nvcsrs
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As filed with the Securities and Exchange Commission on August 5, 2011
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22072
The Cushing MLP Total Return Fund
(Exact name of registrant as specified in charter)
8117 Preston Road, Suite 440, Dallas, TX 75225
(Address of principal executive offices) (Zip code)
Jerry V. Swank
8117 Preston Road, Suite 440, Dallas, TX 75225
(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: May 31, 2011
 
 

 


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Item 1.  Report to Stockholders.
The Cushing® MLP Total Return Fund
 
 
         
(PICTURE)   (PICTURE)
(PICTURE)
(PICTURE)
  Semi-Annual Report
May 31, 2011  
  
(PICTURE)
(PICTURE)
 


(PICTURE)
  Investment Adviser
Cushing® MLP Asset Management, LP
8117 Preston Road
Suite 440
Dallas, TX 75225
(214) 692-6334
www.srvfund.com
www.swankcapital.com


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The Cushing® MLP Total Return Fund
Shareholder Letter
 
 
Dear Shareholder:
 
The Cushing® MLP Total Return Fund (NYSE: SRV) posted positive performance for the six month period ending May 31, 2011. In the first six months of fiscal 2011, SRV was +14.3% on a total return basis and +6.8% on a NAV basis, versus 12.6% for the S&P 500 Index Total Return (“S&P 500”) and a 7.6% return for the Cushing® 30 MLP Index Total Return (MLPXTR).
 
Although the Fund benefited from a favorable economic environment during the early part of the period, macro fears returned to the forefront during the last couple of months of the period. With the ongoing unrest in the Middle East/North Africa, the Japan earthquakes/tsunami, continued European sovereign debt concerns, uncomfortably high crude oil and gasoline prices, inflation fears percolating, and a discouraging lack of leadership by our elected officials to handle a looming debt crisis, “resilience” is a word that first comes to mind when thinking about equity and credit performance this past quarter. While significant macro fears understandably drove MLP sector correlations to the broader market (S&P 500) higher relative to the fourth quarter of 2010, we believe MLP characteristics still provide good diversification opportunities.
 
Continuing with the topic of risk, there is obviously no shortage of global macro concerns. Of course, given the events in the Middle East, North Africa, and Japan, there is certainly a stronger case to be made for the continued development of safe and reliable domestic fuel and related infrastructure. Of particular relevance to higher yielding securities, we continue to watch interest rates carefully. We take particular notice when the dollar continues to trade lower and lower as gold moves higher and higher, when the CEO of Wal-mart says inflation is right around the corner, when PIMCO shorts Treasuries, and when Standard and Poor’s revises its outlook on US sovereign credit to “negative.” Further, the end of QE2 is nearing, and at the very least, we believe this means additional market volatility for bonds and stocks. Bottom line: ultimately, we do not know what the future will bring (though we have a feeling), and we continue to analyze and evaluate the impact of rising interest rates on the Fund’s portfolio and leverage funding costs.


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Turning to the business aspect of the space, fundamentals for the MLP group remain very strong, save for pockets of softness such as natural gas storage and propane distribution and headwinds related to long haul natural gas pipelines. New shale plays — importantly, no longer just dry gas, but crude oil and liquids rich areas — are driving infrastructure opportunities. The dramatic shift in industry focus to oil shale development is driven by horizontal drilling technology and the extremely wide crude oil to natural gas price ratio. We believe the opportunity set for growth for MLPs is as abundant as we can remember, and MLPs are taking advantage of their low costs of capital.
 
We look forward to continuing to pursue the Fund’s investment objective to obtain a high after-tax total return from a combination of capital appreciation and current income from investments in MLPs. We invite you to visit our website at www.srvfund.com for the latest updates on the Fund and its adviser.
 
Jerry V. Swank
 
Jerry V. Swank
Chief Executive Officer


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The Cushing® MLP Total Return Fund
Key Financial Data (Supplemental Unaudited Information)
 
 
The Information presented below regarding Distributable Cash Flow is supplemental non-GAAP financial information, which we believe is meaningful to understanding our operating performance. Supplemental non-GAAP measures are not, and should not be construed as, a substitute for amounts computed in accordance with GAAP and should be read in conjunction with our full financial statements, including the notes thereto.
 
                                 
    Period from
                   
    December 1, 2010
    Fiscal
    Fiscal
    Fiscal
 
    through
    Year Ended
    Year Ended
    Year Ended
 
    May 31, 2011     11/30/10     11/30/09     11/30/08  
 
FINANCIAL DATA
                               
Total income from investments
                               
Distributions received from MLPs
  $ 12,346,279     $ 16,566,758     $ 8,889,886     $ 12,277,393  
Dividends from common stock
    4,503,795       4,483,307       1,779,867       178,095  
Interest income & other
    625,626       1,320,531       518,446       316,870  
                                 
Total income from investments
  $ 17,475,700     $ 22,370,596     $ 11,188,199     $ 12,772,358  
Advisory fee and operating expenses
                               
Advisory fees, less reimbursement by Adviser
  $ 2,288,047     $ 2,467,110     $ 557,839     $ 1,615,353  
Operating expenses(a)
    779,735       948,767       1,072,460       750,292  
Leverage costs
    358,968       465,469       176,619       924,418  
Other
    89,854       257,274       100,347       108,279  
                                 
Total advisory fees and operating expenses
  $ 3,516,604     $ 4,138,620     $ 1,907,265     $ 3,398,342  
Distributable Cash Flow (DCF)(b)
  $ 13,959,096     $ 18,231,976     $ 9,280,934     $ 9,374,016  
Distributions paid on common stock
  $ 13,251,562     $ 18,332,242     $ 9,505,720     $ 9,505,720  
Distributions paid on common stock per share
  $ 0.45     $ 0.90     $ 1.01     $ 1.26  
Distribution Coverage Ratio
                               
Before advisory fee and operating expenses
    1.3 x     1.2 x     1.2 x     1.3 x
After advisory fee and operating expenses
    1.1 x     1.0 x     1.0 x     1.0 x
OTHER FUND DATA (end of period)
                               
Total Assets, end of period
    416,707,466       293,125,989       98,339,592       61,974,946  
Unrealized appreciation (depreciation), net of income taxes
    56,638,706       67,183,214       20,880,742       (58,032,746 )
Short-term borrowings
    105,800,000       69,800,000       29,900,000       14,500,000  
Short-term borrowings as a percent of total assets
    25 %     24 %     30 %     23 %
Net Assets, end of period
    282,471,907       208,002,375       64,511,402       37,779,243  
Net Asset Value per common share
  $ 8.58     $ 8.03     $ 5.74     $ 3.98  
Market Value per share
  $ 10.54     $ 9.42     $ 7.37     $ 10.36  
Market Capitalization
  $ 347,041,178     $ 244,113,742     $ 82,894,797     $ 98,247,516  
Shares Outstanding
    32,926,108       25,914,410       11,247,598       9,483,351  
 
(a) Excludes expenses related to capital raising.
 
(b) “Net Investment Income” on the Statement of Operations is adjusted as follows to reconcile to Distributable Cash Flow: increased by the return of capital on MLP distributions and offering expenses.


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The Cushing® MLP Total Return Fund
Allocation of Portfolio Assets
May 31, 2011 (Unaudited)
(Expressed as a Percentage of Total Investments)
 
 
 
(1)  Master Limited Partnerships and Related Companies
(2)  Senior Notes
(3)  Common Stock


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The Cushing® MLP Total Return Fund
Schedule of Investments (Unaudited) May 31, 2011
 
                 
COMMON STOCK — 7.7%(1)   Shares     Fair Value  
 
 
Shipping — 2.9%(1)
               
Republic of the Marshall Islands — 2.9%(1)
               
Seaspan Corp. 
    300,000     $ 8,286,000  
                 
                 
Utilities — 4.8%(1)
               
United States — 4.8%(1)
               
Dominion Resources, Inc. 
    200,000       9,544,000  
Integrys Energy Group, Inc. 
    75,000       3,925,500  
                 
              13,469,500  
                 
Total Common Stock (Cost $21,722,670)
          $ 21,755,500  
                 
                 
                 
MASTER LIMITED PARTNERSHIPS AND RELATED
           
COMPANIES — 121.7%(1)            
 
Coal — 7.2%(1)
               
United States — 7.2%(1)
               
Oxford Resource Partners, L.P. 
    275,000       6,811,750  
Penn Virginia Resources Partners, L.P. 
    525,000       13,581,750  
                 
              20,393,500  
                 
Crude/Natural Gas Production — 19.6%(1)
               
United States — 19.6%(1)
               
Breitburn Energy Partners, L.P. 
    475,000       9,827,750  
EV Energy Partners, L.P. 
    335,000       18,542,250  
Legacy Reserves, L.P. 
    275,000       8,767,000  
Linn Energy, LLC
    300,000       11,658,000  
Vanguard Natural Resources, LLC
    75,000       2,223,750  
VOC Energy Trust
    200,000       4,328,000  
                 
              55,346,750  
                 
Crude/Refined Products Pipelines and Storage — 28.9%(1)
               
United States — 28.9%(1)
               
Buckeye Partners, L.P. 
    100,000       6,345,000  
Enbridge Energy Partners, L.P. 
    650,000       19,961,500  
Genesis Energy, L.P. 
    500,000       13,715,000  
Magellan Midstream Partners, L.P. 
    200,000       11,812,000  
Plains All American Pipeline, L.P. 
    400,000       24,896,000  
TransMontaigne Partners, L.P. 
    140,000       4,859,400  
                 
              81,588,900  
                 
Fertilizers — 1.8%(1)
               
United States — 1.8%(1)
               
CVR Partners, L.P. 
    250,000       4,990,000  
                 
                 
Natural Gas/Natural Gas Liquid Pipelines and Storage — 30.3%(1)
               
United States — 30.3%(1)
               
Boardwalk Pipeline Partners, LP
    600,000       17,460,000  
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Schedule of Investments (Unaudited) May 31, 2011 — (Continued)
 
 
                 
MASTER LIMITED PARTNERSHIPS AND RELATED
           
COMPANIES — (Continued)   Shares     Fair Value  
 
 
Natural Gas/Natural Gas Liquid Pipelines and Storage — (Continued)
               
United States — (Continued)
               
Cheniere Energy Partners, L.P. 
    275,000     $ 4,958,250  
El Paso Pipeline Partners, L.P. 
    100,000       3,437,000  
Energy Transfer Partners, L.P. 
    400,000       19,004,000  
Enterprise Products Partners, L.P. 
    250,000       10,410,000  
Niska Gas Storage Partners, L.P. 
    150,000       2,911,500  
ONEOK Partners, L.P. 
    155,700       12,976,038  
Spectra Energy Partners, L.P. 
    120,000       3,840,000  
Williams Partners, L.P. 
    200,000       10,584,000  
                 
              85,580,788  
                 
Natural Gas Gathering/Processing — 21.2%(1)
               
United States — 21.2%(1)
               
Crosstex Energy, L.P. 
    900,000       16,497,000  
DCP Midstream Partners, L.P. 
    250,000       10,132,500  
MarkWest Energy Partners, L.P. 
    200,000       9,504,000  
Regency Energy Partners, L.P. 
    400,000       10,076,000  
Targa Resources Partners, L.P. 
    400,000       13,824,000  
                 
              60,033,500  
                 
Propane — 5.6%(1)
               
United States — 5.6%(1)
               
Inergy, L.P. 
    325,000       12,054,250  
NGL Energy Partners, L.P. 
    175,000       3,664,500  
                 
              15,718,750  
                 
Shipping — 7.1%(1)
               
Republic of the Marshall Islands — 7.1%(1)
               
Capital Product Partners, L.P. 
    250,000       2,322,500  
Navios Maritime Partners, L.P. 
    625,000       11,937,500  
Teekay Offshore Partners, L.P. 
    200,000       5,810,000  
                 
              20,070,000  
                 
Total Master Limited Partnerships and Related Companies
(Cost $288,074,016)
          $ 343,722,188  
                 
                 
                 
    Principal
       
SENIOR NOTES — 3.7%(1)  
Amount
       
 
Crude/Natural Gas Production — 1.7%(1)
               
United States — 1.7%(1)
               
Breitburn Energy Partners, L.P., 8.625%, 10/15/2020
  $ 2,500,000       2,690,625  
Linn Energy, LLC, 7.750%, 02/01/2021(2)
    2,000,000       2,120,000  
                 
              4,810,625  
                 
Crude/Refined Products Pipelines and Storage — 0.3%(1)
               
United States — 0.3%(1)
               
Genesis Energy, L.P., 7.875%, 12/15/2018(2)
    1,000,000       1,002,500  
                 
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Schedule of Investments (Unaudited) May 31, 2011 — (Continued)
 
 
                 
    Principal
       
SENIOR NOTES — (Continued)   Amount     Fair Value  
   
 
Natural Gas/Natural Gas Liquids Pipelines and Storage — 0.5%(1)
               
United States — 0.5%(1)
               
Eagle Rock Energy Partners, L.P., 8.375%, due 06/01/2019(2)
  $ 1,000,000     $ 1,003,750  
El Paso Corp., 7.420%, due 02/15/2037
    375,000       434,930  
                 
              1,438,680  
                 
Natural Gas Gathering/Processing — 1.2%(1)
               
United States — 1.2%(1)
               
Regency Energy Partners, L.P., 9.375%, due 06/01/2016
    2,000,000       2,270,000  
Targa Resources Partners, L.P., 8.250%, due 07/01/2016
    200,000       214,000  
Targa Resources Partners, L.P., 7.875%, due 10/15/2018(2)
    250,000       266,875  
Targa Resources Partners, L.P., 6.875%, due 02/01/2021(2)
    600,000       599,250  
                 
              3,350,125  
                 
Total Senior Notes (Cost $9,531,414)
            10,601,930  
                 
                 
                 
SHORT-TERM INVESTMENTS — INVESTMENT COMPANIES — 1.1%(1)  
Shares
       
 
United States — 1.1%(1)
               
AIM Short-Term Treasury Portfolio Fund — Institutional Class, 0.02%(3)
    604,640       604,640  
Fidelity Government Portfolio Fund — Institutional Class, 0.01%(3)
    604,640       604,640  
First American Treasury Obligations Fund — Class A, 0.00%(3)
    604,640       604,640  
First American Treasury Obligations Fund — Class Y, 0.00%(3)
    604,640       604,640  
First American Treasury Obligations Fund — Class Z, 0.00%(3)
    604,640       604,640  
                 
Total Short-Term Investments (Cost $3,023,200)
            3,023,200  
                 
                 
TOTAL INVESTMENTS — 134.2%(1) (COST $322,351,301)
            379,102,818  
Liabilities in Excess of Other Assets — (34.2)%(1)
            (96,630,911 )
                 
NET ASSETS APPLICABLE TO COMMON STOCKHOLDERS — 100.0%(1)
          $ 282,471,907  
                 
                 
SECURITIES SOLD SHORT (Unaudited)            
   
Exchange Traded Note — (6.5)%(1)
               
J.P. Morgan Alerian MLP Index ETN
    500,000     $ 18,370,000  
                 
TOTAL SECURITIES SOLD SHORT — (6.5)%(1)
(PROCEEDS $18,257,189)
          $ 18,370,000  
                 
 
(1) Calculated as a percentage of net assets applicable to common stockholders.
 
(2) Restricted securities represent a total fair value of $4,992,375, which represents 1.8% of net assets.
 
(3) Rate reported is the current yield as of May 31, 2011.
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Statement of Assets & Liabilities (Unaudited)
May 31, 2011
 
 
         
Assets
       
Investments, at fair value (cost $322,351,301)
  $ 379,102,818  
Receivable for investments sold
    35,238,277  
Cash and cash equivalents
    1,838,234  
Distributions and dividends receivable
    271,125  
Interest receivable
    228,454  
Prepaid expenses and other assets
    28,558  
         
Total assets
    416,707,466  
         
Liabilities
       
Securities sold short, at fair value (proceeds $18,257,189)
    18,370,000  
Payable to Adviser
    455,808  
Payable for investments purchased
    1,914,336  
Distributions payable to common stockholders
    7,408,374  
Short-term borrowings
    105,800,000  
Accrued interest expense
    13,821  
Accrued offering expense
    76,680  
Accrued expenses and other liabilities
    196,540  
         
Total liabilities
    134,235,559  
         
Net assets applicable to common stockholders
  $ 282,471,907  
         
Net Assets Applicable to Common Stockholders Consist of
       
Capital stock, $0.001 par value; 32,926,108 shares issued and outstanding (unlimited shares authorized)
  $ 32,926  
Additional paid-in capital
    312,098,660  
Undistributed net investment income, net of income taxes
    3,421,224  
Accumulated realized loss, net of income taxes
    (89,719,609 )
Net unrealized gain on investments, net of income taxes
    56,638,706  
         
Net assets applicable to common stockholders
  $ 282,471,907  
         
Net Asset Value per common share outstanding (net assets applicable to common shares divided by common shares outstanding)
  $ 8.58  
         
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Statement of Operations (Unaudited)
Period From December 1, 2010 Through May 31, 2011
 
 
         
Investment Income
       
Distributions received from master limited partnerships
  $ 12,346,279  
Less: return of capital on distributions
    (11,166,507 )
         
Distribution income from master limited partnerships
    1,179,772  
Dividends from common stock
(net of foreign taxes withheld of $36,325)
    4,503,795  
Interest income
    625,626  
         
Total Investment Income
    6,309,193  
         
Expenses
       
Advisory fees
    2,288,047  
Stock loan fees
    365,628  
Professional fees
    111,956  
Administrator fees
    84,352  
Trustees’ fees
    54,740  
Reports to stockholders
    53,999  
Registration fees
    48,954  
Fund accounting fees
    28,766  
Custodian fees and expenses
    17,508  
Transfer agent fees
    13,832  
Other expenses
    89,854  
         
Total Expenses before Interest Expense
    3,157,636  
         
Interest expense
    358,968  
         
Net Expenses
    3,516,604  
         
Net Investment Income
    2,792,589  
         
Realized and Unrealized Gain (Loss) on Investments
       
Net realized gain on investments
    28,149,450  
         
Net change in unrealized depreciation of investments
    (10,544,508 )
         
Net Realized and Unrealized Gain on Investments
    17,604,942  
         
Increase in Net Assets Applicable to Common Stockholders Resulting from Operations
  $ 20,397,531  
         
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Statements of Changes in Net Assets
 
                 
    Period From
    Fiscal
 
    December 1, 2010
    Year Ended
 
    Through
    November 30,
 
    May 31, 2011     2010  
    (Unaudited)        
 
Operations
               
Net investment income
  $ 2,792,589     $ 2,296,691  
Net realized gain on investments
    28,149,450       1,539,215  
Net change in unrealized appreciation (depreciation) of investments
    (10,544,508 )     46,302,472  
                 
Net increase in net assets applicable to common stockholders resulting from operations
    20,397,531       50,138,378  
                 
Dividends and Distributions to Common Stockholders
               
Net investment income
           
Return of capital
    (13,251,562 )     (18,332,242 )
                 
Total dividends and distributions to common stockholders
    (13,251,562 )     (18,332,242 )
                 
Capital Share Transactions
               
Proceeds from issuance of 6,900,000 and 14,475,000 common shares from offerings, net of offering costs(1) of $0 and $615,000, respectively
    66,240,000       110,189,000  
Issuance of 111,698 and 191,812 common shares from reinvestment of distributions to stockholders, respectively
    1,083,563       1,495,837  
                 
Net increase in net assets applicable to common stockholders from capital share transactions
    67,323,563       111,684,837  
                 
Total increase in net assets applicable to common stockholders
    74,469,532       143,490,973  
Net Assets
               
Beginning of fiscal year
    208,002,375       64,511,402  
                 
End of fiscal year
  $ 282,471,907     $ 208,002,375  
                 
Undistributed net investment income at the end of the fiscal year
  $ 3,421,224     $ 628,635  
                 
 
(1) See Note 2C in the Notes to Financial Statements.
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Statement of Cash Flows (Unaudited)
Period From December 1, 2010 through May 31, 2011
 
         
 
Operating Activities
       
Increase in Net Assets Applicable to Common Stockholders
       
Resulting from Operations
  $ 20,397,531  
Adjustments to reconcile increase in the net assets applicable to common stockholders to net cash used in operating activities
       
Net change in unrealized depreciation of investments
    10,544,508  
Purchases of investments
    (484,146,003 )
Proceeds from sales of investments
    401,476,906  
Proceeds from investments sold short
    106,813,290  
Purchases to cover investments sold short
    (89,980,449 )
Return of capital on distributions
    11,166,507  
Net realized gains on sales of investments
    (28,149,450 )
Net purchases of short-term investments
    (2,839,570 )
Net accretion/amortization of senior notes’ premiums/discounts
    (42,943 )
Changes in operating assets and liabilities
       
Receivable for investments sold
    (29,966,081 )
Interest receivable
    174,253  
Distributions and dividends receivable
    726,770  
Prepaid and other assets
    24,360  
Payable to Adviser
    145,500  
Payable for investments purchased
    (6,471,394 )
Accrued interest expense
    (426,752 )
Accrued offering expense
    (70,925 )
Accrued expenses and other liabilities
    (12,116 )
         
Net cash used in operating activities
    (90,636,058 )
         
Financing Activities
       
Proceeds from borrowing facility
    149,000,000  
Repayment of borrowing facility
    (113,000,000 )
Common Stock Issuance, net of underwriting and other direct costs
    6,900  
Additional paid-in capital from Common Stock Issuance
    66,233,100  
Dividends paid to common stockholders
    (10,590,367 )
         
Net cash provided by financing activities
    91,649,633  
         
Increase in Cash and Cash Equivalents
    1,013,575  
Cash and Cash Equivalents:
       
Beginning of fiscal year
    824,659  
         
End of fiscal year
  $ 1,838,234  
         
Supplemental Disclosure of Cash Flow and Non-Cash Information
       
Interest Paid
  $ 743,336  
Taxes Paid
  $ 47,219  
Additional paid-in capital from Dividend Reinvestment
  $ 1,083,563  
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Financial Highlights
 
                                         
    Period From
                      Period from
 
    December 1, 2010
    Fiscal
    Fiscal
    Fiscal
    August 27, 2007(1)
 
    through
    Year Ended
    Year Ended
    Year Ended
    through
 
    May 31,
    November 30,
    November 30,
    November 30,
    November 30,
 
    2011     2010     2009     2008     2007  
    (Unaudited)                          
 
Per Common Share Data(2)
                                       
Net Asset Value, beginning of period
  $ 8.03     $ 5.74     $ 3.98     $ 18.17     $  
Public offering price
                            20.00  
Underwriting discounts and offering costs on issuance of common shares
          (0.05 )     (0.01 )           (0.94 )
Income from Investment Operations:
                                       
Net investment income
    0.53       1.07       1.09       1.15       0.30  
Net realized and unrealized gain (loss) on investments
    0.47       2.17       1.69       (14.05 )     (0.89 )
                                         
Total increase (decrease) from investment operations
    1.00       3.24       2.78       (12.90 )     (0.59 )
                                         
Less Distributions to Common Stockholders:
                                       
Net investment income
                             
Return of capital
    (0.45 )     (0.90 )     (1.01 )     (1.29 )     (0.30 )
                                         
Total distributions to common stockholders
    (0.45 )     (0.90 )     (1.01 )     (1.29 )     (0.30 )
                                         
Net Asset Value, end of period
  $ 8.58     $ 8.03     $ 5.74     $ 3.98     $ 18.17  
                                         
Per common share market value, end of period
  $ 10.54     $ 9.42     $ 7.37     $ 10.36     $ 16.71  
                                         
Total Investment Return Based on Market Value
    17.10 %     42.26 %     (16.89 )%     (31.18 )%     (14.84 )%(3)
                                         
 
 
See Accompanying Notes to the Financial Statements.


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    Period From
                      Period from
 
    December 1, 2010
    Fiscal
    Fiscal
    Fiscal
    August 27, 2007(1)
 
    through
    Year Ended
    Year Ended
    Year Ended
    through
 
    May 31,
    November 30,
    November 30,
    November 30,
    November 30,
 
    2011     2010     2009     2008     2007  
    (Unaudited)                          
 
Supplemental Data and Ratios
                                       
Net assets applicable to common stockholders, end of period (000’s)
  $ 282,472     $ 208,002     $ 64,511     $ 37,779     $ 159,103  
Ratio of expenses (including current and deferred income tax benefit/expense) to average net assets before waiver (4)(5)
    2.75 %     3.08 %     4.32 %     5.18 %     (4.53 )%
Ratio of expenses (including current and deferred income tax benefit/expense) to average net assets after waiver (4)(5)
    2.75 %     3.05 %     3.74 %     4.75 %     (5.18 )%
Ratio of expenses (excluding current and deferred income tax benefit/expense) to average net assets before waiver (4)(5)(6)
    2.75 %     3.08 %     4.32 %     2.99 %     2.69 %
Ratio of expenses (excluding current and deferred income tax benefit/expense) to average net assets after waiver(4)(5)(6)
    2.75 %     3.05 %     3.74 %     2.56 %     2.04 %
Ratio of net investment income (loss) to average net assets before waiver(4)(5)(6)
    2.19 %     1.66 %     0.22 %     (1.93 )%     (0.48 )%
Ratio of net investment income (loss) to average net assets after waiver(4)(5)(6)
    2.19 %     1.69 %     0.80 %     (1.49 )%     0.17 %
Ratio of net investment income (loss) to average net assets after current and deferred income tax benefit/expense, before waiver(4)(5)
    2.19 %     1.66 %     0.22 %     (4.12 )%     6.74 %
Ratio of net investment income (loss) to average net assets after current and deferred income tax benefit/expense, after waiver(4)(5)
    2.19 %     1.69 %     0.80 %     (3.69 )%     7.39 %
Portfolio turnover rate
    115.38 %     300.70 %     526.39 %     95.78 %     15.15 %
 
(1) Commencement of Operations
 
 
(2) Information presented relates to a share of common stock outstanding for the entire period.
 
 
(3) Not Annualized. Total investment return is calculated assuming a purchase of common stock at the initial public offering price and a sale at the closing price on the last day of the period reported. The calculation also assumes reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions.
 
 
(4) Annualized for periods less than one full year.
 
 
(5) For the period from December 1, 2010 through May 31, 2011, the Fund accrued $0 in net current and deferred tax expense. For the fiscal year ended November 30, 2010, the Fund accrued $0 in net current and deferred tax expense. For the fiscal year ended November 30, 2009, the Fund accrued $0 in net current and deferred tax expense. For the fiscal year ended November 30, 2008, the Fund accrued $3,153,649 in net current and deferred tax expense. For the period from August 27, 2007 through November 30, 2007, the Fund accrued $3,153,649 in net current and deferred income tax benefit.
 
 
(6) This ratio excludes current and deferred income tax benefit/expense on net investment income.
 
 
See Accompanying Notes to the Financial Statements.


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The Cushing® MLP Total Return Fund
Notes To Financial Statements
May 31, 2011 (Unaudited)
 
1.   Organization
 
The Cushing® MLP Total Return Fund (the “Fund”) was formed as a Delaware statutory trust on May 23, 2007, and is a non-diversified, closed-end investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s investment objective is to seek to produce current income and capital appreciation. The Fund seeks to provide its stockholders with an efficient vehicle to invest in the energy infrastructure sector. The Fund commenced operations on August 27, 2007. The Fund’s shares are listed on the New York Stock Exchange under the symbol “SRV.”
 
2.   Significant Accounting Policies
 
A.  Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, recognition of distribution income and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.
 
B.  Investment Valuation
The Fund uses the following valuation methods to determine fair value as either current market value for investments for which market quotations are available, or if not available, the fair value, as determined in good faith pursuant to such policies and procedures as may be approved by the Fund’s Board of Trustees (“Board of Trustees”) from time to time. The valuation of the portfolio securities of the Fund currently includes the following processes:
 
(i) The market value of each security listed or traded on any recognized securities exchange or automated quotation system will be the last reported sale price at the relevant valuation date on the composite tape or on the principal exchange on which such security is traded. If no sale is reported on that date, Cushing® MLP Asset Management, LP (the “Adviser”) (formerly Swank Energy Income Advisors, LP) utilizes, when available, pricing quotations from principal market markers. Such


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quotations may be obtained from third-party pricing services or directly from investment brokers and dealers in the secondary market. Generally, the Fund’s loan and bond positions are not traded on exchanges and consequently are valued based on market prices received from third-party services or broker-dealer sources.
 
(ii) Listed options on debt securities are valued at the average of the bid price and the ask price. Unlisted options on debt or equity securities are valued based upon their composite bid prices if held long, or their composite ask prices if held short. Futures are valued at the last sale price on the commodities exchange on which they trade.
 
(iii) The Fund’s non-marketable investments will generally be valued in such manner as the Adviser determines in good faith to reflect their fair values under procedures established by, and under the general supervision and responsibility of, the Board of Trustees. The pricing of all assets that are fair valued in this manner will be subsequently reported to and ratified by the Board of Trustees.
 
The Fund may engage in short sale transactions. For financial statement purposes, an amount equal to the settlement amount, if any, is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short positions. Subsequent fluctuations in market prices of securities sold short may require purchasing the securities at prices which may differ from the market value reflected on the Statement of Assets and Liabilities. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized under the termination of a short sale. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is liable for any dividends paid on securities sold short and such amounts would be reflected as dividend expense in the Statement of Operations. The Fund’s obligation to replace the borrowed security will be secured by collateral deposited with the broker-dealer. The Fund also will be required to segregate similar collateral to the extent, if any, necessary so that the value of both collateral amounts in the aggregate is at all times equal to at least 100% of the current market value of the securities sold short. The fair value of securities sold short is $18,370,000 at May 31, 2011.


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C.  Security Transactions, Investment Income and Expenses
Security transactions are accounted for on the date the securities are purchased or sold (trade date). Realized gains and losses are reported on a specific identified cost basis. Interest income is recognized on the accrual basis, including amortization of premiums and accretion of discounts. Distributions are recorded on the ex-dividend date. Distributions received from the Fund’s investments in master limited partnerships (“MLPs”) generally are comprised of ordinary income, capital gains and return of capital from the MLP. The Fund records investment income on the ex-date of the distributions. For financial statement purposes, the Fund uses return of capital and income estimates to allocate the dividend income received. Such estimates are based on historical information available from each MLP and other industry sources. These estimates may subsequently be revised based on information received from MLPs after their tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end of the Fund.
 
The Fund estimates the allocation of investment income and return of capital for the distributions received from MLPs within the Statement of Operations. The Fund has estimated approximately 5% of the distributions to be from investment income with the remaining balance to be return of capital.
 
Expenses are recorded on the accrual basis. During 2010, the Fund over accrued offering costs by $147,605, of which $70,925 of offering payments were applied against the accrual during the period ended May 31, 2011. As of May 31, 2011, the balance of accrued offering costs was $76,680.
 
D.  Dividends and Distributions to Stockholders
Dividends and distributions to common stockholders are recorded on the ex-dividend date. The character of dividends and distributions to common stockholders made during the year may differ from their ultimate characterization for federal income tax purposes. For the period ended May 31, 2011, the Fund’s dividends and distributions were expected to be comprised of 100% return of capital. The tax character of distributions paid for the period ended May 31, 2011 will be determined in early 2012.
 
E.  Federal Income Taxation
The Fund, taxed as a corporation, is obligated to pay federal and state income tax on its taxable income. Currently, the maximum marginal regular federal income tax rate for a corporation is 35%. The Fund may be subject to a 20% federal alternative minimum tax on its federal alternative minimum taxable


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income to the extent that its alternative minimum tax exceeds its regular federal income tax.
 
The Fund invests its assets primarily in MLPs, which generally are treated as partnerships for federal income tax purposes. As a limited partner in the MLPs, the Fund reports its allocable share of the MLP’s taxable income in computing its own taxable income. The Fund’s tax expense or benefit is included in the Statement of Operations based on the component of income or gains (losses) to which such expense or benefit relates. Deferred income taxes reflect the net tax effects of temporary differences between the carrying amounts of assets and liabilities for financial reporting purposes and the amounts used for income tax purposes. A valuation allowance is recognized if, based on the weight of available evidence, it is more likely than not that some portion or all of the deferred income tax asset will not be realized.
 
The Fund has reviewed all open tax years and major jurisdictions and concluded that there is no impact on the Fund’s net assets and no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on a tax return. As of May 31, 2011, the Fund’s federal tax returns since inception remain subject to examination by the Internal Revenue Service.
 
F.  Cash and Cash Equivalents
The Fund considers all highly liquid investments purchased with initial maturity equal to or less than three months to be cash equivalents.
 
G.  Cash Flow Information
The Fund makes distributions from investments, which include the amount received as cash distributions from MLPs, common stock dividends and interest payments. These activities are reported in the Statement of Changes in Net Assets, and additional information on cash receipts and payments is presented in the Statement of Cash Flows.
 
H.  Indemnifications
Under the Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts that provide general indemnification to other parties. The Fund’s maximum exposure under such indemnification arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred, and may not occur.


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I.  Derivative Financial Instruments
The Fund provides disclosure regarding derivatives and hedging activity to allow investors to understand how and why the Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect the Fund’s results of operations and financial position.
 
The Fund occasionally purchases and sells (“writes”) put and call equity options as a source of potential protection against a broad market decline. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Options are settled for cash.
 
Purchased Options — Premiums paid by the Fund for purchased options are included in the Statement of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and any change in fair value is recorded as unrealized appreciation or depreciation of investments. If the option is allowed to expire, the Fund will lose the entire premium paid and record a realized loss for the premium amount. Premiums paid for purchased options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain/loss or cost basis of the security.
 
Written Options — Premiums received by the Fund for written options are included in the Statement of Assets and Liabilities. The amount of the liability is adjusted daily to reflect the current market value of the written option and any change in fair value is recorded as unrealized appreciation or depreciation of investments. Premiums received from written options that expire are treated as realized gains. The Fund records a realized gain or loss on written options based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
 
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the


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strike price. Put options written subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
 
The Fund is not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
 
During the period ended May 31, 2011, the Fund purchased 4,300 J.P. Morgan Alerian MLP Index ETN equity option put contracts with an exercise price of $37.00 and sold all of these option contracts for a total realized gain of $378,502. The Fund also purchased 22,300 S&P Depository Receipts (“SPDR”) Trust Series 1 equity option put contracts with various exercise prices and sold 17,000 of these option contracts for a total realized loss of $1,033,965. The remaining 5,300 contracts expired for a total realized loss of $397,087. The total realized loss of $1,052,550 is included in net realized gain on investments in the Statement of Operations. The Fund did not hold any option contracts as of May 31, 2011.
 
During the period ended May 31, 2011, the Fund wrote 10,800 SPDR Trust Series 1 short option put contracts with various exercise prices and covered 8,500 of these option contracts for a total realized gain of $645,735. The remaining 2,300 contracts expired for a total realized gain of $25,266. The total realized gain of $671,001 is included in net realized gain on investments in the Statement of Operations.
 
J.  Recent Accounting Pronouncement
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in GAAP and the International Financial Reporting Standards (“IFRSs”). ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating these amendments and does not believe they will have a material impact on the Fund’s financial statements.
 
3.   Concentrations of Risk
 
The Fund’s investment objective is to seek to produce current income and capitalization. The Fund will seek to achieve its investment objective by investing, under normal market conditions, at least 80% of its net assets, plus any borrowings for investment purposes, in MLP investments; up to 50% of


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its managed assets in securities of MLPs and other natural resource companies that are not publicly traded, or that are otherwise restricted securities; up to 20% of its managed assets in securities of companies that are not MLPs, including other natural resource companies, and U.S. and non-U.S. issuers that may not constitute other natural resource companies; and up to 20% of its managed assets in debt securities of MLPs, other natural resource companies and other issuers.
 
4.   Agreements and Related Party Transactions
 
The Fund has entered into an Investment Management Agreement with the Adviser (the “Agreement”). Under the terms of the Agreement, the Fund will pay the Adviser a fee, payable at the end of each calendar month, at an annual rate equal to 1.25% of the average weekly value of the Fund’s managed assets during such month for the services and facilities provided by the Adviser to the Fund. The Adviser earned $2,288,047 in advisory fees for the period ended May 31, 2011.
 
The Fund has engaged U.S. Bancorp Fund Services, LLC to serve as the Fund’s administrator. The Fund pays the administrator a monthly fee computed at an annual rate of 0.08% of the first $100,000,000 of the Fund’s managed assets, 0.05% on the next $200,000,000 of managed assets and 0.04% on the balance of the Fund’s managed assets, with a minimum annual fee of $40,000.
 
Computershare Trust Fund, N.A. serves as the Fund’s transfer agent, dividend paying agent, and agent for the automatic dividend reinvestment plan.
 
U.S. Bank, N.A. serves as the Fund’s custodian. The Fund pays the custodian a monthly fee computed at an annual rate of 0.004% of the Fund’s average daily market value, with a minimum annual fee of $4,800.
 
5.   Income Taxes
 
Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of assets and liabilities for financial reporting


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and tax purposes. Components of the Fund’s deferred tax assets and liabilities as of May 31, 2011, are as follows:
 
         
Deferred tax assets:
       
Net operating loss carryforward
  $ 5,994,995  
Capital loss carryforward
    27,182,951  
         
Total deferred tax assets
    33,177,946  
Less Deferred tax liabilities:
       
Unrealized gain on investment securities
    21,508,843  
         
Net deferred tax asset before valuation allowance
    11,669,103  
Valuation allowance
    (11,669,103 )
         
Net deferred tax asset
  $  
         
 
The net operating loss carryforward and capital loss carryforward are available to offset future taxable income. The Fund has the following net operating loss and capital loss amounts:
 
             
Fiscal Year Ended Net Operating Loss
  Amount     Expiration
 
November 30, 2007
  $     NA
November 30, 2008
    5,736,436     November 30, 2028
November 30, 2009
    2,225,868     November 30, 2029
November 30, 2010
        NA
             
Total Fiscal Year Ended Net Operating Loss
  $ 7,962,304      
             
Fiscal Year Ended Capital Loss
           
November 30, 2007
  $     NA
November 30, 2008
    62,485,409     November 30, 2013
November 30, 2009
    50,363,661     November 30, 2014
November 30, 2010
        NA
             
Total Fiscal Year Ended Capital Loss
  $ 112,849,070      
             
 
For corporations, capital losses can only be used to offset capital gains and cannot be used to offset ordinary income. As such, for the fiscal year ended November 30, 2010, the Fund used capital loss carryforwards of $699,000 from the fiscal year ended November 30, 2007 and $1,653,000 from the fiscal year ended November 30, 2008 to offset its capital gains. The capital loss may be carried forward for 5 years and, accordingly, would begin to expire as of


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November 30, 2013. The net operating loss can be carried forward for 20 years and, accordingly, would begin to expire as of November 30, 2027.
 
The Fund has recorded a valuation allowance for the full amount of the deferred tax asset as the Fund believes it is more likely than not that the asset will not be utilized.
 
Total income tax benefit (current and deferred) differs from the amount computed by applying the federal statutory income tax rate of 35% to net investment income and realized and unrealized gains (losses) on investments before taxes for the period ended May 31, 2011, as follows:
 
         
Application of statutory income tax rate
  $ 7,139,000  
Change in state tax rate used to determine deferred tax
    76,000  
Change in valuation allowance
    (7,215,000 )
         
Total tax expense
  $  
         
 
The decrease in the valuation allowance was due to a decrease in the net deferred tax asset of $7,215,000 during the period ended May 31, 2011. All federal and state tax amounts above are deferred balances and there were no current balances for federal or state taxes in the current year.
 
At May 31, 2011, the cost basis of investments was $316,864,813 and gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
 
         
Gross unrealized appreciation
  $ 70,331,098  
Gross unrealized depreciation
    (8,093,093 )
         
Net unrealized appreciation
  $ 62,238,005  
         
 
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Fund. No income tax returns are currently under examination. All tax years since commencement of operations remain subject to examination by the tax authorities in the United States. Due to the nature of the Fund’s investments, the Fund may be required to file income tax returns in several states. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.


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6.   Fair Value Measurements
 
Various inputs that are used in determining the fair value of the Fund’s investments are summarized in the three broad levels listed below:
 
  •  Level 1 — quoted prices in active markets for identical securities
 
  •  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, 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.
 
These inputs are summarized in the three broad levels listed below.
 
                                 
          Fair Value Measurements at Reporting Date Using  
          Quoted Prices in
    Significant Other
    Significant
 
          Active Markets for
    Observable
    Unobservable
 
    Fair Value at
    Identical Assets
    Inputs
    Inputs
 
Description   May 31, 2011     (Level 1)     (Level 2)     (Level 3)  
         
 
Assets
                               
Equity Securities
                               
Common Stock(a)
  $ 21,755,500     $ 21,755,500     $     $        —  
Master Limited Partnerships and Related Companies(a)
    343,722,188       343,722,188              
                                 
Total Equity Securities
    365,477,688       365,477,688              
                                 
Notes
                               
Senior Notes(a)
    10,601,930             10,601,930        
                                 
Total Notes
    10,601,930             10,601,930        
                                 
Other
                               
Short-Term Investments
    3,023,200       3,023,200              
                                 
Total Other
    3,023,200       3,023,200              
                                 
Total Assets
  $ 379,102,818     $ 368,500,888     $ 10,601,930     $  
                                 
Liabilities
                               
Exchange Traded Note
  $ 18,370,000     $ 18,370,000     $     $  
                                 
Total
  $ 360,732,818     $ 350,130,888     $ 10,601,930     $  
                                 
 
(a) All other industry classifications are identified in the Schedule of Investments. The Fund did not hold Level 3 investments at any time during the period ended May 31, 2011.


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7.   Investment Transactions
 
For the period ended May 31, 2011, the Fund purchased (at cost) and sold securities (proceeds) in the amount of $478,624,184 and $396,005,013 (excluding short-term securities), respectively and made purchases to cover investments sold short and received proceeds from investments sold short in the amount of $89,980,449 and $106,813,290, respectively. The Fund purchased (at cost) and sold options (proceeds) in the amount of $5,521,819 and $4,469,269, respectively. The Fund sold written options (proceeds) in the amount of $1,002,624.
 
8.   Common Stock
 
The Fund has unlimited shares of capital stock authorized and 32,926,108 shares outstanding at May 31, 2011. Transactions in common stock for the fiscal year ended November 30, 2010 and the period ended May 31, 2011 were as follows:
 
         
Shares at November 30, 2009
    11,247,598  
Shares sold through additional offerings
    14,475,000  
Shares issued through reinvestment of distributions
    191,812  
         
Shares at November 30, 2010
    25,914,410  
Shares sold through additional offerings
    6,900,000  
Shares issued through reinvestment of distributions
    111,698  
         
Shares at May 31, 2011
    32,926,108  
         
 
9.   Borrowing Facilities
 
The Fund maintains a margin account arrangement with Credit Suisse. The interest rate charged on margin borrowing is tied to the cost of funds for Credit Suisse (which approximates LIBOR plus 0.30%). Proceeds from the margin account arrangement are used to execute the Fund’s investment objective.
 
The average principal balance and interest rate for the period during which the credit facilities were utilized during the period ended May 31, 2011 was approximately $91,564,000 and 0.68%, respectively. At May 31, 2011, the principal balance outstanding was $105,800,000 and accrued interest expense was $13,821.
 
10.   Subsequent Events
 
On June 13, 2011, the Fund issued 62,546 shares through its dividend reinvestment plan. After these share issuances, the Fund’s total common shares outstanding were 32,988,654.


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The Cushing® MLP Total Return Fund
Additional Information (Unaudited)
May 31, 2011
 
Trustee and Officer Compensation
 
The Fund does not currently compensate any of its trustees who are interested persons nor any of its officers. For the period ended May 31, 2011, the aggregate compensation paid by the Fund to the independent trustees was $54,000. The Fund did not pay any special compensation to any of its trustees or officers. The Fund continuously monitors standard industry practices and this policy is subject to change. The Fund’s Statement of Additional Information includes additional information about the Trustees and is available on the SEC’s Web site at www.sec.gov.
 
Cautionary Note Regarding Forward-Looking Statements
 
This report contains “forward-looking statements” as defined under the U.S. federal securities laws. Generally, the words “believe,” “expect,” “intend,” “estimate,” “anticipate,” “project,” “will” and similar expressions identify forward-looking statements, which generally are not historical in nature. Forward-looking statements are subject to certain risks and uncertainties that could cause actual results to materially differ from the Fund’s historical experience and its present expectations or projections indicated in any forward-looking statements. These risks include, but are not limited to, changes in economic and political conditions; regulatory and legal changes; MLP industry risk; leverage risk; valuation risk; interest rate risk; tax risk; and other risks discussed in the Fund’s filings with the SEC. You should not place undue reliance on forward-looking statements, which speak only as of the date they are made. The Fund undertakes no obligation to update or revise any forward-looking statements made herein. There is no assurance that the Fund’s investment objectives will be attained.
 
Proxy Voting Policies
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities owned by the Fund and information regarding how the Fund voted proxies relating to the portfolio of securities during the 12-month period ended June 30, 2010 is available to stockholders by visiting the SEC’s Web site at www.sec.gov.


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Form N-Q
 
The Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the SEC on Form N-Q. The Fund’s Form N-Q and statement of additional information are available without charge by visiting the SEC’s Web site at www.sec.gov. In addition, you may review and copy the Fund’s Form N-Q at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling (800) SEC-0330.
 
Certifications
 
The Fund’s Chief Executive Officer has submitted to the New York Stock Exchange the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Fund Manual.
 
The Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Dividend Reinvestment Plan
 
How the Plan Works
Unless the registered owner of common shares elects to receive cash by contacting the Plan Agent, all dividends declared for your common shares of the Fund will be automatically reinvested by Computershare Trust Company, N.A. and/or Computershare Inc. (together, the “Plan Agent”), agent for shareholders in administering the Fund’s Dividend Reinvestment Plan (the “Plan”), in additional common shares of the Fund. The Plan Agent will open an account for each common shareholder under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Fund declares a dividend or other distribution (for purposes of this section, together, a “dividend”) payable in cash, non-participants in the Plan will receive cash and participants in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Agent for the participants’ accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares from the Fund (“newly-issued common shares”) or (ii) by purchase of outstanding common shares on the open market (“open-market purchases”) on the New York Stock Exchange or elsewhere.
 
If, on the payment date for any dividend, the market price per common share plus per share fees (which include any brokerage commissions the Plan Agent


26


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is required to pay) is greater than the net asset value per common share, the Plan Agent will invest the dividend amount in newly-issued common shares, including fractions, on behalf of the participants. The number of newly-issued common shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the net asset value per common share on the payment date; provided that, if the net asset value per common share is less than 95% of the market price per common share on the payment date, the dollar amount of the dividend will be divided by 95% of the market price per common share on the payment date. If, on the payment date for any dividend, the net asset value per common share is greater than the market value per common share plus per share fees, the Plan Agent will invest the dividend amount in common shares acquired on behalf of the participants in open-market purchases.
 
Participation in the Plan
If a registered owner of common shares elects not to participate in the Plan, you will receive all dividends in cash paid by check mailed directly to you (or, if the shares are held in street or other nominee name, then to such nominee) by the Plan Agent, as dividend disbursing agent. You may elect not to participate in the Plan and to receive all dividends in cash by sending written or telephonic instructions to the Plan Agent, as dividend paying agent, or by contacting the Plan Agent via their website at the address set out below. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by contacting the Plan Agent before the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
 
Plan Fees
There will be no per share fees with respect to common shares issued directly by the Fund. However, each participant will pay a per share fee (currently $0.03) incurred in connection with open-market purchases. There is no direct transaction fee to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a transaction fee payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $15.00 sales transaction fee and pay a per share fee of $0.12 per share sold. All per share fees include any brokerage commissions the Plan Agent is required to pay.


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Tax Implications
The automatic reinvestment of dividends will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends. Accordingly, any taxable dividend received by a participant that is reinvested in additional common shares will be subject to federal (and possibly state and local) income tax even though such participant will not receive a corresponding amount of cash with which to pay such taxes.
 
Contact Information
For more information about the plan you may contact the Plan Agent in writing at PO Box 43078, Providence, RI 02940-3078, by calling the Plan Agent at 1-800-662-7232 or at the Plan Agent’s website, www.computershare.com /investor.
 
Privacy Policy
 
In order to conduct its business, the Fund collects and maintains certain nonpublic personal information about its stockholders of record with respect to their transactions in shares of the Fund’s securities.
 
This information includes the stockholder’s address, tax identification or Social Security number, share balances, and dividend elections. We do not collect or maintain personal information about stockholders whose share balances of our securities are held in “street name” by a financial institution such as a bank or broker.
 
We do not disclose any nonpublic personal information about you, the Fund’s other stockholders or the Fund’s former stockholders to third parties unless necessary to process a transaction, service an account, or as otherwise permitted by law.
 
To protect your personal information internally, we restrict access to nonpublic personal information about the Fund’s stockholders to those employees who need to know that information to provide services to our stockholders. We also maintain certain other safeguards to protect your nonpublic personal information.


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Stockholder Proxy Voting Results
 
The annual meeting of stockholders was held on May 12, 2011. The matters considered at the meeting, together with the actual vote tabulations relating to such matters were as follows:
 
1.   To elect Brian R. Bruce as Trustee of the Fund to hold office for a term of three years and until his successor is duly elected and qualified.
 
         
    No. of Shares  
 
      Brian R. Bruce
       
Affirmative
    30,429,667  
Withheld
    353,331  
         
TOTAL
    30,782,998  
 
Edward N. McMillan and Jerry V. Swank continue as Trustees and their terms expire on the date of the 2012 annual meeting of stockholders, each to serve until his successor is duly elected and qualified. Ronald P. Trout continues as Trustee and his term expires on the date of the 2013 annual meeting of stockholders, to serve until his successor is duly elected and qualified.
 
2.   An amendment to the Fund’s Amended and Restated Agreement and Declaration of Trust that would restrict any person from purchasing or acquiring, without the prior approval of the Fund’s Board of Trustees, any direct or indirect interest in the Fund’s common shares, if such acquisition would either (a) cause a person to become a holder of more than 4.99% of the common shares of the Fund, or (b) increase the percentage of the Fund’s shares owned by any such holder.
 
         
    No. of Shares  
 
Affirmative
    25,101,115  
Against
    5,397,560  
Withheld
    284,323  
         
TOTAL
    30,782,998  
 
Based upon votes required for approval, these matters passed.


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The Cushing® MLP Total Return Fund
 
TRUSTEES
Brian R. Bruce
Ronald P. Trout
Edward N. McMillan
Jerry V. Swank
 
OFFICERS
Jerry V. Swank
Chief Executive Officer and President
 
Daniel L. Spears
Executive Vice President and Secretary
 
John H. Alban
Chief Financial Officer
 
Barry Y. Greenberg
Chief Compliance Officer
 
INVESTMENT ADVISER
Cushing® MLP Asset Management, LP
8117 Preston Road, Suite 440
Dallas, TX 75225
 
ADMINISTRATOR
U.S. Bancorp Fund Services, LLC
615 East Michigan Street, 3rd Floor
Milwaukee, WI 53202
 
CUSTODIAN
U.S. Bank, N.A.
1555 N. River Center Drive, Suite 302
Milwaukee, WI 53212
 
TRANSFER AGENT
Computershare Trust Company, N.A.
250 Royall Street
Canton, MA 02021
 
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher
& Flom LLP
Four Times Square
New York, NY 10036
 
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
JP Morgan Chase Tower
2200 Ross Avenue, Suite 1600
Dallas, TX 75201


Table of Contents

 
 
The Cushing® MLP Total Return Fund
 
     


(PICTURE)
  Investment Adviser
Cushing® MLP Asset Management, LP
8117 Preston Road
Suite 440
Dallas, TX 75225
(214) 692-6334
www.srvfund.com
www.swankcapital.com


Table of Contents

Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports.
Item 6. Investments.
(a)   Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
 
(b)   Not Applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable for semi-annual reports.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
                                 
                            (d)
                    (c)   Maximum Number (or
                    Total Number of   Approximate Dollar
                    Shares (or Units)   Value) of Shares
    (a)           Purchased as Part   (or Units) that May
    Total Number of   (b)   of Publicly   Yet Be Purchased
    Shares (or Units)   Average Price Paid   Announced Plans or   Under the Plans or
Period   Purchased   per Share (or Unit)   Programs   Programs
Month #1
12/01/2010-12/31/2010
    0       0       0       0  
Month #2
01/01/2011-01/31/2011
    0       0       0       0  
Month #3
02/01/2011-02/28/2011
    0       0       0       0  

 


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                            (d)
                    (c)   Maximum Number (or
                    Total Number of   Approximate Dollar
                    Shares (or Units)   Value) of Shares
    (a)           Purchased as Part   (or Units) that May
    Total Number of   (b)   of Publicly   Yet Be Purchased
    Shares (or Units)   Average Price Paid   Announced Plans or   Under the Plans or
Period   Purchased   per Share (or Unit)   Programs   Programs
Month #4
03/01/2011-03/31/2011
    0       0       0       0  
Month #5
04/01/2011-04/30/2011
    0       0       0       0  
Month #6
05/01/2011-05/31/2011
    0       0       0       0  
Total
    0       0       0       0  
 
*   Footnote the date each plan or program was announced, the dollar amount (or share or unit amount) approved, the expiration date (if any) of each plan or program, each plan or program that expired during the covered period, each plan or program registrant plans to terminate or let expire.
Item 10. Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11. Controls and Procedures.
(a)   The Registrant’s President/Chief Executive Officer and Chief Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
 
(b)   There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)   (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.
 
  (2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
 
  (3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
 
(b)   Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 


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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 & Chief Executive Officer
 
           
Date
  August 5, 2011 
     
     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 & Chief Executive Officer
 
       
Date
  August 5, 2011     
     
 
       
By (Signature and Title)   /s/ John H. Alban
 
       
 
      John H. Alban, Chief Financial Officer
 
       
Date
  August 5, 2011