JFP Nuveen Tax-Advantaged Floating Rate Fund Nuveen Tax-Advantaged Floating Rate Fund Shares of Beneficial Interest

Nuveen Tax-Advantaged Floating Rate Fund

(Exact name of registrant as specified in charter)

   333 West Wacker Drive, Chicago, Illinois 60606   

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary
    333 West Wacker Drive, Chicago, Illinois 60606   

(Name and address of agent for service)

Registrant’s telephone number, including area code:

312-917-7700

Date of fiscal year end:

6/30

Date of reporting period:

3/31/2012

Portfolio of Investments (Unaudited)

Nuveen Tax-Advantaged Floating Rate Fund (JFP)

March 31, 2012

Shares

Description (1)

Coupon

Ratings (2)

Value

Preferred Securities – 41.9% (42.1% of Total Investments)

Capital Markets – 8.6%

85,100

Goldman Sachs Group Inc., Series D

4.000%

 (5)

Baa2

$

1,728,381

1,800

Goldman Sachs Group Inc., (3)

1.307%

 (5)

Baa2

34,938

83,365

Morgan Stanley, Series 2006A, (3)

0.000%

 (5)

BB+

1,558,926

Total Capital Markets

3,322,245

Commercial Banks – 29.2%

5,300

Banco Santander Finance

0.000%

 (5)

BBB

93,969

10,000

Elmira Savings Bank, (MMB) (3), (4)

8.998%

 (5)

N/R

8,446,833

10,000

First Bank of Oak Park Corporation, Series 2005A, 144A, (MMB) (3), (4)

3.224%

 (5)

N/R

25,000

78,371

HSBC USA Inc.

4.500%

 (5)

A

1,909,901

5,000

Regent Bancorp Inc., Series A, (MMB) (3), (4)

8.481%

 (5)

N/R

167,248

10,000

Rogers Bancshares Inc., 144A Series A, (MMB) (3), (4)

4.424%

 (5)

N/R

276,000

10,000

Shorebank Corporation, Series 144A, (MMB) (3), (4)

4.383%

 (5)

N/R

25,000

15,700

SunTrust Bank Inc.

0.000%

 (5)

BB+

329,543

10,000

Vineyard National Bancorp, 144A Series C, 144A, (MMB) (3), (4)

4.367%

 (5)

N/R

—

Total Commercial Banks

11,273,494

Insurance – 4.0%

62,600

MetLife Inc., Series A

4.000%

 (5)

A-

1,534,952

Professional Services – 0.1%

10,000

Blossman Bancshares, Inc., 144A, (MMB) (4)

8.730%

 (5)

N/R

25,000

Total Preferred Securities (cost $73,338,054)

16,155,691

Principal

Amount (000)/

Shares

Description (1)

Coupon

Maturity

Ratings (2)

Value

Capital Preferred Securities – 26.0% (26.0% of Total Investments)

Capital Markets – 8.5%

2,500

Deutsche Bank Capital Funding Trust I, (6)

3.440%

 (5)

12/29/49

BBB

$

1,675,000

1,600

State Street Capital Trust, (6)

8.250%

 (5)

3/15/49

BBB+

1,606,240

Total Capital Markets

3,281,240

Commercial Banks – 12.6%

2,400

Societe Generale, 144A, (6)

1.333%

 (5)

12/31/49

BBB-

1,549,392

2,000

U.S. Bancorp.

3.500%

 (5)

4/15/61

A3

1,580,000

1,800

Wachovia Capital Trust III, (6)

5.570%

 (5)

3/15/42

BBB+

1,701,000

Total Commercial Banks

4,830,392

Insurance – 4.9%

2,000

Aegon N.V. Perpetual Capital Securities, (6)

2.628%

 (5)

7/15/49

Baa1

1,068,900

1,500

AXA SA, (6)

3.675%

 (5)

8/06/49

A3

824,061

Total Insurance

1,892,961

Total Capital Preferred Securities (cost $10,321,334)

10,004,593

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short–Term Investments – 31.8% (31.9% of Total Investments)

$

12,254

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/12, repurchase price $12,253,888, collateralized by $11,535,000 U.S. Treasury Notes, 2.625%, due 4/30/16, value $12,501,056

0.010%

4/02/12

$

12,253,878

Total Short-Term Investments (cost $12,253,878)

12,253,878

Total Investments (cost $95,913,266) – 99.7%

38,414,162

Other Assets Less Liabilities – 0.3%

122,195

Net Assets Applicable to Common Shares – 100%

$

38,536,357

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 March 31, 2012:

Level 1

Level 2

Level 3

Total

Long-Term Investments:

Preferred Securities

$

7,190,610

$

—

$

8,965,081

$

16,155,691

Capital Preferred Securities*

1,580,000

8,424,593

—

10,004,593

Short-Term Investments:

Repurchase Agreement

—

12,253,878

—

12,253,878

Total

$

8,770,610

$

20,678,471

$

8,965,081

$

38,414,162

* Refer to the Fund’s Portfolio of Investments for industry breakdown of Capital Preferred Securities classified as Level 2.

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

Preferred

Capital Preferred

Level 3

Securities

Securities

Total

Balance at the beginning of period

$

17,443,755

$

53,499

$

17,497,254

Gains (losses):

Net realized gains (losses)

(23,897,500

)

(5,002,063

)

(28,899,563)

Net change in unrealized appreciation (depreciation)

24,481,326

4,950,000

29,431,326

Purchases at cost

—

564

564

Sales at proceeds

(9,062,500

)

(2,000

)

(9,064,500)

Net discounts (premiums)

—

—

—

Transfers in to

—

—

—

Transfers out of

—

—

—

Balance at the end of period

$

8,965,081

$

—

$

8,965,081

During the period ended March 31, 2012, the Fund recognized no transfers to or from Level 1, Level 2 or Level 3.

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 on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At March 31, 2012, the cost of investments was $95,913,266.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2012, were as follows:

Gross unrealized:

Appreciation

$      589,434

Depreciation

(58,088,538

)

Net unrealized appreciation (depreciation) of investments

$(57,499,104

)

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 defined 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 applicable to Common Shares unless otherwise noted.

(2)

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors 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)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3.

(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.

(6)

For fair value measurement disclosure purposes, Capital Preferred Security categorized as Level 2.

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.

By (Signature and Title)

/s/ Kevin J. McCarthy

Kevin J. McCarthy

Vice President and Secretary

By (Signature and Title)

/s/ Gifford R. Zimmerman

Gifford R. Zimmerman

Chief Administrative Officer (principal executive officer)

By (Signature and Title)

/s/ Stephen D. Foy

Stephen D. Foy

Vice President and Controller (principal financial officer)