N-Q 1 d43773dnq.htm NUVEEN ENERGY MLP TOTAL RETURN FUND Nuveen Energy MLP Total Return Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22482

Nuveen Energy MLP Total Return Fund

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary

    333 West Wacker Drive, Chicago, Illinois 60606    

(Name and address of agent for service)

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

Date of fiscal year end:  November 30

Date of reporting period:  August 31, 2015

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

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

 

 

 

 

 


Item 1. Schedule of Investments

 

 


JMF

 

Nuveen Energy MLP Total Return Fund

  

Portfolio of Investments

   August 31, 2015 (Unaudited)

 

Shares/Units     Description (1)             Value  
 

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

     
 

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

   
      Energy Equipment & Services – 1.6% (1.0% of Total Investments)              
  489,336     

Exterran Partners LP

          $      10,638,165   
      Oil, Gas & Consumable Fuels – 138.5% (90.1% of Total Investments)              
  341,545     

Alliance Holdings GP LP

        12,230,726   
  934,885     

Buckeye Partners LP

        65,834,602   
  2,352,805     

Crestwood Equity Partners LP

        6,823,135   
  1,645,852     

Crestwood Midstream Partners LP

        12,854,104   
  1,496,469     

DCP Midstream Partners LP

        42,200,426   
  491,590     

Delek Logistics Partners LP

        19,575,114   
  810,175     

Enable Midstream Partners LP

        12,573,916   
  407,145     

Enbridge Energy Management LLC, (2)

        11,461,132   
  209,800     

Enbridge Energy Partners LP

        5,933,144   
  2,875,898     

Energy Transfer Equity LP

        80,668,938   
  750,000     

Energy Transfer Partners LP

        36,855,000   
  576,005     

EnLink Midstream Partners LP

        10,154,968   
  3,096,844     

Enterprise Products Partnership LP, (3)

        87,052,285   
  261,010     

EQT Midstream Partners LP

        20,306,578   
  1,011,215     

EV Energy Partners LP

        9,040,262   
  7,500     

GasLog Partners LP, (4)

        144,150   
  741,252     

Genesis Energy LP

        32,363,062   
  349,180     

Golar LNG Partners LP, (4)

        6,903,289   
  293,075     

JP Energy Partners LP

        2,625,952   
  557,000     

KNOT Offshore Partners LP, (4)

        10,193,100   
  976,961     

Magellan Midstream Partners LP

        68,944,138   
  801,895     

Markwest Energy Partners LP

        45,202,821   
  7,260     

Martin Midstream Partners LP

        194,495   
  659,895     

Navios Maritime Midstream Partners LP, (4)

        9,053,759   
  303,500     

NGL Energy Partners LP

        7,314,350   
  73,465     

PBF Logistics LP

        1,524,399   
  1,638,298     

Plains All American Pipeline LP

        59,077,026   
  131,850     

Rose Rock Midstream LP

        4,096,580   
  918,310     

Southcross Energy Partners LP

        6,887,325   
  20,000     

Sprague Resources LP

        485,600   
  759,622     

Summit Midstream Partners LP

        16,742,069   
  162,550     

Tallgrass Energy Partners LP

        7,685,364   
  613,904     

Targa Resources Partners LP

        18,533,762   
  511,955     

TC Pipelines LP

        27,635,331   
  1,172,092     

Teekay Offshore Partners LP, (4)

        20,746,028   
  16,000     

Teekay LNG Partners LP

        425,440   
  389,077     

Tesoro Logistics LP

        20,547,156   
  149,600     

Transmontaigne Partners LP

        4,903,888   
  484,055     

USD Partners LP

        5,426,257   
  448,690     

Western Gas Equity Partners LP

        23,825,439   
  357,575     

Western Gas Partners LP

        21,036,137   
  71,462     

Westmoreland Resource Partners LP

        543,111   
  1,026,155     

Williams Partners LP

        40,892,277   
  327,922     

World Point Terminals LP

            4,626,979   
 

Total Oil, Gas & Consumable Fuels

            902,143,614   
 

Total Master Limited Partnerships & MLP Affiliates (cost $782,930,682)

            912,781,779   

 

Nuveen Investments     1   


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

 

Shares     Description (1)                 Value  
 

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

     
      Oil, Gas & Consumable Fuels – 13.5% (8.8% of Total Investments)                  
  2,717,959     

Kinder Morgan, Inc., (4)

                  $ 88,089,051   
 

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

                    88,089,051   
 

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

                    1,000,870,830   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Value  
 

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

     
      REPURCHASE AGREEMENTS – 0.1% (0.1% of Total Investments)                  
$ 746     

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

    0.000%        9/01/15      $ 746,313   
 

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

                    746,313   
 

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

                    1,001,617,143   
 

Borrowings – (37.4)% (5), (6)

                    (244,000,000
 

Deferred Tax Liability, net – (15.2)%

                    (99,061,969
 

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

                    (6,901,909
 

Net Assets – 100%

                  $ 651,653,265   

Investments in Derivatives as of August 31, 2015

Interest Rate Swaps outstanding:

 

Counterparty    Notional
Amount
     Fund
Pay/
Receive
Floating
Rate
     Floating Rate Index      Fixed Rate
(Annualized)
     Fixed Rate
Payment
Frequency
     Effective
Date (8)
     Termination
Date
     Unrealized
Appreciation
(Depreciation)
 

JPMorgan

   $ 96,375,000         Receive         1-Month USD-LIBOR-ICE         1.735      Monthly         12/01/15         12/01/20       $ (2,237,376

JPMorgan

     96,375,000         Receive         1-Month USD-LIBOR-ICE         2.188         Monthly         12/01/15         12/01/22         (3,614,967
     $ 192,750,000                                                             $ (5,852,343

Fair Value Measurements

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

 

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

 

  2      Nuveen Investments


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

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

           

Master Limited Partnerships & MLP Affiliates

   $ 912,781,779       $       $       $ 912,781,779   

Common Stocks

     88,089,051                         88,089,051   

Short-Term Investments:

           

Repurchase Agreements

             746,313                 746,313   

Investments in Derivatives:

           

Interest Rate Swaps*

             (5,852,343              (5,852,343

Total

   $ 1,000,870,830       $ (5,106,030    $       $ 995,764,800   
* Represents net unrealized appreciation (depreciation).

Income Tax Information

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

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

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

 

Gross unrealized:

          

Appreciation

     $ 278,065,387   

Depreciation

       (146,510,214

Net unrealized appreciation (depreciation) of investments

     $ 131,555,173   

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

 

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

 

(2) Distributions are paid in-kind.

 

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

 

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

 

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

 

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

 

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

 

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

 

USD-LIBOR-ICE United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange

 

Nuveen Investments     3   


Item 2. Controls and Procedures.

 

  a. The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  b. There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 

 


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)      Nuveen Energy MLP Total Return Fund   
By (Signature and Title)     

/s/ Kevin J. McCarthy

  
     Kevin J. McCarthy   
     Vice President and Secretary   

Date: October 30, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)     

/s/ Gifford R. Zimmerman

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

Date: October 30, 2015

 

By (Signature and Title)     

/s/ Stephen D. Foy

  
     Stephen D. Foy   
     Vice President and Controller (principal financial officer)   

Date: October 30, 2015