Edgar Filing: Virtus Total Return Fund Inc.

Virtus Total Return Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04739

Virtus Total Return Fund Inc.

(Exact name of registrant as specified in charter)

101 Munson Street

Greenfield, MA 01301-9668

(Address of principal executive offices) (Zip code)

William Renahan, Esq.

Vice President, Chief Legal Officer and Secretary for Registrant

100 Pearl Street

Hartford, CT 06103-4506

(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: August 31, 2017

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. Schedule of Investments.

The Schedules of Investments are attached herewith.

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—1.8%
U.S. Treasury Note
1.875%, 2/28/22	$		2,800		$	2,825
1.625%, 2/15/26			1,740			1,680
2.250%, 8/15/27			700			708
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $5,183)						5,213

FOREIGN GOVERNMENT SECURITIES—5.7%

Argentine Republic
5.625%, 1/26/22			155			162
7.500%, 4/22/26			725			814
Series NY, 8.280%, 12/31/33			967			1,122
Bolivarian Republic of Venezuela
RegS, 8.250%, 10/13/24⁽⁴⁾			610			220
RegS, 7.650%, 4/21/25⁽⁴⁾			830			295
9.375%, 1/13/34			225			85
Dominican Republic 144A 6.875%, 1/29/26⁽³⁾			165			190
Federative Republic of Brazil
12.500%, 1/5/22			2,595	^BRL		936
8.500%, 1/5/24			1,365	^BRL		431
5.625%, 1/7/41			490			491
Kingdom of Bahrain 144A 7.000%, 10/12/28⁽³⁾			580			597
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾			265			264
Kingdom of Morocco 144A 5.500%, 12/11/42⁽³⁾			600			681
Provincia de Buenos Aires
144A, 9.125%, 3/16/24⁽³⁾			375			433
144A, 7.875%, 6/15/27⁽³⁾			275			297
Republic of Chile 5.500%, 8/5/20			240,500	^CLP		409
Republic of Colombia
4.375%, 3/21/23			1,106,000	^COP		352
9.850%, 6/28/27			1,050,000	^COP		446
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾			440			463
Republic of Ecuador 144A 9.650%, 12/13/26⁽³⁾			430			453
Republic of El Salvador 144A 6.375%, 1/18/27⁽³⁾			370			356
Republic of Ghana 144A 10.750%, 10/14/30⁽³⁾			255			330
Republic of Indonesia Series FR56, 8.375%, 9/15/26			4,365,000	^IDR		363
Republic of South Africa
Series R203, 8.250%, 9/15/17			2,665	^ZAR		205
Series R208, 6.750%, 3/31/21			4,635	^ZAR		349
4.875%, 4/14/26			200			205


		PAR VALUE			VALUE

4.300%, 10/12/28	$		610		$	587
Republic of Turkey
6.250%, 9/26/22			425			469
7.375%, 2/5/25			585			691
4.875%, 10/9/26			615			625
6.000%, 3/25/27			200			219
4.875%, 4/16/43			435			401
Russian Federation
144A, 7.850%, 3/10/18⁽³⁾			10,000	^RUB		172
Series 6216, 6.700%, 5/15/19			20,000	^RUB		340
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾⁽⁷⁾			655			654
Ukraine
144A, 7.750%, 9/1/22⁽³⁾			195			203
144A, 7.750%, 9/1/26⁽³⁾			565			579
United Mexican States
Series M, 6.500%, 6/9/22			11,394	^MXN		631
4.150%, 3/28/27			265			280
4.750%, 3/8/44			12			13
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $16,914)						16,813

MORTGAGE-BACKED SECURITIES—7.3%

Agency—2.4%
FHLMC 3.500%, 4/1/46⁽⁷⁾			265			275
FNMA
3.000%, 11/1/45			233			236
3.500%, 12/1/45⁽⁷⁾			272			282
3.500%, 1/1/46⁽⁷⁾			827			858
3.500%, 1/1/46			180			186
3.000%, 12/1/46⁽⁷⁾			744			753
3.500%, 1/1/47			254			264
3.500%, 4/1/47			640			664
3.500%, 7/1/47			179			186
3.500%, 7/1/47			1,190			1,234
4.000%, 7/1/47⁽⁷⁾			1,089			1,150
4.000%, 8/1/47			896			947

						7,035


Non-Agency—4.9%
American Homes 4 Rent Trust
14-SFR2, C 144A, 4.705%, 10/17/36⁽³⁾			390			425
15-SFR2, C 144A, 4.691%, 10/17/45⁽³⁾			340			373
15-SFR1, A 144A, 3.467%, 4/17/52⁽³⁾			172			181

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Non-Agency—(continued)
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 03-AR3, M4, (5.850% minus 1 month LIBOR) 4.290%, 6/25/33⁽²⁾	$		125	$	124
AMSR Trust
16-SFR1, C 144A, (1 month LIBOR + 2.250%) 3.478%, 11/17/33⁽²⁾⁽³⁾			245		249
16-SFR1, D 144A, (1 month LIBOR + 2.400%) 3.628%, 11/17/33⁽²⁾⁽³⁾			385		390
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾			215		223
Banc of America Funding Trust
04-D, 5A1, 3.542%, 1/25/35⁽²⁾			97		91
05-1, 1A1, 5.500%, 2/25/35			12		12
Bank of America (Merrill Lynch-Countrywide) Alternative Loan Trust 04-22CB, 1A1 6.000%, 10/25/34			118		121
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33⁽³⁾			395		406
Bayview Opportunity Master Fund III b Trust 17-RN2, A1 144A 3.475%, 4/28/32⁽²⁾⁽³⁾			135		136
Bayview Opportunity Master Fund IV a Trust
16-SPL1, B1 144A, 4.250%, 4/28/55⁽³⁾			400		414
17-SLP5, B1 144A, 4.000%, 6/28/57⁽²⁾⁽³⁾			310		327
17-SPL1, B1 144A, 4.250%, 10/28/64⁽²⁾⁽³⁾			163		170
Bayview Opportunity Master Fund IV b Trust 17-SPL3, B1 144A 4.250%, 11/28/53⁽²⁾⁽³⁾			150		157
Citigroup Commercial Mortgage Trust 16-SMPL, A 144A 2.228%, 9/10/31⁽³⁾			440		439
Citigroup Mortgage Loan Trust, Inc.
05-5, 2A3, 5.000%, 8/25/35			35		34
15-A, A1 144A, 3.500%, 6/25/58⁽²⁾⁽³⁾			114		117
Colony Starwood Homes Trust 16-2A, C 144A, (1 month LIBOR + 2.150%) 3.378%, 12/17/33⁽²⁾⁽³⁾			505		505
COLT Mortgage Loan Trust Funding LLC 17-1, A3 144A 3.074%, 5/27/47⁽²⁾⁽³⁾			88		90
Credit Suisse Commercial Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21			57		55
Credit Suisse First Boston Corp. Mortgage Pass-through Certificates. 03-AR30, 5A1 3.293%, 1/25/34⁽²⁾			157		160


		PAR VALUE		VALUE

Non-Agency—(continued)
Deephaven Residential Mortgage Trust 17-1A, A2 144A 2.928%, 12/26/46⁽²⁾⁽³⁾	$		80	$	81
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.495%, 12/15/34⁽²⁾⁽³⁾			140		143
Galton Funding Mortgage Trust 17-1, A21 144A 3.500%, 7/25/56⁽²⁾⁽³⁾			244		249
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾			40		40
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36			57		51
Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37⁽²⁾			236		236
Home Equity Mortgage Trust 05-2, M7, (1 month LIBOR + 1.680%) 2.914%, 7/25/35⁽²⁾			213		211
Jefferies Resecuritization Trust 14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾			25		25
JPMorgan Chase (Bear Stearns) Alternate Loan Trust 04-5, 3A1 3.597%, 6/25/34⁽²⁾			343		350
JPMorgan Chase Commercial Mortgage Securities Trust 07-LDP10, AM 5.464%, 1/15/49⁽²⁾			97		97
JPMorgan Chase Mortgage Trust
14-1, 1A1 144A, 4.000%, 1/25/44⁽²⁾⁽³⁾			104		108
16-1, M2 144A, 3.750%, 4/25/45⁽²⁾⁽³⁾			355		366
16-2, M2 144A, 3.750%, 12/25/45⁽²⁾⁽³⁾			377		389
16-5, A1 144A, 2.607%, 12/25/46⁽²⁾⁽³⁾			529		532
17-3, 2A2 144A, 2.500%, 8/25/47⁽²⁾⁽³⁾			225		225
MASTR Alternative Loan Trust
04-4, 6A1, 5.500%, 4/25/34			73		76
04-6, 7A1, 6.000%, 7/25/34			197		195
New Residential Mortgage Loan Trust
14-1A, A 144A, 3.750%, 1/25/54⁽²⁾⁽³⁾			152		157
16-3A, A1 144A, 3.750%, 9/25/56⁽²⁾⁽³⁾			199		207
16-4A, B1A 144A, 4.500%, 11/25/56⁽²⁾⁽³⁾			622		653
17-2A, A3 144A, 4.000%, 3/25/57⁽²⁾⁽³⁾			219		230
One Market Plaza Trust 17-1MKT, A 144A 3.614%, 2/10/32⁽³⁾			355		374
Progress Residential Trust 17-SFR1, B 144A 3.017%, 8/17/34⁽³⁾			150		152
RCO Mortgage LLC 17-1, A1 144A 3.375%, 8/25/22⁽²⁾⁽³⁾			305		305

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Non-Agency—(continued)
Resecuritization Pass-Through Trust 05-8R, A5 6.000%, 10/25/34	$		63	$	64
Residential Asset Mortgage Products, Inc. 04-SL4, A3 6.500%, 7/25/32			64		64
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35			123		123
Structured Asset Securities Corp. 03-AL1, A 144A 3.357%, 4/25/31⁽³⁾			90		89
Towd Point Mortgage Trust
15-1, A2 144A, 3.250%, 10/25/53⁽²⁾⁽³⁾			220		226
15-6, M1 144A, 3.750%, 4/25/55⁽²⁾⁽³⁾			300		312
15-5, A2 144A, 3.500%, 5/25/55⁽²⁾⁽³⁾			160		165
15-1, 1M1 144A, 3.250%, 11/25/60⁽²⁾⁽³⁾			1,065		1,064
Tricon American Homes Trust
16-SFR1, C 144A, 3.487%, 11/17/33⁽³⁾			635		646
17-SFR1, A 144A, 2.716%, 9/17/34⁽³⁾			105		105
Vericrest Opportunity Loan Trust LLC
16-NP11, A1 144A, 3.500%, 10/25/46⁽²⁾⁽³⁾			124		124
15-NPL4, A1 144A, 3.500%, 2/25/55⁽²⁾⁽³⁾			43		44
17-NPL7, A1 144A, 3.250%, 4/25/59⁽²⁾⁽³⁾			244		245
Verus Securitization Trust 17-2A, A1 144A 2.485%, 7/25/47⁽²⁾⁽³⁾			443		443
Wells Fargo Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50			185		189

					14,554
TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $21,416)					21,589

ASSET-BACKED SECURITIES—2.1%

BCC Funding XIII LLC 16-1, D 144A 4.780%, 8/20/22⁽³⁾			460		456
Carnow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾			175		176
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾			376		372
Chrysler Capital Auto Receivables Trust 16-BA, D 144A 3.510%, 9/15/23⁽³⁾			385		387
Drive Auto Receivables Trust 17-2, C 2.750%, 9/15/23			450		451
Drug Royalty III LP 1 16-1A, A 144A 3.979%, 4/15/27⁽³⁾			389		390
Exeter Automobile Receivables Trust


		PAR VALUE		VALUE

15-2A, C 144A, 3.900%, 3/15/21⁽³⁾	$		185	$	188
16-3A, B 144A, 2.840%, 8/16/21⁽³⁾			440		442
First Investors Auto Owner Trust 16-2A, C 144A 2.530%, 7/15/22⁽³⁾			760		756
Flagship Credit Auto Trust
15-1, D 144A, 5.260%, 7/15/21⁽³⁾			415		429
14-1, E 144A, 5.710%, 8/16/21⁽³⁾			150		154
HOA Funding LLC 14-1A, A2 144A 4.846%, 8/20/44⁽³⁾			423		405
Mariner Finance Issuance Trust 17-AA, A 144A 3.620%, 2/20/29⁽³⁾			260		262
Prosper Marketplace Issuance Trust 17-21A, B 144A 3.480%, 9/15/23⁽³⁾			600		604
TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47⁽³⁾			373		378
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾			104		104
VSE VOI Mortgage LLC 16-A, A 144A 2.540%, 7/20/33⁽³⁾			336		336
TOTAL ASSET-BACKED SECURITIES (Identified Cost $6,269)					6,290

CORPORATE BONDS AND NOTES—27.0%

Consumer Discretionary—3.5%
Altice Luxembourg S.A. 144A 7.625%, 2/15/25⁽³⁾			200		216
Beazer Homes USA, Inc.
5.750%, 6/15/19			70		73
6.750%, 3/15/25			250		263
Cablevision Systems Corp. 5.875%, 9/15/22			345		361
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹⁸⁾			69		90
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20			195		200
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22			675		726
CalAtlantic Group, Inc.
5.250%, 6/1/26			225		232
5.000%, 6/15/27			230		231
Charter Communications Operating LLC 4.908%, 7/23/25			385		412
Clear Channel Worldwide Holdings, Inc. Series B, 7.625%, 3/15/20			325		324

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Consumer Discretionary—(continued)
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾	$		355	$	357
Eldorado Resorts, Inc. 6.000%, 4/1/25			40		43
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24⁽³⁾			315		328
Goodyear Tire & Rubber Co. (The) 4.875%, 3/15/27			150		153
Horton (D.R.), Inc. 4.750%, 2/15/23			315		344
iHeartCommunications, Inc. 9.000%, 12/15/19			130		103
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾			520		573
Laureate Education, Inc. 144A 8.250%, 5/1/25⁽³⁾			85		92
Lear Corp. 3.800%, 9/15/27			450		451
M/I Homes, Inc. 144A 5.625%, 8/1/25⁽³⁾			295		299
McGraw-Hill Global Education Holdings LLC 144A 7.875%, 5/15/24⁽³⁾			300		287
MDC Holdings, Inc. 5.500%, 1/15/24			150		162
Meritor, Inc. 6.750%, 6/15/21			180		186
PetSmart, Inc. 144A 8.875%, 6/1/25⁽³⁾			200		166
Pinnacle Entertainment, Inc. 5.625%, 5/1/24			205		211
QVC, Inc. 5.125%, 7/2/22⁽⁷⁾			365		392
Scientific Games International, Inc.
6.625%, 5/15/21			370		383
144A, 7.000%, 1/1/22⁽³⁾			60		64
Signet UK Finance plc 4.700%, 6/15/24⁽⁷⁾			400		394
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24⁽³⁾			95		96
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾⁽⁷⁾			345		364
Toll Brothers Finance Corp. 4.875%, 11/15/25⁽⁷⁾			140		145
TRI Pointe Group, Inc. 5.875%, 6/15/24			375		398
Vista Outdoor, Inc. 5.875%, 10/1/23			370		379
Weekley Homes LLC 144A 6.625%, 8/15/25⁽³⁾			375		364
Wyndham Worldwide Corp. 4.500%, 4/1/27			265		270
Ziggo Bond Finance BV 144A 6.000%, 1/15/27⁽³⁾			200		205
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾			185		191

					10,528


Consumer Staples—1.0%
Anheuser-Busch InBev Finance, Inc. 3.650%, 2/1/26			205		214


		PAR VALUE		VALUE

Consumer Staples—(continued)
BAT Capital Corp.
144A, 3.222%, 8/15/24⁽³⁾	$		151	$	152
144A, 3.557%, 8/15/27⁽³⁾			178		181
Cumberland Farms, Inc. 144A 6.750%, 5/1/25⁽³⁾			175		188
Dole Food Co., Inc. 144A 7.250%, 6/15/25⁽³⁾			295		316
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23⁽³⁾			165		163
MARB BondCo PLC 144A 7.000%, 3/15/24⁽³⁾			315		311
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾			165		170
Post Holdings, Inc. 144A 5.000%, 8/15/26⁽³⁾			380		380
Rite Aid Corp. 144A 6.125%, 4/1/23⁽³⁾			330		325
Safeway, Inc. 7.250%, 2/1/31			250		226
Tops Holding LLC 144A 8.000%, 6/15/22⁽³⁾			300		220

					2,846


Energy—6.3%
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25⁽³⁾			358		374
Alta Mesa Holdings LP 144A 7.875%, 12/15/24⁽³⁾			245		263
American Midstream Partners LP 144A 8.500%, 12/15/21⁽³⁾			235		234
Anadarko Finance Co. Series B, 7.500%, 5/1/31			165		207
Antero Resources Corp. 5.625%, 6/1/23			265		270
Archrock Partners LP 6.000%, 10/1/22			445		430
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾			210		216
Callon Petroleum Co. 6.125%, 10/1/24			320		325
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23			420		407
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24			460		523
Chesapeake Energy Corp. 144A 8.000%, 6/15/27⁽³⁾			370		351
Compagnie Generale de Geophysique-Veritas SA 6.500%, 6/1/21⁽¹⁰⁾			200		74
Concho Resources, Inc. 5.500%, 4/1/23			130		134
Continental Resources, Inc. 4.500%, 4/15/23			185		182
Crestwood Midstream Partners LP 6.250%, 4/1/23			275		284
Denbury Resources, Inc. 5.500%, 5/1/22			160		73
Ecopetrol S.A.
5.875%, 9/18/23			145		161
5.375%, 6/26/26⁽⁷⁾			875		931
Encana Corp.

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Energy—(continued)
3.900%, 11/15/21	$		150	$	154
8.125%, 9/15/30⁽⁷⁾			220		285
Energy Transfer Equity LP 5.875%, 1/15/24			475		512
EP Energy LLC
9.375%, 5/1/20			105		77
6.375%, 6/15/23			95		54
144A, 8.000%, 11/29/24⁽³⁾			270		264
FTS International, Inc. 6.250%, 5/1/22			60		52
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25			240		257
HollyFrontier Corp. 5.875%, 4/1/26⁽⁷⁾			415		451
Kinder Morgan, Inc. 7.750%, 1/15/32			500		644
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾			625		648
Matador Resources Co. 6.875%, 4/15/23			385		400
MEG Energy Corp. 144A 6.500%, 1/15/25⁽³⁾			170		158
MPLX LP 4.875%, 12/1/24⁽⁷⁾			315		339
Nabors Industries, Inc. 5.500%, 1/15/23			440		412
Noble Holding International Ltd. 7.750%, 1/15/24			190		147
NuStar Logistics LP 5.625%, 4/28/27			185		196
Oasis Petroleum, Inc. 6.875%, 1/15/23			425		407
Occidental Petroleum Corp. 4.400%, 4/15/46			285		302
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22^(3)(10)			211		79
Parker Drilling Co. 7.500%, 8/1/20			520		447
Peabody Energy Corp.
144A, 6.000%, 3/31/22⁽³⁾			30		31
144A, 6.375%, 3/31/25⁽³⁾			135		138
Petrobras Global Finance BV
8.375%, 5/23/21			165		187
8.750%, 5/23/26			790		947
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24⁽³⁾			665		199
Petroleos Mexicanos
4.875%, 1/24/22⁽⁷⁾			330		348
6.875%, 8/4/26⁽⁷⁾			895		1,029
6.500%, 6/2/41⁽⁷⁾			330		346
Regency Energy Partners LP
5.875%, 3/1/22			145		161
5.000%, 10/1/22			120		130
Rosneft Oil Co. 144A 4.199%, 3/6/22⁽³⁾⁽⁶⁾			440		443
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾			345		346


		PAR VALUE			VALUE

Energy—(continued)
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(8)(10)(14)	$		190		$	1
SESI LLC 144A 7.750%, 9/15/24⁽³⁾			280			283
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾			500			559
State Oil Co. of the Azerbaijan Republic 6.950%, 3/18/30			345			377
Transocean, Inc.
144A, 9.000%, 7/15/23⁽³⁾			195			208
6.800%, 3/15/38			145			111
Ultra Resources, Inc.
144A, 6.875%, 4/15/22⁽³⁾			17			17
144A, 7.125%, 4/15/25⁽³⁾			85			83
Weatherford International Ltd. 144A 9.875%, 2/15/24⁽³⁾			140			143
YPF S.A.
144A, 8.500%, 3/23/21⁽³⁾			310			352
144A, 6.950%, 7/21/27⁽³⁾			385			411

						18,574


Financials—5.6%
AerCap Ireland Capital DAC 3.650%, 7/21/27			380			382
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾			600	^TRY		171
Allstate Corp. (The) 5.750%, 8/15/53⁽⁵⁾⁽⁷⁾			430			472
Ares Capital Corp.
3.625%, 1/19/22			155			157
3.500%, 2/10/23			155			155
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾			400			419
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21⁽³⁾⁽⁷⁾			500			552
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾⁽⁷⁾			505			547
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽³⁾⁽⁷⁾			280			310
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽³⁾⁽⁷⁾			410			461
Bancolombia S.A. 5.125%, 9/11/22⁽⁷⁾			360			379
Bank of America Corp. 4.200%, 8/26/24			708			746
Brighthouse Financial, Inc. 144A 3.700%, 6/22/27⁽³⁾			425			420
Brookfield Finance LLC 4.000%, 4/1/24			189			198

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Financials—(continued)
Capital One Financial Corp. 3.750%, 7/28/26	$		460	$	458
Citigroup, Inc. 3.200%, 10/21/26			530		525
Compass Bank 3.875%, 4/10/25			425		427
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾⁽⁷⁾			350		357
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾⁽⁷⁾			640		666
FS Investment Corp. 4.750%, 5/15/22⁽⁷⁾			310		324
Genworth Holdings, Inc. 4.900%, 8/15/23			110		93
GrupoSura Finance S.A. 144A 5.500%, 4/29/26⁽³⁾⁽⁷⁾			475		519
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾			380		392
ICAHN Enterprises LP 6.000%, 8/1/20			195		201
iStar, Inc.
5.000%, 7/1/19			210		213
6.000%, 4/1/22			130		134
Jefferies Group LLC 4.850%, 1/15/27			50		53
JPMorgan Chase & Co.
3.300%, 4/1/26			375		378
2.950%, 10/1/26			535		527
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾⁽⁷⁾			630		702
Leucadia National Corp. 5.500%, 10/18/23			220		237
Lincoln National Corp., (3 month LIBOR + 2.040%) 3.347%, 4/20/67^(2)(5)(7)			130		118
Morgan Stanley 3.125%, 7/27/26			230		227
Navient Corp. 6.750%, 6/25/25			245		252
OM Asset Management PLC 4.800%, 7/27/26⁽⁷⁾			315		325
Powszechna Kasa Oszczednosci Bank Polski S.A. 144A 4.630%, 9/26/22^(3)(6)(7)			235		253
Prudential Financial, Inc.
5.875%, 9/15/42⁽⁷⁾			275		304
5.625%, 6/15/43⁽⁵⁾⁽⁷⁾			165		179
Santander Holdings USA, Inc. 144A 4.400%, 7/13/27⁽³⁾			375		386
Springleaf Finance Corp. 6.125%, 5/15/22			100		105
TC Ziraat Bankasi AS 144A 5.125%, 5/3/22⁽³⁾			250		255
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽³⁾			160		162


		PAR VALUE		VALUE

Financials—(continued)
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾	$		400	$	414
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22⁽³⁾			305		312
Voya Financial, Inc. 5.650%, 5/15/53⁽⁷⁾			685		726
Wells Fargo & Co. 5.900%, 8/15/27			900		976

					16,569


Health Care—1.9%
Abbott Laboratories 3.750%, 11/30/26			460		476
Becton Dickinson & Co.
3.363%, 6/6/24			80		81
3.700%, 6/6/27			470		476
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25⁽³⁾			45		46
Community Health Systems, Inc.
6.875%, 2/1/22			180		149
6.250%, 3/31/23			75		76
Concordia International Corp. 144A 9.000%, 4/1/22⁽³⁾			120		86
DJO Finco, Inc. 144A 8.125%, 6/15/21⁽³⁾			155		147
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22^(3)(16)			195		202
Endo Dac 144A 6.000%, 7/15/23⁽³⁾⁽⁷⁾			520		434
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾			105		113
HCA, Inc. 5.375%, 2/1/25			210		222
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾			230		238
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24⁽³⁾			345		370
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾			425		416
SP Finco LLC 144A 6.750%, 7/1/25⁽³⁾			55		52
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾			280		288
Team Health Holdings, Inc. 144A 6.375%, 2/1/25⁽³⁾			70		68
Tenet Healthcare Corp.
8.125%, 4/1/22			110		115
144A, 5.125%, 5/1/25⁽³⁾			165		166
144A, 7.000%, 8/1/25⁽³⁾			235		231

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Health Care—(continued)
Teva Pharmaceutical Finance III BV 4.100%, 10/1/46	$		305	$	257
Valeant Pharmaceuticals International, Inc.
144A, 6.375%, 10/15/20⁽³⁾			240		238
144A, 7.500%, 7/15/21⁽³⁾			70		69
144A, 5.625%, 12/1/21⁽³⁾			65		60
144A, 6.500%, 3/15/22⁽³⁾			30		31
144A, 5.875%, 5/15/23⁽³⁾			305		260
144A, 7.000%, 3/15/24⁽³⁾			25		26
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25⁽³⁾			225		225

					5,618


Industrials—2.2%
Ashtead Capital, Inc.
144A, 4.125%, 8/15/25⁽³⁾			225		231
144A, 4.375%, 8/15/27⁽³⁾			240		245
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾			260		267
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾⁽⁷⁾			40		42
Carpenter Technology Corp. 4.450%, 3/1/23⁽⁷⁾			460		471
CNH Industrial N.V. 4.500%, 8/15/23			318		335
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾⁽⁷⁾			261		273
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾⁽⁷⁾			310		384
Embraer Netherlands Finance BV 5.400%, 2/1/27			120		129
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾			430		416
GATX Corp. 3.250%, 9/15/26			30		30
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22			556		573
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22⁽³⁾			175		167
JSL Europe S.A. 144A 7.750%, 7/26/24⁽³⁾			375		392
Latam Finance Ltd. 144A 6.875%, 4/11/24⁽³⁾			370		392
Masco Corp. 5.950%, 3/15/22			228		260
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22⁽³⁾			30		32
Owens Corning 3.400%, 8/15/26			255		254
Pitney Bowes, Inc. 3.875%, 5/15/22			433		440
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾			220		243
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾			160		169
TransDigm, Inc. 6.500%, 5/15/25			155		160


		PAR VALUE		VALUE

Industrials—(continued)
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22	$		512	$	555
United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22			114		119

					6,579


Information Technology—0.7%
Arrow Electronics, Inc. 3.875%, 1/12/28			365		368
Blackboard, Inc. 144A 9.750%, 10/15/21⁽³⁾			114		103
Dell International LLC
144A, 5.450%, 6/15/23⁽³⁾			55		60
144A, 8.100%, 7/15/36⁽³⁾			110		139
Rackspace Hosting, Inc. 144A 8.625%, 11/15/24⁽³⁾			445		472
Radiate Holdco LLC 144A 6.625%, 2/15/25⁽³⁾			365		361
VMware, Inc.
2.950%, 8/21/22			242		243
3.900%, 8/21/27			257		259

					2,005


Materials—2.6%
AK Steel Corp.
7.500%, 7/15/23			60		65
7.000%, 3/15/27			315		321
Aleris International, Inc. 144A 9.500%, 4/1/21⁽³⁾			132		140
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾⁽⁷⁾			400		434
ArcelorMittal 6.125%, 6/1/25			520		597
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75^(3)(5)(7)			400		464
BlueScope Steel Finance Ltd. 144A 6.500%, 5/15/21⁽³⁾			390		410
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾			315		325
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾⁽⁷⁾			225		255
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾⁽⁷⁾			300		323
Glencore Funding LLC 144A 4.000%, 3/27/27⁽³⁾			315		319
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾			500		515
Kraton Polymers LLC 144A 7.000%, 4/15/25⁽³⁾			420		452
NOVA Chemicals Corp.
144A, 4.875%, 6/1/24⁽³⁾			150		150
144A, 5.000%, 5/1/25⁽³⁾			210		209
OCP SA 144A 5.625%, 4/25/24⁽³⁾			350		378

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE				VALUE

Materials—(continued)
Owens-Brockway Glass Container, Inc. 144A 6.375%, 8/15/25⁽³⁾	$		285		$		321
Rusal Capital DAC 144A 5.125%, 2/2/22⁽³⁾			315				320
Severstal OAO Via Steel Capital S.A. 144A 3.850%, 8/27/21^(3)(6)(7)			315				320
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾⁽⁷⁾			310				333
Trinseo Materials Operating SCA 144A 5.375%, 9/1/25⁽³⁾			43				44
Vale Overseas Ltd. 5.875%, 6/10/21⁽⁷⁾			350				388
Valvoline, Inc. 144A 4.375%, 8/15/25⁽³⁾			165				166
Vedanta Resources plc 144A 6.125%, 8/9/24⁽³⁾			315				317
Venator Finance S.a.r.l. 144A 5.750%, 7/15/25⁽³⁾			75				77

							7,643


Real Estate—0.8%
EPR Properties
4.750%, 12/15/26			175				182
4.500%, 6/1/27			200				203
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾			375				386
Healthcare Trust of America Holdings LP 3.750%, 7/1/27			190				192
Hospitality Properties Trust 4.950%, 2/15/27			80				85
MPT Operating Partnership LP 5.500%, 5/1/24⁽⁷⁾			290				306
Physicians Realty LP 4.300%, 3/15/27			265				274
Select Income REIT 4.500%, 2/1/25⁽⁷⁾			345				351
Uniti Group, Inc. 144A 7.125%, 12/15/24⁽³⁾			325				302

							2,281


Telecommunication Services—1.3%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾			240				254
America Movil SAB de C.V. Series 12, 6.450%, 12/5/22			2,000	^MXN			106
AT&T, Inc.
3.400%, 8/14/24			456				460
4.250%, 3/1/27			155				161
3.900%, 8/14/27			465				470
5.250%, 3/1/37			50				53
4.800%, 6/15/44⁽⁷⁾			185				180
CenturyLink, Inc. Series Y 7.500%, 4/1/24			190				199
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾			500				480
Frontier Communications Corp. 6.250%, 9/15/21			230				196


		PAR VALUE			VALUE

Telecommunication Services—(continued)
10.500%, 9/15/22	$		370	$		333
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾			425			481
Qwest Corp. 7.250%, 9/15/25			70			78
Sprint Communications, Inc. 6.000%, 11/15/22			415			441

						3,892


Utilities—1.1%
AmeriGas Partners LP 5.500%, 5/20/25			185			187
Dynegy, Inc. 7.375%, 11/1/22⁽⁷⁾			340			352
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25⁽³⁾			200			210
Exelon Corp. 3.497%, 6/1/22			610			633
Ferrellgas Partners LP
8.625%, 6/15/20			50			45
6.750%, 6/15/23			365			346
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾			635			599
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾			505			566
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾⁽⁷⁾			69			68
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽³⁾			225			233
Vistra Operations Company LLC 144A 11.500%, 10/1/20^{(2)(3)(8)(10)(14)}			125			—⁽¹³⁾

						3,239
TOTAL CORPORATE BONDS AND NOTES (Identified Cost $79,308)						79,774

LOAN AGREEMENTS⁽²⁾—4.3%

Consumer Discretionary—1.0%
Advantage Sales & Marketing, Inc.
Tranche B-2, First Lien, (3 month LIBOR + 3.250%) 7.796%, 7/23/21			155			149
Second Lien, (3 month LIBOR + 6.500%) 4.561%, 7/25/22			227			207
Affinity Gaming LLC, (1 month LIBOR + 3.500%) 4.739%, 7/1/23			298			298
Caesars Entertainment Operating Co., Inc.
Tranche B-4, 1.500%, 10/31/17⁽¹⁸⁾			34			43
Tranche B-6, 1.500%, 3/1/20⁽¹⁸⁾			62			75

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Consumer Discretionary—(continued)
Caesars Entertainment Resort Properties LLC Tranche B, First Lien, (1 month LIBOR + 3.500%) 4.739%, 10/11/20	$		491	$	493
Caesars Growth Properties Holdings LLC 2017, First Lien, (1 month LIBOR + 3.000%) 4.239%, 5/8/21			292		293
Gateway Casinos & Entertainment Ltd. Tranche B-1, (3 month LIBOR + 3.750%) 5.046%, 2/22/23			45		45
Harbor Freight Tools USA, Inc. 2016, (1 month LIBOR + 3.250%) 4.489%, 8/18/23			200		201
Hoya Midco LLC First Lien, (3 month LIBOR + 4.000%) 5.296%, 6/30/24			50		50
Laureate Education, Inc. 2024, (1 month LIBOR + 4.500%) 5.739%, 4/26/24			258		259
Playa Resorts Holding B.V., (3 month LIBOR + 3.000%) 4.320%, 4/29/24			55		55
Scientific Games International, Inc. Tranche B-4, (3 month LIBOR + 3.250%) 0.000%, 8/14/24⁽¹⁵⁾			225		226
Seminole Tribe of Florida, Tranche B, (3 month LIBOR + 2.000%) 3.456%, 7/8/24			230		230
U.S. Farathane LLC Tranche B-3, (3 month LIBOR + 4.000%) 5.296%, 12/23/21			102		102
UFC Holdings LLC First Lien, (1 month LIBOR + 3.250%) 4.490%, 8/18/23			183		184

					2,910


Consumer Staples—0.4%
Albertson’s LLC 2017-1, Tranche B-4, (1 month LIBOR + 2.750%) 3.989%, 8/25/21			356		345
Amplify Snack Brands, Inc., (1 month LIBOR + 5.500%) 6.740%, 9/2/23			217		214
Chobani LLC First Lien, (1 month LIBOR + 4.250%) 5.489%, 10/10/23			99		99
Galleria Co. Tranche B, (1 month LIBOR + 3.000%) 4.250%, 9/29/23			49		49
JBS USA Lux S.A., (3 month LIBOR + 2.500%) 3.781%, 10/30/22			70		69
Parfums Holdings Co., Inc. First Lien, (3 month LIBOR + 4.750%) 6.046%, 6/30/24			140		141


		PAR VALUE		VALUE

Consumer Staples—(continued)
TKC Holdings, Inc. First Lien, (1 month LIBOR + 4.250%) 5.489%, 2/1/23	$		175	$	175

					1,092


Energy—0.3%
California Resources Corp., (1 month LIBOR + 10.375%) 11.603%, 12/31/21			95		100
Chesapeake Energy Corp. Tranche A, (3 month LIBOR + 7.500%) 8.814%, 8/23/21			29		31
Contura Energy, Inc., (2 month LIBOR + 5.000%) 6.260%, 3/18/24			224		218
Jonah Energy LLC Second Lien, (1 month LIBOR + 6.500%) 7.739%, 5/12/21			109		107
Peabody Energy Corp. 2017, (1 month LIBOR + 4.500%) 5.739%, 3/31/22			109		110
Seadrill Operating LP, (3 month LIBOR + 3.000%) 4.296%, 2/21/21			353		227
Ultra Resources, Inc., (3 month LIBOR + 3.000%) 4.309%, 4/12/24			160		160

					953


Financials—0.2%
Asurion LLC Tranche B-2, Second Lien, (1 month LIBOR + 6.000%) 7.239%, 8/4/25			356		363
Focus Financial Partners LLC First Lien, (3 month LIBOR + 3.250%) 4.549%, 7/3/24			45		46
Walter Investment Management Corp. Tranche B, (1 month LIBOR + 3.750%) 4.989%, 12/18/20			393		362

					771


Health Care—0.3%
21st Century Oncology Holdings, Inc. Tranche B, (3 month LIBOR + 6.125%) 7.425%, 4/30/22⁽¹¹⁾			32		30
American Renal Associates, Inc. Tranche B, (1 month LIBOR + 3.250%) 4.489%, 6/22/24			17		16
Change Healthcare Holdings, Inc., (1 month LIBOR + 2.750%) 3.989%, 3/1/24			110		110
Envision Healthcare Corp., (3 month LIBOR + 3.000%) 4.300%, 12/1/23			43		43
HLF Financing S.a.r.l. Senior Lien, (1 month LIBOR + 5.500%) 6.739%, 2/15/23			93		94

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE		VALUE

Health Care—(continued)
lasis Healthcare LLC Tranche B-3, (3 month LIBOR + 4.000%) 5.296%, 2/17/21	$		15	$	15
MMM Holdings, Inc., (3 month LIBOR + 8.750%) 10.250%, 6/30/19			32		31
MSO of Puerto Rico, Inc., (3 month LIBOR + 8.750%) 10.250%, 6/30/19			23		23
NVA Holdings, Inc. Second Lien, (3 month LIBOR + 7.000%) 8.296%, 8/14/22			307		309
U.S. Renal Care, Inc. First Lien, (3 month LIBOR + 4.250%) 5.546%, 12/30/22			137		134

					805


Industrials—0.7%
84 Lumber Co., (1 month LIBOR + 5.750%) 6.984%, 10/25/23			494		499
Accudyne Industries LLC, (2 month LIBOR + 3.750%) 5.013%, 8/18/24			55		55
Hayward Industries Inc. First Lien, (3 month LIBOR + 3.500%) 4.731%, 8/5/24			40		40
Husky Injection Molding Systems Ltd., (1 month LIBOR + 3.250%) 4.489%, 6/30/21			75		75
Navistar, Inc. Tranche B, (1 month LIBOR + 4.000%) 5.240%, 8/7/20			307		309
PAE Holding Corp. First Lien, (1 month LIBOR + 5.500%) 6.739%, 10/20/22			168		168
Sedgwick Claims Management Services, Inc. Second Lien, (3 month LIBOR + 5.750%) 7.067%, 2/28/22			430		431
TransDigm, Inc. Tranche, (2 month LIBOR + 3.000%) 0.000%, 6/9/23⁽¹⁵⁾			385		385

					1,962


Information Technology—0.5%
Applied Systems, Inc. Second Lien, (3 month LIBOR + 6.500%) 7.796%, 1/24/22			55		56
Blackboard, Inc. Tranche B-4, First Lien, (3 month LIBOR + 5.000%) 6.304%, 6/30/21			178		175
Everi Payments, Inc. Tranche B, (1 month LIBOR + 4.500%) 5.739%, 5/9/24			110		111
Kronos, Inc. Second Lien, (3 month LIBOR + 8.250%) 9.561%, 11/1/24			126		130
NAB Holdings LLC, (3 month LIBOR + 3.500%) 4.799%, 7/1/24			125		126


		PAR VALUE		VALUE

Information Technology—(continued)
Presidio LLC Tranche B, (3 month LIBOR + 3.250%) 4.549%, 2/2/22	$		283	$	284
Sorenson Communications LLC First Lien, (3 month LIBOR + 5.750%) 8.000%, 4/30/20			35		35
Sungard Availability Services Capital, Inc. 2021, Tranche B, (1 month LIBOR + 7.000%) 8.239%, 9/29/21⁽¹⁹⁾			260		247
Veritas US, Inc. Tranche B, (3 month LIBOR + 4.500%) 5.796%, 1/27/23			297		299

					1,463


Materials—0.5%
Anchor Glass Container Corp.
July 2017, First Lien, (1 month LIBOR + 2.750%) 4.022%, 12/7/23			120		120
Second Lien, (1 month LIBOR + 7.750%) 8.981%, 12/7/24			129		131
CPG International LLC, (3 month LIBOR + 3.750%) 5.046%, 5/5/24			224		224
CPI Acquisition, Inc. First Lien, (3 month LIBOR + 4.500%) 5.962%, 8/17/22			492		320
Ineos U.S. Finance LLC 2022, (2 month LIBOR + 2.750%) 4.007%, 3/31/22			11		11
KMG Chemicals, Inc., (1 month LIBOR + 4.250%) 5.489%, 6/15/24			59		59
MacDermid, Inc. Tranche B-5, (1 month LIBOR + 3.500%) 4.739%, 6/7/20			99		100
New Arclin U.S. Holdings Corp. First Lien, (3 month LIBOR + 4.250%) 5.670%, 2/14/24			130		131
Omnova Solutions, Inc. Tranche B-2, (1 month LIBOR + 4.250%) 5.489%, 8/25/23⁽¹⁹⁾			384		387
PQ Corp. Tranche B-1, (3 month LIBOR + 3.250%) 4.562%, 11/4/22			28		28

					1,511


Real Estate—0.0%
Capital Automotive LP Tranche B, Second Lien, (1 month LIBOR + 6.000%) 7.240%, 3/24/25			139		140


Telecommunication Services—0.2%
Securus Technologies Holdings, Inc.
(3 month LIBOR + 4.500%) 0.000%, 6/20/24⁽¹⁵⁾			310		313

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


		PAR VALUE			VALUE

Telecommunication Services—(continued)
Second Lien, (1 month LIBOR + 8.250%) 0.000%, 6/20/25⁽¹⁵⁾	$		175		$	175

						488


Utilities—0.2%
APLP Holdings LP, (1 month LIBOR + 4.250%) 5.489%, 4/13/23			134			136
Energy Future Intermediate Holding Co. LLC, (1 month LIBOR + 3.000%) 4.234%, 6/30/18			160			160
Helix Gen Funding LLC, (3 month LIBOR + 3.750%) 4.960%, 6/3/24			10			10
Talen Energy Supply LLC, (1 month LIBOR + 4.000%) 5.239%, 4/15/24			179			176
Vistra Operations Company LLC
Tranche C, (1 month LIBOR + 2.750%) 3.982%, 8/4/23			42			42
(1 month LIBOR + 2.750%) 3.985%, 8/4/23			186			185

						709
TOTAL LOAN AGREEMENTS (Identified Cost $12,920)						12,804

		SHARES

PREFERRED STOCKS—1.1%

Financials—0.9%
Citigroup, Inc. Series J, 7.125%			21,800			642
JPMorgan Chase & Co. Series Z, 5.300%			415	⁽¹²⁾		429
KeyCorp Series D, 5.000%			95	⁽¹²⁾		98
M&T Bank Corp. Series F, 5.125%⁽⁷⁾			175	⁽¹²⁾		184
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽⁷⁾			305	⁽¹²⁾		313
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽⁷⁾			395	⁽¹²⁾		413
Zions Bancorp 6.950%			17,485			524

						2,603


Industrials—0.2%
General Electric Co. Series D, 5.000%⁽⁷⁾			657	⁽¹²⁾		694


	SHARES			VALUE


TOTAL PREFERRED STOCKS (Identified Cost $3,189)					3,297


COMMON STOCKS—82.8%

Energy—14.7%
Antero Midstream GP LP		97,170	$		1,852
Cheniere Energy, Inc.⁽⁹⁾		63,520			2,718
Enbridge, Inc.		175,754			7,028
Frontera Energy Corp.⁽⁹⁾		837			23
Kinder Morgan, Inc.		417,286			8,066
ONEOK, Inc.		44,245			2,396
Pembina Pipeline Corp.		106,615			3,437
Tallgrass Energy GP LP		84,660			2,276
Targa Resources Corp.		47,710			2,127
TransCanada Corp.		171,268			8,700
Williams Cos., Inc. (The)		159,499			4,742

					43,365


Industrials—26.0%
Aena SA		33,589			6,560
Aeroports de Paris		28,410			5,068
Atlantia SpA		451,319			14,506
Auckland International Airport Ltd.		1,111,941			5,421
Canadian National Railway Co.		63,935			5,178
CSX Corp.		119,585			6,003
East Japan Railway Co.		25,475			2,337
Ferrovial SA		129,333			2,948
Flughafen Zuerich AG Registered Shares		19,209			4,707
Fraport AG Frankfurt Airport Services Worldwide		27,630			2,727
Norfolk Southern Corp.		22,690			2,735
Transurban Group		1,614,351			15,605
Vinci SA		33,236			3,060

					76,855


Real Estate—6.3%
American Tower Corp.		73,195			10,836
Crown Castle International Corp.		71,005			7,700

					18,536


Telecommunication Services—2.2%
Cellnex Telecom SA		164,435			3,673
TELUS Corp.		82,357			2,982

					6,655

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


	SHARES		VALUE
Utilities—33.6%
ALLETE, Inc.		30,720		2,376
American Electric Power Co., Inc.		90,635		6,894
American Water Works Co., Inc.		47,740		3,862
Aqua America, Inc.		68,440		2,286
Atmos Energy Corp.		48,410		4,262
Black Hills Corp.		44,800		3,153
CenterPoint Energy, Inc.		64,235		1,903
CMS Energy Corp.		65,075		3,159
Dominion Energy, Inc.		94,018		7,406
DTE Energy Co.		47,090		5,289
Edison International		39,880		3,198
Emera, Inc.		72,030		2,766
Engie SA		159,525		2,663
Fortis, Inc.		71,735		2,625
Iberdrola SA		340,683		2,783
National Grid plc		400,232		5,044
NextEra Energy, Inc.		78,850		11,868
NiSource, Inc.		138,160		3,712
ONE Gas, Inc.		26,115		1,965
PG&E Corp.		90,085		6,340
Sempra Energy		66,660		7,861
Spire, Inc.		28,555		2,184
Vectren Corp.		43,550		2,857
Vistra Energy Corp.		2,084		37
Xcel Energy, Inc.		59,885		2,964

				99,457

TOTAL COMMON STOCKS (Identified Cost $218,617)				244,868
TOTAL PURCHASED OPTIONS—0.1%

(See open purchased options schedule)

(Premiums Paid $513)				164
	SHARES
RIGHTS—0.0%

Vistra Energy Corp.^(8)(19)		2,084		2
TOTAL RIGHTS (Identified Cost $2)				2



TOTAL INVESTMENTS BEFORE WRITTEN OPTIONS—132.2% (Identified Cost $364,331)	$	390,814	^(1)(17)

TOTAL WRITTEN OPTIONS—(0.2)%

(See open written options schedule)

(Premiums Received $1,061)		(575	)⁽¹⁾

TOTAL INVESTMENTS NET OF WRITTEN OPTIONS—132.0% (Identified Cost $363,270)		390,239

Other assets and liabilities, net—(32.0)%		(94,513)

NET ASSETS—100.0%	$	295,726


Abbreviations:
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at August 31, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

Variable rate security. Rate disclosed is as of August 31, 2017. For loan agreements, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2017, these securities amounted to a value of $60,883 or 20.6% of net assets.

⁽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⁾	Interest payments may be deferred.

⁽⁶⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁷⁾	All or a portion of the security is segregated as collateral for written options.

⁽⁸⁾	Illiquid security.

⁽⁹⁾	Non-income producing.

⁽¹⁰⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽¹¹⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

⁽¹²⁾	Value shown as par value.

⁽¹³⁾	Amount is less than $500.

⁽¹⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.

⁽¹⁵⁾	This loan will settle after August 31, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)

⁽¹⁶⁾	100% of the income received was in cash.

⁽¹⁷⁾	All or a portion of the portfolio segregated as collateral for borrowings.

⁽¹⁸⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹⁹⁾	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 at the end of the Schedule of Investments.


Foreign Currencies:
BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
RUB		Russian Ruble
TRY		Turkish Lira
ZAR		South African Rand

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited)

AUGUST 31, 2017

($ reported in thousands)


Open Purchased Options
Description	# of Contracts		Notional		Exercise Price		Expiration Date		Value
S&P 500 ^® Index		1,022	$	260,610	$	2,550		9/1/2017	$	5
S&P 500 ^® Index		793		202,215		2,550		9/6/2017		4
S&P 500 ^® Index		796		199,000		2,500		9/8/2017		8
S&P 500 ^® Index		796		202,980		2,550		9/13/2017		14
S&P 500 ^® Index		1,022		233,016		2,280		9/1/2017		5
S&P 500 ^® Index		793		184,373		2,325		9/6/2017		16
S&P 500 ^® Index		796		185,070		2,325		9/8/2017		32
S&P 500 ^® Index		796		185,468		2,330		9/13/2017		80

Total Purchased Options									$	164

Open Written Options
Description	# of Contracts		Notional		Exercise Price		Expiration Date		Value
S&P 500 ^® Index		767	$	195,585	$	2,550		9/1/2017	$	(14)
S&P 500 ^® Index		793		198,250		2,500		9/6/2017		(51)
S&P 500 ^® Index		796		199,000		2,500		9/8/2017		(90)
S&P 500 ^® Index		796		199,000		2,500		9/13/2017		(203)
S&P 500 ^® Index		767		178,711		2,330		9/1/2017		(4)
S&P 500 ^® Index		793		188,338		2,375		9/6/2017		(31)
S&P 500 ^® Index		796		189,050		2,375		9/8/2017		(56)
S&P 500 ^® Index		796		189,448		2,380		9/13/2017		(126)

Total Written Options									$	(575)

See Notes to Schedules of Investments

VIRTUS TOTAL RETURN FUND INC.

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

AUGUST 31, 2017

($ reported in thousands)


Country Weightings †
United States			60%
Canada			9
Australia			4
Italy			4
Spain			4
France			3
United Kingdom			2
Other			14
Total			100%

† % of total investments net of written options as of August 31, 2017

See Notes to Schedules of Investments

The following table provides a summary of inputs used to value the Fund’s investments as of August 31, 2017 (See Security Valuation Note 2A in the Notes to Financial Statements):


	Total Value at August 31, 2017		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	6,290	$	—	$	6,290		$ —
Corporate Bonds And Notes		79,774		—		79,773		1
Foreign Government Securities		16,813		—		16,813		—
Loan Agreements		12,804		—		12,170		634
Mortgage-Backed Securities		21,589		—		21,589		—
U.S. Government Securities		5,213		—		5,213		—
Equity Securities:
Common Stocks		244,868		244,868		—		—
Preferred Stocks		3,297		1,165		2,132		—
Purchased Options		164		164		—		—
Rights		2		—		—		2
Total Investments before Written Options	$	390,814	$	246,197	$	143,980	$	637
Written Options	$	(575)	$	(575)	$	—	$	—
Total Investments Net of Written Options	$	390,239	$	245,622	$	143,980	$	637

There were no transfers between Level 1 and Level 2 related to securities held as of August 31, 2017.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


				Corporate			Loan

Investments in Securities	Total			Bonds and Notes			Agreements			Rights

Balance as of November 30, 2016:	$	203		$	200		$	1		$ 2
Accrued discount/(premium)		-	^(d)		-	^(d)		-	^(d)	-
Realized gain (loss)		(63)			-	^(d)		(63)		-
Change in unrealized appreciation (depreciation)		20			(35)			53		2
Purchases		292			36			256		-
Sales^(b)		(202)			(200)			-		(2)
Transfers into Level 3^(a)(c)		387			-			387		-
Transfers from Level 3^(a)(c)		-			-			-		-

Balance as of August 31, 2017		$637		$	1^(e)		$	634		$2

^(a)“Transfers into and/or from” represent the ending value as of August 31, 2017, for any investment security where a change in the pricing level occurred from the beginning to the end of the period.

^(b) Includes paydowns on securities.

^(c) The transfers are due to increase and/or (decrease) in trading activities at period end.

^(d) Amount is less than $500.

^(e) Includes internally fair valued securities.

Some of the Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing informationwithout adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of Level 3 investments.

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS

AUGUST 31, 2017 (Unaudited)

NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES

The significant accounting policies consistently followed by the Fund in the preparation of its financial statements are summarized below and for derivatives, included in Note 3 below. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and those differences could be significant.

A. SECURITY VALUATION

Security valuation procedures for the Fund, which include nightly price variance, as well as back-testing items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Directors of the Fund (the “Board”, or the “Directors”). All internally fair valued securities are approved by a valuation committee appointed by the Board (the “Valuation Committee”). The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities, referred to below, are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Fair valuations are reviewed by the Board at least quarterly.

The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers between levels at the end of the reporting period.

●

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

●

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

●

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

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

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the

hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS

AUGUST 31, 2017 (Unaudited)

In such cases the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, exchange-traded funds and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer-supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation, and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency exchange contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

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

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

NOTE 2 — DERIVATIVE FINANCIAL INSTRUMENTS

Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why the Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect the Fund’s results of operations and financial position. Summarized below is a specific type of derivative instrument used by the Fund.

Options contracts

An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Fund pursues an option income strategy whereby it purchases and sells out-of-the money puts and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS

AUGUST 31, 2017 (Unaudited)

The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value,” and written options are reported as a liability within “Written options at value” in the Statement of Assets and Liabilities. Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) on written options”. If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statement of Operations.

The risk in writing covered put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from theoptions contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed-upon price. The Fund pursues an option income strategy whereby it purchases and sells out-of-the-money puts and calls, creating an options spread designed to generate a consistent level of option cash flow which should result in additional yield. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives.

When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option.

Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statement of Assets and Liabilities. Options written are reported as a liability within “Written options outstanding at value”. Changes in value of the purchased option is included in “Net change in unrealized appreciation (depreciation) on investments” in the Statement of Operations. Changes in value of written options is included in “Net change in unrealized appreciation (depreciation) on written options”.

If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) on written options” in the Statement of Operations. The risk in writing covered call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS

AUGUST 31, 2017 (Unaudited)

The risk in writing covered put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are normally subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. However, the Fund may limit its risk of loss when writing an option by purchasing an option similar to the one that is sold, except for the fact it is further “out of the money”.

The Fund invested in derivative instruments during the fiscal period in the form of writing put/call options and buying put/call options on the S&P 500^® Index. The primary risk associated with these derivative instruments is equity risk.

NOTE 3 — FEDERAL INCOME TAX INFORMATION

($ reported in thousands)

At August 31, 2017, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the Fund were as follows:


	Federal Tax Cost	Unrealized Appreciation	Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
Investments (before written options)	$364,198	$34,880	$(8,264)	$26,616
Written Options	(1,061)	670	(184)	486

The differences between book basis cost and tax basis cost were attributable primarily to the tax deferral of losses on wash sales.

NOTE 4 — ILLIQUID AND RESTRICTED SECURITIES

($ reported in thousands)

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of the Fund’s Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.

Restricted securities are illiquid securities, as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.

The Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

VIRTUS TOTAL RETURN FUND INC.

NOTES TO SCHEDULE OF INVESTMENTS

AUGUST 31, 2017 (Unaudited)

The Fund held securities considered to be illiquid at August 31, 2017, with an aggregate value of $3 representing 0.0% of the Fund’s net assets.

At August 31, 2017, the Fund did not hold any securities that are both illiquid and restricted.

NOTE 5 — REGULATORY MATTERS AND LITIGATION

From time to time, the Fund, the Fund’s Adviser and/or Subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Fund’s Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.

NOTE 6 — SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the Schedule of Investments was filed, and has determined that there are no subsequent events requiring recognition or disclosure in these Notes to Schedule of Investments.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders

Item 2. Controls and Procedures.

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Virtus Total Return Fund Inc.

By (Signature and Title)* /s/ George R. Aylward

George R. Aylward, President

(principal executive officer)

Date 10/26/2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ George R. Aylward

George R. Aylward, President

(principal executive officer)

Date 10/26/2017

By (Signature and Title)* /s/ W. Patrick Bradley

W. Patrick Bradley, Executive Vice President,

Chief Financial Officer, and Treasurer

(principal financial officer)

Date 10/26/2017

^* Print the name and title of each signing officer under his or her signature.