NPORT-EX 2 NPORT_4X10_65533955_0322.htm NPORT-EX

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2022 (Unaudited)

 

                                                                       
                           Shares      Value  

COMMON STOCK

      81.7%        

COMMUNICATIONS—TOWERS

      13.0%        

American Tower Corp.

 

      143,572      $ 36,068,158  

Crown Castle International Corp.

 

      64,762        11,955,065  

SBA Communications Corp.

 

      11,030        3,795,423  
        

 

 

  
           51,818,646  
        

 

 

  

REAL ESTATE

      68.7%        

DATA CENTERS

      4.7%        

Digital Realty Trust, Inc.

 

      46,342        6,571,296  

Equinix, Inc.

 

      16,355        12,129,195  
        

 

 

  
           18,700,491  
        

 

 

  

HEALTH CARE

      9.9%        

Healthcare Trust of America, Inc., Class A

 

      154,722        4,848,987  

Healthpeak Properties, Inc.

 

      327,729        11,250,937  

Ventas, Inc.

 

      73,677        4,550,291  

Welltower, Inc.

 

      197,270        18,965,538  
        

 

 

  
           39,615,753  
        

 

 

  

HOTEL

      1.7%        

Host Hotels & Resorts, Inc.

 

      360,146        6,997,637  
        

 

 

  

INDUSTRIALS

      11.9%        

Americold Realty Trust

 

      210,861        5,878,805  

BG LLH, LLC (Lineage Logistics)(a)

 

      21,740        2,080,083  

Duke Realty Corp.

 

      265,848        15,435,135  

Prologis, Inc.(b)

 

      150,160        24,247,837  
        

 

 

  
           47,641,860  
        

 

 

  

NET LEASE

      7.0%        

NETSTREIT Corp.(b)

 

      100,044        2,244,987  

Realty Income Corp.

 

      161,905        11,220,017  

Spirit Realty Capital, Inc.

 

      119,672        5,507,305  

VICI Properties, Inc.

 

      310,250        8,829,715  
        

 

 

  
           27,802,024  
        

 

 

  

OFFICE

      1.2%        

Cousins Properties, Inc.

 

      37,604        1,515,065  

Highwoods Properties, Inc.

 

      71,119        3,252,983  
        

 

 

  
           4,768,048  
        

 

 

  

 

1

 

 

                                                                       
                          Shares      Value  

RESIDENTIAL

      14.5 %      

APARTMENT

      8.1 %      

Apartment Income REIT Corp.

 

     73,423      $ 3,925,193  

Camden Property Trust

 

     23,812        3,957,554  

Essex Property Trust, Inc.

 

     27,585        9,530,066  

Mid-America Apartment Communities, Inc.

 

     15,177        3,178,823  

UDR, Inc.

 

     205,848        11,809,500  
       

 

 

  
          32,401,136  
       

 

 

  

MANUFACTURED HOME

      2.0 %      

Sun Communities, Inc.

 

     46,013        8,065,619  
       

 

 

  

SINGLE FAMILY

      4.4 %      

Invitation Homes, Inc.

 

     434,208        17,446,477  
       

 

 

  

TOTAL RESIDENTIAL

 

        57,913,232  
       

 

 

  

SELF STORAGE

      9.1 %      

Extra Space Storage, Inc.

 

     68,174        14,016,574  

Public Storage

 

     57,484        22,434,856  
       

 

 

  
          36,451,430  
       

 

 

  

SHOPPING CENTERS

      6.2 %      

COMMUNITY CENTER

      2.3 %      

Brixmor Property Group, Inc.

 

     94,591        2,441,394  

Kimco Realty Corp.

 

     265,163        6,549,526  
       

 

 

  
          8,990,920  
       

 

 

  

REGIONAL MALL

      3.9 %      

Simon Property Group, Inc.

 

     118,669        15,612,094  
       

 

 

  

TOTAL SHOPPING CENTERS

 

        24,603,014  
       

 

 

  

SPECIALTY

      1.4 %      

Lamar Advertising Co., Class A

 

     46,505        5,402,951  
       

 

 

  

TIMBER

      1.1 %      

Weyerhaeuser Co.

 

     112,907        4,279,175  
       

 

 

  

TOTAL REAL ESTATE

 

        274,175,615  
       

 

 

  

TOTAL COMMON STOCK
(Identified cost—$202,514,684)

 

        325,994,261  
       

 

 

  

PREFERRED SECURITIES—$25 PAR VALUE

      8.2 %      

BANKS

      0.6 %      

JPMorgan Chase & Co., 5.75%, Series DD(c)

 

     25,000        642,250  

 

2

 

 

                                                                       
                          Shares      Value  

JPMorgan Chase & Co., 4.75%, Series GG(c)

 

     25,000      $ 573,750  

JPMorgan Chase & Co., 4.625%, Series LL(c)

 

     22,843        502,774  

JPMorgan Chase & Co., 4.20%, Series MM(c)

 

     7,000        147,560  

Wells Fargo & Co., 4.25%, Series DD(c)

 

     9,775        202,245  

Wells Fargo & Co., 4.75%, Series Z(c)

 

     18,400        407,928  
       

 

 

  
          2,476,507  
       

 

 

  

ELECTRIC

      0.1 %      

DTE Energy Co., 5.25%, due 12/1/77, Series E

 

     12,000        296,880  
       

 

 

  

FINANCIAL—INVESTMENT BANKER/BROKER

      0.1 %      

Morgan Stanley, 6.375% to 10/15/24, Series I(c),(d)

 

     15,000        398,700  
       

 

 

  

INSURANCE—MULTI-LINE

      0.1 %      

Allstate Corp./The, 5.10%, Series H(c)

 

     15,000        372,600  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES

      0.2 %      

AT&T, Inc., 5.00%, Series A(c)

 

     15,000        342,000  

United States Cellular Corp., 5.50%, due 6/1/70

 

     21,378        480,577  
       

 

 

  
          822,577  
       

 

 

  

PIPELINES

      0.2 %      

Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d)

 

     27,235        674,339  
       

 

 

  

REAL ESTATE

      6.9 %      

DATA CENTERS

      1.0 %      

Digital Realty Trust, Inc., 5.85%, Series K(c)

 

     19,588        509,876  

Digital Realty Trust, Inc., 5.20%, Series L(c)

 

     10,175        253,357  

DigitalBridge Group, Inc., 7.15%, Series I(c)

 

     74,794        1,861,623  

DigitalBridge Group, Inc., 7.125%, Series J(c)

 

     36,643        905,815  

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

 

     15,001        366,024  
       

 

 

  
          3,896,695  
       

 

 

  

DIVERSIFIED

      0.9 %      

Armada Hoffler Properties, Inc., 6.75%, Series A(c)

 

     53,000        1,376,940  

EPR Properties, 5.75%, Series G(c)

 

     28,541        684,984  

Granite Point Mortgage Trust, Inc., 7.00% to 11/30/26, Series A(c),(d)

 

     402        9,712  

Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(c)

 

     17,289        915,626  

Urstadt Biddle Properties, Inc., 5.875%, Series K(c)

 

     25,000        627,750  
       

 

 

  
          3,615,012  
       

 

 

  

HOTEL

      1.2 %      

Hersha Hospitality Trust, 6.50%, Series D(c)

 

     12,456        275,900  

Pebblebrook Hotel Trust, 6.30%, Series F(c)

 

     28,944        699,579  

 

3

 

 

                                                                       
                          Shares      Value  

Pebblebrook Hotel Trust, 6.375%, Series G(c)

 

     28,566      $ 705,580  

Pebblebrook Hotel Trust, 5.70%, Series H(c)

 

     24,000        544,320  

RLJ Lodging Trust, 1.95%, Series A(c)

 

     33,675        927,746  

Summit Hotel Properties, Inc., 6.25%, Series E(c)

 

     31,105        764,561  

Summit Hotel Properties, Inc., 5.875%, Series F(c)

 

     19,054        446,245  

Sunstone Hotel Investors, Inc., 6.125%, Series H(c)

 

     14,000        337,540  

Sunstone Hotel Investors, Inc., 5.70%, Series I(c)

 

     9,827        224,351  
       

 

 

  
          4,925,822  
       

 

 

  

INDUSTRIALS

      0.3 %      

PS Business Parks, Inc., 5.20%, Series Y(c)

 

     18,000        446,940  

Rexford Industrial Realty, Inc., 5.625%, Series C(c)

 

     29,000        726,160  
       

 

 

  
          1,173,100  
       

 

 

  

NET LEASE

      0.4 %      

Agree Realty Corp., 4.25%, Series A(c)

 

     15,501        308,160  

Spirit Realty Capital, Inc., 6.00%, Series A(c)

 

     47,667        1,199,301  
       

 

 

  
          1,507,461  
       

 

 

  

OFFICE

      1.1 %      

Arbor Realty Trust, Inc., 6.375%, Series D(c)

 

     7,200        162,000  

Brookfield Property Partners LP, 5.75%, Series A(c)

 

     23,926        504,360  

Brookfield Property Preferred LP, 6.25%, due 7/26/81

 

     27,000        607,500  

City Office REIT, Inc., 6.625%, Series A(c)

 

     20,543        525,901  

Hudson Pacific Properties, Inc., 4.75%, Series C(c)

 

     28,000        602,840  

SL Green Realty Corp., 6.50%, Series I(c)

 

     14,408        363,514  

TPG RE Finance Trust, Inc., 6.25%, Series C(c)

 

     10,000        223,800  

Vornado Realty Trust, 5.25%, Series M(c)

 

     20,933        484,390  

Vornado Realty Trust, 5.25%, Series N(c)

 

     20,000        464,600  

Vornado Realty Trust, 4.45%, Series O(c)

 

     18,350        367,550  
       

 

 

  
          4,306,455  
       

 

 

  

RESIDENTIAL

      1.0  %      

APARTMENT

      0.1 %      

Centerspace, 6.625%, Series C(c)

 

     19,695        496,117  
       

 

 

  

MANUFACTURED HOME

      0.4 %      

Green Brick Partners, Inc., 5.75%, Series A(c)

 

     11,977        293,437  

UMH Properties, Inc., 6.75%, Series C(c)

 

     33,269        844,700  

UMH Properties, Inc., 6.375%, Series D(c)

 

     18,731        478,577  
       

 

 

  

  

           1,616,714  
       

 

 

  

 

4

 

 

                                                                       
                          Shares      Value  

SINGLE FAMILY

      0.5 %      

American Homes 4 Rent, 5.875%, Series F(c)

 

     28,350      $ 710,451  

American Homes 4 Rent, 5.875%, Series G(c)

 

     23,645        593,016  

American Homes 4 Rent, 6.25%, Series H(c)

 

     24,838        641,069  
       

 

 

  
          1,944,536  
       

 

 

  

TOTAL RESIDENTIAL

           4,057,367  
       

 

 

  

SELF STORAGE

      0.3 %      

National Storage Affiliates Trust, 6.00%, Series A(c)

 

     15,031        382,689  

Public Storage, 4.875%, Series I(c)

 

     4,981        121,387  

Public Storage, 4.70%, Series J(c)

 

     4,653        108,462  

Public Storage, 4.00%, Series P(c)

 

     33,847        693,525  
       

 

 

  
          1,306,063  
       

 

 

  

SHOPPING CENTERS—COMMUNITY CENTER

      0.7 %      

Cedar Realty Trust, Inc., 6.50%, Series C(c)

 

     15,000        182,850  

Saul Centers, Inc., 6.125%, Series D(c)

 

     39,100        977,109  

Saul Centers, Inc., 6.00%, Series E(c)

 

     21,465        539,815  

SITE Centers Corp., 6.375%, Series A(c)

 

     48,952        1,224,289  
       

 

 

  
          2,924,063  
       

 

 

  

TOTAL REAL ESTATE

 

        27,712,038  
       

 

 

  

TOTAL PREFERRED SECURITIES—$25 PAR VALUE
(Identified cost—$33,326,703)

 

        32,753,641  
       

 

 

  
           Principal
Amount		         

PREFERRED SECURITIES—CAPITAL SECURITIES

      6.9 %      

BANKS

      2.8 %      

Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)

 

   $ 567,000        591,806  

Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)

 

     875,000        906,675  

Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(c),(d)

 

     388,000        359,637  

Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d)

 

     900,000        866,250  

Citigroup, Inc., 4.15% to 11/15/26, Series Y(c),(d)

 

     400,000        375,750  

Citigroup, Inc., 5.95% to 1/30/23(c),(d)

 

     430,000        435,633  

Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)

 

     400,000        408,220  

Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)

 

     430,000        450,081  

 

5

 

 

                                                                       
                          Principal
Amount		      Value  

Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(c),(d)

 

   $ 600,000      $ 563,400  

JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)

 

     930,000        953,831  

JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d)

 

     1,000,000        1,014,000  

JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d)

 

     1,080,000        1,127,720  

Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)

 

     200,000        208,750  

SVB Financial Group, 4.00% to 5/15/26, Series C(c),(d)

 

     870,000        805,838  

SVB Financial Group, 4.25% to 11/15/26, Series D(c),(d)

 

     550,000        509,781  

Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d)

 

     1,120,000        1,074,276  

Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d)

 

     400,000        418,920  
       

 

 

  
          11,070,568  
       

 

 

  

BANKS—FOREIGN

      1.6 %      

Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(e)

 

     600,000        635,400  

BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(c),(d),(e),(f)

 

     600,000        622,050  

Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(c),(d),(e),(f)

 

     300,000        311,775  

Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(c),(d),(e),(g)

 

     500,000        501,875  

Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(c),(d),(e),(f)

 

     700,000        725,812  

Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(e)

 

     200,000        206,060  

ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(e)

 

     600,000        603,801  

ING Groep N.V., 6.75% to 4/16/24 (Netherlands)(c),(d),(e),(g)

 

     400,000        413,417  

Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(c),(d),(e),(f)

 

     700,000        698,135  

Societe Generale SA, 8.00% to 9/29/25, 144A (France)(c),(d),(e),(f)

 

     600,000        648,465  

Svenska Handelsbanken AB, 4.375% to 3/1/27 (Sweden)(c),(d),(e),(g)

 

     400,000        386,468  

UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(c),(d),(e),(f)

 

     600,000        626,403  
       

 

 

  
          6,379,661  
       

 

 

  

ELECTRIC

      0.1 %      

Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d)

 

     535,000        494,634  
       

 

 

  

FINANCIAL

      0.4 %      

CREDIT CARD

      0.1 %      

American Express Co., 3.55% to 9/15/26(c),(d)

        219,000        200,122  
       

 

 

  

INVESTMENT BANKER/BROKER

      0.3 %   

Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d)

 

     1,250,000        1,198,438  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 6/15/29, 144A(f)

 

     300,000        283,323  
       

 

 

  
          1,481,761  
       

 

 

  

 

6

 

 

                                                                       
                          Principal
Amount		      Value  

TOTAL FINANCIAL

         $ 1,681,883  
       

 

 

  

INSURANCE—PROPERTY CASUALTY—FOREIGN

      0.2 %      

QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(d),(g)

 

   $ 606,000        635,752  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES

      0.1 %      

AT&T, Inc., 2.875% to 3/2/25, Series B(c),(d)

 

     500,000        539,379  
       

 

 

  

INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN

      0.2 %      

Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d)

 

     800,000        728,176  

Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d),(g)

 

     200,000        206,300  
       

 

 

  
          934,476  
       

 

 

  

PIPELINES

      0.2 %      

Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d)

 

     200,000        197,060  

Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d)

 

     515,000        503,413  
       

 

 

  

TOTAL PIPELINES

 

        700,473  
       

 

 

  

PIPELINES—FOREIGN

      0.1 %      

Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)

 

     300,000        307,840  
       

 

 

  

REAL ESTATE

      1.1 %      

DIVERSIFIED

      0.2 %      

American Finance Trust, Inc./American Finance Operating Partner LP,
4.50%, due 9/30/28, 144A(f)

 

     550,000        496,130  

CTR Partnership LP/CareTrust Capital Corp., 3.875%, due 6/30/28, 144A(f)

 

     400,000        377,604  
       

 

 

  
          873,734  
       

 

 

  

FINANCE

      0.1 %      

Tanger Properties LP, 2.75%, due 9/1/31

 

     225,000        195,544  
       

 

 

  

HEALTH CARE

      0.0 %      

Sabra Health Care LP, 3.20%, due 12/1/31

 

     100,000        89,408  
       

 

 

  

HOTEL

      0.1 %      

RLJ Lodging Trust LP, 3.75%, due 7/1/26, 144A(f)

 

     100,000        95,134  

RLJ Lodging Trust LP, 4.00%, due 9/15/29, 144A(f)

 

     200,000        185,236  
       

 

 

  

  

           280,370  
       

 

 

  

 

7

 

 

                                                                       
                          Principal
Amount		      Value  

INDUSTRIALS

      0.0 %      

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK
Finance Co-Issuer, 4.875%, due 5/15/29, 144A(f)

 

   $ 200,000      $ 187,896  
       

 

 

  

OFFICE

      0.1 %      

Kilroy Realty LP, 2.65%, due 11/15/33

        75,000        65,127  

Office Properties Income Trust, 2.40%, due 2/1/27

        200,000        178,202  

Vornado Realty LP, 2.15%, due 6/1/26

        150,000        140,406  
       

 

 

  
          383,735  
       

 

 

  

RETAIL—FOREIGN

      0.4 %      

Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(d),(f)

 

     600,000        589,500  

Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(d),(f)

 

     1,100,000        1,080,750  
       

 

 

  
          1,670,250  
       

 

 

  

SHOPPING CENTERS

      0.2 %      

Kite Realty Group Trust, 4.75%, due 9/15/30

        700,000        725,260  
       

 

 

  

TOTAL REAL ESTATE

           4,406,197  
       

 

 

  

UTILITIES—ELECTRIC

      0.1 %      

Sempra Energy, 4.125% to 1/1/27, due 4/1/52(d)

 

     500,000        468,048  
       

 

 

  

TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES
(Identified cost—$28,837,625)

           27,618,911  
       

 

 

  

CORPORATE BONDS

      0.4 %      

COMMUNICATIONS—TOWERS

      0.1 %      

SBA Communications Corp., 3.875%, due 2/15/27

        300,000        293,013  
       

 

 

  

REAL ESTATE

      0.3 %      

HEALTH CARE

      0.1 %      

Diversified Healthcare Trust, 9.75%, due 6/15/25

        300,000        316,113  
       

 

 

  

NET LEASE

      0.1 %      

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27, 144A(f)

 

     300,000        276,521  

VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30, 144A(f)

 

     244,000        236,014  

 

8

 

 

                                                                       
                          Principal
Amount		     Value  

VICI Properties LP/VICI Note Co., Inc., 4.25%, due 12/1/26, 144A(f)

 

   $ 350,000     $ 349,090  
      

 

 

  
         861,625  
      

 

 

  

SHOPPING CENTERS—REGIONAL MALL

      0.1 %     

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.75%, due 5/15/26, 144A(f)

 

     250,000       248,041  
      

 

 

  

TOTAL REAL ESTATE

          1,425,779  
      

 

 

  

TOTAL CORPORATE BONDS
(Identified cost—$1,751,754)

 

       1,718,792  
      

 

 

  
           Ownership%*        

PRIVATE REAL ESTATE—OFFICE

       

Legacy Gateway JV LLC, Plano, TX(h)

      1.8 %      7.9%       7,139,496  
      

 

 

  

TOTAL PRIVATE REAL ESTATE
(Identified cost—$7,129,806)

 

       7,139,496  
      

 

 

  
           Shares        

SHORT-TERM INVESTMENTS

      0.9 %     

MONEY MARKET FUNDS

       

State Street Institutional Treasury Money Market Fund, Premier Class, 0.17%(i)

 

     3,585,310       3,585,310  
      

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Identified cost—$3,585,310)

 

       3,585,310  
      

 

 

  

PURCHASED OPTION CONTRACTS (Premiums paid—$20,893)

      0.0 %        18,525  
      

 

 

  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$277,166,775)

      99.9 %        398,828,936  

WRITTEN OPTION CONTRACTS (Premiums received—$220,595)

      (0.1 )        (260,761 ) 

OTHER ASSETS IN EXCESS OF LIABILITIES

      0.2         520,649  
  

 

 

      

 

 

  

NET ASSETS (Equivalent to $15.16 per share based on 26,325,809 shares of common stock outstanding)

      100.0 %      $ 399,088,824  
  

 

 

      

 

 

  

 

9

 

 

Exchange-Traded Option Contracts

 

 

Purchased Options                                          
Description   Exercise
Price		     Expiration
Date		     Number of
Contracts		     Notional
Amount(j)		     Premiums
Paid		     Value  

Call — Simon Property Group, Inc.

   $  140.00       5/20/22       65     $ 855,140     $ 20,893     $ 18,525  

 

  
Written Options                                          
Description   Exercise
Price		     Expiration
Date		     Number of
Contracts		     Notional
Amount(j)		     Premiums
Received		     Value  

Call — Essex Property Trust, Inc.

   $  350.00       4/14/22       (28 )    $ (967,344 )    $ (9,604 )    $ (15,400 ) 

Call — Host Hotels & Resorts, Inc.

     19.00       5/20/22       (523 )      (1,016,189 )      (33,472 )      (81,065 ) 

Call — Simon Property Group, Inc.

     150.00       5/20/22       (130 )      (1,710,280 )      (13,854 )      (12,480 ) 

Call — Ventas, Inc.

     60.00       5/20/22       (141 )      (870,816 )      (9,024 )      (52,170 ) 

Call — Public Storage

     420.00       6/17/22       (25 )      (975,700 )      (12,117 )      (19,500 ) 

Put — Invitation Homes, Inc.

     37.50       5/20/22       (166 )      (666,988 )      (8,219 )      (9,960 ) 

Put — Prologis Inc.

     135.00       5/20/22       (54 )      (871,992 )      (18,036 )      (4,050 ) 

Put — Simon Property Group, Inc.

     105.00       5/20/22       (65 )      (855,140 )      (7,480 )      (4,160 ) 

Put — Digital Realty Trust, Inc.

     135.00       6/17/22       (53 )      (751,540 )      (15,094 )      (19,080 ) 
        (1,185 )    $ (8,685,989 )    $ (126,900 )    $ (217,865 ) 

 

  

Over-the-Counter Option Contracts

 

Written Options                                               
Description   Counterparty   Exercise
Price		     Expiration
Date		     Number of
Contracts		     Notional
Amount(j)		     Premiums
Received		     Value  

Put — American Tower Corp.

   Golman Sachs International   $ 230.00       5/20/22       (32 )    $ (803,904 )    $ (42,080 )    $ (9,086 ) 

Put — Americold Realty Trust

   Golman Sachs International     27.90       5/20/22       (279 )      (777,852 )      (51,615 )      (33,810 ) 
          (311 )    $ (1,581,756 )    $ (93,695 )    $ (42,896 ) 

 

  

Forward Foreign Currency Exchange Contracts

 

Counterparty   

Contracts
to Deliver

     

In Exchange
For

      Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  

Brown Brothers Harriman

    EUR      496,390      USD      558,280      4/4/22      $ 9,149  

Brown Brothers Harriman

    USD      549,871      EUR      496,390      4/4/22        (740 ) 

Brown Brothers Harriman

    EUR      500,342      USD      554,659      5/3/22        683  
                   

 

 

  
                    $         9,092  
                   

 

 

  
                   

 

 

  

 

10

 

 

Glossary of Portfolio Abbreviations

 

ETF    Exchange-Traded Fund
EUR    Euro Currency
REIT    Real Estate Investment Trust
USD    United States Dollar

 

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

 

*

Ownership % represents the Fund’s contractual ownership in the joint venture prior to the impact of promote structures.

(a)

Restricted security. Aggregate holdings equal 0.4% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $1,335,937. Security value is determined based on significant unobservable inputs (Level 3).

(b)

All or a portion of the security is pledged in connection with written option contracts. $3,324,112 in aggregate has been pledged as collateral.

(c)

Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

(d)

Security converts to floating rate after the indicated fixed-rate coupon period.

(e)

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 $6,379,661 or 1.6% of the net assets of the Fund.

(f)

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 $8,037,879 which represents 2.0% of the net assets of the Fund, of which 0.0% are illiquid.

(g)

Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $2,143,812 which represents 0.5% of the net assets of the Fund, of which 0.0% are illiquid.

(h)

Security value is determined based on significant unobservable inputs (Level 3).

(i)

Rate quoted represents the annualized seven-day yield.

(j)

Represents number of contracts multiplied by notional contract size multiplied by the underlying price.

 

11

 

 

COHEN & STEERS TOTAL RETURN REALTY 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. 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. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment advisor in the determination of the Funds’ fair value of private real estate investments, including those held by Cohen & Steers RFI Trust (the REIT Subsidiary), a wholly-owned subsidiary of the Fund. While the Independent Valuation Advisor provides valuations of the real property investments, it is not responsible for, and does not calculate, the Fund’s or REIT Subsidiary’s daily NAV. The Fund’s valuation policies may change from time to time.

 

 

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The REIT Subsidiary’s real property investments are primarily through joint ventures with an operating partner. The operating partner is responsible (subject to oversight by the investment advisor) for maintaining the joint venture’s official books and records along with other pertinent information that is the basis upon which the Independent Valuation Advisor prepares their appraisals as described below.

The Independent Valuation Advisor administers the real property valuation process for investments held by the REIT Subsidiary and to selects (subject to the investment advisor’s approval) and manages the process associated with third-party appraisal firms with respect to the valuation of the Fund’s real property investments.

Investments in newly acquired properties are initially valued at cost. Each property is then valued by an independent third-party appraisal firm within approximately 90 to 120 days after it was acquired and no less than annually thereafter. Each third-party appraisal is reviewed by the Independent Valuation Advisor and the Valuation Committee for reasonableness. Each month, the investment advisor, with the assistance of the Independent Valuation Advisor, determines an accrual schedule for the daily value of each real property investment based on an estimated month-end income accrual for each real property. The REIT Subsidiary uses the daily values determined in such accrual schedule for purposes of calculating its NAV. Any material changes to the valuation of real property investments of the REIT Subsidiary, and related changes to the daily accrual schedule for any real property investment, are reflected in the NAV calculation beginning with the first NAV calculated after a revised valuation is determined and approved by the CNS Valuation Committee.

The investment advisor monitors for material events that the investment advisor believes may be expected to have a material impact on the most recent estimated fair values of such real property investment. Possible examples of such a material change include an unexpected termination or renewal of a material lease, a material change in vacancies, an unanticipated structural or environmental event at a property, capital market events, tenant bankruptcy, recent financial results or changes in the capital structure of the property, terrorism events, natural disasters or other force majeure events, any regulatory changes that affect the investment, or a significant industry event or adjustment to the industry outlook that may cause the value of real property to change materially. Upon the occurrence of such a material event that is likely to have a material impact on the most recent estimated values of the impacted real property investments and provided that the investment advisor is aware that such event has occurred, the investment advisor will instruct the Independent Valuation Advisor to evaluate the impact of the event on the fair value of such investment. However, rapidly changing market conditions or material events may not be immediately reflected in the Fund’s or REIT Subsidiary’s daily NAV.

The investment advisor values the real properties using the valuation methodology it deems most appropriate and consistent with industry best practices and market conditions. The investment advisor’s primary methodology used to value real property investments is the income approach, whereby value is derived by determining the present value of an asset’s stream of future cash flows (for example, discounted cash flow analysis). Consistent with industry practices, the income approach incorporates actual contractual lease income, professional judgments regarding comparable rental and operating expense data, the capitalization or discount rate and projections of future rent and expenses based on appropriate market evidence, and other subjective factors. Other methodologies that may also be used to value properties include, among other approaches, sales comparisons and cost approaches.

 

 

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

Real estate appraisals are reported on a free and clear basis (i.e. any property-level indebtedness that may be in place is not incorporated into the valuation). Property level debt is valued separately in accordance with GAAP. Real properties held through joint ventures generally are valued in a manner that is consistent with the methods described above. Once the value of a real property held by the joint venture and the fair value of any other assets and liabilities of the joint venture is determined, the value of the REIT Subsidiary’s interest in the joint venture would then be determined by the investment advisor using a hypothetical liquidation calculation to value the REIT Subsidiary’s interest in the joint venture.

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities would be categorized as Level 2 or 3 in the hierarchy, depending on the relative significance of the valuation inputs. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security’s underlying assets and liabilities.

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

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

 

  •  

Level 1 — quoted prices in active markets for identical investments

  •  

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

  •  

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

 

 

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. 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 March 31, 2022 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:

 

Real Estate—Industrials

    $ 47,641,860     $ 45,561,777     $ —     $ 2,080,083 (a) 

Other Industries

      278,352,401       278,352,401       —       —  

Preferred Securities—$25 Par Value

      32,753,641       32,753,641       —       —  

Preferred Securities—Capital Securities

      27,618,911       —       27,618,911       —  

Corporate Bonds

      1,718,792       —       1,718,792       —  

Private Real Estate—Office

      7,139,496       —       —       7,139,496 (b) 

Short-Term Investments

      3,585,310       —       3,585,310       —  

Purchased Option Contracts

      18,525       18,525       —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities(c)

    $ 398,828,936     $ 356,686,344     $ 32,923,013     $ 9,219,579  
  

 

 

    

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ 9,832     $ —     $ 9,832     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Assets(c)

    $ 9,832     $ —     $ 9,832     $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Exchange Contracts

    $ (740 )    $ —     $ (740 )    $ —  

Written Option Contracts

      (260,761 )      (136,655 )      (124,106 )      —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Derivative Liabilities(c)

    $ (261,501 )    $ (136,655 )    $ (124,846 )    $ —  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Restricted security, where observable inputs are limited, has been fair valued by the Valuation Committee, pursuant to the Fund’s fair value procedures and classified as Level 3 security.

(b)

See Note1. Portfolio Valuation.

(c)

Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Common Stock—
Real Estate—
Industrials		      Private Real
Estate—Office		  

Balance as of December 31, 2021

    $ 2,182,913      $ —  

Purchases

      —        7,129,806  

Change in unrealized appreciation (depreciation)

      (102,830 )       9,689  
  

 

 

     

 

 

  

Balance as of March 31, 2022

    $ 2,080,083      $ 7,139,496  
  

 

 

     

 

 

  

The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2022 which were valued using significant unobservable inputs (Level 3) amounted to $(93,140).

 

 

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy.

 

    

Fair Value at

March 31, 2022

   

Valuation

Technique

   

Unobservable

Inputs

   

Amount

   

Valuation Impact

from an Increase in

Input(a)

Common Stock —Real Estate—Industrials

    $2,080,083   

Market

Comparable

Companies

   

Enterprise Value/

EBITDA(b) Multiple

Liquidity Discount

   

25.3x

15%

   

Increase

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.

(b)

Earnings Before Interest, Taxes, Depreciation and Amortization.

Note 2. Derivative Investments

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Consolidated Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

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 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 investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

 

 

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

 

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.

The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2022:

 

     Purchased Option
Contracts(a),(b)		      Written Option
Contracts(a),(b)		      Forward Foreign
Currency Exchange
Contracts		  

Average Notional Amount

          $  855,140                    $  7,381,250                    $  566,150      

 

(a)

Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.

(b)

Average notional amounts represent the average for all months in which the Fund had option exchange contracts outstanding at month end. For the period, this represents one month for purchased option contracts and three months for written option contracts.