UNITED STATES | ||
SECURITIES AND EXCHANGE COMMISSION | ||
Washington, D.C. 20549 | ||
FORM N-Q | ||
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED | ||
MANAGEMENT INVESTMENT COMPANIES | ||
Investment Company Act file number 811- 21416 | ||
John Hancock Tax-Advantaged Dividend Income Fund | ||
(Exact name of registrant as specified in charter) | ||
601 Congress Street, Boston, Massachusetts 02210 | ||
(Address of principal executive offices) (Zip code) | ||
Salvatore Schiavone, Treasurer | ||
601 Congress Street | ||
Boston, Massachusetts 02210 | ||
(Name and address of agent for service) | ||
Registrant's telephone number, including area code: 617-663-4497 | ||
Date of fiscal year end: | December 31 | |
Date of reporting period: | May 31, 2009 |
ITEM 1. SCHEDULE OF INVESTMENTS
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
March 31, 2009 (Unaudited)
Issuer | Shares | Value |
Common stocks 92.43% | $316,644,347 | |
(Cost $427,636,516) | ||
Electric Utilities 17.36% | 59,465,400 | |
American Electric Power Co., Inc. (Z) | 515,000 | 13,008,900 |
Duke Energy Corp. (Z) | 685,000 | 9,809,200 |
Great Plains Energy, Inc. (Z) | 40,000 | 538,800 |
Pinnacle West Capital Corp. (Z) | 215,000 | 5,710,400 |
Progress Energy, Inc. (Z) | 585,000 | 21,212,100 |
Southern Co. (Z) | 300,000 | 9,186,000 |
Gas Utilities 10.41% | 35,657,316 | |
Atmos Energy Corp. (Z) | 741,800 | 17,150,416 |
Northwest Natural Gas Co. (Z) | 150,000 | 6,513,000 |
ONEOK, Inc. (Z) | 530,000 | 11,993,900 |
Industrial Conglomerates 1.36% | 4,650,600 | |
General Electric Co. (Z) | 460,000 | 4,650,600 |
Integrated Oil & Gas 1.57% | 5,396,600 | |
Total SA ADR (Z) | 110,000 | 5,396,600 |
Integrated Telecommunication Services 0.11% | 371,813 | |
Alaska Communications Systems Group, Inc. (Z) | 55,000 | 368,500 |
Fairpoint Communications, Inc. (Z) | 4,248 | 3,313 |
Multi-Utilities 54.86% | 187,943,489 | |
Ameren Corp. (Z) | 555,000 | 12,870,450 |
Black Hills Corp. (Z) | 510,100 | 9,125,689 |
CH Energy Group, Inc. (Z) | 375,000 | 17,587,500 |
Consolidated Edison, Inc. (Z) | 300,000 | 11,883,000 |
Dominion Resources, Inc. (Z) | 375,000 | 11,621,250 |
DTE Energy Co. (Z) | 600,000 | 16,620,000 |
Integrys Energy Group, Inc. (Z) | 580,000 | 15,103,200 |
NiSource, Inc. (Z) | 790,500 | 7,746,900 |
NSTAR (Z) | 610,000 | 19,446,800 |
OGE Energy Corp. (Z) | 775,000 | 18,460,500 |
PNM Resources, Inc. (Z) | 58,000 | 479,080 |
Public Service Enterprise Group, Inc. (Z) | 330,000 | 9,725,100 |
TECO Energy, Inc. (Z) | 387,800 | 4,323,970 |
Vectren Corp. (Z) | 785,000 | 16,555,650 |
Xcel Energy, Inc. (Z) | 880,000 | 16,394,400 |
Oil & Gas Storage & Transportation 4.77% | 16,331,700 | |
Spectra Energy Corp. (Z) | 1,155,000 | 16,331,700 |
Publishing 0.00% | 966 | |
Idearc, Inc. (Z) | 26,830 | 966 |
Wireless Telecommunication Services 1.99% | 6,826,463 | |
Vodafone Group PLC, ADR (Z) | 391,875 | 6,826,463 |
Page 1 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
March 31, 2009 (Unaudited)
Credit | |||
Issuer, description | rating (A) | Shares | Value |
Preferred Stocks 70.61% | $241,900,517 | ||
(Cost $396,922,832) | |||
Broadcasting & Cable TV 0.60% | 2,059,000 | ||
CBS Corp. , 7.250% | BBB | 145,000 | 2,059,000 |
Cable & Satellite 0.73% | 2,502,470 | ||
Comcast Corp. , 7.000% (Z) | BBB+ | 125,500 | 2,502,470 |
Consumer Finance 0.90% | 3,094,750 | ||
HSBC Finance Corp. , 6.360%, Depositary Shares, Ser B (Z) | BBB | 150,000 | 1,180,500 |
HSBC Holdings , 8.125% (Z) | A- | 50,000 | 1,000,500 |
SLM Corp. , 6.970%, Ser A (Z) | BB- | 42,500 | 913,750 |
Diversified Banks 4.59% | 15,730,538 | ||
Royal Bank of Scotland Group PLC , 5.750%, SADR, Ser L (Z) | BB | 858,500 | 4,644,485 |
USB Capital VIII , 6.350%, Ser 1 | A | 55,000 | 998,250 |
Wells Fargo & Co. , 8.000% (Z) | A | 647,900 | 10,087,803 |
Diversified Financial Services 22.77% | 77,989,076 | ||
ABN AMRO Capital Funding Trust VII , 6.080%, Ser G (Z) | BB | 983,000 | 6,586,100 |
Bank of America Corp. , 6.204%, Depositary Shares, Ser D (Z) | BB- | 240,000 | 2,397,600 |
Bank of America Corp. , 6.375%, Ser 3 (Z) | BB- | 139,000 | 1,132,850 |
Bank of America Corp. , 6.625%, Ser I (Z) | BB- | 355,000 | 3,301,500 |
Bank of America Corp. , 6.700% (Z) | BB- | 500,000 | 4,215,000 |
Bank of America Corp. , 8.200% (Z) | BB- | 185,000 | 2,027,600 |
Bank of America Corp. , 8.625%, Ser MER (Z) | BB- | 1,057,800 | 11,054,010 |
Citigroup Capital VIII , 6.950% (Z) | CC | 522,300 | 4,476,111 |
Citigroup, Inc. , 8.125%, Depositary Shares, Ser AA (Z) | C | 343,050 | 5,241,804 |
Citigroup, Inc. , 8.500%, Ser F (Z) | C | 125,000 | 1,903,750 |
Deutsche Bank Capital Funding Trust VIII , 6.375% (Z) | A- | 282,000 | 3,338,880 |
Deutsche Bank Contingent Capital Trust II , 6.550% (Z) | A- | 310,000 | 3,456,500 |
Deutsche Bank Contingent Capital Trust III , 7.600% (Z) | A- | 797,893 | 10,364,630 |
ING Groep NV , 6.200% (Z) | BBB | 109,100 | 876,073 |
ING Groep NV , 7.050% (Z) | BBB | 140,000 | 1,276,800 |
JPMorgan Chase & Co. , 5.490%, Ser G (Z) | BBB+ | 256,100 | 9,155,575 |
JPMorgan Chase & Co. , 5.720%, Ser F (Z) | BBB+ | 15,100 | 554,623 |
JPMorgan Chase & Co. , 6.150%, Ser E (Z) | BBB+ | 98,000 | 3,528,000 |
JPMorgan Chase & Co. , 8.625% (Z) | BBB+ | 143,000 | 3,101,670 |
Electric Utilities 21.79% | 74,657,991 | ||
Alabama Power Co. , 5.300%, Class A (Z) | BBB+ | 176,500 | 3,822,990 |
Carolina Power & Light Co. , 5.440% (Z) | BBB- | 111,493 | 8,591,929 |
Duquesne Light Co. , 6.500% (Z) | BB | 427,000 | 15,758,990 |
Entergy Arkansas, Inc. , 4.560% (Z) | BB+ | 9,388 | 624,009 |
Entergy Arkansas, Inc. , 4.560%, Ser 1965 (Z) | BB+ | 9,818 | 652,591 |
Entergy Arkansas, Inc. , 6.450% (Z) | BB+ | 110,000 | 2,481,875 |
Entergy Mississippi, Inc. , 4.920% (Z) | Ba2 | 8,190 | 553,849 |
Entergy Mississippi, Inc. , 6.250% (Z) | BB+ | 197,500 | 5,017,744 |
FPC Capital I , 7.100%, Ser A (Z) | BBB- | 70,000 | 1,533,700 |
FPL Group Capital Trust I , 5.875% (Z) | BBB+ | 260,000 | 5,720,000 |
Interstate Power & Light Co. , 7.100%, Ser C (Z) | BBB- | 20,700 | 504,045 |
Interstate Power & Light Co. , 8.375%, Ser B (Z) | Baa2 | 233,000 | 6,002,080 |
PPL Electric Utilities Corp. , 6.250%, Depositary Shares (Z) | BBB | 300,000 | 5,953,140 |
PPL Energy Supply LLC , 7.000% (Z) | BBB | 297,512 | 7,422,925 |
Page 2 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
March 31, 2009 (Unaudited)
Credit | |||
Issuer, description | rating (A) | Shares | Value |
Electric Utilities (continued) | |||
Southern California Edison Co. , 6.000%, Ser C (Z) | BBB- | 30,000 | 2,194,689 |
Southern California Edison Co. , 6.125% (Z) | BBB- | 50,000 | 3,759,375 |
Xcel Energy, Inc. , 4.560%, Ser G (Z) | BBB- | 53,900 | 4,064,060 |
Gas Utilities 3.31% | 11,344,900 | ||
Southern Union Co. , 7.550%, Ser A | BB | 597,100 | 11,344,900 |
Investment Banking & Brokerage 0.00% | 1,213 | ||
Lehman Brothers Holdings, Inc. , 5.670%, Depositary Shares, Ser D | |||
(H)(Z) | C | 65,000 | 390 |
Lehman Brothers Holdings, Inc. , 5.940%, Depositary Shares, Ser C | |||
(G)(H)(Z) | D | 274,760 | 275 |
Lehman Brothers Holdings, Inc. , 6.500%, Depositary Shares, Ser F | |||
(G)(H)(Z) | C | 219,300 | 548 |
Life & Health Insurance 3.34% | 11,442,600 | ||
Metlife, Inc. , 6.500%, Ser B (Z) | BBB- | 780,000 | 11,442,600 |
Multi-Utilities 4.46% | 15,284,501 | ||
BGE Capital Trust II , 6.200% (Z) | BB+ | 147,100 | 2,441,860 |
Constellation Energy Group, Inc. , 8.625% (Z) | BB+ | 300,000 | 5,418,000 |
Pacific Enterprises , 4.500% (Z) | BBB+ | 45,000 | 3,510,000 |
Public Service Electric & Gas Co. , 5.050%, Ser D (Z) | BB+ | 22,987 | 1,862,177 |
Public Service Electric & Gas Co. , 5.280%, Ser E (Z) | BB+ | 22,930 | 2,052,464 |
Oil & Gas Exploration & Production 3.30% | 11,287,100 | ||
Nexen, Inc. , 7.350% (Z) | BB+ | 682,000 | 11,287,100 |
Specialized Finance 0.58% | 1,971,600 | ||
CIT Group, Inc. , 6.350%, Ser A (Z) | BB- | 310,000 | 1,971,600 |
U.S. Government Agency 0.01% | 42,600 | ||
Federal National Mortgage Assn. (8.250% to 12-31-10 then variable) | |||
(Z) | C | 60,000 | 42,600 |
Wireless Telecommunication Services 4.23% | 14,492,178 | ||
Telephone & Data Systems, Inc. , 7.600%, Ser A | BBB- | 422,761 | 7,402,545 |
United States Cellular Corp. , 7.500% (Z) | BBB- | 398,294 | 7,089,633 |
Interest | |||
Issuer | rate | Shares | Value |
Short-term investments 1.75% | $6,000,000 | ||
(Cost $6,000,000) | |||
U.S. Government Agency 1.75% | 6,000,000 | ||
Federal Home Loan Bank Discount Notes | Zero | $6,000,000 | 6,000,000 |
Total investments (Cost $830,559,348) 164.79% | $564,544,864 | ||
Liabilities in excess of other assets (64.79%) | ($221,951,774) | ||
Total net assets 100.00% | $342,593,090 |
The percentage shown for each investment category is the total value of that category as a percentage of the net assets applicable to common shareholders.
ADR American Depositary Receipts
Page 3 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
March 31, 2009 (Unaudited)
SADR Sponsored American Depositary Receipts
(A) Credit ratings are unaudited and are rated by Moodys Investors Service where Standard & Poors ratings are not available unless indicated otherwise.
(G) Security rated internally by John Hancock Advisers, LLC. Unaudited.
(H) Non-income-producing issuer filed for protection under the federal bankruptcy code or is in default of interest payment.
(Z) All or a portion of this security is segregated as collateral for the outstanding debt under a line of credit agreement with a bank. Total collateral value at March 31, 2009 was $520,332,006.
At March 31, 2009, the aggregate cost of investment securities for federal income tax purposes was $841,194,333. Net unrealized depreciation aggregated $276,649,469, of which $9,349,923 related to appreciated investment securities and $285,999,392 related to depreciated investment securities.
Page 4 |
Notes to portfolio of investments (unaudited)
Security valuation
Investments are stated at value as of the close of the regular trading on New York Stock Exchange (NYSE), normally at 4:00 p.m., Eastern Time. Equity securities held by the Fund are valued at the last sale price or official closing price (closing bid price or last evaluated price if no sale has occurred) as of the close of business on the principal securities exchange (domestic or foreign) on which they trade. Debt obligations are valued based on the evaluated prices provided by an independent pricing service, which utilizes both dealer-supplied and electronic data processing techniques, which take into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing service. Securities traded only in the over-the-counter market are valued at the last bid price quoted by brokers making markets in the securities at the close of trading. Equity and debt obligations, for which there are no prices available from an independent pricing service, are valued based on broker quotes or fair valued as described below. Short-term debt investments that have a remaining maturity of 60 days or less are valued at amortized cost, and thereafter assume a constant amortization to maturity of any discount or premium, which approximates market value.
Other portfolio securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds Pricing Committee in accordance with procedures adopted by the Board of Trustees. Generally, trading in non-U.S. securities is substantially completed each day at various times prior to the close of trading on the NYSE. The values of such securities used in computing the net asset value of the Funds shares are generally determined as of such times. Occasionally, significant events that affect the values of such securities may occur between the times at which such values are generally determined and the close of the NYSE. Upon such an occurrence, these securities will be valued at fair value as determined in good faith under consistently applied procedures established by and under the general supervision of the Board of Trustees.
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuers assets, general economic and market conditions, interest rates, investor perceptions and market liquidity.
The Fund adopted Statement of Financial Accounting Standards No. 157 (FAS 157), Fair Value Measurements, effective with the beginning of the Funds fiscal year. FAS 157 established a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. 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.
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Level 2 Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3 Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, such as when there is little or no market activity for an investment, unobservable inputs may be used. Unobservable inputs reflect the Funds own assumptions about the factors that market participants would use in pricing an investment and would be based on the best information available.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds net assets as of March 31, 2009:
Investments in | Other Financial | ||
Valuation Inputs | Securities | Instruments* | |
Level 1 Quoted Prices | $512,956,673 | ||
Level 2 Other Significant Observable | |||
Inputs | 51,588,191 | ($3,767,529) | |
Level 3 Significant Unobservable Inputs | - | - | |
Total | $564,544,864 | ($3,767,529) |
* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are stated at valued based upon futures settlement prices, foreign currency exchange forward rates and swap prices.
The Fund has adopted the provisions of Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (FAS 161). This new standard requires funds to disclose information intended to enable financial statement users to understand how and why the fund uses derivative instruments, how derivative instruments are accounted for under FAS 133 and how derivative instruments affect the companys financial position, results of operations, and cash flows. All changes to disclosure have been made in accordance with the Statement and incorporated for the current period.
Swap contracts
The Fund may enter interest rate, credit default, cross-currency, and other forms of swap transactions to manage its exposure to credit, currency and interest rate risks, or to enhance potential gains. Swap agreements are privately negotiated agreements between the Fund and a counterparty to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. In connection with these agreements, the Fund will hold cash or identify securities equal to the net amount, if any,
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of the Funds obligations, with respect to the swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swaps are marked to market daily based upon values from third party vendors or quotations from market makers to the extent available, and the change in value, if any, is recorded as an unrealized appreciation/depreciation of swap contracts on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed reliable, certain swap agreements may be valued at fair value as determined in good faith by the Funds Pricing Committee in accordance with procedures adopted by the Board of Trustees. Upfront payments made/received by the Fund represent payments to compensate for differences between the stated terms of the swap agreement and prevailing market conditions, including credit spreads, currency exchange rates, interest rates and other relevant factors. The upfront payments are amortized or accreted for financial reporting purposes, with the unamortized/unaccreted portion included in values recorded on the Statements of Assets and Liabilities. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates. The Fund may also suffer losses if it is unable to terminate outstanding swap contracts or reduce its exposure through offsetting transactions.
The Fund may be party to International Swap Dealers Association, Inc. Master Agreements (ISDA Master Agreements) with select counterparties that govern over-the-counter derivative transactions, which may include foreign exchange derivative transactions, entered into by the Fund and those counterparties. The ISDA Master Agreements typically include standard representations and warranties as well as provisions outlining the general obligations of the Fund and counterparties relating to collateral, events of default, termination events and other standard provisions. Termination events may include a decline in a Funds net asset value below a certain point over a certain period of time that is specified in the Schedule to the ISDA Master Agreement; such an event may entitle counterparties to elect to terminate early and calculate damages based on that termination with respect to some or all outstanding transactions under the applicable damage calculation provisions of the ISDA Master Agreement. An election by one or more counterparties to terminate ISDA Master Agreements could have a material impact on the financial statements of the Fund. Due to declines in net assets of the Fund during the period ended March 31, 2009, one or more counterparties currently may be entitled to terminate the swap contracts early but none has elected to take such action. The Schedule to the ISDA Master Agreements may give counterparties the right to require that the Fund post additional collateral as opposed to giving the counterparties the right to terminate the ISDA Master Agreement.
7 |
Interest rate swap agreements
Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the two interest rates, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. The Fund settles accrued net receivable or payable under the swap contracts on a periodic basis.
During the period, the Fund used interest rate swaps to manage against anticipated interest rate changes.
RATE TYPE | |||||||
FIXED | VARIABLE | ||||||
PAYMENTS | PAYMENTS | ||||||
NOTIONAL | MADE BY | RECEIVED BY | TERMINATION | UNREALIZED | |||
AMOUNT | FUND | FUND | DATE | COUNTERPARTY | DEPRECIATION | ||
$95,000,000 | 3.60% | 3-month LIBOR (a) | Jan 2011 | Bank of America N.A. | ($3,767,529) |
(a) At March 31, 2009, the 3-month LIBOR rate was 1.192%.
The fair value of derivatives held at March 31, 2009 (as noted above) not accounted for as hedging instruments are interest rate contracts.
Risks and uncertainties
Concentration risk
The Funds may concentrate investments in a particular industry, sector of the economy or invest in a limited number of companies. Accordingly, the concentration may make the Funds value more volatile and investment values may rise and fall more rapidly. In addition, a fund with a concentration is particularly susceptible to the impact of market, economic, regulatory and other factors affecting the specific concentration.
Derivatives and counterparty risk
The use of derivative instruments may involve risk different from, or potentially greater than, the risks associated with investing directly in securities. Specifically, derivative instruments expose a fund to the risk that the counterparty to an over-the-counter (OTC) derivatives contract will be unable or unwilling to make timely settlement payments or otherwise to honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction. If the counterparty defaults, the fund will have contractual remedies, but there is no assurance that the counterparty will meet its contractual obligations of that, in the event of default, the fund will succeed in enforcing them.
Sector risk utilities industry
Fund performance will be closely tied to a single sector of the economy, which may underperform other sectors over any given period of time. Utilities can be hurt by higher interest costs in connection with capital construction programs, costs associated with environmental and other regulations and the effects of economic declines, surplus capacity and increased competition. Accordingly, the concentration may make the Funds value more volatile and investment values may rise and fall more rapidly.
8 |
Leverage utilization risk
The Fund utilizes leverage to increase assets available for investment.
9 |
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-Q, the registrant's principal executive officer and principal accounting officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications for the registrant's principal executive officer and principal accounting officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
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.
John Hancock Tax-Advantaged Dividend Income Fund
By: /s/ Keith F. Hartstein
-------------------------------------
Keith F. Hartstein
President and Chief Executive Officer
Date: May 15, 2009
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: /s/ Keith F. Hartstein
-------------------------------------
Keith F. Hartstein
President and Chief Executive Officer
Date: May 15, 2009
By: /s/ Charles A. Rizzo
-------------------------------------
Charles A. Rizzo
Chief Financial Officer
Date: May 15, 2009