Refugio Research · SEC-filing-based research, not investment advice · Audit: Synthetic financing (TRS + written credit protection) · Jackson Credit Opportunities Fund Data through 2026-07-02 · rendered 2026-07-14 01:46

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Audit: Synthetic financing (TRS + written credit protection) — Jackson Credit Opportunities Fund

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Latest observation · Monthly portfolio report (Form N-PORT) · filed 2026-05-28 · period 2026-03-31

gross synthetic-financing notional = written CDS on CDX.NA.HY.46 (INTERCONTINENTAL EXCHANGE) 5,800,000 = 5,800,000 (1.00% of N-PORT net assets 578,369,290) — classifications human-reviewed (Jackson Credit Opportunities Fund: 1 written CDS on CDX.NA.HY.46 reviewed this session ('Sell Protection' verbatim, same Lord Abbett precedent); docs/obs_phase2_findings.md); N-PORT accession 0001193125-26-244833 filed 2026-05-28

Method Matched text template against the filing

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Technical locator

gross synthetic-financing notional = written CDS on CDX.NA.HY.46 (INTERCONTINENTAL EXCHANGE) 5,800,000 = 5,800,000 (1.00% of N-PORT net assets 578,369,290) | classifications human-reviewed (Jackson Credit Opportunities Fund: 1 written CDS on CDX.NA.HY.46 reviewed this session ('Sell Protection' verbatim, same Lord Abbett precedent); docs/obs_phase2_findings.md) | N-PORT accession 0001193125-26-244833 filed 2026-05-28

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 5,800,000 T1 NPORT-P 2026-05-28
gross synthetic-financing notional = written CDS on CDX.NA.HY.46 (INTERCONTINENTAL EXCHANGE) 5,800,000 = 5,800…

gross synthetic-financing notional = written CDS on CDX.NA.HY.46 (INTERCONTINENTAL EXCHANGE) 5,800,000 = 5,800,000 (1.00% of N-PORT net assets 578,369,290) | classifications human-reviewed (Jackson Credit Opportunities Fund: 1 written CDS on CDX.NA.HY.46 reviewed this session ('Sell Protection' verbatim, same Lord Abbett precedent); docs/obs_phase2_findings.md) | N-PORT accession 0001193125-26-244833 filed 2026-05-28

extracted 2026-07-11T23:10:36 · confidence 1.0