UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-07154

 

 

Cohen & Steers Total Return Realty Fund, Inc.

(Exact name of registrant as specified in charter)

 

280 Park Avenue
New York, NY

 

10017

(Address of principal executive offices)

 

(Zip code)

 

John E. McLean
280 Park Avenue
New York, NY 10017

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(212) 832-3232

 

 

Date of fiscal year end:

December 31

 

 

 

 

Date of reporting period:

March 31, 2007

 

 


 

Item 1. Schedule of Investments

 


 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

 

SCHEDULE OF INVESTMENTS

March 31, 2007 (Unaudited)

 

 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

 

 

COMMON STOCK

 

75.8

%

 

 

 

 

DIVERSIFIED

 

10.5

%

 

 

 

 

Colonial Properties Trust

 

 

 

82,100

 

$

3,749,507

 

Entertainment Properties Trust

 

 

 

20,500

 

1,235,125

 

iStar Financial

 

 

 

39,000

 

1,826,370

 

Spirit Finance Corp.

 

 

 

149,600

 

2,229,040

 

Vornado Realty Trust

 

 

 

84,300

 

10,060,362

 

 

 

 

 

 

 

19,100,404

 

HEALTH CARE

 

14.3

%

 

 

 

 

Health Care Property Investors

 

 

 

186,200

 

6,708,786

 

Health Care REIT

 

 

 

27,600

 

1,211,640

 

Nationwide Health Properties

 

 

 

157,300

 

4,917,198

 

Senior Housing Properties Trust

 

 

 

117,628

 

2,811,309

 

Ventas

 

 

 

242,524

 

10,217,536

 

 

 

 

 

 

 

25,866,469

 

HOTEL

 

3.5

%

 

 

 

 

DiamondRock Hospitality Co.

 

 

 

99,100

 

1,882,900

 

Hospitality Properties Trust

 

 

 

51,700

 

2,419,560

 

Strategic Hotels & Resorts

 

 

 

86,700

 

1,982,829

 

 

 

 

 

 

 

6,285,289

 

INDUSTRIAL

 

1.6

%

 

 

 

 

DCT Industrial Trust

 

 

 

79,500

 

940,485

 

ING Industrial Fund (Australia)

 

 

 

512,202

 

978,038

 

ProLogis European Properties (Netherlands)

 

 

 

48,400

 

1,005,387

 

 

 

 

 

 

 

2,923,910

 

MORTGAGE

 

2.1

%

 

 

 

 

Annaly Capital Management

 

 

 

50,500

 

781,740

 

Newcastle Investment Corp.

 

 

 

107,827

 

2,990,043

 

 

 

 

 

 

 

3,771,783

 

 


 

 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

 

 

OFFICE

 

11.5

%

 

 

 

 

Brandywine Realty Trust

 

 

 

184,885

 

$

6,177,008

 

HRPT Properties Trust

 

 

 

107,300

 

1,319,790

 

ING Office Fund (Australia)

 

 

 

718,800

 

913,083

 

Kilroy Realty Corp.

 

 

 

27,000

 

1,991,250

 

Mack-Cali Realty Corp.

 

 

 

131,100

 

6,244,293

 

Maguire Properties

 

 

 

93,000

 

3,307,080

 

Mapeley Ltd. (United Kingdom)

 

 

 

10,300

 

788,458

 

 

 

 

 

 

 

20,740,962

 

OFFICE/INDUSTRIAL

 

4.0

%

 

 

 

 

Liberty Property Trust

 

 

 

129,200

 

6,294,624

 

Parkway Properties

 

 

 

19,100

 

997,975

 

 

 

 

 

 

 

7,292,599

 

RESIDENTIAL—APARTMENT

 

17.1

%

 

 

 

 

American Campus Communities

 

 

 

53,869

 

1,631,692

 

Apartment Investment & Management Co.

 

 

 

46,300

 

2,671,047

 

Archstone-Smith Trust

 

 

 

92,361

 

5,013,355

 

AvalonBay Communities

 

 

 

59,400

 

7,722,000

 

Camden Property Trust

 

 

 

53,500

 

3,761,585

 

Education Realty Trust

 

 

 

58,400

 

863,152

 

GMH Communities Trust

 

 

 

49,900

 

498,501

 

Home Properties

 

 

 

75,800

 

4,002,998

 

Mid-America Apartment Communities

 

 

 

33,100

 

1,862,206

 

UDR

 

 

 

93,400

 

2,859,908

 

 

 

 

 

 

 

30,886,444

 

SELF STORAGE

 

1.9

%

 

 

 

 

Extra Space Storage

 

 

 

56,300

 

1,066,322

 

Sovran Self Storage

 

 

 

24,300

 

1,346,463

 

U-Store-It Trust

 

 

 

53,100

 

1,068,372

 

 

 

 

 

 

 

3,481,157

 

 


 

 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

 

 

SHOPPING CENTER

 

9.3

%

 

 

 

 

COMMUNITY CENTER

 

2.5

%

 

 

 

 

Cedar Shopping Centers

 

 

 

90,200

 

$

1,461,240

 

Inland Real Estate Corp.

 

 

 

55,300

 

1,014,202

 

Urstadt Biddle Properties—Class A

 

 

 

102,700

 

2,008,812

 

 

 

 

 

 

 

4,484,254

 

REGIONAL MALL

 

6.8

%

 

 

 

 

Glimcher Realty Trust

 

 

 

95,500

 

2,580,410

 

Macerich Co.

 

 

 

104,500

 

9,651,620

 

Primaris Retail REIT (Canada)

 

 

 

3,000

 

52,802

 

 

 

 

 

 

 

12,284,832

 

TOTAL SHOPPING CENTER

 

 

 

 

 

16,769,086

 

TOTAL COMMON STOCK
(Identified cost—$69,078,846)

 

 

 

 

 

137,118,103

 

PREFERRED STOCK

 

21.4

%

 

 

 

 

DIVERSIFIED

 

2.7

%

 

 

 

 

Colonial Properties Trust, 8.125%, Series D

 

 

 

14,600

 

376,096

 

Colonial Properties Trust, 7.62%, Series E

 

 

 

49,500

 

1,252,350

 

Crescent Real Estate Equities Co., 6.75%, Series A (Convertible)

 

 

 

60,500

 

1,346,730

 

Digital Realty Trust, 8.50%, Series A

 

 

 

10,700

 

276,274

 

Digital Realty Trust, 7.875%, Series B

 

 

 

13,200

 

339,240

 

iStar Financial, 7.875%, Series E

 

 

 

25,000

 

641,000

 

Lexington Realty Trust, 7.55%, Series D

 

 

 

26,000

 

663,390

 

 

 

 

 

 

 

4,895,080

 

HEALTH CARE

 

3.5

%

 

 

 

 

Health Care REIT, 7.625%, Series F

 

 

 

17,000

 

437,750

 

Health Care REIT, 7.50%, Series G

 

 

 

38,800

 

1,232,288

 

Nationwide Health Properties, 7.677%, Series A

 

 

 

47,000

 

4,707,050

 

 

 

 

 

 

 

6,377,088

 

 


 

 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

 

 

HOTEL

 

2.0

%

 

 

 

 

Hospitality Properties Trust, 7.00%, Series C

 

 

 

16,000

 

$

395,200

 

LaSalle Hotel Properties, 7.25%, Series G

 

 

 

20,000

 

505,000

 

Strategic Hotels & Resorts, 8.50%, Series A

 

 

 

10,000

 

250,000

 

Strategic Hotels & Resorts, 8.25%, Series B

 

 

 

11,000

 

280,005

 

Strategic Hotels & Resorts, 8.25%, Series C

 

 

 

62,200

 

1,591,076

 

Sunstone Hotel Investors, 8.00%, Series A

 

 

 

22,000

 

561,110

 

 

 

 

 

 

 

3,582,391

 

INDUSTRIAL

 

0.3

%

 

 

 

 

EastGroup Properties, 7.95%, Series D

 

 

 

21,000

 

539,490

 

MORTGAGE

 

0.5

%

 

 

 

 

Anthracite Capital, 8.25%, Series D

 

 

 

13,300

 

315,210

 

Newcastle Investment Corp., 8.375%, Series D

 

 

 

7,000

 

173,600

 

NorthStar Realty Finance Corp., 8.25%, Series B

 

 

 

15,000

 

363,750

 

 

 

 

 

 

 

852,560

 

OFFICE

 

3.8

%

 

 

 

 

BioMed Realty Trust, 7.375%, Series A

 

 

 

30,000

 

756,000

 

Brandywine Realty Trust, 7.50%, Series C

 

 

 

9,028

 

228,047

 

Highwoods Properties, 8.625%, Series A

 

 

 

4,300

 

4,192,500

 

HRPT Properties Trust, 8.75%, Series B

 

 

 

52,800

 

1,354,848

 

SL Green Realty Corp., 7.625%, Series C

 

 

 

15,000

 

380,700

 

 

 

 

 

 

 

6,912,095

 

OFFICE/INDUSTRIAL

 

0.3

%

 

 

 

 

Duke Realty Corp., 6.625%, Series J

 

 

 

7,800

 

195,546

 

PS Business Parks, 6.70%, Series P

 

 

 

17,100

 

419,976

 

 

 

 

 

 

 

615,522

 

RESIDENTIAL—APARTMENT

 

2.2

%

 

 

 

 

Apartment Investment & Management Co., 9.375%, Series G

 

 

 

113,200

 

2,928,484

 

Mid-America Apartment Communities, 8.30%, Series H

 

 

 

17,300

 

444,264

 

Post Properties, 8.50%, Series A

 

 

 

11,000

 

666,820

 

 

 

 

 

 

 

4,039,568

 

 


 

 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

 

 

SELF STORAGE

 

1.6

%

 

 

 

 

Public Storage, 7.25%, Series I

 

 

 

29,700

 

$

766,854

 

Public Storage, 7.25%, Series K

 

 

 

36,300

 

939,444

 

Public Storage, 6.75%, Series L

 

 

 

12,000

 

303,120

 

Public Storage, 6.625%, Series M

 

 

 

33,200

 

821,700

 

 

 

 

 

 

 

2,831,118

 

SHOPPING CENTER

 

4.5

%

 

 

 

 

COMMUNITY CENTER

 

1.9

%

 

 

 

 

Cedar Shopping Centers, 8.875%, Series A

 

 

 

10,000

 

262,400

 

Ramco-Gershenson Property Trust, 9.50%, Series B

 

 

 

11,600

 

294,872

 

Regency Centers Corp., 7.45%, Series C

 

 

 

34,800

 

879,048

 

Saul Centers, 8.00%, Series A

 

 

 

26,800

 

686,080

 

Urstadt Biddle Properties, 8.50%, Series C

 

 

 

4,000

 

432,800

 

Urstadt Biddle Properties, 7.50%, Series D

 

 

 

23,300

 

592,403

 

Weingarten Realty Investors, 6.50%, Series F

 

 

 

11,000

 

274,890

 

 

 

 

 

 

 

3,422,493

 

REGIONAL MALL

 

2.6

%

 

 

 

 

CBL & Associates Properties, 7.75%, Series C

 

 

 

11,000

 

280,940

 

Glimcher Realty Trust, 8.125%, Series G

 

 

 

16,000

 

404,800

 

Pennsylvania REIT, 11.00%, Series A

 

 

 

45,400

 

2,406,200

 

Simon Property Group, 8.375%, Series J

 

 

 

13,000

 

868,400

 

Taubman Centers, 7.625%, Series H

 

 

 

25,900

 

665,759

 

 

 

 

 

 

 

4,626,099

 

TOTAL SHOPPING CENTER

 

 

 

 

 

8,048,592

 

TOTAL PREFERRED STOCK
(Identified cost—$35,916,606)

 

 

 

 

 

38,693,504

 

 


 

 

 

 

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

CORPORATE BOND

 

0.3

%

 

 

 

 

HEALTH CARE

 

0.3

%

 

 

 

 

Ventas Realty LP/Capital Corp., 6.75%, due 4/1/17
(Identified cost—$496,986)

 

 

 

$

500,000

 

$

520,000

 

COMMERCIAL PAPER

 

2.1

%

 

 

 

 

San Paolo U.S. Finance Co., 4.15%, due 4/2/07
(Identified cost—$3,846,556)

 

 

 

3,847,000

 

3,846,556

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Identified cost—$109,338,994)

 

99.6

%

 

 

180,178,163

 

 

 

 

 

 

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES

 

0.4

%

 

 

748,249

 

 

 

 

 

 

 

 

 

NET ASSETS (Equivalent to $19.56 per share based on 9,249,159 shares of common stock outstanding)

 

100.0

%

 

 

$

180,926,412

 

 

Glossary of Portfolio Abbreviation

 

REIT

Real Estate Investment Trust

 

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

 

Note 1. Portfolio Valuation: Investments in securities that are listed on the New York Stock Exchange are valued, except as indicated below, at the last sale price reflected at the close of the New York Stock Exchange 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 asked prices for the day or, if no asked price is available, at the bid price.

 

Securities not listed on the New York Stock Exchange but listed on other domestic or foreign securities exchanges or admitted to trading on the National Association of Securities Dealers Automated Quotations, Inc. (Nasdaq) national market system are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined as reflected on the tape at the close of the exchange representing the principal market for such securities.

 

Readily marketable securities traded in the over-the-counter market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment manager) to be over-the-counter, but excluding securities admitted to trading on the Nasdaq National List, are valued at the official closing prices as reported by Nasdaq, the National Quotation Bureau, or such other comparable sources as the Board of Directors deem appropriate to reflect their fair market value. If there has been no sale on such day, the securities are valued at the mean of the closing bid and asked prices for the day, or if no asked price is available, at the bid price. However, certain fixed-income

 


 

securities may be valued on the basis of prices provided by a pricing service when such prices are believed by the Board of Directors to reflect the fair market value of such securities. Where securities are traded on more than one exchange and also over-the-counter, the securities will generally be valued using the quotations the Board of Directors believes most closely reflect the value of such securities.

 

Securities for which market prices are unavailable, or securities for which the investment manager determines that bid and/or asked price does not reflect market value, will be valued at fair value 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 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 net asset value of fund shares to differ from the net asset value 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.

 

Short-term debt securities, which have a maturity date of 60 days or less, are valued at amortized cost, which approximates value.

 

Note 2. Income Tax Information

 

As of March 31, 2007, the federal tax cost and net unrealized appreciation were as follows:

 

Gross unrealized appreciation

 

$

71,022,150

 

Gross unrealized depreciation

 

182,981

 

Net unrealized appreciation

 

$

70,839,169

 

 

 

 

 

Cost for federal income tax purposes

 

$

109,338,994

 

 


 

Item 2. Controls and Procedures

 

(a)           The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are effective based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act as of a date within 90 days of the filing of this report.

 

(b)           During the last fiscal quarter, there were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

(a)           Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

 

 

By:

/s/ Adam M. Derechin

 

  Name: Adam M. Derechin

  Title: President

 

  Date: May 30, 2007

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By:

/s/ Adam M. Derechin

 

By:

/s/ James Giallanza

 

  Name: Adam M. Derechin

 Name: James Giallanza

  Title: President and principal

 Title: Treasurer and principal

executive officer

financial officer

 

 

Date: May 30, 2007