NPORT-EX 2 NPORT_4X10_71745842_0922.htm RFI NPORT-EX

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.