|
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)
|
|
FMO Fiduciary/Claymore MLP Opportunity Fund
|
|||
|
Portfolio of Investments
|
|||
|
August 31, 2011 (unaudited)
|
|||
|
Number
|
|||
|
of Shares
|
Description
|
Value
|
|
|
Long-Term Investments - 165.7%
|
|||
|
Common Stocks - 0.6%
|
|||
|
Oil and Gas Production - 0.6%
|
|||
|
756,924
|
Abraxas Petroleum Corp.(a) (b) (c)
|
$ 2,788,582
|
|
|
(Cost $2,468,889)
|
|||
|
Principal
|
|||
|
Amount
|
Description
|
Value
|
|
|
Term Loans - 0.0% *
|
|||
|
$794,736
|
Clearwater Subordinated Note NR(a) (b) (c) (d)
|
262,263
|
|
|
(Cost $794,736)
|
|||
|
Number
|
|||
|
of Shares
|
Description
|
Value
|
|
|
Master Limited Partnerships - 165.1%
|
|||
|
Coal - 5.8%
|
|||
|
100,000
|
Alliance Holdings GP, LP
|
4,750,000
|
|
|
131,800
|
Alliance Resource Partners, LP
|
9,472,466
|
|
|
217,270
|
Natural Resource Partners, LP
|
6,274,757
|
|
|
365,000
|
Oxford Resource Partners, LP(e)
|
7,059,100
|
|
|
27,556,323
|
|||
|
Diversified Gas Infrastructures - 82.7%
|
|||
|
100,150
|
American Midstream Partners, LP
|
1,803,702
|
|
|
125,000
|
Chesapeake Midstream Partners, LP
|
3,483,750
|
|
|
716,587
|
Copano Energy, LLC(e)
|
23,231,751
|
|
|
280,000
|
Crestwood Midstream Partners, LP
|
7,156,800
|
|
|
715,616
|
Crestwood Midstream Partners, LP, Class C(a) (b) (c) (f)
|
17,183,953
|
|
|
627,095
|
DCP Midstream Partners, LP(e)
|
24,312,473
|
|
|
658,654
|
El Paso Pipeline Partners, LP(e)
|
24,231,881
|
|
|
664,450
|
Energy Transfer Equity, LP(e)
|
25,408,568
|
|
|
329,237
|
Energy Transfer Partners, LP(e)
|
14,835,419
|
|
|
1,697,276
|
Enterprise Products Partners, LP(e)
|
71,540,183
|
|
|
286,985
|
Exterran Partners, LP(e)
|
6,540,388
|
|
|
381,225
|
MarkWest Energy Partners, LP(e)
|
18,317,861
|
|
|
334,170
|
ONEOK Partners, LP(e)
|
14,523,028
|
|
|
233,590
|
PAA Natural Gas Storage, LP
|
4,225,643
|
|
|
2,109,133
|
Regency Energy Partners, LP(e)
|
50,366,096
|
|
|
508,415
|
Targa Resources Partners, LP(e)
|
17,438,635
|
|
|
531,250
|
TC PipeLines, LP(e)
|
23,162,500
|
|
|
490,300
|
Western Gas Partners, LP(e)
|
17,807,696
|
|
|
519,000
|
Williams Partners, LP(e)
|
28,119,420
|
|
|
393,689,747
|
|||
|
Marine Transportation - 3.0%
|
|||
|
528,700
|
Teekay Offshore Partners, LP (Marshall Islands)(e)
|
14,211,456
|
|
|
Midstream Oil Infrastructure - 57.7%
|
|||
|
547,527
|
Buckeye Partners, LP, Class B(a) (b) (c) (f)
|
31,133,953
|
|
|
263,700
|
Enbridge Energy Management, LLC(a) (f)
|
7,262,298
|
|
|
1,237,004
|
Enbridge Energy Partners, LP(e)
|
35,254,614
|
|
|
923,305
|
Genesis Energy, LP(e)
|
22,851,799
|
|
|
169,725
|
Holly Energy Partners, LP(e)
|
8,605,057
|
|
|
949,215
|
Kinder Morgan Management, LLC(a) (e) (f)
|
57,427,508
|
|
|
655,426
|
Magellan Midstream Partners, LP(e)
|
39,305,897
|
|
|
250,000
|
NuStar GP Holdings, LLC(e)
|
8,630,000
|
|
|
87,000
|
Oiltanking Partners, LP
|
2,087,130
|
|
|
767,851
|
Plains All American Pipeline, LP(e)
|
46,554,806
|
|
|
100,385
|
Sunoco Logistics Partners, LP
|
8,608,014
|
|
|
200,000
|
TransMontaigne Partners, LP
|
6,782,000
|
|
|
274,503,076
|
|||
|
Oil and Gas Production - 6.7%
|
|||
|
289,212
|
EV Energy Partners, LP(e)
|
19,920,923
|
|
|
412,346
|
Pioneer Southwest Energy Partners, LP(e)
|
11,801,342
|
|
|
31,722,265
|
|||
|
Propane - 9.2%
|
|||
|
589,111
|
Inergy, LP(e)
|
16,707,188
|
|
|
73,600
|
NGL Energy Partners, LP
|
1,577,984
|
|
|
536,800
|
Suburban Propane Partners, LP(e)
|
25,492,632
|
|
|
43,777,804
|
|||
|
Total Master Limited Partnerships - 165.1%
|
|||
|
(Cost $463,442,773)
|
785,460,671
|
||
|
Total Long-Term Investments - 165.7%
|
|||
|
(Cost $466,706,398)
|
788,511,516
|
||
|
Short-Term Investments - 2.0%
|
|||
|
Number
|
|||
|
of Shares
|
Description
|
Value
|
|
|
Money Market - 2.0%
|
|||
|
9,505,426
|
Dreyfus Treasury & Agency Cash Management - Investor Shares
|
$9,505,426
|
|
|
(Cost $9,505,426)
|
|||
|
Total Investments - 167.7%
|
|||
|
(Cost $476,211,824)
|
798,016,942
|
||
|
Liabilities in excess of Other Assets - (27.8%)
|
(132,189,383)
|
||
|
Borrowings - (39.9% of Net Assets or 23.8% of Total Investments)
|
(190,000,000)
|
||
|
Net Assets - 100.0%
|
$ 475,827,559
|
||
|
LLC - Limited Liability Company
|
||
|
LP - Limited Partnership
|
||
|
*
|
Represents less than 0.1% of net assets.
|
|
(a)
|
Non-income producing security.
|
|
(b)
|
Security is restricted and may be resold only in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2011, restricted securities aggregate market value amounted to $51,368,751 or 10.8% of net assets.
|
|
(c)
|
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 $51,368,751 which represents 10.8% of net assets.
|
|
(d)
|
Company has filed for protection in federal bankruptcy court.
|
|
(e)
|
All or a portion of these securities have been physically segregated in connection with swap agreements or as collateral for borrowings outstanding. As of August 31, 2011, the total amount segregated was $493,911,413.
|
|
(f)
|
While non-income producing, security makes regular in-kind distributions
|
|
See previously submitted notes to financial statements for the period ended May 31, 2011.
|
|
% of Long-Term
|
|||||||
|
Sector
|
Investments
|
||||||
|
Diversified Gas Infrastructure
|
49.9%
|
||||||
|
Midstream Oil Infrastructure
|
34.8%
|
||||||
|
Propane
|
5.6%
|
||||||
|
Oil and Gas Production
|
4.4%
|
||||||
|
Coal
|
3.5%
|
||||||
|
Marine Transportation
|
1.8%
|
|
At August 31, 2011, 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
|
||||||||
| $ | 437,596,944 | $ | 361,815,100 | $ | (1,395,102) | $ | 360,419,998 | ||||
|
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 has adopted the Accounting Standards Update, Fair Value Measurements and Disclosures
|
||||||||
|
(Topic 820):Improving Disclosures 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 reasons(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 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 Fund's Level 3 security was 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 by caption and by level within the fair value hierarchy as
|
||||||||
| of August 31, 2011. | ||||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
(value in $000s)
|
||||||||||||||||
|
Assets:
|
||||||||||||||||
|
Common Stocks
|
$ | - | $ | 2,788 | $ | - | $ | 2,788 | ||||||||
|
Master Limited Partnerships:
|
||||||||||||||||
|
Coal
|
27,556 | - | - | 27,556 | ||||||||||||
|
Diversified Gas Infrastructures
|
376,506 | 17,184 | - | 393,690 | ||||||||||||
|
Marine Transportation
|
14,212 | - | - | 14,212 | ||||||||||||
|
Midstream Oil Infrastructure
|
243,369 | 31,134 | - | 274,503 | ||||||||||||
|
Oil and Gas production
|
31,722 | - | - | 31,722 | ||||||||||||
|
Propane
|
43,778 | - | - | 43,778 | ||||||||||||
|
Term Loans
|
- | - | 262 | 262 | ||||||||||||
|
Money Market Fund
|
9,506 | - | - | 9,506 | ||||||||||||
|
Total
|
$ | 746,649 | $ | 51,106 | $ | 262 | $ | 798,017 | ||||||||
|
Liabilities:
|
||||||||||||||||
|
Derivatives
|
$ | - | 2,591 | $ | - | $ | 2,591 | |||||||||
|
Total
|
$ | - | $ | 2,591 | $ | - | $ | 2,591 | ||||||||
|
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, 2011.
|
||||||||
|
Level 3 Holdings
|
|||||
|
Beginning Balance at 11/30/10
|
|||||
|
Other Equity Securities
|
$ | - | |||
|
Incentive Distribution Rights
|
- | ||||
|
Warrants
|
- | ||||
|
Term Loans
|
408 | ||||
|
Total Realized Gain/Loss
|
|||||
|
Other Equity Securities
|
(23,112 | ) | |||
|
Incentive Distribution Rights
|
- | ||||
|
Warrants
|
- | ||||
|
Term Loans
|
(296 | ) | |||
|
Change in Unrealized Gain/Loss
|
|||||
|
Other Equity Securities
|
23,112 | ||||
|
Incentive Distribution Rights
|
- | ||||
|
Warrants
|
- | ||||
|
Term Loans
|
296 | ||||
|
Net Purchases
|
- | ||||
|
Sales
|
|||||
|
Other Equity Securities
|
- | ||||
|
Incentive Distribution Rights
|
- | ||||
|
Warrants
|
- | ||||
|
Term Loans
|
(146 | ) | |||
|
Transfers In
|
- | ||||
|
Transfers Out
|
- | ||||
|
Ending Balance 8/31/11
|
|||||
|
Other Equity Securities
|
- | ||||
|
Incentive Distribution Rights
|
- | ||||
|
Warrants
|
- | ||||
|
Term Loans
|
262 | ||||
|
Total Level 3 holdings
|
$ | 262 | |||
| PAA Natural Gas Storage, LP and Regency Energy Partners, LP transferred from Level 2 to Level 1 as a result | |||||
| of the shares becoming registered, and therefore trading on an exchange. | |||||
|
Interest Rate Swap Agreements
|
|||||||||||||||||||||
|
Unrealized
|
|||||||||||||||||||||
|
Termination
|
Notional
|
Appreciation/
|
|||||||||||||||||||
|
Counterparty
|
Date
|
Amount ($000)
|
Fixed Rate
|
Floating Rate
|
(Depreciation)
|
||||||||||||||||
|
Merrill Lynch
|
1/30/2013
|
$ | 30,000 | 3.49 | % |
1 - Month LIBOR
|
(1,317,046 | ) | |||||||||||||
|
Morgan Stanley
|
3/19/2013
|
$ | 30,000 | 3.13 | % |
1 - Month LIBOR
|
(1,273,893 | ) | |||||||||||||
| $ | (2,590,939 | ) | |||||||||||||||||||
|
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
|
8/31/2011
|
||||||||||||||||||
|
Security
|
Acquisition
|
Shares/Par
|
Current Cost
|
Value
|
(unrestricted)*
|
Price
|
|||||||||||||||
|
Abraxas Petroleum Corp.
|
10/5/2009
|
756,924 | $ | 2,468,889 | $ | 2,788,582 | $ | 1.75 | $ | 3.6841 | |||||||||||
|
Buckeye Partners, LP, Class B
|
1/18/2011
|
462,959 | $ | 25,000,243 | $ | 26,414,332 | $ | 68.35 | $ | 56.8629 | |||||||||||
|
Buckeye Partners, LP, Class B
|
6/10/2011 | 84,568 | $ | 4,566,755 | $ | 4,719,621 | $ | 62.28 | $ | 56.8629 | |||||||||||
|
Clearwater Subordinate Note
|
9/29/2008
|
$ | 741,219 | $ | 741,219 | $ | 244,602 | $ | 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
|
715,616 | $ | 17,004,790 | $ | 17,183,953 | $ | 30.56 | $ | 24.0128 | |||||||||||
|
Total
|
$ | 49,835,413 | $ | 51,368,751 | |||||||||||||||||
|
*Valuation of unrestricted security on the acquisition date of the restricted shares.
|
|||||||||||||||||||||
|
|
(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.
|