nvq
Table of Contents

 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number   811-21471  
Nuveen Tax-Advantaged Total Return Strategy Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
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:    3/31/06   
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.
 
 

 

TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
Certification

Table of Contents

Item 1. Schedule of Investments
     
 
Portfolio of Investments (Unaudited)

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
March 31, 2006		  
                                         
Shares     Description (1)                           Value  
 
       
 
                                
       
Common Stocks - 98.9% (70.9% of Total Investments)
                                
       
 
                                
       
Aerospace & Defense - 6.6%
                                
       
 
                                
  140,000    
Lockheed Martin Corporation
                           $ 10,518,200  
  235,000    
Raytheon Company
                             10,772,400  
 
       
Total Aerospace & Defense
                             21,290,600  
         
       
 
                                
       
Chemicals - 0.0%
                                
       
 
                                
  7,998    
Tronox Incorporated, Class B
                             135,886  
 
       
 
                                
       
Commercial Banks - 5.0%
                                
       
 
                                
  150,000    
Wachovia Corporation
                             8,407,500  
  120,000    
Wells Fargo & Company
                             7,664,400  
 
       
Total Commercial Banks
                             16,071,900  
         
       
 
                                
       
Commercial Services & Supplies - 3.8%
                                
       
 
                                
  285,000    
Pitney Bowes Inc.
                             12,235,050  
 
       
 
                                
       
Containers & Packaging - 2.1%
                                
       
 
                                
  300,000    
Packaging Corp. of America
                             6,732,000  
 
       
 
                                
       
Diversified Financial Services - 6.6%
                                
       
 
                                
  275,000    
Citigroup Inc.
                             12,988,250  
  205,000    
JPMorgan Chase & Co.
                             8,536,200  
 
       
Total Diversified Financial Services
                             21,524,450  
         
       
 
                                
       
Diversified Telecommunication Services - 12.1%
                                
       
 
                                
  385,000    
AT&T Inc.
                             10,410,400  
  343,000    
KT Corporation, Sponsored ADR
                             7,305,900  
  330,000    
Sprint Nextel Corporation
                             8,527,200  
  235,000    
Telecom Italia S.p.A., Sponsored ADR
                             6,236,900  
  190,000    
Verizon Communications Inc.
                             6,471,400  
 
       
Total Diversified Telecommunication Services
                             38,951,800  
         
       
 
                                
       
Electric Utilities - 4.4%
                                
       
 
                                
  187,100    
EDP — Energias de Portugal, S.A., Sponsored ADR
                             7,330,578  
  323,000    
Korea Electric Power Corporation (KEPCO), Sponsored ADR
                             6,976,800  
 
       
Total Electric Utilities
                             14,307,378  
         
       
 
                                
       
Food & Staples Retailing - 1.6%
                                
       
 
                                
  240,625    
J. Sainsbury PLC, Sponsored ADR
                             5,534,375  
 
       
 
                                
       
Household Durables - 2.4%
                                
       
 
                                
  307,000    
Newell Rubbermaid Inc.
                             7,733,330  
 
       
 
                                
       
Household Products - 2.9%
                                
       
 
                                
  160,000    
Kimberly-Clark Corporation
                             9,248,000  
 
       
 
                                
       
Insurance - 4.3%
                                
       
 
                                
  180,000    
Aon Corporation
                             7,471,800  
  80,000    
Hartford Financial Services Group, Inc.
                             6,444,000  
 
       
Total Insurance
                             13,915,800  
         
       
 
                                
       
Media - 3.1%
                                
       
 
                                
  200,000    
CBS Corporation, Class B
                             4,796,000  
  176,600    
Clear Channel Communications, Inc.
                             5,123,166  
 
       
Total Media
                             9,919,166  
         
       
 
                                
       
Metals & Mining - 5.5%
                                
       
 
                                
  236,900    
Alumina Limited, Sponsored ADR
                             4,996,221  
  90,000    
POSCO, ADR
                             5,742,000  
  33,500    
Rio Tinto PLC, Sponsored ADR
                             6,934,500  
 
       
Total Metals & Mining
                             17,672,721  
         
       
 
                                
       
Multi-Utilities - 3.7%
                                
       
 
                                
  110,000    
Dominion Resources, Inc.
                             7,593,300  
  180,000    
United Utilities PLC, Sponsored ADR
                             4,365,000  
 
       
Total Multi-Utilities
                             11,958,300  
         
       
 
                                
       
Oil, Gas & Consumable Fuels - 9.4%
                                
       
 
                                
  80,000    
Chevron Corporation
                             4,637,600  
  113,400    
ConocoPhillips
                             7,161,210  
  132,500    
Eni S.p.A., Sponsored ADR
                             7,549,850  
  39,669    
Kerr-McGee Corporation
                             3,787,596  
  55,000    
Total SA, Sponsored ADR
                             7,245,150  
 
       
Total Oil, Gas & Consumable Fuels
                             30,381,406  
         
       
 
                                
       
Paper & Forest Products - 3.6%
                                
       
 
                                
  220,000    
International Paper Company
                             7,605,400  
  270,200    
Stora Enso Oyj, Sponsored ADR
                             4,147,570  
 
       
Total Paper & Forest Products
                             11,752,970  
         
       
 
                                
       
Pharmaceuticals - 2.5%
                                
       
 
                                
  230,000    
Merck & Co. Inc.
                             8,102,900  
 
       
 
                                
       
Road & Rail - 2.6%
                                
       
 
                                
  90,000    
Union Pacific Corporation
                             8,401,500  
 
       
 
                                
       
Thrifts & Mortgage Finance - 6.7%
                                
       
 
                                
  212,000    
Fannie Mae
                             10,896,800  
  265,000    
IndyMac Bancorp, Inc.
                             10,846,450  
 
       
Total Thrifts & Mortgage Finance
                             21,743,250  
         
       
 
                                
       
Tobacco - 10.0%
                                
       
 
                                
  235,000    
Altria Group, Inc.
                             16,652,098  
  330,000    
Loews Corp — Carolina Group
                             15,599,102  
 
       
Total Tobacco
                             32,251,200  
         
       
Total Common Stocks (cost $261,352,934)
                             319,863,982  
         
                                         
Shares     Description (1)   Coupon             Ratings (2)     Value        
 
       
 
                                
       
$25 Par (or Similar) Securities - 11.2% (8.1% of Total Investments)
                                
       
 
                                
       
Capital Markets - 1.4%
                                
       
 
                                
  15,500    
Bear Stearns Companies, Series E, (6)
     6.150 %             A3     $ 786,625  
  20,000    
Goldman Sachs Group Inc., (6)
     6.200 %             A2       512,800  
  25,000    
Goldman Sachs Group Inc., (6)
     5.390 %             A2       647,500  
  77,700    
Lehman Brothers Holdings Inc., Series F, (6)
     6.500 %             A-       1,992,228  
  25,000    
Merrill Lynch & Co., Inc., (6)
     5.440 %             A2       638,750  
 
       
Total Capital Markets
                             4,577,903  
         
       
 
                                
       
Commercial Banks - 2.3%
                                
       
 
                                
  23,500    
Abbey National PLC, Series B
     7.375 %             A       618,520  
  41,100    
Abbey National PLC, Series C
     7.375 %             A2       1,052,571  
  40,000    
ABN AMRO Capital Trust Fund VII
     6.080 %             A       958,000  
  25,000    
Banco Santander
     6.410 %             A2       632,500  
  50,000    
HSBC USA Inc., Series G
     5.364 %             A2       1,299,250  
  40,000    
Royal Bank of Scotland Group PLC, Series M
     6.400 %             A1       1,003,200  
  40,000    
Royal Bank of Scotland Group PLC, Series N
     6.350 %             A1       1,007,200  
  40,000    
U.S. Bancorp, Series B
     5.560 %             A1       1,028,752  
 
       
Total Commercial Banks
                             7,599,993  
         
       
 
                                
       
Consumer Finance - 1.0%
                                
       
 
                                
  45,000    
HSBC Finance Corporation
     6.360 %             A2       1,147,050  
  35,600    
SLM Corporation, Series A, (6)
     6.970 %           BBB+       1,958,000  
 
       
Total Consumer Finance
                             3,105,050  
         
       
 
                                
       
Diversified Financial Services - 1.3%
                                
       
 
                                
  10,000    
CIT Group Inc., Series A, (6)
     6.350 %           BBB+       253,000  
  19,500    
Citigroup Inc., Series F, (6)
     6.365 %           Aa3       993,525  
  28,900    
Citigroup Inc., Series H, (6)
     6.231 %           Aa3       1,458,728  
  48,400    
ING Group N.V.
     7.200 %             A       1,241,460  
  5,000    
ING Group N.V.
     7.050 %             A       127,000  
 
       
Total Diversified Financial Services
                             4,073,713  
         
       
 
                                
       
Electric Utilities - 1.2%
                                
       
 
                                
  39,500    
Alabama Power Company, Series A, (6)
     5.300 %           BBB+       972,095  
  34,800    
Interstate Power and Light Company, (6)
     7.100 %           BBB-       941,862  
  40,000    
Mississippi Power Company
     5.250 %             A3       955,000  
  40,000    
Savannah Electric and Power Company
     6.000 %           BBB+       1,012,000  
 
       
Total Electric Utilities
                             3,880,957  
         
       
 
                                
       
Insurance - 2.5%
                                
       
 
                                
  50,300    
Ace Ltd., Series C
     7.800 %           Baa2       1,317,860  
  40,000    
Aegon N.V.
     6.375 %             A-       996,000  
  25,000    
Aegon N.V., Series 1
     5.675 %             A-       646,095  
  20,000    
Arch Capital Group Limited
     8.000 %           Baa3       514,376  
  50,000    
Endurance Specialty Holdings Limited
     7.750 %           Baa3       1,211,000  
  40,000    
Genworth Financial Inc., Series A
     5.250 %           BBB+       2,038,752  
  30,000    
Prudential PLC
     6.750 %             A       751,500  
  30,000    
Prudential PLC
     6.500 %             A       760,500  
 
       
Total Insurance
                             8,236,083  
         
       
 
                                
       
U.S. Agency - 1.5%
                                
       
 
                                
  20,000    
Fannie Mae, (6)
     5.500 %           AA-       942,200  
  19,800    
Fannie Mae, (6)
     5.125 %           AA-       871,200  
  18,400    
Federal Home Loan Mortgage Corporation, (6)
     6.000 %           AA-       933,432  
  20,000    
Federal Home Loan Mortgage Corporation, (6)
     5.700 %           AA-       973,000  
  26,900    
Federal Home Loan Mortgage Corporation, (6)
     5.000 %           AA-       1,147,284  
 
       
Total U.S. Agency
                             4,867,116  
         
       
Total $25 Par (or Similar) Securities (cost $36,774,146)
                             36,340,815  
         

Table of Contents

                                         
            Weighted                    
Principal         Average                    
Amount (000)     Description (1)   Coupon     Maturity(3)     Ratings(2)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests - 21.3% (15.3% of Total Investments) (4)
                                
       
 
                                
       
Aerospace & Defense - 1.7%
                                
       
 
                                
$ 1,644    
Hexcel Corporation, Term Loan B
     6.375 %     3/01/12     BB-     $ 1,662,944  
  1,825    
K&F Industries, Inc., Term Loan B
     7.008 %     11/18/12       B2       1,851,234  
  1,617    
Vought Aircraft Industries, Inc., Term Loan
     7.330 %     12/22/11       B+       1,637,326  
  364    
Vought Aircraft Industries, Inc., Tranche B, Letter of Credit
     6.885 %     12/22/10       B+       368,352  
 
  5,450    
Total Aerospace & Defense
                             5,519,856  
 
       
 
                                
       
Auto Components - 0.6%
                                
       
 
                                
  2,000    
Federal-Mogul Corporation, Term Loan A, (5)
     7.080 %     2/24/04       N/R       1,933,750  
 
       
 
                                
       
Building Products - 0.6%
                                
       
 
                                
  1,774    
PP Holding Corporation, Term Loan
     7.980 %     11/12/11       B       1,793,000  
 
       
 
                                
       
Chemicals - 0.6%
                                
       
 
                                
  1,980    
Rockwood Specialties Group, Inc., Term Loan E
     6.668 %     7/30/12       B+       2,008,617  
 
       
 
                                
       
Commercial Services & Supplies - 0.8%
                                
       
 
                                
  696    
Allied Waste North America, Inc., Letter of Credit
     6.000 %     3/21/12       B1       699,415  
  1,792    
Allied Waste North America, Inc., Term Loan B
     6.796 %     1/15/12       B1       1,801,926  
 
  2,488    
Total Commercial Services & Supplies
                             2,501,341  
 
       
 
                                
       
Containers & Packaging - 0.9%
                                
       
 
                                
  788    
Owens-Illinois Group, Inc., Term Loan B
     6.560 %     4/01/08       N/R       791,755  
  175    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
     2.100 %     11/01/11       B+       177,236  
  1,253    
Smurfit-Stone Container Corporation, Term Loan B
     7.103 %     11/01/11       B+       1,271,854  
  425    
Smurfit-Stone Container Corporation, Term Loan C
     7.064 %     11/01/11       B+       431,469  
  133    
Smurfit-Stone Container Corporation, Tranche C-1
     6.938 %     11/01/11       B+       135,392  
 
  2,774    
Total Containers & Packaging
                             2,807,706  
 
       
 
                                
       
Diversified Consumer Services - 0.3%
                                
       
 
                                
  852    
Alderwoods Group, Inc., Term Loan B-2
     6.738 %     9/29/08       B1       861,117  
 
       
 
                                
       
Diversified Telecommunication Services - 0.6%
                                
       
 
                                
  2,000    
Madison River Capital LLC, Term Loan
     7.050 %     7/29/12       B+       2,026,251  
 
       
 
                                
       
Electric Utilities - 0.3%
                                
       
 
                                
  1,000    
Mirant Corporation, Term Loan
     6.441 %     1/03/13     BB-       1,009,554  
 
       
 
                                
       
Electrical Equipment - 0.6%
                                
       
 
                                
 
  1,583    
Sensus Metering Systems Inc., Term Loan B-1
     7.297 %     12/17/10       B2       1,599,918  
  210    
Sensus Metering Systems Inc., Term Loan B-2
     7.351 %     12/17/10       B2       212,517  
 
  1,793    
Total Electrical Equipment
                             1,812,435  
 
       
 
                                
       
Health Care Providers & Services - 1.5%
                                
       
 
                                
  1,960    
Davita Inc., Term Loan B
     6.689 %     10/05/12       B1       1,987,868  
  1,965    
IASIS Healthcare LLC, Term Loan B
     6.787 %     6/22/11       B+       1,994,066  
  1,000    
Quintiles Transnational Corporation, Term Loan B, WI/DD
   TBD     TBD       B1       1,006,875  
 
  4,925    
Total Health Care Providers & Services
                             4,988,809  
 
       
 
                                
       
Hotels, Restaurants & Leisure - 2.8%
                                
       
 
                                
  2,000    
24 Hour Fitness Worldwide, Inc., Term Loan B
     7.620 %     6/08/12       B       2,030,000  
  1,960    
Jack in the Box Inc., Term Loan
     6.278 %     1/08/11     BB       1,980,825  
  1,990    
Penn National Gaming, Inc., Term Loan B
     6.387 %     10/03/12     BB       2,019,540  
  1,000    
Pinnacle Entertainment Inc., Term Loan
     6.780 %     12/14/11       B1       1,008,751  
  342    
Venetian Casino Resort, LLC, Delayed Draw, Term Loan
     6.730 %     6/15/11     BB-       345,860  
  1,658    
Venetian Casino Resort, LLC, Term Loan
     6.730 %     6/15/11     BB-       1,677,421  
 
  8,950    
Total Hotels, Restaurants & Leisure
                             9,062,397  
 
       
 
                                
       
Household Durables - 0.4%
                                
       
 
                                
  1,323    
Sealy Mattress Company, Term Loan D
     6.525 %     4/06/12       B+       1,341,293  
 
       
 
                                
       
Household Products - 0.9%
                                
       
 
                                
  2,940    
Solo Cup Company, Term Loan
     7.532 %     2/27/11       B2       2,974,913  
 
       
 
                                
       
Insurance - 0.4%
                                
       
 
                                
  1,294    
Conseco, Inc., Term Loan
     6.503 %     6/22/10     BB-       1,306,940  
 
       
 
                                
       
IT Services - 1.2%
                                
       
 
                                
  1,755    
Fidelity National Information Services, Term Loan B
     6.470 %     3/09/13     BB+       1,771,179  
  1,990    
SunGard Data Systems Inc., Term Loan B
     7.215 %     2/11/13       B+       2,018,873  
 
  3,745    
Total IT Services
                             3,790,052  
 
       
 
                                
       
Machinery - 0.3%
                                
       
 
                                
  760    
Dresser-Rand Group, Inc., Term Loan
     6.923 %     10/10/10       B+       774,185  
 
       
 
                                
       
Media - 3.4%
                                
       
 
                                
  2,000    
Cablevision Systems Corporation, Incremental Term Loan, WI/DD
   TBD     TBD     Ba3       2,017,875  
  1,963    
Charter Communications Operating, LLC, Term Loan B
     7.920 %     4/07/11       B       1,982,403  
  863    
Emmis Operating Company, Term Loan
     6.530 %     11/10/11       B+       869,275  
  2,000    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
     7.229 %     4/08/12       B+       2,027,125  
  1,900    
Regal Cinemas Corporation, Term Loan
     6.729 %     11/10/10     BB-       1,921,481  
  2,200    
WMG Acquisition Corp., Term Loan
     6.679 %     2/28/11       B+       2,229,928  
 
  10,926    
Total Media
                             11,048,087  
 
       
 
                                
       
Metals & Mining - 0.4%
                                
       
 
                                
  1,425    
Amsted Industries Incorporated, Term Loan B
     7.150 %     10/15/10       B1       1,447,504  
 
       
 
                                
       
Multi-Utilities - 0.6%
                                
       
 
                                
  371    
NRG Energy Inc., Credit-Linked Deposit
     6.979 %     2/01/13     BB-       375,910  
  1,629    
NRG Energy Inc., Term Loan
     6.820 %     2/01/13     BB-       1,650,615  
 
  2,000    
Total Multi-Utilities
                             2,026,525  
 
       
 
                                
       
Paper & Forest Products - 0.6%
                                
       
 
                                
  1,995    
Georgia-Pacific Corporation, Term Loan B
     6.884 %     12/20/12     BB-       2,011,444  
 
       
 
                                
       
Real Estate Management & Development - 0.9%
                                
       
 
                                
  1,000    
Capital Automotive LP., Term Loan
     6.340 %     12/16/10     BB+       1,011,161  
  1,811    
LNR Property Corporation, Term Loan
     7.642 %     2/03/08       B2       1,829,265  
 
  2,811    
Total Real Estate
                             2,840,426  
 
       
 
                                
       
Trading Companies & Distributors - 0.9%
                                
       
 
                                
  196    
Brenntag Holdings, Acquisition Facility Term Loan
     7.440 %     1/20/14       B2       199,555  
  804    
Brenntag Holdings, Term Loan
     7.440 %     1/20/14       B-       816,495  
  337    
United Rentals Inc., Credit Linked Deposit
     5.590 %     2/13/11       B2       341,193  
  1,651    
United Rentals Inc., Term Loan B
     7.070 %     2/14/11       B2       1,671,842  
 
  2,988    
Total Trading Companies & Distributors
                             3,029,085  
 
$ 68,193    
Total Variable Rate Senior Loan Interests (cost $68,158,225)
                             68,915,287  
 
                                         
Principal                              
Amount (000)     Description(1)   Coupon     Maturity     Ratings(2)     Value  
 
       
 
                                
       
Corporate Bonds - 1.9% (1.4% of Total Investments)
                                
       
 
                                
       
Hotels, Restaurants & Leisure - 1.3%
                                
       
 
                                
$ 2,000    
MGM Mirage, Inc.
     6.750 %     8/01/07     BB     $ 2,027,500  
  2,000    
Park Place Entertainment
     8.875 %     9/15/08     BB+       2,145,000  
 
  4,000    
Total Hotels, Restaurants & Leisure
                             4,172,500  
 
       
 
                                
       
Household Durables - 0.6%
                                
       
 
                                
  2,000    
D.R. Horton, Inc.
     7.500 %     12/01/07     BBB-       2,064,428  
 
$ 6,000    
Total Corporate Bonds (cost $6,287,260)
                             6,236,928  
 
                                         
Shares     Description (1)   Coupon     Maturity     Ratings(2)     Value  
 
       
 
                                
       
Capital Preferred Securities - 1.1% (0.8% of Total Investments)
                                
       
 
                                
       
Electric Utilities - 1.1%
                                
       
 
                                
  12,400    
Consolidated Edison Company of New York Inc.
     5.000 %             A3     $ 1,128,400  
  5,000    
Southern California Edison Company
     6.125 %           BBB       510,000  
  9,000    
Southern California Edison Company, Series A
     5.349 %     4/27/35     BBB-       911,813  
  10,000    
Southern California Edison Company, Series C
     6.000 %     4/30/56     BBB-       1,000,000  
 
       
Total Electric Utilities
                             3,550,213  
         
       
Total Capital Preferred Securities (cost $3,461,270)
                             3,550,213  
         
                                         
Principal                                
Amount (000)     Description(1)   Coupon     Maturity             Value  
 
       
 
                                
       
Short-term Investments - 4.8% (3.5% of Total Investments)
                                
       
 
                                
$ 15,685    
Repurchase Agreement with State Street Bank, dated 3/31/06, repurchase price $15,690,199, collateralized by $15,730,000 U.S. Treasury Notes, 4.625%, due 5/15/06 value $16,000,855
     4.250 %     4/03/06             $ 15,684,644  
   
       
Total Short-Term Investments (cost $15,684,644)
                             15,684,644  
         
       
Total Investments (cost $391,718,479) - 139.2%
                             450,591,869  
         
       
Fundnotes - (24.1)%
                             (78,000,000 )
         
       
Other Assets Less Liabilities - (1.2)%
                             (3,792,032 )
         
       
Fundpreferred Shares, At Liquidation Value - (13.9)%
                             (45,000,000 )
         
       
Net Assets Applicable To Common Shares - 100%
                           $ 323,799,837  
         
             
 
    (1 )   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
 
            
 
    (2 )   Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.
 
            
 
    (3 )   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.
 
            
 
    (4 )   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.
 
            
 
          The Fund did not have any unfunded loan commitments or outstanding participation commitments at March 31, 2006.
 
 
    (5 )   At or subsequent to March 31, 2006, this issue was under the protection of the Federal Bankruptcy Court.
 
            
 
    (6 )   Investment is eligible for the Dividends Received Deduction.
 
            
 
    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.
                   
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
                  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.
 
 
    
  At March 31, 2006, the cost of investments was $392,008,708.
 
 
    
  Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2006, were as follows:
 
 
    
                   
  Gross unrealized:                
 
Appreciation
           $ 66,654,006  
 
Depreciation
             (8,070,845 )
 
                  
   
 
                  
 
Net unrealized appreciation of investments
           $ 58,583,161  
 
                  
   

Table of Contents

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.

 

Table of Contents

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/ Jessica R. Droeger    
  Jessica R. Droeger   
  Vice President and Secretary   
 
Date May 30, 2006
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 May 30, 2006
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date May 30, 2006
 
*   Print the name and title of each signing officer under his or her signature.