NPORT-EX 2 JTA.htm FOR VALIDATION PURPOSES ONLY - [410994.TX]
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  

 

1

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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  

 

2

  
  
  

 

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  

 

3

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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  

 

4

  
  
  

 

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  

 

5

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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  

 

6

  
  
  

 

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  

 

7

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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  

 

8

  
  
  

 

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  

 

9

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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  

 

10

  
  
  

 

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  

 

11

JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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%                           
$ 26    

iHeartCommunications Inc

     8.375%        5/01/27        CCC+      $ 27,825  
  26    

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  

 

12

  
  
  

 

Shares     Description (1)   Coupon      Maturity              Value  
      INVESTMENT COMPANIES – 0.0% (0.0% of Total Investments)                           
  7    

BlackRock Liquidity Funds T-Fund Portfolio

     0.005% (14 )       N/A               $ 7  
 

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).

 

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JTA    Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
   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.

 

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(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.

 

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