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 811-05620
The Zweig Total Return Fund, Inc.
(Exact name of registrant as specified in charter)
900 Third Ave, 31st Floor
New York, NY 10022-4728
(Address of principal executive offices) (Zip code)
Kevin J. Carr, Esq.
Chief Legal Officer and Secretary for John H. Beers, Esq.
Registrant Vice President and Counsel
Phoenix Life Insurance Company Phoenix Life Insurance Company
One American Row One American Row
Hartford, CT 06103-2899 Hartford, CT 06103-2899
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-272-2700
Date of fiscal year end: December 31
Date of reporting period: March 31, 2008
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 ((S)(S) 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, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. (S) 3507.
Item 1. Schedule of Investments.
The Schedule of Investments is attached herewith.
THE ZWEIG TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT
March 31, 2008
(Unaudited)
Par
(000's) Value
--------- ------------
INVESTMENTS
U.S. GOVERNMENT SECURITIES 27.36%
U.S. TREASURY BONDS -- 19.69%
U.S. Treasury Bond 9.25%, 2/15/16................. $ 20,000 $ 28,525,000
U.S. Treasury Bond 7.50%, 11/15/16................ 20,000 26,125,000
U.S. Treasury Bond 8.75%, 5/15/17................. 22,000 30,997,648
U.S. Treasury Bond 8.875%, 2/15/19................ 15,000 21,806,250
------------
107,453,898
------------
U.S. TREASURY NOTES -- 7.67%
U.S. Treasury Note 4%, 11/15/12/(e)/.............. 18,500 19,865,818
U.S. Treasury Note 4.50%, 2/15/16................. 20,000 22,015,620
------------
41,881,438
------------
Total U.S. Government Securities (Identified Cost
$136,701,970)...................................... 149,335,336
------------
AGENCY NON-MORTGAGE-BACKED SECURITIES 4.87%
FNMA 3.15%, 5/28/08............................... 26,570 26,599,918
------------
Total Agency Non-Mortgage-Backed
Securities (Identified Cost $26,574,297)........... 26,599,918
------------
Number of
Shares
---------
DOMESTIC COMMON STOCKS 38.19%
CONSUMER DISCRETIONARY -- 2.59%
McDonald's Corp................................... 118,000 6,580,860
NIKE, Inc. Class B................................ 82,000 5,576,000
Under Armour, Inc. Class A/(b)(d)/................ 54,000 1,973,700
------------
14,130,560
------------
CONSUMER STAPLES -- 3.94%
Altria Group, Inc................................. 87,000 1,931,400
Bunge Ltd......................................... 51,000 4,430,880
Costco Wholesale Corp............................. 71,000 4,612,870
PepsiCo, Inc...................................... 85,000 6,137,000
Philip Morris International Inc/(b)/.............. 87,000 4,400,460
------------
21,512,610
------------
See notes to schedule of investments and securities sold short
1
Number of
Shares Value
--------- -----------
ENERGY -- 6.29%
Chesapeake Energy Corp...................... 94,000 $ 4,338,100
ConocoPhillips.............................. 98,000 7,468,580
Halliburton Co.............................. 153,000 6,017,490
Massey Energy Co............................ 101,000 3,686,500
Occidental Petroleum Corp................... 74,000 5,414,580
St. Mary Land & Exploration Co.............. 109,000 4,196,500
Valero Energy Corp.......................... 65,000 3,192,150
-----------
34,313,900
-----------
FINANCIALS -- 6.06%
Allstate Corp. (The)........................ 118,000 5,671,080
Goldman Sachs Group, Inc. (The)............. 25,000 4,134,750
Hudson City Bancorp, Inc.................... 376,000 6,647,680
Reinsurance Group of America, Inc........... 83,000 4,518,520
Wells Fargo & Co............................ 219,000 6,372,900
Wilmington Trust Corp....................... 184,000 5,722,400
-----------
33,067,330
-----------
HEALTH CARE -- 2.66%
Bristol-Myers Squibb Co..................... 90,000 1,917,000
Gilead Sciences, Inc./(b)/.................. 86,000 4,431,580
Merck & Co., Inc............................ 141,000 5,350,950
UnitedHealth Group, Inc..................... 83,000 2,851,880
-----------
14,551,410
-----------
INDUSTRIALS -- 4.85%
Boeing Co. (The)............................ 61,000 4,536,570
Caterpillar, Inc............................ 75,000 5,871,750
Continental Airlines, Inc. Class B/(b)/..... 141,000 2,711,430
Foster Wheeler Ltd./(b)/.................... 64,000 3,623,680
L-3 Communications Holdings, Inc............ 43,000 4,701,620
Union Pacific Corp.......................... 40,000 5,015,200
-----------
26,460,250
-----------
INFORMATION TECHNOLOGY -- 6.37%
Ciena Corp./(b)/............................ 121,000 3,730,430
Cisco Systems, Inc.......................... 160,000 3,854,400
Corning, Inc................................ 192,000 4,615,680
EMC Corp./(b)/.............................. 208,000 2,982,720
Hewlett-Packard Co.......................... 98,000 4,474,680
International Business Machines Corp........ 51,000 5,872,140
Microsoft Corp.............................. 143,000 4,058,340
QUALCOMM, Inc............................... 127,000 5,207,000
-----------
34,795,390
-----------
See notes to schedule of investments and securities sold short
2
Number of
Shares Value
--------- ------------
MATERIALS -- 3.23%
Alcoa, Inc........................................ 151,000 $ 5,445,060
Freeport-McMoRan Copper & Gold, Inc.
(Indonesia)/(c)/................................ 66,000 6,350,520
NuCor Corp........................................ 86,000 5,825,640
------------
17,621,220
------------
TELECOMMUNICATION SERVICES -- 2.20%
AT&T, Inc......................................... 161,000 6,166,300
Verizon Communications, Inc./(e)/................. 161,000 5,868,450
------------
12,034,750
------------
Total Domestic Common Stocks (Identified Cost
$189,935,135)...................................... 208,487,420
------------
FOREIGN COMMON STOCKS/(c)/ 0.70%
INFORMATION TECHNOLOGY -- 0.70%
Nokia Oyj Sponsored ADR (Finland)................. 120,000 3,819,600
------------
Total Foreign Common Stocks (Identified Cost
$1,824,999)........................................ 3,819,600
------------
EXCHANGE TRADED FUNDS 0.90%
PowerShares Deutsche Bank Agriculture Fund/(b)/... 134,000 4,884,300
------------
Total Exchange Traded Funds (Identified Cost
$4,586,676)........................................ 4,884,300
------------
Total Long Term Investments -- 72.02% (Identified Cost
$359,623,077)...................................... 393,126,574
------------
SHORT-TERM INVESTMENTS 27.75%
MONEY MARKET MUTUAL FUNDS -- 0.36%
State Street Navigator Prime Plus 3.18%
seven-day effective yield/(f)/.................. 1,965,450 1,965,450
------------
1,965,450
------------
See notes to schedule of investments and securities sold short
3
Par
(000's) Value
------- ------------
COMMERCIAL PAPER/(g)/ -- 27.39%
7-Eleven, Inc. 2.25%, 4/8/08................. $23,000 $ 22,989,938
Danaher Corp. 2.30%, 4/4/08.................. 26,000 25,995,017
Nestle S.A. 2.20%, 6/10/08................... 9,000 8,960,950
Procter Gamble Co. (The) 2.15%, 4/15/08...... 17,600 17,585,284
Rabobank USA Financial Corp. 2.49%, 4/1/08... 27,000 27,000,000
San Diego G&E 2.35%, 4/1/08.................. 20,000 20,000,000
Walgreen Co. 2.27%, 4/2/08................... 27,000 26,998,297
------------
149,529,486
------------
Total Short-Term Investments (Identified Cost
$151,495,486)............................... 151,494,936
------------
Total Investments (Identified Cost
$511,118,563) -- 99.77%..................... 544,621,510/(a)/
Securities Sold Short (Proceeds $3,784,442) --
(0.44)%..................................... (2,397,500)
Other assets and liabilities, net -- 0.67%.... 3,648,350
------------
Net Assets -- 100.00%......................... $545,872,360
============
--------
(a) Federal Income Tax Information: Net unrealized appreciation of investment
securities is comprised of gross appreciation of $34,395,456 and gross
depreciation of $6,213,390 for federal income tax purposes. At March 31,
2008 , the aggregate cost of securities for federal income tax purposes
was $516,439,444.
(b) Non-income producing.
(c) A security is considered to be foreign if the security is issued in a
foreign country. The country of risk, noted parenthetically, is determined
based on criteria described in Note 1B "Foreign security country
determination" in the Notes to Schedules of Investments. .
(d) All or a portion of security is on loan.
(e) Position, or a portion thereof, has been segregated as collateral for
securities sold short.
(f) Represents security purchased with cash collateral received for securities
on loan.
(g) The rate shown is the discount rate.
See notes to schedule of investments and securities sold short
4
Number of
Shares Value
--------- ----------
DOMESTIC COMMON STOCKS SOLD SHORT 0.44%
CONSUMER DISCRETIONARY -- 0.44%
Starbucks Corp................................... 137,000 $2,397,500
----------
Total Domestic Common Stocks Sold Short (Proceeds
$3,784,442)....................................... $2,397,500/(h)/
==========
--------
(h) Federal Tax Information: Net unrealized appreciation of securities sold
short is comprised of gross appreciation of $1,386,942, and gross
depreciation of $0 for federal income tax purposes. At March 31, 2008, the
aggregate proceeds of securities sold short for federal income tax
purposes was $3,784,442.
See notes to schedule of investments and securities sold short
5
THE ZWEIG TOTAL RETURN FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT
March 31, 2008
(Unaudited)
NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in conformity with accounting principals
generally accepted in the United States of America 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 amount of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
A. Security Valuation:
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.
Debt securities are valued on the basis of broker quotations or valuations
provided by a pricing service, which utilizes information with respect to
recent sales, market transactions in comparable securities, quotations from
dealers, and various relationships between securities in determining value.
As required, some securities and other assets may be valued at fair value as
determined in good faith by or under the direction of the Directors.
Certain foreign common stocks 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 foreign markets close (where the security is principally
traded) and the time that the Fund calculates its net asset value (generally,
the close of the NYSE) that may impact the value of securities traded in these
foreign markets. In these cases, information from an external vendor may be
utilized to adjust closing market prices of certain foreign common stocks to
reflect their fair value. Because the frequency of significant events is not
predictable, fair valuation of certain foreign common stocks may occur on a
frequent basis.
Short-term investments having a remaining maturity of 60 days or less are
valued at amortized cost, which approximates market.
The Fund has adopted the provisions of the Statement of Financial Accounting
Standards No. 157 (SFAS 157) as of the beginning of the current fiscal period
of the Fund. This standard clarifies the definition of fair value for financial
reporting, establishes a framework for measuring fair value and requires
additional disclosures about the use of fair value measurements. To increase
consistency and comparability in fair value measurements and related
disclosures, the Fund utilizes a fair value hierarchy which prioritizes the
inputs to valuation techniques used to measure fair value into three broad
levels:
. Level 1 -- quoted prices in active markets for identical securities
. Level 2 -- prices determined using other significant observable inputs
(including quoted prices for similar securities, interest rates,
prepayment speeds, credit risk, etc.)
6
. Level 3 -- prices determined using significant unobservable inputs
(including the Fund's own assumptions in determining the fair value of
investments)
The following is a summary of the inputs used to value the Fund's net assets
as of March 31, 2008. The inputs or methodology used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.
Investments in
Valuation Inputs Securities
---------------- --------------
Assets:
Level 1 -- Quoted Prices...................... $219,156,770
Level 2 -- Other Significant Observable Inputs 325,464,740
Level 3 -- Significant Unobservable Inputs.... --
------------
Total $544,621,510
============
Liabilities:
Level 1 -- Quoted Prices...................... $ 4,362,950
Level 2 -- Other Significant Observable Inputs --
Level 3 -- Significant Unobservable Inputs.... --
------------
Total $ 4,362,950
============
In March 2008, Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" (FAS 161) was
issued and is effective for fiscal years and interim periods beginning after
November 15, 2008. FAS 161 is intended to improve financial reporting for
derivative instruments by requiring enhanced disclosure that enables investors
to understand how and why a fund uses derivatives, how derivatives are
accounted for, and how derivative instruments affect a fund's results of
operations and financial position. Management is currently evaluating the
impact of FAS 161 on financial statement disclosures, if any.
B. Foreign Security Country Determination:
A combination of the following criteria is used to assign the countries of
risk listed in the Schedule of Investments and Securities Sold Short: country
of incorporation, actual building address, primary exchange on which the
security is traded and country in which the greatest percentage of company
revenue is generated.
7
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 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 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) The Zweig Total Return Fund, Inc.
By (Signature and Title)* /s/ George R. Aylward
-----------------------------
George R. Aylward, President
(principal executive officer)
Date May 29, 2008
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 May 29, 2008
By (Signature and Title)* /s/ Nancy G. Curtiss
-----------------------------
Nancy G. Curtiss, Treasurer
(principal financial officer)
Date May 29, 2008
* Print the name and title of each signing officer under his or her
signature.