UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21471
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Nuveen Tax-Advantaged Total Return Strategy Fund | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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333 West Wacker Drive, Chicago, Illinois 60606 |
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(Address of principal executive offices) (Zip code) |
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Kevin J. McCarthy—Vice President and Secretary |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
312-917-7700 |
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Date of fiscal year end: |
12/31 |
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Date of reporting period: |
9/30/2011 |
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Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
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Portfolio of Investments (Unaudited) |
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Nuveen Tax-Advantaged Total Return Strategy Fund (JTA) |
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|
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September 30, 2011 |
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Shares |
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Description (1) |
|
Value |
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Common Stocks – 93.2% (65.0% of Total Investments) |
|
|
|
|
|
|
Aerospace & Defense – 2.4% |
|
|
|
|
80,000 |
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Raytheon Company |
|
$ 3,269,600 |
|
|
|
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Automobiles – 1.8% |
|
|
|
|
124,400 |
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General Motors Company, (2) |
|
2,510,392 |
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|
|
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Biotechnology – 1.9% |
|
|
|
|
47,500 |
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Amgen Inc. |
|
2,610,125 |
|
|
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Commercial Banks – 2.6% |
|
|
|
|
150,900 |
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Wells Fargo & Company |
|
3,639,708 |
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|
|
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Commercial Services & Supplies – 1.6% |
|
|
|
|
115,800 |
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Pitney Bowes Inc. |
|
2,177,040 |
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Communications Equipment – 5.4% |
|
|
|
|
229,000 |
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Cisco Systems, Inc. |
|
3,547,210 |
|
|
95,285 |
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Motorola Solutions Inc. |
|
3,992,442 |
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|
|
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Total Communications Equipment |
|
7,539,652 |
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|
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Diversified Financial Services – 4.2% |
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|
|
|
138,600 |
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Citigroup Inc. |
|
3,550,932 |
|
|
75,400 |
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JP Morgan Chase & Co. |
|
2,271,048 |
|
|
|
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Total Diversified Financial Services |
|
5,821,980 |
|
|
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Diversified Telecommunication Services – 1.6% |
|
|
|
|
369,000 |
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Frontier Communications Corporation |
|
2,254,590 |
|
|
|
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Food & Staples Retailing – 1.9% |
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|
|
|
78,000 |
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CVS Caremark Corporation |
|
2,619,240 |
|
|
|
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Industrial Conglomerates – 1.0% |
|
|
|
|
87,600 |
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General Electric Company |
|
1,335,024 |
|
|
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Insurance – 11.7% |
|
|
|
|
365,900 |
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Genworth Financial Inc., Class A, (2) |
|
2,100,266 |
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|
215,600 |
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Hartford Financial Services Group, Inc. |
|
3,479,784 |
|
|
63,000 |
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Loews Corporation |
|
2,176,650 |
|
|
121,900 |
|
MetLife, Inc., (3) |
|
3,414,419 |
|
|
177,444 |
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Symetra Financial Corporation |
|
1,446,169 |
|
|
172,700 |
|
Unum Group |
|
3,619,792 |
|
|
|
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Total Insurance |
|
16,237,080 |
|
|
|
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Machinery – 3.0% |
|
|
|
|
75,000 |
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Ingersoll Rand Company Limited, Class A |
|
2,106,750 |
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|
59,600 |
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PACCAR Inc. |
|
2,015,672 |
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|
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Total Machinery |
|
4,122,422 |
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|
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Media – 8.8% |
|
|
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|
286,000 |
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Interpublic Group Companies, Inc. |
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2,059,200 |
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|
17,337 |
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Metro-Goldwyn-Mayer, (10) |
|
305,565 |
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|
265,000 |
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National CineMedia, Inc. |
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3,845,150 |
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|
140,400 |
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Time Warner Inc. |
|
4,207,788 |
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|
47,000 |
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Viacom Inc., Class B |
|
1,820,780 |
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|
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Total Media |
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12,238,483 |
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|
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Metals & Mining – 8.1% |
|
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|
|
112,300 |
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AngloGold Ashanti Limited, Sponsored ADR |
|
4,644,728 |
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|
97,200 |
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Barrick Gold Corporation |
|
4,534,380 |
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63,000 |
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Nucor Corporation |
|
1,993,320 |
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|
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Total Metals & Mining |
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11,172,428 |
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Oil, Gas, & Consumable Fuels – 5.7% |
|
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|
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28,000 |
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Exxon Mobil Corporation |
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2,033,640 |
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|
32,400 |
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Occidental Petroleum Corporation |
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2,316,600 |
|
|
81,600 |
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Total SA, Sponsored ADR |
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3,579,792 |
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|
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Total Oil, Gas, & Consumable Fuels |
|
7,930,032 |
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Pharmaceuticals – 18.2% |
|
|
|
|
94,500 |
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GlaxoSmithKline PLC, Sponsored ADR |
|
3,901,905 |
|
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111,700 |
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Merck & Company Inc. |
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3,653,707 |
|
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410,000 |
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Pfizer Inc. |
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7,248,800 |
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228,000 |
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Sanofi-Aventis |
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7,478,400 |
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|
78,200 |
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Teva Pharmaceutical Industries Limited, Sponsored ADR |
|
2,910,604 |
|
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Total Pharmaceuticals |
|
25,193,416 |
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Professional Services – 1.0% |
|
|
|
|
52,200 |
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Nielsen Holdings BV, (2) |
|
1,361,376 |
|
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Software – 7.0% |
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|
|
|
312,500 |
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CA Inc. |
|
6,065,625 |
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|
148,800 |
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Microsoft Corporation, (3) |
|
3,703,632 |
|
|
|
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Total Software |
|
9,769,257 |
|
|
|
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Tobacco – 2.2% |
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|
|
|
48,600 |
|
Philip Morris International |
|
3,031,667 |
|
|
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Wireless Telecommunication Services – 3.1% |
|
|
|
|
170,000 |
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Vodafone Group PLC, Sponsored ADR |
|
4,360,500 |
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|
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Total Common Stocks (cost $147,167,215) |
|
129,194,012 |
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|
Shares |
|
Description (1) |
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Coupon |
|
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Ratings (4) |
|
Value |
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$25 Par (or similar) Preferred Securities – 8.7% (6.1% of Total Investments) |
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|
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Commercial Banks – 0.5% |
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|
|
|
| ||||
|
500 |
|
HSBC Holdings PLC |
|
8.000% |
|
|
|
A- |
|
$ 12,715 |
|
|
700 |
|
Wells Fargo & Company, Convertible Bond |
|
7.500% |
|
|
|
A- |
|
723,142 |
|
|
|
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Total Commercial Banks |
|
|
|
|
|
|
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735,857 |
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|
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Consumer Finance – 0.8% |
|
|
|
|
|
|
| ||
|
6,000 |
|
Heller Financial Inc. |
|
6.687% |
|
|
|
A+ |
|
600,563 |
|
|
25,900 |
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HSBC Finance Corporation |
|
6.360% |
|
|
|
Baa2 |
|
538,461 |
|
|
|
|
Total Consumer Finance |
|
|
|
|
|
|
|
1,139,024 |
|
|
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Diversified Financial Services – 1.0% |
|
|
|
|
| ||||
|
15,000 |
|
Bank of America Corporation |
|
8.200% |
|
|
|
BB+ |
|
330,300 |
|
|
300 |
|
Bank of America Corporation |
|
7.250% |
|
|
|
BB+ |
|
229,797 |
|
|
26,300 |
|
Citigroup Inc. |
|
8.500% |
|
|
|
BB+ |
|
664,075 |
|
|
1,888 |
|
Citigroup Inc. |
|
6.500% |
|
|
|
BB+ |
|
86,848 |
|
|
|
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
1,311,020 |
|
|
|
|
Electric Utilities – 2.8% |
|
|
|
|
| ||||
|
18,150 |
|
Alabama Power Company |
|
6.500% |
|
|
|
BBB+ |
|
509,902 |
|
|
12,000 |
|
Connecticut Power & Light Company |
|
4.960% |
|
|
|
Baa3 |
|
549,000 |
|
|
5,000 |
|
Georgia Power Company |
|
6.500% |
|
|
|
BBB+ |
|
544,532 |
|
|
5,000 |
|
Gulf Power Company |
|
6.450% |
|
|
|
BBB+ |
|
540,340 |
|
|
30,000 |
|
PPL Electric Utilities Corporation |
|
6.250% |
|
|
|
BB+ |
|
751,875 |
|
|
5,000 |
|
Southern California Edison Company |
|
6.500% |
|
|
|
Baa2 |
|
505,938 |
|
|
5,000 |
|
Southern California Edison Company |
|
6.125% |
|
|
|
Baa2 |
|
493,282 |
|
|
|
|
Total Electric Utilities |
|
|
|
|
|
|
|
3,894,869 |
|
|
|
|
Insurance – 2.9% |
|
|
|
|
|
|
| ||
|
25,000 |
|
Aspen Insurance Holdings Limited |
|
7.401% |
|
|
|
BBB- |
|
610,000 |
|
|
25,000 |
|
Axis Capital Holdings Limited |
|
7.250% |
|
|
|
BBB |
|
623,250 |
|
|
13,067 |
|
Endurance Specialty Holdings Limited |
|
7.750% |
|
|
|
BBB- |
|
331,248 |
|
|
3,500 |
|
Endurance Specialty Holdings Limited |
|
7.500% |
|
|
|
BBB- |
|
86,135 |
|
|
25,000 |
|
MetLife Inc., Series B |
|
6.500% |
|
|
|
Baa2 |
|
623,000 |
|
|
16,501 |
|
PartnerRe Limited |
|
7.250% |
|
|
|
BBB+ |
|
419,950 |
|
|
25,000 |
|
Principal Financial Group |
|
6.518% |
|
|
|
Baa3 |
|
631,250 |
|
|
28,500 |
|
Prudential PLC |
|
6.750% |
|
|
|
A- |
|
713,355 |
|
|
|
|
Total Insurance |
|
|
|
|
|
|
|
4,038,188 |
|
|
|
|
Oil, Gas, & Consumable Fuels – 0.5% |
|
|
|
|
|
| |||
|
25,000 |
|
Kayne Anderson MLP Trust, (3) |
|
4.950% |
|
|
|
N/R |
|
637,750 |
|
|
|
|
Thrifts & Mortgage Finance – 0.2% |
|
|
|
|
| ||||
|
12,796 |
|
Santander Holdings USA |
|
7.300% |
|
|
|
BBB+ |
|
291,876 |
|
|
|
|
Total $25 Par (or similar) Preferred Securities (cost $11,824,418) |
|
|
|
12,048,584 |
| ||||
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
Principal |
|
|
|
Average |
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (5) |
|
Ratings (4) |
|
Value |
|
|
|
|
Variable Rate Senior Loan Interests – 33.0% (23.1% of Total Investments) (6) |
|
|
|
| |||||
|
|
|
Aerospace & Defense – 0.3% |
|
|
| ||||||
|
$ 422 |
|
Transdigm, Inc., Term Loan |
|
4.000% |
|
6/30/17 |
|
Ba2 |
|
$ 413,630 |
|
|
|
|
Auto Components – 1.3% |
|
|
|
|
| ||||
|
1,317 |
|
Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.159% |
|
12/29/14 |
|
Ba3 |
|
1,217,572 |
|
|
672 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.166% |
|
12/28/15 |
|
Ba3 |
|
621,210 |
|
|
1,989 |
|
Total Auto Components |
|
|
|
|
|
|
|
1,838,782 |
|
|
|
|
Biotechnology – 0.6% |
|
|
|
|
| ||||
|
898 |
|
Grifols, Term Loan |
|
6.000% |
|
6/01/17 |
|
BB |
|
882,488 |
|
|
|
|
Building Products – 0.7% |
|
|
|
|
|
| |||
|
931 |
|
Goodman Global Inc., Term Loan |
|
5.750% |
|
10/28/16 |
|
B+ |
|
924,434 |
|
|
|
|
Chemicals – 1.8% |
|
|
|
|
|
|
|
| |
|
1,625 |
|
Ashland, Inc., Term Loan |
|
3.750% |
|
8/23/18 |
|
Baa3 |
|
1,615,424 |
|
|
993 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B |
|
931,296 |
|
|
2,618 |
|
Total Chemicals |
|
|
|
|
|
|
|
2,546,720 |
|
|
|
|
Communications Equipment – 1.2% |
|
|
|
|
| ||||
|
661 |
|
Avaya, Inc., Term Loan B3 |
|
4.814% |
|
10/26/17 |
|
B1 |
|
564,625 |
|
|
329 |
|
Avaya, Inc., Term Loan |
|
2.750% |
|
10/27/14 |
|
B1 |
|
297,496 |
|
|
865 |
|
Intelsat, Term Loan |
|
5.250% |
|
4/02/18 |
|
BB- |
|
834,423 |
|
|
1,855 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
1,696,544 |
|
|
|
|
Consumer Finance – 0.5% |
|
|
|
|
| ||||
|
750 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B+ |
|
659,062 |
|
|
|
|
Containers & Packaging – 0.3% |
|
|
|
|
|
| |||
|
469 |
|
Sealed Air Corporation, Term Loan, WI/DD |
|
TBD |
|
TBD |
|
Ba1 |
|
470,039 |
|
|
|
|
Electric Utilities – 1.0% |
|
|
|
|
| ||||
|
1,860 |
|
TXU Corporation, 2014 Term Loan |
|
3.726% |
|
10/10/14 |
|
B2 |
|
1,320,028 |
|
|
|
|
Food & Staples Retailing – 1.3% |
|
|
|
|
|
| |||
|
867 |
|
Reynolds Group Holdings, Inc., Add on Term Loan |
|
6.500% |
|
8/09/18 |
|
BB- |
|
841,028 |
|
|
990 |
|
U.S. Foodservice, Inc., Term Loan |
|
2.738% |
|
7/03/14 |
|
B- |
|
915,749 |
|
|
1,857 |
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
1,756,777 |
|
|
|
|
Food Products – 1.6% |
|
|
|
|
|
| |||
|
1,000 |
|
JBS USA LLC, Term Loan |
|
4.250% |
|
5/25/18 |
|
BB |
|
960,000 |
|
|
1,371 |
|
Michael Foods Group, Inc., Term Loan |
|
4.250% |
|
2/25/18 |
|
B+ |
|
1,325,353 |
|
|
2,371 |
|
Total Food Products |
|
|
|
|
|
|
|
2,285,353 |
|
|
|
|
Health Care Providers & Services – 4.3% |
|
|
|
|
|
| |||
|
65 |
|
Community Health Systems, Inc., Delayed Term Loan |
|
2.569% |
|
7/25/14 |
|
BB |
|
61,110 |
|
|
141 |
|
Community Health Systems, Inc., Extended Term Loan |
|
3.819% |
|
1/25/17 |
|
BB |
|
130,109 |
|
|
1,268 |
|
Community Health Systems, Inc., Term Loan |
|
2.569% |
|
7/25/14 |
|
BB |
|
1,189,323 |
|
|
993 |
|
DaVita, Inc., Tranche B, Term Loan |
|
4.500% |
|
10/20/16 |
|
BB |
|
980,714 |
|
|
997 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
890,839 |
|
|
76 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.619% |
|
3/31/17 |
|
BB |
|
71,711 |
|
|
914 |
|
Kindred Healthcare, Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
850,369 |
|
|
1,831 |
|
Universal Health Services, Inc., Term Loan B |
|
4.000% |
|
11/15/16 |
|
BB+ |
|
1,780,015 |
|
|
6,285 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
5,954,190 |
|
|
|
|
Hotels, Restaurants & Leisure – 4.3% |
|
|
|
|
|
| |||
|
1,975 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
6.750% |
|
4/22/16 |
|
Ba3 |
|
1,915,750 |
|
|
1,070 |
|
Reynolds Group Holdings, Inc., US Term Loan |
|
6.500% |
|
2/09/18 |
|
BB |
|
1,038,995 |
|
|
2,052 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB+ |
|
1,998,132 |
|
|
1,050 |
|
Six Flags Theme Parks, Inc., Tranche B, Term Loan |
|
5.250% |
|
6/30/16 |
|
BB |
|
1,040,156 |
|
|
6,147 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
5,993,033 |
|
|
|
|
Household Products – 0.7% |
|
|
|
|
| ||||
|
993 |
|
Visant Corporation, Term Loan |
|
5.250% |
|
12/22/16 |
|
BB- |
|
913,100 |
|
|
|
|
Insurance – 0.5% |
|
|
|
|
|
|
|
|
|
|
619 |
|
Fidelity National Information Services, Inc., Term Loan B |
|
5.250% |
|
7/18/16 |
|
BBB- |
|
619,523 |
|
|
|
|
Internet Software & Services – 0.4% |
|
|
|
|
| ||||
|
633 |
|
Go Daddy Operating Co., LLC, Term Loan, First Lien, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
601,139 |
|
|
|
|
IT Services – 2.6% |
|
|
|
|
|
|
|
|
|
|
1,377 |
|
First Data Corporation, Term Loan B1 |
|
2.985% |
|
9/24/14 |
|
B+ |
|
1,209,581 |
|
|
372 |
|
First Data Corporation, Term Loan B2 |
|
2.985% |
|
9/24/14 |
|
B+ |
|
326,771 |
|
|
679 |
|
Frac Tech International LLC, Term Loan |
|
6.250% |
|
5/06/16 |
|
B+ |
|
668,418 |
|
|
746 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2 |
|
7.250% |
|
7/28/15 |
|
B+ |
|
674,689 |
|
|
687 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.977% |
|
2/28/14 |
|
BB |
|
671,945 |
|
|
3,861 |
|
Total IT Services |
|
|
|
|
|
|
|
3,551,404 |
|
|
|
|
Media – 5.7% |
|
|
|
|
|
|
|
|
|
|
620 |
|
Bresnan Broadband Holdings LLC, Term Loan B |
|
4.500% |
|
12/14/17 |
|
BB+ |
|
600,928 |
|
|
1,000 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
6/15/18 |
|
Ba2 |
|
946,250 |
|
|
750 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B2 |
|
698,438 |
|
|
1,295 |
|
Interactive Data Corporation, Term Loan B |
|
4.500% |
|
2/11/18 |
|
Ba3 |
|
1,249,224 |
|
|
294 |
|
Mediacom Broadband LLC, Tranche D, Term Loan |
|
5.500% |
|
3/31/17 |
|
BB- |
|
288,488 |
|
|
1,975 |
|
Mediacom Broadband LLC, Tranche F, Term Loan |
|
4.500% |
|
10/23/17 |
|
BB- |
|
1,908,344 |
|
|
266 |
|
Nielsen Finance LLC, Term Loan C |
|
3.476% |
|
5/02/16 |
|
Ba2 |
|
258,278 |
|
|
670 |
|
SuperMedia, Term Loan |
|
8.000% |
|
12/31/15 |
|
B- |
|
300,456 |
|
|
1,956 |
|
Univision Communications, Inc., Term Loan |
|
4.489% |
|
3/31/17 |
|
B+ |
|
1,666,641 |
|
|
8,826 |
|
Total Media |
|
|
|
|
|
|
|
7,917,047 |
|
|
|
|
Multiline Retail – 0.7% |
|
|
|
|
| ||||
|
998 |
|
Bass Pro Group LLC, Term Loan B |
|
5.254% |
|
6/13/17 |
|
BB- |
|
958,223 |
|
|
|
|
Pharmaceuticals – 0.6% |
|
|
|
|
| ||||
|
418 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
407,425 |
|
|
209 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
203,713 |
|
|
287 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
280,105 |
|
|
914 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
891,243 |
|
|
|
|
Real Estate Investment Trust – 0.5% |
|
|
|
|
| ||||
|
714 |
|
iStar Financial, Inc., Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
694,023 |
|
|
|
|
Real Estate Management & Development – 0.3% |
|
|
| ||||||
|
427 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
419,098 |
|
|
|
|
Road & Rail – 0.6% |
|
|
|
|
|
|
|
|
|
|
901 |
|
Swift Transportation Company, Inc., Term Loan |
|
6.000% |
|
12/21/16 |
|
BB- |
|
878,036 |
|
|
|
|
Semiconductors & Equipment – 0.7% |
|
|
|
|
| ||||
|
995 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/04/17 |
|
B2 |
|
936,543 |
|
|
|
|
Specialty Retail – 0.5% |
|
|
|
|
| ||||
|
741 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B |
|
6.250% |
|
2/23/17 |
|
B- |
|
713,776 |
|
|
$ 49,074 |
|
Total Variable Rate Senior Loan Interests (cost $48,445,040) |
|
|
|
45,834,235 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)/ |
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (4) |
|
Value |
|
|
|
|
Capital Preferred Securities – 0.9% (0.6% of Total Investments) |
|
|
|
|
| ||||
|
|
|
Commercial Banks – 0.5% |
|
|
|
|
| ||||
|
500 |
|
PNC Financial Services Inc. |
|
6.750% |
|
8/01/21 |
|
BBB |
|
$ 478,865 |
|
|
– |
(12) |
U.S. Bancorp. |
|
3.500% |
|
4/15/61 |
|
A3 |
|
286,020 |
|
|
|
|
Total Commercial Banks |
|
|
|
|
|
|
|
764,885 |
|
|
|
|
Diversified Financial Services – 0.4% |
|
|
|
|
| ||||
|
500 |
|
JP Morgan Chase & Company |
|
7.900% |
|
4/30/18 |
|
BBB+ |
|
515,005 |
|
|
|
|
Total Capital Preferred Securities (cost $1,305,564) |
|
|
|
1,279,890 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
|
|
|
|
Short-Term Investments – 7.4% (5.2% of Total Investments) |
|
|
|
|
| ||||
|
$ 9,273 |
|
Repurchase Agreement with Fixed Income Clearing Corporation dated 9/30/11, repurchase price $9,273,022 collateralized by $8,670,000 U.S. Treasury Notes, 2.625%, due 4/30/18, value $9,461,138 |
|
0.010% |
|
10/03/11 |
|
|
|
$ 9,273,014 |
|
|
983 |
|
Repurchase Agreement with Fixed Income Clearing Corporation dated 9/30/11, repurchase price $983,196 collateralized by $950,000 U.S. Treasury Notes, 2.125%, due 11/30/14, value $1,005,813 |
|
0.010% |
|
10/03/11 |
|
|
|
983,195 |
|
|
$ 10,256 |
|
Total Short-Term Investments (cost $10,256,209) |
|
|
|
|
|
10,256,209 |
| ||
|
|
|
Total Investments (cost $218,998,446) – 143.2% |
|
|
|
|
|
198,612,930 |
| ||
|
|
|
Borrowings – (40.3)% (7), (8) |
|
|
|
|
|
|
|
(55,900,000) |
|
|
|
|
Other Assets Less Liabilities – (2.9)% (9) |
|
|
|
|
|
|
|
(4,004,435) |
|
|
|
|
Net Assets Applicable to Common Shares – 100% |
|
|
|
|
|
$ 138,708,495 |
| ||
Investments in Derivatives at September 30, 2011:
Call Options Written outstanding:
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
|
|
Contracts |
|
Type |
|
Amount (11) |
|
Date |
|
Price |
|
Value |
|
|
|
|
Call Options Written – (0.1)% |
|
|
|
|
|
|
|
|
|
|
(400 |
) |
Barrick Gold Corporation |
|
$ (2,100,000 |
) |
1/21/12 |
|
$ 52.5 |
|
$ (97,400) |
|
|
(400) |
|
Total Call Options Written (premiums received $132,788) |
|
$ (2,100,000 |
) |
|
|
|
|
$ (97,400) |
|
Interest Rate Swaps outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
Floating Rate |
|
|
|
Payment |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Index |
|
Fixed Rate* |
|
Frequency |
|
Date |
|
(Depreciation) |
|
|
JP Morgan |
|
$13,975,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.412% |
|
Monthly |
|
3/29/14 |
|
$ (309,470) |
|
|
Morgan Stanley |
|
13,975,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
0.409 |
|
Monthly |
|
3/29/12 |
|
(5,588) |
|
|
Morgan Stanley |
|
13,975,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.323 |
|
Monthly |
|
3/29/16 |
|
(796,930) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (1,111,988) |
|
* Annualized.
Fair Value Measurements
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2011:
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
|
Investments |
|
|
|
|
|
|
|
|
|
| |||
|
|
Common Stocks* |
|
$ |
128,888,447 |
|
$ |
305,565 |
|
$ |
– |
|
129,194,012 |
| |
|
|
$25 Par (or similar) Preferred Securities |
|
7,553,153 |
|
4,495,431 |
|
$ |
– |
|
12,048,584 |
| |||
|
|
Variable Rate Senior Loan Interests |
|
– |
|
45,834,235 |
|
$ |
– |
|
45,834,235 |
| |||
|
|
Capital Preferred Securities |
|
286,020 |
|
993,870 |
|
$ |
– |
|
1,279,890 |
| |||
|
|
Short-Term Investments |
|
– |
|
10,256,209 |
|
$ |
– |
|
10,256,209 |
| |||
|
|
Derivatives: |
|
|
|
|
|
|
|
|
| ||||
|
|
Call Options Written |
|
(97,400 |
) |
– |
|
– |
|
(97,400 |
) | ||||
|
|
Interest Rate Swaps** |
|
– |
|
(1,111,988 |
) |
– |
|
(1,111,988 |
) | ||||
|
|
Total |
|
136,630,220 |
|
60,773,322 |
|
– |
|
197,403,542 |
| ||||
* Refer to the Fund's Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
** Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.
During the period ended September 30, 2011, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3.
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2011, the location of these instruments on the Statement of Assets and Liablilities, and the primary underlying risk exposure.
|
|
|
|
|
|
Location on the Statement of Assets and Liabilities |
| ||||||
|
|
Underlying |
|
Derivative |
|
Asset Derivatives |
|
Liability Derivatives |
| ||||
|
|
Risk Exposure |
|
Instrument |
|
Location |
|
Value |
|
Location |
|
Value |
|
|
|
Interest Rate |
|
Swaps |
|
Unrealized apprecation on interest rate swaps* |
|
$ – |
|
Unrealized depreciation on interest rate swaps* |
|
$ 1,111,988 |
|
|
|
Equity Price |
|
Options |
|
– |
|
– |
|
Call options written, at value |
|
97,400 |
|
|
|
Total |
|
|
|
|
|
$ – |
|
|
|
$ 1,209,388 |
|
*Value represents cumulative gross unrealized appreciation (depreciation) of swap contracts as report in the Fund's Portfolio of Investments.
Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
At September 30, 2011, the cost of investments (excluding investments in derivatives) was $222,188,727.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2011, were as follows:
|
|
|
|
|
|
|
|
Gross unrealized: |
|
|
|
|
|
Appreciation |
|
$ 8,858,000 |
|
|
|
Depreciation |
|
(32,433,797) |
|
|
|
Net unrealized appreciation (depreciation) of investments |
|
$ (23,575,797) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease. |
|
|
|
|
|
|
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
|
|
(2) |
Non-income producing; issuer has not declared a dividend within the past twelve months. |
|
|
(3) |
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. |
|
|
(4) |
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
|
|
(5) |
Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown. |
|
|
(6) |
Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. |
|
|
(7) |
The Fund may pledge up to 100% of it eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2011, investments with a value of $116,247,246 have been pledged as collateral for Borrowings. |
|
|
(8) |
Borrowings as a percentage of Total Investments is 28.1%. |
|
|
(9) |
Other Assets Less Liabilities include the Value and/or Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at September 30, 2011. |
|
|
(10) |
For fair value measurement disclosure purposes, Common Stock categorized as Level 2. |
|
|
(11) |
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
|
|
(12) |
Principal Amount (000) rounds to less than $1,000. |
|
|
N/R |
Not rated. |
|
|
WI/DD |
Purchased on a when-issued or delayed delivery basis. |
|
|
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 weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date. |
|
|
USD-LIBOR |
United States Dollar–London Inter-Bank Offered Rate. |
Item 2. Controls and Procedures.
|
a. |
|
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
|
|
|
|
|
b. |
|
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Tax-Advantaged Total Return Strategy Fund
|
By (Signature and Title) |
/s/ Kevin J. McCarthy |
|
|
|
Kevin J. McCarthy |
|
|
|
Vice President and Secretary |
|
Date November 29, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title) |
/s/ Gifford R. Zimmerman |
|
|
|
Gifford R. Zimmerman |
|
|
|
Chief Administrative Officer (principal executive officer) |
|
Date November 29, 2011
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date November 29, 2011