Edgar Filing: Nuveen Energy MLP Total Return Fund

Nuveen Energy MLP Total Return Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22482

Nuveen Energy MLP Total Return Fund

(Exact name of registrant as specified in charter)

333 West Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary

333 West Wacker Drive, Chicago, Illinois 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: 312-917-7700

Date of fiscal year end: November 30

Date of reporting period: August 31, 2015

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

JMF


Nuveen Energy MLP Total Return Fund
Portfolio of Investments		August 31, 2015 (Unaudited)


Shares/Units		Description (1)	Value


		LONG-TERM INVESTMENTS – 153.6% (99.9% of Total Investments)

		MASTER LIMITED PARTNERSHIPS & MLP AFFILIATES – 140.1% (91.1% of Total Investments)

		Energy Equipment & Services – 1.6% (1.0% of Total Investments)

	489,336	Exterran Partners LP	$	10,638,165

		Oil, Gas & Consumable Fuels – 138.5% (90.1% of Total Investments)

	341,545	Alliance Holdings GP LP		12,230,726
	934,885	Buckeye Partners LP		65,834,602
	2,352,805	Crestwood Equity Partners LP		6,823,135
	1,645,852	Crestwood Midstream Partners LP		12,854,104
	1,496,469	DCP Midstream Partners LP		42,200,426
	491,590	Delek Logistics Partners LP		19,575,114
	810,175	Enable Midstream Partners LP		12,573,916
	407,145	Enbridge Energy Management LLC, (2)		11,461,132
	209,800	Enbridge Energy Partners LP		5,933,144
	2,875,898	Energy Transfer Equity LP		80,668,938
	750,000	Energy Transfer Partners LP		36,855,000
	576,005	EnLink Midstream Partners LP		10,154,968
	3,096,844	Enterprise Products Partnership LP, (3)		87,052,285
	261,010	EQT Midstream Partners LP		20,306,578
	1,011,215	EV Energy Partners LP		9,040,262
	7,500	GasLog Partners LP, (4)		144,150
	741,252	Genesis Energy LP		32,363,062
	349,180	Golar LNG Partners LP, (4)		6,903,289
	293,075	JP Energy Partners LP		2,625,952
	557,000	KNOT Offshore Partners LP, (4)		10,193,100
	976,961	Magellan Midstream Partners LP		68,944,138
	801,895	Markwest Energy Partners LP		45,202,821
	7,260	Martin Midstream Partners LP		194,495
	659,895	Navios Maritime Midstream Partners LP, (4)		9,053,759
	303,500	NGL Energy Partners LP		7,314,350
	73,465	PBF Logistics LP		1,524,399
	1,638,298	Plains All American Pipeline LP		59,077,026
	131,850	Rose Rock Midstream LP		4,096,580
	918,310	Southcross Energy Partners LP		6,887,325
	20,000	Sprague Resources LP		485,600
	759,622	Summit Midstream Partners LP		16,742,069
	162,550	Tallgrass Energy Partners LP		7,685,364
	613,904	Targa Resources Partners LP		18,533,762
	511,955	TC Pipelines LP		27,635,331
	1,172,092	Teekay Offshore Partners LP, (4)		20,746,028
	16,000	Teekay LNG Partners LP		425,440
	389,077	Tesoro Logistics LP		20,547,156
	149,600	Transmontaigne Partners LP		4,903,888
	484,055	USD Partners LP		5,426,257
	448,690	Western Gas Equity Partners LP		23,825,439
	357,575	Western Gas Partners LP		21,036,137
	71,462	Westmoreland Resource Partners LP		543,111
	1,026,155	Williams Partners LP		40,892,277
	327,922	World Point Terminals LP		4,626,979
		Total Oil, Gas & Consumable Fuels		902,143,614
		Total Master Limited Partnerships & MLP Affiliates (cost $782,930,682)		912,781,779


Nuveen Investments			1


JMF	Nuveen Energy MLP Total Return Fund
	Portfolio of Investments (continued)	August 31, 2015 (Unaudited)

Shares

Description (1)

Value

COMMON STOCKS – 13.5% (8.8% of Total Investments)

Oil, Gas & Consumable Fuels – 13.5% (8.8% of Total Investments)

2,717,959

Kinder Morgan, Inc., (4)

88,089,051

Total Common Stocks (cost $83,954,469)

88,089,051

Total Long-Term Investments (cost $866,885,151)

1,000,870,830

Principal
Amount (000)

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 0.1% (0.1% of Total Investments)

REPURCHASE AGREEMENTS – 0.1% (0.1% of Total Investments)

746

Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/15, repurchase price $746,313, collateralized by $750,000 U.S. Treasury Notes, 2.375%, due 8/15/24, value $765,000

0.000%

9/01/15

746,313

Total Short-Term Investments (cost $746,313)

746,313

Total Investments (cost $867,631,464) – 153.7%

1,001,617,143

Borrowings – (37.4)% (5), (6)

(244,000,000

)

Deferred Tax Liability, net – (15.2)%

(99,061,969

)

Other Assets Less Liabilities – (1.1)% (7)

(6,901,909

)

Net Assets – 100%

651,653,265

Investments in Derivatives as of August 31, 2015

Interest Rate Swaps outstanding:


Counterparty	Notional Amount		Fund Pay/ Receive Floating Rate		Floating Rate Index		Fixed Rate (Annualized)			Fixed Rate Payment Frequency		Effective Date (8)		Termination Date		Unrealized Appreciation (Depreciation)
JPMorgan	$	96,375,000		Receive		1-Month USD-LIBOR-ICE		1.735	%		Monthly		12/01/15		12/01/20	$	(2,237,376	)
JPMorgan		96,375,000		Receive		1-Month USD-LIBOR-ICE		2.188			Monthly		12/01/15		12/01/22		(3,614,967	)
	$	192,750,000														$	(5,852,343	)

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).


	2			Nuveen Investments

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1		Level 2			Level 3		Total
Long-Term Investments:
Master Limited Partnerships & MLP Affiliates	$	912,781,779	$	—		$	—	$	912,781,779
Common Stocks		88,089,051		—			—		88,089,051

Short-Term Investments:
Repurchase Agreements		—		746,313			—		746,313

Investments in Derivatives:
Interest Rate Swaps*		—		(5,852,343	)		—		(5,852,343	)
Total	$	1,000,870,830	$	(5,106,030	)	$	—	$	995,764,800

*	Represents net unrealized appreciation (depreciation).

Income Tax Information

The following information is determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States.

As of August 31, 2015, the cost of investments (excluding investments in derivatives) was $870,061,970.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of August 31, 2015, were as follows:


Gross unrealized:
Appreciation	$	278,065,387
Depreciation		(146,510,214	)
Net unrealized appreciation (depreciation) of investments	$	131,555,173

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1)	All percentages shown in the Portfolio of Investments are based on net assets unless otherwise noted.

(2)	Distributions are paid in-kind.

(3)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(4)	Distribution designated as ordinary income which is recognized as “Dividend income” on the Statement of Operations.

(5)	Borrowings as a percentage of Total Investments is 24.4%.

(6)

The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $550,924,950 have been pledged as collateral for borrowings.

(7)	Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable.

(8)	Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each contract.

USD-LIBOR-ICE

United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange


Nuveen Investments			3

Item 2. Controls and Procedures.

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the 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 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(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.

File as exhibits as part of this Form a separate certification 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)), exactly as set forth below: EX-99 CERT Attached hereto.

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)		Nuveen Energy MLP Total Return Fund

By (Signature and Title)		/s/ Kevin J. McCarthy
		Kevin J. McCarthy
		Vice President and Secretary

Date: October 30, 2015

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)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Chief Administrative Officer (principal executive officer)

Date: October 30, 2015


By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller (principal financial officer)

Date: October 30, 2015