nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-22272
 
Nuveen California Municipal Value Fund 2
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            2/28          
 
Date of reporting period:         5/31/12         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

 
 
 
 
Item 1. Schedule of Investments
 

 
           
   
Portfolio of Investments (Unaudited)
      
   
Nuveen California Municipal Value 2 Fund (NCB)
      
   
May 31, 2012
      
 
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
Consumer Staples – 4.8% (4.8% of Total Investments)
      
$ 3,500
  
Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed
6/15 at 100.00
B–
$ 2,672,705
   
Bonds, Series 2005A-1, 5.500%, 6/01/45
      
   
Education and Civic Organizations – 7.2% (7.3% of Total Investments)
      
500
  
California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series
10/15 at 100.00
A3
521,250
   
2005A, 5.000%, 10/01/25
      
920
  
California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series
11/19 at 100.00
A2
1,013,665
   
2009, 5.500%, 11/01/39
      
1,965
  
California State Public Works Board, Lease Revenue Bonds, University of California Department
4/19 at 100.00
A2
2,321,824
   
of Education Riverside Campus Project, Series 2009B, 5.750%, 4/01/23
      
150
  
California Statewide Communities Development Authority, School Facility Revenue Bonds,
7/21 at 100.00
BBB
162,231
   
Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46
      
3,535
  
Total Education and Civic Organizations
    
4,018,970
   
Health Care – 23.2% (23.4% of Total Investments)
      
1,000
  
ABAG Finance Authority for Non-Profit Corporations, California, Cal-Mortgage Insured Health
5/19 at 100.00
A–
1,114,270
   
Facility Revenue Bonds, Saint Rose Hospital, Series 2009A, 6.000%, 5/15/29
      
1,900
  
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/19 at 100.00
A+
2,215,742
   
Series 2009A, 6.000%, 7/01/39
      
1,000
  
California Health Facilities Financing Authority, Revenue Bonds, Childrens Hospital of Orange
11/19 at 100.00
A
1,215,200
   
County, Series 2009A, 6.500%, 11/01/38
      
850
  
California Municipal Financing Authority, Certificates of Participation, Community Hospitals
2/17 at 100.00
BBB
879,912
   
of Central California, Series 2007, 5.250%, 2/01/27
      
700
  
California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System
3/18 at 100.00
AA–
746,655
   
West, Series 2007B, 5.000%, 3/01/37 – AGC Insured
      
   
California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanante System,
      
   
Series 2006:
      
125
  
5.000%, 3/01/41
3/16 at 100.00
A+
130,034
2,000
  
5.250%, 3/01/45
3/16 at 100.00
A+
2,098,560
1,500
  
California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Series
8/18 at 100.00
AA–
1,612,575
   
2004D, 5.050%, 8/15/38 – AGM Insured
      
800
  
Hospital Authority of Delaware County, Indiana, Hospital Revenue Bonds, Cardinal Health
8/16 at 100.00
Baa2
838,736
   
System, Series 2006, 5.000%, 8/01/24
      
850
  
Illinois Finance Authority, Revenue Bonds, Sherman Health Systems, Series 2007A,
8/17 at 100.00
BBB
879,045
   
5.500%, 8/01/37
      
725
  
Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010,
11/20 at 100.00
Baa3
763,838
   
6.000%, 11/01/41
      
380
  
San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011,
12/21 at 100.00
BB
451,467
   
7.500%, 12/01/41
      
11,830
  
Total Health Care
    
12,946,034
   
Housing/Multifamily – 1.0% (1.1% of Total Investments)
      
230
  
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects
8/20 at 100.00
BBB
250,272
   
Series 2010A, 6.400%, 8/15/45
      
70
  
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects
8/22 at 100.00
BBB
72,257
   
Series 2012A, 5.500%, 8/15/47
      
250
  
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects
8/22 at 100.00
A1
256,205
   
Series 2012B, 7.250%, 8/15/47
      
550
  
Total Housing/Multifamily
    
578,734
   
Housing/Single Family – 7.8% (7.9% of Total Investments)
      
440
  
California Department of Veteran Affairs, Home Purchase Revenue Bonds, Series 2007B, 5.150%,
12/16 at 100.00
AA
460,464
   
12/01/27 (Alternative Minimum Tax)
      
1,365
  
California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Series 2008L,
2/18 at 100.00
BBB
1,393,488
   
5.500%, 8/01/38
      
2,500
  
California Housing Finance Agency, Home Mortgage Revenue Bonds, Series 2006K, 4.625%, 8/01/26
2/16 at 100.00
BBB
2,484,450
   
(Alternative Minimum Tax)
      
4,305
  
Total Housing/Single Family
    
4,338,402
   
Industrials – 1.6% (1.6% of Total Investments)
      
900
  
California Enterprise Development Authority, Sewer Facilities Revenue, Anheuser-Busch Project,
9/12 at 100.00
A
902,016
   
Senior Lien Series 2007, 5.300%, 9/01/47 (Alternative Minimum Tax)
      
   
Long-Term Care – 2.1% (2.1% of Total Investments)
      
1,000
  
California Health Facilities Financing Authority, Insured Revenue Bonds, Community Program for
2/21 at 100.00
A–
1,163,600
   
Persons with Developmental Disabilities, Series 2011A, 6.250%, 2/01/26
      
   
Materials – 1.1% (1.1% of Total Investments)
      
585
  
Courtland Industrial Development Board, Alabama, Solid Waste Revenue Bonds, International
6/15 at 100.00
BBB
602,492
   
Paper Company Project, Series 2005A, 5.200%, 6/01/25 (Alternative Minimum Tax)
      
   
Tax Obligation/General – 8.9% (8.9% of Total Investments)
      
2,000
  
California State, Various Purpose General Obligation Bonds, Series 2007, 5.000%, 6/01/37 –
6/17 at 100.00
A1
2,093,980
   
NPFG Insured
      
2,100
  
Carlsbad Unified School District, San Diego County, California, General Obligation Bonds,
5/24 at 100.00
AA
1,608,747
   
Series 2009B, 0.000%, 5/01/34
      
1,120
  
Oakland, California, General Obligation Bonds, Measure DD Series 2009B, 5.250%, 1/15/29
1/19 at 100.00
Aa2
1,243,648
5,220
  
Total Tax Obligation/General
    
4,946,375
   
Tax Obligation/Limited – 18.2% (18.4% of Total Investments)
      
500
  
California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series
3/20 at 100.00
A2
583,990
   
2010A-1, 6.000%, 3/01/35
      
1,000
  
City and County of San Francisco, California, Redevelopment Financing Authority, Tax
8/19 at 100.00
A
1,149,000
   
Allocation Revenue Bonds, San Francisco Redevelopment Projects, Series 2009B, 6.625%, 8/01/39
      
160
  
Fontana Redevelopment Agancy, California, Jurupa Hills Redevelopment Project, Tax Allocation
10/12 at 100.00
A–
160,573
   
Refunding Bonds, 1997 Series A, 5.500%, 10/01/27
      
145
  
Inglewood Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment
5/17 at 100.00
BBB+
144,176
   
Project, Subordinate Lien Series 2007A-1, 5.000%, 5/01/25 – AMBAC Insured
      
1,000
  
Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment
8/19 at 100.00
BBB+
1,114,490
   
Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39
      
   
National City Community Development Commission, California, Tax Allocation Bonds, National
      
   
City Redevelopment Project, Series 2011:
      
1,135
  
5.000%, 8/01/16
No Opt. Call
A–
1,237,139
80
  
6.500%, 8/01/24
8/21 at 100.00
A–
94,014
30
  
Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment
9/21 at 100.00
A–
34,253
   
Project, Series 2011, 6.750%, 9/01/40
      
   
Perris Union High School District Financing Authority, Riverside County, California, Revenue
      
   
Bonds, Series 2011:
      
30
  
6.000%, 9/01/33
9/12 at 103.00
N/R
30,952
60
  
6.125%, 9/01/41
9/12 at 103.00
N/R
61,888
240
  
Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community
9/18 at 100.00
BBB
259,632
   
Development Project, Refunding Series 2008A, 6.500%, 9/01/28
      
95
  
Rancho Santa Fe CSD Financing Authority, California, Revenue Bonds, Superior Lien Series
9/21 at 100.00
BBB+
103,297
   
2011A, 5.750%, 9/01/30
      
15
  
Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Jurupa Valley Project
10/21 at 100.00
A–
16,649
   
Area, Series 2011B, 6.500%, 10/01/25
      
1,500
  
San Francisco City and County, California, Certificates of Participation, Multiple Capital
4/19 at 100.00
AA–
1,673,190
   
Improvement Projects, Series 2009A, 5.250%, 4/01/31
      
15
  
San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds,
2/21 at 100.00
A–
17,247
   
Mission Bay North Redevelopment Project, Series 2011C, 6.750%, 8/01/41
      
   
San Francisco Redevelopment Financing Authority, California, Tax Allocation Revenue Bonds,
      
   
Mission Bay South Redevelopment Project, Series 2011D:
      
15
  
7.000%, 8/01/33
2/21 at 100.00
BBB
17,179
15
  
7.000%, 8/01/41
2/21 at 100.00
BBB
16,975
125
  
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment
8/17 at 100.00
BBB
127,384
   
Project, Series 2006C, 5.000%, 8/01/25 – NPFG Insured
      
585
  
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment
8/17 at 100.00
BBB
603,486
   
Project, Series 2006D, 5.000%, 8/01/22 – AMBAC Insured
      
25
  
Signal Hill Redevelopment Agency, California, Project 1 Tax Allocation Bonds, Series 2011,
4/21 at 100.00
N/R
27,210
   
7.000%, 10/01/26
      
500
  
Val Verde Unified School District Financing Authority, California, Special Tax Revenue, Junior
10/13 at 102.00
N/R
515,220
   
Lien Refunding Series 2003, 6.250%, 10/01/28
      
2,000
  
Westlake Village, California, Certificates of Participation, Financign Project, Series 2009,
6/16 at 100.00
AA+
2,126,040
   
5.000%, 6/01/39
      
40
  
Yorba Linda Redevelopment Agency, Orange County, California, Tax Allocation Revenue Bonds,
9/21 at 100.00
A–
44,586
   
Yorba Linda Redevelopment Project, Subordinate Lien Series 2011A, 6.000%, 9/01/26
      
9,310
  
Total Tax Obligation/Limited
    
10,158,570
   
Transportation – 1.0% (1.0% of Total Investments)
      
500
  
San Francisco Airports Commission, California, Revenue Bonds, San Francisco International
5/16 at 100.00
A+
559,135
   
Airport, Second Series 2002, Issue 32G, 5.000%, 5/01/24 – FGIC Insured
      
   
U.S. Guaranteed – 0.2% (0.2% of Total Investments) (4)
      
80
  
California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series
11/19 at 100.00
A2 (4)
104,162
   
2009, 5.500%, 11/01/39 (Pre-refunded 11/01/19)
      
   
Utilities – 13.8% (13.9% of Total Investments)
      
1,000
  
M-S-R Energy Authority, California, Gas Revenue Bonds, Series 2009C, 6.500%, 11/01/39
No Opt. Call
A
1,239,740
2,495
  
Roseville Natural Gas Financing Authority, California, Gas Revenue Bonds, Series 2007,
No Opt. Call
A
2,692,330
   
5.000%, 2/15/17
      
2,400
  
Southern California Public Power Authority, Natural Gas Project 1 Revenue Bonds, Series 2007A,
No Opt. Call
Baa1
2,613,240
   
5.250%, 11/01/24
      
1,000
  
Tuolumne Wind Project Authority, California, Revenue Bonds, Tuolumne Company Project, Series
1/19 at 100.00
A+
1,158,320
   
2009A, 5.625%, 1/01/29
      
6,895
  
Total Utilities
    
7,703,630
   
Water and Sewer – 8.3% (8.3% of Total Investments)
      
2,000
  
Orange County Sanitation District, California, Certificates of Participation, Series 2009, Trust 3020,
2/19 at 100.00
AAA
2,930,760
   
17.332%, 2/01/35 (IF)
      
1,000
  
San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds,
5/22 at 100.00
AA–
1,111,010
   
Series 2012A, 5.000%, 11/01/43 (WI/DD, Settling 6/07/12)
      
500
  
Western Riverside Water & Wastewater Financing Authority, California, Revenue Bonds, Western
8/19 at 100.00
AA
560,513
   
Municipal Water District, Series 2009, 5.625%, 9/01/39 – AGC Insured
      
3,500
  
Total Water and Sewer
    
4,602,283
$ 51,710
  
Total Investments (cost $46,371,576) – 99.2%
    
55,297,108
   
Other Assets Less Liabilities – 0.8% (5)
    
464,939
   
Net Assets Applicable to Common Shares – 100%
    
$ 55,762,047
 
 
 
 
 
 
 
 
 
 

 
                 
Investments in Derivatives at May 31, 2012
          
Forward Swaps outstanding:
                
 
       
Fund
        
Fixed Rate
      
Unrealized
  
   
Notional
  
Pay/Receive
Floating Rate
  
Fixed Rate
  
Payment
Effective
Termination
  
Appreciation
  
Counterparty
  
Amount
  
Floating Rate
Index
  
(Annualized)
  
Frequency
Date (6)
Date
  
(Depreciation)
  
Barclays Bank PLC
   $ 1,000,000  
Receive
3-Month USD-LIBOR
     3.190 %
Semi-Annually
4/30/14
4/30/34
   $ (107,859 )
 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. 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.
 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Significant unobservable inputs (including management's assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of May 31, 2012:
 
                         
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Long-Term Investments:
                        
Municipal Bonds
   $ —     $ 55,297,108     $ —     $ 55,297,108  
Derivatives:
                                
Forward Swaps*
     —       (107,859 )     —       (107,859 )
Total
   $ —     $ 55,189,249     $ —     $ 55,189,249  
* Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.
                          
 
 
During the period ended May 31, 2012, the Fund recognized no transfers to or from Level 1, Level 2 or Level 3.
 
Derivative Instruments and Hedging Activities
 
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
 
The following table presents the fair value of all derivative instruments held by the Fund as of May 31, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.
 
           
     
Location on the Statement of Assets and Liabilities
  
Underlying
Derivative
Asset Derivatives
Liability Derivatives
  
Risk Exposure
Instrument
Location
Value
Location
Value
Interest Rate
Swaps
Unrealized appreciation
$ —
Unrealized depreciation
$107,859
   
on forward swaps*
  
on forward swaps*
  
 
* Represents cumulative gross unrealized appreciation (depreciation) of forward swap contracts as reported in the Portfolio of Investments.
 
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 timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. 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 value of the Fund.
 
At May 31, 2012, the cost of investments (excluding investments in derivatives) was $46,040,178.
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at May 31, 2012, were as follows:
       
Gross unrealized:
      
Appreciation
   $ 9,256,930  
Depreciation
     —  
Net unrealized appreciation (depreciation) of investments
   $ 9,256,930  
 

 
 
(1)     
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)     
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.
(3)     
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)     
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)     
Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative investments as noted within Investments in Derivatives at May 31, 2012.
(6)     
Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each forward swap contract.
N/R
Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
(IF)
Inverse floating rate investment.

 
 
 
 

 
 
 
 
Item 2. 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
Item 3. Exhibits.

File as exhibits as part of this Form 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)), exactly as set forth below: See EX-99 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 California Municipal Value Fund 2 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         July 30, 2012        
 
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:         July 30, 2012        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         July 30, 2012