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. Zimmerman—Vice President and Secretary
333 West Wacker Drive, Chicago, Illinois 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: 312-917-7700
Date of fiscal year end: December 31
Date of reporting period: September 30, 2018
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
Portfolio of Investments September 30, 2018 | |
| (Unaudited) |
| Shares | Description (1) | Value | ||||||||||||||||||||||||||
| LONG-TERM INVESTMENTS – 144.9% (97.6% of Total Investments) |
||||||||||||||||||||||||||||
| COMMON STOCKS – 103.6% (69.8% of Total Investments) |
||||||||||||||||||||||||||||
| Air Freight & Logistics – 1.8% | ||||||||||||||||||||||||||||
| 93,900 | Deutsche Post AG, (2) |
$ | 3,338,553 | |||||||||||||||||||||||||
| Airlines – 3.1% | ||||||||||||||||||||||||||||
| 97,760 | Delta Air Lines, Inc., (3) |
5,653,461 | ||||||||||||||||||||||||||
| Automobiles – 1.6% | ||||||||||||||||||||||||||||
| 46,230 | Daimler AG, (2) |
2,913,519 | ||||||||||||||||||||||||||
| Banks – 18.7% | ||||||||||||||||||||||||||||
| 1,099,955 | AIB Group PLC, (2) |
5,621,961 | ||||||||||||||||||||||||||
| 361,987 | Bank of Ireland Group PLC |
2,803,302 | ||||||||||||||||||||||||||
| 85,400 | CIT Group Inc., (3) |
4,407,494 | ||||||||||||||||||||||||||
| 91,700 | Citigroup Inc., (3) |
6,578,558 | ||||||||||||||||||||||||||
| 454,465 | ING Groep N.V, ADR |
5,894,411 | ||||||||||||||||||||||||||
| 27,312 | JPMorgan Chase & Co. |
3,081,886 | ||||||||||||||||||||||||||
| 57,525 | The Bank of NT Butterfield and Son Limited, (3) |
2,983,247 | ||||||||||||||||||||||||||
| 1,838,500 | Unicaja Banco SA, 144A, (2) |
2,995,380 | ||||||||||||||||||||||||||
| Total Banks |
34,366,239 | |||||||||||||||||||||||||||
| Biotechnology – 1.9% | ||||||||||||||||||||||||||||
| 45,360 | Gilead Sciences, Inc. |
3,502,246 | ||||||||||||||||||||||||||
| Capital Markets – 6.6% | ||||||||||||||||||||||||||||
| 57,570 | Aurelius AG, (2) |
3,038,713 | ||||||||||||||||||||||||||
| 505,700 | Daiwa Securities Group Inc., (2) |
3,075,541 | ||||||||||||||||||||||||||
| 228,980 | Deutsche Boerse AG, ADR, (2), (3) |
3,053,448 | ||||||||||||||||||||||||||
| 187,900 | UBS Group AG, (2) |
2,966,684 | ||||||||||||||||||||||||||
| Total Capital Markets |
12,134,386 | |||||||||||||||||||||||||||
| Chemicals – 3.6% | ||||||||||||||||||||||||||||
| 103,250 | DowDuPont, Inc., (3) |
6,640,008 | ||||||||||||||||||||||||||
| Diversified Financial Services – 1.4% | ||||||||||||||||||||||||||||
| 316,290 | Challenger Limited, (2) |
2,559,224 | ||||||||||||||||||||||||||
| Diversified Telecommunication Services – 3.8% | ||||||||||||||||||||||||||||
| 101,445 | Nippon Telegraph and Telephone Corporation, ADR, (2) |
4,569,590 | ||||||||||||||||||||||||||
| 246,325 | Telefonica Brasil SA |
2,390,942 | ||||||||||||||||||||||||||
| Total Diversified Telecommunication Services |
6,960,532 | |||||||||||||||||||||||||||
| Electric Utilities – 2.6% | ||||||||||||||||||||||||||||
| 130,920 | FirstEnergy Corp. |
4,866,296 | ||||||||||||||||||||||||||
| Electrical Equipment – 1.6% | ||||||||||||||||||||||||||||
| 34,800 | Eaton PLC, (3) |
3,018,204 | ||||||||||||||||||||||||||
| Energy Equipment & Services – 0.0% | ||||||||||||||||||||||||||||
| 2,378 | Ocean Rig UDW Inc., (4) |
82,326 | ||||||||||||||||||||||||||
| Equity Real Estate Investment Trusts – 1.0% | ||||||||||||||||||||||||||||
| 288,660 | Colony Capital Inc. |
1,757,939 | ||||||||||||||||||||||||||
1
| JTA | Nuveen Tax-Advantaged Total Return Strategy Fund (continued) | |
| Portfolio of Investments September 30, 2018 | ||
| (Unaudited) |
| Shares | Description (1) | Value | ||||||||||||||||||||||||||
| Food Products – 1.7% | ||||||||||||||||||||||||||||
| 378,934 | Orkla ASA, ADR, (3) |
$ | 3,192,519 | |||||||||||||||||||||||||
| Gas Utilities – 1.7% | ||||||||||||||||||||||||||||
| 580,700 | Italgas SPA, (2) |
3,150,151 | ||||||||||||||||||||||||||
| Health Care Providers & Services – 0.0% | ||||||||||||||||||||||||||||
| 6,594 | Millennium Health LLC, (2), (4) |
350 | ||||||||||||||||||||||||||
| 6,140 | Millennium Health LLC, (4), (5) |
12,115 | ||||||||||||||||||||||||||
| 5,767 | Millennium Health LLC, (4), (5) |
10,802 | ||||||||||||||||||||||||||
| Total Health Care Providers & Services |
23,267 | |||||||||||||||||||||||||||
| Household Durables – 1.9% | ||||||||||||||||||||||||||||
| 232,400 | Sekisui House, Ltd., (2) |
3,543,925 | ||||||||||||||||||||||||||
| Industrial Conglomerates – 2.3% | ||||||||||||||||||||||||||||
| 33,455 | Siemens AG, (2) |
4,277,676 | ||||||||||||||||||||||||||
| Insurance – 9.6% | ||||||||||||||||||||||||||||
| 84,899 | Ageas, (2) |
4,564,058 | ||||||||||||||||||||||||||
| 159,059 | Allinaz S.E, ADR, (2), (3) |
3,525,543 | ||||||||||||||||||||||||||
| 52,585 | CNA Financial Corporation, (3) |
2,400,505 | ||||||||||||||||||||||||||
| 83,855 | NN Group NV, (2) |
3,742,655 | ||||||||||||||||||||||||||
| 25,435 | RenaissanceRe Holdings, Limited, (3) |
3,397,607 | ||||||||||||||||||||||||||
| Total Insurance |
17,630,368 | |||||||||||||||||||||||||||
| Media – 1.9% | ||||||||||||||||||||||||||||
| 6,308 | Cumulus Media Inc., (4) |
107,741 | ||||||||||||||||||||||||||
| 2,099 | Metro-Goldwyn-Mayer, (2), (4) |
182,351 | ||||||||||||||||||||||||||
| 3,184 | Tribune Media Company, (2) |
1,592 | ||||||||||||||||||||||||||
| 92,700 | Viacom Inc., Class B, (3) |
3,129,552 | ||||||||||||||||||||||||||
| Total Media |
3,421,236 | |||||||||||||||||||||||||||
| Multi-Utilities – 2.4% | ||||||||||||||||||||||||||||
| 221,400 | Veolia Environment S.A., (2) |
4,417,954 | ||||||||||||||||||||||||||
| Oil, Gas & Consumable Fuels – 8.5% | ||||||||||||||||||||||||||||
| 25,825 | Chevron Corporation |
3,157,881 | ||||||||||||||||||||||||||
| 214,750 | Enterprise Products Partnership LP, (3) |
6,169,768 | ||||||||||||||||||||||||||
| 388 | Fieldwood Energy Inc., (2), (4) |
19,788 | ||||||||||||||||||||||||||
| 1,923 | Fieldwood Energy Inc., (4), (5) |
84,974 | ||||||||||||||||||||||||||
| 262 | HGIM Corp., (2), (4) |
13,886 | ||||||||||||||||||||||||||
| 9 | Southcross Holdings Borrower LP, (2), (4) |
2,025 | ||||||||||||||||||||||||||
| 79,400 | Suncor Energy Inc. |
3,071,986 | ||||||||||||||||||||||||||
| 48,050 | Total SA, Sponsored ADR |
3,093,940 | ||||||||||||||||||||||||||
| Total Oil, Gas & Consumable Fuels |
15,614,248 | |||||||||||||||||||||||||||
| Pharmaceuticals – 8.2% | ||||||||||||||||||||||||||||
| 74,700 | AstraZeneca PLC, ADR, (3) |
2,955,879 | ||||||||||||||||||||||||||
| 36,650 | Bayer AG, (2) |
3,250,880 | ||||||||||||||||||||||||||
| 145,900 | GlaxoSmithKline PLC, ADR, (3) |
5,860,803 | ||||||||||||||||||||||||||
| 100,790 | Roche Holdings AG, Sponsored ADR, (2), (3) |
3,039,826 | ||||||||||||||||||||||||||
| Total Pharmaceuticals |
15,107,388 | |||||||||||||||||||||||||||
| Real Estate Management & Development – 2.8% | ||||||||||||||||||||||||||||
| 404,900 | Great Eagle Holdings Limited, (2) |
2,022,454 | ||||||||||||||||||||||||||
| 1,773,500 | Sino Land Company Limited, (2) |
3,038,379 | ||||||||||||||||||||||||||
| Total Real Estate Management & Development |
5,060,833 | |||||||||||||||||||||||||||
| Semiconductors & Semiconductor Equipment – 2.6% | ||||||||||||||||||||||||||||
| 175,000 | Cypress Semiconductor Corporation |
2,535,750 | ||||||||||||||||||||||||||
| 100,910 | Infineon Technologies AG, (2) |
2,296,294 | ||||||||||||||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
|
4,832,044 | ||||||||||||||||||||||||||
2
| Shares | Description (1) | Value | ||||||||||||||||||||||||||
| Software – 6.4% | ||||||||||||||||||||||||||||
| 37,676 | Microsoft Corporation, (3) |
$ | 4,309,004 | |||||||||||||||||||||||||
| 143,375 | Oracle Corporation |
7,392,415 | ||||||||||||||||||||||||||
| Total Software |
11,701,419 | |||||||||||||||||||||||||||
| Specialty Retail – 1.5% | ||||||||||||||||||||||||||||
| 801,750 | Kingfisher PLC, (2) |
2,710,896 | ||||||||||||||||||||||||||
| Technology Hardware, Storage & Peripherals – 1.5% | ||||||||||||||||||||||||||||
| 81,900 | Samsung Electronics Company Limited, (2) |
|
2,793,383 | |||||||||||||||||||||||||
| Tobacco – 2.9% | ||||||||||||||||||||||||||||
| 151,985 | Imperial Brands PLC, ADR, (2), (3) |
5,274,639 | ||||||||||||||||||||||||||
| Total Common Stocks (cost $167,367,225) |
190,544,879 | |||||||||||||||||||||||||||
| Principal Amount (000) |
Description (1) | Coupon (6) | Reference Rate (6) |
Spread (6) | Maturity (7) | Ratings (8) | Value | |||||||||||||||||||||
| VARIABLE RATE SENIOR LOAN INTERESTS – 25.8% (17.4% of Total Investments) (6) |
|
|||||||||||||||||||||||||||
| Aerospace & Defense – 0.3% | ||||||||||||||||||||||||||||
| $ | 489 | Transdigm, Inc., Term Loan F |
4.742% | 1-Month LIBOR | 2.500% | 6/09/23 | Ba2 | $ | 491,169 | |||||||||||||||||||
| Airlines – 0.3% | ||||||||||||||||||||||||||||
| 495 | American Airlines, Inc., Term Loan B |
4.158% | 1-Month LIBOR | 2.000% | 12/14/23 | BB+ | 493,042 | |||||||||||||||||||||
| Biotechnology – 0.4% | ||||||||||||||||||||||||||||
| 739 | Grifols, Inc., Term Loan B |
4.417% | 1-Week LIBOR | 2.250% | 1/31/25 | BB+ | 743,452 | |||||||||||||||||||||
| Building Products – 0.2% | ||||||||||||||||||||||||||||
| 432 | Quikrete Holdings, Inc., Term Loan B |
4.992% | 1-Month LIBOR | 2.750% | 11/15/23 | BB– | 433,813 | |||||||||||||||||||||
| Capital Markets – 0.3% | ||||||||||||||||||||||||||||
| 480 | RPI Finance Trust, Term Loan B6 |
4.386% | 3-Month LIBOR | 2.000% | 3/27/23 | BBB– | 482,197 | |||||||||||||||||||||
| Chemicals – 1.0% | ||||||||||||||||||||||||||||
| 652 | Axalta Coating Systems, Term Loan, First Lien |
4.136% | 3-Month LIBOR | 1.750% | 6/01/24 | BBB– | 653,806 | |||||||||||||||||||||
| 484 | H.B. Fuller Company, Term Loan B |
4.165% | 1-Month LIBOR | 2.000% | 10/22/24 | BB+ | 483,730 | |||||||||||||||||||||
| 199 | Mineral Technologies, Inc., Term Loan B2 |
4.750% | N/A | N/A | 5/07/21 | BB+ | 200,617 | |||||||||||||||||||||
| 590 | Univar, Inc., Term Loan B |
4.492% | 1-Month LIBOR | 2.250% | 7/01/24 | BB | 592,404 | |||||||||||||||||||||
| 1,925 | Total Chemicals |
1,930,557 | ||||||||||||||||||||||||||
| Commercial Services & Supplies – 0.1% | ||||||||||||||||||||||||||||
| 43 | West Corporation, Incremental Term Loan B1 |
5.742% | 1-Month LIBOR | 3.500% | 10/10/24 | Ba3 | 42,355 | |||||||||||||||||||||
| 160 | West Corporation, Term Loan B |
6.242% | 1-Month LIBOR | 4.000% | 10/10/24 | BB+ | 159,400 | |||||||||||||||||||||
| 203 | Total Commercial Services & Supplies |
201,755 | ||||||||||||||||||||||||||
| Communications Equipment – 0.1% | ||||||||||||||||||||||||||||
| 105 | CommScope, Inc., Term Loan B |
4.242% | 1-Month LIBOR | 2.000% | 12/29/22 | Baa3 | 105,969 | |||||||||||||||||||||
| Containers & Packaging – 0.9% | ||||||||||||||||||||||||||||
| 349 | Berry Global, Inc., Term Loan Q |
4.186% | 2-Month LIBOR | 2.000% | 10/01/22 | BBB– | 350,500 | |||||||||||||||||||||
| 1,251 | Reynolds Group Holdings, Inc., Term Loan, First Lien |
4.992% | 1-Month LIBOR | 2.750% | 2/05/23 | B+ | 1,258,175 | |||||||||||||||||||||
| 1,600 | Total Containers & Packaging |
1,608,675 | ||||||||||||||||||||||||||
| Diversified Financial Services – 0.4% | ||||||||||||||||||||||||||||
| 250 | Refinitiv, Term Loan B, (WI/DD) |
6.006% | TBD | TBD | TBD | B | 249,740 | |||||||||||||||||||||
| 169 | Travelport LLC, Term Loan B |
4.814% | 3-Month LIBOR | 2.500% | 3/17/25 | B+ | 168,795 | |||||||||||||||||||||
| 378 | Veritas US, Inc., Term Loan B1 |
6.778% | 1-Month LIBOR | 4.500% | 1/27/23 | B | 369,029 | |||||||||||||||||||||
| 797 | Total Diversified Financial Services |
787,564 | ||||||||||||||||||||||||||
3
| JTA | Nuveen Tax-Advantaged Total Return Strategy Fund (continued) | |
| Portfolio of Investments September 30, 2018 | ||
| (Unaudited) |
| Principal Amount (000) |
Description (1) | Coupon (6) | Reference Rate (6) |
Spread (6) | Maturity (7) | Ratings (8) | Value | |||||||||||||||||||||
| Diversified Telecommunication Services – 0.9% | ||||||||||||||||||||||||||||
| $ | 992 | CenturyLink, Inc., Term Loan B |
4.992% | 1-Month LIBOR | 2.750% | 1/31/25 | BBB– | $ | 986,793 | |||||||||||||||||||
| 261 | Intelsat Jackson Holdings, S.A., Term Loan B |
5.980% | 1-Month LIBOR | 3.750% | 11/30/23 | B1 | 262,312 | |||||||||||||||||||||
| 40 | Intelsat Jackson Holdings, S.A., Term Loan B4 |
6.730% | 1-Month LIBOR | 4.500% | 1/02/24 | B1 | 42,150 | |||||||||||||||||||||
| 64 | Intelsat Jackson Holdings, S.A., Term Loan B5 |
6.625% | N/A | N/A | 1/02/24 | B1 | 66,864 | |||||||||||||||||||||
| 261 | WideOpenWest Finance LLC, Term Loan B |
5.408% | 1-Month LIBOR | 3.250% | 8/18/23 | B | 256,569 | |||||||||||||||||||||
| 1,618 | Total Diversified Telecommunication Services |
|
1,614,688 | |||||||||||||||||||||||||
| Electric Utilities – 0.3% | ||||||||||||||||||||||||||||
| 400 | Vistra Operations Co., Term Loan B1 |
4.242% | 1-Month LIBOR | 2.000% | 8/01/23 | BBB– | 401,018 | |||||||||||||||||||||
| 206 | Vistra Operations Co., Term Loan B3 |
4.181% | 1-Month LIBOR | 2.000% | 12/31/25 | BBB– | 206,252 | |||||||||||||||||||||
| 606 | Total Electric Utilities |
607,270 | ||||||||||||||||||||||||||
| Energy Equipment & Services – 0.2% | ||||||||||||||||||||||||||||
| 15 | Ocean Rig UDW, Inc., Term Loan |
0.000% | N/A | N/A | 9/20/24 | Caa1 | 15,708 | |||||||||||||||||||||
| 333 | Verscend Technologies, Tern Loan B |
6.742% | 1-Month LIBOR | 4.500% | 8/27/25 | B+ | 336,736 | |||||||||||||||||||||
| 348 | Total Energy Equipment & Services |
352,444 | ||||||||||||||||||||||||||
| Equity Real Estate Investment Trusts – 0.2% | ||||||||||||||||||||||||||||
| 324 | Communications Sales & Leasing, Inc., Shortfall Term Loan |
5.242% | 1-Month LIBOR | 3.000% | 10/24/22 | BB+ | 310,426 | |||||||||||||||||||||
| Food & Staples Retailing – 0.4% | ||||||||||||||||||||||||||||
| 807 | Albertson’s LLC, Term Loan B4 |
4.992% | 1-Month LIBOR | 2.750% | 8/25/21 | Ba2 | 808,638 | |||||||||||||||||||||
| Food Products – 0.6% | ||||||||||||||||||||||||||||
| 480 | Jacobs Douwe Egberts, Term Loan B |
4.625% | 3-Month LIBOR | 2.250% | 7/01/22 | BB | 484,026 | |||||||||||||||||||||
| 574 | US Foods, Inc., Term Loan B |
4.242% | 1-Month LIBOR | 2.000% | 6/27/23 | BBB– | 577,147 | |||||||||||||||||||||
| 1,054 | Total Food Products |
1,061,173 | ||||||||||||||||||||||||||
| Health Care Equipment & Supplies – 0.2% | ||||||||||||||||||||||||||||
| 439 | Acelity, Term Loan B |
5.636% | 3-Month LIBOR | 3.250% | 2/02/24 | B1 | 441,610 | |||||||||||||||||||||
| Health Care Providers & Services – 1.5% | ||||||||||||||||||||||||||||
| 86 | Air Medical Group Holdings, Inc., Term Loan B |
6.415% | 1-Month LIBOR | 4.250% | 3/14/25 | B1 | 86,112 | |||||||||||||||||||||
| 251 | Community Health Systems, Inc., Term Loan H |
5.563% | 3-Month LIBOR | 3.250% | 1/27/21 | B | 248,673 | |||||||||||||||||||||
| 796 | DaVita HealthCare Partners, Inc., Tranche B, Term Loan |
4.992% | 1-Month LIBOR | 2.750% | 6/24/21 | BBB– | 800,146 | |||||||||||||||||||||
| 1,233 | HCA, Inc., Term Loan B10 |
4.242% | 1-Month LIBOR | 2.000% | 3/13/25 | BBB– | 1,243,440 | |||||||||||||||||||||
| 47 | HCA, Inc., Term Loan B11 |
3.992% | 1-Month LIBOR | 1.750% | 3/17/23 | BBB– | 46,996 | |||||||||||||||||||||
| 325 | Millennium Laboratories, Inc., Term Loan B, First Lien |
8.742% | 1-Month LIBOR | 6.500% | 12/21/20 | CCC+ | 182,619 | |||||||||||||||||||||
| 249 | PharMerica, Term Loan, First Lien |
5.648% | 1-Month LIBOR | 3.500% | 12/06/24 | B1 | 250,733 | |||||||||||||||||||||
| 2,987 | Total Health Care Providers & Services |
2,858,719 | ||||||||||||||||||||||||||
| Health Care Technology – 0.4% | ||||||||||||||||||||||||||||
| 731 | Emdeon, Inc., Term Loan |
4.992% | 1-Month LIBOR | 2.750% | 3/01/24 | Ba3 | 734,508 | |||||||||||||||||||||
| Hotels, Restaurants & Leisure – 3.2% | ||||||||||||||||||||||||||||
| 466 | Aramark Corporation, Term Loan |
4.084% | 3-Month LIBOR | 1.750% | 3/11/25 | BBB– | 468,371 | |||||||||||||||||||||
| 1,262 | Burger King Corporation, Term Loan B3 |
4.492% | 1-Month LIBOR | 2.250% | 2/16/24 | Ba3 | 1,264,471 | |||||||||||||||||||||
| 744 | Caesars Resort Collection, Term Loan, First Lien |
4.992% | 1-Month LIBOR | 2.750% | 12/23/24 | BB | 749,288 | |||||||||||||||||||||
| 467 | Hilton Hotels, Term Loan B |
3.966% | 1-Month LIBOR | 1.750% | 10/25/23 | BBB– | 469,920 | |||||||||||||||||||||
| 500 | Marriott Ownership Resorts, Term Loan B |
4.492% | 1-Month LIBOR | 2.250% | 8/29/25 | BBB– | 505,000 | |||||||||||||||||||||
| 731 | MGM Growth Properties, Term Loan B |
4.242% | 1-Month LIBOR | 2.000% | 4/25/25 | BB+ | 733,020 | |||||||||||||||||||||
| 1,123 | Seaworld Parks and Entertainment, Inc., Term Loan B5 |
5.242% | 1-Month LIBOR | 3.000% | 4/01/24 | B | 1,122,497 | |||||||||||||||||||||
| 490 | YUM Brands, Term Loan B |
3.915% | 1-Month LIBOR | 1.750% | 4/03/25 | BBB– | 491,290 | |||||||||||||||||||||
| 5,783 | Total Hotels, Restaurants & Leisure |
5,803,857 | ||||||||||||||||||||||||||
| Household Products – 0.2% | ||||||||||||||||||||||||||||
| 340 | Spectrum Brands, Inc, Refinanced Term Loan |
4.349% | 3-Month LIBOR | 2.000% | 6/23/22 | BBB– | 342,045 | |||||||||||||||||||||
4
| Principal Amount (000) |
Description (1) | Coupon (6) | Reference Rate (6) |
Spread (6) | Maturity (7) | Ratings (8) | Value | |||||||||||||||||||||
| Independent Power & Renewable Electricity Producers – 0.3% | ||||||||||||||||||||||||||||
| $ | 497 | NRG Energy, Inc., Term Loan B |
4.136% | 3-Month LIBOR | 1.750% | 6/30/23 | BBB– | $ | 498,545 | |||||||||||||||||||
| Internet & Direct Marketing Retail – 0.3% | ||||||||||||||||||||||||||||
| 499 | Uber Technologies, Inc., Term Loan |
6.120% | 1-Month LIBOR | 4.000% | 4/04/25 | N/R | 502,725 | |||||||||||||||||||||
| IT Services – 2.2% |
||||||||||||||||||||||||||||
| 825 | First Data Corporation, Term Loan, First Lien |
4.212% | 1-Month LIBOR | 2.000% | 4/26/24 | BB+ | 826,569 | |||||||||||||||||||||
| 366 | Gartner, Inc., Term Loan A |
3.992% | 1-Month LIBOR | 1.750% | 3/21/22 | Ba1 | 368,733 | |||||||||||||||||||||
| 978 | Leidos Holdings, Inc., Term Loan B |
4.000% | 1-Month LIBOR | 1.750% | 8/22/25 | BBB– | 982,781 | |||||||||||||||||||||
| 494 | Tempo Acquisition LLC, Term Loan B |
5.242% | 1-Month LIBOR | 3.000% | 5/01/24 | B1 | 496,263 | |||||||||||||||||||||
| 497 | Vantiv LLC, Repriced Term Loan B4 |
3.884% | 1-Month LIBOR | 1.750% | 8/09/24 | BBB– | 498,938 | |||||||||||||||||||||
| 386 | Vantiv LLC, Repriced Term Loan B3 |
3.884% | 1-Month LIBOR | 1.750% | 10/14/23 | BBB– | 387,305 | |||||||||||||||||||||
| 489 | WEX, Inc., Term Loan B |
4.492% | 1-Month LIBOR | 2.250% | 7/01/23 | BB– | 491,262 | |||||||||||||||||||||
| 4,035 | Total IT Services |
4,051,851 | ||||||||||||||||||||||||||
| Leisure Products – 0.3% | ||||||||||||||||||||||||||||
| 512 | 24 Hour Fitness Worldwide, Inc., Term Loan B |
5.742% | 1-Month LIBOR | 3.500% | 5/30/25 | Ba3 | 515,867 | |||||||||||||||||||||
| Life Sciences Tools & Services – 0.2% | ||||||||||||||||||||||||||||
| 305 | Inventiv Health, Inc, Term Loan B |
4.242% | 1-Month LIBOR | 2.000% | 8/01/24 | BB | 305,583 | |||||||||||||||||||||
| Machinery – 0.2% | ||||||||||||||||||||||||||||
| 209 | Gates Global LLC, Term Loan B |
4.992% | 1-Month LIBOR | 2.750% | 4/01/24 | B+ | 210,466 | |||||||||||||||||||||
| 205 | Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien |
4.242% | 1-Month LIBOR | 2.000% | 8/21/24 | BB+ | 206,399 | |||||||||||||||||||||
| 414 | Total Machinery |
416,865 | ||||||||||||||||||||||||||
| Marine – 0.1% | ||||||||||||||||||||||||||||
| 112 | Harvey Gulf International Marine, Inc., Exit Term Loan |
8.508% | 6-Month LIBOR | 6.000% | 7/02/23 | B | 112,673 | |||||||||||||||||||||
| Media – 3.8% | ||||||||||||||||||||||||||||
| 981 | Cequel Communications LLC, Term Loan B |
4.492% | 1-Month LIBOR | 2.250% | 7/28/25 | BB | 982,382 | |||||||||||||||||||||
| 475 | Charter Communications Operating Holdings LLC, Term Loan B |
4.250% | 1-Month LIBOR | 2.000% | 4/30/25 | BBB– | 476,402 | |||||||||||||||||||||
| 249 | Cineworld Group PLC, Term Loan B |
4.742% | 1-Month LIBOR | 2.500% | 2/28/25 | BB– | 248,750 | |||||||||||||||||||||
| 747 | Clear Channel Communications, Inc., Tranche D, Term Loan, (11) |
8.992% | N/A | N/A | 1/30/19 | CC | 563,310 | |||||||||||||||||||||
| 92 | Clear Channel Communications, Inc., |
9.797% | N/A | N/A | 7/30/19 | CC | 69,255 | |||||||||||||||||||||
| 494 | Cumulus Media, Inc., Exit Term Loan |
6.750% | 1-Month LIBOR | 4.500% | 5/13/22 | B | 489,870 | |||||||||||||||||||||
| 422 | Lions Gate Entertainment Corp., Term Loan B |
4.492% | 1-Month LIBOR | 2.250% | 3/24/25 | Ba2 | 423,068 | |||||||||||||||||||||
| 591 | Meredith, Term Loan B |
5.242% | 1-Month LIBOR | 3.000% | 1/31/25 | BB | 595,195 | |||||||||||||||||||||
| 42 | Nexstar Broadcasting Group, Term Loan |
4.604% | 1-Month LIBOR | 2.500% | 1/17/24 | BB+ | 41,784 | |||||||||||||||||||||
| 297 | Nexstar Broadcasting Group, Term Loan B |
4.604% | 1-Month LIBOR | 2.500% | 1/17/24 | BB+ | 298,604 | |||||||||||||||||||||
| 500 | Numericable Group S.A., Term Loan B13 |
6.158% | 1-Month LIBOR | 4.000% | 8/14/26 | B1 | 497,143 | |||||||||||||||||||||
| 497 | Sinclair Television Group, Term Loan B2 |
4.500% | 1-Month LIBOR | 2.250% | 1/31/24 | BB+ | 499,749 | |||||||||||||||||||||
| 479 | Springer Science & Business Media, Inc., Term Loan B13, First Lien |
5.886% | 3-Month LIBOR | 3.500% | 8/15/22 | B | 481,997 | |||||||||||||||||||||
| 1,388 | Univision Communications, Inc., Term Loan C5 |
4.992% | 1-Month LIBOR | 2.750% | 3/15/24 | BB– | 1,352,657 | |||||||||||||||||||||
| 7,254 | Total Media |
7,020,166 | ||||||||||||||||||||||||||
| Multiline Retail – 0.1% | ||||||||||||||||||||||||||||
| 249 | EG America LLC, Term Loan, First Lien |
6.386% | 3-Month LIBOR | 4.000% | 2/07/25 | B | 249,567 | |||||||||||||||||||||
| Oil, Gas & Consumable Fuels – 0.3% | ||||||||||||||||||||||||||||
| 208 | Fieldwood Energy LLC, Exit Term Loan |
7.492% | 1-Month LIBOR | 5.250% | 4/11/22 | BB– | 209,847 | |||||||||||||||||||||
| 281 | Fieldwood Energy LLC, Exit Term Loan, Second Lien |
9.492% | 1-Month LIBOR | 7.250% | 4/11/23 | B+ | 273,877 | |||||||||||||||||||||
| 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 | 8,749 | |||||||||||||||||||||
| 498 | Total Oil, Gas & Consumable Fuels |
492,473 | ||||||||||||||||||||||||||
5
| JTA | Nuveen Tax-Advantaged Total Return Strategy Fund (continued) | |
| Portfolio of Investments September 30, 2018 | ||
| (Unaudited) |
| Principal Amount (000) |
Description (1) | Coupon (6) | Reference Rate (6) |
Spread (6) | Maturity (7) | Ratings (8) | Value | |||||||||||||||||||||
| Pharmaceuticals – 0.0% | ||||||||||||||||||||||||||||
| $ | 30 | Valeant Pharmaceuticals International, Inc., Term Loan, First Lien |
5.104% | 1-Month LIBOR | 3.000% | 6/02/25 | BB– | $ | 29,998 | |||||||||||||||||||
| Professional Services – 0.7% | ||||||||||||||||||||||||||||
| 510 | Formula One Group, Term Loan B |
4.742% | 1-Month LIBOR | 2.500% | 2/01/24 | B+ | 506,372 | |||||||||||||||||||||
| 393 | Nielsen Finance LLC, Term Loan B4 |
4.133% | 1-Month LIBOR | 2.000% | 10/04/23 | BBB– | 393,117 | |||||||||||||||||||||
| 479 | On Assignment, Inc., Term Loan B |
4.242% | 1-Month LIBOR | 2.000% | 4/02/25 | BB | 480,953 | |||||||||||||||||||||
| 1,382 | Total Professional Services |
1,380,442 | ||||||||||||||||||||||||||
| Semiconductors & Semiconductor Equipment – 0.1% | ||||||||||||||||||||||||||||
| 228 | Microchip Technology., Inc, Term Loan B |
4.250% | 1-Month LIBOR | 2.000% | 5/29/25 | Baa3 | 228,153 | |||||||||||||||||||||
| Software – 2.9% | ||||||||||||||||||||||||||||
| 472 | BMC Software, Inc., Term Loan B, (WI/DD) |
6.648% | TBD | TBD | TBD | B | 476,809 | |||||||||||||||||||||
| 719 | Ellucian, Term Loan B, First Lien |
5.636% | 3-Month LIBOR | 3.250% | 9/30/22 | B | 723,019 | |||||||||||||||||||||
| 607 | Infor (US), Inc., Term Loan B |
4.992% | 3-Month LIBOR | 2.750% | 2/01/22 | BB | 609,511 | |||||||||||||||||||||
| 288 | McAfee LLC, Term Loan |
6.742% | 1-Month LIBOR | 4.500% | 9/30/24 | B1 | 291,206 | |||||||||||||||||||||
| 128 | Micro Focus International PLC, New Term Loan |
4.742% | 1-Month LIBOR | 2.500% | 6/21/24 | BB– | 128,147 | |||||||||||||||||||||
| 867 | Micro Focus International PLC, Term Loan B |
4.742% | 1-Month LIBOR | 2.500% | 6/21/24 | BB– | 865,406 | |||||||||||||||||||||
| 1,019 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3 |
4.492% | 1-Month LIBOR | 2.250% | 4/16/25 | BB | 1,021,599 | |||||||||||||||||||||
| 396 | SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4 |
4.492% | 1-Month LIBOR | 2.250% | 4/16/25 | BB | 396,550 | |||||||||||||||||||||
| 911 | Tibco Software, Inc., Term Loan, First Lien |
5.750% | 1-Month LIBOR | 3.500% | 12/04/20 | B1 | 916,194 | |||||||||||||||||||||
| 5,407 | Total Software |
5,428,441 | ||||||||||||||||||||||||||
| Software – 0.3% | ||||||||||||||||||||||||||||
| 460 | Petco Animal Supplies, Inc., Term Loan B1 |
5.592% | 3-Month LIBOR | 3.250% | 1/26/23 | B2 | 374,275 | |||||||||||||||||||||
| 147 | Petsmart Inc., Term Loan B, First Lien |
5.120% | 1-Month LIBOR | 3.000% | 3/11/22 | B3 | 128,308 | |||||||||||||||||||||
| 607 | Total Specialty Retail |
502,583 | ||||||||||||||||||||||||||
| Technology Hardware, Storage & Peripherals – 1.0% | ||||||||||||||||||||||||||||
| 738 | Dell International LLC, Refinancing Term Loan B |
4.250% | 1-Month LIBOR | 2.000% | 9/07/23 | BBB– | 740,322 | |||||||||||||||||||||
| 1,061 | Western Digital, Term Loan B |
3.992% | 1-Month LIBOR | 1.750% | 4/29/23 | Baa2 | 1,063,964 | |||||||||||||||||||||
| 1,799 | Total Technology Hardware, Storage & Peripherals |
|
1,804,286 | |||||||||||||||||||||||||
| Transportation Infrastructure – 0.5% | ||||||||||||||||||||||||||||
| 877 | Avolon LLC, Term Loan B |
4.165% | 1-Month LIBOR | 2.000% | 1/15/25 | BBB– | 880,912 | |||||||||||||||||||||
| Wireless Telecommunication Services – 0.4% | ||||||||||||||||||||||||||||
| 739 | Sprint Corporation, Term Loan, First Lien |
4.750% | 1-Month LIBOR | 2.500% | 2/02/24 | Ba2 | 741,520 | |||||||||||||||||||||
| $ | 47,746 | Total Variable Rate Senior Loan Interests (cost $47,708,651) |
|
47,376,221 | ||||||||||||||||||||||||
| Principal Amount (000) |
Description (1) | Coupon | Maturity | Ratings (8) | Value | |||||||||||||||||||||||
| $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 6.8% (4.6% of Total Investments) |
| |||||||||||||||||||||||||||
| Automobiles – 0.3% | ||||||||||||||||||||||||||||
| $ | 655 | General Motors Financial Company Inc. |
5.750% | N/A (9) | BB+ | $ | 620,613 | |||||||||||||||||||||
| Banks – 3.7% | ||||||||||||||||||||||||||||
| 425 | Bank of America Corporation |
6.500% | N/A (9) | BBB– | 459,000 | |||||||||||||||||||||||
| 70 | Bank of America Corporation |
6.300% | N/A (9) | BBB– | 75,425 | |||||||||||||||||||||||
| 625 | CIT Group Inc., Series A |
5.800% | N/A (9) | B+ | 615,625 | |||||||||||||||||||||||
| 700 | Citigroup Inc. |
6.250% | N/A (9) | BB+ | 730,625 | |||||||||||||||||||||||
| 225 | Citigroup Inc. |
5.800% | N/A (9) | BB+ | 229,725 | |||||||||||||||||||||||
| 375 | Citizens Financial Group Inc. |
5.500% | N/A (9) | BB+ | 384,458 | |||||||||||||||||||||||
| 50 | Cobank Agricultural Credit Bank |
6.250% | N/A (9) | BBB+ | 53,000 | |||||||||||||||||||||||
| 350 | Huntington Bancshares Inc. |
5.700% | N/A (9) | Baa3 | 346,937 | |||||||||||||||||||||||
| 500 | JPMorgan Chase & Company |
6.750% | N/A (9) | BBB | 545,625 | |||||||||||||||||||||||
6
| Principal Amount (000) |
Description (1) | Coupon | Maturity | Ratings (8) | Value | |||||||||||||||||||||||
| Banks (continued) | ||||||||||||||||||||||||||||
| $ | 200 | JPMorgan Chase & Company |
6.100% | N/A (9) | BBB | $ | 207,000 | |||||||||||||||||||||
| 250 | JPMorgan Chase & Company, (3-Month LIBOR reference rate + 3.470% spread), (10) |
5.809% | N/A (9) | BBB | 251,062 | |||||||||||||||||||||||
| 600 | M&T Bank Corporation |
6.450% | N/A (9) | Baa2 | 645,000 | |||||||||||||||||||||||
| 700 | PNC Financial Services Inc. |
6.750% | N/A (9) | Baa2 | 757,225 | |||||||||||||||||||||||
| 450 | SunTrust Bank Inc. |
5.625% | N/A (9) | Baa3 | 457,313 | |||||||||||||||||||||||
| 575 | Wells Fargo & Company |
5.875% | N/A (9) | Baa2 | 604,837 | |||||||||||||||||||||||
| 500 | Zions Bancorporation |
7.200% | N/A (9) | BB | 535,000 | |||||||||||||||||||||||
| 6,595 | Total Banks |
6,897,857 | ||||||||||||||||||||||||||
| Capital Markets – 0.2% | ||||||||||||||||||||||||||||
| 275 | Goldman Sachs Group Inc. |
5.300% | N/A (9) | Ba1 | 275,137 | |||||||||||||||||||||||
| 125 | Morgan Stanley |
5.550% | N/A (9) | BB+ | 128,313 | |||||||||||||||||||||||
| 400 | Total Capital Markets |
403,450 | ||||||||||||||||||||||||||
| Consumer Finance – 0.3% | ||||||||||||||||||||||||||||
| 540 | Capital One Financial Corporation |
5.550% | N/A (9) | Baa3 | 549,450 | |||||||||||||||||||||||
| Diversified Financial Services – 0.5% | ||||||||||||||||||||||||||||
| 625 | Discover Financial Services |
5.500% | N/A (9) | BB– | 617,187 | |||||||||||||||||||||||
| 225 | Voya Financial Inc. |
6.125% | N/A (9) | BB+ | 228,656 | |||||||||||||||||||||||
| 850 | Total Diversified Financial Services |
845,843 | ||||||||||||||||||||||||||
| Food Products – 1.3% | ||||||||||||||||||||||||||||
| 2,146 | Land O’ Lakes Incorporated, 144A |
8.000% | N/A (9) | BB | 2,328,410 | |||||||||||||||||||||||
| Industrial Conglomerates – 0.4% | ||||||||||||||||||||||||||||
| 690 | General Electric Capital Corporation |
5.000% | N/A (9) | Baa1 | 672,664 | |||||||||||||||||||||||
| Insurance – 0.1% | ||||||||||||||||||||||||||||
| 250 | Progressive Corp |
5.375% | N/A (9) | BBB+ | 249,375 | |||||||||||||||||||||||
| $ | 12,126 | Total $1,000 Par (or similar) Institutional Preferred (cost $12,334,685) |
|
12,567,662 | ||||||||||||||||||||||||
| Shares | Description (1) | Coupon | Ratings (8) | Value | ||||||||||||||||||||||||
| $25 PAR (OR SIMILAR) RETAIL PREFERRED – 6.0% (4.0% of Total Investments) |
| |||||||||||||||||||||||||||
| Banks – 2.0% | ||||||||||||||||||||||||||||
| 4,625 | Cobank Agricultural Credit Bank, (2) |
6.250% | BBB+ | $ | 481,000 | |||||||||||||||||||||||
| 3,250 | Cobank Agricultural Credit Bank, (2) |
6.125% | BBB+ | 325,813 | ||||||||||||||||||||||||
| 8,622 | Fifth Third Bancorp. |
6.625% | Baa3 | 237,105 | ||||||||||||||||||||||||
| 9,986 | First Republic Bank of San Francisco |
7.000% | BBB– | 254,643 | ||||||||||||||||||||||||
| 9,162 | FNB Corporation |
7.250% | Ba2 | 262,308 | ||||||||||||||||||||||||
| 16,275 | Huntington BancShares Inc. |
6.250% | Baa3 | 418,919 | ||||||||||||||||||||||||
| 8,950 | KeyCorp Preferred Stock |
6.125% | Baa3 | 239,234 | ||||||||||||||||||||||||
| 14,700 | People’s United Financial, Inc. |
5.625% | BB+ | 378,525 | ||||||||||||||||||||||||
| 18,844 | Regions Financial Corporation |
6.375% | BB+ | 499,554 | ||||||||||||||||||||||||
| 19,300 | U.S. Bancorp. |
6.500% | A3 | 525,539 | ||||||||||||||||||||||||
| Total Banks |
3,622,640 | |||||||||||||||||||||||||||
| Capital Markets – 1.3% | ||||||||||||||||||||||||||||
| 19,400 | Charles Schwab Corporation |
6.000% | BBB | 498,192 | ||||||||||||||||||||||||
| 8,046 | Charles Schwab Corporation |
5.950% | BBB | 205,012 | ||||||||||||||||||||||||
| 25,555 | Ladenburg Thalmann Financial Services Inc. |
8.000% | N/R | 639,386 | ||||||||||||||||||||||||
| 20,225 | Morgan Stanley |
7.125% | BB+ | 568,120 | ||||||||||||||||||||||||
| 4,700 | Morgan Stanley |
6.375% | BB+ | 125,584 | ||||||||||||||||||||||||
| 13,400 | Stifel Financial Corporation |
6.250% | BB– | 338,886 | ||||||||||||||||||||||||
| Total Capital Markets |
2,375,180 | |||||||||||||||||||||||||||
| Consumer Finance – 0.8% | ||||||||||||||||||||||||||||
| 12,800 | Capital One Financial Corporation |
6.700% | Baa3 | 334,336 | ||||||||||||||||||||||||
| 46,000 | GMAC Capital Trust I |
8.414% | B+ | 1,209,800 | ||||||||||||||||||||||||
| Total Consumer Finance |
1,544,136 | |||||||||||||||||||||||||||
7
| JTA | Nuveen Tax-Advantaged Total Return Strategy Fund (continued) | |
| Portfolio of Investments September 30, 2018 | ||
| (Unaudited) |
| Shares | Description (1) | Coupon | Ratings (8) | Value | ||||||||||||||||||||||||
| Food Products – 0.5% | ||||||||||||||||||||||||||||
| 5,757 | CHS Inc. |
7.875% | N/R | $ | 162,290 | |||||||||||||||||||||||
| 12,132 | CHS Inc. |
7.100% | N/R | 327,321 | ||||||||||||||||||||||||
| 13,905 | CHS Inc. |
6.750% | N/R | 364,728 | ||||||||||||||||||||||||
| Total Food Products |
854,339 | |||||||||||||||||||||||||||
| Insurance – 0.9% | ||||||||||||||||||||||||||||
| 25,089 | Allstate Corporation |
6.750% | BBB– | 626,472 | ||||||||||||||||||||||||
| 13,500 | Enstar Group Ltd |
7.000% | BB+ | 356,400 | ||||||||||||||||||||||||
| 1,470 | National General Holding Company |
7.500% | N/R | 36,662 | ||||||||||||||||||||||||
| 8,175 | National General Holding Company |
7.500% | N/R | 202,086 | ||||||||||||||||||||||||
| 13,882 | PartnerRe Limited |
7.250% | Baa2 | 374,814 | ||||||||||||||||||||||||
| Total Insurance |
1,596,434 | |||||||||||||||||||||||||||
| Thrifts & Mortgage Finance – 0.5% | ||||||||||||||||||||||||||||
| 24,550 | Federal Agricultural Mortgage Corporation |
6.875% | N/R | 642,719 | ||||||||||||||||||||||||
| 13,900 | New York Community Bancorp Inc. |
6.375% | Ba1 | 371,130 | ||||||||||||||||||||||||
| Total Thrifts & Mortgage Finance |
1,013,849 | |||||||||||||||||||||||||||
| Total $25 Par (or similar) Retail Preferred (cost $10,583,887) |
11,006,578 | |||||||||||||||||||||||||||
| Shares | Description (1) | Coupon | Issue Price | Cap Price | Maturity | Value | ||||||||||||||||||||||
| STRUCTURED NOTES – 2.1% (1.4% of Total Investments) |
||||||||||||||||||||||||||||
| 6,200 | Goldman Sachs Finance Corp., Mandatory Exchangeable Notes Linked to Common Stock of Coherent, Inc. (Cap 120.50% of Issue Price), 144A |
10.000% | $ | 168.2340 | $ | 202.7220 | 11/21/18 | $ | 1,060,834 | |||||||||||||||||||
| 5,257 | JPMorgan Chase & Co., Mandatory Exchangeable Note, Linked to Common Stock of Broadcom, Inc. (Cap 113.00% of Issue Price), 144A |
10.000% | $ | 209.2547 | $ | 236.4578 | 1/23/19 | 1,210,687 | ||||||||||||||||||||
| 37,000 | JPMorgan Chase & Co., Mandatory Exchangeable Note, Linked to Common Stock of EQT Corporation (Cap 114.20% of Issue Price), 144A |
8.000% | $ | 55.0950 | $ | 62.9180 | 12/27/18 | 1,663,890 | ||||||||||||||||||||
| Total Structured Notes (cost $4,125,194) |
3,935,411 | |||||||||||||||||||||||||||
| Shares | Description (1) | Coupon | Ratings (8) | Value | ||||||||||||||||||||||||
| CONVERTIBLE PREFERRED SECURITIES – 0.5% (0.3% of Total Investments) |
| |||||||||||||||||||||||||||
| Banks – 0.5% | ||||||||||||||||||||||||||||
| 375 | Bank of America Corporation |
7.250% | BBB– | $ | 485,344 | |||||||||||||||||||||||
| 275 | Wells Fargo & Company |
7.500% | Baa2 | 354,992 | ||||||||||||||||||||||||
| 650 | Total Convertible Preferred Securities (cost $783,388) |
|
840,336 | |||||||||||||||||||||||||
| Principal Amount (000) |
Description (1) | Coupon | Maturity | Ratings (8) | Value | |||||||||||||||||||||||
| CORPORATE BONDS – 0.1% (0.1% of Total Investments) |
||||||||||||||||||||||||||||
| Food Products – 0.1% | ||||||||||||||||||||||||||||
| $ | 125 | Land O’ Lakes Incorporated, 144A |
7.000% | 12/15/66 | BB | $ | 126,562 | |||||||||||||||||||||
| Media – 0.0% | ||||||||||||||||||||||||||||
| 133 | iHeartCommunications, Inc., (11) |
9.000% | 12/15/19 | CC | 100,083 | |||||||||||||||||||||||
| $ | 258 | Total Corporate Bonds (cost $249,437) |
226,645 | |||||||||||||||||||||||||
| Shares | Description (1) | Value | ||||||||||||||||||||||||||
| WARRANTS – 0.0% (0.0% of Total Investments) |
||||||||||||||||||||||||||||
| Marine – 0.0% | ||||||||||||||||||||||||||||
| 1,176 | HGIM Corp, (2) |
$ | 63,504 | |||||||||||||||||||||||||
| Total Warrants (cost $47,040) |
63,504 | |||||||||||||||||||||||||||
| Total Long-Term Investments (cost $243,199,507) |
|
266,561,236 | ||||||||||||||||||||||||||
8
| Principal Amount (000)/ Shares |
Description (1) | Coupon | Maturity | Value | ||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS – 3.5% (2.4% of Total Investments) |
| |||||||||||||||||||||||||||
| REPURCHASE AGREEMENTS – 3.2% (2.2% of Total Investments) | ||||||||||||||||||||||||||||
| $ | 5,815 | Repurchase Agreement with Fixed Income Clearing
Corporation, |
1.050% | 10/01/18 | $ | 5,815,488 | ||||||||||||||||||||||
| INVESTMENT COMPANIES – 0.3% (0.2% of Total Investments) |
| |||||||||||||||||||||||||||
| 630,489 | Blackrock Liquidity Funds T-Fund Portfolio, (12) |
2.031% (13) | N/A | 630,489 | ||||||||||||||||||||||||
| Total Short-Term Investments (cost $6,445,977) |
|
6,445,977 | ||||||||||||||||||||||||||
| Total Investments (cost $249,645,484) – 148.4% |
|
273,007,213 | ||||||||||||||||||||||||||
| Borrowings – (48.4)% (14), (15) |
|
(89,000,000 | ) | |||||||||||||||||||||||||
| Other Assets Less Liabilities – (0.0)% (16) |
(54,517 | ) | ||||||||||||||||||||||||||
| Net Assets Applicable to Common Shares – 100% |
|
$ | 183,952,696 | |||||||||||||||||||||||||
Investments in Derivatives
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 (17) |
Optional Termination Date |
Maturity Date |
Value | Unrealized Appreciation Depreciation) |
||||||||||||||||||||||||||||||
| JPMorgan Chase Bank, N.A. |
$ | 41,800,000 | Receive | 1-Month LIBOR | 1.969 | % | Monthly | 6/01/18 | 7/01/25 | 7/01/27 | $ | 2,316,909 | $ | 2,316,909 | ||||||||||||||||||||||||||
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 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). |
9
| JTA | Nuveen Tax-Advantaged Total Return Strategy Fund (continued) | |
| Portfolio of Investments September 30, 2018 | ||
| (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 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 |
$ | 104,435,670 | $ | 86,001,318 | $ | 107,891 | $ | 190,544,879 | ||||||||
| Variable Rate Senior Loan Interests |
— | 47,376,221 | — | 47,376,221 | ||||||||||||
| $1,000 Par (or similar) Institutional Preferred |
— | 12,567,662 | — | 12,567,662 | ||||||||||||
| $25 Par (or similar) Retail Preferred |
10,199,765 | 806,813 | — | 11,006,578 | ||||||||||||
| Structured Notes |
— | 3,935,411 | — | 3,935,411 | ||||||||||||
| Convertible Preferred Securities |
840,336 | — | — | 840,336 | ||||||||||||
| Corporate Bonds |
— | 226,645 | — | 226,645 | ||||||||||||
| Warrants |
63,504 | — | — | 63,504 | ||||||||||||
| Short-Term Investments: |
||||||||||||||||
| Repurchase Agreements |
— | 5,815,488 | — | 5,815,488 | ||||||||||||
| Investment Companies |
630,489 | — | — | 630,489 | ||||||||||||
| Investments in Derivatives: |
||||||||||||||||
| Interest Rate Swaps* |
— | 2,316,909 | — | 2,316,909 | ||||||||||||
| Total |
$ | 116,106,260 | $ | 159,109,971 | $ | 107,891 | $ | 275,324,122 | ||||||||
| * | 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 |
$ | 8,386,763 | $ | (11,514,555 | ) | $ | 11,514,555 | $ | (8,386,763 | ) | $ | — | $ | — | ||||||||||
Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing 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 Fund’s investment portfolio, as determined on a federal income tax basis, as of September 30, 2018.
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 |
$ | 251,269,974 | ||
| Gross unrealized: |
||||
| Appreciation |
$ | 32,110,614 | ||
| Depreciation |
(10,373,375 | ) | ||
| Net unrealized appreciation (depreciation) of investments |
$ | 21,737,239 | ||
| Tax cost of swaps |
$ | — | ||
| Net unrealized appreciation (depreciation) of swaps |
2,316,909 |
10
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) | For fair value measurement disclosure purposes, investment classified as Level 2. |
| (3) | Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $72,232,480. |
| (4) | Non-income producing; issuer has not declared a dividend within the past twelve months. |
| (5) | Investments valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investments are classified as Level 3 unless otherwise noted. |
| (6) | 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 is the coupon as of the end of the reporting period. |
| (7) | 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. |
| (8) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) 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 & 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. |
| (9) | Perpetual security. Maturity date is not applicable. |
| (10) | Variable rate security. The rate shown is the coupon as of the reporting period. |
| (11) | 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 Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records. |
| (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) | The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period. |
| (14) | Borrowings as a percentage of Total Investments is 32.6%. |
| (15) | 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 $194,915,195 have been pledged as collateral for borrowings. |
| (16) | 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. |
| (17) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. |
| 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 |
| LIBOR | London Inter-Bank Offered Rate |
| 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. |
| 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. |
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
11
Item 2. Controls and Procedures.
| a. | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| b. | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: 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, 2018
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, 2018 | ||||
| By (Signature and Title) | /s/ Stephen D. Foy | |||
| Stephen D. Foy | ||||
| Vice President and Controller (principal financial officer) | ||||
| Date: November 29, 2018 | ||||