CIM Real Assets & Credit Fund
Schedule of Investments
December 31, 2021
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Bank Loans (18.05%)(a) | | | |
| Chemicals (1.55%) | | | |
| Molded Devices, Inc., Delayed Draw Term Loan(b) | | 11/01/2026 | | 1M US L + 6.00% | | $ | 277,778 | | | $ | 276,389 | |
| Molded Devices, Inc., Revolver(b) | | 11/01/2026 | | 1M US L + 6.00% | | | 185,185 | | | | 183,333 | |
| Molded Devices, Inc., Term Loan(b) | | 11/01/2026 | | 1M US L + 6.00% | | | 1,537,037 | | | | 1,521,667 | |
| Total Chemicals | | | | | | | | | | | 1,981,389 | |
| | | | | | | | | | | | | |
| Consumer, Non-cyclical (1.13%) | | | | | | | | | | | | |
| RC Buyer, Inc., Second Lien Initial Term Loan(b) | | 07/30/2029 | | 3M US L + 6.50% | | | 1,016,949 | | | | 1,019,491 | |
| Spring Education Group, Inc., Second Lien Initial Term Loan(b) | | 07/30/2026 | | 3M US L + 8.25% | | | 430,240 | | | | 417,333 | |
| Total Consumer, Non-cyclical | | | | | | | | | | | 1,436,824 | |
| | | | | | | | | | | | | |
| Healthcare Equipment and Supplies (2.11%) | | | | | | | | | | | | |
| Kreg LLC, Revolver(b) | | 12/20/2026 | | L + 6.25% | | | 271,739 | | | | 269,022 | |
| Kreg LLC, Term Loan(b) | | 12/20/2026 | | L + 6.25% | | | 2,500,000 | | | | 2,423,750 | |
| Total Healthcare Equipment and Supplies | | | | | | | | | | | 2,692,772 | |
| | | | | | | | | | | | | |
| Healthcare Providers and Services (5.90%) | | | | | | | | | | | | |
| Baart Programs, Inc., Second Lien Term Loan(b) | | 06/11/2028 | | 3M US L + 8.50% | | | 2,189,394 | | | | 2,178,448 | |
| Honor HN Buyer, Inc., Delayed Draw Term Loan(b) | | 10/15/2027 | | L + 6.00% | | | 720,475 | | | | 720,475 | |
| Honor HN Buyer, Inc., Revolver(b) | | 10/15/2027 | | L + 6.00% | | | 132,013 | | | | 132,013 | |
| Honor HN Buyer, Inc., Term Loan(b) | | 10/15/2027 | | L + 6.00% | | | 1,147,512 | | | | 1,125,334 | |
| MedMark Services, Inc., Second Lien Term Loan(b) | | 06/11/2028 | | 3M US L + 8.50% | | | 378,788 | | | | 376,894 | |
| One GI Intermediate LLC, Revolver Upsize(b) | | 12/22/2025 | | L + 6.75% | | | 333,333 | | | | 333,333 | |
| One GI Intermediate LLC, Tranche B Delayed Draw Term Loan(b) | | 12/22/2025 | | L + 6.75% | | | 1,750,000 | | | | 1,750,000 | |
| One GI Intermediate LLC, Tranche C Delayed Draw Term Loan(b) | | 12/22/2025 | | L + 6.75% | | | 916,667 | | | | 916,667 | |
| Total Healthcare Providers and Services | | | | | | | | | | | 7,533,164 | |
| | | | | | | | | | | | | |
| Hotels, Restaurants & Leisure (3.74%) | | | | | | | | | | | | |
| SS Acquisition LLC, Delayed Draw Term Loan(b) | | 12/30/2026 | | L + 6.88% | | | 1,800,000 | | | | 1,800,000 | |
| SS Acquisition LLC, Term Loan(b) | | 12/30/2026 | | L + 6.50% | | | 3,000,000 | | | | 2,970,000 | |
| Total Hotels, Restaurants & Leisure | | | | | | | | | | | 4,770,000 | |
| | | | | | | | | | | | | |
| Industrial (0.36%) | | | | | | | | | | | | |
| Energy Acquisition LP, Second Lien Initial Term Loan(b) | | 06/26/2026 | | 2M US L + 8.50% | | | 500,000 | | | | 466,563 | |
| | | | | | | | | | | | | |
| Services, Business (0.78%) | | | | | | | | | | | | |
| Convergint Technologies LLC, Second Lien Term Loan(b) | | 03/30/2029 | | 1M US L + 6.75% | | | 999,970 | | | | 1,002,470 | |
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Technology (2.48%) | | | |
| Redstone HoldCo 2 LP, Second Lien Initial Term Loan(b) | | 04/27/2029 | | 3M US L + 7.75% | | $ | 800,000 | | | $ | 744,000 | |
| RumbleOn, Inc., Delayed Draw Term Loan(b) | | 08/31/2026 | | L + 8.25% | | | 750,000 | | | | 750,000 | |
| RumbleON, Inc., First Lien Term Loan(b) | | 08/31/2026 | | L + 8.25% | | | 1,750,000 | | | | 1,673,000 | |
| Total Technology | | | | | | | | | | | 3,167,000 | |
| | | | | | | | | | | | | |
| TOTAL BANK LOANS (Cost $23,047,155) | | | | | | | | | | | 23,050,182 | |
| | | | | | | | | | | | | |
| Collateralized Loan Obligations - Debt (15.21%)(a) | | | | | | | | | | | | |
| Allegro CLO XII, Ltd., Class E(c) | | 01/21/2032 | | 3M US L + 7.10% | | | 1,000,000 | | | | 1,002,431 | |
| Barings Middle Market CLO, Ltd. 2021-I, Class D(c) | | 07/20/2033 | | 3M US L + 8.65% | | | 1,000,000 | | | | 1,008,146 | |
| Flatiron CLO 20, Ltd., Class E(c) | | 11/20/2033 | | 3M US L + 7.85% | | | 500,000 | | | | 510,264 | |
| Ivy Hill Middle Market Credit Fund XVIII, Ltd., Class E(c) | | 04/22/2033 | | 3M US L + 7.75% | | | 2,000,000 | | | | 1,927,194 | |
| LCM 31, Ltd., Class E(c) | | 01/20/2032 | | 3M US L + 7.08% | | | 1,250,000 | | | | 1,255,765 | |
| Madison Park Funding XLVII, Ltd., Class E(c) | | 01/19/2034 | | 3M US L + 7.46% | | | 600,000 | | | | 610,710 | |
| MCF CLO VII LLC, Class ER(c) | | 07/20/2033 | | 3M US L + 9.15% | | | 2,500,000 | | | | 2,520,896 | |
| Monroe Capital Mml Clo X, Ltd., Class E(c) | | 08/20/2031 | | 3M US L + 8.85% | | | 2,050,000 | | | | 2,049,755 | |
| Northwoods Capital 25, Ltd., Class E(c) | | 07/20/2034 | | 3M US L + 7.14% | | | 2,250,000 | | | | 2,146,998 | |
| OCP CLO 2020-20, Ltd., Class E(c) | | 10/09/2033 | | 3M US L + 7.66% | | | 500,000 | | | | 506,964 | |
| PennantPark CLO, Ltd., Class E(c) | | 10/22/2032 | | 3M US L + 8.14% | | | 3,000,000 | | | | 3,016,015 | |
| Regatta Funding LP 2013-2A, Class DR2(c) | | 01/15/2029 | | 3M US L + 6.95% | | | 400,000 | | | | 396,070 | |
| Saratoga Investment Corp. CLO 2013-1, Ltd., Class F1R3(c) | | 04/20/2033 | | 3M US L + 10.00% | | | 2,000,000 | | | | 1,956,978 | |
| VCP CLO II, Ltd., Class E(c) | | 04/15/2031 | | 3M US L + 8.40% | | | 500,000 | | | | 506,121 | |
| | | | | | | | | | | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - DEBT (Cost $19,049,479) | | | | | | | | | | | 19,414,307 | |
| | | | | | | | | | | | | |
| Collateralized Loan Obligations - Equity (9.34%)(a)(d) | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| Apex Credit Clo 2021, Ltd., Class SUB(b)(c) | | 07/18/2034 | | Estimated yield of 14.53% | | | 2,980,000 | | | | 2,569,692 | |
| ArrowMark Colorado Holdings, Class SUB(c) | | 01/25/2035 | | 16.90% | | | 3,750,000 | | | | 2,718,750 | |
| Atlas Senior Loan Fund XVII, Ltd., Class SUB(b)(c) | | 10/20/2034 | | 15.67% | | | 3,000,000 | | | | 2,620,751 | |
| LCM 31, Ltd., Class INC(b)(c) | | 01/20/2032 | | 21.35% | | | 250,000 | | | | 216,661 | |
| Marble Point CLO XXI, Ltd., Class INC(b)(c) | | 10/17/2051 | | 14.36% | | | 2,750,000 | | | | 2,368,184 | |
| Trinitas Clo VIII, Ltd., Class SUB(b)(c) | | 07/20/2031 | | 22.08% | | | 2,300,000 | | | | 1,428,088 | |
| | | | | | | | | | | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - EQUITY (Cost $11,909,456) | | | | | | | | | | | 11,922,126 | |
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Commercial Mortgage-Backed Securities (4.90%) | | | | | | | | | | | | |
| Campus Drive Secured Lease-Backed Pass-Through Trust, Series C(b)(c) | | 06/15/2058 | | 6.91% | | $ | 3,715,649 | | | $ | 3,347,800 | |
| Capital Funding Mortgage Trust 2021-21, Class B(a)(c) | | 11/15/2023 | | 1M US L + 12.25% | | | 500,000 | | | | 500,000 | |
| CSMC 2020-TMIC, Class C(a)(c) | | 11/15/2023 | | 1M US L + 6.75% | | | 400,000 | | | | 412,147 | |
| TWO VA Repack Trust Class B-2, Series B2(b)(c)(e) | | 11/15/2033 | | 0.00% | | | 1,811,000 | | | | 735,085 | |
| VA Gilbert AZ Subordinated Note Lease-Backed Pass-Through Trust(b)(c) | | 03/15/2034 | | 13.00% | | | 189,508 | | | | 259,247 | |
| Wells Fargo Commercial Mortgage Trust 2021-FCMT, Class F(a)(c) | | 05/15/2031 | | 1M US L + 5.90% | | | 1,000,000 | | | | 1,001,007 | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $5,848,464) | | | | | | | | | | | 6,255,286 | |
| | | | | | | | | | | | | |
| Direct Real Estate (27.68%) | | | | | | | | | | | | |
| EPIC Dallas(b)(f)(g) | | N/A | | N/A | | | N/A | | | | 16,347,637 | |
| Sora Multifamily Residential Property(b)(g) | | N/A | | N/A | | | N/A | | | | 13,415,688 | |
| Vale at the Parks - DC(b)(f)(g) | | N/A | | N/A | | | N/A | | | | 5,569,976 | |
| TOTAL DIRECT REAL ESTATE (Cost $32,010,822) | | | | | | | | | | | 35,333,301 | |
| | | | | | | | | | | | | |
| Real Estate-Related Securities (11.47%)(a) | | | | | | | | | | | | |
| Mortgage Securities (7.69%) | | | | | | | | | | | | |
| Society Las Olas - PMG-Greybook Riverfront I LLC(b) | | 10/07/2023 | | 1.47% | | | 9,886,684 | | | | 9,817,392 | |
| | | | | | | | | | | | | |
| Preferred Units (3.78%) | | | | | | | | | | | | |
| Society Las Olas - 301 SW 1st Avenue Holdings LLC(b) | | 09/23/2023 | | 8.80% | | | 4,867,648 | | | | 4,827,209 | |
| | | | | | | | | | | | | |
| TOTAL REAL ESTATE-RELATED SECURITIES (Cost $14,618,840) | | | | | | | | | | | 14,644,601 | |
| | | | | | | | | | | | | |
| Loan Accumulation Facility (1.65%)(a)(d) | | | | | | | | | | | | |
| Dryden 98 CLO, Ltd.(b) | | 12/13/2022 | | 13.50% | | | 2,100,000 | | | | 2,100,000 | |
| | | | | | | | | | | | | |
| TOTAL LOAN ACCUMULATION FACILITY (Cost $2,100,000) | | | | | | | | | | | 2,100,000 | |
| | | Shares | | | Value | |
| Common Stocks (2.23%) | | | | | | | | |
| CIM Commercial Trust Corp.(f) | | | 388,344 | | | | 2,854,328 | |
| TOTAL COMMON STOCKS (Cost $3,106,362) | | | | | | | 2,854,328 | |
| | | | | | | | | |
| Warrants (0.09%) | | | | | | | | |
| RumbleON, Inc., Expires 2/28/2023, Strike Price $33.00(b) | | | 7,576 | | | | 114,145 | |
| TOTAL WARRANTS (Cost $83,469) | | | | | | | 114,145 | |
| | | Shares | | | Value | |
| Short Term Investments (7.91%) | | | | | | | | |
| First American Treasury Obligations Fund, 0.010%(h) (Cost $10,099,146) | | | 10,099,146 | | | $ | 10,099,146 | |
| TOTAL SHORT TERM INVESTMENTS (Cost $10,099,146) | | | | | | | 10,099,146 | |
| | | | | | | | | |
| TOTAL INVESTMENTS 98.53% (Cost $121,873,193) | | | | | | $ | 125,787,422 | |
| | | | | | | | | |
| Other Assets In Excess Of Liabilities 1.47% | | | | | | | 1,868,701 | |
| | | | | | | | | |
| NET ASSETS (100.00%) | | | | | | $ | 127,656,123 | |
| (a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of December 31, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. |
| (b) | Fair value of this security was determined using significant, unobservable inputs and was determined in good faith under the procedures approved by the Fund's Board of Trustees. |
| (c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Total market value of Rule 144A securities amounts to $37,591,719, which represented approximately 29.45% of net assets as of December 31, 2021. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. |
| (d) | CLO subordinated notes are residual positions in the CLO vehicle. CLO subordinated notes are entitled to distributions that are generally equal to the residual cash flows of the underlying securities less contractual payments to debt holders and fund expenses. The effective yield is estimated based upon the amount and timing of these distributions in addition to the estimated amount of terminal distribution. Effective yields for the CLO equity positions are updated generally once a quarter in connection with a transaction, such as an add-on purchase, refinancing or reset. The estimated yield and investment cost may ultimately not be realized. Estimated yields are periodically adjusted based on information reported by the CLO as of the date of determination. |
| (e) | Zero coupon bond. |
| (f) | Affiliated investments pursuant to the 1940 Act. See Note 5 for more information. |
| (g) | Non-income producing investment. |
| (h) | Money market fund; interest rate reflects seven-day yield as of December 31, 2021. |
We do not "control" and are not an "affiliate" of any of our portfolio investments, each as defined in the Investment Company Act of 1940, as amended (the "1940 Act"). In general, under the 1940 Act, we would be presumed to "control" a portfolio investment if we owned 25% or more of its voting securities and would be an "affiliate" of a portfolio investment if we owned 5% or more of its voting securities.
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
Reference Rates:
1M US L - 1 Month LIBOR as of December 31, 2021 was 0.10%
2M US L - 2 Month LIBOR as of December 31, 2021 was 0.15%
3M US L - 3 Month LIBOR as of December 31, 2021 was 0.21%
See Notes to Quarterly Schedule of Investments.
TOTAL RETURN SWAP CONTRACTS(a)
| Counterparty | | Reference Entity/Obligation | | Notional Amount | | | Fund Pays | | Termination Date | | Value | | | Net Unrealized Appreciation | |
| Citibank, N.A. | | 1011778 B.C. Unlimited Liability Company, 1M US L + 1.75 | | $ | 194,192 | | | 3M US L + 1.35% | | 11/19/2026 | | $ | 194,653 | | | $ | 461 | |
| Citibank, N.A. | | Acrisure LLC, 1M US L + 4.25(b) | | | 148,875 | | | 3M US L + 1.35% | | 02/15/2027 | | | 150,188 | | | | 1,313 | |
| Citibank, N.A. | | Acrisure LLC, 3M US L + 3.75(b) | | | 552,558 | | | 3M US L + 1.35% | | 02/15/2027 | | | 558,140 | | | | 5,582 | |
| Citibank, N.A. | | ADMI Corp. TLB3 1L, 1M US L + 3.50 | | | 802,419 | | | 3M US L + 1.35% | | 12/23/2027 | | | 806,262 | | | | 3,843 | |
| Citibank, N.A. | | Aegion Corp., 3M US L + 4.75(b) | | | 264,474 | | | 3M US L + 1.35% | | 05/17/2028 | | | 264,692 | | | | 218 | |
| Citibank, N.A. | | AHP Health Partners, Inc., 1M US L + 3.50 | | | 289,270 | | | 3M US L + 1.35% | | 08/24/2028 | | | 290,785 | | | | 1,515 | |
| Citibank, N.A. | | Allen Media LLC, 3M US L + 5.50 | | | 726,080 | | | 3M US L + 1.35% | | 02/10/2027 | | | 734,055 | | | | 7,975 | |
| Citibank, N.A. | | Allen Media LLC, 3M US L + 5.50 | | | 798,662 | | | 3M US L + 1.35% | | 02/10/2027 | | | 807,435 | | | | 8,773 | |
| Citibank, N.A. | | Allied Universal Holdco LLC, 3M US L + 3.75 | | | 497,500 | | | 3M US L + 1.35% | | 05/12/2028 | | | 499,003 | | | | 1,503 | |
| Citibank, N.A. | | Anesthesia Partners, Inc., 3M US L + 4.25 | | | 945,743 | | | 3M US L + 1.35% | | 10/02/2028 | | | 949,369 | | | | 3,626 | |
| Citibank, N.A. | | AP Core Holdings II LLC, 1M US L + 5.50, | | | 1,193,817 | | | 3M US L + 1.35% | | 09/01/2027 | | | 1,209,651 | | | | 15,834 | |
| Citibank, N.A. | | Aramark Intermediate HoldCo Corp., 1M US L + 1.75 | | | 197,839 | | | 3M US L + 1.35% | | 03/11/2025 | | | 197,937 | | | | 98 | |
| Citibank, N.A. | | Asurion LLC, 1M US L + 3.00 | | | 195,931 | | | 3M US L + 1.35% | | 11/04/2024 | | | 196,296 | | | | 365 | |
| Citibank, N.A. | | Atlantic Aviation Corp., 1M US L + 3.00 | | | 959,551 | | | 3M US L + 1.35% | | 09/22/2028 | | | 959,803 | | | | 252 | |
| Citibank, N.A. | | Axalta Coating Systems Dutch Holding B B.V., 3M US L + 1.75 | | | 122,328 | | | 3M US L + 1.35% | | 06/03/2024 | | | 122,888 | | | | 560 | |
| Citibank, N.A. | | Bakemark Holdings, Inc., 6M US L + 4.00(b) | | | 497,500 | | | 3M US L + 1.35% | | 09/05/2028 | | | 499,063 | | | | 1,563 | |
| Citibank, N.A. | | Burlington Coat Factory Warehouse Corp., 1M US L + 2.00(b) | | | 545,882 | | | 3M US L + 1.35% | | 06/26/2028 | | | 546,452 | | | | 570 | |
| Citibank, N.A. | | Caesars Resort Collection LLC, 1M US L + 2.75 | | | 593,915 | | | 3M US L + 1.35% | | 12/23/2024 | | | 594,568 | | | | 653 | |
| Citibank, N.A. | | Caesars Resort Collection LLC, 1M US L + 3.50 | | | 498,741 | | | 3M US L + 1.35% | | 07/20/2025 | | | 499,738 | | | | 997 | |
| Citibank, N.A. | | CHG Healthcare Services, Inc., 1M US L + 3.50 | | | 351,176 | | | 3M US L + 1.35% | | 10/02/2028 | | | 353,426 | | | | 2,250 | |
| Citibank, N.A. | | CoreLogic, Inc., 1M US L + 3.50 | | | 498,750 | | | 3M US L + 1.35% | | 06/02/2028 | | | 500,250 | | | | 1,500 | |
| Citibank, N.A. | | DexKo Global Inc., TLB, 3M US L + 3.75 | | | 687,508 | | | 3M US L + 1.35% | | 10/01/2028 | | | 687,887 | | | | 379 | |
| Citibank, N.A. | | DG Investment Intermediate Holdings 2, Inc., 1M US L + 3.75 | | | 1,211,691 | | | 3M US L + 1.35% | | 03/31/2028 | | | 1,214,094 | | | | 2,403 | |
| Citibank, N.A. | | DIRECTV Financing LLC, 3M US L + 5.00 | | | 1,105,752 | | | 3M US L + 1.35% | | 07/22/2027 | | | 1,110,659 | | | | 4,907 | |
| Citibank, N.A. | | Diversitech Holdings, Inc., 3M US L + 3.75(b) | | | 51,171 | | | 3M US L + 1.35% | | 12/15/2028 | | | 51,445 | | | | 274 | |
| Citibank, N.A. | | Diversitech Holdings, Inc., 3M US L + 3.75(b) | | | 247,329 | | | 3M US L + 1.35% | | 12/15/2028 | | | 248,650 | | | | 1,321 | |
| Citibank, N.A. | | Ivanti Software, Inc., 3M US L + 4.25 | | | 665,000 | | | 3M US L + 1.35% | | 12/01/2027 | | | 668,540 | | | | 3,540 | |
| Citibank, N.A. | | LSCS Holdings, Inc., 3M US L + 4.50 | | | 348,250 | | | 3M US L + 1.35% | | 11/23/2028 | | | 350,525 | | | | 2,275 | |
| Citibank, N.A. | | MA FinanceCo LLC, 3M US L + 4.25(b) | | | 244,307 | | | 3M US L + 1.35% | | 06/05/2025 | | | 245,973 | | | | 1,666 | |
| Citibank, N.A. | | Madison IAQ LLC, 6M US L + 3.25 | | | 649,916 | | | 3M US L + 1.35% | | 06/16/2028 | | | 655,328 | | | | 5,412 | |
| Citibank, N.A. | | Magenta Buyer LLC, 3M US L + 5.00 | | | 808,683 | | | 3M US L + 1.35% | | 07/27/2028 | | | 810,933 | | | | 2,250 | |
| Citibank, N.A. | | McGraw-Hill Education, Inc., 1M US L + 4.75 | | | 1,146,316 | | | 3M US L + 1.35% | | 07/28/2028 | | | 1,154,462 | | | | 8,146 | |
| Citibank, N.A. | | Medline Industries, LP, Term Loan, 1M US L + 3.25 | | | 872,266 | | | 3M US L + 1.35% | | 10/23/2028 | | | 875,792 | | | | 3,526 | |
| Citibank, N.A. | | MH Sub I LLC, 1M US L + 3.75 | | | 248,010 | | | 3M US L + 1.35% | | 09/13/2024 | | | 248,319 | | | | 309 | |
| Citibank, N.A. | | Milano Acquisition Corp, 3M US L + 4.00 | | | 298,420 | | | 3M US L + 1.35% | | 10/01/2027 | | | 298,904 | | | | 484 | |
| Citibank, N.A. | | Mitchell International, Inc., 1M US L + 3.75 | | | 661,667 | | | 3M US L + 1.35% | | 10/16/2028 | | | 663,750 | | | | 2,083 | |
| Citibank, N.A. | | PetSmart LLC, 3M US L + 3.75 | | | 599,622 | | | 3M US L + 1.35% | | 02/14/2028 | | | 600,185 | | | | 563 | |
| Citibank, N.A. | | Prestige Brands, Inc., 1M US L + 2.00 | | | 288,550 | | | 3M US L + 1.35% | | 07/03/2028 | | | 291,813 | | | | 3,263 | |
| Citibank, N.A. | | Pretium PKG Holdings, Inc., 1M US L + 4.00 | | | 279,298 | | | 3M US L + 1.35% | | 10/02/2028 | | | 280,545 | | | | 1,247 | |
| Citibank, N.A. | | Primary Products Finance LLC, 3M US L + 4.00(b) | | | 577,500 | | | 3M US L + 1.35% | | 10/25/2028 | | | 584,914 | | | | 7,414 | |
| Citibank, N.A. | | Proofpoint, Inc., 3M US L + 3.25 | | | 711,071 | | | 3M US L + 1.35% | | 08/31/2028 | | | 712,446 | | | | 1,375 | |
| Citibank, N.A. | | Ring Container Technologies Group LLC, 3M US L + 3.75 | | | 234,706 | | | 3M US L + 1.35% | | 08/12/2028 | | | 236,118 | | | | 1,412 | |
| Citibank, N.A. | | Rough Country, LLC TL 1L, 2M US L + 3.50(b) | | | 1,281,460 | | | 3M US L + 1.35% | | 07/26/2028 | | | 1,283,875 | | | | 2,415 | |
| Citibank, N.A. | | Sitel Worldwide Corporation LLC, 1M US L + 3.75 | | | 682,286 | | | 3M US L + 1.35% | | 08/28/2028 | | | 686,359 | | | | 4,073 | |
| Citibank, N.A. | | Sovos Brands Intermediate, Inc., 3M US L + 3.75 | | | 206,723 | | | 3M US L + 1.35% | | 06/08/2028 | | | 207,479 | | | | 756 | |
| Citibank, N.A. | | Specialty Building Products Holdings LLC, 1M US L + 3.75 | | | 498,500 | | | 3M US L + 1.35% | | 10/05/2028 | | | 499,533 | | | | 1,033 | |
| Citibank, N.A. | | SRS Distribution Inc., 3M US L + 3.75 | | | 362,202 | | | 3M US L + 1.35% | | 06/02/2028 | | | 364,662 | | | | 2,460 | |
| Citibank, N.A. | | Sunshine Luxembourg VII S.a r.l., 3M US L + 3.75 | | | 971,034 | | | 3M US L + 1.35% | | 10/01/2026 | | | 973,863 | | | | 2,829 | |
| Citibank, N.A. | | Sunshine Software Merger Sub, Inc., 3M US L + 3.75 | | | 692,876 | | | 3M US L + 1.35% | | 10/16/2028 | | | 694,269 | | | | 1,393 | |
| Citibank, N.A. | | Teneo Holdings LLC, 1M US L + 5.25 | | | 708,906 | | | 3M US L + 1.35% | | 07/11/2025 | | | 715,439 | | | | 6,533 | |
TOTAL RETURN SWAP CONTRACTS(a) (continued)
| Counterparty | | Reference Entity/Obligation | | | Notional Amount | | | Fund Pays | | Termination Date | | | Value | | | | Net Unrealized Appreciation | |
| Citibank, N.A. | | TGP Holdings III LLC, 3M US L + 3.25 | | $ | 318,971 | | | 3M US L + 1.35% | | 06/29/2028 | | $ | 319,638 | | | $ | 667 | |
| Citibank, N.A. | | TGP Holdings III LLC, 3M US L + 3.25 | | | 42,058 | | | 3M US L + 1.35% | | 06/29/2028 | | | 42,146 | | | | 88 | |
| Citibank, N.A. | | Unified Women’s Healthcare LP, 1M US L + 4.25 | | | 1,243,750 | | | 3M US L + 1.35% | | 12/20/2027 | | | 1,252,969 | | | | 9,219 | |
| Citibank, N.A. | | Xperi Holding Corp., 1M US L + 3.50 | | | 982,562 | | | 3M US L + 1.35% | | 06/08/2025 | | | 986,883 | | | | 4,321 | |
| | | | | $ | 30,803,564 | | | | | | | $ | 30,953,051 | | | $ | 149,487 | |
| Counterparty | | Reference Entity/Obligation | | Notional Amount | | | Fund Pays | | Termination Date | | Value | | | Net Unrealized Depreciation | |
| Citibank, N.A. | | Academy, Ltd., 1M US L + 3.75 | | $ | 875,057 | | | 3M US L + 1.35% | | 11/05/2027 | | $ | 874,025 | | | $ | (1,032 | ) |
| Citibank, N.A. | | Acrisure LLC, 3M US L + 3.50 | | | 594,731 | | | 3M US L + 1.35% | | 02/15/2027 | | | 591,298 | | | | (3,433 | ) |
| Citibank, N.A. | | Applovin Corp., 1M US L + 3.25 | | | 197,069 | | | 3M US L + 1.35% | | 08/15/2025 | | | 196,839 | | | | (230 | ) |
| Citibank, N.A. | | Arches Buyer, Inc., 1M US L + 3.25 | | | 602,540 | | | 3M US L + 1.35% | | 12/06/2027 | | | 602,099 | | | | (441 | ) |
| Citibank, N.A. | | Autokiniton US Holdings, Inc., 12M US L + 4.50 | �� | | 1,097,860 | | | 3M US L + 1.35% | | 04/06/2028 | | | 1,097,474 | | | | (386 | ) |
| Citibank, N.A. | | Bausch Health Americas, Inc., 1M US L + 3.00 | | | 1,003,222 | | | 3M US L + 1.35% | | 06/02/2025 | | | 1,002,082 | | | | (1,140 | ) |
| Citibank, N.A. | | CCCR Parent, Inc., 3M US L + 4.25(b) | | | 897,826 | | | 3M US L + 1.35% | | 03/06/2028 | | | 896,457 | | | | (1,369 | ) |
| Citibank, N.A. | | Charter Next Generation, Inc., 1M US L + 3.75 | | | 498,213 | | | 3M US L + 1.35% | | 12/01/2027 | | | 497,917 | | | | (296 | ) |
| Citibank, N.A. | | City Brewing Co. LLC, 3M US L + 3.50(b) | | | 223,333 | | | 3M US L + 1.35% | | 04/05/2028 | | | 211,759 | | | | (11,574 | ) |
| Citibank, N.A. | | Connect Finco Sarl, 1M US L + 3.50 | | | 748,097 | | | 3M US L + 1.35% | | 12/11/2026 | | | 747,246 | | | | (851 | ) |
| Citibank, N.A. | | Core & Main LP, 1M US L + 2.50 | | | 414,586 | | | 3M US L + 1.35% | | 07/27/2028 | | | 413,894 | | | | (692 | ) |
| Citibank, N.A. | | Corel Corp., 3M US L + 5.00 | | | 535,158 | | | 3M US L + 1.35% | | 07/02/2026 | | | 534,757 | | | | (401 | ) |
| Citibank, N.A. | | CP Atlas Buyer, Inc., 3M US L + 3.75 | | | 745,769 | | | 3M US L + 1.35% | | 11/23/2027 | | | 744,011 | | | | (1,758 | ) |
| Citibank, N.A. | | DexKo Global Inc., Delayed TL, 3M US L + 3.75 | | | 131,184 | | | 3M US L + 1.35% | | 10/04/2028 | | | 131,026 | | | | (158 | ) |
| Citibank, N.A. | | Garda World Security Corp., 1M US L + 4.25 | | | 593,428 | | | 3M US L + 1.35% | | 10/30/2026 | | | 592,539 | | | | (889 | ) |
| Citibank, N.A. | | Help/Systems Holdings, Inc., 3M US L + 4.00 | | | 497,475 | | | 3M US L + 1.35% | | 11/19/2026 | | | 496,748 | | | | (727 | ) |
| Citibank, N.A. | | Jadex, Inc., 1M US L + 4.75(b) | | | 365,006 | | | 3M US L + 1.35% | | 02/11/2028 | | | 364,089 | | | | (917 | ) |
| Citibank, N.A. | | KNS Acquisition Corp., 3M US L + 6.25(b) | | | 600,000 | | | 3M US L + 1.35% | | 04/16/2027 | | | 589,749 | | | | (10,251 | ) |
| Citibank, N.A. | | LBM Acquisition LLC, 3M US L + 3.75 | | | 645,742 | | | 3M US L + 1.35% | | 12/18/2027 | | | 641,797 | | | | (3,945 | ) |
| Citibank, N.A. | | Liftoff Mobile, Inc., 3M US L + 3.75 | | | 498,203 | | | 3M US L + 1.35% | | 12/17/2027 | | | 498,000 | | | | (203 | ) |
| Citibank, N.A. | | LogMeIn, Inc., 1M US L + 4.75 | | | 696,724 | | | 3M US L + 1.35% | | 08/31/2027 | | | 693,091 | | | | (3,633 | ) |
| Citibank, N.A. | | Midwest Physician Administrative Services LLC, 3M US L + 3.25 | | | 733,756 | | | 3M US L + 1.35% | | 03/13/2028 | | | 730,141 | | | | (3,615 | ) |
| Citibank, N.A. | | Plaze, Inc., 1M US L + 3.75(b) | | | 794,499 | | | 3M US L + 1.35% | | 08/03/2026 | | | 788,541 | | | | (5,958 | ) |
| Citibank, N.A. | | Redstone Holdco 2 LP, 3M US L + 4.75 | | | 715,353 | | | 3M US L + 1.35% | | 04/27/2028 | | | 687,351 | | | | (28,002 | ) |
| Citibank, N.A. | | Ryan Specialty Group LLC, 1M US L + 3.00 | | | 198,330 | | | 3M US L + 1.35% | | 09/01/2027 | | | 198,322 | | | | (8 | ) |
| Citibank, N.A. | | TruGreen LP, 1M US L + 4.00 | | | 249,017 | | | 3M US L + 1.35% | | 11/02/2027 | | | 248,729 | | | | (288 | ) |
| Citibank, N.A. | | Watlow Electric Manufacturing Co., 3M US L + 3.75 | | | 1,057,626 | | | 3M US L + 1.35% | | 03/02/2028 | | | 1,057,521 | | | | (105 | ) |
| Citibank, N.A. | | WW International, Inc., 1M US L + 3.50 | | | 1,175,097 | | | 3M US L + 1.35% | | 04/13/2028 | | | 1,165,381 | | | | (9,716 | ) |
| Citibank, N.A. | | Zelis Payments Buyer, Inc., 1M US L + 3.50 | | | 994,994 | | | 3M US L + 1.35% | | 09/30/2026 | | | 992,221 | | | | (2,773 | ) |
| | | | | $ | 18,379,895 | | | | | | | $ | 18,285,104 | | | $ | (94,791 | ) |
| TOTAL | | | | $ | 49,183,459 | | | | | | | $ | 49,238,155 | | | $ | 54,696 | |
|
| (a) | The Fund’s interest in the total return swap transactions are held through a wholly-owned subsidiary of the Fund, RACR-FS, LLC , a Delaware Limited Liability Company. |
| (b) | Security is classified as Level 3 in the Fund’s hierarchy (see Note 2). |
Note 1 — Organization and Registration
CIM Real Assets & Credit Fund (the “Fund”), a Delaware statutory trust, is a non-diversified, closed-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund engages in a continuous offering of shares and operates as an interval fund that offers to make quarterly repurchases of shares at net asset value (“NAV”).
The Fund’s investment objective is to generate current income through cash distributions and preserve shareholders’ capital across various market cycles, with a secondary objective of capital appreciation. The Fund’s investment adviser is CIM Capital IC Management, LLC, a Delaware limited liability company (the “Adviser”) that is registered as an investment adviser with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Adviser is primarily responsible for determining the amount of the Fund’s total assets that are allocated to each of the Fund’s sub-advisers, and will review such allocation percentage on an ongoing basis and adjust the allocation percentage as necessary to best achieve the Fund’s investment objective.
The Adviser has engaged CIM Capital SA Management, LLC, a Delaware limited liability company (the “CIM Sub-Adviser”) that is registered as an investment adviser with the SEC under the Advisers Act, to act as an investment sub-adviser to the Fund. The CIM Sub-Adviser is a wholly-owned subsidiary of CIM Group, LLC and is an affiliate of the Adviser. The CIM Sub-Adviser is responsible for identifying and sourcing investment opportunities with respect to real assets held by the Fund. The Fund defines “real assets” as assets issued by United States issuers where the underlying interests are investments in real estate or infrastructure in the United States (“Real Assets”). The Fund’s investments in Real Assets will consist of (1) direct real estate that will generally be held through one or more wholly-owned real estate investment trust (“REIT”) subsidiaries (each, a “REIT Subsidiary”), (2) public REITs (including publicly traded REITs and publicly registered and non-listed REITs) and private REITs, (3) real estate mortgages, (4) commercial mortgage-backed securities (“CMBS”) and (5) infrastructure assets.
The Adviser has also engaged OFS Capital Management, LLC, a Delaware limited liability company (the “OFS Sub-Adviser”, and, together with the CIM Sub-Adviser, the “Sub-Advisers”) that is registered as an investment adviser with the SEC under the Advisers Act, to act as an investment sub-adviser to the Fund. The OFS Sub-Adviser is a wholly-owned subsidiary of Orchard First Source Asset Management, LLC, and is an affiliate of the Adviser. The OFS Sub-Adviser is responsible for identifying and sourcing credit and credit-related investment opportunities (“Credit and Credit-Related Investments”) as well as investments in CMBS. The Fund intends for its Credit and Credit-Related Investments to consist of (1) investments in floating and fixed rate loans; (2) broadly syndicated senior secured corporate loans; (3) investments in the debt and equity tranches of collateralized loan obligations (“CLOs”); and (4) opportunistic credit investments, by which the Fund means stressed and distressed credit situations, restructurings and non-performing loans.
The Fund was organized as a statutory trust on February 4, 2019 under the laws of the State of Delaware. The Fund had no operations from that date through May 4, 2020 other than those relating to organizational matters and the registration of its shares under applicable securities laws. During this period, the Adviser purchased 4,000 of the Fund’s Class I Common Shares of beneficial interest (the “Class I Shares”) at an aggregate purchase price of $100,000, at a price of $25.00 per share.
On May 5, 2020, the Fund commenced a continuous public offering of Class I Shares, Class A Shares, Class C Shares and Class L Shares. The Fund has received exemptive relief from the SEC to permit the Fund to issue multiple classes of shares and to impose asset-based distribution fees and early withdrawal charges.1 Additionally, on May 5, 2020, an affiliate of the Adviser purchased 188,000 Class I Shares at a price of $25.00 per share, 4,000 Class A Common Shares of beneficial interest (the “Class A Shares”) at a price of $25.00 per share, 4,000 Class C Common Shares of beneficial interest (the “Class C Shares”) at a price of $25.00 per share, and 4,000 Class L Common Shares of beneficial interest (the “Class L Shares”) at a price of $25.00 per share. On January 28, 2021, an affiliate of the Adviser purchased 156,067 Class I shares. The Adviser and its affiliates own shares in the Fund representing 7.2% and 6.4% of the NAV as of December 31, 2021 and January 31, 2022, respectively.
Class C Shares and Class I Shares are offered on a continuous basis at NAV. Class C Shares are subject to a 1.00% early withdrawal charge. Class A Shares are offered at NAV plus a maximum sales load of 5.75% of the offering price. Class L Shares are offered at NAV plus a maximum sales load of 4.25% of the offering price. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures, ongoing service and distribution charges and early withdrawal charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans, and other matters that exclusively affect such class, and separate voting rights on any matter submitted to shareholders in which the interests of one class differ from the interests of any other class. The Fund’s income, expenses (other than class-specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.
NOTE 2 — Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Investment Companies.
Use of Estimates
The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from these estimates.
Indemnifications
The Fund indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnities. 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, the Fund expects the risk of loss due to these warranties and indemnities to be remote.
| 1 | (CIM Real Assets & Credit Fund, et al. (File No. 812-15001, Release No. IC-33659 (Oct. 22, 2019) (order), Release No. I -33630 (Sep. 23, 2019) (notice)) |
Income Taxes
For U.S. federal income tax purposes, the Fund intends to qualify as a regulated investment company under the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), by distributing substantially all of its investment company taxable net income and realized gains, not offset by capital loss carryforwards, if any, to its shareholders. The Fund intends to file U.S. federal, state, and local tax returns as required.
The Fund intends to change its tax year end from April 30 to September 30, to better align with the Fund's fiscal year end. Accordingly, the disclosures below indicate amounts, as calculated by the Fund, for the tax year May 1, 2020 through April 30, 2021, as well as for the short tax year from May 1, 2021 through September 30, 2021. To effect this change, the Fund intends to file Form 1128 with the Internal Revenue Service, which is due no later than the due date of the tax return, as extended. For the tax year ended September 30, 2021, Form 1128 must therefore be filed on or before July 15, 2022.
Portfolio Valuation
The Fund determines the NAV per each class of Common Shares on each day that the New York Stock Exchange (“NYSE”) is open for business as of the close of the regular trading session (normally, 4:00 pm eastern time). The Fund calculates NAV per Common Share on a class-specific basis, by dividing the total value of the Fund’s Managed Assets attributable to the applicable class by the total number of Common Shares of such class outstanding. The Fund’s Managed Assets are determined by subtracting any liabilities (including borrowings for investment purposes) from the total value of its portfolio investments and other assets.
In accordance with ASC Topic 820 – Fair Value Measurement and Disclosures, and consistent with the Fund’s valuation policy and procedures, portfolio securities and other assets for which market quotes are readily available are valued at market value. In circumstances where market quotes are not readily available, the Fund’s board of trustees (the “Board”) has adopted policies and procedures for determining the fair value of such securities and other assets, and has delegated the responsibility for applying the valuation methods to the Fund’s valuation committee. On a quarterly basis, or more frequently if necessary, the Board ratifies the valuation determinations made with respect to the Fund’s investments during the preceding period and evaluates whether such determinations were made in a manner consistent with the Fund’s valuation policies and procedures.
Rule 2a-5 under the 1940 Act was recently adopted by the SEC and establishes requirements for determining fair value in good faith for purposes of the 1940 Act. We are evaluating the impact of adopting Rule 2a-5 on the financial statements and intend to comply with the new rule’s requirements on or before the compliance date in September 2022.
Fair Value Measurements — In accordance with ASC Topic 820 – Fair Value Measurements and Disclosures, a three-tier fair value hierarchy has been established to classify fair value measurements. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.
Various inputs are used in determining the value of the Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
These inputs are categorized in the following hierarchy under applicable financial accounting standards:
| Level 1 – | Inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active market is defined as a market in which transactions for the assets or liabilities occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
| Level 2 – | Inputs include quoted prices for similar assets or liabilities in active markets, quoted prices or identical or similar assets or liabilities in markets that are not active (markets with few transactions), inputs other than quoted prices that are observable for the asset or liability (i.e., interest rates, yield curves etc.), and inputs that are derived principally from or corroborated by observable market data correlation or other means (market corroborated inputs). |
| Level 3 – | Unobservable inputs, which are only used to the extent that observable inputs are not available, reflect the Company’s assumptions about the pricing of an asset or liability. |
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2021:
| Investments in Securities at Value | | Level 1 - Unadjusted
Quoted Prices | | | Level 2 - Other Significant Observable Inputs | | | Level 3 - Significant Unobservable Inputs | | | Total | |
| Bank Loans | | $ | – | | | $ | – | | | $ | 23,050,182 | | | $ | 23,050,182 | |
| Collateralized Loan Obligations - Debt | | | – | | | | 19,414,307 | | | | – | | | | 19,414,307 | |
| Collateralized Loan Obligations - Equity | | | – | | | | – | | | | 11,922,126 | | | | 11,922,126 | |
| Commercial Mortgage-Backed Securities | | | – | | | | 1,913,154 | | | | 4,342,132 | | | | 6,255,286 | |
| Direct Real Estate | | | – | | | | – | | | | 35,333,301 | | | | 35,333,301 | |
| Real Estate-Related Securities | | | – | | | | – | | | | 14,644,601 | | | | 14,644,601 | |
| Loan Accumulation Facility | | | – | | | | – | | | | 2,100,000 | | | | 2,100,000 | |
| Common Stocks | | | 2,854,328 | | | | – | | | | – | | | | 2,854,328 | |
| Warrants | | | – | | | | – | | | | 114,145 | | | | 114,145 | |
| Short Term Investments | | | 10,099,146 | | | | – | | | | – | | | | 10,099,146 | |
| Total | | $ | 12,953,474 | | | $ | 21,327,461 | | | $ | 91,506,487 | | | $ | 125,787,422 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts | | $ | – | | | $ | 127,151 | | | $ | 22,336 | | | $ | 149,487 | |
| Liabilities | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts | | $ | – | | | $ | (64,722 | ) | | $ | (30,069 | ) | | $ | (94,791 | ) |
| Total | | $ | – | | | $ | 62,429 | | | $ | (7,733 | ) | | $ | 54,696 | |
The changes of the fair value of investments for which the Fund has used Level 3 inputs to determine the fair value are as follows:
| Asset Type | | Balance as of September 30, 2021 | | | Accrued
Discount/
Premium | | | Return of Capital | | | Realized
Gain/(Loss) | | | Change in Unrealized Appreciation/ (Depreciation) | | | Purchases | | | Sales Proceeds | | | Transfer into Level 3 | | | Transfer Out of Level 3 | | | Balance as of December 31, 2021 | | | Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at December 31, 2021 | |
| Bank Loans | | $ | 6,695,955 | | | $ | 10,887 | | | $ | - | | | $ | 7,097 | | | $ | (53,109 | ) | | $ | 16,427,196 | | | $ | (781,844 | ) | | $ | 744,000 | | | $ | - | | | $ | 23,050,182 | | | $ | (86,910 | ) |
| Collateralized Loan Obligations - Equity | | | - | | | | 8,616 | | | | - | | | | - | | | | (8,616 | ) | | | 2,718,750 | | | | - | | | | 9,203,376 | | | | - | | | | 11,922,126 | | | | 62,320 | |
| Commercial Mortgage-Backed Securities | | | 4,629,027 | | | | 14,118 | | | | - | | | | (368 | ) | | | (299,089 | ) | | | - | | | | (1,556 | ) | | | - | | | | - | | | | 4,342,132 | | | | (326,651 | ) |
| Direct Real Estate | | | 16,495,100 | | | | - | | | | - | | | | - | | | | 2,049,852 | | | | 16,788,349 | | | | - | | | | - | | | | - | | | | 35,333,301 | | | | 2,049,852 | |
| Real Estate-Related Securities | | | 14,618,750 | | | | - | | | | - | | | | - | | | | 25,851 | | | | - | | | | - | | | | - | | | | - | | | | 14,644,601 | | | | 25,761 | |
| Loan Accumulation Facility | | | 2,500,000 | | | | - | | | | - | | | | - | | | | - | | | | 2,100,000 | | | | (2,500,000 | ) | | | - | | | | - | | | | 2,100,000 | | | | - | |
| Warrants | | | 107,000 | | | | - | | | | - | | | | - | | | | 7,145 | | | | - | | | | - | | | | - | | | | - | | | | 114,145 | | | | 7,145 | |
| | | $ | 45,045,832 | | | $ | 33,621 | | | $ | - | | | $ | 6,729 | | | $ | 1,722,034 | | | $ | 38,034,295 | | | $ | (3,283,400 | ) | | $ | 9,947,376 | | | $ | - | | | $ | 91,506,487 | | | $ | 1,731,517 | |
The following is a reconciliation for the year ended December 31, 2021 of the total return swap contracts for which significant unobservable inputs (Level 3) were used in determining fair value:
| | | Total Return Swap Contracts | | | Total | |
| Balance as of September 30, 2021 | | $ | 52,304 | | | $ | 52,304 | |
| Change in Unrealized Appreciation/Depreciation | | | (32,234 | ) | | | (32,234 | ) |
| Purchased Unrealized Appreciation/Depreciation | | | 9,405 | | | | 9,405 | |
| Sold Unrealized Appreciation/Depreciation | | | (3,110 | ) | | | (3,110 | ) |
| Transfers In of Unrealized Appreciation/Depreciation | | | 2,236 | | | | 2,236 | |
| Transfers Out of Unrealized Appreciation/Depreciation | | | (36,334 | ) | | | (36,334 | ) |
| Balance as of December 31, 2021 | | $ | (7,733 | ) | | $ | (7,733 | ) |
| Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at December 31, 2021 | | $ | (16,285 | ) | | $ | (16,285 | ) |
NOTE 3 — Derivative Transactions
The Fund’s investment objectives allow the Fund to enter into various types of derivative contracts such as total return swaps and forward foreign currency contracts. In doing so, the Fund and RACR-FS, LLC (its “ Swap Subsidiary”) will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they can focus exposure only on certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors.
Risk of Investing in Derivatives – The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
Total Return Swap Contract – The Fund’s Swap Subsidiary has entered into a total return swap referencing a portfolio of bank loans with Citibank, N.A. (“Citi”) as the counterparty. The total return swap allows the Fund to indirectly obtain exposure to a portfolio of bank loans (each a “reference asset”) without owning or taking physical custody of such bank loans. Under the total return swap, Citi has contractually committed to make payments based on the total return (income plus realized appreciation) of each reference asset in exchange for a periodic payment from the Swap Subsidiary based on a floating interest rate and any realized depreciation of each Reference Asset. Additionally, the Fund’s Swap Subsidiary posts collateral to cover its potential contractual obligations to Citi under the total return swap. The total return swap is marked-to-market daily consistent with the Fund’s Valuation Policy and changes in value are recorded by the Fund as unrealized gain or loss in the consolidated financial statements. If a reference asset is removed from the total return swap, the Fund records a realized gain or loss in the Consolidated Statement of Operations equal to the difference between the price of such reference asset from the date it was added to the total return swap and the price of the reference asset at the time it was removed from the total return swap.
The total return swap effectively adds leverage to the Fund’s portfolio because, in addition to the Fund’s total net assets, the Fund would be subject to investment exposure on the amount of bank loans subject to the total return swap. The total return swap is also subject to the risk that a counterparty will default on its payment obligations thereunder or that the Fund will not be able to meet its obligations to the counterparty. In addition, because the total return swap is a form of synthetic leverage, such arrangement is subject to risks similar to those associated with the use of leverage.
NOTE 4 — Direct Real Estate Investment
During the three months ended December 31, 2021, the Fund acquired a 100% interest in a multi-family residential property. As of December 31, 2021, the value of the property was $13,415,687, net of the Fund's mortgage note of $39,750,000, which was held at cost as of December 31, 2021.
NOTE 5 — Affiliated Transactions
These affiliated investments purchases during the period ended December 31, 2021 and the related positions as of December 31, 2021 follows:
| Security Name | | Market Value as of October 1, 2021 | | | Purchases | | | Sales | | | Market Value as of December 31, 2021* | | | Share Balance as of December 31, 2021 | | | Dividends | | | Change in Unrealized Gain/(Loss) | | | Realized Gain/(Loss) | |
| CIM Commercial Trust Corp. | | $ | 2,511,622 | | | $ | 986,257 | | | $ | - | | | $ | 2,854,328 | | | | 388,344 | | | $ | - | | | $ | (643,551 | ) | | $ | - | |
| EPIC Dallas(1) | | | 11,371,495 | | | | 3,372,660 | | | | - | | | | 16,347,637 | | | | N/A | | | | - | | | | 1,603,482 | | | | - | |
| Vale at the Parks - DC | | | 5,123,605 | | | | - | | | | - | | | | 5,569,976 | | | | N/A | | | | - | | | | 446,371 | | | | - | |
| | | | | | | | | | | | | | | $ | 24,771,941 | | | | 388,344 | | | $ | - | | | $ | 1,406,302 | | | $ | - | |
| (1) | The purchase amount includes $919,224 for the minimum Structured Acquisition Payment related to the property held by the Dallas Joint Venture. |
NOTE 6 - LINE OF CREDIT
As of December 31, 2021, the Fund has an unsecured credit facility with a bank in place under which the Fund can borrow up to $40 million, subject to a borrowing base calculation. Subject to the satisfaction of certain conditions and the borrowing base calculation, the Fund can increase the amount that it may borrow under the unsecured credit facility to $100 million. Outstanding advances under the unsecured credit facility bear interest at the rate of Secured Overnight Financing Rate (SOFR) plus 4.00%. The Fund also pays a quarterly facility fee of 0.125% of the commitment under the unsecured credit facility. The unsecured credit facility contains certain customary covenants, including a maximum debt to asset value ratio covenant and a minimum liquidity requirement. The unsecured credit facility matures in December 2026, provided that the Fund may elect to extend the maturity date for two periods of 12 months each, in each instance upon satisfaction of certain conditions. As of December 31, 2021, no amount was outstanding under the unsecured credit facility.
In addition to any indebtedness incurred by the Fund, the Fund may also utilize leverage by mortgaging properties held by the Fund (or any subsidiary), or by acquiring property with existing debt. Any such leverage will be consolidated with any leverage incurred directly by the Fund and subject to the 1940 Act’s limitations on leverage. As of December 31, 2021, a subsidiary of the Fund has a mortgage with an outstanding balance of $39.7 million in connection with the acquisition of a real property. Subject to the satisfaction of certain conditions, additional advances can be made under the mortgage, up to an aggregate amount of $41.7 million. The mortgage has an interest rate of SOFR plus 2.95 % and matures in January 2024, provided that, subject to the satisfaction of certain conditions, there is an option to extend the term for three additional 12-month period . In addition, as of December 31, 2021, the Fund had two co-investments in real properties that had mortgage notes outstanding. As of December 31, 2021, the Company’s share of the mortgage notes outstanding related to these two co-investments was $14.2 million.
