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)
Jessica R. DroegerVice President and Secretary
333 West Wacker Drive, Chicago, Illinois, 60606
(Name and address of agent for service)
Registrant's telephone number, including area code: 312-917-7700
Date of fiscal year end: 12/31
Date of reporting period: 09/30/04
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
Portfolio of Investments (Unaudited)
Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
September 30, 2004
Shares |
Description(1) |
Value |
||||||
---|---|---|---|---|---|---|---|---|
COMMON STOCKS - 102.1% (71.2% of Total Investments) |
||||||||
Aerospace & Defense - 6.1% |
||||||||
|
140,000 |
Lockheed Martin Corporation |
$ 7,809,200 |
|||||
235,000 |
Raytheon Company |
8,925,300 |
||||||
16,734,500 |
||||||||
Auto Components - 1.9% |
||||||||
|
555,000 |
Delphi Corporation |
5,155,950 |
|||||
Chemicals - 2.3% |
||||||||
|
492,000 |
DSM NV Sponsored ADR |
6,445,200 |
|||||
Commercial Banks - 5.1% |
||||||||
|
150,000 |
Wachovia Corporation |
7,042,500 |
|||||
120,000 |
Wells Fargo & Company |
7,155,600 |
||||||
14,198,100 |
||||||||
Commercial Services & Supplies - 2.5% |
||||||||
|
155,000 |
Pitney Bowes Inc. |
6,835,500 |
|||||
Communications Equipment - 2.2% |
||||||||
|
343,000 |
KT Corporation Sponsored ADR |
6,198,010 |
|||||
Containers & Packaging - 2.2% |
||||||||
|
250,000 |
Packaging Corp of America |
6,117,500 |
|||||
Diversified Financial Services - 5.4% |
||||||||
|
150,000 |
Citigroup Inc. |
6,618,000 |
|||||
205,000 |
JPMorgan Chase & Co. |
8,144,650 |
||||||
14,762,650 |
||||||||
Diversified Telecommunication Services - 9.3% |
||||||||
|
235,000 |
SBC Communications Inc. |
6,098,250 |
|||||
330,000 |
Sprint Corporation |
6,642,900 |
||||||
235,000 |
Telecom Italia S.p.A. Sponsored ADR |
5,416,750 |
||||||
190,000 |
Verizon Communications Inc. |
7,482,200 |
||||||
25,640,100 |
||||||||
Electric Utilities - 7.7% |
||||||||
|
110,000 |
Dominion Resources, Inc. |
7,177,500 |
|||||
175,000 |
FirstEnergy Corp. |
7,189,000 |
||||||
652,000 |
Korea Electric Power Corporation (KEPCO) Sponsored ADR |
6,878,600 |
||||||
21,245,100 |
||||||||
Food & Staples Retailing - 4.9% |
||||||||
|
375,000 |
Albertson's, Inc. |
8,973,750 |
|||||
240,625 |
J. Sainsbury plc Sponsored ADR |
4,523,750 |
||||||
13,497,500 |
||||||||
Food Products - 1.2% |
||||||||
|
120,000 |
Tate & Lyle plc Sponsored ADR |
3,366,000 |
|||||
Household Durables - 3.4% |
||||||||
|
207,000 |
Newell Rubbermaid Inc. |
4,148,280 |
|||||
80,000 |
Kimberly-Clark Corporation |
5,167,200 |
||||||
9,315,480 |
||||||||
Insurance - 5.9% |
||||||||
|
390,000 |
Aon Corporation |
11,208,600 |
|||||
80,000 |
The Hartford Financial Services Group, Inc. |
4,954,400 |
||||||
16,163,000 |
||||||||
Metals & Mining - 5.9% |
||||||||
|
404,000 |
Alumina Limited Sponsored ADR |
6,609,440 |
|||||
90,000 |
Rio Tinto plc Sponsored ADR |
9,778,500 |
||||||
16,387,940 |
||||||||
Oil & Gas - 13.6% |
||||||||
|
80,000 |
ChevronTexaco Corporation |
4,291,200 |
|||||
110,000 |
ConocoPhillips |
9,113,500 |
||||||
53,000 |
Eni S.p.A. Sponsored ADR |
5,951,900 |
||||||
215,000 |
Kerr-McGee Corporation |
12,308,750 |
||||||
55,000 |
Total SA Sponsored ADR |
5,619,350 |
||||||
37,284,700 |
||||||||
Paper & Forest Products - 4.5% |
||||||||
|
125,000 |
International Paper Company |
5,051,250 |
|||||
110,000 |
Weyerhaeuser Company |
7,312,800 |
||||||
12,364,050 |
||||||||
Road & Rail - 1.9% |
||||||||
|
90,000 |
Union Pacific Corporation |
5,274,000 |
|||||
Thrifts & Mortgage Finance - 7.9% |
||||||||
|
192,000 |
Fannie Mae |
12,172,800 |
|||||
265,000 |
IndyMac Bancorp, Inc. |
9,593,000 |
||||||
21,765,800 |
||||||||
Tobacco - 6.9% |
||||||||
|
235,000 |
Altria Group, Inc. |
11,054,400 |
|||||
330,000 |
Loews Corp - Carolina Group |
8,042,100 |
||||||
19,096,500 |
||||||||
Water Utilities - 1.3% |
||||||||
|
180,000 |
United Utilities plc Sponsored ADR |
3,664,800 |
|||||
Total Common Stocks (cost $269,014,717) |
281,512,380 |
|||||||
Ratings* |
||||||||
Shares |
Description(1) |
Coupon |
Moody's |
S&P |
Value |
|||
PREFERRED SECURITIES - 11.5% (8.0% of Total Investments) |
||||||||
Commercial Banks - 2.9% |
||||||||
|
40,600 |
Abbey National plc |
7.375% |
A2 |
A |
$ 1,081,584 |
||
23,500 |
Abbey National plc, Series B |
7.375% |
A2 |
A |
635,440 |
|||
80,000 |
ABN AMRO Capital Trust Fund VII |
6.080% |
A2 |
A |
1,941,600 |
|||
28,100 |
Citigroup Inc., Series H (a) |
6.231% |
Aa3 |
NA |
1,544,095 |
|||
36,800 |
Fannie Mae (a) |
5.125% |
Aa3 |
NA |
1,652,320 |
|||
40,000 |
Royal Bank of Scotland Group plc, Series M |
6.400% |
A1 |
A |
1,010,800 |
|||
7,865,839 |
||||||||
Consumer Finance - 0.7% |
||||||||
|
36,100 |
SLM Corporation, Series A (a) |
6.970% |
Baa1 |
BBB+ |
2,066,725 |
||
Diversified Financial Services - 3.2% |
||||||||
|
17,500 |
Bear Stearns Companies Inc. Series F (a) |
6.150% |
A3 |
BBB |
915,250 |
||
20,000 |
Citigroup Inc., Series F (a) |
6.365% |
Aa3 |
NA |
1,084,600 |
|||
12,000 |
Fannie Mae (a) |
5.500% |
Aa3 |
NA |
565,800 |
|||
26,900 |
Fannie Mae (a) |
5.810% |
Aa3 |
AA- |
1,338,275 |
|||
17,600 |
Federal Home Loan Mortgage Corporation (a) |
6.000% |
Aa3 |
AA- |
915,200 |
|||
21,900 |
Federal Home Loan Mortgage Corporation (a) |
5.000% |
Aa3 |
AA- |
957,030 |
|||
20,000 |
Federal Home Loan Mortgage Corporation (a) |
5.700% |
Aa3 |
AA- |
992,000 |
|||
77,700 |
Lehman Brothers Holdings Inc., Series F (a) |
6.500% |
NA |
BBB+ |
2,041,956 |
|||
8,810,111 |
||||||||
Electric Utilities - 1.8% |
||||||||
|
39,500 |
Alabama Power Company, Series A |
5.300% |
Baa1 |
BBB+ |
976,393 |
||
8,500 |
Consolidated Edison Company of New York Inc. |
5.000% |
A3 |
BBB+ |
743,750 |
|||
43,500 |
Interstate Power and Light Company (a) |
7.100% |
Baa3 |
BBB- |
1,179,938 |
|||
40,000 |
Mississippi Power Company |
5.250% |
NA |
BBB+ |
986,252 |
|||
40,000 |
Savannah Electric and Power Company |
6.000% |
Baa1 |
BBB+ |
1,050,000 |
|||
4,936,333 |
||||||||
Insurance - 2.5% |
||||||||
|
70,000 |
Ace Ltd., Series C |
7.800% |
Baa2 |
BBB- |
1,883,000 |
||
40,000 |
Genworth Financial Inc., Series A |
5.250% |
Baa1 |
BBB+ |
2,111,252 |
|||
25,600 |
ING Group NV |
6.200% |
A2 |
A- |
627,968 |
|||
5,000 |
ING Group NV |
7.050% |
NA |
A- |
130,650 |
|||
48,400 |
ING Group NV |
7.200% |
A2 |
A- |
1,287,440 |
|||
30,000 |
Prudential plc |
6.750% |
Baa1 |
A |
762,900 |
|||
6,803,210 |
||||||||
Oil & Gas - 0.4% |
||||||||
|
11,000 |
Devon Energy Corporation, Series A (a) |
6.490% |
Ba1 |
BB+ |
1,153,625 |
||
Total Preferred Securities (cost 31,598,810) |
31,635,843 |
|||||||
|
Ratings* |
|||||||
Principal |
Stated |
|||||||
Amount (000) |
Description(1) |
Coupon |
Maturity** |
Moody's |
S&P |
Value |
||
CORPORATE BONDS - 5.9% (4.1% of Total Investments) |
||||||||
Construction Materials - 1.2% |
||||||||
|
2,800 |
Texas Industries Inc. |
10.250% |
6/15/11 |
B1 |
BB- |
3,234,000 |
|
Hotels, Restaurants & Leisure - 0.8% |
||||||||
|
2,000 |
Park Place Entertainment |
8.875% |
9/15/08 |
Ba2 |
BB- |
2,285,000 |
|
Oil & Gas - 1.2% |
||||||||
|
3,000 |
Chesapeake Energy Corporation |
8.375% |
11/01/08 |
Ba3 |
BB- |
3,285,000 |
|
Paper & Forest Products - 0.8% |
||||||||
|
2,000 |
Georgia Pacific Corporation |
7.375% |
7/15/08 |
Ba2 |
BB+ |
2,190,000 |
|
Real Estate - 1.9% |
||||||||
|
2,000 |
D.R. Horton, Inc. |
7.500% |
12/01/07 |
Ba1 |
BB+ |
2,210,000 |
|
2,000 |
Standard Pacific Corporation |
6.500% |
10/01/08 |
Ba2 |
BB |
2,100,000 |
||
1,000 |
Standard Pacific Corporation |
9.500% |
9/15/10 |
Ba2 |
BB |
1,100,000 |
||
5,410,000 |
||||||||
Total Corporate Bonds (cost $16,065,136) |
16,404,000 |
|||||||
Ratings* |
||||||||
Principal |
Stated |
|||||||
Amount (000) |
Description(1) |
Maturity** |
Moody's |
S&P |
Value |
|||
VARIABLE RATE SENIOR LOAN INTERESTS(2) - 21.6% (15.0% of Total Investments) |
||||||||
Aerospace and Defense - 0.6% |
||||||||
|
215 |
Vought Aircraft Industries, Inc., Term Loan B |
6/30/07 |
Ba3 |
B+ |
$ 217,933 |
||
1,359 |
Vought Aircraft Industries, Inc., Term Loan C |
6/30/08 |
Ba3 |
B+ |
1,375,074 |
|||
1,593,007 |
||||||||
Auto Components - 2.3% |
||||||||
|
2,000 |
Federal-Mogul Corporation, Term Loan A (b) |
2/24/04 |
NR |
NR |
1,846,250 |
||
1,995 |
Mark IV Industries, Inc., Term Loan B |
6/23/11 |
B1 |
BB- |
2,028,042 |
|||
2,260 |
Metaldyne Company LLC, Term Loan D |
12/31/09 |
B2 |
BB- |
2,259,784 |
|||
6,134,076 |
||||||||
Construction & Engineering - 1.6% |
||||||||
|
2,843 |
Amsted Industries Incorporated, Term Loan B |
10/15/10 |
B1 |
BB- |
2,878,176 |
||
2,000 |
Anthony Crane Rental, L.P., Term Loan |
7/23/04 |
NR |
NR |
1,595,000 |
|||
4,473,176 |
||||||||
Containers & Packaging - 3.6% |
||||||||
|
3,000 |
Owens-Illinois Group, Inc., Term Loan B |
4/01/08 |
B1 |
BB- |
3,042,188 |
||
2,985 |
Solo Cup Company, Term Loan |
2/27/11 |
B1 |
B+ |
3,014,850 |
|||
1,676 |
Stone Container Corporation, Term Loan B |
6/30/09 |
NR |
NR |
1,688,217 |
|||
221 |
Stone Container Corporation, Term Loan C |
6/30/09 |
NR |
NR |
223,018 |
|||
1,990 |
United States Can Company, Term Loan B |
1/15/10 |
B2 |
B |
1,985,025 |
|||
9,953,298 |
||||||||
Diversified/Conglomerate Manufacturing - 0.7% |
||||||||
|
1,995 |
PP Holding Corporation, Term Loan |
11/12/11 |
B1 |
B+ |
2,011,833 |
||
Electric Utilities - 0.7% |
||||||||
|
1,713 |
Sensus Metering Systems Inc., Term Loan B-1 |
12/17/10 |
B2 |
B+ |
1,734,457 |
||
257 |
Sensus Metering Systems Inc., Term Loan B-2 |
12/17/10 |
B2 |
B+ |
260,168 |
|||
1,994,625 |
||||||||
Healthcare Providers & Services - 1.4% |
||||||||
|
1,936 |
Alderwoods Group, Inc., Term Loan B-1 |
9/29/08 |
B1 |
BB- |
1,965,687 |
||
1,995 |
IASIS Healthcare LLC, Term Loan B |
6/22/11 |
B1 |
B+ |
2,021,683 |
|||
3,987,370 |
||||||||
Hotels, Restaurants & Leisure - 2.3% |
||||||||
|
1,990 |
24 Hour Fitness Worldwide, Inc., Term Loan B |
7/01/09 |
B1 |
B |
2,016,093 |
||
1,990 |
Jack in the Box Inc., Term Loan |
1/09/10 |
Ba2 |
BB |
2,017,363 |
|||
2,289 |
Wyndham International, Inc., Term Loan II |
4/01/06 |
NR |
NR |
2,285,705 |
|||
6,319,161 |
||||||||
Household Durables - 0.7% |
||||||||
|
1,839 |
Sealy Mattress Company, Term Loan C (Tranche C) |
8/06/12 |
B2 |
B+ |
1,862,277 |
||
Insurance - 0.7% |
||||||||
|
2,000 |
Conseco, Inc., Term Loan |
6/22/10 |
B2 |
BB- |
2,035,417 |
||
Media - 4.5% |
||||||||
|
1,995 |
Charter Communications Operating, LLC, Term Loan B |
4/07/11 |
B2 |
B |
1,981,477 |
||
2,000 |
Freedom Communications, Inc., Term Loan B |
5/18/12 |
Ba3 |
BB |
2,032,500 |
|||
2,000 |
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B |
4/26/11 |
NR |
NR |
2,008,000 |
|||
1,930 |
Regal Cinemas Corporation, Term Loan |
11/10/10 |
Ba3 |
BB- |
1,953,665 |
|||
944 |
Transwestern Publishing Company LLC, First Lien Term Loan B |
2/25/11 |
B1 |
B+ |
951,314 |
|||
995 |
Transwestern Publishing Company LLC, Second Lien Term Loan |
2/25/12 |
B3 |
B- |
1,004,329 |
|||
2,237 |
WMG Acquisition Corp., Term Loan |
2/27/11 |
B1 |
B+ |
2,270,632 |
|||
12,201,917 |
||||||||
Real Estate - 0.8% |
||||||||
|
2,055 |
Crescent Real Estate Funding XII, L.P., Term Loan |
3/20/06 |
NR |
NR |
2,074,126 |
||
Road & Rail - 1.0% |
||||||||
|
2,820 |
Laidlaw Inc., Term Loan B-1 |
6/19/09 |
Ba3 |
BB+ |
2,867,146 |
||
Wireless Telecommunication Services - 0.7% |
||||||||
|
1,985 |
Nextel Finance Company, Term Loan E |
12/15/10 |
Ba1 |
BBB |
1,997,008 |
||
Total Variable Rate Senior Loan Interests (cost $59,202,398) |
59,504,437 |
|||||||
REPURCHASE AGREEMENTS - 2.4% (1.7% of Total Investments) |
||||||||
6,618 |
State Street Bank, 1.7000%, dated 9/30/04, due 10/01/04, repurchase price $6,618,618 |
6,618,305 |
||||||
collateralized by $5,710,000 U.S. Treasury Bonds, 6.250%, due 8/15/23, value $6,752,075 |
||||||||
$ | 6,618 |
Total Repurchase Agreements (cost $6,618,305) |
6,618,305 |
|||||
Total Investments (cost $382,499,366) - 143.5% |
395,674,965 |
|||||||
FundNotes (28.3)% |
(78,000,000) |
|||||||
Other Assets Less Liabilities - 1.1% |
3,037,974 |
|||||||
FundPreferred Shares, at Liquidation Value (16.3)% |
(45,000,000) |
|||||||
Net Assets Applicable to Common Shares - 100% |
$ 275,712,939 |
|||||||
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common |
||
shares unless otherwise noted. |
|||
(2) |
Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted |
||
by reference to a base short-term, floating lending rate plus a premium. These base lending rates are |
|||
generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank |
|||
Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more major United States banks, or (iii) the |
|||
certificate of deposit rate. |
|||
Senior Loans are generally considered to be 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. |
|||
* |
Ratings below Baa by Moody's Investor Service, Inc. or BBB by Standard & Poor's Group are considered |
||
to be below investment grade. |
|||
** |
Senior Loans in the Fund's portfolio 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 in the Fund's portfolio may occur. |
|||
As a result, the actual remaining maturity of Senior Loans held in the Fund's portfolio may be substantially |
|||
less than the stated maturities shown. The Fund estimates that the actual average maturity of the Senior |
|||
Loans held in it portfolio will be approximately 18-24 months. |
|||
(a) |
Security is eligible for the Dividends Received Deduction. |
||
(b) |
At or subsequent to September 30, 2004, this issue was under protection of the federal bankruptcy court. |
||
NR |
Not rated. |
||
Income Tax Information |
|||
The following information is presented on an income tax basis. Differences between amounts for financial |
|||
statement and federal income tax purposes are primarily due to recognition of premium amortization on |
|||
debt securities and timing differences in recognizing certain gains and losses on security transactions. |
|||
At September 30, 2004, the cost of investments was $382,658,427. |
|||
Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2004, |
|||
were as follows: |
|||
Gross unrealized: |
|||
Appreciation |
$21,349,850 |
||
Depreciation |
(8,333,312) |
||
Net unrealized appreciation of investments |
$13,016,538 |
||
Item 2. Controls and Procedures.
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 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.
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/ Jessica R. Droeger--Vice President and Secretary
Date 11/29/04
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--Chief Administrative Officer (Principal Executive Officer)
Date 11/29/04
By (Signature and Title)* /s/ Stephen D. Foy--Vice President and Controller (Principal Financial Officer)
Date 11/29/04
* Print the name and title of each signing officer under his or her signature.