cushing_nq.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

 

Investment Company Act file number  811-22072



The Cushing MLP Total Return Fund
(Exact name of registrant as specified in charter)



3300 Oak Lawn Avenue Suite 650
Dallas, TX 75219
(Address of principal executive offices) (Zip code)



Jerry V. Swank
3300 Oak Lawn Avenue Suite 650
Dallas, TX 75219
(Name and address of agent for service)



214-692-6334
Registrant's telephone number, including area code



Date of fiscal year end: November 30

 
Date of reporting period:  August 31, 2009
 
 

Item 1. Schedule of Investments.
 
 
The Cushing MLP Total Return Fund
      
 
SCHEDULE OF INVESTMENTS (Unaudited)
      
     
     
August 31, 2009
   
Shares
  
     Value
 
Master Limited Partnerships and Related Companies - United States - 116.8% (1)
      
 
Coal - 3.5% (1)
      
 
Alliance Holdings GP, L.P.
           100,000
  
 $                 2,027,000
           
 
Crude/Natural Gas Production – 6.0% (1)
      
 
Encore Energy Partners, L.P.
           100,000
  
                      1,526,000
 
Linn Energy, LLC
             90,000
  
                      1,916,100
 
 
    
3,442,100
 
Crude/Refined Products Pipelines and Storage - 37.1% (1)
      
 
Buckeye Partners, L.P.
             50,000
  
                      2,349,000
 
Enbridge Energy Partners, L.P.
             35,825
  
                      1,535,101
 
Genesis Energy, L.P.
           225,000
  
                      3,507,750
 
Magellan Midstream Holdings, L.P.
           200,000
  
                      4,354,000
 
NuStar GP Holdings, LLC
           100,000
  
                      2,435,000
 
Plains All American Pipeline, L.P.
           100,000
  
                      4,744,000
 
TransMontaigne Partners, L.P.
             90,000
  
                      2,418,300
 
 
    
                    21,343,151
 
Natural Gas/Natural Gas Liquid Pipelines and Storage - 33.1% (1)
      
 
Boardwalk Pipeline Partners, LP
           100,000
  
                      2,341,000
 
El Paso Pipeline Partners, L.P.
             60,000
  
                      1,165,200
 
Energy Transfer Equity, L.P.
           130,000
  
                      3,495,700
 
Energy Transfer Partners, L.P.
             75,000
  
                      3,040,500
 
Enterprise GP Holdings, L.P.
             75,000
  
                      2,100,000
 
Enterprise Products Partners, L.P.
           100,000
  
                      2,700,000
 
ONEOK Partners, L.P.
             60,000
  
                      3,003,600
 
Spectra Energy Partners, L.P.
             50,000
  
                      1,158,500
       
                    19,004,500
 
Natural Gas Gathering/Processing - 26.2% (1)
      
 
DCP Midstream Partners, L.P.
           145,000
  
                      3,246,550
 
MarkWest Energy Partners, L.P.
           175,000
  
                      3,615,500
 
Regency Energy Partners, L.P.
           150,000
  
                      2,442,000
 
Targa Resources Partners, L.P.
           225,000
  
                      3,802,500
 
Williams Partners, L.P.
           100,000
  
                      1,985,000
       
15,091,550
 
Propane - 9.4% (1)
      
 
Inergy, L.P.
           100,000
  
         2,788,000
 
Inergy Holdings, L.P.
             58,900
  
                      2,595,723
         
    5,383,723
 
Shipping - 1.5% (1)
      
 
K-Sea Transportation Partners L.P.
             45,000
  
                         863,100
           
 
Total Master Limited Partnerships and Related Companies (Cost $54,607,114)
    
  67,155,124
           
     
 Principal
Amount
    
 
Corporate Bonds - 20.3% (1)
      
 
Natural Gas/Natural Gas Liquids Pipelines - 7.3% (1)
      
 
El Paso Corp., 7.420%, due 02/15/2037
           375,000
  
                         317,415
 
Energy Transfer Partners, L.P., 9.000%, due 04/15/2019
        3,200,000
  
                      3,860,768
         
                      4,178,183
 
Natural Gas Gathering/Processing - 13.0% (1)
      
 
Copano Energy, LLC, 8.125%, due 03/01/2016
        2,000,000
  
                      1,925,000
 
Markwest Energy Partners, L.P., 6.875%, due 11/01/2014
        2,000,000
  
                      1,840,000
 
Markwest Energy Partners, L.P., 8.750%, due 04/15/2018
        1,000,000
  
                         955,000
 
Regency Energy Partners, L.P., 9.375%, due 06/01/2016
        2,000,000
  
                      2,010,000
 
Targa Resources Partners, L.P., 8.250%, due 07/01/2016
           200,000
  
                         180,000
 
Targa Resources Partners, L.P., 11.250%, due 07/15/2017
           600,000
  
                         603,000
         
                      7,513,000
           
 
Total Corporate Bonds (Cost $11,278,748)
    
                    11,691,183
           
 
Options - 1.5%(1)
 Contracts
    
 
SPDR Trust Series 1 – Put options
      
   
Expiration: October 2009, Exercise Price: $97.00
               2,900
  
                         553,900
 
SPDR Trust Series 1 – Put options
      
   
Expiration: October 2009, Exercise Price: $98.00
               1,400
  
           295,400
 
Total Options (Cost $857,800)
    
   849,300
           
 
Short-Term Investments - United States Investment Companies - 6.7% (1)
Shares
    
 
AIM Short-Term Treasury Portfolio Fund - Institutional Class
           767,405
  
                         767,405
 
Fidelity Government Portfolio Fund - Institutional Class
           767,405
  
                         767,405
 
First American Treasury Obligations Fund - Class A
           767,405
  
                         767,405
 
First American Treasury Obligations Fund - Class Y
           767,405
  
                         767,405
 
First American Treasury Obligations Fund - Class Z
767,405
  
767,405
 
Total Short-Term Investments (Cost $3,837,025)
    
                      3,837,025
           
 
Total Investments - 145.3% (1) (Cost $70,580,687)
    
            83,532,632
 
Liabilities in Excess of Other Assets - (45.3)% (1)
    
                   (26,032,545)
 
Total Net Assets Applicable to Common Stockholders - 100.0% (1)
    
 $            57,500,087
           
 
(1)
Calculated as a percentage of net assets applicable to common stockholders.
      
 
 
At August 31, 2009, the cost basis of investments for federal income tax purposes were $70,069,798, respectively, and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Gross unrealized appreciation
   $ 15,844,925  
Gross unrealized depreciation
     (2,382,091 )
Net unrealized appreciation
   $ 13,462,834  

 
Fair Value Measurements
 
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (SFAS 157), effective with the beginning of the Fund’s fiscal year.  SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques.  Various inputs are used in determining the value of the Fund’s investments.  These inputs are summarized in the three broad levels listed below:
 
 
 
Level 1 – quoted prices in active markets for identical investments
 
 
Level 2 – other significant observable inputs (including quoted prices for similar investments, market corroborated inputs, etc.)
 
 
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
 
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
 
The following table provides the fair value measurements of applicable Fund assets by level within the fair value hierarchy as of August 31, 2009.  These assets are measured on a recurring basis.
 

 
     
Fair Value Measurements at Reporting Date Using
     
Quoted Prices in
  
Significant
     
Active Markets for
Significant Other
Unobservable
 
Fair Value at
  
Identical Assets
Observable Inputs
Inputs
Description
August 31, 2009
  
(Level 1)
(Level 2)
(Level 3)
Equity Securities
          
Master Limited Partnerships and Related Companies
$  67,155,124
(a)
$  67,155,124
$                    -
$                 -
Total Equity Securities
$  67,155,124
  
$  67,155,124
$                    -
$                 -
Bonds
          
Corporate Bonds
$  11,691,183
(a)
$                   -
$   11,691,183
$                 -
Total Bonds
$  11,691,183
  
$                   -
$   11,691,183
$                 -
Derivatives
          
Options
$       849,300
  
$       849,300
$                    -
$                 -
Total Derivatives
$       849,300
  
$       849,300
$                    -
$                 -
Other
          
Short-Term Investments
$      3,837,025
(b)
$      3,837,025
$                    -
$                 -
Total Other
$      3,837,025
  
$      3,837,025
$                    -
$                 -
Total
$    83,532,632
  
$    71,841,449
$   11,691,183
$                 -
(a)  
All industry classifications are identified in the Schedule of Investments.
(b)  
Mutual fund investments that are sweep investments for cash balances in the Fund at August 31, 2009.

Derivative Financial Instruments
In March 2008, Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161") was issued and is effective for fiscal years beginning after November 15, 2008.  SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position.

The Fund engages in equity option trading as a source of protection against a broad market decline. During the nine month period ended August 31, 2009, the Fund purchased 52,850 SPDR (S&P Deposit Receipts) Unit Trust, Series 1 equity option contracts with various exercise prices and sold 48,550 of these option contracts for a total loss of $3,792,806. Of this loss, $3,784,306 was realized and $8,500 was unrealized.

On August 31, 2009 the Fund held 4,300 SPDR Unit Trust, Series 1 equity option put contracts at fair market value of $849,300. Of the 4,300 contracts held, 2,900 contracts had an exercise price of $97.00 and 1,400 contracts had an exercise price of $98.00.

 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)  
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.


 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed herewith.
 

 
 
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)  The Cushing MLP Total Return Fund                                   
 
By (Signature and Title) Jerry V. Swank                                                                                                                                                                           
                                                            Jerry V. Swank, President
 
Date 10/14/09                                                                                                                                                                                                  
 
 
 
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 (Signature and Title) Jerry V. Swank                                                                                                                                                                           
                                                            Jerry V. Swank, President
 
Date 10/14/09                                                                                                    
 
By (Signature and Title) Mark Fordyce                                                                                                                                                                            
                                                            Mark Fordyce, Treasurer
 
Date 10/14/09