UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05820
BROOKFIELD TOTAL RETURN FUND INC.
(Exact name of registrant as specified in charter)
BROOKFIELD PLACE
250 VESEY STREET, 15th Floor
NEW YORK, NEW YORK 10281-1023
(Address of principal executive offices) (Zip code)
BRIAN F. HURLEY, PRESIDENT
BROOKFIELD TOTAL RETURN FUND INC
BROOKFIELD PLACE
250 VESEY STREET, 15th Floor
NEW YORK, NEW YORK 10281-1023
(Name and address of agent for service)
Registrants telephone number, including area code: (855) 777-8001
Date of fiscal year end: September 30, 2016
Date of reporting period: March 31, 2016
Item 1. Reports to Shareholders.
Brian F. Hurley President |
Craig Noble Chief Executive Officer and Chief Investment Officer Brookfield Investment Management Inc. |
1 | Source: Mortgage Bankers Association, Bloomberg. |
2 | Source: US CMBS Delinquency Report, March 2016 |
3 | Source: CoreLogic, January, 2016 |
PORTFOLIO STATISTICS | |
Annualized distribution rate1 | 9.41% |
Weighted average coupon | 4.03% |
Weighted average life | 3.53 years |
Average Portfolio Dollar Price (excluding interest-only securities) | $ 86.90 |
Percentage of fixed rate securities (excluding interest-only securities)2 | 63.1% |
Percentage of floating rate securities (excluding interest-only securities)2 | 36.9% |
Percentage of leveraged assets | 28.00% |
Total number of holdings | 222 |
CREDIT QUALITY2 | |
AAA | 7.6% |
AA | 3.8% |
A | 8.0% |
BBB | 16.9% |
BB | 9.2% |
B | 15.5% |
Below B | 39.0% |
Total | 100.0% |
ASSET ALLOCATION3 | |
U.S. Government & Agency Obligations | 5.2% |
Asset-Backed Securities | 9.2% |
Residential Mortgage Related Holdings | 61.0% |
Commercial Mortgage Related Holdings | 46.7% |
Interest-Only Securities | 0.6% |
Corporate Bonds | 6.6% |
Preferred Stock | 1.3% |
Liabilities in Excess of Other Assets | (30.6)% |
Total | 100.0% |
1 | The distribution rate referenced above is calculated as the annualized amount of the most recent monthly distribution declared divided by March 31, 2016 stock price. This calculation does not include any non-income items such as loan proceeds or borrowings. The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. Fiscal Year-to-date through March 31, 2016, 4% of the Fund’s distributions is a return of capital, but will be determined at the Fund's fiscal year-end. |
2 | Allocations are expressed as a percentage of total investments (by market value), not total assets and will vary over time. Credit allocation excludes cash and equities. The higher of an S&P or Moody’s rating was used. If a Moody’s rating was used, we converted such rating to a comparable S&P ratings. |
3 | Percentages are based on net assets. |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
U.S. GOVERNMENT & AGENCY OBLIGATIONS – 5.2% | ||||||
U.S. Government Agency Collateralized Mortgage Obligations – 0.1% | ||||||
Federal National Mortgage Association | ||||||
Series 1997-79, Class PL
|
6.85% | 12/18/27 | $ 169 | $ 195,578 | ||
Total U.S. Government Agency Collateralized Mortgage Obligations | 195,578 | |||||
U.S. Government Agency Pass-Through Certificates – 5.1% | ||||||
Federal Home Loan Mortgage Corporation | ||||||
Federal Home Loan Mortgage Corporation
|
3.00 | TBA | 5,500 | 5,749,648 | ||
Pool Q03049
1 |
4.50 | 08/01/41 | 2,064 | 2,258,450 | ||
Pool C69047
1 |
7.00 | 06/01/32 | 277 | 306,526 | ||
Pool C56878
|
8.00 | 08/01/31 | 47 | 48,222 | ||
Pool C58516
|
8.00 | 09/01/31 | 38 | 38,901 | ||
Pool C59641
1 |
8.00 | 10/01/31 | 203 | 237,295 | ||
Pool C55166
|
8.50 | 07/01/31 | 99 | 105,787 | ||
Pool C55167
|
8.50 | 07/01/31 | 62 | 64,008 | ||
Pool C55169
|
8.50 | 07/01/31 | 59 | 61,342 | ||
Pool G01466
1 |
9.50 | 12/01/22 | 167 | 179,621 | ||
Pool 555559
1 |
10.00 | 03/01/21 | 33 | 34,293 | ||
Pool 555538
1 |
10.00 | 03/01/21 | 45 | 46,652 | ||
Federal National Mortgage Association | ||||||
Pool 753914
1 |
5.50 | 12/01/33 | 739 | 835,374 | ||
Pool 761836
1 |
6.00 | 06/01/33 | 532 | 610,840 | ||
Pool 948362
1 |
6.50 | 08/01/37 | 97 | 110,139 | ||
Pool 555933
1 |
7.00 | 06/01/32 | 1,292 | 1,547,260 | ||
Pool 645912
1 |
7.00 | 06/01/32 | 314 | 359,434 | ||
Pool 645913
1 |
7.00 | 06/01/32 | 351 | 382,369 | ||
Pool 650131
1 |
7.00 | 07/01/32 | 282 | 322,840 | ||
Pool 789284
|
7.50 | 05/01/17 | 8 | 8,345 | ||
Pool 827853
|
7.50 | 10/01/29 | 32 | 31,771 | ||
Pool 545990
1 |
7.50 | 04/01/31 | 486 | 575,045 | ||
Pool 255053
1 |
7.50 | 12/01/33 | 103 | 118,135 | ||
Pool 735576
1 |
7.50 | 11/01/34 | 601 | 732,440 | ||
Pool 896391
1 |
7.50 | 06/01/36 | 327 | 368,222 | ||
Pool 735800
1 |
8.00 | 01/01/35 | 368 | 458,644 | ||
Pool 636449
1 |
8.50 | 04/01/32 | 348 | 418,269 | ||
Pool 458132
1 |
8.89 | 03/15/31 | 417 | 474,413 | ||
Pool 852865
1 |
9.00 | 07/01/20 | 252 | 272,667 | ||
Pool 545436
1 |
9.00 | 10/01/31 | 275 | 341,125 | ||
Total U.S. Government Agency Pass-Through Certificates | 17,098,077 | |||||
Total U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost
$16,242,572) |
17,293,655 | |||||
ASSET-BACKED SECURITIES – 9.2% | ||||||
Housing Related Asset-Backed Securities – 9.2% | ||||||
ACE Securities Corporation Manufactured Housing Trust | ||||||
Series 2003-MH1, Class A4
2 |
6.50 | 08/15/30 | 1,387 | 1,517,058 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
ASSET-BACKED SECURITIES (continued) | ||||||
Conseco Finance Securitizations Corp. | ||||||
Series 2001-4, Class A4
|
7.36% | 08/01/32 | $ 182 | $ 195,383 | ||
Conseco Financial Corp. | ||||||
Series 1998-3, Class A6
|
6.76 | 03/01/30 | 3,989 | 4,251,175 | ||
Series 1997-8, Class A
|
6.78 | 10/15/27 | 3,453 | 3,594,187 | ||
Series 1998-4, Class A7
|
6.87 | 04/01/30 | 9,837 | 10,558,644 | ||
Series 1997-7, Class A7
|
6.96 | 07/15/28 | 425 | 432,529 | ||
Series 1997-2, Class A6
|
7.24 | 06/15/28 | 43 | 43,285 | ||
Series 1997-6, Class A9
|
7.55 | 01/15/29 | 310 | 315,445 | ||
Lehman ABS Manufactured Housing Contract Trust | ||||||
Series 2001-B, Class A5
|
5.87 | 04/15/40 | 153 | 158,549 | ||
Series 2001-B, Class A6
|
6.47 | 04/15/40 | 647 | 675,818 | ||
Mid-State Capital Corp. | ||||||
Series 2004-1, Class M1
|
6.50 | 08/15/37 | 3,857 | 4,116,489 | ||
Series 2004-1, Class M2 3 (Acquired 07/01/04, Cost $3,356,188,
1.1%) |
8.11 | 08/15/37 | 3,178 | 3,631,289 | ||
Origen Manufactured Housing Contract Trust | ||||||
Series 2005-B, Class A4
|
5.91 | 01/15/37 | 1,420 | 1,473,716 | ||
Total Housing Related Asset-Backed Securities | 30,963,567 | |||||
Total ASSET-BACKED SECURITIES (Cost
$30,813,001) |
30,963,567 | |||||
RESIDENTIAL MORTGAGE RELATED HOLDINGS – 61.0% | ||||||
Non-Agency Mortgage-Backed Securities – 61.0% | ||||||
Alternative Loan Trust | ||||||
Series 2007-OA3, Class 1A1
4,5 |
0.57 | 04/25/47 | 6,018 | 4,993,555 | ||
Series 2005-51, Class 4A1
4,5 |
0.75 | 11/20/35 | 4,670 | 3,737,088 | ||
Series 2007-2CB, Class 1A15
|
5.75 | 03/25/37 | 815 | 721,311 | ||
Series 2007-12T1, Class A22
|
5.75 | 06/25/37 | 3,539 | 2,812,710 | ||
Series 2006-29T1, Class 2A5
|
6.00 | 10/25/36 | 3,101 | 2,768,748 | ||
Series 2006-29T1, Class 3A3
5,6 |
74.02 | 10/25/36 | 894 | 3,464,887 | ||
Asset-Backed Securities Corporation Home Equity Loan Trust | ||||||
Series 2007-HE1, Class A4
4,5 |
0.57 | 12/25/36 | 1,981 | 1,560,445 | ||
Banc of America Funding Trust | ||||||
Series 2006-G, Class 3A2
5 |
2.91 | 07/20/36 | 6,073 | 5,899,626 | ||
Series 2003-3, Class B4 3 (Acquired 01/28/04, Cost $158,544,
0.0%) |
5.49 | 10/25/33 | 176 | 58,588 | ||
Series 2003-3, Class B5 3 (Acquired 01/28/04, Cost $65,182,
0.0%) |
5.49 | 10/25/33 | 87 | 18,157 | ||
BCAP LLC Trust | ||||||
Series 2012-RR4, Class 5A6
2 |
2.55 | 05/26/36 | 4,378 | 2,908,762 | ||
BNC Mortgage Loan Trust | ||||||
Series 2007-2, Class A5
4,5 |
0.74 | 05/25/37 | 5,657 | 4,043,556 | ||
Carefree Portfolio Trust | ||||||
Series 2014-CARE, Class F
2,4,5 |
3.02 | 11/15/19 | 4,980 | 4,631,400 | ||
Citigroup Commercial Mortgage Trust | ||||||
Series 2013-375P, Class D
2 |
3.52 | 05/10/35 | 6,140 | 5,857,140 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
RESIDENTIAL MORTGAGE RELATED HOLDINGS (continued) | ||||||
Citigroup Mortgage Loan Trust | ||||||
Series 2009-11, Class 8A2
2 |
2.47% | 04/25/45 | $ 3,244 | $ 2,874,368 | ||
Series 2012-6, Class 2A2
2 |
2.54 | 08/25/36 | 7,637 | 6,410,418 | ||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||
Series 2007-5, Class A29
|
5.50 | 05/25/37 | 587 | 545,216 | ||
Series 2006-21, Class A11
|
5.75 | 02/25/37 | 1,929 | 1,750,388 | ||
Series 2004-21, Class A10
|
6.00 | 11/25/34 | 228 | 235,509 | ||
Series 2007-18, Class 1A1
|
6.00 | 11/25/37 | 648 | 588,603 | ||
Series 2006-14, Class A4
|
6.25 | 09/25/36 | 3,775 | 3,627,604 | ||
First Republic Bank Mortgage Pass-Through Certificates Trust | ||||||
Series 2000-FRB1, Class B3 3,5 (Acquired 08/30/01, Cost $65,738,
0.0%) |
0.93 | 06/25/30 | 68 | 44,082 | ||
GMAC Mortgage Home Equity Loan Trust | ||||||
Series 2007-HE2, Class A2
|
6.05 | 12/25/37 | 2,887 | 2,810,617 | ||
Series 2007-HE2, Class A3
|
6.19 | 12/25/37 | 1,076 | 1,053,063 | ||
GMAC Mortgage Home Loan Trust | ||||||
Series 2006-HLTV, Class A5
4 |
6.01 | 10/25/29 | 3,366 | 3,443,194 | ||
Greenpoint Manufactured Housing | ||||||
Series 1999-1, Class A5
|
6.77 | 08/15/29 | 5,521 | 5,369,039 | ||
Series 1999-3, Class IA7
|
7.27 | 06/15/29 | 3,819 | 3,762,361 | ||
GSAMP Trust | ||||||
Series 2006-HE8, Class A2C
4,5 |
0.60 | 01/25/37 | 6,186 | 4,902,287 | ||
GSR Mortgage Loan Trust | ||||||
Series 2005-6F, Class 1A6
|
5.25 | 07/25/35 | 653 | 672,151 | ||
Irwin Home Equity Loan Trust | ||||||
Series 2006-1, Class 2A3
2,4,5 |
5.77 | 09/25/35 | 4,728 | 4,780,545 | ||
IXIS Real Estate Capital Trust | ||||||
Series 2006-HE3, Class A2
4,5 |
0.53 | 01/25/37 | 945 | 407,759 | ||
Series 2006-HE2, Class A3
4,5 |
0.59 | 08/25/36 | 9,219 | 3,339,719 | ||
Series 2006-HE3, Class A4
4,5 |
0.66 | 01/25/37 | 730 | 333,263 | ||
JP Morgan Mortgage Trust | ||||||
Series 2015-4, Class 2X1
2,7 |
0.29 | 06/25/45 | 112,663 | 1,656,325 | ||
Series 2003-A1, Class B4 3 (Acquired 10/29/04, Cost $146,182,
0.0%) |
2.43 | 10/25/33 | 170 | 126,545 | ||
Series 2003-A2, Class B4 3 (Acquired 10/29/04, Cost $12,742,
0.0%) |
2.61 | 11/25/33 | 80 | 8,905 | ||
Lehman ABS Manufactured Housing Contract Trust | ||||||
Series 2001-B, Class M1
|
6.63 | 04/15/40 | 4,717 | 4,952,262 | ||
MASTR Asset Backed Securities Trust | ||||||
Series 2006-NC3, Class A3
4,5 |
0.53 | 10/25/36 | 2,418 | 1,366,814 | ||
Series 2006-NC2, Class A4
4,5 |
0.58 | 08/25/36 | 1,584 | 731,604 | ||
Series 2006-HE5, Class A3
4,5 |
0.59 | 11/25/36 | 5,007 | 2,945,254 | ||
Series 2006-NC3, Class A5
4,5 |
0.64 | 10/25/36 | 3,981 | 2,291,619 | ||
Series 2006-NC2, Class A5
4,5 |
0.67 | 08/25/36 | 588 | 277,313 | ||
Series 2005-NC2, Class A4
4,5 |
1.13 | 11/25/35 | 6,352 | 4,036,184 | ||
Mid-State Capital Corp. | ||||||
Series 2004-1, Class B
|
8.90 | 08/15/37 | 963 | 1,064,897 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
RESIDENTIAL MORTGAGE RELATED HOLDINGS (continued) | ||||||
Mid-State Trust IV | ||||||
Series 4, Class A
|
8.33% | 04/01/30 | $ 3,487 | $ 3,587,886 | ||
Mid-State Trust X | ||||||
Series 10, Class B
|
7.54 | 02/15/36 | 1,572 | 1,702,015 | ||
Mid-State Trust XI | ||||||
Series 11, Class M1
|
5.60 | 07/15/38 | 1,041 | 1,090,577 | ||
Nationstar Home Equity Loan Trust | ||||||
Series 2006-B, Class AV4
4,5 |
0.71 | 09/25/36 | 11,268 | 10,436,308 | ||
Nomura Resecuritization Trust | ||||||
Series 2013-1R, Class 3A12
2,4,5 |
0.60 | 10/26/36 | 14,656 | 12,476,047 | ||
Series 2014-1R, Class 2A11
2,5 |
0.70 | 02/26/37 | 14,693 | 7,284,111 | ||
Series 2015-1R, Class 4A5
2 |
2.23 | 06/25/37 | 1,554 | 730,387 | ||
Series 2014-6R, Class 5A7
2 |
2.64 | 04/26/37 | 4,236 | 2,689,763 | ||
Series 2015-4R, Class 3A8
2 |
2.66 | 01/26/36 | 8,279 | 5,691,760 | ||
Series 2015-6R, Class 2A4
2 |
7.84 | 01/26/37 | 6,831 | 5,336,679 | ||
Oakwood Mortgage Investors, Inc. | ||||||
Series 2001-E, Class A4
|
6.81 | 12/15/31 | 7,837 | 7,560,483 | ||
Series 2001-D, Class A4
|
6.93 | 09/15/31 | 1,039 | 857,916 | ||
RALI Trust | ||||||
Series 2006-QO1, Class 2A1
4,5 |
0.70 | 02/25/46 | 3,625 | 2,090,101 | ||
Series 2006-QO7, Class 2A1
1,5 |
1.20 | 09/25/46 | 9,825 | 6,947,544 | ||
Series 2007-QS6, Class A2
5,6 |
51.98 | 04/25/37 | 265 | 646,176 | ||
Series 2006-QS14, Class A30
5,6 |
75.62 | 11/25/36 | 170 | 531,667 | ||
Resix Finance Limited Credit-Linked Notes | ||||||
Series 2003-CB1, Class B8 2,3,5 (Acquired 12/22/04, Cost $787,469,
0.1%) |
7.19 | 06/10/35 | 886 | 191,108 | ||
Series 2004-B, Class B9 2,3,5,8 (Acquired 05/21/04, Cost $215,300,
0.0%) |
8.69 | 02/10/36 | 215 | 60,026 | ||
Securitized Asset Backed Receivables LLC Trust | ||||||
Series 2007-NC1, Class A2B
4,5 |
0.58 | 12/25/36 | 5,736 | 2,968,893 | ||
Springleaf Mortgage Loan Trust | ||||||
Series 2013-3A, Class M3
2 |
5.00 | 09/25/57 | 6,280 | 6,338,040 | ||
Towd Point Mortgage Trust | ||||||
Series 2015-2, Class 2A1
1,2 |
3.75 | 11/25/57 | 7,781 | 7,973,023 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||
Series 2007-HY5, Class 3A1
5 |
4.35 | 05/25/37 | 1,235 | 1,075,182 | ||
Series 2003-S1, Class B4 2,3 (Acquired 10/24/07, Cost $16,475,
0.0%) |
5.50 | 04/25/33 | 111 | 1 | ||
Series 2007-5, Class A11
5,6 |
36.88 | 06/25/37 | 95 | 231,868 | ||
Series 2005-6, Class 2A3
5,6 |
46.39 | 08/25/35 | 120 | 212,405 | ||
Wells Fargo Mortgage Backed Securities Trust | ||||||
Series 2004-6, Class B4 3 (Acquired 04/31/05, Cost $64,584,
0.0%) |
5.50 | 06/25/34 | 75 | 1 | ||
Series 2006-9, Class 1A19
|
6.00 | 08/25/36 | 4,955 | 4,930,414 | ||
Series 2007-8, Class 2A2
|
6.00 | 07/25/37 | 767 | 754,189 | ||
Series 2007-13, Class A7
|
6.00 | 09/25/37 | 274 | 275,753 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
RESIDENTIAL MORTGAGE RELATED HOLDINGS (continued) | ||||||
Series 2005-18, Class 2A10
5,6 |
21.15% | 01/25/36 | $ 62 | $ 73,387 | ||
Total Non-Agency Mortgage-Backed Securities | 204,627,591 | |||||
Total RESIDENTIAL MORTGAGE RELATED HOLDINGS (Cost
$207,500,153) |
204,627,591 | |||||
COMMERCIAL MORTGAGE RELATED HOLDINGS – 46.7% | ||||||
Class B Notes – 2.4% | ||||||
901 Ponce de Leon Blvd 3,8,9 (Acquired 03/30/15, Cost $1,875,000,
0.6%) |
11.00 | 09/01/19 | 1,875 | 1,875,000 | ||
Barrington Centre Office 3,8,9 (Acquired 03/30/15, Cost $545,000,
0.2%) |
12.00 | 07/01/17 | 545 | 545,000 | ||
Creekwood Village Apartments 3,8,9 (Acquired 03/30/15, Cost $670,000,
0.2%) |
11.00 | 04/01/20 | 670 | 670,000 | ||
Cumberland Crossing 3,8,9 (Acquired 03/09/16, Cost $1,050,000,
0.3%) |
9.73 | 03/01/19 | 1,050 | 1,050,000 | ||
Kilcullen Quads 3,8,9 (Acquired 03/30/15, Cost $500,000,
0.1%) |
11.00 | 01/01/18 | 500 | 500,000 | ||
La Paloma Corporate Center 3,8,9 (Acquired 03/30/15, Cost $500,000,
0.1%) |
11.00 | 09/01/17 | 500 | 500,000 | ||
Shoppes at Forest Greene 3,8,9 (Acquired 03/30/15, Cost $525,000,
0.1%) |
10.00 | 01/01/18 | 525 | 525,000 | ||
Solana Mar Apartments 3,8,9 (Acquired 03/09/16, Cost $1,245,000,
0.4%) |
9.73 | 03/01/19 | 1,245 | 1,245,000 | ||
Vale Park Village Apartments 3,8,9 (Acquired 03/09/16, Cost $1,270,000,
0.4%) |
9.73 | 03/01/19 | 1,270 | 1,270,000 | ||
Total Class B Notes | 8,180,000 | |||||
Commercial Mortgage-Backed Securities – 42.2% | ||||||
A10 Bridge Asset Financing LLC | ||||||
Series 2015-AA, Class B 2,3,5,8 (Acquired 04/29/15, Cost $10,000,000,
3.0%) |
4.44 | 05/15/30 | 10,000 | 9,944,000 | ||
A10 Securitization LLC | ||||||
Series 2015-1, Class C
2 |
4.45 | 04/15/34 | 2,865 | 2,849,917 | ||
Series 2015-1, Class D
2 |
4.99 | 04/15/34 | 1,000 | 996,460 | ||
A10 Term Asset Financing LLC | ||||||
Series 2014-1, Class B
2 |
3.87 | 04/15/33 | 2,112 | 2,088,960 | ||
Series 2013-2, Class B
2 |
4.38 | 11/15/27 | 2,927 | 2,854,411 | ||
Series 2014-1, Class C
2 |
4.57 | 04/15/33 | 1,171 | 1,155,820 | ||
Series 2014-1, Class D
2 |
5.08 | 04/15/33 | 328 | 323,703 | ||
Series 2013-2, Class C
2 |
5.12 | 11/15/27 | 2,000 | 1,963,506 | ||
Series 2013-2, Class D
2 |
6.23 | 11/15/27 | 501 | 493,075 | ||
ACRE Commercial Mortgage Trust | ||||||
Series 2013-FL1, Class D
1,2,5 |
4.48 | 06/15/30 | 3,653 | 3,651,180 | ||
Banc of America Commercial Mortgage Trust | ||||||
Series 2006-6, Class AJ
1 |
5.42 | 10/10/45 | 13,150 | 13,114,603 | ||
Series 2007-3, Class AJ
1 |
5.54 | 06/10/49 | 14,670 | 14,559,813 | ||
Bear Stearns Commercial Mortgage Securities Trust | ||||||
Series 2006-PW11, Class H 2,3 (Acquired 03/08/06, Cost $1,698,878,
0.0%) |
5.48 | 03/11/39 | 1,752 | 24,301 | ||
Commercial Mortgage Trust | ||||||
Series 2007-C9, Class AJFL
1,2,5 |
1.13 | 12/10/49 | 9,277 | 8,657,673 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
COMMERCIAL MORTGAGE RELATED HOLDINGS (continued) | ||||||
Series 2007-GG11, Class AJ
1 |
6.03% | 12/10/49 | $ 10,330 | $ 10,159,438 | ||
Credit Suisse Commercial Mortgage Trust | ||||||
Series 2007-C2, Class AMFL
1,5 |
0.67 | 01/15/49 | 7,000 | 6,681,593 | ||
Series 2006-C1, Class K 2,3 (Acquired 03/07/06, Cost $2,901,570,
0.1%) |
5.74 | 02/15/39 | 3,858 | 297,309 | ||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||
Series 2009-IWST, Class D 1,2,3 (Acquired 06/28/07, Cost $7,529,811,
2.4%) |
7.45 | 12/05/27 | 7,000 | 8,163,541 | ||
LB-UBS Commercial Mortgage Trust | ||||||
Series 2007-C1, Class AJ
1 |
5.48 | 02/15/40 | 1,510 | 1,506,914 | ||
Series 2007-C7, Class AJ
1 |
6.24 | 09/15/45 | 10,000 | 9,767,684 | ||
LNR CDO V Ltd. | ||||||
Series 2007-1A, Class F 2,3,5 (Acquired 02/27/07, Cost $3,750,000,
0.0%) |
1.88 | 12/26/49 | 3,750 | — | ||
Morgan Stanley Capital I Trust | ||||||
Series 2006-IQ11, Class J 2,3 (Acquired 05/24/06, Cost $0,
0.0%) |
5.53 | 10/15/42 | 122 | 1,949 | ||
Series 2007-HQ13, Class A3
1 |
5.57 | 12/15/44 | 5,529 | 5,743,191 | ||
Series 2007-T25, Class AJ
1 |
5.57 | 11/12/49 | 12,500 | 12,019,090 | ||
Series 2007-T27, Class AJ
1 |
5.64 | 06/11/42 | 3,757 | 3,723,978 | ||
Wachovia Bank Commercial Mortgage Trust | ||||||
Series 2007-C31, Class L 2,3 (Acquired 05/11/07, Cost $0,
0.0%) |
5.13 | 04/15/47 | 1,788 | 358 | ||
Series 2007-C30, Class AJ
1 |
5.41 | 12/15/43 | 7,340 | 7,215,564 | ||
Series 2005-C20, Class F 2,3 (Acquired 05/11/07, Cost $3,928,285,
1.1%) |
5.50 | 07/15/42 | 4,000 | 3,681,124 | ||
Series 2007-C33, Class AJ
1 |
5.95 | 02/15/51 | 10,000 | 9,850,950 | ||
Total Commercial Mortgage-Backed Securities | 141,490,105 | |||||
Mezzanine Loan – 2.1% | ||||||
BOCA Mezzanine
8,9 |
8.43 | 08/09/16 | 7,107 | 7,106,802 | ||
Total Mezzanine Loan | 7,106,802 | |||||
Total COMMERCIAL MORTGAGE RELATED HOLDINGS (Cost
$162,143,272) |
156,776,907 | |||||
INTEREST-ONLY SECURITIES – 0.6% | ||||||
Commercial Mortgage Trust | ||||||
Series 2001-J2A, Class EIO
2,5,7 |
4.09 | 07/16/34 | 10,000 | 121,138 | ||
Federal National Mortgage Association | ||||||
Series 2012-125, Class MI
7 |
3.50 | 11/25/42 | 3,839 | 670,501 | ||
Series 2013-32, Class IG
7 |
3.50 | 04/25/33 | 6,206 | 829,483 | ||
Series 2011-46, Class BI
7 |
4.50 | 04/25/37 | 2,586 | 114,391 | ||
GMAC Commercial Mortgage Securities, Inc. | ||||||
Series 2003-C1, Class X1
2,5,7 |
1.52 | 05/10/36 | 1,039 | 17,674 | ||
Government National Mortgage Association | ||||||
Series 2005-76, Class IO
1,5,7 |
0.63 | 09/16/45 | 12,731 | 138,637 | ||
Series 2010-132, Class IO
1,5,7 |
0.67 | 11/16/52 | 6,122 | 241,773 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
INTEREST-ONLY SECURITIES (continued) | ||||||
Vendee Mortgage Trust | ||||||
Series 1997-2, Class IO
5,7 |
0.00% | 06/15/27 | $ 9,674 | $ 10 | ||
Total INTEREST-ONLY SECURITIES (Cost $3,640,194)
|
2,133,607 | |||||
CORPORATE BONDS – 6.6% | ||||||
Automotive – 0.2% | ||||||
American Axle & Manufacturing, Inc.
1 |
6.63 | 10/15/22 | 300 | 311,250 | ||
American Axle & Manufacturing, Inc.
1 |
7.75 | 11/15/19 | 350 | 383,250 | ||
Total Automotive | 694,500 | |||||
Basic Industry – 0.3% | ||||||
Arch Coal, Inc.
10 |
7.25 | 06/15/21 | 925 | 5,781 | ||
Hexion, Inc.
|
9.00 | 11/15/20 | 600 | 241,500 | ||
PulteGroup, Inc.
1 |
6.38 | 05/15/33 | 550 | 561,000 | ||
United States Steel Corp.
1 |
7.00 | 02/01/18 | 325 | 292,500 | ||
Total Basic Industry | 1,100,781 | |||||
Capital Goods – 0.3% | ||||||
Crown Cork & Seal Company, Inc.
1 |
7.38 | 12/15/26 | 350 | 373,625 | ||
Terex Corp.
1 |
6.50 | 04/01/20 | 600 | 579,000 | ||
Total Capital Goods | 952,625 | |||||
Consumer Goods – 0.3% | ||||||
ACCO Brands Corp.
1 |
6.75 | 04/30/20 | 600 | 634,500 | ||
Post Holdings, Inc.
1 |
7.38 | 02/15/22 | 500 | 528,750 | ||
Total Consumer Goods | 1,163,250 | |||||
Consumer Non-Cyclical – 0.2% | ||||||
Bumble Bee Holdings, Inc.
1,2 |
9.00 | 12/15/17 | 516 | 517,290 | ||
Energy – 1.0% | ||||||
Blue Racer Midstream LLC
2 |
6.13 | 11/15/22 | 300 | 249,750 | ||
BreitBurn Energy Partners LP
10 |
7.88 | 04/15/22 | 675 | 67,500 | ||
Crestwood Midstream Partners LP
1 |
6.00 | 12/15/20 | 875 | 686,875 | ||
EV Energy Partners LP
|
8.00 | 04/15/19 | 800 | 200,000 | ||
Ferrellgas Partners LP
1 |
8.63 | 06/15/20 | 500 | 462,500 | ||
Global Partners LP
1 |
6.25 | 07/15/22 | 400 | 298,000 | ||
ION Geophysical Corp.
|
8.13 | 05/15/18 | 300 | 150,000 | ||
Linn Energy LLC
|
7.75 | 02/01/21 | 300 | 34,500 | ||
Linn Energy LLC
|
8.63 | 04/15/20 | 300 | 34,500 | ||
Precision Drilling Corp.
1,11 |
6.63 | 11/15/20 | 300 | 240,000 | ||
Targa Pipeline Partners LP
1 |
5.88 | 08/01/23 | 600 | 541,500 | ||
Trinidad Drilling Ltd.
1,2,11 |
7.88 | 01/15/19 | 600 | 458,250 | ||
W&T Offshore, Inc.
|
8.50 | 06/15/19 | 600 | 72,000 | ||
Total Energy | 3,495,375 | |||||
Healthcare – 0.8% | ||||||
CHS/Community Health Systems, Inc.
1 |
7.13 | 07/15/20 | 700 | 661,500 | ||
HCA, Inc.
1 |
5.88 | 05/01/23 | 150 | 157,313 | ||
HCA, Inc.
1 |
8.00 | 10/01/18 | 600 | 672,000 | ||
Kindred Healthcare, Inc.
1 |
6.38 | 04/15/22 | 700 | 630,875 |
Interest
Rate |
Maturity | Principal
Amount (000s) |
Value | |||
CORPORATE BONDS (continued) | ||||||
Service Corporation International
1 |
8.00% | 11/15/21 | $ 450 | $ 526,500 | ||
Total Healthcare | 2,648,188 | |||||
Leisure – 0.6% | ||||||
Boyd Gaming Corp.
1 |
9.00 | 07/01/20 | 600 | 634,500 | ||
Cedar Fair LP
1 |
5.25 | 03/15/21 | 200 | 207,250 | ||
MGM Resorts International
1 |
7.63 | 01/15/17 | 350 | 363,125 | ||
MGM Resorts International
1 |
7.75 | 03/15/22 | 125 | 139,219 | ||
MGM Resorts International
1 |
8.63 | 02/01/19 | 275 | 312,812 | ||
Palace Entertainment Holdings LLC
1,2 |
8.88 | 04/15/17 | 525 | 509,250 | ||
Total Leisure | 2,166,156 | |||||
Media – 0.7% | ||||||
CCO Holdings LLC
1 |
5.75 | 01/15/24 | 450 | 468,563 | ||
Clear Channel Worldwide Holdings, Inc.
1 |
7.63 | 03/15/20 | 750 | 688,125 | ||
Lamar Media Corp.
1 |
5.38 | 01/15/24 | 550 | 573,540 | ||
Mediacom Broadband LLC
1 |
6.38 | 04/01/23 | 250 | 255,625 | ||
Neptune Finco Corp.
2 |
10.88 | 10/15/25 | 425 | 461,975 | ||
Total Media | 2,447,828 | |||||
Retail – 0.2% | ||||||
L Brands, Inc.
1 |
7.60 | 07/15/37 | 500 | 520,000 | ||
Services – 0.9% | ||||||
Avis Budget Car Rental LLC
1 |
5.50 | 04/01/23 | 550 | 533,500 | ||
CalAtlantic Group, Inc .
1 |
8.38 | 05/15/18 | 300 | 333,750 | ||
CalAtlantic Group, Inc .
1 |
8.38 | 01/15/21 | 450 | 523,125 | ||
Casella Waste Systems, Inc.
1 |
7.75 | 02/15/19 | 500 | 507,188 | ||
H&E Equipment Services, Inc.
|
7.00 | 09/01/22 | 600 | 609,000 | ||
United Rentals North America, Inc.
1 |
7.63 | 04/15/22 | 450 | 479,250 | ||
Total Services | 2,985,813 | |||||
Telecommunications – 1.1% | ||||||
CenturyLink, Inc.
1 |
7.65 | 03/15/42 | 300 | 247,500 | ||
Cincinnati Bell, Inc.
1 |
8.38 | 10/15/20 | 414 | 420,210 | ||
FairPoint Communications, Inc.
1,2 |
8.75 | 08/15/19 | 600 | 568,500 | ||
Frontier Communications Corp.
1,2 |
11.00 | 09/15/25 | 450 | 452,250 | ||
Intelsat Jackson Holdings SA
1,11 |
5.50 | 08/01/23 | 600 | 361,500 | ||
Qwest Capital Funding, Inc.
1 |
6.88 | 07/15/28 | 350 | 290,500 | ||
T-Mobile USA, Inc.
1 |
6.63 | 04/01/23 | 550 | 578,875 | ||
Wind Acquisition Finance SA
2,11 |
7.38 | 04/23/21 | 250 | 226,250 | ||
Windstream Services LLC
1 |
7.50 | 06/01/22 | 525 | 402,937 | ||
Total Telecommunications | 3,548,522 | |||||
Total CORPORATE BONDS (Cost
$26,721,828) |
22,240,328 |
Shares | Value | |||||
PREFERRED STOCK – 1.3% | ||||||
Finance & Investment – 1.3% | ||||||
Public Storage, 6.00%
|
160,000 | $ 4,409,600 | ||||
Total PREFERRED STOCK (Cost
$4,000,000) |
4,409,600 | |||||
Total Investments – 130.6% (Cost $451,061,020)
|
438,445,255 | |||||
Liabilities in Excess of Other Assets – (30.6)%
|
(102,698,779) | |||||
TOTAL NET ASSETS – 100.0%
|
$ 335,746,476 |
The following notes should be read in conjunction with the accompanying Schedule of Investments. | |
1 | — Portion or entire principal amount delivered as collateral for reverse repurchase agreements. |
2 | — Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2016, the total value of all such securities was $130,136,575 or 38.8% of net assets. |
3 | — 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 March 31, 2016, the total value of all such securities was $34,431,284 or 10.3% of net assets. |
4 | — Security is a “step up” bond where the coupon increases or steps up at a predetermined date. |
5 | — Variable rate security – Interest rate shown is the rate in effect as of March 31, 2016. |
6 | — Security is an inverse floating rate bond. |
7 | — Interest rate is based on the notional amount of the underlying mortgage pools. |
8 | — Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of March 31, 2016, the total value of all such securities was $25,290,828 or 7.5% of net assets. |
9 | — Private Placement. |
10 | — Issuer is currently in default on its regularly scheduled interest payment. |
11 | — Foreign security or a U.S. security of a foreign company. |
Assets: | |
Investments in securities, at
value |
$438,445,255 |
Cash |
25,395,814 |
Cash collateral for reverse repurchase
agreements |
5,469,124 |
Receivable for investments
sold |
6,142,737 |
Interest
receivable |
2,195,105 |
Principal paydown
receivable |
5,398 |
Prepaid
expenses |
6,245 |
Total
assets |
477,659,678 |
Liabilities: | |
Reverse repurchase agreements (Note
6) |
133,753,518 |
Interest payable for reverse repurchase agreements (Note
6) |
279,488 |
Payable for TBA
transactions |
5,738,964 |
Payable for investments
purchased |
1,798,607 |
Investment advisory fee payable (Note
4) |
184,479 |
Administration fee payable (Note
4) |
56,763 |
Directors' fee
payable |
8,460 |
Other current
liabilities |
92,923 |
Total
liabilities |
141,913,202 |
Commitments and contingencies (Note
10) |
|
Net
Assets |
$335,746,476 |
Composition of Net Assets: | |
Capital stock, at par value ($0.01 par value, 50,000,000 shares authorized) (Note
7) |
$ 139,616 |
Additional paid-in capital (Note
7) |
431,527,099 |
Distributions in excess of net investment
income |
(1,194,063) |
Accumulated net realized loss on investment
transactions |
(82,110,411) |
Net unrealized depreciation on
investments |
(12,615,765) |
Net assets applicable to capital stock
outstanding |
$335,746,476 |
Total investments at
cost |
$451,061,020 |
Shares Outstanding and Net Asset Value Per Share: | |
Common shares
outstanding |
13,961,565 |
Net asset value per
share |
$ 24.05 |
Investment Income (Note 2): | |
Interest |
$ 17,338,053 |
Dividends |
162,810 |
Total
income |
17,500,863 |
Expenses: | |
Investment advisory fees (Note
4) |
1,119,744 |
Administration fees (Note
4) |
344,537 |
Fund accounting servicing
fees |
63,507 |
Directors'
fees |
54,413 |
Reports to
stockholders |
49,045 |
Legal
fees |
36,021 |
Transfer agent
fees |
26,206 |
Audit and tax
services |
24,281 |
Custodian
fees |
15,289 |
Insurance |
14,203 |
Registration
fees |
12,063 |
Miscellaneous |
6,865 |
Total operating
expenses |
1,766,174 |
Interest expense on reverse repurchase agreements (Note
6) |
1,013,573 |
Total
expenses |
2,779,747 |
Net investment
income |
14,721,116 |
Realized and Unrealized Loss on Investments (Note 2): | |
Net realized loss on investment
transactions |
(2,934,693) |
Net change in unrealized
depreciation |
(13,222,115) |
Net realized and unrealized loss on
investments |
(16,156,808) |
Net decrease in net assets resulting from
operations |
$ (1,435,692) |
For
the Six Months Ended March 31, 2016 (Unaudited) |
For
the Fiscal Year Ended September 30, 2015 | ||
Increase (Decrease) in Net Assets Resulting from Operations: | |||
Net investment
income |
$ 14,721,116 | $ 27,824,785 | |
Net realized gain (loss) on investment
transactions |
(2,934,693) | 4,137,791 | |
Net change in unrealized depreciation on
investments |
(13,222,115) | (22,968,740) | |
Net increase (decrease) in net assets resulting from
operations |
(1,435,692) | 8,993,836 | |
Distributions to Stockholders (Note 2): | |||
Net investment
income |
(15,915,179) | (28,633,458) | |
Return of
capital |
— | (3,196,899) | |
Total distributions
paid |
(15,915,179) | (31,830,357) | |
Capital Stock Transactions (Note 7): | |||
Reinvestment of
distributions |
21,133 | — | |
Net increase in net assets from capital stock
transactions |
21,133 | — | |
Total decrease in net
assets |
(17,329,738) | (22,836,521) | |
Net Assets: | |||
Beginning of
period |
353,076,214 | 375,912,735 | |
End of
period |
$335,746,476 | $353,076,214 | |
(including distributions in excess of net investment income
of) |
$ (1,194,063) | $ — | |
Share Transactions (Note 7): | |||
Reinvested
shares |
882 | — |
Increase (Decrease) in Cash: | |
Cash flows provided by (used for) operating activities: | |
Net decrease in net assets resulting from
operations |
$ (1,435,692) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating
activities: | |
Purchases of long-term portfolio investments and principal
payups |
(45,800,542) |
Proceeds from disposition of long-term portfolio investments and principal
paydowns |
59,487,287 |
Return of capital distributions from portfolio
investments |
454 |
Sales of TBA transactions,
net |
92,831 |
Increase in receivable for investments
sold |
(6,142,737) |
Decrease in interest
receivable |
49,237 |
Decrease in principal paydown
receivable |
2,001 |
Increase in prepaid
expenses |
(2,298) |
Decrease in interest payable for reverse repurchase
agreements |
(45,207) |
Increase in payable for TBA
transactions |
46,231 |
Increase in payable for investments
purchased |
1,798,607 |
Decrease in investment advisory fee
payable |
(5,300) |
Decrease in administration fee
payable |
(1,631) |
Decrease in directors' fee
payable |
(924) |
Decrease in other current
liabilities |
(132,906) |
Net accretion or amortization on investments and paydown gains or losses on
investments |
(6,799,299) |
Unrealized depreciation on
investments |
13,222,115 |
Net realized loss on investment
transactions |
2,934,693 |
Net cash provided by operating
activities |
17,266,920 |
Cash flows used for financing activities: | |
Net cash provided by reverse repurchase
agreements |
4,763,518 |
Distributions paid to stockholders, net of
reinvestments |
(15,894,046) |
Net cash used for financing
activities |
(11,130,528) |
Net increase in
cash |
6,136,392 |
Cash at beginning of
period |
24,728,546 |
Cash at end of
period |
$ 30,864,938 |
Supplemental Disclosure of Cash Flow Information: | |
Interest payments on the reverse repurchase agreements for the six months ended March 31, 2016, totaled $1,058,780. | |
Non-cash financing activities included reinvestment of distributions of $21,133. | |
Cash at end of period includes $5,469,124 for cash collateral for reverse repurchase agreements. |
For
the Six Months Ended March 31, 2016 |
For
the Fiscal Year Ended September 30, |
For
the Ten Months Ended September 30, |
For the Fiscal Years Ended November 30, | ||||||||||
(Unaudited) | 2015 | 2014 5 | 2013 | 2012 | 2011 7 | 2010 7 | |||||||
Per Share Operating Performance: | |||||||||||||
Net asset value, beginning of
period |
$ 25.29 | $ 26.93 | $ 26.03 | $ 24.59 | $ 22.80 | $ 24.80 | $ 21.84 | ||||||
Net investment
income |
1.05 1 | 1.99 1 | 1.85 | 2.08 | 2.24 | 1.68 | 2.12 | ||||||
Net realized and unrealized gain (loss) on investment
transactions |
(1.15) | (1.35) | 0.95 | 1.64 | 3.01 | (1.20) | 2.92 | ||||||
Net increase (decrease) in net asset value resulting from
operations |
(0.10) | 0.64 | 2.80 | 3.72 | 5.25 | 0.48 | 5.04 | ||||||
Distributions from net investment
income |
(1.14) | (2.05) | (1.85) | (2.10) | (2.24) | (1.84) | (2.08) | ||||||
Return of capital
distributions |
— | (0.23) | (0.05) | (0.18) | (0.04) | (0.64) | — | ||||||
Total distributions
paid |
(1.14) | (2.28) | (1.90) | (2.28) | (2.28) | (2.48) | (2.08) | ||||||
Change due to rights
offering2 |
— | — | — | — | (1.18) | — | — | ||||||
Net asset value, end of
period |
$ 24.05 | $ 25.29 | $ 26.93 | $ 26.03 | $ 24.59 | $ 22.80 | $ 24.80 | ||||||
Market price, end of
period |
$ 24.23 | $ 21.32 | $ 24.97 | $ 23.31 | $ 24.05 | $ 22.56 | $ 24.04 | ||||||
Total Investment Return† | 19.45% 3 | -6.00% | 15.72% 3 | 6.41% | 17.29% | 4.11% | 26.63% | ||||||
Ratios
to Average Net Assets/ Supplementary Data: |
|||||||||||||
Net assets, end of period
(000s) |
$335,746 | $353,076 | $375,913 | $363,401 | $343,304 | $176,463 | $191,738 | ||||||
Operating
expenses |
1.03% 4 | 1.03% | 1.03% 4 | 1.04% | 1.30% | 1.18% | 1.23% | ||||||
Interest
expense |
0.59% 4 | 0.52% | 0.55% 4 | 0.39% | 0.41% | 0.53% | 0.31% | ||||||
Total
expenses |
1.62% 4 | 1.55% | 1.58% 4 | 1.43% | 1.71% | 1.71% | 1.54% | ||||||
Net investment
income |
8.55% 4 | 7.60% | 8.31% 4 | 8.13% | 9.19% | 6.83% | 9.34% | ||||||
Portfolio turnover
rate |
11% 3 | 28% | 26% 3 | 38% | 75% | 43% | 204% | ||||||
Reverse repurchase agreements, end of period
(000s) |
$133,754 | $128,990 | $161,522 | $163,540 | $103,490 | $ 80,751 | $ 81,513 | ||||||
Asset coverage per $1,000 unit of senior
indebtedness6 |
$ 3,510 | $ 3,737 | $ 3,327 | $ 3,222 | $ 4,317 | $ 3,185 | $3,352 |
† | Total investment return is computed based upon the New York Stock Exchange market price of the Fund's shares and excludes the effect of broker commissions. Distributions are assumed to be reinvested at the prices obtained under the Fund's dividend reinvestment plan. |
1 | Per share amounts presented are based on average shares outstanding throughout the period indicated. |
2 | Effective as of the close of business on September 20, 2012, the Fund issued transferrable rights to its stockholders to subscribe for up to 3,500,000 shares of common stock at a rate of one share for every 3 rights held. The subscription price was set at 90% of the average closing price for the last 5 trading days of the offering period. The shares were subscribed at a price of $21.50 which was less than the NAV of $25.35 thus creating a dilutive effect on the NAV. |
3 | Not annualized. |
4 | Annualized. |
5 | Amounts shown are for the ten months ended September 30, 2014 and are not necessarily indicative of a full year of operations. The Fund changed its fiscal year end from November 30 to September 30. |
6 | Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
7 | The Fund had a 1:4 reverse stock split with ex-dividend and payable dates of August 21, 2012 and August 22, 2012, respectively. Prior year net asset values and per share amounts have been restated to reflect the impact of the reverse stock split. The net asset value and market price reported at the original dates prior to the reverse stock split were as follows: |
For the Fiscal Years Ended November 30, | 2011 | 2010 |
Net Asset Value (prior to reverse stock
split) |
$5.70 | $6.20 |
Market Price (prior to reverse stock
split) |
$5.64 | $6.01 |
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) |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||
U.S. Government & Agency
Obligations |
$ — | $ 17,293,655 | $ — | $ 17,293,655 | |||
Asset-Backed
Securities |
— | 30,963,567 | — | 30,963,567 | |||
Residential Mortgage Related
Holdings |
— | — | 204,627,591 | 204,627,591 | |||
Commercial Mortgage Related
Holdings |
— | — | 156,776,907 | 156,776,907 | |||
Interest-Only
Securities |
— | — | 2,133,607 | 2,133,607 | |||
Corporate
Bonds |
— | 22,240,328 | — | 22,240,328 | |||
Preferred
Stock |
4,409,600 | — | — | 4,409,600 | |||
Total |
$ 4,409,600 | $ 70,497,550 | $ 363,538,105 | $ 438,445,255 |
Quantitative Information about Level 3 Fair Value Measurements(1) | ||||
Assets | Value as of March 31, 2016 | Valuation Methodology | Significant Unobservable Input | Range
(Weighted Average) |
Residential Mortgage Related Holdings: | ||||
Resix Finance Limited Credit-Linked Notes, Series 2004-B, Class
B9 |
$ 60,026 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 10.00% (10.00%) |
Commercial Mortgage Related Holdings: | ||||
A10 Bridge Asset Financing LLC, Series 2015-A, Class
B |
9,944,000 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.25%-7.70%(7.25%) |
BOCA
Mezzanine |
7,106,802 | Discounted Cash Flow | Debt Yield and Loan to Value | 12.9%-14.4%(13.7%)
44%-49%(47%) |
Class B
Notes |
8,180,000 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 9.5%-12.0%(10.3%) |
Total |
$25,290,828 |
Investments in Securities | Residential Mortgage Related Holdings | Commercial Mortgage Related Holdings | Interest-Only Securities | Corporate Bonds | Total | ||||
Balance as of September 30,
2015 |
$213,678,405 | $167,988,274 | $ 2,639,178 | $ 618,000 | $384,923,857 | ||||
Accrued Discounts
(Premiums) |
3,534,256 | 1,535,442 | (81,434) | 1,530 | 4,989,794 | ||||
Realized Gain
(Loss) |
2,770,238 | 515,471 | 5,495,271 | — | 8,780,980 | ||||
Change in Unrealized Appreciation
(Depreciation) |
(7,987,743) | (4,726,880) | (68,761) | — | (12,861,414) | ||||
Purchases at
cost |
20,180,762 | 5,910,481 | — | (78,030) | 26,091,243 | ||||
Sales
proceeds |
(36,679,727) | (14,445,881) | (5,850,647) | — | (56,976,255) | ||||
Transfers into Level
3 |
9,131,400 | — | — | — | 9,131,400 (a) | ||||
Transfers out of Level
3 |
— | — | — | (541,500) | (541,500) (b) | ||||
Balance as of March 31, 2016 | $204,627,591 | $156,776,907 | $ 2,133,607 | $ — | $363,538,105 | ||||
Change in unrealized gains or losses relating to assets still held at reporting
date |
$ (6,705,441) | $ (4,760,676) | $ (107,393) | $ — | $ (11,573,510) |
Security Name | Interest Rate | Principal Amount | Current Payable |
Federal Home Loan Mortgage Corporation
|
3.00% | $5,500,000 | $5,738,964 |
Long-Term Securities (excluding U.S. Government Securities) | U.S. Government Securities | ||
Purchases | Sales | Purchases | Sales |
$45,800,542 | $58,141,124 | $— | $1,346,163 |
Counterparty | Borrowing Rate | Borrowing Date | Maturity Date | Amount
Borrowed(1) |
Payable
for Reverse Repurchase Agreements | |
Goldman
Sachs |
0.70% | 02/04/16 | 05/04/16 | $ 6,252,000 | $ 6,258,929 | |
JPMorgan
Chase |
0.73% | 03/03/16 | 04/01/16 | 4,451,000 | 4,453,617 | |
JPMorgan
Chase |
1.28% | 03/03/16 | 04/01/16 | 5,374,000 | 5,379,535 | |
JPMorgan
Chase |
1.97% | 02/17/16 | 05/17/16 | 6,462,518 | 6,478,064 | |
RBC Capital
Markets |
1.31% | 01/05/16 | 04/05/16 | 7,031,000 | 7,053,305 | |
RBC Capital
Markets |
1.37% | 02/19/16 | 05/19/16 | 8,286,000 | 8,299,238 | |
RBC Capital
Markets |
1.38% | 03/14/16 | 06/14/16 | 512,000 | 512,354 | |
RBC Capital
Markets |
1.83% | 03/03/16 | 06/03/16 | 3,011,000 | 3,015,443 | |
RBC Capital
Markets |
1.84% | 01/06/16 | 04/06/16 | 11,214,000 | 11,263,203 | |
RBC Capital
Markets |
1.84% | 03/09/16 | 05/23/16 | 661,000 | 661,776 | |
RBC Capital
Markets |
1.87% | 01/13/16 | 04/13/16 | 8,276,000 | 8,310,000 | |
RBC Capital
Markets |
1.87% | 02/19/16 | 05/19/16 | 7,962,000 | 7,979,365 | |
RBC Capital
Markets |
1.87% | 02/23/16 | 05/23/16 | 5,127,000 | 5,137,110 | |
RBC Capital
Markets |
1.88% | 03/14/16 | 06/14/16 | 5,933,000 | 5,938,584 | |
RBC Capital
Markets |
1.89% | 01/06/16 | 04/06/16 | 2,814,000 | 2,826,683 | |
RBC Capital
Markets |
1.90% | 01/19/16 | 04/19/16 | 7,506,000 | 7,534,860 | |
RBC Capital
Markets |
1.98% | 03/14/16 | 06/14/16 | 29,416,000 | 29,445,156 | |
RBC Capital
Markets |
1.99% | 03/10/16 | 06/10/16 | 1,215,000 | 1,216,474 | |
RBC Capital
Markets |
2.02% | 02/18/16 | 05/18/16 | 5,007,000 | 5,019,070 | |
Wells
Fargo |
1.29% | 03/04/16 | 04/04/16 | 7,243,000 | 7,250,240 | |
Total |
$133,753,518 | $134,033,006 |
Overnight and Continuous | Up to 30 Days | 30 to 90 Days | Greater Than 90 Days | Total | |||||
U.S. Government & Agency
Obligations |
$— | $ 4,451,000 | $ 6,252,000 | $— | $ 10,703,000 | ||||
Residential Mortgage Related Holdings
|
— | 7,243,000 | 5,007,000 | — | 12,250,000 | ||||
Commercial Mortgage Related Holdings
|
— | 34,707,000 | 59,787,518 | — | 94,494,518 | ||||
Interest-Only
Securities |
— | 477,000 | — | — | 477,000 | ||||
Corporate
Bonds |
— | 7,031,000 | 8,798,000 | — | 15,829,000 | ||||
Total | $— | $53,909,000 | $79,844,518 | $— | $133,753,518 |
Gross Amounts not offset in the Statement of Assets and Liabilities | ||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Pledged (Received)* | Net Amount | |
Description | ||||||
Reverse Repurchase
Agreements |
$133,753,518 | — | $133,753,518 | $(133,753,518) | $— | $— |
Ordinary
income |
$28,633,458 |
Return of
capital |
3,196,899 |
Total |
$31,830,357 |
Capital loss
carryforward(1) |
$(79,175,718) |
Tax basis unrealized appreciation on
investments |
606,350 |
Total tax basis net accumulated
losses |
$(78,569,368) |
Expiring In: | |
2016 |
$ 7,710,904 |
2017 |
38,404,880 |
2018 |
18,161,948 |
2019 |
12,712,591 |
Infinite
(Short-Term) |
1,791,206 |
Infinite
(Long-Term) |
394,189 |
Cost of Investments | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Depreciation |
$451,061,020 | $10,873,848 | $(23,489,613) | $(12,615,765) |
Dividend Per Share | Record Date | Payable Date |
$0.1900 | April 14, 2016 | April 21, 2016 |
$0.1900 | May 19, 2016 | May 26, 2016 |
Shares Voted For | Shares Voted Against | Shares Voted Abstain | ||
1. | To elect to the Fund's Board of Directors Edward A. Kuczmarski | 11,884,113 | 371,168 | 162,696 |
• | Information we receive from you in applications or other forms, correspondence or conversations, including but not limited to name, address, phone number, social security number, assets, income and date of birth. |
• | Information about transactions with us, our affiliates, or others, including but not limited to account number, balance and payment history, parties to transactions, cost basis information, and other financial information. |
• | Information we may receive from our due diligence, such as your creditworthiness and your credit history. |
• | Unaffiliated service providers (e.g. transfer agents, securities broker-dealers, administrators, investment advisors or other firms that assist us in maintaining and supporting financial products and services provided to you); |
• | Government agencies, other regulatory bodies and law enforcement officials (e.g. for reporting suspicious transactions); |
• | Other organizations, with your consent or as directed by you; and |
• | Other organizations, as permitted or required by law (e.g. for fraud protection) |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable for semi-annual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
None.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrants nominating committee charter does not contain any procedure by which shareholders may recommend nominees to the registrants board of directors.
Item 11. Controls and Procedures.
(a) The Registrants principal executive officer and principal financial officer have concluded that the Registrants 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-CSR.
(b) As of the date of filing this Form N-CSR, the Registrants principal executive officer and principal financial officer are aware of no changes in the Registrants internal control over financial reporting that occurred during the Registrants second fiscal quarter of the period covered by this report that has materially affected or is reasonably likely to materially affect the Registrants internal control over financial reporting.
Item 12. Exhibits.
(a)(1) None.
(2) A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached as an exhibit to this Form N-CSR.
(3) None.
(b) A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(b) under the Investment Company Act of 1940 is attached as an exhibit to this Form N-CSR.
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.
BROOKFIELD TOTAL RETURN FUND INC
By: | /s/ Brian F. Hurley |
|||
Brian F. Hurley | ||||
President and Principal Executive Officer |
Date: May 27, 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: | /s/ Brian F. Hurley |
|||
Brian F. Hurley | ||||
President and Principal Executive Officer |
Date: May 27, 2016
By: | /s/ Angela W. Ghantous |
|||
Angela W. Ghantous | ||||
Treasurer and Principal Financial Officer |
Date: May 27, 2016
EX-99.CERT
CERTIFICATION
I, Brian F. Hurley, certify that:
1. I have reviewed this report on Form N-CSR of BROOKFIELD TOTAL RETURN FUND INC.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
4. The Registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
5. The Registrants other certifying officer(s) and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting.
Dated: May 27, 2016 | /s/ Brian F. Hurley |
|||
Brian F. Hurley | ||||
President and Principal Executive Officer |
CERTIFICATION
I, Angela W. Ghantous, certify that:
1. I have reviewed this report on Form N-CSR of BROOKFIELD TOTAL RETURN FUND INC.;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
4. The Registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
d) disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
5. The Registrants other certifying officer(s) and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting.
Dated: May 27, 2016 | /s/ Angela W. Ghantous |
|||
Angela W. Ghantous | ||||
Treasurer and Principal Financial Officer |
EX-99.906CERT
CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT
Brian F. Hurley, Principal Executive Officer, and Angela W. Ghantous, Principal Financial Officer, of BROOKFIELD TOTAL RETURN FUND INC. (the Registrant), each certify as evidenced below that:
1. | The N-CSR of the Registrant (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition results of operations of the Registrant. |
Dated: May 27, 2016 | /s/ Brian F. Hurley |
|||
Brian F. Hurley | ||||
President and Principal Executive Officer | ||||
BROOKFIELD TOTAL RETURN FUND INC. | ||||
Dated: May 27, 2016 | /s/ Angela W. Ghantous |
|||
Angela W. Ghantous | ||||
Treasurer and Principal Financial Officer | ||||
BROOKFIELD TOTAL RETURN FUND INC. |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signatures that appear in typed form within the electronic version of this written statement required by Section 906, has been provided to BROOKFIELD TOTAL RETURN FUND INC. and will be retained by BROOKFIELD TOTAL RETURN FUND INC. and furnished to the Securities and Exchange Commission or its staff upon request.
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