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)
Jessica R. Droeger
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: July 31
-------------------
Date of reporting period: January 31, 2007
---------------------
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 STOCKHOLDERS.
SEMIANNUAL REPORT JANUARY 31, 2007
NUVEEN INVESTMENTS
CLOSED-END
FUNDS
NUVEEN
TAX-ADVANTAGED
FLOATING RATE
FUND
JFP
OPPORTUNITIES FOR
TAX-ADVANTAGED MONTHLY
INCOME FROM A PORTFOLIO
CONSISTING PREDOMINANTLY
OF ADJUSTABLE RATE
PREFERRED SECURITIES
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<Table>
WWW.INVESTORDELIVERY.COM OR WWW.NUVEEN.COM/ACCOUNTACCESS
if you get your Nuveen Fund if you get your Nuveen Fund
dividends and statements from dividends and statements directly
your financial advisor or from Nuveen.
brokerage account.
(Be sure to have the address
sheet that accompanied this
report handy. You'll need it to
complete the enrollment process.)
</Table>
NUVEEN LOGO
(TIMOTHY SCHWERTFEGER PHOTO)
Timothy R. Schwertfeger
Chairman of the Board
CHAIRMAN'S
LETTER TO SHAREHOLDERS
Dear Shareholder,
I am very pleased to report that over the six-month period covered by this
report, your Fund continued to provide you with attractive monthly
distributions from a portfolio that over time will primarily be composed
of preferred stocks issued by Middle Market Banks. For more information on
your Fund's performance, please read the Portfolio Managers' Comments, the
Distribution and Share Price Information, and the Performance Overview
sections of this report.
Portfolio diversification is a recognized way to try to reduce some of the
risk that comes with investing. Since one part of your portfolio may be
going up when another is going down, portfolio diversification may help
smooth your investment returns over time. In addition to providing regular
monthly income, an investment like your Fund may help you achieve and
benefit from greater portfolio diversification. Your financial advisor can
explain these potential advantages in more detail. I urge you to contact
him or her soon for more information on this important investment
strategy.
"IN ADDITION TO PROVIDING REGULAR MONTHLY INCOME, AN INVESTMENT LIKE YOUR FUND
MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION."
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering investment services and products that can
help you to secure your financial objectives. We are grateful that you
have chosen us as a partner as you pursue your financial goals, and we
look forward to continuing to earn your trust in the months and years
ahead.
Sincerely,
(TIMOTHY SCHWERTFEGER SIG)
Timothy R. Schwertfeger
Chairman of the Board
March 15, 2007
Nuveen Investments Closed-End Fund (JFP)
PORTFOLIO MANAGERS'
COMMENTS
The Nuveen Tax-Advantaged Floating Rate Fund features portfolio management by a
team of specialists at Spectrum Asset Management, Inc., an affiliate of
Principal Capital(SM). Mark Lieb, Bernie Sussman and Phil Jacoby, who have more
than 70 years of combined experience in the securities markets, lead the team.
Here Mark, Bernie and Phil talk about their management strategy and the
performance of the Fund for the six-month period ended January 31, 2007.
WHAT WERE THE BASIC STRATEGIES AND TACTICS YOU USED TO MANAGE THE FUND DURING
THIS PERIOD?
The Fund's primary investment objective is to provide an attractive level of
after-tax current income by investing primarily in adjustable rate securities
that pay dividends eligible for treatment as qualified dividend income (QDI). To
achieve this objective, we continued to employ the basic strategies and tactics
during this reporting period that we've been using since the Fund's inception in
March 2005. Specifically, we continued our push to increase the Fund's
concentration in the Middle Market Bank sector. At the end of the period, we
owned $120 million in non-cumulative preferred stock issued by 15 Middle Market
Banks and a diversified pool of $5 million capital securities backed by 34
middle market banks. Overall, Middle Market Bank securities represented 43% of
the portfolio as of January 31, 2007, as we continued to work toward our
long-term objective of having 60% of the Fund's assets invested in this sector.
During the period, we also continued to use interest rate swaps to convert some
of our fixed rate securities into floating rate securities. Our use of interest
rate swaps allowed us to maintain a duration of one year or less.
HOW DID THE FUND PERFORM?
The performance of the Fund as well as the performance of a comparative index,
is shown in the nearby chart:
TOTAL RETURN ON NET ASSET VALUE
For the 6-month period ended January 31, 2007
<Table>
JFP 6.18%
- --------------------------------------------------------------------------------------------
Merrill Lynch Adjustable Rate
Preferred Index(1) 5.88%
- --------------------------------------------------------------------------------------------
</Table>
Past performance does not guarantee future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that a shareholder may have to pay on Fund distributions or upon the sale
of Fund shares. For more information, please see the individual Performance
Overview page in this report.
The Fund's total return on Net Asset Value modestly outperformed the Merrill
Lynch Adjustable Rate Preferred Index for the six-month period.
- --------------------------------------------------------------------------------
1 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.
- --------------------------------------------------------------------------------
The positive performance during the period was primarily the result of the high
income from the securities issued by Middle Market Banks and the strong capital
performance
4
from the non-middle market-banking sector, especially in January. We traded over
$50 million of securities during the period and recognized over $1 million of
capital gains. In the Middle Market Bank sector, we added $10 million of
non-cumulative Dividends Received Deduction (DRD) preferred stock issued by
Southern Bancorp, a small retail bank in Arkansas.
On the non-middle market banking side of the Fund's portfolio during the period,
we added some new concentrations while reducing others at a profit. This process
was aided by the robust initial public offering environment and some good entry
points on attractive relative value basis. During the six-month period, we
bought Zions Bank, Bank of America, and Washington Mutual floating rate
securities in the DRD sector, as well as Standard Chartered and MM Community
Funding in the capital securities sector.
Although the Fund did outperform its benchmark over the period, there were
factors that constrained its overall performance. One of these was the rather
limited lack of supply of adjustable rate preferred stock issued by Middle
Market Banks.
5
DISTRIBUTION AND SHARE PRICE
INFORMATION
In addition to owning preferred stocks in its portfolio, the Fund has issued its
own preferred shares, called FundPreferred(R). FundPreferred provides a degree
of financial leverage that can enhance the Fund's returns and supplement the
income available to pay common shareholder distributions, but also can increase
share price volatility. This leveraging strategy provided incremental income and
helped enhance common shareholder distributions over this reporting period. Over
the course of this reporting period, the Fund experienced two monthly
distribution increases. The monthly distribution per share as of January 31,
2007 was $0.080.
During certain periods, the Fund may pay dividends at a rate that may be more or
less than the amount of net investment income actually earned by the Fund during
the period. If a Fund has cumulatively earned more than it has paid in
dividends, it holds the excess in reserve as undistributed net investment income
(UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid
dividends in excess of its earnings, the excess constitutes negative UNII that
is likewise reflected in the Fund's NAV. As of January 31, 2007, JFP had a
positive UNII balance for financial statement purposes and, based on our best
estimate, for tax purposes.
As of January 31, 2007, the Fund was trading at a share price discount of -2.63%
to its net asset value per share. This compares with an average share price
discount of -6.54% for the entire six-month reporting period.
6
Nuveen Tax-Advantaged Floating Rate Fund
JFP
PERFORMANCE
OVERVIEW As of January 31, 2007
(PORTFOLIO ALLOCATION PIE CHART)
(as a % of total investments)
<Table>
- --------------------------------------------------------------------------------------
Preferred Securities 98.6%
- --------------------------------------------------------------------------------------
Corporate Bonds 0.7%
- --------------------------------------------------------------------------------------
Short-Term Investments 0.7%
- --------------------------------------------------------------------------------------
</Table>
* 42.5% of total investments are invested in Middle Market Banks.
(MONTHLY DISTRIBUTIONS BAR CHART)
<Table>
Feb 0.0655
Mar 0.0655
Apr 0.0655
May 0.0655
Jun 0.0720
Jul 0.0720
Aug 0.0720
Sep 0.0745
Oct 0.0745
Nov 0.0745
Dec 0.0800
Jan 0.0800
</Table>
(SHARE PRICE CHART)
<Table>
2/01/06 12.6800
2/03/06 12.6400
2/10/06 12.8000
2/17/06 12.9400
2/24/06 12.9300
2/27/06 13.0000
2/28/06 12.8600
3/01/06 12.9100
3/02/06 12.9600
3/03/06 12.9300
3/10/06 12.9400
3/17/06 12.9900
3/24/06 12.8200
3/31/06 12.9100
4/07/06 12.9300
4/13/06 12.7800
4/21/06 12.7900
4/28/06 12.6900
5/05/06 12.6800
5/12/06 12.5500
5/19/06 12.4300
5/26/06 12.4700
6/02/06 12.6600
6/09/06 12.6500
6/16/06 12.6400
6/23/06 12.8000
6/30/06 12.9200
7/07/06 12.9100
7/14/06 12.9700
7/21/06 13.1600
7/28/06 13.2300
8/04/06 13.2200
8/11/06 13.2600
8/18/06 13.2400
8/25/06 13.2500
9/01/06 13.3200
9/08/06 13.2600
9/15/06 13.4000
9/22/06 13.6400
9/29/06 13.5600
10/06/06 13.7700
10/13/06 13.5500
10/20/06 13.7400
10/27/06 13.6002
11/03/06 13.7300
11/10/06 13.5600
11/17/06 13.4600
11/24/06 13.4900
12/01/06 13.5700
12/08/06 13.8400
12/15/06 13.6000
12/22/06 13.6900
12/29/06 13.7200
1/05/07 13.9133
1/12/07 14.0700
1/19/07 14.3100
1/26/07 14.5500
1/31/07 14.4400
</Table>
FUND SNAPSHOT
<Table>
- -------------------------------------------------------------------------------------
Common Share Price $14.44
- -------------------------------------------------------------------------------------
Common Share
Net Asset Value $14.83
- -------------------------------------------------------------------------------------
Premium/(Discount) to NAV -2.63%
- -------------------------------------------------------------------------------------
Market Yield(1) 6.65%
- -------------------------------------------------------------------------------------
Net Assets Applicable to
Common Shares ($000) $205,383
- -------------------------------------------------------------------------------------
</Table>
AVERAGE ANNUAL TOTAL RETURN
(Inception 3/28/05)
<Table>
<Caption>
- -------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
- -------------------------------------------------------------------------------------
6-Month
(Cumulative) 13.68% 6.18%
- -------------------------------------------------------------------------------------
1-Year 21.36% 10.13%
- -------------------------------------------------------------------------------------
Since
Inception 4.16% 7.79%
- -------------------------------------------------------------------------------------
</Table>
INDUSTRIES
(as a % of total investments)
<Table>
- -------------------------------------------------------------------------------------
Commercial Banks 64.9%
- -------------------------------------------------------------------------------------
Capital Markets 11.7%
- -------------------------------------------------------------------------------------
Insurance 11.2%
- -------------------------------------------------------------------------------------
Thrifts & Mortgage Finance 5.5%
- -------------------------------------------------------------------------------------
U.S. Agency 3.1%
- -------------------------------------------------------------------------------------
Consumer Finance 2.9%
- -------------------------------------------------------------------------------------
Short-Term Investments 0.7%
- -------------------------------------------------------------------------------------
</Table>
1 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 and net realized
capital gains if any.
2 The Fund paid shareholders capital gains and net ordinary income distributions
in December 2006 of $0.0531 per share.
7
Shareholder
MEETING REPORT
<Table>
<Caption>
JFP
- -----------------------------------------------------------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common and
FundPreferred FundPreferred
shares voting shares voting
together together
as a class as a class
- -----------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner
For 13,309,267 --
Withhold 103,023 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown
For 13,308,562 --
Withhold 103,728 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans
For 13,309,467 --
Withhold 102,823 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
William C. Hunter
For 13,309,267 --
Withhold 103,023 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
David J. Kundert
For 13,310,267 --
Withhold 102,023 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
William J. Schneider
For -- 2,603
Withhold -- 1
- -----------------------------------------------------------------------------------------------------------------------------------
Total -- 2,604
- -----------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger
For -- 2,603
Withhold -- 1
- -----------------------------------------------------------------------------------------------------------------------------------
Total -- 2,604
- -----------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale
For 13,307,267 --
Withhold 105,023 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine
For 13,310,267 --
Withhold 102,023 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total 13,412,290 --
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
8
Nuveen Tax-Advantaged Floating Rate Fund (JFP)
Portfolio of
INVESTMENTS January 31, 2007 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT (000)/
SHARES DESCRIPTION (1) COUPON RATINGS (2) VALUE
- --------------------------------------------------------------------------------------------------------------------------------
PREFERRED SECURITIES - 135.3% (98.6% OF TOTAL INVESTMENTS)
CAPITAL MARKETS - 16.0%
300,000 Goldman Sachs Group Inc., (3) 6.124%(4) A $ 7,890,000
200,000 Lehman Brothers Holdings Inc., Series G, (3) 6.070%(4) A- 5,220,000
200,000 Merrill Lynch & Co., Inc., (3) 6.120%(4) A 5,272,000
200,000 Morgan Stanley, Series 2006A, (3) 6.060%(4) A2 5,288,500
80 Richmond County Capital Corporation, 144A Series B 8.250% N/R 8,282,500
35,600 UBS Preferred Funding Trust IV, (3) 6.020%(4) AA- 907,800
- --------------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 32,860,800
----------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 88.3%
9,000 ABN AMRO North America Capital Funding, 144A, (3) 6.968% A2 9,697,500
8,561 Banco Santander 144A 6.800% A2 215,363
97,017 Banco Santander, (3) 6.410% A2 2,443,858
120,000 Bank of America Corporation, Series D, (3) 6.204% A1 3,192,000
135,000 Bank of America Corporation, Series E, (3) 5.725%(4) A1 3,450,938
5,000 Barclays Bank PLC (5) 6.278% Aa3 4,887,500
7,000 City National Bancshares Corporation, Series F, 8.533% N/R 7,271,250
144A, (3) (MMB)
20,000 Cobank ABC, 144A, (3) 7.000% N/R 1,018,020
1,000 CoreStates Capital Trust III, 144A 5.944%(4) A1 974,753
10,000 FBOP Corporation, Series 2005A, 144A, (MMB) 8.106%(4) N/R 10,403,125
7,000 First Tennessee Bank, 144A, (3) 6.213%(4) A3 7,283,500
10,000 Heartland Bank, Series A, (3) (MMB) 9.313%(4) N/R 10,387,500
300,000 HSBC USA Inc., (3) 6.110%(4) A 7,875,000
5,000 MidCarolina Financial Corporation, 144A, (3) (MMB) 8.342% N/R 5,193,750
10,000 Pedcor Bancorp, Series A, (3) (MMB) 9.080%(4) N/R 10,424,998
5,000 Pedcor Financial Bancorp., (3) (MMB) 9.080%(4) N/R 5,207,813
1,000 PNC Preferred Funding Trust 6.517% A- 1,027,349
5,000 Regent Bancorp Inc., Series A, (3) (MMB) 8.481% N/R 5,192,188
10,000 River Valley Bancorp, Series A, (3) (MMB) 9.315%(4) N/R 10,384,375
10,000 Rogers Bancshares Inc., 144A Series A, (3) (MMB) 9.315%(4) N/R 10,390,625
6,500 SG Preferred Capital II LLC, (3) 6.302% A+ 6,772,188
10,000 Shorebank Corporation, 144A, (3) (MMB) 9.160%(4) N/R 10,384,375
5,000 Sleepy Hollow Bank, 144A Series A, (3) (MMB) 9.160%(4) N/R 5,192,188
1,000 St. George Funding Company LLC, 144A 8.485% A3 1,048,812
1,000 Southern Bancorp Inc., (3) (MMB) 9.310%(4) N/R 10,253,125
200,000 SunTrust Bank Inc., (3) 5.895%(4) A2 5,300,000
3,500 Truman Bancorp Inc., (3) (MMB) 9.330%(4) N/R 3,635,625
235,000 U.S. Bancorp, Series 2006B, (3) 5.964%(4) A1 6,242,188
10,000 Vineyard National Bancorp, 144A Series C, (3) 9.160%(4) N/R 10,381,250
(MMB)
200,000 Zions Bancorporation (3) 5.885%(4) Baa2 5,112,500
- --------------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 181,243,656
----------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 4.0%
79,200 SLM Corporation, (3) 6.056%(4) BBB+ 8,306,100
- --------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 15.3%
386,500 Aegon N.V., (3) 6.375% A- 9,983,295
146,200 MetLife Inc., Series B, (3) 6.500% Baa1 3,905,002
1,200 Oil Insurance Limited, 144A 7.550% Baa1 1,242,620
320,000 Prudential PLC, (3) 6.500% A- 8,256,000
2,000 Twin Reefs Trust Pass Through to XL Financial 6.320%(4) Aa2 2,007,022
Assurance Ltd. Preferred Stock Series B
6,000 Zurich RegCaPS Funding Trust VI, 144A, (3) 6.086%(4) Baa2 6,078,750
- --------------------------------------------------------------------------------------------------------------------------------
Total Insurance 31,472,689
----------------------------------------------------------------------------------------------------------------
</Table>
9
Nuveen Tax-Advantaged Floating Rate Fund (JFP) (continued)
Portfolio of INVESTMENTS January 31, 2007 (Unaudited)
<Table>
<Caption>
PRINCIPAL
AMOUNT (000)/
SHARES DESCRIPTION (1) COUPON RATINGS (2) VALUE
- --------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 7.5%
5,000 MM Community Funding Trust XVIII Limited, Class D 7.165%(4) N/R $ 5,002,500
5,000 RMG Capital Corporation, (3) (MMB) 9.450%(4) N/R 5,193,750
200,000 Washington Mutual Inc. (3) 6.065%(4) BBB 5,176,000
- --------------------------------------------------------------------------------------------------------------------------------
Total Thrifts & Mortgage Finance 15,372,250
----------------------------------------------------------------------------------------------------------------
U.S. AGENCY - 4.2%
40,000 Federal Home Loan Mortgage Corporation, Corporate 5.570% AA- 1,000,000
Debt, (3)
19,600 Federal Home Loan Mortgage Corporation, (3) 6.140% Aa3 983,528
14,000 Federal Home Loan Mortgage Corporation, (3) 5.190%(4) AA- 655,200
71,000 Federal Home Loan Mortgage Corporation, (3) 5.100% AA- 3,334,785
58,100 Federal Home Loan Mortgage Corporation, (3) 5.090%(4) AA- 2,739,415
- --------------------------------------------------------------------------------------------------------------------------------
Total U.S. Agency 8,712,928
----------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED SECURITIES (COST $271,708,904) 277,968,423
================================================================================================================
<Caption>
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY RATINGS (2) VALUE
- --------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 1.0% (0.7% OF TOTAL INVESTMENTS)
COMMERCIAL BANKS - 1.0%
$ 2,000 Standard Chartered PLC, 144A 6.409% 1/30/57 BBB+ $ 1,971,006
- --------------------------------------------------------------------------------------------------------------------------------
$ 2,000 TOTAL CORPORATE BONDS (COST $2,000,000) 1,971,006
================================================================================================================================
<Caption>
PRINCIPAL
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY VALUE
- --------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.9% (0.7% OF TOTAL INVESTMENTS)
$ 1,864 Repurchase Agreement with Fixed Income Clearing 5.000% 2/01/07 $ 1,863,793
Corporation, dated 1/31/07, repurchase price
$1,864,052, collateralized by $1,410,000 U.S.
Treasury Bonds, 8.125%, due 8/15/21, value
$1,902,925
========== ----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $1,863,793) 1,863,793
================================================================================================================
TOTAL INVESTMENTS (COST $275,572,697) - 137.2% 281,803,222
================================================================================================================
OTHER ASSETS LESS LIABILITIES - 0.8% 1,579,393
================================================================================================================
PREFERRED SHARES, AT LIQUIDATION VALUE - (38.0)% (78,000,000)
================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 205,382,615
================================================================================================================
</Table>
10
INTEREST RATE SWAPS OUTSTANDING AT JANUARY 31, 2007:
<Table>
<Caption>
FUND FIXED RATE UNREALIZED
NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT TERMINATION APPRECIATION
COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs $7,000,000 Receive 3-Month USD-LIBOR 4.563% Semi-Annually 9/29/10 $ 80,732
Goldman Sachs 1,500,000 Receive 3-Month USD-LIBOR 5.278 Semi-Annually 12/09/35 39,825
Goldman Sachs 8,700,000 Receive 3-Month USD-LIBOR 5.788 Semi-Annually 6/02/36 (425,734)
JPMorgan 5,000,000 Receive 3-Month USD-LIBOR 4.592 Semi-Annually 8/15/10 54,147
JPMorgan 5,000,000 Receive 3-Month USD-LIBOR 4.511 Semi-Annually 8/31/10 66,590
JPMorgan 1,300,000 Receive 3-Month USD-LIBOR 4.962 Semi-Annually 7/27/35 93,274
JPMorgan 1,500,000 Receive 3-Month USD-LIBOR 5.436 Semi-Annually 9/11/36 (15,315)
Morgan Stanley 3,000,000 Receive 3-Month USD-LIBOR 4.590 Semi-Annually 7/15/15 145,263
Morgan Stanley 6,500,000 Receive 3-Month USD-LIBOR 4.850 Semi-Annually 7/14/35 570,423
Morgan Stanley 4,000,000 Receive 3-Month USD-LIBOR 4.880 Semi-Annually 7/15/35 334,242
Morgan Stanley 1,750,000 Receive 3-Month USD-LIBOR 4.900 Semi-Annually 7/18/35 141,387
Morgan Stanley 1,700,000 Receive 3-Month USD-LIBOR 4.930 Semi-Annually 7/21/35 129,919
-----------------------------------------------------------------------------------------------------------------------------
$ 1,214,753
=============================================================================================================================
</Table>
USD-LIBOR (United States Dollar - London Inter-Bank Offered Rate)
<Table>
(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 higher of Standard & Poor's or Moody's rating. Ratings below BBB by
Standard & Poor's Group or Baa by Moody's Investor Service, Inc. are considered to be
below investment grade.
(3) Investment is eligible for the Dividends Received Deduction.
(4) 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.
(5) Portion of the Investment, with an aggregate market value of $537,625, has been pledged to
collateralize the net payment obligations under interest rate swap contracts.
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.
</Table>
See accompanying notes to financial statements.
11
Statement of
ASSETS AND LIABILITIES January 31, 2007 (Unaudited)
<Table>
- ---------------------------------------------------------------------------
ASSETS
Investments, at value (cost $275,572,697) $281,803,222
Unrealized appreciation on interest rate swaps 1,519,930
Receivables:
Dividends 464,415
Interest 150,231
Other assets 8,627
- ---------------------------------------------------------------------------
Total assets 283,946,425
- ---------------------------------------------------------------------------
LIABILITIES
Unrealized depreciation on interest rate swaps 305,177
Accrued expenses:
Management fees 139,165
Other 54,724
FundPreferred shares dividends payable 64,744
- ---------------------------------------------------------------------------
Total liabilities 563,810
- ---------------------------------------------------------------------------
FundPreferred shares, at liquidation value 78,000,000
- ---------------------------------------------------------------------------
Net assets applicable to Common shares $205,382,615
- ---------------------------------------------------------------------------
Common shares outstanding 13,851,500
- ---------------------------------------------------------------------------
Net asset value per Common share outstanding (net assets
applicable to
Common shares, divided by Common shares outstanding) $ 14.83
- ---------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
- ---------------------------------------------------------------------------
Common shares, $.01 par value per share $ 138,515
Paid-in surplus 196,283,913
Undistributed (Over-distribution of) net investment income 876,849
Accumulated net realized gain (loss) from investments and
derivative transactions 638,060
Net unrealized appreciation (depreciation) of investments
and derivative transactions 7,445,278
- ---------------------------------------------------------------------------
Net assets applicable to Common shares $205,382,615
- ---------------------------------------------------------------------------
Authorized shares:
Common Unlimited
FundPreferred Unlimited
- ---------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
12
Statement of
OPERATIONS Six Months Ended January 31, 2007 (Unaudited)
<Table>
- -----------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 9,288,524
Interest 668,796
- -----------------------------------------------------------------------------
Total investment income 9,957,320
- -----------------------------------------------------------------------------
EXPENSES
Management fees 1,248,683
FundPreferred shares - auction fees 98,302
FundPreferred shares - dividend disbursing agent fees 3,277
Shareholders' servicing agent fees and expenses 94
Custodian's fees and expenses 33,904
Trustees' fees and expenses 3,810
Professional fees 20,865
Shareholders' reports - printing and mailing expenses 24,139
Stock exchange listing fees 4,952
Investor relations expense 18,017
Other expenses 20,376
- -----------------------------------------------------------------------------
Total expenses before custodian fee credit and expense
reimbursement 1,476,419
Custodian fee credit (3,103)
Expense reimbursement (423,101)
- -----------------------------------------------------------------------------
Net expenses 1,050,215
- -----------------------------------------------------------------------------
Net investment income 8,907,105
- -----------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments 1,180,868
Net realized gain (loss) from interest rate swaps 17,853
Change in net unrealized appreciation (depreciation) of
investments 4,719,552
Change in net unrealized appreciation (depreciation) of
interest rate swaps (835,303)
- -----------------------------------------------------------------------------
Net realized and unrealized gain (loss) 5,082,970
- -----------------------------------------------------------------------------
DISTRIBUTIONS TO FUNDPREFERRED SHAREHOLDERS
From net investment income (1,709,329)
From accumulated net realized gains (207,567)
- -----------------------------------------------------------------------------
Decrease in net assets applicable to Common shares from
distributions to FundPreferred shareholders (1,916,896)
- -----------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common
shares from operations $ 12,073,179
- -----------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
13
Statement of
CHANGES IN NET ASSETS (Unaudited)
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED
1/31/07 7/31/06
- ----------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 8,907,105 $ 15,231,129
Net realized gain (loss) from investments 1,180,868 (710,382)
Net realized gain (loss) from interest rate swaps 17,853 1,078,190
Change in net unrealized appreciation
(depreciation) of investments 4,719,552 1,602,977
Change in net unrealized appreciation
(depreciation) of interest rate swaps (835,303) 1,696,446
Distributions to Preferred Shareholders:
From net investment income (1,709,329) (3,128,299)
From accumulated net realized gains (207,567) --
- ----------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares from operations 12,073,179 15,770,061
- ----------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (6,309,356) (11,067,348)
From accumulated net realized gains (735,515) --
- ----------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares
from distributions to Common shareholders (7,044,871) (11,067,348)
- ----------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Common share offering cost adjustments -- 25,050
FundPreferred shares offering costs adjustments -- (18,509)
- ----------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares from capital share transactions -- 6,541
- ----------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares 5,028,308 4,709,254
Net assets applicable to Common shares at the
beginning of period 200,354,307 195,645,053
- ----------------------------------------------------------------------------------
Net assets applicable to Common shares at the end
of period $205,382,615 $200,354,307
- ----------------------------------------------------------------------------------
Undistributed (Over-distribution of) net
investment income at the end of period $ 876,849 $ (11,571)
- ----------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
14
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
Nuveen Tax-Advantaged Floating Rate Fund (the "Fund") is a diversified,
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 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
primarily in adjustable rate securities that are eligible to pay dividends
consisting primarily of tax-advantaged dividend income.
The Fund expects that substantially all of its portfolio of investments will be
comprised of securities issued by banking companies and other financial
institutions which may make the Fund more susceptible to adverse economic or
regulatory occurrences affecting these institutions. 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 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 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.
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. 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 Board of Trustees of the Fund 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 Fund may engage an independent appraiser to
periodically provide an independent determination of fair value of the preferred
stocks issued by middle market banks. Short-term investments are valued at
amortized cost, which approximates market value.
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.
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. 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 maintains liquid
assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At January 31, 2007, the Fund
had no such outstanding purchase commitments.
Investment Income
Dividend income is recorded on the ex-dividend date or, for foreign securities,
when information is available. Interest income, which includes the amortization
of premiums and accretion of discounts for financial reporting purposes, is
recorded on an accrual basis.
Federal Income Taxes
The Fund intends to distribute substantially all net investment income and net
capital gains, if any, 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.
15
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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. generally accepted accounting
principles.
The Fund declares monthly distributions to Common shareholders. Net realized
capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
FundPreferred Shares
The Fund has issued and outstanding 3,120 Series Th FundPreferred shares,
$25,000 stated value per share, as a means of effecting financial leverage. The
dividend rate paid by the Fund is determined every seven days, pursuant to a
dutch auction process overseen by the auction agent, and is payable at the end
of each rate period.
Interest Rate Swap Transactions
The Fund is authorized to invest in certain derivative financial instruments.
The Fund's use of interest rate swap transactions is intended to synthetically
convert certain Fund positions in fixed-rate securities effectively into
adjustable rate instruments and thereby shorten the average interest rate reset
time and duration of the Fund's portfolio of investments. Interest rate swap
transactions involve the Fund's agreement with the counterparty to pay a
semiannual fixed rate payment in exchange for the counterparty paying the Fund a
quarterly variable rate payment. The payment obligations are based on the
notional amount of the interest rate swap contract. Interest rate swaps do not
involve the delivery of securities or other underlying assets or principal.
Accordingly, the risk of loss with respect to the swap counterparty on such
transactions is limited to the net amount of interest payments that the Fund is
to receive. Interest rate swap positions are valued daily. The Fund accrues the
fixed rate payment expected to be paid and the variable rate payment expected to
be received on interest rate swap contracts on a daily basis, and for the daily
changes in the market value of the Fund's contractual rights and obligations
under the contracts, with the net amount recorded within net unrealized
appreciation (depreciation) on interest rate swaps on the Statement of Assets
and Liabilities. Once periodic payments are settled in cash, the net amount is
recorded as net realized gain (loss) from interest rate swaps, in addition to
net realized gain (loss) recorded upon the termination of interest rate swap
contracts on the Statement of Operations. For tax purposes, periodic payments
are treated as ordinary income or expense. Although there are economic
advantages of entering into interest rate swap transactions, there are also
additional risks. The Fund helps manage the credit risks associated with
interest rate swap transactions by entering into agreements only with
counterparties the Adviser believes have the financial resources to honor their
obligations and by having the Adviser continually monitor the financial
stability of the swap counterparties. In addition, all counterparties are
required to pledge collateral daily (based on the daily valuation of each swap)
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 on a swap contract, 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 interest rate
swap 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 seller
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 credits earned on the Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
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.
16
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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. FUND SHARES
The Fund did not engage in transactions in its own shares during the six months
ended January 31, 2007, nor during the fiscal year ended July 31, 2006.
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding short-term investments and derivative
transactions) during the six months ended January 31, 2007, aggregated
$50,655,192 and $50,089,396, respectively.
4. 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 the recognition of premium amortization on debt securities, and
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 values of the
Fund. Certain income tax information below, including the cost of investments
and unrealized appreciation (depreciation) of investments are as of January 31,
2007, while other income tax information, including undistributed net ordinary
income, undistributed net long-term capital gains, distributions from net
ordinary income and distributions from net long-term capital gains are as of
June 30, 2006, the Fund's last tax year end.
At January 31, 2007, the cost of investments was $275,586,372.
The net unrealized appreciation of investments at January 31, 2007, aggregated
$6,216,850, of which $7,086,294 related to appreciated securities and $869,444
related to depreciated securities.
The tax components of undistributed net ordinary income and net long-term
capital gains at June 30, 2006, the Fund's last tax year end, were as follows:
<Table>
- ------------------------------------------------------------------------------
Undistributed net ordinary income * $1,559,288
Undistributed net long-term capital gains --
- ------------------------------------------------------------------------------
</Table>
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
The tax character of distributions paid during the Funds' last tax year ended
June 30, 2006, was designated for purposes of the dividends paid deduction as
follows:
<Table>
- ------------------------------------------------------------------------------
Distributions from net ordinary income * $13,943,288
Distributions from net long-term capital gains --
- ------------------------------------------------------------------------------
</Table>
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
The Fund elected to defer net realized losses from investments incurred from
November 1, 2005 through June 30, 2006 ("post-October losses") in accordance
with Federal income tax regulations. Post-October losses of $139,221 were
treated as having arisen on the first day of the current fiscal year.
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only on
the amount of assets within the Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual 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 based upon the average daily
Managed Assets of the Fund as follows:
<Table>
<Caption>
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
- ------------------------------------------------------------------------------
</Table>
17
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of January 31, 2007, the complex-level fee rate was .1844%.
<Table>
<Caption>
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
- ------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
- ------------------------------------------------------------------------------
</Table>
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
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 Asset Management, Inc. ("Spectrum"),
under which Spectrum manages the investment portfolio of the Fund. Spectrum is
compensated for its services to the Fund from the management fee 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.
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 Assets, for fees
and expenses in the amounts and for the time periods set forth below:
<Table>
<Caption>
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
- -------------------------------------------------------------------------------
</Table>
* 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.
18
6. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. Recent SEC guidance allows funds
to delay implementing FIN 48 into NAV calculations until the fund's last NAV
calculation in the first required financial statement period. As a result, the
Fund must begin to incorporate FIN 48 into its NAV calculation by July 31, 2007.
At this time, management is continuing to evaluate the implications of FIN 48
and does not expect the adoption of FIN 48 will have a significant impact on the
net assets or results of operations of the Fund.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
The changes to current generally accepted accounting principles from the
application of this standard relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. As of January 31, 2007, the Fund does not believe the adoption of
SFAS No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
7. SUBSEQUENT EVENTS
Distributions to Common Shareholders
The Fund declared a $.0800 per Common share dividend distribution from its net
investment income which was paid on March 1, 2007, to shareholders of record on
February 15, 2007.
19
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
<Table>
<Caption>
Investment Operations Less Distributions
--------------------------------------------------------------- -----------------------------
Distributions
from Net Distributions Net
Beginning Investment from Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ FundPreferred FundPreferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income(a) Gain holders+ holders+ Total holders holders Total
- -----------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2007(c) $ 14.46 $ .64 $ .38 $ (.12) $ (.02) $0.88 $ (.46) $ (.05) $(.51)
2006 14.12 1.10 .27 (.23) -- 1.14 (.80) -- (.80)
2005(b) 14.33 .15 .02 (.03) -- .14 (.20) -- (.20)
- -----------------------------------------------------------------------------------------------------------------------------------
<Caption>
Offering
Costs, Fund
Structuring
Fee and Ending
FundPreferred Common
Share Share Ending
Underwriting Net Asset Market
Discounts Value Value
- ----------------------------------------------------------
Year Ended 7/31:
2007(c) $ -- $ 14.83 $ 14.44
2006 -- 14.46 13.18
2005(b) (.15) 14.12 13.42
- ----------------------------------------------------------
</Table>
* Annualized.
** Total Return 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. Total Return 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. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement, where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to FundPreferred
shareholders; income ratios reflect income earned on assets attributable to
FundPreferred shares.
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the period March 28, 2005 (commencement of operations) through July
31, 2005.
(c) For the six months ended January 31, 2007.
20
<Table>
<Caption>
Ratios/Supplemental Data
----------------------------------------------------------------------------------------
Ratios to Average Net Assets Ratios to Average Net Assets
Applicable to Common Shares Applicable to Common Shares
Total Returns Before Credit/Reimbursement After Credit/Reimbursement***
----------------- ----------------------------- -----------------------------
Based
on
Common Ending
Based Share Net Assets
on Net Applicable Net Net Portfolio
Market Asset to Common Investment Investment Turnover
Value** Value** Shares (000) Expenses++ Income++ Expenses++ Income++ Rate
- -----------------------------------------------------------------------------------------------------------------
13.68% 6.18% $ 205,383 1.45%* 8.34%* 1.03%* 8.76%* 18%
4.52 8.28 200,354 1.45 7.29 1.03 7.71 38
(9.24) (.08) 195,645 1.26* 2.88* .90* 3.25* 19
- -----------------------------------------------------------------------------------------------------------------
<Caption>
FundPreferred Shares at End of Period
---------------------------------------
Aggregate Liquidation
Amount and Market Asset
Outstanding Value Coverage
(000) Per Share Per Share
- --------------------------------------------
$ 78,000 $ 25,000 $ 90,828
78,000 25,000 89,216
78,000 25,000 87,707
- --------------------------------------------
</Table>
See accompanying notes to financial statements.
21
Reinvest Automatically
EASILY AND CONVENIENTLY
NUVEEN CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or
capital gains 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.
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 dividends and 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
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO
SET UP YOUR REINVESTMENT ACCOUNT.
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. Dividends and distributions
received to purchase shares in the open market will normally be invested shortly
after the dividend payment date. No interest will be paid on dividends and
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 dividend or 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. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
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 investment 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 DIVIDENDS AND/OR 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.
22
OTHER USEFUL
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
The Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
most recent 12-month period ended June 30, 2006, and (iii) a description of the
policies and procedures that the Fund used to determine how to vote proxies
relating to portfolio securities are available 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 1-202-942-8090
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 450 Fifth Street NW, Washington, D.C. 20549.
GLOSSARY OF TERMS USED IN THIS REPORT
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.
MARKET YIELD: 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 calendar year the Funds'
cumulative net ordinary income and net realized gains are less than the amount
of the Fund's distributions, a tax return of capital.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carole E. Stone
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
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
The Fund intends to repurchase shares of its common and preferred stock in the
future at such time and in such amounts as is deemed desirable. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
23
(BACK COVER PHOTO)
NUVEEN INVESTMENTS:
SERVING INVESTORS
FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past
century, Nuveen Investments has adhered to the belief that the best
approach to investing is to apply conservative risk-management principles
to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that are integral to a well-diversified core
portfolio. Our clients have come to appreciate this diversity, as well as
our continued adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT
NEEDS.
Managing approximately $162 billion in assets, as of December 31, 2006,
Nuveen Investments offers access to a number of different asset classes
and investing solutions through a variety of products. Nuveen Investments
markets its capabilities under six distinct brands: NWQ, specializing in
value-style equities; Nuveen, managing fixed-income investments; Santa
Barbara, committed to growth equities; Tradewinds, specializing in global
value equities; Rittenhouse, focused on "blue-chip" growth equities; and
Symphony, with expertise in alternative investments as well as equity and
income portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers,
talk to your financial advisor, or call us at (800) 257-8787. Please read
the information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should
consider the investment objective and policies, risk considerations,
charges and expenses of the Fund carefully before investing. The
prospectus contains this and other information relevant to an investment
in the Fund. For 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
- Share prices
- Fund details
- Daily financial news
- Investor education
- Interactive planning tools
ESA-D-0107D
NUVEEN LOGO
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.
See Portfolio of Investments in Item 1.
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 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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Tax-Advantaged Floating Rate Fund
By (Signature and Title)* /s/ Jessica R. Droeger
---------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: April 9, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
---------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: April 9, 2007
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: April 9, 2007
* Print the name and title of each signing officer under his or her signature.