UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-21948

 

Cohen & Steers Closed-End Opportunity Fund, Inc.

(Exact name of registrant as specified in charter)

 

280 Park Avenue

New York, NY

 

10017

(Address of principal executive offices)

 

(Zip code)

 

Tina M. Payne

280 Park Avenue

New York, NY 10017

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(212) 832-3232

 

 

Date of fiscal year end:

December 31

 

 

Date of reporting period:

March 31, 2016

 

 



 

Item 1. Schedule of Investments

 



 

COHEN & STEERS CLOSED-END OPPORTUNITY FUND, INC.

 

SCHEDULE OF INVESTMENTS

March 31, 2016 (Unaudited)

 

 

 

Number
of Shares

 

Value

 

CLOSED-END FUNDS 97.3%

 

 

 

 

 

COVERED CALL 15.3%

 

 

 

 

 

AllianzGI NFJ Dividend, Interest & Premium Strategy Fund

 

28,540

 

$

349,900

 

BlackRock Enhanced Capital and Income Fund

 

132,250

 

1,790,665

 

Columbia Seligman Premium Technology Growth Fund

 

10,222

 

183,996

 

Eaton Vance Enhanced Equity Income Fund II

 

64,524

 

835,586

 

Eaton Vance Tax-Managed Buy-Write Opportunities Fund

 

940,618

 

13,827,085

 

Eaton Vance Tax-Managed Diversified Equity Income Fund

 

1,270,719

 

13,558,572

 

Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund

 

513,673

 

5,414,113

 

Eaton Vance Tax-Managed Global Diversified Equity Income Fund

 

1,501,314

 

13,181,537

 

Nuveen Dow 30SM Dynamic Overwrite Fund

 

60,491

 

853,528

 

Nuveen S&P 500 Buy-Write Income Fund

 

117,064

 

1,489,054

 

 

 

 

 

51,484,036

 

EMERGING MARKETS EQUITY 0.9%

 

 

 

 

 

iShares MSCI Emerging Markets ETF

 

41,035

 

1,405,449

 

Templeton Emerging Markets Fund

 

47,753

 

516,687

 

Templeton Emerging Markets Investment Trust PLC

 

158,760

 

1,034,978

 

 

 

 

 

2,957,114

 

EQUITY TAX—ADVANTAGED 18.2%

 

 

 

 

 

Eaton Vance Tax-Advantaged Dividend Income Fund

 

939,621

 

18,031,327

 

Eaton Vance Tax-Advantaged Global Dividend Income Fund

 

383,660

 

5,543,887

 

Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund

 

141,275

 

3,050,127

 

Gabelli Dividend & Income Trust

 

850,855

 

15,723,801

 

John Hancock Tax-Advantaged Dividend Income Fund

 

594,056

 

13,544,477

 

Nuveen Tax-Advantaged Dividend Growth Fund

 

183,827

 

2,518,430

 

Nuveen Tax-Advantaged Total Return Strategy Fund

 

218,821

 

2,472,677

 

 

 

 

 

60,884,726

 

FINANCIAL 1.0%

 

 

 

 

 

Financial Select Sector SPDR Fund

 

151,884

 

3,418,909

 

GLOBAL HYBRID (GROWTH & INCOME) 2.1%

 

 

 

 

 

Clough Global Opportunities Fund

 

437,521

 

4,191,451

 

LMP Capital and Income Fund

 

240,611

 

2,976,358

 

 

 

 

 

7,167,809

 

 

1



 

 

 

Number
of Shares

 

Value

 

HIGH YIELD 1.2%

 

 

 

 

 

New America High Income Fund

 

128,421

 

$

1,036,357

 

Pioneer High Income Trust

 

304,120

 

3,053,365

 

 

 

 

 

4,089,722

 

INVESTMENT GRADE 1.3%

 

 

 

 

 

PIMCO Corporate and Income Opportunity Fund

 

326,583

 

4,451,327

 

MASTER LIMITED PARTNERSHIPS 9.4%

 

 

 

 

 

ClearBridge Energy MLP Fund

 

77,337

 

1,049,463

 

ClearBridge Energy MLP Opportunity Fund

 

76,803

 

865,570

 

Fiduciary/Claymore MLP Opportunity Fund

 

107,670

 

1,181,140

 

First Trust Energy Income and Growth Fund

 

491,505

 

11,368,511

 

First Trust MLP and Energy Income Fund

 

126,512

 

1,720,563

 

First Trust New Opportunities MLP & Energy Fund

 

249,449

 

2,993,388

 

Kayne Anderson Energy Total Return Fund

 

263,168

 

2,142,188

 

Kayne Anderson MLP Investment Company

 

247,821

 

4,106,394

 

Nuveen Energy MLP Total Return Fund

 

140,649

 

1,427,587

 

Tortoise Energy Infrastructure Corp.

 

136,742

 

3,363,853

 

Tortoise MLP Fund

 

84,742

 

1,384,684

 

 

 

 

 

31,603,341

 

MULTI-SECTOR 15.2%

 

 

 

 

 

AllianzGI Convertible & Income Fund

 

954,280

 

5,286,711

 

AllianzGI Convertible & Income Fund II

 

760,411

 

3,710,806

 

PIMCO Dynamic Credit Income Fund

 

587,774

 

10,250,779

 

PIMCO Dynamic Income Fund

 

365,468

 

9,520,441

 

PIMCO High Income Fund

 

605,754

 

5,397,268

 

PIMCO Income Opportunity Fund

 

373,237

 

7,744,668

 

PIMCO Income Strategy Fund II

 

1,042,402

 

9,121,017

 

 

 

 

 

51,031,690

 

MUNICIPAL 9.2%

 

 

 

 

 

BlackRock Long-Term Municipal Advantage Trust

 

93,512

 

1,112,793

 

BlackRock Municipal Bond Trust

 

46,671

 

798,074

 

BlackRock MuniEnhanced Fund

 

137,962

 

1,706,590

 

BlackRock MuniHoldings Investment Quality Fund

 

208,941

 

3,167,546

 

BlackRock MuniHoldings Quality Fund

 

81,895

 

1,150,625

 

BlackRock MuniHoldings Quality Fund II

 

47,966

 

672,483

 

BlackRock MuniYield Investment Quality Fund

 

41,674

 

607,607

 

BlackRock MuniYield Quality Fund

 

43,576

 

708,110

 

BlackRock MuniYield Quality Fund II

 

56,169

 

785,804

 

BlackRock MuniYield Quality Fund III

 

120,270

 

1,813,672

 

 

2



 

 

 

Number
of Shares

 

Value

 

Eaton Vance Municipal Bond Fund

 

111,277

 

$

1,479,984

 

Eaton Vance Municipal Income 2028 Term Trust

 

27,526

 

543,638

 

Eaton Vance National Municipal Opportunities Trust

 

23,875

 

532,651

 

Invesco Municipal Opportunity Trust

 

113,453

 

1,583,804

 

Nuveen AMT-Free Municipal Income Fund

 

61,386

 

872,295

 

Nuveen California AMT-Free Municipal Income Fund

 

45,852

 

734,549

 

Nuveen Dividend Advantage Municipal Fund 2

 

64,129

 

952,316

 

Nuveen Dividend Advantage Municipal Fund 3

 

29,246

 

437,813

 

Nuveen Municipal Advantage Fund

 

30,478

 

437,359

 

Nuveen Municipal Market Opportunity Fund

 

72,936

 

1,037,150

 

Nuveen New York AMT-Free Municipal Income Fund

 

32,534

 

437,257

 

Nuveen Premier Municipal Income Fund

 

56,907

 

803,527

 

Nuveen Premium Income Municipal Fund 2

 

95,586

 

1,407,026

 

Nuveen Premium Income Municipal Fund 4

 

66,249

 

928,811

 

Nuveen Select Quality Municipal Fund

 

30,332

 

444,667

 

PIMCO Municipal Income Fund II

 

289,062

 

3,830,071

 

PIMCO Municipal Income Fund III

 

139,784

 

1,691,386

 

Pioneer Municipal High Income Advantage Trust

 

22,894

 

317,540

 

 

 

 

 

30,995,148

 

PREFERRED 5.2%

 

 

 

 

 

Flaherty & Crumrine Preferred Securities Income Fund

 

46,614

 

948,595

 

Flaherty & Crumrine Total Return Fund

 

102,860

 

2,086,001

 

Nuveen Preferred & Income Term Fund

 

150,512

 

3,524,991

 

Nuveen Preferred Income Opportunities Fund

 

1,146,657

 

10,732,709

 

 

 

 

 

17,292,296

 

REAL ESTATE 2.7%

 

 

 

 

 

Alpine Global Premier Properties Fund

 

123,510

 

690,421

 

CBRE Clarion Global Real Estate Income Fund

 

197,819

 

1,544,966

 

Nuveen Real Estate Income Fund

 

620,934

 

6,730,925

 

 

 

 

 

8,966,312

 

SENIOR LOAN 7.4%

 

 

 

 

 

Ares Dynamic Credit Allocation Fund

 

121,172

 

1,621,281

 

BlackRock Floating Rate Income Trust Fund

 

52,874

 

678,373

 

Eaton Vance Floating-Rate Income Trust

 

87,891

 

1,156,646

 

Eaton Vance Senior Floating-Rate Trust

 

137,727

 

1,765,660

 

Eaton Vance Senior Income Trust

 

237,099

 

1,372,803

 

First Trust Senior Floating Rate Income Fund II

 

97,277

 

1,251,955

 

Invesco Dynamic Credit Opportunities Fund

 

212,619

 

2,285,654

 

Nuveen Credit Strategies Income Fund

 

1,337,969

 

10,583,335

 

 

3



 

 

 

 

 

Number
of Shares

 

Value

 

Nuveen Floating Rate Income Fund

 

 

 

117,151

 

$

1,179,711

 

Nuveen Floating Rate Income Opportunity Fund

 

 

 

136,626

 

1,351,231

 

Nuveen Senior Income Fund

 

 

 

128,054

 

755,519

 

Pioneer Floating Rate Trust

 

 

 

77,110

 

862,861

 

 

 

 

 

 

 

24,865,029

 

U.S. GENERAL EQUITY 8.2%

 

 

 

 

 

 

 

Consumer Discretionary Select Sector SPDR Fund

 

 

 

61,956

 

4,897,622

 

Gabelli Equity Trust

 

 

 

1,375,572

 

7,469,356

 

Source Capital

 

 

 

19,697

 

701,607

 

SPDR S&P 500 ETF Trust

 

 

 

50,454

 

10,371,324

 

Vanguard S&P 500 ETF Trust

 

 

 

20,739

 

3,910,546

 

 

 

 

 

 

 

27,350,455

 

TOTAL CLOSED-END FUNDS
(Identified cost—$310,553,239)

 

 

 

 

 

326,557,914

 

SHORT-TERM INVESTMENTS 0.7%

 

 

 

 

 

 

 

MONEY MARKET FUNDS

 

 

 

 

 

 

 

State Street Institutional Treasury Money Market Fund, 0.19%(a)

 

 

 

2,200,000

 

2,200,000

 

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$2,200,000)

 

 

 

 

 

2,200,000

 

TOTAL INVESTMENTS (Identified cost—$312,753,239)

 

98.0

%

 

 

328,757,914

 

OTHER ASSETS IN EXCESS OF LIABILITIES

 

2.0

 

 

 

6,836,366

 

NET ASSETS (Equivalent to $12.33 per share based on 27,209,148 shares of common stock outstanding)

 

100.0

%

 

 

$

335,594,280

 

 

 

Glossary of Portfolio Abbreviations

 

 

 

 

ETF

Exchange-Traded Fund

 

MLP

Master Limited Partnership

 

SPDR

Standard & Poor’s Depositary Receipt

 

 


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

(a) Rate quoted represents the annualized seven-day yield of the Fund.

 

4



 

Cohen & Steers Closed-End Opportunity Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

 

Note 1. Portfolio Valuation

 

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price.

 

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges 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 over-the-counter market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment manager) to be over-the-counter, are valued at the last sale price on the valuation date as reported by sources deemed appropriate by the Board of Directors to reflect their fair market value. 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.

 

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.

 

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment manager, subject to the oversight of the Board of Directors. The investment manager 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 manager determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of 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

 



 

Cohen & Steers Closed-End Opportunity Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

 

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

 

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

 

·      Level 1 — quoted prices in active markets for identical investments

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

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

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 no transfers between Level 1 and Level 2 securities as of March 31, 2016.

 

The following is a summary of the inputs used as of March 31, 2016 in valuing the Fund’s investments carried at value:

 

 

 

 

 

Quoted Prices In
Active Markets for
Identical
Investments

 

Other
Significant
Observable
Inputs

 

Significant
Unobservable
Inputs

 

 

 

Total

 

(Level 1)

 

(Level 2)

 

(Level 3)

 

Closed-End Funds

 

$

326,557,914

 

$

326,557,914

 

$

 

$

 

Short-Term Investments

 

2,200,000

 

 

2,200,000

 

 

Total Investments(a)

 

$

328,757,914

 

$

326,557,914

 

$

2,200,000

 

$

 

 


(a) Portfolio holdings are disclosed individually on the Schedule of Investments.

 



 

Cohen & Steers Closed-End Opportunity Fund, Inc.

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

Note 2.   Income Tax Information

 

As of March 31, 2016, the federal tax cost and net unrealized appreciation and depreciation in value of securities held were as follows:

 

Cost for federal income tax purposes

 

$

312,753,239

 

Gross unrealized appreciation

 

$

39,915,197

 

Gross unrealized depreciation

 

(23,910,522

)

Net unrealized appreciation

 

$

16,004,675

 

 



 

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 CLOSED-END OPPORTUNITY FUND, INC.

 

 

By:

/s/ Adam M. Derechin

 

 

Name: Adam M. Derechin

 

 

Title: President

 

 

 

 

 

Date: May 26, 2016

 

 

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

 

 

Name: James Giallanza

 

Title: President and Principal

 

 

Title: Treasurer and Principal

 

Executive Officer

 

 

Financial Officer

 

 

 

 

 

 

Date: May 26, 2016