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:  February 28, 2010
 
 
 
Item 1. Schedule of Investments.
 
The Cushing MLP Total Return Fund
            
SCHEDULE OF INVESTMENTS (Unaudited)
            
       
     
February 28, 2010
  
               
     
Shares
    
Fair Value
  
Master Limited Partnerships and Related Companies - United States - 125.6% (1)
            
Coal - 13.1% (1)
            
Alliance Holdings GP, L.P.
     100,000     $ 2,872,000  
Natural Resource Partners, L.P.
     150,000       3,843,000  
Penn Virginia GP Holdings, L.P.
     100,000       1,754,000  
Penn Virginia Resource Partners, L.P.
     100,000       2,309,000  
                10,778,000  
Crude/Natural Gas Production - 14.7% (1)
                
Encore Energy Partners, L.P.
     155,000       3,166,650  
EV Energy Partners, L.P.
     75,000       2,316,750  
Legacy Reserves, L.P.
     75,000       1,587,000  
Linn Energy, LLC
     100,000       2,635,000  
Vanguard Natural Resources, LLC
     100,000       2,446,000  
              12,151,400  
Crude/Refined Products Pipelines and Storage - 24.9% (1)
                
Enbridge Energy Partners, L.P.
     50,000       2,561,000  
Genesis Energy, L.P.
     200,000       3,964,000  
Magellan Midstream Partners, L.P.
     125,000       5,655,000  
NuStar GP Holdings, LLC
     50,000       1,401,000  
Plains All American Pipeline, L.P.
     75,000       4,155,750  
TransMontaigne Partners, L.P.
     100,000       2,760,000  
 
             20,496,750  
Natural Gas/Natural Gas Liquid Pipelines and Storage - 36.8% (1)
                
Boardwalk Pipeline Partners, L.P.
     100,000       2,994,000  
Cheniere Energy Partners, L.P.
     150,000       2,250,000  
Energy Transfer Equity, L.P.
     130,000       4,201,600  
Energy Transfer Partners, L.P.
     50,000       2,314,000  
Enterprise GP Holdings, L.P.
     60,000       2,462,400  
Enterprise Products Partners, L.P.
     150,000       4,914,000  
ONEOK Partners, L.P.
     75,000       4,548,750  
TC Pipelines, L.P.
     75,000       2,767,500  
Williams Partners, L.P.
     100,000       3,884,000  
              30,336,250  
Natural Gas Gathering/Processing - 19.0% (1)
                
Copano Energy, LLC
     100,000       2,380,000  
MarkWest Energy Partners, L.P.
     175,000       5,176,500  
Regency Energy Partners, L.P.
     175,000       3,717,000  
Targa Resources Partners, L.P.
     175,000       4,375,000  
              15,648,500  
Propane - 12.7% (1)
                
Inergy, L.P.
     175,000       6,321,000  
Inergy Holdings, L.P.
     60,000       4,186,200  
                10,507,200  
Shipping - 4.4% (1)
                
Navios Maritime Partners, L.P.
     50,000       786,500  
Teekay Offshore Partners, L.P.
     150,000       2,818,500  
                3,605,000  
Total Master Limited Partnerships and Related Companies (Cost $73,267,855)
             103,523,100  
     
Principal
          
   
Amount
          
Senior Notes - United States - 14.1% (1)
                
Natural Gas/Natural Gas Liquids Pipelines and Storage - 0.4% (1)
                
El Paso Corp., 7.420%, due 02/15/2037
   $ 375,000       344,141  
                   
Natural Gas Gathering/Processing - 13.7% (1)
                
Atlas Pipeline Partners, L.P., 8.750%, due 06/15/2018
     3,500,000       3,290,000  
Copano Energy, LLC, 8.125%, due 03/01/2016
     2,000,000       2,025,000  
Markwest Energy Partners, L.P., 6.875%, due 11/01/2014
     2,000,000       1,950,000  
Markwest Energy Partners, L.P., 8.750%, due 04/15/2018
     1,000,000       1,017,500  
Regency Energy Partners, L.P., 9.375%, due 06/01/2016 (2)
     2,000,000       2,120,000  
Targa Resources Partners, L.P., 8.250%, due 07/01/2016
     200,000       202,000  
Targa Resources Partners, L.P., 11.250%, due 07/15/2017 (2)
     600,000       669,000  
                11,273,500  
                   
Total Senior Notes (Cost $10,689,199)
             11,617,641  
                   
Exchange-Traded Note - United States - 1.8% (1)
                
JPMorgan Alerian MLP Index ETN
     50,000       1,478,500  
Total Exchange-Traded Note (Cost $1,480,203)
             1,478,500  
                   
Short-Term Investments - United States - Investment Companies - 0.0% (1)
  
Shares
          
AIM Short-Term Treasury Portfolio Fund - Institutional Class
     3,207       3,207  
Fidelity Government Portfolio Fund - Institutional Class
     3,206       3,206  
First American Treasury Obligations Fund - Class A
     3,206       3,206  
First American Treasury Obligations Fund - Class Y
     3,206       3,206  
First American Treasury Obligations Fund - Class Z
     3,206       3,206  
Total Short-Term Investments (Cost $16,031)
             16,031  
                   
Total Investments - 141.5% (1) (Cost $85,453,288)
             116,635,272  
Liabilities in Excess of Other Assets - (41.5)% (1)
             (34,234,310 )
Total Net Assets Applicable to Common Stockholders - 100.0% (1)
           $ 82,400,962  
                   
(1)
Calculated as a percentage of net assets applicable to common stockholders.
                
(2)
Restricted securities represent a total fair value of $2,789,000, which represents 3.4% of net assets.
                
                     
Restricted Securities

Certain of the Fund’s investments are 144A securities and are valued as determined in accordance with procedures established by the Board of Trustees.  The table below shows the principal amount, acquisition date, acquisition cost, fair value and percent of net assets which the restricted securities comprise at February 28, 2010.
 
Investment Security
      
Principal
Amount
  
Acquisition
Date
  
Acquisition
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     $ 2,120,000       2.6%       1.7%  
                                               
Targa Resources Partners,
L.P., 11.250%, due 07/15/2017
  
Senior Notes
   $ 600,000  
6/30/2009
   $ 570,410     $ 669,000       0.8%       0.6%  
                                               
Totals
                 $ 2,464,298     $ 2,789,000       3.4%       2.3%  


Tax Basis

At February 28, 2010, the cost basis of investments for federal income tax purposes was $84,974,443, and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
 
Gross unrealized appreciation
   $ 32,314,196  
Gross unrealized depreciation
     (653,367 )
Net unrealized appreciation
   $ 31,660,829  
 
 
Fair Value Measurements
 
The Fund has adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.  These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period.  These inputs are summarized in the three broad levels listed below.
 
     
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
February 28, 2010
  
(Level 1)
(Level 2)
(Level 3)
Equity Securities
          
Master Limited Partnerships and Related Companies (a)
$  103,523,100
  
$  103,523,100
$                    -
$                 -
Total Equity Securities
    103,523,100
  
    103,523,100
                      -
                   -
Notes
          
Senior Notes (a)
Exchange-Traded Note
      11,617,641
       1,478,500
  
                       -
        1,478,500
     11,617,641
                      -
                   -
                   -
Total Notes
      13,096,141
  
        1,478,500
     11,617,641
                   -
Other
          
Short-Term Investments
             16,031
  
             16,031
                      -
                   -
Total Other
             16,031
  
             16,031
                      -
                   -
Total
$  116,635,272
  
$  105,017,631
$   11,617,641
$                 -
(a) All other industry classifications are identified in the Schedule of Investments.
 

Derivative Financial Instruments

The Fund has adopted enhanced disclosure regarding derivatives and hedging activity intending to improve financial reporting of derivative instruments by enabling 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 occasionally engages in equity option trading as a source of protection against a broad market decline, therefore, the primary risk of this strategy is fluctuation in pricing of these positions. The Fund did not hold any option contracts as of February 28, 2010.

 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President and Treasurer 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)   /s/ Jerry V. Swank                                                           
Jerry V. Swank, President
 
Date   March 31, 2010                                                                                                                                                                                                 
 
 
 
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/ Jerry V. Swank                                                           
Jerry V. Swank, President
 
Date   March 31, 2010                                                                                                 
 
By (Signature and Title)   /s/ Mark Fordyce                                                                                                                                                                                
Mark Fordyce, Treasurer
 
Date   March 31, 2010