Virtus Total Return Fund
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file
number 811-04739
Virtus Total Return Fund Inc.
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA
01301-9668
(Address of principal executive offices) (Zip code)
William Renahan, Esq.
Vice
President, Chief Legal Officer and Secretary for Registrant
100 Pearl Street
Hartford, CT
06103-4506
(Name and address of agent for service)
Registrants telephone number, including area code: (866) 270-7788
Date of fiscal year end: November 30
Date of reporting period: February 28, 2018
Form N-Q is to be used by management investment companies, other than small business investment
companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form
N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is
required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.
Item 1. Schedule of Investments.
The Schedules of Investments are attached herewith.
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY
28, 2018
($ reported in thousands)
|
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|
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|
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|
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PAR VALUE |
|
VALUE |
|
U.S. GOVERNMENT
SECURITIES0.8% |
|
|
|
|
|
U.S. Treasury Note 2.250%, 8/15/27(16) |
|
$ |
|
|
2,000 |
|
|
$ |
1,895 |
|
|
|
TOTAL U.S. GOVERNMENT SECURITIES
(Identified Cost $1,896) |
|
|
|
1,895 |
|
|
|
|
|
FOREIGN GOVERNMENT SECURITIES6.7% |
|
|
|
|
|
Argentine Republic |
|
|
|
|
|
|
|
|
|
|
7.500%, 4/22/26 |
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|
|
|
725 |
|
|
|
774 |
|
5.875%, 1/11/28 |
|
|
|
|
230 |
|
|
|
215 |
|
Series NY, 8.280%, 12/31/33 |
|
|
|
|
967 |
|
|
|
1,058 |
|
6.875%, 1/11/48 |
|
|
|
|
155 |
|
|
|
142 |
|
Bolivarian Republic of Venezuela |
|
|
|
|
|
RegS, 8.250%, 10/13/24(4)(7) |
|
|
|
|
610 |
|
|
|
166 |
|
RegS, 7.650%, 4/21/25(4)(7) |
|
|
|
|
830 |
|
|
|
226 |
|
9.375%, 1/13/34(7) |
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|
|
|
225 |
|
|
|
64 |
|
Dominican Republic 144A 6.875%, 1/29/26(3) |
|
|
|
|
165 |
|
|
|
185 |
|
Federative Republic of Brazil |
|
|
|
|
|
|
|
|
|
|
12.500%, 1/5/22 |
|
|
|
|
2,595 |
BRL |
|
|
898 |
|
Notas de Tesouro National F Series, 10.000%, 1/1/25 |
|
|
|
|
730 |
BRL |
|
|
235 |
|
5.625%, 1/7/41 |
|
|
|
|
490 |
|
|
|
473 |
|
Islamic Republic of Pakistan 144A 6.875%,
12/5/27(3) |
|
|
|
|
400 |
|
|
|
394 |
|
Kingdom of Bahrain 144A 7.000%, 10/12/28(3) |
|
|
|
|
580 |
|
|
|
573 |
|
Kingdom of Jordan 144A 5.750%, 1/31/27(3) |
|
|
|
|
265 |
|
|
|
263 |
|
Kingdom of Morocco 144A 5.500%, 12/11/42(3)(16) |
|
|
|
|
600 |
|
|
|
649 |
|
Provincia de Buenos Aires |
|
|
|
|
|
|
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|
|
|
144A, 9.125%, 3/16/24(3) |
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|
|
|
375 |
|
|
|
418 |
|
144A, 7.875%, 6/15/27(3) |
|
|
|
|
275 |
|
|
|
287 |
|
Republic of Chile 5.500%, 8/5/20 |
|
|
|
|
240,500 |
CLP |
|
|
422 |
|
Republic of Colombia |
|
|
|
|
|
|
|
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|
|
4.375%, 3/21/23 |
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|
1,106,000 |
COP |
|
|
362 |
|
9.850%, 6/28/27 |
|
|
|
|
1,050,000 |
COP |
|
|
456 |
|
Republic of Costa Rica 144A 7.000%, 4/4/44(3) |
|
|
|
|
440 |
|
|
|
457 |
|
Republic of Ecuador 144A 8.875%, 10/23/27(3) |
|
|
|
|
200 |
|
|
|
211 |
|
Republic of Ghana 144A 10.750%, 10/14/30(3) |
|
|
|
|
255 |
|
|
|
342 |
|
Republic of Indonesia |
|
|
|
|
|
|
|
|
|
|
FR70, 8.375%, 3/15/24 |
|
|
|
|
7,065,000 |
IDR |
|
|
565 |
|
FR56, 8.375%, 9/15/26 |
|
|
|
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4,365,000 |
IDR |
|
|
351 |
|
Republic of South Africa |
|
|
|
|
|
|
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7.750%, 2/28/23 |
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|
|
|
4,500 |
ZAR |
|
|
386 |
|
4.875%, 4/14/26 |
|
|
|
|
200 |
|
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
4.300%, 10/12/28 |
|
$ |
|
|
610 |
|
|
$ |
574 |
|
Republic of Turkey |
|
|
|
|
|
|
|
|
|
|
6.250%, 9/26/22 |
|
|
|
|
425 |
|
|
|
453 |
|
4.875%, 10/9/26 |
|
|
|
|
615 |
|
|
|
587 |
|
4.875%, 4/16/43 |
|
|
|
|
435 |
|
|
|
356 |
|
Russian Federation |
|
|
|
|
|
|
|
|
|
|
144A, 7.850%, 3/10/18(3) |
|
|
|
|
10,000 |
RUB |
|
|
177 |
|
6216, 6.700%, 5/15/19 |
|
|
|
|
37,135 |
RUB |
|
|
661 |
|
6215, 7.000%, 8/16/23 |
|
|
|
|
21,535 |
RUB |
|
|
390 |
|
Sultanate of Oman |
|
|
|
|
|
|
|
|
|
|
144A, 5.375%, 3/8/27(3)(16) |
|
|
|
|
625 |
|
|
|
620 |
|
144A, 5.625%, 1/17/28(3)(16) |
|
|
|
|
435 |
|
|
|
433 |
|
Ukraine |
|
|
|
|
|
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|
|
|
144A, 7.750%, 9/1/23(3) |
|
|
|
|
195 |
|
|
|
204 |
|
144A, 7.750%, 9/1/26(3) |
|
|
|
|
835 |
|
|
|
858 |
|
United Mexican States |
|
|
|
|
|
|
|
|
|
|
Series M, 6.500%, 6/9/22 |
|
|
|
|
5,044 |
MXN |
|
|
257 |
|
4.150%, 3/28/27 |
|
|
|
|
265 |
|
|
|
265 |
|
4.750%, 3/8/44 |
|
|
|
|
12 |
|
|
|
12 |
|
|
|
TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $17,393) |
|
|
|
16,619 |
|
|
|
|
|
MORTGAGE-BACKED SECURITIES6.1% |
|
|
|
|
|
|
|
|
|
Agency0.4% |
|
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|
|
|
|
|
|
|
|
FNMA |
|
|
|
|
|
|
|
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|
4.000%, 8/1/47 |
|
|
|
|
517 |
|
|
|
530 |
|
4.000%, 9/1/47 |
|
|
|
|
566 |
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|
|
581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency5.7% |
|
|
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|
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|
|
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|
American Homes 4 Rent Trust |
|
|
|
|
|
|
|
|
|
|
2014-SFR2, C 144A, 4.705%, 10/17/36(3) |
|
|
|
|
390 |
|
|
|
409 |
|
2015-SFR2, C 144A, 4.691%, 10/17/45(3) |
|
|
|
|
340 |
|
|
|
359 |
|
2015-SFR1, A 144A, 3.467%, 4/17/52(3) |
|
|
|
|
171 |
|
|
|
171 |
|
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates,
2003-AR3, M4 , (5.850% minus 1 month LIBOR) 4.162%, 6/25/33(2) |
|
|
|
|
116 |
|
|
|
115 |
|
AMSR Trust |
|
|
|
|
|
|
|
|
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|
2016-SFR1, C 144A, (1 month LIBOR + 2.250%)
3.840%, 11/17/33(2)(3) |
|
|
|
|
245 |
|
|
|
248 |
|
2016-SFR1, D 144A, (1 month LIBOR + 2.400%)
3.990%, 11/17/33(2)(3) |
|
|
|
|
385 |
|
|
|
389 |
|
See Notes to
Schedules of Investments
1
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
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PAR VALUE |
|
VALUE |
|
Non-Agency(continued) |
|
Aventura Mall Trust 2013-AVM, C 144A 3.743%, 12/5/32(2)(3) |
|
$ |
|
|
215 |
|
|
$ |
217 |
|
Banc of America Funding Trust |
|
|
|
|
|
|
|
|
|
|
2004-D, 5A1, 3.662%, 1/25/35(2) |
|
|
|
|
91 |
|
|
|
86 |
|
2005-1, 1A1, 5.500%, 2/25/35 |
|
|
|
|
10 |
|
|
|
10 |
|
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34 |
|
|
|
|
109 |
|
|
|
112 |
|
Bayview Opportunity Master Fund IIIb Trust 2017-RN2, A1 144A 3.475%,
4/28/32(2)(3) |
|
|
|
|
46 |
|
|
|
46 |
|
Bayview Opportunity Master Fund IVa Trust |
|
|
|
|
|
|
|
|
|
|
2016-SPL1, B1 144A, 4.250%, 4/28/55(3) |
|
|
|
|
400 |
|
|
|
413 |
|
2017-SPL5, B1 144A, 4.000%, 6/28/57(2)(3) |
|
|
|
|
310 |
|
|
|
326 |
|
2017-SPL1, B1 144A, 4.250%, 10/28/64(2)(3) |
|
|
|
|
163 |
|
|
|
167 |
|
Bayview Opportunity Master Fund IVb Trust 2017-SPL3, B1 144A 4.250%, 11/28/53(2)(3) |
|
|
|
|
150 |
|
|
|
157 |
|
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%,
10/15/34(3) |
|
|
|
|
245 |
|
|
|
249 |
|
Citigroup Commercial Mortgage Trust 2016-SMPL, A 144A 2.228%, 9/10/31(3) |
|
|
|
|
440 |
|
|
|
426 |
|
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A 3.500%,
6/25/58(2)(3) |
|
|
|
|
98 |
|
|
|
98 |
|
Colony Starwood Homes Trust 2016-2A, C 144A , (1 month LIBOR +
2.150%) 3.738%, 12/17/33(2)(3) |
|
|
|
|
505 |
|
|
|
505 |
|
COLT Mortgage Loan Trust Funding LLC 2017-1, A3 144A 3.074%, 5/27/47(2)(3) |
|
|
|
|
63 |
|
|
|
62 |
|
Credit Suisse Commercial Mortgage-Backed Trust 2006-8, 3A1 6.000%,
10/25/21 |
|
|
|
|
43 |
|
|
|
41 |
|
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 3.527%, 1/25/34(2) |
|
|
|
|
125 |
|
|
|
129 |
|
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%,
12/26/46(2)(3) |
|
|
|
|
58 |
|
|
|
58 |
|
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A 3.382%, 12/15/34(2)(3) |
|
|
|
|
140 |
|
|
|
140 |
|
Galton Funding Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
2017-1, A21 144A, 3.500%, 7/25/56(2)(3) |
|
|
|
|
207 |
|
|
|
207 |
|
2018-1, A23 144A, 3.500%, 11/25/57(2)(3) |
|
|
|
|
275 |
|
|
|
273 |
|
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(2) |
|
|
|
|
36 |
|
|
|
36 |
|
Home Equity Loan Trust 2007-HSA3, AI4 6.110%,
6/25/37(2) |
|
|
|
|
176 |
|
|
|
176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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PAR VALUE |
|
VALUE |
|
Non-Agency(continued) |
|
|
|
|
|
|
|
|
|
|
Home Equity Mortgage Trust 2005-2, M7 , (1 month LIBOR + 1.680%)
3.301%, 7/25/35(2) |
|
$ |
|
|
153 |
|
|
$ |
152 |
|
JPMorgan Chase (Bear Stearns) Alternate Loan Trust 2004-5, 3A1
3.807%, 6/25/34(2) |
|
|
|
|
287 |
|
|
|
293 |
|
JPMorgan Chase Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
2014-5, B2 144A, 3.000%, 10/25/29(2)(3) |
|
|
|
|
145 |
|
|
|
137 |
|
2016-1, M2 144A, 3.750%, 4/25/45(2)(3) |
|
|
|
|
331 |
|
|
|
330 |
|
2016-2, M2 144A, 3.750%, 12/25/45(2)(3) |
|
|
|
|
353 |
|
|
|
351 |
|
2017-3, 2A2 144A, 2.500%, 8/25/47(2)(3) |
|
|
|
|
207 |
|
|
|
201 |
|
2017-5, A1 144A, 3.190%, 10/26/48(2)(3) |
|
|
|
|
485 |
|
|
|
483 |
|
2017-4, A3 144A, 3.500%, 11/25/48(2)(3) |
|
|
|
|
93 |
|
|
|
92 |
|
MASTR Alternative Loan Trust 2004-4, 6A1 5.500%, 4/25/34 |
|
|
|
|
68 |
|
|
|
70 |
|
New Residential Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
2014-1A, A 144A, 3.750%, 1/25/54(2)(3) |
|
|
|
|
133 |
|
|
|
135 |
|
2016-3A, A1 144A, 3.750%, 9/25/56(2)(3) |
|
|
|
|
179 |
|
|
|
181 |
|
2016-4A, B1A 144A, 4.500%, 11/25/56(2)(3) |
|
|
|
|
610 |
|
|
|
628 |
|
2017-2A, A3 144A, 4.000%, 3/25/57(2)(3) |
|
|
|
|
191 |
|
|
|
195 |
|
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A 3.000%, 7/25/57(2)(3) |
|
|
|
|
249 |
|
|
|
248 |
|
One Market Plaza Trust 2017-1MKT, A 144A 3.614%,
2/10/32(3) |
|
|
|
|
355 |
|
|
|
357 |
|
Pretium Mortgage Credit Partners I LLC 2017-NPL5, A1 144A 3.327%, 12/30/32(2)(3) |
|
|
|
|
113 |
|
|
|
113 |
|
Progress Residential Trust 2017-SFR1, B 144A 3.017%,
8/17/34(3) |
|
|
|
|
150 |
|
|
|
147 |
|
RCO Mortgage LLC 2017-1, A1 144A 3.375%, 8/25/22(2)(3) |
|
|
|
|
566 |
|
|
|
564 |
|
Resecuritization Pass-Through Trust 2005-8R, A5 6.000%,
10/25/34 |
|
|
|
|
56 |
|
|
|
57 |
|
Residential Asset Mortgage Products Trust 2004-SL4, A3 6.500%,
7/25/32 |
|
|
|
|
51 |
|
|
|
51 |
|
Residential Asset Securitization Trust 2005-A1, A3 5.500%,
4/25/35 |
|
|
|
|
115 |
|
|
|
118 |
|
Structured Asset Securities Corp. Assistance Loan Trust 2003-AL1, A
144A 3.357%, 4/25/31(3) |
|
|
|
|
80 |
|
|
|
79 |
|
Towd Point Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
2015-1, A2 144A, 3.250%, 10/25/53(2)(3) |
|
|
|
|
220 |
|
|
|
217 |
|
2015-6, M1 144A, 3.750%, 4/25/55(2)(3) |
|
|
|
|
300 |
|
|
|
303 |
|
2015-5, A2 144A, 3.500%, 5/25/55(2)(3) |
|
|
|
|
160 |
|
|
|
160 |
|
2017-1, M1 144A, 3.750%, 10/25/56(2)(3) |
|
|
|
|
185 |
|
|
|
186 |
|
2017-6, A2 144A, 3.000%, 10/25/57(2)(3) |
|
|
|
|
150 |
|
|
|
144 |
|
See Notes to
Schedules of Investments
2
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Non-Agency(continued) |
|
2015-2, 1M1 144A, 3.250%, 11/25/60(2)(3) |
|
$ |
|
|
1,065 |
|
|
$ |
1,044 |
|
Tricon American Homes Trust |
|
|
|
|
|
|
|
|
|
|
2016-SFR1, C 144A, 3.487%, 11/17/33(3) |
|
|
|
|
635 |
|
|
|
630 |
|
2017-SFR1, A 144A, 2.716%, 9/17/34(3) |
|
|
|
|
105 |
|
|
|
102 |
|
Vericrest Opportunity Loan Trust LX LLC 2017-NPL7, A1 144A 3.250%, 6/25/47(2)(3) |
|
|
|
|
189 |
|
|
|
188 |
|
Vericrest Opportunity Loan Trust LXIII LLC 2017-NP10, A1 144A 3.000%, 10/25/47(2)(3) |
|
|
|
|
100 |
|
|
|
99 |
|
Vericrest Opportunity Loan Trust LXIV LLC 2017-NP11, A1 144A 3.375%, 10/25/47(2)(3) |
|
|
|
|
137 |
|
|
|
136 |
|
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50 |
|
|
|
|
185 |
|
|
|
182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,998 |
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $15,239) |
|
|
|
15,109 |
|
|
|
|
ASSET-BACKED SECURITIES2.8% |
|
|
Automobiles1.4% |
|
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) |
|
|
|
|
380 |
|
|
|
373 |
|
Carnow Auto Receivables Trust 2016-1A, D 144A 7.340%, 11/15/21(3) |
|
|
|
|
175 |
|
|
|
178 |
|
Chrysler Capital Auto Receivables Trust 2016-BA, D 144A 3.510%,
9/15/23(3) |
|
|
|
|
385 |
|
|
|
376 |
|
Drive Auto Receivables Trust 2017-2, C 2.750%, 9/15/23 |
|
|
|
|
450 |
|
|
|
448 |
|
Exeter Automobile Receivables Trust |
|
|
|
|
|
|
|
|
2015-2A, C 144A, 3.900%, 3/15/21(3) |
|
|
|
|
185 |
|
|
|
187 |
|
2016-3A, B 144A, 2.840%, 8/16/21(3) |
|
|
|
|
440 |
|
|
|
440 |
|
Flagship Credit Auto Trust |
|
|
|
|
|
|
|
|
|
|
2015-1, D 144A, 5.260%, 7/15/21(3) |
|
|
|
|
415 |
|
|
|
424 |
|
2014-1, E 144A, 5.710%, 8/16/21(3) |
|
|
|
|
150 |
|
|
|
152 |
|
GLS Auto Receivables Trust |
|
|
|
|
|
|
|
|
|
|
2017-1A, B 144A, 2.980%, 12/15/21(3) |
|
|
|
|
455 |
|
|
|
452 |
|
2017-1A, C 144A, 3.500%, 7/15/22(3) |
|
|
|
|
455 |
|
|
|
454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other1.4% |
|
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(3) |
|
|
|
|
431 |
|
|
|
425 |
|
CLUB Credit Trust 2017-P1, B 144A 3.560%, 9/15/23(3) |
|
|
|
|
305 |
|
|
|
305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Other(continued) |
|
Conns Receivables Funding LLC 2017-B, B 144A 4.520%, 11/15/20(3) |
|
$ |
|
|
380 |
|
|
$ |
384 |
|
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(3) |
|
|
|
|
379 |
|
|
|
376 |
|
Drug Royalty III LP 1 2016-1A, A 144A 3.979%, 4/15/27(3) |
|
|
|
|
317 |
|
|
|
315 |
|
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44(3) |
|
|
|
|
419 |
|
|
|
407 |
|
Mariner Finance Issuance Trust 2017-AA, A 144A 3.620%, 2/20/29(3) |
|
|
|
|
260 |
|
|
|
261 |
|
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) |
|
|
|
|
315 |
|
|
|
315 |
|
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(3) |
|
|
|
|
443 |
|
|
|
444 |
|
VSE VOI Mortgage LLC 2016-A, A 144A 2.540%, 7/20/33(3) |
|
|
|
|
282 |
|
|
|
277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,509 |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $7,012) |
|
|
|
6,993 |
|
|
|
|
CORPORATE BONDS AND NOTES27.9% |
|
|
Consumer Discretionary3.2% |
|
Beazer Homes USA, Inc. |
|
|
|
|
|
|
|
|
|
|
6.750%, 3/15/25 |
|
|
|
|
250 |
|
|
|
252 |
|
5.875%, 10/15/27 |
|
|
|
|
185 |
|
|
|
176 |
|
Cablevision Systems Corp. 5.875%, 9/15/22 |
|
|
|
|
375 |
|
|
|
375 |
|
Caesars Resort Collection LLC 144A 5.250%,
10/15/25(3) |
|
|
|
|
200 |
|
|
|
195 |
|
Charter Communications Operating LLC 4.908%,
7/23/25(16) |
|
|
385 |
|
|
|
396 |
|
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20 |
|
|
|
|
325 |
|
|
|
325 |
|
Discovery Communications LLC 3.950%, 3/20/28 |
|
|
|
|
365 |
|
|
|
350 |
|
DISH DBS Corp. 7.750%, 7/1/26 |
|
|
|
|
220 |
|
|
|
217 |
|
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) |
|
|
|
|
135 |
|
|
|
139 |
|
Gateway Casinos & Entertainment Ltd. 144A 8.250%,
3/1/24(3) |
|
|
|
|
315 |
|
|
|
336 |
|
Goodyear Tire & Rubber Co. (The) 4.875%, 3/15/27 |
|
|
|
|
150 |
|
|
|
148 |
|
iHeartCommunications, Inc. 9.000%, 12/15/19(7) |
|
|
|
|
130 |
|
|
|
104 |
|
L Brands, Inc. 6.875%, 11/1/35 |
|
|
|
|
240 |
|
|
|
240 |
|
See Notes to
Schedules of Investments
3
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Consumer
Discretionary(continued) |
|
Lennar Corp. |
|
|
|
|
|
|
|
|
|
|
144A, 5.000%, 6/15/27(3) |
|
$ |
|
|
230 |
|
|
$ |
229 |
|
144A, 4.750%, 11/29/27(3) |
|
|
|
|
380 |
|
|
|
368 |
|
M/I Homes, Inc. 5.625%, 8/1/25 |
|
|
|
|
295 |
|
|
|
296 |
|
McGraw-Hill Global Education Holdings LLC 144A 7.875%,
5/15/24(3) |
|
|
|
|
300 |
|
|
|
290 |
|
MDC Holdings, Inc. 5.500%, 1/15/24 |
|
|
|
|
150 |
|
|
|
156 |
|
Meredith Corp. 144A 6.875%, 2/1/26(3) |
|
|
|
|
210 |
|
|
|
217 |
|
Neiman Marcus Group Ltd. 144A 8.000%,
10/15/21(3) |
|
|
|
|
200 |
|
|
|
121 |
|
PetSmart, Inc. 144A 8.875%, 6/1/25(3) |
|
|
|
|
200 |
|
|
|
128 |
|
QVC, Inc. 5.125%, 7/2/22(16) |
|
|
|
|
365 |
|
|
|
378 |
|
Scientific Games International, Inc. |
|
|
|
|
|
|
|
|
|
|
6.625%, 5/15/21 |
|
|
|
|
370 |
|
|
|
382 |
|
144A, 5.000%, 10/15/25(3) |
|
|
|
|
230 |
|
|
|
227 |
|
TRI Pointe Group, Inc. 5.875%, 6/15/24 |
|
|
|
|
375 |
|
|
|
387 |
|
Viking Cruises Ltd. 144A 5.875%, 9/15/27(3) |
|
|
|
|
370 |
|
|
|
361 |
|
Vista Outdoor, Inc. 5.875%, 10/1/23 |
|
|
|
|
370 |
|
|
|
366 |
|
Weekley Homes LLC 144A 6.625%, 8/15/25(3) |
|
|
|
|
375 |
|
|
|
375 |
|
Wyndham Worldwide Corp. 4.500%, 4/1/27 |
|
|
|
|
265 |
|
|
|
263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples0.7% |
|
Albertsonss Cos LLC 5.750%, 3/15/25 |
|
|
|
|
85 |
|
|
|
74 |
|
BAT Capital Corp. 144A 3.557%, 8/15/27(3) |
|
|
|
|
178 |
|
|
|
170 |
|
Cumberland Farms, Inc. 144A 6.750%, 5/1/25(3) |
|
|
|
|
175 |
|
|
|
184 |
|
ESAL GmbH 144A 6.250%, 2/5/23(3) |
|
|
|
|
430 |
|
|
|
409 |
|
Kronos Acquisition Holdings, Inc. 144A 9.000%,
8/15/23(3) |
|
|
|
|
165 |
|
|
|
160 |
|
MARB BondCo plc 144A 7.000%,
3/15/24(3) |
|
|
315 |
|
|
|
310 |
|
Rite Aid Corp. 144A 6.125%, 4/1/23(3) |
|
|
|
|
140 |
|
|
|
141 |
|
Safeway, Inc. 7.250%, 2/1/31 |
|
|
|
|
250 |
|
|
|
209 |
|
Tops Holding LLC 144A 8.000%, 6/15/22(3)(7) |
|
|
|
|
300 |
|
|
|
157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy7.5% |
|
Alliance Resource Operating Partners LP 144A
7.500%, 5/1/25(3)(16) |
|
|
|
|
358 |
|
|
|
382 |
|
Alta Mesa Holdings LP 7.875%, 12/15/24 |
|
|
|
|
245 |
|
|
|
261 |
|
American Midstream Partners LP 144A 8.500%,
12/15/21(3) |
|
|
|
|
235 |
|
|
|
239 |
|
Anadarko Finance Co. Series B 7.500%, 5/1/31 |
|
|
|
|
165 |
|
|
|
209 |
|
Berry Petroleum Co. LLC 144A 7.000%, 2/15/26(3) |
|
|
|
|
85 |
|
|
|
86 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Energy(continued) |
|
Blue Racer Midstream LLC 144A 6.125%,
11/15/22(3) |
|
$ |
|
|
210 |
|
|
$ |
215 |
|
Bristow Group, Inc. 144A 8.750%, 3/1/23(3) |
|
|
|
|
75 |
|
|
|
76 |
|
Callon Petroleum Co. 6.125%, 10/1/24 |
|
|
|
|
328 |
|
|
|
335 |
|
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24 |
|
|
|
|
460 |
|
|
|
515 |
|
Chesapeake Energy Corp. 144A 8.000%, 6/15/27(3) |
|
|
|
|
370 |
|
|
|
355 |
|
Continental Resources, Inc. 4.500%, 4/15/23 |
|
|
|
|
185 |
|
|
|
187 |
|
Crestwood Midstream Partners LP 6.250%, 4/1/23 |
|
|
|
|
275 |
|
|
|
283 |
|
Denbury Resources, Inc. 144A 9.250%, 3/31/22(3) |
|
|
|
|
69 |
|
|
|
71 |
|
Ecopetrol S.A. |
|
|
|
|
|
|
|
|
|
|
5.875%, 9/18/23 |
|
|
|
|
145 |
|
|
|
157 |
|
5.375%, 6/26/26(16) |
|
|
|
|
410 |
|
|
|
432 |
|
Encana Corp. 8.125%, 9/15/30(16) |
|
|
|
|
220 |
|
|
|
287 |
|
Energy Transfer Equity LP |
|
|
|
|
|
|
|
|
|
|
5.000%, 10/1/22 |
|
|
|
|
120 |
|
|
|
125 |
|
5.875%, 1/15/24 |
|
|
|
|
475 |
|
|
|
504 |
|
Energy Transfer LP 5.875%, 3/1/22 |
|
|
|
|
145 |
|
|
|
155 |
|
EP Energy LLC |
|
|
|
|
|
|
|
|
|
|
6.375%, 6/15/23 |
|
|
|
|
95 |
|
|
|
51 |
|
144A, 9.375%, 5/1/24(3) |
|
|
|
|
105 |
|
|
|
77 |
|
144A, 8.000%, 11/29/24(3) |
|
|
|
|
270 |
|
|
|
278 |
|
FTS International, Inc. 6.250%, 5/1/22 |
|
|
|
|
60 |
|
|
|
60 |
|
Gazprom OAO 144A 4.950%, 2/6/28(3)(6)(16) |
|
|
|
|
280 |
|
|
|
286 |
|
Geopark Ltd. 144A 6.500%, 9/21/24(3) |
|
|
|
|
380 |
|
|
|
382 |
|
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25 |
|
|
|
|
240 |
|
|
|
248 |
|
HollyFrontier Corp. 5.875%, 4/1/26(16) |
|
|
|
|
415 |
|
|
|
448 |
|
KazMunayGas National Co. JSC 144A 4.750%,
4/19/27(3) |
|
|
|
|
425 |
|
|
|
428 |
|
Kinder Morgan, Inc. 7.750%, 1/15/32(16) |
|
|
|
|
500 |
|
|
|
637 |
|
Lukoil International Finance BV 144A 4.563%,
4/24/23(3) |
|
|
|
|
625 |
|
|
|
639 |
|
MPLX LP 4.000%, 3/15/28 |
|
|
|
|
156 |
|
|
|
153 |
|
Nabors Industries, Inc. 5.500%, 1/15/23 |
|
|
|
|
280 |
|
|
|
278 |
|
NuStar Logistics LP 5.625%, 4/28/27 |
|
|
|
|
390 |
|
|
|
386 |
|
Oasis Petroleum, Inc. 6.875%, 1/15/23 |
|
|
|
|
425 |
|
|
|
434 |
|
Odebrecht Offshore Drilling Finance Ltd. |
|
|
|
|
|
144A, 6.720%, 12/1/22(3) |
|
|
|
|
57 |
|
|
|
54 |
|
PIK Interest Capitalization , 144A , 7.720%, 12/1/26(3)(13) |
|
|
|
|
160 |
|
|
|
53 |
|
See Notes to
Schedules of Investments
4
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Energy(continued) |
|
Odebrecht Oil & Gas Finance Ltd. 144A
0.000%(3)(8)(17) |
|
$ |
|
|
26 |
|
|
$ |
1 |
|
Parker Drilling Co. 7.500%, 8/1/20 |
|
|
|
|
520 |
|
|
|
480 |
|
Petrobras Global Finance BV |
|
|
|
|
|
|
|
|
|
|
144A, 5.299%, 1/27/25(3) |
|
|
|
|
225 |
|
|
|
221 |
|
7.375%, 1/17/27 |
|
|
|
|
860 |
|
|
|
931 |
|
144A, 5.999%, 1/27/28(3) |
|
|
|
|
192 |
|
|
|
189 |
|
Petroleos de Venezuela S.A. 144A 6.000%,
5/16/24(3)(7) |
|
|
|
|
665 |
|
|
|
168 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
4.875%, 1/24/22(16) |
|
|
|
|
330 |
|
|
|
339 |
|
144A, 6.500%, 3/13/27(3)(16) |
|
|
|
|
945 |
|
|
|
1,009 |
|
6.500%, 6/2/41(16) |
|
|
|
|
330 |
|
|
|
330 |
|
Range Resources Corp. 4.875%, 5/15/25 |
|
|
|
|
465 |
|
|
|
446 |
|
Rosneft Oil Co. 144A 4.199%, 3/6/22(3)(6) |
|
|
|
|
440 |
|
|
|
439 |
|
RSP Permian, Inc. 5.250%, 1/15/25 |
|
|
|
|
345 |
|
|
|
348 |
|
Sanchez Energy Corp. 144A 7.250%, 2/15/23(3) |
|
|
|
|
105 |
|
|
|
106 |
|
SESI LLC 144A 7.750%, 9/15/24(3) |
|
|
|
|
280 |
|
|
|
291 |
|
Seven Generations Energy Ltd. 144A 5.375%,
9/30/25(3) |
|
|
|
|
385 |
|
|
|
376 |
|
SM Energy Co. 5.625%, 6/1/25 |
|
|
|
|
150 |
|
|
|
143 |
|
Southern Gas Corridor CJSC 144A 6.875%,
3/24/26(3) |
|
|
|
|
500 |
|
|
|
554 |
|
SRC Energy, Inc. 144A 6.250%, 12/1/25(3) |
|
|
|
|
215 |
|
|
|
217 |
|
State Oil Co. of The Azerbaijan Republic 6.950%, 3/18/30 |
|
|
|
|
345 |
|
|
|
380 |
|
Sunoco LP |
|
|
|
|
|
|
|
|
|
|
144A, 5.500%, 2/15/26(3) |
|
|
|
|
105 |
|
|
|
105 |
|
144A, 5.875%, 3/15/28(3) |
|
|
|
|
90 |
|
|
|
90 |
|
Transocean, Inc. |
|
|
|
|
|
|
|
|
|
|
144A, 9.000%, 7/15/23(3) |
|
|
|
|
195 |
|
|
|
210 |
|
6.800%, 3/15/38 |
|
|
|
|
145 |
|
|
|
117 |
|
Ultra Resources, Inc. |
|
|
|
|
|
|
|
|
|
|
144A, 6.875%, 4/15/22(3) |
|
|
|
|
17 |
|
|
|
15 |
|
144A, 7.125%, 4/15/25(3) |
|
|
|
|
85 |
|
|
|
76 |
|
Vine Oil & Gas LP 144A 8.750%,
4/15/23(3) |
|
|
|
|
310 |
|
|
|
299 |
|
Weatherford International Ltd. 9.875%, 2/15/24 |
|
|
|
|
140 |
|
|
|
139 |
|
YPF S.A. |
|
|
|
|
|
|
|
|
|
|
144A, 8.500%, 3/23/21(3) |
|
|
|
|
238 |
|
|
|
261 |
|
144A, 8.750%, 4/4/24(3) |
|
|
|
|
75 |
|
|
|
84 |
|
144A, 6.950%, 7/21/27(3) |
|
|
|
|
385 |
|
|
|
388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Financials5.5% |
|
|
|
|
|
|
|
|
|
|
Acrisure LLC 144A 7.000%, 11/15/25(3) |
|
$ |
|
|
440 |
|
|
$ |
430 |
|
AerCap Ireland Capital DAC 3.650%, 7/21/27 |
|
|
|
|
380 |
|
|
|
357 |
|
Allstate Corp. (The) 5.750%, 8/15/53(5)(16) |
|
|
|
|
394 |
|
|
|
421 |
|
Ares Capital Corp. |
|
|
|
|
|
|
|
|
|
|
3.625%, 1/19/22 |
|
|
|
|
155 |
|
|
|
153 |
|
3.500%, 2/10/23 |
|
|
|
|
155 |
|
|
|
150 |
|
Athene Holding Ltd. 4.125%, 1/12/28(16) |
|
|
|
|
375 |
|
|
|
361 |
|
Australia & New Zealand Banking Group Ltd. |
|
|
|
|
|
|
|
|
|
|
144A 4.400%, 5/19/26(3) |
|
|
|
|
400 |
|
|
|
403 |
|
Aviation Capital Group LLC 144A 3.500%,
11/1/27(3) |
|
|
|
|
305 |
|
|
|
288 |
|
Banco Bilbao Vizcaya Argentaria Bancomer S.A. |
|
|
|
|
|
|
|
|
|
|
144A, 6.500%, 3/10/21(3)(16) |
|
|
|
|
350 |
|
|
|
373 |
|
144A, 5.125%, 1/18/33(3) |
|
|
|
|
360 |
|
|
|
350 |
|
Banco de Bogota S.A. 144A 6.250%,
5/12/26(3)(16) |
|
|
|
|
505 |
|
|
|
536 |
|
Banco de Credito del Peru 144A 6.125%,
4/24/27(3) |
|
|
|
|
280 |
|
|
|
299 |
|
Bancolombia S.A. 5.125%, 9/11/22 |
|
|
|
|
360 |
|
|
|
374 |
|
Bank of Montreal 3.803%, 12/15/32 |
|
|
|
|
80 |
|
|
|
76 |
|
Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20 |
|
|
|
|
100,000 |
CLP |
|
|
174 |
|
Brighthouse Financial, Inc. 144A 3.700%,
6/22/27(3)(16) |
|
|
|
|
425 |
|
|
|
397 |
|
Capital One Financial Corp. 3.750%, 7/28/26(16) |
|
|
|
|
460 |
|
|
|
439 |
|
Compass Bank 3.875%, 4/10/25(16) |
|
|
|
|
425 |
|
|
|
415 |
|
Drawbridge Special Opportunities Fund LP 144A 5.000%,
8/1/21(3)(16) |
|
|
|
|
350 |
|
|
|
357 |
|
FS Investment Corp. 4.750%, 5/15/22(16) |
|
|
|
|
310 |
|
|
|
313 |
|
GrupoSura Finance S.A. 144A 5.500%,
4/29/26(3)(16) |
|
|
|
|
475 |
|
|
|
506 |
|
Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) |
|
|
|
|
330 |
|
|
|
337 |
|
Huntington Bancshares, Inc. 5.700%, 12/29/49 |
|
|
|
|
385 |
|
|
|
388 |
|
ICAHN Enterprises LP 6.375%, 12/15/25 |
|
|
|
|
455 |
|
|
|
457 |
|
Jefferies Group LLC 4.850%, 1/15/27 |
|
|
|
|
50 |
|
|
|
52 |
|
Kazakhstan Temir Zholy Finance BV 144A 6.950%,
7/10/42(3)(16) |
|
|
|
|
335 |
|
|
|
378 |
|
Kazakhstan Temir Zholy National Co. JSC 144A 4.850%,
11/17/27(3)(16) |
|
|
|
|
870 |
|
|
|
869 |
|
Leucadia National Corp. 5.500%, 10/18/23 |
|
|
|
|
220 |
|
|
|
231 |
|
Lincoln National Corp. , (3 month LIBOR + 2.040%) 3.785%,
4/20/67(2)(5)(16) |
|
|
|
|
130 |
|
|
|
123 |
|
Navient Corp. 6.750%, 6/25/25 |
|
|
|
|
245 |
|
|
|
252 |
|
See Notes to
Schedules of Investments
5
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
VALUE |
|
Financials(continued) |
|
OM Asset Management plc 4.800%, 7/27/26(16) |
|
$ |
|
|
315 |
|
|
$ |
317 |
|
Prudential Financial, Inc. 5.875%, 9/15/42(16) |
|
|
|
|
275 |
|
|
|
295 |
|
Santander Holdings USA, Inc. 144A 4.400%,
7/13/27(3) |
|
|
|
|
375 |
|
|
|
375 |
|
Synchrony Financial 3.950%, 12/1/27 |
|
|
|
|
335 |
|
|
|
322 |
|
TC Ziraat Bankasi AS 144A 5.125%, 5/3/22(3) |
|
|
|
|
250 |
|
|
|
248 |
|
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(3) |
|
|
|
|
160 |
|
|
|
157 |
|
Turkiye Vakiflar Bankasi TAO 144A 5.625%,
5/30/22(3) |
|
|
|
|
305 |
|
|
|
302 |
|
Voya Financial, Inc. 5.650%, 5/15/53(16) |
|
|
|
|
335 |
|
|
|
345 |
|
Wells Fargo & Co. Series S 5.900%,
8/15/27(16) |
|
|
|
|
900 |
|
|
|
939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care1.7% |
|
Anthem, Inc. 3.650%, 12/1/27 |
|
|
|
|
99 |
|
|
|
96 |
|
Avantor, Inc. 144A 6.000%, 10/1/24(3) |
|
|
|
|
175 |
|
|
|
175 |
|
Community Health Systems, Inc. 6.250%, 3/31/23 |
|
|
|
|
75 |
|
|
|
68 |
|
Concordia International Corp. 144A 9.000%,
4/1/22(3) |
|
|
|
|
120 |
|
|
|
110 |
|
DJO Finco, Inc. 144A 8.125%, 6/15/21(3) |
|
|
|
|
155 |
|
|
|
150 |
|
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22(3)(13) |
|
|
|
|
195 |
|
|
|
195 |
|
Endo Dac 144A 6.000%, 7/15/23(3)(16) |
|
|
|
|
520 |
|
|
|
390 |
|
Envision Healthcare Corp. 144A 6.250%,
12/1/24(3) |
|
|
|
|
105 |
|
|
|
111 |
|
HCA, Inc. 5.375%, 2/1/25 |
|
|
|
|
210 |
|
|
|
213 |
|
MPH Acquisition Holdings LLC 144A 7.125%,
6/1/24(3) |
|
|
|
|
345 |
|
|
|
363 |
|
Ortho-Clinical Diagnostics, Inc. 144A 6.625%,
5/15/22(3) |
|
|
|
|
170 |
|
|
|
169 |
|
Polaris Intermediate Corp. PIK Interest Capitalization, 144A 8.500%, 12/1/22(3)(13) |
|
|
|
|
30 |
|
|
|
31 |
|
Surgery Center Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
144A, 8.875%, 4/15/21(3) |
|
|
|
|
280 |
|
|
|
291 |
|
144A, 6.750%, 7/1/25(3) |
|
|
|
|
55 |
|
|
|
52 |
|
Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
|
8.125%, 4/1/22 |
|
|
|
|
110 |
|
|
|
116 |
|
144A, 5.125%, 5/1/25(3) |
|
|
|
|
165 |
|
|
|
160 |
|
144A, 7.000%, 8/1/25(3) |
|
|
|
|
235 |
|
|
|
234 |
|
Teva Pharmaceutical Finance III BV 3.150%, 10/1/26 |
|
|
|
|
230 |
|
|
|
188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Health
Care(continued) |
|
Valeant Pharmaceuticals International, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
144A, 7.500%, 7/15/21(3) |
|
$ |
|
|
|
|
70 |
|
|
$ |
70 |
|
144A, 5.625%, 12/1/21(3) |
|
|
|
|
|
|
65 |
|
|
|
62 |
|
144A, 6.500%, 3/15/22(3) |
|
|
|
|
|
|
30 |
|
|
|
31 |
|
144A, 5.875%, 5/15/23(3) |
|
|
|
|
|
|
385 |
|
|
|
342 |
|
144A, 7.000%, 3/15/24(3) |
|
|
|
|
|
|
25 |
|
|
|
26 |
|
144A, 5.500%, 11/1/25(3) |
|
|
|
|
|
|
150 |
|
|
|
148 |
|
144A, 9.000%, 12/15/25(3) |
|
|
|
|
|
|
55 |
|
|
|
55 |
|
West Street Merger Sub, Inc. 144A 6.375%,
9/1/25(3) |
|
|
|
|
|
|
225 |
|
|
|
224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials1.8% |
|
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) |
|
|
|
|
|
|
390 |
|
|
|
376 |
|
Bombardier, Inc. 144A 6.125%, 1/15/23(3) |
|
|
|
|
|
|
415 |
|
|
|
416 |
|
British Airways Pass-Through-Trust 2013-1, B 144A 5.625%, 6/20/20(3)(16) |
|
|
|
|
|
|
34 |
|
|
|
35 |
|
CNH Industrial N.V. 4.500%, 8/15/23 |
|
|
|
|
|
|
318 |
|
|
|
324 |
|
DP World Ltd. 144A 6.850%, 7/2/37(3)(16) |
|
|
|
|
|
|
310 |
|
|
|
379 |
|
Embraer Netherlands Finance BV 5.400%, 2/1/27 |
|
|
|
|
|
|
120 |
|
|
|
127 |
|
JSL Europe S.A. 144A 7.750%, 7/26/24(3) |
|
|
|
|
|
|
375 |
|
|
|
384 |
|
Latam Finance Ltd. 144A 6.875%, 4/11/24(3) |
|
|
|
|
|
|
370 |
|
|
|
389 |
|
Masco Corp. 5.950%, 3/15/22 |
|
|
|
|
|
|
228 |
|
|
|
249 |
|
Navistar International Corp. 144A 6.625%,
11/1/25(3) |
|
|
|
|
|
|
380 |
|
|
|
391 |
|
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22(3) |
|
|
|
|
|
|
30 |
|
|
|
33 |
|
Pitney Bowes, Inc. 4.125%, 5/15/22(16) |
|
|
|
|
|
|
433 |
|
|
|
407 |
|
Standard Industries, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
144A, 5.500%, 2/15/23(3) |
|
|
|
|
|
|
160 |
|
|
|
164 |
|
144A, 6.000%, 10/15/25(3)(16) |
|
|
|
|
|
|
310 |
|
|
|
327 |
|
TransDigm, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
6.500%, 7/15/24 |
|
|
|
|
|
|
245 |
|
|
|
253 |
|
6.500%, 5/15/25 |
|
|
|
|
|
|
155 |
|
|
|
159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology1.4% |
|
Blackboard, Inc. 144A 9.750%, 10/15/21(3) |
|
|
|
|
|
|
114 |
|
|
|
103 |
|
Broadcom Corp. 3.125%, 1/15/25 |
|
|
|
|
|
|
405 |
|
|
|
381 |
|
Citrix Systems, Inc. 4.500%, 12/1/27(16) |
|
|
|
|
|
|
365 |
|
|
|
362 |
|
Dell International LLC |
|
|
|
|
|
|
|
|
|
|
|
|
144A, 5.450%, 6/15/23(3) |
|
|
|
|
|
|
55 |
|
|
|
58 |
|
144A, 8.100%, 7/15/36(3) |
|
|
|
|
|
|
110 |
|
|
|
134 |
|
See Notes to
Schedules of Investments
6
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Information
Technology(continued) |
|
Everi Payments, Inc. 144A 7.500%, 12/15/25(3) |
|
$ |
|
|
|
|
100 |
|
|
$ |
102 |
|
Jabil, Inc. 3.950%, 1/12/28(16) |
|
|
|
|
|
|
375 |
|
|
|
360 |
|
Rackspace Hosting, Inc. 144A 8.625%,
11/15/24(3) |
|
|
|
|
|
|
140 |
|
|
|
146 |
|
Radiate Holdco LLC |
|
|
|
|
|
|
|
|
|
|
|
|
144A, 6.875%, 2/15/23(3) |
|
|
|
|
|
|
65 |
|
|
|
65 |
|
144A, 6.625%, 2/15/25(3) |
|
|
|
|
|
|
365 |
|
|
|
350 |
|
VeriSign, Inc. 4.750%, 7/15/27 |
|
|
|
|
|
|
330 |
|
|
|
322 |
|
ViaSat, Inc. 144A 5.625%, 9/15/25(3) |
|
|
|
|
|
|
380 |
|
|
|
371 |
|
VMware, Inc. 3.900%, 8/21/27 |
|
|
|
|
|
|
257 |
|
|
|
244 |
|
Western Digital Corp. 4.750%, 2/15/26 |
|
|
|
|
|
|
430 |
|
|
|
433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials3.0% |
|
AK Steel Corp. 7.500%, 7/15/23 |
|
|
|
|
|
|
60 |
|
|
|
64 |
|
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3)(16) |
|
|
|
|
|
|
400 |
|
|
|
416 |
|
Anglo American Capital plc 144A 4.000%,
9/11/27(3)(16) |
|
|
|
|
|
|
475 |
|
|
|
460 |
|
ARD Securities Finance S.a.r.l. PIK Interest Capitalization, 144A 8.750%, 1/31/23(3)(13) |
|
|
|
|
|
|
365 |
|
|
|
380 |
|
BHP Billiton Finance USA Ltd. 144A 6.750%,
10/19/75(3)(5)(16) |
|
|
|
|
|
|
400 |
|
|
|
454 |
|
BlueScope Steel Finance Ltd. 144A 6.500%,
5/15/21(3) |
|
|
|
|
|
|
390 |
|
|
|
405 |
|
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) |
|
|
|
|
|
|
315 |
|
|
|
313 |
|
Fibria Overseas Finance Ltd. 4.000%, 1/14/25 |
|
|
|
|
|
|
460 |
|
|
|
452 |
|
FMG Resources August 2006 Pty Ltd. 144A 9.750%,
3/1/22(3)(16) |
|
|
|
|
|
|
225 |
|
|
|
248 |
|
Hexion Inc. 6.625%, 4/15/20 |
|
|
|
|
|
|
200 |
|
|
|
186 |
|
INEOS Group Holdings S.A. 144A 5.625%,
8/1/24(3) |
|
|
|
|
|
|
500 |
|
|
|
508 |
|
James Hardie International Finance DAC 144A 5.000%,
1/15/28(3)(16) |
|
|
|
|
|
|
375 |
|
|
|
371 |
|
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) |
|
|
|
|
|
|
420 |
|
|
|
434 |
|
Mercer International, Inc. 144A 5.500%,
1/15/26(3) |
|
|
|
|
|
|
85 |
|
|
|
85 |
|
NOVA Chemicals Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
144A, 4.875%, 6/1/24(3)(16) |
|
|
|
|
|
|
150 |
|
|
|
148 |
|
144A, 5.000%, 5/1/25(3)(16) |
|
|
|
|
|
|
210 |
|
|
|
208 |
|
OCP SA 144A 5.625%, 4/25/24(3)(16) |
|
|
|
|
|
|
350 |
|
|
|
368 |
|
Platform Specialty Products Corp. 144A 5.875%,
12/1/25(3) |
|
|
|
|
|
|
365 |
|
|
|
363 |
|
PQ Corp. 144A 5.750%, 12/15/25(3) |
|
|
|
|
|
|
125 |
|
|
|
127 |
|
Rusal Capital DAC 144A 5.125%, 2/2/22(3) |
|
|
|
|
|
|
315 |
|
|
|
311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Materials(continued) |
|
Teck Resources Ltd. 144A 8.500%, 6/1/24(3) |
|
$ |
|
|
|
|
85 |
|
|
$ |
95 |
|
Vale Overseas Ltd. 5.875%, 6/10/21(16) |
|
|
|
|
|
|
350 |
|
|
|
374 |
|
Vedanta Resources plc 144A 6.125%, 8/9/24(3) |
|
|
|
|
|
|
315 |
|
|
|
317 |
|
Yamana Gold, Inc. 144A 4.625%, 12/15/27(3)(16) |
|
|
|
|
|
|
395 |
|
|
|
387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate1.1% |
|
EPR Properties |
|
|
|
|
|
|
|
|
|
|
|
|
4.750%, 12/15/26 |
|
|
|
|
|
|
175 |
|
|
|
175 |
|
4.500%, 6/1/27 |
|
|
|
|
|
|
200 |
|
|
|
197 |
|
ESH Hospitality, Inc. 144A 5.250%, 5/1/25(3) |
|
|
|
|
|
|
375 |
|
|
|
374 |
|
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 |
|
|
|
|
|
|
190 |
|
|
|
184 |
|
Hospitality Properties Trust |
|
|
|
|
|
|
|
|
|
|
|
|
4.950%, 2/15/27 |
|
|
|
|
|
|
80 |
|
|
|
82 |
|
4.375%, 2/15/30 |
|
|
|
|
|
|
215 |
|
|
|
208 |
|
LifeStorage LP 3.875%, 12/15/27 |
|
|
|
|
|
|
150 |
|
|
|
145 |
|
MPT Operating Partnership LP |
|
|
|
|
|
|
|
|
|
|
|
|
5.500%, 5/1/24 |
|
|
|
|
|
|
290 |
|
|
|
297 |
|
5.000%, 10/15/27 |
|
|
|
|
|
|
175 |
|
|
|
171 |
|
Physicians Realty LP 4.300%, 3/15/27 |
|
|
|
|
|
|
265 |
|
|
|
263 |
|
Select Income REIT 4.500%, 2/1/25(16) |
|
|
|
|
|
|
345 |
|
|
|
339 |
|
Uniti Group, Inc. 144A 7.125%, 12/15/24(3) |
|
|
|
|
|
|
325 |
|
|
|
291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services1.5% |
|
Altice Luxembourg S.A. 144A 7.625%, 2/15/25(3) |
|
|
|
|
|
|
200 |
|
|
|
176 |
|
America Movil SAB de C.V. Series 12 6.450%, 12/5/22 |
|
|
|
|
|
|
2,000 |
MXN |
|
|
98 |
|
AT&T, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
5.250%, 3/1/37 |
|
|
|
|
|
|
50 |
|
|
|
52 |
|
4.800%, 6/15/44(16) |
|
|
|
|
|
|
185 |
|
|
|
177 |
|
Axtel SAB de C.V. 144A 6.375%, 11/14/24(3) |
|
|
|
|
|
|
380 |
|
|
|
387 |
|
CenturyLink, Inc. Series Y 7.500%, 4/1/24 |
|
|
|
|
|
|
190 |
|
|
|
191 |
|
Digicel Group Ltd. 144A 8.250%, 9/30/20(3) |
|
|
|
|
|
|
500 |
|
|
|
468 |
|
Frontier Communications Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
6.250%, 9/15/21 |
|
|
|
|
|
|
230 |
|
|
|
197 |
|
10.500%, 9/15/22 |
|
|
|
|
|
|
370 |
|
|
|
315 |
|
GTH Finance BV 144A 7.250%, 4/26/23(3) |
|
|
|
|
|
|
425 |
|
|
|
465 |
|
Level 3 Financing, Inc. 5.375%, 1/15/24 |
|
|
|
|
|
|
370 |
|
|
|
368 |
|
Qwest Corp. 7.250%, 9/15/25 |
|
|
|
|
|
|
70 |
|
|
|
75 |
|
Sprint Corp. 7.625%, 3/1/26 |
|
|
|
|
|
|
120 |
|
|
|
119 |
|
See Notes to
Schedules of Investments
7
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Telecommunication
Services(continued) |
|
Telenet Finance Luxembourg Notes S.a.r.l. 144A 5.500%,
3/1/28(3) |
|
$ |
|
|
|
|
400 |
|
|
$ |
385 |
|
West Corp. 144A 8.500%, 10/15/25(3) |
|
|
|
|
|
|
130 |
|
|
|
126 |
|
Windstream Services LLC 144A 8.625%,
10/31/25(3) |
|
|
|
|
|
|
200 |
|
|
|
187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities0.5% |
|
AmeriGas Partners LP 5.500%, 5/20/25 |
|
|
|
|
|
|
185 |
|
|
|
183 |
|
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) |
|
|
|
|
|
|
200 |
|
|
|
210 |
|
Ferrellgas Partners LP |
|
|
|
|
|
|
|
|
|
|
|
|
8.625%, 6/15/20 |
|
|
|
|
|
|
50 |
|
|
|
46 |
|
6.750%, 6/15/23 |
|
|
|
|
|
|
365 |
|
|
|
332 |
|
TerraForm Power Operating LLC 144A
5.000%, 1/31/28(3) |
|
|
|
|
|
|
320 |
|
|
|
310 |
|
Vistra Operations Company LLC 144A
0.000%, 10/1/20(3)(7)(11)(8) |
|
|
|
|
|
|
125 |
|
|
|
(10) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,081 |
|
|
|
TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $69,620) |
|
|
|
68,669 |
|
|
|
|
|
|
LOAN AGREEMENTS(2)5.2% |
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary1.0% |
|
|
|
|
|
Advantage Sales & Marketing, Inc. |
|
|
|
|
|
Tranche B-2, First Lien, (3 month LIBOR + 3.250%) 5.022%, 7/23/21 |
|
|
|
|
|
|
194 |
|
|
|
191 |
|
Second Lien, (3 month LIBOR + 6.500%) 8.267%, 7/25/22 |
|
|
|
|
|
|
227 |
|
|
|
219 |
|
Affinity Gaming LLC , (3 month LIBOR + 3.500%) 5.193%, 7/1/23 |
|
|
|
|
|
|
296 |
|
|
|
297 |
|
Crown Finance US, Inc. , (3 month LIBOR + 2.500%) 0.000%, 2/7/25(12) |
|
|
|
|
|
|
210 |
|
|
|
210 |
|
Gateway Casinos & Entertainment Ltd. Tranche B-1 , (3 month
LIBOR + 3.750%) 5.443%, 2/22/23 |
|
|
|
|
|
|
45 |
|
|
|
45 |
|
Global Appliance, Inc. Tranche B , (1 month LIBOR + 4.000%) 5.650%, 9/29/24 |
|
|
|
|
|
|
264 |
|
|
|
267 |
|
Hoya Midco LLC First Lien , (1 month LIBOR + 4.000%) 5.648%, 6/30/24 |
|
|
|
|
|
|
50 |
|
|
|
50 |
|
Laureate Education, Inc. 2024 , (1 month LIBOR + 3.500%) 5.148%, 4/26/24 |
|
|
|
|
|
|
200 |
|
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Consumer
Discretionary(continued) |
|
Neiman Marcus Group Ltd. , (1 month LIBOR + 3.250%) 4.830%, 10/25/20 |
|
$ |
|
|
|
|
274 |
|
|
$ |
232 |
|
Playa Resorts Holding B.V. , (3 month LIBOR + 3.250%) 4.945%, 4/29/24 |
|
|
|
|
|
|
254 |
|
|
|
256 |
|
Scientific Games International, Inc. Tranche B-5 , (3 month LIBOR +
2.750%) 4.449%, 8/14/24 |
|
|
|
|
|
|
10 |
|
|
|
10 |
|
Seminole Tribe of Florida Tranche B , (1 month LIBOR + 2.000%) 3.648%, 7/8/24 |
|
|
|
|
|
|
229 |
|
|
|
230 |
|
U.S. Farathane LLC Tranche B-4 , (3 month LIBOR + 3.500%) 5.193%,
12/23/21 |
|
|
|
|
|
|
100 |
|
|
|
101 |
|
UFC Holdings LLC First Lien , (1 month LIBOR + 3.250%) 4.900%, 8/18/23 |
|
|
|
|
|
|
182 |
|
|
|
183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples0.5% |
|
Albertsons LLC 2017-1, Tranche
B-4 , (1 month LIBOR + 2.750%) 4.398%, 8/25/21 |
|
|
|
|
|
|
354 |
|
|
|
349 |
|
BJs Wholesale Club, Inc. Second Lien , (1 month LIBOR + 7.500%) 9.080%, 2/3/25 |
|
|
|
|
|
|
195 |
|
|
|
195 |
|
Chobani LLC First Lien , (1 month LIBOR + 3.500%) 5.148%, 10/10/23 |
|
|
|
|
|
|
173 |
|
|
|
174 |
|
Galleria Co. Tranche B , (1 month LIBOR + 3.000%) 4.625%, 9/29/23 |
|
|
|
|
|
|
49 |
|
|
|
49 |
|
JBS USA Lux S.A. , (3 month LIBOR + 2.500%) 4.100%, 10/30/22 |
|
|
|
|
|
|
69 |
|
|
|
69 |
|
Parfums Holdings Co., Inc. First Lien , (3 month LIBOR + 4.750%) 6.443%, 6/30/24 |
|
|
|
|
|
|
149 |
|
|
|
151 |
|
TKC Holdings, Inc. First Lien , (3 month LIBOR + 4.250%) 5.970%, 2/1/23 |
|
|
|
|
|
|
189 |
|
|
|
191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy0.4% |
|
California Resources Corp. , (1 month LIBOR + 10.375%) 11.971%, 12/31/21 |
|
|
|
|
|
|
95 |
|
|
|
107 |
|
Chesapeake Energy Corp. Tranche A , (3 month LIBOR + 7.500%) 9.444%, 8/23/21 |
|
|
|
|
|
|
29 |
|
|
|
31 |
|
Contura Energy, Inc. , (1 month LIBOR + 5.000%) 6.650%, 3/18/24 |
|
|
|
|
|
|
223 |
|
|
|
221 |
|
Medallion Midland Acquisition LLC , (1 month LIBOR + 3.250%) 4.898%, 10/30/24 |
|
|
|
|
|
|
205 |
|
|
|
206 |
|
Seadrill Operating LP , (3 month LIBOR + 3.000%) 4.693%, 2/21/21 |
|
|
|
|
|
|
131 |
|
|
|
113 |
|
See Notes to
Schedules of Investments
8
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Energy(continued) |
|
Traverse Midstream Partners LLC , (3 month LIBOR + 4.000%) 5.850%, 9/27/24 |
|
$ |
|
|
|
|
220 |
|
|
$ |
221 |
|
Ultra Resources, Inc. , (1 month LIBOR + 3.000%) 4.588%, 4/12/24 |
|
|
|
|
|
|
195 |
|
|
|
194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials0.3% |
|
Asurion LLC Tranche B-2, Second Lien , (1 month LIBOR +
6.000%) 7.648%, 8/4/25 |
|
|
|
356 |
|
|
|
365 |
|
Ditech Holding Corp. Tranche B , (1 month LIBOR + 6.000%) 7.648%, 6/30/22 |
|
|
|
|
|
|
340 |
|
|
|
335 |
|
Genworth Financial, Inc. , (3 month LIBOR + 4.500%) 0.000%, 2/28/23(12) |
|
|
|
|
|
|
20 |
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care0.3% |
|
21st Century Oncology, Inc. Tranche B , (3 month LIBOR + 6.125%) 7.855%, 1/16/23 |
|
|
|
|
|
|
32 |
|
|
|
31 |
|
Envision Healthcare Corp. , (1 month LIBOR + 3.000%) 4.650%, 12/1/23 |
|
|
|
|
|
|
42 |
|
|
|
43 |
|
HLF Financing S.a.r.l. Senior Lien , (1 month LIBOR + 5.500%) 7.148%, 2/15/23 |
|
|
|
|
|
|
90 |
|
|
|
90 |
|
MMM Holdings, Inc. , (3 month LIBOR + 8.750%) 10.324%, 6/30/19 |
|
|
|
|
|
|
32 |
|
|
|
31 |
|
MSO of Puerto Rico, Inc. , (3 month LIBOR + 8.750%) 10.324%, 6/30/19 |
|
|
|
|
|
|
23 |
|
|
|
22 |
|
NVA Holdings, Inc. Second Lien , (3 month LIBOR + 7.000%) 8.693%, 8/14/22 |
|
|
|
|
|
|
307 |
|
|
|
307 |
|
PharMerica Corp. Second Lien , (1 month LIBOR + 7.750%) 9.329%, 12/5/25 |
|
|
|
|
|
|
30 |
|
|
|
30 |
|
U.S. Renal Care, Inc. First Lien , (3 month LIBOR + 4.250%) 5.943%, 12/30/22 |
|
|
|
|
|
|
137 |
|
|
|
137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials0.9% |
|
84 Lumber Co. Tranche B-1 , (1 month LIBOR + 5.250%) 6.871%,
10/25/23 |
|
|
|
|
|
|
488 |
|
|
|
493 |
|
Accudyne Industries LLC , (1 month LIBOR + 3.250%) 4.898%, 8/18/24 |
|
|
|
|
|
|
55 |
|
|
|
55 |
|
AECOM Tranche B , (3 month LIBOR + 1.750%) 0.000%,
2/23/25(12) |
|
|
|
|
|
|
30 |
|
|
|
30 |
|
Navistar, Inc. Tranche B , (1 month LIBOR + 3.500%) 5.080%, 11/6/24 |
|
|
|
|
|
|
320 |
|
|
|
321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Industrials(continued) |
|
PAE Holding Corp. First Lien , (1 month LIBOR + 5.500%) 7.148%, 10/20/22 |
|
$ |
|
|
|
|
164 |
|
|
$ |
164 |
|
Pro Mach Group, Inc. Tranche B , (3 month LIBOR + 3.000%) 0.000%, 3/7/25(12) |
|
|
|
|
|
|
20 |
|
|
|
20 |
|
Red Ventures LLC First Lien , (1 month LIBOR + 4.000%) 5.648%, 11/8/24 |
|
|
|
|
|
|
309 |
|
|
|
311 |
|
Sedgwick Claims Management Services, Inc. Second Lien , (3 month LIBOR + 5.750%) 7.734%, 2/28/22 |
|
|
|
|
|
|
430 |
|
|
|
432 |
|
TransDigm, Inc. Tranche F , (3 month LIBOR + 2.750%) 4.421%, 6/9/23 |
|
|
|
|
|
|
382 |
|
|
|
384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology0.5% |
|
Applied Systems, Inc. Second Lien , (3 month LIBOR + 7.000%) 8.693%, 9/19/25 |
|
|
|
|
|
|
40 |
|
|
|
41 |
|
Blackboard, Inc. Tranche B-4, First Lien , (3 month LIBOR + 5.000%)
6.734%, 6/30/21 |
|
|
|
|
|
|
127 |
|
|
|
123 |
|
Everi Payments, Inc. Tranche B , (1 month LIBOR + 3.500%) 5.148%, 5/9/24 |
|
|
|
|
|
|
109 |
|
|
|
110 |
|
Intralinks, Inc. First Lien , (3 month LIBOR + 4.000%) 5.700%, 11/14/24 |
|
|
|
|
|
|
135 |
|
|
|
135 |
|
Kronos, Inc. Second Lien , (3 month LIBOR + 8.250%) 10.023%, 11/1/24 |
|
|
|
|
|
|
126 |
|
|
|
130 |
|
NAB Holding LLC 2018 , (3 month LIBOR + 3.000%) 4.694%, 7/1/24 |
|
|
|
|
|
|
124 |
|
|
|
125 |
|
Presidio Holdings, Inc. Tranche B , (3 month LIBOR + 2.750%) 4.430%, 2/2/24 |
|
|
|
|
|
|
267 |
|
|
|
268 |
|
SS&C Technologies Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
Tranche B-4, (3 month LIBOR + 2.500%) 0.000%, 2/28/25(12) |
|
|
|
|
|
|
69 |
|
|
|
69 |
|
Tranche B-3, (3 month LIBOR + 2.500%) 0.000%, 2/28/25(12) |
|
|
|
|
|
|
191 |
|
|
|
192 |
|
Veritas US, Inc. Tranche B , (3 month LIBOR + 4.500%) 6.193%, 1/27/23 |
|
|
|
|
|
|
151 |
|
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials0.6% |
|
Anchor Glass Container Corp. Second Lien , (1 month LIBOR + 7.750%) 9.331%, 12/7/24 |
|
|
|
|
|
|
129 |
|
|
|
130 |
|
CPG International LLC , (3 month LIBOR + 3.750%) 5.593%, 5/5/24 |
|
|
|
|
|
|
223 |
|
|
|
225 |
|
See Notes to
Schedules of Investments
9
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Materials(continued) |
|
CPI Acquisition, Inc. First Lien , (3 month LIBOR + 4.500%) 6.358%, 8/17/22 |
|
$ |
|
|
|
|
492 |
|
|
$ |
380 |
|
Graftech International Ltd. , (3 month LIBOR + 3.500%) 5.081%, 2/12/25 |
|
|
|
|
|
|
115 |
|
|
|
115 |
|
IPS Acquisition LLC First Lien , (1 month LIBOR + 3.250%) 4.898%, 11/7/24 |
|
|
|
|
|
|
35 |
|
|
|
35 |
|
KMG Chemicals, Inc. , (1 month LIBOR + 2.750%) 4.398%, 6/15/24 |
|
|
|
|
|
|
37 |
|
|
|
37 |
|
New Arclin U.S. Holding Corp. First Lien , (3 month LIBOR + 3.500%) 5.200%, 2/14/24 |
|
|
|
|
|
|
149 |
|
|
|
151 |
|
Omnova Solutions, Inc. Tranche B-2 , (1 month LIBOR + 4.250%) 5.898%,
8/25/23 |
|
|
|
|
|
|
338 |
|
|
|
340 |
|
PQ Corp. Tranche B-1 , (3 month LIBOR + 2.500%) 4.291%,
2/8/25 |
|
|
|
|
|
|
10 |
|
|
|
10 |
|
W. R. Grace & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
Tranche B-1, (3 month LIBOR + 1.750%) 0.000%, 2/23/25(12) |
|
|
|
|
|
|
13 |
|
|
|
13 |
|
Tranche B-2, (3 month LIBOR + 1.750%) 0.000%, 2/23/25(12) |
|
|
|
|
|
|
22 |
|
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate0.1% |
|
Capital Automotive LP Tranche B, Second Lien , (1 month LIBOR + 6.000%) 7.650%, 3/24/25 |
|
|
|
|
|
|
138 |
|
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
CenturyLink, Inc. Tranche B , (1 month LIBOR + 2.750%) 4.398%, 1/31/25 |
|
|
|
|
|
|
160 |
|
|
|
157 |
|
Securus Technologies Holdings, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
First Lien, (1 month LIBOR + 4.500%) 6.148%, 11/1/24 |
|
|
|
|
|
|
310 |
|
|
|
314 |
|
Second Lien, (1 month LIBOR + 8.250%) 9.898%, 11/1/25 |
|
|
|
|
|
|
175 |
|
|
|
177 |
|
West Corp. Tranche B , (1 month LIBOR + 4.000%) 5.648%, 10/10/24 |
|
|
|
|
|
|
96 |
|
|
|
97 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities0.3% |
|
APLP Holdings LP , (1 month LIBOR + 3.500%) 5.148%, 4/13/23 |
|
|
|
|
|
|
123 |
|
|
|
124 |
|
Energy Future Intermediate Holding Co., LLC , (weekly LIBOR + 3.000%) 4.473%, 6/30/18 |
|
|
|
|
|
|
160 |
|
|
|
160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAR VALUE |
|
|
VALUE |
|
Utilities(continued) |
|
Talen Energy Supply LLC , (1 month LIBOR + 4.000%) 5.648%, 4/15/24 |
|
$ |
|
|
|
|
178 |
|
|
$ |
179 |
|
Vistra Operations Co., LLC |
|
|
|
|
|
|
|
|
|
|
|
|
(1 month LIBOR + 2.500%) 4.148%, 8/4/23 |
|
|
|
|
|
|
185 |
|
|
|
186 |
|
Tranche C, (1 month LIBOR + 2.500%) 4.148%, 8/4/23 |
|
|
|
|
|
|
32 |
|
|
|
32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
681 |
|
|
|
TOTAL LOAN AGREEMENTS
(Identified Cost $12,741) |
|
|
|
|
|
|
|
|
|
|
12,752 |
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
PREFERRED STOCKS1.1% |
|
|
Financials0.8% |
|
JPMorgan Chase & Co. Series Z,
5.300%(16) |
|
|
|
|
|
|
415 |
(9) |
|
|
427 |
|
KeyCorp Series D, 5.000% |
|
|
|
|
|
|
95 |
(9) |
|
|
95 |
|
M&T Bank Corp. Series F, 5.125%(16) |
|
|
|
|
|
|
175 |
(9) |
|
|
178 |
|
PNC Financial Services Group, Inc. (The) Series R,
4.850%(16) |
|
|
|
|
|
|
305 |
(9) |
|
|
307 |
|
PNC Financial Services Group, Inc. (The) Series S,
5.000%(16) |
|
|
|
|
|
|
395 |
(9) |
|
|
401 |
|
Zions Bancorp 6.950% |
|
|
|
|
|
|
17,485 |
|
|
|
507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials0.3% |
|
General Electric Co. Series D, 5.000%(16) |
|
|
|
|
|
|
657 |
(9) |
|
|
650 |
|
|
|
TOTAL PREFERRED STOCKS
(Identified Cost $2,553) |
|
|
|
|
|
|
|
|
|
|
2,565 |
|
|
|
|
COMMON STOCKS85.6% |
|
|
Consumer Discretionary0.0% |
|
VICI Properties, Inc.(1) |
|
|
|
|
|
|
3,574 |
|
|
|
70 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy14.2% |
|
Antero Midstream GP LP |
|
|
|
|
|
|
121,320 |
|
|
|
2,244 |
|
Cheniere Energy, Inc.(1) |
|
|
|
|
|
|
60,365 |
|
|
|
3,170 |
|
Enbridge, Inc. |
|
|
|
|
|
|
124,289 |
|
|
|
3,955 |
|
Frontera Energy Corp.(1) |
|
|
|
|
|
|
837 |
|
|
|
28 |
|
Kinder Morgan, Inc. |
|
|
|
|
|
|
362,311 |
|
|
|
5,870 |
|
ONEOK, Inc. |
|
|
|
|
|
|
42,050 |
|
|
|
2,369 |
|
Pembina Pipeline Corp. |
|
|
|
|
|
|
101,320 |
|
|
|
3,258 |
|
Targa Resources Corp. |
|
|
|
|
|
|
45,340 |
|
|
|
2,025 |
|
See Notes to
Schedules of Investments
10
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
FEBRUARY 28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
VALUE |
|
Energy(continued) |
|
|
|
|
|
|
|
|
|
|
|
|
TransCanada Corp. |
|
|
|
|
|
|
162,758 |
|
|
$ |
7,034 |
|
Williams Cos., Inc. (The) |
|
|
|
|
|
|
182,219 |
|
|
|
5,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials0.1% |
|
CGG SA(1) |
|
|
|
|
|
|
58,409 |
|
|
|
102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials29.3% |
|
Abertis Infraestructuras SA |
|
|
|
|
|
|
259,245 |
|
|
|
6,186 |
|
Aena SME SA |
|
|
|
|
|
|
37,704 |
|
|
|
7,657 |
|
Atlantia SpA |
|
|
|
|
|
|
391,934 |
|
|
|
12,040 |
|
Auckland International Airport Ltd. |
|
|
|
|
|
|
466,851 |
|
|
|
2,167 |
|
Canadian National Railway Co. |
|
|
|
|
|
|
29,475 |
|
|
|
2,281 |
|
CSX Corp. |
|
|
|
|
|
|
41,295 |
|
|
|
2,218 |
|
East Japan Railway Co. |
|
|
|
|
|
|
30,575 |
|
|
|
2,868 |
|
Flughafen Zuerich AG Registered Shares |
|
|
|
|
|
|
18,254 |
|
|
|
4,334 |
|
Fraport AG Frankfurt Airport Services Worldwide |
|
|
|
|
|
|
32,365 |
|
|
|
3,303 |
|
Norfolk Southern Corp. |
|
|
|
|
|
|
31,905 |
|
|
|
4,437 |
|
Sydney Airport |
|
|
|
|
|
|
626,520 |
|
|
|
3,183 |
|
Transurban Group |
|
|
|
|
|
|
1,459,385 |
|
|
|
13,006 |
|
Union Pacific Corp. |
|
|
|
|
|
|
40,790 |
|
|
|
5,313 |
|
Vinci SA |
|
|
|
|
|
|
31,586 |
|
|
|
3,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate7.2% |
|
American Tower Corp. |
|
|
|
|
|
|
69,560 |
|
|
|
9,692 |
|
Crown Castle International Corp. |
|
|
|
|
|
|
73,220 |
|
|
|
8,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services1.6% |
|
Cellnex Telecom SA |
|
|
|
|
|
|
156,270 |
|
|
|
4,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities33.2% |
|
ALLETE, Inc. |
|
|
|
|
|
|
29,195 |
|
|
|
1,990 |
|
American Electric Power Co., Inc. |
|
|
|
|
|
|
88,985 |
|
|
|
5,836 |
|
American Water Works Co., Inc. |
|
|
|
|
|
|
45,370 |
|
|
|
3,600 |
|
Aqua America, Inc. |
|
|
|
|
|
|
65,040 |
|
|
|
2,224 |
|
Atmos Energy Corp. |
|
|
|
|
|
|
46,005 |
|
|
|
3,703 |
|
CMS Energy Corp. |
|
|
|
|
|
|
61,845 |
|
|
|
2,625 |
|
Dominion Energy, Inc. |
|
|
|
|
|
|
89,348 |
|
|
|
6,618 |
|
DTE Energy Co. |
|
|
|
|
|
|
44,750 |
|
|
|
4,510 |
|
Emera, Inc. |
|
|
|
|
|
|
68,455 |
|
|
|
2,209 |
|
Enel SpA |
|
|
|
|
|
|
353,200 |
|
|
|
2,050 |
|
Engie SA |
|
|
|
|
|
|
151,605 |
|
|
|
2,364 |
|
Fortis, Inc. |
|
|
|
|
|
|
105,420 |
|
|
|
3,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
VALUE |
|
Utilities(continued) |
|
Iberdrola SA |
|
|
|
|
|
|
323,763 |
|
|
$ |
2,383 |
|
NextEra Energy, Inc. |
|
|
|
|
|
|
74,930 |
|
|
|
11,401 |
|
NiSource, Inc. |
|
|
|
|
|
|
118,355 |
|
|
|
2,737 |
|
ONE Gas, Inc. |
|
|
|
|
|
|
24,820 |
|
|
|
1,578 |
|
Orsted A/S |
|
|
|
|
|
|
40,700 |
|
|
|
2,534 |
|
Public Service Enterprise Group, Inc. |
|
|
|
|
|
|
79,500 |
|
|
|
3,850 |
|
Sempra Energy |
|
|
|
|
|
|
63,350 |
|
|
|
6,904 |
|
Spire, Inc. |
|
|
|
|
|
|
27,140 |
|
|
|
1,840 |
|
Vectren Corp. |
|
|
|
|
|
|
41,390 |
|
|
|
2,494 |
|
Xcel Energy, Inc. |
|
|
|
|
|
|
109,455 |
|
|
|
4,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
81,632 |
|
|
|
TOTAL COMMON STOCKS
(Identified Cost $203,077) |
|
|
|
|
|
|
|
|
|
|
210,695 |
|
|
|
|
RIGHTS0.0% |
|
Vistra Energy Corp.(8) |
|
|
|
|
|
|
2,084 |
|
|
|
1 |
|
|
|
TOTAL RIGHTS
(Identified Cost $2) |
|
|
|
|
|
|
|
|
|
|
1 |
|
|
|
|
WARRANTS0.0% |
|
CGG SA(1) |
|
|
|
|
|
|
15 |
|
|
|
|
|
|
|
TOTAL WARRANTS
(Identified Cost $) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LONG TERM INVESTMENTS136.2%
(Identified Cost $329,533) |
|
|
|
335,298 |
(14) |
|
|
|
SHORT-TERM INVESTMENT1.6% |
|
|
Purchased Options0.2% |
|
|
(See open purchased options schedule) |
|
|
|
Total Purchased Options0.2%
(Premiums Paid $703) |
|
|
|
462 |
|
|
|
|
Money Market Mutual Fund1.4% |
|
Dreyfus Government Cash Management Fund - Institutional Shares
(seven-day effective yield 1.260%)(15) |
|
|
|
|
|
|
3,323,943 |
|
|
|
3,324 |
|
|
|
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $4,027) |
|
|
|
3,786 |
|
|
|
|
|
TOTAL INVESTMENTS BEFORE WRITTEN OPTIONS137.7%
(Identified Cost $333,560) |
|
|
|
339,084 |
(14) |
|
|
See Notes to
Schedules of Investments
11
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY
28, 2018
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
VALUE |
WRITTEN
OPTIONS0.4% |
|
|
(See open written options schedule) |
|
|
|
TOTAL WRITTEN OPTIONS(0.4)%
(Premiums Received $1,253) |
|
|
|
$ |
|
|
|
(969) |
|
|
|
|
|
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS137.3%
(Identified Cost $332,307) |
|
|
|
338,115 |
|
|
|
Other assets and liabilities, net(37.3)% |
|
|
|
(91,936) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS100.0% |
|
|
|
|
|
|
|
|
|
$ |
246,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviations: |
FNMA |
|
Federal National Mortgage Association (Fannie Mae) |
LIBOR |
|
London Interbank Offered Rate |
PIK |
|
Payment-in-Kind Security |
REIT |
|
Real Estate Investment Trust |
Footnote Legend:
(1) |
Non-income producing. |
(2) |
Variable rate security. Rate disclosed is as of February 28, 2018. For loan agreements, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference
rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by
the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28,
2018, these securities amounted to a value of $62,217 or 25.3% of net assets. |
(4) |
Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) |
Interest payments may be deferred. |
(6) |
This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the
borrower. |
(7) |
Security in default, no interest payments are being received during the bankruptcy proceedings. |
(8) |
The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located at the end of the Schedule of Investments.
|
(9) |
Value shown as par value. |
(10) |
Amount is less than $500. |
(11) |
Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of
Investments. |
(12) |
This loan will settle after February 28, 2018, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(13) |
100% of the income received was in cash. |
(14) |
All or a portion of the portfolio segregated as collateral for borrowings. |
(15) |
Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(16) |
All or a portion of the security is segregated as collateral for written options. |
(17) |
No contractual maturity date.
|
|
|
|
Foreign Currencies: |
BRL |
|
Brazilian Real |
CLP |
|
Chilean Peso |
COP |
|
Colombian Peso |
IDR |
|
Indonesian Rupiah |
MXN |
|
Mexican Peso |
RUB |
|
Russian Ruble |
ZAR |
|
South African Rand |
See Notes to Schedules of
Investments
12
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY
28, 2018
|
|
|
|
|
Country Weightings |
|
United States |
|
|
59% |
|
Canada |
|
|
8 |
|
Spain |
|
|
6 |
|
Australia |
|
|
5 |
|
Italy |
|
|
4 |
|
France |
|
|
2 |
|
Switzerland |
|
|
1 |
|
Other |
|
|
15 |
|
Total |
|
|
100% |
|
% of total investments net of written options as of February 28, 2018.
See Notes to
Schedules of Investments
13
VIRTUS TOTAL RETURN FUND INC.
SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY
28, 2018
($ reported in thousands)
Open Purchased Options contracts as of February 28, 2018, were
as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description of Options |
|
Number of Contracts |
|
|
Contract Notional
Amount |
|
|
Strike Price (1) |
|
|
Expiration Date |
|
|
Value |
|
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P 500® Index |
|
|
137 |
|
|
$ |
40,141 |
|
|
$ |
2,930 |
|
|
|
3/2/2018 |
|
|
$ |
1 |
|
S&P 500® Index |
|
|
368 |
|
|
|
108,192 |
|
|
|
2,940 |
|
|
|
3/5/2018 |
|
|
|
0 |
|
S&P 500® Index |
|
|
429 |
|
|
|
126,126 |
|
|
|
2,940 |
|
|
|
3/7/2018 |
|
|
|
6 |
|
S&P 500® Index |
|
|
136 |
|
|
|
39,440 |
|
|
|
2,900 |
|
|
|
3/9/2018 |
|
|
|
3 |
|
S&P 500® Index |
|
|
393 |
|
|
|
116,328 |
|
|
|
2,960 |
|
|
|
3/12/2018 |
|
|
|
(2) |
|
S&P 500® Index |
|
|
525 |
|
|
|
154,875 |
|
|
|
2,950 |
|
|
|
3/14/2018 |
|
|
|
15 |
|
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P 500® Index |
|
|
137 |
|
|
|
34,730 |
|
|
|
2,535 |
|
|
|
3/2/2018 |
|
|
|
5 |
|
S&P 500® Index |
|
|
368 |
|
|
|
91,632 |
|
|
|
2,490 |
|
|
|
3/5/2018 |
|
|
|
16 |
|
S&P 500® Index |
|
|
429 |
|
|
|
107,036 |
|
|
|
2,495 |
|
|
|
3/7/2018 |
|
|
|
42 |
|
S&P 500® Index |
|
|
136 |
|
|
|
34,272 |
|
|
|
2,520 |
|
|
|
3/9/2018 |
|
|
|
26 |
|
S&P 500® Index |
|
|
393 |
|
|
|
101,198 |
|
|
|
2,575 |
|
|
|
3/12/2018 |
|
|
|
149 |
|
S&P 500® Index |
|
|
525 |
|
|
|
132,825 |
|
|
|
2,530 |
|
|
|
3/14/2018 |
|
|
|
199 |
|
|
|
Total Purchased Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open Written Options contracts as of February 28, 2018, were
as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description of Options |
|
Number of
Contracts |
|
|
Contract
Notional
Amount |
|
|
Strike Price (1) |
|
|
Expiration Date |
|
|
Value |
|
Call Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P 500® Index |
|
|
137 |
|
|
$ |
39,456 |
|
|
$ |
2,880 |
|
|
|
3/2/2018 |
|
|
$ |
(1 |
) |
S&P 500® Index |
|
|
368 |
|
|
|
105,432 |
|
|
|
2,865 |
|
|
|
3/5/2018 |
|
|
|
(5 |
) |
S&P 500® Index |
|
|
429 |
|
|
|
122,694 |
|
|
|
2,860 |
|
|
|
3/7/2018 |
|
|
|
(13 |
) |
S&P 500® Index |
|
|
136 |
|
|
|
38,760 |
|
|
|
2,850 |
|
|
|
3/9/2018 |
|
|
|
(5 |
) |
S&P 500® Index |
|
|
393 |
|
|
|
113,577 |
|
|
|
2,890 |
|
|
|
3/12/2018 |
|
|
|
(12 |
) |
S&P 500® Index |
|
|
525 |
|
|
|
151,463 |
|
|
|
2,885 |
|
|
|
3/14/2018 |
|
|
|
(23 |
) |
Put Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S&P 500® Index |
|
|
137 |
|
|
|
35,415 |
|
|
|
2,585 |
|
|
|
3/2/2018 |
|
|
|
(6 |
) |
S&P 500® Index |
|
|
368 |
|
|
|
94,392 |
|
|
|
2,565 |
|
|
|
3/5/2018 |
|
|
|
(39 |
) |
S&P 500® Index |
|
|
429 |
|
|
|
110,468 |
|
|
|
2,575 |
|
|
|
3/7/2018 |
|
|
|
(97 |
) |
S&P 500® Index |
|
|
136 |
|
|
|
34,952 |
|
|
|
2,570 |
|
|
|
3/9/2018 |
|
|
|
(36 |
) |
S&P 500® Index |
|
|
393 |
|
|
|
103,949 |
|
|
|
2,645 |
|
|
|
3/12/2018 |
|
|
|
(287 |
) |
S&P 500® Index |
|
|
525 |
|
|
|
136,238 |
|
|
|
2,595 |
|
|
|
3/14/2018 |
|
|
|
(445 |
) |
|
|
Total Written Options |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(969 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Footnote Legend:
(1) Strike price not reported in thousands.
(2) Amount is less
than $500.
See Notes to
Schedules of Investments
14
The following table provides a summary of inputs used to value the Funds investments as of
February 28, 2018 (See Security Valuation Note 2A in the Notes to Financial Statements):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Value at
February 28, 2018 |
|
|
Level 1
Quoted Prices |
|
|
Level 2
Significant Observable Inputs |
|
|
Level 3
Significant Unobservable Inputs |
|
Debt Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
6,993 |
|
|
$ |
|
|
|
$ |
6,993 |
|
|
$ |
|
|
Corporate Bonds And Notes |
|
|
68,669 |
|
|
|
|
|
|
|
68,668 |
|
|
|
1 |
|
Foreign Government Securities |
|
|
16,619 |
|
|
|
|
|
|
|
16,619 |
|
|
|
|
|
Loan Agreements |
|
|
12,752 |
|
|
|
|
|
|
|
12,752 |
|
|
|
|
|
Mortgage-Backed Securities |
|
|
15,109 |
|
|
|
|
|
|
|
15,109 |
|
|
|
|
|
U.S. Government Securities |
|
|
1,895 |
|
|
|
|
|
|
|
1,895 |
|
|
|
|
|
Equity Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
210,695 |
|
|
|
139,413 |
|
|
|
71,282 |
|
|
|
|
|
Preferred Stocks |
|
|
2,565 |
|
|
|
507 |
|
|
|
2,058 |
|
|
|
|
|
Purchased Options |
|
|
462 |
|
|
|
403 |
|
|
|
59 |
|
|
|
|
|
Rights |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
1 |
|
Short-Term Investments |
|
|
3,324 |
|
|
|
3,324 |
|
|
|
|
|
|
|
|
|
Warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments before Written
Options |
|
$ |
339,084 |
|
|
$ |
143,647 |
|
|
$ |
195,435 |
|
|
$ |
2 |
|
Written Options |
|
$ |
(969) |
|
|
$ |
(933) |
|
|
|
$(36) |
|
|
$ |
|
|
Total Investments Net of Written
Options |
|
$ |
338,115 |
|
|
$ |
142,714 |
|
|
$ |
195,399 |
|
|
$ |
2 |
|
Securities held by the Fund with an end of period value of $47,938 were transferred from Level 1 to Level 2 based on our
valuation procedures for non-U.S. securities. There were no other transfers between Level 1, Level 2, or Level 3 related to securities held at February 28, 2018.
Some of the Funds investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such
valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is de minimis; therefore, the rollforward of Level 3 securities
and assumptions are not shown for the period ended February 28, 2018.
VIRTUS TOTAL RETURN FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY 28, 2018
NOTE 1 SIGNIFICANT ACCOUNTING POLICIES
The Fund is an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 applicable to
Investment Companies.
The significant accounting policies consistently followed by the Fund in the preparation of its financial statements are
summarized below and, for derivatives, included in Note 2 below. 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, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual
results could differ from those estimates and those differences could be significant.
A. SECURITY VALUATION
Security valuation procedures for the Fund, which include nightly price variance, as well as back-testing items such as
bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Directors of the Fund (the Board, or the Directors). All internally fair
valued securities are approved by a valuation committee appointed by the Board (the Valuation Committee). The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from
portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of any model inputs and any
changes to the model. Fair valuations are reviewed by the Board at least quarterly.
The Fund utilizes a fair value hierarchy which prioritizes the
inputs to valuation techniques used to measure fair value into three broad levels. The Funds policy is to recognize transfers between levels at the end of the reporting period.
|
|
|
Level 1 quoted prices in active markets for identical securities (security types generally include listed equities). |
|
|
|
Level 2 prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
|
|
|
Level 3 prices determined using significant unobservable inputs (including the Valuation Committees own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Funds major categories of assets and liabilities measured at fair value on a recurring
basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are
primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair
valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain
non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement
in the U.S. securities market or other
Other information regarding the
Fund is available in the Funds most recent Report to Shareholders
VIRTUS TOTAL RETURN FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY 28, 2018
regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund
calculates its net asset value (NAV) (at the close of regular trading on the New York Stock Exchange (NYSE), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets.
In such cases the Fund fair values non-U.S. securities
using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary
Receipts, financial futures, exchange-traded funds, and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable,
fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including
restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or
more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as
Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation, and are generally categorized as Level 2 in
the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2
in the hierarchy. Debt securities that are not widely traded or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are
observed from actively quoted markets and are categorized as Level 2 in the hierarchy.
Investments in
open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are
categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Funds net assets by each major security type is
disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
NOTE 2 DERIVATIVE FINANCIAL INSTRUMENTS
Disclosures
about derivative instruments and hedging activities are intended to enable investors to understand how and why the Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect the Funds results of operations
and financial position. Summarized below is a specific type of derivative instrument used by the Fund.
Other information regarding the
Fund is available in the Funds most recent Report to Shareholders
VIRTUS TOTAL RETURN FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY 28, 2018
Options contracts
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an
agreed-upon price. The Fund pursues an option income strategy whereby it purchases and sells out-of-the money puts and calls, creating an options spread designed to
generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. When the Fund purchases an option, it pays a premium and an
amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability.
The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written
options are noted in the Schedule of Investments. Purchased options are reported as an asset within Investment in securities at value, and written options are reported as a liability within Written options at value in the
Statement of Assets and Liabilities. Changes in value of the purchased option are included in Net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. Changes in value of written options are
included in Net change in unrealized appreciation (depreciation) on written options. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium
received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as
a realized gain or loss. Gain or loss on purchased options is included in Net realized gain (loss) on investments in the Statement of Operations. Gain or loss on written options is presented separately as Net realized gain (loss)
on written options in the Statement of Operations.
The risk in writing covered put options is that the Fund may incur a loss if the market
price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of
unanticipated movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the
option, be significantly different from the options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. The Fund pursues an option income
strategy whereby it purchases and sells out-of-the-money puts and calls, creating an options spread designed to generate a
consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives.
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it
receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option.
Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an
asset within Investment in securities at value in the Statement of Assets and Liabilities. Options written are reported as a liability within Written options outstanding at value. Changes in value of the purchased option is
included in Net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. Changes in value of written options is included in Net change in unrealized appreciation (depreciation) on written
options.
Other information regarding the
Fund is available in the Funds most recent Report to Shareholders
VIRTUS TOTAL RETURN FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY 28, 2018
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium
received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a
closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in Net realized gain (loss) on investments in the Statement of Operations. Gain or loss on written options is
presented separately as Net realized gain (loss) on written options in the Statement of Operations. The risk in writing covered call options is that the Fund gives up the opportunity for profit if the market price of the security
increases and the option is exercised.
The risk in writing covered put options is that the Fund may incur a loss if the market price of the
security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated
movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be
significantly different from the then-market value. However, the Fund may limit its risk of loss when writing an option by purchasing an option similar to the one that is sold, except for the fact it is further out of the money.
The Fund invested in derivative instruments during the fiscal period in the form of writing put/call options and buying put/call options on the S&P
500® Index. The primary risk associated with these derivative instruments is equity risk.
NOTE 3
ILLIQUID AND RESTRICTED SECURITIES
($ reported in thousands)
Investments
are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also
considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the
security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment.
Restricted securities are
illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the 1933 Act). Generally, 144A securities are excluded from this category, except where defined as illiquid.
The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.
The Fund held securities considered to be illiquid at February 28, 2018, with an aggregate value of $54 representing 0.0% of the Funds net assets.
At February 28, 2018, the Fund did not hold any securities that were both illiquid and restricted.
Other information regarding the
Fund is available in the Funds most recent Report to Shareholders
VIRTUS TOTAL RETURN FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
FEBRUARY 28, 2018
NOTE 4 REGULATORY MATTERS AND LITIGATION
From time to time, the Fund, the Funds Adviser and/or subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations
and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations
affecting their products and other activities. At this time, the Funds Adviser believes that the outcomes of such matters are not likely, either individually or in aggregate, to be material to these financial statements.
NOTE 5 SUBSEQUENT EVENTS
Management has evaluated the impact of all
subsequent events on the Fund through the date the Schedule of Investments was filed, and has determined that there are no subsequent events requiring recognition or disclosure in these Notes to Schedule of Investments.
Other information regarding the Fund is available in the Funds most recent
Report to Shareholders
Item 2. Controls and Procedures.
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(a) |
The registrants principal executive and principal financial officers, or persons performing similar
functions, have concluded that the registrants 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 the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b)
or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
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(b) |
There were no changes in the registrants 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 registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial
reporting. |
Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are 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.
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(Registrant)
Virtus Total Return Fund Inc.
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By (Signature and Title)* /s/ George R.
Aylward
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George R. Aylward, President
(principal executive officer) |
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Date 4/25/2018
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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.
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By (Signature and Title)* /s/ George R.
Aylward
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George R. Aylward, President
(principal executive officer) |
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Date 4/25/2018
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By (Signature and Title)* /s/ W. Patrick
Bradley
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W. Patrick Bradley, Executive Vice President, |
Chief Financial Officer, and Treasurer
(principal financial officer) |
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Date 4/25/2018
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* Print the name and title of each signing officer under his or her
signature.