COHEN & STEERS TOTAL RETURN REALTY FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
March 31, 2023 (Unaudited)
| Shares | Value | |||||||||||
| COMMON STOCK |
77.1 | % | ||||||||||
| COMMUNICATIONS—TOWERS |
8.7 | % | ||||||||||
| American Tower Corp. |
86,483 | $ | 17,671,936 | |||||||||
| Crown Castle, Inc. |
67,556 | 9,041,695 | ||||||||||
|
|
|
|||||||||||
| 26,713,631 | ||||||||||||
|
|
|
|||||||||||
| REAL ESTATE |
68.4 | % | ||||||||||
| DATA CENTERS |
8.6 | % | ||||||||||
| Digital Realty Trust, Inc. |
155,364 | 15,273,835 | ||||||||||
| Equinix, Inc. |
15,455 | 11,143,673 | ||||||||||
|
|
|
|||||||||||
| 26,417,508 | ||||||||||||
|
|
|
|||||||||||
| HEALTH CARE |
8.1 | % | ||||||||||
| Healthcare Realty Trust, Inc., Class A |
383,865 | 7,420,111 | ||||||||||
| Welltower, Inc. |
246,089 | 17,642,120 | ||||||||||
|
|
|
|||||||||||
| 25,062,231 | ||||||||||||
|
|
|
|||||||||||
| HOTEL |
1.0 | % | ||||||||||
| Host Hotels & Resorts, Inc. |
180,731 | 2,980,254 | ||||||||||
|
|
|
|||||||||||
| HOTEL & RESORT REITS |
0.4 | % | ||||||||||
| Xenia Hotels & Resorts, Inc. |
94,908 | 1,242,346 | ||||||||||
|
|
|
|||||||||||
| INDUSTRIALS |
11.5 | % | ||||||||||
| Americold Realty Trust, Inc. |
210,861 | 5,998,995 | ||||||||||
| BG LLH, LLC (Lineage Logistics)(a) |
21,740 | 2,223,350 | ||||||||||
| Prologis, Inc.(b) |
219,047 | 27,330,494 | ||||||||||
|
|
|
|||||||||||
| 35,552,839 | ||||||||||||
|
|
|
|||||||||||
| NET LEASE |
8.3 | % | ||||||||||
| NETSTREIT Corp.(b) |
100,044 | 1,828,804 | ||||||||||
| Realty Income Corp. |
247,251 | 15,655,933 | ||||||||||
| Spirit Realty Capital, Inc. |
119,672 | 4,767,733 | ||||||||||
| VICI Properties, Inc. |
103,888 | 3,388,827 | ||||||||||
|
|
|
|||||||||||
| 25,641,297 | ||||||||||||
|
|
|
|||||||||||
| OFFICE |
1.1 | % | ||||||||||
| Cousins Properties, Inc. |
76,175 | 1,628,621 | ||||||||||
| Highwoods Properties, Inc. |
71,119 | 1,649,250 | ||||||||||
|
|
|
|||||||||||
| 3,277,871 | ||||||||||||
|
|
|
|||||||||||
| RESIDENTIAL |
16.1 | % | ||||||||||
| APARTMENT |
8.2 | % | ||||||||||
| Apartment Income REIT Corp. |
67,866 | 2,430,282 | ||||||||||
1
| Shares | Value | |||||||||||
| Camden Property Trust |
46,505 | $ | 4,875,584 | |||||||||
| Mid-America Apartment Communities, Inc. |
68,384 | 10,328,719 | ||||||||||
| UDR, Inc. |
189,607 | 7,785,263 | ||||||||||
|
|
|
|||||||||||
| 25,419,848 | ||||||||||||
|
|
|
|||||||||||
| MANUFACTURED HOME |
2.0 | % | ||||||||||
| Sun Communities, Inc. |
42,411 | 5,974,862 | ||||||||||
|
|
|
|||||||||||
| SINGLE FAMILY |
5.9 | % | ||||||||||
| American Homes 4 Rent, Class A |
79,252 | 2,492,476 | ||||||||||
| Invitation Homes, Inc. |
507,023 | 15,834,328 | ||||||||||
|
|
|
|||||||||||
| 18,326,804 | ||||||||||||
|
|
|
|||||||||||
| TOTAL RESIDENTIAL |
49,721,514 | |||||||||||
|
|
|
|||||||||||
| SELF STORAGE |
6.5 | % | ||||||||||
| Extra Space Storage, Inc. |
56,501 | 9,205,708 | ||||||||||
| Public Storage |
36,348 | 10,982,185 | ||||||||||
|
|
|
|||||||||||
| 20,187,893 | ||||||||||||
|
|
|
|||||||||||
| SHOPPING CENTERS |
5.9 | % | ||||||||||
| COMMUNITY CENTER |
1.6 | % | ||||||||||
| Kimco Realty Corp. |
253,977 | 4,960,171 | ||||||||||
|
|
|
|||||||||||
| REGIONAL MALL |
4.3 | % | ||||||||||
| Simon Property Group, Inc. |
119,491 | 13,379,407 | ||||||||||
|
|
|
|||||||||||
| TOTAL SHOPPING CENTERS |
18,339,578 | |||||||||||
|
|
|
|||||||||||
| SPECIALTY |
0.5 | % | ||||||||||
| Lamar Advertising Co., Class A |
16,425 | 1,640,693 | ||||||||||
|
|
|
|||||||||||
| TIMBER |
0.4 | % | ||||||||||
| Weyerhaeuser Co. |
40,389 | 1,216,921 | ||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
211,280,945 | |||||||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCK |
237,994,576 | |||||||||||
|
|
|
|||||||||||
| PREFERRED SECURITIES—$25 PAR VALUE |
9.3 | % | ||||||||||
| BANKS |
1.2 | % | ||||||||||
| Bank of America Corp., 6.00%, Series GG(c) |
24,869 | 612,026 | ||||||||||
| Bank of America Corp., 5.375%, Series KK(c) |
14,965 | 343,746 | ||||||||||
| JPMorgan Chase & Co., 5.75%, Series DD(c) |
25,000 | 622,750 | ||||||||||
| JPMorgan Chase & Co., 4.75%, Series GG(c) |
25,000 | 540,250 | ||||||||||
| JPMorgan Chase & Co., 4.625%, Series LL(c) |
22,843 | 482,444 | ||||||||||
| KeyCorp., 6.20% to 12/15/27(c),(d) |
6,000 | 133,980 | ||||||||||
2
| Shares | Value | |||||||||||
| Truist Financial Corp., 4.75%, Series R(c) |
15,000 | $ | 317,850 | |||||||||
| Wells Fargo & Co., 4.25%, Series DD(c) |
9,775 | 168,130 | ||||||||||
| Wells Fargo & Co., 4.75%, Series Z(c) |
18,400 | 353,464 | ||||||||||
|
|
|
|||||||||||
| 3,574,640 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC |
0.5 | % | ||||||||||
| CMS Energy Corp., 5.625%, due 3/15/78 |
5,162 | 125,179 | ||||||||||
| CMS Energy Corp., 5.875%, due 10/15/78 |
17,000 | 410,210 | ||||||||||
| CMS Energy Corp., 5.875%, due 3/1/79 |
20,000 | 485,800 | ||||||||||
| DTE Energy Co., 5.25%, due 12/1/77, Series E |
12,000 | 276,360 | ||||||||||
| Southern Co./The, 4.95%, due 1/30/80, Series 2020 |
7,000 | 158,200 | ||||||||||
|
|
|
|||||||||||
| 1,455,749 | ||||||||||||
|
|
|
|||||||||||
| FINANCIAL—INVESTMENT BANKER/BROKER |
0.1 | % | ||||||||||
| Morgan Stanley, 6.375% to 10/15/24, Series I(c),(d) |
15,000 | 369,450 | ||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES |
0.5 | % | ||||||||||
| AT&T, Inc., 5.625%, due 8/1/67 |
19,118 | 476,229 | ||||||||||
| AT&T, Inc., 5.00%, Series A(c) |
18,000 | 407,880 | ||||||||||
| AT&T, Inc., 4.75%, Series C(c) |
18,000 | 382,860 | ||||||||||
| United States Cellular Corp., 5.50%, due 6/1/70 |
21,378 | 364,923 | ||||||||||
|
|
|
|||||||||||
| 1,631,892 | ||||||||||||
|
|
|
|||||||||||
| PIPELINES |
0.2 | % | ||||||||||
| Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d) |
27,235 | 658,542 | ||||||||||
|
|
|
|||||||||||
| REAL ESTATE |
6.7 | % | ||||||||||
| DATA CENTERS |
1.0 | % | ||||||||||
| Digital Realty Trust, Inc., 5.85%, Series K(c) |
16,005 | 371,476 | ||||||||||
| Digital Realty Trust, Inc., 5.20%, Series L(c) |
10,175 | 218,762 | ||||||||||
| DigitalBridge Group, Inc., 7.15%, Series I(c) |
74,794 | 1,434,549 | ||||||||||
| DigitalBridge Group, Inc., 7.125%, Series J(c) |
43,643 | 819,616 | ||||||||||
| KKR Real Estate Finance Trust, Inc., 6.50%, Series A(c) |
9,001 | 143,746 | ||||||||||
|
|
|
|||||||||||
| 2,988,149 | ||||||||||||
|
|
|
|||||||||||
| DIVERSIFIED |
0.9 | % | ||||||||||
| Armada Hoffler Properties, Inc., 6.75%, Series A(c) |
53,000 | 1,107,170 | ||||||||||
| EPR Properties, 5.75%, Series G(c) |
16,472 | 275,741 | ||||||||||
| Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(c) |
17,289 | 839,035 | ||||||||||
| Urstadt Biddle Properties, Inc., 5.875%, Series K(c) |
20,000 | 413,600 | ||||||||||
|
|
|
|||||||||||
| 2,635,546 | ||||||||||||
|
|
|
|||||||||||
| HOTEL |
1.2 | % | ||||||||||
| Pebblebrook Hotel Trust, 6.30%, Series F(c) |
28,944 | 544,147 | ||||||||||
3
| Shares | Value | |||||||||||
| Pebblebrook Hotel Trust, 6.375%, Series G(c) |
|
28,566 | $ | 531,899 | ||||||||
| Pebblebrook Hotel Trust, 5.70%, Series H(c) |
|
24,000 | 391,200 | |||||||||
| RLJ Lodging Trust, 1.95%, Series A(c) |
|
33,675 | 843,896 | |||||||||
| Summit Hotel Properties, Inc., 6.25%, Series E(c) |
|
31,105 | 589,129 | |||||||||
| Summit Hotel Properties, Inc., 5.875%, Series F(c) |
|
19,054 | 337,446 | |||||||||
| Sunstone Hotel Investors, Inc., 6.125%, Series H(c) |
|
14,000 | 283,360 | |||||||||
| Sunstone Hotel Investors, Inc., 5.70%, Series I(c) |
|
9,827 | 188,285 | |||||||||
|
|
|
|||||||||||
| 3,709,362 | ||||||||||||
|
|
|
|||||||||||
| INDUSTRIALS |
0.3 | % | ||||||||||
| Rexford Industrial Realty, Inc., 5.875%, Series B(c) |
|
15,000 | 341,250 | |||||||||
| Rexford Industrial Realty, Inc., 5.625%, Series C(c) |
|
23,833 | 518,604 | |||||||||
|
|
|
|||||||||||
| 859,854 | ||||||||||||
|
|
|
|||||||||||
| NET LEASE |
0.4 | % | ||||||||||
| Agree Realty Corp., 4.25%, Series A(c) |
|
15,501 | 272,818 | |||||||||
| Spirit Realty Capital, Inc., 6.00%, Series A(c) |
|
47,667 | 1,102,061 | |||||||||
|
|
|
|||||||||||
| 1,374,879 | ||||||||||||
|
|
|
|||||||||||
| OFFICE |
0.6 | % | ||||||||||
| Arbor Realty Trust, Inc., 6.375%, Series D(c) |
|
7,200 | 125,640 | |||||||||
| Brookfield Property Partners LP, 5.75%, Series A(c) |
|
23,926 | 297,878 | |||||||||
| Brookfield Property Preferred LP, 6.25%, due 7/26/81 |
|
27,000 | 437,400 | |||||||||
| City Office REIT, Inc., 6.625%, Series A(c) |
|
20,543 | 362,995 | |||||||||
| Hudson Pacific Properties, Inc., 4.75%, Series C(c) |
|
28,000 | 280,000 | |||||||||
| Vornado Realty Trust, 5.25%, Series M(c) |
|
6,815 | 92,139 | |||||||||
| Vornado Realty Trust, 5.25%, Series N(c) |
|
22,545 | 293,085 | |||||||||
|
|
|
|||||||||||
| 1,889,137 | ||||||||||||
|
|
|
|||||||||||
| RESIDENTIAL |
0.7 | % | ||||||||||
| APARTMENT |
0.1 | % | ||||||||||
| Centerspace, 6.625%, Series C(c) |
|
19,695 | 480,558 | |||||||||
|
|
|
|||||||||||
| MANUFACTURED HOME |
0.2 | % | ||||||||||
| Green Brick Partners, Inc., 5.75%, Series A(c) |
|
6,230 | 114,632 | |||||||||
| UMH Properties, Inc., 6.375%, Series D(c) |
|
18,731 | 409,834 | |||||||||
|
|
|
|||||||||||
| 524,466 | ||||||||||||
|
|
|
|||||||||||
| SINGLE FAMILY |
0.4 | % | ||||||||||
| American Homes 4 Rent, 5.875%, Series G(c) |
|
23,645 | 555,894 | |||||||||
4
| Shares | Value | |||||||||||
| American Homes 4 Rent, 6.25%, Series H(c) |
29,838 | $ | 724,765 | |||||||||
|
|
|
|||||||||||
| 1,280,659 | ||||||||||||
|
|
|
|||||||||||
| TOTAL RESIDENTIAL |
|
2,285,683 | ||||||||||
|
|
|
|||||||||||
| SELF STORAGE |
0.8 | % | ||||||||||
| National Storage Affiliates Trust, 6.00%, Series A(c) |
15,031 | 345,863 | ||||||||||
| Public Storage, 4.875%, Series I(c) |
4,981 | 108,586 | ||||||||||
| Public Storage, 4.70%, Series J(c) |
268 | 5,781 | ||||||||||
| Public Storage, 4.625%, Series L(c) |
70,000 | 1,463,000 | ||||||||||
| Public Storage, 4.00%, Series P(c) |
33,847 | 625,154 | ||||||||||
|
|
|
|||||||||||
| 2,548,384 | ||||||||||||
|
|
|
|||||||||||
| SHOPPING CENTERS—COMMUNITY CENTER |
0.8 | % | ||||||||||
| Saul Centers, Inc., 6.125%, Series D(c) |
39,100 | 840,259 | ||||||||||
| Saul Centers, Inc., 6.00%, Series E(c) |
21,465 | 475,450 | ||||||||||
| SITE Centers Corp., 6.375%, Class A(c) |
48,952 | 1,147,435 | ||||||||||
|
|
|
|||||||||||
| 2,463,144 | ||||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
|
20,754,138 | ||||||||||
|
|
|
|||||||||||
| UTILITIES |
0.1 | % | ||||||||||
| Sempra Energy, 5.75%, due 7/1/79 |
9,984 | 247,004 | ||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—$25 PAR VALUE |
|
28,691,415 | ||||||||||
|
|
|
|||||||||||
| Principal Amount |
||||||||||||
| PREFERRED SECURITIES—CAPITAL SECURITIES |
9.5 | % | ||||||||||
| BANKS |
3.0 | % | ||||||||||
| Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d) |
$ | 567,000 | 557,265 | |||||||||
| Bank of America Corp., 6.125% to 4/27/27, Series TT(c),(d) |
620,000 | 611,475 | ||||||||||
| Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d) |
875,000 | 856,406 | ||||||||||
| Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(c),(d) |
388,000 | 320,915 | ||||||||||
| Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d) |
900,000 | 797,625 | ||||||||||
| Citigroup, Inc., 4.15% to 11/15/26, Series Y(c),(d) |
400,000 | 328,000 | ||||||||||
| Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d) |
400,000 | 373,278 | ||||||||||
| Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d) |
430,000 | 412,800 | ||||||||||
| Citigroup, Inc., 8.87% (3 Month US LIBOR + 4.068%), |
430,000 | 427,850 | ||||||||||
5
| Principal Amount |
Value | |||||||||||
| Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(c),(d) |
|
$ | 400,000 | $ | 332,003 | |||||||
| JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d) |
|
430,000 | 420,325 | |||||||||
| JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d) |
|
250,000 | 244,625 | |||||||||
| JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d) |
|
1,080,000 | 1,084,433 | |||||||||
| PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(c),(d) |
|
300,000 | 276,918 | |||||||||
| PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(c),(d) |
|
700,000 | 660,345 | |||||||||
| PNC Financial Services Group, Inc./The, 8.492% (3 Month US LIBOR + 3.678%), Series O (FRN)(c),(e) |
|
125,000 | 123,738 | |||||||||
| Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d) |
|
200,000 | 182,232 | |||||||||
| Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d) |
|
1,120,000 | 989,335 | |||||||||
| Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d) |
|
400,000 | 394,000 | |||||||||
|
|
|
|||||||||||
| 9,393,568 | ||||||||||||
|
|
|
|||||||||||
| BANKS—FOREIGN |
2.1 | % | ||||||||||
| Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(f),(g) |
|
200,000 | 191,277 | |||||||||
| Bank of Nova Scotia/The, 8.625% to 10/27/27, due 10/27/82 (Canada)(d) |
|
200,000 | 203,847 | |||||||||
| Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(g) |
|
800,000 | 722,000 | |||||||||
| BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(c),(d),(g),(h) |
|
600,000 | 566,442 | |||||||||
| BNP Paribas SA, 7.75% to 8/16/29, 144A (France)(c),(d),(g),(h) |
|
800,000 | 767,760 | |||||||||
| Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(c),(d),(g),(h) |
|
300,000 | 279,625 | |||||||||
| Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(g) |
|
400,000 | 326,428 | |||||||||
| ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(g) |
|
600,000 | 519,597 | |||||||||
| Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(c),(d),(g) |
|
400,000 | 378,444 | |||||||||
| Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(g) |
|
800,000 | 744,256 | |||||||||
| Societe Generale SA, 8.00% to 9/29/25, 144A (France)(c),(d),(g),(h) |
|
800,000 | 748,500 | |||||||||
| Societe Generale SA, 9.375% to 11/22/27, 144A (France)(c),(d),(g),(h) |
|
200,000 | 189,750 | |||||||||
| Toronto-Dominion Bank/The, 8.125% to 10/31/27, due 10/31/82 (Canada)(d) |
|
200,000 | 203,500 | |||||||||
| UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(c),(d),(g),(h) |
|
800,000 | 760,968 | |||||||||
|
|
|
|||||||||||
| 6,602,394 | ||||||||||||
|
|
|
|||||||||||
| COMMUNICATIONS—TOWERS |
0.1 | % | ||||||||||
| American Tower Corp., 3.60%, due 1/15/28 |
|
267,000 | 250,674 | |||||||||
|
|
|
|||||||||||
6
| Principal Amount |
Value | |||||||||||
| ELECTRIC |
0.2 | % | ||||||||||
| Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d) |
$ | 535,000 | $ | 450,117 | ||||||||
|
|
|
|||||||||||
| ELECTRIC—FOREIGN |
0.1 | % | ||||||||||
| Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A |
335,000 | 313,404 | ||||||||||
|
|
|
|||||||||||
| FINANCIAL |
0.5 | % | ||||||||||
| CREDIT CARD |
0.1 | % | ||||||||||
| American Express Co., 3.55% to 9/15/26(c),(d) |
219,000 | 185,646 | ||||||||||
|
|
|
|||||||||||
| INVESTMENT BANKER/BROKER |
0.4 | % | ||||||||||
| Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d) |
500,000 | 394,375 | ||||||||||
| Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d) |
1,250,000 | 1,020,650 | ||||||||||
|
|
|
|||||||||||
| 1,415,025 | ||||||||||||
|
|
|
|||||||||||
| TOTAL FINANCIAL |
1,600,671 | |||||||||||
|
|
|
|||||||||||
| INSURANCE |
0.9 | % | ||||||||||
| LIFE/HEALTH INSURANCE |
0.4 | % | ||||||||||
| Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52, 144A(d),(h) |
550,000 | 491,371 | ||||||||||
| Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(d) |
300,000 | 295,761 | ||||||||||
| Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(d) |
300,000 | 281,340 | ||||||||||
|
|
|
|||||||||||
| 1,068,472 | ||||||||||||
|
|
|
|||||||||||
| LIFE/HEALTH INSURANCE—FOREIGN |
0.1 | % | ||||||||||
| Dai-ichi Life Insurance Co., Ltd./The, 4.00% to 7/24/26, 144A (Japan)(c),(d),(h) |
300,000 | 278,160 | ||||||||||
|
|
|
|||||||||||
| 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),(f) |
400,000 | 375,616 | ||||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY |
0.1 | % | ||||||||||
| Markel Corp., 6.00% to 6/1/25(c),(d) |
350,000 | 336,191 | ||||||||||
|
|
|
|||||||||||
| PROPERTY CASUALTY—FOREIGN |
0.2 | % | ||||||||||
| QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(d),(f) |
606,000 | 598,948 | ||||||||||
|
|
|
|||||||||||
| TOTAL INSURANCE |
2,657,387 | |||||||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN |
0.5 | % | ||||||||||
| Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d) |
800,000 | 632,600 | ||||||||||
7
| Principal Amount |
Value | |||||||||||
| Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d),(f) |
$ | 700,000 | $ | 681,485 | ||||||||
| Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d) |
300,000 | 298,828 | ||||||||||
|
|
|
|||||||||||
| 1,612,913 | ||||||||||||
|
|
|
|||||||||||
| PIPELINES |
0.2 | % | ||||||||||
| Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d) |
200,000 | 176,500 | ||||||||||
| Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d) |
515,000 | 434,403 | ||||||||||
|
|
|
|||||||||||
| 610,903 | ||||||||||||
|
|
|
|||||||||||
| PIPELINES—FOREIGN |
0.2 | % | ||||||||||
| Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d) |
300,000 | 277,261 | ||||||||||
| Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(d) |
340,000 | 325,900 | ||||||||||
|
|
|
|||||||||||
| 603,161 | ||||||||||||
|
|
|
|||||||||||
| REAL ESTATE |
1.4 | % | ||||||||||
| FINANCE |
0.1 | % | ||||||||||
| Boston Properties LP, 2.45%, due 10/1/33 |
75,000 | 50,545 | ||||||||||
| Tanger Properties LP, 2.75%, due 9/1/31 |
225,000 | 162,427 | ||||||||||
|
|
|
|||||||||||
| 212,972 | ||||||||||||
|
|
|
|||||||||||
| HEALTH CARE |
0.0 | % | ||||||||||
| Sabra Health Care LP, 3.20%, due 12/1/31 |
100,000 | 73,455 | ||||||||||
|
|
|
|||||||||||
| INDUSTRIALS |
0.0 | % | ||||||||||
| Agree LP, 4.80%, due 10/1/32 |
150,000 | 144,687 | ||||||||||
|
|
|
|||||||||||
| NET LEASE |
0.2 | % | ||||||||||
| Essential Properties LP, 2.95%, due 7/15/31 |
200,000 | 147,091 | ||||||||||
| VICI Properties LP, 5.125%, due 5/15/32 |
375,000 | 353,640 | ||||||||||
| VICI Properties LP, 5.625%, due 5/15/52 |
200,000 | 180,323 | ||||||||||
|
|
|
|||||||||||
| 681,054 | ||||||||||||
|
|
|
|||||||||||
| OFFICE |
0.1 | % | ||||||||||
| Brandywine Operating Partnership LP, 7.55%, due 3/15/28 |
200,000 | 179,548 | ||||||||||
| Vornado Realty LP, 2.15%, due 6/1/26 |
150,000 | 120,338 | ||||||||||
|
|
|
|||||||||||
| 299,886 | ||||||||||||
|
|
|
|||||||||||
| RESIDENTIAL |
0.1 | % | ||||||||||
| AvalonBay Communities, Inc., 5.00%, due 2/15/33 |
225,000 | 228,479 | ||||||||||
|
|
|
|||||||||||
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),(h) |
$ | 600,000 | $ | 540,916 | ||||||||
| Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(d),(h) |
1,100,000 | 929,822 | ||||||||||
|
|
|
|||||||||||
| 1,470,738 | ||||||||||||
|
|
|
|||||||||||
| SELF STORAGE |
0.1 | % | ||||||||||
| Life Storage LP, 4.00%, due 6/15/29 |
300,000 | 275,913 | ||||||||||
|
|
|
|||||||||||
| SHOPPING CENTERS |
0.3 | % | ||||||||||
| Kite Realty Group Trust, 4.75%, due 9/15/30 |
900,000 | 814,702 | ||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
4,201,886 | |||||||||||
|
|
|
|||||||||||
| UTILITIES |
0.3 | % | ||||||||||
| ELECTRIC |
0.2 | % | ||||||||||
| NextEra Energy Capital Holdings, Inc., 5.00%, due 7/15/32 |
210,000 | 211,527 | ||||||||||
| Sempra Energy, 4.125% to 1/1/27, due 4/1/52(d) |
500,000 | 404,260 | ||||||||||
|
|
|
|||||||||||
| 615,787 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC—FOREIGN |
0.1 | % | ||||||||||
| Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(d) |
400,000 | 320,564 | ||||||||||
|
|
|
|||||||||||
| TOTAL UTILITIES |
936,351 | |||||||||||
|
|
|
|||||||||||
| TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$32,341,049) |
29,233,429 | |||||||||||
|
|
|
|||||||||||
| CORPORATE BONDS |
1.8 | % | ||||||||||
| COMMUNICATIONS—TOWERS |
0.1 | % | ||||||||||
| American Tower Corp., 5.65%, due 3/15/33 |
425,000 | 437,733 | ||||||||||
|
|
|
|||||||||||
| ELECTRIC |
0.1 | % | ||||||||||
| American Electric Power Co., Inc., 5.75%, due 11/1/27 |
120,000 | 124,854 | ||||||||||
| Southern California Edison Co., 5.85%, due 11/1/27 |
250,000 | 263,606 | ||||||||||
|
|
|
|||||||||||
| 388,460 | ||||||||||||
|
|
|
|||||||||||
| ELECTRIC—FOREIGN |
0.1 | % | ||||||||||
| Enel Finance International NV, 7.50%, due 10/14/32, 144A |
200,000 | 223,055 | ||||||||||
|
|
|
|||||||||||
9
| Principal Amount |
Value | |||||||||||
| FINANCIAL—INVESTMENT BANKER/BROKER |
0.1 | % | ||||||||||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 6/15/29, 144A(h) |
|
$ | 300,000 | $ | 217,174 | |||||||
|
|
|
|||||||||||
| INTEGRATED TELECOMMUNICATIONS SERVICES |
0.1 | % | ||||||||||
| AT&T, Inc., 2.875% to 3/2/25, Series B(c),(d) |
|
500,000 | 503,615 | |||||||||
|
|
|
|||||||||||
| REAL ESTATE |
1.3 | % | ||||||||||
| DIVERSIFIED |
0.2 | % | ||||||||||
| Necessity Retail REIT, Inc./The/ American Finance Operating Partner LP, 4.50%, due 9/30/28, 144A(h) |
|
600,000 | 449,476 | |||||||||
| Spirit Realty LP, 3.40%, due 1/15/30 |
|
300,000 | 258,175 | |||||||||
|
|
|
|||||||||||
| 707,651 | ||||||||||||
|
|
|
|||||||||||
| FINANCE |
0.2 | % | ||||||||||
| Boston Properties LP, 6.75%, due 12/1/27 |
|
105,000 | 103,993 | |||||||||
| Digital Realty Trust LP, 5.55%, due 1/15/28 |
|
170,000 | 169,518 | |||||||||
| Federal Realty Investment Trust, 2.75%, due 6/1/23 |
|
200,000 | 199,133 | |||||||||
|
|
|
|||||||||||
| 472,644 | ||||||||||||
|
|
|
|||||||||||
| NET LEASE |
0.6 | % | ||||||||||
| Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27, 144A(h) |
|
300,000 | 237,679 | |||||||||
| VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30, 144A(h) |
|
594,000 | 525,207 | |||||||||
| VICI Properties LP/VICI Note Co., Inc., 4.25%, due 12/1/26, 144A(h) |
|
350,000 | 326,885 | |||||||||
| VICI Properties LP/VICI Note Co., Inc., 5.75%, due 2/1/27, 144A(h) |
|
750,000 | 736,966 | |||||||||
|
|
|
|||||||||||
| 1,826,737 | ||||||||||||
|
|
|
|||||||||||
| OFFICE |
0.1 | % | ||||||||||
| Hudson Pacific Properties LP, 5.95%, due 2/15/28 |
|
450,000 | 341,164 | |||||||||
|
|
|
|||||||||||
| SHOPPING CENTERS |
0.2 | % | ||||||||||
| Kimco Realty OP LLC, 4.125%, due 12/1/46 |
|
125,000 | 95,143 | |||||||||
| Simon Property Group LP, 5.50%, due 3/8/33 |
|
285,000 | 283,822 | |||||||||
| Simon Property Group LP, 5.85%, due 3/8/53 |
|
200,000 | 199,438 | |||||||||
|
|
|
|||||||||||
| 578,403 | ||||||||||||
|
|
|
|||||||||||
| TOTAL REAL ESTATE |
|
3,926,599 | ||||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE BONDS |
5,696,636 | |||||||||||
|
|
|
|||||||||||
10
| Ownership %* | Value | |||||||||||
| PRIVATE REAL ESTATE—OFFICE |
1.2 | % | ||||||||||
| Legacy Gateway JV LLC, Plano, TX(i) |
7.9 | % | $ | 3,719,359 | ||||||||
|
|
|
|||||||||||
| TOTAL PRIVATE REAL ESTATE |
|
3,719,359 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
| SHORT-TERM INVESTMENTS |
0.8 | % | ||||||||||
| MONEY MARKET FUNDS |
||||||||||||
| State Street Institutional Treasury Money Market Fund, Premier Class, 4.53%(j) |
2,593,138 | 2,593,138 | ||||||||||
|
|
|
|||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
2,593,138 | ||||||||||
|
|
|
|||||||||||
| PURCHASED OPTION CONTRACTS |
0.0 | % | 4,050 | |||||||||
|
TOTAL INVESTMENTS IN SECURITIES |
99.7 | % | 307,932,603 | |||||||||
| WRITTEN OPTION CONTRACTS |
(0.1 | ) | (348,567 | ) | ||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES |
0.5 | 1,427,972 | ||||||||||
| SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE |
(0.1 | ) | (125,000 | ) | ||||||||
|
|
|
|
|
|||||||||
| NET ASSETS (Equivalent to $11.66 per share based on 26,501,796 shares of common stock outstanding) |
100.0 | % | $ | 308,887,008 | ||||||||
|
|
|
|
|
|||||||||
11
Exchange-Traded Option Contracts
| Purchased Options | ||||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount(k) |
Premiums Paid |
Value | ||||||||||||||||||
| Put — Equinix, Inc. |
$ | 600.00 | 5/19/23 | 9 | $ | 648,936 | $ | 8,496 | $ | 4,050 | ||||||||||||||
|
|
||||||||||||||||||||||||
| Written Options | ||||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount(k) |
Premiums Received |
Value | ||||||||||||||||||
| Call — Extra Space Storage, Inc. |
$ | 170.00 | 6/16/23 | (43 | ) | $ | (700,599 | ) | $ | (13,719 | ) | $ | (27,095 | ) | ||||||||||
| Call — Public Storage |
320.00 | 6/16/23 | (20 | ) | (604,280 | ) | (9,352 | ) | (9,880 | ) | ||||||||||||||
| Put — American Tower Corp. |
180.00 | 4/21/23 | (33 | ) | (674,322 | ) | (8,869 | ) | (1,980 | ) | ||||||||||||||
| Put — Digital Realty Trust, Inc. |
90.00 | 5/19/23 | (59 | ) | (580,029 | ) | (17,253 | ) | (14,160 | ) | ||||||||||||||
| Put — Equinix, Inc. |
580.00 | 5/19/23 | (18 | ) | (1,297,872 | ) | (11,349 | ) | (5,961 | ) | ||||||||||||||
| Put — Invitation Homes, Inc. |
30.00 | 5/19/23 | (183 | ) | (571,509 | ) | (27,188 | ) | (18,117 | ) | ||||||||||||||
| Put — Prologis, Inc. |
115.00 | 5/19/23 | (51 | ) | (636,327 | ) | (13,493 | ) | (11,016 | ) | ||||||||||||||
| Put — Prologis, Inc. |
105.00 | 5/19/23 | (48 | ) | (598,896 | ) | (8,991 | ) | (4,080 | ) | ||||||||||||||
| Put — Medical Properties Trust, Inc. |
10.00 | 7/21/23 | (1,059 | ) | (870,498 | ) | (206,427 | ) | (256,278 | ) | ||||||||||||||
| (1,514 | ) | $ | (6,534,332 | ) | $ | (316,641 | ) | $ | (348,567 | ) | ||||||||||||||
|
|
||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts
| Counterparty | Contracts to Deliver |
In Exchange For |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||
| Brown Brothers Harriman |
USD 519,166 | EUR 477,596 | 4/4/23 | $ | (1,213 | ) | ||||||||||
| Brown Brothers Harriman |
EUR 477,596 | USD 507,553 | 4/4/23 | (10,400 | ) | |||||||||||
| Brown Brothers Harriman |
EUR 477,239 | USD 519,580 | 5/3/23 | 1,173 | ||||||||||||
| $ | (10,440 | ) | ||||||||||||||
|
|
||||||||||||||||
12
Glossary of Portfolio Abbreviations
| EUR | Euro Currency | |
| FRN | Floating Rate Note | |
| LIBOR | London Interbank Offered Rate | |
| 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. 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 0.7% 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. $2,575,439 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) | Variable rate. Rate shown is in effect at March 31, 2023. |
| (f) | Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $1,847,326 which represents 0.6% of the net assets of the Fund, of which 0.0% are illiquid. |
| (g) | 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 $6,195,047 or 2.0% of the net assets of the Fund. |
| (h) | 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 $8,269,756 which represents 2.7% of the net assets of the Fund, of which 0.0% are illiquid. |
| (i) | Security value is determined based on significant unobservable inputs (Level 3). |
| (j) | Rate quoted represents the annualized seven-day yield. |
| (k) | Represents the number of contracts multiplied by notional contract size multiplied by the underlying price. |
13
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 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 manager in the determination of the Fund’s fair value of private real estate investments held by the Cohen & Steers RFI Trust (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
COHEN & STEERS TOTAL RETURN REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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 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 Board of Directors has designated the investment advisor as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment advisor is authorized to make fair valuation determinations, 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.
COHEN & STEERS TOTAL RETURN REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
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) |
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.
COHEN & STEERS TOTAL RETURN REALTY FUND, INC.
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
The following is a summary of the inputs used as of March 31, 2023 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 |
$ | 33,329,489 | $ | — | $ | 2,223,350 | a | $ | 35,552,839 | |||||||
| Other Industries |
202,441,737 | — | — | 202,441,737 | ||||||||||||
| Preferred Securities—$25 Par Value |
28,691,415 | — | — | 28,691,415 | ||||||||||||
| Preferred Securities—Capital Securities |
— | 29,233,429 | — | 29,233,429 | ||||||||||||
| Corporate Bonds |
— | 5,696,636 | — | 5,696,636 | ||||||||||||
| Private Real Estate—Office |
— | — | 3,719,359 | b | 3,719,359 | |||||||||||
| Short-Term Investments |
— | 2,593,138 | — | 2,593,138 | ||||||||||||
| Purchased Option Contracts |
4,050 | — | — | 4,050 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities(c) |
$ | 264,466,691 | $ | 37,523,203 | $ | 5,942,709 | $ | 307,932,603 | ||||||||
|
|
|
|
|
|
|
|
|
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| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 1,173 | $ | — | $ | 1,173 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Derivative Assets(c) |
$ | — | $ | 1,173 | $ | — | $ | 1,173 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (11,613 | ) | $ | — | $ | (11,613 | ) | ||||||
| Written Option Contracts |
(315,511 | ) | (33,056 | ) | — | (348,567 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Derivative Liabilities(c) |
$ | (315,511 | ) | $ | (44,669 | ) | $ | — | $ | (360,180 | ) | |||||
|
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|
|
|
|
|
|
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| (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. |
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, 2022 |
$ | 2,048,995 | $ | 3,705,013 | ||||
| Change in unrealized appreciation (depreciation) |
174,355 | 14,346 | ||||||
|
|
|
|
|
|||||
| Balance as of March 31, 2023 |
$ | 2,223,350 | $ | 3,719,359 | ||||
|
|
|
|
|
|||||
The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2023 which were valued using significant unobservable inputs (Level 3) amounted to $188,701.
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, 2023 |
Valuation Technique |
Unobservable Inputs |
Amount |
Valuation Impact from an Increase in Input(a) | ||||||
| Common Stock— |
$ 2,223,350 | Market Comparable Companies |
Enterprise Value/ EBITDA(b) Multiple |
22.5x | Increase | |||||
| Private Real Estate— |
$ 3,719,359 | Discounted Cash Flow | Discount Rate Terminal Capitalization Rate |
7.50% 6.50% |
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.
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, 2023:
| Purchased Option Contracts(a),(b) |
Written Option Contracts(a),(b) |
Forward Foreign Currency Exchange Contracts |
||||||||||
| Average Notional Amount |
$ | 649,956 | $ | 5,748,359 | $ | 508,258 | ||||||
| (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 contracts outstanding at month end. |