COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 28, 2024 (Unaudited)*
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Shares |
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Value |
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| COMMON STOCK—REAL ESTATE |
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70.9 |
% |
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| APARTMENT |
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5.3 |
% |
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| Apartment Income REIT Corp.(a)(b) |
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157,962 |
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$ |
5,129,026 |
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| Camden Property Trust |
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14,797 |
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1,456,025 |
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| Essex Property Trust, Inc.(b) |
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84,489 |
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20,683,752 |
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| Mid-America Apartment Communities,
Inc. |
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41,311 |
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5,435,701 |
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| UDR, Inc.(b) |
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526,833 |
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19,708,823 |
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52,413,327 |
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| DATA CENTERS |
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7.9 |
% |
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| Digital Realty Trust, Inc.(a)(b) |
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304,158 |
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43,810,918 |
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| Equinix, Inc.(b)(c) |
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41,836 |
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34,528,506 |
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78,339,424 |
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| DIVERSIFIED |
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0.9 |
% |
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| WP Carey, Inc.(b) |
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157,234 |
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8,874,287 |
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| FREE STANDING |
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4.6 |
% |
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| NETSTREIT Corp. |
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410,377 |
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7,538,626 |
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| Realty Income Corp.(b) |
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708,213 |
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38,314,323 |
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45,852,949 |
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| GAMING |
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2.6 |
% |
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| VICI Properties, Inc., Class A(b) |
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874,131 |
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26,040,362 |
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| HEALTH CARE |
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7.5 |
% |
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| Healthcare Realty Trust, Inc., Class A |
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1,215,621 |
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17,201,037 |
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| Welltower, Inc.(b) |
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614,859 |
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57,452,425 |
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74,653,462 |
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| HOTEL |
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1.2 |
% |
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| Host Hotels & Resorts, Inc. |
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582,727 |
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12,050,794 |
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| INDUSTRIALS |
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7.5 |
% |
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| Americold Realty Trust, Inc. |
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293,677 |
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7,318,431 |
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| BG LLH, LLC (Lineage Logistics)(e) |
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61,115 |
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6,230,012 |
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| Prologis, Inc.(a)(b) |
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466,323 |
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60,724,581 |
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74,273,024 |
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| MANUFACTURED HOME |
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2.0 |
% |
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| Sun Communities, Inc.(b) |
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155,101 |
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19,942,887 |
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| OFFICE |
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0.5 |
% |
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| Highwoods Properties, Inc.(b) |
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188,322 |
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4,930,270 |
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| REGIONAL MALL |
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4.7 |
% |
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| Simon Property Group, Inc.(a)(b) |
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302,226 |
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47,295,347 |
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| SELF STORAGE |
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3.8 |
% |
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| Extra Space Storage, Inc.(b) |
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182,754 |
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26,864,838 |
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| Public Storage(b) |
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37,401 |
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10,848,534 |
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37,713,372 |
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| SHOPPING CENTER |
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1.0 |
% |
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| Kimco Realty Corp.(b) |
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528,108 |
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10,356,198 |
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| SINGLE FAMILY HOMES |
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4.8 |
% |
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| American Homes 4 Rent, Class A(b) |
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131,926 |
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4,852,238 |
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| Invitation Homes, Inc.(b)(c) |
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1,217,399 |
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43,351,579 |
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48,203,817 |
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1
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Shares |
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Value |
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| SPECIALTY |
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2.6 |
% |
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| Iron Mountain, Inc.(b)(c) |
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280,643 |
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$ |
22,510,375 |
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| Lamar Advertising Co., Class A |
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30,468 |
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3,638,184 |
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26,148,559 |
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| TELECOMMUNICATIONS |
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11.4 |
% |
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| American Tower Corp.(b) |
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429,470 |
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84,858,977 |
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| Crown Castle, Inc.(b) |
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266,436 |
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28,196,922 |
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113,055,899 |
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| TIMBERLAND |
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2.6 |
% |
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| Rayonier, Inc. |
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208,060 |
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6,915,915 |
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| Weyerhaeuser Co.(c) |
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522,452 |
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18,761,251 |
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25,677,166 |
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| TOTAL COMMON STOCK
(Identified cost—$527,900,518) |
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705,821,144 |
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| EXCHANGE-TRADED FUNDS |
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0.3 |
% |
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| CORPORATE BONDS |
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| Invesco Preferred ETF(b) |
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216,079 |
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2,567,018 |
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| TOTAL EXCHANGE-TRADED FUNDS
(Identified cost—$2,314,874) |
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2,567,018 |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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13.5 |
% |
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| BANKING |
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5.2 |
% |
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| Bank of America Corp., 4.25%, Series QQ(b)(f) |
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221,886 |
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4,393,343 |
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| Bank of America Corp., 4.75%, Series SS(b)(f) |
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91,608 |
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2,024,537 |
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| Bank of America Corp., 5.00%, Series LL(b)(f) |
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125,170 |
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2,806,311 |
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| Bank of America Corp., 5.375%, Series KK(b)(f) |
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181,350 |
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4,343,332 |
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| Bank of America Corp., 5.875%, Series HH(b)(f) |
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85,310 |
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2,123,366 |
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| Bank of America Corp., 6.00%, Series GG(b)(f) |
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137,567 |
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3,455,683 |
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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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1,591,200 |
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| Federal Agricultural Mortgage Corp., 4.875%, Series G(b)(f) |
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93,596 |
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1,906,551 |
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| JPMorgan Chase & Co., 4.55%, Series JJ(f) |
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35,699 |
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764,316 |
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| JPMorgan Chase & Co., 5.75%, Series DD(b)(f) |
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79,336 |
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1,984,987 |
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| Regions Financial Corp., 5.70% to 5/15/29, Series C(b)(f)(g) |
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78,811 |
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1,859,940 |
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| Texas Capital Bancshares, Inc., 5.75%, Series B(b)(f) |
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99,590 |
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2,028,648 |
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| U.S. Bancorp, 4.00%, Series M(f) |
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59,019 |
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1,112,508 |
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| Wells Fargo & Co., 4.25%, Series DD(b)(f) |
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201,775 |
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3,932,595 |
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| Wells Fargo & Co., 4.375%, Series CC(b)(f) |
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232,850 |
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4,726,855 |
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| Wells Fargo & Co., 4.70%, Series AA(b)(f) |
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194,758 |
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4,187,297 |
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| Wells Fargo & Co., 4.75%, Series Z(b)(f) |
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171,825 |
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3,728,602 |
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| Wells Fargo & Co., 5.625%, Series Y(b)(f) |
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|
87,479 |
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|
2,174,728 |
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| Wells Fargo & Co., 7.50%, Series L (Convertible)b)(f) |
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|
1,801 |
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2,196,049 |
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51,340,848 |
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| BROKERAGE |
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1.5 |
% |
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| Morgan Stanley, 4.25%, Series O(b)(f) |
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162,254 |
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3,267,796 |
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| Morgan Stanley, 5.85%, Series K(b)(f) |
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187,444 |
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4,684,225 |
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| Morgan Stanley, 6.375%, Series I(a)(b)(f) |
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179,679 |
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4,474,007 |
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| Morgan Stanley, 6.50%, Series P(b)(f) |
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82,182 |
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2,162,208 |
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| Morgan Stanley, 6.875%, Series F(a)(b)(f) |
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25,704 |
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|
646,713 |
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15,234,949 |
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2
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| |
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Shares |
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|
Value |
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| CONSUMER DISCRETIONARY PRODUCTS |
|
|
0.1 |
% |
|
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|
|
| Ford Motor Co., Senior Debt, 6.50%, due 8/15/62 |
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|
29,877 |
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|
$ |
742,145 |
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| CONSUMER STAPLE PRODUCTS |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| CHS, Inc., 6.75% to 9/30/24, Series 3(b)(f)(g) |
|
|
|
102,892 |
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|
|
2,584,647 |
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| CHS, Inc., 7.10% to 4/29/24, Series 2(b)(f)(g) |
|
|
|
110,595 |
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|
|
2,897,589 |
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| CHS, Inc., 7.50%, Series 4(b)(f) |
|
|
|
28,801 |
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|
|
740,186 |
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|
6,222,422 |
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| FINANCE |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| Affiliated Managers Group, Inc., 6.75%, due 3/30/64 |
|
|
|
100,000 |
|
|
|
2,552,000 |
|
| Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53(b)(g) |
|
|
|
80,059 |
|
|
|
2,117,560 |
|
| TPG Operating Group II LP, 6.95%, due 3/15/64 |
|
|
|
104,563 |
|
|
|
2,747,916 |
|
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|
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|
|
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|
|
|
|
|
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|
|
7,417,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| LXP Industrial Trust, 6.50%, Series C(b)(f) |
|
|
|
76,536 |
|
|
|
3,548,974 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
3.0 |
% |
|
|
|
|
|
|
|
|
| Allstate Corp., 7.375%, Series J(b)(f) |
|
|
|
90,206 |
|
|
|
2,422,031 |
|
| Arch Capital Group Ltd., 4.55%, Series G(b)(f) |
|
|
|
67,650 |
|
|
|
1,399,678 |
|
| Assurant, Inc., 5.25%, due 1/15/61(b) |
|
|
|
31,954 |
|
|
|
728,551 |
|
| Athene Holding Ltd., 4.875%, Series D(b)(f) |
|
|
|
102,832 |
|
|
|
1,911,647 |
|
| Athene Holding Ltd., 5.625%, Series B(f) |
|
|
|
20,583 |
|
|
|
446,857 |
|
| Athene Holding Ltd., 6.35% to 6/30/29, Series A(b)(f)(g) |
|
|
|
118,320 |
|
|
|
2,819,565 |
|
| Athene Holding Ltd., 7.25% to 3/30/29, due 3/30/64(b)(g) |
|
|
|
98,556 |
|
|
|
2,511,207 |
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| Athene Holding Ltd., 7.75% to 12/30/27, Series E(b)(f)(g) |
|
|
|
85,591 |
|
|
|
2,234,781 |
|
| Brighthouse Financial, Inc., 5.375%, Series C(f) |
|
|
|
49,282 |
|
|
|
1,011,267 |
|
| Enstar Group Ltd., 7.00% to 9/1/28, Series D(b)(f)(g) |
|
|
|
63,422 |
|
|
|
1,588,721 |
|
| Equitable Holdings, Inc., 4.30%, Series C(f) |
|
|
|
39,419 |
|
|
|
729,646 |
|
| Equitable Holdings, Inc., 5.25%, Series A(b)(f) |
|
|
|
51,202 |
|
|
|
1,168,942 |
|
| F&G Annuities & Life, Inc., Senior Debt, 7.95%, due 12/15/53(b) |
|
|
|
108,670 |
|
|
|
2,842,807 |
|
| Lincoln National Corp., 9.00%, Series D(f) |
|
|
|
98,733 |
|
|
|
2,722,069 |
|
| Prudential Financial, Inc., 5.95%, due 9/1/62(b) |
|
|
|
44,116 |
|
|
|
1,131,575 |
|
| Reinsurance Group of America, Inc., 7.125% to 10/15/27, due 10/15/52(b)(g) |
|
|
|
137,357 |
|
|
|
3,556,173 |
|
| RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)(b)(f) |
|
|
|
39,843 |
|
|
|
754,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,979,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REGIONAL MALL |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Brookfield Property Partners LP, 5.75%, Series A(f) |
|
|
|
49,281 |
|
|
|
628,826 |
|
| TELECOMMUNICATION SERVICES |
|
|
0.8 |
% |
|
|
|
|
|
|
|
|
| AT&T, Inc., 4.75%, Series C(f) |
|
|
|
70,607 |
|
|
|
1,419,907 |
|
| AT&T, Inc., 5.00%, Series A(f) |
|
|
|
81,345 |
|
|
|
1,737,529 |
|
| AT&T, Inc., Senior Debt, 5.35%, due 11/1/66(b) |
|
|
|
58,743 |
|
|
|
1,380,461 |
|
| U.S. Cellular Corp., Senior Debt, 5.50%, due 3/1/70(b) |
|
|
|
47,022 |
|
|
|
847,336 |
|
| U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70(b) |
|
|
|
49,989 |
|
|
|
904,801 |
|
| U.S. Cellular Corp., Senior Debt, 6.25%, due 9/1/69 |
|
|
|
87,323 |
|
|
|
1,687,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,977,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
1.1 |
% |
|
|
|
|
|
|
|
|
| Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(b)(f) |
|
|
|
78,000 |
|
|
|
1,326,000 |
|
| Brookfield BRP Holdings Canada, Inc., 4.875% (Canada)(b)(f) |
|
|
|
60,941 |
|
|
|
1,051,842 |
|
| Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)(b) |
|
|
|
81,825 |
|
|
|
1,506,398 |
|
| Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(b)(f) |
|
|
|
93,591 |
|
|
|
1,697,741 |
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
Value |
|
| SCE Trust VII, 7.50%, Series M (TruPS)(b)(f) |
|
|
|
200,800 |
|
|
$ |
5,347,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,929,285 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$133,272,651) |
|
|
|
|
|
|
|
134,021,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Principal
Amount** |
|
|
|
|
| PREFERRED
SECURITIES—OVER-THE-COUNTER |
|
|
57.2 |
% |
|
|
|
|
|
|
|
|
| BANKING |
|
|
33.9 |
% |
|
|
|
|
|
|
|
|
| Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(f)(g)(h)(i) |
|
|
EUR |
1,800,000 |
|
|
|
1,875,324 |
|
| ABN AMRO Bank NV, 6.875% to 9/22/31 (Netherlands)(f)(g)(h)(i) |
|
|
EUR |
1,800,000 |
|
|
|
2,008,711 |
|
| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9
(Spain)(f)(g)(h) |
|
|
|
1,400,000 |
|
|
|
1,391,565 |
|
| Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(b)(f)(g)(h) |
|
|
|
3,200,000 |
|
|
|
3,449,472 |
|
| Banco de Credito e Inversiones SA, 8.75% to 2/8/29 (Chile)(f)(g)(h)(j) |
|
|
|
800,000 |
|
|
|
825,500 |
|
| Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(f)(g)(h)(i) |
|
|
EUR |
800,000 |
|
|
|
836,076 |
|
| Banco de Sabadell SA, 9.375% to 7/18/28 (Spain)(f)(g)(h)(i) |
|
|
EUR |
2,000,000 |
|
|
|
2,344,781 |
|
| Banco Santander SA, 9.625% to 11/21/28 (Spain)(b)(f)(g)(h) |
|
|
|
2,400,000 |
|
|
|
2,567,832 |
|
| Banco Santander SA, 9.625% to 5/21/33 (Spain)(b)(f)(g)(h) |
|
|
|
4,400,000 |
|
|
|
4,857,415 |
|
| Bank of America Corp., 4.375% to 1/27/27, Series RR(f)(g) |
|
|
|
1,563,000 |
|
|
|
1,469,130 |
|
| Bank of America Corp., 5.875% to 3/15/28, Series FF(b)(f)(g) |
|
|
|
2,916,000 |
|
|
|
2,875,038 |
|
| Bank of America Corp., 6.10% to 3/17/25, Series AA(b)(f)(g) |
|
|
|
4,192,000 |
|
|
|
4,214,062 |
|
| Bank of America Corp., 6.125% to 4/27/27, Series TT(b)(f)(g) |
|
|
|
4,210,000 |
|
|
|
4,232,023 |
|
| Bank of America Corp., 6.25% to 9/5/24, Series X(b)(f)(g) |
|
|
|
1,410,000 |
|
|
|
1,415,130 |
|
| Bank of America Corp., 6.30% to 3/10/26, Series DD(b)(f)(g) |
|
|
|
1,821,000 |
|
|
|
1,831,742 |
|
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a)(b)(f)(g) |
|
|
|
2,363,000 |
|
|
|
2,370,911 |
|
| Bank of Ireland Group PLC, 6.00% to 9/1/25 (Ireland)(f)(g)(h)(i) |
|
|
EUR |
1,200,000 |
|
|
|
1,281,881 |
|
| Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(f)(g)(h)(i) |
|
|
EUR |
2,000,000 |
|
|
|
2,196,644 |
|
| Bank of Nova Scotia, 4.90% to 6/4/25 (Canada)(b)(f)(g) |
|
|
|
1,880,000 |
|
|
|
1,854,663 |
|
| Bank of Nova Scotia, 8.00% to 1/27/29, due 1/27/84 (Canada)(g) |
|
|
|
1,800,000 |
|
|
|
1,836,140 |
|
| Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(b)(g) |
|
|
|
3,200,000 |
|
|
|
3,339,843 |
|
| Barclays Bank PLC, 6.278% to 12/15/34, Series 1 (United Kingdom)(b)(f)(g) |
|
|
|
700,000 |
|
|
|
700,786 |
|
| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(b)(f)(g)(h) |
|
|
|
3,800,000 |
|
|
|
3,672,246 |
|
| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(f)(g)(h) |
|
|
GBP |
1,100,000 |
|
|
|
1,368,585 |
|
| Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(f)(g)(h) |
|
|
|
1,300,000 |
|
|
|
1,300,571 |
|
| Barclays PLC, 8.875% to 9/15/27 (United Kingdom)(f)(g)(h)(i) |
|
|
GBP |
2,300,000 |
|
|
|
2,961,381 |
|
| Barclays PLC, 9.25% to 9/15/28 (United Kingdom)(f)(g)(h) |
|
|
GBP |
1,400,000 |
|
|
|
1,827,533 |
|
| Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(a)(b)(f)(g)(h) |
|
|
|
5,300,000 |
|
|
|
5,633,381 |
|
| BNP Paribas SA, 4.625% to 1/12/27 (France)(b)(f)(g)(h)(j) |
|
|
|
2,600,000 |
|
|
|
2,364,089 |
|
| BNP Paribas SA, 4.625% to 2/25/31 (France)(b)(f)(g)(h)(j) |
|
|
|
1,526,000 |
|
|
|
1,262,653 |
|
| BNP Paribas SA, 7.00% to 8/16/28 (France)(b)(f)(g)(h)(j) |
|
|
|
2,200,000 |
|
|
|
2,185,043 |
|
| BNP Paribas SA, 7.375% to 8/19/25 (France)(b)(f)(g)(h)(j) |
|
|
|
1,500,000 |
|
|
|
1,507,308 |
|
| BNP Paribas SA, 7.75% to 8/16/29 (France)(a)(b)(f)(g)(h)(j) |
|
|
|
6,800,000 |
|
|
|
6,978,044 |
|
| BNP Paribas SA, 8.50% to 8/14/28 (France)(b)(f)(g)(h)(j) |
|
|
|
4,600,000 |
|
|
|
4,819,659 |
|
| BNP Paribas SA, 9.25% to 11/17/27 (France)(a)(b)(f)(g)(h)(j) |
|
|
|
5,600,000 |
|
|
|
6,022,912 |
|
| CaixaBank SA, 7.50% to 1/16/30 (Spain)(f)(g)(h)(i) |
|
|
EUR |
1,400,000 |
|
|
|
1,569,156 |
|
| CaixaBank SA, 8.25% to 3/13/29 (Spain)(f)(g)(h)(i) |
|
|
EUR |
2,600,000 |
|
|
|
2,988,499 |
|
| Charles Schwab Corp., 4.00% to 6/1/26, Series I(a)(b)(f)(g) |
|
|
|
9,965,000 |
|
|
|
9,335,447 |
|
| Charles Schwab Corp., 4.00% to 12/1/30, Series H(a)(b)(f)(g) |
|
|
|
7,520,000 |
|
|
|
6,354,435 |
|
| Charles Schwab Corp., 5.375% to 6/1/25, Series G(a)(b)(f)(g) |
|
|
|
5,483,000 |
|
|
|
5,458,760 |
|
| Citigroup Capital III, 7.625%, due 12/1/36 (TruPS)(b) |
|
|
|
4,700,000 |
|
|
|
4,948,764 |
|
| Citigroup, Inc., 3.875% to 2/18/26, Series X(a)(b)(f)(g) |
|
|
|
4,599,000 |
|
|
|
4,351,910 |
|
4
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount** |
|
|
Value |
|
| Citigroup, Inc., 4.15% to 11/15/26, Series Y(b)(f)(g) |
|
|
1,256,000 |
|
|
$ |
1,160,084 |
|
| Citigroup, Inc., 5.95% to 5/15/25, Series P(a)(b)(f)(g) |
|
|
4,425,000 |
|
|
|
4,423,884 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(b)(f)(g) |
|
|
2,414,000 |
|
|
|
2,426,234 |
|
| Citigroup, Inc., 7.625% to 11/15/28, Series AA(b)(f)(g) |
|
|
4,228,000 |
|
|
|
4,449,408 |
|
| Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(b)(f)(g) |
|
|
1,481,000 |
|
|
|
1,450,774 |
|
| CoBank ACB, 6.25% to 10/1/26, Series I(f)(g) |
|
|
4,334,000 |
|
|
|
4,256,146 |
|
| CoBank ACB, 6.45% to 10/1/27, Series K(f)(g) |
|
|
2,740,000 |
|
|
|
2,708,609 |
|
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(f)(g)(h)(i) |
|
|
1,600,000 |
|
|
|
1,577,914 |
|
| Credit Agricole SA, 4.75% to 3/23/29 (France)(b)(f)(g)(h)(j) |
|
|
2,400,000 |
|
|
|
2,113,904 |
|
| Credit Agricole SA, 6.50% to 9/23/29, Series EMTN (France)(f)(g)(h)(i) |
|
EUR |
4,200,000 |
|
|
|
4,607,284 |
|
| Credit Agricole SA, 7.25% to 9/23/28, Series EMTN (France)(f)(g)(h)(i) |
|
EUR |
1,700,000 |
|
|
|
1,937,723 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(b)(f)(g)(h)(j) |
|
|
1,600,000 |
|
|
|
1,635,104 |
|
| Credit Suisse Group AG, 5.25%, Claim (Switzerland)(d)(f)(h)(j)(k) |
|
|
1,200,000 |
|
|
|
138,000 |
|
| Credit Suisse Group AG, 6.375%, Claim (Switzerland)(d)(f)(h)(j)(k) |
|
|
1,200,000 |
|
|
|
138,000 |
|
| Credit Suisse Group AG, 7.50%, Claim (Switzerland)(d)(f)(h)(j)(k) |
|
|
1,000,000 |
|
|
|
115,000 |
|
| Deutsche Bank AG, 6.00% to 10/30/25, Series 2020 (Germany)(f)(g)(h) |
|
|
600,000 |
|
|
|
556,937 |
|
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(b)(f)(g)(h) |
|
|
1,400,000 |
|
|
|
1,379,803 |
|
| Deutsche Bank AG, 10.00% to 12/1/27 (Germany)(f)(g)(h)(i) |
|
EUR |
3,400,000 |
|
|
|
3,986,755 |
|
| Discover Financial Services, 6.125% to 6/23/25, Series D(f)(g) |
|
|
790,000 |
|
|
|
793,606 |
|
| Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4(f)(g)(j) |
|
|
2,875,000 |
|
|
|
2,849,377 |
|
| Farm Credit Bank of Texas, 9.601% (3 Month USD Term SOFR
+
4.01%)(b)(f)(j)(l) |
|
|
18,000 |
† |
|
|
1,800,000 |
|
| First Horizon Bank, 6.437% (3 Month USD Term SOFR + 1.112%, Floor
3.75%)(b)(f)(j)(l) |
|
|
2,800 |
† |
|
|
1,778,000 |
|
| Goldman Sachs Group, Inc., 3.65% to 8/10/26, Series U(b)(f)(g) |
|
|
2,951,000 |
|
|
|
2,702,710 |
|
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, Series 2 (United
Kingdom)(b)(f)(g)(j) |
|
|
3,432,000 |
|
|
|
4,324,680 |
|
| HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(f)(g)(h) |
|
|
1,800,000 |
|
|
|
1,527,263 |
|
| HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(f)(g)(h) |
|
|
1,000,000 |
|
|
|
965,069 |
|
| HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(a)(b)(f)(g)(h) |
|
|
1,700,000 |
|
|
|
1,667,956 |
|
| HSBC Holdings PLC, 8.00% to 3/7/28 (United Kingdom)(b)(f)(g)(h) |
|
|
3,600,000 |
|
|
|
3,745,624 |
|
| Huntington Bancshares, Inc., 4.45% to 10/15/27, Series G(b)(f)(g) |
|
|
3,043,000 |
|
|
|
2,765,165 |
|
| Huntington Bancshares, Inc., 5.625% to 7/15/30, Series F(b)(f)(g) |
|
|
4,061,000 |
|
|
|
3,714,097 |
|
| ING Groep NV, 4.875% to 5/16/29 (Netherlands)(f)(g)(h)(i) |
|
|
2,230,000 |
|
|
|
1,920,960 |
|
| ING Groep NV, 5.75% to 11/16/26 (Netherlands)(b)(f)(g)(h) |
|
|
6,200,000 |
|
|
|
5,907,867 |
|
| ING Groep NV, 6.50% to 4/16/25 (Netherlands)(a)(b)(f)(g)(h) |
|
|
1,600,000 |
|
|
|
1,581,566 |
|
| ING Groep NV, 7.50% to 5/16/28 (Netherlands)(f)(g)(h)(i) |
|
|
1,400,000 |
|
|
|
1,392,775 |
|
| ING Groep NV, 8.00% to 5/16/30 (Netherlands)(f)(g)(h)(i) |
|
|
2,800,000 |
|
|
|
2,844,520 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(b)(f)(g)(h)(j) |
|
|
4,400,000 |
|
|
|
4,393,305 |
|
| Intesa Sanpaolo SpA, 9.125% to 9/7/29 (Italy)(f)(g)(h)(i) |
|
EUR |
1,600,000 |
|
|
|
1,931,939 |
|
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(f)(g) |
|
|
1,722,000 |
|
|
|
1,723,768 |
|
| JPMorgan Chase & Co., 6.875% to 6/1/29, Series NN(b)(f)(g) |
|
|
9,488,000 |
|
|
|
9,841,639 |
|
| JPMorgan Chase & Co., 8.818% (3 Month USD Term SOFR + 3.512%), Series
Q(b)(f)(l) |
|
|
994,000 |
|
|
|
994,773 |
|
| Lloyds Banking Group PLC, 6.75% to 6/27/26 (United Kingdom)(b)(f)(g)(h) |
|
|
800,000 |
|
|
|
791,070 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(b)(f)(g)(h) |
|
|
3,400,000 |
|
|
|
3,394,908 |
|
| Lloyds Banking Group PLC, 8.00% to 9/27/29 (United Kingdom)(b)(f)(g)(h) |
|
|
2,300,000 |
|
|
|
2,321,542 |
|
| M&T Bank Corp., 3.50% to 9/1/26, Series I(f)(g) |
|
|
861,000 |
|
|
|
662,549 |
|
| NatWest Group PLC, 6.00% to 12/29/25 (United Kingdom)(a)(b)(f)(g)(h) |
|
|
5,200,000 |
|
|
|
5,090,752 |
|
| NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom)(b)(f)(g)(h) |
|
|
2,300,000 |
|
|
|
2,314,209 |
|
| Nordea Bank Abp, 6.625% to 3/26/26 (Finland)(b)(f)(g)(h)(j) |
|
|
2,070,000 |
|
|
|
2,054,295 |
|
| PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(b)(f)(g) |
|
|
4,401,000 |
|
|
|
4,313,191 |
|
| PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(b)(f)(g) |
|
|
3,973,000 |
|
|
|
3,972,588 |
|
| PNC Financial Services Group, Inc., 6.25% to 3/15/30, Series W(b)(f)(g) |
|
|
5,282,000 |
|
|
|
5,132,374 |
|
| Regions Financial Corp., 5.75% to 6/15/25, Series D(b)(f)(g) |
|
|
1,472,000 |
|
|
|
1,453,781 |
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27
(Sweden)(f)(g)(h)(i) |
|
|
|
1,200,000 |
|
|
$ |
1,188,000 |
|
| Societe Generale SA, 5.375% to 11/18/30 (France)(b)(f)(g)(h)(j) |
|
|
|
4,200,000 |
|
|
|
3,549,473 |
|
| Societe Generale SA, 6.75% to 4/6/28 (France)(b)(f)(g)(h)(j) |
|
|
|
1,800,000 |
|
|
|
1,644,229 |
|
| Societe Generale SA, 8.00% to 9/29/25 (France)(b)(f)(g)(h)(j) |
|
|
|
2,000,000 |
|
|
|
2,010,516 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(a)(b)(f)(g)(h)(j) |
|
|
|
5,200,000 |
|
|
|
5,397,928 |
|
| Societe Generale SA, 10.00% to 11/14/28 (France)(b)(f)(g)(h)(j) |
|
|
|
2,000,000 |
|
|
|
2,126,726 |
|
| Standard Chartered PLC, 7.875% to 3/8/30 (United Kingdom)(b)(f)(g)(h)(j) |
|
|
|
3,600,000 |
|
|
|
3,588,430 |
|
| State Street Corp., 6.70% to 3/15/29, Series I(a)(b)(f)(g) |
|
|
|
4,140,000 |
|
|
|
4,211,299 |
|
| Swedbank AB, 7.75% to 3/17/30 (Sweden)(f)(g)(h)(i) |
|
|
|
2,200,000 |
|
|
|
2,186,232 |
|
| Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82
(Canada)(a)(b)(g) |
|
|
|
5,600,000 |
|
|
|
5,887,577 |
|
| Truist Financial Corp., 4.95% to 9/1/25, Series P(b)(f)(g) |
|
|
|
898,000 |
|
|
|
883,258 |
|
| Truist Financial Corp., 5.10% to 3/1/30, Series Q(b)(f)(g) |
|
|
|
3,523,000 |
|
|
|
3,294,848 |
|
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a)(b)(f)(g) |
|
|
|
2,460,000 |
|
|
|
2,227,975 |
|
| UBS Group AG, 4.875% to 2/12/27 (Switzerland)(b)(f)(g)(h)(j) |
|
|
|
2,200,000 |
|
|
|
2,025,578 |
|
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(f)(g)(h)(i) |
|
|
|
2,600,000 |
|
|
|
2,577,026 |
|
| UBS Group AG, 9.25% to 11/13/28 (Switzerland)(a)(b)(f)(g)(h)(j) |
|
|
|
5,000,000 |
|
|
|
5,429,875 |
|
| UBS Group AG, 9.25% to 11/13/33 (Switzerland)(a)(b)(f)(g)(h)(j) |
|
|
|
5,400,000 |
|
|
|
6,107,600 |
|
| U.S. Bancorp, 3.70% to 1/15/27, Series N(b)(f)(g) |
|
|
|
1,878,000 |
|
|
|
1,633,503 |
|
| U.S. Bancorp, 5.30% to 4/15/27, Series J(b)(f)(g) |
|
|
|
1,535,000 |
|
|
|
1,473,456 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(a)(b)(f)(g) |
|
|
|
11,740,000 |
|
|
|
11,177,082 |
|
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(b)(f)(g) |
|
|
|
1,732,000 |
|
|
|
1,732,520 |
|
| Wells Fargo & Co., 5.95%, due 12/15/36(a)(b) |
|
|
|
2,969,000 |
|
|
|
2,994,818 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(a)(b)(f)(g) |
|
|
|
5,080,000 |
|
|
|
5,441,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
337,204,212 |
|
|
|
|
|
|
|
|
|
|
|
| BROKERAGE |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS)(b) |
|
|
|
3,042,000 |
|
|
|
3,172,677 |
|
| Goldman Sachs Group, Inc., 7.50% to 2/10/29, Series W(b)(f)(g) |
|
|
|
2,551,000 |
|
|
|
2,715,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,887,811 |
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER STAPLE PRODUCTS |
|
|
0.8 |
% |
|
|
|
|
|
|
|
|
| Dairy Farmers of America, Inc., 7.875%(a)(b)(f)(j) |
|
|
|
82,000 |
† |
|
|
7,913,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.375% to 6/22/25(f)(g) |
|
|
|
280,000 |
|
|
|
275,124 |
|
| BP Capital Markets PLC, 4.875% to 3/22/30(f)(g) |
|
|
|
3,187,000 |
|
|
|
3,050,423 |
|
| BP Capital Markets PLC, 6.45% to 12/1/33(b)(f)(g) |
|
|
|
2,880,000 |
|
|
|
2,989,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,315,243 |
|
|
|
|
|
|
|
|
|
|
|
| FINANCE |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| American Express Co., 3.55% to 9/15/26, Series D(b)(f)(g) |
|
|
|
3,017,000 |
|
|
|
2,800,098 |
|
| Apollo Management Holdings LP, 4.95% to 12/17/24, due
1/14/50(a)(b)(g)(j) |
|
|
|
1,499,000 |
|
|
|
1,425,840 |
|
| ARES Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51(a)(b)(g)(j) |
|
|
|
2,365,000 |
|
|
|
2,205,936 |
|
| PNC Financial Services Group, Inc., 3.40% to 9/15/26, Series T(f)(g) |
|
|
|
742,000 |
|
|
|
650,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,082,267 |
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
8.0 |
% |
|
|
|
|
|
|
|
|
| Aegon Ltd., 5.50% to 4/11/28, due 4/11/48 (Netherlands)(b)(g) |
|
|
|
800,000 |
|
|
|
776,623 |
|
| Allianz SE, 3.50% to 11/17/25 (Germany)(b)(f)(g)(h)(j) |
|
|
|
1,400,000 |
|
|
|
1,302,004 |
|
| Allianz SE, 6.35% to 3/6/33, due 9/6/53 (Germany)(b)(g)(j) |
|
|
|
2,000,000 |
|
|
|
2,104,362 |
|
| Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(b)(g) |
|
|
|
2,900,000 |
|
|
|
2,957,122 |
|
| AXA SA, 6.375% to 7/16/33, Series EMTN (France)(f)(g)(h)(i) |
|
|
EUR |
1,350,000 |
|
|
|
1,515,557 |
|
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(b)(g) |
|
|
|
1,475,000 |
|
|
|
1,317,763 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(b)(g) |
|
|
|
2,820,000 |
|
|
|
2,826,199 |
|
| Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(b)(g) |
|
|
|
2,975,000 |
|
|
|
2,776,593 |
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(a)(b)(g) |
|
|
|
2,484,000 |
|
|
$ |
2,412,969 |
|
| Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(b)(f)(g) |
|
|
|
1,365,000 |
|
|
|
1,337,412 |
|
| Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51(b)(g)(j) |
|
|
|
3,582,000 |
|
|
|
3,230,334 |
|
| Hartford Financial Services Group, Inc., 7.694% (3 Month USD Term SOFR + 2.387%), due
2/12/47, Series ICON(b)(j)(l) |
|
|
|
2,200,000 |
|
|
|
1,960,075 |
|
| ILFC E-Capital Trust I, 7.145% (3 Month USD
Term SOFR + 1.812%), due 12/21/65 (TruPS)(b)(j)(l) |
|
|
|
1,483,000 |
|
|
|
1,162,056 |
|
| Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51(b)(g)(j) |
|
|
|
2,346,000 |
|
|
|
2,123,521 |
|
| Lincoln National Corp., 9.25% to 12/1/27, Series C(b)(f)(g) |
|
|
|
1,395,000 |
|
|
|
1,506,283 |
|
| Markel Group, Inc., 6.00% to 6/1/25(b)(f)(g) |
|
|
|
1,195,000 |
|
|
|
1,186,705 |
|
| MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS)(a)(b)(j) |
|
|
|
3,181,000 |
|
|
|
3,418,389 |
|
| MetLife, Inc., 9.25%, due 4/8/38(a)(b)(j) |
|
|
|
7,665,000 |
|
|
|
8,994,379 |
|
| MetLife, Inc., 10.75%, due 8/1/39(a)(b) |
|
|
|
3,592,000 |
|
|
|
4,876,280 |
|
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 5.875% to 11/23/31, due
5/23/42 (Germany)(b)(g)(j) |
|
|
|
1,400,000 |
|
|
|
1,423,228 |
|
| Nippon Life Insurance Co., 6.25% to 9/13/33, due 9/13/53 (Japan)(g)(j) |
|
|
|
986,000 |
|
|
|
1,031,651 |
|
| Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(f)(g)(h)(i) |
|
|
|
1,200,000 |
|
|
|
1,174,377 |
|
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(a)(b)(g) |
|
|
|
3,790,000 |
|
|
|
3,775,293 |
|
| Prudential Financial, Inc., 6.50% to 12/15/33, due 3/15/54(b)(g) |
|
|
|
4,586,000 |
|
|
|
4,660,867 |
|
| Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53(b)(g) |
|
|
|
2,520,000 |
|
|
|
2,626,326 |
|
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series
EMTN
(Australia)(g)(i) |
|
|
|
1,700,000 |
|
|
|
1,675,446 |
|
| QBE Insurance Group Ltd., 5.875% to 5/12/25 (Australia)(a)(b)(f)(g)(j) |
|
|
|
4,200,000 |
|
|
|
4,167,961 |
|
| Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United Kingdom)(f)(g)(h)(i) |
|
|
|
1,700,000 |
|
|
|
1,483,675 |
|
| SBL Holdings, Inc., 6.50% to 11/13/26(b)(f)(g)(j) |
|
|
|
2,510,000 |
|
|
|
1,965,079 |
|
| SBL Holdings, Inc., 7.00% to 5/13/25(b)(f)(g)(j) |
|
|
|
2,100,000 |
|
|
|
1,795,500 |
|
| Sumitomo Life Insurance Co., 5.875% to 1/18/34 (Japan)(b)(f)(g)(j) |
|
|
|
3,600,000 |
|
|
|
3,594,862 |
|
| Zurich Finance Ireland Designated Activity Co., 3.00% to 1/19/31, due 4/19/51, Series
EMTN (Switzerland)(g)(i) |
|
|
|
3,300,000 |
|
|
|
2,740,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,898,983 |
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
5.8 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 5.50% to 7/15/27, due 7/15/77, Series
2017-A (Canada)(g) |
|
|
|
780,000 |
|
|
|
740,794 |
|
| Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series
20-A (Canada)(b)(g) |
|
|
|
4,020,000 |
|
|
|
3,809,365 |
|
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series
16-A (Canada)(b)(g) |
|
|
|
5,120,000 |
|
|
|
5,013,398 |
|
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(b)(g) |
|
|
|
5,330,000 |
|
|
|
5,196,889 |
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(b)(g) |
|
|
|
1,914,000 |
|
|
|
1,927,752 |
|
| Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(b)(g) |
|
|
|
4,056,000 |
|
|
|
4,172,622 |
|
| Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada)(b)(g) |
|
|
|
3,780,000 |
|
|
|
3,942,907 |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(a)(b)(g) |
|
|
|
4,470,000 |
|
|
|
4,867,987 |
|
| Energy Transfer LP, 6.50% to 11/15/26, Series H(a)(b)(f)(g) |
|
|
|
2,170,000 |
|
|
|
2,132,333 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(b)(f)(g) |
|
|
|
3,050,000 |
|
|
|
2,985,298 |
|
| Energy Transfer LP, 8.00% to 2/15/29, due 5/15/54(g) |
|
|
|
1,880,000 |
|
|
|
1,973,306 |
|
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(a)(b)(g) |
|
|
|
9,764,000 |
|
|
|
9,014,205 |
|
| Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(b)(g) |
|
|
|
5,307,000 |
|
|
|
4,851,406 |
|
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(a)(b)(g) |
|
|
|
7,225,000 |
|
|
|
7,038,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,666,374 |
|
|
|
|
|
|
|
|
|
|
|
| RETAIL & WHOLESALE—STAPLES |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Land O’ Lakes, Inc., 7.00%(b)(f)(j) |
|
|
|
1,650,000 |
|
|
|
1,262,250 |
|
| Land O’ Lakes, Inc., 7.25%(b)(f)(j) |
|
|
|
945,000 |
|
|
|
760,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,022,975 |
|
|
|
|
|
|
|
|
|
|
|
| SHOPPING CENTER |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(a)(b)(g)(j) |
|
|
|
4,995,000 |
|
|
|
4,801,747 |
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount** |
|
|
Value |
|
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(b)(g)(j) |
|
|
|
2,300,000 |
|
|
$ |
2,132,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,933,902 |
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATION SERVICES |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Telefonica Europe BV, 6.135% to 2/3/30 (Spain)(f)(g)(i) |
|
|
EUR |
1,200,000 |
|
|
|
1,344,689 |
|
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(b)(g) |
|
|
|
2,290,000 |
|
|
|
1,976,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,320,842 |
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
5.5 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due
1/18/82
(Canada)(b)(g) |
|
|
|
5,618,000 |
|
|
|
4,957,637 |
|
| American Electric Power Co., Inc., 3.875% to 11/15/26, due 2/15/62(b)(g) |
|
|
|
2,670,000 |
|
|
|
2,412,729 |
|
| CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(b)(g) |
|
|
|
1,600,000 |
|
|
|
1,475,511 |
|
| Dominion Energy, Inc., 4.35% to 1/15/27, Series C(b)(f)(g) |
|
|
|
4,987,000 |
|
|
|
4,693,596 |
|
| Edison International, 5.00% to 12/15/26, Series B(f)(g) |
|
|
|
1,238,000 |
|
|
|
1,175,979 |
|
| Edison International, 5.375% to 3/15/26, Series A(b)(f)(g) |
|
|
|
3,860,000 |
|
|
|
3,744,926 |
|
| Edison International, 7.875% to 3/15/29, due 6/15/54(b)(g) |
|
|
|
2,140,000 |
|
|
|
2,203,828 |
|
| Electricite de France SA, 7.50% to 9/6/28, Series EMTN (France)(f)(g)(i) |
|
|
EUR |
1,800,000 |
|
|
|
2,108,555 |
|
| Electricite de France SA, 9.125% to 3/15/33 (France)(a)(b)(f)(g)(j) |
|
|
|
1,800,000 |
|
|
|
1,987,533 |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(a)(b)(g) |
|
|
|
7,709,000 |
|
|
|
7,642,503 |
|
| Enel SpA, 6.625% to 4/16/31, Series EMTN (Italy)(f)(g)(i) |
|
|
EUR |
1,000,000 |
|
|
|
1,176,656 |
|
| NextEra Energy Capital Holdings, Inc., 3.80% to 3/15/27, due 3/15/82(b)(g) |
|
|
|
1,382,000 |
|
|
|
1,260,704 |
|
| NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(a)(b)(g) |
|
|
|
2,407,000 |
|
|
|
2,314,157 |
|
| NextEra Energy Capital Holdings, Inc., 6.70% to 6/1/29, due 9/1/54(a)(b)(g) |
|
|
|
4,990,000 |
|
|
|
5,018,771 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(b)(g) |
|
|
|
3,360,000 |
|
|
|
3,116,555 |
|
| Sempra, 4.875% to 10/15/25(a)(b)(f)(g) |
|
|
|
2,581,000 |
|
|
|
2,531,816 |
|
| Sempra, 6.875% to 7/1/29, due 10/1/54(b)(g) |
|
|
|
3,620,000 |
|
|
|
3,660,882 |
|
| Southern California Edison Co., 9.767% (3 Month USD Term SOFR + 4.461%), Series
E(b)(f)(l) |
|
|
|
1,900,000 |
|
|
|
1,909,265 |
|
| Southern Co., 3.75% to 6/15/26, due 9/15/51, Series
21-A(g) |
|
|
|
1,687,000 |
|
|
|
1,579,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,970,856 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$567,036,343) |
|
|
|
|
|
|
|
569,216,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Ownership%†† |
|
|
|
|
| PRIVATE REAL ESTATE |
|
|
1.3 |
% |
|
|
|
|
|
|
|
|
| OFFICE |
|
|
|
|
|
|
|
|
|
| Legacy Gateway JV LLC, Plano, TX(m) |
|
|
|
33.6 |
% |
|
|
12,930,302 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PRIVATE REAL ESTATE
(Identified cost—$14,071,976) |
|
|
|
|
|
|
|
12,930,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Shares |
|
|
|
|
| SHORT-TERM INVESTMENTS |
|
|
0.4 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
|
|
|
|
|
|
|
|
| State Street Institutional Treasury Plus Money Market Fund, Premier Class,
5.25%(n) |
|
|
|
4,238,765 |
|
|
|
4,238,765 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$4,238,765) |
|
|
|
|
|
|
|
4,238,765 |
|
|
|
|
|
|
|
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Value |
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,248,835,127) |
|
|
143.6 |
% |
|
|
|
|
|
$ |
1,428,795,478 |
|
| WRITTEN OPTION CONTRACTS
(Premiums received—$79,960) |
|
|
(0.0 |
) |
|
|
|
|
|
|
(67,890 |
) |
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(43.6 |
) |
|
|
|
|
|
|
(433,631,043 |
) |
| SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE |
|
|
(0.0 |
) |
|
|
|
|
|
|
(125,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $20.82 per share based on 47,791,434 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
994,971,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
Exchange-Traded Option Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Written Options |
|
| Description |
|
Exercise
Price |
|
|
Expiration
Date |
|
Number of
Contracts |
|
|
Notional
Amount(o) |
|
|
Premiums
Received |
|
|
Value |
|
| Call—Simon Property Group, Inc. |
|
$ |
165.00 |
|
|
5/17/24 |
|
|
(123 |
) |
|
$ |
(1,924,827 |
) |
|
$ |
(19,996 |
) |
|
$ |
(31,980 |
) |
| Put—Equinix, Inc. |
|
|
700.00 |
|
|
5/17/24 |
|
|
(10 |
) |
|
|
(825,330 |
) |
|
|
(11,564 |
) |
|
|
(5,101 |
) |
| Put—Equinix, Inc. |
|
|
720.00 |
|
|
5/17/24 |
|
|
(23 |
) |
|
|
(1,898,259 |
) |
|
|
(25,769 |
) |
|
|
(15,540 |
) |
| Put—Extra Space Storage, Inc. |
|
|
125.00 |
|
|
5/17/24 |
|
|
(11 |
) |
|
|
(161,700 |
) |
|
|
(2,008 |
) |
|
|
(869 |
) |
| Put—Crown Castle, Inc. |
|
|
90.00 |
|
|
6/21/24 |
|
|
(180 |
) |
|
|
(1,904,940 |
) |
|
|
(20,623 |
) |
|
|
(14,400 |
) |
| |
|
|
|
|
|
|
|
|
(347 |
) |
|
$ |
(6,715,056 |
) |
|
$ |
(79,960 |
) |
|
$ |
(67,890 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
6,442,362 |
|
|
$ |
14,370 |
|
|
$ |
6,456,732 |
|
| |
87,500,000 |
|
|
|
1.240% |
|
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
2/3/26 |
|
|
5,597,100 |
|
|
|
2,272 |
|
|
|
5,599,372 |
|
| |
65,000,000 |
|
|
|
0.762% |
|
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
9/15/26 |
|
|
5,726,223 |
|
|
|
11,417 |
|
|
|
5,737,640 |
|
| |
105,000,000 |
|
|
|
1.237% |
|
|
Monthly |
|
5.424%(p) |
|
Monthly |
|
9/15/27 |
|
|
10,304,955 |
|
|
|
19,514 |
|
|
|
10,324,469 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
28,070,640 |
|
|
$ |
47,573 |
|
|
$ |
28,118,213 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The total amount of all interest rate swap contracts as presented in the table above are representative of the
volume of activity for this derivative type during the period ended March 28, 2024.
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 |
|
|
$ |
6,316,070 |
|
|
0.25% |
|
|
Monthly |
|
|
BNPXCHY5 Index(q) |
|
Short |
|
|
5/15/24 |
|
|
$ |
(61,241 |
) |
|
$ |
— |
|
|
$ |
(61,241 |
) |
| |
BNP Paribas |
|
|
|
EUR 5,821,321 |
|
|
0.30% |
|
|
Monthly |
|
|
BNPXCEX5 Index(r) |
|
Short |
|
|
5/15/24 |
|
|
|
11,326 |
|
|
|
— |
|
|
|
11,326 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(49,915 |
) |
|
$ |
— |
|
|
$ |
(49,915 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Contracts
to Deliver |
|
|
In Exchange
For |
|
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
|
| Brown Brothers Harriman |
|
EUR |
|
|
2,426,991 |
|
|
USD |
|
|
2,632,776 |
|
|
4/3/24 |
|
$ |
14,417 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
30,117,665 |
|
|
USD |
|
|
32,625,864 |
|
|
4/3/24 |
|
|
133,424 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
4,067,084 |
|
|
USD |
|
|
5,144,686 |
|
|
4/3/24 |
|
|
11,417 |
|
| Brown Brothers Harriman |
|
USD |
|
|
35,151,808 |
|
|
EUR |
|
|
32,544,656 |
|
|
4/3/24 |
|
|
(41,009 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
5,138,273 |
|
|
GBP |
|
|
4,067,084 |
|
|
4/3/24 |
|
|
(5,004 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
31,923,010 |
|
|
USD |
|
|
34,518,031 |
|
|
5/2/24 |
|
|
37,884 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
828,138 |
|
|
USD |
|
|
1,045,864 |
|
|
5/2/24 |
|
|
464 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
4,063,898 |
|
|
USD |
|
|
5,134,715 |
|
|
5/2/24 |
|
|
4,654 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
156,247 |
|
| |
|
10
Glossary of Portfolio Abbreviations
|
|
|
|
|
|
|
EMTN |
|
Euro Medium Term Note |
|
|
ETF |
|
Exchange-Traded Fund |
|
|
EUR |
|
Euro Currency |
|
|
GBP |
|
British Pound |
|
|
ICON |
|
Income Capital Obligation Note |
| |
|
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.
| * |
March 28, 2024 represents the last business day of the Fund’s quarterly period. See Note 1 of the
accompanying Notes to Consolidated Schedule of Investments. |
| ** |
Amount denominated in U.S. dollars unless otherwise indicated. |
| †† |
Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano,
Texas 75024. |
| (a) |
A portion of the security has been rehypothecated in connection with the Fund’s revolving credit
agreement. $348,413,266 in aggregate has been rehypothecated. |
| (b) |
All or a portion of the security is pledged as collateral in connection with the Fund’s revolving
credit agreement. $1,176,706,267 in aggregate has been pledged as collateral. |
| (c) |
All or a portion of the security is pledged in connection with written option contracts. $3,603,643 in
aggregate has been pledged as collateral. |
| (d) |
Non–income producing security. |
| (e) |
Restricted security. Aggregate holdings equal 0.6% 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). |
| (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) |
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 $175,435,531 which represents 17.6% of the net assets of the Fund (12.1% of the managed assets of the Fund). |
| (i) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are
subject to resale restrictions. Aggregate holdings amounted to $57,432,628 which represents 5.8% of the net assets of the Fund, of which 0.0% are illiquid. |
| (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 $139,947,815 which represents 14.1% of the net assets of the Fund, of which 0.4% are illiquid. |
| (k) |
Security is in default. |
| (l) |
Variable rate. Rate shown is in effect at March 28, 2024. |
| (m) |
Security value is determined based on significant unobservable inputs (Level 3).
|
| (n) |
Rate quoted represents the annualized seven-day yield.
|
| (o) |
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 March 28, 2024. |
| (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. |
11
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
Note 1. Quarterly Period
Since March 28, 2024 represents the last day during the Fund’s quarterly period on which the New York Stock Exchange was
open for trading, the Fund’s consolidated schedule of investments have been presented through that date.
Note 2. Portfolio Valuation
Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the
last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no
ask price is available, at the bid price. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. Forward foreign currency exchange contracts are valued daily at the prevailing forward
exchange rate. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued based upon prices
provided by a third-party pricing service. Over-the-counter (OTC) options 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 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 brokerdealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such
securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through
which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market
transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates,
anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.
Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair
value. Investments in open-end mutual funds are valued at net asset value (NAV).
The Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment manager
in the determination of the Fund’s fair value of private real estate investments held by the Cohen & Steers 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.
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
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:
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a summary of the inputs used as of March 28, 2024 in valuing
the Fund’s investments carried at value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Quoted Prices in
Active
Markets
for Identical
Investments
(Level 1) |
|
|
Other
Significant
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total |
|
| Common Stock: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate—Industrials |
|
$ |
68,043,012 |
|
|
$ |
— |
|
|
$ |
6,230,012 |
(a) |
|
$ |
74,273,024 |
|
| Other Industries |
|
|
631,548,120 |
|
|
|
— |
|
|
|
— |
|
|
|
631,548,120 |
|
| Exchange-Traded Funds |
|
|
2,567,018 |
|
|
|
— |
|
|
|
— |
|
|
|
2,567,018 |
|
| Preferred Securities—Exchange-Traded |
|
|
134,021,784 |
|
|
|
— |
|
|
|
— |
|
|
|
134,021,784 |
|
| Preferred
Securities—Over-the-Counter |
|
|
— |
|
|
|
569,216,465 |
|
|
|
— |
|
|
|
569,216,465 |
|
| Private Real Estate—Office |
|
|
— |
|
|
|
— |
|
|
|
12,930,302 |
(b) |
|
|
12,930,302 |
|
| Short-Term Investments |
|
|
— |
|
|
|
4,238,765 |
|
|
|
— |
|
|
|
4,238,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(c) |
|
$ |
836,179,934 |
|
|
$ |
573,455,230 |
|
|
$ |
19,160,314 |
|
|
$ |
1,428,795,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
202,260 |
|
|
$ |
— |
|
|
$ |
202,260 |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
28,118,213 |
|
|
|
— |
|
|
|
28,118,213 |
|
| Total Return Swaps Contracts |
|
|
— |
|
|
|
11,326 |
|
|
|
— |
|
|
|
11,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(c) |
|
$ |
— |
|
|
$ |
28,331,799 |
|
|
$ |
— |
|
|
$ |
28,331,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(46,013 |
) |
|
$ |
— |
|
|
$ |
(46,013 |
) |
| Written Option Contracts |
|
|
(47,249 |
) |
|
|
(20,641 |
) |
|
|
— |
|
|
|
(67,890 |
) |
| Total Return Swaps Contracts |
|
|
— |
|
|
|
(61,241 |
) |
|
|
— |
|
|
|
(61,241 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(c) |
|
$ |
(47,249 |
) |
|
$ |
(127,895 |
) |
|
$ |
— |
|
|
$ |
(175,144 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Restricted security, where observable inputs are limited, has been fair valued by the Valuation Committee,
pursuant to the Fund’s fair value procedures and classified as Level 3 security. |
| (b) |
Private Real Estate, where observable inputs are limited, has been fair valued by the Valuation Committee,
pursuant to the Fund’s fair value procedures and classified as Level 3 security. See Note 2-Portfolio Valuation. |
| (c) |
Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.
|
The following is a reconciliation of investments for which significant unobservable inputs (Level 3)
were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance
as of
December 31,
2023 |
|
|
Transfer
out of
Level 3 |
|
|
Change in
unrealized
appreciation
(depreciation) |
|
|
Balance
as of
March 28,
2024 |
|
| Common Stock—Real Estate—Industrials |
|
$ |
6,644,979 |
|
|
$ |
— |
|
|
$ |
(414,967 |
) |
|
$ |
6,230,012 |
|
| Preferred
Securities—Over-the-Counter—Consumer Staple Products(a) |
|
|
7,831,000 |
|
|
|
(7,913,000 |
) |
|
|
82,000 |
|
|
|
— |
|
| Private Real Estate—Office |
|
|
13,053,225 |
|
|
|
— |
|
|
|
(122,923 |
) |
|
|
12,930,302 |
|
| (a) |
As of December 31, 2023, the Fund used significant unobservable inputs in determining the value of this
investment. As of March 28, 2024, 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 March 28, 2024 which were valued
using significant unobservable inputs (Level 3) amounted to $(537,890).
COHEN & STEERS REIT AND PREFERRED AND INCOME FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following table summarizes the quantitative inputs and assumptions used
for investments categorized in Level 3 of the fair value hierarchy.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fair Value at
March 28,
2024 |
|
|
Valuation
Technique |
|
Unobservable
Inputs |
|
Amount |
|
|
Valuation Impact
from an Increase
in Input(a) |
| Common Stock—Real Estate—Industrial |
|
$ |
6,230,012 |
|
|
Market
Comparable
Companies |
|
Enterprise Value/
EBITDA(b)Multiple |
|
|
20.0x |
|
|
Increase |
| Private Real Estate—Office |
|
$ |
12,930,302 |
|
|
Discounted
Cash Flow |
|
Terminal
Capitalization Rate
Discount
Rate |
|
|
7.00%
8.00% |
|
|
Decrease
Decrease |
| (a) |
Represents the directional change in the fair value of the Level 3 investments that could have resulted
from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may result in a materially higher or lower fair value measurement.
|
| (b) |
Earnings Before Interest, Taxes, Depreciation and Amortization. |
Note 3. Derivative Investments
Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the
currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at
a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as
unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are
included in net realized gain or loss on forward foreign currency exchange contracts. 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.
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 index or security. 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.
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 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, amortized or accreted over the life of the swap and recorded as realized gain (loss). Payments received from or paid to the counterparty during the term of
the swap agreement, or at termination, are recorded as realized gain (loss).
Swap agreements involve, to varying degrees,
elements of market and counterparty risk, and exposure to loss in excess of the related amounts reflected on the Consolidated Schedule of Investments. Such risks involve the possibility that there will be no liquid market for these agreements, that
the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The following summarizes the monthly average volume of the Fund’s option contracts, total return swap contracts and
forward foreign currency exchange contracts activity for the three months ended March 28, 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased
Option
Contracts(a)(b) |
|
|
Written
Option
Contracts(a)(b) |
|
|
Total Return
Swap
Contracts(b) |
|
|
Forward
Foreign
Currency
Exchange
Contracts(b) |
|
| Average Notional Amount |
|
$ |
1,873,542 |
|
|
$ |
11,074,997 |
|
|
$ |
12,491,306 |
|
|
$ |
38,206,973 |
|
| (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 the period in which the Fund had option contracts, total
return swap contracts and forward foreign exchange contracts outstanding at month-end. For the period, this represents one month for purchased option contracts, three months for written option contracts, three months for total return swap
contracts and three months for forward foreign currency exchange contracts. |
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