N-Q 1 d413474dnq.htm VIRTUS TOTAL RETURN FUND Virtus Total Return Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number                         811-21680                                                 

 

Virtus Total Return Fund

 

(Exact name of registrant as specified in charter)

 

100 Pearl Street

Hartford, CT 06103-4506

 

(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: September 30, 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

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

FOREIGN GOVERNMENT SECURITIES—5.8%

   

Bolivarian Republic of Venezuela

   

RegS 5.750%, 2/26/16(5)

  $ 312      $ 286   

RegS 7.000%, 12/1/18(5)

    65        56   

9.375%, 1/13/34

    195        174   

Commonwealth of Australia Series 118,
6.500%, 5/15/13

    580 AUD      615   

Commonwealth of Canada
1.750%, 3/1/13

    600        612   

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

    375 NZD      317   

Federative Republic of Brazil

   

12.500%, 1/5/16

    250 BRL      155   

12.500%, 1/5/22

    250 BRL      184   

8.500%, 1/5/24

    975 BRL      563   

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

    1,410 NOK      253   

Kingdom of Spain
5.850%, 1/31/22

    70 EUR      89   

Kingdom of Sweden Series 1041,
6.750%, 5/5/14

    950 SEK      158   

Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33

    878        694   

Republic of Colombia

   

12.000%, 10/22/15

    215,000 COP      147   

4.375%, 3/21/23

    229,000 COP      125   

Republic of Croatia 144A
6.375%, 3/24/21
(4)

    200        222   

Republic of Iceland 144A
5.875%, 5/11/22
(4)

    175        191   

Republic of Lithuania 144A
6.625%, 2/1/22
(4)

    225        279   

Republic of Peru

   

144A 7.840%, 8/12/20(4)

    170 PEN      81   

RegS 6.900%, 8/12/37(5)

    265 PEN      123   

Republic of Slovak 144A
4.375%, 5/21/22
(4)

    200        210   

Republic of South Africa

   

Series R206 7.500%, 1/15/14

    2,500 ZAR      309   

Series R-208 6.750%, 3/31/21

    1,010 ZAR      123   

Republic of Turkey 9.000%, 3/5/14

    755 TRY      428   

United Mexican States

   

Series M, 6.000%, 6/18/15

    3,210 MXN      258   

Series M, 6.500%, 6/9/22

    4,590 MXN      388   
   

 

 

 

TOTAL FOREIGN GOVERNMENT SECURITIES
(Identified Cost $6,787)

      7,040   
   

 

 

 

MORTGAGE-BACKED SECURITIES—6.8%

   

Non-Agency—6.8%

   

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

    55        55   
             
    PAR VALUE     VALUE  

Non-Agency—(continued)

   

Bear Stearns Commercial Mortgage Securities, Inc.

   

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

  $ 355      $ 390   

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

    310        345   

Chase Mortgage Finance Corp. 07-A1, 10A1
3.050%, 2/25/37
(3)

    155        154   

Countrywide Alternative Loan Trust
06-13T1, A11 6.000%, 5/25/36

    218        163   

Countrywide Home Loan Mortgage Pass-Through- Trust

   

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

    139        141   

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

    174        176   

Credit Suisse Mortgage Capital Certificates
06-C1, A3 5.410%, 2/15/39
(3)

    70        72   

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

    315        317   

Goldman Sachs Mortgage Securities Corp. II 07- GG10, A4 5.790%, 8/10/45(3)

    300        344   

JPMorgan Chase Commercial Mortgage Securities Corp.

   

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

    300        332   

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

    320        377   

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

    325        387   

MASTR Alternative Loans Trust 04-6, 10A1 6.000%, 7/25/34

    137        139   

MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34(4)

    165        171   

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

    300        334   

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

    320        366   

Morgan Stanley Mortgage Loan Trust
07-11AR, 2A3 2.770%, 6/25/37
(3)

    303        160   

Nomura Asset Acceptance Corp.

   

04-R1, A1 144A 6.500%, 3/25/34(4)

    207        211   

04-R3, A1 144A 6.500%, 2/25/35(4)

    140        142   

06-AF2, 1A6 6.196%, 8/25/36(3)

    334        164   

Opteum Mortgage Acceptance Corp.
06-1, 2APT 5.750%, 4/25/36
(3)

    186        178   

Residential Funding Mortgage Securities I,
Inc. 05- S1, 1A2 5.500%, 2/25/35

    300        306   
 

 

1


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Non-Agency—(continued)

   

Structured Asset Securities Corp.

   

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

  $ 251      $ 244   

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

    497        492   

07-EQ1, A2 0.307%, 3/25/37(3)

    99        76   

SunTrust Adjustable Rate
Mortgage Loan Trust 07-S1,
5A1 4.770%, 1/25/37
(3)

    182        179   

Terwin Mortgage Trust 04-15AL,
A1 144A 5.800%, 7/25/34
(3)(4)

    98        93   

Wachovia Bank Commercial Mortgage Trust

   

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

    300        340   

05-C22, AM 5.340%,
12/15/44
(3)

    325        351   

07-C32, A3 5.750%, 6/15/49(3)

    300        345   

07-C33, A5 5.920%, 2/15/51(3)

    300        350   

Washington Mutual Commercial
Mortgage Securities
Trust 06-SL1, A, 144A
5.290%, 11/23/43
(3)(4)

    281        276   
   

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $7,610)

      8,170   
   

 

 

 

ASSET-BACKED SECURITIES—1.9%

   

ABSC Long Beach Home Equity
Loan Trust 00- LB1, M1F
8.240%, 3/21/29
(3)

    198        152   

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

    320        347   

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

    248        249   

Equity One ABS, Inc. 01-3, AF4
6.252%, 5/25/32

    155        118   

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

    239        240   

Hertz Vehicle Financing LLC
11-1A, A2 144A 3.290%, 3/25/18
(4)

    150        162   

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

    236        248   

Origen Manufactured Housing
Contract Trust 04- B, M1
5.730%, 11/15/35
(3)

    124        132   

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

    325        328   

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

    251        272   
   

 

 

 

TOTAL ASSET-BACKED SECURITIES
(Identified Cost $2,174)

      2,248   
   

 

 

 
             
    PAR VALUE     VALUE  

CORPORATE BONDS AND NOTES—28.4%

   

Consumer Discretionary—2.2%

   

American Axle &
Manufacturing, Inc.
6.625%, 10/15/22

  $ 155      $ 158   

Arcos Dorados Holdings, Inc.
144A 10.250%, 7/13/16
(4)

    250 BRL      133   

Boyd Gaming Corp. 144A
9.000%, 7/1/20
(4)

    125        128   

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

    80        83   

DISH DBS Corp. 144A
4.625%, 7/15/17
(4)

    185        190   

Globo Comunicacao e
Participacoes SA 144A
4.875%, 4/11/22
(4)

    200        217   

HD Supply, Inc. 144A
8.125%, 4/15/19
(4)

    60        65   

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

    145        133   

International Game Technology 7.500%, 6/15/19

    120        144   

Landry’s, Inc. 144A
9.375%, 5/1/20
(4)

    100        106   

Lotte Shopping Co. Ltd. 144A
3.375%, 5/9/17
(4)

    200        208   

MGM Resorts International
144A 6.750%, 10/1/20
(4)

    160        160   

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

    200        184   

QVC, Inc.

   

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

    115        127   

144A 5.125%, 7/2/22(4)

    125        133   

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

    200        211   

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

    105        113   

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

    155        187   
   

 

 

 
      2,680   
   

 

 

 

Consumer Staples—0.1%

   

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

    100        104   
   

 

 

 

Energy—4.8%

   

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

    155        172   

Atlas Pipeline Partners LP
(Atlas Pipeline Finance
Corp.) 144A
6.625%, 10/1/20
(4)

    70        71   

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

    160        170   

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

    255        265   

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

    160        172   

Chesapeake Energy Corp. 6.775%, 3/15/19

    155        156   
 

 

 

2


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Energy—(continued)

   

Compagnie Generale de
Geophysique-Veritas
6.500%, 6/1/21

  $ 200      $ 207   

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

    115        122   

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

    65        68   

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

    102        105   

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

    235        251   

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

    155        161   

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

    140        148   

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

    155        156   

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

    250        301   

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

    125        128   

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

    200        181   

Parker Drilling Co.
9.125%, 4/1/18

    155        168   

PDC Energy, Inc. 144A
7.750%, 10/15/22
(4)

    130        130   

Petroleos de Venezuela SA

   

Series 2014 4.900%, 10/28/14

    170        154   

RegS 8.500%, 11/2/17(5)

    685        622   

Petroleos Mexicanos
6.000%, 3/5/20

    360        430   

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

    110        125   

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

    160        138   

Rowan Cos., Inc.
4.875%, 6/1/22

    120        129   

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

    225        240   

Tesoro Corp. 9.750%, 6/1/19

    250        291   

TNK-BP Finance SA RegS
7.500%, 7/18/16
(5)

    215        248   

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

    150        155   

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

    105        137   
   

 

 

 
      5,801   
   

 

 

 

Financials—11.0%

   

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

    155        159   

Aircastle Ltd. 7.625%, 4/15/20

    255        284   

Alfa Invest Ltd. RegS
7.875%, 9/25/17
(5)(8)

    155        168   

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

    165        170   

Ally Financial, Inc.
6.750%, 12/1/14

    115        123   

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

    200        227   

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

    160        161   
             
    PAR VALUE     VALUE  

Financials—(continued)

   

American International Group,
Inc. 4.875%, 6/1/22

  $ 175      $ 197   

Banco ABC Brasil SA 144A
7.875%, 4/8/20
(4)

    155        166   

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

    260        285   

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

    320        343   

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

    250        269   

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

    195        205   

Banco Internacional del Peru
SAA 144A 5.750%, 10/7/20
(4)

    150        159   

Banco Santander Chile 144A
3.875%, 9/20/22
(4)

    155        155   

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

    320        358   

Bancolombia SA 5.125%, 9/11/22

    165        167   

Bank of Georgia JSC 144A
7.750%, 7/5/17
(4)

    200        204   

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

    250        269   

Boston Properties LP
3.850%, 2/1/23

    175        184   

Brandywine Operating
Partnership LP 4.950%, 4/15/18

    120        129   

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

    245        260   

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

    260        265   

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

    160        170   

CIT Group, Inc.

   

4.250%, 8/15/17

    25        26   

144A 5.500%, 2/15/19(4)

    150        163   

Citigroup, Inc. 5.500%, 2/15/17

    250        277   

Discover Bank 7.000%, 4/15/20

    255        307   

Eurasian Development Bank
144A 4.767%, 9/20/22
(4)

    200        203   

Fidelity National Financial, Inc.
5.500%, 9/1/22

    40        43   

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

    160        160   

First Niagara Financial Group, Inc.

   

6.750%, 3/19/20

    50        58   

7.250%, 12/15/21

    150        172   

Ford Motor Credit Co. LLC
5.750%, 2/1/21

    145        163   

Gazprom OAO (Gaz Capital SA)
RegS 6.510%, 3/7/22
(5)

    275        323   

General Motors Financial Co., Inc.
144A 4.750%, 8/15/17
(4)

    140        144   

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

    155        158   

GRD Holdings III Corp. 144A
10.750%, 6/1/19
(4)

    100        101   

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

    85        103   

Hutchison Whampoa
International Ltd. Series 12
144A 6.000%
(4)(7)

    185        191   
 

 

3


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Financials—(continued)

   

ING U.S., Inc. 144A
5.500%, 7/15/22
(4)

  $ 180      $ 188   

International Lease Finance
Corp. 5.875%, 8/15/22

    150        155   

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

    190        189   

Korea Development Bank
3.500%, 8/22/17

    250        269   

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

    190        220   

Morgan Stanley
5.750%, 10/18/16

    100        110   

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

    135        153   

Nordea Bank AB 144A
4.250%, 9/21/22
(4)

    200        199   

PKO Finance AB 144A
4.630%, 9/26/22
(4)(8)

    200        201   

Progressive Corp. (The)
6.700%, 6/15/37
(3)

    225        243   

Prudential Financial, Inc.
5.875%, 9/15/42

    305        313   

Regions Bank 7.500%, 5/15/18

    250        296   

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

    250        266   

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

    150        133   

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

    160        171   

Russian Agricultural Bank
OJSC (RSHB Capital SA)
144A 5.298%, 12/27/17
(4)

    200        212   

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

    155        154   

Sberbank of Russia (Sberbank Capital SA)

   

5.717%, 6/16/21

    220        237   

144A 6.125%, 2/7/22(4)(8)

    200        221   

SLM Corp. 4.625%, 9/25/17

    130        132   

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

    300        271   

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

    205        226   

Turkiye Garanti Bankasi AS
144A 5.250%, 9/13/22
(4)

    215        217   

United Rentals Financing
Escrow Corp. 144A
7.375%, 5/15/20
(4)

    150        162   

UPCB Finance VI Ltd. VI
144A 6.875%, 1/15/22
(4)

    150        160   

VTB Bank OJSC (VTB
Capital SA) 144A
6.000%, 4/12/17
(4)(8)

    205        214   

Willis Group Holdings plc
5.750%, 3/15/21

    165        186   

Zions Bancorp 4.500%, 3/27/17

    130        134   
   

 

 

 
      13,301   
   

 

 

 

Health Care—0.6%

   

Community Health Systems,
Inc. (CHS) 5.125%, 8/15/18

    135        140   
             
    PAR VALUE     VALUE  

Health Care—(continued)

   

7.125%, 7/15/20

  $ 55      $ 58   

HCA, Inc. 6.500%, 2/15/20

    225        251   

Hologic, Inc. 144A
6.250%, 8/1/20
(4)

    15        16   

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

    125        129   

VPI Escrow Corp. 144A
6.375%, 10/15/20
(4)

    150        154   
   

 

 

 
      748   
   

 

 

 

Industrials—4.2%

   

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

    105        105   

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

    333        354   

Atlas Air Pass-Through-Trust
98-1, A 7.380%, 7/2/19

    297        307   

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

    278        296   

Bombardier, Inc. 144A
7.750%, 3/15/20
(4)

    185        213   

CDRT Holding Corp. PIK 144A
9.250%, 10/1/17
(4)

    140        136   

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

    150        156   

CHC Helicopter SA
9.250%, 10/15/20

    165        170   

Deluxe Corp. 7.000%, 3/15/19

    245        262   

DP World Ltd. 144A
6.850%, 7/2/37
(4)

    100        108   

Embraer SA 5.150%, 6/15/22

    185        199   

Harland Clarke Holdings Corp.
144A 9.750%, 8/1/18
(4)

    75        72   

Iron Mountain, Inc.
5.750%, 8/15/24

    265        267   

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

    110        119   

Masco Corp. 5.950%, 3/15/22

    315        345   

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

    289        305   

SBA Telecommunications, Inc.
144A 5.750%, 7/15/20
(4)

    140        148   

ServiceMaster Co. 144A
7.000%, 8/15/20
(4)

    60        62   

Severstal OAO (Steel
Capital SA) RegS
6.250%, 7/26/16
(5)(8)

    250        263   

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

    369        402   

UAL Pass-Through-Trust

   

09-2 9.750%, 1/15/17

    299        342   

07-01A 6.636%, 7/2/22

    212        222   

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

    225        261   
   

 

 

 
      5,114   
   

 

 

 
 

 

 

4


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Information Technology—0.2%

   

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

  $ 150      $ 164   

Tech Data Corp.
3.750%, 9/21/17

    15        15   
   

 

 

 
      179   
   

 

 

 

Materials—2.8%

   

ArcelorMittal
6.250%, 2/25/22

    190        187   

Ardagh Packaging Finance
plc (Ardagh Packaging
Holdings, Inc.) 144A
7.375%, 10/15/17
(4)

    215        232   

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

    155        168   

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

    250        263   

Celulosa Arauco y
Constitucion SA
4.750%, 1/11/22

    150        157   

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

    125        134   

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

    90        84   

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

    240        277   

Ineos Finance plc 144A
8.375%, 2/15/19
(4)

    120        127   

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

    165        169   

Mexichem SAB de CV 144A
4.875%, 9/19/22
(4)

    200        203   

Nufarm Australia Ltd. 144A
6.375%, 10/15/19
(4)

    120        122   

Packaging Corp. of America
3.900%, 6/15/22

    165        170   

Pactiv LLC 8.125%, 6/15/17

    325        320   

PTT Global Chemical PCL
144A 4.250%, 9/19/22
(4)

    200        202   

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

    220        212   

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

    170        169   

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

    200        210   
   

 

 

 
      3,406   
   

 

 

 

Telecommunication
Services—1.6%

   

CenturyLink, Inc. Series T
5.800%, 3/15/22

    150        164   

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

    160        172   

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

    315        354   

Frontier Communications
Corp. 7.125%, 1/15/23

    160        167   

Level 3 Financing, Inc. 144A
7.000%, 6/1/20
(4)

    120        122   

Sprint Capital Corp.
6.875%, 11/15/28

    100        92   

Sprint Nextel Corp.
6.000%, 12/1/16

    135        140   

Telefonica Emisiones, S.A.U.
5.462%, 2/16/21

    100        98   

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

    125        131   
             
     PAR VALUE     VALUE  

Telecommunication Services—(continued)

   

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

  $ 155      $ 147   

Windstream Corp.
7.750%, 10/15/20

    260        280   
   

 

 

 
      1,867   
   

 

 

 

Utilities—0.9%

   

AmeriGas Partners LP (AmeriGas Finance Corp.)

   

6.250%, 8/20/19

    160        167   

7.000%, 5/20/22

    125        135   

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

    290        322   

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

    115        137   

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

    210        230   

NRG Energy, Inc.

   

7.625%, 5/15/19

    125        133   

144A 6.625%, 3/15/23(4)

    5        5   
   

 

 

 
      1,129   
   

 

 

 

TOTAL CORPORATE BONDS AND NOTES
(Identified Cost $32,823)

      34,329   
   

 

 

 

LOAN AGREEMENTS(3)—9.0%

   

Consumer
Discretionary—3.2%

   

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

    125        125   

Affinity Gaming LLC
(Herbst Gaming LLC).
5.500%, 11/9/17

    118        120   

August Holding Co., Inc. (Schrader)

   

First Lien, LUX 6.250%, 4/27/18

    79        80   

First Lien, US 6.250%, 4/27/18

    61        62   

BJ’s Wholesale Club,
Inc. Second Lien
9.750%, 3/29/19

    32        32   

Caesars Entertainment Operating Co., Inc.

   

(Harrah’s Operating Company, Inc.)

   

Tranche B-4, 9.500%, 10/31/16

    58        60   

Tranche B-6, 9.500%, 1/28/18

    175        159   

Cannery Casino Resorts LLC 0.000%, 9/12/18

    84        84   

Cengage Learning Acquisitions, Inc.
2.470%, 7/3/14

    134        128   

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

    158        162   

Clear Channel Communications, Inc.

   

Tranche A, 3.620%, 7/30/14

    59        56   

Tranche B, 3.870%, 1/29/16

    138        113   
 

 

5


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Consumer Discretionary—(continued)

   

Cumulus Media Holdings, Inc.

   

First Lien, 5.750%, 9/17/18

  $ 99      $ 100   

Second Lien, 7.500%, 9/16/19

    160        162   

Focus Brands, Inc. First Lien,
6.583%, 2/21/18

    138        140   

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

    130        118   

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

    164 CAD      165   

Granite Broadcasting
Corp. Tranche B
8.500%, 5/23/18

    94        94   

HD Supply, Inc. Tranche B,
7.250%, 10/12/17

    175        181   

HHI Holdings LLC
7.750%, 3/21/17

    174        174   

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

    130        133   

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

    158        154   

Landry’s, Inc. (Landry’s
Restaurants, Inc.)
Tranche B,
6.500%, 4/24/18

    219        223   

Radio One, Inc.
7.500%, 3/31/16

    153        154   

Seven Seas Cruises, Inc.
Tranche B, 6.250%, 12/21/18

    102        103   

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

    160        163   

Station GVR Acquisition LLC
(Green Valley Ranch
Gaming LLC)
0.000%, 9/15/19

    74        74   

TI Group Automotive Systems
LLC 6.750%, 3/14/18

    217        218   

Transtar Holding Co. Second
Lien, 10.750%, 12/21/17

    125        128   

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

    247        238   
   

 

 

 
      3,903   
   

 

 

 

Consumer Staples—0.4%

   

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

    130        134   

Pinnacle Foods Finance
LLC Tranche E,
4.750%, 10/17/18

    55        55   

SuperValu, Inc.
0.000%, 8/30/18

    224        226   
   

 

 

 
      415   
   

 

 

 

Energy—0.3%

   

Chesapeake Energy Corp.
8.500%, 12/2/17

    50        50   

Frac Tech Services LLC
6.250%, 5/6/16

    169        164   

NGPL PipeCo LLC
6.750%, 9/15/17

    100        102   
             
    PAR VALUE     VALUE  

Energy—(continued)

   

Samson Investment Co.
0.000%, 9/25/18

  $ 63      $ 64   
   

 

 

 
      380   
   

 

 

 

Financials—0.9%

   

Asurion LLC (Asurion Corp.)
Second Lien,
9.000%, 5/24/19

    58        60   

CNO Financial Group, Inc.
0.000%, 9/28/18

    47        47   

Harland Clarke Holdings Corp.
Tranche B-2
5.470%, 6/30/17

    111        100   

Homeward Residential, Inc.
8.250%, 8/8/17

    169        172   

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

    160        160   

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

    95        96   

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

    103        104   

Realogy Corp.

   

Extended First Lien,
4.478%, 10/10/16

    195        193   

Extended LOC,
6.550%, 10/10/16

    15        15   

Walter Investment Management
Corp. First Lien,
7.750%, 6/30/16

    136        137   
   

 

 

 
      1,084   
   

 

 

 

Health Care—0.9%

   

AMN Healthcare, Inc.
Tranche B, 6.000%, 4/5/18

    133        135   

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

    152        153   

Aveta, Inc.

   

(MMM Holdings, Inc.)
8.500%, 4/4/17

    53        53   

(NAMM Holdings, Inc.)
8.500%, 4/4/17

    53        53   

Emdeon, Inc. Tranche B-1,
5.000%, 11/2/18

    159        160   

Kinetic Concepts, Inc.
Tranche B-1, 7.000%, 5/4/18

    149        152   

MModal, Inc. Tranche B,
6.750%, 8/16/19

    190        189   

Par Pharmaceutical
0.000%, 8/2/19

    91        91   

Select Medical Corp.
Series A Tranche B,
5.750%, 6/1/18

    50        50   
   

 

 

 
      1,036   
   

 

 

 

Industrials—0.8%

   

ADS Waste Holdings, Inc.
0.000%, 9/11/19

    68        69   

Brickman Group Holdings, Inc.
Tranche B-1, 5.500%, 10/14/16

    154        156   

DynCorp International LLC
6.500%, 7/7/16

    191        192   

Husky Injection Molding
System (Yukon
Acquisition, Inc.)
5.750%, 7/2/18

    182        183   

Veyance Technologies, Inc.
0.000%, 7/31/15

    145        139   
 

 

 

6


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)            
    PAR VALUE     VALUE  

Industrials—(continued)

   

Zuffa LLC 7.500%, 6/19/15

  $ 252      $ 254   
   

 

 

 
      993   
   

 

 

 

Information
Technology—1.5%

   

Avaya, Inc. Tranche B-3,
4.930%, 10/26/17

    252        231   

Blue Coat Systems, Inc. First
Lien, 7.500%, 2/15/18

    124        125   

First Data Corp. Tranche B
5.220%, 3/24/17

    208        204   

Freescale Semiconductor, Inc.
Tranche B-1,
4.480%, 12/1/16

    255        250   

Infor (US), Inc. (Lawson
Software, Inc.) Tranche B
6.250%, 4/5/18

    249        251   

Ipreo Holdings LLC
8.000%, 8/5/17

    163        165   

Novell, Inc. (Attachmate
Corp.) First Lien,
7.250%, 11/22/17

    123        124   

Oberthur Technologies,
Inc. Tranche B-3,
6.250%, 11/30/18

    155        154   

Sophia LP (DataTel, Inc.)
6.250%, 7/19/18

    132        134   

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

    129        128   

Zayo Group LLC (Zayo Capital,
Inc.) 7.125%, 7/2/19

    96        97   
   

 

 

 
      1,863   
   

 

 

 

Materials—0.6%

   

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

    102        105   

CPG International I, Inc.
0.000%, 9/21/19

    52        52   

Essar Steel Algoma, Inc.
(Algoma Steel, Inc.)
8.750%, 9/20/14

    260        263   

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

    174        176   

Waupaca Foundry, Inc.
8.500%, 6/29/17

    150        151   
   

 

 

 
      747   
   

 

 

 

Telecommunication
Services—0.3%

   

Hawaiian Telcom
Communications, Inc.
7.000%, 2/28/17

    100        102   

Level 3 Financing, Inc.
Tranche A 5.750%, 9/1/18

    180        180   

West Corp. Tnrache B-6,
5.750%, 6/30/18

    83        84   
   

 

 

 
      366   
   

 

 

 

Utilities—0.1%

   

Texas Compeptitive Electric
Holdings Co. LLC
Extended, 4.710%, 10/10/17

    125        86   
   

 

 

 

TOTAL LOAN AGREEMENTS (Identified Cost $10,702)

      10,873   
   

 

 

 
             
    PAR VALUE     VALUE  

PREFERRED STOCK—0.4%

   

Financials—0.4%

   

Citigroup Capital XVII
Series E 6.350%

    7,460      $ 186   

General Electric Capital Corp.(3)(9)

    2,000        211   

U.S. Bancorp Series G 6.000%(3)

    4,400        123   
   

 

 

 

TOTAL PREFERRED STOCK
(Identified Cost $492)

      520   
   

 

 

 

COMMON STOCKS—80.6%

   

Consumer Discretionary—2.4%

   

Eutelsat Communications SA

    40,736        1,309   

SES SA

    57,744        1,571   
   

 

 

 
      2,880   
   

 

 

 

Energy—19.3%

   

Enbridge, Inc.

    161,106        6,288   

Kinder Morgan, Inc.

    83,746        2,975   

Spectra Energy Corp.

    122,900        3,608   

TransCanada Corp.

    106,668        4,854   

Williams Cos., Inc. (The)

    161,664        5,653   
   

 

 

 
      23,378   
   

 

 

 

Financials—1.8%

   

American Tower Corp.

    30,960        2,210   
   

 

 

 

Industrials—12.3%

   

Abertis Infraestructuras S.A.

    99,637        1,466   

Atlantia SpA

    115,284        1,790   

Auckland International Airport Ltd.

    494,760        1,074   

Ferrovial SA

    85,759        1,116   

Flughafen Zuerich AG

    2,819        1,157   

Fraport AG Frankfurt Airport Services Worldwide

    23,989        1,387   

Koninklijke Vopak N.V.

    41,758        2,932   

Transurban Group

    482,946        3,006   

Vinci SA

    20,607        878   
   

 

 

 
      14,806   
   

 

 

 

Telecommunication
Services—19.1%

   

AT&T, Inc.

    141,190        5,323   

BCE, Inc.

    22,267        978   

BT Group plc

    306,537        1,142   

Crown Castle International Corp.(2)

    42,905        2,750   

Nippon Telegraph & Telephone Corp. ADR

    38,645        916   
 

 

 

7


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS (Continued)

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)              
     SHARES      VALUE  

Telecommunication Services—(continued)

     

Singapore Telecommunications Ltd.

     635,000       $ 1,656   

TELUS Corp.

     31,081         1,960   

Verizon Communications, Inc.

     53,163         2,423   

Vodafone Group plc Sponsored ADR

     168,595         4,804   

Windstream Corp.

     109,277         1,105   
     

 

 

 
        23,057   
     

 

 

 

Utilities—25.7%

     

Allette, Inc.

     16,560         691   

APA Group

     187,860         924   

CenterPoint Energy, Inc.

     58,050         1,237   

Centrica plc

     162,995         863   

CMS Energy Corp.

     54,410         1,281   

Consolidated Edison, Inc.

     19,150         1,147   

Dominion Resources, Inc.

     30,493         1,614   

DTE Energy Co.

     15,875         952   

E.ON AG

     27,728         658   

FirstEnergy Corp.

     40,070         1,767   

National Grid plc

     111,814         1,233   

NextEra Energy, Inc.

     29,540         2,078   

NiSource, Inc.

     50,235         1,280   

Northeast Utilities

     25,090         959   

Northwest Natural Gas Co.

     18,620         917   

NV Energy, Inc.

     61,300         1,104   

ONEOK, Inc.

     32,070         1,549   

Pinnacle West Capital Corp.

     23,000         1,214   

Questar Corp.

     41,000         834   

Sempra Energy

     28,025         1,807   

SevernTrent plc

     45,112         1,223   

SP AusNet

     912,630         989   

Terna Rete Elettrica Nazionale SpA

     235,945         879   

United Utilities Group plc

     90,838         1,050   

Wisconsin Energy Corp.

     43,408         1,635   

XCEL Energy, Inc.

     41,445         1,149   
     

 

 

 
        31,034   
     

 

 

 

TOTAL COMMON STOCKS
(Identified Cost $88,696)

        97,365   
     

 

 

 

TOTAL LONG TERM INVESTMENTS—132.9%
(Identified cost $149,284)

        160,545   
     

 

 

 
               
     SHARES      VALUE  

SHORT-TERM INVESTMENTS—2.5%

     

Money Market Mutual Funds—2.5%

     

BlackRock Liquidity Funds TempFund Portfolio -
Insitutional Shares (seven-day effective yield 0.140%)

     1,156,541       $ 1,157   

Dreyfus Cash Management Fund - Institutional
Shares (seven-day effective yield 0.060%)

     1,840,601         1,841   
     

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $ 2,998)

        2,998   
     

 

 

 

TOTAL INVESTMENTS—135.4%
(Identified Cost $ 152,282)

        163,543 (1) 

Other assets and liabilities, net—(35.4)%

        (42,794
     

 

 

 

NET ASSETS—100.0%

      $ 120,749   
     

 

 

 

Abbreviations:

ADR     American Depositary Receipt
PIK     Payment-in-Kind Security

 

Footnote Legend:
(1)    Federal Income Tax Information: For tax information at September 30, 2012, see Note 4 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 September 30, 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 September 30, 2012, these securities amounted to a value of $19,393 or 16.1% 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
(8)    This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.
(9)    Non-cummulative.

 

Foreign Currencies:
AUD    Australian Dollar
BRL    Brazilian Real
CAD    Canadian Dollar
COP    Colombian Peso
EUR    European Currency Unit
MXN    Mexican Peso
NOK    Norwegian Krone
NZD    New Zealand Dollar
PEN    Peruvian Nuevo Sol
SEK    Swedish Krona
TRY    Turkish Lira
ZAR    South African Rand
 

 

8


Virtus Total Return Fund

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2012 (Unaudited)

 

($ reported in thousands)       

Country Weightings †

      

United States

     57

Canada

     9   

United Kingdom

     7   

Australia

     4   

Brazil

     2   

Luxembourg

     2   

Netherlands

     2   

Other

     17   
  

 

 

 

Total

     100
  

 

 

 

 

% of total investments as of September 30, 2012

 

9


The following table provides a summary of inputs used to value the Fund’s investments as of September 30, 2012 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

 

     Total Value at
September 30,
2012
     Level 1
Quoted Prices
     Level 2
Significant
Observable
Inputs
 

Debt Securities:

        

Asset-Backed Securities

   $ 2,248       $ —         $ 2,248   

Corporate Bonds And Notes

     34,329         —           34,329   

Foreign Government Securities

     7,040         —           7,040   

Loan Agreements

     10,873         —           10,873   

Mortgage-Backed Securities

     8,170         —           8,170   

Equity Securities:

        

Common Stocks

     97,365         97,365         —     

Preferred Stock

     520         123         397   

Short-Term Investments

     2,998         2,998         —     
  

 

 

    

 

 

    

 

 

 

Total Investments

   $ 163,543       $ 100,486       $ 63,057   
  

 

 

    

 

 

    

 

 

 

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


VIRTUS TOTAL RETURN FUND

NOTES TO SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2012 (Unaudited)

NOTE 1— SIGNIFICANT 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 (the “Board” or the “Trustees”). All internally fair valued securities are approved by a valuation committee (“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 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 non – U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non – U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) (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 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 the U.S. markets for investments such as ADRs, financial futures, ETFs and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Besause the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows,

 

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

SEPTEMBER 30, 2012 (Unaudited)

 

type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured Debt Instruments such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, 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 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.

At September 30, 2012, the Fund held securities issued by various companies in the utility sector, representing 26% of the total investments of the Fund.

 

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

SEPTEMBER 30, 2012 (Unaudited)

 

NOTE 3— INDEMNIFICATIONS

Under the Trust’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, 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 expect the risk loss to be remote.

NOTE 4— FEDERAL INCOME TAX INFORMATION

($ reported in thousands)

At September 30, 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)
 

$152,285

   $ 124,245       $ (987   $ 11,258   

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
     
     

By (Signature and Title)*

          /s/ George R. Aylward    
          George R. Aylward, President  
          (principal executive officer)  
     

Date

      11/28/12

 

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

      11/28/12

 

 

By (Signature and Title)*

          /s/ W. Patrick Bradley    
   

      W. Patrick Bradley, Vice President, Chief Financial Officer, and

      Treasurer

          (principal financial officer)  

Date

      11/28/12

 

 

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