|
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)
|
|
|
Fiduciary/Claymore MLP Opportunity Fund
|
||||
|
Portfolio of Investments
|
||||
|
August 31, 2010 (unaudited)
|
||||
|
Number of Shares
|
Value
|
|||
|
Master Limited Partnerships and MLP Affiliates - 144.9%
|
||||
|
Coal - 4.9%
|
||||
|
156,800
|
Alliance Resource Partners, L.P.
|
$ 8,478,176
|
||
|
217,270
|
Natural Resource Partners, L.P.
|
5,562,112
|
||
|
365,000
|
Oxford Resource Partners, LP
|
6,964,200
|
||
|
21,004,488
|
||||
|
Consumer Discretionary - 0.9%
|
||||
|
162,680
|
StoneMor Partners L.P. (b)
|
3,902,693
|
||
|
Marine Transportation - 1.8%
|
||||
|
367,700
|
Teekay Offshore Partners L.P. (Marshall Islands)
|
7,813,625
|
||
|
Diversified Gas Infrastructure - 68.8%
|
||||
|
673,082
|
Boardwalk Pipeline Partners, LP (b)
|
20,569,386
|
||
|
275,000
|
Chesapeake Midstream Partners L.P. (a)
|
6,476,250
|
||
|
966,587
|
Copano Energy, L.L.C. (b)
|
24,280,665
|
||
|
627,095
|
DCP Midstream Partners, LP (b)
|
19,916,537
|
||
|
545,054
|
El Paso Pipeline Partners, L.P. (b)
|
17,065,641
|
||
|
644,450
|
Energy Transfer Equity L.P. (b)
|
22,394,638
|
||
|
329,237
|
Energy Transfer Partners, L.P. (b)
|
15,042,839
|
||
|
1,753,201
|
Enterprise Products Partners L.P. (b)
|
64,815,841
|
||
|
136,085
|
Exterran Partners, L.P.
|
3,178,945
|
||
|
381,225
|
MarkWest Energy Partners, L.P.
|
12,702,417
|
||
|
377,035
|
ONEOK Partners, L.P. (b)
|
25,940,008
|
||
|
825,800
|
Regency Energy Partners LP
|
19,637,524
|
||
|
508,415
|
Targa Resources Partners LP
|
12,857,815
|
||
|
285,550
|
TC PipeLines, LP
|
12,407,148
|
||
|
484,300
|
Williams Partners, L.P.
|
20,393,873
|
||
|
297,679,527
|
||||
|
Midstream Oil Infrastructure - 52.0%
|
||||
| 123,400 | Enbridge Energy Management, L.L.C. (a) | 6,548,838 | ||
|
618,502
|
Enbridge Energy Partners, L.P. (b)
|
33,244,483
|
||
|
624,305
|
Genesis Energy, L.P. (b)
|
13,204,051
|
||
|
381,270
|
Global Partners LP (b)
|
9,470,747
|
||
|
269,725
|
Holly Energy Partners, L.P. (b)
|
13,486,250
|
||
|
885,378
|
Kinder Morgan Management, L.L.C. (a) (b) (c)
|
52,299,278
|
||
|
662,726
|
Magellan Midstream Partners, L.P. (b)
|
32,115,702
|
||
|
248,105
|
NuStar Energy L.P. (b)
|
14,139,504
|
||
|
607,851
|
Plains All American Pipeline, L.P. (b)
|
36,495,374
|
||
|
130,385
|
Sunoco Logistics Partners L.P. (b)
|
9,655,009
|
||
|
129,600
|
Transmontaigne Partners L.P.
|
4,515,264
|
||
|
225,174,500
|
||||
|
Oil and Gas Production - 4.9%
|
||||
|
389,212
|
EV Energy Partners, L.P. (b)
|
13,085,307
|
||
|
308,746
|
Pioneer Southwest Energy Partners L.P. (b)
|
8,292,918
|
||
|
21,378,225
|
||||
|
Propane - 11.6%
|
||||
|
271,600
|
Ferrellgas Partners L.P.
|
7,172,956
|
||
|
575,000
|
Inergy Holdings, L.P.
|
15,743,500
|
||
|
308,711
|
Inergy, L.P. (b)
|
11,496,397
|
||
|
320,800
|
Suburban Propane Partners L.P.
|
15,853,936
|
||
|
50,266,789
|
||||
|
|
Total Master Limited Partnerships and MLP Affiliates
|
|||
|
|
(Cost $382,682,294)
|
620,671,009
|
||
|
Common Stocks - 0.9%
|
||||
|
Oil and Gas Production - 0.9%
|
||||
|
34,500
|
Abraxas Petroleum Corp. (a)
|
83,145
|
||
|
1,513,847
|
Abraxas Petroleum Corp. (a) (d) (e)
|
3,634,747
|
||
|
(Cost $5,050,305)
|
3,717,892
|
|||
|
|
||||
|
|
|
|||
|
Other Equity Securities - 0.0%
|
||||
|
Coal - 0.0%
|
||||
|
1,145,621
|
Clearwater Natural Resources, L.P. (a) (d) (e) (f)
|
-
|
||
|
123
|
Clearwater GP Holding Co. (a) (d) (e) (f)
|
-
|
||
|
(Cost $23,111,792)
|
-
|
|||
|
Incentive Distribution Rights - 0.0%
|
||||
|
43
|
Clearwater Natural Resources, L.P. (a) (d) (e) (f)
|
-
|
||
|
(Cost $0)
|
||||
|
Warrants - 0.0%
|
||||
|
114,230
|
Abraxas Petroleum Corp. (a) (d) (e)
|
53,790
|
||
|
9,499
|
Clearwater Natural Resources, L.P. (a) (d) (e) (f)
|
-
|
||
|
(Cost $0)
|
53,790
|
|||
|
Principal Amount
|
||||
|
Term Loans - 0.1%
|
||||
|
$ 1,237,397
|
Clearwater Subordinate Note, 12/03/09, NR (a) (d) (e) (f)
|
408,341
|
||
|
(Cost $1,237,397)
|
||||
|
Long Term Investments - 145.9%
|
||||
|
(Cost $412,081,788)
|
631,399,870
|
|||
|
Number of Shares
|
Short Term Investments - 6.1%
|
|||
|
Money Market Fund - 6.1%
|
||||
|
26,473,328
|
Dreyfus Treasury & Agency Cash Management - Investor Shares
|
|||
|
(Cost $26,473,328)
|
26,473,328
|
|||
|
|
||||
|
Total Investments - 152.0%
|
||||
|
(Cost $438,555,116)
|
657,873,198
|
|||
|
Borrowings Outstanding - (30.0% of Net Assets or 19.8% of Total Investments)
|
(130,000,000)
|
|||
|
Liabilities in excess of Other Assets - (22.0%)
|
(95,198,200)
|
|||
|
Net Assets - 100.0%
|
$ 432,674,998
|
|||
|
Limited Liability Company
|
||||
|
Limited Partnership
|
||||
|
Master Limited Partnership
|
||||
|
Ratings shown are per Standard & Poor’s. Securities classified as NR are not rated by Standard & Poor’s. Ratings are unaudited.
|
||||
|
Non-income producing security.
|
||||
|
All or a portion of these securities have been physically segregated in connection with swap agreements or
|
||||
|
as collateral for borrowings outstanding. The total amount segregated is $311,394,884.
|
||||
|
While non-income producing, security makes regular in-kind distributions.
|
||||
|
Security is restricted and may be resold only in transactions exempt from registration, normally to qualified
|
||||
|
institutional buyers. At August 31, 2010, restricted securities aggregate market value amounted to
|
||||
|
$4,096,878 or 0.9% of net assets.
|
||||
|
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 $4,096,878 which represents 0.9% of net assets.
|
||||
|
Company has filed for protection in federal bankruptcy court.
|
||||
|
Country Allocation*
|
||||
|
United States
|
98.8%
|
|||
|
Marshall Islands
|
1.2%
|
|||
|
|
*
|
Subject to change daily. Based on total investments.
|
||
|
See previously submitted Notes to Financial Statements for the period ended May 31, 2010.
|
||||
|
Interest Rate Swap Agreements
|
|||||||||||||||||||||
|
Unrealized
|
|||||||||||||||||||||
|
Termination
|
Notional
|
Appreciation/
|
|||||||||||||||||||
|
Counterparty
|
Date
|
Amount ($000)
|
Fixed Rate
|
Floating Rate
|
(Depreciation)
|
||||||||||||||||
|
Merrill Lynch
|
1/30/2011
|
$ | 30,000 | 3.05 | % |
1 - Month LIBOR
|
$ | (419,149 | ) | ||||||||||||
|
Merrill Lynch
|
1/30/2013
|
$ | 30,000 | 3.49 | % |
1 - Month LIBOR
|
(2,097,403 | ) | |||||||||||||
|
Morgan Stanley
|
2/7/2011
|
$ | 30,000 | 2.92 | % |
1 - Month LIBOR
|
(387,856 | ) | |||||||||||||
|
Morgan Stanley
|
3/19/2013
|
$ | 30,000 | 3.13 | % |
1 - Month LIBOR
|
(2,234,530 | ) | |||||||||||||
| $ | (5,138,938 | ) | |||||||||||||||||||
|
For each swap noted, the Fund is obligated to pay the fixed rate and entitled to receive the floating rate.
|
|||||||||||||||||||||
|
Restricted Securities
|
|||||||||||||||||||||
|
Price at
|
|||||||||||||||||||||
|
Date of
|
Fair Market
|
Acquisition Date
|
8/31/2010
|
||||||||||||||||||
|
Security
|
Acquisition
|
Shares/Par
|
Current Cost
|
Value
|
(unrestricted)***
|
Price
|
|||||||||||||||
|
Abraxas Petroleum Corp.
|
10/5/2009
|
756,923 | $ | 2,468,886 | $ | 1,821,931 | $ | 1.75 | $ | 2.4070 | |||||||||||
|
Abraxas Petroleum Corp.
|
10/5/2009
|
756,924 | $ | 2,468,889 | $ | 1,812,816 | $ | 1.75 | $ | 2.3950 | |||||||||||
|
Abraxas Petroleum Corp.*
|
5/25/2007
|
114,230 | $ | - | $ | 53,790 | $ | - | $ | 0.4709 | |||||||||||
|
Clearwater GP Holding Co.
|
2/29/2008
|
123 | $ | 199,369 | $ | - | $ | 1,252.03 | $ | - | |||||||||||
|
Clearwater Natural Resources, L.P.*
|
1/13/2009
|
9,499 | $ | - | $ | - | $ | - | $ | - | |||||||||||
|
Clearwater Natural Resources, L.P.**
|
8/1/2005
|
43 | $ | - | $ | - | $ | - | $ | - | |||||||||||
|
Clearwater Natural Resources, L.P.
|
8/1/2005
|
892,857 | $ | 17,857,143 | $ | - | N/A | $ | - | ||||||||||||
|
Clearwater Natural Resources, L.P.
|
10/2/2006
|
252,764 | $ | 5,055,280 | $ | - | N/A | $ | - | ||||||||||||
|
Clearwater Subordinate Note
|
7/8/2008
|
$ | 212,000 | $ | 212,000 | $ | 69,960 | $ | 100.00 | $ | 33.00 | ||||||||||
|
Clearwater Subordinate Note
|
8/6/2008
|
$ | 212,000 | $ | 212,000 | $ | 69,960 | $ | 100.00 | $ | 33.00 | ||||||||||
|
Clearwater Subordinate Note
|
9/29/2008
|
$ | 759,880 | $ | 759,880 | $ | 250,760 | $ | 100.00 | $ | 33.00 | ||||||||||
|
Clearwater Subordinate Note
|
1/9/2009
|
$ | 53,517 | $ | 53,517 | $ | 17,661 | $ | 100.00 | $ | 33.00 | ||||||||||
|
Total
|
$ | 29,286,964 | $ | 4,096,878 | |||||||||||||||||
|
*Warrants
|
|||||||||||||||||||||
|
**Incentive Distribution Rights
|
|||||||||||||||||||||
|
***Valuation of unrestricted security on the acquisition date of the restricted shares.
|
|||||||||||||||||||||
|
At August 31, 2010, 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
|
|
|||||||||||||||
| $ | 395,475,096 | $ | 287,837,551 | $ | (25,439,449 | ) | $ | 262,398,102 | |||||||||||
|
In accordance with ASC 820, Fair Value Measurements and Disclosures (formerly known as the Statement
|
|||||||||||||||||||
|
of Financial Accounting Standard ("FAS") No. 157), 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. ASC 820 establishes 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 has adopted the Accounting Standard Update, Fair Value Measurements and Disclosures (Topic 820):
|
|||||||||||||||||||
|
Improving Disclosure about Fair Value Measurements which provides guidance on how investment assets
|
|||||||||||||||||||
|
and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose
|
|||||||||||||||||||
|
i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value
|
|||||||||||||||||||
|
measurements, for Level 2 or Level 3 positions ii) transfers between all levels (including Level 1 and Level 2)
|
|||||||||||||||||||
|
on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for
|
|||||||||||||||||||
|
the transfer and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the Level
|
|||||||||||||||||||
|
3 rollforward rather than as one net number. The effective date of the amendment is for the interim and annual
|
|||||||||||||||||||
|
periods beginning after December 15, 2009 however, the requirement to provide the Level 3 activity for purchases,
|
|||||||||||||||||||
|
sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning
|
|||||||||||||||||||
|
after December 15, 2010.
|
|||||||||||||||||||
|
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund owns 1,513,847 shares of Abraxas Petroleum Corp. common stock valued as a Level 2 security due to sale restrictions on the shares. These shares are valued at a discount to the readily available market quotations of Abraxas Petroleum Corp. (ticker: AXAS). In addition, the Fund owns 114,230 shares of Abraxas Petroleum Corp. warrants which are valued as a Level 2 security. The warrants are valued using a pricing methodology that considers observable inputs such as AXAS stock price, the one-month Treasury Bill, the expiration date of the warrants and the exercise price of the warrants.
|
|||||||||||||||||||
|
Clearwater Natural Resources L.P. labeled as Other Equity Securities, Clearwater GP Holding Co. labeled as Other Equity Securities, Clearwater Natural Resources L.P. labeled as Incentive Distribution Rights, and Clearwater Natural Resources L.P. labeled as Warrants are valued as Level 3 securities. All of these securities are valued at zero due to Clearwater declaring bankruptcy. Clearwater Subordinate Note term loan is also a Level 3 security. It is valued at 0.33 based upon its status as an unsecured lender and bankruptcy court proceeding settlements.
|
|||||||||||||||||||
|
The following table represents the Fund's investments carried on the Statement of Assets and Liabilities by
|
|||||||||||||||||||
|
caption and by level within the fair value hierarchy as of August 31, 2010.
|
|||||||||||||||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||||
|
(value in $000s)
|
|||||||||||||||||||
|
Assets:
|
|||||||||||||||||||
|
Master Limited Partnerships & MLP Affiliates
|
|||||||||||||||||||
|
Coal
|
$ | 21,004 | $ | - | $ | - | $ | 21,004 | |||||||||||
|
Consumer Discretionary
|
3,903 | - | - | 3,903 | |||||||||||||||
|
Marine Transportation
|
7,814 | - | - | 7,814 | |||||||||||||||
|
Diversified Gas Infrastructure
|
297,679 | - | - | 297,679 | |||||||||||||||
|
Midstream Oil Infrastructure
|
218,626 | - | - | 218,626 | |||||||||||||||
|
Oil and Gas Production
|
21,378 | - | - | 21,378 | |||||||||||||||
|
Propane
|
50,267 | - | - | 50,267 | |||||||||||||||
|
Common Stocks
|
|||||||||||||||||||
|
Midstream Oil Infrastructure
|
6,549 | - | - | 6,549 | |||||||||||||||
|
Oil and Gas Production
|
83 | 3,635 | - | 3,718 | |||||||||||||||
|
Other Equity Securities
|
|||||||||||||||||||
|
Coal
|
- | - | - | - | |||||||||||||||
|
Incentive Distribution Rights
|
- | - | - | - | |||||||||||||||
|
Warrants
|
- | 54 | - | 54 | |||||||||||||||
|
Term Loans
|
- | - | 408 | 408 | |||||||||||||||
|
Money Market Fund
|
26,473 | - | - | 26,473 | |||||||||||||||
|
Total
|
$ | 653,776 | $ | 3,689 | $ | 408 | $ | 657,873 | |||||||||||
|
Liabilities:
|
|||||||||||||||||||
|
Derivatives
|
$ | - | 5,139 | $ | - | $ | 5,139 | ||||||||||||
|
Total
|
$ | - | $ | 5,139 | $ | - | $ | 5,139 | |||||||||||
|
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 August 31, 2010.
|
|||||||||||||||||||||
|
Level 3 Holdings
|
|||||||||||||||||||||
|
Beginning Balance at 11/30/09
|
|||||||||||||||||||||
|
Other Equity Securities
|
$ | - | |||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
433 | ||||||||||||||||||||
|
Total Realized Gain/Loss
|
|||||||||||||||||||||
|
Other Equity Securities
|
- | ||||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
- | ||||||||||||||||||||
|
Change in Unrealized Gain/Loss
|
|||||||||||||||||||||
|
Other Equity Securities
|
- | ||||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
(25 | ) | |||||||||||||||||||
|
Net Purchases and Sales
|
|||||||||||||||||||||
|
Other Equity Securities
|
- | ||||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
- | ||||||||||||||||||||
|
Net Transfers In/Out
|
|||||||||||||||||||||
|
Other Equity Securities
|
- | ||||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
- | ||||||||||||||||||||
|
Ending Balance at 8/31/10
|
|||||||||||||||||||||
|
Other Equity Securities
|
- | ||||||||||||||||||||
|
Incentive Distribution Rights
|
- | ||||||||||||||||||||
|
Warrants
|
- | ||||||||||||||||||||
|
Term Loans
|
408 | ||||||||||||||||||||
|
Total Level 3 holdings
|
$ | 408 | |||||||||||||||||||
|
The table below presents the transfers in and out of the three valuation levels for the Fund as of the report date when compared to the valuation levels at the end of the previous fiscal year. Changes from Level 2 to Level 1 are due to securities becoming eligible for resale pursuant to Rule 144A under the 1933 Act, and therefore being valued using readily available market quotations in active markets.
|
| Level 1 | Level 2 | Level 3 | ||||||||||||||||||
|
Transfers In
|
(Transfers Out)
|
Transfers In
|
(Transfers Out)
|
Transfers In
|
(Transfers Out)
|
|||||||||||||||
| $ | 4,856 | $ | - | $ | - | $ | (4,856 | ) | $ | - |
$ -
|
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|
|
(a)
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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 in 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.
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|
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(b)
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There was no changes 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.
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