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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Brookfield Total Return Fund Inc. (The) | NYSE:HTR | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 0.00 | - |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||
Commercial Mortgage Trust | ||||
Series 2007-GG7, Class AJ
4
|
6.06% | 07/10/38 | $ 3,830 | $ 3,845,561 |
Series 2007-GG11, Class AJ
1
|
6.25 | 12/10/49 | 10,330 | 9,597,417 |
Series 2007-GG11, Class B
4
|
6.35 | 12/10/49 | 3,568 | 3,059,774 |
Series 2007-GG11, Class C
4
|
6.35 | 12/10/49 | 8,400 | 6,292,827 |
Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C2, Class A3
1,6
|
5.54 | 01/15/49 | 6,024 | 6,602,467 |
Series
2006-C1, Class K
2,3,4,5,6
(Acquired 03/07/06, Cost $6,736,205, 0.2%)
|
5.57 | 02/15/39 | 7,073 | 801,031 |
Credit Suisse First Boston Mortgage Securities Corp. | ||||
Series
2004-C5, Class J
2,3,4,5
(Acquired 12/16/04, Cost $969,936, 0.1%)
|
4.65 | 11/15/37 | 1,000 | 431,417 |
Series 2005-C2, Class AMFX
4
|
4.88 | 04/15/37 | 5,800 | 5,747,875 |
Credit Suisse Mortgage Capital Certificates | ||||
Series 2006-TF2A, Class SVJ
1,3,4,6
|
1.40 | 10/15/21 | 7,000 | 6,846,644 |
GMAC Commercial Mortgage Securities, Inc. | ||||
Series
2004-C3, Class B
4,5
(Acquired 12/07/10, Cost $1,603,381, 0.5%)
|
4.97 | 12/10/41 | 1,750 | 1,633,767 |
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||
Series
2003-LN1, Class G
2,3,4,5,6
(Acquired 09/24/03, Cost $1,596,346, 0.5%)
|
5.67 | 10/15/37 | 1,600 | 1,591,680 |
Series 2007-CB20, Class AM
6
|
6.08 | 02/12/51 | 1,180 | 1,318,206 |
Series
2009-IWST, Class D
2,3,4,5,6
(Acquired 06/28/07, Cost $7,857,525,
2.2%)
|
7.69 | 12/05/27 | 7,000 | 7,833,609 |
LB-UBS Commercial Mortgage Trust | ||||
Series 2007-C1, Class AJ
1
|
5.48 | 02/15/40 | 7,460 | 7,320,789 |
Series
2007-C1, Class C
4,5,6
(Acquired 02/10/11, Cost $2,843,453, 0.8%)
|
5.53 | 02/15/40 | 3,260 | 2,858,740 |
Series
2007-C1, Class D
4,5
(Acquired 02/10/11, Cost $2,766,412, 0.8%)
|
5.56 | 02/15/40 | 3,600 | 2,611,123 |
Series 2007-C7, Class AJ
|
6.51 | 09/15/45 | 10,000 | 9,688,750 |
LNR CDO V Ltd. | ||||
Series
2007-1A, Class F
2,3,4,5,6
(Acquired 02/27/07, Cost $3,750,000, 0.0%)
|
1.63 | 12/26/49 | 3,750 | 0 |
Morgan Stanley Capital I Trust | ||||
Series
2004-HQ4, Class G
2,3,4,5,6
(Acquired 03/01/06, Cost $992,072, 0.3%)
|
5.42 | 04/14/40 | 1,000 | 920,013 |
Series
2006-IQ11, Class J
2,3,4,5,6
(Acquired 05/24/06, Cost $134,522, 0.0%)
|
5.53 | 10/15/42 | 155 | 773 |
Series
2006-T21, Class H
2,3,4,5,6
(Acquired 04/04/06, Cost $1,422,010, 0.2%)
|
5.55 | 10/12/52 | 1,500 | 450,150 |
Series 2007-HQ13, Class A3
1
|
5.57 | 12/15/44 | 6,108 | 6,561,012 |
Series 2007-T25, Class AJ
1
|
5.57 | 11/12/49 | 12,500 | 12,215,875 |
Series 2007-IQ14, Class A4
1,6
|
5.69 | 04/15/49 | 6,690 | 7,385,813 |
Series 2007-T27, Class AJ
|
5.82 | 06/11/42 | 3,757 | 3,933,767 |
Series 2007-IQ16, Class AJ
6
|
6.34 | 12/12/49 | 5,008 | 4,859,763 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||
Morgan Stanley Dean Witter Capital I Trust | ||||
Series
2003-TOP9, Class F
2,3,4,5
(Acquired 07/08/10, Cost $2,711,360, 0.8%)
|
5.85% | 11/13/36 | $ 2,877 | $ 2,947,454 |
Series
2003-TOP9, Class G
2,3,4,5
(Acquired 07/08/10, Cost $4,242,262, 1.3%)
|
6.12 | 11/13/36 | 4,577 | 4,676,335 |
Vornado DP LLC Trust | ||||
Series
2010-VNO, Class D
2,3,4,5
(Acquired 08/08/10, Cost $919,712, 0.3%)
|
6.36 | 09/13/28 | 920 | 1,008,030 |
Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-WL7A, Class F
2,3,4,6
|
0.52 | 09/15/21 | 2,419 | 2,225,156 |
Series 2006-WL7A, Class G
2,3,4,6
|
0.54 | 09/15/21 | 2,855 | 2,626,600 |
Series 2006-WL7A, Class H
2,3,4,6
|
0.58 | 09/15/21 | 2,163 | 1,946,700 |
Series
2007-C31, Class L
2,3,4,5
(Acquired 05/11/07, Cost $748,542, 0.0%)
|
5.13 | 04/15/47 | 1,788 | 358 |
Series
2005-C20, Class F
2,3,4,5
(Acquired 10/15/10, Cost $1,982,879, 0.6%)
|
5.43 | 07/15/42 | 4,000 | 2,224,100 |
Series
2005-C16, Class H
2,3,4,5
(Acquired 01/19/05, Cost $5,975,960, 1.6%)
|
5.75 | 10/15/41 | 6,000 | 5,689,920 |
Series 2007-C33, Class AJ
|
6.12 | 02/15/51 | 10,000 | 9,555,820 |
Total
COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $186,891,476)
|
185,483,494 | |||
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES – 48.0% | ||||
ACE Securities Corporation Home Equity Loan Trust | ||||
Series 2006-HE2, Class A2D
6,8,9
|
0.45 | 05/25/36 | 2,182 | 1,183,392 |
Alternative Loan Trust | ||||
Series 2006-OA10, Class 3A1
6,8
|
0.37 | 08/25/46 | 2,238 | 1,471,960 |
Series 2007-2CB, Class 1A15
|
5.75 | 03/25/37 | 1,191 | 917,715 |
Series 2006-41CB, Class 2A14
|
6.00 | 01/25/37 | 923 | 727,291 |
Series 2006-41CB, Class 2A17
|
6.00 | 01/25/37 | 1,908 | 1,503,024 |
Series 2006-29T1, Class 3A3
6
|
76.54 | 10/25/36 | 1,198 | 4,411,669 |
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||
Series 2007-HE1, Class A4
6,8,9
|
0.32 | 12/25/36 | 2,350 | 1,616,509 |
Banc of America Funding Corp. | ||||
Series
2003-3, Class B4
4,5,6
(Acquired 01/28/04, Cost $236,297, 0.0%)
|
5.48 | 10/25/33 | 263 | 116,588 |
Series
2003-3, Class B5
4,5,6
(Acquired 01/28/04, Cost $198,287, 0.0%)
|
5.48 | 10/25/33 | 265 | 101,340 |
Series
2003-3, Class B6
4,5,6
(Acquired 01/28/04, Cost $40,898, 0.0%)
|
5.48 | 10/25/33 | 85 | 3,107 |
BCAP LLC Trust | ||||
Series 2009-RR13, Class 18A2
2,3,4,6
|
6.01 | 07/26/37 | 2,095 | 1,630,913 |
Citicorp Mortgage Securities Trust | ||||
Series 2006-3, Class 1A4
|
6.00 | 06/25/36 | 2,496 | 2,577,073 |
Citigroup Commercial Mortgage Trust | ||||
Series 2008-C7, Class AJ
|
6.34 | 12/10/49 | 6,354 | 6,022,690 |
Citigroup Mortgage Loan Trust | ||||
Series 2009-11, Class 8A2
2,3,6
|
2.42 | 04/25/45 | 3,244 | 2,650,794 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | ||||
Citigroup Mortgage Loan Trust, Inc. | ||||
Series 2004-NCM2, Class 1CB2
|
6.75% | 08/25/34 | $ 179 | $ 185,052 |
Countrywide Home Loan Mortgage Pass-Through Trust | ||||
Series 2004-11, Class 2A1
1,6
|
2.24 | 07/25/34 | 4,365 | 4,230,810 |
Series
2003-J13, Class B3
4,5,6
(Acquired 09/13/07, Cost $292,123, 0.1%)
|
5.23 | 01/25/34 | 359 | 167,705 |
Series
2003-J13, Class B4
4,5,6
(Acquired 09/13/07, Cost $178,825, 0.0%)
|
5.23 | 01/25/34 | 282 | 70,075 |
Series
2003-J13, Class B5
4,5,6
(Acquired 09/13/07, Cost $20,513, 0.0%)
|
5.23 | 01/25/34 | 205 | 7,304 |
Series 2007-5, Class A29
|
5.50 | 05/25/37 | 1,051 | 957,241 |
Series
2003-57, Class B3
4,5
(Acquired 02/20/04, Cost $0, 0.0%)
|
5.50 | 01/25/34 | 270 | 3 |
Series 2006-21, Class A11
|
5.75 | 02/25/37 | 3,467 | 3,137,677 |
Series 2007-14, Class A6
|
6.00 | 09/25/37 | 356 | 338,091 |
Series 2007-18, Class 1A1
|
6.00 | 11/25/37 | 158 | 143,700 |
Series 2007-10, Class A5
|
6.00 | 07/25/37 | 1,118 | 975,055 |
Series 2004-21, Class A10
|
6.00 | 11/25/34 | 487 | 516,246 |
Series 2007-15, Class 2A2
|
6.50 | 09/25/37 | 293 | 251,818 |
DSLA Mortgage Loan Trust | ||||
Series 2007-AR1, Class 2A1A
6,8
|
0.32 | 04/19/47 | 5,324 | 4,136,418 |
First Republic Mortgage Bank Mortgage Pass-Through Certificates | ||||
Series
2000-FRB1, Class B3
4,5,6
(Acquired 08/30/01, Cost $92,167, 0.0%)
|
0.68 | 06/25/30 | 96 | 59,871 |
GMAC Mortgage Corporation Loan Trust | ||||
Series 2004-J5, Class M1
6
|
5.25 | 01/25/35 | 1,517 | 1,185,255 |
GSAMP Trust | ||||
Series 2007-NC1, Class A2A
6,8,9
|
0.23 | 12/25/46 | 228 | 115,907 |
Series 2007-NC1, Class A2B
6,8,9
|
0.28 | 12/25/46 | 3,720 | 1,901,775 |
Series 2007-HE1, Class A2B
6,8,9
|
0.28 | 03/25/47 | 2,620 | 2,131,361 |
Series 2007-NC1, Class A2C
6,8,9
|
0.33 | 12/25/46 | 8,481 | 4,365,476 |
Series 2006-HE5, Class A2C
6,8,9
|
0.33 | 08/25/36 | 5,335 | 3,126,934 |
GSR Mortgage Loan Trust | ||||
Series 2005-6F, Class 1A6
|
5.25 | 07/25/35 | 1,246 | 1,250,922 |
Indymac Index Mortgage Loan Trust | ||||
Series 2006-FLX1, Class A1
6,8
|
0.39 | 11/25/36 | 6,922 | 5,518,152 |
IXIS Real Estate Capital Trust | ||||
Series 2006-HE3, Class A2
6,8,9
|
0.28 | 01/25/37 | 1,081 | 486,331 |
Series 2006-HE2, Class A3
6,8,9
|
0.34 | 08/25/36 | 9,118 | 3,741,210 |
Series 2006-HE3, Class A4
6,8,9
|
0.41 | 01/25/37 | 834 | 400,370 |
JP Morgan Mortgage Acquisition Corp. | ||||
Series 2006-WMC1, Class A4
6,8
|
0.36 | 03/25/36 | 5,892 | 4,174,185 |
JP Morgan Mortgage Trust | ||||
Series
2003-A1, Class B4
4,5,6
(Acquired 10/29/04, Cost $255,822, 0.1%)
|
2.73 | 10/25/33 | 292 | 162,219 |
Series
2003-A2, Class B4
4,5,6
(Acquired 10/29/04, Cost $172,441, 0.0%)
|
3.02 | 11/25/33 | 203 | 82,781 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
NON-AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | ||||
Master Asset Backed Securities Trust | ||||
Series 2006-NC2, Class A3
6,8,9
|
0.29% | 08/25/36 | $ 5,401 | $ 2,493,519 |
Series 2006-NC2, Class A4
6,8,9
|
0.33 | 08/25/36 | 1,899 | 883,228 |
Series 2006-HE5, Class A3
6,8,9
|
0.34 | 11/25/36 | 6,195 | 3,375,376 |
Series 2006-NC3, Class A4
6,8,9
|
0.34 | 10/25/36 | 3,232 | 1,608,922 |
Series 2006-NC3, Class A5
6,8,9
|
0.39 | 10/25/36 | 4,983 | 2,500,173 |
Series 2006-HE5, Class A4
6,8,9
|
0.40 | 11/25/36 | 2,090 | 1,148,812 |
Series 2006-NC2, Class A5
6,8,9
|
0.42 | 08/25/36 | 706 | 333,403 |
Mid-State Capital Corp. | ||||
Series 2004-1, Class M1
1
|
6.50 | 08/15/37 | 4,825 | 5,271,698 |
Series
2004-1, Class M2
5
(Acquired 07/01/04, Cost $2,383,439, 0.8%)
|
8.11 | 08/15/37 | 2,386 | 2,776,795 |
Series 2004-1, Class B
4
|
8.90 | 08/15/37 | 402 | 449,578 |
Mid-State Trust X | ||||
Series
10, Class B
4,5
(Acquired 01/05/04, Cost $1,765,407, 0.6%)
|
7.54 | 02/15/36 | 1,858 | 2,001,879 |
Nationstar Home Equity Loan Trust | ||||
Series 2006-B, Class AV4
6,8,9
|
0.46 | 09/25/36 | 6,395 | 5,021,866 |
RAAC Series | ||||
Series
2005-SP1, Class M3
5,6
(Acquired 08/02/07, Cost $171,791, 0.0%)
|
5.52 | 09/25/34 | 194 | 7,029 |
RESI Finance LP | ||||
Series 2006-QO1, Class 2A1
6,8
|
0.45 | 02/25/46 | 1,417 | 785,276 |
Series 2006-QS14, Class A30
6
|
78.86 | 11/25/36 | 246 | 706,873 |
Residential Accredit Loans Trust | ||||
Series 2004-B, Class B5
2,3,4,5
|
1.73 | 02/10/36 | 1,196 | 672,975 |
Residential Asset Securitization Trust | ||||
Series 2007-QS6, Class A2
6
|
54.05 | 04/25/37 | 378 | 799,032 |
Residential Funding Mortgage Securities I, Inc. | ||||
Series 2005-A8CB, Class A11
|
6.00 | 07/25/35 | 947 | 835,860 |
Resix Finance Limited Credit-Linked Notes | ||||
Series
2004-C, Class B7
2,3,4,5,6
(Acquired 09/23/04, Cost $1,054,305, 0.1%)
|
3.68 | 09/10/36 | 1,054 | 493,099 |
Series
2004-B, Class B8
2,3,4,5,6
(Acquired 05/21/04, Cost $273,636, 0.0%)
|
4.93 | 02/10/36 | 274 | 124,970 |
Series
2004-S1, Class B1
4,5
(Acquired 02/26/04, Cost $210,167, 0.0%)
|
5.25 | 02/25/34 | 242 | 87,986 |
Series
2004-S1, Class B2
4,5
(Acquired 02/26/04, Cost $0, 0.0%)
|
5.25 | 02/25/34 | 40 | 0 |
Series 2003-S7, Class A7
|
5.50 | 05/25/33 | 601 | 627,267 |
Series
2003-S7, Class B2
4,5
(Acquired 05/19/03, Cost $133,488, 0.0%)
|
5.50 | 05/25/33 | 286 | 68,379 |
Series
2003-S7, Class B3
4,5
(Acquired 05/19/03, Cost $0, 0.0%)
|
5.50 | 05/25/33 | 3 | 0 |
Series
2003-D, Class B7
2,3,4,5,6
(Acquired 11/19/03, Cost $570,183, 0.1%)
|
5.93 | 12/10/35 | 570 | 374,555 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
INTEREST-ONLY SECURITIES – 5.5% | ||||
Commercial Mortgage Trust | ||||
Series 2001-J2A, Class EIO
2,3,4,6,10
|
4.09% | 07/16/34 | $ 10,000 | $ 1,135,740 |
Federal National Mortgage Association | ||||
Series 2011-46, Class BI
10
|
4.50 | 04/25/37 | 6,350 | 980,447 |
GMAC Commercial Mortgage Securities, Inc. | ||||
Series 2003-C1, Class X1
2,3,10
|
1.07 | 05/10/36 | 4,077 | 58,284 |
Government National Mortgage Association | ||||
Series 2005-76, Class IO
1,6,10
|
0.51 | 09/16/45 | 28,306 | 769,608 |
Series 2012-100, Class IO
1,6,10
|
0.89 | 08/16/52 | 35,017 | 2,494,944 |
Series 2012-70, Class IO
1,6,10
|
0.96 | 08/16/52 | 47,183 | 3,155,117 |
Series 2012-95, Class IO
1,6,10
|
1.05 | 02/16/53 | 11,472 | 1,001,555 |
Series 2012-78, Class IO
1,6,10
|
1.06 | 06/16/52 | 36,227 | 2,666,944 |
Series 2013-40, Class IO
1,6,10
|
1.08 | 06/16/54 | 19,883 | 1,435,574 |
Series 2012-132, Class IO
1,6,10
|
1.14 | 06/16/54 | 24,151 | 1,813,746 |
Series 2012-89, Class IO
1,10
|
1.29 | 12/16/53 | 36,630 | 2,521,392 |
Series 2010-132, Class IO
1,6,10
|
1.53 | 11/16/52 | 19,482 | 1,441,196 |
Vendee Mortgage Trust | ||||
Series 1997-2, Class IO
6,10
|
0.02 | 06/15/27 | 14,898 | 5,170 |
Wachovia Commercial Mortgage Pass-Through Certificates | ||||
Series 2002-C2, Class IO1
2,3
|
1.80 | 11/15/34 | 2,305 | 3,131 |
Total
INTEREST-ONLY SECURITIES
(Cost $19,347,083)
|
19,482,848 | |||
INVESTMENT GRADE CORPORATE BONDS – 0.1% | ||||
Telecommunications – 0.1% | ||||
Qwest Capital Funding, Inc.
1
|
6.88 | 07/15/28 | 300 | 272,250 |
Total
INVESTMENT GRADE CORPORATE BONDS
(Cost $247,022)
|
272,250 | |||
HIGH YIELD CORPORATE BONDS – 15.3% | ||||
Automotive – 0.7% | ||||
American Axle & Manufacturing, Inc.
1
|
6.63 | 10/15/22 | 300 | 306,750 |
Chrysler Group LLC/CG Co-Issuer, Inc.
1
|
8.25 | 06/15/21 | 750 | 823,125 |
Jaguar Land Rover Automotive PLC
1,2,3,11
|
8.13 | 05/15/21 | 400 | 444,500 |
Pittsburgh Glass Works LLC
1,2,3
|
8.50 | 04/15/16 | 550 | 567,875 |
Visteon Corp.
1
|
6.75 | 04/15/19 | 468 | 496,080 |
Total Automotive | 2,638,330 | |||
Basic Industry – 2.3% | ||||
AK Steel Corp.
1
|
7.63 | 05/15/20 | 625 | 521,875 |
Alpha Natural Resources, Inc.
1
|
6.25 | 06/01/21 | 775 | 649,062 |
Arch Coal, Inc.
1
|
7.25 | 06/15/21 | 925 | 714,562 |
Associated Materials LLC/AMH New Finance, Inc.
1
|
9.13 | 11/01/17 | 500 | 536,250 |
Cascades, Inc.
1,11
|
7.88 | 01/15/20 | 500 | 526,250 |
FMG Resources August 2006 Property Ltd.
1,2,3,11
|
6.88 | 04/01/22 | 525 | 519,750 |
Hexion US Finance Corp.
1
|
6.63 | 04/15/20 | 750 | 740,625 |
Ineos Finance PLC
1,2,3,11
|
7.50 | 05/01/20 | 425 | 454,750 |
Masonite International Corp.
1,2,3,11
|
8.25 | 04/15/21 | 600 | 654,000 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
HIGH YIELD CORPORATE BONDS (continued) | ||||
Steel Dynamics, Inc.
1
|
7.63% | 03/15/20 | $ 300 | $ 324,000 |
Tembec Industries, Inc.
1,11
|
11.25 | 12/15/18 | 500 | 542,500 |
Trinseo
Materials Operating SCA/Trinseo Materials Finance,
Inc.
2,3,11
|
8.75 | 02/01/19 | 575 | 562,063 |
United States Steel Corp.
1
|
7.00 | 02/01/18 | 325 | 342,875 |
Verso Paper Holdings LLC/Verso Paper, Inc.
1
|
11.75 | 01/15/19 | 500 | 512,500 |
Xerium Technologies, Inc.
1
|
8.88 | 06/15/18 | 425 | 433,500 |
Total Basic Industry | 8,034,562 | |||
Capital Goods – 1.0% | ||||
AAR Corp.
1
|
7.25 | 01/15/22 | 500 | 525,000 |
Ardagh Packaging Finance PLC
3
|
7.00 | 11/15/20 | 550 | 534,875 |
Coleman Cable, Inc.
1
|
9.00 | 02/15/18 | 500 | 531,250 |
Crown Cork & Seal Company, Inc.
1
|
7.38 | 12/15/26 | 350 | 383,250 |
Mueller Water Products, Inc.
1
|
8.75 | 09/01/20 | 281 | 306,290 |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
1
|
7.88 | 08/15/19 | 750 | 825,000 |
Terex Corp.
1
|
6.50 | 04/01/20 | 600 | 625,500 |
Total Capital Goods | 3,731,165 | |||
Consumer Cyclical – 0.7% | ||||
ACCO Brands Corp.
1
|
6.75 | 04/30/20 | 600 | 592,500 |
American Axle & Manufacturing, Inc.
1
|
7.75 | 11/15/19 | 350 | 385,000 |
Levi Strauss & Co.
1
|
7.63 | 05/15/20 | 600 | 643,500 |
Limited Brands, Inc.
1
|
7.60 | 07/15/37 | 500 | 502,500 |
Phillips-Van Heusen Corp.
1
|
7.38 | 05/15/20 | 300 | 324,000 |
Total Consumer Cyclical | 2,447,500 | |||
Consumer Non-Cyclical – 0.6% | ||||
Bumble Bee Holdings, Inc.
1,2,3
|
9.00 | 12/15/17 | 584 | 635,100 |
C&S Group Enterprises LLC
1,2,3
|
8.38 | 05/01/17 | 600 | 642,000 |
Cott Beverages, Inc.
1
|
8.13 | 09/01/18 | 350 | 375,813 |
Jarden Corp.
1
|
7.50 | 05/01/17 | 300 | 333,750 |
Total Consumer Non-Cyclical | 1,986,663 | |||
Energy – 2.6% | ||||
Basic Energy Services, Inc.
1
|
7.75 | 02/15/19 | 550 | 556,875 |
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
1
|
7.88 | 04/15/22 | 675 | 668,250 |
Calfrac Holdings LP
1,2,3
|
7.50 | 12/01/20 | 600 | 604,500 |
Crosstex Energy LP/Crosstex Energy Finance Corp.
1
|
8.88 | 02/15/18 | 600 | 637,500 |
EV Energy Partners LP/EV Energy Finance Corp.
1
|
8.00 | 04/15/19 | 700 | 700,000 |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.
1
|
8.63 | 06/15/20 | 195 | 203,775 |
FTS
International Services LLC/FTS International Bonds,
Inc.
1,2,3
|
8.13 | 11/15/18 | 320 | 341,600 |
Hercules Offshore, Inc.
1,2,3
|
10.50 | 10/15/17 | 250 | 264,375 |
Hilcorp Energy I LP/Hilcorp Finance Co.
1,2,3
|
8.00 | 02/15/20 | 600 | 652,500 |
Inergy Midstream LP/NRGM Finance Corp.
1,2,3
|
6.00 | 12/15/20 | 600 | 592,500 |
Key Energy Services, Inc.
1
|
6.75 | 03/01/21 | 600 | 592,500 |
Linn Energy LLC/Linn Energy Finance Corp.
1
|
7.75 | 02/01/21 | 300 | 291,000 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
HIGH YIELD CORPORATE BONDS (continued) | ||||
Linn Energy LLC/Linn Energy Finance Corp.
1
|
8.63% | 04/15/20 | $ 300 | $ 301,500 |
Niska
Gas Storage US LLC/Niska Gas Storage Canada
ULC
1
|
8.88 | 03/15/18 | 600 | 625,500 |
Petroleum Geo-Services ASA
1,2,3,11
|
7.38 | 12/15/18 | 150 | 164,250 |
Precision Drilling Corp.
1,11
|
6.63 | 11/15/20 | 300 | 315,750 |
RKI Exploration & Production LLC
3
|
8.50 | 08/01/21 | 350 | 350,000 |
Trinidad Drilling Ltd.
1,2,3,11
|
7.88 | 01/15/19 | 600 | 634,500 |
W&T Offshore, Inc.
1
|
8.50 | 06/15/19 | 600 | 636,000 |
Total Energy | 9,132,875 | |||
Healthcare – 1.4% | ||||
CHS/Community Health Systems, Inc.
1
|
7.13 | 07/15/20 | 700 | 707,000 |
Fresenius Medical Care U.S. Finance II, Inc.
1,2,3
|
5.88 | 01/31/22 | 300 | 305,250 |
HCA, Inc.
1
|
5.88 | 05/01/23 | 150 | 146,250 |
HCA, Inc.
1
|
8.00 | 10/01/18 | 600 | 676,500 |
Health Management Associates, Inc.
|
7.38 | 01/15/20 | 250 | 279,375 |
inVentiv Health, Inc.
1,2,3
|
9.00 | 01/15/18 | 600 | 612,000 |
Jaguar Holding Company II/Jaguar Merger Sub, Inc.
1,2,3
|
9.50 | 12/01/19 | 600 | 678,000 |
Kindred Healthcare, Inc.
1
|
8.25 | 06/01/19 | 600 | 630,000 |
Polymer Group, Inc.
1
|
7.75 | 02/01/19 | 500 | 527,500 |
Service Corporation International
1
|
6.75 | 04/01/16 | 400 | 432,500 |
Total Healthcare | 4,994,375 | |||
Media – 1.0% | ||||
ARC Document Solutions, Inc.
1
|
10.50 | 12/15/16 | 550 | 573,375 |
Cablevision Systems Corp.
1
|
5.88 | 09/15/22 | 100 | 95,500 |
Cablevision Systems Corp.
1
|
8.63 | 09/15/17 | 500 | 568,750 |
CCO Holdings LLC/CCO Holdings Capital Corp.
1
|
5.75 | 01/15/24 | 250 | 231,875 |
CCO Holdings LLC/CCO Holdings Capital Corp.
1
|
6.63 | 01/31/22 | 300 | 304,500 |
Cenveo Corp.
|
8.88 | 02/01/18 | 550 | 547,250 |
Clear Channel Worldwide Holdings, Inc.
1
|
7.63 | 03/15/20 | 750 | 751,875 |
Mediacom Broadband LLC/Mediacom Broadband Corp.
1
|
6.38 | 04/01/23 | 100 | 99,500 |
Mediacom LLC/Mediacom Capital Corp.
1
|
9.13 | 08/15/19 | 500 | 548,750 |
Total Media | 3,721,375 | |||
Services – 3.0% | ||||
AMC Entertainment, Inc.
1
|
8.75 | 06/01/19 | 500 | 537,500 |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
1
|
8.25 | 01/15/19 | 350 | 380,625 |
Boyd Gaming Corp.
1
|
9.00 | 07/01/20 | 600 | 645,000 |
Cedar
Fair LP/Canada's Wonderland Co./Magnum
Management Corp.
1,2,3
|
5.25 | 03/15/21 | 200 | 191,000 |
Cedar
Fair LP/Canada's Wonderland Co./Magnum
Management Corp.
1
|
9.13 | 08/01/18 | 350 | 383,250 |
Chester Downs & Marina LLC
1,2,3
|
9.25 | 02/01/20 | 575 | 573,562 |
CityCenter Holdings LLC/CityCenter Finance Corp.
1
|
7.63 | 01/15/16 | 500 | 528,125 |
H&E Equipment Services, Inc.
1
|
7.00 | 09/01/22 | 600 | 637,500 |
Iron Mountain, Inc.
1
|
5.75 | 08/15/24 | 100 | 90,250 |
Iron Mountain, Inc.
1
|
8.38 | 08/15/21 | 500 | 543,750 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
HIGH YIELD CORPORATE BONDS (continued) | ||||
Isle of Capri Casinos, Inc.
1
|
7.75% | 03/15/19 | $ 600 | $ 619,500 |
MGM Resorts International
1
|
7.63 | 01/15/17 | 350 | 385,875 |
MGM Resorts International
1
|
7.75 | 03/15/22 | 125 | 132,813 |
MGM Resorts International
1
|
8.63 | 02/01/19 | 275 | 308,688 |
MTR Gaming Group, Inc.
1
|
11.50 | 08/01/19 | 521 | 549,604 |
Palace
Entertainment Holdings LLC/Palace Entertainment
Holdings Corp.
1,2,3
|
8.88 | 04/15/17 | 525 | 542,062 |
PulteGroup, Inc.
1
|
6.38 | 05/15/33 | 550 | 492,250 |
Scientific Games Corp.
1
|
8.13 | 09/15/18 | 450 | 484,313 |
Standard Pacific Corp.
1
|
8.38 | 05/15/18 | 300 | 339,000 |
Standard Pacific Corp.
1
|
8.38 | 01/15/21 | 450 | 504,000 |
The Hertz Corp.
1
|
6.25 | 10/15/22 | 600 | 610,500 |
The Hertz Corp.
|
7.50 | 10/15/18 | 300 | 324,000 |
United Rentals North America, Inc.
1
|
7.63 | 04/15/22 | 450 | 483,750 |
United Rentals North America, Inc.
1
|
9.25 | 12/15/19 | 300 | 336,375 |
Total Services | 10,623,292 | |||
Technology & Electronics – 0.5% | ||||
First Data Corp.
1,2,3
|
7.38 | 06/15/19 | 750 | 778,125 |
Freescale Semiconductor, Inc.
1,2,3
|
9.25 | 04/15/18 | 600 | 648,000 |
ION Geophysical Corp.
1,2,3
|
8.13 | 05/15/18 | 300 | 282,000 |
Total Technology & Electronics | 1,708,125 | |||
Telecommunications – 1.3% | ||||
CenturyLink, Inc.
1
|
7.65 | 03/15/42 | 450 | 405,000 |
Cincinnati Bell, Inc.
1
|
8.38 | 10/15/20 | 414 | 437,805 |
Cincinnati Bell, Inc.
1
|
8.75 | 03/15/18 | 275 | 285,312 |
Fairpoint Communications, Inc.
1,2,3
|
8.75 | 08/15/19 | 550 | 555,500 |
Frontier Communications Corp.
1
|
7.13 | 03/15/19 | 600 | 630,000 |
Intelsat Jackson Holdings SA
1,3
|
5.50 | 08/01/23 | 600 | 556,500 |
Level 3 Financing, Inc.
1
|
8.63 | 07/15/20 | 525 | 561,750 |
MetroPCS Wireless, Inc.
1,2,3
|
6.63 | 04/01/23 | 550 | 545,875 |
Windstream Corp.
1
|
7.50 | 06/01/22 | 525 | 522,375 |
Total Telecommunications | 4,500,117 | |||
Utility – 0.2% | ||||
NRG Energy, Inc.
1
|
8.50 | 06/15/19 | 600 | 646,500 |
Total
HIGH YIELD CORPORATE BONDS
(Cost $53,357,726)
|
54,164,879 |
Interest
Rate |
Maturity |
Principal
Amount (000s) |
Value
(Note 2) |
|
MEZZANINE LOAN – 2.9% | ||||
Extended Stay America 2013 Mezzanine B
|
9.62% | 12/01/19 | $ 10,000 | $ 10,200,000 |
Total
MEZZANINE LOAN
(Cost $10,516,432)
|
10,200,000 | |||
Total
Investments – 143.7%
(Cost $505,231,417)
|
506,619,226 | |||
Liabilities in Excess of Other Assets – (43.7)%
|
(154,129,272) | |||
TOTAL NET ASSETS – 100.0%
|
$ 352,489,954 |
The following notes should be read in conjunction with the accompanying Schedule of Investments. |
1 | — Portion or entire principal amount delivered as collateral for reverse repurchase agreements. | |||
2 | — Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of August 31, 2013, the total value of all such investments was $75,198,175 or 21.3% of the net assets. | |||
3 | — Private Placement. | |||
4 | — Represents a subordinated class in a trust of mortgage-backed securities. | |||
5 | — Restricted Illiquid Securities - Securities that the Adviser has deemed illiquid pursuant to procedures adopted by the Fund's Board of Directors. Although recent instability in the markets has resulted in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors. The values in the parenthesis represent the acquisition date, cost and the percentage of net assets, respectively. As of August 31, 2013, the total value of all such securities was $55,952,668 or 15.9% of the net assets. | |||
6 | — Variable rate security – Interest rate shown is the rate in effect as of August 31, 2013. | |||
7 | — Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of August 31, 2013, the total value of all such securities was $11,312,944 or 3.2% of the net assets. | |||
8 | — Security is a “step up” bond where the coupon increases or steps up at a predetermined date. At that date, the coupon increases to LIBOR plus a predetermined margin. | |||
9 | — Investment in subprime security. As of August 31, 2013, the total value of these securities was $62,719,214 or 17.8% of the net assets. | |||
10 | — Interest rate is based on the notional amount of the underlying mortgage pools. | |||
11 | — Foreign security or a U.S. security of a foreign company. |
• | Level 1 - | quoted prices in active markets for identical investments |
• | Level 2 - | quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar investments, quoted prices based on recently executed transactions, 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) |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
U.S. Government & Agency Obligations
|
$ — | $ 49,588,178 | $ 6,443 | $ 49,594,621 | |||
Asset-Backed Securities
|
— | 13,886,560 | 4,407,201 | 18,293,761 | |||
Commercial Mortgage-Backed Securities
|
— | — | 185,483,494 | 185,483,494 | |||
Non-Agency Residential Mortgage-Backed Securities
|
— | 10,499,950 | 158,627,423 | 169,127,373 | |||
Interest-Only Securities
|
— | 980,447 | 18,502,401 | 19,482,848 | |||
Investment Grade Corporate Bonds
|
— | 272,250 | — | 272,250 | |||
High Yield Corporate Bonds
|
— | 54,164,879 | — | 54,164,879 | |||
Mezzanine Loan
|
— | — | 10,200,000 | 10,200,000 | |||
Total
|
$ — | $ 129,392,264 | $ 377,226,962 | $ 506,619,226 |
Quantitative Information about Level 3 Fair Value Measurements | ||||
Assets | Fair Value as of August 31, 2013 | Valuation Methodology | Significant Unobservable Input | Range |
U.S. Government & Agency Obligations
|
$ 6,443 |
Evaluated
bid
prices
|
(1) | $2.13 |
Asset-Backed Securities
|
4,407,201 |
Evaluated
bid
prices
|
(1) | 96.50 |
Commercial Mortgage- Backed Securities
|
185,483,494 |
Evaluated
bid
prices
|
(1) | 0.00 - 78.36 |
Non-Agency Residential Mortgage-Backed Securities
|
158,627,423 |
Evaluated
bid
prices
|
(1) | 0.00 - 368.00 |
Interest-Only Securities
|
18,502,401 |
Evaluated
bid
prices
|
(1) | 0.04 - 11.43 |
Mezzanine Loan
|
10,200,000 |
Evaluated
bid
prices
|
(1) | 102.00 |
$377,226,962 |
(1) | The Fund generally uses evaluated bid prices provided by an independent pricing service on the valuation date as the primary basis for the fair value determinations. These evaluated bid prices are based on unobservable inputs. A significant change in the third party information inputs could result in a significantly lower or higher value of such Level 3 investments. |
Investments in Securities | U.S. Government & Agency Obligations |
Asset-
Backed Securities |
Commercial
Mortgage-
Backed Securities |
Non-
Agency Residential Mortgage-
Backed Securities |
Interest Only Securities | High Yield Corporate Bonds | Mezzanine Loan | Total | |||||||
Balance
as of
November 30,
2012
|
$ — | $10,741,144 | $145,767,740 | $164,634,656 | $ 14,507,895 | $ 2,555,850 | $ — | $ 338,207,285 | |||||||
Accrued
Discounts
(Premiums)
|
— | (1,152) | 712,495 | 1,410,276 | (976,818) | (7,934) | (83,568) | 1,053,299 | |||||||
Realized
Gain
(Loss)
|
— | 233,002 | (247,246) | 9,592,840 | 59,675,172 | (1,750) | — | 69,252,018 | |||||||
Change
in
Unrealized Appreciation
(Depreciation)
|
— | 747,818 | 21,223,432 | (2,211,057) | (44,340) | (43,697) | (316,432) | 19,355,724 | |||||||
Purchases at cost
|
— | 5,084,479 | 44,293,952 | 50,420,382 | 6,048,044 | 305,625 | 10,600,000 | 116,752,482 | |||||||
Sales proceeds
|
— | (9,621,295) | (26,266,879) | (65,219,674) | (60,712,722) | (1,289,804) | — | (163,110,374) | |||||||
Transfers
into
Level 3
|
6,443 | — | — | — | 5,170 | — | — | 11,613(a) | |||||||
Transfers
out of
Level 3
|
— | (2,776,795) | — | — | — | (1,518,290) | — | (4,295,085)(a) | |||||||
Balance as of
August 31, 2013
|
$6,443 | $ 4,407,201 | $185,483,494 | $158,627,423 | $ 18,502,401 | $ — | $10,200,000 | $ 377,226,962 | |||||||
Change
in
unrealized gains or losses relating to assets still held at reporting
date:
|
$ — | $ 11,388 | $ 9,646,660 | $ 654,668 | $ (44,340) | $ — | $ (316,432) | $ 9,951,944 |
(a) | Transfers in and out of Level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or an increase in available market inputs to determine price. |
Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation |
$505,231,417 | $26,548,939 | $(25,161,130) | $1,387,809 |
Face Value | Description | Maturity Amount |
$ 4,067,583 |
Bank of America, 1.69%, dated 08/09/13, maturity date 09/09/13
|
$ 4,073,502 |
5,460,000 |
Bank of America, 1.78%, dated 08/20/13, maturity date 09/20/13
|
5,468,369 |
4,055,531 |
Barclays, 1.00%, dated 08/02/13, maturity date 09/03/13
|
4,059,136 |
4,493,906 |
Barclays, 1.00%, dated 08/12/13, maturity date 09/12/13
|
4,497,776 |
292,676 |
Barclays, 1.00%, dated 08/16/13, maturity date 09/12/13
|
292,896 |
3,025,313 |
Barclays, 1.00%, dated 08/15/13, maturity date 09/16/13
|
3,028,002 |
4,841,576 |
Barclays, 1.00%, dated 08/19/13, maturity date 09/19/13
|
4,845,745 |
3,220,000 |
BNP Paribas Securities, 0.38%, dated 08/12/13, maturity date 09/12/13
|
3,221,054 |
916,000 |
Credit Suisse, 0.39%, dated 07/03/13, maturity date 09/03/13
|
916,615 |
10,660,000 |
Goldman Sachs, 0.38%, dated 08/08/13, maturity date 09/06/13
|
10,663,263 |
1,125,000 |
JP Morgan Chase, 0.35%, dated 08/12/13, maturity date 09/12/13
|
1,125,339 |
2,973,000 |
JP Morgan Chase, 0.35%, dated 08/15/13, maturity date 09/16/13
|
2,973,925 |
3,482,000 |
JP Morgan Chase, 0.98%, dated 08/12/13, maturity date 09/12/13
|
3,484,938 |
17,512,700 |
JP Morgan Chase, 0.98%, dated 08/15/13, maturity date 09/16/13
|
17,527,955 |
2,655,100 |
JP Morgan Chase, 0.98%, dated 08/22/13, maturity date 09/23/13
|
2,657,413 |
2,784,000 |
JP Morgan Chase, 1.03%, dated 08/16/13, maturity date 09/16/13
|
2,786,479 |
2,136,000 |
JP Morgan Chase, 1.03%, dated 08/22/13, maturity date 09/23/13
|
2,137,962 |
3,442,000 |
JP Morgan Chase, 1.03%, dated 08/29/13, maturity date 09/30/13
|
3,445,158 |
6,027,000 |
JP Morgan Chase, 1.04%, dated 08/08/13, maturity date 09/09/13
|
6,032,545 |
22,174,000 |
JP Morgan Chase, 1.08%, dated 08/15/13, maturity date 09/16/13
|
22,195,367 |
3,101,000 |
JP Morgan Chase, 1.44%, dated 08/08/13, maturity date 09/09/13
|
3,104,956 |
28,780,000 |
JP Morgan Chase, 1.83%, dated 08/16/13, maturity date 09/16/13
|
28,825,453 |
4,179,000 |
Nomura Securities, 1.52%, dated 06/04/13, maturity date 09/04/13
|
4,195,276 |
$141,403,385 |
Maturity Amount, Including Interest Payable
|
$141,559,124 |
Market Value of Assets Sold Under Agreements
|
$178,318,681 | |
Weighted Average Interest Rate
|
1.19% |
Security Name | Interest Rate | Principal Amount | Current Payable |
Federal Home Loan Mortgage Corporation
|
3.50% | $15,000,000 | $15,046,511 |
Federal National Mortgage Association
|
3.50% | $15,000,000 | 15,086,354 |
$30,132,865 |
(Registrant) | Brookfield Total Return Fund Inc. |
By (Signature and Title) | /s/ Kim G. Redding |
By (Signature and Title) | /s/ Kim G. Redding |
By (Signature and Title) | /s/ Steven M. Pires |
1 Year Brookfield Total Return Fund Inc. (The) Chart |
1 Month Brookfield Total Return Fund Inc. (The) Chart |
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