Form N-30B-2 Virtus Total Return Fund For: Aug 31

Form N-30B-2 Virtus Total Return Fund For: Aug 31

Sign up for StreetInsider Free!

Sign up for StreetInsider Free!

Create E-mail Alert Related Categories

You May Also Be Interested In

Create E-mail Alert Related Categories

Free News Feed

Article Stock Quotes (1)

FREE Breaking News Alerts from StreetInsider.com!

StreetInsider.com Top Tickers, 4/20/2024

1. NFLX
2. TSLA
3. TSM
4. ISRG
5. SNV

6. SPY
7. INFY
8. SMCI
9. NVDA
10. SLB

Top News Most Read Special Reports

November 1, 2019 9:36 AM EDT

E-mail


QUARTERLY REPORT

August 31, 2019

Virtus Total Return Fund Inc.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless specifically requested from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect at any time to receive not only shareholder reports but also certain other communications from the Fund electronically, or you may elect to receive paper copies of all future shareholder reports free of charge to you. If you own your shares directly with the Fund, you may make such elections by calling the Fund at 1-800-270-7788 or, with respect to requesting electronic delivery, by visiting www.virtus.com. If you own your shares through a financial intermediary, please contact your financial intermediary to make your request and to determine whether your election will apply to all funds in which you own shares through that intermediary.

Not FDIC Insured • No Bank Guarantee • May Lose Value

FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN

The Board of Directors (the “Board,” or the “Directors”) of Virtus Total Return Fund Inc. (the “Fund”) adopted a Managed Distribution Plan (the “Plan”) which currently provides for the Fund to make a quarterly distribution rate of $0.361 per share. Under the terms of the Plan, the Fund seeks to maintain a consistent distribution level that may be paid in part or in full from net investment income, realized capital gains, and a return of capital, or a combination thereof.

If the Fund estimates that it has distributed more than its income and capital gains in a particular period, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.”

To the extent that the Fund uses capital gains and/or return of capital to supplement its investment income, you should not draw any conclusions about the Fund’s investment performance from the amount of the Fund’s distributions or from the terms of the Fund’s Managed Distribution Plan.

The amounts and sources of distributions reported in Section 19(a) notices of the Investment Company Act of 1940 are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Fund will send shareholders a Form 1099-DIV for the calendar year that will tell you how to report distributions for federal income tax purposes.

The Board may amend, suspend or terminate the Managed Distribution Plan at any time, without prior notice to shareholders, if it deems such action to be in the best interest of the Fund and its shareholders.

Information on the Fund is available through the closed-end fund section on the web at www.Virtus.com. Section 19(a) notices are posted on the website at: https://www.virtus.com/our-products/closed-end-fund-details/ZF.

MESSAGE TO SHAREHOLDERS

Dear Virtus Total Return Fund Inc. Shareholder:

Enclosed is the quarterly report for Virtus Total Return Fund Inc. (ZF) for the period ended August 31, 2019.

For the three months ended August 31, 2019, the fund’s NAV increased 5.30%, including $0.361 in reinvested distributions, and its market price increased 12.93%, compared with a 4.48% increase, including reinvested dividends, for the fund’s composite benchmark. The fund’s NAV return during the period included a benefit of 0.09% from the options overlay strategy.

The fund’s composite benchmark consists of 60% FTSE Developed Core Infrastructure 50/50 Index (net), which gained 4.71% during the period, and 40% Bloomberg Barclays U.S. Aggregate Bond Index, which increased by 4.11%.

As announced on July 3, 2019, the fund has scheduled a special meeting of shareholders for November 1, 2019 to vote on several proposals, including the proposed reorganization of the fund into the Virtus Global Dividend & Income Fund Inc. Additional information about the proposed reorganization and other proposals is contained in the “subsequent events” section of this report, and in proxy materials that have been mailed to affected shareholders. The members of the Board support these proposals. Your vote is important, and I hope you will carefully review the information provided and support these proposals.

On behalf of Virtus Investment Partners and our affiliated portfolio managers, I thank you for your investment. Should you have any questions or require support, the Virtus customer service team is ready to assist at 1-866-270-7788 or through the closed-end fund section of our website, www.virtus.com.

LOGO

George R. Aylward

President, Chief Executive Officer, and Director

Virtus Total Return Fund inc.

October 2019

Performance data quoted represents past results. Past performance is no guarantee of future results and current performance may be higher or lower than performance shown above. Any market index referenced herein is unmanaged; its returns do not reflect any fees, expenses, or sales charges; and is not available for direct investment.

(1) The FTSE Developed Core Infrastructure 50/50 Index (net) is a free float-adjusted market capitalization-weighted index that gives participants an industry-defined interpretation of infrastructure and adjust the exposure to certain infrastructure sub-sectors. The constituent weights for the index are 50% utilities, 30% transportation including capping of 7.5% for railroads/railways and a 20% mix of other sectors including pipelines, satellites, and telecommunication towers. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment.

(2) The Bloomberg Barclays U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

MESSAGE TO SHAREHOLDERS (Continued)

Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium sized companies may enhance that risk.

Credit & Interest: Debt securities are subject to various risks, the most prominent of which are credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt securities may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.

Options Overlay Strategy: The options overlay strategy may not be successful in achieving its objective of increasing distributable income while limiting the risk of loss and, in periods of significant moves in the S&P 500 Index, has resulted and, in the future, may result in losses for investors.

Foreign Investing: Investing internationally involves additional risks such as currency, political, accounting, economic, and market risk.

High Yield-High Risk Fixed Income Securities: There is a greater level of credit risk and price volatility involved with high yield securities than investment grade securities.

ABS/MBS: Changes in interest rates can cause both extension and prepayment risks for asset and mortgage-backed securities. These securities are also subject to risks associated with the repayment of underlying collateral.

Leveraged Loans: Loans may be unsecured or not fully collateralized, may be subject to restrictions on resale and/or trade infrequently on the secondary market. Loans can carry significant credit and call risk, can be difficult to value and have longer settlement times than other investments, which can make loans relatively illiquid at times.

Leverage: When a fund leverages its portfolio, the value of its shares may be more volatile and all other risks may be compounded.

Market Price/NAV: At the time of purchase and/or sale, an investor’s shares may have a market price that is above or below the fund’s NAV, which may increase the investor’s risk of loss.

Fundamental Risk of Investing: There can be no assurance that the Fund will achieve its investment objectives. An investment in the shares of the Fund is subject to loss of principal; shares may decrease in value.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
U.S. GOVERNMENT SECURITIES—0.3%
U.S. Treasury Bond
3.000%, 8/15/48	$	220	$	270
2.875%, 5/15/49		185		223
U.S. Treasury Note 2.625%, 2/15/29		315		346
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $779)				839

FOREIGN GOVERNMENT SECURITIES—4.5%
Bolivarian Republic of Venezuela 9.375%, 1/13/34⁽¹⁾		225		34
RegS 8.250%, 10/13/24⁽¹⁾⁽²⁾		610		93
RegS 7.650%, 4/21/25⁽¹⁾⁽²⁾		830		127
Dominican Republic 144A 6.000%, 7/19/28⁽³⁾		455		502
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		465		472
Kingdom of Morocco 144A 5.500%, 12/11/42⁽³⁾		600		731
Kingdom of Saudi Arabia
144A 4.375%, 4/16/29⁽³⁾		475		548
144A 4.500%, 10/26/46⁽³⁾		320		371
Republic of Angola 144A 8.250%, 5/9/28⁽³⁾		200		206
Republic of Egypt
144A 7.600%, 3/1/29⁽³⁾		200		216
144A 8.500%, 1/31/47⁽³⁾		200		217
Republic of Ghana
144A 7.625%, 5/16/29⁽³⁾		200		197
144A 8.125%, 3/26/32⁽³⁾		200		195
Republic of Indonesia 144A 4.350%, 1/8/27⁽³⁾		270		297


	Par Value			Value
FOREIGN GOVERNMENT SECURITIES—continued
FR77 8.125%, 5/15/24		3,785,000	^IDR	$	281
Republic of Kenya 144A 8.000%, 5/22/32⁽³⁾	$	520			550
Republic of Nigeria 144A 7.875%, 2/16/32⁽³⁾		525			540
Republic of South Africa 5.650%, 9/27/47		390			409
Republic of Sri Lanka 144A 6.750%, 4/18/28⁽³⁾		505			482
Republic of Turkey
4.875%, 10/9/26		300			269
6.000%, 3/25/27		485			461
7.625%, 4/26/29		545			558
Russian Federation 144A 5.625%, 4/4/42⁽³⁾		800			988
Sultanate of Oman 144A 5.375%, 3/8/27⁽³⁾		625			613
Ukraine
144A 7.750%, 9/1/23⁽³⁾		195			207
144A 7.750%, 9/1/26⁽³⁾		465			493
United Mexican States
4.150%, 3/28/27		265			283
4.500%, 4/22/29		230			254
Series M
6.500%, 6/9/22		5,044	^MXN		249
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $11,259)					10,843

MORTGAGE-BACKED SECURITIES—11.0%

Agency—0.3%
Federal National Mortgage Association Pool #MA3088 4.000%, 8/1/47		426			445

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Agency—continued
Pool #MA3638 4.000%, 4/1/49	$	279	$	290

				735


Non-Agency—10.7%
Agate Bay Mortgage Trust 2016-3, A5 144A 3.500%, 8/25/46⁽³⁾⁽⁴⁾		226		231
Ajax Mortgage Loan Trust 2018-C, A 144A 4.360%, 9/25/65⁽³⁾⁽⁴⁾		352		358
American Homes 4 Rent Trust
2014-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		390		426
2015-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		166		173
2015-SFR2, C 144A 4.691%, 10/17/52⁽³⁾		340		375
Angel Oak Mortgage Trust 2019-3, A1 144A 2.930%, 5/25/59⁽³⁾⁽⁴⁾		356		358
Angel Oak Mortgage Trust I LLC
2018-2, A1 144A 3.674%, 7/27/48⁽³⁾⁽⁴⁾		381		385
2019-1, A1 144A 3.920%, 11/25/48⁽³⁾⁽⁴⁾		343		349
2019-2, A1 144A 3.628%, 3/25/49⁽³⁾⁽⁴⁾		497		504
Arroyo Mortgage Trust
2018-1, A1 144A 3.763%, 4/25/48⁽³⁾⁽⁴⁾		290		296
2019-1, A1 144A 3.805%, 1/25/49⁽³⁾⁽⁴⁾		148		151
2019-2, A1 144A 3.347%, 4/25/49⁽³⁾⁽⁴⁾		209		211
Aventura Mall Trust 2013-AVM, C 144A 3.867%, 12/5/32⁽³⁾⁽⁴⁾		215		218
Banc of America Funding Trust
2004-D, 5A1 4.487%, 1/25/35⁽⁴⁾		66		66
2005-1, 1A1 5.500%, 2/25/35		9		9


	Par Value		Value
Non-Agency—continued
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 2004-22CB, 1A1 6.000%, 10/25/34	$	85	$	87
Bayview Opportunity Master Fund IVa Trust
2016-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		400		422
2017-SPL5, B1 144A 4.000%, 6/28/57⁽³⁾⁽⁴⁾		310		325
Bunker Hill Loan Depositary Trust 2019-1, A1 144A 3.613%, 10/26/48⁽³⁾⁽⁴⁾		195		197
Caesars Palace Las Vegas Trust 2017-VICI, C 144A 4.138%, 10/15/34⁽³⁾		245		257
Chase Home Lending Mortgage Trust 2019-ATR1, A4 144A 4.000%, 4/25/49⁽³⁾⁽⁴⁾		246		248
Citigroup Commercial Mortgage Trust
2013-375P, B 144A 3.635%, 5/10/35⁽³⁾⁽⁴⁾		330		344
2019-SST2, A (1 month LIBOR + 0.920%) 144A 3.115%, 12/15/36⁽³⁾⁽⁴⁾		340		339
Citigroup Mortgage Loan Trust
2019-IMC1, A1 144A 2.720%, 7/25/49^(3)(4)(5)		250		250
2019-RP1, A1 144A 3.500%, 1/25/66⁽³⁾⁽⁴⁾		173		179
Citigroup Mortgage Loan Trust, Inc. 2015-A, A1 144A 3.500%, 6/25/58⁽³⁾⁽⁴⁾		48		48
COLT Mortgage Loan Trust Funding LLC
2019-1, A1 144A 3.705%, 3/25/49⁽³⁾⁽⁴⁾		411		417
2019-3, A1 144A 2.764%, 8/25/49⁽³⁾⁽⁴⁾		527		530

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Non-Agency—continued
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 4.514%, 1/25/34⁽⁴⁾	$	82	$	84
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%, 12/26/46⁽³⁾⁽⁴⁾		18		18
Ellington Financial Mortgage Trust
2017-1, A1 144A 2.687%, 10/25/47⁽³⁾⁽⁴⁾		319		317
2018-1, A1FX 144A 4.140%, 10/25/58⁽³⁾⁽⁴⁾		135		137
2019-1, A1 144A 2.934%, 6/25/59⁽³⁾⁽⁴⁾		242		243
Galton Funding Mortgage Trust
2017-1, A21 144A 3.500%, 7/25/56⁽³⁾⁽⁴⁾		138		140
2018-1, A23 144A 3.500%, 11/25/57⁽³⁾⁽⁴⁾		178		179
2018-2, A41 144A 4.500%, 10/25/58⁽³⁾⁽⁴⁾		324		332
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59⁽³⁾⁽⁴⁾		212		215
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34⁽³⁾		600		620
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⁾		275		279
2018-2, A1 144A 3.985%, 11/25/58⁽³⁾⁽⁴⁾		456		465
2019-1, A1 144A 3.454%, 1/25/59⁽³⁾⁽⁴⁾		317		321
JPMorgan Chase (Bear Stearns) Alternate Loan Trust 2004-5, 3A1 4.614%, 6/25/34⁽⁴⁾		220		226


	Par Value		Value
Non-Agency—continued
JPMorgan Chase Mortgage Trust
2014-5, B2 144A 2.982%, 10/25/29⁽³⁾⁽⁴⁾	$	122	$	121
2016-SH1, M2 144A 3.750%, 4/25/45⁽³⁾⁽⁴⁾		276		286
2016-SH2, M2 144A 3.750%, 12/25/45⁽³⁾⁽⁴⁾		300		314
2017-3, 2A2 144A 2.500%, 8/25/47⁽³⁾⁽⁴⁾		166		167
2017-4, A3 144A 3.500%, 11/25/48⁽³⁾⁽⁴⁾		77		78
2018-8, A3 144A 4.000%, 1/25/49⁽³⁾⁽⁴⁾		269		276
Lending Home Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23⁽³⁾⁽⁴⁾		335		340
MASTR Alternative Loan Trust 2004-4, 6A1 5.500%, 4/25/34		46		49
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 3.345%, 6/25/52^(3)(4)(5)		185		185
MetLife Securitization Trust 2019-1A, A1A 144A 3.750%, 4/25/58⁽³⁾⁽⁴⁾		348		363
Mill City Mortgage Loan Trust 2018-4, A1B 144A 3.500%, 4/25/66⁽³⁾⁽⁴⁾		825		850
New Residential Mortgage Loan Trust
2018-4A, A1S (1 month LIBOR + 0.750%) 144A 2.895%, 1/25/48⁽³⁾⁽⁴⁾		356		354
2014-1A, A 144A 3.750%, 1/25/54⁽³⁾⁽⁴⁾		94		98
2016-3A, A1 144A 3.750%, 9/25/56⁽³⁾⁽⁴⁾		131		136
2016-4A, B1A 144A 4.500%, 11/25/56⁽³⁾⁽⁴⁾		574		620
2017-2A, A3 144A 4.000%, 3/25/57⁽³⁾⁽⁴⁾		348		365

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Non-Agency—continued
2018-1A, A1A 144A 4.000%, 12/25/57⁽³⁾⁽⁴⁾	$	242	$	252
OBX Trust
2018-EXP2, 1A1 144A 4.000%, 11/25/48⁽³⁾⁽⁴⁾		408		412
2019-INV1, A3 144A 4.500%, 11/25/48⁽³⁾⁽⁴⁾		186		192
One Market Plaza Trust 2017-1MKT, A 144A 3.614%, 2/10/32⁽³⁾		355		370
Preston Ridge Partners Mortgage LLC
2019-1A, A1 144A 4.500%, 1/25/24⁽³⁾⁽⁴⁾		400		404
2019-2A, A1 144A 3.967%, 4/25/24⁽³⁾⁽⁴⁾		353		356
Pretium Mortgage Credit Partners I LLC 2019-NPL1, A1 144A 4.213%, 7/25/60⁽³⁾⁽⁴⁾		220		222
Progress Residential Trust
2017-SFR1, B 144A 3.017%, 8/17/34⁽³⁾		150		152
2018-SFR2, B 144A 3.841%, 8/17/35⁽³⁾		575		591
RCO V Mortgage LLC 2019-1, A1 144A 3.721%, 5/24/24⁽³⁾⁽⁴⁾		205		206
Residential Asset Securitization Trust 2005-A1, A3 5.500%, 4/25/35		96		100
Residential Mortgage Loan Trust
2019-1, A1 144A 3.936%, 10/25/58⁽³⁾⁽⁴⁾		103		105
2019-2, A1 144A 2.913%, 5/25/59⁽³⁾⁽⁴⁾		438		440
Stack Infrastructure Issuer LLC 2019-1A, A2 144A 4.540%, 2/25/44⁽³⁾		298		315
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49⁽³⁾⁽⁴⁾		274		279


	Par Value		Value
Non-Agency—continued
Towd Point Mortgage Trust
2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 3.045%, 4/25/48⁽³⁾⁽⁴⁾	$	348	$	348
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		321
2015-5, A2 144A 3.500%, 5/25/55⁽³⁾⁽⁴⁾		160		164
2016-2, A1 144A 3.000%, 8/25/55⁽³⁾⁽⁴⁾		238		241
2017-1, M1 144A 3.750%, 10/25/56⁽³⁾⁽⁴⁾		185		195
2017-6, A2 144A 3.000%, 10/25/57⁽³⁾⁽⁴⁾		150		153
2019-1, A1 144A 3.750%, 3/25/58⁽³⁾⁽⁴⁾		153		160
2018-4, A1 144A 3.000%, 6/25/58⁽³⁾⁽⁴⁾		314		321
2018-SJ1, A1 144A 4.000%, 10/25/58⁽³⁾⁽⁴⁾		130		131
2015-2, 1M1 144A 3.250%, 11/25/60⁽³⁾⁽⁴⁾		395		405
Tricon American Homes Trust
2016-SFR1, C 144A 3.487%, 11/17/33⁽³⁾		635		643
2017-SFR1, A 144A 2.716%, 9/17/34⁽³⁾		105		106
VCAT LLC 2019-NPL1, A1 144A 4.360%, 2/25/49⁽³⁾⁽⁴⁾		242		244
Vericrest Opportunity Loan Trust 2019-NPL2, A1 144A 3.967%, 2/25/49⁽³⁾⁽⁴⁾		223		225
Vericrest Opportunity Loan Trust LXXI LLC 2018-NPL7, A1A 144A 3.967%, 9/25/48⁽³⁾⁽⁴⁾		93		94
Vericrest Opportunity Loan Trust LXXV LLC 2019-NPL1, A1A 144A 4.336%, 1/25/49⁽³⁾⁽⁴⁾		192		194

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Non-Agency—continued
Verus Securitization Trust
2018-2, A1 144A 3.677%, 6/1/58⁽³⁾⁽⁴⁾	$	242	$	245
2019-1, A1 144A 3.836%, 2/25/59⁽³⁾⁽⁴⁾		340		344
2019-INV1, A1 144A 3.402%, 12/25/59⁽³⁾⁽⁴⁾		282		285
Wells Fargo Commercial Mortgage Trust 2015-LC20, B 3.719%, 4/15/50		185		195

				25,593
TOTAL MORTGAGE-BACKED SECURITIES
(Identified Cost $25,836)				26,328

ASSET-BACKED SECURITIES—4.3%

Automobiles—1.9%
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		287
American Credit Acceptance Receivables Trust 2018-4, C 144A 3.970%, 1/13/25⁽³⁾		350		356
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25⁽³⁾		380		386
Carvana Auto Receivables Trust 2019-1A, D 144A 3.880%, 10/15/24⁽³⁾		335		347
Exeter Automobile Receivables Trust 2015-2A, C 144A 3.900%, 3/15/21⁽³⁾		41		42


	Par Value		Value
Automobiles—continued
2016-3A, B 144A 2.840%, 8/16/21⁽³⁾	$	134	$	134
2018-4A, D 144A 4.350%, 9/16/24⁽³⁾		355		370
2019-1A, D 144A 4.130%, 12/16/24⁽³⁾		330		344
Flagship Credit Auto Trust 2019-1, C 144A 3.600%, 2/18/25⁽³⁾		220		228
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		457
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25⁽³⁾		305		315
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24⁽³⁾		305		309
Veros Automobile Receivables Trust 2018-1, B 144A 4.050%, 2/15/24⁽³⁾		295		299

				4,586


Consumer Loans—0.1%
FREED ABS Trust 2019-1, B 144A 3.870%, 6/18/26⁽³⁾		305		310


Other—2.3%
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35⁽³⁾		260		263

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Other—continued
Arbys Funding LLC 2015-1A, A2 144A 4.969%, 10/30/45⁽³⁾	$	371	$	383
Business Jet Securities LLC 2019-1, A 144A 4.212%, 7/15/34⁽³⁾		360		370
DB Master Finance LLC 2017-1A, A2I 144A 3.629%, 11/20/47⁽³⁾		373		381
Drug Royalty III LP 1 2016-1A, A 144A 3.979%, 4/15/27⁽³⁾		98		99
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34⁽³⁾		291		298
Genesis Sales Finance Master Trust 2019-AA, A 144A 4.680%, 8/20/23⁽³⁾		165		169
HOA Funding LLC 2014-1A, A2 144A 4.846%, 8/20/44⁽³⁾		107		108
Kabbage Funding LLC 2019-1, A 144A 3.825%, 3/15/24⁽³⁾		315		319
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27⁽³⁾		345		360
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32⁽³⁾		310		314
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24⁽³⁾		315		319
Primose Funding LLC 2019-1A, A2 144A 4.475%, 7/30/49⁽³⁾		315		318
Prosper Marketplace Issuance Trust
2018-1A, A 144A 3.110%, 6/17/24⁽³⁾		6		5
2018-2A, B 144A 3.960%, 10/15/24⁽³⁾		295		298


	Par Value			Value
Other—continued
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28⁽³⁾	$	295		$	303
TGIF Funding LLC 2017-1A, A2 144A 6.202%, 4/30/47⁽³⁾		138			136
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49⁽³⁾		302			320
Upstart Securitization Trust 2018-1, B 144A 3.887%, 8/20/25⁽³⁾		103			103
VSE VOI Mortgage LLC 2016-A, A 144A 2.540%, 7/20/33⁽³⁾		160			160
Wendy’s Funding LLC 2019-1A, A2I 144A 3.783%, 6/15/49⁽³⁾		370			382

					5,408
TOTAL ASSET-BACKED SECURITIES (Identified Cost $10,103)					10,304

CORPORATE BONDS AND NOTES—25.6%

Communication Services—1.7%
America Movil SAB de C.V. 6.450%, 12/5/22		20	^MXN		95
AT&T, Inc. (3 month LIBOR + 1.180%) 3.616%, 6/12/24⁽⁴⁾		255			259
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24⁽³⁾		340			310
Clear Channel Worldwide Holdings, Inc.
144A 9.250%, 2/15/24⁽³⁾		66			72
144A 5.125%, 8/15/27⁽³⁾		105			110
Consolidated Communications, Inc. 6.500%, 10/1/22		290			271

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Communication Services—continued
Diamond Sports Group LLC
144A 5.375%, 8/15/26⁽³⁾	$	135	$	142
144A 6.625%, 8/15/27⁽³⁾		265		278
Discovery Communications LLC 3.950%, 3/20/28		365		384
DISH DBS Corp.
5.875%, 7/15/22		90		93
7.750%, 7/1/26		165		162
Frontier Communications Corp.
8.500%, 4/15/20		115		71
11.000%, 9/15/25		180		91
144A 8.500%, 4/1/26⁽³⁾		100		97
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27⁽³⁾		95		99
iHeartCommunications, Inc.
6.375%, 5/1/26		7		8
8.375%, 5/1/27		13		14
144A 5.250%, 8/15/27⁽³⁾		25		26
Escrow 0.000%, 5/1/26⁽⁶⁾		115		—
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24⁽³⁾		260		234
Meredith Corp. 6.875%, 2/1/26		185		195
Nexstar Escrow, Inc. 144A 5.625%, 7/15/27⁽³⁾		15		16
Sirius XM Radio, Inc.
144A 4.625%, 7/15/24⁽³⁾		70		73
144A 5.500%, 7/1/29⁽³⁾		150		163
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28⁽³⁾		385		415


	Par Value		Value
Communication Services—continued
Tencent Holdings Ltd. 144A 3.975%, 4/11/29⁽³⁾	$	320	$	348

				4,026


Consumer Discretionary—2.4%
Beazer Homes USA, Inc.
6.750%, 3/15/25		120		121
5.875%, 10/15/27		155		147
Boyd Gaming Corp. 6.000%, 8/15/26		75		79
Bunge Ltd. Finance Corp. 4.350%, 3/15/24		325		347
Caesars Resort Collection LLC 144A 5.250%, 10/15/25⁽³⁾		125		127
Dollar Tree, Inc. 4.000%, 5/15/25		185		196
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23⁽³⁾		110		117
Eldorado Resorts, Inc. 6.000%, 9/15/26		95		104
Frontdoor, Inc. 144A 6.750%, 8/15/26⁽³⁾		225		244
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24⁽³⁾		265		276
GLP Capital LP 5.250%, 6/1/25		225		247
Hilton Domestic Operating Co., Inc. 5.125%, 5/1/26		275		290
IAA, Inc. 144A 5.500%, 6/15/27⁽³⁾		70		75
Lear Corp. 3.800%, 9/15/27		400		403
M/I Homes, Inc. 5.625%, 8/1/25		255		264

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Consumer Discretionary—continued
MGM Growth Properties Operating Partnership LP 144A 5.750%, 2/1/27⁽³⁾	$	165	$	182
Michaels Stores, Inc. 144A 8.000%, 7/15/27⁽³⁾		40		38
Neiman Marcus Group Ltd. LLC 144A 8.000%, 10/25/24⁽³⁾		224		76
Panther BF Aggregator 2 LP
144A 6.250%, 5/15/26⁽³⁾		20		21
144A 8.500%, 5/15/27⁽³⁾		190		185
PulteGroup, Inc. 7.875%, 6/15/32		235		288
Scientific Games International, Inc.
6.625%, 5/15/21		320		325
144A 8.250%, 3/15/26⁽³⁾		110		117
Service Corp. International 5.125%, 6/1/29		70		75
Tenneco, Inc. 5.000%, 7/15/26		195		151
Under Armour, Inc. 3.250%, 6/15/26		280		274
Vista Outdoor, Inc. 5.875%, 10/1/23		315		284
Weekley Homes LLC 6.625%, 8/15/25		325		325
William Lyon Homes, Inc. 6.000%, 9/1/23		345		358

				5,736


Consumer Staples—1.1%
Albertson’s Cos., LLC
5.750%, 3/15/25		210		215
144A 5.875%, 2/15/28⁽³⁾		40		42
Altria Group, Inc.
4.400%, 2/14/26		55		60
4.800%, 2/14/29		420		476


	Par Value		Value
Consumer Staples—continued
Anheuser-Busch Inbev Worldwide, Inc.
4.000%, 4/13/28	$	245	$	272
4.750%, 1/23/29		78		91
Bacardi Ltd. 144A 4.700%, 5/15/28⁽³⁾		310		344
Chobani LLC 144A 7.500%, 4/15/25⁽³⁾		200		184
JBS Investments II GmbH 144A 5.750%, 1/15/28⁽³⁾		315		331
JBS USA LUX S.A. 144A 5.500%, 1/15/30⁽³⁾		60		64
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23⁽³⁾		215		190
Sigma Finance Netherlands BV 144A 4.875%, 3/27/28⁽³⁾		295		311

				2,580


Energy—4.4%
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25⁽³⁾		290		296
Blue Racer Midstream LLC 144A 6.625%, 7/15/26⁽³⁾		335		330
Callon Petroleum Co. 6.125%, 10/1/24		124		120
Cheniere Energy Partners LP 5.625%, 10/1/26		160		169
Citgo Holding, Inc. 144A 9.250%, 8/1/24⁽³⁾		25		26
CrownRock LP 144A 5.625%, 10/15/25⁽³⁾		315		312
Denbury Resources, Inc.
144A 9.250%, 3/31/22⁽³⁾		119		100
144A 7.750%, 2/15/24⁽³⁾		125		87
Encana Corp. 8.125%, 9/15/30⁽⁷⁾		95		129

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Energy—continued
EP Energy LLC
144A 9.375%, 5/1/24⁽³⁾⁽⁸⁾	$	105	$	8
144A 8.000%, 11/29/24⁽³⁾⁽⁸⁾		105		45
Gazprom OAO Via Gaz Capital S.A. RegS 7.288%, 8/16/37⁽²⁾⁽⁹⁾		330		429
Geopark Ltd. 144A 6.500%, 9/21/24⁽³⁾		380		388
HollyFrontier Corp. 5.875%, 4/1/26⁽⁷⁾		415		462
KazMunayGas National Co. JSC 144A 4.750%, 4/19/27⁽³⁾		425		465
Kinder Morgan, Inc. 7.750%, 1/15/32		500		706
Kosmos Energy Ltd. 144A 7.125%, 4/4/26⁽³⁾		280		276
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾		225		238
MPLX LP 4.000%, 3/15/28		301		316
Nabors Industries, Inc. 5.500%, 1/15/23		240		214
Odebrecht Offshore Drilling Finance Ltd. PIK, 144A 7.720%, 12/1/26^(3)(10)		180		47
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% ^(3)(11)		26		—	⁽¹²⁾
Pertamina Persero PT 144A 6.450%, 5/30/44⁽³⁾		795		1,050
Petrobras Global Finance BV
7.375%, 1/17/27		405		481
5.750%, 2/1/29		620		671
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24⁽¹⁾⁽³⁾		665		83
Petroleos Mexicanos
4.625%, 9/21/23		335		335
6.500%, 3/13/27		300		308


	Par Value		Value
Energy—continued
5.350%, 2/12/28	$	300	$	284
6.500%, 6/2/41		250		234
Sabine Pass Liquefaction LLC 4.200%, 3/15/28		355		377
Sanchez Energy Corp. 144A 7.250%, 2/15/23⁽¹⁾⁽³⁾		105		73
Sinopec Group Overseas Development 2017 Ltd. 144A 3.625%, 4/12/27⁽³⁾		200		213
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30⁽²⁾		345		416
Targa Resources Partners LP 5.875%, 4/15/26		170		178
Transocean, Inc. 144A 9.000%, 7/15/23⁽³⁾		170		176
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		146
Weatherford International Ltd. 9.875%, 2/15/24⁽¹⁾		115		49

				10,529


Financials—5.1%
Acrisure LLC
144A 8.125%, 2/15/24⁽³⁾		110		118
144A 7.000%, 11/15/25⁽³⁾		370		341
AerCap Ireland Capital DAC 3.650%, 7/21/27		380		390
Allstate Corp. (The) Series B 5.750%, 8/15/53^(7)(13)		394		420

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Financials—continued
Athene Holding Ltd. 4.125%, 1/12/28⁽⁷⁾	$	375	$	384
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾⁽⁷⁾		200		215
Aviation Capital Group LLC 144A 3.500%, 11/1/27⁽³⁾		485		506
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 5.125%, 1/18/33⁽³⁾		360		345
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		225		253
Bank of America Corp. 4.200%, 8/26/24		360		388
Bank of Montreal 3.803%, 12/15/32		210		220
Brighthouse Financial, Inc. 3.700%, 6/22/27⁽⁷⁾		425		420
Brightsphere Investment Group, Inc. 4.800%, 7/27/26		315		331
Capital One Financial Corp. 3.750%, 7/28/26		460		480
Discover Bank 4.682%, 8/9/28		350		367
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		350		355
E*TRADE Financial Corp. 4.500%, 6/20/28		340		374
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28		360		393
FS KKR Capital Corp. 4.750%, 5/15/22		185		190
Goldman Sachs Group, Inc. (The) (3 month LIBOR + 1.170%) 3.328%, 5/15/26⁽⁴⁾⁽⁷⁾		315		315


	Par Value		Value
Financials—continued
Grupo de Inversiones Suramericana S.A. 144A 5.500%, 4/29/26⁽³⁾	$	275	$	307
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		173		176
ICAHN Enterprises LP 144A 6.250%, 5/15/26⁽³⁾		335		350
Intercorp Peru Ltd. 144A 3.875%, 8/15/29⁽³⁾		315		317
iStar, Inc. 5.250%, 9/15/22		130		133
Jefferies Financial Group, Inc. 5.500%, 10/18/23		105		114
Jefferies Group LLC 4.850%, 1/15/27		50		53
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		335		459
Lincoln National Corp. (3 month LIBOR + 2.040%) 4.318%, 4/20/67^(4)(7)(13)		130		105
Morgan Stanley 3.125%, 7/27/26		300		312
Navient Corp. 6.750%, 6/25/25		290		312
Prudential Financial, Inc. 5.875%, 9/15/42		275		294
Santander Holdings USA, Inc.
3.500%, 6/7/24		125		129
4.400%, 7/13/27		250		269
Springleaf Finance Corp.
6.875%, 3/15/25		125		142
7.125%, 3/15/26		105		120
Synchrony Financial 3.950%, 12/1/27⁽⁷⁾		540		560
Synovus Financial Corp. 5.900%, 2/7/29		186		196

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Financials—continued
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽³⁾⁽⁷⁾	$	160	$	169
Toronto-Dominion Bank (The) 3.625%, 9/15/31⁽⁷⁾		390		407
Voya Financial, Inc. 5.650%, 5/15/53		285		299
Wells Fargo & Co. Series S 5.900% ^(7)(11)		220		235

				12,263


Health Care—1.9%
Advanz Pharma Corp. 8.000%, 9/6/24		77		75
Avantor, Inc.
144A 6.000%, 10/1/24⁽³⁾		150		161
144A 9.000%, 10/1/25⁽³⁾		145		163
Bausch Health Americas, Inc.
144A 9.250%, 4/1/26⁽³⁾		90		102
144A 8.500%, 1/31/27⁽³⁾		105		117
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		320
144A 7.000%, 1/15/28⁽³⁾		210		220
Catalent Pharma Solutions, Inc. 144A 5.000%, 7/15/27⁽³⁾		65		68
Centene Corp. 144A 5.375%, 6/1/26⁽³⁾		90		96
CVS Health Corp. 4.300%, 3/25/28		410		448
Eagle Holding Co. II, LLC PIK, 144A 7.625%, 5/15/22^(3)(14)		170		172


	Par Value		Value
Health Care—continued
PIK, 144A 7.750%, 5/15/22^(3)(15)	$	185	$	187
Endo Dac 144A 6.000%, 7/15/23⁽³⁾		262		173
HCA, Inc.
5.375%, 2/1/25		205		228
5.625%, 9/1/28		185		210
5.875%, 2/1/29		20		23
4.125%, 6/15/29		325		346
IQVIA, Inc. 144A 5.000%, 5/15/27⁽³⁾		60		63
Mylan NV 3.950%, 6/15/26		300		312
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		145		140
Perrigo Finance Unlimited Co. 4.375%, 3/15/26		230		237
Select Medical Corp. 144A 6.250%, 8/15/26⁽³⁾		160		166
Surgery Center Holdings, Inc.
144A 6.750%, 7/1/25⁽³⁾		40		34
144A 10.000%, 4/15/27⁽³⁾		135		129
Tenet Healthcare Corp.
8.125%, 4/1/22		110		118
144A 5.125%, 11/1/27⁽³⁾		106		110
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25⁽³⁾		185		165

				4,635


Industrials—2.9%
Allied Universal Holdco LLC 144A 6.625%, 7/15/26⁽³⁾		310		329
American Airlines Pass-Through Trust 2019-1, A 3.500%, 2/15/32		315		325
Ashtead Capital, Inc. 144A 4.375%, 8/15/27⁽³⁾		385		395

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Industrials—continued
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26⁽³⁾	$	370	$	384
Bombardier, Inc. 144A 7.500%, 3/15/25⁽³⁾		125		122
CNH Industrial N.V. 4.500%, 8/15/23		318		339
Delhi International Airport Ltd. 144A 6.450%, 6/4/29⁽³⁾		320		336
DP World plc 144A 6.850%, 7/2/37⁽³⁾		310		418
Garda World Security Corp. 144A 8.750%, 5/15/25⁽³⁾		335		346
GFL Environmental, Inc.
144A 7.000%, 6/1/26⁽³⁾		140		145
144A 8.500%, 5/1/27⁽³⁾		120		131
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22⁽³⁾		230		205
Navistar International Corp. 144A 6.625%, 11/1/25⁽³⁾		75		76
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22⁽³⁾		170		174
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28⁽³⁾		454		437
Oshkosh Corp. 4.600%, 5/15/28		413		448
Owens Corning 3.950%, 8/15/29		420		434
Pentair Finance S.a.r.l 4.500%, 7/1/29		435		459
Titan Acquisition Ltd. 144A 7.750%, 4/15/26⁽³⁾		180		163
Topaz Marine S.A. 144A 9.125%, 7/26/22⁽³⁾		240		250
TransDigm, Inc.
6.500%, 7/15/24		210		217
6.500%, 5/15/25		130		136


	Par Value		Value
Industrials—continued
United Airlines Pass-Through Trust 2007-1, A 6.636%, 7/2/22	$	280	$	296
US Airways, Inc. Pass-Through Trust 2012-1, B 8.000%, 10/1/19		280		281
Vertiv Intermediate Holding Corp. PIK, 144A 12.000%, 2/15/22^(3)(14)		200		177

				7,023


Information Technology—1.7%
Alibaba Group Holding Ltd. 3.400%, 12/6/27		440		462
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26⁽³⁾		35		32
Broadcom Corp. 3.625%, 1/15/24		114		116
Broadcom, Inc. 144A 3.625%, 10/15/24⁽³⁾		270		274
Citrix Systems, Inc. 4.500%, 12/1/27		380		410
Dell International LLC
144A 4.900%, 10/1/26⁽³⁾		175		187
144A 8.100%, 7/15/36⁽³⁾		110		139
Everi Payments, Inc. 144A 7.500%, 12/15/25⁽³⁾		85		89
Exela Intermediate LLC 144A 10.000%, 7/15/23⁽³⁾		120		75
Juniper Networks, Inc. 3.750%, 8/15/29		340		343
Micron Technology, Inc. 4.185%, 2/15/27		310		320
Motorola Solutions, Inc.
4.600%, 2/23/28		235		255
4.600%, 5/23/29		125		137

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Information Technology—continued
NCR Corp. 144A 5.750%, 9/1/27⁽³⁾	$	190	$	201
Radiate Holdco LLC 144A 6.625%, 2/15/25⁽³⁾		310		308
ViaSat, Inc. 144A 5.625%, 9/15/25⁽³⁾		395		398
VMware, Inc. 3.900%, 8/21/27		257		263

				4,009

Materials—2.5%
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾		400		430
Anglo American Capital plc 144A 4.000%, 9/11/27⁽³⁾		235		242
ArcelorMittal 4.550%, 3/11/26		180		189
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27⁽³⁾		300		303
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75^(3)(13)		400		468
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾		315		342
Glencore Funding LLC 144A 4.000%, 3/27/27⁽³⁾		410		424
Greif, Inc. 144A 6.500%, 3/1/27⁽³⁾		180		189
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		300		305
James Hardie International Finance DAC 144A 5.000%, 1/15/28⁽³⁾		375		384
Kraton Polymers LLC 144A 7.000%, 4/15/25⁽³⁾		230		238
LSB Industries, Inc. 144A 9.625%, 5/1/23⁽³⁾		155		162


	Par Value		Value
Materials—continued
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25⁽³⁾	$	30	$	29
NOVA Chemicals Corp. 144A 5.000%, 5/1/25⁽³⁾		115		118
Olin Corp. 5.625%, 8/1/29		300		312
Reynolds Group Issuer, Inc. 144A 7.000%, 7/15/24⁽³⁾		190		196
SABIC Capital II BV 144A 4.500%, 10/10/28⁽³⁾		315		356
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26⁽³⁾		250		258
Syngenta Finance N.V.
144A 4.441%, 4/24/23⁽³⁾		200		210
144A 4.892%, 4/24/25⁽³⁾		200		212
Trident TPI Holdings, Inc.
144A 9.250%, 8/1/24⁽³⁾		180		176
144A 6.625%, 11/1/25⁽³⁾		190		164
Vedanta Resources Ltd. 144A 6.125%, 8/9/24⁽³⁾		225		203

				5,910

Real Estate—0.9%
EPR Properties
4.750%, 12/15/26		175		190
4.500%, 6/1/27		200		214
Healthcare Trust of America Holdings LP 3.750%, 7/1/27		190		200
Hospitality Properties Trust
4.950%, 2/15/27		145		151
4.375%, 2/15/30		215		213
Life Storage LP 3.875%, 12/15/27		150		160

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Real Estate—continued
4.000%, 6/15/29	$	190	$	205
MPT Operating Partnership LP
5.000%, 10/15/27		150		160
4.625%, 8/1/29		60		62
Office Properties Income Trust 4.500%, 2/1/25⁽⁷⁾		345		357
Physicians Realty LP 4.300%, 3/15/27		265		285

				2,197

Utilities—1.0%
CenterPoint Energy, Inc. 4.250%, 11/1/28		305		339
DPL, Inc. 144A 4.350%, 4/15/29⁽³⁾		306		305
Ferrellgas Partners LP 8.625%, 6/15/20		50		37
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27⁽³⁾		390		417
Talen Energy Supply LLC
144A 7.250%, 5/15/27⁽³⁾		70		70
144A 6.625%, 1/15/28⁽³⁾		245		237
TerraForm Power Operating LLC 144A 5.000%, 1/31/28⁽³⁾		280		292
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20⁽³⁾⁽⁶⁾		125		—	⁽¹²⁾
Transportadora de Gas Internacional SA ESP 144A 5.550%, 11/1/28⁽³⁾		255		295
Vistra Operations Co., LLC 144A 4.300%, 7/15/29⁽³⁾		315		322

				2,314

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $59,747)				61,222


	Par Value		Value
LEVERAGED LOANS⁽⁴⁾—5.5%

Aerospace—0.2%
Atlantic Aviation FBO, Inc. (1 Month LIBOR + 3.75%) 5.870%, 12/6/25	$	65	$	65
Dynasty Acquisition Co., Inc.
Tranche B-1 (3 Month LIBOR + 4.00%) 6.330%, 4/6/26		84		85
Tranche B-2 (3 Month LIBOR + 4.00%) 6.330%, 4/6/26		45		45
DynCorp International, Inc. Tranche B, First Lien (3 Month LIBOR + 6.00%) 8.197%, 8/18/25		145		141
TransDigm, Inc.
2018, Tranche E (3 Month LIBOR + 2.50%) 4.830%, 5/30/25		60		59
2018, Tranche F (3 Month LIBOR + 2.50%) 4.830%, 6/9/23		112		111

				506


Chemicals—0.2%
Hexion, Inc. Tranche B (3 Month LIBOR + 3.50%) 5.820%, 7/1/26		35		35
Omnova Solutions, Inc. Tranche B-2 (1 Month LIBOR + 3.25%) 5.362%, 8/25/23		332		331

				366


Consumer Durables—0.1%
Global Appliance, Inc. Tranche B (1 Month LIBOR + 4.00%) 6.120%, 9/29/24		137		136

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Consumer Non-Durables—0.4%
American Greetings Corp. (1 Month LIBOR + 4.50%) 6.612%, 4/6/24	$	316	$	314
Kronos Acquisition Holdings, Inc. Tranche B-3 (3 Month LIBOR + 4.00%) 6.256%, 5/15/23		128		121
Parfums Holding Co., Inc. First Lien (3 Month LIBOR + 4.25%) 6.374%, 6/30/24		145		144
Rodan & Fields LLC (1 Month LIBOR + 4.00%) 6.195%, 6/16/25		307		264

				843


Energy—0.2%
California Resources Corp. (1 Month LIBOR + 10.375%) 12.491%, 12/31/21		95		84
Citgo Petroleum Corp. 2019, Tranche B (3 Month LIBOR + 5.00%) 7.319%, 3/28/24		145		145
Medallion Midland Acquisition LLC (1 Month LIBOR + 3.25%) 5.362%, 10/30/24		217		207
Seadrill Operating LP (3 Month LIBOR + 6.00%) 8.330%, 2/21/21		123		73

				509


Financial—0.4%
Asurion LLC Tranche B-2, Second Lien (1 Month LIBOR + 6.50%) 8.612%, 8/4/25		246		249
Blackhawk Network Holdings, Inc. First Lien (1 Month LIBOR + 3.00%) 5.112%, 6/15/25		307		305


	Par Value		Value
Financial—continued
Ditech Holding Corp. Tranche B (3 Month LIBOR + 5.00%) 12.250%, 6/30/22⁽¹⁾	$	292	$	69
Financial & Risk US Holdings, Inc. (1 Month LIBOR + 3.75%) 5.862%, 10/1/25		174		175
iStar, Inc. Tranche B (1 Month LIBOR + 2.75%) 4.948%, 6/28/23		262		262

				1,060


Food / Tobacco—0.2%
Chobani LLC Tranche B (1 Month LIBOR + 3.50%) 5.612%, 10/10/23		168		165
H-Food Holdings, LLC (1 Month LIBOR + 3.688%) 5.800%, 5/23/25		40		38
2018, Tranche B-2 (1 Month LIBOR + 4.00%) 6.112%, 5/23/25		199		193
Milk Specialties Co. (1 Month LIBOR + 4.00%) 6.112%, 8/16/23		128		125

				521


Food and Drug—0.0%
Albertson’s LLC 2019, Tranche B-7 (1 Month LIBOR + 2.75%) 4.862%, 11/17/25		87		87

Gaming / Leisure—0.4%
Affinity Gaming (1 Month LIBOR + 3.25%) 5.362%, 7/1/23		288		278
Gateway Casinos & Entertainment Ltd. (3 Month LIBOR + 3.00%) 5.330%, 12/1/23		109		108

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Gaming / Leisure—continued
Playa Resorts Holding B.V. (1 Month LIBOR + 2.75%) 4.860%, 4/29/24	$	146	$	139
Scientific Games International, Inc. Tranche B-5 (1 Month LIBOR + 2.75%) 4.889%, 8/14/24		64		63
Seminole Tribe of Florida (1 Month LIBOR + 1.75%) 3.862%, 7/8/24		166		167
Stars Group Holdings B.V. (3 Month LIBOR + 3.50%) 5.830%, 7/10/25		215		215
UFC Holdings LLC Tranche B (1 Month LIBOR + 3.25%) 5.370%, 4/29/26		85		85

				1,055

Healthcare—0.6%
21st Century Oncology, Inc. Tranche B (3 Month LIBOR + 6.125%) 8.455%, 1/16/23		32		28
Accelerated Health Systems LLC (1 Month LIBOR + 3.50%) 5.713%, 10/31/25		159		159
AHP Health Partners, Inc. (1 Month LIBOR + 4.50%) 6.612%, 6/30/25		188		188
Bausch Health Cos., Inc.
(1 Month LIBOR + 2.75%) 4.951%, 11/27/25		88		88
(1 Month LIBOR + 3.00%) 5.201%, 6/2/25		35		36


	Par Value		Value
Healthcare—continued
CHG Healthcare Services, Inc. (1 Month LIBOR + 3.00%) 5.112%, 6/7/23	$	69	$	68
Envision Healthcare Corp. (1 Month LIBOR + 3.75%) 5.862%, 10/10/25		158		122
Explorer Holdings, Inc. (3 Month LIBOR + 3.75%) 6.080%, 5/2/23		228		227
LifePoint Health, Inc. Tranche B, First Lien (1 Month LIBOR + 4.50%) 6.645%, 11/16/25		259		258
NVA Holdings, Inc. Tranche B-4 (1 Month LIBOR + 3.50%) 5.612%, 2/2/25		25		25
Ortho-Clinical Diagnostics, Inc. (3 Month LIBOR + 3.25%) 5.563%, 6/30/25		135		127
Sotera Health Holdings LLC (1 Month LIBOR + 3.50%) 5.744%, 5/15/22		80		79

				1,405

Housing—0.4%
American Builders & Contractors Supply Co., Inc. Tranche B-2 (1 Month LIBOR + 2.00%) 4.112%, 10/31/23		246		244
Capital Automotive LP Tranche B, Second Lien (1 Month LIBOR + 6.00%) 8.120%, 3/24/25		101		101
CPG International LLC (3 Month LIBOR + 3.75%) 5.933%, 5/5/24		220		218

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Housing—continued
Summit Materials, LLC Tranche B (1 Month LIBOR + 2.00%) 4.112%, 11/21/24	$	313	$	311

				874


Information Technology—0.6%
Applied Systems, Inc. Second Lien (3 Month LIBOR + 7.00%) 9.330%, 9/19/25		124		125
Boxer Parent Co., Inc. (3 Month LIBOR + 4.25%) 6.580%, 10/2/25		169		159
Dell International LLC Tranche B (1 Month LIBOR + 2.00%) 4.120%, 9/7/23		99		99
Kronos, Inc.
2018 (3 Month LIBOR + 3.00%) 5.253%, 11/1/23		368		368
Second Lien (3 Month LIBOR + 8.25%) 10.503%, 11/1/24		126		129
SS&C Technologies, Inc.
Tranche B-3 (1 Month LIBOR + 2.25%) 4.362%, 4/16/25		124		124
Tranche B-4 (1 Month LIBOR + 2.25%) 4.362%, 4/16/25		84		84
Vertafore, Inc. First Lien (1 Month LIBOR + 3.25%) 5.362%, 7/2/25		339		327

				1,415


Manufacturing—0.2%
CPI Acquisition, Inc. First Lien (3 Month LIBOR + 4.50%) 6.710%, 8/17/22		282		220
Filtration Group Corp. (1 Month LIBOR + 3.00%) 5.112%, 3/29/25		204		203


	Par Value		Value
Manufacturing—continued
Hillman Group, Inc. (The) (1 Month LIBOR + 4.00%) 6.112%, 5/30/25	$	113	$	110

				533


Media / Telecom - Broadcasting—0.1%
Diamond Sports Group LLC 0.000%, 8/24/26⁽¹⁶⁾		120		120
iHeartCommunications, Inc. (1 Month LIBOR + 4.00%) 6.230%, 5/1/26		24		24
Nexstar Broadcasting, Inc. Tranche B-4 0.000%, 6/19/26⁽¹⁶⁾		100		100

				244


Media / Telecom - Cable/Wireless Video—0.1%
CSC Holdings LLC 2018 (1 Month LIBOR + 2.25%) 4.445%, 1/15/26		144		143


Media / Telecom - Diversified Media—0.0%
Crown Finance US, Inc. (1 Month LIBOR + 2.25%) 4.362%, 2/28/25		115		114

Media / Telecom - Telecommunications—0.2%
CenturyLink, Inc. Tranche B (1 Month LIBOR + 2.75%) 4.862%, 1/31/25		276		272
Securus Technologies Holdings, Inc.
First Lien (3 Month LIBOR + 4.50%) 6.830%, 11/1/24		45		40
Second Lien (3 Month LIBOR + 8.25%) 10.580%, 11/1/25		175		155

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Par Value		Value
Media / Telecom - Telecommunications—continued
West Corp. Tranche B (1 Month LIBOR + 4.00%) 6.112%, 10/10/24	$	144	$	128

				595

Media / Telecom - Wireless Communications—0.1%
Commscope, Inc. (1 Month LIBOR + 3.25%) 5.362%, 4/6/26		230		229

Metals / Minerals—0.1%
Covia Holdings Corp. (3 Month LIBOR + 4.00%) 6.313%, 6/1/25		143		117

Retail—0.1%
Neiman Marcus Group Ltd. LLC (1 Month LIBOR + 6.00%) 8.229%, 10/25/23		147		120

Service—0.5%
Dun & Bradstreet Corp. (The) (1 Month LIBOR + 5.00%) 7.145%, 2/6/26		165		165
GFL Environmental, Inc. 2018 (1 Month LIBOR + 3.00%) 5.112%, 5/30/25		233		231
Hoya Midco LLC First Lien (1 Month LIBOR + 3.50%) 5.612%, 6/30/24		114		111
Pi US Mergerco, Inc. Tranche B-1 (1 Month LIBOR + 3.25%) 5.362%, 1/3/25		271		267
Prime Security Services Borrower, LLC Tranche B-1 (1 Month LIBOR + 2.75%) 4.862%, 5/2/22		234		234


	Par Value			Value
Service—continued
Sedgwick Claims Management Services, Inc. Tranche B 0.000%, 9/3/26⁽¹⁶⁾	$	100		$	100
TKC Holdings, Inc. First Lien (1 Month LIBOR + 3.75%) 5.870%, 2/1/23		143			139

					1,247

Transportation - Automotive—0.2%
Navistar, Inc. Tranche B (1 Month LIBOR + 3.50%) 5.700%, 11/6/24		226			225
Panther BF Aggregator 2 LP First Lien (1 Month LIBOR + 3.50%) 5.612%, 4/30/26		180			177

					402

Utility—0.2%
APLP Holdings LP (1 Month LIBOR + 2.75%) 4.862%, 4/13/23		95			95
Brookfield WEC Holdings, Inc. First Lien (1 Month LIBOR + 3.50%) 5.612%, 8/1/25		274			274
Calpine Corp. 2019 (3 Month LIBOR + 2.75%) 5.080%, 4/5/26		185			185

					554
TOTAL LEVERAGED LOANS
(Identified Cost $13,643)					13,075

	Shares
PREFERRED STOCKS—1.1%

Financials—1.0%
Huntington Bancshares, Inc. Series E, 5.700%		142	⁽¹⁷⁾		144

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Shares			Value
Financials—continued
JPMorgan Chase & Co. Series Z, 5.300%		415	⁽¹⁷⁾	$	421
KeyCorp Series D, 5.000%⁽¹⁸⁾		475	⁽¹⁷⁾		486
M&T Bank Corp. Series F, 5.125%⁽¹⁸⁾		241	⁽¹⁷⁾		252
MetLife, Inc. Series D, 5.875%		173	⁽¹⁷⁾		185
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽⁷⁾		270	⁽¹⁷⁾		277
Zions Bancorp, 6.950%		17,485			501

					2,266


Industrials—0.1%
General Electric Co. Series D, 5.000%⁽⁷⁾		322	⁽¹⁷⁾		292
TOTAL PREFERRED STOCKS (Identified Cost $2,543)					2,558

COMMON STOCKS—82.0%

Communication Services—1.2%
Cellnex Telecom SA		70,418			2,817
Clear Channel Outdoor Holdings, Inc.⁽¹⁹⁾		2,887			8

					2,825


Energy—13.6%
Antero Midstream Corp.		214,346			1,524
Cheniere Energy, Inc.⁽¹⁹⁾		43,525			2,599
Enbridge, Inc.		148,967			4,984
Frontera Energy Corp.		1,636			16
Golar LNG Ltd.		118,796			1,391
Kinder Morgan, Inc.		220,755			4,475
ONEOK, Inc.		51,206			3,650
Pembina Pipeline Corp.		89,416			3,273
Targa Resources Corp.		59,076			2,134
TC Energy Corp.		95,403			4,888
Williams Cos., Inc. (The)		150,911			3,562

					32,496


Industrials—21.1%
Aena SME SA		26,500			4,777


	Shares		Value
Industrials—continued
Atlantia SpA		231,274	$	5,635
Auckland International Airport Ltd.		368,586		2,234
East Japan Railway Co.		26,125		2,487
Ferrovial SA		108,957		3,098
Fraport AG Frankfurt Airport Services Worldwide		29,147		2,434
Norfolk Southern Corp.		19,940		3,471
Sydney Airport		461,525		2,620
Transurban Group		1,203,899		12,121
Union Pacific Corp.		30,973		5,016
Vinci SA		60,653		6,633

				50,526


Real Estate—8.7%
American Tower Corp.		54,292		12,496
Crown Castle International Corp.		56,926		8,264

				20,760

Utilities—37.4%
American Electric Power Co., Inc.		80,597		7,346
American Water Works Co., Inc.		28,947		3,686
Aqua America, Inc.		56,884		2,519
Atmos Energy Corp.		30,984		3,415
CMS Energy Corp.		62,194		3,921
Dominion Energy, Inc.		84,869		6,588
DTE Energy Co.		16,536		2,144
Edison International		58,394		4,220
Emera, Inc.		77,336		3,350
Enel SpA		381,824		2,767
Evergy, Inc.		55,669		3,619
Fortis, Inc.		92,343		3,813
Iberdrola SA		343,988		3,536
National Grid plc		251,044		2,622
NextEra Energy, Inc.		55,647		12,191
NiSource, Inc.		103,673		3,064
Orsted A/S		36,736		3,508
Public Service Enterprise Group, Inc.		69,632		4,211
Sempra Energy		53,578		7,588
Spire, Inc.		26,380		2,240

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


	Shares		Value
Utilities—continued
Xcel Energy, Inc.		49,145	$	3,156

				89,504
TOTAL COMMON STOCKS (Identified Cost $166,095)				196,111
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)(19)		1,228		16
TOTAL WARRANT (Identified Cost $21)				16
TOTAL LONG-TERM INVESTMENTS—134.3% (Identified Cost $290,028)				321,298	⁽²⁰⁾
SHORT-TERM INVESTMENTS—0.5%

PURCHASED OPTIONS—0.0%
(See open purchased options schedule)
Total Purchased Options
(Premiums paid $139)				54
Money Market Mutual Fund—0.5%
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.995%)⁽²¹⁾		1,086,569		1,087	⁽²⁰⁾
Total Money Market Mutual Fund (Identified Cost $1,087)				1,087


	Value
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,226)	$	1,141

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—134.8% (Identified Cost $291,254)	$	322,439

WRITTEN OPTIONS—(0.1)%
(See open written options schedule)
Total Written Options
(Premiums received $285)		(110	)

TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—134.7% (Identified Cost $290,969)	$	322,329
Other assets and liabilities, net—(34.7)%		(83,047	)

NET ASSETS—100.0%	$	239,282

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 August 31, 2019, these securities amounted to a value of $72,259 or 30.2% of net assets.

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)

⁽⁴⁾

Variable rate security. Rate disclosed is as of August 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 Trustees. 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⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

⁽⁹⁾	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.

⁽¹⁰⁾	13% of the income received was in PIK and 87% was in cash.

⁽¹¹⁾	No contractual maturity date.

⁽¹²⁾	Amount is less than $500.

⁽¹³⁾	Interest payments may be deferred.

⁽¹⁴⁾	100% of the income received was in cash.

⁽¹⁵⁾	First pay date will be in November 2019.

⁽¹⁶⁾	This loan will settle after August 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.

⁽¹⁷⁾	Value shown as par value.

⁽¹⁸⁾	Interest may be forfeited.

⁽¹⁹⁾	Non-income producing.

⁽²⁰⁾	All or a portion of the portfolio segregated as collateral for borrowings.

⁽²¹⁾	Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.

Foreign Currencies:

IDR	Indonesian Rupiah

MXN	Mexican Peso


Country Weightings^†
United States	65	%
Canada	8
Australia	5
Spain	5
Italy	3
France	2
Netherlands	1
Other	11
Total	100	%
^† % of total investments net of written options as of August 31, 2019.

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)


Open Purchased Options Contracts as of August 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		77		$	24,063		$	3,125		9/3/19			$—⁽²	⁾
S&P 500^®Index		90			27,990			3,110		9/4/19			—
S&P 500^®Index		90			27,765			3,085		9/6/19			—
S&P 500^®Index		89			27,501			3,090		9/9/19			—⁽²	⁾
S&P 500^®Index		83			25,813			3,110		9/11/19			—⁽²	⁾
S&P 500^®Index		90			28,080			3,120		9/13/19			1

													1

Put Options
S&P 500^®Index		77			20,790			2,700		9/3/19			2
S&P 500^®Index		90			24,480			2,720		9/4/19			5
S&P 500^®Index		90			23,400			2,600		9/6/19			4
S&P 500^®Index		89			23,362			2,625		9/9/19			7
S&P 500^®Index		83			21,871			2,635		9/11/19			11
S&P 500^®Index		90			24,030			2,670		9/13/19			24

													53
Total Purchased Options													$54

Open Written Options Contracts as of August 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		77		$	23,523		$	3,055		9/3/19		$	—
S&P 500^®Index		90			27,450			3,050		9/4/19			(1	)
S&P 500^®Index		90			27,225			3,025		9/6/19			(2	)
S&P 500^®Index		89			26,967			3,030		9/9/19			(4	)
S&P 500^®Index		83			25,274			3,045		9/11/19			(4	)
S&P 500^®Index		90			27,540			3,060		9/13/19			(4	)

													(15	)

Put Options
S&P 500^®Index		77			21,329			2,770		9/3/19			(3	)
S&P 500^®Index		90			25,020			2,780		9/4/19			(11	)
S&P 500^®Index		90			23,940			2,660		9/6/19			(5	)
S&P 500^®Index		89			23,897			2,685		9/9/19			(11	)
S&P 500^®Index		83			22,410			2,700		9/11/19			(20	)
S&P 500^®Index		90			24,570			2,730		9/13/19			(45	)

													(95	)
Total Written Options												$	(110	)

Footnote Legend:

⁽¹⁾ Strike price not reported in thousands.

⁽²⁾ Amount is less than $500.

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

($ reported in thousands)

The following table summarizes the market value of the Fund’s investments as of August 31, 2019 based on the inputs used to value them (See Security Valuation Note 1A in the Notes to Financial Statements):


	Total Value at August 31, 2019				Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs
Assets:
Debt Securities:
Asset-Backed Securities		$	10,304			$	—			$	10,304			$	—
Corporate Bonds and Notes			61,222				—				61,222				—	⁽¹⁾
Foreign Government Securities			10,843				—				10,843				—
Leveraged Loans			13,075				—				13,075				—
Mortgage-Backed Securities			26,328				—				25,893				435
U.S. Government Securities			839				—				839				—
Equity Securities:
Common Stocks			196,111				196,111				—				—
Preferred Stocks			2,558				501				2,057				—
Rights			2				—				—				2
Warrant			16				—				—				16
Money Market Mutual Fund			1,087				1,087				—				—
Purchased Options			54				43				11				—

Total Investments, before Written Options			322,439				197,742				124,244				453

Liabilities:
Written Options			(110	)			(106	)			(4	)			—

Total Investments, Net of Written Options		$	322,329			$	197,636			$	124,240			$	453

⁽¹⁾	Amount is less than $500.

There were no transfers into or out of Level 3 related to securities held at August 31, 2019.

Some of the Fund’s investments that were categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the rollforward of Level 3 securities and assumptions are not shown for the period ended August 31, 2019.

See Notes to Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

(Reported in thousands except for the per share amounts)


	Total Net Assets					Net Asset Value
	Total Net Assets					per share
Beginning of period: November 30, 2018				$	227,954				$	10.59
Net investment income^*	$	4,360				$	0.20
Net realized and unrealized gain on investments		29,740					1.38
Dividends from net investment income and distributions from net long-term and short-term capital gains^**		(23,314	)				(1.08	)
Capital share transactions:
Issuance of common stock related to reinvestment of distributions		542					—

Net increase (decrease) in net assets/net asset value					11,328					0.50

End of period: August 31, 2019				$	239,282				$	11.09

*	Calculated using average shares outstanding.

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 August 31, 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 Schedule of Investments.

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

AUGUST 31, 2019

Note 1. Significant Accounting Policies

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.


• Level 1	–	quoted prices in active markets for identical securities (security types generally include listed equities).

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

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

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

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2019

which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives, such as options, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy.

Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.

CERTIFICATION

The Fund’s Chief Executive Officer (“CEO”) will file the required annual CEO certification regarding compliance with the NYSE’s listing standards no more than 30 days after the Fund’s annual shareholder meeting. The Fund has included the certifications of the Fund’s CEO and Principal Financial Officer required by Section 302 of the Sarbanes-Oxley Act in the Fund’s Form N-CSR filed with the SEC for the period of this report.

KEY INFORMATION

Shareholder Relations: 1-866-270-7788

For general information and literature, as well as updates on net asset value, share price, major industry groups and other key information.

REINVESTMENT PLAN

The Automatic Reinvestment and Cash Purchase Plan (the “Plan”) offers shareholders a convenient way to acquire additional shares of the Fund. Registered holders will be automatically placed in the Plan. If shares are held at a brokerage firm, contact your broker about participation in the Plan.

REPURCHASE OF SECURITIES

Notice is hereby given in accordance with Section 23(c) of the 1940 Act that the Fund may from time to time purchase its shares of common stock in the open market when Fund shares are trading at a discount from their net asset value.

PROXY VOTING INFORMATION (FORM N-PX)

The Adviser and subadvisers vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Fund’s Board of Directors. You may obtain a description of these procedures, along with information regarding how the Fund voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-866-270-7788. This information is also available through the SEC’s website at https://www.sec.gov.

PORTFOLIO HOLDINGS INFORMATION

For periods prior to the quarter ending August 31, 2019, the Fund has filed a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at https://www.sec.gov.

Effective August 31, 2019, the Fund will file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Form N-PORT will be available on the SEC’s website at https://www.sec.gov.

VIRTUS TOTAL RETURN FUND INC.

101 Munson Street

Greenfield, MA 01301-9668

Board of Directors

George R. Aylward

Philip R. McLoughlin, Chairman

William R. Moyer

James M. Oates

James B. Rogers, Jr.

R. Keith Walton

Brian T. Zino

William H. Wright II, Advisory Member

Officers

George R. Aylward, President and Chief Executive Officer

Francis G. Waltman, Executive Vice President

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

Nancy J. Engberg, Senior Vice President and Chief Compliance Officer

Julia R. Short, Senior Vice President

Peter Batchelar, Senior Vice President

William Renahan, Vice President, Chief Legal Officer, and Secretary

Investment Adviser

Virtus Investment Advisers, Inc. One Financial Plaza

Hartford, CT 06103-2608

Administrator

Virtus Fund Services, LLC

One Financial Plaza Hartford,

CT 06103

Custodian

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286-1048

Transfer Agent

Computershare Trust Company NA

P.O. Box 43078

Providence, RI 02940-3078

Fund Counsel

Sullivan & Worcester LLP

1666 K Street, NW

7th Floor

Washington, DC 20006

How to Contact Us

Shareholder Services

Website

1-866-270-7788

www.Virtus.com

This report is transmitted to the shareholders of Virtus Total Return Fund Inc. for their information. This is not a prospectus, circular, or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

SEC Filings

Receive full access to all new and archived articles, unlimited portfolio tracking, e-mail alerts, custom newswires and RSS feeds - and more!

Virtus Total Return Fund Inc.

c/o Computershare Investor Services

P.O. Box 43078

Providence, RI 02940

For more information about

Virtus Closed-End Funds, please

contact us at 1-866-270-7788

or [email protected]

or visit Virtus.com.