UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-05620
Virtus Total Return Fund Inc.
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 270-7788
Date of fiscal year end: November 30
Date of reporting period: May 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
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www.Virtus.com. Section 19(a) notices are posted on the website at:
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President,Chief Executive Officer, and Director
Virtus Total Return Fund Inc.
July 2022
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
MANAGER’S DISCUSSION OF FUND PERFORMANCE (Unaudited) (Continued)
Common Stocks | 65% | |
Utilities | 27% | |
Industrials | 19 | |
Energy | 11 | |
All Other Common Stocks | 8 | |
Corporate Bonds and Notes | 14 | |
Financials | 3 | |
Energy | 3 | |
Consumer Discretionary | 2 | |
All Other Corporate Bonds and Notes | 6 | |
Leveraged Loans | 6 | |
Mortgage-Backed Securities | 5 | |
Asset-Backed Securities | 4 | |
U.S. Government Securities | 2 | |
Foreign Government Securities | 2 | |
Other (includes short-term investment) | 2 | |
Total | 100% |
United States | 68% |
Canada | 8 |
Spain | 7 |
Australia | 3 |
Italy | 3 |
United Kingdom | 2 |
France | 2 |
Other | 7 |
Total | 100% |
May 31, 2022
Par Value | Value | ||
U.S. Government Securities—3.1% | |||
U.S. Treasury Bond 1.875%, 11/15/51 | $ 1,145 | $ 872 | |
U.S. Treasury Notes | |||
0.125%, 4/30/23 | 2,100 | 2,063 | |
2.500%, 4/30/24 | 3,120 | 3,119 | |
0.250%, 5/31/25 | 515 | 478 | |
0.375%, 7/31/27 | 1,530 | 1,350 | |
0.375%, 9/30/27 | 1,450 | 1,273 | |
1.375%, 11/15/31 | 2,540 | 2,228 | |
1.875%, 2/15/32 | 2,035 | 1,865 | |
Total U.S. Government Securities (Identified Cost $13,802) | 13,248 | ||
Municipal Bonds—0.5% | |||
California—0.1% | |||
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 290 | 282 | |
Florida—0.1% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 370 | 381 | |
Idaho—0.1% | |||
Idaho Health Facilities Authority St. Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 355 | 352 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 85 | 71 | |
New York—0.1% | |||
Metropolitan Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 | 530 | 594 |
Par Value | Value | ||
Texas—0.0% | |||
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | $ 110 | $ 95 | |
Virginia—0.1% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 565 | 543 | |
Total Municipal Bonds (Identified Cost $2,433) | 2,318 | ||
Foreign Government Securities—2.1% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 225 | 19 | |
RegS 8.250%, 10/13/24(1)(2) | 610 | 52 | |
RegS 7.650%, 4/21/25(1)(2) | 830 | 71 | |
Dominican Republic | |||
144A 4.500%, 1/30/30(3) | 240 | 210 | |
144A 6.000%, 2/22/33(3) | 480 | 444 | |
144A 5.875%, 1/30/60(3) | 160 | 124 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(2) | 835 | 793 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 210 | 188 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(3) | 295 | 249 | |
Kingdom of Saudi Arabia 144A 4.500%, 10/26/46(3) | 640 | 618 | |
Oman Government International Bond 144A 7.375%, 10/28/32(3) | 670 | 741 | |
Republic of Angola 144A 8.250%, 5/9/28(3) | 465 | 447 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Argentina 2.500%, 7/9/41(4) | $ 1,665 | $ 538 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | 320 | 310 | |
Republic of Ecuador | |||
144A 5.000%, 7/31/30(3)(4) | 135 | 112 | |
144A 1.000%, 7/31/35(3)(4) | 880 | 562 | |
Republic of Egypt 144A 7.600%, 3/1/29(3) | 435 | 376 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 265 | 246 | |
144A 4.350%, 1/8/27(3) | 550 | 562 | |
Republic of Nigeria | |||
144A 7.875%, 2/16/32(3) | 200 | 163 | |
144A 7.375%, 9/28/33(3) | 200 | 158 | |
Republic of Panama | |||
3.298%, 1/19/33 | 230 | 205 | |
4.300%, 4/29/53 | 200 | 169 | |
Republic of Philippines 3.700%, 3/1/41 | 390 | 350 | |
Republic of South Africa 4.850%, 9/27/27 | 305 | 297 | |
State of Qatar 144A 3.750%, 4/16/30(3) | 505 | 517 | |
United Mexican States 4.500%, 1/31/50 | 465 | 395 | |
Total Foreign Government Securities (Identified Cost $10,982) | 8,916 | ||
Mortgage-Backed Securities—7.2% | |||
Non-Agency—7.2% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(4) | 256 | 255 | |
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(3) | 590 | 533 |
Par Value | Value | ||
Non-Agency—continued | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | $ 1,000 | $ 1,005 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 156 | 155 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 340 | |
AMSR Trust | |||
2021-SFR2, C 144A 1.877%, 8/17/38(3) | 105 | 93 | |
2021-SFR3, D 144A 2.177%, 10/17/38(3) | 260 | 232 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(3)(4) | 22 | 22 | |
2019-2, A1 144A 3.628%, 3/25/49(3)(4) | 26 | 26 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(3)(4) | 224 | 209 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 543 | 530 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 218 | 215 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 4 | 3 | |
Bayview Opportunity Master Fund IVa Trust 2017-SPL5, B1 144A 4.000%, 6/28/57(3)(4) | 485 | 483 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 660 | 583 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 428 | 393 | |
CIM Trust | |||
2021-NR4, A1 144A 2.816%, 10/25/61(3)(4) | 372 | 352 | |
2022-R2, A1 144A 3.750%, 12/25/61(3)(4) | 100 | 98 | |
COLT Mortgage Loan Trust 2022-5, A1 144A 4.550%, 4/25/67(3)(4) | 511 | 512 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(3)(4) | $ 235 | $ 217 | |
CoreVest American Finance Trust | |||
2019-3, C 144A 3.265%, 10/15/52(3) | 400 | 349 | |
2018-2, A 144A 4.026%, 11/15/52(3) | 156 | 156 | |
Credit Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 356 | 336 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(3)(4) | 705 | 651 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 59 | 58 | |
2021-2, A3 144A 1.291%, 6/25/66(3)(4) | 475 | 431 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(3) | 315 | 292 | |
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 710 | 651 | |
2021-SFR1, D 144A 2.189%, 8/17/38(3) | 710 | 630 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 32 | 31 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 22 | 22 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(3) | 415 | 406 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 290 | 255 | |
Imperial Fund Mortgage Trust 2021-NQM4, A1 144A 2.091%, 1/25/57(3)(4) | 1,047 | 922 |
Par Value | Value | ||
Non-Agency—continued | |||
JPMorgan Chase Mortgage Trust | |||
2014-5, B2 144A 2.846%, 10/25/29(3)(4) | $ 205 | $ 185 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 127 | 119 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3) | 423 | 400 | |
2017-3, 2A2 144A 2.500%, 8/25/47(3)(4) | 103 | 96 | |
LHOME Mortgage Trust 2021-RTL1, A1 144A 2.090%, 9/25/26(3)(4) | 342 | 329 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 2.106%, 4/25/55(3)(4) | 190 | 188 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.422%, 4/25/55(3)(4) | 241 | 228 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 251 | 251 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(3)(4) | 210 | 206 | |
2017-3, B1 144A 3.250%, 1/25/61(3)(4) | 420 | 392 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 354 | 325 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 46 | 45 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 59 | 57 | |
2016-3A, B1 144A 4.000%, 9/25/56(3)(4) | 215 | 208 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 27 | 27 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 1,064 | 1,058 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 274 | 269 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-RPL2, M2 144A 3.750%, 2/25/59(3)(4) | $ 440 | $ 413 | |
OBX Trust 2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 66 | 66 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(3)(4) | 280 | 267 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 148 | 143 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 121 | 116 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 380 | 361 | |
2021-9, A1 144A 2.363%, 10/25/26(3)(4) | 295 | 279 | |
2021-RPL1, A1 144A 1.319%, 7/25/51(3)(4) | 147 | 137 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(3) | 830 | 738 | |
2019-SFR3, B 144A 2.571%, 9/17/36(3) | 280 | 270 | |
2021-SFR6, C 144A 1.855%, 7/17/38(3) | 235 | 209 | |
2022-SFR3, A 144A 3.200%, 4/17/39(3) | 455 | 433 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 230 | 218 | |
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(3)(4) | 414 | 397 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(3)(4) | 291 | 279 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 41 | 41 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(3)(4) | 580 | 550 |
Par Value | Value | ||
Non-Agency—continued | |||
Sequoia Mortgage Trust 2013-8, B1 3.486%, 6/25/43(4) | $ 97 | $ 96 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(3)(4) | 75 | 70 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 3.807%, 7/25/56(3)(4) | 480 | 465 | |
2017-1, A2 144A 3.500%, 10/25/56(3)(4) | 350 | 346 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 385 | 377 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 395 | 375 | |
2018-6, A1B 144A 3.750%, 3/25/58(3)(4) | 330 | 324 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 480 | 463 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(4) | 515 | 493 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(4) | 445 | 409 | |
2020-1, M1 144A 3.500%, 1/25/60(3)(4) | 220 | 198 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 222 | 221 | |
2021-1, A2 144A 2.750%, 11/25/61(3)(4) | 465 | 406 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 590 | 566 | |
2020-SFR2, D 144A 2.281%, 11/17/39(3) | 660 | 560 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 185 | 168 | |
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(3)(4) | 520 | 497 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 6.223%, 5/10/45(3)(4) | 35 | 33 |
Par Value | Value | ||
Non-Agency—continued | |||
VCAT LLC | |||
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | $ 380 | $ 359 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(3)(4) | 557 | 526 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(3)(4) | 202 | 192 | |
Vericrest Opportunity Loan Trust CVI LLC 2021-NP12, A1 144A 2.734%, 12/26/51(3)(4) | 207 | 195 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 479 | 460 | |
Verus Securitization Trust | |||
2019-4, M1 144A 3.207%, 11/25/59(3)(4) | 220 | 219 | |
2022-5, A1 144A 3.800%, 4/25/67(3)(4) | 715 | 700 | |
2022-4, A1 144A 4.474%, 4/25/67(3)(4) | 454 | 453 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(3) | 100 | 97 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 160 | 158 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | 134 | 126 | |
Total Mortgage-Backed Securities (Identified Cost $32,186) | 30,298 | ||
Asset-Backed Securities—5.4% | |||
Automobiles—2.2% | |||
ACC Auto Trust 2021-A, C 144A 3.790%, 4/15/27(3) | 745 | 711 | |
ACC Trust | |||
2021-1, C 144A 2.080%, 12/20/24(3) | 595 | 581 |
Par Value | Value | ||
Automobiles—continued | |||
2022-1, C 144A 3.240%, 10/20/25(3) | $ 670 | $ 638 | |
ACM Auto Trust 2022-1A, B 144A 4.470%, 4/20/29(3) | 425 | 424 | |
American Credit Acceptance Receivables Trust 2022-1, E 144A 3.640%, 3/13/28(3) | 560 | 516 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(3) | 375 | 374 | |
2021-1, E 144A 3.390%, 4/17/28(3) | 230 | 207 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(3) | 595 | 558 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(3) | 555 | 555 | |
2019-3A, D 144A 3.040%, 4/15/25(3) | 345 | 344 | |
2019-3A, E 144A 4.600%, 7/15/26(3) | 535 | 536 | |
Drive Auto Receivables Trust 2019-4, C 2.510%, 11/17/25 | 117 | 117 | |
Exeter Automobile Receivables Trust | |||
2019-2A, E 144A 4.680%, 5/15/26(3) | 670 | 677 | |
2019-4A, C 144A 2.440%, 9/16/24(3) | 115 | 115 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 214 | 215 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, D 144A 4.090%, 8/17/26(3) | 540 | 531 | |
2020-3A, E 144A 4.310%, 7/15/27(3) | 1,285 | 1,261 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | $ 274 | $ 275 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 345 | 344 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 177 | 176 | |
9,155 | |||
Consumer Loans—0.1% | |||
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 475 | 461 | |
Credit Card—0.3% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | 590 | 543 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(3) | 590 | 569 | |
1,112 | |||
Other—2.8% | |||
Amur Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(3) | 710 | 659 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(3) | 71 | 71 | |
2019-A, C 144A 4.010%, 7/16/40(3) | 705 | 682 | |
2020-AA, D 144A 7.150%, 7/17/46(3) | 480 | 469 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 575 | 528 | |
Business Jet Securities LLC 2020-1A, A 144A 2.981%, 11/15/35(3) | 252 | 234 |
Par Value | Value | ||
Other—continued | |||
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) | $ 365 | $ 346 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 342 | 314 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(3) | 22 | 22 | |
Dext ABS LLC 2020-1, D 144A 7.210%, 2/15/28(3) | 475 | 452 | |
Diamond Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(3) | 262 | 247 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(3) | 590 | 573 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(3) | 179 | 178 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(3) | 593 | 554 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | 131 | 125 | |
Hotwire Funding LLC 2021-1, C 144A 4.459%, 11/20/51(3) | 695 | 607 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) | 547 | 510 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 432 | 415 | |
Lendmark Funding Trust 2021-1A, A 144A 1.900%, 11/20/31(3) | 590 | 529 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) | 595 | 573 |
Par Value | Value | ||
Other—continued | |||
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(3) | $ 471 | $ 430 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(3) | 127 | 126 | |
Octane Receivables Trust | |||
2019-1A, C 144A 4.740%, 6/20/25(3) | 755 | 755 | |
2020-1A, B 144A 1.980%, 6/20/25(3) | 710 | 696 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(3) | 147 | 143 | |
Purchasing Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(3) | 710 | 677 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(3) | 356 | 360 | |
Upstart Securitization Trust 2022-2, A 144A 4.370%, 5/20/32(3) | 510 | 507 | |
11,782 | |||
Student Loan—0.0% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(3) | 138 | 135 | |
Total Asset-Backed Securities (Identified Cost $23,693) | 22,645 | ||
Corporate Bonds and Notes—19.2% | |||
Communication Services—1.2% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 200 | 167 | |
Altice France S.A. 144A 5.125%, 1/15/29(3)(5) | 300 | 256 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 600 | 554 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(3)(5) | 630 | 581 |
Par Value | Value | ||
Communication Services—continued | |||
CommScope, Inc. 144A 4.750%, 9/1/29(3)(5) | $ 160 | $ 142 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(3)(5) | 410 | 343 | |
CT Trust 144A 5.125%, 2/3/32(3) | 450 | 402 | |
DISH DBS Corp. 7.750%, 7/1/26(5) | 330 | 282 | |
Frontier Communications Holdings LLC 144A 8.750%, 5/15/30(3) | 50 | 53 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 238 | 223 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(3)(5) | 185 | 162 | |
144A 3.625%, 1/15/29(3)(5) | 310 | 262 | |
McGraw-Hill Education, Inc. 144A 8.000%, 8/1/29(3) | 395 | 342 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(3)(5) | 325 | 286 | |
Northwest Fiber LLC | |||
144A 4.750%, 4/30/27(3)(5) | 80 | 71 | |
144A 6.000%, 2/15/28(3) | 45 | 36 | |
144A 10.750%, 6/1/28(3) | 220 | 203 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 240 | 114 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3)(5) | 270 | 260 | |
VZ Secured Financing B.V. 144A 5.000%, 1/15/32(3) | 400 | 362 | |
5,101 | |||
Consumer Discretionary—2.2% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3)(5) | 610 | 595 | |
Aston Martin Capital Holdings Ltd. 144A 10.500%, 11/30/25(3) | 310 | 305 | |
At Home Group, Inc. | |||
144A 4.875%, 7/15/28(3)(5) | 80 | 64 | |
144A 7.125%, 7/15/29(3) | 400 | 271 | |
Brunswick Corp. 2.400%, 8/18/31(5) | 432 | 337 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(3)(5) | $ 135 | $ 137 | |
144A 8.125%, 7/1/27(3) | 135 | 137 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(3)(5) | 335 | 283 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 260 | 259 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 335 | 337 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32(5) | 402 | 335 | |
Dornoch Debt Merger Sub, Inc. 144A 6.625%, 10/15/29(3) | 270 | 215 | |
Ford Motor Co. 3.250%, 2/12/32(5) | 155 | 131 | |
Ford Motor Credit Co. LLC 4.125%, 8/17/27(5) | 285 | 270 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(3)(5) | 295 | 274 | |
Jacobs Entertainment, Inc. 144A 6.750%, 2/15/29(3) | 330 | 305 | |
Lindblad Expeditions LLC 144A 6.750%, 2/15/27(3)(5) | 335 | 326 | |
M/I Homes, Inc. 4.950%, 2/1/28(5) | 475 | 441 | |
Mclaren Finance plc 144A 7.500%, 8/1/26(3) | 520 | 418 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(3) | 235 | 197 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(3) | 350 | 324 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(3) | 425 | 421 | |
PetSmart, Inc. 144A 4.750%, 2/15/28(3)(5) | 350 | 322 | |
Premier Entertainment Sub LLC 144A 5.625%, 9/1/29(3) | 495 | 392 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
PulteGroup, Inc. | |||
7.875%, 6/15/32(5) | $ 235 | $ 279 | |
6.375%, 5/15/33(5) | 350 | 381 | |
Royal Caribbean Cruises Ltd. 144A 4.250%, 7/1/26(3)(5) | 20 | 17 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(3)(5) | 115 | 114 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3)(5) | 390 | 353 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(3)(5) | 420 | 412 | |
Under Armour, Inc. 3.250%, 6/15/26(5) | 360 | 335 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3)(5) | 330 | 292 | |
9,279 | |||
Consumer Staples—0.3% | |||
BAT Capital Corp. 4.906%, 4/2/30(5) | 500 | 484 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(3) | 225 | 215 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(3)(5) | 430 | 309 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(3)(5) | 565 | 518 | |
1,526 | |||
Energy—3.8% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3)(5) | 600 | 603 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(3)(5) | 460 | 460 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(3)(5) | 124 | 135 | |
144A 7.625%, 2/1/29(3)(5) | 108 | 117 | |
144A 5.375%, 3/1/30(3)(5) | 150 | 152 |
Par Value | Value | ||
Energy—continued | |||
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(3)(5) | $ 385 | $ 390 | |
BP Capital Markets plc 4.875% (5)(6) | 465 | 435 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 124 | 124 | |
Calumet Specialty Products Partners LP 144A 8.125%, 1/15/27(3) | 325 | 286 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(3) | 225 | 226 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(3) | 555 | 599 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(3)(5) | 165 | 166 | |
144A 5.000%, 5/1/29(3)(5) | 160 | 158 | |
DCP Midstream Operating LP 3.250%, 2/15/32(5) | 295 | 253 | |
Earthstone Energy Holdings LLC 144A 8.000%, 4/15/27(3)(5) | 340 | 346 | |
Ecopetrol S.A. 4.625%, 11/2/31 | 585 | 506 | |
Energy Transfer LP Series H 6.500% (5)(6) | 470 | 439 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(3)(5) | 415 | 362 | |
HF Sinclair Corp. 144A 5.875%, 4/1/26(3)(5) | 520 | 531 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(3)(5) | 375 | 367 | |
144A 6.000%, 2/1/31(3)(5) | 270 | 263 | |
International Petroleum Corp. RegS, 144A 7.250%, 2/1/27(2)(3)(5) | 380 | 371 | |
KazMunayGas National Co., JSC 144A 6.375%, 10/24/48(3) | 355 | 322 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40(5) | 440 | 518 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 25 | 30 |
Par Value | Value | ||
Energy—continued | |||
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(3)(5) | $ 355 | $ 350 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(7)(8) | 105 | 1 | |
Nabors Industries Ltd. | |||
144A 7.250%, 1/15/26(3) | 265 | 257 | |
144A 7.375%, 5/15/27(3)(5) | 85 | 86 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(3)(5) | 340 | 323 | |
Occidental Petroleum Corp. | |||
6.625%, 9/1/30 | 240 | 269 | |
6.125%, 1/1/31 | 525 | 570 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(6)(7) | 26 | — (9) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 345 | 328 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29(5) | 465 | 432 | |
Pertamina Persero PT 144A 2.300%, 2/9/31(3) | 480 | 402 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(3)(8) | 665 | 33 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 1,325 | 1,269 | |
7.690%, 1/23/50 | 610 | 474 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 375 | 361 | |
Reliance Industries Ltd. 144A 2.875%, 1/12/32(3) | 570 | 488 | |
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(3) | 555 | 491 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 280 | 290 | |
Targa Resources Partners LP 4.875%, 2/1/31(5) | 120 | 115 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(3) | 310 | 307 | |
Transcanada Trust 5.600%, 3/7/82(5) | 570 | 544 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(3) | 67 | 64 |
Par Value | Value | ||
Energy—continued | |||
Transocean, Inc. 144A 11.500%, 1/30/27(3) | $ 40 | $ 40 | |
USA Compression Partners LP 6.875%, 4/1/26(5) | 225 | 220 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(3)(5) | 35 | 33 | |
144A 4.125%, 8/15/31(3)(5) | 320 | 300 | |
16,206 | |||
Financials—4.2% | |||
Acrisure LLC 144A 7.000%, 11/15/25(3) | 670 | 650 | |
Ally Financial, Inc. Series B 4.700% (5)(6) | 769 | 649 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(3)(5) | 580 | 566 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3)(5) | 395 | 395 | |
Banco Mercantil del Norte S.A. 144A 6.625% (3)(6) | 620 | 539 | |
Banco Santander Chile 144A 3.177%, 10/26/31(3) | 575 | 501 | |
Bancolombia S.A. 4.625%, 12/18/29 | 200 | 182 | |
Bank of America Corp. 2.482%, 9/21/36(5) | 605 | 490 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (5)(6) | 530 | 529 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 485 | 435 | |
Blackstone Private Credit Fund 144A 2.625%, 12/15/26(3)(5) | 317 | 275 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(3)(5) | 415 | 330 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30(5) | 560 | 577 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(3) | 500 | 425 |
Par Value | Value | ||
Financials—continued | |||
Charles Schwab Corp. (The) Series H 4.000% (5)(6) | $ 605 | $ 482 | |
Citadel LP 144A 4.875%, 1/15/27(3)(5) | 525 | 525 | |
Cobra Acquisition Co. LLC 144A 6.375%, 11/1/29(3)(5) | 335 | 261 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(3) | 570 | 565 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(3)(5) | 720 | 666 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26(5) | 465 | 467 | |
5.250%, 5/15/27(5) | 35 | 34 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3) | 630 | 554 | |
Itau Unibanco Holding S.A. 144A 3.875%, 4/15/31(3) | 445 | 404 | |
JPMorgan Chase & Co. 1.953%, 2/4/32(5) | 1,165 | 966 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3)(5) | 325 | 293 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(3)(5) | 480 | 418 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.103%, 4/20/67(4)(5) | 515 | 384 | |
MetLife, Inc. Series G 3.850% (6) | 435 | 404 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(3)(5) | 475 | 405 | |
Navient Corp. 6.750%, 6/25/25(5) | 510 | 513 | |
OneMain Finance Corp. 7.125%, 3/15/26(5) | 290 | 297 |
Par Value | Value | ||
Financials—continued | |||
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(3)(5) | $ 319 | $ 300 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42(5) | 440 | 438 | |
5.625%, 6/15/43(5) | 400 | 397 | |
5.125%, 3/1/52(5) | 148 | 142 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27(5) | 435 | 430 | |
Synovus Financial Corp. 5.900%, 2/7/29(5) | 249 | 250 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31(5) | 705 | 670 | |
Wells Fargo & Co. 3.900% (5)(6) | 905 | 833 | |
17,641 | |||
Health Care—1.3% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(3)(5) | 375 | 306 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(3)(5) | 90 | 75 | |
144A 8.500%, 1/31/27(3)(5) | 270 | 215 | |
Bausch Health Cos., Inc. | |||
144A 6.125%, 2/1/27(3)(5) | 35 | 32 | |
144A 7.000%, 1/15/28(3)(5) | 170 | 116 | |
Bio-Rad Laboratories, Inc. 3.700%, 3/15/32(5) | 148 | 135 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3)(5) | 705 | 637 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(3) | 30 | 23 | |
144A 6.125%, 4/1/30(3) | 405 | 295 | |
144A 4.750%, 2/15/31(3)(5) | 265 | 214 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30(5) | 520 | 453 | |
Endo Dac 144A 9.500%, 7/31/27(3) | 94 | 23 | |
Endo Luxembourg Finance Co. I S.a.r.l. 144A 6.125%, 4/1/29(3) | 140 | 107 |
Par Value | Value | ||
Health Care—continued | |||
Illumina, Inc. 2.550%, 3/23/31(5) | $ 495 | $ 418 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(3)(5) | 135 | 58 | |
Legacy LifePoint Health LLC 144A 6.750%, 4/15/25(3)(5) | 5 | 5 | |
Molina Healthcare, Inc. 144A 3.875%, 5/15/32(3)(5) | 330 | 300 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(3) | 147 | 152 | |
144A 7.250%, 2/1/28(3) | 54 | 57 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | 172 | 135 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 400 | 381 | |
144A 10.000%, 4/15/27(3) | 135 | 137 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(3) | 365 | 279 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
3.150%, 10/1/26 | 215 | 191 | |
4.750%, 5/9/27 | 230 | 213 | |
Universal Health Services, Inc. 144A 2.650%, 1/15/32(3)(5) | 595 | 488 | |
5,445 | |||
Industrials—1.7% | |||
Alaska Airlines Pass-Through Trust 144A 4.800%, 8/15/27(3)(5) | 388 | 391 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3)(5) | 610 | 605 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(3) | 265 | 265 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(3)(5) | 305 | 346 |
Par Value | Value | ||
Industrials—continued | |||
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3)(5) | $ 605 | $ 557 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3)(5) | 335 | 322 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(3)(5) | 235 | 209 | |
Boeing Co. (The) | |||
5.150%, 5/1/30(5) | 365 | 363 | |
3.750%, 2/1/50(5) | 205 | 152 | |
5.930%, 5/1/60(5) | 147 | 144 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(3)(5) | 495 | 432 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(3) | 380 | 353 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3)(5) | 593 | 513 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(3) | 370 | 303 | |
Deluxe Corp. 144A 8.000%, 6/1/29(3)(5) | 175 | 155 | |
Global Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(3) | 430 | 364 | |
Oscar AcquisitionCo. LLC 144A 9.500%, 4/15/30(3) | 325 | 289 | |
OT Merger Corp. 144A 7.875%, 10/15/29(3) | 165 | 121 | |
Sempra Global 144A 3.250%, 1/15/32(3)(5) | 599 | 518 | |
SRS Distribution, Inc. 144A 6.125%, 7/1/29(3) | 220 | 189 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 250 | 236 | |
TransDigm, Inc. 5.500%, 11/15/27(5) | 380 | 364 | |
7,191 | |||
Information Technology—1.3% | |||
CDW LLC 3.569%, 12/1/31(5) | 704 | 623 |
Par Value | Value | ||
Information Technology—continued | |||
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(3)(5) | $ 70 | $ 66 | |
144A 6.500%, 10/15/28(3)(5) | 105 | 95 | |
Dell International LLC 8.100%, 7/15/36 | 474 | 573 | |
Entegris Escrow Corp. 144A 4.750%, 4/15/29(3) | 485 | 461 | |
Kyndryl Holdings, Inc. 144A 3.150%, 10/15/31(3)(5) | 575 | 441 | |
Leidos, Inc. 2.300%, 2/15/31(5) | 415 | 344 | |
MicroStrategy, Inc. 144A 6.125%, 6/15/28(3)(5) | 340 | 288 | |
Motorola Solutions, Inc. | |||
4.600%, 5/23/29(5) | 10 | 10 | |
5.600%, 6/1/32 | 650 | 672 | |
Oracle Corp. 2.875%, 3/25/31(5) | 230 | 196 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(3) | 490 | 387 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3)(5) | 575 | 546 | |
TD SYNNEX Corp. 144A 2.375%, 8/9/28(3)(5) | 720 | 622 | |
5,324 | |||
Materials—1.4% | |||
Albemarle Corp. 5.050%, 6/1/32(5) | 545 | 549 | |
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(3)(10) | 490 | 385 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(3)(5) | 565 | 562 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3)(5) | 170 | 177 | |
Eldorado Gold Corp. 144A 6.250%, 9/1/29(3) | 400 | 358 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43(5) | 455 | 447 |
Par Value | Value | ||
Materials—continued | |||
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(3)(5) | $ 515 | $ 437 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 595 | 546 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(3) | 420 | 403 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 235 | 203 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(3)(5) | 605 | 581 | |
Teck Resources Ltd. 6.125%, 10/1/35(5) | 425 | 468 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 260 | 250 | |
144A 6.625%, 11/1/25(3) | 375 | 351 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(3) | 160 | 131 | |
5,848 | |||
Real Estate—1.0% | |||
EPR Properties 4.750%, 12/15/26(5) | 570 | 558 | |
GLP Capital LP | |||
5.250%, 6/1/25(5) | 225 | 225 | |
5.750%, 6/1/28(5) | 277 | 280 | |
3.250%, 1/15/32(5) | 47 | 39 | |
Kite Realty Group Trust 4.750%, 9/15/30(5) | 610 | 596 | |
MPT Operating Partnership LP 4.625%, 8/1/29(5) | 130 | 123 | |
Office Properties Income Trust 4.500%, 2/1/25(5) | 490 | 481 | |
Ontario Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(3)(5) | 355 | 310 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31(5) | 610 | 503 |
Par Value | Value | ||
Real Estate—continued | |||
Service Properties Trust | |||
4.950%, 2/15/27(5) | $ 320 | $ 266 | |
4.375%, 2/15/30(5) | 215 | 158 | |
VICI Properties LP | |||
4.950%, 2/15/30 | 135 | 133 | |
5.125%, 5/15/32 | 135 | 134 | |
144A 4.625%, 6/15/25(3)(5) | 65 | 63 | |
144A 5.750%, 2/1/27(3)(5) | 190 | 189 | |
4,058 | |||
Utilities—0.8% | |||
Alliant Energy Finance LLC 144A 3.600%, 3/1/32(3)(5) | 311 | 288 | |
CMS Energy Corp. 4.750%, 6/1/50(5) | 570 | 533 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 695 | 662 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(3)(5) | 115 | 105 | |
144A 5.875%, 4/1/29(3)(5) | 120 | 104 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(3) | 855 | 840 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51(5) | 628 | 560 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/49(3)(7) | 125 | — | |
Vistra Corp. 144A 8.000% (3)(6) | 330 | 328 | |
3,420 | |||
Total Corporate Bonds and Notes (Identified Cost $89,153) | 81,039 | ||
Par Value | Value | ||
Leveraged Loans—8.7% | |||
Aerospace—0.4% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(4) | $ 83 | $ 81 | |
Amentum Government Services Holdings LLC Tranche B (3 month Term SOFR + 4.000%) 4.500%- 4.777%, 2/15/29(4) | 165 | 159 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.813%, 4/20/28(4) | 75 | 75 | |
Brown Group Holding LLC (3 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 444 | 421 | |
KKR Apple Bidco LLC | |||
(1 month LIBOR + 3.000%) 4.060%, 9/22/28(4) | 294 | 281 | |
Second Lien (1 month LIBOR + 5.750%) 6.810%, 9/21/29(4) | 25 | 24 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(4) | 300 | 304 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 3.310%, 5/30/25(4) | 212 | 206 | |
Tranche F (1 month LIBOR + 2.250%) 3.310%, 12/9/25(4) | 143 | 139 | |
1,690 | |||
Chemicals—0.4% | |||
Aruba Investments Holdings LLC First Lien (1 month LIBOR + 4.000%) 4.974%, 11/24/27(4) | 208 | 198 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.756%, 12/29/27(4) | 351 | 323 |
Par Value | Value | ||
Chemicals—continued | |||
Diamond BC B.V. Tranche B (1 month LIBOR + 2.750%) 3.810% - 3.989%, 9/29/28(4) | $ 349 | $ 330 | |
Herens Holdco S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 5.006%, 7/3/28(4) | 266 | 247 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.764%, 4/1/24(4) | 475 | 461 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.750%) 4.264%, 2/5/27(4) | 319 | 312 | |
1,871 | |||
Consumer Non-Durables—0.3% | |||
DS Parent, Inc. Tranche B (3 month LIBOR + 5.750%) 6.756%, 12/8/28(4) | 230 | 221 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 5.060%, 6/30/24(4) | 582 | 556 | |
ZEP, Inc. First Lien (12 month LIBOR + 4.000%) 5.000%, 8/12/24(4) | 325 | 301 | |
1,078 | |||
Energy—0.5% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.310%, 3/28/24(4) | 275 | 269 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.500%) 5.506%, 6/17/27(4) | 310 | 303 | |
Lucid Energy Group II Borrower LLC First Lien (1 month LIBOR + 4.250%) 5.256%, 11/24/28(4) | 214 | 207 |
Par Value | Value | ||
Energy—continued | |||
Medallion Midland Acquisition LP (1 month LIBOR + 3.750%) 4.810%, 10/18/28(4) | $ 357 | $ 345 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 4.705%, 10/5/28(4) | 324 | 313 | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.384% - 5.950%, 9/27/24(4) | 522 | 513 | |
1,950 | |||
Financial—0.1% | |||
Asurion LLC Tranche B-9 (1 month LIBOR + 3.250%) 4.310%, 7/31/27(4) | 216 | 204 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 4.060%, 6/15/25(4) | 213 | 203 | |
407 | |||
Food / Tobacco—0.2% | |||
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.747%, 5/23/25(4) | 262 | 238 | |
Pegasus Bidco B.V. (3 month LIBOR + 4.250%) 0.000%, 5/5/29(4)(11) | 190 | 183 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 4.560%, 9/23/27(4) | 266 | 244 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.506%, 3/31/28(4) | 182 | 168 | |
833 | |||
Par Value | Value | ||
Forest Prod / Containers—0.5% | |||
Anchor Glass Container Corp. 2017 (3 month LIBOR + 2.750%) 3.750% - 3.756%, 12/7/23(4) | $ 163 | $ 135 | |
Berlin Packaging LLC Tranche B-4 (1 month LIBOR + 3.250%) 4.069%, 3/11/28(4) | 480 | 453 | |
BWay Holding Co. (1 month LIBOR + 3.250%) 4.050% - 4.260%, 4/3/24(4) | 559 | 537 | |
Klockner Pentaplast of America, Inc. Tranche B (6 month LIBOR + 4.750%) 5.554%, 2/12/26(4) | 456 | 403 | |
Spectrum Holdings III Corp. First Lien (6 month LIBOR + 3.250%) 4.250%, 1/31/25(4) | 227 | 215 | |
TricorBraun, Inc. (1 month LIBOR + 3.250%) 4.310%, 3/3/28(4) | 363 | 343 | |
2,086 | |||
Gaming / Leisure—0.8% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.810%, 12/23/24(4) | 584 | 572 | |
Carnival Corp. | |||
2021, Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/18/28(4) | 217 | 206 | |
Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(4) | 93 | 90 | |
ECL Entertainment LLC Tranche B (1 month LIBOR + 7.500%) 8.560%, 5/1/28(4) | 210 | 206 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Fertitta Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 5.034%, 1/26/29(4) | $ 200 | $ 191 | |
J&J Ventures Gaming LLC (1 month LIBOR + 4.000%) 5.060%, 4/26/28(4) | 333 | 324 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.810%, 4/29/24(4) | 690 | 663 | |
Pug LLC | |||
Tranche B (1 month LIBOR + 3.500%) 4.264%, 2/12/27(4) | 518 | 491 | |
Tranche B-2 (1 month LIBOR + 4.250%) 5.310%, 2/12/27(4) | 67 | 65 | |
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.934%, 11/1/26(4) | 115 | 112 | |
Scientific Games Holdings LP Tranche B-2 (3 month Term SOFR + 3.500%) 4.467%, 4/4/29(4) | 75 | 72 | |
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | 495 | 478 | |
3,470 | |||
Health Care—1.2% | |||
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.902%, 10/6/27(4) | 173 | 167 | |
Azalea TopCo., Inc. 2021 (1 month LIBOR + 3.750%) 4.810% - 4.989%, 7/24/26(4) | 394 | 381 | |
CHG Healthcare Services, Inc. First Lien (3 month LIBOR + 3.500%) 4.506% - 5.000%, 9/29/28(4) | 320 | 308 |
Par Value | Value | ||
Health Care—continued | |||
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.810%, 10/10/25(4) | $ 154 | $ 60 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 5.006%, 10/1/27(4) | 331 | 323 | |
Heartland Dental LLC 2021 (1 month LIBOR + 4.000%) 4.961%, 4/30/25(4) | 382 | 366 | |
Hunter Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 4.750%, 8/19/28(4) | 190 | 184 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.810%, 11/16/25(4) | 370 | 357 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.688%, 4/22/27(7) | 240 | 207 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.756%, 11/30/27(4) | 347 | 334 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.810%, 2/14/25(4) | 531 | 507 | |
PetVet Care Centers LLC 2021, First Lien (1 month LIBOR + 3.500%) 4.560%, 2/14/25(4) | 193 | 185 | |
Phoenix Guarantor, Inc. | |||
Tranche B-1 (1 month LIBOR + 3.250%) 4.310%, 3/5/26(4) | 304 | 292 | |
Tranche B-3 (1 month LIBOR + 3.500%) 4.461%, 3/5/26(4) | 234 | 225 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.250%) 4.310%, 11/15/28(4) | 130 | 125 |
Par Value | Value | ||
Health Care—continued | |||
Pluto Acquisition I, Inc. 2021, First Lien (3 month LIBOR + 4.000%) 6.076%, 6/22/26(4) | $ 263 | $ 249 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 4.756%, 10/1/26(4) | 173 | 166 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 4.600%, 8/31/26(4) | 322 | 308 | |
Upstream Newco, Inc. 2021 (1 month Term SOFR + 4.000%) 5.399%, 11/20/26(4) | 232 | 218 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.810%, 7/2/25(4) | 311 | 286 | |
5,248 | |||
Housing—0.2% | |||
Chariot Buyer LLC (3 month LIBOR + 3.500%) 4.506%, 11/3/28(4) | 334 | 314 | |
Quikrete Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 4.060%, 6/9/28(4) | 360 | 346 | |
SRS Distribution, Inc. | |||
2021 (3 month LIBOR + 3.500%) 4.019%, 6/2/28(4) | 169 | 160 | |
2022 (6 month Term SOFR + 3.500%) 4.000%, 6/2/28(4) | 35 | 33 | |
853 | |||
Information Technology—1.3% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 6.506%, 9/19/25(4) | 206 | 202 |
Par Value | Value | ||
Information Technology—continued | |||
Aston Finco S.a.r.l. First Lien (1 month LIBOR + 4.250%) 5.310%, 10/9/26(4) | $ 240 | $ 230 | |
BMC Software | |||
2021 (1 month LIBOR + 3.750%) 4.810%, 10/2/25(4) | 483 | 463 | |
Second Lien (1 month LIBOR + 5.500%) 6.560%, 2/27/26(4) | 95 | 91 | |
ConnectWise LLC (1 month LIBOR + 3.500%) 4.560%, 9/29/28(4) | 299 | 285 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.310%, 7/30/27(4) | 627 | 609 | |
Greeneden U.S. Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 5.060%, 12/1/27(4) | 267 | 259 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.560%, 7/1/24(4) | 483 | 470 | |
Infinite Bidco LLC | |||
First Lien (3 month LIBOR + 3.750%) 0.000%, 3/2/28(4) | 352 | 336 | |
Second Lien (1 month LIBOR + 7.000%) 8.060%, 3/2/29(4) | 135 | 131 | |
Magenta Buyer LLC First Lien (3 month LIBOR + 5.000%) 6.230%, 7/27/28(4) | 234 | 214 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 4.310%, 3/10/28(4) | 352 | 335 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 4.825%, 8/31/28(4) | 339 | 325 |
Par Value | Value | ||
Information Technology—continued | |||
Quest Software U.S. Holdings, Inc. First Lien (3 month Term SOFR + 4.250%) 4.750%, 2/1/29(4) | $ 255 | $ 235 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.250%) 4.310%, 4/24/28(4) | 448 | 429 | |
Sophia LP | |||
Tranche B (1 month Term SOFR + 4.250%) 4.950%, 10/7/27(4) | 135 | 133 | |
Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/7/27(4) | 350 | 336 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 6.212%, 5/3/27(4) | 20 | 19 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 4.212%, 5/4/26(4) | 488 | 470 | |
5,572 | |||
Manufacturing—0.4% | |||
Alliance Laundry Systems LLC Tranche B (1 month LIBOR + 3.500%) 4.250% - 4.521%, 10/8/27(4) | 256 | 246 | |
Arcline FM Holdings LLC | |||
First Lien (6 month LIBOR + 4.750%) 5.500%, 6/23/28(4) | 279 | 266 | |
Second Lien (6 month LIBOR + 8.250%) 9.000%, 6/25/29(4) | 95 | 92 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.756%, 11/2/27(4) | 320 | 304 |
Par Value | Value | ||
Manufacturing—continued | |||
Filtration Group Corp. (1 month LIBOR + 3.000%) 4.060%, 3/31/25(4) | $ 294 | $ 282 | |
Safe Fleet Holdings LLC 2022 (3 month Term SOFR + 3.750%) 4.773%, 2/23/29(4) | 65 | 62 | |
Star U.S. Bidco LLC (1 month LIBOR + 4.250%) 5.310%, 3/17/27(4) | 313 | 304 | |
1,556 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
Directv Financing LLC (1 month LIBOR + 5.000%) 6.060%, 8/2/27(4) | 272 | 263 | |
Media / Telecom - Diversified Media—0.3% | |||
Cinemark USA, Inc. (3 month LIBOR + 1.750%) 0.000%, 3/31/25(4)(11) | 231 | 220 | |
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 4.866%, 12/1/28(4) | 278 | 266 | |
McGraw-Hill Education, Inc. (3 month LIBOR + 4.750%) 5.258% - 5.554%, 7/28/28(4) | 295 | 279 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 3.810%, 5/18/25(4) | 351 | 336 | |
1,101 | |||
Par Value | Value | ||
Media / Telecom - Telecommunications—0.0% | |||
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.563%, 10/2/27(4) | $ 154 | $ 136 | |
Metals / Minerals—0.1% | |||
Covia Holdings LLC (3 month LIBOR + 4.000%) 5.000%, 7/31/26(4) | 340 | 325 | |
Peabody Energy Corp. Tranche B (2 month LIBOR + 2.750%) 3.773%, 3/31/25(4) | 225 | 208 | |
533 | |||
Retail—0.4% | |||
CNT Holdings I Corp. First Lien (1 month LIBOR + 3.500%) 4.345%, 11/8/27(4) | 282 | 274 | |
Great Outdoors Group LLC Tranche B-2 (1 month LIBOR + 3.750%) 4.810%, 3/6/28(4) | 351 | 332 | |
Harbor Freight Tools USA, Inc. 2021 (1 month LIBOR + 2.750%) 3.810%, 10/19/27(4) | 354 | 327 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.256%, 4/15/28(4) | 238 | 204 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 258 | 242 | |
Rising Tide Holdings, Inc. First Lien (3 month LIBOR + 4.750%) 5.514%, 6/1/28(4) | 189 | 173 | |
1,552 | |||
Par Value | Value | ||
Service—1.0% | |||
Apex Group Treasury Ltd. (3 month LIBOR + 3.750%) 4.756%, 7/27/28(4) | $ 363 | $ 351 | |
Carlisle Foodservice Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.060%, 3/20/25(4) | 390 | 366 | |
Dun & Bradstreet Corp. (The) | |||
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 4.225%, 1/18/29(4) | 50 | 48 | |
Tranche B (1 month LIBOR + 3.250%) 4.273%, 2/6/26(4) | 405 | 392 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.810%, 12/23/27(4) | 207 | 202 | |
Garda World Security Corp. Tranche B-2 (1 month LIBOR + 4.250%) 5.260%, 10/30/26(4) | 75 | 70 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26(4) | 280 | 257 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 4.310%, 6/30/28(4) | 311 | 299 | |
Tranche C (1 month LIBOR + 3.250%) 4.310%, 6/30/28(4) | 59 | 57 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(4) | 189 | 180 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.810%, 2/1/28(4) | 402 | 389 | |
PODS LLC (1 month LIBOR + 3.000%) 4.060%, 3/31/28(4) | 320 | 306 |
Par Value | Value | ||
Service—continued | |||
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 4.810%, 9/3/26(4) | $ 340 | $ 328 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 4.310%, 2/10/29(4) | 290 | 280 | |
Sweetwater Borrower LLC (1 month LIBOR + 4.750%) 5.813%, 8/7/28(4)(7) | 239 | 211 | |
Weld North Education LLC 2021 (1 month LIBOR + 3.750%) 4.810%, 12/21/27(4) | 401 | 387 | |
4,123 | |||
Transportation - Automotive—0.3% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 4.014%, 4/30/26(4) | 224 | 215 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 3.060%, 11/2/23(4) | 676 | 586 | |
Mavis Tire Express Services Topco Corp. First Lien (1 month Term SOFR + 4.000%) 5.000%, 5/4/28(4) | 318 | 304 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.500%) 4.739%, 10/28/27(4) | 109 | 104 | |
1,209 | |||
Utility—0.2% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.810%, 8/1/25(4) | 364 | 347 | |
Generation Bridge II LLC | |||
Tranche B (3 month LIBOR + 5.000%) 6.006%, 2/23/29(4) | 118 | 116 |
Par Value | Value | ||
Utility—continued | |||
Tranche C (3 month LIBOR + 5.000%) 6.006%, 2/23/29(4) | $ 14 | $ 14 | |
Lightstone HoldCo LLC | |||
2018, Tranche B (3 month SOFR + 5.750%) 7.024%, 1/30/24(4) | 538 | 492 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.989%, 1/30/24(4) | 30 | 28 | |
997 | |||
Total Leveraged Loans (Identified Cost $38,132) | 36,528 |
Shares | ||
Preferred Stocks—0.6% | ||
Financials—0.5% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(3) | 310 (12) | 281 |
JPMorgan Chase & Co. Series HH, 4.600% | 285 (12) | 256 |
MetLife, Inc. Series D, 5.875% | 329 (12) | 314 |
Truist Financial Corp. Series Q, 5.100%(5) | 565 (12) | 545 |
Zions Bancorp NA, 6.950% | 17,485 | 453 |
1,849 | ||
Industrials—0.1% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 4.156%(4)(5) | 622 (12) | 564 |
Total Preferred Stocks (Identified Cost $2,596) | 2,413 | |
Common Stocks—89.0% | ||
Communication Services—2.4% | ||
Cellnex Telecom S.A. | 224,648 | 10,136 |
Shares | Value | ||
Consumer Discretionary—0.0% | |||
MYT Holding LLC Class B(7)(13) | 22,362 | $ 13 | |
NMG Parent LLC(13) | 368 | 63 | |
76 | |||
Energy—15.0% | |||
Cheniere Energy, Inc. | 104,630 | 14,310 | |
Enbridge, Inc. | 236,458 | 10,913 | |
Frontera Energy Corp.(13) | 1,636 | 18 | |
ONEOK, Inc. | 119,310 | 7,857 | |
Pembina Pipeline Corp. | 198,790 | 8,015 | |
QuarterNorth Energy Holding, Inc.(13) | 2,997 | 385 | |
Targa Resources Corp. | 155,141 | 11,173 | |
TC Energy Corp. | 68,773 | 3,978 | |
Williams Cos., Inc. (The) | 181,250 | 6,717 | |
63,366 | |||
Industrials—25.4% | |||
Aena SME S.A.(13) | 99,324 | 15,157 | |
Aeroports de Paris(13) | 25,190 | 3,763 | |
Atlantia SpA | 424,795 | 10,293 | |
Auckland International Airport Ltd.(13) | 1,010,881 | 4,927 | |
Canadian National Railway Co. | 49,500 | 5,632 | |
Canadian Pacific Railway Ltd. | 78,475 | 5,606 | |
CSX Corp. | 278,670 | 8,859 | |
Ferrovial S.A. | 284,265 | 7,327 | |
Flughafen Zurich AG Registered Shares(13) | 37,265 | 6,294 | |
Norfolk Southern Corp. | 41,081 | 9,846 | |
Transurban Group | 1,634,918 | 16,860 | |
Union Pacific Corp. | 27,267 | 5,993 | |
Vinci S.A. | 65,036 | 6,261 | |
106,818 | |||
Real Estate—8.6% | |||
American Tower Corp. | 79,330 | 20,319 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. | 83,465 | $ 15,829 | |
36,148 | |||
Utilities—37.6% | |||
Ameren Corp. | 65,370 | 6,223 | |
American Water Works Co., Inc. | 24,995 | 3,780 | |
Atmos Energy Corp. | 58,020 | 6,748 | |
CenterPoint Energy, Inc. | 293,890 | 9,419 | |
CMS Energy Corp. | 65,045 | 4,621 | |
Dominion Energy, Inc. | 195,000 | 16,423 | |
EDP - Energias de Portugal S.A. | 1,296,593 | 6,503 | |
Emera, Inc. | 84,910 | 4,221 | |
Enel SpA | 925,250 | 6,004 | |
Evergy, Inc. | 89,495 | 6,259 | |
Eversource Energy | 86,980 | 8,030 | |
Iberdrola S.A. | 567,273 | 6,720 | |
National Grid plc | 814,250 | 12,015 | |
NextEra Energy, Inc. | 252,999 | 19,150 | |
Orsted AS | 42,773 | 4,840 | |
Public Service Enterprise Group, Inc. | 141,126 | 9,673 | |
Sempra Energy | 87,515 | 14,340 | |
Southern Co. (The) | 76,570 | 5,793 | |
Xcel Energy, Inc. | 104,290 | 7,857 | |
158,619 | |||
Total Common Stocks (Identified Cost $325,876) | 375,163 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7) | 2,084 | 3 | |
Total Rights (Identified Cost $2) | 3 |
Shares | Value | ||
Total Long-Term Investments—135.8% (Identified Cost $538,855) | $ 572,571 | ||
Short-Term Investment—1.1% | |||
Money Market Mutual Fund—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.702%)(14) | 4,680,784 | 4,681 | |
Total Short-Term Investment (Identified Cost $4,681) | 4,681 | ||
TOTAL INVESTMENTS—136.9% (Identified Cost $543,536) | $ 577,252 | ||
Other assets and liabilities, net���(36.9)% | (155,723) | ||
NET ASSETS—100.0% | $ 421,529 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received. |
(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, 2022, these securities amounted to a value of $109,254 or 25.9% of net assets. |
(4) | Variable rate security. Rate disclosed is as of May 31, 2022. 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) | All or a portion is segregated as collateral for borrowings. |
(6) | No contractual maturity date. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(9) | Amount is less than $500. |
(10) | 100% of the income received was in cash. |
(11) | This loan will settle after May 31, 2022, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at May 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 22,645 | $ — | $ 22,645 | $ — | |||
Corporate Bonds and Notes | 81,039 | — | 81,038 | 1 (1) | |||
Foreign Government Securities | 8,916 | — | 8,916 | — | |||
Leveraged Loans | 36,528 | — | 36,110 | 418 | |||
Mortgage-Backed Securities | 30,298 | — | 30,298 | — | |||
Municipal Bonds | 2,318 | — | 2,318 | — | |||
U.S. Government Securities | 13,248 | — | 13,248 | — | |||
Equity Securities: | |||||||
Common Stocks | 375,163 | 374,702 | 448 | 13 | |||
Preferred Stocks | 2,413 | 453 | 1,960 | — | |||
Rights | 3 | — | — | 3 | |||
Money Market Mutual Fund | 4,681 | 4,681 | — | — | |||
Total Investments | $577,252 | $379,836 | $196,981 | $435 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Assets | |
Investment in securities at value (Identified cost $543,536) | $ 577,252 |
Foreign currency at value (cost $37) | 38 |
Cash | 170 |
Receivables | |
Investment securities sold | 10,455 |
Dividends and interest | 2,641 |
Tax reclaims | 286 |
Prepaid Directors’ retainer | 6 |
Prepaid expenses | 21 |
Other assets (Note 3) | 143 |
Total assets | 591,012 |
Liabilities | |
Borrowings (Note 7) | 159,750 |
Payables | |
Investment securities purchased | 8,849 |
Investment advisory fees | 341 |
Interest on borrowings (Note 7) | 283 |
Director deferred compensation plan (Note 3) | 143 |
Administration and accounting fees | 52 |
Other accrued expenses | 65 |
Total liabilities | 169,483 |
Net Assets | $ 421,529 |
Net Assets Consist of: | |
Common stock ($0.001 par value; 500,000,000 shares authorized) | $ 48 |
Capital paid in on shares of beneficial interest | 399,785 |
Total distributable earnings (accumulated losses) | 21,696 |
Net Assets | $ 421,529 |
Common Shares Outstanding | 48,144,435 |
Net Asset Value Per Share(a) | $ 8.76 |
(a) | Net Asset Value Per Share is calculated using unrounded net assets. |
Investment Income | |
Dividends | $ 5,063 |
Interest | 4,762 |
Foreign taxes withheld | (371) |
Total investment income | 9,454 |
Expenses | |
Investment advisory fees | 2,058 |
Administration and accounting fees | 318 |
Printing fees and expenses | 154 |
Directors’ fees and expenses | 139 |
Transfer agent fees and expenses | 58 |
Professional fees | 38 |
Custodian fees | 7 |
Miscellaneous expenses | 47 |
Total expenses before interest expense | 2,819 |
Interest expense on borrowings (Note 7) | 959 |
Total expenses after interest expense | 3,778 |
Net investment income (loss) | 5,676 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 12,224 |
Foreign currency transactions | (14) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (2,666) |
Foreign currency transactions | (4) |
Net realized and unrealized gain (loss) on investments | 9,540 |
Net increase (decrease) in net assets resulting from operations | $15,216 |
Six Months Ended May 31, 2022 (Unaudited) | Year Ended November 30, 2021 | ||
INCREASE (DECREASE) IN NET ASSETS From Operations | |||
Net investment income (loss) | $ 5,676 | $ 10,385 | |
Net realized gain (loss) | 12,210 | 17,337 | |
Net change in unrealized appreciation (depreciation) | (2,670) | (763) | |
Increase (decrease) in net assets resulting from operations | 15,216 | 26,959 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (23,019) (1) | (11,277) | |
Return of capital | — | (34,376) | |
Dividends and Distributions to Shareholders | (23,019) | (45,653) | |
From Capital Share Transactions | |||
Issuance of common stock related to reinvestment of distributions (320,856 and 388,052 shares, respectively) | 2,871 | 3,603 | |
Increase (decrease) in net assets from capital transactions | 2,871 | 3,603 | |
Net increase (decrease) in net assets | (4,932) | (15,091) | |
Net Assets | |||
Beginning of period | 426,461 | 441,552 | |
End of period | $421,529 | $426,461 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. Also refer to the inside front cover for information on the Managed Distribution Plan and see Notes to the Financial Statements. |
Increase (Decrease) in cash | |
Cash flows provided by (used for) operating activities: | |
Net increase (decrease) in net assets resulting from operations | $ 15,216 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |
Proceeds from sales and paydowns of long-term investments | 123,300 |
(Increase) Decrease in investment securities sold receivable | (7,416) |
Purchases of long-term investments | (103,586) |
Increase (Decrease) in investment securities purchased payable | 2,757 |
Net (purchases) or sales of short-term investments | (1,085) |
Net change in unrealized (appreciation)/depreciation | 2,666 |
Net realized (gain)/loss on investments | (12,224) |
Return of capital distributions on investments | (122) |
Amortization of premium and accretion of discounts on investments | 98 |
Proceeds from litigation settlements | 1 |
(Increase) Decrease in tax reclaims receivable | 5 |
(Increase) Decrease in dividends and interest receivable | (288) |
(Increase) Decrease in prepaid expenses | (20) |
Increase (Decrease) in interest payable on borrowings | 65 |
Increase (Decrease) in affiliated expenses payable | (5) |
Increase (Decrease) in non-affiliated expenses payable | (114) |
Cash provided by (used for) operating activities | 19,248 |
Cash provided by (used for) financing activities: | |
Cash distributions paid to shareholders | (20,148) |
Cash provided by (used for) financing activities: | (20,148) |
Net increase (decrease) in cash | (900) |
Cash and foreign currency at beginning of period | 1,108 |
Cash and foreign currency at end of period | $ 208 |
Supplemental cash flow information: | |
Reinvestment of dividends and distributions | $ 2,871 |
Cash paid during the period for interest expense on borrowings | 894 |
Six Months Ended May 31, 2022 (Unaudited) | Year Ended November 30, | ||||||||
2021 | 2020 (1) | 2019 (1) | 2018 (1) | ||||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of period | $ 8.92 | $ 9.31 | $ 10.33 | $ 11.01 | $ 13.98 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)(2) | 0.12 | 0.22 | 0.25 | 0.24 | 0.34 | ||||
Net realized and unrealized gain (loss) | 0.20 | 0.35 | (0.11) | 0.52 | (1.81) | ||||
Payment from affiliate | — | — | — | — (3) | — | ||||
Total from investment operations | 0.32 | 0.57 | 0.14 | 0.76 | (1.47) | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment income | (0.48) | (0.24) | (0.27) | (0.31) | (0.31) | ||||
Net realized gains | — | — | — | — | (0.09) | ||||
Return of capital | — | (0.72) | (0.89) | (1.13) | (1.10) | ||||
Total dividends and distributions to shareholders | (0.48) | (0.96) | (1.16) | (1.44) | (1.50) | ||||
Fund Share Transactions | |||||||||
Net asset value, end of period | $ 8.76 | $ 8.92 | $ 9.31 | $ 10.33 | $ 11.01 | ||||
Market value, end of period(4) | $ 9.29 | $ 9.37 | $ 8.41 | $ 10.98 | $ 9.64 | ||||
Total return, net asset value(5), (6) | 3.48% | 6.36% | 3.25% | 16.67% | (10.17)% | ||||
Total return, market value(5), (6) | 4.58% | 23.68% | (12.25)% | 41.67% | (17.51)% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of net expenses to average net assets(7), (8) | 1.76% | 1.73% | 2.05% | 2.99% (9) | 2.61% | ||||
Ratio of total expenses after interest expense to average net assets(7) | 1.76% | 1.73% | 2.05% | 2.99% (9) | 2.70% | ||||
Ratio of net investment income (loss) to average net assets(7) | 2.65% | 9.36% | 2.73% | 2.20% (9) | 2.75% | ||||
Portfolio turnover rate(5) | 18% | 44% | 46% | 110% (11) | 46% | ||||
Net assets, end of period (000’s) | $421,529 | $426,461 | $441,552 | $487,899 | $227,954 | ||||
Borrowings, end of period (000’s) | $159,750 | $159,750 | $159,750 | $184,750 | $ 84,250 | ||||
Asset coverage, per $1,000 principal amount of borrowings(12) | $ 3,639 | $ 3,670 | $ 3,764 | $ 3,641 | $ 3,706 |
Year Ended November 30, 2017(1) | |
PER SHARE DATA: | |
Net asset value, beginning of period | $ 12.25 |
Income (loss) from investment operations: | |
Net investment income (loss)(2) | 0.30 |
Net realized and unrealized gain (loss) | 2.34 |
Total from investment operations | 2.64 |
Dividends and Distributions to Shareholders: | |
Net investment income | (0.36) |
Net realized gains | (0.60) |
Total dividends and distributions to shareholders | (0.96) |
Fund Share Transactions | |
Anti-dilutive impact of tender offers | 0.05 |
Net asset value, end of period | $ 13.98 |
Market value, end of period(4) | $ 13.33 |
Total return, net asset value(5), (6) | 26.37% |
Total return, market value(5), (6) | 27.06% |
RATIOS/SUPPLEMENTAL DATA: | |
Ratio of net expenses to average net assets(7), (8) | 2.55% (10) |
Ratio of total expenses after interest expense to average net assets(7) | 2.62% (10) |
Ratio of net investment income (loss) to average net assets(7) | 2.86% (10) |
Portfolio turnover rate(5) | 61% |
Net assets, end of period (000’s) | $289,580 |
Borrowings, end of period (000’s) | $105,000 |
Asset coverage, per $1,000 principal amount of borrowings(12) | $ 3,758 |
(1) | On April 3, 2017, Virtus Total Return Fund (DCA) was reorganized into the former Virtus Total Return Fund Inc. (ZF). For periods prior to April 3, 2017, the activity in the table presented above was for the accounting survivor of that reorganization, DCA. In addition, on November 18, 2019, ZF was reorganized into the Fund. For periods between April 3, 2017 and November 18, 2019, the activity in the table presented above is for ZF, and thereafter it is for the Fund. The net asset values and other per share information for periods prior to the April 3, 2017 reorganization were revised to reflect the share conversion ratio from that reorganization of 0.391206, and the net asset values and other per share information for periods between April 3, 2017 and November 18, 2019 have been revised to reflect the share conversion ratio from the later reorganization of 1.039518. |
(2) | Calculated using average shares outstanding. |
(3) | Amount is less than $0.005 per share. |
(4) | Closing Price – New York Stock Exchange. |
(5) | Not annualized for periods less than one year. |
(6) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning and ending values. |
(7) | Annualized for periods less than one year. |
(8) | Ratio of total expenses, before interest expense on the line of credit, was 1.32% for the six months ended May 31, 2022, 1.34%, 1.38%, 1.79%, 1.63% and 1.92% for the years ended November 30, 2021, 2020, 2019, 2018 and 2017, respectively. |
(9) | The Fund incurred certain non-recurring merger costs in 2019. When excluding these costs, the ratio of total expenses after interest expense and before expense waivers to average net assets would be 2.83%, the ratio of net expenses to average net assets would be 2.83% and the ratio of net investment income (loss) to average net assets would be 2.36%. |
(10) | 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%. |
(11) | Portfolio turnover increased due to repositioning of the portfolio related to the reorganization on November 18, 2019. |
(12) | 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 or 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 sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. | |
Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
It is the Fund’s intention to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income and capital gains, if any, to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
The Fund has a Managed Distribution Plan which currently provides for the Fund to make a monthly distribution of $0.08 per share. Distributions may represent earnings from net investment income, realized capital gains, or, if necessary, return of capital. Shareholders should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed Distribution Plan. | |
E. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income securities, the Fund bifurcates that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with |
the net realized and unrealized gain or loss on foreign currency transactions. For equity securities, the Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
F. | Payment-In-Kind Securities |
The Fund may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. | |
G. | When-Issued Purchases and Forward Commitments (Delayed Delivery) |
The Fund may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by the Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Fund to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Fund records when-issued and forward commitment securities on the trade date. The Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
H. | Leveraged Loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
I. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to 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 pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
J. | Cash and Cash Equivalents |
Cash and cash equivalents include deposits held at financial institutions, which are available for the Fund’s use with no restrictions, and are inclusive of dollar denominated and foreign currency. |
A. | Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment program and general operations of the Fund, including oversight of the Fund’s subadvisers. | |
As compensation for its services to the Fund, the Adviser receives a fee at an annual rate of 0.70% of the Fund’s average daily Managed Assets, which is calculated daily and paid monthly. “Managed Assets” is defined as the value of the total assets of the Fund 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; and Newfleet Asset Management (“Newfleet”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser of the fixed income portion of the Fund’s portfolio. For the period, these two subadvisers were, in the aggregate, responsible for the day-to-day portfolio management of the Fund for which they were each paid a fee by the Adviser. |
C. | Administration Services |
Virtus Fund Services, LLC (“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 calculated on the Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. | |
For the period ended May 31, 2022, the Fund incurred administration fees totaling $294 which are included in the Statement of Operations within the line item “Administration and accounting fees.” | |
D. | Directors’ Fees |
For the period ended May 31, 2022, the Fund incurred Directors’ fees totaling $138 which are included in the Statement of Operations within the line item “Directors’ fees and expenses.” | |
E. | Investments in Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended May 31, 2022, the Fund did not engage in transactions pursuant to Rule 17a-7 under the 1940 Act. | |
F. | Director Deferred Compensation Plan |
The Fund provides a deferred compensation plan for its Directors who receive compensation from the Fund. Under the deferred compensation plan, Directors may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Fund, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Directors. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at May 31, 2022. |
Purchases | Sales | |
$90,306 | $122,186 |
ended May 31, 2022, were as follows:
Purchases | Sales | |
$13,280 | $1,114 |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
$543,681 | $59,319 | $(25,748) | $33,571 |
Short-Term | Long-Term | ||
$6,220 | $— |
Sector | Percentage of Total Investments | |
Utilities | 27% |
Outstanding Borrowings | Interest Rate | |
$159,750 | 1.645% |
Election of Directors | Votes For | Votes Withheld |
George R. Aylward | 29,669,421.569 | 981,734.642 |
F. Ford Drummond | 29,572,938.103 | 1,078,218.108 |
John R. Mallin | 29,619,382.274 | 1,031,773.937 |
Philip R. McLoughlin | 29,616,056.279 | 1,035,099.932 |
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 at 1-866-270-7788
or closedendfunds@virtus.com
or visit Virtus.com.
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8524 | 07-22 |
Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Response not required for semi-annual report.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a) | Response not required for semi-annual report. |
(b) | There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR. |
Item 9. Purchases of Equity Securities by Closed-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 | (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs | ||||
December 2021 | 0 | $0.00 | 0 | 2,654,033 | ||||
January 2022 | 0 | $0.00 | 0 | 2,654,033 | ||||
February 2022 | 0 | $0.00 | 0 | 2,654,033 | ||||
March 2022 | 0 | $0.00 | 0 | 2,654,033 | ||||
April 2022 | 0 | $0.00 | 0 | 2,654,033 | ||||
May 2022 | 0 | $0.00 | 0 | 2,654,033 | ||||
Total | 0 | $0.00 | 0 | 2,654,033 |
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: 6,884,886 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 Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The 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 their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the 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 period covered by this report 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 for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2)(1) | There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. |
(a)(2)(2) | There was no change in the Registrant’s independent public accountant during the period covered by the report. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Total Return Fund Inc. | ||
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President and Chief Executive Officer (principal executive officer) | ||
Date August 5, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President and Chief Executive Officer (principal executive officer) | ||
Date August 5, 2022 |
By (Signature and Title)* /s/ W. Patrick Bradley | ||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer (principal financial officer) | ||
Date August 5, 2022 |
* Print the name and title of each signing officer under his or her signature.