NPORT-EX 1 NPORT_837212108914270.htm

FOR VALIDATION PURPOSES ONLY - [635901.TX]

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

March 31, 2019 (Unaudited)

						Shares				Value
COMMON STOCK			81.2	%
COMMUNICATIONS—TOWERS			9.9	%
American Tower Corp.							122,079			$	24,056,888
Crown Castle International Corp.							82,887				10,609,536
											34,666,424
REAL ESTATE			71.3	%
DATA CENTERS			8.2	%
CyrusOne, Inc.							141,157				7,402,273
Digital Realty Trust, Inc.							71,340				8,489,460
Equinix, Inc.							28,584				12,953,126
											28,844,859
HEALTH CARE			8.5	%
HCP, Inc.							169,861				5,316,649
New Senior Investment Group, Inc.							546,175				2,976,654
Sabra Health Care REIT, Inc.							264,889				5,157,389
Ventas, Inc.							89,952				5,739,837
Welltower, Inc.							136,664				10,605,126
											29,795,655
HOTEL			3.1	%
Host Hotels & Resorts, Inc.							286,769				5,419,934
Pebblebrook Hotel Trust							84,536				2,625,688
Sunstone Hotel Investors, Inc.							186,993				2,692,699
											10,738,321
INDUSTRIALS			5.0	%
Prologis, Inc.							244,668				17,603,863
NET LEASE			5.9	%
Agree Realty Corp.							91,187				6,322,906
Four Corners Property Trust, Inc.							154,071				4,560,502
Gaming and Leisure Properties, Inc.							46,941				1,810,514
Spirit Realty Capital, Inc.							133,612				5,308,405
VICI Properties, Inc.							124,159				2,716,599
											20,718,926
OFFICE			7.1	%
Boston Properties, Inc.							50,429				6,751,435
Douglas Emmett, Inc.							119,896				4,846,196
Hudson Pacific Properties, Inc.							97,755				3,364,727
Kilroy Realty Corp.							96,345				7,318,366
Vornado Realty Trust							40,936				2,760,724
											25,041,448

1

						Shares				Value
RESIDENTIAL			19.1	%
APARTMENT			12.9	%
Apartment Investment & Management Co., Class A							83,063			$	4,177,238
Equity Residential							70,588				5,316,688
Essex Property Trust, Inc.							59,332				17,161,188
UDR, Inc.							406,756				18,491,128
											45,146,242
MANUFACTURED HOME			3.4	%
Equity LifeStyle Properties, Inc.							57,861				6,613,512
Sun Communities, Inc.							45,334				5,372,986
											11,986,498
SINGLE FAMILY			2.8	%
Invitation Homes, Inc.							406,519				9,890,607
TOTAL RESIDENTIAL											67,023,347
SELF STORAGE			6.2	%
Extra Space Storage, Inc.							120,593				12,289,633
Life Storage, Inc.							40,328				3,922,705
Public Storage							25,307				5,511,358
											21,723,696
SHOPPING CENTERS			6.6	%
COMMUNITY CENTER			3.5	%
Brixmor Property Group, Inc.							119,071				2,187,334
Regency Centers Corp.							86,645				5,847,671
Weingarten Realty Investors							140,982				4,140,642
											12,175,647
FREE STANDING			0.9	%
Realty Income Corp.							43,990				3,235,904
REGIONAL MALL			2.2	%
Simon Property Group, Inc.							43,271				7,884,409
TOTAL SHOPPING CENTERS											23,295,960
SPECIALTY			1.6	%
Iron Mountain, Inc.							58,644				2,079,516

2

						Shares				Value
Lamar Advertising Co., Class A							45,470			$	3,603,952
											5,683,468
TOTAL REAL ESTATE											250,469,543
TOTAL COMMON STOCK (Identified cost—$200,046,871)											285,135,967
EXCHANGE-TRADED FUNDS—U.S. EQUITY			0.2	%
iShares US Preferred Stock ETF							14,056				513,747
TOTAL EXCHANGE-TRADED FUNDS (Identified cost—$470,120)											513,747
PREFERRED SECURITIES—$25 PAR VALUE			13.7	%
BANKS			0.4	%
GMAC Capital Trust I, 8.469%, (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(a)							35,000				911,400
Regions Financial Corp., 6.375% to 9/15/24, Series B(b),(c)							20,000				535,200
											1,446,600
FINANCIAL—INVESTMENT BANKER/BROKER			0.3	%
Morgan Stanley, 6.375% to 10/15/24, Series I(b),(c)							40,000				1,067,200
REAL ESTATE			13.0	%
DIVERSIFIED			1.5	%
Colony Capital, Inc., 8.75%, Series E(c)							49,180				1,237,861
Colony Capital, Inc., 7.15%, Series I(c)							21,000				475,230
Colony Capital, Inc., 7.125%, Series J(c)							14,595				331,015
EPR Properties, 5.75%, Series G(c)							15,876				377,531
Investors Real Estate Trust, 6.625%, Series C(c)							19,695				488,436
Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(c)							11,300				608,844
National Retail Properties, Inc., 5.70%, Series E(c)							32,000				808,640
Wells Fargo Real Estate Investment Corp., 6.375%, Series A(c)							35,135				901,564
											5,229,121
HOTEL			2.3	%
Ashford Hospitality Trust, Inc., 7.375%, Series F(c)							43,000				995,880
Ashford Hospitality Trust, Inc., 7.375%, Series G(c)							24,463				560,447
Ashford Hospitality Trust, Inc., 7.50%, Series H(c)							20,000				463,000
Ashford Hospitality Trust, Inc., 7.50%, Series I(c)							30,000				698,100
Hersha Hospitality Trust, 6.50%, Series D(c)							23,937				547,918
Hersha Hospitality Trust, 6.50%, Series E(c)							10,348				247,110
Pebblebrook Hotel Trust, 6.30%, Series F(c)							38,944				969,706
RLJ Lodging Trust, 1.95%, Series A(c)							19,675				495,023
Summit Hotel Properties, Inc., 6.45%, Series D(c)							26,000				653,120

3

						Shares				Value
Summit Hotel Properties, Inc., 6.25%, Series E(c)							41,881			$	973,315
Sunstone Hotel Investors, Inc., 6.95%, Series E(c)							32,000				854,400
Sunstone Hotel Investors, Inc., 6.45%, Series F(c)							29,825				761,432
											8,219,451
INDUSTRIALS			1.5	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(c)							40,000				959,600
PS Business Parks, Inc., 5.75%, Series U(c)							39,173				992,644
PS Business Parks, Inc., 5.70%, Series V(c)							35,000				908,250
PS Business Parks, Inc., 5.20%, Series Y(c)							25,000				593,500
Rexford Industrial Realty, Inc., 5.875%, Series A(c)							41,973				1,033,795
STAG Industrial, Inc., 6.875%, Series C(c)							28,000				739,760
											5,227,549
MANUFACTURED HOME			0.3	%
UMH Properties, Inc., 8.00%, Series B(c)							20,000				522,400
UMH Properties, Inc., 6.75%, Series C(c)							20,000				511,800
											1,034,200
NET LEASE			1.3	%
Spirit Realty Capital, Inc., 6.00%, Series A(c)							47,667				1,141,148
VEREIT, Inc., 6.70%, Series F(c)							135,339				3,406,483
											4,547,631
OFFICE			0.5	%
SL Green Realty Corp., 6.50%, Series I(c)							62,492				1,613,543
RESIDENTIAL			1.1	%
APARTMENT			0.4	%
Apartment Investment & Management Co., 6.875%(c)							23,456				598,832
Bluerock Residential Growth REIT, Inc., 8.25%, Series A(c)							34,725				922,990
											1,521,822
SINGLE FAMILY			0.7	%
American Homes 4 Rent, 6.50%, Series D(c)							36,825				975,863
American Homes 4 Rent, 6.35%, Series E(c)							36,927				963,795
American Homes 4 Rent, 6.25%, Series H(c)							22,767				573,728
											2,513,386
TOTAL RESIDENTIAL											4,035,208
SELF STORAGE			0.4	%
National Storage Affiliates Trust, 6.00%, Series A(c)							25,000				622,250
Public Storage, 5.15%, Series F(c)							7,288				180,669
Public Storage, 5.60%, Series H(c)							20,000				514,800
											1,317,719

4

						Shares				Value
SHOPPING CENTERS			3.3	%
COMMUNITY CENTER			2.0	%
Cedar Realty Trust, Inc., 7.25%, Series B(c)							7,262			$	177,992
Cedar Realty Trust, Inc., 6.50%, Series C(c)							15,000				318,750
Kimco Realty Corp., 5.125%, Series L(c)							15,000				353,550
Saul Centers, Inc., 6.125%, Series D(c)							17,400				421,341
SITE Centers Corp., 6.375%, Series A(c)							44,952				1,144,028
SITE Centers Corp., 6.50%, Series J(c)							70,755				1,828,309
SITE Centers Corp., 6.25%, Series K(c)							102,362				2,634,798
											6,878,768
REGIONAL MALL			1.3	%
Brookfield Property REIT, Inc., 6.375%, Series A(c)							37,191				940,932
Pennsylvania REIT, 7.20%, Series C(c)							30,050				623,537
Pennsylvania REIT, 6.875%, Series D(c)							20,000				426,200
Taubman Centers, Inc., 6.50%, Series J(c)							33,470				865,869
Taubman Centers, Inc., 6.25%, Series K(c)							71,351				1,833,721
											4,690,259
TOTAL SHOPPING CENTERS											11,569,027
SPECIALTY			0.8	%
Digital Realty Trust, Inc., 6.625%, Series C(c)							20,000				525,600
Digital Realty Trust, Inc., 6.35%, Series I(c)							50,000				1,295,000
Digital Realty Trust, Inc., 5.85%, Series K(c)							19,588				490,288
QTS Realty Trust, Inc., 7.125%, Series A(c)							23,400				589,680
											2,900,568
TOTAL REAL ESTATE											45,694,017
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$46,852,482)											48,207,817

5

						Principal Amount				Value
PREFERRED SECURITIES—CAPITAL SECURITIES			2.7	%
BANKS			0.5	%
Bank of America Corp., 6.50% to 10/23/24, Series Z(b),(c)						$	1,000,000			$	1,085,625
Farm Credit Bank of Texas, 10.00%, Series 1(c)							500	†			562,500
											1,648,125
BANKS—FOREIGN			0.8	%
BNP Paribas SA, 7.625% to 3/30/21, 144A (France)(b),(c),(d),(e)							400,000				419,656
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(b),(c),(d),(e)							700,000				741,750
Royal Bank of Scotland Group PLC, 8.625% to 8/15/21 (United Kingdom)(b),(c),(e)							900,000				960,750
UBS Group Funding Switzerland AG, 6.875% to 3/22/21 (Switzerland)(b),(c),(e),(f)							600,000				616,216
											2,738,372
COMMUNICATIONS—TOWERS			0.4	%
Crown Castle International Corp., 6.875%, due 8/1/20, Series A (Convertible)							1,300	†			1,539,525
INSURANCE—PROPERTY CASUALTY—FOREIGN			0.2	%
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(b),(f)							606,000				643,254
REAL ESTATE			0.8	%
FINANCE			0.2	%
AT Securities BV, 5.25% to 7/21/23 (Germany)(b),(c),(f)							750,000				715,234
OFFICE			0.1	%
Boston Properties LP, 4.50%, due 12/1/28							300,000				319,788
RESIDENTIAL—SINGLE FAMILY			0.1	%
American Homes 4 Rent LP, 4.90%, due 2/15/29							525,000				544,140
SPECIALTY			0.4	%
Equinix, Inc., 5.375%, due 5/15/27							500,000				525,000
QTS Realty Trust, Inc., 6.50%, Series B(c)							7,800	†			847,236
											1,372,236
TOTAL REAL ESTATE											2,951,398
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$8,907,767)											9,520,674

6

						Shares				Value
SHORT-TERM INVESTMENTS			0.2	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 2.35%(g)							848,799			$	848,799
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$848,799)											848,799
PURCHASED OPTION CONTRACTS (Premiums paid—$49,661)			0.0	%							25,210
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$257,175,700)			98.0	%							344,252,214
WRITTEN OPTION CONTRACTS			(0.0	)							(28,703	)
OTHER ASSETS IN EXCESS OF LIABILITIES			2.0								7,120,361
NET ASSETS (Equivalent to $13.44 per share based on 26,142,041 shares of common stock outstanding)			100.0	%						$	351,343,872

Over-the-Counter Option Contracts

Purchased Options
Description		Counterparty		Exercise Price				Expiration Date				Number of Contracts				Notional Amount(h)				Premiums Paid				Value
Put — American Tower Corp.		Goldman Sachs International		$	193.30				4/18/19				169			$	3,330,314			$	49,661			$	25,210
Written Options
Description		Counterparty		Exercise Price				Expiration Date				Number of Contracts				Notional Amount(h)				Premiums Received				Value
Call — American Tower Corp.		Goldman Sachs International		$	199.16				4/18/19				(169	)		$	(3,330,314	)		$	(18,215	)		$	(24,372	)
Put — American Tower Corp.		Goldman Sachs International			183.54				4/18/19				(169	)			(3,330,314	)			(11,647	)			(4,331	)
													(338	)		$	(6,660,628	)		$	(29,862	)		$	(28,703	)

7

Glossary of Portfolio Abbreviations

ETF		Exchange-Traded Fund
FRN		Floating Rate Note
LIBOR		London Interbank Offered Rate
REIT		Real Estate Investment Trust
TruPS		Trust Preferred Securities

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

† Represents shares.

(a) Variable rate. Rate shown is in effect at March 31, 2019.

(b) Security converts to floating rate after the indicated fixed-rate coupon period.

(c) Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

(d) 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 $1,161,406 which represents 0.3% of the net assets of the Fund, of which 0.0% are illiquid.

(e) 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 $2,738,372 or 0.8% of the net assets of the Fund.

(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 $1,974,704 which represents 0.6% of the net assets of the Fund, of which 0.0% are illiquid.

(g) Rate quoted represents the annualized seven-day yield.

(h) Amount represents number of contracts multiplied by notional contract size multiplied by the underlying price.

8

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO 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.

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).

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

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 SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a summary of the inputs used as of March 31, 2019 in valuing the Fund’s investments carried at value:

		Total				Quoted Prices in Active Markets for Identical Investments (Level 1)				Other Significant Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Common Stock		$	285,135,967			$	285,135,967			$	—			$	—
Exchange—Traded Funds			513,747				513,747				—				—
Preferred Securities—$25 Par Value:
Real Estate—Hotel			8,219,451				7,566,331				653,120				—
Real Estate—Manufactured Home			1,034,200				511,800				522,400				—
Real Estate—Shopping Centers—Community Center			6,878,768				6,457,427				421,341				—
Other Industries			32,075,398				32,075,398				—				—
Preferred Securities—Capital Securities:
Real Estate—Specialty			1,372,236				847,236				525,000				—
Other Industries			8,148,438				—				8,148,438				—
Short-Term Investments			848,799				—				848,799				—
Purchase Option Contracts			25,210				—				25,210				—
Total Investments in Securities(a)		$	344,252,214			$	333,107,906			$	11,144,308			$	—
Written Option Contracts		$	(28,703	)		$	—			$	(28,703	)		$	—
Total Derivative Liabilities(a)		$	(28,703	)		$	—			$	(28,703	)		$	—

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

Note 2. Derivative Instruments

Options: 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 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 index or security. 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 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 activity for the three months ended March 31, 2019:

		Purchased Option Contracts				Written Option Contracts
Average Notional Amount(a)(b)		$	3,330,314			$	4,061,737

(a) Notional amounts represent the average for all months in which the Fund had option contracts outstanding at month-end. For the period, this represents one month for purchased options and two months for written options.

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