KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2008
(amounts in 000’s, except share and per share amounts)
(UNAUDITED)
| ASSETS | |
| Investments, at fair value Non-affiliated (Cost —$1,005,275) | $1,278,790 |
| Investments, at fair value Affiliated (Cost —$46,545) | 67,746 |
| Repurchase agreement (Cost — $16,809) | 16,809 |
| Total investments (Cost—$1,069,539) | 1,363,619 |
| Cash denominated in foreign currency (Cost of $509) | 512 |
| Deposits with brokers | 10,934 |
| Receivable for securities sold (Cost —$8,266) | 8,266 |
| Interest, dividends and distributions receivable (Cost —$5,680) | 5,675 |
| Prepaid expenses | 74 |
| Unrealized appreciation on interest rate swap contracts | 277 |
|
1,389,357 |
| LIABILITIES | |
| Payable for securities purchased (Cost—$28,116) | 28,116 |
| Investment management fee payable | 1,396 |
| Call option contracts written, at fair value (Premiums received $1,033) | 2,299 |
| Accrued directors’ fees and expenses | 52 |
| Accrued expenses and other liabilities | 875 |
| Unrealized depreciation on interest rate swap contracts | 6,300 |
|
39,038 |
| PREFERRED STOCK | |
| Series A, $25,000 liquidation value per share applicable to 4,000 outstanding shares (7,000 shares authorized) | $100,000 |
| Series B, $25,000 liquidation value per share applicable to 3,235 outstanding shares (7,000 shares authorized) | 80,875 |
| Series C, $25,000 liquidation value per share applicable to 4,000 outstanding shares (7,000 shares authorized) | 100,000 |
|
280,875 |
| NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS | $1,069,444 |
| NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS CONSIST OF: | |
| Common stock, $0.001 par value (32,443,513 shares issued, 32,209,009 shares outstanding and 199,979,000 shares authorized) | $32 |
| Paid-in capital, less distributions in excess of taxable income | 741,135 |
| Accumulated net investment income less distributions not treated as tax return of capital | (6,819) |
| Accumulated net realized gains less distributions not treated as tax return of capital | (48,307) |
| Net unrealized gains on investments, foreign currency translations, options and interest rate swap contracts | 286,789 |
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS |
$1,069,444 |
| NET ASSET VALUE PER COMMON SHARE | $33.20 |
