COHEN & STEERS TOTAL RETURN REALTY FUND, INC.
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024 (Unaudited)
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Shares |
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Value |
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| COMMON STOCK—REAL ESTATE |
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78.2 |
% |
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| APARTMENT |
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4.3 |
% |
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| AvalonBay Communities, Inc. |
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6,099 |
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$ |
1,373,800 |
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| Camden Property Trust |
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8,641 |
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1,067,423 |
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| Essex Property Trust, Inc. |
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9,582 |
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2,830,714 |
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| UDR, Inc. |
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207,883 |
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9,425,415 |
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14,697,352 |
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| DATA CENTERS |
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9.4 |
% |
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| Digital Realty Trust, Inc. |
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107,423 |
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17,384,264 |
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| Equinix, Inc. |
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16,501 |
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14,646,783 |
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32,031,047 |
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| FREE STANDING |
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3.3 |
% |
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| Agree Realty Corp. |
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36,051 |
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2,715,722 |
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| NETSTREIT Corp. |
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142,445 |
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2,354,616 |
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| Realty Income Corp. |
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96,754 |
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6,136,138 |
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11,206,476 |
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| GAMING |
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3.2 |
% |
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| VICI Properties, Inc., Class A |
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325,313 |
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10,836,176 |
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| HEALTH CARE |
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11.2 |
% |
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| Healthcare Realty Trust, Inc., Class A |
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433,472 |
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7,867,517 |
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| Omega Healthcare Investors, Inc. |
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91,191 |
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3,711,474 |
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| Welltower, Inc. |
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208,640 |
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26,712,179 |
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38,291,170 |
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| HOTEL |
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1.1 |
% |
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| Host Hotels & Resorts, Inc. |
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207,770 |
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3,656,752 |
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| INDUSTRIALS |
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7.1 |
% |
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| Americold Realty Trust, Inc. |
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106,681 |
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3,015,872 |
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| BG LLH, LLC (Lineage Logistics)(a) |
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21,740 |
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1,703,981 |
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| Lineage, Inc. |
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1,767 |
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138,497 |
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| Prologis, Inc.(b) |
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142,795 |
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18,032,153 |
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| Rexford Industrial Realty, Inc. |
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26,994 |
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1,358,068 |
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24,248,571 |
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| MANUFACTURED HOME |
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3.2 |
% |
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| Equity LifeStyle Properties, Inc. |
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46,730 |
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3,333,718 |
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| Sun Communities, Inc. |
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55,379 |
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7,484,472 |
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10,818,190 |
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| OFFICE |
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0.7 |
% |
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| Highwoods Properties, Inc. |
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71,119 |
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2,383,198 |
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| REGIONAL MALL |
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4.7 |
% |
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| Simon Property Group, Inc. |
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93,793 |
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15,852,893 |
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| SELF STORAGE |
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5.6 |
% |
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| Extra Space Storage, Inc. |
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47,440 |
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8,548,214 |
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| Public Storage |
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28,722 |
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10,451,074 |
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18,999,288 |
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| SHOPPING CENTER |
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1.8 |
% |
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| Kimco Realty Corp. |
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268,353 |
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6,231,157 |
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1
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Shares |
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Value |
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| SINGLE FAMILY HOMES |
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3.5 |
% |
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| Invitation Homes, Inc. |
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335,917 |
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$ |
11,844,433 |
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| SPECIALTY |
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2.9 |
% |
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| Iron Mountain, Inc. |
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75,940 |
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9,023,950 |
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| Lamar Advertising Co., Class A |
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6,511 |
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869,870 |
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9,893,820 |
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| TELECOMMUNICATIONS |
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13.1 |
% |
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| American Tower Corp. |
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132,592 |
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30,835,595 |
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| Crown Castle, Inc. |
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116,300 |
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13,796,669 |
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44,632,264 |
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| TIMBERLAND |
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3.1 |
% |
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| Rayonier, Inc. |
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94,383 |
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3,037,245 |
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| Weyerhaeuser Co. |
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223,387 |
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7,563,884 |
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10,601,129 |
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| TOTAL COMMON STOCK
(Identified cost—$194,081,822) |
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266,223,916 |
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| PREFERRED SECURITIES—EXCHANGE-TRADED |
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|
7.8 |
% |
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| BANKING |
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0.9 |
% |
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| Bank of America Corp., 5.375%, Series KK(c) |
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14,965 |
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367,091 |
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| Bank of America Corp., 6.00%, Series GG(c) |
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24,869 |
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625,953 |
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| JPMorgan Chase & Co., 4.625%, Series LL(c) |
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22,843 |
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|
523,105 |
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| JPMorgan Chase & Co., 5.75%, Series DD(c) |
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13,000 |
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|
328,640 |
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| Wells Fargo & Co., 4.25%, Series DD(c) |
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9,775 |
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|
198,139 |
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| Wells Fargo & Co., 4.75%, Series Z(c) |
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|
18,400 |
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|
399,096 |
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| Wells Fargo & Co., 7.50%, Series L (Convertible)(c) |
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|
500 |
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|
641,100 |
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3,083,124 |
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| BROKERAGE |
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0.1 |
% |
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| Morgan Stanley, 6.375%, Series I(c) |
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|
15,000 |
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|
379,650 |
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| DIVERSIFIED |
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|
1.3 |
% |
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| Armada Hoffler Properties, Inc., 6.75%, Series A(c) |
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53,000 |
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1,353,620 |
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| DigitalBridge Group, Inc., 7.125%, Series J(c) |
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43,643 |
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1,119,879 |
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| DigitalBridge Group, Inc., 7.15%, Series I(c) |
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|
74,794 |
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1,919,962 |
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4,393,461 |
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| FREE STANDING |
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0.1 |
% |
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| Agree Realty Corp., 4.25%, Series A(c) |
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16,180 |
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|
341,560 |
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| HOTEL |
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0.7 |
% |
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| Pebblebrook Hotel Trust, 5.70%, Series H(c) |
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24,000 |
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|
475,200 |
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| Pebblebrook Hotel Trust, 6.375%, Series G(c) |
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|
18,566 |
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|
409,937 |
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| RLJ Lodging Trust, 1.95%, Series A (Convertible)(c) |
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|
15,408 |
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|
401,841 |
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| Summit Hotel Properties, Inc., 5.875%, Series F(c) |
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|
14,054 |
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|
294,853 |
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| Summit Hotel Properties, Inc., 6.25%, Series E(c) |
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|
31,105 |
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|
652,272 |
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| Sunstone Hotel Investors, Inc., 6.125%, Series H(c) |
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|
11,402 |
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|
255,519 |
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2,489,622 |
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| INDUSTRIALS |
|
|
0.6 |
% |
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| LXP Industrial Trust, 6.50%, Series C(c) |
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|
17,289 |
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|
|
916,317 |
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| Rexford Industrial Realty, Inc., 5.625%, Series C(c) |
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|
|
23,833 |
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|
|
572,707 |
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| Rexford Industrial Realty, Inc., 5.875%, Series B(c) |
|
|
|
15,000 |
|
|
|
362,250 |
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|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
1,851,274 |
|
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2
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| |
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Shares |
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|
Value |
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| INSURANCE |
|
|
0.1 |
% |
|
|
|
|
|
|
|
|
| Allstate Corp., 7.375%, Series J(c) |
|
|
|
10,725 |
|
|
$ |
297,083 |
|
|
|
|
|
|
|
|
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|
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| 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 |
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7
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
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.
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.
|
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
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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