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 811-21471
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Nuveen Tax-Advantaged Total Return Strategy Fund | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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333 West Wacker Drive, Chicago, Illinois 60606 |
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(Address of principal executive offices) (Zip code) |
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Kevin J. McCarthy—Vice President and Secretary |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
312-917-7700 |
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Date of fiscal year end: |
12/31 |
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Date of reporting period: |
9/30/2012 |
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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
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Portfolio of Investments (Unaudited) |
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Nuveen Tax-Advantaged Total Return Strategy Fund (JTA) |
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September 30, 2012 |
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Shares |
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Description (1) |
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Value |
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Common Stocks – 100.0% (69.2% of Total Investments) |
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Aerospace & Defense – 1.7% |
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48,000 |
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Raytheon Company |
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$ 2,743,680 |
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Automobiles – 2.1% |
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151,000 |
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General Motors Company, (2) |
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3,435,250 |
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Chemicals – 1.5% |
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44,000 |
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Mosaic Company |
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2,534,840 |
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Commercial Banks – 3.8% |
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180,500 |
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Wells Fargo & Company |
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6,232,665 |
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Communications Equipment – 3.5% |
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257,500 |
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Cisco Systems, Inc. |
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4,915,675 |
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86,000 |
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LM Ericsson Telefonaktiebolget, Sponsored ADR |
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785,180 |
| |
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Total Communications Equipment |
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5,700,855 |
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Computers & Peripherals – 0.9% |
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87,000 |
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Hewlett-Packard Company |
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1,484,220 |
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Consumer Finance – 2.1% |
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62,000 |
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Capital One Financial Corporation |
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3,534,620 |
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Diversified Financial Services – 6.2% |
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153,200 |
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Citigroup Inc. |
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5,012,704 |
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129,500 |
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JP Morgan Chase & Co. |
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5,242,160 |
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Total Diversified Financial Services |
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10,254,864 |
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Diversified Telecommunication Services – 1.1% |
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356,700 |
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Frontier Communications Corporation |
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1,747,830 |
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Energy Equipment & Services – 1.0% |
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50,000 |
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Halliburton Company |
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1,684,500 |
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Food & Staples Retailing – 2.8% |
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95,000 |
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CVS Caremark Corporation |
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4,599,900 |
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Industrial Conglomerates – 1.2% |
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87,600 |
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General Electric Company |
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1,989,396 |
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Insurance – 11.1% |
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138,600 |
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American International Group, (2) |
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4,544,694 |
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234,000 |
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Hartford Financial Services Group, Inc. |
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4,548,960 |
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73,700 |
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MetLife, Inc., (3) |
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2,539,702 |
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127,544 |
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Symetra Financial Corporation |
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1,568,791 |
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260,700 |
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Unum Group |
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5,010,654 |
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Total Insurance |
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18,212,801 |
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Machinery – 1.9% |
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37,500 |
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Ingersoll Rand Company Limited, Class A |
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1,680,750 |
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34,700 |
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PACCAR Inc. |
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1,388,868 |
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Total Machinery |
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3,069,618 |
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Media – 11.4% |
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286,000 |
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Interpublic Group Companies, Inc. |
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3,180,320 |
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16,393 |
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Metro-Goldwyn-Mayer, (2), (11) |
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516,380 |
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211,300 |
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National CineMedia, Inc. |
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3,458,981 |
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73,000 |
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News Corporation, Class A |
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1,790,690 |
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98,800 |
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Time Warner Inc. |
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4,478,604 |
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100,000 |
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Viacom Inc., Class B |
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5,359,000 |
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Total Media |
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18,783,975 |
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Metals & Mining – 5.8% |
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112,300 |
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AngloGold Ashanti Limited, Sponsored ADR |
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3,936,115 |
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97,200 |
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Barrick Gold Corporation |
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4,059,072 |
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27,500 |
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Newmont Mining Corporation |
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1,540,275 |
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Total Metals & Mining |
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9,535,462 |
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Oil, Gas & Consumable Fuels – 8.1% |
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18,900 |
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Occidental Petroleum Corporation |
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1,626,534 |
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47,000 |
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Royal Dutch Shell PLC, Class A |
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3,262,270 |
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381,800 |
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Talisman Energy Inc. |
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5,085,576 |
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68,000 |
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Total SA, Sponsored ADR |
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3,406,800 |
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Total Oil, Gas & Consumable Fuels |
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13,381,180 |
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Pharmaceuticals – 18.6% |
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112,200 |
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GlaxoSmithKline PLC |
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5,188,128 |
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113,000 |
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Merck & Company Inc. |
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5,096,300 |
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374,400 |
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Pfizer Inc. |
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9,303,840 |
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181,000 |
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Sanofi-Aventis |
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7,793,860 |
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78,200 |
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Teva Pharmaceutical Industries Limited, Sponsored ADR |
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3,238,262 |
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Total Pharmaceuticals |
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30,620,390 |
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Semiconductors & Equipment – 1.2% |
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229,800 |
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Intersil Holding Corporation, Class A |
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2,010,750 |
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Software – 7.7% |
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307,000 |
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CA Inc. |
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7,909,855 |
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163,000 |
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Microsoft Corporation, (3) |
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4,854,140 |
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Total Software |
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12,763,995 |
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Specialty Retail – 0.8% |
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79,000 |
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Best Buy Co., Inc. |
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1,358,010 |
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Tobacco – 2.6% |
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47,400 |
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Philip Morris International |
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4,263,155 |
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Wireless Telecommunication Services – 2.9% |
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| |
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170,000 |
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Vodafone Group PLC, Sponsored ADR |
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4,844,150 |
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Total Common Stocks (cost $148,883,995) |
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164,786,106 |
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Shares |
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Description (1) |
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Coupon |
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Ratings (4) |
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Value |
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Convertible Preferred Securities – 0.5% (0.4% of Total Investments) |
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Commercial Banks – 0.5% |
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|
700 |
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Wells Fargo & Company, Convertible Bond |
|
7.500% |
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BBB+ |
|
$ 866,600 |
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Total Convertible Preferred Securities (cost $635,761) |
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866,600 |
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Shares |
|
Description (1) |
|
Coupon |
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Ratings (4) |
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Value |
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$25 Par (or similar) Preferred Securities – 7.9% (5.5% of Total Investments) |
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Capital Markets – 0.4% |
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25,000 |
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State Street Corporation |
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5.250% |
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BBB+ |
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$ 631,250 |
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Commercial Banks – 1.4% |
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25,000 |
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BB&T Corporation, (12) |
|
5.850% |
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BBB |
|
653,500 |
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|
25,000 |
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First Republic Bank of San Francisco, (12) |
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6.200% |
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BBB |
|
652,345 |
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|
10,000 |
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PNC Financial Services |
|
6.125% |
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BBB |
|
274,700 |
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|
25,000 |
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U.S. Bancorp. |
|
6.500% |
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A3 |
|
727,500 |
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Total Commercial Banks |
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2,308,045 |
|
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Consumer Finance – 0.4% |
|
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|
|
|
|
|
|
|
28,500 |
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HSBC Finance Corporation |
|
6.360% |
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|
A |
|
715,065 |
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Diversified Consumer Services – 0.4% |
|
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|
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|
25,000 |
|
Gabelli Equity Trust |
|
5.000% |
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AAA |
|
631,250 |
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Diversified Financial Services – 0.2% |
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10,000 |
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JP Morgan Chase & Company |
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5.500% |
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BBB |
|
249,000 |
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Electric Utilities – 1.9% |
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|
18,150 |
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Alabama Power Company, (12) |
|
6.500% |
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A- |
|
516,709 |
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|
10,000 |
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Alabama Power Company, (12) |
|
6.450% |
|
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|
A- |
|
286,875 |
|
|
12,000 |
|
Connecticut Power & Light Company, (12) |
|
4.960% |
|
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|
BBB |
|
608,250 |
|
|
5,000 |
|
Georgia Power Company, (12) |
|
6.500% |
|
|
|
A- |
|
560,313 |
|
|
5,000 |
|
Gulf Power Company, (12) |
|
6.450% |
|
|
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BBB+ |
|
552,105 |
|
|
3,600 |
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SCE Trust I |
|
5.625% |
|
|
|
BBB+ |
|
93,889 |
|
|
4,400 |
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Southern California Edison Company, (12) |
|
6.125% |
|
|
|
BBB+ |
|
443,850 |
|
|
|
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Total Electric Utilities |
|
|
|
|
|
|
|
3,061,991 |
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Insurance – 2.8% |
|
|
|
|
|
|
|
|
|
|
25,000 |
|
Arch Capital Group Limited |
|
6.750% |
|
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|
BBB |
|
667,500 |
|
|
3,800 |
|
Aspen Insurance Holdings Limited |
|
7.401% |
|
|
|
BBB- |
|
102,333 |
|
|
15,410 |
|
Aspen Insurance Holdings Limited |
|
7.250% |
|
|
|
BBB- |
|
402,971 |
|
|
25,000 |
|
Axis Capital Holdings Limited |
|
6.875% |
|
|
|
BBB |
|
672,500 |
|
|
25,000 |
|
Endurance Specialty Holdings Limited |
|
7.750% |
|
|
|
BBB- |
|
662,500 |
|
|
3,500 |
|
Endurance Specialty Holdings Limited |
|
7.500% |
|
|
|
BBB- |
|
91,595 |
|
|
25,000 |
|
MetLife Inc., Series B |
|
6.500% |
|
|
|
Baa2 |
|
643,500 |
|
|
25,000 |
|
PartnerRe Limited |
|
7.250% |
|
|
|
BBB+ |
|
685,000 |
|
|
25,000 |
|
Principal Financial Group |
|
6.518% |
|
|
|
BBB |
|
660,000 |
|
|
|
|
Total Insurance |
|
|
|
|
|
|
|
4,587,899 |
|
|
|
|
Oil, Gas & Consumable Fuels – 0.4% |
|
|
|
|
|
|
|
|
|
|
25,000 |
|
Kayne Anderson MLP Trust, (3) |
|
4.950% |
|
|
|
AA |
|
633,750 |
|
|
|
|
Total $25 Par (or similar) Preferred Securities (cost $11,895,005) |
|
|
|
12,818,250 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (5) |
|
Ratings (4) |
|
Value |
|
|
|
|
Variable Rate Senior Loan Interests – 27.1% (19.0% of Total Investments) (6) |
|
|
|
|
| ||||
|
|
|
Auto Components – 1.2% |
|
|
|
|
|
|
|
|
|
|
$ 1,304 |
|
Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.166% |
|
12/29/14 |
|
Ba3 |
|
$ 1,274,922 |
|
|
665 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.159% |
|
12/28/15 |
|
Ba3 |
|
650,471 |
|
|
1,969 |
|
Total Auto Components |
|
|
|
|
|
|
|
1,925,393 |
|
|
|
|
Biotechnology – 0.5% |
|
|
|
|
|
|
|
|
|
|
887 |
|
Grifols, Inc., Term Loan |
|
4.500% |
|
6/01/17 |
|
BB |
|
895,898 |
|
|
|
|
Building Products – 0.6% |
|
|
|
|
|
|
|
|
|
|
931 |
|
Goodman Global Inc., Term Loan |
|
5.750% |
|
10/28/16 |
|
B+ |
|
934,989 |
|
|
|
|
Chemicals – 0.6% |
|
|
|
|
|
|
|
|
|
|
983 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
980,274 |
|
|
|
|
Communications Equipment – 1.1% |
|
|
|
|
|
|
|
|
|
|
856 |
|
Intelsat Jackson Holdings, Ltd., Term Loan B1 |
|
4.500% |
|
4/02/18 |
|
B1 |
|
860,113 |
|
|
979 |
|
Avaya, Inc., Term Loan |
|
3.177% |
|
10/27/14 |
|
B1 |
|
951,335 |
|
|
1,835 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
1,811,448 |
|
|
|
|
Consumer Finance – 0.4% |
|
|
|
|
|
|
|
|
|
|
750 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B3 |
|
735,750 |
|
|
|
|
Containers & Packaging – 1.2% |
|
|
|
|
|
|
|
|
|
|
1,599 |
|
Reynolds Group Holdings, Inc., Term Loan, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
1,607,000 |
|
|
459 |
|
Sealed Air Corporation, Term Loan |
|
4.750% |
|
10/03/18 |
|
Ba1 |
|
463,025 |
|
|
2,058 |
|
Total Containers & Packaging |
|
|
|
|
|
|
|
2,070,025 |
|
|
|
|
Electric Utilities – 0.8% |
|
|
|
|
|
|
|
|
|
|
1,860 |
|
TXU Corporation, 2014 Term Loan |
|
3.757% |
|
10/10/14 |
|
B2 |
|
1,390,332 |
|
|
|
|
Food Products – 1.4% |
|
|
|
|
|
|
|
|
|
|
1,320 |
|
Michael Foods Group, Inc., Term Loan |
|
4.250% |
|
2/25/18 |
|
B+ |
|
1,330,659 |
|
|
979 |
|
U.S. Foodservice, Inc., Extended Term Loan |
|
5.750% |
|
3/31/17 |
|
B- |
|
968,836 |
|
|
2,299 |
|
Total Food Products |
|
|
|
|
|
|
|
2,299,495 |
|
|
|
|
Health Care Equipment & Supplies – 0.9% |
|
|
|
|
|
|
|
|
|
|
1,489 |
|
Chiron Merger Sub, Inc., Term Loan |
|
7.000% |
|
5/04/18 |
|
Ba2 |
|
1,512,012 |
|
|
|
|
Health Care Providers & Services – 3.5% |
|
|
|
|
|
|
|
|
|
|
1,000 |
|
DaVita, Inc., New Term Loan B2, WI/DD |
|
TBD |
|
TBD |
|
Ba2 |
|
1,003,750 |
|
|
993 |
|
Emdeon Business Services LLC, Term Loan B1 |
|
5.000% |
|
11/02/18 |
|
BB- |
|
1,001,197 |
|
|
987 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
955,117 |
|
|
76 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.612% |
|
3/31/17 |
|
BB |
|
76,169 |
|
|
905 |
|
Kindred Healthcare, Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
894,165 |
|
|
992 |
|
Select Medical Corporation, Term Loan |
|
5.500% |
|
6/01/18 |
|
BB- |
|
999,285 |
|
|
805 |
|
Universal Health Services, Inc., Term Loan B |
|
3.750% |
|
11/15/16 |
|
BB+ |
|
806,795 |
|
|
5,758 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
5,736,478 |
|
|
|
|
Hotels, Restaurants & Leisure – 2.3% |
|
|
|
|
|
|
|
|
|
|
958 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
7.500% |
|
4/22/16 |
|
Ba3 |
|
970,717 |
|
|
1,251 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB- |
|
1,257,411 |
|
|
1,500 |
|
Six Flags Theme Parks, Inc., Term Loan B |
|
4.250% |
|
12/20/18 |
|
BB+ |
|
1,511,244 |
|
|
3,709 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
3,739,372 |
|
|
|
|
Internet & Catalog Retail – 0.4% |
|
|
|
|
|
|
|
|
|
|
706 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B1 |
|
5.500% |
|
2/23/17 |
|
B |
|
715,736 |
|
|
|
|
Internet Software & Services – 0.4% |
|
|
|
|
|
|
|
|
|
|
627 |
|
Go Daddy Operating Co. LLC, Term Loan, Tranche B1 |
|
5.500% |
|
12/17/18 |
|
Ba3 |
|
625,234 |
|
|
|
|
IT Services – 1.8% |
|
|
|
|
|
|
|
|
|
|
873 |
|
Infor Enterprise Applications, Term Loan B |
|
5.250% |
|
4/05/18 |
|
B+ |
|
877,358 |
|
|
490 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.975% |
|
2/28/14 |
|
BB |
|
491,311 |
|
|
1,247 |
|
First Data Corporation, Extended Term Loan B |
|
5.217% |
|
3/24/17 |
|
B+ |
|
1,228,278 |
|
|
306 |
|
Frac Tech International LLC, Term Loan |
|
6.250% |
|
5/06/16 |
|
B+ |
|
295,806 |
|
|
2,916 |
|
Total IT Services |
|
|
|
|
|
|
|
2,892,753 |
|
|
|
|
Media – 5.1% |
|
|
|
|
|
|
|
|
|
|
264 |
|
Nielsen Finance LLC, Term Loan C |
|
3.478% |
|
5/02/16 |
|
Ba2 |
|
264,998 |
|
|
1,564 |
|
Univision Communications, Inc., Term Loan |
|
4.466% |
|
3/31/17 |
|
B+ |
|
1,551,755 |
|
|
614 |
|
Bresnan Broadband Holdings LLC, Term Loan B |
|
4.500% |
|
12/14/17 |
|
BB+ |
|
617,747 |
|
|
498 |
|
Cequel Communications LLC, Term Loan |
|
4.000% |
|
2/14/19 |
|
Ba2 |
|
500,143 |
|
|
750 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B2 |
|
759,375 |
|
|
1,246 |
|
Interactive Data Corporation, Term Loan B |
|
4.500% |
|
2/11/18 |
|
BB- |
|
1,255,028 |
|
|
1,000 |
|
Kabel Deutschland GmbH, Term Loan F |
|
4.250% |
|
1/20/19 |
|
Ba2 |
|
1,002,946 |
|
|
1,955 |
|
Mediacom Broadband LLC, Tranche F, Term Loan |
|
4.500% |
|
10/23/17 |
|
BB- |
|
1,945,225 |
|
|
439 |
|
WideOpenWest Finance LLC, Term Loan B |
|
6.250% |
|
7/12/18 |
|
B1 |
|
443,563 |
|
|
8,330 |
|
Total Media |
|
|
|
|
|
|
|
8,340,780 |
|
|
|
|
Multiline Retail – 0.6% |
|
|
|
|
|
|
|
|
|
|
931 |
|
Bass Pro Group LLC, Term Loan B |
|
5.250% |
|
6/13/17 |
|
BB- |
|
943,292 |
|
|
|
|
Oil, Gas & Consumable Fuels – 0.8% |
|
|
|
|
|
|
|
|
|
|
500 |
|
El Paso Corporation, Tranche B1, Term Loan |
|
5.000% |
|
5/24/18 |
|
BB- |
|
505,312 |
|
|
860 |
|
Energy Transfer Partners LP, Term Loan B |
|
3.750% |
|
3/24/17 |
|
BB |
|
860,777 |
|
|
1,360 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
1,366,089 |
|
|
|
|
Pharmaceuticals – 1.3% |
|
|
|
|
|
|
|
|
|
|
500 |
|
Bausch & Lomb, Inc., Delayed Draw, Term Loan |
|
4.750% |
|
11/10/15 |
|
B+ |
|
505,625 |
|
|
748 |
|
Bausch & Lomb, Inc., Term Loan B |
|
5.250% |
|
5/17/19 |
|
B+ |
|
757,290 |
|
|
134 |
|
Warner Chilcott Company LLC, Term Loan B1 Additional |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
134,226 |
|
|
352 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
353,451 |
|
|
176 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
176,726 |
|
|
242 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
242,998 |
|
|
2,152 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
2,170,316 |
|
|
|
|
Real Estate Investment Trust – 0.2% |
|
|
|
|
|
|
|
|
|
|
332 |
|
iStar Financial, Inc., Term Loan, Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
333,183 |
|
|
|
|
Real Estate Management & Development – 0.2% |
|
|
|
|
|
|
|
|
|
|
383 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
384,248 |
|
|
|
|
Road & Rail – 0.4% |
|
|
|
|
|
|
|
|
|
|
609 |
|
Swift Transportation Company, Inc., Term Loan, Tranche B2 |
|
5.000% |
|
12/21/17 |
|
BB |
|
613,272 |
|
|
|
|
Semiconductors & Equipment – 0.6% |
|
|
|
|
|
|
|
|
|
|
985 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/03/17 |
|
B- |
|
996,081 |
|
|
|
|
Software – 0.5% |
|
|
|
|
|
|
|
|
|
|
885 |
|
Datatel Parent Corp, Term Loan B |
|
6.250% |
|
7/19/18 |
|
B+ |
|
897,952 |
|
|
|
|
Wireless Telecommunication Services – 0.3% |
|
|
|
|
|
|
|
|
|
|
574 |
|
Clear Channel Communications, Inc., Tranche B, Term Loan, WI/DD |
|
0.000% |
|
1/29/16 |
|
CCC+ |
|
471,059 |
|
|
$ 45,318 |
|
Total Variable Rate Senior Loan Interests (cost $44,908,956) |
|
|
|
44,781,461 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)/ |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (4) |
|
Value |
|
|
|
|
Capital Preferred Securities – 1.1% (0.7% of Total Investments) |
|
|
|
|
|
|
| ||
|
|
|
Commercial Banks – 0.3% |
|
|
|
|
|
|
|
|
|
|
500 |
|
PNC Financial Services Inc. |
|
6.750% |
|
2/01/62 |
|
BBB |
|
$ 558,765 |
|
|
|
|
Diversified Financial Services – 0.8% |
|
|
|
|
|
|
|
|
|
|
600 |
|
General Electric Capital Corporation |
|
7.125% |
|
12/15/62 |
|
AA- |
|
668,652 |
|
|
500 |
|
JP Morgan Chase & Company |
|
7.900% |
|
10/30/58 |
|
BBB |
|
567,865 |
|
|
|
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
1,236,517 |
|
|
|
|
Insurance – 0.0% |
|
|
|
|
|
|
|
|
|
|
44 |
|
Prudential PLC |
|
7.750% |
|
12/31/49 |
|
A- |
|
47,300 |
|
|
|
|
Total Capital Preferred Securities (cost $1,631,257) |
|
|
|
|
|
|
|
1,842,582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
|
|
|
|
Short-Term Investments – 7.4% (5.2% of Total Investments) |
|
|
|
|
|
|
| ||
|
$ 2,665 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/12, repurchase price $2,665,335, collateralized by $2,695,000 U.S. Treasury Notes, 0.750%, due 6/30/17, value $2,721,950 |
|
0.010% |
|
10/01/12 |
|
|
|
$ 2,665,333 |
|
|
9,536 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/12, repurchase price $9,535,633, collateralized by $7,155,000 U.S. Treasury Bonds, 4.500%, due 8/15/39, value $9,727,931 |
|
0.010% |
|
10/01/12 |
|
|
|
9,535,625 |
|
|
$ 12,201 |
|
Total Short-Term Investments (cost $12,200,958) |
|
|
|
|
|
|
|
12,200,958 |
|
|
|
|
Total Investments (cost $220,155,932) – 144.0% |
|
|
|
|
|
|
|
237,295,957 |
|
|
|
|
Borrowings – (41.2)% (7), (8) |
|
|
|
|
|
|
|
(67,900,000 |
) |
|
|
|
Other Assets Less Liabilities – (2.8)% (9) |
|
|
|
|
|
|
|
(4,600,875 |
) |
|
|
|
Net Assets Applicable to Common Shares – 100% |
|
|
|
|
|
|
|
$164,795,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Derivatives at September 30, 2012 |
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
| ||
|
Call Options Written outstanding: |
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
|
|
Contracts |
|
Type |
|
Amount (10) |
|
Date |
|
Price |
|
Value (9) |
|
|
(310 |
) |
Mosaic Company |
|
$ (1,860,000) |
|
12/22/12 |
|
$ 60.0 |
|
$ (56,575 |
) |
|
(2,548 |
) |
Talisman Energy Inc. |
|
(3,057,600) |
|
10/20/12 |
|
12.0 |
|
(356,720 |
) |
|
(2,858 |
) |
Total Call Options Written (premiums received $298,080) |
|
$ (4,917,600) |
|
|
|
|
|
$ (413,295 |
) |
Interest Rate Swaps outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
|
Unrealized |
| |
|
|
|
Notional |
|
Pay/Receive |
|
Floating Rate |
|
|
|
Payment |
|
|
Termination |
|
Appreciation |
| |
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Index |
|
Fixed Rate* |
|
Frequency |
|
|
Date |
|
(Depreciation)(9) |
| |
|
JPMorgan |
|
$ 13,975,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.412% |
|
Monthly |
|
|
3/29/2014 |
|
$ |
(249,468 |
) |
|
Morgan Stanley |
|
13,975,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.323 |
|
Monthly |
|
|
3/29/2016 |
|
(932,753 |
) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,182,221 |
) |
*Annualized.
|
|
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 following is a summary of the three-tiered hierarchy of valuation input levels. | |||||||||||||||||||||||||
|
|
Level 1 - Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities. | |||||||||||||||||||||||||
|
|
Level 2 - Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||||||||||||||||||||||||
|
|
Level 3 - Prices are determined using 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 risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period: | |||||||||||||||||||||||||
|
|
| |||||||||||||||||||||||||
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||||||||||||||
|
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
| ||||||||||||||||
|
|
Common Stocks |
|
$ 164,269,726 |
|
$ |
516,380 |
|
$ – |
|
$ 164,786,106 |
| |||||||||||||||
|
|
Convertible Preferred Securities |
|
866,600 |
|
– |
|
– |
|
866,600 |
| ||||||||||||||||
|
|
$25 Par (or similar) Preferred Securities |
|
8,544,303 |
|
4,273,947 |
|
– |
|
12,818,250 |
| ||||||||||||||||
|
|
Variable Rate Senior Loan Interests |
|
– |
|
44,781,461 |
|
– |
|
44,781,461 |
| ||||||||||||||||
|
|
Capital Preferred Securities |
|
– |
|
1,842,582 |
|
– |
|
1,842,582 |
| ||||||||||||||||
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
| ||||||||||||||||
|
|
Repurchase Agreements |
|
– |
|
12,200,958 |
|
– |
|
12,200,958 |
| ||||||||||||||||
|
|
Derivatives: |
|
|
|
|
|
|
|
|
| ||||||||||||||||
|
|
Call Options Written |
|
(413,295 |
) |
– |
|
– |
|
(413,295 |
) | ||||||||||||||||
|
|
Interest Rate Swaps** |
|
– |
|
(1,182,221 |
) |
– |
|
(1,182,221 |
) | ||||||||||||||||
|
|
Total |
|
$ 173,267,334 |
|
$ |
62,433,107 |
|
$ – |
|
$ 235,700,441 |
| |||||||||||||||
|
|
|
|
|
|
|
|
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* Refer to the Fund’s Portfolio of Investments for industry classifications and breakdown of Common Stocks and $25 Par (or similar) Preferred Securities classified as Level 2. | |||||||||||||||||||||||||
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** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. | |||||||||||||||||||||||||
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The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees. | |||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities | |||||||||||||||||||||||||
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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. | |||||||||||||||||||||||||
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The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2012, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure. | |||||||||||||||||||||||||
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Location on the Statement of Assets and Liabilities |
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Underlying |
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Derivative |
|
Asset Derivatives |
|
Liability Derivatives |
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|
Risk Exposure |
|
Instrument |
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Location |
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Value |
|
Location |
|
Value |
| ||||||||||||||
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|
Equity Price |
|
Options |
|
— |
|
$ |
— |
|
Call options written, at value |
|
$ |
(413,295 |
) | ||||||||||||
|
|
Interest Rate |
|
Swaps |
|
— |
|
— |
|
Unrealized depreciation on interest rate swaps |
|
(1,182,221 |
) | ||||||||||||||
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Total |
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|
|
|
|
$ |
— |
|
|
|
$ |
(1,595,516 |
) | ||||||||||||
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Income Tax Information | |||||||||||||||||||||||||
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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 treatment of paydown gains and losses, recognition of premium amortization 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 value of the Fund. | |||||||||||||||||||||||||
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At September 30, 2012, the cost of investments (excluding investments in derivatives) was $222,722,083. | |||||||||||||||||||||||||
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Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2012, were as follows: | |||||||||||||||||||||||||
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Gross unrealized: |
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| ||||||||||||||||||||||
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|
Appreciation |
|
$ |
25,892,961 |
| |||||||||||||||||||||
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|
Depreciation |
|
(11,319,087 |
) | ||||||||||||||||||||||
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|
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|
| ||||||||||||||||||||||
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|
Net unrealized appreciation (depreciation) of investments |
|
$ |
14,573,874 |
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For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease. |
|
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
(2) |
Non-income producing; issuer has not declared a dividend within the past twelve months. |
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(3) |
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. |
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(4) |
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. |
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(5) |
Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown. |
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(6) |
Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. |
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|
Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
|
(7) |
Borrowings as a percentage of Total Investments is 28.6%. |
|
(8) |
The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2012, investments with a value of $141,947,141 have been pledged as collateral for Borrowings. |
|
(9) |
Other Assets Less Liabilities includes the Value and the Net Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives at September 30, 2012. |
|
(10) |
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
|
(11) |
For fair value measurement disclosure purposes, Common Stocks categorized as Level 2. |
|
(12) |
For fair value measurement disclosure purposes, $25 Par (or similar) Preferred Securities categorized as Level 2. |
|
WI/DD |
Purchased on a when-issued or delayed delivery basis. |
|
ADR |
American Depositary Receipt. |
|
USD-LIBOR |
United States Dollar-London Inter-Bank Offered Rate. |
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)). |
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|
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: 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 Tax-Advantaged Total Return Strategy Fund
|
By (Signature and Title) |
/s/ Kevin J. McCarthy |
|
|
|
Kevin J. McCarthy |
|
|
|
Vice President and Secretary |
|
Date: November 29, 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: November 29, 2012
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date: November 29, 2012