COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
March 31, 2021 (Unaudited)
| Shares | Value | |||||||||||
| PREFERRED SECURITIES—$25 PAR VALUE |
26.0 | % | ||||||||||
| BANKS |
5.7 | % | ||||||||||
| Bank of America Corp., 6.00%, Series GG(a) |
|
30,935 | $ | 841,432 | ||||||||
| Bank of America Corp., 5.875%, Series HH(a) |
|
22,936 | 625,923 | |||||||||
| Citigroup, Inc., 6.875% to 11/15/23, Series K(a),(b) |
|
23,247 | 658,820 | |||||||||
| Dime Community Bancshares, Inc., 5.50%(a) |
|
56,453 | 1,415,841 | |||||||||
| GMAC Capital Trust I, 5.983% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(c) |
|
91,409 | 2,329,101 | |||||||||
| Merchants Bancorp/IN, 6.00%, Series C(a) |
|
85,000 | 2,169,200 | |||||||||
| New York Community Bancorp, Inc., 6.375% to 3/17/27, Series A(a),(b) |
|
21,064 | 598,218 | |||||||||
| PNC Financial Services Group, Inc./The, 6.125% to 5/1/22, Series P(a),(b) |
|
24,500 | 652,925 | |||||||||
| Regions Financial Corp., 5.70% to 5/15/29, Series C(a),(b) |
|
82,939 | 2,295,752 | |||||||||
| Signature Bank/New York NY, 5.00%, Series a(a) |
|
50,860 | 1,309,645 | |||||||||
| Synovus Financial Corp., 5.875% to 7/1/24, Series E(a),(b) |
|
14,275 | 383,712 | |||||||||
| TCF Financial Corp., 5.70%, Series C(a) |
|
36,350 | 945,100 | |||||||||
| Texas Capital Bancshares, Inc., 5.75%, Series B(a) |
|
84,175 | 2,137,203 | |||||||||
| Wells Fargo & Co., 5.85% to 9/15/23, Series Q(a),(b) |
|
16,742 | 448,686 | |||||||||
| Wells Fargo & Co., 5.625%, Series Y(a) |
|
53,644 | 1,424,248 | |||||||||
|
|
|
|||||||||||
| 18,235,806 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC |
2.0 | % | ||||||||||
| Integrys Holding, Inc., 6.00% to 8/1/23, due 8/1/73(b) |
|
51,232 | 1,344,840 | |||||||||
| WESCO International, Inc., 10.625% to 6/22/25, Series A(a),(b) |
|
162,000 | 4,986,360 | |||||||||
|
|
|
|||||||||||
| 6,331,200 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC—FOREIGN |
0.4 | % | ||||||||||
| Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(a) |
|
53,732 | 1,374,465 | |||||||||
|
|
|
|||||||||||
| FINANCIAL |
3.5 | % | ||||||||||
| DIVERSIFIED FINANCIAL SERVICES |
1.8 | % | ||||||||||
| Apollo Global Management, Inc., 6.375%, Series B(a) |
|
30,000 | 803,400 | |||||||||
| KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61 |
|
80,000 | 1,997,200 | |||||||||
| National Rural Utilities Cooperative Finance Corp., 5.50%, due 5/15/64, Series US |
|
40,000 | 1,057,200 | |||||||||
| Synchrony Financial, 5.625%, Series A(a) |
|
68,051 | 1,815,601 | |||||||||
|
|
|
|||||||||||
| 5,673,401 | ||||||||||||
|
|
|
|||||||||||
| INVESTMENT BANKER/BROKER |
1.7 | % | ||||||||||
| Charles Schwab Corp./The, 4.45%, Series J(a) |
|
86,400 | 2,165,616 | |||||||||
| Morgan Stanley, 6.875% to 1/15/24, Series F(a),(b) |
|
30,706 | 864,374 | |||||||||
| Morgan Stanley, 6.375% to 10/15/24, Series I(a),(b) |
|
63,022 | 1,784,783 | |||||||||
| Morgan Stanley, 5.85% to 4/15/27, Series K(a),(b) |
|
26,447 | 753,210 | |||||||||
|
|
|
|||||||||||
| 5,567,983 | ||||||||||||
|
|
|
|||||||||||
| TOTAL FINANCIAL |
11,241,384 | |||||||||||
|
|
|
|||||||||||
1
| Shares | Value | |||||||||||
| INDUSTRIALS—CHEMICALS |
1.8 | % | ||||||||||
| CHS, Inc., 7.10% to 3/31/24, Series 2(a),(b) |
|
80,171 | $ | 2,213,521 | ||||||||
| CHS, Inc., 6.75% to 9/30/24, Series 3(a),(b) |
|
63,597 | 1,756,549 | |||||||||
| CHS, Inc., 7.50%, Series 4(a) |
|
64,655 | 1,861,418 | |||||||||
|
|
|
|||||||||||
| 5,831,488 | ||||||||||||
|
|
|
|||||||||||
| INSURANCE |
3.9 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
2.2 | % | ||||||||||
| Athene Holding Ltd., 6.35% to 6/30/29, Series A(a),(b) |
|
49,323 | 1,415,570 | |||||||||
| Athene Holding Ltd., 6.375% to 6/30/25, Series C(a),(b) |
|
48,587 | 1,365,295 | |||||||||
| Athene Holding Ltd., 4.875%, Series D(a) |
|
50,400 | 1,272,600 | |||||||||
| Brighthouse Financial, Inc., 5.375%, Series C(a) |
|
88,800 | 2,362,080 | |||||||||
| Equitable Holdings, Inc., 5.25%, Series A(a) |
|
21,541 | 566,097 | |||||||||
|
|
|
|||||||||||
| 6,981,642 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE—FOREIGN |
0.3 | % | ||||||||||
| PartnerRe Ltd., 6.50%, Series G (Bermuda)(a) |
|
46,129 | 1,171,216 | |||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY |
1.0 | % | ||||||||||
| Assurant, Inc., 5.25%, due 1/15/61 |
|
32,754 | 842,433 | |||||||||
| Enstar Group Ltd., 7.00% to 9/1/28, Series D(a),(b) |
|
79,150 | 2,276,354 | |||||||||
|
|
|
|||||||||||
| 3,118,787 | ||||||||||||
|
|
|
|||||||||||
| REINSURANCE |
0.4 | % | ||||||||||
| Arch Capital Group Ltd., 5.45%, Series F(a) |
|
46,846 | 1,229,239 | |||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
12,500,884 | |||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES |
2.2 | % | ||||||||||
| Telephone and Data Systems, Inc., 6.625%, Series UU(a) |
|
82,867 | 2,201,776 | |||||||||
| United States Cellular Corp., 5.50%, due 3/1/70 |
|
101,200 | 2,578,576 | |||||||||
| United States Cellular Corp., 6.25%, due 9/1/69 |
|
84,400 | 2,203,684 | |||||||||
|
|
|
|||||||||||
| 6,984,036 | ||||||||||||
|
|
|
|||||||||||
| PIPELINES |
1.6 | % | ||||||||||
| Energy Transfer Operating LP, 7.625% to 8/15/23, Series D(a),(b) |
|
132,638 | 3,176,680 | |||||||||
| Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(a),(b) |
|
78,522 | 1,877,461 | |||||||||
|
|
|
|||||||||||
| 5,054,141 | ||||||||||||
|
|
|
|||||||||||
2
| Shares | Value | |||||||||||
| PIPELINES—FOREIGN |
0.3 | % | ||||||||||
| Enbridge, Inc., 6.375% to 4/15/23, due 4/15/78, Series B (Canada)(b) |
|
39,495 | $ | 1,041,088 | ||||||||
|
|
|
|||||||||||
| REAL ESTATE |
2.9 | % | ||||||||||
| DATA CENTERS |
0.4 | % | ||||||||||
| QTS Realty Trust, Inc., 7.125%, Series A(a) |
48,450 | 1,354,662 | ||||||||||
|
|
|
|||||||||||
| DIVERSIFIED |
0.8 | % | ||||||||||
| Urstadt Biddle Properties, Inc., 5.875%, Series K(a) |
100,000 | 2,476,000 | ||||||||||
|
|
|
|||||||||||
| OFFICE |
1.2 | % | ||||||||||
| Brookfield Property Partners LP, 5.75%, Series A(a) |
|
86,050 | 2,136,621 | |||||||||
| Brookfield Property Partners LP, 6.50%, Series A-1(a) |
|
64,780 | 1,677,802 | |||||||||
|
|
|
|||||||||||
| 3,814,423 | ||||||||||||
|
|
|
|||||||||||
| RESIDENTIAL—SINGLE FAMILY |
0.5 | % | ||||||||||
| American Homes 4 Rent, 6.25%, Series H(a) |
|
56,700 | 1,525,230 | |||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
9,170,315 | |||||||||||
|
|
|
|||||||||||
| UTILITIES |
1.3 | % | ||||||||||
| GAS UTILITIES |
1.0 | % | ||||||||||
| Sempra Energy, 5.75%, due 7/1/79 |
|
20,700 | 564,282 | |||||||||
| South Jersey Industries, Inc., 5.625%, due 9/16/79 |
|
84,000 | 2,143,680 | |||||||||
| Spire, Inc., 5.90%, Series A(a) |
|
20,518 | 563,014 | |||||||||
|
|
|
|||||||||||
| 3,270,976 | ||||||||||||
|
|
|
|||||||||||
| MULTI-UTILITIES |
0.3 | % | ||||||||||
| NiSource, Inc., 6.50% to 3/15/24, Series B(a),(b) |
|
31,321 | 872,916 | |||||||||
|
|
|
|||||||||||
| TOTAL UTILITIES |
4,143,892 | |||||||||||
|
|
|
|||||||||||
| UTILITIES—FOREIGN |
0.4 | % | ||||||||||
| Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A (Canada)(b) |
|
42,335 | 1,161,249 | |||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—$25 PAR VALUE |
|
83,069,948 | ||||||||||
|
|
|
|||||||||||
3
| Principal Amount |
Value | |||||||||||
| PREFERRED SECURITIES—CAPITAL SECURITIES |
110.6 | % | ||||||||||
| BANKS |
30.2 | % | ||||||||||
| AgriBank FCB, 6.875% to 1/1/24(a),(b) |
|
$ | 26,000 | † | $ | 2,840,500 | ||||||
| Bank of America Corp., 5.875% to 3/15/28, Series FF(a),(b) |
|
3,352,000 | 3,660,116 | |||||||||
| Bank of America Corp., 6.10% to 3/17/25, Series AA(a),(b) |
|
1,800,000 | 1,999,251 | |||||||||
| Bank of America Corp., 6.25% to 9/5/24, Series X(a),(b) |
|
4,475,000 | 4,954,466 | |||||||||
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(b) |
|
2,814,000 | 3,158,715 | |||||||||
| Bank of America Corp., 8.05%, due 6/15/27, Series B |
|
1,815,000 | 2,342,704 | |||||||||
| Bank of New York Mellon Corp./The, 3.70% to 3/20/26, Series H(a),(b) |
|
880,000 | 908,644 | |||||||||
| Citigroup Capital III, 7.625%, due 12/1/36 |
|
4,115,000 | 5,871,720 | |||||||||
| Citigroup, Inc., 3.875% to 2/18/26(a),(b) |
|
4,680,000 | 4,669,844 | |||||||||
| Citigroup, Inc., 4.00% to 12/10/25, Series W(a),(b) |
|
650,000 | 657,963 | |||||||||
| Citigroup, Inc., 5.00% to 9/12/24, Series U(a),(b) |
|
1,589,000 | 1,641,119 | |||||||||
| Citigroup, Inc., 5.90% to 2/15/23(a),(b) |
|
1,250,000 | 1,324,400 | |||||||||
| Citigroup, Inc., 5.95% to 1/30/23(a),(b) |
|
1,243,000 | 1,304,520 | |||||||||
| Citigroup, Inc., 5.95% to 5/15/25, Series P(a),(b) |
|
2,300,000 | 2,484,000 | |||||||||
| Citigroup, Inc., 6.25% to 8/15/26, Series T(a),(b) |
|
2,775,000 | 3,177,375 | |||||||||
| Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(a),(b) |
|
777,000 | 860,193 | |||||||||
| Citizens Financial Group, Inc., 6.375% to 4/6/24, Series C(a),(b) |
|
1,200,000 | 1,267,500 | |||||||||
| CoBank ACB, 6.125%, Series G(a) |
|
5,000 | † | 518,750 | ||||||||
| CoBank ACB, 6.25% to 10/1/22, Series F(a),(b) |
|
25,000 | † | 2,631,250 | ||||||||
| CoBank ACB, 6.25% to 10/1/26, Series I(a),(b) |
|
2,534,000 | 2,749,390 | |||||||||
| Comerica, Inc., 5.625% to 7/1/25(a),(b) |
|
1,212,000 | 1,337,745 | |||||||||
| Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A(d) |
|
757,869 | 1,074,279 | |||||||||
| Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(b),(d) |
|
1,850,000 | 2,023,438 | |||||||||
| Farm Credit Bank of Texas, 6.75% to 9/15/23, 144A(a),(b),(d) |
|
50,000 | † | 5,500,000 | ||||||||
| Fifth Third Bancorp, 4.50% to 9/30/25, Series L(a),(b) |
|
775,000 | 824,988 | |||||||||
| First Horizon Bank, 3.75% (3 Month US LIBOR + 0.85%), 144A (FRN)(a),(c),(d) |
|
1,537 | † | 1,283,395 | ||||||||
| Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(a),(b) |
|
1,480,000 | 1,602,100 | |||||||||
| Huntington Bancshares, Inc., 4.45% to 10/15/27, Series G(a),(b) |
|
1,440,000 | 1,502,928 | |||||||||
| Huntington Bancshares, Inc., 5.625% to 7/15/30, Series F(a),(b) |
|
1,398,000 | 1,559,120 | |||||||||
| JPMorgan Chase & Co., 4.60% to 2/1/25, Series HH(a),(b) |
|
408,000 | 413,100 | |||||||||
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(a),(b) |
|
3,571,000 | 3,852,556 | |||||||||
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(b) |
|
4,773,000 | 5,227,788 | |||||||||
| Regions Financial Corp., 5.75% to 6/15/25, Series D(a),(b) |
|
620,000 | 684,325 | |||||||||
| Truist Financial Corp., 4.95% to 9/1/25, Series P(a),(b) |
|
1,809,000 | 1,965,026 | |||||||||
| Truist Financial Corp., 5.10% to 3/1/30, Series Q(a),b |
|
1,700,000 | 1,857,760 | |||||||||
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a),(b) |
|
1,819,000 | 1,925,866 | |||||||||
4
| Principal Amount |
Value | |||||||||||
| Wells Fargo & Co., 3.90% to 3/15/26(a),(b) |
|
$ | 8,273,000 | $ | 8,360,073 | |||||||
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(a),(b) |
|
2,987,000 | 3,296,155 | |||||||||
| Wells Fargo & Co., 5.90% to 6/15/24, Series S(a),(b) |
|
470,000 | 501,189 | |||||||||
| Wells Fargo & Co., 5.95%, due 12/15/36 |
|
1,712,000 | 2,282,471 | |||||||||
| Wells Fargo & Co., 7.95%, due 11/15/29, Series B |
|
249,000 | 332,361 | |||||||||
|
|
|
|||||||||||
| 96,429,083 | ||||||||||||
|
|
|
|||||||||||
| BANKS—FOREIGN |
41.8 | % | ||||||||||
| Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(a),(b),(e),(f) |
|
800,000 | 957,181 | |||||||||
| Abanca Corp. Bancaria SA, 7.50% to 10/2/23 (Spain)(a),(b),(e),(f) |
|
1,000,000 | 1,238,524 | |||||||||
| Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(b),(d),(f) |
|
600,000 | 700,431 | |||||||||
| Banco BPM SpA, 6.125% to 1/21/25 (Italy)(a),(b),(e),(f) |
|
600,000 | 723,380 | |||||||||
| Banco BPM SpA, 6.50% to 1/19/26 (Italy)(a),(b),(e),(f) |
|
400,000 | 496,393 | |||||||||
| Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)(a),(b),(e),(f) |
|
800,000 | 953,970 | |||||||||
| Banco de Sabadell SA, 6.50% to 5/18/22 (Spain)(a),(b),(e),(f) |
|
600,000 | 713,646 | |||||||||
| Banco do Brasil SA/Cayman, 9.00% to 6/18/24, 144A (Brazil)(a),(b),(d),(f) |
|
1,000,000 | 1,094,230 | |||||||||
| Banco Santander SA, 7.50% to 2/8/24 (Spain)(a),(b),(e),(f) |
|
1,600,000 | 1,763,817 | |||||||||
| Bank of China Hong Kong Ltd., 5.90% to 9/14/23, 144A (Hong Kong)(a),(b),(d) |
|
3,100,000 | 3,374,949 | |||||||||
| Bank of Ireland Group PLC, 6.00% to 9/1/25 (Ireland)(a),(b),(e),(f) |
|
900,000 | 1,156,683 | |||||||||
| Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(a),(b),(e),(f) |
|
1,400,000 | 1,913,907 | |||||||||
| Bank of Montreal, 4.30% to 10/26/25, due 11/26/80 (Canada)(b) |
|
1,000,000 | 832,084 | |||||||||
| Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(a),(b) |
|
2,205,000 | 2,349,714 | |||||||||
| Barclays PLC, 5.875% to 9/15/24 (United Kingdom)(a),(b),(e),(f) |
|
800,000 | 1,157,996 | |||||||||
| Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(a),(b),(f) |
|
1,400,000 | 1,530,550 | |||||||||
| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(a),(b),(f) |
|
1,000,000 | 1,555,777 | |||||||||
| Barclays PLC, 7.25% to 3/15/23 (United Kingdom)(a),(b),(e),(f) |
|
800,000 | 1,192,488 | |||||||||
| Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(a),(b),(e),(f) |
|
1,400,000 | 1,474,375 | |||||||||
| Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(a),(b),(f) |
|
3,400,000 | 3,775,609 | |||||||||
| BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(a),(b),(d),(f) |
|
1,380,000 | 1,511,335 | |||||||||
| BNP Paribas SA, 6.75% to 3/14/22, 144A (France)(a),(b),(d),(f) |
|
400,000 | 416,040 | |||||||||
| BNP Paribas SA, 7.00% to 8/16/28, 144A (France)(a),(b),(d),(f) |
|
765,000 | 887,105 | |||||||||
| BNP Paribas SA, 7.195% to 6/25/37, 144A (France)(a),(b),(d) |
|
975,000 | 1,046,707 | |||||||||
| BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(b),(d),(f) |
|
2,000,000 | 2,321,390 | |||||||||
| CaixaBank SA, 5.875% to 10/9/27 (Spain)(a),(b),(e),(f) |
|
400,000 | 530,067 | |||||||||
| Commerzbank AG, 6.125% to 10/9/25 (Germany)(a),(b),(e),(f) |
|
200,000 | 251,449 | |||||||||
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(a),(b),(e),(f) |
|
1,000,000 | 1,072,556 | |||||||||
5
| Principal Amount |
Value | |||||||||
| Coventry Building Society, 6.875% to 9/18/24 (United Kingdom)(a),(b),(e),(f) |
$ | 400,000 | $ | 617,268 | ||||||
| Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(b),(d),(f) |
1,900,000 | 2,110,320 | ||||||||
| Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(b),(d),(f) |
2,800,000 | 3,148,250 | ||||||||
| Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(b),(d),(f) |
650,000 | 785,281 | ||||||||
| Credit Suisse Group AG, 5.25% to 2/11/27, 144A (Switzerland)(a),(b),(d),(f) |
2,200,000 | 2,227,500 | ||||||||
| Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(a),(b),(d),(f) |
1,600,000 | 1,705,336 | ||||||||
| Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(a),(b),(e),(f) |
1,500,000 | 1,563,015 | ||||||||
| Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(b),(d),(f) |
2,800,000 | 3,039,386 | ||||||||
| Credit Suisse Group AG, 7.50% to 7/17/23, 144A (Switzerland)(a),(b),(d),(f) |
3,000,000 | 3,179,580 | ||||||||
| Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(a),(b),(d),(f) |
2,487,000 | 2,699,735 | ||||||||
| Danske Bank A/S, 7.00% to 6/26/25 (Denmark)(a),(b),(e),(f) |
1,600,000 | 1,801,040 | ||||||||
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(a),(b),(f) |
600,000 | 651,000 | ||||||||
| DNB Bank ASA, 6.50% to 3/26/22 (Norway)(a),(b),(e),(f) |
400,000 | 416,250 | ||||||||
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(b),(d) |
930,000 | 1,527,990 | ||||||||
| HSBC Holdings PLC, 4.60% to 12/17/30 (United Kingdom)(a),(b),(f) |
1,200,000 | 1,189,500 | ||||||||
| HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(a),(b),(f) |
2,200,000 | 2,413,950 | ||||||||
| HSBC Holdings PLC, 6.375% to 9/17/24 (United Kingdom)(a),(b),(f) |
967,000 | 1,053,015 | ||||||||
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a),(b),(f) |
2,800,000 | 3,089,450 | ||||||||
| HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(a),(b),(f) |
4,500,000 | 5,054,062 | ||||||||
| ING Groep N.V., 4.875% to 5/16/29 (Netherlands)(a),(b),(e),(f) |
600,000 | 608,208 | ||||||||
| ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(a),(b),(f) |
1,000,000 | 1,091,585 | ||||||||
| ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(a),(b),(f) |
1,800,000 | 1,994,670 | ||||||||
| ING Groep N.V., 6.75% to 4/16/24 (Netherlands)(a),(b),(e),(f) |
1,200,000 | 1,311,000 | ||||||||
| ING Groep N.V., 6.875% to 4/16/22 (Netherlands)(a),(b),(e),(f) |
1,000,000 | 1,042,924 | ||||||||
| Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(b),(d),(f) |
1,400,000 | 1,592,500 | ||||||||
| Lloyds Banking Group PLC, 6.413% to 10/1/35, 144A (United Kingdom)(a),(b),(d) |
600,000 | 757,077 | ||||||||
| Lloyds Banking Group PLC, 6.657% to 5/21/37, 144A (United Kingdom)(a),(b),(d) |
1,097,000 | 1,419,842 | ||||||||
6
| Principal Amount |
Value | |||||||||
| Lloyds Banking Group PLC, 6.75% to 6/27/26 (United Kingdom)(a),(b),(f) |
$ | 1,800,000 | $ | 2,026,521 | ||||||
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(b),(f) |
1,537,000 | 1,717,167 | ||||||||
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(a),(b),(f) |
1,600,000 | 1,832,000 | ||||||||
| Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(b),(d),(f) |
1,200,000 | 1,291,998 | ||||||||
| Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(a),(b),(e),(f) |
600,000 | 912,564 | ||||||||
| Natwest Group PLC, 5.125% to 5/12/27 (United Kingdom)(a),(b),(f) |
600,000 | 871,090 | ||||||||
| Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(a),(b),(f) |
1,400,000 | 1,539,580 | ||||||||
| Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(a),(b),(f) |
1,800,000 | 2,114,496 | ||||||||
| Natwest Group PLC, 8.625% to 8/15/21 (United Kingdom)(a),(b),(f) |
600,000 | 615,582 | ||||||||
| Nordea Bank Abp, 6.625% to 3/26/26, 144A (Finland)(a),(b),(d),(f) |
1,200,000 | 1,372,002 | ||||||||
| Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(b) |
1,800,000 | 1,516,472 | ||||||||
| Societe Generale SA, 5.375% to 11/18/30, 144A (France)(a),(b),(d),(f) |
1,400,000 | 1,443,750 | ||||||||
| Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(b),(d),(f) |
3,160,000 | 3,526,244 | ||||||||
| Societe Generale SA, 7.375% to 9/13/21, 144A (France)(a),(b),(d),(f) |
600,000 | 614,232 | ||||||||
| Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(b),(d),(f) |
2,800,000 | 3,111,920 | ||||||||
| Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(b),(d),(f) |
1,600,000 | 1,877,200 | ||||||||
| Standard Chartered PLC, 4.75% to 1/14/31, 144A (United Kingdom)(a),(b),(d),(f) |
1,200,000 | 1,196,550 | ||||||||
| Standard Chartered PLC, 6.00% to 7/26/25, 144A (United Kingdom)(a),(b),(d),(f) |
400,000 | 435,540 | ||||||||
| Standard Chartered PLC, 7.014% to 7/30/37, 144A (United Kingdom)(a),(b),(d) |
1,700,000 | 2,215,950 | ||||||||
| Standard Chartered PLC, 7.50% to 4/2/22, 144A (United Kingdom)(a),(b),(d),(f) |
2,200,000 | 2,308,449 | ||||||||
| Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(b),(d),(f) |
1,350,000 | 1,463,724 | ||||||||
| Stichting AK Rabobank Certificaten, 2.188% (Netherlands)(a),(e) |
1,692,775 | 2,577,268 | ||||||||
| Svenska Handelsbanken AB, 4.375% to 3/1/27 (Sweden)(a),(b),(e),(f) |
600,000 | 625,846 | ||||||||
7
| Principal Amount |
Value | |||||||||||
| Svenska Handelsbanken AB, 4.75% to 3/1/31 (Sweden)(a),(b),(e),(f) |
|
$ | 600,000 | $ | 629,256 | |||||||
| Svenska Handelsbanken AB, 6.25% to 3/1/24, Series EMTN (Sweden)(a),(b),(e),(f) |
|
200,000 | 219,750 | |||||||||
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(a),(b),(e),(f) |
|
2,000,000 | 2,261,852 | |||||||||
| UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(b),(d),(f) |
|
3,400,000 | 3,736,889 | |||||||||
| UBS Group AG, 7.00% to 2/19/25 (Switzerland)(a),(b),(e),(f) |
|
1,100,000 | 1,256,750 | |||||||||
| UBS Group AG, 7.125% to 8/10/21 (Switzerland)(a),(b),(e),(f) |
|
400,000 | 408,101 | |||||||||
| UniCredit SpA, 8.00% to 6/3/24 (Italy)(a),(b),(e),(f) |
|
2,200,000 | 2,459,875 | |||||||||
|
|
|
|||||||||||
| 133,260,705 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC |
2.9 | % | ||||||||||
| CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(b) |
|
900,000 | 974,250 | |||||||||
| Dominion Energy, Inc., 4.65% to 12/15/24, Series B(a),(b) |
|
1,360,000 | 1,435,208 | |||||||||
| Sempra Energy, 4.875% to 10/15/25(a),(b) |
|
4,400,000 | 4,719,000 | |||||||||
| Southern California Edison Co., 6.25% to 2/1/22, Series E(a),(b) |
|
1,000,000 | 1,024,553 | |||||||||
| Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(b) |
|
945,000 | 999,574 | |||||||||
|
|
|
|||||||||||
| 9,152,585 | ||||||||||||
|
|
|
|||||||||||
| FINANCIAL |
4.7 | % | ||||||||||
| CREDIT CARD |
0.2 | % | ||||||||||
| Discover Financial Services, 6.125% to 6/23/25, Series D(a),(b) |
|
500,000 | 556,875 | |||||||||
|
|
|
|||||||||||
| DIVERSIFIED FINANCIAL SERVICES |
0.3 | % | ||||||||||
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50, 144A(b),(d) |
|
878,000 | 905,438 | |||||||||
|
|
|
|||||||||||
| INVESTMENT ADVISORY SERVICES—FOREIGN |
0.5 | % | ||||||||||
| AerCap Global Aviation Trust, 6.50% to 6/15/25, due 6/15/45, 144A (Ireland)(b),(d) |
|
900,000 | 939,375 | |||||||||
| Julius Baer Group Ltd., 4.875% to 10/8/26 (Switzerland)(a),(b),(e),(f) |
|
600,000 | 623,394 | |||||||||
|
|
|
|||||||||||
| 1,562,769 | ||||||||||||
|
|
|
|||||||||||
| INVESTMENT BANKER/BROKER |
3.7 | % | ||||||||||
| Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(a),(b) |
|
7,356,000 | 7,483,259 | |||||||||
| Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(a),(b) |
|
1,089,000 | 1,071,848 | |||||||||
| Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(a),(b) |
|
3,118,000 | 3,452,156 | |||||||||
|
|
|
|||||||||||
| 12,007,263 | ||||||||||||
|
|
|
|||||||||||
| TOTAL FINANCIAL |
15,032,345 | |||||||||||
|
|
|
|||||||||||
| FOOD |
0.7 | % | ||||||||||
| Land O’ Lakes, Inc., 7.00%, 144A(a),(d) |
1,100,000 | 1,108,079 | ||||||||||
| Land O’ Lakes, Inc., 7.25%, 144A(a),(d) |
1,190,000 | 1,234,625 | ||||||||||
|
|
|
|||||||||||
| 2,342,704 | ||||||||||||
|
|
|
|||||||||||
8
| Principal Amount |
Value | |||||||||||
| INDUSTRIALS—DIVERSIFIED MANUFACTURING |
0.2 | % | ||||||||||
| General Electric Co., 3.514% (3 Month US LIBOR + 3.33%), Series D (FRN)(a),(c) |
$ | 786,000 | $ | 743,752 | ||||||||
|
|
|
|||||||||||
| INSURANCE |
16.8 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
5.9 | % | ||||||||||
| Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(a),(b) |
|
2,300,000 | 2,438,000 | |||||||||
| MetLife Capital Trust IV, 7.875%, due 12/15/37, 144A (TruPS)(d) |
|
2,273,000 | 3,164,584 | |||||||||
| MetLife, Inc., 3.85% to 9/15/25, Series G(a),(b) |
|
1,290,000 | 1,335,150 | |||||||||
| MetLife, Inc., 5.875% to 3/15/28, Series D(a),(b) |
|
700,000 | 778,750 | |||||||||
| MetLife, Inc., 9.25%, due 4/8/38, 144A(d) |
|
3,909,000 | 5,736,410 | |||||||||
| Prudential Financial, Inc., 5.20% to 3/15/24, due 3/15/44(b) |
|
1,075,000 | 1,146,152 | |||||||||
| Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(b) |
|
1,214,000 | 1,301,733 | |||||||||
| SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(b),(d) |
|
1,480,000 | 1,428,200 | |||||||||
| Voya Financial, Inc., 5.65% to 5/15/23, due 5/15/53(b) |
|
1,270,000 | 1,360,637 | |||||||||
|
|
|
|||||||||||
| 18,689,616 | ||||||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
2.5 | % | ||||||||||
| Dai-ichi Life Insurance Co., Ltd./The, 5.10% to 10/28/24, 144A (Japan)(a),(b),(d) |
|
1,493,000 | 1,655,364 | |||||||||
| Fukoku Mutual Life Insurance Co., 5.00% to 7/28/25 (Japan)(a),(b),(e) |
|
1,620,000 | 1,790,100 | |||||||||
| Fukoku Mutual Life Insurance Co., 6.50% to 9/19/23 (Japan)(a),(b),(e) |
|
1,951,000 | 2,160,732 | |||||||||
| Legal & General Group PLC, 5.625% to 3/24/31 (United Kingdom)(a),(b),(e),(f) |
|
400,000 | 602,886 | |||||||||
| Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(a),(b),(e),(f) |
|
400,000 | 422,800 | |||||||||
| Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(a),(b),(e),(f) |
|
800,000 | 1,259,224 | |||||||||
|
|
|
|||||||||||
| 7,891,106 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE |
2.0 | % | ||||||||||
| American International Group, Inc., 5.75% to 4/1/28, due 4/1/48, Series A-9(b) |
|
1,155,000 | 1,290,713 | |||||||||
| American International Group, Inc., 8.175% to 5/15/38, due 5/15/58(b) |
|
2,772,000 | 3,857,013 | |||||||||
| Hartford Financial Services Group, Inc./The, 2.319% (3 Month US LIBOR + 2.125%), due 2/12/47, 144A, Series ICON (FRN)(c),(d) |
|
1,400,000 | 1,347,468 | |||||||||
|
|
|
|||||||||||
| 6,495,194 | ||||||||||||
|
|
|
|||||||||||
9
| Principal Amount |
Value | |||||||||||
| MULTI-LINE—FOREIGN |
1.2 | % | ||||||||||
| AXA SA, 6.379% to 12/14/36, 144A (France)(a),(b),(d) |
|
$ | 1,900,000 | $ | 2,634,093 | |||||||
| AXA SA, 8.60%, due 12/15/30 (France) |
|
700,000 | 1,070,668 | |||||||||
|
|
|
|||||||||||
| 3,704,761 | ||||||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY |
2.1 | % | ||||||||||
| Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(b) |
|
1,805,000 | 2,062,212 | |||||||||
| Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(b) |
|
1,770,000 | 1,860,713 | |||||||||
| Markel Corp., 6.00% to 6/1/25(a),(b) |
|
1,745,000 | 1,899,869 | |||||||||
| PartnerRe Finance B LLC, 4.50% to 4/1/30, due 10/1/50(b) |
|
1,035,000 | 1,057,304 | |||||||||
|
|
|
|||||||||||
| 6,880,098 | ||||||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY—FOREIGN |
2.4 | % | ||||||||||
| Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)(a),(b),(e) |
|
2,400,000 | 2,519,976 | |||||||||
| Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)(b),(e) |
|
1,400,000 | 1,407,245 | |||||||||
| Mitsui Sumitomo Insurance Co., Ltd., 4.95% to 3/6/29, 144A (Japan)(a),(b),(d) |
|
900,000 | 1,027,395 | |||||||||
| QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(b),(d) |
|
1,400,000 | 1,510,250 | |||||||||
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(b),(e) |
|
1,151,000 | 1,288,918 | |||||||||
|
|
|
|||||||||||
| 7,753,784 | ||||||||||||
|
|
|
|||||||||||
| REINSURANCE |
0.7 | % | ||||||||||
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(b) |
|
2,080,000 | 2,134,600 | |||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
53,549,159 | |||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN |
0.5 | % | ||||||||||
| Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(b) |
|
1,304,000 | 1,574,044 | |||||||||
|
|
|
|||||||||||
| OIL & GAS—FOREIGN |
2.5 | % | ||||||||||
| BP Capital Markets PLC, 4.25% to 3/22/27 (United Kingdom)(a),(b),(e) |
|
600,000 | 879,599 | |||||||||
| BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(a),(b) |
|
1,470,000 | 1,558,641 | |||||||||
| BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(a),(b) |
|
5,272,000 | 5,660,810 | |||||||||
|
|
|
|||||||||||
| 8,099,050 | ||||||||||||
|
|
|
|||||||||||
10
| Principal Amount |
Value | |||||||||||
| PIPELINES |
0.1 | % | ||||||||||
| Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(a),(b) |
|
$ | 466,000 | $ | 455,189 | |||||||
|
|
|
|||||||||||
| PIPELINES—FOREIGN |
5.5 | % | ||||||||||
| Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(b) |
|
3,400,000 | 3,646,500 | |||||||||
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(b) |
|
1,724,000 | 1,842,170 | |||||||||
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(b) |
|
1,970,000 | 2,065,835 | |||||||||
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(b) |
|
4,257,000 | 4,565,632 | |||||||||
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(b) |
|
4,807,000 | 5,244,474 | |||||||||
|
|
|
|||||||||||
| 17,364,611 | ||||||||||||
|
|
|
|||||||||||
| REAL ESTATE—RETAIL—FOREIGN |
1.6 | % | ||||||||||
| Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(b),(d) |
|
2,500,000 | 2,631,250 | |||||||||
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(b),(d) |
|
2,500,000 | 2,604,250 | |||||||||
|
|
|
|||||||||||
| 5,235,500 | ||||||||||||
|
|
|
|||||||||||
| UTILITIES |
3.1 | % | ||||||||||
| ELECTRIC UTILITIES |
0.8 | % | ||||||||||
| Edison International, 5.375% to 3/15/26, Series A(a),(b) |
|
2,320,000 | 2,357,816 | |||||||||
|
|
|
|||||||||||
| ELECTRIC UTILITIES—FOREIGN |
2.1 | % | ||||||||||
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(b) |
|
4,855,000 | 5,526,228 | |||||||||
| Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(b),(d) |
|
1,097,000 | 1,278,005 | |||||||||
|
|
|
|||||||||||
| 6,804,233 | ||||||||||||
|
|
|
|||||||||||
| GAS UTILITIES |
0.2 | % | ||||||||||
| South Jersey Industries, Inc., 5.02%, due 4/15/31 |
610,000 | 617,087 | ||||||||||
|
|
|
|||||||||||
11
| Value | ||||||||||||
| TOTAL UTILITIES |
$ | 9,779,136 | ||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES |
|
353,017,863 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| SHORT-TERM INVESTMENTS |
0.5 | % | ||||||||||
| MONEY MARKET FUNDS |
||||||||||||
| State Street Institutional Treasury Money Market Fund, Premier Class, 0.01%(g) |
|
1,538,801 | 1,538,801 | |||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
1,538,801 | ||||||||||
|
|
|
|||||||||||
| PURCHASED OPTION CONTRACTS (Premiums paid—$488,631) |
|
0.2 |
% |
498,867 | ||||||||
| TOTAL INVESTMENTS IN SECURITIES(h) (Identified cost—$410,053,931) |
137.3 | % | 438,125,479 | |||||||||
| WRITTEN OPTION CONTRACTS |
(0.1 | ) | (270,576 | ) | ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS |
(37.2 | ) | (118,818,871 | ) | ||||||||
|
|
|
|
|
|||||||||
| NET ASSETS (Equivalent to $26.55 per share based on 12,017,308 shares of common stock outstanding) |
100.0 | % | $ | 319,036,032 | ||||||||
|
|
|
|
|
|||||||||
12
Over-the-Counter Option Contracts
| Purchased Options Interest Rate Swaptions |
||||||||||||||||||||
| Description | Counterparty | Exercise Rate |
Expiration Date |
Notional Amounti |
Premiums Paid |
Value | ||||||||||||||
| Option to receive 3-month LIBOR Quarterly, Pay 1.75% Semiannually, maturing 9/21/31 |
Goldman Sachs International | 1.75 | % | 9/17/21 | $ | 12,906,000 | $ | 256,789 | $ | 356,580 | ||||||||||
| Equity Options | ||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amountj |
Premiums Paid |
Value | |||||||||||||||||
| Put—iShares iBoxx Investment Grade Corporate Bond ETF |
Goldman Sachs International |
$ | 128.00 | 9/17/21 | 430 | $ | 5,592,150 | $ | 178,450 | $ | 125,276 | |||||||||||||
| Put—iShares Preferred & Income Securities ETF |
Goldman Sachs International |
38.00 | 4/16/21 | 945 | 3,628,800 | 53,392 | 17,011 | |||||||||||||||||
| 1,375 | $ | 9,220,950 | $ | 231,842 | $ | 142,287 | ||||||||||||||||||
| Written Options Interest Rate Swaptions |
||||||||||||||||||||
| Description | Counterparty | Exercise Rate |
Expiration Date |
Notional Amounti |
Premiums Received |
Value | ||||||||||||||
| Option to pay 3-month LIBOR Quarterly, Receive 2.00% Semiannually, maturing 9/21/31 |
Goldman Sachs International | 2.00 | % | 9/17/21 | $ | (12,906,000 | ) | $ | (149,683 | ) | $ | (210,355 | ) | |||||||
13
| Equity Options | ||||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amountj |
Premiums Received |
Value | |||||||||||||||||||
| Put—iShares iBoxx Investment Grade Corporate Bond ETF |
Goldman Sachs International |
$121.00 | 9/17/21 | (430 | ) | $ | (5,592,150 | ) | $ | (74,351 | ) | $ | (58,366 | ) | ||||||||||||
| Put—iShares Preferred & Income Securities ETF |
Goldman Sachs International | 37.00 | 4/16/21 | (945 | ) | (3,628,800 | ) | (17,010 | ) | (1,855 | ) | |||||||||||||||
| (1,375 | ) | $ | (9,220,950 | ) | $ | (91,361 | ) | $ | (60,221 | ) | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts
| Notional Amount |
Fixed Rate Payable |
Fixed Payment Frequency |
Floating Rate Receivable (resets monthly)k |
Floating Payment Frequency |
Maturity Date | Value | Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| $ 30,000,000 | 0.548% | Monthly | 0.106% | Monthly | 9/15/25 | $ | 351,736 | $ | — | $ | 351,736 | |||||||||||||||||
| 39,000,000 | 1.280 | Monthly | 0.109 | Monthly | 2/3/26 | (715,456 | ) | (4,041 | ) | (719,497 | ) | |||||||||||||||||
| 40,000,000 | 0.930 | Monthly | 0.106 | Monthly | 9/15/27 | 785,862 | — | 785,862 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 422,142 | $ | (4,041 | ) | $ | 418,101 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts
| Counterparty | Contracts
to |
In
Exchange |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Brown Brothers Harriman |
CAD | 2,994,089 | USD | 2,354,528 | 4/5/21 | $ | (28,016 | ) | ||||||||||||
| Brown Brothers Harriman |
USD | 2,381,307 | CAD | 2,994,089 | 4/5/21 | 1,237 | ||||||||||||||
| Brown Brothers Harriman |
EUR | 761,500 | USD | 911,987 | 4/6/21 | 18,976 | ||||||||||||||
| Brown Brothers Harriman |
EUR | 3,283,762 | USD | 3,969,346 | 4/6/21 | 118,478 | ||||||||||||||
| Brown Brothers Harriman |
EUR | 6,831,263 | USD | 8,257,494 | 4/6/21 | 246,472 | ||||||||||||||
| Brown Brothers Harriman |
GBP | 128,243 | USD | 178,657 | 4/6/21 | 1,861 | ||||||||||||||
| Brown Brothers Harriman |
GBP | 1,800,741 | USD | 2,510,575 | 4/6/21 | 28,075 | ||||||||||||||
| Brown Brothers Harriman |
GBP | 6,021,501 | USD | 8,395,117 | 4/6/21 | 93,880 | ||||||||||||||
| Brown Brothers Harriman |
USD | 8,922,028 | EUR | 7,592,763 | 4/6/21 | (17,995 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 325,208 | EUR | 269,002 | 4/6/21 | (9,749 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 206,690 | EUR | 171,351 | 4/6/21 | (5,747 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 2,590,522 | EUR | 2,204,568 | 4/6/21 | (5,225 | ) | |||||||||||||
14
| Counterparty | Contracts
to |
In
Exchange |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Brown Brothers Harriman |
USD | 307,453 | EUR | 258,193 | 4/6/21 | $ | (4,670 | ) | ||||||||||||
| Brown Brothers Harriman |
USD | 275,854 | EUR | 231,520 | 4/6/21 | (4,350 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 178,599 | EUR | 149,128 | 4/6/21 | (3,716 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 1,577,934 | GBP | 1,137,293 | 4/6/21 | (10,062 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 8,310,514 | GBP | 6,021,501 | 4/6/21 | (9,278 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 191,822 | GBP | 138,108 | 4/6/21 | (1,427 | ) | |||||||||||||
| Brown Brothers Harriman |
USD | 902,036 | GBP | 653,583 | 4/6/21 | (1,007 | ) | |||||||||||||
| Brown Brothers Harriman |
CAD | 3,008,418 | USD | 2,392,627 | 5/4/21 | (1,429 | ) | |||||||||||||
| Brown Brothers Harriman |
EUR | 2,199,152 | USD | 2,585,477 | 5/4/21 | 5,033 | ||||||||||||||
| Brown Brothers Harriman |
EUR | 7,719,156 | USD | 9,075,180 | 5/4/21 | 17,667 | ||||||||||||||
| Brown Brothers Harriman |
GBP | 657,380 | USD | 907,303 | 5/5/21 | 950 | ||||||||||||||
| Brown Brothers Harriman |
GBP | 5,954,318 | USD | 8,218,031 | 5/5/21 | 8,608 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 438,566 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
|
|
|
|||||||||||||||||||
Glossary of Portfolio Abbreviations
| CAD | Canadian Dollar | |
| EMTN | Euro Medium Term Note | |
| EUR | Euro Currency | |
| FRN | Floating Rate Note | |
| GBP | Great British Pound | |
| LIBOR | London Interbank Offered Rate | |
| TruPS | Trust Preferred Securities | |
| USD | United States Dollar |
| Note: | Percentages indicated are based on the net assets of the Fund. |
| † | Represents shares. |
| a | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. |
| b | Security converts to floating rate after the indicated fixed-rate coupon period. |
| c | Variable rate. Rate shown is in effect at March 31, 2021. |
| d | 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 $99,225,330 which represents 31.1% of the net assets of the Fund, of which 0.0% are illiquid. |
| e | Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $47,262,273 which represents 14.8% of the net assets of the Fund, of which 0.0% are illiquid. |
15
| f | 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 $118,550,956 which represents 37.2% of the net assets of the Fund (26.5% of the managed assets of the Fund). |
| g | Rate quoted represents the annualized seven-day yield. |
| h | Securities held by the Fund are subject to a lien, granted to the lender, to the extent of the borrowing outstanding in connection with the Fund’s revolving credit agreement. |
| i | Represents the notional amount of the underlying swap contract. |
| j | Represents the number of contracts multiplied by notional contract size multiplied by the underlying price. |
| k | Based on 1 month LIBOR. Represents rates in effect at March 31, 2021. |
| Country Summary |
% of Managed Assets |
|||
| United States |
53.1 | |||
| United Kingdom |
13.5 | |||
| Canada |
7.0 | |||
| France |
5.9 | |||
| Switzerland |
5.1 | |||
| Netherlands |
2.5 | |||
| Australia |
2.2 | |||
| Japan |
1.5 | |||
| Italy |
1.5 | |||
| Spain |
1.4 | |||
| Ireland |
0.9 | |||
| Hong Kong |
0.8 | |||
| Other (includes short-term investments) |
4.6 | |||
|
|
|
|||
| 100.0 | ||||
|
|
|
|||
16
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. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Exchange traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.
Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.
Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment manager) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.
Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment manager, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.
Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).
COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment manager, subject to the oversight of the Board of Directors. The investment manager has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Securities for which market prices are unavailable, or securities for which the investment manager determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
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 SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a summary of the inputs used as of March 31, 2021 in valuing the Fund’s investments carried at value:
| Total | Quoted Prices in Active Markets for Identical Investments (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Preferred Securities—$25 Par Value: |
||||||||||||||||
| Banks |
$ | 18,235,806 | $ | 16,066,606 | $ | 2,169,200 | $ | — | ||||||||
| Electric |
6,331,200 | 4,986,360 | 1,344,840 | — | ||||||||||||
| Financial |
11,241,384 | 9,075,768 | 2,165,616 | |||||||||||||
| Other Industries |
47,261,558 | 47,261,558 | — | — | ||||||||||||
| Preferred Securities—Capital Securities |
353,017,863 | — | 353,017,863 | — | ||||||||||||
| Short-Term Investments |
1,538,801 | — | 1,538,801 | — | ||||||||||||
| Purchased Option Contracts |
498,867 | — | 498,867 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities(a) |
$ | 438,125,479 | $ | 77,390,292 | $ | 360,735,187 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Interest Rate Swap Contracts |
$ | 1,137,598 | $ | — | $ | 1,137,598 | $ | — | ||||||||
| Forward Foreign Currency Exchange Contracts |
541,237 | — | 541,237 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Derivative Assets(a) |
$ | 1,678,835 | $ | — | $ | 1,678,835 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Interest Rate Swap Contracts |
$ | (719,497 | ) | $ | — | $ | (719,497 | ) | $ | — | ||||||
| Written Option Contracts |
(270,576 | ) | — | (270,576 | ) | — | ||||||||||
| Forward Foreign Currency Exchange Contracts |
(102,671 | ) | — | (102,671 | ) | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Derivative Liabilities(a) |
$ | (1,092,744 | ) | $ | — | $ | (1,092,744 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) Portfolio holdings are disclosed individually on the Schedule of Investments. |
Note 2. Derivative Investments
Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.
Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.
COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices, currencies and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.
When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.
Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.
Interest Rate Swaption Contracts: The Fund may write or purchase interest rate swaptions which are options to enter into a pre-defined swap agreement at a specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises the swaption. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under its revolving 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 revolving 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 revolving 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
COHEN & STEERS SELECT PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 volume of the Fund’s option contracts, interest rate swap contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2021:
| Purchased Option Contracts(a),(b) |
Written Option Contracts(a),(b) |
Interest Rate Swap Contracts |
Forward Foreign Currency Exchange Contracts |
|||||||||||||
| Average Notional Amount |
$ | 22,126,950 | $ | 22,126,950 | $ | 111,000,000 | $ | 26,247,051 | ||||||||
| (a) | Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month-end. For the period, this represents one month for both purchased and written option contracts. |
| (b) | Notional amount for swaption contracts represents the notional amount of the underlying swap contract. Notional amount for all other option contracts is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price. |