1. ORGANIZATION

CION Grosvenor Infrastructure Fund (the “Fund”), a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is a non-diversified, closed-end management investment company organized on September 20, 2023. The Fund commenced operations on January 22, 2025. The Fund’s investment objective is to seek to provide current income and long-term capital appreciation.

The business operations of the Fund are managed and supervised under the direction of the Fund’s board of trustees (the “Board of Trustees”), subject to the laws of the State of Delaware and the Fund’s Amended and Restated Declaration of Trust (the “Declaration of Trust”). As of March 31, 2025, the Board of Trustees was comprised of six (6) trustees, (the "Trustees"), a majority of whom are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”). The Board of Trustees has overall responsibility for the management and supervision of the business operations of the Fund. The Board of Trustees is comprised of the same members serving as the board of directors of the Master Fund (the “Master Fund Board”). The Master Fund Board has oversight responsibility over the management and operations of the Master Fund. The consolidated financial statements of the Master Fund, including the consolidated schedule of investments, are attached to this report and should be read in conjunction with the Fund's financial statements. As of March 31, 2025, the Fund held a 0.04% ownership interest in the Master Fund.

The Fund offers five separate classes of shares of beneficial interest (“Shares”) designated as Class S Shares, Class I Shares, Class U Shares, Class U-2 Shares and Class D Shares (each a “Class”). Each class of Shares is subject to different fees and expenses.

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the prospectus of the Fund.

2. SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

The accompanying financial statements have been prepared on an accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“GAAP”), and include the accounts of the Master Fund and its consolidated subsidiaries. The Master Fund is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) Topic 946 – Financial Services – Investment Companies. The 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. Actual results may differ from those estimates and such differences may be material. All financial information is presented in U.S. dollars, the functional currency of the Fund.

Investment in Master Fund

The Fund’s investment in the Master Fund is recorded at fair value and is based upon the Fund’s percentage ownership of the net assets of the Master Fund. The performance of the Fund is directly affected by the performance of the Master Fund. In accordance with GAAP, the Fund has adopted Master Feeder accounting, where by the Fund records its portion of income, expense, realized gains and losses, and change in unrealized appreciation and depreciation as allocated by its ownership interest in the Master Fund. Valuation policies for securities held by the Master Fund are discussed in Note 3 of the Master Fund’s Notes to Consolidated Financial Statements, which are attached.

Accounting Estimates

The preparation of the financial statements in conformity with GAAP requires management to make estimates, assumptions and judgments that affect the reported amounts and disclosures in the financial statements and accompany notes. Actual results may differ from those estimates and such differences may be material.

Cash and Cash Equivalents

Cash consists of deposits held at major financial institutions. The Fund is subject to credit risk should the financial institutions be unable to fulfill their obligations. Cash equivalents consist of money market funds. These money market funds primarily invest into U.S. government treasury securities and are managed in a way to preserve a stable net asset value ("NAV") of $1.00 per share; however there is no guarantee that the value will not drop below $1.00 per share. Money market funds are recorded at fair value, which is their published NAV and considered Level 1 assets under ASC 820, Fair Value Measurements ("ASC 820"). At times, cash held in depository or money market accounts may exceed the Federal Deposit Insurance Corporation insured limit. There are no restrictions on cash.

Organizational and Offering Expenses

During the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, the Fund did not incur organizational costs. All organizational costs were expensed as incurred by the Master Fund, advanced by the Adviser and are subject to recoupment by the Adviser from the Master Fund as described in Note 4.

During the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, the Fund did not incur offering costs. All offering costs were incurred at the Master Fund. Offering costs are treated as deferred charges and, upon Commencement of Operations, amortized over a 12-month period using the straight-line method. Offering costs include, among other things, (i) legal, accounting, printing and other expenses of the Master Fund and (ii) legal, accounting, printing and other expenses of the Fund. The Master Fund will continue to incur offering costs, including offering costs of the Fund, due to its continuously offered status. Ongoing offering costs will be expensed as incurred.

All offering costs of the Fund paid by the Adviser or its affiliates, including offering costs of the Fund borne by the Master Fund, shall be subject to recoupment pursuant to the Expense Limitation and Reimbursement Agreement (defined below). See Note 4.

Income and Expense Recognition

Dividend and interest income, if any, are recorded on an accrual basis. In general, dividend income is recorded on the record date except for publicly traded securities in which case the ex-dividend date is used. The Fund assesses the collectability of the accrued interest based on the Adviser’s judgment of the likelihood of receipt based on investment specific factors. Expenses, are recorded on an accrual basis based on contractual agreements and invoices received between the Fund and its service providers. Expenses for services not yet invoiced are estimated by the Fund’s Adviser. Expenses, including management fees and waivers/reimbursements pursuant to Expense Limitation and Reimbursement Agreement, are calculated daily based on the average net assets of the Fund. See Note 4. Income from cash and cash equivalents is accrued daily.

3. VALUATION OF INVESTMENTS

The Fund records its investment in the Master Fund at a value based on the NAV per Share of the Master Fund. Valuation policies for investments held by the Master Fund are discussed in Note 3 of the Master Fund’s Notes to Consolidated Financial Statements.

The amounts shown in the accompanying financial statements include adjustments in accordance with accounting principles generally accepted in the United States of America and known through the date of issuance of these financial statements as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

4. INVESTMENT ADVISORY AND OTHER AGREEMENTS

The Board of Trustees has entered into a management agreement on behalf of the Fund with the Adviser (the “Feeder Fund Management Agreement”) and the Master Fund Board has entered into a management agreement on behalf of the Master Fund with the Adviser (the “Management Agreement” and, together with the Feeder Fund Management Agreement, the “Management Agreements”) which became effective on November 12, 2024, to provide management and administrative services necessary for the day-to-day operation of the Fund and the Master Fund, respectively. Pursuant to an investment sub-advisory agreement entered into between the Adviser, the Sub-Adviser and the Master Fund (the “Sub-Advisory Agreement”), the Sub-Adviser, subject to the oversight of the Adviser, is responsible for providing portfolio management services to the Master Fund and pursuant to an investment sub-advisory agreement to be entered into between the Adviser, the Sub-Adviser and the Fund (the “Feeder Fund Sub-Advisory Agreement” and, together with the Sub-Advisory Agreement, the “Sub-Advisory Agreements”), the Sub-Adviser, subject to the oversight of the Adviser, is responsible for providing portfolio management services to the Fund. The Feeder Fund Management Agreement provides that the Adviser will not receive a management fee on any assets of the Fund that are invested in the Master Fund. For any assets of the Fund that are not invested in the Master Fund, the Feeder Fund Management Agreement provides that the Adviser will be entitled to a management fee that is calculated in the same manner as the Management Fee.

Advisory Fee

The Master Fund pays the Adviser a Advisory Fee that is calculated and payable monthly in arrears at the annual rate of 1.60% of the average daily value of the Master Fund’s net assets.

Administrative Reimbursements

In addition to advisory services, the Adviser or any of its affiliates may provide certain administration services, including accounting, legal, compliance, clerical or other administrative services to the Fund at the request of the Fund. The Adviser is entitled to reimbursement by the Fund of the Adviser’s cost of providing the Fund with such non-advisory services using a methodology for determining costs approved by the Board of Trustees. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, all administrative reimbursements were incurred at the Master Fund.

Expense Limitation and Reimbursement Agreement

The Adviser has entered into an expense limitation and reimbursement agreement (the “Expense Limitation and Reimbursement Agreement”) with the Fund for a one-year term beginning on the initial closing date for subscriptions for Shares and ending on the one-year anniversary thereof (the “Limitation Period”). The Adviser may extend the Limitation Period for a period of one year on an annual basis.

The Expense Limitation and Reimbursement Agreement limits the amount of the Fund’s aggregate Operating Expenses (defined below) borne by the Fund (including the Fund’s share of the expenses of the Master Fund) in respect of each class of Shares during the Limitation Period to an amount not to exceed 1.00% for Class I shares, Class S shares, Class U shares, Class U-2 shares and Class D shares, on an annualized basis, of the Fund’s daily net assets (the “Expense Cap”).

“Operating Expenses” are: organizational and offering costs, legal expenses not related to transactions (including independent trustees’ counsel); marketing expenses; shareholder communications, networking and platform fees, insurance; audit fees; third-party due diligence fees; trustee fees; printing fees; transfer agent fees; third-party and internal administrative and valuation expenses; and custody expenses.

To the extent the Fund’s aggregate Operating Expenses exceed the Expense Cap, the Adviser will waive the Management Fee or the Adviser or its affiliates may pay or reimburse the Fund for expenses to the extent necessary to eliminate such excess. The Adviser or its affiliates may also directly pay expenses on behalf of the Fund and waive reimbursement under the Expense Limitation and Reimbursement Agreement.

To the extent that the Adviser waives the Management Fee, or the Adviser or its affiliates reimburse expenses or pay expenses directly on behalf of the Fund, such amounts are subject to recoupment from the Fund for a period not to exceed three years from the month in which such fees and expenses were waived, reimbursed or paid, even if such recoupment occurs after the termination of the Limitation Period. However, the Adviser and its affiliates may only recoup the waived fees, reimbursed expenses or directly paid expenses in respect of the applicable class of Shares if the aggregate Operating Expenses have fallen to a level below the Expense Cap and the recouped amount does not raise the aggregate level of ordinary Operating Expenses in the month of recoupment to a level that exceeds any Expense Cap applicable at such time. The Expense Limitation and Reimbursement Agreement may be terminated only by the Board of Trustees on notice to the Adviser.

For a period not to exceed three years from the month in which the Adviser or its affiliates have waived, reimbursed or paid expenses, the Adviser may recoup such amounts waived, reimbursed or paid, even if such recoupment occurs after the termination of the Limitation Period, if (a) the Fund’s Operating Expenses (after recoupment) has fallen to a level below the Expense Cap in effect at the time of the recoupment, and (b) the recouped amount does not raise the aggregate level of ordinary Operating Expenses in respect of Shares in the month of recoupment to a level that exceeds any Expense Cap applicable at such time. For the period ended March 31, 2025, the Adviser and/or its affiliates waived and reimbursed expenses in the amount of $15,409, which is reflected in fees waived and reimbursed on the Statement of Operations, and are subject for recoupment. At March 31, 2025, the amounts outlined below are available for recoupment:

6. DISTRIBUTION, CUSTODY AND ADMINISTRATION

Custodian

The Bank of New York Mellon (“BNY Mellon”) serves as the Fund’s custodian. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, all costs for these services were incurred at the Master Fund.

Distributor

ALPS Distributors, Inc. (the “Distributor”) serves as the Fund’s principal underwriter and act as distributor of the Fund’s shares on a best efforts basis, subject to various conditions. The Fund’s shares are offered for sale through the Distributor at NAV plus the applicable sales load. No upfront sales load will be paid with respect to Class I Shares, Class U Shares and Class D Shares. Sales loads with respect to Class S Shares and Class U-2 Shares may be charged at a maximum amount of 3.50% and 2.50% of the amount invested, respectively. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, all costs incurred to the Distributor for these services were incurred at the Master Fund. The Fund may enter into broker-dealer selling agreements with other broker dealers for the sale and distribution of the Fund’s Shares. Class S Shares, Class U Shares, Class U-2 Shares and Class D Shares will pay a distribution and servicing fee (“Distribution and Servicing Fee”) that will accrue at an annual rate equal to 0.85%, 0.75%, 0.75% and 0.25%, respectively, of the Fund’s average daily net assets attributable to such Class of Shares and is payable on a quarterly basis. The Fund may use these fees, in respect of the relevant Class, to compensate the Fund’s Distributor and/or other qualified recipients for distribution-related expenses and providing ongoing services in respect of clients with whom they have distributed such Class of Shares. Class I Shares are not subject to the Distribution and Servicing Fee.

The Fund may also enter into direct agreements with financial intermediaries for the distribution of Fund Shares. Expenses for such amounts are included as “Other” on the Statement of Operations. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, such amounts have only occurred at Class I Shares.

Fund Administration

ALPS Fund Services, Inc. (“ALPS”) serves as the Fund’s administrator and provides certain administrative services necessary for the operation of the Fund, including maintaining certain Fund books and records, providing accounting and tax services and preparing certain regulatory filings. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, all costs for these services were incurred at the Master Fund.

Transfer Agent

SS&C GIDS, Inc (“SS&C GIDS”) serves as the Fund’s distribution paying agent, transfer agent and registrar. ALPS and SS&C GIDS are wholly owned subsidiaries of SS&C Technologies Holdings, Inc., a publicly traded company listed on the NASDAQ Global Select Market. For the period from January 22, 2025 (Commencement of Operations) to March 31, 2025, all costs for these services were incurred at the Master Fund.

8. INDEMNIFICATIONS

The Fund indemnifies its officers and Board of Trustees for certain liabilities that may arise from the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

9. DIVIDEND REINVESTMENT PLAN

The Fund operates under a dividend reinvestment plan (“DRIP”) administered by SS&C GIDS. Pursuant to the DRIP, the Fund’s distributions, net of any applicable U.S. withholding tax, are reinvested in the same class of Shares of the Fund.

Shareholders automatically participate in the DRIP, unless and until an election is made to withdraw from the plan on behalf of such participating shareholder. A shareholder who does not wish to have distributions automatically reinvested may terminate participation in the DRIP at any time by written instructions to that effect to SS&C GIDS. Shareholders who elect not to participate in the DRIP will receive all distributions in cash paid to the shareholder of record (or, if the Shares are held in street or other nominee name, then to such nominee). Such written instructions must be received by SS&C GIDS 30 days prior to the record date of the distribution or the shareholder will receive such distribution in Shares through the DRIP. Under the DRIP, the Fund’s distributions to shareholders are automatically reinvested in full and fractional Shares as described below.

When the Fund declares a distribution, SS&C GIDS, on the shareholder’s behalf, will receive additional authorized Shares from the Fund either newly issued or repurchased from shareholders by the Fund and held as treasury stock. The number of Shares to be received when distributions are reinvested will be determined by dividing the amount of the distribution by the Fund’s NAV per Share for the relevant class of Shares.

SS&C GIDS will maintain all shareholder accounts and furnish written confirmations of all transactions in the accounts, including information needed by shareholders for personal and tax records. SS&C GIDS will hold Shares in the account of the shareholders in non-certificated form in the name of the participant, and each shareholder’s proxy, if any, will include those Shares purchased pursuant to the DRIP.

In the case of shareholders, such as banks, brokers or nominees, that hold Shares for others who are beneficial owners participating under the DRIP, SS&C GIDS will administer the DRIP on the basis of the number of Shares certified from time to time by the record shareholder as representing the total amount of Shares registered in the shareholder’s name and held for the account of beneficial owners participating under the DRIP.

Neither SS&C GIDS nor the Fund shall have any responsibility or liability beyond the exercise of ordinary care for any action taken or omitted pursuant to the DRIP, nor shall they have any duties, responsibilities or liabilities except such as expressly set forth herein. Neither shall they be liable hereunder for any act done in good faith or for any good faith omissions to act, including, without limitation, failure to terminate a participant’s account prior to receipt of written notice of his or her death or with respect to prices at which Shares are purchased or sold for the participants account and the terms on which such purchases and sales are made, subject to applicable provisions of the federal securities laws.

The automatic reinvestment of distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends. The Fund may elect to make non-cash distributions to shareholders. Such distributions are not subject to the DRIP, and all shareholders, regardless of whether or not they are participants in the DRIP, will receive such distributions in additional Shares of the Master Fund.

The Fund reserves the right to amend or terminate the DRIP. There is no direct service charge to participants with regard to purchases under the DRIP; however, the Fund reserves the right to amend the DRIP to include a service charge payable by the participants.

10. INVESTMENT TRANSACTIONS

There were no purchases or sales of securities (including short-term and U.S. Government obligations) for the period from January 22, 2025 (Commencement of Operations) to March 31, 2025. There were $100,697 of contributions and no repurchases from the CION Grosvenor Infrastructure Master Fund, LLC during the period from January 22, 2025 (Commencement of Operations) to March 31, 2025.

11. RELATED PARTY TRANSACTIONS

The Adviser is a related party. Fees payable to this party are disclosed in Note 4, Investment Advisory and Other Agreements, and the accrued related party fee amounts are disclosed on the Statement of Assets and Liabilities.

The Master Fund has received exemptive relief from the SEC that, to the extent the Master Fund relies on such relief, permits it to (among other things) co-invest with certain other persons, including certain affiliates of the Sub-Adviser and certain public or private funds managed by the Sub-Adviser and its affiliates, subject to certain terms and conditions. The exemptive relief from the SEC with respect to co-investments imposes extensive conditions on any co-investments made in reliance on such relief.

13. SUBSEQUENT EVENTS

The Fund has adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. The Adviser has evaluated the Fund’s related events and transactions that occurred through the date of issuance of the Fund’s financial statements. There were no other events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Fund’s financial statements or the accompanying notes.