UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21471
-----------------------
Nuveen Tax-Advantaged Total Return Strategy Fund
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: December 31
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Date of reporting period: March 31, 2006
---------------------
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.
QUARTERLY REPORT March 31, 2006
(Unaudited)
Nuveen Investments
Exchange-Traded
Closed-End
Funds
NUVEEN TAX-ADVANTAGED TOTAL RETURN STRATEGY FUND
JTA
OPPORTUNITIES FOR CAPITAL APPRECIATION AND TAX-ADVANTAGED DISTRIBUTIONS FROM A
PORTFOLIO OF VALUE EQUITIES AND SENIOR LOANS
Chairman's Letter
For period ended March 31, 2006
Dear Shareholder:
I am very pleased to report that over the 3-month period covered by this report,
your Fund continued to provide you with attractive tax-advantaged income and
capital appreciation potential. For more information on your Fund's performance,
please read the Portfolio Managers' Comments, the Distribution and Share Price
Information, and the Performance Overview sections of this report.
Portfolio diversification is a recognized way to try to reduce some of the risk
that comes with investing. Since one part of your portfolio may be going up
when another is going down, portfolio diversification may help smooth your
investment returns over time. In addition to providing regular monthly income,
an investment like your Fund may help you achieve and benefit from greater
portfolio diversification. Your financial advisor can explain these potential
advantages in more detail. I urge you to contact him or her soon for more
information on this important investment strategy.
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering investment services and products that can help you
to secure your financial objectives. We are grateful that you have chosen us as
a partner as you pursue your financial goals, and we look forward to continuing
to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
TIMOTHY R. SCHWERTFEGER
Chairman of the Board
May 3, 2006
Callout:
"In addition to providing regular monthly income, an investment like your Fund
may help you achieve and benefit from greater portfolio diversification."
PORTFOLIO MANAGERS' COMMENTS
The Fund features management by two affiliates of Nuveen Investments. The Fund's
investments in dividend-paying common or preferred stocks are managed by NWQ
Investment Management Company, LLC (NWQ), while the Fund's investments in senior
corporate loans and other debt instruments are managed by Symphony Asset
Management, LLC (Symphony). Jon Bosse, Chief Investment Officer of NWQ, leads
the Fund's management team at that firm. He has more than 22 years of corporate
finance and investment management experience. The Symphony team is led by
Gunther Stein and Lenny Mason, who have more than 25 years of combined
investment management experience, much of it in evaluating and purchasing senior
corporate loans and other high-yield debt. Here Jon, Gunther and Lenny talk
about general market conditions, their management strategies and the performance
of the Fund for the 3 month period ended March 31, 2006.
WHAT WAS YOUR OVERALL MANAGEMENT STRATEGY FOR THE THREE MONTH PERIOD ENDED
MARCH 31, 2006?
We view the senior loan market favorably but given the current credit
environment we continue to take a defensive stance in positioning our loan
portfolios. The loan market has continued to demonstrate many positive
characteristics that we think make the asset class attractive. Market liquidity
was better than it has ever been, investor appetite remained strong and many
high quality deals came to market. Strong investor demand, however, allowed many
deals to be structured with aggressive leverage levels. It is this environment
and market dynamic that leads us to avoid credits we feel are too aggressively
leveraged or do not have a sound credit profile. We still do not feel that now
is the appropriate time to be reaching for yield or involved with what we
consider to be marginal credits.
We continued to avoid most automotive related companies even though many are
trading at distressed levels. We also have been avoiding many small loans that
are supporting leveraged buyouts as we feel that market liquidity could be
challenged if the credit experiences any negative events. We focused on adding
high quality new-issue loans at par as we do not believe that paying 101 or
higher for loans is prudent in the current environment.
We also continued to avoid the vast majority of second lien loans. At current
trading levels we do not believe that most second lien loans compensate
investors for the risk these credits pose over a credit cycle. Should the
economy weaken, we believe that second lien loans could see significant downside
from current levels.
For the equity portion of the Fund's portfolio, we continued to employ an
opportunistic, bottom-up strategy that focuses on identifying undervalued
companies that possess favorable risk/reward
1
characteristics as well as emerging catalysts that can unlock value or improve
profitability. These catalysts include management changes, restructuring
efforts, recognition of hidden assets, or a positive change in the underlying
fundamentals. We also focus on downside protection, and pay a great deal of
attention to a company's balance sheet and cash flow statement, not just the
income statement. We believe that cash flow analysis offers a more objective and
truer picture of a company's financial position than an evaluation based on
earnings alone.
During the course of the quarter, we took new common stock positions in CBS
Corp., Clear Channel Communications Inc., and Stora Enso OYJ - a Finland-based
paper and board manufacturer. We believe investors have low expectations for CBS
and Clear Channel, which gives these stocks very attractive risk reward profiles
at current levels. We eliminated Albertson's Inc. from the portfolio after the
company received a buyout offer from a consortium led by Supervalu Inc., and
trimmed our stakes in Aon Corp., Alumina Ltd, Energias de Portugal SA, and Rio
Tinto PLC based on valuation.
How did the Fund perform?
Fund performance results, as well as the performance of a relevant benchmark,
are shown in the accompanying table:
Cummulative Total Return on Net Asset Value
For the 3-month period ending March 31, 2006
JTA 6.35%
Comparative benchmark(1) 5.92%
Past performance does not guarantee future results. Current performance may be
higher or lower than the data shown.
Returns do not reflect the deduction of taxes that a shareholder may have to pay
on Fund distributions or upon the sale of Fund shares.
For more information, please see the individual Performance Overview page in
this report.
----------
(1) The comparative benchmark designed to reflect the portfolio composition of
JTA is calculated by combining 1) 56% of the return of the Russell 3000 Value
Index, which measures the performance of those Russell 3000 Index companies with
lower price-to-book ratios and lower forecasted growth values, 2) 16% of the
return of the MSCI EAFE ex-Japan Value Index, a capitalization weighted index
that selects the lower 50% of the price-to-book ranked value stocks traded in
the developed markets of Europe, Asia and the Far East, excluding Japan, 3) 8%
of the return of the Merrill Lynch DRD Preferred Index, which consists of
investment-grade, dividends received deduction eligible, exchange-traded
preferred stocks with one year or more to maturity, and 4) 20% of the return of
the CSFB Leveraged Loan Index, which consists of approximately $150 billion of
tradable term loans with at least one year to maturity and rated BBB or lower.
Index returns are not leveraged, and do not include the effects of any sales
charges or management fees. It is not possible to invest directly in an index.
Several securities positively impacted the performance of the senior loan
component of the portfolio. During the first quarter, our positions in Federal
Mogul, Polypore and SunGard Data Systems helped drive performance. The Federal
Mogul term loan and revolver traded up during the period due to the expectation
that the company will emerge out of bankruptcy soon. Steady operations and
financial results have showed progress in the company's Chapter 11 emergence.
For the equity portion of the Fund, Telecommunication stocks appreciated during
the quarter as investor sentiment has recently turned positive due to the
group's attractive valuations and more stable near-term fundamentals. Although
long-term investment issues remain, the telco's enterprise businesses are
currently performing particularly well. Significant consolidation has occurred,
including SBC Communications' acquisition of AT&T Inc., and the recent agreement
to
2
purchase Bellsouth Corp. Overall, our telecommunication investments appreciated
between 8-13% for the period, except for Korean-based KT Corp., which declined
1%.
As we have noted in past commentaries, global consolidation of the steel
sector is driving more favorable industry fundamentals. This quarter we saw more
consolidation as the world's largest steel manufacturer, Mittal Steel Co. NV,
launched a hostile takeover for its closest rival, Luxemburg-based Arcelor. This
move helped drive steel stocks higher on speculation that more deals will
emerge. Korean-based POSCO has been mentioned as a likely target given its high
profitability, exposure to China, and large foreign shareholder base. Our
investment in POSCO appreciated 29% for the period, while iron ore producer Rio
Tinto Plc contributed with a 13% gain.
Fundamentals of the paper and packaging industry continued to improve as two of
Europe's leading producers announced that they will shutter some newsprint and
coated paper production to combat global overcapacity and a multi-year downtrend
in prices. The news garnered a positive response from investors with our
positions in International Paper Inc. and Stora Enso OYJ rising 3% and 14%,
respectively. Our other paper holding, Packaging Corporation of America, posted
a modest decline for the quarter. We should also note that International Paper
has sold a significant part of its timberland assets as part of its previously
announced restructuring plan. The company will use the proceeds to reinvest in
their businesses, buy back stock, and reduce debt.
The release of the federal government budget review was a strong catalyst for
the rise of our defense stocks as the review suggested a secure multi-year
industry outlook with no severe congressional spending cuts for key defense
programs. These concerns have weighed on the stocks since last summer. Our
investments in Lockheed Martin Corp. and Raytheon Co. gained 18% and 14%,
respectively. These stocks trade at reasonable valuations and generate
significant free cash flows that are being utilized for share repurchases.
Lastly, despite a couple of setbacks, our financial stocks also performed
reasonably well. Mortgage originator IndyMac Bancorp Inc. gained 5% due to its
attractive valuation and benign inflation news that appears to be keeping a
ceiling on long-term interest rates. Our investment in Fannie Mae also rose 5%
as government regulators near completion of their investigation into the
company's accounting practices.
3
Each Fund had holdings that constrained the Fund's performance over this
reporting period. In the senior loan portfolio, one position that had a negative
impact on performance was Park Place Entertainment, also known as Caesars
Entertainment. These bonds generally traded down because they are "yield to
call," shorter dated bonds that are now accreting down to their call price.
The equity portfolio experienced modest declines of roughly 3-5% in some of the
larger holdings such as Altria Group Inc., Citigroup Inc., and Kimberly-Clark
Corp. that served as a hindrance on performance. Other underperformers include
our investment in Hartford Financial Services Group Inc., which declined 6% due
to increased competition in its domestic variable annuity business, as well as
concerns that pricing in the property casualty insurance industry is not holding
up to the positive expectations which followed in the aftermath of Hurricane
Katrina. Our investment in Dominion Resources Inc., an integrated gas and
electric utility company, declined 11% as the company lowered its 2006 earnings
forecast due to rising exploration & production costs, and our stake in CBS
Corp. fell 10% since purchased in January on concerns of the soft advertising
environment and weakness in their radio division.
4
Distribution and Share Price Information
In addition to owning preferred stocks, the Fund has issued its own preferred
shares, called FundPreferred(TM), and entered into a series of short-term
borrowing arrangements. This FundPreferred and borrowing provides a degree of
financial leverage that can enhance the Fund's returns and supplement the income
available to pay common shareholder distributions, but also can increase share
price volatility. This leveraging strategy provided incremental income and
helped enhance shareholder distributions over this reporting period.
The Fund has a managed distribution policy designed to provide relatively stable
monthly cash flow to investors. Under this policy, the Fund's monthly
distributions will be paid from net investment income generated by its
underlying securities as well as from net realized capital gains and/or returns
of capital, generally representing net unrealized capital gains.
The Fund declared a monthly distribution increase in January to $0.1250 per
share.
As of March 31, 2006, the Fund was trading at a -4.19% discount to its net asset
value. This was less than the average -4.36% discount the Fund exhibited over
the course of the entire three-month reporting period.
Nuveen Tax-Advantaged Total Return Strategy Fund
JTA
Performance
OVERVIEW As of March 31, 2006
PORTFOLIO ALLOCATION
(as a % of total investments)
- ----------------------------------------------
Common Stocks 70.9%
- ----------------------------------------------
Variable Rate Senior Loan Interests 15.3%
- ----------------------------------------------
$25 Par (or Similar) Securities 8.1%
- ----------------------------------------------
Short-Term Investments 3.5%
- ----------------------------------------------
Corporate Bonds 1.4%
- ----------------------------------------------
Capital Preferred Securities 0.8%
- ----------------------------------------------
Bar Chart:
2005-2006 MONTHLY DISTRIBUTIONS PER SHARE
Apr .1000
May .1000
Jun .1000
Jul .1000
Aug .1000
Sep .1050
Oct .1050
Nov .1050
Dec .1050
Jan .1250
Feb .1250
Mar .1250
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
JTA
Market close
Per Share Amount
4/1/2005 19.20
4/8/2005 19.52
4/15/2005 18.85
4/22/2005 19.19
4/29/2005 19.39
5/6/2005 19.72
5/13/2005 19.53
5/20/2005 19.75
5/27/2005 19.89
6/3/2005 19.75
6/10/2005 19.80
6/17/2005 19.92
6/24/2005 19.75
7/1/2005 19.93
7/8/2005 19.97
7/15/2005 19.98
7/22/2005 19.99
7/29/2005 20.00
8/5/2005 20.39
8/12/2005 20.18
8/19/2005 20.03
8/26/2005 19.94
9/2/2005 20.18
9/9/2005 20.40
9/16/2005 20.25
9/23/2005 20.00
9/30/2005 20.19
10/7/2005 19.96
10/14/2005 19.75
10/21/2005 19.25
10/28/2005 19.60
11/4/2005 20.09
11/11/2005 19.93
11/18/2005 19.99
11/25/2005 20.20
12/2/2005 20.05
12/9/2005 20.45
12/16/2005 21.09
12/23/2005 21.17
12/30/2005 21.37
1/6/2006 20.93
1/13/2006 21.76
1/20/2006 21.48
1/27/2006 22.50
2/3/2006 22.25
2/10/2006 22.03
2/17/2006 22.15
2/24/2006 22.75
3/3/2006 22.74
3/10/2006 21.78
3/17/2006 22.45
3/24/2006 22.99
3/31/2006 22.39
</Table>
FUND SNAPSHOT
- -------------------------------------------
Common Share Price $ 22.39
- -------------------------------------------
Common Share Net Asset Value $ 23.37
- -------------------------------------------
Premium / (Discount) to NAV -4.19%
- -------------------------------------------
Market Yield(1) 6.70%
- -------------------------------------------
Net Assets Applicable to Common
Shares ($000) $323,800
- -------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/27/04)
- ----------------------------------------
ON SHARE PRICE ON NAV
- ----------------------------------------
3-Month
(Cumulative) 6.54% 6.35%
- ----------------------------------------
1-Year 26.88% 18.73%
- ----------------------------------------
Since Inception 12.43% 16.53%
- ----------------------------------------
INDUSTRIES
(as a % of total investments)
- ----------------------------------------
Diversified Telecommunication
Services 9.1%
- ----------------------------------------
Tobacco 7.2%
- ----------------------------------------
Oil, Gas, & Consumable Fuels 6.7%
- ----------------------------------------
Aerospace & Defense 6.0%
- ----------------------------------------
Diversified Financial Services 5.7%
- ----------------------------------------
Commercial Banks 5.3%
- ----------------------------------------
Insurance 5.2%
- ----------------------------------------
Electric Utilities 5.0%
- ----------------------------------------
Thrifts & Mortgage Finance 4.8%
- ----------------------------------------
Media 4.7%
- ----------------------------------------
Metals & Mining 4.2%
- ----------------------------------------
Commercial Services & Supplies 3.3%
- ----------------------------------------
Multi-Utilities 3.1%
- ----------------------------------------
Paper & Forest Products 3.1%
- ----------------------------------------
Hotels Restaurants & Leisure 2.9%
- ----------------------------------------
Household Products 2.7%
- ----------------------------------------
Household Durables 2.5%
- ----------------------------------------
Short-Term Investments 3.5%
- ----------------------------------------
Other 15.0%
- ----------------------------------------
COUNTRIES
(as a % of total investments)
- ----------------------------------------
United States 80.9%
- ----------------------------------------
United Kingdom 4.7%
- ----------------------------------------
South Korea 4.4%
- ----------------------------------------
Italy 3.1%
- ----------------------------------------
Portugal 1.6%
- ----------------------------------------
Other 5.3%
- ----------------------------------------
(1) Market yield is based on the Fund's current annualized monthly
distribution divided by the Fund's current market price. The Fund's
monthly distributions to its shareholders may be comprised of ordinary
income, net realized capital gains and, if at the end of the calendar year
the Fund's cumulative net ordinary income and net realized gains are less
than the amount of the Fund's distributions, a tax return of capital.
Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited)
SHARES DESCRIPTION (1) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS -- 98.9% (70.9% OF TOTAL INVESTMENTS)
AEROSPACE & DEFENSE -- 6.6%
140,000 Lockheed Martin Corporation $ 10,518,200
235,000 Raytheon Company 10,772,400
- -----------------------------------------------------------------------------------------------------------------------------------
Total Aerospace & Defense 21,290,600
-------------------------------------------------------------------------------------------------------------------------
CHEMICALS -- 0.0%
7,998 Tronox Incorporated, Class B 135,886
- -----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 5.0%
150,000 Wachovia Corporation 8,407,500
120,000 Wells Fargo & Company 7,664,400
- -----------------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 16,071,900
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 3.8%
285,000 Pitney Bowes Inc. 12,235,050
- -----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 2.1%
300,000 Packaging Corp. of America 6,732,000
- -----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 6.6%
275,000 Citigroup Inc. 12,988,250
205,000 JPMorgan Chase & Co. 8,536,200
- -----------------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 21,524,450
-------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 12.1%
385,000 AT&T Inc. 10,410,400
343,000 KT Corporation, Sponsored ADR 7,305,900
330,000 Sprint Nextel Corporation 8,527,200
235,000 Telecom Italia S.p.A., Sponsored ADR 6,236,900
190,000 Verizon Communications Inc. 6,471,400
- -----------------------------------------------------------------------------------------------------------------------------------
Total Diversified Telecommunication Services 38,951,800
-------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 4.4%
187,100 EDP -- Energias de Portugal, S.A., Sponsored ADR 7,330,578
323,000 Korea Electric Power Corporation (KEPCO), Sponsored ADR 6,976,800
- -----------------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 14,307,378
-------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING -- 1.6%
240,625 J. Sainsbury PLC, Sponsored ADR 5,534,375
- -----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 2.4%
307,000 Newell Rubbermaid Inc. 7,733,330
- -----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.9%
160,000 Kimberly-Clark Corporation 9,248,000
- -----------------------------------------------------------------------------------------------------------------------------------
INSURANCE -- 4.3%
180,000 Aon Corporation 7,471,800
80,000 Hartford Financial Services Group, Inc. 6,444,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Insurance 13,915,800
-------------------------------------------------------------------------------------------------------------------------
MEDIA -- 3.1%
200,000 CBS Corporation, Class B 4,796,000
176,600 Clear Channel Communications, Inc. 5,123,166
- -----------------------------------------------------------------------------------------------------------------------------------
Total Media 9,919,166
-------------------------------------------------------------------------------------------------------------------------
METALS & MINING -- 5.5%
236,900 Alumina Limited, Sponsored ADR 4,996,221
90,000 POSCO, ADR 5,742,000
33,500 Rio Tinto PLC, Sponsored ADR 6,934,500
- -----------------------------------------------------------------------------------------------------------------------------------
Total Metals & Mining 17,672,721
-------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES -- 3.7%
110,000 Dominion Resources, Inc. 7,593,300
180,000 United Utilities PLC, Sponsored ADR 4,365,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Multi-Utilities 11,958,300
-------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS -- 9.4%
80,000 Chevron Corporation 4,637,600
113,400 ConocoPhillips 7,161,210
132,500 Eni S.p.A., Sponsored ADR 7,549,850
39,669 Kerr-McGee Corporation 3,787,596
55,000 Total SA, Sponsored ADR 7,245,150
- -----------------------------------------------------------------------------------------------------------------------------------
Total Oil, Gas & Consumable Fuels 30,381,406
-------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 3.6%
220,000 International Paper Company 7,605,400
270,200 Stora Enso Oyj, Sponsored ADR 4,147,570
- -----------------------------------------------------------------------------------------------------------------------------------
Total Paper & Forest Products 11,752,970
-------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 2.5%
230,000 Merck & Co. Inc. 8,102,900
- -----------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 2.6%
90,000 Union Pacific Corporation 8,401,500
- -----------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 6.7%
212,000 Fannie Mae 10,896,800
265,000 IndyMac Bancorp, Inc. 10,846,450
- -----------------------------------------------------------------------------------------------------------------------------------
Total Thrifts & Mortgage Finance 21,743,250
-------------------------------------------------------------------------------------------------------------------------
TOBACCO - 10.0%
235,000 Altria Group, Inc. 16,652,098
330,000 Loews Corp - Carolina Group 15,599,102
- -----------------------------------------------------------------------------------------------------------------------------------
Total Tobacco 32,251,200
-------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (cost $261,352,934) 319,863,982
=========================================================================================================================
SHARES DESCRIPTION (1) COUPON RATINGS (2) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
$25 PAR (OR SIMILAR) SECURITIES - 11.2% (8.1% OF TOTAL INVESTMENTS)
CAPITAL MARKETS - 1.4%
15,500 Bear Stearns Companies, Series E, (6) 6.150% A3 $ 786,625
20,000 Goldman Sachs Group Inc., (6) 6.200% A2 512,800
25,000 Goldman Sachs Group Inc., (6) 5.390% A2 647,500
77,700 Lehman Brothers Holdings Inc., Series F, (6) 6.500% A- 1,992,228
25,000 Merrill Lynch & Co., Inc., (6) 5.440% A2 638,750
- -----------------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 4,577,903
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 2.3%
23,500 Abbey National PLC, Series B 7.375% A 618,520
41,100 Abbey National PLC, Series C 7.375% A2 1,052,571
40,000 ABN AMRO Capital Trust Fund VII 6.080% A 958,000
25,000 Banco Santander 6.410% A2 632,500
50,000 HSBC USA Inc., Series G 5.364% A2 1,299,250
40,000 Royal Bank of Scotland Group PLC, Series M 6.400% A1 1,003,200
40,000 Royal Bank of Scotland Group PLC, Series N 6.350% A1 1,007,200
40,000 U.S. Bancorp, Series B 5.560% A1 1,028,752
- -----------------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 7,599,993
-------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 1.0%
45,000 HSBC Finance Corporation 6.360% A2 1,147,050
35,600 SLM Corporation, Series A, (6) 6.970% BBB+ 1,958,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Consumer Finance 3,105,050
-------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.3%
10,000 CIT Group Inc., Series A, (6) 6.350% BBB+ 253,000
19,500 Citigroup Inc., Series F, (6) 6.365% Aa3 993,525
28,900 Citigroup Inc., Series H, (6) 6.231% Aa3 1,458,728
48,400 ING Group N.V. 7.200% A 1,241,460
5,000 ING Group N.V. 7.050% A 127,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 4,073,713
-------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.2%
39,500 Alabama Power Company, Series A, (6) 5.300% BBB+ 972,095
34,800 Interstate Power and Light Company, (6) 7.100% BBB- 941,862
40,000 Mississippi Power Company 5.250% A3 955,000
40,000 Savannah Electric and Power Company 6.000% BBB+ 1,012,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 3,880,957
-------------------------------------------------------------------------------------------------------------------------
INSURANCE - 2.5%
50,300 Ace Ltd., Series C 7.800% Baa2 1,317,860
40,000 Aegon N.V. 6.375% A- 996,000
25,000 Aegon N.V., Series 1 5.675% A- 646,095
20,000 Arch Capital Group Limited 8.000% Baa3 514,376
50,000 Endurance Specialty Holdings Limited 7.750% Baa3 1,211,000
40,000 Genworth Financial Inc., Series A 5.250% BBB+ 2,038,752
30,000 Prudential PLC 6.750% A 751,500
30,000 Prudential PLC 6.500% A 760,500
Total Insurance 8,236,083
-------------------------------------------------------------------------------------------------------------------------
U.S. AGENCY - 1.5%
20,000 Fannie Mae, (6) 5.500% AA- 942,200
19,800 Fannie Mae, (6) 5.125% AA- 871,200
18,400 Federal Home Loan Mortgage Corporation, (6) 6.000% AA- 933,432
20,000 Federal Home Loan Mortgage Corporation, (6) 5.700% AA- 973,000
26,900 Federal Home Loan Mortgage Corporation, (6) 5.000% AA- 1,147,284
- -----------------------------------------------------------------------------------------------------------------------------------
Total U.S. Agency 4,867,116
-------------------------------------------------------------------------------------------------------------------------
TOTAL $25 PAR (OR SIMILAR) SECURITIES (cost $36,774,146) 36,340,815
=========================================================================================================================
WEIGHTED
PRINCIPAL AVERAGE
AMOUNT (000) DESCRIPTION (1) COUPON MATURITY(3) RATINGS(2) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS - 21.3% (15.3% OF TOTAL INVESTMENTS) (4)
AEROSPACE & DEFENSE - 1.7%
$ 1,644 Hexcel Corporation, Term Loan B 6.375% 3/01/12 BB- $1,662,944
1,825 K&F Industries, Inc., Term Loan B 7.008% 11/18/12 B2 1,851,234
1,617 Vought Aircraft Industries, Inc., Term Loan 7.330% 12/22/11 B+ 1,637,326
364 Vought Aircraft Industries, Inc., Tranche B, Letter of Credit 6.885% 12/22/10 B+ 368,352
- -----------------------------------------------------------------------------------------------------------------------------------
5,450 Total Aerospace & Defense 5,519,856
- -----------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.6%
2,000 Federal-Mogul Corporation, Term Loan A, (5) 7.080% 2/24/04 N/R 1,933,750
- -----------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 0.6%
1,774 PP Holding Corporation, Term Loan 7.980% 11/12/11 B 1,793,000
- -----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.6%
1,980 Rockwood Specialties Group, Inc., Term Loan E 6.668% 7/30/12 B+ 2,008,617
- -----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 0.8%
696 Allied Waste North America, Inc., Letter of Credit 6.000% 3/21/12 B1 699,415
1,792 Allied Waste North America, Inc., Term Loan B 6.796% 1/15/12 B1 1,801,926
- -----------------------------------------------------------------------------------------------------------------------------------
2,488 Total Commercial Services & Supplies 2,501,341
- -----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.9%
788 Owens-Illinois Group, Inc., Term Loan B 6.560% 4/01/08 N/R 791,755
175 Smurfit-Stone Container Corporation, Deposit-Funded Commitment 2.100% 11/01/11 B+ 177,236
1,253 Smurfit-Stone Container Corporation, Term Loan B 7.103% 11/01/11 B+ 1,271,854
425 Smurfit-Stone Container Corporation, Term Loan C 7.064% 11/01/11 B+ 431,469
133 Smurfit-Stone Container Corporation, Tranche C-1 6.938% 11/01/11 B+ 135,392
- -----------------------------------------------------------------------------------------------------------------------------------
2,774 Total Containers & Packaging 2,807,706
- -----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 0.3%
852 Alderwoods Group, Inc., Term Loan B-2 6.738% 9/29/08 B1 861,117
- -----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 0.6%
2,000 Madison River Capital LLC, Term Loan 7.050% 7/29/12 B+ 2,026,251
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.3%
1,000 Mirant Corporation, Term Loan 6.441% 1/03/13 BB- 1,009,554
- -----------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.6%
- -----------------------------------------------------------------------------------------------------------------------------------
1,583 Sensus Metering Systems Inc., Term Loan B-1 7.297% 12/17/10 B2 1,599,918
210 Sensus Metering Systems Inc., Term Loan B-2 7.351% 12/17/10 B2 212,517
- -----------------------------------------------------------------------------------------------------------------------------------
1,793 Total Electrical Equipment 1,812,435
- -----------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 1.5%
1,960 Davita Inc., Term Loan B 6.689% 10/05/12 B1 1,987,868
1,965 IASIS Healthcare LLC, Term Loan B 6.787% 6/22/11 B+ 1,994,066
1,000 Quintiles Transnational Corporation, Term Loan B, WI/DD TBD TBD B1 1,006,875
- -----------------------------------------------------------------------------------------------------------------------------------
4,925 Total Health Care Providers & Services 4,988,809
- -----------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 2.8%
2,000 24 Hour Fitness Worldwide, Inc., Term Loan B 7.620% 6/08/12 B 2,030,000
1,960 Jack in the Box Inc., Term Loan 6.278% 1/08/11 BB 1,980,825
1,990 Penn National Gaming, Inc., Term Loan B 6.387% 10/03/12 BB 2,019,540
1,000 Pinnacle Entertainment Inc., Term Loan 6.780% 12/14/11 B1 1,008,751
342 Venetian Casino Resort, LLC, Delayed Draw, Term Loan 6.730% 6/15/11 BB- 345,860
1,658 Venetian Casino Resort, LLC, Term Loan 6.730% 6/15/11 BB- 1,677,421
- -----------------------------------------------------------------------------------------------------------------------------------
8,950 Total Hotels, Restaurants & Leisure 9,062,397
- -----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.4%
1,323 Sealy Mattress Company, Term Loan D 6.525% 4/06/12 B+ 1,341,293
- -----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.9%
2,940 Solo Cup Company, Term Loan 7.532% 2/27/11 B2 2,974,913
- -----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 0.4%
1,294 Conseco, Inc., Term Loan 6.503% 6/22/10 BB- 1,306,940
- -----------------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 1.2%
1,755 Fidelity National Information Services, Term Loan B 6.470% 3/09/13 BB+ 1,771,179
1,990 SunGard Data Systems Inc., Term Loan B 7.215% 2/11/13 B+ 2,018,873
- -----------------------------------------------------------------------------------------------------------------------------------
3,745 Total IT Services 3,790,052
- -----------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 0.3%
760 Dresser-Rand Group, Inc., Term Loan 6.923% 10/10/10 B+ 774,185
- -----------------------------------------------------------------------------------------------------------------------------------
MEDIA - 3.4%
2,000 Cablevision Systems Corporation, Incremental Term Loan, WI/DD TBD TBD Ba3 2,017,875
1,963 Charter Communications Operating, LLC, Term Loan B 7.920% 4/07/11 B 1,982,403
863 Emmis Operating Company, Term Loan 6.530% 11/10/11 B+ 869,275
2,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 7.229% 4/08/12 B+ 2,027,125
1,900 Regal Cinemas Corporation, Term Loan 6.729% 11/10/10 BB- 1,921,481
2,200 WMG Acquisition Corp., Term Loan 6.679% 2/28/11 B+ 2,229,928
- -----------------------------------------------------------------------------------------------------------------------------------
10,926 Total Media 11,048,087
- -----------------------------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.4%
1,425 Amsted Industries Incorporated, Term Loan B 7.150% 10/15/10 B1 1,447,504
- -----------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 0.6%
371 NRG Energy Inc., Credit-Linked Deposit 6.979% 2/01/13 BB- 375,910
1,629 NRG Energy Inc., Term Loan 6.820% 2/01/13 BB- 1,650,615
- -----------------------------------------------------------------------------------------------------------------------------------
2,000 Total Multi-Utilities 2,026,525
- -----------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.6%
1,995 Georgia-Pacific Corporation, Term Loan B 6.884% 12/20/12 BB- 2,011,444
- -----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE MANAGEMENT & DEVELOPMENT - 0.9%
1,000 Capital Automotive LP., Term Loan 6.340% 12/16/10 BB+ 1,011,161
1,811 LNR Property Corporation, Term Loan 7.642% 2/03/08 B2 1,829,265
- -----------------------------------------------------------------------------------------------------------------------------------
2,811 Total Real Estate 2,840,426
- -----------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.9%
196 Brenntag Holdings, Acquisition Facility Term Loan 7.440% 1/20/14 B2 199,555
804 Brenntag Holdings, Term Loan 7.440% 1/20/14 B- 816,495
337 United Rentals Inc., Credit Linked Deposit 5.590% 2/13/11 B2 341,193
1,651 United Rentals Inc., Term Loan B 7.070% 2/14/11 B2 1,671,842
- -----------------------------------------------------------------------------------------------------------------------------------
2,988 Total Trading Companies & Distributors 3,029,085
- -----------------------------------------------------------------------------------------------------------------------------------
$ 68,193 TOTAL VARIABLE RATE SENIOR LOAN INTERESTS (cost $68,158,225) 68,915,287
===================================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION(1) COUPON MATURITY RATINGS(2) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 1.9% (1.4% OF TOTAL INVESTMENTS)
HOTELS, RESTAURANTS & LEISURE - 1.3%
$ 2,000 MGM Mirage, Inc. 6.750% 8/01/07 BB $2,027,500
2,000 Park Place Entertainment 8.875% 9/15/08 BB+ 2,145,000
- -----------------------------------------------------------------------------------------------------------------------------------
4,000 Total Hotels, Restaurants & Leisure 4,172,500
- -----------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.6%
2,000 D.R. Horton, Inc. 7.500% 12/01/07 BBB- 2,064,428
- -----------------------------------------------------------------------------------------------------------------------------------
$ 6,000 TOTAL CORPORATE BONDS (cost $6,287,260) 6,236,928
===================================================================================================================================
SHARES DESCRIPTION (1) COUPON MATURITY RATINGS(2) VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL PREFERRED SECURITIES - 1.1% (0.8% OF TOTAL INVESTMENTS)
ELECTRIC UTILITIES - 1.1%
12,400 Consolidated Edison Company of New York Inc. 5.000% A3 $ 1,128,400
5,000 Southern California Edison Company 6.125% BBB 510,000
9,000 Southern California Edison Company, Series A 5.349% 4/27/35 BBB- 911,813
10,000 Southern California Edison Company, Series C 6.000% 4/30/56 BBB- 1,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 3,550,213
--------------------------------------------------------------------------------------------------------------------
TOTAL CAPITAL PREFERRED SECURITIES (cost $3,461,270) 3,550,213
====================================================================================================================
PRINCIPAL
AMOUNT (000) DESCRIPTION(1) COUPON MATURITY VALUE
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.8% (3.5% OF TOTAL INVESTMENTS)
Repurchase Agreement with State Street Bank, dated
3/31/06, repurchase price $15,690,199,
collateralized by $15,730,000 U.S. Treasury Notes,
$ 15,685 4.625%, due 5/15/06 value $16,000,855 4.250% 4/03/06 $ 15,684,644
===============--------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (cost $15,684,644) 15,684,644
====================================================================================================================
TOTAL INVESTMENTS (cost $391,718,479) - 139.2% 450,591,869
====================================================================================================================
FUNDNOTES - (24.1)% (78,000,000)
====================================================================================================================
OTHER ASSETS LESS LIABILITIES - (1.2)% (3,792,032)
====================================================================================================================
FUNDPREFERRED SHARES, AT LIQUIDATION VALUE - (13.9)% (45,000,000)
====================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES - 100% $ 323,799,837
====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa
by Moody's Investor Service, Inc. are considered to be below
investment grade.
(3) Senior Loans in the Fund's portfolio generally are subject
to mandatory and/or optional prepayment. Because of these
mandatory prepayment conditions and because there may be
significant economic incentives for a Borrower to prepay,
prepayments of Senior Loans in the Fund's portfolio may
occur. As a result, the actual remaining maturity of Senior
Loans held in the Fund's portfolio may be substantially less
than the stated maturities shown.
(4) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate plus
an assigned fixed rate. These floating lending rates are
generally (i) the lending rate referenced by the London
Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate
offered by one or more major United States banks.
Senior loans may be considered restricted in that the Fund
ordinarily is contractually obligated to receive approval
from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
(5) At or subsequent to March 31, 2006, this issue was under the
protection of the Federal Bankruptcy Court.
(6) Investment is eligible for the Dividends Received Deduction.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
ADR American Depositary Receipt.
TBD Senior Loan purchased on a when-issued or delayed-delivery
basis. Certain details associated with this purchase are not
known prior to the settlement date of the transaction. In
addition, Senior Loans typically trade without accrued
interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still
unknown, the borrower or counterparty will provide the Fund
with the final weighted average coupon rate and maturity
date.
See accompanying notes to financial statements.
Statement of
ASSETS AND LIABILITIES March 31, 2006 (Unaudited)
- -------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $391,718,479) $450,591,869
Receivables:
Dividends 1,407,479
Interest 574,978
Investments sold 1,028,120
Reclaims 8,776
Deferred FundNotes offering costs 1,705,306
Other assets 13,759
- -------------------------------------------------------------------------------------------------------
Total assets 455,330,287
- -------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased 8,174,334
FundNotes 78,000,000
Accrued expenses:
Management fees 215,254
Other 121,310
FundNotes interest payable 9,935
FundPreferred share dividends payable 9,617
- -------------------------------------------------------------------------------------------------------
Total liabilities 86,530,450
- -------------------------------------------------------------------------------------------------------
FundPreferred shares, at liquidation value 45,000,000
- -------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $323,799,837
=======================================================================================================
Common shares outstanding 13,855,240
=======================================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares,
divided by Common shares outstanding) $ 23.37
=======================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
- -------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 138,552
Paid-in surplus 262,780,022
Undistributed (Over-distribution of) net investment income (3,001,871)
Accumulated net realized gain (loss) from investments 5,009,744
Net unrealized appreciation (depreciation) of investments 58,873,390
- -------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $323,799,837
=======================================================================================================
Authorized shares:
Common Unlimited
FundPreferred Unlimited
=======================================================================================================
See accompanying notes to financial statements.
Statement of
OPERATIONS Three Months Ended March 31, 2006 (Unaudited)
- ------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (net of foreign tax withheld of $56,726) $2,952,192
Interest 1,313,537
Fees 980
- -------------------------------------------------------------------------------------------------------
Total investment income 4,266,709
- -------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 969,924
FundNotes interest expense and amortization of offering costs 801,777
FundNotes and FundPreferred shares -- auction fees 75,822
FundNotes and FundPreferred shares -- dividend disbursing agent
fees 4,315
Shareholders' servicing agent fees and expenses 268
Custodian's fees and expenses 49,637
Trustees' fees and expenses 3,050
Professional fees 7,779
Shareholders' reports -- printing and mailing expenses 15,100
Stock exchange listing fees 2,996
Investor relations expense 12,600
Other expenses 6,001
- -------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 1,949,269
Custodian fee credit (1,545)
Expense reimbursement (349,167)
- -------------------------------------------------------------------------------------------------------
Net expenses 1,598,557
- -------------------------------------------------------------------------------------------------------
Net investment income 2,668,152
- -------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments 5,164,260
Change in net unrealized appreciation (depreciation) of
investments 12,134,217
- -------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 17,298,477
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO FUNDPREFERRED SHAREHOLDERS
From net investment income (423,530)
From accumulated net realized gains --
- -------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares from
distributions to FundPreferred shareholders (423,530)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $19,543,099
=======================================================================================================
See accompanying notes to financial statements.
Statement of
CHANGES IN NET ASSETS (Unaudited)
THREE MONTHS ENDED YEAR ENDED
3/31/06 12/31/05
- -------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,668,152 $ 11,442,855
Net realized gain (loss) from investments 5,164,260 12,944,299
Change in net unrealized appreciation (depreciation) of
investments 12,134,217 11,499,504
Distributions to FundPreferred shareholders:
From net investment income (423,530) (684,143)
From accumulated net realized gains from investments -- (688,954)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations 19,543,099 34,513,561
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (5,195,715) (10,801,295)
From accumulated net realized gains -- (12,626,529)
- -------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common shares from
distributions to Common shareholders (5,195,715) (23,427,824)
- -------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
FundPreferred shares offering costs adjustments -- (82,512)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from capital share transactions -- (82,512)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares 14,347,384 11,003,225
Net assets applicable to Common shares at the beginning of period 309,452,453 298,449,228
- -------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares at the end of period $323,799,837 $309,452,453
=======================================================================================================
Undistributed (Over-distribution of) net investment income at the
end of period $ (3,001,871) $ (50,778)
=======================================================================================================
See accompanying notes to financial statements.
Statement of
CASH FLOWS Three Months Ended March 31, 2006 (Unaudited)
- -------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHARES FROM
OPERATIONS $ 19,543,099
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 investment securities (24,840,478)
Proceeds from sales of investment securities 25,252,389
Proceeds from (Purchases of) short-term investment securities, net (2,544,262)
Amortization/(Accretion) of premiums and discounts, net 51,771
(Increase) Decrease in receivable for dividends (196,494)
(Increase) Decrease in receivable for interest 125,802
(Increase) Decrease in receivable for investments sold (995,699)
(Increase) Decrease in receivable for reclaims 21,886
(Increase) Decrease in other assets (3,868)
Increase (Decrease) in payable for investments purchased 6,040,910
Increase (Decrease) in accrued management fees 4,681
Increase (Decrease) in accrued other liabilities 6,922
Increase (Decrease) in FundPreferred share dividends payable (7,031)
Net realized (gain) from investments (5,164,260)
Net realized (gain) loss from paydowns 25,454
Change in net unrealized (appreciation) depreciation of investments (12,134,217)
- -------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 5,186,605
- -------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (5,195,715)
FundNotes:
(Increase) Decrease in deferred FundNotes offering costs 15,114
Increase (Decrease) in FundNotes interest payable* (6,004)
- -------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (5,186,605)
- -------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH --
Cash at the beginning of period --
- -------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ --
=======================================================================================================
* Cash paid for interest on FundNotes (excluding amortization of FundNotes
offering costs) during the three months ended March 31, 2006 was $792,667.
See accompanying notes to financial statements.
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
Nuveen Tax-Advantaged Total Return Strategy Fund (the "Fund") is a diversified,
closed-end management investment company registered under the Investment Company
Act of 1940, as amended. The Fund's Common shares are listed on the New York
Stock Exchange and trade under the ticker symbol "JTA." The Fund was organized
as a Massachusetts business trust on October 1, 2003.
The Fund seeks to provide a high level of after-tax total return consisting
primarily of tax-advantaged dividend income and capital appreciation by
investing primarily in a portfolio of dividend-paying common stocks that the
Fund believes at the time of investment are eligible to pay dividends that
qualify for favorable federal income taxation at rates applicable to long-term
capital gains ("tax-advantaged dividends"). The Fund will also invest to a more
limited extent in preferred securities that are eligible to pay tax-advantaged
dividends, as well as senior loans (both secured and unsecured), domestic
corporate bonds, notes and debentures, convertible debt securities, and other
similar types of corporate instruments, including high yield debt securities,
that are not eligible to pay tax-advantaged dividends.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
Exchange-listed securities are generally valued at the last sales price on the
securities exchange on which such securities are primarily traded. Securities
traded on a securities exchange for which there are no transactions on a given
day or securities not listed on a securities exchange are valued at the mean of
the closing bid and asked prices. Securities traded on Nasdaq are valued at the
Nasdaq Official Closing Price. The prices of fixed-income securities and senior
loans are generally provided by an independent pricing service approved by the
Fund's Board of Trustees and based on the mean between the bid and asked prices.
When price quotes are not readily available, the pricing service or, in the
absence of a pricing service for a particular security, the Board of Trustees of
the Fund, or its designee, may establish fair market value using a wide variety
of market data including 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 obligor's credit characteristics considered relevant by the
pricing service or the Board of Trustees designee. Short-term investments are
valued at amortized cost, which approximates market value.
The senior loans in which the Fund invests are not listed on an organized
exchange and the secondary market for such investments may be less liquid
relative to markets for other fixed income securities. Consequently, the value
of senior 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.
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for
senior loans purchased in the "primary market" is considered the date on which
the loan allocations are determined. Trade date for senior loans purchased in
the "secondary market" is the date on which the transaction is entered into.
Realized gains and losses from investment transactions are determined on the
specific identification method. Investments purchased on a when-issued or
delayed delivery basis may have extended settlement periods. Any investments so
purchased are subject to market fluctuation during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of the
when-issued and delayed delivery purchase commitments. At March 31, 2006, the
Fund had outstanding when-issued/delayed delivery purchase commitments of
$3,000,000.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
Investment Income
Dividend income is recorded on the ex-dividend date or, for foreign securities,
when information is available. Interest income, which includes the amortization
of premiums and accretion of discounts for financial reporting purposes, is
recorded on an accrual basis. Interest income also includes paydown gains and
losses on senior loans. Fee income, if any, consists primarily of amendment
fees. Amendment fees are earned as compensation for evaluating and accepting
changes to the original loan agreement and are recognized when received.
Federal Income Taxes
The Fund intends to distribute substantially all net investment income and net
capital gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required.
Dividends and Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the ex-dividend date. The
amount and timing of distributions are determined in accordance with federal
income tax regulations, which may differ from U.S. generally accepted accounting
principles.
Prior to December 1, 2004, the Fund declared monthly income distributions to
Common shareholders. Commencing with the Fund's December 1, 2004 dividend
declaration, payable December 30, 2004, the Fund began to make monthly cash
distributions to Common Shareholders of a stated dollar amount based on the
Fund's net investment income, net realized capital gains and/or on net
unrealized capital gains in the Fund's portfolio (stated in terms of a fixed
cents per Common Share dividend rate) ("Managed Distribution Policy"). The Fund
seeks to maintain a stable distribution level, subject to approval and oversight
by the Fund's Board of Trustees. Distributions will be made only after paying
any accrued dividends or making any redemption or liquidation payments to
FundPreferred shares, if any, and interest and required principal payments on
borrowings, if any. Under the Managed Distribution Policy, if, for any monthly
distribution, net investment income and net realized capital gain were less than
the amount of the distribution, the difference would be distributed from the
Fund's assets and would be treated by shareholders as a return of capital for
tax purposes. Distributions during the first three months of the fiscal year are
classified as having been paid from net investment income; consequently, this
will negatively impact the amount of undistributed net investment income shown
in the financial statements in this interim report. The final determination of
the source of all distributions for the year are made after the end of the year
and reflected in the financial statements contained in the annual report.
FundNotes
The Fund has issued and outstanding 3,120 Series F FundNotes, $25,000 stated
value per share, that mature on April 24, 2034. The interest rate paid by the
Fund is determined every seven days, pursuant to a dutch auction process
overseen by the auction agent, and is payable at the end of each rate period.
For the three months ended March 31, 2006, the average daily balance of
FundNotes was $78 million with an average annualized interest rate (including
amortization of FundNotes offering costs) of 4.17%.
FundPreferred Shares
The Fund has issued and outstanding 1,800 Series W FundPreferred shares, $25,000
stated value per share, as a means of effecting financial leverage. The dividend
rate paid by the Fund is determined every seven days, pursuant to a dutch
auction process overseen by the auction agent, and is payable at the end of each
rate period.
Derivative Financial Instruments
The Fund is authorized to invest in derivatives or other transactions for
the purpose of hedging the portfolio's exposure to common stock risk, high yield
credit risk, foreign currency exchange risk and the risk of increases in
interest rates. Although the Fund is authorized to invest in such financial
instruments, and may do so in the future, it did not engage in any such
investments during the three months ended March 31, 2006.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund's
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 seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
Custodian Fee Credit
The Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Fund's 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 Fund's 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.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
The Fund did not engage in transactions in its own shares during the three
months ended March 31, 2006, nor during the fiscal year ended December 31, 2005.
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding short-term investments) during the three months
ended March 31, 2006, aggregated $24,840,478 and $25,252,389, respectively.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses, recognition of
premium amortization, and timing differences in recognizing certain gains and
losses on investment transactions.
At March 31, 2006, the cost of investments was $392,008,708
Gross unrealized appreciation and gross unrealized depreciation of investments
at March 31, 2006, were as follows:
- --------------------------------------------------------------------------------
Gross unrealized:
Appreciation $66,654,006
Depreciation (8,070,845)
- --------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $58,583,161
================================================================================
The tax components of undistributed net ordinary income and net realized gains
at December 31, 2005, the Fund's last tax year end, were as follows:
- ---------------------------------------------------------------
Undistributed net ordinary income * $255,108
Undistributed net long-term capital gains --
===============================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
The tax character of distributions paid during the Fund's last tax year ended
December 31,2005, was designated for purposes of the dividends paid
deduction as follows:
- ---------------------------------------------------------------
Distributions from net ordinary income * $12,615,936
Distributions from net long-term capital gains ** 12,174,921
===============================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
** The Fund designated as a long-term capital gain dividend, pursuant to
Internal Revenue Code Section 852(b)(3), the amount necessary to reduce
the earnings and profits of the Fund related to net capital gain to zero
for the tax period ended December 31, 2005.
5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund's management fee is separated into two components -- a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), or wholly owned subsidiary of Nuveen
Investments, Inc., and a specific fund-level component, based only on the amount
of assets within the Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual 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 based upon the average daily
Managed Assets of the Fund as follows:
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
- -------------------------------------------------------------------------------
For the first $500 million .7000%
For the next $500 million .6750
For the next $500 million .6500
For the next $500 million .6250
For Managed Assets over $2 billion .6000
===============================================================================
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of March 31, 2006, the complex level fee rate was .1887%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
- -------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion (2) .1400
===============================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds
in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level
fee rate for such complex-wide Managed Assets shall be .1400% until such
time as a different rate or rates is determined.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Adviser has entered
into Sub-Advisory Agreements with NWQ Investment Management Company, LLC ("NWQ")
and Symphony Asset Management, LLC ("Symphony"). Nuveen owns a controlling
interest in NWQ while key management of NWQ owns a non-controlling minority
interest. Symphony is an indirect wholly owned subsidiary of Nuveen. NWQ manages
the portion of the Fund's investment portfolio allocated to dividend-paying
common stocks including American Depositary Receipts ("ADRs"). Symphony manages
the portion of the Fund's investment portfolio allocated to senior loans and
other debt instruments. NWQ and Symphony are compensated for their services to
the Fund from the management fee paid to the Adviser.
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 Board of
Trustees 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.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
For the first eight years of the Fund's operations, the Adviser has agreed to
reimburse the Fund, as a percentage of average daily Managed Assets, for fees
and expenses in the amounts and for the time periods set forth below:
YEAR ENDING
JANUARY 31,
- -------------------------------------------------------------------------------
2004* .32%
2005 .32
2006 .32
2007 .32
2008 .32
2009 .32
2010 .24
2011 .16
2012 .08
===============================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse the Fund for any portion of its fees and
expenses beyond January 31, 2012.
6. 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. At March 31, 2006, there were no such unfunded senior loan
commitments.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
With respect to the senior loans held in the Fund's 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. At March 31, 2006, there were
no such outstanding participation commitments.
8. SUBSEQUENT EVENT -- DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a distribution of $.1250 per Common share which was paid on
May 1, 2006, to shareholders of record on April 15, 2006.
FINANCIAL HIGHLIGHTS
(Unaudited)
FINANCIAL HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
------------------------------------------------------------------ -------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ FundPreferred FundPreferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total holders holders Total
- ------------------------------------------------------------------------------------------------------------------------------------
Year Ended 12/31:
2006(b) $22.33 $.19 $1.26 $(.03) $ -- $1.42 $(.38) $ -- $ (.38)
2005 21.54 .83 1.76 (.05) (.05) 2.49 (.78) (.91) (1.69)
2004(c) 19.10 .67 2.69 (.03) -- 3.33 (.67) (.10) (.77)
Total Returns
-----------------
Based
Offering on
Costs and Ending Common
FundPreferred Common Based Share
Share Share Ending on Net
Underwriting Net Asset Market Market Asset
Discounts Value Value Value** Value**
- ----------------------------------------------------------------------------
Year Ended 12/31:
2006(b) $ -- $23.37 $22.39 6.54% 6.35%
2005 (.01) 22.33 21.37 20.00 11.93
2004(c) (.12) 21.54 19.35 91 17.18
Ratios/Supplemental Data
--------------------------------------------------------------------------------------
Before Credit/Reimbursement After Credit/Reimbursement***
--------------------------- -----------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
- -----------------------------------------------------------------------------------------------------------
Year Ended 12/31:
2006(b) $323,800 2.47%* 2.94%* 2.03%* 3.38%* 6%
2005 309,452 2.26 3.36 1.81 3.81 26
2004(c) 298,449 1.80* 3.30* 1.37* 3.73* 16
FundNotes at End of Period FundPreferred Shares at End of Period
------------------------------------------------- --------------------------------------
Aggregate Average Market Asset Aggregate Liquidation
Amount Value Per Coverage Per Amount and Market Asset
Outstanding $25,000 of $1,000 of Outstanding Value Coverage
(000) Principal Amount Principal Amount (000) Per Share Per Share
- --------------------------------------------------------------------------------------------------------------
Year Ended 12/31:
2006(b) $78,000 $25,000 $5,728 $45,000 $25,000 $204,889
2005 78,000 25,000 5,544 45,000 25,000 196,918
2004(c) 78,000 25,000 5,403 45,000 25,000 190,805
* Annualized.
** Total Investment Return on Market Value 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. Total Return on Common Share
Net Asset Value is the combination of changes in Common Share net asset
value, reinvested dividend income at net asset value and reinvested
capital gains distributions at net asset value, if any. Total returns are
not annualized.
*** After custodian fee credit and expense reimbursement.
+ The amounts shown are based on Common share equivalents.
++ o Ratios do not reflect the effect of dividend payments to FundPreferred
shareholders.
o Income ratios reflect income earned on assets attributable to
FundPreferred shares and FundNotes.
o Each Ratio of Expenses to Average Net Assets Applicable to Common Shares
and each Ratio of Net Investment Income to Average Net Assets Applicable
to Common Shares includes the effect of the interest expense paid on
FundNotes as follows:
Ratio of FundNotes Interest
Expense and Amortization of
FundNotes Offering Costs to Average
Net Assets Applicable to
Common Shares
- ----------------------------------------
2006(b) 1.02%*
2005 .80
2004(c) .37*
- ----------
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the three months ended March 31, 2006.
(c) For the period January 27, 2004 (commencement of operations) through
December 31, 2004.
See accompanying notes to financial statements.
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
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.
During this reporting period, the registrant's Board of Trustees implemented a
change to the procedures by which shareholders may recommend nominees to the
registrant's board of trustees by amending the registrant's by-laws to include a
provision specifying the date by which shareholder nominations for election as
trustee at a subsequent meeting must be submitted to the registrant.
Shareholders must deliver or mail notice to the registrant not less than
forty-five days nor more than sixty days prior to the first anniversary date of
the date on which the registrant first mailed its proxy materials for the prior
year's annual meeting; provided, however, if and only if the annual meeting is
not scheduled to be held within a period that commences thirty days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty days after such anniversary date (an annual meeting date outside such
period being referred to as an "Other Annual Meeting Date" hereafter), the
shareholder notice must be given no later than the close of business on the date
forty-five days prior to such Other Annual Meeting Date or the tenth business
day following the date such Other Annual Meeting Date is first publicly
announced or disclosed. The shareholder's notice must be in writing and set
forth the name, age, date of birth, business address, residence address and
nationality of the person(s) being nominated and the class or series, number of
all shares of the registrant owned of record or beneficially be each such
person(s), any other information regarding such person required by Item 401 of
Regulation S-K or Item 22 of Rule 14a-101 (Schedule 14A) under the Securities
Exchange Act of 1934, as amended, any other information regarding the person(s)
to be nominated that would be required to be disclosed in a proxy statement or
other filings required to be made in connection with solicitation of proxies for
election of trustees, and whether such shareholder believes any nominee is or
will be an "interested person" (as that term is defined in the Investment
Company Act of 1940, as amended) of the registrant or sufficient information to
enable the registrant to make that determination and the written and signed
consent of the person(s) to be nominated.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded
that the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as
amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of
a date within 90 days of the filing date of this report that
includes the disclosure required by this paragraph, based on their
evaluation of the controls and procedures required by Rule 30a-3(b)
under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (the
"Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter
of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Tax-Advantaged Total Return Strategy Fund
By (Signature and Title)* /s/ Jessica R. Droeger
---------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: June 8, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
---------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: June 8, 2006
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: June 8, 2006
* Print the name and title of each signing officer under his or her signature.