N-Q 1 d354749dnq.htm VIRTUS TOTAL RETURN FUND (FORMERLY, DCA TOTAL RETURN FUND) Virtus Total Return Fund (Formerly, DCA Total Return Fund)

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21680

 

 

Virtus Total Return Fund (formerly, DCA Total Return Fund)

(Exact name of registrant as specified in charter)

 

 

101 Munson Street

Greenfield, MA 01301-9668

(Address of principal executive offices) (Zip code)

 

 

Kevin J. Carr, Esq.

Vice President, Chief Legal Officer, Counsel and Secretary for Registrant

100 Pearl Street

Hartford, CT 06103-4506

(Name and address of agent for service)

 

 

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

Date of fiscal year end: December 31

Date of reporting period: March 31, 2012

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 


Item 1. Schedule of Investments.

The Schedules of Investments are attached herewith.


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE     VALUE  

FOREIGN GOVERNMENT SECURITIES—5.5%

  

Bolivarian Republic of Venezuela 5.750%, 2/26/16

   $ 650      $ 580   

Commonwealth of Australia

    

Series 123, 5.750%, 4/15/12

     625 AUD      648   

Series 118, 6.500%, 5/15/13

     150 AUD      160   

Commonwealth of Canada 2.000%, 9/1/12

     790 CAD      795   

Commonwealth of New Zealand Series 413, 6.500%, 4/15/13

     375 NZD      319   

Federative Republic of Brazil

    

12.500%, 1/5/22

     250 BRL      182   

10.250%, 1/10/28

     800 BRL      524   

Kingdom of Norway Series 470, 6.500%, 5/15/13

     925 NOK      171   

Republic of Argentina

    

Provincia de Neuquen 144A 7.875%, 4/26/21(4)

     150        147   

PIK Interest Capitalization 8.280%, 12/31/33

     1,094        811   

Republic of Colombia 12.000%, 10/22/15

     215,000 COP      151   

Republic of Hungary 4.750%, 2/3/15

     155        146   

Republic of Lithuania 6.625%, 2/1/22

     225        249   

Republic of Poland Series 0414, 5.750%, 4/25/14

     1,000 PLZ      329   

Republic of South Africa Series R206 7.500%, 1/15/14

     2,500 ZAR      335   

Republic of Turkey

    

0.000%, 4/25/12

     175 TRY      98   

6.750%, 5/30/40

     310        339   

United Mexican States Series M 6.000%, 6/18/15

     3,500 MXN      281   
    

 

 

 

TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $5,992)

       6,265   
    

 

 

 

MORTGAGE-BACKED SECURITIES—6.4%

  

Non-Agency—6.4%

    

Banc of America Mortgage Securities, Inc. 05-05 1A19, 5.500%, 6/25/35

     130        131   

Bear Stearns Commercial Mortgage Securities, Inc.

    

06-PW14, AM 5.243%, 12/11/38

     355        360   

06-PW13, AM 5.582%, 9/11/41(3)

     310        330   

Citigroup/Deutsche Bank Commercial Mortgage Trust 07-CD4, A4 5.322%, 12/11/49

     315        345   

Countrywide Alternative Loan Trust

    

04-22CB, 1A1 6.000%, 10/25/34

     325        321   

06-13T1, A11 6.000%, 5/25/36

     234        163   

Countrywide Home Loan Mortgage Pass-Through-Trust

    
     PAR VALUE      VALUE  

Non-Agency—(continued)

     

04-R1, 2A, 144A 6.500%, 11/25/34(4)

   $ 147       $ 149   

05-6, 2A1 5.500%, 4/25/35

     185         172   

Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.596%, 2/15/39(3)

     74         79   

Deutsche Bank - UBS Mortgage Trust 11-LC1A, A3, 144A 5.002%, 11/10/46(4)

     300         337   

Extended Stay America Trust 10-ESHA, D, 144A 5.498%, 11/5/27(4)

     315         318   

Goldman Sachs Mortgage Securities Corp. II 07-GG10, A4 5.980%,
8/10/45
(3)

     300         333   

Homebanc Mortgage Trust 0.418%,
10/25/35
(3)

     209         148   

JPMorgan Chase Commercial Mortgage Securities Corp.

     

10-CNTR, A2, 144A 4.311%, 8/5/32(4)

     300         315   

06-LDP9, A3 5.336%, 5/15/47

     315         345   

07-LD12, A4 5.882%, 2/15/51(3)

     320         359   

Lehman Brothers - UBS Commercial Mortgage Trust 07-C7, A3 5.866%, 9/15/45(3)

     325         368   

Mastr Reperforming Loan Trust 144A 8.000%, 8/25/34(4)

     172         178   

Merrill Lynch Mortgage Investors, Inc. 98-C1, C 6.750%, 11/15/26(3)

     300         324   

Morgan Stanley Capital I 07-IQ14, A4 5.692%, 4/15/49(3)

     320         349   

Morgan Stanley Mortgage Loan Trust 3.507%, 6/25/37(3)

     319         159   

Nomura Asset Acceptance Corp. 144A 6.500%, 3/25/34(4)

     140         142   

Wachovia Bank Commercial Mortgage Trust

     

07-C30, A5 5.342%, 12/15/43

     300         324   

05-C22, AM 5.493%, 12/15/44(3)

     325         344   

07-C32, A3 5.927%, 6/15/49(3)

     300         325   

07-C33, A5 6.097%, 2/15/51(3)

     300         329   

Washington Mutual Commercial Mortgage Securities Trust 06-SL1, A, 144A 5.425%, 11/23/43(3)(4)

     304         297   
     

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $7,052)

        7,344   
     

 

 

 

ASSET-BACKED SECURITIES—2.5%

  

ABSC Long Beach Home Equity Loan Trust 8.240%, 3/21/29(3)

     206         152   
 

 

1


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE      VALUE  

AmeriCredit Automobile Receivables Trust 11-3, E, 144A 5.760%, 12/10/18(4)

   $ 320       $ 328   

Citicorp Residential Mortgage Securities, Inc. 07-2, A3 6.080%, 6/25/37(3)

     310         310   

GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35(3)

     299         287   

Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21(4)

     290         296   

Santander Drive Auto Receivables Trust 11-2C 3.280%, 6/15/16

     325         327   

Structured Asset Securities Corp.

     

03-AL1, A, 144A 3.357%, 4/25/31(4)

     273         264   

02-AL1 A3, 3.450%, 2/25/32

     541         489   

Terwin Mortgage Trust 144A 5.818%, 7/25/34(3)(4)

     110         97   

U-Haul S Fleet LLC 10-BT1A, 1, 144A 4.899%, 10/25/23(4)

     278         290   
     

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Identified Cost $2,808)

        2,840   
     

 

 

 

CORPORATE BONDS AND NOTES—30.4%

  

Consumer Discretionary—3.3%

     

Caesars Operating Escrow LLC / Caesars Escrow Corp. 144A 8.500%, 2/15/20(4)

     170         173   

Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17(4)

     155         167   

CityCenter Holdings LLC / Citycenter Finance Corp. 7.625%, 1/15/16

     160         170   

Claire’s Stores, Inc. 144A 9.000%, 3/15/19(4)

     160         166   

DISH DBS Corp. 7.125%, 2/1/16

     240         267   

HOA Restaurant Group LLC / HOA Finance Corp. 144A 11.250%, 4/1/17(4)

     145         144   

International Game Technology 7.500%, 6/15/19

     190         222   

Landry’s Restaurants, Inc. 11.625%, 12/1/15

     160         179   

Mediacom LLC / Mediacom Capital Corp. 144A 7.250%, 2/15/22(4)

     170         173   

MGM Resorts International 7.625%, 1/15/17

     85         88   

Nara Cable Funding Ltd. 144A 8.875%, 12/1/18(4)

     200         191   

NCL Corp. Ltd. 11.750%, 11/15/16

     200         232   

Polymer Group, Inc. 7.750%, 2/1/19

     165         174   

QVC, Inc. 144A 7.500%, 10/1/19(4)

     315         347   

Seneca Gaming Corp. 144A 8.250%, 12/1/18(4)

     200         206   

Toys “R” Us Property Co. II LLC 8.500%, 12/1/17

     200         210   

United Rentals North America, Inc. 10.875%, 6/15/16

     165         188   
     PAR VALUE      VALUE  

Consumer Discretionary—(continued)

  

Univision Communications, Inc. 144A 7.875%, 11/1/20(4)

   $ 155       $ 164   

Wyndham Worldwide Corp. 7.375%, 3/1/20

     255         307   
     

 

 

 
        3,768   
     

 

 

 

Consumer Staples—0.8%

     

Bunge Ltd. Finance Corp. 8.500%, 6/15/19

     255         311   

Cencosud SA 144A 5.500%, 1/20/21(4)

     245         259   

Flowers Foods, Inc. 4.375%, 4/1/22

     130         129   

Rite Aid Corp. 8.000%, 8/15/20

     160         185   
     

 

 

 
        884   
     

 

 

 

Energy—5.0%

     

Antero Resources Finance Corp. 9.375%, 12/1/17

     155         168   

Bill Barrett Corp. 7.625%, 10/1/19

     160         163   

Breitburn Energy Partners LP / Breitburn Finance Corp. 144A 7.875%, 4/15/22(4)

     255         261   

Bumi Investment Ltd. 144A 10.750%, 10/6/17(4)

     150         164   

Carrizo Oil & Gas, Inc. 8.625%, 10/15/18

     160         169   

Chesapeake Energy Corp. 6.625%, 8/15/20

     150         153   

Cimarex Energy Co. 5.875%, 5/1/22

     205         210   

Coffeyville Resources LLC / Coffeyville Finance, Inc. 144A 10.875%, 4/1/17(4)

     200         226   

Energy XXI Gulf Coast, Inc. 7.750%, 6/15/19

     115         119   

EV Energy Partners LP/EV Energy Finance Corp. 8.000%, 4/15/19

     65         67   

Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16(4)

     165         160   

Frontier Oil Corp. 6.875%, 11/15/18

     235         246   

Gazprom OAO (Gaz Capital SA) 6.510%, 3/7/22

     275         300   

Gulfmark Offshore, Inc. 144A 6.375%, 3/15/22(4)

     155         156   

Hercules Offshore, Inc. 144A 10.500%, 10/15/17(4)

     140         147   

Linn Energy LLC / Linn Energy Finance Corp. 144A 6.500%, 5/15/19(4)

     155         153   

Lukoil International Finance BV 144A 7.250%, 11/5/19(4)

     250         283   

National JSC Naftogaz of Ukraine 9.500%, 9/30/14

     125         121   

OGX Austria GmbH 144A 8.500%, 6/1/18(4)

     200         209   

Petroleos de Venezuela S.A. RegS 8.500%, 11/2/17(5)

     95         85   

Petroleos Mexicanos 6.000%, 3/5/20

     635         723   

QEP Resources, Inc. 6.875%, 3/1/21

     110         122   
 

 

2


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE      VALUE  

Energy—(continued)

     

Quicksilver Resources, Inc. 7.125%, 4/1/16

   $ 160       $ 148   

Samson Investment Co. 144A 9.750%, 2/15/20(4)

     125         127   

Tesoro Corp. 9.750%, 6/1/19

     250         286   

Transocean, Inc. 6.375%, 12/15/21

     265         298   

Venoco, Inc. 11.500%, 10/1/17

     150         157   

Weatherford International Ltd. 9.625%, 3/1/19

     255         338   
     

 

 

 
        5,759   
     

 

 

 

Financials—9.6%

     

Air Lease Corp. 144A 5.625%, 4/1/17(4)

     155         155   

Aircastle Ltd. 144A 7.625%, 4/15/20(4)

     100         100   

Allstate Corp. 6.125%, 5/15/37(3)

     165         162   

ALROSA Finance SA 144A 7.750%, 11/3/20(4)

     200         215   

Alta Mesa Holdings LP / Alta Mesa Finance Services Corp. 9.625%, 10/15/18

     160         162   

American International Group, Inc. 4.875%, 9/15/16

     145         153   

Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21(4)

     260         271   

Banco Bradesco SA/Cayman Island 144A 5.900%, 1/16/21(4)

     320         331   

Banco de Credito del Peru 144A 5.375%, 9/16/20(4)

     250         255   

Banco do Brasil SA 144A 5.375%, 1/15/21(4)

     315         323   

Banco Votorantim SA 144A 7.375%, 1/21/20(4)

     320         349   

Barclays Bank plc 144A 6.050%, 12/4/17(4)

     250         257   

Brandywine Operating Partnership LP 7.500%, 5/15/15

     250         278   

Capital One Capital IV 8.875%, 5/15/40(6)

     260         261   

Chubb Corp. 6.375%, 3/29/67(3)

     160         165   

CIT Group, Inc. 144A 5.500%, 2/15/19(4)

     300         307   

Citigroup, Inc. 4.875%, 5/7/15

     250         259   

Discover Bank 7.000%, 4/15/20

     255         293   

DuPont Fabros Technology LP 8.500%, 12/15/17

     325         359   

Export-Import Bank of Korea 5.000%, 4/11/22

     250         264   

Fifth Third Capital Trust IV 6.500%, 4/15/37(3)

     160         159   

First Niagara Financial Group, Inc. 7.250%, 12/15/21

     150         161   

Genworth Financial, Inc. 7.625%, 9/24/21

     155         160   

GMAC LLC 6.750%, 12/1/14

     230         239   

HSBC Bank plc 144A 3.100%, 5/24/16(4)

     250         255   

Huntington Bancshares, Inc. 7.000%, 12/15/20

     255         288   
     PAR VALUE      VALUE  

Financials—(continued)

     

Hutchison Whampoa International Ltd. 144A 4.625%, 1/13/22(4)

   $ 275       $ 276   

International Lease Finance Corp. 5.650%, 6/1/14

     320         327   

IPIC GMTN Ltd. 144A 3.125%, 11/15/15(4)

     250         252   

JPMorgan Chase Capital XXVII Series AA 7.000%, 11/1/39

     250         253   

Kazkommerts Bank International BV 144A 7.875%, 4/7/14(4)

     190         189   

Korea Development Bank 3.500%, 8/22/17

     250         254   

Macquarie Group Ltd. 144A 7.625%, 8/13/19(4)

     190         204   

National Retail Properties, Inc. 5.500%, 7/15/21

     260         271   

OJSC Vimpel Communications (VIP Finance Ireland Ltd.) 144A 7.748%, 2/2/21(4)

     200         198   

Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. 9.250%, 4/1/15

     120         124   

Prudential Financial, Inc. 8.875%, 6/15/38(3)(6)

     205         242   

Realogy Corp. 144A 7.875%, 2/15/19(4)

     100         101   

Regions Bank 7.500%, 5/15/18

     250         286   

Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22(4)

     250         249   

Resona Bank Ltd. 144A
5.850%
(3)(4)(6)(7)

     320         333   

Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15(4)

     155         151   

Springleaf Finance Corp. 5.400%, 12/1/15

     300         250   

UR Financing Escrow Corp.

     

144A 5.750%, 7/15/18(4)

     5         5   

144A 7.375%, 5/15/20(4)

     95         97   

Vale Overseas Ltd. 4.375%, 1/11/22

     200         201   

XLIT Ltd. 5.750%, 10/1/21

     260         283   

Yankee Candle Co. Holdings LLC / Yankee Finance, Inc. PIK Interest Capitalization 10.250%, 2/15/16

     100         102   

Zions Bancorp Series C 4.500%, 3/27/17

     155         154   
     

 

 

 
        10,983   
     

 

 

 

Health Care—0.6%

     

Healthsouth Corp. 7.250%, 10/1/18

     165         177   

Kinetic Concepts, Inc. 144A 10.500%, 11/1/18(4)

     150         157   

Omnicare, Inc. 7.750%, 6/1/20

     240         268   

Symbion, Inc. 8.000%, 6/15/16

     55         55   
     

 

 

 
        657   
     

 

 

 
 

 

 

3


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE      VALUE  

Industrials—3.7%

     

ADS Tactical, Inc. 144A 11.000%, 4/1/18(4)

   $ 155       $ 163   

America West Airlines 200-1 Pass-Through-Trust 00-1G, 8.057%, 7/2/20

     364         377   

Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18

     318         318   

AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16(4)

     294         308   

Bombardier, Inc. 144A 5.750%, 3/15/22(4)

     185         181   

CHC Helicopter SA 144A 9.250%, 10/15/20(4)

     165         164   

Deluxe Corp. 7.000%, 3/15/19

     245         255   

Hexion U.S. Finance Corp. 144A 6.625%, 4/15/20(4)

     155         159   

Iron Mountain, Inc. 7.750%, 10/1/19

     160         175   

Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17

     160         174   

Masco Corp. 5.950%, 3/15/22

     315         316   

Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21

     306         318   

U.S. Airways Pass-Through-Trust 11-1 A 7.125%, 10/22/23

     375         394   

UAL Pass-Through-Trust

     

09-2A 9.750%, 1/15/17

     313         358   

07-01 6.636%, 7/2/22

     218         231   

Voto-Votorantim Ltd. 144A 6.750%, 4/5/21(4)

     325         364   
     

 

 

 
        4,255   
     

 

 

 

Information Technology—1.0%

  

  

CDW LLC / CDW Finance Corp. 8.500%, 4/1/19

     145         155   

CommScope, Inc. 144A 8.250%, 1/15/19(4)

     165         177   

Digicel Ltd. 144A 8.250%, 9/1/17(4)

     150         160   

eAccess Ltd. 144A 8.250%, 4/1/18(4)

     205         198   

iGATE Corp. 9.000%, 5/1/16

     170         186   

Jabil Circuit, Inc. 8.250%, 3/15/18

     275         321   
     

 

 

 
        1,197   
     

 

 

 

Materials—2.9%

     

Arcelormittal 6.250%, 2/25/22

     190         192   

Ardagh Packaging Finance plc 144A 9.125%, 10/15/20(4)

     200         211   

Berry Plastics Corp. 9.500%, 5/15/18

     90         96   

Braskem Finance Ltd. 144A 5.750%, 4/15/21(4)

     245         256   

Calumet Specialty Products Partners LP / Calumet Finance Corp. 9.375%, 5/1/19

     155         162   
     PAR VALUE      VALUE  

Materials—(continued)

     

Cascades, Inc. 7.875%, 1/15/20

   $ 250       $ 248   

Celulosa Arauco y Constitucion SA 144A 4.750%, 1/11/22(4)

     150         154   

Cemex Finance LLC 144A 9.500%, 12/14/16(4)

     100         100   

Edgen Murray Corp. 12.250%, 1/15/15

     125         128   

FMG Resources Ltd. 144A 6.000%, 4/1/17(4)

     90         89   

Gerdau Holdings, Inc. 144A 7.000%, 1/20/20(4)

     240         277   

JMC Steel Group, Inc. 144A 8.250%, 3/15/18(4)

     165         172   

Pactiv LLC 8.125%, 6/15/17

     325         301   

Sappi Papier Holding GmbH 144A 6.625%, 4/15/21(4)

     220         207   

Severstal OAO Steel Capital SA RegS 6.250%, 7/26/16(5)

     250         251   

United States Steel Corp 7.500%, 3/15/22

     170         171   

Vedanta Resources plc 144A 9.500%, 7/18/18(4)

     320         326   
     

 

 

 
        3,341   
     

 

 

 

Telecommunication Services—1.9%

  

  

Centurylink, Inc. 5.800%, 3/15/22

     300         293   

Cincinnati Bell, Inc. 8.250%, 10/15/17

     160         164   

Crown Castle Towers LLC 144A 4.883%, 8/15/20(4)

     315         324   

Nextel Communications, Inc. Series D 7.375%, 8/1/15

     235         228   

Telecom Italia Capital SA 7.175%, 6/18/19

     205         218   

Telemar Norte Leste SA 144A 5.500%, 10/23/20(4)

     250         257   

Virgin Media Finance plc Series 1, 9.500%, 8/15/16

     100         113   

West Corp. 8.625%, 10/1/18

     165         182   

Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17(4)

     155         154   

Windstream Corp. 7.750%, 10/15/20

     200         215   
     

 

 

 
        2,148   
     

 

 

 

Utilities—1.6%

     

Amerigas Finance LLC / Amerigas Finance Corp. 7.000%, 5/20/22

     125         128   

AmeriGas Partners LP / AmeriGas Finance Corp. 6.250%, 8/20/19

     160         161   

Calpine Corp. 144A 7.875%, 1/15/23(4)

     290         315   

Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19(4)

     315         371   

Covanta Holding Corp. 6.375%, 10/1/22

     210         214   
 

 

4


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE     VALUE  

Utilities—(continued)

    

NRG Energy, Inc. 7.625%, 5/15/19

   $ 125      $ 121   

Suburban Propane Partners LP / Suburban Energy Finance Corp. 7.375%, 3/15/20

     245        262   

Targa Resources Partners LP / Targa Resources Partners Finance Corp. 144A 6.375%, 8/1/22(4)

     225        229   
    

 

 

 
       1,801   
    

 

 

 

TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $33,712)

       34,793   
    

 

 

 

LOAN AGREEMENTS(3)—8.1%

  

 

Consumer Discretionary—3.3%

  

 

Advantage Sales & Marketing, Inc. First Lien, 9.250%, 6/18/18

     125        125   

Affinity Gaming LLC (Herbest Gaming LLC) 10.000%, 12/31/15

     200        205   

Bresnan Broadband Holdings LLC Tranche B, 4.500%, 12/14/17

     249        249   

Brickman Group Holdings, Inc. Tranche B, 7.250%, 10/14/16

     159        161   

Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.) Tranche B-4, 9.500%, 10/31/16

     159        164   

Cengage Learning Acquisitions, Inc. 2.490%, 7/3/14

     134        124   

Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17

     159        162   

Clear Channel Communications, Inc.

    

Tranche A 3.640%, 7/30/14

     59        55   

Tranche B, 3.890%, 1/29/16

     138        112   

Cumulus Media Holdings, Inc.

    

First Lien, 5.750%, 9/17/18

     100        100   

Second Lien, 7.500%, 3/18/19

     160        163   

Focus Brands, Inc. First Lien, 6.750%, 2/21/18

     148        148   

Fram Group Holdings, Inc./Prestone Holdings, Inc. Second Lien, 10.500%, 1/29/18

     130        128   

Gateway Casinos & Entertainment Ltd. Tranche B, 6.750%, 5/12/16

     175 CAD      175   

HHI Holdings LLC 0.000%, 3/21/17

     175        176   

Hubbard Radio LLC Second Lien, 8.750%, 4/30/18

     130        132   

Intelsat Jackson Holding SA (Intelsat Jackson Holding Ltd.) 3.240%, 2/1/14

     190        187   
     PAR VALUE      VALUE  

Consumer Discretionary—(continued)

  

  

Nielsen Finance LLC Tranche B, 3.993%, 5/2/16

   $ 159       $ 160   

Oberthur Technologies, Inc. 0.000%, 8/3/18

     155         149   

Radio One, Inc. 7.750%, 3/31/16

     154         153   

SRAM LLC Second Lien, 8.500%, 12/7/18

     160         162   

TI Group Automotive Systems LLC 0.000%, 3/14/18

     218         219   

Transtar Industries, Inc. Second Lien, 10.250%, 12/21/17

     125         126   

Visant Corp. (Jostens) Tranche B, 5.250%, 12/22/16

     247         241   
     

 

 

 
        3,776   
     

 

 

 

Energy—0.2%

     

Frac Tech Services International 0.000%, 5/6/16

     200         200   
     

 

 

 

Financials—0.6%

     

Asurion LLC (Asurion Corp.) Second Lien, 9.375%, 5/24/19

     130         132   

iStar Financial, Inc. Tranche A-2 7.000%, 6/30/14

     160         160   

MMM Holdings, Inc. 0.000%, 3/20/17

     55         55   

Nuveen Investments, Inc. Second Lien, 8.250%, 2/28/19

     95         96   

Ocwen Financial Corp. 7.000%, 9/1/16

     160         161   

Walter Investments, Inc., First Lien, 7.750%, 6/30/16

     148         149   
     

 

 

 
        753   
     

 

 

 

Health Care—0.4%

     

Alkermes, Inc. First Lien, 6.750%, 9/16/17

     160         163   

Ardent Health Services LLC 6.500%, 9/15/15

     154         154   

InVentiv Health, Inc. (Ventive Health, Inc.) 6.500%, 8/4/16

     159         151   
     

 

 

 
        468   
     

 

 

 

Industrials—0.6%

     

Harland Clarke Holdings Corp. (Clarke American Corp.), Tranche B, 2.780%, 6/30/14

     158         148   

Husky Injection Molding System (Yukon Acquisition, Inc.) 6.500%, 6/29/18

     194         195   

North American Chemical Corp. (NAMM Holdings, Inc.) 8.500%, 3/20/17

     55         55   

Zuffa LLC 0.000%, 6/19/15

     254         254   
     

 

 

 
        652   
     

 

 

 
 

 

5


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     PAR VALUE      VALUE  

Information Technology—2.2%

     

Avaya, Inc. Tranche B-3 4.990%, 10/26/17

   $ 254       $ 245   

Blue Coat Systems, Inc. 0.000%, 2/15/18

     125         125   

Datatel, Inc. 0.000%, 7/19/18

     135         137   

DynCorp International LLC 6.250%, 7/7/16

     223         224   

Emdeon, Inc., Tranche B, 6.750%, 11/2/18

     160         162   

First Data Corp.

     

Tranche B-1, 2.990%, 9/24/14

     125         121   

Tranche B-3, 2.992%, 9/24/14

     83         80   

Tranche B-3 5.242%, 3/24/17

     148         142   

Freescale Semiconductor, Inc.
Tranche B-1 4.490%, 12/1/16

     255         248   

Ipreo Holdings LLC 8.000%, 8/5/17

     164         162   

Lawson Software 0.000%, 3/16/18

     250         252   

Lawson Software, Inc. (SoftBrands, Inc.), 6.750%, 7/5/17

     160         160   

Novell, Inc. (Attachmate Corp.) First Lien, 6.500%, 4/27/17

     125         124   

Spansion LLC 4.750%, 2/9/15

     240         241   

SRA International, Inc. 6.500%, 7/20/18

     143         143   
     

 

 

 
        2,566   
     

 

 

 

Materials—0.3%

     

AZ Chem US. Inc. 7.250%, 12/22/17

     119         121   

Noranda Aluminum Acquisition
Tranche B 5.750%, 2/28/19

     175         177   
     

 

 

 
        298   
     

 

 

 

Telecommunication Services—0.4%

     

Hawaiian Telcom Communication 7.000%, 2/28/17

     100         99   

U.S. TelePacific Corp. 5.750%, 2/23/17

     154         148   

Univision Communications, Inc. 4.491%, 3/31/17

     265         246   
     

 

 

 
        493   
     

 

 

 

Utilities—0.1%

     

Texas Compeptitive Electric Holdings Co. LLC 4.743%, 10/10/17

     125         70   
     

 

 

 

TOTAL LOAN AGREEMENTS (Identified Cost $9,115)

        9,276   
     

 

 

 
     SHARES      VALUE  

PREFERRED STOCK—0.2%

     

Financials—0.2%

     

Citigroup Capital XVII Series E 6.350%(2)

     7,460         182   
     

 

 

 
     SHARES      VALUE  

TOTAL PREFERRED STOCK (Identified Cost $180)

        182   
     

 

 

 

COMMON STOCKS—80.3%

     

Consumer Discretionary—2.1%

     

Eutelsat Communications SA

     25,586       $ 946   

SES SA

     59,693         1,481   
     

 

 

 
        2,427   
     

 

 

 

Energy—19.3%

     

Enbridge, Inc.

     174,700         6,787   

Spectra Energy Corp.

     166,100         5,241   

TransCanada Corp.

     110,080         4,733   

Williams Cos., Inc. (The)

     172,900         5,327   
     

 

 

 
        22,088   
     

 

 

 

Financials—2.3%

     

American Tower Corp.

     41,310         2,604   
     

 

 

 

Industrials—11.9%

     

Abertis Infraestructuras S.A.

     101,173         1,722   

Atlantia SpA

     107,509         1,785   

Ferrovial SA

     84,089         967   

Flughafen Zuerich AG

     2,863         1,109   

Fraport AG Frankfurt Airport Services Worldwide

     24,980         1,564   

Koninklijke Vopak N.V.

     42,883         2,470   

Transurban Group

     500,246         2,902   

Vinci SA

     20,177         1,052   
     

 

 

 
        13,571   
     

 

 

 

Telecommunication Services—19.4%

     

AT&T, Inc.

     144,760         4,521   

BCE, Inc.

     22,680         908   

BT Group plc

     313,619         1,136   

Crown Castle International Corp.(2)

     43,400         2,315   

Nippon Telegraph & Telephone Corp. ADR

     39,430         892   

Singapore Telecommunications Ltd.

     655,000         1,641   

Telefonica S.A. Sponsored ADR

     77,670         1,275   

TELUS Corp.

     32,590         1,891   

Verizon Communications, Inc.

     54,110         2,069   

Vodafone Group plc Sponsored ADR

     155,080         4,291   

Windstream Corp.

     111,650         1,307   
     

 

 

 
        22,246   
     

 

 

 

Utilities—25.3%

     

Allete, Inc.

     16,210         673   

APA Group

     191,274         1,010   
 

 

6


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

     SHARES      VALUE  

Utilities—(continued)

     

CenterPoint Energy, Inc.

     58,630       $ 1,156   

Centrica plc

     166,669         844   

CMS Energy Corp.

     55,500         1,221   

Dominion Resources, Inc.

     31,050         1,590   

DTE Energy Co.

     16,170         890   

E.ON AG

     27,148         650   

FirstEnergy Corp.

     20,830         950   

ITC Holdings Corp.

     19,290         1,484   

National Grid plc

     115,476         1,165   

NextEra Energy, Inc.

     26,290         1,606   

NiSource, Inc.

     51,040         1,243   

Northeast Utilities

     24,550         911   

Northwest Natural Gas Co.

     18,220         827   

NV Energy, Inc.

     62,140         1,002   

ONEOK, Inc.

     15,700         1,282   

Public Service Enterprise Group, Inc.

     35,690         1,092   

Questar Corp.

     29,800         574   

Sempra Energy

     28,660         1,718   

SevernTrent plc

     46,235         1,142   

Southern Co. (The)

     30,510         1,371   

Terna Rete Elettrica Nazionale S.p.A.

     231,055         929   

United Utilities Group plc

     94,043         905   

Wisconsin Energy Corp.

     44,100         1,551   

XCEL Energy, Inc.

     42,500         1,125   
     

 

 

 
        28,911   
     

 

 

 

TOTAL COMMON STOCKS
(Identified Cost $87,727)

        91,847   
     

 

 

 

TOTAL LONG TERM INVESTMENTS—133.4%
(Identified cost $146,586)

        152,547   
     

 

 

 

SHORT-TERM INVESTMENTS—2.6%

  

  

Money Market Mutual Funds—2.6%

  

  

BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares (seven-day effective yield 0.110%)

     1,873,591         1,874   

Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)

     1,139,426         1,139   
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $3,013)

        3,013   
     

 

 

 

 

TOTAL INVESTMENTS—136.0%
(Identified Cost $149,599)

        155,560 (1) 

Other assets and liabilities, net—(36.0)%

        (41,204
     

 

 

 

NET ASSETS—100.0%

      $ 114,356   
     

 

 

 

Abbreviations:

 

ADR American Depositary Receipt
AG Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
GmbH Limited liability company.
OJSC Open Joint Stock Company (Russia)
PIK Payment-in-Kind Security
plc Public Limited Co.
S.A. Sociedad Anonima (Spanish Corporation) or Sociedade Anonima (Portuguese Corporation).
S.p.A. Società delle azione unite (Joint Stock Corp. Italy).

Footnote Legend:

 

(1)

Federal Income Tax Information: For tax information at March 31, 2012, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

(2)

Non-income producing.

(3)

Variable or step coupon security; interest rate shown reflects the rate in effect at March 31, 2012.

(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 March 31, 2012, these securities amounted to a value of $17,380 or 15.2% of net assets.

(5)

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.

(6) 

Interest payments may be deferred.

(7) 

No contractual maturity date

Foreign Currencies:

 

AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
COP Colombian Peso
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLZ Polish Zloty
TRY Turkish Lira
ZAR South African Rand
 

 

7


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS

MARCH 31, 2012 (Unaudited)

($ reported in thousands)

 

Country Weightings †

 

United States

     58

Canada

     10   

United Kingdom

     7   

Australia

     3   

Spain

     3   

Brazil

     2   

Italy

     2   

Other

     15   
  

 

 

 

Total

     100
  

 

 

 

 

 

 

% of total investments as of March 31, 2012

 

8


Virtus Total Return Fund

The following table provides a summary of inputs used to value the Fund’s investments as of March 31, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

 

     Total Value at
March 31,
2012
     Level 1
Quoted Prices
     Level 2
Significant
Observable
Inputs
 

Debt Securities:

        

Asset-Backed Securities

   $ 2,840       $ —         $ 2,840   

Corporate Bonds And Notes

     34,793         —           34,793   

Foreign Government Securities

     6,265         —           6,265   

Loan Agreements

     9,276         —           9,276   

Mortgage-Backed Securities

     7,344         —           7,344   

Equity Securities:

        

Common Stocks

     91,847         91,847         —     

Preferred Stock

     182         —           182   

Short-Term Investments

     3,013         3,013         —     
  

 

 

    

 

 

    

 

 

 

Total Investments

   $ 155,560       $ 94,860       $ 60,700   
  

 

 

    

 

 

    

 

 

 

There are no Level 3 (significant unobservable inputs) priced securities.


VIRTUS TOTAL RETURN FUND

NOTES TO SCHEDULE OF INVESTMENTS

MARCH 31, 2012 (Unaudited)

NOTE 1— SIGNIFICICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Fund in the preparation of its Schedule of Investments in conformity with accounting principals generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedule of Investments. Actual results could differ from those estimates and those differences could be significant.

A. SECURITY VALUATION

Security valuation procedures for the Fund, which include, nightly price variance, as well as back-testing such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees. All internally fair valued securities are approved by a valuation committee appointed by the Board. The valuation committee is comprised of the treasurer, assistant treasurer, secretary and chief compliance officer for the Fund. All internally fair valued securities, referred to below, are updated daily and reviewed in detail by the valuation committee monthly unless changes occur within the period. The valuation committee reviews the validity of the model inputs and any changes to the model. Fair valuations are ratified by the Board of Trustees at least quarterly.

The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.

 

   

Level 1 – quoted prices in active markets for identical securities.

 

   

Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

   

Level 3 – prices determined using significant unobservable inputs (including the valuation committee’s own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the valuation committee, are generally categorized as Level 3 in the hierarchy.

Certain foreign securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) (generally, 4 p.m. Eastern time the close of the New York Stock Exchange (“NYSE”)) that may impact the value of securities traded in these foreign markets.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured Debt Instruments such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders


VIRTUS TOTAL RETURN FUND

NOTES TO SCHEDULE OF INVESTMENTS

MARCH 31, 2012 (Unaudited)

 

do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter (“OTC”) 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 their closing NAV determined as of the close of regular trading on the NYSE each business day and are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s major categories of assets and liabilities, which primarily include investments of the Fund, 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 RELATED INCOME

Security transactions are recorded on the trade date. Dividend income is recorded 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 interest method. Realized gains and losses are determined on the identified cost basis.

NOTE 2—CREDIT RISK AND ASSET CONTENTRATION

In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.

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 securities may be complex, and as a result, it may be more difficult for the adviser and/or subadviser to accurately predict risk.

The Fund may invest a high percentage of its assets in specific sectors of the market in its pursuit of a greater investment return. 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

NOTE 3— INDEMNIFICATIONS

Under the Fund’s organizational documents and related agreements, its trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these arrangements.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders


VIRTUS TOTAL RETURN FUND

NOTES TO SCHEDULE OF INVESTMENTS

MARCH 31, 2012 (Unaudited)

 

NOTE 4— FEDERAL INCOME TAX INFORMATION

($ reported in thousands)

At March 31, 2012, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:

 

Federal
Tax Cost
    Unrealized
Appreciation
    Unrealized
(Depreciation)
    Net
Appreciation
(Depreciation)
 
$ 149,599      $ 6,449      $ (488   $ 5,961   

NOTE 5— SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedule of Investments was available for issuance, and has determined that there are no subsequent events requiring recognition or disclosure in the Notes to Schedule of Investments.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders


Item 2. Controls and Procedures.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)     Virtus Total Return Fund (formerly, DCA Total Return Fund)  
By (Signature and Title)*     /s/ George R. Aylward  
    George R. Aylward, President  
    (principal executive officer)  

Date  May 29, 2012

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

 

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

Date  May 29, 2012

 

By (Signature and Title)*     /s/ W. Patrick Bradley  
   

W. Patrick Bradley,

Vice President, Chief Financial Officer and Treasurer

 
    (principal financial officer)  

Date  May 29, 2012

 

*

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