NPORT-EX 2 NPORT_5848840616221720.htm

FOR VALIDATION PURPOSES ONLY - [878623.TX]

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

March 31, 2020 (Unaudited)

						Shares				Value
COMMON STOCK			83.2	%
COMMUNICATIONS—TOWERS			14.7	%
American Tower Corp.							132,131			$	28,771,525
Crown Castle International Corp.							93,123				13,446,961
											42,218,486
REAL ESTATE			68.5	%
DATA CENTERS			12.1	%
CyrusOne, Inc.							133,963				8,272,215
Digital Realty Trust, Inc.							48,171				6,691,434
Equinix, Inc.							31,391				19,605,877
											34,569,526
HEALTH CARE			7.6	%
Healthcare Trust of America, Inc., Class A							138,685				3,367,272
Healthpeak Properties, Inc.							178,757				4,263,354
Medical Properties Trust, Inc.							216,659				3,746,034
Omega Healthcare Investors, Inc.							21,149				561,295
Ventas, Inc.							63,404				1,699,227
Welltower, Inc.							175,672				8,042,264
											21,679,446
HOTEL			1.9	%
Host Hotels & Resorts, Inc.							404,819				4,469,202
Sunstone Hotel Investors, Inc.							111,275				969,205
											5,438,407
INDUSTRIALS			6.9	%
Prologis, Inc.							244,668				19,663,967
NET LEASE			8.0	%
Agree Realty Corp.							44,035				2,725,767
Four Corners Property Trust, Inc.							154,071				2,882,668
Spirit Realty Capital, Inc.							152,941				3,999,407
VEREIT, Inc.							846,070				4,137,282
VICI Properties, Inc.							554,561				9,227,895
											22,973,019
OFFICE			4.3	%
Boston Properties, Inc.							22,244				2,051,564
Douglas Emmett, Inc.							119,896				3,658,027
Kilroy Realty Corp.							104,814				6,676,652
											12,386,243

1

						Shares				Value
RESIDENTIAL			16.5	%
APARTMENT			10.2	%
Apartment Investment & Management Co., Class A							105,156			$	3,696,233
Equity Residential							70,588				4,355,986
Essex Property Trust, Inc.							47,625				10,488,930
UDR, Inc.							292,954				10,704,539
											29,245,688
MANUFACTURED HOME			3.7	%
Equity LifeStyle Properties, Inc.							87,337				5,020,131
Sun Communities, Inc.							45,334				5,659,950
											10,680,081
SINGLE FAMILY			2.6	%
Invitation Homes, Inc.							343,302				7,336,364
TOTAL RESIDENTIAL											47,262,133
SELF STORAGE			6.6	%
Extra Space Storage, Inc.							105,006				10,055,375
Public Storage							44,418				8,821,859
											18,877,234
SHOPPING CENTERS			3.8	%
COMMUNITY CENTER			1.3	%
Regency Centers Corp.							95,218				3,659,228
REGIONAL MALL			2.5	%
Macerich Co. (The)							73,204				412,138
Simon Property Group, Inc.							126,222				6,924,539
											7,336,677
TOTAL SHOPPING CENTERS											10,995,905
SPECIALTY			0.8	%
Lamar Advertising Co., Class A							43,323				2,221,603
TOTAL REAL ESTATE											196,067,483
TOTAL COMMON STOCK (Identified cost—$198,251,496)											238,285,969

2

						Shares				Value
PREFERRED SECURITIES—$25 PAR VALUE			13.2	%
BANKS			0.6	%
GMAC Capital Trust I, 7.477% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(a)							35,000			$	717,850
JPMorgan Chase & Co., 5.75%, Series DD(b)							25,000				633,750
Wells Fargo & Co., 4.75%, Series Z(b)							18,400				386,400
											1,738,000
FINANCIAL—INVESTMENT BANKER/BROKER			0.3	%
Morgan Stanley, 6.375% to 10/15/24, Series I(b),(c)							40,000				1,002,800
PIPELINES			0.1	%
Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(b),(c)							27,235				338,531
REAL ESTATE			12.0	%
DATA CENTERS			1.1	%
Digital Realty Trust, Inc., 6.625%, Series C(b)							29,225				736,178
Digital Realty Trust, Inc., 6.35%, Series I(b)							50,000				1,245,500
Digital Realty Trust, Inc., 5.85%, Series K(b)							19,588				488,916
Digital Realty Trust, Inc., 5.20%, Series L(b)							22,000				507,100
											2,977,694
DIVERSIFIED			1.0	%
Colony Capital, Inc., 7.15%, Series I(b)							49,794				458,105
Colony Capital, Inc., 7.125%, Series J(b)							21,666				190,227
EPR Properties, 5.75%, Series G(b)							22,541				350,513
Investors Real Estate Trust, 6.625%, Series C(b)							19,695				487,451
Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(b)							12,789				562,716
National Retail Properties, Inc., 5.20%, Series F(b)							20,345				446,573
Urstadt Biddle Properties, Inc., 5.875%, Series K(b)							25,000				422,292
											2,917,877
HEALTH CARE			0.1	%
Diversified Healthcare Trust, 5.625%							13,743				219,476
HOTEL			1.4	%
Ashford Hospitality Trust, Inc., 7.375%, Series F(b)							43,000				283,800
Ashford Hospitality Trust, Inc., 7.375%, Series G(b)							24,463				160,477
Ashford Hospitality Trust, Inc., 7.50%, Series H(b)							20,000				140,600
Ashford Hospitality Trust, Inc., 7.50%, Series I(b)							30,000				201,900
Hersha Hospitality Trust, 6.50%, Series D(b)							23,937				148,888
Hersha Hospitality Trust, 6.50%, Series E(b)							10,348				65,296
Pebblebrook Hotel Trust, 6.30%, Series F(b)							38,944				612,589
RLJ Lodging Trust, 1.95%, Series A(b)							19,675				344,313

3

						Shares				Value
Summit Hotel Properties, Inc., 6.45%, Series D(b)							26,000			$	354,640
Summit Hotel Properties, Inc., 6.25%, Series E(b)							41,881				550,735
Sunstone Hotel Investors, Inc., 6.95%, Series E(b)							32,000				640,000
Sunstone Hotel Investors, Inc., 6.45%, Series F(b)							29,825				574,131
											4,077,369
INDUSTRIALS			1.6	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(b)							65,000				1,452,100
PS Business Parks, Inc., 5.20%, Series Y(b)							25,000				574,500
PS Business Parks, Inc., 4.875%, Series Z(b)							18,000				375,480
Rexford Industrial Realty, Inc., 5.875%, Series A(b)							41,973				973,774
Rexford Industrial Realty, Inc., 5.625%, Series C(b)							23,000				518,075
STAG Industrial, Inc., 6.875%, Series C(b)							28,000				707,000
											4,600,929
NET LEASE			0.9	%
Spirit Realty Capital, Inc., 6.00%, Series A(b)							47,667				1,013,877
VEREIT, Inc., 6.70%, Series F(b)							74,293				1,641,875
											2,655,752
OFFICE			0.8	%
Brookfield Property Partners LP, 5.75%, Series A(b)							36,600				512,400
Brookfield Property Partners LP, 6.50%, Series A-1(b)							24,578				421,021
City Office REIT, Inc., 6.625%, Series A(b)							25,000				431,000
SL Green Realty Corp., 6.50%, Series I(b)							42,128				960,940
											2,325,361
RESIDENTIAL			1.6	%
APARTMENT			0.3	%
Bluerock Residential Growth REIT, Inc., 8.25%, Series A(b)							34,725				668,456
MANUFACTURED HOME			0.4	%
UMH Properties, Inc., 8.00%, Series B(b)							20,000				440,000
UMH Properties, Inc., 6.75%, Series C(b)							32,000				624,925
											1,064,925
SINGLE FAMILY			0.9	%
American Homes 4 Rent, 6.50%, Series D(b)							23,911				565,734
American Homes 4 Rent, 6.35%, Series E(b)							36,927				886,248
American Homes 4 Rent, 5.875%, Series F(b)							19,063				450,078
American Homes 4 Rent, 5.875%, Series G(b)							10,000				230,500

4

						Shares				Value
American Homes 4 Rent, 6.25%, Series H(b)							22,767			$	537,301
											2,669,861
TOTAL RESIDENTIAL											4,403,242
SELF STORAGE			0.7	%
National Storage Affiliates Trust, 6.00%, Series A(b)							25,000				574,250
Public Storage, 5.40%, Series B(b)							14,883				364,782
Public Storage, 5.15%, Series F(b)							12,030				292,329
Public Storage, 4.75%, Series K(b)							15,425				363,567
Public Storage, 5.375%, Series V(b)							19,762				476,660
											2,071,588
SHOPPING CENTERS			2.6	%
COMMUNITY CENTER			1.6	%
Cedar Realty Trust, Inc., 7.25%, Series B(b)							4,014				43,421
Cedar Realty Trust, Inc., 6.50%, Series C(b)							15,000				142,500
Kimco Realty Corp., 5.125%, Series L(b)							15,000				325,500
Saul Centers, Inc., 6.125%, Series D(b)							47,400				758,675
Saul Centers, Inc., 6.00%, Series E(b)							23,000				338,100
SITE Centers Corp., 6.375%, Series A(b)							44,952				837,897
SITE Centers Corp., 6.25%, Series K(b)							116,702				2,164,822
											4,610,915
REGIONAL MALL			1.0	%
Brookfield Property REIT, Inc., 6.375%, Series A(b)							23,000				325,450
Pennsylvania REIT, 7.20%, Series C(b)							30,050				72,270
Pennsylvania REIT, 6.875%, Series D(b)							18,494				63,619
Taubman Centers, Inc., 6.50%, Series J(b)							33,722				735,140
Taubman Centers, Inc., 6.25%, Series K(b)							71,351				1,568,295
											2,764,774
TOTAL SHOPPING CENTERS											7,375,689
SPECIALTY			0.2	%
QTS Realty Trust, Inc., 7.125%, Series A(b)							23,400				595,764
TOTAL REAL ESTATE											34,220,741
UTILITIES			0.2	%
NextEra Energy Capital Holdings, Inc., 5.65%, due 3/1/79, Series N							19,000				483,930
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$49,517,138)											37,784,002

5

						Principal Amount				Value
PREFERRED SECURITIES—CAPITAL SECURITIES			2.7	%
BANKS			0.5	%
Citigroup, Inc., 4.70% to 1/30/25, Series V(b),(c)						$	160,000			$	138,700
Farm Credit Bank of Texas, 10.00%, Series 1(b)							500	†			504,750
JPMorgan Chase & Co., 5.24% (3 Month US LIBOR + 3.47%), Series I (FRN)(a),(b)							857,000				774,938
											1,418,388
BANKS—FOREIGN			0.8	%
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(b),(c),(d),(e)							500,000				462,745
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(b),(c),(e),(f)							700,000				678,174
Royal Bank of Scotland Group PLC, 8.625% to 8/15/21 (United Kingdom)(b),(c),(e)							500,000				490,163
UBS Group Funding Switzerland AG, 7.00% to 1/31/24, 144A (Switzerland)(b),(c),(e),(f)							600,000				564,417
											2,195,499
COMMUNICATIONS—TOWERS			0.7	%
Crown Castle International Corp., 6.875%, due 8/1/20, Series A (Convertible)							1,300	†			1,682,321
SBA Communications Corp., due 2/15/27, 144A(f)							350,000				353,500
											2,035,821
INSURANCE—PROPERTY CASUALTY—FOREIGN			0.2	%
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(c),(d)							606,000				600,998
PIPELINES			0.1	%
Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(b),(c)							340,000				205,047
REAL ESTATE			0.4	%
HOTEL			0.1	%
Service Properties Trust, 4.95%, due 10/1/29							400,000				347,509
NET LEASE			0.2	%
Spirit Realty Capital, Inc., 3.75%, due 5/15/21							300,000				284,946
VICI Properties LP, 4.125%, due 8/15/30, 144A(f)							244,000				232,562
											517,508

6

						Principal Amount				Value
SPECIALTY			0.1	%
Brookfield Property REIT, Inc., 5.75%, due 5/15/26, 144A(f)						$	500,000			$	408,501
TOTAL REAL ESTATE											1,273,518
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$7,963,565)											7,729,271
CORPORATE BONDS—REAL ESTATE			0.1	%
Sabra Health Care LP, 4.80%, due 6/1/24							200,000				203,337
TOTAL CORPORATE BONDS (Identified cost—$199,768)											203,337
						Shares
SHORT-TERM INVESTMENTS			1.0	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 0.58%(g)							2,958,430				2,958,430
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$2,958,430)											2,958,430
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$258,890,397)			100.2	%							286,961,009
WRITTEN OPTION CONTRACTS			(0.5	)							(1,521,155	)
OTHER ASSETS IN EXCESS OF LIABILITIES			0.3								820,917
NET ASSETS (Equivalent to $10.92 per share based on 26,205,216 shares of common stock outstanding)			100.0	%						$	286,260,771

Exchange-Traded Option Contracts
Written Options
Description		Exercise Price				Expiration Date				Number of Contracts				Notional Amount(h)				Premiums Received				Value
Put—Simon Property Group, Inc.		$	140.00				5/15/20				(96	)		$	(526,656	)		$	(330,709	)		$	(828,959	)

7

Over-the-Counter Option Contracts

Written Options
Description		Counterparty		Exercise Price				Expiration Date				Number of Contracts				Notional Amount(h)				Premiums Received				Value
Put — Healthpeak Properties, Inc.		Goldman Sachs International		$	32.50				4/17/20				(397	)		$	(946,845	)		$	(26,397	)		$	(343,765	)
Put — Digital Realty Trust, Inc.		Morgan Stanley & Co. International PLC			115.00				5/15/20				(126	)			(1,750,266	)			(100,296	)			(38,566	)
Put — Simon Property Group, Inc.		Goldman Sachs International			135.00				5/15/20				(38	)			(208,468	)			(137,636	)			(309,865	)
													(561	)		$	(2,905,579	)		$	(264,329	)		$	(692,196	)

Glossary of Portfolio Abbreviations

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, 2020.

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

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

(d) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $1,063,743 which represents 0.4% 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 $2,195,499 or 0.8% of the net assets of the Fund.

(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 $2,237,154 which represents 0.8% 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.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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 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)

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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 March 31, 2020 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		$	238,285,969			$	238,285,969			$	—			$	—
Preferred Securities—$25 Par Value			37,784,002				37,784,002				—				—
Preferred Securities—Capital Securities			7,729,271				—				7,729,271				—
Corporate Bonds			203,337				—				203,337				—
Short-Term Investments			2,958,430				—				2,958,430				—
Total Investments in Securities(a)		$	286,961,009			$	276,069,971			$	10,891,038			$	—
Written Option Contracts		$	(1,521,155	)		$	—			$	(1,521,155	)		$	—
Total Derivative Liabilities(a)		$	(1,521,155	)		$	—			$	(1,521,155	)		$	—

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

Note 2. Derivative Investments

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/or reduce overall volatility.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

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

The following summarizes the volume of the Fund’s option contracts activity for the three months ended March 31, 2020:

		Purchased Option Contracts				Written Option Contracts
Average Notional Amount(a),(b)		$	3,013,882			$	5,313,241

(a) Average 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 option contracts and three months for written option contracts.

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