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
Nuveen Tax-Advantaged Total Return Strategy Fund
(Exact name of registrant as specified in charter)
333 West Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Gifford R. ZimmermanVice President and Secretary
333 West Wacker Drive, Chicago, Illinois 60606
(Name and address of agent for service)
Registrants telephone number, including area code: 312-917-7700
Date of fiscal year end: December 31
Date of reporting period: September 30, 2017
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
JTA
Nuveen Tax-Advantaged Total Return Strategy Fund | ||
Portfolio of Investments |
September 30, 2017 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||||||
LONG-TERM INVESTMENTS 141.3% (98.3% of Total Investments) |
|
|||||||||||||||||||
COMMON STOCKS 101.8% (70.8% of Total Investments) |
||||||||||||||||||||
Air Freight & Logistics 2.6% | ||||||||||||||||||||
115,000 | Deutsche Post AG, (2) |
$ | 5,126,042 | |||||||||||||||||
Airlines 0.8% | ||||||||||||||||||||
32,600 | Delta Air Lines, Inc. |
1,571,972 | ||||||||||||||||||
Automobiles 1.6% | ||||||||||||||||||||
38,100 | Daimler AG, (2) |
3,041,334 | ||||||||||||||||||
Banks 18.2% | ||||||||||||||||||||
1,120,000 | Allied Irish Banks |
6,731,159 | ||||||||||||||||||
368,000 | Bank of Ireland Group PLC, (3) |
3,011,955 | ||||||||||||||||||
99,500 | CIT Group Inc., (4) |
4,880,475 | ||||||||||||||||||
91,700 | Citigroup Inc., (4) |
6,670,258 | ||||||||||||||||||
256,000 | ING Groep N.V, Sponsored ADR, (4) |
4,715,520 | ||||||||||||||||||
38,400 | JP Morgan Chase & Co. |
3,667,584 | ||||||||||||||||||
1,540,700 | Unicaja Banco, (2), (3) |
2,370,305 | ||||||||||||||||||
89,000 | The Bank of NT Butterfield and Son Limited, (4) |
3,260,960 | ||||||||||||||||||
Total Banks |
35,308,216 | |||||||||||||||||||
Biotechnology 0.9% | ||||||||||||||||||||
20,600 | Gilead Sciences, Inc., (4) |
1,669,012 | ||||||||||||||||||
Building Products 1.4% | ||||||||||||||||||||
67,500 | Johnson Controls International PLC |
2,719,575 | ||||||||||||||||||
Capital Markets 6.3% | ||||||||||||||||||||
153,000 | Ares Capital Corporation, (4) |
2,507,670 | ||||||||||||||||||
46,500 | Aurelius AG |
3,057,884 | ||||||||||||||||||
277,000 | Deutsche Boerse AG, ADR, (2), (4) |
3,008,220 | ||||||||||||||||||
219,500 | UBS Group AG, (2) |
3,754,981 | ||||||||||||||||||
Total Capital Markets |
12,328,755 | |||||||||||||||||||
Chemicals 4.3% | ||||||||||||||||||||
270,000 | CVR Partners LP, (4) |
872,100 | ||||||||||||||||||
108,200 | DowDuPont, Inc., (4) |
7,490,686 | ||||||||||||||||||
Total Chemicals |
8,362,786 | |||||||||||||||||||
Communications Equipment 1.2% | ||||||||||||||||||||
70,500 | Cisco Systems, Inc. |
2,370,915 | ||||||||||||||||||
Diversified Financial Services 1.5% | ||||||||||||||||||||
291,000 | Challenger Limited, (2) |
2,852,459 | ||||||||||||||||||
Diversified Telecommunication Services 4.3% | ||||||||||||||||||||
105,300 | Nippon Telegraph and Telephone Corporation, ADR, (2) |
4,814,316 | ||||||||||||||||||
216,500 | Telefonica Brasil SA |
3,450,028 | ||||||||||||||||||
Total Diversified Telecommunication Services |
8,264,344 | |||||||||||||||||||
Electric Utilities 1.0% | ||||||||||||||||||||
65,800 | FirstEnergy Corp., (5) |
2,028,614 |
NUVEEN | 1 |
JTA | Nuveen Tax-Advantaged Total Return Strategy Fund | |||
Portfolio of Investments (continued) | September 30, 2017 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||||||
Electrical Equipment 1.1% | ||||||||||||||||||||
26,700 | Eaton PLC |
$ | 2,050,293 | |||||||||||||||||
Energy Equipment & Services 0.0% | ||||||||||||||||||||
3,348 | Ocean Rig UDW Inc., (3) |
79,558 | ||||||||||||||||||
Equity Real Estate Investment Trusts 2.4% | ||||||||||||||||||||
250,200 | Colony Northstar, Inc. |
3,142,512 | ||||||||||||||||||
19,000 | Life Storage, Inc., (4) |
1,554,390 | ||||||||||||||||||
Total Equity Real Estate Investment Trusts |
4,696,902 | |||||||||||||||||||
Food & Staples Retailing 1.3% | ||||||||||||||||||||
31,500 | CVS Health Corporation, (4) |
2,561,580 | ||||||||||||||||||
Food Products 2.1% | ||||||||||||||||||||
398,100 | Orkla ASA, Sponsored ADR, (2), (4) |
4,056,639 | ||||||||||||||||||
Health Care Equipment & Supplies 1.8% | ||||||||||||||||||||
78,000 | Philips Electronics, (4) |
3,213,600 | ||||||||||||||||||
Health Care Providers & Services 0.0% | ||||||||||||||||||||
6,594 | Millennium Health LLC, (3) |
4,121 | ||||||||||||||||||
Household Durables 1.8% | ||||||||||||||||||||
203,050 | Sekisui House, Ltd., (2) |
3,422,554 | ||||||||||||||||||
Industrial Conglomerates 1.9% | ||||||||||||||||||||
62,000 | General Electric Company |
1,499,160 | ||||||||||||||||||
16,200 | Siemens AG, Sponsored ADR, (2) |
2,285,971 | ||||||||||||||||||
Total Industrial Conglomerates |
3,785,131 | |||||||||||||||||||
Insurance 10.1% | ||||||||||||||||||||
91,500 | Ageas, (2) |
4,303,584 | ||||||||||||||||||
168,000 | Allinaz S.E., Sponsored ADR, (2), (4) |
3,761,520 | ||||||||||||||||||
50,600 | CNA Financial Corporation, (4) |
2,542,650 | ||||||||||||||||||
82,800 | NN Group NV, (2) |
3,467,363 | ||||||||||||||||||
22,300 | Renaissance Holdings, Limited, (4) |
3,013,622 | ||||||||||||||||||
50,000 | Unum Group, (4) |
2,556,500 | ||||||||||||||||||
Total Insurance |
19,645,239 | |||||||||||||||||||
Media 1.7% | ||||||||||||||||||||
2,099 | Metro-Goldwyn-Mayer, (3) |
200,849 | ||||||||||||||||||
156,400 | National CineMedia, Inc., (4) |
1,091,672 | ||||||||||||||||||
3,184 | Tribune Media Company, (6) |
| ||||||||||||||||||
71,500 | Viacom Inc., Class B, (4) |
1,990,560 | ||||||||||||||||||
Total Media |
3,283,081 | |||||||||||||||||||
Multi-Utilities 3.5% | ||||||||||||||||||||
295,000 | Veolia Environment S.A., ADR, (2) |
6,816,853 | ||||||||||||||||||
Oil, Gas & Consumable Fuels 5.4% | ||||||||||||||||||||
24,100 | Chevron Corporation, (4) |
2,831,750 | ||||||||||||||||||
184,500 | Enterprise Products Partnership LP, (4) |
4,809,915 | ||||||||||||||||||
9 | Southcross Holdings Borrower LP, (3) |
5,850 | ||||||||||||||||||
51,400 | Total SA, Sponsored ADR, (4) |
2,750,928 | ||||||||||||||||||
Total Oil, Gas & Consumable Fuels |
10,398,443 | |||||||||||||||||||
Pharmaceuticals 8.1% | ||||||||||||||||||||
72,000 | AstraZeneca PLC, Sponsored ADR |
2,439,360 | ||||||||||||||||||
169,000 | GlaxoSmithKline PLC, Sponsored ADR |
6,861,400 |
2 | NUVEEN |
Shares | Description (1) | Value | ||||||||||||||||||
Pharmaceuticals (continued) | ||||||||||||||||||||
99,400 | Roche Holdings AG, Sponsored ADR, (2), (4) |
$ | 3,180,800 | |||||||||||||||||
60,000 | Takeda Chemical Industries, (2) |
3,317,754 | ||||||||||||||||||
Total Pharmaceuticals |
15,799,314 | |||||||||||||||||||
Real Estate Management & Development 1.7% | ||||||||||||||||||||
1,856,500 | Sino Land Company Limited, (2) |
3,272,986 | ||||||||||||||||||
Road & Rail 1.5% | ||||||||||||||||||||
25,800 | Union Pacific Corporation, (4) |
2,992,026 | ||||||||||||||||||
Semiconductors & Semiconductor Equipment 3.5% | ||||||||||||||||||||
226,000 | Cypress Semiconductor Corporation |
3,394,520 | ||||||||||||||||||
131,500 | Infineon Technologies AG, (2) |
3,315,431 | ||||||||||||||||||
Total Semiconductors & Semiconductor Equipment |
6,709,951 | |||||||||||||||||||
Software 5.7% | ||||||||||||||||||||
41,500 | Microsoft Corporation, (4) |
3,091,335 | ||||||||||||||||||
166,000 | Oracle Corporation |
8,026,100 | ||||||||||||||||||
Total Software |
11,117,435 | |||||||||||||||||||
Specialty Retail 1.0% | ||||||||||||||||||||
509,000 | Kingfisher plc, (2) |
2,037,874 | ||||||||||||||||||
Tobacco 3.1% | ||||||||||||||||||||
138,900 | Imperial Brands PLC, Sponsored ADR, (2) |
6,010,203 | ||||||||||||||||||
Total Common Stocks (cost $163,424,295) |
197,597,807 | |||||||||||||||||||
Shares | Description (1) | Coupon | Ratings (7) | Value | ||||||||||||||||
CONVERTIBLE PREFERRED SECURITIES 1.4% (1.0% of Total Investments) |
|
|||||||||||||||||||
Banks 0.7% | ||||||||||||||||||||
525 | Bank of America Corporation |
7.250% | BB+ | $ | 683,272 | |||||||||||||||
425 | Wells Fargo & Company |
7.500% | BBB | 558,875 | ||||||||||||||||
Total Banks |
1,242,147 | |||||||||||||||||||
Pharmaceuticals 0.7% | ||||||||||||||||||||
4,090 | Teva Pharmaceutical Industries Limited, (2) |
7.000% | N/R | 1,416,367 | ||||||||||||||||
Total Convertible Preferred Securities (cost $4,807,873) |
2,658,514 | |||||||||||||||||||
Shares | Description (1) | Coupon | Ratings (7) | Value | ||||||||||||||||
$25 PAR (OR SIMILAR) RETAIL PREFERRED 6.4% (4.5% of Total Investments) |
| |||||||||||||||||||
Banks 2.2% | ||||||||||||||||||||
13,020 | Boston Private Financial Holdings Inc. |
6.950% | N/R | $ | 335,916 | |||||||||||||||
4,625 | Cobank Agricultural Credit Bank, 144a, (2) |
6.250% | BBB+ | 495,886 | ||||||||||||||||
3,250 | Cobank Agricultural Credit Bank, (2) |
6.125% | BBB+ | 321,649 | ||||||||||||||||
14,122 | Fifth Third Bancorp. |
6.625% | Baa3 | 423,519 | ||||||||||||||||
9,986 | First Republic Bank of San Francisco |
7.000% | BBB | 265,727 | ||||||||||||||||
3,800 | FNB Corporation |
7.250% | Ba2 | 112,480 | ||||||||||||||||
4,450 | HSBC Holdings PLC |
8.000% | BBB+ | 120,061 | ||||||||||||||||
16,275 | Huntington BancShares Inc. |
6.250% | Baa3 | 446,261 | ||||||||||||||||
7,850 | KeyCorp |
6.125% | Baa3 | 230,712 | ||||||||||||||||
12,300 | Peoples United Financial, Inc. |
5.625% | BB+ | 330,255 | ||||||||||||||||
15,544 | Regions Financial Corporation |
6.375% | Ba1 | 444,248 | ||||||||||||||||
3,821 | TCF Financial Corporation |
7.500% | BB | 96,289 | ||||||||||||||||
19,300 | U.S. Bancorp. |
6.500% | A3 | 562,595 | ||||||||||||||||
Total Banks |
4,185,598 |
NUVEEN | 3 |
JTA | Nuveen Tax-Advantaged Total Return Strategy Fund | |||
Portfolio of Investments (continued) | September 30, 2017 (Unaudited) |
Shares | Description (1) | Coupon | Ratings (7) | Value | ||||||||||||||||||||||||
Capital Markets 1.2% | ||||||||||||||||||||||||||||
12,400 | Charles Schwab Corporation |
6.000% | BBB | $ | 336,536 | |||||||||||||||||||||||
8,046 | Charles Schwab Corporation |
5.950% | BBB | 218,368 | ||||||||||||||||||||||||
22,350 | Ladenburg Thalmann Financial Services Inc. |
8.000% | N/R | 554,951 | ||||||||||||||||||||||||
26,575 | Morgan Stanley |
7.125% | Ba1 | 779,711 | ||||||||||||||||||||||||
16,200 | Stifel Financial Corporation |
6.250% | BB | 434,808 | ||||||||||||||||||||||||
Total Capital Markets |
2,324,374 | |||||||||||||||||||||||||||
Consumer Finance 0.8% | ||||||||||||||||||||||||||||
10,700 | Capital One Financial Corporation |
6.700% | Baa3 | 290,719 | ||||||||||||||||||||||||
3,800 | Discover Financial Services |
6.500% | BB | 96,710 | ||||||||||||||||||||||||
46,000 | GMAC Capital Trust I |
5.785% | B+ | 1,214,400 | ||||||||||||||||||||||||
Total Consumer Finance |
1,601,829 | |||||||||||||||||||||||||||
Diversified Financial Services 0.2% | ||||||||||||||||||||||||||||
17,305 | KKR Financial Holdings LLC |
7.375% | BBB | 446,296 | ||||||||||||||||||||||||
Electric Utilities 0.1% | ||||||||||||||||||||||||||||
3,035 | Alabama Power Company, (2) |
6.500% | A3 | 76,729 | ||||||||||||||||||||||||
1,300 | Alabama Power Company, (2) |
6.450% | A3 | 32,581 | ||||||||||||||||||||||||
Total Electric Utilities |
109,310 | |||||||||||||||||||||||||||
Food Products 0.4% | ||||||||||||||||||||||||||||
3,857 | CHS Inc. |
7.875% | N/R | 113,164 | ||||||||||||||||||||||||
14,600 | CHS Inc. |
7.100% | N/R | 423,545 | ||||||||||||||||||||||||
11,705 | CHS Inc. |
6.750% | N/R | 322,473 | ||||||||||||||||||||||||
Total Food Products |
859,182 | |||||||||||||||||||||||||||
Insurance 1.0% | ||||||||||||||||||||||||||||
14,089 | Allstate Corporation |
6.750% | BBB | 372,795 | ||||||||||||||||||||||||
3,816 | Arch Capital Group Limited |
6.750% | BBB | 97,117 | ||||||||||||||||||||||||
20,420 | Endurance Specialty Holdings Limited |
6.350% | Baa2 | 546,235 | ||||||||||||||||||||||||
21,022 | Maiden Holdings Limited |
8.250% | BB | 532,908 | ||||||||||||||||||||||||
9,470 | National General Holding Company |
7.500% | N/R | 241,012 | ||||||||||||||||||||||||
8,175 | National General Holding Company |
7.500% | N/R | 208,626 | ||||||||||||||||||||||||
Total Insurance |
1,998,693 | |||||||||||||||||||||||||||
Thrifts & Mortgage Finance 0.5% | ||||||||||||||||||||||||||||
4,631 | Astoria Financial Corporation |
6.500% | Ba2 | 117,998 | ||||||||||||||||||||||||
24,550 | Federal Agricultural Mortgage Corporation |
6.875% | N/R | 654,478 | ||||||||||||||||||||||||
8,100 | New York Community Bancorp Inc. |
6.375% | Ba1 | 236,439 | ||||||||||||||||||||||||
Total Thrifts & Mortgage Finance |
1,008,915 | |||||||||||||||||||||||||||
Total $25 Par (or similar) Retail Preferred (cost $11,598,365) |
|
12,534,197 | ||||||||||||||||||||||||||
Principal Amount (000) |
Description (1) | Coupon (8) | Reference Rate (8) |
Spread (8) | Maturity (9) | Ratings (7) | Value | |||||||||||||||||||||
VARIABLE RATE SENIOR LOAN INTERESTS 24.5% (17.0% of Total Investments) (8) |
|
|||||||||||||||||||||||||||
Aerospace & Defense 0.8% | ||||||||||||||||||||||||||||
$ | 993 | Leidos Holdings, Inc., Term Loan B |
3.250% | LIBOR | 2.000% | 8/16/23 | BBB | $ | 999,949 | |||||||||||||||||||
494 | Transdigm, Inc., Extend Term Loan F |
4.235% | LIBOR | 3.000% | 6/07/23 | Ba2 | 495,648 | |||||||||||||||||||||
1,487 | Total Aerospace & Defense |
1,495,597 | ||||||||||||||||||||||||||
Airlines 0.5% | ||||||||||||||||||||||||||||
500 | American Airlines, Inc., Term Loan B |
3.734% | LIBOR | 2.500% | 12/14/23 | BB+ | 501,668 | |||||||||||||||||||||
476 | Delta Air Lines, Inc., Term Loan B1 |
3.737% | LIBOR | 2.500% | 10/18/18 | Baa2 | 478,757 | |||||||||||||||||||||
976 | Total Airlines |
980,425 | ||||||||||||||||||||||||||
Automobiles 0.6% | ||||||||||||||||||||||||||||
1,180 | Formula One Group, Term Loan B |
4.235% | LIBOR | 3.000% | 2/01/24 | N/R | 1,188,677 |
4 | NUVEEN |
Principal Amount (000) |
Description (1) | Coupon (8) | Reference Rate (8) |
Spread (8) | Maturity (9) | Ratings (7) | Value | |||||||||||||||||||||
Building Products 0.3% | ||||||||||||||||||||||||||||
$ | 496 | Quikrete Holdings, Inc., Term Loan B |
3.985% | LIBOR | 2.750% | 11/15/23 | N/R | $ | 496,813 | |||||||||||||||||||
Capital Markets 0.3% | ||||||||||||||||||||||||||||
496 | RPI Finance Trust, Term Loan B6 |
3.333% | LIBOR | 2.000% | 3/27/23 | Baa2 | 497,914 | |||||||||||||||||||||
Chemicals 0.8% | ||||||||||||||||||||||||||||
668 | Axalta Coating Systems, Term Loan, First Lien |
3.333% | LIBOR | 2.000% | 6/01/24 | BBB | 672,373 | |||||||||||||||||||||
199 | Mineral Technologies, Inc., Term Loan B2 |
4.750% | N/A | N/A | 5/07/21 | BB+ | 202,611 | |||||||||||||||||||||
771 | Univar, Inc., Term Loan B |
3.985% | LIBOR | 2.750% | 7/01/22 | BB | 775,113 | |||||||||||||||||||||
1,638 | Total Chemicals |
1,650,097 | ||||||||||||||||||||||||||
Commercial Services & Supplies 0.5% | ||||||||||||||||||||||||||||
988 | West Corporation, Refinanced Term Loan B12 |
3.735% | LIBOR | 2.500% | 6/17/23 | BB | 989,130 | |||||||||||||||||||||
Communications Equipment 0.1% | ||||||||||||||||||||||||||||
232 | CommScope, Inc., Term Loan B |
3.235% | LIBOR | 2.000% | 12/29/22 | Baa3 | 233,207 | |||||||||||||||||||||
Consumer Finance 0.4% | ||||||||||||||||||||||||||||
851 | First Data Corporation, Term Loan B |
3.737% | LIBOR | 2.500% | 4/26/24 | BB+ | 855,173 | |||||||||||||||||||||
Containers & Packaging 0.8% | ||||||||||||||||||||||||||||
372 | Berry Global, Inc., Term Loan M |
3.485% | LIBOR | 2.250% | 10/01/22 | BB | 373,404 | |||||||||||||||||||||
1,264 | Reynolds Group Holdings, Inc., Term Loan, First Lien |
3.985% | LIBOR | 2.750% | 2/05/23 | B+ | 1,270,071 | |||||||||||||||||||||
1,636 | Total Containers & Packaging |
1,643,475 | ||||||||||||||||||||||||||
Diversified Consumer Services 0.3% | ||||||||||||||||||||||||||||
538 | Hilton Hotels Corporation, Term Loan B2 |
3.237% | LIBOR | 2.000% | 10/25/23 | BBB | 541,122 | |||||||||||||||||||||
Diversified Financial Services 0.6% | ||||||||||||||||||||||||||||
739 | MGM Growth Properties, Term Loan B |
3.485% | LIBOR | 2.250% | 4/25/23 | N/R | 741,893 | |||||||||||||||||||||
413 | Veritas US, Inc., Term Loan B1 |
5.833% | LIBOR | 4.500% | 1/27/23 | B+ | 417,158 | |||||||||||||||||||||
1,152 | Total Diversified Financial Services |
1,159,051 | ||||||||||||||||||||||||||
Diversified Telecommunication Services 0.9% | ||||||||||||||||||||||||||||
1,000 | CenturyLink, Inc., Term Loan B |
2.750% | LIBOR | 2.750% | 1/31/25 | BBB | 970,625 | |||||||||||||||||||||
522 | Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan |
4.071% | LIBOR | 2.750% | 6/30/19 | B1 | 521,017 | |||||||||||||||||||||
264 | WideOpenWest Finance LLC, Term Loan B |
4.484% | LIBOR | 3.250% | 8/18/23 | B | 263,568 | |||||||||||||||||||||
1,786 | Total Diversified Telecommunication Services |
1,755,210 | ||||||||||||||||||||||||||
Electric Utilities 0.3% | ||||||||||||||||||||||||||||
404 | Vistra Operations Co., Term Loan B |
3.982% | LIBOR | 2.750% | 8/04/23 | BB+ | 405,397 | |||||||||||||||||||||
93 | Vistra Operations Co., Term Loan C |
3.982% | LIBOR | 2.750% | 8/04/23 | BB+ | 93,158 | |||||||||||||||||||||
497 | Total Electric Utilities |
498,555 | ||||||||||||||||||||||||||
Energy Equipment & Services 0.0% | ||||||||||||||||||||||||||||
19 | Drill Rigs Holdings, Inc., Restructure Term Loan |
0.000% | N/A | N/A | 9/20/24 | N/R | 19,509 | |||||||||||||||||||||
Equity Real Estate Investment Trusts 0.1% | ||||||||||||||||||||||||||||
327 | Communications Sales & Leasing, Inc., Shortfall Term Loan, (DD1) |
4.235% | LIBOR | 3.000% | 10/24/22 | BB+ | 303,155 | |||||||||||||||||||||
Food & Staples Retailing 0.4% | ||||||||||||||||||||||||||||
815 | Albertsons LLC, Term Loan B4, (DD1) |
3.985% | LIBOR | 2.750% | 8/25/21 | BB | 787,603 | |||||||||||||||||||||
Food Products 0.6% | ||||||||||||||||||||||||||||
573 | Jacobs Douwe Egberts, Term Loan B |
3.563% | LIBOR | 2.250% | 7/02/22 | BB | 576,627 | |||||||||||||||||||||
580 | US Foods, Inc., New Term Loan B |
3.985% | LIBOR | 2.750% | 6/27/23 | BB | 584,366 | |||||||||||||||||||||
1,153 | Total Food Products |
1,160,993 |
NUVEEN | 5 |
JTA | Nuveen Tax-Advantaged Total Return Strategy Fund | |||
Portfolio of Investments (continued) | September 30, 2017 (Unaudited) |
Principal Amount (000) |
Description (1) | Coupon (8) | Reference Rate (8) |
Spread (8) | Maturity (9) | Ratings (7) | Value | |||||||||||||||||||||
Health Care Equipment & Supplies 0.2% | ||||||||||||||||||||||||||||
$ | 443 | Acelity, Term Loan B |
4.583% | LIBOR | 3.250% | 2/02/24 | B1 | $ | 442,159 | |||||||||||||||||||
Health Care Providers & Services 1.8% | ||||||||||||||||||||||||||||
250 | Air Medical Group Holdings, Inc., Term Loan B, (WI/DD) |
TBD | TBD | TBD | TBD | B1 | 250,235 | |||||||||||||||||||||
159 | Community Health Systems, Inc., Term Loan G |
4.067% | LIBOR | 2.750% | 12/31/19 | BB | 158,320 | |||||||||||||||||||||
320 | Community Health Systems, Inc., Term Loan H |
4.317% | LIBOR | 3.000% | 1/27/21 | BB | 318,682 | |||||||||||||||||||||
804 | DaVita HealthCare Partners, Inc., Tranche B, Term Loan |
3.985% | LIBOR | 2.750% | 6/24/21 | BBB | 810,742 | |||||||||||||||||||||
561 | Envision Healthcare Corporation, Term Loan B, First Lien |
4.240% | LIBOR | 3.000% | 12/01/23 | BB | 563,659 | |||||||||||||||||||||
56 | HCA, Inc., Term Loan B9 |
3.235% | LIBOR | 2.000% | 3/18/23 | BBB | 56,493 | |||||||||||||||||||||
999 | HCA, Inc., Tranche B8, Term Loan |
3.485% | LIBOR | 2.250% | 2/15/24 | BBB | 1,005,411 | |||||||||||||||||||||
330 | Millennium Laboratories, Inc., Term Loan B, First Lien |
7.735% | LIBOR | 6.500% | 12/21/20 | CCC+ | 168,370 | |||||||||||||||||||||
250 | PharMerica, Term Loan, First Lien, (WI/DD) |
TBD | TBD | TBD | TBD | B1 | 251,796 | |||||||||||||||||||||
3,729 | Total Health Care Providers & Services |
|
3,583,708 | |||||||||||||||||||||||||
Health Care Technology 0.4% | ||||||||||||||||||||||||||||
746 | Emdeon, Inc., Term Loan |
3.985% | LIBOR | 2.750% | 3/01/24 | Ba3 | 749,097 | |||||||||||||||||||||
Hotels, Restaurants & Leisure 1.6% | ||||||||||||||||||||||||||||
1,526 | Burger King Corporation, Term Loan B3 |
3.485% | LIBOR | 2.250% | 2/16/24 | Ba3 | 1,525,353 | |||||||||||||||||||||
1,134 | Seaworld Parks and Entertainment, Inc., Term Loan B5 |
4.333% | LIBOR | 3.000% | 4/01/24 | B | 1,101,404 | |||||||||||||||||||||
495 | YUM Brands, New Term Loan B |
3.234% | LIBOR | 2.000% | 6/16/23 | BBB | 497,797 | |||||||||||||||||||||
3,155 | Total Hotels, Restaurants & Leisure |
3,124,554 | ||||||||||||||||||||||||||
Household Products 0.2% | ||||||||||||||||||||||||||||
343 | Spectrum Brands, Inc., Refinanced Term Loan |
3.314% | LIBOR | 2.000% | 6/23/22 | BBB | 345,706 | |||||||||||||||||||||
Independent Power & Renewable Electricity Producers 0.1% | ||||||||||||||||||||||||||||
135 | Dynegy, Inc., Tranche Term Loan C1 |
4.485% | LIBOR | 3.250% | 2/07/24 | BB | 135,627 | |||||||||||||||||||||
Internet and Direct Marketing Retail 0.1% | ||||||||||||||||||||||||||||
233 | Travelport LLC, Term Loan B |
4.061% | LIBOR | 2.750% | 8/31/21 | N/R | 232,590 | |||||||||||||||||||||
IT Services 1.3% | ||||||||||||||||||||||||||||
386 | Gartner, Inc., Term Loan A |
3.235% | LIBOR | 2.000% | 3/21/22 | N/R | 388,423 | |||||||||||||||||||||
249 | Gartner, Inc., Term Loan B |
3.235% | LIBOR | 2.000% | 4/05/24 | BB+ | 251,082 | |||||||||||||||||||||
499 | Tempo Acquisition LLC, Term Loan B |
4.235% | LIBOR | 3.000% | 5/01/24 | B1 | 499,583 | |||||||||||||||||||||
476 | Vantiv, Inc., Term Loan B |
3.237% | LIBOR | 2.000% | 10/06/23 | N/R | 476,658 | |||||||||||||||||||||
390 | Vantiv, Inc., Term Loan B, (WI/DD) |
TBD | TBD | TBD | TBD | BB | 391,322 | |||||||||||||||||||||
110 | Vantiv, Inc., Term Loan B1, (WI/DD) |
TBD | TBD | TBD | TBD | BBB | 109,696 | |||||||||||||||||||||
494 | WEX, Inc., Term Loan B |
3.985% | LIBOR | 2.750% | 7/01/23 | BB | 499,665 | |||||||||||||||||||||
2,604 | Total IT Services |
2,616,429 | ||||||||||||||||||||||||||
Leisure Products 0.3% | ||||||||||||||||||||||||||||
517 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
5.046% | LIBOR | 3.750% | 5/28/21 | Ba3 | 515,014 | |||||||||||||||||||||
Life Sciences Tools & Services 0.2% | ||||||||||||||||||||||||||||
390 | Inventiv Health, Inc., Term Loan B |
3.485% | LIBOR | 2.250% | 8/01/24 | Ba2 | 391,582 | |||||||||||||||||||||
Machinery 0.3% | ||||||||||||||||||||||||||||
211 | Gates Global LLC, Initial Dollar Term Loan B1 |
4.583% | LIBOR | 3.250% | 4/01/24 | B+ | 212,216 | |||||||||||||||||||||
409 | Rexnord LLC, Term Loan B, First Lien |
4.063% | LIBOR | 2.750% | 8/21/23 | BB | 410,807 | |||||||||||||||||||||
620 | Total Machinery |
623,023 | ||||||||||||||||||||||||||
Media 3.1% | ||||||||||||||||||||||||||||
991 | Cequel Communications LLC, Term Loan B |
3.485% | LIBOR | 2.250% | 7/28/25 | BB | 988,241 | |||||||||||||||||||||
479 | Charter Communications Operating Holdings LLC, Term Loan E |
3.240% | LIBOR | 2.000% | 7/01/20 | BBB | 480,919 | |||||||||||||||||||||
747 | Clear Channel Communications, Inc., Tranche D, Term Loan |
8.083% | LIBOR | 6.750% | 1/30/19 | Caa1 | 580,258 |
6 | NUVEEN |
Principal Amount (000) |
Description (1) | Coupon (8) | Reference Rate (8) |
Spread (8) | Maturity (9) | Ratings (7) | Value | |||||||||||||||||||||
Media (continued) | ||||||||||||||||||||||||||||
$ | 92 | Clear Channel Communications, Inc., Term Loan E |
8.833% | LIBOR | 7.500% | 7/30/19 | Caa1 | $ | 71,408 | |||||||||||||||||||
659 | Cumulus Media, Inc., Term Loan B |
4.490% | LIBOR | 3.250% | 12/23/20 | Caa1 | 552,370 | |||||||||||||||||||||
463 | Lions Gate Entertainment Corporation, Term Loan B |
4.235% | LIBOR | 3.000% | 12/08/23 | Ba2 | 466,739 | |||||||||||||||||||||
42 | Nexstar Broadcasting Group, Term Loan |
3.737% | LIBOR | 2.500% | 1/17/24 | BB+ | 42,242 | |||||||||||||||||||||
336 | Nexstar Broadcasting Group, Term Loan B |
3.737% | LIBOR | 2.500% | 1/17/24 | BB | 337,334 | |||||||||||||||||||||
488 | Springer Science & Business Media, Inc., Term Loan B9, First Lien |
4.735% | LIBOR | 3.500% | 8/14/20 | B | 490,419 | |||||||||||||||||||||
1,492 | Univision Communications, Inc., Term Loan C5 |
3.985% | LIBOR | 2.750% | 3/15/24 | BB | 1,480,635 | |||||||||||||||||||||
500 | Virgin Media Investment Holdings, Limited Term Loan I |
3.984% | LIBOR | 2.750% | 1/31/25 | BB | 502,345 | |||||||||||||||||||||
6,289 | Total Media |
5,992,910 | ||||||||||||||||||||||||||
Multiline Retail 0.4% | ||||||||||||||||||||||||||||
740 | Dollar Tree, Inc., Term Loan B2 |
4.250% | N/A | N/A | 7/06/22 | BBB | 751,563 | |||||||||||||||||||||
Oil, Gas & Consumable Fuels 0.3% | ||||||||||||||||||||||||||||
208 | Fieldwood Energy LLC, Term Loan, First Lien |
8.333% | LIBOR | 7.000% | 8/31/20 | B | 184,715 | |||||||||||||||||||||
134 | Fieldwood Energy LLC, Term Loan, Second Lien |
8.458% | LIBOR | 7.125% | 9/30/20 | CCC | 55,906 | |||||||||||||||||||||
358 | Fieldwood Energy LLC, Term Loan, Second Lien |
8.458% | LIBOR | 7.125% | 9/30/20 | B | 250,625 | |||||||||||||||||||||
189 | Harvey Gulf International Marine, Inc., Term Loan B, (10) |
0.000% | LIBOR | 4.500% | 6/18/20 | CCC | 66,805 | |||||||||||||||||||||
9 | Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%) |
3.500% | N/A | N/A | 4/13/23 | CCC+ | 7,719 | |||||||||||||||||||||
898 | Total Oil, Gas & Consumable Fuels |
565,770 | ||||||||||||||||||||||||||
Personal Products 0.4% | ||||||||||||||||||||||||||||
721 | Coty, Inc., Term Loan A |
2.982% | LIBOR | 1.750% | 10/27/20 | Ba1 | 716,491 | |||||||||||||||||||||
Pharmaceuticals 0.4% | ||||||||||||||||||||||||||||
746 | Grifols, Inc., Term Loan B |
3.447% | LIBOR | 2.250% | 1/31/25 | BB | 748,451 | |||||||||||||||||||||
53 | Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan |
5.990% | LIBOR | 4.750% | 4/01/22 | BB | 54,509 | |||||||||||||||||||||
799 | Total Pharmaceuticals |
802,960 | ||||||||||||||||||||||||||
Professional Services 0.2% | ||||||||||||||||||||||||||||
397 | Nielsen Finance LLC, Term Loan B4 |
3.235% | LIBOR | 2.000% | 10/04/23 | BBB | 398,226 | |||||||||||||||||||||
Software 2.4% | ||||||||||||||||||||||||||||
474 | BMC Software, Inc., Initial Term Loan B1 |
5.235% | LIBOR | 4.000% | 9/10/22 | B+ | 477,172 | |||||||||||||||||||||
736 | Ellucian, Term Loan B, First Lien |
4.583% | LIBOR | 3.250% | 9/30/22 | B | 736,335 | |||||||||||||||||||||
612 | Infor (US), Inc., Term Loan B |
4.083% | LIBOR | 2.750% | 2/01/22 | BB | 611,036 | |||||||||||||||||||||
250 | McAfee Holdings International, Inc., Term Loan, First Lien, (WI/DD) |
TBD | TBD | TBD | TBD | B1 | 251,469 | |||||||||||||||||||||
129 | Micro Focus International PLC, New Term Loan |
3.987% | LIBOR | 2.750% | 6/21/24 | BB | 129,397 | |||||||||||||||||||||
871 | Micro Focus International PLC, Term Loan B |
3.987% | LIBOR | 2.750% | 6/21/24 | BB | 873,853 | |||||||||||||||||||||
614 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B1 |
3.485% | LIBOR | 2.250% | 7/08/22 | BB+ | 617,876 | |||||||||||||||||||||
32 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., 2017 Refinancing New Term Loan B2 |
3.485% | LIBOR | 2.250% | 7/08/22 | BB+ | 32,678 | |||||||||||||||||||||
920 | Tibco Software, Inc., Term Loan, First Lien |
4.740% | LIBOR | 3.500% | 12/04/20 | B1 | 924,733 | |||||||||||||||||||||
4,638 | Total Software |
4,654,549 | ||||||||||||||||||||||||||
Specialty Retail 0.5% | ||||||||||||||||||||||||||||
378 | Burlington Coat Factory Warehouse Corporation, Term Loan B4 |
3.990% | LIBOR | 2.750% | 8/13/21 | BB+ | 379,910 | |||||||||||||||||||||
465 | Petco Animal Supplies, Inc., Term Loan B1 |
4.311% | LIBOR | 3.000% | 1/26/23 | B1 | 384,948 | |||||||||||||||||||||
148 | Petsmart Inc., Term Loan B, First Lien |
4.240% | LIBOR | 3.000% | 3/11/22 | Ba3 | 125,665 | |||||||||||||||||||||
991 | Total Specialty Retail |
890,523 | ||||||||||||||||||||||||||
Technology Hardware, Storage & Peripherals 1.1% | ||||||||||||||||||||||||||||
812 | Dell International LLC, New Term Loan B |
3.740% | LIBOR | 2.500% | 9/07/23 | BBB | 815,707 |
NUVEEN | 7 |
JTA | Nuveen Tax-Advantaged Total Return Strategy Fund | |||
Portfolio of Investments (continued) | September 30, 2017 (Unaudited) |
Principal Amount (000) |
Description (1) | Coupon (8) | Reference Rate (8) |
Spread (8) | Maturity (9) | Ratings (7) | Value | |||||||||||||||||||||
Technology Hardware, Storage & Peripherals (continued) | ||||||||||||||||||||||||||||
$ | 1,286 | Western Digital, Inc., New Term Loan B |
3.985% | LIBOR | 2.750% | 4/29/23 | BBB | $ | 1,296,170 | |||||||||||||||||||
2,098 | Total Technology Hardware, Storage & Peripherals |
2,111,877 | ||||||||||||||||||||||||||
Trading Companies & Distributors 0.5% | ||||||||||||||||||||||||||||
884 | Avolon, Repriced Term Loan B2 |
3.986% | LIBOR | 2.750% | 4/03/22 | BB+ | 886,648 | |||||||||||||||||||||
Wireless Telecommunication Services 0.4% | ||||||||||||||||||||||||||||
746 | Sprint Corporation, Term Loan, First Lien |
3.750% | LIBOR | 2.500% | 2/02/24 | Ba2 | 747,728 | |||||||||||||||||||||
$ | 48,383 | Total Variable Rate Senior Loan Interests (cost $48,159,004) |
|
47,534,440 | ||||||||||||||||||||||||
Principal Amount (000) |
Description (1) | Coupon | Maturity | Ratings (7) | Value | |||||||||||||||||||||||
CORPORATE BONDS 0.0% (0.0% of Total Investments) |
|
|||||||||||||||||||||||||||
Media 0.0% | ||||||||||||||||||||||||||||
$ | 133 | iHeartCommunications, Inc. |
9.000% | 12/15/19 | Caa1 | $ | 101,412 | |||||||||||||||||||||
$ | 133 | Total Corporate Bonds (cost $123,097) |
101,412 | |||||||||||||||||||||||||
Principal Amount (000) |
Description (1) | Coupon | Maturity | Ratings (7) | Value | |||||||||||||||||||||||
$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED 6.1% (4.2% of Total Investments) |
| |||||||||||||||||||||||||||
Automobiles 0.3% | ||||||||||||||||||||||||||||
$ | 630 | General Motors Financial Company Inc. |
5.750% | N/A (11) | BB+ | $ | 652,838 | |||||||||||||||||||||
Banks 3.6% | ||||||||||||||||||||||||||||
275 | Bank of America Corporation |
6.500% | N/A (11) | BB+ | 310,922 | |||||||||||||||||||||||
25 | Bank of America Corporation |
6.300% | N/A (11) | BB+ | 28,250 | |||||||||||||||||||||||
425 | CIT Group Inc., Series A |
5.800% | N/A (11) | B+ | 441,469 | |||||||||||||||||||||||
500 | Citigroup Inc. |
6.250% | N/A (11) | BB+ | 562,500 | |||||||||||||||||||||||
1,295 | Citigroup Inc. |
5.950% | N/A (11) | BB+ | 1,364,605 | |||||||||||||||||||||||
450 | Citigroup Inc. |
5.800% | N/A (11) | BB+ | 464,625 | |||||||||||||||||||||||
200 | Citizens Financial Group Inc. |
5.500% | N/A (11) | BB+ | 208,500 | |||||||||||||||||||||||
50 | Cobank Agricultural Credit Bank |
6.250% | N/A (11) | BBB+ | 55,157 | |||||||||||||||||||||||
500 | JP Morgan Chase & Company |
6.750% | N/A (11) | BBB | 571,905 | |||||||||||||||||||||||
250 | JP Morgan Chase & Company |
6.100% | N/A (11) | BBB | 275,935 | |||||||||||||||||||||||
250 | JP Morgan Chase & Company |
7.900% | N/A (11) | BBB | 257,500 | |||||||||||||||||||||||
600 | M&T Bank Corporation |
6.450% | N/A (11) | Baa2 | 666,215 | |||||||||||||||||||||||
600 | PNC Financial Services Inc. |
6.750% | N/A (11) | Baa2 | 675,000 | |||||||||||||||||||||||
450 | SunTrust Bank Inc. |
5.625% | N/A (11) | Baa3 | 470,250 | |||||||||||||||||||||||
400 | Wells Fargo & Company |
5.875% | N/A (11) | BBB | 445,200 | |||||||||||||||||||||||
225 | Zions Bancorporation |
7.200% | N/A (11) | BB | 252,000 | |||||||||||||||||||||||
6,495 | Total Banks |
7,050,033 | ||||||||||||||||||||||||||
Capital Markets 0.2% | ||||||||||||||||||||||||||||
275 | Goldman Sachs Group Inc. |
5.300% | N/A (11) | Ba1 | 294,594 | |||||||||||||||||||||||
100 | Morgan Stanley |
5.550% | N/A (11) | Ba1 | 104,188 | |||||||||||||||||||||||
375 | Total Capital Markets |
398,782 | ||||||||||||||||||||||||||
Consumer Finance 0.3% | ||||||||||||||||||||||||||||
475 | Capital One Financial Corporation |
5.550% | N/A (11) | Baa3 | 495,781 | |||||||||||||||||||||||
Food Products 1.2% | ||||||||||||||||||||||||||||
2,121 | Land O Lakes Incorporated, 144A |
8.000% | N/A (11) | BB | 2,359,613 | |||||||||||||||||||||||
Industrial Conglomerates 0.5% | ||||||||||||||||||||||||||||
840 | General Electric Capital Corporation |
5.000% | N/A (11) | A | 888,468 | |||||||||||||||||||||||
$ | 10,936 | Total $1,000 Par (or similar) Institutional Preferred (cost $11,005,669) |
11,845,515 |
8 | NUVEEN |
Principal Amount (000) |
Description (1) | Coupon | Maturity | Value | ||||||||||||||||||||||||
STRUCTURED NOTES 1.1% (0.8% of Total Investments) |
||||||||||||||||||||||||||||
$ | 145 | Merrill Lynch International Company CV, (2) |
10.000% | 2/27/18 | $ | 2,118,915 | ||||||||||||||||||||||
$ | 145 | Total Structured Notes (cost $1,951,074) |
2,118,915 | |||||||||||||||||||||||||
Total Long-Term Investments (cost $241,069,377) |
274,390,800 | |||||||||||||||||||||||||||
Principal Amount (000)/ Shares |
Description (1) | Coupon | Maturity | Value | ||||||||||||||||||||||||
SHORT-TERM INVESTMENTS 2.5% (1.7% of Total Investments) |
||||||||||||||||||||||||||||
INVESTMENT COMPANIES 1.5% (1.0% of Total Investments) |
||||||||||||||||||||||||||||
2,880,521 | BlackRock Liquidity Funds T-Fund Portfolio, (12) |
N/A | N/A | $ | 2,880,521 | |||||||||||||||||||||||
REPURCHASE AGREEMENTS 1.0% (0.7% of Total Investments) | ||||||||||||||||||||||||||||
$ | 1,983 | Repurchase Agreement with Fixed Income Clearing
Corporation, |
0.120% | 10/02/17 | 1,983,246 | |||||||||||||||||||||||
Total Short-Term Investments (cost $4,863,767) |
4,863,767 | |||||||||||||||||||||||||||
Total Investments (cost $245,933,144) 143.8% |
279,254,567 | |||||||||||||||||||||||||||
Borrowings (43.2)% (13), (14) |
(83,800,000 | ) | ||||||||||||||||||||||||||
Other Assets Less Liabilities (0.6)% (15) |
(1,298,975 | ) | ||||||||||||||||||||||||||
Net Assets Applicable to Common Shares 100% |
$ | 194,155,592 |
Investments in Derivatives as of September 30, 2017
Interest Rate Swaps OTC Uncleared
Counterparty | Notional Amount |
Fund Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate (Annualized) |
Fixed Rate Payment Frequency |
Effective Date (16) |
Optional Termination Date |
Maturity Date |
Value | Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. |
$ | 18,475,000 | Receive | 1-Month LIBOR | 1.462 | % | Monthly | 12/01/17 | 12/01/18 | 12/01/20 | $ | (8,005 | ) | $ | 259,453 | $ | (267,458 | ) | ||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. |
41,800,000 | Receive | 1-Month LIBOR | 1.969 | Monthly | 6/01/18 | 7/01/25 | 7/01/27 | 145,231 | | 145,231 | |||||||||||||||||||||||||||||||||
Total |
$ | 60,275,000 | $ | 137,226 | $ | 259,453 | $ | (122,227 | ) |
Fair Value Measurements
Fair value is defined as the price that would be received 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 entitys 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 managements assumptions in determining the fair value of investments). |
NUVEEN | 9 |
JTA | Nuveen Tax-Advantaged Total Return Strategy Fund | |||
Portfolio of Investments (continued) | September 30, 2017 (Unaudited) |
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 Funds fair value measurements as of the end of the reporting period:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments: |
||||||||||||||||
Common Stocks |
$ | 123,380,618 | $ | 74,217,189 | $ | | * | $ | 197,597,807 | |||||||
Convertible Preferred Securities |
1,242,147 | 1,416,367 | | 2,658,514 | ||||||||||||
$25 par (or similar) Retail Preferred |
11,607,352 | 926,845 | | 12,534,197 | ||||||||||||
Variable Rate Senior Loan Interests |
| 47,534,440 | | 47,534,440 | ||||||||||||
Corporate bonds |
| 101,412 | | 101,412 | ||||||||||||
$1,000 Par (or similar) Institutional Preferred |
| 11,845,515 | | 11,845,515 | ||||||||||||
Structured Notes |
| 2,118,915 | | 2,118,915 | ||||||||||||
Short-Term Investments: |
||||||||||||||||
Investment Companies |
2,880,521 | | | 2,880,521 | ||||||||||||
Repurchase Agreements |
| 1,983,246 | | 1,983,246 | ||||||||||||
Investments in Derivatives |
||||||||||||||||
Interest Rate Swaps** |
| (122,227 | ) | | (122,227 | ) | ||||||||||
Total |
$ | 139,110,638 | $ | 140,021,702 | $ | | $ | 279,132,340 |
* | Value equals zero as of the end of the reporting period. |
** | Represents net unrealized appreciation (depreciation). |
The table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent the Adviser determines that the valuation inputs or methodologies may impact the valuation of those securities.
Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||
Transfers In | (Transfers Out) | Transfers In | (Transfers Out) | Transfers In | (Transfers Out) | |||||||||||||||||||
Common Stocks |
$ | 3,650,877 | $ | (4,814,316 | ) | $ | 4,814,316 | $ | (3,650,877 | ) | $ | | $ | |
Income Tax Information
The following information is presented on a income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to 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.
The tables below present the cost and unrealized appreciation (depreciation) of the Funds investment portfolio, as determined on a federal income tax basis, as of September 30, 2017.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.
Tax cost of investments |
$247,706,329 | |||
Gross unrealized: |
||||
Appreciation |
$ | 41,704,831 | ||
Depreciation |
(10,156,593 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | 31,548,238 | ||
Tax cost of swaps |
$ | 259,453 | ||
Net unrealized appreciation (depreciation) of swaps |
(122,227 | ) |
10 | NUVEEN |
For Fund portfolio compliance purposes, the Funds 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) | For fair value measurement disclosure purposes, investment classified as Level 2. |
(3) | Non-income producing; issuer has not declared a dividend within the past twelve months. |
(4) | Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $77,653,903. |
(5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. |
(6) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. |
(7) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poors Group (Standard & Poors), Moodys Investors Service, Inc. (Moodys) or Fitch, Inc. (Fitch) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poors, Baa by Moodys 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. |
(8) | Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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. 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. The rate shown in the coupon as of the end of the reporting period. |
(9) | 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. |
(10) | As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Funds Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Funds records. |
(11) | Perpetual security. Maturity date is not applicable. |
(12) | A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov. |
(13) | Borrowings as a percentage of Total Investments is 30.0%. |
(14) | The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $175,124,939 have been pledged as collateral for borrowings. |
(15) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (OTC) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable. |
(16) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. |
DD1 | Portion of investment purchased on a delayed delivery basis. |
PIK | Payment-in-kind (PIK) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period. |
WI/DD | Purchased on a when-issued or delayed delivery basis. |
144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
ADR | American Depositary Receipt |
TBD | Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date. |
N/A | Not applicable. |
LIBOR | London Inter-Bank Offered Rate |
NUVEEN | 11 |
Item 2. Controls and Procedures.
a. | The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants 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 registrants 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 registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Vice President and Secretary |
Date: November 29, 2017
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/ Cedric H. Antosiewicz | |||
Cedric H. Antosiewicz | ||||
Chief Administrative Officer (principal executive officer) | ||||
Date: November 29, 2017 | ||||
By (Signature and Title) | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||
Date: November 29, 2017 |