brookfield_nq.htm
 
As filed with the Securities and Exchange Commission on October 30, 2014
 
 
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 811-05820


Brookfield Total Return Fund Inc.
(Exact name of registrant as specified in charter)


Brookfield Place, 250 Vesey Street, 15th Floor, New York, NY 10281-1023
(Address of principal executive offices) (Zip code)


Brian F. Hurley, Brookfield Place, 250 Vesey Street, 15th Floor, New York, NY 10281-1023
(Name and address of agent for service)


855-777-8001
Registrant's telephone number, including area code


Date of fiscal year end: November 30, 2014


Date of reporting period:  August 31, 2014

 
 
 
 
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
 
Item 1. Schedule of Investments.
 
 
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
  
U.S. GOVERNMENT & AGENCY OBLIGATIONS – 5.3%
                    
U.S. Government Agency Collateralized Mortgage Obligations – 0.1%
                    
Federal National Mortgage Association
                    
Series 1997-79, Class PL 1
     6.85 %
12/18/27
   $ 244     $ 276,266  
Total U.S. Government Agency Collateralized Mortgage Obligations
                       276,266  
U.S. Government Agency Pass-Through Certificates – 5.2%
                          
Federal Home Loan Mortgage Corporation
                          
Federal Home Loan Mortgage Corporation TBA
     4.00  
TBA
     4,000       4,230,900  
Pool Q03049 1
     4.50  
08/01/41
     2,577       2,805,703  
Pool C69047 1
     7.00  
6/1/1932
     355       407,425  
Pool C53494 1
     7.50  
06/01/31
     44       45,255  
Pool C56878 1
     8.00  
08/01/31
     100       108,704  
Pool C58516 1
     8.00  
09/01/31
     40       40,816  
Pool C59641 1
     8.00  
10/01/31
     214       250,754  
Pool C55166 1
     8.50  
07/01/31
     103       111,671  
Pool C55167 1
     8.50  
07/01/31
     65       68,260  
Pool C55169 1
     8.50  
07/01/31
     62       64,447  
Pool G01466 1
     9.50  
12/01/22
     386       425,621  
Pool 555559 1
     10.00  
03/01/21
     83       90,365  
Pool 555538 1
     10.00  
03/01/21
     123       132,622  
Federal National Mortgage Association
                          
Pool 753914 1
     5.50  
12/01/33
     1,083       1,215,738  
Pool 761836 1
     6.00  
06/01/33
     569       645,288  
Pool 948362 1
     6.50  
08/01/37
     203       219,140  
Pool 555933 1
     7.00  
06/01/32
     1,727       2,020,571  
Pool 645912 1
     7.00  
06/01/32
     346       395,070  
Pool 645913 1
     7.00  
06/01/32
     586       678,403  
Pool 650131 1
     7.00  
07/01/32
     508       587,383  
Pool 789284 1
     7.50  
05/01/17
     22       21,808  
Pool 827853 1
     7.50  
10/01/29
     34       34,308  
Pool 545990 1
     7.50  
04/01/31
     642       736,311  
Pool 255053 1
     7.50  
12/01/33
     134       155,662  
Pool 735576 1
     7.50  
11/01/34
     792       957,632  
Pool 896391 1
     7.50  
06/01/36
     331       385,882  
Pool 735800 1
     8.00  
01/01/35
     492       597,960  
Pool 636449 1
     8.50  
04/01/32
     404       487,788  
Pool 458132 1
     8.97  
03/15/31
     752       878,463  
Pool 852865 1
     9.00  
07/01/20
     467       520,326  
Pool 545436 1
     9.00  
10/01/31
     310       383,849  
Total U.S. Government Agency Pass-Through Certificates
                       19,704,125  
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $18,633,780)
                       19,980,391  
ASSET-BACKED SECURITIES – 4.9%
                          
Housing Related Asset-Backed Securities – 4.9%
                          
ACE Securities Corporation Manufactured Housing Trust
                          
Series 2003-MH1, Class A4 2,3
     6.50  
08/15/30
     1,658       1,754,678  
Bayview Opportunity Master Fund IIa Trust
                          
Series 2012-4NR2, Class A 1,2,3,4
     3.95  
01/28/34
     1,867       1,881,928  
Conseco Finance Securitizations Corp.
                          
Series 2001-4, Class A4
     7.36  
08/01/32
     281       310,689  
Conseco Financial Corp.
                          
Series 1998-3, Class A6
     6.76  
03/01/30
     1,109       1,193,215  
Series 1997-7, Class A7
     6.96  
07/15/28
     974       1,018,735  
Series 1997-2, Class A6
     7.24  
06/15/28
     113       117,896  
Series 1997-6, Class A9
     7.55  
01/15/29
     924       982,757  
Lehman ABS Manufactured Housing Contract Trust
                          
Series 2001-B, Class A5
     5.87  
04/15/40
     212       229,456  
Series 2001-B, Class A6
     6.47  
04/15/40
     184       200,985  
Mid-State Capital Corp.
                          
Series 2004-1, Class M1
     6.50  
08/15/37
     4,482       4,808,341  
Series 2004-1, Class M2 5
   (Acquired 07/01/04, Cost $3,903,601, 1.1%)
     8.11  
08/15/37
     3,693       4,261,637  
Origen Manufactured Housing Contract Trust
                          
Series 2005-B, Class A4
     5.91  
01/15/37
     1,668       1,768,115  
Total Housing Related Asset-Backed Securities
                       18,528,432  
TOTAL ASSET-BACKED SECURITIES
(Cost $18,095,727)
                       18,528,432  
 
 
 
 
 
RESIDENTIAL MORTGAGE RELATED HOLDINGS – 48.3%
                          
Non-Agency Mortgage-Backed Securities – 48.3%
                          
Alternative Loan Trust
                          
Series 2007-OA3, Class 1A1 4,6
     0.29  
04/25/47
     7,564       6,482,840  
Series 2006-OA10, Class 3A1 1,4,6
     0.34  
08/25/46
     7,640       5,874,708  
Series 2005-51, Class 4A1 4,6
     0.47  
11/20/35
     5,635       4,628,589  
Series 2007-2CB, Class 1A15
     5.75  
03/25/37
     1,030       884,206  
Series 2006-29T1, Class 2A5
     6.00  
10/25/36
     3,821       3,429,944  
Series 2006-41CB, Class 2A17
     6.00  
01/25/37
     1,671       1,473,620  
Series 2006-29T1, Class 3A3 6,7
     76.84  
10/25/36
     1,085       3,508,077  
Series 2007-12T1, Class A22
     5.75  
06/25/37
     4,273       3,589,069  
Asset-Backed Securities Corporation Home Equity Loan Trust
                          
Series 2007-HE1, Class A4 4,6
     0.30  
12/25/36
     2,350       1,865,959  
Banc of America Funding Corp.
                          
Series 2003-3, Class B4 5
   (Acquired 01/28/04, Cost $196,220, 0.0%)
     5.48  
10/25/33
     218       73,358  
Series 2003-3, Class B5 5
   (Acquired 01/28/04, Cost $124,129, 0.0%)
     5.48  
10/25/33
     165       38,781  
BCAP LLC Trust
                          
Series 2009-RR13, Class 18A2 2,3
     5.78  
07/26/37
     2,054       1,900,973  
BNC Mortgage Loan Trust
                          
Series 2007-2, Class A5 4,6
     0.46  
05/25/37
     6,379       4,663,535  
Citicorp Mortgage Securities Trust
                          
Series 2006-3, Class 1A4
     6.00  
06/25/36
     2,160       2,242,127  
Citigroup Mortgage Loan Trust
                          
Series 2009-11, Class 8A2 2,3,6
     2.21  
04/25/45
     3,244       2,723,822  
Countrywide Home Loan Mortgage Pass-Through Trust
                          
Series 2003-J13, Class B3 5
   (Acquired 09/13/07, Cost $76,754, 0.0%)
     5.24  
01/25/34
     305       48,345  
Series 2007-5, Class A29
     5.50  
05/25/37
     853       823,911  
Series 2006-21, Class A11
     5.75  
02/25/37
     2,747       2,605,425  
Series 2004-21, Class A10
     6.00  
11/25/34
     367       388,429  
Series 2007-18, Class 1A1
     6.00  
11/25/37
     797       733,309  
Series 2006-14, Class A4
     6.25  
09/25/36
     5,318       4,947,511  
CSMC
                          
Series 2010-19R, Class 5A4 2,3
     3.25  
08/27/36
     7,280       6,879,622  
DSLA Mortgage Loan Trust
                          
Series 2007-AR1, Class 2A1A 4,6
     0.29  
04/19/47
     5,008       4,174,789  
First Republic Mortgage Bank Mortgage Pass-Through Certificates
                          
Series 2000-FRB1, Class B3 5,6
   (Acquired 08/30/01, Cost $83,286, 0.0%)
     0.65  
06/25/30
     87       55,134  
GMAC Mortgage Corporation Loan Trust
                          
Series 2004-J5, Class M1
     5.42  
01/25/35
     1,517       1,205,644  
GSAMP Trust
                          
Series 2006-HE5, Class A2C 4,6
     0.31  
08/25/36
     4,956       4,185,682  
Series 2006-HE8, Class A2C 4,6
     0.33  
01/25/37
     6,277       4,999,994  
GSR Mortgage Loan Trust
                          
Series 2005-6F, Class 1A6
     5.25  
07/25/35
     992       1,024,618  
Indymac Index Mortgage Loan Trust
                          
Series 2006-FLX1, Class A1 4,6
     0.36  
11/25/36
     6,155       5,422,888  
IXIS Real Estate Capital Trust
                          
Series 2006-HE3, Class A2 4,6
     0.25  
01/25/37
     1,033       539,954  
Series 2006-HE2, Class A3 4,6
     0.32  
08/25/36
     10,013       5,171,665  
Series 2006-HE3, Class A4 4,6
     0.38  
01/25/37
     797       433,714  
JP Morgan Mortgage Acquisition Corp.
                          
Series 2006-WMC1, Class A4 4,6
     0.34  
03/25/36
     2,572       2,209,547  
JP Morgan Mortgage Trust
                          
Series 2003-A1, Class B4 5,6
   (Acquired 10/29/04, Cost $201,579, 0.0%)
     2.11  
10/25/33
     236       81,618  
Series 2003-A2, Class B4 5,6
   (Acquired 10/29/04, Cost $150,484, 0.0%)
     2.38  
11/25/33
     175       68,275  
Master Asset Backed Securities Trust
                          
Series 2006-NC2, Class A4 4,6
     0.30  
08/25/36
     1,774       944,746  
Series 2006-NC3, Class A4 4,6
     0.31  
10/25/36
     2,959       1,878,913  
Series 2006-HE5, Class A3 4,6
     0.31  
11/25/36
     5,719       3,848,674  
Series 2006-NC3, Class A5 4,6
     0.36  
10/25/36
     4,561       2,914,696  
Series 2006-HE5, Class A4 4,6
     0.37  
11/25/36
     1,930       1,310,469  
Series 2006-NC2, Class A5 4,6
     0.39  
08/25/36
     659       356,644  
Series 2005-NC2, Class A4 4,6
     0.50  
11/25/35
     7,421       4,805,055  
Series 2006-NC3, Class A3 4,6
     0.25  
10/25/36
     2,770       1,742,859  
Mid-State Capital Corp.
                          
Series 2004-1, Class B
     8.90  
08/15/37
     373       415,514  
 
 
 
 
 
Mid-State Trust X
                          
Series 10, Class B 5
   (Acquired 01/05/04, Cost $1,679,443, 0.5%)
     7.54  
02/15/36
     1,765       1,896,267  
Nationstar Home Equity Loan Trust
                          
Series 2006-B, Class AV4 4,6
     0.43  
09/25/36
     6,395       5,647,987  
Nomura Resecuritization Trust
                          
Series 2014-1R, Class 2A6 2,3,8
     0.00  
02/26/37
     23       7  
Series 2014-1R, Class 2A11 2,3,6
     0.29  
02/26/37
     15,156       7,635,593  
Series 2013-1R, Class 3A12 2,3,6
     0.32  
10/26/36
     10,226       7,703,890  
Oakwood Mortgage Investors, Inc.
                          
Series 2001-D, Class A4
     6.93  
09/15/31
     1,202       1,115,000  
Series 2001-E, Class A4
     6.81  
12/15/31
     9,140       9,167,703  
RAAC Series
                          
Series 2005-SP1, Class M3 5
   (Acquired 08/02/07, Cost $45,282, 0.0%)
     5.48  
09/25/34
     117       1  
RALI Trust
                          
Series 2006-QO7, Class 2A1 1,6
     0.97  
09/25/46
     12,772       9,046,103  
Series 2006-QO1, Class 2A1 4,6
     0.42  
02/25/46
     4,625       2,679,910  
Series 2006-QS14, Class A30 6,7
     79.24  
11/25/36
     213       621,962  
Series 2007-QS6, Class A2 6,7
     54.30  
04/25/37
     335       761,897  
RBSSP Resecuritization Trust
                          
Series 2010-1, Class 3A2 2,3,6
     5.22  
08/26/35
     2,607       2,574,066  
RESI Finance LP
                          
Series 2004-B, Class B5 2,3,6
     1.70  
02/10/36
     932       625,300  
Residential Funding Mortgage Securities
                          
Series 2004-S1, Class B1 5
   (Acquired 02/26/04, Cost $, 0.0%)
     5.25  
02/25/34
     179       90,187  
Series 2004-S1, Class B2 5
   (Acquired 02/26/04, Cost $0, 0.0%)
     5.25  
02/25/34
     96       8,327  
Series 2003-S7, Class B2 5
   (Acquired 05/19/03, Cost $0, 0.0%)
     5.50  
05/25/33
     139       6,319  
Resix Finance Limited Credit-Linked Notes
                          
Series 2004-C, Class B7 2,3,5,6
   (Acquired 09/23/04, Cost $802.628, 0.1%)
     3.65  
09/10/36
     803       388,955  
Series 2004-B, Class B8 2,3,5,6
   (Acquired 05/21/04, Cost $213,365, 0.0%)
     4.90  
02/10/36
     213       85,730  
Series 2003-D, Class B7 2,3,5,6
   (Acquired 11/19/03, Cost $444.669, 0.1%)
     5.90  
12/10/35
     445       220,174  
Series 2003-CB1, Class B8 2,3,5,6
   (Acquired 12/22/04, Cost $1,046,027, 0.1%)
     6.90  
06/10/35
     1,179       457,801  
Series 2004-B, Class B9 2,3,5,6
   (Acquired 05/21/04, Cost $326,843, 0.0%)
     8.40  
02/10/36
     327       124,332  
Series 2004-A, Class B10 2,3,5,6
   (Acquired 03/09/04, Cost $341,014, 0.0%)
     11.65  
02/10/36
     341       61,418  
Saxon Asset Securities Trust
                          
Series 2006-2, Class A3C 4,6
     0.30  
09/25/36
     2,548       2,379,789  
Securitized Asset Backed Receivables LLC
                          
Series 2007-BR3, Class A2A 4,6
     0.22  
04/25/37
     5,936       3,973,337  
Series 2007-NC1, Class A2B 4,6
     0.30  
12/25/36
     6,420       3,660,442  
Series 2007-BR2, Class A2 4,6
     0.38  
02/25/37
     4,132       2,459,428  
Thornburg Mortgage Securities Trust
                          
Series 2007-1, Class A2B 6
     1.45  
03/25/37
     5,298       4,843,403  
Washington Mutual Mortgage Pass-Through Certificates
                          
Series 2006-AR12, Class 1A2 6
     2.36  
10/25/36
     2,427       2,233,431  
Series 2007-HY5, Class 3A1 6
     4.61  
05/25/37
     1,686       1,610,963  
Series 2003-S1, Class B4 2,3,5,9
   (Acquired 10/25/07, Cost $16,475, 0.0%)
     5.50  
04/25/33
     111       11,754  
Series 2007-5, Class A11 6,7
     38.55  
06/25/37
     115       226,797  
Series 2005-6, Class 2A3 6,7
     49.45  
08/25/35
     165       294,521  
Wells Fargo Mortgage Backed Securities Trust
                          
Series 2004-6, Class B4 5
   (Acquired 04/13/05, Cost $530,635, 0.0%)
     5.50  
06/25/34
     649       55,995  
Series 2007-8, Class 1A22
     6.00  
07/25/37
     536       534,486  
Series 2007-8, Class 2A2
     6.00  
07/25/37
     1,121       1,110,129  
Series 2007-13, Class A7
     6.00  
09/25/37
     427       424,277  
Series 2005-18, Class 2A10 6,7
     22.17  
01/25/36
     261       329,877  
Total Non-Agency Mortgage-Backed Securities
                       182,664,810  
Total RESIDENTIAL MORTGAGE RELATED HOLDINGS
(Cost $171,345,184)
                       182,664,810  
 
 
 
 
 
COMMERCIAL MORTGAGE RELATED HOLDINGS – 61.2%
                          
Commercial Mortgage-Backed Securities – 59.3%
                          
A10 Securitization LLC
                          
Series 2014-1, Class B 2,3
     3.87  
04/15/33
     2,112       2,117,753  
Series 2014-1, Class C 2,3
     4.57  
04/15/33
     1,171       1,183,004  
Series 2014-1, Class D 2,3
     5.08  
04/15/33
     328       332,258  
Series 2013-2, Class B 2,3
     4.38  
11/15/27
     2,927       2,981,501  
Series 2013-2, Class C 2,3
     5.12  
11/15/27
     2,000       2,050,758  
Series 2013-2, Class D 2,3
     6.23  
11/15/27
     501       522,094  
Banc of America Commercial Mortgage Trust
                          
Series 2006-6, Class AJ
     5.42  
10/10/45
     13,150       13,582,832  
Series 2007-3, Class AJ 1
     5.79  
06/10/49
     14,670       15,155,342  
Series 2007-2, Class A4 1
     5.78  
04/10/49
     4,850       5,286,258  
Bear Stearns Commercial Mortgage Securities Trust
                          
Series 2006-PW11, Class H 2,3,5
   (Acquired 03/08/06, Cost $1,699,150, 0.1%)
     5.60  
03/11/39
     1,729       278,710  
Series 2007-PW16, Class B 2,3,5
   (Acquired 09/22/10-03/03/11, Cost $4,222,582, 1.6%)
     5.90  
06/11/40
     6,000       5,862,450  
Series 2007-PW16, Class C 2,3,5
   (Acquired 09/22/10, Cost $2,901,664, 1.2%)
     5.90  
06/11/40
     5,000       4,513,000  
Commercial Mortgage Lease-Backed Certificate
                          
Series 2001-CMLB, Class A1 2,3,9
     6.75  
06/20/31
     344       354,365  
Commercial Mortgage Trust
                          
Series 2007-C9, Class AJFL 1,2,3,6
     0.84  
12/10/49
     9,277       8,823,011  
Series 2007-GG7, Class AJ 1
     6.01  
07/10/38
     3,830       3,984,456  
Series 2007-GG11, Class AJ 1
     6.26  
12/10/49
     10,330       10,804,044  
Series 2007-GG11, Class B
     6.35  
12/10/49
     3,568       3,185,515  
Series 2007-GG11, Class C
     6.35  
12/10/49
     8,400       6,557,040  
Credit Suisse Commercial Mortgage Trust
                          
Series 2007-C2, Class AMFL 1,6
     0.38  
01/15/49
     7,000       6,663,160  
Series 2006-C1, Class K 2,3,5
   (Acquired 03/07/06, Cost $6,983,131, 0.3%)
     5.64  
02/15/39
     7,073       958,377  
Series 2007-C2, Class A3 1
     5.54  
01/15/49
     6,024       6,538,179  
Credit Suisse First Boston Mortgage Securities Corp.
                          
Series 2005-C2, Class AMFX 1
     4.88  
04/15/37
     10,800       10,896,865  
GMAC Commercial Mortgage Securities, Inc.
                          
Series 2004-C3, Class B 5
   (Acquired 12/07/10, Cost $1,663,252, 0.5%)
     4.97  
12/10/41
     1,750       1,783,681  
JP Morgan Chase Commercial Mortgage Securities Corp.
                          
Series 2003-LN1, Class G 2,3,5
   (Acquired 09/24/03, Cost $423,273, 0.1%)
     5.48  
10/15/37
     424       423,371  
Series 2007-CB20, Class AM
     6.08  
02/12/51
     1,180       1,318,190  
Series 2009-IWST, Class D 1,2,3,5
   (Acquired 06/28/07, Cost $7,735,117, 2.3%)
     7.69  
12/05/27
     7,000       8,519,833  
LB-UBS Commercial Mortgage Trust
                          
Series 2007-C1, Class AJ 1
     5.48  
02/15/40
     7,460       7,740,571  
Series 2007-C1, Class C 5
   (Acquired 02/10/11, Cost $2,952,005, 0.9%)
     5.53  
02/15/40
     3,260       3,256,440  
Series 2007-C1, Class D
     5.56  
02/15/40
     3,600       3,533,522  
Series 2007-C7, Class AJ
     6.46  
09/15/45
     10,000       10,533,520  
LNR CDO V Ltd.
                          
Series 2007-1A, Class F 2,3,5,6
   (Acquired 02/27/07, Cost $3,750,000, 0.0%)
     1.60  
12/26/49
     3,750       —  
Morgan Stanley Capital I Trust
                          
Series 2004-HQ4, Class G 2,3,5
   (Acquired 03/01/06, Cost $997,573, 0.3%)
     5.80  
04/14/40
     1,000       1,000,043  
Series 2006-IQ11, Class J 2,3,5
   (Acquired 05/24/06, Cost $47,256, 0.0%)
     5.53  
10/15/42
     184       4,048  
Series 2007-HQ13, Class A3 1
     5.57  
12/15/44
     6,108       6,544,526  
Series 2007-T25, Class AJ 1
     5.57  
11/12/49
     12,500       12,813,500  
Series 2007-T27, Class AJ 1
     5.83  
06/11/42
     3,757       4,058,308  
Series 2007-IQ14, Class A4 1
     5.69  
04/15/49
     6,690       7,308,731  
Morgan Stanley Dean Witter Capital I Trust
                          
Series 2003-TOP9, Class F 2,3,5
   (Acquired 07/8/10, Cost $2,833,166, 0.8%)
     5.81  
11/13/36
     2,877       2,877,392  
Series 2003-TOP9, Class G 2,3,5
   (Acquired 07/08/10, Cost $4,490,261, 1.2%)
     6.08  
11/13/36
     4,577       4,578,332  
Vornado DP LLC Trust
                          
Series 2010-VNO, Class D 2,3,5
   (Acquired 08/08/10, Cost $919,670, 0.3%)
     6.36  
09/13/28
     920       1,067,258  
 
 
 
 
 
Wachovia Bank Commercial Mortgage Trust
                          
Series 2007-WHL8, Class C 2,3,6
     0.40  
06/15/20
     7,341       7,155,060  
Series 2007-C31, Class L 2,3,5
   (Acquired 05/11/07, Cost $0, 0.0%)
     5.13  
04/15/47
     1,788       358  
Series 2005-C20, Class F 2,3,5
   (Acquired 10/15/10, Cost $2,797,856, 1.0%)
     5.43  
07/15/42
     4,000       3,838,332  
Series 2007-C30, Class AJ 1
     5.41  
12/15/43
     6,500       6,696,670  
Series 2005-C16, Class H 2,3,5
   (Acquired 01/19/05, Cost $6,010,612, 1.6%)
     5.71  
10/15/41
     6,000       6,041,028  
Series 2007-C33, Class AJ 1
     6.14  
02/15/51
     10,000       10,500,740  
Total Commercial Mortgage-Backed Securities
                       224,224,426  
Mezzanine Loan – 1.9%
                          
BOCA Mezzanine
     8.17  
08/15/15
     7,107       7,124,569  
Total COMMERCIAL MORTGAGE RELATED HOLDINGS
(Cost $220,361,794)
                       231,348,995  
INTEREST-ONLY SECURITIES – 4.9%
                          
Commercial Mortgage Trust
                          
Series 2001-J2A, Class EIO 2,3,6,10
     4.09  
07/16/34
     10,000       754,070  
Federal National Mortgage Association
                          
Series 2012-125, Class MI 10
     3.50  
11/25/42
     4,523       841,036  
Series 2013-32, Class IG 10
     3.50  
04/25/33
     7,678       1,357,589  
Series 2011-46, Class BI 10
     4.50  
04/25/37
     5,186       576,024  
GMAC Commercial Mortgage Securities, Inc.
                          
Series 2003-C1, Class X1 2,3,6,10
     1.16  
05/10/36
     2,189       41,256  
Government National Mortgage Association
                          
Series 2005-76, Class IO 1,6,10
     0.52  
09/16/45
     23,859       681,931  
Series 2012-100, Class IO 1,6,10
     0.83  
08/16/52
     33,202       2,165,730  
Series 2012-70, Class IO 1,6,10
     0.97  
08/16/52
     45,786       2,896,483  
Series 2012-95, Class IO 1,6,10
     0.98  
02/16/53
     11,058       859,795  
Series 2012-78, Class IO 1,6,10
     1.05  
06/16/52
     35,235       2,455,803  
Series 2013-40, Class IO 1,6,10
     1.08  
06/16/54
     19,551       1,334,556  
Series 2012-132, Class IO 1,6,10
     1.13  
06/16/54
     23,662       1,630,293  
Series 2012-89, Class IO 1,6,10
     1.28  
12/16/53
     35,978       2,271,087  
Series 2010-132, Class IO 1,6,10
     1.12  
11/16/52
     12,336       748,417  
Vendee Mortgage Trust
                          
Series 1997-2, Class IO 6,10
     0.03  
06/15/27
     12,373       6,941  
Wachovia Commercial Mortgage Pass-Through Certificates
                          
Series 2002-C2, Class IO1 2,3,6,10
     1.78  
11/15/34
     2,250       3,127  
Total INTEREST-ONLY SECURITIES
(Cost $19,029,070)
                       18,624,138  
CORPORATE BONDS – 13.5%
                          
Automotive – 0.5%
                          
American Axle & Manufacturing, Inc. 1
     6.63  
10/15/22
     300       322,500  
American Axle & Manufacturing, Inc. 1
     7.75  
11/15/19
     350       398,125  
Chrysler Group LLC 1
     8.25  
06/15/21
     750       838,125  
Jaguar Land Rover Automotive PLC 1,2,3,11
     8.13  
05/15/21
     400       445,000  
Total Automotive
                       2,003,750  
Basic Industry – 1.8%
                          
Alpha Natural Resources, Inc. 1
     6.25  
06/01/21
     775       530,875  
Arch Coal, Inc. 1
     7.25  
06/15/21
     925       612,812  
Associated Materials LLC 1
     9.13  
11/01/17
     500       501,250  
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       571,922  
Hexion US Finance Corp. 1
     9.00  
11/15/20
     600       607,500  
Ineos Finance PLC 1,2,3,11
     7.50  
05/01/20
     425       459,000  
Masonite International Corp. 1,2,3,11
     8.25  
04/15/21
     600       651,000  
Steel Dynamics, Inc. 1
     7.63  
03/15/20
     300       317,250  
Tembec Industries, Inc. 1,11
     11.25  
12/15/18
     500       533,125  
Trinseo Materials Operating SCA 1,11
     8.75  
02/01/19
     517       554,482  
United States Steel Corp. 1
     7.00  
02/01/18
     325       356,688  
Xerium Technologies, Inc. 1
     8.88  
06/15/18
     525       556,500  
Total Basic Industry
                       6,778,654  
Capital Goods – 0.7%
                          
AAR Corp. 1
     7.25  
01/15/22
     500       545,000  
Crown Cork & Seal Company, Inc. 1
     7.38  
12/15/26
     350       390,250  
Mueller Water Products, Inc. 1
     8.75  
09/01/20
     281       306,992  
Reynolds Group Issuer, Inc. 1
     7.88  
08/15/19
     750       811,875  
Terex Corp. 1
     6.50  
04/01/20
     600       642,000  
Total Capital Goods
                       2,696,117  
Consumer Cyclical – 0.6%
                          
ACCO Brands Corp. 1
     6.75  
04/30/20
     600       636,000  
Levi Strauss & Co. 1
     7.63  
05/15/20
     600       640,500  
Limited Brands, Inc. 1
     7.60  
07/15/37
     500       553,750  
Roundy's Supermarkets, Inc. 1,2,3
     10.25  
12/15/20
     500       483,750  
 
 
 
 
 
                           
Total Consumer Cyclical
                       2,314,000  
Consumer Non-Cyclical – 0.4%
                          
Bumble Bee Holdings, Inc. 1,2,3
     9.00  
12/15/17
     558       591,480  
Jarden Corp. 1
     7.50  
05/01/17
     300       334,875  
Post Holdings, Inc. 1
     7.38  
02/15/22
     500       525,000  
Total Consumer Non-Cyclical
                       1,451,355  
Energy – 2.5%
                          
Atlas Pipeline Partners LP 1
     5.88  
08/01/23
     600       609,000  
Basic Energy Services, Inc. 1
     7.75  
02/15/19
     550       580,250  
BreitBurn Energy Partners LP 1
     7.88  
04/15/22
     675       715,500  
Calfrac Holdings LP 1,2,3
     7.50  
12/01/20
     600       637,500  
CGG SA 1,11
     6.50  
06/01/21
     550       508,750  
Crestwood Midstream Partners LP 1
     6.00  
12/15/20
     600       622,500  
EV Energy Partners LP 1
     8.00  
04/15/19
     800       828,000  
Ferrellgas Partners LP 1
     8.63  
06/15/20
     500       528,750  
Global Partners LP 2,3
     6.25  
07/15/22
     400       402,000  
Hilcorp Energy I LP 1,2,3
     8.00  
02/15/20
     600       633,000  
Key Energy Services, Inc. 1
     6.75  
03/01/21
     600       609,000  
Linn Energy LLC 1
     7.75  
02/01/21
     300       319,500  
Linn Energy LLC 1
     8.63  
04/15/20
     300       320,250  
Precision Drilling Corp. 1,11
     6.63  
11/15/20
     300       318,000  
RKI Exploration & Production LLC 1,2,3
     8.50  
08/01/21
     350       376,250  
Trinidad Drilling Ltd. 1,2,3,11
     7.88  
01/15/19
     600       630,750  
W&T Offshore, Inc. 1
     8.50  
06/15/19
     600       642,000  
Total Energy
                       9,281,000  
Healthcare – 1.3%
                          
CHS/Community Health Systems, Inc. 1
     7.13  
07/15/20
     700       757,750  
Fresenius Medical Care U.S. Finance II, Inc. 1,2,3
     5.88  
01/31/22
     300       330,000  
HCA, Inc. 1
     5.88  
05/01/23
     150       159,750  
HCA, Inc. 1
     8.00  
10/01/18
     600       702,000  
Jaguar Holding Company II 1,2,3
     9.50  
12/01/19
     600       652,500  
Kindred Healthcare, Inc. 1,2,3
     6.38  
04/15/22
     700       707,000  
Polymer Group, Inc. 1
     7.75  
02/01/19
     450       474,188  
Service Corporation International 1
     6.75  
04/01/16
     400       426,000  
Service Corporation International 1
     8.00  
11/15/21
     450       531,000  
Total Healthcare
                       4,740,188  
Media – 1.1%
                          
Cablevision Systems Corp. 1
     5.88  
09/15/22
     100       101,500  
Cablevision Systems Corp. 1
     8.63  
09/15/17
     500       570,000  
CCO Holdings LLC 1
     5.75  
01/15/24
     250       255,625  
CCO Holdings LLC 1
     6.63  
01/31/22
     300       322,110  
Clear Channel Worldwide Holdings, Inc. 1
     7.63  
03/15/20
     750       802,500  
Gannett Company, Inc. 1,2,3
     6.38  
10/15/23
     500       531,250  
Lamar Media Corp. 1,2,3
     5.38  
01/15/24
     550       566,500  
Mediacom Broadband LLC 1
     6.38  
04/01/23
     550       569,938  
National CineMedia LLC 1
     6.00  
04/15/22
     525       546,000  
Total Media
                       4,265,423  
Services – 2.9%
                          
Avis Budget Car Rental LLC 1
     5.50  
04/01/23
     550       562,375  
Boyd Gaming Corp. 1
     9.00  
07/01/20
     600       645,000  
Casella Waste Systems, Inc. 1
     7.75  
02/15/19
     550       566,500  
Cedar Fair LP 1
     5.25  
03/15/21
     200       203,000  
Chester Downs & Marina LLC 1,2,3
     9.25  
02/01/20
     825       792,000  
H&E Equipment Services, Inc. 1
     7.00  
09/01/22
     600       655,500  
Iron Mountain, Inc. 1
     6.00  
08/15/23
     250       266,875  
Iron Mountain, Inc. 1
     8.38  
08/15/21
     500       521,250  
Isle of Capri Casinos, Inc. 1
     7.75  
03/15/19
     600       634,500  
Jurassic Holdings III, Inc. 1,2,3
     6.88  
02/15/21
     100       102,250  
MGM Resorts International 1
     7.63  
01/15/17
     350       388,500  
MGM Resorts International 1
     7.75  
03/15/22
     125       146,250  
MGM Resorts International 1
     8.63  
02/01/19
     275       323,813  
MTR Gaming Group, Inc. 1
     11.50  
08/01/19
     621       693,914  
Palace Entertainment Holdings LLC 1,2,3
     8.88  
04/15/17
     525       546,000  
PulteGroup, Inc. 1
     6.38  
05/15/33
     550       550,000  
Scientific Games Corp. 1
     8.13  
09/15/18
     450       442,125  
Standard Pacific Corp. 1
     8.38  
05/15/18
     300       348,000  
Standard Pacific Corp. 1
     8.38  
01/15/21
     450       528,750  
The ADT Corp. 1
     6.25  
10/15/21
     525       555,187  
The Hertz Corp. 1
     6.25  
10/15/22
     600       625,500  
The Hertz Corp. 1
     7.50  
10/15/18
     300       313,125  
United Rentals North America, Inc. 1
     7.63  
04/15/22
     450       505,125  
Total Services
                       10,915,539  
 
 
 
 
 
Technology & Electronics – 0.3%
                          
First Data Corp. 1,2,3
     7.38  
06/15/19
     750       800,625  
ION Geophysical Corp. 1
     8.13  
05/15/18
     300       296,625  
Total Technology & Electronics
                       1,097,250  
Telecommunications – 1.4%
                          
Altice SA 2,3,11
     7.75  
05/15/22
     200       212,500  
CenturyLink, Inc. 1
     7.65  
03/15/42
     300       303,000  
Cincinnati Bell, Inc. 1
     8.38  
10/15/20
     414       449,190  
Cincinnati Bell, Inc. 1
     8.75  
03/15/18
     132       138,237  
Fairpoint Communications, Inc. 1,2,3
     8.75  
08/15/19
     600       640,500  
Frontier Communications Corp. 1
     7.13  
03/15/19
     600       666,000  
Intelsat Jackson Holdings SA 1,11
     5.50  
08/01/23
     600       597,750  
Level 3 Financing, Inc. 1
     8.63  
07/15/20
     525       581,437  
Qwest Capital Funding, Inc. 1
     6.88  
07/15/28
     350       357,000  
T-Mobile USA, Inc. 1
     6.63  
04/01/23
     550       578,875  
Wind Acquisition Finance SA 2,3,11
     7.38  
04/23/21
     250       263,750  
Windstream Corp. 1
     7.50  
06/01/22
     525       570,938  
Total Telecommunications
                       5,359,177  
Total CORPORATE BONDS
(Cost $49,442,843)
                       50,902,453  
             
Shares
    
Value
  
PREFERRED STOCKS – 2.4%
                          
Finance & Investment – 2.4%
                          
Ally Financial, Inc., 7.00% 2,3
               5,000       5,027,030  
Public Storage, 6.00% 12
               160,000       4,040,000  
Total Finance & Investment
                       9,067,030  
Total PREFERRED STOCKS
(Cost $9,031,250)
                       9,067,030  
Total Investments – 140.5%
(Cost $505,939,648)
                       531,116,249  
Liabilities in Excess of Other Assets – (40.5)%
                       (153,070,119 )
TOTAL NET ASSETS – 100.0%
                     $ 378,046,130  
                           
The following notes should be read in conjunction with the accompanying Schedule of Investments.
  
                           
TBA — To Be Announced.
                          
 
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, 2014, the total value of all such securities was $118,364,389 or 31.3% of net assets.
3  —
Private Placement.
4  —
Security is a “step up” bond where the coupon increases or steps up at a predetermined date.
5  —
Restricted Illiquid Securities - Securities that the Adviser has deemed illiquid pursuant to procedures adopted by the Fund's Board of Directors.  The values in the parenthesis represent the acquisition date, cost and the percentage of net assets, respectively.  As of August 31, 2014, the total value of all such securities was $53,037,061 or 14.0% of net assets.
6  —
Variable rate security – Interest rate shown is the rate in effect as of August 31, 2014.
7  —
Security is an inverse floating rate bond.
8  —
Zero-Coupon Note - Interest rate represents current yield to maturity.
9  —
Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of August 31, 2014,  the total value of all such securities was $366,119 or 0.0% of 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.
12 —
Non-income producing security.
 
 
 
 
 
 
Notes to Financial Statements (Unaudited)
 
Valuation of Investments: Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the bid prices furnished by an independent pricing service or, if not valued by an independent pricing service, using bid prices obtained from active and reliable market makers in any such security or a broker-dealer. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services 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 broker-dealers or pricing services 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 market 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 in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Short-term debt securities with remaining maturities of sixty days or less are valued at cost with interest accrued or discount accreted to the date of maturity, unless such valuation, in the judgment of the Adviser’s Valuation Committee, does not represent market value.
 
Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last trade price as of the close of business on the valuation date. Investments in open-end registered investment companies, if any, are valued at the net asset value (“NAV”) as reported by those investment companies.
 
Fair valuation procedures may be used to value a substantial portion of the assets of the Fund. The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Adviser determines that the quotation or price for a portfolio security provided by a broker-dealer or an independent pricing service is inaccurate.
 
The fair value of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.
 
 
 
 
 
The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material.
 
The Fund’s Board of Directors (the “Board”) has adopted procedures for the valuation of the Fund’s securities. The Adviser oversees the day to day responsibilities for valuation determinations under these procedures. The Board regularly reviews the application of these procedures to the securities in the Fund’s portfolio. Pursuant to the procedures, securities in the Fund are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. However, if (i) a market value or price is not readily available, (ii) the available quotations are not believed to be reflective of market value by the Adviser, or (iii) a significant event has occurred that would materially affect the value of the security, the security is fair valued, as determined in good faith, by the Adviser’s Valuation Committee. The Adviser’s Valuation Committee is comprised of senior members of the Adviser’s management team. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s NAV.
 
The Fund has established methods of fair value measurements in accordance with GAAP. Fair value denotes the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
 
•
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)

The Adviser’s valuation policy, as previously stated, establishes parameters for the sources and types of valuation analysis, as well as, the methodologies and inputs the Adviser uses in determining fair value, including the use of the Adviser’s Valuation Committee. If the Valuation Committee determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken.

Significant increases or decreases in any of the unobservable inputs in isolation may result in a lower or higher fair value measurement.
 
 
 
 

To assess the continuing appropriateness of security valuations, the Adviser (or its third party service provider who is subject to oversight by the Adviser), compares daily its prior day prices, prices on comparable securities and sales prices and challenges those prices that either remain unchanged or exceeds certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy as of
August 31, 2014:

Valuation Inputs
  
Level 1
    
Level 2
    
Level 3
    
Total
  
U.S. Government & Agency Obligations
   $ -     $ 15,749,491     $ 4,230,900     $ 19,980,391  
Asset-Backed Securities
     -       310,689       18,217,743       18,528,432  
Residential Mortgage Related Holdings
     -       2,379,789       180,285,021       182,664,810  
Commercial Mortgage Related Holdings
     -       2,572,852       228,776,143       231,348,995  
Interest-Only Securities
     -       -       18,624,138       18,624,138  
Corporate Bonds
     -       50,902,453       -       50,902,453  
Preferred Stocks
     9,067,030       -       -       9,067,030  
Total
   $ 9,067,030     $ 71,915,274     $ 450,133,945     $ 531,116,249  

The following table provides quantitative information about the Fund’s Level 3 values, as well as their inputs, as of August 31, 2014. The table is not all-inclusive, but provides information on the significant Level 3 inputs.

   
Quantitative Information about Level 3 Fair Value Measurements*
  
Assets
  
Fair Value
as of
August 31, 2014
  
Valuation
Methodology
Significant
Unobservable
Input
  
Price
  
Residential Mortgage Related Holdings
   $ 11,754  
Discounted Cash
Flow
Constant
Prepayment Rate
   $
 
 10.56
  
Commercial Mortgage Related Holdings
     354,365  
Market
Comparable
Company
Implied Spread to
Index
     103.16  
Total
   $ 366,119              

* The table above does not include level 3 securities that are valued by brokers and pricing services. At August 31, 2014, the value of these securities was approximately $449,767,826. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in the Valuation of Investments Note. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, unchanged price review, results of broker and vendor due diligence and consideration of macro or security specific events.
 
 
 
 
 
  
 
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
 
Investments in Securities
  
U.S.
Government
& Agency
Obligations
    
Asset-
Backed
Securities
    
Residential
Mortgage
Related
Holdings
    
Commercial
Mortgage
Related
Holdings
    
Interest-Only
Securities
    
Total
  
Balance as of November 30, 2013
   $ 6,139     $ 2,673,331     $ 126,680,108     $ 253,310,599     $ 18,000,567     $ 400,670,744  
Accrued Discounts (Premiums)
     45       -       1,187,286       5,119,982       (1,196,907 )     5,110,406  
Realized Gain (Loss)
     34,310       96,212       12,306,623       (1,114,505 )     15,570,377       26,893,017  
Change in Unrealized Appreciation (Depreciation)
     205,821       (6,069 )     6,329,148       7,960,856       (493,540 )     13,996,216  
Purchases at cost
     4,205,000       3,000,000       80,949,047       8,074,792       2,617,553       98,846,392  
Sales proceeds
     (220,415 )     (3,881,546 )     (47,099,183 )     (42,002,729 )     (16,449,936 )     (109,653,809 )
Transfers into Level 3
     -       16,335,815       2,311,781       -       576,024       19,223,620 (a)
Transfers out of Level 3
     -       -       (2,379,789 )     (2,572,852 )     -       (4,952,641 )(a)
Balance as of August 31, 2014
   $ 4,230,900     $ 18,217,743     $ 180,285,021     $ 228,776,143     $ 18,624,138     $ 450,133,945  
Change in unrealized gains or losses relating to
assets still held at reporting date
   $ 25,900     $ 14,547     $ 8,364,606     $ 5,532,365     $ (493,540 )   $ 13,443,878  
 
(a) Transfers into 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.
 
 
For the period ended August 31, 2014, there was no security transfer activity between Level 1 and Level 2 for the Fund.  The basis for recognizing and valuing transfers is as of the end of the period in which transfers occur.

Federal Income Tax Basis: The federal income tax basis of the Fund’s investments at August 31, 2014 was as follows.
 
Cost of Investments
Gross Unrealized Appreciation
Gross Unrealized Depreciation
Net Unrealized Appreciation
$505,939,648
$42,965,767
$(17,789,166)
$25,176,601
 
Reverse Repurchase Agreements: The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. Under the 1940 Act, reverse repurchase agreements will be regarded as a form of borrowing by the Funds unless, at the time they enter into a reverse repurchase agreement, it establishes and maintains a segregated account with its custodian containing securities from its portfolios having a value not less than the repurchase price (including accrued interest). The Fund has established and maintained such accounts for each of its reverse repurchase agreements.
 
Reverse repurchase agreements involve the risk that the market value of the securities retained in lieu of sale by the Fund may decline below the price of the securities the Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision. Also, the Fund would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreement are less than the value of the securities subject to such agreements.
 
At August 31, 2014, the Fund had the following reverse repurchase agreements outstanding:
 
Face Value
  
Description
  
Maturity Amount
  
$ 700,000  
Credit Suisse, 0.37%, dated 08/05/14, maturity 11/05/14
   $ 700,662  
  8,365,000  
Goldman Sachs, 0.40%, dated 08/07/14, maturity 11/05/14
     8,373,365  
  6,104,000  
JP Morgan Chase, 0.34%, dated 07/08/14, maturity 10/06/14
     6,109,188  
  5,678,000  
JP Morgan Chase, 1.01%, dated 08/06/14, maturity 09/05/14
     5,682,772  
  2,597,000  
JP Morgan Chase, 1.01%, dated 08/26/14, maturity 09/25/14
     2,599,175  
 
 
 
 
 
  969,000  
JP Morgan Chase, 1.03%, dated 07/16/14, maturity 10/14/14
     971,504  
  2,547,000  
JP Morgan Chase, 1.13%, dated 07/16/14, maturity 10/14/14
     2,554,218  
  1,911,000  
JP Morgan Chase, 1.13%, dated 07/23/14, maturity 10/21/14
     1,916,411  
  11,909,000  
JP Morgan Chase, 1.18%, dated 07/16/14, maturity 10/14/14
     11,944,239  
  6,706,000  
JP Morgan Chase, 1.59%, dated 07/29/14, maturity 10/27/14
     6,732,608  
  4,101,000  
RBC Capital Markets, 0.93%, dated 07/01/14, maturity 01/02/15
     4,120,532  
  477,000  
RBC Capital Markets, 0.93%, dated 07/14/14, maturity 01/02/15
     479,112  
  4,820,000  
RBC Capital Markets, 0.93%, dated 07/16/14, maturity 10/16/14
     4,831,488  
  1,166,000  
RBC Capital Markets, 0.93%, dated 04/01/14, maturity 09/11/14
     1,170,926  
  30,786,000  
RBC Capital Markets, 0.95%, dated 04/01/14, maturity 10/01/14
     30,935,281  
  1,041,000  
RBC Capital Markets, 0.95%, dated 05/08/14, maturity 10/01/14
     1,045,027  
  221,000  
RBC Capital Markets, 0.95%, dated 05/09/14, maturity 10/01/14
     221,849  
  491,000  
RBC Capital Markets, 0.95%, dated 06/05/14, maturity 10/01/14
     492,535  
  393,000  
RBC Capital Markets, 0.95%, dated 07/23/14, maturity 10/01/14
     393,729  
  110,000  
RBC Capital Markets, 0.95%, dated 08/08/14, maturity 10/01/14
     110,157  
  1,222,000  
RBC Capital Markets, 0.96%, dated 03/11/14, maturity 09/11/14
     1,227,976  
  470,000  
RBC Capital Markets, 0.96%, dated 05/05/14, maturity 09/11/14
     471,611  
  5,911,000  
RBC Capital Markets, 0.98%, dated 07/16/14, maturity 10/16/14
     5,925,843  
  2,809,000  
RBC Capital Markets, 1.53%, dated 07/02/14, maturity 10/02/14
     2,819,988  
  15,936,000  
RBC Capital Markets, 1.53%, dated 07/16/14, maturity 10/16/14
     15,998,416  
  4,956,000  
RBC Capital Markets, 1.57%, dated 06/12/14, maturity 12/12/14
     4,995,588  
  2,578,000  
RBC Capital Markets, 1.58%, dated 07/02/14, maturity 10/02/14
     2,588,414  
  32,510,000  
RBC Capital Markets, 1.62%, dated 06/12/14, maturity 12/12/14
     32,777,951  
  3,262,000  
RBC Capital Markets, 1.68%, dated 08/26/14, maturity 02/26/15
     3,289,993  
  1,633,000  
Wells Fargo Advisors, 1.66%, dated 08/28/14, maturity 09/29/14
     1,635,404  
$ 162,379,000  
Maturity Amount, Including Interest Payable
   $ 163,115,962  
     
Market Value of Assets Pledged as Collateral for the Reverse Repurchase Agreements
   $ 203,135,633  
     
Weighted Average Interest Rate
     1.20 %
 
The average daily balance of reverse repurchase agreements outstanding for the Fund during the period ended August 31, 2014, was approximately $161,664,796 at a weighted average interest rate of 1.27%.
 
The maximum amount of reverse repurchase agreements outstanding at any time during the period was $177,193,770, which was 32.11% of total assets of the Fund.
 
Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract.
 
 
 
 
 
The Fund invests in financial futures contracts to hedge against fluctuations in the value of portfolio securities caused by changes in prevailing market interest rates. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. The Fund is at risk that it may not be able to close out a transaction because of an illiquid market.  As of August 31, 2014, there were no futures contracts outstanding.

TBA Transactions: The Fund may enter into to-be-announced (“TBA”) transactions to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. A TBA transaction is a purchase or sale of a U.S. government agency mortgage pass-through security for future settlement at an agreed upon date. The term “U.S. government agency mortgage pass-through security” refers to a category of pass-through securities backed by pools of mortgages and issued by one of several U.S. government-sponsored enterprises: the Government National Mortgage Association (Ginnie Mae), Federal National Mortgage Association (Fannie Mae), or Federal Home Loan Mortgage Corporation (Freddie Mac). In the basic pass-through structure, mortgages with similar issuer, term and coupon characteristics are collected and aggregated into a pool. The pool is assigned a CUSIP number and undivided interests in the pool are traded and sold as pass-through securities. The holder of the security is entitled to a pro rata share of principal and interest payments (including unscheduled prepayments) from the pool of mortgage loans. TBA transactions increase the liquidity and pricing efficiency of transactions in such mortgage-backed securities since they permit similar mortgage-backed securities to be traded interchangeably pursuant to commonly observed settlement and delivery requirements. Proceeds of TBA transactions are not received until the contractual settlement date. The Fund may use TBA transactions to acquire and maintain exposure to mortgage-backed securities in either of two ways. Typically, the Fund will enter into TBA agreements and “roll over” such agreements prior to the settlement date stipulated in such agreements. This type of TBA transaction is commonly known as a “TBA roll.” In a TBA roll, the Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the stipulated settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. Alternatively, the Fund will enter into TBA agreements and settle such transactions on the stipulated settlement date by actual receipt or delivery of the pools of mortgage pass-through securities stipulated in the TBA agreement. Unsettled TBA agreements are valued at the current market value of the underlying securities, according to the procedures described above under “Valuation of Investments.” Each TBA position is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss.
 
TBA transactions outstanding at August 31, 2014 were as follows:
 
Purchases:

Security Name
Interest Rate
  
Principal
Amount
  
Current
Payable
Federal Home Loan Mortgage Corporation
4.00%
  
$  4,000,000
  
 $  4,209,444
 
 
 
 
 
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 are effective, based on their evaluation of such Disclosure Controls and Procedures as of a date within 90 days of the filing of this report on Form N-Q.
 
(b) As of the date of filing this Form N-Q, the Registrant's principal executive officer and principal financial officer are aware of no changes in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal quarter that has materially affected or is reasonably likely to materially affect the Registrant's internal control over financial reporting.
 
Item 3. Exhibits
 
(a) Certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act. Filed herewith.
 
 
 
 
 
 
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.


(Registrant)  Brookfield Total Return Fund Inc.

 
By (Signature and Title)                  /s/ Brian F. Hurley                                                  
Brian F. Hurley
President and Principal Executive Officer

Date: October 30, 2014



         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 (Signature and Title)                  /s/ Brian F. Hurley                                                  
Brian F. Hurley
President and Principal Executive Officer

Date: October 30, 2014

 
By (Signature and Title)                  /s/ Angela W. Ghantous                                       
Angela W. Ghantous
Treasurer and Principal Financial Officer

Date: October 30, 2014