COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
September
30, 2024 (Unaudited)
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Shares |
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Value |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
|
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21.7 |
% |
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| BANKING |
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8.6 |
% |
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|
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| Bank of America Corp., 4.125%, Series PP(a)(b) |
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33,088 |
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$ |
664,407 |
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| Bank of America Corp., 4.25%, Series QQ(a)(b) |
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58,616 |
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1,198,697 |
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| Bank of America Corp., 4.375%, Series NN(a)(b) |
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31,877 |
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670,692 |
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| Bank of America Corp., 5.00%, Series LL(a)(b) |
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|
9,330 |
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218,415 |
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| Bank of America Corp., 5.375%, Series KK(a)(b) |
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43,613 |
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1,069,827 |
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| Bank of America Corp., 5.875%, Series HH(a)(b) |
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3,224 |
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81,342 |
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| Federal Agricultural Mortgage Corp., 4.875%, Series G(b) |
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27,286 |
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603,021 |
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| JPMorgan Chase & Co., 4.20%, Series MM(a)(b) |
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15,599 |
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329,919 |
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| JPMorgan Chase & Co., 4.55%, Series JJ(a)(b) |
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17,160 |
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387,301 |
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| JPMorgan Chase & Co., 4.625%, Series LL(a)(b) |
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15,878 |
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363,606 |
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| JPMorgan Chase & Co., 5.75%, Series DD(a)(b) |
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21,620 |
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546,554 |
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| M&T Bank Corp., 7.50%, Series J(a)(b) |
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74,586 |
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2,089,154 |
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| Morgan Stanley, 5.85%, Series K(a)(b) |
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35,291 |
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879,099 |
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| Morgan Stanley, 6.375%, Series I(a)(b) |
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|
66,456 |
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1,682,001 |
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| Morgan Stanley, 6.50%, Series P(a)(b) |
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16,345 |
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434,614 |
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| Morgan Stanley, 6.625%, Series Q(a)(b) |
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138,044 |
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3,705,101 |
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| Regions Financial Corp., 5.70% to 5/15/29, Series C(a)(b)(c) |
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35,091 |
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856,571 |
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| Truist Financial Corp., 4.75%, Series R(a)(b) |
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20,152 |
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435,888 |
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| U.S. Bancorp, 4.00%, Series M(a)(b) |
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50,675 |
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1,000,831 |
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| Wells Fargo & Co., 4.25%, Series DD(a)(b) |
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42,687 |
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865,266 |
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| Wells Fargo & Co., 4.375%, Series CC(a)(b) |
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39,087 |
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811,446 |
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| Wells Fargo & Co., 4.70%, Series AA(a)(b) |
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53,643 |
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1,160,298 |
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| Wells Fargo & Co., 4.75%, Series Z(a)(b) |
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86,847 |
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1,883,711 |
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| Wells Fargo & Co., 5.625%, Series Y(a)(b) |
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37,197 |
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928,809 |
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22,866,570 |
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| CONSUMER DISCRETIONARY PRODUCTS |
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0.2 |
% |
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| Ford Motor Co., Senior Debt, 6.50%, due 8/15/62(a) |
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22,478 |
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573,414 |
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| FINANCIAL SERVICES |
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1.0 |
% |
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| Affiliated Managers Group, Inc., 5.875%, due 3/30/59(a) |
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3,021 |
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75,495 |
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| Affiliated Managers Group, Inc., 6.75%, due 3/30/64(a) |
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30,867 |
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800,999 |
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| Apollo Global Management, Inc., 7.625% to 9/15/28, due 9/15/53(a)(c) |
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25,020 |
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681,294 |
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| Carlyle Finance LLC, 4.625%, due 5/15/61(a) |
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6,744 |
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131,778 |
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| TPG Operating Group II LP, 6.95%, due 3/15/64(a) |
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39,715 |
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1,044,504 |
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2,734,070 |
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| INDUSTRIAL SERVICES |
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0.7 |
% |
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| WESCO International, Inc., 10.625% to 6/22/25, Series A(b)(c) |
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71,827 |
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1,856,728 |
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| INSURANCE |
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5.2 |
% |
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| AEGON Funding Co. LLC, 5.10%, due 12/15/49 (Netherlands)(a) |
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41,672 |
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927,202 |
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| Arch Capital Group Ltd., 4.55%, Series G(a)(b) |
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64,738 |
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1,323,245 |
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| Arch Capital Group Ltd., 5.45%, Series F(a)(b) |
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34,097 |
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795,142 |
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| Athene Holding Ltd., 4.875%, Series D(a)(b) |
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70,627 |
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1,370,164 |
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| Athene Holding Ltd., 5.625%, Series B(a)(b) |
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7,522 |
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169,245 |
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| Athene Holding Ltd., 6.35% to 6/30/29, Series A(a)(b)(c) |
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43,898 |
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1,090,426 |
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| Athene Holding Ltd., 6.375% to 6/30/25, Series C(a)(b)(c) |
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5,654 |
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141,011 |
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| Athene Holding Ltd., 7.25% to 3/30/29, due 3/30/64(a)(c) |
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53,523 |
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1,373,400 |
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| Athene Holding Ltd., 7.75% to 12/30/27, Series E(a)(b)(c) |
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44,265 |
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1,175,236 |
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| Axis Capital Holdings Ltd., 5.50%, Series E(a)(b) |
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29,013 |
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661,787 |
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Shares |
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Value |
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| Enstar Group Ltd., 7.00% to 9/1/28, Series D(a)(b)(c) |
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17,744 |
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$ |
346,363 |
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| Equitable Holdings, Inc., 4.30%, Series C(a)(b) |
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|
13,924 |
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|
280,986 |
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| Equitable Holdings, Inc., 5.25%, Series A(a)(b) |
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|
34,139 |
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|
791,001 |
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| F&G Annuities & Life, Inc., Senior Debt, 7.95%, due 12/15/53(a) |
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37,387 |
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1,016,553 |
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| Lincoln National Corp., 9.00%, Series D(a)(b) |
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18,520 |
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523,560 |
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| MetLife, Inc., 4.75%, Series F(a)(b) |
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|
23,089 |
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523,889 |
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| Reinsurance Group of America, Inc., 7.125% to 10/15/27, due 10/15/52(a)(c) |
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13,226 |
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350,621 |
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| RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)(b) |
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34,699 |
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643,319 |
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| W.R. Berkley Corp., 4.125%, due 3/30/61(a) |
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8,752 |
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180,379 |
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13,683,529 |
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| PIPELINES |
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0.2 |
% |
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| TC Energy Corp., 3.351% to 11/30/25, Series 11 (Canada)(a)(b)(c) |
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26,957 |
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406,612 |
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| REAL ESTATE |
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1.7 |
% |
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| CTO Realty Growth, Inc., 6.375%, Series A(b) |
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21,968 |
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516,907 |
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| Public Storage, 4.10%, Series S(a)(b) |
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|
34,003 |
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|
677,340 |
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| Public Storage, 4.70%, Series J(a)(b) |
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|
44,889 |
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|
1,008,656 |
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| Public Storage, 4.75%, Series K(a)(b) |
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|
34,590 |
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790,035 |
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| Regency Centers Corp., 5.875%, Series B(b) |
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|
60,000 |
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|
1,461,000 |
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4,453,938 |
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| TELECOMMUNICATIONS |
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|
1.5 |
% |
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| AT&T, Inc., 4.75%, Series C(a)(b) |
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|
48,527 |
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|
1,019,552 |
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| AT&T, Inc., 5.00%, Series A(a)(b) |
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|
48,300 |
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|
1,078,539 |
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| AT&T, Inc., Senior Debt, 5.35%, due 11/1/66(a) |
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|
19,185 |
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|
471,375 |
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| Telephone & Data Systems, Inc., 6.00%, Series VV(a)(b) |
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|
14,918 |
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|
289,260 |
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| U.S. Cellular Corp., Senior Debt, 5.50%, due 3/1/70(a) |
|
|
|
10,084 |
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|
224,571 |
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| U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70(a) |
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|
17,286 |
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|
382,885 |
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| U.S. Cellular Corp., Senior Debt, 6.25%, due 9/1/69(a) |
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|
26,813 |
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|
630,642 |
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|
4,096,824 |
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| UTILITIES |
|
|
2.6 |
% |
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|
| Algonquin Power & Utilities Corp., 9.603% (3 Month USD Term SOFR + 4.01%),
due 7/1/79, Series 19-A (Canada)(a)(d) |
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|
22,887 |
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|
|
594,833 |
|
| Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)(a)(b) |
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|
|
25,091 |
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|
|
436,583 |
|
| Brookfield BRP Holdings Canada, Inc., 4.875% (Canada)(a)(b) |
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|
|
34,274 |
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|
630,299 |
|
| Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)(a) |
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|
47,325 |
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|
911,006 |
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| Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(a)(b) |
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|
42,166 |
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|
834,887 |
|
| SCE Trust VII, 7.50%, Series M (TruPS)(a)(b) |
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|
|
78,949 |
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|
2,113,465 |
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| SCE Trust VIII, 6.95%, Series N(a)(b) |
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|
50,530 |
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|
1,349,151 |
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6,870,224 |
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| TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified
cost—$54,946,835) |
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|
|
57,541,909 |
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| |
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Principal
Amount* |
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| PREFERRED
SECURITIES—OVER-THE-COUNTER |
|
|
123.5 |
% |
|
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|
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|
|
| BANKING |
|
|
73.3 |
% |
|
|
|
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|
|
|
|
| Abanca Corp. Bancaria SA, 10.625% to 7/14/28 (Spain)(b)(c)(e)(f) |
|
|
EUR |
400,000 |
|
|
|
507,277 |
|
| ABN AMRO Bank NV, 6.875% to 9/22/31 (Netherlands)(b)(c)(e)(f) |
|
|
EUR |
800,000 |
|
|
|
931,149 |
|
| AIB Group PLC, 7.125% to 10/30/29 (Ireland)(b)(c)(e)(f) |
|
|
EUR |
1,400,000 |
|
|
|
1,627,603 |
|
| Banco Bilbao Vizcaya Argentaria SA, 6.125% to 11/16/27 (Spain)(b)(c)(e) |
|
|
|
600,000 |
|
|
|
585,379 |
|
| Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(b)(c)(e) |
|
|
|
900,000 |
|
|
|
995,887 |
|
2
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| |
|
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|
|
Principal
Amount* |
|
|
Value |
|
| Banco de Sabadell SA, 9.375% to 7/18/28 (Spain)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
400,000 |
|
|
$ |
495,664 |
|
| Banco Santander SA, 4.125% to 11/12/27 (Spain)(b)(c)(e) |
|
|
|
|
|
EUR |
600,000 |
|
|
|
623,630 |
|
| Banco Santander SA, 4.75% to 11/12/26 (Spain)(b)(c)(e) |
|
|
|
|
|
|
1,200,000 |
|
|
|
1,145,375 |
|
| Banco Santander SA, 7.00% to 11/20/29 (Spain)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
800,000 |
|
|
|
924,415 |
|
| Banco Santander SA, 8.00% to 2/1/34 (Spain)(b)(c)(e) |
|
|
|
|
|
|
2,800,000 |
|
|
|
2,978,094 |
|
| Banco Santander SA, 9.625% to 11/21/28 (Spain)(b)(c)(e) |
|
|
|
|
|
|
1,200,000 |
|
|
|
1,336,562 |
|
| Banco Santander SA, 9.625% to 5/21/33 (Spain)(b)(c)(e) |
|
|
|
|
|
|
2,600,000 |
|
|
|
3,063,173 |
|
| Bank of America Corp., 4.375% to 1/27/27, Series RR(a)(b)(c) |
|
|
|
|
|
|
1,074,000 |
|
|
|
1,042,345 |
|
| Bank of America Corp., 5.875% to 3/15/28, Series FF(a)(b)(c) |
|
|
|
|
|
|
1,235,000 |
|
|
|
1,254,727 |
|
| Bank of America Corp., 6.125% to 4/27/27, Series TT(a)(b)(c) |
|
|
|
|
|
|
1,215,000 |
|
|
|
1,245,377 |
|
| Bank of America Corp., 6.30% to 3/10/26, Series DD(a)(b)(c) |
|
|
|
|
|
|
662,000 |
|
|
|
676,958 |
|
| Bank of Montreal, 7.30% to 11/26/34, due 11/26/84
(Canada)(a)(c) |
|
|
|
|
|
|
1,340,000 |
|
|
|
1,415,078 |
|
| Bank of Nova Scotia, 8.00% to 1/27/29, due 1/27/84
(Canada)(a)(c) |
|
|
|
|
|
|
1,000,000 |
|
|
|
1,073,858 |
|
| Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(a)(c) |
|
|
|
|
|
|
1,600,000 |
|
|
|
1,734,629 |
|
| Barclays Bank PLC, 6.278% to 12/15/34, Series 1 (United Kingdom)(b)(c) |
|
|
|
|
|
|
880,000 |
|
|
|
939,400 |
|
| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
600,000 |
|
|
|
598,728 |
|
| Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
1,400,000 |
|
|
|
1,477,827 |
|
| Barclays PLC, 8.875% to 9/15/27 (United Kingdom)(b)(c)(e)(f) |
|
|
|
|
|
GBP |
600,000 |
|
|
|
836,764 |
|
| Barclays PLC, 9.25% to 9/15/28 (United Kingdom)(b)(c)(e) |
|
|
|
|
|
GBP |
600,000 |
|
|
|
852,579 |
|
| Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
2,400,000 |
|
|
|
2,708,194 |
|
| BNP Paribas SA, 4.50% to 2/25/30 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
1,400,000 |
|
|
|
1,210,895 |
|
| BNP Paribas SA, 4.625% to 1/12/27 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
2,800,000 |
|
|
|
2,660,349 |
|
| BNP Paribas SA, 4.625% to 2/25/31 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
3,075,000 |
|
|
|
2,685,540 |
|
| BNP Paribas SA, 7.00% to 8/16/28 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
565,000 |
|
|
|
578,579 |
|
| BNP Paribas SA, 7.375% to 8/19/25 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
600,000 |
|
|
|
606,889 |
|
| BNP Paribas SA, 7.375% to 9/10/34 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
1,800,000 |
|
|
|
1,877,617 |
|
| BNP Paribas SA, 7.75% to 8/16/29 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
2,000,000 |
|
|
|
2,111,882 |
|
| BNP Paribas SA, 8.50% to 8/14/28 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
3,000,000 |
|
|
|
3,226,029 |
|
| BNP Paribas SA, 9.25% to 11/17/27 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
1,600,000 |
|
|
|
1,752,102 |
|
| CaixaBank SA, 7.50% to 1/16/30 (Spain)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
600,000 |
|
|
|
714,685 |
|
| CaixaBank SA, 8.25% to 3/13/29 (Spain)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
1,200,000 |
|
|
|
1,456,113 |
|
| Charles Schwab Corp., 4.00% to 6/1/26, Series I(a)(b)(c) |
|
|
|
|
|
|
3,653,000 |
|
|
|
3,508,483 |
|
| Charles Schwab Corp., 4.00% to 12/1/30, Series H(a)(b)(c) |
|
|
|
|
|
|
3,668,000 |
|
|
|
3,284,848 |
|
| Charles Schwab Corp., 5.00% to 6/1/27, Series K(a)(b)(c) |
|
|
|
|
|
|
652,000 |
|
|
|
640,558 |
|
| Citigroup Capital III, 7.625%, due 12/1/36 (TruPS)(a) |
|
|
|
|
|
|
4,115,000 |
|
|
|
4,629,171 |
|
| Citigroup, Inc., 3.875% to 2/18/26, Series X(b)(c) |
|
|
|
|
|
|
1,823,000 |
|
|
|
1,759,153 |
|
| Citigroup, Inc., 6.25% to 8/15/26, Series T(b)(c) |
|
|
|
|
|
|
636,000 |
|
|
|
647,276 |
|
| Citigroup, Inc., 7.00% to 8/15/34, Series DD(b)(c) |
|
|
|
|
|
|
2,360,000 |
|
|
|
2,531,354 |
|
| Citigroup, Inc., 7.625% to 11/15/28, Series AA(b)(c) |
|
|
|
|
|
|
1,828,000 |
|
|
|
1,957,558 |
|
| CoBank ACB, 6.25% to 10/1/26, Series I(a)(b)(c) |
|
|
|
|
|
|
2,534,000 |
|
|
|
2,562,219 |
|
| CoBank ACB, 6.45% to 10/1/27, Series K(a)(b)(c) |
|
|
|
|
|
|
1,370,000 |
|
|
|
1,376,565 |
|
| Coventry Building Society, 8.75% to 6/11/29
(United Kingdom)(b)(c)(e)(f) |
|
|
|
|
|
GBP |
800,000 |
|
|
|
1,105,936 |
|
| Credit Agricole SA, 4.75% to 3/23/29 (France)(a)(b)(c)(e)(g) |
|
|
|
|
|
|
600,000 |
|
|
|
555,788 |
|
| Credit Agricole SA, 8.125% to 12/23/25 (France)(a)(b)(c)(e)(g) |
|
|
|
|
|
|
450,000 |
|
|
|
463,444 |
|
| Credit Suisse Group AG, 6.375%, Claim
(Switzerland)(b)(e)(g)(h)(i)(j) |
|
|
|
|
|
|
3,000,000 |
|
|
|
292,500 |
|
| Deutsche Bank AG, 6.00% to 10/30/25, Series 2020
(Germany)(b)(c)(e) |
|
|
|
|
|
|
400,000 |
|
|
|
392,088 |
|
| Deutsche Bank AG, 8.125% to 10/30/29 (Germany)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
1,000,000 |
|
|
|
1,160,500 |
|
| Deutsche Bank AG, 10.00% to 12/1/27 (Germany)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
400,000 |
|
|
|
487,866 |
|
| Erste Group Bank AG, 7.00% to 4/15/31 (Austria)(a)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
600,000 |
|
|
|
685,549 |
|
| Farm Credit Bank of Texas, 5.70% to 9/15/25,
Series 4(a)(b)(c)(g) |
|
|
|
|
|
|
1,441,000 |
|
|
|
1,450,574 |
|
| Farm Credit Bank of Texas, 7.75% to 6/15/29(a)(b)(c) |
|
|
|
|
|
|
839,000 |
|
|
|
868,506 |
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount* |
|
|
Value |
|
| First Horizon Bank, 6.416% (3 Month USD Term SOFR + 1.112%, Floor 3.75%)(a)(b)(d)(g) |
|
|
|
|
|
|
1,537 |
† |
|
$ |
1,068,215 |
|
| Goldman Sachs Capital I, 6.345%, due 2/15/34 (TruPS)(a) |
|
|
|
|
|
|
624,000 |
|
|
|
673,788 |
|
| Goldman Sachs Group, Inc., 7.50% to 5/10/29, Series X(b)(c) |
|
|
|
|
|
|
4,300,000 |
|
|
|
4,568,621 |
|
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30,
Series 2 (United
Kingdom)(b)(c)(g) |
|
|
|
|
|
|
1,067,000 |
|
|
|
1,390,928 |
|
| HSBC Holdings PLC, 4.60% to 12/17/30
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
4,000,000 |
|
|
|
3,642,682 |
|
| HSBC Holdings PLC, 6.00% to 5/22/27
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
3,800,000 |
|
|
|
3,826,368 |
|
| HSBC Holdings PLC, 6.50% to 3/23/28
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
1,600,000 |
|
|
|
1,627,622 |
|
| HSBC Holdings PLC, 6.50%, due 9/15/37
(United Kingdom)(a) |
|
|
|
|
|
|
902,000 |
|
|
|
997,477 |
|
| HSBC Holdings PLC, 6.50%, due 9/15/37
(United Kingdom)(a) |
|
|
|
|
|
|
300,000 |
|
|
|
329,586 |
|
| HSBC Holdings PLC, 6.875% to 9/11/29
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
600,000 |
|
|
|
619,564 |
|
| HSBC Holdings PLC, 6.95% to 3/11/34
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
1,600,000 |
|
|
|
1,652,025 |
|
| HSBC Holdings PLC, 8.00% to 3/7/28
(United Kingdom)(a)(b)(c)(e) |
|
|
|
|
|
|
1,800,000 |
|
|
|
1,933,421 |
|
| Huntington Bancshares, Inc., 4.45% to 10/15/27, Series G(b)(c) |
|
|
|
|
|
|
779,000 |
|
|
|
744,987 |
|
| Huntington Bancshares, Inc., 5.625% to 7/15/30, Series F(b)(c) |
|
|
|
|
|
|
926,000 |
|
|
|
930,035 |
|
| ING Groep NV, 4.25% to 5/16/31, Series NC10
(Netherlands)(b)(c)(e) |
|
|
|
|
|
|
600,000 |
|
|
|
501,612 |
|
| ING Groep NV, 4.875% to 5/16/29 (Netherlands)(b)(c)(e)(f) |
|
|
|
|
|
|
2,200,000 |
|
|
|
2,041,690 |
|
| ING Groep NV, 5.75% to 11/16/26 (Netherlands)(b)(c)(e) |
|
|
|
|
|
|
1,800,000 |
|
|
|
1,787,108 |
|
| ING Groep NV, 7.25% to 11/16/34 (Netherlands)(b)(c)(e)(f) |
|
|
|
|
|
|
3,000,000 |
|
|
|
3,101,062 |
|
| ING Groep NV, 7.50% to 5/16/28 (Netherlands)(b)(c)(e)(f) |
|
|
|
|
|
|
800,000 |
|
|
|
834,349 |
|
| ING Groep NV, 8.00% to 5/16/30 (Netherlands)(b)(c)(e)(f) |
|
|
|
|
|
|
1,400,000 |
|
|
|
1,505,924 |
|
| Intesa Sanpaolo SpA, 7.00% to 5/20/32 (Italy)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
1,200,000 |
|
|
|
1,383,366 |
|
| Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(b)(c)(e)(g) |
|
|
|
|
|
|
800,000 |
|
|
|
801,024 |
|
| JPMorgan Chase & Co., 6.875% to 6/1/29, Series NN(a)(b)(c) |
|
|
|
|
|
|
3,162,000 |
|
|
|
3,398,489 |
|
| KBC Group NV, 6.25% to 9/17/31 (Belgium)(b)(c)(e)(f) |
|
|
|
|
|
EUR |
1,000,000 |
|
|
|
1,117,905 |
|
| Lloyds Banking Group PLC, 6.75% to 9/27/31
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
2,600,000 |
|
|
|
2,605,779 |
|
| Lloyds Banking Group PLC, 7.50% to 9/27/25
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
1,800,000 |
|
|
|
1,820,957 |
|
| Lloyds Banking Group PLC, 8.50% to 9/27/27
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
GBP |
800,000 |
|
|
|
1,126,381 |
|
| M&T Bank Corp., 3.50% to 9/1/26, Series I(b)(c) |
|
|
|
|
|
|
178,000 |
|
|
|
158,469 |
|
| Nationwide Building Society, 5.75% to 6/20/27
(United Kingdom)(b)(c)(e)(f) |
|
|
|
|
|
GBP |
600,000 |
|
|
|
775,866 |
|
| Nationwide Building Society, 7.50% to 12/20/30
(United Kingdom)(b)(c)(e)(f) |
|
|
|
|
|
GBP |
600,000 |
|
|
|
806,682 |
|
| NatWest Group PLC, 4.60% to 6/28/31
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
800,000 |
|
|
|
688,447 |
|
| NatWest Group PLC, 5.125% to 5/12/27
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
GBP |
1,000,000 |
|
|
|
1,280,755 |
|
| NatWest Group PLC, 6.00% to 12/29/25
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
900,000 |
|
|
|
901,783 |
|
| NatWest Group PLC, 8.00% to 8/10/25
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
800,000 |
|
|
|
813,134 |
|
| NatWest Group PLC, 8.125% to 11/10/33
(United Kingdom)(b)(c)(e) |
|
|
|
|
|
|
1,800,000 |
|
|
|
1,968,178 |
|
| Nordea Bank Abp, 6.625% to 3/26/26 (Finland)(a)(b)(c)(e)(g) |
|
|
|
|
|
|
800,000 |
|
|
|
811,764 |
|
| PNC Financial Services Group, Inc., 3.40% to 9/15/26, Series T(a)(b)(c) |
|
|
|
|
|
|
1,283,000 |
|
|
|
1,174,986 |
|
| PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(a)(b)(c) |
|
|
|
|
|
|
1,381,000 |
|
|
|
1,401,998 |
|
| PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(a)(b)(c) |
|
|
|
|
|
|
1,976,000 |
|
|
|
2,016,502 |
|
| PNC Financial Services Group, Inc., 6.25% to 3/15/30, Series W(a)(b)(c) |
|
|
|
|
|
|
2,084,000 |
|
|
|
2,121,495 |
|
| Regions Financial Corp., 5.75% to 6/15/25, Series D(b)(c) |
|
|
|
|
|
|
529,000 |
|
|
|
528,032 |
|
| Skandinaviska Enskilda Banken AB, 6.875% to 6/30/27 (Sweden)(a)(b)(c)(e)(f) |
|
|
|
|
|
|
200,000 |
|
|
|
204,362 |
|
| Societe Generale SA, 5.375% to 11/18/30 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
1,400,000 |
|
|
|
1,203,958 |
|
| Societe Generale SA, 6.75% to 4/6/28 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
1,160,000 |
|
|
|
1,108,133 |
|
| Societe Generale SA, 9.375% to 11/22/27 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
2,800,000 |
|
|
|
2,948,518 |
|
| Societe Generale SA, 10.00% to 11/14/28 (France)(b)(c)(e)(g) |
|
|
|
|
|
|
2,800,000 |
|
|
|
3,016,541 |
|
| Standard Chartered PLC, 4.30% to 8/19/28
(United Kingdom)(b)(c)(e)(g) |
|
|
|
|
|
|
800,000 |
|
|
|
729,571 |
|
| Standard Chartered PLC, 4.75% to 1/14/31
(United Kingdom)(b)(c)(e)(g) |
|
|
|
|
|
|
1,200,000 |
|
|
|
1,044,749 |
|
| Standard Chartered PLC, 7.75% to 8/15/27
(United Kingdom)(b)(c)(e)(g) |
|
|
|
|
|
|
600,000 |
|
|
|
626,991 |
|
| Standard Chartered PLC, 7.875% to 3/8/30
(United Kingdom)(b)(c)(e)(g) |
|
|
|
|
|
|
1,200,000 |
|
|
|
1,276,073 |
|
| State Street Corp., 6.70% to 3/15/29, Series I(b)(c) |
|
|
|
|
|
|
1,775,000 |
|
|
|
1,843,314 |
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount* |
|
|
Value |
|
| State Street Corp., 6.70% to 9/15/29, Series J(b)(c) |
|
|
|
2,174,000 |
|
|
$ |
2,256,182 |
|
| Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(b)(f) |
|
|
EUR |
1,878,150 |
|
|
|
2,384,822 |
|
| Svenska Handelsbanken AB, 4.75% to 3/1/31 (Sweden)(a)(b)(c)(e)(f) |
|
|
|
1,600,000 |
|
|
|
1,468,997 |
|
| Swedbank AB, 7.625% to 3/17/28 (Sweden)(b)(c)(e)(f) |
|
|
|
200,000 |
|
|
|
207,862 |
|
| Swedbank AB, 7.75% to 3/17/30 (Sweden)(b)(c)(e)(f) |
|
|
|
1,200,000 |
|
|
|
1,271,998 |
|
| Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada)(a)(c) |
|
|
|
3,200,000 |
|
|
|
3,440,998 |
|
| Truist Financial Corp., 4.95% to 9/1/25, Series P(a)(b)(c) |
|
|
|
407,000 |
|
|
|
404,199 |
|
| Truist Financial Corp., 5.10% to 3/1/30, Series Q(a)(b)(c) |
|
|
|
1,450,000 |
|
|
|
1,431,545 |
|
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a)(b)(c) |
|
|
|
872,000 |
|
|
|
858,803 |
|
| UBS Group AG, 4.375% to 2/10/31 (Switzerland)(b)(c)(e)(g) |
|
|
|
3,200,000 |
|
|
|
2,794,214 |
|
| UBS Group AG, 4.875% to 2/12/27 (Switzerland)(b)(c)(e)(g) |
|
|
|
600,000 |
|
|
|
575,649 |
|
| UBS Group AG, 5.125% to 7/29/26 (Switzerland)(b)(c)(e)(f) |
|
|
|
400,000 |
|
|
|
393,345 |
|
| UBS Group AG, 6.85% to 9/10/29 (Switzerland)(b)(c)(e)(g) |
|
|
|
1,800,000 |
|
|
|
1,825,933 |
|
| UBS Group AG, 9.25% to 11/13/28 (Switzerland)(b)(c)(e)(g) |
|
|
|
2,200,000 |
|
|
|
2,437,822 |
|
| UBS Group AG, 9.25% to 11/13/33 (Switzerland)(b)(c)(e)(g) |
|
|
|
2,800,000 |
|
|
|
3,309,135 |
|
| UniCredit SpA, 6.50% to 12/3/31, Series EMTN (Italy)(b)(c)(e)(f) |
|
|
EUR |
1,000,000 |
|
|
|
1,133,280 |
|
| U.S. Bancorp, 3.70% to 1/15/27, Series N(a)(b)(c) |
|
|
|
377,000 |
|
|
|
348,037 |
|
| U.S. Bancorp, 5.30% to 4/15/27, Series J(a)(b)(c) |
|
|
|
1,000,000 |
|
|
|
994,773 |
|
| Virgin Money U.K. PLC, 8.25% to 6/17/27 (United Kingdom)(b)(c)(e)(f) |
|
|
GBP |
800,000 |
|
|
|
1,098,091 |
|
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(b)(c) |
|
|
|
2,509,000 |
|
|
|
2,440,080 |
|
| Wells Fargo & Co., 5.95%, due 12/15/36(a) |
|
|
|
1,027,000 |
|
|
|
1,082,586 |
|
| Wells Fargo & Co., 6.85% to 9/15/29(b)(c) |
|
|
|
4,055,000 |
|
|
|
4,242,353 |
|
| Wells Fargo & Co., 7.625% to 9/15/28(b)(c) |
|
|
|
1,900,000 |
|
|
|
2,073,915 |
|
| Wells Fargo & Co., 7.95%, due 11/15/29, Series B(a) |
|
|
|
249,000 |
|
|
|
286,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194,553,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY PRODUCTS |
|
|
0.2 |
% |
|
|
|
|
|
|
|
|
| Volkswagen International Finance NV, 7.50% to 9/6/28, Series
PNC5
(Germany)(b)(c)(f) |
|
|
EUR |
100,000 |
|
|
|
119,803 |
|
| Volkswagen International Finance NV, 7.875% to 9/6/32 (Germany)(b)(c)(f) |
|
|
EUR |
200,000 |
|
|
|
250,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
370,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY |
|
|
0.9 |
% |
|
|
|
|
|
|
|
|
| BP Capital Markets PLC, 4.875% to 3/22/30(a)(b)(c) |
|
|
|
953,000 |
|
|
|
945,641 |
|
| BP Capital Markets PLC, 6.45% to 12/1/33(a)(b)(c) |
|
|
|
1,425,000 |
|
|
|
1,502,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,448,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIAL SERVICES |
|
|
2.4 |
% |
|
|
|
|
|
|
|
|
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.95% to 12/10/29,
due 3/10/55 (Ireland)(c) |
|
|
|
1,190,000 |
|
|
|
1,234,197 |
|
| Air Lease Corp., 6.00% to 9/24/29, Series D(b)(c) |
|
|
|
445,000 |
|
|
|
441,519 |
|
| Ally Financial, Inc., 4.70% to 5/15/26, Series B(b)(c) |
|
|
|
500,000 |
|
|
|
437,283 |
|
| Ally Financial, Inc., 4.70% to 5/15/28, Series C(b)(c) |
|
|
|
500,000 |
|
|
|
409,723 |
|
| American Express Co., 3.55% to 9/15/26, Series D(b)(c) |
|
|
|
1,833,000 |
|
|
|
1,741,679 |
|
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50(a)(c)(g) |
|
|
|
878,000 |
|
|
|
875,805 |
|
| ARES Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51(a)(c)(g) |
|
|
|
855,000 |
|
|
|
817,248 |
|
| Discover Financial Services, 6.125% to 6/23/25, Series D(b)(c) |
|
|
|
463,000 |
|
|
|
463,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,421,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INSURANCE |
|
|
14.4 |
% |
|
|
|
|
|
|
|
|
| Aegon Ltd., 5.50% to 4/11/28, due 4/11/48 (Netherlands)(a)(c) |
|
|
|
600,000 |
|
|
|
600,931 |
|
| Aegon Ltd., 5.625% to 4/15/29 (Netherlands)(b)(c)(e)(f) |
|
|
|
EUR 600,000 |
|
|
|
659,524 |
|
| Allianz SE, 3.50% to 11/17/25 (Germany)(a)(b)(c)(e)(g) |
|
|
|
1,400,000 |
|
|
|
1,352,091 |
|
| Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(c) |
|
|
|
1,555,000 |
|
|
|
1,576,588 |
|
| AXA SA, 8.60%, due 12/15/30 (France)(a) |
|
|
|
525,000 |
|
|
|
643,599 |
|
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(a)(c) |
|
|
|
545,000 |
|
|
|
522,929 |
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount* |
|
|
Value |
|
| Corebridge Financial, Inc., 6.375% to 9/15/34, due 9/15/54(a)(c) |
|
|
|
1,005,000 |
|
|
$ |
1,017,854 |
|
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(a)(c) |
|
|
|
1,740,000 |
|
|
|
1,801,568 |
|
| Enstar Finance LLC, 5.50% to 1/15/27, due 1/15/42(a)(c) |
|
|
|
1,205,000 |
|
|
|
1,125,317 |
|
| Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(a)(b)(c) |
|
|
|
900,000 |
|
|
|
893,704 |
|
| Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51(c)(g) |
|
|
|
1,613,000 |
|
|
|
1,544,641 |
|
| Global Atlantic Fin Co., 7.95% to 7/15/29, due 10/15/54(c)(g) |
|
|
|
1,300,000 |
|
|
|
1,360,232 |
|
| Hartford Financial Services Group, Inc., 7.505% (3 Month USD Term SOFR + 2.387%), due
2/12/47, Series ICON(a)(d)(g) |
|
|
|
1,400,000 |
|
|
|
1,298,930 |
|
| ILFC E-Capital Trust I, 6.565% (3 Month USD
Term SOFR + 1.812%), due 12/21/65 (TruPS)(d)(g) |
|
|
|
693,000 |
|
|
|
549,408 |
|
| La Mondiale SAM, 6.75% to 1/17/34, Series EMTN (France)(a)(b)(c)(e)(f) |
|
|
EUR |
1,000,000 |
|
|
|
1,118,845 |
|
| Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United
Kingdom)(c)(f) |
|
|
|
1,000,000 |
|
|
|
951,938 |
|
| Lincoln National Corp., 9.25% to 12/1/27, Series C(b)(c) |
|
|
|
1,103,000 |
|
|
|
1,216,062 |
|
| Meiji Yasuda Life Insurance Co., 5.80% to 9/11/34, due 9/11/54
(Japan)(a)(c)(g) |
|
|
|
800,000 |
|
|
|
822,787 |
|
| MetLife Capital Trust IV, 7.875%, due 12/15/37 (TruPS)(a)(g) |
|
|
|
2,678,000 |
|
|
|
2,985,983 |
|
| MetLife, Inc., 9.25%, due 4/8/38(a)(g) |
|
|
|
2,309,000 |
|
|
|
2,759,394 |
|
| Nippon Life Insurance Co., 5.95% to 4/16/34, due 4/16/54 (Japan)(a)(c)(g) |
|
|
|
900,000 |
|
|
|
940,232 |
|
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(a)(c) |
|
|
|
1,312,000 |
|
|
|
1,361,957 |
|
| Prudential Financial, Inc., 6.50% to 12/15/33, due 3/15/54(a)(c) |
|
|
|
2,150,000 |
|
|
|
2,303,198 |
|
| Prudential Financial, Inc., 6.75% to 12/1/32, due 3/1/53(a)(c) |
|
|
|
990,000 |
|
|
|
1,076,441 |
|
| QBE Insurance Group Ltd., 5.875% to 5/12/25 (Australia)(a)(b)(c)(g) |
|
|
|
1,400,000 |
|
|
|
1,395,692 |
|
| Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United Kingdom)(b)(c)(e)(f) |
|
|
|
200,000 |
|
|
|
185,781 |
|
| Rothesay Life PLC, 5.00% to 10/13/31 (United Kingdom)(b)(c)(e)(f) |
|
|
GBP |
200,000 |
|
|
|
218,028 |
|
| Rothesay Life PLC, 7.00% to 6/11/29, due 9/11/34 (United Kingdom)(a)(c)(f) |
|
|
|
800,000 |
|
|
|
847,466 |
|
| SBL Holdings, Inc., 6.50% to 11/13/26(b)(c)(g) |
|
|
|
1,322,000 |
|
|
|
1,140,570 |
|
| SBL Holdings, Inc., 7.00% to 5/13/25(b)(c)(g) |
|
|
|
866,000 |
|
|
|
782,366 |
|
| Sumitomo Life Insurance Co., 5.875% to 1/18/34 (Japan)(a)(b)(c)(g) |
|
|
|
2,000,000 |
|
|
|
2,073,012 |
|
| Zurich Finance Ireland Designated Activity Co., 3.00% to 1/19/31, due 4/19/51, Series
EMTN (Switzerland)(a)(c)(f) |
|
|
|
1,266,000 |
|
|
|
1,113,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,240,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PIPELINES |
|
|
11.7 |
% |
|
|
|
|
|
|
|
|
| Enbridge, Inc., 5.50% to 7/15/27, due 7/15/77, Series
2017-A (Canada)(c) |
|
|
|
275,000 |
|
|
|
267,925 |
|
| Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series
20-A (Canada)(c) |
|
|
|
771,000 |
|
|
|
757,868 |
|
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series
16-A (Canada)(c) |
|
|
|
1,724,000 |
|
|
|
1,728,470 |
|
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(c) |
|
|
|
1,970,000 |
|
|
|
1,971,594 |
|
| Enbridge, Inc., 7.20% to 3/27/34, due 6/27/54 (Canada)(a)(c) |
|
|
|
1,340,000 |
|
|
|
1,408,210 |
|
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(c) |
|
|
|
698,000 |
|
|
|
720,809 |
|
| Enbridge, Inc., 7.375% to 12/15/29, due 3/15/55 (Canada)(a)(c) |
|
|
|
330,000 |
|
|
|
343,083 |
|
| Enbridge, Inc., 7.625% to 10/15/32, due 1/15/83 (Canada)(c) |
|
|
|
2,152,000 |
|
|
|
2,304,069 |
|
| Enbridge, Inc., 8.25% to 10/15/28, due 1/15/84, Series NC5 (Canada)(c) |
|
|
|
1,868,000 |
|
|
|
1,983,411 |
|
| Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(c) |
|
|
|
3,416,000 |
|
|
|
3,829,329 |
|
| Energy Transfer LP, 6.50% to 11/15/26, Series H(b)(c) |
|
|
|
1,370,000 |
|
|
|
1,370,148 |
|
| Energy Transfer LP, 6.625% to 2/15/28, Series B(b)(c) |
|
|
|
176,000 |
|
|
|
174,137 |
|
| Energy Transfer LP, 7.125% to 5/15/30, Series G(b)(c) |
|
|
|
1,933,000 |
|
|
|
1,979,440 |
|
| Enterprise Products Operating LLC, 8.343% (3 Month USD Term SOFR + 3.248%), due
8/16/77, Series D(a)(d) |
|
|
|
986,000 |
|
|
|
987,835 |
|
| South Bow Canadian Infrastructure Holdings Ltd., 7.50% to 12/1/34, due 3/1/55
(Canada)(c)(g) |
|
|
|
1,220,000 |
|
|
|
1,282,799 |
|
| South Bow Canadian Infrastructure Holdings Ltd., 7.625% to 12/1/29, due 3/1/55
(Canada)(c)(g) |
|
|
|
1,195,000 |
|
|
|
1,239,288 |
|
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(c) |
|
|
|
2,817,000 |
|
|
|
2,730,882 |
|
| Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(c) |
|
|
|
1,931,000 |
|
|
|
1,877,217 |
|
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(c) |
|
|
|
3,172,000 |
|
|
|
3,157,205 |
|
| Venture Global LNG, Inc., 9.00% to 9/30/29(a)(b)(c)(g) |
|
|
|
1,000,000 |
|
|
|
1,014,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,128,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal
Amount* |
|
|
Value |
|
| REAL ESTATE |
|
|
1.0 |
% |
|
|
|
|
|
|
|
|
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(a)(c)(g) |
|
|
|
289,000 |
|
|
$ |
287,382 |
|
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(a)(c)(g) |
|
|
|
1,200,000 |
|
|
|
1,184,189 |
|
| Unibail-Rodamco-Westfield SE, 7.25% to 7/3/28 (France)(b)(c)(f) |
|
|
EUR |
900,000 |
|
|
|
1,092,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,564,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RETAIL & WHOLESALE—STAPLES |
|
|
0.7 |
% |
|
|
|
|
|
|
|
|
| Land O’ Lakes, Inc., 7.00%(a)(b)(g) |
|
|
|
1,100,000 |
|
|
|
907,500 |
|
| Land O’ Lakes, Inc., 7.25%(a)(b)(g) |
|
|
|
1,190,000 |
|
|
|
1,006,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,914,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS |
|
|
0.3 |
% |
|
|
|
|
|
|
|
|
| Telefonica Europe BV, 6.135% to 2/3/30 (Spain)(b)(c)(f) |
|
|
EUR |
700,000 |
|
|
|
833,355 |
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES |
|
|
18.6 |
% |
|
|
|
|
|
|
|
|
| AES Corp., 7.60% to 10/15/29, due 1/15/55(c) |
|
|
|
1,883,000 |
|
|
|
1,981,498 |
|
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82
(Canada)(c) |
|
|
|
2,524,000 |
|
|
|
2,366,424 |
|
| AltaGas Ltd., 7.20% to 7/17/34, due 10/15/54 (Canada)(c)(g) |
|
|
|
1,350,000 |
|
|
|
1,382,243 |
|
| American Electric Power Co., Inc., 3.875% to 11/15/26, due 2/15/62(c) |
|
|
|
1,481,000 |
|
|
|
1,404,136 |
|
| American Electric Power Co., Inc., 6.95% to 9/15/34, due 12/15/54(c) |
|
|
|
1,780,000 |
|
|
|
1,898,653 |
|
| American Electric Power Co., Inc., 7.05% to 9/15/29, due 12/15/54(c) |
|
|
|
1,686,000 |
|
|
|
1,776,698 |
|
| CenterPoint Energy, Inc., 6.85% to 11/15/34, due 2/15/55, Series B(c) |
|
|
|
615,000 |
|
|
|
635,703 |
|
| CenterPoint Energy, Inc., 7.00% to 11/15/29, due 2/15/55, Series A(c) |
|
|
|
750,000 |
|
|
|
780,927 |
|
| CMS Energy Corp., 3.75% to 9/1/30, due 12/1/50(c) |
|
|
|
1,100,000 |
|
|
|
961,952 |
|
| CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(c) |
|
|
|
992,000 |
|
|
|
958,325 |
|
| Dominion Energy, Inc., 4.35% to 1/15/27, Series C(b)(c) |
|
|
|
2,525,000 |
|
|
|
2,471,849 |
|
| Dominion Energy, Inc., 6.875% to 11/3/29, due 2/1/55, Series A(a)(c) |
|
|
|
1,181,000 |
|
|
|
1,254,607 |
|
| Dominion Energy, Inc., 7.00% to 3/3/34, due 6/1/54, Series B(a)(c) |
|
|
|
2,295,000 |
|
|
|
2,511,480 |
|
| Duke Energy Corp., 6.45% to 6/3/34, due 9/1/54(a)(c) |
|
|
|
2,380,000 |
|
|
|
2,477,104 |
|
| Edison International, 5.375% to 3/15/26, Series A(b)(c) |
|
|
|
2,180,000 |
|
|
|
2,163,853 |
|
| Edison International, 7.875% to 3/15/29, due 6/15/54(c) |
|
|
|
860,000 |
|
|
|
905,515 |
|
| Electricite de France SA, 5.625% to 6/17/32, Series EMTN (France)(a)(b)(c)(f) |
|
|
EUR |
600,000 |
|
|
|
678,183 |
|
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series
16-A (Canada)(c) |
|
|
|
1,900,000 |
|
|
|
1,918,088 |
|
| Entergy Corp., 7.125% to 9/1/29, due 12/1/54(a)(c) |
|
|
|
1,860,000 |
|
|
|
1,933,171 |
|
| EUSHI Finance, Inc., 7.625% to 9/15/29, due 12/15/54(c)(g) |
|
|
|
985,000 |
|
|
|
1,041,761 |
|
| NextEra Energy Capital Holdings, Inc., 3.80% to 3/15/27, due 3/15/82(a)(c) |
|
|
|
392,000 |
|
|
|
375,336 |
|
| NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(a)(c) |
|
|
|
538,000 |
|
|
|
536,316 |
|
| NextEra Energy Capital Holdings, Inc., 6.70% to 6/1/29, due 9/1/54(a)(c) |
|
|
|
2,132,000 |
|
|
|
2,241,802 |
|
| NextEra Energy Capital Holdings, Inc., 6.75% to 3/15/34, due 6/15/54(a)(c) |
|
|
|
3,385,000 |
|
|
|
3,661,189 |
|
| NiSource, Inc., 6.375% to 12/31/34, due 3/31/55(c) |
|
|
|
1,249,000 |
|
|
|
1,275,484 |
|
| NiSource, Inc., 6.95% to 8/30/29, due 11/30/54(c) |
|
|
|
547,000 |
|
|
|
566,440 |
|
| Sempra, 4.125% to 1/1/27, due 4/1/52(a)(c) |
|
|
|
2,252,000 |
|
|
|
2,152,483 |
|
| Sempra, 4.875% to 10/15/25(b)(c) |
|
|
|
671,000 |
|
|
|
665,475 |
|
| Sempra, 6.40% to 7/1/34, due 10/1/54(a)(c) |
|
|
|
1,905,000 |
|
|
|
1,913,348 |
|
| Sempra, 6.875% to 7/1/29, due 10/1/54(a)(c) |
|
|
|
2,595,000 |
|
|
|
2,696,332 |
|
| Southern Co., 3.75% to 6/15/26, due 9/15/51, Series
21-A(a)(c) |
|
|
|
1,064,000 |
|
|
|
1,031,702 |
|
| Southern Co., 4.00% to 10/15/25, due 1/15/51, Series B(a)(c) |
|
|
|
750,000 |
|
|
|
740,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,358,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED
SECURITIES—OVER-THE-COUNTER
(Identified cost—$312,479,008) |
|
|
|
327,833,577 |
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
Value |
|
| SHORT-TERM INVESTMENTS |
|
|
2.2 |
% |
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS |
|
|
|
|
|
|
|
|
|
|
|
|
| State Street Institutional Treasury Plus Money Market Fund, Premier Class,
4.95%(k) |
|
|
|
3,802,729 |
|
|
$ |
3,802,729 |
|
| State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.94%(k) |
|
|
|
2,118,052 |
|
|
|
2,118,052 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$5,920,781) |
|
|
|
|
|
|
|
5,920,781 |
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$373,346,624) |
|
|
147.4 |
% |
|
|
|
|
|
|
391,296,267 |
|
| LIABILITIES IN EXCESS OF OTHER ASSETS |
|
|
(47.4 |
) |
|
|
|
|
|
|
(125,862,111 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS (Equivalent to $22.07 per share based on 12,028,187 shares of common stock
outstanding) |
|
|
100.0 |
% |
|
|
|
|
|
$ |
265,434,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Interest Rate Swap Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Amount |
|
|
Fixed
Rate
Payable |
|
Fixed
Payment
Frequency |
|
Floating
Rate
Receivable
(resets monthly) |
|
Floating
Payment
Frequency |
|
Maturity Date |
|
Value |
|
|
Upfront
Receipts
(Payments) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
$ 30,000,000 |
|
|
0.548% |
|
Monthly |
|
4.944%(l) |
|
Monthly |
|
9/15/25 |
|
$ |
1,031,131 |
|
|
$ |
2,702 |
|
|
$ |
1,033,833 |
|
| |
39,000,000 |
|
|
1.181% |
|
Monthly |
|
4.944%(l) |
|
Monthly |
|
9/15/26 |
|
|
1,825,642 |
|
|
|
5,381 |
|
|
|
1,831,023 |
|
| |
40,000,000 |
|
|
0.930% |
|
Monthly |
|
4.944%(l) |
|
Monthly |
|
9/15/27 |
|
|
2,891,295 |
|
|
|
6,434 |
|
|
|
2,897,729 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,748,068 |
|
|
$ |
14,517 |
|
|
$ |
5,762,585 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The total amount of all interest rate swap contracts as presented in the table above is representative of the
volume of activity for this derivative type during the period ended September 30, 2024.
8
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Contracts
to Deliver |
|
|
In Exchange
For |
|
|
Settlement
Date |
|
Unrealized
Appreciation
(Depreciation) |
|
| Brown Brothers Harriman |
|
CAD |
|
|
541,836 |
|
|
USD |
|
|
402,379 |
|
|
10/2/24 |
|
$ |
1,738 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
17,204,977 |
|
|
USD |
|
|
19,069,480 |
|
|
10/2/24 |
|
|
(82,230 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
3,944,310 |
|
|
USD |
|
|
4,371,755 |
|
|
10/2/24 |
|
|
(18,851 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
600,000 |
|
|
USD |
|
|
661,548 |
|
|
10/2/24 |
|
|
(6,342 |
) |
| Brown Brothers Harriman |
|
EUR |
|
|
339,950 |
|
|
USD |
|
|
374,822 |
|
|
10/2/24 |
|
|
(3,593 |
) |
| Brown Brothers Harriman |
|
GBP |
|
|
5,496,584 |
|
|
USD |
|
|
7,224,490 |
|
|
10/2/24 |
|
|
(124,169 |
) |
| Brown Brothers Harriman |
|
GBP |
|
|
611,715 |
|
|
USD |
|
|
797,964 |
|
|
10/2/24 |
|
|
(19,869 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
401,036 |
|
|
CAD |
|
|
541,836 |
|
|
10/2/24 |
|
|
(395 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
15,242,619 |
|
|
EUR |
|
|
13,656,303 |
|
|
10/2/24 |
|
|
(41,113 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
5,072,177 |
|
|
EUR |
|
|
4,544,310 |
|
|
10/2/24 |
|
|
(13,681 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
569,362 |
|
|
EUR |
|
|
509,975 |
|
|
10/2/24 |
|
|
(1,683 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
521,562 |
|
|
EUR |
|
|
468,310 |
|
|
10/2/24 |
|
|
(263 |
) |
| Brown Brothers Harriman |
|
USD |
|
|
873,912 |
|
|
EUR |
|
|
785,180 |
|
|
10/2/24 |
|
|
110 |
|
| Brown Brothers Harriman |
|
USD |
|
|
486,633 |
|
|
EUR |
|
|
438,505 |
|
|
10/2/24 |
|
|
1,489 |
|
| Brown Brothers Harriman |
|
USD |
|
|
914,358 |
|
|
EUR |
|
|
827,096 |
|
|
10/2/24 |
|
|
6,324 |
|
| Brown Brothers Harriman |
|
USD |
|
|
948,637 |
|
|
EUR |
|
|
859,558 |
|
|
10/2/24 |
|
|
8,180 |
|
| Brown Brothers Harriman |
|
USD |
|
|
8,192,573 |
|
|
GBP |
|
|
6,108,299 |
|
|
10/2/24 |
|
|
(26,081 |
) |
| Brown Brothers Harriman |
|
CAD |
|
|
550,462 |
|
|
USD |
|
|
407,714 |
|
|
11/4/24 |
|
|
370 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
4,593,391 |
|
|
USD |
|
|
5,133,620 |
|
|
11/4/24 |
|
|
13,457 |
|
| Brown Brothers Harriman |
|
EUR |
|
|
13,700,631 |
|
|
USD |
|
|
15,311,962 |
|
|
11/4/24 |
|
|
40,137 |
|
| Brown Brothers Harriman |
|
GBP |
|
|
6,133,765 |
|
|
USD |
|
|
8,225,931 |
|
|
11/4/24 |
|
|
25,521 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(240,944 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Glossary of Portfolio Abbreviations
|
|
|
| CAD |
|
Canadian Dollar |
| EMTN |
|
Euro Medium Term Note |
| EUR |
|
Euro Currency |
| GBP |
|
British Pound |
| ICON |
|
Income Capital Obligation Note |
| 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.
| * |
Amount denominated in U.S. dollars unless otherwise indicated. |
| (a) |
All or a portion of the security is pledged as collateral in connection with the Fund's revolving credit
agreement. $179,302,052 in aggregate has been pledged as collateral. |
| (b) |
Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by
the issuer. |
| (c) |
Security converts to floating rate after the indicated fixed–rate coupon period. |
| (d) |
Variable rate. Rate shown is in effect at September 30, 2024. |
| (e) |
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 $117,897,590 which represents 44.4% of the net assets of the Fund (29.9% of the managed assets of the Fund). |
| (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 $38,733,618 which represents 14.6% of the net assets of the Fund, of which 0.9% are illiquid. |
9
| (g) |
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 $76,486,090 which represents 28.8% of the net assets of the Fund, of which 0.0% are illiquid. |
| (h) |
Non–income producing security. |
| (i) |
Security is in default. |
| (j) |
Security value is determined based on significant unobservable inputs (Level 3). |
| (k) |
Rate quoted represents the annualized seven–day yield. |
| (l) |
Based on USD-SOFR-OIS. Represents rates in effect at September 30, 2024. |
|
|
|
|
|
| Country Summary |
|
% of
Managed
Assets |
|
| United States |
|
|
51.2 |
|
| United Kingdom |
|
|
11.2 |
|
| Canada |
|
|
10.8 |
|
| France |
|
|
7.5 |
|
| Spain |
|
|
4.0 |
|
| Netherlands |
|
|
3.9 |
|
| Switzerland |
|
|
3.2 |
|
| Japan |
|
|
1.0 |
|
| Germany |
|
|
1.0 |
|
| Italy |
|
|
0.8 |
|
| Sweden |
|
|
0.8 |
|
| Australia |
|
|
0.7 |
|
| Ireland |
|
|
0.7 |
|
| Other (includes short-term investments) |
|
|
3.2 |
|
|
|
|
|
|
|
|
|
100.0 |
|
|
|
|
|
|
10
COHEN & STEERS SELECT 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 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 Board of Directors has designated the investment manager as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment manager is authorized to make fair valuation determinations, subject to the oversight of the Board of Directors. The investment manager has established
a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to
utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Securities for which market prices are unavailable, or securities for which the investment manager determines that the bid
and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in
which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close
of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or
factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated
using market quotations. Fair value pricing involves subjective judgements and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to
transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in
determining the fair value of the Fund’s investments is summarized below.
COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
| |
• |
|
Level 1 — quoted prices in active markets for identical investments |
| |
• |
|
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest
rates, credit risk, etc.) |
| |
• |
|
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the
fair value of investments) |
The inputs or methodology used for valuing investments may or may not be an
indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the inputs used as of September 30, 2024 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 |
|
$ |
57,541,909 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
57,541,909 |
|
| Preferred
Securities—Over-The-Counter: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banking |
|
|
— |
|
|
|
194,261,062 |
|
|
|
292,500 |
(a) |
|
|
194,553,562 |
|
| Other Industries |
|
|
— |
|
|
|
133,280,015 |
|
|
|
— |
|
|
|
133,280,015 |
|
| Short-Term Investments |
|
|
— |
|
|
|
5,920,781 |
|
|
|
— |
|
|
|
5,920,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities(b) |
|
$ |
57,541,909 |
|
|
$ |
333,461,858 |
|
|
$ |
292,500 |
|
|
$ |
391,296,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
97,326 |
|
|
$ |
— |
|
|
$ |
97,326 |
|
| Interest Rate Swap Contracts |
|
|
— |
|
|
|
5,762,585 |
|
|
|
— |
|
|
|
5,762,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Assets(b) |
|
$ |
— |
|
|
$ |
5,859,911 |
|
|
$ |
— |
|
|
$ |
5,859,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
$ |
— |
|
|
$ |
(338,270 |
) |
|
$ |
— |
|
|
$ |
(338,270 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Derivative Liabilities(b) |
|
$ |
— |
|
|
$ |
(338,270 |
) |
|
$ |
— |
|
|
$ |
(338,270 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Security has been fair valued by the Valuation Committee pursuant to the Fund’s fair value procedures
and classified as a Level 3 security. |
| (b) |
Portfolio holdings are disclosed individually on the Schedule of Investments. |
Note 2. Derivative Investments
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.
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 appreciation and depreciation. 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.
At September 30, 2024, the Fund did not have any total return swap contracts outstanding.
COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest
rate swaps in connection with borrowing under its credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the
Fund’s shares as a result of the floating rate structure of interest owed pursuant to the credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the
counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the credit agreement. The payment
obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could enhance or harm the overall performance of the Fund. Swaps are marked-to-market daily and changes in the value are recorded as unrealized appreciation (depreciation).
Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and
the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the
form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded as cash collateral
pledged for interest rate swap contracts. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin on interest rate swap contracts. Any upfront payments paid or received upon entering
into a swap agreement would be recorded as assets or liabilities, respectively, and amortized or accreted over the life of the swap and recorded as realized gain (loss). Payments received from or paid to the counterparty during the term of the
swap agreement, or at termination, are recorded as realized gain (loss).
Swap agreements involve, to varying degrees,
elements of market and counterparty risk, and exposure to loss in excess of the related amounts reflected on the Schedule of Investments. Such risks involve the possibility that there will be no liquid market for these agreements, that the
counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The following summarizes the monthly average volume of the Fund’s total return swap contracts and forward foreign
currency exchange contracts activity for the nine months ended September 30, 2024:
|
|
|
|
|
|
|
|
|
| |
|
Total Return Swap
Contracts |
|
|
Forward Foreign
Currency Exchange
Contracts |
|
| Average Notional Amount(a) |
|
$ |
7,734,923 |
|
|
$ |
28,493,434 |
|
| (a) |
Average notional amounts represent the average for all months in which the Fund had total return swap
contracts and forward foreign currency exchange contracts outstanding at month-end. For the period, this represents five months for total return swap contracts and nine months for forward foreign currency
exchange contracts. |
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