COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2022 (Unaudited)

			Shares		Value
COMMON STOCK	76.4	%
COMMUNICATIONS—TOWERS	11.5	%
American Tower Corp.				109,801	$	23,574,274
Crown Castle International Corp.				83,147		12,018,899
						35,593,173
REAL ESTATE	64.9	%
DATA CENTERS	5.8	%
Digital Realty Trust, Inc.				85,751		8,504,784
Equinix, Inc.				16,670		9,482,563
						17,987,347
HEALTH CARE	7.8	%
Healthcare Realty Trust, Inc., Class A				209,830		4,374,955
Healthpeak Properties, Inc.				137,265		3,146,114
Ventas, Inc.				41,692		1,674,768
Welltower, Inc.				235,123		15,123,111
						24,318,948
HOTEL	1.5	%
Host Hotels & Resorts, Inc.				304,256		4,831,585
INDUSTRIALS	10.9	%
Americold Realty Trust, Inc.				210,861		5,187,181
BG LLH, LLC (Lineage Logistics)(a)				21,740		1,715,503
Duke Realty Corp.				226,793		10,931,423
Prologis, Inc.(b)				156,233		15,873,273
						33,707,380
NET LEASE	6.9	%
NETSTREIT Corp.(b)				100,044		1,781,784
Realty Income Corp.				232,139		13,510,490
Spirit Realty Capital, Inc.				119,672		4,327,340
VICI Properties, Inc.				64,657		1,930,011
						21,549,625
OFFICE	0.6	%
Highwoods Properties, Inc.				71,119		1,917,368
RESIDENTIAL	15.5	%
APARTMENT	8.7	%
Apartment Income REIT Corp.				67,866		2,620,985
Camden Property Trust				42,492		5,075,669
Essex Property Trust, Inc.				20,120		4,873,668

1

			Shares		Value
Mid-America Apartment Communities, Inc.				41,239	$	6,394,932
UDR, Inc.				189,607		7,908,508
						26,873,762
MANUFACTURED HOME	2.0	%
Sun Communities, Inc.				46,013		6,226,939
SINGLE FAMILY	4.8	%
Invitation Homes, Inc.				441,146		14,897,500
TOTAL RESIDENTIAL						47,998,201
SELF STORAGE	8.5	%
Extra Space Storage, Inc.				64,356		11,114,925
Public Storage				52,611		15,405,027
						26,519,952
SHOPPING CENTERS	5.4	%
COMMUNITY CENTER	1.6	%
Kimco Realty Corp.				265,163		4,881,651
REGIONAL MALL	3.8	%
Simon Property Group, Inc.				131,239		11,778,700
TOTAL SHOPPING CENTERS						16,660,351
SPECIALTY	1.2	%
Lamar Advertising Co., Class A				44,713		3,688,375
TIMBER	0.8	%
Weyerhaeuser Co.				82,916		2,368,081
TOTAL REAL ESTATE						201,547,213
TOTAL COMMON STOCK (Identified cost—$193,333,443)						237,140,386
PREFERRED SECURITIES—$25 PAR VALUE	9.1	%
BANKS	1.0	%
Bank of America Corp., 6.00%, Series GG(c)				24,869		594,369
JPMorgan Chase & Co., 5.75%, Series DD(c)				25,000		617,750
JPMorgan Chase & Co., 4.75%, Series GG(c)				25,000		526,500
JPMorgan Chase & Co., 4.625%, Series LL(c)				22,843		444,982
KeyCorp., 6.20% to 12/15/27(c),(d)				6,000		145,500
Truist Financial Corp., 4.75%, Series R(c)				15,000		297,600
Wells Fargo & Co., 4.25%, Series DD(c)				9,775		168,032
Wells Fargo & Co., 4.75%, Series Z(c)				18,400		345,552
						3,140,285

2

			Shares		Value
ELECTRIC	0.5	%
CMS Energy Corp., 5.625%, due 3/15/78				5,162	$	123,630
CMS Energy Corp., 5.875%, due 10/15/78				17,000		391,850
CMS Energy Corp., 5.875%, due 3/1/79				20,000		463,800
DTE Energy Co., 5.25%, due 12/1/77, Series E				12,000		273,600
Southern Co./The, 4.95%, due 1/30/80, Series 2020				7,000		144,480
						1,397,360
FINANCIAL—INVESTMENT BANKER/BROKER	0.1	%
Morgan Stanley, 6.375% to 10/15/24, Series I(c),(d)				15,000		370,800
INTEGRATED TELECOMMUNICATIONS SERVICES	0.4	%
AT&T, Inc., 5.625%, due 8/1/67				19,118		469,538
AT&T, Inc., 5.00%, Series A(c)				15,000		307,950
AT&T, Inc., 4.75%, Series C(c)				8,000		150,240
United States Cellular Corp., 5.50%, due 6/1/70				21,378		395,493
						1,323,221
PIPELINES	0.2	%
Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d)				27,235		658,815
REAL ESTATE	6.8	%
DATA CENTERS	1.1	%
Digital Realty Trust, Inc., 5.85%, Series K(c)				16,005		356,271
Digital Realty Trust, Inc., 5.20%, Series L(c)				10,175		214,184
DigitalBridge Group, Inc., 7.15%, Series I(c)				74,794		1,672,394
DigitalBridge Group, Inc., 7.125%, Series J(c)				43,643		988,950
KKR Real Estate Finance Trust, Inc., 6.50%, Series A(c)				15,001		298,220
						3,530,019
DIVERSIFIED	0.9	%
Armada Hoffler Properties, Inc., 6.75%, Series A(c)				53,000		1,214,230
EPR Properties, 5.75%, Series G(c)				16,472		295,508
Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(c)				17,289		836,787
Urstadt Biddle Properties, Inc., 5.875%, Series K(c)				25,000		507,500
						2,854,025
HOTEL	1.2	%
Pebblebrook Hotel Trust, 6.30%, Series F(c)				28,944		548,199
Pebblebrook Hotel Trust, 6.375%, Series G(c)				28,566		534,184
Pebblebrook Hotel Trust, 5.70%, Series H(c)				24,000		404,400
RLJ Lodging Trust, 1.95%, Series A(c)				33,675		827,732
Summit Hotel Properties, Inc., 6.25%, Series E(c)				31,105		545,582
Summit Hotel Properties, Inc., 5.875%, Series F(c)				19,054		344,496

3

			Shares		Value
Sunstone Hotel Investors, Inc., 6.125%, Series H(c)				14,000	$	283,500
Sunstone Hotel Investors, Inc., 5.70%, Series I(c)				9,827		182,193
						3,670,286
INDUSTRIALS	0.4	%
PS Business Parks, Inc., 5.20%, Series Y(c)				18,000		267,300
Rexford Industrial Realty, Inc., 5.625%, Series C(c)				23,833		528,616
Rexford Industrial Realty, Inc., 5.875%, Series B(c)				15,000		348,600
						1,144,516
NET LEASE	0.4	%
Agree Realty Corp., 4.25%, Series A(c)				15,501		263,362
Spirit Realty Capital, Inc., 6.00%, Series A(c)				47,667		1,093,958
						1,357,320
OFFICE	1.0	%
Arbor Realty Trust, Inc., 6.375%, Series D(c)				7,200		139,968
Brookfield Property Partners LP, 5.75%, Series A(c)				23,926		406,742
Brookfield Property Preferred LP, 6.25%, due 7/26/81				27,000		507,600
City Office REIT, Inc., 6.625%, Series A(c)				20,543		410,449
Hudson Pacific Properties, Inc., 4.75%, Series C(c)				28,000		467,320
SL Green Realty Corp., 6.50%, Series I(c)				14,408		312,798
TPG RE Finance Trust, Inc., 6.25%, Series C(c)				9,294		161,251
Vornado Realty Trust, 5.25%, Series M(c)				6,815		118,785
Vornado Realty Trust, 5.25%, Series N(c)				22,545		397,468
Vornado Realty Trust, 4.45%, Series O(c)				9,077		145,595
						3,067,976
RESIDENTIAL	0.8	%
APARTMENT	0.2	%
Centerspace, 6.625%, Series C(c)				19,695		474,925
MANUFACTURED HOME	0.2	%
Green Brick Partners, Inc., 5.75%, Series A(c)				6,230		127,715
UMH Properties, Inc., 6.375%, Series D(c)				18,731		445,798
						573,513
SINGLE FAMILY	0.4	%
American Homes 4 Rent, 5.875%, Series G(c)				23,645		532,013

4

			Shares		Value
American Homes 4 Rent, 6.25%, Series H(c)				29,838	$	715,515
						1,247,528
TOTAL RESIDENTIAL						2,295,966
SELF STORAGE	0.3	%
National Storage Affiliates Trust, 6.00%, Series A(c)				15,031		336,995
Public Storage, 4.875%, Series I(c)				4,981		106,294
Public Storage, 4.70%, Series J(c)				268		5,473
Public Storage, 4.00%, Series P(c)				33,847		577,768
						1,026,530
SHOPPING CENTERS—COMMUNITY CENTER	0.7	%
Saul Centers, Inc., 6.125%, Series D(c)				39,100		830,093
Saul Centers, Inc., 6.00%, Series E(c)				21,465		453,770
SITE Centers Corp., 6.375%, Series A(c)				48,952		997,642
						2,281,505
TOTAL REAL ESTATE						21,228,143
UTILITIES	0.1	%
Sempra Energy, 5.75%, due 7/1/79				9,984		236,022
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$32,809,366)						28,354,646
			Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	10.1	%
BANKS	3.3	%
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)			$	567,000		543,926
Bank of America Corp., 6.125% to 4/27/27, Series TT(c),(d)				620,000		587,450
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)				875,000		847,656
Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(c),(d)				388,000		300,700
Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d)				900,000		760,500
Citigroup, Inc., 4.15% to 11/15/26, Series Y(c),(d)				400,000		319,000
Citigroup, Inc., 5.95% to 1/30/23(c),(d)				430,000		425,967
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)				400,000		362,519
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)				430,000		412,370
Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(c),(d)				400,000		318,500
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)				430,000		413,069

5

			Principal Amount		Value
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d)			$	250,000	$	242,825
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d)				1,080,000		1,070,875
PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(c),(d)				300,000		279,000
PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(c),(d)				700,000		663,250
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)				200,000		197,500
SVB Financial Group, 4.00% to 5/15/26, Series C(c),(d)				870,000		661,605
SVB Financial Group, 4.25% to 11/15/26, Series D(c),(d)				550,000		405,898
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d)				1,120,000		947,800
Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d)				400,000		381,819
						10,142,229
BANKS—FOREIGN	2.4	%
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(e),(f)				200,000		186,601
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(f)				800,000		744,120
BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(c),(d),(f),(g)				600,000		551,370
BNP Paribas SA, 7.75% to 8/16/29, 144A (France)(c),(d),(f),(g)				800,000		740,240
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(c),(d),(f),(g)				300,000		276,831
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(c),(d),(f),(g)				700,000		645,172
Credit Suisse Group AG, 9.75% to 6/23/27, 144A (Switzerland)(c),(d),(f),(g)				400,000		393,352
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(f)				400,000		339,120
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(f)				600,000		516,319
ING Groep N.V., 6.75% to 4/16/24 (Netherlands)(c),(d),(e),(f)				400,000		376,628
Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(c),(d),(f)				400,000		371,898
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(f)				800,000		732,000
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(c),(d),(f),(g)				800,000		763,244
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(c),(d),(f),(g)				800,000		758,960
						7,395,855
COMMUNICATIONS—TOWERS	0.1	%
American Tower Corp., 3.60%, due 1/15/28				267,000		237,340
SBA Communications Corp., 3.125%, due 2/1/29				100,000		80,646
						317,986

6

			Principal Amount		Value
ELECTRIC	0.1	%
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d)			$	535,000	$	435,164
FINANCIAL	0.5	%
CREDIT CARD	0.1	%
American Express Co., 3.55% to 9/15/26(c),(d)				219,000		169,326
INVESTMENT BANKER/BROKER	0.4	%
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d)				500,000		367,916
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d)				1,250,000		1,026,820
						1,394,736
TOTAL FINANCIAL						1,564,062
INSURANCE	0.8	%
LIFE/HEALTH INSURANCE	0.3	%
Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52, 144A(d),(g)				550,000		504,550
Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(d)				300,000		296,259
Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(d)				300,000		280,580
						1,081,389
LIFE/HEALTH INSURANCE—FOREIGN	0.1	%
Dai-ichi Life Insurance Co., Ltd./The, 4.00% to 7/24/26, 144A (Japan)(c),(d),(g)				300,000		275,419
MULTI-LINE—FOREIGN	0.1	%
Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48 (Switzerland)(d),(e)				400,000		354,000
PROPERTY CASUALTY	0.1	%
Markel Corp., 6.00% to 6/1/25(c),(d)				350,000		340,142
PROPERTY CASUALTY—FOREIGN	0.2	%
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(d),(e)				606,000		587,872
TOTAL INSURANCE						2,638,822
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.3	%
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d)				800,000		555,768
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d)				300,000		286,150
						841,918

7

			Principal Amount		Value
PIPELINES	0.2	%
Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d)			$	200,000	$	174,721
Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d)				515,000		424,382
						599,103
PIPELINES—FOREIGN	0.2	%
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)				300,000		268,807
Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(b)				340,000		328,321
						597,128
REAL ESTATE	1.7	%
DIVERSIFIED	0.1	%
Spirit Realty LP, 3.40%, due 1/15/30				300,000		244,110
FINANCE	0.5	%
Boston Properties LP, 2.45%, due 10/1/33				75,000		52,925
Tanger Properties LP, 2.75%, due 9/1/31				225,000		160,009
VICI Properties LP, 5.125%, due 5/15/32				375,000		333,230
VICI Properties LP, 5.625%, due 5/15/52				200,000		165,922
VICI Properties LP / VICI Note Co Inc., 5.75%, due 2/1/27, 144A(g)				750,000		708,334
						1,420,420
HEALTH CARE	0.0	%
Sabra Health Care LP, 3.20%, due 12/1/31				100,000		73,611
INDUSTRIALS	0.1	%
Agree LP, 4.80%, due 10/1/32				150,000		133,966
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.875%, due 5/15/29, 144A(g)				200,000		162,312
						296,278
NET LEASE	0.0	%
Essential Properties LP, 2.95%, due 7/15/31				200,000		146,407
OFFICE	0.2	%
Hudson Pacific Properties LP, 5.95%, due 2/15/28				250,000		239,839
Office Properties Income Trust, 2.40%, due 2/1/27				200,000		144,280
Vornado Realty LP, 2.15%, due 6/1/26				150,000		125,699
						509,818

8

			Principal Amount		Value
RETAIL—FOREIGN	0.5	%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(d),(g)			$	600,000	$	516,027
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(d),(g)				1,100,000		896,852
						1,412,879
SELF STORAGE	0.1	%
Life Storage LP, 4.00%, due 6/15/29				300,000		265,270
SHOPPING CENTERS	0.2	%
Kite Realty Group Trust, 4.75%, due 9/15/30				900,000		783,472
TOTAL REAL ESTATE						5,152,265
TELECOMMUNICATION—FOREIGN	0.2	%
Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d),(e)				700,000		666,120
UTILITIES	0.3	%
ELECTRIC	0.2	%
NextEra Energy Capital Holdings, Inc., 5.00%, due 7/15/32				210,000		200,797
Sempra Energy, 4.125% to 1/1/27, due 4/1/52(d)				500,000		394,113
						594,910
ELECTRIC—FOREIGN	0.1	%
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(d)				400,000		327,564
TOTAL UTILITIES						922,474
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$35,667,584)						31,273,126
CORPORATE BONDS	0.9	%
COMMUNICATIONS—TOWERS	0.1	%
SBA Communications Corp., 3.875%, due 2/15/27				300,000		266,537
FINANCIAL—INVESTMENT BANKER/BROKER	0.1	%
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 6/15/29, 144A(g)				300,000		225,090
INTEGRATED TELECOMMUNICATIONS SERVICES	0.1	%
AT&T, Inc., 2.875%, to 3/2/25, Series B(c),(d)				500,000		433,243

9

			Principal Amount			Value
REAL ESTATE	0.6	%
DIVERSIFIED	0.2	%
Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due 9/30/28, 144A(g)			$	600,000		$	448,470
HEALTH CARE	0.0	%
Diversified Healthcare Trust, 9.75%, due 6/15/25				150,000			136,002
NET LEASE	0.3	%
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27, 144A(g)				300,000			234,415
VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30, 144A(g)				594,000			497,318
VICI Properties LP/VICI Note Co., Inc., 4.25%, due 12/1/26, 144A(g)				350,000			316,365
							1,048,098
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(g)				250,000			226,339
TOTAL REAL ESTATE							1,858,909
TOTAL CORPORATE BONDS (Identified cost—$3,384,802)							2,783,779
			Ownership%*
PRIVATE REAL ESTATE—OFFICE	1.3%
Legacy Gateway JV LLC, Plano, TX(h)				7.9	%		3,905,119
TOTAL PRIVATE REAL ESTATE (Identified cost—$3,297,269)							3,905,119
			Shares
SHORT-TERM INVESTMENTS	2.4%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 2.47%(i)				7,460,776			7,460,776
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$7,460,776)							7,460,776

10

			Value
PURCHASED OPTION CONTRACTS (Premiums paid—$21,120)	0.0	%	$	8,399
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$275,974,360)	100.2	%		310,926,231
WRITTEN OPTION CONTRACTS (Premiums received—$75,905)	(0.1	)		(299,782	)
SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE	(0.1	)		(125,000	)
LIABILITIES IN EXCESS OF OTHER ASSETS	(0.0	)		(78,747	)
NET ASSETS (Equivalent to $11.77 per share based on 26,384,080 shares of common stock outstanding)	100.0	%	$	310,422,702

Exchange-Traded Option Contracts

Purchased Options
Description	Exercise Price		Expiration Date		Number of Contracts		Notional Amountj		Premiums Paid		Value
Call — Prologis, Inc.	$	140.00		10/21/22		56	$	568,960	$	7,640	$	139
Call — American Tower Corp.		240.00		11/18/22		28		601,160		13,480		8,260
						84	$	1,170,120	$	21,120	$	8,399

Written Options
Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amountj			Premiums Received			Value
Call — Prologis, Inc.	$	145.00		10/21/22		(112	)	$	(1,137,920	)	$	(6,560	)	$	(178	)
Call — American Tower Corp.		250.00		11/18/22		(56	)		(1,202,320	)		(14,059	)		(8,120	)
Call — Public Storage		320.00		12/16/22		(21	)		(614,901	)		(11,840	)		(15,025	)
Put — Digital Realty Trust Inc.		110.00		10/21/22		(72	)		(714,096	)		(14,233	)		(89,640	)
Put — Prologis, Inc.		110.00		10/21/22		(118	)		(1,198,880	)		(16,914	)		(112,924	)
Put — Welltower, Inc.		72.50		10/21/22		(89	)		(572,448	)		(12,299	)		(73,895	)
						(468	)	$	(5,440,565	)	$	(75,905	)	$	(299,782	)

11

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	EUR	459,742	USD	463,098	10/4/22	$	12,528
Brown Brothers Harriman	USD	450,087	EUR	459,742	10/4/22		483
Brown Brothers Harriman	EUR	447,711	USD	439,145	11/2/22		(510	)
						$	12,501

Glossary of Portfolio Abbreviations

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 limited liability company prior to the impact of promote structures. Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.

(a) Restricted security. Aggregate holdings equal 0.5% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $1,335,937 ($62.50 per share). 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. $2,118,965 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) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $2,171,221 which represents 0.7% of the net assets of the Fund, of which 0.0% are illiquid.

(f) 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 $7,395,855 or 2.4% of the net assets of the Fund.

(g) 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 $9,140,660 which represents 2.9% 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 the number of contracts multiplied by notional contract size multiplied by the underlying price.

12

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 by a third-party pricing service. 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 manager in the determination of the Fund’s fair value of private real estate investments held by the REIT Subsidiary. Limited scope appraisals are prepared on a monthly basis and typically include a limited comparable sales and a full discounted cash flow analysis. Annually, a full scope, detailed appraisal report is completed which typically includes market analysis, cost approach, sales comparison approach and an income approach containing a discounted cash flow analysis. The full scope report is prepared by a third-party appraisal firm. The investment manager, including through communication with the Independent Valuation Advisor, monitors for material events that the investment manager believes may be expected to have a material impact on the most recent estimated fair values of such private real estate investments. 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 manager, in conjunction with the Independent Valuation Advisor, values the private real estate

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

investments using the valuation methodology it deems most appropriate and consistent with industry best practices and market conditions. The investment manager expects the primary methodology used to value private real estate investments will be the income approach. 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. Private 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.

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

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

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

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

The inputs or methodology used for valuing investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

The following is a summary of the inputs used as of September 30, 2022 in valuing the Fund’s investments carried at value:

	Quoted Prices in Active  Markets for Identical Investments (Level  1)			Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total
Common Stock:
Real Estate—Industrials	$	31,991,877		$	—		$	1,715,503	(a)	$	33,707,380
Other Industries		203,433,006			—			—			203,433,006
Preferred Securities—$25 Par Value		28,354,646			—			—			28,354,646
Preferred Securities—Capital Securities		—			31,273,126			—			31,273,126
Corporate Bonds		—			2,783,779			—			2,783,779
Private Real Estate—Office		—			—			3,905,119	(b)		3,905,119
Short-Term Investments		—			7,460,776			—			7,460,776
Purchased Option Contracts		8,260			139			—			8,399
Total Investments in Securities(c)	$	263,787,789		$	41,517,820		$	5,620,622		$	310,926,231
Forward Foreign Currency Exchange Contracts	$	—		$	13,011		$	—		$	13,011
Total Derivative Assets(c)	$	—		$	13,011		$	—		$	13,011
Forward Foreign Currency Exchange Contracts	$	—		$	(510	)	$	—		$	(510	)
Written Option Contracts		(299,782	)		—			—			(299,782	)
Total Derivative Liabilities(c)	$	(299,782	)	$	(510	)	$	—		$	(300,292	)

(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) Private Real Estate, 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. See Note 1-Portfolio Valuation.

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

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

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

	Common Stock— Real Estate— Industrials			Private Real Estate— Office
Balance as of December 31, 2021	$	2,182,913		$	—
Purchases		—			7,129,806
Return of capital distribution		—			(3,832,537	)
Change in unrealized appreciation (depreciation)		(467,410	)		607,850
Balance as of September 30, 2022	$	1,715,503		$	3,905,119

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2022 which were valued using significant unobservable inputs (Level 3) amounted to $140,440.

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

	Fair Value at September 30, 2022		Valuation Technique	Unobservable Inputs	Amount	Valuation Impact from an Increase in Input(a)
Common Stock— Real Estate— Industrials	$	1,715,503	Market Comparable Companies	Enterprise Value/ EBITDA(b) Multiple Liquidity Discount	21.3x 15%		Increase Decrease
Private Real Estate— Office	$	3,905,119	Discounted Cash Flow	Discount Rate Terminal Capitalization Rate	7.00% 6.00%		Decrease 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.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

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.

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 for the nine months ended September 30, 2022:

	Purchased Option Contracts(a),(b)		Written Option Contracts(a),(b)		Forward Foreign Currency Exchange Contracts
Average Notional Amount	$	1,038,186	$	7,406,016	$	513,825

(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 seven months for purchased option contracts and nine months for written option contracts.