||||
| Together Asset Backed Securitisation 2023-1st1 PLC, Series 2023-1ST1X, Class X(b) | SONIA IR + 6.46% | 01/20/67 | 123,837 | 157,441 | ||||||||||
| Triangle Re, Ltd., Series 2021-2, Class B1(b)(e) | 1M CME TERM SOFR + 7.61% | 10/25/33 | $ | 469,000 | 499,907 | |||||||||
| Triangle Re, Ltd., Series 2021-3, Class B1(b)(e) | 30D US SOFR + 4.95% | 02/25/34 | 591,600 | 599,883 | ||||||||||
| Triangle Re, Ltd., Series 2023-1, Class M1B(b)(c)(e) | 30D US SOFR + 5.25% | 11/25/33 | 677,000 | 705,840 | ||||||||||
| Twin Bridges PLC, Series 2021-1, Class X2(b) | 3M SONIA IR + 5.00% | 03/12/55 | £ | 67,269 | 85,659 | |||||||||
| Twin Bridges PLC, Series 2021-2, Class X2(b) | SONIA IR + 4.40% | 09/12/55 | 239,593 | 302,634 | ||||||||||
| Twin Bridges PLC, Series 2022-1, Class X2(b) | 3M SONIA IR + 5.00% | 12/01/55 | 377,000 | 469,363 | ||||||||||
| Twin Bridges PLC, Series 2022-2, Class E(b) | SONIA IR + 5.50% | 06/12/55 | 241,000 | 306,152 | ||||||||||
| Uropa Securities PLC, Series 2007-1, Class B1A(b)(c) | SONIA IR + 1.47% | 10/10/40 | 531,032 | 586,902 | ||||||||||
| Uropa Securities PLC, Series 2007-1, Class B1B(b) | 3M EUR L + 1.35% | 10/10/40 | € | 514,921 | 476,174 | |||||||||
| Uropa Securities PLC, Series 2007-1, Class B2A(b) | SONIA IR + 4.12% | 10/10/40 | £ | 433,748 | 493,071 | |||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C(b) | 12M US FED + 1.00% | 02/25/46 | $ | 310,116 | 361,192 | |||||||||
| Total Residential Mortgage Backed Securities | $ | 63,192,781 | ||||||||||||
| Commercial (16.98%) | ||||||||||||||
| Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class E(b)(c)(e) | 1M CME TERM SOFR + 3.70% | 06/15/35 | $ | 315,100 | $ | 307,443 | ||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C(b)(e) | 1M CME TERM SOFR + 2.11% | 09/15/38 | 587,000 | 506,522 | ||||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D(b)(e) | 1M CME TERM SOFR + 2.86% | 09/15/38 | 515,000 | 427,553 | ||||||||||
| BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F(b)(c)(e) | 1M CME TERM SOFR + 5.11% | 09/15/38 | 2,500,000 | 1,964,750 | ||||||||||
| BBCMS Mortgage Trust, Series 2020-BID, Class D(b)(e) | 1M CME TERM SOFR + 4.74% | 10/15/25 | 2,000,000 | 1,877,800 | ||||||||||
| BBCMS Mortgage Trust, Series 2021-AGW, Class A(b)(e) | 1M CME TERM SOFR + 1.36% | 06/15/36 | 560,000 | 509,040 | ||||||||||
| BBCMS Mortgage Trust, Series 2021-AGW, Class F(b)(e) | 1M CME TERM SOFR + 4.11% | 06/15/36 | 2,000,000 | 1,656,800 | ||||||||||
| BFLD, Series 2019-DPLO, Class E(b)(c)(e) | 1M US SOFR + 2.35% | 10/15/34 | 2,000,000 | 2,004,200 | ||||||||||
| BFLD Trust, Series 2021-FPM, Class D(b)(c)(e) | 1M CME TERM SOFR + 4.76% | 06/15/38 | 500,000 | 483,700 | ||||||||||
| BFLD Trust, Series 2021-FPM, Class E(b)(e) | 1M CME TERM SOFR + 5.76% | 06/15/38 | 533,000 | 508,375 | ||||||||||
| Description | | Rate | | Maturity Date(a) | | Principal Amount | | | Fair Value | | ||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
| BHMS, Series 2018-ATLS, Class D(b)(e) | 1M CME TERM SOFR + 2.55% | 07/15/35 | $ | 2,168,000 | $ | 2,089,519 | ||||||
| BPR Trust, Series 2021-WILL, Class C(b)(c)(e) | 1M CME TERM SOFR + 4.11% | 06/15/38 | 500,000 | 482,650 | ||||||||
| BPR Trust, Series 2021-WILL, Class E(b)(c)(e) | 1M CME TERM SOFR + 6.86% | 06/15/38 | 500,000 | 478,300 | ||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D(b)(c)(e) | 5.23% | 11/10/46 | 2,000,000 | 1,860,400 | ||||||||
| Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E(e) | 3.30% | 10/10/47 | 564,000 | 330,278 | ||||||||
| Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E(b)(e) | 5.10% | 05/10/49 | 1,364,000 | 1,125,437 | ||||||||
| COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E(c)(e) | 3.60% | 07/15/47 | 1,000,000 | 873,300 | ||||||||
| COMM Mortgage Trust, Series 2019-521F, Class A(b)(e) | 1M CME TERM SOFR + 1.05% | 06/15/34 | 650,000 | 591,045 | ||||||||
| CSMC, Series 2020-FACT, Class D(b)(c)(e) | 1M CME TERM SOFR + 3.82% | 10/15/37 | 500,000 | 471,750 | ||||||||
| CSMC, Series 2020-FACT, Class E(b)(c)(e) | 1M CME TERM SOFR + 4.98% | 10/15/37 | 534,000 | 498,062 | ||||||||
| GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G(b)(e) | 1M CME TERM SOFR + 4.11% | 12/15/36 | 839,000 | 751,576 | ||||||||
| GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C(b)(c)(e) | 1M CME TERM SOFR + 2.11% | 05/15/26 | 567,000 | 416,178 | ||||||||
| GS Mortgage Securities Trust, Series 2013-GC10, Class D(b)(e) | 4.54% | 02/10/46 | 585,000 | 530,595 | ||||||||
| HPLY Trust, Series 2019-HIT, Class F(b)(c)(e) | 1M CME TERM SOFR + 3.26% | 11/15/26 | 867,894 | 856,177 | ||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E(b)(e) | PRIME + 0.96% | 10/15/32 | 128,168 | 127,732 | ||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D(b)(e) | 1M CME TERM SOFR + 2.46% | 09/15/29 | 500,000 | 384,400 | ||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E(e) | 3.50% | 11/15/45 | 1,000,000 | 778,900 | ||||||||
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F(e) | 3.59% | 11/15/45 | 1,098,000 | 755,863 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class E(b)(c)(e) | 5.05% | 02/15/47 | 682,000 | 626,417 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class F(c)(e) | 3.71% | 02/15/47 | 500,000 | 447,000 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E(b)(c)(e) | 4.52% | 10/15/48 | 660,000 | 492,822 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G(b)(e) | 4.52% | 10/15/48 | 1,447,289 | 676,897 | ||||||||
| Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E(b)(e) | 1M CME TERM SOFR + 3.32% | 11/15/34 | 580,000 | 559,468 | ||||||||
| Morgan Stanley Capital I Trust, Series 2018-H3, Class D(c)(e) | 3.00% | 07/15/51 | 1,000,000 | 709,100 | ||||||||
| Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C(b)(c)(e) | 4.25% | 08/15/36 | 895,000 | 705,260 | ||||||||
| Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class D(b)(c)(e) | 4.40% | 08/15/36 | 378,000 | 276,356 | ||||||||
| SMR Mortgage Trust, Series 2022-IND, Class E(b)(c)(e) | 1M CME TERM SOFR + 5.00% | 02/15/39 | 927,725 | 855,548 | ||||||||
| SMR Mortgage Trust, Series 2022-IND, Class F(b)(c)(e) | 1M CME TERM SOFR + 6.00% | 02/15/39 | 467,573 | 402,113 | ||||||||
| SPGN Mortgage Trust, Series 2022-TFLM, Class D(b)(e) | 1M CME TERM SOFR + 3.50% | 02/25/27 | 1,500,000 | 1,397,250 | ||||||||
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class C(b)(e) | 1M CME TERM SOFR + 3.78% | 05/15/37 | 500,000 | 487,550 | ||||||||
| VCP Tyler Pref, LLC(g) | 13.50% | 12/29/25 | 2,093,964 | 2,093,964 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class E(c)(e) | 3.15% | 09/15/57 | 1,311,000 | 1,102,027 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class F(c)(e) | 3.15% | 09/15/57 | 489,500 | 376,915 | ||||||||
| Description | | Rate | | Maturity Date(a) | | Principal Amount | | | Fair Value | | ||
| MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class G(c)(e) | 3.15% | 09/15/57 | $ | 814,500 | $ | 576,177 | ||||||
| Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class E(b)(c)(e) | 4.93% | 12/15/39 | 536,000 | 429,229 | ||||||||
| Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class F(b)(c)(e) | 4.93% | 12/15/39 | 559,000 | 432,163 | ||||||||
| WFRBS Commercial Mortgage Trust, Series 2013-C11, Class E(b)(e) | 4.05% | 03/15/45 | 542,000 | 367,097 | ||||||||
| Wilmot Plaza Mezz Loan, Class F(g) | 11.15% | 10/01/31 | 2,000,000 | 2,000,000 | ||||||||
| Total Commercial Mortgage Backed Securities | $ | 38,661,698 | ||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost $102,654,645) | $ | 101,854,479 | ||||||||||
| ASSET-BACKED SECURITIES (42.96%) | ||||||||||||
| ACC Trust, Series 2022-1, Class C(e) | 3.24% | 10/20/25 | $ | 1,100,000 | $ | 756,470 | ||||||
| ACHV ABS TRUST, Series 2023-4CP, Class E(e) | 10.50% | 07/25/26 | 1,000,000 | 1,003,600 | ||||||||
| ACM Auto Trust 2023-1, Series 2023-1A, Class D(e) | 12.58% | 01/22/30 | 2,791,000 | 2,813,049 | ||||||||
| ACM Auto Trust 2023-2, Series 2023-2A, Class B(c)(e) | 9.85% | 06/20/30 | 1,835,000 | 1,838,487 | ||||||||
| ACM Auto Trust 2024-1, Series 2024-1A, Class B(e) | 11.40% | 01/21/31 | 395,000 | 397,923 | ||||||||
| Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E(b) | 6.40% | 01/25/35 | € | 187,218 | 187,900 | |||||||
| Aurorus 2023 BV, Series 2023-1, Class F(b) | 11.19% | 10/12/26 | 500,000 | 544,400 | ||||||||
| Aurorus 2023 BV, Series 2023-1, Class G(b) | 12.94% | 10/12/26 | 515,000 | 550,381 | ||||||||
| Auto Abs Spanish Loans Fondo Titulizacion, Series 2022-1, Class D(b) | 1M EUR L + 4.25% | 02/28/32 | 625,985 | 673,455 | ||||||||
| Autonoria Spain 2021 FT, Series 2021-SP, Class G(b) | 5.25% | 01/31/39 | 370,814 | 361,746 | ||||||||
| Autonoria Spain 2022 FT, Series 2022-SP, Class E(b) | 1M EUR L + 7.00% | 01/29/40 | 393,196 | 434,911 | ||||||||
| Autonoria Spain 2023 FT, Series 2023-SP, Class F(b) | 1M EUR L + 6.90% | 09/30/41 | 500,000 | 545,751 | ||||||||
| Avant Loans Funding Trust, Series 2022-REV1, Class C(e) | 8.57% | 06/15/25 | $ | 503,000 | 504,006 | |||||||
| BL Consumer Credit 2021, Series 2021-1, Class E(b)(c) | 1M EUR L + 2.85% | 09/25/38 | € | 482,000 | 522,250 | |||||||
| BL Consumer Credit 2021, Series 2021-1, Class G | 5.80% | 09/25/38 | 561,000 | 606,634 | ||||||||
| Brignole Co. 2021 SRL, Series 2021-2021, Class F(b) | 1M EUR L + 5.90% | 07/24/36 | 424,000 | 452,625 | ||||||||
| CarNow Auto Receivables Trust 2023-1, Series 2023-1A, Class E(e) | 12.04% | 04/16/29 | $ | 423,000 | 433,575 | |||||||
| Carvana Auto Receivables Trust, Series 2023-N4, Class E(c)(e) | 9.56% | 11/10/28 | 1,000,000 | 1,050,400 | ||||||||
| CFG Investments, Ltd., Series 2023-1, Class A(c)(e) | 8.56% | 07/25/34 | 1,555,000 | 1,572,572 | ||||||||
| Conn's Receivables Funding LLC, Series 2022-A, Class B(c)(e) | 9.52% | 12/15/26 | 257,180 | 258,774 | ||||||||
| Conn's Receivables Funding LLC, Series 2022-A, Class C(e) | N/A(f) | 12/15/26 | 665,000 | 596,704 | ||||||||
| Conn's Receivables Funding LLC, Series 2023-A, Class B(e) | 10.00% | 01/17/28 | 371,000 | 376,565 | ||||||||
| Conn's Receivables Funding LLC, Series 2024-A, Class B(e) | 9.80% | 05/15/25 | 1,168,000 | 1,165,898 | ||||||||
| Conn's Receivables Funding LLC, Series 2024-A, Class C(e) | 10.34% | 08/15/25 | 1,080,000 | 932,904 | ||||||||
| CPS Auto Receivables Trust, Series 2022-C, Class E(e) | 9.08% | 04/15/30 | 700,000 | 726,250 | ||||||||
| CPS Auto Receivables Trust, Series 2022-D, Class E(c)(e) | 12.12% | 06/17/30 | 1,431,000 | 1,609,875 | ||||||||
| CPS Auto Receivables Trust, Series 2023-A, Class E(c)(e) | 10.59% | 08/15/30 | 1,400,000 | 1,469,300 | ||||||||
| CPS Auto Receivables Trust, Series 2023-C, Class E(e) | 9.66% | 08/16/27 | 700,000 | 736,190 | ||||||||
| CPS Auto Receivables Trust, Series 2024-A, Class E(e) | 8.42% | 02/15/28 | 700,000 | 714,000 | ||||||||
| Credito Real USA Auto Receivables Trust 2021-1, Series 2021-1A, Class C(e) | 4.37% | 01/18/28 | 1,108,000 | 1,064,566 | ||||||||
| Dowson PLC, Series 2021-2, Class F(b) | SONIA IR + 5.30% | 10/20/24 | £ | 100,000 | 122,865 | |||||||
| Dowson PLC, Series 2021-2, Class F(b) | SONIA IR + 5.30% | 10/20/28 | 561,000 | 689,270 | ||||||||
| Dowson PLC, Series 2022-1, Class E(b) | SONIA IR + 4.80% | 05/20/25 | 109,000 | 137,251 | ||||||||
| Dowson PLC, Series 2022-1, Class E(b) | SONIA IR + 4.80% | 01/20/29 | 381,000 | 479,751 | ||||||||
| Dowson PLC, Series 2022-2, Class E(b) | SONIA IR + 8.00% | 08/20/29 | 651,000 | 836,562 | ||||||||
| Exeter Automobile Receivables Trust 2022-3, Series 2022-3A, Class E(c)(e) | 9.09% | 02/16/27 | $ | 1,396,000 | 1,414,288 | |||||||
| Exeter Automobile Receivables Trust 2022-4, Series 2022-4A, Class E(c)(e) | 8.23% | 03/15/30 | 2,853,000 | 2,832,458 | ||||||||
| Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E(c)(e) | 10.45% | 04/15/30 | 1,989,000 | 2,097,599 | ||||||||
| Exeter Automobile Receivables Trust 2022-6, Series 2022-6A, Class E(c)(e) | 11.61% | 06/17/30 | 1,887,000 | 2,053,811 | ||||||||
| Exeter Automobile Receivables Trust 2023-1, Series 2023-1A, Class E(e) | 12.07% | 09/16/30 | 892,000 | 990,120 | ||||||||
| Description | | Rate | | Maturity Date(a) | | Principal Amount | | | Fair Value | | ||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| Exeter Automobile Receivables Trust 2023-2, Series 2023-2A, Class E(e) | 9.75% | 11/15/30 | $ | 840,000 | $ | 910,308 | ||||||
| Exeter Automobile Receivables Trust 2023-5, Series 2023-5A, Class E(e) | 9.58% | 07/15/28 | 947,000 | 1,009,786 | ||||||||
| FCT Autonoria DE 2023, Series 2023-DE, Class F(b) | 1M EUR L + 7.50% | 01/26/43 | € | 435,881 | 479,721 | |||||||
| FCT Autonoria DE 2023, Series 2023-DE, Class G(b) | 1M EUR L + 10.50% | 01/26/43 | 434,501 | 467,075 | ||||||||
| FCT Noria 2021, Series 2021-1, Class F(b) | 1M EUR L + 3.70% | 10/25/49 | 394,244 | 412,168 | ||||||||
| FCT Noria 2021, Series 2021-1, Class G | 5.95% | 10/25/49 | 689,928 | 693,037 | ||||||||
| FCT Pixel 2021, Series 2021-1, Class G | 5.50% | 02/25/38 | 223,774 | 223,573 | ||||||||
| Flagship Credit Auto Trust, Series 2021-1, Class R(e)(g) | N/A(f) | 04/17/28 | $ | 2,740 | 275,736 | |||||||
| Flagship Credit Auto Trust, Series 2022-2, Class E(c)(e) | 8.20% | 06/15/29 | 926,000 | 823,677 | ||||||||
| Flagship Credit Auto Trust, Series 2022-4, Class E(c)(e) | 12.66% | 01/15/30 | 1,879,000 | 2,077,234 | ||||||||
| Flagship Credit Auto Trust, Series 2023-3, Class E(e) | 9.74% | 06/17/30 | 1,000,000 | 1,055,200 | ||||||||
| FTA Santander Consumer Spain Auto, Series 2022-1, Class E(b) | 3M EUR L + 12.00% | 09/20/38 | € | 500,000 | 546,237 | |||||||
| FTA Santander Consumer Spain Auto, Series 2023-1, Class E(b) | 3M EUR L + 7.25% | 12/22/30 | 500,000 | 554,181 | ||||||||
| FTA Santander Consumer Spain Auto, Series 2023-1, Class F(b) | 3M EUR L + 10.00% | 12/22/30 | 378,769 | 410,562 | ||||||||
| FTA Santander Consumo 4, Series 2021-4, Class E | 4.90% | 09/18/32 | 282,245 | 293,858 | ||||||||
| GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D(b) | 3M EUR L + 8.00% | 06/25/33 | 444,276 | 490,689 | ||||||||
| GLS Auto Receivables Issuer Trust 2019-2, Series 2019-2A, Class R(e)(g) | N/A(f) | 02/17/26 | $ | 1,091 | 104,077 | |||||||
| GLS Auto Receivables Issuer Trust 2019-3, Series 2019-3A, Class R(e)(g) | N/A(f) | 05/15/26 | 882 | 103,239 | ||||||||
| GLS Auto Receivables Issuer Trust 2019-4, Series 2019-4A, Class R(e)(g) | N/A(f) | 08/17/26 | 941 | 98,251 | ||||||||
| Golden Bar Securitisation Srl, Series 2019-1, Class C | 8.25% | 07/20/39 | € | 469,359 | 499,575 | |||||||
| Golden Bar Securitisation Srl, Series 2021-1, Class E(c) | 2.75% | 09/22/41 | 350,338 | 356,952 | ||||||||
| Golden Bar Securitisation Srl, Series 2023-2, Class E(b) | 3M EUR L + 8.50% | 09/22/43 | 470,000 | 520,727 | ||||||||
| Golden Bar Securitisation Srl, Series 2023-2, Class F(b) | 3M EUR L + 10.90% | 09/22/43 | 380,701 | 413,150 | ||||||||
| Hertz Vehicle Financing LLC, Series 2021-1A, Class D(c)(e) | 3.98% | 12/26/25 | $ | 5,000,000 | 4,835,000 | |||||||
| KeyCorp Student Loan Trust, Series 2006-A, Class 2C(b)(c) | 3M CME TERM SOFR + 1.41% | 03/27/42 | 2,000,000 | 1,612,800 | ||||||||
| Lendingpoint Asset Securitization Trust, Series 2022-B, Class C(e) | 8.45% | 10/15/29 | 517,000 | 386,509 | ||||||||
| Lobel Automobile Receivables Trust, Series 2023-1, Class D(e) | 8.00% | 06/15/27 | 500,000 | 463,200 | ||||||||
| Marlette Funding Trust 2021-2, Series 2021-2A, Class R(e)(g) | N/A(f) | 09/15/31 | 1,686 | 55,005 | ||||||||
| Mercury Financial Credit Card Master Trust, Series 2023-1A, Class B(c)(e) | 9.59% | 09/20/27 | 500,000 | 504,100 | ||||||||
| Metro Finance , Series 2023-1, Class E(b) | 1M BBSW + 7.00% | 02/18/29 | AUD | 740,000 | 488,537 | |||||||
| Metro Finance , Series 2023-1, Class F(b) | 1M BBSW + 8.75% | 02/18/29 | 480,000 | 317,109 | ||||||||
| National Collegiate Student Loan Trust, Series 2005-3, Class B(b)(c) | 1M CME TERM SOFR + 0.61% | 07/27/37 | $ | 2,547,000 | 1,968,067 | |||||||
| Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R(e)(g) | N/A(f) | 07/15/69 | 3,695 | 1,568,590 | ||||||||
| Newday Funding Master Issuer PLC - Series 2021-1, Series 2021-1X, Class E(b) | SONIA IR + 4.05% | 03/15/29 | £ | 452,000 | 571,845 | |||||||
| Newday Funding Master Issuer PLC - Series 2021-2, Series 2021-2X, Class E(b) | SONIA IR + 3.55% | 06/15/24 | 419,000 | 527,653 | ||||||||
| Newday Funding Master Issuer PLC - Series 2023-1, Series 2023-1X, Class E(b) | SONIA IR + 6.90% | 11/15/26 | 1,305,000 | 1,679,459 | ||||||||
| NOW Trust, Series 2021-1, Class F(b) | 1M BBSW + 6.40% | 06/14/29 | AUD | 242,095 | 159,145 | |||||||
| Octane Receivables Trust 2023-2, Series 2023-2A, Class E(e) | 10.50% | 06/20/31 | $ | 493,000 | 513,657 | |||||||
| Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT(b)(d)(e)(g) | N/A(f) | 05/17/27 | 510,470 | 48,542 | ||||||||
| Pagaya AI Debt Selection Trust, Series 2021-1, Class C(e) | 4.09% | 11/15/27 | 630,740 | 577,758 | ||||||||
| Pagaya AI Debt Trust, Series 2023-1, Class B(c)(e) | 9.44% | 07/15/30 | 677,906 | 694,379 | ||||||||
| Pagaya AI Debt Trust, Series 2023-3, Class B(e) | 9.57% | 12/16/30 | 499,900 | 513,997 | ||||||||
| Pagaya AI Debt Trust, Series 2023-5, Class C(c)(e) | 9.10% | 04/15/31 | 264,998 | 270,828 | ||||||||
| Pagaya AI Debt Trust, Series 2023-6, Class D(e) | 9.00% | 06/16/31 | 2,750,000 | 2,586,925 | ||||||||
| Pagaya AI Debt Trust, Series 2024-1, Class C(e) | 8.34% | 07/15/31 | 500,000 | 507,200 | ||||||||
| PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class E(b) | 1M EUR L + 3.50% | 11/26/30 | € | 363,204 | 389,804 | |||||||
| PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class F(b) | 1M EUR L + 4.50% | 11/26/30 | 181,602 | 193,921 | ||||||||
| Description | | Rate | | Maturity Date(a) | | Principal Amount | | | Fair Value | | ||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class G | 6.50% | 11/26/30 | € | 53,333 | $ | 57,234 | ||||||
| Prestige Auto Receivables Trust 2023-1, Series 2023-1A, Class E(e) | 9.88% | 05/15/30 | $ | 1,086,000 | 1,124,444 | |||||||
| Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D(e) | 11.24% | 11/15/26 | 500,000 | 510,450 | ||||||||
| Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E(e) | 15.49% | 11/15/26 | 1,000,000 | 1,024,000 | ||||||||
| Reach ABS Trust 2023-1, Series 2023-1A, Class D(c)(e) | 12.27% | 02/18/31 | 2,000,000 | 2,093,200 | ||||||||
| Reach Abs Trust 2024-1, Series 2024-1A, Class D(e) | 10.64% | 09/15/27 | 200,000 | 201,740 | ||||||||
| Red & Black Auto Italy Srl, Series 2023-2, Class E(b) | 1M EUR L + 7.00% | 02/28/28 | € | 469,000 | 510,850 | |||||||
| Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C(e) | 9.00% | 01/26/32 | $ | 551,000 | 517,334 | |||||||
| Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, Class C(c)(e) | 10.04% | 11/25/30 | 999,675 | 986,880 | ||||||||
| SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E(e) | 10.85% | 01/18/30 | 500,000 | 507,000 | ||||||||
| Santander Consumer Finance SA/NOMA, Series 2023-1, Class B(b) | 12.37% | 10/31/33 | 13,112,000 | 1,913,511 | ||||||||
| Satus PLC, Series 2021-1, Class F(b) | 1M SONIA IR + 5.40% | 08/17/28 | £ | 600,000 | 736,807 | |||||||
| SC Germany SA Compartment Consumer, Series 2020-1, Class F(b) | 1M EUR L + 5.30% | 11/14/34 | € | 328,519 | 355,420 | |||||||
| SC Germany SA Compartment Leasing, Series 2023-1, Class F(b) | 1M EUR L + 6.91% | 12/14/32 | 489,789 | 531,324 | ||||||||
| SCF Rahoituspalvelut X DAC, Series 2021-10, Class D | 5.35% | 10/25/31 | 299,956 | 298,067 | ||||||||
| SoFi Professional Loan Program, Series 2020-A, Class R1(e)(g) | N/A(f) | 05/15/46 | $ | 14,661 | 280,936 | |||||||
| SoFi Professional Loan Program , Series 2018-D, Class R1(e)(g) | N/A(f) | 02/25/48 | 27,236 | 159,061 | ||||||||
| SoFi Professional Loan Program , Series 2020-B, Class R1(e)(g) | N/A(f) | 05/15/46 | 15,664 | 516,423 | ||||||||
| SoFi Professional Loan Program , Series 2021-A, Class R1(e)(g) | N/A(f) | 08/17/43 | 35,142 | 442,727 | ||||||||
| SoFi Professional Loan Program , Series 2021-B, Class R1(e)(g) | N/A(f) | 02/15/47 | 14,625 | 508,229 | ||||||||
| SoFi Professional Loan Program LLC, Series 2017-D, Class R1(e)(g) | N/A(f) | 09/25/40 | 16,181 | 156,260 | ||||||||
| SoFi Professional Loan Program LLC, Series 2019-A, Class R1(e)(g) | N/A(f) | 06/15/48 | 32,016 | 215,871 | ||||||||
| SoFi Professional Loan ProgramTrust, Series 2020-A, Class R1(e)(g) | N/A(f) | 05/15/46 | 10,720 | 205,418 | ||||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D | 7.25% | 02/25/35 | € | 288,861 | 295,126 | |||||||
| TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F(b) | 1M EUR L + 5.49% | 09/20/38 | 268,020 | 273,775 | ||||||||
| Theorem Funding Trust 2022-3, Series 2022-3A, Class B(c)(e) | 8.95% | 04/15/29 | $ | 247,000 | 256,287 | |||||||
| Tricolor Auto Securitization Trust 2024-1, Series 2024-1A, Class E(e) | 11.91% | 11/15/26 | 386,000 | 388,084 | ||||||||
| United Auto Credit Securitization Trust, Series 2022-1, Class E(e) | 5.00% | 11/10/28 | 2,222,000 | 1,978,024 | ||||||||
| United Auto Credit Securitization Trust, Series 2022-2, Class E(e) | 10.00% | 04/10/29 | 475,000 | 420,613 | ||||||||
| United Auto Credit Securitization Trust, Series 2023-1, Class E(c)(e) | 10.98% | 09/10/29 | 529,000 | 549,314 | ||||||||
| Upstart Pass-Through Trust, Series 2020-ST2, Class CERT(e)(g) | N/A(f) | 03/20/28 | 5,000,000 | 439,111 | ||||||||
| Upstart Pass-Through Trust, Series 2020-ST4, Class CERT(e)(g) | N/A(f) | 11/20/26 | 1,150,718 | 98,015 | ||||||||
| Upstart Pass-Through Trust, Series 2021-ST10, Class CERT(e)(g) | N/A(f) | 01/20/30 | 300,000 | 92,218 | ||||||||
| Upstart Pass-Through Trust, Series 2021-ST9, Class CERT(e)(g) | N/A(f) | 11/20/29 | 1,000,000 | 287,068 | ||||||||
| Upstart Pass-Through Trust, Series 2022-ST1, Class CERT(e)(g) | N/A(f) | 03/20/30 | 557,333 | 151,507 | ||||||||
| Upstart Pass-Through Trust Series, Series 2022-ST2, Class CERT(e)(g) | N/A(f) | 04/20/30 | 500,000 | 84,800 | ||||||||
| Upstart Securitization Trust, Series 2021-4, Class CERT(e)(g) | N/A(f) | 09/20/31 | 6,175 | 365,769 | ||||||||
| Upstart Securitization Trust, Series 2022-1, Class B(c)(e) | 4.48% | 11/20/25 | 533,000 | 507,203 | ||||||||
| Upstart Securitization Trust, Series 2022-1, Class C(e) | 5.71% | 03/20/32 | 500,000 | 287,650 | ||||||||
| Upstart Securitization Trust, Series 2023-1, Class C(e) | 11.10% | 02/20/33 | 1,251,000 | 1,265,387 | ||||||||
| Upstart Securitization Trust, Series 2023-2, Class C(e) | 11.87% | 06/20/33 | 1,119,000 | 1,163,536 | ||||||||
| Upstart Structured Pass-Through Trust, Series 2022-1A, Class CERT(e)(g) | N/A(f) | 04/15/30 | 608 | 353,017 | ||||||||
| Upstart Structured Pass-Through Trust, Series 2022-4A, Class B(c)(e) | 8.54% | 11/15/30 | 502,000 | 510,082 | ||||||||
| USASF Receivables LLC, Series 2021-1A, Class D(e) | 4.36% | 03/15/27 | 1,125,000 | 432,113 | ||||||||
| Vasco Finance, Series 2023-1, Class E(b) | 1M EUR L + 8.50% | 07/27/29 | € | 200,000 | 218,214 | |||||||
| Vasco Finance, Series 2023-1, Class F | 15.00% | 07/27/29 | 200,000 | 222,364 | ||||||||
| Veros Auto Receivables Trust, Series 2023-1, Class C(e) | 8.32% | 11/15/28 | $ | 305,000 | 313,083 | |||||||
| Veros Auto Receivables Trust, Series 2023-1, Class D(e) | 11.46% | 08/15/30 | 1,000,000 | 1,034,800 | ||||||||
| Zip Master Trust, Series 2021-1, Class D(b) | 1M BBSW + 3.70% | 04/10/33 | AUD | 500,000 | 325,894 | |||||||
| Zip Master Trust, Series 2021-1, Class E(b) | 1M BBSW + 5.70% | 04/10/33 | 500,000 | 326,418 | ||||||||
| Description | Rate | Maturity Date(a) | Principal Amount | Fair Value | ||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| Zip Master Trust, Series 2023-2, Class E(b) | 1M BBSW + 12.00% | 11/10/25 | AUD | 780,000 | $ | 515,354 | ||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $103,122,683) | $ | 97,816,191 | ||||||||||
| COLLATERALIZED LOAN OBLIGATIONS (4.61%)(b) | ||||||||||||
| Bain Capital Credit CLO 2022-2, Ltd., Series 2022-2A, Class E | 3M CME TERM SOFR + 7.84% | 04/22/35 | $ | 1,000,000 | $ | 987,400 | ||||||
| CIFC Funding 2017-III, Ltd., Series 2017-3A, Class D | 3M CME TERM SOFR + 6.26% | 07/20/30 | 2,067,000 | 2,021,526 | ||||||||
| Galaxy XIX CLO, Ltd., Series 2017-19A, Class D2R | 3M CME TERM SOFR + 7.26% | 07/24/30 | 515,000 | 500,219 | ||||||||
| KKR CLO 23, Ltd., Series 2018-23, Class F | 3M CME TERM SOFR + 8.11% | 10/20/31 | 398,000 | 354,180 | ||||||||
| Mountain View CLO IX, Ltd., Series 2018-9A, Class CR | 3M CME TERM SOFR + 3.38% | 07/15/31 | 525,000 | 500,220 | ||||||||
| OZLM XI, Ltd., Series 2017-11A, Class DR | 3M CME TERM SOFR + 7.26% | 10/30/30 | 987,000 | 970,517 | ||||||||
| OZLM XI, Ltd., Series 2017-11X, Class DR | 3M CME TERM SOFR + 7.26% | 10/30/30 | 552,000 | 542,782 | ||||||||
| OZLM XXIII, Ltd., Series 2021-23A, Class ER | 3M CME TERM SOFR + 7.54% | 04/15/34 | 975,000 | 934,733 | ||||||||
| Park Avenue Institutional Advisers CLO, Ltd. 2022-2, Series 2023-2A, Class CR | 3M CME TERM SOFR + 6.00% | 01/20/37 | 500,000 | 513,050 | ||||||||
| Regatta X Funding, Ltd., Series 2017-3A, Class E | 3M CME TERM SOFR + 5.81% | 01/17/31 | 1,082,000 | 1,044,238 | ||||||||
| Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B | 3M CME TERM SOFR + 1.16% | 11/05/35 | 529,000 | 100,510 | ||||||||
| TICP CLO VI 2016-2, Ltd., Series 2021-6A, Class ER2 | 3M CME TERM SOFR + 6.51% | 01/15/34 | 250,000 | 246,400 | ||||||||
| TICP CLO VII, Ltd., Series 2020-7A, Class ER | 3M CME TERM SOFR + 7.31% | 04/15/33 | 771,000 | 762,134 | ||||||||
| TICP CLO X, Ltd., Series 2018-10X, Class E | 3M CME TERM SOFR + 5.76% | 04/20/31 | 526,000 | 526,368 | ||||||||
| TSTAT 2022-1, Ltd., Series 2023-1A, Class D1R | 3M CME TERM SOFR + 4.75% | 07/20/31 | 500,000 | 500,650 | ||||||||
| TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $10,325,461) | $ | 10,504,927 | ||||||||||
| PRIVATE SECURED DEBT (1.74%) | ||||||||||||
| Cherry Mezz Facility 2023(g) | 1M Term SOFR + 10.50% | 04/27/26 | $ | 395,956 | 395,956 | |||||||
| Reach Financial LLC(g)(i) | 9.00% | 12/31/49 | 1,524,402 | 1,524,402 | ||||||||
| Sandpiper Funding 2023, LLC(g) | 12.00% | 11/30/26 | 1,920,000 | 1,920,000 | ||||||||
| Southern Auto Finance Company LLC, Mezz WH 2021(g)(i) | 9.00% | 06/30/25 | 118,875 | 118,875 | ||||||||
| TOTAL PRIVATE SECURED DEBT (Cost $3,923,997) | $ | 3,959,233 | ||||||||||
| Shares | Fair Value | |||||||
| PREFERRED STOCKS (0.26%)(b)(j) | ||||||||
| New York Mortgage Trust, Inc., Series D | 8,071 | $ | 174,576 | |||||
| New York Mortgage Trust, Inc., Series E | 17,808 | 410,652 | ||||||
| TOTAL PREFERRED STOCKS (Cost $482,862) | $ | 585,228 | ||||||
| Description | Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
| SHORT-TERM INVESTMENTS (13.10%) | ||||||||||||
| United States Treasury Bill | 5.23% | 04/11/24 | $ | 10,000,000 | $ | 9,898,900 | ||||||
| United States Treasury Bill | 5.26% | 02/20/24 | 20,000,000 | 19,944,600 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $29,842,845) | $ | 29,843,500 | ||||||||||
7-Day Yield | Shares | Fair Value | ||||||||
| MONEY MARKET FUNDS (12.67%) | ||||||||||
| BlackRock Liquidity Funds T-Fund | 5.23% | 26,189,242 | $ | 26,189,242 | ||||||
| BlackRock Liquidity Funds Treasury Trust Fund Portfolio | 5.22% | 2,139,003 | 2,139,003 | |||||||
| BNY Mellon U.S. Treasury Fund, Institutional Class | 5.21% | 536,982 | 536,982 | |||||||
| TOTAL MONEY MARKET FUNDS (Cost $28,865,227) | $ | 28,865,227 | ||||||||
| Fair Value | ||||
| TOTAL INVESTMENTS (120.07%) (Cost $279,217,720) | 273,428,785 | |||
| Liabilities in Excess of Other Assets (-20.07%)(k) | (45,719,347 | ) | ||
| NET ASSETS (100.00%) | $ | 227,709,438 | ||
Percentages above are stated as a percentage of net assets as of January 31, 2024
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
EURIBOR - Euro Interbank Offered Rate
SONIA IR - Sterling Over Night Index Average
BBSW - Bank Bill Swap Rate
SOFR - Secured Overnight Financing Rate
Reference Rates as of January 31, 2024:
1M EUR L - 1 Month EURIBOR was 3.88%
3M EUR L - 3 Month EURIBOR was 3.91%
6M EUR L - 6 Month EURIBOR was 3.84%
1M US L - 1 Month USD LIBOR was 5.44%
1M SONIA IR - 1 Month SONIA was 5.20%
3M SONIA IR - 3 Month SONIA was 5.14%
1M BBSW - 1 Month BBSW was 4.30%
30D US SOFR - 30 Day US SOFR was 5.33%
12M US FED – 12 Month US FED was 5.33%
| (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, 2024. 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) | On January 31, 2024, all or a portion of these securities were pledged as collateral for reverse repurchase agreements in the amount of $91,130,634. |
| (d) | Interest only security. |
| (e) | 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, 2024, the aggregate market value of those securities was $133,505,939, representing 58.63% of net assets. |
| (f) | 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. |
| (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) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at January 31, 2024. |
| (i) | Securities have associated unfunded commitments of $1,415,304 and $762,423 to Reach Financial LLC and Southern Auto Finance Company LLC, respectively. |
| (j) | Perpetual maturity. |
| (k) | Includes cash being held as collateral for derivatives and reverse repurchase agreements. |
DERIVATIVE INSTRUMENTS
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, 2024(b) | Notional Amount(c) | Value | Upfront Premiums Received/(Paid) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
| Markit CMBX BB Series 14 Index | Morgan Stanley | 5.00% | USD | 12/16/72 | 17.30% | 2,000,000 | $ | (657,925 | ) | $ | 808,750 | $ | 150,825 | |||||||||||||||||||
| Markit CMBX BB Series 15 Index | Morgan Stanley | 5.00% | USD | 11/18/64 | 12.94% | 2,000,000 | (530,091 | ) | 820,000 | 289,909 | ||||||||||||||||||||||
| $ | (1,188,016 | ) | $ | 1,628,750 | $ | 440,734 | ||||||||||||||||||||||||||
CREDIT DEFAULT SWAP CONTRACTS ON CREDIT INDICES ISSUE - SELL PROTECTION (CENTRALLY CLEARED)
| Reference Obligations | Counterparty | Fixed Deal Rate | Currency | Maturity Date | Implied Credit Spread at January 31, 2024(b) | Notional Amount(c) | Value | Upfront Premiums Received/(Paid) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
| Markit NA HY Series 41 Index | ICE | 5.00% | USD | 12/20/28 | 3.61% | 7,666,560 | $ | 425,546 | $ | (43,787 | ) | $ | 381,759 | |||||||||||||||||||||||
| $ | 425,546 | $ | (43,787 | ) | $ | 381,759 | ||||||||||||||||||||||||||||||
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. |
INTEREST RATE SWAP CONTRACTS (CENTRALLY CLEARED)
| Pay/Receive Floating Rate | Clearing House | Floating Rate | Expiration Date | Notional Amount | Currency | Fixed Rate | Fair Value and Unrealized Appreciation/ (Depreciation) | |||||||||||||||
| Receive | LCH Ltd. | SOFR | 02/23/2027 | 300,000 | USD | 1.65% | $ | 18,254 | ||||||||||||||
| Receive | LCH Ltd. | SOFR | 06/21/2028 | 7,786,000 | USD | 3.21% | 130,125 | |||||||||||||||
| $ | 148,379 | |||||||||||||||||||||
| Receive | LCH Ltd. | SOFR | 02/19/2030 | 2,390,000 | USD | 3.59% | $ | (5,032 | ) | |||||||||||||
| Receive | LCH Ltd. | SOFR | 02/16/2028 | 26,520,000 | USD | 3.79% | (148,277 | ) | ||||||||||||||
| Receive | LCH Ltd. | 6M EUR L | 02/27/2025 | 3,500,000 | EUR | 3.54% | (5,554 | ) | ||||||||||||||
| $ | (158,863 | ) | ||||||||||||||||||||
FUTURES CONTRACTS - SHORT (CENTRALLY CLEARED)
| Description | Counterparty | Position | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
| 10-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Short | 11 | March 2024 | $ | (1,235,609 | ) | $ | (35,320 | ) | ||||||||||
| 2-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Short | 7 | March 2024 | (1,439,594 | ) | (3,318 | ) | ||||||||||||
| 5-YR U.S. TREASURY NOTE | Wells Fargo Securities, LLC | Short | 192 | March 2024 | (20,811,000 | ) | (373,482 | ) | ||||||||||||
| AUD/USD CURRENCY | Wells Fargo Securities, LLC | Short | 36 | March 2024 | (2,377,800 | ) | 42,360 | |||||||||||||
| EUR/USD CURRENCY | Wells Fargo Securities, LLC | Short | 156 | March 2024 | (21,177,975 | ) | 155,641 | |||||||||||||
| EURO BOBL | Wells Fargo Securities, LLC | Short | 3 | March 2024 | (384,284 | ) | (906 | ) | ||||||||||||
| GBP/USD CURRENCY | Wells Fargo Securities, LLC | Short | 189 | March 2024 | (15,019,594 | ) | (24,996 | ) | ||||||||||||
| $ | (62,445,856 | ) | $ | (240,021 | ) | |||||||||||||||
See Notes to Quarterly Consolidated Schedule of Investments.
1WS CREDIT INCOME FUND
NOTES TO QUARTERLY CONSOLIDATED SCHEDULE OF INVESTMENTS
January 31, 2024 (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. In accordance with ASC 810, Consolidation, the accompanying consolidated financial statements include the Cayman Islands SPV’s assets and liabilities and results of operations. 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 year end are reflected as liabilities and assets, respectively. Interest is recorded on an accrual basis. Realized gains and losses on investment transactions reflected in the consolidated statement of operations are recorded on a first-in, first-out basis.
Premiums on fixed-income securities and discounts on non-distressed fixed-income securities are amortized and recorded within interest income in the consolidated statement of operations.
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, the Fund’s "Valuation Designee" (as such term is defined in Rule 2a-5 of the 1940 Act).
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, 2024, approximately 2.95% 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, 2024:
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Residential Mortgage-Backed Securities | $ | – | $ | 63,192,781 | $ | – | $ | 63,192,781 | ||||||||
| Commercial Mortgage-Backed Securities | – | 34,567,734 | 4,093,964 | 38,661,698 | ||||||||||||
| Asset-Backed Securities | – | 91,206,321 | 6,609,870 | 97,816,191 | ||||||||||||
| Collateralized Loan Obligations | – | 10,504,927 | – | 10,504,927 | ||||||||||||
| Preferred Stocks | 585,228 | – | – | 585,228 | ||||||||||||
| Private Secured Debt | – | – | 3,959,233 | 3,959,233 | ||||||||||||
| Short-Term Investments | – | 29,843,500 | – | 29,843,500 | ||||||||||||
| Money Market Funds | 28,865,227 | – | – | 28,865,227 | ||||||||||||
| Total | $ | 29,450,455 | $ | 229,315,263 | $ | 14,663,067 | $ | 273,428,785 | ||||||||
| Derivative Instruments | ||||||||||||||||
| Assets: | ||||||||||||||||
| Credit Default Swap Contracts | $ | – | $ | 822,493 | $ | – | $ | 822,493 | ||||||||
| Interest Rate Swap Contracts | – | 148,379 | – | 148,379 | ||||||||||||
| Future Contracts | 198,001 | – | – | 198,001 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Future Contracts | $ | (438,022 | ) | – | – | (438,022 | ) | |||||||||
| Interest Rate Swaps | – | (158,863 | ) | – | (158,863 | ) | ||||||||||
| Total | $ | (240,021 | ) | $ | 812,009 | $ | – | $ | 571,988 | |||||||
There were no changes in valuation technique.
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, 2024 of the Fund’s Level 3 portfolio investments:
| Commercial Mortgage- Backed Securities | Asset-Backed Securities | Collateralized Loan Obligations | Private Secured Debt | Total | ||||||||||||||||
| Balance as of October 31, 2023 | $ | 4,070,067 | $ | 6,955,708 | $ | 905,510 | $ | 2,083,500 | $ | 14,014,785 | ||||||||||
| Accrued discount/ premium | - | (237,162 | ) | (5,692 | ) | 1,564 | (241,290 | ) | ||||||||||||
| Realized Gain/(Loss) | - | - | (222,273 | ) | - | (222,273 | ) | |||||||||||||
| Change in Unrealized Appreciation/(Depreciation) | - | (386,175 | ) | 195,716 | 35,236 | (155,223 | ) | |||||||||||||
| Purchases | 23,897 | 277,499 | - | 3,023,247 | 3,324,643 | |||||||||||||||
| Sales Proceeds | - | - | (873,261 | ) | (1,184,314 | ) | (2,057,575 | ) | ||||||||||||
| Transfer into Level 3 | - | - | - | - | - | |||||||||||||||
| Transfer out of Level 3 | - | - | - | - | - | |||||||||||||||
| Balance as of January 31, 2024 | $ | 4,093,964 | $ | 6,609,870 | $ | - | $ | 3,959,233 | $ | 14,663,067 | ||||||||||
| Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at January 31, 2024 | $ | - | $ | (386,175 | ) | $ | - | $ | 35,236 | $ | (350,939 | ) | ||||||||
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, 2024:
Quantitative Information about Level 3 Fair Value Measurements
| Asset Class | Fair Value | Valuation Technique | Unobservable Inputs | Value/Range |
| Commercial Mortgage-Backed Securities | $4,093,964 | Internal Model | Loss Severity analysis | $100(3) |
| Asset Backed Securities | $6,609,870 | Broker Pricing | Indicative Quotes | $958,062(1) |
| Private Secured Debt | $3,959,233 | Internal Model | Loss Severity analysis | $100(2) |
| (1) | Input is based on the total market value of the outstanding position, of which the Fund owns 0.38% - 9.87%. |
| (2) | Input is due to immaterial delinquencies on the underlying collateral. |
| (3) | Inputs are based on a yields ranging from 11.77% - 13.69%. |
RISK DISCLOSURES
Holdings contained herein are subject to change.
Prior to investing, Investors should carefully consider the investment objectives, risks, charges and expenses of 1WS Credit Income Fund. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling (833) 834-4923 or visiting www.1wscapital.com. The prospectus should be read carefully before investing. Investing in the Fund may be considered speculative and involves a high degree of risk, including the risk of possible substantial loss of your investment.
1WS Credit Income Fund is distributed by ALPS Distributors, Inc. ALPS Distributors, Inc. is not affiliated with 1WS Capital Advisors, LLC or One William Street Capital Management, L.P.