QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY |
717 Texas Avenue, Suite 3100, Houston, Texas (Address of principal executive offices) |
77002 (Zip code) |
ITEM 1: | SCHEDULE OF INVESTMENTS |
No. of |
||||||||
Description
|
Shares/Units | Value | ||||||
Long-Term Investments 132.1%
|
||||||||
Equity Investments(a) 99.7%
|
||||||||
United States 86.5%
|
||||||||
MLP(b)(c) 40.0%
|
||||||||
Alliance Resource Partners, L.P.
|
21 | $ | 543 | |||||
Atlas Energy Resources, LLC
|
296 | 3,945 | ||||||
Atlas Pipeline Partners, L.P.
|
467 | 2,663 | ||||||
BreitBurn Energy Partners L.P.
|
232 | 1,453 | ||||||
Calumet Specialty Products Partners, L.P.
|
209 | 2,523 | ||||||
Capital Product Partners L.P.(d)
|
772 | 5,233 | ||||||
Copano Energy, L.L.C.
|
57 | 810 | ||||||
Copano Energy, L.L.C. Unregistered, Class D
Units(e)(f)
|
114 | 1,392 | ||||||
Crosstex Energy, L.P.
|
616 | 2,133 | ||||||
DCP Midstream Partners, LP
|
298 | 3,213 | ||||||
Eagle Rock Energy Partners, L.P.
|
112 | 522 | ||||||
Energy Transfer Equity, L.P.
|
123 | 2,410 | ||||||
Energy Transfer Partners, L.P.
|
101 | 3,642 | ||||||
Enterprise GP Holdings L.P.
|
67 | 1,311 | ||||||
Enterprise Products Partners L.P.
|
1,032 | 22,267 | ||||||
Exterran Partners, L.P.
|
278 | 3,401 | ||||||
Global Partners LP
|
227 | 2,430 | ||||||
Hiland Holdings GP, LP
|
64 | 176 | ||||||
Hiland Partners, LP
|
59 | 435 | ||||||
Holly Energy Partners, L.P.
|
76 | 1,931 | ||||||
Inergy Holdings, L.P.
|
79 | 2,210 | ||||||
Inergy, L.P.
|
253 | 5,692 | ||||||
Magellan Midstream Partners, L.P.
|
69 | 2,185 | ||||||
MarkWest Energy Partners, L.P.
|
307 | 3,308 | ||||||
Martin Midstream Partners L.P.
|
335 | 6,229 | ||||||
Navios Maritime Partners L.P.(d)
|
952 | 7,365 | ||||||
OSG America L.P.
|
241 | 1,609 | ||||||
Penn Virginia Resource Partners, L.P.(g)
|
242 | 2,819 | ||||||
Plains All American Pipeline, L.P.(h)
|
1,113 | 42,904 | ||||||
Quicksilver Gas Services LP
|
24 | 298 | ||||||
Regency Energy Partners LP
|
490 | 5,033 | ||||||
Targa Resources Partners LP
|
337 | 2,854 | ||||||
TC PipeLines, LP
|
184 | 4,773 | ||||||
Teekay LNG Partners L.P.
|
84 | 1,544 | ||||||
Teekay Offshore Partners L.P.(d)
|
765 | 9,136 | ||||||
TEPPCO Partners, L.P.
|
135 | 3,073 |
No. of |
||||||||
Description
|
Shares/Units | Value | ||||||
MLP(b)(c) (Continued)
|
||||||||
TransMontaigne Partners L.P.
|
8 | $ | 141 | |||||
Western Gas Partners, LP
|
149 | 2,190 | ||||||
Williams Partners L.P.(g)
|
232 | 2,540 | ||||||
168,336 | ||||||||
MLP Affiliates 30.0%
|
||||||||
Enbridge Energy Management, L.L.C.(i)
|
1,216 | 33,321 | ||||||
Kinder Morgan Management, LLC(i)
|
2,230 | 93,029 | ||||||
126,350 | ||||||||
Marine Transportation 10.9%
|
||||||||
Aries Maritime Transport Limited(j)
|
1,111 | 567 | ||||||
DHT Maritime, Inc.
|
1,919 | 10,284 | ||||||
Diana Shipping Inc.(j)
|
112 | 1,313 | ||||||
Genco Shipping & Trading Limited(j)
|
93 | 1,136 | ||||||
General Maritime Corporation
|
612 | 5,630 | ||||||
Omega Navigation Enterprises, Inc.
|
781 | 3,617 | ||||||
Paragon Shipping Inc.
|
697 | 2,591 | ||||||
Safe Bulkers, Inc.
|
408 | 1,549 | ||||||
Seaspan Corporation
|
324 | 2,996 | ||||||
Ship Finance International Limited
|
350 | 2,986 | ||||||
Teekay Tankers Ltd.
|
878 | 10,099 | ||||||
Tsakos Energy Navigation Limited
|
190 | 3,178 | ||||||
45,946 | ||||||||
Coal 3.7%
|
||||||||
Arch Coal, Inc.
|
255 | 3,545 | ||||||
CONSOL Energy Inc.(g)
|
200 | 5,450 | ||||||
Foundation Coal Holdings, Inc.(g)
|
200 | 3,216 | ||||||
Peabody Energy Corporation(g)
|
145 | 3,432 | ||||||
15,643 | ||||||||
Royalty Trust 1.9%
|
||||||||
MV Oil Trust
|
589 | 5,499 | ||||||
Whiting USA Trust I
|
230 | 2,408 | ||||||
7,907 | ||||||||
Total United States (Cost $486,532)
|
364,182 | |||||||
No. of |
||||||||
Description
|
Shares/Units | Value | ||||||
Canada 13.2%
|
||||||||
Royalty Trust 13.2%
|
||||||||
ARC Energy Trust
|
155 | $ | 1,703 | |||||
Baytex Energy Trust
|
545 | 5,007 | ||||||
Bonavista Energy Trust
|
588 | 6,691 | ||||||
Crescent Point Energy Trust
|
327 | 6,053 | ||||||
Enerplus Resources Fund
|
572 | 9,655 | ||||||
NAL Oil & Gas Trust
|
1,504 | 7,566 | ||||||
Penn West Energy Trust
|
514 | 4,527 | ||||||
Vermilion Energy Trust
|
344 | 6,617 | ||||||
Westshore Terminals Income Fund
|
221 | 1,390 | ||||||
Zargon Energy Trust
|
559 | 6,530 | ||||||
Total Canada (Cost $97,426)
|
55,739 | |||||||
Total Equity Investments (Cost $583,958)
|
419,921 | |||||||
Interest |
Maturity |
Principal |
||||||||||||||
Description
|
Rate | Date | Amount | Value | ||||||||||||
Energy Debt Investments 32.4%
|
||||||||||||||||
United States 29.7%
|
||||||||||||||||
Coal 6.1%
|
||||||||||||||||
Alpha Natural Resources, Inc.(k)
|
2.375 | % | 4/15/15 | $ | 6,500 | $ | 4,444 | |||||||||
Massey Energy Company(k)
|
3.250 | 8/01/15 | 20,150 | 12,795 | ||||||||||||
Peabody Energy Corporation
|
6.875 | 3/15/13 | 5,000 | 4,863 | ||||||||||||
Penn Virginia Corporation(k)
|
4.500 | 11/15/12 | 5,450 | 3,665 | ||||||||||||
25,767 | ||||||||||||||||
Marine Transportation 4.4%
|
||||||||||||||||
Navios Maritime Holdings Inc.
|
9.500 | 12/15/14 | 25,250 | 15,150 | ||||||||||||
Overseas Shipholding Group, Inc.
|
7.500 | 2/15/24 | 4,687 | 3,351 | ||||||||||||
18,501 | ||||||||||||||||
Midstream 4.6%
|
||||||||||||||||
El Paso Corporation
|
12.000 | 12/12/13 | 8,765 | 9,291 | ||||||||||||
El Paso Corporation
|
7.750 | 1/15/32 | 6,035 | 4,633 | ||||||||||||
Knight, Inc.
|
6.500 | 9/01/12 | 2,000 | 1,880 | ||||||||||||
The Williams Companies, Inc.
|
8.750 | 3/15/32 | 3,600 | 3,366 | ||||||||||||
19,170 | ||||||||||||||||
Oilfield Services 1.3%
|
||||||||||||||||
Dresser, Inc.
|
(l) | 5/04/15 | 13,000 | 5,330 | ||||||||||||
Upstream 11.2%
|
||||||||||||||||
Anadarko Petroleum Corporation
|
5.950 | 9/15/16 | 10,000 | 8,901 | ||||||||||||
Carrizo Oil & Gas, Inc.(k)
|
4.375 | 6/01/28 | 7,000 | 3,692 | ||||||||||||
CDX Funding, LLC
|
(m) | 3/31/13 | 3,750 | 938 | ||||||||||||
Denbury Resources Inc.
|
9.750 | 3/01/16 | 9,010 | 8,469 | ||||||||||||
Hilcorp Energy Company
|
7.750 | 11/01/15 | 6,589 | 5,041 | ||||||||||||
Mariner Energy, Inc.
|
7.500 | 4/15/13 | 4,000 | 3,020 | ||||||||||||
Mariner Energy, Inc.
|
8.000 | 5/15/17 | 6,000 | 3,990 | ||||||||||||
Petrohawk Energy Corporation
|
9.125 | 7/15/13 | 14,045 | 13,273 | ||||||||||||
47,324 | ||||||||||||||||
Other Energy 2.1%
|
||||||||||||||||
Energy Future Holdings Corp.
|
(n) | 10/10/14 | 15,000 | 9,056 | ||||||||||||
Total United States (Cost $152,108)
|
125,148 | |||||||||||||||
Canada 2.7%
|
||||||||||||||||
Upstream 2.7%
|
||||||||||||||||
Athabasca Oil Sands Corp. (Cost $19,047)
|
13.000 | 7/30/11 | 19,500 | 11,572 | ||||||||||||
Total Fixed Income Investments (Cost $171,155)
|
136,720 | |||||||||||||||
Total Long-Term Investments (Cost $755,113)
|
556,641 | |||||||||||||||
Short-Term Investment 8.2%
|
||||||||||||||||
Repurchase Agreement 8.2%
|
||||||||||||||||
J.P. Morgan Securities Inc. (Agreement dated 2/27/2009 to be
repurchased at $34,461), collateralized by $35,455 in U.S.
Treasury notes and bonds (Cost $34,461)
|
0.180 | 3/02/09 | 34,461 | |||||||||||||
Total Investments 140.3% (Cost $789,574)
|
591,102 | |||||||||||||||
No. of |
||||||||
Description
|
Contracts | Value | ||||||
Liabilities
|
||||||||
Call Option Contracts Written(j)
|
||||||||
United States
|
||||||||
Coal
|
||||||||
CONSOL Energy Inc., call option expiring 3/21/2009 @ $30.00
|
1,000 | $ | (130 | ) | ||||
Foundation Coal Holdings Inc., call option expiring 3/21/2009 @
$17.50
|
1,400 | (154 | ) | |||||
Peabody Energy Corporation, call option expiring 3/21/2009 @
$25.00
|
750 | (105 | ) | |||||
Peabody Energy Corporation, call option expiring 3/21/2009 @
$30.00
|
250 | (11 | ) | |||||
(400 | ) | |||||||
MLP
|
||||||||
Penn Virginia Resource Partners, L.P., call option expiring
3/21/2009 @ $15.00
|
750 | (4 | ) | |||||
Williams Partners L.P., call option expiring 3/21/2009 @ $17.50
|
70 | | ||||||
(4 | ) | |||||||
Total Call Option Contracts Written (Premium received
$753)
|
(404 | ) | ||||||
Senior Unsecured Notes
|
(165,000 | ) | ||||||
Other Liabilities
|
(20,395 | ) | ||||||
Total Liabilities
|
(185,799 | ) | ||||||
Other Assets
|
15,876 | |||||||
Total Liabilities in Excess of Other Assets
|
(169,923 | ) | ||||||
Net Assets Applicable To Stockholders
|
$ | 421,179 | ||||||
(a) | Unless otherwise noted, equity investments are common units/common shares. | |
(b) | Unless otherwise noted, securities are treated as a publicly traded partnership for regulated investment company (RIC) qualification purposes. To qualify as a RIC for tax purposes, the Fund may directly invest up to 25% of its total assets in equity and debt securities of entities treated as publicly traded partnerships. Although the Fund had 34.8% of its net assets invested in securities treated as publicly traded partnerships at February 28, 2009, the Fund had less than 25% of its total assets invested in these securities. It is the Funds intention to be treated as a RIC for tax purposes. | |
(c) | Includes Limited Liability Companies. | |
(d) | Security is not treated as a publicly-traded partnership for RIC qualification purposes. | |
(e) | Fair valued and restricted security. | |
(f) | Security is currently not paying cash distributions but is expected to pay cash distributions or convert to securities which pay cash distributions within the next 12 months. | |
(g) | Security or a portion thereof is segregated as collateral on option contracts written. | |
(h) | The Fund believes that it is an affiliate of Plains All American Pipeline, L.P. | |
(i) | Distributions are paid-in-kind. | |
(j) | Security is non-income producing. | |
(k) | Convertible security. | |
(l) | Floating rate senior secured second lien term loan. Security pays interest at a rate of LIBOR + 575 basis points (6.99% as of February 28, 2009). | |
(m) | Floating rate senior secured second lien term loan. Security pays interest at a prime rate of 3.25% + 525 basis points and 200 basis points default penalty (10.50% as of February 28, 2009). As of February 28, 2009, CDX Funding, LLC was in payment default under the floating rate senior secured second lien term loan. | |
(n) | Floating rate senior secured first lien B-2 term loan. Security pays interest at a rate of LIBOR + 350 basis points (3.98% as of February 28, 2009). Energy Future Holdings Corp., formerly TXU Corp., is a privately-held energy company with a portfolio of competitive and regulated energy subsidiaries, including TXU Energy, Oncor and Luminant. |
Number of |
Fair |
Percent |
Percent |
||||||||||||||||||||||||||||||
Type of |
Units or |
Acquisition |
Cost |
Fair |
Value per |
of Net |
of Total |
||||||||||||||||||||||||||
Investment
|
Security
|
Restriction | Principal ($) | Date | Basis | Value | Unit | Assets | Assets | ||||||||||||||||||||||||
Copano Energy, L.L.C.
|
Class D Units | (1) | 114 | 3/14/2008 | $ | 3,000 | $ | 1,392 | $ | 12.18 | 0.3 | % | 0.2 | % | |||||||||||||||||||
Total of securities valued in accordance with procedures
established by the Board of Directors(2)
|
$ | 3,000 | $ | 1,392 | 0.3 | % | 0.2 | % | |||||||||||||||||||||||||
Athabasca Oil Sands Corp.
|
Corporate Bonds | (3) | $ | 19,500 | (4) | $ | 19,047 | $ | 11,572 | n/a | 2.7 | % | 1.9 | % | |||||||||||||||||||
CDX Funding, LLC
|
Term Loan | (3) | $ | 3,750 | (4) | 3,790 | 938 | n/a | 0.2 | 0.2 | |||||||||||||||||||||||
Dresser, Inc.
|
Term Loan | (3) | $ | 13,000 | (4) | 12,340 | 5,330 | n/a | 1.3 | 0.9 | |||||||||||||||||||||||
Energy Future Holdings Corp.
|
Term Loan | (3) | $ | 15,000 | (4) | 10,765 | 9,056 | n/a | 2.2 | 1.5 | |||||||||||||||||||||||
Hilcorp Energy Company
|
Corporate Bonds | (3) | $ | 6,589 | (4) | 6,351 | 5,041 | n/a | 1.2 | 0.8 | |||||||||||||||||||||||
Total of securities valued by prices provided by market maker or
independent pricing service(5)(6)
|
$ | 52,293 | $ | 31,937 | 7.6 | % | 5.3 | % | |||||||||||||||||||||||||
Total of all restricted securities
|
$ | 55,293 | $ | 33,329 | 7.9 | % | 5.5 | % | |||||||||||||||||||||||||
(1) | Unregistered security of a publicly-traded company for which there is currently no established market. The Class D Units of Copano Energy, L.L.C. are expected to convert to public units in February 2010. | |
(2) | Restricted security that represents Level 3 categorization under SFAS No. 157 where reliable market quotes are not readily available. Security is valued in accordance with the procedures established by the board of directors. | |
(3) | Unregistered security of a private company. | |
(4) | Acquired at various times throughout the current fiscal period and/or prior fiscal years. | |
(5) | Securities with a fair market value determined by the mean of the bid and ask prices provided by a syndicate bank or principal market maker. These securities have limited trading volume and are not listed on a national exchange. The syndicate bank or principal market maker is the active exchange for such securities. | |
(6) | Restricted securities that represent Level 2 categorization under SFAS No. 157. Securities are valued using prices provided by a principal market maker, syndicate bank or an independent pricing service. |
Gross unrealized appreciation
|
$ | 25,078 | ||
Gross unrealized depreciation
|
(240,851 | ) | ||
Net unrealized depreciation
|
$ | (215,773 | ) | |
| Level 1 Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement. | |
| Level 2 Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers. |
| Level 3 Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Funds own assumptions that market participants would use to price the asset or liability based on the best available information. |
Quoted Prices in |
Prices with Other |
Unobservable |
||||||||||||||
Active Markets |
Observable Inputs |
Inputs |
||||||||||||||
Assets at Fair Value
|
Total | (Level 1) | (Level 2) | (Level 3) | ||||||||||||
Long-Term Investments(1)
|
$ | 556,641 | $ | 418,529 | $ | 136,720 | $ | 1,392 | ||||||||
Liabilities at Fair
Value
|
||||||||||||||||
Option Contracts Written
|
$ | 404 | | $ | 404 | |
(1) | The Funds investment in Level 3 represents its investment in Copano Energy, L.L.C. Class D Units. |
Long-Term |
||||
Assets at Fair Value Using Unobservable Inputs
(Level 3)
|
Investments | |||
Balance November 30, 2008
|
$ | 1,125 | ||
Transfers out of Level 3
|
| |||
Realized gain (losses)
|
| |||
Unrealized gains, net
|
267 | |||
Purchases, issuances or settlements
|
| |||
Balance February 28, 2009
|
$ | 1,392 | ||
Derivatives Not Accounted for |
Fair Value as of |
|||||
as Hedging Instruments |
February 28, |
|||||
Under SFAS No. 133 | Statement of Assets and Liabilities Location | 2009 | ||||
Liabilities
|
||||||
Call options
|
Call option contracts written | $ | 404 |
For the Three Months |
||||||||||
Ended February 28, 2009 | ||||||||||
Net Change in |
||||||||||
Net Realized |
Unrealized |
|||||||||
Gains |
Gains |
|||||||||
Derivatives Not Accounted for |
on Derivatives |
on Derivatives |
||||||||
as Hedging Instruments |
Location of Gains |
Recognized in |
Recognized in |
|||||||
Under SFAS No. 133 | on Derivatives Recognized in Income | Income | Income | |||||||
Call options
|
Options | $ | 1,721 | $ | 303 |
ITEM 2: | CONTROLS AND PROCEDURES |
ITEM 3: | EXHIBITS |
KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC. |
/s/ Kevin
S. McCarthy Name: Kevin S. McCarthy Title: Chairman, President and Chief Executive Officer Date: April 29, 2009 |
/s/ Kevin
S. McCarthy Name: Kevin S. McCarthy Title: Chairman, President and Chief Executive Officer Date: April 29, 2009 |
||||
/s/ Terry
A. Hart Name: Terry A. Hart Title: Chief Financial Officer and Treasurer Date: April 29, 2009 |