NPORT-EX 2 NPORT_4X10_79119773_0323.htm RFI N-PORT

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
(Identified cost—$188,630,225)

           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
(Identified cost—$33,359,193)

 

      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%),
Series 0 (FRN)(c),(e)

        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
(Canada)(d)

        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
(Italy)(h)

        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
(Identified cost—$6,112,004)

           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
(Identified cost—$3,297,270)

 

       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
(Identified cost—$2,593,138)

 

       2,593,138  
      

 

 

  

PURCHASED OPTION CONTRACTS
(Premiums paid—$8,496)

      0.0 %        4,050  

TOTAL INVESTMENTS IN SECURITIES
(Identified cost—$266,341,375)

      99.7 %        307,932,603  

WRITTEN OPTION CONTRACTS
(Premiums received—$316,641)

      (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  
  

 

 

    

 

 

    

 

 

    

 

 

  

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 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(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—
Real Estate—Industrials

    $ 2,223,350   

Market Comparable

Companies

   

Enterprise Value/

EBITDA(b) Multiple

    22.5x    Increase

Private Real Estate—
Office

    $ 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.