UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-22707 | |||||||
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Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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280 Park Avenue New York, NY |
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10017 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Francis C. Poli 280 Park Avenue New York, NY 10017 | ||||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
(212) 832-3232 |
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Date of fiscal year end: |
December 31 |
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Date of reporting period: |
September 30, 2017 |
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Item 1. Schedule of Investments
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
September 30, 2017 (Unaudited)
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Number |
|
Value |
| |
|
PREFERRED SECURITIES—$25 PAR VALUE 13.9% |
|
|
|
|
| |
|
BANKS 4.5% |
|
|
|
|
| |
|
Bank of America Corp., 6.50%, Series Y(a) |
|
40,675 |
|
$ |
1,095,784 |
|
|
Citigroup, 6.875% to 11/15/23, Series K (a),(b) |
|
136,080 |
|
3,944,959 |
| |
|
GMAC Capital Trust I, 7.10%, due 2/15/40, Series 2 (TruPS) (FRN) (3 Mo. US LIBOR + 5.785%)(c) |
|
975,475 |
|
25,752,540 |
| |
|
PrivateBancorp, 7.125%, due 10/30/42 |
|
106,855 |
|
2,687,724 |
| |
|
Regions Financial Corp., 6.375% to 9/15/24, Series B (a),(b) |
|
62,050 |
|
1,773,389 |
| |
|
|
|
|
|
35,254,396 |
| |
|
FINANCIAL—INVESTMENT BANKER/BROKER 1.7% |
|
|
|
|
| |
|
Morgan Stanley, 6.875% to 1/15/24, Series F (a),(b) |
|
255,821 |
|
7,390,669 |
| |
|
Morgan Stanley, 6.375% to 10/15/24, Series I (a),(b) |
|
210,980 |
|
5,979,173 |
| |
|
|
|
|
|
13,369,842 |
| |
|
INDUSTRIALS—CHEMICALS 1.7% |
|
|
|
|
| |
|
CHS, 6.75% to 9/30/24(a),(b) |
|
192,523 |
|
5,304,009 |
| |
|
CHS, 7.10% to 3/31/24, Series II (a),(b) |
|
290,589 |
|
8,429,987 |
| |
|
|
|
|
|
13,733,996 |
| |
|
INSURANCE 1.6% |
|
|
|
|
| |
|
LIFE/HEALTH INSURANCE 0.6% |
|
|
|
|
| |
|
MetLife, 4.00%, Series A (FRN) (3 Mo. US LIBOR + 1.000%, Floor 4.00%)(a),(c) |
|
206,431 |
|
5,171,097 |
| |
|
|
|
|
|
|
| |
|
LIFE/HEALTH INSURANCE—FOREIGN 0.5% |
|
|
|
|
| |
|
Aegon NV, 4.00%, Series I (FRN) (3 Mo. US LIBOR + 0.875%, Floor 4.00%) (Netherlands)(a),(c) |
|
159,074 |
|
3,849,591 |
| |
|
|
|
|
|
|
| |
|
REINSURANCE 0.2% |
|
|
|
|
| |
|
Reinsurance Group of America, 5.75% to 6/15/26, due 6/15/56(b) |
|
65,600 |
|
1,898,464 |
| |
|
|
|
|
|
|
| |
|
REINSURANCE—FOREIGN 0.3% |
|
|
|
|
| |
|
Aspen Insurance Holdings Ltd., 5.95% to 7/1/23 (Bermuda)(a),(b) |
|
73,555 |
|
2,049,242 |
| |
|
TOTAL INSURANCE |
|
|
|
12,968,394 |
| |
|
|
|
|
|
|
| |
|
PIPELINES 0.7% |
|
|
|
|
| |
|
NuStar Energy LP, 7.625% to 6/15/22, Series B (a),(b) |
|
199,847 |
|
5,146,060 |
| |
|
|
|
|
|
|
| |
|
REAL ESTATE 3.2% |
|
|
|
|
| |
|
DIVERSIFIED 1.9% |
|
|
|
|
| |
|
Colony NorthStar, 8.50%, Series D(a) |
|
134,475 |
|
3,478,868 |
| |
|
Retail Properties of America, 7.00%(a) |
|
99,400 |
|
2,534,700 |
| |
|
Urstadt Biddle Properties, 7.125%, Series F(a) |
|
128,484 |
|
3,259,639 |
| |
|
|
|
Number |
|
Value |
| ||
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VEREIT, 6.70%, Series F(a) |
|
227,627 |
|
$ |
5,856,843 |
| |
|
|
|
|
|
15,130,050 |
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HOTEL 1.0% |
|
|
|
|
| ||
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Summit Hotel Properties, 7.125%(a) |
|
115,500 |
|
2,955,645 |
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|
Summit Hotel Properties, 7.875%, Series B(a) |
|
186,650 |
|
4,787,573 |
| ||
|
|
|
|
|
7,743,218 |
| ||
|
RESIDENTIAL—MANUFACTURED HOME 0.3% |
|
|
|
|
| ||
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Sun Communities, 7.125%, Series A(a) |
|
100,000 |
|
2,525,000 |
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TOTAL REAL ESTATE |
|
|
|
25,398,268 |
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|
|
|
|
|
|
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UTILITIES 0.5% |
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|
|
|
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SCE Trust IV, 5.375% to 9/15/25, Series J (a),(b) |
|
136,000 |
|
3,695,120 |
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TOTAL PREFERRED SECURITIES—$25 PAR VALUE |
|
|
|
109,566,076 |
| ||
|
|
|
|
|
|
| ||
|
|
|
Principal |
|
|
| ||
|
PREFERRED SECURITIES—CAPITAL SECURITIES 119.7% |
|
|
|
|
| ||
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BANKS 32.7% |
|
|
|
|
| ||
|
AgriBank FCB, 6.875% to 1/1/24(a),(b) |
|
$ |
36,200 |
† |
4,002,363 |
| |
|
BAC Capital Trust XIV, 4.00%, Series G (FRN) (3 Mo. US LIBOR + 0.400%, Floor 4.00%)(a),(c) |
|
16,930,000 |
|
15,088,862 |
| ||
|
Bank of America Corp., 6.25% to 9/5/24, Series X (a),(b) |
|
6,410,000 |
|
7,075,038 |
| ||
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Bank of America Corp., 6.50% to 10/23/24, Series Z (a),(b) |
|
12,082,000 |
|
13,675,314 |
| ||
|
Citigroup, 5.95% to 8/15/20, Series Q (a),(b) |
|
5,250,000 |
|
5,542,031 |
| ||
|
Citigroup, 6.125% to 11/15/20, Series R (a),(b) |
|
5,129,000 |
|
5,494,441 |
| ||
|
Citigroup, 6.25% to 8/15/26, Series T (a),(b) |
|
3,092,000 |
|
3,482,365 |
| ||
|
CoBank ACB, 6.25% to 10/1/22, Series F, 144A (a),(b),(d) |
|
117,000 |
† |
12,603,100 |
| ||
|
CoBank ACB, 6.125%, Series G(a) |
|
32,250 |
† |
3,193,759 |
| ||
|
CoBank ACB, 6.25% to 10/1/26, Series I (a),(b) |
|
6,255,000 |
|
6,917,448 |
| ||
|
Farm Credit Bank of Texas, 6.75% to 9/15/23, 144A ,(a),(b),(d) |
|
67,500 |
† |
7,425,000 |
| ||
|
Goldman Sachs Capital II, 4.00%, (FRN) (3 Mo. US LIBOR + 0.768%, Floor 4.00%)(a),(c) |
|
1,102,000 |
|
991,800 |
| ||
|
Goldman Sachs Group/The, 5.70% to 5/10/19, Series L (a),(b) |
|
6,850,000 |
|
7,081,188 |
| ||
|
JPMorgan Chase & Co., 7.90% to 4/30/18, Series I (a),(b) |
|
8,000,000 |
|
8,250,000 |
| ||
|
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S (a),(b) |
|
12,400,000 |
|
14,198,744 |
| ||
|
JPMorgan Chase & Co., 5.30% to 5/1/20, Series Z (a),(b) |
|
7,500,000 |
|
7,837,500 |
| ||
|
Mellon Capital IV, 4.00%, Series 1 (FRN) (3 Mo. US LIBOR + 0.565%, Floor 4.00%)(a),(c) |
|
56,635,000 |
|
52,245,787 |
| ||
|
|
|
Principal |
|
Value |
| ||
|
PNC Financial Services Group, 6.75% to 8/1/21(a),(b) |
|
$ |
6,965,000 |
|
$ |
7,844,331 |
|
|
SunTrust Capital III, 1.97%, due 3/15/28, (FRN) (3 Mo. US LIBOR + 0.650%)(c) |
|
3,400,000 |
|
3,130,788 |
| ||
|
US Bancorp, 3.50%, Series A, (FRN) (3 Mo. US LIBOR + 1.020%, Floor 3.50%)(a),(c) |
|
27,758 |
† |
24,759,720 |
| ||
|
USB Capital IX, 3.50%, (FRN) (3 Mo. US LIBOR + 1.020%, Floor 3.50%)(a),(c) |
|
9,878,000 |
|
8,809,200 |
| ||
|
Wachovia Capital Trust II, 1.804%, due 1/15/27, (FRN) (3 Mo. US LIBOR + 0.50%)(c) |
|
1,000,000 |
|
942,500 |
| ||
|
Wachovia Capital Trust III, 5.57%, (FRN) (3 Mo. US LIBOR + 0.930%, Floor 5.57%)(a),(c) |
|
5,000,000 |
|
5,018,750 |
| ||
|
Wells Fargo & Co., 7.98% to 3/15/18, Series K (a),(b) |
|
13,200,000 |
|
13,612,500 |
| ||
|
Wells Fargo & Co., 5.875% to 6/15/25, Series U (a),(b) |
|
10,000,000 |
|
11,142,500 |
| ||
|
Wells Fargo Capital X, 5.95% due 12/15/36 (TruPS) |
|
5,893,000 |
|
6,659,090 |
| ||
|
|
|
|
|
257,024,119 |
| ||
|
BANKS—FOREIGN 37.1% |
|
|
|
|
| ||
|
Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(b),(d) |
|
5,900,000 |
|
6,681,750 |
| ||
|
Banco Bilbao Vizcaya Argentaria SA, 8.875% to 4/14/21 (EUR) (Spain)(a),(b) |
|
8,600,000 |
|
11,834,111 |
| ||
|
Banco Bilbao Vizcaya Argentaria SA, 9.00% to 5/9/18 (Spain)(a),(b) |
|
5,200,000 |
|
5,391,100 |
| ||
|
Banco Santander SA, 5.25% to 9/29/23 (EUR) (Spain)(a),(b) |
|
4,600,000 |
|
5,464,197 |
| ||
|
Banco Santander SA, 6.75% to 4/25/22 (EUR) (Spain)(a),(b) |
|
4,400,000 |
|
5,733,399 |
| ||
|
Barclays PLC, 5.875% to 9/15/24 (GBP) (United Kingdom)(a),(b) |
|
1,200,000 |
|
1,590,289 |
| ||
|
Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(a),(b) |
|
5,200,000 |
|
5,674,505 |
| ||
|
Barclays PLC, 8.25% to 12/15/18 (United Kingdom)(a),(b) |
|
8,095,000 |
|
8,567,950 |
| ||
|
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(b),(d) |
|
1,800,000 |
|
2,036,250 |
| ||
|
BNP Paribas SA, 7.625% to 3/30/21, 144A (France)(a),(b),(d) |
|
12,100,000 |
|
13,325,125 |
| ||
|
Cooperatieve Rabobank UA, 6.625% to 6/29/21 (EUR) (Netherlands)(a),(b) |
|
3,600,000 |
|
4,810,311 |
| ||
|
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(b),(d) |
|
8,550,000 |
|
10,142,617 |
| ||
|
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(a),(b) |
|
10,000,000 |
|
10,800,000 |
| ||
|
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(a),(b),(d) |
|
2,463,000 |
|
2,789,788 |
| ||
|
Danske Bank A/S, 6.125% to 3/28/24 (Denmark)(a),(b) |
|
4,400,000 |
|
4,732,288 |
| ||
|
DNB Bank ASA, 5.75% to 3/26/20 (Norway)(a),(b) |
|
2,300,000 |
|
2,373,823 |
| ||
|
DNB Bank ASA, 6.50% to 3/26/22 (Norway)(a),(b) |
|
7,800,000 |
|
8,372,809 |
| ||
|
Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A (Germany)(d) |
|
4,530,280 |
|
5,834,480 |
| ||
|
|
|
Principal |
|
Value |
| ||
|
HSBC Capital Funding LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(b),(d) |
|
$ |
5,395,000 |
|
$ |
8,588,193 |
|
|
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)(a),(b) |
|
3,800,000 |
|
3,983,920 |
| ||
|
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a),(b) |
|
5,800,000 |
|
6,236,798 |
| ||
|
HSBC Holdings PLC, 6.875% to 6/1/21 (United Kingdom)(a),(b) |
|
8,400,000 |
|
9,166,500 |
| ||
|
ING Groep N.V., 6.875% to 4/16/22 (Netherlands)(a),(b) |
|
5,400,000 |
|
5,832,259 |
| ||
|
Intesa Sanpaolo SpA, 7.00% to 1/19/21, Series EMTN (EUR) (Italy)(a),(b) |
|
2,400,000 |
|
3,031,563 |
| ||
|
Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(b) |
|
12,050,000 |
|
13,541,187 |
| ||
|
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(b),(d) |
|
2,800,000 |
|
2,904,160 |
| ||
|
Nationwide Building Society, 10.25% (GBP) (United Kingdom)(a) |
|
9,780,000 |
|
20,444,103 |
| ||
|
Rabobank Nederland, 11.00% to 6/30/19, 144A (Netherlands)(a),(b),(d) |
|
21,275,000 |
|
24,120,531 |
| ||
|
Royal Bank of Scotland Group PLC, 7.50% to 8/10/20 (United Kingdom)(a),(b) |
|
1,600,000 |
|
1,679,600 |
| ||
|
Royal Bank of Scotland Group PLC, 7.648% to 9/30/31 (United Kingdom)(a),(b) |
|
3,427,000 |
|
4,371,139 |
| ||
|
Royal Bank of Scotland Group PLC, 8.625% to 8/15/21 (United Kingdom)(a),(b) |
|
14,000,000 |
|
15,557,500 |
| ||
|
Skandinaviska Enskilda Banken AB, 5.75% to 5/13/20, Series EMTN (Sweden)(a),(b) |
|
4,800,000 |
|
4,968,643 |
| ||
|
Societe Generale SA, 7.375% to 9/13/21, 144A (France)(a),(b),(d) |
|
6,000,000 |
|
6,510,000 |
| ||
|
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(b),(d) |
|
3,689,000 |
|
4,110,468 |
| ||
|
Societe Generale SA, 8.25% to 11/29/18, Series EMTN (France)(a),(b) |
|
2,083,000 |
|
2,207,188 |
| ||
|
Standard Chartered PLC, 7.50% to 4/2/22, 144A (United Kingdom)(a),(b),(d) |
|
1,600,000 |
|
1,712,000 |
| ||
|
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(b),(d) |
|
3,200,000 |
|
3,468,000 |
| ||
|
Swedbank AB, 6.00% to 3/17/22 (Sweden)(a),(b) |
|
6,400,000 |
|
6,806,515 |
| ||
|
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(a),(b) |
|
1,800,000 |
|
1,980,434 |
| ||
|
UBS Group AG, 6.875% to 3/22/21 (Switzerland)(a),(b) |
|
2,200,000 |
|
2,366,718 |
| ||
|
UBS Group AG, 7.00% to 2/19/25 (Switzerland)(a),(b) |
|
2,400,000 |
|
2,700,120 |
| ||
|
UBS Group AG, 7.125% to 2/19/20 (Switzerland)(a),(b) |
|
6,300,000 |
|
6,709,727 |
| ||
|
UBS Group AG, 7.125% to 8/10/21 (Switzerland)(a),(b) |
|
9,400,000 |
|
10,201,322 |
| ||
|
|
|
Principal |
|
Value |
| ||
|
UniCredit SpA, 6.75% to 9/10/21, Series EMTN (EUR) (Italy)(a),(b) |
|
$ |
2,000,000 |
|
$ |
2,470,257 |
|
|
|
|
|
|
291,823,637 |
| ||
|
ELECTRIC 0.9% |
|
|
|
|
| ||
|
INTEGRATED ELECTRIC 0.2% |
|
|
|
|
| ||
|
Southern California Edison Co., 6.25% to 2/1/22, Series E (a),(b) |
|
1,500,000 |
|
1,672,500 |
| ||
|
|
|
|
|
|
| ||
|
REGULATED ELECTRIC 0.7% |
|
|
|
|
| ||
|
Southern Co./The, 5.50% to 3/15/22, due 3/15/57, Series B (b) |
|
4,980,000 |
|
5,272,470 |
| ||
|
|
|
|
|
6,944,970 |
| ||
|
FINANCIAL 2.1% |
|
|
|
|
| ||
|
DIVERSIFIED FINANCIAL SERVICES 0.7% |
|
|
|
|
| ||
|
State Street Corp., 5.25% to 9/15/20, Series F (a),(b) |
|
5,152,000 |
|
5,435,360 |
| ||
|
|
|
|
|
|
| ||
|
INVESTMENT BANKER/BROKER 1.4% |
|
|
|
|
| ||
|
Charles Schwab Corp./The, 7.00% to 2/1/22(a),(b) |
|
9,785,000 |
|
11,289,933 |
| ||
|
TOTAL FINANCIAL |
|
|
|
16,725,293 |
| ||
|
|
|
|
|
|
| ||
|
FOOD 0.7% |
|
|
|
|
| ||
|
Dairy Farmers of America, 7.875%, 144A(a),(d),(e) |
|
55,000 |
† |
5,842,034 |
| ||
|
|
|
|
|
|
| ||
|
INDUSTRIALS—DIVERSIFIED MANUFACTURING 3.4% |
|
|
|
|
| ||
|
General Electric Co., 5.00% to 1/21/21, Series D (a),(b) |
|
25,550,000 |
|
27,056,173 |
| ||
|
|
|
|
|
|
| ||
|
INSURANCE 28.2% |
|
|
|
|
| ||
|
LIFE/HEALTH INSURANCE 7.4% |
|
|
|
|
| ||
|
MetLife, 9.25%, due 4/8/38, 144A(d) |
|
8,300,000 |
|
12,346,250 |
| ||
|
MetLife, 5.25% to 6/15/20, Series C (a),(b) |
|
6,156,000 |
|
6,361,980 |
| ||
|
MetLife Capital Trust IV, 7.875%, due 12/15/37, 144A(d) |
|
10,800,000 |
|
14,526,000 |
| ||
|
Prudential Financial, 5.20% to 3/15/24, due 3/15/44(b) |
|
2,600,000 |
|
2,767,375 |
| ||
|
Prudential Financial, 5.375% to 5/15/25, due 5/15/45(b) |
|
2,000,000 |
|
2,165,000 |
| ||
|
Prudential Financial, 5.625% to 6/15/23, due 6/15/43(b) |
|
16,208,000 |
|
17,686,980 |
| ||
|
Prudential Financial, 5.875% to 9/15/22, due 9/15/42(b) |
|
2,507,000 |
|
2,779,636 |
| ||
|
|
|
|
|
58,633,221 |
| ||
|
LIFE/HEALTH INSURANCE—FOREIGN 12.8% |
|
|
|
|
| ||
|
Aegon NV, 2.397%, (FRN) (10 yr. USISDA +0 .100%, Cap 8.50%) (Netherlands)(a),(c) |
|
20,985,000 |
|
17,967,357 |
| ||
|
Dai-ichi Life Insurance Co. Ltd., 4.00% to 7/24/26, 144A (Japan)(a),(b),(d) |
|
12,000,000 |
|
11,910,000 |
| ||
|
Dai-ichi Life Insurance Co. Ltd., 5.10% to 10/28/24, 144A (Japan)(a),(b),(d) |
|
5,100,000 |
|
5,482,500 |
| ||
|
|
|
Principal |
|
Value |
| ||
|
Dai-ichi Life Insurance Co. Ltd., 7.25% to 7/25/21, 144A (Japan)(a),(b),(d) |
|
$ |
4,150,000 |
|
$ |
4,749,156 |
|
|
La Mondiale Vie, 7.625% to 4/23/19 (France)(a),(b) |
|
12,050,000 |
|
12,859,218 |
| ||
|
Meiji Yasuda Life Insurance Co., 5.20%, 144A to 10/20/25, due 10/20/45, 144A (Japan)(b),(d) |
|
19,800,000 |
|
21,542,400 |
| ||
|
Nippon Life Insurance Co., 4.70% to 1/20/26, 144A (Japan)(b),(d) |
|
14,900,000 |
|
15,626,375 |
| ||
|
Nippon Life Insurance Co., 5.10% to 10/16/24, due 10/16/44, 144A (Japan)(b),(d) |
|
7,200,000 |
|
7,731,000 |
| ||
|
Sumitomo Life Insurance Co., 6.50% to 9/20/23, due 9/20/73, 144A (Japan)(b),(d) |
|
2,400,000 |
|
2,744,400 |
| ||
|
|
|
|
|
100,612,406 |
| ||
|
MULTI-LINE 1.2% |
|
|
|
|
| ||
|
Hartford Financial Services Group/The, 3.44%, due 2/12/67, 144A, Series ICON (FRN) (3 Mo. US LIBOR + 2.125%)(c),(d) |
|
6,460,000 |
|
6,217,750 |
| ||
|
Nationwide Mutual Insurance Co., 3.61%, due 12/15/24, 144A, (FRN) (3 Mo.US LIBOR + 2.290%)(c),(d) |
|
3,125,000 |
|
3,124,928 |
| ||
|
|
|
|
|
9,342,678 |
| ||
|
MULTI-LINE—FOREIGN 1.7% |
|
|
|
|
| ||
|
AXA SA, 0.858%, (FRN) (EUAMDB10 + 0.050%, Cap 8.00%) (EUR) (France)(a),(c) |
|
5,000,000 |
|
5,061,583 |
| ||
|
AXA SA, 6.463% to 12/14/18, 144A (France)(a),(b),(d) |
|
7,902,000 |
|
8,129,182 |
| ||
|
|
|
|
|
13,190,765 |
| ||
|
PROPERTY CASUALTY 1.6% |
|
|
|
|
| ||
|
Liberty Mutual Group, 7.80%, due 3/7/37, 144A(d) |
|
5,503,000 |
|
6,961,295 |
| ||
|
Liberty Mutual Group, 4.225%, due 3/7/37, 144A, (FRN) (3 Mo. US LIBOR + 2.905%)(c),(d) |
|
6,075,000 |
|
5,953,500 |
| ||
|
|
|
|
|
12,914,795 |
| ||
|
PROPERTY CASUALTY—FOREIGN 1.7% |
|
|
|
|
| ||
|
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(b) |
|
8,155,000 |
|
9,202,673 |
| ||
|
QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN (Australia)(b) |
|
4,000,000 |
|
4,329,704 |
| ||
|
|
|
|
|
13,532,377 |
| ||
|
REINSURANCE—FOREIGN 1.8% |
|
|
|
|
| ||
|
Aquarius + Investments PLC, 6.375% to 9/1/19, due 9/1/24 (Ireland) (b) |
|
2,505,000 |
|
2,645,280 |
| ||
|
|
|
Principal |
|
Value |
| ||
|
Aquarius + Investments PLC, 8.25% to 9/1/18, Series EMTN (Ireland)(a),(b) |
|
$ |
10,600,000 |
|
$ |
11,130,986 |
|
|
|
|
|
|
13,776,266 |
| ||
|
TOTAL INSURANCE |
|
|
|
222,002,508 |
| ||
|
|
|
|
|
|
| ||
|
INTEGRATED TELECOMMUNICATIONS SERVICES 0.2% |
|
|
|
|
| ||
|
Telefonica Europe BV, 7.625% to 9/18/21 (EUR) (Netherlands)(a),(b) |
|
900,000 |
|
1,282,983 |
| ||
|
|
|
|
|
|
| ||
|
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN 2.4% |
|
|
|
|
| ||
|
Centaur Funding Corp., 9.08%, due 4/21/20, 144A (Cayman Islands)(d) |
|
6,122 |
† |
7,101,520 |
| ||
|
SoftBank Group Corp., 6.00% to 7/19/23 (Japan)(a),(b) |
|
8,100,000 |
|
8,195,256 |
| ||
|
SoftBank Group Corp., 6.875% to 7/19/27 (Japan)(a),(b) |
|
3,200,000 |
|
3,300,320 |
| ||
|
|
|
|
|
18,597,096 |
| ||
|
MATERIAL—METALS & MINING 2.1% |
|
|
|
|
| ||
|
BHP Billiton Finance USA Ltd., 6.75% to 10/20/25, due 10/19/75, 144A (Australia)(b),(d) |
|
13,700,000 |
|
16,166,000 |
| ||
|
|
|
|
|
|
| ||
|
MEDIA 0.4% |
|
|
|
|
| ||
|
Viacom, 5.875% to 2/28/22, due 2/28/57(b) |
|
3,290,000 |
|
3,293,203 |
| ||
|
|
|
|
|
|
| ||
|
PIPELINES 4.6% |
|
|
|
|
| ||
|
Enbridge, 5.50% to 7/15/27, due 7/15/77 (Canada)(b) |
|
4,100,000 |
|
4,161,500 |
| ||
|
Enbridge, 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(b),(c) |
|
3,655,000 |
|
3,883,438 |
| ||
|
Enterprise Products Operating LLC, 5.25%, to 8/16/27, due 8/16/77, Series E (b) |
|
4,050,000 |
|
4,095,563 |
| ||
|
Transcanada Trust, 5.30% to 3/15/27, due 3/15/77 (Canada)(b) |
|
5,375,000 |
|
5,512,734 |
| ||
|
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(b) |
|
4,500,000 |
|
4,783,500 |
| ||
|
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(b) |
|
12,573,000 |
|
13,673,137 |
| ||
|
|
|
|
|
36,109,872 |
| ||
|
REAL ESTATE—FINANCE 0.3% |
|
|
|
|
| ||
|
AT Securities BV, 5.25% to 7/21/23 (Netherlands)(a),(b) |
|
2,500,000 |
|
2,495,050 |
| ||
|
|
|
|
|
|
| ||
|
UTILITIES 4.6% |
|
|
|
|
| ||
|
ELECTRIC UTILITIES—FOREIGN 4.4% |
|
|
|
|
| ||
|
NextEra Energy Capital Holdings, 4.664%, due 9/1/67, Series D (FRN) (3 Mo. US LIBOR + 3.348%)(c) |
|
1,770,000 |
|
1,776,447 |
| ||
|
|
|
Principal |
|
Value |
| ||||
|
ELECTRIC UTILITIES—FOREIGN 4.4% |
|
|
|
|
| ||||
|
Emera, 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(b) |
|
$ |
17,290,000 |
|
$ |
19,753,825 |
| ||
|
Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(b),(d) |
|
12,232,000 |
|
14,846,590 |
| ||||
|
|
|
|
|
34,600,415 |
| ||||
|
TOTAL UTILITIES |
|
|
|
36,376,863 |
| ||||
|
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES |
|
|
|
941,739,800 |
| ||||
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS—REAL ESTATE 0.8% |
|
|
|
|
| ||||
|
FINANCE 0.3% |
|
|
|
|
| ||||
|
iStar, 6.00%, due 4/1/22 |
|
2,500,000 |
|
2,593,750 |
| ||||
|
SPECIALTY 0.5% |
|
|
|
|
| ||||
|
Equinix, 2.875%, due 10/1/25 (EUR) (United States) |
|
3,000,000 |
|
3,566,585 |
| ||||
|
TOTAL CORPORATE BONDS |
|
|
|
6,160,335 |
| ||||
|
|
|
|
|
|
| ||||
|
|
|
Number |
|
|
| ||||
|
SHORT-TERM INVESTMENTS 0.8% |
|
|
|
|
| ||||
|
MONEY MARKET FUNDS |
|
|
|
|
| ||||
|
State Street Institutional Treasury Money Market Fund, Premier Class, 0.92%(f) |
|
6,400,000 |
|
6,400,000 |
| ||||
|
TOTAL SHORT-TERM INVESTMENTS |
|
|
|
6,400,000 |
| ||||
|
TOTAL INVESTMENTS(g) (Identified cost—$978,630,336) |
|
135.2 |
% |
|
|
1,063,866,211 |
| ||
|
LIABILITIES IN EXCESS OF OTHER ASSETS |
|
(35.2 |
) |
|
|
(276,731,352 |
) | ||
|
NET ASSETS (Equivalent to $27.30 per share based on 28,830,580 shares of common stock outstanding) |
|
100.0 |
% |
|
|
$ |
787,134,859 |
| |
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. The date indicated, if any, represents the next call date.
(b) Security converts to floating rate after the indicated fixed-rate coupon period.
(c) Variable rate. Rate shown is in effect at September 30, 2017.
(d) Resale is restricted to qualified institutional investors. Aggregate holdings amounted to $283,252,342 or 36.0% of the net assets of the Fund, of which 0.0% are illiquid.
(e) Security value is determined based on significant unobservable inputs (Level 3).
(f) Rate quoted represents the annualized seven-day yield of the fund.
(g) 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.
Centrally Cleared Interest Rate Swap Contracts
|
Notional |
|
Fixed |
|
Fixed |
|
Floating |
|
Floating |
|
Maturity Date |
|
Upfront |
|
Unrealized |
|
Fair Value |
| ||||
|
$ |
60,000,000 |
|
1.117% |
|
Quarterly |
|
1.237% |
|
Monthly |
|
October 19, 2021 |
|
$ |
— |
|
$ |
1,447,773 |
|
$ |
1,447,773 |
|
|
90,000,000 |
|
1.203% |
|
Quarterly |
|
1.237% |
|
Monthly |
|
October 19, 2022 |
|
— |
|
2,714,132 |
|
2,714,132 |
| ||||
|
31,000,000 |
|
1.848% |
|
Quarterly |
|
1.237% |
|
Monthly |
|
October 19, 2022 |
|
— |
|
(120,620 |
) |
(120,620 |
) | ||||
|
90,000,000 |
|
1.288% |
|
Quarterly |
|
1.237% |
|
Monthly |
|
October 19, 2023 |
|
— |
|
3,199,187 |
|
3,199,187 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
$ |
7,240,472 |
|
$ |
7,240,472 |
| |
(a) Based on 1 Mo. US LIBOR (London Interbank Offered Rate). Represents rates in effect at September 30, 2017.
Forward Foreign Currency Exchange Contracts
|
Counterparty |
|
Contracts to |
|
In Exchange |
|
Settlement |
|
Unrealized |
| |||
|
Brown Brothers Harriman |
|
EUR |
2,643,975 |
|
USD |
3,164,891 |
|
10/3/17 |
|
$ |
39,976 |
|
|
Brown Brothers Harriman |
|
EUR |
2,977,033 |
|
USD |
3,584,318 |
|
10/3/17 |
|
65,762 |
| |
|
Brown Brothers Harriman |
|
EUR |
25,860,529 |
|
USD |
30,795,364 |
|
10/3/17 |
|
230,796 |
| |
|
Brown Brothers Harriman |
|
GBP |
13,885,285 |
|
USD |
17,904,381 |
|
10/3/17 |
|
(701,893 |
) | |
|
Brown Brothers Harriman |
|
GBP |
4,153,667 |
|
USD |
5,479,061 |
|
10/3/17 |
|
(86,851 |
) | |
|
Brown Brothers Harriman |
|
USD |
24,206,830 |
|
GBP |
18,038,952 |
|
10/3/17 |
|
(34,646 |
) | |
|
Brown Brothers Harriman |
|
USD |
37,209,918 |
|
EUR |
31,481,537 |
|
10/3/17 |
|
(1,877 |
) | |
|
Brown Brothers Harriman |
|
EUR |
5,099,938 |
|
USD |
6,019,151 |
|
11/2/17 |
|
(18,094 |
) | |
|
Brown Brothers Harriman |
|
EUR |
31,446,829 |
|
USD |
37,225,152 |
|
11/2/17 |
|
(1,220 |
) | |
|
Brown Brothers Harriman |
|
GBP |
16,467,210 |
|
USD |
22,117,604 |
|
11/2/17 |
|
30,029 |
| |
|
|
|
|
|
|
|
|
|
|
|
$ |
(478,018 |
) |
The amount of all interest rate swap contracts and forward foreign currency exchange contracts as presented in the tables above are representative of the volume of activity for these derivative types during the nine months ended September 30, 2017.
Glossary of Portfolio Abbreviations
|
|
EUAMDB |
Euribor ICE Swap Rate |
|
|
EUR |
Euro Currency |
|
|
FRN |
Floating Rate Note |
|
|
GBP |
Great British Pound |
|
|
LIBOR |
London Interbank Offered Rate |
|
|
TruPS |
Trust Preferred Securities |
|
|
USD |
United States Dollar |
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. Over-the-counter (OTC) interest rate swaps are valued utilizing quotes received from a third-party pricing service. 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 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 their closing net asset value.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment 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 net asset value of Fund shares to differ from the net asset value that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.
· Level 1 — quoted prices in active markets for identical investments
· Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.)
· Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments.
For movements between the levels within the fair value hierarchy, the Fund has adopted a policy of recognizing the transfer at the end of the period in which the underlying event causing the movement occurred. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
There were $2,687,724 of securities transferred from Level 1 to Level 2, which resulted from the Fund receiving a broker quote for one security as of September 30, 2017.
The following is a summary of the inputs used as of September 30, 2017 in valuing the Fund’s investments carried at value:
|
|
|
|
|
Quoted Prices in |
|
Other |
|
Significant Unobservable |
| ||||
|
|
|
Total |
|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
| ||||
|
Preferred Securities - $25 Par Value: |
|
|
|
|
|
|
|
|
| ||||
|
Banks |
|
$ |
35,254,396 |
|
$ |
32,566,672 |
|
$ |
2,687,724 |
|
$ |
— |
|
|
Other Industries |
|
74,311,679 |
|
74,311,679 |
|
— |
|
— |
| ||||
|
Preferred Securities - Capital Securities: |
|
|
|
|
|
|
|
|
| ||||
|
Banks |
|
257,024,119 |
|
24,759,720 |
|
232,264,399 |
|
— |
| ||||
|
Food |
|
5,842,034 |
|
— |
|
— |
|
5,842,034 |
| ||||
|
Other |
|
685,033,983 |
|
— |
|
685,033,983 |
|
— |
| ||||
|
Short-Term Investments |
|
6,400,000 |
|
— |
|
6,400,000 |
|
— |
| ||||
|
Total Investments(a) |
|
$ |
1,063,866,211 |
|
131,638,071 |
|
$ |
926,386,106 |
|
$ |
5,842,034 |
(b) | |
|
Interest Rate Swap Contracts |
|
$ |
7,361,092 |
|
$ |
— |
|
$ |
7,361,092 |
|
$ |
— |
|
|
Forward Foreign Currency Exchange Contracts |
|
366,563 |
|
|
— |
|
366,563 |
|
|
— |
| ||
|
Total Unrealized Appreciation in Other Financial Instruments(a) |
|
$ |
7,727,655 |
|
$ |
— |
|
$ |
7,727,655 |
|
$ |
— |
|
|
Interest Rate Swap Contracts |
|
$ |
(120,620 |
) |
$ |
— |
|
$ |
(120,620 |
) |
$ |
— |
|
|
Forward Foreign Currency Exchange Contracts |
|
(844,581 |
) |
— |
|
(844,581 |
) |
— |
| ||||
|
Total Unrealized Depreciation in Other Financial Instruments(a) |
|
$ |
(965,201 |
) |
$ |
— |
|
$ |
(965,201 |
) |
$ |
— |
|
(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.
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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Preferred Securities - |
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Balance as of December 31, 2016 |
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$ |
— |
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Purchases |
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5,878,125 |
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Change in unrealized appreciation (depreciation) |
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(36,091 |
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Balance as of September 30, 2017 |
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$ |
5,842,034 |
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The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2017 which were valued using significant unobservable inputs (Level 3) amounted to $(36,901).
Note 2. Derivative Instruments
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 forward 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 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 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.
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
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin. Payments received from or paid to the counterparty, including 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.
Item 2. Controls and Procedures
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing of this report.
(b) During the last fiscal quarter, there were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits
(a) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
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By: |
/s/ Adam M. Derechin |
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Name: Adam M. Derechin |
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Title: President and Principal Executive Officer |
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Date: November 28, 2017 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By: |
/s/ Adam M. Derechin |
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By: |
/s/ James Giallanza |
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Name: Adam M. Derechin |
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Name: James Giallanza |
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Title: President and Principal Executive Officer |
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Title: Principal Financial Officer |
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Date: November 28, 2017 |
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