Virtus Total Return Fund
SCHEDULE OF INVESTMENTS (Continued)
MARCH 31, 2013 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
($ reported in thousands)
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
VALUE
|
|
|
Energy—(continued)
|
|
|
|
|
|
|
|
|
|
Spectra Energy Corp.
|
|
|
122,900
|
|
|
$
|
3,779
|
|
|
TransCanada Corp.
|
|
|
106,668
|
|
|
|
5,109
|
|
|
Williams Cos., Inc. (The)
|
|
|
161,664
|
|
|
|
6,056
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,795
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials—1.8%
|
|
|
|
|
|
|
|
|
|
American Tower Corp.
|
|
|
30,960
|
|
|
|
2,381
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials—12.0%
|
|
|
|
|
|
|
|
|
|
Abertis Infraestructuras S.A.
|
|
|
99,637
|
|
|
|
1,674
|
|
|
Atlantia SpA
|
|
|
115,284
|
|
|
|
1,821
|
|
|
Auckland International Airport Ltd.
|
|
|
494,760
|
|
|
|
1,219
|
|
|
Ferrovial SA
|
|
|
85,759
|
|
|
|
1,361
|
|
|
Flughafen Zuerich AG
|
|
|
2,819
|
|
|
|
1,312
|
|
|
Fraport AG Frankfurt Airport Services Worldwide
|
|
|
23,989
|
|
|
|
1,345
|
|
|
Koninklijke Vopak N.V.
|
|
|
41,758
|
|
|
|
2,517
|
|
|
Transurban Group
|
|
|
482,946
|
|
|
|
3,208
|
|
|
Vinci SA
|
|
|
20,607
|
|
|
|
928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,385
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services—19.4%
|
|
|
|
|
|
|
AT&T, Inc.
|
|
|
141,190
|
|
|
|
5,180
|
|
|
BCE, Inc.
|
|
|
22,267
|
|
|
|
1,040
|
|
|
BT Group plc
|
|
|
306,537
|
|
|
|
1,295
|
|
|
Crown Castle International Corp.
(2)
|
|
|
42,905
|
|
|
|
2,988
|
|
|
Nippon Telegraph & Telephone Corp. ADR
|
|
|
38,645
|
|
|
|
840
|
|
|
Singapore Telecommunications Ltd.
|
|
|
635,000
|
|
|
|
1,838
|
|
|
TDC A/S
|
|
|
179,690
|
|
|
|
1,380
|
|
|
TELUS Corp.
|
|
|
31,081
|
|
|
|
2,146
|
|
|
Verizon Communications, Inc.
|
|
|
53,163
|
|
|
|
2,613
|
|
|
Vodafone Group plc Sponsored ADR
|
|
|
168,595
|
|
|
|
4,790
|
|
|
Windstream Corp.
|
|
|
109,277
|
|
|
|
869
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,979
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities—26.6%
|
|
|
|
|
|
|
|
|
|
Allette, Inc.
|
|
|
16,560
|
|
|
|
812
|
|
|
APA Group
|
|
|
187,860
|
|
|
|
1,166
|
|
|
CenterPoint Energy, Inc.
|
|
|
58,050
|
|
|
|
1,391
|
|
|
Centrica plc
|
|
|
162,995
|
|
|
|
911
|
|
|
CMS Energy Corp.
|
|
|
54,410
|
|
|
|
1,520
|
|
|
Consolidated Edison, Inc.
|
|
|
19,150
|
|
|
|
1,169
|
|
|
Dominion Resources, Inc.
|
|
|
30,493
|
|
|
|
1,774
|
|
|
DTE Energy Co.
|
|
|
15,875
|
|
|
|
1,085
|
|
|
E.ON AG
|
|
|
27,728
|
|
|
|
484
|
|
|
FirstEnergy Corp.
|
|
|
40,070
|
|
|
|
1,691
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
VALUE
|
|
|
Utilities—(continued)
|
|
|
|
|
|
|
|
|
|
National Grid plc
|
|
|
150,414
|
|
|
$
|
1,748
|
|
|
NextEra Energy, Inc.
|
|
|
29,540
|
|
|
|
2,295
|
|
|
NiSource, Inc.
|
|
|
50,235
|
|
|
|
1,474
|
|
|
Northeast Utilities
|
|
|
25,090
|
|
|
|
1,090
|
|
|
Northwest Natural Gas Co.
|
|
|
18,620
|
|
|
|
816
|
|
|
NV Energy, Inc.
|
|
|
61,300
|
|
|
|
1,228
|
|
|
ONEOK, Inc.
|
|
|
32,070
|
|
|
|
1,529
|
|
|
Pinnacle West Capital Corp.
|
|
|
23,000
|
|
|
|
1,331
|
|
|
Questar Corp.
|
|
|
41,000
|
|
|
|
998
|
|
|
Sempra Energy
|
|
|
28,025
|
|
|
|
2,240
|
|
|
SevernTrent plc
|
|
|
45,112
|
|
|
|
1,173
|
|
|
SP AusNet
|
|
|
912,630
|
|
|
|
1,135
|
|
|
Terna Rete Elettrica Nazionale SpA
|
|
|
235,945
|
|
|
|
977
|
|
|
United Utilities Group plc
|
|
|
90,838
|
|
|
|
978
|
|
|
Wisconsin Energy Corp.
|
|
|
43,408
|
|
|
|
1,862
|
|
|
XCEL Energy, Inc.
|
|
|
41,445
|
|
|
|
1,231
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,108
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Identified Cost $91,556)
|
|
|
|
106,894
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL LONG TERM INVESTMENTS—135.1%
|
|
|
(Identified cost $155,536)
|
|
|
|
173,513
|
(10)
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS—3.1%
|
|
|
|
|
|
|
|
|
|
Money Market Mutual Funds—3.1%
|
|
|
|
|
|
|
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.140%)
|
|
|
3,932,673
|
|
|
|
3,933
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $3,933)
|
|
|
|
3,933
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS—138.2%
(Identified Cost $159,469)
|
|
|
|
177,446
|
(1)
|
|
|
|
|
|
Other assets and liabilities, net—(38.2)%
|
|
|
|
|
|
|
(49,004
|
)
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS—100.0%
|
|
|
|
|
|
$
|
128,442
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviations:
|
|
|
|
|
ADR
|
|
American Depositary Receipt
|
PIK
REMIC
|
|
Payment-in-Kind Security
Real Estate Mortgage Investment Conduit
|
Footnote Legend:
|
(1)
|
Federal Income Tax
Information: For tax information at March 31, 2013, see Note 2 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, 2013.
|
9
Virtus Total Return Fund
SCHEDULE OF INVESTMENTS (Continued)
MARCH 31, 2013 (Unaudited)
($ reported in thousands)
|
(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, 2013, these securities amounted to a value of $24,672 or 19.2% of net assets.
|
|
(5)
|
Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules
903 and 904 of the Securities Act of 1933.
|
|
(6
)
|
Interest payments
may be deferred.
|
|
(7
)
|
No contractual maturity date
|
|
(8)
|
This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies
solely with the borrower, the name represented here is that of the borrower.
|
|
(9)
|
This loan will settle after March 31, 2013, at which time the interest rate will be determined.
|
|
(10)
|
A portion of the Fund’s assets have been segregated for delayed delivery settlements.
|
|
(11)
|
Principal is adjusted according to local inflation index
|
Foreign Currencies:
|
|
|
|
|
AUD
|
|
Australian Dollar
|
|
BRL
|
|
Brazilian Real
|
|
CAD
|
|
Canadian Dollar
|
|
COP
|
|
Colombian Peso
|
|
EUR
|
|
European Currency Unit
|
|
IDR
|
|
Indonesian Rupiah
|
|
KRW
|
|
South Korean Won
|
|
MXN
|
|
Mexican Peso
|
|
NOK
|
|
Norwegian Krone
|
|
NZD
|
|
New Zealand Dollar
|
|
PEN
|
|
Peruvian Nuevo Sol
|
|
PHP
|
|
Philippines Peso
|
|
RUB
|
|
Russian Ruble
|
|
TRY
|
|
Turkish Lira
|
|
UYU
|
|
Uruguayan Peso
|
|
ZAR
|
|
South African Rand
|
10
Virtus Total Return Fund
SCHEDULE OF INVESTMENTS
MARCH 31, 2013 (Unaudited)
|
|
|
|
|
|
|
($ reported in thousands)
|
|
|
|
|
|
|
Country Weightings †
|
|
|
United States
|
|
|
55
|
%
|
|
Canada
|
|
|
10
|
|
|
United Kingdom
|
|
|
6
|
|
|
Australia
|
|
|
4
|
|
|
Brazil
|
|
|
2
|
|
|
Luxembourg
|
|
|
2
|
|
|
Spain
|
|
|
2
|
|
|
Other
|
|
|
19
|
|
|
|
|
|
|
|
|
Total
|
|
|
100
|
%
|
|
|
|
|
|
|
|
†
|
% of total investments as of March 31, 2013
|
11
Virtus Total Return Fund
The following table provides a summary of inputs used to value the Fund’s investments as of March 31, 2013 (See Security Valuation Note 1A in the Notes to Schedules of Investments):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Value at
March 31,
2013
|
|
|
Level 1
Quoted
Prices
|
|
|
Level 2
Significant
Observable
Inputs
|
|
|
Debt Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
$
|
1,931
|
|
|
$
|
—
|
|
|
$
|
1,931
|
|
|
Corporate Bonds And Notes
|
|
|
39,318
|
|
|
|
—
|
|
|
|
39,318
|
|
|
Foreign Government Securities
|
|
|
8,029
|
|
|
|
—
|
|
|
|
8,029
|
|
|
Loan Agreements
|
|
|
10,488
|
|
|
|
—
|
|
|
|
10,488
|
|
|
Mortgage-Backed Securities
|
|
|
6,160
|
|
|
|
—
|
|
|
|
6,160
|
|
|
Equity Securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
106,894
|
|
|
|
106,894
|
|
|
|
—
|
|
|
Preferred Stock
|
|
|
693
|
|
|
|
123
|
|
|
|
570
|
|
|
Short-Term Investments
|
|
|
3,933
|
|
|
|
3,933
|
|
|
|
—
|
|
|
Total Investments
|
|
$
|
177,446
|
|
|
$
|
110,950
|
|
|
$
|
66,496
|
|
There are no Level 3 (significant unobservable input) priced securities.
VIRTUS TOTAL RETURN FUND
NOTES TO SCHEDULE OF INVESTMENTS
MARCH 31, 2013 (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 (the “Board” or the “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, and two other appropriate investment professionals of the Virtus Product Management team who previously have been identified to the Board. 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 Directors 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.
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, 2013 (Unaudited)
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 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— FEDERAL INCOME TAX INFORMATION
($ reported in thousands)
At March 31,
2013, 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)
|
|
$159,468
|
|
$19,188
|
|
$(1,210)
|
|
$17,978
|
NOTE 3— SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund 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.
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Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
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(Registrant)
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Virtus Total Return
Fund
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By (Signature and Title)*
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/s/ George R. Aylward
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George R. Aylward, President
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(principal executive officer)
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of
1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By (Signature and Title)*
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/s/ George R. Aylward
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George R. Aylward, President
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(principal executive officer)
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By (Signature and Title)*
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/s/ W. Patrick Bradley
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W. Patrick Bradley, Vice President, Chief Financial Officer, and
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Treasurer
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(principal financial officer)
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*
Print the name and title of each signing officer under his or her signature.
Virtus Total Return Fund (NYSE:DCA)
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