Refugio Research · SEC-filing-based research, not investment advice · Audit: Synthetic financing (TRS + written credit protection) · Cion Ares Diversified Credit Fund Data through 2026-07-02 · rendered 2026-07-14 01:49

Refugio Research beta

Finding firmer ground in alternative investments.

Sections

Audit: Synthetic financing (TRS + written credit protection) — Cion Ares Diversified Credit Fund

← back to the fund page

Latest observation · Monthly portfolio report (Form N-PORT) · filed 2026-05-22 · period 2026-03-31

gross synthetic-financing notional = TRS on CDX.NA.HY Series 43 (Goldman Sachs & Co. LLC) 8,997,407 + TRS on CDX.NA.HY Series 41 (Goldman Sachs & Co. LLC) 10,395,000 + TRS on SRT CDS Tranche 95.12-99.23 09/30/2031 (Goldman Sachs & Co. LLC) 3,588,818 = 22,981,225 (0.47% of N-PORT net assets 4,924,371,369) — classifications human-reviewed (CION Ares: CDX TRS + sold SRT tranche reviewed iteration 16 (signed-notional handling); docs/obs_phase2_findings.md); N-PORT accession 0001049169-26-001104 filed 2026-05-22

Method Matched text template against the filing

Open the filing on SEC.gov

Technical locator

gross synthetic-financing notional = TRS on CDX.NA.HY Series 43 (Goldman Sachs & Co. LLC) 8,997,407 + TRS on CDX.NA.HY Series 41 (Goldman Sachs & Co. LLC) 10,395,000 + TRS on SRT CDS Tranche 95.12-99.23 09/30/2031 (Goldman Sachs & Co. LLC) 3,588,818 = 22,981,225 (0.47% of N-PORT net assets 4,924,371,369) | classifications human-reviewed (CION Ares: CDX TRS + sold SRT tranche reviewed iteration 16 (signed-notional handling); docs/obs_phase2_findings.md) | N-PORT accession 0001049169-26-001104 filed 2026-05-22

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.

PeriodValueTierSource filingProvenance
2026-03-31 22,981,225.2 T1 NPORT-P 2026-05-22
gross synthetic-financing notional = TRS on CDX.NA.HY Series 43 (Goldman Sachs & Co. LLC) 8,997,407 + TRS on C…

gross synthetic-financing notional = TRS on CDX.NA.HY Series 43 (Goldman Sachs & Co. LLC) 8,997,407 + TRS on CDX.NA.HY Series 41 (Goldman Sachs & Co. LLC) 10,395,000 + TRS on SRT CDS Tranche 95.12-99.23 09/30/2031 (Goldman Sachs & Co. LLC) 3,588,818 = 22,981,225 (0.47% of N-PORT net assets 4,924,371,369) | classifications human-reviewed (CION Ares: CDX TRS + sold SRT tranche reviewed iteration 16 (signed-notional handling); docs/obs_phase2_findings.md) | N-PORT accession 0001049169-26-001104 filed 2026-05-22

extracted 2026-07-10T12:21:20 · confidence 1.0