NPORT-EX 2 NPORT_4X26_57809609_0922.htm RQI NPORT-EX

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2022 (Unaudited)

 

                                                                       
                          Shares      Value  

COMMON STOCK

      108.1 %      

COMMUNICATIONS—TOWERS

      16.3 %      

American Tower Corp.(a),(b)

 

     832,661      $ 178,772,316  

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

 

     630,534        91,143,690  
       

 

 

  
     269,916,006  
       

 

 

  

REAL ESTATE

      91.8 %      

DATA CENTERS

      8.2 %      

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

 

     645,205        63,991,432  

Equinix, Inc.(a),(b)

 

     125,258        71,251,761  
       

 

 

  
     135,243,193  
       

 

 

  

DIVERSIFIED—FOREIGN

      0.0 %      

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

 

     3,927,678        0  
       

 

 

  

HEALTH CARE

      11.1 %      

Healthcare Realty Trust, Inc., Class A(a),(b)

 

     1,575,908        32,857,682  

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

 

     1,049,200        24,047,664  

Ventas, Inc.(a),(b)

 

     313,371        12,588,113  

Welltower, Inc.(a)

 

     1,786,271        114,892,951  
       

 

 

  
     184,386,410  
       

 

 

  

HOTEL

      2.2 %      

Host Hotels & Resorts, Inc.(a),(b)

 

     2,281,092        36,223,741  
       

 

 

  

INDUSTRIALS

      15.5 %      

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

 

     1,664,605        40,949,283  

BG LLH, LLC (Lineage Logistics)(f)

 

     142,519        11,246,174  

Duke Realty Corp.(a),(b)

 

     2,161,779        104,197,748  

Prologis, Inc.(a),(b)

 

     989,994        100,583,390  
       

 

 

  
     256,976,595  
       

 

 

  

NET LEASE

      9.7 %      

NETSTREIT Corp.

 

     713,226        12,702,555  

Realty Income Corp.(a),(b)

 

     1,752,313        101,984,617  

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

 

     859,157        31,067,117  

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

 

     487,911        14,564,143  
       

 

 

  
     160,318,432  
       

 

 

  

OFFICE

      0.8 %      

Highwoods Properties, Inc.

 

     510,337        13,758,686  
       

 

 

  

 

1

 

 

                                                                       
                          Shares      Value  

RESIDENTIAL

      21.8 %      

APARTMENT

      12.3 %      

Apartment Income REIT Corp.(a),(b)

 

     508,083      $ 19,622,165  

Camden Property Trust(a)

 

     321,802        38,439,249  

Essex Property Trust, Inc.(a)

 

     152,224        36,873,220  

Mid-America Apartment Communities, Inc.(a)

 

     312,004        48,382,460  

UDR, Inc.(a),(b)

 

     1,428,942        59,601,171  
       

 

 

  
     202,918,265  
       

 

 

  

MANUFACTURED HOME

      2.7 %      

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

 

     329,580        44,602,061  
       

 

 

  

SINGLE FAMILY

      6.8 %      

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

 

     3,328,774        112,412,698  
       

 

 

  

TOTAL RESIDENTIAL

         359,933,024  
       

 

 

  

SELF STORAGE

      12.1 %      

Extra Space Storage, Inc.(a)

 

     484,313        83,645,698  

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

 

     397,009        116,248,206  
       

 

 

  
     199,893,904  
       

 

 

  

SHOPPING CENTERS

      7.6 %      

COMMUNITY CENTER

      2.2 %      

Kimco Realty Corp.

 

     1,960,612        36,094,867  
       

 

 

  

REGIONAL MALL

      5.4 %      

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

 

     993,914        89,203,781  
       

 

 

  

TOTAL SHOPPING CENTERS

         125,298,648  
       

 

 

  

SPECIALTY

      1.7 %      

Lamar Advertising Co., Class A

 

     337,410        27,832,951  
       

 

 

  

TIMBER

      1.1 %      

Weyerhaeuser Co.(a),(b)

 

     624,190        17,826,866  
       

 

 

  

TOTAL REAL ESTATE

         1,517,692,450  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$1,509,062,884)

         1,787,608,456  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      11.9 %      

BANKS

      1.4 %      

Bank of America Corp., 6.00%, Series GG(g)

 

     224,608        5,368,131  

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

 

     75,000        1,853,250  

JPMorgan Chase & Co., 4.75%, Series GG(g)

 

          172,000        3,622,320  

JPMorgan Chase & Co., 4.625%, Series LL(g)

 

     124,812        2,431,338  

KeyCorp., 6.20% to 12/15/27(g),(h)

 

     40,800        989,400  

 

2

 

 

                                                                       
                          Shares      Value  

Truist Financial Corp., 4.75%, Series R(g)

 

     80,200      $ 1,591,168  

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

 

     88,000        1,630,640  

Wells Fargo & Co., 4.25%, Series DD(a),(g)

 

     69,325        1,191,697  

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

 

     208,044        3,907,066  
       

 

 

  
     22,585,010  
       

 

 

  

ELECTRIC

      0.6 %      

CMS Energy Corp., 5.625%, due 3/15/78

 

     32,705        783,284  

CMS Energy Corp., 5.875%, due 3/1/79

 

     166,310        3,856,729  

DTE Energy Co., 5.25%, due 12/1/77, Series E

 

     134,351        3,063,203  

Southern Co./The, 4.95%, due 1/30/80, Series 2020

 

     100,000        2,064,000  
       

 

 

  
     9,767,216  
       

 

 

  

FINANCIAL—DIVERSIFIED FINANCIAL SERVICES

      0.1 %      

KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61

 

     50,000        915,000  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES

      0.6 %      

AT&T, Inc., 5.625%, due 8/1/67

 

     145,567        3,575,126  

AT&T, Inc., 5.00%, Series A(g)

 

     124,144        2,548,676  

AT&T, Inc., 4.75%, Series C(g)

 

     60,000        1,126,800  

United States Cellular Corp., 5.50%, due 6/1/70

 

     168,545        3,118,082  
       

 

 

  
     10,368,684  
       

 

 

  

PIPELINES

      0.2 %      

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

 

          147,000        3,555,930  
       

 

 

  

REAL ESTATE

      8.9 %      

DATA CENTERS

      1.6 %      

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

 

     161,925        3,604,451  

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

 

     110,691        2,330,046  

DigitalBridge Group, Inc., 7.15%, Series I(g)

 

     404,770        9,050,657  

DigitalBridge Group, Inc., 7.125%, Series J(g)

 

     404,788        9,172,496  

KKR Real Estate Finance Trust, Inc., 6.50%, Series A(g)

 

     145,248        2,887,530  
       

 

 

  
     27,045,180  
       

 

 

  

DIVERSIFIED

      1.5 %      

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

 

     375,000        8,591,250  

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

 

     57,085        1,465,372  

EPR Properties, 5.75%, Series G(g)

 

     157,002        2,816,616  

iStar, Inc. 7.65%, Series G(g)

 

     34,871        834,557  

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

 

     92,192        4,462,093  

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

 

     157,556        3,308,676  

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

 

     159,900        3,245,970  
       

 

 

  
     24,724,534  
       

 

 

  

 

3

 

 

                                                                       
                          Shares      Value  

HOTEL

      1.3 %      

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

 

     140,000      $ 2,651,600  

Pebblebrook Hotel Trust, 6.375%, Series G(g)

 

     188,800        3,530,560  

Pebblebrook Hotel Trust, 5.70%, Series H(g)

 

     160,000        2,696,000  

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

 

     154,846        3,806,115  

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

 

     226,000        3,964,040  

Summit Hotel Properties, Inc., 5.875%, Series F(g)

 

     137,693        2,489,489  

Sunstone Hotel Investors, Inc., 6.125%, Series H(g)

 

     114,000        2,308,500  
       

 

 

  
     21,446,304  
       

 

 

  

INDUSTRIALS

      0.2 %      

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

 

          185,000        2,747,250  

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

 

     30,000        665,400  
       

 

 

  
          3,412,650  
       

 

 

  

NET LEASE

      0.7 %      

Agree Realty Corp., 4.25%, Series A(g)

 

     133,455        2,267,400  

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

 

     435,071        9,984,880  
       

 

 

  
     12,252,280  
       

 

 

  

OFFICE

      1.4 %      

Arbor Realty Trust, Inc., 6.375%, Series D(g)

 

     51,200        995,328  

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

 

     154,000        2,618,000  

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

 

     126,056        2,329,515  

Brookfield Property Preferred LP, 6.25%, due 7/26/81

 

     150,000        2,820,000  

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

 

     61,000        1,218,780  

Hudson Pacific Properties, Inc., 4.75%, Series C(g)

 

     301,200        5,027,028  

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

 

     111,918        2,429,740  

TPG RE Finance Trust, Inc., 6.25%, Series C(g)

 

     60,613        1,051,635  

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

 

     158,108        2,787,444  

Vornado Realty Trust, 4.45%, Series O(g)

 

     77,977        1,250,751  
       

 

 

  
     22,528,221  
       

 

 

  

RESIDENTIAL

      0.8 %      

APARTMENT

      0.1 %      

Centerspace, 6.625%, Series C(g)

 

     98,959        2,386,297  
       

 

 

  

MANUFACTURED HOME

      0.3 %      

Green Brick Partners, Inc., 5.75%, Series A(g)

 

     72,172        1,479,526  

UMH Properties, Inc., 6.375%, Series D(g)

 

     115,000        2,737,000  
       

 

 

  
     4,216,526  
       

 

 

  

 

4

 

 

                                                                       
                          Shares      Value  

SINGLE FAMILY

      0.4 %      

American Homes 4 Rent, 5.875%, Series G(g)

 

     68,360      $ 1,538,100  

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

 

     228,349        5,475,809  
       

 

 

  
     7,013,909  
       

 

 

  

TOTAL RESIDENTIAL

         13,616,732  
       

 

 

  

SELF STORAGE

      0.6 %      

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

 

     192,080        4,306,434  

Public Storage, 4.875%, Series I(g)

 

     24,856        530,427  

Public Storage, 4.75%, Series K(g)

 

     18,000        362,520  

Public Storage, 4.625%, Series L(g)

 

     30,610        616,791  

Public Storage, 4.00%, Series P(g)

 

     230,138        3,928,456  
       

 

 

  
     9,744,628  
       

 

 

  

SHOPPING CENTERS—COMMUNITY CENTER

      0.8 %      

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

 

     24,619        518,969  

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

 

     181,358        3,893,756  

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

 

     101,300        2,150,599  

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

 

     111,000        2,346,540  

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

 

          200,000        4,076,000  
       

 

 

  
     12,985,864  
       

 

 

  

TOTAL REAL ESTATE

         147,756,393  
       

 

 

  

UTILITIES

      0.1 %      

Sempra Energy, 5.75%, due 7/1/79

 

     89,854        2,124,149  
       

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$228,797,138)

         197,072,382  
       

 

 

  
           Principal
Amount		         

PREFERRED SECURITIES—CAPITAL SECURITIES

      15.8 %      

BANKS

      4.9 %      

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

 

   $ 4,000,000        3,837,220  

Bank of America Corp., 6.125% to 4/27/27, Series TT(g),(h)

 

     4,640,000        4,396,400  

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

 

     6,000,000        5,812,500  

Bank of America Corp., 6.30% to 3/10/26, Series DD(g),(h)

 

     2,000,000        1,974,600  

 

5

 

 

                                                                       
                          Principal
Amount		      Value  

Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(a),(b),(g),(h)

 

   $ 3,877,000      $ 3,004,675  

Citigroup, Inc., 3.875% to 2/18/26(g),(h)

 

     2,500,000        2,067,825  

Citigroup, Inc., 4.00% to 12/10/25, Series W(a),(b),(g),(h)

 

     6,000,000        5,070,000  

Citigroup, Inc., 4.15% to 11/15/26, Series Y(g),(h)

 

     2,100,000        1,674,750  

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

 

     2,140,000        2,119,927  

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

 

     2,000,000        1,812,594  

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

 

     2,140,000        2,052,260  

Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(g),(h)

 

     2,500,000        1,990,625  

JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(g),(h)

 

     2,032,000        1,650,617  

JPMorgan Chase & Co., 5.597% (3 Month US LIBOR + 3.32%), Series V (FRN)(g),(i)

 

     738,000        738,000  

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

 

     2,160,000        2,074,950  

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

 

     2,850,000        2,768,205  

JPMorgan Chase & Co., 6.276% (3 Month US LIBOR + 3.47%), Series I (FRN)(a),(b),(g),(i)

 

     4,108,000        4,107,970  

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

 

     9,000,000        8,923,960  

PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(g),(h)

 

     2,270,000        2,111,100  

PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(g),(h)

 

     5,000,000        4,737,500  

SVB Financial Group, 4.00% to 5/15/26, Series C(g),(h)

 

     5,130,000        3,901,189  

SVB Financial Group, 4.25% to 11/15/26, Series D(g),(h)

 

     4,280,000        3,158,629  

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

 

     10,000,000        8,462,500  

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

 

     2,000,000        1,909,096  
       

 

 

  
          80,357,092  
       

 

 

  

BANKS—FOREIGN

      3.9 %      

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

 

     4,000,000        3,481,240  

Banco Santander SA, 7.50% to 2/8/24 (Spain)(g),(h),(j),(k)

 

     2,000,000        1,866,010  

Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(g),(h),(j)

 

     4,200,000        3,906,630  

Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(g),(h),(j)

 

     3,000,000        2,633,100  

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

 

     4,650,000        4,273,118  

BNP Paribas SA, 7.75% to 8/16/29, 144A (France)(a),(g),(h),(j),(l)

 

     3,800,000        3,516,140  

Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(g),(h),(j),(l)

 

     3,000,000        2,768,310  

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

 

     5,000,000        4,831,375  

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

 

     1,900,000        1,338,960  

 

6

 

 

                                                                       
                          Principal
Amount		      Value  

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

 

   $ 2,000,000      $ 1,720,000  

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

 

     2,891,000        2,664,562  

Credit Suisse Group AG, 9.75% to 6/23/27, 144A (Switzerland)(g),(h),(j),(l)

 

     3,000,000        2,950,138  

Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(g),(h),(j)

 

     3,200,000        2,712,960  

ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(g),(h),(j)

 

     2,800,000        2,409,488  

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

 

     4,200,000        3,757,299  

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

 

     4,000,000        3,718,980  

Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(g),(h),(j)

 

     4,100,000        3,751,500  

Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(g),(h),(j)

 

     1,400,000        1,225,000  

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

 

     3,400,000        3,178,167  

Societe Generale SA, 7.875% to 12/18/23, 144A (France)(g),(h),(j),(l)

 

     3,600,000        3,460,500  

Societe Generale SA, 8.00% to 9/29/25, 144A (France)(g),(h),(j),(l)

 

     1,800,000        1,717,299  

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

 

     2,800,000        2,656,360  
       

 

 

  
          64,537,136  
       

 

 

  

COMMUNICATIONS—TOWERS

      0.0 %      

SBA Communications Corp., 3.125%, due 2/1/29

 

     714,000        575,809  
       

 

 

  

ELECTRIC

      0.0 %      

Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(h)

 

     700,000        569,373  
       

 

 

  

ELECTRIC—FOREIGN

      0.3 %      

Electricite de France SA, 6.00% to 1/29/26, Series EMTN (France)(g),(h),(k)

 

     2,500,000        2,184,251  

Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(h)

 

     3,000,000        2,856,312  
       

 

 

  
          5,040,563  
       

 

 

  

FINANCIAL

      0.7 %      

CREDIT CARD

      0.1 %      

American Express Co., 3.55% to 9/15/26(g),(h)

        1,476,000        1,141,209  
       

 

 

  

INVESTMENT BANKER/BROKER

      0.6 %      

Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(g),(h)

 

     2,500,000        1,839,583  

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

 

     6,750,000        5,544,826  

 

7

 

 

                                                                       
                          Principal
Amount		      Value  

Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(g),(h)

 

   $ 2,550,000      $ 2,492,625  
       

 

 

  
          9,877,034  
       

 

 

  

TOTAL FINANCIAL

           11,018,243  
       

 

 

  

INDUSTRIALS

      0.2 %      

General Electric Co., 6.623% (3 Month US LIBOR + 3.33%), Series D (FRN)(a),(b),(g),(i)

 

     4,000,000        3,755,734  
       

 

 

  

INSURANCE

      1.5 %      

LIFE/HEALTH INSURANCE

      0.8 %      

Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52, 144A(h),(l)

 

     4,140,000        3,797,887  

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

 

     2,000,000        2,140,000  

Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(h)

 

     2,956,000        2,919,139  

Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(h)

 

     1,700,000        1,589,953  

Voya Financial, Inc., 6.125% to 9/15/23, Series A(g),(h)

 

     2,500,000        2,429,127  
       

 

 

  
          12,876,106  
       

 

 

  

LIFE/HEALTH INSURANCE—FOREIGN

      0.1 %      

Dai-ichi Life Insurance Co., Ltd./The, 4.00% to 7/24/26, 144A (Japan)(g),(h),(l)

 

     2,200,000        2,019,739  
       

 

 

  

MULTI-LINE—FOREIGN

      0.2 %      

Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48 (Switzerland)(h),(k)

 

     2,800,000        2,478,000  
       

 

 

  

PROPERTY CASUALTY

      0.2 %      

Markel Corp., 6.00% to 6/1/25(g),(h)

 

     2,650,000        2,575,356  
       

 

 

  

PROPERTY CASUALTY—FOREIGN

      0.2 %      

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

 

     4,052,000        3,930,789  
       

 

 

  

TOTAL INSURANCE

           23,879,990  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

      0.4 %      

Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(a),(h)

 

     5,710,000        3,966,794  

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

 

     3,354,000        3,199,163  
       

 

 

  
          7,165,957  
       

 

 

  

 

8

 

 

                                                                       
                          Principal
Amount		      Value  

OIL & GAS—FOREIGN

      0.2 %      

BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(g),(h)

 

   $ 2,750,000      $ 2,550,625  
       

 

 

  

PIPELINES

      0.3 %      

Energy Transfer LP, 6.50% to 11/15/26, Series H(g),(h)

 

     1,480,000        1,292,934  

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

 

     3,825,000        3,151,968  
       

 

 

  
          4,444,902  
       

 

 

  

PIPELINES—FOREIGN

      0.3 %      

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

 

     1,750,000        1,568,041  

Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(h)

 

     2,610,000        2,520,345  

Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(h)

 

     1,000,000        967,172  
       

 

 

  
          5,055,558  
       

 

 

  

REAL ESTATE

      2.1 %      

DIVERSIFIED

      0.1 %      

Spirit Realty LP, 3.40%, due 1/15/30

 

     1,840,000        1,497,209  
       

 

 

  

FINANCE

      0.6 %      

Boston Properties LP, 2.45%, due 10/1/33

 

     625,000        441,043  

Tanger Properties LP, 2.75%, due 9/1/31

 

     1,225,000        871,161  

VICI Properties LP, 5.125%, due 5/15/32

 

     2,675,000        2,377,044  

VICI Properties LP, 5.625%, due 5/15/52

 

     1,765,000        1,464,259  

VICI Properties LP / VICI Note Co Inc., 5.75%, due 2/1/27, 144A(l)

 

     5,050,000        4,769,447  
       

 

 

  
          9,922,954  
       

 

 

  

HEALTH CARE

      0.0 %      

Sabra Health Care LP, 3.20%, due 12/1/31

 

     500,000        368,056  
       

 

 

  

INDUSTRIALS

      0.2 %      

Agree LP, 4.80%, due 10/1/32

 

     1,250,000        1,116,386  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.875%, due 5/15/29, 144A(l)

 

     1,350,000        1,095,606  
       

 

 

  
          2,211,992  
       

 

 

  

OFFICE

      0.2 %      

Hudson Pacific Properties LP, 5.95%, due 2/15/28

 

     1,975,000        1,894,730  

Office Properties Income Trust, 2.40%, due 2/1/27

 

     1,350,000        973,887  

Vornado Realty LP, 2.15%, due 6/1/26

 

     1,050,000        879,892  
       

 

 

  
          3,748,509  
       

 

 

  

 

9

 

 

                                                                       
                          Principal
Amount		      Value  

RETAIL—FOREIGN

      0.6 %      

Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(h),(l)

 

   $ 4,300,000      $ 3,698,195  

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

 

     7,600,000        6,196,432  
       

 

 

  
          9,894,627  
       

 

 

  

SELF STORAGE

      0.1 %      

Life Storage LP, 4.00%, due 6/15/29

 

     2,700,000        2,387,424  
       

 

 

  

SHOPPING CENTERS

      0.3 %      

Kite Realty Group Trust, 4.75%, due 9/15/30

 

     6,112,000        5,320,645  
       

 

 

  

TOTAL REAL ESTATE

           35,351,416  
       

 

 

  

TELECOMMUNICATION—FOREIGN

      0.3 %      

Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(h),(k)

 

     5,500,000        5,233,800  
       

 

 

  

UTILITIES

      0.7 %      

ELECTRIC

      0.2 %      

NextEra Energy Capital Holdings, Inc., 5.00%, due 7/15/32

 

     1,575,000        1,505,974  

Sempra Energy, 4.125% to 1/1/27, due 4/1/52(h)

 

     3,000,000        2,364,681  
       

 

 

  
          3,870,655  
       

 

 

  

ELECTRIC—FOREIGN

      0.5 %      

Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(h)

        2,600,000        2,129,166  

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

        5,250,000        5,248,950  
       

 

 

  
          7,378,116  
       

 

 

  

TOTAL UTILITIES

           11,248,771  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$295,835,757)

 

        260,784,969  
       

 

 

  

CORPORATE BONDS

      1.5 %      

COMMUNICATIONS—TOWERS

      0.1 %      

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

 

     2,525,000        2,243,349  
       

 

 

  

FINANCIAL—INVESTMENT BANKER/BROKER

      0.1 %      

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 6/15/29, 144A(l)

 

     2,520,000        1,890,756  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES

      0.3 %      

AT&T, Inc., 2.875% to 3/2/25, Series B(g),(h)

 

     5,000,000        4,332,434  
       

 

 

  

 

10

 

 

                                                                       
                         

Principal

Amount

     Value  
    

 

 

    

 

 

  

REAL ESTATE

      1.0 %   

DIVERSIFIED

      0.2 %   

Necessity Retail REIT, Inc./The/ American Finance Operating Partner LP, 4.50%, due 9/30/28, 144A(a),(l)

 

   $ 4,600,000     $ 3,438,270  
      

 

 

  

FINANCE

      0.1 %   

Newmark Group, Inc., 6.125%, due 11/15/23

        2,000,000       1,973,144  
      

 

 

  

HEALTH CARE

      0.1 %   

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

        1,000,000       906,680  
      

 

 

  

NET LEASE

      0.5 %   

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27, 144A(l)

 

     1,500,000       1,172,077  

VICI Properties LP/VICI Note Co., Inc., 3.75%, due 2/15/27, 144A(l)

        2,763,000       2,425,720  

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

        3,616,000       3,027,442  

VICI Properties LP/VICI Note Co., Inc., 4.25%, due 12/1/26, 144A(l)

          2,525,000       2,282,345  
      

 

 

  
         8,907,584  
      

 

 

  

SHOPPING CENTERS—REGIONAL MALL

      0.1 %   

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.75%, due 5/15/26, 144A(a),(b),(l)

 

     1,800,000       1,629,642  
      

 

 

  

TOTAL REAL ESTATE

 

     16,855,320  
      

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$30,654,783)

 

     25,321,859  
      

 

 

  
           Ownership%*        
                    

PRIVATE REAL ESTATE—OFFICE

      1.7 %   

Legacy Gateway JV LLC, Plano, TX(c)

        56.5 %      27,994,944  
      

 

 

  

TOTAL PRIVATE REAL ESTATE
(Identified cost—$23,637,405)

 

     27,994,944  
      

 

 

  

 

11

 

 

                                                                       
                          Shares      Value  
    

 

 

     

 

 

  

SHORT-TERM INVESTMENTS

      3.3 %   

MONEY MARKET FUNDS

     

State Street Institutional Treasury Money Market Fund, Premier Class, 2.47%(m)

        55,386,046      $ 55,386,046  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$55,386,046)

 

      55,386,046  
       

 

 

  

PURCHASED OPTION CONTRACTS
(Premiums paid—$164,973)

      0.0 %         64,829  
       

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$2,143,538,986)

      142.3 %         2,354,233,485  

WRITTEN OPTION CONTRACTS
(Premiums received—$585,021)

      (0.1 )                                   (2,267,916 ) 

SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE

      (0.0 )         (125,000 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (42.2 )         (698,159,206 ) 
  

 

 

       

 

 

  

NET ASSETS (Equivalent to $12.31 per share based on 134,332,953 shares of common stock outstanding)

      100.0 %       $ 1,653,681,363  
  

 

 

       

 

 

  

 

12

 

 

Exchange-Traded Option Contracts

 

Purchased Options                                        
Description  

Exercise

Price

  

Expiration

Date

    

Number of

Contracts

    

Notional

Amount(n)

    

Premiums

Paid

     Value  

Call—Prologis, Inc.

   $140.00     10/21/22       447     $ 4,541,520     $ 60,984     $ 1,109  

Call—American Tower Corp.

   240.00     11/18/22       216       4,637,520       103,989       63,720  
    663     $ 9,179,040     $ 164,973     $ 64,829  
   
Written Options                                        
Description  

Exercise

Price

  

Expiration

Date

    

Number of

Contracts

    

Notional

Amount(n)

    

Premiums

Received

     Value  

Call—Prologis, Inc.

   $145.00     10/21/22       (894 )    $ (9,083,040 )    $ (52,361 )    $ (1,422 ) 

Call—American Tower Corp.

   250.00     11/18/22       (432 )      (9,275,040 )      (108,460 )      (62,640 ) 

Call—Public Storage

   320.00     12/16/22       (168 )      (4,919,208 )      (94,720 )      (120,204 ) 

Put—Digital Realty Trust Inc.

   110.00     10/21/22       (566 )      (5,613,588 )      (111,871 )      (704,670 ) 

Put—Prologis, Inc.

   110.00     10/21/22       (851 )      (8,646,160 )      (123,642 )      (814,390 ) 

Put—Welltower, Inc.

   72.50     10/21/22       (680 )      (4,373,760 )      (93,967 )      (564,590 ) 
    (3,591 )    $ (41,910,796 )    $ (585,021 )    $ (2,267,916 ) 
   

Centrally Cleared Interest Rates

 

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       0.670%     Monthly   3.014%(o)   Monthly   9/15/25   $ 19,353,347     $ —     $ 19,353,347  
  69,000,000       1.280%     Monthly   2.656%(o)   Monthly   2/3/26     6,074,036       (8,367 )      6,065,669  
  115,000,000       0.762%     Monthly   2.818%(o)   Monthly   9/15/26     13,721,869       —       13,721,869  
  190,000,000       1.237% (p)    Monthly   1 Month LIBOR(p)   Monthly   9/15/27     21,827,846       —       21,827,846  
     
            $ 60,977,098     $ (8,367 )    $ 60,968,731  
     

The total amount of all interest rate swap contracts as presented in the table above are representative of the volume of activity for this derivative type during the nine months ended September 30, 2022.

 

13

 

 

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts

to Deliver

     

In Exchange

For

     

Settlement

Date

   

Unrealized

Appreciation

(Depreciation)

  

Brown Brothers Harriman

    EUR      4,597,423      USD      4,630,984      10/4/22    $ 125,279  

Brown Brothers Harriman

    GBP      2,257,576      USD      2,624,974      10/4/22      104,278  

Brown Brothers Harriman

    USD        4,500,877      EUR        4,597,423      10/4/22      4,828  

Brown Brothers Harriman

    USD      148,837      GBP      138,646      10/4/22      5,968  

Brown Brothers Harriman

    USD      2,357,860      GBP      2,118,930      10/4/22      8,031  

Brown Brothers Harriman

    EUR      4,477,113      USD      4,391,452      11/2/22      (5,097 ) 

Brown Brothers Harriman

    GBP      1,995,929      USD      2,222,188      11/2/22      (7,767 ) 

 

  
                  $         235,520  

 

  

Glossary of Portfolio Abbreviations

 

EMTN    Euro Medium Term Note
EUR    Euro Currency
FRN    Floating Rate Note
GBP    Great British Pound
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.

*

Ownership % represents the Fund’s contractual ownership in the joint venture prior to the impact of promote structures. Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.

(a)

All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $1,444,537,125 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. $640,017,443 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. $27,819,136 in aggregate has been pledged as collateral.

(f)

Restricted security. Aggregate holdings equal 0.7% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $8,757,813. Security value is determined based on significant unobservable inputs (Level 3).

(g)

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

 

14

 

 

(h)

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

(i)

Variable rate. Rate shown is in effect at September 30, 2022.

(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 $64,537,136 which represents 3.9% of the net assets of the Fund (2.7% of the managed assets of the Fund).

(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 $15,692,850 which represents 1.0% of the net assets of the Fund, of which 0.0% are illiquid.

(l)

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 $76,729,270 which represents 4.6% 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)

Based on 1-Month LIBOR. Represents rate in effect at September 30, 2022.

(p)

Represents a forward-starting interest rate swap contract with interest receipts and payments commencing on December 24, 2022 (effective date).

 

15

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED 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 by a third-party pricing service. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of 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 Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment manager in the determination of the Fund’s fair value of private real estate investments held by the REIT Subsidiary. Limited scope appraisals are prepared on a monthly basis and typically include a limited comparable sales and a full discounted cash flow analysis. Annually, a full scope, detailed appraisal report is completed which typically includes market analysis, cost approach, sales comparison approach and an income approach containing a discounted cash flow analysis. The full scope report is prepared by a third-party appraisal firm. The investment manager, including through communication with the Independent Valuation Advisor, monitors for material events that the investment manager believes may be expected to have a material impact on the most recent estimated fair values of such private real estate investments. However, rapidly changing market

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

conditions or material events may not be immediately reflected in the Fund’s or REIT Subsidiary’s daily NAV. The investment manager, in conjunction with the Independent Valuation Advisor, values the private real estate investments using the valuation methodology it deems most appropriate and consistent with industry best practices and market conditions. The investment manager expects the primary methodology used to value private real estate investments will be the income approach. Consistent with industry practices, the income approach incorporates actual contractual lease income, professional judgments regarding comparable rental and operating expense data, the capitalization or discount rate and projections of future rent and expenses based on appropriate market evidence, and other subjective factors. Other methodologies that may also be used to value properties include, among other approaches, sales comparisons and cost approaches. Private real estate appraisals are reported on a free and clear basis (i.e. any property-level indebtedness that may be in place is not incorporated into the valuation). Property level debt is valued separately in accordance with GAAP.

The 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,

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

 

  •  

Level 1 — quoted prices in active markets for identical investments

  •  

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

  •  

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

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

The following is a summary of the inputs used as of September 30, 2022 in valuing the Fund’s investments carried at value:

 

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

Common Stock:

           

Real Estate—Diversified—Foreign

    $ —      $ —      $ 0 (a)   $ 0  

Real Estate—Industrials

      245,730,421        —        11,246,174 (b)     256,976,595  

Other Industries

      1,530,631,861        —        —       1,530,631,861  

Preferred Securities—$25 Par Value

      197,072,382        —        —       197,072,382  

Preferred Securities—Capital Securities

      —        260,784,969        —       260,784,969  

Corporate Bonds

      —        25,321,859        —       25,321,859  

Private Real Estate—Office

      —        —        27,994,944 (c)     27,994,944  

Short-Term Investments

      —        55,386,046        —       55,386,046  

Purchased Option Contracts

      63,720        1,109        —       64,829  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments in Securities(d)

    $ 1,973,498,384      $ 341,493,983      $ 39,241,118     $ 2,354,233,485  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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

Interest Rate Swap Contracts

    $ —     $ 60,968,731     $ —      $ 60,968,731  

Forward Foreign Currency Exchange Contracts

      —       248,384       —        248,384  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Derivative Assets(d)

    $ —     $ 61,217,115     $ —      $ 61,217,115  
  

 

 

    

 

 

    

 

 

     

 

 

  

Written Option Contracts

    $ (767,310 )    $ (1,500,606 )    $ —      $ (2,267,916 ) 

Forward Foreign Currency Exchange Contracts

      —       (12,864 )      —        (12,864 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Derivative Liabilities(d)

    $ (767,310 )    $ (1,513,470 )    $ —      $ (2,280,780 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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)

Private Real Estate, where observable inputs are limited, has been fair valued by the Valuation Committee, pursuant to the Fund’s fair value procedures and classified as Level 3 security. See Note 1 – Portfolio Valuation.

(d)

Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.

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

 

     Common Stock—
Real Estate—
Industrials		      Private
Real Estate—
Office		  

Balance as of December 31, 2021

    $ 14,310,333      $ —  

Purchases

      —        51,112,025  

Return of capital distribution

      —        (27,474,620 ) 

Change in unrealized appreciation (depreciation)

      (3,064,159 )       4,357,539  
  

 

 

     

 

 

  

Balance as of September 30, 2022

    $ 11,246,174      $ 27,994,944  
  

 

 

     

 

 

  

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2022 which were valued using significant unobservable inputs (Level 3) amounted to $1,293,380.

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, 2022		     

Valuation

Technique

   

Unobservable Inputs

   

Amount

   

Valuation Impact

from an Increase

in Input(a)

Common Stock—
Real Estate—
Industrials

    $ 11,246,174      Market
Comparable
Companies		    Enterprise Value/
EBITDA(b) Multiple Liquidity Discount		    21.3x
15%		    Increase
Decrease

Private Real
Estate —
Office

    $ 27,994,944      Discounted
Cash Flow		    Discount Rate
Terminal
Capitalization Rate		   

7.0%

 

6.0%

    Decrease

Decrease

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

 

(a)

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

(b)

Earnings Before Interest, Taxes, Depreciation and Amortization.

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

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

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying 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 CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under its credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the Fund’s shares as a result of the floating rate structure of interest owed pursuant to the credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the credit agreement, the 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 Consolidated Schedule of Investments and cash deposited is recorded as cash collateral pledged for interest rate swap contracts. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin on interest rate swap contracts. Any upfront payments paid or received upon entering into a swap agreement would be recorded as assets or liabilities, respectively, 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 Consolidated Schedule of Investments. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the nine months ended September 30, 2022:

 

                                                              
     Purchased  Option
Contracts(a),(b)		      Written  Option
Contracts(a),(b)		      Forward Foreign
Currency
Exchange
Contracts		  

Average Notional Amount

    $ 7,623,517      $ 57,223,801      $ 8,469,789  

 

(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 seven 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.