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: |
3/31/2015 |
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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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March 31, 2015 |
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Shares |
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Description (1) |
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Value |
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LONG-TERM INVESTMENTS - 140.9% (96.5% of Total Investments) |
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COMMON STOCKS - 100.6% (68.9% of Total Investments) |
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Airlines - 0.8% |
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15,900 |
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Copa Holdings S.A. |
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$ 1,605,423 |
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Automobiles - 3.7% |
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23,700 |
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Daimler AG, Sponsored ADR, (2) |
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2,215,950 |
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176,720 |
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Ford Motor Company |
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2,852,261 |
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60,800 |
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General Motors Company |
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2,280,000 |
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Total Automobiles |
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7,348,211 |
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Banks - 8.4% |
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148,000 |
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Barclays PLC, Sponsored ADR |
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2,156,360 |
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77,000 |
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Citigroup Inc. |
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3,967,040 |
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211,800 |
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ING Groep N.V., Sponsored ADR |
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3,094,398 |
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63,200 |
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JPMorgan Chase & Co. |
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3,828,656 |
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68,000 |
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Wells Fargo & Company |
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3,699,200 |
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Total Banks |
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16,745,654 |
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Capital Markets - 5.3% |
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194,000 |
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Ares Capital Corporation |
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3,330,980 |
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121,400 |
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Bank New York Mellon |
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4,885,136 |
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124,700 |
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UBS Group AG, (2) |
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2,338,262 |
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Total Capital Markets |
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10,554,378 |
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Chemicals - 2.3% |
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45,100 |
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Agrium Inc. |
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4,702,577 |
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Communications Equipment - 3.8% |
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123,500 |
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Cisco Systems, Inc. |
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3,399,338 |
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339,000 |
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Ericsson, Sponsored ADR (3) |
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4,254,450 |
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Total Communications Equipment |
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7,653,788 |
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Containers & Packaging - 2.0% |
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77,000 |
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Avery Dennison Corporation |
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4,074,070 |
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Diversified Financial Services - 2.5% |
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613,000 |
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Deutsche Boerse AG, ADR, (2) |
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4,968,365 |
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Diversified Telecommunication Services - 5.3% |
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271,000 |
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Bezeq Israeli Telecommunication Corporation Limited, ADR, (2) |
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2,528,240 |
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194,500 |
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Nippon Telegraph and Telephone Corporation, ADR |
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5,994,490 |
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304,600 |
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TDC A/S, (2) |
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2,182,447 |
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Total Diversified Telecommunication Services |
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10,705,177 |
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Electric Utilities - 1.1% |
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589,000 |
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EDP - Energias de Portugal, S.A., (2) |
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2,205,890 |
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Food & Staples Retailing - 3.1% |
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60,800 |
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CVS Caremark Corporation, (3) |
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6,275,168 |
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Food Products - 1.4% |
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362,600 |
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Orkla ASA, Sponsored ADR |
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2,730,378 |
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Independent Power & Renewable Electricity Producers - 0.6% |
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34,000 |
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Abengoa Yield PLC |
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1,148,520 |
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Industrial Conglomerates - 2.8% |
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86,600 |
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General Electric Company |
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2,148,546 |
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120,010 |
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Philips Electronics |
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3,401,083 |
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Total Industrial Conglomerates |
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5,549,629 |
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Insurance - 10.5% |
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133,500 |
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Allinaz S.E., Sponsored ADR, (2) |
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2,323,568 |
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59,100 |
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American International Group |
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3,238,089 |
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168,700 |
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Aviva PLC, Sponsored ADR |
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2,727,879 |
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62,000 |
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Swiss Re AG, Sponsored ADR, (2) |
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6,006,591 |
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198,400 |
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Unum Group |
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6,692,032 |
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Total Insurance |
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20,988,159 |
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Media - 9.4% |
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184,000 |
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Interpublic Group of Companies, Inc. |
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4,070,080 |
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2,099 |
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Metro-Goldwyn-Mayer, (2), (4) |
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154,801 |
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44,620 |
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National CineMedia, Inc. |
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673,762 |
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200,000 |
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ProSiebenSat.1 Media AG, ADR, (2) |
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2,440,000 |
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335,000 |
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RTL Group SA, ADR, (2) |
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3,222,633 |
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59,400 |
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Time Warner Inc. |
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5,015,736 |
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3,958 |
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Tribune Company |
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240,686 |
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3,185 |
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Tribune Company, (4), (5) |
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– |
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989 |
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Tribune Publishing Company |
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19,187 |
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45,000 |
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Viacom Inc., Class B |
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3,073,500 |
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Total Media |
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18,910,385 |
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Oil, Gas & Consumable Fuels - 4.6% |
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28,300 |
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Phillips 66 |
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2,224,380 |
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52,800 |
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Royal Dutch Shell PLC, Class A, Sponsored ADR (3) |
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3,149,520 |
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66,000 |
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Suncor Energy, Inc. |
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1,930,500 |
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40,000 |
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Total SA, Sponsored ADR |
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1,986,400 |
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Total Oil, Gas & Consumable Fuels |
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9,290,800 |
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Pharmaceuticals - 19.2% |
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73,400 |
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AbbVie Inc. |
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4,296,836 |
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35,800 |
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AstraZeneca PLC, Sponsored ADR |
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2,449,794 |
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143,500 |
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GlaxoSmithKline PLC, Sponsored ADR |
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6,622,525 |
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51,000 |
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Merck & Company Inc. |
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2,931,480 |
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157,500 |
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Pfizer Inc., (3) |
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5,479,425 |
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100,000 |
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Roche Holdings AG, Sponsored ADR, (2) |
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3,438,000 |
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140,200 |
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Sanofi, ADR, (3) |
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6,931,488 |
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102,100 |
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Teva Pharmaceutical Industries Limited, Sponsored ADR, (3) |
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6,360,830 |
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Total Pharmaceuticals |
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38,510,378 |
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Real Estate Investment Trust - 3.0% |
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119,500 |
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Paramount Group Inc. |
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2,306,350 |
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115,000 |
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PennyMac Mortgage Investment Trust |
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2,448,350 |
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70,000 |
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Redwood Trust Inc. |
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1,250,900 |
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Total Real Estate Investment Trust |
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6,005,600 |
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Semiconductors & Semiconductor Equipment - 2.5% |
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45,500 |
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Analog Devices, Inc. |
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2,866,500 |
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46,000 |
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Microchip Technology Incorporated, (6) |
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2,249,400 |
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Total Semiconductors & Semiconductor Equipment |
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5,115,900 |
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Software - 5.2% |
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97,000 |
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Microsoft Corporation, (6) |
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3,943,535 |
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151,500 |
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Oracle Corporation |
|
6,537,225 |
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Total Software |
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10,480,760 |
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Technology Hardware, Storage & Peripherals - 1.0% |
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38,000 |
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Seagate Technology |
|
1,977,140 |
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Tobacco - 2.1% |
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47,200 |
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Imperial Tobacco Group, Sponsored ADR, (2) |
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4,151,711 |
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Total Common Stocks (cost $163,788,378) |
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201,698,061 |
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Shares |
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Description (1) |
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Coupon |
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Ratings (7) |
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Value |
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CONVERTIBLE PREFERRED SECURITIES - 0.7% (0.4% of Total Investments) |
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Diversified Telecommunication Services - 0.7% |
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37,500 |
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IntelSat SA |
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5.750% |
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N/R |
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$ 1,305,000 |
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Total Convertible Preferred Securities (cost $2,018,655) |
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1,305,000 |
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Shares |
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Description (1) |
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Coupon |
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Ratings (7) |
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Value |
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$25 PAR (OR SIMILAR) RETAIL PREFERRED - 9.5% (6.5% of Total Investments) |
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Banks - 3.4% |
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13,800 |
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Boston Private Financial Holdings Inc. |
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6.950% |
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N/R |
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$ 357,420 |
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81,800 |
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Citigroup Inc. |
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6.875% |
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BB+ |
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2,229,869 |
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25,445 |
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City National Corporation |
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6.750% |
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Baa3 |
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741,213 |
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|
6,525 |
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Cobank Agricultural Credit Bank, (2) |
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6.250% |
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BBB+ |
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667,385 |
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|
3,250 |
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Cobank Agricultural Credit Bank, (2) |
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6.125% |
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BBB+ |
|
299,609 |
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|
17,300 |
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Fifth Third Bancorp. |
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6.625% |
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BB+ |
|
488,725 |
| |||||||||||
|
10,000 |
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First Republic Bank of San Francisco |
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7.000% |
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BBB- |
|
278,200 |
| |||||||||||
|
7,000 |
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MB Financial Inc. |
|
8.000% |
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N/R |
|
193,480 |
| |||||||||||
|
2,873 |
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PNC Financial Services |
|
6.125% |
|
|
|
BBB- |
|
82,742 |
| |||||||||||
|
13,840 |
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RBS Capital Trust |
|
6.080% |
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|
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BB- |
|
342,817 |
| |||||||||||
|
18,625 |
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Regions Financial Corporation |
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6.375% |
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BB |
|
482,760 |
| |||||||||||
|
21 |
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TCF Financial Corporation |
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7.500% |
|
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BB- |
|
566 |
| |||||||||||
|
20,400 |
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U.S. Bancorp. |
|
6.500% |
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Baa1 |
|
606,084 |
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Total Banks |
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|
|
|
|
|
|
6,770,870 |
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Capital Markets - 0.6% |
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|
|
|
|
|
|
|
| |||||||||||
|
19,750 |
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Ladenburg Thalmann Financial Services Inc. |
|
8.000% |
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N/R |
|
474,000 |
| |||||||||||
|
25,675 |
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Morgan Stanley |
|
7.125% |
|
|
|
BB |
|
730,967 |
| |||||||||||
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Total Capital Markets |
|
|
|
|
|
|
|
1,204,967 |
| |||||||||||
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Consumer Finance - 0.6% |
|
|
|
|
|
|
| |||||||||||||
|
9,200 |
|
Capital One Financial Corporation |
|
6.700% |
|
|
|
Ba1 |
|
245,272 |
| |||||||||||
|
24,160 |
|
HSBC Finance Corporation |
|
6.360% |
|
|
|
BBB- |
|
614,872 |
| |||||||||||
|
8,430 |
|
SLM Corporation, Series A |
|
6.970% |
|
|
|
B3 |
|
416,526 |
| |||||||||||
|
|
|
Total Consumer Finance |
|
|
|
|
|
|
|
1,276,670 |
| |||||||||||
|
|
|
Diversified Financial Services - 0.1% |
|
|
|
|
|
|
| |||||||||||||
|
9,500 |
|
KKR Financial Holdings LLC |
|
7.375% |
|
|
|
BBB |
|
255,075 |
| |||||||||||
|
|
|
Electric Utilities - 0.8% |
|
|
|
|
|
|
|
|
| |||||||||||
|
14,822 |
|
Alabama Power Company, (2) |
|
6.500% |
|
|
|
A3 |
|
413,163 |
| |||||||||||
|
9,900 |
|
Alabama Power Company, (2) |
|
6.450% |
|
|
|
A3 |
|
264,206 |
| |||||||||||
|
3,223 |
|
Georgia Power Company, (2) |
|
6.500% |
|
|
|
A- |
|
342,746 |
| |||||||||||
|
5,000 |
|
Gulf Power Company, (2) |
|
6.450% |
|
|
|
BBB+ |
|
503,532 |
| |||||||||||
|
|
|
Total Electric Utilities |
|
|
|
|
|
|
|
1,523,647 |
| |||||||||||
|
|
|
Food Products - 0.4% |
|
|
|
|
|
|
|
|
| |||||||||||
|
17,700 |
|
CHS Inc. |
|
7.100% |
|
|
|
N/R |
|
478,077 |
| |||||||||||
|
13,805 |
|
CHS Inc. |
|
6.750% |
|
|
|
N/R |
|
359,206 |
| |||||||||||
|
|
|
Total Food Products |
|
|
|
|
|
|
|
837,283 |
| |||||||||||
|
|
|
Insurance - 2.6% |
|
|
|
|
|
|
|
|
| |||||||||||
|
21,289 |
|
Allstate Corporation |
|
6.750% |
|
|
|
BBB- |
|
589,705 |
| |||||||||||
|
30,050 |
|
Arch Capital Group Limited |
|
6.750% |
|
|
|
BBB |
|
820,966 |
| |||||||||||
|
10,400 |
|
Aspen Insurance Holdings Limited |
|
7.401% |
|
|
|
BBB- |
|
271,960 |
| |||||||||||
|
25,410 |
|
Aspen Insurance Holdings Limited |
|
7.250% |
|
|
|
BBB- |
|
673,365 |
| |||||||||||
|
25,798 |
|
Axis Capital Holdings Limited |
|
6.875% |
|
|
|
BBB |
|
694,998 |
| |||||||||||
|
19,080 |
|
Endurance Specialty Holdings Limited |
|
7.750% |
|
|
|
BBB- |
|
500,659 |
| |||||||||||
|
15,000 |
|
Endurance Specialty Holdings Limited |
|
7.500% |
|
|
|
BBB- |
|
401,400 |
| |||||||||||
|
17,801 |
|
Maiden Holdings Limited |
|
8.250% |
|
|
|
BB |
|
469,234 |
| |||||||||||
|
11,200 |
|
National General Holding Company |
|
7.500% |
|
|
|
N/R |
|
281,680 |
| |||||||||||
|
17,245 |
|
Principal Financial Group |
|
6.518% |
|
|
|
BBB |
|
436,126 |
| |||||||||||
|
|
|
Total Insurance |
|
|
|
|
|
|
|
5,140,093 |
| |||||||||||
|
|
|
Marine - 0.3% |
|
|
|
|
|
|
|
|
| |||||||||||
|
10,200 |
|
Costamare Inc. |
|
8.500% |
|
|
|
N/R |
|
270,300 |
| |||||||||||
|
7,225 |
|
Navios Maritime Holdings Inc. |
|
8.625% |
|
|
|
N/R |
|
152,520 |
| |||||||||||
|
8,900 |
|
Seaspan Corporation |
|
8.250% |
|
|
|
N/R |
|
234,426 |
| |||||||||||
|
|
|
Total Marine |
|
|
|
|
|
|
|
657,246 |
| |||||||||||
|
|
|
Oil, Gas & Consumable Fuels - 0.2% |
|
|
|
|
|
|
| |||||||||||||
|
10,237 |
|
Teekay Offshore Partners L.P. |
|
7.250% |
|
|
|
N/R |
|
236,475 |
| |||||||||||
|
7,565 |
|
Tsakos Energy Navigation Limited |
|
8.875% |
|
|
|
N/R |
|
198,960 |
| |||||||||||
|
|
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
435,435 |
| |||||||||||
|
|
|
Thrifts & Mortgage Finance - 0.5% |
|
|
|
|
|
|
| |||||||||||||
|
7,331 |
|
Astoria Financial Corporation |
|
6.500% |
|
|
|
Ba2 |
|
185,768 |
| |||||||||||
|
30,170 |
|
Federal Agricultural Mortgage Corporation |
|
6.875% |
|
|
|
N/R |
|
801,014 |
| |||||||||||
|
|
|
Total Thrifts & Mortgage Finance |
|
|
|
|
|
|
|
986,782 |
| |||||||||||
|
|
|
Total $25 Par (or similar) Retail Preferred (cost $17,895,869) |
|
|
|
|
|
19,088,068 |
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Amount (000) |
|
Description (1) |
|
Coupon (9) |
|
Maturity (8) |
|
Ratings (7) |
|
Value |
| |||||||||||
|
|
|
VARIABLE RATE SENIOR LOAN INTERESTS - 24.9% (17.1% of Total Investments) (9) |
|
|
| |||||||||||||||||
|
|
|
Aerospace & Defense - 0.5% |
|
|
|
|
|
|
| |||||||||||||
|
$ 648 |
|
B/E Aerospace, Inc., Term Loan B, First Lien |
|
4.000% |
|
12/16/21 |
|
BB+ |
|
$ 654,451 |
| |||||||||||
|
403 |
|
Hamilton Sundstrand, Term Loan, First Lien |
|
4.000% |
|
12/13/19 |
|
B+ |
|
383,142 |
| |||||||||||
|
1,051 |
|
Total Aerospace & Defense |
|
|
|
|
|
|
|
1,037,593 |
| |||||||||||
|
|
|
Airlines - 0.2% |
|
|
|
|
|
|
|
|
| |||||||||||
|
489 |
|
Delta Air Lines, Inc., Term Loan B1 |
|
3.250% |
|
10/18/18 |
|
BBB- |
|
489,273 |
| |||||||||||
|
|
|
Automobiles - 1.0% |
|
|
|
|
|
|
|
|
| |||||||||||
|
987 |
|
Chrysler Group LLC, Term Loan B |
|
3.500% |
|
5/24/17 |
|
BB+ |
|
987,794 |
| |||||||||||
|
1,114 |
|
Formula One Group, Term Loan, First Lien |
|
4.750% |
|
7/30/21 |
|
B |
|
1,108,300 |
| |||||||||||
|
2,101 |
|
Total Automobiles |
|
|
|
|
|
|
|
2,096,094 |
| |||||||||||
|
|
|
Building Products - 0.2% |
|
|
|
|
|
|
| |||||||||||||
|
398 |
|
Gates Global LLC, Term Loan |
|
4.250% |
|
7/03/21 |
|
B+ |
|
396,974 |
| |||||||||||
|
|
|
Capital Markets - 0.2% |
|
|
|
|
|
|
|
|
| |||||||||||
|
492 |
|
Guggenheim Partners LLC, Initial Term Loan |
|
4.250% |
|
7/22/20 |
|
N/R |
|
494,962 |
| |||||||||||
|
|
|
Chemicals - 1.2% |
|
|
|
|
|
|
|
|
| |||||||||||
|
458 |
|
Mineral Technologies, Inc., Term Loan B, First Lien |
|
4.000% |
|
5/07/21 |
|
BB |
|
460,808 |
| |||||||||||
|
958 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
957,763 |
| |||||||||||
|
939 |
|
US Coatings Acquisition, Term Loan B |
|
3.750% |
|
2/01/20 |
|
B+ |
|
934,754 |
| |||||||||||
|
2,355 |
|
Total Chemicals |
|
|
|
|
|
|
|
2,353,325 |
| |||||||||||
|
|
|
Commercial Services & Supplies - 0.5% |
|
|
|
|
| |||||||||||||||
|
993 |
|
Millennium Laboratories, Inc., Tranche B, Term Loan |
|
5.250% |
|
4/16/21 |
|
B+ |
|
1,001,598 |
| |||||||||||
|
|
|
Containers & Packaging - 0.8% |
|
|
|
|
|
|
| |||||||||||||
|
1,527 |
|
Reynolds Group Holdings, Inc., Incremental US Term Loan, First Lien |
|
4.500% |
|
12/01/18 |
|
B+ |
|
1,534,792 |
| |||||||||||
|
|
|
Diversified Consumer Services - 0.5% |
|
|
|
|
| |||||||||||||||
|
638 |
|
Hilton Hotels Corporation, Term Loan B2 |
|
3.500% |
|
10/25/20 |
|
BBB- |
|
639,696 |
| |||||||||||
|
456 |
|
ServiceMaster Company, Term Loan |
|
4.250% |
|
7/01/21 |
|
B+ |
|
457,759 |
| |||||||||||
|
1,094 |
|
Total Diversified Consumer Services |
|
|
|
|
|
|
|
1,097,455 |
| |||||||||||
|
|
|
Diversified Telecommunication Services - 0.6% |
|
|
|
|
| |||||||||||||||
|
179 |
|
Intelsat Jackson Holdings, S.A., Tranche B2, Term Loan |
|
3.750% |
|
6/30/19 |
|
BB- |
|
178,703 |
| |||||||||||
|
500 |
|
Level 3 Financing, Inc., Term Loan B, First Lien |
|
4.500% |
|
1/31/22 |
|
BB |
|
503,259 |
| |||||||||||
|
429 |
|
WideOpenWest Finance LLC, Term Loan B |
|
4.750% |
|
4/01/19 |
|
Ba3 |
|
430,270 |
| |||||||||||
|
1,108 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
1,112,232 |
| |||||||||||
|
|
|
Energy Equipment & Services - 0.1% |
|
|
|
|
|
|
| |||||||||||||
|
152 |
|
Drill Rigs Holdings, Inc., Tranche B1, Term Loan |
|
6.000% |
|
3/31/21 |
|
B+ |
|
116,271 |
| |||||||||||
|
|
|
Food & Staples Retailing - 0.5% |
|
|
|
|
|
|
| |||||||||||||
|
1,000 |
|
Albertson’s LLC, Term Loan B4 |
|
5.500% |
|
8/25/21 |
|
BB- |
|
1,009,444 |
| |||||||||||
|
|
|
Food Products - 1.4% |
|
|
|
|
|
|
|
|
| |||||||||||
|
917 |
|
H.J Heinz Company, Term Loan B2 |
|
3.250% |
|
6/05/20 |
|
BB+ |
|
918,951 |
| |||||||||||
|
1,000 |
|
Jacobs Douwe Egberts, Term Loan B |
|
3.500% |
|
7/23/21 |
|
BB |
|
998,125 |
| |||||||||||
|
956 |
|
US Foods, Inc., Incremental Term Loan |
|
4.500% |
|
3/31/19 |
|
B2 |
|
957,643 |
| |||||||||||
|
2,873 |
|
Total Food Products |
|
|
|
|
|
|
|
2,874,719 |
| |||||||||||
|
|
|
Health Care Equipment & Supplies - 0.7% |
|
|
|
|
| |||||||||||||||
|
1,452 |
|
Kinetic Concepts, Inc., Incremental Term Loan E1 |
|
4.500% |
|
5/04/18 |
|
BB- |
|
1,457,465 |
| |||||||||||
|
|
|
Health Care Providers & Services - 1.7% |
|
|
|
|
| |||||||||||||||
|
743 |
|
Community Health Systems, Inc., Term Loan D |
|
4.250% |
|
1/27/21 |
|
BB |
|
747,621 |
| |||||||||||
|
825 |
|
DaVita HealthCare Partners, Inc., Tranche B, Term Loan |
|
3.500% |
|
6/24/21 |
|
Ba1 |
|
828,095 |
| |||||||||||
|
803 |
|
Drumm Investors LLC, Term Loan |
|
6.750% |
|
5/04/18 |
|
B |
|
813,419 |
| |||||||||||
|
985 |
|
HCA, Inc., Tranche B4, Term Loan |
|
3.025% |
|
5/01/18 |
|
BBB- |
|
986,693 |
| |||||||||||
|
75 |
|
HCA, Inc., Tranche B5, Term Loan |
|
2.928% |
|
3/31/17 |
|
BBB- |
|
74,897 |
| |||||||||||
|
3,431 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
3,450,725 |
| |||||||||||
|
|
|
Hotels, Restaurants & Leisure - 1.8% |
|
|
|
|
|
|
| |||||||||||||
|
1,542 |
|
Burger King Corporation, Term Loan B, First Lien |
|
4.500% |
|
12/10/21 |
|
B+ |
|
1,559,023 |
| |||||||||||
|
979 |
|
MGM Resorts International, Term Loan B |
|
3.500% |
|
12/20/19 |
|
BB |
|
976,992 |
| |||||||||||
|
1,161 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B2 |
|
3.000% |
|
5/14/20 |
|
BB |
|
1,134,140 |
| |||||||||||
|
3,682 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
3,670,155 |
| |||||||||||
|
|
|
Household Durables - 0.3% |
|
|
|
|
|
|
| |||||||||||||
|
635 |
|
Tempur-Pedic International, Inc., New Term Loan B |
|
3.500% |
|
3/18/20 |
|
BB+ |
|
636,669 |
| |||||||||||
|
|
|
Household Products - 0.1% |
|
|
|
|
|
|
| |||||||||||||
|
293 |
|
Spectrum Brands, Inc., Term Loan A |
|
3.000% |
|
9/04/17 |
|
BB |
|
293,117 |
| |||||||||||
|
|
|
Independent Power & Renewable Electricity Producers - 0.5% |
|
|
| |||||||||||||||||
|
987 |
|
Calpine Corporation, Delayed Term Loan |
|
4.000% |
|
10/31/20 |
|
BB |
|
990,509 |
| |||||||||||
|
|
|
Internet & Catalog Retail - 0.3% |
|
|
|
|
|
|
| |||||||||||||
|
499 |
|
Travelport LLC, Term Loan B, First Lien |
|
5.750% |
|
9/02/21 |
|
B |
|
503,925 |
| |||||||||||
|
|
|
Internet Software & Services - 0.4% |
|
|
|
|
|
|
| |||||||||||||
|
833 |
|
Tibco Software, Inc., Term Loan B |
|
6.500% |
|
12/04/20 |
|
B1 |
|
834,761 |
| |||||||||||
|
|
|
IT Services - 0.4% |
|
|
|
|
|
|
|
|
| |||||||||||
|
743 |
|
Vantiv, Inc., Term Loan B |
|
3.750% |
|
6/13/21 |
|
BB+ |
|
747,613 |
| |||||||||||
|
|
|
Leisure Products - 0.4% |
|
|
|
|
|
|
| |||||||||||||
|
755 |
|
24 Hour Fitness Worldwide, Inc., Term Loan B |
|
4.750% |
|
5/28/21 |
|
Ba3 |
|
753,682 |
| |||||||||||
|
|
|
Machinery - 0.6% |
|
|
|
|
|
|
|
|
| |||||||||||
|
610 |
|
Doosan Infracore International, Inc., Term Loan |
|
4.500% |
|
5/27/21 |
|
BB- |
|
618,014 |
| |||||||||||
|
493 |
|
Rexnord LLC, Term Loan B |
|
4.000% |
|
8/21/20 |
|
BB- |
|
493,291 |
| |||||||||||
|
1,103 |
|
Total Machinery |
|
|
|
|
|
|
|
1,111,305 |
| |||||||||||
|
|
|
Media - 3.7% |
|
|
|
|
|
|
|
|
| |||||||||||
|
491 |
|
Charter Communications Operating Holdings LLC, Term Loan E |
|
3.000% |
|
7/01/20 |
|
Baa3 |
|
490,176 |
| |||||||||||
|
92 |
|
Clear Channel Communications, Inc., Term Loan E |
|
7.678% |
|
7/30/19 |
|
CCC+ |
|
89,048 |
| |||||||||||
|
747 |
|
Clear Channel Communications, Inc., Tranche D, Term Loan |
|
6.928% |
|
1/30/19 |
|
CCC+ |
|
712,517 |
| |||||||||||
|
940 |
|
Cumulus Media, Inc., Term Loan B |
|
4.250% |
|
12/23/20 |
|
B+ |
|
925,612 |
| |||||||||||
|
496 |
|
Interactive Data Corporation, Term Loan B |
|
4.750% |
|
5/02/21 |
|
B+ |
|
499,274 |
| |||||||||||
|
315 |
|
Media General, Inc., Delayed Draw, Term Loan |
|
4.250% |
|
7/31/20 |
|
BB+ |
|
316,902 |
| |||||||||||
|
535 |
|
Numericable Group S.A., Term Loan B1 |
|
4.500% |
|
5/21/20 |
|
Ba3 |
|
537,086 |
| |||||||||||
|
463 |
|
Numericable Group S.A., Term Loan B2 |
|
4.500% |
|
5/21/20 |
|
Ba3 |
|
464,653 |
| |||||||||||
|
553 |
|
Springer Science & Business Media, Inc., Term Loan B9, First Lien, WI/DD |
|
TBD |
|
TBD |
|
B2 |
|
552,695 |
| |||||||||||
|
1,239 |
|
Tribune Company, Term Loan B |
|
4.000% |
|
12/27/20 |
|
BB+ |
|
1,241,608 |
| |||||||||||
|
1,532 |
|
Univision Communications, Inc., Replacement Term Loan, First Lien |
|
4.000% |
|
3/01/20 |
|
B+ |
|
1,531,564 |
| |||||||||||
|
7,403 |
|
Total Media |
|
|
|
|
|
|
|
7,361,135 |
| |||||||||||
|
|
|
Multiline Retail - 0.6% |
|
|
|
|
|
|
|
|
| |||||||||||
|
1,000 |
|
Dollar Tree, Inc., Initial Term Loan B, First Lien |
|
4.250% |
|
3/09/22 |
|
BB+ |
|
1,011,719 |
| |||||||||||
|
244 |
|
Hudson’s Bay Company, Term Loan B, First Lien |
|
4.750% |
|
11/04/20 |
|
BB |
|
244,683 |
| |||||||||||
|
1,244 |
|
Total Multiline Retail |
|
|
|
|
|
|
|
1,256,402 |
| |||||||||||
|
|
|
Oil, Gas & Consumable Fuels - 0.5% |
|
|
|
|
|
|
| |||||||||||||
|
500 |
|
Energy Transfer Equity L.P., Term Loan, First Lien |
|
3.250% |
|
12/02/19 |
|
BB |
|
494,166 |
| |||||||||||
|
368 |
|
Fieldwood Energy LLC, Term Loan, Second Lien |
|
8.375% |
|
9/30/20 |
|
B2 |
|
270,574 |
| |||||||||||
|
182 |
|
Southcross Holdings Borrower L.P., Holdco Term Loan |
|
6.000% |
|
8/04/21 |
|
B2 |
|
172,931 |
| |||||||||||
|
1,050 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
937,671 |
| |||||||||||
|
|
|
Pharmaceuticals - 1.4% |
|
|
|
|
|
|
|
|
| |||||||||||
|
990 |
|
Grifols, Inc., Term Loan |
|
3.178% |
|
2/27/21 |
|
Ba1 |
|
990,186 |
| |||||||||||
|
725 |
|
Quintiles Transnational Corp., Term Loan B3 |
|
3.750% |
|
6/08/18 |
|
BB+ |
|
726,604 |
| |||||||||||
|
994 |
|
Valeant Pharmaceuticals International, Inc., Term Loan E |
|
3.500% |
|
8/05/20 |
|
Ba1 |
|
995,178 |
| |||||||||||
|
2,709 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
2,711,968 |
| |||||||||||
|
|
|
Professional Services - 0.1% |
|
|
|
|
|
|
| |||||||||||||
|
181 |
|
Nielsen Finance LLC, Dollar Term Loan B2 |
|
3.175% |
|
4/15/21 |
|
BBB |
|
181,755 |
| |||||||||||
|
|
|
Semiconductors & Semiconductor Equipment - 1.0% |
|
|
|
|
| |||||||||||||||
|
863 |
|
Avago Technologies, Term Loan B |
|
3.750% |
|
5/06/21 |
|
BBB- |
|
866,378 |
| |||||||||||
|
499 |
|
Freescale Semiconductor, Inc., Term Loan, Tranche B4 |
|
4.250% |
|
2/28/20 |
|
B1 |
|
500,430 |
| |||||||||||
|
728 |
|
NXP Semiconductor LLC, Term Loan D |
|
3.250% |
|
1/11/20 |
|
BBB- |
|
726,524 |
| |||||||||||
|
2,090 |
|
Total Semiconductors & Semiconductor Equipment |
|
|
|
|
|
|
|
2,093,332 |
| |||||||||||
|
|
|
Software - 1.7% |
|
|
|
|
|
|
|
|
| |||||||||||
|
374 |
|
Activision Blizzard, Inc., Term Loan B |
|
3.250% |
|
10/12/20 |
|
BBB |
|
375,852 |
| |||||||||||
|
478 |
|
BMC Software, Inc., Initial Term Loan |
|
5.000% |
|
9/10/20 |
|
B1 |
|
468,360 |
| |||||||||||
|
798 |
|
Datatel Parent Corp, Term Loan B1 |
|
4.000% |
|
7/19/18 |
|
BB- |
|
798,198 |
| |||||||||||
|
961 |
|
Emdeon Business Services LLC, Term Loan B2 |
|
3.750% |
|
11/02/18 |
|
Ba3 |
|
963,760 |
| |||||||||||
|
761 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5 |
|
3.750% |
|
6/03/20 |
|
Ba3 |
|
755,436 |
| |||||||||||
|
3,372 |
|
Total Software |
|
|
|
|
|
|
|
3,361,606 |
| |||||||||||
|
|
|
Specialty Retail - 0.5% |
|
|
|
|
|
|
|
|
| |||||||||||
|
583 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B3 |
|
4.250% |
|
8/13/21 |
|
B+ |
|
588,788 |
| |||||||||||
|
450 |
|
Petsmart Inc., Term Loan B, First Lien |
|
5.000% |
|
3/11/22 |
|
BB- |
|
453,835 |
| |||||||||||
|
1,033 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
1,042,623 |
| |||||||||||
|
|
|
Technology Hardware, Storage & Peripherals - 0.5% |
|
|
|
|
| |||||||||||||||
|
987 |
|
Dell, Inc., Term Loan B |
|
4.500% |
|
4/29/20 |
|
BBB |
|
994,770 |
| |||||||||||
|
$ 50,115 |
|
Total Variable Rate Senior Loan Interests (cost $49,784,921) |
|
|
|
|
|
50,005,920 |
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (7) |
|
Value |
| |||||||||||
|
|
|
CORPORATE BONDS - 0.7% (0.5% of Total Investments) |
|
|
|
|
|
|
| |||||||||||||
|
|
|
Banks - 0.6% |
|
|
|
|
|
|
|
|
| |||||||||||
|
$ 475 |
|
Bank of America Corporation |
|
6.250% |
|
3/05/65 |
|
BB |
|
$ 483,906 |
| |||||||||||
|
150 |
|
JPMorgan Chase & Co. |
|
6.750% |
|
12/31/49 |
|
BBB- |
|
162,750 |
| |||||||||||
|
525 |
|
M&T Bank Corporation |
|
6.450% |
|
12/31/49 |
|
BBB- |
|
567,000 |
| |||||||||||
|
1,150 |
|
Total Banks |
|
|
|
|
|
|
|
1,213,656 |
| |||||||||||
|
|
|
Media - 0.1% |
|
|
|
|
|
|
|
|
| |||||||||||
|
133 |
|
Clear Channel Communications, Inc. |
|
9.000% |
|
12/15/19 |
|
CCC+ |
|
131,670 |
| |||||||||||
|
$ 1,283 |
|
Total Corporate Bonds (cost $1,274,959) |
|
|
|
|
|
|
|
1,345,326 |
| |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Amount (000)/ |
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Shares |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (7) |
|
Value |
| |||||||||||
|
|
|
$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED - 4.5% (3.1% of Total Investments) |
|
|
| |||||||||||||||||
|
|
|
Banks - 4.1% |
|
|
|
|
|
|
|
|
| |||||||||||
|
2,367 |
|
Bank of America Corporation |
|
6.100% |
|
N/A (10) |
|
BB |
|
$ 2,401,025 |
| |||||||||||
|
575 |
|
Citigroup Inc. |
|
5.800% |
|
N/A (10) |
|
BB+ |
|
576,438 |
| |||||||||||
|
200 |
|
Citizens Financial Group Inc., 144A |
|
5.500% |
|
N/A (10) |
|
BB+ |
|
200,000 |
| |||||||||||
|
600 |
|
General Electric Capital Corporation |
|
7.125% |
|
N/A (10) |
|
A+ |
|
704,250 |
| |||||||||||
|
500 |
|
JPMorgan Chase & Co. |
|
7.900% |
|
N/A (10) |
|
BBB- |
|
538,125 |
| |||||||||||
|
2,000 |
|
JPMorgan Chase & Co. |
|
6.125% |
|
N/A (10) |
|
BBB- |
|
2,039,800 |
| |||||||||||
|
250 |
|
JPMorgan Chase & Co. |
|
6.100% |
|
N/A (10) |
|
BBB- |
|
257,500 |
| |||||||||||
|
500 |
|
PNC Financial Services Inc. |
|
6.750% |
|
N/A (10) |
|
BBB- |
|
556,250 |
| |||||||||||
|
450 |
|
SunTrust Bank Inc., (3) |
|
5.625% |
|
N/A (10) |
|
BB+ |
|
457,875 |
| |||||||||||
|
350 |
|
Wells Fargo & Company |
|
5.875% |
|
N/A (10) |
|
BBB |
|
370,195 |
| |||||||||||
|
25 |
|
Zions Bancorporation |
|
7.200% |
|
N/A (10) |
|
BB- |
|
26,663 |
| |||||||||||
|
|
|
Total Banks |
|
|
|
|
|
|
|
8,128,121 |
| |||||||||||
|
|
|
Capital Markets - 0.1% |
|
|
|
|
|
|
| |||||||||||||
|
225 |
|
Morgan Stanley |
|
5.450% |
|
N/A (10) |
|
BB |
|
226,688 |
| |||||||||||
|
|
|
Consumer Finance - 0.3% |
|
|
|
|
|
|
| |||||||||||||
|
225 |
|
Ally Financial Inc., 144A |
|
7.000% |
|
N/A (10) |
|
B |
|
229,816 |
| |||||||||||
|
450 |
|
American Express Company |
|
5.200% |
|
N/A (10) |
|
Baa3 |
|
456,750 |
| |||||||||||
|
|
|
Total Consumer Finance |
|
|
|
|
|
|
|
686,566 |
| |||||||||||
|
|
|
Total $1,000 Par (or similar) Institutional Preferred (cost $8,770,687) |
|
|
|
9,041,375 |
| |||||||||||||||
|
|
|
Total Long-Term Investments (cost $243,533,469) |
|
|
|
|
|
|
|
282,483,750 |
| |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||||||||
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
| |||||||||||
|
|
|
SHORT-TERM INVESTMENTS - 5.2% (3.5% of Total Investments) |
|
|
|
|
|
|
| |||||||||||||
|
$ 1,428 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/15, repurchase price $1,428,031, collateralized by $1,440,000 U.S. Treasury Notes, 1.625%, due 8/31/19, value $1,461,600 |
|
0.000% |
|
4/01/15 |
|
|
|
$ 1,428,031 |
| |||||||||||
|
8,897 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/15, repurchase price $8,897,474, collateralized by $8,730,000 U.S. Treasury Notes, 2.375%, due 8/15/24, value $9,079,200 |
|
0.000% |
|
4/01/15 |
|
|
|
8,897,474 |
| |||||||||||
|
$ 10,325 |
|
Total Short-Term Investments (cost $10,325,505) |
|
|
|
|
|
|
|
10,325,505 |
| |||||||||||
|
|
|
Total Investments (cost $253,858,974) - 146.1% |
|
|
|
|
|
|
|
292,809,255 |
| |||||||||||
|
|
|
Borrowings - (44.6)% (11), (12) |
|
|
|
|
|
|
|
(89,400,000 |
) | |||||||||||
|
|
|
Other Assets Less Liabilities - (1.5)% (13) |
|
|
|
|
|
|
|
(2,960,119 |
) | |||||||||||
|
|
|
Net Assets Applicable to Common Shares - 100% |
|
|
|
|
|
|
|
$ 200,449,136 |
| |||||||||||
|
|
| |||||||||||||||||||||
|
Investments in Derivatives as of March 31, 2015 |
| |||||||||||||||||||||
|
|
| |||||||||||||||||||||
|
Options Written outstanding: |
| |||||||||||||||||||||
|
|
| |||||||||||||||||||||
|
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
| ||||||||||
|
Option Type |
Contracts |
|
Description |
|
Amount (14) |
|
Date |
|
Price |
|
Value |
| ||||||||||
|
Call |
(460 |
) |
Microchip Technology Incorporated |
|
$ (2,300,000) |
|
4/17/15 |
|
$ 50 |
|
$ (28,750) |
| ||||||||||
|
|
(460 |
) |
Total Options Written (premiums received $58,045) |
|
$ (2,300,000) |
|
|
|
|
|
$ (28,750) |
| ||||||||||
|
|
| |||||||||||||||||||||
|
Interest Rate Swaps outstanding: |
| |||||||||||||||||||||
|
|
| |||||||||||||||||||||
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
|
|
Fixed Rate |
|
Payment |
|
Effective |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Floating Rate Index |
|
(Annualized) |
|
Frequency |
|
Date (15) |
|
Date |
|
(Depreciation) |
|
|
JPMorgan |
|
$ 18,475,000 |
|
Receive |
|
1-Month USD-LIBOR-BBA |
|
1.462 |
% |
Monthly |
|
12/01/15 |
|
12/01/20 |
|
$ (192,710) |
|
|
JPMorgan |
|
18,475,000 |
|
Receive |
|
1-Month USD-LIBOR-BBA |
|
1.842 |
|
Monthly |
|
12/01/15 |
|
12/01/22 |
|
(356,800) |
|
|
|
|
$ 36,950,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (549,510) |
|
|
|
|
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). | |||||||||||||||
|
|
|
| |||||||||||||||
|
|
|
The inputs or methodologies used for valuing securities are not an indication of the risks 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 |
|
$ 163,521,603 |
|
$ 38,176,458 |
|
$ – |
* |
$ 201,698,061 |
| ||||||
|
|
|
Convertible Preferred Securities |
|
1,305,000 |
|
– |
|
– |
|
1,305,000 |
| ||||||
|
|
|
$25 Par (or similar) Retail Preferred |
|
16,597,427 |
|
2,490,641 |
|
– |
|
19,088,068 |
| ||||||
|
|
|
Variable Rate Senior Loan Interests |
|
– |
|
50,005,920 |
|
– |
|
50,005,920 |
| ||||||
|
|
|
Corporate Bonds |
|
– |
|
1,345,326 |
|
– |
|
1,345,326 |
| ||||||
|
|
|
$1,000 Par (or similar) Institutional Preferred |
|
– |
|
9,041,375 |
|
– |
|
9,041,375 |
| ||||||
|
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
| ||||||
|
|
|
Repurchase Agreements |
|
– |
|
10,325,505 |
|
– |
|
10,325,505 |
| ||||||
|
|
|
Investments in Derivatives: |
|
|
|
|
|
|
|
|
| ||||||
|
|
|
Options written |
|
(28,750 |
) |
– |
|
– |
|
(28,750 |
) | ||||||
|
|
|
Interest Rate Swaps** |
|
– |
|
(549,510 |
) |
– |
|
(549,510 |
) | ||||||
|
|
|
Total |
|
$ 181,395,280 |
|
$ 110,835,715 |
|
$ – |
|
$ 292,230,995 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
* Value equals zero as of the end of the reporting period. | |||||||||||||||
|
|
|
** Represents net unrealized appreciation (depreciation) as reported 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 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. | |||||||||||||||
|
|
|
| |||||||||||||||
|
|
|
As of March 31, 2015, the cost of investments (excluding investments in derivatives) was $255,753,444. | |||||||||||||||
|
|
|
| |||||||||||||||
|
|
|
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2015, were as follows: | |||||||||||||||
|
|
|
| |||||||||||||||
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
|
| ||||||||||||
|
|
|
Gross unrealized: |
|
|
| ||||||||||||
|
|
|
Appreciation |
|
$ |
42,490,332 |
| |||||||||||
|
|
|
Depreciation |
|
(5,434,521 |
) | ||||||||||||
|
|
|
|
|
|
| ||||||||||||
|
|
|
Net unrealized appreciation (depreciation) of investments |
|
$ |
37,055,811 |
| |||||||||||
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
| |||||||||||||
|
|
|
|
|
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 out on loan. The total value of investments out on loan as of the end of the reporting period was $623,000. | |||||||||||||
|
|
|
(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, investment classified as Level 3. | |||||||||||||
|
|
|
(6) |
|
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. | |||||||||||||
|
|
|
(7) |
|
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. | |||||||||||||
|
|
|
(8) |
|
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. | |||||||||||||
|
|
|
(9) |
|
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. 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. | |||||||||||||
|
|
|
(10) |
|
Perpetual security. Maturity date is not applicable. | |||||||||||||
|
|
|
(11) |
|
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 $187,995,285 have been pledged as collateral for Borrowings. | |||||||||||||
|
|
|
(12) |
|
Borrowings as a percentage of Total Investments is 30.5%. | |||||||||||||
|
|
|
(13) |
|
Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable. Other assets less liabilities also includes the value of options. | |||||||||||||
|
|
|
(14) |
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For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. | |||||||||||||
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(15) |
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Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each contract. | |||||||||||||
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N/A |
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Not applicable. | |||||||||||||
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144A |
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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. | |||||||||||||
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ADR |
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American Depositary Receipt. | |||||||||||||
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TBD |
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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. | |||||||||||||
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USD-LIBOR-BBA |
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United States Dollar – London Inter-Bank Offered Rate – British Bankers’ Association. | |||||||||||||||
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(WI/DD) |
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Purchased on a when-issued or delayed delivery basis. | |||||||||||||
Item 2. Controls and Procedures.
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a. |
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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)). |
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b. |
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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
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By (Signature and Title) |
/s/ Kevin J. McCarthy |
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Kevin J. McCarthy |
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Vice President and Secretary |
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Date: May 29, 2015
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.
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By (Signature and Title) |
/s/ Gifford R. Zimmerman |
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Gifford R. Zimmerman |
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Chief Administrative Officer (principal executive officer) |
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Date: May 29, 2015
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By (Signature and Title) |
/s/ Stephen D. Foy |
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Stephen D. Foy |
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Vice President and Controller (principal financial officer) |
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Date: May 29, 2015