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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 811-21593
KAYNE ANDERSON MLP INVESTMENT COMPANY
(Exact name of registrant as specified in charter)
     
1800 Avenue of the Stars, Second Floor, Los Angeles, California   90067
 
(Address of principal executive offices)   (Zip code)
David Shladovsky, Esq.
KA Fund Advisors, LLC, 1800 Avenue of the Stars, Second Floor, Los Angeles, California 90067
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (310) 556-2721
Date of fiscal year end: November 30, 2007
Date of reporting period: February 28, 2007
 
 

 

TABLE OF CONTENTS

Item 1: Schedule of Investments
Item 2: Controls and Procedures
Item 3: Exhibits
SIGNATURES
EXHIBIT 99

Table of Contents

Item 1: Schedule of Investments
KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS
FEBRUARY 28, 2007
(amounts in 000’s)
(UNAUDITED)
                 
    No. of        
Description   Shares/Units     Value  
Long-Term Investments - 163.0%
                
Equity Investments(a) - 163.0%
                
Pipeline MLP(b) - 134.7%
                
Atlas Pipeline Partners, L.P.
     401     $ 19,273  
Boardwalk Pipeline Partners, LP
     522       19,146  
Buckeye Partners, L.P.
     157       7,702  
Copano Energy, L.L.C.
     1,959       129,474  
Crosstex Energy, L.P.
     2,586       97,174  
Crosstex Energy, L.P. — Senior Subordinated Units, Unregistered (c)(d)
     356       11,911  
DCP Midstream Partners, LP
     138       5,103  
Duncan Energy Partners L.P.(d)
     124       2,981  
Eagle Rock Energy Partners, L.P.
     10       195  
Enbridge Energy Management, L.L.C.(e)
     399       20,363  
Enbridge Energy Partners, L.P.
     1,608       84,924  
Energy Transfer Partners, L.P.
     4,262       235,116  
Enterprise Products Partners L.P.
     5,359       163,511  
Global Partners LP
     385       11,142  
Hiland Partners, LP
     156       8,483  
Holly Energy Partners, L.P.
     226       10,437  
Kinder Morgan Management, LLC(e)
     2,907       145,377  
Magellan Midstream Partners, L.P.
     3,920       165,026  
MarkWest Energy Partners, L.P.
     908       58,915  
Martin Midstream Partners L.P.
     202       7,328  
ONEOK Partners, L.P.
     833       53,951  
Plains All American Pipeline, L.P.
     2,547       141,344  
Plains All American Pipeline, L.P.(c)
     565       31,062  
Regency Energy Partners LP
     663       18,244  
Regency Energy Partners LP — Unregistered(c)
    905       23,680  
Sunoco Logistics Partners L.P.
     72       4,039  
Targa Resources Partners LP(d)
     380       9,158  
TC PipeLines, LP
     228       8,269  
TC PipeLines, LP — Unregistered(c)
     868       29,935  
TEPPCO Partners, L.P.
     473       20,233  
TransMontaigne Partners L.P.
     71       2,300  
Valero L.P.
     481       30,296  
Williams Partners L.P.
     224       9,694  
Williams Partners L.P. — Class B, Unregistered(c)
     183       7,556  
Williams Partners L.P. — Unregistered(c)
     64       2,720  
 
              
 
             1,596,062  
 
              
 
                
Propane MLP - 9.1%
                
Ferrellgas Partners, L.P.
     877       20,149  
Inergy, L.P.
     2,839       88,106  
 
              
 
             108,255  
 
              
 
                
Shipping MLP - 2.0%
                
K-Sea Transportation Partners L.P.
     140       5,518  
Teekay LNG Partners L.P.
     355       13,064  
Teekay Offshore Partners L.P.
     173       5,152  
 
              
 
             23,734  
 
              

 

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KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS — (CONTINUED)
FEBRUARY 28, 2007
(amounts in 000’s, except number of option contracts written)
(UNAUDITED)
                                 
                    No. of    
Description                   Shares/Units   Value
Coal MLP - 6.0%
                                
Clearwater Natural Resources, LP — Unregistered(c)(f)
                     3,889     $ 58,334  
Natural Resource Partners L.P. — Subordinated Units
                     103       6,511  
Penn Virginia Resource Partners, L.P.
                     230       6,227  
 
                                
 
                             71,072  
 
                                
 
                                
Upstream MLP(b) - 1.6%
                                
Atlas Energy Resources, LLC
                     209       5,089  
BreitBurn Energy Partners L.P.
                     97       2,677  
Constellation Energy Partners LLC
                     215       6,114  
Legacy Reserves LP(d)
                     193       4,671  
 
                                
 
                             18,551  
 
                                
 
                                
MLP Affiliates - 6.8%
                                
Atlas Pipeline Holdings, L.P.
                     73       1,868  
Buckeye GP Holdings L.P.
                     290       5,614  
Crosstex Energy, Inc.
                     209       6,784  
Energy Transfer Equity, L.P.
                     237       7,970  
Energy Transfer Equity, L.P. — Unregistered(c)
                     365       12,057  
Hiland Holdings GP, LP
                     161       4,576  
Kinder Morgan, Inc.
                     187       19,724  
Magellan Midstream Holdings, L.P.
                     259       6,325  
MarkWest Hydrocarbon, Inc.
                     249       15,607  
 
                                
 
                             80,525  
 
                                
 
                                
Other MLP - 2.8%
                                
Calumet Specialty Products Partners, L.P.
                     559       22,986  
Universal Compression Partners, L.P.
                     356       10,584  
 
                                
 
                             33,570  
 
                                
 
                                
Total Long-Term Investments (Cost — $1,283,574)
                             1,931,769  
 
                                
 
     Interest   Maturity        
 
     Rate   Date        
Short-Term Investment - 0.1%
                                
Repurchase Agreement - 0.1%
                                
Bear, Stearns & Co. Inc. (Agreement dated 2/28/07 to be repurchased at $1,018), collateralized by $1,049 in U.S. Treasury Bond Strips
(Cost $1,018)
         5.270 %     3/01/07       1,018  
 
                                
Total Investments - 163.1% (Cost — $1,284,592)
                             1,932,787  
 
                                
                 
    No. of        
    Contracts        
Liabilities
                
Option Contracts Written(g)
                
MLP Affiliate
                
Kinder Morgan Inc., call option expiring 3/17/07 @ $105.00
                
(Premiums received $115)
     1,000       (125 )
 
Auction Rate Senior Notes
             (320,000 )
Deferred Taxes
             (238,513 )
Revolving Credit Line
             (107,000 )
Other Liabilities
             (20,982 )
Unrealized Depreciation on Interest Rate Swap Contracts
             (317 )
 
              
Total Liabilities
             (686,937 )
 
              
Unrealized Appreciation on Interest Rate Swap Contracts
             2,993  
Income Tax Receivable
             2,448  
Other Assets
             8,733  
 
              
Total Liabilities in Excess of Other Assets
             (672,763 )
 
Preferred Stock at Redemption Value
             (75,000 )
 
              
Net Assets Applicable to Common Stockholders
           $ 1,185,024  
 
              

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KAYNE ANDERSON MLP INVESTMENT COMPANY
SCHEDULE OF INVESTMENTS — (CONCLUDED)
FEBRUARY 28, 2007
(amounts in 000’s)
(UNAUDITED)
 
(a)   Unless otherwise noted, equity investments are common units/common shares.
 
(b)   Includes Limited Liability Companies.
 
(c)   Fair valued securities, restricted from public sale.
 
(d)   Security is currently not paying cash distributions but is expected to pay cash distributions or convert to securities which pay cash distributions within the next 12 months.
 
(e)   Distributions are paid in-kind.
 
(f)   Clearwater Natural Resources, LP is a privately-held MLP that the Company believes is a controlled affiliate of the Company.
 
(g)   Security is non-income producing.
 
From time to time certain of the Company’s investments are restricted as to resale. Such restricted investments are valued in accordance with procedures established by the board of directors. The table below shows the number of shares/units held, the acquisition date, purchase price, aggregate cost, fair value as of February 28, 2007, value per share/unit of such security, percent of net assets applicable to common stockholders and percent of total assets which the security comprises:
                                                                         
                                                            Percent     Percent  
            Number of     Acquisition     Purchase             Fair     Value Per     of Net     of Total  
Investment   Security     Units     Date     Price     Cost     Value     Unit     Assets (1)     Assets  
Clearwater Natural Resources, L.P.
   Common Units (2)     3,889       (3)     $ 77,855     $ 72,978     $ 58,334     $ 15.00       4.9 %     3.0 %
Crosstex Energy, L.P.
   Senior Subordinated                                                                
 
   Units (2)     356       6/29/06       10,022       10,022       11,911       33.42       1.0       0.6  
Energy Transfer Equity, L.P.
   Common Units (2)     365       11/27/06       10,007       9,895       12,057       33.05       1.0       0.6  
Plains All America Pipeline, L.P.
   Common Units     565       12/19/06       27,500       27,093       31,062       54.97       2.6       1.6  
Regency Energy Partners LP
   Common Units (2)     905       9/21/06       19,012       19,012       23,680       26.17       2.0       1.2  
TC PipeLines, LP
   Common Units (2)     868       2/22/07       30,000       30,000       29,935       34.50       2.5       1.5  
Williams Partners L.P.
   Common Units (2)     64       12/13/06       2,324       2,297       2,720       42.83       0.3       0.2  
Williams Partners L.P.
   Class B Units (2)     183       12/13/06       6,564       6,487       7,556       41.22       0.7       0.4  
 
                                                              
 
                           $ 183,284     $ 177,784     $ 177,255               15.0 %     9.1 %
 
                                                              
 
(1)   Applicable to common stockholders.
 
(2)   Unregistered security.
 
(3)   The Company purchased common units on 8/1/05 and 10/2/06.
At February 28, 2007, the cost basis of investments for Federal income tax purposes was $1,236,124. At February 28, 2007, gross unrealized appreciation and depreciation of investments for Federal income tax purposes were as follows:
         
Gross unrealized appreciation
   $ 708,637  
Gross unrealized depreciation
     (11,975 ) 
 
      
Net unrealized appreciation
   $ 696,662  
 
      
The identified cost basis for federal tax purposes is estimated based on information available from the Company’s portfolio companies. In some cases, this information is very limited. Accordingly, the actual cost basis may prove higher or lower than the estimated cost basis included in this footnote.
Securities valuation policies and other investment related disclosures are hereby incorporated by reference to the Company’s annual report previously filed with the Securities and Exchange Commission on Form N-CSR on February 7, 2007, with a file number 811-21593.
Other information regarding the Company is available in the Company’s most recent annual report. This information is also available on the Company’s website at http://www.kaynemlp.com; or on the website of the Securities and Exchange Commission, http://www.sec.gov.

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Item 2: Controls and Procedures
          (a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and 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 Act) 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
1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 

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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.
             
    KAYNE ANDERSON MLP INVESTMENT COMPANY    
 
            
    /s/ Kevin S. McCarthy    
         
 
  Name:   Kevin S. McCarthy    
 
  Title:   Chairman, President and Chief Executive Officer    
 
  Date:   April 27, 2007    
     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.
             
    /s/ Kevin S. McCarthy    
         
 
  Name:   Kevin S. McCarthy    
 
  Title:   Chairman, President and Chief Executive Officer    
 
  Date:   April 27, 2007    
 
            
    /s/ Terry A. Hart    
         
 
  Name:   Terry A. Hart    
 
  Title:   Chief Financial Officer and Treasurer    
 
  Date:   April 27, 2007