NPORT-EX 2 NPORT_350101674106140.htm

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COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

September 30, 2020 (Unaudited)

						Shares				Value
COMMON STOCK			83.2	%
COMMUNICATIONS—TOWERS			17.4	%
American Tower Corp.							98,416			$	23,790,100
Crown Castle International Corp.							116,309				19,365,448
SBA Communications Corp.							42,264				13,460,239
											56,615,787
REAL ESTATE			65.8	%
DATA CENTERS			8.3	%
CyrusOne, Inc.							111,911				7,837,127
Equinix, Inc.							25,342				19,263,215
											27,100,342
HEALTH CARE			11.3	%
Healthpeak Properties, Inc.							251,606				6,831,103
Medical Properties Trust, Inc.							342,375				6,036,071
Ventas, Inc.							263,338				11,049,663
Welltower, Inc.							230,790				12,714,221
											36,631,058
HOTEL			0.8	%
Host Hotels & Resorts, Inc.							231,242				2,495,101
INDUSTRIALS			8.6	%
BG LLH LLC (Lineage Logistics)(a)							21,375				1,230,986
Duke Realty Corp.							218,754				8,072,023
Prologis, Inc.(b)							183,611				18,474,939
											27,777,948
NET LEASE			9.8	%
Broadstone Net Lease, Inc., Class A							160,286				2,689,599
NETSTREIT Corp.(c)							153,465				2,802,271
Spirit Realty Capital, Inc.							158,207				5,339,486
VEREIT, Inc.							1,025,231				6,664,002
VICI Properties, Inc.							455,926				10,654,991
WP Carey, Inc.							55,652				3,626,284
											31,776,633
OFFICE			1.4	%
Kilroy Realty Corp.							89,584				4,654,784
RESIDENTIAL			10.3	%
APARTMENT			6.5	%
Apartment Investment & Management Co., Class A(b)							105,156				3,545,860

1

						Shares				Value
Essex Property Trust, Inc.							45,866			$	9,209,434
UDR, Inc.							254,742				8,307,137
											21,062,431
MANUFACTURED HOME			2.0	%
Sun Communities, Inc.							45,334				6,374,414
SINGLE FAMILY			1.8	%
Invitation Homes, Inc.							210,680				5,896,933
TOTAL RESIDENTIAL											33,333,778
SELF STORAGE			7.7	%
Extra Space Storage, Inc.							91,975				9,840,405
Public Storage							67,651				15,067,231
											24,907,636
SHOPPING CENTERS—REGIONAL MALL			3.9	%
Simon Property Group, Inc.							193,747				12,531,556
SPECIALTY			1.2	%
Lamar Advertising Co., Class A							61,408				4,063,367
TIMBER			2.5	%
Weyerhaeuser Co.							284,406				8,111,259
TOTAL REAL ESTATE											213,383,462
TOTAL COMMON STOCK (Identified cost—$208,403,005)											269,999,249
PREFERRED SECURITIES—$25 PAR VALUE			12.9	%
BANKS			0.6	%
GMAC Capital Trust I, 6.065% (3 Month US LIBOR + 5.785%), due 2/15/40, Series 2 (TruPS) (FRN)(d)							35,000				873,950
JPMorgan Chase & Co., 5.75%, Series DD(e)							25,000				682,750
Wells Fargo & Co., 4.75%, Series Z(e)							18,400				462,576
											2,019,276
FINANCIAL—INVESTMENT BANKER/BROKER			0.3	%
Morgan Stanley, 6.375% to 10/15/24, Series I(e),(f)							40,000				1,092,000
PIPELINES			0.1	%
Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(e),(f)							27,235				474,161
REAL ESTATE			11.7	%
DATA CENTERS			0.7	%
Digital Realty Trust, Inc., 6.625%, Series C(e)							29,225				757,220

2

						Shares				Value
Digital Realty Trust, Inc., 5.85%, Series K(e)							19,588			$	539,649
Digital Realty Trust, Inc., 5.20%, Series L(e)							10,175				276,557
QTS Realty Trust, Inc., 7.125%, Series A(e)							23,400				634,140
											2,207,566
DIVERSIFIED			1.8	%
Armada Hoffler Properties, Inc., 6.75%, Series A(e)							53,000				1,298,500
Colony Capital, Inc., 7.15%, Series I(e)							49,794				1,125,344
Colony Capital, Inc., 7.125%, Series J(e)							21,666				487,485
EPR Properties, 5.75%, Series G(e)							22,541				428,504
Investors Real Estate Trust, 6.625%, Series C(e)							19,695				521,130
Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(e)							17,289				1,010,542
National Retail Properties, Inc., 5.20%, Series F(e)							20,345				522,460
Urstadt Biddle Properties, Inc., 5.875%, Series K(e)							25,000				595,000
											5,988,965
HEALTH CARE			0.1	%
Diversified Healthcare Trust, 5.625%, due 8/1/42							13,743				251,222
HOTEL			1.4	%
Ashford Hospitality Trust, Inc., 7.375%, Series F(e)							43,000				175,010
Ashford Hospitality Trust, Inc., 7.375%, Series G(e)							24,463				100,543
Ashford Hospitality Trust, Inc., 7.50%, Series H(e)							20,000				80,600
Ashford Hospitality Trust, Inc., 7.50%, Series I(e)							30,000				124,200
Hersha Hospitality Trust, 6.50%, Series D(e)							23,937				343,975
Hersha Hospitality Trust, 6.50%, Series E(e)							10,348				148,804
Pebblebrook Hotel Trust, 6.30%, Series F(e)							28,944				657,318
RLJ Lodging Trust, 1.95%, Series A(e)							19,675				451,148
Summit Hotel Properties, Inc., 6.45%, Series D(e)							26,000				585,000
Summit Hotel Properties, Inc., 6.25%, Series E(e)							41,105				916,641
Sunstone Hotel Investors, Inc., 6.95%, Series E(e)							32,000				797,120
											4,380,359
INDUSTRIALS			1.7	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(e)							65,000				1,610,700
PS Business Parks, Inc., 5.20%, Series W(e)							9,000				232,920
PS Business Parks, Inc., 5.20%, Series Y(e)							24,771				656,432
PS Business Parks, Inc., 4.875%, Series Z(e)							11,844				316,709
Rexford Industrial Realty, Inc., 5.875%, Series A(e)							41,973				1,081,224
Rexford Industrial Realty, Inc., 5.625%, Series C(e)							29,000				777,200
STAG Industrial, Inc., 6.875%, Series C(e)							25,953				669,328
											5,344,513

3

						Shares				Value
NET LEASE			0.7	%
Spirit Realty Capital, Inc., 6.00%, Series A(e)							47,667			$	1,256,025
VEREIT, Inc., 6.70%, Series F(e)							45,415				1,150,362
											2,406,387
OFFICE			0.8	%
Brookfield Property Partners LP, 5.75%, Series A(e)							40,970				732,134
Brookfield Property Partners LP, 6.50%, Series A-1(e)							21,761				438,919
City Office REIT, Inc., 6.625%, Series A(e)							21,834				564,627
SL Green Realty Corp., 6.50%, Series I(e)							19,394				487,177
Vornado Realty Trust, 5.70%, Series K(e)							19,831				503,113
											2,725,970
RESIDENTIAL			1.6	%
APARTMENT			0.3	%
Bluerock Residential Growth REIT, Inc., 8.25%, Series A(e)							34,725				872,987
MANUFACTURED HOME			0.4	%
UMH Properties, Inc., 8.00%, Series B(e)							20,000				505,200
UMH Properties, Inc., 6.75%, Series C(e)							32,000				805,440
											1,310,640
SINGLE FAMILY			0.9	%
American Homes 4 Rent, 6.50%, Series D(e)							23,911				605,427
American Homes 4 Rent, 6.35%, Series E(e)							36,927				934,992
American Homes 4 Rent, 6.25%, Series H(e)							22,767				626,092
American Homes 4 Rent, 5.875%, Series F(e)							19,063				500,594
American Homes 4 Rent, 5.875%, Series G(e)							10,000				267,300
											2,934,405
TOTAL RESIDENTIAL											5,118,032
SELF STORAGE			0.3	%
National Storage Affiliates Trust, 6.00%, Series A(e)							18,031				477,641
Public Storage, 5.15%, Series F(e)							12,030				320,359
Public Storage, 4.75%, Series K(e)							5,332				145,617
											943,617
SHOPPING CENTERS			2.6	%
COMMUNITY CENTER			1.7	%
Cedar Realty Trust, Inc., 7.25%, Series B(e)							4,014				75,704
Cedar Realty Trust, Inc., 6.50%, Series C(e)							15,000				266,250
Saul Centers, Inc., 6.125%, Series D(e)							32,400				807,084
Saul Centers, Inc., 6.00%, Series E(e)							23,000				572,700

4

						Shares				Value
SITE Centers Corp., 6.375%, Series A(e)							44,952			$	1,120,204
SITE Centers Corp., 6.25%, Series K(e)							116,702				2,841,694
											5,683,636
REGIONAL MALL			0.9	%
Brookfield Property REIT, Inc., 6.375%, Series A(e)							23,000				429,410
Pennsylvania REIT, 7.20%, Series C(e)							30,050				136,728
Taubman Centers, Inc., 6.50%, Series J(e)							33,722				731,767
Taubman Centers, Inc., 6.25%, Series K(e)							71,351				1,529,765
											2,827,670
TOTAL SHOPPING CENTERS											8,511,306
TOTAL REAL ESTATE											37,877,937
UTILITIES			0.2	%
NextEra Energy Capital Holdings, Inc., 5.65%, due 3/1/79, Series N							19,000				521,170
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$44,930,028)											41,984,544
						Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES			1.2	%
BANKS			0.1	%
Citigroup, Inc., 5.00% to 9/12/24, Series U(e),(f)						$	59,000				58,824
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(e),(f)							300,000				325,400
											384,224
BANKS—FOREIGN			0.8	%
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(e),(f),(g),(h)							500,000				520,870
Credit Suisse Group AG, 7.50% to 12/11/23, 144A (Switzerland)(e),(f),(h),(i)							700,000				766,062
Natwest Group PLC, 8.625% to 8/15/21 (United Kingdom)(e),(f),(h)							500,000				513,610
UBS Group Funding Switzerland AG, 7.00% to 1/31/24, 144A (Switzerland)(e),(f),(h),(i)							600,000				640,917
											2,441,459

5

						Principal Amount				Value
INSURANCE—PROPERTY CASUALTY—FOREIGN			0.2	%
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(f),(g)						$	606,000			$	676,899
PIPELINES			0.1	%
Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(e),(f)							275,000				217,594
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$3,664,213)											3,720,176
CORPORATE BONDS			1.4	%
COMMUNICATIONS—TOWERS			0.1	%
SBA Communications Corp., 3.875%, due 2/15/27, 144A(i)							300,000				304,875
REAL ESTATE			1.0	%
DIVERSIFIED			0.0	%
Spirit Realty LP, 3.20%, due 2/15/31							50,000				48,844
HEALTH CARE			0.2	%
Diversified Healthcare Trust, 9.75%, due 6/15/25							400,000				448,064
Sabra Health Care LP, 4.80%, due 6/1/24							200,000				210,328
											658,392
INDUSTRIALS			0.4	%
Corporate Office Properties LP, 2.25%, due 3/15/26							120,000				121,499
Retail Properties of America, Inc., 4.75%, due 9/15/30							1,000,000				1,003,185
											1,124,684
NET LEASE			0.1	%
VEREIT Operating Partnership LP, 3.40%, due 1/15/28							50,000				52,141
VICI Properties LP, 4.125%, due 8/15/30, 144(o)(i)							244,000				240,645
											292,786
OFFICE			0.1	%
Office Properties Income Trust, 4.50%, due 2/1/25							250,000				253,178
RESIDENTIAL			0.0	%
Essex Portfolio LP, 2.65%, due 9/1/50							150,000				141,398

6

						Principal Amount				Value
SHOPPING CENTERS			0.2	%
COMMUNITY CENTER			0.1	%
Federal Realty Investment Trust, 3.50%, due 6/1/30						$	350,000			$	379,472
REGIONAL MALL			0.1	%
Brookfield Property REIT, Inc., 5.75%, due 5/15/26, 144A(i)							500,000				394,973
TOTAL SHOPPING CENTERS											774,445
TOTAL REAL ESTATE											3,293,727
REAL ESTATE—FOREIGN			0.3	%
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(f),(i)							900,000				885,277
TELECOMMUNICATION			0.0	%
QualityTech LP/QTS Finance Corp., 3.875%, due 10/1/28, 3.875%, 144A(i)							150,000				150,807
TOTAL CORPORATE BONDS (Identified cost—$4,649,797)											4,634,686
						Shares
SHORT-TERM INVESTMENTS			1.5	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 0.02%(j)							4,916,827				4,916,827
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$4,916,827)											4,916,827
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$266,563,870)			100.2	%							325,255,482
WRITTEN OPTION CONTRACTS			(0.1	)							(315,163	)
LIABILITIES IN EXCESS OF OTHER ASSETS			(0.1	)							(419,698	)
NET ASSETS (Equivalent to $12.38 per share based on 26,223,444 shares of common stock outstanding)			100.0	%						$	324,520,621

7

Exchange-Traded Option Contracts

Written Options
Description				Exercise Price				Expiration Date				Number of Contracts				Notional Amount(k)				Premiums Received				Value
Put — Healthcare Trust of America					25.00				10/16/20				(516	)		$	(1,341,600	)		$	(35,585	)		$	(21,930	)
Put — Lamar Advertising Co.					60.00				10/16/20				(69	)			(456,573	)			(14,147	)			(2,760	)
Put — Medical Properties Trust, Inc.					17.00				11/20/20				(491	)			(865,633	)			(39,262	)			(34,370	)
Put — Welltower, Inc.					50.00				11/20/20				(149	)			(820,841	)			(37,899	)			(30,992	)
Put — WP Carey, Inc.					65.00				10/16/20				(91	)			(592,956	)			(13,930	)			(17,563	)
													(1,316	)		$	(4,077,603	)		$	(140,823	)		$	(107,615	)
Over-the-Counter Option Contracts
Written Options
Description		Counterparty		Exercise Price				Expiration Date				Number of Contracts				Notional Amount(k)				Premiums Received				Value
Put — CyrusOne, Inc.		Goldman Sachs International		$	65.00				11/20/20				(178	)		$	(1,246,534	)		$	(32,574	)		$	(33,451	)
Put — Healthpeak Properties, Inc.		Goldman Sachs International			31.53				10/16/20				(397	)			(1,077,855	)			(212,395	)			(174,097	)
													(575	)		$	(2,324,389	)		$	(244,969	)		$	(207,548	)

Glossary of Portfolio Abbreviations

FRN		Floating Rate Note
LIBOR		London Interbank Offered Rate
REIT		Real Estate Investment Trust
TruPS		Trust Preferred Securities

8

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

(a) Restricted security. Aggregate holdings equal 0.4% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $1,335,937 ($62.50 per share). 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. $3,737,153 in aggregate has been pledged as collateral.

(c) Non-income producing security.

(d) Variable rate. Rate shown is in effect at September 30, 2020.

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

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

(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 $1,197,769 which represents 0.4% of the net assets of the Fund, of which 0.0% are illiquid.

(h) 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 $2,441,459 or 0.8% of the net assets of the Fund.

(i) 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 $3,383,556 which represents 1.0% of the net assets of the Fund, of which 0.0% are illiquid.

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

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

9

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.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

• 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, 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:
Real Estate—Industrials		$	27,777,948			$	26,546,962			$	—			$	1,230,986	(a)
Other Industries			242,221,301				242,221,301				—				—
Preferred Securities — $25 Par Value:			41,984,544				41,984,544				—				—
Preferred Securities — Capital Securities:			3,720,176				—				3,720,176				—
Corporate Bonds			4,634,686				—				4,634,686				—
Short-Term Investments			4,916,827				—				4,916,827				—
Total Investments in Securities(b)		$	325,255,482			$	310,752,807			$	13,271,689			$	1,230,986
Written Option Contracts		$	(315,163	)		$	(107,615	)		$	(207,548	)		$	—
Total Derivative Liabilities(b)		$	(315,163	)		$	(107,615	)		$	(207,548	)		$	—

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

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO 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:

		Common Stock— Real Estate— Industrials
Balance as of December 31, 2019		$	—
Purchases			1,335,937
Change in unrealized appreciation (depreciation)			(104,951	)
Balance as of September 30, 2020		$	1,230,986

The change in unrealized appreciation (depreciation) attributable to securities owned on September 30, 2020 which were valued using significant unobservable inputs (Level 3) amounted to $(104,951).

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, 2020

Valuation Technique

Unobservable Inputs

Range/Weighted Average

Valuation from an Increase in Input (a)

Common Stock— Real Estate—Industrials

$

1,230,986

Market Comparable Companies

Enterprise Value/ EBITDA Ratio

19.3x –30.1x / 22.8%

Increase

Liquidity Discount

41%

Decrease

The significant unobservable inputs utilized in the fair value measurement of the Fund’s Level 3 equity investment in Common Stock—Real Estate—Industrials are the Enterprise Value to Earnings Before Interest, Taxes, Depreciation, and Amortization (EBITDA) ratio and Liquidity Discount.

(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

Options: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices, currencies 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

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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 nine months ended September 30, 2020:

		Purchased Option Contracts				Written Option Contracts
Average Notional Amount(a),(b)		$	2,454,347			$	6,615,302

(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 three months for purchased options and nine months for written options.

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