Nuveen Mortgage Opportunity Term Fund 2 - FORM 8-K - EX-99.2 - THE UNAUDITED FINANCIAL STATEMENTS OF THE MASTER FUND - September 6, 2011

Attached files

file filename
8-K - FORM 8-K - Nuveen Mortgage Opportunity Term Fund 2d8k.htm
EX-99.1 - THE UNAUDITED FINANCIAL STATEMENTS OF THE FEEDER FUND - Nuveen Mortgage Opportunity Term Fund 2dex991.htm

Exhibit 99.2

LOGO

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

Financial Statements

For the Three and Six Months Ended June 30, 2011 and June 30 2010

(UNAUDITED)

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

 

TABLE OF CONTENTS

 

     Page  

Statement of Assets, Liabilities and Partners’ Capital

      1   

Statements of Operations

      2   

Statement of Changes in Partners’ Capital

      3   

Statements of Cash Flows

      4   

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

STATEMENT OF ASSETS, LIABILITIES AND PARTNERS’ CAPITAL

JUNE 30, 2011

(UNAUDITED)

(in U.S. Dollars)

 

 

Assets

   

Investments, at fair value (amortized cost $4,016,429,592)

    $ 3,942,485,836   

Cash and cash equivalents

      260,709,601   

Swap collateral

      57,241,000   

Interest receivable

      15,683,293   

Debt issuance costs (net of amortization of $3,137,551)

      12,027,683   

Receivable from investments sold

      1,786,000   
  

 

 

  

Total assets

    $ 4,289,933,413   
  

 

 

  

Liabilities and partners’ capital

   

Liabilities

   

Loan payable

    $ 2,041,000,000   

Payable for investments purchased

      31,691,959   

Unrealized depreciation on swap contracts

      55,009,954   

UST Warrant payable, at fair value

      12,201,807   

Interest on loan payable

      1,145,531   

UST Management fees payable

      574,744   

Professional fees payable

      104,376   

Administration fees payable

      173,329   

Accrued expenses and other liabilities

      124,422   
  

 

 

  

Total liabilities

      2,142,026,122   
  

 

 

  

Partners’ capital

   

General Partner

      10,741   

Limited Partners

      2,147,896,550   
  

 

 

  

Total partners’ capital

      2,147,907,291   
  

 

 

  

Total liabilities and partners’ capital

    $ 4,289,933,413   
  

 

 

  

 

1

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND JUNE 30, 2010

(UNAUDITED)

(in U.S. Dollars)

 

 

     For the three months ended     For the six months ended  
     June 30, 2011     June 30, 2010     June 30, 2011     June 30, 2010  

Investment income:

         

Interest income

    $ 79,517,940      $ 37,946,984      $ 155,192,794      $ 56,731,774   

Expenses:

         

Interest expense (including amortization of debt issuance costs of $479,631, $479,632, $953,992 and $873,000 respectively)

      6,405,591        2,651,084        12,546,305        4,110,772   

UST Management fees

      574,743        574,743        1,149,487        1,087,913   

Administration fees

      229,152        104,529        440,238        206,652   

Professional fees

      40,165        47,370        79,888        94,219   

Other expenses

      41,137        31,165        81,822        61,986   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses

      7,290,788        3,408,891        14,297,740        5,561,542   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

      72,227,152        34,538,093        140,895,054        51,170,232   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net realized gain (loss) and change in unrealized appreciation (depreciation):

         

Net realized gain (loss) on:

         

Investments

      550        153,466        477,161        1,030,036   

Swap contracts

      958,019        235,953        (3,702,874 )      235,953   

Net change in unrealized appreciation (depreciation) on:

         

Investments

      (230,751,910 )      5,056,333        (203,075,084 )      24,958,232   

Swap contracts

      (34,293,751 )      (13,982,132 )      (37,082,220 )      (17,225,679 ) 

UST Warrant

      (212,189 )      1,723,050        453,685        2,096,026   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain (loss)

      (264,299,281 )      (6,813,330 )      (242,929,332 )      11,094,568   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) in partners’ capital resulting from operations

    $ (192,072,129 )    $ 27,724,763      $ (102,034,278 )    $ 62,264,800   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

2

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

STATEMENT OF CHANGES IN PARTNERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(UNAUDITED)

(in U.S. Dollars)

 

 

     General
Partner		     The United States
Department of
the Treasury		     Wellington
Management
Legacy
Securities PPIF
(Offshore), LP		     Wellington
Management
Legacy Securities
PPIF, LP		     Total  

Partners’ capital, at December 31, 2010

    $ 10,530      $ 1,052,132,838      $ 755,851,462      $ 297,182,302      $ 2,105,177,132   

Contributions

      1,149        114,948,700        82,510,000        32,438,700        229,898,549   

Distributions:

           

Investment proceeds

      (431 )      (41,992,097 )      (30,966,963 )      (12,174,621 )      (85,134,112 ) 

Allocation of net decrease in partners’ capital resulting from operations:

           

Net decrease in partners’ capital resulting from operations

      (507 )      (51,341,478 )      (36,386,850 )      (14,305,443 )      (102,034,278 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Partners’ capital, at June 30, 2011

    $ 10,741      $ 1,073,747,963      $ 771,007,649      $ 303,140,938      $ 2,147,907,291   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Remaining capital commitments, end of period

    $ 1,140      $ 113,764,126      $ 81,659,715      $ 32,104,410      $ 227,529,391   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

3

Wellington Management Legacy Securities PPIF Master Fund, LP

(a Delaware limited partnership)

STATEMENTS OF CASH FLOWS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND JUNE 30, 2010

(UNAUDITED)

(in U.S. Dollars)

 

 

     For the three months ended     For the six months ended  
     June 30, 2011     June 30, 2010     June 30, 2011     June 30, 2010  

Cash flows from operating activities:

         

Net increase (decrease) in partners’ capital resulting from operations

    $ (192,072,129 )    $ 27,724,763      $ (102,034,278 )    $ 62,264,800   

Adjustments to reconcile net increase (decrease) in partners’ capital resulting from operations to net cash used in operating activities:

         

Purchase of investments in securities

      (415,229,372 )      (827,442,981 )      (801,632,249 )      (1,405,245,369 ) 

Proceeds from disposition of investments in securities

      120,169,561        42,302,935        234,964,858        71,803,650   

Net realized gain on investments, excluding gain on Treasury Bill

      (2,587,012 )      (152,953 )      (488,357 )      (1,029,523 ) 

Net change in unrealized depreciation on swap contacts

      34,293,751        15,121,849        37,082,220        17,225,679   

Net change in unrealized (appreciation) depreciation on investments

      230,751,910        (5,056,333 )      203,075,084        (24,958,232 ) 

Net change in unrealized (appreciation) depreciation on UST Warrant

      212,189        (1,723,050 )      (453,685 )      (2,096,026 ) 

Accretion of discount, net

      (32,092,876 )      (13,723,903 )      (62,986,523 )      (20,434,237 ) 

Amortization of debt issuance costs

      479,631        479,632        953,992        873,000   

Increase in swap collateral

      (36,260,000 )      (14,273,000 )      (40,141,000 )      (17,336,000 ) 

Increase in interest receivable

      (538,499 )      (4,995,763 )      (1,489,837 )      (6,642,589 ) 

Increase in receivable from investments sold

      (1,786,000 )      —          (1,508,000 )      —     

Increase (decrease) in payable for investments purchased

      16,823,934        (35,908,088 )      31,601,209        36,897,787   

Increase (decrease) in interest on loan payable

      (10,157 )      321,783        145,055        481,636   

Increase in UST management fees payable

      —          61,574        —          143,736   

Decrease in professional fees payable

      (41,197 )      (52,630 )      (66,724 )      (5,781 ) 

Increase (decrease) in administration fees payable

      (96,891 )      29,529        (64,985 )      5,457   

Increase in accrued expenses and other liabilities

      8,660        30,880        15,481        61,561   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net cash used in operating activities

      (277,974,497 )      (817,255,756 )      (503,027,739 )      (1,287,990,451 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Cash flows from financing activities:

         

Borrowings from loan

      200,000,000        629,000,000        395,000,000        836,000,000   

Contributions

      229,898,549        75,204,697        229,898,549        629,423,036   

Distributions

      (47,728,212 )      (513,176 )      (85,134,112 )      (1,906,093 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net cash provided by financing activities

      382,170,337        703,691,521        539,764,437        1,463,516,943   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change in cash and cash equivalents

      104,195,840        (113,564,235 )      36,736,698        175,526,492   

Cash and cash equivalents:

         

Beginning of period

      156,513,761        445,967,101        223,972,903        156,876,374   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 260,709,601      $ 332,402,866      $ 260,709,601      $ 332,402,866   
  

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental disclosure of cash flow information:

         

Cash paid during the period for interest

    $ 5,936,117      $ 1,874,825      $ 11,447,258      $ 2,781,292   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

4