Edgar Filing: Virtus Total Return Fund Inc.

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

One Financial Plaza

Hartford, CT 06103

(Name and address of agent for service)

Registrant’s telephone number, including area code: (866) 270-7788

Date of fiscal year end: November 30

Date of reporting period: February 28, 2019

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, 100 F Street, NE, Washington, DC 20549. 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, 2019

($ reported in thousands)


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—1.0%
U.S. Treasury Note
2.375%, 1/31/23	$	2,120		$	2,109
2.625%, 12/31/23		125			125
TOTAL U.S. GOVERNMENT SECURITIES
(Identified Cost $2,236)					2,234
FOREIGN GOVERNMENT SECURITIES—4.8%
Argentine Republic
Treasury Bill, 0.000%, 9/30/19		2,400	^ARS		76
Treasury Bill, 0.000%, 4/30/20		3,780	^ARS		112
Treasury Bill, 0.000%, 7/31/20		11,515	^ARS		297
6.875%, 4/22/21		200			190
6.875%, 1/26/27		355			294
Series NY,
8.280%, 12/31/33		325			278
Bolivarian Republic of Venezuela
8.250%, 10/13/24⁽⁶⁾		610			180
RegS, 7.650%, 4/21/25⁽⁴⁾⁽⁶⁾		830			241
9.375%, 1/13/34⁽⁶⁾		225			70
Dominican Republic 144A, 6.000%, 7/19/28⁽³⁾		455			471
Islamic Republic of Pakistan 144A, 6.875%, 12/5/27⁽³⁾		345			332
Kingdom of Jordan 144A, 5.750%, 1/31/27⁽³⁾		265			259
Kingdom of Morocco 144A, 5.500%, 12/11/42⁽³⁾		600			630
Kingdom of Saudi Arabia 144A, 4.375%, 4/16/29⁽³⁾		275			280
Provincia de Buenos Aires 144A, 7.875%, 6/15/27⁽³⁾		275			220
Republic of Colombia 4.375%, 3/21/23		1,632,000	^COP		504
Republic of Cote d’Ivoire 144A, 6.375%, 3/3/28⁽³⁾		315			308
Republic of Egypt
144A, 7.500%, 1/31/27⁽³⁾		200			207
144A, 7.600%, 3/1/29⁽³⁾		200			205


	PAR VALUE			VALUE

FOREIGN GOVERNMENT SECURITIES (continued)
Republic of Ghana 144A, 7.625%, 5/16/29⁽³⁾	$	200		$	194
Republic of Indonesia FR77 8.125%, 5/15/24		3,785,000	^IDR		276
Republic of Indonesia
144A, 4.350%, 1/8/27⁽³⁾		270			273
144A, 8.500%, 10/12/35⁽³⁾		495			690
Republic of Nigeria 144A, 7.875%, 2/16/32⁽³⁾		325			333
Republic of South Africa
Series 2023, 7.750%, 2/28/23		4,500	^ZAR		318
5.650%, 9/27/47		390			369
Republic of Turkey
4.875%, 10/9/26		300			271
6.000%, 3/25/27		1,035			990
Russian Federation
Series 6216 6.700%, 5/15/19		17,805	^RUB		270
Sultanate of Oman 144A, 5.375%, 3/8/27⁽³⁾		625			585
Ukraine
144A, 7.750%, 9/1/23⁽³⁾		195			187
144A, 7.750%, 9/1/26⁽³⁾		465			429
United Mexican States
4.500%, 4/22/29		230			231
United Mexican States
Series M, 6.500%, 6/9/22		5,044	^MXN		250
4.150%, 3/28/27		265			262
TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $12,073)					11,082

MORTGAGE-BACKED SECURITIES—7.6%

Agency—0.2%
Federal National Mortgage Association Pool #MA3088 4.000%, 8/1/47		464			474


Non-Agency—7.4%
Agate Bay Mortgage Trust 2016-3, A5 144A, 3.500%, 8/25/46⁽²⁾⁽³⁾		247			247

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES (continued)
Non-Agency (continued)
Ajax Mortgage Loan Trust 2018-C, A 144A, 4.360%, 9/25/65⁽²⁾⁽³⁾	$	377	$	380
American Homes 4 Rent Trust
2014-SFR2, C 144A, 4.705%, 10/17/36⁽³⁾		390		403
2015-SFR1, A 144A, 3.467%, 4/17/52⁽³⁾		167		167
2015-SFR2, C 144A, 4.691%, 10/17/52⁽³⁾		340		352
Angel Oak Mortgage Trust I LLC
2018-2, A1 144A, 3.674%, 7/27/48⁽²⁾⁽³⁾		109		109
2019-1, 1A 144A, 3.920%, 11/25/48⁽²⁾⁽³⁾		417		418
Arroyo Mortgage Trust 2019-1, A1 144A, 3.805%, 1/25/49⁽²⁾⁽³⁾		165		165
Aventura Mall Trust 2013-AVM, C 144A, 3.743%, 12/5/32⁽²⁾⁽³⁾		215		217
Banc of America Funding Trust
2004-D, 5A1, 4.505%, 1/25/35⁽²⁾		70		70
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		90		94
Bayview Opportunity Master Fund IVa Trust
2016-SPL1, B1 144A, 4.250%, 4/28/55⁽³⁾		400		408
2017-SPL5, B1 144A, 4.000%, 6/28/57⁽²⁾⁽³⁾		310		312
Caesars Palace Las Vegas Trust 2017-VICI, C 144A, 4.138%, 10/15/34⁽³⁾		245		249


	PAR VALUE		VALUE

Non-Agency (continued)
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A, 3.500%, 6/25/58⁽²⁾⁽³⁾	$	57	$	57
Colony Starwood Homes Trust 2016-2A, C 144A, (1 month LIBOR + 2.150%) 4.639%, 12/17/33⁽²⁾⁽³⁾		315		315
COLT Mortgage Loan Trust Funding LLC
2017-1, A3 144A, 3.074%, 5/27/47⁽²⁾⁽³⁾		32		31
2019-1, A1 144A, 3.705%, 3/25/49⁽²⁾⁽³⁾		109		109
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 4.422%, 1/25/34⁽²⁾		103		106
Deephaven Residential Mortgage Trust 2017-1A, A2 144A, 2.928%, 12/26/46⁽²⁾⁽³⁾		27		27
Ellington Financial Mortgage Trust 2018-1, A1FX 144A, 4.140%, 10/25/58⁽²⁾⁽³⁾		163		165
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A, 3.382%, 12/15/34⁽²⁾⁽³⁾		140		139
Galton Funding Mortgage Trust
2017-1, A21 144A, 3.500%, 7/25/56⁽²⁾⁽³⁾		163		163
2018-1, A23 144A, 3.500%, 11/25/57⁽²⁾⁽³⁾		204		201
2018-2, A41 144A, 4.500%, 10/25/58⁽²⁾⁽³⁾		155		158
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35⁽²⁾		32		32
Homeward Opportunities Fund I Trust 2018-1, A1 144A, 3.766%, 6/25/48⁽²⁾⁽³⁾		323		325

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES (continued)
Non-Agency (continued)
JPMorgan Chase (Bear Stearns) Alternate Loan Trust 2004-5, 3A1 4.482%, 6/25/34⁽²⁾	$	235	$	238
JPMorgan Chase Mortgage Trust
2014-5, B2 144A, 2.985%, 10/25/29⁽²⁾⁽³⁾		130		123
2016-1, M2 144A, 3.750%, 4/25/45⁽²⁾⁽³⁾		296		296
2016-2, M2 144A, 3.750%, 12/25/45⁽²⁾⁽³⁾		322		322
2017-3, 2A2 144A, 2.500%, 8/25/47⁽²⁾⁽³⁾		177		172
2017-4, A3 144A, 3.500%, 11/25/48⁽²⁾⁽³⁾		84		83
2018-8, A3 144A, 4.000%, 1/25/49⁽²⁾⁽³⁾		313		314
MASTR Alternative Loan Trust 2004-4, 6A1 5.500%, 4/25/34		52		54
Mill City Mortgage Loan Trust 2018-4, A1B 144A, 3.500%, 4/25/66⁽²⁾⁽³⁾		825		818
New Residential Mortgage Loan Trust
2018-4A, A1S 144A, (1 month LIBOR + 0.750%) 3.240%, 1/25/48⁽²⁾⁽³⁾		419		415
2014-1A, A 144A, 3.750%, 1/25/54⁽²⁾⁽³⁾		104		104
2016-3A, A1 144A, 3.750%, 9/25/56⁽²⁾⁽³⁾		146		146
2016-4A, B1A 144A, 4.500%, 11/25/56⁽²⁾⁽³⁾		586		607
2017-2A, A3 144A, 4.000%, 3/25/57⁽²⁾⁽³⁾		155		156
2018-1A, A1A 144A, 4.000%, 12/25/57⁽²⁾⁽³⁾		264		268
Oak Hill Advisors Residential Loan Trust 2017-NPL2, A1 144A, 3.000%, 7/25/57⁽³⁾		245		240


	PAR VALUE		VALUE

Non-Agency (continued)
OBX Trust
2018-EXP2, 1A1 144A, 4.000%, 11/25/48⁽²⁾⁽³⁾	$	278	$	279
2019-INV1, A3 144A, 4.500%, 11/25/48⁽²⁾⁽³⁾		218		221
One Market Plaza Trust 2017-1MKT, A 144A, 3.614%, 2/10/32⁽³⁾		355		361
Preston Ridge Partners Mortgage LLC 2019-1A, A1 144A, 4.500%, 1/25/24⁽²⁾⁽³⁾		448		450
Pretium Mortgage Credit Partners I LLC 2019-NPL1, A1 144A, 4.213%, 7/25/60⁽²⁾⁽³⁾		275		275
Progress Residential Trust
2017-SFR1, B 144A, 3.017%, 8/17/34⁽³⁾		150		147
2018-SFR2, B 144A, 3.841%, 8/17/35⁽³⁾		575		577
RCO Mortgage LLC 2017-1, A1 144A, 3.375%, 8/25/22⁽³⁾		205		205
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35		103		106
Residential Mortgage Loan Trust 2019-1, A1 144A, 3.936%, 10/25/58⁽²⁾⁽³⁾		135		135
Towd Point Mortgage Trust
2015-1, A2 144A, 3.250%, 10/25/53⁽²⁾⁽³⁾		220		219
2015-6, M1 144A, 3.750%, 4/25/55⁽²⁾⁽³⁾		300		299
2015-5, A2 144A, 3.500%, 5/25/55⁽²⁾⁽³⁾		160		159
2017-1, M1 144A, 3.750%, 10/25/56⁽²⁾⁽³⁾		185		181
2017-6, A2 144A, 3.000%, 10/25/57⁽²⁾⁽³⁾		150		140
2019-1, A1 144A, 3.750%, 3/25/58⁽²⁾⁽³⁾		163		163

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES (continued)
Non-Agency (continued)
2018-4, A1 144A, 3.000%, 6/25/58⁽²⁾⁽³⁾	$	333	$	324
2018-SJ1, A1 144A, 4.000%, 10/25/58⁽²⁾⁽³⁾		171		171
2015-2, 1M1 144A, 3.250%, 11/25/60⁽²⁾⁽³⁾		395		384
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		103
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A, 3.967%, 2/25/49⁽²⁾⁽³⁾		240		240
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A, 3.967%, 9/25/48⁽³⁾		158		157
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A, 4.336%, 1/25/49⁽²⁾⁽³⁾		218		219
Verus Securitization Trust
2018-2, A1 144A, 3.677%, 6/1/58⁽²⁾⁽³⁾		309		311
2019-1, A1 144A, 3.836%, 2/25/59⁽²⁾⁽³⁾		400		400
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50		185		185

				16,826
TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $17,365)				17,300
ASSET-BACKED SECURITIES—3.8%
Automobiles—2.0%
ACC Trust
2018-1, B 144A, 4.820%, 5/20/21⁽³⁾		255		256
2019-1, B 144A, 4.470%, 10/20/22⁽³⁾		280		280


	PAR VALUE		VALUE

Automobiles (continued)
American Credit Acceptance Receivables Trust 2018-4, C 144A, 3.970%, 1/13/25⁽³⁾	$	350	$	353
Capital Auto Receivables Asset Trust 2017-1, D 144A, 3.150%, 2/20/25⁽³⁾		380		376
CarNow Auto Receivables Trust 2016-1A, D 144A, 7.340%, 11/15/21⁽³⁾		175		177
Exeter Automobile Receivables Trust
2015-2A, C 144A, 3.900%, 3/15/21⁽³⁾		120		120
2016-3A, B 144A, 2.840%, 8/16/21⁽³⁾		353		353
2018-4A, D 144A, 4.350%, 9/16/24⁽³⁾		355		361
2019-1A, D 144A, 4.130%, 12/16/24⁽³⁾		330		335
Flagship Credit Auto Trust
2015-1, D 144A, 5.260%, 7/15/21⁽³⁾		415		420
2019-1, C 144A, 3.600%, 2/18/25⁽³⁾		220		220
GLS Auto Receivables Trust
2017-1A, B 144A, 2.980%, 12/15/21⁽³⁾		455		454
2017-1A, C 144A, 3.500%, 7/15/22⁽³⁾		455		454
Veros Automobile Receivables Trust 2018-1, B 144A, 4.050%, 2/15/24⁽³⁾		295		297

				4,456


Other—1.8%
Aqua Finance Trust 2017-A, A 144A, 3.720%, 11/15/35⁽³⁾		312		308
Arbys Funding LLC 2015-1A, A2 144A, 4.969%, 10/30/45⁽³⁾		372		379
Conn’s Receivables Funding LLC 2017-B, B 144A, 4.520%, 4/15/21⁽³⁾		245		246

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
ASSET-BACKED SECURITIES (continued)
Other (continued)
DB Master Finance LLC 2017-1A, A2I 144A, 3.629%, 11/20/47⁽³⁾	$	375	$	370
Drug Royalty III LP 1 2016-1A, A 144A, 3.979%, 4/15/27⁽³⁾		170		170
Genesis Sales Finance Master Trust 2019-AA, A 144A, 4.680%, 8/20/23⁽³⁾		165		166
HOA Funding LLC 2014-1A, A2 144A, 4.846%, 8/20/44⁽³⁾		410		405
Lendmark Funding Trust 2018-2A, A 144A, 4.230%, 4/20/27⁽³⁾		345		351
Oportun Funding VIII LLC 2018-A, A 144A, 3.610%, 3/8/24⁽³⁾		315		314
Prosper Marketplace Issuance Trust
2018-1A, A 144A, 3.110%, 6/17/24⁽³⁾		108		108
2018-2A, B 144A, 3.960%, 10/15/24⁽³⁾		295		295
Regional Management Issuance Trust 2018-2, A 144A, 4.560%, 1/18/28⁽³⁾		295		297
TGIF Funding LLC 2017-1A, A2 144A, 6.202%, 4/30/47⁽³⁾		338		326
Upstart Securitization Trust 2018-1, B 144A, 3.887%, 8/20/25⁽³⁾		260		260
VSE VOI Mortgage LLC 2016-A, A 144A, 2.540%, 7/20/33⁽³⁾		194		191

				4,186
TOTAL ASSET-BACKED SECURITIES
(Identified Cost $8,630)				8,642
CORPORATE BONDS AND NOTES—21.8%
Communication Services—2.3%
Altice Luxembourg S.A. 144A, 7.625%, 2/15/25⁽³⁾		200		177


	PAR VALUE			VALUE

Communication Services (continued)
America Movil SAB de C.V. 6.450%, 12/5/22	$	2,000	^MXN	$	94
AT&T, Inc.
(3 month LIBOR + 1.180%) 3.777%, 6/12/24⁽²⁾		255			252
4.250%, 3/1/27		335			336
Charter Communications Operating LLC
4.500%, 2/1/24		195			200
4.908%, 7/23/25		385			399
Cincinnati Bell, Inc. 144A, 7.000%, 7/15/24⁽³⁾		345			312
Clear Channel Worldwide Holdings, Inc.
Series B, 7.625%, 3/15/20		440			440
144A, 9.250%, 2/15/24⁽³⁾		225			236
Comcast Corp.
3.950%, 10/15/25		171			176
4.150%, 10/15/28		83			86
Consolidated Communications, Inc. 6.500%, 10/1/22		230			215
CSC Holdings LLC 144A, 7.500%, 4/1/28⁽³⁾		255			269
Digicel Group One Ltd. 144A, 8.250%, 12/30/22⁽³⁾		154			102
Digicel Group Two Ltd. 144A, 8.250%, 9/30/22⁽³⁾		146			61
Discovery Communications LLC 3.950%, 3/20/28		365			348
DISH DBS Corp.
5.875%, 7/15/22		90			86
7.750%, 7/1/26		190			164
Frontier Communications Corp.
8.500%, 4/15/20		115			108
7.625%, 4/15/24		170			96
144A, 8.500%, 4/1/26⁽³⁾		100			93
iHeartCommunications, Inc. 9.000%, 12/15/19⁽⁶⁾		115			80
Match Group, Inc. 144A, 5.625%, 2/15/29⁽³⁾		135			134

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Communication Services (continued)
McGraw-Hill Global Education Holdings LLC 144A, 7.875%, 5/15/24⁽³⁾	$	260	$	209
Meredith Corp. 144A, 6.875%, 2/1/26⁽³⁾		185		191
Sprint Spectrum Co. LLC 144A, 5.152%, 3/20/28⁽³⁾		385		388

				5,252

Consumer Discretionary—2.1%
Beazer Homes USA, Inc.
6.750%, 3/15/25		120		112
5.875%, 10/15/27		155		135
Boyd Gaming Corp. 6.000%, 8/15/26		75		77
Bunge Ltd. Finance Corp. 4.350%, 3/15/24		325		322
Caesars Resort Collection LLC 144A, 5.250%, 10/15/25⁽³⁾		175		166
Dollar Tree, Inc. 4.000%, 5/15/25		185		182
Downstream Development Authority of The Quapaw Tribe of Oklahoma 144A, 10.500%, 2/15/23⁽³⁾		110		112
Eldorado Resorts, Inc. 144A, 6.000%, 9/15/26⁽³⁾		95		97
Frontdoor, Inc. 144A, 6.750%, 8/15/26⁽³⁾		225		229
Gateway Casinos & Entertainment Ltd. 144A, 8.250%, 3/1/24⁽³⁾		265		276
GLP Capital LP 5.250%, 6/1/25		225		233
Hilton Domestic Operating Co., Inc. 144A, 5.125%, 5/1/26⁽³⁾		275		276
Lear Corp. 3.800%, 9/15/27		400		372
M/I Homes, Inc. 5.625%, 8/1/25		255		239
MGM Growth Properties Operating Partnership LP 144A, 5.750%, 2/1/27⁽³⁾		165		169


	PAR VALUE		VALUE

Consumer Discretionary (continued)
Neiman Marcus Group Ltd. 144A, 8.000%, 10/15/21⁽³⁾	$	270	$	140
Scientific Games International, Inc. 6.625%, 5/15/21		320		324
Tenneco, Inc. 5.000%, 7/15/26		195		167
Viking Cruises Ltd. 144A, 5.875%, 9/15/27⁽³⁾		315		304
Vista Outdoor, Inc. 5.875%, 10/1/23		315		296
Weekley Homes LLC 6.625%, 8/15/25		325		306
William Lyon Homes, Inc. 6.000%, 9/1/23		345		321

				4,855


Consumer Staples—0.8%
Albertsons’s Cos., LLC 5.750%, 3/15/25		85		81
Altria Group, Inc.
4.400%, 2/14/26		55		56
4.800%, 2/14/29		420		419
Anheuser-Busch Inbev Worldwide, Inc. 4.750%, 1/23/29		78		81
Bacardi Ltd. 144A, 4.700%, 5/15/28⁽³⁾		310		301
CVS Health Corp. 4.300%, 3/25/28		290		290
Kronos Acquisition Holdings, Inc. 144A, 9.000%, 8/15/23⁽³⁾		285		244
Sigma Finance Netherlands BV 144A, 4.875%, 3/27/28⁽³⁾		295		292

				1,764


Energy—3.2%
Blue Racer Midstream LLC 144A, 6.625%, 7/15/26⁽³⁾		335		342
Callon Petroleum Co. 6.125%, 10/1/24		278		280
Cheniere Energy Partners LP 144A, 5.625%, 10/1/26⁽³⁾		160		163

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Energy (continued)
Citgo Holding, Inc. 144A, 10.750%, 2/15/20⁽³⁾	$	235	$	241
Denbury Resources, Inc.
144A, 9.250%, 3/31/22⁽³⁾		119		119
144A, 7.500%, 2/15/24⁽³⁾		125		111
Encana Corp. 8.125%, 9/15/30⁽¹⁴⁾		220		270
EP Energy LLC
6.375%, 6/15/23		95		30
144A, 9.375%, 5/1/24⁽³⁾		105		49
144A, 8.000%, 11/29/24⁽³⁾		170		120
Geopark Ltd. 144A, 6.500%, 9/21/24⁽³⁾		380		370
HollyFrontier Corp. 5.875%, 4/1/26⁽¹⁴⁾		415		438
KazMunayGas National Co. JSC 144A, 4.750%, 4/19/27⁽³⁾		425		429
Kinder Morgan, Inc. 7.750%, 1/15/32		500		627
Lukoil International Finance BV 144A, 4.563%, 4/24/23⁽³⁾		225		226
MPLX LP 4.000%, 3/15/28		156		151
Nabors Industries, Inc. 5.500%, 1/15/23		240		225
Odebrecht Offshore Drilling Finance Ltd. PIK 144A, 7.720%, 12/1/26^(3)(11)		171		44
Odebrecht Oil & Gas Finance Ltd. 144A, 0.000%^(3)(15)(16)		26		—	⁽⁸⁾
Petrobras Global Finance BV
7.375%, 1/17/27		405		445
5.750%, 2/1/29		345		345
Petroleos de Venezuela S.A. 144A, 6.000%, 5/16/24⁽³⁾⁽⁶⁾		665		150
Petroleos Mexicanos
4.625%, 9/21/23		335		321
5.350%, 2/12/28		300		268
6.500%, 6/2/41		250		217
Sanchez Energy Corp. 144A, 7.250%, 2/15/23⁽³⁾		105		91


	PAR VALUE		VALUE

Energy (continued)
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30⁽⁴⁾	$	345	$	382
Targa Resources Partners LP 144A, 5.875%, 4/15/26⁽³⁾		170		177
Transocean, Inc. 144A, 9.000%, 7/15/23⁽³⁾		170		179
USA Compression Partners LP
6.875%, 4/1/26		255		259
144A, 6.875%, 9/1/27⁽³⁾		30		31
Vine Oil & Gas LP 144A, 8.750%, 4/15/23⁽³⁾		270		218
Weatherford International Ltd. 9.875%, 2/15/24		115		83

				7,401


Financials—5.1%
Acrisure LLC
144A, 8.125%, 2/15/24⁽³⁾		110		113
144A, 7.000%, 11/15/25⁽³⁾		370		327
AerCap Ireland Capital DAC 3.650%, 7/21/27		380		342
Allstate Corp. (The) Series B 5.750%, 8/15/53^(5)(14)		394		398
Athene Holding Ltd. 4.125%, 1/12/28⁽¹⁴⁾		375		350
Australia & New Zealand Banking Group Ltd. 144A, 4.400%, 5/19/26^(3)(14)		400		397
Aviation Capital Group LLC 144A, 3.500%, 11/1/27⁽³⁾		305		283
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A, 5.125%, 1/18/33⁽³⁾		360		322
Banco de Bogota S.A. 144A, 6.250%, 5/12/26⁽³⁾		505		530
Bank of Montreal 3.803%, 12/15/32		210		201

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Financials (continued)
Brighthouse Financial, Inc. 3.700%, 6/22/27⁽¹⁴⁾	$	425	$	381
BrightSphere Investment Group plc 4.800%, 7/27/26		315		301
Capital One Financial Corp. 3.750%, 7/28/26		460		437
Discover Bank 4.682%, 8/9/28		350		349
Drawbridge Special Opportunities Fund LP 144A, 5.000%, 8/1/21⁽³⁾		350		348
E*TRADE Financial Corp. 4.500%, 6/20/28		340		339
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28		360		354
FS KKR Capital Corp. 4.750%, 5/15/22		310		309
Goldman Sachs Group, Inc. (The), (3 month LIBOR + 1.170%) 3.854%, 5/15/26^(2)(14)		315		308
Grupo de Inversiones Suramericana S.A. 144A, 5.500%, 4/29/26⁽³⁾		475		493
Guanay Finance Ltd. 144A, 6.000%, 12/15/20⁽³⁾		227		228
iStar, Inc. 5.250%, 9/15/22		130		127
Jefferies Financial Group, Inc. 5.500%, 10/18/23		220		229
Jefferies Group LLC 4.850%, 1/15/27		50		48
Kazakhstan Temir Zholy Finance BV 144A, 6.950%, 7/10/42⁽³⁾		335		384
Lincoln National Corp., (3 month LIBOR + 2.040%) 4.801%, 4/20/67^(2)(5)(14)		130		105
Navient Corp. 6.750%, 6/25/25		290		284


	PAR VALUE		VALUE

Financials (continued)
Prudential Financial, Inc. 5.875%, 9/15/42	$	275	$	290
Santander Holdings USA, Inc.
4.450%, 12/3/21		73		75
4.400%, 7/13/27		375		366
Springleaf Finance Corp.
6.875%, 3/15/25		125		128
7.125%, 3/15/26		105		106
Synchrony Financial 3.950%, 12/1/27⁽¹⁴⁾		540		494
Synovus Financial Corp. 5.900%, 2/7/29		186		187
Teachers Insurance & Annuity Association of America 144A, 4.375%, 9/15/54^(3)(14)		160		163
Toronto-Dominion Bank (The) 3.625%, 9/15/31⁽¹⁴⁾		390		377
Voya Financial, Inc. 5.650%, 5/15/53		285		282
Wells Fargo & Co. Series S 5.900% ^(14)(16)		900		917

				11,672


Health Care—2.3%
Advanz Pharma Corp. 8.000%, 9/6/24		77		73
Avantor, Inc.
144A, 6.000%, 10/1/24⁽³⁾		150		153
144A, 9.000%, 10/1/25⁽³⁾		145		156
Bausch Health Americas, Inc. 144A, 9.250%, 4/1/26⁽³⁾		90		97
Bausch Health Americas, Inc. 144A, 8.500%, 1/31/27⁽³⁾		105		109
Bausch Health Cos., Inc.
144A, 6.500%, 3/15/22⁽³⁾		30		31
144A, 7.000%, 3/15/24⁽³⁾		20		21
144A, 6.125%, 4/15/25⁽³⁾		135		130
144A, 5.500%, 11/1/25⁽³⁾		305		308
Bayer US Finance II LLC 144A, (3 month LIBOR + 1.010%) 3.620%, 12/15/23⁽²⁾⁽³⁾		200		196

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Health Care (continued)
Becton Dickinson & Co. 3.700%, 6/6/27	$	400	$	387
Centene Corp. 144A, 5.375%, 6/1/26⁽³⁾		90		93
Cigna Corp. 144A, 4.125%, 11/15/25⁽³⁾		272		276
Eagle Holding Co. II, LLC PIK, 144A, 7.625%, 5/15/22^(3)(11)		170		170
Endo Dac 144A, 6.000%, 7/15/23⁽³⁾		320		265
HCA, Inc.
5.375%, 2/1/25		205		213
5.625%, 9/1/28		185		191
5.875%, 2/1/29		20		21
MPH Acquisition Holdings LLC 144A, 7.125%, 6/1/24⁽³⁾		120		120
Mylan NV 3.950%, 6/15/26		300		280
Ortho-Clinical Diagnostics, Inc. 144A, 6.625%, 5/15/22⁽³⁾		145		140
Perrigo Finance Unlimited Co. 4.375%, 3/15/26		480		454
Surgery Center Holdings, Inc.
144A, 8.875%, 4/15/21⁽³⁾		245		249
144A, 6.750%, 7/1/25⁽³⁾		40		36
Takeda Pharmaceutical Co., Ltd. 144A, 4.400%, 11/26/23⁽³⁾		350		361
Tenet Healthcare Corp.
8.125%, 4/1/22		110		117
7.000%, 8/1/25		260		261
144A, 6.250%, 2/1/27⁽³⁾		120		124
West Street Merger Sub, Inc. 144A, 6.375%, 9/1/25⁽³⁾		185		173

				5,205

Industrials—1.8%
Ashtead Capital, Inc. 144A, 4.375%, 8/15/27^(3)(14)		390		375


	PAR VALUE		VALUE

Industrials (continued)
CNH Industrial N.V. 4.500%, 8/15/23	$	318	$	324
DP World plc 144A, 6.850%, 7/2/37⁽³⁾		310		369
Garda World Security Corp. 144A, 8.750%, 5/15/25⁽³⁾		395		378
Hillman Group, Inc. (The) 144A, 6.375%, 7/15/22⁽³⁾		230		198
Hulk Finance Corp. 144A, 7.000%, 6/1/26⁽³⁾		140		133
Navistar International Corp. 144A, 6.625%, 11/1/25⁽³⁾		75		77
New Enterprise Stone & Lime Co., Inc. 144A, 10.125%, 4/1/22⁽³⁾		170		171
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A, 4.875%, 5/10/28⁽³⁾		285		276
Oshkosh Corp. 4.600%, 5/15/28		413		412
Titan Acquisition Ltd. 144A, 7.750%, 4/15/26⁽³⁾		180		157
Topaz Marine S.A. 144A, 9.125%, 7/26/22⁽³⁾		240		240
TransDigm, Inc.
6.500%, 7/15/24		210		212
6.500%, 5/15/25		130		130
United Airlines Pass-Through Trust 07-1, A 6.636%, 7/2/22		294		306
US Airways Class B Pass-Through Trust 2012-1 8.000%, 10/1/19		285		291

				4,049


Information Technology—0.9%
Ascend Learning LLC 144A, 6.875%, 8/1/25⁽³⁾		55		54
Banff Merger Sub, Inc. 144A, 9.750%, 9/1/26⁽³⁾		35		34
Broadcom Corp. 3.625%, 1/15/24		239		232
Citrix Systems, Inc. 4.500%, 12/1/27		325		311

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Information Technology (continued)
CommScope Finance LLC 144A, 8.250%, 3/1/27⁽³⁾	$	130	$	135
Dell International LLC
144A, 5.450%, 6/15/23⁽³⁾		55		58
144A, 8.100%, 7/15/36⁽³⁾		110		125
Everi Payments, Inc. 144A, 7.500%, 12/15/25⁽³⁾		85		85
Exela Intermediate LLC 144A, 10.000%, 7/15/23⁽³⁾		230		235
Radiate Holdco LLC
144A, 6.875%, 2/15/23⁽³⁾		50		49
144A, 6.625%, 2/15/25⁽³⁾		310		291
ViaSat, Inc. 144A, 5.625%, 9/15/25⁽³⁾		150		146
VMware, Inc. 3.900%, 8/21/27		257		240

				1,995

Materials—2.1%
Alpek SAB de C.V. 144A, 5.375%, 8/8/23⁽³⁾		400		413
Anglo American Capital plc 144A, 4.000%, 9/11/27⁽³⁾		235		221
BHP Billiton Finance USA Ltd. 144A, 6.750%, 10/19/75⁽³⁾⁽⁵⁾		400		439
DowDuPont, Inc.
(3 month LIBOR + 1.110%) 3.794%, 11/15/23⁽²⁾		295		294
4.493%, 11/15/25		60		63
Eldorado Gold Corp. 144A, 6.125%, 12/15/20⁽³⁾		215		210
Equate Petrochemical BV 144A, 4.250%, 11/3/26⁽³⁾		315		314
Greif, Inc. 144A, 6.500%, 3/1/27⁽³⁾		180		183
Hexion, Inc. 6.625%, 4/15/20		200		170
INEOS Group Holdings S.A. 144A, 5.625%, 8/1/24⁽³⁾		300		291


	PAR VALUE		VALUE

Materials (continued)
James Hardie International Finance DAC 144A, 5.000%, 1/15/28⁽³⁾	$	375	$	347
Kraton Polymers LLC 144A, 7.000%, 4/15/25⁽³⁾		230		233
NOVA Chemicals Corp.
144A, 4.875%, 6/1/24⁽³⁾		45		44
144A, 5.000%, 5/1/25⁽³⁾		115		110
Reynolds Group Issuer, Inc. 144A, 7.000%, 7/15/24⁽³⁾		190		194
Rusal Capital Designated Activity Co. 144A, 5.125%, 2/2/22⁽³⁾		315		306
SABIC Capital II BV 144A, 4.500%, 10/10/28⁽³⁾		315		324
Syngenta Finance N.V.
144A, 4.441%, 4/24/23⁽³⁾		200		200
144A, 4.892%, 4/24/25⁽³⁾		200		200
Teck Resources Ltd. 144A, 8.500%, 6/1/24⁽³⁾		75		80
Trident Merger Sub, Inc. 144A, 6.625%, 11/1/25⁽³⁾		190		179

				4,815


Real Estate—0.7%
EPR Properties
4.750%, 12/15/26		175		176
4.500%, 6/1/27		200		198
Healthcare Trust of America Holdings LP 3.750%, 7/1/27		190		183
Hospitality Properties Trust 4.375%, 2/15/30		215		194
LifeStorage LP 3.875%, 12/15/27		150		144
MPT Operating Partnership LP 5.000%, 10/15/27		150		149
Office Properties Income Trust 4.500%, 2/1/25⁽¹⁴⁾		345		327
Physicians Realty LP 4.300%, 3/15/27		265		258

				1,629

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
CORPORATE BONDS AND NOTES (continued)
Utilities—0.5%
Enel Finance International NV 144A, 4.625%, 9/14/25⁽³⁾	$	275	$	275
Ferrellgas Partners LP 8.625%, 6/15/20		50		39
Perusahaan Listrik Negara PT 144A, 4.125%, 5/15/27⁽³⁾		390		373
TerraForm Power Operating LLC 144A, 5.000%, 1/31/28⁽³⁾		280		266
Texas Competitive Electric Holdings Co. 144A, 11.500%, 10/1/20⁽³⁾⁽⁹⁾		125		—	⁽⁸⁾
Transportadora de Gas Internacional SA ESP 144A, 5.550%, 11/1/28⁽³⁾		255		268

				1,221
TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $51,468)				49,858
LEVERAGED LOANS—7.5%
Aerospace—0.3%
Atlantic Aviation FBO, Inc., (1 month LIBOR + 3.750%) 6.270%, 11/28/25		65		65
Dynasty Acquisition Co., Inc.
(3 month LIBOR + 4.000%) 0.000%, 1/24/26⁽¹⁰⁾		85		85
(3 month LIBOR + 4.000%) 0.000%, 1/24/26⁽¹⁰⁾		45		46
TransDigm, Inc. Tranche F, (1 month LIBOR + 2.500%) 4.993%, 6/9/23		378		373

				569


	PAR VALUE		VALUE

Chemicals—0.2%
New Arclin U.S. Holding Corp. First Lien, (1 month LIBOR + 3.500%) 5.993%, 2/14/24	$	143	$	141
Omnova Solutions, Inc. Tranche B-2, (1 month LIBOR + 3.250%) 5.743%, 8/25/23		334		332

				473


Consumer Durables—0.1%
Global Appliance, Inc. Tranche B, (1 month LIBOR + 4.000%) 6.500%, 9/29/24		252		251


Consumer Non-Durables—0.4%
American Greetings Corp., (1 month LIBOR + 4.500%) 6.993%, 4/6/24		318		317
Energizer Holdings, Inc. Tranche B, (1 month LIBOR + 2.250%) 4.739%, 6/20/25		65		65
Kronos Acquisition Intermediate, Inc., (1 month LIBOR + 4.000%) 6.493%, 5/15/23		128		119
Parfums Holdings Co., Inc. First Lien, (3 month LIBOR + 4.250%) 6.879%, 6/30/24		148		146
Rodan & Fields LLC, (1 month LIBOR + 4.000%) 6.489%, 6/16/25		308		281

				928


Energy—0.3%
California Resources Corp., (1 month LIBOR + 10.375%) 12.868%, 12/31/21		95		100

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
LEVERAGED LOANS (continued)
Energy (continued)
Medallion Midland Acquisition LLC, (1 month LIBOR + 3.250%) 5.743%, 10/30/24	$	203	$	197
Seadrill Operating LP, (3 month LIBOR + 6.000%) 8.803%, 2/21/21		124		103
Traverse Midstream Partners LLC, (3 month LIBOR + 4.000%) 6.600%, 9/27/24		394		394

				794

Financial—0.6%
Asurion LLC Tranche B-2, (1 month LIBOR + 6.500%) 8.993%, 8/4/25		381		386
Blackhawk Network Holdings, Inc. First Lien, (1 month LIBOR + 3.000%) 5.493%, 6/15/25		254		251
Ditech Holding Corp. Tranche B, (3 month PRIME + 5.000%) 12.500%, 6/30/22⁽⁶⁾		292		196
Financial & Risk US Holdings, Inc., (1 month LIBOR + 3.750%) 0.000%, 10/1/25⁽¹⁰⁾		175		172
iStar, Inc., (1 month LIBOR + 2.750%) 5.247%, 6/28/23		264		261

				1,266

Food and Drug—0.1%
Albertson’s LLC Tranche B-7, (1 month LIBOR + 3.000%) 5.493%, 11/17/25		191		189


	PAR VALUE		VALUE

Food/Tobacco—0.3%
Chobani LLC First Lien, (1 month LIBOR + 3.500%) 5.993%, 10/10/23	$	169	$	164
H-Food Holdings, LLC
(1 month LIBOR + 3.688%) 6.181%, 5/23/25		40		39
Tranche B-2, (1 month LIBOR + 4.000%) 6.493%, 5/23/25		200		199
Milk Specialties Co., (1 month LIBOR + 4.000%) 6.493%, 8/16/23		234		233

				635


Gaming/Leisure—0.4%
Affinity Gaming, (1 month LIBOR + 3.250%) 5.743%, 7/1/23		290		281
Gateway Casinos & Entertainment Ltd., (3 month LIBOR + 3.000%) 5.803%, 12/1/23		109		109
Playa Resorts Holding B.V., (1 month LIBOR + 2.750%) 5.240%, 4/29/24		146		143
Scientific Games International, Inc. Tranche B-5, (1 month LIBOR + 2.750%) 5.312%, 8/14/24		65		64
Seminole Tribe of Florida 2018 Replacement, Tranche B, (1 month LIBOR + 1.750%) 4.243%, 7/8/24		167		167
Stars Group Holdings B.V., (3 month LIBOR + 3.500%) 6.303%, 7/10/25		68		68

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
LEVERAGED LOANS (continued)
Gaming/Leisure (continued)
UFC Holdings LLC First Lien, (1 month LIBOR + 3.250%) 5.750%, 8/18/23	$	180	$	180

				1,012

Healthcare—0.9%
21st Century Oncology, Inc. Tranche B, (3 month LIBOR + 6.125%) 8.905%, 1/16/23		32		26
Accelerated Health System LLC, (1 month LIBOR + 3.500%) 6.014%, 10/31/25		160		160
AHP Health Partners, Inc., (1 month LIBOR + 4.500%) 6.993%, 6/30/25		189		189
Bausch Health Cos., Inc.
(1 month LIBOR + 3.000%) 5.512%, 6/2/25		38		38
(1 month LIBOR + 2.750%) 5.262%, 11/27/25		91		91
CHG Healthcare Services, Inc. First Lien, (3 month LIBOR + 3.000%) 5.654%, 6/7/23		70		70
Envision Healthcare Corp., (1 month LIBOR + 3.750%) 6.243%, 10/10/25		159		153
Explorer Holdings, Inc., (3 month LIBOR + 3.750%) 6.553%, 5/2/23		229		229
Ortho-Clinical Diagnostics, Inc., (1 month LIBOR + 3.250%) 0.000%, 6/30/25⁽¹⁰⁾		191		189


	PAR VALUE		VALUE

Healthcare (continued)
PharMerica Corp. First Lien, (1 month LIBOR + 3.500%) 5.981%, 12/6/24	$	229	$	229
RegionalCare Hospital Partners Holdings, Inc. Tranche B, (1 month LIBOR + 4.500%) 6.981%, 11/16/25		260		260
U.S. Renal Care, Inc. First Lien, (3 month LIBOR + 4.250%) 7.053%, 12/30/22		159		159
Wellpath Holdings, Inc. First Lien, (1 month LIBOR + 5.500%) 7.993%, 10/1/25		185		177

				1,970


Housing—0.4%
American Builders & Contractors Supply Co., Inc. Tranche B-2, (1 month LIBOR + 2.000%) 4.493%, 10/31/23		248		246
Capital Automotive LP Tranche B, (1 month LIBOR + 6.000%) 8.493%, 3/24/25		131		130
CPG International LLC, (3 month LIBOR + 3.750%) 6.633%, 5/5/24		221		220
Summit Materials, LLC, (1 month LIBOR + 2.000%) 4.493%, 11/21/24		314		312

				908


Information Technology—0.5%
Applied Systems, Inc. Second Lien, (1 month LIBOR + 7.000%) 9.493%, 9/19/25		124		125

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
LEVERAGED LOANS (continued)
Information Technology (continued)
Boxer Parent Co., Inc., (3 month LIBOR + 4.250%) 7.053%, 10/2/25	$	225	$	223
Kronos, Inc.
First Lien, (3 month LIBOR + 3.000%) 5.736%, 11/1/23		369		367
Second Lien, (3 month LIBOR + 8.250%) 10.986%, 11/1/24		126		128
SS&C Technologies Holdings, Inc.
Tranche B-3, (1 month LIBOR + 2.250%) 0.000%, 4/16/25⁽¹⁰⁾		235		234
Tranche B-4, (1 month LIBOR + 2.250%) 0.000%, 4/16/25⁽¹⁰⁾		90		89

				1,166

Manufacturing—0.5%
Accudyne Industries Borrower S.C.A., (1 month LIBOR + 3.000%) 5.493%, 8/18/24		292		292
CommScope, Inc. Tranche B, (3 month LIBOR + 3.250%) 0.000%, 2/7/26⁽¹⁰⁾		230		230
CPI Acquisition, Inc. First Lien, (3 month LIBOR + 4.500%) 7.349%, 8/17/22		492		307
Filtration Group Corp., (1 month LIBOR + 3.000%) 5.493%, 3/29/25		273		272
Hillman Group, Inc. (The), (3 month LIBOR + 4.000%) 6.803%, 5/30/25		149		144

				1,245


	PAR VALUE		VALUE

Media/Telecom – Cable/Wireless Video—0.1%
CSC Holdings, LLC, (1 month LIBOR + 2.250%) 4.739%, 1/15/26	$	305	$	301


Media/Telecom – Diversified Media—0.2%
Crown Finance US, Inc., (1 month LIBOR + 2.500%) 4.993%, 2/28/25		322		320
Meredith Corp. Tranche B-1, (3 month LIBOR + 2.750%) 0.000%, 1/31/25⁽¹⁰⁾		115		115

				435


Media/Telecom – Telecommunications—0.3%
CenturyLink, Inc. Tranche B, (1 month LIBOR + 2.750%) 0.000%, 1/31/25⁽¹⁰⁾		338		332
Securus Technologies Holdings, Inc.
First Lien, (1 month LIBOR + 4.500%) 0.000%, 11/1/24⁽¹⁰⁾		132		132
Second Lien, (1 month LIBOR + 8.250%) 10.743%, 11/1/25		175		170
West Corp. Tranche B, (1 month LIBOR + 4.000%) 6.629%, 10/10/24		145		137

				771


Metals/Minerals—0.2%
Covia Holdings Corp., (3 month LIBOR + 3.750%) 6.553%, 6/1/25		208		180
Graftech International Ltd., (1 month LIBOR + 3.500%) 5.993%, 2/12/25		230		229

				409

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	PAR VALUE		VALUE
LEVERAGED LOANS (continued)
Retail—0.2%
Bass Pro Group LLC, (1 month LIBOR + 5.000%) 7.493%, 9/25/24	$	105	$	104
Neiman Marcus Group Ltd. LLC, (1 month LIBOR + 3.250%) 5.763%, 10/25/20		271		249

				353

Service—1.0%
Dun & Bradstreet Corp. (The), (1 month LIBOR + 5.000%) 0.000%, 2/1/26⁽¹⁰⁾		225		225
GFL Environmental, Inc., (1 month LIBOR + 3.000%) 5.493%, 5/30/25		234		230
Hoya Midco LLC First Lien, (1 month LIBOR + 3.500%) 5.993%, 6/30/24		368		359
Laureate Education, Inc., (3 month PRIME + 3.000%) 5.993%, 4/26/24		145		145
PI UK Holdco II Ltd. Tranche B-1, (1 month LIBOR + 3.500%) 5.993%, 1/3/25		387		384
Prime Security Services Borrower, LLC Tranche B-1, (1 month LIBOR + 2.750%) 5.243%, 5/2/22		269		268
Red Ventures LLC Tranche B-1, (1 month LIBOR + 3.000%) 5.493%, 11/8/24		370		369
Sedgwick Claims Management Services, Inc., (1 month LIBOR + 3.250%) 5.743%, 11/6/25		20		20


	PAR VALUE		VALUE

Service (continued)
TKC Holdings, Inc. First Lien, (1 month LIBOR + 3.750%) 6.250%, 2/1/23	$	247	$	244

				2,244


Transportation – Automotive—0.1%
Navistar, Inc. Tranche B, (1 month LIBOR + 3.500%) 6.020%, 11/6/24		227		226


Utility—0.4%
APLP Holdings LP, (1 month LIBOR + 2.750%) 5.243%, 4/13/23		103		102
Brookfield WEC Holdings, Inc.
First Lien, (1 month LIBOR + 3.750%) 6.243%, 8/1/25		225		225
Second Lien, (1 month LIBOR + 6.750%) 9.243%, 8/3/26		130		130
Talen Energy Supply LLC, (1 month LIBOR + 4.000%) 6.493%, 4/15/24		176		175
Vistra Operations Co., LLC
(1 month LIBOR + 2.000%) 4.493%, 8/4/23		183		182
(1 month LIBOR + 2.000%) 4.484%, 12/31/25		95		94

				908
TOTAL LEVERAGED LOANS
(Identified Cost $17,483)				17,053

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	SHARES			VALUE
PREFERRED STOCKS—1.5%
Financials—1.3%
Huntington Bancshares, Inc. Series E, 5.700%		335	⁽⁷⁾	$	322
JPMorgan Chase & Co. Series Z, 5.300%		415	⁽⁷⁾		423
KeyCorp Series D, 5.000%⁽¹⁷⁾		600	⁽⁷⁾		576
M&T Bank Corp. Series F, 5.125%^(14)(17)		375	⁽⁷⁾		372
MetLife, Inc. Series D, 5.875%		173	⁽⁷⁾		174
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽¹⁴⁾		305	⁽⁷⁾		300
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽¹⁴⁾		395	⁽⁷⁾		382
Zions Bancorp 6.950%		17,485			520

					3,069

Industrials—0.2%
General Electric Co. Series D, 5.000%⁽¹⁴⁾		457	⁽⁷⁾		431
TOTAL PREFERRED STOCKS
(Identified Cost $3,573)					3,500
COMMON STOCKS—83.9%
Communication Services—1.3%
Cellnex Telecom SA		116,509			3,012

Energy—14.8%
Antero Midstream GP LP⁽¹⁾		106,986			1,366
Cheniere Energy, Inc.⁽¹⁾		53,238			3,431
Enbridge, Inc.		217,072			8,029
Frontera Energy Corp.		1,636			16
Kinder Morgan, Inc.		229,880			4,405
ONEOK, Inc.		53,325			3,427
Pembina Pipeline Corp.		93,113			3,408
Targa Resources Corp.		39,986			1,609
TransCanada Corp.		88,225			3,945
Williams Cos., Inc. (The)		157,150			4,194

					33,830

Industrials—22.3%
Aena SME SA		38,416			6,856
Aeroports de Paris		8,467			1,643


	SHARES		VALUE

Industrials (continued)
Atlantia SpA		201,030	$	4,889
Auckland International Airport Ltd.		383,820		2,031
CSX Corp.		46,828		3,403
East Japan Railway Co.		33,020		3,158
Norfolk Southern Corp.		23,445		4,204
Sydney Airport		733,837		3,748
Transurban Group		1,394,511		12,335
Union Pacific Corp.		19,024		3,190
Vinci SA		57,982		5,535

				50,992


Real Estate—8.8%
American Tower Corp.		67,048		11,811
Crown Castle International Corp.		71,428		8,482

				20,293


Utilities—36.7%
American Electric Power Co., Inc.		83,931		6,811
American Water Works Co., Inc.		43,647		4,435
Atmos Energy Corp.		41,965		4,148
CMS Energy Corp.		64,763		3,523
Dominion Energy, Inc.		88,376		6,548
DTE Energy Co.		18,817		2,325
Emera, Inc.		80,532		2,865
Enel SpA		397,606		2,406
Evergy, Inc.		82,848		4,632
Fortis, Inc.		96,160		3,467
Iberdrola SA		358,205		2,996
National Grid plc		261,423		2,940
NextEra Energy, Inc.		60,556		11,368
NiSource, Inc.		107,958		2,913
Orsted A/S		48,075		3,489
Public Service Enterprise Group, Inc.		72,511		4,264
Sempra Energy		59,532		7,170
Spire, Inc.		27,470		2,179
Xcel Energy, Inc.		99,841		5,477

				83,956
TOTAL COMMON STOCKS
(Identified Cost $172,734)				192,083

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)


	SHARES		VALUE
RIGHTS—0.0%
Vistra Energy Corp.		2,084	$	1
TOTAL RIGHTS
(Identified Cost $2)				1
TOTAL LONG-TERM INVESTMENTS—131.9%
(Identified Cost $285,564)				301,753	⁽¹²⁾
SHORT-TERM INVESTMENTS—0.3%
Purchased Options—0.0%
(See the open purchased options table on page 22 for the detailed information.)
TOTAL PURCHASED OPTIONS—0.0%
(Premiums Paid $121)				59
MONEY MARKET MUTUAL FUND—0.3%
Dreyfus Government Cash Management Fund – Institutional Shares (seven-day effective yield 2.301%)⁽¹³⁾		672,834		673	⁽¹²⁾
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $794)				732
TOTAL INVESTMENTS BEFORE WRITTEN OPTIONS—132.2%
(Identified Cost $286,358)				302,485
WRITTEN OPTIONS—(0.1)%
(See the open written options table on page 22 for the detailed information.)
TOTAL WRITTEN OPTIONS—(0.1)% (Premiums Received $232)				(116	)
TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—132.1%
(Identified Cost $286,126)				302,369
Other assets and liabilities, net—(32.1)%				(73,521	)

NET ASSETS—100.0%			$228,848

Abbreviations: LIBOR London Interbank Offered Rate PIK Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Non-income producing.

⁽²⁾

Variable rate security. Rate disclosed is as of February 28, 2019. For leveraged loans, 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, 2019, these securities amounted to a value of $53,866 or 23.5% 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⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽⁷⁾	Value shown as par value.

⁽⁸⁾	Amounts are less than $500 (not reported in 000s).

⁽⁹⁾	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.

⁽¹⁰⁾	This loan will settle after February 28, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected.

⁽¹¹⁾	100% of the income received was in cash.

⁽¹²⁾	All or a portion of the portfolio segregated as collateral for borrowings.

⁽¹³⁾	Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.

⁽¹⁴⁾	All or a portion of the security is segregated as collateral for written options.

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)

⁽¹⁵⁾ 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.

⁽¹⁶⁾ No contractual maturity date.

⁽¹⁷⁾ Interest may be forfeited.

Foreign Currencies:

ARS Argentine Peso

COP Colombian Peso

IDR Indonesian Rupiah

MXN Mexican Peso

RUB Russian Ruble

ZAR South African Rand



Country Weightings†
United States	64	%
Canada	8
Australia	6
Spain	4
Italy	2
France	2
United Kingdom	1
Other	13
Total	100	%

†	% of total investments net of written options as of February 28, 2019.

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)

Open Purchased Options contracts as of February 28, 2019, were as follows:


Description of Options	Number of Contracts		Contract Notional Amount		Strike Price⁽¹⁾		Expiration Date		Value
Call Options
S&P 500^® Index		100	$	29,250	$	2,925		3/1/19	$	—
S&P 500^® Index		84		24,780		2,950		3/4/19		—
S&P 500^® Index		92		27,140		2,950		3/6/19		—
S&P 500^® Index		101		29,896		2,960		3/8/19		—
S&P 500^® Index		92		27,370		2,975		3/11/19		—
S&P 500^® Index		92		27,232		2,960		3/13/19		—

										—

Put Options
S&P 500^® Index		100		25,950		2,595		3/1/19		—
S&P 500^® Index		84		21,882		2,605		3/4/19		1
S&P 500^® Index		92		24,012		2,610		3/6/19		5
S&P 500^® Index		101		26,513		2,625		3/8/19		13
S&P 500^® Index		92		24,288		2,640		3/11/19		17
S&P 500^® Index		92		24,104		2,620		3/13/19		23

										59

Total Purchased Options									$	59

Open Written Options contracts as of February 28, 2019, were as follows:


Description of Options	Number of Contracts		Contract Notional Amount		Strike Price⁽¹⁾		Expiration Date		Value
Call Options
S&P 500^® Index		100	$	28,750	$	2,875		3/1/19	$	—
S&P 500^® Index		84		24,276		2,890		3/4/19		—
S&P 500^® Index		92		26,634		2,895		3/6/19		—
S&P 500^® Index		101		29,391		2,910		3/8/19		(1	)
S&P 500^® Index		92		26,864		2,920		3/11/19		—	⁽²⁾
S&P 500^® Index		92		26,726		2,905		3/13/19		(2	)

										(3	)

Put Options
S&P 500^® Index		100		26,450		2,645		3/1/19		(1	)
S&P 500^® Index		84		22,386		2,665		3/4/19		(1	)
S&P 500^® Index		92		24,518		2,665		3/6/19		(8	)
S&P 500^® Index		101		27,018		2,675		3/8/19		(24	)
S&P 500^® Index		92		24,794		2,695		3/11/19		(39	)
S&P 500^® Index		92		24,610		2,675		3/13/19		(40	)

										(113	)

Total Written Options									$	(116	)

Footnote Legend:

⁽¹⁾	Strike price not reported in thousands.

⁽²⁾	Amount is less than $500.

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

($ reported in thousands)

The following table summarizes the market value of the Fund’s investments as of February 28, 2019, based on the inputs used to value them (See Security Valuation Note 1A in the Notes to Schedule of Investments):


	Total Value at February 28, 2019			Level 1 Quoted Prices			Level 2 Significant Observable Inputs			Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	8,642		$	—		$	8,642		$	—
Corporate Bonds and Notes		49,858			—			49,858			—	*
Foreign Government Securities		11,082			—			11,082			—
Leveraged Loans		17,053			—			17,053			—
Mortgage-Backed Securities		17,300			—			17,300			—
U.S. Government Securities		2,234			—			2,234			—
Equity Securities:
Common Stocks		192,083			192,083			—			—
Preferred Stocks		3,500			520			2,980			—
Rights		1			—			1			—
Money Market Mutual Fund		673			673			—			—
Purchased Options		59			59			—			—

Total Investments, before Written Options	$	302,485		$	193,335		$	109,150		$	—	*

Liabilities:
Written Options	$	(116	)	$	(114	)	$	(2	)	$	—

Total Investments, Net of Written Options	$	302,369		$	193,221		$	109,148		$	—	*

Securities held by the Fund with an end of period value of $307 were transferred from Level 3 to Level 2 due to an increase in trading activities during the period. Security held by the Fund with an end of period value of $507 (not in 000’s) was transferred from Level 2 to Level 3 due an decrease in trading activities during the period.

Some of the Fund’s 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 not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended February 28, 2019.

See Notes to Schedule of Investments

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

FEBRUARY 28, 2019

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 following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements and, for derivatives, included in Note 2 below. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) 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.

Security Valuation

The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s 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 Committee’s own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund’s 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 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 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 the 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 ADRs, 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.

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

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 internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives, such as options, 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 Fund’s 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.

When-issued Purchases and Forward Commitments (Delayed-Delivery)

The Fund may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). Delayed delivery enables the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records delayed delivery securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date.

Leveraged Loans

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged Loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. The Fund’s investments in loans

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.

The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due.

The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid.

Note 2—Derivative Financial Instruments and Transactions

($ reported in thousands)

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 Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies of each specific type of derivative instrument used by the Fund.

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.

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

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.

The risk in writing 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 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 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.

For the period ended February 28, 2019, the average daily premiums paid by the Fund for purchased options were $238, and the average daily premiums received by the Fund for written options were $459.

Note 3—Regulatory Matters and Litigation

From time to time, Virtus Investment Advisers, LLC (“VIA”), the Fund’s Adviser, Duff & Phelps Investment Management Co. (“DPIM”), Newfleet Asset Management LLC

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

FEBRUARY 28, 2019

(“Newfleet”) and Rampart Investment Management Company LLC (“Rampart”), the Fund’s subadvisers and/or their respective 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 Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.

Note 4—Recent Accounting Pronouncement

In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”), ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. This ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. For public companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the implications of certain provisions of ASU No. 2018-13 and has determined to early adopt all aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately.

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 that require recognition or disclosure in these Notes to Schedule of Investments.

Item 2. Controls and Procedures.

(a)

The Registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report and have concluded that these controls and procedures are effective.

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s 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.


(Registrant)		Virtus Total Return Fund Inc.


By (Signature and Title)*		/s/ George R. Aylward
		George R. Aylward, President
		(principal executive officer)


Date		April 26, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)*		/s/ George R. Aylward
		George R. Aylward, President
		(principal executive officer)


Date		April 26, 2019


By (Signature and Title)*		/s/ W. Patrick Bradley
		W. Patrick Bradley, Executive Vice President,
		Chief Financial Officer, and Treasurer
		(principal financial officer)


Date		April 26, 2019

^* Print the name and title of each signing officer under his or her signature.