UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number
811-05620
Virtus Total Return
Fund Inc.
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice
President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT
06103-2608
(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: May 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not
later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will
make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget
(OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
|
(a) |
The Report to Shareholders is attached herewith. |
Virtus Total Return Fund Inc.
Not FDIC Insured • No Bank Guarantee • May Lose
Value
FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN
The
Board of Directors (the “Board,” or the “Directors”) of Virtus Total Return Fund Inc. (the “Fund”) has adopted a Managed Distribution Plan (the “Plan”) which provides for the Fund to make a monthly
distribution at the rate of $0.08 per share. Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or
a combination thereof.
If the Fund estimates that it has
distributed more than its income and capital gains in a particular period, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid
back to you. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.”
You should not draw any conclusions about the Fund’s
investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s Plan.
The amounts and sources of distributions reported in the
Fund’s notices issued pursuant to Section 19(a) of the Investment Company Act of 1940 are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will
depend upon the Fund’s investment results during its fiscal year and may be subject to changes based on tax regulations. The Fund will send shareholders a Form 1099-DIV for the calendar year that will tell you how to report distributions for
federal income tax purposes.
The Board may amend, suspend
or terminate the Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interest of the Fund and its shareholders.
Information on the Fund is available through the closed-end
fund section on the web at
www.Virtus.com. Section 19(a) notices are posted on the website at:
https://www.virtus.com/ZTR
Table of Contents
Virtus Total Return Fund Inc.
|
2
|
|
2
|
|
8
|
|
9
|
|
11
|
|
32
|
|
33
|
|
34
|
|
35
|
|
36
|
|
39
|
|
51
|
Dear Virtus
Total Return Fund Inc. Shareholder:
I
am pleased to present this semiannual report, which reviews the performance of the Virtus Total Return Fund Inc. for the six months ended May 31, 2023.
This
report contains commentary from the portfolio management teams at Duff & Phelps Investment Management and Newfleet Asset Management about the financial markets and the performance of the Fund’s equity and fixed income investments,
respectively.
During the
fiscal six-month period, the market made an initial recovery from the volatility that characterized much of 2022. But several bank failures in March, as well as contentious debt ceiling negotiations in the U.S., led to renewed volatility. For the
six months ended May 31, 2023, the Fund’s net asset value (“NAV”) returned -5.22%, including $0.48 in reinvested distributions, and its market price returned -6.28%. For the same period, the Fund’s composite benchmark, which
consists of 60% FTSE Developed Core Infrastructure 50/50 Index (net) (representing equities) and 40% Bloomberg U.S. Aggregate Bond Index (representing fixed income), returned -1.64%. The underlying indices returned -4.06% for equities and 2.00% for
fixed income.
While markets may be unpredictable in the
short term, we believe most investors are best served by focusing on the long term. Please call our customer service team at 866-270-7788 if you have questions about your account or require assistance.
Sincerely,
George R.
Aylward
President, Chief Executive Officer, and Director
Virtus Total Return Fund Inc.
July 2023
Refer to the Manager’s Discussion section for your
Fund’s performance. Performance data quoted represents past results. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown above. Investing involves risk, including the
risk of loss of principal invested.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
May 31, 2023
About the
Fund:
Virtus Total Return Fund Inc.
(NYSE: ZTR) (the “Fund”) has an investment objective of capital appreciation, with current income a secondary objective. The Fund seeks to meet its objectives through a balance of equity and fixed income investments. There is no
guarantee that the Fund will achieve its investment objectives.
The use of leverage currently enables the
Fund to borrow at short-term rates with the expectation of investing at higher yields on its investments. As of May 31, 2023, the Fund’s leverage consisted of $207 million of borrowings made pursuant to a line of credit, which represented
approximately 31% of the Fund’s total assets.
The Fund’s Board of Directors approved
a Managed Distribution Plan (the “Plan”) pursuant to which the Fund makes a monthly distribution at a rate of $0.08 per share. As a result of execution on the Plan, the Fund may pay distributions in excess of the Fund’s taxable net
investment income and net realized gains. During the most recent fiscal period, the Plan did not have a material impact on the Fund’s investment strategy.
Duff & Phelps Investment Management Co. (DPIM)
The equity portion of the Fund is invested
globally in owners/operators of infrastructure in the communications, utility, energy, and transportation industries (also referred to as “essential services”). DPIM manages the equity portion of the Fund’s portfolio, utilizing its
global infrastructure strategy that leverages the company’s in-depth fundamental research expertise in income-producing securities. The following commentary is provided by the portfolio management team at DPIM and covers the Fund’s
equity portion for the fiscal six months ended May 31, 2023.
How did the equity markets perform during the Fund’s
fiscal six-month period ended May 31, 2023?
Global developed market equities rose 3.92%,
as measured by the MSCI World Index (net), for the first half of the 2023 fiscal year. Investors were optimistic early in the year on hopes that central banks were near the peak of their rate hike cycle and that China’s reopening would support
global economic growth. Sentiment reversed in February as stronger-than-expected economic data suggested that any pause in interest rate increases might still be some way off. Investors became even gloomier in mid-March as high-profile banking
failures in the U.S. and Switzerland stoked fears of a broader crisis. Equity markets bounced back in April, only to retreat again in May, as economic data remained mixed, with inflation proving sticky and increased concerns about a recession in the
second half of the year.
The benchmark
for the equity portion of the Fund, the FTSE Developed Core Infrastructure 50/50 Index (net), declined 4.06% in the period, significantly trailing the broader market. Transportation was the best performing sector, with European airports experiencing
strong passenger volumes that were close to pre-pandemic levels. Toll road traffic was solid, with lower fuel prices removing some headwinds for vehicle usage. North American railroads were the laggard of the sector as economic concerns weighed on
expectations for volume growth and train derailments brought negative headlines.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 9.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
May 31, 2023
Utility stocks fell at a similar rate to the
benchmark, as investors appeared to shift away from defensive stocks such as pharmaceuticals, consumer staples, and utilities. U.S. utilities traded lower despite constructive earnings results and management commentary. European utilities rose as
investor concerns about a potential energy crisis were assuaged due to a warm winter across Europe. The communications sector performed poorly despite positive fundamental business conditions for wireless towers. A mix of higher interest rates and a
maturing of the independent tower business model contributed to the group’s underperformance. Midstream energy stocks slid lower and appeared to decline in sympathy with falling commodity prices. While midstream companies generally have not
historically taken on direct commodity price exposure, concerns over potential economic weakness appeared to weigh on the sector.
What factors affected the performance of the Fund’s equity
portfolio during the fiscal six-month period?
The equity portion of the Fund, including the
impact of leverage employed by the Fund, underperformed its equity benchmark for the six-month period. The portfolio declined 6.88% (before fees and expenses), while the benchmark was down 4.06%. Overall, sector allocation was negative, while stock
selection was neutral. Sector allocation was hurt by an overweight position in midstream energy and communications, as well as an underweight in transportation. The portfolio’s underweight position in utilities had a negligible allocation
impact. Stock selection was positive within transportation and communications, but mostly offset by negative selection in utilities and energy.
At the security level, the largest positive
contributors to performance were Aena SME, Enel, and National Grid. Aena, the airport operator in Spain, was supported by signs of strong passenger traffic for the summer holiday season across Europe. Enel SpA performed well as the company
demonstrated progress on a restructuring plan and benefited from lower energy prices in Europe during the winter. Like Enel, National Grid’s stock gained over the period as investor sentiment improved for European utilities due to the mild
winter.
The largest detractors from
performance in the portfolio were Cheniere Energy, American Tower, and NextEra Energy. Cheniere Energy’s stock fell on lower natural gas prices, despite the company reporting positive quarterly results and raising earnings guidance for the
year. American Tower suffered from the unfavorable macroeconomic environment for wireless towers, even though underlying fundamentals remained strong. Management changes and communications missteps continued to weigh on NextEra during the period.
However, the company remains the U.S. leader in renewable energy development, and we believe it will benefit from the clean energy transition.
Newfleet Asset Management (Newfleet)
Newfleet manages the Fund’s fixed
income portfolio utilizing its multi-sector core plus strategy. The following commentary is provided by the portfolio management team at Newfleet, and it covers the Fund’s fixed income portfolio for the six months ended May 31. 2023.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 9.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
May 31, 2023
How did
the fixed income markets perform during the Fund’ fiscal six-month period ended May 31, 2023?
So far, 2023 has been a year of transition.
Global central banks seemed to be transitioning from tightening monetary policy to pausing and assessing the tightening already in the system. China was well on its way to transitioning from its strict zero-COVID policy toward greater normalcy. The
global economy was transitioning toward a slower growth trajectory, while investors expected some major economies to transition to a mild recession. The world continued to hope for a peaceful transition in Eastern Europe as well. During most of the
first quarter of 2023, financial markets behaved as if most of these transitions would be orderly, or perhaps even avoided in some cases. March proved to disrupt that narrative, however, as the rapid failures of three regional banks in the U.S. and
the combination of a distressed Credit Suisse with UBS caused an increase in volatility and left investor confidence shaken. Policymakers responded forcefully and rapidly, but the economic impact remained unclear. During the middle of the second
quarter of 2023, the market turned its focus to the looming debt ceiling issue and negotiations in Washington.
This backdrop provided challenges for the
central bankers who were tasked with returning inflation to target while maintaining financial stability. During the reporting period, policymakers continued to tighten monetary policy, with both the Federal Reserve (the Fed) and the European
Central Bank (ECB) raising interest rates into the second quarter of 2023. Fed and ECB members sought to separate the inflation fight from issues affecting stability through their rhetoric, and by introducing new programs to counter banking sector
concerns while using the interest rate tool to combat inflation.
Despite all the volatility during the period,
financial markets demonstrated resilience, with most risk assets posting positive total returns for the six months. High yield bank loans, asset-backed securities, and corporate high yield securities generally outperformed on a total return basis,
with emerging markets high yield posting the largest underperformance during the period. The inversion of the U.S. Treasury yield curve became more pronounced as the curve shifted higher on maturities of less than one year due to traders’
changing views about the monetary policy path and the looming deadline for an extension of the debt ceiling to avoid a U.S. default. An inverted yield curve occurs when the yields on longer-term investments drop below the yields on shorter-term
investments with the same risk profile. During the six-month period, the yield on the one-month T-bill increased 1.23%, the yield on the one-year Treasury increased 0.46%, the yield on the five-year Treasury increased by 0.02%, the 10-year Treasury
yield increased by 0.04%, and the 30-year Treasury yield moved 0.12% higher.
What factors affected the performance of the Fund’s fixed
income portfolio during the fiscal six-month period?
For the fiscal six months ended May 31, 2023,
the fixed income portion of the Fund, including the impact of leverage employed by the Fund, returned 4.77% (before fees and expenses), while the Bloomberg U.S. Aggregate Bond Index, which serves as the portfolio’s benchmark, returned
2.00%.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 9.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
May 31, 2023
The Fund’s allocations to high yield
bank loans, corporate high yield, and asset-backed securities had a positive impact on performance. Issue selection within corporate high quality and the allocation to non-agency residential mortgages over agency mortgages also positively impacted
performance for the six-month period.
The Fund’s underweight to U.S.
Treasury securities had a positive impact during the period.
The Fund’s allocation to emerging
markets high yield, as well as issue selection within corporate high yield securities, were detractors during the period.
The preceding information is the opinion of
portfolio management only through the end of the period of the report as stated on the cover. Any such opinions are subject to change at any time based upon market conditions and should not be relied upon as investment advice.
The Fund’s portfolio holdings are
subject to change and may not be representative of the portfolio managers’ current or future investment decisions. The mention of individual securities held by the Fund is for informational purposes only and should not be construed as a
recommendation to purchase or sell any securities. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional.
For
information regarding the indexes and certain key investment terms, see Key Investment Terms starting on page 9.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
May 31, 2023
Risk Considerations
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that
risk.
Management: The Fund is subject to management risk because it is an actively managed investment portfolio. Judgments by the Fund’s subadviser about the attractiveness and potential appreciation of an investment may prove to be
inaccurate and may not produce the desired results.
Infrastructure: A Fund that focuses its investments in infrastructure-related companies will be more sensitive to conditions affecting their business or operations such as local economic and political conditions, regulatory changes, and
environmental issues.
Foreign
Investing: Investing in foreign securities subjects the Fund to additional risks such as increased volatility; currency fluctuations; less liquidity; less publicly available information about the foreign investment;
and political, regulatory, economic, and market risk.
Utilities Sector Concentration: The portfolio’s investments are concentrated in the utilities sector and may present more risks than if the portfolio were broadly diversified.
Leveraged Loans: Leveraged loans may be unsecured or not fully collateralized, may be subject to restrictions on resale, may be less liquid and may trade infrequently on the secondary market. Leveraged loans settle on a delayed basis;
thus, sale proceeds may not be available to meet redemptions for a substantial period of time after the sale of the loan.
Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise or fall in
response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
High Yield Fixed Income Securities: There is a greater risk of issuer default, less liquidity, and increased price volatility related to high yield securities than investment grade securities.
Asset-Backed and Mortgage-Backed Securities: Changes in interest rates can cause both extension and prepayment risks for asset- and mortgage-backed securities. These securities are also subject to risks associated with the non-repayment of underlying collateral,
including losses to the Fund.
Leverage:
When the Fund leverages its portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund’s shares will be more volatile and sensitive to market movements.
Market Volatility: The value of the securities in the Fund may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short- or long-term. Local, regional or global
events such as war or military conflict (e.g., Russia’s invasion of Ukraine), acts of terrorism, the spread of infectious illness (e.g., COVID-19 pandemic) or other public health issue, recessions, or other events could have a significant
impact on the Fund and its investments, including hampering the ability of the Fund’s manager(s) to invest the Fund’s assets as intended.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 9.
VIRTUS TOTAL RETURN FUND
INC.
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
May 31, 2023
Closed-End Funds: Closed-end funds may trade at a discount or premium from their net asset values, which may affect whether an investor will realize gains or losses. They may also employ leverage, which may increase the impact of
volatility.
No Guarantee: There is no guarantee that the Fund will meet its objective.
For information regarding the indexes and certain key investment terms, see
Key Investment Terms starting on page 9.
Virtus Total Return Fund
Inc.
PORTFOLIO HOLDINGS SUMMARY WEIGHTINGS (Unaudited)
May 31, 2023
The
following tables present the portfolio holdings within certain
sectors
or countries as a percentage of total investments at May 31, 2023.
Asset
Allocations
Common
Stocks |
|
74%
|
Utilities
|
36%
|
|
Industrials
|
20
|
|
Energy
|
10
|
|
All
Other Common Stocks |
8
|
|
Corporate
Bonds and Notes |
|
11
|
Financials
|
3
|
|
Energy
|
2
|
|
Consumer
Discretionary |
1
|
|
All
Other Corporate Bonds and Notes |
5
|
|
Mortgage-Backed
Securities |
|
4
|
Asset-Backed
Securities |
|
4
|
Leveraged
Loans |
|
3
|
U.S.
Government Securities |
|
2
|
Foreign
Government Securities |
|
2
|
Total
|
|
100%
|
Country
Weightings
United
States |
62%
|
Canada
|
9
|
Australia
|
9
|
Spain
|
7
|
United
Kingdom |
4
|
New
Zealand |
2
|
Switzerland
|
2
|
Other
|
5
|
Total
|
100%
|
VIRTUS TOTAL RETURN FUND
INC.
KEY INVESTMENT TERMS (Unaudited)
May 31, 2023
Bloomberg U.S. Aggregate Bond Index
The Bloomberg U.S. Aggregate Bond Index measures the U.S.
investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.
European Central Bank (“ECB”)
The ECB is responsible for conducting monetary policy for the
Euro zone. The ECB was established as the core of the Eurosystem and the European System of Central Banks (“ESCB”). The ESCB comprises the ECB and the National Central Banks of all 17 European Union Member States whether or not they have
adopted the Euro.
Exchange-Traded Fund
(“ETF”)
An open-end fund that is traded on a
stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.
Federal Reserve (the “Fed”)
The central bank of the U.S., responsible for controlling money
supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches, and all national and state banks that are part of
the system.
FTSE Developed Core Infrastructure 50/50
Index (net)
The FTSE Developed Core Infrastructure 50/50
Index (net) is a free float-adjusted market capitalization-weighted index that gives participants an industry-defined interpretation of infrastructure and adjusts the exposure to certain infrastructure sub-sectors. The constituent weights for the
index are 50% utilities, 30% transportation including capping of 7.5% for railroads/railways and a 20% mix of other sectors including pipelines, satellites, and telecommunication towers. The index is calculated on a total return basis with net
dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.
London Interbank Offered Rate (“LIBOR”)
A benchmark rate that some of the world’s leading banks
charge each other for short-term loans and that serves as the first step to calculating interest rates on various loans throughout the world.
MSCI World Index (net)
The MSCI World Index (net) is a free float-adjusted market
capitalization-weighted index that measures developed global market equity performance. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales
charges, and it is not available for direct investment.
Real Estate Investment Trust (“REIT”)
A publicly traded company that owns, develops and operates
income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.
Risk Assets
Risk assets are those that tend to demonstrate price
volatility, such as equities, high yield bonds, currencies, and commodities.
VIRTUS TOTAL RETURN FUND
INC.
KEY INVESTMENT TERMS (Unaudited) (Continued)
May 31, 2023
Secured Overnight Financing Rate (“SOFR”)
A broad measure of the cost of borrowing cash overnight
collateralized by U.S. Treasury securities.
Yield
Curve
A line that plots the interest rates, at a set
point in time, of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. This yield curve is used as a benchmark for
other debt in the market, such as mortgage rates or bank lending rates. The curve is also used to predict changes in economic output and growth.
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
U.S.
Government Securities—2.7% |
U.S.
Treasury Bonds |
|
|
|
1.875%,
11/15/51(1) |
$ 1,145
|
|
$
754 |
4.000%,
11/15/52 |
4,050
|
|
4,163
|
U.S.
Treasury Notes |
|
|
|
0.125%,
8/31/23 |
455
|
|
449
|
4.125%,
1/31/25 |
1,390
|
|
1,378
|
4.125%,
11/15/32 |
4,990
|
|
5,175
|
3.375%,
5/15/33 |
450
|
|
440
|
Total
U.S. Government Securities (Identified Cost $13,081) |
|
12,359
|
|
|
|
|
|
Municipal
Bonds—0.5% |
California—0.1%
|
|
|
University
of California, Regents Series B-A, Taxable 4.428%, 5/15/48 |
290
|
|
255
|
Florida—0.1%
|
|
|
Broward
County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 |
370
|
|
362
|
Idaho—0.1%
|
|
|
Idaho
Health Facilities Authority St. Luke’s Health System Revenue Taxable 5.020%, 3/1/48 |
355
|
|
332
|
Illinois—0.0%
|
|
|
Sales
Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 |
85
|
|
67
|
New
York—0.1% |
|
|
Metropolitan
Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 |
530
|
|
575
|
|
Par
Value |
|
Value
|
|
|
|
|
Texas—0.0%
|
|
|
State
of Texas, Texas Transportation Commission General Obligation Taxable 3.211%, 4/1/44 |
$ 110
|
|
$
90 |
Virginia—0.1%
|
|
|
City
of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 |
565
|
|
499
|
Total
Municipal Bonds (Identified Cost $2,422) |
|
2,180
|
|
|
|
|
|
Foreign
Government Securities—2.5% |
Bolivarian
Republic of Venezuela |
|
|
|
9.375%,
1/13/34(2) |
225
|
|
19
|
RegS
8.250%, 10/13/24(2)(3) |
610
|
|
51
|
RegS
7.650%, 4/21/25(2)(3) |
830
|
|
69
|
Dominican
Republic 144A 4.875%, 9/23/32(4) |
1,050
|
|
879
|
Emirate
of Dubai Government International Bonds RegS 5.250%, 1/30/43(3) |
835
|
|
773
|
Federative
Republic of Brazil 6.000%, 10/20/33 |
400
|
|
392
|
Hungary
Government International Bond 144A 6.250%, 9/22/32(4) |
450
|
|
458
|
Kingdom
of Jordan 144A 5.850%, 7/7/30(4) |
495
|
|
442
|
Kingdom
of Morocco |
|
|
|
144A
3.000%, 12/15/32(4) |
200
|
|
157
|
144A
5.500%, 12/11/42(4) |
295
|
|
250
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Foreign
Government Securities—continued |
Mongolia
Government International Bond 144A 8.650%, 1/19/28(4) |
$ 530
|
|
$
523 |
Republic
of Angola 144A 8.250%, 5/9/28(4) |
665
|
|
591
|
Republic
of Argentina 3.500%, 7/9/41(5) |
1,135
|
|
291
|
Republic
of Egypt 144A 7.600%, 3/1/29(4) |
665
|
|
408
|
Republic
of Indonesia 144A 4.350%, 1/8/27(4) |
550
|
|
544
|
Republic
of Ivory Coast 144A 6.375%, 3/3/28(4) |
320
|
|
306
|
Republic
of Panama |
|
|
|
3.298%,
1/19/33 |
230
|
|
192
|
4.300%,
4/29/53 |
200
|
|
146
|
Republic
of Philippines 3.700%, 3/1/41 |
710
|
|
586
|
Republic
of Poland 4.875%, 10/4/33 |
325
|
|
324
|
Republic
of Serbia 144A 6.500%, 9/26/33(4) |
300
|
|
291
|
Republic
of South Africa 5.875%, 4/20/32 |
335
|
|
289
|
Republic
of Turkey |
|
|
|
7.625%,
4/26/29 |
845
|
|
770
|
9.125%,
7/13/30 |
300
|
|
287
|
Saudi
Government International Bond |
|
|
|
144A
5.500%, 10/25/32(4) |
560
|
|
591
|
144A
4.500%, 10/26/46(4) |
335
|
|
292
|
State
of Qatar 144A 3.750%, 4/16/30(4) |
305
|
|
296
|
United
Mexican States |
|
|
|
3.500%,
2/12/34 |
400
|
|
335
|
6.338%,
5/4/53 |
755
|
|
756
|
Total
Foreign Government Securities (Identified Cost $13,188) |
|
11,308
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Mortgage-Backed
Securities—6.2% |
Agency—0.4%
|
|
|
Federal
National Mortgage Association |
|
|
|
Pool
#FS4438 5.000%, 11/1/52 |
$ 898
|
|
$ 886
|
Pool
#MA4785 5.000%, 10/1/52 |
897
|
|
883
|
|
|
|
1,769
|
|
|
|
|
|
Non-Agency—5.8%
|
|
|
Ajax
Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(4)(5) |
223
|
|
207
|
American
Homes 4 Rent Trust |
|
|
|
2014-SFR2,
C 144A 4.705%, 10/17/36(4) |
1,000
|
|
979
|
2015-SFR1,
A 144A 3.467%, 4/17/52(4) |
152
|
|
147
|
2015-SFR2,
C 144A 4.691%, 10/17/52(4) |
340
|
|
328
|
AMSR
Trust |
|
|
|
2021-SFR2,
C 144A 1.877%, 8/17/38(4) |
105
|
|
91
|
2021-SFR3,
D 144A 2.177%, 10/17/38(4) |
260
|
|
224
|
Arroyo
Mortgage Trust |
|
|
|
2019-1,
A1 144A 3.805%, 1/25/49(4)(5) |
435
|
|
410
|
2019-2,
A1 144A 3.347%, 4/25/49(4)(5) |
161
|
|
150
|
Benchmark
Mortgage Trust 2023-B38, A2 5.626%, 4/15/56 |
360
|
|
360
|
BPR
Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 6.957%, 4/15/37(4)(5) |
255
|
|
247
|
BX
Trust |
|
|
|
2019-OC11,
D 144A 3.944%, 12/9/41(4)(5) |
660
|
|
559
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2022-CLS,
A 144A 5.760%, 10/13/27(4) |
$ 663
|
|
$ 643
|
Chase
Mortgage Finance Corp. |
|
|
|
2016-SH1,
M2 144A 3.750%, 4/25/45(4)(5) |
104
|
|
94
|
2016-SH2,
M2 144A 3.738%, 12/25/45(4)(5) |
358
|
|
315
|
CIM
Trust 2022-R2, A1 144A 3.750%, 12/25/61(4)(5) |
435
|
|
405
|
Citigroup
Mortgage Loan Trust, Inc. 2018-RP1, A1 144A 3.000%, 9/25/64(4)(5) |
268
|
|
254
|
COLT
Mortgage Loan Trust 2022-5, A1 144A 4.550%, 4/25/67(4)(5) |
456
|
|
445
|
CoreVest
American Finance Trust |
|
|
|
2019-3,
C 144A 3.265%, 10/15/52(4) |
400
|
|
336
|
2022-1,
A 144A 4.744%, 6/17/55(4)(5) |
449
|
|
441
|
Credit
Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.980%) 144A 6.087%, 5/15/36(4)(5) |
923
|
|
917
|
Credit
Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(4)(5) |
308
|
|
269
|
Ellington
Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(4)(5) |
44
|
|
41
|
FirstKey
Homes Trust |
|
|
|
2020-SFR2,
B 144A 1.567%, 10/19/37(4) |
710
|
|
640
|
2021-SFR1,
D 144A 2.189%, 8/17/38(4) |
710
|
|
613
|
Galton
Funding Mortgage Trust |
|
|
|
2017-1,
A21 144A 3.500%, 7/25/56(4)(5) |
24
|
|
22
|
2018-1,
A23 144A 3.500%, 11/25/57(4)(5) |
18
|
|
16
|
|
Par
Value |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
Hilton
USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(4) |
$ 415
|
|
$ 361
|
Imperial
Fund Mortgage Trust 2021-NQM4, A1 144A 2.091%, 1/25/57(4)(5) |
960
|
|
811
|
INTOWN
Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.548%, 8/15/39(4)(5) |
537
|
|
537
|
JPMBB
Commercial Mortgage Securities Trust 2014-C18, AS 4.439%, 2/15/47(5) |
559
|
|
542
|
JPMorgan
Chase Mortgage Trust |
|
|
|
2014-5,
B2 144A 2.774%, 10/25/29(4)(5) |
205
|
|
181
|
2017-3,
2A2 144A 2.500%, 8/25/47(4)(5) |
87
|
|
76
|
LHOME
Mortgage Trust 2021-RTL1, A1 144A 2.090%, 2/25/26(4)(5) |
234
|
|
229
|
MetLife
Securitization Trust |
|
|
|
2017-1A,
M1 144A 3.449%, 4/25/55(4)(5) |
241
|
|
215
|
2019-1A,
A1A 144A 3.750%, 4/25/58(4)(5) |
50
|
|
49
|
MFA
Trust 2022-NQM2, A1 144A 4.000%, 5/25/67(4)(5) |
208
|
|
198
|
Mill
City Mortgage Loan Trust |
|
|
|
2017-3,
B1 144A 3.250%, 1/25/61(4)(5) |
418
|
|
351
|
2019-1,
M2 144A 3.500%, 10/25/69(4)(5) |
354
|
|
310
|
New
Residential Mortgage Loan Trust |
|
|
|
2014-1A,
A 144A 3.750%, 1/25/54(4)(5) |
38
|
|
36
|
2016-3A,
A1 144A 3.750%, 9/25/56(4)(5) |
50
|
|
46
|
2016-3A,
B1 144A 4.000%, 9/25/56(4)(5) |
193
|
|
176
|
2016-4A,
A1 144A 3.750%, 11/25/56(4)(5) |
23
|
|
21
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2016-4A,
B1A 144A 4.500%, 11/25/56(4)(5) |
$ 983
|
|
$ 928
|
2017-2A,
A3 144A 4.000%, 3/25/57(4)(5) |
222
|
|
209
|
2019-RPL2,
M2 144A 3.750%, 2/25/59(4)(5) |
440
|
|
380
|
OBX
Trust 2019-INV1, A3 144A 4.500%, 11/25/48(4)(5) |
46
|
|
44
|
Palisades
Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(4)(5) |
280
|
|
266
|
Preston
Ridge Partners Mortgage LLC |
|
|
|
2021-2,
A1 144A 2.115%, 3/25/26(4)(5) |
92
|
|
87
|
2021-3,
A1 144A 1.867%, 4/25/26(4)(5) |
604
|
|
568
|
Progress
Residential Trust |
|
|
|
2019-SFR3,
B 144A 2.571%, 9/17/36(4) |
280
|
|
267
|
2021-SFR3,
D 144A 2.288%, 5/17/26(4) |
830
|
|
731
|
RCKT
Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(4)(5) |
196
|
|
167
|
Residential
Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(4)(5) |
19
|
|
18
|
Sequoia
Mortgage Trust 2013-8, B1 3.481%, 6/25/43(5) |
79
|
|
74
|
Starwood
Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(4)(5) |
65
|
|
52
|
Towd
Point Mortgage Trust |
|
|
|
2016-4,
B1 144A 3.946%, 7/25/56(4)(5) |
480
|
|
445
|
2017-1,
A2 144A 3.500%, 10/25/56(4)(5) |
350
|
|
337
|
2017-1,
M1 144A 3.750%, 10/25/56(4)(5) |
385
|
|
365
|
2017-4,
A2 144A 3.000%, 6/25/57(4)(5) |
610
|
|
547
|
|
Par
Value |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
2018-6,
A1B 144A 3.750%, 3/25/58(4)(5) |
$ 330
|
|
$ 307
|
2018-6,
A2 144A 3.750%, 3/25/58(4)(5) |
480
|
|
425
|
2019-2,
A2 144A 3.750%, 12/25/58(4)(5) |
515
|
|
456
|
2019-4,
A2 144A 3.250%, 10/25/59(4)(5) |
445
|
|
388
|
2020-1,
M1 144A 3.500%, 1/25/60(4)(5) |
220
|
|
182
|
2021-1,
A2 144A 2.750%, 11/25/61(4)(5) |
465
|
|
375
|
Tricon
American Homes Trust |
|
|
|
2019-SFR1,
C 144A 3.149%, 3/17/38(4) |
590
|
|
547
|
2020-SFR2,
D 144A 2.281%, 11/17/39(4) |
660
|
|
562
|
Tricon
Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(4) |
185
|
|
166
|
TVC
Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(4)(5) |
520
|
|
512
|
UBS-Barclays
Commercial Mortgage Trust 2013-C6, B 144A 3.875%, 4/10/46(4)(5) |
382
|
|
348
|
VCAT
LLC |
|
|
|
2021-NPL3,
A1 144A 1.743%, 5/25/51(4)(5) |
144
|
|
134
|
2021-NPL4,
A1 144A 1.868%, 8/25/51(4)(5) |
414
|
|
383
|
Verus
Securitization Trust |
|
|
|
2019-4,
M1 144A 3.207%, 11/25/59(4)(5) |
220
|
|
194
|
2022-4,
A1 144A 4.474%, 4/25/67(4)(5) |
393
|
|
378
|
2022-5,
A1 144A 3.800%, 4/25/67(4)(5) |
673
|
|
630
|
2022-7,
A1 144A 5.152%, 7/25/67(4)(5) |
371
|
|
366
|
Visio
Trust 2020-1R, A2 144A 1.567%, 11/25/55(4) |
72
|
|
65
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Non-Agency—continued
|
|
|
Wells
Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 |
$ 974
|
|
$
924 |
Wells
Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(4)(5) |
125
|
|
106
|
|
|
|
26,225
|
Total
Mortgage-Backed Securities (Identified Cost $30,274) |
|
27,994
|
|
|
|
|
|
Asset-Backed
Securities—5.5% |
Automobiles—2.2%
|
|
|
ACC
Auto Trust 2021-A, C 144A 3.790%, 4/15/27(4) |
745
|
|
716
|
ACC
Trust |
|
|
|
2021-1,
C 144A 2.080%, 12/20/24(4) |
501
|
|
494
|
2022-1,
C 144A 3.240%, 10/20/25(4) |
670
|
|
644
|
ACM
Auto Trust 2022-1A, B 144A 4.470%, 4/20/29(4) |
57
|
|
57
|
American
Credit Acceptance Receivables Trust 2022-1, E 144A 3.640%, 3/13/28(4) |
560
|
|
498
|
Avid
Automobile Receivables Trust 2021-1, E 144A 3.390%, 4/17/28(4) |
230
|
|
208
|
Avis
Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(4) |
595
|
|
552
|
Carvana
Auto Receivables Trust |
|
|
|
2019-2A,
D 144A 3.280%, 1/15/25(4) |
83
|
|
83
|
2019-3A,
D 144A 3.040%, 4/15/25(4) |
141
|
|
140
|
|
Par
Value |
|
Value
|
|
|
|
|
Automobiles—continued
|
|
|
2019-3A,
E 144A 4.600%, 7/15/26(4) |
$ 535
|
|
$ 523
|
Exeter
Automobile Receivables Trust |
|
|
|
2019-2A,
E 144A 4.680%, 5/15/26(4) |
670
|
|
662
|
2019-1A,
D 144A 4.130%, 12/16/24(4) |
33
|
|
33
|
GLS
Auto Receivables Issuer Trust |
|
|
|
2019-4A,
D 144A 4.090%, 8/17/26(4) |
540
|
|
525
|
2020-3A,
E 144A 4.310%, 7/15/27(4) |
1,285
|
|
1,237
|
2022-2A,
D 144A 6.150%, 4/17/28(4) |
510
|
|
507
|
LAD
Auto Receivables Trust |
|
|
|
2023-1A,
D 144A 7.300%, 6/17/30(4) |
550
|
|
554
|
2023-2A,
D 144A 6.300%, 2/15/31(4) |
450
|
|
447
|
Lendbuzz
Securitization Trust 2023-2A, A2 144A 7.090%, 10/16/28(4) |
441
|
|
441
|
Lobel
Automobile Receivables Trust 2023-1, B 144A 7.050%, 9/15/28(4) |
535
|
|
530
|
OneMain
Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(4) |
410
|
|
396
|
Tricolor
Auto Securitization Trust 2023-1A, C 144A 7.240%, 2/16/27(4) |
554
|
|
556
|
|
|
|
9,803
|
|
|
|
|
|
Consumer
Loans—0.1% |
|
|
Republic
Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(4) |
475
|
|
455
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Credit
Card—0.3% |
|
|
Avant
Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(4) |
$ 590
|
|
$ 551
|
Mercury
Financial Credit Card Master Trust 2023-1A, A 144A 8.040%, 9/20/27(4) |
555
|
|
554
|
Mission
Lane Credit Card Master Trust 2023-A, A 144A 7.230%, 7/17/28(4) |
447
|
|
447
|
|
|
|
1,552
|
|
|
|
|
|
Other—2.9%
|
|
|
Amur
Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(4) |
710
|
|
665
|
Applebee’s
Funding LLC 2023-1A, A2 144A 7.824%, 3/5/53(4) |
422
|
|
422
|
Aqua
Finance Trust |
|
|
|
2017-A,
A 144A 3.720%, 11/15/35(4) |
32
|
|
31
|
2019-A,
C 144A 4.010%, 7/16/40(4) |
639
|
|
564
|
2020-AA,
D 144A 7.150%, 7/17/46(4) |
480
|
|
410
|
Arby’s
Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(4) |
569
|
|
498
|
Business
Jet Securities LLC 2020-1A, A 144A 2.981%, 11/15/35(4) |
126
|
|
119
|
BXG
Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(4) |
278
|
|
252
|
Cajun
Global LLC 2021-1, A2 144A 3.931%, 11/20/51(4) |
337
|
|
289
|
CCG
Receivables Trust 2023-1, A2 144A 5.820%, 9/16/30(4) |
525
|
|
528
|
CF
Hippolyta Issuer LLC 2020-1, A1 144A 1.690%, 7/15/60(4) |
418
|
|
378
|
|
Par
Value |
|
Value
|
|
|
|
|
Other—continued
|
|
|
Conn’s
Receivables Funding LLC 2022-A, B 144A 9.520%, 12/15/26(4) |
$ 495
|
|
$ 494
|
Dext
ABS LLC 2020-1, D 144A 7.210%, 2/15/28(4) |
475
|
|
455
|
Diamond
Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(4) |
165
|
|
151
|
FAT
Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(4) |
590
|
|
534
|
Foundation
Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(4) |
83
|
|
82
|
Hardee’s
Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(4) |
586
|
|
502
|
HIN
Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(4) |
94
|
|
87
|
Hotwire
Funding LLC 2021-1, C 144A 4.459%, 11/20/51(4) |
695
|
|
586
|
Jack
in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(4) |
536
|
|
476
|
Jersey
Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(4) |
431
|
|
399
|
Lendmark
Funding Trust 2021-1A, A 144A 1.900%, 11/20/31(4) |
590
|
|
513
|
Mariner
Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(4) |
595
|
|
572
|
NBC
Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(4) |
471
|
|
407
|
Octane
Receivables Trust |
|
|
|
2019-1A,
C 144A 4.740%, 6/20/25(4) |
630
|
|
627
|
2020-1A,
B 144A 1.980%, 6/20/25(4) |
710
|
|
695
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Other—continued
|
|
|
Orange
Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(4) |
$ 98
|
|
$
94 |
Pawneee
Equipment Receivables LLC 2022-1, B 144A 5.400%, 7/17/28(4) |
500
|
|
490
|
Progress
Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(4) |
235
|
|
204
|
Purchasing
Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(4) |
710
|
|
684
|
Taco
Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(4) |
353
|
|
342
|
Upstart
Securitization Trust 2022-2, A 144A 4.370%, 5/20/32(4) |
226
|
|
223
|
Zaxby’s
Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(4) |
695
|
|
580
|
|
|
|
13,353
|
Total
Asset-Backed Securities (Identified Cost $26,571) |
|
25,163
|
|
|
|
|
|
Corporate
Bonds and Notes—16.2% |
Communication
Services—1.0% |
|
|
Altice
France Holding S.A. 144A 6.000%, 2/15/28(4) |
200
|
|
99
|
Altice
France S.A. 144A 5.125%, 1/15/29(1)(4) |
300
|
|
214
|
CCO
Holdings LLC 144A 4.750%, 3/1/30(1)(4) |
670
|
|
565
|
CSC
Holdings LLC |
|
|
|
5.250%,
6/1/24 |
270
|
|
250
|
144A
7.500%, 4/1/28(4) |
365
|
|
198
|
CT
Trust 144A 5.125%, 2/3/32(4) |
450
|
|
352
|
DISH
DBS Corp. |
|
|
|
5.875%,
11/15/24 |
435
|
|
373
|
7.750%,
7/1/26(1) |
355
|
|
204
|
|
Par
Value |
|
Value
|
|
|
|
|
Communication
Services—continued |
|
|
Gray
Television, Inc. 144A 7.000%, 5/15/27(4) |
$ 500
|
|
$ 412
|
Level
3 Financing, Inc. 144A 3.625%, 1/15/29(1)(4) |
335
|
|
181
|
McGraw-Hill
Education, Inc. 144A 8.000%, 8/1/29(4) |
220
|
|
184
|
Millennium
Escrow Corp. 144A 6.625%, 8/1/26(4) |
350
|
|
239
|
Rackspace
Technology Global, Inc. 144A 5.375%, 12/1/28(4) |
490
|
|
125
|
Sprint
Capital Corp. 8.750%, 3/15/32 |
295
|
|
358
|
Telecomunicaciones
Digitales S.A. 144A 4.500%, 1/30/30(4) |
600
|
|
490
|
Telesat
Canada 144A 6.500%, 10/15/27(4) |
270
|
|
117
|
VZ
Secured Financing B.V. 144A 5.000%, 1/15/32(4) |
290
|
|
231
|
|
|
|
4,592
|
|
|
|
|
|
Consumer
Discretionary—1.5% |
|
|
Ashtead
Capital, Inc. |
|
|
|
144A
4.375%, 8/15/27(1)(4) |
320
|
|
301
|
144A
5.500%, 8/11/32(1)(4) |
260
|
|
250
|
Caesars
Entertainment, Inc. |
|
|
|
144A
6.250%, 7/1/25(1)(4) |
145
|
|
145
|
144A
8.125%, 7/1/27(4) |
145
|
|
148
|
Carriage
Services, Inc. 144A 4.250%, 5/15/29(1)(4) |
360
|
|
292
|
Churchill
Downs, Inc. 144A 6.750%, 5/1/31(4) |
325
|
|
321
|
Clarios
Global LP |
|
|
|
144A
8.500%, 5/15/27(4) |
275
|
|
276
|
144A
6.750%, 5/15/28(4) |
40
|
|
40
|
eG
Global Finance plc 144A 8.500%, 10/30/25(1)(4) |
375
|
|
362
|
Ford
Motor Co. 3.250%, 2/12/32(1) |
170
|
|
129
|
Ford
Motor Credit Co. LLC |
|
|
|
4.125%,
8/17/27(1) |
285
|
|
257
|
7.350%,
3/6/30(1) |
330
|
|
332
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Consumer
Discretionary—continued |
|
|
Jacobs
Entertainment, Inc. 144A 6.750%, 2/15/29(1)(4) |
$ 355
|
|
$ 312
|
LKQ
Corp. 144A 6.250%, 6/15/33(4) |
470
|
|
473
|
Mclaren
Finance plc 144A 7.500%, 8/1/26(4) |
520
|
|
435
|
MDC
Holdings, Inc. 3.966%, 8/6/61 |
300
|
|
176
|
Newell
Brands, Inc. 6.625%, 9/15/29 |
373
|
|
352
|
NMG
Holding Co., Inc. 144A 7.125%, 4/1/26(4) |
450
|
|
405
|
Nordstrom,
Inc. 4.250%, 8/1/31(1) |
550
|
|
418
|
Premier
Entertainment Sub LLC 144A 5.625%, 9/1/29(4) |
530
|
|
376
|
PulteGroup,
Inc. |
|
|
|
7.875%,
6/15/32 |
155
|
|
177
|
6.375%,
5/15/33(1) |
350
|
|
365
|
Royal
Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(1)(4) |
18
|
|
19
|
Scientific
Games International, Inc. 144A 7.000%, 5/15/28(1)(4) |
210
|
|
208
|
Weekley
Homes LLC 144A 4.875%, 9/15/28(1)(4) |
355
|
|
311
|
|
|
|
6,880
|
|
|
|
|
|
Consumer
Staples—0.4% |
|
|
Albertsons
Cos., Inc. 144A 6.500%, 2/15/28(4) |
310
|
|
308
|
BAT
Capital Corp. 7.750%, 10/19/32 |
580
|
|
635
|
Central
American Bottling Corp. 144A 5.250%, 4/27/29(4) |
225
|
|
209
|
HLF
Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(1)(4) |
460
|
|
317
|
Pilgrim’s
Pride Corp. 6.250%, 7/1/33 |
443
|
|
431
|
|
Par
Value |
|
Value
|
|
|
|
|
Consumer
Staples—continued |
|
|
Sigma
Holdco B.V. 144A 7.875%, 5/15/26(4) |
$ 200
|
|
$ 170
|
|
|
|
2,070
|
|
|
|
|
|
Energy—3.0%
|
|
|
Alliance
Resource Operating Partners LP 144A 7.500%, 5/1/25(1)(4) |
550
|
|
546
|
Antero
Midstream Partners LP 144A 5.750%, 1/15/28(4) |
395
|
|
377
|
Ascent
Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1)(4) |
410
|
|
396
|
BP
Capital Markets plc 4.875% (1)(6) |
465
|
|
423
|
CITGO
Petroleum Corp. 144A 7.000%, 6/15/25(4) |
240
|
|
236
|
Coronado
Finance Pty Ltd. 144A 10.750%, 5/15/26(1)(4) |
526
|
|
539
|
CrownRock
LP |
|
|
|
144A
5.625%, 10/15/25(1)(4) |
85
|
|
83
|
144A
5.000%, 5/1/29(1)(4) |
170
|
|
159
|
DT
Midstream, Inc. 144A 4.125%, 6/15/29(4) |
495
|
|
429
|
Ecopetrol
S.A. |
|
|
|
4.625%,
11/2/31 |
465
|
|
351
|
8.875%,
1/13/33 |
460
|
|
448
|
Enbridge,
Inc. 7.625%, 1/15/83(1) |
435
|
|
438
|
Enerflex
Ltd. 144A 9.000%, 10/15/27(4) |
263
|
|
256
|
Energy
Transfer LP Series H 6.500% (1)(6) |
500
|
|
438
|
Flex
Intermediate Holdco LLC 144A 3.363%, 6/30/31(1)(4) |
415
|
|
333
|
Genesis
Energy LP 8.875%, 4/15/30 |
370
|
|
364
|
Greensaif
Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(4) |
250
|
|
257
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Hilcorp
Energy I LP |
|
|
|
144A
5.750%, 2/1/29(1)(4) |
$ 305
|
|
$ 276
|
144A
6.000%, 2/1/31(1)(4) |
290
|
|
258
|
International
Petroleum Corp. RegS, 144A 7.250%, 2/1/27(1)(3)(4) |
380
|
|
355
|
KazMunayGas
National Co. JSC 144A 6.375%, 10/24/48(4) |
555
|
|
452
|
Kinder
Morgan Energy Partners LP 7.500%, 11/15/40(1) |
440
|
|
489
|
Magnolia
Oil & Gas Operating LLC 144A 6.000%, 8/1/26(1)(4) |
380
|
|
367
|
Mesquite
Energy, Inc. 144A 7.250%, 2/15/24(4)(7) |
105
|
|
1
|
Nabors
Industries Ltd. 144A 7.250%, 1/15/26(4) |
285
|
|
260
|
Northriver
Midstream Finance LP 144A 5.625%, 2/15/26(1)(4) |
360
|
|
336
|
Occidental
Petroleum Corp. 6.125%, 1/1/31(1) |
555
|
|
564
|
Odebrecht
Oil & Gas Finance Ltd. 144A 0.000% (4)(6)(7) |
26
|
|
—
(8) |
Parsley
Energy LLC 144A 4.125%, 2/15/28(4) |
345
|
|
322
|
Pertamina
Persero PT 144A 2.300%, 2/9/31(4) |
480
|
|
392
|
Petroleos
de Venezuela S.A. 144A 6.000%, 5/16/24(4)(9) |
665
|
|
19
|
Petroleos
Mexicanos |
|
|
|
6.500%,
3/13/27 |
450
|
|
388
|
6.700%,
2/16/32 |
790
|
|
589
|
7.690%,
1/23/50 |
505
|
|
326
|
Petronas
Capital Ltd. 144A 3.500%, 4/21/30(4) |
375
|
|
350
|
Reliance
Industries Ltd. 144A 2.875%, 1/12/32(4) |
570
|
|
477
|
State
Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(3) |
280
|
|
288
|
Teine
Energy Ltd. 144A 6.875%, 4/15/29(1)(4) |
330
|
|
301
|
|
Par
Value |
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Transocean,
Inc. |
|
|
|
144A
11.500%, 1/30/27(4) |
$ 45
|
|
$ 46
|
144A
8.750%, 2/15/30(4) |
285
|
|
285
|
USA
Compression Partners LP 6.875%, 4/1/26(1) |
240
|
|
228
|
Venture
Global Calcasieu Pass LLC |
|
|
|
144A
3.875%, 8/15/29(1)(4) |
40
|
|
35
|
144A
4.125%, 8/15/31(1)(4) |
340
|
|
293
|
|
|
|
13,770
|
|
|
|
|
|
Financials—4.2%
|
|
|
Acrisure
LLC 144A 7.000%, 11/15/25(4) |
860
|
|
815
|
Allstate
Corp. (The) Series B 5.750%, 8/15/53(1) |
545
|
|
531
|
Ascot
Group Ltd. 144A 4.250%, 12/15/30(1)(4) |
580
|
|
454
|
Banco
Mercantil del Norte S.A. 144A 6.625% (4)(6) |
620
|
|
491
|
Banco
Santander Chile 144A 3.177%, 10/26/31(4) |
555
|
|
482
|
Bank
of America Corp. |
|
|
|
5.015%,
7/22/33(1) |
455
|
|
445
|
2.482%,
9/21/36(1) |
605
|
|
459
|
Bank
of New York Mellon Corp. (The) Series G 4.700% (1)(6) |
530
|
|
519
|
Barclays
plc 7.437%, 11/2/33(1) |
445
|
|
485
|
BBVA
Bancomer S.A. 144A 5.125%, 1/18/33(4) |
485
|
|
426
|
Blackstone
Private Credit Fund 2.625%, 12/15/26(1) |
317
|
|
270
|
Blue
Owl Finance LLC 144A 3.125%, 6/10/31(1)(4) |
415
|
|
310
|
Brighthouse
Financial, Inc. 5.625%, 5/15/30(1) |
200
|
|
188
|
BroadStreet
Partners, Inc. 144A 5.875%, 4/15/29(4) |
270
|
|
234
|
Capital
One Financial Corp. 2.359%, 7/29/32 |
255
|
|
182
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Charles
Schwab Corp. (The) Series H 4.000% (1)(6) |
$ 445
|
|
$ 335
|
Citadel
LP 144A 4.875%, 1/15/27(1)(4) |
525
|
|
506
|
Citigroup,
Inc. |
|
|
|
6.270%,
11/17/33 |
420
|
|
449
|
6.174%,
5/25/34 |
329
|
|
334
|
Citizens
Bank N.A. 2.250%, 4/28/25 |
315
|
|
286
|
Cobra
Acquisition Co. LLC 144A 6.375%, 11/1/29(4) |
360
|
|
215
|
Corebridge
Financial, Inc. 6.875%, 12/15/52 |
326
|
|
304
|
Discover
Financial Services 6.700%, 11/29/32(1) |
237
|
|
246
|
Drawbridge
Special Opportunities Fund LP 144A 3.875%, 2/15/26(1)(4) |
720
|
|
650
|
Export-Import
Bank of Korea 5.125%, 1/11/33 |
465
|
|
485
|
Fifth
Third Bancorp 4.337%, 4/25/33 |
300
|
|
268
|
Goldman
Sachs Group, Inc. (The) |
|
|
|
3.102%,
2/24/33 |
320
|
|
271
|
6.450%,
5/1/36 |
255
|
|
267
|
Huntington
Bancshares, Inc. 2.550%, 2/4/30 |
340
|
|
270
|
JPMorgan
Chase & Co. 1.953%, 2/4/32 |
935
|
|
744
|
Ladder
Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1)(4) |
345
|
|
292
|
Liberty
Mutual Group, Inc. 144A 4.125%, 12/15/51(1)(4) |
515
|
|
397
|
Lincoln
National Corp. (3 month LIBOR + 2.040%) 7.290%, 4/20/67(1)(5) |
515
|
|
317
|
MetLife,
Inc. Series G 3.850% (6) |
340
|
|
316
|
Midcap
Financial Issuer Trust 144A 6.500%, 5/1/28(1)(4) |
475
|
|
418
|
|
Par
Value |
|
Value
|
|
|
|
|
Financials—continued
|
|
|
Morgan
Stanley |
|
|
|
6.342%,
10/18/33(1) |
$ 560
|
|
$ 600
|
5.948%,
1/19/38(1) |
253
|
|
250
|
National
Rural Utilities Cooperative Finance Corp. (3 month LIBOR + 2.910%) 8.209%, 4/30/43(5) |
360
|
|
349
|
Navient
Corp. 6.750%, 6/25/25(1) |
540
|
|
522
|
OWL
Rock Core Income Corp. 4.700%, 2/8/27(1) |
319
|
|
289
|
Prudential
Financial, Inc. |
|
|
|
5.625%,
6/15/43(1) |
550
|
|
550
|
5.125%,
3/1/52(1) |
148
|
|
133
|
6.000%,
9/1/52(1) |
89
|
|
87
|
6.750%,
3/1/53 |
365
|
|
365
|
State
Street Corp. 4.821%, 1/26/34 |
438
|
|
427
|
Synchrony
Financial |
|
|
|
4.875%,
6/13/25 |
80
|
|
75
|
3.700%,
8/4/26 |
117
|
|
102
|
Texas
Capital Bancshares, Inc. 4.000%, 5/6/31(1) |
705
|
|
526
|
Toronto-Dominion
Bank (The) 8.125%, 10/31/82(1) |
475
|
|
487
|
Wells
Fargo & Co. |
|
|
|
5.389%,
4/24/34 |
270
|
|
270
|
Series
BB 3.900%(6) |
600
|
|
526
|
|
|
|
19,219
|
|
|
|
|
|
Health
Care—1.3% |
|
|
Akumin,
Inc. 144A 7.000%, 11/1/25(4) |
400
|
|
324
|
Amgen,
Inc. |
|
|
|
5.250%,
3/2/33(1) |
253
|
|
254
|
5.650%,
3/2/53(1) |
100
|
|
100
|
Bausch
Health Cos., Inc. |
|
|
|
144A
6.125%, 2/1/27(4) |
35
|
|
23
|
144A
11.000%, 9/30/28(4) |
86
|
|
65
|
144A
14.000%, 10/15/30(4) |
16
|
|
10
|
Bio-Rad
Laboratories, Inc. 3.700%, 3/15/32(1) |
418
|
|
367
|
Catalent
Pharma Solutions, Inc. 144A 3.500%, 4/1/30(4) |
315
|
|
254
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Cheplapharm
Arzneimittel GmbH 144A 5.500%, 1/15/28(1)(4) |
$ 705
|
|
$ 631
|
Community
Health Systems, Inc. |
|
|
|
144A
6.875%, 4/15/29(4) |
35
|
|
20
|
144A
6.125%, 4/1/30(4) |
405
|
|
219
|
144A
4.750%, 2/15/31(1)(4) |
285
|
|
205
|
DENTSPLY
SIRONA, Inc. 3.250%, 6/1/30(1) |
520
|
|
455
|
Endo
Dac 144A 9.500%, 7/31/27(4)(9) |
94
|
|
5
|
GE
HealthCare Technologies, Inc. 144A 5.857%, 3/15/30(4) |
370
|
|
381
|
HCA,
Inc. 5.500%, 6/1/33 |
440
|
|
439
|
IQVIA,
Inc. 144A 5.700%, 5/15/28(4) |
200
|
|
201
|
Lannett
Co., Inc. 144A 7.750%, 4/15/26(4)(9) |
135
|
|
10
|
Legacy
LifePoint Health LLC 144A 6.750%, 4/15/25(1)(4) |
10
|
|
9
|
Medline
Borrower LP 144A 5.250%, 10/1/29(4) |
205
|
|
175
|
Par
Pharmaceutical, Inc. 144A 7.500%, 4/1/27(4)(10) |
187
|
|
138
|
Surgery
Center Holdings, Inc. |
|
|
|
144A
6.750%, 7/1/25(4) |
211
|
|
209
|
144A
10.000%, 4/15/27(4) |
85
|
|
87
|
Team
Health Holdings, Inc. 144A 6.375%, 2/1/25(4) |
395
|
|
173
|
Teva
Pharmaceutical Finance Netherlands III B.V. |
|
|
|
3.150%,
10/1/26 |
230
|
|
204
|
4.750%,
5/9/27 |
230
|
|
211
|
Universal
Health Services, Inc. 2.650%, 1/15/32(1) |
460
|
|
363
|
Viatris,
Inc. 2.700%, 6/22/30 |
325
|
|
261
|
|
|
|
5,793
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Industrials—1.5%
|
|
|
Alaska
Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 8/15/27(1)(4) |
$ 700
|
|
$ 673
|
Aviation
Capital Group LLC 144A 3.500%, 11/1/27(1)(4) |
605
|
|
540
|
Avolon
Holdings Funding Ltd. 144A 4.375%, 5/1/26(1)(4) |
335
|
|
309
|
BlueLinx
Holdings, Inc. 144A 6.000%, 11/15/29(1)(4) |
250
|
|
211
|
Boeing
Co. (The) |
|
|
|
5.150%,
5/1/30 |
275
|
|
273
|
3.750%,
2/1/50(1) |
205
|
|
151
|
5.930%,
5/1/60(1) |
147
|
|
143
|
British
Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(1)(4) |
480
|
|
405
|
Chart
Industries, Inc. |
|
|
|
144A
7.500%, 1/1/30(1)(4) |
10
|
|
10
|
144A
9.500%, 1/1/31(1)(4) |
255
|
|
267
|
CoStar
Group, Inc. 144A 2.800%, 7/15/30(1)(4) |
593
|
|
486
|
Deluxe
Corp. 144A 8.000%, 6/1/29(4) |
190
|
|
146
|
Global
Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(1)(4) |
460
|
|
388
|
Icahn
Enterprises LP |
|
|
|
6.250%,
5/15/26(1) |
245
|
|
215
|
5.250%,
5/15/27(1) |
40
|
|
33
|
Neptune
Bidco U.S., Inc. 144A 9.290%, 4/15/29(1)(4) |
165
|
|
151
|
OT
Merger Corp. 144A 7.875%, 10/15/29(4) |
180
|
|
105
|
Regal
Rexnord Corp. 144A 6.400%, 4/15/33(4) |
554
|
|
548
|
Ritchie
Bros. Holdings, Inc. 144A 7.750%, 3/15/31(4) |
315
|
|
328
|
Science
Applications International Corp. 144A 4.875%, 4/1/28(1)(4) |
305
|
|
284
|
Sempra
Global 144A 3.250%, 1/15/32(1)(4) |
534
|
|
431
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Industrials—continued
|
|
|
TransDigm,
Inc. 5.500%, 11/15/27(1) |
$ 405
|
|
$ 381
|
VistaJet
Malta Finance plc 144A 9.500%, 6/1/28(4) |
205
|
|
188
|
|
|
|
6,666
|
|
|
|
|
|
Information
Technology—0.8% |
|
|
Booz
Allen Hamilton, Inc. |
|
|
|
144A
3.875%, 9/1/28(1)(4) |
245
|
|
220
|
144A
4.000%, 7/1/29(1)(4) |
275
|
|
243
|
CDW
LLC 3.569%, 12/1/31 |
339
|
|
283
|
Consensus
Cloud Solutions, Inc. |
|
|
|
144A
6.000%, 10/15/26(1)(4) |
75
|
|
68
|
144A
6.500%, 10/15/28(1)(4) |
115
|
|
100
|
Dell
International LLC 8.100%, 7/15/36 |
314
|
|
363
|
Entegris
Escrow Corp. 144A 4.750%, 4/15/29(4) |
370
|
|
346
|
Kyndryl
Holdings, Inc. 3.150%, 10/15/31 |
360
|
|
266
|
Leidos,
Inc. 2.300%, 2/15/31(1) |
710
|
|
554
|
Micron
Technology, Inc. 6.750%, 11/1/29(1) |
270
|
|
282
|
TD
SYNNEX Corp. 2.375%, 8/9/28(1) |
440
|
|
360
|
Viasat,
Inc. 144A 5.625%, 9/15/25(4) |
445
|
|
428
|
|
|
|
3,513
|
|
|
|
|
|
Materials—0.8%
|
|
|
ArcelorMittal
S.A. 6.800%, 11/29/32(1) |
385
|
|
397
|
ASP
Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(4) |
565
|
|
426
|
Avient
Corp. 144A 7.125%, 8/1/30(1)(4) |
65
|
|
66
|
Bayport
Polymers LLC 144A 5.140%, 4/14/32(1)(4) |
470
|
|
428
|
|
Par
Value |
|
Value
|
|
|
|
|
Materials—continued
|
|
|
Cleveland-Cliffs,
Inc. 144A 6.750%, 3/15/26(1)(4) |
$ 180
|
|
$ 182
|
FMG
Resources August 2006 Pty Ltd. 144A 5.875%, 4/15/30(4) |
550
|
|
519
|
Knife
River Holding Co. 144A 7.750%, 5/1/31(4) |
60
|
|
60
|
LSB
Industries, Inc. 144A 6.250%, 10/15/28(1)(4) |
480
|
|
434
|
Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(4) |
70
|
|
69
|
New
Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(4) |
450
|
|
428
|
Taseko
Mines Ltd. 144A 7.000%, 2/15/26(1)(4) |
345
|
|
309
|
Teck
Resources Ltd. 6.125%, 10/1/35 |
250
|
|
254
|
WR
Grace Holdings LLC 144A 5.625%, 8/15/29(4) |
124
|
|
103
|
|
|
|
3,675
|
|
|
|
|
|
Real
Estate—0.7% |
|
|
EPR
Properties 4.750%, 12/15/26(1) |
455
|
|
411
|
GLP
Capital LP |
|
|
|
5.750%,
6/1/28(1) |
277
|
|
267
|
3.250%,
1/15/32(1) |
47
|
|
38
|
Kite
Realty Group Trust 4.750%, 9/15/30(1) |
495
|
|
445
|
MPT
Operating Partnership LP |
|
|
|
4.625%,
8/1/29(1) |
140
|
|
105
|
3.500%,
3/15/31(1) |
270
|
|
182
|
Office
Properties Income Trust 4.500%, 2/1/25(1) |
490
|
|
409
|
Phillips
Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31(1) |
610
|
|
459
|
Service
Properties Trust 4.950%, 2/15/27(1) |
340
|
|
283
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Real
Estate—continued |
|
|
VICI
Properties LP |
|
|
|
4.950%,
2/15/30(1) |
$ 135
|
|
$
126 |
5.125%,
5/15/32(1) |
135
|
|
126
|
144A
4.625%, 6/15/25(1)(4) |
65
|
|
63
|
144A
5.750%, 2/1/27(1)(4) |
190
|
|
187
|
|
|
|
3,101
|
|
|
|
|
|
Utilities—1.0%
|
|
|
CMS
Energy Corp. 4.750%, 6/1/50(1) |
570
|
|
500
|
Electricite
de France S.A. |
|
|
|
144A
6.250%, 5/23/33(4) |
200
|
|
203
|
144A
6.900%, 5/23/53(4) |
365
|
|
375
|
Enel
Finance International N.V. 144A 7.500%, 10/14/32(4) |
260
|
|
287
|
Eskom
Holdings SOC Ltd. 144A 7.125%, 2/11/25(4) |
325
|
|
311
|
Ferrellgas
LP |
|
|
|
144A
5.375%, 4/1/26(1)(4) |
125
|
|
114
|
144A
5.875%, 4/1/29(1)(4) |
130
|
|
108
|
KeySpan
Gas East Corp. 144A 5.994%, 3/6/33(4) |
495
|
|
502
|
NRG
Energy, Inc. 144A 7.000%, 3/15/33(4) |
370
|
|
373
|
Perusahaan
Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(4) |
655
|
|
628
|
Southern
Co. (The) Series 21-A 3.750%, 9/15/51(1) |
523
|
|
444
|
Sunnova
Energy Corp. 144A 5.875%, 9/1/26(4) |
400
|
|
351
|
Vistra
Corp. 144A 8.000% (1)(4)(6) |
190
|
|
177
|
|
|
|
4,373
|
Total
Corporate Bonds and Notes (Identified Cost $82,621) |
|
73,652
|
|
Par
Value |
|
Value
|
|
|
|
|
|
Leveraged
Loans—4.4% |
Aerospace—0.2%
|
|
|
Amentum
Government Services Holdings LLC (3-6 month Term SOFR + 4.000%) 8.764% - 9.033%, 2/15/29(5) |
$ 164
|
|
$ 151
|
Brown
Group Holding LLC (1 month Term SOFR + 2.600%) 7.753%, 6/7/28(5) |
206
|
|
198
|
Kestrel
Bidco, Inc. (3 month Term SOFR + 3.100%) 8.251%, 12/11/26(5) |
184
|
|
170
|
Mileage
Plus Holdings LLC (3 month LIBOR + 5.250%) 10.213%, 6/21/27(5) |
255
|
|
264
|
TransDigm,
Inc. Tranche I (3 month Term SOFR + 3.250%) 8.148%, 8/24/28(5) |
303
|
|
301
|
|
|
|
1,084
|
|
|
|
|
|
Chemicals—0.1%
|
|
|
Ineos
Finance plc 2027 (1 month Term SOFR + 3.850%) 9.003%, 11/8/27(5) |
208
|
|
206
|
Trinseo
Materials Operating SCA 2018 (1 month LIBOR + 2.000%) 7.154%, 9/6/24(5) |
365
|
|
344
|
|
|
|
550
|
|
|
|
|
|
Consumer
Non-Durables—0.2% |
|
|
DS
Parent, Inc. Tranche B (3 month Term SOFR + 5.750%) 10.791%, 12/8/28(5) |
216
|
|
209
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Consumer
Non-Durables—continued |
|
|
Kronos
Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 0.000%, 12/22/26(5)(11) |
$ 365
|
|
$ 349
|
ZEP,
Inc. First Lien (3 month LIBOR + 4.000%) 9.159%, 8/12/24(5) |
325
|
|
274
|
|
|
|
832
|
|
|
|
|
|
Energy—0.3%
|
|
|
Hamilton
Projects Acquiror LLC Tranche B (3 month LIBOR + 4.500%) 9.659%, 6/17/27(5) |
276
|
|
272
|
Medallion
Midland Acquisition LLC (3 month Term SOFR + 3.750%) 8.910%, 10/18/28(5) |
180
|
|
177
|
Oryx
Midstream Services Permian Basin LLC 2023 (1 month Term SOFR + 3.364%) 8.405%, 10/5/28(5) |
368
|
|
361
|
Traverse
Midstream Partners LLC 2023, Tranche B (3 month Term SOFR + 3.850%) 8.726%, 2/16/28(5) |
379
|
|
373
|
|
|
|
1,183
|
|
|
|
|
|
Financials—0.1%
|
|
|
Asurion
LLC Tranche B-9 (1 month LIBOR + 3.250%) 8.404%, 7/31/27(5) |
214
|
|
194
|
Blackhawk
Network Holdings, Inc. First Lien (3 month Term SOFR + 3.000%) 8.264%, 6/15/25(5) |
211
|
|
205
|
Castlelake
Aviation One Designated Activity Co. 2023 (3 month Term SOFR + 2.750%) 7.783%, 10/22/27(5) |
254
|
|
249
|
|
|
|
648
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Food
/ Tobacco—0.2% |
|
|
Del
Monte Foods, Inc. (1 month Term SOFR + 4.350%) 9.448%, 5/16/29(5) |
$ 274
|
|
$ 266
|
Naked
Juice LLC (3 month Term SOFR + 3.350%) 8.248%, 1/24/29(5) |
289
|
|
264
|
Pegasus
Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.250%) 9.336%, 7/12/29(5) |
190
|
|
186
|
Shearer’s
Foods LLC First Lien (1 month Term SOFR + 3.500%) 8.768%, 9/23/27(5) |
189
|
|
183
|
Triton
Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 8.659%, 3/31/28(5) |
180
|
|
171
|
|
|
|
1,070
|
|
|
|
|
|
Forest
Prod / Containers—0.1% |
|
|
Mauser
Packaging Solutions Holding Co. (1 month Term SOFR + 4.000%) 8.993%, 8/14/26(5) |
145
|
|
142
|
Spectrum
Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 8.831%, 1/31/25(5) |
224
|
|
223
|
TricorBraun,
Inc. (1 month Term SOFR + 3.250%) 8.518%, 3/3/28(5) |
181
|
|
172
|
|
|
|
537
|
|
|
|
|
|
Gaming
/ Leisure—0.4% |
|
|
Caesars
Entertainment, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.503%, 2/6/30(5) |
125
|
|
124
|
Carnival
Corp. Tranche B (1 month LIBOR + 3.000%) 8.154%, 6/30/25(5) |
363
|
|
359
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Gaming
/ Leisure—continued |
|
|
ECL
Entertainment LLC Tranche B (1 month Term SOFR + 7.500%) 12.768%, 5/1/28(5) |
$ 227
|
|
$ 227
|
J&J
Ventures Gaming LLC (3 month LIBOR + 4.000%) 9.159%, 4/26/28(5) |
221
|
|
214
|
Playa
Hotels & Resorts Holding B.V. (1 month Term SOFR + 4.250%) 9.316%, 1/5/29(5) |
195
|
|
195
|
Raptor
Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 8.947%, 11/1/26(5) |
114
|
|
113
|
UFC
Holdings LLC Tranche B-3 (3 month LIBOR + 2.750%) 8.050%, 4/29/26(5) |
393
|
|
387
|
|
|
|
1,619
|
|
|
|
|
|
Health
Care—0.5% |
|
|
CHG
Healthcare Services, Inc. First Lien (1 month LIBOR + 3.250%) 8.404%, 9/29/28(5) |
317
|
|
310
|
Gainwell
Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 8.998%, 10/1/27(5) |
183
|
|
174
|
Hunter
Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 9.409%, 8/19/28(5) |
190
|
|
186
|
LifePoint
Health, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 9.023%, 11/16/25(5) |
360
|
|
316
|
Packaging
Coordinators Midco, Inc. Tranche B, First Lien (1 month LIBOR + 3.500%) 8.659%, 11/30/27(5) |
210
|
|
200
|
|
Par
Value |
|
Value
|
|
|
|
|
Health
Care—continued |
|
|
Phoenix
Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 8.404%, 3/5/26(5) |
$ 301
|
|
$ 290
|
Phoenix
Newco, Inc. First Lien (1 month LIBOR + 3.250%) 8.404%, 11/15/28(5) |
129
|
|
124
|
Sotera
Health Holdings LLC (3 month Term SOFR + 3.750%) 8.816%, 12/11/26(5) |
110
|
|
109
|
Sunshine
Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 8.909%, 10/1/26(5) |
171
|
|
167
|
Upstream
Newco, Inc. 2021 (3 month Term SOFR + 4.250%) 9.410%, 11/20/26(5) |
230
|
|
186
|
Viant
Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 8.904%, 7/2/25(5) |
307
|
|
292
|
|
|
|
2,354
|
|
|
|
|
|
Housing—0.1%
|
|
|
Quikrete
Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 8.154%, 3/19/29(5) |
356
|
|
354
|
SRS
Distribution, Inc. |
|
|
|
2021
(1 month LIBOR + 3.500%) 8.654%, 6/2/28(5) |
167
|
|
158
|
2022
(1 month Term SOFR + 3.600%) 8.753%, 6/2/28(5) |
35
|
|
33
|
|
|
|
545
|
|
|
|
|
|
See
Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Information
Technology—0.7% |
|
|
Applied
Systems, Inc. |
|
|
|
2026
(3 month Term SOFR + 4.500%) 9.398%, 9/18/26(5) |
$ 170
|
|
$ 170
|
Second
Lien (3 month Term SOFR + 6.750%) 11.648%, 9/17/27(5) |
208
|
|
207
|
CDK
Global, Inc. (3 month Term SOFR + 4.250%) 9.148%, 7/6/29(5) |
115
|
|
113
|
ConnectWise
LLC (1 month LIBOR + 3.500%) 8.654%, 9/29/28(5) |
108
|
|
103
|
Epicor
Software Corp. Tranche C (1 month Term SOFR + 3.364%) 8.518%, 7/30/27(5) |
193
|
|
188
|
Finastra
USA, Inc. First Lien (2 month LIBOR + 3.500%) 8.655%, 6/13/24(5) |
279
|
|
265
|
Hyland
Software, Inc. 2018 (1 month LIBOR + 3.500%) 8.654%, 7/1/24(5) |
213
|
|
209
|
Indicor
LLC (3 month Term SOFR + 4.500%) 9.398%, 11/22/29(5) |
245
|
|
242
|
Open
Text Corp. (1 month Term SOFR + 3.600%) 8.753%, 1/31/30(5) |
229
|
|
229
|
Project
Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.518%, 3/10/28(5) |
254
|
|
242
|
Proofpoint,
Inc. (1 month LIBOR + 3.250%) 8.404%, 8/31/28(5) |
108
|
|
103
|
RealPage,
Inc. First Lien (1 month LIBOR + 3.000%) 8.154%, 4/24/28(5) |
180
|
|
173
|
|
Par
Value |
|
Value
|
|
|
|
|
Information
Technology—continued |
|
|
Sophia
LP Tranche B (3 month LIBOR + 3.500%) 8.659%, 10/7/27(5) |
$ 247
|
|
$ 241
|
Uber
Technologies, Inc. 2023 (3 month Term SOFR + 2.750%) 7.870% - 8.026%, 3/3/30(5) |
309
|
|
306
|
UKG,
Inc. |
|
|
|
2021,
Second Lien (3 month LIBOR + 5.250%) 10.473%, 5/3/27(5) |
20
|
|
19
|
2021-2,
First Lien (3 month Term SOFR + 3.350%) 8.271%, 5/4/26(5) |
211
|
|
202
|
|
|
|
3,012
|
|
|
|
|
|
Manufacturing—0.2%
|
|
|
Alliance
Laundry Systems LLC Tranche B (1 month Term SOFR + 3.600%) 8.559%, 10/8/27(5) |
184
|
|
181
|
Arcline
FM Holdings LLC |
|
|
|
First
Lien (3 month LIBOR + 4.750%) 9.909%, 6/23/28(5) |
167
|
|
158
|
Second
Lien (3 month LIBOR + 8.250%) 13.409%, 6/25/29(5) |
95
|
|
85
|
Chart
Industries, Inc. (1 month Term SOFR + 3.850%) 8.916%, 3/15/30(5) |
175
|
|
174
|
Safe
Fleet Holdings LLC 2022 (1 month Term SOFR + 3.850%) 8.944%, 2/23/29(5) |
64
|
|
63
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Manufacturing—continued
|
|
|
Star
U.S. Bidco LLC (1 month LIBOR + 4.250%) 9.404%, 3/17/27(5) |
$ 211
|
|
$ 204
|
|
|
|
865
|
|
|
|
|
|
Media
/ Telecom - Cable/Wireless Video—0.1% |
|
|
DIRECTV
Financing LLC (1 month LIBOR + 5.000%) 10.154%, 8/2/27(5) |
246
|
|
233
|
Media
/ Telecom - Diversified Media—0.1% |
|
|
McGraw-Hill
Education, Inc. (1-6 month LIBOR + 4.750%) 9.904% - 9.985%, 7/28/28(5) |
217
|
|
203
|
Neptune
Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.004%, 4/11/29(5) |
220
|
|
196
|
William
Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 7.910%, 5/18/25(5) |
212
|
|
209
|
|
|
|
608
|
|
|
|
|
|
Retail—0.1%
|
|
|
CNT
Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.459%, 11/8/27(5) |
205
|
|
199
|
PetsMart
LLC (1 month Term SOFR + 3.850%) 9.003%, 2/11/28(5) |
166
|
|
164
|
Rising
Tide Holdings, Inc. Tranche A (3 month Term SOFR + 5.000%) 10.264%, 6/1/28(5) |
189
|
|
108
|
|
|
|
471
|
|
|
|
|
|
|
Par
Value |
|
Value
|
|
|
|
|
Service—0.7%
|
|
|
Apex
Group Treasury Ltd. First Lien (3 month LIBOR + 3.750%) 9.074%, 7/27/28(5) |
$ 177
|
|
$ 169
|
Ascend
Learning LLC (1 month Term SOFR + 3.600%) 8.753%, 12/11/28(5) |
284
|
|
255
|
Carlisle
Foodservice Products, Inc. First Lien (1 month LIBOR + 3.000%) 8.154%, 3/20/25(5) |
268
|
|
246
|
Dun
& Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.250%) 8.410%, 2/6/26(5) |
298
|
|
296
|
DXP
Enterprises, Inc. (3 month Term SOFR + 5.250%) 10.444%, 12/23/27(5) |
205
|
|
204
|
Garda
World Security Corp. Tranche B-2 (1 month Term SOFR + 4.350%) 9.444%, 10/30/26(5) |
75
|
|
74
|
Grab
Holdings, Inc. (1 month LIBOR + 4.500%) 9.660%, 1/29/26(5) |
127
|
|
126
|
Kuehg
Corp. First Lien (3 month LIBOR + 3.750%) 0.000%, 5/23/30(5)(11) |
275
|
|
262
|
NAB
Holdings LLC First Lien (3 month Term SOFR + 3.150%) 8.048%, 11/23/28(5) |
188
|
|
184
|
Peraton
Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.003%, 2/1/28(5) |
358
|
|
341
|
PODS
LLC (1 month Term SOFR + 3.114%) 8.268%, 3/31/28(5) |
207
|
|
198
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Par
Value |
|
Value
|
|
|
|
|
Service—continued
|
|
|
Sedgwick
Claims Management Services, Inc. 2023 (1 month Term SOFR + 3.750%) 8.903%, 2/24/28(5) |
$ 365
|
|
$ 354
|
St.
George’s University Scholastic Services LLC (1 month Term SOFR + 3.350%) 8.503%, 2/10/29(5) |
203
|
|
199
|
Tmf
Group Holdco B.V. Tranche B (3 month LIBOR + 3.750%) 0.000%, 5/5/28(5)(11) |
125
|
|
123
|
Weld
North Education LLC 2021 (1 month LIBOR + 3.750%) 8.910%, 12/21/27(5) |
288
|
|
283
|
|
|
|
3,314
|
|
|
|
|
|
Transportation
- Automotive—0.2% |
|
|
American
Axle & Manufacturing, Inc. Tranche B, First Lien (1-6 month Term SOFR + 3.600%) 8.436% - 8.654%, 12/13/29(5) |
293
|
|
288
|
Clarios
Global LP 2023 (1 month Term SOFR + 3.750%) 8.903%, 5/6/30(5) |
315
|
|
312
|
PAI
Holdco, Inc. Tranche B (3 month LIBOR + 3.750%) 9.023%, 10/28/27(5) |
163
|
|
150
|
|
|
|
750
|
|
|
|
|
|
Utilities—0.1%
|
|
|
Brookfield
WEC Holdings, Inc. (1 month LIBOR + 2.750%) 7.904%, 8/1/25(5) |
207
|
|
204
|
Generation
Bridge II LLC |
|
|
|
Tranche
B (1 month Term SOFR + 5.000%) 10.268%, 2/23/29(5) |
91
|
|
91
|
|
Par
Value |
|
Value
|
|
|
|
|
Utilities—continued
|
|
|
Tranche
C (1 month Term SOFR + 5.000%) 10.268%, 2/23/29(5) |
$ 11
|
|
$
11 |
|
|
|
306
|
Total
Leveraged Loans (Identified Cost $20,591) |
|
19,981
|
|
Shares
|
|
Preferred
Stocks—0.5% |
Financials—0.4%
|
|
Capital
Farm Credit ACA Series 1 144A, 5.000%(1)(4) |
310
(12) |
290
|
JPMorgan
Chase & Co. Series HH, 4.600%(1) |
285
(12) |
263
|
MetLife,
Inc. Series D, 5.875%(1) |
329
(12) |
299
|
Truist
Financial Corp. Series Q, 5.100% |
375
(12) |
330
|
Zions
Bancorp NA, 6.950% |
17,485
|
392
|
|
|
1,574
|
|
|
|
|
Industrials—0.1%
|
|
General
Electric Co. Series D, (3 month LIBOR + 3.330%), 8.196%(1)(5) |
622
(12) |
619
|
Total
Preferred Stocks (Identified Cost $2,405) |
2,193
|
|
|
|
|
Common
Stocks—106.5% |
Communication
Services—2.4% |
|
Cellnex
Telecom S.A. |
268,093
|
10,863
|
Consumer
Discretionary—0.0% |
|
MYT
Holding LLC Class B(7)(13) |
22,362
|
10
|
NMG
Parent LLC(13) |
368
|
46
|
|
|
56
|
|
|
|
|
Energy—14.5%
|
|
Cheniere
Energy, Inc.(1) |
132,439
|
18,511
|
DT
Midstream, Inc.(1) |
128,813
|
5,856
|
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
|
Shares
|
|
Value
|
|
|
|
|
Energy—continued
|
|
|
Enbridge,
Inc.(1) |
294,425
|
|
$ 10,364
|
Pembina
Pipeline Corp.(1) |
299,580
|
|
9,070
|
Targa
Resources Corp.(1) |
130,247
|
|
8,863
|
TC
Energy Corp.(1) |
202,458
|
|
7,884
|
Williams
Cos., Inc. (The)(1) |
188,275
|
|
5,396
|
|
|
|
65,944
|
|
|
|
|
|
Industrials—28.5%
|
|
|
Aena
SME S.A.(1) |
126,746
|
|
19,807
|
Atlas
Arteria Ltd.(1) |
2,936,110
|
|
12,223
|
Auckland
International Airport Ltd.(1)(13) |
2,121,549
|
|
11,341
|
Canadian
National Railway Co.(1) |
42,775
|
|
4,822
|
Canadian
Pacific Kansas City Ltd.(1) |
118,253
|
|
9,011
|
Ferrovial
S.A. |
248,920
|
|
7,703
|
Flughafen
Zurich AG Registered Shares(1) |
47,961
|
|
9,247
|
Norfolk
Southern Corp.(1) |
29,755
|
|
6,194
|
Transurban
Group(1) |
3,436,204
|
|
33,169
|
Union
Pacific Corp. |
42,201
|
|
8,124
|
Vinci
S.A.(1) |
67,501
|
|
7,671
|
|
|
|
129,312
|
|
|
|
|
|
Real
Estate—9.0% |
|
|
American
Tower Corp.(1) |
134,122
|
|
24,737
|
Crown
Castle, Inc.(1) |
143,013
|
|
16,191
|
|
|
|
40,928
|
|
|
|
|
|
Utilities—52.1%
|
|
|
Ameren
Corp.(1) |
98,388
|
|
7,976
|
American
Electric Power Co., Inc.(1) |
163,390
|
|
13,581
|
APA
Group(1) |
1,306,743
|
|
8,534
|
Atmos
Energy Corp.(1) |
70,922
|
|
8,176
|
CenterPoint
Energy, Inc.(1) |
442,892
|
|
12,494
|
CMS
Energy Corp.(1) |
161,931
|
|
9,389
|
Dominion
Energy, Inc.(1) |
276,837
|
|
13,919
|
DTE
Energy Co.(1) |
78,851
|
|
8,484
|
EDP
- Energias de Portugal S.A.(1) |
1,397,947
|
|
6,817
|
Emera,
Inc.(1) |
246,171
|
|
10,150
|
Entergy
Corp.(1) |
71,889
|
|
7,060
|
Eversource
Energy(1) |
93,488
|
|
6,472
|
|
Shares
|
|
Value
|
|
|
|
|
Utilities—continued
|
|
|
Iberdrola
S.A. |
485,810
|
|
$
5,920 |
National
Grid plc |
1,227,066
|
|
16,882
|
NextEra
Energy, Inc.(1) |
381,269
|
|
28,008
|
NiSource,
Inc.(1) |
271,843
|
|
7,310
|
Orsted
AS(1) |
93,711
|
|
8,205
|
Public
Service Enterprise Group, Inc.(1) |
120,725
|
|
7,213
|
Sempra
Energy(1) |
123,997
|
|
17,797
|
Severn
Trent plc |
243,891
|
|
8,413
|
Southern
Co. (The)(1) |
154,679
|
|
10,789
|
Xcel
Energy, Inc.(1) |
194,575
|
|
12,704
|
|
|
|
236,293
|
Total
Common Stocks (Identified Cost $501,705) |
|
483,396
|
|
|
|
|
|
Rights—0.0%
|
Utilities—0.0%
|
|
|
Vistra
Energy Corp., 12/29/49(7)(13) |
2,084
|
|
2
|
Total
Rights (Identified Cost $2) |
|
2
|
Total
Long-Term Investments—145.0% (Identified Cost $692,860) |
|
658,228 |
|
|
|
|
|
TOTAL
INVESTMENTS—145.0% (Identified Cost $692,860) |
|
$
658,228 |
Other
assets and liabilities, net—(45.0)% |
|
(204,161)
|
NET
ASSETS—100.0% |
|
$
454,067 |
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
Abbreviations:
|
ABS
|
Asset-Backed
Securities |
ACA
|
American
Capital Access Financial Guarantee Corp. |
BAM
|
Build America
Municipal Insured |
DAC
|
Designated
Activity Company |
JSC
|
Joint Stock
Company |
LIBOR
|
London
Interbank Offered Rate |
LLC
|
Limited
Liability Company |
LLLP
|
Limited
Liability Limited Partnership |
LP
|
Limited
Partnership |
NA
|
National
Association |
SOFR
|
Secured
Overnight Financing Rate |
Footnote
Legend: |
(1) |
All
or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $ 396,628. |
(2) |
Security
in default; no interest payments are being received. |
(3) |
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. |
(4) |
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 May 31, 2023, these securities amounted to a value of
$95,734 or 21.1% of net assets. |
(5) |
Variable
rate security. Rate disclosed is as of May 31, 2023. 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. |
(6) |
No
contractual maturity date. |
(7) |
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 after the Schedule of Investments. |
(8) |
Amount
is less than $500 (not in thousands). |
(9) |
Security
in default; no interest payments are being received during the bankruptcy proceedings. |
(10) |
Security
in default, interest payments are being received during the bankruptcy proceedings. |
(11) |
This loan
will settle after May 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(12) |
Value
shown as par value. |
(13) |
Non-income
producing. |
For information regarding the abbreviations, see the Key
Investment Terms starting on page 9.
See Notes to Financial Statements
Virtus Total Return Fund
Inc.
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
May 31, 2023
($ reported in
thousands)
The following table summarizes the value of the
Fund’s investments as of May 31, 2023, based on the inputs used to value them (See Security Valuation Note 2A in the Notes to Financial Statements):
|
Total
Value at May 31, 2023 |
|
Level
1 Quoted Prices |
|
Level
2 Significant Observable Inputs |
|
Level
3 Significant Unobservable Inputs |
Assets:
|
|
|
|
|
|
|
|
Debt
Instruments: |
|
|
|
|
|
|
|
Asset-Backed
Securities |
$
25,163 |
|
$
— |
|
$
25,163 |
|
$—
|
Corporate
Bonds and Notes |
73,652
|
|
—
|
|
73,651
|
|
1
|
Foreign
Government Securities |
11,308
|
|
—
|
|
11,308
|
|
—
|
Leveraged
Loans |
19,981
|
|
—
|
|
19,981
|
|
—
|
Mortgage-Backed
Securities |
27,994
|
|
—
|
|
27,994
|
|
—
|
Municipal
Bonds |
2,180
|
|
—
|
|
2,180
|
|
—
|
U.S.
Government Securities |
12,359
|
|
—
|
|
12,359
|
|
—
|
Equity
Securities: |
|
|
|
|
|
|
|
Common
Stocks |
483,396
|
|
483,340
|
|
46
|
|
10
|
Preferred
Stocks |
2,193
|
|
392
|
|
1,801
|
|
—
|
Rights
|
2
|
|
—
|
|
—
|
|
2
|
Total
Investments |
$658,228
|
|
$483,732
|
|
$174,483
|
|
$13
|
Security held by the Fund
with an end of period value of $46 was transferred from Level 3 to Level 2 due to an increase in trading activities during the period.
Some of the Fund’s investments that were
categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, 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 roll-forward of Level 3 securities and assumptions are not shown for the period ended May 31, 2023.
See Notes to
Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
May 31, 2023
(Reported in thousands except shares and per share amounts)
Assets
|
|
Investment in securities at value (Identified cost
$692,860)
|
$
658,228 |
Foreign currency at value (cost
$—(a))
|
—
(a) |
Cash
|
1,955
|
Receivables
|
|
Investment securities sold
|
739
|
Dividends and
interest
|
2,849
|
Tax reclaims
|
407
|
Prepaid Directors’
retainer
|
3
|
Prepaid expenses and other assets (Note
3)
|
199
|
Total
assets
|
664,380
|
Liabilities
|
|
Borrowings (Note
7)
|
207,000
|
Payables
|
|
Investment securities
purchased
|
1,180
|
Interest on borrowings (Note
7)
|
1,074
|
Investment advisory
fees
|
404
|
Director deferred compensation plan (Note
3)
|
169
|
Professional fees
|
80
|
Administration and accounting
fees
|
62
|
Other accrued
expenses
|
344
|
Total
liabilities
|
210,313
|
Net
Assets
|
$
454,067 |
Net
Assets Consist of: |
|
Common stock ($0.001 par value; 500,000,000 shares
authorized)
|
$
69 |
Capital paid in on shares of beneficial
interest
|
515,747
|
Total distributable earnings (accumulated
losses)
|
(61,749)
|
Net
Assets
|
$
454,067 |
Common Shares
Outstanding
|
68,578,328
|
Net Asset Value Per
Share(b)
|
$
6.62 |
(a) |
Amount
is less than $500 (not in thousands). |
(b) |
Net
Asset Value Per Share is calculated using unrounded net assets. |
See Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
STATEMENT OF OPERATIONS (Unaudited)
SIX MONTHS ENDED May 31, 2023
($ reported in thousands)
Investment
Income |
|
Dividends
|
$
8,813 |
Interest
|
4,986
|
Foreign taxes withheld
|
(509)
|
Total investment
income
|
13,290
|
Expenses
|
|
Investment advisory
fees
|
2,435
|
Administration and accounting
fees
|
377
|
Printing fees and expenses
|
157
|
Directors’ fees and
expenses
|
62
|
Transfer agent fees and
expenses
|
61
|
Professional fees
|
57
|
Custodian fees
|
12
|
Miscellaneous
expenses
|
53
|
Total expenses before interest
expense
|
3,214
|
Interest expense on borrowings (Note
7)
|
5,664
|
Total expenses after interest
expense
|
8,878
|
Net investment income
(loss)
|
4,412
|
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Net
realized gain (loss) from: |
|
Investments
|
3,616
|
Foreign currency
transactions
|
7
|
Net
change in unrealized appreciation (depreciation) on: |
|
Investments
|
(36,736)
|
Foreign currency
transactions
|
7
|
Net realized and unrealized gain (loss) on
investments
|
(33,106)
|
Net increase (decrease) in net assets resulting from
operations
|
$(28,694)
|
See Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
STATEMENTS OF CHANGES IN NET ASSETS
($ reported in
thousands)
|
Six
Months Ended May 31, 2023 (Unaudited) |
|
Year
Ended November 30, 2022 |
Increase
(Decrease) In Net Assets From Operations |
|
|
|
Net investment income
(loss)
|
$
4,412 |
|
$
9,871 |
Net realized gain
(loss)
|
3,623
|
|
18,669
|
Net change in unrealized appreciation
(depreciation)
|
(36,729)
|
|
(34,350)
|
Increase (decrease) in net assets resulting from
operations
|
(28,694)
|
|
(5,810)
|
From
Dividends and Distributions to Shareholders |
|
|
|
Net investment income and net realized
gains
|
(32,918)
(1) |
|
(24,057)
|
Return of
capital
|
—
|
|
(25,365)
|
Dividends and Distributions to
Shareholders
|
(32,918)
|
|
(49,422)
|
From
Capital Share Transactions |
|
|
|
Net proceeds from the sale of shares during rights offering (net of expenses of $750) (Note
9)
|
—
|
|
140,617
|
Reinvestment of distributions resulting in the issuance of common stock (0 and 443,426 shares,
respectively)
|
—
|
|
3,833
|
Increase (decrease) in net assets from capital
transactions
|
—
|
|
144,450
|
Net increase (decrease) in net
assets
|
(61,612)
|
|
89,218
|
Net
Assets |
|
|
|
Beginning of
period
|
515,679
|
|
426,461
|
End of
period
|
$454,067
|
|
$515,679
|
(1) |
Please
note that the tax status of the Fund’s distributions is determined at the end of the taxable year. Also refer to the inside front cover for information on the Managed Distribution Plan and see Notes to the Financial Statements.
|
See Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
STATEMENT OF CASH FLOWS (Unaudited)
SIX MONTHS ENDED May 31,
2023
($ reported in thousands)
Increase
(Decrease) in cash |
|
Cash
flows provided by (used for) operating activities: |
|
Net increase (decrease) in net assets resulting from operations
|
$
(28,694) |
Adjustments
to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: |
|
Proceeds from sales and paydowns of long-term investments
|
141,585
|
(Increase) Decrease in investment securities sold receivable
|
683
|
Purchases of long-term investments
|
(117,044)
|
Increase (Decrease) in investment securities purchased payable
|
(690)
|
Net (purchases) or sales of short-term
investments
|
5,480
|
Net change in unrealized (appreciation)/depreciation on
investments
|
36,736
|
Net realized (gain)/loss on investments
|
(3,616)
|
Return of capital distributions on
investments
|
(149)
|
Amortization of premium and accretion of discounts on investments
|
(84)
|
(Increase) Decrease in tax reclaims receivable
|
(110)
|
(Increase) Decrease in dividends and interest receivable
|
(20)
|
(Increase) Decrease in prepaid expenses and other
assets
|
(30)
|
(Increase) Decrease in prepaid Directors’ retainer
|
(1)
|
Increase (Decrease) in interest payable on borrowings
|
272
|
Increase (Decrease) in affiliated expenses
payable
|
6
|
Increase (Decrease) in non-affiliated expenses
payable
|
(81)
|
Cash provided by (used for) operating
activities
|
34,243
|
Cash
provided by (used for) financing activities: |
|
Cash distributions paid to shareholders
|
(32,918)
|
Cash provided by (used for) financing
activities
|
(32,918)
|
Net increase (decrease) in
cash
|
1,325
|
Cash and foreign currency at beginning of
period
|
630
|
Cash and foreign currency at end of
period
|
$
1,955 |
Supplemental
cash flow information: |
|
Cash paid during the period for interest expense on
borrowings
|
$
5,392 |
|
|
Reconcilation
of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: |
|
Cash
|
$
1,955 |
Foreign currency at
value
|
—
(a) |
|
$
1,955 |
|
|
(a) Amount is less than $500 (not in thousands). |
|
See Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Six
Months Ended May 31, 2023 (Unaudited) |
|
Year
Ended November 30, |
|
2022
|
|
2021
|
|
2020
|
|
2019
(1) |
PER
SHARE DATA: |
|
|
|
|
|
|
|
|
|
Net asset value, beginning of
period
|
$
7.52 |
|
$
8.92 |
|
$
9.31 |
|
$
10.33 |
|
$
11.01 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income
(loss)(2)
|
0.06
|
|
0.19
|
|
0.22
|
|
0.25
|
|
0.24
|
Net realized and unrealized gain
(loss)
|
(0.48)
|
|
(0.37)
|
|
0.35
|
|
(0.11)
|
|
0.52
|
Payment from
affiliate
|
—
|
|
—
|
|
—
|
|
—
|
|
—
(3) |
Total from investment
operations
|
(0.42)
|
|
(0.18)
|
|
0.57
|
|
0.14
|
|
0.76
|
Dividends
and Distributions to Shareholders: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.48)
|
|
(0.47)
|
|
(0.24)
|
|
(0.27)
|
|
(0.31)
|
Return of
capital
|
—
|
|
(0.49)
|
|
(0.72)
|
|
(0.89)
|
|
(1.13)
|
Total dividends and distributions to
shareholders
|
(0.48)
|
|
(0.96)
|
|
(0.96)
|
|
(1.16)
|
|
(1.44)
|
Fund
Share Transactions (Note 9) |
|
|
|
|
|
|
|
|
|
Dilutive effect on net asset value as a result of rights
offering(4)
|
—
|
|
(0.26)
|
|
—
|
|
—
|
|
—
|
Net asset value, end of
period
|
$
6.62 |
|
$
7.52 |
|
$
8.92 |
|
$
9.31 |
|
$
10.33 |
Market value, end of
period(5)
|
$
6.05 |
|
$
6.95 |
|
$
9.37 |
|
$
8.41 |
|
$
10.98 |
Total return, net asset value(6),
(7)
|
(5.22)%
|
|
(1.45)%
|
|
6.36%
|
|
3.25%
|
|
16.67%
|
Total return, market value(6),
(7)
|
(6.28)%
|
|
(16.43)%
(8) |
|
23.68%
|
|
(12.25)%
|
|
41.67%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
|
|
|
|
|
|
|
|
Ratio of net expenses after interest expense to average net assets(9),
(10)
|
3.63%
|
|
2.26%
|
|
1.73%
|
|
2.05%
|
|
2.99%
(11) |
Ratio of total expenses after interest expense to average net assets(9),
(10)
|
3.63%
|
|
2.26%
|
|
1.73%
|
|
2.05%
|
|
2.99%
(11) |
Ratio of net investment income (loss) to average net
assets(9)
|
1.80%
|
|
2.30%
|
|
2.34%
|
|
2.73%
|
|
2.20%
(11) |
Portfolio turnover
rate(6)
|
17%
|
|
47%
|
|
44%
|
|
46%
|
|
110%
(12) |
Net assets, end of period
(000’s)
|
$454,067
|
|
$515,679
|
|
$426,461
|
|
$441,552
|
|
$487,899
|
Borrowings, end of period
(000’s)
|
$207,000
|
|
$207,000
|
|
$159,750
|
|
$159,750
|
|
$184,750
|
Asset coverage, per $1,000 principal amount of
borrowings(13)
|
$
3,194 |
|
$
3,491 |
|
$
3,670 |
|
$
3,764 |
|
$
3,641 |
See
Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
|
Year
Ended November 30, 2018(1) |
|
|
PER
SHARE DATA: |
|
Net asset value, beginning of
period
|
$
13.98 |
Income
(loss) from investment operations: |
|
Net investment income
(loss)(2)
|
0.34
|
Net realized and unrealized gain
(loss)
|
(1.81)
|
Total from investment
operations
|
(1.47)
|
Dividends
and Distributions to Shareholders: |
|
Net investment
income
|
(0.31)
|
Net realized
gains
|
(0.09)
|
Return of
capital
|
(1.10)
|
Total dividends and distributions to
shareholders
|
(1.50)
|
Fund
Share Transactions (Note 9) |
|
Dilutive effect on net asset value as a result of rights
offering(4)
|
—
|
Net asset value, end of
period
|
$
11.01 |
Market value, end of
period(5)
|
$
9.64 |
Total return, net asset value(6),
(7)
|
(10.17)%
|
Total return, market value(6),
(7)
|
(17.51)%
|
RATIOS/SUPPLEMENTAL
DATA: |
|
Ratio of net expenses after interest expense to average net assets(9),
(10)
|
2.61%
|
Ratio of total expenses after interest expense to average net assets(9),
(10)
|
2.70%
|
Ratio of net investment income (loss) to average net
assets(9)
|
2.75%
|
Portfolio turnover
rate(6)
|
46%
|
Net assets, end of period
(000’s)
|
$227,954
|
Borrowings, end of period
(000’s)
|
$
84,250 |
Asset coverage, per $1,000 principal amount of
borrowings(13)
|
$
3,706 |
(1) |
On
November 18, 2019, Virtus Total Return Inc. (ZF) was reorganized into the Fund. The net asset values and other per share information for periods prior to the reorganization on November 18, 2019 were revised to reflect the share conversion ratio from
the reorganization of 1.039518. |
(2) |
Calculated
using average shares outstanding. |
(3) |
Amount
is less than $0.005 per share. |
(4) |
Shares
were sold at a 5% discount from a 5-day average market price from 9/12/22 to 9/16/22. |
(5) |
Closing
Price – New York Stock Exchange. |
(6) |
Not
annualized for periods less than one year. |
(7) |
Total return
on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be
reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected.
Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the
beginning and ending values. |
(8) |
Total return
on market value includes the dilutive effect of the 2022 rights offering. Without this effect, the total market return would have been (16.12%). |
(9) |
Annualized
for periods less than one year. |
(10) |
Ratio
of total expenses, before interest expense on borrowings, was 1.31% for the six months ended May 31, 2023, and 1.32%, 1.34%, 1.38%, 1.79% and 1.63% for the years ended November 30, 2022, 2021, 2020, 2019 and 2018, respectively. |
See
Notes to Financial Statements
VIRTUS TOTAL RETURN FUND
INC.
FINANCIAL HIGHLIGHTS (Continued)
SELECTED PER SHARE DATA AND RATIOS FOR A SHARE OUTSTANDING
THROUGHOUT EACH PERIOD
(11) |
The
Fund incurred certain non-recurring merger costs in 2019. When excluding these costs, the ratio of total expenses after interest expense and before expense waivers to average net assets would be 2.83%, the ratio of net expenses to average net assets
would be 2.83% and the ratio of net investment income (loss) to average net assets would be 2.36%. |
(12) |
Portfolio
turnover increased due to repositioning of the portfolio related to the reorganization on November 18, 2019. |
(13) |
Represents
value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
See Notes to Financial Statements
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited)
May 31, 2023
Note 1. Organization
Virtus Total Return Fund Inc. (the
“Fund”) is a closed-end, diversified management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund was incorporated under the laws of the State of Maryland on July
21, 1988. The Fund’s investment objectives are outlined in the Manager’s Discussion of Fund Performance pages.
Note 2. Significant Accounting Policies
The Fund is an investment company that
follows the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its financial statements. 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, 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 |
|
The
Fund’s Board of Directors has designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. 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 into or out of Level 3 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 Investment Adviser’s 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. Illiquid, restricted equity
securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and 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
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
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 American Depositary Receipts, financial futures, ETFs, 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 instruments,
including convertible bonds, and 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, activity of the underlying equities, 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 instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options, that
are actively traded are valued at the last posted settlement price from the exchange where they are principally traded 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 and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is 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.
B.
|
Security Transactions and
Investment Income |
|
Security
transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date or, in the case of
certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective |
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
|
interest method. Premiums on
callable debt instruments are amortized to interest income to the earliest call date using the effective interest method. |
|
Any distributions from
underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. |
|
Dividend income from REITs is
recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction
to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the
distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. |
C.
|
Income Taxes |
|
It is the Fund’s
intention to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income and capital gains, if any, to its shareholders. Therefore,
no provision for federal income taxes or excise taxes has been made. |
|
The Fund may be subject to
foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that
exist in the markets in which it invests. |
|
Management of the Fund has
concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a
period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. |
D.
|
Distributions to Shareholders
|
|
Distributions are recorded by
the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. |
|
The Fund has a Managed
Distribution Plan which currently provides for the Fund to make a monthly distribution of $0.08 per share. Distributions may represent earnings from net investment income, realized capital gains, or, if necessary, return of capital. Shareholders
should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed Distribution Plan. |
E.
|
Foreign Currency Transactions
|
|
Non-U.S.
investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at
the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise,
the gain or loss |
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
|
resulting from a change in
currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income instruments, the Fund bifurcates that portion of the results of operations arising from changes in
foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency transactions. For
equity securities, the Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such
fluctuations are included with the net realized and unrealized gain or loss on investments. |
F.
|
Payment-In-Kind Securities
|
|
The Fund may invest in
payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet
current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. |
G.
|
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). When-issued or forward commitments enable 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 when-issued and forward commitment 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. |
H.
|
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 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. |
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
|
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, SOFR, 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. |
|
The Fund may invest in both
secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain financial metrics. The lack of financial maintenance covenants in covenant lite loans
increases the risk that the Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. |
I.
|
Expenses
|
|
Expenses incurred together by
the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to the Fund and each such other fund, or an alternative allocation method, can be more
appropriately used. |
|
In addition to the net annual
operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. |
J.
|
Cash and Cash Equivalents
|
|
Cash and
cash equivalents include deposits held at financial institutions, which are available for the Fund’s use with no restrictions, and are inclusive of dollar denominated and foreign currency. |
Note 3. Investment Advisory Fees and Related Party
Transactions
($ reported in
thousands)
A.
|
Investment Adviser |
|
Virtus Investment Advisers,
Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations
of the Fund, including oversight of the Fund’s subadvisers. |
|
As
compensation for its services to the Fund, the Adviser receives a fee at an annual rate of 0.70% of the Fund’s average daily Managed Assets, which is calculated daily and paid monthly. “Managed Assets” is defined as the value of
the total assets of the Fund |
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
|
minus the sum of all accrued
liabilities of the Fund (other than the aggregate amount of any outstanding borrowings or other indebtedness, entered into for the purpose of leverage). |
B.
|
Subadvisers
|
|
Duff & Phelps Investment
Management Co., an indirect, wholly-owned subsidiary of Virtus, is the subadviser of the equity portion of the Fund’s portfolio. Newfleet Asset Management, a division of Virtus Fixed Income Advisers, LLC, an indirect, wholly-owned subsidiary
of Virtus, the subadviser of the fixed income portion of the Fund’s portfolio. For the period, these two subadvisers were, in the aggregate, responsible for the day-to-day portfolio management of the Fund for which they were each paid a fee by
the Adviser. |
C.
|
Administration Services
|
|
Virtus Fund Services, LLC, an
indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Fund. For the services provided by the administrator under the Administration Agreement, the Fund pays the administrator an asset-based fee calculated on the Fund’s
average daily Managed Assets. This fee is calculated daily and paid monthly. |
|
For the six months ended May
31, 2023, the Fund incurred administration fees totaling $348 which are included in the Statement of Operations within the line item “Administration and accounting fees.” |
D.
|
Directors’ Fees
|
|
For the six months ended May
31, 2023, the Fund incurred Directors’ fees totaling $56 which are included in the Statement of Operations within the line item “Directors’ fees and expenses.” |
E.
|
Investments with Affiliates
|
|
The Fund is permitted to
purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another
fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as
defined under the procedures, each transaction is effected at the current market price. |
|
During the six months ended
May 31, 2023, the Fund did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. |
F.
|
Director Deferred Compensation
Plan |
|
The Fund
provides a deferred compensation plan for its Directors who receive compensation from the Fund. Under the deferred compensation plan, Directors may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Fund, and
then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Directors. Investments in such instruments are included in “Prepaid expenses and
other assets” in the Statement of Assets and Liabilities at May 31, 2023. |
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
Note 4. Purchases and Sales of Securities
($ reported in thousands)
Purchases and sales of securities (excluding
U.S. government and agency securities, and short-term securities) during the six months ended May 31, 2023, were as follows:
Purchases
|
|
Sales
|
$96,971
|
|
$122,754
|
Purchases and
sales of long-term U.S. government and agency securities during the six months ended May 31, 2023, were as follows:
Purchases
|
|
Sales
|
$20,073
|
|
$18,831
|
Note 5. Federal Income Tax
Information
($ reported in
thousands)
At May 31, 2023, the
approximate aggregate cost basis and the unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
|
Federal
Tax Cost |
|
Unrealized
Appreciation |
|
Unrealized
(Depreciation) |
|
Net
Unrealized Appreciation (Depreciation) |
|
$693,858
|
|
$17,588
|
|
$(53,218)
|
|
$(35,630)
|
Note 6. Credit and Market
Risk and Asset Concentration
In July
2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced the intention to phase out the use of LIBOR by the end of 2021. However, after subsequent announcements by the FCA, the LIBOR administrator and other
regulators, certain of the most widely used LIBORs are expected to continue until June 30, 2023. The ICE Benchmark Administration Limited, which is regulated and authorized by FCA, and the administrator of LIBOR, ceased publishing certain LIBOR
settings on December 31, 2021. On April 3, 2023, the FCA announced its decision to require LIBOR’s administrator to continue to publish the 1-month, 3-month, and 6-month U.S. dollar settings under an unrepresentative synthetic methodology
until September 30, 2024. On March 15, 2022, the Adjustable Interest Act (LIBOR) Act (the “LIBOR Act”) was enacted into law which directs the Federal Reserve Board, as a fallback mechanism, to identify benchmark rates based on SOFR that
will replace LIBOR in certain financial contracts after June 30, 2023. On December 16, 2022, the Federal Reserve adopted regulations implementing the LIBOR Act. The Fund may be exposed to financial instruments tied to LIBOR to determine payment
obligations, financing terms, hedging strategies or investment value. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including the Fund.
Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly
transition to an alternative reference rate is not
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
completed in a timely manner. It remains uncertain the
effects such changes will have on the Fund, issuers of instruments in which the Fund invests, and the financial markets generally.
Local, regional or global events such as war
or military conflict, acts of terrorism, the spread of infectious illness or other public health issue, recessions, or other events could have a significant impact on the Fund and its investments, including hampering the ability of the Fund’s
portfolio manager(s) to invest the Fund’s assets as intended.
Emerging market countries typically have
economic and political systems that are less fully developed, and can be expected to be less stable than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or
deflation. Since these markets are often small, they may be more likely to suffer sharp and frequent price changes or long-term price depression because of adverse publicity, investor perceptions or the actions of a few large investors. They may
also have policies that restrict investment by foreigners, or that prevent foreign investors from withdrawing their money at will.
Certain emerging markets may also face other
significant internal or external risks, including the risk of war and civil unrest. Each of these factors can affect the value and liquidity of the assets of the Fund. Failure to generate adequate earnings from foreign trade would make it difficult
for an emerging market country to service foreign debt. Disruptions resulting from social and political factors may cause the securities markets of emerging market countries to close. If this were to occur, the liquidity and value of the
Fund’s assets invested in corporate debt obligations of emerging market companies would decline.
The imposition of sanctions, exchange
controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody,
may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For
example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned
country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other
markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance.
Sanctions threatened or imposed may result
in a decline in the value and liquidity of the Fund’s assets. The securities of the Fund may be deemed to have a zero value. The Fund may make investments that are illiquid or that may become less liquid in response to market developments or
adverse investor perceptions. Illiquid investments may be more difficult to value. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute
investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for
liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
activity. These risks may be more pronounced in connection
with the Fund’s investments in securities of issuers located in emerging market countries.
For all these reasons, investments in
emerging markets may be considered speculative. To the extent that the Fund invests a significant portion of its assets in a particular emerging market, the Fund will be more vulnerable to financial, economic, political and other developments in
that country, and conditions that negatively impact that country will have a greater impact on the Fund as compared with a fund that does not have its holdings concentrated in a particular country.
High-yield/high-risk securities typically
entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk
securities may be complex, and as a result, it may be more difficult for the Adviser and/or subadvisers to accurately predict risk.
The Fund may invest a high percentage of its
assets in specific sectors of the market in the pursuit of its investment objectives. Fluctuations in these sectors of concentration may have a greater impact on the Fund, positive or negative, than if the Fund did not concentrate its investments in
such sectors.
The Fund borrows through
its line of credit for the purpose of leveraging its portfolio. While leverage presents opportunities for increasing the Fund’s total return, it also has the effect of potentially increasing losses. Accordingly, any event which adversely
affects the value of an investment held by the Fund would be magnified to the extent the Fund is leveraged.
At May 31, 2023, the Fund held securities
issued by various companies in specific sectors as detailed below:
Sector
|
|
Percentage
of Total Investments |
Utilities
|
|
36%
|
Note 7. Borrowings
($ reported in thousands)
Effective December 17, 2020, the Fund
entered into a Master Margin Loan Agreement (the “Agreement”) with a commercial bank (the “Bank”) that allows the Fund to borrow cash from the Bank, up to a limit of $235,000 (the “Commitment Amount”). Cash
borrowings under the Agreement are secured by assets of the Fund that are held with the Fund’s custodian in a separate account. Interest is charged at the Overnight Bank Funding Rate plus an additional percentage rate on the amount borrowed,
and commitment fees are charged on the undrawn balance, if less than 75% of the Commitment Amount is borrowed at a given time. For the six months ended May 31, 2023, the Fund had average borrowings of $207,000 with an average interest rate of 5.41%.
For the same period, the interest expense and commitment fees related to the borrowings amounted to $5,664 and $—(1) respectively, and are included within the
“Interest expense on borrowings” line on the Statement of Operations.
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
At May 31, 2023, the amount of outstanding
borrowings was as follows:
Outstanding
Borrowings |
|
Interest
Rate |
$207,000
|
|
5.89%
|
(1) Amount is less than $500 (not in thousands).
Note 8. Indemnifications
Under the Fund’s organizational
documents, its Directors and officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide a variety of
indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and that have not occurred. However, the Fund has not had prior claims or
losses pursuant to these arrangements and expects the risk of loss to be remote.
Note 9. Capital Transactions
At May 31, 2023, the Fund had one class of
common stock, par value $0.001 per share, of which 500,000,000 shares are authorized and 68,578,328 shares are outstanding.
In a non-transferable rights offering ended
September 16, 2022, shareholders exercised rights to purchase 20,311,323 shares of common stock at an offering price of $6.96 per share for proceeds, net of estimated expenses, of $140,617,000.
Note 10. Restricted Securities
Restricted securities are not registered
under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category. The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the
disposition of such securities. At May 31, 2023, the Fund did not hold any securities that were restricted.
Note 11. Regulatory Matters and Litigation
From time to time, the Fund, the Adviser,
the 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, and laws and regulations affecting their activities. At this time, the Fund and the Adviser believe that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to
these financial statements.
Note 12. Recent
Accounting Pronouncements
In March
2020, the FASB issued Accounting Standards Update (“ASU”) No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in
ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered reference rates as of the end of 2021. In March
2021, the administrator for LIBOR announced the extension
VIRTUS TOTAL RETURN FUND INC.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
May 31, 2023
of
the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, the FASB issued ASU 2022-06 to defer the sunset date of ASC 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related
contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2020-06, but does not believe there will be a material impact.
Note 13. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Fund through the date the financial statements were available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in these financial statements.
CERTIFICATION
The Fund files the required annual Chief
Executive Officer (“CEO”) certification regarding compliance with the NYSE’s listing standards no more than 30 days after each annual shareholder meeting for the Fund. The Fund has included the certifications of the Fund’s
CEO and Principal Financial Officer required by Section 302 of the Sarbanes-Oxley Act in the Fund’s Form N-CSR filed with the SEC for the period of this report.
KEY INFORMATION
Shareholder Relations: 1-866-270-7788
For general information and literature, as well as updates
on net asset value, share price, major industry groups and other key information.
REINVESTMENT PLAN
The Automatic Reinvestment and Cash Purchase
Plan (the “Plan”) offers shareholders a convenient way to acquire additional shares of the Fund. Registered holders will be automatically placed in the Plan and may opt out by calling Shareholder Relations at the number listed above. If
shares are held at a brokerage firm, contact your broker about participation in the Plan.
REPURCHASE OF SECURITIES
Notice is hereby given in accordance with
Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares of common stock in the open market when Fund shares are trading at a discount from their net asset value.
PROXY VOTING INFORMATION (FORM N-PX)
The subadvisers vote proxies relating to
portfolio securities in accordance with procedures that have been approved by the Fund’s Board. You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month
period ended June 30, free of charge, by calling toll-free 1-866-270-7788. This information is also available through the SEC’s website at https://www.sec.gov.
PORTFOLIO HOLDINGS INFORMATION
The Fund files its complete schedule of
portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form NPORT-P. Form NPORT-P is available on the SEC’s website at
https://www.sec.gov.
Virtus Total Return
Fund Inc.
Results of Annual Meeting of Shareholders (Unaudited)
The Annual Meeting of Shareholders
of Virtus Total Return Fund Inc. was held on May 22, 2023. The meeting was held for purposes of electing four (4) nominees to the Board of Directors for a three-year term, or until a successor has been duly elected and qualified.The results were as
follows:
Election
of Directors |
Votes
For |
Votes
Withheld |
Connie
D. McDaniel |
47,912,294.268
|
1,428,550.331
|
Geraldine
M. McNamara |
47,828,788.823
|
1,512,055.776
|
R.
Keith Walton |
47,920,932.018
|
1,419,912.581
|
Brian
T. Zino |
47,952,553.357
|
1,388,291.242
|
Based on the foregoing,
Mses. McDaniel and McNamara and Messrs. Walton and Zino were re-elected to the Board of Directors. The Fund’s other Directors who continue in office are George R. Aylward*, Donald C. Burke, Sarah E. Cogan, Deborah A. DeCotis, F. Ford Drummond,
Sidney E. Harris, John R. Mallin and Philip R. McLoughlin.
*Interested Director
VIRTUS TOTAL RETURN FUND
INC.
101 Munson Street
Greenfield, MA 01301-9668
Board of Directors
George R. Aylward
Donald C. Burke
Sarah E. Cogan
Deborah A. DeCotis
F. Ford Drummond
Sidney E. Harris
John R. Mallin
Connie D. McDaniel
Philip R. McLoughlin, Chair
Geraldine M. McNamara
R. Keith Walton
Brian T. Zino
Officers
George R. Aylward, President
and Chief Executive Officer
Peter Batchelar, Senior Vice President
W. Patrick Bradley, Executive
Vice President, Chief Financial Officer, and Treasurer
Timothy Branigan, Vice
President and Fund Chief Compliance Officer
Jennifer Fromm, Vice President,
Chief Legal Officer, Counsel and Secretary
Julia R. Short, Senior Vice
President
Richard W. Smirl, Executive Vice President
Investment Adviser
Virtus Investment Advisers, Inc.
One Financial Plaza
Hartford, CT 06103-2608
Administrator
Virtus Fund Services, LLC
One Financial Plaza
Hartford, CT 06103
Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286-1048
Transfer Agent
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
How to Contact Us
Shareholder
Services |
1-866-270-7788
|
Important Notice to Shareholders
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share
the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-866-270-7788.
Virtus Total Return Fund Inc.
c/o Computershare Investor Services
P.O. Box 43078
Providence, RI 02940-3078
For more information about
Virtus Closed-End Funds, please
contact us
at 1-866-270-7788
or closedendfunds@virtus.com
or visit Virtus.com.
Item 2. Code of Ethics.
Response
not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
|
(a) |
Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is
included as part of the report to shareholders filed under Item 1(a) of this form. |
Item 7. |
Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies. |
Response not required for semi-annual report.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
|
(a) |
Response not required for semi-annual report. |
|
(b) |
There has been no change, as of the date of this filing, in any of the portfolio managers identified in
response to paragraph (a)(1) of this Item in the registrants most recently filed annual report on Form N-CSR. |
Item 9. |
Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers. |
Not applicable
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrants Board of
Directors that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule
14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
|
(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 their evaluation of these controls and procedures required
by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
|
(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 period covered by this report that has materially affected, or is reasonably likely to
materially affect, the registrants internal control over financial reporting. |
Item 12. |
Disclosure of Securities Lending Activities for Closed-End
Management Investment Companies. |
Not applicable.
Item 13. Exhibits.
(a)(2)(1)
Not applicable.
(a)(2)(2) Not applicable.
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 and Chief Executive Officer |
(principal executive officer) |
|
Date
8/4/23
|
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 and Chief Executive Officer |
(principal executive officer) |
|
Date
8/4/23
|
|
By (Signature and Title)* /s/ W. Patrick
Bradley
|
W. Patrick Bradley, Executive Vice President, |
Chief Financial Officer, and Treasurer |
(principal financial officer) |
|
Date
8/4/23
|
* Print the name and title of each signing officer under
his or her signature.
Certification Pursuant to Rule 30a-2(a) under the 1940
Act and Section 302 of the
Sarbanes-Oxley Act
I, George R. Aylward, certify that:
1. |
I have reviewed this report on Form N-CSR of Virtus Total Return
Fund Inc.; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
|
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
|
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially |
|
affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and
the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrants internal control over financial reporting. |
|
|
|
|
|
Date:
8/4/23 |
|
|
|
/s/ George R.
Aylward |
|
|
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
|
|
(principal executive officer) |
Certification Pursuant to Rule 30a-2(a) under the 1940
Act and Section 302 of the
Sarbanes-Oxley Act
I, W. Patrick Bradley, certify that:
1. |
I have reviewed this report on Form N-CSR of Virtus Total Return
Fund Inc.; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state
a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
|
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in
this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
|
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and
the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role
in the registrants internal control over financial reporting. |
|
|
|
|
|
|
|
Date:
8/4/23 |
|
|
|
/s/ W. Patrick
Bradley |
|
|
|
|
|
|
W. Patrick Bradley, Executive Vice President, |
|
|
|
|
|
|
Chief Financial Officer, and Treasurer |
|
|
|
|
|
|
(principal financial officer) |
|
|
Certification Pursuant to Rule 30a-2(b) under the 1940
Act and Section 906 of the
Sarbanes-Oxley Act
I, George R. Aylward, President and Chief Executive Officer of Virtus Total Return Fund Inc. (the Registrant), certify that:
|
1. |
The Form N-CSR of the Registrant (the Report) fully
complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant. |
|
|
|
|
|
Date:
8/4/23 |
|
|
|
/s/ George R.
Aylward |
|
|
|
|
George R. Aylward, President and Chief Executive Officer |
|
|
|
|
(principal executive officer) |
I, W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer of Virtus Total Return
Fund Inc. (the Registrant), certify that:
|
1. |
The Form N-CSR of the Registrant (the Report) fully
complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
|
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition
and results of operations of the Registrant. |
|
|
|
|
|
|
|
Date:
8/4/23 |
|
|
|
/s/ W. Patrick
Bradley |
|
|
|
|
|
|
W. Patrick Bradley, Executive Vice President, |
|
|
|
|
|
|
Chief Financial Officer, and Treasurer |
|
|
|
|
|
|
(principal financial officer) |
|
|
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
December 19, 2022 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to
shareholders of record at the close of business on December 12, 2022 (ex-date December 9, 2022).
The following table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from
the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
November 2022 (MTD) |
|
|
Fiscal Year-to-Date (YTD)(1) |
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
Net Investment
Income |
|
$ |
0.014 |
|
|
|
17.7% |
|
|
|
0.195 |
|
|
|
20.3% |
|
Net Realized
Short-Term Capital Gains |
|
|
- |
|
|
|
0.0% |
|
|
|
- |
|
|
|
0.0% |
|
Net Realized
Long-Term Capital Gains |
|
|
0.000(2) |
|
|
|
0.3% |
|
|
|
0.253 |
|
|
|
26.4% |
|
Return of Capital
(or other Capital Source) |
|
|
0.066 |
|
|
|
82.0% |
|
|
|
0.512 |
|
|
|
53.3% |
|
Total
Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.960 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2021 |
|
(2) |
Per share amount less than $0.0005 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the Funds NAV
and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
|
|
|
November 30, 2022 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (3) |
|
|
2.53% |
|
|
|
|
|
|
Annualized Current Distribution Rate (4) |
|
|
12.77% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (5) |
|
|
-1.45% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (6) |
|
|
12.77% |
|
|
(3) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
|
(4) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
Virtus Total Return Fund Inc. - 2
|
(5) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(6) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution level
that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains are less
than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866) 270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
January 10, 2023 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to
shareholders of record at the close of business on December 30, 2022 (ex-date January 5, 2023).
The following table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from
the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
December 2022 (MTD) |
|
|
Fiscal Year-to-Date (YTD)(1) |
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
Net Investment
Income |
|
$ |
0.026 |
|
|
|
31.9% |
|
|
$ |
0.026 |
|
|
|
31.9% |
|
Net Realized
Short-Term Capital Gains |
|
|
- |
|
|
|
0.0% |
|
|
|
- |
|
|
|
0.0% |
|
Net Realized
Long-Term Capital Gains |
|
|
- |
|
|
|
0.0% |
|
|
|
- |
|
|
|
0.0% |
|
Return of Capital
(or other Capital Source) |
|
|
0.054 |
|
|
|
68.1% |
|
|
|
0.054 |
|
|
|
68.1% |
|
Total
Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.080 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2022 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the Funds NAV
and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
|
|
|
December 30, 2022 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (2) |
|
|
1.72% |
|
|
|
|
|
|
Annualized Current Distribution Rate (3) |
|
|
13.41% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (4) |
|
|
-3.64% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (5) |
|
|
1.12% |
|
|
(2) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
|
(3) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
Virtus Total Return Fund Inc. - 2
|
(4) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(5) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution level
that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains are less
than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866) 270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
February 24, 2023 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to
shareholders of record at the close of business on February 13, 2023 (ex-date February 10, 2023).
The following table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from
the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
January 2023 (MTD) |
|
|
Fiscal Year-to-Date (YTD) (1) |
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current Distribution |
|
Net Investment
Income |
|
$ |
- |
|
|
|
0.0% |
|
|
$ |
0.026 |
|
|
|
16.0% |
|
Net Realized
Foreign Currency Gains |
|
|
0.000(2) |
|
|
|
0.2% |
|
|
|
0.000(2) |
|
|
|
0.1% |
|
Net Realized
Short-Term Capital Gains |
|
|
0.011 |
|
|
|
13.2% |
|
|
|
0.011 |
|
|
|
6.6% |
|
Net Realized
Long-Term Capital Gains |
|
|
0.004 |
|
|
|
4.6% |
|
|
|
0.004 |
|
|
|
2.3% |
|
Return of Capital
(or other Capital Source) |
|
|
0.065 |
|
|
|
82.0% |
|
|
|
0.119 |
|
|
|
75.0% |
|
Total
Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.160 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2022 |
|
(2) |
Per share amount less than 0.0005 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the
Funds NAV and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
January 31, 2023 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (3) |
|
|
3.56% |
|
|
|
|
|
|
Annualized Current Distribution Rate (4) |
|
|
12.90% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (5) |
|
|
1.28% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (6) |
|
|
2.15% |
|
|
(3) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
|
(4) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
Virtus Total Return Fund Inc. - 2
|
(5) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(6) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution
level that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains
are less than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866) 270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
March 23, 2023 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to
shareholders of record at the close of business on March 13, 2023 (ex-date March 10, 2023).
The following table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from
the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
February 2023 (MTD) |
|
|
Fiscal
Year-to-Date (YTD) (1) |
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
|
|
|
|
Net Investment Income |
|
$ |
0.008 |
|
|
|
9.4% |
|
|
$ |
0.033 |
|
|
|
13.8% |
|
|
|
|
|
|
Net Realized Foreign Currency Gains |
|
|
0.000(2) |
|
|
|
0.2% |
|
|
|
0.000(2) |
|
|
|
0.2% |
|
|
|
|
|
|
Net Realized Short-Term Capital
Gains |
|
|
0.007 |
|
|
|
9.1% |
|
|
|
0.018 |
|
|
|
7.4% |
|
|
|
|
|
|
Net Realized Long-Term Capital Gains |
|
|
0.016 |
|
|
|
19.5% |
|
|
|
0.019 |
|
|
|
8.0% |
|
|
|
|
|
|
Return of Capital (or other Capital Source) |
|
|
0.049 |
|
|
|
61.8% |
|
|
|
0.170 |
|
|
|
70.6% |
|
|
|
|
|
|
Total Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.240 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2022 |
|
(2) |
Per share amount less than 0.0005 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the
Funds NAV and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
February 28, 2023 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (3) |
|
|
4.41% |
|
|
|
|
|
|
Annualized Current Distribution Rate (4) |
|
|
13.81% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (5) |
|
|
-4.23% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (6) |
|
|
3.45% |
|
|
(3) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
Virtus Total Return Fund Inc. - 2
|
(4) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
|
(5) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(6) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution
level that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains
are less than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866) 270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
April 25, 2023 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to
shareholders of record at the close of business on April 13, 2023 (ex-date April 12, 2023).
The following table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from
the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
March 2023 (MTD) |
|
|
Fiscal Year-to-Date (YTD) (1)
|
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
|
|
|
|
Net Investment Income |
|
$ |
0.018 |
|
|
|
22.3% |
|
|
$ |
0.051 |
|
|
|
16.0% |
|
|
|
|
|
|
Net Realized Foreign Currency Gains |
|
|
0.000 |
|
|
|
0.0% |
|
|
|
0.000(2) |
|
|
|
0.1% |
|
|
|
|
|
|
Net Realized Short-Term Capital
Gains |
|
|
0.005 |
|
|
|
5.8% |
|
|
|
0.021 |
|
|
|
6.6% |
|
|
|
|
|
|
Net Realized Long-Term Capital Gains |
|
|
0.000 |
|
|
|
0.0% |
|
|
|
0.000 |
|
|
|
0.0% |
|
|
|
|
|
|
Return of Capital (or other Capital Source) |
|
|
0.057 |
|
|
|
71.9% |
|
|
|
0.248 |
|
|
|
77.3% |
|
|
|
|
|
|
Total Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.320 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2022 |
|
(2) |
Per share amount less than 0.0005 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the
Funds NAV and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
March 31, 2023 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (3) |
|
|
5.05% |
|
|
|
|
|
|
Annualized Current Distribution Rate (4) |
|
|
13.58% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (5) |
|
|
-1.32% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (6) |
|
|
4.53% |
|
|
(3) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
Virtus Total Return Fund Inc. - 2
|
(4) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
|
(5) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(6) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution
level that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains
are less than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866) 270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return Fund Inc.
Section 19(a) Notice
HARTFORD, CT,
May 23, 2023 -- Virtus Total Return Fund Inc. (NYSE: ZTR) declared a distribution of $0.08 per share to shareholders
of record at the close of business on May 11, 2023 (ex-date May 10, 2023).
The following
table sets forth the estimated amounts of the most current distribution and the cumulative distributions paid this fiscal year to date from the following sources. All amounts are expressed based on U.S. generally accepted accounting principles which
may differ from federal income tax regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distribution Estimates |
|
April 2023 (MTD) |
|
|
Fiscal Year-to-Date (YTD) (1)
|
|
(Sources) |
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
Per Share Amount |
|
|
Percentage of Current
Distribution |
|
|
|
|
|
|
Net Investment Income |
|
$ |
0.000(2) |
|
|
|
0.0% |
|
|
$ |
0.051 |
|
|
|
12.8% |
|
|
|
|
|
|
Net Realized Foreign Currency Gains |
|
|
0.000(2) |
|
|
|
0.1% |
|
|
|
0.000(2) |
|
|
|
0.1% |
|
|
|
|
|
|
Net Realized Short-Term Capital
Gains |
|
|
0.011 |
|
|
|
14.2% |
|
|
|
0.033 |
|
|
|
8.1% |
|
|
|
|
|
|
Net Realized Long-Term Capital Gains |
|
|
0.000 |
|
|
|
0.0% |
|
|
|
0.000 |
|
|
|
0.0% |
|
|
|
|
|
|
Return of Capital (or other Capital Source) |
|
|
0.069 |
|
|
|
85.7% |
|
|
|
0.316 |
|
|
|
79.0% |
|
|
|
|
|
|
Total Distribution |
|
$ |
0.080 |
|
|
|
100.0% |
|
|
$ |
0.400 |
|
|
|
100.0% |
|
|
(1) |
Fiscal year started December 1, 2022 |
|
(2) |
Per share amount less than 0.0005 |
Information regarding the Funds performance and distribution rates is set forth below. Please note that all performance figures are based on the
Funds NAV and not the market price of the Funds shares. Performance figures are not meant to represent individual shareholder performance.
|
|
|
|
|
|
|
|
|
April 28, 2023 |
|
|
|
|
|
|
|
|
Average Annual Total Return on NAV for the 5-year period (3) |
|
|
5.29% |
|
|
|
|
|
|
Annualized Current Distribution Rate (4) |
|
|
13.37% |
|
|
|
|
|
|
Fiscal YTD Cumulative Total Return on NAV (5) |
|
|
1.47% |
|
|
|
|
|
|
Fiscal YTD Cumulative Distribution Rate (6) |
|
|
5.57% |
|
|
(3) |
Average Annual Total Return on NAV is the annual compound return for the five-year period. It reflects the change in the
Funds NAV and reinvestment of all distributions. |
|
Virtus Total Return Fund Inc. - 2
|
(4) |
Annualized Current Distribution Rate is the current distribution rate annualized as a percentage of the Funds NAV at
month end. |
|
|
(5) |
Fiscal YTD Cumulative Total Return on NAV is the percentage change in the Funds NAV from the first day of the fiscal
year to this month end, including distributions paid and assuming reinvestment of those distributions. |
|
|
(6) |
Fiscal YTD Cumulative Distribution Rate is the dollar value of distributions from the first day of the fiscal year to this
month end as a percentage of the Funds NAV at month end. |
|
Under the terms of its Managed Distribution Plan, the Fund will seek to maintain a consistent distribution
level that may be paid, in part or in full, from net investment income and realized capital gains, or a combination thereof. Shareholders should note, however, that if the Funds aggregate net investment income and net realized capital gains
are less than the amount of the distribution level, the difference will be distributed from the Funds assets and will constitute a return of the shareholders capital. You should not draw any conclusions about the Funds investment
performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The Fund estimates that it has
distributed more than its income and capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A
return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are estimates only and are not being provided for tax reporting purposes. The actual
amounts and sources of the distributions for tax purposes will depend on the Funds investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund or your broker will send you a
Form 1099-DIV for the calendar year that will tell you what distributions to report for federal income tax purposes.
For more information on Virtus Total Return Fund Inc., contact shareholder services at (866)
270-7788, by email at closedendfunds@virtus.com, or through the closed-end fund section of
virtus.com.
Cusip: 92835W107
# # #
Virtus Total Return (NYSE:ZTR)
Historical Stock Chart
From Sep 2024 to Oct 2024
Virtus Total Return (NYSE:ZTR)
Historical Stock Chart
From Oct 2023 to Oct 2024