NPORT-EX 2 NPORT_333341591983179.htm HTML

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

September 30, 2020 (Unaudited)

 

                                                                       
                          Shares      Value  

COMMON STOCK

      112.1 %      

COMMUNICATIONS—TOWERS

      24.0 %      

American Tower Corp.(a),(b)

        643,111      $ 155,459,222  

Crown Castle International Corp.

        862,626        143,627,229  

SBA Communications Corp.

        284,070        90,470,614  
       

 

 

  
          389,557,065  
       

 

 

  

REAL ESTATE

      88.1 %      

DATA CENTERS

      11.2 %      

CyrusOne, Inc.(a),(b)

        559,231        39,162,947  

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

        83,858        12,307,000  

Equinix, Inc.(a),(b)

        172,543        131,155,111  
       

 

 

  
          182,625,058  
       

 

 

  

DIVERSIFIED—FOREIGN

      0.0 %      

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

        3,927,678        0  
       

 

 

  

HEALTH CARE

      15.2 %      

Healthpeak Properties, Inc.(a),(b),(e)

        1,695,265        46,026,445  

Medical Properties Trust, Inc.(a),(b)

        2,255,571        39,765,716  

Ventas, Inc.(a)

        1,768,531        74,207,561  

Welltower, Inc.(a)

        1,571,700        86,584,953  
       

 

 

  
          246,584,675  
       

 

 

  

HOTEL

      1.0 %      

Host Hotels & Resorts, Inc.(a),(b)

        1,517,836        16,377,450  
       

 

 

  

INDUSTRIALS

      11.4 %      

BG LLH LLC (Lineage Logistics)†

        140,125        8,069,799  

Duke Realty Corp.(a),(b)

        1,914,094        70,630,068  

Prologis, Inc.(a),(b)

        1,054,692        106,123,109  
       

 

 

  
          184,822,976  
       

 

 

  

NET LEASE

      13.4 %      

Agree Realty Corp.(a)

        272,991        17,373,147  

Broadstone Net Lease, Inc., Class A

        1,077,834        18,086,055  

Spirit Realty Capital, Inc.(a),(b)

        1,090,752        36,812,880  

VEREIT, Inc.(a),(b)

        7,439,658        48,357,777  

VICI Properties, Inc.(a)

        3,120,873        72,934,802  

WP Carey, Inc.(a)

        365,455        23,813,048  
       

 

 

  
          217,377,709  
       

 

 

  

 

1

 

 

                                                                       
                          Shares      Value  

OFFICE

      1.9 %      

Kilroy Realty Corp.(a),(b)

        590,181      $ 30,665,805  
       

 

 

  

RESIDENTIAL

      13.6 %      

APARTMENT

      8.6 %      

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

        716,629        24,164,730  

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

        301,205        60,478,952  

UDR, Inc.(a),(b)

        1,672,519        54,540,845  
       

 

 

  
          139,184,527  
       

 

 

  

MANUFACTURED HOME

      2.6 %      

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

        302,522        42,537,618  
       

 

 

  

SINGLE FAMILY

      2.4 %      

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

        1,416,173        39,638,682  
       

 

 

  

TOTAL RESIDENTIAL

           221,360,827  
       

 

 

  

SELF STORAGE

      10.2 %      

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

        613,093        65,594,820  

Public Storage(a),(b),(e)

        454,767        101,285,706  
       

 

 

  
          166,880,526  
       

 

 

  

SHOPPING CENTERS—REGIONAL MALL

      5.2 %      

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

        1,301,613        84,188,329  
       

 

 

  

SPECIALTY

      1.7 %      

Lamar Advertising Co., Class A

        412,778        27,313,520  
       

 

 

  

TIMBER

      3.3 %      

Weyerhaeuser Co.

        1,911,851        54,525,991  
       

 

 

  

TOTAL REAL ESTATE

           1,432,722,866  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$1,465,562,367)

           1,822,279,931  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      14.7 %      

BANKS

      1.5 %      

GMAC Capital Trust I, 6.065% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(f)

        250,000        6,242,500  

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

        75,432        1,906,921  

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

        75,000        2,048,250  

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

        100,000        2,516,000  

Wells Fargo & Co., 5.20%(g)

        200,000        5,076,000  

Wells Fargo & Co., 5.50%, Series X(g)

        49,355        1,283,230  

Wells Fargo & Co., 4.75%, Series Z(g)

        208,044        5,230,226  
       

 

 

  
          24,303,127  
       

 

 

  

 

2

 

 

                                                                       
                          Shares      Value  

ELECTRIC

      0.2 %      

Southern Co./The, 4.20%, due 10/15/60, Series C

        100,000      $ 2,505,000  
       

 

 

  

FINANCIAL—DIVERSIFIED FINANCIAL SERVICES

      0.3 %      

KKR & Co., Inc., 6.75%, Series A(g)

        107,425        2,758,674  

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

        50,000        1,383,500  
       

 

 

  
          4,142,174  
       

 

 

  

INSURANCE—LIFE/HEALTH INSURANCE

      0.1 %      

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

        95,600        2,487,512  
       

 

 

  

PIPELINES

      0.2 %      

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

 

     147,000        2,559,270  
       

 

 

  

REAL ESTATE

      12.4 %      

DATA CENTERS

      0.8 %      

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

        179,137        4,641,440  

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

        98,115        2,703,068  

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

        100,000        2,718,000  

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

        115,975        3,142,923  
       

 

 

  
          13,205,431  
       

 

 

  

DIVERSIFIED

      2.7 %      

Armada Hoffler Properties, Inc., 6.75%, Series A(g)

        375,000        9,187,500  

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

        279,915        6,326,079  

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

        196,364        4,418,190  

EPR Properties, 9.00%, Series E (Convertible)(a),(g)

        180,628        5,285,175  

EPR Properties, 5.75%, Series G(g)

        137,002        2,604,408  

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

        98,959        2,618,455  

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

        79,704        4,658,699  

Office Properties Income Trust, 6.375%, due 6/23/50

        25,000        639,500  

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

        157,556        3,868,000  

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

        159,900        3,805,620  
       

 

 

  
          43,411,626  
       

 

 

  

HOTEL

      1.5 %      

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

        216,000        879,120  

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

        100,000        403,000  

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

        165,000        683,100  

DiamondRock Hospitality Co., 8.25%(g)

        50,725        1,318,850  

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

        160,000        3,675,200  

 

3

 

 

                                                                       
                          Shares      Value  

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

        134,000      $ 3,043,140  

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

        39,846        913,669  

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

        123,000        2,767,500  

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

        200,000        4,460,000  

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

        180,000        4,483,800  

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

        91,865        2,251,611  
       

 

 

  
          24,878,990  
       

 

 

  

INDUSTRIALS

      1.5 %      

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

        400,000        9,912,000  

PS Business Parks, Inc., 5.20%, Series W(g)

        45,000        1,164,600  

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

        185,000        4,902,500  

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

        72,384        1,935,548  

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

        85,500        2,202,480  

Rexford Industrial Realty, Inc., 5.625%, Series C(g)

        30,000        804,000  

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

        160,000        4,126,400  
       

 

 

  
          25,047,528  
       

 

 

  

NET LEASE

      1.2 %      

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

        70,000        1,763,300  

Spirit Realty Capital, Inc., 6.00%, Series A(a),(g)

        351,071        9,250,721  

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

        355,744        9,010,995  
       

 

 

  
          20,025,016  
       

 

 

  

OFFICE

      1.0 %      

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

        204,000        3,645,480  

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

        126,056        2,499,691  

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

        50,000        1,293,000  

SL Green Realty Corp., 6.50%, Series I(a),(g)

        191,919        4,821,005  

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

        161,024        4,085,179  
       

 

 

  
          16,344,355  
       

 

 

  

RESIDENTIAL

      1.7 %      

APARTMENT

      0.2 %      

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

        148,198        3,725,698  
       

 

 

  

MANUFACTURED HOME

      0.3 %      

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

        45,000        1,136,700  

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

        152,845        3,847,108  
       

 

 

  
          4,983,808  
       

 

 

  

 

4

 

 

                                                              
                          Shares      Value  

SINGLE FAMILY

      1.2 %      

American Homes 4 Rent, 6.50%, Series D(a),(g)

        207,796      $ 5,261,395  

American Homes 4 Rent, 6.35%, Series E(a),(g)

        378,397        9,581,012  

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

        162,714        4,474,635  
       

 

 

  
          19,317,042  
       

 

 

  

TOTAL RESIDENTIAL

           28,026,548  
       

 

 

  

SELF STORAGE

      0.4 %      

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

        192,080        5,088,199  

Public Storage, 4.625%, Series L(g)

        29,610        797,101  
       

 

 

  
          5,885,300  
       

 

 

  

SHOPPING CENTERS

      1.6 %      

COMMUNITY CENTER

      1.1 %      

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

        32,686        616,458  

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

        170,000        4,477,800  

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

        101,300        2,523,383  

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

        111,000        2,763,900  

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

        200,000        4,984,000  

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

        70,000        1,704,500  
       

 

 

  
          17,070,041  
       

 

 

  

REGIONAL MALL

      0.5 %      

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

        184,943        3,452,886  

Pennsylvania REIT, 7.20%, Series C(g)

        158,825        722,654  

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

        196,133        4,205,091  
       

 

 

  
          8,380,631  
       

 

 

  

TOTAL SHOPPING CENTERS

           25,450,672  
       

 

 

  

TOTAL REAL ESTATE

           202,275,466  
       

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$245,824,683)

           238,272,549  
       

 

 

  
           Principal
Amount		         

PREFERRED SECURITIES—CAPITAL SECURITIES

      5.1 %      

BANKS

      0.4 %      

Citigroup, Inc., 5.00% to 9/12/24, Series U(g),(h)

      $ 336,000        334,997  

JPMorgan Chase & Co., 3.738% (3 Month US LIBOR + 3.47%), Series I (FRN)(a),(f),(g)

        2,108,000        2,022,605  

 

5

 

 

                                                                       
           Principal
Amount		      Value  

JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(g),(h)

      $ 2,700,000      $ 2,928,601  

JPMorgan Chase & Co., 3.616% (3 Month US LIBOR + 3.32%), Series V (FRN)(f),(g)

        738,000        684,329  
       

 

 

  
          5,970,532  
       

 

 

  

BANKS—FOREIGN

      2.9 %      

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

        4,000,000        4,000,602  

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

        1,750,000        1,859,375  

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

        5,000,000        5,893,960  

Credit Suisse Group AG, 5.25% to 2/11/27,
144A (Switzerland)(g),(h),(i),(j)

        2,500,000        2,511,250  

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

        3,000,000        3,125,220  

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

        2,000,000        2,115,620  

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

        2,891,000        3,163,838  

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

        3,000,000        3,119,811  

HBOS Capital Funding LP, 6.85% (United Kingdom)(g),(k)

        2,600,000        2,651,025  

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

        4,000,000        4,247,000  

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

        3,400,000        3,573,298  

Natwest Group PLC, 8.625% to 8/15/21
(United Kingdom)(a),(g),(h),(i)

        3,300,000        3,389,826  

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

        4,000,000        4,107,820  

Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(g),(k)

        2,978,000        4,169,406  
       

 

 

  
          47,928,051  
       

 

 

  

INDUSTRIALS—DIVERSIFIED MANUFACTURING

      0.2 %      

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

        4,000,000        3,193,516  
       

 

 

  

INSURANCE

      0.4 %      

LIFE/HEALTH INSURANCE

      0.1 %      

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

        2,000,000        2,758,330  
       

 

 

  

PROPERTY CASUALTY—FOREIGN

      0.3 %      

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

        4,052,000        4,526,064  
       

 

 

  

TOTAL INSURANCE

           7,284,394  
       

 

 

  

 

6

 

 

                                                                       
           Principal
Amount		      Value  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

      0.2 %      

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

      $ 2,750,000      $ 3,267,648  
       

 

 

  

PIPELINES

      0.1 %      

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

        1,535,000        1,214,569  
       

 

 

  

PIPELINES—FOREIGN

      0.1 %      

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

        1,750,000        1,763,735  
       

 

 

  

REAL ESTATE—RETAIL—FOREIGN

      0.4 %      

Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80,
144A (Australia)(h),(j)

        6,000,000        5,901,846  
       

 

 

  

UTILITIES—ELECTRIC UTILITIES—FOREIGN

      0.4 %      

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

        5,250,000        6,144,757  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$81,531,845)

           82,669,048  
       

 

 

  

CORPORATE BONDS

      1.7 %      

COMMUNICATIONS—TOWERS

      0.2 %      

SBA Communications Corp., 3.875%, due 2/15/27, 144A(a),(j)

        2,525,000        2,566,031  
       

 

 

  

REAL ESTATE

      1.4 %      

DATA CENTERS

      0.1 %      

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

        2,000,000        2,182,470  
       

 

 

  

DIVERSIFIED

      0.0 %      

Spirit Realty LP, 3.20%, due 2/15/31

        300,000        293,067  
       

 

 

  

HEALTH CARE

      0.2 %      

Diversified Healthcare Trust, 9.75%, due 6/15/25

        2,500,000        2,800,400  

Sabra Health Care LP, 4.80%, due 6/1/24(a)

        1,200,000        1,261,967  
       

 

 

  
          4,062,367  
       

 

 

  

INDUSTRIALS

      0.6 %      

Corporate Office Properties LP, 2.25%, due 3/15/26

        850,000        860,619  

Retail Properties of America, Inc., 4.75%, due 9/15/30

        9,000,000        9,028,664  
       

 

 

  
          9,889,283  
       

 

 

  

NET LEASE

      0.1 %      

VEREIT Operating Partnership LP, 3.40%, due 1/15/28

        400,000        417,124  

VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30,
144A(a),(j)

        1,366,000        1,347,217  
       

 

 

  
          1,764,341  
       

 

 

  

 

7

 

 

                                                                       
           Principal
Amount		      Value  

OFFICE

      0.0 %      

Office Properties Income Trust, 4.50%, due 2/1/25

      $ 600,000      $ 607,628  
       

 

 

  

RESIDENTIAL—APARTMENT

      0.1 %      

Essex Portfolio LP, 2.65%, due 9/1/50

        1,000,000        942,656  
       

 

 

  

SHOPPING CENTERS

      0.3 %      

COMMUNITY CENTER

      0.1 %      

Federal Realty Investment Trust, 3.50%, due 6/1/30(a)

        1,350,000        1,463,678  
       

 

 

  

REGIONAL MALL

      0.2 %      

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

        3,300,000        2,606,818  
       

 

 

  

TOTAL SHOPPING CENTERS

           4,070,496  
       

 

 

  

TOTAL REAL ESTATE

           23,812,308  
       

 

 

  

TELECOMMUNICATION

      0.1 %      

QualityTech LP/QTS Finance Corp., 3.875%, due 10/1/28, 144A(j)

        900,000        904,842  
       

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$27,167,700)

           27,283,181  
       

 

 

  
           Shares         

SHORT-TERM INVESTMENTS

      0.8 %      

MONEY MARKET FUNDS

        

State Street Institutional Treasury Money Market Fund, Premier Class, 0.02%(l)

        12,814,774        12,814,774  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$12,814,774)

           12,814,774  
       

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,832,901,369)

      134.4 %         2,183,319,483  

WRITTEN OPTION CONTRACTS

      (0.1 )         (2,113,536 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (34.3 )         (556,209,154 ) 
  

 

 

       

 

 

  

NET ASSETS (Equivalent to $12.10 per share based on 134,243,229 shares of common stock outstanding)

      100.0 %       $ 1,624,996,793  
  

 

 

       

 

 

  

 

8

 

 

Exchange-Traded Option Contracts

 

                                                                                                                             
Written Options  
Description    Exercise
Price		      Expiration
Date		      Number of
Contracts		     Notional
Amountm		     Premiums
Received		     Value  

Put — Healthcare Trust Of America

    $ 25.00        10/16/20        (3,465 )    $ (9,009,000 )    $ (238,956 )    $ (147,263 ) 

Put — Lamar Advertising Co.

      60.00        10/16/20        (224 )      (1,482,208 )      (45,927 )      (8,960 ) 

Put — Medical Properties Trust, Inc.

      17.00        11/20/20        (3,754 )      (6,618,302 )      (300,180 )      (262,780 ) 

Put — Welltower, Inc.

      50.00        11/20/20        (805 )      (4,434,745 )      (204,759 )      (167,440 ) 

Put — WP Carey, Inc.

      65.00        10/16/20        (697 )      (4,541,652 )      (106,697 )      (134,521 ) 
           (8,945 )    $ (26,085,907 )    $ (896,519 )    $ (720,964 ) 

 

  

Over-the-Counter Option Contracts

 

Written Options  
Description   Counterparty   Exercise
Price		     Expiration
Date		   Number of
Contracts		     Notional
Amountm		     Premiums
Received		     Value  

Put — CyrusOne, Inc.

  

Goldman Sachs

International

   $ 65.00     11/20/20     (1,175 )    $ (8,228,525 )    $ (215,025 )    $ (220,818 ) 

Put — Healthpeak Properties, Inc.

  

Goldman Sachs

International

     31.53     10/16/20     (2,672 )      (7,254,480 )      (1,429,520 )      (1,171,754 ) 
          (3,847 )    $ (15,483,005 )    $ (1,644,545 )    $ (1,392,572 ) 

 

  

 

9

 

 

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%(n)        Monthly        1 Month LIBOR(n )      Monthly        12/28/23      $ (4,519,648 )    $ —     $ (4,519,648 ) 

69,000,000

      1.280                Monthly        0.156%(o )      Monthly        2/3/26        (3,777,794 )      (13,369 )      (3,791,163 ) 
                

 

 

    

 

 

    

 

 

  
                 $ (8,297,442 )    $ (13,369 )    $ (8,310,811 ) 
                

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts

to Deliver

     

In Exchange
For

      Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

Brown Brothers Harriman

    USD      4,811,204      EUR      4,104,318      10/2/20    $ 902  

Brown Brothers Harriman

    EUR      4,104,318      USD      4,907,574      10/2/20      95,467  

Brown Brothers Harriman

    EUR      4,150,325      USD      4,867,999      11/3/20      (1,262 ) 
                 

 

 

  
                  $         95,107  
                 

 

 

  

Glossary of Portfolio Abbreviations

 

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.

†

Restricted security. Aggregate holdings equal 0.5% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $8,757,813 ($62.50 per share). Security value is determined based on significant unobservable inputs (Level 3).

(a)

All or a portion of the security is pledged as collateral in connection with the Fund’s credit agreement. $1,161,992,591 in aggregate has been pledged as collateral.

(b)

A portion of the security has been rehypothecated in connection with the Fund’s credit agreement. $504,570,373 in aggregate has been rehypothecated.

(c)

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

(d)

Non-income producing security.

(e)

All or a portion of the security is pledged in connection with exchange-traded written option contracts. $11,147,953 in aggregate has been pledged as collateral.

(f)

Variable rate. Rate shown is in effect at September 30, 2020.

(g)

Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

 

10

 

 

(h)

Security converts to floating rate after the indicated fixed-rate coupon period.

(i)

Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $41,107,620 which represents 2.5% of the net assets of the Fund (1.9% of the managed assets of the Fund).

(j)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $41,881,704 which represents 2.6% of the net assets of the Fund, of which 0.0% are illiquid.

(k)

Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $17,591,526 which represents 1.1% of the net assets of the Fund, of which 0.0% are illiquid.

(l)

Rate quoted represents the annualized seven-day yield.

(m)

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

(n)

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

(o)

Based on 1 month LIBOR. Represents rates in effect at September 30, 2020.

 

11

 

 

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. 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 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).

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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.

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 September 30, 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)		  

Common Stock:

         

Real Estate—Diversified—Foreign

    $ 0     $ —     $ —     $ 0(a )  

Real Estate—Industrials

      184,822,976       176,753,177       —       8,069,799(b ) 

Other Industries

      1,637,456,955       1,637,456,955       —       —  

Preferred Securities—$25 Par Value:

         

Real Estate—Hotel

      24,878,990       22,627,379       2,251,611       —  

Other Industries

      213,393,559       213,393,559       —       —  

Preferred Securities—Capital Securities

      82,669,048       —       82,669,048       —  

Corporate Bonds

      27,283,181       —       27,283,181       —  

Short-Term Investments

      12,814,774       —       12,814,774       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities(c)

    $ 2,183,319,483     $ 2,050,231,070     $ 125,018,614     $ 8,069,799  
  

 

 

    

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ 96,369     $ —     $ 96,369     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Assets(c)

    $ 96,369     $ —     $ 96,369     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Interest Rate Swap Contracts

    $ (8,310,811 )    $ —     $ (8,310,811 )    $ —  

Written Option Contracts

      (2,113,536 )      (720,964 )      (1,392,572 )      —  

Forward Foreign Currency Exchange Contracts

      (1,262 )      —       (1,262 )      —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Liabilities(c)

    $ (10,425,609 )    $ (720,964 )    $ (9,704,645 )    $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(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)

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.

(c)

Portfolio holdings are disclosed individually on the Schedule of Investments.

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

 

                           
     Common
Stock –
Real Estate –
Industrials		  

Balance as of December 31, 2019

    $ —  

Purchases

      8,757,813  

Change in unrealized appreciation (depreciation)

      (688,014 ) 
  

 

 

  

Balance as of September 30, 2020

    $ 8,069,799  
  

 

 

  

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2020 which were valued using significant unobservable inputs (Level 3) amounted to $(688,014).

The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy.

 

                                                                                                        
    Fair Value at
September 30, 2020		    

Valuation Technique

  

Unobservable
Inputs

   Range/Weighted Average   Valuation from
an Increase
in Input (a)

Common Stock—
Real Estate— Industrials

   $ 8,069,799    

Market Comparable Companies

  

Enterprise Value/

EBITDA Ratio

   19.3x – 30.1x / 22.8%   Increase
     

Liquidity Discount

   41%  

Decrease

The significant unobservable inputs utilized in the fair value measurement of the Fund’s Level 3 equity investment in Common Stock—Real Estate—Industrials are the Enterprise Value to Earnings Before Interest, Taxes, Depreciation, and Amortization (EBITDA) ratio and Liquidity Discount.

 

(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.

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 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

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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 credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the Fund’s shares as a result of the floating rate structure of interest owed pursuant to the credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the credit agreement, the accruals for which would begin at a specific date in the future (the effective date). The payment obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could enhance or harm the overall performance of the Fund. Swaps are marked-to-market daily and changes in the value are recorded as unrealized appreciation (depreciation).

Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded as cash collateral pledged for interest rate swap contracts. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin on interest rate swap contracts. Any upfront payments paid or received upon entering into a swap agreement would be recorded as assets or liabilities, respectively, and amortized or accreted over the life of the swap and recorded as realized gain (loss).

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.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The following summarizes the volume of the Fund’s option contracts, interest rate swap contracts and forward foreign currency exchange contracts activity for the nine months ended September 30, 2020:

 

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

Average Notional Amount

    $ 13,929,837      $ 42,023,363      $ 170,200,000      $ 3,746,242  

 

 

(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 four months for purchased option contracts and nine 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 eight months.