N-Q 1 brookfield_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
 
As filed with the Securities and Exchange Commission on November 29, 2016



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 811-22773


Brookfield Mortgage Opportunity Income 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: June 30, 2017


Date of reporting period:  September 30, 2016



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.

BROOKFIELD MORTGAGE OPPORTUNITY INCOME FUND INC.
                    
Schedule of Investments (Unaudited)
                    
September 30, 2016
                    
   
Interest
Rate
  
Maturity
  
Principal
Amount
(000s)
    
Value
  
RESIDENTIAL MORTGAGE RELATED HOLDINGS - 77.1%
                    
Non-Agency Mortgage-Backed Securities - 77.1%
                    
ACE Securities Corp. Home Equity Loan Trust
                    
   Series 2006-OP1, Class A2D 1,2
    
0.77
%
04/25/36
  
$
6,740
    
$
4,851,495
  
Alternative Loan Trust
                          
   Series 2007-OA3, Class 1A1 1,2,3
    
0.67
  
04/25/47
    
9,077
      
7,733,923
  
   Series 2006-OA17, Class 1A1A 1,2,3
    
0.73
  
12/20/46
    
4,282
      
3,114,981
  
   Series 2006-OA2, Class A1 1,2,3
    
0.74
  
05/20/46
    
4,490
      
3,266,082
  
   Series 2007-2CB, Class 2A11 2
    
0.93
  
03/25/37
    
6,093
      
3,498,742
  
   Series 2006-19CB, Class A9 2
    
1.23
  
08/25/36
    
4,851
      
3,086,927
  
   Series 2007-15CB, Class A2
    
5.75
  
07/25/37
    
2,114
      
1,850,147
  
   Series 2007-15CB, Class A5
    
5.75
  
07/25/37
    
1,946
      
1,703,026
  
   Series 2006-45T1, Class 2A5 3
    
6.00
  
02/25/37
    
4,509
      
3,573,991
  
   Series 2006-29T1, Class 2A6 3
    
6.50
  
10/25/36
    
4,403
      
3,800,693
  
   Series 2006-23CB, Class 2A7 2,4,5
                          
   (Acquired 05/31/13, $2,975,482, 0.9%)
    
26.30
  
08/25/36
    
2,137
      
3,503,980
  
Banc of America Funding Trust
                          
   Series 2006-G, Class 3A2 2
    
3.31
  
07/20/36
    
6,699
      
6,546,556
  
BCAP LLC Trust
                          
   Series 2010-RR5, Class 5A10 1,2,6
    
0.84
  
11/26/35
    
6,733
      
5,346,560
  
   Series 2010-RR6, Class 1910 1,2,6
    
0.84
  
11/26/35
    
8,440
      
6,681,590
  
   Series 2012-RR4, Class 5A6 4,6
                          
   (Acquired 09/15/14 - 08/01/16, Cost $2,936,826, 0.7%)
    
2.60
  
05/26/36
    
3,723
      
2,847,728
  
   Series 2013-RR2, Class 3A2 4,6
                          
   (Acquired 05/12/14, Cost $6,926,404, 1.7%)
    
2.96
  
03/26/36
    
6,915
      
6,468,331
  
BXHTL Mortgage Trust
                          
   Series 2015-JWRZ, Class DR2 2,4,6
                          
   (Acquired 06/19/15, Cost $3,640,380, 0.9%)
    
4.21
  
05/15/29
    
3,750
      
3,587,823
  
Chase Mortgage Finance Trust
                          
   Series 2005-A2, Class 3A2 2
    
2.63
  
01/25/36
    
3,242
      
2,962,612
  
CHL Mortgage Pass-Through Trust
                          
   Series 2006-HYB5, Class 3A1A
    
3.09
  
09/20/36
    
1,133
      
900,487
  
   Series 2006-HYB5, Class 3A1B
    
3.09
  
09/20/36
    
5,213
      
4,144,720
  
Citigroup Mortgage Loan Trust
                          
   Series 2012-6, Class 2A2 6
    
2.77
  
08/25/36
    
8,703
      
7,413,468
  
   Series 2007-AR5, Class 1A2A
    
3.01
  
04/25/37
    
3,273
      
2,983,567
  
   Series 2009-6, Class 19A2 4,6
                          
   (Acquired 06/05/13 - 05/01/14, Cost $3,445,755, 0.9%)
    
6.00
  
03/25/36
    
4,357
      
3,330,394
  
Credit Suisse Mortgage Trust
                          
   Series 2011-10R, Class 3A2 6
    
3.02
  
09/27/36
    
4,744
      
4,082,943
  
First Horizon Alternative Mortgage Securities Trust
                          
   Series 2005-FA8, Class 1A6 2
    
1.18
  
11/25/35
    
3,321
      
2,232,307
  
   Series 2005-FA9, Class A1 2,3
    
1.23
  
12/25/35
    
3,038
      
2,030,113
  
GMACM Home Equity Loan Trust
                          
   Series 2007-HE2, Class A3
    
6.19
  
12/25/37
    
3,913
      
3,846,258
  
GMACM Home Loan Trust
                          
   Series 2006-HLTV, Class A5 1
    
6.01
  
10/25/29
    
3,159
      
3,243,772
  
Greenpoint Manufactured Housing
                          
   Series 1999-1, Class A5
    
6.77
  
08/15/29
    
5,678
      
5,565,501
  
   Series 1999-3, Class 1A7
    
7.27
  
06/15/29
    
4,091
      
4,068,896
  
GSAMP Trust
                          
   Series 2006-NC2, Class A2C 1,2
    
0.68
  
06/25/36
    
840
      
516,898
  
   Series 2006-HE8, Class A2C 1,2
    
0.70
  
01/25/37
    
8,730
      
7,221,281
  
Home Equity Asset Trust
                          
   Series 2006-7, Class 2A3 1,2
    
0.68
  
01/25/37
    
9,468
      
6,875,152
  
Hyatt Hotel Portfolio Trust
                          
   Series 2015-HYT, Class E 1,2,3,6
    
4.32
  
11/15/29
    
7,950
      
7,878,486
  
IndyMac INDA Mortgage Loan Trust
                          
 
 
   Series 2007-AR1, Class 1A1
    
3.16
  
03/25/37
    
3,316
      
3,178,892
  
   Series 2007-AR3, Class 1A1 2
    
3.37
  
07/25/37
    
4,994
      
4,405,803
  
IXIS Real Estate Capital Trust
                          
   Series 2007-HE1, Class A1 1,2
    
0.59
  
05/25/37
    
3,154
      
1,202,578
  
   Series 2007-HE1, Class A2 1,2
    
0.64
  
05/25/37
    
5,021
      
1,937,251
  
   Series 2006-HE2, Class A3 1,2
    
0.69
  
08/25/36
    
7,814
      
3,127,109
  
   Series 2007-HE1, Class A3 1,2
    
0.69
  
05/25/37
    
1,548
      
604,233
  
   Series 2007-HE1, Class A4 1,2
    
0.76
  
05/25/37
    
2,935
      
1,164,158
  
   Series 2006-HE1, Class A4 1,2
    
0.83
  
03/25/36
    
647
      
415,865
  
JP Morgan Resecuritization Trust
                          
   Series 2012-2, Class 1A8 4,6
                          
   (Acquired 06/25/14 - 05/01/16, Cost $5,096,368, 1.3%)
    
2.76
  
03/26/37
    
5,768
      
4,918,062
  
Lehman ABS Manufactured Housing Contract Trust
                          
   Series 2001-B, Class M1
    
6.63
  
04/15/40
    
5,300
      
5,631,541
  
MASTR Asset Backed Securities Trust
                          
   Series 2006-NC3, Class A3 1,2
    
0.63
  
10/25/36
    
2,170
      
1,338,851
  
   Series 2006-NC2, Class A4 1,2
    
0.68
  
08/25/36
    
10,041
      
5,218,031
  
   Series 2006-NC3, Class A4 1,2
    
0.69
  
10/25/36
    
7,576
      
4,730,219
  
   Series 2006-HE5, Class A3 1,2
    
0.69
  
11/25/36
    
13,663
      
8,962,649
  
   Series 2005-NC2, Class A4 1,2
    
1.23
  
11/25/35
    
7,039
      
4,875,842
  
Mid-State Trust X
                          
   Series 10, Class B
    
7.54
  
02/15/36
    
3,044
      
3,287,187
  
Nomura Resecuritization Trust
                          
   Series 2013-1R, Class 3A12 1,2,6
    
0.68
  
10/26/36
    
16,637
      
14,799,262
  
   Series 2014-1R, Class 2A11 2,6
    
0.82
  
02/26/37
    
15,305
      
8,588,464
  
   Series 2015-11R, Class 4A5 6
    
2.53
  
06/26/37
    
1,647
      
841,529
  
   Series 2014-6R, Class 5A7 6
    
2.72
  
04/26/37
    
4,852
      
3,237,784
  
   Series 2014-2R, Class 1A7 6
    
2.95
  
01/26/36
    
3,335
      
2,479,418
  
   Series 2015-4R, Class 3A8 6
    
2.95
  
02/26/36
    
10,470
      
8,006,691
  
   Series 2015-1R, Class 3A7 6
    
2.99
  
03/26/37
    
5,908
      
3,486,735
  
   Series 2015-1R, Class 4A7 6
    
3.08
  
12/26/37
    
2,751
      
1,455,696
  
   Series 2015-6R, Class 2A4 6
    
7.26
  
01/26/37
    
8,311
      
6,729,993
  
RALI Trust
                          
   Series 2007-QO3, Class A1 1,2,3
    
0.69
  
03/25/47
    
3,986
      
3,343,754
  
   Series 2006-QO7, Class 2A1 2,3
    
1.36
  
09/25/46
    
8,069
      
6,159,762
  
RBSSP Resecuritization Trust
                          
   Series 2009-13, Class 7A2 4,6
                          
   (Acquired 04/19/13, Cost $1,441,875, 0.4%)
    
5.75
  
01/26/36
    
1,500
      
1,580,143
  
Residential Asset Securitization Trust
                          
   Series 2005-A13, Class 1A1 2
    
1.23
  
10/25/35
    
3,162
      
2,383,701
  
RFMSI Trust
                          
   Series 2007-S3, Class 1A5
    
5.50
  
03/25/37
    
4,066
      
3,564,790
  
Securitized Asset Backed Receivables LLC Trust
                          
   Series 2006-NC3, Class A2B 1,2
    
0.68
  
09/25/36
    
7,850
      
3,968,290
  
   Series 2007-BR4, Class A2B 1,2
    
0.73
  
05/25/37
    
5,926
      
3,706,313
  
   Series 2007-BR4, Class A2C 1,2
    
0.82
  
05/25/37
    
6,648
      
4,219,361
  
Washington Mutual Mortgage Pass-Through Certificates Trust
                          
   Series 2007-OA1, Class A1A 2,3
    
1.21
  
02/25/47
    
4,721
      
3,658,406
  
   Series 2007-HY5, Class 1A1 2
    
2.41
  
05/25/37
    
5,991
      
5,175,415
  
   Series 2006-AR10, Class 1A2
    
2.79
  
09/25/36
    
2,493
      
2,257,637
  
   Series 2007-HY5, Class 3A1 2
    
4.33
  
05/25/37
    
1,698
      
1,481,875
  
Wells Fargo Mortgage Backed Securities Trust
                          
   Series 2005-2, Class 1B1
    
5.50
  
04/25/35
    
6,197
      
5,967,781
  
Total Non-Agency Mortgage-Backed Securities
                      
292,850,501
  
TOTAL RESIDENTIAL MORTGAGE RELATED HOLDINGS
                          
   (Cost $307,398,379)
                      
292,850,501
  
COMMERCIAL MORTGAGE RELATED HOLDINGS - 23.1%
                          
Commercial Mortgage-Backed Securities - 23.1%
                          
Banc of America Commercial Mortgage Trust
                          
   Series 2006-6, Class AJ 3
    
5.42
  
10/10/45
    
14,010
      
13,992,651
  
   Series 2007-3, Class AJ 3
    
5.72
  
06/10/49
    
10,600
      
10,629,918
  
Class B Notes - 885 Trademark 4,7,8
                          
   (Acquired 10/28/15, Cost $1,800,000, 0.5%)
    
10.50
  
10/01/19
    
1,800
      
1,800,000
  
Class B Notes - Browns Bridge 4,7,8
                          
   (Acquired 10/28/15, Cost $118,000, 0.0%)
    
9.50
  
11/01/20
    
118
      
118,000
  
 
 
Class B Notes - Cedar Park 4,7,8
                    
   (Acquired 06/25/15, Cost $600,000, 0.2%)
    
11.00
  
05/31/17
    
600
      
600,000
  
Class B Notes - Cherokee 4,7,8
                          
   (Acquired 10/28/15, Cost $243,000, 0.1%)
    
9.50
  
11/01/20
    
243
      
243,000
  
Class B Notes - Concord 4,7,8
                          
   (Acquired 10/28/15, Cost $312,873, 0.1%)
    
9.50
  
11/01/20
    
313
      
312,873
  
Class B Notes - Crossroads 4,7,8
                          
   (Acquired 10/28/15, Cost $170,000, 0.0%)
    
9.50
  
11/01/20
    
170
      
170,000
  
Class B Notes - Fayetteville 4,7,8
                          
   (Acquired 10/28/15, Cost $48,000, 0.0%)
    
9.50
  
11/01/20
    
48
      
48,000
  
Class B Notes - Holiday Inn 4,7,8
                          
   (Acquired 06/25/15, Cost $2,000,000, 0.5%)
    
10.08
  
07/01/20
    
2,000
      
1,942,400
  
Class B Notes - Lee & White 4,7,8
                          
   (Acquired 10/28/15, Cost $91,000, 0.0%)
    
9.50
  
11/01/20
    
91
      
91,000
  
Class B Notes - Marshalls 4,7,8
                          
   (Acquired 10/28/15, Cost $386,000, 0.1%)
    
9.50
  
11/01/20
    
386
      
386,000
  
Class B Notes - Meadows 4,7,8
                          
   (Acquired 10/28/15, Cost $68,000, 0.0%)
    
9.50
  
11/01/20
    
68
      
68,000
  
Class B Notes - Moreland Avenue 4,7,8
                          
   (Acquired 11/16/15, Cost $225,000, 0.1%)
    
9.23
  
11/01/20
    
225
      
225,000
  
Class B Notes - North River 4,7,8
                          
   (Acquired 10/28/15, Cost $246,000, 0.1%)
    
9.50
  
11/01/20
    
246
      
246,000
  
Class B Notes - Town and Country 4,7,8
                          
   (Acquired 10/28/15, Cost $492,000, 0.1%)
    
9.50
  
11/01/20
    
492
      
492,000
  
Commercial Mortgage Trust
                          
   Series 2007-GG11, Class AJ 3
    
6.24
  
12/10/49
    
10,642
      
10,642,680
  
LB-UBS Commercial Mortgage Trust
                          
   Series 2007-C1, Class AJ
    
5.48
  
02/15/40
    
1,590
      
1,593,598
  
   Series 2007-C7, Class AJ 3
    
6.45
  
09/15/45
    
10,000
      
10,057,556
  
Morgan Stanley Capital I, Inc.
                          
   Series 1998-HF1, Class K 4,6,7
                          
   (Acquired 06/26/13, Cost $2,409,272, 0.6%)
    
6.19
  
03/15/30
    
2,471
      
2,446,832
  
Wachovia Bank Commercial Mortgage Trust
                          
   Series 2007-C30, Class AJ 3
    
5.41
  
12/15/43
    
11,500
      
11,519,346
  
   Series 2007-C33, Class AJ 3
    
6.16
  
02/15/51
    
10,250
      
10,267,165
  
Waldorf Astoria Boca Raton Trust
                          
   Series 2016-BOCA, Class E 2,4,6
                          
   (Acquired 07/12/16, Cost $10,000,000, 2.6%)
    
5.12
  
06/15/29
    
10,000
      
9,997,130
  
Total Commercial Mortgage-Backed Securities
                      
87,889,149
  
TOTAL COMMERCIAL MORTGAGE RELATED HOLDINGS
                          
   (Cost $88,265,368)
                      
87,889,149
  
INTEREST-ONLY SECURITIES - 0.6%
                          
Federal Home Loan Mortgage Corporation Strips
                          
   Series 304, Class C60 4,9
                          
 
 
(Acquired 03/12/14, Cost $1,807,609, 0.3%)
    
3.50
  
12/15/42
    
6,981
      
1,209,617
  
Federal National Mortgage Association REMICS
                          
   Series 2013-32, Class IG 4,9
                          
   (Acquired 04/29/14, Cost $1,198,575, 0.2%)
    
3.50
  
04/25/33
    
6,192
      
770,564
  
JP Morgan Mortgage Trust
                          
   Series 2014-5, Class AX4 6,9
    
0.50
  
10/25/29
    
16,893
      
272,950
  
TOTAL INTEREST-ONLY SECURITIES
                          
   (Cost $3,295,495)
                      
2,253,131
  
CORPORATE BONDS - 7.0%
                          
Automotive - 0.4%
                          
American Axle & Manufacturing, Inc. 3
    
6.63
  
10/15/22
    
1,300
      
1,374,750
  
Basic Industry - 0.5%
                          
AK Steel Corp.
    
7.63
  
05/15/20
    
275
      
268,125
  
Arch Coal, Inc. 10
    
7.25
  
06/15/21
    
1,750
      
83,125
  
Hexion, Inc.
    
9.00
  
11/15/20
    
575
      
417,594
  
PulteGroup, Inc. 3
    
6.38
  
05/15/33
    
1,000
      
1,041,667
  
Total Basic Industry
                      
1,810,511
  
Consumer Goods - 0.4%
                          
ACCO Brands Corp. 3
    
6.75
  
04/30/20
    
1,350
      
1,424,250
  
Energy - 0.6%
                          
Blue Racer Midstream LLC 6
    
6.13
  
11/15/22
    
425
      
415,437
  
Concho Resources, Inc.
    
5.50
  
04/01/23
    
250
      
257,812
  
Crestwood Midstream Partners LP
    
6.25
  
04/01/23
    
325
      
329,063
  
Ferrellgas Partners LP 3
    
8.63
  
06/15/20
    
700
      
687,750
  
Global Partners LP 3
    
6.25
  
07/15/22
    
500
      
463,750
  
ION Geophysical Corp. 6
    
9.13
  
12/15/21
    
500
      
305,000
  
Total Energy
                      
2,458,812
  
Healthcare - 1.2%
                          
CHS/Community Health Systems, Inc. 3
    
7.13
  
07/15/20
    
1,300
      
1,208,350
  
HCA, Inc. 3
    
5.25
  
06/15/26
    
1,300
      
1,381,250
  
Kindred Healthcare, Inc. 3
    
6.38
  
04/15/22
    
1,150
      
1,089,625
  
Quorum Health Corp. 6
    
11.63
  
04/15/23
    
225
      
186,750
  
Tenet Healthcare Corp. 3
    
8.13
  
04/01/22
    
700
      
700,000
  
Total Healthcare
                      
4,565,975
  
Leisure - 0.4%
                          
Boyd Gaming Corp. 6
    
6.38
  
04/01/26
    
250
      
268,125
  
Isle of Capri Casinos, Inc. 3
    
5.88
  
03/15/21
    
850
      
887,187
  
MGM Growth Properties Operating Partnership LP 6
    
5.63
  
05/01/24
    
300
      
325,410
  
Total Leisure
                      
1,480,722
  
Media - 0.8%
                          
CCO Holdings LLC 3
    
5.75
  
01/15/24
    
725
      
770,313
  
CSC Holdings LLC 6
    
10.88
  
10/15/25
    
325
      
380,250
  
Cumulus Media Holdings, Inc.
    
7.75
  
05/01/19
    
600
      
243,000
  
Lamar Media Corp. 3
    
5.38
  
01/15/24
    
1,350
      
1,417,500
  
Mediacom Broadband LLC 3
    
6.38
  
04/01/23
    
350
      
369,250
  
Total Media
                      
3,180,313
  
Retail - 0.5%
                          
L Brands, Inc. 3
    
7.60
  
07/15/37
    
900
      
967,500
  
New Albertsons, Inc. 3
    
7.75
  
06/15/26
    
850
      
850,000
  
Total Retail
                      
1,817,500
  
Services - 0.6%
                          
Avis Budget Car Rental LLC 3
    
5.50
  
04/01/23
    
1,400
      
1,412,250
  
Casella Waste Systems, Inc. 3
    
7.75
  
02/15/19
    
964
      
983,280
  
Total Services
                      
2,395,530
  
 
Telecommunications - 1.6%
                    
CenturyLink, Inc.
    
7.65
  
03/15/42
    
1,000
      
862,500
  
FairPoint Communications, Inc. 3,6
    
8.75
  
08/15/19
    
925
      
943,500
  
Frontier Communications Corp. 3
    
11.00
  
09/15/25
    
550
      
574,062
  
Intelsat Luxembourg SA 11
    
7.75
  
06/01/21
    
650
      
217,750
  
Qwest Capital Funding, Inc.
    
6.88
  
07/15/28
    
250
      
236,250
  
T-Mobile USA, Inc. 3
    
6.63
  
04/01/23
    
1,350
      
1,449,563
  
Windstream Services LLC
    
7.50
  
06/01/22
    
1,000
      
960,000
  
Zayo Group LLC
    
6.00
  
04/01/23
    
625
      
656,250
  
Total Telecommunications
                      
5,899,875
  
TOTAL CORPORATE BONDS
                          
   (Cost $28,745,055)
                      
26,408,238
  
               
Shares
    
Value
  
PREFERRED STOCKS - 2.7%
                          
Finance & Investment - 2.5%
                          
Kimco Realty Corp., 6.00%
              
157,837
    
$
4,083,243
  
Public Storage, 6.00%
              
200,000
      
5,492,000
  
Total Finance & Investment
                      
9,575,243
  
Telecommunications - 0.2%
                          
Regency Centers Corp., 6.63%
              
21,213
      
542,841
  
TOTAL PREFERRED STOCKS
                          
   (Cost $9,502,399)
                      
10,118,084
  
COMMON STOCK - 0.0%
                          
Energy - 0.0%
                          
ION Geophysical Corp. 12
              
5,000
      
34,250
  
TOTAL COMMON STOCK
                          
   (Cost $44,550)
                      
34,250
  
                           
Total Investments - 110.5%
                          
   (Cost $437,251,246)
                      
419,553,353
  
Liabilities in Excess of Other Assets - (10.5)%
                      
(39,812,816
)
TOTAL NET ASSETS - 100.0%
                    
$
379,740,537
  
The following notes should be read in conjunction with the accompanying Schedule of Investments.
 
1- Security is a "step up" bond where the coupon increases or steps up at a predetermined date.
 
2- Variable rate security - Interest rate shown is the rate in effect as of September 30, 2016.
 
3- Portion or entire principal amount delivered as collateral for reverse repurchase agreements.
 
4- 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 September 30, 2016, the total value of all such securities was $47,402,877 or 12.5% of net assets.
  
5- Security is an inverse floating rate bond.
 
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. As of September 30, 2016, the total value of all such securities was $119,302,484 or 31.4% of net assets.
  
7- Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of September 30, 2016, the total value of all such securities was $9,189,105 or 2.4% of net assets.
  
8- Private Placement.
 
9- Interest rate is based on the notional amount of the underlying mortgage pools.
 
10- Issuer is currently in default on its regularly scheduled interest payment.
 
11- Foreign security or a U.S. security of a foreign company.
 
12- Non-income producing security.
 
 
Notes to Schedule of Investments (Unaudited)

Valuation of Investments: The Fund's Board of Directors (the "Board") has adopted procedures for the valuation of the Fund's securities. The Adviser's Valuation Committee 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. 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.

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 adjusted by the amortization of discount or premium to maturity, unless such valuation, in the judgment of the Adviser's Valuation Committee, does not represent fair 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.

Securities for which market prices are not readily available or which cannot be valued using the sources described above will be valued using an internal proprietary fair value methodology. For any security warranting such fair value measurement, a memorandum, including the specific methodology and supporting information, will be provided to the Valuation Committee by a portfolio manager or analyst looking to fair value a particular security. A portfolio manager or analyst shall use their best efforts to maximize the use of relevant observable inputs and minimize the use of unobservable inputs within their valuation technique. The Valuation Committee shall review the memorandum and supporting information provided by a portfolio manager or analyst and consider all relevant factors as it deems appropriate before approving the fair value recommendation.

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 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 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 assets or liabilities
•
Level 2 -
quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar assets or liabilities, 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 assets or liabilities)

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 Valuation Committee uses in determining fair value. 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
September 30, 2016:

Valuation Inputs
  
Level 1
    
Level 2
    
Level 3 (1)
    
Total
  
Residential Mortgage Related Holdings
  
$
-
    
$
-
    
$
292,850,501
    
$
292,850,501
  
Commercial Mortgage Related Holdings
    
-
      
-
      
87,889,149
      
87,889,149
  
Interest-Only Securities
    
-
      
-
      
2,253,131
      
2,253,131
  
Corporate Bonds
    
-
      
26,408,238
      
-
      
26,408,238
  
Preferred Stocks
    
10,118,084
      
-
      
-
      
10,118,084
  
Common Stock
    
34,250
      
-
      
-
      
34,250
  
Total
  
$
10,152,334
    
$
26,408,238
    
$
382,992,781
    
$
419,553,353
  
                                 
Liabilities
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Other Financial Instruments (2)
  
$
(8,526
)
  
$
-
    
$
-
    
$
(8,526
)
Total Liabilities - Other Financial Instruments
  
$
(8,526
)
  
$
-
    
$
-
    
$
(8,526
)
(1) The Fund generally uses evaluated bid prices provided by an independent pricing service on the valuation date as the primary basis for the fair value determinations. These evaluated bid prices are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.
(2) Other financial instruments include exchange traded futures contracts which are reflected at the unrealized appreciation (depreciation) on the instruments.

The table below shows the significant unobservable valuation inputs that were used by the Adviser's Valuation Committee to fair value these Level 3 investments as of September 30, 2016.
 
 
Quantitative Information about Level 3 Fair Value Measurements (1)
  
 
Value as of September
30, 2016
  
 Valuation
Methodology
 Significant
Unobservable Input
Range (Weighted
Average)
  
Commercial Mortgage Related Holdings:
            
 
        Class B Notes
  
$
6,742,273
  
 
Discounted
Cash Flow
 
Yield (Discount Rate
of Cash Flows)
    
9.5%-12.0% (10.5%)
 
       Morgan Stanley Capital I, Inc., Series
       1998-HF1, Class K
    
2,446,832
  
 
Discounted
Cash Flow
 
Yield (Discount Rate
of Cash Flows)
    
7.00% (7.00%)
   
$
9,189,105
              
 
(1) The table above does not include Level 3 securities that are valued by brokers and pricing services. At September 30, 2016, the value of these securities was $373,803,676. 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
  
Residential
Mortgage
Related
Holdings
    
Commercial Mortgage
Related
Holdings
    
Interest-Only Securities
    
Total
  
Balance as of June 30, 2016
  
$
295,825,726
    
$
77,852,717
    
$
2,347,163
    
$
376,025,606
  
Accrued Discounts (Premiums)
    
2,328,140
      
(28,534
)
    
-
      
2,299,606
  
 
Cost Adjustments for Interest-Only
Securities
    
-
      
-
      
(114,188
)
    
(114,188
)
 
Realized Gain (Loss)
    
1,777,854
      
2,709
      
-
      
1,780,563
  
 
Change in Unrealized Appreciation
(Depreciation)
    
9,067,415
      
170,627
      
20,156
      
9,258,198
  
Purchases at cost
    
12,151
      
10,000,000
      
-
      
10,012,151
  
Sales proceeds
    
(16,160,785
)
    
(108,370
)
    
-
      
(16,269,155
)
Balance as of September 30, 2016
  
$
292,850,501
    
$
87,889,149
    
$
2,253,131
    
$
382,992,781
  
Change in unrealized gains or losses
relating to assets still held at the
reporting date
  
$
8,896,123
    
$
170,627
    
$
20,156
    
$
9,086,905
  
The fair value of the Fund's reverse repurchase agreements, which qualify as financial instruments under FASB Accounting Standards Codification ("ASC") 820 "Disclosures about Fair Values of Financial Instruments", approximates the carrying amounts presented below. As of September 30, 2016, this financial instrument is categorized as a Level 2 within the disclosure hierarchy.
During the three months ended September 30, 2016, there were no transfers between the three Levels noted above.  The basis for recognizing and valuing transfers is as of the end of the period in which the transfers occur.

Federal Income Tax Basis: The federal income tax basis of the Fund's investments at September 30, 2016 was as follows:

Cost of Investments
Gross Unrealized Appreciation
Gross Unrealized Depreciation
Net Unrealized Depreciation
$437,251,246
$6,443,218
$(24,141,111)
$(17,697,893)

Reverse Repurchase Agreements: The Fund may enter into reverse repurchase agreements. In a  reverse repurchase agreement, the Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date.  The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability on the Statement of Assets and Liabilities. Interest payments made by the Fund to counterparties are recorded as a component of interest expense on the Statement of Operations. The Fund will segregate assets determined to be liquid by the Adviser or will otherwise cover its obligations under 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 September 30, 2016, the Fund had the following reverse repurchase agreements outstanding:
Counterparty
  
Borrowing
 Rate
  
Borrowing
 Date
Maturity
 Date
  
Amount
Borrowed (1)
    
Payable for
 Reverse Repurchase Agreements
  
RBC Capital Markets
    
1.40
%
07/05/16
10/05/16
  
$
6,154,000
    
$
6,175,111
  
RBC Capital Markets
    
1.56
%
08/19/16
11/21/16
    
2,756,000
      
2,761,140
  
RBC Capital Markets
    
1.57
%
08/12/16
11/14/16
    
1,710,000
      
1,713,723
  
RBC Capital Markets
    
1.61
%
09/14/16
12/14/16
    
5,699,000
      
5,703,321
  
RBC Capital Markets
    
1.91
%
07/06/16
10/06/16
    
8,092,000
      
8,129,280
  
RBC Capital Markets
    
1.95
%
07/05/16
10/05/16
    
8,098,000
      
8,136,682
  
RBC Capital Markets
    
1.96
%
07/06/16
10/06/16
    
20,377,000
      
20,473,339
  
RBC Capital Markets
    
2.00
%
07/05/16
10/05/16
    
2,805,000
      
2,818,736
  
RBC Capital Markets
    
2.06
%
08/19/16
11/21/16
    
8,406,000
      
8,426,696
  
RBC Capital Markets
    
2.12
%
08/12/16
11/14/16
    
9,079,000
      
9,105,702
  
RBC Capital Markets
    
2.24
%
09/02/16
12/02/16
    
2,743,000
      
2,747,948
  
RBC Capital Markets
    
2.28
%
08/26/16
11/28/16
    
11,405,000
      
11,430,951
  
Wells Fargo
    
2.05
%
07/20/16
10/19/16
    
13,520,000
      
13,576,081
  
Total
                
$
100,844,000
    
$
101,198,710
  
(1) The average daily balance of reverse repurchase agreements outstanding for the Fund during the three months ended September 30, 2016 was $102,830,707 at a weighted average interest rate of 1.96%.
The following is a summary of the reverse repurchase agreements by the type of collateral and the remaining contractual maturity of the agreements:
   
Overnight and Continuous
    
Up to 30 Days
    
30 to 90 Days
    
Greater Than 90 Days
    
Total
  
Residential Mortgage Related Holdings
  
$
-
    
$
16,325,000
    
$
14,148,000
    
$
-
    
$
30,473,000
  
Commercial Mortgage Related Holdings
    
-
      
36,567,000
      
17,485,000
      
-
      
54,052,000
  
Corporate Bonds
    
-
      
6,154,000
      
10,165,000
      
-
      
16,319,000
  
Total
  
$
-
    
$
59,046,000
    
$
41,798,000
    
$
-
    
$
100,844,000
  
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 regularly trades in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Fund has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. During the three months ended September 30, 2016, the Fund had segregated sufficient cash and/or securities to cover any commitments under these contracts.
As of September 30, 2016, the following futures contracts were outstanding.
Short:
Contracts
  
Type
Expiration Date
  
Value at
September 30, 2016
    
Unrealized Depreciation
  
                   
 
128
  
2 Year U.S. Treasury Note
December 2016
  
$
27,964,000
    
$
(8,526
)
The average notional value of futures contracts outstanding during the three months ended September 30, 2016 was $36,171,739, which represents the volume of activity during the period.
 
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 Mortgage Opportunity Income Inc.

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

Date: November 29, 2016



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: November 29, 2016

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

Date: November 29, 2016