COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
March 31, 2020 (Unaudited)
| Shares | Value | |||||||||||
| EXCHANGE-TRADED FUNDS |
0.4 | % | ||||||||||
| Invesco Preferred ETF |
188,710 | $ | 2,483,423 | |||||||||
|
|
|
|||||||||||
| TOTAL EXCHANGE-TRADED FUNDS |
|
2,483,423 | ||||||||||
|
|
|
|||||||||||
| PREFERRED SECURITIES—$25 PAR VALUE |
11.7 | % | ||||||||||
| BANKS |
3.0 | % | ||||||||||
| Citizens Financial Group, Inc., 6.35% to 4/6/24, Series D(a),(b) |
|
99,733 | 2,378,632 | |||||||||
| GMAC Capital Trust I, 7.477% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(c) |
|
206,660 | 4,238,597 | |||||||||
| Regions Financial Corp., 5.70% to 5/15/29, Series C(a),(b) |
|
275,327 | 6,470,184 | |||||||||
| Synovus Financial Corp., 5.875% to 7/1/24, Series E(a),(b) |
|
122,000 | 2,507,100 | |||||||||
| Wells Fargo & Co., 5.85% to 9/15/23, Series Q(a),(b) |
|
80,751 | 1,966,287 | |||||||||
|
|
|
|||||||||||
| 17,560,800 | ||||||||||||
|
|
|
|||||||||||
| FINANCIAL—INVESTMENT BANKER/BROKER |
1.7 | % | ||||||||||
| Morgan Stanley, 4.00% (3 Month US LIBOR + 0.70%, Floor 4.00%), Series A (FRN)(a),(c) |
|
257,223 | 4,925,820 | |||||||||
| Morgan Stanley, 6.375% to 10/15/24, Series I(a),(b) |
|
210,980 | 5,289,269 | |||||||||
|
|
|
|||||||||||
| 10,215,089 | ||||||||||||
|
|
|
|||||||||||
| INDUSTRIALS—CHEMICALS |
2.1 | % | ||||||||||
| CHS, Inc., 7.10% to 3/31/24, Series 2(a),(b) |
|
187,310 | 4,323,115 | |||||||||
| CHS, Inc., 6.75% to 9/30/24, Series 3(a),(b) |
|
129,600 | 2,886,192 | |||||||||
| CHS, Inc., 7.50%, Series 4(a) |
|
212,961 | 5,315,506 | |||||||||
|
|
|
|||||||||||
| 12,524,813 | ||||||||||||
|
|
|
|||||||||||
| INSURANCE |
2.0 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
0.9 | % | ||||||||||
| Athene Holding Ltd., 6.35% to 6/30/29, Series A(a),(b) |
|
215,328 | 4,892,252 | |||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
1.1 | % | ||||||||||
| Aegon NV, 4.00%, (3 Month US LIBOR + 0.875%, Floor 4.00%), Series 1 (FRN) (Netherlands)(a),(c) |
|
339,074 | 6,533,956 | |||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
|
11,426,208 | ||||||||||
|
|
|
|||||||||||
| PIPELINES |
1.4 | % | ||||||||||
| Energy Transfer Operating LP, 7.375% to 5/15/23, Series C(a),(b) |
|
169,160 | 2,131,416 | |||||||||
| Energy Transfer Operating LP, 7.625% to 8/15/23, Series D(a),(b) |
|
229,380 | 2,913,126 | |||||||||
| Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(a),(b) |
|
263,899 | 3,280,265 | |||||||||
|
|
|
|||||||||||
| 8,324,807 | ||||||||||||
|
|
|
|||||||||||
1
| Shares | Value | |||||||||||
| PIPELINES—FOREIGN |
0.4 | % | ||||||||||
| Enbridge, Inc., 6.375% to 4/15/23, due 4/15/78, Series B (Canada)(b) |
|
114,059 | $ | 2,081,577 | ||||||||
|
|
|
|||||||||||
| UTILITIES—MULTI-UTILITIES |
0.5 | % | ||||||||||
| NiSource, Inc., 6.50% to 3/15/24, Series B(a),(b) |
|
104,000 | 2,641,600 | |||||||||
|
|
|
|||||||||||
| UTILITIES—FOREIGN |
0.6 | % | ||||||||||
| Algonquin Power & Utilities Corp., 6.875% to 10/17/23, due 10/17/78 (Canada)(b) |
|
40,750 | 1,006,933 | |||||||||
| Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A (Canada)(b) |
|
100,265 | 2,356,227 | |||||||||
|
|
|
|||||||||||
| 3,363,160 | ||||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—$25 PAR VALUE |
|
68,138,054 | ||||||||||
|
|
|
|||||||||||
| Principal Amount |
||||||||||||
| PREFERRED SECURITIES—CAPITAL SECURITIES |
126.3 | % | ||||||||||
| BANKS |
41.5 | % | ||||||||||
| AgriBank FCB, 6.875% to 1/1/24(a),(b) |
$ | 36,200 | † | 3,515,925 | ||||||||
| BAC Capital Trust XIV, 4.00% (3 Month US LIBOR + 0.40%, Floor 4.00%), Series G (FRN)(a),(c) |
|
20,730,000 | 16,879,299 | |||||||||
| Bank of America Corp., 6.10% to 3/17/25, Series AA(a),(b) |
|
3,925,000 | 3,966,978 | |||||||||
| Bank of America Corp., 5.875% to 3/15/28, Series FF(a),(b) |
|
7,979,000 | 8,091,943 | |||||||||
| Bank of America Corp., 6.25% to 9/5/24, Series X(a),(b) |
|
8,410,000 | 8,541,995 | |||||||||
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(b) |
|
5,932,000 | 6,262,383 | |||||||||
| Citigroup, Inc., 5.90% to 2/15/23(a),(b) |
|
10,600,000 | 10,234,194 | |||||||||
| Citigroup, Inc., 5.95% to 5/15/25, Series P(a),(b) |
|
10,338,000 | 10,022,122 | |||||||||
| Citigroup, Inc., 5.95% to 8/15/20, Series Q(a),(b) |
|
2,030,000 | 1,786,836 | |||||||||
| Citigroup, Inc., 6.25% to 8/15/26, Series T(a),(b) |
|
7,261,000 | 7,484,893 | |||||||||
| Citigroup, Inc., 5.00% to 9/12/24, Series U(a),(b) |
|
1,938,000 | 1,772,989 | |||||||||
| Citizens Financial Group, Inc., 6.375% to 4/6/24, Series C(a),(b) |
|
1,015,000 | 883,755 | |||||||||
| CoBank ACB, 6.25% to 10/1/22, Series F(a),(b) |
|
117,000 | † | 11,583,000 | ||||||||
| CoBank ACB, 6.125%, Series G(a) |
|
32,250 | † | 3,185,333 | ||||||||
| CoBank ACB, 6.25% to 10/1/26, Series I(a),(b) |
|
5,755,000 | 5,697,450 | |||||||||
| Corestates Capital III, 2.262% (3 Month US LIBOR + 0.57%), due 2/15/27, 144A (TruPS) (FRN)(c),(d) |
|
3,000,000 | 2,522,505 | |||||||||
2
| Principal Amount |
Value | |||||||||||
| Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A(d) |
|
$ | 3,830,280 | $ | 4,465,877 | |||||||
| Farm Credit Bank of Texas, 6.75% to 9/15/23, 144A(a),(b),(d) |
|
67,500 | † | 6,581,250 | ||||||||
| Farm Credit Bank of Texas, 10.00%, Series 1(a) |
|
7,500 | † | 7,571,250 | ||||||||
| First Horizon Bank, 3.75% (3 Month US LIBOR + 0.85%), 144A (FRN)(a),(c),(d) |
|
13,750 | † | 9,075,000 | ||||||||
| Goldman Sachs Capital II, 4.00%, (3 Month US LIBOR + 0.768%, Floor 4.00%), (FRN)(a),(c) |
|
7,902,000 | 5,950,166 | |||||||||
| Goldman Sachs Group, Inc./The, 5.375% to 5/10/20, Series M(a),(b) |
|
5,000,000 | 4,469,825 | |||||||||
| Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(a),(b) |
|
3,470,000 | 3,337,463 | |||||||||
| Goldman Sachs Group, Inc./The, 4.95% to 2/10/25, Series R(a),(b) |
|
1,706,000 | 1,519,526 | |||||||||
| JPMorgan Chase & Co., 5.00% to 8/1/24, Series FF(a),(b) |
|
3,000,000 | 2,814,585 | |||||||||
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(b) |
|
8,419,000 | 8,803,706 | |||||||||
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(a),(b) |
|
6,200,000 | 6,322,109 | |||||||||
| KeyCorp Capital I, 2.173%, (3 Month US LIBOR + 0.740%), due 7/1/28, (TruPS) (FRN)(c) |
|
3,525,000 | 2,893,373 | |||||||||
| Mellon Capital IV, 4.00%, (3 Month US LIBOR + 0.565%, Floor 4.00%), Series 1 (FRN)(a),(c) |
|
28,285,000 | 24,020,895 | |||||||||
| Truist Bank, 4.00% (3 Month US LIBOR + 0.645%, Floor 4.00%), Series
J, |
|
4,000,000 | 3,206,980 | |||||||||
| Truist Bank, 1.391% (3 Month US LIBOR + 0.650%), due 3/15/28, (FRN)(c) |
|
3,185,000 | 2,614,296 | |||||||||
| Truist Financial Corp., 5.125% to 12/15/27, Series M(a),(b) |
|
5,935,000 | 5,049,587 | |||||||||
| Truist Financial Corp., 4.80% to 9/01/24, Series N(a),(b) |
|
6,240,000 | 5,370,737 | |||||||||
| US Bancorp, 3.50%, (3 Month US LIBOR + 1.020%, Floor 3.50%), Series
A, |
|
24,747 | † | 17,800,826 | ||||||||
| USB Capital IX, 3.50%, (3 Month US LIBOR + 1.020%, Floor 3.50%), (FRN)(a),(c) |
|
4,734,000 | 3,535,091 | |||||||||
| Wachovia Capital Trust II, 2.331% (3 Month US LIBOR + 0.50%), due 1/15/27, (FRN)(c) |
|
3,550,000 | 2,913,964 | |||||||||
| Wachovia Capital Trust III, 5.57% (3 Month US LIBOR + 0.930%, Floor 5.57%), (FRN)(a),(c) |
|
1,048,000 | 1,022,827 | |||||||||
| Wells Fargo & Co., 5.95%, due 12/1/36 |
|
5,893,000 | 7,410,920 | |||||||||
| Wells Fargo & Co., 7.95%, due 11/15/29 |
|
445,000 | 583,678 | |||||||||
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(a),(b) |
|
2,892,000 | 2,937,390 | |||||||||
|
|
|
|||||||||||
| 242,702,921 | ||||||||||||
|
|
|
|||||||||||
| BANKS—FOREIGN |
46.2 | % | ||||||||||
| Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(b),(d),(e) |
|
3,000,000 | 2,950,005 | |||||||||
3
| Principal Amount |
Value | |||||||||
| Banco Bilbao Vizcaya Argentaria SA, 6.50% to 3/5/25, Series 9 (Spain)(a),(b),(e) |
$ | 6,200,000 | $ | 4,809,309 | ||||||
| Banco Bilbao Vizcaya Argentaria SA, 8.875% to 4/14/21 (Spain)(a),(b),(e),(f) |
2,800,000 | 3,024,920 | ||||||||
| Banco BPM SpA, 6.125% to 1/21/25 (Italy)(a),(b),(e),(f) |
2,800,000 | 1,918,494 | ||||||||
| Banco de Sabadell SA, 6.50% to 5/18/22 (Spain)(a),(b),(e),(f) |
800,000 | 647,270 | ||||||||
| Banco Santander SA, 4.375% to 1/14/26 (Spain)(a),(b),(e),(f) |
2,000,000 | 1,660,631 | ||||||||
| Banco Santander SA, 7.50% to 2/8/24 (Spain)(a),(b),(e),(f) |
2,400,000 | 2,121,245 | ||||||||
| Bank of China Hong Kong Ltd., 5.90% to 9/14/23, 144A (Hong Kong)(a),(b),(d) |
7,900,000 | 8,176,047 | ||||||||
| Barclays PLC, 5.875% to 9/15/24 (United Kingdom)(a),(b),(e),(f) |
1,000,000 | 883,075 | ||||||||
| Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(a),(b),(e) |
4,000,000 | 4,256,876 | ||||||||
| Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(a),(b),(e),(f) |
6,000,000 | 5,520,000 | ||||||||
| Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(a),(b),(e) |
3,200,000 | 2,973,776 | ||||||||
| BNP Paribas SA, 4.50% to 2/25/30, 144A (France)(a),(b),(d),(e) |
5,600,000 | 4,315,500 | ||||||||
| BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(a),(b),(d),(e) |
8,400,000 | 7,444,500 | ||||||||
| BNP Paribas SA, 6.75% to 3/14/22, 144A (France)(a),(b),(d),(e) |
1,000,000 | 902,810 | ||||||||
| BNP Paribas SA, 7.00% to 8/16/28, 144A (France)(a),(b),(d),(e) |
1,800,000 | 1,744,101 | ||||||||
| BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(b),(d),(e) |
5,600,000 | 5,351,892 | ||||||||
| BNP Paribas SA, 7.625% to 3/30/21, 144A (France)(a),(b),(d),(e) |
5,100,000 | 4,982,063 | ||||||||
| Commerzbank AG, 7.00% to 4/9/25 (Germany)(a),(b),(e),(f) |
1,400,000 | 1,125,250 | ||||||||
| Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(b),(d),(e) |
8,200,000 | 7,344,699 | ||||||||
| Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(b),(d),(e) |
5,600,000 | 5,434,442 | ||||||||
| Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(b),(d),(e) |
9,550,000 | 9,896,407 | ||||||||
| Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(a),(b),(d),(e) |
3,300,000 | 2,899,166 | ||||||||
| Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(a),(b),(e),(f) |
10,900,000 | 10,087,841 | ||||||||
| Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(b),(d),(e) |
3,000,000 | 2,724,585 | ||||||||
| Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(a),(b),(d),(e) |
3,263,000 | 3,161,260 | ||||||||
| Credit Suisse Group AG, 7.50% to 7/17/23, 144A (Switzerland)(a),(b),(d),(e) |
15,400,000 | 14,203,343 | ||||||||
| Deutsche Bank AG, 6.00% to 10/30/25 (Germany)(a),(b),(e) |
200,000 | 134,400 | ||||||||
| DNB Bank ASA, 6.50% to 3/26/22 (Norway)(a),(b),(e),(f) |
3,800,000 | 3,434,911 | ||||||||
| HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A |
3,695,000 | 5,434,661 | ||||||||
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a),(b),(e) |
5,800,000 | 5,427,031 | ||||||||
| HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(a),(b),(e) |
3,400,000 | 3,181,771 | ||||||||
4
| Principal Amount |
Value | |||||||||
| HSBC Holdings PLC, 6.875% to 6/1/21 (United Kingdom)(a),(b),(e) |
$ | 9,700,000 | $ | 9,531,560 | ||||||
| ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(a),(b),(e) |
3,400,000 | 2,945,981 | ||||||||
| ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(a),(b),(e) |
2,400,000 | 2,008,680 | ||||||||
| ING Groep N.V., 6.875% to 4/16/22 (Netherlands)(a),(b),(e),(f) |
5,600,000 | 4,909,542 | ||||||||
| Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(b),(d),(e) |
3,000,000 | 2,552,085 | ||||||||
| Itau Unibanco Holding SA, 4.50% to 11/21/24, due 11/21/29, 144A (Brazil)(b),(d),(e) |
3,000,000 | 2,737,500 | ||||||||
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(b),(e) |
5,250,000 | 4,536,131 | ||||||||
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(a),(b),(e) |
3,800,000 | 3,418,081 | ||||||||
| Nationwide Building Society, 10.25% (United Kingdom)(a),(f) |
1,765,000 | 2,871,922 | ||||||||
| Nordea Bank Abp, 6.625% to 3/26/26, 144A (Finland)(a),(b),(d),(e) |
3,800,000 | 3,442,173 | ||||||||
| Royal Bank of Scotland Group PLC, 7.648% to 9/30/31 (United Kingdom)(a),(b) |
5,459,000 | 6,989,294 | ||||||||
| Royal Bank of Scotland Group PLC, 8.00% to 8/10/25 (United Kingdom)(a),(b),(e) |
4,800,000 | 4,510,584 | ||||||||
| Royal Bank of Scotland Group PLC, 8.625% to 8/15/21 (United Kingdom)(a),(b),(e) |
6,581,000 | 6,451,519 | ||||||||
| Skandinaviska Enskilda Banken AB, 5.125% to 5/13/25 (Sweden)(a),(b),(e),(f) |
1,600,000 | 1,390,928 | ||||||||
| Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(b),(d),(e) |
2,000,000 | 1,669,130 | ||||||||
| Societe Generale SA, 7.375% to 9/13/21, 144A (France)(a),(b),(d),(e) |
11,200,000 | 10,359,720 | ||||||||
| Societe Generale SA, 7.375% to 10/4/23, 144A (France)(a),(b),(d),(e) |
2,800,000 | 2,423,946 | ||||||||
| Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(b),(d),(e) |
7,489,000 | 6,768,745 | ||||||||
| Societe Generale SA, 8.00% to 9/29/25, 144A (France)(a),(b),(d),(e) |
3,200,000 | 2,930,224 | ||||||||
| Standard Chartered PLC, 7.50% to 4/2/22, 144A (United Kingdom)(a),(b),(d),(e) |
7,000,000 | 6,901,405 | ||||||||
| Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(b),(d),(e) |
7,400,000 | 7,274,126 | ||||||||
| Svenska Handelsbanken AB, 6.25% to 3/1/24, Series EMTN (Sweden)(a),(b),(e),(f) |
4,200,000 | 3,923,325 | ||||||||
| UBS Group Funding Switzerland AG, 6.875% to 8/7/25 (Switzerland)(a),(b),(e),(f) |
4,200,000 | 4,008,795 | ||||||||
| UBS Group Funding Switzerland AG, 6.875% to 3/22/21 (Switzerland)(a),(b),(e),(f) |
2,149,000 | 2,106,020 | ||||||||
| UBS Group Funding Switzerland AG, 7.00% to 2/19/25 (Switzerland)(a),(b),(e),(f) |
2,800,000 | 2,716,218 | ||||||||
| UBS Group Funding Switzerland AG, 7.00% to 1/31/24,
144A |
8,800,000 | 8,278,116 | ||||||||
5
| Principal Amount |
Value | |||||||||||
| UBS Group Funding Switzerland AG, 7.125% to 8/10/21 (Switzerland)(a),(b),(e),(f) |
|
$ | 11,000,000 | $ | 10,791,198 | |||||||
| UniCredit SpA, 7.50% to 6/3/26 (Italy)(a),(b),(e),(f) |
|
2,000,000 | 2,014,730 | |||||||||
| UniCredit SpA, 8.00% to 6/3/24 (Italy)(a),(b),(e),(f) |
|
2,000,000 | 1,725,790 | |||||||||
|
|
|
|||||||||||
| 270,359,749 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC |
2.2 | % | ||||||||||
| Dominion Energy, Inc., 4.65% to 12/15/24, Series B(a),(b) |
|
5,319,000 | 4,783,403 | |||||||||
| Duke Energy Corp., 4.875% to 9/16/24(a),(b) |
|
6,000,000 | 5,044,170 | |||||||||
| Southern California Edison Co., 6.25% to 2/1/22, Series E(a),(b) |
|
3,200,000 | 3,072,992 | |||||||||
|
|
|
|||||||||||
| TOTAL ELECTRIC |
|
12,900,565 | ||||||||||
|
|
|
|||||||||||
| ELECTRIC—FOREIGN |
0.5 | % | ||||||||||
| Electricite de France SA, 5.625% to 1/22/24, 144A (France)(a),(b),(d) |
|
850,000 | 818,716 | |||||||||
| Electricite de France SA, 5.00% to 1/22/26, Series EMTN (France)(a),(b),(f) |
|
1,900,000 | 2,133,601 | |||||||||
|
|
|
|||||||||||
| 2,952,317 | ||||||||||||
|
|
|
|||||||||||
| FINANCIAL—DIVERSIFIED FINANCIAL SERVICES |
0.3 | % | ||||||||||
| Apollo Management Holdings LP, 4.95% to 12/17/24, due 1/14/50, 144Ab,(d) |
|
2,036,000 | 1,836,763 | |||||||||
|
|
|
|||||||||||
| FOOD |
0.9 | % | ||||||||||
| Dairy Farmers of America, Inc., 7.875%, 144A(a),(d),(g) |
|
58,200 | † | 5,365,807 | ||||||||
|
|
|
|||||||||||
| INDUSTRIALS—DIVERSIFIED MANUFACTURING |
0.7 | % | ||||||||||
| General Electric Co., 5.00% to 1/21/21, Series D(a),(b) |
|
4,672,000 | 3,863,160 | |||||||||
|
|
|
|||||||||||
| INSURANCE |
22.5 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
6.4 | % | ||||||||||
| MetLife Capital Trust IV, 7.875%, due 12/15/37, 144A (TruPS)(d) |
|
6,100,000 | 7,084,327 | |||||||||
| MetLife, Inc., 9.25%, due 4/8/38, 144A(d) |
|
10,300,000 | 12,889,059 | |||||||||
| Prudential Financial, Inc., 5.20% to 3/15/24, due 3/15/44(b) |
|
2,856,000 | 2,508,296 | |||||||||
| Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(b) |
|
10,008,000 | 9,428,036 | |||||||||
| SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(b),(d) |
|
2,530,000 | 1,647,663 | |||||||||
| Voya Financial, Inc., 5.65% to 5/15/23, due 5/15/53(b) |
|
2,000,000 | 1,836,510 | |||||||||
| Voya Financial, Inc., 6.125% to 9/15/23, Series A(a),(b) |
|
2,500,000 | 2,264,238 | |||||||||
|
|
|
|||||||||||
| 37,658,129 | ||||||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
5.7 | % | ||||||||||
| Achmea BV, 4.625% to 3/24/29 (Netherlands)(a),(b),(e),(f) |
|
4,600,000 | 4,213,254 | |||||||||
| Dai-ichi Life Insurance Co., Ltd., 5.10% to 10/28/24, 144A (Japan)(a),(b),(d) |
|
5,100,000 | 5,267,765 | |||||||||
6
| Principal Amount |
Value | |||||||||||
| Dai-ichi Life Insurance Co., Ltd., 7.25% to 7/25/21, 144A (Japan)(a),(b),(d) |
|
$ | 4,150,000 | $ | 4,317,287 | |||||||
| Fukoku Mutual Life Insurance Co., 6.50% to 9/19/23 (Japan)(a),(b),(f) |
|
2,753,000 | 2,863,120 | |||||||||
| Hanwha Life Insurance Co., Ltd., 4.70% to 4/23/23, 144A (South Korea)(a),(b),(d) |
|
2,600,000 | 2,612,677 | |||||||||
| Meiji Yasuda Life Insurance Co., 5.20% to 10/20/25, due 10/20/45, |
|
5,235,000 | 5,416,674 | |||||||||
| Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)(a),(b),(e),(f) |
|
2,000,000 | 1,673,084 | |||||||||
| Sumitomo Life Insurance Co., 6.50% to 9/20/23, due 9/20/73, 144A (Japan)(b),(d) |
|
6,500,000 | 6,706,343 | |||||||||
|
|
|
|||||||||||
| 33,070,204 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE |
2.9 | % | ||||||||||
| American International Group, Inc., 8.175% to 5/15/38, due 5/15/68(b) |
|
4,800,000 | 5,636,021 | |||||||||
| American International Group, Inc., 5.75% to 4/1/28, due 4/1/48, Series A-9(b) |
|
3,500,000 | 3,075,582 | |||||||||
| Hartford Financial Services Group, Inc./The, 3.817% (3 Month US LIBOR + 2.125%), due 2/12/67, 144A, Series ICON (FRN)(c),(d) |
|
12,885,000 | 8,352,766 | |||||||||
|
|
|
|||||||||||
| 17,064,369 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE—FOREIGN |
1.1 | % | ||||||||||
| AXA SA, 6.379% to 12/14/36, 144A (France)(a),(b),(d) |
|
5,600,000 | 6,629,364 | |||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY |
0.8 | % | ||||||||||
| Liberty Mutual Group, Inc., 3.625% to 5/23/24, due 5/23/59, 144A |
|
4,630,000 | 4,542,818 | |||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY—FOREIGN |
4.9 | % | ||||||||||
| Mitsui Sumitomo Insurance Co., Ltd., 4.95% to 3/6/29, 144A (Japan)(a),(b),(d) |
|
11,150,000 | 11,605,087 | |||||||||
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(b),(f) |
|
7,405,000 | 7,343,872 | |||||||||
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN (Australia)(b),(f) |
|
4,000,000 | 3,860,014 | |||||||||
| Swiss Re Finance Luxembourg SA, 4.25% to 9/4/24 (Switzerland)(a),(b),(f) |
|
1,600,000 | 1,411,520 | |||||||||
| VIVAT NV, 6.25% to 11/16/22 (Netherlands)(a),(b),(f) |
|
4,700,000 | 4,468,534 | |||||||||
|
|
|
|||||||||||
| 28,689,027 | ||||||||||||
|
|
|
|||||||||||
7
| Principal Amount |
Value | |||||||||||
| REINSURANCE |
0.7 | % | ||||||||||
| AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(b) |
|
$ | 4,635,000 | $ | 3,935,206 | |||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
|
131,589,117 | ||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN |
1.0 | % | ||||||||||
| Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(b) |
|
5,423,000 | 5,807,814 | |||||||||
|
|
|
|||||||||||
| MATERIAL—METALS & MINING—FOREIGN |
1.7 | % | ||||||||||
| BHP Billiton Finance USA Ltd., 6.75% to 10/20/25, due 10/19/75,
144A |
|
9,500,000 | 10,089,048 | |||||||||
|
|
|
|||||||||||
| PIPELINES |
0.7 | % | ||||||||||
| Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(a),(b) |
|
2,795,000 | 1,685,608 | |||||||||
| Enterprise Products Operating LLC, 5.25% to 8/16/27, due 8/16/77, Series E(b) |
|
3,750,000 | 2,575,294 | |||||||||
|
|
|
|||||||||||
| 4,260,902 | ||||||||||||
|
|
|
|||||||||||
| PIPELINES—FOREIGN |
5.2 | % | ||||||||||
| Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)(b) |
|
8,124,000 | 6,107,176 | |||||||||
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(b) |
|
7,464,000 | 5,536,385 | |||||||||
| Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(b) |
|
12,900,000 | 9,891,011 | |||||||||
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(b) |
|
11,673,000 | 9,154,492 | |||||||||
|
|
|
|||||||||||
| 30,689,064 | ||||||||||||
|
|
|
|||||||||||
| UTILITIES—ELECTRIC UTILITIES—FOREIGN |
2.9 | % | ||||||||||
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(b) |
|
13,770,000 | 12,761,279 | |||||||||
| Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(b),(d) |
|
3,692,000 | 3,923,857 | |||||||||
|
|
|
|||||||||||
| 16,685,136 | ||||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES |
|
739,102,363 | ||||||||||
|
|
|
|||||||||||
8
| Principal Amount |
Value | |||||||||||
| CORPORATE BONDS |
1.1 | % | ||||||||||
| INDUSTRIALS—DIVERSIFIED MANUFACTURING |
0.5 | % | ||||||||||
| General Electric Co., 4.125%, due 10/9/42 |
|
$ | 2,900,000 | $ | 2,754,752 | |||||||
|
|
|
|||||||||||
| INSURANCE—LIFE/HEALTH INSURANCE |
0.6 | % | ||||||||||
| Brighthouse Financial, Inc., 4.70%, due 6/22/47 |
|
4,500,000 | 3,628,387 | |||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS |
|
6,383,139 | ||||||||||
|
|
|
|||||||||||
| Number of Shares |
||||||||||||
| SHORT-TERM INVESTMENTS |
10.3 | % | ||||||||||
| MONEY MARKET FUNDS |
||||||||||||
| State Street Institutional Treasury Money Market Fund, Premier Class, 0.58%(h) |
|
60,386,894 | 60,386,894 | |||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
60,386,894 | ||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS IN SECURITIES(i) |
149.8 | % | 876,493,873 | |||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS |
(49.8 | ) | (291,416,979 | ) | ||||||||
|
|
|
|
|
|||||||||
| NET ASSETS (Equivalent to $20.26 per share based on 28,882,802 shares of common stock outstanding) |
100.0 | % | $ | 585,076,894 | ||||||||
|
|
|
|
|
|||||||||
Centrally Cleared Interest Rate Swap Contracts
| Notional Amount |
Fixed Rate Payable |
Fixed Rate Receivable |
Fixed Payment |
Floating Rate Receivable(j) (resets monthly) |
Floating Rate Payable(j) (resets monthly) |
Floating Payment Frequency |
Maturity Date |
Value | Upfront Receipts (Payments) |
Unrealized Appreciation |
||||||||||||||||||||||||||||||
| $ 60,000,000 | —% | 1.117% | Quarterly | —% | 0.750 | % | Monthly | 10/19/21 | $ | 768,772 | $ | 206,448 | $ | 975,220 | ||||||||||||||||||||||||||
| 60,000,000 | 1.117 | — | Quarterly | 0.750 | — | Monthly | 10/19/21 | (768,584 | ) | — | (768,584 | ) | ||||||||||||||||||||||||||||
| 90,000,000 | 1.203 | — | Quarterly | 0.750 | — | Monthly | 10/19/22 | (2,060,349 | ) | — | (2,060,349 | ) | ||||||||||||||||||||||||||||
9
| Notional Amount |
Fixed Rate Payable |
Fixed Rate Receivable |
Fixed Payment |
Floating Rate Receivable(j) (resets monthly) |
Floating Rate Payable(j) (resets monthly) |
Floating Payment Frequency |
Maturity Date |
Value | Upfront Receipts (Payments) |
Unrealized Appreciation |
||||||||||||||||||||||||||||||
| 31,000,000 | 1.848% | —% | Quarterly | 0.750% | —% | Monthly | 10/19/22 | $ | (1,218,839 | ) | $ | — | $ | (1,218,839 | ) | |||||||||||||||||||||||||
| 34,000,000 | — | 1.203 | Quarterly | — | 0.750 | Monthly | 10/19/22 | 778,602 | 52,730 | 831,332 | ||||||||||||||||||||||||||||||
| 90,000,000 | 1.288 | — | Quarterly | 0.750 | — | Monthly | 10/19/23 | (3,009,128 | ) | — | (3,009,128 | ) | ||||||||||||||||||||||||||||
| 94,000,000 | 1.280 | — | Quarterly | 1.377 | — | Monthly | 2/3/26 | (4,410,440 | ) | (19,497 | ) | (4,429,937 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | (9,919,966 | ) | $ | 239,681 | $ | (9,680,285 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts
| Counterparty | Contracts to Deliver |
In Exchange For |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||
| Brown Brothers Harriman |
GBP | 9,760,274 | USD | 12,482,512 | 4/2/2020 | $ | 359,273 | |||||||||||
| Brown Brothers Harriman |
EUR | 33,801,935 | USD | 37,260,819 | 4/2/2020 | (19,315 | ) | |||||||||||
| Brown Brothers Harriman |
USD | 3,664,511 | EUR | 3,426,259 | 4/2/2020 | 114,308 | ||||||||||||
| Brown Brothers Harriman |
USD | 19,736,185 | EUR | 17,984,331 | 4/2/2020 | 98,723 | ||||||||||||
| Brown Brothers Harriman |
USD | 3,549,614 | EUR | 3,268,807 | 4/2/2020 | 55,551 | ||||||||||||
| Brown Brothers Harriman |
USD | 1,552,340 | EUR | 1,454,522 | 4/2/2020 | 51,851 | ||||||||||||
| Brown Brothers Harriman |
USD | 1,359,052 | EUR | 1,262,386 | 4/2/2020 | 33,233 | ||||||||||||
| Brown Brothers Harriman |
USD | 2,878,911 | EUR | 2,615,038 | 4/2/2020 | 5,213 | ||||||||||||
| Brown Brothers Harriman |
USD | 1,700,905 | EUR | 1,533,419 | 4/2/2020 | (9,698 | ) | |||||||||||
| Brown Brothers Harriman |
USD | 2,563,568 | EUR | 2,257,173 | 4/2/2020 | (74,134 | ) | |||||||||||
| Brown Brothers Harriman |
USD | 598,393 | GBP | 514,189 | 4/2/2020 | 40,282 | ||||||||||||
| Brown Brothers Harriman |
USD | 481,972 | GBP | 414,288 | 4/2/2020 | 32,615 | ||||||||||||
| Brown Brothers Harriman |
USD | 1,008,836 | GBP | 833,400 | 4/2/2020 | 26,330 | ||||||||||||
| Brown Brothers Harriman |
USD | 7,687,151 | GBP | 6,203,718 | 4/2/2020 | 18,489 | ||||||||||||
| Brown Brothers Harriman |
USD | 970,987 | GBP | 785,754 | 4/2/2020 | 4,998 | ||||||||||||
| Brown Brothers Harriman |
USD | 680,791 | GBP | 530,441 | 4/2/2020 | (21,930 | ) | |||||||||||
| Brown Brothers Harriman |
USD | 629,070 | GBP | 478,484 | 4/2/2020 | (34,745 | ) | |||||||||||
| Brown Brothers Harriman |
GBP | 589,324 | USD | 735,754 | 5/4/2020 | 3,242 | ||||||||||||
| Brown Brothers Harriman |
GBP | 5,880,747 | USD | 7,291,244 | 5/4/2020 | (18,349 | ) | |||||||||||
| Brown Brothers Harriman |
EUR | 823,372 | USD | 909,113 | 5/5/2020 | (138 | ) | |||||||||||
| Brown Brothers Harriman |
EUR | 17,617,026 | USD | 19,355,298 | 5/5/2020 | (99,221 | ) | |||||||||||
|
|
|
|||||||||||||||||
| $ | 566,578 | |||||||||||||||||
|
|
|
|||||||||||||||||
10
Glossary of Portfolio Abbreviations
| CME | Chicago Mercantile Exchange | |
| EMTN | Euro Medium Term Note | |
| ETF | Exchange-Traded Fund | |
| 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, 2020. |
| (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 $264,053,304 which represents 45.1% of the net assets of the Fund, of which 0.0% are illiquid. |
| (e) | Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $252,774,163 which represents 43.2% of the net assets of the Fund (28.1% of the managed assets of the Fund). |
| (f) | Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $94,849,104 which represents 16.2% of the net assets of the Fund, of which 0.0% are illiquid. |
| (g) | Security value is determined based on significant unobservable inputs (Level 3). |
| (h) | Rate quoted represents the annualized seven-day yield. |
| (i) | 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. |
| (j) | Based on LIBOR (London Interbank Offered Rate). Represents rates in effect at March 31, 2020. |
11
| Country Summary |
% of Managed Assets |
|||
| United States |
44.3 | |||
| United Kingdom |
9.7 | |||
| France |
9.0 | |||
| Switzerland |
6.9 | |||
| Canada |
5.4 | |||
| Japan |
4.0 | |||
| Netherlands |
2.8 | |||
| Australia |
2.7 | |||
| Spain |
1.4 | |||
| Italy |
1.3 | |||
| Hong Kong |
0.9 | |||
| Sweden |
0.6 | |||
| Other |
11.0 | |||
|
|
|
|||
| 100.0 | ||||
|
|
|
|||
12
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
Note 1. Portfolio Valuation
Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange or clearinghouse. 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 advisor) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.
Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor 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 advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.
| • | Level 1 — quoted prices in active markets for identical investments |
| • | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the inputs used as of March 31, 2020 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) |
|||||||||||||
| Exchange-Traded Funds |
$ | 2,483,423 | $ | 2,483,423 | $ | — | $ | — | ||||||||
| Preferred Securities—$25 Par Value |
68,138,054 | 68,138,054 | — | — | ||||||||||||
| Preferred Securities—Capital Securities: |
||||||||||||||||
| Banks |
513,062,670 | — | 513,062,670 | — | ||||||||||||
| Food |
5,365,807 | — | — | 5,365,807 | ||||||||||||
| Other Industries |
220,673,886 | — | 220,673,886 | — | ||||||||||||
| Corporate Bonds |
6,383,139 | — | 6,383,139 | — | ||||||||||||
| Short-Term Investments |
60,386,894 | — | 60,386,894 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities(a) |
$ | 876,493,873 | $ | 70,621,477 | $ | 800,506,589 | $ | 5,365,807(b | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Interest Rate Swap Contracts |
$ | 1,806,552 | $ | — | $ | 1,806,552 | $ | — | ||||||||
| Forward Foreign Currency Exchange Contracts |
844,108 | — | 844,108 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Derivative Assets(a) |
$ | 2,650,660 | $ | — | $ | 2,650,660 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Interest Rate Swap Contracts |
$ | (11,486,837 | ) | $ | — | $ | (11,486,837 | ) | $ | — | ||||||
| Forward Foreign Currency Exchange Contracts |
(277,530 | ) | — | (277,530 | ) | — | ||||||||||
|
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| Total Derivative Liabilities(a) |
$ | (11,764,367 | ) | $ | — | $ | (11,764,367 | ) | $ | — | ||||||
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| (a) | Portfolio holdings are disclosed individually on the Schedule of Investments. |
| (b) | Level 3 investments are valued by a third-party pricing service. The inputs for these securities are not readily available or cannot be reasonably estimated. A change in the significant unobservable inputs could result in a significantly lower or higher value in such Level 3 investments. |
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
| Preferred Securities— Capital Securities— Food |
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| Balance as of December 31, 2019 |
$ | 5,784,964 | ||
| Change in unrealized appreciation (depreciation) |
(419,157 | ) | ||
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| Balance as of March 31, 2020 |
$ | 5,365,807 | ||
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The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2020 which were valued using significant unobservable inputs (Level 3) amounted to $(419,157).
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 LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under its 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 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 interest rate swap contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2020:
| Interest Rate Swap Contracts |
Forward Foreign Currency Exchange Contracts |
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| Average Notional Amount |
$ | 271,000,000 | $ | 40,382,588 | ||||