COHEN & STEERS QUALITY INCOME REALTY FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 28, 2024 (Unaudited)*
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Shares |
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Value |
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| COMMON STOCK—REAL ESTATE |
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111.4 |
% |
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| APARTMENT |
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8.4 |
% |
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| Apartment Income REIT Corp.(a)(b) |
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508,083 |
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$ |
16,497,455 |
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| Camden Property Trust(b) |
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111,250 |
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10,947,000 |
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| Essex Property Trust, Inc.(b) |
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224,678 |
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55,003,421 |
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| Mid-America Apartment Communities,
Inc. |
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61,845 |
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8,137,565 |
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| UDR, Inc. |
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1,414,109 |
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52,901,818 |
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143,487,259 |
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| DATA CENTERS |
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12.4 |
% |
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| Digital Realty Trust, Inc.(a)(b) |
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809,294 |
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116,570,708 |
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| Equinix, Inc.(b) |
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115,137 |
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95,026,020 |
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211,596,728 |
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| DIVERSIFIED |
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1.4 |
% |
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| WP Carey, Inc. |
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439,924 |
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24,829,310 |
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| FREE STANDING |
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7.2 |
% |
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| NETSTREIT Corp.(b) |
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1,103,359 |
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20,268,705 |
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| Realty Income Corp.(b) |
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1,908,445 |
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103,246,874 |
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123,515,579 |
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| GAMING |
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3.7 |
% |
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| VICI Properties, Inc., Class A(a)(b) |
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2,132,391 |
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63,523,928 |
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| HEALTH CARE |
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11.6 |
% |
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| Healthcare Realty Trust, Inc., Class A |
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3,345,258 |
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47,335,401 |
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| Welltower, Inc.(b)(c) |
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1,622,330 |
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151,590,515 |
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198,925,916 |
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| HOTEL |
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1.9 |
% |
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| Host Hotels & Resorts, Inc. |
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1,556,545 |
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32,189,351 |
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| INDUSTRIALS |
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11.7 |
% |
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| Americold Realty Trust, Inc. |
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877,653 |
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21,871,113 |
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| BG LLH, LLC (Lineage Logistics)(d) |
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142,519 |
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14,528,387 |
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| Prologis, Inc.(a)(b) |
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1,252,651 |
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163,120,213 |
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199,519,713 |
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| MANUFACTURED HOME |
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3.6 |
% |
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| Sun Communities, Inc.(c) |
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475,119 |
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61,090,801 |
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| OFFICE |
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0.8 |
% |
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| Highwoods Properties, Inc.(a)(b) |
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510,337 |
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13,360,623 |
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| REGIONAL MALL |
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7.5 |
% |
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| Simon Property Group, Inc.(a)(b) |
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814,032 |
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127,387,868 |
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| SELF STORAGE |
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6.1 |
% |
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| Extra Space Storage, Inc.(b) |
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511,129 |
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75,135,963 |
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| Public Storage(b) |
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98,442 |
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28,554,086 |
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103,690,049 |
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| SHOPPING CENTER |
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1.6 |
% |
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| Kimco Realty Corp.(b) |
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1,375,853 |
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26,980,477 |
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| SINGLE FAMILY HOMES |
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7.6 |
% |
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| American Homes 4 Rent, Class A(a)(b) |
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328,970 |
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12,099,517 |
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| Invitation Homes, Inc.(b) |
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3,309,684 |
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117,857,847 |
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129,957,364 |
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1
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Shares |
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Value |
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| SPECIALTY |
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4.1 |
% |
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| Iron Mountain, Inc.(b) |
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758,038 |
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$ |
60,802,228 |
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| Lamar Advertising Co., Class A |
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81,024 |
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9,675,076 |
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70,477,304 |
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| TELECOMMUNICATIONS |
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17.8 |
% |
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| American Tower Corp.(b) |
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1,155,761 |
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228,366,816 |
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| Crown Castle, Inc.(b) |
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713,400 |
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75,499,122 |
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303,865,938 |
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| TIMBERLAND |
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4.0 |
% |
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| Rayonier, Inc.(b) |
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561,124 |
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18,651,762 |
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| Weyerhaeuser Co.(b)(c) |
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1,402,699 |
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50,370,921 |
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69,022,683 |
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| TOTAL COMMON STOCK
(Identified cost—$1,438,290,526) |
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1,903,420,891 |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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|
10.9 |
% |
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| APARTMENT |
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|
0.1 |
% |
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| Centerspace, 6.625%, Series C(b)(e) |
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98,959 |
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2,388,870 |
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| BANKING |
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1.2 |
% |
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| Bank of America Corp., 5.375%, Series KK(b)(e) |
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|
100,000 |
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|
2,395,000 |
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| Bank of America Corp., 6.00%, Series GG(b)(e) |
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|
224,608 |
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|
5,642,153 |
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| JPMorgan Chase & Co., 4.625%, Series LL(b)(e) |
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|
124,812 |
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|
2,718,405 |
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| JPMorgan Chase & Co., 5.75%, Series DD(b)(e) |
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|
75,000 |
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|
|
1,876,500 |
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| Wells Fargo & Co., 4.25%, Series DD(b)(e) |
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|
69,325 |
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|
1,351,144 |
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| Wells Fargo & Co., 4.70%, Series AA(b)(e) |
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|
88,000 |
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|
1,892,000 |
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| Wells Fargo & Co., 4.75%, Series Z(b)(e) |
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|
208,044 |
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|
4,514,555 |
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| Wells Fargo & Co., 7.50%, Series L (Convertible)(e) |
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|
137 |
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167,051 |
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| |
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20,556,808 |
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| DATA CENTERS |
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|
0.4 |
% |
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| Digital Realty Trust, Inc., 5.20%, Series L(b)(e) |
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110,691 |
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|
2,426,347 |
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| Digital Realty Trust, Inc., 5.85%, Series K(b)(e) |
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|
161,925 |
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3,818,191 |
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6,244,538 |
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| DIVERSIFIED |
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|
1.6 |
% |
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| Armada Hoffler Properties, Inc., 6.75%, Series A(b)(e) |
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378,000 |
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|
8,327,340 |
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| DigitalBridge Group, Inc., 7.125%, Series J(a)(b)(e) |
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|
404,788 |
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|
9,496,326 |
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| DigitalBridge Group, Inc., 7.15%, Series I(b)(e) |
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|
404,770 |
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|
9,423,046 |
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27,246,712 |
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| FINANCE |
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|
0.1 |
% |
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| KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61(b) |
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50,000 |
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|
997,500 |
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| FREE STANDING |
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|
0.8 |
% |
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| Agree Realty Corp., 4.25%, Series A(b)(e) |
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|
153,002 |
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|
2,714,255 |
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| Realty Income Corp., 6.00%, Series A(b)(e) |
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|
420,071 |
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10,388,356 |
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13,102,611 |
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| HOTEL |
|
|
1.1 |
% |
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| Pebblebrook Hotel Trust, 5.70%, Series H(b)(e) |
|
|
|
220,000 |
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|
|
4,136,000 |
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| Pebblebrook Hotel Trust, 6.375%, Series G(b)(e) |
|
|
|
168,800 |
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|
|
3,478,968 |
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| RLJ Lodging Trust, 1.95%, Series A (Convertible)(b)(e) |
|
|
|
115,291 |
|
|
|
2,823,477 |
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2
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| |
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Shares |
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|
Value |
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| Summit Hotel Properties, Inc., 5.875%, Series F(b)(e) |
|
|
|
|
|
|
122,693 |
|
|
$ |
2,401,102 |
|
| Summit Hotel Properties, Inc., 6.25%, Series E(b)(e) |
|
|
|
|
|
|
226,000 |
|
|
|
4,648,820 |
|
| Sunstone Hotel Investors, Inc., 6.125%, Series H(b)(e) |
|
|
|
|
|
|
96,680 |
|
|
|
2,050,583 |
|
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|
19,538,950 |
|
|
|
|
|
|
|
|
|
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|
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|
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| INDUSTRIALS |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| LXP Industrial Trust, 6.50%, Series C(b)(e) |
|
|
|
|
|
|
92,192 |
|
|
|
4,274,943 |
|
| Rexford Industrial Realty, Inc., 5.625%, Series C(b)(e) |
|
|
|
|
|
|
30,000 |
|
|
|
647,400 |
|
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|
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|
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|
|
4,922,343 |
|
|
|
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|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Allstate Corp., 7.375%, Series J(b)(e) |
|
|
|
|
|
|
81,248 |
|
|
|
2,181,509 |
|
| American Financial Group, Inc., 5.875%, due 3/30/59(b) |
|
|
|
|
|
|
26,958 |
|
|
|
663,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
2,844,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MANUFACTURED HOME |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| UMH Properties, Inc., 6.375%, Series D(b)(e) |
|
|
|
|
|
|
115,000 |
|
|
|
2,601,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OFFICE |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| City Office REIT, Inc., 6.625%, Series A(b)(e) |
|
|
|
|
|
|
61,000 |
|
|
|
1,070,550 |
|
| Hudson Pacific Properties, Inc., 4.75%, Series C(b)(e) |
|
|
|
|
|
|
266,200 |
|
|
|
3,678,884 |
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| Vornado Realty Trust, 5.25%, Series N(b)(e) |
|
|
|
|
|
|
158,108 |
|
|
|
2,384,269 |
|
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|
|
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|
|
|
|
7,133,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REGIONAL MALL |
|
|
0.0 |
% |
|
|
|
|
|
|
|
|
| Brookfield Property Partners LP, 5.75%, Series A(e) |
|
|
|
|
|
|
30,560 |
|
|
|
389,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SELF STORAGE |
|
|
1.2 |
% |
|
|
|
|
|
|
|
|
| National Storage Affiliates Trust, 6.00%, Series A(b)(e) |
|
|
|
|
|
|
192,080 |
|
|
|
4,402,474 |
|
| Public Storage, 4.00%, Series P(b)(e) |
|
|
|
|
|
|
230,138 |
|
|
|
4,257,553 |
|
| Public Storage, 4.10%, Series S(b)(e) |
|
|
|
|
|
|
50,000 |
|
|
|
944,500 |
|
| Public Storage, 4.625%, Series L(b)(e) |
|
|
|
|
|
|
450,000 |
|
|
|
9,625,500 |
|
| Public Storage, 4.70%, Series J(b)(e) |
|
|
|
|
|
|
30,000 |
|
|
|
644,700 |
|
| Public Storage, 4.75%, Series K(b)(e) |
|
|
|
|
|
|
18,000 |
|
|
|
389,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,264,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
1.4 |
% |
|
|
|
|
|
|
|
|
| Kimco Realty Corp., 5.125%, Series L(b)(e) |
|
|
|
|
|
|
24,619 |
|
|
|
563,283 |
|
| Kimco Realty Corp., 5.25%, Class M(b)(e) |
|
|
|
|
|
|
181,358 |
|
|
|
4,153,098 |
|
| Regency Centers Corp., 5.875%, Series B(b)(e) |
|
|
|
|
|
|
209,900 |
|
|
|
4,924,254 |
|
| Regency Centers Corp., 6.25%, Series A(b)(e) |
|
|
|
|
|
|
157,556 |
|
|
|
3,809,704 |
|
| Saul Centers, Inc., 6.00%, Series E(b)(e) |
|
|
|
|
|
|
111,000 |
|
|
|
2,370,960 |
|
| Saul Centers, Inc., 6.125%, Series D(b)(e) |
|
|
|
|
|
|
101,300 |
|
|
|
2,271,146 |
|
| SITE Centers Corp., 6.375%, Series A(b)(e) |
|
|
|
|
|
|
225,154 |
|
|
|
5,077,223 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,169,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SINGLE FAMILY HOMES |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
| American Homes 4 Rent, 5.875%, Series G(b)(e) |
|
|
|
|
|
|
103,420 |
|
|
|
2,377,626 |
|
| American Homes 4 Rent, 6.25%, Series H(b)(e) |
|
|
|
|
|
|
228,349 |
|
|
|
5,551,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,928,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SPECIALTY |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| EPR Properties, 5.75%, Series G(b)(e) |
|
|
|
|
|
|
132,002 |
|
|
|
2,513,318 |
|
| EPR Properties, 9.00%, Series E (Convertible)(b)(e) |
|
|
|
|
|
|
57,085 |
|
|
|
1,544,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,058,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATION SERVICES |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| AT&T, Inc., 4.75%, Series C(b)(e) |
|
|
|
|
|
|
210,000 |
|
|
|
4,223,100 |
|
| AT&T, Inc., 5.00%, Series A(b)(e) |
|
|
|
|
|
|
124,144 |
|
|
|
2,651,716 |
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
Value |
|
| AT&T, Inc., Senior Debt, 5.625%, due 8/1/67(a)(b) |
|
|
|
|
|
|
145,567 |
|
|
$ |
3,556,202 |
|
| U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70(b) |
|
|
|
|
|
|
135,504 |
|
|
|
2,452,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,883,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| CMS Energy Corp., 5.875%, due 3/1/79(b) |
|
|
|
|
|
|
166,310 |
|
|
|
4,119,499 |
|
| DTE Energy Co., 5.25%, due 12/1/77, Series E(b) |
|
|
|
|
|
|
114,351 |
|
|
|
2,830,187 |
|
| Sempra, 5.75%, due 7/1/79(b) |
|
|
|
|
|
|
89,854 |
|
|
|
2,151,105 |
|
| Southern Co., 4.95%, due 1/30/80, Series 2020(b) |
|
|
|
|
|
|
39,187 |
|
|
|
900,909 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,001,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$199,079,095) |
|
|
|
186,274,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
|
|
| PREFERRED
SECURITIES—OVER-THE-COUNTER |
|
|
12.6 |
% |
|
|
|
|
|
|
|
|
| BANKING |
|
|
8.0 |
% |
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9
(Spain)(b)(e)(f)(g) |
|
|
|
4,000,000 |
|
|
|
3,975,899 |
|
| Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(b)(e)(f)(g) |
|
|
|
1,200,000 |
|
|
|
1,293,552 |
|
| Bank of America Corp., 6.10% to 3/17/25, Series AA(b)(e)(g) |
|
|
|
4,000,000 |
|
|
|
4,021,052 |
|
| Bank of America Corp., 6.25% to 9/5/24, Series X(a)(b)(e)(g) |
|
|
|
6,000,000 |
|
|
|
6,021,828 |
|
| Bank of America Corp., 6.30% to 3/10/26, Series DD(b)(e)(g) |
|
|
|
2,000,000 |
|
|
|
2,011,798 |
|
| Bank of New York Mellon Corp., 3.75% to 12/20/26, Series I(a)(b)(e)(g) |
|
|
|
3,877,000 |
|
|
|
3,563,351 |
|
| Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(b)(g) |
|
|
|
1,000,000 |
|
|
|
1,043,701 |
|
| Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(b)(e)(f)(g) |
|
|
|
4,400,000 |
|
|
|
4,676,769 |
|
| BNP Paribas SA, 7.75% to 8/16/29 (France)(b)(e)(f)(g)(h) |
|
|
|
3,800,000 |
|
|
|
3,899,496 |
|
| BNP Paribas SA, 8.50% to 8/14/28 (France)(b)(e)(f)(g)(h) |
|
|
|
2,200,000 |
|
|
|
2,305,054 |
|
| Charles Schwab Corp., 4.00% to 6/1/26, Series I(a)(b)(e)(g) |
|
|
|
6,750,000 |
|
|
|
6,323,559 |
|
| Charles Schwab Corp., 4.00% to 12/1/30, Series H(b)(e)(g) |
|
|
|
2,500,000 |
|
|
|
2,112,512 |
|
| Charles Schwab Corp., 5.375% to 6/1/25, Series G(b)(e)(g) |
|
|
|
2,550,000 |
|
|
|
2,538,727 |
|
| Citigroup, Inc., 3.875% to 2/18/26, Series X(b)(e)(g) |
|
|
|
2,500,000 |
|
|
|
2,365,683 |
|
| Citigroup, Inc., 4.00% to 12/10/25, Series W(a)(b)(e)(g) |
|
|
|
6,000,000 |
|
|
|
5,767,478 |
|
| Citigroup, Inc., 4.15% to 11/15/26, Series Y(b)(e)(g) |
|
|
|
2,100,000 |
|
|
|
1,939,631 |
|
| Citigroup, Inc., 5.95% to 5/15/25, Series P(b)(e)(g) |
|
|
|
2,000,000 |
|
|
|
1,999,496 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(b)(e)(g) |
|
|
|
2,140,000 |
|
|
|
2,150,846 |
|
| Credit Agricole SA, 6.875% to 9/23/24 (France)(b)(e)(f)(g)(h) |
|
|
|
3,000,000 |
|
|
|
3,000,050 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(b)(e)(f)(g)(h) |
|
|
|
5,000,000 |
|
|
|
5,109,700 |
|
| Credit Suisse Group AG, 5.25%, Claim (Switzerland)(e)(f)(h)(i)(j) |
|
|
|
1,500,000 |
|
|
|
172,500 |
|
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(b)(e)(f)(g) |
|
|
|
3,200,000 |
|
|
|
3,153,835 |
|
| ING Groep NV, 5.75% to 11/16/26 (Netherlands)(b)(e)(f)(g) |
|
|
|
2,800,000 |
|
|
|
2,668,069 |
|
| ING Groep NV, 6.50% to 4/16/25 (Netherlands)(b)(e)(f)(g) |
|
|
|
4,200,000 |
|
|
|
4,151,611 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(b)(e)(f)(g)(h) |
|
|
|
2,000,000 |
|
|
|
1,996,957 |
|
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(b)(e)(g) |
|
|
|
2,160,000 |
|
|
|
2,162,218 |
|
| JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(b)(e)(g) |
|
|
|
1,771,000 |
|
|
|
1,770,133 |
|
| JPMorgan Chase & Co., 6.875% to 6/1/29, Series NN(b)(e)(g) |
|
|
|
1,750,000 |
|
|
|
1,815,226 |
|
| JPMorgan Chase & Co., 9.348% (3 Month USD Term SOFR + 4.042%), Series
S(e)(k) |
|
|
|
7,500,000 |
|
|
|
7,513,215 |
|
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(b)(e)(f)(g) |
|
|
|
4,000,000 |
|
|
|
3,979,271 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(b)(e)(f)(g) |
|
|
|
4,100,000 |
|
|
|
4,093,860 |
|
| NatWest Group PLC, 6.00% to 12/29/25 (United Kingdom)(b)(e)(f)(g) |
|
|
|
1,400,000 |
|
|
|
1,370,587 |
|
| NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom)(b)(e)(f)(g) |
|
|
|
3,400,000 |
|
|
|
3,421,005 |
|
| PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(b)(e)(g) |
|
|
|
2,270,000 |
|
|
|
2,224,709 |
|
| PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(b)(e)(g) |
|
|
|
4,260,000 |
|
|
|
4,259,558 |
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Societe Generale SA, 8.00% to 9/29/25 (France)(b)(e)(f)(g)(h) |
|
|
|
|
|
|
1,600,000 |
|
|
$ |
1,608,413 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(b)(e)(f)(g)(h) |
|
|
|
1,800,000 |
|
|
|
1,868,513 |
|
| Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada)(b)(g) |
|
|
|
1,000,000 |
|
|
|
1,051,353 |
|
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(e)(f)(g)(l) |
|
|
|
600,000 |
|
|
|
594,698 |
|
| UBS Group AG, 9.25% to 11/13/28 (Switzerland)(b)(e)(f)(g)(h) |
|
|
|
2,600,000 |
|
|
|
2,823,535 |
|
| UBS Group AG, 9.25% to 11/13/33 (Switzerland)(b)(e)(f)(g)(h) |
|
|
|
|
|
|
2,200,000 |
|
|
|
2,488,281 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(a)(b)(e)(g) |
|
|
|
10,000,000 |
|
|
|
9,520,513 |
|
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(b)(e)(g) |
|
|
|
3,735,000 |
|
|
|
3,736,121 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(b)(e)(g) |
|
|
|
|
|
|
2,060,000 |
|
|
|
2,206,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
136,771,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BROKERAGE |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Goldman Sachs Group, Inc., 4.125% to 11/10/26, Series V(b)(e)(g) |
|
|
|
1,675,000 |
|
|
|
1,556,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.375% to 6/22/25(b)(e)(g) |
|
|
|
569,000 |
|
|
|
559,092 |
|
| BP Capital Markets PLC, 6.45% to 12/1/33(b)(e)(g) |
|
|
|
2,000,000 |
|
|
|
2,076,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,635,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCE |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| American Express Co., 3.55% to 9/15/26, Series D(b)(e)(g) |
|
|
|
3,508,000 |
|
|
|
3,255,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
1.1 |
% |
|
|
|
|
|
|
|
|
| Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48
(Switzerland)(g)(l) |
|
|
|
2,800,000 |
|
|
|
2,744,739 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(b)(g) |
|
|
|
3,090,000 |
|
|
|
3,096,792 |
|
| Markel Group, Inc., 6.00% to 6/1/25(b)(e)(g) |
|
|
|
|
|
|
2,650,000 |
|
|
|
2,631,605 |
|
| MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS)(b)(h) |
|
|
|
2,000,000 |
|
|
|
2,149,254 |
|
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(b)(g) |
|
|
|
|
|
|
1,700,000 |
|
|
|
1,693,403 |
|
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(g)(l) |
|
|
|
4,052,000 |
|
|
|
4,058,427 |
|
| Voya Financial, Inc., 7.758% to 9/15/28, Series A(b)(e)(g) |
|
|
|
|
|
|
2,500,000 |
|
|
|
2,598,615 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,972,835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
0.8 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series
16-A (Canada)(a)(b)(g) |
|
|
|
1,750,000 |
|
|
|
1,713,564 |
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(b)(g) |
|
|
|
2,610,000 |
|
|
|
2,628,753 |
|
| Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(b)(g) |
|
|
|
1,000,000 |
|
|
|
1,028,753 |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(b)(g) |
|
|
|
2,430,000 |
|
|
|
2,646,355 |
|
| Energy Transfer LP, 6.50% to 11/15/26, Series H(b)(e)(g) |
|
|
|
|
|
|
1,480,000 |
|
|
|
1,454,310 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(b)(e)(g) |
|
|
|
|
|
|
3,825,000 |
|
|
|
3,743,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,215,592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| Regency Centers LP, 5.25%, due 1/15/34(b) |
|
|
|
1,595,000 |
|
|
|
1,589,530 |
|
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(b)(g)(h) |
|
|
|
3,263,000 |
|
|
|
3,136,757 |
|
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(b)(g)(h) |
|
|
|
2,550,000 |
|
|
|
2,363,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,090,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| TELECOMMUNICATION SERVICES |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| AT&T, Inc., 2.875% to 3/2/25, Series B(e)(g) |
|
|
|
|
|
|
EUR 5,000,000 |
|
|
$ |
5,272,906 |
|
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(b)(g) |
|
|
|
5,710,000 |
|
|
|
4,927,438 |
|
| Vodafone Group PLC, 5.125% to 12/4/50, due 6/4/81 (United Kingdom)(g) |
|
|
|
500,000 |
|
|
|
378,238 |
|
| Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(g)(l) |
|
|
|
3,600,000 |
|
|
|
3,596,492 |
|
| Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79
(United Kingdom)(a)(b)(g) |
|
|
|
3,354,000 |
|
|
|
3,464,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,639,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
0.8 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82
(Canada)(b)(g) |
|
|
|
2,600,000 |
|
|
|
2,294,385 |
|
| Electricite de France SA, 6.00% to 1/29/26, Series EMTN (France)(e)(g)(l) |
|
|
|
GBP 2,500,000 |
|
|
|
3,081,255 |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(b)(g) |
|
|
|
3,000,000 |
|
|
|
2,974,122 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(b)(g) |
|
|
|
|
|
|
5,000,000 |
|
|
|
4,637,730 |
|
| Southern Co., 3.75% to 6/15/26, due 9/15/51, Series
21-A(b)(g) |
|
|
|
700,000 |
|
|
|
655,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,642,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$220,314,769) |
|
|
|
|
|
|
|
214,780,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS |
|
|
3.3 |
% |
|
|
|
|
|
|
|
|
| APARTMENT |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Essex Portfolio LP, 5.50%, due 4/1/34(b) |
|
|
|
3,440,000 |
|
|
|
3,445,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DIVERSIFIED |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due
12/15/27(b)(h) |
|
|
|
1,500,000 |
|
|
|
1,284,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FREE STANDING |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Realty Income Corp., 5.125%, due 7/6/34 |
|
|
|
|
|
|
EUR 2,075,000 |
|
|
|
2,447,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTH CARE |
|
|
0.0 |
% |
|
|
|
|
|
|
|
|
| Sabra Health Care LP, 3.20%, due 12/1/31(b) |
|
|
|
|
|
|
500,000 |
|
|
|
415,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OFFICE |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Brandywine Operating Partnership LP, 8.05%, due 3/15/28(b) |
|
|
|
1,500,000 |
|
|
|
1,524,936 |
|
| Hudson Pacific Properties LP, 5.95%, due 2/15/28(b) |
|
|
|
2,975,000 |
|
|
|
2,751,851 |
|
| Piedmont Operating Partnership LP, 9.25%, due 7/20/28(b) |
|
|
|
1,325,000 |
|
|
|
1,412,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,688,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REGIONAL MALL |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Simon Property Group LP, 5.50%, due 3/8/33(b) |
|
|
|
|
|
|
2,130,000 |
|
|
|
2,170,015 |
|
| Simon Property Group LP, 5.85%, due 3/8/53(b) |
|
|
|
|
|
|
1,535,000 |
|
|
|
1,582,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,752,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RETAIL |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Essential Properties LP, 2.95%, due 7/15/31(b) |
|
|
|
|
|
|
1,473,000 |
|
|
|
1,197,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SELF STORAGE |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Public Storage Operating Co., 5.35%, due 8/1/53(b) |
|
|
|
|
|
|
1,705,000 |
|
|
|
1,714,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| Federal Realty OP LP, 4.50%, due 12/1/44(b) |
|
|
|
1,700,000 |
|
|
|
1,393,312 |
|
| Kimco Realty OP LLC, 6.40%, due 3/1/34(b) |
|
|
|
1,460,000 |
|
|
|
1,563,808 |
|
| Kite Realty Group Trust, 4.75%, due 9/15/30(a)(b) |
|
|
|
6,112,000 |
|
|
|
5,854,259 |
|
| Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due
9/30/28(b)(h) |
|
|
|
4,600,000 |
|
|
|
3,941,349 |
|
| Phillips Edison Grocery Center Operating Partnership I LP, 2.625%, due
11/15/31(b) |
|
|
|
1,160,000 |
|
|
|
944,640 |
|
| Retail Opportunity Investments Partnership LP, 6.75%, due 10/15/28(b) |
|
|
|
2,075,000 |
|
|
|
2,150,402 |
|
| Tanger Properties LP, 2.75%, due 9/1/31(b) |
|
|
|
1,225,000 |
|
|
|
1,003,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,851,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SINGLE FAMILY HOMES |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| American Homes 4 Rent LP, 5.50%, due 2/1/34(b) |
|
|
|
|
|
|
1,300,000 |
|
|
|
1,296,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SPECIALTY |
|
|
0.9 |
% |
|
|
|
|
|
|
|
|
| Newmark Group, Inc., 7.50%, due 1/12/29(b)(h) |
|
|
|
|
|
|
840,000 |
|
|
|
864,639 |
|
| VICI Properties LP, 5.125%, due 5/15/32(a)(b) |
|
|
|
|
|
|
2,675,000 |
|
|
|
2,561,279 |
|
| VICI Properties LP, 5.625%, due 5/15/52(b) |
|
|
|
1,765,000 |
|
|
|
1,637,608 |
|
| VICI Properties LP, 6.125%, due 4/1/54 |
|
|
|
1,100,000 |
|
|
|
1,086,069 |
|
| VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30(b)(h) |
|
|
|
3,616,000 |
|
|
|
3,290,311 |
|
| VICI Properties LP/VICI Note Co., Inc., 5.75%, due 2/1/27(a)(b)(h) |
|
|
|
5,050,000 |
|
|
|
5,047,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,487,316 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| TELECOMMUNICATIONS |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| American Tower Corp., 5.65%, due 3/15/33(b) |
|
|
|
3,225,000 |
|
|
$ |
3,276,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(Identified cost—$56,491,504) |
|
|
|
|
|
|
|
55,858,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Ownership%†† |
|
|
|
|
| PRIVATE REAL ESTATE—OFFICE |
|
|
1.3 |
% |
|
|
|
|
|
|
|
|
| Legacy Gateway JV LLC, Plano, TX(m) |
|
|
|
56.5 |
% |
|
|
21,719,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PRIVATE REAL ESTATE
(Identified cost—$23,637,405) |
|
|
|
|
|
|
|
|
|
|
21,719,678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
| SHORT-TERM INVESTMENTS |
|
|
0.9 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
|
|
|
|
|
|
|
|
|
|
|
| State Street Institutional Treasury Plus Money Market Fund, Premier Class,
5.25%(n) |
|
|
|
12,840,367 |
|
|
|
12,840,367 |
|
| State Street Institutional U.S. Government Money Market Fund, Premier Class,
5.26%(n) |
|
|
|
2,444,825 |
|
|
|
2,444,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$15,285,192) |
|
|
|
|
|
|
|
|
|
|
15,285,192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,953,098,491) |
|
|
140.4 |
% |
|
|
|
|
|
|
2,397,339,044 |
|
| WRITTEN OPTION CONTRACTS
(Premiums received—$206,562) |
|
|
(0.0 |
) |
|
|
|
|
|
|
(174,693 |
) |
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(40.4 |
) |
|
|
|
|
|
|
(689,207,012 |
) |
| SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE |
|
|
(0.0 |
) |
|
|
|
|
|
|
(125,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $12.70 per share based on 134,431,441 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
1,707,832,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exchange-Traded Option Contracts |
| Written Options |
| Description |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount(o) |
|
|
Premiums
Received |
|
|
Value |
| Call — Simon Property Group, Inc. |
|
$ |
165.00 |
|
|
|
5/17/24 |
|
|
|
(314 |
) |
|
$ |
(4,913,786 |
) |
|
$ |
(51,048 |
) |
|
$ (81,640) |
| Put — Equinix, Inc. |
|
|
700.00 |
|
|
|
5/17/24 |
|
|
|
(26 |
) |
|
|
(2,145,858 |
) |
|
|
(30,065 |
) |
|
(13,263) |
| Put — Equinix, Inc. |
|
|
720.00 |
|
|
|
5/17/24 |
|
|
|
(60 |
) |
|
|
(4,951,980 |
) |
|
|
(67,222 |
) |
|
(40,539) |
| Put — Extra Space Storage, Inc. |
|
|
125.00 |
|
|
|
5/17/24 |
|
|
|
(29 |
) |
|
|
(426,300 |
) |
|
|
(5,295 |
) |
|
(2,291) |
| Put — Crown Castle, Inc. |
|
|
90.00 |
|
|
|
6/21/24 |
|
|
|
(462 |
) |
|
|
(4,889,346 |
) |
|
|
(52,932 |
) |
|
(36,960) |
|
|
|
|
|
|
|
|
|
|
|
(891 |
) |
|
$ |
(17,327,270 |
) |
|
$ |
(206,562 |
) |
|
$(174,693) |
| |
Centrally Cleared Interest Rate Swap Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount |
|
|
Fixed
Rate
Payable |
|
Fixed
Payment
Frequency |
|
Floating
Rate
Receivable
(resets
monthly) |
|
Floating
Payment
Frequency |
|
Maturity
Date |
|
Value |
|
|
Upfront
Receipts
(Payments) |
|
|
Unrealized
Appreciation
(Depreciation) |
| |
$ 200,000,000 |
|
|
0.670% |
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
9/15/25 |
|
$ |
12,191,583 |
|
|
$ |
27,526 |
|
|
$12,219,109 |
| |
69,000,000 |
|
|
1.280% |
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
2/3/26 |
|
|
4,339,133 |
|
|
|
7,626 |
|
|
4,346,759 |
| |
115,000,000 |
|
|
0.762% |
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
9/15/26 |
|
|
10,086,133 |
|
|
|
20,266 |
|
|
10,106,399 |
| |
190,000,000 |
|
|
1.237% |
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
9/15/27 |
|
|
18,580,442 |
|
|
|
35,397 |
|
|
18,615,839 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
45,197,291 |
|
|
$ |
90,815 |
|
|
$45,288,106 |
| |
|
The total amount of all interest rate swap contracts as presented in the table above are representative of the
volume of activity for this derivative type during the period ended March 28, 2024.
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Contracts to
Deliver |
|
|
In Exchange
For |
|
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
| Brown Brothers Harriman |
|
EUR |
|
|
7,276,554 |
|
|
USD |
|
|
7,882,545 |
|
|
4/3/24 |
|
$ 32,236 |
| Brown Brothers Harriman |
|
GBP |
|
|
2,463,380 |
|
|
USD |
|
|
3,116,070 |
|
|
4/3/24 |
|
6,915 |
| Brown Brothers Harriman |
|
USD |
|
|
7,859,479 |
|
|
EUR |
|
|
7,276,554 |
|
|
4/3/24 |
|
(9,169) |
| Brown Brothers Harriman |
|
USD |
|
|
3,112,185 |
|
|
GBP |
|
|
2,463,380 |
|
|
4/3/24 |
|
(3,030) |
| Brown Brothers Harriman |
|
EUR |
|
|
7,357,475 |
|
|
USD |
|
|
7,955,564 |
|
|
5/2/24 |
|
8,731 |
| Brown Brothers Harriman |
|
GBP |
|
|
2,462,738 |
|
|
USD |
|
|
3,111,657 |
|
|
5/2/24 |
|
2,820 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 38,503 |
| |
Glossary of Portfolio Abbreviations
|
|
|
| EMTN |
|
Euro Medium Term Note |
| EUR |
|
Euro Currency |
| GBP |
|
British Pound |
| OIS |
|
Overnight Indexed Swap |
| REIT |
|
Real Estate Investment Trust |
| SOFR |
|
Secured Overnight Financing Rate |
| TruPS |
|
Trust Preferred Securities |
| USD |
|
United States Dollar |
8
Note: Percentages indicated are based on the net assets of the Fund.
| * |
March 28, 2024 represents the last business day of the Fund’s quarterly period. See Note 1 of the
accompanying Notes to Consolidated Schedule of Investments. |
| ** |
Amount denominated in U.S. dollars unless otherwise indicated. |
| †† |
Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.
|
| (a) |
A portion of the security has been rehypothecated in connection with the Fund’s revolving credit
agreement. $475,921,455 in aggregate has been rehypothecated. |
| (b) |
All or a portion of the security is pledged as collateral in connection with the Fund’s revolving
credit agreement. $1,940,828,098 in aggregate has been pledged as collateral. |
| (c) |
All or a portion of the security is pledged in connection with exchange–traded written option
contracts. $8,176,698 in aggregate has been pledged as collateral. |
| (d) |
Restricted security. Aggregate holdings equal 0.9% of the net assets of the Fund. This security was acquired
on August 3, 2020, at a cost of $8,757,813. Security value is determined based on significant unobservable inputs (Level 3). |
| (e) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by
the issuer. |
| (f) |
Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption
characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $58,651,655 which represents 3.4% of the net assets of the Fund (2.4% of the managed assets of the Fund). |
| (g) |
Security converts to floating rate after the indicated fixed–rate coupon period. |
| (h) |
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only
be resold to qualified institutional buyers. Aggregate holdings amounted to $47,350,883 which represents 2.8% of the net assets of the Fund, of which 0.0% are illiquid. |
| (i) |
Non–income producing security. |
| (j) |
Security is in default. |
| (k) |
Variable rate. Rate shown is in effect at March 28, 2024. |
| (l) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are
subject to resale restrictions. Aggregate holdings amounted to $14,075,611 which represents 0.8% of the net assets of the Fund, of which 0.0% are illiquid. |
| (m) |
Security value is determined based on significant unobservable inputs (Level 3). |
| (n) |
Rate quoted represents the annualized seven–day yield. |
| (o) |
Represents the number of contracts multiplied by notional contract size multiplied by the underlying price.
|
| (p) |
Based on USD-SOFR-OIS.
Represents rates in effect at March 28, 2024. |
9
COHEN & STEERS QUALITY INCOME REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Note 1. Quarterly Period
Since March 28, 2024 represents the last day during the Fund’s quarterly period on which the New York Stock Exchange was
open for trading, the Fund’s consolidated schedule of investments have been presented through that date.
Note 2. Portfolio Valuation
Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the
last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no
ask price is available, at the bid price. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. Forward foreign currency exchange contracts are valued daily at the prevailing forward
exchange rate. Exchange traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued based upon prices
provided by a third-party pricing service. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.
Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are
valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such
value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain
non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.
Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by
Cohen & Steers Capital Management, Inc. (the investment manager) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment
manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.
Fixed-income
securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value
of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach
through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider
market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon
rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.
Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair
value. Investments in open-end mutual funds are valued at net asset value (NAV).
The Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment manager
in the determination of the Fund’s fair value of private real estate investments held by the Cohen & Steers RQI Trust (the REIT Subsidiary). Limited scope appraisals are prepared on a monthly basis and typically include a limited
comparable sales and a full discounted cash flow analysis. Annually, a full scope, detailed appraisal report is completed which typically includes market analysis, cost approach, sales comparison approach and an income approach containing a
discounted cash flow analysis. The full scope report is prepared by a third-party appraisal firm. The investment manager, including through communication with the Independent Valuation Advisor, monitors for material events that the investment
manager believes may be expected to have a material impact on the most recent estimated fair values of such private real estate investments. However, rapidly changing market conditions or material events may not be immediately reflected in the
Fund’s or REIT Subsidiary’s daily NAV. The investment manager, in conjunction with the Independent Valuation Advisor, values the private real estate investments using the valuation methodology it deems most appropriate and consistent with
industry best practices and market conditions. The investment manager expects the primary methodology used to value private real estate investments will be the income approach. Consistent with industry practices, the income approach incorporates
actual contractual lease income, professional judgments regarding comparable rental and operating expense data, the capitalization or discount rate and projections of future rent and expenses based on appropriate market evidence, and other
subjective factors. Other methodologies that may also be used to value properties include, among other approaches, sales comparisons and cost approaches. Private real estate appraisals are reported on a free and clear basis (i.e. any property-level
indebtedness that may be in place is not incorporated into the valuation). Property level debt is valued separately in accordance with GAAP.
The Board of Directors has designated the investment manager as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment manager is authorized to make fair valuation determinations, subject to the oversight of the Board of Directors. The investment manager has established
a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to
utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Securities for which market prices are unavailable, or securities for which the investment manager determines that the bid
and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in
which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close
of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or
factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity
and risk are used and these securities would be categorized as Level 2 or 3 in the hierarchy, depending on the relative significance of the valuation inputs. Securities, including private placements or other restricted securities, for
which observable inputs are not available are valued using alternate valuation
COHEN & STEERS QUALITY INCOME REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the
price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount
rates. The cost approach considers factors including the value of the security’s underlying assets and liabilities.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated
using market quotations. Fair value pricing involves subjective judgements and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to
transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in
determining the fair value of the Fund’s investments is summarized below.
| |
• |
|
Level 1 — quoted prices in active markets for identical investments |
| |
• |
|
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest
rates, credit risk, etc.) |
| |
• |
|
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the
fair value of investments) |
The inputs or methodology used for valuing investments may or may not be an
indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the inputs used as of March 28, 2024 in valuing the Fund’s investments carried at value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Quoted Prices in
Active Markets
for Identical
Investments
(Level 1) |
|
|
Other
Significant
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total |
|
| Common Stock—Real Estate: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrials |
|
$ |
184,991,326 |
|
|
$ |
— |
|
|
$ |
14,528,387 |
(a) |
|
$ |
199,519,713 |
|
| Other Industries |
|
|
1,703,901,178 |
|
|
|
— |
|
|
|
— |
|
|
|
1,703,901,178 |
|
| Preferred Securities—Exchange-Traded |
|
|
186,274,309 |
|
|
|
— |
|
|
|
— |
|
|
|
186,274,309 |
|
| Preferred
Securities—Over-the-Counter |
|
|
— |
|
|
|
214,780,247 |
|
|
|
— |
|
|
|
214,780,247 |
|
| Corporate Bonds |
|
|
— |
|
|
|
55,858,727 |
|
|
|
— |
|
|
|
55,858,727 |
|
| Private Real Estate—Office |
|
|
— |
|
|
|
— |
|
|
|
21,719,678 |
(b) |
|
|
21,719,678 |
|
| Short-Term Investments |
|
|
— |
|
|
|
15,285,192 |
|
|
|
— |
|
|
|
15,285,192 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(c) |
|
$ |
2,075,166,813 |
|
|
$ |
285,924,166 |
|
|
$ |
36,248,065 |
|
|
$ |
2,397,339,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
50,702 |
|
|
$ |
— |
|
|
$ |
50,702 |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
45,288,106 |
|
|
|
— |
|
|
|
45,288,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(c) |
|
$ |
— |
|
|
$ |
45,338,808 |
|
|
$ |
— |
|
|
$ |
45,338,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(12,199 |
) |
|
$ |
— |
|
|
$ |
(12,199 |
) |
| Written Option Contracts |
|
|
(120,891 |
) |
|
|
(53,802 |
) |
|
|
— |
|
|
|
(174,693 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(c) |
|
$ |
(120,891 |
) |
|
$ |
(66,001 |
) |
|
$ |
— |
|
|
$ |
(186,892 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Restricted security, where observable inputs are limited, has been fair valued by the Valuation Committee,
pursuant to the Fund’s fair value procedures and classified as Level 3 security. |
| (b) |
Private Real Estate, where observable inputs are limited, has been fair valued by the Valuation Committee,
pursuant to the Fund’s fair value procedures and classified as Level 3 security. See Note 2-Portfolio Valuation. |
| (c) |
Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.
|
The following is a reconciliation of investments for which significant unobservable inputs (Level 3)
were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance
as
of
December 31, 2023 |
|
|
Change in
unrealized
appreciation
(depreciation) |
|
|
Balance
as
of
March 28, 2024 |
|
| Common Stock—Real Estate—Industrials |
|
$ |
15,496,091 |
|
|
$ |
(967,704 |
) |
|
$ |
14,528,387 |
|
| Private Real Estate—Office |
|
|
21,926,157 |
|
|
|
(206,479 |
) |
|
|
21,719,678 |
|
COHEN & STEERS QUALITY INCOME REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The change in unrealized appreciation (depreciation) attributable to
securities owned on March 28, 2024 which were valued using significant unobservable inputs (Level 3) amounted to $(1,174,183).
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the
fair value hierarchy.
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fair Value at
March 28, 2024 |
|
Valuation
Technique |
|
Unobservable Inputs |
|
Amount |
|
Valuation Impact
from an Increase
in Input(a) |
| Common Stock—
Real Estate—Industrials |
|
$14,528,387 |
|
Market
Comparable
Companies |
|
Enterprise Value/
EBITDA(b) Multiple |
|
20.0x |
|
Increase |
| Private Real Estate—Office |
|
$21,719,678 |
|
Discounted
Cash Flow |
|
Terminal
Capitalization Rate Discount Rate |
|
7.00%
8.00% |
|
Decrease
Decrease |
| (a) |
Represents the directional change in the fair value of the Level 3 investments that could have resulted
from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may result in a materially higher or lower fair value measurement.
|
| (b) |
Earnings Before Interest, Taxes, Depreciation and Amortization. |
Note 3. Derivative Investments
Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge
the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign
currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by
the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was
closed are included in net realized gain or loss on forward foreign currency exchange contracts.
Forward foreign currency
exchange contracts involve elements of market risk in excess of the amounts reflected on the Consolidated Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also
arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the
respective contracts.
Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call
options on securities, stock indices and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.
When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The
amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on
the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put
option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund,
as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations
under the contracts.
Put and call options purchased are accounted for in the same manner as portfolio securities.
Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment
transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the
risk of loss of the premium and change in market value should the counterparty not perform under the contract.
Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under
its credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the Fund’s shares as a result of the floating rate
structure of interest owed pursuant to the credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the counterparty) a fixed rate payment in
COHEN & STEERS QUALITY INCOME REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the credit agreement,
the accruals for which would begin at a specific date in the future (the effective date). The payment obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could
enhance or harm the overall performance of the Fund. Swaps are marked-to-market daily and changes in the value are recorded as unrealized appreciation (depreciation).
Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP)
and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in
the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Consolidated Schedule of Investments and cash deposited is recorded
as cash collateral pledged for interest rate swap contracts. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin on interest rate swap contracts. Any upfront payments paid or received
upon entering into a swap agreement would be recorded as assets or liabilities, respectively, and amortized or accreted over the life of the swap and recorded as realized gain (loss). Payments received from or paid to the counterparty during the
term of the swap agreement, or at termination, are recorded as realized gain (loss).
Swap agreements involve, to varying
degrees, elements of market and counterparty risk, and exposure to loss in excess of the related amounts reflected on the Consolidated Schedule of Investments. Such risks involve the possibility that there will be no liquid market for these
agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The following summarizes the monthly average volume of the Fund’s option contracts and forward foreign currency exchange
contracts activity for the three months ended March 28, 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased Option
Contracts(a)(b) |
|
|
Written Option
Contracts(a)(b) |
|
|
Forward
Foreign Currency
Exchange Contracts(b) |
|
| Average Notional Amount |
|
$ |
4,825,790 |
|
|
$ |
28,612,568 |
|
|
$ |
11,078,671 |
|
| (a) |
Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied
by the underlying price. |
| (b) |
Average notional amounts represent the average for all months in which the Fund had option contracts and
forward foreign currency exchange contracts outstanding at month-end. For the period, this represents one month for purchased option contracts, three months for written option contracts and three months for
forward foreign currency exchange contracts. |
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