ClearBridge Energy MLP Total Return Fund

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22693

ClearBridge Energy MLP Total Return Fund Inc.

(Exact name of registrant as specified in charter)

620 Eighth Avenue, 49th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-(888) 777-0102

Date of fiscal year end: November 30

Date of reporting period: February 29, 2016

 

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

CLEARBRIDGE ENERGY MLP TOTAL RETURN FUND INC.

FORM N-Q

FEBRUARY 29, 2016

CLEARBRIDGE ENERGY MLP TOTAL RETURN FUND INC.

 

Schedule of investments (unaudited)    February 29, 2016

 

SECURITY

    SHARES/UNITS      VALUE  
MASTER LIMITED PARTNERSHIPS - 133.2%      

Diversified Energy Infrastructure - 30.8%

      

Energy Transfer Equity LP

      2,398,900       $ 16,792,300   

Energy Transfer Partners LP

      873,774         23,303,553   

Enterprise Products Partners LP

      1,382,873         32,317,742   

Genesis Energy LP

      653,750         16,742,538   

ONEOK Partners LP

      599,555         17,620,921   

Plains GP Holdings LP, Class A Shares

      1,140,990         8,671,524   
     

 

 

  

Total Diversified Energy Infrastructure

         115,448,578   
     

 

 

  

Gathering/Processing - 24.7%

      

Antero Midstream Partners LP

      875,219         19,447,366   

DCP Midstream Partners LP

      850,628         16,510,689   

Enable Midstream Partners LP

      963,501         5,588,306   

EnLink Midstream Partners LP

      1,430,830         13,135,019   

Midcoast Energy Partners LP

      757,740         3,205,240   

NGL Energy Partners LP

      252,750         2,044,748   

Rice Midstream Partners LP

      1,072,509         14,210,744   

Summit Midstream Partners LP

      370,930         4,681,137   

Western Gas Partners LP

      351,010         13,763,102   
     

 

 

  

Total Gathering/Processing

         92,586,351   
     

 

 

  

General Partner - 0.6%

      

Crestwood Equity Partners LP

      245,483         2,226,531   
     

 

 

  

Global Infrastructure - 6.8%

      

Brookfield Infrastructure Partners LP

      678,440         25,543,266   
     

 

 

  

Liquids Transportation & Storage - 37.6%

      

Buckeye Partners LP

      432,250         27,819,610   

Delek Logistics Partners LP

      319,688         10,207,638   

Enbridge Energy Partners LP

      1,257,810         20,854,490   

Holly Energy Partners LP

      155,670         4,573,585   

Magellan Midstream Partners LP

      404,080         27,307,726   

PBF Logistics LP

      628,112         10,991,960   

Plains All American Pipeline LP

      1,106,096         23,692,576   

Sunoco Logistics Partners LP

      245,466         6,048,282   

World Point Terminals LP

      701,571         9,730,790   
     

 

 

  

Total Liquids Transportation & Storage

         141,226,657   
     

 

 

  

Natural Gas Transportation & Storage - 14.0%

      

Columbia Pipeline Partners LP

      1,402,522         24,810,614   

TC Pipelines LP

      234,335         10,374,010   

Williams Partners LP

      888,954         17,530,173   
     

 

 

  

Total Natural Gas Transportation & Storage

         52,714,797   
     

 

 

  

Oil/Refined Products - 10.5%

      

MPLX LP

      842,120         21,844,593   

Rose Rock Midstream LP

      547,573         5,470,254   

VTTI Energy Partners LP

      657,153         11,986,471   
     

 

 

  

Total Oil/Refined Products

         39,301,318   
     

 

 

  

Propane - 2.2%

      

AmeriGas Partners LP

      15,540         633,566   

Suburban Propane Partners LP

      281,767         7,562,626   
     

 

 

  

Total Propane

         8,196,192   
     

 

 

  

Refining - 0.9%

      

Western Refining Logistics LP

      158,500         3,456,885   
     

 

 

  

 

See Notes to Schedule of Investments.

 

1

CLEARBRIDGE ENERGY MLP TOTAL RETURN FUND INC.

 

Schedule of investments (unaudited) (cont’d)    February 29, 2016

 

SECURITY

    SHARES/UNITS      VALUE  

Shipping - 5.1%

      

Golar LNG Partners LP

      334,310       $ 4,880,926   

KNOT Offshore Partners LP

      522,011         8,273,875   

Teekay LNG Partners LP

      381,410         3,901,824   

Teekay Offshore Partners LP

      673,046         1,992,216   
     

 

 

  

Total Shipping

         19,048,841   
     

 

 

  

TOTAL MASTER LIMITED PARTNERSHIPS

(Cost - $677,044,639)

         499,749,416   
     

 

 

  
COMMON STOCKS - 5.8%      
ENERGY - 5.8%      

Oil, Gas & Consumable Fuels - 5.8%

      

Targa Resources Corp.

(Cost - $15,593,826)

      804,220         21,617,434   
     

 

 

  

TOTAL INVESTMENTS** - 139.0%

(Cost - $692,638,465#)

         521,366,850   

Mandatory Redeemable Preferred Stock, at Liquidation Value - (3.7)%

         (14,000,000 ) 

Liabilities in Excess of Other Assets - (35.3)%

         (132,223,137 ) 
     

 

 

  

TOTAL NET ASSETS - 100.0%

       $ 375,143,713   
     

 

 

  

 

** The entire portfolio is subject to lien, granted to the lender and Senior Note holders, to the extent of the borrowing outstanding and any additional expenses.

 

# Aggregate cost for federal income tax purposes is substantially the same.

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

2

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

ClearBridge Energy MLP Total Return Fund Inc. (the “Fund”) was incorporated in Maryland on April 10, 2012 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Board of Directors authorized 100 million shares of $0.001 par value common stock. The Fund’s investment objective is to provide a high level of total return, consisting of cash distributions and capital appreciation. The Fund seeks to achieve its objective by investing primarily in master limited partnerships (“MLPs”) in the energy sector. There can be no assurance that the Fund will achieve its investment objective.

Under normal market conditions, the Fund will invest at least 80% of its Managed Assets in MLPs in the energy sector (the “80% policy”). For purposes of the 80% policy, the Fund considers investments in MLPs to include investments that offer economic exposure to public and private MLPs in the form of equity securities of MLPs, securities of entities holding primarily general partner or managing member interests in MLPs, securities that are derivatives of interests in MLPs, including I-Shares, exchange-traded funds that primarily hold MLP interests and debt securities of MLPs. Energy entities are engaged in the business of exploring, developing, producing, gathering, transporting, processing, storing, refining, distributing, mining or marketing of natural gas, natural gas liquids (including propane), crude oil, refined petroleum products or coal. “Managed Assets” means net assets plus the amount of any borrowings and assets attributable to any preferred stock of the Fund that may be outstanding.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

 

3

Notes to Schedule of Investments (unaudited) (continued)

 

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – quoted prices in active markets for identical investments

 

  •  

Level 2 – other significant observable inputs (including quoted prices for similar investments, 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 methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-term investments†:

            

Master Limited Partnerships

    $ 499,749,416         —           —         $ 499,749,416   

Common Stocks

      21,617,434         —           —           21,617,434   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 521,366,850         —           —         $ 521,366,850   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

† See Schedule of Investments for additional detailed categorizations.

2. Investments

At February 29, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

    $ 33,089,820   

Gross unrealized depreciation

      (204,361,435 ) 
  

 

 

  

Net unrealized depreciation

    $ (171,271,615 ) 
  

 

 

  

 

4

 

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive officer and principal financial officer 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”)) 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 disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

  (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) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are 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.

ClearBridge Energy MLP Total Return Fund Inc.

 

By   /s/    JANE TRUST        
  Jane Trust
  Chief Executive Officer

Date:

  

April 21, 2016

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/    JANE TRUST        
  Jane Trust
  Chief Executive Officer

Date:

  

April 21, 2016

 

By   /s/    RICHARD F. SENNETT        
  Richard F. Sennett
  Principal Financial Officer

Date:

  

April 21, 2016