COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND
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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103.7 |
% |
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| APARTMENT |
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8.7 |
% |
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| Apartment Income REIT Corp.(a)(b) |
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149,918 |
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$ |
4,867,837 |
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| Camden Property Trust(b) |
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58,710 |
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5,777,064 |
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| Essex Property Trust, Inc.(a)(b) |
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17,630 |
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4,316,000 |
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| Mid-America Apartment Communities,
Inc.(a)(b) |
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14,815 |
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1,949,358 |
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| UDR, Inc.(a) |
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164,156 |
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6,141,076 |
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23,051,335 |
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| DATA CENTERS |
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12.7 |
% |
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| Digital Realty Trust, Inc.(a)(b) |
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130,748 |
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18,832,942 |
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| Equinix, Inc.(a)(b) |
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18,209 |
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15,028,434 |
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33,861,376 |
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| FREE STANDING |
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5.7 |
% |
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| NETSTREIT Corp.(a) |
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125,242 |
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2,300,695 |
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| Realty Income Corp.(a) |
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238,936 |
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12,926,438 |
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15,227,133 |
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| GAMING |
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4.1 |
% |
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| VICI Properties, Inc., Class A(a)(b) |
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366,226 |
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10,909,873 |
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| HEALTH CARE |
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11.8 |
% |
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| Healthcare Realty Trust, Inc., Class A(a)(b) |
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421,349 |
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5,962,088 |
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| Healthpeak Properties, Inc. |
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138,826 |
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2,602,988 |
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| Welltower, Inc.(a)(b) |
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243,982 |
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22,797,678 |
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31,362,754 |
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| HOTEL |
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1.7 |
% |
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| Host Hotels & Resorts, Inc.(a)(b) |
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222,817 |
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4,607,856 |
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| INDUSTRIALS |
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12.2 |
% |
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| Americold Realty Trust, Inc.(a)(b) |
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198,482 |
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4,946,171 |
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| EastGroup Properties, Inc.(a) |
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18,538 |
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3,332,576 |
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| Prologis, Inc.(a) |
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185,730 |
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24,185,761 |
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32,464,508 |
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| MANUFACTURED HOME |
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3.3 |
% |
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| Sun Communities, Inc.(a)(b) |
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69,371 |
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8,919,723 |
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| OFFICE |
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1.0 |
% |
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| Highwoods Properties, Inc.(a)(b) |
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97,195 |
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2,544,565 |
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| REGIONAL MALL |
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6.9 |
% |
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| Simon Property Group, Inc.(a) |
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117,203 |
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18,341,098 |
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| SELF STORAGE |
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5.1 |
% |
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| Extra Space Storage, Inc.(a)(b) |
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57,398 |
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8,437,506 |
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| Public Storage (a)(b) |
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17,826 |
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5,170,610 |
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13,608,116 |
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| SHOPPING CENTER |
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2.5 |
% |
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| Kimco Realty Corp.(b) |
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65,573 |
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1,285,886 |
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| Kite Realty Group Trust(a)(b) |
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245,663 |
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5,325,974 |
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6,611,860 |
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| SINGLE FAMILY HOMES |
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5.8 |
% |
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| Invitation Homes, Inc.(a)(b) |
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437,483 |
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15,578,770 |
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1
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Shares |
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Value |
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| SPECIALTY |
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4.5 |
% |
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| Iron Mountain, Inc.(a)(b) |
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149,592 |
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$ |
11,998,774 |
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| TELECOMMUNICATIONS |
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15.2 |
% |
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| American Tower Corp.(a)(b) |
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136,625 |
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26,995,734 |
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| Crown Castle, Inc.(a)(b) |
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122,375 |
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12,950,946 |
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| SBA Communications Corp., Class A(a) |
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2,536 |
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549,551 |
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40,496,231 |
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| TIMBERLAND |
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2.5 |
% |
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| Rayonier, Inc.(b) |
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129,313 |
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4,298,364 |
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| Weyerhaeuser Co.(a) |
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62,030 |
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2,227,497 |
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6,525,861 |
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| TOTAL COMMON STOCK
(Identified cost—$268,393,335) |
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276,109,833 |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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8.3 |
% |
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| BANKING |
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1.5 |
% |
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| Bank of America Corp., 5.375%, Series KK(a)(c) |
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5,931 |
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142,047 |
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| Bank of America Corp., 5.875%, Series HH(a)(c) |
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41,000 |
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1,020,490 |
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| Bank of America Corp., 6.00%, Series GG(a)(c) |
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33,000 |
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828,960 |
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| JPMorgan Chase & Co., 5.75%, Series DD(a)(c) |
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13,000 |
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325,260 |
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| Wells Fargo & Co., 4.70%, Series AA(a)(c) |
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50,000 |
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1,075,000 |
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| Wells Fargo & Co., 7.50%, Series L(c) |
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516 |
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629,185 |
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4,020,942 |
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| BROKERAGE |
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1.6 |
% |
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| Morgan Stanley, 5.85%, Series K(a)(c) |
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38,838 |
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970,562 |
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| Morgan Stanley, 6.375%, Series I(a)(c) |
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91,254 |
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2,272,224 |
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| Morgan Stanley, 6.875%, Series F(a)(c) |
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25,000 |
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629,000 |
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| Morgan Stanley, 7.125%, Series E(a)(c) |
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14,559 |
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367,615 |
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4,239,401 |
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| CONSUMER STAPLE PRODUCTS |
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0.5 |
% |
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| CHS, Inc., 7.50%, Series 4(a)(c) |
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34,342 |
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882,590 |
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| CHS, Inc., 7.875%, Series 1(a)(c) |
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14,862 |
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398,450 |
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1,281,040 |
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| DIVERSIFIED |
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0.4 |
% |
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| DigitalBridge Group, Inc., 7.125%, Series J(a)(c) |
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14,993 |
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351,736 |
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| DigitalBridge Group, Inc., 7.15%, Series I(a)(c) |
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31,976 |
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744,401 |
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1,096,137 |
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| FINANCE |
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0.6 |
% |
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| Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53(a)(d) |
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19,840 |
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524,768 |
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| Brookfield Oaktree Holdings LLC, 6.625%, Series A(a)(c) |
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25,216 |
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602,662 |
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| TPG Operating Group II LP, 6.95%, due 3/15/64 |
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20,000 |
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525,600 |
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1,653,030 |
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| FREE STANDING |
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0.2 |
% |
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| Agree Realty Corp., 4.25%, Series A(c) |
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240 |
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4,257 |
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| Realty Income Corp., 6.00%, Series A(c) |
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26,427 |
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653,540 |
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657,797 |
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| INDUSTRIALS |
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0.4 |
% |
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| Rexford Industrial Realty, Inc., 5.875%, Series B(a)(c) |
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|
3,039 |
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|
68,013 |
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2
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| |
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|
Shares |
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|
Value |
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| WESCO International, Inc., 10.625% to 6/22/25, Series A(a)(c)(d) |
|
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|
37,000 |
|
|
$ |
973,470 |
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1,041,483 |
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| INSURANCE |
|
|
1.0 |
% |
|
|
|
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|
|
| Allstate Corp., 7.375%, Series J(a)(c) |
|
|
|
11,607 |
|
|
|
311,648 |
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| American Financial Group, Inc., 5.125%, due 12/15/59 |
|
|
|
6,096 |
|
|
|
139,416 |
|
| American Financial Group, Inc., 5.875%, due 3/30/59 |
|
|
|
19,617 |
|
|
|
482,774 |
|
| Athene Holding Ltd., 4.875%, Series D(a)(c) |
|
|
|
24,721 |
|
|
|
459,563 |
|
| Athene Holding Ltd., 6.375% to 6/30/25, Series C(a)(c)(d) |
|
|
|
32,110 |
|
|
|
798,255 |
|
| Equitable Holdings, Inc., 4.30%, Series C(a)(c) |
|
|
|
12,713 |
|
|
|
235,318 |
|
| W R Berkley Corp., 4.125%, due 3/30/61(a) |
|
|
|
10,339 |
|
|
|
201,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,628,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| Energy Transfer LP, 7.60% to 5/15/24, Series E(a)(c)(d) |
|
|
|
60,500 |
|
|
|
1,530,650 |
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATION SERVICES |
|
|
1.3 |
% |
|
|
|
|
|
|
|
|
| AT&T, Inc., 4.75%, Series C(a)(c) |
|
|
|
84,754 |
|
|
|
1,704,403 |
|
| AT&T, Inc., 5.00%, Series A(a)(c) |
|
|
|
77,972 |
|
|
|
1,665,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,369,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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| UTILITIES |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A
(Canada)(a)(d) |
|
|
|
25,000 |
|
|
|
625,000 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$22,487,860) |
|
|
|
22,143,846 |
|
|
|
|
|
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|
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| |
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|
|
Principal
Amount** |
|
|
|
|
| PREFERRED
SECURITIES—OVER-THE-COUNTER |
|
|
35.6 |
% |
|
|
|
|
|
|
|
|
| BANKING |
|
|
21.8 |
% |
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9
(Spain)(a)(c)(d)(e) |
|
|
|
600,000 |
|
|
|
596,385 |
|
| Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(c)(d)(e) |
|
|
|
600,000 |
|
|
|
646,776 |
|
| Banco Santander SA, 9.625% to 11/21/28 (Spain)(c)(d)(e) |
|
|
|
400,000 |
|
|
|
427,972 |
|
| Banco Santander SA, 9.625% to 5/21/33 (Spain)(c)(d)(e) |
|
|
|
600,000 |
|
|
|
662,375 |
|
| Bank of America Corp., 4.375% to 1/27/27, Series RR(a)(c)(d) |
|
|
|
205,000 |
|
|
|
192,688 |
|
| Bank of America Corp., 6.10% to 3/17/25, Series AA(a)(c)(d) |
|
|
|
538,000 |
|
|
|
540,831 |
|
| Bank of America Corp., 6.125% to 4/27/27, Series TT(a)(c)(d) |
|
|
|
489,000 |
|
|
|
491,558 |
|
| Bank of America Corp., 6.25% to 9/5/24, Series X(a)(c)(d) |
|
|
|
841,000 |
|
|
|
844,060 |
|
| Bank of America Corp., 6.30% to 3/10/26, Series DD(a)(c)(d) |
|
|
|
1,310,000 |
|
|
|
1,317,728 |
|
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a)(c)(d) |
|
|
|
975,000 |
|
|
|
978,264 |
|
| Bank of Montreal, 7.70% to 5/26/29, due 5/26/84 (Canada)(d) |
|
|
|
600,000 |
|
|
|
608,551 |
|
| Bank of Nova Scotia, 4.90% to 6/4/25 (Canada)(a)(c)(d) |
|
|
|
550,000 |
|
|
|
542,588 |
|
| Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(d) |
|
|
|
200,000 |
|
|
|
208,740 |
|
| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(a)(c)(d)(e) |
|
|
|
600,000 |
|
|
|
579,828 |
|
| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(c)(d)(e) |
|
|
|
GBP 800,000 |
|
|
|
995,334 |
|
| Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(a)(c)(d)(e) |
|
|
|
400,000 |
|
|
|
400,176 |
|
| Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(a)(c)(d)(e) |
|
|
|
1,200,000 |
|
|
|
1,275,482 |
|
| BNP Paribas SA, 7.375% to 8/19/25 (France)(a)(c)(d)(e)(f) |
|
|
|
1,800,000 |
|
|
|
1,808,770 |
|
| BNP Paribas SA, 7.75% to 8/16/29 (France)(a)(c)(d)(e)(f) |
|
|
|
400,000 |
|
|
|
410,473 |
|
| BNP Paribas SA, 8.50% to 8/14/28 (France)(c)(d)(e)(f) |
|
|
|
600,000 |
|
|
|
628,651 |
|
| BNP Paribas SA, 9.25% to 11/17/27 (France)(a)(c)(d)(e)(f) |
|
|
|
600,000 |
|
|
|
645,312 |
|
| Charles Schwab Corp., 4.00% to 6/1/26, Series I(a)(c)(d) |
|
|
|
1,180,000 |
|
|
|
1,105,452 |
|
| Charles Schwab Corp., 4.00% to 12/1/30, Series H(a)(c)(d) |
|
|
|
2,075,000 |
|
|
|
1,753,385 |
|
| Charles Schwab Corp., 5.375% to 6/1/25, Series G(a)(c)(d) |
|
|
|
2,471,000 |
|
|
|
2,460,076 |
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Citigroup, Inc., 5.95% to 5/15/25, Series P(a)(c)(d) |
|
|
|
1,773,000 |
|
|
$ |
1,772,553 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(a)(c)(d) |
|
|
|
880,000 |
|
|
|
884,460 |
|
| Citigroup, Inc., 7.625% to 11/15/28(a)(c)(d) |
|
|
|
1,800,000 |
|
|
|
1,894,261 |
|
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(c)(d)(e)(g) |
|
|
|
400,000 |
|
|
|
394,478 |
|
| Credit Agricole SA, 6.875% to 9/23/24 (France)(a)(c)(d)(e)(f) |
|
|
|
1,400,000 |
|
|
|
1,400,023 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(a)(c)(d)(e)(f) |
|
|
|
1,200,000 |
|
|
|
1,226,328 |
|
| Credit Suisse Group AG, 6.375%, Claim (Switzerland)(c)(e)(f)(h)(i) |
|
|
|
400,000 |
|
|
|
46,000 |
|
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(a)(c)(d)(e) |
|
|
|
600,000 |
|
|
|
591,344 |
|
| HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(a)(c)(d)(e) |
|
|
|
800,000 |
|
|
|
772,055 |
|
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a)(c)(d)(e) |
|
|
|
800,000 |
|
|
|
795,437 |
|
| ING Groep NV, 6.50% to 4/16/25 (Netherlands)(a)(c)(d)(e) |
|
|
|
1,000,000 |
|
|
|
988,479 |
|
| ING Groep NV, 6.75% to 4/16/24 (Netherlands)(c)(d)(e)(g) |
|
|
|
800,000 |
|
|
|
800,264 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(a)(c)(d)(e)(f) |
|
|
|
600,000 |
|
|
|
599,087 |
|
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(a)(c)(d) |
|
|
|
975,000 |
|
|
|
976,001 |
|
| JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(a)(c)(d) |
|
|
|
466,000 |
|
|
|
465,772 |
|
| JPMorgan Chase & Co., 6.875% to 6/1/29(a)(c)(d) |
|
|
|
2,574,000 |
|
|
|
2,669,939 |
|
| JPMorgan Chase & Co., 9.348% (3 Month USD Term SOFR + 4.042%),
Series
S(a)(c)(j) |
|
|
|
609,000 |
|
|
|
610,073 |
|
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a)(c)(d)(e) |
|
|
|
1,000,000 |
|
|
|
994,818 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(a)(c)(d)(e) |
|
|
|
1,200,000 |
|
|
|
1,198,203 |
|
| NatWest Group PLC, 6.00% to 12/29/25 (United Kingdom)(a)(c)(d)(e) |
|
|
|
2,400,000 |
|
|
|
2,349,578 |
|
| NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom)(a)(c)(d)(e) |
|
|
|
2,600,000 |
|
|
|
2,616,063 |
|
| PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(a)(c)(d) |
|
|
|
321,000 |
|
|
|
314,595 |
|
| PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(a)(c)(d) |
|
|
|
841,000 |
|
|
|
840,913 |
|
| Societe Generale SA, 8.00% to 9/29/25 (France)(a)(c)(d)(e)(f) |
|
|
|
800,000 |
|
|
|
804,206 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(a)(c)(d)(e)(f) |
|
|
|
400,000 |
|
|
|
415,225 |
|
| Swedbank AB, 7.75% to 3/17/30 (Sweden)(c)(d)(e)(g) |
|
|
|
400,000 |
|
|
|
397,497 |
|
| Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada)(a)(d) |
|
|
|
600,000 |
|
|
|
630,812 |
|
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c)(d)(e)(g) |
|
|
|
2,000,000 |
|
|
|
1,982,328 |
|
| UBS Group AG, 7.00% to 2/19/25 (Switzerland)(c)(d)(e)(g) |
|
|
|
1,800,000 |
|
|
|
1,800,000 |
|
| UBS Group AG, 9.25% to 11/13/28 (Switzerland)(a)(c)(d)(e)(f) |
|
|
|
1,000,000 |
|
|
|
1,085,975 |
|
| UBS Group AG, 9.25% to 11/13/33 (Switzerland)(c)(d)(e)(f) |
|
|
|
200,000 |
|
|
|
226,207 |
|
| UniCredit SpA, 8.00% to 6/3/24 (Italy)(c)(d)(e)(g) |
|
|
|
600,000 |
|
|
|
600,960 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(a)(c)(d) |
|
|
|
1,350,000 |
|
|
|
1,285,269 |
|
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(a)(c)(d) |
|
|
|
1,221,000 |
|
|
|
1,221,366 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(a)(c)(d) |
|
|
|
2,140,000 |
|
|
|
2,292,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,064,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BROKERAGE |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
| Goldman Sachs Group, Inc., 4.95% to 2/10/25, Series R(a)(c)(d) |
|
|
|
614,000 |
|
|
|
605,389 |
|
| Goldman Sachs Group, Inc., 7.50% to 2/10/29, Series W(c)(d) |
|
|
|
600,000 |
|
|
|
638,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,243,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.375% to 6/22/25(c)(d) |
|
|
|
207,000 |
|
|
|
203,395 |
|
| BP Capital Markets PLC, 6.45% to 12/1/33(a)(c)(d) |
|
|
|
750,000 |
|
|
|
778,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
981,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCE |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
| American Express Co., 3.55% to 9/15/26, Series D(a)(c)(d) |
|
|
|
750,000 |
|
|
|
696,080 |
|
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50(d)(f) |
|
|
|
392,000 |
|
|
|
372,868 |
|
| ARES Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51(a)(d)(f) |
|
|
|
225,000 |
|
|
|
209,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,278,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| INSURANCE |
|
|
3.8 |
% |
|
|
|
|
|
|
|
|
| Aegon Ltd., 5.625% to 4/15/29 (Netherlands)(c)(d)(e)(g) |
|
|
|
EUR 400,000 |
|
|
$ |
420,604 |
|
| Allianz SE, 6.35% to 3/6/33, due 9/6/53 (Germany)(a)(d)(f) |
|
|
|
200,000 |
|
|
|
210,436 |
|
| Argentum Netherlands BV for Swiss Re Ltd., 5.524% to 8/15/27
(Switzerland)(c)(d)(g) |
|
|
|
600,000 |
|
|
|
586,097 |
|
| Argentum Netherlands BV for Swiss Re Ltd., 5.625% to 8/15/27, due 8/15/52
(Switzerland)(d)(g) |
|
|
|
400,000 |
|
|
|
396,150 |
|
| Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48
(Switzerland)(d)(g) |
|
|
|
200,000 |
|
|
|
196,053 |
|
| AXA SA, 6.375% to 7/16/33, Series EMTN (France)(c)(d)(e)(g) |
|
|
|
EUR 400,000 |
|
|
|
449,054 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(a)(d) |
|
|
|
545,000 |
|
|
|
546,198 |
|
| Dai-ichi Life Insurance Co. Ltd., 5.10% to
10/28/24 (Japan)(a)(c)(d)(f) |
|
|
|
1,500,000 |
|
|
|
1,490,127 |
|
| Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51(a)(d)(f) |
|
|
|
638,000 |
|
|
|
575,364 |
|
| Markel Group, Inc., 6.00% to 6/1/25(a)(c)(d) |
|
|
|
390,000 |
|
|
|
387,293 |
|
| MetLife, Inc., 10.75%, due 8/1/39(a) |
|
|
|
500,000 |
|
|
|
678,770 |
|
| Phoenix Group Holdings PLC, 4.75% to 6/4/26, due 9/4/31 (United
Kingdom)(d)(g) |
|
|
|
600,000 |
|
|
|
579,582 |
|
| Prudential Financial, Inc., 5.125% to 11/28/31, due 3/1/52(a)(d) |
|
|
|
1,035,000 |
|
|
|
972,350 |
|
| Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53(d) |
|
|
|
250,000 |
|
|
|
260,548 |
|
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN
(Australia)(d)(g) |
|
|
|
200,000 |
|
|
|
197,111 |
|
| QBE Insurance Group Ltd., 5.875% to 5/12/25 (Australia)(a)(c)(d)(f) |
|
|
|
200,000 |
|
|
|
198,474 |
|
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44
(Australia)(d)(g) |
|
|
|
500,000 |
|
|
|
500,793 |
|
| Sumitomo Life Insurance Co., 5.875% to 1/18/34 (Japan)(c)(d)(f) |
|
|
|
400,000 |
|
|
|
399,429 |
|
| Voya Financial, Inc., 7.758% to 9/15/28, Series A(a)(c)(d) |
|
|
|
1,000,000 |
|
|
|
1,039,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,083,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
3.3 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(a)(d) |
|
|
|
800,000 |
|
|
|
805,748 |
|
| Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada)(a)(d) |
|
|
|
2,170,000 |
|
|
|
2,263,520 |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(a)(d) |
|
|
|
1,445,000 |
|
|
|
1,573,655 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(a)(c)(d) |
|
|
|
1,366,000 |
|
|
|
1,337,022 |
|
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(d) |
|
|
|
700,000 |
|
|
|
646,246 |
|
| Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(a)(d) |
|
|
|
880,000 |
|
|
|
804,454 |
|
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(a)(d) |
|
|
|
1,296,000 |
|
|
|
1,262,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,693,122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Scentre Group Trust 2, 4.75% to 6/24/26 (Australia)(a)(d)(f) |
|
|
|
989,000 |
|
|
|
950,736 |
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATION SERVICES |
|
|
0.8 |
% |
|
|
|
|
|
|
|
|
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(a)(d) |
|
|
|
210,000 |
|
|
|
181,219 |
|
| Vodafone Group PLC, 5.125% to 12/4/50, due 6/4/81 (United Kingdom)(a)(d) |
|
|
|
1,201,000 |
|
|
|
908,528 |
|
| Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d)(g) |
|
|
|
1,183,000 |
|
|
|
1,181,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,271,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
4.2 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82
(Canada)(a)(d) |
|
|
|
2,075,000 |
|
|
|
1,831,096 |
|
| Dominion Energy, Inc., 4.35% to 1/15/27, Series C(c)(d) |
|
|
|
700,000 |
|
|
|
658,817 |
|
| Dominion Energy, Inc., 4.65% to 12/15/24, Series B(a)(c)(d) |
|
|
|
1,050,000 |
|
|
|
1,033,015 |
|
| Duke Energy Corp., 4.875% to 9/16/24(a)(c)(d) |
|
|
|
798,000 |
|
|
|
793,037 |
|
| Edison International, 5.375% to 3/15/26, Series A(a)(c)(d) |
|
|
|
1,300,000 |
|
|
|
1,261,245 |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(a)(d) |
|
|
|
1,200,000 |
|
|
|
1,189,649 |
|
| NextEra Energy Capital Holdings, Inc., 6.70% to 6/1/29, due 9/1/54(a)(d) |
|
|
|
1,000,000 |
|
|
|
1,005,766 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(a)(d) |
|
|
|
1,925,000 |
|
|
|
1,785,526 |
|
| Sempra, 6.875% to 7/1/29, due 10/1/54(a)(d) |
|
|
|
800,000 |
|
|
|
809,035 |
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Southern Co., 4.00% to 10/15/25, due 1/15/51, Series B(a)(d) |
|
|
|
1,000,000 |
|
|
$ |
962,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,329,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$94,390,105) |
|
|
|
|
|
|
|
94,898,359 |
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS |
|
|
2.0 |
% |
|
|
|
|
|
|
|
|
| FREE STANDING |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
| NNN REIT, Inc., 5.60%, due 10/15/33(a) |
|
|
|
380,000 |
|
|
|
384,925 |
|
| Realty Income Corp., 3.40%, due 1/15/30 |
|
|
|
350,000 |
|
|
|
319,064 |
|
| Realty Income Corp., 5.625%, due 10/13/32(a) |
|
|
|
715,000 |
|
|
|
730,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,434,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REGIONAL MALL |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| Simon Property Group LP, 5.50%, due 3/8/33(a) |
|
|
|
585,000 |
|
|
|
595,990 |
|
| Simon Property Group LP, 5.85%(a) |
|
|
|
415,000 |
|
|
|
427,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,023,749 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
| Kimco Realty OP LLC, 4.25%, due 4/1/45(a) |
|
|
|
400,000 |
|
|
|
323,770 |
|
| Retail Opportunity Investments Partnership LP, 4.00%, due 12/15/24(a) |
|
|
|
1,000,000 |
|
|
|
985,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,309,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SPECIALTY |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| VICI Properties LP/VICI Note Co., Inc., 5.75%, due 2/1/27(a)(f) |
|
|
|
600,000 |
|
|
|
599,692 |
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| Enel Finance America LLC, 7.10%, due 10/14/27 (Italy)(a)(f) |
|
|
|
200,000 |
|
|
|
211,699 |
|
| Enel Finance International NV, 7.50%, due 10/14/32 (Italy)(a)(f) |
|
|
|
200,000 |
|
|
|
225,546 |
|
| NextEra Energy Capital Holdings, Inc., 6.051%, due 3/1/25(a) |
|
|
|
465,000 |
|
|
|
466,916 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
904,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(Identified cost—$5,122,034) |
|
|
|
|
|
|
|
5,271,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
| SHORT-TERM INVESTMENTS |
|
|
1.7 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
|
|
|
|
|
|
|
|
|
|
|
| State Street Institutional Treasury Plus Money Market Fund, Premier Class,
5.25%(k) |
|
|
|
3,437,085 |
|
|
|
3,437,085 |
|
| State Street Institutional U.S. Government Money Market Fund, Premier
Class,
5.26%(k) |
|
|
|
974,697 |
|
|
|
974,697 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$4,411,782) |
|
|
|
|
|
|
|
4,411,782 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$394,805,116) |
|
|
151.3 |
% |
|
|
|
|
|
|
402,834,922 |
|
| WRITTEN OPTION CONTRACTS
(Premiums received—$1,029,793) |
|
|
(0.4 |
) |
|
|
|
|
|
|
(966,760 |
) |
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(50.9 |
) |
|
|
|
|
|
|
(135,553,582 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $15.93 per share based on 16,722,406 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
266,314,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
Exchange-Traded Option Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Written Options |
|
| Description |
|
Exercise
Price |
|
|
Expiration
Date |
|
Number of
Contracts |
|
|
Notional
Amount(l) |
|
|
Premiums
Received |
|
|
Value |
|
| Call—iShares U.S. Real Estate ETF |
|
$ |
90.00 |
|
|
4/19/24 |
|
|
(1,750 |
) |
|
$ |
(15,732,500 |
) |
|
$ |
(187,709 |
) |
|
$ |
(238,000 |
) |
| Call—iShares U.S. Real Estate ETF |
|
|
91.00 |
|
|
4/19/24 |
|
|
(2,750 |
) |
|
|
(24,722,500 |
) |
|
|
(219,294 |
) |
|
|
(239,250 |
) |
| Call—iShares U.S. Real Estate ETF |
|
|
92.00 |
|
|
4/19/24 |
|
|
(2,000 |
) |
|
|
(17,980,000 |
) |
|
|
(223,194 |
) |
|
|
(118,000 |
) |
| Call—iShares U.S. Real Estate
ETF |
|
|
93.00 |
|
|
4/19/24 |
|
|
(1,000 |
) |
|
|
(8,990,000 |
) |
|
|
(114,322 |
) |
|
|
(30,950 |
) |
|
|
|
|
|
|
|
|
|
|
|
(7,500 |
) |
|
$ |
(67,425,000 |
) |
|
$ |
(744,519 |
) |
|
$ |
(626,200 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over-the-Counter Options Contracts |
|
| Written Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price ($) |
|
|
Expiration
Date |
|
Number of
Contracts |
|
|
Notional
Amount(l) |
|
|
Premiums
Received |
|
|
Value |
|
| Call—American Tower Corp. |
|
Goldman Sachs International |
|
$ |
200.53 |
|
|
4/19/24 |
|
|
(3,552 |
) |
|
$ |
(701,840 |
) |
|
$ |
(12,530 |
) |
|
$ |
(10,179 |
) |
| Call—Crown Castle, Inc. |
|
Goldman Sachs International |
|
|
113.17 |
|
|
4/19/24 |
|
|
(3,695 |
) |
|
|
(391,042 |
) |
|
|
(8,050 |
) |
|
|
(2,210 |
) |
| Call—Equinix, Inc. |
|
Goldman Sachs International |
|
|
887.60 |
|
|
4/19/24 |
|
|
(580 |
) |
|
|
(478,691 |
) |
|
|
(14,094 |
) |
|
|
(1,485 |
) |
| Call—Essex Property Trust Inc. |
|
Goldman Sachs International |
|
|
241.40 |
|
|
4/19/24 |
|
|
(362 |
) |
|
|
(88,621 |
) |
|
|
(1,619 |
) |
|
|
(2,649 |
) |
| Call—Extra Space Storage, Inc. |
|
Goldman Sachs International |
|
|
150.67 |
|
|
4/19/24 |
|
|
(2,013 |
) |
|
|
(295,911 |
) |
|
|
(6,187 |
) |
|
|
(4,397 |
) |
| Call—Host Hotels & Resorts, Inc. |
|
Goldman Sachs International |
|
|
20.73 |
|
|
4/19/24 |
|
|
(6,644 |
) |
|
|
(137,398 |
) |
|
|
(2,438 |
) |
|
|
(3,150 |
) |
| Call—Invitation Homes, Inc. |
|
Goldman Sachs International |
|
|
33.77 |
|
|
4/19/24 |
|
|
(12,530 |
) |
|
|
(446,193 |
) |
|
|
(7,765 |
) |
|
|
(26,479 |
) |
| Call—Iron Mountain, Inc. |
|
Goldman Sachs International |
|
|
71.90 |
|
|
4/19/24 |
|
|
(6,544 |
) |
|
|
(524,894 |
) |
|
|
(8,726 |
) |
|
|
(56,663 |
) |
| Call—Kimco Realty Corp. |
|
Goldman Sachs International |
|
|
20.44 |
|
|
4/19/24 |
|
|
(1,753 |
) |
|
|
(34,376 |
) |
|
|
(688 |
) |
|
|
(294 |
) |
| Call—Prologis, Inc. |
|
Goldman Sachs International |
|
|
137.26 |
|
|
4/19/24 |
|
|
(4,608 |
) |
|
|
(600,054 |
) |
|
|
(14,864 |
) |
|
|
(3,321 |
) |
| Call—Public Storage |
|
Goldman Sachs International |
|
|
298.56 |
|
|
4/19/24 |
|
|
(642 |
) |
|
|
(186,219 |
) |
|
|
(3,478 |
) |
|
|
(1,692 |
) |
| Call—Realty Income Corp. |
|
Goldman Sachs International |
|
|
54.32 |
|
|
4/19/24 |
|
|
(7,767 |
) |
|
|
(420,195 |
) |
|
|
(5,832 |
) |
|
|
(6,488 |
) |
| Call—SBA Communications Corp. |
|
Goldman Sachs International |
|
|
223.91 |
|
|
4/19/24 |
|
|
(544 |
) |
|
|
(117,885 |
) |
|
|
(2,197 |
) |
|
|
(1,400 |
) |
| Call—Simon Property Group, Inc. |
|
Goldman Sachs International |
|
|
149.49 |
|
|
4/19/24 |
|
|
(3,489 |
) |
|
|
(545,994 |
) |
|
|
(14,564 |
) |
|
|
(29,201 |
) |
| Call—VICI Properties, Inc. |
|
Goldman Sachs International |
|
|
30.54 |
|
|
4/19/24 |
|
|
(9,522 |
) |
|
|
(283,660 |
) |
|
|
(4,013 |
) |
|
|
(1,761 |
) |
| Call—Welltower, Inc. |
|
Goldman Sachs International |
|
|
96.48 |
|
|
4/19/24 |
|
|
(10,087 |
) |
|
|
(942,529 |
) |
|
|
(19,812 |
) |
|
|
(5,398 |
) |
| Call—WP Carey, Inc. |
|
Goldman Sachs International |
|
|
59.87 |
|
|
4/19/24 |
|
|
(919 |
) |
|
|
(51,868 |
) |
|
|
(614 |
) |
|
|
(126 |
) |
| Call—American Tower Corp. |
|
Goldman Sachs International |
|
|
205.54 |
|
|
5/17/24 |
|
|
(4,772 |
) |
|
|
(942,899 |
) |
|
|
(19,777 |
) |
|
|
(16,969 |
) |
| Call—Crown Castle, Inc. |
|
Goldman Sachs International |
|
|
113.11 |
|
|
5/17/24 |
|
|
(4,205 |
) |
|
|
(445,015 |
) |
|
|
(8,623 |
) |
|
|
(6,657 |
) |
| Call—Digital Realty Trust, Inc. |
|
Goldman Sachs International |
|
|
151.73 |
|
|
5/17/24 |
|
|
(4,075 |
) |
|
|
(586,963 |
) |
|
|
(14,173 |
) |
|
|
(15,137 |
) |
| Call—Equinix, Inc. |
|
Goldman Sachs International |
|
|
890.66 |
|
|
5/17/24 |
|
|
(635 |
) |
|
|
(524,085 |
) |
|
|
(14,711 |
) |
|
|
(7,285 |
) |
| Call—Essex Property Trust Inc. |
|
Goldman Sachs International |
|
|
245.63 |
|
|
5/17/24 |
|
|
(442 |
) |
|
|
(108,206 |
) |
|
|
(2,398 |
) |
|
|
(3,870 |
) |
| Call—Extra Space Storage, Inc. |
|
Goldman Sachs International |
|
|
149.00 |
|
|
5/17/24 |
|
|
(1,748 |
) |
|
|
(256,956 |
) |
|
|
(5,216 |
) |
|
|
(10,178 |
) |
| Call—Invitation Homes, Inc. |
|
Goldman Sachs International |
|
|
35.62 |
|
|
5/17/24 |
|
|
(15,449 |
) |
|
|
(550,139 |
) |
|
|
(11,843 |
) |
|
|
(17,363 |
) |
| Call—Iron Mountain, Inc. |
|
Goldman Sachs International |
|
|
83.24 |
|
|
5/17/24 |
|
|
(3,804 |
) |
|
|
(305,119 |
) |
|
|
(6,180 |
) |
|
|
(7,635 |
) |
| Call—Kimco Realty Corp. |
|
Goldman Sachs International |
|
|
20.08 |
|
|
5/17/24 |
|
|
(2,688 |
) |
|
|
(52,712 |
) |
|
|
(899 |
) |
|
|
(1,446 |
) |
| Call—Mid-America Apartment
Communities, Inc. |
|
Goldman Sachs International |
|
|
135.36 |
|
|
5/17/24 |
|
|
(577 |
) |
|
|
(75,922 |
) |
|
|
(1,193 |
) |
|
|
(1,458 |
) |
| Call—Prologis, Inc. |
|
Goldman Sachs International |
|
|
133.62 |
|
|
5/17/24 |
|
|
(6,429 |
) |
|
|
(837,184 |
) |
|
|
(20,739 |
) |
|
|
(20,113 |
) |
| Call—Public Storage |
|
Goldman Sachs International |
|
|
288.39 |
|
|
5/17/24 |
|
|
(543 |
) |
|
|
(157,503 |
) |
|
|
(3,712 |
) |
|
|
(6,404 |
) |
| Call—Realty Income Corp. |
|
Goldman Sachs International |
|
|
54.46 |
|
|
5/17/24 |
|
|
(7,623 |
) |
|
|
(412,404 |
) |
|
|
(5,826 |
) |
|
|
(10,547 |
) |
| Call—SBA Communications Corp. |
|
Goldman Sachs International |
|
|
225.61 |
|
|
5/17/24 |
|
|
(101 |
) |
|
|
(21,887 |
) |
|
|
(598 |
) |
|
|
(477 |
) |
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Over-the-Counter Options Contracts (continued) |
|
| Written Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Exercise
Price ($) |
|
|
Expiration
Date |
|
|
Number of
Contracts |
|
|
Notional
Amount(l) |
|
|
Premiums
Received |
|
|
Value |
|
| Call—Simon Property Group, Inc. |
|
Goldman Sachs International |
|
$ |
155.82 |
|
|
|
5/17/24 |
|
|
|
(4,520 |
) |
|
$ |
(707,335 |
) |
|
$ |
(19,251 |
) |
|
$ |
(29,336 |
) |
| Call—Welltower, Inc. |
|
Goldman Sachs International |
|
|
92.63 |
|
|
|
5/17/24 |
|
|
|
(6,814 |
) |
|
|
(636,700 |
) |
|
|
(20,346 |
) |
|
|
(25,028 |
) |
| Call—Weyerhaeuser Co. |
|
Goldman Sachs International |
|
|
35.49 |
|
|
|
5/17/24 |
|
|
|
(1,956 |
) |
|
|
(70,240 |
) |
|
|
(1,515 |
) |
|
|
(2,827 |
) |
| Call—WP Carey, Inc. |
|
Goldman Sachs International |
|
|
58.43 |
|
|
|
5/17/24 |
|
|
|
(938 |
) |
|
|
(52,941 |
) |
|
|
(803 |
) |
|
|
(937 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(142,570 |
) |
|
$ |
(12,991,580 |
) |
|
$ |
(285,274 |
) |
|
$ |
(340,560 |
) |
| |
|
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) |
|
| |
$ 37,000,000 |
|
|
|
2.201% |
|
|
Monthly |
|
|
5.330%(m |
) |
|
Monthly |
|
|
10/1/25 |
|
|
$ |
1,435,805 |
|
|
$ |
— |
|
|
$ |
1,435,805 |
|
| |
14,500,000 |
|
|
|
2.360% |
|
|
Monthly |
|
|
5.330%(m |
) |
|
Monthly |
|
|
12/18/25 |
|
|
|
548,676 |
|
|
|
— |
|
|
|
548,676 |
|
| |
37,000,000 |
|
|
|
1.957% |
|
|
Monthly |
|
|
5.330%(m |
) |
|
Monthly |
|
|
3/1/26 |
|
|
|
1,835,415 |
|
|
|
— |
|
|
|
1,835,415 |
|
| |
37,000,000 |
|
|
|
1.557% |
|
|
Monthly |
|
|
5.330%(m |
) |
|
Monthly |
|
|
3/1/27 |
|
|
|
2,788,785 |
|
|
|
— |
|
|
|
2,788,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,608,681 |
|
|
$ |
— |
|
|
$ |
6,608,681 |
|
| |
|
|
The total amount of all interest rate swap contracts as presented in the table above
is representative of the volume of activity for this derivative type during the for 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 |
|
|
40,296 |
|
|
USD |
|
|
43,974 |
|
|
4/3/24 |
|
$ |
501 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
415,042 |
|
|
USD |
|
|
449,607 |
|
|
4/3/24 |
|
|
1,839 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
350,000 |
|
|
USD |
|
|
380,241 |
|
|
4/3/24 |
|
|
2,643 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
797,901 |
|
|
USD |
|
|
1,009,310 |
|
|
4/3/24 |
|
|
2,240 |
|
| Brown Brothers Harriman |
|
USD |
|
|
869,854 |
|
|
EUR |
|
|
805,338 |
|
|
4/3/24 |
|
|
(1,015 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
1,008,052 |
|
|
GBP |
|
|
797,901 |
|
|
4/3/24 |
|
|
(982 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
821,087 |
|
|
USD |
|
|
887,833 |
|
|
5/2/24 |
|
|
975 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
790,014 |
|
|
USD |
|
|
998,179 |
|
|
5/2/24 |
|
|
905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
7,106 |
|
| |
|
Glossary of Portfolio Abbreviations
|
|
|
|
|
|
|
EMTN |
|
Euro Medium Term Note |
|
|
ETF |
|
Exchange-Traded Fund |
| |
|
EUR |
|
Euro Currency |
|
|
GBP |
|
British Pound |
|
|
OIS |
|
Overnight Indexed Swap |
|
|
REIT |
|
Real Estate Investment Trust |
|
|
SOFR |
|
Secured Overnight Financing Rate |
|
|
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 Schedule of Investments. |
| ** |
Amount denominated in U.S. dollars unless otherwise indicated. |
| (a) |
All or a portion of the security is pledged as collateral in connection with the Fund’s revolving
credit agreement. $300,546,985 in aggregate has been pledged as collateral. |
| (b) |
All or a portion of the security is pledged in connection with written option contracts. $49,341,298 in
aggregate has been pledged as collateral. |
| (c) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be
called/redeemed by the issuer. |
| (d) |
Security converts to floating rate after the indicated fixed–rate coupon period.
|
| (e) |
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 $32,031,747 which represents 12.0% of the net assets of the Fund (7.9% of the managed assets of the Fund). |
| (f) |
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 $14,740,495 which represents 5.5% of the net assets of the Fund, of which 0.0% are illiquid. |
| (g) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are
subject to resale restrictions. Aggregate holdings amounted to $10,482,818 which represents 3.9% of the net assets of the Fund, of which 0.0% are illiquid. |
| (h) |
Non–income producing security. |
| (i) |
Security is in default. |
| (j) |
Variable rate. Rate shown is in effect at March 28, 2024. |
| (k) |
Rate quoted represents the annualized seven–day yield. |
| (l) |
Represents number of contracts multiplied by notional contract size multiplied by the underlying price.
|
| (m) |
Based on USD-SOFR-OIS.
Represents rates in effect at March 28, 2024. |
9
COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND
NOTES TO 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 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 Trustees.
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 Trustees, 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 Trustees, 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 Board of Trustees 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 Trustees. 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 Trustees. 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 REAL ESTATE OPPORTUNITIES AND INCOME FUND
NOTES TO 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 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 |
|
$ |
276,109,833 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
276,109,833 |
|
| Preferred Securities—Exchange-Traded |
|
|
22,143,846 |
|
|
|
— |
|
|
|
— |
|
|
|
22,143,846 |
|
| Preferred
Securities—Over-the-Counter |
|
|
— |
|
|
|
94,898,359 |
|
|
|
— |
|
|
|
94,898,359 |
|
| Corporate Bonds |
|
|
— |
|
|
|
5,271,102 |
|
|
|
— |
|
|
|
5,271,102 |
|
| Short-Term Investments |
|
|
— |
|
|
|
4,411,782 |
|
|
|
— |
|
|
|
4,411,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(a) |
|
$ |
298,253,679 |
|
|
$ |
104,581,243 |
|
|
$ |
— |
|
|
$ |
402,834,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
9,103 |
|
|
$ |
— |
|
|
$ |
9,103 |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
6,608,681 |
|
|
|
— |
|
|
|
6,608,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(a) |
|
$ |
— |
|
|
$ |
6,617,784 |
|
|
$ |
— |
|
|
$ |
6,617,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(1,997 |
) |
|
$ |
— |
|
|
$ |
(1,997 |
) |
| Written Option Contracts |
|
|
(595,250 |
) |
|
|
(371,510 |
) |
|
|
— |
|
|
|
(966,760 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(a) |
|
$ |
(595,250 |
) |
|
$ |
(373,507 |
) |
|
$ |
— |
|
|
$ |
(968,757 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Portfolio holdings are disclosed individually on the Schedule of Investments. |
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 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.
COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 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 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 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:
|
|
|
|
|
|
|
|
|
| |
|
Written Option
Contracts(a)(b) |
|
|
Forward Foreign
Currency Exchange
Contracts(b) |
|
| Average Notional Amount |
|
$ |
79,501,187 |
|
|
$ |
1,454,507 |
|
| (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 three months for written option contracts and three months for forward foreign currency exchange
contracts. |
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