Refugio Research · SEC-filing-based research, not investment advice · Audit: Synthetic financing (TRS + written credit protection) · Lord Abbett Credit Opportunities 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) — Lord Abbett Credit Opportunities Fund

← back to the fund page

Latest observation · Monthly portfolio report (Form N-PORT) · filed 2026-05-29 · period 2026-03-31

gross synthetic-financing notional = written CDS on CDX.NA.HY.S45 (Intercontinental Exchange, Inc.) 199,183,050 + written CDS on Oracle Corp. (Intercontinental Exchange, Inc.) 53,731,000 = 252,914,050 (8.61% of N-PORT net assets 2,937,703,565) — classifications human-reviewed (Lord Abbett: 2 written-CDS contracts reviewed iteration 16 ('sell protection' verbatim); docs/obs_phase2_findings.md); N-PORT accession 0001410368-26-056351 filed 2026-05-29

Method Matched text template against the filing

Open the filing on SEC.gov

Technical locator

gross synthetic-financing notional = written CDS on CDX.NA.HY.S45 (Intercontinental Exchange, Inc.) 199,183,050 + written CDS on Oracle Corp. (Intercontinental Exchange, Inc.) 53,731,000 = 252,914,050 (8.61% of N-PORT net assets 2,937,703,565) | classifications human-reviewed (Lord Abbett: 2 written-CDS contracts reviewed iteration 16 ('sell protection' verbatim); docs/obs_phase2_findings.md) | N-PORT accession 0001410368-26-056351 filed 2026-05-29

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
2026-03-31 252,914,050 T1 NPORT-P 2026-05-29
gross synthetic-financing notional = written CDS on CDX.NA.HY.S45 (Intercontinental Exchange, Inc.) 199,183,05…

gross synthetic-financing notional = written CDS on CDX.NA.HY.S45 (Intercontinental Exchange, Inc.) 199,183,050 + written CDS on Oracle Corp. (Intercontinental Exchange, Inc.) 53,731,000 = 252,914,050 (8.61% of N-PORT net assets 2,937,703,565) | classifications human-reviewed (Lord Abbett: 2 written-CDS contracts reviewed iteration 16 ('sell protection' verbatim); docs/obs_phase2_findings.md) | N-PORT accession 0001410368-26-056351 filed 2026-05-29

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