NPORT-EX 2 JTA.htm FOR VALIDATION PURPOSES ONLY - [915586.TX]
JTA   

Nuveen Tax-Advantaged Total
Return Strategy Fund

 

Portfolio of Investments    March 31, 2020

     (Unaudited)

 

Shares     Description (1)                                           Value  
 

LONG-TERM INVESTMENTS – 141.0% (100.0% of Total Investments)

 

 

COMMON STOCKS – 94.1% (66.7% of Total Investments)

 

 

Aerospace & Defense – 3.4%

 

  13,370    

General Dynamics Corp, (2)

                  $ 1,768,985  
  23,183    

Thales SA, (3)

                                                  1,919,917  
 

Total Aerospace & Defense

                                                  3,688,902  
      Air Freight & Logistics – 3.3%                                         
  133,505    

Deutsche Post AG, (3)

                                                  3,579,080  
      Banks – 7.6%                                         
  86,460    

Bank of America Corp, (4)

                    1,835,546  
  67,445    

Citigroup Inc, (4)

                    2,840,783  
  248,900    

ING Groep NV, (4)

                    1,281,835  
  25,322    

JPMorgan Chase & Co

                                                  2,279,740  
 

Total Banks

                                                  8,237,904  
      Capital Markets – 2.5%                                         
  198,460    

Deutsche Boerse AG, (3), (4)

                                                  2,683,179  
      Chemicals – 2.9%                                         
  43,161    

DuPont de Nemours Inc, (4)

                    1,471,790  
  48,670    

Nutrien Ltd

                                                  1,663,834  
 

Total Chemicals

                                                  3,135,624  
      Communications Equipment – 1.8%                                         
  51,160    

Cisco Systems Inc, (2)

                                                  2,011,100  
      Diversified Telecommunication Services – 3.7%                                         
  98,499    

Nippon Telegraph & Telephone Corp, (3)

                    2,326,546  
  175,604    

Telefonica Brasil SA

                                                  1,671,180  
 

Total Diversified Telecommunication Services

                                                  3,997,726  
      Electric Utilities – 1.8%                                         
  48,760    

FirstEnergy Corp

                                                  1,953,813  
      Electrical Equipment – 1.8%                                         
  25,260    

Eaton Corp PLC, (4)

                                                  1,962,449  
      Energy Equipment & Services – 0.0%                                         
  3,683    

Transocean Ltd

                                                  4,272  
      Entertainment – 3.9%                                         
  10,908    

Nintendo Co Ltd, (3)

                                                  4,239,432  
      Food & Staples Retailing – 2.6%                                         
  84,500    

Seven & i Holdings Co Ltd, (3)

                                                  2,790,602  
      Health Care Providers & Services – 3.5%                                         
  10,510    

Anthem Inc, (4)

                    2,386,190  
  21,505    

Fresenius Medical Care AG & Co KGaA, (3)

                    1,403,759  
  6,594    

Millennium Health LLC, (3)

                    363  
  6,140    

Millennium Health LLC, (5)

                    6,496  
  5,767    

Millennium Health LLC, (5)

                                                  5,813  
 

Total Health Care Providers & Services

                                                  3,802,621  

 

1

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   Portfolio of Investments    March 31, 2020
   (Unaudited)

 

Shares     Description (1)                                           Value  
      Household Products – 1.3%                                         
  17,480    

Henkel AG & Co KGaA, (3)

                                                $ 1,398,078  
      Industrial Conglomerates – 1.6%                                         
  21,075    

Siemens AG, (3)

                                                  1,764,715  
      Insurance – 7.0%                                         
  71,823    

Ageas, (3)

                    2,993,007  
  9,499    

Allianz SE, (3)

                    1,617,655  
  46,120    

CNA Financial Corp, (4)

                    1,431,565  
  105,370    

Old Republic International Corp, (4)

                                                  1,606,892  
 

Total Insurance

                                                  7,649,119  
      IT Services – 1.5%                                         
  30,630    

Amdocs Ltd

                                                  1,683,731  
      Machinery – 1.4%                                         
  95,600    

Komatsu Ltd, (3)

                                                  1,547,135  
      Media – 2.9%                                         
  24,326    

Clear Channel Outdoor Holdings Inc

                    15,569  
  83,519    

Comcast Corp, Class A

                    2,871,383  
  5,025    

Cumulus Media Inc

                    27,235  
  10,344    

iHeartMedia Inc

                    75,615  
  2,099    

Metro-Goldwyn-Mayer Inc, (3)

                    141,682  
  3,185    

Tribune Co, (5)

                                                  701  
 

Total Media

                                                  3,132,185  
      Multi-Utilities – 4.6%                                         
  249,521    

National Grid PLC, (3)

                    2,915,471  
  100,226    

Veolia Environnement SA, (3)

                                                  2,116,860  
 

Total Multi-Utilities

                                                  5,032,331  
      Oil, Gas & Consumable Fuels – 4.4%                                         
  23,434    

Chevron Corp, (2)

                    1,698,028  
  218,790    

Enterprise Products Partners LP, (4)

                    3,128,697  
  1,923    

Fieldwood Energy Inc, (3)

                    1,923  
  388    

Fieldwood Energy Inc, (3)

                                                  388  
 

Total Oil, Gas & Consumable Fuels

                                                  4,829,036  
      Pharmaceuticals – 13.0%                                         
  46,285    

AstraZeneca PLC, Sponsored ADR, (4)

                    2,067,088  
  29,095    

Bayer AG, (3)

                    1,667,098  
  47,530    

Bristol-Myers Squibb Co

                    2,649,322  
  97,690    

GlaxoSmithKline PLC, Sponsored ADR, (4)

                    3,701,474  
  42,915    

Roche Holding AG, (3), (4)

                    1,741,062  
  26,789    

Sanofi, (3)

                                                  2,319,252  
 

Total Pharmaceuticals

                                                  14,145,296  
      Semiconductors & Semiconductor Equipment – 2.6%                                         
  7,088    

Broadcom Inc, (2)

                    1,680,565  
  75,900    

Infineon Technologies AG, (3)

                                                  1,095,673  
 

Total Semiconductors & Semiconductor Equipment

                                                  2,776,238  
      Software – 6.2%                                         
  23,911    

Microsoft Corp, (4)

                    3,771,004  
  60,530    

Oracle Corp

                                                  2,925,415  
 

Total Software

                                                  6,696,419  
      Specialty Retail – 1.4%                                         
  17,880    

Lowe’s Cos Inc

                                                  1,538,574  

 

2

Shares     Description (1)                                       Value  
      Technology Hardware, Storage & Peripherals – 2.1%         
  70,420    

Samsung Electronics Co Ltd, (3)

                                            $ 2,294,820  
      Tobacco – 1.5%         
  22,005    

Philip Morris International Inc, (4)

                                              1,605,485  
      Trading Companies & Distributors – 1.6%         
  123,600    

Mitsui & Co Ltd, (3)

                                              1,716,025  
      Wireless Telecommunication Services – 2.2%         
  150,450    

SK Telecom Co Ltd, Sponsored ADR

                                              2,447,821  
 

Total Common Stocks (cost $105,528,897)

                                              102,343,712  
Principal
Amount (000)		     Description (1)   Coupon (6)     Reference
Rate (6)		     Spread (6)     Maturity (7)     Ratings (8)      Value  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 31.4% (22.3% of Total Investments) (6)

 

     
      Aerospace & Defense – 0.6%                     
$ 143    

Dynasty Acquisition Co Inc

     4.950%       3-Month LIBOR       3.500%       4/08/26       B      $ 116,246  
  77    

Standard Aero Ltd

     4.950%       3-Month LIBOR       3.500%       4/08/26       B        62,498  
  482    

Transdigm, Inc., Term Loan

     3.239%       1-Month LIBOR       2.250%       12/09/25       Ba3        443,761  
  702    

Total Aerospace & Defense

                                              622,505  
      Airlines – 0.4%         
  485    

American Airlines, Inc., Term Loan B

     2.705%       1-Month LIBOR       2.000%       12/14/23       Ba1        392,608  
      Auto Components – 0.1%         
  149    

Johnson Controls Inc., Term Loan B

     4.441%       1-Month LIBOR       3.500%       4/30/26       BB        137,310  
      Beverages – 0.4%         
  418    

Jacobs Douwe Egberts, Term Loan B

     3.625%       1-Month LIBOR       2.000%       11/01/25       Ba1        394,627  
      Biotechnology – 0.5%         
  623    

Grifols Worldwide Operations USA Inc

     2.684%       1-Week LIBOR       2.000%       11/15/27       Ba2        594,862  
      Building Products – 0.2%         
  232    

Advanced Drainage Systems Inc

     3.813%       1-Month LIBOR       2.250%       9/24/26       Ba1        216,469  
      Capital Markets – 0.4%         
  315    

RPI 2019 Intermediate Finance Trust

     2.739%       1-Month LIBOR       1.750%       2/11/27       BBB–        294,462  
  111    

RPI Intermediate Finance Trust

     2.739%       3-Month LIBOR       1.750%       2/11/27       BBB–        104,528  
  426    

Total Capital Markets

                                              398,990  
      Chemicals – 0.9%         
  561    

Axalta Coating Systems, Term Loan, First Lien

     3.200%       3-Month LIBOR       1.750%       6/01/24       Ba1        535,764  
  387    

H.B. Fuller Company, Term Loan B

     2.773%       1-Month LIBOR       2.000%       10/21/24       BB+        340,507  
  118    

Mineral Technologies, Inc., Term Loan B2

     4.750%       N/A       N/A       5/07/21       BB+        109,421  
  1,066    

Total Chemicals

                                              985,692  
      Commercial Services & Supplies – 1.2%               
  510    

Formula One Group, Term Loan B

     3.500%       1-Month LIBOR       2.500%       2/01/24       B+        460,202  
  517    

GFL Environmental, Term Loan

     3.991%       1-Month LIBOR       3.000%       5/31/25       BB–        504,094  
  100    

Sabert Corp

     5.500%       3-Month LIBOR       4.500%       12/10/26       B        93,000  
  216    

Trans Union LLC

     2.739%       1-Month LIBOR       1.750%       11/13/26       BB+        207,823  
  42    

West Corporation, Incremental Term Loan B1

     4.950%       3-Month LIBOR       3.500%       10/10/24       BB+        31,407  
  1,385    

Total Commercial Services & Supplies

                                              1,296,526  
      Communications Equipment – 1.0%               
  457    

Avaya, Inc., Tranche B Term Loan

     4.955%       1-Month LIBOR       4.250%       12/15/24       BB–        393,734  
  395    

CommScope, Inc., Term Loan B

     4.239%       1-Month LIBOR       3.250%       4/04/26       Ba3        375,576  

 

3

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   Portfolio of Investments    March 31, 2020
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon (6)     Reference
Rate (6)		     Spread (6)     Maturity (7)     Ratings (8)      Value  
      Communications Equipment (continued)               
$ 368    

Univision Communications, Inc., Term Loan C5, (DD1)

     3.750%       1-Month LIBOR       2.750%       3/15/24       B      $ 317,067  
  1,220    

Total Communications Equipment

                                              1,086,377  
      Consumer Finance – 0.3%  
  366    

Verscend Technologies, Tern Loan B

     5.489%       1-Month LIBOR       4.500%       8/27/25       B+        347,687  
      Containers & Packaging – 0.6%               
  349    

Berry Global Inc

     2.863%       3-Month LIBOR       2.000%       10/01/22       BBB–        336,985  
  383    

Reynolds Consumer Products LLC

     3.577%       3-Month LIBOR       1.750%       2/04/27       BB+        363,261  
  732    

Total Containers & Packaging

                                              700,246  
      Diversified Consumer Services – 0.2%  
  247    

Refinitiv, Term Loan B

     4.239%       1-Month LIBOR       3.250%       10/01/25       BB+        238,337  
      Diversified Financial Services – 0.4%               
  337    

Lions Gate Entertainment Corp., Term Loan B

     3.239%       1-Month LIBOR       2.250%       3/24/25       Ba2        307,362  
  223    

Travelport LLC, Term Loan B

     6.072%       3-Month LIBOR       5.000%       5/30/26       B        146,544  
  560    

Total Diversified Financial Services

                                              453,906  
      Diversified Telecommunication Services – 1.8%               
  1,019    

CenturyLink Inc

     3.239%       1-Month LIBOR       2.250%       3/15/27       BB+        957,334  
  500    

Front Range BidCo Inc

     3.989%       1-Month LIBOR       3.000%       3/09/27       B1        475,000  
  40    

Intelsat Jackson Holdings, S.A., Term Loan B4

     6.432%       6-Month LIBOR       4.500%       1/02/24       B1        37,280  
  64    

Intelsat Jackson Holdings, S.A., Term Loan B5

     6.625%       N/A       N/A       1/02/24       B1        60,080  
  494    

Numericable Group S.A., Term Loan B13

     4.705%       1-Month LIBOR       4.000%       8/14/26       B        472,766  
  2,117    

Total Diversified Telecommunication Services

                                              2,002,460  
      Electric Utilities – 0.0%  
  3    

Vistra Operations Co., Term Loan B3

     2.703%       1-Month LIBOR       1.750%       12/31/25       Baa3        2,859  
      Electrical Equipment – 0.4%               
  279    

Avolon TLB Borrower 1 US LLC

     2.273%       1-Month LIBOR       1.500%       2/10/27       Baa2        242,452  
  250    

Vertiv Group Corp

     4.581%       1-Month LIBOR       3.000%       3/02/27       B+        217,500  
  529    

Total Electrical Equipment

                                              459,952  
      Entertainment – 0.5%               
  347    

AMC Entertainment Holdings Inc

     4.080%       1-Month LIBOR       3.000%       4/22/26       BB–        258,322  
  351    

Springer Nature Deutschland GmbH

     4.500%       1-Month LIBOR       3.500%       8/14/24       B2        312,863  
  698    

Total Entertainment

                                              571,185  
      Food Products – 0.7%               
  249    

B&G Foods Inc

     3.489%       1-Month LIBOR       2.500%       10/10/26       BB        234,758  
  500    

Froneri US Inc

     3.239%       1-Month LIBOR       2.250%       1/31/27       B1        480,000  
  749    

Total Food Products

                                              714,758  
      Health Care Providers & Services – 1.6%               
  60    

Air Medical Group Holdings, Inc., Term Loan B

     4.932%       2-Month LIBOR       3.250%       4/28/22       B1        56,190  
  541    

HCA Inc

     2.739%       1-Month LIBOR       1.750%       3/18/26       BBB–        517,076  
  721    

HCA, Inc., Term Loan B10

     2.739%       1-Month LIBOR       1.750%       3/13/25       BBB–        690,569  
  209    

Lifepoint Health, Inc., Term Loan

     4.739%       1-Month LIBOR       3.750%       11/16/25       B+        195,113  
  193    

Millennium Laboratories, Inc., Term Loan B, First Lien, (9)

     7.500%       1-Month LIBOR       6.500%       12/21/20       Caa3        72,835  
  229    

Phoenix Guarantor Inc

     4.113%       1-Month LIBOR       3.250%       3/05/26       B1        209,502  
  1,953    

Total Health Care Providers & Services

                                              1,741,285  
      Health Care Technology – 0.9%               
  748    

Emdeon, Inc., Term Loan

     3.500%       1-Month LIBOR       2.500%       3/01/24       B+        713,821  
  249    

Zelis Payments Buyer Inc

     5.739%       1-Month LIBOR       4.750%       9/30/26       B        231,919  
  997    

Total Health Care Technology

                                              945,740  

 

4

Principal
Amount (000)		     Description (1)   Coupon (6)     Reference
Rate (6)		     Spread (6)     Maturity (7)     Ratings (8)      Value  
      Hotels, Restaurants & Leisure – 3.8%               
$ 876    

1011778 BC ULC

     2.739%       1-Month LIBOR       1.750%       11/19/26       BB+      $ 812,498  
  504    

24 Hour Fitness Worldwide, Inc., Term Loan B

     4.950%       3-Month LIBOR       3.500%       5/31/25       B–        119,005  
  466    

Aramark Corporation, Term Loan

     2.739%       1-Month LIBOR       1.750%       3/11/25       BBB–        439,907  
  82    

Caesars Entertainment Operating Company, Inc., Term Loan B

     2.989%       1-Month LIBOR       2.000%       10/06/24       BB        67,912  
  610    

Caesars Resort Collection, Term Loan, First Lien

     3.739%       1-Month LIBOR       2.750%       12/22/24       BB        499,752  
  496    

Carrols Restaurant Group Inc., Term Loan B

     4.210%       1-Month LIBOR       3.250%       4/30/26       B–        365,364  
  261    

Hilton Hotels, Term Loan B2

     2.697%       1-Month LIBOR       1.750%       6/21/26       BBB–        248,881  
  496    

Marriott Ownership Resorts Inc

     2.739%       1-Month LIBOR       1.750%       8/31/25       BBB–        441,663  
  220    

PCI Gaming Authority

     3.489%       1-Month LIBOR       2.500%       5/31/26       BBB–        182,021  
  610    

Seaworld Parks and Entertainment, Inc., Term Loan B5

     3.989%       1-Month LIBOR       3.000%       3/31/24       B2        508,429  
  483    

YUM Brands, Term Loan B

     2.362%       1-Month LIBOR       1.750%       4/03/25       BBB–        460,954  
  5,104    

Total Hotels, Restaurants & Leisure

                                              4,146,386  
      Household Products – 0.6%  
  740    

Reynolds Group Holdings, Inc., Term Loan, First Lien

     3.739%       1-Month LIBOR       2.750%       2/05/23       B+        704,529  
      Insurance – 0.7%               
  250    

Acrisure LLC

     5.207%       3-Month LIBOR       3.500%       2/15/27       B        223,750  
  348    

Asurion LLC, Term Loan B6

     3.989%       1-Month LIBOR       3.000%       11/03/23       Ba3        335,979  
  200    

BroadStreet Partners Inc

     4.294%       1-Month LIBOR       3.250%       1/27/27       B        178,542  
  798    

Total Insurance

                                              738,271  
      Internet & Direct Marketing Retail – 0.3%  
  290    

Uber Technologies, Inc., Term Loan

     5.000%       1-Month LIBOR       4.000%       4/04/25       B1        273,245  
      IT Services – 0.9%               
  486    

Tempo Acquisition LLC, Term Loan B

     3.739%       1-Month LIBOR       2.750%       5/01/24       B1        441,515  
  157    

West Corporation, Term Loan B

     5.450%       3-Month LIBOR       4.000%       10/10/24       BB–        119,446  
  482    

WEX Inc

     3.239%       1-Month LIBOR       2.250%       5/17/26       Ba2        423,140  
  1,125    

Total IT Services

                                              984,101  
      Life Sciences Tools & Services – 0.2%  
  194    

Inventiv Health, Inc., Term Loan B

     2.739%       1-Month LIBOR       1.750%       8/01/24       BB        187,989  
      Machinery – 0.2%  
  206    

Gates Global LLC, Term Loan B

     3.750%       1-Month LIBOR       2.750%       4/01/24       B1        181,279  
      Marine – 0.1%  
  112    

Harvey Gulf International Marine, Inc., Exit Term Loan

     7.713%       3-Month LIBOR       6.000%       7/02/23       B        64,917  
      Media – 3.7%               
  875    

Cequel Communications LLC, Term Loan B

     2.862%       1-Month LIBOR       2.250%       1/15/26       BB        844,190  
  468    

Charter Communications Operating LLC

     2.740%       1-Month LIBOR       1.750%       2/01/27       BBB–        451,639  
  204    

Cineworld Group PLC, Term Loan B

     3.322%       6-Month LIBOR       2.250%       2/28/25       B        142,553  
  446    

Clear Channel Outdoor Holdings Inc

     4.489%       1-Month LIBOR       3.500%       8/21/26       B+        378,879  
  99    

CSC Holdings LLC, Refinancing Term Loan

     2.862%       1-Month LIBOR       2.250%       7/17/25       BB        95,675  
  120    

Cumulus Media New Holdings Inc

     4.822%       6-Month LIBOR       3.750%       3/31/26       B        97,841  
  476    

iHeartCommunications Inc

     3.989%       1-Month LIBOR       3.000%       5/01/26       BB–        405,808  
  261    

Intelsat Jackson Holdings, S.A., Term Loan B

     5.682%       6-Month LIBOR       3.750%       11/27/23       B1        241,888  
  386    

Meredith Corp

     3.489%       1-Month LIBOR       2.500%       1/31/25       BB        345,313  
  25    

Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien

     3.490%       1-Month LIBOR       2.500%       7/03/25       BB        22,454  
  43    

Nexstar Broadcasting, Inc., Term Loan B3

     3.831%       1-Month LIBOR       2.250%       1/17/24       BB        40,467  
  166    

Nexstar Broadcasting, Inc., Term Loan B3

     3.191%       1-Month LIBOR       2.250%       1/17/24       BB        156,901  
  490    

Sinclair Television Group, Term Loan B2

     3.240%       1-Month LIBOR       2.250%       1/03/24       BB+        472,728  
  149    

Terrier Media Buyer Inc

     5.700%       3-Month LIBOR       4.250%       12/17/26       BB–        135,785  
  257    

WideOpenWest Finance LLC, Term Loan B

     4.250%       1-Month LIBOR       3.250%       8/19/23       B        239,670  
  4,465    

Total Media

                                              4,071,791  
      Multiline Retail – 0.2%  
  245    

EG America LLC, Term Loan, First Lien

     5.072%       6-Month LIBOR       4.000%       2/07/25       B        182,282  

 

5

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   Portfolio of Investments    March 31, 2020
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon (6)     Reference
Rate (6)		     Spread (6)     Maturity (7)     Ratings (8)      Value  
      Oil, Gas & Consumable Fuels – 0.1%  
$ 208    

Fieldwood Energy LLC, Exit Term Loan

     7.027%       3-Month LIBOR       5.250%       4/11/22       BB–      $ 74,146  
  267    

Fieldwood Energy LLC, Exit Term Loan, second Lien

     9.027%       3-Month LIBOR       7.250%       4/11/23       B+        27,248  
  475    

Total Oil, Gas & Consumable Fuels

                                              101,394  
      Pharmaceuticals – 0.6%               
  249    

Endo International PLC

     5.250%       1-Month LIBOR       4.250%       4/29/24       B+        225,670  
  480    

Valeant Pharmaceuticals International, Inc., Term Loan, First Lien

     3.612%       1-Month LIBOR       3.000%       6/02/25       BB        459,416  
  729    

Total Pharmaceuticals

                                              685,086  
      Professional Services – 0.6%               
  299    

ASGN Inc

     2.739%       1-Month LIBOR       1.750%       4/02/25       Ba1        278,575  
  387    

Nielsen Finance LLC, Term Loan B4

     3.005%       1-Month LIBOR       2.000%       10/04/23       BBB–        361,655  
  686    

Total Professional Services

                                              640,230  
      Road & Rail – 0.8%               
  220    

Avolon LLC, Term Loan B

     2.523%       1-Month LIBOR       1.750%       1/15/25       Baa2        198,840  
  233    

Fly Funding II Sarl

     3.480%       N/A       N/A       8/09/25       BBB–        203,727  
  500    

Genesee & Wyoming Inc

     3.450%       3-Month LIBOR       2.000%       12/30/26       BB+        482,502  
  953    

Total Road & Rail

                                              885,069  
      Semiconductors & Semiconductor Equipment – 0.5%               
  144    

Microchip Technology, Inc., Term Loan B

     2.990%       1-Month LIBOR       2.000%       5/29/25       Baa3        139,411  
  442    

MKS Instruments Inc

     2.739%       1-Month LIBOR       1.750%       2/02/26       BB+        403,702  
  586    

Total Semiconductors & Semiconductor Equipment

 

      543,113  
      Software – 2.6%               
  660    

Ellucian, Term Loan B, First Lien

     4.700%       3-Month LIBOR       3.250%       9/30/22       B        633,339  
  248    

Epicor Software Corp., Term Loan, First Lien

     4.250%       1-Month LIBOR       3.250%       6/01/22       N/R        228,444  
  502    

Infor (US), Inc., Term Loan B

     3.750%       1-Month LIBOR       2.750%       2/01/22       Ba3        486,895  
  165    

McAfee LLC, Term Loan B

     4.691%       1-Month LIBOR       3.750%       9/29/24       B        156,229  
  123    

Micro Focus International PLC, New Term Loan

     3.489%       1-Month LIBOR       2.500%       6/21/24       BB        111,605  
  833    

Micro Focus International PLC, Term Loan B

     3.489%       1-Month LIBOR       2.500%       6/21/24       BB        753,697  
  260    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3

     2.739%       1-Month LIBOR       1.750%       4/16/25       BB+        245,795  
  186    

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4

     2.739%       1-Month LIBOR       1.750%       4/16/25       BB+        175,392  
  2,977    

Total Software

                                              2,791,396  
      Specialty Retail – 0.4%               
  98    

Petco Animal Supplies, Inc., Term Loan B1

     5.027%       3-Month LIBOR       3.250%       1/26/23       B2        68,472  
  436    

Petsmart Inc., Term Loan B, First Lien

     5.000%       6-Month LIBOR       4.000%       3/11/22       B        419,593  
  534    

Total Specialty Retail

                                              488,065  
      Technology Hardware, Storage & Peripherals – 1.7%               
  304    

BMC Software, Inc., Term Loan B

     5.239%       1-Month LIBOR       4.250%       10/02/25       B2        255,972  
  705    

Dell International LLC, Refinancing Term Loan B1

     2.990%       1-Month LIBOR       2.000%       9/19/25       Baa3        677,066  
  249    

NCR Corp

     3.490%       1-Month LIBOR       2.500%       8/28/26       BBB–        227,606  
  735    

Western Digital, Term Loan B

     3.353%       3-Month LIBOR       1.750%       4/29/23       BBB–        713,159  
  1,993    

Total Technology Hardware, Storage & Peripherals

 

      1,873,803  
      Trading Companies & Distributors – 0.3%               
  377    

Univar, Inc., Term Loan B

     3.700%       3-Month LIBOR       2.250%       7/01/24       BB+        362,251  
$ 38,246    

Total Variable Rate Senior Loan Interests (cost $38,072,386)

 

                      34,209,578  

 

6

Shares     Description (1)                 Coupon            Ratings (8)      Value  
 

$25 PAR (OR SIMILAR) RETAIL PREFERRED – 5.3% (3.8% of Total Investments)

 

      Banks – 2.7%                                     
  5,000    

Citigroup Inc

         7.125%         BB+      $ 129,450  
  4,625    

CoBank ACB, 144A, (3)

         6.250%         BBB+        453,250  
  3,250    

CoBank ACB, (3)

         6.125%         BBB+        320,190  
  8,622    

Fifth Third Bancorp

         6.625%         Baa3        220,551  
  8,662    

FNB Corp/PA

         7.250%         Ba1        205,636  
  15,475    

Huntington Bancshares Inc/OH

         6.250%         Baa3        378,209  
  5,550    

KeyCorp

         6.125%         Baa3        138,750  
  5,900    

People’s United Financial Inc

         5.625%         BB+        138,414  
  16,344    

Regions Financial Corp

         6.375%         BB+        391,766  
  7,100    

SVB Financial Group

         5.250%         Baa2        162,519  
  16,300    

US Bancorp

                     6.500%               A3        419,888  
 

Total Banks

                                              2,958,623  
      Capital Markets – 0.9%                                     
  15,400    

Charles Schwab Corp

         6.000%         BBB        388,850  
  14,325    

Morgan Stanley

         7.125%         BB+        375,028  
  4,796    

Stifel Financial Corp

         6.250%         BB–        116,626  
  4,650    

Stifel Financial Corp

                     6.250%               BB–        112,623  
 

Total Capital Markets

                                              993,127  
      Consumer Finance – 0.1%                                     
  6,448    

Synchrony Financial

                     5.625%               BB–        110,003  
      Food Products – 0.4%                                     
  8,257    

CHS Inc

         7.875%         N/R        206,425  
  7,632    

CHS Inc

         7.100%         N/R        176,147  
  1,705    

CHS Inc

                     6.750%               N/R        37,970  
 

Total Food Products

                                              420,542  
      Insurance – 0.8%                                     
  18,000    

Athene Holding Ltd

         6.350%         BBB–        408,960  
  10,900    

Enstar Group Ltd

         7.000%         BB+        238,928  
  6,675    

National General Holdings Corp

         7.500%         N/R        123,821  
  4,682    

PartnerRe Ltd

                     7.250%               BBB        116,535  
 

Total Insurance

                                              888,244  
      Thrifts & Mortgage Finance – 0.4%                                     
  14,400    

Federal Agricultural Mortgage Corp

         5.700%         N/R        350,640  
  4,700    

New York Community Bancorp Inc

                     6.375%               Ba2        102,836  
 

Total Thrifts & Mortgage Finance

                                              453,476  
 

Total $25 Par (or similar) Retail Preferred (cost $6,174,304)

 

              5,824,015  
Principal
Amount (000)		     Description (1)                 Coupon     Maturity     Ratings (8)      Value  
      $1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 4.8% (3.4% of Total Investments)         
      Automobiles – 0.1%                                     
$ 215    

General Motors Financial Co Inc

                     6.500%       N/A (10)       BB+      $ 149,963  
      Banks – 3.2%                                     
  300    

Bank of America Corp

         6.500%       N/A (10)       BBB–        316,500  
  70    

Bank of America Corp

         6.300%       N/A (10)       BBB–        73,500  
  350    

CIT Group Inc

         5.800%       N/A (10)       Ba3        304,500  
  350    

Citigroup Inc

         6.250%       N/A (10)       BB+        360,500  
  275    

Citizens Financial Group Inc, (3-Month LIBOR reference rate + 3.960% spread), (11)

         5.500%       N/A (10)       BB+        236,500  
  50    

CoBank ACB, 144A

         6.250%       N/A (10)       BBB+        49,000  
  500    

JPMorgan Chase & Co

         6.750%       N/A (10)       Baa2        522,500  
  450    

M&T Bank Corp

         6.450%       N/A (10)       Baa2        427,140  
  550    

PNC Financial Services Group Inc

         6.750%       N/A (10)       Baa2        519,409  
  225    

Wells Fargo & Co

         5.875%       N/A (10)       Baa2        228,375  

 

7

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   Portfolio of Investments    March 31, 2020
   (Unaudited)

 

Principal
Amount (000)		     Description (1)                 Coupon     Maturity     Ratings (8)      Value  
      Banks (continued)                                     
$ 500    

Zions Bancorp NA

                     7.200%       N/A (10)       BB+      $ 489,055  
  3,620    

Total Banks

                                              3,526,979  
      Capital Markets – 0.1%                                     
  95    

Morgan Stanley

                     5.550%       N/A (10)       BB+        83,556  
      Consumer Finance – 0.6%                                     
  540    

Capital One Financial Corp

         5.550%       N/A (10)       Baa3        466,533  
  175    

Discover Financial Services

                     5.500%       N/A (10)       Ba2        140,000  
  715    

Total Consumer Finance

                                              606,533  
      Diversified Financial Services – 0.2%                                     
  225    

Voya Financial Inc

                     6.125%       N/A (10)       BBB–        203,625  
      Food Products – 0.3%                                     
  300    

Land O’ Lakes Inc, 144A

                     8.000%       N/A (10)       BB        270,000  
      Industrial Conglomerates – 0.1%                                     
  165    

General Electric Co, (4)

                     5.000%       N/A (10)       BBB–        136,125  
      Insurance – 0.2%                                     
  250    

Progressive Corp

                     5.375%       N/A (10)       BBB+        211,630  
$ 5,585    

Total $1,000 Par (or similar) Institutional Preferred (cost $5,641,853)

 

      5,188,411  
Shares     Description (1)                 Coupon            Ratings (8)      Value  
 

CONVERTIBLE PREFERRED SECURITIES – 4.1% (2.9% of Total Investments)

 

   
      Banks – 0.4%                                     
  125    

Bank of America Corp

         7.250%         BBB–      $ 158,253  
  170    

Wells Fargo & Co

                     7.500%               Baa2        216,583  
 

Total Banks

                                              374,836  
      Health Care Technology – 1.0%                                     
  27,480    

Change Healthcare Inc

                     6.000%               N/R        1,118,711  
      Life Sciences Tools & Services – 0.8%                                     
  19,900    

Avantor Inc

                     6.250%               N/R        862,864  
      Semiconductors & Semiconductor Equipment – 1.9%                                     
  2,225    

Broadcom Inc

                     8.000%               N/R        2,078,951  
 

Total Convertible Preferred Securities (cost $5,719,393)

 

              4,435,362  
Shares     Description (1)   Coupon     Issue Price     Cap Price     Maturity             Value  
      STRUCTURED NOTES – 1.2% (0.9% of Total Investments)         
  23,200    

Merrill Lynch International & Co. C.V., Mandatory Exchangeable Note, Linked to Common Stock of Activision Blizzard (Cap 116.71% of Issue Price), 144A, (3)

     10.000%     $ 55.7410     $ 65.0550       5/15/20              $ 1,357,766  
 

Total Structured Notes (cost $1,323,076)

                                              1,357,766  

 

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Principal
Amount (000)		     Description (1)                 Coupon     Maturity     Ratings (8)      Value  
      CORPORATE BONDS – 0.1% (0.0% of Total Investments)                                 
      Media – 0.1%                                     
$ 106    

iHeartCommunications Inc

                     8.375%       5/01/27       B–      $ 90,278  
$ 106    

Total Corporate Bonds (cost $111,093)

 

              90,278  
 

Total Long-Term Investments (cost $162,571,002)

 

                      153,449,122  
 

Borrowings – (35.9)% (12), (13)

 

                      (39,100,000 ) 
 

Other Assets Less Liabilities – (5.1)% (14)

 

                      (5,549,911 ) 
 

Net Assets Applicable to Common Shares – 100%

 

                    $ 108,799,211  

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

 

Counterparty   Notional
Amount		     Fund
Pay/Receive
Floating Rate		     Floating Rate Index     Fixed Rate
(Annualized)		     Fixed Rate
Payment
Frequency		     Effective
Date (15)		     Optional
Termination
Date		     Maturity
Date		     Value     Unrealized
Appreciation
(Depreciation)		  

JPMorgan Chase Bank, N.A.

   $ 41,800,000       Receive       1-Month LIBOR       1.969 %      Monthly       6/01/18       7/01/25       7/01/27     $ (4,497,619 )    $ (4,497,619 ) 

Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

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, credit spreads, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

 

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JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   Portfolio of Investments    March 31, 2020
   (Unaudited)

 

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

      $ 58,056,980      $ 44,273,722      $ 13,010      $ 102,343,712  

Variable Rate Senior Loan Interests

        —        34,209,578        —        34,209,578  

$25 Par (or similar) Retail Preferred

        5,050,575        773,440        —        5,824,015  

$1,000 Par (or similar) Institutional Preferred

        —        5,188,411        —        5,188,411  

Convertible Preferred Securities

        4,435,362        —        —        4,435,362  

Structured Notes

        —        1,357,766        —        1,357,766  

Corporate Bonds

        —        90,278        —        90,278  

Investments in Derivatives:

              

Interest Rate Swaps*

        —        (4,497,619 )       —        (4,497,619 ) 

Total

      $ 67,542,917      $ 81,395,576      $ 13,010      $ 148,951,503  
*

Represents net unrealized appreciation (depreciation).

 

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)

Investment, or portion of investment, has been pledged to collateralized the net payment obligations for investments in derivatives.

 

(3)

For fair value measurement disclosure purposes, investment classified as Level 2.

 

(4)

Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $29,435,102.

 

(5)

Investment 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)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(7)

Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(8)

For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

(9)

Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

 

(10)

Perpetual security. Maturity date is not applicable.

 

(11)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(12)

Borrowings as a percentage of Total Investments is 25.5%.

 

(13)

The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period investments with a value of $97,960,351 have been pledged as collateral for borrowings.

 

(14)

Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable.

 

(15)

Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.

 

144A

Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

ADR

American Depositary Receipt

 

DD1

Portion of investment purchased on a delayed delivery basis.

 

LIBOR

London Inter-Bank Offered Rate

 

N/A

Not applicable

 

10