Document
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| SENIOR LOANS (b)(c)(d) | | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | | | | |
| Automotive Keys Group, LLC | | | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 11/6/2025 | | | | | | $ | 672 | | | $ | 672 | | (e)(f) | |
| Continental Acquisition Holdings, Inc. | | | | 1st Lien Revolver | | 4.50% (3M LIBOR + 3.50%) | | 1/20/2026 | | | | | | | 1 | | | 1 | | (e)(h) | |
| Continental Acquisition Holdings, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 1/20/2027 | | | | | | | 3,974 | | | 3,974 | | (e)(f) | |
| Continental Acquisition Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 1/20/2027 | | | | | | | 1,461 | | | — | | (e)(h) | |
| Highline Aftermarket Acquisition, LLC | | | | 1st Lien Revolver | | 3.83% (1M LIBOR + 3.75%) | | 11/10/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| Highline Aftermarket Acquisition, LLC | | | | 2nd Lien Term Loan | | 8.75% (3M LIBOR + 8.00%) | | 11/9/2028 | | | | | | | 5,942 | | | 5,883 | | (e)(f) | |
| Highline Aftermarket Acquisition, LLC | | | | 2nd Lien Delayed Draw Term Loan | | 8.75% (3M LIBOR + 8.00%) | | 11/9/2028 | | | | | | | 4,209 | | | 4,167 | | (e) | |
| Mavis Tire Express Services Topco Corp. | | | | 1st Lien Revolver | | | | 5/4/2026 | | | | | | | 1 | | | — | | (e)(h) | |
| Sun Acquirer Corp. | | | | 1st Lien Revolver | | | | 9/8/2027 | | | | | | | 1,059 | | | (21) | | (e)(h) | |
| Sun Acquirer Corp. | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 9/8/2028 | | | | | | | 6,615 | | | 6,549 | | (e) | |
| Sun Acquirer Corp. | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 9/8/2028 | | | | | | | 4,869 | | | 640 | | (e)(h) | |
| Truck Hero, Inc. | | | | 1st Lien Term Loan | | 4.00% (1M LIBOR + 3.25%) | | 1/31/2028 | | | | | | | 2,494 | | | 2,487 | | | |
| Wand Newco 3, Inc. | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 2/5/2026 | | | | | | | 4,209 | | | 4,168 | | (i) | |
| Wand Newco 3, Inc. | | | | 2nd Lien Term Loan | | 7.34% (1M LIBOR + 7.25%) | | 2/5/2027 | | | | | | | 3,000 | | | 3,000 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 31,520 | | | 1.92% |
| Banks | | | | | | | | | | | | | | | | | | | |
| Invictus U.S., LLC (SK Invictus Intermediate II, S.A.R.L.) | | Luxembourg | | 2nd Lien Term Loan | | 6.83% (1M LIBOR + 6.75%) | | 3/30/2026 | | | | | | | 690 | | | 688 | | (i) | |
| | | | | | | | | | | | | | | | | 688 | | | 0.04% |
| Capital Goods | | | | | | | | | | | | | | | | | | | |
| Alliance Laundry Systems LLC | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.50%) | | 10/8/2027 | | | | | | | 2,945 | | | 2,948 | | | |
| Artera Services, LLC | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.50%) | | 3/6/2025 | | | | | | | 4,347 | | | 4,323 | | (i) | |
| Brookfield WEC Holdings Inc. | | | | 1st Lien Term Loan | | 3.25% (1M LIBOR + 2.75%) | | 8/1/2025 | | | | | | | 6,918 | | | 6,867 | | | |
| Clarios Global LP | | Canada | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 4/30/2026 | | | | | | | 951 | | | 946 | | | |
| Conair Holdings LLC | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 5/17/2028 | | | | | | | 3,535 | | | 3,536 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| CP Atlas Buyer, Inc. | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 11/23/2027 | | | | | | $ | 7,443 | | | $ | 7,415 | | (i) | |
| Creation Holdings Inc. | | | | 1st Lien Revolver | | 6.75% (3M LIBOR + 5.75%) | | 8/15/2024 | | | | | | | 545 | | | 454 | | (e)(h) | |
| Creation Holdings Inc. | | | | 1st Lien Term Loan | | 6.75% (1M LIBOR + 5.75%) | | 8/15/2025 | | | | | | | 2,348 | | | 2,348 | | (e)(f) | |
| Creation Holdings Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (1M LIBOR + 5.75%) | | 8/15/2025 | | | | | | | 443 | | | 443 | | (e) | |
| Crown Subsea Communications Holding, Inc. | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 5.00%) | | 4/27/2027 | | | | | | | 1,212 | | | 1,219 | | | |
| Dynamic NC Aerospace Holdings, LLC | | | | 1st Lien Revolver | | | | 12/30/2025 | | | | | | | 1,296 | | | (13) | | (e)(h) | |
| Dynamic NC Aerospace Holdings, LLC | | | | 1st Lien Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 12/30/2026 | | | | | | | 3,293 | | | 3,260 | | (e)(f) | |
| Eleda BidCo AB | | Sweden | | 1st Lien Term Loan | | 6.50% (3M STIBOR + 6.50%) | | 6/30/2026 | | | | | | SEK | 21,000 | | | 2,399 | | (e)(f) | |
| Eleda BidCo AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | | | 6/30/2026 | | | | | | SEK | 8,000 | | | — | | (e)(h) | |
| Eleda BidCo AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M STIBOR + 6.50%) | | 6/30/2026 | | | | | | SEK | 9,070 | | | 1,036 | | (e)(f) | |
| EPS NASS Parent, Inc. | | | | 1st Lien Revolver | | 6.75% (1M LIBOR + 5.75%) | | 4/17/2026 | | | | | | | 158 | | | 17 | | (e)(h) | |
| EPS NASS Parent, Inc. | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 4/19/2028 | | | | | | | 5,847 | | | 5,788 | | (e)(f) | |
| EPS NASS Parent, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 4/19/2028 | | | | | | | 585 | | | (6) | | (e)(h) | |
| FCG Acquisitions, Inc. | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 3/31/2028 | | | | | | | 1,676 | | | 1,672 | | | |
| FCG Acquisitions, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 3/31/2028 | | | | | | | 320 | | | 306 | | (h) | |
| Flow Control Solutions, Inc. | | | | 1st Lien Revolver | | | | 11/21/2024 | | | | | | | 373 | | | — | | (e)(h) | |
| Flow Control Solutions, Inc. | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 11/21/2024 | | | | | | | 1,271 | | | 1,271 | | (e)(f) | |
| Flow Control Solutions, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 11/21/2024 | | | | | | | 1,595 | | | 1,121 | | (e)(h) | |
| Kene Acquisition, Inc. | | | | 1st Lien Revolver | | | | 8/8/2024 | | | | | | | 676 | | | — | | (e)(h) | |
| Kene Acquisition, Inc. | | | | 1st Lien Term Loan | | 5.25% (1M LIBOR + 4.25%) | | 8/10/2026 | | | | | | | 2,855 | | | 2,855 | | (e)(f) | |
| Kene Acquisition, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 5.25% (1M LIBOR + 4.25%) | | 8/10/2026 | | | | | | | 478 | | | 478 | | (e) | |
| Kodiak BP, LLC | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.25%) | | 3/12/2028 | | | | | | | 5,541 | | | 5,536 | | (i) | |
| Madison IAQ LLC | | | | 1st Lien Term Loan | | 3.75% (6M LIBOR + 3.25%) | | 6/21/2028 | | | | | | | 2,969 | | | 2,964 | | | |
| Maverick Acquisition, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 6/1/2027 | | | | | | | 5,361 | | | 5,307 | | (e)(f) | |
| Maverick Acquisition, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 6/1/2027 | | | | | | | 1,915 | | | (19) | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Osmose Utilities Services, Inc. | | | | 2nd Lien Term Loan | | 7.25% (1M LIBOR + 6.75%) | | 6/25/2029 | | | | | | $ | 8,237 | | | $ | 8,155 | | (e) | |
| Osmosis Buyer, Ltd. | | Great Britain | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 4.00%) | | 7/31/2028 | | | | | | | 7,904 | | | 7,926 | | | |
| Osmosis Buyer, Ltd. | | | | 1st Lien Delayed Draw Term Loan | | | | 7/31/2028 | | | | | | | 988 | | | 991 | | (i) | |
| Peraton Corp. | | | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 3.75%) | | 2/1/2028 | | | | | | | 1,919 | | | 1,919 | | | |
| Radius Aerospace Europe Limited | | Great Britain | | 1st Lien Revolver | | | | 3/29/2025 | | | | | | ₤ | 186 | | | (3) | | (e)(h) | |
| Radius Aerospace Europe Limited | | Great Britain | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 3/29/2025 | | | | | | | 1,598 | | | 1,582 | | (e)(f) | |
| Radius Aerospace, Inc. | | | | 1st Lien Revolver | | | | 3/29/2025 | | | | | | | 429 | | | (4) | | (e)(h) | |
| Radius Aerospace, Inc. | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 3/29/2025 | | | | | | | 2,416 | | | 2,392 | | (e)(f) | |
| Sigma Electric Manufacturing Corporation | | | | 1st Lien Revolver | | | | 10/31/2022 | | | | | | | 1 | | | — | | (e)(h) | |
| Sigma Electric Manufacturing Corporation | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 10/31/2023 | | | | | | | 434 | | | 434 | | (e)(f) | |
| SRS Distribution Inc. | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 6/2/2028 | | | | | | | 6,123 | | | 6,121 | | | |
| Star US Bidco LLC | | | | 1st Lien Term Loan | | 5.25% (1M LIBOR + 4.25%) | | 3/17/2027 | | | | | | | 3,585 | | | 3,591 | | | |
| Sunk Rock Foundry Partners LP | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 10/31/2023 | | | | | | | 202 | | | 202 | | (e)(f) | |
| Tank Holding Corp. | | | | 1st Lien Term Loan | | 3.58% (1M LIBOR + 3.50%) | | 3/26/2026 | | | | | | | 3,397 | | | 3,380 | | | |
| Tank Holding Corp. | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 5.00%) | | 3/26/2026 | | | | | | | 2,876 | | | 2,878 | | (i) | |
| Titan Acquisition, Ltd. | | Canada | | 1st Lien Term Loan | | 3.17% (3M LIBOR + 3.00%) | | 3/28/2025 | | | | | | | 6,018 | | | 5,904 | | (i) | |
| TransDigm Group Incorporated | | | | 1st Lien Term Loan | | 2.33% (1M LIBOR + 2.25%) | | 8/22/2024 | | | | | | | 424 | | | 420 | | | |
| TransDigm Group Incorporated | | | | 1st Lien Term Loan | | 2.33% (1M LIBOR + 2.25%) | | 12/9/2025 | | | | | | | 2,977 | | | 2,940 | | | |
| Turbo Acquisitions 10 Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 7.25% (3M GBP LIBOR + 7.25%) | | 2/26/2027 | | | | | | ₤ | 2,516 | | | 3,390 | | (e)(f) | |
| Turbo Acquisitions 10 Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.25% (3M GBP LIBOR + 7.25%) | | 2/26/2027 | | | | | | ₤ | 2,827 | | | 3,809 | | (e)(f) | |
| Turbo Acquisitions 10 Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.25% (SONIA + 7.25%) | | 2/26/2027 | | | | | | ₤ | 1,346 | | | 181 | | (e)(h) | |
| VC GB Holdings I Corp | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.50%) | | 7/21/2028 | | | | | | | 735 | | | 734 | | | |
| VC GB Holdings I Corp | | | | 2nd Lien Term Loan | | 7.25% (3M LIBOR + 6.75%) | | 7/23/2029 | | | | | | | 1,200 | | | 1,203 | | | |
| Welbilt, Inc. | | | | 1st Lien Term Loan | | 2.58% (1M LIBOR + 2.50%) | | 10/23/2025 | | | | | | | 3,902 | | | 3,889 | | | |
| Wilsonart LLC | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.50%) | | 12/31/2026 | | | | | | | 6,448 | | | 6,450 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Zurn Industries, LLC | | | | 1st Lien Term Loan | | | | 10/4/2028 | | | | | | $ | 3,000 | | | $ | 2,999 | | (i) | |
| | | | | | | | | | | | | | | | | 135,954 | | | 8.30% |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| Aero Operating LLC | | | | 1st Lien Term Loan | | 8.00% (1M LIBOR + 6.50%) | | 2/9/2026 | | | | | | | 2,874 | | | 2,874 | | (e)(f) | |
| Aero Operating LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.00% (1M LIBOR + 6.50%) | | 2/9/2026 | | | | | | | 825 | | | 825 | | (e) | |
| AlixPartners, LLP | | | | 1st Lien Term Loan | | 3.25% (1M LIBOR + 2.75%) | | 2/4/2028 | | | | | | | 1,990 | | | 1,984 | | | |
| AMCP Clean Intermediate, LLC | | | | 1st Lien Revolver | | | | 10/1/2024 | | | | | | | 1 | | | — | | (e)(h) | |
| AMCP Clean Intermediate, LLC | | | | 1st Lien Term Loan | | 7.00% (12M LIBOR + 6.00%) | | 10/1/2024 | | | | | | | 358 | | | 358 | | (e) | |
| AMCP Clean Intermediate, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 10/1/2024 | | | | | | | 2,064 | | | 2,064 | | (e)(f) | |
| AMCP Clean Intermediate, LLC | | | | 1st Lien Term Loan | | 7.00% (PRIME + 6.00%) | | 10/1/2024 | | | | | | | 699 | | | 699 | | (e)(f) | |
| ASG Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 4/27/2027 | | | | | | ₤ | 553 | | | — | | (e)(h) | |
| ASG Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.00% (3M GBP LIBOR + 7.00%) | | 4/27/2027 | | | | | | ₤ | 2,947 | | | 3,971 | | (e)(f) | |
| Auxadi Midco S.L.U. | | Spain | | 1st Lien Term Loan | | | | 7/17/2028 | | | | | | € | 1,273 | | | — | | (e)(h) | |
| Auxadi Midco S.L.U. | | Spain | | 1st Lien Term Loan | | 4.75% (3M EURIBOR + 4.75%) | | 7/17/2028 | | | | | | € | 836 | | | 969 | | (e) | |
| Capstone Acquisition Holdings, Inc. | | | | 1st Lien Revolver | | 7.00% (PRIME + 3.75%) | | 11/12/2025 | | | | | | | 1,150 | | | 177 | | (e)(h) | |
| Capstone Acquisition Holdings, Inc. | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 4.75%) | | 11/12/2027 | | | | | | | 10,981 | | | 10,981 | | (e)(f) | |
| Capstone Acquisition Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 11/12/2027 | | | | | | | 1,681 | | | — | | (e)(h) | |
| Capstone Acquisition Holdings, Inc. | | | | 2nd Lien Term Loan | | 9.75% (1M LIBOR + 8.75%) | | 11/13/2028 | | | | | | | 3,008 | | | 3,008 | | (e)(f) | |
| Capstone Acquisition Holdings, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | | | 11/13/2028 | | | | | | | 531 | | | — | | (e)(h) | |
| CED France Holding | | France | | 1st Lien Term Loan | | 6.00% (3M EURIBOR + 6.00%) | | 12/10/2025 | | | | | | € | 1,095 | | | 1,268 | | (e)(f) | |
| Deerfield Dakota Holding, LLC | | | | 2nd Lien Term Loan | | 7.50% (1M LIBOR + 6.75%) | | 4/7/2028 | | | | | | | 2,050 | | | 2,111 | | | |
| Dun & Bradstreet Corporation | | | | 1st Lien Term Loan | | 3.34% (1M LIBOR + 3.25%) | | 2/6/2026 | | | | | | | 6,806 | | | 6,798 | | | |
| Elevation Services Parent Holdings, LLC | | | | 1st Lien Revolver | | 6.50% (1M LIBOR + 5.50%) | | 12/18/2026 | | | | | | | 386 | | | 167 | | (e)(h) | |
| Elevation Services Parent Holdings, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 12/18/2026 | | | | | | | 1,340 | | | 1,340 | | (e)(f) | |
| Elevation Services Parent Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 12/18/2026 | | | | | | | 1,702 | | | 1,702 | | (e) | |
| GFL Environmental Inc. | | Canada | | 1st Lien Term Loan | | 3.50% (3M LIBOR + 3.00%) | | 5/30/2025 | | | | | | | 2,578 | | | 2,582 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| HH-Stella, Inc. | | | | 1st Lien Revolver | | 6.50% (1M LIBOR + 5.50%) | | 4/22/2027 | | | | | | $ | 444 | | | $ | 40 | | (e)(h) | |
| HH-Stella, Inc. | | | | 1st Lien Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 4/24/2028 | | | | | | | 6,170 | | | 6,108 | | (e)(f) | |
| HH-Stella, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 4/24/2028 | | | | | | | 1,979 | | | 203 | | (e)(h) | |
| IRI Holdings, Inc. | | | | 1st Lien Term Loan | | 4.33% (1M LIBOR + 4.25%) | | 12/1/2025 | | | | | | | 1,639 | | | 1,639 | | (e)(f) | |
| IRI Holdings, Inc. | | | | 2nd Lien Term Loan | | 8.08% (1M LIBOR + 8.00%) | | 11/30/2026 | | | | | | | 1,472 | | | 1,472 | | (e)(f) | |
| Kellermeyer Bergensons Services, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 11/7/2026 | | | | | | | 6,114 | | | 6,114 | | (e) | |
| Kellermeyer Bergensons Services, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 11/7/2026 | | | | | | | 1,769 | | | 1,769 | | (e)(f) | |
| Kellermeyer Bergensons Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 1.00%) | | 11/7/2026 | | | | | | | 4,569 | | | 1,244 | | (e)(h) | |
| Kellermeyer Bergensons Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 11/7/2026 | | | | | | | 389 | | | 389 | | (e) | |
| Laboratories Bidco LLC | | | | 1st Lien Revolver | | | | 7/23/2027 | | | | | | | 1,562 | | | — | | (e)(h) | |
| Laboratories Bidco LLC | | | | 1st Lien Term Loan | | 6.75% (3M CDOR + 5.75%) | | 7/23/2027 | | | | | | CAD | 1,780 | | | 1,405 | | (e)(f) | |
| Laboratories Bidco LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 7/23/2027 | | | | | | | 4,006 | | | 4,006 | | (e) | |
| Laboratories Bidco LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 7/23/2027 | | | | | | | 5,841 | | | 5,841 | | (e)(f) | |
| Laboratories Bidco LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 7/23/2027 | | | | | | | 2,201 | | | — | | (e)(h) | |
| Lavatio Midco Sarl | | Luxembourg | | 1st Lien Delayed Draw Term Loan | | 7.50% (6M EURIBOR + 7.25%) | | 11/30/2026 | | | | | | € | 793 | | | 872 | | (e)(f) | |
| Lavatio Midco Sarl | | Luxembourg | | 1st Lien Delayed Draw Term Loan | | 7.50% (6M EURIBOR + 7.25%) | | 11/30/2026 | | | | | | € | 982 | | | 652 | | (e)(h) | |
| Marmic Purchaser, LLC | | | | 1st Lien Revolver | | | | 3/5/2027 | | | | | | | 287 | | | — | | (e)(h) | |
| Marmic Purchaser, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 3/5/2027 | | | | | | | 2,052 | | | 2,052 | | (e)(f) | |
| Marmic Purchaser, LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.00% (2M LIBOR + 6.00%) | | 3/5/2027 | | | | | | | 1,196 | | | 342 | | (e)(h) | |
| MPLC Debtco Limited | | Jersey | | 1st Lien Delayed Draw Term Loan | | 7.75% (6M GBP LIBOR + 7.25%) | | 1/7/2027 | | | | | | ₤ | 1,052 | | | 1,417 | | (e)(f) | |
| MPLC Debtco Limited | | Jersey | | 1st Lien Delayed Draw Term Loan | | 8.75% (6M LIBOR + 7.25%) | | 1/7/2027 | | | | | | | 2,100 | | | 2,100 | | (e)(f) | |
| North American Fire Holdings, LLC | | | | 1st Lien Revolver | | | | 5/19/2027 | | | | | | | 411 | | | (8) | | (e)(h) | |
| North American Fire Holdings, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 5/19/2027 | | | | | | | 2,333 | | | 2,310 | | (e)(f) | |
| North American Fire Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 5/19/2027 | | | | | | | 2,462 | | | (25) | | (e)(h) | |
| North Haven Stack Buyer, LLC | | | | 1st Lien Revolver | | 6.50% (3M LIBOR + 5.50%) | | 7/16/2027 | | | | | | | 259 | | | 18 | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| North Haven Stack Buyer, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 7/16/2027 | | | | | | $ | 1,336 | | | $ | 1,323 | | (e) | |
| North Haven Stack Buyer, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 7/16/2027 | | | | | | | 1,016 | | | 29 | | (e)(h) | |
| P27 BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.25% (6M GBP LIBOR + 7.50%) | | 7/31/2026 | | | | | | ₤ | 2,031 | | | 2,139 | | (e)(h) | |
| P27 BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.25% (6M LIBOR + 7.50%) | | 7/31/2026 | | | | | | | 610 | | | 555 | | (e) | |
| Packers Holdings, LLC | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.25%) | | 3/9/2028 | | | | | | | 5,213 | | | 5,186 | | (i) | |
| Petroleum Service Group LLC | | | | 1st Lien Revolver | | | | 7/23/2025 | | | | | | | 2,106 | | | — | | (e)(h) | |
| Petroleum Service Group LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 7/23/2025 | | | | | | | 5,353 | | | 5,353 | | (e)(f) | |
| Petroleum Service Group LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 7/23/2025 | | | | | | | 107 | | | 107 | | (e) | |
| Registrar Intermediate, LLC | | | | 1st Lien Revolver | | | | 8/26/2027 | | | | | | | 764 | | | (15) | | (e)(h) | |
| Registrar Intermediate, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 8/26/2027 | | | | | | | 4,188 | | | 4,146 | | (e) | |
| Registrar Intermediate, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 8/26/2027 | | | | | | | 2,327 | | | (23) | | (e)(h) | |
| Rodeo AcquisitionCo LLC | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 6.00%) | | 7/26/2027 | | | | | | | 311 | | | 58 | | (e)(h) | |
| Rodeo AcquisitionCo LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 7/26/2027 | | | | | | | 2,118 | | | 2,097 | | (e) | |
| Rodeo AcquisitionCo LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 7/26/2027 | | | | | | | 460 | | | (5) | | (e)(h) | |
| RSK Group Limited | | Great Britain | | 1st Lien Term Loan | | 5.25% | | 8/7/2028 | | | | | | € | 986 | | | 1,142 | | (e)(f) | |
| RSK Group Limited | | Great Britain | | 1st Lien Term Loan | | 5.25% (SONIA + 5.00%) | | 8/7/2028 | | | | | | ₤ | 7,881 | | | 10,619 | | (e)(f) | |
| RSK Group Limited | | Great Britain | | 1st Lien Term Loan | | 7.17% (SONIA + 7.00%) | | 8/7/2028 | | | | | | ₤ | 3,276 | | | 1,563 | | (e)(h) | |
| SLR BD Limited | | Great Britain | | 1st Lien Revolver | | | | 3/22/2028 | | | | | | ₤ | 1,000 | | | — | | (e)(h)(i) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | | | 3/22/2028 | | | | | | ₤ | 700 | | | — | | (e)(h) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | | | 9/22/2028 | | | | | | ₤ | 1,232 | | | — | | (e)(h) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | 3.15% (6M LIBOR + 3.00%) | | 3/22/2028 | | | | | | | 479 | | | 479 | | (e)(f) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | 3.28% (SONIA + 3.00%) | | 3/22/2028 | | | | | | ₤ | 780 | | | 1,051 | | (e)(f) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | 7.15% (6M LIBOR + 7.00%) | | 9/22/2028 | | | | | | | 753 | | | 753 | | (e)(f) | |
| SLR BD Limited | | Great Britain | | 1st Lien Term Loan | | 7.33% (SONIA + 7.00%) | | 9/22/2028 | | | | | | ₤ | 1,226 | | | 1,652 | | (e)(f) | |
| SSE Buyer, Inc. | | | | 1st Lien Revolver | | 3.00% (1M LIBOR + 2.00%) | | 6/30/2025 | | | | | | | 3 | | | 1 | | (e)(h) | |
| SSE Buyer, Inc. | | | | 1st Lien Term Loan | | 10.22% (3M LIBOR + 9.22%) | | 6/30/2026 | | | | | | | 625 | | | 587 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| SSE Buyer, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 6/30/2026 | | | | | | $ | 189 | | | $ | (11) | | (e)(h) | |
| Stealth Holding LLC | | | | 1st Lien Term Loan | | 7.75% (3M LIBOR + 6.75%) | | 3/2/2026 | | | | | | | 2,480 | | | 2,480 | | (e)(f) | |
| Stealth Holding LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.75% (3M LIBOR + 6.75%) | | 3/2/2026 | | | | | | | 989 | | | 297 | | (e)(h) | |
| Survitec Group Holdco Limited | | Great Britain | | 1st Lien Term Loan | | 7.50% (1M GBP LIBOR + 7.50%) | | 4/6/2027 | | | | | | ₤ | 9,000 | | | 12,127 | | (e)(f) | |
| Tempo Acquisition, LLC | | | | 1st Lien Term Loan | | | | 5/1/2024 | | | | | | | 174 | | | 174 | | (i) | |
| Tempo Acquisition, LLC | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.25%) | | 11/2/2026 | | | | | | | 1,313 | | | 1,315 | | | |
| Thermostat Purchaser III, Inc. | | | | 1st Lien Revolver | | | | 8/31/2026 | | | | | | | 100 | | | (2) | | (e)(h) | |
| Thermostat Purchaser III, Inc. | | | | 2nd Lien Term Loan | | 8.00% (3M LIBOR + 7.25%) | | 8/31/2029 | | | | | | | 3,575 | | | 3,540 | | (e) | |
| Thermostat Purchaser III, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | | | 8/31/2029 | | | | | | | 612 | | | (6) | | (e)(h) | |
| UCIT Online Security Inc. | | Canada | | 1st Lien Term Loan | | 7.75% (3M LIBOR + 6.75%) | | 3/2/2026 | | | | | | | 1,653 | | | 1,653 | | (e)(f) | |
| Visual Edge Technology, Inc. | | | | 1st Lien Term Loan | | 8.50% (3M LIBOR + 7.00%) | | 8/31/2022 | | | | | | | 161 | | | 154 | | (e)(f) | |
| Visual Edge Technology, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 8.50% (3M LIBOR + 7.00%) | | 8/31/2022 | | | | | | | 1,974 | | | 1,895 | | (e)(f) | |
| VLS Recovery Services, LLC | | | | 1st Lien Revolver | | | | 10/17/2024 | | | | | | | 622 | | | — | | (e)(h) | |
| VLS Recovery Services, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/17/2024 | | | | | | | 3,912 | | | 3,912 | | (e) | |
| VLS Recovery Services, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/17/2024 | | | | | | | 976 | | | 976 | | (e)(f) | |
| VLS Recovery Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 10/17/2024 | | | | | | | 1,385 | | | — | | (e)(h) | |
| VLS Recovery Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/17/2024 | | | | | | | 1,157 | | | 1,157 | | (e) | |
| VLS Recovery Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/17/2024 | | | | | | | 43 | | | 43 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 152,339 | | | 9.30% |
| Consumer Durables & Apparel | | | | | | | | | | | | | | | |
| Centric Brands LLC | | | | 1st Lien Revolver | | 6.50% (3M LIBOR + 5.50%) | | 10/9/2024 | | | | | | | 269 | | | 192 | | (e)(h) | |
| Centric Brands LLC | | | | 1st Lien Term Loan | | 11.00% (3M LIBOR + 10.00%) | | 10/9/2025 | | | | | | | 2,251 | | | 2,184 | | (e) | |
| DRS Holdings III, Inc. | | | | 1st Lien Revolver | | | | 11/1/2025 | | | | | | | 173 | | | — | | (e)(h) | |
| DRS Holdings III, Inc. | | | | 1st Lien Term Loan | | 7.25% (1M LIBOR + 6.25%) | | 11/1/2025 | | | | | | | 15,733 | | | 15,733 | | (e)(f) | |
| MSG National Properties, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.25%) | | 11/12/2025 | | | | | | | 744 | | | 761 | | (e) | |
| Rawlings Sporting Goods Company, Inc | | | | 1st Lien Revolver | | | | 12/31/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| Rawlings Sporting Goods Company, Inc | | | | 1st Lien Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 12/31/2026 | | | | | | | 5,632 | | | 5,632 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| TGP Holdings III LLC | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.50%) | | 6/29/2028 | | | | | | $ | 533 | | | $ | 533 | | | |
| TGP Holdings III LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 6/29/2028 | | | | | | | 70 | | | — | | (h) | |
| | | | | | | | | | | | | | | | | 25,035 | | | 1.53% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| A.U.L. Corp. | | | | 1st Lien Revolver | | | | 6/5/2023 | | | | | | | 1 | | | — | | (e)(h) | |
| A.U.L. Corp. | | | | 1st Lien Term Loan | | 5.50% (1M LIBOR + 4.50%) | | 6/5/2023 | | | | | | | 28 | | | 28 | | (e)(f) | |
| Aimbridge Acquisition Co., Inc. | | | | 2nd Lien Term Loan | | 7.59% (1M LIBOR + 7.50%) | | 2/1/2027 | | | | | | | 4,788 | | | 4,501 | | (e)(f) | |
| Alterra Mountain Company | | | | 1st Lien Term Loan | | 4.00% (1M LIBOR + 3.50%) | | 8/17/2028 | | | | | | | 2,893 | | | 2,882 | | | |
| American Residential Services L.L.C. | | | | 1st Lien Revolver | | | | 10/15/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| American Residential Services L.L.C. | | | | 2nd Lien Term Loan | | 9.50% (1M LIBOR + 8.50%) | | 10/16/2028 | | | | | | | 8,314 | | | 8,314 | | (e) | |
| Anticimex International AB | | Sweden | | 1st Lien Term Loan | | | | 7/21/2028 | | | | | | | 803 | | | 801 | | (i) | |
| Aspris Bidco Limited | | Great Britain | | 1st Lien Term Loan | | | | 8/23/2028 | | | | | | ₤ | 1,406 | | | — | | (e)(h) | |
| Aspris Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 6.25% (SONIA + 6.25%) | | 8/23/2028 | | | | | | ₤ | 3,234 | | | 4,358 | | (e)(f) | |
| Belron Finance 2019 LLC | | | | 1st Lien Term Loan | | | | 10/30/2026 | | | | | | | 1,288 | | | 1,279 | | (i) | |
| Caesars Resort Collection, LLC | | | | 1st Lien Term Loan | | 3.58% (1M LIBOR + 3.50%) | | 7/21/2025 | | | | | | | 2,111 | | | 2,112 | | | |
| Canopy Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 7.75% (3M GBP LIBOR + 7.25%) | | 12/18/2024 | | | | | | ₤ | 509 | | | 686 | | (e)(f) | |
| Canopy Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (3M GBP LIBOR + 7.25%) | | 12/18/2024 | | | | | | ₤ | 502 | | | 177 | | (e)(f)(h) | |
| CC Fly Holding II A/S | | Denmark | | 1st Lien Term Loan | | 9.50% (3M CIBOR + 9.00%) | | 5/9/2025 | | | | | | DKK | 611 | | | 86 | | (e)(f) | |
| CC Fly Holding II A/S | | Denmark | | 1st Lien Delayed Draw Term Loan | | 9.50% (3M CIBOR + 9.00%) | | 5/9/2025 | | | | | | DKK | 7,615 | | | 1,053 | | (e)(f)(h) | |
| Concert Golf Partners Holdco LLC | | | | 1st Lien Revolver | | | | 8/20/2025 | | | | | | | 765 | | | — | | (e)(h) | |
| Concert Golf Partners Holdco LLC | | | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 8/20/2025 | | | | | | | 3,374 | | | 3,374 | | (e)(f) | |
| Concert Golf Partners Holdco LLC | | | | 1st Lien Delayed Draw Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 8/20/2025 | | | | | | | 269 | | | 269 | | (e) | |
| Entain PLC | | Isle of Man | | 1st Lien Term Loan | | | | 3/29/2027 | | | | | | | 4,988 | | | 4,978 | | (i) | |
| Equinox Holdings Inc. | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.00%) | | 3/8/2024 | | | | | | | 2,579 | | | 2,384 | | | |
| Equinox Holdings Inc. | | | | 2nd Lien Term Loan | | 8.00% (3M LIBOR + 7.00%) | | 9/6/2024 | | | | | | | 5,736 | | | 4,986 | | | |
| Essential Services Holding Corporation | | | | 1st Lien Revolver | | | | 11/17/2025 | | | | | | | 1,560 | | | — | | (e)(h) | |
| Essential Services Holding Corporation | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 11/16/2026 | | | | | | | 9,742 | | | 9,742 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Essential Services Holding Corporation | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 11/16/2026 | | | | | | $ | 22,168 | | | $ | 18,358 | | (e)(h) | |
| EuroParcs Topholding B.V. | | Netherlands | | 1st Lien Term Loan | | 5.75% (3M EURIBOR + 5.75%) | | 7/3/2026 | | | | | | € | 2,188 | | | 2,534 | | (e) | |
| EuroParcs Topholding B.V. | | Netherlands | | 1st Lien Term Loan | | 6.00% (3M EURIBOR + 6.00%) | | 7/3/2026 | | | | | | € | 465 | | | 538 | | (e) | |
| EuroParcs Topholding B.V. | | Netherlands | | 1st Lien Delayed Draw Term Loan | | 5.75% (3M EURIBOR + 5.75%) | | 7/3/2026 | | | | | | € | 313 | | | 362 | | (e) | |
| EuroParcs Topholding B.V. | | Netherlands | | 1st Lien Delayed Draw Term Loan | | 6.25% (3M EURIBOR + 6.25%) | | 7/3/2026 | | | | | | € | 2,830 | | | 3,277 | | (e)(h) | |
| Flutter Entertainment plc | | Netherlands | | 1st Lien Term Loan | | 2.38% (3M LIBOR + 2.25%) | | 7/21/2026 | | | | | | | 4,990 | | | 4,971 | | | |
| FWR Holding Corporation | | | | 1st Lien Revolver | | | | 8/21/2023 | | | | | | | 1 | | | — | | (e)(h) | |
| FWR Holding Corporation | | | | 1st Lien Term Loan | | 6.75% (1M LIBOR + 5.50%) | | 8/21/2023 | | | | | | | 340 | | | 340 | | (e)(f)(g) | |
| FWR Holding Corporation | | | | 1st Lien Delayed Draw Term Loan | | | | 8/21/2023 | | | | | | | 4 | | | — | | (e)(h) | |
| FWR Holding Corporation | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 8/21/2023 | | | | | | | — | | | — | | (e)(f)(g) | |
| FWR Holding Corporation | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 8/21/2023 | | | | | | | 219 | | | 219 | | (e)(g) | |
| Goldcup 16786 AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | 7.25% (6M STIBOR + 6.75%) | | 8/18/2025 | | | | | | SEK | 10,000 | | | 1,142 | | (e)(f) | |
| Horizon Bidco S.A.S. | | France | | 1st Lien Term Loan | | | | 10/2/2028 | | | | | | € | 10,507 | | | — | | (e)(f)(h) | |
| Horizon Bidco S.A.S. | | France | | 1st Lien Term Loan | | | | 10/2/2028 | | | | | | ₤ | 9,567 | | | — | | (e)(f)(h) | |
| IRB Holding Corp. | | | | 1st Lien Term Loan | | 3.75% (6M LIBOR + 2.75%) | | 2/5/2025 | | | | | | | 1,525 | | | 1,522 | | | |
| IRB Holding Corp. | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.25%) | | 12/15/2027 | | | | | | | 3,665 | | | 3,670 | | | |
| Jim N Nicks Management LLC | | | | 1st Lien Revolver | | 6.25% (3M LIBOR + 5.25%) | | 7/10/2023 | | | | | | | 1 | | | 1 | | (e)(h) | |
| Jim N Nicks Management LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 7/10/2023 | | | | | | | 48 | | | 48 | | (e)(f) | |
| Learning Care Group (US) No. 2 Inc. | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.25%) | | 3/13/2025 | | | | | | | 216 | | | 213 | | | |
| Learning Care Group (US) No. 2 Inc. | | | | 1st Lien Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 3/13/2025 | | | | | | | 988 | | | 988 | | | |
| LGDN Finco Limited | | Great Britain | | 1st Lien Revolver | | | | 7/9/2027 | | | | | | ₤ | 100 | | | — | | (e)(h) | |
| LGDN Finco Limited | | Great Britain | | 1st Lien Term Loan | | 7.28% (SONIA + 7.00%) | | 7/9/2027 | | | | | | ₤ | 641 | | | 864 | | (e) | |
| LGDN Finco Limited | | Great Britain | | 1st Lien Term Loan | | 7.28% (SONIA + 7.00%) | | 9/6/2027 | | | | | | ₤ | 1,282 | | | 345 | | (e)(h) | |
| LGDN Finco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.17% (SONIA + 7.00%) | | 7/9/2027 | | | | | | ₤ | 359 | | | 484 | | (e)(f) | |
| MC Plato Bidco Limited | | Great Britain | | 1st Lien Revolver | | | | 2/17/2028 | | | | | | ₤ | 1,000 | | | — | | (e)(h) | |
| MC Plato Bidco Limited | | Great Britain | | 1st Lien Term Loan | | | | 8/17/2028 | | | | | | ₤ | 1,552 | | | — | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| MC Plato Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 6.33% (SONIA + 6.00%) | | 8/17/2028 | | | | | | ₤ | 7,448 | | | $ | 10,036 | | (e)(f) | |
| Mister Car Wash Holdings, Inc. | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 5/14/2026 | | | | | | | 2,691 | | | 2,679 | | | |
| Movati Athletic (Group) Inc. | | Canada | | 1st Lien Term Loan | | 7.50% (3M CDOR + 6.00%) | | 10/5/2024 | | | | | | CAD | 248 | | | 176 | | (e)(f)(g) | |
| Movati Athletic (Group) Inc. | | Canada | | 1st Lien Delayed Draw Term Loan | | 8.00% (3M CDOR + 6.50%) | | 10/5/2024 | | | | | | CAD | 180 | | | 128 | | (e)(g) | |
| Portillo's Holdings, LLC | | | | 2nd Lien Term Loan | | 10.75% (1M LIBOR + 9.50%) | | 12/6/2024 | | | | | | | 2,466 | | | 2,466 | | (e) | |
| Redwood Services, LLC | | | | 1st Lien Revolver | | | | 12/31/2025 | | | | | | | 158 | | | — | | (e)(h) | |
| Redwood Services, LLC | | | | 1st Lien Term Loan | | 8.00% (3M LIBOR + 7.00%) | | 12/31/2025 | | | | | | | 795 | | | 795 | | (e) | |
| Redwood Services, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.00% (3M LIBOR + 7.00%) | | 12/31/2025 | | | | | | | 1,068 | | | 128 | | (e)(h) | |
| Safe Home Security, Inc. | | | | 1st Lien Term Loan | | 8.25% (1M LIBOR + 7.25%) | | 8/4/2024 | | | | | | | 1,300 | | | 1,300 | | (e)(f) | |
| Safe Home Security, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 8/4/2024 | | | | | | | 287 | | | — | | (e)(h) | |
| Service Logic Acquisition, Inc. | | | | 1st Lien Revolver | | | | 10/30/2025 | | | | | | | 1,007 | | | (6) | | (e)(h) | |
| Service Logic Acquisition, Inc. | | | | 1st Lien Term Loan | | 4.75% (1M LIBOR + 4.00%) | | 10/29/2027 | | | | | | | 5,397 | | | 5,408 | | | |
| Service Logic Acquisition, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 10/29/2027 | | | | | | | 1,124 | | | 41 | | (h) | |
| Spectra Finance, LLC | | | | 1st Lien Revolver | | 6.75% (1M LIBOR + 5.75%) | | 4/3/2023 | | | | | | | 1 | | | — | | (e)(h) | |
| Spectra Finance, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 4/2/2024 | | | | | | | 916 | | | 916 | | (e)(f)(g) | |
| St. George's University Scholastic Services LLC | | | | 1st Lien Term Loan | | | | 7/17/2025 | | | | | | | 2,500 | | | 2,494 | | (i) | |
| Sunshine Cadence HoldCo, LLC | | | | 1st Lien Term Loan | | 4.38% (3M LIBOR + 4.25%) | | 3/23/2027 | | | | | | | 1,068 | | | 961 | | | |
| Sunshine Cadence HoldCo, LLC | | | | 2nd Lien Term Loan | | 8.51% (3M LIBOR + 8.38%) | | 3/23/2028 | | | | | | | 383 | | | 330 | | (e) | |
| Sunshine Sub, LLC | | | | 1st Lien Revolver | | | | 5/27/2024 | | | | | | | 144 | | | — | | (e)(h) | |
| Sunshine Sub, LLC | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 4.75%) | | 5/27/2024 | | | | | | | 694 | | | 694 | | (e)(f) | |
| Sunshine Sub, LLC | | | | 1st Lien Delayed Draw Term Loan | | 5.75% (1M LIBOR + 4.75%) | | 5/27/2024 | | | | | | | 408 | | | 408 | | (e) | |
| United PF Holdings, LLC | | | | 1st Lien Term Loan | | 4.13% (3M LIBOR + 4.00%) | | 12/30/2026 | | | | | | | 2,730 | | | 2,666 | | | |
| Whatabrands LLC | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.25%) | | 8/3/2028 | | | | | | | 7,201 | | | 7,190 | | | |
| | | | | | | | | | | | | | | | | 130,696 | | | 7.98% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| Alchemy Copyrights, LLC | | | | 1st Lien Term Loan | | 3.50% (1M LIBOR + 3.00%) | | 3/10/2028 | | | | | | | 919 | | | 919 | | (e) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Alpha Luxco 2 Sarl | | Luxembourg | | 1st Lien Delayed Draw Term Loan | | 6.25% (3M EURIBOR + 5.75%) | | 1/9/2025 | | | | | | € | 1,005 | | | $ | 1,164 | | (e)(f)(g) | |
| BCC Blueprint Holdings I, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.25%) | | 9/15/2027 | | | | | | | 7,377 | | | 7,303 | | (e) | |
| CabinCo Limited | | Jersey | | 1st Lien Term Loan | | 7.75% (1M GBP LIBOR + 7.25%) | | 9/9/2025 | | | | | | ₤ | 900 | | | 1,213 | | (e)(g) | |
| CabinCo Limited | | Jersey | | 1st Lien Delayed Draw Term Loan | | | | 9/9/2025 | | | | | | ₤ | 113 | | | — | | (e)(g)(h) | |
| CCP Lux Holdings S.a. r.l. | | Luxembourg | | 1st Lien Term Loan | | 4.25% (3M EURIBOR + 4.25%) | | 1/10/2025 | | | | | | € | 2,000 | | | 2,319 | | | |
| Delta Topco, Inc. | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.75%) | | 12/1/2027 | | | | | | | 1,468 | | | 1,469 | | | |
| Delta Topco, Inc. | | | | 2nd Lien Term Loan | | 8.00% (3M LIBOR + 7.25%) | | 12/1/2028 | | | | | | | 4,923 | | | 4,958 | | | |
| Eagle Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 4.80% (1M GBP LIBOR + 4.75%) | | 3/20/2028 | | | | | | ₤ | 2,000 | | | 2,686 | | | |
| Edelman Financial Center, LLC | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.50%) | | 4/7/2028 | | | | | | | 2,539 | | | 2,533 | | | |
| Financiere Labeyrie Fine Foods | | France | | 1st Lien Term Loan | | | | 7/28/2026 | | | | | | € | 3,500 | | | 4,051 | | (i) | |
| HCRX Investments Holdco, L.P. | | | | 1st Lien Term Loan | | | | 7/14/2028 | | | | | | | 5,066 | | | 5,047 | | (i) | |
| KREF Holdings X LLC | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 9/1/2027 | | | | | | | 979 | | | 979 | | (e) | |
| LBM Acquisition LLC | | | | 1st Lien Term Loan | | | | 12/17/2027 | | | | | | | 1,000 | | | 990 | | (i) | |
| LBM Acquisition LLC | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.75%) | | 12/17/2027 | | | | | | | 5,454 | | | 5,400 | | (i) | |
| LBM Acquisition LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 12/17/2027 | | | | | | | 500 | | | 495 | | (i) | |
| Mercury Borrower, Inc. | | | | 1st Lien Revolver | | 3.63% (1M LIBOR + 3.50%) | | 7/31/2026 | | | | | | | 470 | | | 74 | | (e)(h) | |
| Mercury Borrower, Inc. | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.50%) | | 8/2/2028 | | | | | | | 969 | | | 965 | | | |
| Mercury Borrower, Inc. | | | | 2nd Lien Term Loan | | 7.00% (3M LIBOR + 6.50%) | | 8/2/2029 | | | | | | | 965 | | | 955 | | | |
| Monica Holdco (US), Inc. | | | | 1st Lien Revolver | | | | 1/8/2026 | | | | | | | 1,009 | | | — | | (e)(h) | |
| Monica Holdco (US), Inc. | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 1/7/2028 | | | | | | | 8,200 | | | 8,200 | | (e)(f) | |
| Mozart Debt Merger Sub, Inc. | | | | 1st Lien Term Loan | | | | 9/30/2028 | | | | | | | 5,199 | | | (13) | | (e)(h)(i) | |
| NxtGenPay Intressenter BidCo AB | | Sweden | | 1st Lien Term Loan | | 6.75% (3M STIBOR + 6.75%) | | 6/30/2025 | | | | | | SEK | 5,500 | | | 628 | | (e) | |
| NxtGenPay Intressenter BidCo AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M STIBOR + 6.75%) | | 6/30/2025 | | | | | | SEK | 2,700 | | | 308 | | (e) | |
| Parexel International Corporation | | | | 1st Lien Term Loan | | | | 8/11/2028 | | | | | | | 3,000 | | | 3,000 | | (i) | |
| Parexel International Corporation | | | | 1st Lien Term Loan | | 2.83% (1M LIBOR + 2.75%) | | 9/27/2024 | | | | | | | 5,000 | | | 4,996 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Paysafe Group Holdings II Limited | | Great Britain | | 1st Lien Term Loan | | 3.25% (3M LIBOR + 2.75%) | | 6/28/2028 | | | | | | $ | 1,382 | | | $ | 1,365 | | | |
| Redstone HoldCo 2 LP | | | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.75%) | | 4/27/2028 | | | | | | | 1,310 | | | 1,287 | | | |
| SaintMichelCo Limited | | Jersey | | 1st Lien Term Loan | | 8.25% (3M GBP LIBOR + 7.75%) | | 9/9/2025 | | | | | | ₤ | 1,500 | | | 2,021 | | (e) | |
| SaintMichelCo Limited | | Jersey | | 1st Lien Delayed Draw Term Loan | | 8.25% (3M GBP LIBOR + 7.75%) | | 9/9/2025 | | | | | | ₤ | 2,406 | | | 3,242 | | (e) | |
| Summer (BC) Bidco B LLC | | Luxembourg | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.50%) | | 12/4/2026 | | | | | | | 5,000 | | | 4,997 | | (i) | |
| Symbol Bidco I Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M GBP LIBOR + 6.25%) | | 12/21/2026 | | | | | | ₤ | 571 | | | 770 | | (e)(f) | |
| Symbol Bidco I Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M GBP LIBOR + 6.25%) | | 12/21/2026 | | | | | | ₤ | 429 | | | 199 | | (e)(h) | |
| TA/WEG Holdings, LLC | | | | 1st Lien Revolver | | 6.75% (2M LIBOR + 5.75%) | | 10/4/2027 | | | | | | | 914 | | | 685 | | (e)(h) | |
| TA/WEG Holdings, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 10/4/2027 | | | | | | | 3,494 | | | 3,494 | | (e)(f) | |
| TA/WEG Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 10/4/2027 | | | | | | | 1,714 | | | — | | (e)(h) | |
| TA/WEG Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 10/4/2027 | | | | | | | 13,033 | | | 6,496 | | (e)(h) | |
| The Ultimus Group Midco, LLC | | | | 1st Lien Revolver | | 4.63% (3M LIBOR + 4.50%) | | 2/1/2024 | | | | | | | 396 | | | 226 | | (e)(h) | |
| The Ultimus Group Midco, LLC | | | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.50%) | | 2/1/2026 | | | | | | | 3,141 | | | 3,141 | | (e)(f) | |
| TK Elevator Midco GmbH | | Germany | | 1st Lien Term Loan | | 4.00% (6M LIBOR + 3.50%) | | 7/30/2027 | | | | | | | 4,485 | | | 4,491 | | (i) | |
| Toscafund Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (6M GBP LIBOR + 7.00%) | | 4/2/2025 | | | | | | ₤ | 4,206 | | | 5,667 | | (e)(f) | |
| True Potential LLP | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.00% (6M GBP LIBOR + 6.50%) | | 10/16/2026 | | | | | | ₤ | 2,159 | | | 2,236 | | (e)(h) | |
| True Potential LLP | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.14% (6M GBP LIBOR + 6.64%) | | 10/16/2026 | | | | | | ₤ | 1,943 | | | 2,625 | | (e) | |
| True Potential LLP | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.14% (6M GBP LIBOR + 6.64%) | | 10/16/2026 | | | | | | ₤ | 8,113 | | | 10,958 | | (e)(f) | |
| True Potential LLP | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.50% (6M GBP LIBOR + 7.00%) | | 10/16/2026 | | | | | | ₤ | 2,159 | | | 2,967 | | (e) | |
| UPC Financing Partnership | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 1/31/2029 | | | | | | | 3,000 | | | 2,989 | | | |
| Zephyr Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 4.80% (1M GBP LIBOR + 4.75%) | | 7/23/2025 | | | | | | ₤ | 3,000 | | | 4,020 | | | |
| | | | | | | | | | | | | | | | | 124,515 | | | 7.60% |
| Energy | | | | | | | | | | | | | | | | | | | |
| Birch Permian, LLC | | | | 2nd Lien Term Loan | | 9.50% (3M LIBOR + 8.00%) | | 4/12/2023 | | | | | | | 6,981 | | | 6,981 | | (e) | |
| Cheyenne Petroleum Company Limited Partnership | | | | 2nd Lien Term Loan | | 10.00% (3M LIBOR + 9.00%) | | 1/10/2024 | | | | | | | 7,244 | | | 7,244 | | (e) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Gulf Finance, LLC | | | | 1st Lien Term Loan | | 6.25% (1M LIBOR + 5.25%) | | 8/25/2023 | | | | | | $ | 1,120 | | | $ | 1,074 | | | |
| Penn Virginia Holdings, LLC | | | | 2nd Lien Term Loan | | 10.50% (3M LIBOR + 7.25%) | | 9/29/2024 | | | | | | | 360 | | | 367 | | (e) | |
| | | | | | | | | | | | | | | | | 15,666 | | | 0.96% |
| Food & Staples Retailing | | | | | | | | | | | | | | | | | |
| DecoPac, Inc. | | | | 1st Lien Revolver | | 7.00% (1M LIBOR + 6.00%) | | 5/14/2026 | | | | | | | 2,382 | | | 281 | | (e)(h) | |
| DecoPac, Inc. | | | | 1st Lien Term Loan | | 9.00% (3M LIBOR + 8.00%) | | 5/15/2028 | | | | | | | 21,948 | | | 21,729 | | (e)(f) | |
| SFE Intermediate HoldCo LLC | | | | 1st Lien Revolver | | | | 7/31/2023 | | | | | | | 2 | | | — | | (e)(h) | |
| SFE Intermediate HoldCo LLC | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 7/31/2024 | | | | | | | 2,113 | | | 2,112 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 24,122 | | | 1.47% |
| Food & Beverage | | | | | | | | | | | | | | | | | |
| Berner Food & Beverage, LLC | | | | 1st Lien Revolver | | 7.50% (1M LIBOR + 6.50%) | | 7/30/2026 | | | | | | | 262 | | | 48 | | (e)(h) | |
| Berner Food & Beverage, LLC | | | | 1st Lien Term Loan | | 7.50% (1M LIBOR + 6.50%) | | 7/30/2027 | | | | | | | 2,640 | | | 2,613 | | (e) | |
| CHG PPC Parent LLC | | | | 2nd Lien Term Loan | | 7.08% (1M LIBOR + 7.00%) | | 3/30/2026 | | | | | | | 3,000 | | | 3,000 | | (e)(f) | |
| Chobani, LLC | | | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 3.50%) | | 10/25/2027 | | | | | | | 2,506 | | | 2,509 | | | |
| Hometown Food Company | | | | 1st Lien Revolver | | 6.25% (1M LIBOR + 5.00%) | | 8/31/2023 | | | | | | | 1 | | | — | | (e)(h) | |
| Hometown Food Company | | | | 1st Lien Term Loan | | 6.25% (1M LIBOR + 5.00%) | | 8/31/2023 | | | | | | | 1,199 | | | 1,199 | | (e)(f) | |
| Quirch Foods Holdings, LLC | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 4.75%) | | 10/27/2027 | | | | | | | 3,108 | | | 3,118 | | | |
| Triton Water Holdings, Inc. | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.50%) | | 3/31/2028 | | | | | | | 7,017 | | | 7,004 | | | |
| Watermill Express, LLC | | | | 1st Lien Revolver | | | | 4/20/2027 | | | | | | | 275 | | | (6) | | (e)(h) | |
| Watermill Express, LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 4/20/2027 | | | | | | | 2,290 | | | 2,267 | | (e)(f) | |
| Watermill Express, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 4/20/2027 | | | | | | | 219 | | | (2) | | (e)(h) | |
| Winebow Holdings, Inc. | | | | 1st Lien Term Loan | | 7.25% (1M LIBOR + 6.25%) | | 7/1/2025 | | | | | | | 3,448 | | | 3,414 | | (e)(f) | |
| Woof Holdings, Inc. | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.75%) | | 12/21/2027 | | | | | | | 2,985 | | | 2,987 | | | |
| | | | | | | | | | | | | | | | | 28,151 | | | 1.72% |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Air Methods Corporation | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.50%) | | 4/22/2024 | | | | | | | 1,984 | | | 1,966 | | | |
| Athenahealth, Inc. | | | | 1st Lien Revolver | | | | 2/12/2024 | | | | | | | 232 | | | — | | (e)(h) | |
| Auris Luxembourg III S.a r.l. | | Luxembourg | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 2/27/2026 | | | | | | | 2,494 | | | 2,470 | | | |
| Auris Luxembourg III S.a r.l. | | Luxembourg | | 1st Lien Term Loan | | 4.00% (6M EURIBOR + 4.00%) | | 2/27/2026 | | | | | | € | 4,000 | | | 4,620 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Aveanna Healthcare LLC | | | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.75%) | | 7/17/2028 | | | | | | $ | 958 | | | $ | 957 | | | |
| Aveanna Healthcare LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 7/17/2028 | | | | | | | 223 | | | 223 | | (i) | |
| Bearcat Buyer, Inc. | | | | 1st Lien Revolver | | | | 7/9/2024 | | | | | | | 580 | | | — | | (e)(h) | |
| Bearcat Buyer, Inc. | | | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 7/9/2026 | | | | | | | 5,468 | | | 5,468 | | (e)(f) | |
| Bearcat Buyer, Inc. | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 7/9/2026 | | | | | | | 1 | | | 1 | | (e) | |
| Bearcat Buyer, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 7/9/2026 | | | | | | | 970 | | | 970 | | (e) | |
| Bearcat Buyer, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 7/9/2026 | | | | | | | 1 | | | 1 | | (e)(h) | |
| Bearcat Buyer, Inc. | | | | 2nd Lien Term Loan | | 9.25% (3M LIBOR + 8.25%) | | 7/9/2027 | | | | | | | 617 | | | 617 | | (e) | |
| Bearcat Buyer, Inc. | | | | 2nd Lien Term Loan | | 9.25% (3M LIBOR + 8.25%) | | 7/9/2027 | | | | | | | 2,249 | | | 2,249 | | (e)(f) | |
| Bearcat Buyer, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | | | 7/9/2027 | | | | | | | 726 | | | — | | (e)(h) | |
| Bearcat Buyer, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | 9.25% (3M LIBOR + 8.25%) | | 7/9/2027 | | | | | | | 580 | | | 184 | | (e)(h) | |
| CEP V I 5 UK Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 2/18/2027 | | | | | | | 6,346 | | | (190) | | (e)(h) | |
| CEP V I 5 UK Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.12% (3M LIBOR + 7.00%) | | 2/18/2027 | | | | | | | 26,654 | | | 25,854 | | (e)(f) | |
| Change Healthcare Holdings LLC | | | | 1st Lien Term Loan | | 3.50% (3M LIBOR + 2.50%) | | 3/1/2024 | | | | | | | 7,730 | | | 7,721 | | | |
| Comprehensive EyeCare Partners, LLC | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 5.75%) | | 2/14/2024 | | | | | | | 1 | | | — | | (e)(h) | |
| Comprehensive EyeCare Partners, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 5.75%) | | 2/14/2024 | | | | | | | 558 | | | 558 | | (e)(f) | |
| Comprehensive EyeCare Partners, LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.00% (3M LIBOR + 5.75%) | | 2/14/2024 | | | | | | | 687 | | | 594 | | (e)(h) | |
| Convey Health Solutions, Inc. | | | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.75%) | | 9/4/2026 | | | | | | | 2,698 | | | 2,698 | | (e)(f) | |
| CVP Holdco, Inc. | | | | 1st Lien Revolver | | | | 10/31/2024 | | | | | | | 326 | | | — | | (e)(h) | |
| CVP Holdco, Inc. | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 10/31/2025 | | | | | | | 3,433 | | | 3,433 | | (e)(f) | |
| CVP Holdco, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.25% (1M LIBOR + 5.25%) | | 10/31/2025 | | | | | | | 7,744 | | | 501 | | (e)(h) | |
| CVP Holdco, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.25% (3M LIBOR + 5.25%) | | 10/31/2025 | | | | | | | 2,645 | | | 2,623 | | (e)(h) | |
| Ensemble RCM LLC | | | | 1st Lien Term Loan | | 3.88% (3M LIBOR + 3.75%) | | 8/3/2026 | | | | | | | 2,207 | | | 2,211 | | | |
| ExamWorks Group, Inc. | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.25%) | | 7/27/2023 | | | | | | | 4,987 | | | 4,986 | | | |
| Floss Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 7.75% (3M GBP LIBOR + 7.25%) | | 9/7/2026 | | | | | | ₤ | 840 | | | 1,132 | | (e)(f)(g) | |
| Floss Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (3M GBP LIBOR + 7.25%) | | 9/7/2026 | | | | | | ₤ | 1,209 | | | 549 | | (e)(g)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Gentiva Health Services, Inc. | | | | 1st Lien Term Loan | | 2.88% (1M LIBOR + 2.75%) | | 7/2/2025 | | | | | | $ | 6,180 | | | $ | 6,177 | | | |
| Global Medical Response Inc | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 10/2/2025 | | | | | | | 7,012 | | | 7,033 | | | |
| Hanger, Inc. | | | | 1st Lien Term Loan | | 3.58% (1M LIBOR + 3.50%) | | 3/6/2025 | | | | | | | 2,954 | | | 2,948 | | | |
| JDC Healthcare Management, LLC | | | | 1st Lien Term Loan | | 9.00% (1M LIBOR + 8.00%) | | 4/10/2023 | | | | | | | 116 | | | 87 | | (e)(g)(j) | |
| Kedleston Schools Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 9.00% (3M GBP LIBOR + 8.00%) | | 5/31/2024 | | | | | | ₤ | 1,000 | | | 1,347 | | (e)(f) | |
| Kindred Healthcare, LLC | | | | 1st Lien Term Loan | | 4.63% (1M LIBOR + 4.50%) | | 7/2/2025 | | | | | | | 4,987 | | | 4,987 | | | |
| MED ParentCo, LP | | | | 1st Lien Term Loan | | 4.33% (1M LIBOR + 4.25%) | | 8/31/2026 | | | | | | | 11,625 | | | 11,591 | | | |
| Medline Industries, Inc. | | | | 1st Lien Term Loan | | | | 7/28/2022 | | | | | | | 3,636 | | | 3,636 | | (e)(i) | |
| Medline Industries, Inc. | | | | 1st Lien Term Loan | | | | 7/29/2022 | | | | | | | 3,203 | | | 3,203 | | (e)(i) | |
| NueHealth Performance, LLC | | | | 1st Lien Revolver | | 8.25% (1M LIBOR + 7.25%) | | 9/27/2023 | | | | | | | 1 | | | 1 | | (e) | |
| NueHealth Performance, LLC | | | | 1st Lien Term Loan | | 8.25% (1M LIBOR + 7.25%) | | 9/27/2023 | | | | | | | 2,150 | | | 2,150 | | (e)(f) | |
| NueHealth Performance, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.25% (1M LIBOR + 7.25%) | | 9/27/2023 | | | | | | | 286 | | | 286 | | (e)(f) | |
| NueHealth Performance, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.25% (1M LIBOR + 7.25%) | | 9/27/2023 | | | | | | | 605 | | | 496 | | (e)(h) | |
| Olympia Acquisition, Inc. | | | | 1st Lien Revolver | | 8.50% (3M LIBOR + 7.50%) | | 9/24/2024 | | | | | | | 650 | | | 529 | | (e)(h) | |
| Olympia Acquisition, Inc. | | | | 1st Lien Term Loan | | 8.50% (1M LIBOR + 5.50%) | | 9/24/2026 | | | | | | | 2,496 | | | 2,196 | | (e)(f)(g) | |
| Olympia Acquisition, Inc. | | | | 1st Lien Term Loan | | 8.50% (1M LIBOR + 7.50%) | | 9/24/2026 | | | | | | | 28 | | | 25 | | (e)(f) | |
| OMH-HealthEdge Holdings, LLC | | | | 1st Lien Revolver | | | | 10/24/2024 | | | | | | | 1 | | | — | | (e)(h) | |
| OMH-HealthEdge Holdings, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/24/2025 | | | | | | | 2,240 | | | 2,240 | | (e)(f) | |
| Option Care Health Inc | | | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 8/6/2026 | | | | | | | 7,472 | | | 7,468 | | | |
| Ortho-Clinical Diagnostics, Inc. | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 6/30/2025 | | | | | | | 2,097 | | | 2,095 | | | |
| PetVet Care Centers, LLC | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.50%) | | 2/14/2025 | | | | | | | 2,945 | | | 2,944 | | | |
| Pluto Acquisition I, Inc. | | | | 1st Lien Term Loan | | | | 6/22/2026 | | | | | | | 2,464 | | | 2,460 | | (i) | |
| Premise Health Holding Corp. | | | | 1st Lien Revolver | | 3.37% (3M LIBOR + 3.25%) | | 7/10/2023 | | | | | | | 1 | | | — | | (e)(h) | |
| Premise Health Holding Corp. | | | | 1st Lien Term Loan | | 3.63% (3M LIBOR + 3.50%) | | 7/10/2025 | | | | | | | 11 | | | 11 | | (e)(f) | |
| Premise Health Holding Corp. | | | | 2nd Lien Term Loan | | 7.63% (3M LIBOR + 7.50%) | | 7/10/2026 | | | | | | | 2,000 | | | 2,000 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Radnet Management, Inc. | | | | 1st Lien Term Loan | | | | 4/23/2028 | | | | | | $ | 2,494 | | | $ | 2,489 | | (i) | |
| RegionalCare Hospital Partners Holdings, Inc. | | | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 11/16/2025 | | | | | | | 2,480 | | | 2,475 | | | |
| SiroMed Physician Services, Inc. | | | | 1st Lien Revolver | | | | 3/26/2024 | | | | | | | 1 | | | — | | (e)(h) | |
| SiroMed Physician Services, Inc. | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 4.75%) | | 3/26/2024 | | | | | | | 729 | | | 605 | | (e)(f) | |
| Sotera Health Holdings, LLC | | | | 1st Lien Term Loan | | 3.25% (1M LIBOR + 2.75%) | | 12/11/2026 | | | | | | | 7,459 | | | 7,434 | | | |
| Symplr Software Inc. | | | | 1st Lien Revolver | | | | 12/22/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| Symplr Software Inc. | | | | 1st Lien Term Loan | | 5.25% (6M LIBOR + 4.50%) | | 12/22/2027 | | | | | | | 1 | | | 1 | | (e) | |
| Symplr Software Inc. | | | | 2nd Lien Term Loan | | 8.63% (3M LIBOR + 7.88%) | | 12/22/2028 | | | | | | | 10,160 | | | 10,160 | | (e) | |
| Teligent, Inc. | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 5.50%) | | 6/13/2024 | | | | | | | 1 | | | 1 | | (e)(h)(j) | |
| Teligent, Inc. | | | | 2nd Lien Term Loan | | 14.50% (3M LIBOR + 13.00%) | | 12/29/2022 | | | | | | | 1,160 | | | 491 | | (e)(j) | |
| Teligent, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | 14.50% (3M LIBOR + 13.00%) | | 12/29/2022 | | | | | | | 696 | | | 294 | | (e)(j) | |
| Teligent, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | 14.63% (3M LIBOR + 14.50%) | | 12/29/2022 | | | | | | | 65 | | | (16) | | (e)(h)(j) | |
| Therapy Brands Holdings LLC | | | | 2nd Lien Term Loan | | 7.50% (3M LIBOR + 6.75%) | | 5/18/2029 | | | | | | | 3,050 | | | 3,019 | | (e)(f) | |
| Therapy Brands Holdings LLC | | | | 2nd Lien Delayed Draw Term Loan | | | | 5/18/2029 | | | | | | | 1,284 | | | (13) | | (e)(h) | |
| United Digestive MSO Parent, LLC | | | | 1st Lien Revolver | | | | 12/14/2023 | | | | | | | 511 | | | — | | (e)(h) | |
| United Digestive MSO Parent, LLC | | | | 1st Lien Term Loan | | 5.00% (3M LIBOR + 4.00%) | | 12/16/2024 | | | | | | | 1,426 | | | 1,426 | | (e)(f) | |
| United Digestive MSO Parent, LLC | | | | 1st Lien Delayed Draw Term Loan | | 5.00% (3M LIBOR + 4.00%) | | 12/16/2024 | | | | | | | 1,022 | | | 794 | | (e)(h) | |
| Veterinary Practice Partners, LLC | | | | 1st Lien Revolver | | | | 1/20/2027 | | | | | | | 193 | | | — | | (e)(h) | |
| Veterinary Practice Partners, LLC | | | | 1st Lien Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 1/20/2027 | | | | | | | 3,648 | | | 3,648 | | (e)(f) | |
| Veterinary Practice Partners, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (1M LIBOR + 5.50%) | | 1/20/2027 | | | | | | | 2,265 | | | 1,787 | | (e)(h) | |
| Waystar Technologies, Inc. | | | | 1st Lien Term Loan | | 4.08% (1M LIBOR + 4.00%) | | 10/22/2026 | | | | | | | 659 | | | 659 | | | |
| WSHP FC Acquisition LLC | | | | 1st Lien Revolver | | 7.25% (3M LIBOR + 6.25%) | | 3/28/2024 | | | | | | | 89 | | | 41 | | (e)(h) | |
| WSHP FC Acquisition LLC | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 3/28/2024 | | | | | | | 2,801 | | | 2,801 | | (e)(f) | |
| WSHP FC Acquisition LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 3/28/2024 | | | | | | | 1,439 | | | 1,273 | | (e)(h) | |
| WSHP FC Acquisition LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 3/28/2024 | | | | | | | 167 | | | 167 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| | | | | | | | | | | | | | | | | $ | 177,842 | | | 10.86% |
| Household & Personal Products | | | | | | | | | | | | | | | |
| Foundation Consumer Brands, LLC | | | | 1st Lien Revolver | | | | 10/1/2026 | | | | | | | 389 | | | — | | (e)(h) | |
| Foundation Consumer Brands, LLC | | | | 1st Lien Term Loan | | 7.38% (3M LIBOR + 6.38%) | | 10/1/2026 | | | | | | | 4,986 | | | 4,986 | | (e)(f) | |
| Premier Specialties, Inc. | | | | 1st Lien Revolver | | | | 8/20/2027 | | | | | | | 385 | | | (8) | | (e)(h) | |
| Premier Specialties, Inc. | | | | 1st Lien Term Loan | | 6.75% (1M LIBOR + 5.75%) | | 8/20/2027 | | | | | | | 3,050 | | | 3,020 | | (e) | |
| Premier Specialties, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 8/20/2027 | | | | | | | 829 | | | (8) | | (e)(h) | |
| | | | | | | | | | | | | | | | | 7,990 | | | 0.49% |
| Insurance | | | | | | | | | | | | | | | | | | | |
| Acrisure, LLC | | | | 1st Lien Term Loan | | 3.63% (3M LIBOR + 3.50%) | | 2/15/2027 | | | | | | | 3,737 | | | 3,699 | | | |
| Alliant Holdings Intermediate, LLC | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.75%) | | 11/5/2027 | | | | | | | 2,228 | | | 2,229 | | (i) | |
| Amynta Agency Borrower Inc. | | | | 1st Lien Term Loan | | 4.58% (1M LIBOR + 4.50%) | | 2/28/2025 | | | | | | | 2,910 | | | 2,910 | | (e)(f) | |
| AQ Sunshine, Inc. | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 6.00%) | | 4/15/2024 | | | | | | | 213 | | | 57 | | (e)(h) | |
| AQ Sunshine, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 4/15/2025 | | | | | | | 655 | | | 655 | | (e) | |
| AQ Sunshine, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 4/15/2025 | | | | | | | 1,506 | | | 1,506 | | (e)(f) | |
| AQ Sunshine, Inc. | | | | 1st Lien Term Loan | | 7.00% (6M LIBOR + 6.00%) | | 4/15/2025 | | | | | | | 3,581 | | | 3,581 | | (e)(f) | |
| AQ Sunshine, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 4/15/2025 | | | | | | | 1,085 | | | — | | (e)(h) | |
| Ardonagh Midco 3 PLC | | Great Britain | | 1st Lien Term Loan | | 8.21% (6M GBP LIBOR + 7.46%) | | 7/14/2026 | | | | | | ₤ | 1,491 | | | 2,009 | | (e)(f) | |
| Ardonagh Midco 3 PLC | | Great Britain | | 1st Lien Term Loan | | 8.46% (6M EURIBOR + 7.46%) | | 7/14/2026 | | | | | | € | 190 | | | 220 | | (e)(f) | |
| Ardonagh Midco 3 PLC | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 7/14/2026 | | | | | | ₤ | 1 | | | — | | (e)(h) | |
| Ardonagh Midco 3 PLC | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 7/14/2026 | | | | | | | 16,452 | | | — | | (e)(h) | |
| Ardonagh Midco 3 PLC | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.28% (6M GBP LIBOR + 5.26%) | | 7/14/2026 | | | | | | ₤ | 312 | | | 420 | | (e) | |
| AssuredPartners, Inc. | | | | 1st Lien Term Loan | | 4.00% (1M LIBOR + 3.50%) | | 2/12/2027 | | | | | | | 1,400 | | | 1,398 | | | |
| Benefytt Technologies, Inc. | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 6.00%) | | 8/12/2027 | | | | | | | 3,645 | | | 3,608 | | (e) | |
| Benefytt Technologies, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 8/12/2027 | | | | | | | 911 | | | (9) | | (e)(h) | |
| Blackwood Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 9.05% (6M LIBOR + 5.55%) | | 10/8/2026 | | | | | | | 3,321 | | | 3,321 | | (e)(f) | |
| Blackwood Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.80% (6M GBP LIBOR + 7.30%) | | 10/8/2026 | | | | | | ₤ | 464 | | | 625 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Blackwood Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.05% (6M GBP LIBOR + 7.55%) | | 10/8/2026 | | | | | | ₤ | 2,319 | | | $ | 2,311 | | (e)(f)(h) | |
| Blackwood Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.13% (3M GBP LIBOR + 7.80%) | | 10/8/2026 | | | | | | ₤ | 2,659 | | | 3,582 | | (e)(f) | |
| Foundation Risk Partners, Corp. | | | | 1st Lien Revolver | | | | 11/10/2023 | | | | | | | 3 | | | — | | (e)(h) | |
| Foundation Risk Partners, Corp. | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 11/10/2023 | | | | | | | 1,231 | | | 1,231 | | (e)(f) | |
| Foundation Risk Partners, Corp. | | | | 1st Lien Delayed Draw Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 11/10/2023 | | | | | | | 6,364 | | | 5,834 | | (e)(h) | |
| Foundation Risk Partners, Corp. | | | | 1st Lien Delayed Draw Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 11/10/2023 | | | | | | | 138 | | | 138 | | (e)(f) | |
| Foundation Risk Partners, Corp. | | | | 2nd Lien Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 11/10/2024 | | | | | | | 487 | | | 487 | | (e) | |
| Foundation Risk Partners, Corp. | | | | 2nd Lien Delayed Draw Term Loan | | | | 11/11/2024 | | | | | | | 766 | | | — | | (e)(h) | |
| Foundation Risk Partners, Corp. | | | | 2nd Lien Delayed Draw Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 11/10/2024 | | | | | | | 2,021 | | | 2,021 | | (e) | |
| Galway Borrower LLC | | | | 1st Lien Revolver | | | | 9/30/2027 | | | | | | | 969 | | | (10) | | (e)(h)(i) | |
| Galway Borrower LLC | | | | 1st Lien Term Loan | | | | 9/29/2028 | | | | | | | 9,943 | | | 9,744 | | (e)(i) | |
| Galway Borrower LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 9/29/2028 | | | | | | | 2,286 | | | (46) | | (e)(h)(i) | |
| Hammersmith Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.94% (1M GBP LIBOR + 7.44%) | | 9/2/2026 | | | | | | ₤ | 6,924 | | | 7,723 | | (e)(h) | |
| Hammersmith Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.94% (1M GBP LIBOR + 7.44%) | | 9/2/2026 | | | | | | ₤ | 4,112 | | | 5,541 | | (e)(f) | |
| High Street Buyer, Inc. | | | | 1st Lien Revolver | | | | 4/16/2027 | | | | | | | 688 | | | (14) | | (e)(h) | |
| High Street Buyer, Inc. | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 6.00%) | | 4/14/2028 | | | | | | | 4,795 | | | 4,747 | | (e)(f) | |
| High Street Buyer, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 4/14/2028 | | | | | | | 8,819 | | | (88) | | (e)(h) | |
| High Street Buyer, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 6.00%) | | 4/14/2028 | | | | | | | 9,101 | | | 7,403 | | (e)(h) | |
| Jewel Bidco Limited | | Great Britain | | 1st Lien Revolver | | 3.62% (SONIA + 3.50%) | | 1/24/2028 | | | | | | ₤ | 1,000 | | | 741 | | (e)(f)(h) | |
| Jewel Bidco Limited | | Great Britain | | 1st Lien Term Loan | | | | 7/24/2028 | | | | | | ₤ | 3,797 | | | — | | (e)(h) | |
| Jewel Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 6.67% (SONIA + 6.50%) | | 7/24/2028 | | | | | | ₤ | 6,203 | | | 8,357 | | (e)(f) | |
| OneDigital Borrower LLC | | | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.50%) | | 11/16/2027 | | | | | | | 1,431 | | | 1,436 | | | |
| OneDigital Borrower LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 11/16/2027 | | | | | | | 46 | | | — | | (h) | |
| Optio Group Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (6M GBP LIBOR + 7.00%) | | 3/16/2026 | | | | | | ₤ | 598 | | | 377 | | (e)(h) | |
| Optio Group Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (6M GBP LIBOR + 7.00%) | | 3/30/2026 | | | | | | ₤ | 500 | | | 674 | | (e)(f) | |
| People Corporation | | Canada | | 1st Lien Revolver | | 7.25% (3M CDOR + 6.25%) | | 2/18/2027 | | | | | | CAD | 898 | | | 130 | | (e)(h) | |
| People Corporation | | Canada | | 1st Lien Term Loan | | 7.25% (3M CDOR + 6.25%) | | 2/18/2028 | | | | | | CAD | 7,184 | | | 5,672 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| People Corporation | | Canada | | 1st Lien Delayed Draw Term Loan | | | | 2/18/2028 | | | | | | CAD | 4,116 | | | $ | — | | (e)(h) | |
| People Corporation | | Canada | | 1st Lien Delayed Draw Term Loan | | 7.25% (3M CDOR + 6.25%) | | 2/18/2028 | | | | | | CAD | 2,344 | | | 1,523 | | (e)(h) | |
| Right Choice Holdings Limited | | Great Britain | | 1st Lien Term Loan | | 7.75% (6M GBP LIBOR + 7.00%) | | 6/6/2024 | | | | | | ₤ | 1,000 | | | 1,347 | | (e)(f) | |
| Right Choice Holdings Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.75% (6M GBP LIBOR + 7.00%) | | 6/6/2024 | | | | | | ₤ | 667 | | | 898 | | (e)(f) | |
| RSC Acquisition, Inc. | | | | 1st Lien Revolver | | | | 10/30/2026 | | | | | | | 1 | | | — | | (e)(h) | |
| RSC Acquisition, Inc. | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/30/2026 | | | | | | | 3,186 | | | 3,186 | | (e)(f) | |
| Ryan Specialty Group, LLC | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.00%) | | 9/1/2027 | | | | | | | 990 | | | 989 | | | |
| SCM Insurance Services Inc. | | Canada | | 1st Lien Revolver | | | | 8/29/2022 | | | | | | CAD | 1 | | | — | | (e)(h) | |
| SCM Insurance Services Inc. | | Canada | | 1st Lien Term Loan | | 6.00% (1M CDOR + 5.00%) | | 8/29/2024 | | | | | | CAD | 120 | | | 95 | | (e)(f) | |
| SCM Insurance Services Inc. | | Canada | | 2nd Lien Term Loan | | 10.00% (1M CDOR + 9.00%) | | 3/1/2025 | | | | | | CAD | 125 | | | 99 | | (e) | |
| SelectQuote, Inc. | | | | 1st Lien Term Loan | | 5.75% (1M LIBOR + 5.00%) | | 11/5/2024 | | | | | | | 4,853 | | | 4,853 | | (e) | |
| SelectQuote, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 11/5/2024 | | | | | | | 2,455 | | | — | | (e)(h) | |
| SG Acquisition, Inc. | | | | 1st Lien Term Loan | | 5.50% (1M LIBOR + 5.00%) | | 1/27/2027 | | | | | | | 2,876 | | | 2,876 | | (e)(f) | |
| Spring Insurance Solutions, LLC | | | | 1st Lien Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 11/24/2025 | | | | | | | 3,454 | | | 3,384 | | (e)(f) | |
| Spring Insurance Solutions, LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.50% (2M LIBOR + 6.50%) | | 11/24/2025 | | | | | | | 1,151 | | | 104 | | (e)(h) | |
| Staysure Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.00% (3M GBP LIBOR + 7.25%) | | 7/1/2025 | | | | | | ₤ | 1,000 | | | 1,266 | | (e) | |
| USI, Inc. | | | | 1st Lien Term Loan | | 3.38% (3M LIBOR + 3.25%) | | 12/2/2026 | | | | | | | 6,504 | | | 6,457 | | | |
| | | | | | | | | | | | | | | | | 121,297 | | | 7.40% |
| Materials | | | | | | | | | | | | | | | | | | | |
| Anchor Packaging, LLC | | | | 1st Lien Term Loan | | 4.08% (1M LIBOR + 4.00%) | | 7/18/2026 | | | | | | | 3,140 | | | 3,135 | | | |
| Aruba Investments, Inc. | | | | 2nd Lien Term Loan | | 8.50% (3M LIBOR + 7.75%) | | 11/24/2028 | | | | | | | 3,000 | | | 3,008 | | | |
| Berlin Packaging L.L.C. | | | | 1st Lien Term Loan | | 3.75% (3M LIBOR + 3.25%) | | 3/11/2028 | | | | | | | 4,045 | | | 4,009 | | (i) | |
| Berlin Packaging L.L.C. | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.75%) | | 3/11/2028 | | | | | | | 3,949 | | | 3,944 | | | |
| DCG Acquisition Corp. | | | | 1st Lien Term Loan | | 4.59% (1M LIBOR + 4.50%) | | 9/30/2026 | | | | | | | 5,307 | | | 5,307 | | (e) | |
| Groupe Solmax Inc. | | Canada | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.75%) | | 5/29/2028 | | | | | | | 1,306 | | | 1,303 | | | |
| IntraPac Canada Corporation | | Canada | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.50%) | | 1/11/2026 | | | | | | | 796 | | | 788 | | (e)(f) | |
| IntraPac International LLC | | | | 1st Lien Revolver | | 6.25% (3M LIBOR + 5.50%) | | 1/11/2025 | | | | | | | 415 | | | 131 | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| IntraPac International LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.50%) | | 1/11/2026 | | | | | | $ | 4,329 | | | $ | 4,286 | | (e)(f) | |
| Kleopatra Finco S.a r.l. | | Luxembourg | | 1st Lien Term Loan | | 4.75% (6M EURIBOR + 4.75%) | | 2/12/2026 | | | | | | € | 3,800 | | | 4,357 | | | |
| Mauser Packaging Solutions Holding Company | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 4/3/2024 | | | | | | | 2,727 | | | 2,669 | | | |
| Nelipak European Holdings Cooperatief U.A. | | Netherlands | | 1st Lien Revolver | | | | 7/2/2024 | | | | | | € | 582 | | | — | | (e)(h) | |
| Nelipak European Holdings Cooperatief U.A. | | Netherlands | | 1st Lien Term Loan | | 4.50% (3M EURIBOR + 4.50%) | | 7/2/2026 | | | | | | € | 808 | | | 936 | | (e)(f) | |
| Nelipak Holding Company | | | | 1st Lien Revolver | | 5.25% (3M LIBOR + 4.25%) | | 7/2/2024 | | | | | | | 605 | | | 253 | | (e)(h) | |
| Nelipak Holding Company | | | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 7/2/2026 | | | | | | | 2,976 | | | 2,976 | | (e)(f) | |
| Novipax Buyer, L.L.C. | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 12/1/2026 | | | | | | | 4,355 | | | 4,355 | | (e)(f) | |
| PAKNK Netherlands Treasury B.V. | | Netherlands | | 1st Lien Term Loan | | 4.50% (3M EURIBOR + 4.50%) | | 7/2/2026 | | | | | | € | 5,267 | | | 6,101 | | (e)(f) | |
| Plaskolite PPC Intermediate II LLC | | | | 2nd Lien Term Loan | | 8.00% (3M LIBOR + 7.00%) | | 12/14/2026 | | | | | | | 2,960 | | | 2,960 | | (e)(f) | |
| Pregis Topco Llc | | | | 1st Lien Term Loan | | 4.08% (1M LIBOR + 4.00%) | | 7/31/2026 | | | | | | | 3,885 | | | 3,889 | | | |
| Pregis Topco Llc | | | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 4.00%) | | 7/31/2026 | | | | | | | 1,295 | | | 1,295 | | | |
| Pretium PKG Holdings, Inc. | | | | 1st Lien Term Loan | | | | 10/2/2028 | | | | | | | 725 | | | 725 | | (i) | |
| Pretium PKG Holdings, Inc. | | | | 1st Lien Term Loan | | 4.75% (3M LIBOR + 4.00%) | | 11/5/2027 | | | | | | | 1,577 | | | 1,576 | | | |
| Pretium PKG Holdings, Inc. | | | | 2nd Lien Term Loan | | | | 10/1/2029 | | | | | | | 1,025 | | | 3 | | (e)(h)(i) | |
| Trident TPI Holdings, Inc. | | | | 1st Lien Term Loan | | | | 9/15/2028 | | | | | | | 2,232 | | | 2,235 | | (i) | |
| Trident TPI Holdings, Inc. | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.00%) | | 10/17/2024 | | | | | | | 3,028 | | | 3,024 | | (i) | |
| Trident TPI Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 9/15/2028 | | | | | | | 317 | | | — | | (h)(i) | |
| TWH Infrastructure Industries, Inc. | | | | 1st Lien Revolver | | 5.64% (3M LIBOR + 5.50%) | | 4/9/2025 | | | | | | | 464 | | | 213 | | (e)(h) | |
| TWH Infrastructure Industries, Inc. | | | | 1st Lien Term Loan | | 5.64% (3M LIBOR + 5.50%) | | 4/9/2025 | | | | | | | 1,342 | | | 1,288 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 64,766 | | | 3.95% |
| Media & Entertainment | | | | | | | | | | | | | | | | | |
| AVSC Holding Corp. | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 10/15/2026 | | | | | | | 2,031 | | | 1,866 | | (h) | |
| Diamond Sports Group, LLC | | | | 1st Lien Term Loan | | 3.34% (1M LIBOR + 3.25%) | | 8/24/2026 | | | | | | | 557 | | | 346 | | | |
| Global Music Rights, LLC | | | | 1st Lien Revolver | | | | 8/27/2027 | | | | | | | 473 | | | (9) | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Global Music Rights, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 8/28/2028 | | | | | | $ | 5,018 | | | $ | 4,967 | | (e) | |
| MMax Investment Partners, Inc. | | | | 1st Lien Term Loan | | 10.00% (3M LIBOR + 10.00%) | | 1/19/2026 | | | | | | | 536 | | | 472 | | (e)(g) | |
| Production Resource Group, LLC | | | | 1st Lien Term Loan | | 9.75% (3M LIBOR + 8.50%) | | 8/21/2024 | | | | | | | 674 | | | 674 | | (e)(g) | |
| Production Resource Group, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 8/21/2024 | | | | | | | 147 | | | 49 | | (e)(h) | |
| Production Resource Group, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 8/21/2024 | | | | | | | 311 | | | 311 | | (e) | |
| Rugby Australia Ltd | | Australia | | 1st Lien Term Loan | | 7.75% (3M BBSY + 7.00%) | | 3/31/2027 | | | | | | AUD | 1,250 | | | 895 | | (e) | |
| Rugby Australia Ltd | | Australia | | 1st Lien Delayed Draw Term Loan | | | | 3/31/2027 | | | | | | AUD | 1,250 | | | (9) | | (e)(h) | |
| Storm Investment S.a.r.l. | | Luxembourg | | 1st Lien Term Loan | | 3.75% | | 6/21/2030 | | | | | | € | 9,193 | | | 10,649 | | (e) | |
| The E.W. Scripps Company | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.00%) | | 1/7/2028 | | | | | | | 2,057 | | | 2,060 | | | |
| UFC Holdings LLC | | | | 1st Lien Term Loan | | 3.50% (6M LIBOR + 2.75%) | | 4/29/2026 | | | | | | | 2,493 | | | 2,486 | | | |
| Univision Communications Inc | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 2.75%) | | 3/15/2024 | | | | | | | 1,000 | | | 999 | | | |
| Wideopenwest Finance, LLC | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.25%) | | 8/18/2023 | | | | | | | 763 | | | 763 | | | |
| | | | | | | | | | | | | | | | | 26,519 | | | 1.62% |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | | | | | | | | |
| Aspire Bidco Limited | | Jersey | | 1st Lien Revolver | | | | 3/3/2028 | | | | | | ₤ | 500 | | | — | | (e)(h) | |
| Aspire Bidco Limited | | Jersey | | 1st Lien Term Loan | | | | 3/3/2028 | | | | | | ₤ | 700 | | | — | | (e)(h) | |
| Aspire Bidco Limited | | Jersey | | 1st Lien Term Loan | | | | 9/4/2028 | | | | | | ₤ | 1,941 | | | — | | (e)(h) | |
| Aspire Bidco Limited | | Jersey | | 1st Lien Term Loan | | 6.92% (SONIA + 6.87%) | | 3/3/2028 | | | | | | ₤ | 1,200 | | | 1,617 | | (e)(f) | |
| Aspire Bidco Limited | | Jersey | | 1st Lien Term Loan | | 9.12% (SONIA + 9.00%) | | 9/4/2028 | | | | | | ₤ | 3,559 | | | 4,795 | | (e)(f) | |
| Cambrex Corporation | | | | 1st Lien Term Loan | | 4.25% (1M LIBOR + 3.50%) | | 12/4/2026 | | | | | | | 4,440 | | | 4,444 | | | |
| Da Vinci Purchaser Corp. | | | | 1st Lien Term Loan | | 5.00% (1M LIBOR + 4.00%) | | 1/8/2027 | | | | | | | 5,408 | | | 5,426 | | | |
| ICON Luxembourg S.A.R.L. | | Luxembourg | | 1st Lien Term Loan | | 3.00% (3M LIBOR + 2.50%) | | 7/3/2028 | | | | | | | 1,786 | | | 1,792 | | | |
| Jazz Financing Lux S.a.r.l. | | Luxembourg | | 1st Lien Term Loan | | 4.00% (1M LIBOR + 3.50%) | | 5/5/2028 | | | | | | | 2,494 | | | 2,497 | | | |
| NMC Skincare Intermediate Holdings II, LLC | | | | 1st Lien Revolver | | 6.00% (1M LIBOR + 5.00%) | | 10/31/2024 | | | | | | | 333 | | | 263 | | (e)(h) | |
| NMC Skincare Intermediate Holdings II, LLC | | | | 1st Lien Term Loan | | 6.00% (1M LIBOR + 5.00%) | | 10/31/2024 | | | | | | | 1,945 | | | 1,926 | | (e)(f) | |
| NMC Skincare Intermediate Holdings II, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.00% (1M LIBOR + 5.00%) | | 10/31/2024 | | | | | | | 655 | | | 649 | | (e) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| North American Science Associates, LLC | | | | 1st Lien Revolver | | 5.25% (3M LIBOR + 4.50%) | | 3/15/2027 | | | | | | $ | 1 | | | $ | 1 | | (e)(h) | |
| North American Science Associates, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 9/15/2027 | | | | | | | 4,157 | | | 4,157 | | (e) | |
| North American Science Associates, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 9/15/2027 | | | | | | | 7,070 | | | 7,070 | | (e)(f) | |
| North American Science Associates, LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 9/15/2027 | | | | | | | 916 | | | — | | (e)(h) | |
| North American Science Associates, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.75%) | | 9/15/2027 | | | | | | | 972 | | | 972 | | (e) | |
| Organon & Co. | | | | 1st Lien Term Loan | | 3.50% (3M LIBOR + 3.00%) | | 6/2/2028 | | | | | | | 5,166 | | | 5,174 | | | |
| PPD, Inc. | | | | 1st Lien Term Loan | | 2.50% (1M LIBOR + 2.00%) | | 1/13/2028 | | | | | | | 6,977 | | | 6,963 | | | |
| PRA Health Sciences, Inc. | | | | 1st Lien Term Loan | | 3.00% (3M LIBOR + 2.50%) | | 7/3/2028 | | | | | | | 445 | | | 446 | | | |
| PROTON JVCO S.A R.L. | | Luxembourg | | 1st Lien Term Loan | | | | 11/9/2026 | | | | | | € | 833 | | | — | | (e)(h) | |
| PROTON JVCO S.A R.L. | | Luxembourg | | 1st Lien Term Loan | | 7.50% (6M EURIBOR + 7.25%) | | 11/9/2026 | | | | | | € | 1,667 | | | 1,931 | | (e)(f) | |
| TerSera Therapeutics LLC | | | | 1st Lien Term Loan | | 6.60% (3M LIBOR + 5.60%) | | 3/30/2025 | | | | | | | 48 | | | 48 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 50,171 | | | 3.06% |
| Real Estate | | | | | | | | | | | | | | | | | | | |
| Illinois Investment S.a.r.l. | | Luxembourg | | 1st Lien Term Loan | | 8.00% | | 12/31/2026 | | | | | | SEK | 6,071 | | | 693 | | (e) | |
| | | | | | | | | | | | | | | | | 693 | | | 0.04% |
| Retailing | | | | | | | | | | | | | | | | | | | |
| Atlas Intermediate III L.L.C. | | | | 1st Lien Revolver | | | | 4/29/2025 | | | | | | | 201 | | | (63) | | (e)(h) | |
| Atlas Intermediate III L.L.C. | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 4/29/2025 | | | | | | | 1,576 | | | 1,576 | | (e)(f) | |
| Atlas Intermediate III L.L.C. | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 4/29/2025 | | | | | | | 405 | | | 320 | | (e)(h) | |
| Autokiniton US Holdings, Inc. | | | | 1st Lien Term Loan | | 5.00% (12M LIBOR + 4.50%) | | 4/6/2028 | | | | | | | 3,115 | | | 3,114 | | (i) | |
| GPM Investments, LLC | | | | 1st Lien Term Loan | | 5.50% (1M LIBOR + 4.50%) | | 3/1/2027 | | | | | | | 8,390 | | | 8,390 | | (e)(f) | |
| GPM Investments, LLC | | | | 1st Lien Delayed Draw Term Loan | | 5.50% (1M LIBOR + 4.50%) | | 3/1/2027 | | | | | | | 3,288 | | | 3,288 | | (e) | |
| Hoya Midco, LLC | | | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 3.50%) | | 6/30/2024 | | | | | | | 1,596 | | | 1,586 | | | |
| Marcone Yellowstone Buyer Inc. | | | | 1st Lien Term Loan | | 6.25% (6M LIBOR + 5.50%) | | 6/23/2028 | | | | | | | 8,420 | | | 8,251 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Marcone Yellowstone Buyer Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 6/23/2028 | | | | | | $ | 2,790 | | | $ | (56) | | (e)(h) | |
| Pug LLC | | | | 1st Lien Term Loan | | 4.75% (1M LIBOR + 4.25%) | | 2/12/2027 | | | | | | | 2,054 | | | 2,051 | | (e) | |
| Reddy Ice LLC | | | | 1st Lien Revolver | | | | 7/1/2024 | | | | | | | 955 | | | — | | (e)(h) | |
| Reddy Ice LLC | | | | 1st Lien Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 7/1/2025 | | | | | | | 7,282 | | | 7,282 | | (e)(f) | |
| Reddy Ice LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 7/1/2025 | | | | | | | 1,238 | | | 742 | | (e)(h) | |
| Saldon Holdings, Inc. | | | | 1st Lien Revolver | | | | 3/13/2024 | | | | | | | 381 | | | — | | (e)(h) | |
| Saldon Holdings, Inc. | | | | 1st Lien Term Loan | | 6.65% (1M LIBOR + 5.65%) | | 3/13/2025 | | | | | | | 7,165 | | | 7,165 | | (e)(f) | |
| SCIH Salt Holdings Inc. | | | | 1st Lien Term Loan | | 4.75% (3M LIBOR + 4.00%) | | 3/16/2027 | | | | | | | 1,929 | | | 1,930 | | | |
| Sweetwater Borrower, LLC | | | | 1st Lien Term Loan | | | | 8/7/2028 | | | | | | | 385 | | | 383 | | (i) | |
| US Salt Investors, LLC | | | | 1st Lien Revolver | | | | 7/20/2026 | | | | | | | 679 | | | (14) | | (e)(h) | |
| US Salt Investors, LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.50%) | | 7/19/2028 | | | | | | | 6,012 | | | 5,952 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 51,897 | | | 3.17% |
| Semiconductors & Semiconductor Equipment | | | | | | | | | | | | | | | |
| Esdec Solar Group B.V. | | Netherlands | | 1st Lien Term Loan | | 5.75% (6M LIBOR + 5.00%) | | 8/30/2028 | | | | | | | 292 | | | 292 | | (e) | |
| | | | | | | | | | | | | | | | | 292 | | | 0.02% |
| Software & Services | | | | | | | | | | | | | | | | | |
| 2U, Inc. | | | | 1st Lien Term Loan | | 6.50% (2M LIBOR + 5.75%) | | 12/30/2024 | | | | | | | 6,782 | | | 6,714 | | (e)(f) | |
| AffiniPay Midco, LLC | | | | 1st Lien Revolver | | | | 3/2/2026 | | | | | | | 766 | | | — | | (e)(h) | |
| AffiniPay Midco, LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.00%) | | 3/2/2026 | | | | | | | 9,809 | | | 9,809 | | (e)(f) | |
| Anaqua Parent Holdings, Inc. | | | | 1st Lien Revolver | | | | 10/10/2025 | | | | | | | 231 | | | — | | (e)(h) | |
| Anaqua Parent Holdings, Inc. | | | | 1st Lien Term Loan | | 6.25% (6M EURIBOR + 6.25%) | | 4/10/2026 | | | | | | € | 667 | | | 772 | | (e) | |
| Anaqua Parent Holdings, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 4/10/2026 | | | | | | | 2,001 | | | 2,001 | | (e)(f) | |
| Anaqua Parent Holdings, Inc. | | | | 1st Lien Term Loan | | 7.00% (6M LIBOR + 6.00%) | | 4/10/2026 | | | | | | | 1,805 | | | 1,805 | | (e)(f) | |
| Anaqua Parent Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 4/10/2026 | | | | | | | 523 | | | — | | (e)(h) | |
| APG Intermediate Holdings Corporation | | | | 1st Lien Revolver | | 6.75% (3M LIBOR + 5.25%) | | 1/3/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| APG Intermediate Holdings Corporation | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.25%) | | 1/3/2025 | | | | | | | 1,000 | | | 1,000 | | (e) | |
| APG Intermediate Holdings Corporation | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 5.25%) | | 1/3/2025 | | | | | | | 59 | | | 59 | | (e) | |
| Applied Systems, Inc. | | | | 1st Lien Term Loan | | 3.75% (3M LIBOR + 3.25%) | | 9/19/2024 | | | | | | | 8,824 | | | 8,821 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Applied Systems, Inc. | | | | 2nd Lien Term Loan | | 6.25% (3M LIBOR + 5.50%) | | 9/19/2025 | | | | | | $ | 989 | | | $ | 1,000 | | | |
| Appriss Health, LLC | | | | 1st Lien Revolver | | | | 5/6/2027 | | | | | | | 212 | | | (4) | | (e)(h) | |
| Appriss Health, LLC | | | | 1st Lien Term Loan | | 8.25% (3M LIBOR + 7.25%) | | 5/6/2027 | | | | | | | 2,912 | | | 2,883 | | (e) | |
| Apttus Corporation | | | | 1st Lien Term Loan | | 5.00% (3M LIBOR + 4.25%) | | 5/8/2028 | | | | | | | 2,955 | | | 2,966 | | (i) | |
| Asurion, LLC | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 11/3/2024 | | | | | | | 2,504 | | | 2,476 | | | |
| Asurion, LLC | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 12/23/2026 | | | | | | | 1,026 | | | 1,010 | | | |
| Asurion, LLC | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 7/31/2027 | | | | | | | 2,987 | | | 2,942 | | | |
| Asurion, LLC | | | | 2nd Lien Term Loan | | 5.33% (1M LIBOR + 5.25%) | | 1/31/2028 | | | | | | | 570 | | | 568 | | | |
| Asurion, LLC | | | | 2nd Lien Term Loan | | 5.33% (1M LIBOR + 5.25%) | | 1/20/2029 | | | | | | | 7,000 | | | 6,963 | | | |
| Atlanta Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 7.75% (6M EURIBOR + 7.00%) | | 8/23/2024 | | | | | | € | 1,000 | | | 1,135 | | (e)(f) | |
| Avaya Inc. | | | | 1st Lien Term Loan | | 4.33% (1M LIBOR + 4.25%) | | 12/15/2027 | | | | | | | 663 | | | 664 | | | |
| Banyan Software Holdings, LLC | | | | 1st Lien Revolver | | 8.50% (3M LIBOR + 7.50%) | | 10/30/2025 | | | | | | | 265 | | | 32 | | (e)(h) | |
| Banyan Software Holdings, LLC | | | | 1st Lien Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 10/30/2026 | | | | | | | 2,656 | | | 2,656 | | (e)(f) | |
| Banyan Software Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 10/30/2026 | | | | | | | 1,529 | | | 275 | | (e)(h) | |
| Bock Capital Bidco B.V. | | Netherlands | | 1st Lien Term Loan | | 4.00% (1M EURIBOR + 4.00%) | | 6/29/2028 | | | | | | € | 10,000 | | | 11,598 | | | |
| Capnor Connery Bidco A/S | | Denmark | | 1st Lien Term Loan | | 7.63% (1M EURIBOR + 7.63%) | | 4/30/2026 | | | | | | € | 2,954 | | | 3,422 | | (e)(f) | |
| Capnor Connery Bidco A/S | | Denmark | | 1st Lien Term Loan | | 7.63% (1M STIBOR + 7.63%) | | 4/30/2026 | | | | | | SEK | 4,210 | | | 481 | | (e)(f) | |
| Capnor Connery Bidco A/S | | Denmark | | 1st Lien Term Loan | | 8.05% (1M NIBOR + 7.62%) | | 4/30/2026 | | | | | | NOK | 2,551 | | | 292 | | (e)(f) | |
| Capnor Connery Bidco A/S | | Denmark | | 1st Lien Delayed Draw Term Loan | | 7.63% (1M CIBOR + 7.63%) | | 4/30/2026 | | | | | | DKK | 22,065 | | | 3,437 | | (e)(f) | |
| Capnor Connery Bidco A/S | | Denmark | | 1st Lien Delayed Draw Term Loan | | 7.63% (1M CIBOR + 7.63%) | | 4/30/2026 | | | | | | DKK | 45,968 | | | 982 | | (e)(h) | |
| Cardinal Parent, Inc. | | | | 1st Lien Revolver | | 6.75% (PRIME + 3.50%) | | 11/12/2025 | | | | | | | 1 | | | — | | (e)(h) | |
| Cardinal Parent, Inc. | | | | 2nd Lien Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 11/13/2028 | | | | | | | 6,941 | | | 6,941 | | (e)(f) | |
| Cast & Crew Payroll, LLC | | | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 2/9/2026 | | | | | | | 2,952 | | | 2,939 | | | |
| CCC Intelligent Solutions, Inc. | | | | 1st Lien Term Loan | | | | 9/21/2028 | | | | | | | 2,020 | | | 2,017 | | (i) | |
| CED Group Holding B.V. | | Netherlands | | 1st Lien Delayed Draw Term Loan | | 7.00% (3M EURIBOR + 7.00%) | | 12/9/2025 | | | | | | € | 354 | | | 411 | | (e)(f) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Cologix Holdings, Inc. | | | | 1st Lien Term Loan | | 4.50% (1M LIBOR + 3.75%) | | 5/1/2028 | | | | | | $ | 1,002 | | | $ | 1,003 | | | |
| Confirmasoft AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | | | 6/3/2027 | | | | | | € | 1,505 | | | — | | (e)(h) | |
| Confirmasoft AB | | Sweden | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M EURIBOR + 6.75%) | | 6/3/2027 | | | | | | € | 1,995 | | | 2,310 | | (e)(f) | |
| Consilio Midco Limited | | Great Britain | | 1st Lien Revolver | | | | 5/26/2028 | | | | | | | 1 | | | — | | (e)(h) | |
| Consilio Midco Limited | | Great Britain | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 5/26/2028 | | | | | | | 6,892 | | | 6,824 | | (e)(f) | |
| Consilio Midco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 5/26/2028 | | | | | | | 2,572 | | | (26) | | (e)(h) | |
| Cority Software Inc. | | Canada | | 1st Lien Revolver | | | | 7/2/2025 | | | | | | | 231 | | | — | | (e)(h) | |
| Cority Software Inc. | | Canada | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 7/2/2026 | | | | | | | 130 | | | 130 | | (e) | |
| Cority Software Inc. | | Canada | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 7/2/2026 | | | | | | | 1,741 | | | 1,741 | | (e)(f) | |
| Cvent, Inc. | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.75%) | | 11/29/2024 | | | | | | | 2,596 | | | 2,584 | | | |
| Datix Bidco Limited | | Great Britain | | 1st Lien Term Loan | | 4.21% (6M LIBOR + 4.00%) | | 4/28/2025 | | | | | | | 2,851 | | | 2,851 | | (e)(f) | |
| Denali Holdco LLC | | | | 1st Lien Revolver | | | | 9/15/2027 | | | | | | | 592 | | | (12) | | (e)(h) | |
| Denali Holdco LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 9/15/2027 | | | | | | | 4,118 | | | 4,077 | | (e) | |
| Diligent Corporation | | | | 1st Lien Revolver | | | | 8/4/2025 | | | | | | | 513 | | | — | | (e)(h) | |
| Diligent Corporation | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 8/4/2025 | | | | | | | 2,262 | | | 2,262 | | (e)(f) | |
| Diligent Corporation | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 8/4/2025 | | | | | | | 189 | | | 189 | | (e) | |
| Diligent Corporation | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 8/4/2025 | | | | | | | 3,059 | | | 3,059 | | (e)(f) | |
| Diligent Corporation | | | | 1st Lien Delayed Draw Term Loan | | | | 8/4/2025 | | | | | | | 687 | | | — | | (e)(h) | |
| Doxim Inc. | | | | 1st Lien Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 2/28/2024 | | | | | | | 710 | | | 710 | | (e)(f) | |
| Doxim Inc. | | | | 1st Lien Term Loan | | 7.75% (1M LIBOR + 6.75%) | | 2/28/2024 | | | | | | | 3,422 | | | 3,422 | | (e)(f) | |
| Doxim Inc. | | | | 1st Lien Term Loan | | 8.00% (1M LIBOR + 7.00%) | | 2/28/2024 | | | | | | | 830 | | | 830 | | (e)(f) | |
| Doxim Inc. | | | | 1st Lien Term Loan | | 9.00% (1M LIBOR + 8.00%) | | 2/28/2024 | | | | | | | 6,314 | | | 6,314 | | (e)(f) | |
| Doxim Inc. | | | | 1st Lien Last Out Delayed Draw Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 2/28/2024 | | | | | | | 325 | | | 325 | | (e) | |
| Drilling Info Holdings, Inc. | | | | 2nd Lien Term Loan | | 8.33% (1M LIBOR + 8.25%) | | 7/30/2026 | | | | | | | 8,077 | | | 8,077 | | (e)(f) | |
| DS Admiral Bidco, LLC | | | | 1st Lien Revolver | | | | 3/16/2026 | | | | | | | 358 | | | (9) | | (e)(h) | |
| DS Admiral Bidco, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 3/16/2028 | | | | | | | 2,432 | | | 2,408 | | (e)(f) | |
| Eastman Chemical Company | | | | 1st Lien Term Loan | | | | 8/12/2028 | | | | | | | 1,835 | | | 1,826 | | (e)(i) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Elemica Parent, Inc. | | | | 1st Lien Revolver | | | | 12/31/2021 | | | | | | $ | 947 | | | $ | — | | (e)(h) | |
| Elemica Parent, Inc. | | | | 1st Lien Revolver | | 7.00% (1M LIBOR + 6.00%) | | 9/18/2025 | | | | | | | 479 | | | 268 | | (e)(h) | |
| Elemica Parent, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 9/18/2025 | | | | | | | 2,843 | | | 2,843 | | (e) | |
| Elemica Parent, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 9/18/2025 | | | | | | | 875 | | | 875 | | (e)(f) | |
| Elemica Parent, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 9/18/2025 | | | | | | | 2,824 | | | 2,824 | | (e) | |
| Enigma Acquisition B.V. | | Netherlands | | 1st Lien Delayed Draw Term Loan | | 7.20% (6M EURIBOR + 2.70%) | | 1/26/2028 | | | | | | € | 4,074 | | | 4,720 | | (e)(f) | |
| Epicor Software Corporation | | | | 1st Lien Term Loan | | 4.00% (1M LIBOR + 3.25%) | | 7/30/2027 | | | | | | | 2,442 | | | 2,441 | | | |
| eResearch Technology, Inc. | | | | 1st Lien Term Loan | | 5.50% (1M LIBOR + 4.50%) | | 2/4/2027 | | | | | | | 2,044 | | | 2,053 | | | |
| eResearch Technology, Inc. | | | | 2nd Lien Term Loan | | 8.50% (1M LIBOR + 8.00%) | | 2/4/2028 | | | | | | | 10,603 | | | 10,603 | | (e)(f) | |
| eResearch Technology, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | 8.50% (1M LIBOR + 8.00%) | | 2/4/2028 | | | | | | | 1,343 | | | 672 | | (e)(h) | |
| Evercommerce Solutions, Inc. | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.25%) | | 7/6/2028 | | | | | | | 2,000 | | | 2,003 | | (e)(i) | |
| ExtraHop Networks, Inc. | | | | 1st Lien Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 7/22/2027 | | | | | | | 1,620 | | | 1,604 | | (e) | |
| ExtraHop Networks, Inc. | | | | 1st Lien Last Out Delayed Draw Term Loan | | 8.50% (3M LIBOR + 7.50%) | | 7/22/2027 | | | | | | | 933 | | | 33 | | (e)(h) | |
| Frontline Technologies Holdings, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 9/18/2023 | | | | | | | 3,863 | | | 3,863 | | (e)(f) | |
| Frontline Technologies Intermediate Holdings, LLC | | | | 1st Lien Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 9/18/2023 | | | | | | | 455 | | | 455 | | (e)(f) | |
| Frontline Technologies Intermediate Holdings, LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M LIBOR + 5.75%) | | 9/18/2023 | | | | | | | 56 | | | 56 | | (e) | |
| Gilfoyle Bidco AB | | Sweden | | 1st Lien Term Loan | | | | 8/31/2028 | | | | | | SEK | 19,394 | | | — | | (e)(h) | |
| Gilfoyle Bidco AB | | Sweden | | 1st Lien Term Loan | | 6.25% (6M STIBOR + 6.25%) | | 8/31/2028 | | | | | | SEK | 60,606 | | | 6,923 | | (e) | |
| GraphPAD Software, LLC | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 6.00%) | | 4/27/2027 | | | | | | | 2 | | | 1 | | (e)(h) | |
| GraphPAD Software, LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 4/27/2027 | | | | | | | 1 | | | 1 | | (e) | |
| GraphPAD Software, LLC | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 4/27/2027 | | | | | | | 4,737 | | | 4,737 | | (e)(f) | |
| Huskies Parent, Inc. | | | | 1st Lien Term Loan | | 4.08% (1M LIBOR + 4.00%) | | 7/31/2026 | | | | | | | 8,123 | | | 8,108 | | (i) | |
| Idera, Inc. | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.75%) | | 3/2/2028 | | | | | | | 4,085 | | | 4,082 | | | |
| Idera, Inc. | | | | 2nd Lien Term Loan | | 7.50% (3M LIBOR + 6.75%) | | 3/2/2029 | | | | | | | 3,567 | | | 3,567 | | | |
| Indigo IT Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 2/21/2028 | | | | | | ₤ | 649 | | | — | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Indigo IT Bidco Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 6.75% (3M GBP LIBOR + 6.50%) | | 2/21/2028 | | | | | | ₤ | 7,351 | | | $ | 9,905 | | (e)(f) | |
| Informatica LLC | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 2/25/2027 | | | | | | | 957 | | | 954 | | | |
| Informatica LLC | | | | 2nd Lien Term Loan | | 7.13% | | 2/25/2025 | | | | | | | 2,591 | | | 2,625 | | (i) | |
| ION Trading Finance Limited | | Ireland | | 1st Lien Term Loan | | 4.92% (3M LIBOR + 4.75%) | | 4/1/2028 | | | | | | | 4,030 | | | 4,034 | | | |
| IQS, Inc. | | | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 7/2/2026 | | | | | | | 1,638 | | | 1,638 | | (e)(f) | |
| IQS, Inc. | | Canada | | 1st Lien Term Loan | | 8.00% (3M LIBOR + 7.00%) | | 7/2/2026 | | | | | | | 139 | | | 139 | | (e)(f) | |
| Ishtar Bidco Norway AS | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 8.50% (6M GBP LIBOR + 7.75%) | | 11/26/2025 | | | | | | ₤ | 1,000 | | | 1,347 | | (e)(f) | |
| Ivanti Software, Inc. | | | | 1st Lien Revolver | | | | 12/1/2025 | | | | | | | 460 | | | (3) | | (e)(h) | |
| Ivanti Software, Inc. | | | | 1st Lien Term Loan | | 4.75% (3M LIBOR + 4.00%) | | 12/1/2027 | | | | | | | 1,186 | | | 1,186 | | | |
| Ivanti Software, Inc. | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 12/1/2027 | | | | | | | 4,823 | | | 4,832 | | | |
| Ivanti Software, Inc. | | | | 2nd Lien Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 12/1/2028 | | | | | | | 2,500 | | | 2,491 | | | |
| MA Financeco., LLC | | | | 1st Lien Term Loan | | 5.25% (3M LIBOR + 4.25%) | | 6/5/2025 | | | | | | | 2,565 | | | 2,578 | | | |
| Magenta Buyer LLC | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 5.00%) | | 7/27/2028 | | | | | | | 4,905 | | | 4,903 | | (i) | |
| Majesco | | | | 1st Lien Revolver | | | | 9/21/2026 | | | | | | | 624 | | | — | | (e)(h) | |
| Majesco | | | | 1st Lien Term Loan | | 8.25% (3M LIBOR + 7.25%) | | 9/21/2027 | | | | | | | 8,013 | | | 8,013 | | (e)(f) | |
| MH Sub I, LLC (Micro Holding Corp.) | | | | 1st Lien Term Loan | | 3.58% (1M LIBOR + 3.50%) | | 9/13/2024 | | | | | | | 5,478 | | | 5,460 | | | |
| MH Sub I, LLC (Micro Holding Corp.) | | | | 1st Lien Term Loan | | 4.75% (1M LIBOR + 3.75%) | | 9/13/2024 | | | | | | | 405 | | | 406 | | | |
| Milano Acquisition Corp. | | | | 1st Lien Term Loan | | 4.75% (3M LIBOR + 4.00%) | | 10/1/2027 | | | | | | | 7,130 | | | 7,140 | | (i) | |
| Mitchell International, Inc. | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 11/29/2024 | | | | | | | 2,538 | | | 2,533 | | | |
| MMIT Holdings, LLC | | | | 1st Lien Revolver | | | | 9/15/2027 | | | | | | | 651 | | | (13) | | (e)(h) | |
| MMIT Holdings, LLC | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 9/15/2027 | | | | | | | 6,125 | | | 6,064 | | (e)(f) | |
| MRI Software LLC | | | | 1st Lien Revolver | | | | 2/10/2026 | | | | | | | 508 | | | — | | (e)(h) | |
| MRI Software LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 2/10/2026 | | | | | | | 6,587 | | | 6,587 | | (e)(f) | |
| MRI Software LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 2/10/2026 | | | | | | | 438 | | | 438 | | (e)(g) | |
| MRI Software LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 2/10/2026 | | | | | | | 919 | | | — | | (e)(h) | |
| Oakley Ekomid Limited | | Great Britain | | 1st Lien Term Loan | | 6.75% (3M EURIBOR + 6.50%) | | 6/21/2027 | | | | | | € | 1,223 | | | 1,416 | | (e) | |
| Oakley Ekomid Limited | | Great Britain | | 1st Lien Term Loan | | 7.00% (3M EURIBOR + 6.75%) | | 6/21/2027 | | | | | | € | 1,027 | | | 1,190 | | (e) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Oakley Ekomid Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 6/21/2027 | | | | | | € | 563 | | | $ | — | | (e)(h) | |
| OpenMarket Inc. | | | | 1st Lien Term Loan | | | | 9/17/2026 | | | | | | | 6,851 | | | 6,782 | | (e)(f)(i) | |
| PDI TA Holdings, Inc. | | | | 1st Lien Revolver | | | | 10/24/2024 | | | | | | | 205 | | | — | | (e)(h) | |
| PDI TA Holdings, Inc. | | | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.50%) | | 10/24/2024 | | | | | | | 2,371 | | | 2,371 | | (e)(f) | |
| PDI TA Holdings, Inc. | | | | 2nd Lien Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 10/24/2025 | | | | | | | 1,107 | | | 1,107 | | (e) | |
| PDI TA Holdings, Inc. | | | | 2nd Lien Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 10/24/2025 | | | | | | | 131 | | | 131 | | (e)(f) | |
| PDI TA Holdings, Inc. | | | | 2nd Lien Delayed Draw Term Loan | | 9.50% (3M LIBOR + 8.50%) | | 10/24/2025 | | | | | | | 138 | | | 75 | | (e)(h) | |
| Perforce Software, Inc. | | | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 7/1/2026 | | | | | | | 1,201 | | | 1,191 | | | |
| Pluralsight, Inc. | | | | 1st Lien Revolver | | | | 4/6/2027 | | | | | | | 1,204 | | | (24) | | (e)(h) | |
| Pluralsight, Inc. | | | | 1st Lien Term Loan | | 9.00% (3M LIBOR + 8.00%) | | 4/6/2027 | | | | | | | 16,506 | | | 16,341 | | (e) | |
| Practicetek Purchaser, LLC | | | | 1st Lien Revolver | | | | 3/31/2027 | | | | | | | 138 | | | — | | (e)(h) | |
| Practicetek Purchaser, LLC | | | | 1st Lien Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 3/31/2027 | | | | | | | 554 | | | 554 | | (e) | |
| Practicetek Purchaser, LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 3/31/2027 | | | | | | | 1,128 | | | 796 | | (e)(h) | |
| ProfitSolv Purchaser, Inc. | | | | 1st Lien Revolver | | | | 3/5/2027 | | | | | | | 608 | | | — | | (e)(h) | |
| ProfitSolv Purchaser, Inc. | | | | 1st Lien Term Loan | | 6.25% (1M LIBOR + 5.25%) | | 3/5/2027 | | | | | | | 3,814 | | | 3,814 | | (e)(f) | |
| ProfitSolv Purchaser, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.25% (1M LIBOR + 5.25%) | | 3/5/2027 | | | | | | | 2,555 | | | 194 | | (e)(h) | |
| Project Boost Purchaser, LLC | | | | 1st Lien Term Loan | | 3.58% (1M LIBOR + 3.50%) | | 6/1/2026 | | | | | | | 2,486 | | | 2,473 | | | |
| Project Essential Bidco, Inc. | | | | 1st Lien Revolver | | | | 4/20/2027 | | | | | | | 121 | | | (2) | | (e)(h) | |
| Project Essential Bidco, Inc. | | | | 1st Lien Term Loan | | 6.75% (6M LIBOR + 5.75%) | | 4/20/2028 | | | | | | | 4,108 | | 4,067 | | (e)(f) | |
| Proofpoint, Inc. | | | | 1st Lien Revolver | | | | 8/31/2026 | | | | | | | 240 | | (3) | | (e)(h)(i) | |
| Proofpoint, Inc. | | | | 1st Lien Term Loan | | | | 8/31/2028 | | | | | | | 2,080 | | 2,069 | | (i) | |
| Proofpoint, Inc. | | | | 2nd Lien Term Loan | | 6.75% (3M LIBOR + 6.25%) | | 8/31/2029 | | | | | | | 5,431 | | 5,485 | (e) | |
| ProQuest, LLC | | | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 10/23/2026 | | | | | | | 3,864 | | 3,860 | | |
| QF Holdings, Inc. | | | | 1st Lien Revolver | | | | 9/19/2024 | | | | | | | 1 | | — | (e)(h) | |
| QF Holdings, Inc. | | | | 1st Lien Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 9/19/2024 | | | | | | | 1,313 | | | 1,313 | | (e) | |
| QF Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 9/19/2024 | | | | | | | 263 | | | — | | (e)(h) | |
| QF Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 7.50% (3M LIBOR + 6.50%) | | 9/19/2024 | | | | | | | 263 | | | 263 | | (e) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Raptor Technologies, LLC | | | | 1st Lien Revolver | | 7.00% (1M LIBOR + 6.00%) | | 12/17/2023 | | | | | | $ | 1 | | | $ | 1 | | (e)(h) | |
| Raptor Technologies, LLC | | | | 1st Lien Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 12/17/2024 | | | | | | | 1,901 | | | 1,901 | | (e)(f) | |
| Raptor Technologies, LLC | | | | 1st Lien Delayed Draw Term Loan | | 7.00% (1M LIBOR + 6.00%) | | 12/17/2024 | | | | | | | 647 | | | 647 | | (e) | |
| RealPage, Inc. | | | | 2nd Lien Term Loan | | 7.25% (1M LIBOR + 6.50%) | | 4/23/2029 | | | | | | | 9,423 | | | 9,328 | | (e)(f) | |
| Relativity ODA LLC | | | | 1st Lien Revolver | | | | 5/12/2027 | | | | | | | 1 | | | — | | (e)(h) | |
| Relativity ODA LLC | | | | 1st Lien Term Loan | | 8.50% (1M LIBOR + 7.50%) | | 5/12/2027 | | | | | | | 6,639 | | | 6,573 | | (e) | |
| Sedgwick Claims Management Services, Inc. | | Cayman Islands | | 1st Lien Term Loan | | 3.33% (1M LIBOR + 3.25%) | | 12/31/2025 | | | | | | | 2,838 | | | 2,815 | | | |
| Sedgwick Claims Management Services, Inc. | | Cayman Islands | | 1st Lien Term Loan | | 3.83% (1M LIBOR + 3.75%) | | 9/3/2026 | | | | | | | 354 | | | 353 | | | |
| Smarsh Inc. | | | | 1st Lien Term Loan | | 9.25% (3M LIBOR + 8.25%) | | 11/20/2025 | | | | | | | 2,420 | | | 2,420 | | (e) | |
| Sophia, L.P. | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.75%) | | 10/7/2027 | | | | | | | 1,185 | | | 1,189 | | | |
| Sophia, L.P. | | | | 2nd Lien Term Loan | | 9.00% (3M LIBOR + 8.00%) | | 10/9/2028 | | | | | | | 10,498 | | | 10,498 | | (e)(f) | |
| Storable, Inc. | | | | 2nd Lien Term Loan | | 7.50% (3M LIBOR + 6.75%) | | 4/16/2029 | | | | | | | 7,683 | | | 7,683 | | (e)(f) | |
| Sundance Group Holdings, Inc. | | | | 1st Lien Revolver | | | | 7/2/2027 | | | | | | | 1 | | | — | | (e)(h) | |
| Sundance Group Holdings, Inc. | | | | 1st Lien Term Loan | | 7.75% (3M LIBOR + 6.75%) | | 7/2/2027 | | | | | | | 1,510 | | | 1,495 | | (e)(f) | |
| Sundance Group Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 7/2/2027 | | | | | | | 453 | | | (5) | | (e)(h) | |
| TCP Hawker Intermediate LLC | | | | 1st Lien Revolver | | | | 8/29/2025 | | | | | | | 458 | | | — | | (e)(h) | |
| TCP Hawker Intermediate LLC | | | | 1st Lien Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 8/28/2026 | | | | | | | 2,770 | | | 2,770 | | (e)(f) | |
| TCP Hawker Intermediate LLC | | | | 1st Lien Delayed Draw Term Loan | | | | 8/28/2026 | | | | | | | 495 | | | — | | (e)(h) | |
| TCP Hawker Intermediate LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.50% (3M LIBOR + 5.50%) | | 8/28/2026 | | | | | | | 491 | | | 491 | | (e) | |
| The Ultimate Software Group, Inc. | | | | 1st Lien Revolver | | | | 5/3/2024 | | | | | | | 1 | | | — | | (e)(h) | |
| The Ultimate Software Group, Inc. | | | | 2nd Lien Term Loan | | 8.08% (1M LIBOR + 8.00%) | | 5/3/2027 | | | | | | | 2,000 | | | 2,000 | | (e)(f) | |
| ThoughtWorks, Inc. | | | | 1st Lien Term Loan | | 3.50% (1M LIBOR + 3.00%) | | 3/24/2028 | | | | | | | 2,176 | | | 2,174 | | | |
| TIBCO Software Inc | | | | 1st Lien Term Loan | | 3.84% (1M LIBOR + 3.75%) | | 6/30/2026 | | | | | | | 2,292 | | | 2,273 | | | |
| TIGER UK BIDCO LIMITED | | Great Britain | | 1st Lien Revolver | | | | 12/30/2027 | | | | | | ₤ | 2,000 | | | — | | (e)(h) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| TIGER UK BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 5.92% (SONIA + 5.75%) | | 12/30/2027 | | | | | | ₤ | 1,114 | | | $ | 1,501 | | (e)(f) | |
| TIGER UK BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 5.92% (SONIA + 5.75%) | | 12/30/2027 | | | | | | ₤ | 814 | | | 1,041 | | (e)(h) | |
| TIGER UK BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 5.92% (SONIA + 5.75%) | | 6/30/2028 | | | | | | ₤ | 5,529 | | | 7,449 | | (e)(f) | |
| TIGER UK BIDCO LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 5.92% (SONIA + 5.75%) | | 6/30/2028 | | | | | | ₤ | 1,543 | | | 1,972 | | (e)(h) | |
| WebPT, Inc. | | | | 1st Lien Revolver | | 7.75% (3M LIBOR + 6.75%) | | 8/28/2024 | | | | | | | 216 | | | 65 | | (e)(h) | |
| WebPT, Inc. | | | | 1st Lien Term Loan | | 7.75% (3M LIBOR + 6.75%) | | 8/28/2024 | | | | | | | 2,042 | | | 2,042 | | (e) | |
| Wellness AcquisitionCo, Inc. | | | | 1st Lien Revolver | | | | 1/20/2027 | | | | | | | 504 | | | — | | (e)(h) | |
| Wellness AcquisitionCo, Inc. | | | | 1st Lien Term Loan | | 6.50% (6M LIBOR + 5.50%) | | 1/20/2027 | | | | | | | 2,797 | | | 2,797 | | (e)(f) | |
| WorkWave Intermediate II, LLC | | | | 1st Lien Revolver | | | | 6/29/2027 | | | | | | | 460 | | | (9) | | (e)(h) | |
| WorkWave Intermediate II, LLC | | | | 1st Lien Term Loan | | 8.00% (3M LIBOR + 7.25%) | | 6/29/2027 | | | | | | | 3,999 | | | 3,959 | | (e) | |
| WorkWave Intermediate II, LLC | | | | 1st Lien Delayed Draw Term Loan | | 8.00% (3M LIBOR + 7.25%) | | 6/29/2027 | | | | | | | 1,306 | | | 1,293 | | (e) | |
| | | | | | | | | | | | | | | | | 408,130 | | | 24.91% |
| Technology Hardware & Equipment | | | | | | | | | | | | | | | |
| CPI Holdco, LLC | | | | 1st Lien Revolver | | | | 11/4/2024 | | | | | | | 3,435 | | | (4) | | (e)(h) | |
| CPI Holdco, LLC | | | | 1st Lien Term Loan | | | | 11/4/2026 | | | | | | | 2,540 | | | 2,538 | | (i) | |
| FL Hawk Intermediate Holdings, Inc. | | | | 1st Lien Revolver | | | | 2/22/2027 | | | | | | | 1,312 | | | — | | (e)(h) | |
| FL Hawk Intermediate Holdings, Inc. | | | | 1st Lien Term Loan | | 5.75% (3M LIBOR + 4.75%) | | 2/22/2028 | | | | | | | 7,438 | | | 7,438 | | (e)(f) | |
| FL Hawk Intermediate Holdings, Inc. | | | | 1st Lien Delayed Draw Term Loan | | | | 2/22/2028 | | | | | | | 1,017 | | | — | | (e)(h) | |
| Ingram Micro Inc. | | | | 1st Lien Term Loan | | 4.00% (3M LIBOR + 3.50%) | | 6/30/2028 | | | | | | | 2,301 | | | 2,305 | | | |
| Micromeritics Instrument Corp. | | | | 1st Lien Revolver | | | | 12/18/2025 | | | | | | | 331 | | | — | | (e)(h) | |
| Micromeritics Instrument Corp. | | | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 12/18/2025 | | | | | | | 2,593 | | | 2,593 | | (e)(f) | |
| MWG BidCo ApS | | Denmark | | 1st Lien Term Loan | | | | 2/29/2028 | | | | | | DKK | 4,934 | | | — | | (e)(h) | |
| MWG BidCo ApS | | Denmark | | 1st Lien Term Loan | | 6.90% (3M CIBOR + 6.90%) | | 2/29/2028 | | | | | | DKK | 20,066 | | | 3,126 | | (e) | |
| Repairify, Inc. | | | | 1st Lien Revolver | | | | 6/14/2027 | | | | | | | 766 | | | (15) | | (e)(h) | |
| Repairify, Inc. | | | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 6/14/2027 | | | | | | | 3,571 | | | 3,535 | | (e)(f) | |
| Sorenson Communications, LLC | | | | 1st Lien Term Loan | | 6.25% (3M LIBOR + 5.50%) | | 3/17/2026 | | | | | | | 282 | | | 283 | | | |
| TGG TS Acquisition Company | | | | 1st Lien Term Loan | | 6.58% (1M LIBOR + 6.50%) | | 12/14/2025 | | | | | | | 1,491 | | | 1,491 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Wildcat BuyerCo, Inc. | | | | 1st Lien Revolver | | | | 2/27/2026 | | | | | | $ | 255 | | | $ | — | | (e)(h) | |
| Wildcat BuyerCo, Inc. | | | | 1st Lien Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 2/27/2026 | | | | | | | 2,032 | | | 2,032 | | (e)(f) | |
| Wildcat BuyerCo, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 6.00% (3M LIBOR + 5.00%) | | 2/27/2026 | | | | | | | 1,075 | | | 387 | | (e)(h) | |
| | | | | | | | | | | | | | | | | 25,709 | | | 1.57% |
| Telecommunication Services | | | | | | | | | | | | | | | | | |
| CB-SDG LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | | | 4/3/2026 | | | | | | ₤ | 317 | | | (43) | | (e)(h) | |
| CB-SDG LIMITED | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.88% (3M GBP LIBOR + 7.13%) | | 4/3/2026 | | | | | | ₤ | 2,814 | | | 3,413 | | (e)(f)(g) | |
| Commify Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 6.25% (6M EURIBOR + 6.00%) | | 9/14/2026 | | | | | | € | 761 | | | 282 | | (e)(h) | |
| Commify Limited | | Great Britain | | 1st Lien Delayed Draw Term Loan | | 7.42% (6M EURIBOR + 7.17%) | | 9/14/2026 | | | | | | € | 2,771 | | | 3,210 | | (e)(f) | |
| Iridium Satellite Llc | | | | 1st Lien Term Loan | | 3.25% (1M LIBOR + 2.50%) | | 11/4/2026 | | | | | | | 2,983 | | | 2,984 | | | |
| Zayo Group Holdings, Inc. | | | | 1st Lien Term Loan | | 3.08% (1M LIBOR + 3.00%) | | 3/9/2027 | | | | | | | 2,631 | | | 2,606 | | | |
| | | | | | | | | | | | | | | | | 12,452 | | | 0.76% |
| Transportation | | | | | | | | | | | | | | | | | |
| AAdvantage Loyality IP, Ltd. | | | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.75%) | | 4/20/2028 | | | | | | | 3,796 | | | 3,923 | | | |
| Air Canada | | Canada | | 1st Lien Term Loan | | 4.25% (3M LIBOR + 3.50%) | | 8/11/2028 | | | | | | | 1,866 | | | 1,872 | | | |
| Commercial Trailer Leasing, Inc. | | | | 1st Lien Revolver | | | | 1/19/2026 | | | | | | | 741 | | | — | | (e)(h) | |
| Commercial Trailer Leasing, Inc. | | | | 1st Lien Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 1/19/2026 | | | | | | | 12,353 | | | 12,353 | | (e)(f) | |
| Commercial Trailer Leasing, Inc. | | | | 1st Lien Delayed Draw Term Loan | | 7.25% (3M LIBOR + 6.25%) | | 1/19/2026 | | | | | | | 1,472 | | | 683 | | (e)(h) | |
| Commercial Trailer Leasing, Inc. | | | | 2nd Lien Term Loan | | 13.00% (3M LIBOR + 13.00%) | | 1/19/2027 | | | | | | | 2,222 | | | 2,222 | | (e)(f) | |
| First Student Bidco Inc. | | | | 1st Lien Term Loan | | 3.50% (3M LIBOR + 3.00%) | | 7/21/2028 | | | | | | | 3,141 | | | 3,122 | | (i) | |
| Grab Holdings, Inc. | | Singapore | | 1st Lien Term Loan | | 5.50% (3M LIBOR + 4.50%) | | 1/29/2026 | | | | | | | 5,101 | | | 5,144 | | | |
| Neovia Logistics, LP | | | | 1st Lien Term Loan | | 6.64% (3M LIBOR + 6.50%) | | 5/8/2024 | | | | | | | 689 | | | 696 | | (e) | |
| Neovia Logistics, LP | | | | 2nd Lien Term Loan | | 11.39% (3M LIBOR + 11.25%) | | 11/8/2024 | | | | | | | 1,353 | | | 1,366 | | (e) | |
| PODS, LLC | | | | 1st Lien Term Loan | | 3.75% (1M LIBOR + 3.00%) | | 3/31/2028 | | | | | | | 5,486 | | | 5,487 | | | |
| Shur-Co Acquisition, Inc. | | | | 1st Lien Revolver | | 7.00% (3M LIBOR + 6.00%) | | 6/30/2027 | | | | | | | 441 | | | 79 | | (e)(h) | |
| Shur-Co Acquisition, Inc. | | | | 1st Lien Term Loan | | 7.00% (3M LIBOR + 6.00%) | | 6/30/2027 | | | | | | | 2,384 | | | 2,360 | | (e)(f) | |
| | | | | | | | | | | | | | | | | 39,307 | | | 2.40% |
| Utilities | | | | | | | | | | | | | | | | | | | |
| Astoria Energy LLC | | | | 1st Lien Term Loan | | 4.50% (3M LIBOR + 3.50%) | | 12/10/2027 | | | | | | | 739 | | | 741 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| WIN Waste Innovations Holdings, Inc. | | | | 1st Lien Term Loan | | 3.25% (3M LIBOR + 2.75%) | | 3/24/2028 | | | | | | $ | 2,494 | | | $ | 2,491 | | | |
| | | | | | | | | | | | | | | | | 3,232 | | | 0.20% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL SENIOR LOANS (Cost $1,640,480) | | | | | | | | | | | | | 1,658,983 | | | 101.27% |
| | | | | | | | | | | | | | | | | | | |
| SUBORDINATED LOANS (b)(c)(d) | | | | | | | | | | | | | | | |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| Nest Topco Borrower Inc. | | | | Subordinated Term Loan | | 9.00% (3M LIBOR + 8.50%) | | 8/31/2029 | | | | | | | 13,162 | | | 13,030 | | (e) | |
| Nest Topco Borrower Inc. | | | | Subordinated Delayed Draw Term Loan | | | | 8/31/2029 | | | | | | | 13,162 | | | (132) | | (e)(h) | |
| Visual Edge Technology, Inc. | | | | Subordinated Notes | | 16.00% | | 9/3/2024 | | | | | | | 225 | | | 207 | | (e) | |
| | | | | | | | | | | | | | | | | 13,105 | | | 0.80% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| KeyStone Sub-Debt HoldCo, LLC | | | | Mezzanine Term Loan | | 10.00% (3M LIBOR + 10.00%) | | 1/20/2027 | | | | | | | 7,668 | | | 7,285 | | (e) | |
| KeyStone Sub-Debt HoldCo, LLC | | | | Mezzanine Term Loan | | 10.00% (3M LIBOR + 10.00%) | | 1/20/2027 | | | | | | | 1,048 | | | 1,027 | | (e)(g) | |
| | | | | | | | | | | | | | | | | 8,312 | | | 0.51% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| eCapital Finance Corp. | | Canada | | Subordinated Term Loan | | 9.00% (1M LIBOR + 7.50%) | | 1/31/2025 | | | | | | | 2,023 | | | 2,023 | | (e) | |
| eCapital Finance Corp. | | Canada | | Subordinated Delayed Draw Term Loan | | 9.00% (1M LIBOR + 7.50%) | | 1/31/2025 | | | | | | | 2,803 | | | 2,803 | | (e) | |
| | | | | | | | | | | | | | | | | 4,826 | | | 0.29% |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Air Medical Group Holdings Inc | | | | Unsecured Term Loan | | 8.88% (6M LIBOR + 7.88%) | | 3/13/2026 | | | | | | | 795 | | | 795 | | (e) | |
| | | | | | | | | | | | | | | | | 795 | | | 0.05% |
| Insurance | | | | | | | | | | | | | | | | | | | |
| Ardonagh Midco 2 PLC | | Great Britain | | Unsecured Notes | | 11.50% | | 1/15/2027 | | | | | | | 34 | | | 37 | | (g) | |
| | | | | | | | | | | | | | | | | 37 | | | —% |
| Software & Services | | | | | | | | | | | | | | | | | |
| AffiniPay Intermediate Holdings, LLC | | | | Subordinated Notes | | 12.75% | | 2/28/2028 | | | | | | | 2,873 | | | 2,873 | | (e) | |
| | | | | | | | | | | | | | | | | 2,873 | | | 0.18% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL SUBORDINATED LOANS (Cost $29,278482) | | | | | | | | | | | 29,948 | | | 1.83% |
| | | | | | | | | | | | | | | | | | | |
| CORPORATE BONDS(b)(c) | | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | | | | |
| Ford Motor Company | | | | | | 8.50% | | 4/21/2023 | | | | | | | 275 | | | 302 | | | |
| | | | | | | | | | | | | | | | | 302 | | | 0.02% |
| Banks | | | | | | | | | | | | | | | | | | | |
| LD Holdings Group LLC | | | | | | 6.50% | | 11/1/2025 | | | | | | | 4,003 | | | 3,983 | | (d) | |
| United Shore Financial Services LLC | | | | | | 5.50% | | 11/15/2025 | | | | | | | 1,793 | | | 1,806 | | (d) | |
| | | | | | | | | | | | | | | | | 5,789 | | | 0.35% |
| Capital Goods | | | | | | | | | | | | | | | | | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| American Builders & Contractors Supply Co., Inc. | | | | | | 3.88% | | 11/15/2029 | | | | | | $ | 392 | | | $ | 391 | | (d) | |
| American Builders & Contractors Supply Co., Inc. | | | | | | 4.00% | | 1/15/2028 | | | | | | | 3,000 | | | 3,064 | | (d) | |
| Assemblin Financing AB | | Sweden | | | | 4.46% (3M EURIBOR + 5.00%) | | 5/15/2025 | | | | | | € | 2,000 | | | 2,330 | | | |
| Builders FirstSource, Inc. | | | | | | 4.25% | | 2/1/2032 | | | | | | | 2,028 | | | 2,071 | | (d) | |
| Cargo Aircraft Management, Inc. | | | | | | 4.75% | | 2/1/2028 | | | | | | | 2,647 | | | 2,737 | | (d) | |
| Pike Corporation | | | | | | 5.50% | | 9/1/2028 | | | | | | | 276 | | | 281 | | (d) | |
| PowerTeam Services, LLC | | | | | | 9.03% | | 12/4/2025 | | | | | | | 1,505 | | | 1,633 | | (d) | |
| Specialty Building Products Holdings LLC | | | | | | 6.38% | | 9/30/2026 | | | | | | | 2,340 | | | 2,463 | | (d) | |
| Tutor Perini Corporation | | | | | | 6.88% | | 5/1/2025 | | | | | | | 2,753 | | | 2,815 | | (d) | |
| | | | | | | | | | | | | | | | | 17,785 | | | 1.09% |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| GFL Environmental Inc. | | Canada | | | | 4.38% | | 8/15/2029 | | | | | | | 1,475 | | | 1,490 | | (d) | |
| Neighborly Issuer LLC | | | | | | 3.58% | | 4/30/2051 | | | | | | | 25 | | | 26 | | (d)(e) | |
| | | | | | | | | | | | | | | | | 1,516 | | | 0.09% |
| Consumer Durables & Apparel | | | | | | | | | | | | | | | |
| Ashton Woods USA LLC | | | | | | 4.63% | | 8/1/2029 | | | | | | | 1,600 | | | 1,616 | | (d) | |
| | | | | | | | | | | | | | | | | 1,616 | | | 0.10% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| 1011778 BC ULC | | Canada | | | | 4.00% | | 10/15/2030 | | | | | | | 2,001 | | | 1,981 | | (d) | |
| 1011778 BC ULC | | Canada | | | | 4.38% | | 1/15/2028 | | | | | | | 1,961 | | | 1,991 | | (d) | |
| AB Issuer LLC | | | | | | 3.73% | | 7/30/2051 | | | | | | | 25 | | | 25 | | (d)(e) | |
| Caesars Entertainment, Inc. | | | | | | 6.25% | | 7/1/2025 | | | | | | | 275 | | | 290 | | (d) | |
| Gamma Bidco Spa | | Italy | | | | 5.13% | | 7/15/2025 | | | | | | € | 2,000 | | | 2,364 | | | |
| Gamma Bidco Spa | | Italy | | | | 6.00% (3M EURIBOR + 6.00%) | | 7/15/2025 | | | | | | € | 2,000 | | | 2,334 | | | |
| Peninsula Pacific Entertainment, LLC | | | | | | 8.50% | | 11/15/2027 | | | | | | | 3,085 | | | 3,345 | | (d) | |
| ServiceMaster Funding LLC | | | | | | 3.34% | | 1/30/2051 | | | | | | | 25 | | | 26 | | (d)(e) | |
| Stonegate Pub Co. Financing 2019 PLC | | Great Britain | | | | 8.00% | | 7/13/2025 | | | | | | ₤ | 2,000 | | | 2,792 | | | |
| | | | | | | | | | | | | | | | | 15,148 | | | 0.92% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| BCC Blueprint Investments, LLC | | | | | | 0.75% | | 9/15/2026 | | | | | | | 599 | | | 599 | | (e) | |
| ITT Holdings LLC | | | | | | 6.50% | | 8/1/2029 | | | | | | | 4,000 | | | 4,035 | | (d) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| LBM Acquisition LLC | | | | | | 6.25% | | 1/15/2029 | | | | | | $ | 7,156 | | | $ | 7,152 | | (d) | |
| Mozart Debt Merger Sub, Inc. | | | | | | 3.88% | | 4/1/2029 | | | | | | | 3,500 | | | 3,500 | | (d)(i)(l) | |
| Mozart Debt Merger Sub, Inc. | | | | | | 5.25% | | 10/1/2029 | | | | | | | 2,800 | | | 2,800 | | (d)(i)(l) | |
| | | | | | | | | | | | | | | | | 18,086 | | | 1.11% |
| Energy | | | | | | | | | | | | | | | | | | | |
| Ascent Resources - Utica LLC | | | | | | 9.00% | | 11/1/2027 | | | | | | | 688 | | | 943 | | (d) | |
| Blue Racer Midstream LLC | | | | | | 7.63% | | 12/15/2025 | | | | | | | 1,652 | | | 1,786 | | (d) | |
| Cheniere Energy Partners LP | | | | | | 4.00% | | 3/1/2031 | | | | | | | 300 | | | 314 | | (d) | |
| CITGO Holding Inc | | | | | | 9.25% | | 8/1/2024 | | | | | | | 3,300 | | | 3,325 | | (d) | |
| Exterran Energy Solutions LP | | | | | | 8.13% | | 5/1/2025 | | | | | | | 3,100 | | | 2,961 | | | |
| Great Western Petroleum LLC | | | | | | 12.00% | | 9/1/2025 | | | | | | | 399 | | | 405 | | (d) | |
| Laredo Petroleum, Inc. | | | | | | 9.50% | | 1/15/2025 | | | | | | | 593 | | | 614 | | | |
| New Fortress Energy, Inc. | | | | | | 6.50% | | 9/30/2026 | | | | | | | 4,815 | | | 4,604 | | (d) | |
| NGL Energy Operating LLC | | | | | | 7.50% | | 2/1/2026 | | | | | | | 928 | | | 945 | | (d) | |
| Summit Midstream Holdings LLC | | | | | | 5.75% | | 4/15/2025 | | | | | | | 596 | | | 542 | | | |
| Tervita Corporation | | Canada | | | | 11.00% | | 12/1/2025 | | | | | | | 297 | | | 337 | | (d)(i)(l) | |
| | | | | | | | | | | | | | | | | 16,776 | | | 1.03% |
| Food & Staples Retailing | | | | | | | | | | | | | | | |
| NBC Funding LLC | | | | | | 2.99% | | 7/30/2051 | | | | | | | 25 | | | 25 | | (d)(e) | |
| | | | | | | | | | | | | | | | | 25 | | | —% |
| Food & Beverage | | | | | | | | | | | | | | | | | |
| Triton Water Holdings, Inc. | | | | | | 6.25% | | 4/1/2029 | | | | | | | 100 | | | 102 | | (d) | |
| | | | | | | | | | | | | | | | | 102 | | | 0.01% |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Air Methods Corporation | | | | | | 8.00% | | 5/15/2025 | | | | | | | 9,431 | | | 9,007 | | (d) | |
| Lifepoint Health Inc | | | | | | 4.38% | | 2/15/2027 | | | | | | | 1,613 | | | 1,605 | | (d) | |
| Team Health Holdings, Inc. | | | | | | 6.38% | | 2/1/2025 | | | | | | | 3,800 | | | 3,646 | | (d) | |
| | | | | | | | | | | | | | | | | 14,258 | | | 0.87% |
| Insurance | | | | | | | | | | | | | | | | | | | |
| NFP Corp. | | | | | | 6.88% | | 8/15/2028 | | | | | | | 2,624 | | | 2,679 | | (d) | |
| | | | | | | | | | | | | | | | | 2,679 | | | 0.16% |
| Materials | | | | | | | | | | | | | | | | | | | |
| Constellium SE | | France | | | | 5.63% | | 6/15/2028 | | | | | | | 1,000 | | | 1,051 | | (d) | |
| Constellium SE | | France | | | | 5.88% | | 2/15/2026 | | | | | | | 250 | | | 254 | | (d) | |
| Freeport-McMoRan, Inc. | | | | | | 4.63% | | 8/1/2030 | | | | | | | 1,000 | | | 1,081 | | (i)(l) | |
| Freeport-McMoRan, Inc. | | | | | | 5.40% | | 11/14/2034 | | | | | | | 807 | | | 969 | | (i)(l) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Kraton Polymers LLC | | | | | | 4.25% | | 12/15/2025 | | | | | | $ | 4,132 | | | $ | 4,318 | | (d) | |
| OCI NV | | Netherlands | | | | 5.25% | | 11/1/2024 | | | | | | | 2,113 | | | 2,173 | | (d) | |
| The Chemours Company | | | | | | 4.63% | | 11/15/2029 | | | | | | | 198 | | | 193 | | (d)(i)(l) | |
| Venator Materials LLC | | Luxembourg | | | | 5.75% | | 7/15/2025 | | | | | | | 4,245 | | | 4,012 | | (d) | |
| Venator Materials LLC | | Luxembourg | | | | 9.50% | | 7/1/2025 | | | | | | | 287 | | | 317 | | (d) | |
| | | | | | | | | | | | | | | | | 14,368 | | | 0.88% |
| Media & Entertainment | | | | | | | | | | | | | | | | | |
| Altice Financing SA | | Luxembourg | | | | 5.00% | | 1/15/2028 | | | | | | | 7,000 | | | 6,673 | | (d)(i)(l) | |
| CCO Holdings LLC | | | | | | 4.25% | | 2/1/2031 | | | | | | | 969 | | | 983 | | (d) | |
| CSC Holdings LLC | | | | | | 3.38% | | 2/15/2031 | | | | | | | 4,000 | | | 3,720 | | (d) | |
| CSC Holdings LLC | | | | | | 4.50% | | 11/15/2031 | | | | | | | 870 | | | 859 | | (d) | |
| CSC Holdings LLC | | | | | | 4.63% | | 12/1/2030 | | | | | | | 2,000 | | | 1,895 | | (d) | |
| Dolya Holdco 18 DAC | | Ireland | | | | 5.00% | | 7/15/2028 | | | | | | | 3,000 | | | 3,099 | | (d) | |
| Telenet Finance Luxembourg Notes Sarl | | Luxembourg | | | | 5.50% | | 3/1/2028 | | | | | | | 400 | | | 420 | | (d) | |
| | | | | | | | | | | | | | | | | 17,649 | | | 1.08% |
| Real Estate | | | | | | | | | | | | | | | | | | | |
| HAT Holdings I LLC | | | | | | 3.75% | | 9/15/2030 | | | | | | | 4,880 | | | 4,929 | | (d) | |
| Iron Mountain, Inc. | | | | | | 5.25% | | 7/15/2030 | | | | | | | 1,125 | | | 1,194 | | (d) | |
| | | | | | | | | | | | | | | | | 6,123 | | | 0.37% |
| Retailing | | | | | | | | | | | | | | | | | | | |
| HSE Finance Sarl | | Luxembourg | | | | 5.75% (3M EURIBOR + 5.75%) | | 10/15/2026 | | | | | | € | 4,034 | | | 4,750 | | | |
| | | | | | | | | | | | | | | | | 4,750 | | | 0.29% |
| Software & Services | | | | | | | | | | | | | | | | | |
| Avaya Inc. | | | | | | 6.13% | | 9/15/2028 | | | | | | | 1,302 | | | 1,369 | | (d) | |
| Castle US Holding Corp. | | | | | | 9.50% | | 2/15/2028 | | | | | | | 594 | | | 621 | | (d) | |
| CommScope Technologies LLC | | | | | | 6.00% | | 6/15/2025 | | | | | | | 373 | | | 378 | | (d) | |
| Insightful Science Intermediate I, LLC | | | | | | 10.50% | | 4/28/2032 | | | | | | | 1,279 | | | 1,267 | | (e) | |
| | | | | | | | | | | | | | | | | 3,635 | | | 0.22% |
| Technology Hardware & Equipment | | | | | | | | | | | | | | | |
| Viasat, Inc. | | | | | | 6.50% | | 7/15/2028 | | | | | | | 2,790 | | | 2,938 | | (d) | |
| | | | | | | | | | | | | | | | | 2,938 | | | 0.18% |
| Telecommunication Services | | | | | | | | | | | | | | | | | |
| Consolidated Communications, Inc. | | | | | | 5.00% | | 10/1/2028 | | | | | | | 614 | | | 634 | | (d) | |
| Consolidated Communications, Inc. | | | | | | 6.50% | | 10/1/2028 | | | | | | | 2,044 | | | 2,220 | | (d) | |
| Telesat Canada | | Canada | | | | 5.63% | | 12/6/2026 | | | | | | | 2,001 | | | 1,921 | | (d) | |
| Telesat Canada | | Canada | | | | 6.50% | | 10/15/2027 | | | | | | | 2,509 | | | 2,175 | | (d) | |
| | | | | | | | | | | | | | | | | 6,950 | | | 0.42% |
| Utilities | | | | | | | | | | | | | | | | | | | |
| Calpine Corp. | | | | | | 4.50% | | 2/15/2028 | | | | | | | 1,750 | | | 1,785 | | (d) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| NRG Energy, Inc. | | | | | | 3.63% | | 2/15/2031 | | | | | | $ | 600 | | | $ | 589 | | (d) | |
| | | | | | | | | | | | | | | | | 2,374 | | | 0.14% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL CORPORATE BONDS (Cost $152,165) | | | | | | | | | | | | | 152,869 | | | 9.33% |
| | | | | | | | | | | | | | | | | | | |
| COLLATERALIZED LOAN OBLIGATIONS - DEBT (b)(c)(d)(e) | | | | | | | | | | | | | | | |
| AMMC CLO XI, Ltd. | | Cayman Islands | | | | 5.93% (3M LIBOR + 5.80%) | | 4/30/2031 | | | | | | | 1,500 | | | 1,421 | | | |
| AMMC CLO XXI, Ltd. | | Cayman Islands | | | | 6.63% (3M LIBOR + 6.50%) | | 11/2/2030 | | | | | | | 100 | | | 96 | | | |
| AMMC CLO XXII, Ltd. | | Cayman Islands | | | | 5.63% (3M LIBOR + 5.50%) | | 4/25/2031 | | | | | | | 750 | | | 711 | | | |
| Apidos CLO XX, Ltd. | | Cayman Islands | | | | 8.83% (3M LIBOR + 8.70%) | | 7/16/2031 | | | | | | | 250 | | | 230 | | | |
| Atlas Senior Loan Fund VII, Ltd. | | Cayman Islands | | | | 8.17% (3M LIBOR + 8.05%) | | 11/27/2031 | | | | | | | 1,750 | | | 1,433 | | | |
| Atrium IX | | Cayman Islands | | | | 6.57% (3M LIBOR + 6.45%) | | 5/28/2030 | | | | | | | 1,000 | | | 990 | | | |
| Bain Capital Credit CLO 2021-3, Ltd. | | Cayman Islands | | | | 6.69% (3M LIBOR + 6.50%) | | 7/24/2034 | | | | | | | 500 | | | 495 | | | |
| Canyon Capital CLO 2018-1, Ltd. | | Cayman Islands | | | | 5.88% (3M LIBOR + 5.75%) | | 7/15/2031 | | | | | | | 850 | | | 811 | | | |
| Carlyle Global Market Strategies CLO, Ltd. 2019-2 | | Cayman Islands | | | | 6.73% (3M LIBOR + 6.60%) | | 7/15/2032 | | | | | | | 3,000 | | | 2,975 | | | |
| Crestline Denali CLO XIV, Ltd. | | Cayman Islands | | | | 6.49% (3M LIBOR + 6.35%) | | 10/23/2031 | | | | | | | 750 | | | 684 | | | |
| Crestline Denali CLO XIV, Ltd. | | Cayman Islands | | | | 8.24% (3M LIBOR + 8.10%) | | 10/23/2031 | | | | | | | 250 | | | 214 | | | |
| Crestline Denali CLO XVI, Ltd. | | Cayman Islands | | | | 2.73% (3M LIBOR + 2.60%) | | 1/20/2030 | | | | | | | 1,500 | | | 1,435 | | | |
| Denali Capital CLO XII, Ltd. | | Cayman Islands | | | | 6.03% (3M LIBOR + 5.90%) | | 4/15/2031 | | | | | | | 750 | | | 670 | | | |
| Dryden 28 Senior Loan Fund | | Cayman Islands | | | | 7.87% (3M LIBOR + 7.75%) | | 8/15/2030 | | | | | | | 500 | | | 480 | | | |
| Dryden 55 Senior Loan Fund | | Cayman Islands | | | | 5.53% (3M LIBOR + 5.40%) | | 4/15/2031 | | | | | | | 375 | | | 363 | | | |
| Dryden 57 Senior Loan Fund | | Cayman Islands | | | | 5.32% (3M LIBOR + 5.20%) | | 5/15/2031 | | | | | | | 500 | | | 478 | | | |
| Dryden 58 Senior Loan Fund | | Cayman Islands | | | | 5.48% (3M LIBOR + 5.35%) | | 7/17/2031 | | | | | | | 1,000 | | | 966 | | | |
| Elmwood CLO VIII, Ltd. | | Cayman Islands | | | | 8.13% (3M LIBOR + 8.00%) | | 1/20/2034 | | | | | | | 750 | | | 748 | | | |
| Goldentree Loan Opportunities X, Ltd. | | Cayman Islands | | | | 5.79% (3M LIBOR + 5.65%) | | 7/20/2031 | | | | | | | 750 | | | 743 | | | |
| ICG U.S. CLO, Ltd. 2018-1 | | Cayman Islands | | | | 5.28% (3M LIBOR + 5.15%) | | 4/21/2031 | | | | | | | 500 | | | 453 | | | |
| INGIM, Ltd. 2013-3 | | Cayman Islands | | | | 6.03% (3M LIBOR + 5.90%) | | 10/18/2031 | | | | | | | 1,250 | | | 1,172 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| KKR CLO 34, Ltd. | | Cayman Islands | | | | 7.02% (3M LIBOR + 6.85%) | | 7/15/2034 | | | | | | $ | 600 | | | $ | 598 | | | |
| Madison Park Funding XIV, Ltd. | | Cayman Islands | | | | 7.91% (3M LIBOR + 7.77%) | | 10/22/2030 | | | | | | | 1,000 | | | 878 | | | |
| Madison Park Funding XLVI, Ltd. | | Cayman Islands | | | | 6.37% (3M LIBOR + 6.25%) | | 10/15/2034 | | | | | | | 250 | | | 250 | | | |
| Madison Park Funding XXXVI, Ltd. | | Cayman Islands | | | | 7.38% (3M LIBOR + 7.25%) | | 1/15/2033 | | | | | | | 833 | | | 834 | | | |
| Northwoods Capital XII-B, Ltd. | | Cayman Islands | | | | 5.91% (3M LIBOR + 5.79%) | | 6/15/2031 | | | | | | | 750 | | | 685 | | | |
| Octagon Investment Partners 35, Ltd. | | Cayman Islands | | | | 5.33% (3M LIBOR + 5.20%) | | 1/20/2031 | | | | | | | 1,500 | | | 1,417 | | | |
| OHA Credit Funding 9, Ltd. | | Cayman Islands | | | | 6.43% (3M LIBOR + 6.25%) | | 7/19/2035 | | | | | | | 950 | | | 950 | | | |
| OHA Loan Funding 2016-1, Ltd. | | Cayman Islands | | | | 6.48% (3M LIBOR + 6.35%) | | 1/20/2033 | | | | | | | 4,000 | | | 3,992 | | | |
| Venture 36A CLO, Ltd. | | Cayman Islands | | | | 7.05% (3M LIBOR + 6.92%) | | 4/20/2032 | | | | | | | 300 | | | 281 | | | |
| Venture 37A CLO, Ltd. | | Cayman Islands | | | | 7.08% (3M LIBOR + 6.95%) | | 7/15/2032 | | | | | | | 3,000 | | | 2,872 | | | |
| Wellfleet CLO 2018-3, Ltd. | | Cayman Islands | | | | 6.38% (3M LIBOR + 6.25%) | | 1/20/2032 | | | | | | | 250 | | | 243 | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - DEBT (Cost $31,352) | | | | | | | | | | | | | 30,568 | | | 1.87% |
| | | | | | | | | | | | | | | | | | | |
| COLLATERALIZED LOAN OBLIGATIONS - EQUITY (d)(e) | | | | | | | | | | | | | | | |
| AIMCO CLO XI, Ltd. | | Cayman Islands | | | | 16.43% | | 10/15/2031 | | | | | | | 6,877 | | | 6,414 | | | |
| Allegro CLO VII, Ltd. 2018-2A | | Cayman Islands | | | | 13.36% | | 7/15/2031 | | | | | | | 2,150 | | | 1,273 | | | |
| ALM, Ltd. | | Cayman Islands | | | | 12.29% | | 10/15/2035 | | | | | | | 1,166 | | | 1,042 | | (i) | |
| AMMC CLO XXI, Ltd. | | Cayman Islands | | | | 18.70% | | 11/2/2030 | | | | | | | 500 | | | 281 | | | |
| AMMC CLO XXII, Ltd. | | Cayman Islands | | | | 14.33% | | 4/25/2031 | | | | | | | 1,500 | | | 976 | | | |
| Anchorage Credit Funding 3, Ltd. | | Cayman Islands | | | | 2.55% | | 1/28/2039 | | | | | | | 520 | | | 462 | | | |
| Atlas Senior Loan Fund III, Ltd. | | Cayman Islands | | | | 4.23% | | 11/17/2027 | | | | | | | 250 | | | 35 | | | |
| Atrium XV | | Cayman Islands | | | | 13.82% | | 1/23/2031 | | | | | | | 4,080 | | | 2,937 | | | |
| Avery Point VI CLO, Ltd. | | Cayman Islands | | | | 52.43% | | 8/5/2027 | | | | | | | 314 | | | 54 | | | |
| Bain Capital Credit CLO 2017-2, Ltd. | | Cayman Islands | | | | 21.76% | | 7/25/2034 | | | | | | | 3,461 | | | 2,769 | | | |
| Bain Capital Credit CLO 2018-1, Ltd. | | Cayman Islands | | | | 18.87% | | 4/23/2031 | | | | | | | 1,420 | | | 977 | | | |
| Bain Capital Credit CLO 2019-1, Ltd. | | Cayman Islands | | | | 17.22% | | 4/18/2032 | | | | | | | 1,400 | | | 1,105 | | | |
| Bain Capital Credit CLO 2019-2, Ltd. | | Cayman Islands | | | | 11.39% | | 10/17/2032 | | | | | | | 810 | | | 598 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Bain Capital Credit CLO 2020-1, Ltd. | | Cayman Islands | | | | 21.08% | | 4/18/2033 | | | | | | $ | 1,250 | | | $ | 1,062 | | | |
| Bain Capital Credit CLO 2020-2, Ltd. | | Cayman Islands | | | | 18.12% | | 7/19/2034 | | | | | | | 800 | | | 662 | | | |
| Bardot CLO, Ltd. | | Cayman Islands | | | | 15.75% | | 10/22/2032 | | | | | | | 2,250 | | | 1,954 | | | |
| Canyon Capital CLO 2016-1, Ltd. | | Cayman Islands | | | | 12.89% | | 7/15/2031 | | | | | | | 1,000 | | | 770 | | | |
| Canyon Capital CLO 2019-1, Ltd. | | Cayman Islands | | | | 11.83% | | 4/15/2032 | | | | | | | 2,798 | | | 2,115 | | | |
| Carlyle Global Market Strategies CLO, Ltd. 2013-1 | | Cayman Islands | | | | 18.16% | | 8/14/2030 | | | | | | | 500 | | | 200 | | | |
| Carlyle Global Market Strategies CLO, Ltd. 2018-3 | | Cayman Islands | | | | 13.44% | | 10/15/2030 | | | | | | | 750 | | | 451 | | | |
| Carlyle Global Market Strategies CLO, Ltd. 2018-4 | | Cayman Islands | | | | 18.70% | | 1/20/2031 | | | | | | | 2,310 | | | 1,734 | | | |
| Carlyle Global Market Strategies CLO, Ltd. 2019-3 | | Cayman Islands | | | | 13.14% | | 10/20/2032 | | | | | | | 3,875 | | | 3,049 | | | |
| Cedar Funding CLO V, Ltd. | | Cayman Islands | | | | 16.32% | | 7/17/2031 | | | | | | | 2,300 | | | 1,980 | | | |
| Cedar Funding CLO VIII, Ltd. | | Cayman Islands | | | | 9.57% | | 10/17/2034 | | | | | | | 365 | | | 215 | | | |
| CIFC Funding 2015-IV, Ltd. | | Cayman Islands | | | | 10.46% | | 4/20/2034 | | | | | | | 1,607 | | | 775 | | | |
| CIFC Funding 2018-V, Ltd. | | Cayman Islands | | | | 16.61% | | 1/15/2032 | | | | | | | 625 | | | 459 | | | |
| CIFC Funding 2019-I, Ltd. | | Cayman Islands | | | | 22.37% | | 4/20/2032 | | | | | | | 1,500 | | | 1,159 | | | |
| CIFC Funding 2021-V, Ltd. | | Cayman Islands | | | | 12.29% | | 7/15/2034 | | | | | | | 5,200 | | | 4,759 | | | |
| Dryden 28 Senior Loan Fund | | Cayman Islands | | | | 16.37% | | 8/15/2030 | | | | | | | 1,406 | | | 510 | | | |
| Dryden 43 Senior Loan Fund | | Cayman Islands | | | | 23.17% | | 4/20/2034 | | | | | | | 1,610 | | | 1,179 | | | |
| Dryden 58 Senior Loan Fund | | Cayman Islands | | | | 16.35% | | 7/17/2031 | | | | | | | 3,125 | | | 2,468 | | | |
| Dryden 65 Senior Loan Fund | | Cayman Islands | | | | 18.04% | | 7/18/2030 | | | | | | | 700 | | | 507 | | | |
| Dryden 75 CLO, Ltd. | | Cayman Islands | | | | 12.29% | | 7/15/2030 | | | | | | | 1,200 | | | 1,211 | | | |
| Dryden 78 Senior Loan Fund | | Cayman Islands | | | | 18.83% | | 4/17/2033 | | | | | | | 10,625 | | | 9,701 | | | |
| Eastland Investors Corp | | Cayman Islands | | | | | | 5/1/2022 | | | | | | | — | | | 136 | | | |
| Elmwood CLO V, Ltd. | | Cayman Islands | | | | 21.48% | | 7/24/2031 | | | | | | | 2,875 | | | 3,034 | | | |
| Elmwood CLO XI, Ltd. | | Cayman Islands | | | | 12.29% | | 10/20/2034 | | | | | | | 4,050 | | | 4,026 | | | |
| ICG U.S. CLO, Ltd. 2018-2 | | Cayman Islands | | | | 17.21% | | 7/22/2031 | | | | | | | 1,650 | | | 1,164 | | | |
| ICG U.S. CLO, Ltd. 2020-1 | | Cayman Islands | | | | 17.19% | | 10/22/2031 | | | | | | | 500 | | | 406 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| ICG U.S. CLO, Ltd. 2021-1 | | Cayman Islands | | | | 14.24% | | 4/17/2034 | | | | | | $ | 2,100 | | | $ | 1,781 | | | |
| Invesco CLO 2021-2, Ltd. | | Cayman Islands | | | | 12.29% | | 7/15/2034 | | | | | | | 484 | | | 367 | | | |
| LCM XVIII LP | | Cayman Islands | | | | 20.00% | | 4/20/2031 | | | | | | | 993 | | | 371 | | | |
| Madison Park Funding XXII, Ltd. | | Cayman Islands | | | | 7.75% | | 1/15/2033 | | | | | | | 7,400 | | | 5,719 | | | |
| Madison Park Funding XXVII, Ltd. | | Cayman Islands | | | | 13.56% | | 1/20/2047 | | | | | | | 250 | | | 209 | | | |
| Madison Park Funding XXVIII, Ltd. | | Cayman Islands | | | | 12.35% | | 7/15/2030 | | | | | | | 3,000 | | | 2,291 | | | |
| Madison Park Funding XXXI, Ltd. | | Cayman Islands | | | | 14.85% | | 1/23/2048 | | | | | | | 4,250 | | | 3,487 | | | |
| Madison Park Funding XXXII, Ltd. | | Cayman Islands | | | | 20.99% | | 1/22/2048 | | | | | | | 1,250 | | | 1,066 | | | |
| Madison Park Funding XXXVII, Ltd. | | Cayman Islands | | | | 13.78% | | 7/15/2049 | | | | | | | 7,500 | | | 7,777 | | | |
| Magnetite VI, Ltd. | | Cayman Islands | | | | | | 9/15/2023 | | | | | | | 1,241 | | | — | | | |
| Magnetite XXVIII, Ltd. | | Cayman Islands | | | | 15.25% | | 10/25/2031 | | | | | | | 5,250 | | | 4,693 | | | |
| Neuberger Berman CLO XXIII, Ltd. | | Cayman Islands | | | | 93.56% | | 10/17/2027 | | | | | | | 29 | | | 3 | | | |
| Newark BSL CLO 1, Ltd. | | Cayman Islands | | | | 53.04% | | 7/25/2030 | | | | | | | 250 | | | 164 | | | |
| Oaktree CLO 2018-1, Ltd. | | Cayman Islands | | | | 13.03% | | 10/20/2030 | | | | | | | 2,850 | | | 1,568 | | | |
| Oaktree CLO 2019-2, Ltd. | | Cayman Islands | | | | 9.99% | | 4/15/2031 | | | | | | | 3,860 | | | 2,439 | | | |
| Oaktree CLO 2019-3, Ltd. | | Cayman Islands | | | | 11.84% | | 7/20/2031 | | | | | | | 6,229 | | | 4,238 | | (i) | |
| OHA Credit Partners X-R, Ltd. | | Cayman Islands | | | | 12.29% | | 4/20/2034 | | | | | | | 1,493 | | | 791 | | | |
| OHA Credit Partners XV, Ltd. | | Cayman Islands | | | | 15.39% | | 1/20/2030 | | | | | | | 1,360 | | | 979 | | | |
| OHA Credit Partners XVI | | Cayman Islands | | | | 12.29% | | 10/18/2034 | | | | | | | 4,575 | | | 4,027 | | | |
| OHA Loan Funding 2013-1, Ltd. | | Cayman Islands | | | | 15.57% | | 7/23/2031 | | | | | | | 876 | | | 425 | | | |
| OHA Loan Funding 2016-1, Ltd. | | Cayman Islands | | | | 15.38% | | 1/20/2033 | | | | | | | 8,800 | | | 6,997 | | | |
| OZLM XVI, Ltd. | | Cayman Islands | | | | 28.51% | | 5/16/2030 | | | | | | | 563 | | | 226 | | | |
| OZLM XXI, Ltd. | | Cayman Islands | | | | 15.29% | | 1/20/2031 | | | | | | | 1,500 | | | 868 | | | |
| Reese Park CLO, Ltd | | Cayman Islands | | | | | | 10/15/2032 | | | | | | | 703 | | | — | | | |
| Reese Park CLO, Ltd | | Cayman Islands | | | | 15.69% | | 10/15/2032 | | | | | | | 703 | | | 551 | | | |
| RR 14, Ltd. | | Cayman Islands | | | | 12.29% | | 4/15/2121 | | | | | | | 750 | | | 712 | | | |
| RR 2, Ltd. | | Cayman Islands | | | | 12.29% | | 10/15/2117 | | | | | | | 500 | | | 428 | | | |
| RR 6, Ltd. | | Cayman Islands | | | | 10.44% | | 4/15/2036 | | | | | | | 1,000 | | | 1,088 | | | |
| RR 8, Ltd. | | Cayman Islands | | | | 11.78% | | 4/15/2120 | | | | | | | 550 | | | 514 | | | |
| Signal Peak CLO 5, Ltd. | | Cayman Islands | | | | 15.63% | | 4/25/2031 | | | | | | | 2,500 | | | 1,673 | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Signal Peak CLO 6, Ltd. | | Cayman Islands | | | | 21.55% | | 7/28/2031 | | | | | | $ | 500 | | | $ | 327 | | | |
| Signal Peak CLO 8, Ltd. | | Cayman Islands | | | | 15.26% | | 4/20/2033 | | | | | | | 6,350 | | | 5,777 | | | |
| Steele Creek CLO, Ltd. 2017-1 | | Cayman Islands | | | | 10.76% | | 10/15/2030 | | | | | | | 250 | | | 134 | | | |
| Symphony CLO XI Ltd | | Cayman Islands | | | | | | 1/17/2025 | | | | | | | 1 | | | — | | | |
| THL Credit Wind River 2018-3 CLO, Ltd. | | Cayman Islands | | | | 16.31% | | 1/20/2031 | | | | | | | 250 | | | 201 | | | |
| THL Credit Wind River 2018-3 CLO, Ltd. | | Cayman Islands | | | | 24.95% | | 1/20/2031 | | | | | | | 3,875 | | | 3,113 | | | |
| Voya CLO 2020-1, Ltd. | | Cayman Islands | | | | 17.57% | | 7/16/2034 | | | | | | | 1,067 | | | 1,030 | | | |
| Wellfleet CLO 2017-3, Ltd. | | Cayman Islands | | | | 16.24% | | 1/17/2031 | | | | | | | 250 | | | 159 | | | |
| Wellfleet CLO 2018-3, Ltd. | | Cayman Islands | | | | 13.13% | | 1/20/2032 | | | | | | | 2,400 | | | 1,694 | | | |
| Wellfleet CLO 2020-1, Ltd. | | Cayman Islands | | | | 12.96% | | 4/15/2033 | | | | | | | 5,955 | | | 4,534 | | | |
| Wellman Park CLO, Ltd. | | Cayman Islands | | | | 12.29% | | 7/15/2034 | | | | | | | 7,650 | | | 2,306 | | | |
| York CLO-7, Ltd. | | Cayman Islands | | | | 16.02% | | 1/22/2033 | | | | | | | 4,000 | | | 3,251 | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - EQUITY (Cost $120,558) | | | | | | | | | | | | | 142,587 | | | 8.70% |
| | | | | | | | | | | | | | | | | | | |
| COMMON STOCKS (d) | | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | | | | |
| Automotive Keys Investor, LLC | | | | Class A | | | | | | 11/6/2020 | | 37,749 | | | | | | 3 | | (e)(k) | |
| Highline PPC Blocker LLC | | | | | | | | | | 11/4/2020 | | 500 | | | | | | 39 | | (e)(k) | |
| Metis Topco, LP | | | | | | | | | | 5/4/2021 | | 50 | | | | | | 50 | | (e)(k) | |
| Sun TopCo, LP | | | | Class A | | | | | | 9/8/2021 | | 500 | | | | | | 50 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 142 | | | 0.01% |
| Capital Goods | | | | | | | | | | | | | | | | | | | |
| Dynamic NC Investment Holdings, LP | | | | | | | | | | 12/30/2020 | | 50,000 | | | | | | 41 | | (e)(k) | |
| Kene Holdings, L.P. | | | | Class A | | | | | | 8/8/2019 | | 50,000 | | | | | | 52 | | (e)(k) | |
| Tutor Perini Corporation | | | | | | | | | | | | 1,900 | | | | | | 25 | | (k) | |
| US Global Jets ETF | | | | | | | | | | | | 13,838 | | | | | | 327 | | (k) | |
| | | | | | | | | | | | | | | | | 445 | | | 0.03% |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| Bedrock Parent Holdings, LP | | | | Class A | | | | | | 4/22/2021 | | 500 | | | | | | 55 | | (e)(k) | |
| Capstone Parent Holdings, LP | | | | Class A | | | | | | 11/12/2020 | | 50 | | | | | | 62 | | (e) | |
| IRI Parent, L.P. | | | | Class A-1 | | | | | | 11/29/2018 | | 250 | | | | | | 66 | | (e)(k) | |
| KKR Nest Co-Invest L.P. | | | | | | | | | | 9/28/2021 | | 50,000 | | | | | | 50 | | (e)(k) | |
| Laboratories Topco LLC | | | | Class A | | | | | | 7/23/2021 | | 33,333 | | | | | | 50 | | (e)(k) | |
| North American Fire Ultimate Holdings, LLC | | | | | | | | | | 5/19/2021 | | 50,000 | | | | | | 50 | | (e)(k) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| PSP Registrar Co-Investment Fund, L.P. | | | | Class A | | | | | | 8/26/2021 | | 50,000 | | | | | | $ | 50 | | (e)(k) | |
| RC V Tecmo Investor LLC | | | | | | | | | | 8/14/2020 | | 50,000 | | | | | | 101 | | (e) | |
| SSE Parent, LP | | | | Class A-1 | | | | | | 6/30/2020 | | 25 | | | | | | 8 | | (e)(k) | |
| SSE Parent, LP | | | | Class A-2 | | | | | | 6/30/2020 | | 25 | | | | | | 8 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 500 | | | 0.03% |
| Consumer Durables & Apparel | | | | | | | | | | | | | | | |
| Centric Brands GP LLC | | | | | | | | | | 10/9/2020 | | 9,495 | | | | | | 264 | | (e)(k) | |
| DRS Holdings I, Inc. | | | | | | | | | | 11/1/2019 | | 50 | | | | | | 60 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 324 | | | 0.02% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| OMERS Mahomes Investment Holdings LLC | | | | Class A | | | | | | 11/16/2020 | | 15 | | | | | | 64 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 64 | | | —% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| Apollo Tactical Income Fund Inc | | | | | | | | | | | | 811 | | | | | | 13 | | | |
| BCC Blueprint Investments, LLC | | | | | | | | | | 9/15/2021 | | 549,044 | | | | | | 549 | | (e)(k) | |
| Blackstone Strategic Credit Fund | | | | | | | | | | | | 3,073 | | | | | | 43 | | | |
| Blackstone/GSO Long-Short Credit Income Fund | | | | | | | | | | | | 70 | | | | | | 1 | | | |
| LaRousseCo Limited | | Jersey | | Class A | | | | | | 9/24/2021 | | 6,784 | | | | | | 9 | | (e)(k) | |
| Owl Rock Capital Corp | | | | | | | | | | | | 2,500 | | | | | | 35 | | | |
| Sera 2021 LLC | | | | Class A | | | | | | 3/30/2021 | | 3 | | | | | | — | | (e)(k) | |
| The Ultimus Group Aggregator, LP | | | | Class A | | | | | | 2/1/2019 | | — | | | | | | — | | (e)(k) | |
| The Ultimus Group Aggregator, LP | | | | Class B | | | | | | 2/1/2019 | | 182 | | | | | | — | | (e)(k) | |
| The Ultimus Group, LLC | | | | Class B | | | | | | 2/1/2019 | | 1,609 | | | | | | — | | (e)(k) | |
| | | | | | | | | | | | | | | | | 650 | | | 0.04% |
| Energy | | | | | | | | | | | | | | | | | | | |
| Antero Resources Corp | | | | | | | | | | | | 11,111 | | | | | | 209 | | (k) | |
| Extraction Oil & Gas Inc | | | | | | | | | | | | 3,524 | | | | | | 199 | | (k) | |
| FTS International Inc | | | | | | | | | | | | 8,806 | | | | | | 217 | | (k) | |
| Sundance Energy Inc. | | | | | | | | | | 4/23/2018 | | 2,602 | | | | | | 1,415 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 2,040 | | | 0.13% |
| Food & Staples Retailing | | | | | | | | | | | | | | | | | |
| KCAKE Holdings Inc. | | | | | | | | | | 5/14/2021 | | 50 | | | | | | 50 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 50 | | | —% |
| Food & Beverage | | | | | | | | | | | | | | | | | |
| Sanderson Farms Inc | | | | | | | | | | | | 2,400 | | | | | | 452 | | (k) | |
| | | | | | | | | | | | | | | | | 452 | | | 0.03% |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Bearcat Parent, Inc. | | | | | | | | | | 7/9/2019 | | 51 | | | | | | $ | 138 | | (e)(k) | |
| Olympia TopCo, L.P. | | | | Class A | | | | | | 9/24/2019 | | 50,000 | | | | | | 7 | | (e)(k) | |
| OMERS Bluejay Investment Holdings LP | | | | Class A | | | | | | 7/10/2018 | | 25 | | | | | | 47 | | (e)(k) | |
| OMERS Wildcats Investment Holdings LLC | | | | Class A | | | | | | 10/31/2019 | | 169 | | | | | | 73 | | (e)(k) | |
| SiroMed Equity Holdings, LLC | | | | | | | | | | 3/26/2018 | | 3,703 | | | | | | 3 | | (e)(k) | |
| Virence Holdings LLC | | | | Class A | | | | | | 2/11/2019 | | — | | | | | | 65 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 333 | | | 0.02% |
| Household & Personal Products | | | | | | | | | | | | | | | |
| RMCF V CIV XLIV, L.P. | | | | | | | | | | 8/20/2021 | | 50,000 | | | | | | 50 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 50 | | | —% |
| Insurance | | | | | | | | | | | | | | | | | | | |
| High Street HoldCo LLC | | | | Series A | | | | | | 4/16/2021 | | 50,000 | | | | | | 80 | | (e) | |
| High Street HoldCo LLC | | | | Series C | | | | | | 4/16/2021 | | 355,356 | | | | | | 567 | | (e) | |
| | | | | | | | | | | | | | | | | 647 | | | 0.04% |
| Materials | | | | | | | | | | | | | | | | | | | |
| Berry Global Group Inc | | | | | | | | | | | | 4,487 | | | | | | 273 | | (k) | |
| KNPAK Holdings, LP | | | | Class A | | | | | | 7/2/2019 | | 100,000 | | | | | | 82 | | (e)(k) | |
| Novipax Parent Holding Company, L.L.C. | | | | Class C | | | | | | 12/1/2020 | | 50 | | | | | | 8 | | (e)(k) | |
| Plaskolite PPC Blocker LLC | | | | | | | | | | 12/14/2018 | | 10 | | | | | | 2 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 365 | | | 0.02% |
| Media & Entertainment | | | | | | | | | | | | | | | | | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class A | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class B | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class C | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class D | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class E | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class F | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class G | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class H | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
| Storm Investment S.a.r.l. | | Luxembourg | | Class I | | | | | | 6/24/2021 | | 491,621 | | | | | | 197 | | (e)(k) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Storm Investment S.a.r.l. | | Luxembourg | | | | | | | | 6/24/2021 | | 590 | | | | | | $ | 1 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 1,774 | | | 0.11% |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | | | | | | | | |
| Coherus Biosciences Inc | | | | | | | | | | | | 2,456 | | | | | | 39 | | (k) | |
| | | | | | | | | | | | | | | | | 39 | | | —% |
| Real Estate | | | | | | | | | | | | | | | | | | | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class A | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class B | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class C | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class D | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class E | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class F | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class G | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class H | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | Class I | | | | | | 9/15/2021 | | 3,400,700 | | | | | | 14 | | (e)(k) | |
| Illinois Investment S.a.r.l. | | Luxembourg | | | | | | | | 9/15/2021 | | 4,081 | | | | | | 1 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 127 | | | 0.01% |
| Retailing | | | | | | | | | | | | | | | | | | | |
| ARKO Corp. | | | | | | | | | | 12/22/2020 | | 106 | | | | | | 1 | | (e)(k) | |
| Emerald Lake Pearl Acquisition-A, L.P. | | | | | | | | | | 7/19/2021 | | 43,500 | | | | | | 44 | | (e)(k) | |
| Fastsigns Holdings Inc. | | | | | | | | | | 3/13/2019 | | 50 | | | | | | 75 | | (e)(k) | |
| Marcone Yellowstone Holdings, LLC | | | | Class A | | | | | | 6/23/2021 | | 50 | | | | | | 61 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 181 | | | 0.01% |
| Software & Services | | | | | | | | | | | | | | | | | |
| APG Holdings, LLC | | | | Class A | | | | | | 1/3/2020 | | 50,000 | | | | | | 62 | | (e)(k) | |
| Astorg VII Co-Invest ERT | | Luxembourg | | | | | | | | 1/31/2020 | | 1,208,500 | | | | | | 1,748 | | (e)(k) | |
| Consilio Investment Holdings, L.P. | | | | | | | | | | 5/28/2021 | | 50,000 | | | | | | 62 | | (e)(k) | |
| Cority Parent, Inc. | | Canada | | Class B-1 | | | | | | 7/2/2019 | | 47,536 | | | | | | 63 | | (e)(k) | |
| Denali Topco LLC | | | | Class A | | | | | | 9/15/2021 | | 50,000 | | | | | | 50 | | (e)(k) | |
| Destiny Digital Holdings, L.P. | | | | | | | | | | 5/27/2021 | | 3,076 | | | | | | 46 | | (e)(k) | |
| EQT IX Co-Investment (E) SCSP | | | | | | | | | | 4/16/2021 | | 5,000 | | | | | | 55 | | (e)(k) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Frontline Technologies Parent, LLC | | | | Class B | | | | | | 9/18/2017 | | 2,728 | | | | | | $ | 23 | | (e)(k) | |
| H&F Unite Partners, L.P. | | | | | | | | | | 5/1/2019 | | 50,032 | | | | | | 62 | | (e)(k) | |
| Insight PDI Holdings, LLC | | | | Class A | | | | | | 3/19/2019 | | 26,548 | | | | | | 36 | | (e)(k) | |
| Magic Topco, L.P. | | | | Class B | | | | | | 9/21/2020 | | 12,975 | | | | | | 20 | | (e)(k) | |
| PS Co-Invest, L.P. | | | | | | | | | | 3/5/2021 | | 50,000 | | | | | | 50 | | (e)(k) | |
| Rocket Parent, LLC | | | | Class A | | | | | | 12/17/2018 | | 50,000 | | | | | | 53 | | (e)(k) | |
| Skywalker TopCo, LLC | | | | | | | | | | 11/20/2020 | | 14,925 | | | | | | 53 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 2,383 | | | 0.15% |
| Technology Hardware & Equipment | | | | | | | | | | | | | | | |
| Repairify Holdings, LLC | | | | Class A | | | | | | 6/14/2021 | | 1,655 | | | | | | 50 | | (e)(k) | |
| Wildcat Parent, LP | | | | | | | | | | 2/27/2020 | | 535 | | | | | | 84 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 134 | | | 0.01% |
| Transportation | | | | | | | | | | | | | | | | | |
| Allegiant Travel Co | | | | | | | | | | | | 823 | | | | | | 161 | | (k) | |
| Delta Air Lines Inc | | | | | | | | | | | | 4,000 | | | | | | 171 | | (k) | |
| Shur-Co HoldCo, Inc. | | | | | | | | | | 6/30/2021 | | 50,000 | | | | | | 63 | | (e)(k) | |
| | | | | | | | | | | | | | | | | 395 | | | 0.02% |
| Utilities | | | | | | | | | | | | | | | | | | | |
| FirstEnergy Corp | | | | | | | | | | | | 5,000 | | | | | | 178 | | | |
| | | | | | | | | | | | | | | | | 178 | | | 0.01% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL COMMON STOCKS (Cost $9,532) | | | | | | | | | | | | | 11,273 | | | 0.69% |
| | | | | | | | | | | | | | | | | | | |
| PREFERRED STOCKS (b)(c)(d)(e) | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | | | | |
| Automotive Keys Investor, LLC | | | | | | 9.00% | | | | 11/6/2020 | | 37,749 | | | | | | 41 | | (g) | |
| McLaren Group Limited | | | | | | 12.50% | | | | 8/2/2021 | | 63,529 | | | | | | 8,543 | | (g) | |
| Metis Holdco, Inc. | | | | Class A | | 7.00% | | | | 5/4/2021 | | 7,959 | | | | | | 7,940 | | (g) | |
| | | | | | | | | | | | | | | | | 16,524 | | | 1.01% |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| IRI Group Holdings, Inc. | | | | Series A-1 | | 11.50% (6M LIBOR + 10.50%) | | | | 11/29/2018 | | 25 | | | | | | 35 | | (g) | |
| Marmic Topco L.P. | | | | | | 8.00% | | | | 3/5/2021 | | 50,000 | | | | | | 58 | | (g) | |
| | | | | | | | | | | | | | | | | 93 | | | 0.01% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| Aragorn Parent Holdings LP | | | | Series A | | 10.00% | | | | 10/15/2020 | | 50,000 | | | | | | 64 | | (g) | |
| Redwood Services Holdco, LLC | | | | Series D | | 8.00% | | | | 12/31/2020 | | 27,076 | | | | | | 42 | | (g) | |
| | | | | | | | | | | | | | | | | 106 | | | 0.01% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| LaRousseCo Limited | | Jersey | | Class A | | | | | | 9/24/2021 | | 297,963 | | | | | | 401 | | (k) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| LaRousseCo Limited | | Jersey | | | | | | | | 9/24/2021 | | 21,247 | | | | | | $ | 30 | | (k) | |
| The Ultimus Group, LLC | | | | Class A | | 8.00% | | | | 6/21/2021 | | 1 | | | | | | 1 | | (g)(k) | |
| | | | | | | | | | | | | | | | | 432 | | | 0.03% |
| Energy | | | | | | | | | | | | | | | | | | | |
| Ferrellgas, L.P. | | | | | | 8.96% | | | | 3/30/2021 | | 8,734 | | | | | | 8,734 | | (g) | |
| | | | | | | | | | | | | | | | | 8,734 | | | 0.53% |
| Food & Beverage | | | | | | | | | | | | | | | | | |
| Watermill Express Holdings, LLC | | | | Class A | | 8.00% | | | | 4/20/2021 | | 5,000 | | | | | | 52 | | (g) | |
| | | | | | | | | | | | | | | | | 52 | | | —% |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Olympia TopCo, L.P. | | | | | | 15.00% | | | | 7/28/2021 | | 2,184 | | | | | | 1 | | (g) | |
| Symplr Software Intermediate Holdings, Inc. | | | | Series C | | 11.00% | | | | 12/22/2020 | | 6,030 | | | | | | 6,447 | | (g) | |
| Teligent, Inc. | | | | | | | | | | 12/11/2018 | | 1,797 | | | | | | — | | (k) | |
| | | | | | | | | | | | | | | | | 6,448 | | | 0.39% |
| Insurance | | | | | | | | | | | | | | | | | | | |
| High Street HoldCo LLC | | | | Series A | | 10.00% | | | | 4/16/2021 | | 6,905,654 | | | | | | 7,138 | | (g) | |
| | | | | | | | | | | | | | | | | 7,138 | | | 0.44% |
| Materials | | | | | | | | | | | | | | | | | | | |
| Novipax Parent Holding Company, L.L.C. | | | | Class A | | 10.00% | | | | 12/1/2020 | | 50 | | | | | | 50 | | (g) | |
| | | | | | | | | | | | | | | | | 50 | | | —% |
| Media & Entertainment | | | | | | | | | | | | | | | | | |
| PRG III, LLC | | | | Class A | | 5.50% | | | | 10/6/2020 | | 2,250 | | | | | | 32 | | (g)(k) | |
| | | | | | | | | | | | | | | | | 32 | | | —% |
| Pharmaceuticals, Biotechnology & Life Sciences | | | | | | | | | | | | | | | |
| Cardinal Topco Holdings, L.P. | | | | Class A | | 8.00% | | | | 9/15/2020 | | 100 | | | | | | 228 | | (g) | |
| | | | | | | | | | | | | | | | | 228 | | | 0.01% |
| Software & Services | | | | | | | | | | | | | | | | | |
| Appriss Health Intermediate Holdings, Inc. | | | | Series A | | 11.00% | | | | 5/6/2021 | | 3,657 | | | | | | 3,821 | | (g) | |
| Cority Parent, Inc. | | Canada | | Class A-1 | | 9.00% | | | | 7/2/2019 | | 50 | | | | | | 61 | | (g) | |
| DCert Preferred Holdings, Inc. | | | | Series A | | 10.50% | | | | 5/25/2021 | | 22,284 | | | | | | 22,284 | | (g) | |
| Diligent Preferred Issuer, Inc. | | | | | | 10.50% | | | | 4/6/2021 | | 1,476 | | | | | | 1,552 | | (g) | |
| EZ Elemica Holdings, Inc. | | | | | | | | | | 9/18/2019 | | 50 | | | | | | 54 | | (k) | |
| Frontline Technologies Parent, LLC | | | | Class A | | 9.00% | | | | 9/18/2017 | | 25 | | | | | | 36 | | (g) | |
| GSV PracticeTek Holdings, LLC | | | | Class A | | 8.00% | | | | 3/31/2021 | | 216,667 | | | | | | 217 | | (g) | |
| Insightful Science Holdings, LLC | | | | | | 14.00% | | | | 4/28/2021 | | 62,340 | | | | | | 1,720 | | (g) | |
| Magic Topco, L.P. | | | | Class A | | 9.00% | | | | 9/21/2020 | | 58 | | | | | | 63 | | (g) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Packers Software Intermediate Holdings, Inc. | | | | Series A | | 11.14% (3M LIBOR + 11.00%) | | | | 11/12/2020 | | 50 | | | | | | $ | 55 | | (g) | |
| Packers Software Intermediate Holdings, Inc. | | | | Series A-2 | | 11.14% (3M LIBOR + 11.00%) | | | | | | 18 | | | | | | 20 | | (g) | |
| Peachtree Parent, Inc. | | | | Series A | | 13.25% | | | | 3/19/2019 | | 25 | | | | | | 35 | | (g) | |
| Project Essential Super Parent, Inc. | | | | | | 10.50% (3M LIBOR + 9.50%) | | | | 4/20/2021 | | 2,963 | | | | | | 3,106 | | (g) | |
| Titan DI Preferred Holdings, Inc. | | | | | | 13.50% | | | | 2/11/2020 | | — | | | | | | 62 | | (g) | |
| | | | | | | | | | | | | | | | | 33,086 | | | 2.02% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL PREFERRED STOCKS (Cost $69,395) | | | | | | | | | | | | | 72,923 | | | 4.45% |
| | | | | | | | | | | | | | | | | | | |
| PRIVATE ASSET-BACKED DEBT (b)(c)(d)(e) | | | | | | | | | | | | | | | |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| Affirm Operational Loans VI Trust | | | | 1st Lien Revolver | | 10.35% (1M LIBOR + 9.75%) | | 12/17/2026 | | | | | | | 500 | | | 131 | | (g)(h) | |
| ARM Funding 2019-1, LLC | | | | 1st Lien Revolver | | 8.95% (1M LIBOR + 7.95%) | | 2/29/2024 | | | | | | | 2,500 | | | 1,727 | | (h) | |
| BFS Receivables I LLC | | | | 1st Lien Revolver | | | | 3/14/2025 | | | | | | | 1,250 | | | — | | (h) | |
| DFC Global Facility Borrower III LLC | | | | 1st Lien Revolver | | 4.25% (1M CDOR + 3.75%) | | 6/28/2026 | | | | | | CAD | 8,582 | | | 4,790 | | (h)(o)(p) | |
| DFC Global Facility Borrower III LLC | | | | 1st Lien Revolver | | 8.00% (1M CDOR + 7.50%) | | 6/28/2026 | | | | | | CAD | 8,582 | | | 4,722 | | (h) | |
| Finance Ireland Loan and Treasury DAC | | Ireland | | 1st Lien Delayed Draw Term Loan | | 9.25% (3M EURIBOR + 9.25%) | | 6/29/2026 | | | | | | € | 2,500 | | | 999 | | (h) | |
| NSF Funding 2020 Limited | | Great Britain | | 1st Lien Revolver | | | | 6/10/2026 | | | | | | ₤ | 11,500 | | | — | | (h) | |
| Reliant SPV, LLC | | | | 1st Lien Revolver | | 7.00% (1M LIBOR + 6.00%) | | 5/28/2024 | | | | | | | 500 | | | 319 | | (h) | |
| SAVOYSPECIAL LLC | | | | 1st Lien Revolver | | 8.25% (1M LIBOR + 7.50%) | | 7/1/2024 | | | | | | | 750 | | | 208 | | (h) | |
| Sera 2021 LLC | | | | 1st Lien Delayed Draw Term Loan | | 6.25% (3M LIBOR + 5.75%) | | 3/30/2026 | | | | | | | 1,498 | | | 626 | | (h) | |
| Spring Oaks Capital SPV, LLC | | | | 1st Lien Revolver | | 9.50% (1M LIBOR + 8.50%) | | 11/12/2025 | | | | | | | 9,000 | | | 1,812 | | (h) | |
| Woodchester Funding Limited | | Great Britain | | 1st Lien Revolver | | 6.80% (1M GBP LIBOR + 6.55%) | | 3/15/2026 | | | | | | ₤ | 2,182 | | | 921 | | (h)(m) | |
| | | | | | | | | | | | | | | | | 16,255 | | | 0.99% |
| Retailing | | | | | | | | | | | | | | | | | | | |
| Tricolor Funding SPV 3 LLC | | | | 1st Lien Revolver | | 8.50% (1M LIBOR + 7.50%) | | 8/6/2027 | | | | | | | 2,273 | | | 826 | | (h)(n) | |
| | | | | | | | | | | | | | | | | 826 | | | 0.05% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL PRIVATE ASSET-BACKED DEBT (Cost $16,875) | | | | | | | | | | | | | 17,081 | | | 1.04% |
| | | | | | | | | | | | | | | | | | | |
| REAL ESTATE DEBT (b)(c)(d)(e) | | | | | | | | | | | | | | | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Country (a) | | Investment | | Interest | | Maturity Date | | Acquisition Date | | Shares | | Principal Amount (a) | | Fair Value (a) | | Percentage of Net Assets |
| Real Estate | | | | | | | | | | | | | | | | | | | |
| 285 Mezz LLC | | | | Mezzanine Term Loan | | 16.28% (1M LIBOR + 14.00%) | | 5/5/2023 | | | | | | $ | 2,898 | | | $ | 2,273 | | (h) | |
| 285 Mezz LLC | | | | Mezzanine Term Loan | | 20.00% (1M LIBOR + 20.00%) | | 5/5/2023 | | | | | | | 1,100 | | | 1,056 | | | |
| Mandarin Oriental Honolulu | | | | Mezzanine Term Loan | | 14.00% | | 8/26/2021 | | | | | | | 1,776 | | | 1,776 | | | |
| TOTAL REAL ESTATE DEBT (Cost $5,261) | | | | | | | | | | | | | 5,105 | | | 0.31% |
| | | | | | | | | | | | | | | | | | | |
| WARRANTS (d)(e)(k) | | | | | | | | | | | | | | | | | |
| Automobiles & Components | | | | | | | | | | | | | | | | | |
| McLaren Group Limited | | Great Britain | | Common | | | | | | 8/2/2021 | | 19,998 | | | | | | 2,174 | | | |
| | | | | | | | | | | | | | | | | 2,174 | | | 0.13% |
| Commercial & Professional Services | | | | | | | | | | | | | | | |
| Visual Edge Technology, Inc. | | | | Common | | | | | | 3/22/2018 | | 27,334 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | — | | | —% |
| Consumer Services | | | | | | | | | | | | | | | | | |
| KeyStone Sub-Debt HoldCo, LLC | | | | Common | | | | | | 1/20/2021 | | 4 | | | | | | 713 | | | |
| LGDN Finco Limited | | Great Britain | | Common | | | | | | 6/22/2021 | | 25 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | 713 | | | 0.04% |
| Diversified Financials | | | | | | | | | | | | | | | | | |
| BFS Receivables I LLC | | | | Common | | | | | | 8/16/2021 | | 34,662 | | | | | | — | | | |
| SAVOYSPECIAL LLC | | | | Common | | | | | | 7/14/2021 | | 345,508 | | | | | | 2 | | | |
| | | | | | | | | | | | | | | | | 2 | | | —% |
| Healthcare Equipment & Services | | | | | | | | | | | | | | | |
| Air Medical Buyer Corp | | | | Common | | | | | | 3/14/2018 | | 122 | | | | | | 3 | | | |
| Teligent, Inc. | | | | Common | | | | | | 4/6/2020 | | 11,342 | | | | | | — | | | |
| Teligent, Inc. | | | | Common | | | | | | 7/20/2020 | | 2,834 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | 3 | | | —% |
| Media & Entertainment | | | | | | | | | | | | | | | | | |
| PFL MMA, Inc. | | | | Common | | | | | | 1/19/2021 | | 115,111 | | | | | | 62 | | | |
| | | | | | | | | | | | | | | | | 62 | | | 0.01% |
| Retailing | | | | | | | | | | | | | | | | | | | |
| ARKO Corp. | | | | Common | | | | | | 12/22/2020 | | 55 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | — | | | —% |
| Transportation | | | | | | | | | | | | | | | | | |
| Neovia Logistics Holdings Ltd. | | | | Common | | | | | | 4/26/2019 | | 194,454 | | | | | | 6 | | | |
| | | | | | | | | | | | | | | | | 6 | | | —% |
| | | | | | | | | | | | | | | | | | | |
| TOTAL WARRANTS (Cost $2,865) | | | | | | | | | | | | | 2,960 | | | 0.18% |
| | | | | | | | | | | | | | | | | | | |
| Total Investments (Cost $2,085,619) | | | | | | | | | | | | | 2,124,297 | | | 129.67% |
| | | | | | | | | | | | | | | | | | | |
| Liabilities in Excess of Other Assets | | | | | | | | | | | | | (486,150) | | | (29.67)% |
| | | | | | | | | | | | | | | | | | | |
| Net Assets | | | | | | | | | | | | | | | | | 1,638,147 | | | 100.00% |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
____________________________________________________
(a)Investment holdings in foreign currencies are converted to U.S. Dollars using period end spot rates. Investments are in United States enterprises and all principal balances shown are in U.S. Dollars unless otherwise noted.
(b)Variable rate loans bear interest at a rate that may be determined by reference to either the London Interbank Offered Rate (“LIBOR”) or an alternate base rate such as the Bank Bill Swap Bid Rate (“BBSY”), Canadian Dollar Offered Rate (“CDOR”), Copenhagen Interbank Offered Rate (“CIBOR”), Euro Interbank Offered Rate (“EURIBOR”), Norwegian Interbank Offered Rate (“NIBOR”), Prime Rate (“PRIME”), Sterling Overnight Index Average (“SONIA”), or Stockholm Interbank Offered Rate (“STIBOR”), at the borrower’s option. Stated interest rates in this schedule represents the “all-in” rate as of September 30, 2021.
(c)Variable rate coupon rate shown as of September 30, 2021.
(d)These investments, which as of September 30, 2021 represented 128.28% of the Fund's net assets or 90.74% of the Fund's total assets, may be subject to legal restrictions on sales. Acquisition dates are included above for securities that may be subject to legal restrictions on sales.
(e)Investments whose values were determined using significant unobservable inputs (Level 3) (See Note 3 of the Notes to Consolidated Schedule of Investments).
(f)These assets are held at CADEX Credit Financing, LLC, a wholly owned special purpose financing vehicle, and are pledged as collateral for a secured revolving credit facility (see Note 1 of the Notes to Consolidated Schedule of Investments).
(g)Includes a payment-in-kind provision.
(h)As of September 30, 2021, the Fund had entered into the following commitments to fund various revolving and delayed draw senior secured and subordinated loans. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and there can be no assurance that such conditions will be satisfied.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| 285 Mezz LLC | | Mezzanine Term Loan | | $ | 2,898 | | | $ | (2,389) | | | $ | 509 | |
| A.U.L. Corp. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| AffiniPay Midco, LLC | | 1st Lien Revolver | | 766 | | | — | | | 766 | |
| Affirm Operational Loans VI Trust | | 1st Lien Revolver | | 500 | | | (131) | | | 369 | |
| AMCP Clean Intermediate, LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| American Residential Services L.L.C. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Anaqua Parent Holdings, Inc. | | 1st Lien Revolver | | 231 | | | — | | | 231 | |
| Anaqua Parent Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 523 | | | — | | | 523 | |
| APG Intermediate Holdings Corporation | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Appriss Health, LLC | | 1st Lien Revolver | | 212 | | | — | | | 212 | |
| AQ Sunshine, Inc. | | 1st Lien Revolver | | 213 | | | (57) | | | 156 | |
| AQ Sunshine, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,085 | | | — | | | 1,085 | |
| Ardonagh Midco 3 PLC | | 1st Lien Delayed Draw Term Loan | | 16,453 | | | — | | | 16,453 | |
| ARM Funding 2019-1, LLC | | 1st Lien Revolver | | 2,500 | | | (1,726) | | | 774 | |
| ASG Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 745 | | | — | | | 745 | |
| Aspire Bidco Limited | | 1st Lien Revolver | | 674 | | | — | | | 674 | |
| Aspire Bidco Limited | | 1st Lien Term Loan | | 3,559 | | | — | | | 3,559 | |
| Aspris Bidco Limited | | 1st Lien Term Loan | | 1,895 | | | — | | | 1,895 | |
| Athenahealth, Inc. | | 1st Lien Revolver | | 232 | | | — | | | 232 | |
| Atlas Intermediate III L.L.C. | | 1st Lien Revolver | | 201 | | | — | | | 201 | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| Atlas Intermediate III L.L.C. | | 1st Lien Delayed Draw Term Loan | | 405 | | | (320) | | | 85 | |
| Auxadi Midco S.L.U. | | 1st Lien Term Loan | | $ | 1,474 | | | $ | — | | | $ | 1,474 | |
| AVSC Holding Corp. | | 1st Lien Term Loan | | 2,031 | | | (2,026) | | | 5 | |
| Banyan Software Holdings, LLC | | 1st Lien Revolver | | 265 | | | (32) | | | 233 | |
| Banyan Software Holdings, LLC | | 1st Lien Delayed Draw Term Loan | | 1,529 | | | (275) | | | 1,254 | |
| Bearcat Buyer, Inc. | | 1st Lien Revolver | | 580 | | | — | | | 580 | |
| Bearcat Buyer, Inc. | | 1st Lien Delayed Draw Term Loan | | 1 | | | (1) | | | — | |
| Bearcat Buyer, Inc. | | 2nd Lien Delayed Draw Term Loan | | 1,306 | | | (184) | | | 1,122 | |
| Benefytt Technologies, Inc. | | 1st Lien Delayed Draw Term Loan | | 911 | | | — | | | 911 | |
| Berner Food & Beverage, LLC | | 1st Lien Revolver | | 262 | | | (52) | | | 210 | |
| BFS Receivables I LLC | | 1st Lien Revolver | | 1,250 | | | — | | | 1,250 | |
| Blackwood Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 3,124 | | | (2,311) | | | 813 | |
| CabinCo Limited | | 1st Lien Delayed Draw Term Loan | | 152 | | | — | | | 152 | |
| Canopy Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 677 | | | (177) | | | 500 | |
| Capnor Connery Bidco A/S | | 1st Lien Delayed Draw Term Loan | | 7,160 | | | (982) | | | 6,178 | |
| Capstone Acquisition Holdings, Inc. | | 1st Lien Revolver | | 1,150 | | | (177) | | | 973 | |
| Capstone Acquisition Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,681 | | | — | | | 1,681 | |
| Capstone Acquisition Holdings, Inc. | | 2nd Lien Delayed Draw Term Loan | | 531 | | | — | | | 531 | |
| Cardinal Parent, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| CB-SDG LIMITED | | 1st Lien Delayed Draw Term Loan | | 428 | | | — | | | 428 | |
| CC Fly Holding II A/S | | 1st Lien Delayed Draw Term Loan | | 453 | | | (438) | | | 15 | |
| Centric Brands LLC | | 1st Lien Revolver | | 269 | | | (191) | | | 78 | |
| CEP V I 5 UK Limited | | 1st Lien Delayed Draw Term Loan | | 6,346 | | | — | | | 6,346 | |
| Commercial Trailer Leasing, Inc. | | 1st Lien Revolver | | 741 | | | — | | | 741 | |
| Commercial Trailer Leasing, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,472 | | | (682) | | | 790 | |
| Commify Limited | | 1st Lien Delayed Draw Term Loan | | 881 | | | (282) | | | 599 | |
| Comprehensive EyeCare Partners, LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Comprehensive EyeCare Partners, LLC | | 1st Lien Delayed Draw Term Loan | | 271 | | | (178) | | | 93 | |
| Concert Golf Partners Holdco LLC | | 1st Lien Revolver | | 765 | | | — | | | 765 | |
| Confirmasoft AB | | 1st Lien Delayed Draw Term Loan | | 1,744 | | | — | | | 1,744 | |
| Consilio Midco Limited | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Consilio Midco Limited | | 1st Lien Delayed Draw Term Loan | | 2,572 | | | — | | | 2,572 | |
| Continental Acquisition Holdings, Inc. | | 1st Lien Revolver | | 1 | | | (1) | | | — | |
| Continental Acquisition Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,461 | | | — | | | 1,461 | |
| Cority Software Inc. | | 1st Lien Revolver | | 231 | | | — | | | 231 | |
| CPI Holdco, LLC | | 1st Lien Revolver | | 3,435 | | | — | | | 3,435 | |
| Creation Holdings Inc. | | 1st Lien Revolver | | 545 | | | (454) | | | 91 | |
| CVP Holdco, Inc. | | 1st Lien Revolver | | 326 | | | — | | | 326 | |
| CVP Holdco, Inc. | | 1st Lien Delayed Draw Term Loan | | 10,389 | | | (3,124) | | | 7,265 | |
| DecoPac, Inc. | | 1st Lien Revolver | | 2,382 | | | (340) | | | 2,042 | |
| Denali Holdco LLC | | 1st Lien Revolver | | 592 | | | — | | | 592 | |
| DFC Global Facility Borrower III LLC | | 1st Lien Revolver | | 13,551 | | | (9,580) | | | 3,971 | |
| Diligent Corporation | | 1st Lien Revolver | | 513 | | | — | | | 513 | |
| Diligent Corporation | | 1st Lien Delayed Draw Term Loan | | 687 | | | — | | | 687 | |
| DRS Holdings III, Inc. | | 1st Lien Revolver | | 173 | | | — | | | 173 | |
| DS Admiral Bidco, LLC | | 1st Lien Revolver | | 358 | | | — | | | 358 | |
| Dynamic NC Aerospace Holdings, LLC | | 1st Lien Revolver | | 1,296 | | | — | | | 1,296 | |
| Eleda BidCo AB | | 1st Lien Delayed Draw Term Loan | | 914 | | | — | | | 914 | |
| Elemica Parent, Inc. | | 1st Lien Revolver | | 1,426 | | | (268) | | | 1,158 | |
| Elevation Services Parent Holdings, LLC | | 1st Lien Revolver | | 386 | | | (167) | | | 219 | |
| EPS NASS Parent, Inc. | | 1st Lien Revolver | | 158 | | | (20) | | | 138 | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| EPS NASS Parent, Inc. | | 1st Lien Delayed Draw Term Loan | | 585 | | | — | | | 585 | |
| eResearch Technology, Inc. | | 2nd Lien Delayed Draw Term Loan | | $ | 1,343 | | | $ | (672) | | | $ | 671 | |
| Essential Services Holding Corporation | | 1st Lien Revolver | | 1,560 | | | — | | | 1,560 | |
| Essential Services Holding Corporation | | 1st Lien Delayed Draw Term Loan | | 22,168 | | | (18,358) | | | 3,810 | |
| EuroParcs Topholding B.V. | | 1st Lien Delayed Draw Term Loan | | 946 | | | (945) | | | 1 | |
| ExtraHop Networks, Inc. | | 1st Lien Last Out Delayed Draw Term Loan | | 933 | | | (43) | | | 890 | |
| FCG Acquisitions, Inc. | | 1st Lien Delayed Draw Term Loan | | 320 | | | (307) | | | 13 | |
| Finance Ireland Loan and Treasury DAC | | 1st Lien Delayed Draw Term Loan | | 2,896 | | | (1,047) | | | 1,849 | |
| FL Hawk Intermediate Holdings, Inc. | | 1st Lien Revolver | | 1,312 | | | — | | | 1,312 | |
| FL Hawk Intermediate Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,017 | | | — | | | 1,017 | |
| Floss Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 1,629 | | | (549) | | | 1,080 | |
| Flow Control Solutions, Inc. | | 1st Lien Revolver | | 373 | | | — | | | 373 | |
| Flow Control Solutions, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,595 | | | (1,121) | | | 474 | |
| Foundation Consumer Brands, LLC | | 1st Lien Revolver | | 389 | | | — | | | 389 | |
| Foundation Risk Partners, Corp. | | 1st Lien Revolver | | 3 | | | — | | | 3 | |
| Foundation Risk Partners, Corp. | | 1st Lien Delayed Draw Term Loan | | 1,159 | | | (628) | | | 531 | |
| Foundation Risk Partners, Corp. | | 2nd Lien Delayed Draw Term Loan | | 766 | | | — | | | 766 | |
| FWR Holding Corporation | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| FWR Holding Corporation | | 1st Lien Delayed Draw Term Loan | | 4 | | | — | | | 4 | |
| Galway Borrower LLC | | 1st Lien Revolver | | 969 | | | — | | | 969 | |
| Galway Borrower LLC | | 1st Lien Delayed Draw Term Loan | | 2,286 | | | — | | | 2,286 | |
| Gilfoyle Bidco AB | | 1st Lien Term Loan | | 2,215 | | | — | | | 2,215 | |
| Global Music Rights, LLC | | 1st Lien Revolver | | 473 | | | — | | | 473 | |
| GraphPAD Software, LLC | | 1st Lien Revolver | | 2 | | | (1) | | | 1 | |
| Hammersmith Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 4,241 | | | (2,635) | | | 1,606 | |
| HH-Stella, Inc. | | 1st Lien Revolver | | 444 | | | (51) | | | 393 | |
| HH-Stella, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,979 | | | (223) | | | 1,756 | |
| High Street Buyer, Inc. | | 1st Lien Revolver | | 688 | | | — | | | 688 | |
| High Street Buyer, Inc. | | 1st Lien Delayed Draw Term Loan | | 15,144 | | | (4,718) | | | 10,426 | |
| Highline Aftermarket Acquisition, LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Hometown Food Company | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Horizon Bidco S.A.S. | | 1st Lien Term Loan | | 25,062 | | | — | | | 25,062 | |
| Indigo IT Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 874 | | | — | | | 874 | |
| IntraPac International LLC | | 1st Lien Revolver | | 415 | | | (135) | | | 280 | |
| Ivanti Software, Inc. | | 1st Lien Revolver | | 460 | | | — | | | 460 | |
| Jewel Bidco Limited | | 1st Lien Revolver | | 1,347 | | | (741) | | | 606 | |
| Jewel Bidco Limited | | 1st Lien Term Loan | | 5,117 | | | — | | | 5,117 | |
| Jim N Nicks Management LLC | | 1st Lien Revolver | | 1 | | | (1) | | | — | |
| Kellermeyer Bergensons Services, LLC | | 1st Lien Delayed Draw Term Loan | | 4,569 | | | (1,244) | | | 3,325 | |
| Kene Acquisition, Inc. | | 1st Lien Revolver | | 676 | | | — | | | 676 | |
| Laboratories Bidco LLC | | 1st Lien Revolver | | 1,562 | | | — | | | 1,562 | |
| Laboratories Bidco LLC | | 1st Lien Delayed Draw Term Loan | | 2,201 | | | — | | | 2,201 | |
| Lavatio Midco Sarl | | 1st Lien Delayed Draw Term Loan | | 1,137 | | | (709) | | | 428 | |
| LGDN Finco Limited | | 1st Lien Revolver | | 135 | | | — | | | 135 | |
| LGDN Finco Limited | | 1st Lien Term Loan | | 1,727 | | | (345) | | | 1,382 | |
| Majesco | | 1st Lien Revolver | | 624 | | | — | | | 624 | |
| Marcone Yellowstone Buyer Inc. | | 1st Lien Delayed Draw Term Loan | | 2,790 | | | — | | | 2,790 | |
| Marmic Purchaser, LLC | | 1st Lien Revolver | | 287 | | | — | | | 287 | |
| Marmic Purchaser, LLC | | 1st Lien Delayed Draw Term Loan | | 1,196 | | | (342) | | | 854 | |
| Maverick Acquisition, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,915 | | | — | | | 1,915 | |
| Mavis Tire Express Services Topco Corp. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| MC Plato Bidco Limited | | 1st Lien Revolver | | 1,347 | | | — | | | 1,347 | |
| MC Plato Bidco Limited | | 1st Lien Term Loan | | $ | 2,091 | | | $ | — | | | $ | 2,091 | |
| Mercury Borrower, Inc. | | 1st Lien Revolver | | 470 | | | (81) | | | 389 | |
| Micromeritics Instrument Corp. | | 1st Lien Revolver | | 331 | | | — | | | 331 | |
| MMIT Holdings, LLC | | 1st Lien Revolver | | 651 | | | — | | | 651 | |
| Monica Holdco (US), Inc. | | 1st Lien Revolver | | 1,009 | | | — | | | 1,009 | |
| Mozart Debt Merger Sub, Inc. | | 1st Lien Term Loan | | 5,199 | | | — | | | 5,199 | |
| MRI Software LLC | | 1st Lien Revolver | | 508 | | | — | | | 508 | |
| MRI Software LLC | | 1st Lien Delayed Draw Term Loan | | 919 | | | — | | | 919 | |
| MWG BidCo ApS | | 1st Lien Term Loan | | 769 | | | — | | | 769 | |
| Nelipak European Holdings Cooperatief U.A. | | 1st Lien Revolver | | 674 | | | — | | | 674 | |
| Nelipak Holding Company | | 1st Lien Revolver | | 605 | | | (253) | | | 352 | |
| Nest Topco Borrower Inc. | | Subordinated Delayed Draw Term Loan | | 13,162 | | | — | | | 13,162 | |
| NMC Skincare Intermediate Holdings II, LLC | | 1st Lien Revolver | | 333 | | | (267) | | | 66 | |
| North American Fire Holdings, LLC | | 1st Lien Revolver | | 411 | | | — | | | 411 | |
| North American Fire Holdings, LLC | | 1st Lien Delayed Draw Term Loan | | 2,462 | | | — | | | 2,462 | |
| North American Science Associates, LLC | | 1st Lien Revolver | | 1 | | | (1) | | | — | |
| North American Science Associates, LLC | | 1st Lien Delayed Draw Term Loan | | 916 | | | — | | | 916 | |
| North Haven Stack Buyer, LLC | | 1st Lien Revolver | | 259 | | | (23) | | | 236 | |
| North Haven Stack Buyer, LLC | | 1st Lien Delayed Draw Term Loan | | 1,016 | | | (40) | | | 976 | |
| NSF Funding 2020 Limited | | 1st Lien Revolver | | 15,495 | | | — | | | 15,495 | |
| NueHealth Performance, LLC | | 1st Lien Delayed Draw Term Loan | | 605 | | | (496) | | | 109 | |
| Oakley Ekomid Limited | | 1st Lien Delayed Draw Term Loan | | 652 | | | — | | | 652 | |
| Olympia Acquisition, Inc. | | 1st Lien Revolver | | 641 | | | (598) | | | 43 | |
| OMH-HealthEdge Holdings, LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| OneDigital Borrower LLC | | 1st Lien Delayed Draw Term Loan | | 46 | | | — | | | 46 | |
| Optio Group Limited | | 1st Lien Delayed Draw Term Loan | | 806 | | | (377) | | | 429 | |
| P27 BIDCO LIMITED | | 1st Lien Delayed Draw Term Loan | | 438 | | | (88) | | | 350 | |
| PDI TA Holdings, Inc. | | 1st Lien Revolver | | 205 | | | — | | | 205 | |
| PDI TA Holdings, Inc. | | 2nd Lien Delayed Draw Term Loan | | 138 | | | (75) | | | 63 | |
| People Corporation | | 1st Lien Revolver | | 709 | | | (130) | | | 579 | |
| People Corporation | | 1st Lien Delayed Draw Term Loan | | 5,100 | | | (1,523) | | | 3,577 | |
| Petroleum Service Group LLC | | 1st Lien Revolver | | 2,106 | | | — | | | 2,106 | |
| Pluralsight, Inc. | | 1st Lien Revolver | | 1,204 | | | — | | | 1,204 | |
| Practicetek Purchaser, LLC | | 1st Lien Revolver | | 138 | | | — | | | 138 | |
| Practicetek Purchaser, LLC | | 1st Lien Delayed Draw Term Loan | | 886 | | | (554) | | | 332 | |
| Premier Specialties, Inc. | | 1st Lien Revolver | | 385 | | | — | | | 385 | |
| Premier Specialties, Inc. | | 1st Lien Delayed Draw Term Loan | | 829 | | | — | | | 829 | |
| Premise Health Holding Corp. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Pretium PKG Holdings, Inc. | | 2nd Lien Term Loan | | 1,025 | | | — | | | 1,025 | |
| Production Resource Group, LLC | | 1st Lien Delayed Draw Term Loan | | 147 | | | (49) | | | 98 | |
| ProfitSolv Purchaser, Inc. | | 1st Lien Revolver | | 608 | | | — | | | 608 | |
| ProfitSolv Purchaser, Inc. | | 1st Lien Delayed Draw Term Loan | | 2,555 | | | (194) | | | 2,361 | |
| Project Essential Bidco, Inc. | | 1st Lien Revolver | | 121 | | | — | | | 121 | |
| Proofpoint, Inc. | | 1st Lien Revolver | | 240 | | | — | | | 240 | |
| PROTON JVCO S.A R.L. | | 1st Lien Term Loan | | 965 | | | — | | | 965 | |
| QF Holdings, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| QF Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 263 | | | — | | | 263 | |
| Radius Aerospace Europe Limited | | 1st Lien Revolver | | 250 | | | — | | | 250 | |
| Radius Aerospace, Inc. | | 1st Lien Revolver | | 429 | | | — | | | 429 | |
| Raptor Technologies, LLC | | 1st Lien Revolver | | 1 | | | (1) | | | — | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| Rawlings Sporting Goods Company, Inc | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Reddy Ice LLC | | 1st Lien Revolver | | $ | 955 | | | $ | — | | | $ | 955 | |
| Reddy Ice LLC | | 1st Lien Delayed Draw Term Loan | | 551 | | | (55) | | | 496 | |
| Redwood Services, LLC | | 1st Lien Revolver | | 158 | | | — | | | 158 | |
| Redwood Services, LLC | | 1st Lien Delayed Draw Term Loan | | 1,068 | | | (128) | | | 940 | |
| Registrar Intermediate, LLC | | 1st Lien Revolver | | 764 | | | — | | | 764 | |
| Registrar Intermediate, LLC | | 1st Lien Delayed Draw Term Loan | | 2,327 | | | — | | | 2,327 | |
| Relativity ODA LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Reliant SPV, LLC | | 1st Lien Revolver | | 500 | | | (319) | | | 181 | |
| Repairify, Inc. | | 1st Lien Revolver | | 766 | | | — | | | 766 | |
| Rodeo AcquisitionCo LLC | | 1st Lien Revolver | | 311 | | | (64) | | | 247 | |
| Rodeo AcquisitionCo LLC | | 1st Lien Delayed Draw Term Loan | | 460 | | | — | | | 460 | |
| RSC Acquisition, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| RSK Group Limited | | 1st Lien Term Loan | | 4,414 | | | (1,563) | | | 2,851 | |
| Rugby Australia Ltd | | 1st Lien Delayed Draw Term Loan | | 904 | | | — | | | 904 | |
| Safe Home Security, Inc. | | 1st Lien Delayed Draw Term Loan | | 287 | | | — | | | 287 | |
| Saldon Holdings, Inc. | | 1st Lien Revolver | | 381 | | | — | | | 381 | |
| SAVOYSPECIAL LLC | | 1st Lien Revolver | | 750 | | | (212) | | | 538 | |
| SCM Insurance Services Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| SelectQuote, Inc. | | 1st Lien Delayed Draw Term Loan | | 2,455 | | | — | | | 2,455 | |
| Sera 2021 LLC | | 1st Lien Delayed Draw Term Loan | | 1,498 | | | (652) | | | 846 | |
| Service Logic Acquisition, Inc. | | 1st Lien Revolver | | 1,007 | | | — | | | 1,007 | |
| Service Logic Acquisition, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,124 | | | (39) | | | 1,085 | |
| SFE Intermediate HoldCo LLC | | 1st Lien Revolver | | 2 | | | — | | | 2 | |
| Shur-Co Acquisition, Inc. | | 1st Lien Revolver | | 441 | | | (88) | | | 353 | |
| Sigma Electric Manufacturing Corporation | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| SiroMed Physician Services, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| SLR BD Limited | | 1st Lien Revolver | | 1,347 | | | — | | | 1,347 | |
| SLR BD Limited | | 1st Lien Term Loan | | 2,603 | | | — | | | 2,603 | |
| Spectra Finance, LLC | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Spring Insurance Solutions, LLC | | 1st Lien Delayed Draw Term Loan | | 1,151 | | | (127) | | | 1,024 | |
| Spring Oaks Capital SPV, LLC | | 1st Lien Revolver | | 9,000 | | | (1,812) | | | 7,188 | |
| SSE Buyer, Inc. | | 1st Lien Revolver | | 3 | | | (1) | | | 2 | |
| SSE Buyer, Inc. | | 1st Lien Delayed Draw Term Loan | | 189 | | | — | | | 189 | |
| Stealth Holding LLC | | 1st Lien Delayed Draw Term Loan | | 989 | | | (297) | | | 692 | |
| Sun Acquirer Corp. | | 1st Lien Revolver | | 1,059 | | | — | | | 1,059 | |
| Sun Acquirer Corp. | | 1st Lien Delayed Draw Term Loan | | 4,869 | | | (689) | | | 4,180 | |
| Sundance Group Holdings, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| Sundance Group Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 453 | | | — | | | 453 | |
| Sunshine Sub, LLC | | 1st Lien Revolver | | 144 | | | — | | | 144 | |
| Symbol Bidco I Limited | | 1st Lien Delayed Draw Term Loan | | 577 | | | (199) | | | 378 | |
| Symplr Software Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| TA/WEG Holdings, LLC | | 1st Lien Revolver | | 914 | | | (685) | | | 229 | |
| TA/WEG Holdings, LLC | | 1st Lien Delayed Draw Term Loan | | 10,080 | | | (1,828) | | | 8,252 | |
| TCP Hawker Intermediate LLC | | 1st Lien Revolver | | 458 | | | — | | | 458 | |
| TCP Hawker Intermediate LLC | | 1st Lien Delayed Draw Term Loan | | 495 | | | — | | | 495 | |
| Teligent, Inc. | | 1st Lien Revolver | | 1 | | | (1) | | | — | |
| Teligent, Inc. | | 2nd Lien Delayed Draw Term Loan | | 65 | | | (22) | | | 43 | |
| TGP Holdings III LLC | | 1st Lien Delayed Draw Term Loan | | 70 | | | — | | | 70 | |
| The Ultimate Software Group, Inc. | | 1st Lien Revolver | | 1 | | | — | | | 1 | |
| The Ultimus Group Midco, LLC | | 1st Lien Revolver | | 396 | | | (226) | | | 170 | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Investment Type | | Total revolving and delayed draw loan commitments | | Less: funded commitments | | Total unfunded commitments |
| Therapy Brands Holdings LLC | | 2nd Lien Delayed Draw Term Loan | | 1,284 | | | — | | | 1,284 | |
| Thermostat Purchaser III, Inc. | | 1st Lien Revolver | | $ | 100 | | | $ | — | | | $ | 100 | |
| Thermostat Purchaser III, Inc. | | 2nd Lien Delayed Draw Term Loan | | 612 | | | — | | | 612 | |
| TIGER UK BIDCO LIMITED | | 1st Lien Revolver | | 2,695 | | | — | | | 2,695 | |
| TIGER UK BIDCO LIMITED | | 1st Lien Delayed Draw Term Loan | | 3,176 | | | (3,013) | | | 163 | |
| Tricolor Funding SPV 3 LLC | | 1st Lien Revolver | | 2,273 | | | (826) | | | 1,447 | |
| Trident TPI Holdings, Inc. | | 1st Lien Delayed Draw Term Loan | | 317 | | | — | | | 317 | |
| True Potential LLP | | 1st Lien Delayed Draw Term Loan | | 2,909 | | | (2,178) | | | 731 | |
| Turbo Acquisitions 10 Bidco Limited | | 1st Lien Delayed Draw Term Loan | | 1,814 | | | (181) | | | 1,633 | |
| TWH Infrastructure Industries, Inc. | | 1st Lien Revolver | | 464 | | | (232) | | | 232 | |
| United Digestive MSO Parent, LLC | | 1st Lien Revolver | | 511 | | | — | | | 511 | |
| United Digestive MSO Parent, LLC | | 1st Lien Delayed Draw Term Loan | | 1,022 | | | (794) | | | 228 | |
| US Salt Investors, LLC | | 1st Lien Revolver | | 679 | | | — | | | 679 | |
| Veterinary Practice Partners, LLC | | 1st Lien Revolver | | 193 | | | — | | | 193 | |
| Veterinary Practice Partners, LLC | | 1st Lien Delayed Draw Term Loan | | 2,265 | | | (1,787) | | | 478 | |
| VLS Recovery Services, LLC | | 1st Lien Revolver | | 622 | | | — | | | 622 | |
| VLS Recovery Services, LLC | | 1st Lien Delayed Draw Term Loan | | 1,385 | | | — | | | 1,385 | |
| Watermill Express, LLC | | 1st Lien Revolver | | 275 | | | — | | | 275 | |
| Watermill Express, LLC | | 1st Lien Delayed Draw Term Loan | | 219 | | | — | | | 219 | |
| WebPT, Inc. | | 1st Lien Revolver | | 216 | | | (65) | | | 151 | |
| Wellness AcquisitionCo, Inc. | | 1st Lien Revolver | | 504 | | | — | | | 504 | |
| Wildcat BuyerCo, Inc. | | 1st Lien Revolver | | 255 | | | — | | | 255 | |
| Wildcat BuyerCo, Inc. | | 1st Lien Delayed Draw Term Loan | | 1,075 | | | (387) | | | 688 | |
| Woodchester Funding Limited | | 1st Lien Revolver | | 2,940 | | | (921) | | | 2,019 | |
| WorkWave Intermediate II, LLC | | 1st Lien Revolver | | 460 | | | — | | | 460 | |
| WSHP FC Acquisition LLC | | 1st Lien Revolver | | 89 | | | (41) | | | 48 | |
| WSHP FC Acquisition LLC | | 1st Lien Delayed Draw Term Loan | | 350 | | | (184) | | | 166 | |
| Total | | | | $ | 386,310 | | | $ | (85,746) | | | $ | 300,564 | |
____________________________________________________
(i)This loan or a portion of this loan represents an unsettled loan purchase. The interest rate will be determined at the time of settlement and will be based upon a spread plus the applicable reference rate determined at the time of purchase.
(j)Loan or bond was on non-accrual status as of September 30, 2021.
(k)Non-income producing security as of September 30, 2021.
(l)When-Issued or delayed delivery security based on typical market settlement convention for such security.
(m)The Fund sold a participating interest of £1,200 in aggregate principal amount outstanding of the portfolio company’s first lien senior secured revolver. As the transaction did not qualify as a “true sale” in accordance with U.S. generally accepted accounting principles (“GAAP”), the Fund recorded a corresponding secured borrowing of $520 at fair value, included in “accrued expenses and other payables” in the accompanying consolidated statement of assets and liabilities. As of September 30, 2021, the interest rate in effect for the secured borrowing was 4.25%.
(n)The Fund sold a participating interest of $1,023 in aggregate principal amount outstanding of the portfolio company’s first lien senior secured revolver. As the transaction did not qualify as a “true sale” in accordance with GAAP, the Fund recorded a corresponding secured borrowing of $372 at fair value, included in “accrued expenses and other payables” in the accompanying consolidated statement of assets and liabilities. As of September 30, 2021, the interest rate in effect for the secured borrowing was 4.70%.
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
(o)The Fund sold a participating interest of CAD 3,862 in aggregate principal amount outstanding of the portfolio company’s first lien senior secured revolver. As the transaction did not qualify as a “true sale” in accordance with GAAP, the Fund recorded a corresponding secured borrowing of $2,154 at fair value, included in “accrued expenses and other payables” in the accompanying consolidated statement of assets and liabilities. As of September 30, 2021, the interest rate in effect for the secured borrowing was 4.25%.
(p)The Fund sold a participating interest of CAD 4,720 in aggregate principal amount outstanding of the portfolio company’s first lien senior secured revolver. As the transaction did not qualify as a “true sale” in accordance with GAAP, the Fund recorded a corresponding secured borrowing of $2,632 at fair value, included in “accrued expenses and other payables” in the accompanying consolidated statement of assets and liabilities. As of September 30, 2021, the interest rate in effect for the secured borrowing was 4.25%.
As of September 30, 2021, the aggregate cost of securities for Federal income tax purposes was $2,086,656. Unrealized appreciation and depreciation on investments for Federal income tax purposes are as follows:
| | | | | |
| Gross unrealized appreciation | $ | 50,592 | |
| Gross unrealized depreciation | (12,529) | |
| Net unrealized appreciation | $ | 38,063 | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
Securities sold short as of September 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Company | | Industry | | Interest Rate | | Maturity Date | | Principal Amount | | Value | | Percentage of Net Assets |
| KIK Custom Products, Inc. | | Household & Personal Products | | 7.00% | | 12/31/2027 | | $ | (1,000) | | | $ | (960) | | | |
| CoreCivic, Inc. | | Commercial & Professional Services | | 8.25% | | 4/15/2026 | | (275) | | | (281) | | | |
| Hormel Foods Corp. | | Food & Beverage | | 1.80% | | 6/11/2030 | | (390) | | | (384) | | | |
| Tenet Healthcare Corporation | | Healthcare Equipment & Services | | 6.25% | | 2/1/2027 | | (63) | | | (66) | | | |
| CommScope, Inc. | | Technology Hardware & Equipment | | 8.25% | | 3/1/2027 | | (250) | | | (262) | | | |
| Total Corporate Bonds Sold Short (Cost $(1,998)) | | | | | | | | $ | (1,953) | | | (0.12)% |
Forward currency contracts as of September 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Notional Amount to be Purchased | | Notional Amount to be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation | | Unrealized Depreciation |
| Forward currency contract | | $ | (1,269) | | | € | (1,309) | | | Goldman Sachs | | October 7, 2021 | | $ | 40 | | | $ | — | |
| Forward currency contract | | $ | (10,795) | | | CAD | (10,773) | | | Goldman Sachs | | October 19, 2021 | | — | | | (22) | |
| Forward currency contract | | $ | (989) | | | ₤ | (1,016) | | | Goldman Sachs | | October 19, 2021 | | 26 | | | — | |
| Forward currency contract | | $ | (30) | | | ₤ | (31) | | | Goldman Sachs | | October 19, 2021 | | 1 | | | — | |
| Forward currency contract | | $ | (9) | | | ₤ | (10) | | | Goldman Sachs | | October 19, 2021 | | — | | | — | |
| Forward currency contract | | $ | (12,891) | | | ₤ | (13,111) | | | Goldman Sachs | | October 22, 2021 | | 220 | | | — | |
| Forward currency contract | | $ | (11,706) | | | ₤ | (11,908) | | | Goldman Sachs | | October 22, 2021 | | 201 | | | — | |
| Forward currency contract | | $ | (11,530) | | | € | (11,790) | | | Goldman Sachs | | October 22, 2021 | | 260 | | | — | |
| Forward currency contract | | $ | (11,515) | | | € | (11,734) | | | Goldman Sachs | | October 22, 2021 | | 219 | | | — | |
| Forward currency contract | | $ | (8,560) | | | ₤ | (8,813) | | | Goldman Sachs | | October 22, 2021 | | 253 | | | — | |
| Forward currency contract | | $ | (6,964) | | | € | (7,031) | | | Goldman Sachs | | October 22, 2021 | | 67 | | | — | |
| Forward currency contract | | $ | (6,683) | | | SEK | (6,712) | | | Goldman Sachs | | October 22, 2021 | | 29 | | | — | |
| Forward currency contract | | $ | (6,481) | | | CAD | (6,532) | | | Goldman Sachs | | October 22, 2021 | | 51 | | | — | |
| Forward currency contract | | $ | (4,097) | | | NOK | (4,030) | | | Goldman Sachs | | October 22, 2021 | | — | | | (67) | |
| Forward currency contract | | $ | (3,010) | | | DKK | (3,052) | | | Goldman Sachs | | October 22, 2021 | | 42 | | | — | |
| Forward currency contract | | $ | (2,894) | | | ₤ | (2,982) | | | Goldman Sachs | | October 22, 2021 | | 88 | | | — | |
| Forward currency contract | | $ | (2,288) | | | € | (2,321) | | | Goldman Sachs | | October 22, 2021 | | 33 | | | — | |
| Forward currency contract | | $ | (2,079) | | | SEK | (2,094) | | | Goldman Sachs | | October 22, 2021 | | 15 | | | — | |
| Forward currency contract | | $ | (1,594) | | | ₤ | (1,636) | | | Goldman Sachs | | October 22, 2021 | | 42 | | | — | |
| Forward currency contract | | $ | (1,564) | | | ₤ | (1,592) | | | Goldman Sachs | | October 22, 2021 | | 29 | | | — | |
| Forward currency contract | | $ | (1,528) | | | ₤ | (1,573) | | | Goldman Sachs | | October 22, 2021 | | 44 | | | — | |
| Forward currency contract | | $ | (1,146) | | | € | (1,162) | | | Goldman Sachs | | October 22, 2021 | | 16 | | | — | |
| Forward currency contract | | $ | (539) | | | ₤ | (556) | | | Goldman Sachs | | October 22, 2021 | | 17 | | | — | |
| Forward currency contract | | $ | (538) | | | € | (546) | | | Goldman Sachs | | October 22, 2021 | | 8 | | | — | |
| Forward currency contract | | $ | (390) | | | SEK | (392) | | | Goldman Sachs | | October 22, 2021 | | 3 | | | — | |
| Forward currency contract | | $ | (222) | | | € | (226) | | | Goldman Sachs | | October 22, 2021 | | 4 | | | — | |
| Forward currency contract | | $ | (218) | | | ₤ | (224) | | | Goldman Sachs | | October 22, 2021 | | 6 | | | — | |
| Forward currency contract | | $ | (55) | | | CAD | (55) | | | Goldman Sachs | | October 22, 2021 | | — | | | — | |
| Forward currency contract | | $ | 120 | | | CAD | 120 | | | Goldman Sachs | | October 22, 2021 | | — | | | — | |
| Forward currency contract | | $ | (1,473) | | | SEK | (1,493) | | | Goldman Sachs | | September 16, 2022 | | 21 | | | — | |
| Total | | | | | | | | | | | | $ | 1,735 | | | $ | (89) | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
Purchased options outstanding as of September 30, 2021 were as follows:
Options on Equity Indices — Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Price | | Expiration Date | | Counterparty | | Notional Amount | | Premium | | Fair Value |
| Put-SPDR S&P 500 ETF | | $ | 405 | | | 10/15/2021 | | The Options Clearing Corporation | | $ | 20,599 | | | $ | 314 | | | $ | 87 | |
| Put-New Fortress Energy, Inc. | | 25 | | 10/15/2021 | | The Options Clearing Corporation | | 2,220 | | | 39 | | | 40 | |
| Put-iShares iBoxx High Yield Corporate Bond ETF | | 82 | | 12/17/2021 | | The Options Clearing Corporation | | 6,999 | | | 38 | | | 34 | |
| Call-Antero Resources Corporation | | 21 | | 11/19/2021 | | The Options Clearing Corporation | | 340 | | | 21 | | | 23 | |
| Call-Chicago Board Options Exchange-VIX US | | 30 | | 10/20/2021 | | The Options Clearing Corporation | | 208 | | | 12 | | | 12 | |
| Total Purchased Options | | $ | 424 | | | $ | 196 | |
Written options outstanding as of September 30, 2021 were as follows:
Options on Equity Indices — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Price | | Expiration Date | | Counterparty | | Notional Amount | | Premium | | Fair Value |
| Call-Chicago Board Options Exchange-VIX US | | $ | 40 | | | 10/20/2021 | | The Options Clearing Corporation | | $ | (208) | | | $ | (7) | | | $ | (5) | |
| Put-iShares iBoxx High Yield Corporate Bond ETF | | 79 | | | 12/17/2021 | | The Options Clearing Corporation | | (6,999) | | | (23) | | | (24) | |
| Total Written Options | | $ | (30) | | | $ | (29) | |
Swap Agreements outstanding as of September 30, 2021 were as follows:
Swap Agreements: Centrally Cleared or Exchange Traded
Credit Default Swaps on Credit Indices - Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Payment Frequency | | Fixed Deal Pay Rate | | Expiration Date | | Exchange | | Notional Amount (2) | | Value (3) | | Upfront Premiums Paid (Received) | | Unrealized Appreciation (Depreciation) |
| AXL CDS USD SR 5Y | | Q | | 5.00% | | June 20, 2025 | | ICE | | $ | 250 | | | $ | (19) | | | $ | (2) | | | $ | (17) | |
| CDX.NA.HY S35 5Y | | Q | | 5.00% | | December 20, 2025 | | ICE | | 5,873 | | | (540) | | | (564) | | | 24 | |
| KSS CDS USD SR 5Y | | Q | | 1.00% | | December 20, 2025 | | ICE | | 62 | | | — | | | 7 | | | (7) | |
| Total Swap Agreements - Buy Protection: Centrally Cleared or Exchange Traded | | | | $ | (559) | | | $ | (559) | | | $ | — | |
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
Credit Default Swaps on Credit Indices - Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Payment Frequency | | Fixed Deal Pay Rate | | Expiration Date | | Exchange | | Notional Amount (2) | | Value (3) | | Upfront Premiums Paid (Received) | | Unrealized Appreciation (Depreciation) |
| TSLA CDS USD SR 5Y | | Q | | 1.00% | | June 20, 2026 | | ICE | | $ | 275 | | | $ | (2) | | | $ | 7 | | | $ | (9) | |
| Total Swap Agreements - Sell Protection: Centrally Cleared or Exchange Traded | | | | $ | (2) | | | $ | 7 | | | $ | (9) | |
Swap Agreements: Over the Counter
Credit Default Swaps on Credit Indices - Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Payment Frequency | | Fixed Deal Pay Rate | | Expiration Date | | Counterparty | | Notional Amount (2) | | Value (3) | | Upfront Premiums Paid (Received) | | Unrealized Appreciation (Depreciation) |
| CDX.NA.HY S33 5Y Tranche 25-35 | | Q | | 5.00% | | December 20, 2024 | | Goldman Sachs | | $ | 321 | | | $ | (39) | | | $ | (38) | | | $ | (1) | |
| CDX.NA.HY S35 5Y Tranche 15-25 | | Q | | 5.00% | | December 20, 2025 | | Goldman Sachs | | 3,105 | | | (249) | | | (209) | | | (40) | |
| CMBX.NA.BBB- S9 | | M | | 3.00% | | September 17, 2058 | | Goldman Sachs | | 1,030 | | | 79 | | | 246 | | | (167) | |
| JWN CDS USD SR 5Y | | Q | | 1.00% | | June 20, 2024 | | Goldman Sachs | | 210 | | | 1 | | | 12 | | | (11) | |
Total Swap Agreements - Buy Protection: Over the Counter | | | | $ | (208) | | | $ | 11 | | | $ | (219) | |
Credit Default Swaps on Credit Indices - Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Payment Frequency | | Fixed Deal Pay Rate | | Expiration Date | | Counterparty | | Notional Amount (2) | | Value (3) | | Upfront Premiums Paid (Received) | | Unrealized Appreciation (Depreciation) |
| Birch Grove CLO WH Bespoke | | Q | | 5.00% | | September 3, 2022 | | Goldman Sachs | | $ | 10,700 | | | $ | — | | | $ | — | | | $ | — | |
Total Swap Agreements - Sell Protection: Over the Counter | | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Swap Agreements | | | | $ | (769) | | | $ | (541) | | | $ | (228) | |
____________________________________________________
(1)If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.
(2)The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(3)The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
CION Ares Diversified Credit Fund
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except shares, percentages and as otherwise noted)
(4)If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
Abbreviations:
144A Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
CLO Collateralized Loan Obligation
Currencies:
€ Euro Currency
£ British Pounds
$ U.S. Dollars
AUD Australian Dollars
CAD Canadian Dollars
DKK Danish Krone
GBP British Pound
NOK Norwegian Krone
SEK Swedish Krone
USD U.S. Dollars
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
1. ORGANIZATION
CION Ares Diversified Credit Fund (the “Fund”) is a closed-end, diversified management investment company that is registered under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated thereunder, the “Investment Company Act”). The Fund is structured as an interval fund and continuously offers its shares. The Fund was organized as a Delaware statutory trust on June 21, 2016.
The Fund’s investment objective is to provide superior risk-adjusted returns across various market cycles by investing in a diversified portfolio of liquid and illiquid asset classes. The Fund seeks to capitalize on market inefficiencies and relative value opportunities throughout the entire global credit spectrum.
The Fund is externally managed by CION Ares Management, LLC (the “Adviser”) pursuant to an investment advisory and management agreement. The Adviser was registered as an investment adviser with the Securities and Exchange Commission (“SEC”) under the Investment Advisers Act of 1940 (the “Advisers Act”) on January 4, 2017. The Adviser is a joint venture between affiliates of Ares Management Corporation (“Ares Management”), a publicly traded, leading global alternative investment manager, and CION Investment Group, LLC (“CION”) and is controlled by Ares Management. The Adviser oversees the management of the Fund's activities and is responsible for making investment decisions for the Fund's portfolio. Ares Operations LLC (“Ares Operations”), a subsidiary of Ares Management, provides certain administrative and other services necessary for the Fund to operate.
2. SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation
The accompanying consolidated schedule of investments have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“GAAP”), and include the accounts of the Fund and its consolidated subsidiaries. The Fund is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. The consolidated financial statements reflect all adjustments and reclassifications, that, in the opinion of management, are necessary for the fair presentation of the results of operations and financial condition as of and for the periods presented. All significant intercompany balances and transactions have been eliminated.
Cash and Cash Equivalents
Cash and cash equivalents include funds from time to time deposited with financial institutions. Cash and cash equivalents are carried at cost, which approximates fair value.
Concentration of Credit Risk
The Fund places its cash and cash equivalents with financial institutions and, at times, cash held in money market accounts may exceed the Federal Deposit Insurance Corporation insured limit.
Investment Transactions
Investment transactions are recorded on the trade date. Realized gains or losses are measured by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment using the specific identification method without regard to unrealized gains or losses previously recognized, and include investments charged off during the period, net of recoveries. Unrealized gains or losses primarily reflect the change in investment values, including the reversal of previously recorded unrealized gains or losses when gains or losses are realized.
Investments for which market quotations are readily available are typically valued at such market quotations. In order to validate market quotations, the Fund looks at a number of factors to determine if the quotations are representative of fair value, including the source and nature of the quotations. Debt and equity securities that are not publicly traded or whose
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
market prices are not readily available are valued at fair value as determined in good faith by the Board in accordance with the Fund's valuation policy (the “Valuation Policy”). The Valuation Policy is reviewed and approved at least annually by the Board. The Adviser has been authorized by the Board to utilize independent third-party pricing and valuation services to assist in the valuation of each portfolio investment without a readily available market quotation in accordance with the Valuation Policy and a consistently applied valuation process.
As part of the valuation process for investments that do not have readily available market prices, the Adviser may take into account the following types of factors, if relevant, in determining the fair value of the Fund's investments: the enterprise value of a portfolio company (the entire value of the portfolio company to a market participant, including the sum of the values of debt and equity securities used to capitalize the enterprise at a point in time), the nature and realizable value of any collateral, the portfolio company's ability to make payments and its earnings and discounted cash flow, the markets in which the portfolio company does business, a comparison of the portfolio company's securities to any similar publicly traded securities, changes in the interest rate environment and the credit markets, which may affect the price at which similar investments would trade in their principal markets and other relevant factors. When an external event such as a purchase transaction, public offering or subsequent sale occurs, the Adviser considers the pricing indicated by the external event to corroborate its valuation.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of the Fund's investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that the Fund may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If the Fund was required to liquidate a portfolio investment in a forced or liquidation sale, the Fund could realize significantly less than the value at which the Fund has recorded it. In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the valuations currently assigned. All investments in securities are recorded at their fair value. See Note 3 for more information on the Fund's valuation process.
Interest Income Recognition
Interest income is recorded on an accrual basis and includes the accretion of discounts, amortization of premiums and payment-in-kind (“PIK”) interest. Discounts from and premiums to par value on investments purchased are accreted/amortized into interest income over the life of the respective security using the effective yield method. To the extent loans contain PIK provisions, PIK interest, computed at the contractual rate specified in each applicable agreement, is accrued and recorded as interest income and added to the principal balance of the loan. PIK interest income added to the principal balance is generally collected upon repayment of the outstanding principal. The amortized cost of investments represents the original cost adjusted for any accretion of discounts, amortization of premiums and PIK interest.
Loans are generally placed on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable doubt that principal or interest will be collected in full. Accrued and unpaid interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon the Fund’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest are paid or there is no longer any reasonable doubt that such principal or interest will be collected in full and, in the Fund's judgment, are likely to remain current. The Fund may make exceptions to this policy if the loan has sufficient collateral value (i.e., typically measured as enterprise value of the portfolio company) or is in the process of collection.
Collateralized loan obligation (“CLO”) equity investments recognize investment income by utilizing an effective interest methodology based upon an effective yield to maturity utilizing projected cash flows, as required by ASC Topic 325-40, Beneficial Interest in Securitized Financial Assets.
Dividend Income Recognition
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
Dividend income on preferred equity securities is recorded on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly traded portfolio companies. To the extent preferred equity securities contain PIK provisions, PIK dividends, computed at the contractual rate specified in each applicable agreement, are accrued and recorded as dividend income and added to the principal balance of the preferred equity security. PIK dividends added to the principal balance are generally collected upon redemption of the equity security.
Foreign Currency Transactions and Forward Currency Contracts
The Fund’s books and records are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis: (i) fair value of investment securities, other assets and liabilities at the exchange rates prevailing at the end of the period; and (ii) purchases and sales of investment securities, income and expense at the exchange rates prevailing on the respective dates of such transactions, income or expenses.
The Fund does not isolate that portion of the results of operations resulting from the changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included within the net realized and unrealized gain (loss) on investments in the consolidated statement of operations.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the difference between the amounts of income and expense items recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from the changes in fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
Investments in foreign companies and securities of foreign governments may involve special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include, among other things, revaluation of currencies, less reliable information about issuers, different transaction clearance and settlement practices, and potential future adverse political and economic developments. Moreover, investments in foreign companies and securities of foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies and the U.S. government.
The Fund may enter into forward currency contracts for operational purposes and to protect against adverse exchange rate fluctuations. A forward currency contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date. The Fund may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one currency to another. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using foreign currency exchange rates from an independent pricing service. The Fund is subject to the credit risk that the other party will not complete the obligations of the contract. The fair values of the forward currency contracts are obtained from an independent pricing source.
Derivative Instruments
The Fund values its derivatives at fair value with the unrealized gains or losses recorded in “net realized and unrealized gains (losses) on investments, from forward currency and derivative contracts” in the consolidated statement of operations.
Commitments and Contingencies
In the normal course of business, the Fund's investment activities involve executions, settlement and financing of various transactions resulting in receivables from, and payables to, brokers, dealers and the Fund's custodian. These activities may expose the Fund to risk in the event that such parties are unable to fulfill contractual obligations. Management does not anticipate any material losses from counterparties with whom it conducts business. Consistent with standard business practice, the Fund enters into contracts that contain a variety of indemnifications, and is engaged from time to time in various legal actions. The maximum exposure of the Fund under these arrangements and activities is unknown. However, the Fund expects
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
the risk of material loss to be remote.
Commitments to extend credit include loan proceeds the Fund is obligated to advance, such as delayed draws or revolving credit arrangements. Commitments generally have fixed expiration dates or other termination clauses. Unrealized gains or losses associated with unfunded commitments are recorded in the consolidated financial statements and reflected as an adjustment to the fair value of the related security in the Consolidated Schedule of Investments. The par amount of the unfunded commitments is not recognized by the Fund until it becomes funded.
Use of Estimates in the Preparation of Financial Statements
The preparation of financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates and such differences may be material.
3. FAIR VALUE OF FINANCIAL INSTRUMENTS
The Fund follows the provisions of ASC 820-10, Fair Value Measurements and Disclosures ("ASC 820-10"), which among other matters, requires enhanced disclosures about investments that are measured and reported at fair value. ASC 820-10 defines fair value, establishes a framework for measuring fair value in accordance with GAAP and expands disclosure of fair value measurements. ASC 820-10 determines fair value to be the price that would be received for an investment in a current sale, which assumes an orderly transaction between market participants on the measurement date. ASC 820-10 requires the Fund to assume that the portfolio investment is sold in its principal market to market participants or, in the absence of a principal market, the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact. In accordance with ASC 820-10, the Fund has considered its principal market as the market in which the Fund exits its portfolio investments with the greatest volume and level of activity. ASC 820-10 specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. In accordance with ASC 820-10, these inputs are summarized in the three broad levels listed below:
•Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
•Level 2—Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
•Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
In addition to using the above inputs in investment valuations, the Fund continues to employ a Valuation Policy that is approved by the Board that is consistent with the provisions of ASC 820-10 (See Note 2 for more information). Consistent with the Fund's Valuation Policy, it evaluates the source of inputs, including any markets in which the Fund's investments are trading (or any markets in which securities with similar attributes are trading), in determining fair value. The Fund's Valuation Policy considers the fact that because there may not be a readily available market value for the investments in the Fund's portfolio, therefore, the fair value of the investments may be determined using unobservable inputs.
The assets and liabilities classified as Level 1 or Level 2 are typically valued based on quoted market prices, forward foreign exchange rates, dealer quotations or alternative pricing sources supported by observable inputs. The Adviser obtains prices from independent pricing services which generally utilize broker quotes and may use various other pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. The Adviser is responsible for all inputs and assumptions related to the pricing of securities. The Adviser has internal controls in place that support its reliance on information received from third-party pricing sources. As part of its internal controls, the Adviser obtains, reviews, and tests information to corroborate prices received from third-party pricing sources. For any security, if market or dealer quotations are not readily available, or if the Adviser determines that a quotation of a security does not represent a fair value, then the security is valued at a fair value as determined in good faith by the Adviser and will be classified as Level 3. In such instances, the Adviser will use valuation techniques consistent with the
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
market or income approach to measure fair value and will give consideration to all factors which might reasonably affect the fair value.
The investments classified as Level 3 (other than as described below in the following paragraph) are typically valued using two different valuation techniques. The first valuation technique is an analysis of the enterprise value (“EV”) of the portfolio company. Enterprise value means the entire value of the portfolio company to a market participant, including the sum of the values of debt and equity securities used to capitalize the enterprise at a point in time. The primary method for determining EV uses a multiple analysis whereby appropriate multiples are applied to the portfolio company's EBITDA (generally defined as net income before net interest expense, income tax expense, depreciation and amortization). EBITDA multiples are typically determined based upon review of market comparable transactions and publicly traded comparable companies, if any. The Fund may also employ other valuation multiples to determine EV, such as revenues. The Fund may also use industry specific valuation analyses to determine enterprise value, such as capitalization rate analysis used in the real estate industry. The second method for determining EV uses a discounted cash flow analysis whereby future expected cash flows of the portfolio company are discounted to determine a present value using estimated discount rates (typically a weighted average cost of capital based on costs of debt and equity consistent with current market conditions). The EV analysis is performed to determine the value of equity investments, the value of debt investments in portfolio companies where the Fund has control or could gain control through an option or warrant security, and to determine if there is credit impairment for debt investments. If debt investments are credit impaired, an EV analysis may be used to value such debt investments; however, in addition to the methods outlined above, other methods such as a liquidation or wind down analysis may be utilized to estimate enterprise value. The second valuation technique is a yield analysis, which is typically performed for non-credit impaired debt investments in portfolio companies where the Fund does not own a controlling equity position. To determine fair value using a yield analysis, a current price is imputed for the investment based upon an assessment of the expected market yield for a similarly structured investment with a similar level of risk. In the yield analysis, the Fund considers the current contractual interest rate, the maturity and other terms of the investment relative to risk of the company and the specific investment. A key determinant of risk, among other things, is the leverage through the investment relative to the enterprise value of the portfolio company. As debt investments held by the Fund are substantially illiquid with no active transaction market, the Fund depends on primary market data, including newly funded transactions, as well as secondary market data with respect to high yield debt instruments and syndicated loans, as inputs in determining the appropriate market yield, as applicable.
The fair value of CLOs is estimated based on various valuation models from third-party pricing services. The provided prices are checked using internally developed models. The valuation models generally utilize discounted cash flows and take into consideration prepayment and loss assumptions, based on historical experience and projected performance, economic factors, the characteristics and condition of the underlying collateral, comparable yields for similar securities and recent trading activity. These securities are classified as Level 3.
Private asset-backed securities classified as Level 3 are typically valued using two different valuation techniques. The first valuation technique is an analysis of the forecasted cash flows of the security. The forecasted cash flows take into consideration prepayment and loss assumptions, based on historical experience and projected performance, economic factors, and the characteristics and condition of the underlying collateral. For equity securities, the projected cash flows are present valued using a market discount rate to determine the fair value. For debt securities, the analysis is used to determine if the borrower has the ability to repay its obligations. If it is determined that the borrower does have the ability to repay its obligations, the second valuation technique that is utilized is a yield analysis. To determine fair value using a yield analysis, a current price is imputed for the investment based upon an assessment of the expected market yield for a similarly structured investment with a similar level of risk. In the yield analysis, the Fund considers the current contractual interest rate, the maturity and other terms of the investment relative to risk of the borrower and the specific investment. As the debt investments are substantially illiquid with no active transaction market, the Fund depends on primary market data, including newly funded transactions, as inputs in determining the appropriate market yield, as applicable.
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
The following is a summary of the inputs used as of September 30, 2021, in valuing the Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | | | | |
| Level 1 - Quoted Prices | | Level 2 - Other Significant
Observable Inputs | | Level 3 - Significant Unobservable Inputs | | Total |
| Senior Loans | $ | — | | | $ | 584,927 | | | $ | 1,074,056 | | | $ | 1,658,983 | |
| Subordinated Loans | — | | | 37 | | | 29,911 | | | 29,948 | |
| Corporate Bonds | — | | | 150,901 | | | 1,968 | | | 152,869 | |
| Collateralized Loan Obligations | — | | | — | | | 173,155 | | | 173,155 | |
| Common Stocks | 2,343 | | | — | | | 8,930 | | | 11,273 | |
| Preferred Stocks | — | | | — | | | 72,923 | | | 72,923 | |
| Private Asset-Backed Debt | — | | | — | | | 17,081 | | | 17,081 | |
| Real Estate Debt | — | | | — | | | 5,105 | | | 5,105 | |
| Warrants | — | | | — | | | 2,960 | | | 2,960 | |
| Total Investments | $ | 2,343 | | | $ | 735,865 | | | $ | 1,386,089 | | | $ | 2,124,297 | |
| Derivative assets: | | | | | | | |
| Forward Currency Contracts | $ | — | | | $ | 1,735 | | | $ | — | | | $ | 1,735 | |
| Purchased Equity Options | 195 | | | — | | | — | | | 195 | |
| Credit Default Swaps | — | | | 80 | | | — | | | 80 | |
| Derivative liabilities: | | | | | | | |
| Corporate Bonds Sold Short | $ | — | | | $ | (1,952) | | | $ | — | | | $ | (1,952) | |
| Forward Currency Contracts | — | | | (89) | | | — | | | (89) | |
| Written Equity Options | (29) | | | — | | | — | | | (29) | |
| Credit Default Swaps | — | | | (849) | | | — | | | (849) | |
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
The following is a reconciliation of the Fund’s investments in which significant unobservable inputs (Level 3) were used in determining fair value for the nine months ended September 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Senior Loans | | Subordinated Loans | | Corporate Bonds | | Collateralized Loan Obligations | | Common Stocks | | Preferred Stocks | | Private Asset Backed Debt | | Real Estate Debt | | Warrants | | Total |
| Balance as of December 31, 2020 | $ | 600,554 | | | $ | 10,693 | | | $ | 2,811 | | | $ | 168,707 | | | $ | 2,624 | | | $ | 926 | | | $ | 9,067 | | | $ | 5,999 | | | $ | 558 | | | $ | 801,939 | |
| Purchases | 602,431 | | | 20,944 | | | 9,220 | | | 36,762 | | | 5,203 | | | 68,674 | | | 15,300 | | | 387 | | | 2,854 | | | 761,775 | |
| Sales and principal redemptions | (129,592) | | | (2,271) | | | (5,334) | | | (35,659) | | | (94) | | | (299) | | | (11,018) | | | (1,221) | | | — | | | (185,488) | |
| Net realized and unrealized gains (losses) | 6,178 | | | 520 | | | 173 | | | 3,303 | | | 1,197 | | | 3,622 | | | (870) | | | (72) | | | (452) | | | 13,599 | |
| Accrued discounts (premiums) | 1,923 | | | 25 | | | 27 | | | 42 | | | — | | | — | | | 12 | | | 12 | | | — | | | 2,041 | |
Transfers in to Level 3(a) | 5,307 | | | — | | | — | | | — | | | — | | | — | | | 4,590 | | | — | | | — | | | 9,897 | |
Transfers out of Level 3(a) | (12,745) | | | — | | | (4,929) | | | — | | | — | | | — | | | — | | | — | | | — | | | (17,674) | |
| Balance as of September 30, 2021 | $ | 1,074,056 | | | $ | 29,911 | | | $ | 1,968 | | | $ | 173,155 | | | $ | 8,930 | | | $ | 72,923 | | | $ | 17,081 | | | $ | 5,105 | | | $ | 2,960 | | | $ | 1,386,089 | |
| Net change in unrealized gains (losses) from investments held at September 30, 2021 | $ | 6,674 | | | $ | 489 | | | $ | 20 | | | $ | 3,360 | | | $ | 1,208 | | | $ | 3,476 | | | $ | (807) | | | $ | (94) | | | $ | 93 | | | $ | 14,419 | |
________________________________________
(a)Investments were transferred into and out of Level 3 during the nine months ended September 30, 2021. Transfers between Levels 2 and 3 were as a result of changes in the observability of significant inputs or available market data for certain portfolio companies.
CION Ares Diversified Credit Fund
Notes to Consolidated Schedule of Investments (continued)
September 30, 2021 (Unaudited)
(in thousands, except per share data, percentages and as otherwise noted)
The following table summarizes the quantitative inputs and assumptions used for investments in securities at fair value categorized as Level 3 in the fair value hierarchy as of September 30, 2021.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Fair Value | | Primary Valuation Techniques | | Inputs | | Estimated Range | | Weighted Average(a) |
Assets
Investment in securities
| | | | | | | | | | |
| Senior Loans | | $ | 1,037,525 | | | Yield Analysis | | Market Yield | | 3.0% - 54.7% | | 7.4% |
| Senior Loans | | 20,003 | | | Broker Quotes | | N/A | | N/A | | N/A |
| Senior Loans | | 16,528 | | | Other | | Recent Transaction Price | | $98 - $100 | | $99 |
| Subordinated Loans | | 29,911 | | | Yield Analysis | | Market Yield | | 8.9% - 19.6% | | 10.4% |
| Corporate Bonds | | 1,968 | | | Yield Analysis | | Market Yield | | 10.9% | | 10.9% |
| Collateralized Loan Obligations | | 168,086 | | | Broker Quotes | | N/A | | N/A | | N/A |
| Collateralized Loan Obligations | | 5,069 | | | Other | | Recent Transaction Price | | $89 - $99 | | $97 |
| Common Stocks | | 8,930 | | | EV Market Multiple Analysis | | EBITDA Multiple | | 2.6x - 26.8x | | 12.7x |
| Preferred Stocks | | 69,102 | | | EV Market Multiple Analysis | | EBITDA Multiple | | 1.3x - 35.0x | | 17.6x |
| Preferred Stocks | | 3,821 | | | Other | | Recent Transaction Price | | $1,045 | | $1,045 |
| Private Asset-Backed Debt | | 10,719 | | | Other | | Recent Transaction Price | | $98 - $100 | | $99 |
| Private Asset-Backed Debt | | 6,362 | | | Income (Other) | | Constant Default Rate,
Constant Prepayment Rate,
Recovery Rate | | 7.4% - 44.2%
0.0% - 20.0%
0.0% - 60.0% | | 7.4% - 44.2%
0.0% - 20.0%
0.0% - 60.0% |
| Real Estate Debt | | 5,105 | | | Yield Analysis | | Market Yield | | 14.0% - 20.0% | | 16.3% |
| Warrants | | 2,960 | | | EV Market Multiple Analysis | | EBITDA Multiple | | 1.3x - 11.0x | | 9.5x |
| Total Level 3 Investments | | $ | 1,386,089 | | | | | | | | | |
________________________________________
(a)Weighted averages are calculated based on fair value of investments.
Changes in market yields, discount rates or EBITDA multiples, each in isolation, may change the fair value of certain of the Fund’s investments. Generally, an increase in market yields or discount rates or decrease in EBITDA multiples may result in a decrease in the fair value of certain of the Fund’s investments.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the investments may fluctuate from period to period. Additionally, the fair value of the investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that the Fund may ultimately realize. Further, such investments are generally subject to legal and other restrictions on resale or otherwise are less liquid than publicly traded securities. If the Fund was required to liquidate a portfolio investment in a forced or liquidation sale, it could realize significantly less than the value at which the Fund has recorded it.
In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected in the valuations currently assigned.