NPORT-EX 2 NPORT_4X26_39096413_0325.htm DOS

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2025 (Unaudited)

 

              Principal
Amount*		      Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES

      0.2 %      

NYO Commercial Mortgage Trust, 5.98% (1 Month USD Term SOFR + 1.659%), due 12/15/38, Series 2021-1290(a)(b)

        4,450,000      $     4,421,519  
       

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified cost—$4,278,953)

           4,421,519  
       

 

 

  
           Shares         

COMMON STOCK—REAL ESTATE

      112.0 %      

APARTMENT

      6.6 %      

AvalonBay Communities, Inc.(c)

 

     95,454        20,486,337  

Essex Property Trust, Inc.(d)

 

     74,922        22,968,838  

UDR, Inc.(d)

 

     1,623,664        73,340,903  
    

 

 

  
          116,796,078  
       

 

 

  

DATA CENTERS

      11.1 %      

Digital Realty Trust, Inc.(d)(e)

 

     808,209        115,808,268  

Equinix, Inc.

 

     98,296        80,145,643  
    

 

 

  
          195,953,911  
       

 

 

  

FREE STANDING

      5.0 %      

Agree Realty Corp.(d)

 

     281,350        21,717,406  

NETSTREIT Corp.

 

         1,103,359        17,488,240  

Realty Income Corp.(d)

 

     852,177        49,434,788  
    

 

 

  
          88,640,434  
       

 

 

  

GAMING

      2.4 %      

VICI Properties, Inc., Class A

 

     1,291,269        42,121,195  
    

 

 

  

HEALTH CARE

      18.7 %      

Healthcare Realty Trust, Inc., Class A(c)

 

     3,345,258        56,534,860  

Omega Healthcare Investors, Inc.

 

     1,197,064        45,584,197  

Welltower, Inc.(c)(d)

 

     1,484,945        227,508,424  
    

 

 

  
          329,627,481  
       

 

 

  

HOTEL

      2.6 %      

Host Hotels & Resorts, Inc.(d)

 

     3,228,454        45,876,331  
    

 

 

  

INDUSTRIALS

      9.2 %      

Americold Realty Trust, Inc.

 

     1,308,951        28,090,088  

Lineage, Inc.(f)

 

     142,519        8,355,889  

Prologis, Inc.(d)

 

         1,114,210        124,557,536  
    

 

 

  
          161,003,513  
       

 

 

  

MANUFACTURED HOME

      4.9 %      

Equity LifeStyle Properties, Inc.(d)

 

     146,834        9,793,828  

Sun Communities, Inc.(d)

 

     595,929        76,660,306  
    

 

 

  
          86,454,134  
       

 

 

  

OFFICE

      1.4 %      

BXP, Inc.

 

     150,028        10,080,381  

Highwoods Properties, Inc.(d)(e)

 

     510,337        15,126,389  
    

 

 

  
          25,206,770  
       

 

 

  

 

1

 

 

              Shares      Value  

REGIONAL MALL

      3.6 %      

Simon Property Group, Inc.(d)(e)

 

     376,222      $    62,482,950  
    

 

 

  

SELF STORAGE

      8.9 %      

Extra Space Storage, Inc.(d)

 

     508,886        75,564,482  

Public Storage(c)(d)(e)

 

     272,437        81,537,670  
    

 

 

  
          157,102,152  
       

 

 

  

SHOPPING CENTER

      2.4 %      

Kimco Realty Corp.(d)(e)

 

     1,942,723        41,263,437  
    

 

 

  

SINGLE FAMILY HOMES

      6.0 %      

Invitation Homes, Inc.(d)

 

     3,021,862        105,311,891  
    

 

 

  

SPECIALTY

      5.3 %      

Iron Mountain, Inc.(d)

 

     661,913        56,950,995  

Lamar Advertising Co., Class A

 

     316,604        36,023,203  
    

 

 

  
          92,974,198  
       

 

 

  

TELECOMMUNICATIONS

      19.8 %      

American Tower Corp.(d)

 

          960,233        208,946,701  

Crown Castle, Inc.(d)

 

     968,671        100,964,578  

SBA Communications Corp., Class A(d)

 

     178,288        39,225,143  
    

 

 

  
          349,136,422  
       

 

 

  

TIMBERLAND

      4.1 %      

Rayonier, Inc.

 

     784,927        21,883,765  

Weyerhaeuser Co.(d)(e)

 

     1,740,366        50,957,916  
    

 

 

  
          72,841,681  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$1,597,173,707)

 

        1,972,792,578  
    

 

 

  

PREFERRED SECURITIES—EXCHANGE-TRADED

      9.9 %      

BANKING

      1.4 %      

Bank of America Corp., 5.375%, Series KK(d)(e)(g)

        100,000        2,245,000  

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

        224,608        5,594,985  

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

        124,812        2,490,000  

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

        75,000        1,844,250  

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

        69,325        1,225,666  

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

        88,000        1,691,360  

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

        208,044        4,142,156  

Wells Fargo & Co., 7.50%, Series L (Convertible)(d)(e)(g)

        4,000        4,803,200  
       

 

 

  
          24,036,617  
       

 

 

  

DIVERSIFIED

      1.5 %      

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

        378,000        8,331,120  

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

        404,788        9,500,374  

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

        404,770        9,475,666  
       

 

 

  
          27,307,160  
       

 

 

  

FINANCE

      0.1 %      

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

        50,000        890,000  
       

 

 

  

FREE STANDING

      0.2 %      

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

        156,565        2,694,484  
       

 

 

  

 

2

 

 

              Shares      Value  

HOTEL

      1.0 %      

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

 

     234,000      $     3,816,540  

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

 

     168,800        2,989,448  

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

 

     115,291        2,813,101  

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

 

     122,693        2,377,790  

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

 

     226,000        4,492,880  

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

 

     96,680        1,913,297  
       

 

 

  
          18,403,056  
       

 

 

  

INDUSTRIALS

      0.3 %      

LXP Industrial Trust, 6.50%, Series C(d)(e)(g)

        92,192        4,203,955  

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

 

     30,000        652,500  
       

 

 

  
          4,856,455  
       

 

 

  

INSURANCE

      0.2 %      

Allstate Corp., 7.375%, Series J(d)(g)

        81,248        2,126,260  

American Financial Group, Inc., 5.875%, due 3/30/59(d)

 

     26,958        590,920  
       

 

 

  
          2,717,180  
       

 

 

  

MANUFACTURED HOME

      0.1 %      

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

        115,000        2,573,700  
       

 

 

  

OFFICE

      0.2 %      

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

        61,000        1,140,700  

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

 

     40,939        538,757  

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

             122,040        2,014,881  
       

 

 

  
          3,694,338  
       

 

 

  

REGIONAL MALL

      0.0 %      

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

        10,713        132,948  
       

 

 

  

SELF STORAGE

      1.7 %      

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

 

     200,350        4,385,662  

Public Storage, 4.00%, Series P(d)(g)

        327,344        5,322,613  

Public Storage, 4.00%, Series R(g)

        25,036        407,085  

Public Storage, 4.10%, Series S(d)(g)

        96,792        1,621,266  

Public Storage, 4.625%, Series L(d)(g)

        540,339        10,212,407  

Public Storage, 4.70%, Series J(d)(g)

        233,965        4,559,978  

Public Storage, 4.75%, Series K(d)(g)

        101,000        1,989,700  

Public Storage, 5.15%, Series F(g)

        75,000        1,585,500  
       

 

 

  
          30,084,211  
       

 

 

  

SHOPPING CENTER

      1.1 %      

CTO Realty Growth, Inc., 6.375%, Series A(g)

        56,754        1,162,889  

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

        51,193        1,055,088  

Kimco Realty Corp., 5.25%, Class M(d)(g)

        201,358        4,214,423  

Regency Centers Corp., 5.875%, Series B(d)(g)

        209,900        4,601,008  

Regency Centers Corp., 6.25%, Series A(d)(g)

        161,156        3,761,381  

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

        111,000        2,287,710  

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

        101,300        2,116,157  
       

 

 

  
          19,198,656  
       

 

 

  

SINGLE FAMILY HOMES

      0.4 %      

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

 

     103,420        2,295,924  

 

3

 

 

              Shares      Value  

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

 

     228,349      $     5,393,603  
       

 

 

  
          7,689,527  
       

 

 

  

SPECIALTY

      0.3 %      

EPR Properties, 5.75%, Series G(d)(g)

 

     132,002        2,725,841  

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

 

     57,085        1,713,121  
       

 

 

  
          4,438,962  
       

 

 

  

TELECOMMUNICATION SERVICES

      0.7 %      

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

 

     279,911        5,337,903  

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

 

     188,182        3,803,158  

U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70(d)(e)

 

     135,504        2,997,348  
       

 

 

  
          12,138,409  
       

 

 

  

UTILITIES

      0.7 %      

CMS Energy Corp., 5.875%, due 3/1/79(d)(e)

 

          251,310        5,732,381  

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

 

     114,351        2,473,412  

Sempra, 5.75%, due 7/1/79(d)

 

     89,854        1,925,571  

Southern Co., 4.95%, due 1/30/80, Series 2020(d)

 

     39,187        800,199  

Southern Co., 6.50%, due 3/15/85

 

     83,200        2,133,248  
       

 

 

  
          13,064,811  
       

 

 

  

TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED
(Identified cost—$188,944,738)

 

        173,920,514  
    

 

 

  
           Principal
Amount*		         

PREFERRED SECURITIES—OVER-THE-COUNTER

      12.0 %      

BANKING

      6.6 %      

Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(g)(h)(i)

 

     1,200,000        1,305,929  

Bank of New York Mellon Corp., 3.75% to 12/20/26, Series I(d)(e)(g)(i)

 

     3,877,000        3,715,575  

Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(d)(i)

 

     1,000,000        1,048,263  

Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(d)(e)(g)(h)(i)

 

     5,400,000        5,936,495  

BNP Paribas SA, 7.75% to 8/16/29 (France)(a)(d)(g)(h)(i)

 

     3,800,000        3,923,523  

BNP Paribas SA, 8.50% to 8/14/28 (France)(a)(d)(g)(h)(i)

 

     2,200,000        2,306,315  

Charles Schwab Corp., 4.00% to 6/1/26, Series I(d)(e)(g)(i)

 

     6,750,000        6,587,904  

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

 

     3,850,000        3,416,871  

Citigroup Capital III, 7.625%, due 12/1/36(d)

 

     1,090,000        1,213,178  

Citigroup, Inc., 3.875% to 2/18/26, Series X(d)(e)(g)(i)

 

     5,470,000        5,357,206  

Citigroup, Inc., 4.00% to 12/10/25, Series W(d)(e)(g)(i)

 

     6,000,000        5,921,768  

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

 

     2,140,000        2,158,074  

Citigroup, Inc., 6.95% to 2/15/30, Series FF(d)(e)(g)(i)

 

     3,500,000        3,498,662  

Citigroup, Inc., 7.00% to 8/15/34, Series DD(g)(i)

 

     1,250,000        1,299,081  

Credit Suisse Group AG, 5.25%, Claim (Switzerland)(a)(g)(h)(j)(k)

 

     1,500,000        120,000  

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

 

     3,200,000        3,197,460  

ING Groep NV, 5.75% to 11/16/26 (Netherlands)(d)(e)(g)(h)(i)

 

     7,000,000        6,950,775  

ING Groep NV, 7.25% to 11/16/34 (Netherlands)(g)(h)(i)(l)

 

     1,600,000        1,622,000  

Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(a)(d)(g)(h)(i)

 

     2,000,000        2,002,613  

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

 

     2,100,000        2,112,373  

NatWest Group PLC, 6.00% to 12/29/25 (United Kingdom)(d)(g)(h)(i)

 

     1,400,000        1,401,256  

NatWest Group PLC, 8.00% to 8/10/25 (United Kingdom)(d)(g)(h)(i)

 

     3,400,000        3,420,227  

NatWest Group PLC, 8.125% to 11/10/33 (United Kingdom)(g)(h)(i)

 

     1,550,000        1,631,186  

 

4

 

 

              Principal
Amount*		      Value  

PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(d)(e)(g)(i)

 

     2,270,000      $     2,284,296  

PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(d)(e)(g)(i)

 

     4,260,000        4,329,851  

Societe Generale SA, 8.00% to 9/29/25 (France)(a)(d)(g)(h)(i)

 

     1,000,000        1,006,343  

Societe Generale SA, 8.125% to 11/21/29 (France)(a)(g)(h)(i)

 

     2,400,000        2,396,783  

Societe Generale SA, 9.375% to 11/22/27 (France)(a)(d)(g)(h)(i)

 

     1,800,000        1,902,251  

State Street Corp., 6.70% to 9/15/29, Series J(g)(i)

 

     1,800,000        1,847,392  

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

 

   EUR  1,500,000        1,828,051  

Swedbank AB, 7.75% to 3/17/30 (Sweden)(g)(h)(i)(l)

 

     2,200,000        2,275,625  

Toronto-Dominion Bank, 7.25% to 7/31/29, due 7/31/84 (Canada)(i)

 

     2,000,000        2,015,110  

Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada)(d)(i)

 

         1,000,000        1,036,905  

UBS Group AG, 6.85% to 9/10/29 (Switzerland)(a)(d)(g)(h)(i)

 

     2,600,000        2,591,403  

UBS Group AG, 6.875% to 8/7/25 (Switzerland)(g)(h)(i)(l)

 

     600,000        601,328  

UBS Group AG, 9.25% to 11/13/28 (Switzerland)(a)(d)(e)(g)(h)(i)

 

     2,600,000        2,830,204  

UBS Group AG, 9.25% to 11/13/33 (Switzerland)(a)(d)(e)(g)(h)(i)

 

     2,200,000        2,516,144  

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

 

     8,877,000        8,705,677  

Wells Fargo & Co., 6.85% to 9/15/29(d)(e)(g)(i)

 

     5,450,000        5,669,150  

Wells Fargo & Co., 7.625% to 9/15/28(d)(g)(i)

 

     2,060,000        2,205,710  
    

 

 

  
          116,188,957  
       

 

 

  

BROKERAGE

      0.3 %      

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

 

     1,675,000        1,624,698  

Goldman Sachs Group, Inc., 7.50% to 2/10/29, Series W(g)(i)

 

     1,750,000        1,839,610  

Goldman Sachs Group, Inc., 7.50% to 5/10/29, Series X(g)(i)

 

     1,820,000        1,913,504  
    

 

 

  
          5,377,812  
       

 

 

  

ENERGY

      0.1 %      

BP Capital Markets PLC, 6.45% to 12/1/33(d)(g)(i)

 

     2,000,000        2,045,600  
    

 

 

  

FINANCE

      0.2 %      

American Express Co., 3.55% to 9/15/26 , Series D(d)(e)(g)(i)

 

     3,508,000        3,396,561  
    

 

 

  

INSURANCE

      1.0 %      

Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(d)(e)(i)

 

     3,090,000        3,158,606  

Dai-ichi Life Insurance Co. Ltd., 6.20% to 1/16/35 (Japan)(a)(d)(e)(g)(i)

 

     3,200,000        3,218,067  

Equitable Holdings, Inc., 6.70% to 12/28/34, due 3/28/55(i)

 

     4,140,000        4,118,372  

MetLife Capital Trust IV, 7.875%, due 12/15/37(a)(d)

 

     2,000,000        2,196,186  

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

 

     1,700,000        1,704,942  

Voya Financial, Inc., 7.758% to 9/15/28, Series A(d)(g)(i)

 

     2,500,000        2,599,345  
    

 

 

  
          16,995,518  
       

 

 

  

PIPELINES

      1.1 %      

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

 

     1,750,000        1,729,538  

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

 

     2,610,000        2,660,556  

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

 

     3,800,000        3,989,673  

Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(d)(e)(i)

 

     2,430,000        2,682,482  

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

 

     1,480,000        1,481,955  

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

 

     3,825,000        3,879,972  

South Bow Canadian Infrastructure Holdings Ltd., 7.50% to 12/1/34, due 3/1/55 (Canada)(a)(i)

        2,300,000        2,329,941  
    

 

 

  
          18,754,117  
       

 

 

  

SHOPPING CENTER

      0.3 %      

Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80 (Australia)(a)(d)(i)

 

     592,000        589,382  

Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(a)(d)(i)

 

     2,550,000        2,503,767  

 

5

 

 

              Principal
Amount*		      Value  

Unibail-Rodamco-Westfield SE, 7.25% to 7/3/28 (France)(g)(i)(l)

 

   EUR  2,700,000      $     3,179,163  
    

 

 

  
          6,272,312  
       

 

 

  

TELECOMMUNICATION SERVICES

      0.6 %      

Bell Canada, 7.00% to 6/15/35, due 9/15/55 (Canada)(i)

 

     2,081,000        2,084,511  

Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d)(e)(i)

 

     5,710,000        5,077,225  

Vodafone Group PLC, 5.125% to 12/4/50, due 6/4/81 (United Kingdom)(i)

 

     500,000        379,654  

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

 

     3,354,000        3,459,654  
    

 

 

  
          11,001,044  
       

 

 

  

UTILITIES

      1.8 %      

AES Corp., 7.60% to 10/15/29, due 1/15/55(i)

 

     750,000        758,707  

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

        2,600,000        2,478,653  

American Electric Power Co., Inc., 6.95% to 9/15/34, due 12/15/54(d)(i)

 

     2,600,000        2,658,627  

CenterPoint Energy, Inc., 6.85% to 11/15/34, due 2/15/55, Series B(i)

 

         1,000,000        1,004,310  

Dominion Energy, Inc., 4.35% to 1/15/27, Series C(g)(i)

 

     2,500,000        2,435,864  

Dominion Energy, Inc., 6.875% to 11/3/29, due 2/1/55, Series A(d)(i)

 

     2,415,000        2,501,133  

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

 

     735,000        739,185  

Entergy Corp., 7.125% to 9/1/29, due 12/1/54(d)(e)(i)

 

     3,600,000        3,653,068  

EUSHI Finance, Inc., 7.625% to 9/15/29, due 12/15/54(i)

 

     2,167,000        2,260,216  

Sempra, 4.125% to 1/1/27, due 4/1/52(d)(e)(i)

 

     5,000,000        4,710,843  

Sempra, 6.40% to 7/1/34, due 10/1/54(d)(e)(i)

 

     4,190,000        3,984,654  

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

 

     700,000        681,484  

Southern Co., 6.375% to 12/15/34, due 3/15/55, Series 2025(d)(e)(i)

 

     3,500,000        3,592,620  
    

 

 

  
          31,459,364  
       

 

 

  

TOTAL PREFERRED SECURITIES—OVER-THE-COUNTER
(Identified cost—$210,789,821)

 

        211,491,285  
    

 

 

  

CORPORATE BONDS

      2.8 %      

APARTMENT

      0.3 %      

ERP Operating LP, 4.50%, due 6/1/45

 

     1,500,000        1,287,778  

Essex Portfolio LP, 5.50%, due 4/1/34(d)(e)

 

     3,440,000        3,474,410  
       

 

 

  
          4,762,188  
       

 

 

  

DIVERSIFIED

      0.2 %      

American Assets Trust LP, 6.15%, due 10/1/34(d)

 

     2,685,000        2,686,515  

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

 

     1,000,000        942,016  
       

 

 

  
          3,628,531  
       

 

 

  

FREE STANDING

      0.1 %      

Agree LP, 5.625%, due 6/15/34

 

     925,000        936,500  
       

 

 

  

HEALTH CARE

      0.0 %      

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

        500,000        434,556  
       

 

 

  

HOTEL

      0.1 %      

Host Hotels & Resorts LP, 5.70%, due 7/1/34

 

     2,265,000        2,267,394  
       

 

 

  

INDUSTRIALS

      0.1 %      

Americold Realty Operating Partnership LP, 5.409%, due 9/12/34

 

     1,000,000        976,830  
       

 

 

  

 

6

 

 

              Principal
Amount*		     Value  

OFFICE

      0.2 %     

Hudson Pacific Properties LP, 5.95%, due 2/15/28(d)(e)

        2,975,000     $     2,586,579  

Piedmont Operating Partnership LP, 9.25%, due 7/20/28(d)

        1,325,000       1,460,447  
      

 

 

  
         4,047,026  
      

 

 

  

REGIONAL MALL

      0.1 %     

Simon Property Group LP, 5.85%, due 3/8/53(d)

        2,620,000       2,644,018  
      

 

 

  

RETAIL

      0.1 %     

Essential Properties LP, 2.95%, due 7/15/31(d)

        1,473,000       1,278,250  
      

 

 

  

SELF STORAGE

      0.1 %     

Public Storage Operating Co., 5.35%, due 8/1/53(d)(e)

        1,705,000       1,637,236  
      

 

 

  

SHOPPING CENTER

      0.8 %     

Federal Realty OP LP, 4.50%, due 12/1/44(d)

        1,700,000       1,440,732  

Kimco Realty OP LLC, 4.85%, due 3/1/35(d)

        2,800,000       2,696,714  

Kimco Realty OP LLC, 6.40%, due 3/1/34(d)(e)

        1,460,000       1,568,154  

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

 

     4,200,000       3,962,737  

Phillips Edison Grocery Center Operating Partnership I LP, 2.625%, due 11/15/31(d)

 

     1,160,000       997,511  

Phillips Edison Grocery Center Operating Partnership I LP, 5.75%, due 7/15/34(d)

 

         1,995,000       2,012,309  

Regency Centers LP, 5.25%, due 1/15/34(d)(e)

        1,595,000       1,597,472  
      

 

 

  
         14,275,629  
      

 

 

  

SINGLE FAMILY HOMES

      0.1 %     

American Homes 4 Rent LP, 5.25%, due 3/15/35

        1,125,000       1,104,425  
      

 

 

  

SPECIALTY

      0.5 %     

Newmark Group, Inc., 7.50%, due 1/12/29

        840,000       881,718  

VICI Properties LP, 5.625%, due 5/15/52(d)

        1,765,000       1,611,119  

VICI Properties LP, 6.125%, due 4/1/54

        1,100,000       1,073,005  

VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30(a)(d)(e)

 

     6,297,000       5,934,478  
      

 

 

  
         9,500,320  
      

 

 

  

TELECOMMUNICATIONS

      0.1 %     

Crown Castle, Inc., 4.00%, due 11/15/49

        1,800,000       1,337,285  
      

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$49,223,329)

          48,830,188  
      

 

 

  
           Ownership%††        

PRIVATE REAL ESTATE—OFFICE

      1.1 %     

Legacy Gateway JV LLC, Plano, TX(m)

        56.5 %      19,668,391  
      

 

 

  

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

          19,668,391  
      

 

 

  
           Shares        

SHORT-TERM INVESTMENTS

      1.4 %     

MONEY MARKET FUNDS

       

State Street Institutional Treasury Plus Money Market Fund, Premier Class, 4.28%(n)

        14,957,186       14,957,186  

 

7

 

 

              Shares      Value  

State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.29%(n)

            9,637,899      $ 9,637,899  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$24,595,085)

           24,595,085  
       

 

 

  

PURCHASED OPTION CONTRACTS
(Premiums paid—$95,582)

      0.0 %         78,200  
       

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$2,098,738,620)

      139.4 %         2,455,797,760  

WRITTEN OPTION CONTRACTS
(Premiums received—$1,352,639)

      (0.1 )         (1,557,984 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (39.3 )         (692,555,250 ) 

SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE

      (0.0 )         (125,000 ) 
  

 

 

       

 

 

  

NET ASSETS

         100.0 %       $ 1,761,559,526  
  

 

 

       

 

 

  

Exchange-Traded Option Contracts

 

Purchased Options
Description   Exercise
Price		   Expiration
Date		   Number of
Contracts		   Notional
Amount(o)		   Premiums
Paid		   Value

Put—Public Storage

     $ 280.00       5/16/25       170     $ 5,087,930     $ 95,582     $ 78,200
                                                             
                                                             
Written Options                              
Description   Exercise
Price		   Expiration
Date		   Number of
Contracts		   Notional
Amount(o)		   Premiums
Received		   Value

Call—American Tower Corp.

     $ 220.00       4/17/25       (239 )     $ (5,200,640 )     $ (79,516 )     $ (88,430 )

Call—Welltower, Inc.

       150.00       4/17/25       (359 )       (5,500,239 )       (200,522 )       (208,220 )

Call—VICI Properties, Inc.

       32.50       5/16/25       (1,554 )       (5,069,148 )       (91,018 )       (170,940 )

Put—AvalonBay Communities, Inc.

       200.00       4/17/25       (226 )       (4,850,412 )       (46,910 )       (13,235 )

Put—BXP, Inc.

       60.00       4/17/25       (751 )       (5,045,969 )       (70,270 )       (21,028 )

Put—Equinix, Inc.

       840.00       4/17/25       (56 )       (4,565,960 )       (68,182 )       (183,120 )

Put—Extra Space Storage, Inc.

       140.00       4/17/25       (328 )       (4,870,472 )       (53,322 )       (27,880 )

Put—Host Hotels & Resorts, Inc.

       16.00       4/17/25       (3,152 )       (4,478,992 )       (436,766 )       (614,640 )

Put—Kilroy Realty Corp.

       30.00       4/17/25       (1,464 )       (4,796,064 )       (39,808 )       (36,600 )

Put—Kimco Realty Corp.

       20.00       4/17/25       (2,384 )       (5,063,616 )       (56,194 )       (35,760 )

Put—Americold Realty Trust, Inc.

       20.00       5/16/25       (2,302 )       (4,940,092 )       (103,407 )       (71,431 )

Put—Public Storage

       270.00       5/16/25       (340 )       (10,175,860 )       (106,724 )       (86,700 )
              (13,155 )     $ (64,557,464 )     $ (1,352,639 )     $ (1,557,984 )
                                                             
                                                             

 

8

 

 

Centrally Cleared Interest Rate Swap Contracts

 

Notional
Amount		   Fixed
Rate
Payable		   Fixed
Payment
Frequency		  

Floating
Rate
Receivable
(resets

daily)

   Floating
Payment
Frequency		   Maturity
Date		   Value   Upfront
Payments
(Receipts)		   Unrealized
Appreciation
(Depreciation)
    $ 200,000,000         0.670%   Monthly       4.524%(p )    Monthly       9/15/25     $ 3,683,335     $ (8,592 )     $ 3,691,927
    69,000,000         1.280%   Monthly       4.524%(p )    Monthly       2/3/26       1,807,196       (3,475 )       1,810,671
    115,000,000         0.762%   Monthly       4.524%(p )    Monthly       9/15/26       5,370,475       (11,980 )       5,382,455
    190,000,000         1.237%   Monthly       4.524%(p )    Monthly       9/15/27       11,704,377       (25,100 )       11,729,477
    100,000,000         3.655%   Monthly       USD-SOFR-OIS(q )   Monthly       9/15/28       (403,982 )       —       (403,982 )
    100,000,000         3.588%   Monthly       USD-SOFR-OIS(q )   Monthly       9/15/28       (213,213 )       —       (213,213 )
                                                                           
                      $ 21,948,188     $ (49,147 )     $ 21,997,335
                                                                           
                                                                           

Forward Foreign Currency Exchange Contracts

 

Counterparty    Contracts to
Deliver		   

In Exchange

For

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)

Brown Brothers Harriman

    EUR        6,987,275    USD        7,570,825        4/28/25      $ 4,907
                                                       
                                                       

Glossary of Portfolio Abbreviations

 

EUR    Euro Currency
OIS    Overnight Indexed Swap
REIT    Real Estate Investment Trust
SOFR    Secured Overnight Financing Rate
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.

††

Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.

(a)

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 $47,693,672 which represents 2.7% of the net assets of the Fund, of which 0.0% are illiquid.

(b)

Variable rate. Rate shown is in effect at March 31, 2025.

(c)

All or a portion of the security is pledged in connection with exchange-traded written option contracts. $42,212,963 in aggregate has been pledged as collateral.

(d)

All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $1,608,270,885 in aggregate has been pledged as collateral.

(e)

A portion of the security has been rehypothecated in connection with the Fund’s revolving credit agreement. $475,920,708 in aggregate has been rehypothecated.

(f)

Restricted security. Aggregate holdings equal 0.5% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $8,757,813.

(g)

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

(h)

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 $52,050,233 which represents 3.0% of the net assets of the Fund (2.1% of the managed assets of the Fund).

(i)

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

(j)

Non–income producing security.

(k)

Security is in default.

(l)

Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $9,506,167 which represents 0.5% of the net assets of the Fund, of which 0.0% are illiquid.

 

9

 

 

(m)

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

(n)

Rate quoted represents the annualized seven–day yield.

(o)

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

(p)

Based on USD-SOFR-OIS. Represents rates in effect at March 31, 2025.

(q)

Represents a forward–starting interest rate swap contract with interest receipts and payments commencing on September 15, 2025 (effective date).

 

10

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

 

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Exchange traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued based upon prices provided by a third-party pricing service. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment manager) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment manager in the determination of the Fund’s fair value of private real estate investments held by the Cohen & Steers RQI Trust (the REIT Subsidiary). Limited scope appraisals are prepared on a monthly basis and typically include a limited comparable sales and a full discounted cash flow analysis. Annually, a full scope, detailed appraisal report is completed which typically includes market analysis, cost approach, sales comparison approach and an income approach containing a discounted cash flow analysis. The full scope report is prepared by a third-party appraisal firm. The investment manager, including through communication with the Independent Valuation Advisor, monitors for material events that the investment manager believes may be expected to have a material impact on the most recent estimated fair values of such private real estate investments. However, rapidly changing market conditions or material events may not be immediately reflected in the Fund’s or REIT Subsidiary’s daily NAV. The investment manager, in conjunction with the Independent Valuation Advisor, values the private real estate investments using the valuation methodology it deems most appropriate and consistent with industry best practices and market conditions. The investment manager expects the primary methodology used to value private real estate investments will be the income approach. Consistent with industry practices, the income approach incorporates actual contractual lease income, professional judgments regarding comparable rental and operating expense data, the capitalization or discount rate and projections of future rent and expenses based on appropriate market evidence, and other subjective factors. Other methodologies that may also be used to value properties include, among other approaches, sales comparisons and cost approaches. Private real estate appraisals are reported on a free and clear basis (i.e. any property-level indebtedness that may be in place is not incorporated into the valuation). Property level debt is valued separately in accordance with GAAP.

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

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

 

The Board of Directors has designated the investment manager as the Fund’s “Valuation Designee” under Rule 2a-5 under the Investment Company Act of 1940. 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.

For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities are categorized as Level 2 or 3 in the hierarchy, depending on the relative significance of the valuation inputs. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security’s underlying assets and liabilities.

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

 

  •  

Level 1 — quoted prices in active markets for identical investments

  •  

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

  •  

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

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

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

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

 

The following is a summary of the inputs used as of March 31, 2025 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  

Commercial Mortgage-Backed Securities

    $ —     $ 4,421,519     $ —     $ 4,421,519  

Common Stock—Real Estate

      1,972,792,578       —       —       1,972,792,578  

Preferred Securities—Exchange-Traded

      173,920,514       —       —       173,920,514  

Preferred Securities—Over-the-Counter

      —       211,491,285       —       211,491,285  

Corporate Bonds

      —       48,830,188       —       48,830,188  

Private Real Estate—Office

      —       —       19,668,391 (a)      19,668,391  

Short-Term Investments

      —       24,595,085       —       24,595,085  

Purchased Option Contracts

      78,200       —       —       78,200  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities(b)

    $ 2,146,791,292     $ 289,338,077     $ 19,668,391     $ 2,455,797,760  
  

 

 

    

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ —     $ 4,907     $ —     $ 4,907  

Interest Rate Swap Contracts

      —       22,614,530       —       22,614,530  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Assets(b)

    $ —     $ 22,619,437     $ —     $ 22,619,437  
  

 

 

    

 

 

    

 

 

    

 

 

  

Interest Rate Swap Contracts

    $ —     $ (617,195 )    $ —     $ (617,195 ) 

Written Option Contracts

      (1,473,318 )      (84,666 )      —       (1,557,984 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Liabilities(b)

    $ (1,473,318 )    $ (701,861 )    $ —     $ (2,175,179 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
 
(a)

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

(b)

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

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

 

     Balance
as of
December 31, 2024		      Change in
unrealized
appreciation
(depreciation)		     Balance
as of
March 31, 2025		  

Private Real Estate—Office

    $ 20,840,567      $ (1,172,176 )    $ 19,668,391  

The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2025 which were valued using significant unobservable inputs (Level 3) amounted to $(1,172,176).

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

 

     Fair Value at
March 31, 2025		      Valuation
Technique		    Unobservable Inputs    Amount   Valuation Impact
from an Increase
in Input(a)
     

Discounted

    Terminal
Capitalization Rate		    7.00%   Decrease

Private Real Estate—Office

    $ 19,668,391     

Cash Flow

    Discount Rate    8.25%   Decrease
 
(a)

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

 

 

 

COHEN & STEERS QUALITY INCOME REALTY FUND, INC.

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

 

Note 2. Derivative Investments

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

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

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

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

Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.

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

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

Swap agreements involve, to varying degrees, elements of market and counterparty risk, and exposure to loss in excess of the related amounts reflected on the Consolidated Schedule of Investments. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.