UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-21652
Fiduciary/Claymore MLP Opportunity Fund
(Exact name of registrant as specified in charter)

 

2455 Corporate West Drive, Lisle, IL 60532
(Address of principal executive offices)(Zip code)

Kevin M. Robinson

2455 Corporate West Drive, Lisle, IL 60532

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (630) 505-3700

 

Date of fiscal year end: November 30

 

Date of reporting period: December 1, 2011 - February 29, 2012

 

 

 

 
 

 

Item 1. Schedule of Investments.

Attached hereto.

 

FMO Fiduciary/Claymore MLP Opportunity Fund  
Portfolio of Investments  
February 29, 2012 (unaudited)  
     
  Principal      
  Amount   Description Value
      Long-Term Investments - 162.2%  
      Term Loans - 0.0%*  
  $708,500   Clearwater Subordinated Note NR(a) (d) (e) (f) $233,805
      (Cost $708,500)  
         
  Number       
  of Shares   Description Value
      Master Limited Partnerships - 162.2%  
      Coal - 4.1%  
  100,000   Alliance Holdings GP, LP $5,031,000
  131,800   Alliance Resource Partners, LP 9,459,286
  217,270   Natural Resource Partners, LP 5,303,561
  365,000   Oxford Resource Partners, LP(c) 3,332,450
        23,126,297
         
      Diversified Gas Infrastructures - 83.5%  
  205,100   American Midstream Partners, LP 4,491,690
  716,587   Copano Energy, LLC(c) 26,642,705
  280,000   Crestwood Midstream Partners, LP 8,075,200
  741,668   Crestwood Midstream Partners, LP, Class C(a)(b)(d)(e) 20,501,938
  868,195   DCP Midstream Partners, LP(c) 42,281,097
  563,529   El Paso Pipeline Partners, LP(c) 20,664,608
  1,816,700   Energy Transfer Equity, LP(c) 79,008,283
  329,237   Energy Transfer Partners, LP(c) 15,605,834
  1,217,925   Enterprise Products Partners, LP(c) 63,185,949
  351,735   Exterran Partners, LP(c) 8,318,533
  381,225   MarkWest Energy Partners, LP(c) 22,801,067
  308,425   ONEOK Partners, LP(c) 17,950,335
  1,251,233   Regency Energy Partners, LP(c) 33,157,674
  508,415   Targa Resources Partners, LP(c) 21,633,058
  599,625   TC PipeLines, LP(c) 27,846,585
  490,300   Western Gas Partners, LP(c) 22,450,837
  519,000   Williams Partners, LP(c) 32,286,990
        466,902,383
         
      Marine Transportation - 4.8%  
  907,909   Teekay Offshore Partners, LP (Marshall Islands)(c) 26,683,446
         
      Midstream Oil Infrastructure - 55.6%  
  568,141   Buckeye Partners, LP, Class B(a) (b) (d) (e) 31,364,451
  238,095   Enbridge Energy Management, LLC(a) (b) 8,040,468
  1,211,954   Enbridge Energy Partners, LP(c) 39,449,103
  923,305   Genesis Energy, LP(c) 28,539,357
  169,725   Holly Energy Partners, LP(c) 10,392,262
  693,790   Inergy Midstream, LP 14,701,410
  754,396   Kinder Morgan Management, LLC(a) (b) (c) 60,479,927
  498,776   Magellan Midstream Partners, LP(c) 36,495,440
  250,000   NuStar GP Holdings, LLC(c) 8,697,500
  789,026   Plains All American Pipeline, LP(c) 65,252,450
  219,675   TransMontaigne Partners, LP 7,629,313
        311,041,681
         
      Oil and Gas Production - 6.5%  
  323,462   EV Energy Partners, LP(c) 23,011,087
  100,160   LRR Energy, LP 2,022,230
  412,346   Pioneer Southwest Energy Partners, LP(c) 11,224,058
        36,257,375
         
      Propane - 7.7%  
  1,547,361   Inergy, LP(c) 27,016,923
  174,050   NGL Energy Partners, LP 3,717,708
  280,300   Suburban Propane Partners, LP(c) 12,375,245
        43,109,876
         
      Total Master Limited Partnerships - 162.2%  
      (Cost $478,390,362) 907,121,058
         
      Total Long-Term Investments - 162.2%  
      (Cost $479,098,862) 907,354,863
         
      Short-Term Investments - 3.0%  
  Number       
  of Shares   Description Value
      Money Market - 3.0%  
  16,651,831   Dreyfus Treasury & Agency Cash Management - Investor Shares 16,651,831
      (Cost $16,651,831)  
         
      Total Investments - 165.2%  
      (Cost $495,750,693) 924,006,694
      Liabilities in excess of Other Assets - (31.2%) (174,845,012)
      Borrowings - (34.0% of Net Assets or 20.6% of Total Investments) (190,000,000)
      Net Assets  - 100.0% $559,161,682

 

 

 
 

 

LLC - Limited Liability Company

LP - Limited Partnership

 

 

 
 

 

 

*Represents less than 0.1% of net assets.
(a)Non-income producing security.
(b)While non-income producing, security makes regular in-kind distributions.
(c)All or a portion of these securities have been physically segregated in connection with swap agreements or as collateral for borrowings outstanding.  As of February 29, 2012, the total amount segregated was $554,952,477.
(d)Security is restricted and may be resold only in transactions exempt from registration, normally to qualified institutional buyers.  At February 29, 2012, restricted securities aggregate market value amounted to $52,100,194 or 9.3% of net assets.
(e)Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $52,100,194 which represents 9.3% of net assets.
(f)Company has filed for protection in federal bankruptcy court.

   

 

See previously submitted notes to financial statements for the period ended November 30, 2011.

 

 

 

 

 
 

 

    % of Long-Term
Sector   Investments
Diversified Gas Infrastructures   51.5%
Midstream Oil Infrastructure    34.3%
Propane    4.7%
Oil and Gas Production    4.0%
Marine Transportation   2.9%
Coal    2.6%

 

At February 29, 2012, the cost and related gross unrealized appreciation and depreciation on investments for   

tax purposes are as follows:              

 

Cost of Investments for Tax Purposes  Gross Tax
Unrealized
Appreciation		   Gross Tax
Unrealized
Depreciation		   Net Tax
Unrealized
Appreciation
on
Investments		 
$469,405,360  $467,542,796   $(12,941,462)  $454,601,334 

 

Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability.  There are three different categories for  valuations.  Level 1 valuations are those based upon quoted prices in active markets.  Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices).  Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation).

                 

The Fund values Level 1 securities using readily available market quotations in active markets.  The Fund values Level 2 equity securities using various observable market inputs in accordance with procedures established in good faith by management and approved by the Board of Trustees.  The Fund values Level 2 derivatives using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and  interest rate fluctuations.

                 

The fair value estimate for the Level 3 security is determined in good faith by the Pricing Committee pursuant to the Valuation Procedures established in good faith by management and approved by the Board of Trustees.  There were various factors considered in reaching fair value determination including, but not limited to, the following: type of security, analysis of the company's performance, and the present value of the the potential future earnings of the investment.

                 

The following table represents the Fund's investments carried  by caption and by level within the fair value hierarchy as of February 29, 2012.

 

Description  Level 1   Level 2   Level 3   Total 
(value in $000s)                    
Assets:                    
Master Limited Partnerships:                    
Coal   23,126    -    -    23,126 
Diversified Gas Infrastructures   446,400    20,502    -    466,902 
Marine Transportation   26,684    -    -    26,684 
Midstream Oil Infrastructure   279,678    31,364    -    311,042 
Oil and Gas production   36,257    -    -    36,257 
Propane   43,110    -    -    43,110 
Term Loans   -    -    234    234 
Money Market Fund   16,652    -    -    16,652 
Total  $871,907   $51,866   $234   $924,007 
                     
Liabilities:                    
Derivatives  $-    1,778   $-   $1,778 
Total  $-   $1,778   $-   $1,778 

 

The transfers in and out of the valuation levels for the Fund as of February 29, 2012 when compared to the valuation levels at the end of previous fiscal year are detailed below.

$(000s)
Transfer from Level 2 to Level 1   $10,555

The transfer from Level 2 to Level 1 was the result of the security becoming registered and therefore trading on an exchange.

 

The following table presents the activity of the Fund's investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the period ended February 29, 2012.         

 

Level 3 Holdings    
Beginning Balance at 11/30/11     
   Term Loans  $ 234 
Total Realized Gain/Loss     
   Term Loans   - 
Change in Unrealized Gain/Loss     
   Term Loans   - 
Net Purchases   - 
Sales     
   Term Loans   - 
Transfers In   - 
Transfers Out   - 
Ending Balance 2/29/12     
   Term Loans   234 
Total Level 3 holdings  $234 

 

 

 
 

 

Interest Rate Swap Agreements                    

 

                     
       Notional            Unrealized 
   Termination   Amount   Fixed    Floating    Appreciation/ 
Counterparty  Date   ($000)   Rate   Rate   (Depreciation) 
Merrill Lynch   1/30/2013   $30,000    3.49%    1 - Month LIBOR    (883,285)
Morgan Stanley   3/19/2013   $30,000    3.13%    1 - Month LIBOR    (895,026)
                       $(1,778,311)

 

For each swap noted, the Fund is obligated to pay the fixed rate and entitled to receive the floating rate.        

 

Restricted Securities

 

                     Price at    
                 Fair   Acquisition    
    Date of   Shares/   Current   Market   Date   2/29/2012
Security   Acquisition   Par   Cost   Value   (unrestricted)*   Price
                         
Buckeye Partners, L.P., Class B   1/18/2011    480,389    $25,000,243    $26,520,071      $  68.35    $55.2054
Buckeye Partners, L.P., Class B   6/10/2011      87,752    $  4,566,755    $  4,844,380      $  62.28    $55.2054
Clearwater Subordinate Note   9/29/2008    $654,983    $     654,983   $     216,144   $100.00    $    33.00
Clearwater Subordinate Note   1/9/2009    $  53,517    $       53,517    $       17,661    $100.00    $    33.00
Crestwood Midstream Partners, LP   4/1/2011    741,668    $17,004,790    $20,501,938    $  30.56    $27.6430
Total            $47,280,288    $52,100,194        

 

*Valuation of unrestricted security on the acquisition date of the restricted shares.

          

 

 
 

 

 

Item 2. Controls and Procedures.

 

(a)The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b)There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) 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 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 (17 CFR 270.30a-2(a)), is attached hereto.

 

 
 

 

  

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) Fiduciary/Claymore MLP Opportunity Fund

 

By:         /s/ Kevin M. Robinson                    

 

Name: Kevin M. Robinson

 

Title:   Chief Executive Officer and Chief Legal Officer

 

Date:  April 25, 2012

 

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/ Kevin M. Robinson                    

 

Name: Kevin M. Robinson

 

Title:   Chief Executive Officer and Chief Legal Officer

 

Date:       April 25, 2012

 

By:_____________________________________________________________________

 

By:         /s/ John Sullivan                              

 

Name: John Sullivan

 

Title:   Chief Financial Officer, Chief Accounting Officer and Treasurer

 

Date:      April 25, 2012