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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: 811-22499

The Cushing Renaissance Fund
(Exact name of registrant as specified in charter)

8117 Preston Road, Suite 440, Dallas, TX 75225
(Address of principal executive offices) (Zip code)

(Name and address of agent for service)

Registrant's telephone number, including area code

Date of fiscal year end: November 30

Date of reporting period:  February 29, 2016

 

Item 1. Schedule of Investments.

 

The Cushing® Renaissance Fund
SCHEDULE OF INVESTMENTS (Unaudited)

 

		February 29, 2016
						Fair
Common Stock - 59.7%		Shares				Value
Chemicals - 16.3%
Netherlands - 5.6%
LyondellBasell Industries NV			65,000			$	5,213,650
United States - 10.7%
Albemarle Corporation			25,000				1,405,500
Huntsman Corporation			150,000				1,629,000
Sealed Air Corporation			60,000				2,743,800
The Dow Chemical Company(1)			40,000				1,944,400
Westlake Chemical Corporation(1)			50,000				2,156,000
							15,092,350
Exploration & Production - 16.7%
France - 5.7%
Total SA			117,000				5,231,070
Norway - 5.1%
Statoil ASA			325,000				4,732,000
United States - 5.9%
Cimarex Energy Company			15,000				1,260,450
Hess Corporation			40,000				1,744,000
Questar Corporation			100,000				2,477,000
							15,444,520
Refiners - 10.6%
United States - 10.6%
HollyFrontier Corporation			37,500				1,268,250
PBF Energy, Inc.			105,000				3,171,000
Phillips 66(1)			67,000				5,319,130
							9,758,380
Utilities - 16.1%
United States - 16.1%
Calpine Corporation(2)			115,000				1,444,400
Centerpoint Energy, Inc.(1)			160,000				2,980,800
Dominion Resources, Inc.(1)			40,000				2,796,800
Duke Energy Corporation			25,000				1,857,000
Exelon Corporation			100,000				3,149,000
Sempra Energy(1)			27,500				2,654,025
							14,882,025
Total Common Stocks (Cost $51,725,188)						$	55,177,275
Master Limited Partnerships and Related Companies - 16.2%
Engineering & Construction - 4.3%
United States - 4.3%
Cheniere Energy Partners, L.P.(1)			150,000			$	3,970,500
General Partners - 2.8%
United States - 2.8%
Energy Transfer Equity, L.P.			375,000				2,625,000

Midstream - 3.9%
United States - 3.9%
Delek Logistics Partners, L.P.(1)			112,000				3,576,160
Refiners - 3.3%
United States - 3.3%
Calumet Specialty Products Partners, L.P.(1)			170,000				1,650,700
MPLX, L.P.			55,000				1,426,700
							3,077,400
Transportation - 1.9%
Republic of the Marshall Islands - 1.9%
Capital Product Partners, L.P.			511,969				1,715,096
Total Master Limited Partnerships and Related Companies (Cost $16,801,420)						$	14,964,156
Fixed Income - 24.7%
Engineering & Construction - 7.3%
United States - 7.3%
Sabine Pass Liquefaction, LLC, 5.625%, due 02/01/2021			1,000,000			$	959,375
Sabine Pass Liquefaction, LLC, 5.750%, due 05/15/2024			1,000,000				925,620
Zachry Holdings, Inc., 7.500%, due 02/01/2020(3)			5,000,000				4,800,000
							6,684,995
Exploration & Production - 6.4%
Canada - 1.4%
MEG Energy Corporation, 6.375%, due 01/30/2023(3)			2,725,000				1,301,187
United States - 5.0%
Bill Barrett Corporation, 7.000%, due 10/15/2022			2,750,000				1,086,250
Comstock Resources, Inc., 7.750%, due 04/01/2019			5,000,000				525,000
Denbury Resources, Inc., 4.625%, due 07/15/2023			4,000,000				1,180,000
Sanchez Energy Corporation, 6.125%, due 01/15/2023			5,000,000				1,800,000
							5,892,437
Industrials - 6.3%
United States - 6.3%
H & E Equipment Services, Inc., 7.000%, due 09/01/2022			2,000,000				1,915,000
United Rentals North American, Inc., 5.750%, due 11/15/2024			4,000,000				3,919,200
							5,834,200
Oil Services - 0.6%
United States - 0.6%
Key Energy Services, 6.750%, due 03/01/2021			4,000,000				540,000
Refiners - 4.1%
United States - 4.1%
Western Refining Inc., 6.250%, due 04/01/2021			4,750,000				3,823,750
Total Fixed Income (Cost $41,341,471)						$	22,775,382
Short-Term Investments - Investment Companies - 10.7%
United States - 10.7%
AIM Short-Term Treasury Portfolio Fund - Institutional Class, 0.02%(4)			1,970,786			$	1,970,786
Fidelity Government Portfolio Fund, 0.01%(4)			1,970,786				1,970,786
Fidelity Money Market Portfolio, 0.12%(4)			1,970,786				1,970,786

First American Prime Obligations Fund - Class Z, 0.07%(4)			1,970,785				1,970,785
Invesco STIC Prime Portfolio, 0.08%(4)			1,970,786				1,970,786
Total Short-Term Investments - Investment Companies (Cost $9,853,929)						$	9,853,929
Total Investments - 111.3% (Cost $125,993,162)						$	102,770,742
Liabilities in Excess of Other Assets - (1713%)							(10,399,499	)
Net Assets Applicable to Common Stockholders - 100.0%						$	92,371,243

Tax Basis

The cost basis of investments for federal income tax purposes at February 29, 2016 was as follows*:

 

Cost of investments		$	120,254,987
Gross unrealized appreciation			8,690,174
Gross unrealized depreciation			(26,174,418	)
Net unrealized depreciation		$	(17,484,244	)

* The above table only reflects tax adjustments through November 30, 2015.  For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Cushing Renaissance Fund's (the “Fund”) most recent semi-annual or annual report.

 

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.

 

 

(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 February 29, 2016.

Transfers into and out of each level are measured at fair value at the end of the fiscal period.  There were no transfers between any levels during the period ended February 29, 2016.

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 fair 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 fair 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 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.

The Fund has adopted the disclosure provisions of FASB Accounting Standard Codification 815, Derivatives and Hedging (“ASC 815”).  ASC 815 requires enhanced disclosures about the Fund’s use of and accounting for derivative instruments and the effect of derivative instruments on the Fund’s results of operations and financial position.  Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting.  Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.

There were no transactions in purchased options during the period ended February 29, 2016.

Transactions in written options contracts for the period ended February 29, 2016, are as follows:

The average monthly fair value of written options during the period ended February 29, 2016 was $5,167.

 

Item 2. Controls and Procedures.

 

(a)

The Fund’s President and Treasurer have concluded that the Fund's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these 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 Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)

There were no changes in the Fund'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 Fund's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Fund's internal control over financial reporting.

 

Item 3. Exhibits.

 

Separate certifications for each principal executive officer and principal financial officer of the Fund as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed herewith.

 

 

 

SIGNATURES

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

By (Signature and Title)  /s/ Jerry V. Swank

  Jerry V. Swank, President & Chief Executive Officer

Date  April 28, 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 Fund 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  April 28, 2016

 

By (Signature and Title)  /s/ John H. Alban

John H. Alban, Treasurer & Chief Financial Officer

Date  April 28, 2016

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