COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
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Shares |
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Value |
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| COMMON STOCK—REAL ESTATE |
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70.3 |
% |
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| APARTMENT |
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6.7 |
% |
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| Apartment Income REIT Corp.(a),(b) |
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157,962 |
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$ |
4,849,433 |
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| Camden Property Trust(a),(b) |
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129,141 |
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12,214,156 |
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| Mid-America Apartment Communities,
Inc.(a),(b) |
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191,955 |
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24,695,011 |
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| UDR, Inc.(a),(b) |
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481,228 |
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17,165,403 |
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58,924,003 |
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| DATA CENTERS |
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7.6 |
% |
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| Digital Realty Trust, Inc.(a),(b) |
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304,158 |
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36,809,201 |
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| Equinix, Inc.(a),(b) |
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40,214 |
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29,205,820 |
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66,015,021 |
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| DIVERSIFIED |
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1.1 |
% |
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| WP Carey, Inc. |
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172,115 |
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9,307,979 |
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| FREE STANDING |
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5.8 |
% |
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| NETSTREIT Corp.(a),(b) |
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410,377 |
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6,393,674 |
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| Realty Income Corp.(a),(b) |
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716,040 |
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35,759,038 |
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| Spirit Realty Capital, Inc.(a),(b),(c) |
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258,403 |
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8,664,252 |
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50,816,964 |
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| GAMING |
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0.7 |
% |
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| VICI Properties, Inc.(a),(b) |
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195,637 |
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5,693,037 |
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| HEALTH CARE |
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8.3 |
% |
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| Healthcare Realty Trust, Inc.(a),(b) |
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1,215,621 |
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18,562,533 |
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| Medical Properties Trust, Inc.(b) |
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454,767 |
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2,478,480 |
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| Welltower, Inc.(a),(b) |
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623,534 |
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51,079,905 |
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72,120,918 |
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| HOTEL |
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1.1 |
% |
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| Host Hotels & Resorts, Inc.(a),(b) |
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600,246 |
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9,645,953 |
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| INDUSTRIALS |
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9.2 |
% |
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| Americold Realty Trust, Inc.(a),(b) |
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583,096 |
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17,731,949 |
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| BG LLH, LLC (Lineage Logistics)(d),(e) |
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61,115 |
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6,150,563 |
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| Prologis, Inc.(b) |
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505,678 |
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56,742,129 |
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80,624,641 |
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| INFRASTRUCTURE |
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10.8 |
% |
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| American Tower Corp.(a),(b) |
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415,422 |
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68,316,148 |
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| Crown Castle, Inc.(a),(b) |
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287,627 |
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26,470,313 |
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94,786,461 |
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1
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Shares |
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Value |
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| MANUFACTURED HOME |
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2.7 |
% |
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| Sun Communities, Inc.(a),(b) |
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197,447 |
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$ |
23,365,878 |
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| OFFICE |
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0.4 |
% |
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| Highwoods Properties, Inc.(a),(b) |
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188,322 |
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3,881,316 |
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| REGIONAL MALL |
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4.3 |
% |
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| Simon Property Group, Inc.(a),(b) |
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350,573 |
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37,872,401 |
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| SELF STORAGE |
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2.9 |
% |
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| Extra Space Storage, Inc.(b) |
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150,684 |
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18,320,161 |
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| Public Storage |
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25,546 |
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6,731,882 |
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25,052,043 |
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| SHOPPING CENTERS |
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1.8 |
% |
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| Kimco Realty Corp.(b) |
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904,912 |
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15,917,402 |
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| SINGLE FAMILY HOMES |
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4.9 |
% |
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| American Homes 4 Rent, Class A(a),(b) |
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131,926 |
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4,444,587 |
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| Invitation Homes, Inc.(a),(b),(c) |
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1,217,399 |
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38,579,374 |
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43,023,961 |
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| SPECIALTY |
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1.6 |
% |
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| Iron Mountain, Inc. |
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185,190 |
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11,009,546 |
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| Lamar Advertising Co., Class A |
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33,466 |
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2,793,407 |
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13,802,953 |
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| TIMBER |
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0.4 |
% |
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| Weyerhaeuser Co.(a),(b) |
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117,855 |
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3,613,434 |
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| TOTAL COMMON STOCK
(Identified cost—$545,867,261) |
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614,464,365 |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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11.8 |
% |
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| BANKING |
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3.5 |
% |
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| Bank of America Corp., 4.25%, Series QQ(f) |
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183,210 |
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3,123,730 |
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| Bank of America Corp., 4.75%, Series SS(f) |
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16,348 |
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313,555 |
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| Bank of America Corp., 5.00%, Series LL(b),(f) |
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81,745 |
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1,661,876 |
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| Bank of America Corp., 5.875%, Series HH(f) |
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141,663 |
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3,283,748 |
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| Bank of America Corp., 6.00%, Series GG(b),(f) |
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137,567 |
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3,311,238 |
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| Brookfield Finance, Inc., 4.625%, due 10/16/80, Series 50 (Canada)(b) |
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88,400 |
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1,369,316 |
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| Federal Agricultural Mortgage Corp., 4.875%, Series G(b),(f) |
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93,596 |
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1,739,014 |
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| KeyCorp., 6.20% to 12/15/27, Series H(b),(f),(g) |
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43,521 |
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859,104 |
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| Regions Financial Corp., 5.70% to 5/15/29, Series C(b),(f),(g) |
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72,265 |
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1,416,394 |
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| Texas Capital Bancshares, Inc., 5.75%, Series B(b),(f) |
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122,300 |
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2,198,954 |
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| Washington Federal, Inc., 4.875%, Series A(b),(f) |
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18,662 |
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244,845 |
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2
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Shares |
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Value |
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| Wells Fargo & Co., 4.25%, Series DD(b),(f) |
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130,853 |
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$ |
2,183,937 |
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| Wells Fargo & Co., 4.375%, Series CC(f) |
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164,250 |
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2,853,022 |
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| Wells Fargo & Co., 4.70%, Series AA(b),(f) |
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194,758 |
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3,608,866 |
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| Wells Fargo & Co., 4.75%, Series Z(a),(b),(f) |
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72,101 |
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1,339,637 |
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| Wells Fargo & Co., 5.625%, Series Y(a),(b),(f) |
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53,061 |
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1,214,036 |
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30,721,272 |
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| BROKERAGE |
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1.6 |
% |
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| Morgan Stanley, 4.25%, Series O(b),(f) |
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259,556 |
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4,425,430 |
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| Morgan Stanley, 5.85%, Series K(b),(f) |
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59,056 |
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1,371,871 |
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| Morgan Stanley, 6.375%, Series I(a),(b),(f) |
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179,679 |
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4,456,039 |
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| Morgan Stanley, 6.50%, Series P(b),(f) |
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112,980 |
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2,840,317 |
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| Morgan Stanley, 6.875%, Series F(a),(b),(f) |
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25,704 |
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642,600 |
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13,736,257 |
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| CONSUMER STAPLE PRODUCTS |
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0.7 |
% |
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| CHS, Inc., 6.75% to 9/30/24, Series 3(b),(f),(g) |
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102,892 |
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2,575,387 |
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| CHS, Inc., 7.10% to 3/31/24, Series 2(b),(f),(g) |
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110,595 |
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2,820,173 |
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| CHS, Inc., 7.50%, Series 4(b),(f) |
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28,801 |
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729,241 |
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6,124,801 |
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| FINANCE |
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0.3 |
% |
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| Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53(e),(g) |
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113,600 |
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2,975,184 |
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| INDUSTRIALS |
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0.4 |
% |
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| LXP Industrial Trust, 6.50%, Series C ($50 Par Value)(b),(f) |
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76,536 |
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|
3,449,477 |
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| INSURANCE |
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|
2.5 |
% |
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| Allstate Corp./The, 7.375%, Series J(b),(f) |
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|
90,206 |
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2,376,026 |
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| Arch Capital Group Ltd., 4.55%, Series G(b),(f) |
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|
67,650 |
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|
1,210,258 |
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| Assurant, Inc., 5.25%, due 1/15/61(b) |
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|
31,954 |
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|
623,103 |
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| Athene Holding Ltd., 4.875%, Series D(b),(f) |
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|
102,832 |
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|
1,684,388 |
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| Athene Holding Ltd., 6.35% to 6/30/29, Series A(b),(f),(g) |
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|
85,720 |
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|
1,855,838 |
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| Athene Holding Ltd., 7.75% to 12/30/27, Series E(b),(f),(g) |
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|
87,918 |
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|
2,207,621 |
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| Brighthouse Financial, Inc., 5.375%, Series C(b),(f) |
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|
72,272 |
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|
1,300,896 |
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| Enstar Group Ltd., 7.00% to 9/1/28, Series D(b),(f),(g) |
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|
63,422 |
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|
1,578,574 |
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| Equitable Holdings, Inc., 5.25%, Series A(b),(f) |
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|
|
51,202 |
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|
|
1,008,679 |
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| Lincoln National Corp., 9.00%, Series D(b),(f) |
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|
98,733 |
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|
|
2,619,386 |
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| Prudential Financial, Inc., 5.95%, due 9/1/62(b) |
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|
|
44,116 |
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|
|
1,077,754 |
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| Reinsurance Group of America, Inc., 7.125% to 10/15/27, due 10/15/52(b),(g) |
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|
|
137,357 |
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|
|
3,590,512 |
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| RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)(a),(b),(f) |
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|
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|
|
39,843 |
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|
617,567 |
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21,750,602 |
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|
3
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| |
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|
Shares |
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|
Value |
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| PIPELINES |
|
|
0.7 |
% |
|
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|
|
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|
|
| Energy Transfer LP, 7.60% to 5/15/24, Series E(f),(g) |
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|
|
119,381 |
|
|
$ |
2,916,478 |
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| Energy Transfer LP, 10.364% to 10/30/23, Series D(b),(f),(g) |
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|
135,000 |
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|
3,469,500 |
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|
6,385,978 |
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|
| REGIONAL MALL |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Brookfield Property Partners LP, 5.75%, Series A(b),(f) |
|
|
|
104,400 |
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|
|
1,330,056 |
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| Brookfield Property Partners LP, 6.375%, Series A2(b),(f) |
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|
|
87,278 |
|
|
|
1,178,253 |
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|
2,508,309 |
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|
| TELECOMMUNICATION SERVICES |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| AT&T, Inc., Senior Debt, 5.35%, due 11/1/66(b) |
|
|
|
29,063 |
|
|
|
639,095 |
|
| Telephone and Data Systems, Inc., 6.00%, Series VV(a),(b),(f) |
|
|
|
85,880 |
|
|
|
1,172,262 |
|
| United States Cellular Corp., Senior Debt, 5.50%, due 3/1/70(b) |
|
|
|
61,483 |
|
|
|
1,012,010 |
|
| United States Cellular Corp., Senior Debt, 5.50%, due 6/1/70(b) |
|
|
|
49,989 |
|
|
|
815,321 |
|
| United States Cellular Corp., Senior Debt, 6.25%, due 9/1/69(a),(b) |
|
|
|
87,323 |
|
|
|
1,584,913 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,223,601 |
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
1.2 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A
(Canada)(b),(g) |
|
|
|
136,356 |
|
|
|
3,344,813 |
|
| Algonquin Power & Utilities Corp., 6.875% to 10/30/23, due 10/17/78
(Canada)(b),(g) |
|
|
|
74,199 |
|
|
|
1,897,268 |
|
| Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(b),(f) |
|
|
|
78,000 |
|
|
|
1,143,480 |
|
| Brookfield BRP Holdings Canada, Inc., 4.875% (Canada)(b),(f) |
|
|
|
60,941 |
|
|
|
910,459 |
|
| Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)(b) |
|
|
|
81,825 |
|
|
|
1,365,659 |
|
| Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(b),(f) |
|
|
|
93,591 |
|
|
|
1,632,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,293,906 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$115,535,320) |
|
|
|
103,169,387 |
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| PREFERRED
SECURITIES—OVER-THE-COUNTER |
|
|
65.1 |
% |
|
|
|
|
|
|
|
|
| BANKING |
|
|
40.1 |
% |
|
|
|
|
|
|
|
|
| Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(f),(g),(h),(i) |
|
|
$ |
1,800,000 |
|
|
$ |
1,703,059 |
|
| AIB Group PLC, 6.25% to 6/23/25 (Ireland)(f),(g),(h),(i) |
|
|
|
2,800,000 |
|
|
|
2,820,222 |
|
| Ally Financial, Inc., 4.70% to 5/15/28, Series C(b),(f),(g) |
|
|
|
3,437,000 |
|
|
|
2,160,830 |
|
| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series
9
(Spain)(a),(b),(f),(g),(i) |
|
|
|
3,000,000 |
|
|
|
2,817,142 |
|
| Banco BPM SpA, 7.00% to 4/12/27 (Italy)(f),(g),(h),(i) |
|
|
|
800,000 |
|
|
|
755,258 |
|
| Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(f),(g),(h),(i) |
|
|
|
800,000 |
|
|
|
730,222 |
|
| Banco de Sabadell SA, 9.375% to 7/18/28 (Spain)(f),(g),(h),(i) |
|
|
|
2,000,000 |
|
|
|
2,067,833 |
|
| Banco Mercantil del Norte SA/Grand Cayman, 6.625% to
1/24/32
(Mexico)(b),(f),(g),(i),(j) |
|
|
|
1,600,000 |
|
|
|
1,256,400 |
|
| Bank of America Corp., 5.875% to 3/15/28, Series FF(b),(f),(g) |
|
|
|
2,916,000 |
|
|
|
2,648,929 |
|
| Bank of America Corp., 6.10% to 3/17/25, Series AA(b),(f),(g) |
|
|
|
4,750,000 |
|
|
|
4,663,244 |
|
| Bank of America Corp., 6.125% to 4/27/27, Series TT(f),(g) |
|
|
|
3,760,000 |
|
|
|
3,611,942 |
|
| Bank of America Corp., 6.25% to 9/5/24, Series X(b),(f),(g) |
|
|
|
6,868,000 |
|
|
|
6,774,135 |
|
| Bank of America Corp., 6.30% to 3/10/26, Series DD(b),(f),(g) |
|
|
|
1,821,000 |
|
|
|
1,795,669 |
|
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(b),(f),(g) |
|
|
|
5,363,000 |
|
|
|
5,342,133 |
|
| Bank of Ireland Group PLC, 6.00% to 9/1/25 (Ireland)(f),(g),(h),(i) |
|
|
|
1,600,000 |
|
|
|
1,610,699 |
|
| Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(f),(g),(h),(i) |
|
|
|
3,800,000 |
|
|
|
3,955,997 |
|
| Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(b),(f),(g) |
|
|
|
2,040,000 |
|
|
|
1,870,917 |
|
| Bank of Nova Scotia/The, 8.625% to 10/27/27, due 10/27/82 (Canada)(g) |
|
|
|
3,000,000 |
|
|
|
2,999,463 |
|
| Barclays Bank PLC, 6.278% to 12/15/34, Series 1
(United Kingdom)(b),(f),(g) |
|
|
|
2,450,000 |
|
|
|
2,339,818 |
|
| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(b),(f),(g),(i) |
|
|
|
5,000,000 |
|
|
|
4,533,490 |
|
| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(f),(g),(i) |
|
|
|
1,100,000 |
|
|
|
1,254,682 |
|
| Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(a),(b),(f),(g),(i) |
|
|
|
3,000,000 |
|
|
|
2,957,192 |
|
| Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(f),(g),(i) |
|
|
|
4,600,000 |
|
|
|
4,139,731 |
|
| Barclays PLC, 8.875% to 9/15/27 (United Kingdom)(f),(g),(h),(i) |
|
|
|
1,700,000 |
|
|
|
1,926,074 |
|
| BNP Paribas SA, 4.625% to 1/12/27 (France)(b),(f),(g),(i),(j) |
|
|
|
2,600,000 |
|
|
|
2,098,829 |
|
| BNP Paribas SA, 4.625% to 2/25/31 (France)(b),(f),(g),(i),(j) |
|
|
|
1,926,000 |
|
|
|
1,372,421 |
|
| BNP Paribas SA, 7.00% to 8/16/28 (France)(b),(f),(g),(i),(j) |
|
|
|
1,400,000 |
|
|
|
1,286,362 |
|
| BNP Paribas SA, 7.375% to 8/19/25 (France)(b),(f),(g),(i),(j) |
|
|
|
1,700,000 |
|
|
|
1,666,824 |
|
| BNP Paribas SA, 7.75% to 8/16/29 (France)(b),(f),(g),(i),(j) |
|
|
|
7,800,000 |
|
|
|
7,423,762 |
|
| BNP Paribas SA, 8.50% to 8/14/28 (France)(f),(g),(i),(j) |
|
|
|
3,400,000 |
|
|
|
3,334,797 |
|
| BNP Paribas SA, 9.25% to 11/17/27 (France)(f),(g),(i),(j) |
|
|
|
5,600,000 |
|
|
|
5,743,248 |
|
| CaixaBank SA, 6.75% to 6/13/24 (Spain)(f),(g),(h),(i) |
|
|
|
600,000 |
|
|
|
629,592 |
|
| CaixaBank SA, 8.25% to 3/13/29 (Spain)(f),(g),(h),(i) |
|
|
|
2,600,000 |
|
|
|
2,697,194 |
|
5
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(b),(f),(g) |
|
$ |
7,520,000 |
|
|
$ |
5,315,294 |
|
| Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(b),(f),(g) |
|
|
11,563,000 |
|
|
|
9,671,949 |
|
| Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(b),(f),(g) |
|
|
5,483,000 |
|
|
|
5,295,087 |
|
| Citigroup Capital III, 7.625%, due 12/1/36 (TruPS)(b) |
|
|
4,700,000 |
|
|
|
4,615,425 |
|
| Citigroup, Inc., 3.875% to 2/18/26, Series X(b),(f),(g) |
|
|
7,820,000 |
|
|
|
6,692,689 |
|
| Citigroup, Inc., 4.00% to 12/10/25, Series W(b),(f),(g) |
|
|
1,720,000 |
|
|
|
1,508,872 |
|
| Citigroup, Inc., 4.15% to 11/15/26, Series Y(b),(f),(g) |
|
|
1,256,000 |
|
|
|
1,008,419 |
|
| Citigroup, Inc., 5.00% to 9/12/24, Series U(b),(f),(g) |
|
|
3,324,000 |
|
|
|
3,151,718 |
|
| Citigroup, Inc., 5.95% to 5/15/25, Series P(a),(b),(f),(g) |
|
|
7,100,000 |
|
|
|
6,783,276 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(b),(f),(g) |
|
|
4,935,000 |
|
|
|
4,761,089 |
|
| Citigroup, Inc., 7.625% to 11/15/28(f),(g) |
|
|
4,228,000 |
|
|
|
4,135,415 |
|
| Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(b),(f),(g) |
|
|
3,750,000 |
|
|
|
3,434,803 |
|
| CoBank ACB, 6.25% to 10/1/26, Series I(f),(g) |
|
|
4,334,000 |
|
|
|
4,136,385 |
|
| CoBank ACB, 6.45% to 10/1/27, Series K(f),(g) |
|
|
2,740,000 |
|
|
|
2,594,879 |
|
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(f),(g),(h),(i) |
|
|
2,000,000 |
|
|
|
1,803,282 |
|
| Credit Agricole SA, 4.75% to 3/23/29 (France)(b),(f),(g),(i),(j) |
|
|
2,600,000 |
|
|
|
1,981,732 |
|
| Credit Agricole SA, 6.875% to 9/23/24 (France)(b),(f),(g),(i),(j) |
|
|
3,000,000 |
|
|
|
2,931,593 |
|
| Credit Agricole SA, 7.25% to 9/23/28, Series EMTN (France)(f),(g),(h),(i) |
|
|
1,600,000 |
|
|
|
1,666,246 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(b),(f),(g),(i),(j) |
|
|
2,500,000 |
|
|
|
2,489,363 |
|
| Credit Suisse Group AG, 5.25% to 2/11/27, Claim
(Switzerland)(e),(f),(g),(i),(j),(k) |
|
|
1,200,000 |
|
|
|
114,000 |
|
| Credit Suisse Group AG, 6.375% to 8/21/26, Claim
(Switzerland)(e),(f),(g),(i),(j),(k) |
|
|
1,200,000 |
|
|
|
114,000 |
|
| Credit Suisse Group AG, 7.25% to 9/12/25, Claim
(Switzerland)(e),(f),(g),(i),(j),(k) |
|
|
1,600,000 |
|
|
|
152,000 |
|
| Credit Suisse Group AG, 7.50%, Claim (Switzerland)(e),(f),(i),(j),(k) |
|
|
3,000,000 |
|
|
|
285,000 |
|
| Danske Bank A/S, 7.00% to 6/26/25 (Denmark)(f),(g),(h),(i) |
|
|
1,600,000 |
|
|
|
1,526,000 |
|
| Deutsche Bank AG, 6.00% to 10/30/25 (Germany)(f),(g),(i) |
|
|
3,800,000 |
|
|
|
2,984,864 |
|
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(b),(f),(g),(i) |
|
|
2,800,000 |
|
|
|
2,457,996 |
|
| Deutsche Bank AG, 10.00% to 12/1/27 (Germany)(f),(g),(h),(i) |
|
|
2,800,000 |
|
|
|
2,936,825 |
|
| Discover Financial Services, 6.125% to 6/23/25, Series D(f),(g) |
|
|
790,000 |
|
|
|
761,296 |
|
| Dresdner Funding Trust I, 8.151%, due 6/30/31 (TruPS)(b),(j) |
|
|
1,235,906 |
|
|
|
1,316,363 |
|
| Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4(f),(g),(j) |
|
|
2,875,000 |
|
|
|
2,702,327 |
|
| Farm Credit Bank of Texas, 9.681% (3 Month US LIBOR + 4.01%)(b),(f),(j),(l) |
|
|
18,000 |
† |
|
|
1,802,250 |
|
| First Horizon Bank, 6.393% (3 Month US LIBOR + 1.11%,
Floor 3.75%)(b),(f),(j),(l) |
|
|
2,800 |
† |
|
|
1,872,257 |
|
6
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(f),(g) |
|
$ |
3,544,000 |
|
|
$ |
2,865,612 |
|
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, Series 2
(United
Kingdom)(f),(g),(j) |
|
|
3,432,000 |
|
|
|
4,200,408 |
|
| HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(f),(g),(i) |
|
|
600,000 |
|
|
|
454,914 |
|
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(b),(f),(g),(i) |
|
|
1,800,000 |
|
|
|
1,731,564 |
|
| HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(a),(b),(f),(g),(i) |
|
|
1,700,000 |
|
|
|
1,536,607 |
|
| HSBC Holdings PLC, 6.547% to 6/20/33, due 6/20/34 (United Kingdom)(b),(g) |
|
|
1,800,000 |
|
|
|
1,708,718 |
|
| HSBC Holdings PLC, 8.00% to 3/7/28 (United Kingdom)(f),(g),(i) |
|
|
3,600,000 |
|
|
|
3,554,198 |
|
| Huntington Bancshares, Inc./OH., 4.45% to 10/15/27, Series G(b),(f),(g) |
|
|
3,043,000 |
|
|
|
2,469,010 |
|
| Huntington Bancshares, Inc./OH., 5.625% to 7/15/30, Series F(f),(g) |
|
|
4,061,000 |
|
|
|
3,593,027 |
|
| ING Groep N.V., 4.25% to 5/16/31, Series NC10 (Netherlands)(b),(f),(g),(i) |
|
|
2,000,000 |
|
|
|
1,294,393 |
|
| ING Groep N.V., 4.875% to 5/16/29 (Netherlands)(f),(g),(h),(i) |
|
|
2,230,000 |
|
|
|
1,683,543 |
|
| ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(b),(f),(g),(i) |
|
|
6,200,000 |
|
|
|
5,495,656 |
|
| ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(b),(f),(g),(i) |
|
|
2,800,000 |
|
|
|
2,642,647 |
|
| ING Groep N.V., 7.50% to 5/16/28 (Netherlands)(f),(g),(h),(i) |
|
|
1,400,000 |
|
|
|
1,287,076 |
|
| Intesa Sanpaolo SpA, 5.875% to 9/1/31, Series EMTN (Italy)(f),(g),(h),(i) |
|
|
750,000 |
|
|
|
638,802 |
|
| Intesa Sanpaolo SpA, 6.375% to 3/30/28 (Italy)(f),(g),(h),(i) |
|
|
600,000 |
|
|
|
551,250 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(b),(f),(g),(i),(j) |
|
|
4,400,000 |
|
|
|
4,136,250 |
|
| Intesa Sanpaolo SpA, 9.125% to 9/7/29 (Italy)(f),(g),(h),(i) |
|
|
1,400,000 |
|
|
|
1,498,652 |
|
| JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(b),(f),(g) |
|
|
3,082,000 |
|
|
|
2,697,791 |
|
| JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(f),(g) |
|
|
377,000 |
|
|
|
353,622 |
|
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(f),(g) |
|
|
4,968,000 |
|
|
|
4,912,604 |
|
| JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(b),(f),(g) |
|
|
1,059,000 |
|
|
|
1,052,884 |
|
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(b),(f),(g) |
|
|
6,572,000 |
|
|
|
6,574,792 |
|
| JPMorgan Chase & Co., 8.884% (3 Month US Term SOFR + 3.51%), Series
Q(f),(l) |
|
|
372,000 |
|
|
|
373,176 |
|
| Julius Baer Group Ltd., 6.875% to 6/9/27 (Switzerland)(f),(g),(h),(i) |
|
|
2,000,000 |
|
|
|
1,769,340 |
|
| Lloyds Banking Group PLC, 6.75% to 6/27/26 (United Kingdom)(b),(f),(g),(i) |
|
|
600,000 |
|
|
|
552,360 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(f),(g),(i) |
|
|
4,400,000 |
|
|
|
4,121,815 |
|
7
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United
Kingdom)(a),(b),(f),(g),(i) |
|
$ |
3,466,000 |
|
|
$ |
3,385,470 |
|
| Lloyds Banking Group PLC, 8.00% to 9/27/29 (United Kingdom)(b),(f),(g),(i) |
|
|
2,300,000 |
|
|
|
2,067,623 |
|
| M&T Bank Corp., 3.50% to 9/1/26, Series I(f),(g) |
|
|
861,000 |
|
|
|
607,642 |
|
| M&T Bank Corp., 5.125% to 11/1/26, Series F(b),(f),(g) |
|
|
1,682,000 |
|
|
|
1,384,017 |
|
| Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(f),(g),(h),(i) |
|
|
1,000,000 |
|
|
|
1,042,234 |
|
| Natwest Group PLC, 4.60% to 6/28/31 (United Kingdom)(b),(f),(g),(i) |
|
|
800,000 |
|
|
|
531,506 |
|
| Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(b),(f),(g),(i) |
|
|
5,800,000 |
|
|
|
5,336,932 |
|
| Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(a),(b),(f),(g),(i) |
|
|
4,700,000 |
|
|
|
4,571,667 |
|
| Nordea Bank Abp, 6.625% to 3/26/26 (Finland)(b),(f),(g),(i),(j) |
|
|
2,070,000 |
|
|
|
1,942,886 |
|
| PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(b),(f),(g) |
|
|
4,401,000 |
|
|
|
3,870,167 |
|
| PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(b),(f),(g) |
|
|
3,973,000 |
|
|
|
3,661,140 |
|
| PNC Financial Services Group, Inc./The, 6.25% to 3/15/30, Series W(f),(g) |
|
|
4,615,000 |
|
|
|
3,967,583 |
|
| PNC Financial Services Group, Inc./The, 9.312% (3 Month US LIBOR
+
3.678%)(b),(f),(l) |
|
|
1,973,000 |
|
|
|
1,974,985 |
|
| Regions Financial Corp., 5.75% to 6/15/25, Series D(b),(f),(g) |
|
|
1,472,000 |
|
|
|
1,400,291 |
|
| Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27 (Sweden)(f),(g),(h),(i) |
|
|
1,200,000 |
|
|
|
1,138,207 |
|
| Societe Generale SA, 5.375% to 11/18/30 (France)(b),(f),(g),(i),(j) |
|
|
3,400,000 |
|
|
|
2,432,955 |
|
| Societe Generale SA, 6.75% to 4/6/28 (France)(b),(f),(g),(i),(j) |
|
|
2,400,000 |
|
|
|
1,953,438 |
|
| Societe Generale SA, 7.875% to 1/18/29, Series EMTN (France)(f),(g),(h),(i) |
|
|
1,000,000 |
|
|
|
1,013,196 |
|
| Societe Generale SA, 8.00% to 9/29/25 (France)(b),(f),(g),(i),(j) |
|
|
3,600,000 |
|
|
|
3,517,445 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(f),(g),(i),(j) |
|
|
5,200,000 |
|
|
|
5,108,304 |
|
| Toronto-Dominion Bank/The, 8.125% to 10/31/27, due 10/31/82 (Canada)(g) |
|
|
4,600,000 |
|
|
|
4,587,828 |
|
| Truist Financial Corp., 4.95% to 9/1/25, Series P(b),(f),(g) |
|
|
1,898,000 |
|
|
|
1,750,111 |
|
| Truist Financial Corp., 5.10% to 3/1/30, Series Q(b),(f),(g) |
|
|
3,030,000 |
|
|
|
2,605,685 |
|
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a),(b),(f),(g) |
|
|
2,460,000 |
|
|
|
1,895,922 |
|
| U.S. Bancorp, 3.70% to 1/15/27, Series N(b),(f),(g) |
|
|
2,305,000 |
|
|
|
1,697,262 |
|
| U.S. Bancorp, 5.30% to 4/15/27, Series J(b),(f),(g) |
|
|
1,535,000 |
|
|
|
1,286,795 |
|
| UBS Group AG, 4.375% to 2/10/31 (Switzerland)(b),(f),(g),(i),(j) |
|
|
2,200,000 |
|
|
|
1,581,631 |
|
| UBS Group AG, 4.875% to 2/12/27 (Switzerland)(b),(f),(g),(i),(j) |
|
|
2,200,000 |
|
|
|
1,847,368 |
|
| UBS Group AG, 5.125% to 7/29/26 (Switzerland)(f),(g),(h),(i) |
|
|
1,800,000 |
|
|
|
1,605,375 |
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(f),(g),(h),(i) |
|
|
$ |
4,200,000 |
|
|
$ |
3,974,855 |
|
| UBS Group AG, 7.00% to 2/19/25 (Switzerland)(f),(g),(h),(i) |
|
|
|
1,800,000 |
|
|
|
1,750,500 |
|
| UniCredit SpA, 8.00% to 6/3/24 (Italy)(f),(g),(h),(i) |
|
|
|
2,600,000 |
|
|
|
2,567,687 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(b),(f),(g) |
|
|
|
13,740,000 |
|
|
|
12,008,393 |
|
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(b),(f),(g) |
|
|
|
1,732,000 |
|
|
|
1,702,694 |
|
| Wells Fargo & Co., 5.95%, due 12/15/36(a),(b) |
|
|
|
3,700,000 |
|
|
|
3,522,802 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(f),(g) |
|
|
|
5,080,000 |
|
|
|
5,134,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
350,168,299 |
|
|
|
|
|
|
|
|
|
|
|
| BROKERAGE |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS) |
|
|
|
3,042,000 |
|
|
|
2,992,270 |
|
| Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(b),(f),(g) |
|
|
|
2,184,000 |
|
|
|
2,136,999 |
|
| Goldman Sachs Group, Inc./The, 7.50% to 2/10/29, Series W(f),(g) |
|
|
|
3,551,000 |
|
|
|
3,518,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,647,807 |
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER STAPLE PRODUCTS |
|
|
0.9 |
% |
|
|
|
|
|
|
|
|
| Dairy Farmers of America, Inc., 7.875%(b),(e),(f),(j) |
|
|
|
82,000 |
† |
|
|
7,667,000 |
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(b),(f),(g) |
|
|
|
2,000,000 |
|
|
|
1,912,281 |
|
| BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(b),(f),(g) |
|
|
|
7,450,000 |
|
|
|
6,679,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,591,566 |
|
|
|
|
|
|
|
|
|
|
|
| FINANCE |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| American Express Co., 3.55% to 9/15/26, Series D(b),(f),(g) |
|
|
|
1,895,000 |
|
|
|
1,509,347 |
|
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50(a),(b),(g),(j) |
|
|
|
1,424,000 |
|
|
|
1,283,783 |
|
| Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51(b),(g),(j) |
|
|
|
2,365,000 |
|
|
|
1,798,257 |
|
| PNC Financial Services Group, Inc./The, 3.40% to 9/15/26, Series T(f),(g) |
|
|
|
742,000 |
|
|
|
550,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,142,154 |
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
8.2 |
% |
|
|
|
|
|
|
|
|
| Aegon NV, 5.50% to 4/11/28, due 4/11/48 (Netherlands)(b),(g) |
|
|
|
1,000,000 |
|
|
|
924,271 |
|
| Allianz SE, 3.50% to 11/17/25 (Germany)(b),(f),(g),(i),(j) |
|
|
|
1,400,000 |
|
|
|
1,156,101 |
|
| Allianz SE, 6.35% to 3/6/33, due 9/6/53 (Germany)(b),(g),(j) |
|
|
|
1,800,000 |
|
|
|
1,742,252 |
|
| Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(b),(g) |
|
|
|
2,900,000 |
|
|
|
2,819,422 |
|
9
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| Athora Netherlands NV, 7.00% to 6/19/25 (Netherlands)(f),(g),(h),(i) |
|
$ |
1,600,000 |
|
|
$ |
1,590,738 |
|
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(b),(g) |
|
|
1,475,000 |
|
|
|
1,190,696 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(g) |
|
|
4,070,000 |
|
|
|
3,908,080 |
|
| Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(b),(g) |
|
|
2,975,000 |
|
|
|
2,374,536 |
|
| Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(a),(b),(g) |
|
|
2,484,000 |
|
|
|
2,168,583 |
|
| Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(b),(f),(g) |
|
|
2,565,000 |
|
|
|
2,420,491 |
|
| Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51(b),(g),(j) |
|
|
3,582,000 |
|
|
|
2,599,190 |
|
| Hartford Financial Services Group, Inc./The, 7.751% (3 Month US Term SOFR
+ 2.390%), due 2/12/47(b),(j),(l) |
|
|
2,200,000 |
|
|
|
1,873,003 |
|
| ILFC E-Capital Trust I, 7.209% (30 Year CMT +
1.55%), due 12/21/65
(TruPS)(b),(j),(l) |
|
|
1,483,000 |
|
|
|
1,087,071 |
|
| La Mondiale SAM, 5.875% to 1/26/27, due 1/26/47 (France)(g),(h) |
|
|
1,415,000 |
|
|
|
1,334,543 |
|
| Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51(b),(g),(j) |
|
|
2,346,000 |
|
|
|
1,932,553 |
|
| Lincoln National Corp., 9.25% to 12/1/27, Series C(b),(f),(g) |
|
|
1,095,000 |
|
|
|
1,130,579 |
|
| Markel Group, Inc., 6.00% to 6/1/25(b),(f),(g) |
|
|
1,195,000 |
|
|
|
1,155,053 |
|
| MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS)(a),(b),(j) |
|
|
3,181,000 |
|
|
|
3,298,465 |
|
| MetLife, Inc., 9.25%, due 4/8/38(a),(b),(j) |
|
|
7,665,000 |
|
|
|
8,620,051 |
|
| MetLife, Inc., 10.75%, due 8/1/39(a),(b) |
|
|
3,592,000 |
|
|
|
4,594,725 |
|
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 5.875% to 11/23/31, due
5/23/42 (Germany)(b),(g),(j) |
|
|
1,400,000 |
|
|
|
1,356,030 |
|
| Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(f),(g),(h),(i) |
|
|
1,200,000 |
|
|
|
1,080,480 |
|
| Prudential Financial, Inc., 5.125% to 11/28/31, due 3/1/52(b),(g) |
|
|
2,536,000 |
|
|
|
2,190,278 |
|
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(b),(g) |
|
|
3,790,000 |
|
|
|
3,478,684 |
|
| Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53(b),(g) |
|
|
1,520,000 |
|
|
|
1,473,146 |
|
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46,
Series EMTN
(Australia)(g),(h) |
|
|
3,000,000 |
|
|
|
2,864,484 |
|
| QBE Insurance Group Ltd., 5.875% to 5/12/25 (Australia)(b),(f),(g),(j) |
|
|
4,200,000 |
|
|
|
4,002,793 |
|
| Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United
Kingdom)(f),(g),(h),(i) |
|
|
1,700,000 |
|
|
|
1,265,140 |
|
| SBL Holdings, Inc., 6.50% to 11/13/26(b),(f),(g),(j) |
|
|
3,120,000 |
|
|
|
1,781,788 |
|
| SBL Holdings, Inc., 7.00% to 5/13/25(b),(f),(g),(j) |
|
|
2,100,000 |
|
|
|
1,286,656 |
|
| Zurich Finance Ireland Designated Activity Co., 3.00% to 1/19/31, due 4/19/51,
Series EMTN (Switzerland)(g),(h) |
|
|
3,500,000 |
|
|
|
2,683,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,383,175 |
|
|
|
|
|
|
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| PIPELINES |
|
|
5.7 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 5.50% to 7/15/27, due 7/15/77, Series
2017-A (Canada)(g) |
|
|
$ |
780,000 |
|
|
$ |
681,943 |
|
| Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series
20-A (Canada)(b),(g) |
|
|
|
4,620,000 |
|
|
|
4,028,782 |
|
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series
16-A (Canada)(b),(g) |
|
|
|
4,012,000 |
|
|
|
3,680,088 |
|
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(b),(g) |
|
|
|
5,330,000 |
|
|
|
4,765,641 |
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(b),(g) |
|
|
|
1,914,000 |
|
|
|
1,824,939 |
|
| Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(g) |
|
|
|
4,056,000 |
|
|
|
3,883,040 |
|
| Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada)(g) |
|
|
|
3,780,000 |
|
|
|
3,709,909 |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(g) |
|
|
|
4,470,000 |
|
|
|
4,437,660 |
|
| Energy Transfer LP, 6.50% to 11/15/26, Series H(b),(f),(g) |
|
|
|
2,170,000 |
|
|
|
1,999,330 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(b),(f),(g) |
|
|
|
3,050,000 |
|
|
|
2,637,246 |
|
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(b),(g) |
|
|
|
9,764,000 |
|
|
|
8,053,595 |
|
| Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(b),(g) |
|
|
|
4,092,000 |
|
|
|
3,354,521 |
|
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(a),(b),(g) |
|
|
|
7,225,000 |
|
|
|
6,605,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,662,395 |
|
|
|
|
|
|
|
|
|
|
|
| RETAIL & WHOLESALE—STAPLES |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Land O’ Lakes, Inc., 7.00%(b),(f),(j) |
|
|
|
1,650,000 |
|
|
|
1,188,000 |
|
| Land O’ Lakes, Inc., 7.25%(a),(b),(f),(j) |
|
|
|
945,000 |
|
|
|
760,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,948,725 |
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(b),(g),(j) |
|
|
|
6,500,000 |
|
|
|
5,845,527 |
|
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(b),(g),(j) |
|
|
|
4,000,000 |
|
|
|
3,343,565 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,189,092 |
|
|
|
|
|
|
|
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| TELECOMMUNICATION SERVICES |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| Telefonica Europe BV, 6.135% to 2/3/30 (Spain)(f),(g),(h) |
|
|
$ |
1,200,000 |
|
|
$ |
1,221,993 |
|
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(g) |
|
|
|
4,290,000 |
|
|
|
3,319,172 |
|
| Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(g),(h) |
|
|
|
1,109,000 |
|
|
|
1,094,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,635,491 |
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
5.8 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82
(Canada)(b),(g) |
|
|
|
4,368,000 |
|
|
|
3,565,468 |
|
| American Electric Power Co., Inc., 3.875% to 11/15/26, due 2/15/62(b),(g) |
|
|
|
2,670,000 |
|
|
|
2,186,190 |
|
| CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(b),(g) |
|
|
|
1,600,000 |
|
|
|
1,368,896 |
|
| Dominion Energy, Inc., 4.35% to 1/15/27, Series C(f),(g) |
|
|
|
4,987,000 |
|
|
|
4,330,770 |
|
| Edison International, 5.00% to 12/15/26, Series B(b),(f),(g) |
|
|
|
4,497,000 |
|
|
|
3,854,717 |
|
| Edison International, 5.375% to 3/15/26, Series A(b),(f),(g) |
|
|
|
3,860,000 |
|
|
|
3,415,007 |
|
| Electricite de France SA, 7.50% to 9/6/28, Series EMTN (France)(f),(g),(h) |
|
|
|
1,800,000 |
|
|
|
1,941,387 |
|
| Electricite de France SA, 9.125% to 3/15/33 (France)(b),(f),(g),(j) |
|
|
|
1,800,000 |
|
|
|
1,879,625 |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(a),(b),(g) |
|
|
|
11,151,000 |
|
|
|
10,746,387 |
|
| Enel SpA, 6.625% to 4/16/31, Series EMTN (Italy)(f),(g),(h) |
|
|
|
1,000,000 |
|
|
|
1,067,147 |
|
| NextEra Energy Capital Holdings, Inc., 3.80% to 3/15/27, due 3/15/82(b),(g) |
|
|
|
1,382,000 |
|
|
|
1,176,777 |
|
| NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(a),(b),(g) |
|
|
|
2,407,000 |
|
|
|
2,228,499 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(b),(g) |
|
|
|
3,360,000 |
|
|
|
2,723,477 |
|
| Sempra, 4.875% to 10/15/25(a),(b),(f),(g) |
|
|
|
6,430,000 |
|
|
|
6,108,411 |
|
| Southern California Edison Co., 9.833% (3 Month US LIBOR + 4.199%),
Series
E(b),(f),(l) |
|
|
|
1,400,000 |
|
|
|
1,395,903 |
|
| Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series
21-A(g) |
|
|
|
3,236,000 |
|
|
|
2,830,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,819,181 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$620,100,303) |
|
|
|
|
|
|
|
568,854,885 |
|
|
|
|
|
|
|
|
|
|
|
12
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Ownership %* |
|
|
Value |
|
| PRIVATE REAL ESTATE—OFFICE |
|
|
1.7 |
% |
|
|
|
|
|
|
|
|
| Legacy Gateway JV LLC, Plano, TX(m) |
|
|
|
|
|
|
33.6 |
% |
|
$ |
14,873,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PRIVATE REAL ESTATE
(Identified cost—$14,071,976) |
|
|
|
|
|
|
|
14,873,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
| SHORT-TERM INVESTMENTS |
|
|
0.9 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
|
|
|
|
|
|
|
|
|
|
|
| State Street Institutional Treasury Plus Money Market Fund, Premier
Class,
5.29%(n) |
|
|
|
4,995,800 |
|
|
|
4,995,800 |
|
| State Street Institutional U.S. Government Money Market Fund, Premier Class,
5.29%(n) |
|
|
|
2,498,060 |
|
|
|
2,498,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$7,493,860) |
|
|
|
|
|
|
|
|
|
|
7,493,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PURCHASED OPTION CONTRACTS
(Premiums paid—$54,146) |
|
|
0.0 |
% |
|
|
|
|
|
|
4,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,303,122,866) |
|
|
149.8 |
% |
|
|
|
|
|
|
1,308,860,458 |
|
| WRITTEN OPTION CONTRACTS
(Premiums received—$235,566) |
|
|
(0.0 |
) |
|
|
|
|
|
|
(295,900 |
) |
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(49.8 |
) |
|
|
|
|
|
|
(434,881,674 |
) |
| SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE |
|
|
(0.0 |
) |
|
|
|
|
|
|
(125,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $18.29 per share based on 47,759,789 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
873,557,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13
Exchange-Traded Option Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Purchased Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount(o) |
|
|
Premiums
Paid |
|
|
Value |
|
| Call — American Tower Corp. |
|
$ |
180.00 |
|
|
|
10/20/23 |
|
|
|
49 |
|
|
$ |
805,805 |
|
|
$ |
26,777 |
|
|
$ |
1,568 |
|
| Call — Equinix, Inc. |
|
|
800.00 |
|
|
|
10/20/23 |
|
|
|
23 |
|
|
|
1,670,398 |
|
|
|
27,369 |
|
|
|
2,507 |
|
| |
|
|
|
|
|
72 |
|
|
$ |
2,476,203 |
|
|
$ |
54,146 |
|
|
$ |
4,075 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Written Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Exercise
Price |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount(o) |
|
|
Premiums
Received |
|
|
Value |
|
| Call — American Tower Corp. |
|
$ |
190.00 |
|
|
|
10/20/23 |
|
|
|
(49 |
) |
|
$ |
(805,805 |
) |
|
$ |
(10,218 |
) |
|
$ |
(490 |
) |
| Call — Equinix, Inc. |
|
|
820.00 |
|
|
|
10/20/23 |
|
|
|
(46 |
) |
|
|
(3,340,796 |
) |
|
|
(28,893 |
) |
|
|
(2,183 |
) |
| Put — American Tower Corp. |
|
|
165.00 |
|
|
|
10/20/23 |
|
|
|
(142 |
) |
|
|
(2,335,190 |
) |
|
|
(44,000 |
) |
|
|
(72,420 |
) |
| Put — EPR Properties |
|
|
40.00 |
|
|
|
10/20/23 |
|
|
|
(423 |
) |
|
|
(1,757,142 |
) |
|
|
(26,890 |
) |
|
|
(19,682 |
) |
| Put — Extra Space Storage, Inc. |
|
|
130.00 |
|
|
|
10/20/23 |
|
|
|
(231 |
) |
|
|
(2,808,498 |
) |
|
|
(125,565 |
) |
|
|
(201,125 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
(891 |
) |
|
$ |
(11,047,431 |
) |
|
$ |
(235,566 |
) |
|
$ |
(295,900 |
) |
| |
|
14
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) |
|
| |
$105,000,000 |
|
|
|
0.670% |
|
|
Monthly |
|
|
5.424%(p) |
|
|
Monthly |
|
|
9/15/25 |
|
|
$ |
8,804,531 |
|
|
$ |
19,313 |
|
|
$ |
8,823,844 |
|
| |
87,500,000 |
|
|
|
1.240% |
|
|
Monthly |
|
|
5.310%(p) |
|
|
Monthly |
|
|
2/3/26 |
|
|
|
7,348,946 |
|
|
|
2,889 |
|
|
|
7,351,835 |
|
| |
65,000,000 |
|
|
|
0.762% |
|
|
Monthly |
|
|
5.424%(p) |
|
|
Monthly |
|
|
9/15/26 |
|
|
|
7,228,078 |
|
|
|
13,746 |
|
|
|
7,241,824 |
|
| |
105,000,000 |
|
|
|
1.237% |
|
|
Monthly |
|
|
5.424%(p) |
|
|
Monthly |
|
|
9/15/27 |
|
|
|
12,768,725 |
|
|
|
22,344 |
|
|
|
12,791,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
36,150,280 |
|
|
$ |
58,292 |
|
|
$ |
36,208,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 for the nine months ended September 30, 2023.
Over-the-Counter Total Return Swap Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Notional
Amount |
|
|
Fixed
Payable Rate |
|
|
Fixed
Payment
Frequency |
|
|
Underlying
Reference
Entity |
|
Position |
|
Maturity
Date |
|
|
Value |
|
|
Premiums
Paid |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| BNP Paribas |
|
$ |
5,966,350 |
|
|
|
0.25% |
|
|
|
Monthly |
|
|
BNPXCHY5 Index(q) |
|
Short |
|
|
5/15/24 |
|
|
$ |
31,914 |
|
|
$ |
— |
|
|
$ |
31,914 |
|
| BNP Paribas |
|
EUR |
5,461,749 |
|
|
|
0.30% |
|
|
|
Monthly |
|
|
BNPXCEX5 Index(r) |
|
Short |
|
|
5/15/24 |
|
|
|
33,039 |
|
|
|
— |
|
|
|
33,039 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
64,953 |
|
|
$ |
— |
|
|
$ |
64,953 |
|
| |
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Contracts
to Deliver |
|
|
In Exchange
For |
|
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
|
| Brown Brothers Harriman |
|
EUR |
|
|
32,146,803 |
|
|
USD |
|
|
34,885,068 |
|
|
10/3/23 |
|
$ |
897,857 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
3,513,245 |
|
|
USD |
|
|
4,450,263 |
|
|
10/3/23 |
|
|
163,753 |
|
| Brown Brothers Harriman |
|
USD |
|
|
32,381,252 |
|
|
EUR |
|
|
30,592,797 |
|
|
10/3/23 |
|
|
(37,014 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
1,658,698 |
|
|
EUR |
|
|
1,554,006 |
|
|
10/3/23 |
|
|
(15,725 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
4,291,675 |
|
|
GBP |
|
|
3,513,245 |
|
|
10/3/23 |
|
|
(5,165 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
30,544,810 |
|
|
USD |
|
|
32,368,030 |
|
|
11/2/23 |
|
|
34,688 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
3,479,118 |
|
|
USD |
|
|
4,250,428 |
|
|
11/2/23 |
|
|
4,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,043,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
Glossary of Portfolio Abbreviations
|
|
|
| CMT |
|
Constant Maturity Treasury |
| 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 |
Note: Percentages indicated are based on the net assets of the Fund.
| * |
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. $412,297,198 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. $929,285,316 in aggregate has been pledged as collateral.. |
| (c) |
All or a portion of the security is pledged in connection with written option contracts. $7,741,289 in
aggregate has been pledged as collateral. |
| (d) |
Restricted security. Aggregate holdings equal 0.7% of the net assets of the Fund. This security was acquired
on August 3, 2020, at a cost of $3,755,469. Security value is determined based on significant unobservable inputs (Level 3). |
| (e) |
Non-income producing security. |
| (f) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by
the issuer. |
| (g) |
Security converts to floating rate after the indicated fixed-rate coupon period. |
| (h) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are
subject to resale restrictions. Aggregate holdings amounted to $63,492,751 which represents 7.3% of the net assets of the Fund, of which 0.1% are illiquid. |
| (i) |
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 $165,634,736 which represents 19.0% of the net assets of the Fund (12.5% of the managed assets of the Fund). |
| (j) |
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 $121,166,648 which represents 13.9% of the net assets of the Fund, of which 0.1% are illiquid. |
| (k) |
Security is in default. |
| (l) |
Variable rate. Rate shown is in effect at September 30, 2023. |
| (m) |
Security value is determined based on significant unobservable inputs (Level 3). |
| (n) |
Rate quoted represents the annualized seven-day yield.
|
16
| (o) |
Amount represents number of contracts multiplied by notional contract size multiplied by the underlying
price. |
| (p) |
Based on USD-SOFR-OIS.
Represents rates in effect at September 30, 2023. |
| (q) |
The index intends to track the performance of the CDX.NA HY. |
| (r) |
The index intends to track the performance of the iTraxx Crossover CDS. |
17
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Note 1. 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 and total return swaps 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
over-the-counter (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).
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 RNP 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 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.
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 judgments 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 September 30, 2023 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 |
|
$ |
74,474,078 |
|
|
$ |
— |
|
|
$ |
6,150,563 |
(a) |
|
$ |
80,624,641 |
|
| Other Industries |
|
|
533,839,724 |
|
|
|
— |
|
|
|
— |
|
|
|
533,839,724 |
|
| Preferred Securities—Exchange-Traded |
|
|
103,169,387 |
|
|
|
— |
|
|
|
— |
|
|
|
103,169,387 |
|
| Preferred
Securities—Over-the-Counter |
|
|
— |
|
|
|
568,854,885 |
|
|
|
— |
|
|
|
568,854,885 |
|
| Private Real Estate—Office |
|
|
— |
|
|
|
— |
|
|
|
14,873,886 |
(b) |
|
|
14,873,886 |
|
| Short-Term Investments |
|
|
— |
|
|
|
7,493,860 |
|
|
|
— |
|
|
|
7,493,860 |
|
| Purchased Option Contracts |
|
|
4,075 |
|
|
|
— |
|
|
|
— |
|
|
|
4,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(c) |
|
$ |
711,487,264 |
|
|
$ |
576,348,745 |
|
|
$ |
21,024,449 |
|
|
$ |
1,308,860,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
1,101,071 |
|
|
$ |
— |
|
|
$ |
1,101,071 |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
36,208,572 |
|
|
|
— |
|
|
|
36,208,572 |
|
| Total Return Swap Contracts |
|
|
— |
|
|
|
64,953 |
|
|
|
— |
|
|
|
64,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(c) |
|
$ |
— |
|
|
$ |
37,374,596 |
|
|
$ |
— |
|
|
$ |
37,374,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(57,904 |
) |
|
$ |
— |
|
|
$ |
(57,904 |
) |
| Written Option Contracts |
|
|
(72,910 |
) |
|
|
(222,990 |
) |
|
|
— |
|
|
|
(295,900 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(c) |
|
$ |
(72,910 |
) |
|
$ |
(280,894 |
) |
|
$ |
— |
|
|
$ |
(353,804 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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 value by the valuation committee,
pursuant to the fund’s fair value procedure and classified as Level 3 security. See Note 1-Portfolio Valuation. |
| (c) |
Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.
|
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a reconciliation of investments for which significant
unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Common Stock—
Real
Estate—
Industrials |
|
|
Preferred
Securities—
Capital Securities—
Food |
|
|
Private
Real Estate—
Office |
|
| Balance as of December 31, 2022 |
|
$ |
5,760,042 |
|
|
$ |
7,303,248 |
|
|
$ |
15,812,130 |
|
| Transfer out of Level 3(a) |
|
|
— |
|
|
|
(7,667,000 |
) |
|
|
— |
|
| Change in unrealized appreciation (depreciation) |
|
|
390,521 |
|
|
|
363,752 |
|
|
|
(938,244 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Balance as of September 30, 2023 |
|
$ |
6,150,563 |
|
|
$ |
— |
|
|
$ |
14,873,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of this
investment. As of September 30, 2023, the same investment was transferred from Level 3 to Level 2 as a result of the availability of observable inputs. |
The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2023 which were
valued using significant unobservable inputs (Level 3) amounted to $(547,723).
The following table summarizes the
quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy.
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fair Value at
September 30,
2023 |
|
Valuation
Technique |
|
Unobservable
Inputs |
|
Amount |
|
|
Valuation Impact
from an Increase
in Input(a) |
| Common Stock—Real Estate—Industrials |
|
$6,150,563 |
|
Market
Comparable Companies |
|
Enterprise Value/
EBITDA(b) Multiple |
|
|
22.1 |
x |
|
Increase |
| Private Real Estate—Office |
|
$14,873,886 |
|
Discounted
Cash Flow |
|
Discount Rate
Terminal Capitalization
Rate |
|
|
7.75
6.50 |
%
% |
|
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. |
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Note 2. 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. For federal income tax purposes, the Fund has
made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.
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.
Over-the-Counter Total Return Swap
Contracts: In a total return swap, one party receives a periodic payment equal to the total return of a specified security, basket of securities, index, or other reference asset for a specified period of time. In return, the other party receives
a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the value of the swap are recorded as unrealized
gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Fund bears the risk of loss in the event of nonperformance by the swap counterparty. Risks may also arise from unanticipated movements in the value of
exchange rates, interest rates, securities, index, or other reference asset.
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 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.
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.
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
The following summarizes the volume of the Fund’s option contracts, total return swap contracts and forward foreign
currency exchange contracts activity for the nine months ended September 30, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased Option
Contracts(a) |
|
|
Written Option
Contracts(a) |
|
|
Forward Foreign
Currency
Exchange
Contracts |
|
|
Total Return
Swap
Contracts(b) |
|
| Average Notional Amount |
|
$ |
2,177,818 |
|
|
$ |
16,394,272 |
|
|
$ |
38,721,738 |
|
|
$ |
9,777,604 |
|
| (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 total return swap
contracts outstanding. For total return swap contracts, this represents the period April 28, 2023 through September 30, 2023. |
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