COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
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Shares |
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Value |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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13.3 |
% |
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| BANKING |
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4.2 |
% |
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| Citigroup, Inc., 7.125% to 12/30/23, Series J(a),(b),(c) |
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8,091 |
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$ |
207,615 |
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| Goldman Sachs Group, Inc./The, 6.297% (3 Month US LIBOR + 0.93%, Floor 4.00%), Series
D(a),(c),(d) |
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73,404 |
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1,617,090 |
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| Morgan Stanley, 6.27% (3 Month US LIBOR + 0.96%, Floor
4.00%),
Series A(a),(c),(d) |
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365,551 |
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7,910,524 |
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| Regions Financial Corp., 5.70% to 5/15/29, Series C(a),(b),(c) |
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87,831 |
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1,721,488 |
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| Regions Financial Corp., 6.375% to 9/15/24, Series B(a),(b),(c) |
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90,000 |
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2,106,900 |
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| U.S. Bancorp, 6.17% (3 Month US LIBOR + 0.86%, Floor 3.50%), Series
B(a),(c),(d) |
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350,657 |
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6,620,404 |
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| U.S. Bancorp, 6.59% (3 Month US LIBOR + 1.28%, Floor 3.50%), Series
A(a),(c),(d) |
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4,711 |
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3,618,048 |
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23,802,069 |
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| CONSUMER STAPLE PRODUCTS |
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0.8 |
% |
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| CHS, Inc., 6.75% to 9/30/24, Series 3(a),(b) |
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129,600 |
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3,243,888 |
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| CHS, Inc., 7.10% to 3/31/24, Series 2(a),(b) |
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38,176 |
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973,488 |
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4,217,376 |
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| FINANCIAL SERVICES |
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1.3 |
% |
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| Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53(b),(c),(e) |
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152,800 |
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4,001,832 |
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| Oaktree Capital Group LLC, 6.55%, Series B(a),(c) |
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99,985 |
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2,107,684 |
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| Oaktree Capital Group LLC, 6.625%, Series A(a),(c) |
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58,741 |
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1,250,596 |
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7,360,112 |
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| INDUSTRIAL SERVICES |
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1.6 |
% |
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| WESCO International, Inc., 10.625% to 6/22/25, Series A(a),(b) |
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351,462 |
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9,282,111 |
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| INSURANCE |
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2.1 |
% |
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| Allstate Corp./The, 8.735% (3 Month US Term SOFR + 3.430%), due
1/15/53(c),(d) |
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44,509 |
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1,146,552 |
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| Athene Holding Ltd., 6.35% to 6/30/29, Series A(a),(b),(c) |
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68,967 |
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1,493,135 |
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| Athene Holding Ltd., 6.375% to 6/30/25, Series C(a),(b),(c) |
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95,543 |
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2,297,809 |
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| Athene Holding Ltd., 7.75% to 12/30/27, Series E(a),(b),(c) |
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135,151 |
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3,393,642 |
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| Lincoln National Corp., 9.00%, Series D(a),(c) |
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103,308 |
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2,740,761 |
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| Reinsurance Group of America, Inc., 7.125% to 10/15/27, due 10/15/52(b),(c) |
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23,508 |
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614,499 |
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11,686,398 |
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1
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Shares |
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Value |
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| PIPELINES |
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2.5 |
% |
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| Enbridge, Inc., 3.94% to 3/1/25, Series 11 (Canada)(a),(b),(c) |
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86,582 |
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$ |
921,119 |
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| Energy Transfer LP, 7.60% to 5/15/24, Series E(a),(b),(c) |
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325,007 |
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7,939,921 |
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| Energy Transfer LP, 10.156% to 10/30/23, Series C(a),(b),(c) |
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25,910 |
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660,705 |
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| Energy Transfer LP, 10.364% to 10/30/23, Series D(a),(b),(c) |
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90,884 |
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2,335,719 |
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| TC Energy Corp., 3.903% to 4/30/24, Series 7 (Canada)(a),(b),(c) |
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205,086 |
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2,352,468 |
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14,209,932 |
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| TELECOMMUNICATIONS |
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0.3 |
% |
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| United States Cellular Corp., Senior Debt, 5.50%, due 3/1/70(c) |
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63,904 |
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1,051,860 |
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| United States Cellular Corp., Senior Debt, 5.50%, due 6/1/70(c) |
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50,965 |
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831,239 |
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1,883,099 |
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| UTILITIES |
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0.5 |
% |
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| NiSource, Inc., 6.50% to 3/15/24, Series B(a),(b),(c) |
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27,953 |
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701,620 |
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| SCE Trust V, 5.45% to 3/15/26, Series K (TruPS)(a),(b),(c) |
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99,076 |
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2,169,765 |
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2,871,385 |
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| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$78,300,186) |
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75,312,482 |
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Principal
Amount |
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| PREFERRED
SECURITIES—OVER-THE-COUNTER |
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136.7 |
% |
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| BANKING |
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88.3 |
% |
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| Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(a),(b),(f),(g) |
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$ |
2,200,000 |
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2,081,516 |
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| AIB Group PLC, 6.25% to 6/23/25 (Ireland)(a),(b),(c),(f),(g) |
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3,800,000 |
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3,827,444 |
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| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9
(Spain)(a),(b),(c),(g) |
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4,600,000 |
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4,319,617 |
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| Banco BPM SpA, 7.00% to 4/12/27 (Italy)(a),(b),(c),(f),(g) |
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800,000 |
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755,258 |
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| Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(a),(b),(c),(f),(g) |
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1,200,000 |
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1,095,332 |
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| Banco de Sabadell SA, 9.375% to 7/18/28 (Spain)(a),(b),(c),(f),(g) |
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2,200,000 |
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2,274,616 |
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| Banco Mercantil del Norte SA/Grand Cayman, 6.625% to
1/24/32
(Mexico)(a),(b),(g),(h) |
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2,200,000 |
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1,727,550 |
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| Bank of America Corp., 4.375% to 1/27/27, Series RR(a),(b),(c) |
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3,628,000 |
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3,049,511 |
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| Bank of America Corp., 5.875% to 3/15/28, Series FF(a),(b),(c) |
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3,177,000 |
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2,886,024 |
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| Bank of America Corp., 6.10% to 3/17/25, Series AA(a),(b),(c) |
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8,395,000 |
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8,241,670 |
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| Bank of America Corp., 6.125% to 4/27/27, Series TT(a),(b),(c) |
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2,455,000 |
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2,358,329 |
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2
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Principal
Amount |
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Value |
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| Bank of America Corp., 6.25% to 9/5/24, Series X(a),(b),(c) |
|
$ |
5,834,000 |
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$ |
5,754,267 |
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| Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(b),(c) |
|
|
3,296,000 |
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3,283,176 |
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| Bank of America Corp., 8.806% (3 Month US Term SOFR +
3.40%),
Series U(a),(c),(d) |
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|
6,000,000 |
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|
6,002,589 |
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| Bank of Ireland Group PLC, 6.00% to 9/1/25 (Ireland)(a),(b),(f),(g) |
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|
1,800,000 |
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|
1,812,037 |
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| Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(a),(b),(f),(g) |
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|
3,800,000 |
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|
3,955,997 |
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| Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(a),(b),(c) |
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|
536,000 |
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|
436,086 |
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| Bank of New York Mellon Corp./The, 4.625% to 9/20/26, Series F(a),(b),(c) |
|
|
1,464,000 |
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|
1,320,568 |
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| Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(a),(b),(c) |
|
|
5,985,000 |
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|
5,488,939 |
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| Bank of Nova Scotia/The, 8.625% to 10/27/27, due 10/27/82 (Canada)(b),(c) |
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|
3,800,000 |
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|
3,799,319 |
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| Barclays Bank PLC, 6.278% to 12/15/34, Series 1 (United Kingdom)(a),(b),(c) |
|
|
2,900,000 |
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|
2,769,581 |
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| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(a),(b),(c),(g) |
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|
6,400,000 |
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|
5,802,867 |
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| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(a),(b),(g) |
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|
1,200,000 |
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|
1,368,744 |
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| Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(a),(b),(c),(g) |
|
|
3,000,000 |
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|
2,957,192 |
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| Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(a),(b),(c),(g) |
|
|
6,400,000 |
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|
5,759,626 |
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| Barclays PLC, 8.875% to 9/15/27 (United Kingdom)(a),(b),(f),(g) |
|
|
2,600,000 |
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|
2,945,760 |
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| BNP Paribas SA, 4.625% to 1/12/27 (France)(a),(b),(g),(h) |
|
|
5,000,000 |
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|
4,036,211 |
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| BNP Paribas SA, 4.625% to 2/25/31 (France)(a),(b),(g),(h) |
|
|
5,800,000 |
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|
4,132,940 |
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| BNP Paribas SA, 7.00% to 8/16/28 (France)(a),(b),(g),(h) |
|
|
3,000,000 |
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|
2,756,490 |
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| BNP Paribas SA, 7.375% to 8/19/25 (France)(a),(b),(g),(h) |
|
|
5,800,000 |
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|
5,686,811 |
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| BNP Paribas SA, 7.75% to 8/16/29 (France)(a),(b),(g),(h) |
|
|
11,400,000 |
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|
10,850,114 |
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| BNP Paribas SA, 8.50% to 8/14/28 (France)(a),(b),(g),(h) |
|
|
4,800,000 |
|
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|
4,707,948 |
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| BNP Paribas SA, 9.25% to 11/17/27 (France)(a),(b),(g),(h) |
|
|
4,200,000 |
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|
|
4,307,436 |
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| CaixaBank SA, 5.875% to 10/9/27 (Spain)(a),(b),(f),(g) |
|
|
800,000 |
|
|
|
761,654 |
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| CaixaBank SA, 6.75% to 6/13/24 (Spain)(a),(b),(f),(g) |
|
|
1,200,000 |
|
|
|
1,259,185 |
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| CaixaBank SA, 8.25% to 3/13/29 (Spain)(a),(b),(f),(g) |
|
|
3,400,000 |
|
|
|
3,527,100 |
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| Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(a),(b),(c) |
|
|
12,948,000 |
|
|
|
10,830,441 |
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| Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(a),(b) |
|
|
9,684,000 |
|
|
|
6,844,855 |
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| Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(a),(b),(c) |
|
|
5,353,000 |
|
|
|
5,169,542 |
|
| Citigroup, Inc., 3.875% to 2/18/26, Series X(a),(b) |
|
|
10,362,000 |
|
|
|
8,868,241 |
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| Citigroup, Inc., 4.00% to 12/10/25, Series W(a),(b) |
|
|
3,388,000 |
|
|
|
2,972,127 |
|
| Citigroup, Inc., 5.00% to 9/12/24, Series U(a),(b) |
|
|
1,544,000 |
|
|
|
1,463,975 |
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| Citigroup, Inc., 5.95% to 5/15/25, Series P(a),(b) |
|
|
7,544,000 |
|
|
|
7,207,470 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(a),(b) |
|
|
2,618,000 |
|
|
|
2,525,741 |
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3
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| |
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Principal
Amount |
|
|
Value |
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| Citigroup, Inc., 7.625% to 11/15/28(a),(b) |
|
$ |
6,476,000 |
|
|
$ |
6,334,189 |
|
| Citigroup, Inc., 9.699% (3 Month US Term SOFR + 4.33%), Series 0(a),(d) |
|
|
910,000 |
|
|
|
910,117 |
|
| Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(a),(b) |
|
|
1,977,000 |
|
|
|
1,810,828 |
|
| CoBank ACB, 6.25% to 10/1/26, Series I(a),(b),(c) |
|
|
5,755,000 |
|
|
|
5,492,593 |
|
| CoBank ACB, 6.45% to 10/1/27, Series K(a),(b),(c) |
|
|
2,300,000 |
|
|
|
2,178,183 |
|
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(a),(b),(f),(g) |
|
|
3,400,000 |
|
|
|
3,065,579 |
|
| Credit Agricole SA, 4.00% to 12/23/27 (France)(a),(b),(c),(f),(g) |
|
|
1,100,000 |
|
|
|
994,954 |
|
| Credit Agricole SA, 4.75% to 3/23/29 (France)(a),(b),(g),(h) |
|
|
5,000,000 |
|
|
|
3,811,023 |
|
| Credit Agricole SA, 6.875% to 9/23/24 (France)(a),(b),(c),(g),(h) |
|
|
4,500,000 |
|
|
|
4,397,390 |
|
| Credit Agricole SA, 7.25% to 9/23/28, Series EMTN (France)(a),(b),(c),(f),(g) |
|
|
2,400,000 |
|
|
|
2,499,370 |
|
| Credit Agricole SA, 7.875% to 1/23/24 (France)(a),(b),(c),(g),(h) |
|
|
2,200,000 |
|
|
|
2,188,670 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(a),(b),(c),(g),(h) |
|
|
3,150,000 |
|
|
|
3,136,597 |
|
| Credit Suisse Group AG, 5.25% to 2/11/27, Claim
(Switzerland)(a),(e),(g),(h),(i) |
|
|
1,400,000 |
|
|
|
133,000 |
|
| Credit Suisse Group AG, 6.375% to 8/21/26, Claim
(Switzerland)(a),(e),(g),(h),(i) |
|
|
4,300,000 |
|
|
|
408,500 |
|
| Credit Suisse Group AG, 7.25% to 9/12/25, Claim
(Switzerland)(a),(e),(g),(h),(i) |
|
|
2,800,000 |
|
|
|
266,000 |
|
| Credit Suisse Group AG, 7.50%, Claim (Switzerland)(a),(e),(g),(h),(i) |
|
|
7,800,000 |
|
|
|
741,000 |
|
| Danske Bank A/S, 7.00% to 6/26/25 (Denmark)(a),(b),(f),(g) |
|
|
1,847,000 |
|
|
|
1,761,576 |
|
| Deutsche Bank AG, 6.00% to 10/30/25, Series 2020 (Germany)(a),(b),(g) |
|
|
5,200,000 |
|
|
|
4,084,551 |
|
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(a),(b),(g) |
|
|
3,600,000 |
|
|
|
3,160,281 |
|
| Deutsche Bank AG, 10.00% to 12/1/27 (Germany)(a),(b),(f),(g) |
|
|
3,600,000 |
|
|
|
3,775,918 |
|
| Dresdner Funding Trust I, 8.151%, due 6/30/31 (TruPS)(h) |
|
|
1,630,280 |
|
|
|
1,736,411 |
|
| Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4(a),(b),(h) |
|
|
4,275,000 |
|
|
|
4,018,243 |
|
| Farm Credit Bank of Texas, 9.681% (3 Month US LIBOR + 4.01%)(a),(d),(h) |
|
|
14,168 |
† |
|
|
1,418,571 |
|
| Fifth Third Bancorp, 8.689% (3 Month US Term SOFR + 3.29%), Series H(a),(d) |
|
|
3,377,000 |
|
|
|
3,224,432 |
|
| First Citizens BancShares, Inc., 9.643% (3 Month US Term SOFR + 4.23%),
Series B(a),(d) |
|
|
5,674,000 |
|
|
|
5,782,129 |
|
| First Horizon Bank, 6.393% (3 Month US LIBOR +
1.11%,
Floor 3.75%)(a),(c),(d),(h) |
|
|
14,750 |
† |
|
|
9,862,781 |
|
| Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS) |
|
|
2,540,000 |
|
|
|
2,498,476 |
|
| Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series U(a),(b) |
|
|
2,695,000 |
|
|
|
2,179,127 |
|
| Goldman Sachs Group, Inc./The, 7.50% to 2/10/29, Series W(a),(b) |
|
|
4,728,000 |
|
|
|
4,684,779 |
|
4
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, Series
2
(United Kingdom)(a),(b),(h) |
|
$ |
4,285,000 |
|
|
$ |
5,244,390 |
|
| HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(a),(b),(g) |
|
|
3,300,000 |
|
|
|
2,502,028 |
|
| HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(a),(b),(c),(g) |
|
|
1,000,000 |
|
|
|
891,601 |
|
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a),(b),(c),(g) |
|
|
3,900,000 |
|
|
|
3,751,723 |
|
| HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(a),(b),(c),(g) |
|
|
2,000,000 |
|
|
|
1,807,773 |
|
| HSBC Holdings PLC, 6.547% to 6/20/33, due 6/20/34 (United Kingdom)(b),(c) |
|
|
2,800,000 |
|
|
|
2,658,005 |
|
| HSBC Holdings PLC, 8.00% to 3/7/28 (United Kingdom)(a),(b),(c),(g) |
|
|
4,800,000 |
|
|
|
4,738,930 |
|
| Huntington Bancshares, Inc., 8.45% (3 Month US Term SOFR +
3.14%),
Series E(a),(d) |
|
|
5,500,000 |
|
|
|
4,965,555 |
|
| Huntington Bancshares, Inc./OH., 4.45% to 10/15/27, Series G(a),(b) |
|
|
1,085,000 |
|
|
|
880,340 |
|
| Huntington Bancshares, Inc./OH., 5.625% to 7/15/30, Series F(a),(b) |
|
|
2,553,000 |
|
|
|
2,258,803 |
|
| ING Groep N.V., 4.25% to 5/16/31, Series NC10 (Netherlands)(a),(b),(g) |
|
|
3,400,000 |
|
|
|
2,200,468 |
|
| ING Groep N.V., 4.875% to 5/16/29 (Netherlands)(a),(b),(f),(g) |
|
|
3,400,000 |
|
|
|
2,566,837 |
|
| ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(a),(b),(g) |
|
|
6,600,000 |
|
|
|
5,850,214 |
|
| ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(a),(b),(g) |
|
|
5,600,000 |
|
|
|
5,285,295 |
|
| ING Groep N.V., 6.75% to 4/16/24 (Netherlands)(a),(b),(f),(g) |
|
|
1,600,000 |
|
|
|
1,573,661 |
|
| ING Groep N.V., 7.50% to 5/16/28 (Netherlands)(a),(b),(f),(g) |
|
|
2,700,000 |
|
|
|
2,482,218 |
|
| Intesa Sanpaolo SpA, 5.875% to 9/1/31, Series EMTN (Italy)(a),(b),(f),(g) |
|
|
1,000,000 |
|
|
|
851,737 |
|
| Intesa Sanpaolo SpA, 6.375% to 3/30/28 (Italy)(a),(b),(f),(g) |
|
|
400,000 |
|
|
|
367,500 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(a),(b),(g),(h) |
|
|
5,400,000 |
|
|
|
5,076,307 |
|
| Intesa Sanpaolo SpA, 9.125% to 9/7/29 (Italy)(a),(b),(f),(g) |
|
|
2,200,000 |
|
|
|
2,355,025 |
|
| JPMorgan Chase & Co., 3.65% to 6/1/26, Series KK(a),(b),(c) |
|
|
4,177,000 |
|
|
|
3,656,286 |
|
| JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(a),(b),(c) |
|
|
561,000 |
|
|
|
526,212 |
|
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(a),(b),(c) |
|
|
4,158,000 |
|
|
|
4,111,636 |
|
| JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(a),(b),(c) |
|
|
2,301,000 |
|
|
|
2,287,711 |
|
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(b),(c) |
|
|
3,387,000 |
|
|
|
3,388,439 |
|
| JPMorgan Chase & Co., 8.884% (3 Month US Term SOFR + 3.51%),
Series
Q(a),(c),(d) |
|
|
904,000 |
|
|
|
906,857 |
|
| JPMorgan Chase & Co., 8.934% (3 Month US Term SOFR + 3.56%),
Series
R(a),(c),(d) |
|
|
7,000,000 |
|
|
|
7,041,244 |
|
5
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Principal
Amount |
|
|
Value |
|
| Julius Baer Group Ltd., 6.875% to 6/9/27 (Switzerland)(a),(b),(c),(f),(g) |
|
$ |
2,200,000 |
|
|
$ |
1,946,274 |
|
| KeyCorp Capital III, 7.75%, due 7/15/29 (TruPS) |
|
|
2,000,000 |
|
|
|
1,814,316 |
|
| Lloyds Banking Group PLC, 6.75% to 6/27/26 (United Kingdom)(a),(b),(g) |
|
|
1,000,000 |
|
|
|
920,601 |
|
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(b),(g) |
|
|
2,650,000 |
|
|
|
2,588,429 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(a),(b),(g) |
|
|
4,600,000 |
|
|
|
4,309,171 |
|
| Lloyds Banking Group PLC, 8.00% to 9/27/29 (United Kingdom)(a),(b),(g) |
|
|
3,300,000 |
|
|
|
2,966,589 |
|
| M&T Bank Corp., 3.50% to 9/1/26, Series I(a),(b) |
|
|
626,000 |
|
|
|
441,793 |
|
| M&T Bank Corp., 5.125% to 11/1/26, Series F(a),(b) |
|
|
3,206,000 |
|
|
|
2,638,025 |
|
| Mellon Capital IV, 6.225% (3 Month US LIBOR + 0.83%, Floor 4.00%), Series 1
(TruPS)(a),(c),(d) |
|
|
2,967,000 |
|
|
|
2,340,885 |
|
| Natwest Group PLC, 4.60% to 6/28/31 (United Kingdom)(a),(b),(g) |
|
|
2,000,000 |
|
|
|
1,328,766 |
|
| Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(a),(b),(g) |
|
|
4,600,000 |
|
|
|
4,232,739 |
|
| Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(a),(b),(g) |
|
|
6,600,000 |
|
|
|
6,419,787 |
|
| Nordea Bank Abp, 6.625% to 3/26/26 (Finland)(a),(b),(c),(g),(h) |
|
|
2,600,000 |
|
|
|
2,440,340 |
|
| PNC Financial Services Group, Inc./The, 3.40% to 9/15/26, Series T(a),(b) |
|
|
3,775,000 |
|
|
|
2,802,082 |
|
| PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(a),(b),(c) |
|
|
1,443,000 |
|
|
|
1,268,951 |
|
| PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(a),(b),(c) |
|
|
4,850,000 |
|
|
|
4,469,300 |
|
| PNC Financial Services Group, Inc./The, 6.25% to 3/15/30, Series W(a),(b),(c) |
|
|
5,466,000 |
|
|
|
4,699,200 |
|
| PNC Financial Services Group, Inc./The, 9.312% (3 Month US Term SOFR + 3.94%), Series
O(a),(c),(d) |
|
|
8,720,000 |
|
|
|
8,728,772 |
|
| Regions Financial Corp., 5.75% to 6/15/25, Series D(a),(b) |
|
|
2,314,000 |
|
|
|
2,201,273 |
|
| Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27
(Sweden)(a),(b),(c),(f),(g) |
|
|
800,000 |
|
|
|
758,805 |
|
| Societe Generale SA, 5.375% to 11/18/30 (France)(a),(b),(g),(h) |
|
|
5,600,000 |
|
|
|
4,007,221 |
|
| Societe Generale SA, 6.75% to 4/6/28 (France)(a),(b),(g),(h) |
|
|
3,800,000 |
|
|
|
3,092,943 |
|
| Societe Generale SA, 7.875% to 1/18/29, Series EMTN (France)(a),(b),(f),(g) |
|
|
800,000 |
|
|
|
810,556 |
|
| Societe Generale SA, 8.00% to 9/29/25 (France)(a),(b),(g),(h) |
|
|
5,600,000 |
|
|
|
5,471,581 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(a),(b),(g),(h) |
|
|
5,000,000 |
|
|
|
4,911,831 |
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| Standard Chartered PLC, 4.30% to 8/19/28 (United Kingdom)(a),(b),(g),(h) |
|
|
$ |
1,200,000 |
|
|
$ |
874,465 |
|
| Standard Chartered PLC, 4.75% to 1/14/31 (United Kingdom)(a),(b),(g),(h) |
|
|
|
3,400,000 |
|
|
|
2,424,098 |
|
| Standard Chartered PLC, 7.75% to 8/15/27 (United Kingdom)(a),(b),(g),(h) |
|
|
|
1,200,000 |
|
|
|
1,165,125 |
|
| Swedbank AB, 7.625% to 3/17/28 (Sweden)(a),(b),(c),(f),(g) |
|
|
|
1,000,000 |
|
|
|
931,892 |
|
| Toronto-Dominion Bank/The, 8.125% to 10/31/27, due 10/31/82 (Canada)(b),(c) |
|
|
|
5,800,000 |
|
|
|
5,784,653 |
|
| Truist Financial Corp., 4.95% to 9/1/25, Series P(a),(b),(c) |
|
|
|
1,881,000 |
|
|
|
1,734,436 |
|
| Truist Financial Corp., 5.10% to 3/1/30, Series Q(a),(b),(c) |
|
|
|
4,672,000 |
|
|
|
4,017,742 |
|
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a),(b) |
|
|
|
2,965,000 |
|
|
|
2,285,126 |
|
| U.S. Bancorp, 3.70% to 1/15/27, Series N(a),(b) |
|
|
|
1,723,000 |
|
|
|
1,268,712 |
|
| U.S. Bancorp, 5.30% to 4/15/27, Series J(a),(b),(c) |
|
|
|
3,410,000 |
|
|
|
2,858,613 |
|
| UBS Group AG, 4.375% to 2/10/31 (Switzerland)(a),(b),(g),(h) |
|
|
|
4,200,000 |
|
|
|
3,019,478 |
|
| UBS Group AG, 4.875% to 2/12/27 (Switzerland)(a),(b),(g),(h) |
|
|
|
5,100,000 |
|
|
|
4,282,534 |
|
| UBS Group AG, 5.125% to 7/29/26 (Switzerland)(a),(b),(c),(f),(g) |
|
|
|
1,400,000 |
|
|
|
1,248,625 |
|
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(a),(b),(c),(f),(g) |
|
|
|
6,600,000 |
|
|
|
6,246,200 |
|
| UBS Group AG, 7.00% to 2/19/25 (Switzerland)(a),(b),(c),(f),(g) |
|
|
|
3,600,000 |
|
|
|
3,501,000 |
|
| UniCredit SpA, 8.00% to 6/3/24 (Italy)(a),(b),(f),(g) |
|
|
|
2,200,000 |
|
|
|
2,172,658 |
|
| USB Capital IX, 6.59% (3 Month US LIBOR + 1.28%, Floor 3.50%) (TruPS)(a),(d) |
|
|
|
5,243,000 |
|
|
|
3,875,121 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(a),(b) |
|
|
|
18,630,000 |
|
|
|
16,282,123 |
|
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(a),(b) |
|
|
|
3,713,000 |
|
|
|
3,650,175 |
|
| Wells Fargo & Co., 5.95%, due 12/15/36 |
|
|
|
2,893,000 |
|
|
|
2,754,450 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(a),(b) |
|
|
|
9,810,000 |
|
|
|
9,914,643 |
|
| Wells Fargo & Co., 7.95%, due 11/15/29, Series B |
|
|
|
445,000 |
|
|
|
473,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
499,139,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
2.3 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(a),(b),(c) |
|
|
|
5,000,000 |
|
|
|
4,780,702 |
|
| BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(a),(b),(c) |
|
|
|
9,154,000 |
|
|
|
8,207,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,987,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIAL SERVICES |
|
|
3.4 |
% |
|
|
|
|
|
|
|
|
| Aircastle Ltd., 5.25% to 6/15/26, Series A(a),(b),(h) |
|
|
|
6,480,000 |
|
|
|
5,127,933 |
|
| Ally Financial, Inc., 4.70% to 5/15/28, Series C(a),(b) |
|
|
|
4,132,000 |
|
|
|
2,597,773 |
|
| American Express Co., 3.55% to 9/15/26, Series D(a),(b) |
|
|
|
2,889,000 |
|
|
|
2,301,057 |
|
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50(b),(c),(h) |
|
|
|
2,036,000 |
|
|
|
1,835,521 |
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51(b),(h) |
|
|
$ |
3,290,000 |
|
|
$ |
2,501,593 |
|
| Charles Schwab Corp./The, 5.00% to 6/1/27, Series K(a),(b),(c) |
|
|
|
994,000 |
|
|
|
833,193 |
|
| Discover Financial Services, 6.125% to 6/23/25, Series D(a),(b),(c) |
|
|
|
910,000 |
|
|
|
876,935 |
|
| ILFC E-Capital Trust II, 7.459% (30 Year CMT +
1.80%), due 12/21/65
(TruPS)(d),(h) |
|
|
|
4,250,000 |
|
|
|
3,216,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,290,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTH CARE |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Bayer AG, 7.00% to 9/25/31, due 9/25/83 (Germany)(b),(f) |
|
|
|
700,000 |
|
|
|
733,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
17.5 |
% |
|
|
|
|
|
|
|
|
| Aegon NV, 5.50% to 4/11/28, due 4/11/48 (Netherlands)(b),(c) |
|
|
|
1,891,000 |
|
|
|
1,747,796 |
|
| Aegon NV, 5.625% to 4/15/29 (Netherlands)(a),(b),(f),(g) |
|
|
|
3,200,000 |
|
|
|
2,983,205 |
|
| Allianz SE, 3.50% to 11/17/25 (Germany)(a),(b),(c),(g),(h) |
|
|
|
4,000,000 |
|
|
|
3,303,144 |
|
| Allianz SE, 6.35% to 3/6/33, due 9/6/53 (Germany)(b),(c),(h) |
|
|
|
2,200,000 |
|
|
|
2,129,419 |
|
| Athora Netherlands NV, 7.00% to 6/19/25 (Netherlands)(a),(b),(f),(g) |
|
|
|
2,600,000 |
|
|
|
2,584,950 |
|
| AXA SA, 8.60%, due 12/15/30 (France)(c) |
|
|
|
1,290,000 |
|
|
|
1,505,826 |
|
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(b),(c) |
|
|
|
1,015,000 |
|
|
|
819,360 |
|
| CNP Assurances SACA, 4.875% to 10/7/30 (France)(a),(b),(f),(g) |
|
|
|
1,000,000 |
|
|
|
738,550 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(b),(c) |
|
|
|
4,630,000 |
|
|
|
4,445,801 |
|
| Dai-ichi Life Insurance Co., Ltd./The, 5.10%
to 10/28/24 (Japan)(a),(b),(c),(h) |
|
|
|
2,500,000 |
|
|
|
2,457,334 |
|
| Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(b),(c) |
|
|
|
3,635,000 |
|
|
|
2,901,324 |
|
| Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(b),(c) |
|
|
|
2,989,000 |
|
|
|
2,609,458 |
|
| Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(a),(b),(c) |
|
|
|
2,405,000 |
|
|
|
2,269,505 |
|
| Fukoku Mutual Life Insurance Co., 5.00% to 7/28/25 (Japan)(a),(b),(c),(f) |
|
|
|
2,400,000 |
|
|
|
2,329,200 |
|
| Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51(b),(h) |
|
|
|
3,230,000 |
|
|
|
2,343,770 |
|
| Hartford Financial Services Group, Inc./The, 7.751% (3 Month US Term SOFR + 2.390%),
due 2/12/47, Series ICON(c),(d),(h) |
|
|
|
9,885,000 |
|
|
|
8,415,743 |
|
| La Mondiale SAM, 5.875% to 1/26/27, due 1/26/47 (France)(b),(c),(f) |
|
|
|
2,200,000 |
|
|
|
2,074,908 |
|
| Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United
Kingdom)(b),(f) |
|
|
|
2,179,000 |
|
|
|
1,793,169 |
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| Liberty Mutual Group, Inc., 4.125% to 9/15/26, due 12/15/51(b),(h) |
|
|
$ |
1,954,000 |
|
|
$ |
1,609,637 |
|
| Lincoln National Corp., 9.25% to 12/1/27, Series C(a),(b),(c) |
|
|
|
2,134,000 |
|
|
|
2,203,338 |
|
| Markel Group, Inc., 6.00% to 6/1/25(a),(b) |
|
|
|
990,000 |
|
|
|
956,906 |
|
| MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS)(c),(h) |
|
|
|
6,080,000 |
|
|
|
6,304,516 |
|
| MetLife, Inc., 9.25%, due 4/8/38(c),(h) |
|
|
|
6,150,000 |
|
|
|
6,916,284 |
|
| Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(a),(b),(f),(g) |
|
|
|
2,150,000 |
|
|
|
1,935,860 |
|
| Prudential Financial, Inc., 5.125% to 11/28/31, due 3/1/52(b),(c) |
|
|
|
4,000,000 |
|
|
|
3,454,697 |
|
| Prudential Financial, Inc., 5.20% to 3/15/24, due 3/15/44(b),(c) |
|
|
|
2,511,000 |
|
|
|
2,460,926 |
|
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(b),(c) |
|
|
|
3,710,000 |
|
|
|
3,405,256 |
|
| Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53(b),(c) |
|
|
|
2,040,000 |
|
|
|
1,977,117 |
|
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN
(Australia)(b),(c),(f) |
|
|
|
4,800,000 |
|
|
|
4,583,175 |
|
| QBE Insurance Group Ltd., 5.875% to 5/12/25 (Australia)(a),(b),(c),(h) |
|
|
|
5,200,000 |
|
|
|
4,955,839 |
|
| Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United
Kingdom)(a),(b),(f),(g) |
|
|
|
2,400,000 |
|
|
|
1,786,080 |
|
| SBL Holdings, Inc., 6.50% to 11/13/26(a),(b),(h) |
|
|
|
3,090,000 |
|
|
|
1,764,655 |
|
| SBL Holdings, Inc., 7.00% to 5/13/25(a),(b),(h) |
|
|
|
3,805,000 |
|
|
|
2,331,299 |
|
| Swiss Re Finance Luxembourg SA, 5.00% to 4/2/29, due
4/2/49
(Switzerland)(b),(c),(h) |
|
|
|
2,200,000 |
|
|
|
2,068,957 |
|
| Zurich Finance Ireland Designated Activity Co., 3.00% to 1/19/31, due 4/19/51, Series
EMTN (Switzerland)(b),(f) |
|
|
|
3,800,000 |
|
|
|
2,913,289 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
99,080,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
11.1 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 5.50% to 7/15/27, due 7/15/77, Series
2017-A (Canada)(b),(c) |
|
|
|
1,000,000 |
|
|
|
874,286 |
|
| Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series
20-A (Canada)(b),(c) |
|
|
|
7,409,000 |
|
|
|
6,460,876 |
|
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series
16-A (Canada)(b),(c) |
|
|
|
4,534,000 |
|
|
|
4,158,903 |
|
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(b),(c) |
|
|
|
7,464,000 |
|
|
|
6,673,686 |
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(b),(c) |
|
|
|
2,422,000 |
|
|
|
2,309,300 |
|
| Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(b),(c) |
|
|
|
2,148,000 |
|
|
|
2,056,403 |
|
| Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada)(b),(c) |
|
|
|
5,080,000 |
|
|
|
4,985,804 |
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(b),(c) |
|
|
$ |
7,370,000 |
|
|
$ |
7,316,678 |
|
| Energy Transfer LP, 6.50% to 11/15/26, Series H(a),(b) |
|
|
|
4,320,000 |
|
|
|
3,980,233 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(a),(b) |
|
|
|
2,971,000 |
|
|
|
2,568,937 |
|
| Enterprise Products Operating LLC, 8.619% (3 Month US Term SOFR + 3.250%), due
8/16/77, Series D(c),(d) |
|
|
|
4,592,000 |
|
|
|
4,543,888 |
|
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(b) |
|
|
|
7,891,000 |
|
|
|
6,508,697 |
|
| Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(b) |
|
|
|
3,229,000 |
|
|
|
2,647,055 |
|
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(b) |
|
|
|
8,098,000 |
|
|
|
7,403,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,488,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REAL ESTATE |
|
|
1.8 |
% |
|
|
|
|
|
|
|
|
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(b),(c),(h) |
|
|
|
6,000,000 |
|
|
|
5,395,871 |
|
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(b),(c),(h) |
|
|
|
6,000,000 |
|
|
|
5,015,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,411,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS |
|
|
1.2 |
% |
|
|
|
|
|
|
|
|
| Telefonica Europe BV, 6.135% to 2/3/30 (Spain)(a),(b),(f) |
|
|
|
1,600,000 |
|
|
|
1,629,324 |
|
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(b) |
|
|
|
3,500,000 |
|
|
|
2,707,949 |
|
| Vodafone Group PLC, 6.50% to 5/30/29, due 8/30/84, Series EMTN (United
Kingdom)(b),(f) |
|
|
|
2,000,000 |
|
|
|
2,137,836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,475,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
11.0 |
% |
|
|
|
|
|
|
|
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82
(Canada)(b),(c) |
|
|
|
5,322,000 |
|
|
|
4,344,189 |
|
| CMS Energy Corp., 3.75% to 9/1/30, due 12/1/50(b) |
|
|
|
3,000,000 |
|
|
|
2,260,649 |
|
| CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(b) |
|
|
|
2,004,000 |
|
|
|
1,714,542 |
|
| Dominion Energy, Inc., 4.35% to 1/15/27, Series C(a),(b) |
|
|
|
4,631,000 |
|
|
|
4,021,616 |
|
| Dominion Energy, Inc., 4.65% to 12/15/24, Series B(a),(b) |
|
|
|
461,000 |
|
|
|
424,286 |
|
| Edison International, 5.00% to 12/15/26, Series B(a),(b) |
|
|
|
3,367,000 |
|
|
|
2,886,109 |
|
| Edison International, 5.375% to 3/15/26, Series A(a),(b) |
|
|
|
3,153,000 |
|
|
|
2,789,512 |
|
| Electricite de France SA, 7.50% to 9/6/28, Series EMTN
(France)(a),(b),(c),(f) |
|
|
|
2,400,000 |
|
|
|
2,588,516 |
|
| Electricite de France SA, 9.125% to 3/15/33 (France)(a),(b),(c),(h) |
|
|
|
2,400,000 |
|
|
|
2,506,166 |
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount |
|
|
Value |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(b) |
|
|
$ |
11,854,000 |
|
|
$ |
11,423,879 |
|
| Enel SpA, 6.375% to 4/16/28, Series EMTN (Italy)(a),(b),(c),(f) |
|
|
|
1,000,000 |
|
|
|
1,070,352 |
|
| Enel SpA, 6.625% to 4/16/31, Series EMTN (Italy)(a),(b),(c),(f) |
|
|
|
1,300,000 |
|
|
|
1,387,291 |
|
| NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(b),(c) |
|
|
|
2,698,000 |
|
|
|
2,497,919 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(b),(c) |
|
|
|
4,750,000 |
|
|
|
3,850,154 |
|
| Sempra, 4.875% to 10/15/25(a),(b) |
|
|
|
8,700,000 |
|
|
|
8,264,880 |
|
| Southern California Edison Co., 9.833% (3 Month US LIBOR +
4.199%),
Series E(a),(d) |
|
|
|
6,408,000 |
|
|
|
6,389,249 |
|
| Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series
21-A(b),(c) |
|
|
|
4,581,000 |
|
|
|
4,006,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,426,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$845,946,359) |
|
|
|
|
|
|
|
773,032,029 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CORPORATE BONDS |
|
|
0.6 |
% |
|
|
|
|
|
|
|
|
| BANKING |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Intesa Sanpaolo SpA, 8.248%, due 11/21/32 to 11/21/33 (Italy)(b),(c),(h) |
|
|
|
1,800,000 |
|
|
|
1,815,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Enel Finance America LLC, 7.10%, due 10/14/27 (Italy)(c),(h) |
|
|
|
800,000 |
|
|
|
828,014 |
|
| Enel Finance International NV, 7.50%, due 10/14/32 (Italy)(c),(h) |
|
|
|
800,000 |
|
|
|
854,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,682,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS
(Identified cost—$3,376,120) |
|
|
|
|
|
|
|
3,498,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Number of
Shares |
|
|
|
|
| SHORT-TERM INVESTMENTS |
|
|
2.0 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
| State Street Institutional Treasury Plus Money Market Fund, Premier Class,
5.29%(j) |
|
|
|
11,047,374 |
|
|
|
11,047,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$11,047,374) |
|
|
|
11,047,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$938,670,039) |
|
|
152.6 |
% |
|
|
|
|
|
|
862,890,302 |
|
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(52.6 |
) |
|
|
|
|
|
|
(297,469,810 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $19.44 per share based on 29,079,221 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
565,420,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11
Centrally Cleared Interest Rate Swap Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount |
|
|
Fixed
Rate Payable |
|
|
Fixed
Payment
Frequency |
|
Floating
Rate
Receivable
(resets
monthly)(k) |
|
|
Floating
Payment
Frequency |
|
Maturity Date |
|
|
Value |
|
|
Upfront
Receipts
(Payments) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
$ 85,000,000 |
|
|
|
0.548% |
|
|
Monthly |
|
|
5.424% |
|
|
Monthly |
|
|
9/15/25 |
|
|
$ |
7,323,824 |
|
|
$ |
15,684 |
|
|
$ |
7,339,508 |
|
| |
94,000,000 |
|
|
|
1.181% |
|
|
Monthly |
|
|
5.424% |
|
|
Monthly |
|
|
9/15/26 |
|
|
|
9,352,837 |
|
|
|
19,620 |
|
|
|
9,372,457 |
|
| |
90,000,000 |
|
|
|
0.930% |
|
|
Monthly |
|
|
5.424% |
|
|
Monthly |
|
|
9/15/27 |
|
|
|
11,951,571 |
|
|
|
19,386 |
|
|
|
11,970,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
28,628,232 |
|
|
$ |
54,690 |
|
|
$ |
28,682,922 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The total amount of all interest rate swap contracts as presented in the tables above are representative of
the volume of activity for this derivative type during the nine month period ended September 30, 2023.
Over-the-Counter Total Return Swap Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Notional
Amount |
|
|
Fixed
Payable Rate |
|
Fixed
Payment
Frequency |
|
|
Underlying
Reference
Entity |
|
Position |
|
Maturity Date |
|
|
Value |
|
|
Premiums
Paid |
|
|
Unrealized
Appreciaton
(Depreciaton) |
|
| BNP Paribas |
|
|
$ 7,508,312 |
|
|
0.25% |
|
|
Monthly |
|
|
BNPXCHY5 Index(l) |
|
Short |
|
|
5/15/24 |
|
|
$ |
40,162 |
|
|
$ |
— |
|
|
$ |
40,162 |
|
| BNP Paribas |
|
|
EUR 6,904,781 |
|
|
0.30% |
|
|
Monthly |
|
|
BNPXCEX5 Index(m) |
|
Short |
|
|
5/15/24 |
|
|
|
41,768 |
|
|
|
— |
|
|
|
41,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
81,930 |
|
|
$ |
— |
|
|
$ |
81,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Contracts
to Deliver |
|
|
In
Exchange For |
|
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
|
| Brown Brothers Harriman |
|
EUR |
|
|
47,651,135 |
|
|
USD |
|
|
51,710,059 |
|
|
10/3/23 |
|
$ |
1,330,892 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
3,580,192 |
|
|
USD |
|
|
4,535,065 |
|
|
10/3/23 |
|
|
166,873 |
|
| Brown Brothers Harriman |
|
USD |
|
|
50,436,820 |
|
|
EUR |
|
|
47,651,135 |
|
|
10/3/23 |
|
|
(57,654 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
4,373,455 |
|
|
GBP |
|
|
3,580,192 |
|
|
10/3/23 |
|
|
(5,263 |
) |
| Brown Brothers Harriman |
|
CAD |
|
|
660,654 |
|
|
USD |
|
|
484,816 |
|
|
10/4/23 |
|
|
(1,592 |
) |
| Brown Brothers Harriman |
|
CAD |
|
|
352,849 |
|
|
USD |
|
|
260,017 |
|
|
10/4/23 |
|
|
232 |
|
| Brown Brothers Harriman |
|
CAD |
|
|
293,687 |
|
|
USD |
|
|
218,037 |
|
|
10/4/23 |
|
|
1,810 |
|
| Brown Brothers Harriman |
|
CAD |
|
|
3,082,848 |
|
|
USD |
|
|
2,277,787 |
|
|
10/4/23 |
|
|
8,034 |
|
| Brown Brothers Harriman |
|
USD |
|
|
2,931,841 |
|
|
CAD |
|
|
3,969,097 |
|
|
10/4/23 |
|
|
(9,585 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
312,565 |
|
|
CAD |
|
|
420,941 |
|
|
10/4/23 |
|
|
(2,646 |
) |
| Brown Brothers Harriman |
|
CAD |
|
|
320,528 |
|
|
USD |
|
|
237,295 |
|
|
11/2/23 |
|
|
1,211 |
|
| Brown Brothers Harriman |
|
CAD |
|
|
3,998,203 |
|
|
USD |
|
|
2,954,301 |
|
|
11/2/23 |
|
|
9,434 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
46,501,008 |
|
|
USD |
|
|
49,276,653 |
|
|
11/2/23 |
|
|
52,809 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
3,540,669 |
|
|
USD |
|
|
4,325,625 |
|
|
11/2/23 |
|
|
4,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,499,412 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
Glossary of Portfolio Abbreviations
|
|
|
| CAD |
|
Canadian Dollar |
| CME |
|
Chicago Mercantile Exchange |
| EMTN |
|
Euro Medium Term Note |
| EUR |
|
Euro Currency |
| GBP |
|
British Pound |
| LIBOR |
|
London Interbank Offered Rate |
| OIS |
|
Overnight Indexed Swap |
| SOFR |
|
Secured Overnight Financing Rate |
| TruPS |
|
Trust Preferred Securities |
| USD |
|
United States Dollar |
Note: Percentages indicated are based on the net assets of the Fund.
| (a) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by
the issuer. |
| (b) |
Security converts to floating rate after the indicated fixed-rate coupon period. |
| (c) |
All or a portion of the security is pledged as collateral in connection with the Fund’s credit
agreement. $427,435,447 in aggregate has been pledged as collateral. |
| (d) |
Variable rate. Rate shown is in effect at September 30, 2023. |
| (e) |
Non-income producing security. |
| (f) |
Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are
subject to resale restrictions. Aggregate holdings amounted to $97,475,480 which represents 17.2% of the net assets of the Fund, of which 0.0% are illiquid. |
| (g) |
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 $244,838,668 or 43.3% of the net assets of the Fund (27.8% of the managed assets of the Fund). |
| (h) |
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 $186,031,520 which represents 32.9% of the net assets of the Fund, of which 2.0% are illiquid. |
| (i) |
Security is in default. |
13
| (j) |
Rate quoted represents the annualized seven-day yield.
|
| (k) |
Based on USD-SOFR-OIS.
Represents rates in effect at September 30, 2023. |
| (l) |
The index intends to track the performance of the CDX.NA HY. The two constituent investments held within the
index at September 30, 2023 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Index Constituents |
|
Receive |
|
Frequency |
|
Payment |
|
Frequency |
|
Maturity
Date |
|
Total
Weight |
|
|
9/30/23
Price |
|
|
9/30/23
Value |
|
| Credit Default Swap (CDS) — Markit CDX.NA.HY.41 Index |
|
5.00% per
anum |
|
Quarterly |
|
Performance
of CDS |
|
Semiannually |
|
12/20/28 |
|
|
99.59% |
|
|
$ |
100.77 |
|
|
$ |
7,437,531 |
|
| Cash |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
0.41% |
|
|
|
— |
|
|
|
30,619 |
|
| (m) |
The index intends to track the performance of the iTraxx Crossover CDS. The two constituent investments held
within the index at September 30, 2023 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Index Constituents |
|
Receive |
|
Frequency |
|
Payment |
|
Frequency |
|
Maturity
Date |
|
Total
Weight |
|
|
9/30/23
Price |
|
|
9/30/23
Value |
|
| Credit Default Swap (CDS) — MARKIT ITRX EUR XOVER Index |
|
5.00% per
anum |
|
Quarterly |
|
Performance
of CDS |
|
Semiannually |
|
12/20/28 |
|
|
100.64 |
% |
|
|
EUR 427.88 |
|
|
$ |
7,388,836 |
|
| Cash |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
(0.64 |
)% |
|
|
— |
|
|
|
(46,988 |
) |
14
|
|
|
|
|
| Country Summary |
|
% of
Managed
Assets |
|
| United States |
|
|
50.0 |
|
| United Kingdom |
|
|
10.7 |
|
| Canada |
|
|
9.7 |
|
| France |
|
|
9.2 |
|
| Netherlands |
|
|
3.1 |
|
| Switzerland |
|
|
3.0 |
|
| Germany |
|
|
2.3 |
|
| Australia |
|
|
2.3 |
|
| Italy |
|
|
2.0 |
|
| Spain |
|
|
1.9 |
|
| Ireland |
|
|
1.1 |
|
| Japan |
|
|
0.5 |
|
| Other (includes short-term investments) |
|
|
4.2 |
|
|
|
|
|
|
|
|
|
100.0 |
|
|
|
|
|
|
15
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME 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. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are
valued based upon prices provided by a third party pricing service. Over-the-counter (OTC) options and total return swaps are valued based upon prices provided by a
third-party pricing service or counterparty. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or
clearinghouse.
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
over-the-counter (OTC) market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor)
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 advisor, 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 advisor, 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 Board of Directors has designated the investment advisor as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment advisor is authorized to make fair valuation determinations, subject to the oversight of the Board of Directors. The investment advisor has established
a valuation committee (Valuation Committee) to administer, implement and
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 advisor determines that the bid
and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in
which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close
of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or
factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated
using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to
transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in
determining the fair value of the Fund’s investments is summarized below.
| |
• |
|
Level 1 — quoted prices in active markets for identical investments |
| |
• |
|
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest
rates, credit risk, etc.) |
| |
• |
|
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the
fair value of investments) |
The inputs or methodology used for valuing investments may or may not be an
indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a summary of the inputs used as of September 30, 2023
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 |
|
| Preferred Securities—Exchange-Traded |
|
$ |
75,312,482 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
75,312,482 |
|
| Preferred
Securities—Over-the-Counter |
|
|
— |
|
|
|
773,032,029 |
|
|
|
— |
|
|
|
773,032,029 |
|
| Corporate Bonds |
|
|
— |
|
|
|
3,498,417 |
|
|
|
— |
|
|
|
3,498,417 |
|
| Short-Term Investments |
|
|
— |
|
|
|
11,047,374 |
|
|
|
— |
|
|
|
11,047,374 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(a) |
|
$ |
75,312,482 |
|
|
$ |
787,577,820 |
|
|
$ |
— |
|
|
$ |
862,890,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Swap Contracts |
|
$ |
— |
|
|
$ |
28,682,922 |
|
|
$ |
— |
|
|
$ |
28,682,922 |
|
| Total Return Swap Contracts |
|
|
— |
|
|
|
81,930 |
|
|
|
— |
|
|
|
81,930 |
|
| Forward Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
1,576,152 |
|
|
|
— |
|
|
|
1,576,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(a) |
|
$ |
— |
|
|
$ |
30,341,004 |
|
|
$ |
— |
|
|
$ |
30,341,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(76,740 |
) |
|
$ |
— |
|
|
$ |
(76,740 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(a) |
|
$ |
— |
|
|
$ |
(76,740 |
) |
|
$ |
— |
|
|
$ |
(76,740 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Portfolio holdings are disclosed individually on the Schedule of Investments. |
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. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital
gains and losses.
Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts
reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to
meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.
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.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
At September 30, 2023, the Fund did not have any option contracts outstanding.
Over-the-Counter Total Return Swap
Contracts: In a total return swap, one party receives a periodic payment equal to the total return of a specified security, basket of securities, index, or other reference asset for a specified period of time. In return, the other party receives
a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the value of the swap are recorded as unrealized
gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Fund bears the risk of loss in the event of nonperformance by the swap counterparty. Risks may also arise from unanticipated movements in the value of
exchange rates, interest rates, securities, index, or other reference asset.
Centrally Cleared Interest Rate Swap
Contracts: The Fund uses interest rate swaps in connection with borrowing under its credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could
have on the performance of the Fund’s shares as a result of the floating rate structure of interest owed pursuant to the credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap
(which is known as the counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the credit
agreement. The payment obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could enhance or harm the overall performance of the Fund. Swaps are marked-to-market daily and changes in the value are recorded as unrealized appreciation (depreciation).
Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and
the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
The
following summarizes the volume of the Fund’s option contracts, total return swap contracts and forward foreign currency exchange contracts activity for the nine months ended September 30, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Purchased
Option
Contracts(a),(b) |
|
|
Total Return
Swap
Contracts(a) |
|
|
Forward
Foreign Currency
Exchange Contracts |
|
| Average Notional Amount |
|
$ |
7,813,853 |
|
|
$ |
12,321,055 |
|
|
$ |
55,935,253 |
|
| (a) |
Average notional amounts represent the average for all months in which the Fund had option contracts and
total return swap contracts outstanding. For purchased option contracts, this represents the period March 24, 2023 through March 30, 2023 and for total return swap contracts, this represents the period April 28, 2023 through
September 30, 2023. |
| (b) |
Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied
by the underlying price. |
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