Nuveen Tax Advantaged Total Return Strategy Fund NPORTP Nuveen Tax-Advantaged Total Return Strategy Fund (Sep 2021 report)

JTA

Nuveen Tax-Advantaged Total Return
Strategy Fund

Portfolio of Investments September 30, 2021

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 145.4% (97.6% of Total Investments)

		COMMON STOCKS – 99.6% (66.9% of Total Investments)

		Aerospace & Defense – 2.4%

	20,763	General Dynamics Corp, (2)	$	4,070,171

		Air Freight & Logistics – 3.5%

	93,212	Deutsche Post AG, (5)		5,845,303

		Automobiles – 1.8%

	56,335	General Motors Co, (3), (4)		2,969,418

		Banks – 14.7%

	309,049	Bank Leumi Le-Israel BM, (5)		2,618,584
	58,952	Citigroup Inc		4,137,251
	257,687	ING Groep NV, Sponsored ADR		3,733,885
	25,802	JPMorgan Chase & Co		4,223,529
	233,187	Nordea Bank Abp, (3), (5)		3,022,253
	317,489	Oversea-Chinese Banking Corp Ltd, (5)		2,673,489
	89,245	Wells Fargo & Co		4,141,860
		Total Banks		24,550,851

		Biotechnology – 2.5%

	37,805	AbbVie Inc		4,078,025

		Capital Markets – 1.5%

	153,705	Deutsche Boerse AG, ADR, (4)		2,486,947

		Chemicals – 5.6%

	15,789	Air Liquide SA, (5)		2,528,767
	52,378	DuPont de Nemours Inc, (4)		3,561,180
	51,008	Nutrien Ltd		3,310,728
		Total Chemicals		9,400,675

		Communications Equipment – 2.5%

	77,289	Cisco Systems Inc, (2)		4,206,840

		Electrical Equipment – 1.6%

	18,341	Eaton Corp PLC, (4)		2,738,495

		Energy Equipment & Services – 0.0%

	3,683	Transocean Ltd, (3)		13,959

		Entertainment – 2.3%

	2,099	Metro-Goldwyn-Mayer Inc, (3), (5)		274,839
	7,375	Nintendo Co Ltd, (5)		3,524,384
		Total Entertainment		3,799,223

		Food & Staples Retailing – 2.3%

	27,566	Walmart Inc, (4)		3,842,149

		Food Products – 1.4%

	1,282,500	Tingyi Cayman Islands Holding Corp, (5)		2,384,567

		Health Care Equipment & Supplies – 2.4%

	31,207	Medtronic PLC, (4)		3,911,797



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Shares		Description (1)		Value

		Health Care Providers & Services – 4.4%

	12,142	Anthem Inc		$	4,526,538
	40,512	Fresenius Medical Care AG & Co KGaA, (5)			2,841,684
	6,140	Millennium Health LLC, (3), (6)			5,735
	5,767	Millennium Health LLC, (3), (6)			4,810
		Total Health Care Providers & Services			7,378,767

		Hotels, Restaurants & Leisure – 1.7%

	27,702	24 Hour Fitness Worldwide Inc, (5)			76,181
	58,263	24 Hour Fitness Worldwide Inc, (3), (5)			116,526
	17,841	Darden Restaurants Inc			2,702,376
		Total Hotels, Restaurants & Leisure			2,895,083

		Household Durables – 1.4%

	49,088	PulteGroup Inc, (4)			2,254,121

		Industrial Conglomerates – 3.3%

	33,210	Siemens AG, (5)			5,431,529

		Insurance – 5.1%

	57,948	Ageas SA/NV, (5)			2,869,610
	11,603	Allianz SE, (5)			2,599,601
	11,995	Everest Re Group Ltd, (4)			3,008,106
		Total Insurance			8,477,317

		IT Services – 1.7%

	13,451	Capgemini SE, (5)			2,789,424

		Media – 4.1%

	14,015	Clear Channel Outdoor Holdings Inc, (3)			37,981
	70,215	Comcast Corp, (2)			3,927,125
	1	Cumulus Media Inc, (3)			12
	165,600	Hakuhodo DY Holdings Inc, (5)			2,849,801
	3,185	Tribune Co, (3), (5)			32
		Total Media			6,814,951

		Metals & Mining – 1.4%

	90,221	BHP Group PLC, (5)			2,273,059

		Multi-Utilities – 3.2%	��

	28,389	Dominion Energy Inc			2,072,965
	277,251	National Grid PLC, (5)			3,303,644
		Total Multi-Utilities			5,376,609

		Oil, Gas & Consumable Fuels – 4.7%

	32,045	Chevron Corp, (2), (4)			3,250,966
	197,380	Enterprise Products Partners LP, (4)			4,271,303
	3,057	Fieldwood Energy LLC, (3), (5)			305,700
		Total Oil, Gas & Consumable Fuels			7,827,969

		Personal Products–1.6%

	44,500	Kao Corp, (5)			2,648,354

		Pharmaceuticals – 4.0%(2.7%

	68,486	AstraZeneca PLC, Sponsored ADR, (4)			4,113,269
	68,277	GlaxoSmithKline PLC, Sponsored ADR			2,608,864
		Total Pharmaceuticals			6,722,133

		Semiconductors & Semiconductor Equipment – 1.6%

	997	Broadcom Inc, (4)			483,475
	39,992	Intel Corp, (4)			2,130,774
		Total Semiconductors & Semiconductor Equipment			2,614,249


Shares		Description (1)	Value

		Software – 4.8%

	14,192	Microsoft Corp	$	4,001,009
	46,397	Oracle Corp		4,042,570
		Total Software		8,043,579

		Specialty Retail – 4.4%

	75,982	Industria de Diseno Textil SA, (5)		2,795,814
	12,410	Lowe’s Cos Inc, (4)		2,517,492
	1,698,000	Topsports International Holdings Ltd, 144A, (5)		1,928,421
		Total Specialty Retail		7,241,727

		Technology Hardware, Storage & Peripherals – 2.2%

	63,198	Samsung Electronics Co Ltd, (5)		3,686,887

		Tobacco – 1.4%(0.9%

	24,078	Philip Morris International Inc		2,282,354

		Trading Companies & Distributors – 1.5%

	115,700	Mitsui & Co Ltd, (5)		2,530,009

		Wireless Telecommunication Services – 2.6%

	16,052	SK Telecom Co Ltd, (5)		4,359,984
		Total Common Stocks (cost $127,549,378)		165,946,525


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		VARIABLE RATE SENIOR LOAN INTERESTS–30.1%(20.2% of Total Investments) (7)

		Aerospace & Defense – 0.2%

$	77	Dynasty Acquisition Co., Inc., Term Loan B1		3.632%		3-Month LIBOR		3.500%		4/08/26		B-	$	75,818
	42	Dynasty Acquisition Co., Inc., Term Loan B2		3.632%		3-Month LIBOR		3.500%		4/08/26		B-		40,762
	250	Maxar Technologies Ltd., Term Loan B		2.840%		1-Month LIBOR		2.750%		10/05/24		B		248,321
	369	Total Aerospace & Defense												364,901

		Airlines – 0.3%

	225	Air Canada, Term Loan B		4.250%		3-Month LIBOR		3.500%		8/11/28		Ba2		226,218
	17	American Airlines, Inc., Term Loan		2.084%		1-Month LIBOR		2.000%		12/14/23		Ba3		17,029
	32	Kestrel Bidco Inc., Term Loan B		4.000%		6-Month LIBOR		3.000%		12/11/26		BB-		31,479
	249	United Airlines, Inc., Term Loan B		4.500%		3-Month LIBOR		3.750%		4/21/28		Ba1		251,026
	523	Total Airlines								��				525,752

		Auto Components – 0.4%

	498	Adient US LLC, Term Loan B		3.584%		1-Month LIBOR		3.500%		4/08/28		BB-		499,426
	127	Clarios Global LP, Term Loan B		3.337%		1-Month LIBOR		3.250%		4/30/26		B1		126,385
	38	DexKo Global, Inc., Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		B1		37,816
	7	DexKo Global, Inc., Term Loan B, (WI/DD), (10)		TBD		TBD		TBD		TBD		B1		7,203
	670	Total Auto Components												670,830

		Building Products – 0.4%

	156	Advanced Drainage Systems Inc, Term Loan B		2.375%		1-Month LIBOR		2.250%		9/24/26		Baa3		156,104
	100	All-Star Bidco AB, Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B2		99,937
	373	Cornerstone Building Brands, Inc., Term Loan B		3.750%		1-Month LIBOR		3.250%		4/12/28		B+		373,049
	629	Total Building Products												629,090



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Capital Markets – 0.0%

$	79	RPI Intermediate Finance Trust, Term Loan B1		1.834%		1-Month LIBOR		1.750%		2/11/27		BBB-	$	78,834

		Chemicals – 0.9%

	597	Atotech B.V., Term Loan B, (DD1)		3.000%		3-Month LIBOR		2.500%		3/18/28		B+		597,187
	551	Axalta Coating Systems US Holdings Inc., Term Loan B3		1.882%		3-Month LIBOR		1.750%		6/01/24		BBB-		550,358
	70	Diamond BC BV, Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		Ba3		70,141
	243	H.B. Fuller Company, Term Loan B		2.087%		1-Month LIBOR		2.000%		10/21/24		BBB-		243,496
	47	Lonza Group AG, Term Loan B		4.750%		6-Month LIBOR		4.000%		7/02/28		B2		47,083
	21	Sparta U.S. HoldCo LLC, Term Loan		4.250%		3-Month LIBOR		3.500%		8/02/28		B+		21,066
	1,529	Total Chemicals												1,529,331

		Commercial Services & Supplies – 1.1%

	75	Clean Harbors Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		BBB-		75,156
	510	Delta 2 (LUX) S.a.r.l., Term Loan		3.500%		1-Month LIBOR		2.500%		2/01/24		B+		509,158
	351	GFL Environmental Inc., Term Loan		3.500%		3-Month LIBOR		3.000%		5/30/25		BB-		352,018
	51	Prime Security Services Borrower, LLC, Term Loan, (DD1)		3.500%		12-Month LIBOR		2.750%		9/23/26		BB-		50,757
	101	Prime Security Services Borrower, LLC, Term Loan, (DD1)		3.500%		6-Month LIBOR		2.750%		9/23/26		BB-		101,513
	51	Prime Security Services Borrower, LLC, Term Loan, (DD1)		3.500%		3-Month LIBOR		2.750%		9/23/26		BB-		50,757
	77	Prime Security Services Borrower, LLC, Term Loan, (DD1)		3.500%		1-Month LIBOR		2.750%		9/23/26		BB-		77,658
	64	Sabert Corporation, Term Loan B		5.500%		1-Month LIBOR		4.500%		12/10/26		B		64,028
	12	Trans Union, LLC, Term Loan B5		1.834%		1-Month LIBOR		1.750%		11/13/26		BBB-		11,942
	25	Travelport Finance (Luxembourg) S.a.r.l., Term Loan, (cash 3.500%, PIK 6.500%)		3.500%		3-Month LIBOR		2.500%		2/28/25		B-		25,690
	37	West Corporation, Term Loan B1		4.500%		3-Month LIBOR		3.500%		10/10/24		B2		36,256
	485	WEX Inc., Term Loan		2.334%		1-Month LIBOR		2.250%		4/01/28		Ba2		483,779
	1,839	Total Commercial Services & Supplies												1,838,712

		Communications Equipment – 0.4%

	76	CommScope, Inc., Term Loan B		3.336%		1-Month LIBOR		3.250%		4/04/26		Ba3		75,715
	225	MetroNet Systems Holdings, LLC, Term Loan, First Lien		4.500%		1-Month LIBOR		3.750%		6/02/28		B2		225,279
	25	MetroNet Systems Holdings, LLC, Term Loan, First Lien		4.500%		3-Month LIBOR		3.750%		6/02/28		B2		25,031
	33	Riverbed Technology, Inc., Term Loan B		7.000%		3-Month LIBOR		6.000%		12/31/25		B2		29,698
	325	Univision Communications Inc., Term Loan C5		2.834%		1-Month LIBOR		2.750%		3/15/24		B		325,440
	684	Total Communications Equipment												681,163

		Construction & Engineering – 0.9%

	748	AECOM, Term Loan B		1.834%		1-Month LIBOR		1.750%		4/13/28		BBB-		749,154
	350	Brown Group Holding, LLC, Term Loan B		3.250%		3-Month LIBOR		2.750%		4/22/28		B+		350,584
	100	Centuri Group, Inc, Term Loan B		3.000%		3-Month LIBOR		2.500%		8/27/28		Ba2		100,083
	200	FrontDoor Inc, Term Loan B		2.335%		1-Month LIBOR		2.250%		6/17/28		Ba2		199,625
	40	Zurn Holdings Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		BB		40,080
	1,438	Total Construction & Engineering												1,439,526

		Containers & Packaging – 0.3%

	45	Grinding Media Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B		45,169
	330	Reynolds Consumer Products LLC, Term Loan		1.834%		1-Month LIBOR		1.750%		2/04/27		BBB-		329,964
	50	Reynolds Group Holdings Inc. , Term Loan B		4.000%		1-Month LIBOR		3.500%		9/24/28		B+		50,000
	425	Total Containers & Packaging												425,133


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Distributors – 0.4%

$	250	Core & Main LP, Term Loan B		2.586%		1-Month LIBOR		2.500%		6/10/28		Ba3	$	249,428
	396	Univar Solutions USA Inc., Term Loan B6		2.084%		1-Month LIBOR		2.000%		6/03/28		BBB-		395,354
	646	Total Distributors												644,782

		Diversified Financial Services – 0.9%

	24	Avaya, Inc., Term Loan B2, (WI/DD)		TBD		TBD		TBD		TBD		N/R		24,163
	748	Fleetcor Technologies Operating Company, LLC, Term Loan B4		1.834%		1-Month LIBOR		1.750%		4/30/28		BB+		747,325
	330	Lions Gate Capital Holdings LLC, Term Loan B		2.334%		1-Month LIBOR		2.250%		3/24/25		Ba2		328,220
	376	Verscend Holding Corp., Term Loan B		4.084%		1-Month LIBOR		4.000%		8/27/25		BB-		376,279
	1,478	Total Diversified Financial Services												1,475,987

		Diversified Telecommunication Services – 0.9%

	60	Altice France S.A., Term Loan B12		3.814%		3-Month LIBOR		3.688%		1/31/26		B		59,615
	486	Altice France S.A., Term Loan B13		4.125%		3-Month LIBOR		4.000%		8/14/26		B		485,642
	796	CenturyLink, Inc., Term Loan B		2.337%		1-Month LIBOR		2.250%		3/15/27		BBB-		787,963
	12	Frontier Communications Corp., DIP Term Loan B		4.500%		3-Month LIBOR		3.750%		10/08/27		BB+		12,191
	40	Intelsat Jackson Holdings S.A., Term Loan B4, (11)		8.750%		3-Month LIBOR		5.500%		1/02/24		N/R		40,763
	64	Intelsat Jackson Holdings S.A., Term Loan B5, (11)		8.625%		Fixed		8.625%		1/02/24		N/R		65,201
	1,458	Total Diversified Telecommunication Services												1,451,375

		Electric Utilities – 0.0%

	3	Vistra Operations Company LLC, Term Loan, First Lien B3, (DD1)		1.834%		1-Month LIBOR		1.750%		12/31/25		BBB-		2,924

		Electrical Equipment – 0.3%

	275	Avolon TLB Borrower 1 (US) LLC, Term Loan B4		2.250%		1-Month LIBOR		1.500%		2/12/27		Baa2		272,800
	279	Ingram Micro Inc., Term Loan B		4.000%		3-Month LIBOR		3.500%		7/02/28		BB+		280,313
	554	Total Electrical Equipment												553,113

		Entertainment – 0.3%

	9	AMC Entertainment Holdings, Inc., Term Loan B		3.083%		1-Month LIBOR		3.000%		4/22/26		B-		8,615
	297	Crown Finance US, Inc., Term Loan		3.500%		6-Month LIBOR		2.500%		2/28/25		CCC		245,273
	40	Crown Finance US, Inc., Term Loan, (DD1)		3.750%		3-Month LIBOR		2.750%		9/20/26		CCC		33,095
	27	Crown Finance US, Inc., Term Loan B1		9.250%		3-Month LIBOR		8.250%		5/23/24		B-		29,308
	24	Metro-Goldwyn-Mayer Inc., Term Loan, First Lien		2.590%		1-Month LIBOR		2.500%		7/03/25		BB-		24,376
	249	William Morris Endeavor Entertainment, LLC, Term Loan, First Lien		2.840%		1-Month LIBOR		2.750%		5/16/25		B		244,330
	646	Total Entertainment												584,997

		Food Products – 0.4%

	207	B&G Foods, Inc., Term Loan B4		2.584%		1-Month LIBOR		2.500%		10/10/26		BB		206,738
	385	Froneri International Ltd., Term Loan		2.334%		1-Month LIBOR		2.250%		1/31/27		B+		381,253
	100	Sycamore Buyer LLC, Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		BB+		99,812
	692	Total Food Products												687,803

		Health Care Equipment & Supplies – 0.6%

	499	Insulet Corporation, Term Loan B		3.750%		1-Month LIBOR		3.250%		5/04/28		Ba3		500,830
	500	Mozart Borrower LP, Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B+		499,062
	999	Total Health Care Equipment & Supplies												999,892



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Health Care Providers & Services – 1.5%

$	250	AHP Health Partners, Inc., Term Loan B		4.000%		1-Month LIBOR		3.500%		8/23/28		B1	$	251,016
	40	CHG Healthcare Services Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B1		40,107
	166	Gates Global LLC, Term Loan B3		3.250%		1-Month LIBOR		2.500%		3/31/27		B+		166,375
	496	Global Medical Response, Inc., Term Loan B		5.750%		3-Month LIBOR		4.750%		10/02/25		B		498,793
	50	Global Medical Response, Inc., Term Loan B2, (WI/DD)		TBD		TBD		TBD		TBD		B		50,256
	329	Onex TSG Intermediate Corp., Term Loan B		5.500%		3-Month LIBOR		4.750%		2/26/28		B		332,302
	226	Phoenix Guarantor Inc, Term Loan B		3.336%		1-Month LIBOR		3.250%		3/05/26		B1		224,499
	249	Phoenix Guarantor Inc, Term Loan B3		3.585%		1-Month LIBOR		3.500%		3/05/26		B1		248,128
	716	RegionalCare Hospital Partners Holdings, Inc., Term Loan B		3.835%		1-Month LIBOR		3.750%		11/16/25		B1		715,540
	32	Surgery Center Holdings, Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B1		32,011
	2,554	Total Health Care Providers & Services												2,559,027

		Health Care Technology – 0.5%

	593	Change Healthcare Holdings LLC, Term Loan B		3.500%		3-Month LIBOR		2.500%		3/01/24		B+		592,738
	5	Change Healthcare Holdings LLC, Term Loan B		3.500%		1-Month LIBOR		2.500%		3/01/24		B+		5,287
	246	Zelis Healthcare Corporation, Term Loan		3.586%		1-Month LIBOR		3.500%		9/30/26		B		244,931
	844	Total Health Care Technology												842,956

		Hotels, Restaurants & Leisure – 3.5%

	915	1011778 B.C. Unlimited Liability Company, Term Loan B4		1.837%		1-Month LIBOR		1.750%		11/19/26		BB+		905,047
	119	24 Hour Fitness Worldwide, Inc., Exit Term Loan, (cash 0.132%, PIK 5.000%)		5.132%		3-Month LIBOR		5.000%		12/29/25		B3		103,154
	48	All Day AcquisitionCo LLC, Term Loan		5.132%		3-Month LIBOR		5.000%		9/29/26		N/R		43,260
	376	Aramark Services, Inc., Term Loan B3		1.834%		1-Month LIBOR		1.750%		3/11/25		BB+		368,921
	375	Bally’s Corp., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		Ba2		375,366
	351	Caesars Resort Collection, LLC, Term Loan, First Lien B		2.834%		1-Month LIBOR		2.750%		12/22/24		B+		349,761
	47	Crown Finance US, Inc., Term Loan B1, (cash 7.132%, PIK 8.250%)		7.132%		3-Month LIBOR		7.000%		5/23/24		B-		57,556
	994	Golden Nugget, Inc., Term Loan B		3.250%		2-Month LIBOR		2.500%		10/04/23		B		990,921
	500	Hilton Grand Vacations Borrower LLC, Term Loan B		3.500%		1-Month LIBOR		3.000%		8/02/28		Ba1		501,750
	261	Hilton Worldwide Finance, LLC, Term Loan B2		1.836%		1-Month LIBOR		1.750%		6/21/26		BBB-		259,395
	149	IRB Holding Corp, Term Loan		4.250%		3-Month LIBOR		3.250%		12/15/27		B		149,656
	373	KFC Holding Co., Term Loan B		1.836%		1-Month LIBOR		1.750%		3/15/28		BBB-		373,625
	436	Marriott Ownership Resorts, Inc., Term Loan B		1.834%		1-Month LIBOR		1.750%		8/31/25		Ba1		429,414
	214	PCI Gaming Authority, Term Loan		2.584%		1-Month LIBOR		2.500%		5/31/26		BBB-		213,304
	249	Scientific Games International, Inc., Term Loan B5		2.834%		1-Month LIBOR		2.750%		8/14/24		B+		247,919
	200	SeaWorld Parks & Entertainment, Inc., Term Loan B		3.500%		1-Month LIBOR		3.000%		8/25/28		BB-		199,626
	344	Stars Group Holdings B.V. (The), Term Loan		3.632%		3-Month LIBOR		2.250%		7/10/25		BBB		343,255
	5,951	Total Hotels, Restaurants & Leisure												5,911,930

		Household Durables – 0.1%

	94	Serta Simmons Bedding, LLC, Term Loan, (11)		8.500%		1-Month LIBOR		7.500%		8/10/23		B-		90,027
	1	Weber-Stephen Products LLC, Term Loan B		4.000%		6-Month LIBOR		3.250%		10/30/27		B1		459
	15	Weber-Stephen Products LLC, Term Loan B		4.000%		1-Month LIBOR		3.250%		10/30/27		B1		15,184
	110	Total Household Durables												105,670


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Insurance – 0.9%

$	246	Acrisure, LLC, Term Loan B		3.632%		3-Month LIBOR		3.500%		2/15/27		B	$	244,403
	498	Alliant Holdings Intermediate, LLC, Term Loan B3		4.250%		1-Month LIBOR		3.750%		11/06/27		B		498,800
	200	Asurion LLC, Term Loan B6		3.209%		1-Month LIBOR		3.125%		11/03/23		Ba3		199,122
	249	Asurion LLC, Term Loan B8		3.334%		1-Month LIBOR		3.250%		12/23/26		Ba3		245,370
	150	Asurion LLC, Term Loan, Second Lien B4		5.334%		1-Month LIBOR		5.250%		1/15/29		B		149,494
	197	Broadstreet Partners, Inc., Term Loan B		3.084%		1-Month LIBOR		3.000%		1/27/27		B1		195,005
	1,540	Total Insurance												1,532,194

		Interactive Media & Services – 0.4%

	748	Rackspace Technology Global, Inc., Term Loan B		3.500%		3-Month LIBOR		2.750%		2/09/28		B+		743,535

		Internet & Direct Marketing Retail – 0.1%

	249	CNT Holdings I Corp, Term Loan		4.500%		3-Month LIBOR		3.750%		11/08/27		B		249,321

		Internet Software & Services – 0.3%

	154	Banff Merger Sub Inc, Term Loan		3.882%		3-Month LIBOR		3.750%		10/02/25		B2		153,355
	289	Uber Technologies, Inc., Term Loan, First Lien B		3.584%		1-Month LIBOR		3.500%		4/04/25		B+		289,837
	443	Total Internet Software & Services												443,192

		IT Services – 0.6%

	35	CCC Intelligent Solutions Inc., Term Loan B		3.000%		3-Month LIBOR		2.500%		9/21/28		B1		35,011
	215	Intrado Corporation, Term Loan		4.743%		2-Month LIBOR		4.000%		10/10/24		B2		212,295
	250	Magenta Buyer LLC, Term Loan, First Lien		5.750%		3-Month LIBOR		5.000%		7/27/28		BB-		250,312
	422	Tempo Acquisition LLC, Extended Term Loan		3.750%		1-Month LIBOR		3.250%		10/31/26		BB-		422,975
	922	Total IT Services												920,593

		Leisure Products – 0.1%

	46	SRAM, LLC , Term Loan B		3.250%		3-Month LIBOR		2.750%		5/18/28		BB-		45,492
	182	SRAM, LLC , Term Loan B		3.250%		6-Month LIBOR		2.750%		5/18/28		BB-		181,969
	11	SRAM, LLC , Term Loan B		3.250%		1-Month LIBOR		2.750%		5/18/28		BB-		11,373
	239	Total Leisure Product												238,834

		Life Sciences Tools & Services – 0.6%

	195	Phoenix Newco Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		B1		195,275
	746	PPD, Inc., Initial Term Loan		2.500%		1-Month LIBOR		2.000%		1/13/28		Ba2		745,940
	941	Total Life Sciences Tools & Services												941,215

		Machinery – 0.5%

	295	Alliance Laundry Systems LLC, Term Loan B		4.250%		3-Month LIBOR		3.500%		10/08/27		B		295,323
	262	Standard Industries Inc/NJ, Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		BBB-		262,963
	32	Vertical US Newco Inc, Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		B+		32,098
	246	Vertiv Group Corporation, Term Loan B		2.833%		1-Month LIBOR		2.750%		3/02/27		BB-		245,083
	835	Total Machinery												835,467

		Marine – 0.1%

	116	HGIM Corp., Exit Term Loan, (DD1)		7.000%		3-Month LIBOR		6.000%		7/02/23		Caa3		86,726



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Media – 4.3%

$	748	Cable One, Inc., Term Loan B4		2.084%		1-Month LIBOR		2.000%		5/03/28		BB+	$	745,084
	461	Charter Communications Operating, LLC, Term Loan B2		1.840%		1-Month LIBOR		1.750%		2/01/27		BBB-		458,531
	439	Clear Channel Outdoor Holdings, Inc., Term Loan B		3.629%		3-Month LIBOR		3.500%		8/21/26		B1		430,615
	861	CSC Holdings, LLC, Term Loan		2.334%		1-Month LIBOR		2.250%		1/15/26		BB		851,323
	98	CSC Holdings, LLC, Term Loan B1		2.334%		1-Month LIBOR		2.250%		7/17/25		BB		96,783
	358	CSC Holdings, LLC, Term Loan B5		2.584%		1-Month LIBOR		2.500%		4/15/27		BB		354,858
	28	Cumulus Media New Holdings Inc., Term Loan B		4.750%		1-Month LIBOR		3.750%		3/31/26		B		27,677
	34	Diamond Sports Group, LLC, Term Loan		3.340%		1-Month LIBOR		3.250%		8/24/26		Caa1		21,213
	646	DirecTV Financing, LLC, Term Loan		5.750%		3-Month LIBOR		5.000%		8/02/27		BBB-		647,143
	415	iHeartCommunications, Inc., Term Loan		3.084%		1-Month LIBOR		3.000%		5/01/26		B+		412,068
	188	Intelsat Jackson Holdings S.A., DIP Term Loan, (11)		5.392%		3-Month LIBOR		4.750%		7/13/22		N/R		189,686
	311	Intelsat Jackson Holdings S.A., Term Loan B3, (11)		8.000%		1-Month LIBOR		4.750%		11/27/23		N/R		315,636
	80	McGraw-Hill Global Education Holdings, LLC, Term Loan		5.250%		1-Month LIBOR		4.750%		7/30/28		B2		80,343
	79	Meredith Corporation, Term Loan B		5.250%		3-Month LIBOR		4.250%		1/31/25		BB-		80,802
	386	Meredith Corporation, Term Loan B2		2.584%		1-Month LIBOR		2.500%		1/31/25		BB-		385,383
	137	Nexstar Broadcasting, Inc., Term Loan B3		2.334%		1-Month LIBOR		2.250%		1/17/24		BBB-		137,594
	32	Radiate Holdco, LLC, Term Loan		4.250%		1-Month LIBOR		3.500%		9/25/26		B1		31,929
	266	Sinclair Television Group Inc., Term Loan B1		2.340%		1-Month LIBOR		2.250%		1/03/24		Ba2		263,011
	317	Springer Nature Deutschland GmbH, Term Loan B18		3.750%		1-Month LIBOR		3.000%		8/14/26		B+		317,741
	750	Virgin Media Bristol LLC, Term Loan N		2.584%		1-Month LIBOR		2.500%		1/31/28		BB+		745,879
	98	WideOpenWest Finance LLC, Term Loan B		4.250%		1-Month LIBOR		3.250%		8/19/23		B		97,964
	500	Ziggo Financing Partnership, Term Loan I		2.584%		1-Month LIBOR		2.500%		4/30/28		BB		496,528
	7,232	Total Media												7,187,791

		Multiline Retail – 0.1%

	215	EG America LLC, Term Loan		4.145%		3-Month LIBOR		4.000%		2/05/25		B-		214,596

		Oil, Gas & Consumable Fuels – 0.4%

	49	DT Midstream, Inc, Term Loan B		2.500%		3-Month LIBOR		2.000%		6/10/28		Baa2		48,792
	450	DT Midstream, Inc, Term Loan B		2.500%		6-Month LIBOR		2.000%		6/10/28		Baa2		450,387
	156	QuarterNorth Energy Holding Inc., Exit Term Loan, Second Lien		9.000%		3-Month LIBOR		8.000%		8/27/26		B		156,799
	655	Total Oil, Gas & Consumable Fuels												655,978

		Paper & Forest Products – 0.1%

	114	Asplundh Tree Expert, LLC, Term Loan B		1.834%		1-Month LIBOR		1.750%		9/04/27		BBB-		113,573

		Personal Products – 0.2%

	250	Conair Holdings, LLC, Term Loan B		4.250%		3-Month LIBOR		3.750%		5/17/28		B1		250,495
	45	Journey Personal Care Corp., Term Loan B		5.000%		3-Month LIBOR		4.250%		3/01/28		B		45,047
	295	Total Personal Products												295,542

		Pharmaceuticals – 1.3%

	440	Bausch Health Companies Inc., Term Loan B		3.084%		1-Month LIBOR		3.000%		6/02/25		BB		440,265
	239	Endo Luxembourg Finance Company I S.a r.l., Term Loan		6.000%		3-Month LIBOR		5.000%		3/25/28		B-		234,541
	566	Gainwell Acquisition Corp., Term Loan B		4.750%		3-Month LIBOR		4.000%		10/01/27		BB-		568,396


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Pharmaceuticals (continued)

$	249	Jazz Financing Lux S.a.r.l., Term Loan		4.000%		1-Month LIBOR		3.500%		5/05/28		BB+	$	250,000
	22	Mallinckrodt International Finance S.A., Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		D		20,279
	624	Organon & Co, Term Loan		3.500%		3-Month LIBOR		3.000%		6/02/28		BB		625,775
	2,140	Total Pharmaceuticals												2,139,256

		Professional Services – 0.9%

	299	ASGN Incorporated, Term Loan B3		1.834%		1-Month LIBOR		1.750%		4/02/25		BBB-		298,703
	645	Ceridian HCM Holding Inc., Term Loan B		2.572%		1-Week LIBOR		2.500%		4/30/25		B+		637,700
	249	Dun & Bradstreet Corporation (The), Term Loan		3.336%		1-Month LIBOR		3.250%		2/08/26		BB+		248,867
	274	Nielsen Finance LLC, Term Loan B4		2.083%		1-Month LIBOR		2.000%		10/04/23		BBB-		274,211
	1,467	Total Professional Services												1,459,481

		Road & Rail – 0.9%

	221	Avolon TLB Borrower 1 (US) LLC, Term Loan B3		2.500%		1-Month LIBOR		1.750%		1/15/25		Baa2		219,918
	145	First Student Bidco Inc, Term Loan B		3.500%		2-Month LIBOR		3.000%		7/21/28		BB+		143,984
	53	First Student Bidco Inc, Term Loan C		3.500%		3-Month LIBOR		3.000%		7/21/28		BB+		53,175
	212	Fly Funding II S.a.r.l., Term Loan B		1.880%		3-Month LIBOR		1.750%		8/09/25		BB+		210,072
	492	Genesee & Wyoming Inc. (New), Term Loan		2.132%		3-Month LIBOR		2.000%		12/30/26		BB+		490,037
	281	Hertz Corporation, (The), Term Loan B, (DD1)		4.000%		1-Month LIBOR		3.500%		6/30/28		B+		281,271
	53	Hertz Corporation, (The), Term Loan C, (DD1)		4.000%		1-Month LIBOR		3.500%		6/30/28		BB-		52,844
	1,457	Total Road & Rail												1,451,301

		Semiconductors & Semiconductor Equipment – 0.3%

	435	MKS Instruments, Inc., Term Loan B6		1.834%		1-Month LIBOR		1.750%		2/02/26		BB+		434,520

		Software – 2.6%

	330	Apttus Corporation, Term Loan		5.000%		3-Month LIBOR		4.250%		5/06/28		BB		332,551
	499	Delta TopCo, Inc., Term Loan B		4.500%		3-Month LIBOR		3.750%		12/01/27		B2		500,084
	592	Epicor Software Corporation, Term Loan		4.000%		1-Month LIBOR		3.250%		7/31/27		B2		592,734
	529	Informatica LLC,, Term Loan B		3.334%		1-Month LIBOR		3.250%		2/14/27		B1		528,335
	121	MA FinanceCo., LLC, Term Loan B3		2.837%		1-Month LIBOR		2.750%		6/21/24		BB		119,539
	126	McAfee, LLC, Term Loan B		3.837%		1-Month LIBOR		3.750%		9/29/24		BB+		126,524
	256	Proofpoint, Inc., Term Loan, First Lien		3.750%		3-Month LIBOR		3.250%		8/31/28		BB-		254,976
	80	RealPage, Inc, Term Loan, First Lien		3.750%		1-Month LIBOR		3.250%		4/22/28		B+		79,842
	813	Seattle Spinco, Inc., Term Loan B3		2.834%		1-Month LIBOR		2.750%		6/21/24		BB+		807,276
	577	Sophia, L.P., Term Loan, First Lien		4.500%		3-Month LIBOR		3.750%		10/07/27		B		579,359
	146	SS&C European Holdings Sarl, Term Loan B4		1.834%		1-Month LIBOR		1.750%		4/16/25		BB+		144,871
	193	SS&C Technologies Inc., Term Loan B3		1.834%		1-Month LIBOR		1.750%		4/16/25		BB+		191,314
	125	ZoomInfo LLC, Term Loan B		3.084%		1-Month LIBOR		3.000%		2/01/26		BB		125,319
	4,387	Total Software												4,382,724

		Specialty Retail – 0.4%

	231	Birkenstock GmbH & Co. KG, Term Loan B, (DD1)		4.250%		3-Month LIBOR		3.750%		4/28/28		BB-		231,541
	370	PetSmart, Inc., Term Loan B		4.500%		6-Month LIBOR		3.750%		2/12/28		BB-		371,321
	601	Total Specialty Retail												602,862



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Technology Hardware, Storage & Peripherals–0.5%

$	300	Dell International LLC, Term Loan B		2.000%		1-Month LIBOR		1.750%		9/19/25		BBB-	$	299,878
	244	NCR Corporation, Term Loan		2.630%		3-Month LIBOR		2.500%		8/28/26		BB+		242,542
	249	Peraton Corp., Term Loan B		4.500%		1-Month LIBOR		3.750%		2/01/28		BB-		249,333
	793	Total Technology Hardware, Storage & Peripherals												791,753

		Transportation Infrastructure–0.1%

	100	KKR Apple Bidco, LLC, Term Loan		3.500%		1-Month LIBOR		3.000%		7/13/28		B+		100,036

		Wireless Telecommunication Services–0.1%

	249	GOGO Intermediate Holdings LLC, Term Loan B		4.500%		3-Month LIBOR		3.750%		4/30/28		B		250,025
	50,293	Total Variable Rate Senior Loan Interests (cost $49,961,306)												50,074,243


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (9)		Value

		$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 5.7% (3.8% of Total Investments)

		Automobiles – 0.3%

$	175	General Motors Financial Co Inc		5.700%		N/A (12)		BB+	$	201,469
	240	General Motors Financial Co Inc		6.500%		N/A (12)		BB+		270,600
	415	Total Automobiles								472,069

		Banks – 2.9%

	300	Bank of America Corp		6.500%		N/A (12)		BBB+		335,700
	70	Bank of America Corp		6.300%		N/A (12)		BBB+		81,200
	75	Bank of America Corp		6.100%		N/A (12)		BBB+		83,635
	350	CIT Group Inc, (4)		5.800%		N/A (12)		Ba3		357,437
	350	Citigroup Inc		6.250%		N/A (12)		BBB-		405,198
	50	Citigroup Inc		4.000%		N/A (12)		BBB-		51,810
	50	CoBank ACB		6.250%		N/A (12)		BBB+		57,162
	575	JPMorgan Chase & Co, (4)		6.750%		N/A (12)		BBB+		631,062
	50	M&T Bank Corp		5.125%		N/A (12)		Baa2		55,112
	450	M&T Bank Corp, (4)		6.450%		N/A (12)		Baa2		491,062
	550	PNC Financial Services Group Inc, (3-Month LIBOR reference rate + 3.678% spread), (13)		3.804%		N/A (12)		Baa2		551,343
	245	Regions Financial Corp		5.750%		N/A (12)		BB+		273,249
	200	SVB Financial Group		4.100%		N/A (12)		Baa2		205,560
	500	Truist Financial Corp, (4)		4.950%		N/A (12)		Baa2		546,160
	225	Wells Fargo & Co		5.875%		N/A (12)		Baa2		250,765
	500	Zions Bancorp NA		7.200%		N/A (12)		BB+		540,970
	4,540	Total Banks								4,917,425

		Capital Markets – 0.8%

	125	Charles Schwab Corp		7.000%		N/A (12)		BBB		127,188
	475	Charles Schwab Corp		5.375%		N/A (12)		BBB		527,844
	150	Goldman Sachs Group Inc		3.650%		N/A (12)		BBB-		150,187
	100	Goldman Sachs Group Inc		5.300%		N/A (12)		BBB-		110,270
	236	Goldman Sachs Group Inc		4.950%		N/A (12)		BBB-		250,160
	217	Northern Trust Corp		4.600%		N/A (12)		BBB+		237,845
	1,303	Total Capital Markets								1,403,494

		Consumer Finance – 0.7%

	484	Ally Financial Inc		4.700%		N/A (12)		BB-		503,355
	325	American Express Co		3.550%		N/A (12)		Baa2		331,126
	50	Capital One Financial Corp		3.950%		N/A (12)		Baa3		51,500
	275	Discover Financial Services		5.500%		N/A (12)		Ba2		298,100
	1,134	Total Consumer Finance								1,184,081


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (9)		Value

		Diversified Financial Services – 0.3%

$	275	American AgCredit Corp, 144A		5.250%		N/A (12)		BB+	$	279,812
	225	Voya Financial Inc		6.125%		N/A (12)		BBB-		240,548
	500	Total Diversified Financial Services								520,360

		Food Products – 0.2%

	300	Land O’ Lakes Inc, 144A		8.000%		N/A (12)		BB		323,250

		Insurance – 0.3%

	250	Progressive Corp		5.375%		N/A (12)		BBB+		259,375
	175	SBL Holdings Inc, 144A		6.500%		N/A (12)		BB		172,812
	425	Total Insurance								432,187

		Multi-Utilities – 0.2%

	300	Sempra Energy		4.875%		N/A (12)		BBB-		325,500
	8,917	Total $1,000 Par (or similar) Institutional Preferred (cost $9,099,702)								9,578,366


Shares		Description (1)	Coupon		Ratings (9)		Value

		CONVERTIBLE PREFERRED SECURITIES – 5.4%(3.6% of Total Investments)

		Banks – 0.5%

	225	Bank of America Corp		7.250%		BBB+	$	324,545
	295	Wells Fargo & Co		7.500%		Baa2		437,190
		Total Banks						761,735

		Health Care Technology – 1.0%

	24,300	Change Healthcare Inc, (4)		6.000%		N/R		1,690,794

		Life Sciences Tools & Services – 1.4%

	19,040	Avantor Inc, (4)		6.250%		N/R		2,397,326

		Semiconductors & Semiconductor Equipment – 2.5%
	2,690	Broadcom Inc		8.000%		N/R		4,121,107
		Total Convertible Preferred Securities (cost $6,811,748)						8,970,962


Shares		Description (1)	Coupon		Ratings (9)		Value

		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 4.5% (3.0% of Total Investments)

		Banks – 1.6%

	5,000	Citigroup Inc		7.125%		BBB-	$	139,650
	4,625	CoBank ACB, (4), (5)		6.250%		BBB+		478,687
	1,183	CoBank ACB, (5)		6.125%		BBB+		118,300
	8,622	Fifth Third Bancorp		6.625%		Baa3		244,003
	8,662	FNB Corp/PA		7.250%		Ba1		245,135
	6,050	KeyCorp		6.125%		Baa3		183,920
	5,900	People’s United Financial Inc		5.625%		BB+		167,560
	6,844	Regions Financial Corp		6.375%		BB+		194,780
	9,900	SVB Financial Group		5.250%		Baa2		268,884
	16,300	US Bancorp		6.500%		Baa1		414,509
	9,400	Western Alliance Bancorp, (3), (5)		4.250%		Ba1		244,024
		Total Banks						2,699,452

		Capital Markets – 0.6%

	16,725	Morgan Stanley		7.125%		Baa3		476,830
	5,400	Morgan Stanley		6.875%		Baa3		151,308
	13,050	Stifel Financial Corp		6.250%		BB-		355,351
		Total Capital Markets						983,489



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)


Shares		Description (1)	Coupon		Ratings (9)		Value

		Consumer Finance – 0.3%

	5,500	Capital One Financial Corp		5.000%		Baa3	$	145,585
	10,448	Synchrony Financial		5.625%		BB-		278,544
		Total Consumer Finance						424,129

		Electric Utilities – 0.2%

	13,200	Duke Energy Corp		5.750%		BBB-		365,640

		Food Products – 0.4%

	8,257	CHS Inc		7.875%		N/R		235,902
	9,389	CHS Inc		7.100%		N/R		263,549
	3,905	CHS Inc		6.750%		N/R		109,809
		Total Food Products						609,260

		Insurance – 1.0%

	15,015	Allstate Corp		5.625%		BBB-		401,801
	9,800	Athene Holding Ltd		6.350%		BBB		290,668
	8,100	Athene Holding Ltd		6.375%		BBB		229,797
	12,900	Enstar Group Ltd		7.000%		BB+		377,841
	16,100	MetLife Inc, (4)		5.625%		Baa2		438,242
		Total Insurance						1,738,349

		Thrifts & Mortgage Finance – 0.4%

	15,000	Federal Agricultural Mortgage Corp		5.700%		N/R		401,700
	9,600	New York Community Bancorp Inc		6.375%		Ba2		274,944
		Total Thrifts & Mortgage Finance						676,644
		Total $25 Par (or similar) Retail Preferred (cost $7,091,966)						7,496,963


Shares		Description (1)	Value

		WARRANTS – 0.1% (0.1% of Total Investments)

		Entertainment – 0.0%

	13,214	Cineworld Warrant, (5)	$	4,863

		Oil, Gas & Consumable Fuels – 0.1%

	1,706	Fieldwood Energy LLC, (5)		170,600
	1,435	Fieldwood Energy LLC, (5)		12,915
	2,765	Fieldwood Energy LLC, (5)		13,825
	5,906	Total Oil, Gas & Consumable Fuels		197,340
		Total Warrants (cost $27,405)		202,203

Principal
Amount (000)

Description (1)

Coupon

Maturity

Ratings (9)

Value

CORPORATE BONDS – 0.0% (0.0% of Total Investments)

Media – 0.0%

iHeartCommunications Inc

8.375%

5/01/27

CCC+

27,825

Total Corporate Bonds (cost $27,170)

27,825

Total Long-Term Investments (cost $200,568,675)

242,297,087

Principal
Amount (000)

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 3.5% (2.4% of Total Investments)

REPURCHASE AGREEMENTS – 3.5% (2.4% of Total Investments)

5,831

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/21, repurchase price $5,831,100, collateralized by $5,677,200, U.S. Treasury Bonds, 2.250%, due 5/15/41, value $5,947,755

0.000%

10/01/21

5,831,100

Shares

Description (1)

Coupon

Maturity

Value

INVESTMENT COMPANIES – 0.0% (0.0% of Total Investments)

BlackRock Liquidity Funds T-Fund Portfolio

0.005% (14

)

N/A

Total Short-Term Investments (cost $5,831,107)

5,831,107

Total Investments (cost $206,399,782) – 148.9%

248,128,194

Borrowings – (45.4)% (15), (16)

(75,650,000

)

Other Assets Less Liabilities – (3.5)% (17)

(5,864,338

)

Net Assets Applicable to Common Shares – 100%

166,613,856

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

(2,594,325

)

(2,594,325

)

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

Fair Value Measurements

The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board. 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. U.S. GAAP establishes the three-tier hierarchy which 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 management’s assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2021
		(Unaudited)

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1		Level 2			Level 3		Total
Long-Term Investments:
Common Stocks	$	99,657,534	$	66,278,446		$	10,545	$	165,946,525
Variable Rate Senior Loan Interests		—		50,074,243			—		50,074,243
$1,000 Par (or similar) Institutional Preferred		—		9,578,366			—		9,578,366
Convertible Preferred Securities		8,970,962		—			—		8,970,962
$25 Par (or similar) Retail Preferred		6,655,951		841,012			—		7,496,963
Warrants		—		202,203			—		202,203
Corporate Bonds		—		27,825			—		27,825

Short-Term Investments:
Repurchase Agreements		—		5,831,100			—		5,831,100
Investment Companies		7		—			—		7

Investments in Derivatives:
Interest Rate Swaps*		—		(2,594,325	)		—		(2,594,325	)
Total	$	115,284,454	$	130,238,870		$	10,545	$	245,533,869

*	Represents net unrealized appreciation (depreciation).

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1)	All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

(2)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(3)	Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

(4)	Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $41,863,988.

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

(6)	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.

(7)

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.

(8)

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

(9)

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

(10)	Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

(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)	Perpetual security. Maturity date is not applicable.

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

(14)	The rate shown is the one-day yield as of the end of the reporting period.

(15)	Borrowings as a percentage of Total Investments is 30.5%.

(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 $157,386,225 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 well as the OTC cleared and exchange-traded derivatives, 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.

ADR	American Depositary Receipt

DD1	Portion of investment purchased on a delayed delivery basis.

LIBOR

London Inter-Bank Offered Rate

N/A	Not Applicable.

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

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.

Nuveen Tax Advantaged Total Return Strategy Fund (JTA) NPORT-PNuveen Tax-Advantaged Total Return Strategy Fund (Sep 2021 report)