Washington, D.C. 20549
Gifford R. Zimmerman
Form N-CSR is to be used by
management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of
1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR 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 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. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Closed-End Funds
31 December 2019
Nuveen Closed-End Funds
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JTA
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Nuveen Tax-Advantaged Total Return Strategy Fund
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Beginning on January 1, 2021, as permitted by regulations adopted
by the Securities and Exchange Commission, paper copies of the Funds annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made
available on the Funds website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to
receive shareholder reports and other communications from the Fund electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by
enrolling at www.nuveen.com/e-reports.
You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial
intermediary or, if you are a direct investor, (i) by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on Communication Preferences. Your
election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of
related investment companies.
Annual Report
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It only takes a minute to sign up for e-Reports. Once enrolled, youll receive an e-mail as soon as your Nuveen Fund information is
readyno more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.
Free e-Reports right to your e-mail!
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If you receive your Nuveen Fund dividends and statements from your financial advisor or brokerage account.
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www.nuveen.com/client-access
If you receive your Nuveen Fund dividends and statements directly from Nuveen.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Table of Contents
3
Chairs Letter to Shareholders
Dear Shareholders,
Financial
markets finished 2019 on a high note, despite the challenges of a weak start to the year, a slower global economy and heightened geopolitical risks. While global manufacturing languished, consumers remained resilient amid tight labor markets,
growing wages and tame inflation. Global business sentiment, however, was less optimistic due to trade frictions and weaker global demand. Across advanced economies growth in corporate profits and earnings was subdued in 2019. Nevertheless, the
Federal Reserves (Fed) pivot to easing monetary conditions, along with liquidity provided by other central banks around the world, provided confidence that the economic cycle could be extended. Additionally, the year ended with a reduction in
trade tensions and Brexit uncertainty, although the next phase of U.S.-China trade negotiations are expected to be more challenging and the U.K. has a relatively short transition window in which to redefine its relationship with the European Union.
We continue to anticipate muted economic growth and increased market volatility this year. The U.S. economy held steady in the second half of 2019, although growth
for the year overall moderated from 2018s pace. Consumer confidence remains underpinned by low unemployment and modest wage growth. Looser financial conditions, in part driven by the Feds three interest rate cuts in 2019, have revived
momentum in the housing market and should continue to encourage borrowing by consumers and businesses. Although consumer spending in Europe and Japan, like in the U.S., has remained supported by jobs growth and rising wages, economic growth there
appears more fragile. The COVID-19 coronavirus outbreak poses a new downside risk to the global economy, as disruptions to both demand and production ripple through global supply chains. We are closely monitoring the situation.
At Nuveen, we still see investment opportunities in the maturing economic environment, but we are taking a selective approach. If youre concerned about where the
markets are headed from here, we encourage you to work with your financial advisor to review your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your
trust in the months and years ahead.
Sincerely,
Terence J. Toth
Chair of the Board
February 21, 2020
4
Portfolio Managers Comments
Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
The Fund features portfolio management by two affiliates of Nuveen Fund Advisors, LLC, the Funds investment adviser. The Funds investments in
dividend-paying common and preferred stocks and call options written are managed by NWQ Investment Management Company, LLC (NWQ), while the Funds investments in senior corporate loans and other debt instruments are managed by Symphony Asset
Management LLC (Symphony). James T. Stephenson, CFA, Managing Director of NWQ, along with Thomas J. Ray, CFA, and Susi Budiman, CFA, manage the NWQ portion of the Fund. Scott Caraher and Jenny Rhee manage the Symphony portion of the Fund.
On May 23, 2019, Jenny Rhee was added as a portfolio manager to the Symphony portion of the Nuveen Tax-Advantaged Total
Return Strategy Fund.
Here the portfolio management team reviews U. S. economic and domestic and global markets and their management strategies and the
performance of the Fund for the twelve-month reporting period ended December 31, 2019.
What factors affected the U.S. economy and financial markets
during the twelve-month reporting period ended December 31, 2019?
The U.S. economy reached the tenth year of expansion since the previous recession ended
in June 2009, marking the longest expansion in U.S. history. In the fourth quarter of 2019, gross domestic product (GDP) grew at an annualized rate of 2.1%, according to the advance estimate by the Bureau of Economic Analysis. GDP
measures the value of goods and services produced by the nations economy less the value of the goods and services used up in production, adjusted for price changes. In the final months of the year, the economy was boosted by moderate consumer
spending, along with positive contributions from government spending and trade, which offset weakness in business investment. For 2019 as a whole, U.S. GDP grew 2.3%, a decline from 2.9% in 2018 and the slowest pace since 2016.
Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor
Statistics, the unemployment rate fell to 3.5% in December 2019 from 3.9% in December 2018 and job gains averaged around 176,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at an annualized
rate of 2.9% in December 2019. However, inflation remained subdued. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 2.3% over the twelve-month reporting period ended December 31, 2019 before seasonal adjustment.
This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment
strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be
made based on an investors objectives and circumstances and in consultation with his or her advisors.
Certain statements in this report are
forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio
managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market
and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial
reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poors (S&P), Moodys Investors Service, Inc. (Moodys) or Fitch, Inc. (Fitch). This
treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below
investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
Refer to the Glossary of Terms Used in this Report for
further definition of the terms used within this section.
5
Portfolio Managers Comments (continued)
Low mortgage rates and low inventory drove home prices moderately higher in this reporting period,
despite declining new home sales and housing starts. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 3.5% year-over-year in November 2019 (most recent data available at the time
this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 2.0% and 2.6%, respectively.
As data pointed to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. Although the Fed had indicated in December 2018 that
there could be two more rate hikes in 2019, global growth concerns kept the central bank on the sidelines. As expected by the markets, the Fed left rates unchanged throughout the first half of 2019 while speculation increased that the Feds
next move would be a rate cut. At the July 2019, September 2019 and October 2019 policy committee meetings, the Fed announced a 0.25% cut to its main policy rate. Markets registered disappointment with the Feds explanation that the rate cuts
were a mid-cycle adjustment, rather than a prolonged easing period, and its signal that there would be no additional rate cuts in 2019. Also in the latter half of 2019, the Fed announced it would
stop shrinking its bond portfolio sooner than scheduled, as well as began buying short-term Treasury bills to help money markets operate smoothly and maintain short-term borrowing rates at low levels. Fed Chairman Powell emphasized that the Treasury
bill purchases were not a form of quantitative easing.
During the twelve-month reporting period, geopolitical news remained a prominent market driver. Tariff and
trade policy topped the list of concerns, most prominently the U.S.-China relations. After several rounds of talks, escalating rhetoric from both sides and a series of tariff increases, tensions appeared to ease in the later months of 2019. The U.S.
and China signaled their agreement on a partial trade deal, which included rolling back some tariffs, increasing Chinas purchases of U.S. agriculture products and the consideration of intellectual property, technology and financial services
rights. (Subsequent to the close of the reporting period, the phase one deal was signed on January 15, 2020.) While much of the focus remained on the U.S.-China relationship, trade spats between the U.S. and Mexico, the European
Union, Brazil and Argentina also arose throughout the period. More than a year after the three countries signed onto the U.S., Mexico and Canada Agreement (USMCA) trade deal, which replaces the North American Free Trade Agreement, the U.S. House of
Representatives approved the deal in December 2019 (and, subsequent to the close of the reporting period, the Senate voted in January 2020 to approve it). Global manufacturing and export data continued to show evidence of trade-related slumps, which
increased worries that the slowdown would spread into other segments of the global economy.
The Brexit saga also appeared to make a breakthrough by the end of 2019.
After former Prime Minister Theresa May was unable to secure a Brexit deal by the original March 29, 2019 deadline, she resigned as of June 7, 2019. When her successor, Boris Johnson, failed to meet the EUs first deadline extension
of October 31, 2019, the EU approved a flextension to January 31, 2020. A U.K. general election was scheduled for December 2019, wherein the Conservative Party won a large majority and bolstered Prime Minister Johnsons
mandate to get Brexit done. A few days later, the British Parliament passed the Brexit Bill. In Italy, investors worried about another potential budget clash between the eurosceptic coalition government and the EU. However, following the unexpected
resignation of the prime minister in August 2019, the newly formed coalition government appeared to take a less antagonistic stance. Europe also contended with the yellow vest protests in France, immigration policy concerns, Russian
sanctions and political risk in Turkey.
Elsewhere, anti-government protests erupted across Latin America, Hong Kong and Lebanon during 2019, and Venezuelas
economic and political crisis deepened. In Argentina, markets were shocked by the defeat of incumbent President Macri, prompting concerns about the economic policies favored by the incoming Fernandez administration. Brazils Bolsonaro
administration achieved a legislative win on pension reform and kept the economy on a path of modest growth. Europes traditional centrist parties lost seats in the May 2019 Parliamentary elections and populist parties saw marginal gains. The
ruling parties in India and South Africa maintained their majorities, where slower economic growth could complicate their respective reform mandates.
6
Equity markets experienced solid gains capping off
an impressive reporting period. The Russell 1000® Value Index returned 26.52% for the reporting period its best annual return since 2013. The performance can largely be attributed to the steep
sell-off in December 2018 creating a lower base starting point for 2019 and the change to a more accommodative Fed monetary policy with the Fed reversing from raising rates to lowering rates three times.
Information technology was the best performing sector of the Index during the reporting period, while energy was the worst performing sector during the reporting period. International markets also had a strong reporting period. The MSCI EAFE Index
gained 22.01% and MSCI Emerging Markets Index gained 18.90% for the reporting period.
The preferred markets 2019 return was the best in a decade, only beaten
by the post-financial crisis snap back in 2009. Preferreds performed well throughout the reporting period as investors sought incremental yield and income to offset historically low global interest rates. New issuance for 2019 was approximately
$100.6 billion, which made 2019 the second best year since the Financial Crisis for preferred new issuance. Preferreds outperformed both high yield bonds and investment grade bonds.
For the twelve-month reporting period, the U.S. senior loan market, as measured by the Credit Suisse Leveraged Loan Index (the Index), generated positive
returns each quarter and a solid return of 8.17% for the reporting period. The performance reflected investors positive sentiment towards accommodative monetary policy, solid corporate fundamentals with low default rates, as well as good U.S.
economic growth.
Despite ongoing geopolitical uncertainties, the U.S.-China trade war took many turns during the course of the reporting period, particularly in
May, August and October 2019, creating periodic volatility in the capital markets as investors anxiety over a resolution heightened. Market reaction was most notable in energy prices, with the West Texas Intermediate (WTI) crude oil price
tumbling 14.6% in May 2019 due to perceived disruption in long-term global demand. Further exacerbating market volatility was the increased likelihood of a Hard-Brexit after Theresa Mays resignation as U.K.s prime minister in
July 2019.
Amid global uncertainties, the Fed cut interest rates three times during the course of 2019. While such moves created outflows in loan mutual funds and
exchange-traded funds), it provided support to capital markets and boosted risk asset returns. Additionally, loan issuance declined as most issuers took advantage of investors demand for high yield bonds. In terms of defaults, the default rate
including distressed exchanges increased 44 basis points to 2.18%, well below the historical average of 3.07%.
What key strategies were used to manage the Fund
during this twelve-month reporting period ended December 31, 2019?
The Fund is designed to seek a high level of
after-tax total return consisting primarily of tax-advantaged dividend income and capital appreciation. In pursuit of this objective, the Fund invests a substantial
majority of its assets in common and preferred stocks whose dividends qualify for reduced income tax treatment. The Fund also invests a portion of its assets in senior loans to generate additional income and help mitigate the potential net asset
value and income volatility of the Funds leverage structure due to changes in long-term and short-term interest rates. In an effort to achieve this, the Fund invests at least 60% in common stocks whose dividends may be eligible for favorable
income tax treatment. The Fund also invests to a more limited extent in preferred stocks, which can range from a minimum of 5% to a maximum of 20%, that are eligible to pay tax-advantaged dividends, as well as
20% in senior loans and other debt instruments.
NWQ Key Strategies
For
the common and preferred equity portion of the Funds portfolio, NWQ continued to employ an opportunistic, bottom-up strategy that focused on identifying undervalued companies possessing favorable
risk/reward characteristics as well as what it thought were emerging catalysts that could unlock value or improve profitability. These catalysts
7
Portfolio Managers Comments (continued)
included management changes, restructuring efforts, recognition of hidden assets and/or a positive
change in the underlying fundamentals. NWQ also focused on downside risk management and paid a great deal of attention to a companys balance sheet and cash flow statement, not just the income statement. NWQ believes that cash flow analysis
offers a more objective picture of a companys financial position than an evaluation based on earnings alone.
Within the global equity income strategy managed
by NWQ, up to 70% of the Funds managed assets can be invested in non-U.S. issues of any currency, including up to 20% in emerging market countries. JTAs investment objective is to achieve a high
level of after-tax total return, consisting primarily of tax-advantaged dividend income and capital appreciation. The Fund seeks to obtain a dividend yield above the
MSCI World Index and employs a value based approach in our bottom up analysis. NWQ looks for attractive absolute valuation, positive risk/ reward with downside risk management and catalysts that can drive a positive revaluation of companies.
Symphony Key Strategies
In the senior loan and other debt portion of the
Funds portfolio, Symphony continued to manage and monitor senior loan market risks. The overall macroeconomic backdrop during the reporting period remained supportive of the leveraged loan asset class. The Funds capital remained invested
in issuers with strong credit profiles among non-investment grade debt, while offering attractive current income and yield. Fundamentally, Symphony feels that many of these companies have stable businesses,
good asset coverage for senior debt holders and could perform well in a stable to slow growth environment.
How did the Fund perform during this twelve-month
reporting period ended December 31, 2019?
The table in the Performance Overview and Holding Summaries section of this report provides total returns for the
one-year, five-year and ten-year periods ended December 31, 2019. The Funds total returns at net asset value (NAV) are compared with the performance of a
corresponding market index. For twelve-month reporting period December 31, 2019, the Funds common share at NAV underperformed the S&P 500® Index, but outperformed its secondary
Blended Benchmark.
NWQ
The equity portion of the Funds portfolio,
managed by NWQ contributed to the Funds performance on an absolute basis, but underperformed the broader equity market, as measured by the MSCI World Index. The health care, information technology and utilities sectors were the largest
contributors. This was offset by security selection in the financials, consumer staples and materials sectors. Geographically, performance benefited from an allocation to Japan and greater allocation to the emerging markets. Investments in the
United States, Europe excluding the United Kingdom and the Pacific excluding Japan lagged and were a headwind for the Funds relative return for the reporting period.
Individual holdings that positively contributed to performance included financial sector holding, Citigroup Inc. Citigroup outperformed alongside most large banks as the
company benefited from an improved earnings outlook. The company continues to generate operating leverage and benefit from scale, allowing the company to continue compounding book value faster than peers. Also contributing to performance was
Deutsche Post AG, which performed well as 2019 third quarter results showed improved operating performance across all divisions. The company appears well positioned to beat the 2020 guidance they had laid out in their turnaround plan. This looked
aspirational when they first put it out. An improving economic backdrop and secular growth in e-commerce should continue to drive Deutsch Posts results going forward. Lastly, Nintendo Co. Ltd. positively
contributed to performance as optimism over switch hardware sales rose. Nintendo announced a partnership with Tencent to begin distributing the Nintendo Switch in China at a future date and the company forecasted hardware unit sales of
18 million in Fiscal 2020, an increase of 1 million units year-over-year.
8
Several individual holdings detracted from portfolio
performance, particularly from our financial sector holdings. AIB Group PLC has had difficulty reducing costs prior to Brexit thereby increasing its overall earnings risk. Company valuation, capital return and a strong balance sheet are reasons
the Fund continues holding the stock. NWQ reduced its exposure in the company given the earnings downgrades and continue to monitor the company. Challenger Limited/Australia also detracted from performance coming off a weak fourth quarter 2018 in
which the company lowered earnings expectations due to lower volume growth, lower yield on its investment portfolio and regulatory uncertainty regarding annuities. We eliminated the position during the reporting period. Lastly, energy sector holding
Equitrans Midstream Corp. was another top detractor. The companys stock lagged on increased concerns around leverage, payout sustainability and ability to navigate a challenging 2020 if the Mountain Valley Pipeline project remained in
regulatory limbo. We eliminated the position during the reporting period.
For the preferred portion managed by NWQ, all of NWQs industry holdings contributed
to performance, with the banking, industrials and insurance sectors contributing the most for the reporting period on an absolute basis.
Several individual
positions contributed to absolute performance, including the preferred stock of Discover Financial Services. Discovers preferred stock rebounded during the reporting period after underperforming. Initially, investors were concerned over the
credit trends in the credit card space given the current stage of the economic cycle. Nevertheless, Discover turned in strong quarterly results with solid revenue and loan growth, along with encouraging asset quality trends. In addition, General
Electric Co preferred stock was a top contributor to performance. Spreads of the General Electric preferred stock tightened significantly during the reporting period as management monetized a portion of its Wabtec Corporation stake and announced the
sale of BioPharma to Danaher, as it continued to execute its deleveraging plan. Lastly, Citigroup 6.25% fixed to floating preferred contributed to performance. Citigroup remains a solid overall credit and has made good progress on cost cutting
initiatives to close the profitability gap with peers. The preferred offered an attractive spread pick up versus its senior/subordinated notes and remain wide versus the preferreds of its peers.
Several holdings detracted from absolute performance, including the preferred stock of Centerpoint Energy Inc. Shares fell sharply after the Public Utilities Commission
of Texas (PUCT) discussed Centerpoint Energys outstanding Houston electric rate case that indicated a lower than expected return on equity. Investors expected that there would be potential for significant equity needs if the final decision is
in line with what the PUCT discussed. The Fund continues to hold Centerpoint Energy. Given the decline in interest rates, PartnerRe preferred stock detracted from performance as the shorter duration of the preferred limited its upside potential. The
PartnerRe preferred stock was redeemed by the issuer during the reporting period. Also detracting from performance were the preferred shares of Federal Agricultural Mortgage Corporation. The Federal Agricultural Mortgage Corporation preferred shares
were redeemed by the issuer during the reporting period.
Symphony
The
senior loan portfolio managed by Symphony was positive on a total return basis during the reporting period, outperforming the broader loan market as measured by the Credit Suisse Leveraged Loan Index.
The senior loan portfolio of the Fund is invested predominantly in first-lien, senior secured corporate loans. Symphony generally focuses on issuers that have strong
asset coverage, defensible businesses, and larger loan facilities that offer better secondary market liquidity. The loan portfolio of the Fund was conservatively positioned throughout the reporting period, favoring higher quality loans. The
investment team believed that while credit fundamentals remained sound, the binary outcome of major macro events (U.S.-China trade, Brexit, etc.) increased the potential for downside volatility in the loan market. Being more conservatively
positioned, the strategy generally attributed positively during the first three quarters of the reporting period, as investors concerns around macro risks and global growth were elevated. However, the positioning was less advantageous in the
fourth quarter 2019 when major macro risks subsided and risk assets generally rallied.
9
Portfolio Managers Comments (continued)
In addition to the credit allocation described above, the loan portfolios active underweight
in energy and issuer selection within media/telecom and information technology sectors contributed positively to performance. Within the media/telecom sector, notable attributors included the Spanish-language media operator Univision Communications
and CenturyLink Inc. Within the information technology sector, examples of solid issue selection included loans of SS&C Technologies, Inc. and Micro Focus International PLC. The Fund continues to hold these positions.
Partially offsetting the benefit of the Funds underweight in energy was disappointing issuer selection within the sector. Notably, Fieldwood Energy LLC was a top
detractor for the Fund. In addition to the negative impact from lower oil and gas prices throughout 2019, loans of Fieldwood were lower in the fourth quarter 2019 due to technical headwinds from a large asset manager reducing its exposure to the
loan. Also the Funds exposure to equities received from re-organizations moderately detracted from performance. The Fund continues to hold its position in Fieldwood Energy LLC.
10
Fund Leverage
IMPACT OF THE FUNDS LEVERAGE STRATEGY ON PERFORMANCE
One important factor impacting the returns of the Funds common shares relative to its comparative benchmarks was the Funds use of leverage through bank
borrowings. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than
the interest the Fund earns on its portfolio securities that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.
However, use of leverage can expose Fund common shares to additional price volatility. When the Fund uses leverage, the Funds common shares will experience a
greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage
decline in value, which will make the shares net asset value more volatile, and total return performance more variable, over time.
In addition, common share
income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the
overall movement of short-term tax-exempt interest rates. While fund leverage expenses are somewhat higher than their all-time lows after the 2007-2009 financial crisis,
which has contributed to a reduction in common share net income and long-term total return potential, leverage nevertheless continues to provide the opportunity for incremental common share income. Management believes that the potential benefits
from leverage continue to outweigh the associated increase in risk and volatility previously described.
The Funds use of leverage had a positive impact on
total return performance during this reporting period.
The Fund continued to utilize forward starting interest rate swap contracts to partially hedge its future
interest cost of leverage, which as mentioned previously, is through the use of bank borrowings. The swap contracts had a negative impact on total return performance during this reporting period.
As of December 31, 2019, the Funds percentages of leverage are as shown in the accompanying table.
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JTA
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Effective Leverage*
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30.26
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%
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Regulatory Leverage*
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30.26
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%
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*
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Effective leverage is the Funds effective economic leverage, and includes both regulatory leverage and the leverage
effects of certain derivative and other investments in a Funds portfolio that increase the Funds investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of the Fund. Both of these are part of the
Funds capital structure. The Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings
are excluded from the calculation of the Funds effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.
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THE FUNDS REGULATORY LEVERAGE
Bank Borrowings
As noted above, the Fund employs leverage through the use of bank borrowings. The Funds bank borrowing activities are as shown in the accompanying table.
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Current Reporting Period
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Subsequent to the Close of
the Reporting Period
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January 1, 2019
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Draws
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Paydowns
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December 31, 2019
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Average Balance
Outstanding
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Draws
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Paydowns
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February 27, 2020
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$72,500,000
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$3,400,000
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$
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$75,900,000
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$72,546,575
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$
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$
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$75,900,000
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Refer to Notes to Financial Statements, Note 9 Borrowing Arrangements for further details.
11
Common Share Information
DISTRIBUTION INFORMATION
The following information regarding the Funds distributions is current as of December 31, 2019, the Funds fiscal and tax year end, and may differ from
previously issued distribution notifications. The Funds distribution levels may vary over time b as ed on the Funds investment activities and portfolio investment value changes.
The Fund has adopted a managed distribution program. The goal of the Funds managed distribution program is to provide shareholders relatively consistent and
predictable cash flow by systematically converting its expected long-term return potential into regular distributions. As a result, regular distributions throughout the year will likely include a portion of expected long-term and/or short-term gains
(both realized and unrealized), along with net investment income.
Important points to understand about Nuveen fund managed distributions are:
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The Fund seeks to establish a relatively stable common share distribution rate that roughly corresponds to the projected
total return from its investment strategy over an extended period of time. However, you should not draw any conclusions about the Funds past or future investment performance from its current distribution rate.
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Actual common share returns will differ from projected long-term returns (and therefore the Funds distribution rate),
at least over shorter time periods. Over a specific timeframe, the difference between actual returns and total distributions will be reflected in an increasing (returns exceed distributions) or a decreasing (distributions exceed returns) Fund net
asset value.
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Each periods distributions are expected to be paid from some or all of the following sources:
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net investment income consisting of regular interest and dividends,
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net realized gains from portfolio investments, and
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unrealized gains, or, in certain cases, a return of principal (non-taxable distributions).
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A non-taxable distribution is a payment of a portion of the Funds capital. When the Funds returns exceed
distributions, it may represent portfolio gains generated, but not realized as a taxable capital gain. In periods when the Funds returns fall short of distributions, it will represent a portion of your original principal unless the shortfall
is offset during other time periods over the life of your investment (previous or subsequent) when the Funds total return exceeds distributions.
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Because distribution source estimates are updated throughout the current fiscal year based on the Funds performance,
these estimates may differ from both the tax information reported to you in the Funds 1099 statement, as well as the ultimate economic sources of distributions over the life of your investment.
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The following table provides information regarding the Funds distributions and total return performance over various time periods. This information is intended to
help you better understand whether the Funds returns for the specified time periods were sufficient to meet its distributions.
Data as of December 31,
2019
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Per Share
Regular Distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized Total
Return on NAV
|
|
Inception Date
|
|
Latest
Quarter
|
|
|
Total
Current
Year
|
|
|
Total
Current
Year
Net
Investment
Income
|
|
|
Total
Current
Year
Net
Realized
Gain/Loss
|
|
|
Current
Unrealized
Gain/Loss
|
|
|
Current
Distribution
Rate on NAV1,3
|
|
|
Actual
Full
Year
Distribution
Rate
on
NAV2,3
|
|
|
1-Year
|
|
|
5-Year
|
|
01/2004
|
|
|
$0.2400
|
|
|
|
$0.9600
|
|
|
|
$0.4197
|
|
|
|
$(0.1068)
|
|
|
|
$2.2498
|
|
|
|
7.60%
|
|
|
|
7.60%
|
|
|
|
26.86%
|
|
|
|
5.39%
|
|
1
|
Current distribution per share, annualized, divided by the NAV per share on the stated date.
|
2
|
Actual total per share distributions made during the full fiscal year, divided by the NAV per share on the stated date.
|
3
|
Each distribution rate represents a managed distribution rate. For this Fund, at least in the just completed
fiscal year, distributions were predominately comprised of sources other than net investment income, as shown in the table immediately below.
|
12
The following table provides the Funds
distribution sources as of December 31, 2019.
The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not
being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year-end. More
details about the Funds distributions and the basis for these estimates are available on www.nuveen.com/cef.
Data as of December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fiscal Year Source of Distribution
|
|
|
Fiscal Year Per Share Amounts
|
|
Net
Investment
Income
|
|
|
Realized
Gains
|
|
|
Return of
Capital1
|
|
|
Distributions
|
|
|
Net
Investment
Income
|
|
|
Realized
Gains
|
|
|
Return
of
Capital1
|
|
|
47.90%
|
|
|
|
0.00%
|
|
|
|
52.10%
|
|
|
|
$0.9600
|
|
|
|
$0.4598
|
|
|
|
$0.0000
|
|
|
|
$0.5002
|
|
1
|
Return of capital may represent unrealized gains, return of shareholder's principal, or both. In certain circumstances,
all or a portion of the return of capital may be characterized as ordinary income under federal tax law. The actual tax characterization will be provided to shareholders on Form 1099-DIV shortly after calendar year-end.
|
CHANGE IN METHOD OF PUBLISHING NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS
Beginning on or about November 1, 2019, the Nuveen Closed-End Funds will be discontinuing the practice of announcing Fund
distribution amounts and timing via press release. Instead, information about the Nuveen Closed-End Funds monthly and quarterly periodic distributions to shareholders will be posted and can be found on
Nuveens enhanced closed-end fund resource page, which is at www.nuveen.com/closed-end-fund-distributions, along with other
Nuveen closed-end fund product updates. Shareholders can expect regular distribution information to be posted on www.nuveen.com on the first business day of each month. To ensure that our shareholders have
timely access to the latest information, a subscribe function can be activated at this link here, or at this web page
(www.nuveen.com/en-us/people/about-nuveen/for-the-media).
COMMON SHARE REPURCHASES
During August 2019, the Funds Board of
Trustees reauthorized an open-market share repurchase program, allowing the Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.
As
of December 31, 2019, and since the inception of the Funds repurchase program, the Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.
|
|
|
|
|
|
|
JTA
|
|
Common shares cumulatively repurchased and retired
|
|
|
122,745
|
|
Common shares authorized for repurchase
|
|
|
1,385,000
|
|
During the current reporting period, the Fund did not repurchase any of its outstanding common shares.
OTHER COMMON SHARE INFORMATION
As of December 31, 2019, and during the
current reporting period, the Funds common share price was trading at a premium/(discount) to its common share NAV as shown in the accompanying table.
|
|
|
|
|
|
|
JTA
|
|
Common share NAV
|
|
|
$12.63
|
|
Common share price
|
|
|
$12.07
|
|
Premium/(Discount) to NAV
|
|
|
(4.43
|
)%
|
12-month average premium/(discount) to NAV
|
|
|
(4.24
|
)%
|
13
Risk Considerations and Investment Policy Updates
Risk Considerations
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance
Corporation.
Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Funds investment objectives will be achieved. Closed-end fund
shares may frequently trade at a discount or premium to their net asset value. Common stock returns often have experienced significant volatility. Adjustable Rate Senior Loans may not be fully secured by collateral, generally do not
trade on exchanges, and are typically issued by unrated or below-investment grade companies, and therefore are subject to greater liquidity and credit risk. Lower credit debt securities may be more likely to fail to make timely interest or
principal payments. Leverage increases return volatility and magnifies the Funds potential return and its risks; there is no guarantee a funds leverage strategy will be successful. For these and other risks, including tax risk,
please see the Funds web page at www.nuveen.com/JTA.
Investment Policy Updates
Change in Investment Policy
The Fund has recently adopted the following
policy regarding limits to investments in illiquid securities:
While there are no such limits imposed by applicable regulations, certain Nuveen Closed-End Funds formerly had investment policies that placed limits on the Funds ability to invest in illiquid securities. All exchange-listed Nuveen Closed-End Funds now have no formal limit on their ability
to invest in such illiquid securities, but the Funds portfolio management team will monitor such investments in the regular, overall management of the Funds portfolio securities.
14
THIS PAGE INTENTIONALLY LEFT BLANK
15
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
Performance Overview and Holding Summaries as of December 31, 2019
|
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within
this section.
Average Annual Total Returns as of December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Annual
|
|
|
|
1-Year
|
|
|
5-Year
|
|
|
10-Year
|
|
JTA at Common Share NAV
|
|
|
26.86%
|
|
|
|
5.39%
|
|
|
|
8.83%
|
|
JTA at Common Share Price
|
|
|
29.05%
|
|
|
|
6.68%
|
|
|
|
9.85%
|
|
Blended Benchmark1
|
|
|
21.32%
|
|
|
|
7.09%
|
|
|
|
9.35%
|
|
S&P 500® Index
|
|
|
31.49%
|
|
|
|
11.70%
|
|
|
|
13.56%
|
|
Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not
reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses and assume reinvestment of distributions. Comparative index return information is
provided for the Funds shares at NAV only. Indexes are not available for direct investment.
Common Share Price Performance Weekly Closing Price
1
|
The Blended Benchmark consists of: 1) 72% of the return of the MSCI World Index, 2) 8% of the return of the
BofAML DRD (dividends received deduction) Eligible Preferred Securities Index and 3) 20% of the return of the Credit Suisse Leveraged Loan Index.
|
16
This data relates to the securities held in the
Funds portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poors Group,
Moodys Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment
grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
Fund Allocation
(% of net
assets)
|
|
|
|
|
Common Stocks
|
|
|
102.0%
|
|
Variable Rate Senior Loan Interests
|
|
|
24.2%
|
|
$25 Par (or similar) Retail Preferred
|
|
|
5.6%
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
|
5.3%
|
|
Convertible Preferred Securities
|
|
|
2.9%
|
|
Structured Notes
|
|
|
1.5%
|
|
Corporate Bonds
|
|
|
0.1%
|
|
Common Stock Right
|
|
|
0.0%
|
|
Warrants
|
|
|
0.0%
|
|
Repurchase Agreements
|
|
|
1.6%
|
|
Investment Companies
|
|
|
1.2%
|
|
Other Assets Less Liabilities
|
|
|
(1.0)%
|
|
Net Assets Plus Borrowings
|
|
|
143.4%
|
|
Borrowings
|
|
|
(43.4)%
|
|
Net Assets
|
|
|
100%
|
|
Portfolio Credit Quality
(% of total
fixed-income investments)
|
|
|
|
|
A
|
|
|
0.8%
|
|
BBB
|
|
|
31.1%
|
|
BB or Lower
|
|
|
58.8%
|
|
N/R (not rated)
|
|
|
9.3%
|
|
Total
|
|
|
100%
|
|
Portfolio Composition
(% of
total investments)
|
|
|
|
|
Banks
|
|
|
13.8%
|
|
Pharmaceuticals
|
|
|
8.6%
|
|
Insurance
|
|
|
7.0%
|
|
Oil, Gas & Consumable Fuels
|
|
|
6.9%
|
|
Software
|
|
|
4.9%
|
|
Capital Markets
|
|
|
4.5%
|
|
Multi-Utilities
|
|
|
3.8%
|
|
Media
|
|
|
3.4%
|
|
Diversified Telecommunication Services
|
|
|
3.0%
|
|
Semiconductors & Semiconductor Equipment
|
|
|
3.0%
|
|
Airlines
|
|
|
2.3%
|
|
Air Freight & Logistics
|
|
|
2.2%
|
|
Entertainment
|
|
|
2.2%
|
|
Technology Hardware, Storage & Peripherals
|
|
|
2.2%
|
|
Hotels, Restaurants & Leisure
|
|
|
2.1%
|
|
Wireless Telecommunication Services
|
|
|
1.9%
|
|
Equity Real Estate Investment Trust
|
|
|
1.8%
|
|
Chemicals
|
|
|
1.7%
|
|
Trading Companies & Distributors
|
|
|
1.6%
|
|
Biotechnology
|
|
|
1.5%
|
|
Repurchase Agreements
|
|
|
1.1%
|
|
Investment Companies
|
|
|
0.8%
|
|
Other
|
|
|
19.7%
|
|
Total
|
|
|
100%
|
|
Top Five Issuers
(% of
total investments)
|
|
|
|
|
Citigroup Inc
|
|
|
2.9%
|
|
Enterprise Products Parners LP
|
|
|
2.8%
|
|
GlaxoSmithKline PLC
|
|
|
2.3%
|
|
Deutsche Post AG
|
|
|
2.3%
|
|
Delta Air Lines Inc
|
|
|
2.1%
|
|
Country Allocation
(% of total
investments)
|
|
|
|
|
United States
|
|
|
55.8%
|
|
Germany
|
|
|
9.6%
|
|
Japan
|
|
|
8.1%
|
|
United Kingdom
|
|
|
6.5%
|
|
France
|
|
|
4.6%
|
|
South Korea
|
|
|
2.9%
|
|
Bermuda
|
|
|
2.2%
|
|
Spain
|
|
|
2.2%
|
|
Netherlands
|
|
|
1.7%
|
|
Other
|
|
|
6.4%
|
|
Total
|
|
|
100%
|
|
17
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
Nuveen Tax-Advantaged Total Return Strategy Fund:
Opinion on the
Financial Statements
We have audited the accompanying statement of assets and liabilities of Nuveen Tax-Advantaged Total Return Strategy Fund (the Fund),
including the portfolio of investments, as of December 31, 2019, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the
related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects,
the financial position of the Fund as of December 31, 2019, the results of its operations and cash flows for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for
each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance
with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in
accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to
error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2019, by
correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more Nuveen investment companies since 2014.
Chicago, Illinois
February 27, 2020
18
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return
Strategy Fund
Portfolio of
Investments December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
LONG-TERM INVESTMENTS 141.6% (98.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS 102.0% (70.7% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,000
|
|
|
Thales SA, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,456,767
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 3.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
149,805
|
|
|
Deutsche Post AG, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,696,208
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 3.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
92,382
|
|
|
Delta Air Lines Inc, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,402,499
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 13.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
885,786
|
|
|
AIB Group PLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,086,078
|
|
|
85,305
|
|
|
Bank of America Corp
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,004,442
|
|
|
63,945
|
|
|
Bank of NT Butterfield & Son Ltd, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,367,244
|
|
|
81,400
|
|
|
Citigroup Inc, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,503,046
|
|
|
334,707
|
|
|
ING Groep NV, Sponsored ADR, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,033,219
|
|
|
22,432
|
|
|
JPMorgan Chase & Co
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,127,021
|
|
|
1,853,130
|
|
|
Unicaja Banco SA,144A, (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,012,139
|
|
|
|
|
|
Total Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,133,189
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,821
|
|
|
Gilead Sciences Inc, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,107,409
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 4.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,180
|
|
|
AURELIUS Equity Opportunities SE & Co KGaA, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,937,416
|
|
|
552,060
|
|
|
Daiwa Securities Group Inc, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,787,025
|
|
|
181,660
|
|
|
Deutsche Boerse AG, ADR, (2), (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,830,263
|
|
|
|
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,554,704
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 1.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,581
|
|
|
DuPont de Nemours Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,247,300
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 3.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,652
|
|
|
Nippon Telegraph & Telephone Corp, ADR, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,709,426
|
|
|
236,194
|
|
|
Telefonica Brasil SA, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,413,851
|
|
|
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
6,123,277
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,120
|
|
|
FirstEnergy Corp, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,873,232
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 1.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,200
|
|
|
Eaton Corp PLC, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,955,264
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,683
|
|
|
Transocean Ltd
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,339
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment 2.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,808
|
|
|
Nintendo Co Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,122,689
|
|
|
|
|
|
|
|
|
|
|
|
Equity Real Estate Investment Trust 2.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
121,250
|
|
|
MGM Growth Properties LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,755,112
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,594
|
|
|
Millennium Health LLC, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40
|
|
|
6,140
|
|
|
Millennium Health LLC, (4), (5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,779
|
|
|
5,767
|
|
|
Millennium Health LLC, (4), (5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,790
|
|
|
|
|
|
Total Health Care Providers &
Services
|
|
|
|
12,609
|
|
19
|
|
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
(continued)
|
|
Portfolio of Investments December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables 1.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125,800
|
|
|
Sekisui House Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,686,440
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,940
|
|
|
Henkel AG & Co KGaA, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,163,112
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,895
|
|
|
Siemens AG, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,728,710
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 8.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,903
|
|
|
Ageas, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,133,545
|
|
|
111,139
|
|
|
Allianz SE, Sponsored ADR, (2), (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,690,675
|
|
|
63,435
|
|
|
CNA Financial Corp, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,842,522
|
|
|
126,990
|
|
|
Old Republic International Corp
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,840,766
|
|
|
14,405
|
|
|
RenaissanceRe Holdings Ltd, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,823,668
|
|
|
|
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,331,176
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 1.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
113,300
|
|
|
Komatsu Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,719,363
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
262
|
|
|
HGIM Corp, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,555
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,326
|
|
|
Clear Channel Outdoor Holdings Inc, (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,572
|
|
|
5,025
|
|
|
Cumulus Media Inc, (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
88,289
|
|
|
10,344
|
|
|
iHeartMedia Inc, (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
174,814
|
|
|
2,099
|
|
|
Metro-Goldwyn-Mayer Inc, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
159,524
|
|
|
3,185
|
|
|
Tribune Co, (5)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
702
|
|
|
62,800
|
|
|
ViacomCBS Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,635,716
|
|
|
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,128,617
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 3.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
301,901
|
|
|
National Grid PLC, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,772,906
|
|
|
107,586
|
|
|
Veolia Environnement SA, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,862,686
|
|
|
|
|
|
Total Multi-Utilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,635,592
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 9.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,354
|
|
|
Chevron Corp, (14)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,898,980
|
|
|
251,640
|
|
|
Enterprise Products Partners LP, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,086,182
|
|
|
145,777
|
|
|
Equitrans Midstream Corp
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,947,581
|
|
|
72,589
|
|
|
TOTAL SA, Sponsored ADR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,014,172
|
|
|
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,946,915
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 12.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,713
|
|
|
AstraZeneca PLC, Sponsored ADR, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,877,570
|
|
|
36,410
|
|
|
Bayer AG, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,960,009
|
|
|
58,615
|
|
|
Bristol-Myers Squibb Co
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,762,497
|
|
|
126,210
|
|
|
GlaxoSmithKline PLC, Sponsored ADR, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,930,608
|
|
|
52,775
|
|
|
Roche Holding AG, Sponsored ADR, (2), (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,145,832
|
|
|
33,145
|
|
|
Sanofi, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,328,667
|
|
|
|
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,005,183
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
452,850
|
|
|
Great Eagle Holdings Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,525,835
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 3.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,118
|
|
|
Broadcom Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,881,470
|
|
|
77,920
|
|
|
Cypress Semiconductor Corp
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,817,874
|
|
|
82,690
|
|
|
Infineon Technologies AG, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,868,326
|
|
|
|
|
|
Total Semiconductors & Semiconductor
Equipment
|
|
|
|
6,567,670
|
|
20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 4.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,306
|
|
|
Microsoft Corp, (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,621,556
|
|
|
70,370
|
|
|
Oracle Corp
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,728,203
|
|
|
|
|
|
Total Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,349,759
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 1.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,034,780
|
|
|
Kingfisher PLC, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,978,850
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,000
|
|
|
Samsung Electronics Co Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,092,996
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,125
|
|
|
Philip Morris International Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,308,066
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 2.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
208,700
|
|
|
Mitsui & Co Ltd, (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,709,751
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 2.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178,270
|
|
|
SK Telecom Co Ltd, Sponsored ADR
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,119,820
|
|
|
|
|
|
Total Common Stocks (cost $147,323,661)
|
|
|
|
178,466,008
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
Coupon (6)
|
|
|
Reference
Rate (6)
|
|
|
Spread (6)
|
|
|
Maturity (7)
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
VARIABLE RATE SENIOR LOAN INTERESTS 24.2% (16.8% of Total Investments)
(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
483
|
|
|
Transdigm, Inc., Term Loan F
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
6/09/23
|
|
|
|
Ba3
|
|
|
$
|
485,047
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
485
|
|
|
American Airlines, Inc., Term Loan B
|
|
|
3.740%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
12/14/23
|
|
|
|
BB+
|
|
|
|
487,360
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150
|
|
|
Johnson Controls Inc., Term Loan B
|
|
|
5.305%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.500%
|
|
|
|
4/30/26
|
|
|
|
Ba3
|
|
|
|
150,420
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
418
|
|
|
Jacobs Douwe Egberts, Term Loan B
|
|
|
3.750%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
11/01/25
|
|
|
|
Ba1
|
|
|
|
420,292
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
625
|
|
|
Grifols, Inc., Term Loan B, First Lien
|
|
|
3.740%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
11/15/27
|
|
|
|
BB+
|
|
|
|
631,087
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
232
|
|
|
Advanced Drainage Systems, Term Loan B
|
|
|
4.000%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
7/31/26
|
|
|
|
Ba1
|
|
|
|
234,658
|
|
|
432
|
|
|
Quikrete Holdings, Inc., Term Loan B
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
11/15/23
|
|
|
|
BB
|
|
|
|
434,834
|
|
|
664
|
|
|
Total Building Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
669,492
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
460
|
|
|
RPI Finance Trust, Term Loan B6
|
|
|
3.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
3/27/23
|
|
|
|
BBB
|
|
|
|
464,233
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
643
|
|
|
Axalta Coating Systems, Term Loan, First Lien
|
|
|
3.695%
|
|
|
|
3-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
6/01/24
|
|
|
|
BBB
|
|
|
|
645,830
|
|
|
390
|
|
|
H.B. Fuller Company, Term Loan B
|
|
|
3.765%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
10/22/24
|
|
|
|
BB+
|
|
|
|
391,492
|
|
|
118
|
|
|
Mineral Technologies, Inc., Term Loan B2
|
|
|
4.750%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
5/07/21
|
|
|
|
BB+
|
|
|
|
118,589
|
|
|
1,151
|
|
|
Total Chemicals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,155,911
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
510
|
|
|
Formula One Group, Term Loan B
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
2/01/24
|
|
|
|
B+
|
|
|
|
512,984
|
|
|
499
|
|
|
GFL Environmental, Term Loan, (WI/DD)
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
B+
|
|
|
|
500,380
|
|
|
100
|
|
|
Sabert Corporation, Initial Term Loan
|
|
|
6.250%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.500%
|
|
|
|
12/10/26
|
|
|
|
B
|
|
|
|
101,042
|
|
|
216
|
|
|
Trans Union LLC, Term Loan B5
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
11/16/26
|
|
|
|
BB+
|
|
|
|
217,283
|
|
|
42
|
|
|
West Corporation, Incremental Term Loan B1
|
|
|
5.427%
|
|
|
|
3-Month LIBOR
|
|
|
|
3.500%
|
|
|
|
10/10/24
|
|
|
|
B2
|
|
|
|
35,462
|
|
|
1,367
|
|
|
Total Commercial Services &
Supplies
|
|
|
|
1,367,151
|
|
21
|
|
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
(continued)
|
|
Portfolio of Investments December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
Coupon (6)
|
|
|
Reference
Rate (6)
|
|
|
Spread (6)
|
|
|
Maturity (7)
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
457
|
|
|
Avaya, Inc., Term Loan B
|
|
|
5.990%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.250%
|
|
|
|
12/15/24
|
|
|
|
B
|
|
|
$
|
449,314
|
|
|
396
|
|
|
CommScope, Inc., Term Loan B
|
|
|
5.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
4/06/26
|
|
|
|
Ba3
|
|
|
|
399,309
|
|
|
527
|
|
|
Univision Communications, Inc., Term Loan C5
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
3/15/24
|
|
|
|
B
|
|
|
|
521,644
|
|
|
1,380
|
|
|
Total Communications Equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,370,267
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
367
|
|
|
Verscend Technologies, Tern Loan B
|
|
|
6.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.500%
|
|
|
|
8/27/25
|
|
|
|
B+
|
|
|
|
370,278
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
349
|
|
|
Berry Global, Inc., Term Loan W
|
|
|
3.715%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
10/01/22
|
|
|
|
BBB
|
|
|
|
351,106
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
247
|
|
|
Refinitiv, Term Loan B
|
|
|
5.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
10/19/25
|
|
|
|
B
|
|
|
|
249,913
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
236
|
|
|
Fly Funding II
S.a r.l., Replacement Term Loan
|
|
|
3.650%
|
|
|
|
3-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
8/09/25
|
|
|
|
BBB
|
|
|
|
237,003
|
|
|
500
|
|
|
Genesee & Wyoming Inc., Term Loan, First Lien
|
|
|
3.906%
|
|
|
|
3-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
11/06/26
|
|
|
|
BB
|
|
|
|
505,445
|
|
|
338
|
|
|
Lions Gate Entertainment Corp., Term Loan B
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
3/24/25
|
|
|
|
Ba2
|
|
|
|
337,896
|
|
|
249
|
|
|
Travelport LLC, Term Loan B
|
|
|
6.945%
|
|
|
|
3-Month LIBOR
|
|
|
|
5.000%
|
|
|
|
5/29/26
|
|
|
|
B+
|
|
|
|
233,914
|
|
|
1,323
|
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,314,258
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
980
|
|
|
CenturyLink, Inc., Term Loan B
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
1/31/25
|
|
|
|
BBB
|
|
|
|
985,513
|
|
|
40
|
|
|
Intelsat Jackson Holdings, S.A., Term Loan B4
|
|
|
6.432%
|
|
|
|
6-Month LIBOR
|
|
|
|
4.500%
|
|
|
|
1/02/24
|
|
|
|
B1
|
|
|
|
40,443
|
|
|
64
|
|
|
Intelsat Jackson Holdings, S.A., Term Loan B5
|
|
|
6.625%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
1/02/24
|
|
|
|
B1
|
|
|
|
64,995
|
|
|
495
|
|
|
Numericable Group S.A., Term Loan B13
|
|
|
5.740%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
8/14/26
|
|
|
|
B
|
|
|
|
496,908
|
|
|
1,579
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,587,859
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366
|
|
|
Vistra Operations Co., Term Loan B3
|
|
|
3.537%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
12/13/25
|
|
|
|
BBB
|
|
|
|
368,253
|
|
|
|
|
|
|
|
|
|
|
|
|
Entertainment 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
499
|
|
|
AMC Entertainment, Inc., Term Loan B
|
|
|
4.800%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.000%
|
|
|
|
4/22/26
|
|
|
|
Ba2
|
|
|
|
503,375
|
|
|
|
|
|
|
|
|
|
|
|
Equity Real Estate Investment Trust 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
320
|
|
|
Communications Sales & Leasing, Inc., Shortfall Term Loan
|
|
|
6.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
5.000%
|
|
|
|
10/24/22
|
|
|
|
Caa1
|
|
|
|
314,858
|
|
|
529
|
|
|
MGM Growth Properties, Term Loan B
|
|
|
3.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
3/21/25
|
|
|
|
BB+
|
|
|
|
532,023
|
|
|
849
|
|
|
Total Equity Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
846,881
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
260
|
|
|
Albertsons LLC, Term Loan B7
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
11/17/25
|
|
|
|
BB
|
|
|
|
262,741
|
|
|
567
|
|
|
US Foods, Inc., New Term Loan
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
6/27/23
|
|
|
|
BB+
|
|
|
|
569,747
|
|
|
827
|
|
|
Total Food & Staples Retailing
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
832,488
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
249
|
|
|
B&G Foods Inc., Term Loan, First Lien
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
10/10/26
|
|
|
|
BB
|
|
|
|
251,869
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60
|
|
|
Air Medical Group Holdings, Inc., Term Loan B
|
|
|
5.035%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
4/28/22
|
|
|
|
B1
|
|
|
|
59,204
|
|
|
230
|
|
|
Brightspring Health, Term Loan B
|
|
|
6.210%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.500%
|
|
|
|
3/05/26
|
|
|
|
B1
|
|
|
|
231,753
|
|
|
542
|
|
|
HCA, Inc., Term Loan B13
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
3/18/26
|
|
|
|
BBB
|
|
|
|
546,111
|
|
|
723
|
|
|
HCA, Inc., Term Loan B12
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
3/13/25
|
|
|
|
BBB
|
|
|
|
727,416
|
|
|
250
|
|
|
Lifepoint Health, Inc., Term Loan
|
|
|
6.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.500%
|
|
|
|
11/16/25
|
|
|
|
B+
|
|
|
|
251,710
|
|
|
219
|
|
|
Millennium Laboratories, Inc., Term Loan B, First Lien
|
|
|
8.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
6.500%
|
|
|
|
12/21/20
|
|
|
|
Caa3
|
|
|
|
107,922
|
|
|
2,024
|
|
|
Total Health Care Providers &
Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,924,116
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
754
|
|
|
Emdeon, Inc., Term Loan
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
3/01/24
|
|
|
|
B+
|
|
|
|
758,097
|
|
|
250
|
|
|
Zelis, Term Loan B
|
|
|
6.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.750%
|
|
|
|
9/30/26
|
|
|
|
B
|
|
|
|
251,694
|
|
|
1,004
|
|
|
Total Health Care Technology
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,009,791
|
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
Coupon (6)
|
|
|
Reference
Rate (6)
|
|
|
Spread (6)
|
|
|
Maturity (7)
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure 3.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
505
|
|
|
24 Hour Fitness Worldwide, Inc., Term Loan B
|
|
|
5.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.500%
|
|
|
|
5/30/25
|
|
|
|
B
|
|
|
$
|
385,445
|
|
|
466
|
|
|
Aramark Corporation, Term Loan
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
3/11/25
|
|
|
|
BBB
|
|
|
|
468,955
|
|
|
1,071
|
|
|
Burger King Corporation, Term Loan B4, (DD1)
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
11/19/26
|
|
|
|
BB+
|
|
|
|
1,073,241
|
|
|
83
|
|
|
Caesars Entertainment Operating Company, Inc., Term Loan B
|
|
|
3.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
10/06/24
|
|
|
|
BB
|
|
|
|
83,250
|
|
|
611
|
|
|
Caesars Resort Collection, Term Loan, First Lien
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
12/23/24
|
|
|
|
BB
|
|
|
|
612,986
|
|
|
497
|
|
|
Carrols Restaurant Group Inc., Term Loan B
|
|
|
5.050%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
4/30/26
|
|
|
|
B
|
|
|
|
491,334
|
|
|
426
|
|
|
Hilton Hotels, Term Loan B2
|
|
|
3.542%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
6/22/26
|
|
|
|
BBB
|
|
|
|
429,694
|
|
|
496
|
|
|
Marriott Ownership Resorts, Inc., Term Loan B
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
8/29/25
|
|
|
|
BBB
|
|
|
|
499,972
|
|
|
220
|
|
|
PCI Gaming, Term Loan, First Lien, (WI/DD)
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
BB+
|
|
|
|
221,374
|
|
|
611
|
|
|
Seaworld Parks and Entertainment, Inc., Term Loan B5
|
|
|
4.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.000%
|
|
|
|
4/01/24
|
|
|
|
B+
|
|
|
|
614,867
|
|
|
484
|
|
|
YUM Brands, Term Loan B
|
|
|
3.495%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
4/03/25
|
|
|
|
BBB
|
|
|
|
486,175
|
|
|
5,470
|
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,367,293
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
742
|
|
|
Reynolds Group Holdings, Inc., Term Loan, First Lien
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
2/05/23
|
|
|
|
B+
|
|
|
|
744,829
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
349
|
|
|
Asurion LLC, Term Loan B6, (WI/DD)
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
TBD
|
|
|
|
Ba3
|
|
|
|
351,576
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Direct Marketing Retail 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
290
|
|
|
Uber Technologies, Inc., Term Loan
|
|
|
5.745%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
4/04/25
|
|
|
|
B1
|
|
|
|
290,741
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
334
|
|
|
Gartner, Inc., Term Loan A
|
|
|
3.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.500%
|
|
|
|
3/21/22
|
|
|
|
BB+
|
|
|
|
335,926
|
|
|
472
|
|
|
Leidos Holdings, Inc., Term Loan B
|
|
|
3.563%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
8/22/25
|
|
|
|
BBB
|
|
|
|
475,341
|
|
|
487
|
|
|
Tempo Acquisition LLC, Term Loan B
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
5/01/24
|
|
|
|
B1
|
|
|
|
491,259
|
|
|
158
|
|
|
West Corporation, Term Loan B
|
|
|
5.927%
|
|
|
|
3-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
10/10/24
|
|
|
|
B2
|
|
|
|
134,076
|
|
|
483
|
|
|
WEX, Inc., Term Loan B3
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
5/15/26
|
|
|
|
Ba2
|
|
|
|
486,375
|
|
|
1,934
|
|
|
Total IT Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,922,977
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194
|
|
|
Inventiv Health, Inc., Term Loan B
|
|
|
3.799%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
8/01/24
|
|
|
|
BB
|
|
|
|
195,257
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
206
|
|
|
Gates Global LLC, Term Loan B
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
4/01/24
|
|
|
|
B+
|
|
|
|
206,785
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112
|
|
|
Harvey Gulf International Marine, Inc., Exit Term Loan
|
|
|
8.034%
|
|
|
|
3-Month LIBOR
|
|
|
|
6.000%
|
|
|
|
7/02/23
|
|
|
|
B
|
|
|
|
85,588
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 3.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
877
|
|
|
Cequel Communications LLC, Term Loan B
|
|
|
3.990%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
1/15/26
|
|
|
|
BB
|
|
|
|
879,429
|
|
|
469
|
|
|
Charter Communications Operating Holdings LLC, Term Loan B2
|
|
|
3.550%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
2/01/27
|
|
|
|
BBB
|
|
|
|
472,717
|
|
|
204
|
|
|
Cineworld Group PLC, Term Loan B
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
2/28/25
|
|
|
|
BB
|
|
|
|
204,502
|
|
|
497
|
|
|
Clear Channel Communications, Inc., Exit Term Loan
|
|
|
5.691%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
5/01/26
|
|
|
|
BB
|
|
|
|
501,857
|
|
|
447
|
|
|
Clear Channel Outdoor Holdings, Inc., Term Loan B
|
|
|
5.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.500%
|
|
|
|
8/21/26
|
|
|
|
B+
|
|
|
|
450,091
|
|
|
500
|
|
|
Cox Media/Terrier Media, Term Loan, First Lien
|
|
|
6.148%
|
|
|
|
3-Month LIBOR
|
|
|
|
4.250%
|
|
|
|
12/12/26
|
|
|
|
BB
|
|
|
|
505,627
|
|
|
100
|
|
|
CSC Holdings LLC, Refinancing Term Loan
|
|
|
3.990%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
7/17/25
|
|
|
|
BB
|
|
|
|
100,063
|
|
|
120
|
|
|
Cumulus Media, Inc., Term Loan B
|
|
|
5.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.750%
|
|
|
|
3/31/26
|
|
|
|
B2
|
|
|
|
121,654
|
|
|
261
|
|
|
Intelsat Jackson Holdings, S.A., Term Loan B
|
|
|
5.682%
|
|
|
|
6-Month LIBOR
|
|
|
|
3.750%
|
|
|
|
11/30/23
|
|
|
|
B1
|
|
|
|
261,880
|
|
|
386
|
|
|
Meredith Corporation, Term Loan B1
|
|
|
4.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
1/31/25
|
|
|
|
BB
|
|
|
|
388,451
|
|
|
25
|
|
|
Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien
|
|
|
4.300%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
7/03/25
|
|
|
|
BB
|
|
|
|
24,967
|
|
|
43
|
|
|
Nexstar Broadcasting, Inc., Term Loan B3
|
|
|
3.941%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
1/17/24
|
|
|
|
BB
|
|
|
|
43,160
|
|
|
216
|
|
|
Nexstar Broadcasting, Inc., Term Loan B3
|
|
|
4.055%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
1/17/24
|
|
|
|
BB
|
|
|
|
217,203
|
|
|
491
|
|
|
Sinclair Television Group, Term Loan B2
|
|
|
4.050%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
1/03/24
|
|
|
|
BB+
|
|
|
|
491,139
|
|
|
352
|
|
|
Springer SBM Two GmbH, Term Loan B16
|
|
|
5.305%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.500%
|
|
|
|
8/14/24
|
|
|
|
B+
|
|
|
|
352,992
|
|
|
258
|
|
|
WideOpenWest Finance LLC, Term Loan B
|
|
|
5.030%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
8/18/23
|
|
|
|
B
|
|
|
|
256,605
|
|
|
5,246
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,272,337
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
246
|
|
|
EG America LLC, Term Loan, First Lien
|
|
|
5.961%
|
|
|
|
3-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
2/07/25
|
|
|
|
B
|
|
|
|
245,142
|
|
23
|
|
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
(continued)
|
|
Portfolio of Investments December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
Coupon (6)
|
|
|
Reference
Rate (6)
|
|
|
Spread (6)
|
|
|
Maturity (7)
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
208
|
|
|
Fieldwood Energy LLC, Exit Term Loan
|
|
|
7.177%
|
|
|
|
3-Month LIBOR
|
|
|
|
5.250%
|
|
|
|
4/11/22
|
|
|
|
B+
|
|
|
$
|
175,031
|
|
|
267
|
|
|
Fieldwood Energy LLC, Exit Term Loan, second Lien
|
|
|
9.177%
|
|
|
|
3-Month LIBOR
|
|
|
|
7.250%
|
|
|
|
4/11/23
|
|
|
|
B+
|
|
|
|
153,766
|
|
|
475
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
328,797
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
713
|
|
|
Valeant Pharmaceuticals International, Inc., Term Loan, First
Lien
|
|
|
4.740%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.000%
|
|
|
|
6/02/25
|
|
|
|
BB
|
|
|
|
718,154
|
|
|
|
|
|
|
|
|
|
|
|
|
Professional Services 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
299
|
|
|
On Assignment, Inc., Term Loan B3
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
4/02/25
|
|
|
|
BBB
|
|
|
|
300,457
|
|
|
388
|
|
|
Nielsen Finance LLC, Term Loan B4
|
|
|
3.710%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
10/04/23
|
|
|
|
BBB
|
|
|
|
389,901
|
|
|
687
|
|
|
Total Professional Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
690,358
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
398
|
|
|
Avolon LLC, Term Loan B3
|
|
|
3.515%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
1/15/25
|
|
|
|
Baa2
|
|
|
|
400,631
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144
|
|
|
Microchip Technology, Inc., Term Loan B
|
|
|
3.800%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
5/29/25
|
|
|
|
Baa3
|
|
|
|
144,756
|
|
|
470
|
|
|
MKS Instruments, Inc., Term Loan B6
|
|
|
3.549%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
2/02/26
|
|
|
|
BB+
|
|
|
|
472,401
|
|
|
614
|
|
|
Total Semiconductors & Semiconductor
Equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
617,157
|
|
|
|
|
|
|
|
|
|
|
|
|
Software 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
660
|
|
|
Ellucian, Term Loan B, First Lien
|
|
|
5.195%
|
|
|
|
3-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
9/30/22
|
|
|
|
B
|
|
|
|
662,086
|
|
|
248
|
|
|
Epicor Software Corporation, Term Loan B
|
|
|
5.050%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
6/01/22
|
|
|
|
B2
|
|
|
|
249,842
|
|
|
604
|
|
|
Infor (US), Inc., Term Loan B
|
|
|
4.695%
|
|
|
|
3-Month LIBOR
|
|
|
|
2.750%
|
|
|
|
2/01/22
|
|
|
|
Ba3
|
|
|
|
607,064
|
|
|
303
|
|
|
McAfee LLC, Term Loan B
|
|
|
5.555%
|
|
|
|
1-Month LIBOR
|
|
|
|
3.750%
|
|
|
|
9/30/24
|
|
|
|
B
|
|
|
|
304,948
|
|
|
123
|
|
|
Micro Focus International PLC, New Term Loan
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
6/21/24
|
|
|
|
BB
|
|
|
|
123,719
|
|
|
833
|
|
|
Micro Focus International PLC, Term Loan B
|
|
|
4.299%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
6/21/24
|
|
|
|
BB
|
|
|
|
835,504
|
|
|
454
|
|
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
4/16/25
|
|
|
|
BB+
|
|
|
|
457,867
|
|
|
315
|
|
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
4/16/25
|
|
|
|
BB
|
|
|
|
317,462
|
|
|
450
|
|
|
TIBCO Software, Inc., Term Loan B
|
|
|
5.710%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
6/30/26
|
|
|
|
B1
|
|
|
|
452,645
|
|
|
3,990
|
|
|
Total Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,011,137
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131
|
|
|
Petco Animal Supplies, Inc., Term Loan B1
|
|
|
5.177%
|
|
|
|
3-Month LIBOR
|
|
|
|
3.250%
|
|
|
|
1/26/23
|
|
|
|
B2
|
|
|
|
112,407
|
|
|
473
|
|
|
Petsmart Inc., Term Loan B, First Lien
|
|
|
5.740%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.000%
|
|
|
|
3/11/22
|
|
|
|
B
|
|
|
|
468,655
|
|
|
604
|
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
581,062
|
|
|
|
|
|
|
|
|
|
|
|
Technology Hardware, Storage & Peripherals 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
442
|
|
|
BMC Software, Inc., Term Loan B
|
|
|
6.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
4.250%
|
|
|
|
10/02/25
|
|
|
|
B2
|
|
|
|
438,323
|
|
|
706
|
|
|
Dell International LLC, Refinancing Term Loan B1
|
|
|
3.800%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.000%
|
|
|
|
9/19/25
|
|
|
|
BBB
|
|
|
|
712,184
|
|
|
249
|
|
|
NCR Corporation, Term Loan B
|
|
|
4.300%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
8/28/26
|
|
|
|
BBB
|
|
|
|
252,492
|
|
|
942
|
|
|
Western Digital, Term Loan B
|
|
|
3.452%
|
|
|
|
1-Month LIBOR
|
|
|
|
1.750%
|
|
|
|
4/29/23
|
|
|
|
Baa2
|
|
|
|
948,117
|
|
|
2,339
|
|
|
Total Technology Hardware, Storage &
Peripherals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,351,116
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
429
|
|
|
Univar, Inc., Term Loan B
|
|
|
4.049%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.250%
|
|
|
|
7/01/24
|
|
|
|
BB+
|
|
|
|
431,551
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
729
|
|
|
Sprint Corporation, Term Loan, First Lien
|
|
|
4.313%
|
|
|
|
1-Month LIBOR
|
|
|
|
2.500%
|
|
|
|
2/02/24
|
|
|
|
Ba2
|
|
|
|
724,269
|
|
$
|
42,633
|
|
|
Total Variable Rate Senior Loan Interests (cost
$42,463,039)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,348,204
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
$25 PAR (OR SIMILAR) RETAIL PREFERRED 5.6% (3.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000
|
|
|
Citigroup Inc
|
|
|
|
|
|
|
|
|
|
|
7.125%
|
|
|
|
|
|
|
|
BB+
|
|
|
$
|
141,700
|
|
|
4,625
|
|
|
CoBank ACB, 144A, (2)
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
|
|
|
|
BBB+
|
|
|
|
485,625
|
|
|
3,250
|
|
|
CoBank ACB, 144A, (2)
|
|
|
|
|
|
|
|
|
|
|
6.125%
|
|
|
|
|
|
|
|
BBB+
|
|
|
|
332,312
|
|
24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,622
|
|
|
Fifth Third Bancorp
|
|
|
|
|
|
|
|
|
|
|
6.625%
|
|
|
|
|
|
|
|
Baa3
|
|
|
$
|
304,958
|
|
|
10,662
|
|
|
FNB Corp/PA
|
|
|
|
|
|
|
|
|
|
|
7.250%
|
|
|
|
|
|
|
|
Ba2
|
|
|
|
319,433
|
|
|
19,775
|
|
|
Huntington Bancshares Inc
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
|
|
|
|
Baa3
|
|
|
|
514,150
|
|
|
7,550
|
|
|
KeyCorp
|
|
|
|
|
|
|
|
|
|
|
6.125%
|
|
|
|
|
|
|
|
Baa3
|
|
|
|
215,024
|
|
|
12,600
|
|
|
Peoples United Financial Inc
|
|
|
|
|
|
|
|
|
|
|
5.625%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
354,816
|
|
|
20,344
|
|
|
Regions Financial Corp
|
|
|
|
|
|
|
|
|
|
|
6.375%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
574,108
|
|
|
7,400
|
|
|
SVB Financial Group
|
|
|
|
|
|
|
|
|
|
|
5.250%
|
|
|
|
|
|
|
|
Baa2
|
|
|
|
191,290
|
|
|
19,300
|
|
|
US Bancorp
|
|
|
|
|
|
|
|
|
|
|
6.500%
|
|
|
|
|
|
|
|
A3
|
|
|
|
533,066
|
|
|
|
|
|
Total Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,966,482
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,400
|
|
|
Charles Schwab Corp
|
|
|
|
|
|
|
|
|
|
|
6.000%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
504,400
|
|
|
11,300
|
|
|
Ladenburg Thalmann Financial Services Inc
|
|
|
|
8.000%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
283,404
|
|
|
17,925
|
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
|
|
|
7.125%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
512,834
|
|
|
6,700
|
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
|
|
|
6.375%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
188,739
|
|
|
7,796
|
|
|
Stifel Financial Corp
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
|
|
|
|
BB
|
|
|
|
209,245
|
|
|
7,650
|
|
|
Stifel Financial Corp
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
|
|
|
|
BB
|
|
|
|
206,397
|
|
|
|
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,905,019
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,300
|
|
|
Capital One Financial Corp
|
|
|
|
|
|
|
|
|
|
|
5.000%
|
|
|
|
|
|
|
|
Baa3
|
|
|
|
57,707
|
|
|
11,748
|
|
|
Synchrony Financial
|
|
|
|
|
|
|
|
|
|
|
5.625%
|
|
|
|
|
|
|
|
BB
|
|
|
|
300,162
|
|
|
|
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
357,869
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,000
|
|
|
Duke Energy Corp
|
|
|
|
|
|
|
|
|
|
|
5.750%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
304,810
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,257
|
|
|
CHS Inc
|
|
|
|
|
|
|
|
|
|
|
7.875%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
224,921
|
|
|
7,632
|
|
|
CHS Inc
|
|
|
|
|
|
|
|
|
|
|
7.100%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
207,896
|
|
|
11,205
|
|
|
CHS Inc
|
|
|
|
|
|
|
|
|
|
|
6.750%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
299,173
|
|
|
|
|
|
Total Food Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
731,990
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,800
|
|
|
Athene Holding Ltd
|
|
|
|
|
|
|
|
|
|
|
6.350%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
813,600
|
|
|
13,500
|
|
|
Enstar Group Ltd
|
|
|
|
|
|
|
|
|
|
|
7.000%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
376,920
|
|
|
10,175
|
|
|
National General Holdings Corp
|
|
|
|
|
|
|
|
|
|
|
7.500%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
255,901
|
|
|
13,882
|
|
|
PartnerRe Ltd
|
|
|
|
|
|
|
|
|
|
|
7.250%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
373,981
|
|
|
|
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,820,402
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,800
|
|
|
Federal Agricultural Mortgage Corp
|
|
|
|
|
|
|
|
|
|
|
5.700%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
534,600
|
|
|
6,700
|
|
|
New York Community Bancorp Inc
|
|
|
|
|
|
|
|
|
|
|
6.375%
|
|
|
|
|
|
|
|
Ba2
|
|
|
|
187,332
|
|
|
|
|
|
Total Thrifts & Mortgage Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
721,932
|
|
|
|
|
|
Total $25 Par (or similar) Retail Preferred (cost
$9,201,156)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,808,504
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED 5.3% (3.6% of Total
Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
215
|
|
|
General Motors Financial Co Inc
|
|
|
|
|
|
|
|
|
|
|
6.500%
|
|
|
|
N/A (9)
|
|
|
|
BB+
|
|
|
$
|
224,621
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 3.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
425
|
|
|
Bank of America Corp
|
|
|
|
|
|
|
|
|
|
|
6.500%
|
|
|
|
N/A (9)
|
|
|
|
BBB
|
|
|
|
482,375
|
|
|
70
|
|
|
Bank of America Corp
|
|
|
|
|
|
|
|
|
|
|
6.300%
|
|
|
|
N/A (9)
|
|
|
|
BBB
|
|
|
|
80,850
|
|
|
475
|
|
|
CIT Group Inc
|
|
|
|
|
|
|
|
|
|
|
5.800%
|
|
|
|
N/A (9)
|
|
|
|
Ba3
|
|
|
|
488,062
|
|
|
600
|
|
|
Citigroup Inc
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
N/A (9)
|
|
|
|
BB+
|
|
|
|
681,780
|
|
|
275
|
|
|
Citizens Financial Group Inc
|
|
|
|
|
|
|
|
|
|
|
5.500%
|
|
|
|
N/A (9)
|
|
|
|
BB+
|
|
|
|
276,719
|
|
|
50
|
|
|
CoBank ACB
|
|
|
|
|
|
|
|
|
|
|
6.250%
|
|
|
|
N/A (9)
|
|
|
|
BBB+
|
|
|
|
55,000
|
|
|
200
|
|
|
Huntington Bancshares Inc
|
|
|
|
|
|
|
|
|
|
|
5.700%
|
|
|
|
N/A (9)
|
|
|
|
Baa3
|
|
|
|
207,500
|
|
|
200
|
|
|
JPMorgan Chase & Co
|
|
|
|
|
|
|
|
|
|
|
6.100%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
|
218,260
|
|
25
|
|
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
(continued)
|
|
Portfolio of Investments December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
500
|
|
|
JPMorgan Chase & Co
|
|
|
|
|
|
|
|
|
|
|
6.750%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
$
|
564,625
|
|
|
54
|
|
|
JPMorgan Chase & Co, (3-Month LIBOR reference
rate + 3.470% spread), (10)
|
|
|
|
5.406%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
|
54,486
|
|
|
600
|
|
|
M&T Bank Corp
|
|
|
|
|
|
|
|
|
|
|
6.450%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
|
666,330
|
|
|
700
|
|
|
PNC Financial Services Group Inc
|
|
|
|
|
|
|
|
|
|
|
6.750%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
|
743,470
|
|
|
450
|
|
|
Truist Financial Corp, (3-Month LIBOR reference rate + 3.860% spread), (10)
|
|
|
|
|
|
|
|
|
|
|
5.754%
|
|
|
|
N/A (9)
|
|
|
|
BBB
|
|
|
|
451,350
|
|
|
500
|
|
|
Wells Fargo & Co
|
|
|
|
|
|
|
|
|
|
|
5.875%
|
|
|
|
N/A (9)
|
|
|
|
Baa2
|
|
|
|
556,250
|
|
|
500
|
|
|
Zions Bancorp NA
|
|
|
|
|
|
|
|
|
|
|
7.200%
|
|
|
|
N/A (9)
|
|
|
|
BB+
|
|
|
|
551,250
|
|
|
5,599
|
|
|
Total Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,078,307
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
275
|
|
|
Goldman Sachs Group Inc
|
|
|
|
|
|
|
|
|
|
|
5.300%
|
|
|
|
N/A (9)
|
|
|
|
Ba1
|
|
|
|
295,625
|
|
|
125
|
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
|
|
|
5.550%
|
|
|
|
N/A (9)
|
|
|
|
BB+
|
|
|
|
127,480
|
|
|
400
|
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
423,105
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
540
|
|
|
Capital One Financial Corp
|
|
|
|
|
|
|
|
|
|
|
5.550%
|
|
|
|
N/A (9)
|
|
|
|
Baa3
|
|
|
|
548,030
|
|
|
275
|
|
|
Discover Financial Services
|
|
|
|
|
|
|
|
|
|
|
5.500%
|
|
|
|
N/A (9)
|
|
|
|
Ba2
|
|
|
|
289,575
|
|
|
815
|
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
837,605
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
325
|
|
|
Voya Financial Inc
|
|
|
|
|
|
|
|
|
|
|
6.125%
|
|
|
|
N/A (9)
|
|
|
|
BBB
|
|
|
|
349,375
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
575
|
|
|
Land O Lakes Inc, 144A
|
|
|
|
|
|
|
|
|
|
|
8.000%
|
|
|
|
N/A (9)
|
|
|
|
BB
|
|
|
|
580,750
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
440
|
|
|
General Electric Co, (3)
|
|
|
|
|
|
|
|
|
|
|
5.000%
|
|
|
|
N/A (9)
|
|
|
|
BBB
|
|
|
|
430,963
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250
|
|
|
Progressive Corp
|
|
|
|
|
|
|
|
|
|
|
5.375%
|
|
|
|
N/A (9)
|
|
|
|
BBB+
|
|
|
|
262,740
|
|
$
|
8,619
|
|
|
Total $1,000 Par (or similar) Institutional Preferred
(cost $8,720,392)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,187,466
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
|
|
|
Ratings (8)
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED SECURITIES 2.9% (2.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225
|
|
|
Bank of America Corp
|
|
|
|
|
|
|
|
|
|
|
7.250%
|
|
|
|
|
|
|
|
BBB
|
|
|
$
|
326,025
|
|
|
170
|
|
|
Wells Fargo & Co
|
|
|
|
|
|
|
|
|
|
|
7.500%
|
|
|
|
|
|
|
|
Baa2
|
|
|
|
246,500
|
|
|
|
|
|
Total Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
572,525
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,650
|
|
|
Change Healthcare Inc
|
|
|
|
|
|
|
|
|
|
|
6.000%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
1,058,823
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,420
|
|
|
CenterPoint Energy Inc
|
|
|
|
|
|
|
|
|
|
|
7.000%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
3,042,351
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250
|
|
|
Broadcom Inc
|
|
|
|
|
|
|
|
|
|
|
8.000%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
294,493
|
|
|
|
|
|
Total Convertible Preferred Securities (cost
$4,874,008)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,968,192
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
Coupon
|
|
|
Issue Price
|
|
|
Cap Price
|
|
|
Maturity
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
STRUCTURED NOTES 1.5% (1.1% of Total of Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,400
|
|
|
Merrill Lynch International & Co. C.V., Mandatory Exchangeable Note, Linked to Common Stock of
Broadcom Inc. (Cap 115.50% of Issue Price), 144A
|
|
|
|
|
|
|
10.000%
|
|
|
$
|
280.9170
|
|
|
$
|
324.4591
|
|
|
|
2/25/20
|
|
|
$
|
1,691,004
|
|
|
15,700
|
|
|
Merrill Lynch International & Co. C.V., Mandatory
Exchangeable Note, Linked to Common Stock of Broadcom Inc. (Cap 116.71% of Issue Price), 144A
|
|
|
|
|
|
|
10.000%
|
|
|
|
55.7410
|
|
|
|
65.0550
|
|
|
|
5/20/20
|
|
|
|
925,742
|
|
|
|
|
|
Total Structured Notes (cost $2,392,086)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,616,746
|
|
26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
$
|
117,169
|
|
|
133
|
|
|
iHeartCommunications Inc, (5), (11)
|
|
|
|
|
|
|
|
|
|
|
9.000%
|
|
|
|
12/15/49
|
|
|
|
N/R
|
|
|
|
|
|
$
|
239
|
|
|
Total Corporate Bonds (cost $111,161)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
117,169
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCK RIGHTS 0.0% (0.0% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
388
|
|
|
Fieldwood Energy LLC, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,049
|
|
|
1,923
|
|
|
Fieldwood Energy LLC, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,935
|
|
|
|
|
|
Total Common Stock Rights (cost $54,874)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,984
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
WARRANTS 0.0% (0.% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,176
|
|
|
HGIM, (2), (4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
11,466
|
|
|
|
|
|
Total Warrants (cost $47,040)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,466
|
|
|
|
|
|
Total Long-Term Investments (cost
$215,187,417)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
247,565,739
|
|
|
|
|
|
|
|
|
|
Principal
Amount (000)/
Shares
|
|
|
Description (1)
|
|
|
|
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 2.8% (1.9% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REPURCHASE AGREEMENTS 1.6% (1.1% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,763
|
|
|
Repurchase Agreement with Fixed Income Clearing
Corporation,
dated 12/31/19, repurchase price $2,763,075,
collateralized by $2,535,000 U.S. Treasury Bonds,
2.875%, due 8/15/45, value $2,821,224
|
|
|
|
|
|
|
|
|
|
|
0.650%
|
|
|
|
1/02/20
|
|
|
|
|
|
|
$
|
2,762,975
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT COMPANIES 1.2% (0.8% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,148,488
|
|
|
BlackRock Liquidity Funds
T-Fund Portfolio, (12)
|
|
|
|
|
|
|
|
|
|
|
1.522% (13)
|
|
|
|
N/A
|
|
|
|
|
|
|
|
2,148,488
|
|
|
|
|
|
Total Short-Term Investments (cost
$4,911,463)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,911,463
|
|
|
|
|
|
Total Investments (cost $220,098,880)
144.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
252,477,202
|
|
|
|
|
|
Borrowings (43.4)% (15), (16)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(75,900,000
|
)
|
|
|
|
|
Other Assets Less Liabilities (1.0)%
(17)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,677,014
|
)
|
|
|
|
|
Net Assets Applicable to Common Shares
100%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
174,900,188
|
|
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 (18)
|
|
|
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
|
|
|
$
|
(1,215,104
|
)
|
|
$
|
(1,215,104
|
)
|
27
|
|
|
|
|
JTA
|
|
Nuveen Tax-Advantaged Total Return Strategy Fund
(continued)
|
|
Portfolio of Investments December 31, 2019
|
For Fund portfolio compliance purposes, the Funds 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. See Notes to Financial Statements,
Note 3 Investment Valuation and Fair Value Measurements for more information.
|
(3)
|
Investment, or portion of investment, is hypothecated as described in Notes to Financial Statements, Note 8
Borrowing Arrangements, Rehypothecation. The total value of investments hypothecated as of the end of the reporting period was $57,462,247.
|
(4)
|
Non-Income producing; issuer has not declared a dividend within the past twelve
months.
|
(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. See Notes to Financial Statements, Note 3 Investment Valuation and Fair Value Measurements for more information.
|
(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 & Poors Group
(Standard & Poors), Moodys Investors Service, Inc. (Moodys) 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 & Poors, Baa by Moodys 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.
Ratings are not covered by the report of independent registered public accounting firm.
|
(9)
|
Perpetual security. Maturity date is not applicable.
|
(10)
|
Variable rate security. The rate shown is the coupon as of the end of the reporting period.
|
(11)
|
Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the
protection of bankruptcy.
|
(12)
|
A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities
and Exchange Commission on its website at http://www.sec.gov.
|
(13)
|
The rate shown is the annualized seven-day subsidized yield as of the end of the
reporting period.
|
(14)
|
Investment, or portion of investment, has been pledged to collateralized the net payment obligations for investments in
derivatives.
|
(15)
|
Borrowings as a percentage of Total Investments is 30.1%.
|
(16)
|
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 $184,520,963 have been pledged as collateral for borrowings.
|
(17)
|
Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (OTC) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC
cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.
|
(18)
|
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.
|
DD1
|
Portion of investment purchased on a delayed delivery basis.
|
LIBOR
|
London Inter-Bank Offered Rate
|
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 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.
|
WI/DD
|
Purchased on a when-issued or delayed delivery basis.
|
See accompanying notes to financial statements.
28
Statement of Assets and Liabilities
December 31, 2019
|
|
|
|
|
Assets
|
|
|
|
|
Long-term investments, at value (cost $215,187,417)
|
|
$
|
247,565,739
|
|
Short-term investments, at value (cost approximates value)
|
|
|
4,911,463
|
|
Receivable for:
|
|
|
|
|
Dividends
|
|
|
355,904
|
|
Interest
|
|
|
225,984
|
|
Investments sold
|
|
|
483,648
|
|
Reclaims
|
|
|
216,864
|
|
Other assets
|
|
|
58,570
|
|
Total assets
|
|
|
253,818,172
|
|
Liabilities
|
|
|
|
|
Borrowings
|
|
|
75,900,000
|
|
Cash overdraft
|
|
|
74,815
|
|
Unrealized depreciation on interest rate swaps
|
|
|
1,215,104
|
|
Payable for:
|
|
|
|
|
Investments purchased - regular settlement
|
|
|
20,360
|
|
Investments purchased - when-issued/delayed-delivery settlement
|
|
|
1,219,505
|
|
Accrued expenses:
|
|
|
|
|
Management fees
|
|
|
178,418
|
|
Interest on borrowings
|
|
|
151,312
|
|
Trustees fees
|
|
|
58,823
|
|
Other
|
|
|
99,647
|
|
Total liabilities
|
|
|
78,917,984
|
|
Net assets applicable to common shares
|
|
$
|
174,900,188
|
|
Common shares outstanding
|
|
|
13,850,897
|
|
Net asset value (NAV) per common share
outstanding
|
|
$
|
12.63
|
|
Net assets applicable to common shares consist of:
|
|
|
|
|
Common shares, $0.01 par value per share
|
|
$
|
138,509
|
|
Paid-in surplus
|
|
|
146,842,247
|
|
Total distributable earnings
|
|
|
27,919,432
|
|
Net assets applicable to common shares
|
|
$
|
174,900,188
|
|
Authorized shares:
|
|
|
|
|
Common
|
|
|
Unlimited
|
|
Preferred
|
|
|
Unlimited
|
|
See accompanying notes to financial statements.
29
Statement of Operations
Year Ended December 31, 2019
|
|
|
|
|
Investment Income
|
|
|
|
|
Dividends
|
|
$
|
7,798,690
|
|
Interest
|
|
|
2,850,836
|
|
Other
|
|
|
29,486
|
|
Foreign tax withheld on dividend income
|
|
|
(475,113
|
)
|
Total investment income
|
|
|
10,203,899
|
|
Expenses
|
|
|
|
|
Management fees
|
|
|
2,040,088
|
|
Interest expense on borrowings
|
|
|
2,114,487
|
|
Custodian fees
|
|
|
115,754
|
|
Trustees fees
|
|
|
6,492
|
|
Professional fees
|
|
|
44,147
|
|
Shareholder reporting expenses
|
|
|
29,125
|
|
Shareholder servicing agent fees
|
|
|
386
|
|
Stock exchange listing fees
|
|
|
6,862
|
|
Investor relations expense
|
|
|
17,363
|
|
Other
|
|
|
15,465
|
|
Total expenses
|
|
|
4,390,169
|
|
Net investment income (loss)
|
|
|
5,813,730
|
|
Realized and Unrealized Gain (Loss)
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
Investments and foreign currency
|
|
|
(1,638,543
|
)
|
Swaps
|
|
|
158,709
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
Investments and foreign currency
|
|
|
36,947,087
|
|
Swaps
|
|
|
(2,225,456
|
)
|
Net realized and unrealized gain (loss)
|
|
|
33,241,797
|
|
Net increase (decrease) in net assets applicable to common shares
from operations
|
|
$
|
39,055,527
|
|
See accompanying notes to financial statements.
30
Statement of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Year
Ended
12/31/19
|
|
|
Year
Ended
12/31/18
|
|
Operations
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
5,813,730
|
|
|
$
|
5,990,310
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(1,638,543
|
)
|
|
|
30,679
|
|
Swaps
|
|
|
158,709
|
|
|
|
41,061
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
36,947,087
|
|
|
|
(39,319,546
|
)
|
Swaps
|
|
|
(2,225,456
|
)
|
|
|
489,867
|
|
Net increase (decrease) in net assets applicable to common shares
from operations
|
|
|
39,055,527
|
|
|
|
(32,767,629
|
)
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
(6,368,787
|
)
|
|
|
(5,807,071
|
)
|
Return of capital
|
|
|
(6,928,074
|
)
|
|
|
(9,145,620
|
)
|
Decrease in net assets applicable to common shares from distributions
to common shareholders
|
|
|
(13,296,861
|
)
|
|
|
(14,952,691
|
)
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
Net proceeds from common shares issued to shareholders due to
reinvestment of distributions
|
|
|
|
|
|
|
102,941
|
|
Net increase (decrease) in net assets applicable to common shares
from capital share transactions
|
|
|
|
|
|
|
102,941
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
25,758,666
|
|
|
|
(47,617,379
|
)
|
Net assets applicable to common shares at the beginning of
period
|
|
|
149,141,522
|
|
|
|
196,758,901
|
|
Net assets applicable to common shares at the end of
period
|
|
$
|
174,900,188
|
|
|
$
|
149,141,522
|
|
See accompanying notes to financial statements.
31
Statement of Cash Flows
Year Ended December 31, 2019
|
|
|
|
|
Cash Flows from Operating Activities:
|
|
|
|
|
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
|
|
$
|
39,055,527
|
|
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from
operations to net cash
provided by (used in) operating activities:
|
|
|
|
|
Purchases of investments
|
|
|
(85,516,316
|
)
|
Proceeds from sales and maturities of investments
|
|
|
92,047,037
|
|
Proceeds from (Purchases of) short-term investments, net
|
|
|
(3,661,650
|
)
|
Proceeds from (Payments for) closed foreign currency spot contracts
|
|
|
6,564
|
|
Proceeds from litigation settlement
|
|
|
3,977
|
|
Amortization (Accretion) of premiums and discounts, net
|
|
|
8,815
|
|
(Increase) Decrease in:
|
|
|
|
|
Receivable for dividends
|
|
|
135,917
|
|
Receivable for interest
|
|
|
(18,969
|
)
|
Receivable for investments sold
|
|
|
(406,043
|
)
|
Receivable for reclaims
|
|
|
39,921
|
|
Other assets
|
|
|
3,155
|
|
Increase (Decrease) in:
|
|
|
|
|
Payable for investments purchased - when-issued/delayed-delivery settlement
|
|
|
1,095,125
|
|
Payable for investments purchased - regular settlement
|
|
|
20,360
|
|
Accrued interest on borrowings
|
|
|
126,103
|
|
Accrued management fees
|
|
|
7,151
|
|
Accrued Trustees fees
|
|
|
2,884
|
|
Accrued other expenses
|
|
|
(1,332
|
)
|
Net realized (gain) loss from investments and foreign currency
|
|
|
1,638,543
|
|
Change in net unrealized (appreciation) depreciation of:
|
|
|
|
|
Investments and foreign currency
|
|
|
(36,947,087
|
)
|
Swaps
|
|
|
2,225,456
|
|
Net cash provided by (used in) operating activities
|
|
|
9,865,138
|
|
Cash Flows from Financing Activities:
|
|
|
|
|
Proceeds for borrowings
|
|
|
3,400,000
|
|
Increase (Decrease) in cash overdraft
|
|
|
31,723
|
|
Cash distributions paid to common shareholders
|
|
|
(13,296,861
|
)
|
Net cash provided by (used in) financing activities
|
|
|
(9,865,138
|
)
|
Net Increase (Decrease) in Cash
|
|
|
|
|
Cash at the beginning of period
|
|
|
|
|
Cash at the end of period
|
|
$
|
|
|
|
|
Supplemental Disclosure of Cash Flow Information
|
|
|
|
Cash paid for interest on borrowings (excluding borrowing
costs)
|
|
$
|
1,988,384
|
|
See accompanying notes to financial statements.
32
THIS PAGE INTENTIONALLY LEFT BLANK
33
Financial Highlights
Selected data for a common share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions to
Common Shareholders
|
|
|
Common Share
|
|
|
|
Beginning
Common
Share
NAV
|
|
|
Net
Investment
Income
(Loss)(a)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accum-
ulated
Net
Realized
Gains
|
|
|
Return of
Capital
|
|
|
Total
|
|
|
Discount
from
Shares
Repurchased
and
Retired
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
Year Ended 12/31:
|
|
2019
|
|
$
|
10.77
|
|
|
$
|
0.42
|
|
|
$
|
2.40
|
|
|
$
|
2.82
|
|
|
$
|
(0.46
|
)
|
|
$
|
|
|
|
$
|
(0.50
|
)
|
|
$
|
(0.96
|
)
|
|
$
|
|
|
|
$
|
12.63
|
|
|
$
|
12.07
|
|
2018
|
|
|
14.21
|
|
|
|
0.43
|
|
|
|
(2.79
|
)
|
|
|
(2.36
|
)
|
|
|
(0.42
|
)
|
|
|
|
|
|
|
(0.66
|
)
|
|
|
(1.08
|
)
|
|
|
|
|
|
|
10.77
|
|
|
|
10.15
|
|
2017
|
|
|
12.72
|
|
|
|
0.50
|
|
|
|
1.98
|
|
|
|
2.48
|
|
|
|
(0.99
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.99
|
)
|
|
|
|
|
|
|
14.21
|
|
|
|
13.95
|
|
2016
|
|
|
13.10
|
|
|
|
0.47
|
|
|
|
0.16
|
|
|
|
0.63
|
|
|
|
(0.65
|
)
|
|
|
|
|
|
|
(0.36
|
)
|
|
|
(1.01
|
)
|
|
|
|
|
|
|
12.72
|
|
|
|
11.32
|
|
2015
|
|
|
14.39
|
|
|
|
0.47
|
|
|
|
(0.67
|
)
|
|
|
(0.20
|
)
|
|
|
(1.09
|
)
|
|
|
|
|
|
|
|
|
|
|
(1.09
|
)
|
|
|
|
|
|
|
13.10
|
|
|
|
11.67
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings at the End of Period
|
|
|
|
Aggregate
Amount
Outstanding
(000)
|
|
|
Asset
Coverage
Per $1,000
|
|
Year Ended 12/31:
|
|
|
|
|
|
|
|
|
2019
|
|
$
|
75,900
|
|
|
$
|
3,304
|
|
2018
|
|
|
72,500
|
|
|
|
3,057
|
|
2017
|
|
|
83,800
|
|
|
|
3,348
|
|
2016
|
|
|
76,800
|
|
|
|
3,293
|
|
2015
|
|
|
82,400
|
|
|
|
3,201
|
|
34
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratios Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets(c)
|
|
|
|
|
Based
on
NAV(b)
|
|
|
Based
on
Share
Price(b)
|
|
|
Ending
Net Assets
(000)
|
|
|
Expenses
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26.86
|
%
|
|
|
29.05
|
%
|
|
$
|
174,900
|
|
|
|
2.66
|
%
|
|
|
3.52
|
%
|
|
|
37
|
%
|
|
(17.49
|
)
|
|
|
(20.58
|
)
|
|
|
149,142
|
|
|
|
2.67
|
|
|
|
3.21
|
|
|
|
28
|
|
|
19.96
|
|
|
|
32.80
|
|
|
|
196,759
|
|
|
|
2.13
|
|
|
|
3.64
|
|
|
|
37
|
|
|
5.10
|
|
|
|
5.85
|
|
|
|
176,103
|
|
|
|
1.93
|
|
|
|
3.69
|
|
|
|
42
|
|
|
(1.49
|
)
|
|
|
(4.17
|
)
|
|
|
181,354
|
|
|
|
1.87
|
|
|
|
3.34
|
|
|
|
49
|
|
(a)
|
Per share Net Investment Income (Loss) is calculated using the average daily shares method.
|
(b)
|
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at
NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest
price for the last dividend declared in the period may often be based on the Funds market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and
reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be
reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period takes place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different
from the price used in the calculation. Total returns are not annualized.
|
|
|
|
|
(c)
|
|
|
|
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to borrowings (as described in Note 9 Borrowing Arrangements).
|
|
|
|
|
Each ratio includes the effect of all interest expense paid and other costs related to borrowings, as follows:
|
|
|
|
|
|
Ratios of Borrowings Interest Expense
to Average Net Assets Applicable
to Common Shares
|
|
Year Ended 12/31:
|
|
|
|
|
2019
|
|
|
1.28
|
%
|
2018
|
|
|
1.27
|
|
2017
|
|
|
0.77
|
|
2016
|
|
|
0.53
|
|
2015
|
|
|
0.47
|
|
(d)
|
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4
Portfolio Securities and Investments in Derivatives, Investment Transactions) divided by the average long-term market value during the period.
|
See accompanying notes to financial statements.
35
Notes to Financial Statements
1. General Information
Fund Information
Nuveen Tax-Advantaged Total Return Strategy Fund (the
Fund) is registered under the Investment Company Act of 1940 (the 1940 Act), as amended, as a diversified closed-end management investment company. The Funds common shares are listed on the New York Stock Exchange
(NYSE) and trade under the ticker symbol JTA. The Fund was organized as a Massachusetts business trust on October 1, 2003.
The end of
the reporting period for the Fund is December 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal year ended December 31, 2019 (the current fiscal period).
Investment Adviser and Sub-Adviser
The Funds investment adviser is
Nuveen Fund Advisors, LLC (the Adviser), a subsidiary of Nuveen, LLC (Nuveen). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility
for management of the Fund, oversees the management of the Funds portfolio, manages the Funds business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions.
The Adviser has entered into sub-advisory agreements with NWQ Investment Management Company, LLC (NWQ) and Symphony Asset Management LLC (Symphony) (each a Sub-Adviser and collectively, the
Sub-Advisers), each an affiliate of Nuveen. NWQ manages the portion of the Funds investment portfolio allocated to dividend-paying common and preferred stocks, including American Depositary Receipts (ADRs) and the
Funds options strategy. Symphony manages the portion of the Funds investment portfolio allocated to senior loans and other debt instruments. The Adviser is responsible for managing the Funds investments in swap contracts.
2. Significant Accounting Policies
The accompanying financial statements were
prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may
differ from those estimates. The Fund is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification 946, Financial Services Investment Companies.
The net asset value (NAV) for financial reporting purposes may differ from the NAV for processing security and common share transactions. The NAV for financial reporting purposes includes security and common share transactions through
the date of the report. Total return is computed based on the NAV used for processing security and common share transactions. The following is a summary of the significant accounting policies consistently followed by the Fund.
Compensation
The Fund pays no compensation directly to those of its trustees
who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Fund from the Adviser or its affiliates. The Funds Board of Trustees (the Board) has adopted a deferred compensation
plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal
dollar amounts had been invested in shares of select Nuveen-advised funds.
Distributions to Common Shareholders
Distributions to common shareholders are recorded on the ex-dividend date. The amount, character and timing of distributions are
determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
The Fund makes quarterly cash distributions to common shareholders of
a stated dollar amount per share. Subject to approval and oversight by the Board, the Fund seeks to maintain a stable distribution level designed to deliver the long-term return potential of the Funds investment strategy through regular
quarterly distributions (a Managed Distribution Program). Total distributions during a calendar year generally will be made from the Funds net investment income, net realized capital gains and net unrealized capital gains in the
Funds portfolio, if any. The portion of distributions paid attributed to net unrealized gains, if any, is distributed from the Funds assets and is treated by shareholders as a nontaxable distribution (return of capital) for
tax purposes. In the event that total distributions during a calendar year exceed the Funds total return on NAV, the difference will reduce NAV per share. If the Funds total return on NAV exceeds total distributions during a calendar
year, the excess will be reflected as an increase in NAV per share. The final determination of the source and character of all distributions paid by the Fund during the fiscal year is made after the end of the fiscal year and is reflected in the
financial statements contained in the annual report as of December 31 each year.
36
Foreign Currency Transactions and Translation
To the extent that the Fund invests in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Fund will be subject to
currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds investments
denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are
converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into
U.S. dollars on the respective dates of such transactions.
The books and records of the Fund are maintained in U.S. dollars. Assets, including investments, and
liabilities denominated in foreign currencies are translated into U.S. dollars at the end of each day. Purchases and sales of securities, income and expenses are translated into U.S. dollars at each prevailing exchange rate on the respective dates
of the transactions.
Net realized foreign currency gains and losses resulting from changes in exchange rates associated with (i) foreign currency, (ii) investments
and (iii) derivatives include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of
the Fund and the amounts actually received are recognized as a component of Net realized gain (loss) from investments and foreign currency on the Statement of Operations, when applicable.
The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and
(ii) other assets and liabilities are recognized as a component of Change in net unrealized appreciation (depreciation) of investments and foreign currency on the Statement of Operations, when applicable. The unrealized gains and losses
resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivatives related Change in net unrealized appreciation (depreciation) on the Statement
of Operations, when applicable.
As of the end of the reporting period, the Funds investments in non-U.S. securities were as follows:
|
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
% of Total
Investments
|
|
Country:
|
|
|
|
|
|
|
|
|
Germany
|
|
$
|
24,227,711
|
|
|
|
9.6
|
%
|
Japan
|
|
|
20,458,963
|
|
|
|
8.1
|
|
United Kingdom
|
|
|
16,500,615
|
|
|
|
6.5
|
|
France
|
|
|
11,662,292
|
|
|
|
4.6
|
|
South Korea
|
|
|
7,212,815
|
|
|
|
2.9
|
|
Bermuda
|
|
|
5,567,832
|
|
|
|
2.2
|
|
Spain
|
|
|
5,425,990
|
|
|
|
2.2
|
|
Netherlands
|
|
|
4,407,200
|
|
|
|
1.7
|
|
Other
|
|
|
16,149,708
|
|
|
|
6.4
|
|
Total non-U.S.
securities
|
|
$
|
111,613,126
|
|
|
|
44.2
|
%
|
Indemnifications
Under the Funds
organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide
general indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior
claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based upon the
specific identification method. Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and
recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (PIK)
interest and fee income, if any. PIK interest represents income received in the form of securities in lieu of cash. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an
original senior loan agreement and are recognized when received. Fee income and amendment fees, if any, are recognized as a component of Interest Income on the Statement of Operations.
37
Notes to Financial Statements (continued)
Netting Agreements
In the ordinary course of business, the Fund may enter into
transactions subject to enforceable master repurchase agreements, International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (netting agreements). Generally, the right to offset in
netting agreements allows the Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the
Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds investments subject to netting agreements as of the end of the
reporting period, if any, are further described in Note 4 Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and Rule
Issuances
FASB Accounting Standards Update (ASU) 2017-08 (ASU
2017-08) Premium Amortization on Purchased Callable Debt Securities
The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period
ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those
fiscal years, beginning after December 15, 2018. During the current fiscal period, ASU 2017-08 became effective for the Fund and it did not have a material impact on Funds financial statements.
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB
issued ASU 2018-13 (ASU 2018-13), Fair Value Measurement: Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurements. ASU
2018-13 modifies the disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and
interim periods within those fiscal years, beginning after December 15, 2019. Management has early implemented this guidance and it did not have a material impact on the Funds financial statements
3. Investment Valuation and Fair Value Measurements
The fair valuation input
levels as described below are for fair value measurement purposes.
The Funds investments in securities are recorded at their estimated fair value. 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 entitys 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 managements assumptions in determining the fair value of investments).
|
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are
primarily traded and are generally classified as Level 1. Securities primarily traded on the Nasdaq National Market (Nasdaq) are valued at the Nasdaq Official Closing Price and are generally classified as Level 1. However,
securities traded on a securities exchange or Nasdaq for which there were no transactions on a given day or securities not listed on a securities exchange or Nasdaq are valued at the quoted bid price and are generally classified as Level 2.
Prices of certain ADRs held by the Fund that trade in the United States are valued based on the last traded price, official closing price or the most recent bid price of the underlying non-U.S.-traded stock, adjusted as appropriate for the
underlying-to-ADR conversion ratio and foreign exchange rate, and from time-to-time may also be adjusted further to take into account material events that may take place after the close of the local non-U.S. market but before the close of the NYSE,
which may represent a transfer from a Level 1 to a Level 2 security.
Prices of fixed-income securities are provided by an independent pricing service
(pricing service) approved by the Board. The pricing service establishes a securitys fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue,
coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligors credit
characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its
issuer or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
38
Like most fixed-income securities, the senior and
subordinated loans in which the Fund invests are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and
subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.
Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as
Level 2.
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified
as Level 2.
Investments in investment companies are valued at their respective NAVs on the valuation date and are generally classified as Level 1.
Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing services. As a result,
the NAV of the Funds shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may
be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur between the time of determination of the closing price of a foreign security on an
exchange and the time that the Funds NAV is determined, or if under the Funds procedures, the closing price of a foreign security is not deemed to be reliable, the security would be valued at fair value as determined in accordance with
procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee
at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to
provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established
pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Funds NAV (as may be the case in non-U.S.
markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the securitys fair value. As
a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities,
which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows
or collateral, general market conditions and other information and analysis, including the obligors credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the
observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
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 Funds fair value measurements as of the end of the reporting period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks**
|
|
$
|
105,969,270
|
|
|
$
|
72,483,467
|
|
|
$
|
13,271
|
|
|
$
|
178,466,008
|
|
Variable Rate Senior Loan Interests
|
|
|
|
|
|
|
42,348,204
|
|
|
|
|
|
|
|
42,348,204
|
|
$25 Par (or similar) Retail Preferred**
|
|
|
8,990,567
|
|
|
|
817,937
|
|
|
|
|
|
|
|
9,808,504
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
|
|
|
|
|
9,187,466
|
|
|
|
|
|
|
|
9,187,466
|
|
Convertible Preferred Securities
|
|
|
4,968,192
|
|
|
|
|
|
|
|
|
|
|
|
4,968,192
|
|
Structured Notes
|
|
|
|
|
|
|
2,616,746
|
|
|
|
|
|
|
|
2,616,746
|
|
Corporate Bonds
|
|
|
|
|
|
|
117,169
|
|
|
|
|
***
|
|
|
117,169
|
|
Common Stock Rights**
|
|
|
|
|
|
|
41,984
|
|
|
|
|
|
|
|
41,984
|
|
Warrants**
|
|
|
|
|
|
|
11,466
|
|
|
|
|
|
|
|
11,466
|
|
|
|
|
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
2,762,975
|
|
|
|
|
|
|
|
2,762,975
|
|
Investment Companies
|
|
|
2,148,488
|
|
|
|
|
|
|
|
|
|
|
|
2,148,488
|
|
|
|
|
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps****
|
|
|
|
|
|
|
(1,215,104
|
)
|
|
|
|
|
|
|
(1,215,104
|
)
|
Total
|
|
$
|
122,076,517
|
|
|
$
|
129,172,310
|
|
|
$
|
13,271
|
|
|
$
|
251,262,098
|
|
*
|
Refer to the Funds Portfolio of Investments for industry classifications.
|
**
|
Refer to the Funds Portfolio of Investments for securities classified as Level 2 and/or Level 3, where applicable.
|
***
|
Value equals zero as of the end of the reporting period.
|
****
|
Represents net unrealized appreciation (depreciation) as reported in the Funds Portfolio of Investments.
|
39
Notes to Financial Statements (continued)
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Repurchase Agreements
In connection with transactions in repurchase
agreements, it is the Funds policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the
counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
The following table presents the
repurchase agreements for the Fund that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Short-Term
Investments, at Value
|
|
|
Collateral
Pledged (From)
Counterparty*
|
|
|
Net
Exposure
|
|
Fixed Income Clearing Corporation
|
|
$
|
2,762,975
|
|
|
$
|
(2,762,975
|
)
|
|
$
|
|
|
*
|
As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the
repurchase agreements. Refer to the Funds Portfolio of Investments for details on the repurchase agreements.
|
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from
accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile
than the market prices of securities that pay interest periodically.
Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions) during the current fiscal period, aggregated $85,516,316 and $92,047,037,
respectively.
The Fund may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have
extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Fund has earmarked securities in its portfolio with a current value at least
equal to the amount of the when-issued/delayed-delivery purchase commitments. If the Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of
Assets and Liabilities.
Investments in Derivatives
The Fund is authorized
to invest in certain derivative instruments, such as futures, options and swap contracts. The Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from
registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when
applicable. Even though the Funds investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Interest Rate Swap Contracts
Interest rate swap contracts involve the
Funds agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve the Funds agreement with a
counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the effective
date).
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate
swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the
Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a
forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the
daily change in the fair value of the Funds contractual rights and obligations under the contracts. For an over-the-counter (OTC) swap that is not cleared through a clearing house (OTC Uncleared), the amount recorded on
these transactions is recognized on the Statement of Assets and Liabilities as a component of Unrealized appreciation or depreciation on interest rate swaps.
40
Upon the execution of an OTC swap cleared through a
clearing house (OTC Cleared), the Fund is obligated to deposit cash or eligible securities, also known as initial margin, into an account at its clearing broker equal to a specified percentage of the contract amount. Cash
deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of Cash collateral at brokers for investments in swaps on the Statement of Assets and Liabilities. Investments in OTC
Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days mark-to-market of the swap contract. If the Fund has unrealized appreciation, the clearing broker will
credit the Funds account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Funds account with an amount equal to the depreciation. These daily cash
settlements are also known as variation margin. Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for Variation margin on swap contracts on the Statement of Assets and Liabilities. Upon the
execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a
predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of Unrealized appreciation or depreciation on interest rate swaps as described in the preceding
paragraph.
The net amount of periodic payments settled in cash are recognized as a component of Net realized gain (loss) from swaps on the Statement of
Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively.
Changes in the value of the swap contracts during the fiscal period are recognized as a component of Change in net unrealized appreciation (depreciation) of swaps on the Statement of Operations. In certain instances, payments are made or
received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors).
Payments received or made at the beginning of the measurement period, if any, are recognized as Interest rate swaps premiums received and/or paid on the Statement of Assets and Liabilities.
During the current fiscal period, the Fund continued to utilize forward starting interest rate swap contracts to partially hedge its future interest cost of leverage,
which is through the use of bank borrowings.
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
|
|
|
|
|
Average notional amount of interest
rate swap contracts outstanding*
|
|
|
$41,800,000
|
|
*
|
The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal period.
|
The following table presents the fair value of all swap contracts held by
the Fund as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and
Liabilities
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Asset Derivatives
|
|
|
|
|
|
(Liability) Derivatives
|
|
|
Location
|
|
Value
|
|
|
|
|
|
Location
|
|
Value
|
|
Interest rate
|
|
Swaps (OTC Uncleared)
|
|
|
|
$
|
|
|
|
|
|
|
|
Unrealized depreciation on interest rate swaps**
|
|
$
|
(1,215,104
|
)
|
**
|
Some swap contracts require a counterparty to pay or receive a premium, which is disclosed in the Statement of Assets and
Liabilities, when applicable, and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.
|
The following table
presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of the end of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset
on the Statement of
Assets and Liabilities
|
|
|
|
|
Counterparty
|
|
Gross
Unrealized
Appreciation
on Interest
Rate Swaps***
|
|
|
Gross
Unrealized
(Depreciation)
on Interest
Rate Swaps***
|
|
|
Net Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
|
|
|
Interest
Rate Swap
Premiums
Paid
|
|
|
Collateral
Pledged
to (from)
Counterparty
|
|
|
Net
Exposure
|
|
JPMorgan Chase Bank, N.A.
|
|
$
|
|
|
|
$
|
(1,215,104
|
)
|
|
$
|
(1,215,104
|
)
|
|
$
|
|
|
|
$
|
1,215,104
|
|
|
$
|
|
|
***
|
Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Funds Portfolio of
Investments.
|
41
Notes to Financial Statements (continued)
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement
of Operations during the current fiscal period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Net Realized
Gain (Loss) from
Swaps
|
|
|
Change in Net
Unrealized Appreciation
(Depreciation) of
Swaps
|
|
Interest rate
|
|
Swaps
|
|
$
|
158,709
|
|
|
$
|
(2,225,456
|
)
|
Market and Counterparty Credit Risk
In the
normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform
(counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from
counterparties on forward, option and swap transactions, when applicable. The extent of the Funds exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of
Assets and Liabilities.
The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial
resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on
behalf of the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as
collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the
pre-determined threshold amount.
5. Fund Shares
Common Share
Transactions
Transactions in common shares during the Funds current and prior fiscal period were as follows:
|
|
|
|
|
|
|
|
|
|
|
Year Ended
12/31/19
|
|
|
Year Ended
12/31/18
|
|
Common shares:
|
|
|
|
|
|
|
|
|
Issued to shareholders due to reinvestment of
distributions
|
|
|
|
|
|
|
7,751
|
|
6. Income Tax Information
The Fund intends to
distribute substantially all of its net investment company taxable income to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. In any year when the
Fund realizes net capital gains, the Fund may choose to distribute all or a portion of its net capital gains to shareholders, or alternatively, to retain all or a portion of its net capital gains and pay federal corporate income taxes on such
retained gains.
For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions
that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of
the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
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 as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAV of the Fund.
The table
below presents the cost and unrealized appreciation (depreciation) of the Funds investment portfolio, as determined on a federal income tax basis, as of December 31, 2019.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement
reporting but realized in income and/or capital gains tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized
for tax purposes.
42
|
|
|
|
|
Tax cost of investments
|
|
$
|
220,477,717
|
|
Gross unrealized:
|
|
|
|
|
Appreciation
|
|
$
|
39,455,520
|
|
Depreciation
|
|
|
(8,671,139
|
)
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
30,784,381
|
|
|
Permanent differences, primarily due to foreign currency transactions, investments in passive foreign investment companies, treatment of notional principal contracts, real estate investment trust adjustments, complex
securities character adjustments, and bond premium amortization adjustments, resulted in reclassification among the Funds components of net assets as of December 31, 2019, the Funds tax year end.
|
|
The tax components of undistributed net ordinary income and net long-term capital gains as of December 31, 2019, the Funds tax year end, were as follows:
|
|
Undistributed net ordinary income
|
|
$
|
|
|
Undistributed net long-term capital gains
|
|
|
|
|
The tax character of distributions paid during the Funds tax years ended December 31, 2019 and December 31, 2018 was designated for purposes of the dividends paid deduction as follows:
|
|
2019
|
|
|
|
Distributions from net ordinary income¹
|
|
$
|
6,368,787
|
|
Distributions from net long-term capital gains
|
|
|
|
|
Return of capital
|
|
|
6,928,074
|
|
|
|
2018
|
|
|
|
Distributions from net ordinary income1
|
|
$
|
5,807,071
|
|
Distributions from net long-term capital gains
|
|
|
|
|
Return of capital
|
|
|
9,145,620
|
|
|
1 Net ordinary income consists
of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
|
|
|
As of December 31, 2019, the Funds tax year end, the Fund had unused capital losses carrying forward available for federal income tax purposes to be applied against future
capital gains, if any. The capital losses are not subject to expiration.
|
|
Not subject to expiration:
|
|
|
|
|
Short-term
|
|
$
|
1,547,987
|
|
Long-term
|
|
|
1,322,683
|
|
Total
|
|
$
|
2,870,670
|
|
7. Management Fees
The Funds management
fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Advisers are compensated for their services to the Fund from the management fees
paid to the Adviser.
The Funds management fee consists of two components a fund-level fee, based only on the amount of assets within the Fund, and a
complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of
complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, is calculated according to the following schedule:
|
|
|
|
|
Average Daily Managed Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $500 million
|
|
|
0.7000
|
%
|
For the next $500 million
|
|
|
0.6750
|
|
For the next $500 million
|
|
|
0.6500
|
|
For the next $500 million
|
|
|
0.6250
|
|
For managed assets over $2 billion
|
|
|
0.6000
|
|
43
Notes to Financial Statements (continued)
The annual complex-level fee, payable monthly, is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the
Funds daily managed assets:
|
|
|
|
|
Complex-Level Eligible Asset Breakpoint Level*
|
|
Effective Complex-Level Fee Rate at Breakpoint Level
|
|
$55 billion
|
|
|
0.2000
|
%
|
$56 billion
|
|
|
0.1996
|
|
$57 billion
|
|
|
0.1989
|
|
$60 billion
|
|
|
0.1961
|
|
$63 billion
|
|
|
0.1931
|
|
$66 billion
|
|
|
0.1900
|
|
$71 billion
|
|
|
0.1851
|
|
$76 billion
|
|
|
0.1806
|
|
$80 billion
|
|
|
0.1773
|
|
$91 billion
|
|
|
0.1691
|
|
$125 billion
|
|
|
0.1599
|
|
$200 billion
|
|
|
0.1505
|
|
$250 billion
|
|
|
0.1469
|
|
$300 billion
|
|
|
0.1445
|
|
*
|
For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to
certain types of leverage. For these purposes, leverage includes the funds use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond
(TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trusts issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such
assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute eligible assets. Eligible
assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Advisers assumption of the management of
the former First American Funds effective January 1, 2011, but do not include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. As of December 31,
2019, the complex-level fee for the Fund was 0.1562%.
|
8. Senior Loan Commitments
Unfunded Commitments
Pursuant to the terms of certain of the variable rate
senior loan agreements, the Fund may have unfunded senior loan commitments. The Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan
commitments. As of the end of the reporting period, the Fund had no such unfunded senior loan commitments.
Participation Commitments
With respect to the senior loans held in the Funds portfolio, the Fund may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3)
invest in participations. If the Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the
borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, the Fund had no such
outstanding participation commitments.
9. Borrowing Arrangements
Borrowings
The Fund has entered into a borrowing arrangement as a means of
leverage.
As of the end of the reporting period, the Fund has a $93,500,000 (maximum commitment amount) committed financing agreement (Borrowings). As of
the end of the reporting period, the outstanding balance on these Borrowings was $75,900,000.
Interest is charged on these Borrowings at 1-Month LIBOR (London
Inter-Bank Offered Rate) plus 0.65% per annum on the amount borrowed. The Fund is typically charged an undrawn fee of 0.50% per annum if the undrawn portion of the Borrowings on that day is more than 20% of the maximum commitment amount
however these fees were waived in 2019. During the current fiscal period, the average daily balance outstanding (which was for the entire reporting period) and average annual interest rate on these Borrowings was $72,546,575 and 2.87%, respectively.
In order to maintain these Borrowings, the Fund must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by
securities specifically identified in the Funds portfolio of investments (Pledged Collateral).
Borrowings outstanding are recognized as
Borrowings on the Statement of Assets and Liabilities. Interest expense incurred on the drawn amount and undrawn balance, as well as the amendment fee are each recognized as a component of Interest expense on borrowings on
the Statement of Operations.
44
Rehypothecation
The Fund has entered into a Rehypothecation Side Letter (Side Letter) with its prime brokerage lender, allowing it to re-register the Pledged Collateral in
its own name or in a name other than the Funds to pledge, repledge, hypothecate, rehypothecate, sell, lend or otherwise transfer or use the Pledged Collateral (the Hypothecated Securities) with all rights of ownership as described
in the Side Letter. Subject to certain conditions, the total value of the outstanding Hypothecated Securities shall not exceed the lesser of (i) 98% of the outstanding balance on the Borrowings to which the Pledged Collateral relates and
(ii) 331⁄3% of the Funds total assets. The Fund may designate any Pledged Collateral as ineligible for rehypothecation. The Fund may also recall
Hypothecated Securities on demand.
The Fund also has the right to apply and set-off an amount equal to one-hundred percent (100%) of the then-current fair
market value of such Pledged Collateral against the current Borrowings under the Side Letter in the event that the prime brokerage lender fails to timely return the Pledged Collateral and in certain other circumstances. In such circumstances,
however, the Fund may not be able to obtain replacement financing required to purchase replacement securities and, consequently, the Funds income generating potential may decrease. Even if the Fund is able to obtain replacement financing, it
might not be able to purchase replacement securities at favorable prices.
The Fund will receive a fee in connection with the Hypothecated Securities
(Rehypothecation Fees) in addition to any principal, interest, dividends and other distributions paid on the Hypothecated Securities.
As of the end of
the reporting period, the Fund had Hypothecated Securities totalling $57,462,247. During the current fiscal period, the Fund earned Rehypothecation Fees of $29,486, which is recognized as Other income on the Statement of Operations.
Inter-Fund Borrowing and Lending
The Securities and Exchange Commission
(SEC) has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary
purposes (e.g., to satisfy redemption requests or when a sale of securities fails, resulting in an unanticipated cash shortfall) (the Inter-Fund Program). The closed-end Nuveen funds, including the Fund covered by this
shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of
conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial
institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the funds outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of
its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an
equivalent percentage of collateral to loan value; (3) if a funds total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a
secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a funds inter-fund loans to any one
fund shall not exceed 5% of the lending funds net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund
loan may be called on one business days notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is
consistent with the funds investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.
The limitations
detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or
lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one days notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take
other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.
During the current reporting period, the Fund did not enter into any inter-fund loan activity.
45
Additional Fund Information (Unaudited)
|
|
|
|
|
|
|
|
|
Board of Trustees
|
|
|
|
|
|
|
|
|
Jack B. Evans
|
|
William C. Hunter
|
|
Albin F. Moschner
|
|
John K. Nelson
|
|
Judith M. Stockdale
|
Carole E. Stone
|
|
Terence J. Toth
|
|
Margaret L. Wolff
|
|
Robert L. Young
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Adviser
Nuveen Fund Advisors, LLC
333 West Wacker Drive
Chicago, IL 60606
|
|
Custodian
State Street Bank
& Trust
Company
One Lincoln Street
Boston, MA 02111
|
|
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
60603
|
|
Independent Registered
Public Accounting Firm
KPMG
LLP
200 East Randolph Street
Chicago, IL 60601
|
|
Transfer Agent and
Shareholder Services
Computershare
Trust Company N.A.
150 Royall Street
Canton, MA 02021
(800) 257-8787
|
Distribution Information
The Fund hereby designates its
percentage of dividends paid from net ordinary income as dividends qualifying for the dividends received deduction (DRD) for corporations and its percentage as qualified dividend income (QDI) for individuals under
Section 1(h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to
shareholders shortly after calendar year end.
The Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying as
Interest-Related Dividends and/or short-term capital gain dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended December 31, 2019:
|
|
|
|
|
% of Interest-Related
Dividends
|
|
|
8.0%
|
|
Portfolio of Investments Information
The Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third
quarters of each fiscal year as an exhibit to its report on Form N-PORT. You may obtain this information on the SECs website at http://www.sec.gov.
Nuveen Funds Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month
period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveens website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how
to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR
CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Nuveen Fund Advisors, LLC is the registrants investment adviser
(also referred to as the Adviser). The Adviser is responsible for the on-going monitoring of the Funds investment portfolio, managing the Funds business affairs and providing certain clerical, bookkeeping and administrative
services. The Adviser has engaged Symphony Asset Management LLC (Symphony) and NWQ Investment Management Company, LLC (NWQ), as Sub-Advisers to provide discretionary investment advisory services with respect to the
registrants investments in senior loans and other debt instruments and equity investments, respectively (Symphony and NWQ are also collectively referred to as Sub-Advisers). As part of these services, the Adviser has delegated to
the Sub-Advisers the full responsibility for proxy voting on securities held in the registrants portfolio and related duties in accordance with each Sub-Advisers policies and procedures. The Adviser periodically monitors each
Sub-Advisers voting to ensure that it is carrying out its duties. NWQs voting policies and procedures are attached to this filing as an exhibit. Symphonys proxy voting policies and procedures are summarized as follows:
SYMPHONY
Symphony has adopted and implemented proxy voting
guidelines to ensure that proxies are voted in the best interest of its Clients. These are merely guidelines and specific situations may call for a vote which does not follow the guidelines. In determining how to vote proxies, Symphony will follow
the Proxy Voting Guidelines of the independent third party which Symphony has retained to provide proxy voting services (Symphonys Proxy Guidelines).
Symphony has created a Proxy Voting Committee to periodically review Symphonys Proxy Guidelines, address conflicts of interest, specific situations and
any portfolio managers decision to deviate from Symphonys Proxy Guideline, (including the third partys guidelines). Under certain circumstances, Symphony may vote one way for some Clients and another way for other Clients. For
example, votes for a Client who provides specific voting instructions may differ from votes for Clients who do not provide proxy voting instructions. However, when Symphony has discretion, proxies will generally be voted the same way for all
Clients. In addition, conflicts of interest in voting proxies may arise between Clients, between Symphony and its employees, or a lending or other material relationship. As a general rule, conflicts will be resolved by Symphony voting in accordance
with Symphonys Proxy Guidelines when:
|
|
|
Symphony manages the account of a corporation or a pension fund sponsored by a corporation in which Clients of
Symphony also own stock. Symphony will vote the proxy for its other Clients in accordance with Symphonys Proxy Guidelines and will follow any directions from the corporation or the pension plan, if different than Symphonys Proxy
Guidelines;
|
|
|
|
An employee or a member of his/her immediate family is on the Board of Directors or a member of senior management
of the company that is the issuer of securities held in Clients account;
|
|
|
|
Symphony has a borrowing or other material relationship with a corporation whose securities are the subject of
the proxy.
|
Proxies will always be voted in the best interest of Symphonys Clients. Those situations that do not fit
within the general rules for the resolution of conflicts of interest will be reviewed by the Proxy Voting Committee. The Proxy Voting Committee, after consulting with senior management, if appropriate, will determine how the proxy should be voted.
For example, when a portfolio manager decides not to follow Symphonys Proxy Guidelines, the Proxy Voting Committee will review a portfolio managers recommendation and determine how to vote the proxy. Decisions by the Proxy Voting
Committee will be documented and kept with records related to the voting of proxies. A summary of specific votes will be retained in accordance with Symphonys Books and Records Requirements which are set forth Symphonys Compliance Manual
and Code of Ethics.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Nuveen Fund Advisors, LLC is the registrants investment adviser (also referred to as the Adviser). The Adviser is responsible for the
selection and on-going monitoring of the Funds investment portfolio, managing the Funds business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has
engaged Symphony Asset Management LLC (Symphony) and NWQ Investment Management Company, LLC (NWQ), as Sub-Advisers to provide discretionary investment advisory services with respect to
the registrants investments in senior loans and other debt instruments and equity investments, respectively (Symphony and NWQ are also collectively referred to as Sub-Advisers). The following
section provides information on the portfolio managers at each Sub-Adviser:
Symphony
Item 8(a)(1).
|
PORTFOLIO MANAGER BIOGRAPHIES
|
As of the date of filing this report, the following individuals at the Sub-Adviser have primary responsibility for the
day-to-day implementation of the Funds investment strategy:
Scott
Caraher, Co-Portfolio Manager of the Fund, is a member of Symphonys fixed-income team and his responsibilities include portfolio management and trading for Symphonys bank loan strategies and
research for its fixed-income strategies. Prior to joining Symphony in 2002, Mr. Caraher was an Investment Banking Analyst in the industrial group at Deutsche Banc Alex Brown in New York.
Jenny Rhee, Co-Portfolio Manager of the Fund, joined Symphony in 2001. Her responsibilities include portfolio
management for Symphonys long-short credit strategy, credit trading, and research. Previously, Ms. Rhee was a Senior Vice President and Portfolio Manager at Basso Capital Management in London where she helped launch their European credit
platform.
Item 8(a)(2).
|
OTHER ACCOUNTS MANAGED
|
|
|
|
|
|
|
|
|
|
Other Accounts Managed by Symphony PM
|
|
|
|
|
As of 12/31/19
|
|
|
|
|
|
|
|
|
|
|
|
Scott Caraher
|
|
|
Jenny Rhee
|
|
(a) RICs
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
11
|
|
|
|
9
|
|
Assets
|
|
$
|
7 billion
|
|
|
$
|
6.2 billion
|
|
|
|
|
(b) Other pooled accts
|
|
|
|
|
|
|
|
|
Non-performance fee accts
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
5
|
|
|
|
1
|
|
Assets
|
|
$
|
940.9 million
|
|
|
$
|
103.7 million
|
|
Performance fee accts
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
1
|
|
|
|
1
|
|
Assets
|
|
$
|
345 thousand
|
|
|
|
826.6 million
|
|
|
|
|
(c) Other
|
|
|
|
|
|
|
|
|
Non-performance fee accts
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
5
|
|
|
|
8
|
|
Assets
|
|
$
|
1.3 billion
|
|
|
$
|
8.6 million
|
|
Performance fee accts
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
0
|
|
|
|
0
|
|
Assets
|
|
$
|
0
|
|
|
$
|
0
|
|
POTENTIAL MATERIAL CONFLICTS OF INTEREST
As described below, the portfolio manager may manage other accounts with investment strategies similar to the Fund, including other investment companies and
separately managed accounts. Fees earned by the sub-adviser may vary among these accounts and the portfolio managers may personally invest in some but not all of these accounts. These factors could create
conflicts of interest because a portfolio manager may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if a portfolio manager identified a limited investment
opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio manager may execute
transactions for another account that may adversely impact the value of securities held by the Fund. However, the sub-adviser believes that these risks are mitigated by the fact that accounts with like
investment strategies managed by a particular portfolio manager are generally managed in a similar fashion, subject to exceptions to account for particular investment restrictions or policies applicable only to certain accounts, differences in cash
flows and account sizes, and other factors. In addition, the sub-adviser has adopted trade allocation procedures that require equitable allocation of trade orders for a particular security among participating
accounts.
Item 8(a)(3).
|
FUND MANAGER COMPENSATION
|
As of the most recently completed fiscal year end, the primary portfolio managers compensation is as follows:
Symphony investment professionals receive compensation based on three elements: fixed-base salary, participation in a bonus pool and certain long-term
incentives.
The fixed-base salary is set at a level determined by Symphony and is reviewed periodically to ensure that it is competitive with base
salaries paid by similar financial services companies for persons playing similar roles.
The portfolio manager is also eligible to receive an annual bonus
from a pool based on Symphonys aggregate asset-based and performance fees after all operating expenses.
Bonus compensation for each individual is based on a variety of factors, including the performance of Symphony,
the Fund, the team and the individual. Fund performance is assessed on a pre-tax total return risk-adjusted basis, and generally measured relative to the Funds primary benchmark and/or industry peer
group for one, three or five year periods as applicable. Finally, certain key employees of Symphony, including the portfolio managers, have received profits interests in Symphony which entitle their holders to participate in the firms growth
over time.
Item 8(a)(4).
|
OWNERSHIP OF JTA SECURITIES AS OF DECEMBER 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Name of Portfolio
Manager
|
|
None
|
|
$1-$10,000
|
|
|
$10,001-
$50,000
|
|
|
$50,001-
$100,000
|
|
|
$100,001-
$500,000
|
|
|
$500,001-
$1,000,000
|
|
|
Over $1,000,000
|
|
Scott Caraher
|
|
X
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Jenny Rhee
|
|
X
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NWQ
Item 8(a)(1).
|
PORTFOLIO MANAGER BIOGRAPHIES
|
As of the date of filing this report, the following individuals at the Sub-Adviser (the Portfolio
Managers) have primary responsibility for the day-to-day implementation of the Funds investment strategy:
Thomas J. Ray, CFA, Managing Director, Co-Head of Fixed Income, Portfolio Manager/Analyst
Prior to joining NWQ in 2015, Tom was a Private Investor. Prior to that, he served as Chief Investment Officer, President and founding member of Inflective
Asset Management; a boutique investment firm specializing in convertible securities. Prior to founding Inflective, Tom also served as portfolio manager at Transamerica Investment Management. Tom graduated from University of Wisconsin with a B.B.A in
Finance, Investment & Banking and an M.S. in Finance. He holds the Chartered Financial Analyst designation and is a member of the CFA Institute.
Susi Budiman, CFA, Managing Director and Co-Head of Fixed Income, Portfolio Manager/Analyst
Prior to joining NWQ in 2006, Susi was Portfolio Manager for China Life Insurance Company, Ltd. in Taiwan where she managed multi-sector and multi-currency
fixed income portfolios with responsibility for over $1.8 billion in assets under management. Prior to that, she was a currency exchange sales associate at Fleet National Bank in Singapore covering Asian, Euro and other major currencies.
Susi earned her B. Comm. in Finance from the University of British Columbia and received her M.B.A. in Finance at the Marshall School of Business at the
University of Southern California. She earned her Chartered Financial Analyst designation from the CFA Institute in 2006 and is a member of the Los Angeles Society of Financial Analysts. She also earned her Financial Risk Manager designation in
2003.
James T. Stephenson, CFA, Managing Director, Portfolio Manager, and Equity Analyst
Prior to joining NWQ in 2006, Jim spent seven years at Bel Air Investment Advisors, LLC, formerly a State Street Global Advisors Company, where he was a
Managing Director and Partner. Most recently, Jim was Chairman of the firms Equity Policy Committee and the Portfolio Manager for Bel Airs Large Cap Core and Select strategies. Previous to this, he spent five years as an Analyst and
Portfolio Manager at ARCO Investment Management Company. Prior to that, he was an Equity Analyst at Trust Company of the West. Jim received his B.B.A. and M.S. in Business from the University of Wisconsin-Madison, where he participated in the
Applied Security Analysis Program. In addition, he earned the designation of Chartered Financial Analyst in 1993 and is a member of the CFA Institute and the Los Angeles Society of Financial Analysts.
Item 8(a)(2).
|
OTHER ACCOUNTS MANAGED as of 12/31/19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thomas J. Ray
|
|
|
Susi Budiman
|
|
|
James T. Stephenson
|
|
(a) RICs
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
6
|
|
|
|
3
|
|
|
|
5
|
|
Assets
|
|
$
|
2.8 billion
|
|
|
$
|
2.3 billion
|
|
|
$
|
1.4 billion
|
|
|
|
|
|
(b) Other pooled accts
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-performance fee accts
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
3
|
|
|
|
3
|
|
|
|
1
|
|
Assets
|
|
$
|
1.6 billion
|
|
|
$
|
1.6 billion
|
|
|
$
|
99.2 million
|
|
Performance fee accts (pooled)
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
(c) Other
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-performance fee accts
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
1182
|
|
|
|
1179
|
**
|
|
|
478
|
**
|
Assets
|
|
$
|
921 million
|
*
|
|
$
|
871 million
|
**
|
|
$
|
779 million**
|
|
Performance fee accts
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of accts
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
Assets ($000s)
|
|
|
0
|
|
|
|
0
|
|
|
|
0
|
|
* includes approximately $150 million in model-based assets as of 12/31/19.
**includes approximately $404 million in model-based assets as of 12/31/19.
POTENTIAL MATERIAL CONFLICTS OF INTEREST
Actual or perceived
conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one account. More specifically, portfolio
managers who manage multiple accounts are presented with the following potential conflicts, which are not intended to be an exhaustive list:
|
|
The management of multiple accounts may result in a portfolio manager devoting unequal time and attention to the
management of each account. NWQ seeks to manage such competing interests for the time and attention of the portfolio manager by utilizing investment models for the management of most investment strategies.
|
|
|
If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one
account, an account may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible accounts. To deal with these situations, NWQ has adopted procedures for allocating limited
opportunities across multiple accounts.
|
|
|
With respect to many of its clients accounts, NWQ determines which broker to utilize when placing orders
for execution, consistent with its duty to seek to obtain best execution of the transaction. However, with respect to certain other accounts, NWQ may be limited by the client with respect to the selection of brokers or may be instructed to direct
trades through a particular broker. In these cases, NWQ may place separate transactions for certain accounts which may temporarily affect the market price of the security or the execution of the transaction, or both, to the detriment of other
accounts. NWQ seeks to minimize market impact by using its discretion in releasing orders in a manner which seeks to cause the least possible impact while keeping within the approximate price range of the discretionary block trade.
|
|
|
Finally, the appearance of a conflict of interest may arise where NWQ has an incentive, such as a
performance-based management fee, which relates to the management of some accounts, with respect to which the portfolio manager has day-to-day management
responsibilities. NWQ periodically performs a comparative analysis of the performance between accounts with performance fees and those without performance fees.
|
NWQ has adopted certain compliance procedures which are designed to address these types of conflicts common among investment managers. However, there is
no guarantee that such procedures will detect each and every situation in which a conflict arises.
Item 8(a)(3).
|
FUND MANAGER COMPENSATION
|
As of the most recently completed fiscal year end, the primary portfolio managers compensation is as follows:
NWQ Investment Management Company, LLC (NWQ)s philosophy is to provide performance-based and market-competitive compensation, while
mitigating inappropriate or excessive risk taking. There are three primary components of compensation: (1) base and benefits, (2) annual cash award, and (3) equity-like performance-based plans.
Base pay is determined based upon an analysis of the employees general performance, experience, and market levels of base pay for such positions. Base
salary and annual variable compensation targets are reviewed annually, while other benefit plans are periodically reviewed to ensure competitiveness.
The
variable compensation is an annual cash award that can be a multiple of the base salary. NWQs annual variable compensation program includes both subjective and objective criteria with emphasis placed on sustained, long-term performance. The
subjective portion of the incentive compensation is based on a qualitative evaluation made by each investment professionals supervisor taking into consideration a number of factors, including the investment professionals team
collaboration, expense management, support of personnel responsible for asset growth, and his or her compliance with NWQs policies and procedures.
Senior employees participate in equity-like profits interest plans, which provide a meaningful opportunity to
participate in the long-term success of the business. These profits interests vest over time and entitle participants to a percentage of NWQs annual profitability, enabling employees to participate in the growth of the overall value of NWQ.
These awards allow participants to benefit directly from the financial performance and growth of NWQ over time and ensure that they have a strong alignment of interests with the firms clients over the long term. The profits interests are
designed to provide senior personnel with strong incentives to remain with the firm and participate in its success and include non-compete and non-solicitation terms.
Additional details regarding the program are proprietary.
Item 8(a)(4).
|
OWNERSHIP OF JTA SECURITIES AS OF DECEMBER 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Name of Portfolio
Manager
|
|
None
|
|
$1-$10,000
|
|
$10,001-
$50,000
|
|
$50,001-
$100,000
|
|
|
$100,001-
$500,000
|
|
|
$500,001-
$1,000,000
|
|
|
Over $1,000,000
|
|
Thomas J. Ray
|
|
X
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Susi Budiman
|
|
X
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
James T. Stephenson
|
|
|
|
|
|
X
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED
PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF
MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the
registrants Board implemented after the registrant last provided disclosure in response to this Item.