NPORT-EX 2 FC26FC022822.htm flc-nq_022822


1

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS

February 28, 2022 (Unaudited) 

 

Shares/$ Par

Value

Preferred Stock & Hybrid Preferred Securities§ — 73.2%

 

Banking — 34.1%

$675,000

American AgCredit Corporation, 5.25% to 06/15/26 then T5Y + 4.50%, Series A, 144A****

$673,313

*(1) 

$1,990,000

Bank of America Corporation, 5.875% to 03/15/28 then 3ML + 2.931%, Series FF

 2,049,700

*(1)(2) 

34,400

Cadence Bank, 5.50%, Series A

 870,836

*(1) 

 

Capital One Financial Corporation:

17,820

5.00%, Series I

 426,165

*(1)(2) 

$1,180,000

3.95% to 09/01/26 then T5Y + 3.157%, Series M

 1,114,628

*(1) 

 

Citigroup, Inc.:

$600,000

3.875% to 02/18/26 then T5Y + 3.417%, Series X

 573,000

*(1) 

$300,000

4.00% to 12/10/25 then T5Y + 3.597%, Series W

 290,580

*(1) 

$450,000

4.15% to 11/15/26 then T5Y + 3.00%, Series Y

 430,313

*(1) 

$450,000

4.70% to 01/30/25 then SOFRRATE + 3.234%, Series V

 441,585

*(1) 

$1,120,000

5.95% to 05/15/25 then 3ML + 3.905%, Series P

 1,163,400

*(1)(2) 

227,619

6.875% to 11/15/23 then 3ML + 4.13%, Series K

 6,036,456

*(1)(2) 

155,338

7.125% to 09/30/23 then 3ML + 4.04%, Series J

 4,187,881

*(1)(2) 

 

Citizens Financial Group, Inc.:

49,100

6.35% to 04/06/24 then 3ML + 3.642%, Series D

 1,280,774

*(1)(2) 

$1,300,000

6.375% to 04/06/24 then 3ML + 3.157%, Series C

 1,270,750

*(1)(2)(3) 

 

CoBank ACB:

17,500

6.20% to 01/01/25 then 3ML + 3.744%, Series H, 144A****

 1,888,250

*(1)(2) 

25,000

6.25% to 10/01/22 then 3ML + 4.557%, Series F, 144A****

 2,568,750

*(1)(2) 

$609,000

6.25% to 10/01/26 then 3ML + 4.66%, Series I, 144A****

 647,063

*(1)(2)(3) 

$1,150,000

Comerica, Inc., 5.625% to 10/01/25 then T5Y + 5.291%, Series A

 1,198,875

*(1) 

$285,000

Compeer Financial ACA, 4.875% to 08/15/26 then T5Y + 4.095%, Series B-1, 144A****

 282,150

*(1) 

47,900

ConnectOne Bancorp, Inc., 5.25% to 09/01/26 then T5Y + 4.42%, Series A

 1,178,101

*(1) 

39,000

Dime Community Bancshares, Inc., 5.50%, Series A

 944,490

*(1) 

 

Fifth Third Bancorp:

67,291

6.00%, Series A

 1,748,099

*(1)(2) 

182,242

6.625% to 12/31/23 then 3ML + 3.71%, Series I

 4,817,112

*(1)(2) 

19,620

First Citizens BancShares, Inc., 5.375%, Series A

 488,538

*(1) 

 

First Horizon Corporation:

21,200

6.50%, Series E

 567,100

*(1) 

3

FT Real Estate Securities Company, 9.50% 03/31/31, Series B, 144A****

 3,921,375

875

First Horizon Bank, 3ML + 0.85% min 3.75%, 3.75%(4), 144A****

 765,953

*(1) 

22,000

First Republic Bank, 4.00%, Series M

 448,349

*(1) 

11,400

Fulton Financial Corporation, 5.125%, Series A

 270,579

*(1)  


2

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited)

 

Shares/$ Par

Value

 

Goldman Sachs Group:

$300,000

4.95% to 02/10/25 then T5Y + 3.224%, Series R

$302,430

*(1) 

$830,000

5.50% to 08/10/24 then T5Y + 3.623%, Series Q

 855,937

*(1)(2) 

11,687

6.375% to 05/10/24 then 3ML + 3.55%, Series K

 309,986

*(1)(2) 

42,600

Heartland Financial USA, Inc., 7.00% to 07/15/25 then T5Y + 6.675%, Series E

 1,150,839

*(1) 

 

HSBC Holdings PLC:

$1,400,000

HSBC Capital Funding LP, 10.176% to 06/30/30 then 3ML + 4.98%, 144A****

 2,138,500

(1)(2)(5) 

 

Huntington Bancshares, Inc.:

$405,000

4.45% to 10/15/27 then T7Y + 4.045%, Series G

403,988

*(1) 

$1,175,000

5.625% to 07/15/30 then T10Y + 4.945%, Series F

 1,248,437

*(1) 

$1,400,000

5.70% to 04/15/23 then 3ML + 2.88%, Series E

 1,383,200

*(1)(2) 

 

JPMorgan Chase & Company:

$850,000

3.65% to 06/01/26 then T5Y + 2.85%, Series KK

 808,775

*(1) 

$1,000,000

3ML + 3.47%, 3.769%(4), Series I

 997,174

*(1)(2)(3) 

$465,000

5.00% to 08/01/24 then SOFRRATE + 3.38%, Series FF

 468,197

*(1)(2)(3) 

$750,000

6.00% to 08/01/23 then 3ML + 3.30%, Series R

 771,656

*(1)(2)(3) 

$4,791,000

6.75% to 02/01/24 then 3ML + 3.78%, Series S

 5,009,589

*(1)(2)(3) 

78,103

KeyCorp, 6.125% to 12/15/26 then 3ML + 3.892%, Series E

 2,151,253

*(1)(2) 

 

M&T Bank Corporation:

$725,000

3.50% to 09/01/26 then T5Y + 2.679%, Series I

 663,375

*(1) 

$3,500,000

6.45% to 02/15/24 then 3ML + 3.61%, Series E

 3,567,813

*(1)(2)(3) 

21,000

Merchants Bancorp, 6.00% to 10/01/24 then 3ML + 4.569%, Series B

 535,601

*(1) 

 

Morgan Stanley:

$640,000

5.30% to 03/15/23 then 3ML + 3.16%, Series N

 638,996

*(1)(2)(3) 

213,700

5.85% to 04/15/27 then 3ML + 3.491%, Series K

 5,718,612

*(1)(2) 

89,000

6.875% to 01/15/24 then 3ML + 3.94%, Series F

 2,412,790

*(1)(2) 

35,823

7.125% to 10/15/23 then 3ML + 4.32%, Series E

 974,923

*(1)(2) 

235,200

New York Community Bancorp, Inc., 6.375% to 03/17/27 then 3ML + 3.821%, Series A

 6,281,016

*(1)(2) 

67,000

Northpointe Bancshares, Inc., 8.25% to 12/30/25 then SOFRRATE + 7.99%, Series A

 1,796,605

*(1) 

23,066

People’s United Financial, Inc., 5.625% to 12/15/26 then 3ML + 4.02%, Series A

 596,761

*(1) 

$400,000

PNC Financial Services Group, Inc., 3.40% to 09/15/26 then T5Y + 2.595%, Series T

 371,600

*(1) 

 

Regions Financial Corporation:

125,350

5.70% to 08/15/29 then 3ML + 3.148%, Series C

 3,322,088

*(1)(2) 

$775,000

5.75% to 09/15/25 then T5Y + 5.426%, Series D

 809,875

*(1) 

63,000

Signature Bank, 5.00%, Series A

 1,454,670

*(1) 

 

SVB Financial Group:

$825,000

4.00% to 05/15/26 then T5Y + 3.202%, Series C

 776,531

*(1) 

$400,000

4.10% to 02/15/31 then T10Y + 3.064%, Series B

 361,788

*(1)  


3

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited)

 

Shares/$ Par

Value

55,500

Synchrony Financial, 5.625%, Series A

$1,362,669

*(1)(2) 

91,848

Synovus Financial Corporation, 5.875% to 07/01/24 then T5Y + 4.127%, Series E

 2,442,101

*(1)(2)(3) 

35,900

Texas Capital Bancshares Inc., 5.75%, Series B

 887,268

*(1) 

21,000

TriState Capital Holdings, Inc., 6.375% to 07/01/26 then 3ML + 4.088%, Series B

 535,605

*(1) 

 

Truist Financial Corporation:

$1,025,000

4.95% to 12/01/25 then T5Y + 4.605%, Series P

 1,059,891

*(1)(2) 

$585,000

5.10% to 09/01/30 then T10Y + 4.349%, Series Q

 609,863

*(1) 

38,203

Valley National Bancorp, 5.50% to 09/30/22 then 3ML + 3.578%, Series B

 957,176

*(1) 

25,000

Washington Federal, Inc., 4.875%, Series A

 565,375

*(1) 

13,416

Webster Financial Corporation, 6.50%, Series G

 344,524

*(1) 

 

Wells Fargo & Company:

53,000

4.25%, Series DD

1,112,215

*(1) 

41,000

4.70%, Series AA

 939,515

*(1) 

325

7.50%, Series L

 439,562

*(1) 

$925,000

3.90% to 03/15/26 then T5Y + 3.453%, Series BB

 890,891

*(1) 

81,100

5.85% to 09/15/23 then 3ML + 3.09%, Series Q

 2,077,685

*(1)(2) 

$1,250,000

5.875% to 06/15/25 then 3ML + 3.99%, Series U

 1,314,500

*(1)(2)(3) 

106,200

6.625% to 03/15/24 then 3ML + 3.69%, Series R

 2,853,063

*(1)(2) 

49,000

WesBanco, Inc., 6.75% to 11/15/25 then T5Y + 6.557%, Series A

 1,311,485

*(1) 

25,300

Western Alliance Bancorp, 4.25% to 09/30/26 then T5Y + 3.452%, Series A

 629,168

*(1) 

48,000

Wintrust Financial Corporation, 6.875% to 07/15/25 then T5Y + 6.507%, Series E

 1,293,840

*(1) 

$1,800,000

Zions Bancorporation, 7.20% to 09/15/23 then 3ML + 4.44%, Series J

 1,910,898

*(1)(2) 

 

114,364,464

 

Financial Services — 3.1%

$2,530,000

AerCap Holdings NV, 5.875% to 10/10/24 then T5Y + 4.535%, 10/10/79

 2,502,069

**(2)(3)(5) 

 

Ally Financial, Inc.:

$1,390,000

4.70% to 05/15/26 then T5Y + 3.868%, Series B

 1,330,230

*(1) 

$925,000

4.70% to 05/15/28 then T7Y + 3.481%, Series C

 860,250

*(1) 

$775,000

American Express Company, 3.55% to 09/15/26 then T5Y + 2.854%, Series D

 718,813

*(1) 

15,400

Carlyle Finance LLC, 4.625% 05/15/61

 332,076

$880,000

Discover Financial Services, 6.125% to 09/23/25 then T5Y + 5.783%, Series D

 921,800

*(1) 

 

General Motors Financial Company:

$800,000

5.70% to 09/30/30 then T5Y + 4.997%, Series C

 835,224

*(1) 

$610,000

5.75% to 09/30/27 then 3ML + 3.598%, Series A

 611,537

*(1)(2) 

$1,000,000

6.50% to 09/30/28 then 3ML + 3.436%, Series B

 1,034,000

*(1)(2) 

 

Stifel Financial Corp.:

21,000

4.50%, Series D

 440,685

*(1) 

29,000

6.25%, Series B

 744,285

*(1)(2) 

 

10,330,969


4

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited) 

 

Shares/$ Par

Value

 

Insurance — 18.3%

67,000

American Equity Investment Life Holding Company, 5.95% to 12/01/24 then T5Y + 4.322%, Series A

$1,728,265

*(1)(2) 

$2,150,000

American International Group, Inc., 8.175% to 05/15/38 then 3ML + 4.195%, 05/15/58

 3,030,952

(2) 

25,000

Aspen Insurance Holdings Ltd., 5.625%

 598,200

**(1)(2)(5) 

19,300

Assurant, Inc., 5.25% 01/15/61

 469,569

 

Athene Holding Ltd.:

28,800

4.875%, Series D

 621,936

**(1)(5) 

120,000

6.35% to 06/30/29 then 3ML + 4.253%, Series A

 3,261,000

**(1)(2)(5) 

31,000

6.375% to 09/30/25 then T5Y + 5.97%, Series C

 843,665

**(1)(5) 

$620,000

AXA SA, 6.379% to 12/14/36 then 3ML + 2.256%, 144A****

 807,637

**(1)(2)(3)(5) 

$880,000

AXIS Specialty Finance LLC, 4.90% to 01/15/30 then T5Y + 3.186%, 01/15/40

 874,570

(2)(3)(5) 

 

Chubb Ltd.:

$1,440,000

Ace Capital Trust II, 9.70% 04/01/30

 2,016,000

(2)(3) 

16,100

CNO Financial Group, Inc., 5.125% 11/25/60

 373,922

224,200

Delphi Financial Group, 3ML + 3.19%, 3.6964%(4), 05/15/37

 5,156,600

(2)(3) 

 

Enstar Group Ltd.:

61,000

7.00% to 09/01/28 then 3ML + 4.015%, Series D

1,613,602

**(1)(2)(5) 

$720,000

Enstar Finance LLC, 5.50% to 01/15/27 then T5Y + 4.006%, 01/15/42

 694,800

(5) 

$575,000

Enstar Finance LLC, 5.75% to 09/01/25 then T5Y + 5.468%, 09/01/40

 572,499

(5) 

$150,000

Equitable Holdings, Inc., 4.95% to 12/15/25 then T5Y + 4.736%, Series B

 151,200

*(1) 

$1,519,000

Everest Reinsurance Holdings, 3ML + 2.385%, 2.8914%(4), 05/15/37

 1,397,480

(2)(3) 

$1,590,000

Global Atlantic Fin Company, 4.70% to 10/15/26 then T5Y + 3.796%, 10/15/51, 144A****

 1,520,390

$1,000,000

Kuvare US Holdings, Inc., 7.00% to 05/01/26 then T5Y + 6.541%, 02/17/51, Series A, 144A****

 1,058,750

*

 

Liberty Mutual Group:

$6,351,000

7.80% 03/15/37, 144A****

 8,484,904

(2)(3) 

$940,000

4.125% to 12/15/26 then T5Y + 3.315%, 12/15/51, 144A****

 901,474

 

MetLife, Inc.:

$5,335,000

9.25% 04/08/38, 144A****

 7,302,094

(2)(3) 

$4,130,000

10.75% 08/01/39

 6,422,150

(2)(3) 

$577,000

MetLife Capital Trust IV, 7.875% 12/15/37, 144A****

 724,135

(2)(3) 

10,400

RenaissanceRe Holdings Ltd., 5.75%, Series F

 266,488

**(1)(2)(5) 

 

SBL Holdings, Inc.:

$1,500,000

6.50% to 11/13/26 then T5Y + 5.62%, Series B, 144A****

 1,402,500

*(1) 

$1,300,000

7.00% to 05/13/25 then T5Y + 5.58%, Series A, 144A****

 1,233,375

*(1)(2) 

 

Unum Group:

$5,803,000

Provident Financing Trust I, 7.405% 03/15/38

 6,934,585

(2)  


5

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited)

 

Shares/$ Par

Value

33,000

Voya Financial, Inc., 5.35% to 09/15/29 then T5Y + 3.21%, Series B

$865,343

*(1) 

 

61,328,085

 

Utilities — 6.5%

 

Algonquin Power & Utilities Corporation:

$800,000

4.75% to 04/18/27 then T5Y + 3.249%, 01/18/82

 760,112

(5) 

54,010

6.20% to 07/01/24 then 3ML + 4.01%, 07/01/79, Series 2019-A

 1,449,942

(2)(5) 

$900,000

CenterPoint Energy, Inc., 6.125% to 09/01/23 then 3ML + 3.27%, Series A

 889,312

*(1)(2) 

 

Commonwealth Edison:

$3,394,000

COMED Financing III, 6.35% 03/15/33

 3,906,515

(2)(3) 

$650,000

Dominion Energy, Inc., 4.35% to 04/15/27 then T5Y + 3.195%, Series C

 635,375

*(1) 

 

Edison International:

$1,733,000

5.00% to 03/15/27 then T5Y + 3.901%, Series B

 1,663,658

*(1)(2) 

$800,000

5.375% to 03/15/26 then T5Y + 4.698%, Series A

 789,744

*(1) 

$2,940,000

Emera, Inc., 6.75% to 06/15/26 then 3ML + 5.44%, 06/15/76, Series 2016A

 3,206,452

(2)(3)(5) 

17,800

Indianapolis Power & Light Company, 5.65%

 1,826,458

*(1)(2) 

 

NiSource, Inc.:

$440,000

5.65% to 06/15/23 then T5Y + 2.843%, Series A

 432,300

*(1) 

40,000

6.50% to 03/15/24 then T5Y + 3.632%, Series B

 1,050,900

*(1)(2) 

 

Sempra Energy:

$1,000,000

4.125% to 04/01/27 then T5Y + 2.868%, 04/01/52

 946,071

(2) 

$1,400,000

4.875% to 10/15/25 then T5Y + 4.55%, Series C

 1,428,000

*(1) 

 

Southern California Edison:

176

SCE Trust II, 5.10%, Series G

3,899

*(1) 

44,140

SCE Trust V, 5.45% to 03/15/26 then 3ML + 3.79%, Series K

 1,045,125

*(1)(2) 

$600,000

Southern California Edison Company, 3ML + 4.199%, 4.5156%(4), Series E

 587,488

*(1)(2)(3) 

$950,000

Southern Company, 3.75% to 09/15/26 then T5Y + 2.915%, 09/15/51, Series 2021-A

 885,970

$185,000

Vistra Corporation, 7.00% to 12/15/26 then T5Y + 5.74%, Series B, 144A****

 183,901

*(1) 

 

21,691,222

 

Energy — 6.0%

 

DCP Midstream LP:

$1,550,000

7.375% to 12/15/22 then 3ML + 5.148%, Series A

 1,468,625

(1)(2) 

5,200

7.875% to 06/15/23 then 3ML + 4.919%, Series B

 122,382

(1) 

$750,000

DCP Midstream LLC, 5.85% to 05/21/23 then 3ML + 3.85%, 05/21/43, 144A****

 700,290

 

Enbridge, Inc.:

$380,000

5.75% to 07/15/30 then T5Y + 5.314%, 07/15/80, Series 2020-A

 397,210

(5) 

$1,500,000

6.00% to 01/15/27 then 3ML + 3.89%, 01/15/77, Series 2016-A

 1,564,240

(2)(3)(5)  


6

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited) 

 

Shares/$ Par

Value

 

Energy Transfer LP:

$2,071,000

7.125% to 05/15/30 then T5Y + 5.306%, Series G

$2,034,757

(1) 

106,314

7.375% to 05/15/23 then 3ML + 4.53%, Series C

 2,519,642

(1)(2) 

187,800

7.60% to 05/15/24 then 3ML + 5.161%, Series E

 4,639,599

(1)(2) 

2,100

7.625% to 08/15/23 then 3ML + 4.738%, Series D

 51,776

(1) 

$1,000,000

Enterprise Products Operating L.P., 5.25% to 08/16/27 then 3ML + 3.033%, 08/16/77, Series E

 949,318

(2)(3) 

$2,120,000

MPLX LP, 6.875% to 02/15/23 then 3ML + 4.652%, Series B

 2,093,500

(1)(2)(3) 

45,500

NuStar Logistics LP, 3ML + 6.734%, 6.9753%(4), 01/15/43

 1,143,492

(2)(3) 

 

Transcanada Pipelines, Ltd.:

$2,250,000

5.50% to 09/15/29 then SOFRRATE + 4.4156%, 09/15/79

 2,278,012

(2)(5) 

$300,000

5.875% to 08/15/26 then 3ML + 4.64%, 08/15/76, Series 2016-A

 309,000

(2)(3)(5) 

 

20,271,843

 

Communication — 0.6%

$900,000

British Telecommunications PLC, 4.875% to 11/23/31 then T5Y + 3.493%, 11/23/81, 144A****

 865,377

(5) 

$900,000

Vodafone Group PLC, 7.00% to 04/04/29 then SW5 + 4.873%, 04/04/79

 1,000,449

(2)(3)(5) 

 

1,865,826

 

Real Estate Investment Trust (REIT) — 1.7%

4,540

Annaly Capital Management, Inc., 6.95% to 09/30/22 then 3ML + 4.993%, Series F

 109,750

(1) 

 

Arbor Realty Trust, Inc.:

15,892

6.375%, Series D

 370,045

(1) 

61,000

6.25% to 10/30/26 then SOFRRATE + 5.44%, Series F

 1,492,670

(1) 

95,536

KKR Real Estate Finance Trust, Inc., 6.50%, Series A

 2,365,949

(1) 

30,000

New York Mortgage Trust, Inc., 6.875% to 10/15/26 then SOFRRATE + 6.13%, Series F

 682,500

(1) 

28,200

TPG RE Finance Trust, Inc., 6.25%, Series C

 622,163

(1) 

 

5,643,077

 

Miscellaneous Industries — 2.9%

$440,000

Apollo Management Holdings LP, 4.95% to 12/17/24 then
T5Y + 3.266%, 01/14/50, 144A****

 435,771

 

Land O’ Lakes, Inc.:

$1,500,000

7.00%, Series C, 144A****

1,574,175

*(1)(2) 

$4,350,000

7.25%, Series B, 144A****

 4,630,379

*(1)(2) 

34,700

Ocean Spray Cranberries, Inc., 6.25%, Series A, 144A****

 3,105,650

*(1)(2) 

 

9,745,975

 

Total Preferred Stock & Hybrid Preferred Securities
(Cost $234,638,786)

 245,241,461

 


7

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited)

 

Shares/$ Par

Value

Contingent Capital Securities — 21.7%

 

Banking — 19.7%

$2,550,000

Australia & New Zealand Banking Group Ltd., 6.75% to 06/15/26 then
ISDA5 + 5.168%, 144A****

$2,774,489

**(1)(2)(3)(5) 

 

Banco Bilbao Vizcaya Argentaria SA:

$3,000,000

6.125% to 11/16/27 then SW5 + 3.87%

 2,917,500

**(1)(2)(3)(5) 

$1,000,000

6.50% to 03/05/25 then T5Y + 5.192%, Series 9

 1,005,000

**(1)(2)(5) 

 

Banco Mercantil del Norte SA:

$800,000

6.625% to 01/24/32 then T10Y + 5.034%, 144A****

 736,400

**(1)(5) 

$492,000

7.50% to 06/27/29 then T10Y + 5.47%, 144A****

 481,619

**(1)(5) 

$710,000

7.625% to 01/10/28 then T10Y + 5.353%, 144A****

 697,326

**(1)(5) 

$6,200,000

Banco Santander SA, 4.75% to 05/12/27 then T5Y + 3.753%, 144A****

 5,728,800

**(1)(2)(5) 

 

Barclays Bank PLC:

$475,000

4.375% to 09/15/28 then T5Y + 3.41%

 437,000

**(1)(5) 

$1,720,000

6.125% to 06/15/26 then T5Y + 5.867%

 1,784,500

**(1)(2)(5) 

$1,310,000

7.75% to 09/15/23 then SW5 + 4.842%

 1,372,487

**(1)(2)(5) 

$3,220,000

7.875% to 03/15/22 then SW5 + 6.772%, 144A****

 3,226,842

**(1)(5) 

$2,285,000

8.00% to 06/15/24 then T5Y + 5.672%

 2,442,094

**(1)(2)(5) 

$670,000

BBVA Bancomer SA, 5.875% to 09/13/29 then T5Y + 4.308%, 09/13/34, 144A****

 666,660

(2)(5) 

 

BNP Paribas:

$475,000

4.625% to 02/25/31 then T5Y + 3.34%, 144A****

 440,562

**(1)(5) 

$560,000

7.00% to 08/16/28 then SW5 + 3.98%, 144A****

 609,350

**(1)(5) 

$7,830,000

7.375% to 08/19/25 then SW5 + 5.15%, 144A****

 8,540,142

**(1)(2)(3)(5) 

 

Credit Agricole SA:

$480,000

4.75% to 09/23/29 then T5Y + 3.237%, 144A****

 450,000

**(1)(5) 

$395,000

7.875% to 01/23/24 then SW5 + 4.898%, 144A****

 421,910

**(1)(5) 

 

Credit Suisse Group AG:

$280,000

5.10% to 01/24/30 then T5Y + 3.293%, 144A****

 261,100

**(1)(5) 

$1,500,000

6.375% to 08/21/26 then T5Y + 4.828%, 144A****

 1,513,125

**(1)(2)(5) 

$1,000,000

7.25% to 09/12/25 then ISDA5 + 4.332%, 144A****

 1,035,150

**(1)(2)(5) 

$1,100,000

7.50% to 07/17/23 then SW5 + 4.60%, 144A****

 1,122,055

**(1)(2)(5) 

 

HSBC Holdings PLC:

$500,000

6.00% to 05/22/27 then ISDA5 + 3.746%

 513,750

**(1)(2)(3)(5) 

$4,265,000

6.50% to 03/23/28 then ISDA5 + 3.606%

 4,432,934

**(1)(2)(3)(5) 

$775,000

ING Groep NV, 3.875% to 11/16/27 then T5Y + 2.862%

 688,781

**(1)(5) 

$2,750,000

Lloyds Banking Group PLC, 7.50% to 09/27/25 then SW5 + 4.496%

 3,021,160

**(1)(2)(3)(5) 

$730,000

Macquarie Bank Ltd., 6.125% to 03/08/27 then SW5 + 3.703%, 144A****

 737,910

**(1)(2)(5) 

$425,000

NatWest Group PLC, 4.60% to 12/28/31 then T5Y + 3.10%

 384,200

**(1)(5)  


8

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited) 

 

Shares/$ Par

Value

 

Societe Generale SA:

$1,000,000

4.75% to 05/26/26 then T5Y + 3.931%, 144A****

$931,250

**(1)(5) 

$1,000,000

5.375% to 11/18/30 then T5Y + 4.514%, 144A****

 942,500

**(1)(5) 

$6,000,000

6.75% to 04/06/28 then SW5 + 3.929%, 144A****

 6,112,500

**(1)(2)(3)(5) 

 

Standard Chartered PLC:

$450,000

4.75% to 07/14/31 then T5Y + 3.805%, 144A****

 416,667

**(1)(5) 

$3,510,000

7.50% to 04/02/22 then SW5 + 6.301%, 144A****

 3,526,567

**(1)(2)(5) 

$1,500,000

7.75% to 04/02/23 then SW5 + 5.723%, 144A****

 1,566,465

**(1)(5) 

 

UBS Group AG:

$675,000

4.375% to 02/10/31 then T5Y + 3.313%, 144A****

 611,719

**(1)(5) 

$850,000

4.875% to 02/12/27 then T5Y + 3.404%, 144A****

 823,990

**(1)(5) 

$2,500,000

UBS Group Funding Switzerland AG, 7.00% to 01/31/24 then SW5 + 4.344%, 144A****

 2,601,737

**(1)(2)(5) 

 

65,976,241

 

Financial Services — 0.1%

$400,000

Deutsche Bank AG, 6.00% to 04/30/26 then T5Y + 4.524%

 390,500

**(1)(5) 

 

390,500

 

Insurance — 1.9%

 

QBE Insurance Group Ltd.:

$675,000

5.875% to 05/12/25 then T5Y + 5.513%, 144A****

 697,781

**(1)(5) 

$5,300,000

7.50% to 11/24/23 then SW10 + 6.03%, 11/24/43, 144A****

 5,647,150

(2)(3)(5) 

 

6,344,931

 

Total Contingent Capital Securities
(Cost $71,859,672)

 72,711,672

 

Corporate Debt Securities§ — 3.4%

 

Banking — 0.1%

10,900

Zions Bancorporation, 6.95% to 09/15/23 then 3ML + 3.89%, 09/15/28, Sub Notes

 287,378

 

287,378

 

Insurance — 1.5%

$3,000,000

Liberty Mutual Insurance, 7.697% 10/15/97, 144A****

 4,534,695

(2)(3) 

$500,000

Universal Insurance Holdings, Inc., 5.625% 11/30/26, 144A****

 491,532

 

5,026,227

 

Energy — 0.4%

$940,000

Energy Transfer LP, 8.25% 11/15/29

 1,211,656

(2)(3) 

 

1,211,656

 

Communication — 0.5%

 

Qwest Corporation:

29,941

6.50% 09/01/56

 734,752

41,820

6.75% 06/15/57

 1,053,605

(2) 

 

1,788,357


9

 

Flaherty & Crumrine Total Return Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 28, 2022 (Unaudited)

 

Shares/$ Par

Value

 

Miscellaneous Industries — 0.9%

$2,160,000

Pulte Group, Inc., 7.875% 06/15/32

$2,922,972

(2)(3) 

 

2,922,972

 

Total Corporate Debt Securities
(Cost $8,576,348)

 11,236,590

 

Money Market Fund — 0.7%

 

BlackRock Liquidity Funds:

2,372,870

T-Fund, Institutional Class

 2,372,870

 

 

Total Money Market Fund
(Cost $2,372,870)

 2,372,870

Total Investments (Cost $317,447,676***)

99.0

%

331,562,593

 

Other Assets and Liabilities, excluding Loan Payable (net)

1.0

%

3,352,807

 

Total Managed Assets

100.0

%

$

334,915,400

 

Loan Principal Balance

(118,500,000

)

 

Total Net Assets Available To Common Stock

$

216,415,400

  

§Date shown is maturity date unless referencing the end of the fixed-rate period of a fixed-to-floating rate security.

*Securities eligible for the Dividends Received Deduction and distributing Qualified Dividend Income.

**Securities distributing Qualified Dividend Income only.

***Aggregate cost of securities held.

****Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At February 28, 2022, these securities amounted to $106,164,149 or 31.7% of total managed assets.

(1)Perpetual security with no stated maturity date.

(2)All or a portion of this security is pledged as collateral for the Fund’s loan. The total value of such securities was $234,829,574 at February 28, 2022.

(3)All or a portion of this security has been rehypothecated. The total value of such securities was $109,424,368 at February 28, 2022.

(4)Represents the rate in effect as of the reporting date.

(5)Foreign Issuer.

A Contingent Capital Security is a hybrid security with contractual loss-absorption characteristics.

The percentage shown for each investment category is the total value of that category as a percentage of total managed assets.

ABBREVIATIONS:

3ML3-Month ICE LIBOR USD A/360

ISDA55-year USD ICE Swap Semiannual 30/360

SOFRRATESecured Overnight Funding Rate, Federal Reserve Bank of New York

SW55-year USD Swap Semiannual 30/360

SW1010-year USD Swap Semiannual 30/360

T5YFederal Reserve H.15 5-Yr Constant Maturity Treasury Semiannual yield

T7YFederal Reserve H.15 7-Yr Constant Maturity Treasury Semiannual yield

T10YFederal Reserve H.15 10-Yr Constant Maturity Treasury Semiannual yield

Flaherty & Crumrine Total Return Fund Incorporated

Financial Highlights(1)

For the period December 1, 2021 through February 28, 2022 (Unaudited)

For a Common Stock share outstanding throughout the period

 


10

PER SHARE OPERATING PERFORMANCE:

Net asset value, beginning of period

$22.18

INVESTMENT OPERATIONS:

Net investment income

0.38

Net realized and unrealized gain/(loss) on investments

(1.39

)

Total from investment operations

(1.01

)

DISTRIBUTIONS TO COMMON STOCK SHAREHOLDERS:

From net investment income

(0.39

)

Total distributions to Common Stock Shareholders

(0.39

)

Net asset value, end of period

$20.78

Market value, end of period

$19.97

Common Stock shares outstanding, end of period

10,413,339

RATIOS TO AVERAGE NET ASSETS AVAILABLE TO COMMON STOCK SHAREHOLDERS: 

Net investment income†

6.91

%*

Operating expenses including interest expense

1.71

%*

Operating expenses excluding interest expense

1.23

%*

SUPPLEMENTAL DATA:††

Portfolio turnover rate

1

%**

Total managed assets, end of period (in 000’s)

$334,915

Ratio of operating expenses including interest expense to average total managed assets

1.12

%*

Ratio of operating expenses excluding interest expense to average total managed assets

0.81

%*

  

(1)These tables summarize the three months ended February 28, 2022 and should be read in conjunction with the Fund’s audited financial statements, including notes to the financial statements, in its Annual Report dated November 30, 2021.

*Annualized.

**Not annualized.

The net investment income ratios reflect income net of operating expenses, including interest expense.

††Information presented under heading Supplemental Data includes loan principal balance.

 

Flaherty & Crumrine Total Return Fund Incorporated

Financial Highlights (Continued)

Per Share of Common Stock (Unaudited)

 


11

 

 

Total
Dividends
Paid

 

Net Asset
Value

 

NYSE
Closing
Price

 

Dividend
Reinvestment
Price
(1) 

December 31, 2021

$0.1295

$22.48

$22.79

$22.48

January 31, 2022

 0.1280

 21.68

 21.51

 21.68

February 28, 2022

 0.1280

 20.78

 19.97

 20.11

  

(1)Whenever the net asset value per share of the Fund’s Common Stock is less than or equal to the market price per share on the reinvestment date, new shares issued will be valued at the higher of net asset value or 95% of the then current market price. Otherwise, the reinvestment shares of Common Stock will be purchased in the open market.

 

Flaherty & Crumrine Total Return Fund Incorporated

NOTES TO PORTFOLIO OF INVESTMENTS (Unaudited)

 

12

1.Aggregate Information for Federal Income Tax Purposes

At February 28, 2022, the aggregate cost of securities for federal income tax purposes was $322,641,728, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $19,023,796 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $10,102,931.

2.Additional Accounting Standards

Fair Value Measurements: The Fund has analyzed all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:

 

Level 1 –

quoted prices in active markets for identical securities

 

Level 2 –

other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, 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. Transfers in and out of levels are recognized at market value at the end of the period.

 

Flaherty & Crumrine Total Return Fund Incorporated

NOTES TO PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

 

13

A summary of the inputs used to value the Fund’s investments as of February 28, 2022 is as follows:

 

 

Total
Value at
February 28, 2022

 

Level 1
Quoted
Price

 

Level 2
Significant
Observable
Inputs

Level 3
Significant
Unobservable
Inputs

Preferred Stock & Hybrid Preferred Securities

Banking

$114,364,464

$71,504,821

$42,859,643

$

Financial Services

 10,330,969

 1,517,046

 8,813,923