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:

September 30, 2006

 

 



Item 1. Schedule of Investments



COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

SCHEDULE OF INVESTMENTS

September 30, 2006 (Unaudited)

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

COMMON STOCK 78.8%

 

 

 

 

 

CLOSED-END INVESTMENT COMPANY 0.5%

 

 

 

 

 

ProLogis European Properties (Netherlands)

 

48,400

 

$

902,192

 

DIVERSIFIED 11.0%

 

 

 

 

 

Colonial Properties Trust

 

91,300

 

4,365,053

 

Entertainment Properties Trust

 

30,200

 

1,489,464

 

iStar Financial

 

67,400

 

2,810,580

 

Lexington Corporate Properties Trust

 

19,800

 

419,364

 

Spirit Finance Corp.

 

136,800

 

1,588,248

 

Vornado Realty Trust

 

90,400

 

9,853,600

 

 

 

 

 

20,526,309

 

HEALTH CARE 13.9%

 

 

 

 

 

Health Care Property Investors

 

217,000

 

6,737,850

 

Health Care REIT

 

27,600

 

1,104,276

 

Healthcare Realty Trust

 

26,200

 

1,006,342

 

Medical Properties Trust

 

26,900

 

360,191

 

Nationwide Health Properties

 

157,300

 

4,206,202

 

Senior Housing Properties Trust

 

84,500

 

1,803,230

 

Ventas

 

281,700

 

10,856,718

 

 

 

 

 

26,074,809

 

HOTEL 3.9%

 

 

 

 

 

Ashford Hospitality Trust

 

94,300

 

1,124,999

 

DiamondRock Hospitality Co.

 

99,100

 

1,646,051

 

Hospitality Properties Trust

 

60,400

 

2,850,880

 

Strategic Hotels & Resorts

 

86,700

 

1,723,596

 

 

 

 

 

7,345,526

 

 

1



 

 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

INDUSTRIAL 0.2%

 

 

 

 

 

ING Industrial Fund (Australia)

 

190,571

 

$

335,197

 

MORTGAGE 1.6%

 

 

 

 

 

Newcastle Investment Corp.

 

107,827

 

2,955,538

 

OFFICE 16.7%

 

 

 

 

 

American Financial Realty Trust

 

74,700

 

833,652

 

Brandywine Realty Trust

 

227,185

 

7,394,872

 

Equity Office Properties Trust

 

223,500

 

8,886,360

 

HRPT Properties Trust

 

121,800

 

1,455,510

 

Kilroy Realty Corp.

 

27,000

 

2,034,180

 

Mack-Cali Realty Corp.

 

131,100

 

6,790,980

 

Maguire Properties

 

93,000

 

3,788,820

 

 

 

 

 

31,184,374

 

OFFICE/INDUSTRIAL 5.0%

 

 

 

 

 

Duke Realty Corp.

 

63,300

 

2,364,255

 

Liberty Property Trust

 

129,200

 

6,174,468

 

Parkway Properties

 

17,400

 

808,926

 

 

 

 

 

9,347,649

 

RESIDENTIAL—APARTMENT 15.8%

 

 

 

 

 

American Campus Communities

 

53,369

 

1,361,443

 

Apartment Investment & Management Co.

 

23,100

 

1,256,871

 

Archstone-Smith Trust

 

92,361

 

5,028,133

 

AvalonBay Communities

 

59,400

 

7,151,760

 

Camden Property Trust

 

53,500

 

4,066,535

 

Education Realty Trust

 

68,400

 

1,009,584

 

GMH Communities Trust

 

49,900

 

629,738

 

Home Properties

 

75,800

 

4,332,728

 

Mid-America Apartment Communities

 

33,100

 

2,026,382

 

United Dominion Realty Trust

 

93,400

 

2,820,680

 

 

 

 

 

29,683,854

 

SELF STORAGE 2.0%

 

 

 

 

 

Extra Space Storage

 

56,300

 

974,553

 

Sovran Self Storage

 

24,300

 

1,349,865

 

U-Store-It Trust

 

65,800

 

1,412,068

 

 

 

 

 

3,736,486

 

 

2



 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

SHOPPING CENTER 8.2%

 

 

 

 

 

COMMUNITY CENTER 2.1%

 

 

 

 

 

Cedar Shopping Centers

 

90,200

 

$

1,458,534

 

Inland Real Estate Corp.

 

55,300

 

968,856

 

Urstadt Biddle Properties—Class A

 

86,600

 

1,573,522

 

 

 

 

 

4,000,912

 

REGIONAL MALL 6.1%

 

 

 

 

 

Glimcher Realty Trust

 

95,500

 

2,366,490

 

Macerich Co.

 

107,500

 

8,208,700

 

Pennsylvania REIT

 

17,130

 

729,224

 

 

 

 

 

11,304,414

 

TOTAL SHOPPING CENTER

 

 

 

15,305,326

 

TOTAL COMMON STOCK
(Identified cost—$80,524,700)

 

 

 

147,397,260

 

PREFERRED STOCK 19.7%

 

 

 

 

 

DIVERSIFIED 2.2%

 

 

 

 

 

Colonial Properties Trust, 8.125%, Series D

 

14,600

 

379,454

 

Colonial Properties Trust, 7.62%, Series E

 

49,500

 

1,254,825

 

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

 

60,500

 

1,326,160

 

Digital Realty Trust, 8.50%, Series A

 

10,700

 

277,665

 

Digital Realty Trust, 7.875%, Series B

 

13,200

 

334,752

 

iStar Financial, 7.875%, Series E

 

25,000

 

638,875

 

 

 

 

 

4,211,731

 

HEALTH CARE 3.4%

 

 

 

 

 

Health Care REIT, 7.625%, Series F

 

17,000

 

437,070

 

Nationwide Health Properties, 7.677%, Series A

 

47,000

 

4,751,700

 

Windrose Medical Properties Trust, 7.50%, Series A

 

38,800

 

1,086,400

 

 

 

 

 

6,275,170

 

 

3



 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

HOTEL 1.7%

 

 

 

 

 

Eagle Hospitality Trust, 8.25%, Series A

 

10,600

 

$

271,996

 

Strategic Hotels & Resorts, 8.50%, Series A

 

10,000

 

253,750

 

Strategic Hotels & Resorts, 8.25%, Series B

 

11,000

 

286,550

 

Strategic Hotels & Resorts, 8.25%, Series C

 

70,000

 

1,795,500

 

Sunstone Hotel Investors, 8.00%, Series A

 

22,000

 

558,800

 

 

 

 

 

3,166,596

 

INDUSTRIAL 0.3%

 

 

 

 

 

EastGroup Properties, 7.95%, Series D

 

21,000

 

540,750

 

OFFICE 3.5%

 

 

 

 

 

Alexandria Real Estate Equities, 9.10%, Series B

 

10,900

 

276,206

 

Brandywine Realty Trust, 7.50%, Series C

 

9,028

 

227,054

 

Highwoods Properties, 8.625%, Series A

 

4,300

 

4,386,000

 

HRPT Properties Trust, 8.75%, Series B

 

52,800

 

1,367,520

 

SL Green Realty Corp., 7.625%, Series C

 

15,000

 

379,650

 

 

 

 

 

6,636,430

 

OFFICE/INDUSTRIAL 0.1%

 

 

 

 

 

Duke Realty Corp., 6.625%, Series J

 

7,800

 

192,894

 

RESIDENTIAL—APARTMENT 2.2%

 

 

 

 

 

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

 

113,200

 

3,002,064

 

Mid-America Apartment Communities, 8.30%, Series H

 

17,300

 

441,323

 

Post Properties, 8.50%, Series A

 

11,000

 

628,650

 

 

 

 

 

4,072,037

 

SELF STORAGE 0.9%

 

 

 

 

 

Public Storage, 7.25%, Series I

 

29,600

 

767,232

 

Public Storage, 7.25%, Series K

 

36,300

 

935,088

 

 

 

 

 

1,702,320

 

 

4



 

 

 

Number
of Shares

 

Value

 

 

 

 

 

 

 

SHOPPING CENTER 5.4%

 

 

 

 

 

COMMUNITY CENTER 1.7%

 

 

 

 

 

Cedar Shopping Centers, 8.875%, Series A

 

10,000

 

$

265,900

 

Ramco-Gershenson Property Trust, 9.50%, Series B

 

11,600

 

310,474

 

Regency Centers Corp., 7.45%, Series C

 

34,800

 

893,664

 

Saul Centers, 8.00%, Series A

 

26,800

 

686,482

 

Urstadt Biddle Properties, 8.50%, Series C

 

4,000

 

430,000

 

Urstadt Biddle Properties, 7.50%, Series D

 

23,300

 

583,199

 

 

 

 

 

3,169,719

 

REGIONAL MALL 3.7%

 

 

 

 

 

CBL & Associates Properties, 8.75%, Series B

 

13,000

 

670,215

 

CBL & Associates Properties, 7.75%, Series C

 

11,000

 

284,900

 

Glimcher Realty Trust, 8.125%, Series G

 

16,000

 

401,440

 

Mills Corp., 9.00%, Series B

 

40,200

 

860,280

 

Mills Corp., 8.75%, Series E

 

9,300

 

192,882

 

Pennsylvania REIT, 11.00%, Series A

 

55,400

 

3,058,080

 

Simon Property Group, 8.375%, Series J

 

13,000

 

807,950

 

Taubman Centers, 7.625%, Series H

 

25,900

 

666,019

 

 

 

 

 

6,941,766

 

TOTAL SHOPPING CENTER

 

 

 

10,111,485

 

TOTAL PREFERRED STOCK
(Identified cost—$34,023,390)

 

 

 

36,909,413

 

 

 

 

Principal
Amount

 

 

 

 

 

 

 

 

 

CORPORATE BONDS 0.5%

 

 

 

 

 

HEALTH CARE 0.3%

 

 

 

 

 

Ventas Realty LP/Capital Corp., 6.75%, due 4/1/17

 

$

500,000

 

505,625

 

INDUSTRIAL 0.2%

 

 

 

 

 

ING Industrial Fund CLS, (Australia) 7.00%, due 4/2/07

 

AUD           552,420

 

428,412

 

TOTAL CORPORATE BONDS
(Identified cost—$922,577)

 

 

 

934,037

 

 

5



 

 

 

 

 

Principal
Amount

 

Value

 

 

 

 

 

 

 

 

 

COMMERCIAL PAPER 0.7%

 

 

 

 

 

 

 

San Paolo U.S. Finance Co., 4.15%, due 10/2/06
(Identified cost—$1,421,836)

 

 

 

1,422,000

 

1,421,836

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (Identified cost—$116,892,503)

 

99.7

%

 

 

186,662,546

 

 

 

 

 

 

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES

 

0.3

%

 

 

473,751

 

 

 

 

 

 

 

 

 

NET ASSETS (Equivalent to $20.23 per share based on 9,249,159 shares of common stock outstanding)

 

100.0

%

 

 

$

187,136,297

 

 

Glossary of Portfolio Abbreviation

AUD

Australia Dollar

CLS

Convertible Loan Securities

REIT

Real Estate Investment Trust

 

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

6



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: November 20, 2006

 

 

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/ Jay J. Chen

 

 

 Name: Adam M. Derechin

 

 Name: Jay J. Chen

 

 Title:

President and principal
executive officer

 

 Title:

Treasurer and principal
financial officer

 

 

 

 

 

 Date: November 20, 2006