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Investment Company Act file number: 811-21652
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Fiduciary/Claymore MLP Opportunity Fund
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(Exact name of registrant as specified in charter)
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2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices)(Zip code)
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Kevin M. Robinson
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
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FMO Fiduciary/Claymore MLP Opportunity Fund
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Portfolio of Investments
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August 31, 2012 (unaudited)
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Number
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of Shares
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Description
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Value
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Long-Term Investments - 162.5%
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Common Stock - 3.0%
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Energy - 3.0%
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462,055
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Kinder Morgan, Inc.
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$ 16,527,708
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(Cost $16,342,413)
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Master Limited Partnerships - 159.5%
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Coal - 3.7%
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100,000
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Alliance Holdings GP, LP
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4,840,000
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131,800
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Alliance Resource Partners, LP
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8,162,374
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2,835
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Hi-Crush Partners, LP
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55,169
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177,645
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Natural Resource Partners, LP
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3,677,251
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365,000
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Oxford Resource Partners, LP(f)
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3,314,200
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20,048,994
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Diversified Gas Infrastructures - 81.3%
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208,500
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American Midstream Partners, LP
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4,053,240
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762,287
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Copano Energy, LLC(f)
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23,394,588
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767,997
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Crestwood Midstream Partners, LP, Class C(a) (b) (c) (e) (g)
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18,472,021
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1,313,414
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DCP Midstream Partners, LP(f)
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56,660,680
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563,529
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El Paso Pipeline Partners, LP(f)
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20,394,115
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1,705,150
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Energy Transfer Equity, LP(f)
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74,941,342
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329,237
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Energy Transfer Partners, LP(f)
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14,065,005
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1,363,925
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Enterprise Products Partners, LP(f)
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72,833,595
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205,810
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Exterran Partners, LP(f)
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4,383,753
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381,225
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MarkWest Energy Partners, LP(f)
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20,243,048
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308,425
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ONEOK Partners, LP(f)
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17,524,709
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1,060,858
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Regency Energy Partners, LP(f)
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24,548,254
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318,970
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Targa Resources Partners, LP(f)
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12,924,664
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599,625
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TC PipeLines, LP(f)
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27,234,967
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490,300
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Western Gas Partners, LP(f)
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23,411,825
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635,500
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Williams Partners, LP(f)
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32,779,090
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447,864,896
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Marine Transportation - 4.4%
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853,684
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Teekay Offshore Partners, LP (Marshall Islands)(f)
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24,236,089
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Midstream Oil Infrastructure - 55.7%
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580,312
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Buckeye Partners, LP, Class B(a) (b) (c) (e) (g)
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27,063,980
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246,207
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Enbridge Energy Management, LLC(c) (g)
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7,664,424
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1,211,954
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Enbridge Energy Partners, LP(f)
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35,704,165
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838,605
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Genesis Energy, LP(f)
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27,103,713
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169,725
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Holly Energy Partners, LP(f)
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11,430,979
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693,790
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Inergy Midstream, LP
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16,165,307
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778,409
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Kinder Morgan Management, LLC(c) (f) (g)
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57,695,675
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498,776
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Magellan Midstream Partners, LP(f)
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41,383,445
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182,625
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NuStar GP Holdings, LLC(f)
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5,564,584
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795,751
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Plains All American Pipeline, LP(f)
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68,856,334
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219,675
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TransMontaigne Partners, LP
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8,026,924
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306,659,530
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Oil and Gas Production - 7.5%
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462,537
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EV Energy Partners, LP(f)
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29,033,447
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100,160
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LRR Energy, LP
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1,806,886
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412,346
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Pioneer Southwest Energy Partners, LP(f)
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10,556,058
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41,396,391
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Propane - 6.9%
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1,547,361
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Inergy, LP(f)
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33,361,103
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174,050
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NGL Energy Partners, LP
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4,419,130
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37,780,233
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Total Master Limited Partnerships - 159.5%
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(Cost $454,565,791)
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877,986,133
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Principal
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Amount
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Description
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Value
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Term Loans - 0.0%*
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630,888
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Clearwater Subordinated Note NR(a) (b) (c) (d) (e)
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208,193
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(Cost $630,888)
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Total Long-Term Investments - 162.5%
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(Cost $471,539,092)
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894,722,034
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Number
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of Shares
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Description
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Value
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Short-Term Investments - 4.0%
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Money Market - 4.0%
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22,035,798
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Dreyfus Treasury & Agency Cash Management - Investor Shares
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22,035,798
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(Cost $22,035,798)
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Total Investments - 166.5%
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(Cost $493,574,890)
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916,757,832
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Liabilities in excess of Other Assets - (32.0%)
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(176,103,134)
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Borrowings - (34.5% of Net Assets or 20.7% of Total Investments)
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(190,000,000)
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Net Assets - 100.0%
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$ 550,654,698
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LLC - Limited Liability Company
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LP - Limited Partnership
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*
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Represents less than 0.1% of net assets.
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(a)
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Security is restricted and may be resold only in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2012, restricted securities' aggregate market value amounted to $45,744,194 or 8.3% of net assets.
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(b)
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Security is valued based on observable and/or unobservable inputs in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees. The total market value of such securities is $45,744,194 which represents 8.3% of net assets.
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(c)
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Non-income producing security.
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(d)
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Company has filed for protection in federal bankruptcy court.
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(e)
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Illiquid security.
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(f)
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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, 2012, the total amount segregated was $514,637,940.
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(g)
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While non-income producing, security makes regular in-kind distributions.
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See previously submitted notes to financial statements for the period ended May 31, 2012.
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% of Long-Term
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Sector
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Investments
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Diversified Gas Infrastructures
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50.1%
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Midstream Oil Infrastructure
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34.3%
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Oil and Gas Production
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4.6%
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Propane
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4.2%
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Marine Transportation
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2.7%
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Coal
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2.2%
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Energy
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1.9%
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Interest Rate Swap Agreements
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Unrealized
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Termination
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Notional
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Appreciation/
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Counterparty
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Date
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Amount ($000)
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Fixed Rate
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Floating Rate
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(Depreciation)
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Merrill Lynch
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1/30/2013
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$ | 30,000 | 3.49 | % |
1 - Month LIBOR
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(409,174 | ) | ||||||
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Morgan Stanley
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3/19/2013
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$ | 30,000 | 3.13 | % |
1 - Month LIBOR
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(483,381 | ) | ||||||
| $ | (892,555 | ) | ||||||||||||
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For each swap noted, the Fund is obligated to pay the fixed rate and entitled to receive the floating rate.
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Restricted Securities
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Price at
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Date of
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Fair Market
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Acquisition Date
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8/31/2012
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Security
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Acquisition
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Shares/Par
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Current Cost
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Value
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(unrestricted)*
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Price
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Buckeye Partners, LP, Class B
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1/18/2011
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490,680 | $ | 24,491,162 | $ | 22,883,827 | $ | 68.35 | $ | 46.6369 | |||||||||||
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Buckeye Partners, LP, Class B
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6/10/2011
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89,632 | $ | 4,473,762 | $ | 4,180,153 | $ | 62.28 | $ | 46.6369 | |||||||||||
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Clearwater Subordinate Note
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9/29/2008
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$ | 577,371 | $ | 577,371 | $ | 190,532 | $ | 100.00 | $ | 33.00 | ||||||||||
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Clearwater Subordinate Note
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1/9/2009
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$ | 53,517 | $ | 53,517 | $ | 17,661 | $ | 100.00 | $ | 33.00 | ||||||||||
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Crestwood Midstream Partners, LP, Class C
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4/1/2011
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767,997 | $ | 17,004,790 | $ | 18,472,021 | $ | 30.56 | $ | 24.0522 | |||||||||||
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Total
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$ | 46,600,602 | $ | 45,744,194 | |||||||||||||||||
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*Valuation of unrestricted security on the acquisition date of the restricted shares.
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At August 31, 2012, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
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Cost of Investments for Tax Purposes
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Gross Tax Unrealized Appreciation
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Gross Tax Unrealized Depreciation
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Net Tax Unrealized Appreciation on Investments
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| $ | 451,774,582 | $ | 472,437,686 | $ | (7,454,436 | ) | $ | 464,983,250 | ||||
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Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Debt securities are valued at the mean of the last available bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. Money market funds are valued at net asset value.
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For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees of the Trust (“Board of Trustees”). Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” 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. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
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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).
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The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 equity using various observable market inputs. Money market funds are valued at net asset value. The Fund values Level 2 derivatives using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and interest rate fluctuations.
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The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of August 31, 2012.
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Description
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Level 1
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Level 2
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Level 3
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Total
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(value in $000s)
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Assets:
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Common Stocks
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$ | 16,528 | $ | - | $ | - | $ | 16,528 | |||||||
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Master Limited Partnerships:
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Coal
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20,049 | - | - | 20,049 | |||||||||||
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Diversified Gas Infrastructures
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429,393 | 18,472 | - | 447,865 | |||||||||||
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Marine Transportation
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24,236 | - | - | 24,236 | |||||||||||
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Midstream Oil Infrastructure
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279,596 | 27,064 | - | 306,660 | |||||||||||
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Oil and Gas production
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41,396 | - | - | 41,396 | |||||||||||
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Propane
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37,780 | - | - | 37,780 | |||||||||||
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Term Loans
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- | - | 208 | 208 | |||||||||||
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Money Market Fund
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22,036 | - | - | 22,036 | |||||||||||
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Total
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$ | 871,014 | $ | 45,536 | $ | 208 | $ | 916,758 | |||||||
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Liabilities:
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Derivatives
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$ | - | $ | 893 | $ | - | $ | 893 | |||||||
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Total
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$ | - | $ | 893 | $ | - | $ | 893 | |||||||
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The Level 3 fair value estimate for Clearwater Subordinated Note was determined 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 a fair value determination including, but not limited to, the following: the type of security, the Bankruptcy Court approved terms of the bankruptcy settlement, non-public information from the Creditor’s Trust Oversight Committee and the present value of potential future earnings of the investment.
The valuation process for Clearwater Subordinated Note is completed on a monthly basis and is designed to subject the Level 3 valuation to an appropriate level of oversight and review. For Level 3 securities, the Fund utilizes a Pricing Committee which is comprised of employees responsible for implementing the valuation procedures established by the Fund. Investment professionals prepare preliminary valuations based on their evaluation of financial data, company specific developments, terms of the bankruptcy settlement and other factors. The preliminary valuations are reviewed by the Pricing Committee with subsequent deliberations until an appropriate price is determined for the Level 3 security.
Clearwater Natural Resources LP was formed to acquire the interests in Miller Bros. Coal, an owner and producer of coal reserves in Kentucky. Since its formation, Clearwater acquired additional reserves and operations near its existing operations. Clearwater filed for bankruptcy in January 2009. The Fund is an unsecured creditor of Clearwater.
Given the absence of an active market for Clearwater, the Fund has adopted a valuation model which values the investment based on the terms of the bankruptcy settlement for unsecured creditors. The terms include a 1% royalty payable to unsecured creditors on all tons of coal produced. After considering these factors, the Fund priced Clearwater Subordinated Note at $0.33 per dollar of par. Unobservable inputs that could result in a significantly higher or lower fair value measurement include the potential sale of coal royalties to a third party, significant changes in coal production, or significant changes in the value of coal in the market.
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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, 2012.
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Level 3 Holdings
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Beginning Balance at 11/30/11
|
|||
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Term Loans
|
234 | ||
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Total Realized Gain/Loss
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Term Loans
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(52 | ) | |
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Change in Unrealized Gain/Loss
|
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Term Loans
|
52 | ||
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Purchases
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- | ||
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Sales
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Term Loans
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(26 | ) | |
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Transfers In
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- | ||
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Transfers Out
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- | ||
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Ending Balance 8/31/12
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Term Loans
|
208 | ||
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Total Level 3 holdings
|
$ | 208 | |
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The transfers in and out of the valuation levels for the Fund as of August 31, 2012 when compared to the valuation levels at the end of previous fiscal year are detailed below.
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$(000s)
|
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Transfer from Level 2 to Level 1
|
$ 10,766
|
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The transfer from Level 2 to Level 1 was the result of Teekay Offshore Partners, LP restricted shares becoming registered and therefore commencing trading on an exchange.
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|
(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.
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(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.
|