cushing_nqa.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
          
Senior Notes - 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)
     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 (2)
     600,000       603,000  
                7,513,000  
                   
Total Senior Notes (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.
                
(2)
Restricted securities designated as being issued under Rule 144A as detailed in the following table.
                

Investment Security
      
Principal
Amount
  
Acquisition
Date
  
Cost Basis
    
Market Value
    
Market Value as Percent of Net Assets
    
Market Value as Percent of Total Assets
  
Regency Energy Partners, L.P., 9.375%, due 06/01/2016
  
Senior Notes
   $ 2,000,000  
5/15/2009
   $ 1,893,888     $ 2,010,000       3.50 %     2.41 %
                                               
Targa Resources Partners, L.P., 11.250%, due 07/15/2017
  
Senior Notes
   $ 600,000  
6/30/2009
   $ 570,410     $ 603,000       1.05 %     0.72 %
                                               
Totals
                 $ 2,464,298     $ 2,613,000       4.55 %     3.13 %
 
Tax Basis

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
  
Description
  
Fair Value at
August 31, 2009
      
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(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     $ -     $ -  
Notes
                                  
Senior Notes
   $ 11,691,183  
(a)
   $ -     $ 11,691,183     $ -  
Total Notes
   $ 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    12/3/09                                                                                                                                                                                                           
 
 
 
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   12/3/09                                                                                                           
 
By (Signature and Title)   Mark Fordyce                                                                                                                                                                                  
                                                             Mark Fordyce, Treasurer
 
Date   12/3/09