- Certified semi-annual shareholder report for management investment companies (N-CSRS)
11 März 2011 - 11:17PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-21705
Nuveen Tax-Advantaged Floating Rate Fund
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code:
(312) 917-7700
Date of
fiscal year end:
June 30
Date of
reporting period:
December 31, 2010
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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 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. SS. 3507.
ITEM 1. REPORTS
TO SHAREHOLDERS
Closed-End Funds
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Nuveen Investments
Closed-End Funds
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Semi-Annual Report
December 31, 2010
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Nuveen
Tax-Advantaged
Floating Rate
Fund
JFP
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INVESTMENT
ADVISER NAME CHANGE
Effective January 1, 2011, Nuveen Asset Management, the
Fund’s investment adviser, changed its name to Nuveen
Fund Advisors, Inc.
(“Nuveen
Fund Advisors”).
Concurrently, Nuveen
Fund Advisors formed a wholly-owned subsidiary, Nuveen
Asset Management, LLC, to house its portfolio management
capabilities.
NUVEEN
INVESTMENTS COMPLETES STRATEGIC COMBINATION WITH FAF
ADVISORS
On December 31, 2010, Nuveen Investments completed the
strategic combination between Nuveen Asset Management, LLC, the
largest investment affiliate of Nuveen Investments, and FAF
Advisors. As part of this transaction,
U.S. Bancorp—the parent of FAF Advisors—received
cash consideration and a 9.5% stake in Nuveen Investments in
exchange for the long term investment business of FAF Advisors,
including investment-management responsibilities for the
non-money market mutual funds of the First American Funds family.
The approximately $27 billion of mutual fund and
institutional assets managed by FAF Advisors, along with the
investment professionals managing these assets and other key
personnel, have become part of Nuveen Asset Management, LLC.
With these additions to Nuveen Asset Management, LLC, this
affiliate now manages more than $100 billion of assets
across a broad range of strategies from municipal and taxable
fixed income to traditional and specialized equity investments.
This combination does not affect the investment objectives or
strategies of this Fund.
Over time, Nuveen Investments
expects that the combination will provide even more ways to meet
the needs of investors who work with financial advisors and
consultants by enhancing the multi-boutique model of Nuveen
Investments, which also includes highly respected investment
teams at HydePark, NWQ Investment Management, Santa Barbara
Asset Management, Symphony Asset Management, Tradewinds Global
Investors and Winslow Capital. Nuveen Investments managed
approximately $195 billion of assets as of
December 31, 2010.
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Chairman’s Letter to Shareholders
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4
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Portfolio Managers’ Comments
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5
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Common Share Distribution and Share Price Information
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8
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Performance Overview
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9
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Shareholder Meeting Report
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10
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Portfolio of Investments
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11
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Statement of Assets & Liabilities
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13
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Statement of Operations
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14
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Statement of Changes in Net Assets
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15
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Statement of Cash Flows
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16
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Financial Highlights
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17
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Notes to Financial Statements
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20
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Reinvest Automatically Easily and Conveniently
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27
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Glossary of Terms Used in this Report
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29
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Other Useful Information
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31
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Chairman’s
Letter to Shareholders
Dear
Shareholders,
The global economy recorded another year of recovery from the
financial and economic crises of 2008, but many of the factors
that caused the crises still weigh on the prospects for
continued recovery. In the U.S., ongoing weakness in housing
values is putting pressure on homeowners and mortgage lenders.
Similarly, the strong earnings recovery for corporations and
banks has not been translated into increased hiring or more
active lending. In addition, media and analyst reports on the
fiscal conditions of various state and local entities have
raised concerns with some investors. Globally, deleveraging by
private and public borrowers is inhibiting economic growth and
this process is far from complete.
Encouragingly, a variety of constructive actions are being taken
by governments around the world to stimulate further recovery.
In the U.S., the recent passage of a stimulatory tax bill
relieves some of the pressure on the Federal Reserve System to
promote economic expansion through quantitative easing and
offers the promise of faster economic growth. A number of
European governments are undertaking programs that could
significantly reduce their budget deficits. Governments across
the emerging markets are implementing various steps to deal with
global capital flows without undermining international trade and
investment.
The success of these government actions could have an important
impact on whether 2011 brings further economic recovery and
financial market progress. One risk associated with the
extraordinary efforts to strengthen U.S. economic growth is that
the debt of the U.S. government will continue to grow to
unprecedented levels. Another risk is that over time there could
be upward pressures on asset values in the U.S. and abroad,
because what happens in the U.S. impacts the rest of the world
economy. We must hope that the progress made on the fiscal front
in 2010 will continue into 2011. In this environment, your
Nuveen investment team continues to seek sustainable investment
opportunities and to remain alert to potential risks in a
recovery still facing many headwinds. On your behalf, we monitor
their activities to assure they maintain their investment
disciplines.
As you will note elsewhere in this report, on January 1,
2011, Nuveen Investments completed the acquisition of FAF
Advisors, Inc., the manager of the First American Funds. The
acquisition adds highly respected and distinct investment teams
to meet the needs of investors and their advisors and is
designed to benefit all fund shareholders by creating a fund
organization with the potential for further economies of scale
and the ability to draw from even greater talent and expertise
to meet these investor needs.
As always, I encourage you to contact your financial consultant
if you have any questions about your investment in a Nuveen
fund. On behalf of the other members of your Fund Board, we
look forward to continuing to earn your trust in the months and
years ahead.
Sincerely,
Robert P. Bremner
Chairman of the Board and Lead Independent Director
February 22, 2011
Portfolio
Managers’ Comments
Certain statements in this report are forward-looking
statements. Discussions of specific investments are for
illustration only and are not intended as recommendations of
individual investments. The forward-looking statements and other
views expressed herein are those of the portfolio managers as of
the date of this report. Actual future results or occurrences
may differ significantly from those anticipated in any
forward-looking statements and the views expressed herein are
subject to change at any time, due to numerous market and other
factors. The Fund disclaims any obligation to update publicly or
revise any forward-looking statements or views expressed
herein.
Any reference to credit ratings for portfolio holdings
denotes the highest rating assigned by a Nationally Recognized
Statistical Rating Organization (NRSRO) such as Standard &
Poor’s, Moody’s or Fitch. AAA, AA, A and BBB ratings
are investment grade; BB, B, CCC, CC, C and D ratings are below
investment grade. Holdings and ratings may change over time.
Nuveen
Tax-Advantaged Floating Rate Fund (JFP)
The Nuveen Tax-Advantaged Floating Rate Fund (JFP) is
sub-advised
by a team of specialists at Spectrum Asset Management, a
wholly-owned subsidiary of Principal Global Investors, LLC. Mark
Lieb and Phil Jacoby, who have more than 50 years of
combined experience in the preferred securities markets, lead
the team. Here Mark and Phil talk about their management
strategy and the performance of the Fund for the six-month
period ended December 31, 2010.
What was your
management strategy during the six-month period ended
December 31, 2010?
The Fund was designed to invest in securities issued primarily
by middle market banks, and its investment objectives are to
provide an attractive level of after-tax current income and
capital preservation. As in the past, our ability to actively
manage the portfolio during this period in an effort to achieve
these objectives was hampered by several factors. First, at
period end the Fund held securities of twelve middle market
banks, accounting for approximately 40% of the Fund’s
assets. Of these twelve positions, only one was paying
dividends. This severely and negatively impacted the prices of
the non-paying holdings, giving them market values well below
par and making them very difficult to sell. Second, many market
participants seemed to believe that middle market bank holdings
that were still paying dividends might not continue to do so in
the future. This weakened the market for all such securities and
generally made bids for these securities scarce and
unattractive. Sellers with no other options were forced to
accept very unappealing prices. Despite this challenging
environment, we have positioned about 60% of the portfolio in
securities issued by non-middle market banks. This has provided
a more secure source of income and liquidity for this portion of
the portfolio’s holdings.
How did the Fund
perform over this six-month period?
The performance of the Fund, as well as the performance of two
market indexes, is presented in the accompanying table.
Average Annual
Total Return on Common Share Net Asset Value
For the periods ended 12/31/10
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6-Month
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1-Year
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5-Year
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JFP
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–3.52%
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10.84%
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–23.82%
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Merrill Lynch Adjustable Rate Preferred
Index
1
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12.42%
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2.86%
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–7.70%
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Barclays Capital U.S. Aggregate Bond
Index
2
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1.16%
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6.56%
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5.80%
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Six-month returns are cumulative; all other returns are
annualized.
Past performance is not predictive of future results. Current
performance may be higher or lower than the data shown. Returns
do not reflect the deduction of taxes that shareholders may have
to pay on Fund distributions or upon the sale of Fund shares.
For additional information, see the Performance Overview page in
this report.
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1
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The Merrill Lynch Adjustable Rate Preferred Index is an
unmanaged index composed of dollar-denominated
investment-grade
preferred securities, predominantly from larger issuers. The
Fund may invest a substantial portion of its assets in
below-investment-grade securities, often from smaller issuers.
Index returns do not include the effects of any sales charges or
management fees. It is not possible to invest directly in an
index.
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2
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The Barclays Capital U.S. Aggregate Bond Index is an
unmanaged index that includes all investment-grade, publicly
issued, fixed-rate, dollar denominated, nonconvertible debt
issues and commercial mortgage-backed securities with maturities
of at least one year and outstanding par values of
$150 million or more. Index returns do not include the
effects of any sales charges or management fees. It is not
possible to invest directly in an index.
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As the performance numbers indicate, the six-month period ended
December 31, 2010, proved to be particularly challenging
for the Fund as it underperformed both of the shown indexes. It
should be noted that the Barclays Capital U.S. Aggregate
Bond Index is designed to track fixed income investments
generally and not the preferred equity securities in which the
Fund primarily invests. In addition, the Fund has a higher
concentration of preferred stocks issued by middle market banks
than the Merrill Lynch Adjustable Rate Preferred Index, which
affected the Fund’s performance relative to this measure
over the period.
One major factor impacting the Fund’s poor absolute and
relative performance was the interruption in regular dividend
payments by a number of the Fund’s holdings. As noted
earlier, only one of the Fund’s twelve holdings of middle
mark bank securities was paying a dividend at the end of the
period. This had a direct impact on the income generated by the
Fund, and the value of these positions within the Fund’s
portfolio. Additionally, a significant portion of the other
positions held by the Fund were shorter-term securities issued
by other financial entities. In general, shorter-term securities
tended to underperform the overall market during this reporting
period. While the income generated by these positions helped the
Fund’s absolute return, these holdings also were a drag on
relative overall performance when compared with the index
returns shown above.
RECENT EVENTS
CONCERNING THE FUND’S REDEMPTION OF AUCTION RATE
PREFERRED SHARES
Shortly after its inception, the Fund issued auction rate
preferred shares (ARPS) to create financial leverage. As noted
in past shareholder reports, the weekly auctions for those ARPS
shares began in February 2008 to consistently fail, causing the
Fund to pay the so-called “maximum rate” to ARPS
shareholders under the terms of the ARPS in the Fund’s
charter documents. The Fund redeemed its ARPS at par in 2009.
During 2010, certain Nuveen leveraged closed-end funds
(including this Fund) received a demand letter from a law firm
on behalf of purported holders of common shares of each such
fund, alleging that Nuveen and the funds’ officers and
Board of Directors/Trustees breached their fiduciary duties
related to the redemption at par of the funds’ ARPS. In
response, the Board established an ad hoc Demand Committee
consisting of certain of its disinterested and independent Board
members to investigate the claims. The Demand Committee retained
independent counsel to assist it in conducting an extensive
investigation. Based upon its investigation, the Demand
Committee found that it was not in the best interests of each
fund or its shareholders to take the actions suggested in the
demand letters, and recommended that the full Board reject the
demands made in the demand letters. After reviewing the findings
and recommendation of the Demand
Committee, the full Board of each fund unanimously adopted the
Demand Committee’s recommendation.
Subsequently, the funds that received demand letters (including
this Fund) were named in a consolidated complaint as nominal
defendants in a putative shareholder derivative action captioned
Martin Safier, et al. v. Nuveen Asset Management, et al
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that was filed in the Circuit Court of Cook County, Illinois,
Chancery Division (the “Cook County Chancery Court”)
on February 18, 2011 (the “Complaint”). The
Complaint, filed on behalf of purported holders of each
fund’s common shares, also name Nuveen Asset Management as
a defendant, together with current and former Officers and
interested Director/Trustees of each of the funds (together with
the nominal defendants, collectively, the
“Defendants”). The Complaint contains the same basic
allegations contained in the demand letters. The suits seek a
declaration that the Defendants have breached their fiduciary
duties, an order directing the Defendants not to redeem any ARPS
at their liquidation value using fund assets, indeterminate
monetary damages in favor of the funds and an award of
plaintiffs’ costs and disbursements in pursuing the action.
Nuveen Asset Management believes that the Complaint is without
merit, and intends to defend vigorously against these charges.
Common Share
Distribution
and Share Price Information
The following information regarding your Fund’s
distributions is current as of December 31, 2010, and
likely will vary over time based on the Fund’s investment
activities and portfolio investment value changes.
Over the six-month reporting period, the Fund’s monthly
distribution to common shareholders remained stable. Eleven of
the twenty-one preferred securities held by the Fund were not
paying dividends as of the end of the period, and the dividend
discontinuation for four of those eleven was announced during
the six-month period, negatively impacting the income available
to pay common share dividends.
The Fund has a managed distribution policy, which permits the
Fund to include as part of its monthly distributions
supplemental amounts from sources other than net investment
income.
However, the Fund’s monthly distributions during
this period did not include any supplemental amounts
representing actual or anticipated portfolio price
appreciation
. Rather, the fact that the Fund paid out
substantially more in monthly distributions than the amount of
its net earnings during the period was attributable to the
discontinuation of dividends by four holdings during the period,
as described above.
Common Share
Repurchases and Share Price Information
Since the inception of the Fund’s repurchase program, the
Fund has not repurchased any of its outstanding common shares.
As of December 31, 2010, the Fund was trading at a -3.54%
discount to its NAV, compared with an average discount of 1.78%
for the six-month period.
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JFP
Performance
OVERVIEW
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Nuveen
Tax-Advantaged
Floating Rate Fund
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as
of December 31, 2010
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Fund Snapshot
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Common Share Price
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$2.18
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Common Share Net Asset Value (NAV)
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$2.26
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Premium/(Discount) to NAV
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-3.54%
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Market
Yield
1
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8.26%
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Net Assets Applicable to
Common Shares ($000)
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$31,547
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Average Annual Total Return
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(Inception 3/28/05)
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On Share Price
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On NAV
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6-Month (Cumulative)
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-10.95%
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-3.52%
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1-Year
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9.91%
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10.84%
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5-Year
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-21.75%
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-23.82%
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Since Inception
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-21.31%
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-20.61%
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Portfolio Composition
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(as a % of total
investments)
2
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Commercial Banks
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65.0%
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Capital Markets
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9.0%
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Insurance
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6.5%
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Thrifts & Mortgage Finance
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0.5%
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Diversified Financial Services
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0.4%
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Short-Term Investments
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18.6%
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Portfolio
Allocation
(as a % of total
investments)
2
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*
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52.7% of total Preferred Securities are invested in Middle
Market Banks.
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2010 Monthly
Distributions Per Common Share
Common Share
Price Performance
—Weekly
Closing Price
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Refer to the Glossary of Terms Used in this Report for further
definition of the terms used within the Fund’s Performance
Overview Page.
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1
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Market Yield is based on the Fund’s current annualized
monthly distribution divided by the Fund’s current market
price. The Fund’s monthly distributions to its shareholders
may be comprised of ordinary income, net realized capital gains
and, if at the end of the fiscal year the Fund’s cumulative
net ordinary income and net realized gains are less than the
amount of the Fund’s distributions, a return of capital for
tax purposes.
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2
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Holdings are subject to change.
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Shareholder Meeting
Report
The annual meeting of shareholders was held in the offices of
Nuveen Investments on November 16, 2010; at this meeting
the shareholders were asked to vote on the election of Board
Members.
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JFP
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Approval of the Board Members was reached as follows:
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Common shares
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William C. Hunter
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For
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12,603,158
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Withhold
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462,997
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Total
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13,066,155
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Judith M. Stockdale
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For
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12,546,305
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Withhold
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519,850
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Total
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13,066,155
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Carole E. Stone
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For
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12,590,635
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Withhold
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475,520
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Total
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13,066,155
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JFP
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Nuveen Tax-Advantaged Floating
Rate Fund
Portfolio of Investments
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December 31, 2010 (Unaudited)
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Shares
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Description (1)
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Coupon
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Ratings (2)
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Value
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Preferred Securities – 73.3% (74.3% of Total
Investments)
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Capital Markets – 8.9%
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3,600
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Deutsche Bank Contingent Capital Trust III
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7.600%
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BBB
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$
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91,548
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65,800
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Goldman Sachs Group Inc.
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4.000%
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(5)
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Baa2
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1,416,016
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67,700
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Morgan Stanley, Series 2006A
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4.000%
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(5)
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BB+
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1,305,256
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Total Capital Markets
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2,812,820
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Commercial Banks – 59.1%
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9,000
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ABN AMRO North America Capital Funding, 144A
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6.968%
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(5)
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BB
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5,464,688
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7,000
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Barclays Bank PLC
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8.125%
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A–
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179,900
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7,000
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City National Bancshares Corporation, Series F,
(MMB), (3), (4)
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8.533%
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(5)
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N/R
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|
|
|
118,245
|
|
|
|
10,000
|
|
|
Elmira Savings Bank, 144A, (MMB), (3), (4)
|
|
|
8.998%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
8,297,316
|
|
|
|
10,000
|
|
|
First Bank of Oak Park Corporation, Series 2005A, 144A,
(MMB), (4)
|
|
|
3.052%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
47,000
|
|
|
|
41,300
|
|
|
HSBC USA Inc.
|
|
|
4.500%
|
(5)
|
|
|
|
|
|
|
A
|
|
|
|
1,025,066
|
|
|
|
5,000
|
|
|
MidCarolina Financial Corporation, Series 144A,
(MMB), (3), (4)
|
|
|
8.342%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
2,497,510
|
|
|
|
10,000
|
|
|
PedCor Bancorp., 144A, (MMB), (3), (4)
|
|
|
4.009%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
494,436
|
|
|
|
5,000
|
|
|
Pedcor Financial Bancorp., 144A, (MMB), (3), (4)
|
|
|
4.008%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
230,883
|
|
|
|
5,000
|
|
|
Regent Bancorp Inc., Series A, 144A,
(MMB), (3), (4)
|
|
|
8.481%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
84,905
|
|
|
|
10,000
|
|
|
Rogers Bancshares Inc., 144A Series A,
(MMB), (3), (4)
|
|
|
4.252%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
135,000
|
|
|
|
10,000
|
|
|
Shorebank Corporation, Series 144A,
(MMB), (3), (4)
|
|
|
4.090%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
47,000
|
|
|
|
700
|
|
|
SunTrust Bank Inc.
|
|
|
4.000%
|
(5)
|
|
|
|
|
|
|
Ba1
|
|
|
|
13,951
|
|
|
|
10,000
|
|
|
Vineyard National Bancorp, Series C, 144A,
(MMB), (3), (4)
|
|
|
4.089%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
2,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,638,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services – 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,000
|
|
|
Blossman Bancshares, Inc., 144A, (MMB), (3), (4)
|
|
|
8.730%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
110,625
|
|
|
|
700
|
|
|
Citigroup Capital XIII
|
|
|
7.875%
|
(5)
|
|
|
|
|
|
|
BB+
|
|
|
|
18,837
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
129,462
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance – 4.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,500
|
|
|
Zurich RegCaPS Funding Trust VI, Series 144A
|
|
|
0.996%
|
(5)
|
|
|
|
|
|
|
Baa1
|
|
|
|
1,422,656
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance – 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000
|
|
|
RMG Capital Corporation, 144A, (MMB), (3), (4)
|
|
|
4.253%
|
(5)
|
|
|
|
|
|
|
N/R
|
|
|
|
135,902
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities (cost $114,529,950)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,138,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
Coupon
|
|
|
Maturity
|
|
|
Ratings (2)
|
|
|
Value
|
|
|
|
|
|
|
Capital Preferred Securities – 7.1% (7.1% of
Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks – 5.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
|
|
|
U.S. Bancorp
|
|
|
7.189%
|
(5)
|
|
|
4/15/11
|
|
|
|
A3
|
|
|
$
|
1,580,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance – 2.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000
|
|
|
Aegon N.V. Perpetual Capital Securities
|
|
|
2.628%
|
(5)
|
|
|
7/15/49
|
|
|
|
BBB
|
|
|
|
616,050
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance – 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,322
|
|
|
MM Community Funding Trust XVIII Limited, Class D, (3), (4)
|
|
|
2.103%
|
(5)
|
|
|
12/26/39
|
|
|
|
N/R
|
|
|
|
26,611
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Preferred Securities (cost $7,123,232)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,222,911
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
|
Description (1)
|
|
Coupon
|
|
|
Maturity
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
Short-Term Investments – 18.3% (18.6% of Total
Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,775
|
|
|
Repurchase Agreement with Fixed Income Clearing Corporation,
dated 12/31/10, repurchase price $5,774,949, collateralized by
$5,585,000 U.S. Treasury Notes, 3.625%, due 8/15/19, value
$5,892,175
|
|
|
0.040%
|
|
|
|
1/03/11
|
|
|
|
|
|
|
$
|
5,774,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (cost $5,774,930)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,774,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments (cost $127,428,111) – 98.7%
|
|
|
31,136,781
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets Less Liabilities – 1.3%
|
|
|
410,082
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets – 100%
|
|
$
|
31,546,863
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JFP
|
|
|
Nuveen Tax-Advantaged Floating Rate Fund
(continued)
Portfolio of Investments
December 31, 2010
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For Fund portfolio compliance purposes, the Fund’s industry
classifications refer to any one or more of the industry
sub-classifications
used by one or more widely recognized market indexes or ratings
group indexes,
and/or
as
definded by Fund management. This definition may not apply for
purposes of this report, which may combine industry
sub-classifications
into sectors for reporting ease.
|
|
|
|
|
|
(1)
|
|
All percentages shown in the Portfolio of Investments are based
on net assets.
|
|
|
|
|
|
(2)
|
|
Ratings: Using the highest of Standard & Poor’s Group
(“Standard & Poor’s”), Moody’s Investor
Service, Inc. (“Moody’s”) or Fitch, Inc.
(“Fitch”) rating. Ratings below BBB by Standard &
Poor’s, Baa by Moody’s or BBB by Fitch are considered
to be below investment grade. Holdings designated N/R are not
rated by any of these national rating agencies.
|
|
|
|
|
|
(3)
|
|
Non-income producing; issuer has not declared a dividend within
the past twelve months.
|
|
|
|
|
|
(4)
|
|
For fair value measurement disclosure purposes, investment
categorized as Level 3. See Notes to Financial Statements,
Footnote 1 – General Information and Significant
Accounting Policies, Investment Valuation for more information.
|
|
|
|
|
|
(5)
|
|
Security has a floating rate coupon, which is periodically reset
based on a fixed percentage rate above a predetermined index or
benchmark. The coupon rate disclosed is that in effect at the
end of the reporting period.
|
|
|
|
|
|
N/R
|
|
Not rated.
|
|
|
|
|
|
(MMB)
|
|
Middle Market Bank.
|
|
|
|
|
|
144A
|
|
Investment is exempt from registration under Rule 144A of the
Securities Act of 1933, as amended. These investments may only
be resold in transactions exempt from registration, which are
normally those transactions with qualified institutional buyers.
|
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Statement of
Assets & Liabilities
|
|
|
|
|
|
|
December 31, 2010 (Unaudited)
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Long-term investments, at value (cost $121,653,182)
|
|
$
|
25,361,851
|
|
|
Short-term investments (at cost, which approximates value)
|
|
|
5,774,930
|
|
|
Cash
|
|
|
286
|
|
|
Receivables:
|
|
|
|
|
|
Dividends
|
|
|
412,576
|
|
|
Interest
|
|
|
5,553
|
|
|
Investments sold
|
|
|
49,043
|
|
|
Other assets
|
|
|
23,170
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
31,627,409
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
Payable for investments purchased
|
|
|
14,135
|
|
|
Other accrued expenses
|
|
|
66,411
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
80,546
|
|
|
|
|
|
|
|
|
Net assets applicable to Common shares
|
|
$
|
31,546,863
|
|
|
|
|
|
|
|
|
Common shares outstanding
|
|
|
13,977,245
|
|
|
|
|
|
|
|
|
Net asset value per Common share outstanding (net assets
applicable to Common shares, divided by Common shares
outstanding)
|
|
$
|
2.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common shares consist of:
|
|
|
|
|
|
|
|
|
|
|
|
Common shares, $.01 par value per share
|
|
$
|
139,772
|
|
|
Paid-in surplus
|
|
|
196,145,645
|
|
|
Undistributed (Over-distribution of) net investment income
|
|
|
(193,478
|
)
|
|
Accumulated net realized gain (loss)
|
|
|
(68,253,745
|
)
|
|
Net unrealized appreciation (depreciation)
|
|
|
(96,291,331
|
)
|
|
|
|
|
|
|
|
Net assets applicable to Common shares
|
|
$
|
31,546,863
|
|
|
|
|
|
|
|
|
Authorized shares:
|
|
|
|
|
|
Common
|
|
|
Unlimited
|
|
|
FundPreferred
|
|
|
Unlimited
|
|
|
|
|
|
|
|
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Statement of
Operations
|
|
|
|
|
Six Months Ended December 31, 2010 (Unaudited)
|
|
|
|
|
|
|
|
Investment Income
|
|
$
|
1,403,440
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
Management fees
|
|
|
152,267
|
|
|
Shareholders’ servicing agent fees and expenses
|
|
|
126
|
|
|
Custodian’s fees and expenses
|
|
|
4,577
|
|
|
Professional fees
|
|
|
69,201
|
|
|
Shareholders’ reports – printing and mailing
expenses
|
|
|
21,024
|
|
|
Stock exchange listing fees
|
|
|
4,582
|
|
|
Investor relations expense
|
|
|
47,450
|
|
|
Other expenses
|
|
|
399
|
|
|
|
|
|
|
|
|
Total expenses before custodian fee credit and expense
reimbursement
|
|
|
299,626
|
|
|
Custodian fee credit
|
|
|
(26
|
)
|
|
Expense reimbursement
|
|
|
(152,267
|
)
|
|
|
|
|
|
|
|
Net expenses
|
|
|
147,333
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
1,256,107
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss)
|
|
|
|
|
|
Net realized gain (loss) from investments
|
|
|
(13,089,115
|
)
|
|
Change in net unrealized appreciation (depreciation) of
investments
|
|
|
10,647,724
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
(2,441,391
|
)
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to Common
shares from operations
|
|
$
|
(1,185,284
|
)
|
|
|
|
|
|
|
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Statement of
Changes in Net Assets
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
|
Ended
|
|
|
Year Ended
|
|
|
|
|
12/31/10
|
|
|
6/30/10
|
|
|
Operations
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
1,256,107
|
|
|
$
|
2,864,766
|
|
|
Net realized gain (loss) from investments
|
|
|
(13,089,115
|
)
|
|
|
(1,121,370
|
)
|
|
Change in net unrealized appreciation (depreciation) of
investments
|
|
|
10,647,724
|
|
|
|
(4,899,990
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to Common
shares from operations
|
|
|
(1,185,284
|
)
|
|
|
(3,156,594
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
|
From and in excess of net investment income
|
|
|
(1,256,483
|
)
|
|
|
–
|
|
|
From net investment income
|
|
|
–
|
|
|
|
(2,578,379
|
)
|
|
Return of capital
|
|
|
–
|
|
|
|
(609,498
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Decrease in net assets applicable to Common shares from
distributions to Common shareholders
|
|
|
(1,256,483
|
)
|
|
|
(3,187,877
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
Net proceeds from Common shares issued to shareholders due to
reinvestment of distributions
|
|
|
94,997
|
|
|
|
106,268
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to Common
shares from capital share transactions
|
|
|
94,997
|
|
|
|
106,268
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to Common shares
|
|
|
(2,346,770
|
)
|
|
|
(6,238,203
|
)
|
|
Net assets applicable to Common shares at the beginning of period
|
|
|
33,893,633
|
|
|
|
40,131,836
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common shares at the end of period
|
|
$
|
31,546,863
|
|
|
$
|
33,893,633
|
|
|
|
|
|
|
|
|
|
|
|
|
Undistributed (Over-distribution of) net investment income at
the end of period
|
|
$
|
(193,478
|
)
|
|
$
|
(193,102
|
)
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Statement of
Cash Flows
|
|
|
|
|
Six Months Ended December 31, 2010 (Unaudited)
|
|
|
|
|
|
|
|
Cash Flows from Operating Activities:
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Applicable to Common
Shares from Operations
|
|
$
|
(1,185,284
|
)
|
|
Adjustments to reconcile the net increase (decrease) in net
assets applicable to Common shares from operations to net
cash
provided by (used in) operating activities:
|
|
|
|
|
|
Purchases of investments
|
|
|
(6,665,263
|
)
|
|
Proceeds from sales and maturities of investments
|
|
|
7,620,723
|
|
|
Proceeds from (Purchases of) short-term investments, net
|
|
|
(641,720
|
)
|
|
Amortization (Accretion) of premiums and discounts, net
|
|
|
(10
|
)
|
|
(Increase) Decrease in receivable for dividends
|
|
|
(401,326
|
)
|
|
(Increase) Decrease in receivable for interest
|
|
|
(5,553
|
)
|
|
(Increase) Decrease in receivable for investments sold
|
|
|
(49,043
|
)
|
|
(Increase) Decrease in other assets
|
|
|
3,544
|
|
|
Increase (Decrease) in payable for investments purchased
|
|
|
14,135
|
|
|
Increase (Decrease) in accrued other liabilities
|
|
|
(4,170
|
)
|
|
Net realized (gain) loss from investments
|
|
|
13,089,115
|
|
|
Change in net unrealized (appreciation) depreciation of
investments
|
|
|
(10,647,724
|
)
|
|
|
|
|
|
|
|
Net cash provided by (used in) operating activities
|
|
|
1,127,424
|
|
|
|
|
|
|
|
|
Cash Flows from Financing Activities:
|
|
|
|
|
|
Cash distributions paid to Common shareholders
|
|
|
(1,354,588
|
)
|
|
|
|
|
|
|
|
Net cash provided by (used in) financing activities
|
|
|
(1,354,588
|
)
|
|
|
|
|
|
|
|
Net Increase (Decrease) in Cash
|
|
|
(227,164
|
)
|
|
Cash at the beginning of period
|
|
|
227,450
|
|
|
|
|
|
|
|
|
Cash at the End of Period
|
|
|
286
|
|
|
|
|
|
|
|
Supplemental
Disclosure of Cash Flow Information
Non-cash financing activities not included herein consists of
reinvestments of Common share distributions of $94,997.
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial
Highlights
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial
Highlights
(Unaudited)
|
|
|
|
|
Selected data for a Common share outstanding throughout each
period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering Costs,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from Net
|
|
|
Distributions
|
|
|
|
|
|
Net
|
|
|
|
|
|
|
|
|
|
|
|
Structuring
|
|
|
|
|
|
|
|
|
|
|
Beginning
|
|
|
|
|
|
|
|
|
Investment
|
|
|
from Capital
|
|
|
|
|
|
Investment
|
|
|
Capital
|
|
|
Return of
|
|
|
|
|
|
Fee and
|
|
|
Ending
|
|
|
|
|
|
|
|
Common
|
|
|
|
|
|
Net
|
|
|
Income to
|
|
|
Gains to
|
|
|
|
|
|
Income to
|
|
|
Gains to
|
|
|
Capital to
|
|
|
|
|
|
FundPreferred
|
|
|
Common
|
|
|
|
|
|
|
|
Share
|
|
|
Net
|
|
|
Realized/
|
|
|
FundPreferred
|
|
|
FundPreferred
|
|
|
|
|
|
Common
|
|
|
Common
|
|
|
Common
|
|
|
|
|
|
Share
|
|
|
Share
|
|
|
Ending
|
|
|
|
|
Net Asset
|
|
|
Investment
|
|
|
Unrealized
|
|
|
Share-
|
|
|
Share-
|
|
|
|
|
|
Share-
|
|
|
Share-
|
|
|
Share-
|
|
|
|
|
|
Underwriting
|
|
|
Net Asset
|
|
|
Market
|
|
|
|
|
Value
|
|
|
Income(a)
|
|
|
Gain (Loss)
|
|
|
holders(b)
|
|
|
holders(b)
|
|
|
Total
|
|
|
holders(i)
|
|
|
holders
|
|
|
holders
|
|
|
Total
|
|
|
Discounts
|
|
|
Value
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 6/30:
|
|
2011(h)
|
|
$
|
2.43
|
|
|
$
|
.09
|
|
|
$
|
(.17
|
)
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
(.08
|
)
|
|
$
|
(.09
|
)
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
(.09
|
)
|
|
$
|
–
|
|
|
$
|
2.26
|
|
|
$
|
2.18
|
|
|
2010
|
|
|
2.89
|
|
|
|
.21
|
|
|
|
(.44
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
(.23
|
)
|
|
|
(.19
|
)
|
|
|
–
|
|
|
|
(.04
|
)
|
|
|
(.23
|
)
|
|
|
–
|
|
|
|
2.43
|
|
|
|
2.54
|
|
|
2009
|
|
|
7.58
|
|
|
|
.51
|
|
|
|
(4.55
|
)
|
|
|
(.05
|
)
|
|
|
–
|
|
|
|
(4.09
|
)
|
|
|
(.59
|
)
|
|
|
–
|
|
|
|
(.01
|
)
|
|
|
(.60
|
)
|
|
|
–
|
|
|
|
2.89
|
|
|
|
3.14
|
|
|
2008
|
|
|
14.66
|
|
|
|
1.24
|
|
|
|
(6.98
|
)
|
|
|
(.25
|
)
|
|
|
(.01
|
)
|
|
|
(6.00
|
)
|
|
|
(1.03
|
)
|
|
|
(.05
|
)
|
|
|
–
|
|
|
|
(1.08
|
)
|
|
|
–
|
**
|
|
|
7.58
|
|
|
|
7.23
|
|
|
2007(f)
|
|
|
14.46
|
|
|
|
1.24
|
|
|
|
.14
|
|
|
|
(.24
|
)
|
|
|
(.02
|
)
|
|
|
1.12
|
|
|
|
(.87
|
)
|
|
|
(.05
|
)
|
|
|
–
|
|
|
|
(.92
|
)
|
|
|
–
|
|
|
|
14.66
|
|
|
|
14.42
|
|
|
Year Ended 7/31:
|
|
2006
|
|
|
14.12
|
|
|
|
1.10
|
|
|
|
.27
|
|
|
|
(.23
|
)
|
|
|
–
|
|
|
|
1.14
|
|
|
|
(.80
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
(.80
|
)
|
|
|
–
|
|
|
|
14.46
|
|
|
|
13.18
|
|
|
2005(g)
|
|
|
14.33
|
|
|
|
.15
|
|
|
|
.02
|
|
|
|
(.03
|
)
|
|
|
–
|
|
|
|
.14
|
|
|
|
(.20
|
)
|
|
|
–
|
|
|
|
–
|
|
|
|
(.20
|
)
|
|
|
(.15
|
)
|
|
|
14.12
|
|
|
|
13.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets
|
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Applicable to Common Shares
|
|
|
Applicable to Common Shares
|
|
|
|
|
|
|
|
|
|
|
Total Returns
|
|
|
|
|
|
Before Reimbursement(d)
|
|
|
After Reimbursement(d)(e)
|
|
|
|
|
|
FundPreferred Shares at End of Period
|
|
|
|
|
|
|
|
Based on
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
|
|
|
Ending
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share
|
|
|
Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aggregate
|
|
|
Liquidation
|
|
|
|
|
|
|
|
Based on
|
|
|
Net
|
|
|
Applicable to
|
|
|
|
|
|
Net
|
|
|
|
|
|
Net
|
|
|
Portfolio
|
|
|
Amount
|
|
|
and Market
|
|
|
Asset
|
|
|
|
|
Market
|
|
|
Asset
|
|
|
Common
|
|
|
|
|
|
Investment
|
|
|
|
|
|
Investment
|
|
|
Turnover
|
|
|
Outstanding
|
|
|
Value Per
|
|
|
Coverage
|
|
|
|
|
Value(c)
|
|
|
Value(c)
|
|
|
Shares (000)
|
|
|
Expenses
|
|
|
Income
|
|
|
Expenses
|
|
|
Income
|
|
|
Rate
|
|
|
(000)
|
|
|
Share
|
|
|
Per Share
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(10.95
|
)%
|
|
|
(3.52
|
)%
|
|
$
|
31,547
|
|
|
|
1.74
|
%*
|
|
|
6.41
|
%*
|
|
|
.86
|
%*
|
|
|
7.29
|
%*
|
|
|
22
|
%
|
|
$
|
–
|
|
|
$
|
–
|
|
|
$
|
–
|
|
|
|
|
|
(11.59
|
)
|
|
|
(7.93
|
)
|
|
|
33,894
|
|
|
|
1.44
|
|
|
|
7.47
|
|
|
|
.97
|
|
|
|
7.94
|
|
|
|
2
|
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
|
|
(48.08
|
)
|
|
|
(55.30
|
)
|
|
|
40,132
|
|
|
|
1.61
|
|
|
|
12.00
|
|
|
|
1.21
|
|
|
|
12.40
|
|
|
|
–
|
***
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
|
|
(44.63
|
)
|
|
|
(43.04
|
)
|
|
|
105,103
|
|
|
|
1.54
|
|
|
|
9.81
|
|
|
|
1.09
|
|
|
|
10.26
|
|
|
|
10
|
|
|
|
78,000
|
|
|
|
25,000
|
|
|
|
58,687
|
|
|
|
|
|
16.84
|
|
|
|
7.98
|
|
|
|
203,128
|
|
|
|
1.44
|
*
|
|
|
8.84
|
*
|
|
|
1.02
|
*
|
|
|
9.26
|
*
|
|
|
28
|
|
|
|
78,000
|
|
|
|
25,000
|
|
|
|
90,105
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.52
|
|
|
|
8.28
|
|
|
|
200,354
|
|
|
|
1.45
|
|
|
|
7.29
|
|
|
|
1.03
|
|
|
|
7.71
|
|
|
|
38
|
|
|
|
78,000
|
|
|
|
25,000
|
|
|
|
89,216
|
|
|
|
|
|
(9.24
|
)
|
|
|
(.08
|
)
|
|
|
195,645
|
|
|
|
1.26
|
*
|
|
|
2.88
|
*
|
|
|
.90
|
*
|
|
|
3.25
|
*
|
|
|
19
|
|
|
|
78,000
|
|
|
|
25,000
|
|
|
|
87,707
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
Per share Net Investment Income is
calculated using the average daily shares method.
|
|
(b)
|
|
The amounts shown are based on
Common share equivalents.
|
|
(c)
|
|
Total Return Based on Market Value
is the combination of changes in the market price per share and
the effect of reinvested dividend income and reinvested capital
gains distributions, if any, at the average price paid per share
at the time of reinvestment. The last dividend declared in the
period, which is typically paid on the first business day of the
following month, is assumed to be reinvested at the ending
market price. The actual reinvestment for the last dividend
declared in the period may take place over several days, and in
some instances may not be based on the market price, so the
actual reinvestment price may be different from the price used
in the calculation. Total returns are not annualized.
|
|
|
|
|
|
Total Return Based on Common Share
Net Asset Value is the combination of changes in Common share
net asset value, reinvested dividend income at net asset value
and reinvested capital gains distributions at net asset value,
if any. The last dividend declared in the period, which is
typically paid on the first business day of the following month,
is assumed to be reinvested at the ending net asset value. The
actual reinvest price for the last dividend declared in the
period may often be based on the Fund’s market price (and
not its net asset value), and therefore may be different from
the price used in the calculation. Total returns are not
annualized.
|
|
(d)
|
|
Ratios do not reflect the effect of
dividend payments to FundPreferred shareholders; Net Investment
Income ratios reflect income earned and expenses incurred on
assets attributable to FundPreferred shares, where applicable.
|
|
(e)
|
|
After expense reimbursement from
the Adviser, where applicable. Ratios do not reflect the effect
of custodian credits earned on the Fund’s net cash on
deposit with the custodian bank, where applicable.
|
|
(f)
|
|
For the eleven months ended
June 30, 2007.
|
|
(g)
|
|
For the period March 28, 2005
(commencement of operations) through July 31, 2005.
|
|
(h)
|
|
For the six months ended
December 31, 2010.
|
|
(i)
|
|
Represents distributions paid
“From and in excess of net investment income” for the
six months ended December 31, 2010.
|
|
*
|
|
Annualized.
|
|
**
|
|
Rounds to less than $.01 per
share.
|
|
***
|
|
Calculates to less than 1%.
|
See accompanying notes to
financial statements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to
Financial Statements
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
1.
|
General
Information and Significant Accounting Policies
|
General
Information
Nuveen Tax-Advantaged Floating Rate Fund (the “Fund”)
is a closed-end management investment company registered under
the Investment Company Act of 1940, as amended. The Fund’s
Common shares are listed on the New York Stock Exchange
(“NYSE”) Amex and trade under the ticker symbol
“JFP”. The Fund was organized as a Massachusetts
business trust on December 29, 2004.
The Fund’s primary investment objective is to provide an
attractive level of after-tax current income. The Fund’s
secondary investment objective is capital preservation. The Fund
intends to pursue its investment objectives by investing at
least 80% of its managed assets in adjustable rate preferred
stock and other adjustable rate securities that the Fund
believes, at the time of investment, are eligible to pay
dividends that qualify for favorable federal income tax
treatment (eligibility for the “dividends received
deductions” or classified as “qualified dividend
income”). At least 90% of the Fund’s managed assets
will be invested in securities that, at the time of investment,
are rated investment grade, or are unrated but judged to be of
comparable quality by the Fund’s sub-advisor, Spectrum
Asset Management (“Spectrum”).
A substantial portion of the Fund’s investments will be
invested in securities issued by banking companies and other
financial institutions, including securities of middle market
banking companies. The Fund’s concentration of investments
in these institutions includes the risk that banking companies
and other financial institutions may themselves have
concentrated portfolios, changes in interest rates or
competition that could affect their profitability, and there
could be increased costs or setbacks due to changes in the
regulatory and financial reporting requirements under which they
operate. The Fund may invest up to 25% of its managed assets in
investment-grade securities issued by non-financial companies.
Effective January 1, 2011, Nuveen Asset Management (the
“Adviser”), a wholly-owned subsidiary of Nuveen
Investments, Inc. (“Nuveen”) has changed its name to
Nuveen Fund Advisors, Inc.
During the fiscal year ended June 30, 2010, the following
changes were made to the Fund, as previously approved by the
Fund’s Board of Trustees:
|
|
|
|
•
|
Effective, March 1, 2010, the Adviser agreed to voluntarily
waive all management fees effective until further notice.
|
|
|
|
•
|
Effective March 19, 2010, the Fund’s maximum average
duration increased from one to 2.5 years.
|
|
|
|
•
|
Effective as of the open on Wednesday, March 24, 2010,
listing of the Fund’s Common shares was transferred from
the NYSE to the
NYSE-Amex
exchange.
|
The following is a summary of significant accounting policies
followed by the Fund in the preparation of its financial
statements in accordance with U.S. generally accepted
accounting principles (“U.S. GAAP”).
Significant
Accounting Policies
Investment
Valuation
The prices of preferred stocks issued by middle market and major
banking companies and other securities in the Fund’s
investment portfolio are generally provided by one or more
independent pricing services approved by the Fund’s Board
of Trustees. The pricing services typically value
exchange-listed securities at the last sales price on that day;
and value securities traded in the over-the-counter market at
the mean of the last bona fide bid and bona fide ask prices when
current quotations are readily available. These securities will
generally be classified as Level 1 or as a Level 2
depending on the priority of the significant inputs. The pricing
services may value preferred stocks issued by middle market and
major banking companies and other securities for which current
quotations are not readily available at fair value using a wide
range of market data and other information and analysis,
including the obligor’s credit characteristics considered
relevant by such pricing service to determine valuations. The
Fund’s Board of Trustees has approved procedures which
permit the Adviser to determine the fair value of investments
for which the applicable pricing service or services is not
providing a price, using market data and other factors such as
the obligor’s credit characteristics.
The preferred stocks issued by middle market and major banking
companies in which the Fund invests are generally not listed on
an organized exchange and the secondary market for such
investments may be less liquid relative to markets for other
securities. Consequently, the value of
preferred stocks issued by middle
market and major banking companies, determined as described
above, may differ significantly from the value that would have
been determined had there been an active market for that
preferred stock.
Prices of fixed-income securities are provided by a pricing
service approved by the Fund’s Board of Trustees. These
securities are generally classified as Level 2. Prices of
fixed-income securities are based on the mean between the bid
and asked price. When price quotes are not readily available,
the pricing service establishes a security’s fair value
using methods that may include consideration of the following:
yields or prices of investments of comparable quality, type of
issue, coupon, maturity and rating, market quotes or indications
of value from security dealers, evaluations of anticipated cash
flows or collateral, general market conditions and other
information and analysis, including the obligor’s credit
characteristics considered relevant. In pricing certain
securities, particularly less liquid and lower quality
securities, the pricing service may consider information about a
security, its issuer, or market activity provided by the
Adviser. These securities are generally classified as
Level 2 or Level 3 depending on the priority of
significant inputs.
Repurchase agreements are valued at contract amount plus accrued
interest, which approximates market value. These securities are
generally classified as Level 2.
Certain securities may not be able to be priced by the
pre-established pricing methods as described above. Such
securities may be valued by the Fund’s Board of Trustees or
its designee at fair value. These securities generally include,
but are not limited to, restricted securities (securities which
may not be publicly sold without registration under the
Securities Act of 1933, as amended) for which a pricing service
is unable to provide a market price; securities whose trading
has been formally suspended; debt securities that have gone into
default and for which there is no current market quotation; a
security whose market price is not available from a
pre-established pricing source; a security with respect to which
an event has occurred that is likely to materially affect the
value of the security after the market has closed but before the
calculation of a Fund’s net asset value (as may be the case
in
non-U.S.
markets on which the security is primarily traded) or make it
difficult or impossible to obtain a reliable market quotation;
and a security whose price, as provided by the pricing service,
is not deemed to reflect the security’s fair value. As a
general principle, the fair value of a security would appear to
be the amount that the owner might reasonably expect to receive
for it in a current sale. A variety of factors may be considered
in determining the fair value of such securities, which may
include consideration of the following: yields or prices of
investments of comparable quality, type of issue, coupon,
maturity and rating, market quotes or indications of value from
security dealers, evaluations of anticipated cash flows or
collateral, general market conditions and other information and
analysis, including the obligor’s credit characteristics
considered relevant. These securities are classified as
Level 2 or as Level 3 depending on the priority of the
significant inputs. Regardless of the method employed to value a
particular security, all valuations are subject to review by the
Fund’s Board of Trustees or its designee.
Refer to Footnote 2–Fair Value Measurements for further
details on the leveling of securities held by the Fund as of the
end of the reporting period.
Investment
Transactions
Investment transactions are recorded on a trade date basis.
Realized gains and losses from investment transactions are
determined on the specific identification method, which is the
same basis used for federal income tax purposes. Investments
purchased on a when-issued/delayed delivery basis may have
extended settlement periods. Any investments so purchased are
subject to market fluctuation during this period. The Fund has
instructed the custodian to segregate assets with a current
value at least equal to the amount of the when-issued/delayed
delivery purchase commitments. At December 31, 2010, the
Fund had no such outstanding purchase commitments.
Investment
Income
Dividend income is recorded on the
ex-dividend
date. Interest income, which reflects the amortization of
premiums and includes accretion of discounts for financial
reporting purposes, is recorded on an accrual basis. Interest
income also reflects paydown gains and losses, if any.
Income
Taxes
The Fund intends to distribute substantially all of its net
investment income and net capital gains to shareholders and to
otherwise comply with the requirements of Subchapter M of
the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is
required.
For all open tax years and all major taxing jurisdictions,
management of the Fund has concluded that there are no
significant uncertain tax positions that would require
recognition in the financial statements. Open tax years are
those that are open for examination by taxing authorities (i.e.,
generally the last four tax year ends and the interim tax period
since then). Furthermore, management of the Fund is also not
aware of any tax positions for which it is reasonably possible
that the total amounts of unrecognized tax benefits will
significantly change in the next twelve months.
Dividends and
Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the
ex-dividend date. The amount and timing of distributions are
determined in accordance with federal income tax regulations,
which may differ from U.S. GAAP.
The Fund makes monthly cash distributions to Common shareholders
of a stated dollar amount per share. Subject to approval and
oversight by the Fund’s Board of Trustees, the Fund may
make as part of its monthly distributions supplemental amounts
from sources other than net investment income (“Managed
Distribution Program”). However, during this period the
Fund has not implemented its Managed Distribution Program, but
rather
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to
Financial Statements
(Unaudited) (continued)
|
has sought to source its monthly
distributions solely from its net investment income, and did not
include any supplemental amounts representing actual or
anticipated portfolio price appreciation.
If the Fund were to implement its Managed Distribution Program,
the Fund would seek to establish a distribution rate that
reflects not only the projected net income from its portfolio of
floating-rate securities but potentially also a portion of any
anticipated recovery over time in the value of these securities.
In such an implementation, total distributions during a calendar
year generally will be made from the Fund’s net investment
income, net realized capital gains and net unrealized capital
gains in the Fund’s portfolio, if any. The portion of
distributions paid from net unrealized gains, if any, would be
distributed from the Fund’s assets and would be treated by
shareholders as a non-taxable distribution for tax purposes. In
the event that total distributions during a calendar year were
to exceed the Fund’s total return on net asset value, the
difference would be treated as a return of capital for tax
purposes and would reduce net asset value per share.
The final determination of the source and character of all
distributions for the fiscal year ended June 30, 2010, is
reflected in the accompanying financial statements.
The distributions made by the Fund during the six months ended
December 31, 2010, are provisionally classified as being
“From and in excess of net investment income,” and
those distributions will be classified as being from net
investment income, net realized capital gains
and/or
a
return of capital for tax purposes after the fiscal year end.
For purposes of calculating “Undistributed
(Over-distribution of) net investment income” as of
December 31, 2010, the distribution amounts provisionally
classified as “From and in excess of net investment
income” were treated as being entirely from net investment
income. Consequently, the financial statements at
December 31, 2010, reflect an over-distribution of net
investment income.
FundPreferred
Shares
The Fund is authorized to issue auction rate preferred
(“FundPreferred”) shares. During the fiscal year ended
June 30, 2009, the Fund redeemed all $78,000,000 of its
outstanding 3,120 Series Th FundPreferred shares, at
liquidation value.
During the six months ended December 31, 2010, lawsuits
pursuing claims made in a demand letter alleging that the
Fund’s Board of Trustees breached their fiduciary duties
related to the redemption at par of the Fund’s
FundPreferred shares had been filed on behalf of shareholders of
the Fund and against the Adviser, together with current and
former officers and interested
director/trustees
of the Fund. Nuveen and the other named defendants believe these
lawsuits to be without merit, and all named parties intend to
defend themselves vigorously. The Fund believes that these
lawsuits will not have a material effect on the Fund or on the
Adviser’s ability to serve as investment adviser to the
Fund.
Derivative
Financial Instruments
The Fund is authorized to invest in certain derivative
instruments, including credit default swaps and interest rate
swaps. Although the Fund is authorized to invest in such
derivative instruments, and may do so in the future, it did make
any such investments during the six months ended
December 31, 2010.
Market and
Counterparty Credit Risk
In the normal course of business the Fund may invest in
financial instruments and enter into financial transactions
where risk of potential loss exists due to changes in the market
(market risk) or failure of the other party to the transaction
to perform (counterparty credit risk). The potential loss could
exceed the value of the financial assets recorded on the
financial statements. Financial assets, which potentially expose
the Fund to counterparty credit risk, consist principally of
cash due from counterparties on forward, option and swap
transactions, when applicable. The extent of the Fund’s
exposure to counterparty credit risk in respect to these
financial assets approximates their carrying value as recorded
on the Statement of Assets and Liabilities. Futures contracts,
when applicable, expose a Fund to minimal counterparty credit
risk as they are exchange traded and the exchange’s
clearinghouse, which is counterparty to all exchange traded
futures, guarantees the futures contracts against default.
The Fund helps manage counterparty credit risk by entering into
agreements only with counterparties the Adviser believes have
the financial resources to honor their obligations and by having
the Adviser monitor the financial stability of the
counterparties. Additionally, counterparties may be required to
pledge collateral daily (based on the daily valuation of the
financial asset) on behalf of the Fund with a value
approximately equal to the amount of any unrealized gain above a
pre-determined
threshold. Reciprocally, when the Fund has an unrealized loss,
the Fund has instructed the custodian to pledge assets of the
Fund as collateral with a value approximately equal to the
amount of the unrealized loss above a
pre-determined
threshold. Collateral pledges are monitored and subsequently
adjusted if and when the valuations fluctuate, either up or
down, by at least the pre-determined threshold amount.
Repurchase
Agreements
In connection with transactions in repurchase agreements, it is
the Fund’s policy that its custodian take possession of the
underlying collateral securities, the fair value of which
exceeds the principal amount of the repurchase transaction,
including accrued interest, at all times. If the counterparty
defaults, and the fair value of the collateral declines,
realization of the collateral may be delayed or limited.
Custodian Fee
Credit
The Fund has an arrangement with the custodian bank whereby
certain custodian fees and expenses are reduced by net credits
earned on the Fund’s cash on deposit with the bank. Such
deposit arrangements are an alternative to overnight
investments. Credits for cash balances may be offset by charges
for any days on which the Fund overdraws its account at the
custodian bank.
Indemnifications
Under the Fund’s organizational documents, its officers and
trustees are indemnified against certain liabilities arising out
of the performance of their duties to the Fund. In addition, in
the normal course of business, the Fund enters into contracts
that provide general indemnifications to other parties. The
Fund’s maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the
Fund that have not yet occurred. However, the Fund has not had
prior claims or losses pursuant to these contracts and expects
the risk of loss to be remote.
Use of
Estimates
The preparation of financial statements in conformity with U.S.
GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of
increases and decreases in net assets applicable to Common
shares from operations during the reporting period. Actual
results may differ from those estimates.
|
|
|
|
2.
|
Fair Value
Measurements
|
In determining the fair value of the Fund’s investments,
various inputs are used. These inputs 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 management’s
assumptions in determining the fair value of investments).
|
The inputs or methodologies used for valuing securities are not
an indication of the risk associated with investing in those
securities. The following is a summary of the Fund’s fair
value measurements as of December 31, 2010:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities
|
|
$
|
4,031,737
|
|
|
$
|
6,906,181
|
|
|
$
|
12,201,022
|
|
|
$
|
23,138,940
|
|
|
Capital Preferred Securities
|
|
|
1,580,250
|
|
|
|
616,050
|
|
|
|
26,611
|
|
|
|
2,222,911
|
|
|
Short-Term Investments
|
|
|
–
|
|
|
|
5,774,930
|
|
|
|
–
|
|
|
|
5,774,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
5,611,987
|
|
|
$
|
13,297,161
|
|
|
$
|
12,227,633
|
|
|
$
|
31,136,781
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a reconciliation of the Fund’s
Level 3 investments held at the beginning and end of the
measurement period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3
|
|
|
|
|
|
|
|
Level 3
|
|
|
Capital
|
|
|
|
|
|
|
|
Preferred
|
|
|
Preferred
|
|
|
Level 3
|
|
|
|
|
Securities
|
|
|
Securities
|
|
|
Total
|
|
|
Balance at the beginning of period
|
|
$
|
21,794,928
|
|
|
$
|
52,626
|
|
|
$
|
21,847,554
|
|
|
Gains (losses):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses)
|
|
|
(13,090,551
|
)
|
|
|
–
|
|
|
|
(13,090,551
|
)
|
|
Net change in unrealized appreciation (depreciation)
|
|
|
11,006,093
|
|
|
|
(26,611
|
)
|
|
|
10,979,482
|
|
|
Purchases at cost
|
|
|
–
|
|
|
|
596
|
|
|
|
596
|
|
|
Sales at proceeds
|
|
|
(7,509,448
|
)
|
|
|
–
|
|
|
|
(7,509,448
|
)
|
|
Net discounts (premiums)
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
Transfers in to
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
Transfers out of
|
|
|
–
|
|
|
|
–
|
|
|
|
–
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at the end of period
|
|
$
|
12,201,022
|
|
|
$
|
26,611
|
|
|
$
|
12,227,633
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) during the
period of Level 3 securities held as of
December 31, 2010
|
|
$
|
(4,935,420
|
)
|
|
$
|
(26,611
|
)
|
|
$
|
(4,962,031
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended December 31, 2010, the Fund
recognized no significant transfers to/from Level 1,
Level 2 or Level 3.
|
|
|
|
3.
|
Derivative
Instruments and Hedging Activities
|
The Fund records derivative instruments at fair value, with
changes in fair value recognized on the Statement of Operations,
when applicable. Even though the Fund’s investments in
derivatives may represent economic hedges, they are not
considered to be hedge transactions for financial reporting
purposes. The Fund did not invest in derivative instruments
during the six months ended December 31, 2010.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to
Financial Statements
(Unaudited) (continued)
|
Common
Shares
Since the inception of the Fund’s repurchase program, the
Fund has not repurchased any of its outstanding Common shares.
Transactions in Common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
|
|
|
Year
|
|
|
|
|
Ended
|
|
|
Ended
|
|
|
|
|
12/31/10
|
|
|
6/30/10
|
|
|
Common shares issued to shareholders due to reinvestment of
distributions
|
|
|
38,359
|
|
|
|
40,643
|
|
|
|
|
|
|
|
|
|
|
|
FundPreferred
Shares
The Fund redeemed all $78,000,000 of its outstanding
FundPreferred shares during the fiscal year ended June 30,
2009.
|
|
|
|
5.
|
Investment
Transactions
|
Purchases and sales (including maturities but excluding
short-term investments) during the six months ended
December 31, 2010, were as follows:
|
|
|
|
|
|
|
Purchases
|
|
$
|
6,665,263
|
|
|
Sales and maturities
|
|
|
7,620,723
|
|
|
|
|
|
|
|
|
|
|
|
6.
|
Income Tax
Information
|
The following information is presented on an income tax basis.
Differences between amounts for financial statement and federal
income tax purposes are primarily due to timing differences in
recognizing certain gains and losses on investment transactions.
To the extent that differences arise that are permanent in
nature, such amounts are reclassified within the capital
accounts as detailed below. Temporary differences do not require
reclassification. Temporary and permanent differences do not
impact the net asset value of the Fund.
At December 31, 2010, the cost and unrealized appreciation
(depreciation) of investments, as determined on a federal income
tax basis, were as follows:
|
|
|
|
|
|
|
Cost of investments
|
|
$
|
127,428,112
|
|
|
|
|
|
|
|
|
Gross unrealized:
|
|
|
|
|
|
Appreciation
|
|
$
|
309,615
|
|
|
Depreciation
|
|
|
(96,600,946
|
)
|
|
|
|
|
|
|
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
(96,291,331
|
)
|
|
|
|
|
|
|
Permanent differences, primarily due to return of capital
distributions resulted in reclassifications among the
Fund’s components of common share net assets at
June 30, 2010, the Fund’s last tax year, as follows:
|
|
|
|
|
|
|
Paid–in surplus
|
|
$
|
(609,498
|
)
|
|
Undistributed (over–distribution of) net investment income
|
|
|
609,498
|
|
|
Accumulated net realized gain (loss)
|
|
|
–
|
|
|
|
|
|
|
|
The tax components of undistributed net ordinary income and net
long-term capital gains at June 30, 2010, the Fund’s
last tax year end, were as follows:
|
|
|
|
|
|
|
Undistributed net ordinary income*
|
|
$
|
–
|
|
|
Undistributed net long-term capital gains
|
|
|
–
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Net ordinary income consists of net taxable income derived from
dividends, interest, and net short-term capital gains, if any.
Undistributed net ordinary income (on a tax basis) has not been
reduced for the dividend declared on June 1, 2010, paid on
July 1, 2010.
|
The tax character of distributions paid during the Fund’s
last tax year ended June 30, 2010, was designated for
purposes of the dividends paid deduction as follows:
|
|
|
|
|
|
|
Distributions from net ordinary income*
|
|
$
|
2,864,766
|
|
|
Distributions from net long-term capital gains
|
|
|
–
|
|
|
Return of capital
|
|
|
609,498
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Net ordinary income consists of net taxable income derived from
dividends, interest, and net short-term capital gains, if any.
|
At June 30, 2010, the Fund’s last tax year end, the
Fund had unused capital loss carryforwards available for federal
income tax purposes to be applied against future capital gains,
if any. If not applied, the carryforwards will expire as follows:
|
|
|
|
|
|
|
Expiration:
|
|
|
|
|
|
June 30, 2016
|
|
$
|
350,745
|
|
|
June 30, 2017
|
|
|
38,341,520
|
|
|
June 30, 2018
|
|
|
16,472,367
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
55,164,632
|
|
|
|
|
|
|
|
|
|
|
|
7.
|
Management Fees
and Other Transactions with Affiliates
|
The Fund’s management fee consists of two
components – a fund-level fee, based only on the
amount of assets within the Fund, and a complex-level fee, based
on the aggregate amount of all eligible fund assets managed by
the Adviser. This pricing structure enables Fund shareholders to
benefit from growth in the assets within their Fund as well as
from growth in the amount of complex-wide assets managed by the
Adviser.
The annual fund-level fee, payable monthly, is calculated
according to the following schedule:
|
|
|
|
|
|
|
Average Daily Managed
Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $500 million
|
|
|
.7000
|
%
|
|
For the next $500 million
|
|
|
.6750
|
|
|
For the next $500 million
|
|
|
.6500
|
|
|
For the next $500 million
|
|
|
.6250
|
|
|
For managed assets over $2 billion
|
|
|
.6000
|
|
|
|
|
|
|
|
The annual complex-level fee, payable monthly, is calculated
according to the following schedule:
|
|
|
|
|
|
|
Complex-Level Managed Asset
Breakpoint Level*
|
|
Effective Rate at Breakpoint
Level
|
|
$55 billion
|
|
|
.2000
|
%
|
|
$56 billion
|
|
|
.1996
|
|
|
$57 billion
|
|
|
.1989
|
|
|
$60 billion
|
|
|
.1961
|
|
|
$63 billion
|
|
|
.1931
|
|
|
$66 billion
|
|
|
.1900
|
|
|
$71 billion
|
|
|
.1851
|
|
|
$76 billion
|
|
|
.1806
|
|
|
$80 billion
|
|
|
.1773
|
|
|
$91 billion
|
|
|
.1691
|
|
|
$125 billion
|
|
|
.1599
|
|
|
$200 billion
|
|
|
.1505
|
|
|
$250 billion
|
|
|
.1469
|
|
|
$300 billion
|
|
|
.1445
|
|
|
|
|
|
|
|
|
|
|
|
*
|
For the fund-level and complex-level fees, managed assets
include closed-end fund assets managed by the Adviser that are
attributable to financial leverage. For these purposes,
financial leverage includes the funds’ use of preferred
stock and borrowings and certain investments in the residual
interest certificates (also called inverse floating rate
securities) in tender option bond (TOB) trusts, including the
portion of assets held by a TOB trust that has been effectively
financed by the trust’s issuance of floating rate
securities, subject to an agreement by the Adviser as to certain
funds to limit the amount of such assets for determining managed
assets in certain circumstances. The complex-level fee is
calculated based upon the aggregate daily managed assets of all
Nuveen funds that constitute “eligible assets.”
Eligible assets do not include assets attributable to
investments in other Nuveen funds and assets in excess of
$2 billion added to the Nuveen Fund complex in connection
with the Adviser’s assumption of the management of the
former First American Funds effective January 1, 2011. As
of December 31, 2010, the complex-level fee rate was .1831%.
|
The management fee compensates the Adviser for overall
investment advisory and administrative services and general
office facilities. The Adviser has entered into a Sub-Advisory
Agreement with Spectrum, under which Spectrum manages the
investment portfolio of the Fund. Spectrum is compensated for
its services to the Fund from the management fees paid to the
Adviser. Spectrum also receives compensation on certain
portfolio transactions for providing brokerage services to the
Fund.
The Fund pays no compensation directly to those of its trustees
who are affiliated with the Adviser or to its officers, all of
whom receive remuneration for their services to the Fund from
the Adviser or its affiliates. The Board of Trustees has adopted
a deferred compensation plan for independent trustees that
enables trustees to elect to defer receipt of all or a portion
of the annual compensation they are entitled to receive from
certain Nuveen advised funds. Under the plan, deferred amounts
are treated as though equal dollar amounts had been invested in
shares of select Nuveen advised funds.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to
Financial Statements
(Unaudited) (continued)
|
For the first eight years of the Fund’s operations, the
Adviser has agreed to reimburse the Fund, as a percentage of
average daily managed net assets, for fees and expenses in the
amounts and for the time periods set forth below:
|
|
|
|
|
|
|
|
|
|
|
|
Year Ending
|
|
|
|
Year Ending
|
|
|
|
March 31,
|
|
|
|
March 31,
|
|
|
|
2005 *
|
|
|
.30
|
%
|
|
2010
|
|
|
.30
|
%
|
|
2006
|
|
|
.30
|
|
|
2011
|
|
|
.22
|
|
|
2007
|
|
|
.30
|
|
|
2012
|
|
|
.14
|
|
|
2008
|
|
|
.30
|
|
|
2013
|
|
|
.07
|
|
|
2009
|
|
|
.30
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
From the commencement of operations.
|
The Adviser has not agreed to reimburse the Fund for any portion
of its fees and expenses beyond March 31, 2013.
For the six months ended December 31, 2010, the Adviser
waived all of the Fund’s management fees.
Reinvest
Automatically
Easily and Conveniently
Nuveen makes
reinvesting easy. A phone call is all it takes to set up your
reinvestment account.
Nuveen Closed-End
Funds Automatic Reinvestment Plan
Your Nuveen Closed-End Fund allows you to conveniently reinvest
distributions in additional Fund shares.
By choosing to reinvest, you’ll be able to invest money
regularly and automatically, and watch your investment grow
through the power of compounding. Just like distributions in
cash, there may be times when income or capital gains taxes may
be payable on distributions that are reinvested.
It is important to note that an automatic reinvestment plan does
not ensure a profit, nor does it protect you against loss in a
declining market.
Easy and
convenient
To make recordkeeping easy and convenient, each month
you’ll receive a statement showing your total
distributions, the date of investment, the shares acquired and
the price per share, and the total number of shares you own.
How shares are
purchased
The shares you acquire by reinvesting will either be purchased
on the open market or newly issued by the Fund. If the shares
are trading at or above net asset value at the time of
valuation, the Fund will issue new shares at the greater of the
net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your
account will be purchased on the open market. If the Plan Agent
begins purchasing Fund shares on the open market while shares
are trading below net asset value, but the Fund’s shares
subsequently trade at or above their net asset value before the
Plan Agent is able to complete its purchases, the Plan Agent may
cease open-market purchases and may invest the uninvested
portion of the distribution in newly-issued Fund shares at a
price equal to the greater of the shares’ net asset value
or 95% of the shares’ market value on the last business day
immediately prior to the purchase date. Distributions received
to purchase shares in the open market will normally be invested
shortly after the distribution payment date. No interest will be
paid on distributions awaiting reinvestment. Because the market
price of the shares may increase before purchases are completed,
the average purchase price per share may exceed the market price
at the time of valuation, resulting in the acquisition of fewer
shares than if the distribution had been paid in shares issued
by the Fund. A pro rata portion of any applicable brokerage
commissions on open market purchases will be paid by Plan
participants. These commissions usually will be lower than those
charged on individual transactions.
Flexible
You may change your distribution option or withdraw from the
Plan at any time, should your needs or situation change.
You can reinvest whether your shares are registered in your
name, or in the name of a brokerage firm, bank, or other
nominee. Ask your financial advisor if his or her firm will
participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer
the shares to another firm and continue to participate in the
Plan.
The Fund reserves the right to amend or terminate the Plan at
any time. Although the Fund reserves the right to amend the Plan
to include a service charge payable by the participants, there
is no direct service charge to participants in the Plan at this
time.
Call today to
start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan
or to enroll in or withdraw from the Plan, speak with your
financial advisor or call us at (800) 257-8787.
Glossary of Terms
Used in this Report
|
|
|
|
n
|
Average Annual Total Return:
This is a commonly
used method to express an investment’s performance over a
particular, usually multi-year time period. It expresses the
return that would have been necessary each year to equal the
investment’s actual cumulative performance (including
change in NAV or market price and reinvested dividends and
capital gains distributions, if any) over the time period being
considered.
|
|
|
|
n
|
Current Distribution Rate:
Current distribution
rate is based on the Fund’s current annualized monthly
distribution divided by the Fund’s current market price.
The Fund’s monthly distributions to its shareholders may be
comprised of ordinary income, net realized capital gains and, if
at the end of the calendar year the Fund’s cumulative net
ordinary income and net realized gains are less than the amount
of the Fund’s distributions, a tax return of capital.
|
|
|
|
n
|
Net Asset Value (NAV):
A Fund’s NAV per
common share is calculated by subtracting the liabilities of the
Fund from its total assets and then dividing the remainder by
the number of common shares outstanding. Fund NAVs are
calculated at the end of each business day.
|
Board of
Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth
Fund
Manager
Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606
Custodian
State Street Bank & Trust Company
Boston, MA
Transfer Agent
and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI
02940-3071
(800) 257-8787
Legal
Counsel
Chapman and Cutler LLP
Chicago, IL
Independent
Registered
Public Accounting
Firm
Ernst & Young LLP
Chicago, IL
Quarterly
Portfolio of Investments and Proxy Voting Information
You may obtain (i) the Fund’s quarterly portfolio of
investments, (ii) information regarding how the Fund voted
proxies relating to portfolio securities held during the most
recent
twelve-month
period ended June 30, and (iii) a description of the
policies and procedures that the Fund used to determine how to
vote proxies relating to portfolio securities without charge,
upon request, by calling Nuveen Investments toll-free at
(800) 257-8787 or on Nuveen’s website at
www.nuveen.com.
You may also obtain this and other Fund information directly
from the Securities and Exchange Commission (SEC). The SEC may
charge a copying fee for this information. Visit the SEC on-line
at http://www.sec.gov or in person at the SEC’s Public
Reference Room in Washington, D.C. Call the SEC at (202)
942-8090 for room hours and operation. You may also request Fund
information by sending an
e-mail
request to publicinfo@sec.gov or by writing to the SEC’s
Public Reference Section at 100 F Street NE, Washington,
D.C. 20549.
CEO Certification
Disclosure
The Fund’s Chief Executive Officer has submitted to the New
York Stock Exchange (NYSE) the annual CEO certification as
required by Section 303A.12(a) of the NYSE Listed
Company Manual.
The Fund has filed with the SEC the certification of its Chief
Executive Officer and Chief Financial Officer required by
Section 302 of the Sarbanes-Oxley Act.
Common Share
Information
The Fund intends to repurchase shares of its own common stock in
the future at such times and in such amounts as is deemed
advisable. During the period covered by this report, the Fund
repurchased shares of its common stock as shown in the
accompanying table.
|
|
|
|
|
|
|
|
|
|
|
|
Common Shares
|
|
|
|
|
|
Repurchased
|
|
|
|
|
|
|
–
|
|
|
|
|
|
|
|
|
|
Any future repurchases will be reported to shareholders in the
next annual or semi-annual report.
Since 1898, financial advisors and their clients have relied on
Nuveen Investments to provide dependable investment solutions
through continued adherence to proven, longterm investing
principles. Today, we offer a range of high quality equity and
fixed-income solutions designed to be integral components of a
well-diversified core portfolio.
Focused on
meeting investor needs.
Nuveen Investments is a global investment management firm that
seeks to help secure the long-term goals of institutions and
high net worth investors as well as the consultants and
financial advisors who serve them. We market our growing range
of specialized investment solutions under the high-quality
brands of HydePark, NWQ, Nuveen Asset Management, Santa Barbara,
Symphony, Tradewinds and Winslow Capital. In total, Nuveen
Investments managed approximately $195 billion of assets as
of December 31, 2010.
Find out how we
can help you.
To learn more about how the products and services of Nuveen
Investments may be able to help you meet your financial goals,
talk to your financial advisor, or call us at
(800) 257-8787
.
Please read the information provided carefully before you
invest. Investors should consider the investment objective and
policies, risk considerations, charges and expenses of any
investment carefully. Where applicable, be sure to obtain a
prospectus, which contains this and other relevant information.
To obtain a prospectus, please contact your securities
representative or
Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606
. Please read the prospectus carefully
before you invest or send money.
Learn more about Nuveen Funds at:
www.nuveen.com/cef
Nuveen makes
things e-simple.
It only takes a minute to sign up for
e-Reports.
Once enrolled, you’ll receive an
e-mail
as
soon as your Nuveen Fund information is ready—no more
waiting for delivery by regular mail. Just click on the link
within the
e-mail
to
see the report and save it on your computer if you wish.
Free
e-Reports
right to your e-mail!
www.investordelivery.com
If you receive your Nuveen Fund distributions and statements
from your financial advisor or brokerage account.
OR
www.nuveen.com/accountaccess
If you receive your Nuveen Fund distributions and statements
directly from Nuveen.
|
|
|
|
Distributed by
Nuveen Investments, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
|
|
|
ESA-A-1210D
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
|
|
(a)
|
|
See Portfolio of Investments in Item 1.
|
|
|
|
|
(b)
|
|
Not applicable.
|
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the Registrant’s Board implemented after the registrant
last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
|
|
(a)
|
|
The registrant’s principal executive and principal financial
officers, or persons performing similar functions, 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”) (17 CFR 270.30a-3(c))) 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 controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (the
“Exchange Act”)(17 CFR 240.13a-15(b) or 240.15d-15(b)).
|
|
|
|
|
(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
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant’s
internal control over financial reporting.
|
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed “filed” for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.