| CIM Real Assets & Credit Fund | | | |
| Schedule of Investments | | | |
| June 30, 2022 | | | |
| | | | |
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Bank Loans (21.91%)(a) | | | |
| Chemicals (0.79%) | | | |
| Molded Devices, Inc., Delayed Draw Term Loan(b)(c) | | 11/01/2026 | | 3M US L + 6.00% | | $ | 277,778 | | | $ | 269,917 | |
| Molded Devices, Inc., Revolver(b)(c) | | 11/01/2026 | | 3M US L + 6.00% | | | 185,185 | | | | 179,944 | |
| Molded Devices, Inc., Term Loan(b)(c) | | 11/01/2026 | | 3M US L + 6.00% | | | 1,529,352 | | | | 1,486,071 | |
| Total Chemicals | | | | | | | | | | | 1,935,932 | |
| | | | | | | | | | | | | |
| Consumer, Non-cyclical (1.79%) | | | | | | | | | | | | |
| Baart Programs, Inc., Second Lien Term Loan(b) | | 06/11/2028 | | 3M US L + 8.50% | | | 2,189,394 | | | | 2,156,553 | |
| Bengal Debt Merger SUB, LLC TL 1L(b) | | 01/24/2030 | | 3M US L + 6.00% | | | 500,000 | | | | 460,000 | |
| MedMark Services, Inc., Second Lien Term Loan(b) | | 06/11/2028 | | 3M US L + 8.50% | | | 378,788 | | | | 373,106 | |
| RC Buyer, Inc., Second Lien Initial Term Loan(b) | | 07/30/2029 | | 3M US L + 6.50% | | | 1,016,949 | | | | 977,543 | |
| Spring Education Group, Inc., Second Lien Initial Term Loan(b) | | 07/30/2026 | | 3M US L + 8.25% | | | 430,240 | | | | 399,854 | |
| Total Consumer, Non-cyclical | | | | | | | | | | | 4,367,056 | |
| | | | | | | | | | | | | |
| Electronics (0.78%) | | | | | | | | | | | | |
| Idera, Inc.(b) | | 03/02/2029 | | 3M US L + 6.75% | | | 2,000,000 | | | | 1,910,000 | |
| | | | | | | | | | | | | |
| Food Products (2.38%) | | | | | | | | | | | | |
| BCPE North Star US Holdco 2, Inc. 2L TL(b) | | 06/08/2029 | | 3M US L + 7.25% | | | 833,333 | | | | 804,167 | |
| Tony's Finer Foods, Revolver(b)(c) | | 04/20/2027 | | 1M US SOFR + 6.00% | | | 581,395 | | | | 581,395 | |
| Tony's Finer Foods, Term(b)(c) | | 04/20/2028 | | 1M US SOFR + 6.00% | | | 4,418,605 | | | | 4,422,140 | |
| Total Food Products | | | | | | | | | | | 5,807,702 | |
| | | | | | | | | | | | | |
| Healthcare Equipment and Supplies (1.10%) | | | | | | | | | | | | |
| Kreg LLC, Revolver(b)(c) | | 12/20/2026 | | 3M US L + 6.25% | | | 271,739 | | | | 267,065 | |
| Kreg LLC, Term Loan(b)(c) | | 12/20/2026 | | 3M US L + 6.25% | | | 2,468,750 | | | | 2,426,288 | |
| Total Healthcare Equipment and Supplies | | | | | | | | | | | 2,693,353 | |
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Healthcare Providers and Services (4.96%) | | | | | | | | | | | | |
| Boca Home Care Holdings Revolver(b)(c) | | 02/25/2027 | | 1M SOFR + 6.50% | | $ | 580,645 | | | $ | 567,232 | |
| Boca Home Care Holdings, Inc DDTL(b)(c) | | 02/25/2027 | | 1M SOFR + 6.50% | | | 4,351,210 | | | | 4,250,697 | |
| Honor HN Buyer, Inc., Delayed Draw Term Loan(b)(c) | | 10/15/2027 | | 3M US L + 6.00% | | | 719,855 | | | | 698,835 | |
| Honor HN Buyer, Inc., Revolver(b)(c) | | 10/15/2027 | | 3M US L + 6.00% | | | 132,013 | | | | 128,158 | |
| Honor HN Buyer, Inc., Term Loan(b)(c) | | 10/15/2027 | | 3M US L + 6.00% | | | 1,144,643 | | | | 1,111,219 | |
| One GI Intermediate LLC, Revolver Upsize(b)(c) | | 12/22/2025 | | 3M US L + 6.75% | | | 333,333 | | | | 318,467 | |
| One GI Intermediate LLC, Tranche B Delayed Draw Term Loan(b)(c) | | 12/22/2025 | | 3M US L + 6.75% | | | 1,745,625 | | | | 1,667,770 | |
| One GI Intermediate LLC, Tranche C Delayed Draw Term Loan(b)(c) | | 12/13/2023 | | 3M US L + 6.75% | | | 916,667 | | | | 875,783 | |
| Shiftkey, Revolver(b)(c) | | 06/21/2027 | | 3M US SOFR + 5.75% | | | 147,059 | | | | 147,059 | |
| Shiftkey,Term Loan(b)(c) | | 06/21/2027 | | 3M US SOFR + 5.75% | | | 2,352,941 | | | | 2,329,412 | |
| Total Healthcare Providers and Services | | | | | | | | | | | 12,094,632 | |
| | | | | | | | | | | | | |
| Hotels, Restaurants & Leisure (1.95%) | | | | | | | | | | | | |
| SS Acquisition LLC, Delayed Draw Term Loan(b)(c) | | 12/30/2026 | | 1M US L + 6.50% | | | 1,800,000 | | | | 1,786,680 | |
| SS Acquisition LLC, Term Loan(b)(c) | | 12/30/2026 | | 1M US L + 6.87% | | | 3,000,000 | | | | 2,977,800 | |
| Total Hotels, Restaurants & Leisure | | | | | | | | | | | 4,764,480 | |
| | | | | | | | | | | | | |
| Household Durables (0.36%) | | | | | | | | | | | | |
| Astro One Acquisition Corporation(b) | | 09/14/2029 | | 3M US L + 8.50% | | | 1,000,000 | | | | 876,250 | |
| | | | | | | | | | | | | |
| Industrial (0.38%) | | | | | | | | | | | | |
| Energy Acquisition LP, Second Lien Initial Term Loan(b) | | 06/26/2026 | | 3M US L + 8.50% | | | 1,097,499 | | | | 916,412 | |
| | | | | | | | | | | | | |
| Retail (1.27%) | | | | | | | | | | | | |
| LSF9 ATLANTIS HOLDINGS, LLC | | 03/29/2029 | | 1M SOFR + 7.25% | | | 3,368,421 | | | | 3,105,684 | |
| | | | | | | | | | | | | |
| Services, Business (4.04%) | | | | | | | | | | | | |
| 24 Seven, Inc., DDTL(b)(c) | | 11/16/2027 | | 3M US L + 6.00% | | | 2,084,500 | | | | 2,062,613 | |
| 24 Seven, Inc., Term Loan(b)(c) | | 11/16/2027 | | 3M US L + 6.00% | | | 1,905,500 | | | | 1,885,492 | |
| Convergint Technologies LLC, Second Lien Term Loan(b) | | 03/30/2029 | | 1M US L + 6.75% | | | 999,970 | | | | 969,971 | |
| EOS-Metasource Intermediate, Inc., DDC(b)(c) | | 05/17/2024 | | 1M US SOFR + 6.25% | | | 1,500,000 | | | | 1,481,250 | |
| EOS-Metasource Intermediate, Inc., TL(b)(c) | | 05/17/2027 | | 1M US SOFR + 6.25% | | | 3,500,000 | | | | 3,456,250 | |
| Total Services, Business | | | | | | | | | | | 9,855,576 | |
| | | | | | | | | | | | | |
| Technology (1.24%) | | | | | | | | | | | | |
| Redstone HoldCo 2 LP, Second Lien Initial Term Loan(b) | | 04/27/2029 | | 3M US L + 7.75% | | | 800,000 | | | | 692,800 | |
| RumbleOn, Inc., Delayed Draw Term Loan(b)(c) | | 08/31/2026 | | 3M US L + 8.25% | | | 748,680 | | | | 700,839 | |
| RumbleON, Inc., First Lien Term Loan(b)(c) | | 08/31/2026 | | 3M US L + 8.25% | | | 1,741,250 | | | | 1,629,984 | |
| Total Technology | | | | | | | | | | | 3,023,623 | |
| | | | | | | | | | | | | |
| Transportation (0.87%) | | | | | | | | | | | | |
| STG LOGISTICS, INC. TL(b) | | 03/24/2028 | | 3M US SOFR + 6.00% | | | 2,195,122 | | | | 2,121,037 | |
| | | | | | | | | | | | | |
| TOTAL BANK LOANS (Cost $54,675,823) | | | | | | | | | | | 53,471,737 | |
| | | Maturity Date | | Rate | | Principal | | | Value | |
| Collateralized Loan Obligations - Equity (8.94%)(a)(d) | | | | | | | | | |
| Allegro CLO XV, Ltd., Class SUB(b)(c) | | 07/20/2035 | | 15.81% | | $ | 4,060,000 | | | $ | 3,526,356 | |
| Apex Credit Clo 2021, Ltd., Class SUB(b)(c) | | 07/18/2034 | | 14.87% | | | 2,980,000 | | | | 2,004,944 | |
| ArrowMark Colorado Holdings, Class SUB(b)(c) | | 01/05/2035 | | 18.47% | | | 3,662,266 | | | | 2,413,800 | |
| ArrowMark Colorado Holdings, Class SUB(b)(c) | | 12/05/2035 | | 18.47% | | | 87,734 | | | | 84,375 | |
| Atlas Senior Loan Fund XVII, Ltd., Class SUB(b)(c) | | 10/20/2034 | | 19.46% | | | 3,000,000 | | | | 2,300,850 | |
| Dryden 98 CLO, Ltd., Class SUB(b)(c) | | 04/20/2035 | | 14.00% | | | 5,500,000 | | | | 4,739,900 | |
| LCM 31, Ltd., Class INC(b)(c) | | 01/20/2032 | | 22.27% | | | 250,000 | | | | 187,363 | |
| Marble Point CLO XXI, Ltd., Class INC(b)(c) | | 10/17/2051 | | 15.22% | | | 2,750,000 | | | | 1,854,875 | |
| Steele Creek CLO 2022-1, Ltd., Class SUB(b)(c) | | 04/15/2035 | | 17.51% | | | 4,955,615 | | | | 3,560,362 | |
| Steele Creek CLO 2022-1, Ltd., Class SUB(b)(c) | | 04/15/2035 | | 17.51% | | | 44,385 | | | | 46,000 | |
| Trinitas Clo VIII, Ltd., Class SUB(b)(c) | | 07/20/2117 | | 21.80% | | | 2,300,000 | | | | 1,109,520 | |
| | | | | | | | | | | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - EQUITY (Cost $23,810,981) | | 21,828,345 | |
| | | | | | | | | | | | | |
| Collateralized Loan Obligations - Debt (17.56%)(a) | | | | | | | | | | | | |
| Allegro CLO XII, Ltd., Class E(c) | | 01/21/2032 | | 3M US L + 7.10% | | | 1,000,000 | | | | 940,876 | |
| Barings Middle Market CLO, Ltd. 2021-I, Class D(c) | | 07/20/2033 | | 3M US L + 8.65% | | | 1,000,000 | | | | 950,532 | |
| CFIP CLO 2017-1, Ltd., Class ER(c) | | 10/18/2034 | | 3M US L + 7.30% | | | 5,285,000 | | | | 4,880,795 | |
| Elevation CLO 2022-16, Ltd., Class E(c) | | 07/25/2034 | | 3M US SOFR + 8.30% | | | 9,100,000 | | | | 8,736,000 | |
| Flatiron CLO 20, Ltd., Class E(c) | | 11/20/2033 | | 3M US L + 7.85% | | | 500,000 | | | | 477,536 | |
| Ivy Hill Middle Market Credit Fund XVIII, Ltd., Class E(c) | | 04/22/2033 | | 3M US L + 7.75% | | | 2,000,000 | | | | 1,812,592 | |
| LCM 31, Ltd., Class E(c) | | 01/20/2032 | | 3M US L + 7.08% | | | 1,250,000 | | | | 1,171,634 | |
| Madison Park Funding XLVII, Ltd., Class E(c) | | 01/19/2034 | | 3M US L + 7.46% | | | 600,000 | | | | 569,576 | |
| MCF CLO VII LLC, Class ER(c) | | 07/20/2033 | | 3M US L + 9.15% | | | 2,500,000 | | | | 2,437,699 | |
| Monroe Capital Mml Clo X, Ltd., Class ER(c) | | 05/20/2034 | | 3M US L + 8.75% | | | 3,500,000 | | | | 3,272,500 | |
| Northwoods Capital 25, Ltd., Class E(c) | | 07/20/2034 | | 3M US L + 7.14% | | | 2,250,000 | | | | 1,897,577 | |
| OCP CLO 2020-20, Ltd., Class E(c) | | 10/09/2033 | | 3M US L + 7.66% | | | 500,000 | | | | 467,726 | |
| PennantPark CLO III, Ltd., Class E(c) | | 10/22/2032 | | 3M US L + 8.14% | | | 3,000,000 | | | | 2,889,854 | |
| Regatta Funding LP 2013-2A, Class DR2(c) | | 01/15/2029 | | 3M US L + 6.95% | | | 400,000 | | | | 357,853 | |
| Regatta XXII Funding, Ltd., Class E(c) | | 07/20/2035 | | 3M US SOFR + 7.19% | | | 7,000,000 | | | | 6,778,900 | |
| Saratoga Investment Corp. CLO 2013-1, Ltd., Class F1R3(c) | | 04/20/2033 | | 3M US L + 10.00% | | | 2,000,000 | | | | 1,887,472 | |
| VCP CLO II, Ltd., Class E(c) | | 04/15/2031 | | 3M US L + 8.41% | | | 500,000 | | | | 501,751 | |
| Venture 45 Clo, Ltd., Class E(c) | | 07/20/2035 | | 1M US SOFR + 7.70% | | | 3,000,000 | | | | 2,809,137 | |
| | | | | | | | | | | | | |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS - DEBT (Cost $43,948,936) | | 42,840,010 | |
| | | Maturity Date | | Rate | | | Principal | | | | Value | |
| Commercial Mortgage-Backed Securities (4.34%) | | | | | | | | | | | | |
| Campus Drive Secured Lease-Backed Pass-Through Trust, Series C(b)(c) | | 06/15/2058 | | 6.91% | | $ | 3,774,615 | | | $ | 2,754,714 | |
| Capital Funding Mortgage Trust 2021-21, Class B(a)(b)(c) | | 11/15/2023 | | 1M US L + 13.25% | | | 500,000 | | | | 492,000 | |
| CSMC 2020-TMIC, Class C(a)(c) | | 12/15/2023 | | 1M US L + 6.75% | | | 400,000 | | | | 406,839 | |
| LAQ 2022-LAQ Mortgage Trust, Class E(a)(c) | | 03/15/2027 | | 1M US SOFR + 4.87173% | | | 440,229 | | | | 431,348 | |
| LAQ 2022-LAQ Mortgage Trust, Class F(a)(c) | | 03/15/2027 | | 1M US SOFR + 5.97097% | | | 4,891,428 | | | | 4,754,984 | |
| TWO VA Repack Trust Class B-2, Series B2(b)(c)(e) | | 11/15/2033 | | 0.00% | | | 1,811,000 | | | | 554,890 | |
| VA Gilbert AZ Subordinated Note Lease-Backed Pass-Through Trust(b)(c) | | 03/15/2034 | | 13.00% | | | 186,240 | | | | 219,224 | |
| Wells Fargo Commercial Mortgage Trust 2021-FCMT, Class F(a)(c) | | 05/15/2026 | | 1M US L + 5.90% | | | 1,000,000 | | | | 979,477 | |
| | | | | | | | | | | | | |
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $11,257,230) | | 10,593,476 | |
| | | | | | | | | | | | | |
| Direct Real Estate (24.86%) | | | | | | | | | | | | |
| 4901 W Jefferson Blvd - Los Angeles, CA(b)(f) | | N/A | | | | | N/A | | | | 3,258,958 | |
| Del Mar Terrace - Phoenix, AZ(b)(c)(g) | | N/A | | | | | N/A | | | | 17,013,319 | |
| EPIC Dallas(b)(c)(f)(g) | | N/A | | | | | N/A | | | | 20,094,661 | |
| Sora Multifamily Residential Property(b)(c) | | N/A | | | | | N/A | | | | 13,954,855 | |
| Vale at the Parks - DC(b)(c)(g) | | N/A | | | | | N/A | | | | 6,357,500 | |
| TOTAL DIRECT REAL ESTATE (Cost $50,322,284) | | 60,679,293 | |
| | | | | | | | | | | | | |
| Real Estate-Related Securities (9.81%)(a) | | | | | | | | | | | | |
| Debt Securities (9.81%) | | | | | | | | | | | | |
| IENTC 2, LLC(b)(c)(g) | | 03/31/2031 | | 10.75% | | | 1,645,000 | | | | 1,645,000 | |
| IENTC 2, LLC DDTL B-1(b)(c)(g) | | 03/31/2031 | | 10.75% | | | 6,815,000 | | | | 6,815,000 | |
| Society Las Olas – 301 SW 1st Avenue Holdings LLC(b)(c)(g) | | 09/23/2023 | | 1M US L + 1.47% | | | 5,231,984 | | | | 5,192,745 | |
| Society Las Olas - PMG-Greybook Riverfront I LLC(b)(c)(g) | | 09/23/2023 | | 1M US L + 1.47% | | | 10,376,846 | | | | 10,299,019 | |
| Total Debt Securities | | | | | | | | | | | 23,951,764 | |
| | | | | | | | | | | | | |
| TOTAL REAL ESTATE-RELATED SECURITIES (Cost $23,963,294) | | 23,951,764 | |
| | | | | | | | | | | | | |
| Loan Accumulation Facility (3.74%)(a)(d) | | | | | | | | | | | | |
| Anchorage Capital CLO 26, LTD., Warehouse(b)(c) | | 05/16/2024 | | 14.50% | | | 1,125,000 | | | | 1,125,000 | |
| Brightwood Capital MM CLO 2022-11, LTD Class B LND(b)(c) | | 12/31/2032 | | 14.50% | | | 4,000,000 | | | | 4,000,000 | |
| Marble Point CLO XXV LTD(b) | | 03/02/2023 | | 14.50% | | | 4,000,000 | | | | 4,000,000 | |
| | | | | | | | | | | | | |
| TOTAL LOAN ACCUMULATION FACILITY (Cost $9,125,000) | | 9,125,000 | |
| | | | | | | | | | | | | |
| Common Stocks (2.99%) | | | | | | | | | | | | |
| Boca Homecare Holdings, Inc. (Equity)(b)(c)(f) | | | | | | | 580,645 | | | | 530,646 | |
| Creative Media & Community Trust Corp.(c)(g) | | | | | | | 388,344 | | | | 2,757,243 | |
| IENTC 1, LLC(b)(f)(g) | | | | | | | 3,760,000 | | | | 4,004,440 | |
| TOTAL COMMON STOCKS (Cost $7,447,007) | | 7,292,329 | |
| | | Maturity Date | | Rate | | | Principal | | | | Value | |
| Warrants (0.00%) | | | | | | | | | | | | |
| RumbleON, Inc., Expires 02/28/2023, Strike Price $33.00(b) | | | | | | | 7,576 | | | $ | 4,394 | |
| TOTAL WARRANTS (Cost $83,469) | | | | | | | | | | | 4,394 | |
| | | | | | | | | | | | | |
| Short Term Investments (7.86%) | | | | | | | | | | | | |
| First American Treasury Obligations Fund, 1.271%(h) (Cost $19,186,502) | | | | | | | 19,186,502 | | | | 19,186,502 | |
| TOTAL SHORT TERM INVESTMENTS (Cost $19,186,502) | | | | | | | | 19,186,502 | |
| | | | | | | | | | | | | |
| TOTAL INVESTMENTS 102.01% (Cost $243,820,526) | | | | | | | $ | 248,972,850 | |
| | | | | | | | | | | | | |
| Liabilities In Excess Of Other Assets (-2.01%) | | | | | | | | (4,934,466 | ) |
| | | | | | | | | | | | | |
| NET ASSETS (100.00%) | | | | | | | $ | 244,038,384 | |
| (a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of June 30, 2022 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 $202,755,179, which represented approximately 83.08% of net assets as of June 30, 2022. 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) | Non-income producing investment. |
| (g) | Affiliated investments pursuant to the 1940 Act. See Note 5 for more information. |
| (h) | Money market fund; interest rate reflects seven-day yield as of June 30, 2022. |
| 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 June 30, 2022 was 1.79% |
| 3M US L - 3 Month LIBOR as of June 30, 2022 was 2.29% |
| 1M SOFR - 1 Month SOFR as of June 30, 2022 was 1.52% |
| |
See Notes to Quarterly Schedule of Investments.
| TOTAL RETURN SWAP CONTRACTS(a) | | | | | | | | | | | | | | | |
| | | | | Notional | | | | Termination | | | | | | Net Unrealized | |
| Counterparty | | Reference Entity/Obligation | | Amount | | Fund Pays | | Date | | | Value | | | Appreciation | |
| Citibank, N.A. | | BROOKFIELD WEC HOLDINGS INC TL 1L, 1M SOFR + 3.75 | | $ | 200,000 | | | 3M US L + 1.35% | | | 08/01/2025 | | | $ | 200,856 | | | $ | 856 | |
| Citibank, N.A. | | Dave & Buster's, Inc. TLB 1L, | | | 253,333 | | | 3M US L + 1.35% | | | 06/22/2029 | | | | 254,501 | | | | 1,168 | |
| Citibank, N.A. | | Prestige Brands, Inc., 1M US L + 2.00 | | | 238,800 | | | 3M US L + 1.35% | | | 07/03/2028 | | | | 238,933 | | | | 133 | |
| | | | | $ | 692,133 | | | | | | | | | $ | 694,290 | | | $ | 2,157 | |
| | | | | Notional | | | | | Termination | | | | | | Net Unrealized | |
| Counterparty | | Reference Entity/Obligation | | Amount | | | Fund Pays | | Date | | | Value | | | Depreciation | |
| Citibank, N.A. | | 1011778 B.C. Unlimited Liability Company, 1M US L + 1.75 | | $ | 155,439 | | | 3M US L + 1.35% | | | 11/19/2026 | | | $ | 150,979 | | | $ | (4,460 | ) |
| Citibank, N.A. | | Academy, Ltd., 1M US L + 3.75 | | | 868,461 | | | 3M US L + 1.35% | | | 11/05/2027 | | | | 824,100 | | | | (44,361 | ) |
| Citibank, N.A. | | Acrisure LLC, 1M US L + 3.50 | | | 590,203 | | | 3M US L + 1.35% | | | 02/15/2027 | | | | 545,623 | | | | (44,580 | ) |
| Citibank, N.A. | | Acrisure LLC, 1M US L + 3.75(b) | | | 548,414 | | | 3M US L + 1.35% | | | 02/15/2027 | | | | 520,024 | | | | (28,390 | ) |
| Citibank, N.A. | | Acrisure LLC, 1M US L + 4.25 | | | 148,131 | | | 3M US L + 1.35% | | | 02/15/2027 | | | | 141,291 | | | | (6,840 | ) |
| Citibank, N.A. | | ADMI Corp. TLB3 1L, 1M US L + 3.50 | | | 796,401 | | | 3M US L + 1.35% | | | 12/23/2027 | | | | 735,707 | | | | (60,694 | ) |
| Citibank, N.A. | | Advantage Sales & Marketing, Inc., 1M US L + 4.50 | | | 754,248 | | | 3M US L + 1.35% | | | 10/28/2027 | | | | 706,223 | | | | (48,025 | ) |
| Citibank, N.A. | | Aegion Corp., 1M US L + 4.75(b) | | | 434,213 | | | 3M US L + 1.35% | | | 05/17/2028 | | | | 399,794 | | | | (34,419 | ) |
| Citibank, N.A. | | AHP Health Partners, Inc., 1M US L + 3.50 | | | 287,101 | | | 3M US L + 1.35% | | | 08/24/2028 | | | | 272,845 | | | | (14,256 | ) |
| Citibank, N.A. | | Allen Media LLC, 3M US L + 5.50 | | | 1,513,130 | | | 3M US L + 1.35% | | | 02/10/2027 | | | | 1,369,268 | | | | (143,862 | ) |
| Citibank, N.A. | | Allied Universal Holdco LLC, 1M US L + 3.75 | | | 493,769 | | | 3M US L + 1.35% | | | 05/12/2028 | | | | 455,930 | | | | (37,839 | ) |
| Citibank, N.A. | | Amentum Government Services Holdings LLC TLB 1L, 6M SOFR + 4.00 | | | 351,176 | | | 3M US L + 1.35% | | | 02/15/2029 | | | | 337,061 | | | | (14,115 | ) |
| Citibank, N.A. | | Anesthesia Partners, Inc., 1M US L + 4.25 | | | 938,649 | | | 3M US L + 1.35% | | | 10/02/2028 | | | | 882,519 | | | | (56,130 | ) |
| Citibank, N.A. | | AP Core Holdings II LLC, 1M US L + 5.50(b) | | | 1,154,100 | | | 3M US L + 1.35% | | | 09/01/2027 | | | | 1,110,143 | | | | (43,957 | ) |
| Citibank, N.A. | | Applovin Corp., 1M US L + 3.25 | | | 195,550 | | | 3M US L + 1.35% | | | 08/15/2025 | | | | 187,463 | | | | (8,087 | ) |
| Citibank, N.A. | | Aramark Intermediate HoldCo Corp., 1M US L + 1.75 | | | 197,839 | | | 3M US L + 1.35% | | | 03/11/2025 | | | | 192,600 | | | | (5,239 | ) |
| Citibank, N.A. | | Arches Buyer, Inc., 1M US L + 3.25 | | | 594,951 | | | 3M US L + 1.35% | | | 12/06/2027 | | | | 546,919 | | | | (48,032 | ) |
| Citibank, N.A. | | Asurion LLC, 1M US L + 3.00 | | | 194,412 | | | 3M US L + 1.35% | | | 11/04/2024 | | | | 183,792 | | | | (10,620 | ) |
| Citibank, N.A. | | Athenahealth Group Inc. 1L, 1M SOFR + 3.50 | | | 100,942 | | | 3M US L + 1.35% | | | 2/15/2029 | | | | 93,714 | | | | (7,228 | ) |
| Citibank, N.A. | | Athenahealth Group Inc. TLB 1L, 1M SOFR + 3.50 | | | 595,558 | | | 3M US L + 1.35% | | | 2/15/2029 | | | | 552,914 | | | | (42,644 | ) |
| Citibank, N.A. | | Athletico Physical Therapy TLB, 6M SOFR + 4.25 | | | 904,545 | | | 3M US L + 1.35% | | | 02/15/2029 | | | | 865,627 | | | | (38,918 | ) |
| Citibank, N.A. | | Atlantic Aviation Corp., 3M SOFR + 7.25 | | | 954,754 | | | 3M US L + 1.35% | | | 09/22/2028 | | | | 905,904 | | | | (48,850 | ) |
| Citibank, N.A. | | Autokiniton US Holdings, Inc., 1M US L + 4.50 | | | 1,092,357 | | | 3M US L + 1.35% | | | 04/06/2028 | | | | 1,009,992 | | | | (82,365 | ) |
| Citibank, N.A. | | Bakemark Holdings, Inc., 3M US L + 4.00(b) | | | 495,013 | | | 3M US L + 1.35% | | | 09/05/2028 | | | | 462,675 | | | | (32,338 | ) |
| Citibank, N.A. | | Bausch Health Companies Inc. 1L TLB, | | | 950,400 | | | 3M US L + 1.35% | | | 02/01/2027 | | | | 827,131 | | | | (123,269 | ) |
| Citibank, N.A. | | BCPE North Star US Holdco 2, Inc. TL 1L, 3M US L + 4.00(b) | | | 955,793 | | | 3M US L + 1.35% | | | 06/09/2028 | | | | 890,352 | | | | (65,441 | ) |
| Citibank, N.A. | | Burlington Coat Factory Warehouse Corp., 1M US L + 2.00 | | | 541,778 | | | 3M US L + 1.35% | | | 06/26/2028 | | | | 517,956 | | | | (23,822 | ) |
| Citibank, N.A. | | Caesars Resort Collection LLC, 1M US L + 3.50 | | | 494,962 | | | 3M US L + 1.35% | | | 07/21/2025 | | | | 478,319 | | | | (16,643 | ) |
| Citibank, N.A. | | Caesars Resort Collection LLC, 1M US L + 2.75 | | | 589,287 | | | 3M US L + 1.35% | | | 12/23/2024 | | | | 571,703 | | | | (17,584 | ) |
| Citibank, N.A. | | CCRR Parent, Inc., 3M US L + 3.75(b) | | | 891,073 | | | 3M US L + 1.35% | | | 03/06/2028 | | | | 845,794 | | | | (45,279 | ) |
| Citibank, N.A. | | CDK GLOBAL, INC.TLB 1L, | | | 248,179 | | | 3M US L + 1.35% | | | 06/08/2029 | | | | 241,741 | | | | (6,438 | ) |
| Citibank, N.A. | | Charter Next Generation, Inc., 1M US L +3.75 | | | 737,578 | | | 3M US L + 1.35% | | | 12/01/2027 | | | | 702,379 | | | | (35,199 | ) |
| Citibank, N.A. | | CHG Healthcare Services, Inc., 6M US L + 3.50 | | | 348,543 | | | 3M US L + 1.35% | | | 09/29/2028 | | | | 332,254 | | | | (16,289 | ) |
| Citibank, N.A. | | City Brewing Co. LLC, 3M US L + 3.50(b) | | | 221,658 | | | 3M US L + 1.35% | | | 04/05/2028 | | | | 196,846 | | | | (24,812 | ) |
| Citibank, N.A. | | Clydesdale Acquisition Holdings, Inc., 1M SOFR + 4.25 | | | 793,069 | | | 3M US L + 1.35% | | | 04/13/2029 | | | | 769,257 | | | | (23,812 | ) |
| Citibank, N.A. | | Compass Power Generation LLC, 1M SOFR +4.25 | | | 483,788 | | | 3M US L + 1.35% | | | 04/14/2027 | | | | 478,800 | | | | (4,988 | ) |
| Citibank, N.A. | | Conduent Business Services LLC, (b) | | | 492,525 | | | 3M US L + 1.35% | | | 10/15/2028 | | | | 485,063 | | | | (7,462 | ) |
| Citibank, N.A. | | Connect Finco Sarl, 1M US L + 3.50 | | | 739,889 | | | 3M US L + 1.35% | | | 12/11/2026 | | | | 681,323 | | | | (58,566 | ) |
| Citibank, N.A. | | Core & Main LP, 1M US L + 2.50 | | | 412,508 | | | 3M US L + 1.35% | | | 07/27/2028 | | | | 395,106 | | | | (17,402 | ) |
| Citibank, N.A. | | Corel Corp., 3M US L + 5.00 | | | 521,075 | | | 3M US L + 1.35% | | | 07/02/2026 | | | | 499,906 | | | | (21,169 | ) |
| TOTAL RETURN SWAP CONTRACTS(a) (continued) | | | | | | | | | | | |
| | Notional | | | | | Termination | | | | | | Net Unrealized | |
| Counterparty | | Reference Entity/Obligation | | Amount | | | Fund Pays | | Date | | | Value | | | Appreciation | |
| Citibank, N.A. | | CoreLogic, Inc., 1M US L + 3.50 | | $ | 495,009 | | | 3M US L + 1.35% | | | 06/02/2028 | | | $ | 415,858 | | | $ | (79,151 | ) |
| Citibank, N.A. | | Cornerstone OnDemand, Inc, 1M US L + 3.75 | | | 691,144 | | | 3M US L + 1.35% | | | 10/16/2028 | | | | 622,551 | | | | (68,593 | ) |
| Citibank, N.A. | | CP Atlas Buyer, Inc., 1M US L + 3.75 | | | 396,583 | | | 3M US L + 1.35% | | | 11/23/2027 | | | | 349,984 | | | | (46,599 | ) |
| Citibank, N.A. | | Dermatology Intermediate Holdings III, Inc. 1L, 1M SOFR + 4.25(b) | | | 55,581 | | | 3M US L + 1.35% | | | 03/26/2029 | | | | 51,969 | | | | (3,612 | ) |
| Citibank, N.A. | | Dermatology Intermediate Holdings III, Inc. TLB 1L, 1M SOFR + 4.25(b) | | | 291,413 | | | 3M US L + 1.35% | | | 03/26/2029 | | | | 278,032 | | | | (13,381 | ) |
| Citibank, N.A. | | DexKo Global Inc., Delayed TL, 3M US L + 3.75 | | | 130,954 | | | 3M US L + 1.35% | | | 10/04/2028 | | | | 120,969 | | | | (9,985 | ) |
| Citibank, N.A. | | DexKo Global Inc., TLB, 3M US L + 3.75 | | | 685,789 | | | 3M US L + 1.35% | | | 10/04/2028 | | | | 635,085 | | | | (50,704 | ) |
| Citibank, N.A. | | DG Investment Intermediate Holdings 2, Inc., 1M US L + 3.75 | | | 1,202,582 | | | 3M US L + 1.35% | | | 03/31/2028 | | | | 1,128,221 | | | | (74,361 | ) |
| Citibank, N.A. | | DIRECTV Financing LLC, 1M US L + 5.00 | | | 1,031,113 | | | 3M US L + 1.35% | | | 08/02/2027 | | | | 954,397 | | | | (76,716 | ) |
| Citibank, N.A. | | Diversitech Holdings, Inc., 3M US L + 3.75 | | | 51,429 | | | 3M US L + 1.35% | | | 12/22/2028 | | | | 48,471 | | | | (2,958 | ) |
| Citibank, N.A. | | Diversitech Holdings, Inc., 3M US L + 3.75 | | | 246,710 | | | 3M US L + 1.35% | | | 12/22/2028 | | | | 233,693 | | | | (13,017 | ) |
| Citibank, N.A. | | East West Manufacturing, LLC Delayed TL 1L, 3M SOFR + 5.75(b) | | | 94,286 | | | 3M US L + 1.35% | | | 12/22/2026 | | | | 90,238 | | | | (4,048 | ) |
| Citibank, N.A. | | East West Manufacturing, LLC TLB 1L, 3M SOFR + 5.75(b) | | | 646,653 | | | 3M US L + 1.35% | | | 12/22/2028 | | | | 618,892 | | | | (27,761 | ) |
| Citibank, N.A. | | ELEMENT MATERIALS TECH GROUP US HDGS Delayed TL, | | | 55,449 | | | 3M US L + 1.35% | | | 04/12/2029 | | | | 53,621 | | | | (1,828 | ) |
| Citibank, N.A. | | ELEMENT MATERIALS TECH GROUP US HOLDINGS INC. TL, | | | 120,139 | | | 3M US L + 1.35% | | | 04/12/2029 | | | | 116,178 | | | | (3,961 | ) |
| Citibank, N.A. | | Fertitta Entertainment, LLC TLB 1L, 1M SOFR + 4.00 | | | 346,089 | | | 3M US L + 1.35% | | | 01/29/2029 | | | | 320,937 | | | | (25,152 | ) |
| Citibank, N.A. | | Gainwell Acquisition Corp., 3M US L + 4.00 | | | 296,165 | | | 3M US L + 1.35% | | | 10/01/2027 | | | | 280,264 | | | | (15,901 | ) |
| Citibank, N.A. | | Garda World Security Corp., 1M US L + 4.25 | | | 593,428 | | | 3M US L + 1.35% | | | 10/30/2026 | | | | 551,117 | | | | (42,311 | ) |
| Citibank, N.A. | | Garda World Security Corporation TLB 1L, 1M SOFR + 4.25(b) | | | 495,000 | | | 3M US L + 1.35% | | | 02/01/2029 | | | | 461,250 | | | | (33,750 | ) |
| Citibank, N.A. | | Great Outdoors Group, LLC TLB 1L, 1M SOFR + 4.25 | | | 1,482,572 | | | 3M US L + 1.35% | | | 03/06/2028 | | | | 1,365,247 | | | | (117,325 | ) |
| Citibank, N.A. | | Help/Systems Holdings, Inc., 3M SOFR + 4.00 | | | 493,687 | | | 3M US L + 1.35% | | | 11/19/2026 | | | | 464,189 | | | | (29,498 | ) |
| Citibank, N.A. | | HUB International, Ltd., 3M US L + 3.25 | | | 197,746 | | | 3M US L + 1.35% | | | 04/25/2025 | | | | 189,255 | | | | (8,491 | ) |
| Citibank, N.A. | | Hunter Douglas Inc.TLB 1L, 3M SOFR +3.50 | | | 497,500 | | | 3M US L + 1.35% | | | 02/25/2029 | | | | 432,268 | | | | (65,233 | ) |
| Citibank, N.A. | | Ivanti Software, Inc., 3M US L + 4.25 | | | 665,000 | | | 3M US L + 1.35% | | | 12/01/2027 | | | | 576,113 | | | | (88,886 | ) |
| Citibank, N.A. | | Jadex, Inc., 1M US L + 4.75(b) | | | 362,255 | | | 3M US L + 1.35% | | | 02/11/2028 | | | | 336,770 | | | | (25,485 | ) |
| Citibank, N.A. | | KNS Midco Corp., 3M US L + 6.25(b) | | | 588,750 | | | 3M US L + 1.35% | | | 04/21/2027 | | | | 540,914 | | | | (47,836 | ) |
| Citibank, N.A. | | LBM Acquisition LLC, 1M US L + 3.75 | | | 640,882 | | | 3M US L + 1.35% | | | 12/18/2027 | | | | 529,128 | | | | (111,754 | ) |
| Citibank, N.A. | | Liftoff Mobile, Inc., 3M US L + 3.75 | | | 494,468 | | | 3M US L + 1.35% | | | 10/02/2028 | | | | 439,491 | | | | (54,977 | ) |
| Citibank, N.A. | | LogMeIn, Inc., 1M US L + 4.75 | | | 693,214 | | | 3M US L + 1.35% | | | 08/31/2027 | | | | 534,947 | | | | (158,267 | ) |
| Citibank, N.A. | | LSCS Holdings, Inc., 1M US L + 4.50(b) | | | 346,509 | | | 3M US L + 1.35% | | | 12/16/2028 | | | | 332,579 | | | | (13,930 | ) |
| Citibank, N.A. | | LSF9 ATLANTIS HOLDINGS, LLC, 3M SOFR + 7.25 | | | 1,216,184 | | | 3M US L + 1.35% | | | 03/29/2029 | | | | 1,164,632 | | | | (51,552 | ) |
| Citibank, N.A. | | MA FinanceCo LLC, 3M US L + 4.25(b) | | | 223,352 | | | 3M US L + 1.35% | | | 06/05/2025 | | | | 203,148 | | | | (20,204 | ) |
| Citibank, N.A. | | Madison IAQ LLC, 6M US L + 3.25 | | | 646,659 | | | 3M US L + 1.35% | | | 06/21/2028 | | | | 595,420 | | | | (51,239 | ) |
| Citibank, N.A. | | Magenta Buyer LLC, 3M US L + 5.00 | | | 804,640 | | | 3M US L + 1.35% | | | 07/27/2028 | | | | 728,428 | | | | (76,212 | ) |
| Citibank, N.A. | | McAfee Corp. TLB 1L, 1M SOFR + 4.00 | | | 918,462 | | | 3M US L + 1.35% | | | 03/01/2029 | | | | 843,078 | | | | (75,384 | ) |
| Citibank, N.A. | | McGraw-Hill Education, Inc., 6M US L + 4.75 | | | 1,137,718 | | | 3M US L + 1.35% | | | 07/28/2028 | | | | 1,043,862 | | | | (93,856 | ) |
| Citibank, N.A. | | Medline Industries, LP, Term Loan, 1M US L + 3.25 | | | 870,089 | | | 3M US L + 1.35% | | | 10/21/2028 | | | | 812,126 | | | | (57,963 | ) |
| Citibank, N.A. | | MH Sub I LLC, 1M US L + 3.75 | | | 246,126 | | | 3M US L + 1.35% | | | 09/15/2024 | | | | 231,921 | | | | (14,205 | ) |
| Citibank, N.A. | | Midwest Physician Administrative Services LLC, 3M US L + 3.25 | | | 728,227 | | | 3M US L + 1.35% | | | 03/13/2028 | | | | 669,713 | | | | (58,514 | ) |
| Citibank, N.A. | | Mitchell International, Inc., 1M US L + 3.75 | | | 660,013 | | | 3M US L + 1.35% | | | 10/15/2028 | | | | 607,644 | | | | (52,369 | ) |
| Citibank, N.A. | | MJH Healthcare Holdings, LLC, TLB, 1M SOFR + 3.50(b) | | | 165,833 | | | 3M US L + 1.35% | | | 01/28/2029 | | | | 157,500 | | | | (8,333 | ) |
| Citibank, N.A. | | Naked Juice LLC, 3M SOFR + 3.25 | | | 997,500 | | | 3M US L + 1.35% | | | 01/24/2029 | | | | 934,165 | | | | (63,335 | ) |
| Citibank, N.A. | | Olaplex, Inc TL 1L, 3M SOFR + 3.75(b) | | | 230,192 | | | 3M US L + 1.35% | | | 02/17/2029 | | | | 218,654 | | | | (11,538 | ) |
| Citibank, N.A. | | Oldcastle Building Envelope Inc TLB 1L, 6M SOFR +4.50 | | | 482,500 | | | 3M US L + 1.35% | | | 04/14/2029 | | | | 448,750 | | | | (33,750 | ) |
| Citibank, N.A. | | Osmosis Buyer Limited Del T1 1L, | | | 137,847 | | | 3M US L + 1.35% | | | 07/31/2028 | | | | 126,621 | | | | (11,226 | ) |
| Citibank, N.A. | | Osmosis Buyer Limited TLB 1L, | | | 606,528 | | | 3M US L + 1.35% | | | 07/31/2028 | | | | 557,132 | | | | (49,396 | ) |
| Citibank, N.A. | | PetSmart LLC, 6M US L + 3.75 | | | 1,288,747 | | | 3M US L + 1.35% | | | 02/11/2028 | | | | 1,221,143 | | | | (67,604 | ) |
| Citibank, N.A. | | Pitney Bowes INC.TL, 1M US L + 4.00(b) | | | 691,491 | | | 3M US L + 1.35% | | | 03/17/2028 | | | | 662,414 | | | | (29,077 | ) |
| Citibank, N.A. | | Plaze, Inc., 1M US L + 3.75(b) | | | 790,497 | | | 3M US L + 1.35% | | | 08/03/2026 | | | | 739,115 | | | | (51,382 | ) |
| Citibank, N.A. | | Pretium PKG Holdings, Inc., 3M US L + 4.00 | | | 277,902 | | | 3M US L + 1.35% | | | 10/02/2028 | | | | 252,941 | | | | (24,961 | ) |
| Citibank, N.A. | | Primary Products Finance LLC, 3M SOFR+ 4.00 | | | 577,500 | | | 3M US L + 1.35% | | | 04/01/2029 | | | | 568,840 | | | | (8,660 | ) |
| Citibank, N.A. | | Proofpoint, Inc., 3M US L + 3.25 | | | 707,517 | | | 3M US L + 1.35% | | | 08/31/2028 | | | | 662,361 | | | | (45,156 | ) |
| Citibank, N.A. | | Quest Borrower Limited TL 1L, 3M SOFR + 4.25 | | | 990,000 | | | 3M US L + 1.35% | | | 02/01/2029 | | | | 892,810 | | | | (97,190 | ) |
| Citibank, N.A. | | Redstone Holdco 2 LP, 3M US L + 4.75 | | | 710,000 | | | 3M US L + 1.35% | | | 04/27/2028 | | | | 617,078 | | | | (92,922 | ) |
| Citibank, N.A. | | Ring Container Technologies Group LLC, 6M US L + 3.75 | | | 388,545 | | | 3M US L + 1.35% | | | 08/12/2028 | | | | 372,888 | | | | (15,657 | ) |
| Citibank, N.A. | | Rough Country, LLC 1L, 1M US L + 3.50(b) | | | 1,265,441 | | | 3M US L + 1.35% | | | 07/26/2028 | | | | 1,212,585 | | | | (52,856 | ) |
| Citibank, N.A. | | Ryan Specialty Group LLC, 1M SOFR + 3.00(b) | | | 196,827 | | | 3M US L + 1.35% | | | 09/01/2027 | | | | 189,623 | | | | (7,204 | ) |
| Citibank, N.A. | | Scientific Games Holdings LP TLB 1L, 3M SOFR +3.50 | | | 454,545 | | | 3M US L + 1.35% | | | 04/04/2029 | | | | 422,064 | | | | (32,481 | ) |
| Citibank, N.A. | | Seattle SpinCo, Inc., 1M SOFR + 4.00(b) | | | 246,881 | | | 3M US L + 1.35% | | | 02/28/2027 | | | | 227,555 | | | | (19,326 | ) |
| Citibank, N.A. | | SINCLAIR TELEVISION GROUP, INC. TLB4 1L, 1M SOFR + 3.75 | | | 339,500 | | | 3M US L + 1.35% | | | 04/13/2029 | | | | 323,750 | | | | (15,750 | ) |
| Citibank, N.A. | | Sitel Worldwide Corp., 3M US L + 3.75 | | | 677,169 | | | 3M US L + 1.35% | | | 08/27/2028 | | | | 656,115 | | | | (21,054 | ) |
| Citibank, N.A. | | Sovos Brands Intermediate, Inc., 6M US L + 3.75 | | | 351,098 | | | 3M US L + 1.35% | | | 06/08/2029 | | | | 334,099 | | | | (16,999 | ) |
| Citibank, N.A. | | Specialty Building Products Holdings LLC, 1M US L + 3.75 | | | 497,256 | | | 3M US L + 1.35% | | | 10/15/2028 | | | | 442,641 | | | | (54,615 | ) |
| Citibank, N.A. | | SRS Distribution Inc., 6M US L + 3.50 | | | 360,386 | | | 3M US L + 1.35% | | | 06/02/2028 | | | | 336,240 | | | | (24,146 | ) |
| Citibank, N.A. | | Sunshine Luxembourg VII S.a r.l., 3M US L + 3.75 | | | 963,715 | | | 3M US L + 1.35% | | | 10/02/2026 | | | | 893,267 | | | | (70,448 | ) |
| Citibank, N.A. | | Teneo Holdings LLC, 1M SOFR + 5.25 | | | 789,008 | | | 3M US L + 1.35% | | | 07/12/2025 | | | | 742,742 | | | | (46,266 | ) |
| Citibank, N.A. | | TGP Holdings III LLC, 1M US L + 3.25 | | | 318,971 | | | 3M US L + 1.35% | | | 06/29/2028 | | | | 273,249 | | | | (45,722 | ) |
| Citibank, N.A. | | TGP Holdings III LLC, 1M US L + 3.25 | | | 42,058 | | | 3M US L + 1.35% | | | 06/29/2028 | | | | 36,030 | | | | (6,028 | ) |
| Citibank, N.A. | | TricorBraun Holdings, Inc., 1M US L + 3.25 | | | 611,701 | | | 3M US L + 1.35% | | | 03/03/2028 | | | | 576,889 | | | | (34,812 | ) |
| Citibank, N.A. | | TruGreen LP, 1M US L + 4.00 | | | 247,135 | | | 3M US L + 1.35% | | | 11/02/2027 | | | | 234,963 | | | | (12,172 | ) |
| Citibank, N.A. | | Virtusa Corporation TL 1L, 1M SOFR + 3.75(b) | | | 296,258 | | | 3M US L + 1.35% | | | 02/15/2029 | | | | 283,789 | | | | (12,469 | ) |
| Citibank, N.A. | | Watlow Electric Manufacturing Co., 1M US L + 3.75 | | | 1,049,654 | | | 3M US L + 1.35% | | | 03/02/2028 | | | | 987,136 | | | | (62,518 | ) |
| Citibank, N.A. | | WW International, Inc., 1M US L + 3.50 | | | 1,171,997 | | | 3M US L + 1.35% | | | 04/13/2028 | | | | 930,577 | | | | (241,420 | ) |
| Citibank, N.A. | | Xperi Holding Corp., 1M US L + 3.50 | | | 945,250 | | | 3M US L + 1.35% | | | 06/08/2028 | | | | 911,558 | | | | (33,692 | ) |
| Citibank, N.A. | | Zelis Payments Buyer, Inc., 1M US L + 3.50 | | | 987,475 | | | 3M US L + 1.35% | | | 09/30/2026 | | | | 935,042 | | | | (52,433 | ) |
| | | | | $ | 66,475,954 | | | | | | | | | $ | 61,721,963 | | | $ | (4,753,991 | ) |
| TOTAL | | | | $ | 67,168,087 | | | | | | | | | $ | 62,416,253 | | | $ | (4,751,834 | ) |
|
| (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 an indirectly 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 be held through one or more wholly-owned real estate investment trust (“REIT”) subsidiaries (each, a “REIT Subsidiary”), (2) publicly traded REITs and private REITs, (3) real estate mortgages, (4) commercial mortgage-backed securities (“CMBS”) and (5) infrastructure assets that may be held through a REIT Subsidiary. The Fund’s investments in Real Assets will consist of real assets in densely populated qualified communities throughout the United States.
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 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 (the “Class A Shares”) at a price of $25.00 per share, 4,000 Class C Common Shares (the “Class C Shares”) at a price of $25.00 per share, and 4,000 Class L Common Shares (the “Class L Shares”) at a price of $25.00 per share. On January 28, 2020, an affiliate of the Adviser purchased 156,607 Class I Shares. The Adviser and its affiliates own shares in the Fund representing 3.69% and 3.72% of the NAV as of June 30, 2022 and July 31, 2022, respectively.
| 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)) |
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. Class specific expenses, where applicable, include distribution fees, shareholder servicing fees, and networking fees.
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 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 and indemnification provisions. 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.
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.
In 2021, the Fund changed its tax year end from April 30 to September 30 to better align with the Fund's fiscal year end. To effect this change, the Fund has filed Form 1128 with the Internal Revenue Service.
On March 30, 2022, the Fund formed a REIT subsidiary (the “REIT Subsidiary”) to hold two of the Fund’s existing real estate investments. The REIT Subsidiary intends to qualify and elect to be taxed as a real estate investment trust (“REIT”) for federal income tax purposes under Sections 856 through 860 of the Code, commencing with its taxable year ending December 31, 2022. If the REIT Subsidiary qualifies for taxation as a REIT, the REIT Subsidiary will generally not be subject to federal corporate income tax to the extent it distributes its taxable income to its stockholders, and so long as it, among other things, distributes at least 90% of its annual taxable income (computed without regard to the dividends paid deduction and excluding net capital gains). REITs are subject to a number of other organizational and operational requirements. Even if the REIT Subsidiary qualifies for taxation as a REIT, it may be subject to certain state and local taxes on its income and property, and federal income and excise taxes on its undistributed income. The financial statements contained herein include the accounts of the Fund and the REIT Subsidiary.
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 assets attributable to the applicable class by the total number of Common Shares of such class outstanding. The Fund’s 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 have evaluated the impact of adopting Rule 2a-5 and do not believe this rule will have a material impact on the financial statements. We 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 for disclosure purposes. 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 fair 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 for 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 Fund’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 June 30, 2022:
| Investments in Securities at Value | | Level 1 - Unadjusted
Quoted Prices | | | Level 2 - Other Significant Observable Inputs | | | Level 3 - Significant Unobservable Inputs | | | Total | |
| Bank Loans | | $ | – | | | $ | 3,105,684 | | | $ | 50,366,053 | | | $ | 53,471,737 | |
| Collateralized Loan Obligations - Equity | | | – | | | | – | | | | 21,828,345 | | | | 21,828,345 | |
| Collateralized Loan Obligations - Debt | | | – | | | | 42,840,010 | | | | – | | | | 42,840,010 | |
| Commercial Mortgage-Backed Securities | | | – | | | | 6,572,648 | | | | 4,020,828 | | | | 10,593,476 | |
| Direct Real Estate | | | – | | | | – | | | | 60,679,293 | | | | 60,679,293 | |
| Real Estate-Related Securities(1) | | | – | | | | – | | | | 23,951,764 | | | | 23,951,764 | |
| Common Stocks | | | 2,757,243 | | | | – | | | | 4,535,086 | | | | 7,292,329 | |
| Warrants | | | – | | | | – | | | | 4,394 | | | | 4,394 | |
| Loan Accumulation Facility(2) | | | – | | | | – | | | | 9,125,000 | | | | 9,125,000 | |
| Short Term Investments | | | 19,186,502 | | | | – | | | | – | | | | 19,186,502 | |
| Total | | $ | 21,943,745 | | | $ | 52,518,342 | | | $ | 174,510,763 | | | $ | 248,972,850 | |
| Other Financial Instruments | | | | | | | | | | | | | | | | |
| Assets |
| Total Return Swap Contracts | | $ | – | | | $ | 2,157 | | | $ | – | | | $ | 2,157 | |
| Liabilities |
| Total Return Swap Contracts | | $ | – | | | $ | (4,089,701 | ) | | $ | (664,290 | ) | | $ | (4,753,991 | ) |
| Total | | $ | – | | | $ | (4,087,544 | ) | | $ | (664,290 | ) | | $ | (4,751,834 | ) |
|
| (1) | Asset was held at cost as of June 30, 2022. |
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/
Deperciation | | | Purchases | | | Sales
Proceeds | | | Transfer into Level
3 | | | Transfer Out of
Level 3 | | | Balance as of
June 30, 2022 | | | Net change in unrealized
appreciation/(depreciation)
included in the Statements of
Operations attributable to
Level 3 investments held at
June 30, 2022 | |
| Bank Loans | | $ | 6,695,955 | | | $ | 34,069 | | | $ | - | | | $ | 11,430 | | | $ | (875,625 | ) | | $ | 45,353,062 | | | $ | (852,837 | ) | | $ | - | | | $ | - | | | $ | 50,366,054 | | | $ | (875,625 | ) |
| Common Stocks | | | - | | | | - | | | | - | | | | - | | | | 194,441 | | | | 4,340,645 | | | | - | | | | - | | | | - | | | | 4,535,086 | | | | 194,441 | |
| Commercial Mortgage-Backed Securities | | | 4,629,027 | | | | 42,196 | | | | - | | | | (1,129 | ) | | | (1,231,629 | ) | | | 587,187 | | | | (4,824 | ) | | | - | | | | - | | | | 4,020,828 | | | | (1,231,629 | ) |
| Direct Real Estate | | | 16,495,100 | | | | - | | | | - | | | | - | | | | 9,084,383 | | | | 35,099,810 | | | | - | | | | - | | | | - | | | | 60,679,293 | | | | 9,084,383 | |
| Real Estate-Related Securities | | | 14,618,750 | | | | 54,257 | | | | - | | | | - | | | | (35,741 | ) | | | 14,546,482 | | | | (5,231,985 | ) | | | - | | | | - | | | | 25,831,763 | | | | (35,741 | ) |
| Loan Accumulation Facility | | | 2,500,000 | | | | - | | | | - | | | | - | | | | - | | | | 9,125,000 | | | | (2,500,000 | ) | | | - | | | | - | | | | 9,125,000 | | | | - | |
| Warrants | | | 107,000 | | | | - | | | | - | | | | - | | | | (102,606 | ) | | | - | | | | - | | | | - | | | | - | | | | 4,394 | | | | (102,606 | ) |
| CLO - Equity | | | - | | | | 394,435 | | | | - | | | | - | | | | (849,776 | ) | | | 14,826,134 | | | | - | | | | 7,457,552 | | | | - | | | | 21,828,345 | | | | (849,776 | ) |
| | | $ | 45,045,832 | | | $ | 524,957 | | | $ | - | | | $ | 10,301 | | | $ | 6,183,447 | | | $ | 123,878,320 | | | $ | (8,589,646 | ) | | $ | 7,457,552 | | | $ | | | | $ | 174,510,763 | | | $ | 6,183,447 | |
| | | Total Return Swap Contracts | |
| Balance as of September 30, 2021 | | $ | 52,304 | |
| Change in Unrealized Appreciation/Depreciation | | | (165,338 | ) |
| Purchased Unrealized Appreciation/Depreciation | | | 9,687,426 | |
| Sold Unrealized Appreciation/Depreciation | | | (11,361,824 | ) |
| Transfers In of Unrealized Appreciation/Depreciation | | | 203,148 | |
| Transfers Out of Unrealized Appreciation/Depreciation | | | (136,255 | ) |
| Balance as of June 30, 2022 | | $ | (1,435,945 | ) |
| Net change in unrealized appreciation/(depreciation) attributable to Level 3 investments held at June 30, 2022 | | $ | (88,629 | ) |
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 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 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. As of June 30, 2022, the total return swap had unrealized depreciation of ($4,752,336).
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. As of June 30, 2022, the Fund had one interest rate cap agreement designated as a hedging instrument with a fair value of $202,324.
NOTE 4 — Direct Real Estate Investments
During the nine months ended June 30, 2022, the Fund acquired a 100% interest in a multi-family residential property in Los Angeles, California (“Sora”). As of June 30, 2022, the value of the property was $13,954,855, net of the Fund's mortgage note of $39,983,344.
During the nine months ended June 30, 2022, the Fund invested $15,000,000, inclusive of an unfunded commitment of $1,049,940 as of June 30, 2022, for an 18.85% membership interest in a joint venture (the “Del Mar Joint Venture”) with an affiliate. The Del Mar Joint Venture acquired a multi-family residential property in Phoenix, Arizona. As of June 30, 2022, the value of Fund’s investment in the Del Mar Joint Venture was $17,013,320, net of the Fund’s share of a mortgage note of $33,206,516.
During the nine months ended June 30, 2022, the Fund acquired a 100% interest in an office property in Los Angeles, California (“Jefferson”). The property is currently under development in Los Angeles, California. As of June 30, 2022, the value of the property was $3,258,958, which was held at cost as of June 30, 2022.
As of June 30, 2022 the Fund owned five properties, which had a fair market value of $60,679,293.
NOTE 5 — Investment Transactions
During the nine months ended June 30, 2022, the Fund and an affiliate provided financing to an entity ("IENTC 2") that owns 99.9% of a United States domiciled company that operates a fiber-optic internet network in northern Mexico (the “Mexico Joint Venture”). Specifically, the Fund and an affiliate provided a tranche of senior secured term loan (the “Senior Loan”) that has a total funding obligation of $3,500,000 (for which the Fund funded $1,645,000). The Senior Loan has a maturity date of March 31, 2031 and had an all-in interest rate of SOFR plus 9.75% as of June 30, 2022.
Additionally, the Fund and the affiliate committed to provide a tranche of a delayed draw term loan (the "Delayed Draw Term Loan”) that has a total funding obligation of $14,500,000 (for which the Fund has a funding obligation of $6,815,000). As of June 30, 2022, the Fund funded $1,880,000 on the Delayed Draw Term Loan. In addition, the Fund purchased $3,760,000 of common units (the "Common Units") in an entity ("IENTC 1") that owns 100% of IENTC 2. The Fund owns approximately 21% of IENTC 1, while the affiliate and a third-party own the remaining portion of the entity.
During the nine months ended June 30, 2022, the Fund invested in the Del Mar Venture and the Mexico Joint Venture, both of which are affiliated investments. The affiliated investment purchases during the nine months ended June 30, 2022 and the related positions as of June 30, 2022 follow:
NOTE 6 — Affiliated Transactions
These affiliated investments purchases during the period ended June 30, 2022 and the related positions as of June 30, 2022 follows:
| Security Name | | Ownership % | | | Market Value as of October 1, 2021 | | | Purchases | | | Sales | | | Market Value as of June 30, 2022* | | | Share Balance as of June 30, 2022 | | | Dividends | | | Change in Unrealized Gain (Loss) | |
| CIM Commercial Trust Corp. | | 2 | % | | $ | 2,511,622 | | | $ | 3,375,965 | | | $ | - | | | $ | 2,757,243 | | | | 388,344 | | | $ | 62,034 | | | $ | (740,636 | ) |
| EPIC Dallas | | 11 | % | | | 11,371,495 | | | | 14,070,367 | | | | - | | | | 20,094,661 | | | | N/A | | | | - | | | | (5,347,201 | ) |
| Vale at the Parks - DC | | 8 | % | | | 5,123,605 | | | | 43,200 | | | | - | | | | 6,357,500 | | | | N/A | | | | - | | | | (1,190,694 | ) |
| Society Las Olas - PMG-Greybook Riv | | 7 | % | | | 9,751,102 | | | | 490,161 | | | | - | | | | 10,299,109 | | | | N/A | | | | - | | | | 67,815 | |
| Society Las Olas - 301 SW 1st Avenue | | 4 | % | | | 4,867,648 | | | | 364,336 | | | | - | | | | 5,192,745 | | | | N/A | | | | - | | | | (39,239 | ) |
| DEL MAR TERRACE-PHOENIXAZ | | 18 | % | | | - | | | | 15,000,000 | | | | - | | | | 17,013,319 | | | | N/A | | | | - | | | | 2,013,319 | |
| IENTC 1, LLC | | 21 | % | | | - | | | | 3,760,000 | | | | - | | | | 4,004,440 | | | | N/A | | | | - | | | | 244,440 | |
| IENTC 2, LLC | | 24 | % | | | - | | | | 1,645,000 | | | | - | | | | 1,645,000 | | | | N/A | | | | - | | | | - | |
| IENTC 2, LLC DDTL B-1 | | | | | | - | | | | 6,815,000 | | | | - | | | | 6,815,000 | | | | N/A | | | | - | | | | - | |
| | | | | | $ | 33,625,472 | | | $ | 45,564,029 | | | $ | - | | | $ | 74,179,017 | | | | 388,344 | | | $ | - | | | $ | (4,992,196 | ) |
NOTE 7 — LINE OF CREDIT
As of June 30, 2022 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 June 30, 2022, 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 relating to properties that are wholly owned or that are held in the REIT Subsidiary by the Fund will be consolidated with any leverage incurred directly by the Fund and subject to the 1940 Act’s limitations on leverage. As of June 30, 2022, a subsidiary of the Fund has a mortgage with an outstanding balance of $40.0 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 periods. In addition, as of June 30, 2022, the Fund had three co-investments in real properties that had mortgage notes outstanding. The Fund’s share of the mortgage notes outstanding related to these three co-investments was $49.4 million.
