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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 2/05/24 Virtus Total Return Fund Inc. N-CSR 11/30/23 5:2.2M Donnelley … Solutions/FA |
Document/Exhibit Description Pages Size 1: N-CSR Virtus Total Return Fund Inc HTML 1.97M 5: EX-99.13(C) 19(A) Notices HTML 126K 4: EX-99.906 CERT Certification Pursuant to Section 906 HTML 9K 3: EX-99.CERT Certification Pursuant to Section 302 HTML 21K 2: EX-99.CODE Code of Ethics HTML 25K
Virtus Total Return Fund Inc |
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
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
(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: November 30, 2023
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. |
1 Year | 5 Years | 10 Years | |
Market Value1,2 | -10.69% | 2.79% | 5.48% |
Net Asset Value1,2 | -3.96% | 3.93% | 5.75% |
Virtus Total Return Fund Inc. Linked Benchmark1 | -1.54% | 3.14% | 3.50% |
Bloomberg U.S. Aggregate Bond Index1,3 | 1.18% | 0.71% | 1.37% |
FTSE Developed Core Infrastructure 50/50 Index (net)1,3 | -3.49% | 4.29% | 5.77% |
1 | Past performance is not indicative of future results. Current performance may be lower or higher than performance in historical periods. |
2 | 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 for each period reported. Dividends and distributions are assumed, for the purpose of this calculation, to be reinvested at prices 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 the use of net asset value for beginning and ending values. |
3 | The index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio. |
Common Stocks | 74% | |
Utilities | 34% | |
Industrials | 20 | |
Energy | 11 | |
All Other Common Stocks | 9 | |
Corporate Bonds and Notes | 11 | |
Financials | 3 | |
Energy | 2 | |
Health Care | 1 | |
All Other Corporate Bonds and Notes | 5 | |
Mortgage-Backed Securities | 5 | |
Asset-Backed Securities | 4 | |
Leveraged Loans | 3 | |
Foreign Government Securities | 2 | |
U.S. Government Securities | 1 | |
Total | 100% | |
United States | 63% |
Australia | 7 |
Canada | 6 |
Spain | 6 |
United Kingdom | 5 |
Netherlands | 3 |
France | 3 |
Other | 7 |
Total | 100% |
Par Value(1) | Value | ||
U.S. Government Securities—1.4% | |||
U.S. Treasury Bonds | |||
4.000%, 11/15/52(2) | $ 4,730 | $ 4,324 | |
3.625%, 5/15/53 | 2,210 | 1,886 | |
Total
U.S. Government Securities (Identified Cost $6,859) |
6,210 | ||
Municipal Bonds—0.5% | |||
California—0.1% | |||
University
of California, Regents Series B-A, Taxable 4.428%, 5/15/48 |
290 | 241 | |
Florida—0.1% | |||
Broward
County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 |
370 | 369 | |
Idaho—0.1% | |||
Idaho
Health Facilities Authority St. Luke’s Health System Revenue Taxable Series B 5.020%, 3/1/48 |
355 | 315 | |
Illinois—0.0% | |||
Sales
Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 |
85 | 64 | |
New York—0.1% | |||
Metropolitan
Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 |
530 | 570 | |
Texas—0.0% | |||
State
of Texas, Texas Transportation Commission General Obligation Taxable 3.211%, 4/1/44 |
110 | 84 |
Par Value(1) | Value | ||
Virginia—0.1% | |||
City
of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 |
$ 565 | $ 469 | |
Total
Municipal Bonds (Identified Cost $2,416) |
2,112 | ||
Foreign Government Securities—2.3% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(3) | 225 | 40 | |
RegS
8.250%, 10/13/24(3)(4) |
610 | 96 | |
RegS
7.650%, 4/21/25(3)(4) |
830 | 129 | |
Brazil
Notas do Tesouro Nacional Series F 10.000%, 1/1/29 |
1,415 BRL | 281 | |
Dominican
Republic 144A 4.875%, 9/23/32(5) |
865 | 744 | |
Federative
Republic of Brazil 6.000%, 10/20/33 |
400 | 389 | |
Hungary
Government International Bond 144A 6.250%, 9/22/32(5) |
250 | 255 | |
Kingdom
of Jordan 144A 5.850%, 7/7/30(5) |
295 | 268 | |
Kingdom of Morocco | |||
144A
3.000%, 12/15/32(5) |
200 | 157 | |
144A
5.500%, 12/11/42(5) |
295 | 250 | |
Republic
of Angola 144A 8.250%, 5/9/28(5) |
465 | 412 | |
Republic
of Argentina 3.500%, 7/9/41(6) |
1,025 | 334 | |
Republic
of Colombia 8.000%, 11/14/35 |
200 | 207 | |
Republic
of Egypt 144A 7.600%, 3/1/29(5) |
665 | 463 | |
Republic
of Ghana RegS 8.125%, 3/26/32(3)(4) |
765 | 326 | |
Republic
of Ivory Coast 144A 6.375%, 3/3/28(5) |
320 | 307 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
Republic
of Nigeria 144A 7.375%, 9/28/33(5) |
$ 320 | $ 253 | |
Republic
of Philippines 3.700%, 3/1/41 |
490 | 390 | |
Republic
of Poland 4.875%, 10/4/33 |
325 | 315 | |
Republic
of Serbia 144A 6.500%, 9/26/33(5) |
300 | 296 | |
Republic
of South Africa 5.875%, 6/22/30 |
445 | 413 | |
Republic of Turkiye | |||
7.625%, 4/26/29 | 645 | 637 | |
9.125%, 7/13/30 | 555 | 581 | |
Saudi International Bond | |||
144A
5.500%, 10/25/32(5) |
315 | 323 | |
144A
4.500%, 10/26/46(5) |
745 | 603 | |
State
of Qatar 144A 3.750%, 4/16/30(5) |
305 | 289 | |
Ukraine Government | |||
144A
7.750%, 9/1/26(3)(5) |
245 | 68 | |
RegS
7.750%, 9/1/26(3)(4) |
290 | 81 | |
United Mexican States | |||
3.500%, 2/12/34 | 400 | 325 | |
6.338%, 5/4/53 | 755 | 718 | |
Total
Foreign Government Securities (Identified Cost $11,241) |
9,950 | ||
Mortgage-Backed Securities—7.5% | |||
Agency—1.6% | |||
Federal
Home Loan Mortgage Corporation Pool #SD8309 6.000%, 3/1/53 |
1,786 | 1,791 | |
Federal National Mortgage Association | |||
Pool
#FS4438 5.000%, 11/1/52 |
852 | 822 | |
Pool
#MA4785 5.000%, 10/1/52 |
859 | 828 |
Par Value(1) | Value | ||
Agency—continued | |||
Pool
#MA4805 4.500%, 11/1/52 |
$ 889 | $ 833 | |
Pool
#MA4980 6.000%, 4/1/53 |
1,601 | 1,608 | |
Pool
#MA5072 5.500%, 7/1/53 |
851 | 838 | |
6,720 | |||
Non-Agency—5.9% | |||
Ajax Mortgage Loan Trust | |||
2019-D,
A1 144A 2.956%, 9/25/65(5)(6) |
203 | 187 | |
2022-B,
A1 144A 3.500%, 3/27/62(5)(6) |
717 | 663 | |
American Homes 4 Rent Trust | |||
2014-SFR2,
C 144A 4.705%, 10/17/36(5) |
1,000 | 984 | |
2015-SFR1,
A 144A 3.467%, 4/17/52(5) |
151 | 146 | |
2015-SFR2,
C 144A 4.691%, 10/17/52(5) |
340 | 330 | |
AMSR Trust | |||
2021-SFR2,
C 144A 1.877%, 8/17/38(5) |
245 | 216 | |
2021-SFR3,
D 144A 2.177%, 10/17/38(5) |
260 | 226 | |
Arroyo Mortgage Trust | |||
2019-1,
A1 144A 3.805%, 1/25/49(5)(6) |
410 | 376 | |
2019-2,
A1 144A 3.347%, 4/25/49(5)(6) |
144 | 133 | |
Benchmark
Mortgage Trust 2023-B38, A2 5.626%, 4/15/56 |
360 | 357 | |
BPR
Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 7.221%, 4/15/37(5)(6) |
435 | 427 | |
BX
Commercial Mortgage Trust 2019-XL, C (1 month Term SOFR + 1.364%, Cap N/A, Floor 1.250%) 144A 6.687%, 10/15/36(5)(6) |
510 | 505 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
BX Trust | |||
2019-OC11,
D 144A 4.075%, 12/9/41(5)(6) |
$ 660 | $ 553 | |
2022-CLS,
A 144A 5.760%, 10/13/27(5) |
663 | 651 | |
CENT
Trust 2023-CITY, A (1 month Term SOFR + 2.620%, Cap N/A, Floor 2.620%) 144A 7.943%, 9/15/28(5)(6) |
340 | 342 | |
Chase Mortgage Finance Corp. | |||
2016-SH1,
M2 144A 3.750%, 4/25/45(5)(6) |
97 | 86 | |
2016-SH2,
M2 144A 3.750%, 12/25/45(5)(6) |
334 | 294 | |
CIM
Trust 2022-R2, A1 144A 3.750%, 12/25/61(5)(6) |
411 | 374 | |
Citigroup
Mortgage Loan Trust, Inc. 2018-RP1, A1 144A 3.000%, 9/25/64(5)(6) |
225 | 215 | |
COLT
Mortgage Loan Trust 2022-5, A1 144A 4.550%, 4/25/67(5)(6) |
437 | 415 | |
CoreVest American Finance Trust | |||
2019-3,
C 144A 3.265%, 10/15/52(5) |
400 | 336 | |
2022-1,
A 144A 4.744%, 6/17/55(5)(6) |
435 | 418 | |
Credit
Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month Term SOFR + 1.027%, Cap N/A, Floor 0.980%) 144A 6.350%, 5/15/36(5)(6) |
923 | 921 | |
Credit
Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(5)(6) |
289 | 249 | |
Deephaven
Residential Mortgage Trust 2022-1, A1 144A 2.205%, 1/25/67(5)(6) |
280 | 243 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
Ellington
Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(5)(6) |
$ 38 | $ 35 | |
Extended
Stay America Trust 2021-ESH, C (1 month Term SOFR + 1.814%, Cap N/A, Floor 1.700%) 144A 7.137%, 7/15/38(5)(6) |
469 | 459 | |
FirstKey
Homes Trust 2021-SFR1, D 144A 2.189%, 8/17/38(5) |
530 | 465 | |
Galton
Funding Mortgage Trust 2018-1, A23 144A 3.500%, 11/25/57(5)(6) |
15 | 14 | |
INTOWN
Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.812%, 8/15/39(5)(6) |
537 | 538 | |
JPMBB
Commercial Mortgage Securities Trust 2014-C18, AS 4.439%, 2/15/47(6) |
559 | 554 | |
JPMorgan Chase Mortgage Trust | |||
2014-5,
B2 144A 2.751%, 10/25/29(5)(6) |
205 | 180 | |
2017-3,
2A2 144A 2.500%, 8/25/47(5)(6) |
77 | 65 | |
LHOME
Mortgage Trust 2021-RTL1, A1 144A 3.090%, 2/25/26(5)(6) |
30 | 30 | |
MetLife Securitization Trust | |||
2017-1A,
M1 144A 3.298%, 4/25/55(5)(6) |
241 | 201 | |
2019-1A,
A1A 144A 3.750%, 4/25/58(5)(6) |
42 | 41 | |
MFA
Trust 2022-NQM2, A1 144A 4.000%, 5/25/67(5)(6) |
202 | 185 | |
Mill City Mortgage Loan Trust | |||
2017-3,
B1 144A 3.250%, 1/25/61(5)(6) |
416 | 335 | |
2019-1,
M2 144A 3.500%, 10/25/69(5)(6) |
354 | 298 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
New Residential Mortgage Loan Trust | |||
2014-1A,
A 144A 3.750%, 1/25/54(5)(6) |
$ 36 | $ 33 | |
2016-3A,
A1 144A 3.750%, 9/25/56(5)(6) |
46 | 42 | |
2016-3A,
B1 144A 4.000%, 9/25/56(5)(6) |
181 | 167 | |
2016-4A,
A1 144A 3.750%, 11/25/56(5)(6) |
21 | 20 | |
2016-4A,
B1A 144A 4.500%, 11/25/56(5)(6) |
942 | 881 | |
2017-2A,
A3 144A 4.000%, 3/25/57(5)(6) |
738 | 685 | |
2019-RPL2,
M2 144A 3.750%, 2/25/59(5)(6) |
440 | 359 | |
ORL
Trust 2023-GLKS, A (1 month Term SOFR + 2.350%, Cap N/A, Floor 2.350%) 144A 7.673%, 10/19/36(5)(6) |
438 | 438 | |
Palisades
Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(5)(6) |
280 | 275 | |
Progress Residential Trust | |||
2019-SFR3,
B 144A 2.571%, 9/17/36(5) |
280 | 271 | |
2021-SFR3,
D 144A 2.288%, 5/17/26(5) |
830 | 739 | |
RCKT
Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(5)(6) |
187 | 152 | |
Residential
Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(5)(6) |
6 | 6 | |
Sequoia
Mortgage Trust 2013-8, B1 3.480%, 6/25/43(6) |
69 | 65 | |
Starwood
Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(5)(6) |
63 | 49 | |
Towd Point Mortgage Trust | |||
2016-4,
B1 144A 3.957%, 7/25/56(5)(6) |
480 | 439 | |
2017-1,
A2 144A 3.500%, 10/25/56(5)(6) |
350 | 339 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
2017-1,
M1 144A 3.750%, 10/25/56(5)(6) |
$ 385 | $ 362 | |
2017-4,
A2 144A 3.000%, 6/25/57(5)(6) |
610 | 541 | |
2018-6,
A1B 144A 3.750%, 3/25/58(5)(6) |
330 | 303 | |
2018-6,
A2 144A 3.750%, 3/25/58(5)(6) |
480 | 406 | |
2019-2,
A2 144A 3.750%, 12/25/58(5)(6) |
515 | 440 | |
2019-4,
A2 144A 3.250%, 10/25/59(5)(6) |
445 | 373 | |
2020-1,
M1 144A 3.500%, 1/25/60(5)(6) |
220 | 173 | |
2021-1,
A2 144A 2.750%, 11/25/61(5)(6) |
465 | 356 | |
Tricon American Homes Trust | |||
2019-SFR1,
C 144A 3.149%, 3/17/38(5) |
590 | 550 | |
2020-SFR2,
D 144A 2.281%, 11/17/39(5) |
660 | 561 | |
Tricon
Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(5) |
185 | 166 | |
TVC
Mortgage Trust 2020-RTL1, M 144A 6.193%, 9/25/24(5)(6) |
520 | 519 | |
VCAT LLC | |||
2021-NPL3,
A1 144A 1.743%, 5/25/51(5)(6) |
126 | 119 | |
2021-NPL4,
A1 144A 1.868%, 8/25/51(5)(6) |
352 | 332 | |
Verus Securitization Trust | |||
2019-4,
M1 144A 3.207%, 11/25/59(5)(6) |
220 | 194 | |
2022-4,
A1 144A 4.474%, 4/25/67(5)(6) |
371 | 353 | |
2022-5,
A1 144A 3.800%, 4/25/67(5)(6) |
639 | 581 | |
2022-7,
A1 144A 5.152%, 7/25/67(5)(6) |
349 | 340 | |
Visio
Trust 2020-1R, A2 144A 1.567%, 11/25/55(5) |
62 | 55 | |
Wells
Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 |
649 | 602 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
Wells
Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(5)(6) |
$ 119 | $ 97 | |
25,430 | |||
Total
Mortgage-Backed Securities (Identified Cost $34,423) |
32,150 | ||
Asset-Backed Securities—5.3% | |||
Automobiles—2.1% | |||
ACC
Auto Trust 2021-A, C 144A 3.790%, 4/15/27(5) |
745 | 735 | |
ACC
Trust 2021-1, C 144A 2.080%, 12/20/24(5) |
187 | 184 | |
ACM
Auto Trust 2023-2A, A 144A 7.970%, 6/20/30(5) |
367 | 368 | |
American
Credit Acceptance Receivables Trust 2022-1, E 144A 3.640%, 3/13/28(5) |
560 | 522 | |
Avid
Automobile Receivables Trust 2021-1, E 144A 3.390%, 4/17/28(5) |
230 | 214 | |
Avis
Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(5) |
595 | 573 | |
Carvana Auto Receivables Trust | |||
2019-3A,
E 144A 4.600%, 7/15/26(5) |
509 | 505 | |
2023-N4,
C 144A 6.590%, 2/11/30(5) |
485 | 488 | |
Exeter Automobile Receivables Trust | |||
2019-2A,
E 144A 4.680%, 5/15/26(5) |
670 | 668 |
Par Value(1) | Value | ||
Automobiles—continued | |||
2023-3A,
D 6.680%, 4/16/29 |
$ 530 | $ 524 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A,
D 144A 4.090%, 8/17/26(5) |
540 | 531 | |
2022-2A,
D 144A 6.150%, 4/17/28(5) |
510 | 502 | |
LAD Auto Receivables Trust | |||
2023-1A,
D 144A 7.300%, 6/17/30(5) |
550 | 553 | |
2023-2A,
D 144A 6.300%, 2/15/31(5) |
450 | 442 | |
2023-4A,
C 144A 6.760%, 3/15/29(5) |
412 | 414 | |
Lendbuzz
Securitization Trust 2023-2A, A2 144A 7.090%, 10/16/28(5) |
436 | 436 | |
Lobel
Automobile Receivables Trust 2023-1, B 144A 7.050%, 9/15/28(5) |
535 | 528 | |
OneMain
Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(5) |
410 | 396 | |
Tricolor
Auto Securitization Trust 2023-1A, C 144A 7.240%, 2/16/27(5) |
554 | 553 | |
9,136 | |||
Consumer Loans—0.1% | |||
Republic
Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(5) |
423 | 414 | |
Upstart
Securitization Trust 2022-2, A 144A 4.370%, 5/20/32(5) |
110 | 109 | |
523 | |||
Par Value(1) | Value | ||
Credit Card—0.4% | |||
Avant
Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(5) |
$ 590 | $ 557 | |
Mercury
Financial Credit Card Master Trust 2023-1A, A 144A 8.040%, 9/20/27(5) |
555 | 559 | |
Mission
Lane Credit Card Master Trust 2023-A, A 144A 7.230%, 7/17/28(5) |
447 | 445 | |
1,561 | |||
Other—2.7% | |||
Amur
Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(5) |
710 | 677 | |
Applebee’s
Funding LLC 2023-1A, A2 144A 7.824%, 3/5/53(5) |
422 | 424 | |
Aqua Finance Trust | |||
2017-A,
A 144A 3.720%, 11/15/35(5) |
15 | 15 | |
2019-A,
C 144A 4.010%, 7/16/40(5) |
547 | 500 | |
2020-AA,
D 144A 7.150%, 7/17/46(5) |
480 | 417 | |
Arby’s
Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(5) |
566 | 504 | |
BHG
Securitization Trust 2023-B, A 144A 6.920%, 12/17/36(5) |
320 | 322 | |
BXG
Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(5) |
247 | 226 | |
Cajun
Global LLC 2021-1, A2 144A 3.931%, 11/20/51(5) |
335 | 292 | |
CCG
Receivables Trust 2023-1, A2 144A 5.820%, 9/16/30(5) |
525 | 524 |
Par Value(1) | Value | ||
Other—continued | |||
Conn’s
Receivables Funding LLC 2022-A, B 144A 9.520%, 12/15/26(5) |
$ 279 | $ 280 | |
Dext ABS LLC | |||
2020-1,
D 144A 7.210%, 2/15/28(5) |
475 | 462 | |
2023-2,
B 144A 6.410%, 5/15/34(5) |
405 | 407 | |
Diamond
Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(5) |
135 | 125 | |
FAT
Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(5) |
587 | 546 | |
Five
Guys Holdings, Inc. 2023-1A, A2 144A 7.549%, 1/26/54(5) |
405 | 408 | |
Foundation
Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(5) |
42 | 41 | |
Hardee’s
Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(5) |
583 | 505 | |
HIN
Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(5) |
78 | 72 | |
Hotwire
Funding LLC 2021-1, C 144A 4.459%, 11/20/51(5) |
695 | 579 | |
Jack
in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(5) |
531 | 478 | |
Jersey
Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(5) |
431 | 400 | |
Mariner
Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(5) |
422 | 411 | |
NBC
Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(5) |
470 | 416 |
Par Value(1) | Value | ||
Other—continued | |||
Octane Receivables Trust | |||
2020-1A,
B 144A 1.980%, 6/20/25(5) |
$ 316 | $ 315 | |
2023-3A,
C 144A 6.740%, 8/20/29(5) |
389 | 393 | |
Orange
Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(5) |
80 | 77 | |
Pawneee
Equipment Receivables LLC 2022-1, B 144A 5.400%, 7/17/28(5) |
500 | 481 | |
Progress
Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(5) |
235 | 207 | |
Purchasing
Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(5) |
51 | 51 | |
Taco
Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(5) |
352 | 342 | |
ZAXBY’S
Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(5) |
691 | 582 | |
11,479 | |||
Total
Asset-Backed Securities (Identified Cost $23,612) |
22,699 | ||
Corporate Bonds and Notes—15.1% | |||
Communication Services—1.0% | |||
Altice
France Holding S.A. 144A 6.000%, 2/15/28(5) |
200 | 81 | |
Altice France S.A. | |||
144A 5.125%, 1/15/29(2)(5) | 300 | 218 | |
144A 5.125%, 7/15/29(2)(5) | 175 | 125 | |
AT&T,
Inc. 5.400%, 2/15/34(2) |
355 | 351 | |
CCO
Holdings LLC 144A 4.750%, 3/1/30(2)(5) |
375 | 328 | |
CSC Holdings LLC | |||
5.250%, 6/1/24 | 270 | 257 | |
144A 7.500%, 4/1/28(5) | 365 | 250 |
Par Value(1) | Value | ||
Communication Services—continued | |||
CT
Trust 144A 5.125%, 2/3/32(5) |
$ 450 | $ 372 | |
DISH DBS Corp. | |||
5.875%, 11/15/24 | 260 | 228 | |
7.750%, 7/1/26 | 355 | 212 | |
Gray
Television, Inc. 144A 7.000%, 5/15/27(2)(5) |
350 | 318 | |
Level
3 Financing, Inc. 144A 3.625%, 1/15/29(5) |
335 | 121 | |
Millennium
Escrow Corp. 144A 6.625%, 8/1/26(5) |
350 | 270 | |
Rackspace
Technology Global, Inc. 144A 5.375%, 12/1/28(5) |
490 | 147 | |
Sprint
Capital Corp. 8.750%, 3/15/32(2) |
295 | 352 | |
Telecomunicaciones
Digitales S.A. 144A 4.500%, 1/30/30(5) |
600 | 494 | |
Telesat
Canada 144A 6.500%, 10/15/27(5) |
270 | 127 | |
4,251 | |||
Consumer Discretionary—1.2% | |||
Ashtead
Capital, Inc. 144A 5.500%, 8/11/32(2)(5) |
260 | 248 | |
Carnival
Corp. 144A 7.000%, 8/15/29(2)(5) |
55 | 56 | |
Churchill
Downs, Inc. 144A 6.750%, 5/1/31(2)(5) |
190 | 187 | |
Clarios
Global LP 144A 6.750%, 5/15/28(2)(5) |
40 | 40 | |
Ford
Motor Co. 3.250%, 2/12/32(2) |
170 | 136 | |
Ford
Motor Credit Co. LLC 7.350%, 3/6/30(2) |
330 | 343 | |
Genuine
Parts Co. 6.875%, 11/1/33(2) |
325 | 345 | |
Jacobs
Entertainment, Inc. 144A 6.750%, 2/15/29(2)(5) |
323 | 289 | |
MDC
Holdings, Inc. 3.966%, 8/6/61(2) |
300 | 178 | |
NCL
Finance Ltd. 144A 6.125%, 3/15/28(5) |
280 | 254 |
Par Value(1) | Value | ||
Consumer Discretionary—continued | |||
Newell
Brands, Inc. 6.625%, 9/15/29(2) |
$ 373 | $ 364 | |
NMG
Holding Co., Inc. 144A 7.125%, 4/1/26(5) |
355 | 333 | |
Nordstrom,
Inc. 4.250%, 8/1/31(2) |
380 | 300 | |
Ontario
Gaming GTA LP 144A 8.000%, 8/1/30(2)(5) |
290 | 293 | |
PetSmart,
Inc. 144A 7.750%, 2/15/29(2)(5) |
420 | 396 | |
Premier
Entertainment Sub LLC 144A 5.625%, 9/1/29(5) |
282 | 204 | |
PulteGroup, Inc. | |||
7.875%, 6/15/32(2) | 155 | 175 | |
6.375%, 5/15/33(2) | 155 | 160 | |
Royal
Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(2)(5) |
18 | 19 | |
Tapestry,
Inc. 7.850%, 11/27/33 |
460 | 467 | |
Weekley
Homes LLC 144A 4.875%, 9/15/28(2)(5) |
355 | 325 | |
5,112 | |||
Consumer Staples—0.4% | |||
BAT
Capital Corp. 7.750%, 10/19/32(2) |
305 | 337 | |
Central
American Bottling Corp. 144A 5.250%, 4/27/29(5) |
225 | 205 | |
Coty,
Inc. 144A 6.625%, 7/15/30(2)(5) |
195 | 196 | |
HLF
Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(5) |
220 | 156 | |
Minerva
Luxembourg S.A. 144A 8.875%, 9/13/33(5) |
310 | 312 | |
Pilgrim’s
Pride Corp. 6.250%, 7/1/33(2) |
273 | 269 | |
Sigma
Holdco B.V. 144A 7.875%, 5/15/26(5) |
200 | 172 | |
1,647 | |||
Par Value(1) | Value | ||
Energy—2.7% | |||
Alliance
Resource Operating Partners LP 144A 7.500%, 5/1/25(2)(5) |
$ 295 | $ 294 | |
Ascent
Resources Utica Holdings LLC 144A 8.250%, 12/31/28(2)(5) |
410 | 410 | |
BP
Capital Markets plc 4.875% (2)(7) |
465 | 418 | |
CITGO
Petroleum Corp. 144A 7.000%, 6/15/25(5) |
240 | 237 | |
Civitas
Resources, Inc. 144A 8.750%, 7/1/31(2)(5) |
225 | 233 | |
Columbia Pipelines Operating Co. LLC | |||
144A 6.036%, 11/15/33(2)(5) | 325 | 328 | |
144A 6.714%, 8/15/63(2)(5) | 50 | 52 | |
Coronado
Finance Pty Ltd. 144A 10.750%, 5/15/26(2)(5) |
526 | 548 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(2)(5) | 85 | 84 | |
144A 5.000%, 5/1/29(2)(5) | 170 | 163 | |
DT
Midstream, Inc. 144A 4.125%, 6/15/29(2)(5) |
295 | 265 | |
Ecopetrol S.A. | |||
4.625%, 11/2/31 | 260 | 207 | |
8.875%, 1/13/33 | 330 | 339 | |
Enbridge,
Inc. 7.625%, 1/15/83(2) |
435 | 411 | |
Enerflex
Ltd. 144A 9.000%, 10/15/27(2)(5) |
263 | 248 | |
Energy
Transfer LP Series H 6.500% (2)(7) |
350 | 328 | |
Flex
Intermediate Holdco LLC 144A 3.363%, 6/30/31(2)(5) |
515 | 403 | |
Genesis
Energy LP 8.875%, 4/15/30(2) |
370 | 376 | |
Greensaif
Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(5) |
250 | 250 |
Par Value(1) | Value | ||
Energy—continued | |||
Helix
Energy Solutions Group, Inc. 144A 9.750%, 3/1/29(5) |
$ 275 | $ 274 | |
Hilcorp
Energy I LP 144A 5.750%, 2/1/29(2)(5) |
305 | 287 | |
International
Petroleum Corp. 144A, RegS 7.250%, 2/1/27(4)(5) |
380 | 353 | |
KazMunayGas
National Co. JSC 144A 6.375%, 10/24/48(5) |
365 | 310 | |
Kinder
Morgan Energy Partners LP 7.500%, 11/15/40 |
315 | 341 | |
Magnolia
Oil & Gas Operating LLC 144A 6.000%, 8/1/26(2)(5) |
380 | 369 | |
Mesquite
Energy, Inc. 144A 7.250%, 2/15/24(5) |
105 | 8 | |
Nabors
Industries Ltd. 144A 7.250%, 1/15/26(5) |
285 | 272 | |
Northriver
Midstream Finance LP 144A 5.625%, 2/15/26(2)(5) |
185 | 180 | |
Occidental
Petroleum Corp. 6.125%, 1/1/31(2) |
420 | 424 | |
Odebrecht
Oil & Gas Finance Ltd. 144A 0.000% (5)(7)(8)(9) |
26 | — (10) | |
Pertamina
Persero PT 144A 2.300%, 2/9/31(5) |
480 | 390 | |
Petroleos
de Venezuela S.A. 144A 6.000%, 5/16/24(3)(5) |
665 | 80 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 450 | 404 | |
6.700%, 2/16/32 | 375 | 291 | |
7.690%, 1/23/50 | 505 | 334 | |
Petronas
Capital Ltd. 144A 3.500%, 4/21/30(5) |
235 | 213 | |
Reliance
Industries Ltd. 144A 2.875%, 1/12/32(5) |
320 | 262 | |
State
Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(4) |
280 | 283 | |
Teine
Energy Ltd. 144A 6.875%, 4/15/29(2)(5) |
330 | 312 |
Par Value(1) | Value | ||
Energy—continued | |||
Transocean, Inc. | |||
144A 11.500%, 1/30/27(5) | $ 45 | $ 47 | |
144A 8.750%, 2/15/30(2)(5) | 271 | 277 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(2)(5) | 40 | 35 | |
144A 4.125%, 8/15/31(2)(5) | 340 | 293 | |
Viper
Energy, Inc. 144A 7.375%, 11/1/31(2)(5) |
45 | 46 | |
11,679 | |||
Financials—4.3% | |||
Acrisure
LLC 144A 7.000%, 11/15/25(5) |
425 | 420 | |
Allianz
SE 144A 6.350%, 9/6/53(2)(5) |
200 | 200 | |
Allstate
Corp. (The) Series B (3 month Term SOFR + 3.200%) 8.579%, 8/15/53(2)(6) |
340 | 335 | |
American
Express Co. 5.625%, 7/28/34(2) |
360 | 356 | |
Ascot
Group Ltd. 144A 4.250%, 12/15/30(2)(5) |
580 | 446 | |
Banco
Mercantil del Norte S.A. 144A 6.625% (5)(7) |
620 | 512 | |
Banco
Santander Chile 144A 3.177%, 10/26/31(5) |
555 | 461 | |
Bank of America Corp. | |||
5.015%, 7/22/33 | 365 | 347 | |
2.482%, 9/21/36 | 470 | 355 | |
Bank
of New York Mellon Corp. (The) Series G 4.700% (2)(7) |
530 | 517 | |
Barclays
plc 7.437%, 11/2/33(2) |
445 | 474 | |
BBVA
Bancomer S.A. 144A 5.125%, 1/18/33(5) |
485 | 433 | |
Blackstone
Private Credit Fund 2.625%, 12/15/26(2) |
317 | 279 | |
Blue
Owl Credit Income Corp. 4.700%, 2/8/27(2) |
319 | 294 | |
Blue
Owl Finance LLC 144A 3.125%, 6/10/31(2)(5) |
415 | 322 |
Par Value(1) | Value | ||
Financials—continued | |||
BPCE
S.A. 144A 7.003%, 10/19/34(5) |
$ 250 | $ 258 | |
BroadStreet
Partners, Inc. 144A 5.875%, 4/15/29(5) |
270 | 245 | |
Brookfield
Finance, Inc. 6.350%, 1/5/34 |
245 | 247 | |
Capital
One Financial Corp. 2.359%, 7/29/32(2) |
255 | 181 | |
Charles
Schwab Corp. (The) Series H 4.000% (7) |
445 | 336 | |
Citadel
LP 144A 4.875%, 1/15/27(2)(5) |
295 | 285 | |
Citigroup, Inc. | |||
6.270%, 11/17/33 | 240 | 248 | |
6.174%, 5/25/34(2) | 329 | 326 | |
Citizens
Bank N.A. 2.250%, 4/28/25(2) |
315 | 297 | |
Cobra
AcquisitionCo. LLC 144A 6.375%, 11/1/29(5) |
333 | 243 | |
Corebridge
Financial, Inc. 6.875%, 12/15/52(2) |
326 | 313 | |
Discover
Bank 4.650%, 9/13/28(2) |
250 | 228 | |
Drawbridge
Special Opportunities Fund LP 144A 3.875%, 2/15/26(2)(5) |
720 | 650 | |
Export-Import
Bank Korea 5.125%, 1/11/33 |
365 | 366 | |
Fifth
Third Bancorp 4.337%, 4/25/33(2) |
300 | 263 | |
First
American Financial Corp. 4.000%, 5/15/30(2) |
300 | 260 | |
Global
Atlantic Fin Co. 144A 7.950%, 6/15/33(2)(5) |
169 | 182 | |
Global
Payments, Inc. 2.900%, 5/15/30(2) |
400 | 341 | |
Goldman Sachs Group, Inc. (The) | |||
3.102%, 2/24/33(2) | 320 | 264 | |
6.450%, 5/1/36(2) | 255 | 263 | |
Huntington
Bancshares, Inc. 2.550%, 2/4/30(2) |
340 | 280 |
Par Value(1) | Value | ||
Financials—continued | |||
JPMorgan
Chase & Co. 1.953%, 2/4/32(2) |
$ 570 | $ 448 | |
Ladder
Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2)(5) |
210 | 194 | |
Liberty
Mutual Group, Inc. 144A 4.125%, 12/15/51(2)(5) |
320 | 261 | |
Lincoln
National Corp. (3 month LIBOR + 2.040%) 7.717%, 4/20/67(2)(6) |
515 | 314 | |
MetLife,
Inc. Series G 3.850% (2)(7) |
340 | 320 | |
Midcap
Financial Issuer Trust 144A 6.500%, 5/1/28(2)(5) |
475 | 413 | |
Morgan Stanley | |||
6.342%, 10/18/33(2) | 480 | 497 | |
5.948%, 1/19/38(2) | 253 | 245 | |
MSCI,
Inc. 144A 3.625%, 9/1/30(2)(5) |
256 | 223 | |
National
Rural Utilities Cooperative Finance Corp. (3 month Term SOFR + 3.172%) 8.562%, 4/30/43(2)(6) |
270 | 266 | |
Nationstar
Mortgage Holdings, Inc. 144A 5.750%, 11/15/31(2)(5) |
195 | 170 | |
NCR
Atleos Corp. 144A 9.500%, 4/1/29(2)(5) |
214 | 221 | |
Nippon
Life Insurance Co. 144A 6.250%, 9/13/53(2)(5) |
200 | 202 | |
Northern
Trust Corp. 6.125%, 11/2/32 |
235 | 242 | |
Prudential Financial, Inc. | |||
5.125%, 3/1/52(2) | 148 | 131 | |
6.750%, 3/1/53(2) | 200 | 199 | |
State
Street Corp. 4.821%, 1/26/34(2) |
293 | 275 | |
Synchrony Financial | |||
4.875%, 6/13/25(2) | 80 | 77 | |
3.700%, 8/4/26(2) | 117 | 107 | |
Texas
Capital Bancshares, Inc. 4.000%, 5/6/31(2) |
495 | 424 |
Par Value(1) | Value | ||
Financials—continued | |||
Toronto-Dominion
Bank (The) 8.125%, 10/31/82 |
$ 275 | $ 277 | |
UBS Group AG | |||
144A 9.250%(2)(5)(7) | 35 | 37 | |
144A 4.988%, 8/5/33(5) | 375 | 345 | |
Wells Fargo & Co. | |||
5.389%, 4/24/34(2) | 270 | 260 | |
Series
BB 3.900%(2)(7) |
470 | 424 | |
18,399 | |||
Health Care—1.3% | |||
Akumin,
Inc. 144A 7.000%, 11/1/25(5)(11) |
400 | 321 | |
Bausch Health Cos., Inc. | |||
144A 6.125%, 2/1/27(5) | 35 | 19 | |
144A 11.000%, 9/30/28(5) | 86 | 54 | |
144A 14.000%, 10/15/30(5) | 16 | 8 | |
Catalent
Pharma Solutions, Inc. 144A 3.500%, 4/1/30(2)(5) |
395 | 330 | |
Cheplapharm
Arzneimittel GmbH 144A 5.500%, 1/15/28(2)(5) |
418 | 388 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(5) | 35 | 21 | |
144A 6.125%, 4/1/30(5) | 405 | 226 | |
144A 4.750%, 2/15/31(2)(5) | 285 | 209 | |
DENTSPLY
SIRONA, Inc. 3.250%, 6/1/30 |
520 | 446 | |
Endo
Dac 144A 9.500%, 7/31/27(3)(5) |
94 | 7 | |
HCA,
Inc. 5.500%, 6/1/33(2) |
340 | 334 | |
IQVIA, Inc. | |||
144A 5.700%, 5/15/28(2)(5) | 200 | 199 | |
144A 6.250%, 2/1/29(5) | 145 | 147 | |
Lannett
Co., Inc. 144A 7.750%, 4/15/26(5)(8) |
135 | 7 | |
LifePoint
Health, Inc. 144A 9.875%, 8/15/30(2)(5) |
525 | 511 | |
Medline
Borrower LP 144A 5.250%, 10/1/29(5) |
205 | 186 | |
Par
Pharmaceutical, Inc. 144A 7.500%, 4/1/27(5)(11) |
187 | 118 |
Par Value(1) | Value | ||
Health Care—continued | |||
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(5) | $ 211 | $ 209 | |
144A 10.000%, 4/15/27(5) | 85 | 86 | |
Team
Health Holdings, Inc. 144A 6.375%, 2/1/25(5) |
395 | 330 | |
Teva
Pharmaceutical Finance Netherlands III B.V. 4.750%, 5/9/27 |
230 | 215 | |
Universal
Health Services, Inc. 2.650%, 1/15/32(2) |
460 | 362 | |
Viatris, Inc. | |||
2.700%, 6/22/30(2) | 325 | 264 | |
4.000%, 6/22/50(2) | 135 | 88 | |
Zimmer
Biomet Holdings, Inc. 3.550%, 3/20/30(2) |
500 | 439 | |
5,524 | |||
Industrials—1.2% | |||
Alaska
Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 2/15/29(2)(5) |
493 | 470 | |
Aviation
Capital Group LLC 144A 3.500%, 11/1/27(2)(5) |
275 | 247 | |
Avolon
Holdings Funding Ltd. 144A 4.375%, 5/1/26(2)(5) |
265 | 252 | |
Boeing Co. (The) | |||
3.750%, 2/1/50(2) | 205 | 149 | |
5.930%, 5/1/60(2) | 147 | 143 | |
Chart
Industries, Inc. 144A 9.500%, 1/1/31(2)(5) |
255 | 272 | |
Concentrix
Corp. 6.650%, 8/2/26(2) |
260 | 262 | |
CoStar
Group, Inc. 144A 2.800%, 7/15/30(2)(5) |
448 | 368 | |
GFL
Environmental, Inc. 144A 6.750%, 1/15/31(5) |
20 | 20 | |
Global
Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(2)(5) |
360 | 314 | |
Hertz
Corp. (The) 144A 5.000%, 12/1/29(5) |
320 | 246 |
Par Value(1) | Value | ||
Industrials—continued | |||
Icahn Enterprises LP | |||
6.250%, 5/15/26(2) | $ 245 | $ 231 | |
5.250%, 5/15/27(2) | 40 | 36 | |
LBM
Acquisition LLC 144A 6.250%, 1/15/29(5) |
195 | 163 | |
Neptune
Bidco U.S., Inc. 144A 9.290%, 4/15/29(2)(5) |
165 | 153 | |
Regal
Rexnord Corp. 144A 6.400%, 4/15/33(2)(5) |
554 | 546 | |
Sempra
Global 144A 3.250%, 1/15/32(2)(5) |
534 | 423 | |
TransDigm,
Inc. 5.500%, 11/15/27(2) |
220 | 212 | |
United
Airlines Pass-Through Trust 2023-1, A 5.800%, 7/15/37(2) |
296 | 284 | |
Veralto
Corp. 144A 5.450%, 9/18/33(5) |
245 | 244 | |
VistaJet
Malta Finance plc 144A 9.500%, 6/1/28(2)(5) |
420 | 348 | |
5,383 | |||
Information Technology—0.5% | |||
Booz Allen Hamilton, Inc. | |||
144A 3.875%, 9/1/28(2)(5) | 245 | 225 | |
144A 4.000%, 7/1/29(2)(5) | 275 | 251 | |
CommScope
Technologies LLC 144A 6.000%, 6/15/25(5) |
270 | 212 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(2)(5) | 75 | 71 | |
144A 6.500%, 10/15/28(2)(5) | 115 | 104 | |
Dell
International LLC 8.100%, 7/15/36(2) |
204 | 240 | |
GTCR
W-2 Merger Sub LLC 144A 7.500%, 1/15/31(2)(5) |
236 | 240 | |
Kyndryl
Holdings, Inc. 3.150%, 10/15/31(2) |
255 | 203 |
Par Value(1) | Value | ||
Information Technology—continued | |||
Leidos,
Inc. 2.300%, 2/15/31(2) |
$ 310 | $ 248 | |
Viasat,
Inc. 144A 5.625%, 9/15/25(5) |
445 | 425 | |
2,219 | |||
Materials—1.0% | |||
ArcelorMittal
S.A. 6.800%, 11/29/32(2) |
170 | 175 | |
ASP
Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(5) |
565 | 388 | |
Bayport
Polymers LLC 144A 5.140%, 4/14/32(2)(5) |
470 | 427 | |
Cleveland-Cliffs,
Inc. 144A 6.750%, 3/15/26(2)(5) |
180 | 180 | |
Corp.
Nacional del Cobre de Chile 144A 5.950%, 1/8/34(5) |
200 | 196 | |
FMG
Resources August 2006 Pty Ltd. 144A 5.875%, 4/15/30(2)(5) |
275 | 264 | |
Illuminate
Buyer LLC 144A 9.000%, 7/1/28(5) |
234 | 220 | |
INEOS
Quattro Finance 2 plc 144A 9.625%, 3/15/29(5) |
200 | 207 | |
LSB
Industries, Inc. 144A 6.250%, 10/15/28(2)(5) |
375 | 350 | |
Mauser
Packaging Solutions Holding Co. 144A 7.875%, 8/15/26(2)(5) |
245 | 243 | |
New
Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(5) |
450 | 449 | |
Taseko
Mines Ltd. 144A 7.000%, 2/15/26(2)(5) |
345 | 323 | |
Teck
Resources Ltd. 6.125%, 10/1/35(2) |
250 | 249 | |
Trivium
Packaging Finance B.V. 144A 8.500%, 8/15/27(5) |
382 | 347 |
Par Value(1) | Value | ||
Materials—continued | |||
WR
Grace Holdings LLC 144A 5.625%, 8/15/29(5) |
$ 124 | $ 104 | |
4,122 | |||
Real Estate—0.6% | |||
Ashton
Woods USA LLC 144A 4.625%, 4/1/30(2)(5) |
500 | 417 | |
EPR
Properties 4.750%, 12/15/26(2) |
455 | 428 | |
GLP Capital LP | |||
3.250%, 1/15/32(2) | 47 | 38 | |
6.750%, 12/1/33 | 320 | 323 | |
MPT Operating Partnership LP | |||
4.625%, 8/1/29(2) | 140 | 100 | |
3.500%, 3/15/31(2) | 270 | 166 | |
Office
Properties Income Trust 4.500%, 2/1/25(2) |
490 | 437 | |
VICI Properties LP | |||
4.950%, 2/15/30(2) | 135 | 126 | |
5.125%, 5/15/32(2) | 135 | 124 | |
144A 4.625%, 6/15/25(2)(5) | 65 | 63 | |
144A 5.750%, 2/1/27(2)(5) | 190 | 187 | |
2,409 | |||
Utilities—0.9% | |||
CMS
Energy Corp. 4.750%, 6/1/50 |
570 | 492 | |
Electricite de France S.A. | |||
144A 6.250%, 5/23/33(2)(5) | 200 | 207 | |
144A 6.900%, 5/23/53(2)(5) | 200 | 206 | |
Enel
Finance International N.V. 144A 7.500%, 10/14/32(5) |
260 | 285 | |
Eskom
Holdings SOC Ltd. 144A 7.125%, 2/11/25(5) |
325 | 323 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(2)(5) | 125 | 120 | |
144A 5.875%, 4/1/29(2)(5) | 130 | 120 | |
KeySpan
Gas East Corp. 144A 5.994%, 3/6/33(5) |
340 | 334 |
Par Value(1) | Value | ||
Utilities—continued | |||
NRG
Energy, Inc. 144A 7.000%, 3/15/33(2)(5) |
$ 370 | $ 374 | |
Perusahaan
Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(5) |
485 | 465 | |
Southern
Co. (The) Series 21-A 3.750%, 9/15/51(2) |
523 | 458 | |
Sunnova
Energy Corp. 144A 5.875%, 9/1/26(2)(5) |
400 | 324 | |
Vistra
Corp. 144A 8.000% (2)(5)(7) |
190 | 186 | |
3,894 | |||
Total
Corporate Bonds and Notes (Identified Cost $70,855) |
64,639 | ||
Leveraged Loans—5.0% | |||
Aerospace—0.4% | |||
Amentum
Government Services Holdings LLC (1 month Term SOFR + 4.000%) 9.331%, 2/15/29(6) |
163 | 162 | |
Brown
Group Holding LLC (1 month Term SOFR + 2.850%) 8.198%, 6/7/28(6) |
205 | 203 | |
Dynasty Acquisition Co., Inc. | |||
2023,
Tranche B-1 (1 month Term SOFR + 4.000%) 9.348%, 8/24/28(6) |
157 | 157 | |
2023,
Tranche B-2 (1 month Term SOFR + 4.000%) 9.348%, 8/24/28(6) |
67 | 67 | |
Kestrel
Bidco, Inc. (1 month Term SOFR + 3.100%) 8.443%, 12/11/26(6) |
184 | 180 |
Par Value(1) | Value | ||
Aerospace—continued | |||
Mileage
Plus Holdings LLC (3 month Term SOFR + 5.400%) 10.798%, 6/21/27(6) |
$ 225 | $ 232 | |
Peraton
Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.198%, 2/1/28(6) |
356 | 353 | |
Transdigm,
Inc. Tranche J (1 month Term SOFR + 3.250%) 0.000%, 2/14/31(6)(12) |
30 | 30 | |
TransDigm,
Inc. Tranche I (3 month Term SOFR + 3.250%) 8.640%, 8/24/28(6) |
136 | 136 | |
1,520 | |||
Chemicals—0.2% | |||
Ineos
Finance plc 2027 (1 month Term SOFR + 3.850%) 9.198%, 11/8/27(6) |
207 | 206 | |
LSF11
A5 Holdco LLC (1 month Term SOFR + 4.350%) 9.698%, 10/15/28(6) |
174 | 173 | |
Nouryon
Finance B.V. (3 month Term SOFR + 4.100%) 9.467%, 4/3/28(6) |
165 | 164 | |
Windsor
Holdings III LLC Tranche B (1 month Term SOFR + 4.500%) 9.820%, 8/1/30(6) |
150 | 150 | |
693 | |||
Consumer Non-Durables—0.1% | |||
DS
Parent, Inc. Tranche B (6 month Term SOFR + 6.000%) 11.337%, 12/8/28(6) |
210 | 209 |
Par Value(1) | Value | ||
Consumer Non-Durables—continued | |||
Kronos
Acquisition Holdings, Inc. Tranche B-1 (3 month Term SOFR + 4.012%) 9.402%, 12/22/26(6) |
$ 363 | $ 360 | |
569 | |||
Energy—0.3% | |||
GIP
Pilot Acquisition Partners LP (3 month Term SOFR + 3.000%) 8.388%, 10/4/30(6) |
50 | 50 | |
Hamilton
Projects Acquiror LLC (1 month Term SOFR + 4.614%) 9.963%, 6/17/27(6) |
253 | 253 | |
Medallion
Midland Acquisition LLC (3 month Term SOFR + 4.012%) 9.402%, 10/18/28(6) |
179 | 179 | |
Oryx
Midstream Services Permian Basin LLC 2023 (1 month Term SOFR + 3.364%) 8.694 - 8.710%, 10/5/28(6) |
196 | 196 | |
Traverse
Midstream Partners LLC 2023, Tranche B (3 month Term SOFR + 3.850%) 9.240%, 2/16/28(6) |
379 | 379 | |
1,057 | |||
Financials—0.2% | |||
Acrisure
LLC 2023 (3 month Term SOFR + 4.500%) 9.888%, 10/18/30(6) |
115 | 114 | |
AssuredPartners, Inc. | |||
2020
(1 month Term SOFR + 3.614%) 0.000%, 2/12/27(6)(12) |
155 | 155 | |
2023
(1 month Term SOFR + 3.750%) 9.098%, 2/12/27(6) |
25 | 25 |
Par Value(1) | Value | ||
Financials—continued | |||
Asurion
LLC Tranche B-9 (1 month Term SOFR + 3.364%) 8.713%, 7/31/27(6) |
$ 213 | $ 208 | |
Blackhawk
Network Holdings, Inc. First Lien (3 month Term SOFR + 2.750%) 8.138%, 6/15/25(6) |
210 | 209 | |
Castlelake
Aviation One Designated Activity Co. 2023 (3 month Term SOFR + 3.012%) 8.421%, 10/22/27(6) |
253 | 253 | |
964 | |||
Food / Tobacco—0.3% | |||
Del
Monte Foods, Inc. (1 month Term SOFR + 4.350% - 3 month PRIME + 3.250%) 9.698% - 11.750%, 5/16/29(6) |
273 | 269 | |
Froneri
U.S., Inc. Tranche B-2 (1 month Term SOFR + 2.350%) 7.698%, 1/29/27(6) |
358 | 358 | |
Naked
Juice LLC (3 month Term SOFR + 3.350%) 8.740%, 1/24/29(6) |
288 | 269 | |
Pegasus
Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.250%) 9.630%, 7/12/29(6) |
189 | 188 | |
Shearer’s
Foods LLC First Lien (1 month Term SOFR + 3.614%) 8.963%, 9/23/27(6) |
188 | 188 | |
Triton
Water Holdings, Inc. First Lien (3 month Term SOFR + 3.512%) 8.902%, 3/31/28(6) |
179 | 176 | |
1,448 | |||
Par Value(1) | Value | ||
Forest Prod / Containers—0.1% | |||
Klockner
Pentaplast of America, Inc. Tranche B (6 month Term SOFR + 4.975%) 10.476%, 2/12/26(6) |
$ 194 | $ 178 | |
Mauser
Packaging Solutions Holding Co. (1 month Term SOFR + 4.000%) 9.320%, 8/14/26(6) |
144 | 143 | |
TricorBraun,
Inc. (1 month Term SOFR + 3.364%) 8.713%, 3/3/28(6) |
180 | 176 | |
497 | |||
Gaming / Leisure—0.4% | |||
Caesars
Entertainment, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.698%, 2/6/30(6) |
124 | 124 | |
Carnival
Corp. (1 month Term SOFR + 3.000%) 8.321%, 8/9/27(6) |
170 | 168 | |
ECL
Entertainment LLC Tranche B (3 month Term SOFR + 4.750%) 10.140%, 9/3/30(6) |
185 | 184 | |
J&J
Ventures Gaming LLC (3 month Term SOFR + 4.262%) 9.652%, 4/26/28(6) |
220 | 215 | |
Ontario
Gaming GTA Ltd. Partnership Tranche B (3 month Term SOFR + 4.250%) 9.640%, 8/1/30(6) |
75 | 75 | |
Playa
Hotels & Resorts B.V. (1 month Term SOFR + 4.250%) 9.580%, 1/5/29(6) |
194 | 195 | |
Raptor
Acquisition Corp. Tranche B (3 month Term SOFR + 4.262%) 9.658%, 11/1/26(6) |
114 | 114 |
Par Value(1) | Value | ||
Gaming / Leisure—continued | |||
Scientific
Games Holdings LP (3 month Term SOFR + 3.500%) 8.914%, 4/4/29(6) |
$ 264 | $ 262 | |
UFC
Holdings LLC Tranche B-3 (3 month Term SOFR + 3.012%) 8.399%, 4/29/26(6) |
390 | 391 | |
1,728 | |||
Health Care—0.7% | |||
Amneal
Pharmaceuticals LLC (1 month Term SOFR + 5.500%) 10.822%, 5/4/28(6) |
165 | 157 | |
Bausch
& Lomb Corp. (1 month Term SOFR + 4.000%) 9.348%, 9/14/28(6) |
120 | 117 | |
CHG
Healthcare Services, Inc. First Lien (1 month Term SOFR + 3.364%) 8.713%, 9/29/28(6) |
155 | 154 | |
Financiere
Mendel Tranche B (3 month Term SOFR + 4.250%) 9.616%, 11/12/30(6) |
65 | 65 | |
Gainwell
Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 9.490%, 10/1/27(6) |
182 | 176 | |
Hunter
Holdco 3 Ltd. First Lien (3 month Term SOFR + 4.350%) 9.740%, 8/19/28(6) |
190 | 187 | |
IVC
Acquisition Ltd. (1 month Term SOFR + 5.500%) 0.000%, 11/17/28(6)(12) |
110 | 109 | |
Packaging
Coordinators Midco, Inc. Tranche B, First Lien (3 month Term SOFR + 3.762%) 9.152%, 11/30/27(6) |
209 | 208 |
Par Value(1) | Value | ||
Health Care—continued | |||
Phoenix
Guarantor, Inc. Tranche B-1 (1 month Term SOFR + 3.364%) 8.713%, 3/5/26(6) |
$ 384 | $ 383 | |
Phoenix
Newco, Inc. First Lien (1 month Term SOFR + 3.364%) 8.713%, 11/15/28(6) |
128 | 128 | |
Sotera
Health Holdings LLC (1 month Term SOFR + 3.750%) 9.091%, 12/11/26(6) |
110 | 110 | |
Star
Parent, Inc. Tranche B (1 month Term SOFR + 4.000%) 9.386%, 9/28/30(6) |
370 | 361 | |
Sunshine
Luxembourg VII S.a.r.l. Tranche B-3 (3 month Term SOFR + 3.850%) 9.240%, 10/1/26(6) |
260 | 261 | |
Upstream
Newco, Inc. 2021 (1-3 month Term SOFR + 4.512%) 9.713% - 9.895%, 11/20/26(6) |
228 | 212 | |
Viant
Medical Holdings, Inc. First Lien (1 month Term SOFR + 3.864%) 9.213%, 7/2/25(6) |
306 | 301 | |
2,929 | |||
Housing—0.1% | |||
SRS Distribution, Inc. | |||
2021
(1 month Term SOFR + 3.614%) 8.963%, 6/2/28(6) |
166 | 164 | |
2022
(1 month Term SOFR + 3.600%) 8.948%, 6/2/28(6) |
34 | 34 | |
198 | |||
Par Value(1) | Value | ||
Information Technology—0.7% | |||
Applied Systems, Inc. | |||
2026
(3 month Term SOFR + 4.500%) 9.890%, 9/18/26(6) |
$ 169 | $ 170 | |
Second
Lien (3 month Term SOFR + 6.750%) 12.140%, 9/17/27(6) |
208 | 209 | |
Central
Parent LLC Tranche B (3 month Term SOFR + 4.000%) 9.406%, 7/6/29(6) |
378 | 378 | |
ConnectWise
LLC (1 month Term SOFR + 3.614%) 8.963%, 9/29/28(6) |
107 | 104 | |
Epicor Software Corp. | |||
Tranche
C (1 month Term SOFR + 3.364%) 8.713%, 7/30/27(6) |
192 | 193 | |
Tranche
D, First Lien (1 month Term SOFR + 3.750%) 9.098%, 7/30/27(6) |
15 | 15 | |
GTCR
W Merger Sub LLC Tranche B (1 month Term SOFR + 3.000%) 0.000%, 9/20/30(6)(12) |
100 | 100 | |
Indicor
LLC (3 month Term SOFR + 4.500%) 9.890%, 11/22/29(6) |
244 | 244 | |
Mosel
Bidco SE Tranche B (3 month Term SOFR + 4.750%) 10.136%, 9/16/30(6) |
113 | 113 | |
NCR
Atleos LLC Tranche B (1 month Term SOFR + 4.850%) 10.198%, 3/27/29(6) |
360 | 351 | |
Polaris
Newco LLC First Lien (1 month Term SOFR + 4.114%) 9.463%, 6/2/28(6) |
195 | 189 | |
Project
Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.713%, 3/10/28(6) |
252 | 250 |
Par Value(1) | Value | ||
Information Technology—continued | |||
Proofpoint,
Inc. (1 month Term SOFR + 3.364%) 8.713%, 8/31/28(6) |
$ 107 | $ 106 | |
RealPage,
Inc. First Lien (1 month Term SOFR + 3.114%) 8.463%, 4/24/28(6) |
179 | 175 | |
Sophia
LP Tranche B (1 month Term SOFR + 3.600%) 8.948%, 10/7/27(6) |
246 | 246 | |
UKG, Inc. | |||
2021,
Second Lien (3 month Term SOFR + 5.350%) 10.764%, 5/3/27(6) |
20 | 20 | |
2021-2,
First Lien (3 month Term SOFR + 3.350%) 8.764%, 5/4/26(6) |
210 | 209 | |
3,072 | |||
Manufacturing—0.3% | |||
Alliance
Laundry Systems LLC Tranche B (3 month Term SOFR + 3.600%) 8.994%, 10/8/27(6) |
173 | 172 | |
Arcline FM Holdings LLC | |||
First
Lien (3 month Term SOFR + 5.012%) 10.402%, 6/23/28(6) |
166 | 163 | |
Second
Lien (3 month Term SOFR + 8.250%) 13.902%, 6/25/29(6) |
95 | 89 | |
Chart
Industries, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.670%, 3/15/30(6) |
174 | 174 | |
CPM
Holdings, Inc. (1 month Term SOFR + 4.500%) 9.827%, 9/28/28(6) |
200 | 200 | |
Madison
IAQ LLC (1 month Term SOFR + 3.364%) 0.000%, 6/21/28(6)(12) |
170 | 168 |
Par Value(1) | Value | ||
Manufacturing—continued | |||
Safe
Fleet Holdings LLC 2022 (1 month Term SOFR + 3.850%) 9.191%, 2/23/29(6) |
$ 243 | $ 243 | |
Star
U.S. Bidco LLC (1 month Term SOFR + 4.350%) 9.698%, 3/17/27(6) |
210 | 210 | |
1,419 | |||
Media / Telecom - Broadcasting—0.1% | |||
Terrier
Media Buyer, Inc. 2021, Tranche B (3 month Term SOFR + 3.600%) 8.990%, 12/17/26(6) |
185 | 169 | |
Univision
Communications, Inc. 2021 (1 month Term SOFR + 3.364%) 8.713%, 3/15/26(6) |
353 | 353 | |
522 | |||
Media
/ Telecom - Cable/Wireless Video—0.1% |
|||
DIRECTV
Financing LLC (1-3 month Term SOFR + 5.262%) 10.463 - 10.650%, 8/2/27(6) |
319 | 313 | |
Eagle
Broadband Investments LLC (3 month Term SOFR + 3.262%) 8.652%, 11/12/27(6) |
174 | 169 | |
482 | |||
Media
/ Telecom - Diversified Media—0.1% |
|||
Century
DE Buyer LLC (3 month Term SOFR + 4.000%) 9.390%, 10/30/30(6) |
125 | 125 | |
McGraw-Hill
Education, Inc. (1 month Term SOFR + 4.864%) 10.213%, 7/28/28(6) |
216 | 212 |
Par Value(1) | Value | ||
Media
/ Telecom - Diversified Media—continued |
|||
Neptune
Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.507%, 4/11/29(6) |
$ 219 | $ 196 | |
533 | |||
Metals / Minerals—0.1% | |||
Arsenal
Aic Parent LLC Tranche B (1 month Term SOFR + 4.500%) 9.848%, 8/19/30(6) |
95 | 95 | |
Covia
Holdings Corp. (3 month Term SOFR + 4.262%) 9.676%, 7/31/26(6) |
275 | 272 | |
367 | |||
Retail—0.1% | |||
CNT
Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.926%, 11/8/27(6) |
204 | 204 | |
PetsMart
LLC (1 month Term SOFR + 3.850%) 9.198%, 2/11/28(6) |
165 | 163 | |
367 | |||
Service—0.5% | |||
AlixPartners
LLP (1 month Term SOFR + 2.864%) 8.213%, 2/4/28(6) |
50 | 50 | |
Ascend
Learning LLC (1 month Term SOFR + 3.600%) 8.948%, 12/11/28(6) |
283 | 276 | |
BrightView
Landscapes LLC Tranche B (3 month Term SOFR + 3.250%) 8.633%, 4/20/29(6) |
223 | 222 |
Par Value(1) | Value | ||
Service—continued | |||
DG
Investment Intermediate Holdings 2, Inc. 2022 (1 month Term SOFR + 4.750%) 10.098%, 3/31/28(6) |
$ 199 | $ 198 | |
DXP
Enterprises, Inc. (3 month Term SOFR + 4.850%) 10.291%, 10/15/30(6) |
130 | 130 | |
Garda
World Security Corp. Tranche B-2 (3 month Term SOFR + 4.350%) 9.746%, 10/30/26(6) |
75 | 75 | |
Grab
Holdings, Inc. (1 month Term SOFR + 4.614%) 9.963%, 1/29/26(6) |
124 | 125 | |
Kuehg
Corp. (3 month Term SOFR + 5.000%) 10.390%, 6/12/30(6) |
275 | 275 | |
NAB
Holdings LLC First Lien (3 month Term SOFR + 3.150%) 8.540%, 11/23/28(6) |
187 | 186 | |
Sedgwick
Claims Management Services, Inc. 2023 (1 month Term SOFR + 3.750%) 9.098%, 2/24/28(6) |
194 | 194 | |
St.
George’s University Scholastic Services LLC (1 month Term SOFR + 3.350%) 8.698%, 2/10/29(6) |
202 | 201 | |
The
Hertz Corp. 2023 (1 month Term SOFR + 3.750%) 9.080%, 6/30/28(6) |
103 | 102 |
Par Value(1) | Value | ||
Service—continued | |||
TMF
Sapphire Bidco B.V. Tranche B-2 (3 month Term SOFR + 5.000%) 10.414%, 5/3/28(6) |
$ 125 | $ 125 | |
Trugreen
Ltd. Partnership First Lien (1 month Term SOFR + 4.100%) 9.448%, 11/2/27(6) |
175 | 164 | |
2,323 | |||
Transportation - Automotive—0.1% | |||
American
Axle & Manufacturing, Inc. Tranche B, First Lien (1-3 month Term SOFR + 3.600%) 8.921 - 9.007%, 12/13/29(6) |
125 | 125 | |
Clarios
Global LP 2023 (1 month Term SOFR + 3.750%) 9.098%, 5/6/30(6) |
150 | 150 | |
PAI
Holdco, Inc. Tranche B (3 month Term SOFR + 4.012%) 9.395%, 10/28/27(6) |
162 | 149 | |
424 | |||
Utilities—0.1% | |||
Brookfield
WEC Holdings, Inc. (1 month Term SOFR + 2.864%) 8.213%, 8/1/25(6) |
206 | 206 |
Par Value(1) | Value | ||
Utilities—continued | |||
Generation
Bridge Northeast LLC Tranche B (1 month Term SOFR + 4.250%) 9.598%, 8/7/29(6) |
$ 84 | $ 85 | |
291 | |||
Total
Leveraged Loans (Identified Cost $21,380) |
21,403 |
Shares | ||
Preferred Stocks—0.3% | ||
Financials—0.3% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(2)(5) | 310 (13) | 282 |
JPMorgan Chase & Co. Series HH, 4.600%(2) | 285 (13) | 274 |
MetLife, Inc. Series D, 5.875%(2) | 209 (13) | 198 |
Truist Financial Corp. Series Q, 5.100%(2) | 375 (13) | 322 |
Zions Bancorp NA, 9.561% | 17,485 | 441 |
1,517 | ||
Total
Preferred Stocks (Identified Cost $1,672) |
1,517 | |
Common Stocks—105.3% | ||
Communication Services—2.2% | ||
Cellnex Telecom S.A. | 251,291 | 9,584 |
Consumer Discretionary—0.0% | ||
MYT Holding LLC Class B(8)(14) | 22,362 | 3 |
NMG Parent LLC(8)(14) | 368 | 41 |
West Marine(14) | 475 | 1 |
45 | ||
Energy—15.6% | ||
Cheniere Energy, Inc.(2) | 117,359 | 21,377 |
DT Midstream, Inc.(2) | 74,400 | 4,262 |
Enbridge, Inc.(2) | 311,790 | 10,872 |
Koninklijke Vopak NV | 170,640 | 5,851 |
Pembina Pipeline Corp. | 203,438 | 6,805 |
Shares | Value | ||
Energy—continued | |||
Targa Resources Corp.(2) | 108,479 | $ 9,812 | |
Williams Cos., Inc. (The)(2) | 216,485 | 7,965 | |
66,944 | |||
Industrials—28.8% | |||
Aena SME S.A. | 118,802 | 20,425 | |
Aeroports de Paris S.A. | 53,572 | 6,595 | |
Atlas Arteria Ltd. | 2,752,097 | 10,547 | |
Auckland International Airport Ltd. | 1,988,587 | 9,699 | |
Canadian Pacific Kansas City Ltd.(2) | 110,841 | 7,981 | |
Ferrovial SE | 236,822 | 8,187 | |
Flughafen Zurich AG Registered Shares | 44,956 | 9,513 | |
Norfolk Southern Corp.(2) | 49,263 | 10,747 | |
Transurban Group | 2,978,716 | 25,508 | |
Union Pacific Corp.(2) | 29,272 | 6,594 | |
Vinci S.A. | 63,270 | 7,734 | |
123,530 | |||
Real Estate—9.8% | |||
American Tower Corp.(2) | 125,715 | 26,247 | |
Crown Castle, Inc.(2) | 134,050 | 15,721 | |
41,968 | |||
Utilities—48.9% | |||
Ameren Corp.(2) | 125,659 | 9,750 | |
American Electric Power Co., Inc.(2) | 153,150 | 12,183 | |
APA Group | 874,456 | 4,929 | |
Atmos Energy Corp.(2) | 85,573 | 9,739 | |
CenterPoint Energy, Inc.(2) | 415,135 | 11,736 | |
CMS Energy Corp.(2) | 151,781 | 8,615 | |
DTE Energy Co.(2) | 73,909 | 7,695 | |
Edison International(2) | 131,196 | 8,789 | |
EDP - Energias de Portugal S.A.(2) | 1,566,448 | 7,480 | |
Emera, Inc. | 230,743 | 8,109 | |
Entergy Corp.(2) | 67,385 | 6,833 | |
Essential Utilities, Inc.(2) | 184,661 | 6,576 | |
Iberdrola S.A. | 645,289 | 7,969 | |
National Grid plc | 1,150,162 | 14,919 | |
NextEra Energy, Inc.(2) | 280,800 | 16,430 | |
NiSource, Inc.(2) | 306,311 | 7,854 |
Shares | Value | ||
Utilities—continued | |||
Public Service Enterprise Group, Inc.(2) | 113,159 | $ 7,064 | |
Sempra (2) | 232,451 | 16,939 | |
Severn Trent plc | 228,605 | 7,506 | |
Southern Co. (The)(2) | 177,369 | 12,590 | |
United Utilities Group plc | 364,968 | 5,027 | |
Xcel Energy, Inc.(2) | 182,381 | 11,096 | |
209,828 | |||
Total
Common Stocks (Identified Cost $458,982) |
451,899 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp., 12/29/49(8)(14) | 2,084 | 3 | |
Total
Rights (Identified Cost $2) |
3 | ||
Total
Long-Term Investments—142.7% (Identified Cost $631,442) |
612,582 | ||
TOTAL
INVESTMENTS—142.7% (Identified Cost $631,442) |
$ 612,582 | ||
Other assets and liabilities, net—(42.7)% | (183,406) | ||
NET ASSETS—100.0% | $ 429,176 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
DAC | Designated Activity Company |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
MSCI | Morgan Stanley Capital International |
NA | National Association |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | All or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $269,773. |
(3) | Security in default; no interest payments are being received. |
(4) | 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. |
(5) | 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 November 30, 2023, these securities amounted to a value of $88,058 or 20.5% of net assets. |
(6) | Variable rate security. Rate disclosed is as of November 30, 2023. 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. |
(7) | No contractual maturity date. |
(8) | 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. |
(9) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(10) | Amount is less than $500 (not in thousands). |
(11) | Security in default; interest payments are being received. |
(12) | This loan will settle after November 30, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(13) | Value shown as par value. |
(14) | Non-income producing. |
Foreign Currencies: | |
BRL | Brazilian Real |
Total
Value at November 30, 2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
U.S. Government Securities | $ 6,210 | $ — | $ 6,210 | $— | |||
Municipal Bonds | 2,112 | — | 2,112 | — | |||
Foreign Government Securities | 9,950 | — | 9,950 | — | |||
Mortgage-Backed Securities | 32,150 | — | 32,150 | — | |||
Asset-Backed Securities | 22,699 | — | 22,699 | — | |||
Corporate Bonds and Notes | 64,639 | — | 64,632 | 7 | |||
Leveraged Loans | 21,403 | — | 21,403 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,517 | 441 | 1,076 | — | |||
Common Stocks | 451,899 | 451,854 | 1 | 44 | |||
Rights | 3 | — | — | 3 | |||
Total Investments | $612,582 | $452,295 | $160,233 | $54 |
Assets | |
Investment in securities at value (Identified cost
$631,442) |
$ 612,582 |
Cash
|
2,095 |
Receivables | |
Investment securities sold
|
1,310 |
Dividends and
interest |
2,808 |
Tax reclaims
|
418 |
Prepaid Directors’
retainer |
3 |
Prepaid expenses and other assets (Note
3) |
190 |
Total
assets |
619,406 |
Liabilities | |
Due to
custodian |
— (a) |
Borrowings (Note
7) |
187,000 |
Payables | |
Investment securities
purchased |
1,496 |
Interest on borrowings (Note
7) |
984 |
Investment advisory fees (Note
3) |
343 |
Director deferred compensation plan (Note
3) |
182 |
Administration and accounting
fees |
53 |
Professional fees
|
47 |
Other accrued
expenses |
125 |
Total
liabilities |
190,230 |
Net
Assets |
$ 429,176 |
Net Assets Consist of: | |
Common stock ($0.001 par value; 500,000,000 shares
authorized) |
$ 69 |
Capital paid in on shares of beneficial
interest |
465,593 |
Total distributable earnings (accumulated
losses) |
(36,486) |
Net
Assets |
$ 429,176 |
Common Shares
Outstanding |
68,578,328 |
Net Asset Value Per
Share(b) |
$ 6.26 |
(a) | Amount is less than $500 (not in thousands). |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
Investment Income | |
Dividends
|
$ 17,579 |
Interest
|
10,301 |
Foreign taxes withheld
|
(804) |
Total investment
income |
27,076 |
Expenses | |
Investment advisory
fees |
4,642 |
Administration and accounting
fees |
716 |
Printing fees and expenses
|
274 |
Transfer agent fees and
expenses |
127 |
Directors’ fees and
expenses |
92 |
Professional fees
|
64 |
Custodian fees
|
27 |
Miscellaneous
expenses |
120 |
Total expenses before interest
expense |
6,062 |
Interest expense on borrowings (Note
7) |
11,806 |
Total expenses after interest
expense |
17,868 |
Net investment income
(loss) |
9,208 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments |
(15,240) |
Foreign currency
transactions |
(29) |
Net change in unrealized appreciation (depreciation) on: | |
Investments |
(20,952) |
Foreign currency
transactions |
23 |
Net realized and unrealized gain (loss) on
investments |
(36,198) |
Net increase (decrease) in net assets resulting from
operations |
$(26,990) |
Year
Ended November 30, 2023 |
Year
Ended November 30, 2022 | ||
Increase
(Decrease) In Net Assets From Operations |
|||
Net investment income
(loss) |
$ 9,208 | $ 9,871 | |
Net realized gain
(loss) |
(15,269) | 18,669 | |
Net change in unrealized appreciation
(depreciation) |
(20,929) | (34,350) | |
Increase (decrease) in net assets resulting from
operations |
(26,990) | (5,810) | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized
gains |
(9,660) | (24,057) | |
Return of
capital |
(50,003) | (25,365) | |
Dividends and Distributions to
Shareholders |
(59,663) | (49,422) | |
From Capital Share Transactions | |||
Net proceeds from the sale of shares during rights offering (net of expenses of $600) (Note
9) |
150 (1) | 140,617 | |
Reinvestment of distributions resulting in the issuance of common stock (0 and 443,426 shares,
respectively) |
— | 3,833 | |
Increase (decrease) in net assets from capital
transactions |
150 | 144,450 | |
Net increase (decrease) in net
assets |
(86,503) | 89,218 | |
Net Assets | |||
Beginning of
period |
515,679 | 426,461 | |
End of
period |
$429,176 | $515,679 |
(1) | Adjustment to bring estimated costs in connection with rights offering to actual. |
Increase (Decrease) in cash | |
Cash flows provided by (used for) operating activities: | |
Net increase (decrease) in net assets resulting from operations
|
$ (26,990) |
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
|
304,166 |
(Increase) Decrease in investment securities sold receivable
|
112 |
Purchases of long-term investments
|
(238,021) |
Increase (Decrease) in investment securities purchased payable
|
(374) |
Net (purchases) or sales of short-term
investments |
5,932 |
Net change in unrealized (appreciation)/depreciation on
investments |
20,952 |
Net realized (gain)/loss on investments
|
15,240 |
Amortization of premium and accretion of discounts on investments
|
(293) |
Proceeds from litigation
settlements |
578 |
(Increase) Decrease in tax reclaims receivable
|
(121) |
(Increase) Decrease in dividends and interest receivable
|
21 |
(Increase) Decrease in prepaid expenses and other
assets |
(8) |
(Increase) Decrease in prepaid Directors’
retainer |
(1) |
Increase (Decrease) in interest payable on borrowings
|
182 |
Increase (Decrease) in affiliated expenses
payable |
(64) |
Increase (Decrease) in non-affiliated expenses
payable |
(333) |
Cash provided by (used for) operating
activities |
80,978 |
Cash provided by (used for) financing activities: | |
Cash payments to reduce
borrowings |
(20,000) |
Cash distributions paid to shareholders
|
(59,663) |
Expense adjustment related to rights
offering |
150 |
Currency due to
custodian |
— (a) |
Cash provided by (used for) financing
activites |
(79,513) |
Net increase (decrease) in
cash
|
1,465 |
Cash and foreign currency at beginning of
period |
630 |
Cash and foreign currency at end of
period |
$ 2,095 |
Supplemental cash flow information: | |
Cash paid during the period for interest expense on
borrowings |
$ 11,624 |
(a) Amount is less than $500 (not in thousands). |
Year Ended November 30, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 (1) | |||||
PER SHARE DATA: | |||||||||
Net asset value, beginning of
period |
$ 7.52 | $ 8.92 | $ 9.31 | $ 10.33 | $ 11.01 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income
(loss)(2) |
0.13 | 0.19 | 0.22 | 0.25 | 0.24 | ||||
Net realized and unrealized gain
(loss) |
(0.52) | (0.37) | 0.35 | (0.11) | 0.52 | ||||
Payment from
affiliate |
— | — | — | — | — (3) | ||||
Total from investment
operations |
(0.39) | (0.18) | 0.57 | 0.14 | 0.76 | ||||
Dividends and Distributions to Shareholders: | |||||||||
Net investment
income |
(0.14) | (0.47) | (0.24) | (0.27) | (0.31) | ||||
Return of
capital |
(0.73) | (0.49) | (0.72) | (0.89) | (1.13) | ||||
Total dividends and distributions to
shareholders |
(0.87) | (0.96) | (0.96) | (1.16) | (1.44) | ||||
Fund Share Transactions (Note 9) | |||||||||
Dilutive effect on net asset value as a result of rights
offering(4) |
— (3) | (0.26) | — | — | — | ||||
Net asset value, end of
period |
$ 6.26 | $ 7.52 | $ 8.92 | $ 9.31 | $ 10.33 | ||||
Market value, end of
period(5) |
$ 5.38 | $ 6.95 | $ 9.37 | $ 8.41 | $ 10.98 | ||||
Total return, net asset
value(6) |
(3.96)% | (1.45)% | 6.36% | 3.25% | 16.67% | ||||
Total return, market
value(6) |
(10.69)% | (16.43)% (7) | 23.68% | (12.25)% | 41.67% | ||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||
Ratio of total expenses after interest expense to average net
assets(8) |
3.87% | 2.26% | 1.73% | 2.05% | 2.99% (9) | ||||
Ratio of net investment income (loss) to average net
assets |
1.99% | 2.30% | 2.34% | 2.73% | 2.20% (9) | ||||
Portfolio turnover
rate |
36% | 47% | 44% | 46% | 110% (10) | ||||
Net assets, end of period
(000’s) |
$429,176 | $515,679 | $426,461 | $441,552 | $487,899 | ||||
Borrowings, end of period
(000’s) |
$187,000 | $207,000 | $159,750 | $159,750 | $184,750 | ||||
Asset coverage, per $1,000 principal amount of
borrowings(11) |
$ 3,295 | $ 3,491 | $ 3,670 | $ 3,764 | $ 3,641 |
(1) | On November 18, 2019, Virtus Total Return Inc. (ZF) was reorganized into the Fund. The net asset values and other per share information for periods prior to the reorganization on November 18, 2019 were revised to reflect the share conversion ratio from the reorganization of 1.039518. |
(2) | Calculated using average shares outstanding. |
(3) | Amount is less than $0.005 per share. |
(4) | Shares were sold at a 5% discount from a 5-day average market price from 9/12/22 to 9/16/22. |
(5) | Closing Price – New York Stock Exchange. |
(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) | Total return on market value includes the dilutive effect of the 2022 rights offering. Without this effect, the total market return would have been (16.12%). |
(8) | Ratio of total expenses, before interest expense on borrowings, was 1.31%, 1.32%, 1.34%, 1.38% and 1.79% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019, 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) | Portfolio turnover increased due to repositioning of the portfolio related to the reorganization on November 18, 2019. |
(11) | 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’s Board of Directors has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. 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 investment adviser’s 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. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser’s Valuation Committee, and 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 |
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 instruments 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 $0.05 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 instruments, 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. | |
The Fund may invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain financial metrics. The lack of financial maintenance covenants in covenant lite loans increases the risk that the Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. | |
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 the Fund and each such other 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. | Investment 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., an indirect, wholly-owned subsidiary of Virtus, is the subadviser of the equity portion of the Fund’s portfolio. Virtus Fixed Income Advisers, LLC, an indirect, wholly-owned subsidiary of Virtus, acting through its division, Newfleet Asset Management, 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, 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 year ended November 30, 2023, the Fund incurred administration fees totaling $663 which are included in the Statement of Operations within the line item “Administration and accounting fees.” | |
D. | Directors’ Fees |
For the year ended November 30, 2023, the Fund incurred Directors’ fees totaling $86 which are included in the Statement of Operations within the line item “Directors’ fees and expenses.” | |
E. | Investments with 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 year ended November 30, 2023, the Fund did not engage in any 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 “Prepaid expenses and other assets” in the Statement of Assets and Liabilities at November 30, 2023. |
Purchases | Sales | |||||||
$203,940 | $271,119 |
Purchases | Sales | ||||||||||||||||
$34,081 | $33,047 |
Federal
Tax Cost |
Unrealized
Appreciation |
Unrealized
(Depreciation) |
Net
Unrealized Appreciation (Depreciation) |
||||||
$632,535 | $25,196 | $(45,149) | $(19,953) |
Short-Term | Long-Term | |||||||
$2,774 | $12,474 |
Post-October
Capital Loss Deferred |
Capital
Loss Deferred |
|||||||
$ 1,099 | $ 15,248 |
2023 | 2022 | |||||
Ordinary Income
|
$ 9,660 | $10,064 | ||||
Long-Term Capital Gains
|
— | 13,993 | ||||
Return of Capital
|
50,003 | 25,365 | ||||
Total
|
$59,663 | $49,422 |
Sector | Percentage
of Total Investments | |||||
Utilities | 34% |
Outstanding
Borrowings |
Interest
Rate | ||
$187,000 | 6.15% |
Qualified
Dividend Income % (for non-corporate shareholders) |
Dividend
Received Deduction % (for corporate shareholders) |
Long-Term
Capital Gain Distributions ($) | |||
100% | 76.05% | $0 |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Burke,
Donald C. YOB: 1960 Served Since: 2020, Class I 100 Portfolios |
Private investor (since 2009). Formerly, President and Chief Executive Officer, BlackRock U.S. Funds (2007 to 2009); Managing Director, BlackRock, Inc. (2006 to 2009); and Managing Director, Merrill Lynch Investment Managers (1990 to 2006). | Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since May 2023), Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II and Virtus Diversified Income & Convertible Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2014) closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Cogan,
Sarah E. YOB: 1956 Served Since: 2021, Class I 97 Portfolios |
Retired Partner, Simpson Thacher & Bartlett LLP (“STB”) (law firm) (since 2019); Director, Girl Scouts of Greater New York (since 2016); Trustee, Natural Resources Defense Council, Inc. (since 2013); and formerly, Partner, STB (1989 to 2018). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2019), PIMCO Closed-End Funds* (30 portfolios). |
DeCotis,
Deborah A. YOB: 1952 Served Since: 2021, Class I 97 Portfolios |
Director, Cadre Holdings Inc. (since 2022); Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); and Trustee, Smith College (since 2017). Formerly, Director, Watford Re (2017 to 2021); Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005 to 2015); and Trustee, Stanford University (2010 to 2015). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Diversified Income & Convertible Fund; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (8 portfolios); Trustee (since 2011), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2011), PIMCO Closed-End Funds* (30 portfolios). |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Drummond,
F. Ford YOB: 1962 Served Since: 2021, Class II 97 Portfolios |
President (since 1998), F.G. Drummond Ranches, Inc.; and Director (since 2015), Texas and Southwestern Cattle Raisers Association. Formerly, Chairman, Oklahoma Nature Conservancy (2019 to 2020); Trustee (since 2014), Frank Phillips Foundation; Trustee (since 2008), Oklahoma Nature Conservancy; Board Member (2006 to 2020) and Chairman (2016 to 2018), Oklahoma Water Resources Board; Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2014), Virtus Strategy Trust (8 portfolios); Director (since 2011), Bancfirst Corporation; and Trustee (since 2006), Virtus Investment Trust (13 portfolios). |
Harris,
Sidney E. YOB: 1949 Served Since: 2020, Class I 90 Portfolios |
Private Investor (since 2021); Dean Emeritus (since 2015), Professor (2015 to 2021 and 1997 to 2014), and Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Trustee (2013 to 2020) and Honorary Trustee (since 2020), KIPP Metro Atlanta; Director (1999 to 2019), Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Chairman (2012 to 2017), International University of the Grand Bassam Foundation; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Mallin,
John R. YOB: 1950 Served Since: 2020, Class II 90 Portfolios |
Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; and Member (2014 to 2022), Counselors of Real Estate. | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (50 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2019), 1892 Club, Inc. (non-profit); Director (2013 to 2020), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2020, Class III 97 Portfolios |
Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President Global Finance Transformation (2007 to 2009); and Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Chairperson (since 2021), Governance & Nominating Committee, Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2021), North Florida Land Trust; Director (2014 to 2019), Total System Services, Inc.; Member (2011 to 2022) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
McLoughlin,
Philip R. YOB: 1946 Served Since: 2014, Class II Chairman 100 Portfolios |
Private investor since 2010. | Trustee and Chairman (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee and Chairman (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee and Chairman (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Chairman (since 2023) and Trustee (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Chairman (since 2023), Trustee (since 2022) and Advisory Board Member (2021), Virtus Convertible & Income 2024 Target Term Fund and Virtus Convertible & Income Fund; Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (50 portfolios). |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
McNamara,
Geraldine M. YOB: 1951 Served Since: 2020, Class III 100 Portfolios |
Private investor (since 2006); and Managing Director, U.S. Trust Company of New York (1982 to 2006). | Trustee (since May 2023) and Advisory Board Member (January 2023 to May 2023), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2023), Virtus Artificial Intelligence & Technology Opportunities Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016) Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); and Trustee (since 2001), Virtus Mutual Fund Family (50 portfolios). |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Walton, R. Keith YOB: 1964 Served Since: 2004, Class III 97 Portfolios |
Senior Adviser (since 2022), Brightwood Capital LLC; Venture and Operating Partner (2020 to 2021), Plexo Capital, LLC; Venture Partner (2019 to 2021) and Senior Adviser (2018 to 2019), Plexo, LLC; and Partner (since 2006), Global Infrastructure Partners. Formerly, Managing Director (2020 to 2021), Lafayette Square Holding Company LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; and Vice President, Strategy (2013 to 2017), Arizona State University. | Trustee (since September 2023) and Advisory Board Member (2022 to September 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since May 2023) and Advisory Board Member (2022 to May 2023), Virtus Convertible & Income Fund II and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since July 2022) and Advisory Board Member (January 2022 to July 2022), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2022), Virtus Diversified Income & Convertible Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (50 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal Occupation(s) During Past 5 Years | Other Directorships Held by Director |
Zino, Brian T.
|
Retired. Various roles at J. & W. Seligman & Co. Incorporated (1982 to 2009), including President (1994 to 2009). | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2022) and Advisory Board Member (2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (50 portfolios); Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2009) and President (1994 to 2009), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth,
Length of Time Served and Number of Portfolios in Fund Complex Overseen by Director |
Principal
Occupation(s) During Past 5 Years |
Other Directorships Held by Director |
Aylward, George R.** Director and President YOB: 1964 Served Since: 2006, Class II 104 Portfolios |
Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various senior officer positions with Virtus affiliates (since 2005). | Director (since 2023), Stone Harbor Investment Funds plc (21 sub-funds), Stone Harbor Global Funds plc (27 sub-funds) and Virtus Global Funds ICAV (5 portfolios); Trustee, President and Chief Executive Officer (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee, President and Chief Executive Officer (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Member, Board of Governors of the Investment Company Institute (since 2021); Trustee and President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Chairman and Trustee (since 2015), Virtus ETF Trust II (7 portfolios); Director, President and Chief Executive Officer (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Director (since 2013), Virtus Global Funds, plc (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (50 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name
and Year of Birth |
Position(s) Held
with Fund and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Batchelar,
Peter J. YOB: 1970 |
Senior Vice President (since 2017), and Vice President (2016 to 2017). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2017) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Bradley,
W. Patrick YOB: 1972 |
Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2012 to 2013); and Chief Financial Officer and Treasurer (since 2010). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016) and various officer positions (since 2004), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2023), Stone Harbor Investment Funds plc and Stone Harbor Global Funds plc; Director (since 2019), Virtus Global Funds ICAV; Director (since 2013), Virtus Global Funds, plc; various officer positions (since 2006) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Member (since 2022), BNY Mellon Asset Servicing Client Advisory Board. |
Branigan,
Timothy YOB: 1976 |
Vice President and Fund Chief Compliance Officer (since 2022) and Assistant Vice President and Deputy Fund Chief Compliance Officer (March to May 2022). | Various officer positions (since 2019) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Chisolm,
Daphne YOB: 1969 |
Vice President, Counsel and Assistant Secretary (since 2023). | Vice President and Senior Counsel (since 2023), Virtus Investment Partners, Inc.; Attorney at Law engaged in private practice as a solo practitioner (2018 to 2023); and various officer positions (since 2023) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Fromm,
Jennifer YOB: 1973 |
Vice President, Chief Legal Officer, Counsel and Secretary (since 2020). | Vice President (since 2016) and Senior Counsel, Legal (since 2007) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Hackett,
Amy YOB: 1968 |
Vice President (since 2013) and Assistant Treasurer (since 2012). | Vice President (since 2010) and Assistant Vice President (2007 to 2010), Fund Services, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2007) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Name
and Year of Birth |
Position(s) Held
with Fund and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Krishnan,
Suneeta YOB: 1965 |
Vice President (since 2018) and Assistant Treasurer (since 2012). | Vice President (since 2017) and Assistant Treasurer (since 2007), Mutual Fund Administration, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2009) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Rahman,
Mahmood YOB: 1967 |
Assistant Vice President (since 2021). | Vice President (since 2023), Tax Director (since 2020) and Assistant Vice President, Fund Administration (2020 to 2023), Virtus Investment Partners, Inc.; Assistant Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Assistant Treasurer and Tax Director, Grantham, Mayo, Van Otterloo & Co. LLC (2007 to 2019). |
Short,
Julia R. YOB: 1972 |
Senior Vice President (since 2018). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Smirl,
Richard W. YOB: 1967 |
Executive Vice President (since 2021). | Chief Operating Officer (since 2021), Virtus Investment Partners, Inc.; Executive Vice President (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; Chief Operating Officer (2018 to 2021), Russell Investments; Executive Director (Jan. to July 2018), State of Wisconsin Investment Board; and Partner and Chief Operating Officer (2004 to 2018), William Blair Investment Management. |
Thaker,
Nikita K. YOB: 1978 |
Vice President and Controller (since 2021) and Assistant Treasurer (since 2013) | Vice President (since 2021) and Assistant Vice President (2016 to 2021), Mutual Fund Administration, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2013) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Shareholder Services | 1-866-270-7788 |
8523 | 01-24 |
Item 1. | Reports to Stockholders (cont.). |
(b) | Not applicable. |
Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) The Registrant’s Board of Directors has determined that the Registrant has at least one “audit committee financial expert” serving on its Audit Committee.
(a)(2) | As of the end of the period covered by the report, the registrant’s board of directors determined that each of Donald C. Burke, Connie D. McDaniel and Brian T. Zino is qualified to serve as an audit committee financial expert serving on its audit committee and that each is “independent,” as defined by Item 3 of Form N-CSR. |
(a)(3) | Not applicable. |
Item 4. | Principal Accountant Fees and Services. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $33,881 for 2023 and $33,050 for 2022. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $7,931 for 2023 and $4,724 for 2022. Such audit-related fees include out of pocket expenses. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $5,147 for 2023 and $4,078 for 2022. |
“Tax Fees” are those primarily associated with review of the Fund’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Fund’s financial statement, review of year-end distributions by the Fund to avoid excise tax, periodic discussion with management on tax issues affecting the Fund and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2023 and $1,500 for 2022. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Virtus Total Return Fund Inc. (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Board. As noted above, the Board must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliate Service Providers that related directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Board believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Board without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that the Chair of the Audit Committee, may provide pre-approval for such services that meet the above requirements but are not included in the general pre-approval in the event such approval is sought between regularly scheduled meetings. In any event, the Board is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $5,147 for 2023 and $10,302 for 2022. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
Item 5. | Audit Committee of Listed Registrants. |
a) The registrant has a separately designated audit committee. During the period covered by this report, the members of the audit committee were Donald C. Burke, Deborah A. DeCotis, John R. Mallin, Connie D. McDaniel and Brian T. Zino.
b) Not applicable.
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. |
The Fund has adopted a Policy Regarding Proxy Voting (the “Policy”) stating the Fund’s intention to exercise stock ownership rights with respect to portfolio securities in a manner that is reasonably anticipated to further the best economic interests of shareholders of the Fund. The Fund or its voting
delegates will endeavor to analyze and vote all proxies that are likely to have financial implications, and where appropriate, to participate in corporate governance, shareholder proposals, management communications and legal proceedings. The Fund or its voting delegates must also identify potential or actual conflicts of interest in voting proxies and must address any such conflict of interest in accordance with the Policy.
In the absence of a specific direction to the contrary from the Board, the Adviser or the subadviser that is managing the Fund is responsible for voting proxies for such fund, or for delegating such responsibility to a qualified, independent organization engaged by the Adviser or respective subadviser to vote proxies on its behalf. The applicable voting party will vote proxies in accordance with the Policy or its own policies and procedures, which must be reasonably designed to further the best economic interests of the affected fund shareholders. Because the Policy and the applicable voting party’s policies and procedures used to vote proxies for the funds both are designed to further the best economic interests of the affected fund shareholders, they are not expected to conflict with one another although the types of factors considered by the applicable voting party under its own policies and procedures may be in addition to or different from the ones listed below for the Policy.
The Policy specifies the types of factors to be considered when analyzing and voting proxies on certain issues when voting in accordance with the Policy, including, but not limited to:
• | Anti-takeover measures – the overall long-term financial performance of the target company relative to its industry competition. |
• | Corporate Governance Matters – tax and economic benefits of changes in the state of incorporation; dilution or improved accountability associated with changes in capital structure. |
• | Contested elections – the qualifications of all nominees; independence and attendance record of board and key committee members; entrenchment devices in place that may reduce accountability. |
• | Stock Option and Other Management Compensation Issues—executive pay and spending on perquisites, particularly in conjunction with sub-par performance and employee layoffs. |
• | Shareholder proposals – whether the proposal is likely to enhance or protect shareholder value; whether identified issues are more appropriately or effectively addressed by legal or regulatory changes; whether the issuer has already appropriately addressed the identified issues; whether the proposal is unduly burdensome or prescriptive; whether the issuer’s existing approach to the identified issues is comparable to industry best practice. |
The Fund and its voting delegates seek to avoid actual or perceived conflicts of interest of Fund shareholders, on the one hand, and those of the Adviser, subadviser, other voting delegate, Distributor, or any affiliated person of the Fund, on the other hand.
Depending on the type and materiality, the Board or its delegates may take the following actions, among others, in addressing any material conflicts of interest that arise with respect to voting (or directing voting delegates to vote): (i) rely on the recommendations of an established, independent third party proxy voting vendor; (ii) vote pursuant to the recommendation of the proposing delegate; (iii) abstain; (iv) where two or more delegates provide conflicting requests, vote shares in proportion to the assets under management of each proposing delegate; (v) vote shares in the same proportion as
the vote of all other shareholders of such issuer; or (vi) the Adviser may vote proxies where the subadviser has a direct conflict of interest. The Policy requires each Adviser/subadviser that is a voting delegate to notify the Chief Compliance Officer of the Fund (or, in the case of a subadviser, the Chief Compliance Officer of the Adviser) of any actual or potential conflict of interest that is identified, and provide a recommended course of action for protecting the best interests of the affected fund’s shareholders. No Adviser/subadviser or other voting delegate may waive any conflict of interest or vote any conflicted proxies without the prior written approval of the Board (or the Executive Committee thereof) or the Chief Compliance Officer of the Fund.
The Policy further imposes certain record-keeping and reporting requirements on each Adviser/subadviser or other voting delegate.
Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended September 30 will be available, no later than August 31 of each year, free of charge by calling, toll-free, 866.270.7788, or on the SEC’s Web site at www.sec.gov.
During the period of the report, any proxies for the Fund were handled by the Fund’s subadvisers, Duff & Phelps Investment Management Co. (“Duff & Phelps”) and/or Newfleet Asset Management, a division of Virtus Fixed Income Advisers, LLC (“Newfleet”). Following are summaries of their proxy voting policies.
Duff & Phelps
Duff & Phelps has adopted proxy voting guidelines (the “Guidelines”) in an effort to ensure shares are voted in the best interests of its clients and the value of the investment, and to address any real or perceived conflicts of interest in proxy voting. The Guidelines allow Duff & Phelps to utilize a qualified, non-affiliated third-party vendor to assist in the review of proxy proposals and making of voting recommendations on behalf of clients consistent with the Guidelines to address conflicts of interest or potential conflicts of interest relating to proxy proposals. Generally, where the Guidelines outline a voting position, either as for or against such proxy proposal, voting will be according to either the Guidelines or the third-party vendor’s policies. The Proxy Committee will vote the proxy according to either its determination of the client’s best interests or by client direction. In performing its analysis of how to vote on a proposal, the Proxy Committee will begin by considering the voting recommendation of the third-party vendor and will then override such vendor’s recommendation if the Proxy Committee determines that such recommendation is not in the best interest of Duff & Phelps clients. The Proxy Committee incorporates consideration of ESG issues into its evaluation of recommendations of the proxy advisory firm and the voting of proxies generally. The firm has additionally adopted proxy voting guidelines that serve as a guide to voting with regard to certain recurring proposals. The vote the Proxy Committee selects will depend on the facts and circumstances of each situation as well as requirements of applicable law.
Duff & Phelps may choose not to vote proxies in certain situations or for certain accounts, such as when:
• | it deems the cost of voting to exceed any anticipated benefit to client; |
• | a proxy is received for a security it no longer manages due to the entire position being sold; or |
• | exercising voting rights could restrict the ability of the portfolio manager to freely trade the security. |
Duff & Phelps may also not be able to vote proxies for any client account that participates in securities lending programs.
A complete copy of Duff & Phelps’ current Proxy Voting Policies, Procedures and Guidelines may be obtained by sending a written request to Duff & Phelps Investment Management Co., Attn: Compliance, 10 South Wacker Drive, 19th Floor, Chicago, Illinois 60606.
Newfleet
Although the nature of Newfleet’s portfolios is such that ballots are rarely required, Newfleet has adopted pre-determined proxy voting guidelines (the “Guidelines”) to make every effort to ensure the manner in which shares are voted is in the best interest of its clients and the value of the investment. Under the Guidelines, Newfleet sometimes delegates to a non-affiliated third party vendor the responsibility to review proxy proposals and make voting recommendations on behalf of Newfleet. Newfleet may also vote a proxy contrary to the Guidelines if it determines that such action in the best interest of its clients including the Fund.
A complete copy of Newfleet’s current Proxy Voting Policies & Procedures is available by sending a written request to Newfleet Asset Management, LLC, Attn: Compliance Department, One Financial Plaza, Hartford, CT 06103. Email requests may be sent to: james.sena@virtus.com.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
(a)(1) | Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members |
As of the date of filing this report, the Fund’s sub-advisers are Duff & Phelps Investment Management Co. (“Duff & Phelps”) and Newfleet Asset Management, LLC (“Newfleet”). The names, titles and length of service of the person or persons employed by or associated with the registrant or an investment adviser of the registrant who are primarily responsible for the day-to-day management of the registrant’s portfolio (“Portfolio Manager”) and each Portfolio Manager’s business experience during the past 5 years as of the date of filing of this report:
Duff & Phelps
Connie M. Luecke, CFA
Connie Luecke is a senior managing director and senior portfolio manager at Duff & Phelps Investment Management Co., an investment management affiliate of Virtus. She is the senior portfolio manager for the firm’s global listed infrastructure strategies and has been chief investment officer of DNP Select Income Fund Inc. (NYSE: DNP) since 2018.
She has been a portfolio manager for the Fund since 2011, as well as portfolio manager for the Virtus Duff & Phelps Global Infrastructure Fund since its inception in 2004. Prior to joining Duff & Phelps in 1992, Ms. Luecke served as a financial valuation consultant at Coopers & Lybrand, and as a research associate at Harris Associates L.P.
Ms. Luecke earned a B.S. from DePaul University and an M.B.A. from Loyola University of Chicago. She is a Chartered Financial Analyst® (CFA®) charterholder, a member of the CFA Institute, the CFA Society of Chicago, and a past president of the Utility and Telecommunications Securities Club of Chicago. She began her career in the investment industry in 1983.
Newfleet
David L. Albrycht, CFA
David Albrycht is president and chief investment officer of Newfleet, an affiliated manager of Virtus. Prior to joining Newfleet in 2011, Mr. Albrycht was executive managing director and senior portfolio manager with Goodwin Capital Advisers, a former affiliate of Virtus . He joined the Goodwin multi-sector fixed income team in 1985 as a credit analyst and has managed fixed income portfolios since 1991.
Mr. Albrycht has been a portfolio manager of the Fund and its predecessor since 2016, Virtus Newfleet Multi-Sector Short Term Bond Fund since 1993, Virtus Newfleet Multi-Sector Intermediate Bond Fund since 1994, and co-manager of Virtus Newfleet Senior Floating Rate Fund since 2008, Virtus Tactical Allocation Fund and Virtus Newfleet High Yield Fund since 2011, Virtus Newfleet Core Plus Bond Fund and Virtus Newfleet Low Duration Income Fund since 2012. He also co-manages two variable investment options and is manager of another closed-end fund, Virtus Global Multi-Sector Income Fund (NYSE: VGI). He also is a manager of four exchange-traded funds, AdvisorShares Newfleet Multi-Sector Income ETF (NYSE: MINC), Virtus Newfleet Multi-Sector Bond ETF (NFLT), Virtus Newfleet High Yield Bond ETF (BLHY), and Virtus Newfleet ABS/MBS ETF (VABS) and two offshore funds, the Virtus GF Multi-Sector Short Duration Bond Fund and Virtus GF Multi-Sector Income Fund. He is also responsible for the structuring and management of Newfleet’s CLO platform.
Mr. Albrycht earned a B.A., cum laude, from Central Connecticut State University and an M.B.A., with honors, from the University of Connecticut. He is a Chartered Financial Analyst® (CFA®) charterholder and has been working in the investment industry since 1985.
(a)(2) | Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest |
There may be certain inherent conflicts of interest that arise in connection with the portfolio managers’ management of the Fund’s investments and the investments of any other accounts they manage. Such conflicts could include the aggregation of orders for all accounts managed by a particular portfolio manager, the allocation of purchases across all such accounts, the allocation of IPOs and any soft dollar arrangements that the adviser/subadviser may have in place that could benefit the Fund and/or such other accounts. The Board of Directors has adopted policies and procedures designed to address any such conflicts of interest to ensure that all transactions are executed in the best interest of the Fund’s shareholders. Each adviser/subadviser is required to certify its compliance with these procedures on a quarterly basis. There have been no material compliance issues with respect to any of these policies and procedures during the Fund’s most recent fiscal year. Additionally, there are no material conflicts of interest between the investment strategy of the Fund and the investment strategy of other accounts managed by the portfolio managers since the portfolio managers generally manage funds and other accounts having similar investment strategies.
The following table provides information as of November 30, 2023, regarding any other accounts managed by the portfolio managers and portfolio management team members for the Fund. As noted in the table, the portfolio managers managing the Fund may also manage or be members of management teams for other mutual funds within the Virtus Fund complex or other similar accounts.
Other Accounts Managed by Portfolio Manager(s) or Management Team Member
Name of Portfolio Team Member |
Type of Accounts |
Total No. of Accounts Managed |
Total Assets (in millions) |
No. of Accounts where Advisory Fee is Based on Performance |
Total Assets in Accounts where Advisory Fee is Based on Performance |
|||||||||||||
David L. Albrycht |
Registered Investment Companies: | 17 | $ | 7,483.2 | 1 | $ | 144.9 | |||||||||||
Other Pooled Investment Vehicles: | 2 | $ | 109.5 | 0 | 0 | |||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 | ||||||||||||||
Connie M. Luecke |
Registered Investment Companies: | 2 | 4,028.2 | 0 | 0 | |||||||||||||
Other Pooled Investment Vehicles: | 2 | 244.0 | 0 | 0 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 |
(a)(3) | Compensation Structure of Portfolio Manager(s) or Management Team Members |
Virtus, along with certain of its affiliated investment management firms, including Duff & Phelps and Newfleet (collectively, “Virtus”), believes that the firm’s compensation program is adequate and competitive to attract and retain high-caliber investment professionals. Investment professionals at Virtus receive a competitive base salary, an incentive bonus opportunity, and a benefits package. Certain professionals who supervise and manage others also participate in a management incentive program reflecting their personal contribution and team performance. Certain key individuals also have the opportunity to take advantage of a long-term incentive compensation program, including potential awards of Virtus restricted stock units (“RSUs”) with multi-year vesting, subject to Virtus board of directors’ approval.
Following is a more detailed description of the compensation structure:
• | Base Salary: Each portfolio manager is paid a fixed based salary, which is designed to be competitive in light of the individual’s experience and responsibilities. Base salary is determined using compensation survey results of investment industry compensation conducted by an independent third party in evaluating competitive market compensation for its investment management professionals. |
• | Incentive Bonus: Annual incentive payments are based on targeted compensation levels, adjusted based on profitability and investment performance factors, and a subjective assessment of contribution to the team effort. The short-term incentive payment is generally paid in cash, but a portion may be payable in RSUs and mutual fund investments that appreciate or depreciate in value based on the returns of one or more mutual funds managed by the investment professional. Individual payments are assessed using comparisons of actual investment performance with specific peer group or index measures. Performance of funds managed is generally measured over one-, three-, and five-year periods and an individual manager’s participation is based on the performance of each fund/account managed. |
• | Other Benefits: Portfolio managers are also eligible to participate in broad-based plans offered generally to employees of Virtus and its affiliates, including 401(k), health, and other employee benefit plans. |
While portfolio managers compensation contains a performance component, this component is adjusted to reward investment personnel for managing within the stated framework and for not taking unnecessary risk. This approach helps ensure that investment management personnel remain focused on managing and acquiring securities that correspond to a fund’s mandate and risk profile and are discouraged from taking on more risk and unnecessary exposure to chase performance for personal gain. Virtus believes it has appropriate controls in place to handle any potential conflicts that may result from a substantial portion of portfolio manager compensation being tied to performance.
(a)(4) | Disclosure of Securities Ownership |
For the most recently completed fiscal year ended November 30, 2023, beneficial ownership of shares of the Fund by Mr. Albrycht and Ms. Luecke, are as follows. Beneficial ownership was determined in accordance with rule 16a-1(a)(2) under the Securities Exchange Act of 1934 (17 CFR 240.161-1(a)(2)).
Name of Portfolio Manager or Team Member |
Dollar ($) Range of Fund Shares Beneficially Owned |
|||
David L. Albrycht |
$ | 0 | ||
Connie M. Luecke |
$ | 50,001-100,000 |
(b) | Not applicable. |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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 directors, where those changes 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. |
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)* | ||||
George R. Aylward, President and Chief Executive Officer | ||||
(principal executive officer) |
Date February 5, 2024 |
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)* | ||||
George R. Aylward, President and Chief Executive Officer | ||||
(principal executive officer) |
Date February 5, 2024 |
By (Signature and Title)* | ||||
W. Patrick Bradley, Executive Vice President, | ||||
Chief Financial Officer, and Treasurer | ||||
(principal financial officer) |
Date February 5, 2024 |
* | Print the name and title of each signing officer under his or her signature. |
This ‘N-CSR’ Filing | Date | Other Filings | ||
---|---|---|---|---|
12/31/24 | ||||
9/30/24 | ||||
Filed on / Effective on: | 2/5/24 | |||
1/24/24 | ||||
For Period end: | 11/30/23 | NPORT-P | ||
11/1/23 | ||||
6/30/23 | N-PX | |||
4/3/23 | ||||
3/31/23 | ||||
12/21/22 | ||||
12/16/22 | ||||
11/30/22 | N-CEN, N-CSR, NPORT-P | |||
9/16/22 | ||||
3/15/22 | ||||
12/31/21 | ||||
11/30/21 | N-CEN, N-CSR, NPORT-P | |||
12/17/20 | ||||
11/30/20 | N-CEN, N-CSR, NPORT-P | |||
3/12/20 | ||||
11/30/19 | N-CEN, N-CEN/A, N-CSR | |||
11/18/19 | ||||
List all Filings |