NPORT-EX 2 NPORT_4X12_60483089_0323.htm RLTY N-PORT

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

SCHEDULE OF INVESTMENTS

March 31, 2023 (Unaudited)

 

                                                                       
                          Shares      Value  

COMMON STOCK

      100.7 %      

COMMUNICATIONS—TOWERS

      12.8 %      

American Tower Corp.(a),(b)

        53,611      $ 10,954,872  

Crown Castle, Inc.(a)

        76,927        10,295,910  

SBA Communications Corp., Class A(a)

        46,749        12,204,761  
       

 

 

  
          33,455,543  
       

 

 

  

REAL ESTATE

      87.9 %      

DATA CENTERS

      12.0 %      

Digital Realty Trust, Inc.(a),(b)

        212,946        20,934,721  

Equinix, Inc.(a),(b)

        14,268        10,287,799  
       

 

 

  
          31,222,520  
       

 

 

  

HEALTH CARE

      10.3 %      

Healthcare Realty Trust, Inc., Class A(a),(b)

        382,418        7,392,140  

Welltower, Inc.(a)

        269,896        19,348,844  
       

 

 

  
          26,740,984  
       

 

 

  

HOTEL

      0.5 %      

Host Hotels & Resorts, Inc.(a)

        85,312        1,406,795  
       

 

 

  

HOTEL & RESORT REITS

      0.8 %      

Xenia Hotels & Resorts, Inc.(b)

        156,900        2,053,821  
       

 

 

  

INDUSTRIALS

      17.3 %      

Americold Realty Trust, Inc.(a)

        288,431        8,205,862  

Prologis, Inc.(a)

        295,735        36,898,856  
       

 

 

  
          45,104,718  
       

 

 

  

NET LEASE

      10.2 %      

Gaming and Leisure Properties, Inc.(a)

        27,063        1,408,900  

Realty Income Corp.(a)

        257,220        16,287,170  

Spirit Realty Capital, Inc.(a)

        131,378        5,234,099  

VICI Properties, Inc.(a)

        106,617        3,477,847  
       

 

 

  
          26,408,016  
       

 

 

  

OFFICE

      2.5 %      

Cousins Properties, Inc.(a)

        112,583        2,407,025  

Highwoods Properties, Inc.(a)

        178,797        4,146,302  
       

 

 

  
          6,553,327  
       

 

 

  

RESIDENTIAL

      20.6 %      

APARTMENT

      13.1 %      

Camden Property Trust(a),(b)

        90,968        9,537,085  

 

1

 

 

                                                                       
                          Shares      Value  

Mid-America Apartment Communities, Inc.(a)

        97,485      $ 14,724,134  

UDR, Inc.(a)

        236,963        9,729,701  
       

 

 

  
          33,990,920  
       

 

 

  

SINGLE FAMILY

      7.5 %   

American Homes 4 Rent, Class A(a)

        85,594        2,691,931  

Invitation Homes, Inc.(a)

        538,950        16,831,409  
       

 

 

  
          19,523,340  
       

 

 

  

TOTAL RESIDENTIAL

 

      53,514,260  
       

 

 

  

SELF STORAGE

      5.9 %   

Extra Space Storage, Inc.(a)

        41,851        6,818,784  

Public Storage(a)

        28,138        8,501,615  
       

 

 

  
          15,320,399  
       

 

 

  

SHOPPING CENTERS

      7.8 %   

COMMUNITY CENTER

      1.7 %   

Kimco Realty Corp.(a)

        154,019        3,007,991  

Kite Realty Group Trust(a),(b)

        65,665        1,373,712  
       

 

 

  
          4,381,703  
       

 

 

  

REGIONAL MALL

      6.1 %   

Simon Property Group, Inc.(a)

        143,080        16,020,667  
       

 

 

  

TOTAL SHOPPING CENTERS

           20,402,370  
       

 

 

  

TOTAL REAL ESTATE

           228,727,210  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$299,331,910)

 

        262,182,753  
       

 

 

  

EXCHANGE-TRADED FUNDS—SHORT-TERM BOND

      1.2 %      

Vanguard Short-Term Corporate Bond ETF(a),(b)

        40,000        3,049,200  
       

 

 

  

TOTAL EXCHANGE-TRADED FUNDS
(Identified cost—$2,958,965)

 

        3,049,200  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      9.2 %      

BANKS

      2.5 %   

Bank of America Corp., 6.00%, Series GG(a),(c)

        33,000        812,130  

Bank of America Corp., 5.875%, Series HH(a),(c)

        66,000        1,580,040  

Bank of America Corp., 5.375%, Series KK(a),(c)

        5,931        136,235  

Citigroup, Inc., 7.125% to 9/30/23, Series J(a),(c),(d)

        38,213        956,471  

Citigroup, Inc., 6.875% to 11/15/23, Series K(a),(c),(d)

        24,438        605,818  

Dime Community Bancshares, Inc., 5.50%(a),(c)

        48,006        840,105  

Fifth Third Bancorp, 6.00%, Class B(a),(c)

        6,464        149,189  

 

2

 

 

                                                                       
                          Shares      Value  

JPMorgan Chase & Co., 5.75%, Series DD(a),(c)

        13,000      $ 323,830  

Wells Fargo & Co., 6.625% to 3/15/24, Series R(a),(c),(d)

        38,652        939,244  

Wintrust Financial Corp., 6.875% to 7/15/25, Series E(a),(c),(d)

        10,000        227,200  
       

 

 

  
          6,570,262  
       

 

 

  

ELECTRIC

      0.5 %      

Duke Energy Corp., 5.75%, Series A(a),(c)

        15,000        381,750  

WESCO International, Inc., 10.625% to 6/22/25, Series A(a),(c),(d)

        37,000        1,003,070  
       

 

 

  
          1,384,820  
       

 

 

  

FINANCIAL

      2.2 %      

DIVERSIFIED FINANCIAL SERVICES

      0.5 %      

Oaktree Capital Group LLC, 6.625%, Series A(a),(c)

        38,000        804,460  

Oaktree Capital Group LLC, 6.55%, Series B(a),(c)

        19,994        416,275  
       

 

 

  
          1,220,735  
       

 

 

  

INVESTMENT BANKER/BROKER

      1.7 %      

Charles Schwab Corp./The, 5.95%, Series D(a),(c)

        14,428        332,277  

Morgan Stanley, 6.375% to 10/15/24, Series I(a),(c),(d)

        91,254        2,247,586  

Morgan Stanley, 7.125% to 10/15/23, Series E(a),(c),(d)

        14,559        365,431  

Morgan Stanley, 5.85% to 4/15/27, Series K(a),(c),(d)

        38,838        962,406  

Morgan Stanley, 6.875% to 1/15/24, Series F(a),(c),(d)

        25,000        617,500  
       

 

 

  
          4,525,200  
       

 

 

  

TOTAL FINANCIAL

 

      5,745,935  
       

 

 

  

INDUSTRIALS—CHEMICALS

      0.5 %      

CHS, Inc., 7.875%, Class B(c)

        14,862        396,667  

CHS, Inc., 7.50%, Series 4(c)

        34,342        902,164  
       

 

 

  
          1,298,831  
       

 

 

  

INSURANCE

      0.6 %      

LIFE/HEALTH INSURANCE

      0.4 %      

Athene Holding Ltd., 6.375% to 6/30/25, Series C(a),(c),(d)

        32,110        773,530  

Athene Holding Ltd., 4.875%, Series D(a),(c)

        24,721        389,108  
       

 

 

  
          1,162,638  
       

 

 

  

MULTI-LINE

      0.1 %      

Kemper Corp., 5.875% to 3/15/27, due 3/15/62(a),(d)

        6,666        128,254  
       

 

 

  

REINSURANCE—FOREIGN

      0.1 %      

RenaissanceRe Holdings Ltd., 5.75%, Series F (Bermuda)(c)

        10,114        233,836  
       

 

 

  

 

3

 

 

                                                                       
                          Shares      Value  

TOTAL INSURANCE

 

    $ 1,524,728  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES

      1.3 %   

AT&T, Inc., 5.00%, Series A(a),(c)

        71,000        1,608,860  

AT&T, Inc., 4.75%, Series C(a),(c)

        76,741        1,632,281  

Telephone and Data Systems, Inc., 6.625%, Series UU(a),(c)

        15,838        225,058  
       

 

 

  
          3,466,199  
       

 

 

  

PIPELINES

      0.6 %   

Energy Transfer LP, 7.60% to 5/15/24, Series E(a),(c),(d)

        60,500        1,462,890  
       

 

 

  

PIPELINES—FOREIGN

      0.3 %   

Enbridge, Inc., 6.375% to 4/15/23, due 4/15/78, Series B (Canada)(a),(d)

        25,300        642,367  
       

 

 

  

REAL ESTATE

      0.3 %   

DATA CENTERS

      0.3 %   

DigitalBridge Group, Inc., 7.15%, Series I(c)

        16,976        325,600  

DigitalBridge Group, Inc., 7.125%, Series J(c)

        14,993        281,568  
       

 

 

  
          607,168  
       

 

 

  

INDUSTRIALS

      0.0 %   

Rexford Industrial Realty, Inc., 5.875%, Series B(a),(c)

        3,039        69,137  
       

 

 

  

TOTAL REAL ESTATE

 

      676,305  
       

 

 

  

UTILITIES

      0.4 %   

ELECTRIC—FOREIGN

      0.2 %   

Algonquin Power & Utilities Corp., 6.20% to 7/1/24, due 7/1/79, Series 19-A (Canada)(a),(d)

        25,000        580,500  
       

 

 

  

GAS—DISTRIBUTION

      0.2 %   

NiSource, Inc., 6.50% to 3/15/24, Series B(a),(c),(d)

        22,589        542,136  
       

 

 

  
          1,122,636  
       

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$26,085,453)

 

        23,894,973  
       

 

 

  
           Principal
Amount		         

PREFERRED SECURITIES—CAPITAL SECURITIES

      34.9 %      

BANKS

      9.3 %   

Bank of America Corp., 6.10% to 3/17/25, Series AA(a),(c),(d)

      $ 875,000        859,976  

Bank of America Corp., 6.125% to 4/27/27, Series TT(a),(c),(d)

        678,000        668,678  

Bank of America Corp., 6.25% to 9/5/24, Series X(a),(b),(c),(d)

        1,875,000        1,835,156  

Bank of America Corp., 6.30% to 3/10/26, Series DD(a),(c),(d)

        1,310,000        1,314,913  

 

4

 

 

                                                                       
                          Principal
Amount		      Value  

Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(c),(d)

      $ 975,000      $ 975,000  

Citigroup, Inc., 5.95% to 5/15/25, Series P(a),(c),(d)

        1,923,000        1,794,535  

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

        1,475,000        1,416,000  

Citigroup, Inc., 8.87% (3 Month US LIBOR + 4.068%), Series 0 (FRN)(a),(c),(e)

        1,839,000        1,829,805  

Citigroup, Inc., 9.094% (3 Month US LIBOR + 4.23%), Series B (FRN)(c),(e)

        350,000        348,688  

Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(a),(c),(d)

        750,000        649,074  

Goldman Sachs Group, Inc./The, 4.95% to 2/10/25, Series R(a),(c),(d)

        614,000        563,801  

Goldman Sachs Group, Inc./The, 5.50% to 8/10/24, Series Q(a),(c),(d)

        1,250,000        1,210,650  

JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(a),(c),(d)

        975,000        953,063  

JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(a),(c),(d)

        750,000        733,875  

JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(c),(d)

        1,781,000        1,788,311  

PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(a),(c),(d)

        321,000        296,302  

PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(a),(c),(d)

        841,000        793,357  

PNC Financial Services Group, Inc./The, 8.492% (3 Month US LIBOR + 3.678%), Series O (FRN)(a),(c),(e)

        2,000,000        1,979,807  

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

        1,350,000        1,192,502  

Wells Fargo & Co., 5.875% to 6/15/25, Series U(a),(c),(d)

        3,175,000        3,127,375  
       

 

 

  
          24,330,868  
       

 

 

  

BANKS—FOREIGN

      13.1 %   

Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(f),(g)

        1,200,000        1,147,663  

Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(a),(c),(d)

        1,275,000        1,163,437  

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

        200,000        203,847  

Barclays PLC, 6.125% to 12/15/25 (United Kingdom)(a),(c),(d),(g)

        1,000,000        850,267  

Barclays PLC, 6.375% to 12/15/25 (United Kingdom)(c),(d),(f),(g)

        800,000        870,921  

Barclays PLC, 7.125% to 6/15/25 (United Kingdom)(c),(d),(g)

        800,000        865,474  

Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(a),(c),(d),(g)

        2,000,000        1,805,000  

Barclays PLC, 8.00% to 3/15/29 (United Kingdom)(a),(c),(d),(g)

        1,000,000        856,250  

BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(a),(c),(d),(g),(h)

        1,000,000        944,070  

BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(c),(d),(g),(h)

        2,000,000        1,903,180  

BNP Paribas SA, 7.75% to 8/16/29, 144A (France)(a),(c),(d),(g),(h)

        400,000        383,880  

BNP Paribas SA, 9.25% to 11/17/27, 144A (France)(a),(c),(d),(g),(h)

        600,000        610,802  

Commerzbank AG, 7.00% to 4/9/25 (Germany)(c),(d),(f),(g)

        400,000        334,580  

Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(c),(d),(g),(h)

        1,400,000        1,304,918  

 

5

 

 

                                                                       
           Principal
Amount		      Value  

Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(a),(c),(d),(g),(h)

      $ 2,600,000      $ 2,558,371  

Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(c),(d),(g),(h)

        1,200,000        1,163,285  

Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)(c),(d),(g),(h),(i),(j)

        400,000        23,000  

Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(c),(d),(g),(h),(i),(j)

        400,000        23,000  

Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(g)

        800,000        652,856  

ING Groep N.V., 6.50% to 4/16/25 (Netherlands)(a),(c),(d),(g)

        1,000,000        902,029  

ING Groep N.V., 6.75% to 4/16/24 (Netherlands)(c),(d),(f),(g)

        1,000,000        924,915  

Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(c),(d),(g),(h)

        600,000        552,000  

Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(c),(d),(g)

        1,800,000        1,702,998  

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

        2,000,000        1,860,640  

Natwest Group PLC, 6.00% to 12/29/25 (United Kingdom)(a),(c),(d),(g)

        2,800,000        2,560,880  

Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(a),(c),(d),(g)

        2,600,000        2,572,700  

Societe Generale SA, 8.00% to 9/29/25, 144A (France)(c),(d),(g),(h)

        400,000        374,250  

Societe Generale SA, 9.375% to 11/22/27, 144A (France)(c),(d),(g),(h)

        400,000        379,500  

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

        200,000        203,500  

UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c),(d),(f),(g)

        2,000,000        1,810,000  

UBS Group AG, 7.00% to 2/19/25 (Switzerland)(c),(d),(f),(g)

        2,000,000        1,895,016  

UniCredit SpA, 8.00% to 6/3/24 (Italy)(c),(d),(f),(g)

        600,000        570,675  
       

 

 

  
          33,973,904  
       

 

 

  

ELECTRIC

      1.4 %   

Dominion Energy, Inc., 4.65% to 12/15/24, Series B(a),(c),(d)

        1,050,000        927,717  

Duke Energy Corp., 4.875% to 9/16/24(a),(c),(d)

        798,000        767,756  

Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(a),(d)

        2,250,000        2,069,859  
       

 

 

  
          3,765,332  
       

 

 

  

ELECTRIC—FOREIGN

      0.4 %   

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

        1,200,000        1,122,641  
       

 

 

  

 

6

 

 

                                                                       
                          Principal
Amount		      Value  

FINANCIAL

      1.6 %   

DIVERSIFIED FINANCIAL SERVICES

      0.1 %   

Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144A(d),(h)

      $ 225,000      $ 175,828  
       

 

 

  

INVESTMENT BANKER/BROKER

      1.5 %      

Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(a),(c),(d)

        2,800,000        2,667,000  

Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(a),(c),(d)

        1,000,000        788,750  

Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(a),(c),(d)

        737,000        601,775  
       

 

 

  
          4,057,525  
       

 

 

  

TOTAL FINANCIAL

 

      4,233,353  
       

 

 

  

INSURANCE

      4.8 %   

LIFE/HEALTH INSURANCE

      2.1 %   

Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52, 144A(a),(d),(h)

        695,000        620,914  

MetLife, Inc., 10.75%, due 8/1/39(a)

        500,000        649,696  

Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(a),(d)

        2,825,000        2,785,083  

Voya Financial, Inc., 5.65% to 5/15/23, due 5/15/53(a),(d)

        478,000        462,090  

Voya Financial, Inc., 6.125% to 9/15/23, Series A(a),(c),(d)

        1,000,000        955,833  
       

 

 

  
          5,473,616  
       

 

 

  

LIFE/HEALTH INSURANCE—FOREIGN

      1.5 %   

Dai-ichi Life Insurance Co., Ltd./The, 5.10% to 10/28/24, 144A (Japan)(a),(c),(d),(h)

        2,000,000        1,949,973  

Fukoku Mutual Life Insurance Co., 6.50% to 9/19/23 (Japan)(c),(d),(f)

        1,500,000        1,494,562  

Phoenix Group Holdings PLC, 4.75% to 6/4/26, due 9/4/31 (United Kingdom)(d),(f)

        600,000        540,000  
       

 

 

  
          3,984,535  
       

 

 

  

MULTI-LINE—FOREIGN

      0.4 %   

Aegon NV, 5.50% to 4/11/28, due 4/11/48 (Netherlands)(a),(d)

        500,000        473,902  

Argentum Netherlands BV for Swiss Re Ltd., 5.625% to 8/15/27, due 8/15/52 (Switzerland)(d),(f)

        400,000        374,252  

Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48 (Switzerland)(d),(f)

        200,000        187,808  
       

 

 

  
          1,035,962  
       

 

 

  

PROPERTY CASUALTY

      0.2 %   

Markel Corp., 6.00% to 6/1/25(a),(c),(d)

        390,000        374,612  
       

 

 

  

 

7

 

 

                                                                       
                         Principal
Amount		      Value  

PROPERTY CASUALTY—FOREIGN

     0.4 %   

Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)(d),(f)

     $ 300,000      $ 246,829  

QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(c),(d),(h)

       200,000        186,988  

QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN (Australia)(d),(f)

       200,000        189,099  

QBE Insurance Group Ltd., 7.50% to 11/24/23, due 11/24/43, 144A (Australia)(d),(h)

       500,000        497,909  
      

 

 

  
         1,120,825  
      

 

 

  

REINSURANCE

     0.2 %   

Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144A(a),(d),(h)

       638,000        513,012  
      

 

 

  

TOTAL INSURANCE

 

      12,502,562  
      

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

     0.8 %   

Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d),(f)

       1,600,000        1,557,680  

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

       550,000        547,852  
      

 

 

  
         2,105,532  
      

 

 

  

OIL & GAS—FOREIGN

     0.4 %   

BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(a),(c),(d)

       1,000,000        954,914  
      

 

 

  

PIPELINES

     0.7 %   

Energy Transfer LP, 7.125% to 5/15/30, Series G(a),(c),(d)

       2,191,000        1,848,108  
      

 

 

  

PIPELINES—FOREIGN

     0.8 %   

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

       800,000        766,824  

Transcanada Trust, 5.60% to 12/7/31, due 3/7/82 (Canada)(a),(d)

       880,000        737,210  

Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(a),(d)

       576,000        537,702  
      

 

 

  
         2,041,736  
      

 

 

  

REAL ESTATE—RETAIL—FOREIGN

     0.5 %   

Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(d),(h)

       1,300,000        1,171,984  
      

 

 

  

 

8

 

 

                                                                       
                          Principal
Amount		      Value  

UTILITIES

      1.1 %   

ELECTRIC

      0.5 %   

Edison International, 5.375% to 3/15/26, Series A(a),(c),(d)

      $ 1,300,000      $ 1,152,880  

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

        175,000        141,491  
       

 

 

  
          1,294,371  
       

 

 

  

ELECTRIC—FOREIGN

      0.6 %   

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

        2,075,000        1,662,926  
       

 

 

  

TOTAL UTILITIES

 

      2,957,297  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$98,800,460)

           91,008,231  
       

 

 

  

CORPORATE BONDS

      3.7 %      

COMMUNICATIONS—TOWERS

      0.3 %   

American Tower Corp., 5.65%, due 3/15/33(a)

        850,000        875,466  
       

 

 

  

ELECTRIC

      0.8 %   

American Electric Power Co., Inc., 5.75%, due 11/1/27(a)

        600,000        624,273  

NextEra Energy Capital Holdings, Inc., 6.051%, due 3/1/25(a)

        465,000        473,286  

Southern California Edison Co., 5.85%, due 11/1/27(a)

        975,000        1,028,062  
       

 

 

  

TOTAL ELECTRIC

 

      2,125,621  
       

 

 

  

ELECTRIC—FOREIGN

      0.4 %   

Enel Finance America LLC, 7.10%, due 10/14/27, 144A (Italy)(h)

        200,000        215,113  

Enel Finance International NV, 6.80%, due 10/14/25, 144A (Italy)(b),(h)

        600,000        620,637  

Enel Finance International NV, 7.50%, due 10/14/32, 144A (Italy)(h)

        200,000        223,055  
       

 

 

  
          1,058,805  
       

 

 

  

REAL ESTATE

      2.2 %   

DIVERSIFIED

      0.3 %   

Spirit Realty LP, 3.40%, due 1/15/30(a)

        350,000        301,204  

Spirit Realty LP, 2.10%, due 3/15/28(a)

        500,000        420,408  
       

 

 

  
          721,612  
       

 

 

  

FINANCE

      0.8 %   

Boston Properties LP, 6.75%, due 12/1/27(a)

        485,000        480,348  

Digital Realty Trust LP, 5.55%, due 1/15/28(a)

        1,070,000        1,066,966  

 

9

 

 

                                                                       
                          Principal
Amount		      Value  

Realty Income Corp., 4.85%, due 3/15/30

      $ 400,000      $ 394,461  
       

 

 

  
          1,941,775  
       

 

 

  

NET LEASE

      0.7 %      

Realty Income Corp., 5.625%, due 10/13/32(b)

        715,000        743,405  

VICI Properties LP/VICI Note Co., Inc., 5.75%, due 2/1/27, 144A(a),(h)

        600,000        589,573  

VICI Properties LP/VICI Note Co., Inc., 5.625%, due 5/1/24, 144A(a),(h)

        600,000        595,500  
       

 

 

  
          1,928,478  
       

 

 

  

SHOPPING CENTERS

      0.4 %      

Simon Property Group LP, 5.50%, due 3/8/33(a)

        585,000        582,583  

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

        415,000        413,833  
       

 

 

  
          996,416  
       

 

 

  

TOTAL REAL ESTATE

 

      5,588,281  
       

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$9,411,734)

           9,648,173  
       

 

 

  
           Number
of Shares		         

SHORT-TERM INVESTMENTS

      6.2 %      

MONEY MARKET FUNDS

        

State Street Institutional Treasury Money Market Fund, Premier Class, 4.53%(k)

        16,103,735        16,103,735  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$16,103,735)

           16,103,735  
       

 

 

  

 

10

 

 

                                                                       
                                 Value  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$452,692,257)

      155.9 %       $ 405,887,065  

WRITTEN OPTION CONTRACTS
(Premiums received—$989,968)

      (0.3 )         (792,565 ) 

LIABILITIES IN EXCESS OF OTHER ASSETS

      (55.6 )         (144,813,873 ) 
  

 

 

       

 

 

  

NET ASSETS (Equivalent to $15.53 per share based on 16,755,000 shares of common stock outstanding)

      100.0 %       $ 260,280,627  
  

 

 

       

 

 

  

Exchange-Traded Option Contracts

 

Written Options  
Description   Exercise
Price		     Expiration
Date		   Number of
Contracts		     Notional
Amount(l)		     Premiums
Received		     Value  

Call — Gaming and Leisure Properties

   $ 54.75     4/21/23     (23 )    $ (119,738 )    $ (1,241 )    $ (276 ) 

Call — iShares U.S. Real Estate ETF

     84.00     4/21/23     (500 )      (4,245,000 )      (52,735 )      (100,000 ) 

Call — iShares U.S. Real Estate ETF

     86.00     4/21/23     (1,000 )      (8,490,000 )      (124,997 )      (100,000 ) 

Call — iShares U.S. Real Estate ETF

     87.00     4/21/23     (3,200 )      (27,168,000 )      (283,355 )      (211,200 ) 

Call — iShares U.S. Real Estate ETF

     88.00     4/21/23     (1,000 )      (8,490,000 )      (89,970 )      (50,000 ) 
    (5,723 )    $ (48,512,738 )    $ (552,298 )    $ (461,476 ) 

 

  

 

Over-The-Counter Option Contracts

 

  
Written Options                                             
Description   Counterparty   Exercise
Price		     Expiration
Date		   Number of
Contracts		     Notional
Amount(l)		     Premiums
Received		     Value  

Call — American Tower Corp.

   Goldman Sachs International   $ 218.463     4/21/23     (4,613 )    $ (942,620 )    $ (25,664 )    $ (4,215 ) 

 

11

 

 

Over-The-Counter Option Contracts – (Continued)  
Written Options                                             

Description

   Counterparty   Exercise
Price		     Expiration
Date		   Number of
Contracts		     Notional
Amount(l)		     Premiums
Received		     Value  

Call — Crown Castle International Corp.

   Goldman Sachs International   $ 145.059     4/21/23     (4,472 )    $ (598,532 )    $ (16,219 )    $ (1,978 ) 

Call — Digital Realty Trust, Inc.

   Goldman Sachs International     117.58     4/21/23     (5,158 )      (507,083 )      (9,923 )      (227 ) 

Call — Equinix, Inc.

   Goldman Sachs International     734.727     4/21/23     (1,137 )      (819,822 )      (24,269 )      (14,125 ) 

Call — Host Hotels + Resorts, Inc.

   Goldman Sachs International     18.142     4/21/23     (7,715 )      (127,220 )      (2,547 )      (444 ) 

Call — Invitation Homes, Inc.

   Goldman Sachs International     34.871     4/21/23     (17,372 )      (542,528 )      (9,568 )      (1,411 ) 

Call — Kimco Realty Corp.

   Goldman Sachs International     21.88     4/21/23     (9,929 )      (193,913 )      (4,500 )      (459 ) 

Call — Prologis, Inc.

   Goldman Sachs International     132.368     4/21/23     (13,084 )      (1,632,491 )      (35,696 )      (11,840 ) 

Call — Public Storage

   Goldman Sachs International     309.058     4/21/23     (2,007 )      (606,395 )      (14,493 )      (7,958 ) 

Call — Realty Income Corp.

   Goldman Sachs International     67.581     4/21/23     (15,969 )      (1,011,157 )      (20,252 )      (870 ) 

Call — SBA Communications Corp.

   Goldman Sachs International     291.044     4/21/23     (2,112 )      (551,380 )      (17,766 )      (623 ) 

Call — Simon Property Group, Inc.

   Goldman Sachs International     126.336     4/21/23     (9,257 )      (1,036,506 )      (30,267 )      (709 ) 

Call — VICI Properties, Inc.

   Goldman Sachs International     34.255     4/21/23     (8,331 )      (271,757 )      (6,079 )      (1,289 ) 

Call — Welltower, Inc.

   Goldman Sachs International     82.044     4/21/23     (6,608 )      (473,728 )      (6,669 )      (89 ) 

 

12

 

 

Over-The-Counter Option Contracts – (Continued)  
Written Options                                             
Description   Counterparty   Exercise
Price		     Expiration
Date		   Number of
Contracts		     Notional
Amount(l)		     Premiums
Received		     Value  

Call — American Homes 4 Rent

   Goldman Sachs International   $ 32.765     5/19/23     (4,785 )    $ (150,488 )    $ (2,364 )    $ (4,384 ) 

Call — American Tower Corp.

   Goldman Sachs International     211.055     5/19/23     (3,424 )      (699,660 )      (19,762 )      (19,546 ) 

Call — Americold Realty Trust

   Goldman Sachs International     29.869     5/19/23     (9,518 )      (270,787 )      (4,332 )      (5,396 ) 

Call — Camden Property Trust

   Goldman Sachs International     110.661     5/19/23     (2,970 )      (311,375 )      (4,053 )      (7,067 ) 

Call — Crown Castle International Corp.

   Goldman Sachs International     138.818     5/19/23     (4,380 )      (586,219 )      (15,340 )      (16,791 ) 

Call — Digital Realty Trust, Inc.

   Goldman Sachs International     109.944     5/19/23     (9,674 )      (951,051 )      (28,834 )      (13,526 ) 

Call — Equinix, Inc.

   Goldman Sachs International     710.401     5/19/23     (874 )      (630,189 )      (22,665 )      (33,994 ) 

Call — Host Hotels + Resorts, Inc.

   Goldman Sachs International     17.073     5/19/23     (4,606 )      (75,953 )      (1,304 )      (2,560 ) 

Call — Kimco Realty Corp.

   Goldman Sachs International     19.416     5/19/23     (9,432 )      (184,207 )      (3,149 )      (10,409 ) 

Call — Prologis, Inc.

   Goldman Sachs International     125.684     5/19/23     (8,281 )      (1,033,220 )      (22,351 )      (44,996 ) 

Call — Public Storage

   Goldman Sachs International     310.276     5/19/23     (1,362 )      (411,515 )      (10,076 )      (10,856 ) 

Call — Realty Income Corp.

   Goldman Sachs International     63.792     5/19/23     (7,202 )      (456,031 )      (8,941 )      (12,201 ) 

Call — SBA Communications Corp.

   Goldman Sachs International     270.878     5/19/23     (1,637 )      (427,372 )      (9,322 )      (10,740 ) 

Call — Simon Property Group, Inc.

   Goldman Sachs International     113.938     5/19/23     (8,696 )      (973,691 )      (22,327 )      (37,686 ) 

 

13

 

 

Over-The-Counter Option Contracts – (Continued)  
Written Options                                               
Description   Counterparty   Exercise
Price		     Expiration
Date		     Number of
Contracts		     Notional
Amount(l)		     Premiums
Received		     Value  

Call — VICI Properties, Inc.

   Goldman Sachs International   $ 31.828       5/19/23       (6,123 )    $ (199,732 )    $ (5,112 )    $ (9,817 ) 

Call — Welltower, Inc.

   Goldman Sachs International     71.961       5/19/23       (15,416 )      (1,105,173 )      (33,826 )      (44,883 ) 
          (206,144 )    $ (17,781,795 )    $ (437,670 )    $ (331,089 ) 

 

  

Centrally Cleared Interest Rate Swap Contracts

 

Notional
Amount		      Fixed
Rate
Payable		      Fixed
Payment
Frequency		    Floating
Rate
Receivable
(resets
monthly)(m)		      Floating
Payment
Frequency		    Maturity
Date		    Value      Upfront
Receipts
(Payments)		      Unrealized
Appreciation
(Depreciation)		  
  $ 37,000,000        2.201%      Monthly      4.820%      Monthly    10/1/25    $ 1,520,572      $ —      $ 1,520,572  
  14,500,000        2.360%      Monthly      4.820%      Monthly    12/18/25      538,656        —        538,656  
  37,000,000        1.957%      Monthly      4.820%      Monthly    3/1/26      1,875,189        —        1,875,189  
  37,000,000        1.557%      Monthly      4.820%      Monthly    3/1/27      2,702,432        —        2,702,432  
                 

 

 

     

 

 

     

 

 

  
                  $ 6,636,849      $         —      $ 6,636,849  
                 

 

 

     

 

 

     

 

 

  

The total amount of all interest rate swap contracts as presented in the table above is representative of the volume of activity for this derivative type during the three months ended March 31, 2023.

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts

to Deliver

     

In Exchange
For

      Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

Brown Brothers Harriman

    GBP      1,543,400      USD      1,868,980      4/4/23    $ (34,957 ) 

Brown Brothers Harriman

    USD      1,681,382      GBP      1,359,648      4/4/23      (4,121 ) 

Brown Brothers Harriman

    USD      126,683      GBP      103,077      4/4/23      473  

Brown Brothers Harriman

    USD      97,842      GBP      80,675      4/4/23      1,679  

Brown Brothers Harriman

    EUR      36,300      USD      39,274      5/3/23      (157 ) 

Brown Brothers Harriman

    GBP      1,394,524      USD      1,725,403      5/3/23      4,080  

Brown Brothers Harriman

    USD      6,742      EUR      6,174      5/3/23      (35 ) 

Brown Brothers Harriman

    USD      3,391      EUR      3,115      5/3/23      (8 ) 

 

14

 

 

Forward Foreign Currency Exchange Contracts – (Continued)

 

Counterparty   

Contracts
to Deliver

   

In Exchange
For

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  

Brown Brothers Harriman

      USD      3,893      EUR      3,582      5/3/23      $ (2 ) 

Brown Brothers Harriman

      USD      16,309      EUR      15,019      5/3/23        5  
                 

 

 

  
                  $         (33,043 ) 
                 

 

 

  

Glossary of Portfolio Abbreviations

 

EMTN    Euro Medium Term Note
ETF    Exchange-Traded Fund
EUR    Euro Currency
GBP    Great British Pound
LIBOR    London Interbank Offered Rate
REIT    Real Estate Investment Trust
USD    United States Dollar

 

Note: Percentages indicated are based on the net assets of the Fund.

(a)

All or a portion of the security is pledged as collateral in connection with the Fund’s revolving credit agreement. $324,517,733 in aggregate has been pledged as collateral.

(b)

All or a portion of the security is pledged in connection with written option contracts. $24,011,751 in aggregate has been pledged as collateral.

(c)

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

(d)

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

(e)

Variable rate. Rate shown is in effect at March 31, 2023.

(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 $12,144,000 which represents 4.7% of the net assets of the Fund, of which 0.0% are illiquid.

(g)

Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $32,403,120 which represents 12.5% of the net assets of the Fund (8.0% of the managed assets of the Fund).

(h)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $17,580,742 which represents 6.8% of the net assets of the Fund, of which 0.0% are illiquid.

(i)

Security is in default.

(j)

Non-income producing security.

 

15

 

 

(k)

Rate quoted represents the annualized seven-day yield.

(l)

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

(m)

Based on 1-Month LIBOR. Represents rates in effect at March 31, 2023.

 

16

 

 

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

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 based upon prices provided by a third-party pricing service. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (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 Trustees.

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

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

The Board of Trustees has designated the investment manager as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment manager is authorized to make fair valuation determinations, subject to the oversight of the Board of Trustees. The investment manager has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process

 

 

 

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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 Trustees. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

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

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

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

 

  •  

Level 1 — quoted prices in active markets for identical investments

  •  

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

  •  

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

 

 

 

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

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, 2023 in valuing the Fund’s investments carried at value:

 

                                                                                   
     Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)		     Other
Significant
Observable
Inputs
(Level 2)		     Significant
Unobservable
Inputs
(Level 3)		      Total  

Common Stock

    $ 262,182,753     $ —     $  —      $ 262,182,753  

Exchange-Traded Funds

      3,049,200       —       —        3,049,200  

Preferred Securities— $25 Par Value

      23,894,973       —       —        23,894,973  

Preferred Securities—Capital Securities

      —       91,008,231       —        91,008,231  

Corporate Bonds

      —       9,648,173       —        9,648,173  

Short-Term Investments

      —       16,103,735       —        16,103,735  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments in Securities(a)

    $ 289,126,926     $ 116,760,139     $ —      $ 405,887,065  
  

 

 

    

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Exchange Contracts

    $ —     $ 6,237     $ —      $ 6,237  

Interest Rate Swap Contracts

      —       6,636,849       —        6,636,849  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Derivative Assets(a)

    $ —     $ 6,643,086     $ —      $ 6,643,086  
  

 

 

    

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Exchange Contracts

    $ —     $ (39,280 )    $ —      $ (39,280 ) 

Written Option Contracts

      (461,476 )      (331,089 )      —        (792,565 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Derivative Liabilities(a)

    $ (461,476 )    $ (370,369 )    $ —      $ (831,845 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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.

 

 

 

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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

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

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded on the Statement of Asset and Liabilities 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.

Binary Option Contracts: The Fund may write or purchase binary options, which are options in which the payout depends on whether the price of a particular asset will rise above or fall below a specified level. When the binary option expires the buyer receives either a pre-determined amount of cash or nothing at all.

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

 

 

 

COHEN & STEERS REAL ESTATE OPPORTUNITIES AND INCOME FUND

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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 option contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2023:

 

     Written Option
Contracts(a),(b)		      Forward Foreign
Currency Exchange
Contracts		  

Average Notional Amount

    $ 73,270,725      $ 1,844,765  

 

(a)

Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.

(b)

Average notional amounts represent the average for all months in which the Fund had written option contracts outstanding at month-end.