1
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS
August 31, 2022 (Unaudited)
| | |||
Preferred Stock & Hybrid Preferred Securities§ — 75.1% | | | ||
| | Banking — 36.4% | | |
$675,000 | | American AgCredit Corporation, 5.25% to 06/15/26 then | *(1) | |
| | Bank of America Corporation: | | |
$1,990,000 | | 5.875% to 03/15/28 then 3ML + 2.931%, Series FF | *(1)(2) | |
$2,300,000 | | 6.125% to 04/27/27 then T5Y + 3.231%, Series TT | *(1)(2)(3) | |
23,546 | | Cadence Bank, 5.50%, Series A | *(1) | |
| | Capital One Financial Corporation: | | |
17,820 | | 5.00%, Series I | *(1)(2) | |
$1,180,000 | | 3.95% to 09/01/26 then T5Y + 3.157%, Series M | *(1)(2) | |
| | Citigroup, Inc.: | | |
$600,000 | | 3.875% to 02/18/26 then T5Y + 3.417%, Series X | *(1) | |
$300,000 | | 4.00% to 12/10/25 then T5Y + 3.597%, Series W | *(1) | |
$450,000 | | 4.15% to 11/15/26 then T5Y + 3.00%, Series Y | *(1) | |
$450,000 | | 4.70% to 01/30/25 then SOFRRATE + 3.234%, Series V | *(1) | |
$1,120,000 | | 5.95% to 05/15/25 then 3ML + 3.905%, Series P | *(1)(2) | |
227,619 | | 6.875% to 11/15/23 then 3ML + 4.13%, Series K | *(1)(2) | |
155,338 | | 7.125% to 09/30/23 then 3ML + 4.04%, Series J | *(1)(2) | |
| | Citizens Financial Group, Inc.: | | |
49,100 | | 6.35% to 04/06/24 then 3ML + 3.642%, Series D | *(1)(2) | |
$1,300,000 | | 6.375% to 04/06/24 then 3ML + 3.157%, Series C | *(1)(2) | |
| | CoBank ACB: | | |
17,500 | | 6.20% to 01/01/25 then 3ML + 3.744%, Series H, 144A**** | *(1)(2) | |
25,000 | | 6.25% to 10/01/22 then 3ML + 4.557%, Series F, 144A**** | *(1)(2) | |
$609,000 | | 6.25% to 10/01/26 then 3ML + 4.66%, Series I, 144A**** | *(1)(2)(3) | |
$1,150,000 | | Comerica, Inc., 5.625% to 10/01/25 then T5Y + 5.291%, Series A | *(1)(2) | |
$285,000 | | Compeer Financial ACA, 4.875% to 08/15/26 then | *(1) | |
47,900 | | ConnectOne Bancorp, Inc., 5.25% to 09/01/26 then T5Y + 4.42%, Series A | *(1) | |
39,000 | | Dime Community Bancshares, Inc., 5.50%, Series A | *(1) | |
| | Fifth Third Bancorp: | | |
67,291 | | 6.00%, Series A | *(1)(2) | |
182,242 | | 6.625% to 12/31/23 then 3ML + 3.71%, Series I | *(1)(2) | |
19,620 | | First Citizens BancShares, Inc., 5.375%, Series A | *(1) | |
| | First Horizon Corporation: | | |
21,200 | | 6.50%, Series E | *(1) | |
3 | | FT Real Estate Securities Company, 9.50% 03/31/31, Series B, 144A**** | | |
875 | | First Horizon Bank, 3ML + 0.85% min 3.75%, 3.75%(4), 144A**** | *(1) | |
22,000 | | First Republic Bank, 4.00%, Series M | *(1) | |
11,400 | | Fulton Financial Corporation, 5.125%, Series A | *(1) |
2
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
| | Goldman Sachs Group: | | |
$300,000 | | 4.95% to 02/10/25 then T5Y + 3.224%, Series R | $282,830 | *(1) |
$830,000 | | 5.50% to 08/10/24 then T5Y + 3.623%, Series Q | *(1)(2) | |
11,687 | | 6.375% to 05/10/24 then 3ML + 3.55%, Series K | *(1)(2) | |
42,600 | | Heartland Financial USA, Inc., 7.00% to 07/15/25 then T5Y + 6.675%, Series E | *(1) | |
| | HSBC Holdings PLC: | | |
$1,400,000 | | HSBC Capital Funding LP, 10.176% to 06/30/30 then 3ML + 4.98%, 144A**** | (1)(2)(5) | |
| | Huntington Bancshares, Inc.: | | |
$405,000 | | 4.45% to 10/15/27 then T7Y + 4.045%, Series G | *(1) | |
$1,175,000 | | 5.625% to 07/15/30 then T10Y + 4.945%, Series F | *(1)(2) | |
$1,400,000 | | 5.70% to 04/15/23 then 3ML + 2.88%, Series E | *(1)(2) | |
| | JPMorgan Chase & Company: | | |
$850,000 | | 3.65% to 06/01/26 then T5Y + 2.85%, Series KK | *(1)(2) | |
$465,000 | | 5.00% to 08/01/24 then SOFRRATE + 3.38%, Series FF | *(1)(2) | |
$750,000 | | 6.00% to 08/01/23 then 3ML + 3.30%, Series R | *(1)(2) | |
$1,000,000 | | 3ML + 3.47%, 6.2759%(4), Series I | *(1)(2) | |
$4,791,000 | | 6.75% to 02/01/24 then 3ML + 3.78%, Series S | *(1)(2)(3) | |
| | KeyCorp: | | |
78,103 | | 6.125% to 12/15/26 then 3ML + 3.892%, Series E | *(1)(2) | |
36,400 | | 6.20% to 12/15/27 then T5Y + 3.132%, Series H | *(1) | |
| | M&T Bank Corporation: | | |
$725,000 | | 3.50% to 09/01/26 then T5Y + 2.679%, Series I | *(1) | |
23,066 | | 5.625% to 12/15/26 then 3ML + 4.02%, Series H | *(1) | |
$3,500,000 | | 6.45% to 02/15/24 then 3ML + 3.61%, Series E | *(1)(2)(3) | |
21,000 | | Merchants Bancorp, 6.00% to 10/01/24 then 3ML + 4.569%, Series B | *(1) | |
| | Morgan Stanley: | | |
40,700 | | 6.50%, Series P | *(1) | |
$640,000 | | 5.30% to 03/15/23 then 3ML + 3.16%, Series N | *(1)(2)(3) | |
213,700 | | 5.85% to 04/15/27 then 3ML + 3.491%, Series K | *(1)(2) | |
89,000 | | 6.875% to 01/15/24 then 3ML + 3.94%, Series F | *(1)(2) | |
35,823 | | 7.125% to 10/15/23 then 3ML + 4.32%, Series E | *(1)(2) | |
235,200 | | New York Community Bancorp, Inc., 6.375% to 03/17/27 then | *(1)(2) | |
67,000 | | Northpointe Bancshares, Inc., 8.25% to 12/30/25 then | *(1) | |
| | PNC Financial Services Group, Inc.: | | |
$400,000 | | 3.40% to 09/15/26 then T5Y + 2.595%, Series T | *(1) | |
$1,450,000 | | 6.00% to 05/15/27 then T5Y + 3.00%, Series U | *(1)(2)(3) | |
$760,000 | | 6.20% to 09/15/27 then T5Y + 3.238%, Series V | *(1) | |
| | Regions Financial Corporation: | | |
125,350 | | 5.70% to 08/15/29 then 3ML + 3.148%, Series C | *(1)(2) | |
$395,000 | | 5.75% to 09/15/25 then T5Y + 5.426%, Series D | *(1) |
3
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
63,000 | | Signature Bank, 5.00%, Series A | *(1)(2) | |
| | SVB Financial Group: | | |
$825,000 | | 4.00% to 05/15/26 then T5Y + 3.202%, Series C | *(1) | |
$400,000 | | 4.10% to 02/15/31 then T10Y + 3.064%, Series B | *(1) | |
55,500 | | Synchrony Financial, 5.625%, Series A | *(1)(2) | |
91,848 | | Synovus Financial Corporation, 5.875% to 07/01/24 then T5Y + 4.127%, Series E | *(1)(2) | |
35,900 | | Texas Capital Bancshares Inc., 5.75%, Series B | *(1)(2) | |
| | Truist Financial Corporation: | | |
$1,025,000 | | 4.95% to 12/01/25 then T5Y + 4.605%, Series P | *(1)(2) | |
$585,000 | | 5.10% to 09/01/30 then T10Y + 4.349%, Series Q | *(1) | |
38,203 | | Valley National Bancorp, 5.50% to 09/30/22 then 3ML + 3.578%, Series B | *(1) | |
25,000 | | Washington Federal, Inc., 4.875%, Series A | *(1) | |
13,416 | | Webster Financial Corporation, 6.50%, Series G | *(1) | |
| | Wells Fargo & Company: | | |
53,000 | | 4.25%, Series DD | *(1) | |
41,000 | | 4.70%, Series AA | *(1) | |
325 | | 7.50%, Series L | *(1) | |
$925,000 | | 3.90% to 03/15/26 then T5Y + 3.453%, Series BB | *(1) | |
81,100 | | 5.85% to 09/15/23 then 3ML + 3.09%, Series Q | *(1)(2) | |
$1,250,000 | | 5.875% to 06/15/25 then 3ML + 3.99%, Series U | *(1)(2)(3) | |
106,200 | | 6.625% to 03/15/24 then 3ML + 3.69%, Series R | *(1)(2) | |
49,000 | | WesBanco, Inc., 6.75% to 11/15/25 then T5Y + 6.557%, Series A | *(1) | |
25,300 | | Western Alliance Bancorp, 4.25% to 09/30/26 then T5Y + 3.452%, Series A | *(1) | |
48,000 | | Wintrust Financial Corporation, 6.875% to 07/15/25 then T5Y + 6.507%, Series E | *(1) | |
$1,800,000 | | Zions Bancorporation, 7.20% to 09/15/23 then 3ML + 4.44%, Series J | *(1)(2) | |
| | | | |
| | Financial Services — 3.2% | | |
$2,530,000 | | AerCap Holdings NV, 5.875% to 10/10/24 then T5Y + 4.535%, 10/10/79 | **(2)(3)(5) | |
| | Ally Financial, Inc.: | | |
$1,390,000 | | 4.70% to 05/15/26 then T5Y + 3.868%, Series B | *(1)(2) | |
$925,000 | | 4.70% to 05/15/28 then T7Y + 3.481%, Series C | *(1) | |
$775,000 | | American Express Company, 3.55% to 09/15/26 then T5Y + 2.854%, Series D | *(1) | |
15,400 | | Carlyle Finance LLC, 4.625% 05/15/61 | | |
$880,000 | | Discover Financial Services, 6.125% to 09/23/25 then T5Y + 5.783%, Series D | *(1)(2) | |
| | General Motors Financial Company: | | |
$800,000 | | 5.70% to 09/30/30 then T5Y + 4.997%, Series C | *(1) | |
$610,000 | | 5.75% to 09/30/27 then 3ML + 3.598%, Series A | *(1)(2)(3) | |
$1,000,000 | | 6.50% to 09/30/28 then 3ML + 3.436%, Series B | *(1)(2) | |
21,000 | | Raymond James Financial, Inc., 6.375% to 07/01/26 then 3ML + 4.088%, Series B | *(1) | |
| | Stifel Financial Corp.: | | |
21,000 | | 4.50%, Series D | *(1) | |
29,000 | | 6.25%, Series B | *(1)(2) | |
| | | |
4
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
| | Insurance — 18.0% | | |
67,000 | | American Equity Investment Life Holding Company, 5.95% to 12/01/24 then | *(1)(2) | |
$2,150,000 | | American International Group, Inc., 8.175% to 05/15/38 then | (2)(3) | |
25,000 | | Aspen Insurance Holdings Ltd., 5.625% | **(1)(2)(5) | |
19,300 | | Assurant, Inc., 5.25% 01/15/61 | | |
| | Athene Holding Ltd.: | | |
28,800 | | 4.875%, Series D | **(1)(5) | |
120,000 | | 6.35% to 06/30/29 then 3ML + 4.253%, Series A | **(1)(2)(5) | |
31,000 | | 6.375% to 09/30/25 then T5Y + 5.97%, Series C | **(1)(2)(5) | |
$620,000 | | AXA SA, 6.379% to 12/14/36 then 3ML + 2.256%, 144A**** | **(1)(2)(5) | |
$880,000 | | AXIS Specialty Finance LLC, 4.90% to 01/15/30 then T5Y + 3.186%, 01/15/40 | (2)(5) | |
| | Chubb Ltd.: | | |
$1,440,000 | | Ace Capital Trust II, 9.70% 04/01/30 | (2)(3) | |
16,100 | | CNO Financial Group, Inc., 5.125% 11/25/60 | | |
224,200 | | Delphi Financial Group, 3ML + 3.19%, 6.0951%(4), 05/15/37 | (2)(3) | |
| | Enstar Group Ltd.: | | |
61,000 | | 7.00% to 09/01/28 then 3ML + 4.015%, Series D | **(1)(2)(5) | |
$720,000 | | Enstar Finance LLC, 5.50% to 01/15/27 then T5Y + 4.006%, 01/15/42 | (5) | |
$575,000 | | Enstar Finance LLC, 5.75% to 09/01/25 then T5Y + 5.468%, 09/01/40 | (5) | |
$150,000 | | Equitable Holdings, Inc., 4.95% to 12/15/25 then T5Y + 4.736%, Series B | *(1) | |
$1,519,000 | | Everest Reinsurance Holdings, 3ML + 2.385%, 5.2901%(4), 05/15/37 | (2)(3) | |
$1,590,000 | | Global Atlantic Fin Company, 4.70% to 10/15/26 then | (2)(3) | |
$1,000,000 | | Kuvare US Holdings, Inc., 7.00% to 05/01/26 then | * | |
| | Liberty Mutual Group: | | |
$6,351,000 | | 7.80% 03/15/37, 144A**** | (2)(3) | |
$940,000 | | 4.125% to 12/15/26 then T5Y + 3.315%, 12/15/51, 144A**** | (2) | |
| | MetLife, Inc.: | | |
$5,335,000 | | 9.25% 04/08/38, 144A**** | (2)(3) | |
$4,130,000 | | 10.75% 08/01/39 | (2)(3) | |
$577,000 | | MetLife Capital Trust IV, 7.875% 12/15/37, 144A**** | (2) | |
$1,065,000 | | Prudential Financial, Inc., 6.00% to 09/01/32 then T5Y + 3.234%, 09/01/52 | | |
10,400 | | RenaissanceRe Holdings Ltd., 5.75%, Series F | **(1)(2)(5) | |
| | SBL Holdings, Inc.: | | |
$1,500,000 | | 6.50% to 11/13/26 then T5Y + 5.62%, Series B, 144A**** | *(1)(2) | |
$1,300,000 | | 7.00% to 05/13/25 then T5Y + 5.58%, Series A, 144A**** | *(1)(2) | |
| | Unum Group: | | |
$5,803,000 | | Provident Financing Trust I, 7.405% 03/15/38 | (2) | |
33,000 | | Voya Financial, Inc., 5.35% to 09/15/29 then T5Y + 3.21%, Series B | *(1) | |
| | | |
5
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
| | Utilities — 6.5% | | |
| | Algonquin Power & Utilities Corporation: | | |
$800,000 | | 4.75% to 04/18/27 then T5Y + 3.249%, 01/18/82 | $693,932 | (5) |
54,010 | | 6.20% to 07/01/24 then 3ML + 4.01%, 07/01/79, Series 2019-A | (2)(5) | |
$900,000 | | CenterPoint Energy, Inc., 6.125% to 09/01/23 then 3ML + 3.27%, Series A | *(1)(2) | |
| | Commonwealth Edison: | | |
$3,394,000 | | COMED Financing III, 6.35% 03/15/33 | (2)(3) | |
$650,000 | | Dominion Energy, Inc., 4.35% to 04/15/27 then T5Y + 3.195%, Series C | *(1) | |
| | Edison International: | | |
$1,733,000 | | 5.00% to 03/15/27 then T5Y + 3.901%, Series B | *(1)(2)(3) | |
$560,000 | | 5.375% to 03/15/26 then T5Y + 4.698%, Series A | *(1) | |
$2,940,000 | | Emera, Inc., 6.75% to 06/15/26 then 3ML + 5.44%, 06/15/76, Series 2016A | (2)(3)(5) | |
17,800 | | Indianapolis Power & Light Company, 5.65% | *(1)(2) | |
| | NiSource, Inc.: | | |
$440,000 | | 5.65% to 06/15/23 then T5Y + 2.843%, Series A | *(1) | |
40,000 | | 6.50% to 03/15/24 then T5Y + 3.632%, Series B | *(1)(2) | |
| | Sempra Energy: | | |
$1,000,000 | | 4.125% to 04/01/27 then T5Y + 2.868%, 04/01/52 | (2)(3) | |
$1,400,000 | | 4.875% to 10/15/25 then T5Y + 4.55%, Series C | *(1)(2)(3) | |
| | Southern California Edison: | | |
$840,000 | | 3ML + 4.199%, 6.9813%(4), Series E | *(1)(2)(3) | |
176 | | SCE Trust II, 5.10%, Series G | *(1) | |
44,140 | | SCE Trust V, 5.45% to 03/15/26 then 3ML + 3.79%, Series K | *(1)(2) | |
$832,000 | | Southern Company, 3.75% to 09/15/26 then T5Y + 2.915%, 09/15/51, Series 2021-A | (2) | |
$185,000 | | Vistra Corporation, 7.00% to 12/15/26 then T5Y + 5.74%, Series B, 144A**** | *(1) | |
| | | | |
| | Energy — 6.3% | | |
| | DCP Midstream LP: | | |
$1,550,000 | | 7.375% to 12/15/22 then 3ML + 5.148%, Series A | (1)(2)(3) | |
5,200 | | 7.875% to 06/15/23 then 3ML + 4.919%, Series B | (1) | |
$750,000 | | DCP Midstream LLC, 5.85% to 05/21/23 then 3ML + 3.85%, 05/21/43, 144A**** | | |
| | Enbridge, Inc.: | | |
$380,000 | | 5.75% to 07/15/30 then T5Y + 5.314%, 07/15/80, Series 2020-A | (5) | |
$1,500,000 | | 6.00% to 01/15/27 then 3ML + 3.89%, 01/15/77, Series 2016-A | (2)(3)(5) | |
| | Energy Transfer LP: | | |
$2,071,000 | | 7.125% to 05/15/30 then T5Y + 5.306%, Series G | (1)(2)(3) | |
106,314 | | 7.375% to 05/15/23 then 3ML + 4.53%, Series C | (1)(2) | |
187,800 | | 7.60% to 05/15/24 then 3ML + 5.161%, Series E | (1)(2) | |
2,100 | | 7.625% to 08/15/23 then 3ML + 4.738%, Series D | (1) | |
$1,000,000 | | Enterprise Products Operating L.P., 5.25% to 08/16/27 then | (2)(3) |
6
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
$2,120,000 | | MPLX LP, 6.875% to 02/15/23 then 3ML + 4.652%, Series B | $2,055,736 | (1)(2)(3) |
45,500 | | NuStar Logistics LP, 3ML + 6.734%, 9.246%(4), 01/15/43 | (2) | |
| | Transcanada Pipelines, Ltd.: | | |
$2,250,000 | | 5.50% to 09/15/29 then SOFRRATE + 4.4156%, 09/15/79 | (2)(5) | |
$300,000 | | 5.875% to 08/15/26 then 3ML + 4.64%, 08/15/76, Series 2016-A | (2)(3)(5) | |
| | | | |
| | Communication — 1.1% | | |
$900,000 | | British Telecommunications PLC, 4.875% to 11/23/31 then | (2)(5) | |
$1,860,000 | | Paramount Global, 6.375% to 03/30/27 then T5Y + 3.999%, 03/30/62 | (2)(3) | |
$900,000 | | Vodafone Group PLC, 7.00% to 04/04/29 then SW5 + 4.873%, 04/04/79 | (2)(3)(5) | |
| | | | |
| | Real Estate Investment Trust (REIT) — 1.6% | | |
4,540 | | Annaly Capital Management, Inc., 6.95% to 09/30/22 then 3ML + 4.993%, Series F | (1) | |
| | Arbor Realty Trust, Inc.: | | |
15,892 | | 6.375%, Series D | (1) | |
61,000 | | 6.25% to 10/30/26 then SOFRRATE + 5.44%, Series F | (1)(2) | |
95,536 | | KKR Real Estate Finance Trust, Inc., 6.50%, Series A | (1) | |
30,000 | | New York Mortgage Trust, Inc., 6.875% to 10/15/26 then | (1) | |
28,200 | | TPG RE Finance Trust, Inc., 6.25%, Series C | (1) | |
| | | | |
| | Miscellaneous Industries — 2.0% | | |
$440,000 | | Apollo Management Holdings LP, 4.95% to 12/17/24 then | | |
| | Land O’ Lakes, Inc.: | | |
$1,500,000 | | 7.00%, Series C, 144A**** | *(1)(2) | |
$4,350,000 | | 7.25%, Series B, 144A**** | *(1)(2) | |
| | | | |
| | Total Preferred Stock & Hybrid Preferred Securities | | |
| | | | |
Contingent Capital Securities† — 20.7% | | | ||
| | Banking — 18.6% | | |
$2,550,000 | | Australia & New Zealand Banking Group Ltd., 6.75% to 06/15/26 then | **(1)(2)(3)(5) | |
| | Banco Bilbao Vizcaya Argentaria SA: | | |
$3,000,000 | | 6.125% to 11/16/27 then SW5 + 3.87% | **(1)(2)(3)(5) | |
$1,000,000 | | 6.50% to 03/05/25 then T5Y + 5.192%, Series 9 | **(1)(2)(5) | |
| | Banco Mercantil del Norte SA: | | |
$800,000 | | 6.625% to 01/24/32 then T10Y + 5.034%, 144A**** | **(1)(5) | |
$1,077,000 | | 7.50% to 06/27/29 then T10Y + 5.47%, 144A**** | **(1)(2)(5) | |
$710,000 | | 7.625% to 01/10/28 then T10Y + 5.353%, 144A**** | **(1)(5) |
7
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
$6,200,000 | | Banco Santander SA, 4.75% to 05/12/27 then T5Y + 3.753%, 144A**** | $4,956,900 | **(1)(2)(3)(5) |
| | Barclays Bank PLC: | | |
$475,000 | | 4.375% to 09/15/28 then T5Y + 3.41% | **(1)(5) | |
$1,720,000 | | 6.125% to 06/15/26 then T5Y + 5.867% | **(1)(2)(3)(5) | |
$1,310,000 | | 7.75% to 09/15/23 then SW5 + 4.842% | **(1)(2)(5) | |
$2,285,000 | | 8.00% to 06/15/24 then T5Y + 5.672% | **(1)(2)(5) | |
$485,000 | | 8.00% to 09/15/29 then T5Y + 5.431% | **(1)(5) | |
$670,000 | | BBVA Bancomer SA, 5.875% to 09/13/29 then T5Y + 4.308%, 09/13/34, 144A**** | (2)(3)(5) | |
| | BNP Paribas: | | |
$475,000 | | 4.625% to 02/25/31 then T5Y + 3.34%, 144A**** | **(1)(5) | |
$560,000 | | 7.00% to 08/16/28 then SW5 + 3.98%, 144A**** | **(1)(5) | |
$7,830,000 | | 7.375% to 08/19/25 then SW5 + 5.15%, 144A**** | **(1)(2)(5) | |
$970,000 | | 7.75% to 08/16/29 then T5Y + 4.899%, 144A**** | **(1)(5) | |
| | Credit Agricole SA: | | |
$480,000 | | 4.75% to 09/23/29 then T5Y + 3.237%, 144A**** | **(1)(5) | |
$395,000 | | 7.875% to 01/23/24 then SW5 + 4.898%, 144A**** | **(1)(5) | |
| | Credit Suisse Group AG: | | |
$280,000 | | 5.10% to 01/24/30 then T5Y + 3.293%, 144A**** | **(1)(5) | |
$1,500,000 | | 6.375% to 08/21/26 then T5Y + 4.828%, 144A**** | **(1)(2)(5) | |
$1,000,000 | | 7.25% to 09/12/25 then SW5 + 4.332%, 144A**** | **(1)(2)(5) | |
$1,100,000 | | 7.50% to 07/17/23 then SW5 + 4.601%, 144A**** | **(1)(2)(5) | |
| | HSBC Holdings PLC: | | |
$500,000 | | 6.00% to 05/22/27 then ISDA5 + 3.746% | **(1)(2)(5) | |
$4,265,000 | | 6.50% to 03/23/28 then ISDA5 + 3.606% | **(1)(2)(3)(5) | |
$775,000 | | ING Groep NV, 3.875% to 11/16/27 then T5Y + 2.862% | **(1)(5) | |
$2,750,000 | | Lloyds Banking Group PLC, 7.50% to 09/27/25 then SW5 + 4.496% | **(1)(2)(3)(5) | |
$730,000 | | Macquarie Bank Ltd., 6.125% to 03/08/27 then SW5 + 3.703%, 144A**** | **(1)(2)(5) | |
$425,000 | | NatWest Group PLC, 4.60% to 12/28/31 then T5Y + 3.10% | **(1)(5) | |
| | Societe Generale SA: | | |
$1,000,000 | | 4.75% to 05/26/26 then T5Y + 3.931%, 144A**** | **(1)(2)(5) | |
$1,000,000 | | 5.375% to 11/18/30 then T5Y + 4.514%, 144A**** | **(1)(5) | |
$6,000,000 | | 6.75% to 04/06/28 then SW5 + 3.929%, 144A**** | **(1)(2)(3)(5) | |
| | Standard Chartered PLC: | | |
$450,000 | | 4.75% to 07/14/31 then T5Y + 3.805%, 144A**** | **(1)(5) | |
$1,500,000 | | 7.75% to 04/02/23 then SW5 + 5.723%, 144A**** | **(1)(2)(3)(5) | |
$2,420,000 | | 7.75% to 02/15/28 then T5Y + 4.976%, 144A**** | **(1)(5) | |
| | UBS Group AG: | | |
$675,000 | | 4.375% to 02/10/31 then T5Y + 3.313%, 144A**** | **(1)(5) | |
$850,000 | | 4.875% to 02/12/27 then T5Y + 3.404%, 144A**** | **(1)(5) | |
$2,500,000 | | UBS Group Funding Switzerland AG, 7.00% to 01/31/24 then | **(1)(2)(3)(5) | |
| | | |
8
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
| | |||
| | Financial Services — 0.1% | | |
$400,000 | | Deutsche Bank AG, 6.00% to 04/30/26 then T5Y + 4.524% | $327,800 | **(1)(5) |
| | | | |
| | Insurance — 2.0% | | |
| | QBE Insurance Group Ltd.: | | |
$675,000 | | 5.875% to 05/12/25 then T5Y + 5.513%, 144A**** | **(1)(2)(5) | |
$5,300,000 | | 7.50% to 11/24/23 then SW10 + 6.03%, 11/24/43, 144A**** | (2)(3)(5) | |
| | | | |
| | Total Contingent Capital Securities | | |
| | | | |
Corporate Debt Securities§ — 3.1% | | | ||
| | Banking — 0.1% | | |
10,900 | | Zions Bancorporation, 6.95% to 09/15/23 then 3ML + 3.89%, 09/15/28, Sub Notes | | |
| | | | |
| | Insurance — 1.3% | | |
$3,000,000 | | Liberty Mutual Insurance, 7.697% 10/15/97, 144A**** | (2)(3) | |
$500,000 | | Universal Insurance Holdings, Inc., 5.625% 11/30/26 | | |
| | | | |
| | Energy — 0.4% | | |
$940,000 | | Energy Transfer LP, 8.25% 11/15/29 | (2)(3) | |
| | | | |
| | Communication — 0.5% | | |
| | Qwest Corporation: | | |
29,941 | | 6.50% 09/01/56 | | |
41,820 | | 6.75% 06/15/57 | (2) | |
| | | | |
| | Miscellaneous Industries — 0.8% | | |
$2,160,000 | | Pulte Group, Inc., 7.875% 06/15/32 | (2)(3) | |
| | | | |
| | Total Corporate Debt Securities | | |
| | | | |
Money Market Fund — 0.1% | | | ||
| | BlackRock Liquidity Funds: | | |
454,099 | | T-Fund, Institutional Class | | |
| | | | |
| | Total Money Market Fund | | |
| | | | |
9
Flaherty & Crumrine Total Return Fund Incorporated
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 2022 (Unaudited)
|
|
| Value | |
Total Investments (Cost $319,777,801***) | 99.0 | % | $304,955,270 | |
| ||||
Other Assets and Liabilities, excluding Loan Payable (net) | 1.0 | % | 3,074,241 | |
| ||||
Total Managed Assets | 100.0 | %‡ | $308,029,511 | |
| ||||
Loan Principal Balance | (118,500,000 | ) | ||
| ||||
Total Net Assets Available To Common Stock | $189,529,511 | |
§Date shown is maturity date unless referencing the end of the fixed-rate period of a fixed-to-floating rate security.
*Securities eligible for the Dividends Received Deduction and distributing Qualified Dividend Income.
**Securities distributing Qualified Dividend Income only.
***Aggregate cost of securities held.
****Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At August 31, 2022, these securities amounted to $89,873,233 or 29.2% of total managed assets.
(1)Perpetual security with no stated maturity date.
(2)All or a portion of this security is pledged as collateral for the Fund’s loan. The total value of such securities was $241,305,630 at August 31, 2022.
(3)All or a portion of this security has been rehypothecated. The total value of such securities was $108,065,958 at August 31, 2022.
(4)Represents the rate in effect as of the reporting date.
(5)Foreign Issuer.
†A Contingent Capital Security is a hybrid security with contractual loss-absorption characteristics.
‡The percentage shown for each investment category is the total value of that category as a percentage of total managed assets.
ABBREVIATIONS:
3ML—3-Month ICE LIBOR USD A/360
ISDA5—5-year USD ICE Swap Semiannual 30/360
SOFRRATE—Secured Overnight Funding Rate, Federal Reserve Bank of New York
SW5—5-year USD Swap Semiannual 30/360
SW10—10-year USD Swap Semiannual 30/360
T5Y—Federal Reserve H.15 5-Yr Constant Maturity Treasury Semiannual yield
T7Y—Federal Reserve H.15 7-Yr Constant Maturity Treasury Semiannual yield
T10Y—Federal Reserve H.15 10-Yr Constant Maturity Treasury Semiannual yield
Flaherty & Crumrine Total Return Fund Incorporated
Financial Highlights(1)
For the period December 1, 2021 through August 31, 2022 (Unaudited)
For a Common Stock share outstanding throughout the period
10
PER SHARE OPERATING PERFORMANCE: | | | |
Net asset value, beginning of period | | $22.18 | |
INVESTMENT OPERATIONS: | | | |
Net investment income | | 1.07 | |
Net realized and unrealized gain/(loss) on investments | | (4.01 | ) |
Total from investment operations | | (2.94 | ) |
DISTRIBUTIONS TO COMMON STOCK SHAREHOLDERS: | |||
From net investment income | | (1.12 | ) |
Total distributions to Common Stock Shareholders | | (1.12 | ) |
Net asset value, end of period | | $18.12 | |
Market value, end of period | | $17.53 | |
Common Stock shares outstanding, end of period | | 10,456,821 | |
RATIOS TO AVERAGE NET ASSETS AVAILABLE TO COMMON STOCK SHAREHOLDERS: | | | |
Net investment income† | | 7.14 | %* |
Operating expenses including interest expense | | 2.20 | %* |
Operating expenses excluding interest expense | | 1.28 | %* |
SUPPLEMENTAL DATA:†† | | | |
Portfolio turnover rate | | 6 | %** |
Total managed assets, end of period (in 000’s) | | $308,030 | |
Ratio of operating expenses including interest expense to | | 1.40 | %* |
Ratio of operating expenses excluding interest expense to | | 0.82 | %* |
(1)These tables summarize the nine months ended August 31, 2022 and should be read in conjunction with the Fund’s audited financial statements, including notes to the financial statements, in its Annual Report dated November 30, 2021.
*Annualized.
**Not annualized.
†The net investment income ratios reflect income net of operating expenses, including interest expense.
††Information presented under heading Supplemental Data includes loan principal balance.
Flaherty & Crumrine Total Return Fund Incorporated
Financial Highlights (Continued)
Per Share of Common Stock (Unaudited)
11
| | Total | | Net Asset | | NYSE | | Dividend |
December 31, 2021 | | | | | ||||
January 31, 2022 | | | | | ||||
February 28, 2022 | | | | | ||||
March 31, 2022 | | | | | ||||
April 29, 2022 | | | | | ||||
May 31, 2022 | | | | | ||||
June 30, 2022 | | | | | ||||
July 29, 2022 | | | | | ||||
August 31, 2022 | | | | |
(1)Whenever the net asset value per share of the Fund’s Common Stock is less than or equal to the market price per share on the reinvestment date, new shares issued will be valued at the higher of net asset value or 95% of the then current market price. Otherwise, the reinvestment shares of Common Stock will be purchased in the open market.
Flaherty & Crumrine Total Return Fund Incorporated
NOTES TO PORTFOLIO OF INVESTMENTS (Unaudited)
12
1.Aggregate Information for Federal Income Tax Purposes
At August 31, 2022, the aggregate cost of securities for federal income tax purposes was $324,971,853, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $5,387,060 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $25,403,643.
2.Additional Accounting Standards
Fair Value Measurements: The Fund has analyzed all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:
| • | Level 1 – | quoted prices in active markets for identical securities |
| |||
| • | Level 2 – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, 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 securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out of levels are recognized at market value at the end of the period.
Flaherty & Crumrine Total Return Fund Incorporated
NOTES TO PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
13
A summary of the inputs used to value the Fund’s investments as of August 31, 2022 is as follows:
| | Total | | Level 1 | | Level 2 | | Level 3 | |
Preferred Stock & Hybrid Preferred Securities | | | | | | | | | |
Banking | | | | | | ||||
Financial Services | | | | | | ||||
Insurance | | | | | | ||||
Utilities | | | | | | ||||
Energy | | | | | | ||||
Communication | | | | | | ||||
Real Estate Investment Trust (REIT) | | | | | | ||||
Miscellaneous Industries | | | | | | ||||
Contingent Capital Securities | | | | | | | | | |
Banking | | | | | | ||||
Financial Services | | | | | | ||||
Insurance | | | | | | ||||
Corporate Debt Securities | | | | | | | | | |
Banking | | | | | | ||||
Insurance | | | | | | ||||
Energy | | | | | | ||||
Communication | | | | | | ||||
Miscellaneous Industries | | | | | | ||||
Money Market Fund | | 454,099 | | 454,099 | | — | | — | |
Total Investments | | $304,955,270 | | $97,459,924 | | $207,495,346 | | $— | |
During the reporting period, there were no transfers into or out of Level 3.
The fair values of the Fund’s investments are generally based on market information and quotes received from brokers or independent pricing services that are approved by the Board of Directors and are unaffiliated with the Adviser. To assess the continuing appropriateness of security valuations, management, in consultation with the Adviser, regularly compares current prices to prior prices, prices across comparable securities, actual sale prices for securities in the Fund’s portfolio, and market information obtained by the Adviser as a function of being an active market participant.
Securities with quotes that are based on actual trades or actionable bids and offers with a sufficient level of activity on or near the measurement date are classified as Level 1. Securities that are priced using quotes derived from implied values, indicative bids and offers, or a limited number of actual trades—or the same information for securities that are similar in many respects to those being valued—are classified as Level 2. If market information is not available for securities being valued, or materially-comparable securities, then those securities are classified as Level 3. In considering market information, management evaluates changes in liquidity, willingness of a broker to execute at the quoted price, the depth and consistency of prices from pricing services, and the existence of observable trades in the market.