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: | September 30, 2009 |
ITEM 1. SCHEDULE OF INVESTMENTS
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
September 30, 2009 (Unaudited)
Shares | Value | |
Common Stocks 81.75% | $413,299,874 | |
(Cost $461,751,527) | ||
Consumer Discretionary 0.00% | 671 | |
Publishing 0.00% | 671 | |
Idearc, Inc. (I) | 26,830 | 671 |
Energy 7.76% | 39,234,300 | |
Oil, Gas & Consumable Fuels 7.76% | 39,234,300 | |
BP PLC, SADR | 165,000 | 8,782,950 |
Chevron Corp. | 25,000 | 1,760,750 |
Spectra Energy Corp. (Z) | 1,155,000 | 21,875,700 |
Total SA, SADR (Z) | 115,000 | 6,814,900 |
Industrials 1.50% | 7,553,200 | |
Industrial Conglomerates 1.50% | 7,553,200 | |
General Electric Co. (Z) | 460,000 | 7,553,200 |
Telecommunication Services 3.50% | 17,709,792 | |
Diversified Telecommunication Services 1.74% | 8,799,792 | |
Alaska Communications Systems Group (Z) | 55,000 | 508,750 |
AT&T, Inc. | 150,000 | 4,051,500 |
Fairpoint Communications, Inc. | 4,248 | 1,742 |
Verizon Communications, Inc. | 140,000 | 4,237,800 |
Wireless Telecommunication Services 1.76% | 8,910,000 | |
Vodafone Group PLC, SADR (Z) | 396,000 | 8,910,000 |
Utilities 68.99% | 348,801,911 | |
Electric Utilities 15.43% | 78,023,740 | |
American Electric Power Co., Inc. (Z) | 580,000 | 17,974,200 |
Duke Energy Corp. (Z) | 765,000 | 12,041,100 |
Entergy Corp. | 15,000 | 1,197,900 |
Great Plains Energy, Inc. (Z) | 40,000 | 718,000 |
Northeast Utilities | 135,000 | 3,204,900 |
Pinnacle West Capital Corp. (Z) | 215,000 | 7,056,300 |
PNM Resources, Inc. (Z) | 58,000 | 677,440 |
Progress Energy, Inc. (Z) | 600,000 | 23,436,000 |
Southern Co. (Z) | 370,000 | 11,717,900 |
Gas Utilities 9.05% | 45,728,324 | |
Atmos Energy Corp. (Z) | 741,800 | 20,903,924 |
Northwest Natural Gas Co. (Z) | 130,000 | 5,415,800 |
ONEOK, Inc. (Z) | 530,000 | 19,408,600 |
Multi-Utilities 44.51% | 225,049,847 | |
Ameren Corp. (Z) | 555,000 | 14,030,400 |
Black Hills Corp. (Z) | 560,000 | 14,095,200 |
CH Energy Group, Inc. (Z) | 390,000 | 17,280,900 |
Consolidated Edison, Inc. (Z) | 317,500 | 12,998,450 |
Dominion Resources, Inc. (Z) | 405,000 | 13,972,500 |
DTE Energy Co. (Z) | 680,658 | 23,918,322 |
Integrys Energy Group, Inc. (Z) | 580,000 | 20,816,200 |
NiSource, Inc. (Z) | 790,500 | 10,980,045 |
Page 1 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
September 30, 2009 (Unaudited)
Shares | Value | |
Utilities (continued) | ||
NSTAR (Z) | 625,000 | $19,887,500 |
OGE Energy Corp. (Z) | 760,000 | 25,140,800 |
Public Service Enterprise Group, Inc. (Z) | 330,000 | 10,375,200 |
Teco Energy, Inc. (Z) | 387,800 | 5,460,224 |
Vectren Corp. (Z) | 780,000 | 17,971,200 |
Xcel Energy, Inc. (Z) | 941,939 | 18,122,906 |
Shares | Value | |
Preferred Stocks 66.23% | $334,844,451 | |
(Cost $386,364,323) | ||
Consumer Discretionary 1.26% | 6,367,625 | |
Media 1.26 % | ||
CBS Corp., 7.250% | 145,000 | 3,236,400 |
Comcast Corp., 7.000% (Z) | 125,500 | 3,131,225 |
Energy 6.39% | 32,283,760 | |
Gas Utilities 2.93 % | ||
Southern Union Co., 7.550% (Z) | 602,700 | 14,826,420 |
Oil, Gas & Consumable Fuels 3.46 % | ||
Nexen, Inc., 7.350% (Z) | 761,000 | 17,457,340 |
Financials 35.03% | 177,120,411 | |
Capital Markets 0.03 % | ||
Lehman Brothers Holdings, Inc., 5.940%, Depositary Shares, Ser C (I) | 274,760 | 68,690 |
Lehman Brothers Holdings, Inc., 6.500%, Depositary Shares, Ser F (I) | 219,300 | 37,281 |
Lehman Brothers Holdings, Inc., 5.670%, Depositary Shares, Ser D (I) | 65,000 | 26,000 |
Commercial Banks 3.70 % | ||
HSBC Holdings PLC, 8.125% (Z) | 50,000 | 1,292,000 |
USB Capital VIII, 6.350%, Ser 1 | 55,000 | 1,277,650 |
Wells Fargo & Co., 8.000% (Z) | 647,900 | 16,139,189 |
Consumer Finance 0.86 % | ||
HSBC Finance Corp., 6.360%, Depositary Shares, Ser B (Z) | 150,000 | 3,108,000 |
SLM Corp., 6.970%, Ser A (Z) | 40,600 | 1,248,450 |
Diversified Financial Services 26.78 % | ||
Bank of America Corp., 8.200% (Z) | 185,000 | 4,325,300 |
Bank of America Corp., 6.204%, Depositary Shares, Ser D (Z) | 240,000 | 4,507,200 |
Bank of America Corp., 6.625% (Z) | 355,000 | 6,684,650 |
Bank of America Corp., 6.375% (Z) | 139,000 | 2,495,050 |
Bank of America Corp., 6.700% (Z) | 500,000 | 9,450,000 |
Bank of America Corp., 8.625%, Ser MER (Z) | 957,800 | 22,671,126 |
CIT Group, Inc., 6.350%, Ser A | 310,000 | 790,500 |
Citigroup Capital VIII, 6.950% | 522,300 | 10,378,101 |
Deutsche Bank Capital Funding Trust VIII, 6.375% (Z) | 282,000 | 6,429,600 |
Deutsche Bank Contingent Capital Trust II, 6.550% (Z) | 310,000 | 6,429,400 |
Page 2 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
September 30, 2009 (Unaudited)
Shares | Value | |
Financials (continued) | ||
Deutsche Bank Contingent Capital Trust III, 7.600% (Z) | 797,893 | $18,574,949 |
ING Groep NV, 6.200% (Z) | 109,100 | 1,595,042 |
ING Groep NV, 7.050% (Z) | 140,000 | 2,191,000 |
JPMorgan Chase & Co., 5.490%, Ser G (Z) | 256,100 | 11,119,862 |
JPMorgan Chase & Co., 5.720%, Ser F (Z) | 15,100 | 657,001 |
JPMorgan Chase & Co., 6.150%, Ser E (Z) | 98,000 | 4,483,500 |
JPMorgan Chase & Co., 8.625% (Z) | 143,000 | 3,939,650 |
RBS Capital Funding Trust VII, 6.080% (Z) | 983,000 | 9,643,230 |
Royal Bank of Scotland Group PLC, 5.750%, Ser L | 858,500 | 9,048,590 |
Insurance 3.66 % | ||
MetLife, Inc., 6.500%, Ser B (Z) | 780,000 | 18,509,400 |
Telecommunication Services 3.82% | 19,313,636 | |
Wireless Telecommunication Services 3.82 % | ||
Telephone & Data Systems, Inc., 7.600% | 430,000 | 9,890,000 |
United States Cellular Corp., 7.500% (Z) | 398,294 | 9,423,636 |
U.S. Government Agency 0.02% | 96,600 | |
U.S. Government Agency 0.02% | 96,600 | |
Federal National Mortgage Assn. (8.250% to 12-31-10 then variable) (I) | 60,000 | 96,600 |
Utilities 19.71% | 99,662,419 | |
Electric Utilities 13.88 % | ||
Alabama Power Co., 5.300%, Class A (Z) | 176,500 | 4,059,500 |
Carolina Power & Light Co., 5.440% (Z) | 111,493 | 9,229,535 |
Duquesne Light Co., 6.500% (Z) | 427,000 | 19,375,125 |
Entergy Arkansas, Inc., 4.560% (Z) | 9,388 | 663,321 |
Entergy Arkansas, Inc., 6.450% (Z) | 110,000 | 2,385,625 |
Entergy Mississippi, Inc., 4.920% (Z) | 8,190 | 616,298 |
Entergy Mississippi, Inc., 6.250% (Z) | 197,500 | 4,240,088 |
FPC Capital I, 7.100%, Ser A (Z) | 70,000 | 1,757,000 |
FPL Group Capital Trust I, 5.875% (Z) | 255,000 | 6,438,750 |
PPL Electric Utilities Corp., 6.250%, Depositary Shares (Z) | 300,000 | 7,021,890 |
PPL Energy Supply, LLC, 7.000% (Z) | 297,512 | 7,750,188 |
Southern California Edison Co., 6.000%, Ser C (Z) | 30,000 | 2,452,500 |
Southern California Edison Co., 6.125% (Z) | 50,000 | 4,196,875 |
Independent Power Producers & Energy Traders 1.47 % | ||
Constellation Energy Group, Inc., 8.625%, Ser A | 300,000 | 7,440,000 |
Multi-Utilities 4.36 % | ||
BGE Capital Trust II, 6.200% | 147,100 | 3,239,142 |
Interstate Power & Light Co., 7.100%, Ser C (Z) | 20,700 | 528,264 |
Interstate Power & Light Co., 8.375%, Ser B (Z) | 230,000 | 6,463,000 |
Pacific Enterprises, 4.500% (Z) | 45,000 | 3,377,250 |
Public Service Electric & Gas Co., 5.050%, Ser D | 22,987 | 2,172,961 |
Public Service Electric & Gas Co., 5.280%, Ser E | 22,930 | 2,002,936 |
Xcel Energy, Inc., 4.560%, Ser G (Z) | 53,900 | 4,252,171 |
Page 3 |
Tax-Advantaged Dividend Income Fund
Securities owned by the Fund on
September 30, 2009 (Unaudited)
Maturity | |||||
Rate | date | Par value | Value | ||
Short-Term Investments 2.44% | $12,338,000 | ||||
(Cost $12,338,000) | |||||
U.S. Government Agency 1.58% | 8,000,000 | ||||
Federal Home Loan Bank Discount Notes | 0.010% | 10-1-09 | 8,000,000 | 8,000,000 | |
Par value | Value | ||||
Repurchase Agreement 0.86% | 4,338,000 | ||||
Repurchase Agreement with State Street Corp. dated 9-30-09 at | |||||
0.01% to be repurchased at $4,338,001 on 10-01-09, collateralized | |||||
by $3,775,000 Federal Home Loan Bank, 4.645% due 10-5-17 | |||||
(valued at $3,878,813, including interest) and $530,000 Federal | |||||
Home Loan Bank, 4.50% due 9-13-19 (valued at $551,200, | |||||
including interest). | $4,338,000 | 4,338,000 | |||
Total investments (Cost $860,453,850) 150.42% | $760,482,325 | ||||
Other assets and liabilities, net (50.42%) | ($254,924,174) | ||||
Total net assets 100.00% | $505,558,151 |
The percentage shown for each investment category is the total value that the category as a percentage of the net assets of the Fund.
SADR Sponsored American Depositary Receipts
(I) Non-income producing security.
(Z) All or a portion of this security is pledged as collateral for the Committed Facility Agreement. Total collateral value at September 30, 2009 was $612,609,377.
At September 30, 2009, the aggregate cost of investment securities for federal income tax purposes was $871,088,835. Net unrealized depreciation aggregated $110,606,510, of which $46,674,671 related to appreciated investment securities and $157,281,181 related to depreciated investment securities.
Page 4 |
Notes to the Schedule of Investments (Unaudited)
Security valuation
Investments are stated at value as of the close of the regular trading on the 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 as well as broker quotes. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations 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. Certain short-term debt instruments are valued at amortized cost.
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.
Fair value measurements
The Fund uses 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 and the valuation techniques used are summarized below:
Level 1 Exchange traded prices in active markets for identical securities. This technique is used for exchange-traded domestic common and preferred equities, certain foreign equities, warrants, rights, options and futures
Level 2 Prices determined using significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these techniques are received from independent pricing vendors and are based on an evaluation of the inputs described. These techniques are used for certain domestic preferred equities, certain foreign equities, unlisted rights and warrants, and fixed income securities. Also, over-the-counter derivative contracts, including swaps, foreign forward currency contracts, and certain options use these techniques.
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 Pricing Committees own assumptions about the factors that market participants would use in pricing an investment and would be based on the best information available. Securities using this technique are generally thinly traded or privately placed, and may be valued using broker quotes, which may not only use observable or unobservable inputs but may also include the use of the brokers own judgments about the assumptions that market participants would use.
5 |
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 investments as of September 30, 2009, by major security category or security type. Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as options and interest rate swaps which are stated at market value.
INVESTMENTS IN SECURITIES | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS |
Consumer Discretionary | $6,368,296 | - | - | $6,368,296 |
Energy | 71,518,060 | - | - | 71,518,060 |
Financials | 177,120,411 | - | - | 177,120,411 |
Industrials | 7,553,200 | - | - | 7,553,200 |
Telecommunication Services | 37,023,428 | - | - | 37,023,428 |
U.S. Government Agency | 96,600 | - | - | 96,600 |
Utilities | 398,283,073 | $50,181,257 | - | 448,464,330 |
Short-Term Investments | - | 12,338,000 | - | 12,338,000 |
Total Investments in Securities | $697,963,068 | $62,519,257 | - | $760,482,325 |
Other Financial Instruments | ($1,394,187) | ($4,031,923) | - | $ (5,426,110) |
Totals | $696,568,881 | $58,487,334 | - | $755,056,215 |
Repurchase agreements
The Fund may enter into repurchase agreements. When the Fund enters into a repurchase agreement through its custodian, it receives delivery of securities, the amount of which at the time of purchase and each subsequent business day is required to be maintained at such a level that the market value is generally at least 102% of the repurchase amount. The Fund will take receipt of all securities underlying the repurchase agreements it has entered into until such agreements expire. If the seller defaults, the Fund would suffer a loss to the extent that proceeds from the sale of underlying securities were less than the repurchase amount. The Fund may enter into repurchase agreements maturing within seven days with domestic dealers, banks or other financial institutions deemed to be creditworthy by the Adviser.
Financial Instruments
Options
The Fund may purchase and sell put and call options on securities, securities indices, currencies and futures contracts. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. For more information on options, please refer to the Funds prospectus, semiannual and annual reports.
During the period ended September 30, 2009, the Fund used written options to enhance potential gains and to hedge against anticipated changes in securities markets.
The following summarizes the written options contracts held as of September 30, 2009:
Notional Amount | Premiums Received | ||
Outstanding, beginning of period | - | - | |
Options written | 1,225,300 | $12,931,842 | |
Option closed | (871,300) | (10,296,983) | |
Options expired | - | - | |
Options exercised | - | - | |
Outstanding, end of period | 354,000 | $2,634,859 |
6 |
Summary of written options outstanding on September 30, 2009:
Exercise | Expiration | Number of | Notional | |||
Name of Issuer | Price | Date | Contracts | Amount | Premium | Value |
Calls | ||||||
Oil Index | $1,030.00 | Oct 2009 | 55 | 5,500 | $178,585 | ($102,575) |
S&P 600 SmallCap Index | 325.00 | Oct 2009 | 165 | 16,500 | 127,878 | (65,175) |
S&P 100 SmallCap Index | 485.00 | Oct 2009 | 215 | 21,500 | 326,155 | (215,000) |
KBW Bank Index | 50.00 | Oct 2009 | 1,125 | 112,500 | 168,504 | (50,625) |
S&P 400 MidCap Index | 700.00 | Oct 2009 | 75 | 7,500 | 156,300 | (76,125) |
Morgan Stanley Cyclical Index | 760.00 | Oct 2009 | 70 | 7,000 | 169,190 | (80,500) |
Housing Sector Index | 115.00 | Oct 2009 | 465 | 46,500 | 172,980 | (12,787) |
Semiconductor Index | 330.00 | Oct 2009 | 160 | 16,000 | 140,320 | (116,000) |
S&P 100 Index | 495.00 | Oct 2009 | 1,155 | 115,500 | 1,040,685 | (623,700) |
Biotechnology Index | 960.00 | Oct 2009 | 55 | 5,500 | 154,262 | (51,700) |
3,540 | 354,000 | $2,634,859 | ($1,394,187) |
During the third quarter, the Fund held written options whose total notional amounts ranged approximately from 500 to 375,000.
Interest rate swap contracts
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 payments are made semiannually. The Fund settles accrued net receivable or payable under the swap contracts on a periodic basis.
The Fund entered into interest rate swaps in anticipation of rising interest rates. The following summarizes the contracts held as of September 30, 2009:
Payments | Payments | ||||||
USD Notional | Made by | Received by | Effective | Maturity | Unrealized | ||
Counterparty | Amount | Fund | Fund | Date | Date | Depreciation | Market Value |
Bank of | 3 Month | ||||||
America | $95,000,000 | 3.600% | LIBOR (a) | 01-09-2008 | 01-10-2011 | ($4,031,923) | ($4,031,923) |
(a) At September 30, 2009, the 3-month LIBOR rate was 0.28688%.
Interest rate swaps notional amounts at September 30, 2009 are representative of the activity during the period.
Fair value of derivative instruments by risk category
The table below summarizes the fair values of derivatives held by the Fund at September 30, 2009 by risk category:
Derivatives not accounted | |||
for as hedging instruments | Asset Derivatives Fair | Liability Derivatives | |
under FAS 133 | Financial instruments location | Value | Fair Value |
Equity contracts | Written options | - | ($1,394,187) |
Interest rate contracts | Interest rate swaps | - | (4,031,923) |
Total | - | ($5,426,110) |
7 |
Risks and uncertainties
There are a number of risk factors that may play a role in shaping the Funds overall risk profile.
For further details, see the Funds Prospectus and Statement of Additional Information.
Credit facility agreement
The Fund utilizes a Committed Facility Agreement (CFA) to increase its assets available for investment. In prior fiscal periods, the Fund used Auctioned Preferred Shares (APS) for leverage. When the Fund leverages its assets, common shareholders pay all fees associated with and have the potential to benefit from leverage.
8 |
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: November 23, 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: November 23, 2009
By: /s/ Charles A. Rizzo
-------------------------------------
Charles A. Rizzo
Chief Financial Officer
Date: November 23, 2009