gug61666-nq.htm
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: 811-21652
 
Fiduciary/Claymore MLP Opportunity Fund
(Exact name of registrant as specified in charter)

227 West Monroe Street, Chicago, IL 60606
(Address of principal executive offices)(Zip code)
 
Amy J. Lee
2227 West Monroe Street, Chicago, IL 60606
(Name and address of agent for service)

Registrant’s telephone number, including area code:  (312) 827-0100

Date of fiscal year end: November 30                                                                           

Date of reporting period: December 1, 2014 – February 28, 2015

 
 
 
 

Item 1.  Schedule of Investments.
Attached hereto.
 
Fiduciary/Claymore MLP Opportunity Fund
 
 
  
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2015
 
 
Shares
    
Value
COMMON STOCKS† - 14.2%
        
Diversified Infrastructure - 14.2%
        
Kinder Morgan, Inc.1
2,884,327
  
$
118,286,250
 
–
    
–
Total Common Stocks
        
(Cost $63,674,248)
      
118,286,250
MASTER LIMITED PARTNERSHIPS† - 151.5%
        
Midstream Oil - 47.4%
        
Buckeye Partners, LP1
1,270,081
    
98,736,097
Magellan Midstream Partners, LP1
1,197,547
    
98,438,363
Plains All American Pipeline, LP1
1,536,892
    
76,675,542
Tesoro Logistics, LP1
608,530
    
34,941,793
Genesis Energy, LP1
671,775
    
30,901,650
Delek Logistics Partners, LP
397,285
    
16,598,567
Rose Rock Midstream, LP
180,830
    
8,386,895
VTTI Energy Partners, LP
301,365
    
7,793,299
JP Energy Partners, LP
533,345
    
7,749,503
USD Partners, LP
260,135
    
3,436,383
World Point Terminals, LP
168,065
    
3,357,939
Shell Midstream Partners, LP
62,080
    
2,424,845
Valero Energy Partners, LP
42,350
    
2,256,832
PBF Logistics, LP
77,085
    
1,883,957
Total Midstream Oil
      
393,581,665
Diversified Infrastructure - 40.0%
        
Energy Transfer Equity, LP1
2,842,830
    
181,571,552
Enterprise Products Partners, LP1
3,109,705
    
103,677,552
Enbridge Energy Partners, LP1
504,954
    
19,789,147
Enbridge Energy Management LLC*,1,2
366,437
    
13,660,788
Energy Transfer Partners, LP1
229,237
    
13,635,017
Total Diversified Infrastructure
      
332,334,056
Midstream Natural Gas - 25.6%
        
Williams Partners, LP1
2,221,439
    
113,604,413
Crestwood Midstream Partners, LP1
2,155,217
    
32,285,151
Crestwood Equity Partners, LP1
3,605,467
    
22,858,660
ONEOK Partners, LP1
503,000
    
21,020,370
Enable Midstream Partners, LP
773,365
    
13,920,570
Tallgrass Energy Partners, LP
189,460
    
9,058,083
Total Midstream Natural Gas
      
212,747,247
Gathering & Processing - 23.8%
        
DCP Midstream Partners, LP1
1,255,404
    
49,965,080
MarkWest Energy Partners, LP1
564,325
    
36,652,909
Western Gas Equity Partners, LP
562,810
    
35,198,137
Western Gas Partners, LP1
368,290
    
25,625,618
         
 
Shares
    
Value
MASTER LIMITED PARTNERSHIPS† - 151.5% (continued)
        
Gathering & Processing – 23.8% (continued)
        
EnLink Midstream Partners, LP
475,135
    
$12,762,126
Southcross Energy Partners, LP
768,160
    
9,732,587
Targa Resources Partners, LP1
217,530
    
9,532,164
Atlas Pipeline Partners, LP
306,062
    
8,150,431
Antero Midstream Partners, LP
293,295
    
7,625,670
CONE Midstream Partners, LP
133,095
    
2,910,788
Total Gathering & Processing
      
198,155,510
Natural Gas Pipelines & Storage - 5.0%
        
TC PipeLines, LP1
626,740
    
41,352,305
 
–
    
–
Marine Transportation - 4.2%
        
Teekay Offshore Partners, LP1
753,510
    
16,532,009
Navios Maritime Midstream Partners, LP
648,120
    
9,294,041
Golar LNG Partners, LP1
337,360
    
8,808,470
KNOT Offshore Partners, LP
29,035
    
651,836
Total Marine Transportation
      
35,286,356
Coal - 2.5%
        
Alliance Holdings GP, LP
217,425
    
11,425,684
Alliance Resource Partners, LP
221,680
    
8,767,444
Westmoreland Resource Partners, LP*,1
38,021
    
436,099
Total Coal
      
20,629,227
Upstream - 1.8%
        
EV Energy Partners, LP1
995,459
    
15,091,158
 
–
    
–
Other Energy Infrastructure - 1.2%
        
Exterran Partners, LP
423,095
    
9,908,885
 
–
    
–
Total Master Limited Partnerships
        
(Cost $627,054,243)
      
1,259,086,409
SHORT TERM INVESTMENTS† - 0.5%
        
Dreyfus Treasury Prime Cash Management Fund - Investor Shares
4,165,948
    
4,165,948
Total Short Term Investments
        
    (Cost $4,165,948)
      
4,165,948
         
 
Face
      
 
Amount
       Value
TERM LOAN†† - 0.0%**
        
Clearwater Subordinated Note NR
        
4.75% due 12/31/20*,3,4 5
$     413,329
    
 4,133
Total Term Loan
        
    (Cost $401,946)
      
4,133
Total Investments - 166.2%
        
    (Cost $695,296,385)
    
$
1,381,542,740
Other Assets & Liabilities, net - (66.2)%
      
(550,235,964)
Total Net Assets - 100.0%
    
$
831,306,776
 
*
  
Non-income producing security.
**
  
Less than 0.05%.
†
  
Value determined based on Level 1 inputs — See Note 2.
††
  
Value determined based on Level 3 inputs — See Note 2.
1
  
All or a portion of these securities have been physically segregated and pledged as collateral. As of February 28, 2015, the total amount segregated was $676,063,801, of which $676,063,801 is related to the outstanding line of credit.
2
  
While non-income producing, security makes regular in-kind distributions.
3
  
Security was fair valued by the Valuation Committee at February 28, 2015.  The total market value of fair valued securities amounts to $4,133, (cost $401,946) or less than 0.05% of total net assets.
4
  
Company has filed for protection in federal bankruptcy court.
5
  
Security is restricted and may be resold only in transactions exempt from registration, normally to qualified institutional buyers. As February 28, 2015, restricted securities aggregate market value amount to $4,133 or less than 0.05% of net assets.
 
 
 
 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)                                                        

For information on the Fiduciary/Claymore MLP Opportunity Fund’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

1.  Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities or other assets.

Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of U.S. business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the mean of the most recent bid and asked prices on such day.

Investments for which market quotations are not readily available are fair valued as determined in good faith by Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”), subject to review by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).

Investment professionals from Advisory Research, Inc. (“ARI” or the “Sub- Adviser”) prepare preliminary valuations based on their evaluation of financial data, company specific developments, market valuations of comparable companies, market information and other factors. These preliminary valuations are reviewed by the Valuation Committee with subsequent deliberations until an appropriate price is determined for the Level 3 security.

2.  Fair Value Measurement
In accordance with GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. GAAP
 
 
 
 
 
establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3— significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

The following tables summarize the inputs used to value the Fund’s investments at February 28, 2015:

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets
                        
Master Limited Partnerships
   $ 1,259,086,409     $ -     $ -     $ 1,259,086,409  
Common Stock
     118,286,250       -       -       118,286,250  
Money Market
     4,165,948       -       -       4,165,948  
Term Loan
     -       -       4,133       4,133  
Total
   $ 1,381,538,607     $ -     $ 4,133     $ 1,381,542,740  

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board. In any event, values are determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category
Ending Balance
at  2/28/15
Valuation Technique
Unobservable Inputs
Term Loans
$4,133
Cash flow model
Royalties on coal produced

Significant changes in royalties on coal produced would generally result in significant changes in the fair value of the security.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current period.

There were no transfers between levels for the Fund for the period ended February 28, 2015.
 
 
 
 

Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended February 28, 2015:

Level 3 – Fair value measurement using significant unobservable inputs
  
Fiduciary/Claymore MLP Opportunity Fund
      
Term Loans:
      
Beginning Balance
   $ 4,133  
Total change in unrealized gains or losses included in earnings
     -  
Ending Balance
   $ 4,133  

3. Federal Income Taxes
At February 28, 2015, cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
Cost of
Investments for
Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax  
Unrealized
Depreciation
Net Tax Unrealized
Appreciation
$650,847,761
$785,628,225
($54,933,246)
 $730,694,979

 
 
 
 
Item 2. Controls and Procedures.

(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3.  Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), is 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) Fiduciary/Claymore MLP Opportunity Fund
 
 
By:       /s/ Donald C. Cacciapaglia                  

Name: Donald C. Cacciapaglia

Title:   Chief Executive Officer

Date:   April 29, 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:      /s/ Donald C. Cacciapaglia                     

Name: Donald C. Cacciapaglia

Title:   Chief Executive Officer

Date:   April 29, 2015

By:       /s/ John L. Sullivan                                 
 
Name: John L. Sullivan

Title:   Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:   April 29, 2015