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. Droeger—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: 12/31
Date of reporting period: 09/30/05
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
| Nuveen Tax-Advantaged Total Return Strategy Fund
(JTA) Portfolio of Investments (Unaudited) September 30, 2005 |
| Shares | Description(1) | Value | |||||||||||||
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|||||||||||||||
| COMMON STOCKS - 98.0% (69.1% of Total Investments) | |||||||||||||||
| Aerospace & Defense - 5.7% | |||||||||||||||
| 140,000 | Lockheed Martin Corporation | $ | 8,545,600 | ||||||||||||
| 235,000 | Raytheon Company | 8,934,700 | |||||||||||||
|
|
|||||||||||||||
| 17,480,300 | |||||||||||||||
|
|
|||||||||||||||
| Commercial Banks - 4.6% | |||||||||||||||
| 150,000 | Wachovia Corporation | 7,138,500 | |||||||||||||
| 120,000 | Wells Fargo & Company | 7,028,400 | |||||||||||||
|
|
|||||||||||||||
| 14,166,900 | |||||||||||||||
|
|
|||||||||||||||
| Commercial Services & Supplies - 3.9% | |||||||||||||||
| 285,000 | Pitney Bowes Inc. | 11,895,900 | |||||||||||||
|
|
|||||||||||||||
| Containers & Packaging - 1.9% | |||||||||||||||
| 300,000 | Packaging Corp of America | 5,823,000 | |||||||||||||
|
|
|||||||||||||||
| Diversified Financial Services - 6.3% | |||||||||||||||
| 275,000 | Citigroup Inc. | 12,518,000 | |||||||||||||
| 205,000 | JPMorgan Chase & Co. | 6,955,650 | |||||||||||||
|
|
|||||||||||||||
| 19,473,650 | |||||||||||||||
|
|
|||||||||||||||
| Diversified Telecommunication Services - 12.1% | |||||||||||||||
| 343,000 | KT Corporation, Sponsored ADR | 7,717,500 | |||||||||||||
| 385,000 | SBC Communications Inc. | 9,228,450 | |||||||||||||
| 330,000 | Sprint Corporation | 7,847,400 | |||||||||||||
| 235,000 | Telecom Italia S.p.A., Sponsored ADR | 6,490,700 | |||||||||||||
| 190,000 | Verizon Communications Inc. | 6,211,100 | |||||||||||||
|
|
|||||||||||||||
| 37,495,150 | |||||||||||||||
|
|
|||||||||||||||
| Electric Utilities - 4.2% | |||||||||||||||
| 254,000 | EDP - Energias de Portugal, S.A.Sponsored ADR | 7,086,600 | |||||||||||||
| 323,000 | Korea Electric Power Corporation (KEPCO), Sponsored ADR | 5,720,330 | |||||||||||||
|
|
|||||||||||||||
| 12,806,930 | |||||||||||||||
|
|
|||||||||||||||
| Food & Staples Retailing - 3.1% | |||||||||||||||
| 181,500 | Albertson's, Inc. | 4,655,475 | |||||||||||||
| 240,625 | J. Sainsbury plc, Sponsored ADR | 4,752,344 | |||||||||||||
|
|
|||||||||||||||
| 9,407,819 | |||||||||||||||
|
|
|||||||||||||||
| Household Durables - 2.3% | |||||||||||||||
| 307,000 | Newell Rubbermaid Inc. | 6,953,550 | |||||||||||||
|
|
|||||||||||||||
| Household Products - 3.1% | |||||||||||||||
| 160,000 | Kimberly-Clark Corporation | 9,524,800 | |||||||||||||
|
|
|||||||||||||||
| Insurance - 5.4% | |||||||||||||||
| 330,000 | Aon Corporation | 10,586,400 | |||||||||||||
| 80,000 | Hartford Financial Services Group, Inc. | 6,173,600 | |||||||||||||
| 16,760,000 | |||||||||||||||
|
|
|||||||||||||||
| Metals & Mining - 7.9% | |||||||||||||||
| 404,000 | Alumina Limited, Sponsored ADR | 7,631,560 | |||||||||||||
| 90,000 | POSCO, ADR | 5,090,400 | |||||||||||||
| 71,000 | Rio Tinto plc, Sponsored ADR | 11,665,300 | |||||||||||||
|
|
|||||||||||||||
| 24,387,260 | |||||||||||||||
|
|
|||||||||||||||
| Multi-Utilities & Unregulated Power - 4.4% | |||||||||||||||
| 110,000 | Dominion Resources Inc. | 9,475,400 | |||||||||||||
| 180,000 | United Utilities plc, Sponsored ADR | 4,217,400 | |||||||||||||
|
|
|||||||||||||||
| 13,692,800 | |||||||||||||||
|
|
|||||||||||||||
| Oil, Gas, & Consumable Fuels - 10.5% | |||||||||||||||
| 80,000 | ChevronTexaco Corporation | 5,178,400 | |||||||||||||
| 113,400 | ConocoPhillips | 7,927,794 | |||||||||||||
| 53,000 | Eni S.p.A., Sponsored ADR | 7,849,300 | |||||||||||||
| 39,669 | Kerr-McGee Corporation | 3,852,257 | |||||||||||||
| 55,000 | Total SA, Sponsored ADR | 7,470,100 | |||||||||||||
|
|
|||||||||||||||
| 32,277,851 | |||||||||||||||
|
|
|||||||||||||||
| Paper & Forest Products - 2.1% | |||||||||||||||
| 220,000 | International Paper Company | 6,556,000 | |||||||||||||
|
|
|||||||||||||||
| Pharmaceuticals - 2.0% | |||||||||||||||
| 230,000 | Merck & Co. Inc. | 6,258,300 | |||||||||||||
|
|
|||||||||||||||
| Road & Rail - 2.1% | |||||||||||||||
| 90,000 | Union Pacific Corporation | 6,453,000 | |||||||||||||
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 6.5% | |||||||||||||||
| 212,000 | Fannie Mae | 9,501,840 | |||||||||||||
| 265,000 | IndyMac Bancorp, Inc. | 10,488,700 | |||||||||||||
|
|
|||||||||||||||
| 19,990,540 | |||||||||||||||
|
|
|||||||||||||||
| Tobacco - 9.9% | |||||||||||||||
| 235,000 | Altria Group, Inc. | 17,321,850 | |||||||||||||
| 330,000 | Loews Corp - Carolina Group | 13,077,900 | |||||||||||||
|
|
|||||||||||||||
| 30,399,750 | |||||||||||||||
|
|
|||||||||||||||
| Total Common Stocks (cost $263,728,132) | 301,803,500 | ||||||||||||||
|
|
|||||||||||||||
| Ratings** | |||||||||||||||
|
|
|||||||||||||||
| Shares | Description(1) | Coupon | Moody's | S&P | Value | ||||||||||
|
|
|||||||||||||||
| PREFERRED SECURITIES - 12.2% (8.6% of Total Investments) | |||||||||||||||
| Capital Markets - 1.3% | |||||||||||||||
| 15,500 | Bear Stearns Companies, Series E | 6.150 | % | A3 | BBB | 794,375 | |||||||||
| 25,000 | Goldman Sachs Group Inc. | 4.510 | % | A2 | A- | 633,750 | |||||||||
| 77,700 | Lehman Brothers Holdings Inc., Series F | 6.500 | % | A3 | A- | 2,042,733 | |||||||||
| 25,000 | Merrill Lynch & Company | 4.610 | % | A2 | A- | 628,750 | |||||||||
|
|
|||||||||||||||
| 4,099,608 | |||||||||||||||
|
|
|||||||||||||||
| Commercial Banks - 2.2% | |||||||||||||||
| 41,100 | Abbey National plc, Series C | 7.375 | % | A2 | A- | 1,071,066 | |||||||||
| 23,500 | Abbey National plc, Series B | 7.375 | % | A2 | A | 627,450 | |||||||||
| 40,000 | ABN AMRO Capital Trust Fund VII | 6.080 | % | A2 | A | 997,200 | |||||||||
| 25,000 | Banco Santander | 6.410 | % | A2 | BBB+ | 645,000 | |||||||||
| 40,000 | HSBC USA Inc. | 4.804 | % | A2 | A- | 1,015,200 | |||||||||
| 40,000 | Royal Bank of Scotland Group plc, Series M | 6.400 | % | A1 | A | 1,019,200 | |||||||||
| 40,000 | Royal Bank of Scotland Group plc, Series N | 6.350 | % | A1 | A | 1,016,400 | |||||||||
|
|
|||||||||||||||
| 6,391,516 | |||||||||||||||
|
|
|||||||||||||||
| Consumer Finance - 1.0% | |||||||||||||||
| 45,000 | HSBC Finance Corporation | 6.360 | % | A3 | BBB+ | 1,138,050 | |||||||||
| 36,100 | SLM Corporation, Series A | 6.970 | % | Baa1 | BBB+ | 1,956,620 | |||||||||
|
|
|||||||||||||||
| 3,094,670 | |||||||||||||||
|
|
|||||||||||||||
| Diversified Financial Services - 1.5% | |||||||||||||||
| 10,000 | CIT Group Inc., Series A | 6.350 | % | Baa1 | BBB+ | 253,700 | |||||||||
| 19,500 | Citigroup Inc., Series F | 6.365 | % | Aa3 | A | 1,004,250 | |||||||||
| 28,900 | Citigroup Inc., Series H | 6.231 | % | Aa3 | A | 1,510,025 | |||||||||
| 5,000 | ING Group NV | 7.050 | % | N/R | A | 129,500 | |||||||||
| 48,400 | ING Group NV | 7.200 | % | A2 | A | 1,263,724 | |||||||||
| 23,800 | ING Group NV | 6.200 | % | A2 | A | 599,046 | |||||||||
|
|
|||||||||||||||
| 4,760,245 | |||||||||||||||
|
|
|||||||||||||||
| Electric Utilities - 2.2% | |||||||||||||||
| 39,500 | Alabama Power Company, Series A | 5.300 | % | Baa1 | BBB+ | 958,665 | |||||||||
| 12,400 | Consolidated Edison Company of New York, Inc. | 5.000 | % | A3 | BBB+ | 1,122,200 | |||||||||
| 41,500 | Interstate Power and Light Company | 7.100 | % | Baa3 | BBB- | 1,130,875 | |||||||||
| 40,000 | Mississippi Power Company | 5.250 | % | A3 | BBB+ | 963,000 | |||||||||
| 40,000 | Savannah Electric & Power Company | 6.000 | % | Baa1 | BBB+ | 1,056,000 | |||||||||
| 5,000 | Southern California Edison Company | 6.125 | % | Baa3 | BBB- | 502,813 | |||||||||
| 9,000 | Southern California Edison Company, Series A | 5.349 | % | Baa3 | BBB- | 919,688 | |||||||||
|
|
|||||||||||||||
| 6,653,241 | |||||||||||||||
|
|
|||||||||||||||
| Insurance - 1.9% | |||||||||||||||
| 50,300 | Ace Ltd., Series C | 7.800 | % | Baa2 | BBB- | 1,325,405 | |||||||||
| 40,000 | Aegon NV | 6.375 | % | A3 | A- | 1,019,600 | |||||||||
| 40,000 | Genworth Financial Inc., Series A | 5.250 | % | Baa1 | BBB+ | 2,081,252 | |||||||||
| 30,000 | Prudential plc | 6.750 | % | Baa1 | A | 772,200 | |||||||||
| 30,000 | Prudential plc | 6.500 | % | Baa1 | A | 754,500 | |||||||||
|
|
|||||||||||||||
| 5,952,957 | |||||||||||||||
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 2.1% | |||||||||||||||
| 20,000 | Fannie Mae | 5.500 | % | Aa3 | AA- | 930,000 | |||||||||
| 24,300 | Fannie Mae | 5.125 | % | Aa3 | AA- | 1,029,105 | |||||||||
| 35,000 | Fannie Mae | 5.810 | % | Aa3 | AA- | 1,697,500 | |||||||||
| 20,000 | Federal Home Loan Mortgage Corporation | 5.700 | % | Aa3 | AA- | 963,000 | |||||||||
| 18,400 | Federal Home Loan Mortgage Corporation | 6.000 | % | Aa3 | AA- | 927,360 | |||||||||
| 21,900 | Federal Home Loan Mortgage Corporation | 5.000 | % | Aa3 | AA- | 930,750 | |||||||||
|
|
|||||||||||||||
| 6,477,715 | |||||||||||||||
|
|
|||||||||||||||
| Total Preferred Securities (cost $37,743,769) | 37,429,952 | ||||||||||||||
|
|
|||||||||||||||
| Ratings** | |||||||||||||||
| Principal | Stated |
|
|||||||||||||
| Amount (000) | Description(1) | Coupon | Maturity | Moody's | S&P | Value | |||||||||
|
|
|||||||||||||||
| CORPORATE BONDS - 3.4% (2.4% of Total Investments) | |||||||||||||||
| Hotels Restaurants & Leisure - 1.4% | |||||||||||||||
| $ | 2,000 | MGM Mirage | 6.750 | % | 8/01/07 | Ba1 | BB+ | 2,045,000 | |||||||
| 2,000 | Park Place Entertainment | 8.875 | % | 9/15/08 | Ba2 | BB- | 2,192,500 | ||||||||
|
|
|||||||||||||||
| 4,237,500 | |||||||||||||||
|
|
|||||||||||||||
| Household Durables - 1.3% | |||||||||||||||
| 2,000 | D.R. Horton, Inc. | 7.500 | % | 12/01/07 | Ba1 | BB+ | 2,103,084 | ||||||||
| 2,000 | Standard Pacific Corporation | 6.500 | % | 10/01/08 | Ba2 | BB | 1,992,500 | ||||||||
| 4,095,584 | |||||||||||||||
|
|
|||||||||||||||
| Paper & Forest Products - 0.7% | |||||||||||||||
| 2,000 | Georgia-Pacific Corp | 7.375 | % | 7/15/08 | Ba2 | BB+ | 2,105,000 | ||||||||
|
|
|||||||||||||||
| Total Corporate Bonds (cost $10,531,607) | 10,438,084 | ||||||||||||||
|
|
|||||||||||||||
| Ratings** | |||||||||||||||
| Principal Amount (000) | Weighted Average Coupon | Stated
Maturity* |
|
|
|
||||||||||
| Description(1) | Moody's | S&P | Value | ||||||||||||
|
|
|||||||||||||||
| VARIABLE RATE SENIOR LOAN INTERESTS(2) - 21.2% (15.0% of Total Investments) | |||||||||||||||
| Aerospace & Defense - 1.8% | |||||||||||||||
| 1,644 | Hexcel, Term Loan B | 5.313 | % | 3/01/12 | B2 | B+ | 1,663,629 | ||||||||
| 1,900 | K & F Industries, Inc., Term Loan B | 6.284 | % | 11/18/12 | B2 | B+ | 1,914,250 | ||||||||
| 1,625 | Vought Aircraft Industries, Inc., Term Loan | 6.350 | % | 12/22/11 | Ba3 | B+ | 1,643,701 | ||||||||
| 364 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit | 5.840 | % | 12/22/10 | Ba3 | B+ | 368,239 | ||||||||
|
|
|||||||||||||||
| 5,589,819 | |||||||||||||||
|
|
|||||||||||||||
| Auto Components - 0.6% | |||||||||||||||
| 2,000 | Federal-Mogul Corporation, Term Loan A (a) | 6.090 | % | 2/24/04 | N/R | N/R | 1,880,000 | ||||||||
|
|
|||||||||||||||
| Building Products - 0.6% | |||||||||||||||
| 1,774 | PP Holding Corporation, Term Loan | 6.100 | % | 11/12/11 | B1 | B | 1,779,992 | ||||||||
|
|
|||||||||||||||
| Chemicals - 0.7% | |||||||||||||||
| 1,990 | Rockwood Specialties Group, Inc., Tranche D | 5.930 | % | 7/30/12 | B1 | B+ | 2,024,203 | ||||||||
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.8% | |||||||||||||||
| 703 | Allied Waste North America, Inc., Letter of Credit | 3.100 | % | 3/21/12 | B1 | BB | 708,851 | ||||||||
| 1,841 | Allied Waste North America, Inc., Term Loan B | 5.851 | % | 3/12/21 | B1 | BB | 1,856,936 | ||||||||
|
|
|||||||||||||||
| 2,565,787 | |||||||||||||||
|
|
|||||||||||||||
| Containers & Packaging - 0.9% | |||||||||||||||
| 788 | Owens-Illinois Group, Inc., Term Loan B | 5.570 | % | 4/01/08 | B1 | N/R | 797,791 | ||||||||
| 175 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment | 2.100 | % | 11/01/11 | Ba3 | BB- | 176,607 | ||||||||
| 1,389 | Smurfit-Stone Container Corporation, Term Loan B | 5.697 | % | 11/01/11 | Ba3 | BB- | 1,404,349 | ||||||||
| 427 | Smurfit-Stone Container Corporation, Term Loan C | 5.834 | % | 11/01/11 | Ba3 | BB- | 432,107 | ||||||||
|
|
|||||||||||||||
| 2,810,854 | |||||||||||||||
|
|
|||||||||||||||
| Diversified Telecommunication Services - 0.7% | |||||||||||||||
| 2,000 | Madison River Term Loan | 6.220 | % | 9/29/08 | B1 | B+ | 2,033,750 | ||||||||
|
|
|||||||||||||||
| Electrical Equipment - 0.6% | |||||||||||||||
| 1,630 | Sensus Metering Systems Inc., Term Loan B-1 | 5.954 | % | 7/29/12 | B2 | B+ | 1,649,796 | ||||||||
| 254 | Sensus Metering Systems Inc., Term Loan B-2 | 5.969 | % | 12/17/10 | B2 | B+ | 257,368 | ||||||||
|
|
|||||||||||||||
| 1,907,164 | |||||||||||||||
|
|
|||||||||||||||
| Health Care Providers & Services - 1.6% | |||||||||||||||
| 972 | Alderwoods Group, Inc., Term Loan B-2 | 5.748 | % | 12/17/10 | B1 | BB- | 986,658 | ||||||||
| 2,000 | Davita Inc., Term Loan B (b) | TBD | TBD | B1 | BB- | 2,032,084 | |||||||||
| 1,975 | IASIS Healthcare LLC, Term Loan B | 5.770 | % | 6/22/11 | B1 | B+ | 2,006,036 | ||||||||
|
|
|||||||||||||||
| 5,024,778 | |||||||||||||||
|
|
|||||||||||||||
| Hotels Restaurants & Leisure - 3.0% | |||||||||||||||
| 2,000 | 24 Hour Fitness Worldwide, Inc., Term Loan B | 6.780 | % | 6/06/05 | B2 | B | 2,033,750 | ||||||||
| 1,970 | Jack in the Box, Inc., Term Loan | 5.446 | % | 1/09/10 | Ba2 | BB | 1,990,931 | ||||||||
| 2,000 | Penn National Gaming, Inc., Term Loan B (b) | TBD | TBD | Ba3 | BB- | 2,027,656 | |||||||||
| 1,400 | Pinnacle Entertainment, Term Loan B (b) | TBD | TBD | B1 | BB- | 1,412,688 | |||||||||
| 342 | Venetian Casino Resort, LLC, Delayed Draw, Term Loan (c) | 5.770 | % | 6/15/11 | B1 | BB- | 345,272 | ||||||||
| 1,658 | Venetian Casino Resort, LLC, Term Loan | 5.770 | % | 6/15/11 | B1 | BB- | 1,674,572 | ||||||||
| 9,484,869 | |||||||||||||||
| Household Durables - 0.5% | |||||||||||||||
| 1,470 | Sealy Mattress Company, Term Loan D | 5.572 | % | 4/06/12 | B1 | B+ | 1,487,800 | ||||||||
| Household Products - 1.0% | |||||||||||||||
| 2,955 | Solo Cup Company, Term Loan | 5.938 | % | 2/27/11 | B1 | B+ | 2,967,189 | ||||||||
| Insurance - 0.4% | |||||||||||||||
| 1,100 | Conseco, Inc., Term Loan | 5.768 | % | 6/22/10 | B2 | BB- | 1,114,094 | ||||||||
| IT Services - 1.2% | |||||||||||||||
| 1,765 | Fidelity National Information Services, Term Loan B | 5.478 | % | 3/09/13 | Ba3 | BB | 1,773,510 | ||||||||
| 2,000 | SunGard Data System, Term Loan B | 6.280 | % | 1/25/13 | B1 | B+ | 2,025,228 | ||||||||
| 3,798,738 | |||||||||||||||
| Machinery - 0.4% | |||||||||||||||
| 1,099 | Dresser-Rand Group Inc., Term Loan | 6.047 | % | 10/10/10 | B1 | B+ | 1,118,453 | ||||||||
| Media - 3.2% | |||||||||||||||
| 1,973 | Charter Communications Operating, LLC, Term Loan B | 6.930 | % | 4/07/11 | B2 | B | 1,984,218 | ||||||||
| 1,985 | Emmis Operating Company, Term Loan | 5.518 | % | 11/10/11 | Ba2 | B+ | 2,001,624 | ||||||||
| 2,000 | Metro-Goldwyn Mayer Studios, Inc., Term Loan B | 6.270 | % | 4/12/12 | N/R | N/R | 2,026,250 | ||||||||
| 1,910 | Regal Cinemas Corporation, Term Loan | 6.020 | % | 11/10/10 | Ba3 | BB- | 1,932,240 | ||||||||
| 2,213 | WMG Acquisition Corp., Term Loan | 5.700 | % | 2/27/11 | B1 | B+ | 2,240,693 | ||||||||
| 10,185,025 | |||||||||||||||
| Metals & Mining - 0.9% | |||||||||||||||
| 2,723 | Amsted Industries Incorporated, Term Loan B | 6.198 | % | 10/15/10 | B1 | BB- | 2,773,060 | ||||||||
| Real Estate - 1.6% | |||||||||||||||
| 784 | Crescent Real Estate Funding XII, L.P., Term Loan | 5.943 | % | 3/20/06 | N/R | N/R | 788,320 | ||||||||
| 1,987 | General Growth Properties, Inc., Term Loan B | 5.850 | % | 11/12/08 | Ba2 | BB+ | 2,014,339 | ||||||||
| 1,960 | LNR Property Corporation, Term Loan | 6.711 | % | 2/03/08 | B2 | B+ | 1,985,664 | ||||||||
| 4,788,323 | |||||||||||||||
| Trading Companies & Distributors - 0.7% | |||||||||||||||
| 2,000 | United Rentals, Term Loan B (b) | TBD | TBD | BB | B2 | 2,019,750 | |||||||||
| Total Variable Rate Senior Loan Interests (cost $64,757,630) | 65,353,648 | ||||||||||||||
|
| |||||||||||||||
| REPURCHASE AGREEMENTS - 7.0% (4.9% of Total Investments) | |||||||||||||||
| $ | 21,537 | State Street
Bank, 3.150%, dated 9/30/05, due 10/03/05, repurchase price $21,542,436,
collateralized by $21,970,000, U.S. Treasury Bonds, 3.875%, due 5/15/10, value $21,970,000 |
21,536,783 | ||||||||||||
|
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| Total Repurchase Agreements (cost $21,536,783) | 21,536,783 | ||||||||||||||
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| |||||||||||||||
| Total Investments (cost $398,297,921) - 141.8% | 436,561,967 | ||||||||||||||
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| FundNotes - (25.3)% | (78,000,000 | ) | |||||||||||||
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| Other Assets Less Liabilities - (1.9)% | (5,676,151 | ) | |||||||||||||
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| |||||||||||||||
| FundPreferred Shares, at Liquidation Value - (14.6)% | (45,000,000 | ) | |||||||||||||
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| Net Assets Applicable to Common Shares - 100% | $ | 307,885,816 | |||||||||||||
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| (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 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. | |||
| 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. | |||
| * | 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. | |||
| ** | Ratings below Baa by Moody’s Investor Service, Inc. or BBB by Standard & Poor’s Group are considered to | ||
| be below investment grade. | |||
| (a) | At or subsequent to September 30, 2005, this issue was under the protection of Federal Bankruptcy Court. | ||
| (b) | Purchased on a when-issued or delayed delivery basis. | ||
| ADR | American Depository Receipt | ||
| TBD | Senior Loan purchased on a when-issued basis in the primary market. 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. | |||
| N/R | Investment is 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 timing differences in recognizing market discount, amortization on premium and timing differences in recognizing certain gains and losses on investment transactions.
At September 30, 2005, the cost of investments was $398,605,414.
Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2005, were as follows:
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|
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|
|
|
| Gross unrealized: | |||||
| Appreciation | $ | 51,453,411 | |||
| Depreciation | (13,496,858 | ) | |||
|
| |||||
| Net unrealized appreciation of investments | $ | 37,956,553 | |||
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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 1940 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
Jessica R. Droeger
Vice President and Secretary
Date 11/29/05
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 11/29/05
By (Signature and Title)* /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller (principal financial
officer)
Date 11/29/05
* Print the name and title of each signing officer under his or her signature.