UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number: 811-22707
Cohen & Steers Limited Duration Preferred and Income Fund, Inc.
Exact Name of Registrant (as specified in charter)
| 280 Park Avenue New York, NY | 10017 | |
| Address of Principal Executive Office | (Zip code) |
Dana DeVivo
280 Park Avenue
New York, NY 10017
Name and address of agent for service
Registrant telephone number, including area code: (212) 832-3232
Date of fiscal year end: December 31
Date of reporting period: March 31, 2018
Item 1. Schedule of Investments
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
SCHEDULE OF INVESTMENTS
March 29, 2018 (Unaudited)*
| Number of Shares |
Value | |||||||||||
| PREFERRED SECURITIES—$25 PAR VALUE |
12.1 | % | ||||||||||
| BANKS |
4.2 | % | ||||||||||
| Bank of America Corp., 6.50%, Series Y(a) |
|
40,675 | 1,073,820 | |||||||||
| Citigroup, 6.875% to 11/15/23, Series K(a),(b) |
|
136,080 | 3,814,322 | |||||||||
| GMAC Capital Trust I, 7.624%, due 2/15/40, Series 2 (TruPS) (FRN) (3 Month US LIBOR + 5.785%)(c) |
|
975,475 | 25,342,840 | |||||||||
| Regions Financial Corp., 6.375% to 9/15/24, Series B(a),(b) |
|
62,050 | 1,725,611 | |||||||||
|
|
|
|||||||||||
| 31,956,593 | ||||||||||||
|
|
|
|||||||||||
| FINANCIAL—INVESTMENT BANKER/BROKER |
1.7 | % | ||||||||||
| Morgan Stanley, 6.875% to 1/15/24, Series F(a),(b) |
|
255,821 | 7,170,663 | |||||||||
| Morgan Stanley, 6.375% to 10/15/24, Series I(a),(b) |
|
210,980 | 5,721,777 | |||||||||
|
|
|
|||||||||||
| 12,892,440 | ||||||||||||
|
|
|
|||||||||||
| INDUSTRIALS—CHEMICALS |
1.7 | % | ||||||||||
| CHS, 7.10% to 3/31/24, Series II(a),(b) |
|
290,589 | 8,165,551 | |||||||||
| CHS, 6.75% to 9/30/24, Series III(a),(b) |
|
192,523 | 5,184,644 | |||||||||
|
|
|
|||||||||||
| 13,350,195 | ||||||||||||
|
|
|
|||||||||||
| INSURANCE |
2.3 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
0.7 | % | ||||||||||
| MetLife, 4.00%, Series A (FRN) (3 Month US LIBOR + 1.000%, Floor 4.00%)(a),(c) |
206,431 | 5,166,968 | ||||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
1.1 | % | ||||||||||
| Aegon NV, 4.00%, Series I (FRN) (3 Month US LIBOR + 0.875%, Floor 4.00%) (Netherlands)(a),(c) |
339,074 | 8,459,896 | ||||||||||
|
|
|
|||||||||||
| REINSURANCE |
0.2 | % | ||||||||||
| Reinsurance Group of America, 5.75% to 6/15/26, due 6/15/56(b) |
|
65,600 | 1,726,592 | |||||||||
|
|
|
|||||||||||
| REINSURANCE—FOREIGN |
0.3 | % | ||||||||||
| Aspen Insurance Holdings Ltd., 5.95% to 7/1/23 (Bermuda)(a),(b) |
|
73,555 | 1,927,877 | |||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
17,281,333 | |||||||||||
|
|
|
|||||||||||
| PIPELINES |
0.5 | % | ||||||||||
| NuStar Energy LP, 7.625% to 6/15/22, Series B(a),(b) |
164,534 | 3,586,841 | ||||||||||
|
|
|
|||||||||||
| REAL ESTATE—DIVERSIFIED |
1.2 | % | ||||||||||
| Colony NorthStar, 8.50%, Series D(a) |
134,475 | 3,347,083 | ||||||||||
| VEREIT, 6.70%, Series F(a) |
227,627 | 5,781,726 | ||||||||||
|
|
|
|||||||||||
| 9,128,809 | ||||||||||||
|
|
|
|||||||||||
1
| Number of Shares |
Value | |||||||||||
| UTILITIES |
0.5 | % | ||||||||||
| SCE Trust IV, 5.375% to 9/15/25, Series J(a),(b) |
|
136,000 | $ | 3,495,200 | ||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—$25 PAR VALUE |
|
91,691,411 | ||||||||||
|
|
|
|||||||||||
| Principal Amount |
||||||||||||
| PREFERRED SECURITIES—CAPITAL SECURITIES |
124.0 | % | ||||||||||
| BANKS |
36.1 | % | ||||||||||
| AgriBank FCB, 6.875% to 1/1/24(a),(b) |
|
$ | 36,200 | † | 3,911,863 | |||||||
| BAC Capital Trust XIV, 4.00%, Series G (FRN) (3 Month US LIBOR + 0.400%, Floor 4.00%)(a),(c) |
|
16,930,000 | 14,538,637 | |||||||||
| Bank of America Corp., 5.397% to 7/30/18, Series K(a),(b) |
|
2,704,000 | 2,707,380 | |||||||||
| Bank of America Corp., 8.125% to 5/15/18, Series M(a),(b) |
|
4,870,000 | 4,895,568 | |||||||||
| Bank of America Corp., 6.25% to 9/5/24, Series X(a),(b) |
|
6,410,000 | 6,803,253 | |||||||||
| Bank of America Corp., 6.50% to 10/23/24, Series Z(a),(b) |
|
8,582,000 | 9,237,236 | |||||||||
| Citigroup, 5.95% to 8/15/20, Series Q(a),(b) |
|
5,250,000 | 5,450,209 | |||||||||
| Citigroup, 6.125% to 11/15/20, Series R(a),(b) |
|
5,129,000 | 5,402,632 | |||||||||
| Citigroup, 6.25% to 8/15/26, Series T(a),(b) |
|
3,092,000 | 3,269,790 | |||||||||
| CoBank ACB, 6.25% to 10/1/22, Series F(a),(b) |
|
117,000 | † | 12,402,000 | ||||||||
| CoBank ACB, 6.125%, Series G(a) |
|
32,250 | † | 3,289,500 | ||||||||
| CoBank ACB, 6.25% to 10/1/26, Series I(a),(b) |
|
6,255,000 | 6,691,499 | |||||||||
| Corestates Capital III, 2.409%, due 2/15/27, 144A (TruPS) (FRN) |
|
800,000 | 752,000 | |||||||||
| Farm Credit Bank of Texas, 6.75% to 9/15/23, 144A(a),(b),(d),(e) |
|
67,500 | † | 7,323,750 | ||||||||
| Goldman Sachs Capital II, 4.00%, (FRN) (3 Month US LIBOR + 0.768%, Floor 4.00%)(a),(c) |
|
1,102,000 | 929,262 | |||||||||
| Goldman Sachs Group/The, 5.70% to 5/10/19, Series L(a),(b) |
|
7,350,000 | 7,497,000 | |||||||||
| Goldman Sachs Group/The, 5.375% to 5/10/20, Series M(a),(b) |
|
7,500,000 | 7,708,725 | |||||||||
| Goldman Sachs Group/The, 5.00% to 11/10/22, Series P(a),(b) |
|
3,330,000 | 3,246,750 | |||||||||
| JPMorgan Chase & Co., 7.90% to 4/30/18, Series I(a),(b) |
|
6,500,000 | 6,541,275 | |||||||||
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(a),(b) |
|
12,400,000 | 13,543,900 | |||||||||
| JPMorgan Chase & Co., 5.30% to 5/1/20, Series Z(a),(b) |
|
7,500,000 | 7,721,250 | |||||||||
| KeyCorp Capital I, 3.048%, due 7/1/28, (TruPS) (FRN) (3 Month US LIBOR + 0.740%)(c) |
|
3,525,000 | 3,300,281 | |||||||||
| Mellon Capital IV, 4.00%, Series 1 (FRN) (3 Month US LIBOR + 0.565%, Floor 4.00%)(a),(c) |
|
56,635,000 | 51,413,819 | |||||||||
| PNC Financial Services Group, 6.75% to 8/1/21(a),(b) |
|
6,965,000 | 7,569,214 | |||||||||
| SunTrust Capital III, 2.775%, due 3/15/28, (FRN) (3 Month US |
|
5,850,000 | 5,446,350 | |||||||||
2
| Principal Amount |
Value | |||||||||||
| US Bancorp, 3.50%, Series A, (FRN) (3 Month US LIBOR + 1.020%, Floor 3.50%)(a),(c) |
|
$ | 27,758 | † | $ | 25,606,755 | ||||||
| USB Capital IX, 3.50%, (FRN) (3 Month US LIBOR + 1.020%, Floor 3.50%)(a),(c) |
|
9,878,000 | 8,932,675 | |||||||||
| Wachovia Capital Trust II, 2.222%, due 1/15/27, (FRN) (3 Month US LIBOR + 0.50%)(c) |
|
1,000,000 | 942,500 | |||||||||
| Wells Fargo & Co., 5.895% to 6/15/18, Series K (FRN) (3 Month US LIBOR + 3.77%)(a),(c) |
|
19,935,000 | 20,245,787 | |||||||||
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(a),(b) |
|
10,000,000 | 10,532,500 | |||||||||
| Wells Fargo Capital X, 5.95%, due 12/15/36, (TruPS) |
|
5,893,000 | 6,393,905 | |||||||||
|
|
|
|||||||||||
| 274,247,265 | ||||||||||||
|
|
|
|||||||||||
| BANKS—FOREIGN |
39.0 | % | ||||||||||
| Australia & New Zealand Banking Group Ltd./United Kingdom, 6.75% to 6/15/26, 144A (Australia)(a),(b),(d) |
|
5,300,000 | 5,644,500 | |||||||||
| Banco Bilbao Vizcaya Argentaria SA, 6.125% to 11/16/27 (Spain)(a),(b) |
|
1,400,000 | 1,360,800 | |||||||||
| Banco Bilbao Vizcaya Argentaria SA, 8.875% to 4/14/21 (EUR) |
|
6,400,000 | 9,340,267 | |||||||||
| Banco Bilbao Vizcaya Argentaria SA, 9.00% to 5/9/18 (Spain)(a),(b) |
|
5,200,000 | 5,233,280 | |||||||||
| Banco Santander SA, 5.25% to 9/29/23 (EUR) (Spain)(a),(b) |
|
4,000,000 | 5,205,910 | |||||||||
| Banco Santander SA, 6.75% to 4/25/22 (EUR) (Spain)(a),(b) |
|
3,800,000 | 5,272,549 | |||||||||
| Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(a),(b) |
|
5,200,000 | 5,534,771 | |||||||||
| Barclays PLC, 8.25% to 12/15/18 (United Kingdom)(a),(b) |
|
6,095,000 | 6,304,729 | |||||||||
| BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(b),(d) |
|
1,000,000 | 1,090,000 | |||||||||
| BNP Paribas SA, 7.625% to 3/30/21, 144A (France)(a),(b),(d) |
|
12,100,000 | 13,022,625 | |||||||||
| CaixaBank SA, 5.25% to 3/23/26 (EUR) (Spain)(a),(b) |
|
3,200,000 | 3,939,900 | |||||||||
| Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(b),(d) |
|
8,550,000 | 9,763,108 | |||||||||
| Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(a),(b) |
|
12,600,000 | 13,182,750 | |||||||||
| Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(a),(b),(d) |
|
2,463,000 | 2,672,604 | |||||||||
| Danske Bank A/S, 6.125% to 3/28/24 (Denmark)(a),(b) |
6,400,000 | 6,513,600 | ||||||||||
| DNB Bank ASA, 5.75% to 3/26/20 (Norway)(a),(b) |
2,300,000 | 2,334,500 | ||||||||||
| DNB Bank ASA, 6.50% to 3/26/22 (Norway)(a),(b) |
7,800,000 | 8,130,533 | ||||||||||
| Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A (Germany)(d) |
|
3,530,280 | 4,491,840 | |||||||||
| HSBC Capital Funding LP, 10.176% to 6/30/30,
144A |
|
6,995,000 | 10,986,487 | |||||||||
| HSBC Holdings PLC, 5.625% to 1/17/20 (United Kingdom)(a),(b) |
|
2,000,000 | 2,022,500 | |||||||||
| HSBC Holdings PLC, 6.25% to 3/23/23 (United Kingdom)(a),(b) |
|
6,400,000 | 6,552,000 | |||||||||
| HSBC Holdings PLC, 6.375% to 9/17/24 (United Kingdom)(a),(b) |
|
3,800,000 | 3,857,000 | |||||||||
| HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(a),(b) |
|
5,800,000 | 5,981,250 | |||||||||
| HSBC Holdings PLC, 6.875% to 6/1/21 (United Kingdom)(a),(b) |
|
8,800,000 | 9,317,000 | |||||||||
3
| Principal Amount |
Value | |||||||||||
| ING Groep N.V., 6.875% to 4/16/22 (Netherlands)(a),(b) |
|
$ | 5,400,000 | $ | 5,663,574 | |||||||
| Itau Unibanco Holding SA/Cayman Island, 6.125% to 12/12/22, 144A (Brazil)(a),(b),(d) |
|
4,400,000 | 4,317,500 | |||||||||
| Itau Unibanco Holding SA/Cayman Island, 6.50% to 3/19/23,
144A |
|
5,200,000 | 5,151,796 | |||||||||
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(a),(b) |
|
12,050,000 | 13,089,312 | |||||||||
| Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(b),(d) |
|
2,800,000 | 2,747,500 | |||||||||
| Nationwide Building Society, 10.25%, due 12/6/99 (GBP) |
|
4,180,000 | 9,178,010 | |||||||||
| Rabobank Nederland, 11.00% to 6/30/19, 144A (Netherlands)(a),(b),(d) |
|
21,275,000 | 23,344,206 | |||||||||
| Royal Bank of Scotland Group PLC, 7.50% to 8/10/20 |
|
1,600,000 | 1,668,000 | |||||||||
| Royal Bank of Scotland Group PLC, 7.648% to 9/30/31 |
|
2,427,000 | 3,045,885 | |||||||||
| Royal Bank of Scotland Group PLC, 8.625% to 8/15/21 |
|
15,000,000 | 16,331,250 | |||||||||
| Skandinaviska Enskilda Banken AB, 5.75% to 5/13/20, Series EMTN (Sweden)(a),(b) |
|
5,400,000 | 5,466,674 | |||||||||
| Societe Generale SA, 7.375% to 9/13/21, 144A (France)(a),(b),(d) |
|
7,200,000 | 7,677,000 | |||||||||
| Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(b),(d) |
|
3,689,000 | 4,007,176 | |||||||||
| Societe Generale SA, 8.25% to 11/29/18, Series EMTN (France)(a),(b) |
|
2,083,000 | 2,150,877 | |||||||||
| Standard Chartered PLC, 6.50% to 4/2/20, 144A |
|
2,600,000 | 2,663,320 | |||||||||
| Standard Chartered PLC, 7.50% to 4/2/22, 144A |
|
2,600,000 | 2,756,000 | |||||||||
| Standard Chartered PLC, 7.75% to 4/2/23, 144A |
|
3,800,000 | 4,070,750 | |||||||||
| Swedbank AB, 6.00% to 3/17/22 (Sweden)(a),(b) |
|
6,400,000 | 6,544,000 | |||||||||
| UBS Group AG, 6.875% to 8/7/25 (Switzerland)(a),(b) |
|
1,200,000 | 1,267,050 | |||||||||
| UBS Group AG, 6.875% to 3/22/21 (Switzerland)(a),(b) |
|
2,749,000 | 2,888,055 | |||||||||
| UBS Group AG, 7.00% to 2/19/25 (Switzerland)(a),(b) |
|
2,400,000 | 2,587,500 | |||||||||
| UBS Group AG, 7.125% to 2/19/20 (Switzerland)(a),(b) |
|
6,300,000 | 6,565,230 | |||||||||
| UBS Group AG, 7.125% to 8/10/21 (Switzerland)(a),(b) |
|
9,400,000 | 9,923,505 | |||||||||
| UniCredit SpA, 6.75% to 9/10/21, Series EMTN (EUR) (Italy)(a),(b) |
|
4,400,000 | 5,845,148 | |||||||||
|
|
|
|||||||||||
| 296,703,821 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC—INTEGRATED ELECTRIC |
0.2 | % | ||||||||||
| Southern California Edison Co., 6.25% to 2/1/22, Series E(a),(b) |
|
1,500,000 | 1,597,500 | |||||||||
|
|
|
|||||||||||
4
| Principal Amount |
Value | |||||||||||
| FINANCIAL |
2.9 | % | ||||||||||
| DIVERSIFIED FINANCIAL SERVICES |
1.4 | % | ||||||||||
| General Motors Financial Co., 2.686%, due 1/5/23, (FRN) |
|
$ | 5,500,000 | $ | 5,530,288 | |||||||
| State Street Corp., 5.25% to 9/15/20, Series F(a),(b) |
|
5,152,000 | 5,293,680 | |||||||||
|
|
|
|||||||||||
| 10,823,968 | ||||||||||||
|
|
|
|||||||||||
| INVESTMENT BANKER/BROKER |
1.5 | % | ||||||||||
| Charles Schwab Corp./The, 7.00% to 2/1/22(a),(b) |
|
9,785,000 | 10,861,350 | |||||||||
|
|
|
|||||||||||
| TOTAL FINANCIAL |
|
21,685,318 | ||||||||||
|
|
|
|||||||||||
| FOOD |
0.7 | % | ||||||||||
| Dairy Farmers of America, 7.875%, 144A(a),(d),(e) |
|
55,000 | † | 5,547,443 | ||||||||
|
|
|
|||||||||||
| INDUSTRIALS—DIVERSIFIED MANUFACTURING |
3.7 | % | ||||||||||
| General Electric Co., 5.00% to 1/21/21, Series D(a),(b) |
|
28,550,000 | 28,300,188 | |||||||||
|
|
|
|||||||||||
| INSURANCE |
28.5 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
7.2 | % | ||||||||||
| MetLife, 9.25%, due 4/8/38, 144A(d) |
|
8,300,000 | 11,329,500 | |||||||||
| MetLife, 5.25% to 6/15/20, Series C(a),(b) |
|
8,715,000 | 8,930,609 | |||||||||
| MetLife Capital Trust IV, 7.875%, due 12/15/37, 144A(d) |
|
8,100,000 | 10,206,000 | |||||||||
| Prudential Financial, 5.20% to 3/15/24, due 3/15/44(b) |
|
2,600,000 | 2,648,750 | |||||||||
| Prudential Financial, 5.375% to 5/15/25, due 5/15/45(b) |
|
2,000,000 | 2,052,500 | |||||||||
| Prudential Financial, 5.625% to 6/15/23, due 6/15/43(b) |
|
16,208,000 | 17,018,400 | |||||||||
| Prudential Financial, 5.875% to 9/15/22, due 9/15/42(b) |
|
2,507,000 | 2,641,751 | |||||||||
|
|
|
|||||||||||
| 54,827,510 | ||||||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
12.2 | % | ||||||||||
| Aegon NV, 2.65%, (FRN) (10-year USISDA + 0.10%, Cap 8.50%) (Netherlands)(a),(c) |
|
20,985,000 | 18,722,817 | |||||||||
| Dai-ichi Life Insurance Co. Ltd., 4.00% to 7/24/26, 144A (Japan)(a),(b),(d) |
|
11,000,000 | 10,498,400 | |||||||||
| Dai-ichi Life Insurance Co. Ltd., 5.10% to
10/28/24, 144A |
|
5,100,000 | 5,333,886 | |||||||||
| Dai-ichi Life Insurance Co. Ltd., 7.25% to 7/25/21, 144A (Japan)(a),(b),(d) |
|
4,150,000 | 4,596,125 | |||||||||
| Fukoku Mutual Life Insurance Co., 6.50% to 9/19/23 (Japan)(a),(b) |
|
1,703,000 | 1,881,048 | |||||||||
| La Mondiale Vie, 7.625% to 4/23/19 (France)(a),(b) |
|
12,050,000 | 12,492,958 | |||||||||
| Meiji Yasuda Life Insurance Co., 5.20% to 10/20/25, due 10/20/45, 144A (Japan)(b),(d) |
|
17,235,000 | 17,945,944 | |||||||||
| Nippon Life Insurance Co., 4.70% to 1/20/26, due 1/20/46,
144A |
|
8,300,000 | 8,402,090 | |||||||||
| Nippon Life Insurance Co., 5.10% to 10/16/24, due 10/16/44,
144A |
|
7,200,000 | 7,506,000 | |||||||||
5
| Principal Amount |
Value | |||||||||||
| Sumitomo Life Insurance Co., 6.50% to 9/20/23, due 9/20/73, 144A (Japan)(b),(d) |
|
$ | 5,000,000 | $ | 5,525,000 | |||||||
|
|
|
|||||||||||
| 92,904,268 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE |
1.9 | % | ||||||||||
| Hartford Financial Services Group/The, 3.964%, due 2/12/47, 144A, Series ICON (FRN) (3 Month US LIBOR + 2.125%)(c),(d) |
|
11,460,000 | 11,159,175 | |||||||||
| Nationwide Mutual Insurance Co., 4.415%, due 12/15/24, 144A, (FRN) (3 Month US LIBOR + 2.290%)(c),(d) |
|
3,125,000 | 3,125,042 | |||||||||
|
|
|
|||||||||||
| 14,284,217 | ||||||||||||
|
|
|
|||||||||||
| MULTI-LINE—FOREIGN |
0.7 | % | ||||||||||
| AXA SA, 0.969%, (FRN) (EUAMDB10 + 0.050%, Cap 8.00%) (EUR) (France)(a),(c) |
|
5,000,000 | 5,737,692 | |||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY |
2.0 | % | ||||||||||
| Liberty Mutual Group, 7.80%, due 3/7/37, 144A(d) |
|
4,318,000 | 5,354,320 | |||||||||
| Liberty Mutual Group, 5.03%, due 3/7/37, 144A, (FRN) (3 Month US LIBOR + 2.905%)(c),(d) |
|
9,825,000 | 9,689,906 | |||||||||
|
|
|
|||||||||||
| 15,044,226 | ||||||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY—FOREIGN |
2.6 | % | ||||||||||
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 |
|
6,755,000 | 7,337,619 | |||||||||
| QBE Insurance Group Ltd., 5.25% to 5/16/25, Series EMTN |
|
2,800,000 | 2,724,529 | |||||||||
| QBE Insurance Group Ltd., 5.875% to 6/17/26, due 6/17/46, Series EMTN (Australia)(b) |
|
4,000,000 | 4,143,652 | |||||||||
| VIVAT NV, 6.25% to 11/16/22 (Netherlands)(a),(b) |
|
5,300,000 | 5,273,664 | |||||||||
|
|
|
|||||||||||
| 19,479,464 | ||||||||||||
|
|
|
|||||||||||
| REINSURANCE—FOREIGN |
1.9 | % | ||||||||||
| Aquarius + Investments PLC, 6.375% to 9/1/19, due 9/1/24 (Ireland)(b) |
|
3,705,000 | 3,816,150 | |||||||||
| Aquarius + Investments PLC, 8.25% to 9/1/18, Series EMTN |
|
10,600,000 | 10,780,995 | |||||||||
|
|
|
|||||||||||
| 14,597,145 | ||||||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
216,874,522 | |||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES |
1.2 | % | ||||||||||
| Centaur Funding Corp., 9.08%, due 4/21/20, 144A (Cayman Islands)(d) |
|
4,500 | † | 5,062,482 | ||||||||
| SoftBank Group Corp., 3.125%, due 9/19/25 (EUR) (Japan) |
|
1,200,000 | 1,390,310 | |||||||||
| SoftBank Group Corp., 4.75%, due 9/19/24 (Japan) |
|
200,000 | 193,693 | |||||||||
6
| Principal Amount |
Value | |||||||||||
| SoftBank Group Corp., 5.375%, due 7/30/22 (Japan) |
$ | 850,000 | $ | 860,625 | ||||||||
| SoftBank Group Corp., 6.875% to 7/19/27 (Japan)(a),(b) |
|
1,700,000 | 1,621,715 | |||||||||
|
|
|
|||||||||||
| 9,128,825 | ||||||||||||
|
|
|
|||||||||||
| MATERIAL—METALS & MINING |
2.0 | % | ||||||||||
| BHP Billiton Finance USA Ltd., 6.75% to 10/20/25, due 10/19/75, 144A (Australia)(b),(d) |
|
13,700,000 | 15,412,500 | |||||||||
|
|
|
|||||||||||
| PIPELINES |
3.8 | % | ||||||||||
| Enterprise Products Operating LP, 5.481%, due 8/1/66, Series A, (FRN) (3 Month US LIBOR + 3.7075%)(c) |
|
7,000,000 | 7,026,662 | |||||||||
| Plains All American Pipeline LP, 6.125% to 11/15/22, Series B(a),(b) |
|
2,699,000 | 2,611,282 | |||||||||
| Transcanada Trust, 5.30% to 3/15/27, due 3/15/77 (Canada)(b) |
|
2,875,000 | 2,844,453 | |||||||||
| Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(b) |
|
5,500,000 | 5,651,250 | |||||||||
| Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(b) |
|
10,173,000 | 10,630,785 | |||||||||
|
|
|
|||||||||||
| 28,764,432 | ||||||||||||
|
|
|
|||||||||||
| REAL ESTATE |
1.1 | % | ||||||||||
| FINANCE |
0.6 | % | ||||||||||
| AT Securities BV, 5.25% to 7/21/23 (Netherlands)(a),(b) |
|
5,000,000 | 4,880,625 | |||||||||
|
|
|
|||||||||||
| SPECIALTY |
0.5 | % | ||||||||||
| Equinix, 2.875%, due 2/1/26 (EUR) (United States) |
3,000,000 | 3,521,436 | ||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
|
8,402,061 | ||||||||||
|
|
|
|||||||||||
| UTILITIES |
4.8 | % | ||||||||||
| ELECTRIC UTILITIES |
0.7 | % | ||||||||||
| Southern Co./The, 5.50% to 3/15/22, due 3/15/57, Series B(b) |
|
4,980,000 | 5,176,054 | |||||||||
|
|
|
|||||||||||
| ELECTRIC UTILITIES—FOREIGN |
4.1 | % | ||||||||||
| Emera, 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(b) |
|
14,590,000 | 15,830,150 | |||||||||
| Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(b),(d) |
|
12,792,000 | 15,206,490 | |||||||||
|
|
|
|||||||||||
| 31,036,640 | ||||||||||||
|
|
|
|||||||||||
| TOTAL UTILITIES |
36,212,694 | |||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES |
|
942,876,569 | ||||||||||
|
|
|
|||||||||||
| CORPORATE BONDS—REAL ESTATE |
0.3 | % | ||||||||||
| iStar, 6.00%, due 4/1/22 |
2,500,000 | 2,512,500 | ||||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS |
|
2,512,500 | ||||||||||
|
|
|
|||||||||||
7
| Number of Shares |
Value | |||||||||||
| SHORT-TERM INVESTMENTS |
3.1 | % | ||||||||||
| MONEY MARKET FUNDS |
||||||||||||
| State Street Institutional Treasury Money Market Fund, Premier Class, 1.51%(f) |
|
23,172,778 | $ | 23,172,778 | ||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
23,172,778 | ||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS IN SECURITIES(g) |
139.5 | % | 1,060,253,258 | |||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS |
(39.5 | ) | (299,992,313 | ) | ||||||||
|
|
|
|
|
|||||||||
| NET ASSETS (Equivalent to $26.37 per share based on 28,830,580 shares of common stock outstanding) |
100.0 | % | $ | 760,260,945 | ||||||||
|
|
|
|
|
|||||||||
Note: Percentages indicated are based on the net assets of the Fund.
| * | March 29, 2018 represents the last business day of the Fund’s quarterly period. See Note 1 of the accompanying notes to the Schedule of Investments. |
| † | 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 March 29, 2018. |
| (d) | Resale is restricted to qualified institutional investors. Aggregate holdings amounted to $264,382,465 or 34.8% 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. |
8
Centrally Cleared Interest Rate Swap Contracts
| Notional Amount |
Fixed Rate Payable |
Fixed Payment Frequency |
Floating Rate(resets monthly) Receivable(a) |
Floating Payment Frequency |
Maturity Date | Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciaion) |
Value | ||||||||||||||||
| $ 60,000,000 |
1.117% | Quarterly | 1.808% | Monthly | 10/19/21 | $ | — | $ | 2,651,580 | $ | 2,651,580 | |||||||||||||
| 90,000,000 |
1.203% | Quarterly | 1.808% | Monthly | 10/19/22 | — | 4,940,964 | 4,940,964 | ||||||||||||||||
| 31,000,000 |
1.848% | Quarterly | 1.808% | Monthly | 10/19/22 | — | 751,925 | 751,925 | ||||||||||||||||
| 90,000,000 |
1.288% | Quarterly | 1.808% | Monthly | 10/19/23 | — | 5,766,409 | 5,766,409 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | — | $ | 14,110,878 | $ | 14,110,878 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (a) | Based on LIBOR (London Interbank Offered Rate). Represents rates in effect at March 29, 2018. |
Forward Foreign Currency Exchange Contracts
| Counterparty |
Contracts to |
In Exchange |
Settlement |
Unrealized Appreciation (Depreciation) |
||||||||||||||
| Brown Brothers Harriman |
EUR | 29,083,402 | USD | 35,553,877 | 4/4/18 | $ | (231,786 | ) | ||||||||||
| Brown Brothers Harriman |
EUR | 3,797,279 | USD | 4,685,463 | 4/4/18 | 13,102 | ||||||||||||
| Brown Brothers Harriman |
GBP | 6,986,100 | USD | 9,642,495 | 4/4/18 | (159,009 | ) | |||||||||||
| Brown Brothers Harriman |
USD | 9,796,817 | GBP | 6,986,100 | 4/4/18 | 4,686 | ||||||||||||
| Brown Brothers Harriman |
USD | 40,397,205 | EUR | 32,880,681 | 4/4/18 | 60,819 | ||||||||||||
| Brown Brothers Harriman |
GBP | 6,531,250 | USD | 9,169,287 | 5/2/18 | (4,968 | ) | |||||||||||
| Brown Brothers Harriman |
EUR | 32,567,779 | USD | 40,091,587 | 5/3/18 | (64,200 | ) | |||||||||||
|
|
|
|||||||||||||||||
| $ | (381,356 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||
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 period ended March 29, 2018.
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 | |
| USISDA | United States Dollar ICE Swap Rate |
9
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
Note 1. Quarterly Period
Since March 29, 2018 represents the last day during the Fund’s quarterly period on which the New York Stock Exchange was open for trading, the Fund’s Schedule of Investments have been presented through that date.
Note 2. 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.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 (NAV).
The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.
| • | Level 1 — quoted prices in active markets for identical investments |
| • | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments.
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. There were $25,606,755 of securities transferred from Level 1 to Level 2 which resulted from a change in the use of a quoted price to a mean price, supplied by a third-party pricing service, for one security as of March 29, 2018.
The following is a summary of the inputs used as of March 29, 2018 in valuing the Fund’s investments carried at value:
| Total | Quoted Prices in Active Markets for Identical Investments (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
| Preferred Securities—$25 Par Value |
$ | 91,691,411 | $ | 91,691,411 | $ | — | $ | — | ||||||||
| Preferred Securities—Capital Securities: |
||||||||||||||||
| Banks |
274,247,265 | — | 266,923,515 | 7,323,750 | ||||||||||||
| Food |
5,547,443 | — | — | 5,547,443 | ||||||||||||
| Other Industries |
663,081,861 | — | 663,081,861 | — | ||||||||||||
| Corporate Bonds |
2,512,500 | — | 2,512,500 | — | ||||||||||||
| Short-Term Investments |
23,172,778 | — | 23,172,778 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities(a) |
$ | 1,060,253,258 | $ | 91,691,411 | $ | 955,690,654 | $ | 12,871,193 | (b) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Interest Rate Swap Contracts |
$ | 14,110,878 | $ | — | $ | 14,110,878 | $ | — | ||||||||
| Forward Foreign Currency Exchange Contracts |
78,607 | — | 78,607 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Unrealized Appreciation in Other Financial Instruments(a) |
$ | 14,189,485 | $ | — | $ | 14,189,485 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Exchange Contracts |
$ | (459,963 | ) | $ | — | $ | (459,963 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Unrealized Depreciation in Other Financial Instruments(a) |
$ | (459,963 | ) | $ | — | $ | (459,963 | ) | $ | — | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Portfolio holdings are disclosed individually on the Schedule of Investments. |
| (b) | Level 3 investments are valued by a third-party pricing service. The inputs for these securities are not readily available or cannot be reasonably estimated. A change in the significant unobservable inputs could result in a significantly lower or higher value in such Level 3 investments. |
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
| Total | Preferred Securities - Capital Securities - Banks |
Preferred Securities - Capital Securities - Food |
||||||||||
| Balance as of December 31, 2017 |
$ | 5,776,194 | $ | — | $ | 5,776,194 | ||||||
| Transfers in |
7,323,750 | 7,323,750 | — | |||||||||
| Change in unrealized appreciation (depreciation) |
(228,751 | ) | — | (228,751 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Balance as of March 29, 2018 |
$ | 12,871,193 | $ | 7,323,750 | $ | 5,547,443 | ||||||
|
|
|
|
|
|
|
|||||||
The change in unrealized appreciation (depreciation) attributable to securities owned on March 29, 2018 which were valued using significant unobservable inputs (Level 3) amounted to $(330,001).
Note 3. 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 foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.
Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.
COHEN & STEERS LIMITED DURATION PREFERRED AND INCOME FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Centrally Cleared Interest Rate Swap Contracts: The Fund uses interest rate swaps in connection with borrowing under its revolving credit agreement. The interest rate swaps are intended to reduce interest rate risk by countering the effect that an increase in short-term interest rates could have on the performance of the Fund’s shares as a result of the floating rate structure of interest owed pursuant to the revolving credit agreement. When entering into interest rate swaps, the Fund agrees to pay the other party to the interest rate swap (which is known as the counterparty) a fixed rate payment in exchange for the counterparty’s agreement to pay the Fund a variable rate payment that was intended to approximate the Fund’s variable rate payment obligation on the revolving credit agreement. The payment obligation is based on the notional amount of the swap. Depending on the state of interest rates in general, the use of interest rate swaps could enhance or harm the overall performance of the Fund. Swaps are marked-to-market daily and changes in the value are recorded as unrealized appreciation (depreciation).
Immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded as cash 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 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.
| By: | /s/ Adam M. Derechin | |
| Name: Adam M. Derechin Title: President and Principal Executive Officer | ||
| Date: May 25, 2018 | ||
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.
| By: | /s/ Adam M. Derechin | By: | /s/ James Giallanza | |||||
| Name: Adam M. Derechin Title: President and Principal Executive Officer |
Name: James Giallanza Title: Principal Financial Officer | |||||||
| Date: May 25, 2018 | ||||||||