Form N-Q KAYNE ANDERSON MIDSTREAM For: Feb 28

Schedule of Investments.

Description

Long-Term Investments — 143.7%

Equity Investments⁽¹⁾ — 140.6%

United States — 118.3%

Midstream Companies⁽²⁾ — 80.3%

Antero Midstream GP LP⁽³⁾⁽⁴⁾

Capital Product Partners L.P. — Class B Units^(4)(5)(6)(7)

EnLink Midstream, LLC ⁽⁸⁾

GasLog Partners LP⁽⁴⁾

Golar LNG Partners LP⁽⁴⁾

Höegh LNG Partners LP⁽⁴⁾

Kinder Morgan, Inc.⁽⁹⁾

KNOT Offshore Partners LP⁽⁴⁾

ONEOK, Inc.

Plains GP Holdings, L.P.^(4)(10)

Plains GP Holdings, L.P. — Plains AAP, L.P.^{(4)(5)(10)(11)}

SemGroup Corporation

Tallgrass Energy, LP⁽⁴⁾

Targa Resources Corp.

The Williams Companies, Inc.

Midstream MLPs^(2)(12) — 35.1%

Andeavor Logistics LP

BP Midstream Partners LP

Buckeye Partners, L.P.⁽¹⁰⁾

Cheniere Energy Partners, L.P.

CNX Midstream Partners LP

Crestwood Equity Partners LP

DCP Midstream, LP

Energy Transfer LP

Enterprise Products Partners L.P.

EQT Midstream Partners, LP

Global Partners LP

Magellan Midstream Partners, L.P.

MPLX LP

Phillips 66 Partners LP

Shell Midstream Partners, L.P.

Summit Midstream Partners, LP

Western Midstream Partners, LP⁽¹³⁾

Other Energy Companies — 2.9%

Marathon Petroleum Corporation

Phillips 66⁽⁹⁾

Sempra Energy

Viper Energy Partners LP

Total United States (Cost — $738,198)

Description

Canada — 22.3%

Midstream Companies⁽²⁾ — 21.4%

Enbridge Inc.

Pembina Pipeline Corporation

TransCanada Corporation

Other Energy Company — 0.9%

Jupiter Resources Inc.^(5)(6)(14)

Total Canada (Cost — $124,046)

Total Equity Investments (Cost — $862,244)

Debt Instruments — 3.1%

United States — 3.1%

Upstream —2.8%

California Resources Corporation^(5)(10)

Montage Resources Corporation⁽¹⁵⁾

Midstream Company⁽²⁾ — 0.3%

Epic Crude Services, LP⁽⁵⁾

Total Debt Investments (Cost — $20,127)

Total Long-Term Investments (Cost — $882,371)

Liabilities

Call Option Contracts Written⁽¹⁸⁾

United States

Midstream Company

Kinder Morgan, Inc.

Other Energy Company

Phillips 66

Total Call Option Contracts Written (Premiums Received — $51)

Debt

Mandatory Redeemable Preferred Stock at Liquidation Value

Other Assets in Excess of Other Liabilities

Net Assets Applicable to Common Stockholders

Unless otherwise noted, equity investments are common units/common shares.

Securities are categorized as “Midstream” if they (i) derive at least 50% of their revenues or operating income from operating Midstream Assets or (ii) have Midstream Assets that represent the majority of their assets.

On March 12, 2019, Antero Midstream GP LP (“AMGP”) and Antero Midstream Partners LP (“AM”) completed their previously announced merger whereby AMGP acquired all of the outstanding AM common units. In connection with the transaction, AMGP converted into a corporation and the combined entity was renamed Antero Midstream Corporation with its shares trading under the ticker symbol “AM”.

This company is structured like an MLP, but is not treated as a publicly-traded partnership for regulated investment company (“RIC”) qualification purposes.

The Fund’s ability to sell this security is subject to certain legal or contractual restrictions. As of February 28, 2019, the aggregate value of restricted securities held by the Fund was $68,906 (7.4% of total assets), which included $28,090 of Level 2 securities and $40,816 of Level 3 securities.

Fair valued security.

Class B Units are convertible on a one-for-one basis into common units of Capital Product Partners L.P. (“CPLP”) and are senior to the common units in terms of liquidation preference and priority of distributions (liquidation preference of $9.00 per unit). On March 27, 2019, CPLP and DSS Holdings L.P. (“DSS”) completed their previously announced combination whereby CPLP spun off its crude and product tanker business into a separate publicly listed company, which merged with DSS. In connection with this transaction, all of the Fund’s CPLP Class B Units were redeemed for cash at $9.00 per unit.

On January 25, 2019, EnLink Midstream, LLC (“ENLC”) and EnLink Midstream Partners, LP (“ENLK”) completed their previously announced merger whereby ENLC acquired all common units of ENLK that ENLC did not previously own.

Security or a portion thereof is segregated as collateral on option contracts written.

The Fund believes that it is an affiliate of Buckeye Partners, L.P. (“BPL”), Plains AAP, L.P. (“PAGP-AAP”) and Plains GP Holdings, L.P. (“PAGP”). The Fund does not believe that it is an affiliate of California Resources Corporation.

The Fund’s ownership of PAGP-AAP is exchangeable on a one-for-one basis into either PAGP shares or Plains All American Pipeline, L.P. (“PAA”) units at the Fund’s option. The Fund values its PAGP-AAP investment on an “as exchanged” basis based on the higher public market value of either PAGP or PAA. As of February 28, 2019, the Fund’s PAGP-AAP investment is valued at PAA’s closing price.

Unless otherwise noted, securities are treated as a publicly-traded partnership for RIC qualification purposes. To qualify as a RIC for tax purposes, the Fund may directly invest up to 25% of its total assets in equity and debt securities of entities treated as publicly-traded partnerships. The Fund had 24.1% of its total assets invested in publicly-traded partnerships at February 28, 2019. It is the Fund’s intention to be treated as a RIC for tax purposes.

On February 28, 2019, Western Gas Partners, LP (“WES”) and Western Gas Equity Partners, LP (“WGP”) completed their previously announced merger whereby WGP acquired all of the publicly - held common units of WES in a unit-for-unit exchange. Immediately following the merger, WGP changed its name to Western Midstream Partners, LP with its units trading under the ticker symbol “WES”.

On December 19, 2018, Jupiter Resources Inc. and its affiliates (“Jupiter”) completed a recapitalization transaction. As a result of the reorganization, the Fund received 1,261 common shares of Jupiter Resources Inc. and cash equal to the semi-annual interest payment that was scheduled to be paid on October 1, 2018. The common shares are not publicly traded and are subject to certain restrictions. As of October 2, 2018, the Fund stopped accruing interest relating to the debt security.

On February 28, 2019, Eclipse Resources Corporation (“Eclipse Resources”) and Blue Ridge Mountain Resources, Inc. (“Blue Ridge”) completed their previously announced merger. In conjunction with the merger, Eclipse Resources changed its name to Montage Resources Corporation.

Floating rate first lien senior secured term loan. Security pays interest at a rate of LIBOR + 500 basis points with a 1.00% LIBOR floor (7.78% as of February 28, 2019).

The notional amount of call option contracts written is the product of (a) the number of contracts written, (b) 100 (each contract entitles the option holder to 100 units/shares) and (c) the market price of the underlying security as of February 28, 2019.

Security is non-income producing.

Investment

Level 2 Investments

Equity Investments

Plains GP Holdings, L.P. — Plains AAP, L.P.⁽¹⁾

Senior Notes⁽⁴⁾

California Resources Corporation

Epic Crude Services, LP

Total

Level 3 Investments⁽⁷⁾

Equity Investments

Capital Product Partners L.P.

Class B Units

Jupiter Resources Inc.

Total

Total of all restricted investments

The Fund values its investment in Plains AAP, L.P. (“PAGP-AAP”) on an “as exchanged” basis based on the higher public market value of either Plains GP Holdings, L.P. (“PAGP”) or Plains All American, L.P. (“PAA”). As of February 28, 2019, the Fund’s PAGP-AAP investment is valued at PAA’s closing price.

Security was acquired at various dates in current and/or prior fiscal years.

The Fund’s investment in PAGP-AAP is exchangeable on a one-for-one basis into either PAGP shares or PAA units at the Fund’s option. Upon exchange, the PAGP shares or PAA units will be freely tradable.

These securities have a fair market value determined by the mean of the bid and ask prices provided by an agent or a syndicate bank, a principal market maker, an independent pricing service or an independent broker. These securities have limited trading volume and are not listed on a national exchange.

Unregistered or restricted security of a publicly-traded company.

Unregistered security of a private company.

Securities are valued using inputs reflecting the Fund’s own assumptions.

On December 28, 2018, as part of a recapitalization transaction, the Fund received shares from Jupiter Resources Inc.

Gross unrealized appreciation

Gross unrealized depreciation

Net unrealized appreciation

Level 1 — Valuations based on quoted unadjusted prices for identical instruments in active markets traded on a national exchange to which the Fund has access at the date of measurement.

Level 2 — Valuations based on quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.

Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

Assets at Fair Value

Equity investments

Debt investments

Total assets at fair value

Liabilities at Fair Value

Call option contracts written

The Fund’s investment in Plains AAP, L.P. (“PAGP-AAP”) is exchangeable on a one-for-one basis into either Plains GP Holdings, L.P. (“PAGP”) shares or Plains All American Pipeline, L.P. (“PAA”) units at the Fund’s option. The Fund values its PAGP-AAP investment on an “as exchanged” basis based on the higher public market value of either PAGP or PAA. As of February 28, 2019, the Fund’s PAGP-AAP investment is valued at PAA’s closing price. The Fund categorizes its investment as a Level 2 security for fair value reporting purposes.

Balance — November 30, 2018

Purchases

Issuances

Transfers in from Level 2

Transfers out to Level 1 and 2

Realized gains (losses)

Unrealized gains (losses), net

Balance — February 28, 2019

Derivatives Not Accounted for as
Hedging Instruments

Statement of Assets and Liabilities

Location

Fair Value as of

February 28, 2019

Call options written

Derivatives Not Accounted for as
Hedging Instruments

Location of Gains/(Losses) on
Derivatives Recognized in Income

Call options written

Category

Percent of

Long-Term

Investments

Securities of energy companies

Equity securities

Debt securities

Securities of MLPs⁽¹⁾

Largest single issuer

Restricted securities

Securities of MLPs consist of entities that are structured as limited partnerships and limited liability companies that are publicly traded and are treated as partnerships for federal income tax purposes, and their affiliates.

Controls and Procedures.

Exhibits.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.