Refugio Research · Audit · Synthetic financing (TRS + written credit protection)

Audit: Synthetic financing (TRS + written credit protection) — 1WS Credit Income Fund

Latest observation · Monthly portfolio report (Form N-PORT) · filed 2026-06-26 · period 2026-04-30

gross synthetic-financing notional = TRS on CDX.NA.HY Series 45 (Wells Fargo Securities, LLC) 239,582 + TRS on CDX.NA.HY Series 41 (Wells Fargo Securities, LLC) 5,940 + TRS on CDX.NA.HY Series 44 (Wells Fargo Securities, LLC) 38,501 + TRS on CDX.NA.HY Series 43 (Wells Fargo Securities, LLC) 1,479 + TRS on CMBX.NA.BBB Series 15 (Morgan Stanley) 7,000,000 + TRS on CMBX.NA.BB Series 14 (Morgan Stanley) 2,000,000 + TRS on CDX.NA.HY Series 46 (Wells Fargo Securities, LLC) 92,411,112 = 101,696,614 (11.91% of N-PORT net assets 853,679,763) — classifications human-reviewed (1WS Credit Income Fund: 7 CDX/CMBX credit-index swaps reviewed this session (signed-notional handling, same CION Ares precedent); docs/obs_phase2_findings.md); N-PORT accession 0001049169-26-001766 filed 2026-06-26

Method Matched text template against the filing

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Technical locator

gross synthetic-financing notional = TRS on CDX.NA.HY Series 45 (Wells Fargo Securities, LLC) 239,582 + TRS on CDX.NA.HY Series 41 (Wells Fargo Securities, LLC) 5,940 + TRS on CDX.NA.HY Series 44 (Wells Fargo Securities, LLC) 38,501 + TRS on CDX.NA.HY Series 43 (Wells Fargo Securities, LLC) 1,479 + TRS on CMBX.NA.BBB Series 15 (Morgan Stanley) 7,000,000 + TRS on CMBX.NA.BB Series 14 (Morgan Stanley) 2,000,000 + TRS on CDX.NA.HY Series 46 (Wells Fargo Securities, LLC) 92,411,112 = 101,696,614 (11.91% of N-PORT net assets 853,679,763) | classifications human-reviewed (1WS Credit Income Fund: 7 CDX/CMBX credit-index swaps reviewed this session (signed-notional handling, same CION Ares precedent); docs/obs_phase2_findings.md) | N-PORT accession 0001049169-26-001766 filed 2026-06-26

Extraction tiers, explained

Every stored observation below, newest first, with its extraction tier, the exact filing it came from, and the verbatim snippet it was read from. Derived values state their formula and constituent figures in the source line. Tiers: T1 = structured XBRL tag; T2 = matched text template; T3/R3 = narrative/term extraction.

Period	Value	Tier	Source filing	Provenance
2026-04-30	101,696,614.001	T1	NPORT-P 2026-06-26	gross synthetic-financing notional = TRS on CDX.NA.HY Series 45 (Wells Fargo Securities, LLC) 239,582 + TRS on… gross synthetic-financing notional = TRS on CDX.NA.HY Series 45 (Wells Fargo Securities, LLC) 239,582 + TRS on CDX.NA.HY Series 41 (Wells Fargo Securities, LLC) 5,940 + TRS on CDX.NA.HY Series 44 (Wells Fargo Securities, LLC) 38,501 + TRS on CDX.NA.HY Series 43 (Wells Fargo Securities, LLC) 1,479 + TRS on CMBX.NA.BBB Series 15 (Morgan Stanley) 7,000,000 + TRS on CMBX.NA.BB Series 14 (Morgan Stanley) 2,000,000 + TRS on CDX.NA.HY Series 46 (Wells Fargo Securities, LLC) 92,411,112 = 101,696,614 (11.91% of N-PORT net assets 853,679,763) \| classifications human-reviewed (1WS Credit Income Fund: 7 CDX/CMBX credit-index swaps reviewed this session (signed-notional handling, same CION Ares precedent); docs/obs_phase2_findings.md) \| N-PORT accession 0001049169-26-001766 filed 2026-06-26 extracted 2026-07-11T23:10:36 · confidence 1.0