Investing in Structured Credit A Primer – Part 1 of 6

Structured Credit Overview

Structured finance is a large component of the U.S. fixed-income bond market and, yet, generally underweighted in many traditional fixed-income bond portfolios, in our opinion. The breadth of investment alternatives is quite large owing to the diversity of underlying collateral types and investment structures within.

At the core of structured finance is:

• Pooling of similar debt obligations/assets
• Structuring of the underlying cash flows
• Selling the resulting structured cash flows as investable securities

The process of structured credit has reshaped the U.S. fixed-income markets by taking relatively illiquid assets and creating liquid tradeable securities. This may have benefits for investors, lenders/issuers, and the underlying borrowers.

• Investors may benefit from the diversification of investment alternatives relative to more traditional fixed-income exposures.
• Lenders and issuers benefit from the addition of a new source of financing. Securitization can potentially provide off-balance sheet treatment of assets, better asset/liability matching, and potentially lower financing costs.
• Borrowers may benefit as lower financing rates for lenders increases competition and ultimately translates into lower borrowing costs for consumers and businesses.

1WS believes that structured credit investments offer many portfolio benefits:

• Diverse underlying credit exposures with fixed or floating coupons.
• Securities with recourse to real assets can potentially mitigate inflation risk.
• Structural features enable evolving credit profiles over time.

RISK DISCLOSURES

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

Limited liquidity is provided to shareholders only through the 1WS Credit Income Fund’s quarterly repurchase offers for no less than 5% of the Fund’s shares outstanding at net asset value. There is no guarantee that shareholders will be able to sell all of the shares they desire to sell in a quarterly repurchase offer. The Fund is suitable only for investors who can bear the risks associated with the limited liquidity of the Fund and should be viewed as a long-term investment.

Diversification does not eliminate the risk of experiencing investment losses. Below investment grade instruments or “junk securities” are particularly susceptible to economic downturns compared to higher rated investments. In addition to the normal risks associated with investing, investing in international and emerging markets involves risk of capital loss from unfavorable fluctuations in currency values, differences in generally accepted accounting principles or from social, economic or political instability in other nations.

Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Mortgage-backed and asset-backed securities are affected by interest rates, financial health of issuers/originators, creditworthiness of entities providing credit enhancements and the value of underlying assets. Fixed-income securities present issuer default risk. Prepayment and extension risk exists because a loan, bond or other investment may be called, prepaid or redeemed before maturity and similar yielding investments may not be available for purchase. Investing in structured finance securities may be affected by a variety of factors, including priority in the capital structure of the issuer thereof, the availability of any credit enhancement, and the level and timing of payments and recoveries on and the characteristics of the underlying receivables, loans or other assets that are being securitized, among others. Market or other (e.g., interest rate) environments may adversely affect negatively, impacting their price.

Investors should carefully consider the risks generally associated with Structured Credit, including the following:

Increased complexity; reduced liquidity and marketability. Structured credit investments may have limited or no liquidity. Liquidity risk exists when particular investments may be difficult to purchase or sell, potentially preventing sale of such illiquid investments at an advantageous time or price. Structured credit investments are complex securities that may trade infrequently and, therefore, may be difficult to price and to liquidate.

Credit risks and default risks. This relates to the risk of loss due to adverse developments in the underlying collateral. Credit risk is the risk that an issuer of, or obligor under, a credit investment, may be unable or unwilling to make dividend, interest and principal payments when due and the related risk that the value of a credit investment may decline because of concerns about the issuer’s or obligor’s ability or willingness to make such payments. This risk may be especially heightened for certain credit investments, such as below-investment-grade securities, and may include the possibility of dividend or interest deferral, default or bankruptcy. The market values for below investment grade securities or credit investments of comparable credit quality tend to be very volatile, and these instruments are generally less liquid than investment grade securities.

Inadequate collateral. There can be no assurance as to the amount of any funds that may be realized from recovering and liquidating any collateral or the timing of such recovery and liquidation and hence there is no assurance that funds will be available to offset any payment defaults. For example, with respect to real estate-related loans, the real property security for the loan may decline in value, which could result in the loan amount being greater than the property value and therefore increase the likelihood of borrower default. If a borrower or obligor enters bankruptcy, an automatic stay of all proceedings against such borrower’s property will be granted. This stay will prevent any recovery and liquidation of the collateral securing such loan, unless relief from the stay can be obtained from the bankruptcy court. There is no guarantee that any such relief will be obtained.

Interest rate risk. Structured credit investments may decline in value because of changes in market interest rates. Interest rate risk is the risk that fixed rate instruments will decline in value because of changes in market interest rates. When market interest rates rise, the market value of such instruments generally will fall. Longer-term fixed rate instruments are generally more sensitive to interest rate changes. Moreover, an increase in interest rates could negatively affect financial markets generally, increase market volatility and reduce the value and liquidity of credit investments in which we may invest. Because the values of lower-rated and comparable unrated fixed rate instruments are more affected both by credit risk and interest rate risk, the price movements of such lower grade instruments in response to changes in interest rates typically have not been highly correlated to the fluctuations of the prices of investment grade quality instruments in response to changes in market interest rates. Default rates of credit investments may increase due to factors such as prevailing interest rates, the rate of unemployment, the level of consumer confidence, real estate values, the value of the U.S. dollar, energy prices, changes in consumer spending, the number of bankruptcies, disruptions in the credit markets and other factors.

The information provided herein is not intended to be a forecast of future events, a guarantee of future results or investment advice, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the portfolio manager disclaims any responsibility to update such views. The views expressed in this report reflect the current views of the portfolio manager as of May 31st, 2022.

This document and the information contained herein are for educational and informational purposes only and do not constitute, and should not be construed as, an offer to sell, or a solicitation of an offer to buy, any securities or related financial instruments. Responses to any inquiry that may involve the rendering of personalized investment advice or effecting or attempting to effect transactions in securities will not be made absent compliance with applicable laws or regulations (including broker dealer, investment adviser or applicable agent or representative registration requirements), or applicable exemptions or exclusions therefrom. Wherever there is the potential for profit, there is also the possibility of loss.

The materials, including the information contained herein, may not be copied, reproduced, republished, posted, transmitted, distributed, disseminated or disclosed, in whole or in part, to any other person in any way without the prior written consent of One William Street Capital Management, LP (together with its affiliates, “OWS”). By accepting this document, you agree that you will comply with these restrictions and acknowledge that your compliance is a material inducement to OWS providing this document to you.

Certain information contained herein concerning economic trends and performance is based on or derived from information provided by independent third-party sources. OWS believes that such information is accurate and that the sources from which it has been obtained are reliable; however, it cannot guarantee the accuracy of such information and has not independently verified the accuracy or completeness of such information or the assumptions on which such information is based. Moreover, independent third-party sources cited in these materials are not making any representations or warranties regarding any information attributed to them and shall have no liability in connection with the use of such information in these materials.