NPORT-EX 2 d878974dex11.htm FOR VALIDATION PURPOSES ONLY - [878974.TX]

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

March 31, 2020 (Unaudited)

 

                                                                       
                          Shares      Value  

COMMON STOCK

      110.3 %      

COMMUNICATIONS—TOWERS

      19.9 %      

American Tower Corp.(a),(b)

        857,461      $ 186,712,133  

Crown Castle International Corp.(a),(b)

        607,115        87,667,406  
       

 

 

  
     274,379,539  
       

 

 

  

REAL ESTATE

      90.4 %      

DATA CENTERS

      14.7 %      

CyrusOne, Inc.(a),(b)

        493,067        30,446,887  

Digital Realty Trust, Inc.(a),(b)

        416,781        57,895,049  

Equinix, Inc.(a),(b)

        183,440        114,571,121  
       

 

 

  
     202,913,057  
       

 

 

  

DIVERSIFIED—FOREIGN

      0.0 %      

BGP Holdings PLC (EUR) (Australia)(c),(d)

        3,927,678        0  
       

 

 

  

HEALTH CARE

      10.7 %      

Healthcare Trust of America, Inc., Class A(b)

        809,387        19,651,916  

Healthpeak Properties, Inc.(b)

        1,187,507        28,322,042  

Medical Properties Trust, Inc.(b)

        1,434,778        24,807,312  

Omega Healthcare Investors, Inc.

        114,528        3,039,573  

Ventas, Inc.

        423,193        11,341,572  

Welltower, Inc.(b)

        1,315,496        60,223,407  
       

 

 

  
     147,385,822  
       

 

 

  

HOTEL

      3.1 %      

Host Hotels & Resorts, Inc.(a),(b)

        3,304,145        36,477,761  

Sunstone Hotel Investors, Inc.

        740,424        6,449,093  
       

 

 

  
     42,926,854  
       

 

 

  

INDUSTRIALS

      10.1 %      

Duke Realty Corp.(a),(b)

        928,527        30,065,704  

Prologis, Inc.(a),(b)

        1,368,207        109,962,797  
       

 

 

  
     140,028,501  
       

 

 

  

NET LEASE

      9.8 %      

Four Corners Property Trust, Inc.(b)

        849,169        15,887,952  

Realty Income Corp.

        162,230        8,088,788  

Spirit Realty Capital, Inc.(b)

        834,061        21,810,695  

VEREIT, Inc.(b)

        5,616,957        27,466,920  

VICI Properties, Inc.(b)

        3,760,999        62,583,023  
       

 

 

  
     135,837,378  
       

 

 

  

 

1

 

 

                                                                       
                          Shares      Value  

OFFICE

      5.2 %      

Boston Properties, Inc.(a),(b)

        124,639      $ 11,495,455  

Douglas Emmett, Inc.(a),(b)

        654,904        19,981,121  

Kilroy Realty Corp.(a),(b)

        642,563        40,931,263  
       

 

 

  
          72,407,839  
       

 

 

  

RESIDENTIAL

      20.4 %      

APARTMENT

      13.3 %      

Apartment Investment & Management Co., Class A(a),(b)

        664,291        23,349,829  

Equity Residential(a),(b)

        521,345        32,172,200  

Essex Property Trust, Inc.(a),(b)

        297,971        65,625,133  

UDR, Inc.(a),(b)

        1,697,500        62,026,650  
       

 

 

  
          183,173,812  
       

 

 

  

MANUFACTURED HOME

      4.0 %      

Sun Communities, Inc.(a),(b)

        441,359        55,103,671  
       

 

 

  

SINGLE FAMILY

      3.1 %      

Invitation Homes, Inc.(a),(b)

        2,039,944        43,593,603  
       

 

 

  

TOTAL RESIDENTIAL

           281,871,086  
       

 

 

  

SELF STORAGE

      9.2 %      

Extra Space Storage, Inc.(a),(b)

        671,929        64,343,921  

Public Storage(a),(b)

        312,759        62,117,065  
       

 

 

  
          126,460,986  
       

 

 

  

SHOPPING CENTERS

      5.2 %      

COMMUNITY CENTER

      2.0 %      

Regency Centers Corp.(a),(b)

        726,955        27,936,881  
       

 

 

  

REGIONAL MALL

      3.2 %      

Macerich Co. (The)

        519,732        2,926,091  

Simon Property Group, Inc.(a),(b)

        748,981        41,089,098  
       

 

 

  
          44,015,189  
       

 

 

  

TOTAL SHOPPING CENTERS

           71,952,070  
       

 

 

  

SPECIALTY

      1.2 %      

Lamar Advertising Co., Class A(b)

        315,773        16,192,839  
       

 

 

  

TIMBER

      0.8 %      

Weyerhaeuser Co.(a),(b)

        671,207        11,376,959  
       

 

 

  

TOTAL REAL ESTATE

           1,249,353,391  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$1,384,949,964)

           1,523,732,930  
       

 

 

  

 

2

 

 

                                                                       
                          Shares      Value  

EXCHANGE-TRADED FUNDS

      0.1 %      

iShares Preferred & Income Securities ETF

        50,000      $ 1,592,000  
       

 

 

  

TOTAL EXCHANGE-TRADED FUNDS
(Identified cost—$1,906,725)

           1,592,000  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      14.2 %      

BANKS

      1.6 %      

GMAC Capital Trust I, 7.477% (3 Month US LIBOR + 5.785%),
due 2/15/40, Series 2 (TruPS) (FRN)(e)

        250,000        5,127,500  

Huntington Bancshares, Inc., 6.25%, Series D(f)

        75,432        1,843,558  

JPMorgan Chase & Co., 5.75%, Series DD(f)

        75,000        1,901,250  

Truist Financial Corp., 5.20%, Series F(f)

        100,000        2,347,000  

Wells Fargo & Co., 5.20%(f)

        200,000        4,690,000  

Wells Fargo & Co., 5.50%, Series X(f)

        49,355        1,199,326  

Wells Fargo & Co., 4.75%, Series Z(f)

        208,044        4,368,924  
       

 

 

  
     21,477,558  
       

 

 

  

FINANCIAL—DIVERSIFIED FINANCIAL SERVICES

      0.3 %      

KKR & Co., Inc., 6.75%, Series A(f)

        107,425        2,731,818  

State Street Corp., 5.90% to 3/15/24, Series D(f),(g)

        50,000        1,217,000  
       

 

 

  
     3,948,818  
       

 

 

  

INDUSTRIALS—CHEMICALS

      0.1 %      

CHS, Inc., 6.75% to 9/30/24, Series 3(f),(g)

        31,954        711,616  
       

 

 

  

INSURANCE

      0.1 %      

MetLife, Inc., 4.75%, Series F(f)

        95,600        2,042,016  
       

 

 

  

PIPELINES

      0.1 %      

Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(f),(g)

        147,000        1,827,210  
       

 

 

  

REAL ESTATE

      12.0 %      

DATA CENTERS

      1.1 %      

Digital Realty Trust, Inc., 6.625%, Series C(f)

        179,137        4,512,461  

Digital Realty Trust, Inc., 6.35%, Series I(f)

        234,000        5,828,940  

Digital Realty Trust, Inc., 5.85%, Series K(f)

        98,115        2,448,950  

Digital Realty Trust, Inc., 5.20%, Series L(f)

        128,000        2,950,400  
       

 

 

  
     15,740,751  
       

 

 

  

DIVERSIFIED

      1.7 %      

Colony Capital, Inc., 7.15%, Series I(f)

        279,915        2,575,218  

Colony Capital, Inc., 7.125%, Series J(f)

        196,364        1,724,076  

 

3

 

 

                                                                       
                          Shares      Value  

EPR Properties, 9.00%, Series E (Convertible)(b),(f)

        231,000      $ 4,968,810  

EPR Properties, 5.75%, Series G(f)

        137,002        2,130,381  

Investors Real Estate Trust, 6.625%, Series C(f)

        98,959        2,449,235  

Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(a),(b),(f)

 

     79,704        3,506,976  

Urstadt Biddle Properties, Inc., 6.25%, Series H(f)

        157,556        2,799,770  

Urstadt Biddle Properties, Inc., 5.875%, Series K(f)

        159,900        2,700,983  
       

 

 

  
          22,855,449  
       

 

 

  

HOTEL

      1.4 %      

Ashford Hospitality Trust, Inc., 7.375%, Series F(f)

        216,000        1,425,600  

Ashford Hospitality Trust, Inc., 7.50%, Series H(f)

        100,000        703,000  

Ashford Hospitality Trust, Inc., 7.50%, Series I(f)

        165,000        1,110,450  

Pebblebrook Hotel Trust, 6.50%, Series C(f)

        160,000        2,584,000  

Pebblebrook Hotel Trust, 6.30%, Series F(f)

        134,000        2,107,820  

RLJ Lodging Trust, 1.95%, Series A(f)

        39,846        697,305  

Summit Hotel Properties, Inc., 6.45%, Series D(f)

        123,000        1,677,720  

Summit Hotel Properties, Inc., 6.25%, Series E(f)

        200,000        2,630,000  

Sunstone Hotel Investors, Inc., 6.95%, Series E(f)

        180,000        3,600,000  

Sunstone Hotel Investors, Inc., 6.45%, Series F(f)

        127,100        2,446,675  
       

 

 

  
          18,982,570  
       

 

 

  

INDUSTRIALS

      1.5 %      

Monmouth Real Estate Investment Corp., 6.125%, Series C(f)

 

     375,000        8,377,500  

PS Business Parks, Inc., 5.20%, Series Y(f)

        185,000        4,251,300  

PS Business Parks, Inc., 4.875%, Series Z(f)

        100,000        2,086,000  

Rexford Industrial Realty, Inc., 5.875%, Series A(f)

        85,500        1,983,600  

STAG Industrial, Inc., 6.875%, Series C(f)

        160,000        4,040,000  
       

 

 

  
          20,738,400  
       

 

 

  

NET LEASE

      1.5 %      

Gladstone Commercial Corp., 7.00%, Series D(f)

        70,000        1,419,600  

Spirit Realty Capital, Inc., 6.00%, Series A(b),(f)

        351,071        7,467,280  

VEREIT, Inc., 6.70%, Series F(a),(b),(f)

        557,606        12,323,093  
       

 

 

  
          21,209,973  
       

 

 

  

OFFICE

      1.0 %      

Brookfield Property Partners LP, 5.75%, Series A(f)

        204,000        2,856,000  

Brookfield Property Partners LP, 6.375%, Series A2(f)

        126,056        2,009,333  

City Office REIT, Inc., 6.625%, Series A(f)

        50,000        862,000  

SL Green Realty Corp., 6.50%, Series I(b),(f)

        226,919        5,176,022  

Vornado Realty Trust, 5.70%, Series K(f)

        136,024        2,944,920  
       

 

 

  
          13,848,275  
       

 

 

  

 

4

 

 

                                                                       
                          Shares      Value  

RESIDENTIAL

     1.8 %      

APARTMENT

     0.2 %      

Bluerock Residential Growth REIT, Inc., 8.25%, Series A(f)

        148,198      $ 2,852,811  
       

 

 

  

MANUFACTURED HOME

      0.3 %      

UMH Properties, Inc., 8.00%, Series B(f)

        45,000        990,000  

UMH Properties, Inc., 6.75%, Series C(f)

        152,845        2,984,895  
       

 

 

  
          3,974,895  
       

 

 

  

SINGLE FAMILY

      1.3 %      

American Homes 4 Rent, 6.50%, Series D(b),(f)

        207,796        4,916,453  

American Homes 4 Rent, 6.35%, Series E(b),(f)

        378,397        9,081,528  

American Homes 4 Rent, 6.25%, Series H(f)

        162,714        3,840,051  
       

 

 

  
          17,838,032  
       

 

 

  

TOTAL RESIDENTIAL

 

      24,665,738  
       

 

 

  

SELF STORAGE

      0.4 %      

National Storage Affiliates Trust, 6.00%, Series A(f)

        192,080        4,412,077  

Public Storage, 5.375%, Series V(f)

        49,174        1,186,077  
       

 

 

  
          5,598,154  
       

 

 

  

SHOPPING CENTERS

      1.4 %      

COMMUNITY CENTER

      0.9 %      

Cedar Realty Trust, Inc., 7.25%, Series B(a),(b),(f)

        32,686        353,578  

Kimco Realty Corp., 5.125%, Series L(f)

        60,000        1,302,000  

Kimco Realty Corp., 5.25%, Series M(f)

        110,000        2,409,000  

Saul Centers, Inc., 6.125%, Series D(f)

        101,300        1,621,387  

Saul Centers, Inc., 6.00%, Series E(f)

        111,000        1,631,700  

SITE Centers Corp., 6.375%, Series A(f)

        188,203        3,508,066  

SITE Centers Corp., 6.25%, Series K(f)

        70,000        1,298,500  
       

 

 

  
          12,124,231  
       

 

 

  

REGIONAL MALL 0.5%

        

Brookfield Property REIT, Inc., 6.375%, Series A(f)

        184,943        2,616,944  

Pennsylvania REIT, 7.20%, Series C(f)

        158,825        381,974  

Pennsylvania REIT, 6.875%, Series D(f)

        113,670        391,025  

Taubman Centers, Inc., 6.25%, Series K(f)

        196,133        4,311,003  
       

 

 

  
          7,700,946  
       

 

 

  

TOTAL SHOPPING CENTERS

 

      19,825,177  
       

 

 

  

 

5

 

 

                                                              
                          Shares     Value  

SPECIALTY

      0.2 %     

QTS Realty Trust, Inc., 7.125%, Series A(f)

        115,975     $ 2,952,724  
      

 

 

  

TOTAL REAL ESTATE

 

     166,417,211  
      

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$249,546,247)

 

     196,424,429  
      

 

 

  
           Principal
Amount		        

PREFERRED SECURITIES—CAPITAL SECURITIES

     7.1 %     

BANKS

     0.9 %     

Citigroup, Inc., 4.70% to 1/30/25, Series V(f),(g)

      $ 910,000       788,856  

Farm Credit Bank of Texas, 10.00%, Series 1(b),(f)

 

     4,000 †      4,038,000  

Goldman Sachs Group, Inc./The, 5.375% to 5/10/20, Series M(f),(g)

 

     3,000,000       2,681,895  

JPMorgan Chase & Co., 5.24% (3 Month US LIBOR + 3.47%), Series I (FRN)(e),(f)

 

     4,858,000       4,392,822  

JPMorgan Chase & Co., 5.229% (3 Month US LIBOR + 3.32%),
Series V (FRN)(e),(f)

 

     738,000       641,872  
      

 

 

  
    12,543,445  
      

 

 

  

BANKS—FOREIGN

      3.2 %     

Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9 (Spain)(f),(g),(h)

 

     4,000,000       3,102,780  

BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(f),(g),(h),(i)

 

     1,750,000       1,550,937  

Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(b),(f),(g),(h),(i)

 

     5,000,000       5,181,365  

Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(f),(g),(h),(j)

 

     3,000,000       2,776,470  

Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(b),(f),(g),(h),(i)

 

     2,891,000       2,800,859  

Credit Suisse Group AG, 7.50% to 7/17/23, 144A (Switzerland)(f),(g),(h),(i)

 

     2,000,000       1,844,590  

DNB Bank ASA, 6.50% to 3/26/22 (Norway)(f),(g),(h),(j)

 

     3,000,000       2,711,772  

HBOS Capital Funding LP, 6.85% (United Kingdom)(f),(j)

 

     2,600,000       2,462,200  

ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(f),(g),(h)

 

     4,000,000       3,347,800  

Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(b),(f),(g),(h)

 

     3,400,000       2,937,685  

Royal Bank of Scotland Group PLC, 7.648% to 9/30/31 (United Kingdom)(b),(f),(g)

 

     4,000,000       5,121,300  

Royal Bank of Scotland Group PLC, 8.625% to 8/15/21
(United Kingdom)(b),(f),(g),(h)

 

     3,300,000       3,235,072  

Standard Chartered PLC, 7.50% to 4/2/22, 144A (United Kingdom)(f),(g),(h),(i)

 

     4,000,000       3,943,660  

Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(f),(j)

 

     3,363,000       3,377,202  
      

 

 

  
    44,393,692  
      

 

 

  

 

6

 

 

                                                                       
                          Principal
Amount		     Value  

COMMUNICATIONS—TOWERS

      0.9 %     

Crown Castle International Corp., 6.875%, due 8/1/20, Series A (Convertible)(b)

      $ 7,700 †    $ 9,964,519  

SBA Communications Corp., due 2/15/27, 144A(i)

        2,075,000       2,095,750  
      

 

 

  
         12,060,269  
      

 

 

  

INDUSTRIALS

      0.2 %     

General Electric Co., 5.00% to 1/21/21, Series D(f),(g)

        4,000,000       3,307,500  
      

 

 

  

INSURANCE

      0.4 %     

LIFE/HEALTH INSURANCE

      0.1 %     

MetLife Capital Trust IV, 7.875%, due 12/15/37, 144A (TruPS)(i)

 

     2,000,000       2,322,730  
      

 

 

  

PROPERTY CASUALTY—FOREIGN

      0.3 %     

QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(g),(j)

        4,052,000       4,018,551  
      

 

 

  

TOTAL INSURANCE

          6,341,281  
      

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

      0.2 %     

Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(g)

        2,750,000       2,945,139  
      

 

 

  

PIPELINES

      0.1 %     

Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(f),(g)

 

     1,900,000       1,145,852  
      

 

 

  

PIPELINES—FOREIGN

      0.1 %     

Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(g)

        1,750,000       1,298,054  
      

 

 

  

REAL ESTATE

      0.7 %     

HOTEL

      0.1 %     

Service Properties Trust, 4.95%, due 10/1/29

        1,625,000       1,411,754  
      

 

 

  

NET LEASE

      0.2 %     

Spirit Realty Capital, Inc., 3.75%, due 5/15/21

        1,850,000       1,757,165  

VICI Properties LP, 4.125%, due 8/15/30, 144A(i)

        1,366,000       1,301,969  
      

 

 

  
         3,059,134  
      

 

 

  

 

7

 

 

                                                                       
                          Principal
Amount		      Value  

SPECIALTY

      0.4 %      

Brookfield Property REIT, Inc., 5.75%, due 5/15/26, 144A(i)

 

   $ 3,300,000      $ 2,696,107  

Equinix, Inc., 5.375%, due 5/15/27(b)

        2,000,000        2,006,660  
       

 

 

  
     4,702,767  
       

 

 

  

TOTAL REAL ESTATE

           9,173,655  
       

 

 

  

UTILITIES—ELECTRIC UTILITIES—FOREIGN

      0.4 %      

Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(a),(g),(i)

 

     5,250,000        5,579,700  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$105,636,679)

 

        98,788,587  
       

 

 

  

CORPORATE BONDS—REAL ESTATE—HEALTH CARE

      0.1 %      

Sabra Health Care LP, 4.8% due 6/1/24

        1,200,000        1,220,019  
       

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$1,198,606)

 

        1,220,019  
       

 

 

  
      Shares         

SHORT-TERM INVESTMENTS

      5.2 %      

MONEY MARKET FUNDS

        

State Street Institutional Treasury Money Market Fund, Premier Class, 0.58%(k)

 

     71,210,073        71,210,073  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$71,210,073)

 

        71,210,073  
       

 

 

  

PURCHASED OPTION CONTRACTS
(Premiums paid—$119,251)

      0.0 %      2,128        38,304  
       

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,814,567,545)

      137.0 %         1,893,006,342  

WRITTEN OPTION CONTRACTS

      (0.6 )         (8,968,936 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (36.4 )         (502,472,360 ) 
  

 

 

       

 

 

  

NET ASSETS (Equivalent to $10.29 per share based on 134,243,229 shares of common stock outstanding)

      100.0 %       $ 1,381,565,046  
  

 

 

       

 

 

  

 

8

 

 

Exchange-Traded Option Contracts

 

Purchased Options  
Description  

Exercise

Price

    

Expiration

Date

    

Number of

Contracts

    

Notional

Amount(l)

    

Premiums

Paid

     Value  

Call — Weyerhaeuser Co.

   $ 28.00       4/17/20       2,128     $ 3,606,960     $ 119,251     $ 38,304  

 

  
           
Written Options                                          
Description  

Exercise

Price

    

Expiration

Date

    

Number of

Contracts

    

Notional

Amount(l)

    

Premiums

Received

     Value  

Put — Simon Property Group, Inc.

   $ 140.00       5/15/20       (539)     $ (2,956,954 )    $ (1,856,793 )    $ (4,654,265 ) 

 

  

 

9

 

 

Over-the-Counter Option Contracts

 

                                                                                                                                                  
Written Options                                                 
Description    Counterparty   

Exercise

Price

     

Expiration

Date

   

Number of

Contracts

    

Notional

Amount(l)

    

Premiums

Received

     Value  

Put — Healthpeak Properties, Inc.

    Goldman
Sachs
International		    $ 32.50      4/17/20      (2,672 )    $ (6,372,720 )    $ (177,661 )    $ (2,313,700 ) 

Put — Simon Property Group, Inc.

    Goldman
Sachs
International		      135.00      5/15/20      (219 )      (1,201,434 )      (793,218 )      (1,785,799 ) 

Put — Digital Realty Trust, Inc.

    Morgan
Stanley &
Co.
International
PLC		      115.00      5/15/20      (703 )      (9,765,373 )      (559,588 )      (215,172 ) 
           

 

 

    

 

 

    

 

 

    

 

 

  
              (3,594 )    $ (17,339,527 )    $ (1,530,467 )    $ (4,314,671 ) 
           

 

 

    

 

 

    

 

 

    

 

 

  

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)

  
  $115,000,000        1.460%      Quarterly     
 1 Month
LIBOR(m		  
) 		   Monthly    12/28/23    $ (3,810,381 )    $ —     $ (3,810,381 ) 
  69,000,000        1.280      Quarterly      1.377%(n )    Monthly    2/3/26          (3,237,450 )      (14,623 )      (3,252,073 ) 
                

 

 

    

 

 

    

 

 

  
                 $ (7,047,831 )    $ (14,623 )    $ (7,062,454 ) 
                

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts

to Deliver

     

In Exchange

For

     

Settlement

Date

   

Unrealized

Appreciation

(Depreciation)

  

Brown Brothers Harriman

    EUR      178,643      USD      196,970      4/2/2020    $ (56 ) 

Brown Brothers Harriman

    EUR      7,345,237      USD      8,096,860      4/2/2020      (4,197 ) 

Brown Brothers Harriman

    USD      2,220,942      EUR      2,062,972      4/2/2020              54,309  

Brown Brothers Harriman

    USD      3,997,873      EUR      3,643,008      4/2/2020      19,998  

Brown Brothers Harriman

    USD      502,732      EUR      471,053      4/2/2020      16,792  

Brown Brothers Harriman

    USD      237,743      EUR      222,286      4/2/2020      7,416  

Brown Brothers Harriman

    USD      426,910      EUR      387,781      4/2/2020      773  

 

10

 

 

Counterparty   

Contracts

to Deliver

     

In Exchange

For

     

Settlement

Date

   

Unrealized

Appreciation

(Depreciation)

  

Brown Brothers Harriman

    USD      517,513      EUR      455,660      4/2/2020    $ (14,966 ) 

Brown Brothers Harriman

    USD      311,825      EUR      281,120      4/2/2020      (1,778 ) 

Brown Brothers Harriman

    EUR      3,102,975      USD      3,409,146      5/5/2020      (17,476 ) 
                 

 

 

  
                  $         60,815  
                 

 

 

  

Glossary of Portfolio Abbreviations

 

ETF    Exchange-Traded Fund
EUR    Euro Currency
FRN    Floating Rate Note
LIBOR    London Interbank Offered Rate
REIT    Real Estate Investment Trust
TruPS    Trust Preferred Securities
USD    United States Dollar

 

Note: Percentages indicated are based on the net assets of the Fund.

†

Represents shares.

(a)

A portion of the security has been rehypothecated in connection with the Fund’s credit agreement. $432,268,239 in aggregate has been rehypothecated.

(b)

All or a portion of the security is pledged as collateral in connection with the Fund’s credit agreement. $1,020,204,212 in aggregate has been pledged as collateral.

(c)

Security value is determined based on significant unobservable inputs (Level 3).

(d)

Non-income producing security.

(e)

Variable rate. Rate shown is in effect at March 31, 2020.

(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 $33,432,990 which represents 2.4% of the net assets of the Fund (1.8% of the managed assets of the Fund).

(i)

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 $29,317,667 which represents 2.1% of the net assets of the Fund, of which 0.0% are illiquid.

(j)

Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $15,346,195 which represents 1.1% of the net assets of the Fund, of which 0.0% are illiquid.

(k)

Rate quoted represents the annualized seven-day yield.

 

11

 

 

(l)

Amount represents number of contracts multiplied by notional contract size multiplied by the underlying price.

(m)

Represents a forward-starting interest rate swap contract with interest receipts and payments commencing on December 28, 2020 (effective date).

(n)

Based on LIBOR. Represents rates in effect at March 31, 2020.

 

12

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. 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 at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment manager) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment manager, 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 QUALITY INCOME REALTY FUND, INC.

NOTES TO 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.

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

 

  •  

Level 1 — quoted prices in active markets for identical investments

  •  

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.)

  •  

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The following is a summary of the inputs used as of March 31, 2020 in valuing the Fund’s investments carried at value:

 

                                                                                   
     Total     Quoted Prices in
Active  Markets
for Identical
Investments
(Level  1)		      Other
Significant
Observable
Inputs
(Level 2)		     Significant
Unobservable
Inputs
(Level 3)		  

Exchange-Traded Funds

    $ 1,592,000     $ 1,592,000      $ —     $ —  

Common Stock:

          

Real Estate—Diversified

      0       —        —       0 (a) 

Other Industries

      1,523,732,930       1,523,732,930        —       —  

Preferred Securities—

          

$25 Par Value

      196,424,429       196,424,429        —       —  

Preferred Securities—

          

Capital Securities:

          

Banks

      56,937,137       —        56,937,137       —  

Other Industries

      41,851,450       —        41,851,450       —  

Corporate Bonds

      1,220,019       —        1,220,019       —  

Short-Term Investments

      71,210,073       —        71,210,073       —  

Purchase Option Contracts

      38,304       38,304        —       —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Investments in Securities(b)

    $ 1,893,006,342     $ 1,721,787,663      $ 171,218,679     $ 0  
  

 

 

    

 

 

     

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ 99,288     $ —      $ 99,288     $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Derivative Assets(b)

    $ 99,288     $ —      $ 99,288     $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Written Option Contracts

    $ (8,968,936 )    $ —      $ (8,968,936 )    $ —  

Forward Foreign Currency Exchange Contracts

      (38,473 )      —        (38,473 )      —  

Interest Rate Swap Contracts

      (7,062,455 )      —        (7,062,455 )      —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Derivative Liabilities(b)

    $ (16,069,864 )    $ —      $ (16,069,864 )    $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

 

(a)

BGP Holdings PLC was acquired via a spinoff and has been fair valued at $0 by the Valuation Committee, pursuant to the Fund’s fair value procedures and classified as a Level 3 security.

(b)

Portfolio holdings are disclosed individually on the Schedule of Investments.

Note 2. Derivative Investments

Options: 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

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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 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.

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 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.

Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under its revolving 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 structure of interest owed pursuant to the revolving 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 revolving 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

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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 volume of the Fund’s option contracts, interest rate swap contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2020:

 

                                                                                   
     Purchased  Option
Contracts(a),(b)		      Written  Option
Contracts(a),(b)		      Interest
Rate Swap
Contracts		      Forward Foreign
Currency  Exchange
Contracts(c)		  

Average Notional Amount

    $ 13,422,879      $ 31,013,171      $ 149,500,000      $ 5,753,003  

 

(a)

Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end. For the period, this represents two months for purchased option contracts and three months for written option contracts.

(b)

Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.

(c)

Average notional amounts represent the average for all months in which the Fund had forward foreign currency exchange contracts outstanding at month end. For the period, this represents two months.