<PAGE>
CLARION CMBS VALUE FUND, INC.
c/o Clarion Capital / 335 Madison Avenue / New York, NY 10017
Tel 212-883-2500
June 2000
CLARION CMBS VALUE FUND, INC.
Dear Shareholder,
Enclosed is the Semi-Annual Report for the Clarion CMBS Value Fund, Inc. (the
"Fund"). This report covers the period from November 1, 1999 through April 30,
2000. The Fund is a non-diversified, open-end management investment company
which was initially capitalized on December 21, 1994 with the sale of 10,011,100
shares of common stock. As of April 30, 2000, the Fund had investments in
commercial mortgage backed securities with a net investment value of $98,338,904
($119,417,445 face amount) and investments in cash equivalents and other net
assets with a net investment value of $1,928,800.
For the period November 1, 1999 through April 30, 2000, the Fund generated a
gross total return of 6.1%. This compares to a total return of 1.4% for the
Lehman Brothers Aggregate Index and (0.1)% for the Merrill Lynch High Yield
Index. While the Fund has not been affected by the small movement of spreads
during this period, it has benefited from the high current income generated by
its investments and the lowering of the Treasury benchmarks. Currently, the Fund
has an average yield to maturity (7.0 years) of 11.7% with a BB+ average credit
quality, representing excellent value. Given its superior yield, the Fund is
positioned to continue to outperform all relevant indices moving forward.
From a credit perspective, the Fund's seasoned portfolio continues to offer
strong downside protection. The Fund currently invests in a diversified
portfolio of 27 securities, which are backed by more than 4800 loans. The
average mortgage origination date of the loans underlying the portfolio is 1995.
As these mortgages have paid down, the portfolio's subordination level has
increased to 23%, resulting in an effective LTV (average origination date LTV
less subordination) on the current portfolio of 52%.
Given its strong credit quality, the Fund is expected to continue to benefit
from credit upgrades, as mortgages pay down and subordination levels increase.
Over the past two years, the Fund has experienced five credit upgrades based on
the credit quality of its underlying portfolio, and has never had a downgrade.
These upgrades have resulted in additional capital gains, adding to the Fund's
total return. Adding to the Fund's return potential is the anticipated spread
compression in the commercial mortgage sector. CMBS spreads remain at
historically wide levels and are expected to tighten, resulting in substantial
capital appreciation.
In summary, we continue to believe that the Clarion CMBS Value Fund offers one
of the best risk-adjusted returns in today's market.
Daniel Heflin
President
1
<PAGE>
COMPARISON OF VALUE OF A $10,000 INVESTMENT IN CLARION CMBS VALUE FUND, INC.
VS. LEHMAN BROTHERS AGGREGATE INDEX
[GRAPH]
<TABLE>
<CAPTION>
Clarion CMBS LB Aggregate
Month Ending Value Fund Index
<S> <C> <C>
12/31/94 $ 10,000 $ 10,000
1/31/95 $ 10,201 $ 10,198
2/28/95 $ 10,463 $ 10,440
3/31/95 $ 10,544 $ 10,504
4/30/95 $ 10,687 $ 10,651
5/31/95 $ 11,119 $ 11,063
6/30/95 $ 11,233 $ 11,144
7/31/95 $ 11,202 $ 11,120
8/31/95 $ 11,317 $ 11,254
9/30/95 $ 11,508 $ 11,363
10/31/95 $ 11,777 $ 11,511
11/30/95 $ 12,017 $ 11,683
12/31/95 $ 12,183 $ 11,847
1/31/96 $ 12,286 $ 11,926
2/29/96 $ 12,114 $ 11,719
3/31/96 $ 12,160 $ 11,637
4/30/96 $ 12,137 $ 11,572
5/31/96 $ 12,184 $ 11,548
6/30/96 $ 12,388 $ 11,703
7/31/96 $ 12,461 $ 11,736
8/31/96 $ 12,545 $ 11,716
9/30/96 $ 12,793 $ 11,920
10/31/96 $ 13,176 $ 12,184
11/30/96 $ 13,517 $ 12,393
12/31/96 $ 13,489 $ 12,278
1/31/97 $ 13,516 $ 12,315
2/28/97 $ 13,760 $ 12,346
3/31/97 $ 13,714 $ 12,209
4/30/97 $ 14,067 $ 12,392
5/31/97 $ 14,490 $ 12,509
6/30/97 $ 14,814 $ 12,657
7/31/97 $ 14,551 $ 12,999
8/31/97 $ 14,566 $ 12,888
9/30/97 $ 14,934 $ 13,078
10/31/97 $ 15,182 $ 13,268
11/30/97 $ 15,175 $ 13,329
12/31/97 $ 15,188 $ 13,463
1/31/98 $ 15,505 $ 13,636
2/28/98 $ 15,516 $ 13,625
3/31/98 $ 15,650 $ 13,672
4/30/98 $ 15,574 $ 13,744
5/31/98 $ 15,734 $ 13,874
6/30/98 $ 15,872 $ 13,992
7/31/98 $ 15,889 $ 14,021
8/31/98 $ 16,000 $ 14,250
9/30/98 $ 16,142 $ 14,583
10/31/98 $ 15,417 $ 14,506
11/30/98 $ 15,207 $ 14,588
12/31/98 $ 15,378 $ 14,632
1/31/99 $ 15,508 $ 14,737
2/28/99 $ 15,335 $ 14,479
3/31/99 $ 15,464 $ 14,560
4/30/99 $ 15,570 $ 14,606
5/31/99 $ 15,704 $ 14,478
6/30/99 $ 15,690 $ 14,432
7/31/99 $ 15,682 $ 14,370
8/31/99 $ 15,694 $ 14,363
9/30/99 $ 15,885 $ 14,530
10/31/99 $ 15,875 $ 14,583
11/30/99 $ 15,940 $ 14,582
12/31/99 $ 16,056 $ 14,512
1/31/00 $ 16,043 $ 14,464
2/29/00 $ 16,439 $ 14,639
3/31/00 $ 16,795 $ 14,832
4/30/00 $ 16,780 $ 14,790
</TABLE>
The Lehman Brothers Aggregate Index represents securities that are U.S.
domestic, taxable and dollar denominated. The Index covers the U.S. investment
grade fixed rate bond market, with index components for government and corporate
securities, mortgage pass-through securities, and asset-backed securities.
Unlike the returns of the Fund, the total return of the Lehman Brothers
Aggregate Index do not include the adverse effects of shareholder transactions
costs and fund operating expenses.
PERFORMANCE INFORMATION
<TABLE>
<CAPTION>
ONE YEAR ENDED FIVE YEARS ENDED INCEPTION TO
APRIL 30, 2000 APRIL 30, 2000 (a) APRIL 30, 2000 (b)
-------------- ------------------ ------------------
<S> <C> <C> <C>
Clarion CMBS Value Fund, Inc. 7.77% 9.44% 10.14%
</TABLE>
(a) Average annual total return
(b) Average annual total return from commencement of Fund operations (December
21, 1994)
"TOTAL RETURN" IS CALCULATED INCLUDING REINVESTMENT OF ALL DIVIDENDS AND
DISTRIBUTIONS. RESULTS REPRESENT PAST PERFORMANCE AND DO NOT INDICATE FUTURE
RESULTS. THE VALUE OF AN INVESTMENT IN THE FUND AND THE RETURN ON INVESTMENT
WILL FLUCTUATE AND REDEMPTION PROCEEDS MAY BE HIGHER OR LOWER THAN AN INVESTOR'S
ORIGINAL COST. UNLIKE THE RETURNS OF THE FUND, THE TOTAL RETURN OF THE LEHMAN
BROTHERS AGGREGATE INDEX DO NOT INCLUDE THE ADVERSE EFFECTS OF SHAREHOLDER
TRANSACTIONS COSTS AND FUND OPERATING EXPENSES.
2
<PAGE>
CLARION CMBS VALUE FUND, INC.
PORTFOLIO OF INVESTMENTS
APRIL 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
-----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL MORTGAGE SECURITIES (98.08%)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CBM Funding Corp.,
1996-1 Class D 8.645%, 2/1/08 ......................................... $ 960,000 $ 944,178
CS First Boston Mortgage Securities Corp.,
1995-WF1 Class D 7.532%, 12/21/27...................................... 3,000,000 2,892,408
CS First Boston Mortgage Securities Corp.,
1995-WF1 Class E 8.247%, 12/21/27 ..................................... 2,000,000 1,801,436
CS First Boston Mortgage Securities Corp. & DLJ Mortgage Acceptance Corp.,
REMIC 1995-T1 Class D 8.400%, 1/25/05 (b) ............................. 5,839,000 5,028,418
CS First Boston Mortgage Securities Corp. & DLJ Mortgage Acceptance Corp.,
REMIC 1995-T1 Class E 8.400%, 1/25/05 (b) ............................. 11,087,000 8,673,881
CS First Boston Mortgage Securities Corp. & DLJ Mortgage Acceptance Corp.,
REMIC 1995-T1 Class F 8.400%, 1/25/05 (b) (c) ......................... 9,139,184 4,420,422
Chase Commercial Mortgage
1997-2 Class F 6.600%, 8/19/12 ........................................ 5,800,000 4,146,478
DLJ Mortgage Acceptance Corp.,
1996-CF1 Class B2 8.267%, 5/12/09 (b) ................................. 1,000,000 971,986
DLJ Commercial Mortgage Corp.,
1998-CF1 Class B3 7.600%, 1/15/13 (b).................................. 10,000,000 8,050,370
DLJ Commercial Mortgage Corp.,
1998-CF1 Class B4 7.600%, 1/15/13 (b) ................................. 2,100,000 1,460,059
Federal Deposit Insurance Corp.,
REMIC Trust 1994-C1 Class IIE 8.700%, 9/25/25.......................... 3,035,390 3,076,556
First Union - Lehman Brothers,
1997-C2 Class A3 6.650%, 12/18/07...................................... 5,000,000 4,620,825
GMAC Commercial Mortgage Securities Inc.,
1997-C1 Class G 7.414%, 12/15/13 (b) .................................. 10,000,000 7,333,680
J.P. Morgan Commercial Mortgage Finance Corp.,
1996-C3 Class E 8.218%, 4/25/28 ....................................... 500,000 486,383
LB Commercial Conduit Mortgage Trust,
1996-C2 Class E 7.944%, 10/25/26 ...................................... 1,944,050 1,827,699
Merrill Lynch Mortgage Investors,
1995-C2 Class D 7.777%, 6/15/21 ....................................... 857,412 832,761
Morgan Stanley Capital I, Inc.,
1998-XL1 Class H 7.150%, 6/03/30 (b)................................... 5,000,000 3,896,880
Morgan Stanley Capital I, Inc.,
1999-1NYP Class F 7.489%, 5/03/06 (b).................................. 2,000,000 1,842,228
Morgan Stanley Capital I, Inc.,
1999-LIFE Class A2 7.110%, 7/15/09 .................................... 4,000,000 3,850,360
Mortgage Capital Funding, Inc.,
1995-MC1 Class A4 8.350%, 5/25/27...................................... 4,575,500 4,608,169
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
CLARION CMBS VALUE FUND, INC.
PORTFOLIO OF INVESTMENTS --(CONTINUED)
APRIL 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
-----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL MORTGAGE SECURITIES--(CONTINUED)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Mortgage Capital Funding, Inc.,
1997-MC1 Class F 7.452%, 5/20/07 (b)................................... $ 2,000,000 $ 1,625,250
Mortgage Capital Funding, Inc.,
1997-MC2 Class F 7.214%, 4/20/07 (b)................................... 7,000,000 5,439,525
Nationslink Funding Corp.,
1998-1, Class F 7.050%, 2/20/08 (b) ................................... 5,000,000 3,726,110
Nationslink Funding Corp.,
1999-1, Class A2 6.316%, 4/20/08....................................... 5,000,000 4,588,810
Prudential Securities Secured Financing Corp.,
1995-MCF2 Class F 8.555%, 12/26/22 (b) ................................ 5,557,000 5,563,946
Resolution Trust Corp.,
1994-C2 Class G 8.000%, 4/25/25........................................ 4,095,499 3,877,349
Resolution Trust Corp.,
1995-C2 Class F 7.000%, 5/25/27........................................ 2,927,410 2,752,737
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL MORTGAGE SECURITIES
(COST $101,314,730)................................................... 98,338,904
-----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT (0.27%)
-----------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (0.27%)
State Street Bank and Trust Company 4.250%, due 5/01/00
(Collateralized by $280,000 U.S. Treasury Note,
5.00%, due 4/30/01) (COST $276,000)................................... 276,000 276,000
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (98.35%)
(COST $101,590,730) (D)................................................ 98,614,904
-----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS, NET OF LIABILITIES (1.65%)................................... 1,652,800
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100.00%)....................................................... $100,267,704
===================================================================================================================================
</TABLE>
(a) See Note A to Financial Statements.
(b) 144A Security. Restricted as to public resale. Value of restricted
securities at April 30, 2000 was $58,032,755 or 57.88% of net assets. (Cost
$60,162,133).
(c) Security is deemed illiquid at April 30, 2000.
(d) The cost for federal income tax purposes was $101,590,730. At April 30,
2000 net unrealized depreciation for all securities based on tax cost was
$2,975,826. This consisted of aggregate gross unrealized appreciation for
all securities of $2,016,460 and aggregate gross unrealized depreciation
for all securities of $4,992,286.
See Notes to Financial Statements.
4
<PAGE>
CLARION CMBS VALUE FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------------
ASSETS
<S> <C>
Investments, at Cost......................................................... $ 101,590,730
================
Investments, at Value........................................................ $ 98,614,904
Receivable for Securities Sold............................................... 6,624,998
Interest Receivable.......................................................... 1,053,850
Paydown Receivable........................................................... 143,289
Prepaid Expenses............................................................. 8,359
---------------------------------------------------------------------------------------------------------------------------------
Total Assets.................................................................... 106,445,400
---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for Securities Purchased............................................. 5,478,356
Accrued Advisory Fee - Note B................................................ 169,201
Payable to Custodian......................................................... 375,833
Dividends Payable............................................................ 4,077
Other Liabilities............................................................ 150,229
---------------------------------------------------------------------------------------------------------------------------------
Total Liabilities....................................................... 6,177,696
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS...................................................................... $ 100,267,704
=================================================================================================================================
NET ASSETS CONSIST OF:
Paid in Capital ............................................................. 106,357,209
Dividends Paid in Excess of Net Investment Income............................ (431,158)
Accumulated Net Realized Loss................................................ (2,682,521)
Unrealized Depreciation...................................................... (2,975,826)
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS...................................................................... $ 100,267,704
=================================================================================================================================
COMMON STOCK
Shares Issued and Outstanding, ($0.01 par value) (Authorized 250,000,000) 12,150,593
Net Asset Value Per Share.................................................... $ 8.25
=================================================================================================================================
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
CLARION CMBS VALUE FUND, INC.
STATEMENT OF OPERATIONS
FOR THE SIX MONTH PERIOD ENDED APRIL 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
<S> <C>
Interest.............................................................. $ 4,575,631
---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment Advisory Fees - Note B..................................... $ 321,997
Administrative Fees - Note C.......................................... 30,000
Custodian Fees - Note D............................................... 27,331
Audit Fees............................................................ 12,432
Legal Fees............................................................ 17,902
Insurance Fees........................................................ 8,951
Directors' Fees - Note F.............................................. 2,586
---------------------------------------------------------------------------------------------------------------------------------
Total Expenses..................................................... 421,199
Less Fee Waived.................................................... (12,266)
---------------------------------------------------------------------------------------------------------------------------------
Net Expenses....................................................... 408,933
---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME..................................................... 4,166,698
---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED LOSS ON INVESTMENTS.......................................... (1,090,123)
NET CHANGE IN UNREALIZED APPRECIATION ON INVESTMENTS...................... 2,386,698
---------------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS................................................... 1,296,575
---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 5,463,273
=================================================================================================================================
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
CLARION CMBS VALUE FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS YEAR
ENDED ENDED
APRIL 30, 2000 OCTOBER 31, 1999
-------------- ----------------
(UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
<S> <C> <C>
Net Investment Income...................................... $ 4,166,698 $ 8,495,260
Net Realized Gain/(Loss)................................... (1,090,123) (1,592,398)
Net Change in Unrealized Appreciation/(Depreciation)....... 2,386,698 (3,892,957)
---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations..... 5,463,273 3,009,905
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income..................................... (4,074,314) (8,368,404)
---------------------------------------------------------------------------------------------------------------------------------
Total Distributions.................................... (4,074,314) (8,368,404)
---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (1)
Issued - Regular............................................ - 850,000
- In Lieu of Cash Distributions...................... 34,161 15,400
Redeemed ..................................................... (405,132) -
---------------------------------------------------------------------------------------------------------------------------------
Net Increase from Capital Share Transactions............. (370,971) 865,400
---------------------------------------------------------------------------------------------------------------------------------
Total Increase............................................. 1,017,988 (4,493,099)
Net Assets:
Beginning of Year.......................................... 99,249,716 103,742,815
---------------------------------------------------------------------------------------------------------------------------------
End of Year (including distributions in excess of
net investment income of $431,158 and $523,542,
respectively) ............................................ $ 100,267,704 $ 99,249,716
=================================================================================================================================
(1) Shares Issued and Redeemed:
Shares Issued................................................. - 104,251
In Lieu of Cash Distribution.............................. 4,191 1,862
Shares Redeemed........................................... (48,900) -
---------------------------------------------------------------------------------------------------------------------------------
(44,709) 106,113
=================================================================================================================================
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
CLARION CMBS VALUE FUND, INC.
STATEMENT OF CASH FLOWS
FOR THE SIX MONTH PERIOD ENDED APRIL 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
<S> <C>
Net increase in net assets from operations....................................... $ 5,463,273
Adjustment to reconcile net increase in net assets from operations
to net cash provided by operating activities:
Purchase of investment securities.............................................. (25,320,791)
Proceeds from sale of investment securities.................................... 22,110,706
Net decrease in short-term securities.......................................... 895,000
Principal paydowns............................................................. 1,609,137
Decrease in interest receivable................................................ 289,473
Decrease in payable to Custodian............................................... (22,584)
Increase in accrued expenses................................................... 37,659
Unrealized appreciation on investments......................................... (2,386,698)
Net realized loss on investments............................................... 1,090,123
Decrease in other assets....................................................... 225,910
---------------------------------------------------------------------------------------------------------------------------------
Net Cash Provided by Operating Activities.................................... 3,991,208
---------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES: *
Cash Subscriptions Received...................................................... 450,000
Cash Distributions Paid.......................................................... (4,036,076)
Cash Redemptions Paid............................................................ (405,132)
---------------------------------------------------------------------------------------------------------------------------------
Net Cash Used for Financing Activities....................................... (3,991,208)
---------------------------------------------------------------------------------------------------------------------------------
Net Decrease in Cash................................................................ -
CASH AT BEGINNING OF PERIOD........................................................ -
---------------------------------------------------------------------------------------------------------------------------------
CASH AT END OF PERIOD............................................................... $ -
==================================================================================================================================
</TABLE>
* Non-cash financing activities not included herein consist of reinvestment of
dividends of $34,161.
See Notes to Financial Statements.
8
<PAGE>
CLARION CMBS VALUE FUND, INC.
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS YEAR YEAR YEAR YEAR DECEMBER 21,
ENDED ENDED ENDED ENDED ENDED 1994 (2) TO
PER SHARE OPERATING PERFORMANCE APRIL 30, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 1998 1997 (1) 1996 1995
(UNAUDITED)
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.14 $ 8.58 $ 9.66 $ 9.25 $ 10.82 $ 10.00
---------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.34 0.70 0.68 0.81 0.93 0.75
Net Realized and Unrealized Gain (Loss) 0.10 (0.45) (0.52) 0.40 0.06 0.78
---------------------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 0.44 0.25 0.16 1.21 0.99 1.53
---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (0.33) (0.69) (0.68) (0.80) (0.98) (0.71)
In Excess of Net Investment Income - - - - (0.06) -
Net Realized Gain - - (0.27) - (0.48) -
Return of Capital - - (0.29) - (1.04) -
---------------------------------------------------------------------------------------------------------------------------------
Total Distributions (0.33) (0.69) (1.24) (0.80) (2.56) (0.71)
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 8.25 $ 8.14 $ 8.58 $ 9.66 $ 9.25 $ 10.82
---------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN
Net Asset Value (3) (4) 5.57%(5) 3.10% 1.55% 13.65% 10.26% 15.69%(5)
---------------------------------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) $100,268 $ 99,250 $ 103,743 $ 112,614 $ 107,833 $ 115,796
Ratio of Net Expenses to Average Net Assets 0.80%(6) 0.80% 0.80% 0.79% 0.80% 0.80%(6)
Ratio of Net Investment Income to Average Net Assets 8.39%(6) 8.40% 7.42% 8.56% 9.03% 8.30%(6)
Ratio of Voluntary Waived Fees and Expenses
Assumed by the Adviser to Average Net Assets 0.06%(6) 0.15% 0.13% 0.10% 0.08% 0.05%(6)
Portfolio Turnover Rate 31%(5) 29% 6% 42% 25% 72%(5)
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Effective July 21, 1997, Clarion Capital became the investment adviser to
the Fund.
(2) Commencement of Operations.
(3) Total investment return based on per share net asset value reflects the
effects of changes in net asset value on the performance of the Fund during
the period, and assumes dividends and distributions, if any, were
reinvested at net asset value. The Fund's shares are not traded, therefore
market value total investment return is not calculated.
(4) Total return would have been lower had certain fees not been waived during
the periods.
(5) Not annualized.
(6) Annualized.
See Notes to Financial Statements.
9
<PAGE>
CLARION CMBS VALUE FUND, INC.
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Clarion CMBS Value Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as a non-diversified, open-end management
investment company. Prior to July 8, 1999, the Fund was registered as a
closed-end management investment company. The objective of the Fund is to
provide high current income by investing primarily in commercial mortgage-backed
securities.
Effective May 11, 1999, the Fund changed its name from 13A Commercial Mortgage
Securities Fund, Inc. to the Clarion CMBS Value Fund, Inc.
The Fund's common stock is not registered under the Securities Act of 1933. The
Fund has two classes of shares, Class A and Class X. Class A Shares are offered
on a private placement basis only. Class X Shares are owned by investors who
received their interests in the Fund at the time the Fund was a closed-end Fund.
There were no Class A Share transactions during the period ended April 30, 2000
and no shares were outstanding as of April 30, 2000.
A. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting
policies are in conformity with generally accepted accounting principles. Such
policies are consistently followed by the Fund in the preparation of its
financial statements. Generally accepted accounting principles may require
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results may differ from
those estimates.
1. SECURITY VALUATION: Commercial mortgage securities' and other fixed
income securities' valuations are based on information with respect to
transactions in such securities, quotations from dealers, market
transactions in comparable securities and various relationships between
securities. Short-term investments that have remaining maturities of sixty
days or less at time of purchase are valued at amortized cost, if it
approximates market value.
The value of commercial mortgage securities for which no quotations are
readily available are determined in good faith at fair value using methods
approved by the Board of Directors. These prices may differ from the value
that would have been used had a broader market for the securities existed
and the differences could be material to the financial statements.
2. FEDERAL INCOME TAXES: It is the Fund's intention to qualify as a
regulated investment company under Subchapter M of the Internal Revenue
Code and to distribute all of its taxable income. Accordingly, no provision
for Federal income taxes is required in the financial statements.
3. REPURCHASE AGREEMENTS: In connection with transactions involving
repurchase agreements, the Fund's custodian takes possession of the
underlying securities, the value of which exceeds the principal amount of
the repurchase transaction, including accrued interest. To the extent that
any repurchase transaction exceeds one business day, the value of the
collateral is monitored on a daily basis to determine the adequacy of the
collateral. In the event of default on the obligation to repurchase, the
Fund has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. In the event of default or bankruptcy by
the other party to the agreement, realization and/or retention of the
collateral or proceeds may be subject to legal proceedings.
4. DISTRIBUTIONS TO SHAREHOLDERS: The Fund will distribute substantially
all of its net investment income monthly. Any realized net capital gains
will be distributed annually. All distributions are recorded on the
ex-dividend date. Under the Fund's Automatic Dividend Reinvestment Plan,
all dividends and capital gain distributions are automatically reinvested
10
<PAGE>
CLARION CMBS VALUE FUND, INC.
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
in additional shares at net asset value. Shareholders who do not elect to
participate in such Plan will receive their dividends and distributions in
cash unless the Board of Directors elects to pay such distributions in
shares of the Fund's common stock.
The amount and character of income and capital gain distributions to be
paid are determined in accordance with Federal income tax regulations which
may differ from generally accepted accounting principles. These differences
are primarily due to differing book and tax treatments of distributions.
5. RESTRICTED SECURITIES: The Fund is permitted to invest in privately
placed restricted securities. These securities may be resold in
transactions exempt from registration. Disposal of these securities may
involve time consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
6. OTHER: Security transactions are accounted for on the trade date, the
date the trade was executed. Costs used in determining realized gains and
losses on the sale of investment securities are based on the specific
identification method. Interest income is recognized on an accrual basis.
B. ADVISORY SERVICES: Clarion Capital provides investment advisory services
to the Fund at a fee calculated at an annual rate of 0.65% of the Fund's
average monthly net assets. The Advisor has waived its fee to the extent
necessary to limit the Fund's total expenses to 0.80% of average net
assets.
C. ADMINISTRATION SERVICES: The Fund engages State Street Bank and Trust Company
(the "Bank") to provide limited administration services in accordance with the
administration agreement.
D. CUSTODIAN: State Street Kansas City serves as custodian for the Fund's assets
held in accordance with the custodian agreement.
E. PURCHASES AND SALES: For the period ended April 30, 2000 the Fund made
purchases of $30,799,147 and sales of $28,735,704 of investment securities other
than long-term U.S. Government and short-term securities. There were no
purchases or sales of long-term U.S. Government securities during the period.
F. DIRECTORS AND LEGAL FEES: Each Director, who is not an officer or affiliated
person, receives $1,500 per annum plus $250 per meeting attended. Legal fees of
$11,936 were paid to a law firm in which a partner is an officer of the Fund.
G. OTHER: At April 30, 2000 99.4% of total shares outstanding were held by one
record shareholder.
11
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CLARION CMBS VALUE FUND, INC.
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OFFICERS AND DIRECTORS
Frank L. Sullivan Jr.
Chairman of the Board of Directors
Daniel Heflin
President, Chief Executive Officer and Director
Fredrick D. Arenstein
Treasurer, Compliance Officer and
Chief Financial Officer
Joanne Vitale
Secretary and Director
Robert Kopchains
Vice President
Paul S. Schreiber
Assistant Secretary
E. Robert Roskind
Director
Stephen Asheroff
Director
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INVESTMENT ADVISER
Clarion Capital, LLC
335 Madison Avenue
New York, NY 10017
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ADMINISTRATOR
State Street Bank and Trust Company
2 Avenue de Lafayette
Boston, MA 02111
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CUSTODIAN
State Street Kansas City
801 Pennsylvania Avenue
Kansas City, MO 64105
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CLARION CMBS VALUE
FUND, INC.
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SEMI-ANNUAL REPORT
APRIL 30, 2000
(UNAUDITED)
