NPORT-EX 2 NPORT_4X26_2289036833.htm DOS

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

March 31, 2021 (Unaudited)

 

                                                                       
                          Shares      Value  

COMMON STOCK

      112.9 %      

COMMUNICATIONS—TOWERS

      16.5 %      

American Tower Corp.(a),(b)

 

     661,852      $ 158,222,339  

Crown Castle International Corp.

 

     520,721        89,631,706  

SBA Communications Corp.

 

     242,875        67,409,956  
       

 

 

  
          315,264,001  
       

 

 

  

REAL ESTATE

      96.4 %      

DATA CENTERS

      10.1 %      

CyrusOne, Inc.(a),(b)

 

     944,425        63,956,461  

Digital Realty Trust, Inc.(a)

 

     248,161        34,950,995  

Equinix, Inc.(a),(b)

 

     137,613        93,520,419  
       

 

 

  
          192,427,875  
       

 

 

  

DIVERSIFIED—FOREIGN

      0.0 %      

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

 

     3,927,678        0  
       

 

 

  

HEALTH CARE

      17.9 %      

Healthcare Trust of America, Inc., Class A

 

     1,238,687        34,162,987  

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

 

     3,031,321        96,214,129  

Medical Properties Trust, Inc.(b)

 

     1,859,054        39,560,669  

Ventas, Inc.(a),(b)

 

     1,659,926        88,540,453  

Welltower, Inc.(a)

 

     1,161,404        83,191,369  
       

 

 

  
          341,669,607  
       

 

 

  

HOTEL

      4.1 %      

DiamondRock Hospitality Co.(d)

 

     1,634,317        16,833,465  

Host Hotels & Resorts, Inc.(a),(b)

 

     3,577,048        60,273,259  
       

 

 

  
          77,106,724  
       

 

 

  

INDUSTRIALS

      12.3 %      

Americold Realty Trust

 

     1,036,082        39,858,074  

BG LLH, LLC (Lineage Logistics)(f)

 

     142,519        10,251,392  

Duke Realty Corp.(a),(b)

 

     2,662,458        111,636,864  

Prologis, Inc.(a),(b)

 

     693,075        73,465,950  
       

 

 

  
          235,212,280  
       

 

 

  

NET LEASE

      12.1 %      

Agree Realty Corp.(a),(b)

 

     272,991        18,375,024  

Broadstone Net Lease, Inc., Class A

 

     603,706        11,047,820  

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

 

     1,090,752        46,356,960  

VEREIT, Inc.(b)

 

     1,708,848        65,995,710  

 

1

 

 

                                                                       
                          Shares      Value  

VICI Properties, Inc.(a)

 

     3,120,873      $ 88,133,453  
       

 

 

  
     229,908,967  
       

 

 

  

OFFICE

      0.9 %      

Kilroy Realty Corp.(a),(b)

 

     255,351        16,758,686  
       

 

 

  

RESIDENTIAL

      17.7 %      

APARTMENT

      10.2 %      

Apartment Income REIT Corp.

 

     768,491        32,860,675  

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

 

     202,661        55,091,367  

Mid-America Apartment Communities, Inc.

 

     146,559        21,157,257  

UDR, Inc.(b)

 

     1,926,457        84,494,404  
       

 

 

  
     193,603,703  
       

 

 

  

MANUFACTURED HOME

      4.0 %      

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

 

     512,807        76,941,562  
       

 

 

  

SINGLE FAMILY

      3.5 %      

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

 

     2,083,204        66,641,696  
       

 

 

  

TOTAL RESIDENTIAL

 

        337,186,961  
       

 

 

  

SELF STORAGE

      10.4 %      

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

 

     570,046        75,559,597  

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

 

     494,554        122,036,145  
       

 

 

  
     197,595,742  
       

 

 

  

SHOPPING CENTERS—REGIONAL MALL

      4.9 %      

Simon Property Group, Inc.(b)

 

     819,907        93,280,820  
       

 

 

  

SPECIALTY

      1.6 %      

Lamar Advertising Co., Class A

 

     325,973        30,615,384  
       

 

 

  

TIMBER

      4.4 %      

Weyerhaeuser Co.(a)

 

     2,373,816        84,507,850  
       

 

 

  

TOTAL REAL ESTATE

 

        1,836,270,896  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$1,556,589,980)

 

        2,151,534,897  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      12.5 %      

BANKS

      1.1 %      

GMAC Capital Trust I, 5.983% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(g)

 

     250,000        6,370,000  

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

 

     75,432        1,910,693  

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

 

     75,000        2,033,250  

Wells Fargo & Co., 5.20%(h)

 

     93,333        2,418,258  

 

2

 

 

                                                                       
                          Shares      Value  

Wells Fargo & Co., 4.70%, Series AA(h)

 

     88,000      $ 2,239,600  

Wells Fargo & Co., 5.50%, Series X(h)

 

     49,355        1,273,359  

Wells Fargo & Co., 4.75%, Series Z(h)

 

     208,044        5,311,363  
       

 

 

  
          21,556,523  
       

 

 

  

ELECTRIC

      0.1 %      

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

 

     98,601        2,450,235  
       

 

 

  

FINANCIAL—DIVERSIFIED FINANCIAL SERVICES

      0.2 %      

KKR & Co., Inc., 6.75%, Series A(h)

 

     107,425        2,739,337  
       

 

 

  

PIPELINES

      0.2 %      

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

 

     147,000        3,514,770  
       

 

 

  

REAL ESTATE

      10.9 %      

DATA CENTERS

      0.7 %      

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

 

     179,137        4,541,123  

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

 

     98,115        2,724,654  

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

 

     100,000        2,665,000  

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

 

     115,975        3,242,661  
       

 

 

  
          13,173,438  
       

 

 

  

DIVERSIFIED

      2.3 %      

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

 

     375,000        9,937,500  

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

 

     279,915        7,053,858  

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

 

     196,364        4,971,937  

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

 

     131,000        4,833,900  

EPR Properties, 5.75%, Series G(h)

 

     177,002        4,460,451  

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

 

     79,704        4,488,929  

National Retail Properties, Inc., 5.20%, Series F(h)

 

     25,000        640,000  

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

 

     25,000        671,750  

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

 

     157,556        3,970,411  

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

 

     159,900        3,959,124  
       

 

 

  
          44,987,860  
       

 

 

  

HOTEL

      1.4 %      

DiamondRock Hospitality Co., 8.25%(h)

 

     46,466        1,304,765  

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

 

     160,000        4,017,600  

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

 

     134,000        3,249,500  

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

 

     154,846        4,298,525  

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

 

     123,000        3,104,520  

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

 

     200,000        4,910,000  

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

 

     180,000        4,554,000  

 

3

 

 

                                                                       
                          Shares      Value  

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

 

     91,717      $ 2,320,440  
       

 

 

  
          27,759,350  
       

 

 

  

INDUSTRIALS

      1.2 %      

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

 

     450,000        11,439,000  

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

 

     45,000        1,169,100  

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

 

     185,000        4,865,500  

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

 

     72,384        1,919,624  

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

 

     85,500        2,160,576  

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

 

     30,000        789,600  
       

 

 

  
       22,343,400  
       

 

 

  

NET LEASE

      1.1 %      

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

 

     70,000        1,770,300  

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

 

     351,071        9,250,721  

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

 

     377,661        9,520,834  
       

 

 

  
       20,541,855  
       

 

 

  

OFFICE

      1.2 %      

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

 

     204,000        5,065,320  

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

 

     126,056        3,240,900  

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

 

     50,000        1,300,500  

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

 

     206,919        5,342,648  

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

 

     146,024        3,685,646  

Vornado Realty Trust, 5.25%, Series N(h)

 

     150,000        3,846,000  
       

 

 

  
       22,481,014  
       

 

 

  

RESIDENTIAL

      1.4 %      

APARTMENT

      0.1 %      

Centerspace, 6.625%, Series C(h)

 

     98,959        2,619,445  
       

 

 

  

MANUFACTURED HOME

      0.2 %      

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

 

     152,845        3,915,889  
       

 

 

  

SINGLE FAMILY

      1.1 %      

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

 

     257,796        6,524,817  

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

 

     378,397        9,596,148  

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

 

     162,714        4,377,006  
       

 

 

  
       20,497,971  
       

 

 

  

TOTAL RESIDENTIAL

 

        27,033,305  
       

 

 

  

SELF STORAGE

      0.3 %      

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

 

     192,080        5,074,753  

 

4

 

 

                                                                       
                          Shares      Value  

Public Storage, 4.625%, Series L(h)

 

     29,610      $ 795,325  
       

 

 

  
     5,870,078  
       

 

 

  

SHOPPING CENTERS

     1.3 %      

COMMUNITY CENTER

      1.0 %      

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

 

     32,686        819,765  

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

 

     10,005        263,031  

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

 

     181,358        4,775,156  

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

 

     101,300        2,602,397  

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

 

     111,000        2,874,900  

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

 

     200,000        5,160,000  

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

 

     70,000        1,775,200  
       

 

 

  
     18,270,449  
       

 

 

  

REGIONAL MALL

      0.3 %      

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

 

     184,943        4,573,640  

Pennsylvania REIT, 7.20%, Series C(h)

 

     158,825        1,407,190  
       

 

 

  
     5,980,830  
       

 

 

  

TOTAL SHOPPING CENTERS

 

      24,251,279  
       

 

 

  

TOTAL REAL ESTATE

 

      208,441,579  
       

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$226,391,338)

 

        238,702,444  
       

 

 

  
           Principal
Amount		         

PREFERRED SECURITIES—CAPITAL SECURITIES

      6.6 %      

BANKS

      1.8 %      

Bank of America Corp., 6.10% to 3/17/25, Series AA(h),(i)

 

   $ 1,100,000        1,221,765  

Bank of America Corp., 6.25% to 9/5/24, Series X(h),(i)

 

     4,000,000        4,428,573  

Citigroup, Inc., 5.95% to 1/30/23(h),(i)

 

     2,140,000        2,245,915  

Citigroup, Inc., 5.95% to 5/15/25, Series P(h),(i)

 

     2,000,000        2,160,000  

Citigroup, Inc., 6.25% to 8/15/26, Series T(h),(i)

 

     2,140,000        2,450,300  

JPMorgan Chase & Co., 3.558% (3 Month US LIBOR + 3.32%), Series V (FRN)(g),(h)

 

     738,000        735,602  

JPMorgan Chase & Co., 3.682% (3 Month US LIBOR + 3.47%), Series I (FRN)(a),(g),(h)

 

     2,108,000        2,109,133  

JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(h),(i)

 

     4,660,000        5,027,418  

JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(h),(i)

 

     3,210,000        3,447,650  

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

 

     3,770,000        4,129,218  

Wells Fargo & Co., 3.90% to 3/15/26, Series BB(h),(i)

 

     5,100,000        5,153,678  

 

5

 

 

                                                                       
                          Principal
Amount		      Value  

Wells Fargo & Co., 5.875% to 6/15/25, Series U(h),(i)

 

   $ 2,000,000      $ 2,207,000  
       

 

 

  
          35,316,252  
       

 

 

  

BANKS—FOREIGN

      2.7 %      

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

 

     4,000,000        4,331,400  

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

 

     1,750,000        1,916,547  

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

 

     5,000,000        6,040,625  

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

 

     2,500,000        2,531,250  

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

 

     3,000,000        3,126,030  

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

 

     2,000,000        2,119,720  

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

 

     2,891,000        3,138,293  

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

 

     3,000,000        3,121,875  

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

 

     4,000,000        4,432,600  

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

 

     3,400,000        3,798,548  

Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(h),(i),(j)

 

     3,000,000        3,524,160  

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

 

     3,300,000        3,385,701  

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

 

     4,000,000        4,197,180  

Stichting AK Rabobank Certificaten, 2.188% (Netherlands)(h),(l)

 

     2,828,350        4,306,193  

UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(h),(i),(j),(k)

 

     1,600,000        1,758,536  
       

 

 

  
          51,728,658  
       

 

 

  

FINANCIAL

      0.4 %      

Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(h),(i)

 

     6,750,000        6,866,775  
       

 

 

  

INDUSTRIALS

      0.2 %      

General Electric Co., 3.514% (3 Month US LIBOR + 3.33%), Series D (FRN)(a),(b),(g),(h)

 

     4,000,000        3,785,000  
       

 

 

  

INSURANCE

      0.4 %      

LIFE/HEALTH INSURANCE

      0.2 %      

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

 

     2,000,000        2,784,500  
       

 

 

  

 

6

 

 

                                                                       
                          Principal
Amount		      Value  

PROPERTY CASUALTY—FOREIGN

      0.2 %      

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

 

   $ 4,052,000      $ 4,537,531  
       

 

 

  

TOTAL INSURANCE

 

      7,322,031  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

      0.2 %      

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

 

     2,750,000        3,319,494  
       

 

 

  

PIPELINES

      0.1 %      

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

 

     1,535,000        1,499,388  
       

 

 

  

PIPELINES—FOREIGN

      0.1 %      

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

 

     1,750,000        1,869,952  
       

 

 

  

REAL ESTATE

      0.4 %      

HEALTH CARE

      0.1 %      

Welltower, Inc., 2.80%, due 6/1/31

 

     850,000        846,696  
       

 

 

  

RETAIL—FOREIGN

      0.3 %      

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

 

     6,000,000        6,250,200  
       

 

 

  

TOTAL REAL ESTATE

         7,096,896  
       

 

 

  

UTILITIES—ELECTRIC UTILITIES—FOREIGN

      0.3 %      

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

 

     5,250,000        6,116,250  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$119,872,549)

 

      124,920,696  
       

 

 

  

CORPORATE BONDS

      1.0 %      

COMMUNICATIONS—TOWERS

      0.1 %      

SBA Communications Corp., 3.875%, due 2/15/27, Series WI

 

     2,525,000        2,584,211  
       

 

 

  

REAL ESTATE

      0.9 %      

DATA CENTERS

      0.1 %      

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

 

     2,000,000        2,151,210  
       

 

 

  

HEALTH CARE

      0.2 %      

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

 

     2,000,000        2,266,500  

 

7

 

 

                                                                       
                          Principal
Amount		      Value  

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

 

   $ 1,200,000      $ 1,307,478  
       

 

 

  
          3,573,978  
       

 

 

  

INDUSTRIALS

      0.4 %      

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

 

     7,000,000        7,422,789  
       

 

 

  

NET LEASE

      0.1 %      

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

 

     1,366,000        1,379,592  
       

 

 

  

SHOPPING CENTERS—REGIONAL MALL

      0.1 %      

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

 

     1,800,000        1,856,475  
       

 

 

  

TOTAL REAL ESTATE

 

      16,384,044  
       

 

 

  

TELECOMMUNICATION

      0.0 %      

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

 

     900,000        896,625  
       

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$18,704,467)

 

      19,864,880  
       

 

 

  
           Shares         

SHORT-TERM INVESTMENTS

      1.3 %      

MONEY MARKET FUNDS

        

State Street Institutional Treasury Money Market Fund, Premier Class, 0.01%(m)

 

     23,891,248        23,891,248  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$23,891,248)

 

        23,891,248  
       

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$1,945,449,582)

      134.3 %         2,558,914,165  

WRITTEN OPTION CONTRACTS

      (0.0 )         (894,284 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (34.3 )         (652,243,248 ) 
  

 

 

       

 

 

  

NET ASSETS (Equivalent to $14.20 per share based on 134,243,229 shares of common stock outstanding)

      100.0 %       $ 1,905,776,633  
  

 

 

       

 

 

  

 

8

 

 

Exchange-Traded Option Contracts

 

Written Options                                          
Description   Exercise
Price		     Expiration
Date		     Number of
Contracts		     Notional
Amount(n)		     Premiums
Received		     Value  

Call—Welltower, Inc.

   $ 70.00       4/16/2021       (778 )    $ (5,572,814 )    $ (170,353 )    $ (206,170 ) 

Call—Simon Property Group, Inc.

     115.00       5/21/2021       (450 )      (5,119,650 )      (229,077 )      (276,750 ) 

Call—Simon Property Group, Inc.

     130.00       5/21/2021       (492 )      (5,597,484 )      (190,632 )      (98,400 ) 

Call—Welltower, Inc.

     77.50       5/21/2021       (732 )      (5,243,316 )      (110,150 )      (87,840 ) 

Call—Weyerhaeuser Co.

     39.00       5/21/2021       (1,585 )      (5,642,600 )      (65,721 )      (87,175 ) 

Call—Simon Property Group, Inc.

     120.00       6/18/2021       (58 )      (659,866 )      (21,850 )      (35,844 ) 

Put—Boston Properties, Inc.

     85.00       5/21/2021       (531 )      (5,376,906 )      (126,961 )      (23,895 ) 

Put—Equinix, Inc.

     630.00       5/21/2021       (79 )      (5,368,761 )      (129,144 )      (78,210 ) 
        (4,705 )    $ (38,581,397 )    $ (1,043,888 )    $ (894,284 ) 

 

  

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)		  
  $200,000,000        0.669%(o )    Monthly      1 month LIBOR(o)     Monthly      9/15/25      $ 2,106,466     $ —     $ 2,106,466  
  69,000,000        1.280            Monthly      0.109(p)     Monthly      2/3/26          (1,265,808 )      (12,122 )      (1,277,930 ) 
  115,000,000        0.761            Monthly      0.108(p)     Monthly      9/15/26        1,784,352       —       1,784,352  
  190,000,000        1.237(o)       Monthly      1 month LIBOR(o)     Monthly      9/15/27        3,602,085       —       3,602,085  
               

 

 

    

 

 

    

 

 

  
                $ 6,227,095     $ (12,122 )    $ 6,214,973  
               

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts

to Deliver

     

In Exchange

For

     

Settlement

Date

   

Unrealized

Appreciation

(Depreciation)

  

Brown Brothers Harriman

    EUR      4,024,153      USD      4,864,316      4/6/21    $ 145,191  

Brown Brothers Harriman

    USD      405,896      EUR      340,662      4/6/21      (6,401 ) 

Brown Brothers Harriman

    USD        4,328,360      EUR        3,683,491      4/6/21      (8,730 ) 

Brown Brothers Harriman

    EUR      3,674,423      USD      4,319,909      5/4/21      8,410  
                 

 

 

  
                  $         138,470  
                 

 

 

  

 

9

 

 

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.

(a)

All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $1,369,191,009 in aggregate has been pledged as collateral.

(b)

A portion of the security has been rehypothecated in connection with the Fund’s revolving credit agreement. $603,275,776 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. $24,896,479 in aggregate has been pledged as collateral.

(f)

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).

(g)

Variable rate. Rate shown is in effect at March 31, 2021.

(h)

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

(i)

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

(j)

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 $47,422,465 which represents 2.5% of the net assets of the Fund (1.8% of the managed assets of the Fund).

(k)

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 $40,985,793 which represents 2.2% of the net assets of the Fund, of which 0.0% are illiquid.

(l)

Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $15,091,629 which represents 0.8% of the net assets of the Fund, of which 0.0% are illiquid.

(m)

Rate quoted represents the annualized seven-day yield.

(n)

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

(o)

Represents two forward-starting interest rate swap contracts with interest receipts and payments commencing on December 24, 2021 and December 24, 2022, respectively (effective dates).

(p)

Based on 1 month LIBOR. Represents rates in effect at March 31, 2021.

 

10

 

 

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.

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 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.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

  •  

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 31, 2021 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

      235,212,280       224,960,888       —       10,251,392 (b) 

Other Industries

      1,916,322,617       1,916,322,617       —       —  

Preferred Securities—$25 Par Value

      238,702,444       238,702,444       —       —  

Preferred Securities—Capital Securities

      124,920,696       —       124,920,696       —  

Corporate Bonds

      19,864,880       —       19,864,880       —  

Short-Term Investments

      23,891,248       —       23,891,248       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities(c)

    $ 2,558,914,165     $ 2,379,985,949     $ 168,676,824     $ 10,251,392  
  

 

 

    

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ 153,601     $ —     $ 153,601     $ —  

Interest Rate Swap Contracts

      7,492,903       —       7,492,903       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Assets(c)

    $ 7,646,504     $ —     $ 7,646,504     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Written Option Contracts

    $ (894,284 )    $ (894,284 )    $ —     $ —  

Forward Foreign Currency Exchange Contracts

      (15,131 )      —       (15,131 )      —  

Interest Rate Swap Contracts

      (1,277,930 )      —       (1,277,930 )      —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Liabilities(c)

    $ (2,187,345 )    $ (894,284 )    $ (1,293,061 )    $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(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.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

(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		      Written
Option
Contracts		  

Balance as of December 31, 2020

    $ 8,568,644      $ (23,200 ) 

Purchases

      162,795        —  

Realized gain (loss)

      —        468,789  

Change in unrealized appreciation (depreciation)

      1,519,953        (445,589 ) 
  

 

 

     

 

 

  

Balance as of March 31, 2021

    $ 10,251,392      $ —  
  

 

 

     

 

 

  

The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2021 which were valued using significant unobservable inputs (Level 3) amounted to $1,074,364.

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 31,
2021		     

Valuation Technique

   

Unobservable Inputs

    Amount  

Valuation Impact from
an Increase in
Input(a)

Common Stock—
Real Estate—
Industrials

    $ 10,251,392      Market
Comparable
Companies		    Enterprise Value/
EBITDA(b) Multiple
Liquidity Discount		    23.2x
15%		   Increase
Decrease

 

(a)

Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may result in a materially higher or lower fair value measurement.

(b)

Earnings Before Interest, Taxes, Depreciation and Amortization.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

Note 2. Derivative Investments

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices, currencies and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

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.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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

Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the 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.

 

 

 

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 three months ended March 31, 2021:

 

                                                              
     Written Option
Contracts(a)		      Interest Rate
Swap Contracts		      Forward
Foreign Currency
Exchange Contracts		  

Average Notional Amount

    $ 43,249,889      $ 379,000,000      $ 4,803,851  

 

(a)

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