UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number811-04739
Virtus Total Return Fund Inc.
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9668
(Address of principal executive offices) (Zip code)
William Renahan, Esq.
Vice President, Chief Legal Officer and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866)270-7788
Date of fiscal year end: November 30
Date of reporting period: May 31, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
www.Virtus.com. Section 19(a) notices are posted on the website at:
https://www.virtus.com/our-products/closed-end-fund-details/ZF.
President, Chief Executive Officer, and Director
Virtus Total Return Fund Inc.
• | The realized volatility of the S&P 500® Index was over 29% during December, a level not seen since markets reacted to the downgrade of U.S. debt in 2011. |
• | The average level of the Chicago Board Options Exchange Volatility Index® (CBOE VIX®) during the month was also the highest since 2011. |
• | The S&P 500® Index rallied 5% on December 26, 2018 – its largest upward move since March 2009. |
• | The range between the high and low levels of the S&P 500® Index in December exceeded the range for all of 2017. |
Common Stocks | 61% | |
Utilities | 27% | |
Industrials | 16 | |
Energy | 11 | |
All Other Common Stocks | 7 | |
Corporate Bonds and Notes | 17 | |
Financials | 4 | |
Energy | 3 | |
Consumer Discretionary | 2 | |
All Other Corporate Bonds and Notes | 8 | |
Mortgage-Backed Securities | 8 | |
Leveraged Loans | 5 | |
Asset-Backed Securities | 3 | |
Foreign Government Securities | 3 | |
U.S. Government Securities | 1 | |
Other (includes short-term investments and written options) | 2 | |
Total | 100% |
United States | 67% |
Canada | 8 |
Australia | 5 |
Spain | 5 |
Italy | 2 |
France | 2 |
Netherlands | 1 |
Other | 10 |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—1.2% | |||
U.S. Treasury Bond 3.000%, 8/15/48 | $ 1,165 | $1,266 | |
U.S. Treasury Note | |||
2.625%, 12/31/23 | 125 | 129 | |
2.875%, 8/15/28 | 180 | 191 | |
2.625%, 2/15/29 | 1,195 | 1,246 | |
Total U.S. Government Securities (Identified Cost $2,784) | 2,832 | ||
Foreign Government Securities—3.8% | |||
Argentine Republic | |||
6.875%, 1/26/27 | 355 | 255 | |
Series NY 8.280%, 12/31/33 | 325 | 245 | |
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 225 | 69 | |
RegS 7.650%, 4/21/25(1)(2) | 830 | 232 | |
RegS 8.250%, 10/13/24(1)(2) | 610 | 174 | |
Dominican Republic | |||
144A 5.950%, 1/25/27(3) | 125 | 132 | |
144A 6.000%, 7/19/28(3) | 455 | 479 | |
Kingdom of Jordan 144A 5.750%, 1/31/27(3) | 265 | 259 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 600 | 652 | |
Kingdom of Saudi Arabia 144A 4.375%, 4/16/29(3) | 475 | 501 | |
Provincia de Buenos Aires 144A 7.875%, 6/15/27(3) | 275 | 191 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | 315 | 297 | |
Republic of Egypt | |||
144A 7.500%, 1/31/27(3) | 200 | 203 |
Par Value | Value | ||
144A 7.600%, 3/1/29(3) | $200 | $200 | |
Republic of Ghana 144A 7.625%, 5/16/29(3) | 200 | 192 | |
Republic of Indonesia | |||
144A 4.350%, 1/8/27(3) | 270 | 281 | |
FR77 8.125%, 5/15/24 | 3,785,000IDR | 272 | |
Republic of Nigeria 144A 7.875%, 2/16/32(3) | 525 | 517 | |
Republic of South Africa 5.650%, 9/27/47 | 390 | 374 | |
Republic of Turkey | |||
4.875%, 10/9/26 | 300 | 255 | |
6.000%, 3/25/27 | 485 | 435 | |
Russian Federation 144A 5.625%, 4/4/42(3) | 600 | 668 | |
Sultanate of Oman 144A 5.375%, 3/8/27(3) | 625 | 569 | |
Ukraine | |||
144A 7.750%, 9/1/23(3) | 195 | 190 | |
144A 7.750%, 9/1/26(3) | 465 | 437 | |
United Mexican States | |||
4.150%, 3/28/27 | 265 | 270 | |
4.500%, 4/22/29 | 230 | 239 | |
Series M, 6.500%, 6/9/22 | 5,044MXN | 248 | |
Total Foreign Government Securities (Identified Cost $9,785) | 8,836 | ||
Mortgage-Backed Securities—10.7% | |||
Agency—0.3% | |||
Federal National Mortgage Association | |||
Pool #MA3088 4.000%, 8/1/47 | 449 | 466 |
Par Value | Value | ||
Agency—continued | |||
Pool #MA3638 4.000%, 4/1/49 | $292 | $301 | |
767 | |||
Non-Agency—10.4% | |||
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46(3)(4) | 239 | 242 | |
Ajax Mortgage Loan Trust 2018-C, A 144A 4.360%, 9/25/65(3)(4) | 371 | 380 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 390 | 413 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 167 | 172 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 363 | |
Angel Oak Mortgage Trust I LLC | |||
2018-2, A1 144A 3.674%, 7/27/48(3)(4) | 431 | 437 | |
2019-1, A1 144A 3.920%, 11/25/48(3)(4) | 380 | 386 | |
2019-2, A1 144A 3.628%, 3/25/49(3)(4) | 541 | 547 | |
Angel Oak Mortgage Trust LLC 2019-3, A1 144A 2.930%, 5/25/59(3)(4) | 370 | 370 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 313 | 320 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 158 | 161 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 220 | 221 | |
Aventura Mall Trust 2013-AVM, C 144A 3.867%, 12/5/32(3)(4) | 215 | 218 | |
Banc of America Funding Trust | |||
2004-D, 5A1 4.485%, 1/25/35(4) | 68 | 68 |
Par Value | Value | ||
Non-Agency—continued | |||
2005-1, 1A1 5.500%, 2/25/35 | $10 | $10 | |
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34 | 88 | 93 | |
Bayview Opportunity Master Fund IVa Trust | |||
2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 400 | 418 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(3)(4) | 310 | 321 | |
Bunker Hill Loan Depositary Trust 2019-1, A1 144A 3.613%, 10/26/48(3)(4) | 213 | 217 | |
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34(3) | 245 | 255 | |
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49(3)(4) | 289 | 295 | |
Citigroup Commercial Mortgage Trust | |||
2013-375P, B 144A 3.518%, 5/10/35(3)(4) | 330 | 338 | |
2019-SST2, A (1 month LIBOR + 0.920%) 144A 3.360%, 12/15/36(3)(4) | 340 | 340 | |
Citigroup Mortgage Loan Trust 2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 181 | 186 | |
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 53 | 53 | |
Colony Starwood Homes Trust 2016-2A, C (1 month LIBOR + 2.150%) 144A 4.590%, 12/17/33(3)(4) | 315 | 315 |
Par Value | Value | ||
Non-Agency—continued | |||
COLT Mortgage Loan Trust Funding LLC 2019-1, A1 144A 3.705%, 3/25/49(3)(4) | $463 | $470 | |
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 4.508%, 1/25/34(4) | 93 | 97 | |
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%, 12/26/46(3)(4) | 23 | 23 | |
Ellington Financial Mortgage Trust | |||
2017-1, A1 144A 2.687%, 10/25/47(3)(4) | 349 | 347 | |
2018-1, A1FX 144A 4.140%, 10/25/58(3)(4) | 150 | 152 | |
GAHR Commercial Mortgage Trust 2015-NRF, CFX 144A 3.382%, 12/15/34(3)(4) | 140 | 139 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 153 | 155 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 190 | 191 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 383 | 392 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 600 | 617 | |
GSAA Home Equity Trust 2005-12, AF3W 4.999%, 9/25/35(4) | 30 | 31 | |
Homeward Opportunities Fund I Trust | |||
2018-1, A1 144A 3.766%, 6/25/48(3)(4) | 304 | 309 | |
2018-2, A1 144A 3.985%, 11/25/58(3)(4) | 506 | 515 | |
2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 355 | 359 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase (Bear Stearns) Alternate Loan Trust 2004-5, 3A1 4.677%, 6/25/34(4) | $232 | $238 | |
JPMorgan Chase Mortgage Trust | |||
2014-5, B2 144A 2.984%, 10/25/29(3)(4) | 126 | 124 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 287 | 297 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 313 | 323 | |
2017-3, 2A2 144A 2.500%, 8/25/47(3)(4) | 173 | 171 | |
2017-4, A3 144A 3.500%, 11/25/48(3)(4) | 82 | 83 | |
2018-8, A3 144A 4.000%, 1/25/49(3)(4) | 296 | 302 | |
Lending Home Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 335 | 339 | |
MASTR Alternative Loan Trust 2004-4, 6A1 5.500%, 4/25/34 | 50 | 53 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.630%, 6/25/52(3)(4)(5) | 185 | 185 | |
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 366 | 377 | |
Mill City Mortgage Loan Trust 2018-4, A1B 144A 3.500%, 4/25/66(3)(4) | 825 | 832 | |
New Residential Mortgage Loan Trust | |||
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 3.180%, 1/25/48(3)(4) | 391 | 390 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 100 | 102 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | $140 | $143 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 580 | 614 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 147 | 153 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 254 | 262 | |
OBX Trust | |||
2018-EXP2, 1A1 144A 4.000%, 11/25/48(3)(4) | 255 | 259 | |
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 200 | 206 | |
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32(3) | 355 | 368 | |
Preston Ridge Partners Mortgage LLC | |||
2019-1A, A1 144A 4.500%, 1/25/24(3)(4) | 434 | 441 | |
2019-2A, A1 144A 3.967%, 4/25/24(3)(4) | 367 | 372 | |
Pretium Mortgage Credit Partners I LLC 2019-NPL1, A1 144A 4.213%, 7/25/60(3)(4) | 258 | 261 | |
Progress Residential Trust | |||
2017-SFR1, B 144A 3.017%, 8/17/34(3) | 150 | 150 | |
2018-SFR2, B 144A 3.841%, 8/17/35(3) | 575 | 589 | |
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24(3)(4)(5) | 210 | 210 | |
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35 | 99 | 102 | |
Residential Mortgage Loan Trust 2019-1, A1 144A 3.936%, 10/25/58(3)(4) | 125 | 126 | |
Stack Infrastructure Issuer LLC 2019-1A, A2 144A 4.540%, 2/25/44(3) | 299 | 311 |
Par Value | Value | ||
Non-Agency—continued | |||
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | $296 | $300 | |
Towd Point Mortgage Trust | |||
2015-1, A2 144A 3.250%, 10/25/53(3)(4) | 220 | 221 | |
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 300 | 310 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 160 | 163 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 185 | 189 | |
2017-6, A2 144A 3.000%, 10/25/57(3)(4) | 150 | 147 | |
2019-1, A1 144A 3.750%, 3/25/58(3)(4) | 159 | 164 | |
2018-4, A1 144A 3.000%, 6/25/58(3)(4) | 326 | 326 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 151 | 152 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 395 | 399 | |
Tricon American Homes Trust | |||
2016-SFR1, C 144A 3.487%, 11/17/33(3) | 635 | 638 | |
2017-SFR1, A 144A 2.716%, 9/17/34(3) | 105 | 105 | |
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49(3)(4) | 248 | 250 | |
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 229 | 230 | |
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48(3)(4) | 125 | 126 | |
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49(3)(4) | 202 | 204 |
Par Value | Value | ||
Non-Agency—continued | |||
Verus Securitization Trust | |||
2018-2, A1 144A 3.677%, 6/1/58(3)(4) | $275 | $278 | |
2019-1, A1 144A 3.836%, 2/25/59(3)(4) | 382 | 388 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 299 | 303 | |
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50 | 185 | 190 | |
24,402 | |||
Total Mortgage-Backed Securities (Identified Cost $24,844) | 25,169 | ||
Asset-Backed Securities—3.9% | |||
Automobiles—2.1% | |||
ACC Trust | |||
2018-1, B 144A 4.820%, 5/20/21(3) | 255 | 256 | |
2019-1, B 144A 4.470%, 10/20/22(3) | 280 | 286 | |
American Credit Acceptance Receivables Trust 2018-4, C 144A 3.970%, 1/13/25(3) | 350 | 357 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(3) | 380 | 381 | |
CarNow Auto Receivables Trust 2016-1A, D 144A 7.340%, 11/15/21(3) | 175 | 175 |
Par Value | Value | ||
Automobiles—continued | |||
Carvana Auto Receivables Trust 2019-1A, D 144A 3.880%, 10/15/24(3) | $335 | $343 | |
Exeter Automobile Receivables Trust | |||
2015-2A, C 144A 3.900%, 3/15/21(3) | 78 | 78 | |
2016-3A, B 144A 2.840%, 8/16/21(3) | 236 | 236 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 355 | 368 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 330 | 340 | |
Flagship Credit Auto Trust 2019-1, C 144A 3.600%, 2/18/25(3) | 220 | 226 | |
GLS Auto Receivables Trust | |||
2017-1A, B 144A 2.980%, 12/15/21(3) | 455 | 456 | |
2017-1A, C 144A 3.500%, 7/15/22(3) | 455 | 456 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(3) | 305 | 312 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(3) | 305 | 307 |
Par Value | Value | ||
Automobiles—continued | |||
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24(3) | $295 | $299 | |
4,876 | |||
Consumer Loans—0.1% | |||
FREED ABS Trust 2019-1, B 144A 3.870%, 6/18/26(3) | 305 | 308 | |
Other—1.7% | |||
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(3) | 285 | 286 | |
Arbys Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45(3) | 371 | 384 | |
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47(3) | 374 | 384 | |
Drug Royalty III LP 1 2016-1A, A 144A 3.979%, 4/15/27(3) | 138 | 139 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(3) | 323 | 328 | |
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23(3) | 165 | 168 | |
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44(3) | 108 | 108 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(3) | 345 | 357 | |
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(3) | 315 | 317 | |
Prosper Marketplace Issuance Trust | |||
2018-1A, A 144A 3.110%, 6/17/24(3) | 55 | 55 |
Par Value | Value | ||
Other—continued | |||
2018-2A, B 144A 3.960%, 10/15/24(3) | $295 | $298 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(3) | 295 | 301 | |
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47(3) | 138 | 134 | |
Trinity Rail Leasing 2019 LLC 2019-1A, A 144A 3.820%, 4/17/49(3) | 305 | 311 | |
Upstart Securitization Trust 2018-1, B 144A 3.887%, 8/20/25(3) | 195 | 195 | |
VSE VOI Mortgage LLC 2016-A, A 144A 2.540%, 7/20/33(3) | 178 | 177 | |
3,942 | |||
Total Asset-Backed Securities (Identified Cost $9,005) | 9,126 | ||
Corporate Bonds and Notes—23.9% | |||
Communication Services—1.7% | |||
America Movil SAB de C.V. 6.450%, 12/5/22 | 20MXN | 94 | |
AT&T, Inc. | |||
4.250%, 3/1/27 | 90 | 94 | |
(3 month LIBOR + 1.180%) 3.616%, 6/12/24(4) | 255 | 256 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(3) | 255 | 219 | |
Clear Channel Worldwide Holdings, Inc. 144A 9.250%, 2/15/24(3) | 225 | 241 | |
Comcast Corp. | |||
3.950%, 10/15/25 | 171 | 181 | |
4.150%, 10/15/28 | 83 | 89 |
Par Value | Value | ||
Communication Services—continued | |||
Consolidated Communications, Inc. 6.500%, 10/1/22 | $290 | $265 | |
CSC Holdings LLC 144A 7.500%, 4/1/28(3) | 255 | 272 | |
Digicel Group One Ltd. 144A 8.250%, 12/30/22(3) | 154 | 96 | |
Discovery Communications LLC 3.950%, 3/20/28 | 365 | 365 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 90 | 88 | |
7.750%, 7/1/26 | 190 | 174 | |
Entercom Media Corp. 144A 6.500%, 5/1/27(3) | 15 | 15 | |
Frontier Communications Corp. | |||
8.500%, 4/15/20 | 115 | 112 | |
7.625%, 4/15/24 | 170 | 99 | |
11.000%, 9/15/25 | 180 | 113 | |
144A 8.500%, 4/1/26(3) | 100 | 96 | |
iHeart Communication Escrow 0.000%, 5/1/23(6) | 115 | — | |
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | 7 | 7 | |
8.375%, 5/1/27 | 13 | 13 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(3) | 260 | 236 | |
Meredith Corp. 6.875%, 2/1/26 | 185 | 190 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 385 | 394 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(3) | 320 | 323 | |
4,032 | |||
Par Value | Value | ||
Consumer Discretionary—2.4% | |||
Beazer Homes USA, Inc. | |||
6.750%, 3/15/25 | $120 | $112 | |
5.875%, 10/15/27 | 155 | 127 | |
Boyd Gaming Corp. 6.000%, 8/15/26 | 75 | 76 | |
Bunge Ltd. Finance Corp. 4.350%, 3/15/24 | 325 | 334 | |
Caesars Resort Collection LLC 144A 5.250%, 10/15/25(3) | 175 | 171 | |
Dollar Tree, Inc. 4.000%, 5/15/25 | 185 | 190 | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(3) | 110 | 115 | |
Eldorado Resorts, Inc. 6.000%, 9/15/26 | 95 | 98 | |
Frontdoor, Inc. 144A 6.750%, 8/15/26(3) | 225 | 236 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(3) | 265 | 275 | |
GLP Capital LP 5.250%, 6/1/25 | 225 | 238 | |
Hilton Domestic Operating Co., Inc. 5.125%, 5/1/26 | 275 | 278 | |
IAA Spinco, Inc. 144A 5.500%, 6/15/27(3) | 70 | 71 | |
Lear Corp. 3.800%, 9/15/27 | 400 | 384 | |
M/I Homes, Inc. 5.625%, 8/1/25 | 255 | 249 | |
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27(3) | 165 | 170 | |
Neiman Marcus Group Ltd. 144A 8.000%, 10/15/21(3) | 270 | 138 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Panther BF Aggregator 2 LP | |||
144A 6.250%, 5/15/26(3) | $20 | $20 | |
144A 8.500%, 5/15/27(3) | 190 | 189 | |
Scientific Games International, Inc. | |||
6.625%, 5/15/21 | 320 | 323 | |
144A 8.250%, 3/15/26(3) | 110 | 111 | |
Service Corp. International 5.125%, 6/1/29 | 70 | 71 | |
Tenneco, Inc. 5.000%, 7/15/26 | 195 | 148 | |
Under Armour, Inc. 3.250%, 6/15/26 | 280 | 259 | |
Viking Cruises Ltd. 144A 5.875%, 9/15/27(3) | 315 | 305 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 315 | 296 | |
Weekley Homes LLC 6.625%, 8/15/25 | 325 | 319 | |
William Lyon Homes, Inc. 6.000%, 9/1/23 | 345 | 342 | |
5,645 | |||
Consumer Staples—1.1% | |||
Albertson’s Cos., LLC 5.750%, 3/15/25 | 85 | 82 | |
Altria Group, Inc. | |||
4.400%, 2/14/26 | 55 | 57 | |
4.800%, 2/14/29 | 420 | 439 | |
Anheuser-Busch Inbev Worldwide, Inc. | |||
4.000%, 4/13/28 | 245 | 256 | |
4.750%, 1/23/29 | 78 | 85 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(3) | 310 | 322 | |
Chobani LLC 144A 7.500%, 4/15/25(3) | 200 | 182 | |
CVS Health Corp. 4.300%, 3/25/28 | 290 | 299 | |
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23(3) | 215 | 186 |
Par Value | Value | ||
Consumer Staples—continued | |||
NBM US Holdings, Inc. 144A 7.000%, 5/14/26(3) | $305 | $315 | |
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28(3) | 295 | 298 | |
2,521 | |||
Energy—4.3% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 290 | 298 | |
Blue Racer Midstream LLC 144A 6.625%, 7/15/26(3) | 335 | 337 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 124 | 123 | |
Cheniere Energy Partners LP 144A 5.625%, 10/1/26(3) | 160 | 162 | |
Citgo Holding, Inc. 144A 10.750%, 2/15/20(3) | 235 | 241 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 315 | 302 | |
Denbury Resources, Inc. | |||
144A 9.250%, 3/31/22(3) | 119 | 115 | |
144A 7.500%, 2/15/24(3) | 125 | 108 | |
Encana Corp. 8.125%, 9/15/30(7) | 220 | 290 | |
EP Energy LLC | |||
144A 9.375%, 5/1/24(3) | 105 | 33 | |
144A 8.000%, 11/29/24(3) | 105 | 65 | |
Gazprom OAO Via Gaz Capital S.A. RegS 7.288%, 8/16/37(2)(8) | 330 | 394 | |
Geopark Ltd. 144A 6.500%, 9/21/24(3) | 380 | 381 | |
HollyFrontier Corp. 5.875%, 4/1/26(7) | 415 | 447 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27(3) | 425 | 446 |
Par Value | Value | ||
Energy—continued | |||
Kinder Morgan, Inc. 7.750%, 1/15/32 | $500 | $657 | |
Kosmos Energy Ltd. 144A 7.125%, 4/4/26(3) | 280 | 276 | |
Lukoil International Finance BV 144A 4.563%, 4/24/23(3) | 225 | 230 | |
MPLX LP 4.000%, 3/15/28 | 156 | 156 | |
Nabors Industries, Inc. 5.500%, 1/15/23 | 240 | 211 | |
Odebrecht Offshore Drilling Finance Ltd. PIK, 144A 7.720%, 12/1/26(3)(9) | 174 | 44 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000%(3)(10) | 26 | —(11) | |
Pertamina Persero PT 144A 6.450%, 5/30/44(3) | 795 | 906 | |
Petrobras Global Finance BV | |||
7.375%, 1/17/27 | 405 | 455 | |
5.750%, 2/1/29 | 535 | 539 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 665 | 133 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 335 | 334 | |
6.500%, 3/13/27 | 300 | 303 | |
5.350%, 2/12/28 | 300 | 279 | |
6.500%, 6/2/41 | 250 | 226 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 165 | 167 | |
Sanchez Energy Corp. 144A 7.250%, 2/15/23(3) | 105 | 89 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 345 | 397 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 170 | 176 |
Par Value | Value | ||
Energy—continued | |||
Transocean, Inc. 144A 9.000%, 7/15/23(3) | $170 | $175 | |
USA Compression Partners LP | |||
6.875%, 4/1/26 | 255 | 261 | |
144A 6.875%, 9/1/27(3) | 30 | 31 | |
Vine Oil & Gas LP 144A 8.750%, 4/15/23(3) | 270 | 192 | |
Weatherford International Ltd. 9.875%, 2/15/24 | 115 | 56 | |
10,035 | |||
Financials—5.6% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(3) | 110 | 113 | |
144A 7.000%, 11/15/25(3) | 370 | 336 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 380 | 364 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53(7)(12) | 394 | 404 | |
Athene Holding Ltd. 4.125%, 1/12/28(7) | 375 | 368 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3)(7) | 400 | 416 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 485 | 467 | |
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33(3) | 360 | 336 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(3) | 505 | 549 | |
Bank of America Corp. 4.200%, 8/26/24 | 485 | 508 | |
Bank of Montreal 3.803%, 12/15/32 | 210 | 207 |
Par Value | Value | ||
Financials—continued | |||
Brighthouse Financial, Inc. 3.700%, 6/22/27(7) | $425 | $396 | |
BrightSphere Investment Group plc 4.800%, 7/27/26 | 315 | 315 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 460 | 455 | |
Discover Bank 4.682%, 8/9/28 | 350 | 357 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(3) | 350 | 355 | |
E*TRADE Financial Corp. 4.500%, 6/20/28 | 340 | 354 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 360 | 374 | |
FS KKR Capital Corp. 4.750%, 5/15/22 | 310 | 312 | |
Goldman Sachs Group, Inc. (The) (3 month LIBOR + 1.170%) 3.688%, 5/15/26(4)(7) | 315 | 311 | |
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26(3) | 475 | 510 | |
Guanay Finance Ltd. 144A 6.000%, 12/15/20(3) | 200 | 202 | |
ICAHN Enterprises LP 144A 6.250%, 5/15/26(3) | 220 | 219 | |
iStar, Inc. 5.250%, 9/15/22 | 130 | 130 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 220 | 234 | |
Jefferies Group LLC 4.850%, 1/15/27 | 50 | 51 |
Par Value | Value | ||
Financials—continued | |||
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42(3) | $335 | $400 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.631%, 4/20/67(4)(7)(12) | 130 | 101 | |
Morgan Stanley 3.125%, 7/27/26 | 425 | 422 | |
Navient Corp. 6.750%, 6/25/25 | 290 | 294 | |
Prudential Financial, Inc. 5.875%, 9/15/42 | 275 | 288 | |
Santander Holdings USA, Inc. | |||
4.450%, 12/3/21 | 73 | 75 | |
4.400%, 7/13/27 | 375 | 381 | |
Springleaf Finance Corp. | |||
6.875%, 3/15/25 | 125 | 130 | |
7.125%, 3/15/26 | 105 | 110 | |
Synchrony Financial 3.950%, 12/1/27(7) | 540 | 522 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 186 | 190 | |
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54(3)(7) | 160 | 168 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31(7) | 390 | 392 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 285 | 289 | |
Wells Fargo & Co. Series S 5.900%(7)(10) | 595 | 612 | |
13,017 | |||
Health Care—1.9% | |||
Advanz Pharma Corp. 8.000%, 9/6/24 | 77 | 73 |
Par Value | Value | ||
Health Care—continued | |||
Avantor, Inc. | |||
144A 6.000%, 10/1/24(3) | $150 | $156 | |
144A 9.000%, 10/1/25(3) | 145 | 160 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3) | 90 | 97 | |
144A 8.500%, 1/31/27(3) | 105 | 110 | |
Bausch Health Cos., Inc. | |||
144A 6.500%, 3/15/22(3) | 30 | 31 | |
144A 7.000%, 3/15/24(3) | 20 | 21 | |
144A 5.500%, 11/1/25(3) | 305 | 306 | |
144A 7.000%, 1/15/28(3) | 210 | 208 | |
Becton Dickinson & Co. 3.700%, 6/6/27 | 400 | 410 | |
Centene Corp. 144A 5.375%, 6/1/26(3) | 90 | 93 | |
Cigna Corp. 144A 4.125%, 11/15/25(3) | 272 | 284 | |
Eagle Holding Co. II, LLC | |||
PIK, 144A 7.625%, 5/15/22(3)(9) | 170 | 170 | |
PIK, 144A 7.750%, 5/15/22(3)(9) | 185 | 186 | |
Endo Dac 144A 6.000%, 7/15/23(3) | 262 | 188 | |
HCA, Inc. | |||
5.375%, 2/1/25 | 205 | 214 | |
5.625%, 9/1/28 | 185 | 193 | |
5.875%, 2/1/29 | 20 | 21 | |
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24(3) | 120 | 119 | |
Mylan NV 3.950%, 6/15/26 | 300 | 282 | |
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22(3) | 145 | 135 |
Par Value | Value | ||
Health Care—continued | |||
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | $480 | $472 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 40 | 36 | |
144A 10.000%, 4/15/27(3) | 135 | 137 | |
Tenet Healthcare Corp. | |||
8.125%, 4/1/22 | 110 | 115 | |
144A 6.250%, 2/1/27(3) | 120 | 123 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(3) | 185 | 170 | |
4,510 | |||
Industrials—1.9% | |||
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 370 | 371 | |
Builders FirstSource, Inc. 144A 6.750%, 6/1/27(3) | 15 | 15 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 318 | 328 | |
Delhi International Airport Ltd. 144A 6.450%, 6/4/29(3) | 320 | 326 | |
DP World plc 144A 6.850%, 7/2/37(3) | 310 | 379 | |
Garda World Security Corp. 144A 8.750%, 5/15/25(3) | 335 | 320 | |
GFL Environmental, Inc. | |||
144A 7.000%, 6/1/26(3) | 140 | 135 | |
144A 8.500%, 5/1/27(3) | 120 | 122 | |
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22(3) | 230 | 210 | |
Navistar International Corp. 144A 6.625%, 11/1/25(3) | 75 | 77 | |
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22(3) | 170 | 173 |
Par Value | Value | ||
Industrials—continued | |||
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(3) | $278 | $268 | |
Oshkosh Corp. 4.600%, 5/15/28 | 413 | 426 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 180 | 160 | |
Topaz Marine S.A. 144A 9.125%, 7/26/22(3) | 240 | 243 | |
TransDigm, Inc. | |||
6.500%, 7/15/24 | 210 | 209 | |
6.500%, 5/15/25 | 130 | 129 | |
United Airlines Pass-Through Trust 2007-1, A 6.636%, 7/2/22 | 293 | 309 | |
US Airways, Inc. Pass-Through Trust 2012-1, B 8.000%, 10/1/19 | 280 | 283 | |
4,483 | |||
Information Technology—1.2% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(3) | 35 | 33 | |
Broadcom Corp. 3.625%, 1/15/24 | 239 | 237 | |
Broadcom, Inc. 144A 3.625%, 10/15/24(3) | 270 | 265 | |
Citrix Systems, Inc. 4.500%, 12/1/27 | 380 | 387 | |
Dell International LLC | |||
144A 4.900%, 10/1/26(3) | 175 | 179 | |
144A 8.100%, 7/15/36(3) | 110 | 132 | |
Everi Payments, Inc. 144A 7.500%, 12/15/25(3) | 85 | 88 | |
Exela Intermediate LLC 144A 10.000%, 7/15/23(3) | 120 | 95 |
Par Value | Value | ||
Information Technology—continued | |||
Go Daddy Operating Co., LLC 144A 5.250%, 12/1/27(3) | $260 | $262 | |
IQVIA, Inc. 144A 5.000%, 5/15/27(3) | 60 | 61 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 235 | 243 | |
4.600%, 5/23/29 | 125 | 128 | |
ViaSat, Inc. | |||
144A 5.625%, 9/15/25(3) | 395 | 383 | |
144A 5.625%, 4/15/27(3) | 165 | 167 | |
VMware, Inc. 3.900%, 8/21/27 | 257 | 254 | |
2,914 | |||
Materials—2.2% | |||
Alpek SAB de C.V. 144A 5.375%, 8/8/23(3) | 400 | 419 | |
Anglo American Capital plc 144A 4.000%, 9/11/27(3) | 235 | 231 | |
ArcelorMittal 4.550%, 3/11/26 | 180 | 184 | |
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75(3)(12) | 400 | 449 | |
Eldorado Gold Corp. 144A 6.125%, 12/15/20(3) | 215 | 215 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(3) | 315 | 321 | |
Glencore Funding LLC 144A 4.000%, 3/27/27(3) | 410 | 400 | |
Greif, Inc. 144A 6.500%, 3/1/27(3) | 180 | 181 | |
Hexion, Inc. 6.625%, 4/15/20(1) | 200 | 160 | |
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24(3) | 300 | 292 |
Par Value | Value | ||
Materials—continued | |||
James Hardie International Finance DAC 144A 5.000%, 1/15/28(3) | $375 | $362 | |
Kraton Polymers LLC 144A 7.000%, 4/15/25(3) | 230 | 230 | |
LSB Industries, Inc. 144A 9.625%, 5/1/23(3) | 155 | 160 | |
NOVA Chemicals Corp. | |||
144A 4.875%, 6/1/24(3) | 45 | 42 | |
144A 5.000%, 5/1/25(3) | 115 | 106 | |
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24(3) | 190 | 192 | |
SABIC Capital II BV 144A 4.500%, 10/10/28(3) | 315 | 332 | |
Syngenta Finance N.V. | |||
144A 4.441%, 4/24/23(3) | 200 | 206 | |
144A 4.892%, 4/24/25(3) | 200 | 207 | |
Teck Resources Ltd. 144A 8.500%, 6/1/24(3) | 75 | 80 | |
Trident Merger Sub, Inc. 144A 6.625%, 11/1/25(3) | 190 | 174 | |
Vedanta Resources Ltd. 144A 6.125%, 8/9/24(3) | 225 | 196 | |
5,139 | |||
Real Estate—0.9% | |||
EPR Properties | |||
4.750%, 12/15/26 | 175 | 183 | |
4.500%, 6/1/27 | 200 | 206 | |
Healthcare Trust of America Holdings LP 3.750%, 7/1/27 | 190 | 192 | |
Hospitality Properties Trust | |||
4.950%, 2/15/27 | 145 | 148 | |
4.375%, 2/15/30 | 215 | 208 | |
Life Storage LP | |||
3.875%, 12/15/27 | 150 | 151 |
Par Value | Value | ||
Real Estate—continued | |||
4.000%, 6/15/29 | $190 | $192 | |
MPT Operating Partnership LP 5.000%, 10/15/27 | 150 | 148 | |
Office Properties Income Trust 4.500%, 2/1/25(7) | 345 | 337 | |
Physicians Realty LP 4.300%, 3/15/27 | 265 | 268 | |
2,033 | |||
Utilities—0.7% | |||
CenterPoint Energy, Inc. 4.250%, 11/1/28 | 305 | 325 | |
DPL, Inc. 144A 4.350%, 4/15/29(3) | 306 | 313 | |
Ferrellgas Partners LP 8.625%, 6/15/20 | 50 | 36 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 390 | 385 | |
Talen Energy Supply LLC 144A 7.250%, 5/15/27(3) | 70 | 71 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 280 | 269 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(3)(6) | 125 | —(11) | |
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28(3) | 255 | 279 | |
1,678 | |||
Total Corporate Bonds and Notes (Identified Cost $56,501) | 56,007 | ||
Par Value | Value | ||
Leveraged Loans(4)—6.9% | |||
Aerospace—0.3% | |||
Atlantic Aviation FBO, Inc. (1 month LIBOR + 3.750%) 6.190%, 12/6/25 | $65 | $65 | |
Dynasty Acquisition Co., Inc. | |||
Tranche B-1 (3 month LIBOR + 4.000%) 6.602%, 4/6/26 | 85 | 85 | |
Tranche B-2 (3 month LIBOR + 4.000%) 6.602%, 4/6/26 | 45 | 46 | |
TransDigm, Inc. | |||
2018, Tranche E (1 month LIBOR + 2.500%) 4.939%, 5/30/25 | 60 | 59 | |
2018, Tranche F (1 month LIBOR + 2.500%) 4.939%, 6/9/23 | 377 | 370 | |
625 | |||
Chemicals—0.2% | |||
New Arclin U.S. Holding Corp. First Lien (1 month LIBOR + 3.500%) 5.939%, 2/14/24 | 143 | 143 | |
Omnova Solutions, Inc. Tranche B-2 (1 month LIBOR + 3.250%) 5.689%, 8/25/23 | 333 | 328 | |
471 | |||
Consumer Durables—0.1% | |||
Global Appliance, Inc. Tranche B (1 month LIBOR + 4.000%) 6.440%, 9/29/24 | 252 | 250 |
Par Value | Value | ||
Consumer Non-Durables—0.4% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 6.939%, 4/6/24 | $317 | $317 | |
Energizer Holdings, Inc. Tranche B (1 month LIBOR + 2.250%) 4.750%, 12/17/25 | 65 | 64 | |
Kronos Acquisition Intermediate, Inc. (1 month LIBOR + 4.000%) 6.428%, 5/15/23 | 128 | 121 | |
Parfums Holdings Co., Inc. First Lien (3 month LIBOR + 4.250%) 6.772%, 6/30/24 | 145 | 144 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 6.440%, 6/16/25 | 308 | 272 | |
918 | |||
Energy—0.4% | |||
California Resources Corp. (1 month LIBOR + 10.375%) 12.803%, 12/31/21 | 95 | 95 | |
CITGO Petroleum Corp. 2019 Tranche B (3 month LIBOR + 5.000%) 7.600%, 3/28/24 | 145 | 145 | |
Medallion Midland Acquisition LLC (1 month LIBOR + 3.250%) 0.000%, 10/30/24(13) | 217 | 214 |
Par Value | Value | ||
Energy—continued | |||
Seadrill Operating LP (3 month LIBOR + 6.000%) 8.601%, 2/21/21 | $124 | $96 | |
Traverse Midstream Partners LLC (3 month LIBOR + 4.000%) 6.590%, 9/27/24 | 393 | 388 | |
938 | |||
Financial—0.5% | |||
Asurion LLC Tranche B-2 (1 month LIBOR + 6.500%) 8.939%, 8/4/25 | 381 | 387 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 0.000%, 6/15/25(13) | 308 | 304 | |
Ditech Holding Corp. Tranche B (3 month PRIME + 7.000%) 12.500%, 6/30/22(1) | 292 | 160 | |
iStar, Inc. (1 month LIBOR + 2.750%) 5.204%, 6/28/23 | 263 | 262 | |
Refinitiv US Holdings, Inc. (1 month LIBOR + 3.750%) 6.189%, 10/1/25 | 174 | 170 | |
1,283 | |||
Food / Tobacco—0.3% | |||
Chobani LLC First Lien (1 month LIBOR + 3.500%) 5.939%, 10/10/23 | 168 | 165 | |
H-Food Holdings, LLC | |||
(1 month LIBOR + 3.688%) 6.126%, 5/23/25 | 40 | 39 | |
2018, Tranche B-2 (1 month LIBOR + 4.000%) 6.439%, 5/23/25 | 199 | 197 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Milk Specialties Co. (1 month LIBOR + 4.000%) 6.439%, 8/16/23 | $234 | $229 | |
630 | |||
Food and Drug—0.1% | |||
Albertson’s LLC 2018, Tranche B-7 (1 month LIBOR + 3.000%) 5.439%, 11/17/25 | 190 | 189 | |
Gaming / Leisure—0.5% | |||
Affinity Gaming (1 month LIBOR + 3.250%) 5.689%, 7/1/23 | 289 | 275 | |
Gateway Casinos & Entertainment Ltd. (3 month LIBOR + 3.000%) 5.601%, 12/1/23 | 109 | 109 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 5.190%, 4/29/24 | 146 | 143 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 5.223%, 8/14/24 | 65 | 63 | |
Seminole Tribe of Florida 2018, Tranche B (1 month LIBOR + 1.750%) 4.189%, 7/8/24 | 167 | 167 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 6.101%, 7/10/25 | 215 | 215 | |
UFC Holdings LLC 2019, First Lien (1 month LIBOR + 3.250%) 5.690%, 4/29/26 | 210 | 210 | |
1,182 | |||
Par Value | Value | ||
Healthcare—0.7% | |||
21st Century Oncology, Inc. Tranche B (3 month LIBOR + 6.125%) 8.735%, 1/16/23 | $32 | $28 | |
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 5.967%, 10/31/25 | 160 | 160 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 6.939%, 6/30/25 | 189 | 188 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 5.217%, 11/27/25 | 90 | 89 | |
(1 month LIBOR + 3.000%) 5.467%, 6/2/25 | 37 | 37 | |
CHG Healthcare Services, Inc. 2017, First Lien (1 month LIBOR + 3.000%) 5.439%, 6/7/23 | 69 | 69 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 6.189%, 10/10/25 | 159 | 144 | |
Explorer Holdings, Inc. (3 month LIBOR + 3.750%) 6.351%, 5/2/23 | 229 | 228 | |
NVA Holdings, Inc. Tranche B-4 (1 month LIBOR + 3.500%) 5.939%, 2/2/25 | 25 | 25 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 5.695%, 6/30/25 | 135 | 131 | |
Regionalcare Hospital Partners Holdings, Inc. Tranche B (1 month LIBOR + 4.500%) 6.930%, 11/16/25 | 259 | 258 |
Par Value | Value | ||
Healthcare—continued | |||
U.S. Renal Care, Inc. First Lien (3 month LIBOR + 4.250%) 6.851%, 12/30/22 | $159 | $159 | |
Wellpath Holdings, Inc. First Lien (1 month LIBOR + 5.500%) 7.939%, 10/1/25 | 184 | 180 | |
1,696 | |||
Housing—0.4% | |||
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 month LIBOR + 2.000%) 4.439%, 10/31/23 | 247 | 243 | |
Capital Automotive LP Tranche B (1 month LIBOR + 6.000%) 8.440%, 3/24/25 | 131 | 131 | |
CPG International LLC (3 month LIBOR + 3.750%) 6.633%, 5/5/24 | 221 | 218 | |
Summit Materials, LLC (1 month LIBOR + 2.000%) 4.439%, 11/21/24 | 313 | 312 | |
904 | |||
Information Technology—0.6% | |||
Applied Systems, Inc. Second Lien (1 month LIBOR + 7.000%) 9.439%, 9/19/25 | 124 | 125 | |
Boxer Parent Co., Inc. (3 month LIBOR + 4.250%) 6.851%, 10/2/25 | 170 | 166 | |
Dell International LLC Tranche B (1 month LIBOR + 2.000%) 4.440%, 9/7/23 | 99 | 98 |
Par Value | Value | ||
Information Technology—continued | |||
Kronos, Inc. | |||
First Lien (3 month LIBOR + 3.000%) 5.579%, 11/1/23 | $368 | $367 | |
Second Lien (3 month LIBOR + 8.250%) 10.829%, 11/1/24 | 126 | 130 | |
SS&C Technologies Holdings, Inc. | |||
Tranche B-3 (1 month LIBOR + 2.250%) 4.689%, 4/16/25 | 124 | 123 | |
Tranche B-4 (1 month LIBOR + 2.250%) 4.689%, 4/16/25 | 87 | 87 | |
Vertafore, Inc. First Lien (3 month LIBOR + 3.250%) 0.000%, 7/2/25(13) | 340 | 327 | |
1,423 | |||
Manufacturing—0.3% | |||
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 7.349%, 8/17/22 | 342 | 269 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 5.439%, 3/29/25 | 272 | 271 | |
Hillman Group, Inc. (The) (1 month LIBOR + 4.000%) 6.439%, 5/30/25 | 114 | 111 | |
651 | |||
Media / Telecom - Broadcasting—0.0% | |||
iHeartCommunications, Inc. (3 month LIBOR + 4.000%) 0.000%, 5/1/26(13) | 31 | 31 |
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 4.690%, 1/15/26 | $304 | $298 | |
Media / Telecom - Diversified Media—0.1% | |||
Crown Finance US, Inc. (1 month LIBOR + 2.250%) 4.689%, 2/28/25 | 281 | 275 | |
Media / Telecom - Telecommunications—0.3% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.750%) 5.189%, 1/31/25 | 337 | 327 | |
Securus Technologies Holdings, Inc. | |||
First Lien (1 month LIBOR + 4.500%) 0.000%, 11/1/24(13) | 45 | 43 | |
Second Lien (1 month LIBOR + 8.250%) 10.689%, 11/1/25 | 175 | 167 | |
West Corp. Tranche B (1 month LIBOR + 4.000%) 6.522%, 10/10/24 | 145 | 135 | |
672 | |||
Media / Telecom - Wireless Communications—0.1% | |||
Commscope, Inc. (1 month LIBOR + 3.250%) 5.689%, 4/6/26 | 230 | 229 |
Par Value | Value | ||
Metals / Minerals—0.0% | |||
Covia Holdings Corp. (3 month LIBOR + 3.750%) 6.348%, 6/1/25 | $143 | $121 | |
Retail—0.1% | |||
Neiman Marcus Group Ltd. LLC (1 month LIBOR + 3.250%) 5.717%, 10/25/20 | 271 | 243 | |
Service—0.8% | |||
Dun & Bradstreet Corp. (The) (1 month LIBOR + 5.000%) 7.430%, 2/6/26 | 165 | 164 | |
GFL Environmental, Inc. (1 month LIBOR + 3.000%) 5.439%, 5/30/25 | 234 | 229 | |
Hoya Midco LLC First Lien (1 month LIBOR + 3.500%) 5.939%, 6/30/24 | 364 | 357 | |
PI UK Holdco II Ltd. Tranche B-1 (1 month LIBOR + 3.250%) 5.689%, 1/3/25 | 271 | 267 | |
Prime Security Services Borrower, LLC Tranche B-1 (1 month LIBOR + 2.750%) 5.189%, 5/2/22 | 234 | 232 | |
Red Ventures LLC Tranche B-1 (1 month LIBOR + 3.000%) 5.439%, 11/8/24 | 310 | 309 |
Par Value | Value | ||
Service—continued | |||
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 5.689%, 12/31/25 | $20 | $20 | |
TKC Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 6.190%, 2/1/23 | 243 | 241 | |
1,819 | |||
Transportation - Automotive—0.2% | |||
Navistar, Inc. Tranche B (1 month LIBOR + 3.500%) 5.960%, 11/6/24 | 226 | 226 | |
Panther BF Aggregator 2 LP First Lien (1 month LIBOR + 3.500%) 5.929%, 4/30/26 | 180 | 178 | |
404 | |||
Utility—0.4% | |||
APLP Holdings LP (1 month LIBOR + 2.750%) 5.189%, 4/13/23 | 99 | 99 | |
Brookfield WEC Holdings, Inc. | |||
First Lien (1 month LIBOR + 3.500%) 5.939%, 8/1/25 | 225 | 224 | |
Second Lien (1 month LIBOR + 6.750%) 9.189%, 8/3/26 | 130 | 131 |
Par Value | Value | ||
Utility—continued | |||
Calpine Corp. 2019 (3 month LIBOR + 2.750%) 5.340%, 4/5/26 | $245 | $244 | |
Talen Energy Supply LLC (1 month LIBOR + 4.000%) 6.439%, 4/15/24 | 175 | 175 | |
873 | |||
Total Leveraged Loans (Identified Cost $16,542) | 16,125 |
Shares | ||
Preferred Stocks—1.2% | ||
Financials—1.1% | ||
Huntington Bancshares, Inc. Series E, 5.700% | 142(14) | 141 |
JPMorgan Chase & Co. Series Z, 5.300% | 415(14) | 420 |
KeyCorp Series D, 5.000%(15) | 600(14) | 600 |
M&T Bank Corp. Series F, 5.125%(15) | 241(14) | 248 |
MetLife, Inc. Series D, 5.875% | 173(14) | 179 |
PNC Financial Services Group, Inc. (The) Series S, 5.000%(7) | 395(14) | 395 |
Zions Bancorp, 6.950% | 17,485 | 500 |
2,483 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 5.000%(7) | 322(14) | 300 |
Total Preferred Stocks (Identified Cost $2,797) | 2,783 | |
Common Stocks—83.8% | ||
Communication Services—1.7% | ||
Cellnex Telecom SA | 113,010 | 3,970 |
Shares | Value | ||
Communication Services—continued | |||
Clear Channel Outdoor Holdings, Inc.(16) | 2,887 | $15 | |
3,985 | |||
Energy—14.5% | |||
Antero Midstream Corp. | 178,371 | 2,180 | |
Cheniere Energy, Inc.(16) | 51,638 | 3,263 | |
Enbridge, Inc. | 150,462 | 5,548 | |
Frontera Energy Corp. | 1,636 | 16 | |
Golar LNG Ltd. | 101,951 | 1,854 | |
Kinder Morgan, Inc. | 222,970 | 4,448 | |
ONEOK, Inc. | 51,720 | 3,290 | |
Pembina Pipeline Corp. | 90,313 | 3,222 | |
Targa Resources Corp. | 38,786 | 1,492 | |
TransCanada Energy Corp. | 96,360 | 4,691 | |
Williams Cos., Inc. (The) | 152,425 | 4,021 | |
34,025 | |||
Industrials—21.8% | |||
Aena SME SA | 37,261 | 6,864 | |
Aeroports de Paris | 8,212 | 1,405 | |
Atlantia SpA | 194,985 | 4,892 | |
Auckland International Airport Ltd. | 372,285 | 2,135 | |
CSX Corp. | 45,418 | 3,382 | |
East Japan Railway Co. | 32,025 | 3,047 | |
Norfolk Southern Corp. | 22,740 | 4,438 | |
Sydney Airport | 466,157 | 2,396 | |
Transurban Group | 1,215,981 | 11,750 | |
Union Pacific Corp. | 31,284 | 5,218 | |
Vinci SA | 56,237 | 5,558 | |
51,085 | |||
Real Estate—9.0% | |||
American Tower Corp. | 59,833 | 12,491 | |
Crown Castle International Corp. | 65,288 | 8,488 | |
20,979 | |||
Utilities—36.8% | |||
American Electric Power Co., Inc. | 81,406 | 7,011 |
Shares | Value | ||
Utilities—continued | |||
American Water Works Co., Inc. | 42,337 | $4,785 | |
Aqua America, Inc. | 57,455 | 2,272 | |
Atmos Energy Corp. | 40,705 | 4,144 | |
CMS Energy Corp. | 62,818 | 3,525 | |
Dominion Energy, Inc. | 85,721 | 6,444 | |
DTE Energy Co. | 18,252 | 2,290 | |
Emera, Inc. | 78,112 | 3,007 | |
Enel SpA | 385,656 | 2,400 | |
Evergy, Inc. | 56,228 | 3,269 | |
Fortis, Inc. | 93,270 | 3,523 | |
Iberdrola SA | 347,440 | 3,227 | |
National Grid plc | 253,563 | 2,541 | |
NextEra Energy, Inc. | 58,736 | 11,642 | |
NiSource, Inc. | 104,713 | 2,916 | |
Orsted A/S | 46,630 | 3,717 | |
Public Service Enterprise Group, Inc. | 70,331 | 4,133 | |
Sempra Energy | 57,742 | 7,590 | |
Spire, Inc. | 26,645 | 2,220 | |
Xcel Energy, Inc. | 96,841 | 5,553 | |
86,209 | |||
Total Common Stocks (Identified Cost $169,658) | 196,283 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(5) | 2,084 | 2 | |
Total Rights (Identified Cost $2) | 2 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartmedia, Inc.(5)(16) | 1,228 | 18 | |
Total Warrant (Identified Cost $21) | 18 |
Shares | Value | ||
Total Long-Term Investments—135.4% (Identified Cost $291,939) | $317,181(17) | ||
Short-Term Investments—1.1% | |||
Purchased Options—0.1% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $109) | 132 | ||
Money Market Mutual Fund—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.276%) Class I(18) | 1,142,867 | 1,143(17) | |
Total Money Market Mutual Fund (Identified Cost $1,143) | 1,143 |
Par Value | ||
U.S. Government Security—0.5% | ||
U.S. Treasury Bill 0.000%, 2/27/20 | 1,250 | 1,229(17) |
Total U.S. Government Security (Identified Cost $1,228) | 1,229 | |
Total Short-Term Investments (Identified Cost $2,480) | 2,504 | |
TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—136.5% (Identified Cost $294,419) | $319,685 |
Shares | Value | |
Written Options—(0.2)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums received $259) | $(477) | |
TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—136.3% (Identified Cost $294,160) | $319,208 | |
Other assets and liabilities, net—(36.3)% | (84,961) | |
NET ASSETS—100.0% | $234,247 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | 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. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2019, these securities amounted to a value of $65,351 or 27.9% of net assets. |
(4) | Variable rate security. Rate disclosed is as of May 31, 2019. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security valued at fair value as determined in good faith by or under the direction of the Directors. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments. |
(7) | All or a portion of the security is segregated as collateral for written options. |
(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) | 100% of the income received was in cash. |
(10) | No contractual maturity date. |
(11) | Amount is less than $500. |
(12) | Interest payments may be deferred. |
(13) | This loan will settle after May 31, 2019, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected. |
(14) | Value shown as par value. |
(15) | Interest may be forfeited. |
(16) | Non-income producing. |
(17) | All or a portion of the portfolio segregated as collateral for borrowings. |
(18) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Foreign Currencies: | |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
Open Purchased Options Contracts as of May 31, 2019 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 89 | $26,967 | $3,030 | 6/3/19 | $— |
S&P 500® Index | 89 | 26,967 | 3,030 | 6/5/19 | — |
S&P 500® Index | 89 | 26,878 | 3,020 | 6/7/19 | — |
S&P 500® Index | 89 | 26,700 | 3,000 | 6/10/19 | — |
S&P 500® Index | 71 | 21,300 | 3,000 | 6/12/19 | — |
S&P 500® Index | 89 | 26,344 | 2,960 | 6/14/19 | —(2) |
—(2) | |||||
Put Options | |||||
S&P 500® Index | 89 | 23,496 | 2,640 | 6/3/19 | 2 |
S&P 500® Index | 89 | 23,852 | 2,680 | 6/5/19 | 36 |
S&P 500® Index | 89 | 23,407 | 2,630 | 6/7/19 | 22 |
S&P 500® Index | 89 | 23,452 | 2,635 | 6/10/19 | 36 |
S&P 500® Index | 71 | 18,176 | 2,560 | 6/12/19 | 13 |
S&P 500® Index | 89 | 22,695 | 2,550 | 6/14/19 | 23 |
132 | |||||
Total Purchased Options | $132 |
Open Written Options Contracts as of May 31, 2019 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options | |||||
S&P 500® Index | 89 | $26,433 | $2,970 | 6/3/19 | $— |
S&P 500® Index | 89 | 26,433 | 2,970 | 6/5/19 | —(2) |
S&P 500® Index | 89 | 26,344 | 2,960 | 6/7/19 | —(2) |
S&P 500® Index | 89 | 26,166 | 2,940 | 6/10/19 | (1) |
S&P 500® Index | 71 | 20,768 | 2,925 | 6/12/19 | (1) |
S&P 500® Index | 89 | 25,810 | 2,900 | 6/14/19 | (5) |
(7) | |||||
Put Options | |||||
S&P 500® Index | 89 | 24,030 | 2,700 | 6/3/19 | (16) |
S&P 500® Index | 89 | 24,386 | 2,740 | 6/5/19 | (164) |
S&P 500® Index | 89 | 23,941 | 2,690 | 6/7/19 | (84) |
S&P 500® Index | 89 | 23,985 | 2,695 | 6/10/19 | (110) |
S&P 500® Index | 71 | 18,709 | 2,635 | 6/12/19 | (43) |
S&P 500® Index | 89 | 23,229 | 2,610 | 6/14/19 | (53) |
(470) | |||||
Total Written Options | $(477) |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Amount is less than $500. |
Total Value at May 31, 2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $9,126 | $— | $9,126 | $— | |||
Corporate Bonds and Notes | 56,007 | — | 56,007 | — | |||
Foreign Government Securities | 8,836 | — | 8,836 | — | |||
Leveraged Loans | 16,125 | — | 16,125 | — | |||
Mortgage-Backed Securities | 25,169 | — | 24,774 | 395 | |||
U.S. Government Securities | 4,061 | — | 4,061 | — | |||
Equity Securities: | |||||||
Common Stocks | 196,283 | 196,283 | — | — | |||
Preferred Stocks | 2,783 | 500 | 2,283 | — | |||
Rights | 2 | — | — | 2 | |||
Warrant | 18 | — | — | 18 | |||
Money Market Mutual Fund | 1,143 | 1,143 | — | — | |||
Purchased Options | 132 | 109 | 23 | — | |||
Total Investments, before Written Options | 319,685 | 198,035 | 121,235 | 415 | |||
Liabilities: | |||||||
Written Options | (477) | (418) | (59) | — | |||
Total Investments, Net of Written Options | $319,208 | $197,617 | $121,176 | $415 |
Assets | |
Investment in securities at value (Identified cost $294,419) | $319,685 |
Foreign currency at value (Identified cost $2) | 2 |
Cash | 1,566 |
Receivables | |
Investment securities sold | 1,112 |
Dividends and interest | 1,549 |
Tax reclaims | 176 |
Prepaid Directors’ retainer | 23 |
Prepaid expenses | 25 |
Total assets | 324,138 |
Liabilities | |
Borrowings (Note 8) | 87,250 |
Written options at value (Premiums received $259) (Note 3) | 477 |
Payables | |
Investment securities purchased | 1,773 |
Investment advisory fees | 231 |
Professional fees | 40 |
Administration and accounting fees | 31 |
Interest on borrowings (Note 8) | 26 |
Transfer agent fees and expenses | 3 |
Other accrued expenses | 60 |
Total liabilities | 89,891 |
Net Assets | $234,247 |
Net Assets Consist of: | |
Common stock ($0.10 par value; 200,000,000 shares authorized) | $2,153 |
Capital paid in on shares of beneficial interest | 239,801 |
Total distributable earnings (loss) | (7,707) |
Net Assets | $234,247 |
Net Asset Value Per Share | |
(Net assets/shares outstanding) Shares outstanding 21,527,388 | $10.88 |
Investment Income | |
Dividends | $3,532 |
Interest | 3,044 |
Foreign taxes withheld | (241) |
Total investment income | 6,335 |
Expenses | |
Investment advisory fees | 1,309 |
Administration and accounting fees | 183 |
Directors’ fees and expenses | 160 |
Professional fees | 95 |
Printing fees and expenses | 65 |
Transfer agent fees and expenses | 23 |
Custodian fees | 3 |
Miscellaneous expenses | 40 |
Total expenses before interest expense | 1,878 |
Interest expense on borrowings (Note 8) | 1,442 |
Total expenses after interest expense | 3,320 |
Less administration fee waiver | (1) |
Net expenses | 3,319 |
Net investment income (loss) | 3,016 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 1,599 |
Foreign currency transactions | (234) |
Written options | (3,154) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 20,707 |
Foreign currency transactions | 2 |
Written options | (100) |
Net realized and unrealized gain (loss) on investments | 18,820 |
Net increase (decrease) in net assets resulting from operations | $21,836 |
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, 2018 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $3,016 | $6,815 | |
Net realized gain (loss) | (1,789) | (21,516) | |
Net change in unrealized appreciation (depreciation) | 20,609 | (15,839) | |
Increase (decrease) in net assets resulting from operations | 21,836 | (30,540) | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (15,543)(1) | (8,263) | |
Return of capital | — | (22,823) | |
Dividends and Distributions to Shareholders | (15,543) | (31,086) | |
Net increase (decrease) in net assets | 6,293 | (61,626) | |
Net Assets | |||
Beginning of period | 227,954 | 289,580 | |
End of period | $234,247 | $227,954 | |
Supplemental – Other Information Capital share transactions were as follows: | |||
Common shares outstanding at beginning of period | 21,527,388 | 21,527,389 | |
Adjustments for fractional common shares | — | (1) | |
Common shares outstanding at end of period | 21,527,388 | 21,527,388 |
(1) | Please note that the tax status of our distributions is determined at the end of the taxable year. However, based on interim data as of June 28, 2019, we estimate that 15.9% of distributions will represent net investment income and 84.1% will represent return of capital. Also refer to inside front cover for information on the Managed Distribution Plan. See Notes to Financial Statements. |
Increase (Decrease) in cash | |
Cash Flows provided by (Used for) Operating Activities: | |
Net increase (decrease) in net assets resulting from operations | $21,836 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used by) operating activities: | |
Proceeds from sales and paydowns of long-term investments | 77,554 |
(Increase) Decrease in investment securities sold receivable | (713) |
Purchases of long-term investments | (66,666) |
Increase (Decrease) in investment securities purchased payable | (842) |
Net (purchases) or sales of short-term investments | (588) |
Net (purchases) or sales in purchased options | (1,077) |
Net purchases or (sales) in written options | (3,860) |
Net change in unrealized (appreciation)/depreciation from investments | (20,607) |
Net realized (gain)/loss from investments | 1,555 |
Non-cash adjustments from corporate events | (6) |
Return of capital distributions on investments | 275 |
Amortization of premium and accretion of discounts on investments | 210 |
Proceeds from litigation settlements | 194 |
(Increase) Decrease in tax reclaims receivable | (1) |
(Increase) Decrease in dividends and interest receivable | 75 |
(Increase) Decrease in prepaid expenses | (23) |
Increase (Decrease) in interest payable on borrowings | (1) |
Increase (Decrease) in affiliated expenses payable | 33 |
Increase (Decrease) in non-affiliated expenses payable | (36) |
Cash provided by (used for) operating activities | 7,312 |
Cash provided by (used for) financing activities: | |
Cash receipts from borrowings | 10,000 |
Cash payments to reduce borrowings | (7,000) |
Cash distributions paid to shareholders | (15,543) |
Cash provided by (used for) financing activites | (12,543) |
Net increase (decrease) in cash | (5,231) |
Cash: | |
Cash and foreign currency at beginning of period | 6,799 |
Cash and foreign currency at end of period | $1,568 |
Supplemental Cash Flow information: | |
Cash paid during the period for interest expense on borrowings | $1,443 |
Six Months Ended May 31, 2019 (Unaudited) | Year Ended November 30, | Fiscal Period Ended November 30, 2015(1)(2) | ||||||||
2018 | 2017(1) | 2016(1) | ||||||||
PER SHARE DATA: | ||||||||||
Net asset value, beginning of period | $10.59 | $13.45 | $11.78 | $11.76 | $12.99 | |||||
Income (loss) from investment operations: | ||||||||||
Net investment income (loss)(3) | 0.14 | 0.32 | 0.29 | 0.41 | 0.46 | |||||
Net realized and unrealized gain (loss) | 0.87 | (1.74) | 2.25 | 0.63 | (0.67) | |||||
Total from investment operations | 1.01 | (1.42) | 2.54 | 1.04 | (0.21) | |||||
Dividends and Distributions to Shareholders: | ||||||||||
Net investment income | (0.72) | (0.30) | (0.34) | (1.02) | (1.02) | |||||
Net realized gains | — | (0.08) | (0.58) | — | — | |||||
Return of capital | — | (1.06) | — | — | — | |||||
Total dividends and distributions to shareholders | (0.72) | (1.44) | (0.92) | (1.02) | (1.02) | |||||
Fund Share Transactions | ||||||||||
Anti-dilutive impact of tender offers | — | — | 0.05 | — | — | |||||
Net asset value, end of period | $10.88 | $10.59 | $13.45 | $11.78 | $11.76 | |||||
Market value, end of period(4) | $9.87 | $9.27 | $12.82 | $11.17 | $9.87 | |||||
Total return, net asset value(5) | 10.77% | (10.17)% | 26.37% | 10.09% | (0.92)%(6) | |||||
Total return, market value(5) | 14.80% | (17.51)% | 27.06% | 24.37% | (6.56)%(6) | |||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||
Ratio of net expenses to average net assets(7) | 2.94%(8) | 2.61% | 2.55%(9) | 2.33% | 1.97%(8) | |||||
Ratio of total expenses after interest expense to average net assets | 2.94%(8) | 2.70% | 2.62%(9) | 2.33% | 1.97%(8) | |||||
Ratio of net investment income (loss) to average net assets | 2.67%(8) | 2.75% | 2.86%(9) | 3.44% | 3.90%(8) | |||||
Portfolio turnover rate | 22%(6) | 46% | 61% | 60% | 32%(6) | |||||
Net assets, end of period (000’s) | $234,247 | $227,954 | $289,580 | $126,508 | $126,454 | |||||
Borrowings, end of period (000’s) | $87,250 | $84,250 | $105,000 | $47,000 | $43,500 | |||||
Asset coverage, per $1,000 principal amount of borrowings(10) | $3,685 | $3,706 | $3,758 | $3,692 | $3,907 |
(1) | On April 3, 2017, Virtus Total Return Fund (DCA) was reorganized into the Fund (f/k/a The Zweig Fund, Inc.). The activity in the table presented above is for the accounting survivor, Virtus Total Return Fund (DCA), for the periods prior to the date of the reorganization and for the post-reorganization fund thereafter. The net asset values and other per share information have been restated for periods prior to the reorganization to reflect the share conversion ratio of 0.391206. See Note 12 Plan of Reorganization in the Notes to Financial Statements. |
Year Ended December 31, | |||
2014(1) | 2013(1) | ||
PER SHARE DATA: | |||
Net asset value, beginning of period | $12.37 | $11.32 | |
Income (loss) from investment operations: | |||
Net investment income (loss)(3) | 0.82 | 0.51 | |
Net realized and unrealized gain (loss) | 0.72 | 1.08 | |
Total from investment operations | 1.54 | 1.59 | |
Dividends and Distributions to Shareholders: | |||
Net investment income | (0.92) | (0.54) | |
Total dividends and distributions to shareholders | (0.92) | (0.54) | |
Net asset value, end of period | $12.99 | $12.37 | |
Market value, end of period(4) | $11.55 | $10.25 | |
Total return, net asset value(5) | 13.59% | 15.02% | |
Total return, market value(5) | 21.98% | 9.08% | |
RATIOS/SUPPLEMENTAL DATA: | |||
Ratio of net expenses to average net assets(7) | 1.93% | 2.01% | |
Ratio of total expenses after interest expense to average net assets | 1.93% | 2.01% | |
Ratio of net investment income (loss) to average net assets | 6.31% | 4.42% | |
Portfolio turnover rate | 33% | 42% | |
Net assets, end of period (000’s) | $139,630 | $132,857 | |
Borrowings, end of period (000’s) | $50,500 | $50,500 | |
Asset coverage, per $1,000 principal amount of borrowings(10) | $3,765 | $3,631 |
(2) | During the period the Fund changed its fiscal year end from December 31 to November 30. |
(3) | Calculated using average shares outstanding. |
(4) | Closing Price – New York Stock Exchange. |
(5) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(6) | Not annualized. |
(7) | Ratio of total expenses, before interest expense on the line of credit, was 1.61% for the six months ended May 31, 2019, 1.63% and 1.92% for the years ended November 30, 2018 and 2017, respectively, and 1.87% for the year ended November 30, 2016, 1.61% for the fiscal period ended November 30, 2015, and 1.58% and 1.62%, for the years ending December 31, 2014 and 2013, respectively. |
(8) | Annualized. |
(9) | The Fund incurred certain non-recurring merger and tender offer costs in 2017. When excluding these costs, the ratio of total expenses after interest expense and before expense waivers and earnings credits to average net assets would be 2.41%, the ratio of net expenses to average net assets would be 2.34% and the ratio of net investment income (loss) to average net assets would be 3.07%. |
(10) | Represents value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into and out of Level 3 at the end of the reporting period. |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sales of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. | |
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from investments in real estate investment trusts (“REITs”) is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction of income. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. |
C. | Income Taxes |
The Fund is treated as a separate taxable entity. It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of May 31, 2019, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2015 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
The Fund has a Managed Distribution Plan which currently provides for the Fund to make a quarterly distribution of $0.361 per share. Distributions may represent earnings from net investment income, realized capital gains, or, if necessary, return of capital. Shareholders should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed Distribution Plan. | |
E. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
F. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
The Fund may engage in when-issued or forward commitment transactions. Securities transactions on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enables the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records when-issued and forward commitment securities on the trade date. The Fund maintains collateral for the securities |
purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
G. | Leveraged Loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
H. | Expenses |
Expenses incurred together by the Fund and other affiliated open- and closed-end funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the Fund’s pro-rata expenses of any underlying mutual funds in which the Fund invests. |
A. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Fund pursues an option income strategy whereby it purchases and sells out-of-the-money puts and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objective. | |
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statement of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options” in the Statement of Operations. | |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) from investments” in the Statement of Operations. Gain or loss from written options is presented separately as “Net realized gain (loss) from written options” in the Statement of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. However, the Fund may limit its risk of loss when writing an option by purchasing an option similar to |
the one that is sold, except for the fact it is further “out of the money.” | |
The Fund invested in derivative instruments during the period in the form of writing put/ call options and buying put/call options on the S&P 500® Index. The primary risk associated with these derivative instruments is equity risk. | |
The following is a summary of the Fund’s options contracts as presented in the Statement of Assets and Liabilities as of May 31, 2019: |
Assets: Purchased options at value | $132(1) |
Liabilities: Written options at value | (477) |
Net asset (liability) balance | $(345) |
Net realized gain (loss) from purchased options | (1,406)(2) |
Net realized gain (loss) from written options | (3,154) |
Net change in unrealized appreciation (depreciation) on purchased options | 258(3) |
Net change in unrealized appreciation (depreciation) on written options | (100) |
Total realized and unrealized gain (loss) on purchased and written options | $(4,402) |
(1) | Amount included in Investment in securities at value. |
(2) | Amount included in Net realized gain (loss) from investments. |
(3) | Amount included in Net change in unrealized appreciation (depreciation) on investments. |
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser of the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadvisers. | |
As compensation for its services to the Fund, the Adviser receives a fee at an annual rate of 0.85% of the Fund’s average daily Managed Assets, which is calculated daily and paid monthly. “Managed Assets” is defined as the value of the total assets of the Fund minus the sum of all accrued liabilities of the Fund (other than the aggregate amount of any outstanding borrowings or other indebtedness, entered into for the purpose of leverage). |
B. | Subadvisers |
Duff & Phelps Investment Management Co. (“DPIM”), an indirect wholly-owned subsidiary of Virtus, is the subadviser of the equity portion of the Fund’s portfolio, Newfleet Asset Management LLC (“Newfleet”), an indirect wholly-owned subsidiary of Virtus, is the subadviser of the fixed income portion of the Fund’s portfolio and Rampart Investment Management Company, LLC (“Rampart”), an indirect wholly-owned subsidiary of Virtus, is the subadviser of the Fund’s options overlay strategy. These three subadvisers are, in the aggregate, responsible for the day-to-day portfolio management of the Fund for which they are each paid a fee by the Adviser. | |
C. | Administrator Services |
Virtus Fund Services, LLC (“VFS”), an indirect wholly-owned subsidiary of Virtus, serves as administrator to the Fund. For the services provided by the administrator under the Administration Agreement, the Fund pays the administrator an asset-based fee of 0.10% per annum calculated on the Fund’s average daily Managed Assets, which is calculated daily and paid monthly. | |
For the period ended May 31, 2019, the Fund incurred administration fees totaling $154 which are included in the Statement of Operations within the line item “Administration and accounting fees.” | |
For the period ended May 31, 2019, the Fund waived administration fees totaling $1 as reported in the Statement of Operations for a waiver which expired December 2, 2018. | |
D. | Directors’ Fees |
For the period ended May 31, 2019, the Fund incurred Directors’ fees totaling $139 which are included in the Statement of Operations within the line item “Directors’ fees and expenses.” |
Purchases | Sales | |
$55,727 | $62,204 |
Purchases | Sales | |
$10,939 | $15,350 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Investments (including Purchased Options) | $294,419 | $37,401 | $(12,135) | $25,266 | |||
Written Options | (477) | — | — | — |
No Expiration | ||||
Short-Term | Long-Term | Total | ||
$7,864 | $10,369 | $18,233 |
Outstanding Borrowings | Interest Rate | |
$87,250 | 3.29% |
Election of Directors | Votes For | Votes Withheld | |
George R. Aylward | 16,842,266 | 900,654 | |
Philip R. McLoughlin | 16,836,059 | 906,861 | |
William R. Moyer | 16,831,568 | 911,352 |
Shareholder Services | 1-866-270-7788 |
Website | www.Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-866-270-7788.
Virtus Closed-End Funds, please
contact us at1-866-270-7788
orclosedendfunds@virtus.com
or visitVirtus.com.
8524 | 07-19 |
Item 2. | Code of Ethics. |
Response not required for semi-annual report.
Item 3. | Audit Committee Financial Expert. |
Response not required for semi-annual report.
Item 4. | Principal Accountant Fees and Services. |
Response not required for semi-annual report.
Item 5. | Audit Committee of Listed Registrants. |
Response not required for semi-annual report.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Response not required for semi-annual report.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
(a) | Response not required for semi-annual report. |
(b) | There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on FormN-CSR. |
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
REGISTRANT PURCHASES OF EQUITY SECURITIES
Period
| (a) Total Number of Shares (or Units) Purchased
| (b) Average Price Paid per Share (or Unit)
|
(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs
|
(d) Maximum Number (or Approximate Dollar Value) of Shares Under the Plans or Programs
| ||||
December 2018
|
0 |
$0.00 |
0 |
1,473,841 | ||||
January 2019
|
0 |
$0.00 |
0 |
1,473,841 | ||||
February 2019
|
0 |
$0.00 |
0 |
1,473,841 | ||||
March 2019
|
0 |
$0.00 |
0 |
1,473,841 | ||||
April 2019
|
0 |
$0.00 |
0 |
1,473,841 | ||||
May 2019
|
0 |
$0.00 |
0 |
1,473,841 | ||||
Total
|
0
|
$0.00
|
0
|
1,473,841
|
a. | The date each plan or program was announced: 3/13/12 and expanded 9/19/12 and 2/10/14 |
b. | The dollar amount (or share or unit amount) approved: 4,392,838 shares |
c. | The expiration date (if any) of each plan or program: None |
d. | Each plan or program that has expired during the period covered by the table: None |
e. | Each plan or program the registrant has determined to terminate prior to expiration, or under which the registrant does not intend to make further purchases. None |
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. | 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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(c) | Copies of the Registrant’s notices to shareholders pursuant to Rule19a-1 under the 1940 Act which accompanied distributions paid for the period ended May 31, 2019 pursuant to the Registrant’s Managed Distribution Plan are filed herewith as required by the terms of the Registrant’s exemptive order issued on November 17, 2008. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Total Return Fund Inc. |
|
By (Signature and Title)* /s/ George R. Aylward |
|
George R. Aylward, President | ||||
(principal executive officer) |
Date 8/5/19 |
|
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 8/5/19 |
|
By (Signature and Title)* /s/ W. Patrick Bradley |
|
W. Patrick Bradley, Executive Vice President, | ||||
Chief Financial Officer, and Treasurer | ||||
(principal financial officer) |
Date 8/5/19 |
|
* Print the name and title of each signing officer under his or her signature.