Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

September 30, 2024 (Unaudited)

 

						Shares				Value
COMMON STOCK—REAL ESTATE			78.2	%
APARTMENT			4.3	%
AvalonBay Communities, Inc.							6,099			$	1,373,800
Camden Property Trust							8,641				1,067,423
Essex Property Trust, Inc.							9,582				2,830,714
UDR, Inc.							207,883				9,425,415
											14,697,352
DATA CENTERS			9.4	%
Digital Realty Trust, Inc.							107,423				17,384,264
Equinix, Inc.							16,501				14,646,783
											32,031,047
FREE STANDING			3.3	%
Agree Realty Corp.							36,051				2,715,722
NETSTREIT Corp.							142,445				2,354,616
Realty Income Corp.							96,754				6,136,138
											11,206,476
GAMING			3.2	%
VICI Properties, Inc., Class A							325,313				10,836,176
HEALTH CARE			11.2	%
Healthcare Realty Trust, Inc., Class A							433,472				7,867,517
Omega Healthcare Investors, Inc.							91,191				3,711,474
Welltower, Inc.							208,640				26,712,179
											38,291,170
HOTEL			1.1	%
Host Hotels & Resorts, Inc.							207,770				3,656,752
INDUSTRIALS			7.1	%
Americold Realty Trust, Inc.							106,681				3,015,872
BG LLH, LLC (Lineage Logistics)(a)							21,740				1,703,981
Lineage, Inc.							1,767				138,497
Prologis, Inc.(b)							142,795				18,032,153
Rexford Industrial Realty, Inc.							26,994				1,358,068
											24,248,571
MANUFACTURED HOME			3.2	%
Equity LifeStyle Properties, Inc.							46,730				3,333,718
Sun Communities, Inc.							55,379				7,484,472
											10,818,190
OFFICE			0.7	%
Highwoods Properties, Inc.							71,119				2,383,198
REGIONAL MALL			4.7	%
Simon Property Group, Inc.							93,793				15,852,893
SELF STORAGE			5.6	%
Extra Space Storage, Inc.							47,440				8,548,214
Public Storage							28,722				10,451,074
											18,999,288
SHOPPING CENTER			1.8	%
Kimco Realty Corp.							268,353				6,231,157

 

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						Shares				Value
SINGLE FAMILY HOMES			3.5	%
Invitation Homes, Inc.							335,917			$	11,844,433
SPECIALTY			2.9	%
Iron Mountain, Inc.							75,940				9,023,950
Lamar Advertising Co., Class A							6,511				869,870
											9,893,820
TELECOMMUNICATIONS			13.1	%
American Tower Corp.							132,592				30,835,595
Crown Castle, Inc.							116,300				13,796,669
											44,632,264
TIMBERLAND			3.1	%
Rayonier, Inc.							94,383				3,037,245
Weyerhaeuser Co.							223,387				7,563,884
											10,601,129
TOTAL COMMON STOCK (Identified cost—$194,081,822)											266,223,916
PREFERRED SECURITIES—EXCHANGE-TRADED			7.8	%
BANKING			0.9	%
Bank of America Corp., 5.375%, Series KK(c)							14,965				367,091
Bank of America Corp., 6.00%, Series GG(c)							24,869				625,953
JPMorgan Chase & Co., 4.625%, Series LL(c)							22,843				523,105
JPMorgan Chase & Co., 5.75%, Series DD(c)							13,000				328,640
Wells Fargo & Co., 4.25%, Series DD(c)							9,775				198,139
Wells Fargo & Co., 4.75%, Series Z(c)							18,400				399,096
Wells Fargo & Co., 7.50%, Series L (Convertible)(c)							500				641,100
											3,083,124
BROKERAGE			0.1	%
Morgan Stanley, 6.375%, Series I(c)							15,000				379,650
DIVERSIFIED			1.3	%
Armada Hoffler Properties, Inc., 6.75%, Series A(c)							53,000				1,353,620
DigitalBridge Group, Inc., 7.125%, Series J(c)							43,643				1,119,879
DigitalBridge Group, Inc., 7.15%, Series I(c)							74,794				1,919,962
											4,393,461
FREE STANDING			0.1	%
Agree Realty Corp., 4.25%, Series A(c)							16,180				341,560
HOTEL			0.7	%
Pebblebrook Hotel Trust, 5.70%, Series H(c)							24,000				475,200
Pebblebrook Hotel Trust, 6.375%, Series G(c)							18,566				409,937
RLJ Lodging Trust, 1.95%, Series A (Convertible)(c)							15,408				401,841
Summit Hotel Properties, Inc., 5.875%, Series F(c)							14,054				294,853
Summit Hotel Properties, Inc., 6.25%, Series E(c)							31,105				652,272
Sunstone Hotel Investors, Inc., 6.125%, Series H(c)							11,402				255,519
											2,489,622
INDUSTRIALS			0.6	%
LXP Industrial Trust, 6.50%, Series C(c)							17,289				916,317
Rexford Industrial Realty, Inc., 5.625%, Series C(c)							23,833				572,707
Rexford Industrial Realty, Inc., 5.875%, Series B(c)							15,000				362,250
											1,851,274

 

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						Shares				Value
INSURANCE			0.1	%
Allstate Corp., 7.375%, Series J(c)							10,725			$	297,083
MANUFACTURED HOME			0.2	%
UMH Properties, Inc., 6.375%, Series D(c)							18,731				451,230
OFFICE			0.3	%
City Office REIT, Inc., 6.625%, Series A(c)							20,543				394,426
Hudson Pacific Properties, Inc., 4.75%, Series C(c)							27,282				374,309
Vornado Realty Trust, 5.25%, Series N(c)							17,438				312,663
											1,081,398
REGIONAL MALL			0.0	%
Brookfield Property Partners LP, 5.75%, Series A(c)							506				7,489
SELF STORAGE			1.1	%
National Storage Affiliates Trust, 6.00%, Series A(c)							15,031				375,625
Public Storage, 4.00%, Series P(c)							33,847				649,524
Public Storage, 4.00%, Series R(c)							8,000				156,240
Public Storage, 4.625%, Series L(c)							70,000				1,534,400
Public Storage, 4.70%, Series J(c)							28,621				643,114
Public Storage, 4.75%, Series K(c)							17,000				388,280
											3,747,183
SHOPPING CENTER			1.0	%
CTO Realty Growth, Inc., 6.375%, Series A(c)							4,500				105,885
Kimco Realty Corp., 5.125%, Series L(c)							6,975				167,540
Regency Centers Corp., 5.875%, Series B(c)							25,000				608,750
Saul Centers, Inc., 6.00%, Series E(c)							21,465				506,359
Saul Centers, Inc., 6.125%, Series D(c)							39,100				907,765
SITE Centers Corp., 6.375%, Class A(c)							48,952				1,186,596
											3,482,895
SINGLE FAMILY HOMES			0.4	%
American Homes 4 Rent, 5.875%, Series G(c)							23,645				597,509
American Homes 4 Rent, 6.25%, Series H(c)							33,098				829,105
											1,426,614
SPECIALTY			0.1	%
EPR Properties, 5.75%, Series G(c)							16,472				378,691
TELECOMMUNICATION SERVICES			0.5	%
AT&T, Inc., 4.75%, Series C(c)							18,000				378,180
AT&T, Inc., 5.00%, Series A(c)							18,000				401,940
AT&T, Inc., Senior Debt, 5.625%, due 8/1/67							19,118				478,141
U.S. Cellular Corp., Senior Debt, 5.50%, due 6/1/70							17,967				397,969
											1,656,230
UTILITIES			0.4	%
CMS Energy Corp., 5.625%, due 3/15/78							5,162				128,844
CMS Energy Corp., 5.875%, due 10/15/78							17,000				420,240
CMS Energy Corp., 5.875%, due 3/1/79							20,000				495,600
Sempra, 5.75%, due 7/1/79							9,984				247,104
Southern Co., 4.95%, due 1/30/80, Series 2020							2,579				61,225
											1,353,013
TOTAL PREFERRED SECURITIES—EXCHANGE-TRADED (Identified cost—$26,423,049)											26,420,517

 

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						Principal Amount*				Value
PREFERRED SECURITIES—OVER-THE-COUNTER			8.4	%
BANKING			4.7	%
Banco Bilbao Vizcaya Argentaria SA, 9.375% to 3/19/29 (Spain)(c)(d)(e)							200,000			$	221,308
Bank of America Corp., 6.10% to 3/17/25, Series AA(c)(e)							567,000				569,201
Bank of New York Mellon Corp., 3.75% to 12/20/26, Series I(c)(e)							388,000				367,177
Bank of Nova Scotia, 8.625% to 10/27/27, due 10/27/82 (Canada)(e)							200,000				216,829
Barclays PLC, 9.625% to 12/15/29 (United Kingdom)(c)(d)(e)							800,000				902,731
BNP Paribas SA, 7.75% to 8/16/29 (France)(c)(d)(e)(f)							800,000				844,753
BNP Paribas SA, 8.50% to 8/14/28 (France)(c)(d)(e)(f)							400,000				430,137
Charles Schwab Corp., 4.00% to 6/1/26, Series I(c)(e)							1,250,000				1,200,549
Charles Schwab Corp., 4.00% to 12/1/30, Series H(c)(e)							500,000				447,771
Citigroup Capital III, 7.625%, due 12/1/36 (TruPS)							150,000				168,743
Citigroup, Inc., 4.00% to 12/10/25, Series W(c)(e)							900,000				883,399
Citigroup, Inc., 4.15% to 11/15/26, Series Y(c)(e)							400,000				385,061
Citigroup, Inc., 5.95% to 5/15/25, Series P(c)(e)							400,000				401,010
Citigroup, Inc., 6.25% to 8/15/26, Series T(c)(e)							430,000				437,623
Citigroup, Inc., 7.00% to 8/15/34, Series DD(c)(e)							150,000				160,891
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c)(d)(e)							400,000				399,137
ING Groep NV, 5.75% to 11/16/26 (Netherlands)(c)(d)(e)							600,000				595,703
ING Groep NV, 7.25% to 11/16/34 (Netherlands)(c)(d)(e)(g)							200,000				206,738
Intesa Sanpaolo SpA, 7.70% to 9/17/25 (Italy)(c)(d)(e)(f)							200,000				200,256
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c)(e)							430,000				430,000
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c)(d)(e)							800,000				809,314
PNC Financial Services Group, Inc., 6.00% to 5/15/27, Series U(c)(e)							300,000				304,562
PNC Financial Services Group, Inc., 6.20% to 9/15/27, Series V(c)(e)							553,000				564,335
Regions Financial Corp., 5.75% to 6/15/25, Series D(c)(e)							200,000				199,634
Societe Generale SA, 8.00% to 9/29/25 (France)(c)(d)(e)(f)							600,000				606,425
Societe Generale SA, 9.375% to 11/22/27 (France)(c)(d)(e)(f)							200,000				210,608
State Street Corp., 6.70% to 9/15/29, Series J(c)(e)							200,000				207,560
Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(c)(g)							EUR 200,000				253,954
Swedbank AB, 7.75% to 3/17/30 (Sweden)(c)(d)(e)(g)							200,000				212,000
Toronto-Dominion Bank, 8.125% to 10/31/27, due 10/31/82 (Canada)(e)							200,000				215,062
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c)(d)(e)(g)							400,000				401,806
UBS Group AG, 9.25% to 11/13/28 (Switzerland)(c)(d)(e)(f)							400,000				443,240
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c)(e)							1,120,000				1,089,234
Wells Fargo & Co., 6.85% to 9/15/29(c)(e)							800,000				836,962
Wells Fargo & Co., 7.625% to 9/15/28(c)(e)							270,000				294,714
											16,118,427
BROKERAGE			0.1	%
Goldman Sachs Group, Inc., 4.125% to 11/10/26, Series V(c)(e)							225,000				215,811
Goldman Sachs Group, Inc., 7.50% to 5/10/29, Series X(c)(e)							250,000				265,618
											481,429
DIVERSIFIED			0.1	%
American Assets Trust LP, 6.15%, due 10/1/34							345,000				349,147
ENERGY			0.1	%
BP Capital Markets PLC, 6.45% to 12/1/33(c)(e)							250,000				263,608
FINANCE			0.1	%
American Express Co., 3.55% to 9/15/26, Series D(c)(e)							219,000				208,089
HOTEL			0.2	%
Host Hotels & Resorts LP, 5.70%, due 7/1/34							285,000				294,403
Pebblebrook Hotel LP/PEB Finance Corp., 6.375%, due 10/15/29(f)							285,000				287,129
											581,532

 

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						Principal Amount*				Value
INDUSTRIALS			0.0	%
Americold Realty Operating Partnership LP, 5.409%, due 9/12/34							125,000			$	125,460
INSURANCE			0.5	%
Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48 (Switzerland)(e)(g)							400,000				401,199
Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52(e)							300,000				310,615
Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(e)							300,000				311,423
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(e)(g)							606,000				606,677
											1,629,914
PIPELINES			0.5	%
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(e)							300,000				300,778
Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(e)							340,000				351,110
Enbridge, Inc., 8.50% to 10/15/33, due 1/15/84 (Canada)(e)							270,000				302,669
Energy Transfer LP, 6.50% to 11/15/26, Series H(c)(e)							200,000				200,022
Energy Transfer LP, 7.125% to 5/15/30, Series G(c)(e)							515,000				527,373
											1,681,952
SHOPPING CENTER			0.3	%
Regency Centers LP, 5.25%, due 1/15/34							205,000				211,745
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80 (Australia)(e)(f)							400,000				394,730
Unibail-Rodamco-Westfield SE, 7.25% to 7/3/28 (France)(c)(e)(g)							EUR 300,000				364,273
											970,748
TELECOMMUNICATION SERVICES			0.6	%
AT&T, Inc., 2.875% to 3/2/25, Series B(c)(e)							EUR 500,000				551,972
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(e)							800,000				726,111
Vodafone Group PLC, 5.125% to 12/4/50, due 6/4/81 (United Kingdom)(e)							70,000				57,802
Vodafone Group PLC, 6.25% to 10/2/24, due 10/3/78 (United Kingdom)(e)(g)							500,000				500,000
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(e)							300,000				316,974
											2,152,859
UTILITIES			1.2	%
AES Corp., 7.60% to 10/15/29, due 1/15/55(e)							100,000				105,231
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(e)							400,000				375,028
American Electric Power Co., Inc., 6.95% to 9/15/34, due 12/15/54(e)							400,000				426,663
Dominion Energy, Inc., 4.35% to 1/15/27, Series C(c)(e)							347,000				339,696
Dominion Energy, Inc., 6.875% to 11/3/29, due 2/1/55, Series A(e)							283,000				300,638
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(e)							335,000				338,189
Entergy Corp., 7.125% to 9/1/29, due 12/1/54(e)							400,000				415,736
EUSHI Finance, Inc., 7.625% to 9/15/29, due 12/15/54(e)(f)							333,000				352,189
Sempra, 4.125% to 1/1/27, due 4/1/52(e)							500,000				477,905
Sempra, 6.40% to 7/1/34, due 10/1/54(e)							500,000				502,191
Southern Co., 3.75% to 6/15/26, due 9/15/51, Series 21-A(e)							535,000				518,760
											4,152,226
TOTAL PREFERRED SECURITIES—OVER-THE-COUNTER (Identified cost—$28,362,181)											28,715,391
CORPORATE BONDS			2.2	%
APARTMENT			0.1	%
Essex Portfolio LP, 5.50%, due 4/1/34							460,000				478,399
DATA CENTERS			0.2	%
Equinix Europe 2 Financing Corp. LLC, 5.50%, due 6/15/34							510,000				535,420

 

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						Principal Amount*				Value
DIVERSIFIED			0.1	%
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27(f)							175,000			$	163,288
FREE STANDING			0.1	%
Agree LP, 5.625%, due 6/15/34							125,000				130,832
Realty Income Corp., 5.125%, due 7/6/34							EUR 275,000				338,233
											469,065
HEALTH CARE			0.0	%
Sabra Health Care LP, 3.20%, due 12/1/31							100,000				88,065
OFFICE			0.2	%
Hudson Pacific Properties LP, 5.95%, due 2/15/28							450,000				413,256
Piedmont Operating Partnership LP, 9.25%, due 7/20/28							175,000				195,936
											609,192
RETAIL			0.1	%
Essential Properties LP, 2.95%, due 7/15/31							200,000				174,219
SELF STORAGE			0.1	%
Public Storage Operating Co., 5.35%, due 8/1/53							225,000				232,921
SHOPPING CENTER			0.8	%
Federal Realty OP LP, 4.50%, due 12/1/44							268,000				235,743
Kimco Realty OP LLC, 6.40%, due 3/1/34							165,000				183,802
Kite Realty Group Trust, 4.75%, due 9/15/30							900,000				900,594
Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due 9/30/28(f)							550,000				516,631
Phillips Edison Grocery Center Operating Partnership I LP, 2.625%, due 11/15/31							200,000				172,322
Phillips Edison Grocery Center Operating Partnership I LP, 5.75%, due 7/15/34							255,000				266,485
Retail Opportunity Investments Partnership LP, 6.75%, due 10/15/28							275,000				295,212
Tanger Properties LP, 2.75%, due 9/1/31							225,000				193,887
											2,764,676
SINGLE FAMILY HOMES			0.0	%
American Homes 4 Rent LP, 5.50%, due 2/1/34							107,000				110,563
SPECIALTY			0.4	%
Newmark Group, Inc., 7.50%, due 1/12/29							110,000				118,926
VICI Properties LP, 5.125%, due 5/15/32							375,000				376,847
VICI Properties LP, 5.625%, due 5/15/52							200,000				195,866
VICI Properties LP, 6.125%, due 4/1/54							150,000				157,353
VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30(f)							594,000				564,562
											1,413,554
TELECOMMUNICATIONS			0.1	%
American Tower Corp., 5.65%, due 3/15/33							425,000				449,249
TOTAL CORPORATE BONDS (Identified cost—$7,276,975)											7,488,611
						Ownership%††
PRIVATE REAL ESTATE—OFFICE			0.8	%
Legacy Gateway JV LLC, Plano, TX(h)							7.9	%			2,753,141
TOTAL PRIVATE REAL ESTATE (Identified cost—$3,297,269)											2,753,141

 

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						Shares				Value
SHORT-TERM INVESTMENTS			2.5	%
MONEY MARKET FUNDS
State Street Institutional Treasury Plus Money Market Fund, Premier Class, 4.95%(i)							7,855,566			$	7,855,566
State Street Institutional U.S. Government Money Market Fund, Premier Class, 4.94%(i)							463,553				463,553
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$8,319,119)											8,319,119
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$267,760,415)			99.9	%							339,920,695
WRITTEN OPTION CONTRACTS (Premiums received—$44,337)			(0.0	)							(31,842	)
OTHER ASSETS IN EXCESS OF LIABILITIES			0.1								573,633
SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE			(0.0	)							(125,000	)
NET ASSETS (Equivalent to $12.77 per share based on 26,655,274 shares of common stock outstanding)			100.0	%						$	340,337,486

 

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Exchange-Traded Option Contracts

 

Written Options
Description		Exercise Price					Expiration Date					Number of Contracts					Notional Amount(j)					Premiums Received					Value
Call — American Tower Corp.			$	240.00					10/18/24					(30	)			$	(697,680	)			$	(5,668	)			$	(4,440	)
Call — Prologis, Inc.				130.00					10/18/24					(53	)				(669,284	)				(11,743	)				(8,745	)
Call — Simon Property Group, Inc.				175.00					10/18/24					(40	)				(676,080	)				(8,503	)				(3,200	)
Call — Iron Mountain, Inc.				125.00					11/15/24					(59	)				(701,097	)				(15,693	)				(15,045	)
Put — Iron Mountain, Inc.				97.50					10/18/24					(59	)				(701,097	)				(2,294	)				(246	)
Put — Rexford Industrial Realty, Inc.				45.00					10/18/24					(10	)				(50,310	)				(436	)				(166	)
														(251	)			$	(3,495,548	)			$	(44,337	)			$	(31,842	)

Forward Foreign Currency Exchange Contracts

 

Counterparty		Contracts to Deliver						In Exchange For						Settlement Date		Unrealized Appreciation (Depreciation)
Brown Brothers Harriman		EUR			1,374,882			USD			1,523,878			10/2/24		$	(6,571	)
Brown Brothers Harriman		USD			1,534,588			EUR			1,374,882			10/2/24			(4,139	)
Brown Brothers Harriman		EUR			1,388,637			USD			1,551,955			11/4/24			4,068
																$	(6,642	)

Glossary of Portfolio Abbreviations

 

EUR		Euro Currency
REIT		Real Estate Investment Trust
TruPS		Trust Preferred Securities
USD		United States Dollar

 

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

*	Amount denominated in U.S. dollars unless otherwise indicated.

††	Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.

(a)	Restricted security. Aggregate holdings equal 0.5% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $1,335,937.

(b)	All or a portion of the security is pledged in connection with exchange-traded written option contracts. $661,202 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)	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 $6,484,156 or 1.9% of the net assets of the Fund.

(e)	Security converts to floating rate after the indicated fixed–rate coupon period.

(f)	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $5,013,948 which represents 1.5% of the net assets of the Fund, of which 0.0% are illiquid.

(g)	Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $2,946,647 which represents 0.9% of the net assets of the Fund, of which 0.0% are illiquid.

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

(i)	Rate quoted represents the annualized seven–day yield.

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

 

8

 

 

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COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

 

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges 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 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.

 

 

 

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COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

 

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

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgements 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.

The following is a summary of the inputs used as of September 30, 2024 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		$	266,223,916			$	—			$	—			$	266,223,916
Preferred Securities—Exchange-Traded			26,420,517				—				—				26,420,517
Preferred Securities—Over-the-Counter			—				28,715,391				—				28,715,391
Corporate Bonds			—				7,488,611				—				7,488,611
Private Real Estate—Office			—				—				2,753,141	(a)			2,753,141
Short-Term Investments			—				8,319,119				—				8,319,119
Total Investments in Securities(b)		$	292,644,433			$	44,523,121			$	2,753,141			$	339,920,695
Forward Foreign Currency Exchange Contracts		$	—			$	4,068			$	—			$	4,068
Total Derivative Assets(b)		$	—			$	4,068			$	—			$	4,068
Forward Foreign Currency Exchange Contracts		$	—			$	(10,710	)		$	—			$	(10,710	)
Written Option Contracts			(31,430	)			(412	)			—				(31,842	)
Total Derivative Liabilities(b)		$	(31,430	)		$	(11,122	)		$	—			$	(42,552	)

 

(a)	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.

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

 

 

 

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COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

 

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

 

		Balance as of December 31, 2023				Transfer out of Level 3(a)				Change in unrealized appreciation (depreciation)				Balance as of September 30, 2024
Common Stock—Real Estate—Industrials		$	2,363,790			$	(1,703,981	)		$	(659,809	)		$	—
Private Real Estate—Office			3,058,561				—				(305,420	)			2,753,141

 

(a)	As of December 31, 2023, the Fund used significant unobservable inputs in determining the value of this investment. As of September 30, 2024, the same investment was transferred from Level 3 to Level 1 as a result of the availability of quoted prices in active markets.

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2024 which were valued using significant unobservable inputs (Level 3) amounted to $(305,420).

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

 

Fair Value at September 30, 2024

Valuation Technique

Unobservable Inputs

Amount

Valuation Impact from an Increase in Input(a)

Discounted

Terminal Capitalization Rate

7.00

%

Decrease

Private Real Estate—Office

$

2,753,141

Cash Flow

Discount Rate

8.00

%

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.

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.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the 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

 

 

 

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COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

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

 

against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.

The following summarizes the monthly average volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the nine months ended September 30, 2024:

 

		Purchased Option Contracts(b)				Written Option Contracts(b)				Forward Foreign Currency Exchange Contracts
Average Notional Amount(a)		$	603,930			$	4,295,165			$	1,219,012

 

(a)

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

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

 

 

 

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