Fiduciary / Claymore MLP Opportunity 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 811-21652

Fiduciary/Claymore MLP Opportunity Fund

(Exact name of registrant as specified in charter)

 

2455 Corporate West Drive, Lisle, IL    60532
(Address of principal executive offices)    (Zip code)

Nicholas Dalmaso

Fiduciary/Claymore MLP Opportunity Fund

2455 Corporate West Drive, Lisle, IL 60532

(Name and address of agent for service)

Registrant’s telephone number, including area code: (630) 505-3700

Date of fiscal year end: November 30

Date of reporting period: August 31, 2006

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.

Attached hereto.

Fiduciary/Claymore MLP Opportunity Fund

Portfolio of Investments

August 31, 2006 (Unaudited)

 

Number of Shares         Value  
   Master Limited Partnerships and MLP Affiliates - 147.3%   
   Coal - 10.4%   
317,000    Alliance Holdings G.P., L.P.    $ 6,875,730  
715,600    Alliance Resource Partners, L.P.      26,255,364  
113,200    Natural Resource Partners, L.P.      6,588,240  
           
        39,719,334  
           
   Midstream Energy Infrastructure - 126.6%   
129,300    Atlas Pipeline Partners, L.P.      5,624,550  
129,400    Boardwalk Pipeline Partners, L.P.      3,743,542  
892,857    Clearwater Natural Resources, L.P. (Acquired 08/01/05, Cost $17,857,143) (a)(b)      17,857,143  
846,402    Copano Energy, L.L.C.      43,995,976  
752,167    Crosstex Energy, L.P.      27,439,052  
249,470    Crosstex Energy, L.P., Senior Subordinated Series C Units   
   (Acquired 06/29/06, Cost $7,000,128) (a) (b)      6,988,446  
548,775    DCP Midstream Partners, L.P.      15,458,992  
15,155    Enbridge Energy Management, L.L.C. (c)      711,527  
507,545    Enbridge Energy Partners, L.P.      24,605,782  
1,620,580    Energy Transfer Partners, L.P.      77,253,049  
1,203,480    Enterprise Products Partners L.P.      32,217,160  
5,200    Genesis Energy, L.P.      89,596  
255,700    Hiland Partners, L.P.      11,634,350  
659,450    Holly Energy Partners, L.P.      25,388,825  
617,950    Kinder Morgan Energy Partners, L.P.      27,665,621  
556,214    Kinder Morgan Management, L.L.C. (c)      23,477,793  
1,661,086    Magellan Midstream Partners, L.P.      61,211,019  
299,347    Markwest Energy Partners, L.P.      14,335,728  
559,600    Pacific Energy Partners, L.P.      19,552,424  
581,387    Plains All American Pipeline, L.P.      26,743,802  
147,400    Regency Energy Partners, L.P.      3,506,646  
426,400    Williams Partners, L.P.      15,277,912  
           
        484,778,935  
           
   Propane - 7.5%   
524,100    Inergy Holdings, L.P.      18,317,295  
385,400    Inergy, L.P.      10,594,646  
           
        28,911,941  
           
   Shipping - 2.8%   
39,100    K-Sea Transportation Partners, L.P.      1,290,300  
18,900    Martin Midstream Partners, L.P.      630,693  
36,000    Teekay LNG Partners, L.P. (Marshall Island)      1,090,800  
151,500    U.S. Shipping Partners, L.P.      2,817,900  
88,823    U.S. Shipping Partners, L.P. (Acquired 08/07/06, Cost $1,629,014) (a)(b)      1,494,086  
211,508    U.S. Shipping Partners, L.P. - Class B (Acquired 08/07/06 , Cost $3,621,017) (a)(b)      3,329,480  
           
        10,653,259  
           
   Total Master Limited Partnerships and MLP Affiliates   
   (Cost $445,007,735)      564,063,469  
           
   Incentive Distribution Rights - 0.0%   
43    Clearwater Natural Resources, L.P. (Acquired 08/01/05, Cost $0) (a)(b)(d)      —    
           
Principal Value         Value  
   Short Term Investments - 4.7%   
   U.S. Government and Agency Securities - 4.7%   
18,000,000    Federal Home Loan Bank Discount Note, yielding 4.90%, 09/01/06      18,000,000  
           
   (Amortized cost $18,000,000)   
   Total Investments - 152.0%   
   (Cost $463,007,735)      582,063,469  
   Borrowings Outstanding - (39.2% of Net Assets or 25.8% of Total Investments)      (150,000,000 )
   Liabilities in Excess of Other Assets - (12.8%)      (49,210,425 )
           
   Net Assets - 100.0%    $ 382,853,044  
           

L.L.C. Limited Liability Corporation

L.P. Limited Partnership

MLP Master Limited Partnership

 

(a) Security is restricted and may be resold only in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2006, restricted securities aggregate market value amounted to $29,669,155 or 7.7% of net assets.

 

(b) Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $29,669,155 which represents 7.7% of net assets.

 

(c) While non-income producing, security makes regular in-kind distributions.

 

(d) Non-income producing security.

See previously submitted notes to financial statements for the period ended May 31, 2006.

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) 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 in 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 controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that may have 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 of 1940, as amended (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.

 

Fiduciary/Claymore MLP Opportunity Fund

By:

   /s/ Nicholas Dalmaso
  Nicholas Dalmaso
 

Chief Legal and Executive Officer

Date:

   October 25, 2006

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/ Nicholas Dalmaso
 

Nicholas Dalmaso

 

Chief Legal and Executive Officer

Date:

   October 25, 2006

By:

   /s/ Steven M. Hill
 

Steven M. Hill

 

Treasurer and Chief Financial Officer

Date:

   October 25, 2006