Nuveen Mortgage Opportunity Term Fund 2 (XJMTX) 8-K Results of Operations and Financial Condition

Exhibit 99.1

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

Financial Statements for the Six Months Ended June 30, 2012

(Unaudited)

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

TABLE OF CONTENTS

	Page
Statement of Assets, Liabilities and Partners’ Capital		1
Statement of Operations		2
Statement of Changes in Partners’ Capital		3
Statement of Cash Flows		4

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

Statement of Assets, Liabilities and Partners’ Capital

June 30, 2012

(Unaudited)

(in United States Dollars)

Assets
Investment in Wellington Management Legacy Securities PPIF Master Fund, LP (the “Master Fund”), at fair value	$	867,102,598
Cash		601,476
Total assets	$	867,704,074
Liabilities and partners’ capital
Liabilities
Management fees payable	$	413,232
Professional fees payable		195,559
Due to Limited Partners		172,050
Administration fees payable		47,968
Other accrued expenses		44,456
Total liabilities		873,265
Partners’ capital
General Partner		4,993,391
Limited Partners		861,837,418
Total partners’ capital		866,830,809
Total liabilities and partners’ capital	$	867,704,074

1

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

Statement of Operations

For the Six Months Ended June 30, 2012

(Unaudited)

(in United States Dollars)

Net investment income allocated from Master Fund
Interest income	$	51,924,052
Interest expense		(5,387,780	)
Administration fees		(193,008	)
Professional fees		(30,674	)
Other expenses		(34,802	)
Net investment income allocated from Master Fund		46,277,788
Offshore Feeder expenses
Management fees		796,961
Administration fees		145,349
Professional fees		85,053
Other expenses		19,891
Total Offshore Feeder expenses		1,047,254
Net investment income		45,230,534
Net realized gain (loss) and change in unrealized appreciation (depreciation) allocated from Master Fund
Net realized gain (loss) on:
Investments		12,772,581
Swap contracts		(4,656,362	)
Net change in unrealized appreciation (depreciation) on:
Investments		116,649,130
Swap contracts		(1,042,094	)
UST Warrant		1,493,784
Net realized gain (loss) and change in unrealized appreciation (depreciation) allocated from Master Fund		125,217,039
Net increase in partners’ capital resulting from operations	$	170,447,573

2

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

Statement of Changes in Partners’ Capital

For the Six Months Ended June 30, 2012

(Unaudited)

(in United States Dollars)

				Offshore Cayman Feeders
	General Partner			Advent Legacy Securities, Ltd.			Wellington Management Legacy Securities PPIF (Offshore) Ltd.			Other Limited Partners’			Total
Partners’ capital, at December 31, 2011	$	86,778		$	87,690,177		$	596,509,305		$	28,598,976		$	712,885,236
Distributions
Investment proceeds		(2,000	)		(2,036,000	)		(13,804,000	)		(660,000	)		(16,502,000	)
Net increase in partners’ capital resulting from operations		20,762			20,995,166			142,580,049			6,851,596			170,447,573
Carried interest		4,887,851			(584,051	)		(4,303,800	)		—			—
Partners’ capital, at June 30, 2012	$	4,993,391		$	106,065,292		$	720,981,554		$	34,790,572		$	866,830,809

3

Wellington Management Legacy Securities PPIF (Offshore), LP

(a Delaware limited partnership)

Statement of Cash Flows

For the Six Months Ended June 30, 2012

(Unaudited)

(in United States Dollars)

Cash flows from operating activities:
Net increase in partners’ capital resulting from operations	$	170,447,573
Adjustments to reconcile net increase in partners’ capital resulting from operations to net cash provided by operating activities:
Distributions received from Master Fund		17,801,209
Net investment income allocated from Master Fund		(46,277,788	)
Net realized (gain) loss and change in unrealized (appreciation) depreciation allocated from Master Fund		(125,217,039	)
Increase in management fees payable		66,518
Increase in professional fees payable		16,957
Decrease in administration fees payable		(963	)
Increase in other accrued expenses		682
Net cash provided by operating activities		16,837,149
Cash flows from financing activities:
Distributions		(16,502,000	)
Net cash used in financing activities		(16,502,000	)
Net change in cash		335,149
Cash:
Beginning of period		266,327
End of period	$	601,476

4