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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-Q
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05620
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The Zweig Total Return Fund, Inc.
(Exact name of registrant as specified in charter)
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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: September 30, 2007
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (Sections 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. Section 3507.
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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
September 30, 2007
(Unaudited)
Par
(000's) Value
--------- ------------
INVESTMENTS
U.S. GOVERNMENT SECURITIES 43.43%
U.S. TREASURY BONDS -- 25.15%
U.S. Treasury Bond 9.25%, 2/15/16/(e)/............ $ 20,000 $ 26,545,320
U.S. Treasury Bond 7.50%, 11/15/16/(e)/........... 20,000 24,295,320
U.S. Treasury Bond 8.75%, 5/15/17/(e)/............ 22,000 28,974,682
U.S. Treasury Bond 8.875%, 2/15/19/(e)/........... 15,000 20,411,715
U.S. Treasury Bond 6.375%, 8/15/27/(e)/........... 11,500 13,646,372
U.S. Treasury Bond 6.125%, 11/15/27/(e)/.......... 17,500 20,249,407
U.S. Treasury Bond 4.50%, 2/15/36/(e)/............ 10,000 9,480,470
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143,603,286
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U.S. TREASURY NOTES -- 18.28%
U.S. Treasury Inflation Indexed Note 1.625%,
1/15/15/(e)(h)/................................. 27,000 28,179,747
U.S. Treasury Note 3.00%, 2/15/08/(e)/............ 38,000 37,845,644
U.S. Treasury Note 4.00%, 11/15/12/(d)(e)/........ 18,500 18,343,897
U.S. Treasury Note 4.50%, 2/15/16/(e)/............ 20,000 20,003,120
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104,372,408
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Total U.S. Government Securities (Identified Cost
$247,245,220)...................................... 247,975,694
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AGENCY NON-MORTGAGE BACKED SECURITIES 4.60%
FNMA 3.15%, 5/28/08............................... 26,570 26,289,686
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Total Agency Non-Mortgage Backed
Securities (Identified Cost $26,587,928)........... 26,289,686
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Number of
Shares
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DOMESTIC COMMON STOCKS 44.32%
CONSUMER DISCRETIONARY -- 3.17%
Ford Motor Corp./(e)/............................. 436,000 3,701,640
McDonald's Corp./(e)/............................. 115,000 6,264,050
Newell Rubbermaid, Inc./(e)/...................... 101,000 2,910,820
NIKE, Inc. Class B/(e)/........................... 89,000 5,220,740
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18,097,250
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See notes to schedule of investments and securities sold short
1
Number of
Shares Value
--------- -----------
CONSUMER STAPLES -- 4.34%
Altria Group, Inc./(e)/................... 94,000 $ 6,535,820
Bunge Ltd................................. 48,000 5,157,600
Costco Wholesale Corp..................... 82,000 5,032,340
Kimberly-Clark Corp./(e)/................. 26,000 1,826,760
PepsiCo, Inc./(e)/........................ 85,000 6,227,100
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24,779,620
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ENERGY -- 6.21%
Chesapeake Energy Corp./(e)/.............. 134,000 4,724,840
ConocoPhillips/(e)/....................... 73,000 6,407,210
Halliburton Co./(e)/...................... 127,000 4,876,800
Massey Energy Co./(e)/.................... 216,000 4,713,120
Occidental Petroleum Corp./(e)/........... 94,000 6,023,520
St. Mary Land & Exploration Co./(e)/...... 122,000 4,351,740
Valero Energy Corp........................ 65,000 4,366,700
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35,463,930
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FINANCIALS -- 2.97%
Allstate Corp./(e)/....................... 62,000 3,545,780
American International Group, Inc./(e)/... 34,000 2,300,100
Goldman Sachs Group, Inc.................. 12,000 2,600,880
Merrill Lynch & Co., Inc./(e)/............ 65,000 4,633,200
Reinsurance Group of America, Inc./(e)/... 68,000 3,854,920
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16,934,880
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HEALTH CARE -- 3.62%
Bristol-Myers Squibb Co./(e)/............. 196,000 5,648,720
Gilead Sciences, Inc./(b)(e)/............. 114,000 4,659,180
Merck & Co., Inc.......................... 123,000 6,357,870
UnitedHealth Group, Inc................... 83,000 4,019,690
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20,685,460
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INDUSTRIALS -- 8.58%
3M Co./(e)/............................... 65,000 6,082,700
AMR Corp./(b)(e)/......................... 171,000 3,811,590
Boeing Co. (The)/(e)/..................... 51,000 5,354,490
Caterpillar, Inc.......................... 75,000 5,882,250
Continental Airlines, Inc. Class B/(b)(e)/ 126,000 4,161,780
Foster Wheeler Ltd........................ 56,000 7,351,680
General Electric Co./(e)/................. 145,000 6,003,000
L-3 Communications Holdings, Inc.......... 51,000 5,209,140
Union Pacific Corp........................ 45,000 5,087,700
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48,944,330
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See notes to schedule of investments and securities sold short
2
Number of
Shares Value
--------- ------------
INFORMATION TECHNOLOGY -- 9.02%
Ciena Corp./(e)/................................. 114,000 $ 4,341,120
Cisco Systems, Inc./(b)/......................... 160,000 5,297,600
Corning , Inc./(e)/.............................. 246,000 6,063,900
Dell, Inc./(e)/.................................. 144,000 3,974,400
EMC Corp./(b)(e)/................................ 258,000 5,366,400
Hewlett-Packard Co./(e)/......................... 98,000 4,879,420
International Business Machines Corp./(e)/....... 50,000 5,890,000
Microsoft Corp................................... 183,000 5,391,180
National Semiconductor Corp./(e)/................ 166,000 4,501,920
QUALCOMM, Inc.................................... 137,000 5,789,620
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51,495,560
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MATERIALS -- 4.23%
Alcoa, Inc./(e)/................................. 151,000 5,907,120
Dow Chemical Co.................................. 148,000 6,372,880
Freeport-McMoRan Cooper & Gold, Inc. Class
B/(e)/......................................... 66,000 6,922,740
NuCor Corp./(e)/................................. 84,000 4,995,480
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24,198,220
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TELECOMMUNICATIONS SERVICES -- 2.18%
AT&T Corp./(d)/.................................. 146,000 6,177,260
Verizon Communications, Inc./(d)/................ 142,000 6,287,760
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12,465,020
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Total Domestic Common Stocks (Identified Cost
$217,119,203)..................................... 253,064,270
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FOREIGN COMMON STOCKS/(c)/ 3.05%
ENERGY -- 0.73%
Nabors Industries Ltd. (United States)/(b)(e)/... 136,000 4,184,720
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4,184,720
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FINANCIALS -- 0.63%
Deutsche Bank AG (Germany)....................... 28,000 3,594,920
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3,594,920
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INFORMATION TECHNOLOGY -- 1.69%
Amdocs Ltd. (United States)/(b)(e)/.............. 114,000 4,239,660
Nokia Oyj ADR (Finland).......................... 143,000 5,423,990
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9,663,650
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Total Foreign Common Stocks (Identified Cost
$13,691,437)...................................... 17,443,290
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See notes to schedule of investments and securities sold short
3
Number of
Shares Value
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EXCHANGE TRADED FUNDS 2.09%
PowerShares QQQ/(e)/.............................. 131,000 $ 6,734,710
Regional Bank Holders Trust....................... 35,000 5,195,750
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Total Exchange Traded Funds (Identified Cost $11,050,409) 11,930,460
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Total Long Term Investments -- 97.49% (Identified Cost
$515,694,197)......................................... 556,703,400
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SHORT-TERM INVESTMENTS 14.23%
MONEY MARKET MUTUAL FUNDS -- 12.27%
State Street Navigator Prime Plus (5.338% seven
day effective yield)/(f)/ (Identified Cost
$70,082,973).................................... 70,082,973 70,082,973
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Par
(000's)
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COMMERCIAL PAPER/(g)/ -- 1.96%
CAFCO LLC 5.20%, 10/3/07.......................... $ 11,200 11,196,764
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Total Commercial Paper (Identified Cost $11,196,764).... 11,196,764
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Total Short-Term Investments (Identified Cost
$81,279,737).......................................... 81,279,737
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Total Investments (Identified Cost $596,973,934) --
111.72%............................................... 637,983,137/(a)/
Securities Sold Short (Proceeds $11,303,627) -- (1.69)%. (9,665,000)
Other Assets Less Liabilities -- (10.03)%............... (57,274,659)
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Net Assets -- 100.00%................................... $571,043,478
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ADR - American Depositary Receipt.
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(a)Federal Tax information: Net unrealized appreciation of investment
securities is comprised of gross appreciation of $43,341,038 and gross
depreciation of $5,826,934 for federal tax purposes. At September 30,
2007, the aggregate cost of securities for federal income tax purposes was
$600,469,033.
(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 in Note 1B "Foreign security country determination" in
the Notes to Schedule of Investments and Securities Sold Short.
(d)Position, or a portion thereof, has been segregated as collateral for
securities sold short.
(e)All or a portion of security is on loan.
(f)Represents security purchased with cash collateral for securities on loan.
(g)The rate shown is the discount rate.
(h)Principal amount is adjusted daily pursuant to the change in the Consumer
Price Index.
See notes to schedule of investments and securities sold short
4
Number of
Shares Value
--------- ----------
SECURITIES SOLD SHORT
DOMESTIC COMMON STOCKS -- 1.69%
CONSUMER DISCRETIONARY -- 0.63%
Starbucks Corp............................... 137,000 $3,589,400
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CONSUMER STAPLES -- 0.23%
Whole Foods Market, Inc...................... 27,000 1,321,920
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INDUSTRIALS -- 0.83%
YRC Worldwide, Inc........................... 174,000 4,753,680
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Total Domestic Common Stocks (Proceeds
$11,303,627).................................. 9,665,000
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Total Securities Sold Short (Proceeds $11,303,627) $9,665,000/(i)/
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(i)Federal Tax information: Net unrealized appreciation of securities sold
short is comprised of gross appreciation of $1,744,683 and gross
depreciation of $106,056 for federal income tax purposes. At September 30,
2007, the aggregate proceeds of securities sold short for federal tax
purposes was ($11,303,627).
See notes to schedule of investments and securities sold short
5
THE ZWEIG TOTAL RETURN FUND, INC.
NOTES TO SCHEDULES OF INVESTMENTS AND SECURITIES SOLD SHORT
September 30, 2007
(Unaudited)
NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Zweig Total Return Fund, Inc. (the "Fund") in the preparation
of the Schedule of Investments. The preparation of the Schedules of Investments
in conformity with accounting principles 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 Schedules of Investments.
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.
In September 2006, Statement of Financial Accounting Standards No. 157,
"Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal
years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Funds' financial statement disclosures.
6
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
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George R. Aylward, President
(principal executive officer)
Date November 21, 2007
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
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George R. Aylward, President
(principal executive officer)
Date November 21, 2007
By (Signature and Title)* /s/ Nancy G. Curtiss
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Nancy G. Curtiss, Treasurer
(principal financial officer)
Date November 21, 2007
* Print the name and title of each signing officer under his or her signature.