COHEN & STEERS REAL ASSETS FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2021 (Unaudited)
Shares | Value | |||||||||||
COMMON STOCK | 54.7 | % | ||||||||||
AIRPORTS—FOREIGN | 0.1 | % | ||||||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (Mexico) | 18,215 | $ | 211,787 | |||||||||
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| |||||||||||
COMMUNICATIONS | 2.7 | % | ||||||||||
TOWERS | ||||||||||||
American Tower Corp. | 14,312 | 3,798,548 | ||||||||||
Crown Castle International Corp. | 9,262 | 1,605,290 | ||||||||||
SBA Communications Corp. | 5,455 | 1,803,259 | ||||||||||
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| |||||||||||
7,207,097 | ||||||||||||
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| |||||||||||
COMMUNICATIONS—FOREIGN | 0.5 | % | ||||||||||
TOWERS | ||||||||||||
Cellnex Telecom SA, 144A (Spain)(a) | 17,292 | 1,067,609 | ||||||||||
Vantage Towers AG (Germany) | 8,673 | 294,560 | ||||||||||
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1,362,169 | ||||||||||||
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CONSUMER STAPLES | 0.7 | % | ||||||||||
FOOD PRODUCTS | ||||||||||||
Darling Ingredients, Inc.(b) | 25,750 | 1,851,425 | ||||||||||
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| |||||||||||
CONSUMER STAPLES—FOREIGN | 0.2 | % | ||||||||||
AGRICULTURE | 0.0 | % | ||||||||||
Farmers Edge, Inc. (Canada)(b) | 7,607 | 30,269 | ||||||||||
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| |||||||||||
FOOD PRODUCTS | 0.2 | % | ||||||||||
WH Group Ltd., 144A (Hong Kong)(a) | 510,345 | 363,390 | ||||||||||
Wilmar International Ltd. (China)(SGD) | 75,230 | 232,416 | ||||||||||
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595,806 | ||||||||||||
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| |||||||||||
TOTAL CONSUMER STAPLES—FOREIGN | 626,075 | |||||||||||
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CONSUMER—CYCLICAL | 0.4 | % | ||||||||||
HOTEL | ||||||||||||
Boyd Gaming Corp.(b) | 11,493 | 727,047 | ||||||||||
Caesars Entertainment, Inc.(b) | 3,054 | 342,903 | ||||||||||
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1,069,950 | ||||||||||||
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CONSUMER—NON-CYCLICAL | 2.9 | % | ||||||||||
AGRICULTURE | 1.9 | % | ||||||||||
AGCO Corp. | 7,369 | 902,924 | ||||||||||
Archer-Daniels-Midland Co. | 21,251 | 1,275,272 | ||||||||||
Bunge Ltd. | 16,302 | 1,325,679 | ||||||||||
Corteva, Inc. | 37,882 | 1,594,074 | ||||||||||
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| |||||||||||
5,097,949 | ||||||||||||
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|
1
Shares | Value | |||||||||||
FOOD PRODUCTS | 0.7 | % | ||||||||||
Tyson Foods, Inc., Class A | 23,138 | $ | 1,826,514 | |||||||||
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| |||||||||||
FOOD PRODUCTS—FOREIGN | 0.3 | % | ||||||||||
Associated British Foods PLC (United Kingdom) | 12,291 | 305,956 | ||||||||||
Mowi ASA (Norway) | 18,373 | 466,800 | ||||||||||
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772,756 | ||||||||||||
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TOTAL CONSUMER—NON-CYCLICAL | 7,697,219 | |||||||||||
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ELECTRIC | 0.9 | % | ||||||||||
American Electric Power Co., Inc. | 4,458 | 361,900 | ||||||||||
Evergy, Inc. | 5,839 | 363,186 | ||||||||||
Eversource Energy | 3,917 | 320,254 | ||||||||||
NextEra Energy, Inc. | 5,285 | 414,978 | ||||||||||
PG&E Corp.(b) | 21,166 | 203,194 | ||||||||||
Portland General Electric Co. | 6,316 | 296,789 | ||||||||||
PPL Corp. | 10,695 | 298,177 | ||||||||||
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| |||||||||||
2,258,478 | ||||||||||||
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ELECTRIC—FOREIGN | 1.0 | % | ||||||||||
E.ON SE (Germany) | 56,264 | 686,741 | ||||||||||
Hydro One Ltd., 144A (Canada)(a) | 25,041 | 591,921 | ||||||||||
Kansai Electric Power Co., Inc. (Japan) | 18,500 | 179,268 | ||||||||||
National Grid PLC (United Kingdom) | 93,358 | 1,112,428 | ||||||||||
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2,570,358 | ||||||||||||
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ENERGY | 7.8 | % | ||||||||||
GAS—DISTRIBUTION | 0.2 | % | ||||||||||
Southwest Gas Holdings, Inc. | 5,983 | 400,143 | ||||||||||
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| |||||||||||
GAS—DISTRIBUTION—FOREIGN | 0.4 | % | ||||||||||
Enn Energy Holdings Ltd. (China)(H shares) | 53,457 | 881,691 | ||||||||||
Towngas China Co., Ltd. (China)(H shares)(b) | 305,000 | 190,126 | ||||||||||
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| |||||||||||
1,071,817 | ||||||||||||
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OIL & GAS | 3.5 | % | ||||||||||
Chevron Corp. | 17,990 | 1,825,085 | ||||||||||
ConocoPhillips | 2,857 | 193,619 | ||||||||||
EOG Resources, Inc. | 30,665 | 2,461,480 | ||||||||||
Exxon Mobil Corp. | 25,783 | 1,516,556 | ||||||||||
Marathon Oil Corp. | 28,952 | 395,774 | ||||||||||
Phillips 66 | 6,205 | 434,536 | ||||||||||
Renewable Energy Group, Inc.(b) | 46,674 | 2,343,035 | ||||||||||
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| |||||||||||
9,170,085 | ||||||||||||
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|
2
Shares | Value | |||||||||||
OIL & GAS—FOREIGN | 3.7 | % | ||||||||||
ARC Resources Ltd. (Canada) | 77,567 | $ | 726,923 | |||||||||
BP PLC (United Kingdom) | 496,855 | 2,263,101 | ||||||||||
CIMC Enric Holdings Ltd. (China) | 184,000 | 219,569 | ||||||||||
Lukoil PJSC, ADR (Russia)(USD) | 8,160 | 774,990 | ||||||||||
Reliance Industries Ltd., 144A (India)(USD)(a) | 17,752 | 1,208,911 | ||||||||||
Suncor Energy, Inc. (Canada) | 141,692 | 2,937,654 | ||||||||||
TotalEnergies SE (France) | 35,698 | 1,706,291 | ||||||||||
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9,837,439 | ||||||||||||
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TOTAL ENERGY | 20,479,484 | |||||||||||
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ENVIRONMENTAL SERVICES | 0.2 | % | ||||||||||
Waste Management, Inc. | 3,402 | 508,123 | ||||||||||
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FOOD | 0.1 | % | ||||||||||
Benson Hill, Inc. (Unregistered)(b),(c),(d) | 37,500 | 259,500 | ||||||||||
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INDUSTRIAL | 0.3 | % | ||||||||||
MACHINERY | 0.2 | % | ||||||||||
Deere & Co. | 1,885 | 631,607 | ||||||||||
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| |||||||||||
MACHINERY—FOREIGN | 0.1 | % | ||||||||||
Kubota Corp. (Japan) | 10,597 | 225,532 | ||||||||||
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| |||||||||||
TOTAL INDUSTRIAL | 857,139 | |||||||||||
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| |||||||||||
INFRASTRUCTURE | 1.0 | % | ||||||||||
ELECTRIC | 0.4 | % | ||||||||||
CenterPoint Energy, Inc. | 37,510 | 922,746 | ||||||||||
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FREIGHT RAILS | 0.1 | % | ||||||||||
Norfolk Southern Corp. | 1,542 | 368,923 | ||||||||||
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PIPELINES—C-CORP | 0.5 | % | ||||||||||
ONEOK, Inc. | 21,118 | 1,224,633 | ||||||||||
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TOTAL INFRASTRUCTURE | 2,516,302 | |||||||||||
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INFRASTRUCTURE—FOREIGN | 2.7 | % | ||||||||||
AIRPORTS | 0.3 | % | ||||||||||
Aena SME SA, 144A (Spain)(a),(b) | 2,947 | 509,659 | ||||||||||
Auckland International Airport Ltd. (New Zealand)(b) | 47,180 | 253,609 | ||||||||||
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| |||||||||||
163,268 | ||||||||||||
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3
Shares | Value | |||||||||||
FREIGHT RAILS | 0.1 | % | ||||||||||
Canadian National Railway Co. (Canada) | 2,846 | $ | 329,809 | |||||||||
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| |||||||||||
GAS—DISTRIBUTION | 0.2 | % | ||||||||||
Snam S.p.A. (Italy) | 81,009 | 448,133 | ||||||||||
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| |||||||||||
PIPELINES—C-CORP | 2.0 | % | ||||||||||
Enbridge, Inc. (Canada) | 88,983 | 3,544,988 | ||||||||||
Gibson Energy, Inc. (Canada) | 11,861 | 217,817 | ||||||||||
Pembina Pipeline Corp. (Canada) | 7,982 | 253,022 | ||||||||||
TC Energy Corp. (Canada) | 26,729 | 1,286,436 | ||||||||||
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TOLL ROADS | 0.1 | % | ||||||||||
Eiffage SA (France) | 3,650 | 368,894 | ||||||||||
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| |||||||||||
TOTAL INFRASTRUCTURE—FOREIGN | 7,212,367 | |||||||||||
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MARINE PORTS—FOREIGN | 0.1 | % | ||||||||||
COSCO SHIPPING Ports Ltd. (China)(H shares) | 288,337 | 249,029 | ||||||||||
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| |||||||||||
MATERIALS | 6.1 | % | ||||||||||
CHEMICALS | 0.7 | % | ||||||||||
CF Industries Holdings, Inc. | 13,886 | 775,116 | ||||||||||
Mosaic Co. | 29,046 | 1,037,523 | ||||||||||
|
| |||||||||||
1,812,639 | ||||||||||||
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| |||||||||||
CHEMICALS—FOREIGN | 1.2 | % | ||||||||||
Nutrien Ltd. (Canada) | 28,496 | 1,847,396 | ||||||||||
Sociedad Quimica y Minera de Chile SA, ADR (Chile)(USD) | 23,399 | 1,256,994 | ||||||||||
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3,104,390 | ||||||||||||
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METALS & MINING | 1.1 | % | ||||||||||
Alcoa Corp.(b) | 9,137 | 447,165 | ||||||||||
Freeport-McMoRan, Inc. | 25,968 | 844,739 | ||||||||||
Newmont Corp. | 19,181 | 1,041,528 | ||||||||||
Nucor Corp. | 1,307 | 128,727 | ||||||||||
Steel Dynamics, Inc. | 8,569 | 501,115 | ||||||||||
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| |||||||||||
2,963,274 | ||||||||||||
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| |||||||||||
METALS & MINING—FOREIGN | 3.1 | % | ||||||||||
Agnico Eagle Mines Ltd. (Canada) | 4,402 | 228,372 | ||||||||||
Anglo American PLC (South Africa) | 37,462 | 1,312,992 | ||||||||||
ArcelorMittal SA (Luxembourg) | 16,325 | 499,751 | ||||||||||
Barrick Gold Corp. (Canada) | 17,923 | 323,510 | ||||||||||
BHP Group PLC (Australia) | 56,702 | 1,428,570 |
4
Shares | Value | |||||||||||
Franco-Nevada Corp. (Canada) | 1,179 | $ | 153,169 | |||||||||
Glencore PLC (Switzerland)(GBP) | 242,295 | 1,139,781 | ||||||||||
Kirkland Lake Gold Ltd. (Canada) | 5,363 | 223,395 | ||||||||||
Newcrest Mining Ltd. (Australia) | 7,472 | 123,869 | ||||||||||
Nippon Steel Corp. (Japan) | 54,319 | 976,980 | ||||||||||
POSCO (South Korea) | 2,940 | 809,554 | ||||||||||
Rio Tinto Ltd. (Australia) | 3,931 | 279,852 | ||||||||||
Vale SA, ADR (Brazil)(USD) | 25,330 | 353,353 | ||||||||||
Wheaton Precious Metals Corp. (Brazil)(CAD) | 7,071 | 265,728 | ||||||||||
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8,118,876 | ||||||||||||
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TOTAL MATERIALS | 15,999,179 | |||||||||||
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PIPELINES | 1.5 | % | ||||||||||
Cheniere Energy, Inc.(b) | 18,613 | 1,817,932 | ||||||||||
DT Midstream, Inc. | 15,722 | 726,985 | ||||||||||
Targa Resources Corp. | 25,341 | 1,247,030 | ||||||||||
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3,791,948 | ||||||||||||
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RAILWAYS—FOREIGN | 0.4 | % | ||||||||||
Getlink SE (France) | 24,625 | 384,683 | ||||||||||
Santos Brasil Participacoes SA (Brazil)(b) | 139,392 | 202,980 | ||||||||||
West Japan Railway Co. (Japan) | 9,200 | 462,457 | ||||||||||
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1,050,120 | ||||||||||||
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REAL ESTATE | 21.7 | % | ||||||||||
DATA CENTERS | 1.0 | % | ||||||||||
CyrusOne, Inc. | 24,081 | 1,864,110 | ||||||||||
Equinix, Inc. | 1,100 | 869,143 | ||||||||||
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| |||||||||||
2,733,253 | ||||||||||||
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DATA CENTERS—FOREIGN | 0.1 | % | ||||||||||
GDS Holdings Ltd., ADR (China)(H shares)(b) | 2,117 | 119,843 | ||||||||||
NEXTDC Ltd. (Australia)(b) | 27,262 | 232,230 | ||||||||||
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| |||||||||||
352,073 | ||||||||||||
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DIVERSIFIED—FOREIGN | 3.9 | % | ||||||||||
Activia Properties, Inc. (Japan) | 134 | 547,959 | ||||||||||
British Land Co., PLC (United Kingdom) | 87,309 | 579,349 | ||||||||||
Castellum AB (Sweden) | 20,180 | 492,640 | ||||||||||
Charter Hall Group (Australia) | 82,043 | 992,000 | ||||||||||
City Developments Ltd. (Singapore) | 56,600 | 286,456 | ||||||||||
CK Asset Holdings Ltd. (Hong Kong) | 107,500 | 620,251 |
5
Shares | Value | |||||||||||
Fastighets AB Balder, Class B (Sweden)(b) | 5,527 | $ | 332,154 | |||||||||
ICADE (France) | 3,263 | 254,799 | ||||||||||
Invincible Investment Corp. (Japan) | 1,502 | 588,440 | ||||||||||
Merlin Properties Socimi SA (Spain) | 39,112 | 401,949 | ||||||||||
Mirvac Group (Australia) | 524,715 | 1,113,058 | ||||||||||
Mitsubishi Estate Co., Ltd. (Japan) | 32,215 | 512,953 | ||||||||||
Mitsui Fudosan Co., Ltd. (Japan) | 71,600 | 1,700,849 | ||||||||||
Mitsui Fudosan Logistics Park, Inc. (Japan) | 86 | 455,906 | ||||||||||
Nomura Real Estate Master Fund, Inc. (Japan) | 33 | 47,496 | ||||||||||
Sumitomo Realty & Development Co., Ltd. (Japan) | 13,500 | 493,440 | ||||||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 58,000 | 724,208 | ||||||||||
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10,143,907 | ||||||||||||
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HEALTH CARE | 2.0 | % | ||||||||||
Healthpeak Properties, Inc. | 65,061 | 2,178,242 | ||||||||||
Ventas, Inc. | 27,518 | 1,519,269 | ||||||||||
Welltower, Inc. | 20,490 | 1,688,376 | ||||||||||
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5,385,887 | ||||||||||||
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HEALTH CARE—FOREIGN | 0.4 | % | ||||||||||
Assura PLC (United Kingdom) | 504,853 | 486,711 | ||||||||||
Parkway Life Real Estate Investment Trust (Singapore) | 176,600 | 604,795 | ||||||||||
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1,091,506 | ||||||||||||
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HOTEL | 0.6 | % | ||||||||||
Host Hotels & Resorts, Inc.(b) | 76,495 | 1,249,163 | ||||||||||
Park Hotels & Resorts, Inc.(b) | 13,286 | 254,294 | ||||||||||
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| |||||||||||
1,503,457 | ||||||||||||
|
| |||||||||||
HOTEL—FOREIGN | 0.1 | % | ||||||||||
Sands China Ltd. (Macau)(H Shares)(b) | 102,400 | 209,562 | ||||||||||
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INDUSTRIALS | 1.6 | % | ||||||||||
Americold Realty Trust | 25,975 | 754,573 | ||||||||||
Duke Realty Corp. | 28,463 | 1,362,524 | ||||||||||
Prologis, Inc. | 17,381 | 2,180,099 | ||||||||||
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4,297,196 | ||||||||||||
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| |||||||||||
INDUSTRIALS—FOREIGN | 1.0 | % | ||||||||||
CTP NV, 144A (Netherlands)(a),(b) | 12,723 | 277,068 | ||||||||||
Frasers Logistics & Commercial Trust (Singapore) | 348,000 | 388,235 | ||||||||||
GLP J-REIT (Japan) | 297 | 488,885 | ||||||||||
Goodman Group (Australia) | 13,981 | 215,127 |
6
Shares | Value | |||||||||||
Segro PLC (United Kingdom) | 39,681 | $ | 637,429 | |||||||||
Sirius Real Estate Ltd. (Germany)(GBP) | 87,285 | 153,831 | ||||||||||
Tritax Big Box REIT PLC (United Kingdom) | 183,848 | 525,671 | ||||||||||
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| |||||||||||
2,686,246 | ||||||||||||
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NET LEASE | 0.8 | % | ||||||||||
VEREIT, Inc. | 41,516 | 1,877,769 | ||||||||||
VICI Properties, Inc. | 10,415 | 295,890 | ||||||||||
|
| |||||||||||
2,173,659 | ||||||||||||
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| |||||||||||
NET LEASE—FOREIGN | 0.2 | % | ||||||||||
ARGAN SA (France) | 1,804 | 223,594 | ||||||||||
VGP NV (Belgium) | 904 | 207,964 | ||||||||||
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| |||||||||||
OFFICE—FOREIGN | 0.9 | % | ||||||||||
Alstria Office REIT AG (Germany) | 13,809 | 250,483 | ||||||||||
Fabege AB (Sweden) | 19,508 | 294,238 | ||||||||||
Keppel REIT (Singapore) | 422,500 | 328,918 | ||||||||||
Nippon Building Fund, Inc. (Japan) | 125 | 812,097 | ||||||||||
Orix JREIT, Inc. (Japan) | 205 | 356,776 | ||||||||||
Workspace Group PLC (United Kingdom) | 30,720 | 341,485 | ||||||||||
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| |||||||||||
2,383,997 | ||||||||||||
|
| |||||||||||
REAL ESTATE SERVICES | 0.3 | % | ||||||||||
Jones Lang LaSalle, Inc.(b) | 3,427 | 850,204 | ||||||||||
|
| |||||||||||
RESIDENTIAL | 3.0 | % | ||||||||||
Apartment Income REIT Corp. | 16,226 | 791,991 | ||||||||||
Essex Property Trust, Inc. | 5,852 | 1,871,119 | ||||||||||
Highwoods Properties, Inc. | 13,306 | 583,601 | ||||||||||
Invitation Homes, Inc. | 21,956 | 841,574 | ||||||||||
Sun Communities, Inc. | 5,614 | 1,039,151 | ||||||||||
UDR, Inc. | 51,129 | 2,708,814 | ||||||||||
|
| |||||||||||
7,836,250 | ||||||||||||
|
| |||||||||||
RESIDENTIAL—FOREIGN | 1.4 | % | ||||||||||
Aedifica SA (Belgium) | 3,432 | 428,462 | ||||||||||
Grainger PLC (United Kingdom) | 64,255 | 263,656 | ||||||||||
Instone Real Estate Group AG, 144A (Germany)(a) | 9,737 | 278,024 | ||||||||||
LEG Immobilien SE (Germany) | 3,636 | 513,599 | ||||||||||
Neinor Homes SA, 144 (Spain)(a),(b) | 19,419 | 259,252 | ||||||||||
Vonovia SE (Germany) | 26,545 | 1,595,842 | ||||||||||
Wharf Real Estate Investment Co., Ltd. (Hong Kong) | 91,000 | 467,548 | ||||||||||
|
| |||||||||||
3,806,383 | ||||||||||||
|
|
7
Shares | Value | |||||||||||
RETAIL—FOREIGN | 1.2 | % | ||||||||||
CapitaLand Integrated Commercial Trust (Singapore) | 294,332 | $ | 438,277 | |||||||||
Catena AB (Sweden) | 3,641 | 197,139 | ||||||||||
Japan Retail Fund Investment Corp. (Japan) | 394 | 378,321 | ||||||||||
Klepierre SA (France)(b) | 29,786 | 666,119 | ||||||||||
Link REIT (Hong Kong) | 66,800 | 572,031 | ||||||||||
RioCan Real Estate Investment Trust (Canada) | 20,127 | 343,872 | ||||||||||
Unibail-Rodamco-Westfield (France)(b) | 4,010 | 295,139 | ||||||||||
VIB Vermoegen AG (Germany) | 3,152 | 135,457 | ||||||||||
|
| |||||||||||
3,026,355 | ||||||||||||
|
| |||||||||||
SELF STORAGE | 1.6 | % | ||||||||||
Public Storage | 13,879 | 4,123,451 | ||||||||||
|
| |||||||||||
SELF STORAGE—FOREIGN | 0.2 | % | ||||||||||
Safestore Holdings PLC (United Kingdom) | 29,472 | 416,564 | ||||||||||
|
| |||||||||||
SHOPPING CENTERS | 1.1 | % | ||||||||||
Kimco Realty Corp. | 39,586 | 821,409 | ||||||||||
Simon Property Group, Inc. | 15,239 | 1,980,613 | ||||||||||
|
| |||||||||||
2,802,022 | ||||||||||||
|
| |||||||||||
SPECIALTY | 0.1 | % | ||||||||||
Digital Realty Trust, Inc. | 1,832 | 264,632 | ||||||||||
|
| |||||||||||
TIMBER | 0.2 | % | ||||||||||
Weyerhaeuser Co. | 17,740 | 631,012 | ||||||||||
|
| |||||||||||
TOTAL REAL ESTATE | 57,149,174 | |||||||||||
|
| |||||||||||
RENEWABLE ENERGY | 0.1 | % | ||||||||||
Clearway Energy, Inc. | 6,820 | 206,441 | ||||||||||
|
| |||||||||||
TOLL ROADS—FOREIGN | 1.2 | % | ||||||||||
Transurban Group (Australia) | 10,449 | 105,310 | ||||||||||
Transurban Group (Australia)(e) | 94,044 | 947,819 | ||||||||||
Vinci SA (France) | 19,296 | 2,006,954 | ||||||||||
Zhejiang Expressway Co., Ltd. (China)(H shares) | 206,000 | 169,888 | ||||||||||
|
| |||||||||||
3,229,971 | ||||||||||||
|
| |||||||||||
UTILITIES | 2.1 | % | ||||||||||
GAS—FOREIGN | 0.1 | % | ||||||||||
Hong Kong and China Gas Co., Ltd. (Hong Kong) | 216,600 | 327,260 | ||||||||||
|
|
8
Shares | Value | |||||||||||
MULTI-UTILITIES | 0.9 | % | ||||||||||
NiSource, Inc. | 30,335 | $ | 735,017 | |||||||||
Sempra Energy | 12,867 | 1,627,676 | ||||||||||
|
| |||||||||||
2,362,693 | ||||||||||||
|
| |||||||||||
MULTI-UTILITIES—FOREIGN | 0.2 | % | ||||||||||
Engie SA (France) | 37,371 | 488,932 | ||||||||||
|
| |||||||||||
WATER | 0.7 | % | ||||||||||
American Water Works Co., Inc. | 7,528 | 1,272,533 | ||||||||||
Essential Utilities, Inc. | 11,492 | 529,551 | ||||||||||
|
| |||||||||||
1,802,084 | ||||||||||||
|
| |||||||||||
WATER—FOREIGN | 0.2 | % | ||||||||||
Pennon Group PLC (United Kingdom) | 40,371 | 615,370 | ||||||||||
|
| |||||||||||
TOTAL UTILITIES | 5,596,339 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 143,959,673 | |||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS—GOLD | 3.9 | % | ||||||||||
iShares Gold Trust ETF(b) | 101,050 | 3,376,080 | ||||||||||
SPDR Gold MiniShares Trust(b) | 389,200 | 6,795,432 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 10,171,512 | |||||||||||
|
| |||||||||||
PREFERRED SECURITIES—$25 PAR VALUE | 0.6 | % | ||||||||||
BANKS | 0.5 | % | ||||||||||
PNC Financial Services Group, Inc., 6.125% to 5/1/22, | 32,735 | 850,455 | ||||||||||
US Bancorp, 6.50% to 1/15/22, Series F(f),(g) | 18,000 | 457,740 | ||||||||||
|
| |||||||||||
1,308,195 | ||||||||||||
|
| |||||||||||
INSURANCE | 0.1 | % | ||||||||||
Hartford Financial Services Group, Inc./The, 7.875% to 4/15/22, due 4/15/42(g) | 11,000 | 285,450 | ||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—$25 PAR VALUE | 1,593,645 | |||||||||||
|
|
9
Principal Amount | Value | |||||||||||
PREFERRED SECURITIES—CAPITAL SECURITIES | 4.9 | % | ||||||||||
BANKS | 1.2 | % | ||||||||||
Bank of America Corp., 6.25% to 9/5/24, Series X(f),(g) | $ | 220,000 | $ | 242,138 | ||||||||
Bank of America Corp., 6.50% to 10/23/24, Series Z(f),(g) | 250,000 | 280,375 | ||||||||||
Citigroup, Inc., 5.90% to 2/15/23(f),(g) | 275,000 | 287,375 | ||||||||||
Citigroup, Inc., 5.950% to 1/30/23(f),(g) | 275,000 | 286,859 | ||||||||||
JPMorgan Chase & Co., 3.926% (3 Month US LIBOR + 3.80%), | 300,000 | 300,349 | ||||||||||
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(f),(g) | 1,025,000 | 1,125,578 | ||||||||||
PNC Financial Services Group, Inc./The, 3.804% | 375,000 | 375,924 | ||||||||||
Truist Bank, 0.766% (3 Month US LIBOR + 0.650%), | 200,000 | 194,385 | ||||||||||
|
| |||||||||||
3,092,983 | ||||||||||||
|
| |||||||||||
BANKS—FOREIGN | 0.9 | % | ||||||||||
Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(USD)(f),(g),(i),(j) |
| 400,000 | 409,992 | |||||||||
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)(USD)(a),(f),(j) |
| 400,000 | 446,592 | |||||||||
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(f),(g),(i),(j) |
| 600,000 | 623,544 | |||||||||
DNB Bank ASA, 6.50% to 3/26/22 (Norway)(f),(g),(i),(j) |
| 600,000 | 614,254 | |||||||||
Standard Chartered PLC, 7.75% to 4/2/23, 144A |
| 200,000 | 215,598 | |||||||||
|
| |||||||||||
2,309,980 | ||||||||||||
|
| |||||||||||
ELECTRIC | 0.1 | % | ||||||||||
Dominion Energy, Inc., 3.071%, due 8/15/24 | 325,000 | 343,638 | ||||||||||
|
| |||||||||||
ELECTRIC—FOREIGN | 0.6 | % | ||||||||||
Electricite de France SA, 5.25% to 1/29/23, 144A (France)(USD)(a),(f),(g) |
| 400,000 | 415,700 | |||||||||
Emera US Finance LP, due 6/15/24, 144A (Canada)(USD)(a) | 230,000 | 229,352 | ||||||||||
Enel SpA, 8.75% to 9/24/23, due 9/24/73, 144A (Italy)(USD)(a),(g) | 800,000 | 913,000 | ||||||||||
|
| |||||||||||
1,558,052 | ||||||||||||
|
| |||||||||||
FINANCIAL | 0.1 | % | ||||||||||
INVESTMENT BANKER/BROKER | ||||||||||||
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(f),(g) | 265,000 | 295,144 | ||||||||||
|
|
10
Principal Amount | Value | |||||||||||
INSURANCE | 2.0 | % | ||||||||||
LIFE/HEALTH INSURANCE | 0.6 | % | ||||||||||
Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(g) |
| $ | 600,000 | $ | 638,809 | |||||||
Prudential Financial, Inc., 5.875% to 9/15/22, due 9/15/42(g) |
| 907,000 | 943,566 | |||||||||
|
| |||||||||||
1,582,375 | ||||||||||||
|
| |||||||||||
LIFE/HEALTH INSURANCE—FOREIGN | 0.9 | % | ||||||||||
Nippon Life Insurance Co., 5.00% to 10/18/22, | 1,400,000 | 1,457,134 | ||||||||||
Sumitomo Life Insurance Co., 6.50% to 9/20/23, | 800,000 | 881,364 | ||||||||||
|
| |||||||||||
2,338,498 | ||||||||||||
|
| |||||||||||
PROPERTY CASUALTY—FOREIGN | 0.5 | % | ||||||||||
Mitsui Sumitomo Insurance Co., Ltd., 7.00% to 3/15/22, due 3/15/72, 144 (Japan)(USD)(a),(g) | 1,375,000 | 1,411,775 | ||||||||||
|
| |||||||||||
TOTAL INSURANCE | 5,332,648 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES |
| 12,932,445 | ||||||||||
|
| |||||||||||
CORPORATE BONDS | 4.5 | % | ||||||||||
COMMUNICATIONS—TOWERS | 0.3 | % | ||||||||||
American Tower Corp., 2.95%, due 1/15/25 |
| 320,000 | 338,070 | |||||||||
SBA Communications Corp., 4.875%, due 9/1/24 |
| 425,000 | 432,640 | |||||||||
|
| |||||||||||
770,710 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES | 0.1 | % | ||||||||||
7-Eleven, Inc., 0.80%, due 2/10/24, 144A(a) |
| 160,000 | 159,977 | |||||||||
|
| |||||||||||
ELECTRIC | 0.8 | % | ||||||||||
DTE Energy Co., 2.529%, due 10/1/24, Series C |
| 445,000 | 464,482 | |||||||||
NextEra Energy Capital Holdings, Inc., 0.65%, due 3/1/23 |
| 500,000 | 501,800 | |||||||||
NextEra Energy Capital Holdings, Inc., 2.75%, due 5/1/25 |
| 290,000 | 305,969 | |||||||||
Progress Energy, Inc., 3.15%, due 4/1/22 | 200,000 | 201,370 | ||||||||||
Southern California Edison Co., 0.70%, due 4/3/23 |
| 260,000 | 260,705 | |||||||||
Southern California Edison Co., 1.10%, due 4/1/24 |
| 260,000 | 261,315 | |||||||||
|
| |||||||||||
1,995,641 | ||||||||||||
|
|
11
Principal Amount | Value | |||||||||||
FINANCIAL | 0.2 | % | ||||||||||
DIVERSIFIED FINANCIAL SERVICES | ||||||||||||
General Motors Financial Co., Inc., 1.677% (3 Month US LIBOR + 1.55%), |
| $ | 100,000 | $ | 100,373 | |||||||
Newmark Group, Inc., 6.125%, due 11/15/23 | 500,000 | 541,625 | ||||||||||
|
| |||||||||||
641,998 | ||||||||||||
|
| |||||||||||
INTEGRATED TELECOMMUNICATIONS SERVICES | 0.6 | % | ||||||||||
AT&T, Inc., 0.90%, due 3/25/24 | 500,000 | 500,825 | ||||||||||
T-Mobile USA, Inc., 3.50%, due 4/15/25 | 325,000 | 350,243 | ||||||||||
Verizon Communications, Inc., 0.75%, due 3/22/24 | 500,000 | 502,040 | ||||||||||
Verizon Communications, Inc., 1.256% (3 Month US LIBOR + 1.10%), |
| 200,000 | 205,637 | |||||||||
Verizon Communications, Inc., 3.376%, due 2/15/25 | 155,000 | 167,816 | ||||||||||
|
| |||||||||||
1,726,561 | ||||||||||||
|
| |||||||||||
REAL ESTATE | 2.5 | % | ||||||||||
DATA CENTERS | 0.3 | % | ||||||||||
Equinix, Inc., 1.25%, due 7/15/25 | 200,000 | 199,300 | ||||||||||
Equinix, Inc., 2.625%, due 11/18/24 | 508,000 | 532,172 | ||||||||||
|
| |||||||||||
731,472 | ||||||||||||
|
| |||||||||||
DIVERSIFIED | 0.1 | % | ||||||||||
National Retail Properties, Inc., 3.90%, due 6/15/24 | 235,000 | 252,088 | ||||||||||
|
| |||||||||||
FINANCE | 0.3 | % | ||||||||||
Mid-America Apartments LP, 3.75%, due 6/15/24 | 370,000 | 396,998 | ||||||||||
Ventas Realty LP, 3.75%, due 5/1/24 | 280,000 | 298,032 | ||||||||||
|
| |||||||||||
TOTAL FINANCE | 695,030 | |||||||||||
|
| |||||||||||
HEALTH CARE | 0.3 | % | ||||||||||
Sabra Health Care LP, 5.125%, due 8/15/26 | 70,000 | 78,415 | ||||||||||
Welltower, Inc., 3.625%, due 3/15/24 | 390,000 | 415,924 | ||||||||||
Welltower, Inc., 4.50%, due 1/15/24 | 400,000 | 429,665 | ||||||||||
|
| |||||||||||
924,004 | ||||||||||||
|
| |||||||||||
NET LEASE | 0.6 | % | ||||||||||
Highwoods Realty LP, 3.625%, due 1/15/23 | 250,000 | 257,401 | ||||||||||
VEREIT Operating Partnership LP, 4.60%, due 2/6/24 | 100,000 | 107,972 | ||||||||||
VEREIT Operating Partnership LP, 4.625%, due 11/1/25 | 300,000 | 337,439 | ||||||||||
WP Carey, Inc., 4.00%, due 2/1/25 | 116,000 | 126,187 | ||||||||||
WP Carey, Inc., 4.60%, due 4/1/24 | 600,000 | 651,202 | ||||||||||
|
| |||||||||||
1,480,201 | ||||||||||||
|
|
12
Principal Amount | Value | |||||||||||
OFFICE | 0.4 | % | ||||||||||
Boston Properties LP, 3.80%, due 2/1/24 | $ | 300,000 | $ | 318,857 | ||||||||
Brandywine Operating Partnership LP 3.95%, due 2/15/23 | 275,000 | 285,353 | ||||||||||
Kilroy Realty LP, 3.45%, due 12/15/24 | 396,000 | 422,887 | ||||||||||
Office Properties Income Trust, 4.00%, due 7/15/22 | 100,000 | 102,327 | ||||||||||
|
| |||||||||||
1,129,424 | ||||||||||||
|
| |||||||||||
SELF STORAGE | 0.2 | % | ||||||||||
CubeSmart LP, 3.125%, due 9/1/26 | 290,000 | 308,977 | ||||||||||
CubeSmart LP, 4.375%, due 12/15/23 | 270,000 | 289,415 | ||||||||||
|
| |||||||||||
598,392 | ||||||||||||
|
| |||||||||||
SHOPPING CENTERS | 0.3 | % | ||||||||||
Kimco Realty Corp., 3.125%, due 6/1/23 | 85,000 | 88,122 | ||||||||||
Kimco Realty Corp., 3.50%, due 4/15/23 | 256,000 | 265,692 | ||||||||||
Kimco Realty Corp., 3.85%, due 6/1/25 | 150,000 | 161,278 | ||||||||||
Kimco Realty Corp., 4.45%, due 1/15/24 | 300,000 | 320,598 | ||||||||||
|
| |||||||||||
835,690 | ||||||||||||
|
| |||||||||||
TOTAL REAL ESTATE | 6,646,301 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS | 11,941,188 | |||||||||||
|
| |||||||||||
U.S. TREASURY INFLATION-PROTECTED SECURITIES | 0.1 | % | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 2.375%, due 1/15/25 | 362,023 | 415,692 | ||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY INFLATION-PROTECTED SECURITIES |
| 415,692 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS | 32.0 | % | ||||||||||
MONEY MARKET FUNDS | 5.3 | % | ||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class I, 0.01%(j) | 13,908,732 | 13,908,732 | ||||||||||
|
| |||||||||||
Principal Amount | ||||||||||||
U.S. TREASURY BILLS | 26.7 | % | ||||||||||
United States Treasury Bills, 0.047%, due 10/7/21(l),(m) | $ | 4,055,000 | 4,054,969 | |||||||||
United States Treasury Bills, 0.048%, due 10/7/21(l) | 5,056,000 | 5,055,960 |
13
Principal Amount | Value | |||||||||||
United States Treasury Bills, 0.046%, due 10/14/21(l) | $ | 8,862,000 | $ | 8,861,854 | ||||||||
United States Treasury Bills, 0.047%, due 10/28/21(l) | 538,000 | 537,981 | ||||||||||
United States Treasury Bills, 0.047%, due 10/28/21(l) | 4,845,000 | 4,844,831 | ||||||||||
United States Treasury Bills, 0.048%, due 11/4/21(l),(m) | 2,130,000 | 2,129,906 | ||||||||||
United States Treasury Bills, 0.048%, due 11/4/21(l) | 17,543,000 | 17,542,213 | ||||||||||
United States Treasury Bills, 0.046%, due 11/12/21(l) | 2,929,000 | 2,928,845 | ||||||||||
United States Treasury Bills, 0.056%, due 11/18/21(l) | 718,000 | 717,947 | ||||||||||
United States Treasury Bills, 0.046%, due 11/26/21(l) | 10,354,000 | 10,353,267 | ||||||||||
United States Treasury Bills, 0.038%, due 12/9/21(l) | 8,942,000 | 8,941,600 | ||||||||||
United States Treasury Bills, 0.032%, due 12/30/21(l) | 4,287,000 | 4,286,625 | ||||||||||
|
| |||||||||||
70,255,998 | ||||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS | 84,164,730 | |||||||||||
|
| |||||||||||
PURCHASED OPTION CONTRACTS (Premiums paid—$47,995) | 0.0 | % | 38,165 | |||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$242,985,963) | 100.7 | % | 265,217,050 | |||||||||
WRITTEN OPTION CONTRACTS | (0.0 | ) | (35,700 | ) | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(n) | (0.7 | ) | (1,846,804 | ) | ||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 263,334,546 | ||||||||
|
|
|
|
Exchange-Traded Option Contracts
Purchased Options | ||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(o) | Premiums Paid | Value | ||||||||||||||||||
Put — WTI Crude Oil | $ 68.00 | 12/15/21 | 17 | $ | 1,261,230 | $ | 47,995 | $ | 38,165 | |||||||||||||||
| ||||||||||||||||||||||||
Written Options | ||||||||||||||||||||||||
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount(o) | Premiums Received | Value | ||||||||||||||||||
Put — WTI Crude Oil | $ 62.00 | 12/15/21 | (34 | ) | $ | (2,522,460 | ) | $ | (44,090 | ) | $ | (35,700 | ) | |||||||||||
|
14
Glossary of Portfolio Abbreviations
ADR | American Depositary Receipt | |
CAD | Canadian Dollar | |
FRN | Floating Rate Note | |
GBP | Great British Pound | |
LIBOR | London Interbank Offered Rate | |
REIT | Real Estate Investment Trust | |
SPDR | Standard & Poor’s Depositary Receipt | |
USD | United States Dollar |
Note: Percentages indicated are based on the net assets of the Fund.
(a) | 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 $10,686,326 which represents 4.1% of the net assets of the Fund, of which 0.0% are illiquid. |
(b) | Non-income producing security. |
(c) | Security value is determined based on significant unobservable inputs (Level 3). |
(d) | Restricted security. Aggregate holdings equal 0.1% of the net assets of the Fund. This security was acquired on September 29, 2021 at a cost of $375,000. |
(e) | Stapled security - consists of unit of a trust and a share of the company which cannot be sold separately. |
(f) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. |
(g) | Security converts to floating rate after the indicated fixed-rate coupon period. |
(h) | Variable rate. Rate shown is in effect at September 30, 2021. |
(i) | Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $1,647,790 which represents 0.6% of the net assets of the Fund, of which 0.0% are illiquid. |
(j) | 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 $2,309,980 or 0.9% of the net assets of the Fund. |
(k) | Rate quoted represents the annualized seven-day yield. |
(l) | The rate shown is the effective yield on the date of purchase. |
(m) | All or a portion of this security has been pledged as collateral for futures contracts. $8,274,658 in aggregate has been pledged as collateral to Morgan Stanley & Co. LLC. |
(n) | Liabilities in excess of other assets include unrealized appreciation/depreciation on open futures contracts at September 30, 2021. |
(o) | Amount represents number of contracts multiplied by notional contract size multiplied by the underlying price. |
15
Futures Contracts | ||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
LONG FUTURES OUTSTANDING |
| |||||||||||||||||
Aluminum HG LME | 110 | November 15, 2021 | $ | 6,733,219 | $ | 7,856,062 | $ | 1,122,843 | ||||||||||
Aluminum HG LME | 97 | December 15, 2021 | 5,725,718 | 6,928,831 | 1,203,113 | |||||||||||||
Aluminum HG LME | 48 | January 17, 2022 | 2,942,638 | 3,422,100 | 479,462 | |||||||||||||
Aluminum HG LME | 52 | February 14, 2022 | 3,534,515 | 3,702,400 | 167,885 | |||||||||||||
Brent Crude Oil(a) | 48 | November 30, 2021 | 3,470,888 | 3,721,440 | 250,552 | |||||||||||||
Cattle Feeder(a) | 9 | November 18, 2021 | 740,315 | 688,050 | (52,265 | ) | ||||||||||||
Coffee C | 14 | December 20, 2021 | 939,131 | 1,018,500 | 79,369 | |||||||||||||
Coffee C | 37 | May 18, 2022 | 2,729,035 | 2,745,863 | 16,828 | |||||||||||||
Coffee Robusta | 25 | November 24, 2021 | 493,644 | 531,500 | 37,856 | |||||||||||||
Copper | 37 | March 29, 2022 | 3,997,319 | 3,767,062 | (230,257 | ) | ||||||||||||
Corn | 173 | December 14, 2021 | 4,735,862 | 4,642,887 | (92,975 | ) | ||||||||||||
Cotton No. 2 | 17 | December 8, 2021 | 737,518 | 899,300 | 161,782 | |||||||||||||
Gasoline | 45 | October 29, 2021 | 3,867,718 | 4,146,660 | 278,942 | |||||||||||||
Gold | 37 | December 29, 2021 | 6,665,615 | 6,500,900 | (164,715 | ) | ||||||||||||
Kc Wheat | 33 | May 13, 2022 | 1,213,766 | 1,223,475 | 9,709 | |||||||||||||
Lean Hogs(a) | 9 | December 14, 2021 | 288,815 | 307,440 | 18,625 | |||||||||||||
Lean Hogs(a) | 6 | February 14, 2022 | 199,407 | 209,340 | 9,933 | |||||||||||||
Live Cattle | 20 | December 31, 2021 | 1,067,630 | 1,005,800 | (61,830 | ) | ||||||||||||
Live Cattle | 27 | February 28, 2022 | 1,458,231 | 1,411,020 | (47,211 | ) | ||||||||||||
Live Cattle | 25 | April 29, 2022 | 1,386,555 | 1,339,000 | (47,555 | ) | ||||||||||||
Low Sulphur Gasoil | 38 | November 11, 2021 | 2,336,315 | 2,566,900 | 230,585 | |||||||||||||
Low Sulphur Gasoil | 38 | December 10, 2021 | 2,302,251 | 2,549,800 | 247,549 | |||||||||||||
Low Sulphur Gasoil | 39 | January 12, 2022 | 2,485,047 | 2,600,325 | 115,278 | |||||||||||||
Natural Gas | 189 | October 27, 2021 | 9,108,329 | 11,088,630 | 1,980,301 | |||||||||||||
Nickel LME | 15 | October 18, 2021 | 1,611,955 | 1,615,095 | 3,140 | |||||||||||||
Nickel LME | 17 | November 15, 2021 | 1,998,272 | 1,829,931 | (168,341 | ) | ||||||||||||
NY Harbor ULSD | 39 | October 29, 2021 | 3,403,792 | 3,830,463 | 426,671 | |||||||||||||
NY Harbor ULSD | 10 | December 31, 2021 | 956,834 | 975,240 | 18,406 | |||||||||||||
NY Harbor ULSD | 11 | March 31, 2022 | 973,542 | 1,043,658 | 70,116 | |||||||||||||
Silver | 20 | December 29, 2021 | 2,531,232 | 2,204,700 | (326,532 | ) | ||||||||||||
Soybean | 59 | November 12, 2021 | 3,897,497 | 3,705,200 | (192,297 | ) | ||||||||||||
Soybean Meal | 5 | December 14, 2021 | 178,735 | 164,350 | (14,385 | ) | ||||||||||||
Soybean Meal | 52 | January 14, 2022 | 1,781,773 | 1,721,200 | (60,573 | ) | ||||||||||||
Soybean Oil | 10 | December 14, 2021 | 373,577 | 352,140 | (21,437 | ) | ||||||||||||
Soybean Oil | 77 | May 13, 2022 | 2,713,820 | 2,674,518 | (39,302 | ) | ||||||||||||
Sugar 11 | 38 | February 28, 2022 | 864,657 | 865,670 | 1,013 | |||||||||||||
Sugar 11 | 55 | April 29, 2022 | 1,215,078 | 1,217,216 | 2,138 | |||||||||||||
Wheat | 55 | May 13, 2022 | 2,043,327 | 2,033,625 | (9,702 | ) |
16
Futures Contracts (continued) | ||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
WTI Crude Oil | 34 | October 20, 2021 | $ | 2,296,001 | $ | 2,551,020 | $ | 255,019 | ||||||||||
WTI Crude Oil | 52 | March 22, 2022 | 3,526,560 | 3,763,760 | 237,200 | |||||||||||||
Zinc LME | 27 | October 18, 2021 | 1,932,599 | 2,010,994 | 78,395 | |||||||||||||
Zinc LME | 6 | November 15, 2021 | 464,476 | 447,675 | (16,801 | ) | ||||||||||||
Zinc LME | 26 | December 13, 2021 | 1,910,770 | 1,941,550 | 30,780 | |||||||||||||
Zinc LME | 28 | January 17, 2022 | 2,098,002 | 2,091,600 | (6,402 | ) | ||||||||||||
Zinc LME | 27 | February 14, 2022 | 2,010,755 | 2,016,563 | 5,808 | |||||||||||||
|
| |||||||||||||||||
$ | 107,942,735 | $ | 113,929,453 | $ | 5,986,718 | |||||||||||||
|
| |||||||||||||||||
SHORT FUTURES OUTSTANDING |
| |||||||||||||||||
Aluminum HG LME | 93 | November 15, 2021 | (5,875,303 | ) | (6,641,944 | ) | (766,641 | ) | ||||||||||
Aluminum HG LME | 97 | December 15, 2021 | (6,090,345 | ) | (6,928,831 | ) | (838,486 | ) | ||||||||||
Aluminum HG LME | 48 | January 17, 2022 | (2,902,924 | ) | (3,422,100 | ) | (519,176 | ) | ||||||||||
Copper | 15 | December 29, 2021 | (1,593,005 | ) | (1,533,375 | ) | 59,630 | |||||||||||
Gasoline | 19 | April 29, 2022 | (1,775,283 | ) | (1,798,772 | ) | (23,489 | ) | ||||||||||
Low Sulphur Gasoil | 41 | May 12, 2022 | (2,633,752 | ) | (2,660,900 | ) | (27,148 | ) | ||||||||||
Nickel LME | 15 | October 18, 2021 | (1,731,635 | ) | (1,615,095 | ) | 116,540 | |||||||||||
Nickel LME | 10 | November 15, 2021 | (1,139,917 | ) | (1,076,430 | ) | 63,487 | |||||||||||
NY Harbor ULSD | 31 | April 29, 2022 | (2,873,804 | ) | (2,919,084 | ) | (45,280 | ) | ||||||||||
Zinc LME | 27 | October 18, 2021 | (1,982,170 | ) | (2,010,994 | ) | (28,824 | ) | ||||||||||
Zinc LME | 24 | November 15, 2021 | (1,790,185 | ) | (1,790,700 | ) | (515 | ) | ||||||||||
Zinc LME | 26 | December 13, 2021 | (1,934,467 | ) | (1,941,550 | ) | (7,083 | ) | ||||||||||
Zinc LME | 27 | February 14, 2022 | (2,022,370 | ) | (2,016,562 | ) | 5,808 | |||||||||||
|
| |||||||||||||||||
$ | (34,345,160 | ) | $ | (36,356,337 | ) | $ | (2,011,177 | ) | ||||||||||
|
|
(a) | Futures contracts are cash settled based upon the price of the underlying commodity. |
Glossary of Portfolio Abbreviations
HG | High Grade | |
LME | London Metal Exchange | |
ULSD | Ultra Low Sulfur Diesel |
17
Country Summary | % of Net Assets | |||
United States | 67.6 | |||
Canada | 5.0 | |||
Japan | 4.5 | |||
United Kingdom | 3.1 | |||
France | 2.8 | |||
Australia | 2.5 | |||
Germany | 1.5 | |||
Hong Kong | 1.2 | |||
Spain | 0.8 | |||
China | 0.8 | |||
Singapore | 0.8 | |||
Italy | 0.5 | |||
Sweden | 0.5 | |||
South Africa | 0.5 | |||
Chile | 0.5 | |||
India | 0.5 | |||
Other | 6.9 | |||
|
| |||
100.0 | ||||
|
|
18
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED 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. Futures contracts traded on a commodities exchange or board of trade are valued at their settlement price at the close of trading on such exchange or board of trade. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.
Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity securities 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 (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
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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.
Foreign equity fair value pricing procedures utilized by the Fund may cause certain non-U.S. equity holdings to be fair valued on the basis of fair value factors provided by a pricing service to reflect any significant market movements between the time the Fund values such securities and the earlier closing of foreign markets.
The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.
Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.
• | Level 1 — quoted prices in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the inputs used as of September 30, 2021 in valuing the Fund’s investments carried at value:
Total | Quoted Prices in Active Markets for Identical Investments (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Common Stock: | ||||||||||||||||
Consumer Staples—Foreign | $ | 626,075 | $ | 30,269 | $ | 595,806 | $ | — | ||||||||
Consumer—Non-Cyclical | 7,697,219 | 7,391,263 | 305,956 | — | ||||||||||||
Electric—Foreign | 2,570,358 | 591,921 | 1,978,437 | — | ||||||||||||
Energy | 20,479,484 | 14,443,716 | 6,035,768 | — | ||||||||||||
Food | 259,500 | — | — | 259,500 | (a) | |||||||||||
Industrial | 857,139 | 631,607 | 225,532 | — |
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Infrastructure—Foreign | 7,212,367 | 6,141,731 | 1,070,636 | — | ||||||||||||
Marine Port—Foreign | 249,029 | — | 249,029 | — | ||||||||||||
Materials | 15,999,179 | 9,427,830 | 6,571,349 | — | ||||||||||||
Railways—Foreign | 1,050,120 | 202,980 | 847,140 | — | ||||||||||||
Real Estate | 57,149,174 | 39,329,952 | 17,819,222 | — | ||||||||||||
Toll Roads—Foreign | 3,229,971 | 169,888 | 3,060,083 | — | ||||||||||||
Utilities | 5,596,339 | 4,164,777 | 1,431,562 | — | ||||||||||||
Other | 20,983,719 | 20,983,719 | — | — | ||||||||||||
Exchange-Traded Funds | 10,171,512 | 10,171,512 | — | — | ||||||||||||
Preferred Securities— $25 Par Value | 1,593,645 | 1,593,645 | — | — | ||||||||||||
Preferred Securities— Capital Securities | 12,932,445 | — | 12,932,445 | — | ||||||||||||
Corporate Bonds | 11,941,188 | — | 11,941,188 | — | ||||||||||||
U.S. Treasury Inflation Protected Bonds | 415,692 | — | 415,692 | — | ||||||||||||
Short-Term Investments | 84,164,730 | — | 84,164,730 | — | ||||||||||||
Purchased Option Contracts | 38,165 | 38,165 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities(b) | $ | 265,217,050 | $ | 115,312,975 | $ | 149,644,575 | $ | 259,500 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 7,784,763 | $ | 7,784,763 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Assets(b) | $ | 7,784,763 | $ | 7,784,763 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (3,809,222 | ) | $ | (3,809,222 | ) | $ | — | $ | — | ||||||
Written Option Contracts | (35,700 | ) | (35,700 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Derivative Liabilities(b) | $ | (3,844,922 | ) | $ | (3,844,922 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(a) | Private placement in a public equity has been fair valued by the Valuation Committee at a discount to quoted market price to reflect limited liquidity, pursuant to the Fund’s fair value procedures and classified as a Level 3 security. |
(b) | Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments. |
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED 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:
Common Stock— Food | ||||
Balance as of December 31, 2020 | $ | — | ||
Purchases | 375,000 | |||
Change in unrealized appreciation (depreciation) | (115,500 | ) | ||
|
| |||
Balance as of September 30, 2021 | $ | 259,500 | ||
|
|
The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2021 which were valued using significant unobservable inputs (Level 3) amounted to $(115,500).
The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy.
Fair Value at September 30, 2021 | Valuation Technique | Unobservable Inputs | Amount | Valuation Impact from an Increase in Input(a) | ||||||||||||||||
Common Stock— | $ | 259,500 | | Market Price Less Discount | | Liquidity Discount | 4.03 | % | Decrease |
(a) | Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may result in a materially higher or lower fair value measurement. |
Note 2. Derivative Investments
Futures Contracts: The Fund uses futures contracts in order to gain exposure to the underlying commodities markets. Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in unrealized appreciation or depreciation on futures. Realized gain or loss, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, is reported at the closing or expiration of the futures contract. Securities deposited as initial margin are designated as such on the Consolidated Schedule of Investments and cash deposited is recorded. A receivable from and/or a payable to brokers for the daily variation margin is also recorded.
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss, up to the notional value of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. With exchange traded futures contracts, the exchange or board of trade acts as the counterparty to futures transactions; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Additionally, credit risk exists in exchange traded futures contracts with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of certain positions. In certain circumstances, the futures commission merchant (FCM) can require additional margin on the futures contracts which would subject the Fund to counterparty credit risk with the FCM.
Morgan Stanley & Co. LLC serves as the Fund’s FCM for the purpose of trading in commodity futures contracts, options and interests therein.
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 Consolidated Statement of Assets 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 index or security. 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.
Unfunded Subscription Agreement: The Fund entered into a subscription agreement with Star Peak Corp. II (NYSE: STPC), a special purpose acquisition company (SPAC) to purchase $375,000 of unregistered shares of Benson Hill, Inc. Among other closing conditions, the closing of the Fund’s subscription for the shares was conditioned upon the substantially concurrent consummation of the business combination of STPC and Benson Hill. This business combination required approval by shareholders of STPC. During September 2021, the subscription agreement was closed. At closing, the Fund delivered cash in the amount of the purchase price and received unregistered shares of Benson Hill, Inc. that will be registered within 90 days.
At September 30, 2021, the Fund did not have an unfunded subscription agreement outstanding.
COHEN & STEERS REAL ASSETS FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following summarizes the volume of the Fund’s futures contracts and option contracts activity during the nine months ended September 30, 2021:
Futures Contracts | ||||
Average Notional Amount—Long | $ | 87,351,615 | ||
Average Notional Amount—Short | (26,674,017 | ) |
Purchased Option Contracts | Written Option Contracts | |||||||
Average Notional Amount(a),(b) | $ | 1,795,614 | $ | 2,047,860 |
(a) | Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end. For the period, this represents four months for purchased option contracts and four months for written option contracts. |
(b) | Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price. |