The
Hyperion Brookfield Total Return Fund, Inc. |
Semi-Annual Report |
May 31, 2008 |
1
2
| The consensus around the forward path for home prices must stabilize. Current home price forecasts include an additional home price depreciation of 10% to 15% nationally, in addition to the 10% home price depreciation already registered. In certain regions, such as San Diego, Las Vegas and Phoenix, home price depreciation forecasts are significantly worse than national averages. | |
| Economic fundamentals have to stabilize, and there must be a market consensus around the economic conditions that will unfold. We need to see stabilization or improvement in the areas of employment, consumer confidence and inflation. | |
| Realized losses resulting from the write-downs of assets and negative earnings impact on the books of financial institutions have to abate. | |
| Liquidations of highly leveraged portfolios, including structured investment vehicles, asset-backed commercial paper conduits, and collateralized debt obligations, must come to a halt. | |
| Rating agencies need to reach a consensus view on expected losses, and their ratings on securities must stabilize. The market must believe the ratings changes are finalized and the significant and continual downgrading of structured securities, including RMBS, CMBS and other ABS must end. | |
| Lending institutions have to get back into the business of prudent lending. |
3
CLIFFORD E. LAI | |
President, | |
The Hyperion Brookfield Total Return Fund, Inc. | |
Chairman, | |
Hyperion Brookfield Asset Management, Inc. | |
MICHELLE RUSSELL DOWE | |
Portfolio Manager, | |
The Hyperion Brookfield Total Return Fund, Inc. | |
Managing Director, | |
Hyperion Brookfield Asset Management, Inc. |
4
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS 54.5% |
||||||||||||||||
U.S. Government Agency Collateralized Mortgage Obligations 1.0% | ||||||||||||||||
Federal Home Loan Mortgage Corporation
|
||||||||||||||||
Series 1675, Class KC
|
6.50 | % | 10/15/10 | $ | 368 | $ | 368,045 | |||||||||
Series 1604, Class MC
|
9.00 | 11/15/08 | 80 | 80,894 | ||||||||||||
Series 1604, Class SB
|
9.00 | 11/15/08 | 15 | 15,557 | ||||||||||||
Series 1587, Class SK
|
9.00 | 10/15/08 | 91 | 91,517 | ||||||||||||
556,013 | ||||||||||||||||
Federal National Mortgage Association
|
||||||||||||||||
Series 1997-79, Class PL
|
6.85 | 12/18/27 | 775 | 815,266 | ||||||||||||
Series 1998-W6, Class B3
|
7.09 | 10/25/28 | 934 | 716,542 | ||||||||||||
Series 1993-170, Class SC
|
9.00 | 09/25/08 | 3 | 2,571 | ||||||||||||
1,534,379 | ||||||||||||||||
Total U.S. Government Agency Collateralized Mortgage Obligations |
||||||||||||||||
(Cost $2,144,817)
|
2,090,392 | |||||||||||||||
U.S. Government Agency Pass-Through Certificates 48.5% |
||||||||||||||||
Federal Home Loan Mortgage Corporation
|
||||||||||||||||
Pool 949293
|
5.85 | | 10/01/37 | 4,449 | @ | 4,559,341 | ||||||||||
Pool A16170
|
6.00 | 12/01/33 | 2,539 | @ | 2,590,960 | |||||||||||
Pool A17112
|
6.00 | 12/01/33 | 9,115 | @ | 9,300,859 | |||||||||||
Pool 955369
|
6.01 | | 11/01/37 | 5,914 | @ | 6,082,882 | ||||||||||
Pool 940363
|
6.50 | 06/01/37 | 8,349 | @ | 8,563,684 | |||||||||||
Pool 945836
|
6.50 | 08/01/37 | 4,719 | 4,840,670 | ||||||||||||
Pool 948362
|
6.50 | 08/01/37 | 2,232 | 2,289,971 | ||||||||||||
Pool A24261
|
6.50 | 07/01/34 | 2,094 | 2,168,262 | ||||||||||||
Pool A25455
|
6.50 | 08/01/34 | 2,203 | 2,280,716 | ||||||||||||
Pool C53494
|
7.50 | 06/01/31 | 50 | 53,689 | ||||||||||||
Pool C56878
|
8.00 | 08/01/31 | 120 | 129,326 | ||||||||||||
Pool C58516
|
8.00 | 09/01/31 | 134 | 144,844 | ||||||||||||
Pool C59641
|
8.00 | 10/01/31 | 359 | 387,995 | ||||||||||||
Pool C55166
|
8.50 | 07/01/31 | 215 | 237,500 | ||||||||||||
Pool C55167
|
8.50 | 07/01/31 | 76 | 84,486 | ||||||||||||
Pool C55168
|
8.50 | 07/01/31 | 81 | 89,176 | ||||||||||||
Pool C55169
|
8.50 | 07/01/31 | 190 | 210,110 | ||||||||||||
Pool C60422
|
8.50 | 10/01/31 | 62 | 68,858 | ||||||||||||
Pool C60423
|
8.50 | 10/01/31 | 120 | 132,853 | ||||||||||||
Pool G01466
|
9.50 | 12/01/22 | 1,444 | 1,605,290 | ||||||||||||
Pool 555538
|
10.00 | 03/01/21 | 1,090 | 1,193,797 | ||||||||||||
47,015,269 | ||||||||||||||||
Federal National Mortgage Association
|
||||||||||||||||
Pool 649881
|
6.00 | 09/01/32 | 1,903 | 1,943,139 | ||||||||||||
Pool 811125
|
6.00 | 02/01/35 | 2,688 | ^ | 2,731,889 | |||||||||||
Pool 650162
|
6.50 | 10/01/32 | 1,493 | 1,552,301 | ||||||||||||
Pool 652870
|
6.50 | 10/01/32 | 1,750 | 1,818,638 | ||||||||||||
Pool 654917
|
6.50 | 08/01/32 | 4,441 | @ | 4,616,711 | |||||||||||
Pool 655843
|
6.50 | 09/01/32 | 1,722 | 1,789,658 | ||||||||||||
Pool 783828
|
6.50 | 07/01/34 | 1,111 | 1,148,913 | ||||||||||||
Pool 809240
|
6.50 | 01/01/35 | 1,231 | 1,273,079 | ||||||||||||
Pool 941332
|
6.50 | 07/01/37 | 2,241 | @ | 2,312,970 |
5
Principal | |||||||||||||||||
Interest | Amount | Value | |||||||||||||||
Rate | Maturity | (000s) | (Note 2) | ||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) |
|||||||||||||||||
Pool 555933
|
7.00 | % | 06/01/32 | $ | 6,849 | @ | $ | 7,265,631 | |||||||||
Pool 645912
|
7.00 | 06/01/32 | 1,469 | ^ | 1,556,947 | ||||||||||||
Pool 645913
|
7.00 | 06/01/32 | 1,558 | 1,651,555 | |||||||||||||
Pool 843773
|
7.00 | 12/01/35 | 959 | 1,011,617 | |||||||||||||
Pool 255053
|
7.50 | 12/01/33 | 447 | 479,567 | |||||||||||||
Pool 545990
|
7.50 | 04/01/31 | 2,526 | 2,727,555 | |||||||||||||
Pool 735576
|
7.50 | 11/01/34 | 2,717 | @ | 2,930,577 | ||||||||||||
Pool 784369
|
7.50 | 07/01/13 | 218 | 224,408 | |||||||||||||
Pool 789284
|
7.50 | 05/01/17 | 423 | 441,129 | |||||||||||||
Pool 827853
|
7.50 | 10/01/29 | 626 | 675,597 | |||||||||||||
Pool 833602
|
7.50 | 11/01/35 | 1,479 | 1,576,300 | |||||||||||||
Pool 885034
|
7.50 | 05/01/36 | 1,310 | 1,370,824 | |||||||||||||
Pool 896391
|
7.50 | 06/01/36 | 2,559 | ^ | 2,677,460 | ||||||||||||
Pool 398800
|
8.00 | 06/01/12 | 579 | 606,235 | |||||||||||||
Pool 735800
|
8.00 | 01/01/35 | 1,725 | 1,872,721 | |||||||||||||
Pool 887694
|
8.00 | 06/01/36 | 471 | 497,640 | |||||||||||||
Pool 827855
|
8.50 | 10/01/29 | 1,424 | 1,559,492 | |||||||||||||
Pool 545436
|
9.00 | 10/01/31 | 554 | 612,349 | |||||||||||||
Pool 852865
|
9.00 | 07/01/20 | 1,974 | 2,170,884 | |||||||||||||
Pool 458132
|
9.49 | 03/15/31 | 2,293 | ^ | 2,553,885 | ||||||||||||
53,649,671 | |||||||||||||||||
Total U.S. Government Agency Pass-Through Certificates | |||||||||||||||||
(Cost $99,929,111)
|
100,664,940 | ||||||||||||||||
U.S. Treasury Obligations 5.0% | |||||||||||||||||
United States Treasury Note
|
|||||||||||||||||
(Cost $9,776,563)
|
4.50 | 05/15/17 | 10,000 | @ | 10,343,750 | ||||||||||||
Total U.S. Government & Agency Obligations | |||||||||||||||||
(Cost $111,850,491)
|
113,099,082 | ||||||||||||||||
ASSET-BACKED SECURITIES 20.2% | |||||||||||||||||
Housing Related Asset-Backed Securities 15.5% | |||||||||||||||||
125 Home Loan Owner Trust
|
|||||||||||||||||
Series 1998-1A, Class M2*(b)(i)
|
8.25 | 02/15/29 | 202 | 171,743 | |||||||||||||
Access Financial Manufactured Housing Contract Trust
|
|||||||||||||||||
Series 1995-1, Class B1
|
7.65 | 05/15/21 | 10,060 | 8,978,871 | |||||||||||||
Asset Backed Funding Corporation
|
|||||||||||||||||
Series 2005-AQ1, Class B1*(b)(e)(i)
|
5.75/6.25 | 06/25/35 | 1,986 | 1,047,636 | |||||||||||||
Series 2005-AQ1, Class B2*(b)(e)(i)
|
5.75/6.25 | 06/25/35 | 2,087 | 1,195,642 | |||||||||||||
2,243,278 | |||||||||||||||||
Asset Backed Securities Corp. Home Equity
|
|||||||||||||||||
Series 2006-HE3, Class A4(d)(i)
|
2.56 | | 03/25/36 | 1,326 | 1,275,574 | ||||||||||||
Green Tree Financial Corp.
|
|||||||||||||||||
Series 1998-3, Class A6
|
6.76 | 03/01/30 | 2,763 | 2,536,897 | |||||||||||||
Series 1997-6, Class A9
|
7.55 | 01/15/29 | 1,953 | 1,939,162 | |||||||||||||
4,476,059 | |||||||||||||||||
6
Principal | |||||||||||||||||
Interest | Amount | Value | |||||||||||||||
Rate | Maturity | (000s) | (Note 2) | ||||||||||||||
ASSET-BACKED SECURITIES (continued) | |||||||||||||||||
Harborview Mortgage Loan Trust
|
|||||||||||||||||
Series 2005-9, Class B11*(b)(d)
|
4.23 | % | 06/20/35 | $ | 828 | $ | 372,660 | ||||||||||
Series 2005-1, Class B4*(b)(d)
|
4.25 | | 03/19/35 | 947 | 437,980 | ||||||||||||
Series 2005-1, Class B5*(b)(d)
|
4.25 | | 03/19/35 | 1,367 | 95,665 | ||||||||||||
Series 2005-1, Class B6*(b)(d)
|
4.25 | | 03/19/35 | 979 | 29,380 | ||||||||||||
Series 2005-2, Class B4*(b)(d)
|
4.55 | | 05/19/35 | 2,444 | 219,931 | ||||||||||||
Series 2005-14, Class B4*(b)
|
5.67 | | 12/19/35 | 1,173 | 117,284 | ||||||||||||
1,272,900 | |||||||||||||||||
IXIS Real Estate Capital Trust
|
|||||||||||||||||
Series 2006-HE3, Class A1(d)(i)
|
2.44 | | 01/25/37 | 394 | 385,911 | ||||||||||||
Mid-State Trust
|
|||||||||||||||||
Series 10, Class B
|
7.54 | 02/15/36 | 1,473 | 1,308,528 | |||||||||||||
Series 2004-1, Class M2
|
8.11 | 08/15/37 | 2,257 | 2,223,223 | |||||||||||||
3,531,751 | |||||||||||||||||
Morgan Stanley Capital Inc.
|
|||||||||||||||||
Series 2006-WMC2, Class A2C(d)(i)
|
2.54 | | 07/25/36 | 4,030 | 2,751,813 | ||||||||||||
Series 2006-HE1, Class A3(d)(i)
|
2.57 | | 01/25/36 | 2,845 | 2,744,660 | ||||||||||||
5,496,473 | |||||||||||||||||
Securitized Asset Backed Receivables LLC Trust
|
|||||||||||||||||
Series 2005-HE1, Class A1A*(b)(d)(i)
|
2.69 | | 10/25/35 | 2,255 | 2,230,489 | ||||||||||||
Structured Asset Securities Corporation
|
|||||||||||||||||
Series 2005-6, Class B5
|
5.34 | | 05/25/35 | 958 | 114,993 | ||||||||||||
Series 2005-6, Class B6
|
5.34 | | 05/25/35 | 958 | 57,497 | ||||||||||||
Series 2005-6, Class B7
|
5.34 | | 05/25/35 | 587 | 23,485 | ||||||||||||
195,975 | |||||||||||||||||
Vanderbilt Mortgage Finance, Inc.
|
|||||||||||||||||
Series 2001-B, Class A5
|
6.96 | 09/07/31 | 2,000 | 2,001,224 | |||||||||||||
Total Housing Related Asset-Backed Securities | |||||||||||||||||
(Cost $41,876,440)
|
32,260,248 | ||||||||||||||||
Non-Housing Related Asset-Backed Securities 1.7% | |||||||||||||||||
Aerco Ltd.
|
|||||||||||||||||
Series 2A, Class A3*(b)
|
2.97 | | 07/15/25 | 2,953 | 2,126,208 | ||||||||||||
Airplane Pass Through Trust
|
|||||||||||||||||
Series 1R, Class A8
|
2.89 | | 03/15/19 | 1,641 | 1,476,776 | ||||||||||||
Securitized Multiple Asset Rated Trust
|
|||||||||||||||||
Series 1997-2, Class A(c)(h)
|
8.24 | 10/01/12 | 2,263 | 1 | |||||||||||||
Total Non-Housing Related Asset-Backed Securities | |||||||||||||||||
(Cost $4,033,200)
|
3,602,985 | ||||||||||||||||
Franchise Securities 0.1% | |||||||||||||||||
Franchisee Loan Receivable Trust
|
|||||||||||||||||
Series 1995-B, Class A*(h)
|
|||||||||||||||||
(Cost $736,116)
|
9.63 | | 11/01/15 | 735 | 224,466 | ||||||||||||
Collateralized Debt Obligations 2.9% | |||||||||||||||||
Anthracite CDO I Ltd.
|
|||||||||||||||||
Series 2002-CIBA, Class CFL*(b)
|
3.64 | | 05/24/37 | 5,000 | 4,196,945 |
7
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
ASSET-BACKED SECURITIES (continued) | ||||||||||||||||
Apidos CDO
|
||||||||||||||||
Series 2005-2A, Class B*(b)
|
3.71 | % | 12/21/18 | $ | 2,000 | $ | 1,420,000 | |||||||||
Porter Square CDO I Limited
|
||||||||||||||||
Series 1A, Class C*(b)
|
6.66 | | 08/15/38 | 2,000 | 330,000 | |||||||||||
Total Collateralized Debt Obligations | ||||||||||||||||
(Cost $8,963,489)
|
5,946,945 | |||||||||||||||
Total Asset-Backed Securities | ||||||||||||||||
(Cost $55,609,245)
|
42,034,644 | |||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES 21.0% | ||||||||||||||||
Banc America Commercial Mortgage Trust
|
||||||||||||||||
Series 2006-2, Class J*(b)
|
5.48 | 05/10/45 | 332 | 132,485 | ||||||||||||
Series 2007-2, Class K*(b)
|
5.70 | | 04/10/49 | 5,000 | 1,862,195 | |||||||||||
1,994,680 | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities
|
||||||||||||||||
Series 2006-PW13, Class J*(b)
|
5.26 | 09/11/41 | 896 | 373,450 | ||||||||||||
Series 2006-PW13, Class K*(b)
|
5.26 | 09/11/41 | 693 | 259,177 | ||||||||||||
Series 2006-PW11, Class H*(b)
|
5.63 | 03/11/39 | 1,700 | 783,069 | ||||||||||||
Series 2006-PW13, Class H*(b)
|
6.03 | | 09/11/41 | 4,083 | 1,908,215 | |||||||||||
Series 2007-TOP28, Class F*(b)
|
6.18 | | 09/11/42 | 250 | 121,559 | |||||||||||
Series 1999-C1, Class D
|
6.53 | 02/14/31 | 5,000 | 4,979,035 | ||||||||||||
8,424,505 | ||||||||||||||||
CD 2006 CD2
|
||||||||||||||||
Series 2006-CD2, Class J*(b)
|
5.65 | | 01/15/46 | 1,000 | 458,611 | |||||||||||
Commercial Mortgage Asset Trust
|
||||||||||||||||
Series 1999-C1, Class C
|
7.35 | 01/17/32 | 2,000 | 2,166,582 | ||||||||||||
Commercial Mortgage Lease-Backed Certificate
|
||||||||||||||||
Series 2001-CMLB, Class A1*(b)
|
6.75 | 06/20/31 | 1,633 | 1,705,748 | ||||||||||||
Credit Suisse First Boston Mortgage
|
||||||||||||||||
Series 2004-C5, Class J*(b)
|
4.65 | 11/15/37 | 1,000 | 622,426 | ||||||||||||
Credit Suisse Mortgage Capital Certificates
|
||||||||||||||||
Series 2006-C4, Class L*(b)
|
5.15 | 09/15/39 | 684 | 281,613 | ||||||||||||
Series 2006-C4, Class M*(b)
|
5.15 | 09/15/39 | 754 | 279,390 | ||||||||||||
Series 2006-C1, Class K*(b)
|
5.55 | | 02/15/39 | 4,715 | 2,196,926 | |||||||||||
Series 2006-C4, Class K*(b)
|
6.10 | | 09/15/39 | 4,950 | 2,304,933 | |||||||||||
5,062,862 | ||||||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp.
|
||||||||||||||||
Series 2006-CB14, Class H*(b)
|
5.72 | | 12/12/44 | 2,300 | 1,073,281 | |||||||||||
Series 2007-LD11, Class J*(b)
|
5.82 | | 06/15/49 | 511 | 222,504 | |||||||||||
Series 2007-LD11, Class K*(b)
|
5.82 | | 06/15/49 | 939 | 350,032 | |||||||||||
Series 2007-CB18, Class G*(b)
|
5.92 | | 06/12/47 | 1,200 | 528,348 | |||||||||||
2,174,165 | ||||||||||||||||
JP Morgan Commercial Mortgage Finance Corp.
|
||||||||||||||||
Series 1999-C8, Class C
|
7.42 | | 07/15/31 | 5,000 | 5,148,270 | |||||||||||
LB-UBS Commercial Mortgage Trust
|
||||||||||||||||
Series 2002-C2, Class L*(b)
|
5.68 | 07/15/35 | 5,300 | 4,049,576 |
8
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||||
LNR CDO V Limited
|
||||||||||||||||
Series 2007-1A, Class F*(b)
|
3.84 | % | 12/26/49 | $ | 3,750 | $ | 300,000 | |||||||||
Morgan Stanley Capital I
|
||||||||||||||||
Series 2006-21, Class H*(b)
|
5.30 | | 10/12/52 | 1,500 | 619,419 | |||||||||||
Series 2006-IQ11, Class J*(b)
|
5.53 | 10/15/42 | 256 | 76,177 | ||||||||||||
Series 2007-27, Class G*(b)
|
5.65 | | 06/13/42 | 501 | 176,455 | |||||||||||
872,051 | ||||||||||||||||
Nationslink Funding Corp.
|
||||||||||||||||
Series 1998-2, Class F* (b)
|
7.11 | 08/20/30 | 4,840 | 4,835,644 | ||||||||||||
UBS 400 Atlantic Street Mortgage Trust
|
||||||||||||||||
Series 2002-C1A, Class B3*(b)
|
7.19 | 01/11/22 | 3,000 | 3,234,375 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust
|
||||||||||||||||
Series 2005-C16, Class H*(b)
|
5.36 | | 10/15/41 | 4,000 | 2,517,704 | |||||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||||||
(Cost $64,240,594)
|
43,567,199 | |||||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES 9.7% | ||||||||||||||||
Subordinated Collateralized Mortgage Obligations 9.7% | ||||||||||||||||
Banc of America Funding Corporation
|
||||||||||||||||
Series 2003-3, Class B4
|
5.47 | 10/25/33 | 876 | 442,068 | ||||||||||||
Series 2003-3, Class B5
|
5.47 | 10/25/33 | 876 | 339,957 | ||||||||||||
Series 2003-3, Class B6
|
5.47 | 10/25/33 | 879 | 193,478 | ||||||||||||
975,503 | ||||||||||||||||
Banc of America Mortgage Securities, Inc.
|
||||||||||||||||
Series 2005-4, Class B4
|
5.50 | 05/25/35 | 525 | 243,896 | ||||||||||||
Series 2005-4, Class B5
|
5.50 | 05/25/35 | 394 | 102,831 | ||||||||||||
Series 2005-4, Class B6
|
5.50 | 05/25/35 | 263 | 32,864 | ||||||||||||
Series 2005-5, Class 30B4
|
5.50 | 06/25/35 | 769 | 215,365 | ||||||||||||
Series 2005-5, Class 30B5
|
5.50 | 06/25/35 | 577 | 107,278 | ||||||||||||
Series 2005-5, Class 30B6
|
5.50 | 06/25/35 | 578 | 50,548 | ||||||||||||
Series 2007-4, Class B3
|
6.19 | 12/28/37 | 495 | 175,635 | ||||||||||||
Series 2001-4, Class 1B3
|
6.75 | 04/20/31 | 1,233 | 1,198,185 | ||||||||||||
2,126,602 | ||||||||||||||||
Countrywide Home Loans
|
||||||||||||||||
Series 2003-J13, Class B3
|
5.22 | 01/25/34 | 351 | 201,016 | ||||||||||||
Series 2003-J13, Class B4
|
5.22 | 01/25/34 | 526 | 243,085 | ||||||||||||
Series 2003-J13, Class B5
|
5.22 | 01/25/34 | 263 | 65,736 | ||||||||||||
Series 2003-57, Class B3
|
5.50 | 01/25/34 | 470 | 282,771 | ||||||||||||
Series 2007-11, Class B2
|
6.00 | 08/25/37 | 994 | 530,324 | ||||||||||||
Series 2007-17, Class B1
|
6.24 | 10/25/37 | 1,215 | 775,834 | ||||||||||||
2,098,766 | ||||||||||||||||
Fieldstone Mortgage Investment Corp.
|
||||||||||||||||
Series 2006-3, Class 2A3(d)(i)
|
2.55 | | 11/25/36 | 2,215 | 1,471,201 |
9
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||||
xFirst Horizon Mortgage Pass-Through Trust
|
||||||||||||||||
Series 2005-4, Class B5*(b)
|
5.45 | % | 07/25/35 | $ | 407 | $ | 132,698 | |||||||||
Series 2005-4, Class B6*(b)
|
5.45 | 07/25/35 | 408 | 61,261 | ||||||||||||
193,959 | ||||||||||||||||
First Republic Mortgage Loan Trust
|
||||||||||||||||
Series 2000-FRB1, Class B3
|
2.89 | | 06/25/30 | 196 | 170,839 | |||||||||||
JP Morgan Mortgage Trust
|
||||||||||||||||
Series 2003-A2, Class B4
|
5.09 | | 11/25/33 | 538 | 173,899 | |||||||||||
Residential Finance Limited Partnership
|
||||||||||||||||
Series 2004-B, Class B5*(b)
|
4.14 | | 02/10/36 | 3,331 | 2,136,777 | |||||||||||
Residential Funding Mortgage Securities I, Inc.
|
||||||||||||||||
Series 2004-S1, Class B1
|
5.25 | 02/25/34 | 578 | 300,596 | ||||||||||||
Series 2004-S1, Class B3
|
5.25 | 02/25/34 | 213 | 16,751 | ||||||||||||
Series 2003-S7, Class B2
|
5.50 | 05/25/33 | 648 | 355,226 | ||||||||||||
Series 2003-S7, Class B3(a)
|
5.50 | 05/25/33 | 924 | 323,440 | ||||||||||||
Series 2003-S2, Class B1*(b)
|
5.75 | 02/25/33 | 301 | 217,230 | ||||||||||||
Series 2007-S7, Class M2
|
6.00 | 07/25/37 | 252 | 169,877 | ||||||||||||
1,383,120 | ||||||||||||||||
Resix Finance Ltd. Credit-Linked Notes
|
||||||||||||||||
Series 2005-C, Class B7*(b)
|
5.69 | | 09/10/37 | 3,844 | 1,982,981 | |||||||||||
Series 2004-C, Class B7*(b)
|
6.09 | | 09/10/36 | 1,417 | 993,820 | |||||||||||
Series 2003-D, Class B7*(b)
|
8.34 | | 12/10/35 | 1,828 | 1,420,124 | |||||||||||
Series 2003-CB1, Class B8*(b)
|
9.34 | | 06/10/35 | 1,816 | 1,608,928 | |||||||||||
Series 2006-C, Class B11*(b)
|
9.76 | | 07/15/38 | 996 | 264,637 | |||||||||||
Series 2006-C, Class B12*(b)
|
11.80 | | 07/15/38 | 1,993 | 467,100 | |||||||||||
Series 2004-A, Class B10*(b)
|
14.09 | | 02/10/36 | 816 | 696,369 | |||||||||||
7,433,959 | ||||||||||||||||
Washington Mutual
|
||||||||||||||||
Series 2005-AR2, Class B11*(b)(d)
|
3.59 | | 01/25/45 | 2,813 | 337,574 | |||||||||||
Series 2005-AR2, Class B12*(b)(d)
|
3.59 | | 01/25/45 | 1,780 | 124,622 | |||||||||||
Series 2005-AR2, Class B9(d)
|
3.59 | | 01/25/45 | 1,130 | 225,953 | |||||||||||
Series 2003-S1, Class B4*(b)
|
5.50 | 04/25/33 | 306 | 212,391 | ||||||||||||
900,540 | ||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust
|
||||||||||||||||
Series 2004-6, Class B4
|
5.50 | 06/25/34 | 1,707 | 560,114 | ||||||||||||
Series 2004-6, Class B5
|
5.50 | 06/25/34 | 1,024 | 307,301 | ||||||||||||
Series 2004-6, Class B6
|
5.50 | 06/25/34 | 683 | 122,924 | ||||||||||||
Series 2002-10, Class B6
|
6.00 | 06/25/32 | 445 | 26,706 | ||||||||||||
1,017,045 | ||||||||||||||||
Total Subordinated Collateralized Mortgage Obligations | ||||||||||||||||
(Cost $36,320,481)
|
20,082,210 | |||||||||||||||
Total Non-Agency Residential Mortgage Backed Securities | ||||||||||||||||
(Cost $36,320,481)
|
20,082,210 |
10
Notional | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||||
INTEREST ONLY SECURITIES 5.4%
|
||||||||||||||||
Banc of America Commercial Mortgage Inc.
|
||||||||||||||||
Series 2003-1, Class XP2*(b)(f)
|
1.51 | % | 09/11/36 | $ | 45,455 | $ | 961,323 | |||||||||
Bear Stearns Commercial Mortgage Securities
|
||||||||||||||||
Series 2001-TOP2, Class X2*(b)(f)
|
1.05 | | 02/15/35 | 74,184 | 20,771 | |||||||||||
COMM Commercial Mortgage
|
||||||||||||||||
Class 2001-J2A, Class EIO*(b)(f)
|
3.74 | | 07/16/34 | 10,000 | 2,143,330 | |||||||||||
Commercial Capital Access One, Inc.
|
||||||||||||||||
Series 2001-A, Class T1(f)(h)
|
4.50 | 10/01/12 | 18,000 | 599,400 | ||||||||||||
GMAC Commercial Mortgage Securities, Inc.
|
||||||||||||||||
Series 2003-C1, Class X1*(b)(f)
|
0.54 | | 05/10/36 | 77,459 | 2,950,401 | |||||||||||
GS Mortgage Securities Corp. II
|
||||||||||||||||
Series 2001-ROCK, Class X1*(b)(f)
|
0.38 | | 05/03/18 | 245,165 | 1,590,629 | |||||||||||
Vendee Mortgage Trust
|
||||||||||||||||
Series 1997-2, Class IO(f)
|
0.06 | 06/15/27 | 27,679 | 34,295 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust
|
||||||||||||||||
Series 2002-C2, Class IO1*(b)(f)
|
0.56 | | 11/15/34 | 76,925 | 2,900,469 | |||||||||||
Total Interest Only Securities | ||||||||||||||||
(Cost $11,512,221)
|
11,200,618 | |||||||||||||||
Principal | |||||||||||||||
Interest | Amount | Value | |||||||||||||
Rate | Maturity | (000s) | (Note 2) | ||||||||||||
HIGH YIELD CORPORATE BONDS 12.9% | |||||||||||||||
Basic Industry 3.7% | |||||||||||||||
ACE Hardware Corp.*(b)
|
9.13 | 06/01/16 | 400 | 384,000 | |||||||||||
AK Steel Corp.
|
7.75 | 06/15/12 | 400 | 407,000 | |||||||||||
Arch Western Finance LLC
|
6.75 | 07/01/13 | 400 | 395,000 | |||||||||||
Buckeye Technologies Inc.
|
8.50 | 10/01/13 | 400 | 402,000 | |||||||||||
Chemtura Corp.
|
6.88 | 06/01/16 | 250 | 232,500 | |||||||||||
Crown Americas LLC
|
7.75 | 11/15/15 | 400 | 420,000 | |||||||||||
FireKeepers Development Authority*(b)
|
13.88 | 05/01/15 | 250 | 250,625 | |||||||||||
Freeport Mcmoran Copper & Gold
|
8.38 | 04/01/17 | 400 | 430,000 | |||||||||||
Georgia-Pacific Corp.
|
8.13 | 05/15/11 | 400 | 410,000 | |||||||||||
Hawker Beechcraft Acquisition Co.
|
8.50 | 04/01/15 | 400 | 411,000 | |||||||||||
Momentive Performance
|
9.75 | 12/01/14 | 400 | 371,000 | |||||||||||
Mosaic Co./The*(b)
|
7.38 | 12/01/14 | 250 | 263,750 | |||||||||||
Mueller Water Products Inc.
|
7.38 | 06/01/17 | 250 | 222,500 | |||||||||||
National Oilwell Varco Inc. Series B
|
6.13 | 08/15/15 | 400 | 398,694 | |||||||||||
OPTI Canada Inc.
|
8.25 | 12/15/14 | 400 | 412,000 | |||||||||||
Owens Brockway Glass Container Inc.
|
6.75 | 12/01/14 | 400 | 405,000 | |||||||||||
Peabody Energy Corp.
|
6.88 | 03/15/13 | 250 | 252,500 | |||||||||||
Steel Dynamics Inc.
|
6.75 | 04/01/15 | 250 | 244,375 | |||||||||||
TRW Automotive Inc.*(b)
|
7.25 | 03/15/17 | 400 | 374,000 | |||||||||||
Tube City IMS Corp.
|
9.75 | 02/01/15 | 400 | 382,000 |
11
Principal | |||||||||||||||
Interest | Amount | Value | |||||||||||||
Rate | Maturity | (000s) | (Note 2) | ||||||||||||
HIGH YIELD CORPORATE BONDS (continued) | |||||||||||||||
U.S. Steel Corp.
|
7.00 | % | 02/01/18 | $ | 250 | $ | 249,940 | ||||||||
Westlake Chemical Corp.
|
6.63 | 01/15/16 | 400 | 344,000 | |||||||||||
Total Basic Industry | |||||||||||||||
(Cost $7,670,657)
|
7,661,884 | ||||||||||||||
Capital Goods 1.3% | |||||||||||||||
Alliant Techsystems Inc.
|
6.75 | 04/01/16 | 650 | 641,875 | |||||||||||
Case Corp.
|
7.25 | 01/15/16 | 650 | 651,625 | |||||||||||
Terex Corp.
|
7.38 | 01/15/14 | 400 | 404,000 | |||||||||||
Texas Industries Inc.
|
7.25 | 07/15/13 | 250 | 250,625 | |||||||||||
Transdigm Inc.
|
7.75 | 07/15/14 | 400 | 409,000 | |||||||||||
Trinity Industries Inc.
|
6.50 | 03/15/14 | 250 | 246,250 | |||||||||||
Total Capital Goods | |||||||||||||||
(Cost $2,579,446)
|
2,603,375 | ||||||||||||||
Consumer Cyclical 0.7% | |||||||||||||||
Avis Budget Car Rental LLC
|
7.63 | 05/15/14 | 400 | 360,000 | |||||||||||
Ford Motor Credit Co.
|
7.00 | 10/01/13 | 400 | 336,381 | |||||||||||
Levi Strauss & Co.
|
9.75 | 01/15/15 | 400 | 419,000 | |||||||||||
Phillips-Van Heusen Corp.
|
7.25 | 02/15/11 | 250 | 252,500 | |||||||||||
Total Consumer Cyclical | |||||||||||||||
(Cost $1,433,394)
|
1,367,881 | ||||||||||||||
Consumer Non-Cyclical 1.3% | |||||||||||||||
Constellation Brands Inc.
|
7.25 | 05/15/17 | 400 | 395,000 | |||||||||||
Couche-Tard U.S. LP
|
7.50 | 12/15/13 | 400 | 405,000 | |||||||||||
Delhaize Group
|
6.50 | 06/15/17 | 400 | 409,580 | |||||||||||
Jarden Corp.
|
7.50 | 05/01/17 | 400 | 357,000 | |||||||||||
Service Corp. Intl
|
6.75 | 04/01/16 | 400 | 381,000 | |||||||||||
Stater Brothers Holdings
|
8.13 | 06/15/12 | 400 | 408,000 | |||||||||||
Supervalu Inc.
|
7.50 | 11/15/14 | 400 | 412,000 | |||||||||||
Total Consumer Non-Cyclical | |||||||||||||||
(Cost $2,754,347)
|
2,767,580 | ||||||||||||||
Energy 1.8% | |||||||||||||||
Chesapeake Energy Corp.
|
6.88 | 01/15/16 | 400 | 393,000 | |||||||||||
Consol Energy Inc.
|
7.88 | 03/01/12 | 250 | 263,750 | |||||||||||
El Paso Corp.
|
6.88 | 06/15/14 | 250 | 250,870 | |||||||||||
Ferrellgas LP
|
6.75 | 05/01/14 | 400 | 382,000 | |||||||||||
MarkWest Energy Partners LP*(b)
|
8.75 | 04/15/18 | 250 | 261,875 | |||||||||||
Newfield Exploration Company
|
6.63 | 09/01/14 | 250 | 242,500 | |||||||||||
Pioneer Natural Resources Co.
|
6.65 | 03/15/17 | 250 | 240,079 | |||||||||||
Range Resources Corp.
|
7.50 | 05/15/16 | 400 | 408,000 | |||||||||||
SESI LLC
|
6.88 | 06/01/14 | 400 | 388,000 | |||||||||||
Southwestern Energy Co.*(b)
|
7.50 | 02/01/18 | 250 | 252,576 | |||||||||||
Whiting Petroleum Corp.
|
7.25 | 05/01/13 | 400 | 398,000 | |||||||||||
Williams Companies Inc.*(b)
|
6.38 | 10/01/10 | 250 | 256,250 | |||||||||||
Total Energy | |||||||||||||||
(Cost $3,733,200)
|
3,736,900 | ||||||||||||||
12
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
HIGH YIELD CORPORATE BONDS (continued) | ||||||||||||||||
Finance & Investment 0.2% | ||||||||||||||||
Deluxe Corp.
|
7.38 | % | 06/01/15 | $ | 400 | $ | 364,500 | |||||||||
(Cost $382,000)
|
||||||||||||||||
Media 0.5% | ||||||||||||||||
Charter Communications Operating LLC* (b)
|
8.38 | 04/30/14 | 400 | 393,000 | ||||||||||||
Lamar Media Corp.
|
6.63 | 08/15/15 | 400 | 377,000 | ||||||||||||
Mediacom Broadband LLC
|
8.50 | 10/15/15 | 400 | 363,000 | ||||||||||||
Total Media | ||||||||||||||||
(Cost $1,200,455)
|
1,133,000 | |||||||||||||||
Services Cyclical 1.1% | ||||||||||||||||
AMC Entertainment Inc. Series B
|
8.63 | 08/15/12 | 400 | 414,000 | ||||||||||||
Corrections Corp. of America
|
7.50 | 05/01/11 | 400 | 403,000 | ||||||||||||
Iron Mountain Inc.
|
8.63 | 04/01/13 | 400 | 406,000 | ||||||||||||
Pokagon Gaming Authority*(b)
|
10.38 | 06/15/14 | 373 | 403,772 | ||||||||||||
Seneca Gaming Corp.
|
7.25 | 05/01/12 | 400 | 386,000 | ||||||||||||
Wynn Las Vegas Corp.
|
6.63 | 12/01/14 | 250 | 241,250 | ||||||||||||
Total Services Cyclical | ||||||||||||||||
(Cost $2,270,865)
|
2,254,022 | |||||||||||||||
Services Non-Cyclical 0.7% | ||||||||||||||||
Allied Waste North America Inc.
|
6.88 | 06/01/17 | 400 | 387,000 | ||||||||||||
ARAMARK Corp.
|
8.50 | 02/01/15 | 400 | 409,500 | ||||||||||||
Church & Dwight Company Inc.
|
6.00 | 12/15/12 | 400 | 394,000 | ||||||||||||
HCA Inc.
|
9.25 | 11/15/16 | 250 | 264,063 | ||||||||||||
Total Services Non-Cyclical | ||||||||||||||||
(Cost $1,457,281)
|
1,454,563 | |||||||||||||||
Technology & Electronics 0.9% | ||||||||||||||||
Flextronics International Ltd.
|
6.25 | 11/15/14 | 400 | 382,000 | ||||||||||||
Gamestop Corp.
|
8.00 | 10/01/12 | 390 | 411,450 | ||||||||||||
Itron Inc.
|
7.75 | 05/15/12 | 400 | 388,000 | ||||||||||||
Moog Inc.*(b)
|
7.25 | 06/15/18 | 250 | 251,875 | ||||||||||||
Sungard Data Systems Inc.
|
4.88 | 01/15/14 | 400 | 355,500 | ||||||||||||
Total Technology & Electronics | ||||||||||||||||
(Cost $1,807,001)
|
1,788,825 | |||||||||||||||
Telecommunications 0.7% | ||||||||||||||||
American Tower Corp.*(b)
|
7.00 | 10/15/17 | 400 | 399,000 | ||||||||||||
Cincinnati Bell Inc.
|
8.38 | 01/15/14 | 400 | 398,000 | ||||||||||||
Citizens Communications Co.
|
6.25 | 01/15/13 | 400 | 376,000 | ||||||||||||
Windstream Corp.
|
7.00 | 03/15/19 | 400 | 379,000 | ||||||||||||
Total Telecommunications | ||||||||||||||||
(Cost $1,600,851)
|
1,552,000 | |||||||||||||||
Total High Yield Corporate Bonds | ||||||||||||||||
(Cost $26,889,497)
|
26,684,530 |
13
Value | ||||||||||||||||
Shares | (Note 2) | |||||||||||||||
HIGH YIELD CORPORATE BONDS (continued) | ||||||||||||||||
Common Stocks 0.3% | ||||||||||||||||
MFA Mortgage Investments Incorporated (REIT)
|
||||||||||||||||
(Cost $728,355)
|
100,000 | $ | 727,000 | |||||||||||||
Principal | |||||||||||||||
Interest | Amount | Value | |||||||||||||
Rate | Maturity | (000s) | (Note 2) | ||||||||||||
SHORT TERM INVESTMENTS 4.4% | |||||||||||||||
Federal Home Loan Bank Discount Notes(g)
|
2.05 | % | 06/09/08 | $ | 9,000 | 8,995,900 | |||||||||
United States Treasury Bill(g)
|
3.20 | 06/19/08 | 200 | # | 199,820 | ||||||||||
Total Short Term Investments | |||||||||||||||
(Cost $9,195,580)
|
9,195,720 | ||||||||||||||
Total Investments 128.4% | |||||||||||||||
(Cost $316,346,464)
|
266,591,003 | ||||||||||||||
Liabilities in Excess of Other Assets (28.4)%
|
(58,989,044 | ) | |||||||||||||
NET ASSETS 100.0%
|
$ | 207,601,959 | |||||||||||||
@
|
| Portion or entire principal amount delivered as collateral for reverse repurchase agreements. (Note 6) | ||
*
|
| 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. | ||
|
| Variable Rate Security: Interest rate is the rate in effect May 31, 2008. | ||
#
|
| Portion or entire principal delivered as collateral for futures contracts. (Note 8) | ||
^
|
| Portion or entire principal delivered as collateral for swap contracts. (Note 8) | ||
(a)
|
| Represents a class of subordinated mortgage backed securities (First Loss Bonds) that are the first to receive credit losses on the underlying mortgage pools and will continue to receive the credit losses until the subordinated class is paid off. | ||
(b)
|
| Private placement. | ||
(c)
|
| This issue is currently making only partial interest payments. | ||
(d)
|
| Security is a step up bond where coupon increases or steps up at a predetermined date. At that date the coupon increases to LIBOR plus a predetermined margin. | ||
(e)
|
| Security is a step up bond where coupon increases or steps up at a predetermined date. Rates shown are current coupon and next coupon rate when security steps up. | ||
(f)
|
| Interest rate is based on the notional amount of the underlying mortgage pools. | ||
(g)
|
| Zero Coupon Note Interest rate represents current yield to maturity. | ||
(h)
|
| Security valued in good faith pursuant to fair value procedures adopted by the Board of Directors. As of May 31, 2008, the total value of all such securities was $823,867 or 0.4% of net assets. | ||
(i)
|
| Investment in sub-prime security. As of May 31, 2008 the total value of all such investments was $13,274,669 or 6.4% of net assets. | ||
CDO
|
| Collateralized Debt Obligation | ||
REIT
|
| Real Estate Investment Trust |
14
Assets: | ||||||
Investments in securities, at market (cost $316,346,464)
(Note 2)
|
$ | 266,591,003 | ||||
Cash
|
434,491 | |||||
Cash collateral held for margin requirement on swap contracts
and futures
|
238,000 | |||||
Receivable for investments sold
|
525,491 | |||||
Principal paydown receivable
|
48,417 | |||||
Interest receivable
|
2,192,336 | |||||
Receivable for variation margin
|
16,000 | |||||
Unrealized appreciation on swaps contracts (Note 8)
|
736,989 | |||||
Prepaid expenses
|
122,782 | |||||
Total assets
|
270,905,509 | |||||
Liabilities:
|
||||||
Reverse repurchase agreements (Note 6)
|
51,033,250 | |||||
Interest payable for reverse repurchase agreements (Note 6)
|
48,023 | |||||
Payable for investments purchased
|
250,000 | |||||
Unrealized depreciation on swaps contracts (Note 8)
|
11,793,628 | |||||
Investment advisory fee payable (Note 4)
|
115,107 | |||||
Administration fee payable (Note 4)
|
36,750 | |||||
Accrued expenses
|
26,792 | |||||
Total liabilities
|
63,303,550 | |||||
Net Assets (equivalent to $6.72 per share based on
30,887,212 shares issued and outstanding)
|
$ | 207,601,959 | ||||
Composition of Net Assets:
|
||||||
Capital stock, at par value ($0.01, 50,000,000 shares
authorized) (Note 7)
|
$ | 308,872 | ||||
Additional paid-in capital (Note 7)
|
296,905,655 | |||||
Undistributed net investment income
|
1,248,657 | |||||
Accumulated net realized loss
|
(29,810,881 | ) | ||||
Net unrealized depreciation on investments, swap contracts
and futures
|
(61,050,344 | ) | ||||
Net assets applicable to capital stock outstanding
|
$ | 207,601,959 | ||||
15
Investment Income (Note 2):
|
|||||||
Interest
|
$ | 11,479,441 | |||||
Dividends
|
46,750 | ||||||
11,526,191 | |||||||
Expenses:
|
|||||||
Investment advisory fee (Note 4)
|
724,052 | ||||||
Administration fees (Note 4)
|
226,785 | ||||||
Tax expense
|
91,707 | ||||||
Insurance
|
91,611 | ||||||
Reports to stockholders
|
80,661 | ||||||
Legal
|
47,445 | ||||||
Directors fees
|
38,802 | ||||||
Custodian
|
34,681 | ||||||
Audit and tax services
|
31,000 | ||||||
Transfer agency
|
19,264 | ||||||
Registration fees
|
15,661 | ||||||
Miscellaneous
|
23,332 | ||||||
Total operating expenses
|
1,425,001 | ||||||
Interest expense on reverse repurchase agreements (Note 6)
|
1,053,335 | ||||||
Total expenses
|
2,478,336 | ||||||
Net investment income
|
9,047,855 | ||||||
Realized and Unrealized Gain (Loss) on Investments
(Notes 2 and 8):
|
|||||||
Net realized gain/(loss) on:
|
|||||||
Investment transactions
|
(2,620,884 | ) | |||||
Swap contracts
|
1,663,439 | ||||||
Futures transactions
|
608,183 | ||||||
Net realized loss on investment transactions, swap contracts,
and futures transactions
|
(349,262 | ) | |||||
Net change in unrealized appreciation/depreciation on:
|
|||||||
Investments
|
(25,686,461 | ) | |||||
Swap contracts
|
(4,701,618 | ) | |||||
Futures
|
(342,730 | ) | |||||
Net change in unrealized depreciation on investments, swap
contracts and futures
|
(30,730,809 | ) | |||||
Net realized and unrealized loss on investments, swap contracts
and futures
|
(31,080,071 | ) | |||||
Net decrease in net assets resulting from operations
|
$ | (22,032,216 | ) | ||||
16
For the Six Months | ||||||||||
Ended | For the Year | |||||||||
May 31, 2008 | Ended | |||||||||
(Unaudited) | November 30, 2007 | |||||||||
Increase (Decrease) in Net Assets Resulting from
Operations:
|
||||||||||
Net investment income
|
$ | 9,047,855 | $ | 21,777,185 | ||||||
Net realized loss on investment transactions, swap contracts,
and futures transactions
|
(349,262 | ) | (8,294,859 | ) | ||||||
Net change in unrealized depreciation on investments, swap
contracts and futures
|
(30,730,809 | ) | (31,050,119 | ) | ||||||
Net decrease in net assets resulting from operations
|
(22,032,216 | ) | (17,567,793 | ) | ||||||
Dividends to Stockholders (Note 2):
|
||||||||||
Net investment income
|
(12,036,097 | ) | (22,844,040 | ) | ||||||
Capital Stock Transactions (Note 7):
|
||||||||||
Net asset value of shares issued through dividend reinvestment
(33,512 and 39,528 shares, respectively)
|
229,370 | 353,379 | ||||||||
Cost of shares repurchased (0 and 30,000
shares, respectively)
|
| (204,400 | ) | |||||||
Net increase from capital stock transactions
|
229,370 | 148,979 | ||||||||
Total decrease in net assets
|
(33,838,943 | ) | (40,262,854 | ) | ||||||
Net Assets:
|
||||||||||
Beginning of period
|
241,440,902 | 281,703,756 | ||||||||
End of period (including undistributed net investment income of
$1,248,657 and $3,721,054, respectively)
|
$ | 207,601,959 | $ | 241,440,902 | ||||||
17
Increase (Decrease) in Cash:
|
||||||
Cash flows provided by (used for) operating activities:
|
||||||
Net decrease in net assets resulting from operations
|
$ | (22,032,216 | ) | |||
Adjustments to reconcile net decrease in net assets from
operations to net cash provided by operating activities:
|
||||||
Purchases of long-term portfolio investments
|
(20,417,603 | ) | ||||
Proceeds from disposition of long-term portfolio investments and
principal paydowns
|
34,638,905 | |||||
Purchases of short-term portfolio investments, net
|
(5,937,284 | ) | ||||
Decrease in interest and dividend receivable
|
319,145 | |||||
Increase in receivable for investments sold
|
(525,491 | ) | ||||
Decrease in principal paydowns receivable
|
278,744 | |||||
Decrease in net swap premiums paid
|
331,250 | |||||
Increase in prepaid expenses
|
(92,064 | ) | ||||
Increase in variation margin receivable
|
(8,281 | ) | ||||
Decrease in interest payable for reverse
repurchase agreements
|
(71,833 | ) | ||||
Increase in payable for investments purchased
|
250,000 | |||||
Decrease in investment advisory fee payable
|
(16,897 | ) | ||||
Decrease in administration fee payable
|
(4,532 | ) | ||||
Increase in accrued expenses
|
26,792 | |||||
Net amortization and paydown losses on investments
|
1,376,311 | |||||
Unrealized depreciation on investments
|
25,686,461 | |||||
Unrealized depreciation on swaps
|
4,701,618 | |||||
Net realized loss on investment transactions
|
2,620,884 | |||||
Net cash provided by operating activities
|
21,123,909 | |||||
Cash flows used for financing activities:
|
||||||
Payment on shares redeemed
|
(204,400 | ) | ||||
Net cash used for reverse repurchase agreements
|
(9,015,750 | ) | ||||
Dividends paid to shareholders, net of reinvestments
|
(11,806,727 | ) | ||||
Net cash used for financing activities
|
(21,026,877 | ) | ||||
Net increase in cash
|
97,032 | |||||
Cash at beginning of period
|
575,459 | |||||
Cash at end of period
|
$ | 672,491 | ||||
18
For the | |||||||||||||||||||||||||
Six Months | |||||||||||||||||||||||||
Ended | For the Year Ended November 30, | ||||||||||||||||||||||||
May 31, 2008 | |||||||||||||||||||||||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per Share Operating Performance:
|
|||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 7.83 | $ | 9.13 | $ | 8.90 | $ | 9.15 | $ | 9.29 | $ | 9.24 | |||||||||||||
Net investment income
|
0.29 | 0.71 | 0.66 | 0.79 | 0.79 | 0.85 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments,
short sales, futures transactions and swap contracts
|
(1.01 | ) | (1.27 | ) | 0.29 | (0.21 | ) | (0.03 | ) | 0.10 | |||||||||||||||
Net increase (decrease) in net asset value resulting from
operations
|
(0.72 | ) | (0.56 | ) | 0.95 | 0.58 | 0.76 | 0.95 | |||||||||||||||||
Net effect of shares repurchased
|
| 0.00 | * | | | | | ||||||||||||||||||
Dividends from net investment income
|
(0.39 | ) | (0.74 | ) | (0.72 | ) | (0.83 | ) | (0.90 | ) | (0.90 | ) | |||||||||||||
Net asset value, end of period
|
$ | 6.72 | $ | 7.83 | $ | 9.13 | $ | 8.90 | $ | 9.15 | $ | 9.29 | |||||||||||||
Market price, end of period
|
$ | 7.00 | $ | 7.17 | $ | 9.19 | $ | 8.22 | $ | 10.29 | $ | 10.16 | |||||||||||||
Total Investment Return+
|
3.21% | (1) | (14.79 | )% | 21.37% | (12.63 | )% | 11.31% | 20.43% | ||||||||||||||||
Ratios to Average Net Assets/ Supplementary Data:
|
|||||||||||||||||||||||||
Net assets, end of period (000s)
|
$ | 207,602 | $ | 241,441 | $ | 281,704 | $ | 274,210 | $ | 281,535 | $ | 285,149 | |||||||||||||
Operating expenses
|
1.28% | (2) | 1.08% | 1.14% | 1.08% | 1.10% | 1.15% | ||||||||||||||||||
Interest expense
|
0.95% | (2) | 1.21% | 1.76% | 1.41% | 0.61% | 0.47% | ||||||||||||||||||
Total expenses
|
2.23% | (2) | 2.29% | 2.90% | 2.49% | 1.71% | 1.62% | ||||||||||||||||||
Net investment income
|
8.12% | (2) | 8.11% | 7.36% | 8.68% | 8.55% | 9.10% | ||||||||||||||||||
Portfolio turnover rate
|
7% | (1) | 48% | 81% | 43% | 80% | 89% |
+ | Total investment return is computed based upon the New York Stock Exchange market price of the Funds shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Funds dividend reinvestment plan. |
* | Rounds to less than $0.01. |
(1) | Not Annualized |
(2) | Annualized |
19
| 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 Funds own assumptions in determining the fair value of investments) |
20
Other | |||||||||
Investments in | Financial | ||||||||
Valuation Inputs | Securities | Instruments* | |||||||
Level 1 Quoted Prices
|
$ | 727,000 | $ | (238,244 | ) | ||||
Level 2 Other Significant Observable Inputs
|
265,040,136 | (11,056,639 | ) | ||||||
Level 3 Significant Unobservable Inputs
|
823,867 | 0 | |||||||
Total
|
$ | 266,591,003 | $ | (11,294,883 | ) | ||||
Other | ||||||||
Investments in | Financial | |||||||
Securities | Instruments* | |||||||
Balance as of December 1, 2007
|
$ | 9,211,599 | $ | | ||||
Accrued discounts/premiums
|
(347,498 | ) | | |||||
Realized gain (loss)
|
(86,053 | ) | | |||||
Change in unrealized appreciation (depreciation)
|
(135,153 | ) | | |||||
Net purchases (sales)
|
(5,350,026 | ) | | |||||
Transfers in and/or out of Level 3
|
(2,469,002 | ) | | |||||
Balance as of May 31, 2008
|
$ | 823,867 | $ | | ||||
21
22
23
Maturity | |||||||||
Face Value | Description | Amount | |||||||
$ | 6,868,000 | Credit Suisse 2.24%, dated 05/19/08, maturity date 06/17/08 | $ | 6,880,393 | |||||
2,747,000 | Credit Suisse 5.24%, dated 05/20/08, maturity date 06/19/08 | 2,758,995 | |||||||
8,238,000 | Credit Suisse 5.24%, dated 05/20/08, maturity date 06/10/08 | 8,263,181 | |||||||
4,380,000 | Credit Suisse 5.24%, dated 05/20/08, maturity date 06/19/08 | 4,399,126 | |||||||
2,214,000 | Credit Suisse 2.24%, dated 05/22/08, maturity date 06/25/08 | 2,218,684 | |||||||
2,478,000 | Credit Suisse 2.24%, dated 05/22/08, maturity date 06/25/08 | 2,483,242 | |||||||
8,897,000 | Credit Suisse 2.24%, dated 05/22/08, maturity date 06/25/08 | 8,915,822 | |||||||
4,280,000 | Lehman Brothers 2.25%, dated 05/22/08, maturity date 06/23/08 | 4,288,560 | |||||||
5,700,000 | Lehman Brothers 2.25%, dated 05/22/08, maturity date 06/23/08 | 5,711,400 | |||||||
5,231,250 | Merrill Lynch 2.50%, dated 05/29/08, maturity date 06/17/08 | 5,238,152 | |||||||
$ | 51,033,250 | ||||||||
Maturity Amount, Including Interest Payable | $ | 51,157,555 | |||||||
Market Value of Assets Sold Under Agreements | $ | 53,395,488 | |||||||
Weighted Average Interest Rate | 3.5381% | ||||||||
24
25
Net Unrealized | ||||||||||||
Expiration | Appreciation/ | |||||||||||
Notional Amount | Date | Description | (Depreciation) | |||||||||
$ | 5,000,000 | 10/15/48 | Agreement with Bear Stearns, dated 11/28/06 to receive monthly the notional amount multiplied by 0.75% and to pay only in the event of a write-down, or failure to pay a principal payment or an interest shortfall on WBCMT 2006-C28J. | $ | (3,049,033 | ) | ||||||
2,500,000 | 09/11/42 | Agreement with Bear Stearns, dated 11/02/05 to receive monthly the notional amount multiplied by 2.10% and to pay only in the event of a write-down, or failure to pay a principal payment or an interest shortfall on BSCMS 2005-PWR9K. | (1,568,610 | ) | ||||||||
5,000,000 | 10/12/41 | Agreement with Greenwich Capital, dated 12/01/06 to receive monthly the notional amount multiplied by 0.75% and to pay only in the event of a write-down, or failure to pay a principal payment or an interest shortfall on BSCMS 2006-T24H. | (2,474,869 | ) | ||||||||
5,000,000 | 08/12/41 | Agreement with Greenwich Capital, dated 12/01/06 to receive monthly the notional amount multiplied by 0.75% and to pay only in the event of a write-down, or failure to pay a principal payment or an interest shortfall on MSC 2006-T23H. | (2,984,970 | ) | ||||||||
5,000,000 | 02/15/39 | Agreement with Royal Bank of Scotland, dated 08/11/06 to receive monthly the notional amount multiplied by 1.08% and to pay only in the event of a write-down, or failure to pay a principal payment or an interest shortfall on CSMC 2006-C1K. | (1,579,414 | ) | ||||||||
4,000,000 | 11/8/09 | Agreement with JP Morgan Chase, dated 11/06/07 to pay semi-annually the notional amount multiplied by 4.45% and receive quarterly the notional amount multiplied by 3 month USD-LIBOR-BBA. | (65,945 | ) | ||||||||
4,500,000 | 11/7/09 | Agreement with JP Morgan Chase, dated 11/05/07 to pay semi-annually the notional amount multiplied by 4.40% and receive quarterly the notional amount multiplied by 3 month USD-LIBOR-BBA. | (70,787 | ) | ||||||||
20,000,000 | 04/10/12 | Agreement with JP Morgan Chase, dated 03/28/07 to receive semi- annually the notional amount multiplied by 4.96% and pay quarterly the notional amount multiplied by 3 month USD-LIBOR-BBA. | 736,989 | |||||||||
$ | (11,056,639 | ) | ||||||||||
Notional | Expiration | Cost at | Value at | Unrealized | ||||||||||||||||
Amount | Type | Date | Trade Date | May 31, 2008 | Depreciation | |||||||||||||||
$ | 700,000 | 10 Yr. U.S. Treasury Note | September 2008 | $ | 800,888 | $ | 786,844 | $ | (14,044 | ) | ||||||||||
15,200,000 | 5 Yr. U.S. Treasury Note | September 2008 | 16,934,700 | 16,710,500 | (224,200 | ) | ||||||||||||||
$ | 15,900,000 | $ | 17,735,588 | $ | 17,497,344 | $ | (238,244 | ) | ||||||||||||
26
Undistributed Ordinary Income
|
$ | 1,310,394 | |||
Capital loss carryforward
|
(30,049,125 | ) | |||
Book basis unrealized depreciation
|
(61,050,344 | ) | |||
Plus: Cumulative timing differences
|
176,507 | ||||
Net unrealized depreciation on investments and
swap contracts
|
(60,873,837 | ) | |||
Total tax basis net accumulated losses
|
$ | (89,612,568 | ) | ||
Dividend | Record | Payable | ||||||||
Per Share | Date | Date | ||||||||
$ | 0.065 | 06/17/08 | 06/26/08 | |||||||
0.065 | 07/15/08 | 07/24/08 |
27
28
Shares Voted | Shares Voted | Shares Voted | ||||
For | Against | Abstain | ||||
1. To elect to the Funds Board of Directors
Louis P. Salvatore |
28,029,352 | 0 | 486,193 |
Shares Voted | Shares Voted | Shares Voted | ||||
For | Against | Abstain | ||||
2. To elect to the Funds Board of Directors
Clifford E. Lai |
28,017,607 | 0 | 497,937 | |||
29
30
31
Position(s) Held with | Number of | |||||||
Fund and Term of | Portfolios in Fund | |||||||
Name, Address | Office and Length of | Principal Occupation(s) During Past 5 Years | Complex Overseen | |||||
and Age | Time Served | and Other Directorships Held by Director | by Director | |||||
Disinterested Director | ||||||||
Class II Director to serve until 2010 Annual Meeting of Stockholders: | ||||||||
Rodman L. Drake
c/o Three World Financial Center, 200 Vesey Street, 10th Floor, New York, New York 10281-1010 Age 65 |
Chairman Elected December 2003 Director since July 1989, Member of the Audit Committee, Chairman of the Nominating and Compensation Committee Elected for Three Year Term |
Chairman (since 2003) and Director of several investment companies advised by the Advisor or by its affiliates (1989-Present); Director, and/or Lead Director of Crystal River Capital, Inc. (CRZ) (2005-Present); Director of Celgene Corporation (CELG) (April 2006- Present); Director of Student Loan Corporation (STU) (2005-Present); Director of Apex Silver Corp. (SIL) (2007-Present); General Partner of Resource Capital Fund II & III CIP L.P. (1998-2006); Co-founder of Baringo Capital LLC (2002-Present); Director of Jackson Hewitt Tax Services Inc. (JTX) (2004-Present); Director of Animal Medical Center (2002-Present); Director and/or Lead Director of Parsons Brinckerhoff, Inc. (1995-2008); Trustee and Chairman of Excelsior Funds (1994-2007); Trustee of Columbia Atlantic Funds (2007-Present). | 4 | |||||
Disinterested Directors | ||||||||
Class I Directors to serve until 2009 Annual Meeting of Stockholders: | ||||||||
Robert F. Birch
c/o Three World Financial Center, 200 Vesey Street, 10th Floor, New York, New York 10281-1010 Age 72 |
Director since December 1998, Member of the Audit Committee,
Member of the Nominating and Compensation Committee, Member of
the Executive Committee Elected for Three Year Term |
Director of several investment companies advised by the Advisor or by its affiliates (1998-Present); President and Director of New America High Income Fund (1992-Present); Director of Brandywine Funds (3) (2001-Present). | 4 | |||||
Stuart A. McFarland
c/o Three World Financial Center, 200 Vesey Street, 10th Floor, New York, New York 10281-1010 Age 61 |
Director since April 2006, Member of the Audit Committee, Member
of the Nominating and Compensation Committee Elected for Three Year Term |
Director of several investment companies advised by the Advisor or its affiliates (2006- Present); Director of Brandywine Funds (2003- Present); Director of New Castle Investment Corp. (2000-Present); Chairman and Chief Executive Officer of Federal City Bancorp, Inc. (2005-2007); Managing Partner of Federal City Capital Advisors (1997-Present). | 4 |
32
Position(s) Held with | Number of | |||||||
Fund and Term of | Portfolios in Fund | |||||||
Name, Address | Office and Length of | Principal Occupation(s) During Past 5 Years | Complex Overseen | |||||
and Age | Time Served | and Other Directorships Held by Director | by Director | |||||
Interested Director | ||||||||
Class III Director to serve until 2011 Annual Meeting of Stockholders: | ||||||||
Clifford E. Lai*
c/o Three World Financial Center, 200 Vesey Street, 10th Floor, New York, New York 10281-1010 Age 55 |
Director since December 2003, Member of the Executive
Committee Elected for Three Year Term |
Managing Partner of Brookfield Asset Management, Inc. (2006-Present); Chairman (2005-Present); Chief Executive Officer (1998-2007); President (1998-2006) and Chief Investment Officer (1993-2002) of the Advisor; President (2005-2008), Chief Executive Officer (2005-2008) and Director of Crystal River Capital, Inc., (CRZ) (2005-Present); President and Director of several investment companies advised by the Advisor or by its affiliates (1995-Present); and Co-Chairman (2003-2006) and Board of Managers (1995-2006) of Hyperion GMAC Capital Advisors, LLC (formerly Lend Lease Hyperion Capital Advisors, LLC). | 4 | |||||
Disinterested Director | ||||||||
Class III Director to serve until 2011 Annual Meeting of Stockholders: | ||||||||
Louis P. Salvatore
c/o Three World Financial Center, 200 Vesey Street, 10th Floor, New York, New York 10281-1010 Age 61 |
Director since September 2005, Chairman of the Audit Committee,
Member of the Compensation and Nominating Committee Elected for Two Year Term |
Director of several investment companies advised by the Advisor or by its affiliates (2005- Present); Director of Crystal River Capital, Inc. (CRZ) (2005-Present); Director of Turner Corp. (2003-Present); Director of Jackson Hewitt Tax Services, Inc. (JTX) (2004- Present); Employee of Arthur Andersen LLP (2002-Present); Partner of Arthur Andersen LLP (1977- 2002). | 4 |
* | Interested person as defined by the Investment Company Act of 1940 (the 1940 Act) because of affiliations with Hyperion Brookfield Asset Management, Inc., the Funds Advisor. |
33
Name, Address | Position(s) | Term of Office and | Principal Occupation(s) | |||
and Age | Held with Fund | Length of Time Served | During Past 5 Years | |||
Clifford E. Lai*
c/o Three World Financial Center, 200 Vesey Street, 10th floor, New York, New York 10281-1010 Age 55 |
President |
Elected Annually Since April 1993 |
Please see Information Concerning Directors. | |||
John J. Feeney, Jr.*
c/o Three World Financial Center, 200 Vesey Street, 10th floor, New York, New York 10281-1010 Age 49 |
Vice President | Elected Annually Since July 2007 | Director (2002-Present), Chief Executive Officer (February 2007-Present), President (2006- Present) and Director of Marketing (1997-2006) of the Advisor; Vice President of several investment companies advised by the Advisor (July 2007-Present); Executive Vice President and Secretary of Crystal River Capital, Inc. (CRZ) (2005-2007). | |||
Thomas F. Doodian*
c/o Three World Financial Center, 200 Vesey Street, 10th floor, New York, New York 10281-1010 Age 49 |
Treasurer | Elected Annually Since February 1998 | Managing Director of Brookfield Operations and Management Services, LLC (2007-Present); Managing Director, Chief Operating Officer (1998-2006) and Chief Financial Officer (2002- 2006) of the Advisor; Treasurer of several investment companies advised by the Advisor (1996-Present); Treasurer of Hyperion GMAC Capital Advisors, LLC (formerly, Lend Lease Hyperion Capital Advisors, LLC) (1996-2006). | |||
Jonathan C. Tyras*
c/o Three World Financial Center, 200 Vesey Street, 10th floor, New York, New York 10281- 1010 Age 39 |
Secretary | Elected Annually Since November 2006 | Director, General Counsel and Secretary (October 2006-Present) of the Advisor; Vice President and General Counsel (November 2006- Present), Assistant Secretary (November 2006- January 2007), Secretary (February 2007- Present) of Crystal River Capital, Inc. (CRZ); Secretary of several investment companies advised by the Advisor (November 2006- Present); Attorney at Paul, Hastings, Janofsky & Walker LLP (1998-October 2006). | |||
Josielyne K. Pacifico*
c/o Three World Financial Center, 200 Vesey Street, 10th floor, New York, New York 10281-1010 Age 35 |
Chief Compliance Officer (CCO) | Elected Annually Since August 2006 | Director and CCO (September 2006-Present), Assistant General Counsel (July 2006-present); and Compliance Officer (July 2005-August 2006) of the Advisor; CCO of several investment companies advised by the Advisor (November 2006-Present); Assistant Secretary of Crystal River Capital, Inc. (CRZ) (April 2007- Present); Compliance Manager of Marsh & McLennan Companies (2004-2005); Staff Attorney at the United States Securities and Exchange Commission (2001-2004). |
* | Interested person as defined by the Investment Company Act of 1940 (the 1940 Act) because of affiliations with Hyperion Brookfield Asset Management, Inc., the Funds Advisor. |
34
35
Rodman L. Drake* | ||
Chairman | ||
Robert F. Birch* | ||
Director | ||
Stuart A. McFarland* | ||
Director | ||
Louis P. Salvatore* | ||
Director | ||
Clifford E. Lai | ||
Director and President | ||
John J. Feeney, Jr. | ||
Vice President | ||
Thomas F. Doodian | ||
Treasurer | ||
Jonathan C. Tyras | ||
Secretary | ||
Josielyne K. Pacifico | ||
Chief Compliance Officer |
* Audit Committee Members |
|
||
|
||
The Financial information included herein is taken from records of the Fund without audit by the Funds independent auditors, who do not express an opinion thereon. |
The Hyperion Brookfield Total Return Fund, Inc. | ||
Three World Financial Center | ||
200 Vesey Street, 10th Floor | ||
New York, NY 10281-1010 |
By: | /s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
By: | /s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
By: | /s/ Thomas F. Doodian | |||
Thomas F. Doodian | ||||
Treasurer and Principal Financial Officer | ||||