# EDGAR Filing Document

**Accession Number:** 0001018593
**File Stem:** 0001752724-23-035685
**Filing Date:** 2023-2
**Character Count:** 49633
**Document Hash:** 60cf8a2daafe7483c31672d390095e39
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035685.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035685

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VIRTUS ASSET TRUST
- **CENTRAL INDEX KEY:** 0001018593
- **IRS NUMBER:** 956981193
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07705
- **FILM NUMBER:** 23657471

**BUSINESS ADDRESS:**
- **STREET 1:** 101 MUNSON STREET
- **CITY:** GREENFIELD
- **STATE:** MA
- **ZIP:** 01301
- **BUSINESS PHONE:** (800) 243-4361

**MAIL ADDRESS:**
- **STREET 1:** ONE FINANCIAL PLAZA
- **STREET 2:** 26TH FLOOR
- **CITY:** HARTFORD
- **STATE:** CT
- **ZIP:** 06103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PHOENIX ASSET TRUST
- **DATE OF NAME CHANGE:** 20060523

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PHOENIX-KAYNE FUNDS
- **DATE OF NAME CHANGE:** 20021223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** KAYNE ANDERSON RUDNICK MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20010226

## Series and Classes Contracts Data

### Virtus Seix U.S. Government Securities Ultra-Short Bond Fund (Series ID: S000057032)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000181192 | Class I      | SIGVX           |
| C000181193 | Class R6     | SIGZX           |
| C000203236 | Class A      | SSAGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Virtus Asset Trust

- **b. Investment Company Act file number:** 811-07705

- **c. CIK number of Registrant:** 0001018593

- **d. LEI of Registrant:** 5493001887IYOL1CRU72

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 101 Munson Street

  - **City:** Greenfield

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 01301-9668

  - **Telephone number:** 800-263-4790

**Item A.2. Information about the Series.**

- **a. Name of Series:** Virtus Seix U.S. Government Securities Ultra-Short Bond Fund

- **b. EDGAR series identifier (if any):** S000057032

- **c. LEI of Series:** 5493004FW06DQKUXKI57

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $438624649.06

**Total Liabilities:** $2343246.87

**Net Assets:** $436281402.19

**Cash Not Reported:** $294825.00

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** -2259.00000000 | **5-Year:** -5628.00000000 | **10-Year:** -13456.00000000 | **30-Year:** -65050.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -3777.00000000 | **10-Year:** -18894.00000000 | **30-Year:** -6108.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203236 | -0.32%               | 0.34%                | 0.28%                |
| Class ID C000181193 | -0.29%               | 0.37%                | 0.31%                |
| Class ID C000181192 | -0.30%               | 0.36%                | 0.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-173858.26              | $-2354933.94                               |
| Month 2  | $-1069503.57             | $1672474.47                                |
| Month 3  | $-171680.18              | $309130.43                                 |

### Schedule of Portfolio Investments

| Name                                                       | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2840427 | PA      | $2863200.82   | 0.66%             | 2028-11-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2168958 | PA      | $2195181.84   | 0.50%             | 2040-04-01      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31395NQL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3117554 | PA      | $3076298.29   | 0.71%             | 2036-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 31395UDQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5860273 | PA      | $5737801.64   | 1.32%             | 2034-11-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 31394XAZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2839675 | PA      | $2840652.65   | 0.65%             | 2034-04-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QPU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4888376 | PA      | $4537587.32   | 1.04%             | 2050-07-01      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31396QN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4879065 | PA      | $4896415.19   | 1.12%             | 2039-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                | Small Business Administration Pools                          | CUSIP: 8316A0H52<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6937451 | PA      | $6922434.34   | 1.59%             | 2032-04-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5KG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1936321 | PA      | $1941426.03   | 0.44%             | 2037-05-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QNTK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1534169 | PA      | $1434975.59   | 0.33%             | 2051-01-01      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31394CRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4361818 | PA      | $4277462.76   | 0.98%             | 2035-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136ATRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4590449 | PA      | $4489101.36   | 1.03%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138ET2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5811887 | PA      | $5885592.20   | 1.35%             | 2042-07-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MED7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2157236 | PA      | $2155919.98   | 0.49%             | 2034-06-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1648225 | PA      | $1629217.94   | 0.37%             | 2024-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FBAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1262116 | PA      | $1256987.11   | 0.29%             | 2024-08-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EGJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769694 | PA      | $769908.88    | 0.18%             | 2038-08-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BWVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3555051 | PA      | $3545475.12   | 0.81%             | 2024-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136ATTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2926886 | PA      | $2920273.03   | 0.67%             | 2023-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136ADQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4251904 | PA      | $4246276.63   | 0.97%             | 2042-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140HRPG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20931738.66  | 4.80%             | 2023-11-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LV51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5173381 | PA      | $5205564.25   | 1.19%             | 2035-05-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136B3VU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5056645 | PA      | $4968733.00   | 1.14%             | 2033-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -166 | NC      | $6148.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31326LRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3155143 | PA      | $3115407.03   | 0.71%             | 2047-02-01      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137FLUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4340077 | PA      | $4266358.97   | 0.98%             | 2034-08-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 31419ATA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1774069 | PA      | $1795003.64   | 0.41%             | 2040-11-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2886512 | PA      | $2905618.66   | 0.67%             | 2034-05-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3614950 | PA      | $3625704.55   | 0.83%             | 2028-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES BANK, N.A.                                   | Small Business Administration Pools                          | CUSIP: 83164MLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    641998 | PA      | $646571.66    | 0.15%             | 2028-07-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138LGZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2780909 | PA      | $2772029.46   | 0.64%             | 2024-01-01      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                     | CUSIP: 38376EBC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4331712 | PA      | $4331945.95   | 0.99%             | 2039-10-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136AUSG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98147 | PA      | $97918.71     | 0.02%             | 2023-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31398RMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2744560 | PA      | $2744346.07   | 0.63%             | 2040-01-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137B2DX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5024492 | PA      | $4997136.64   | 1.15%             | 2042-09-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140JBTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9479339 | PA      | $8985272.40   | 2.06%             | 2050-06-01      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140K86S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2478601 | PA      | $2327580.29   | 0.53%             | 2051-06-01      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19445014 | PA      | $18408335.02  | 4.22%             | 2049-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3487286 | PA      | $3496932.25   | 0.80%             | 2028-05-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EKYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889518 | PA      | $905593.99    | 0.21%             | 2037-09-01      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140HYF52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14221000 | PA      | $14084200.95  | 3.23%             | 2030-04-01      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138ETYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710732 | PA      | $672525.21    | 0.15%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EJNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174692 | PA      | $1185685.87   | 0.27%             | 2036-06-01      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140J9B26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3695932 | PA      | $3717606.62   | 0.85%             | 2048-10-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136AVGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518024 | PA      | $515407.72    | 0.12%             | 2024-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136ANLN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13088447 | PA      | $12985339.92  | 2.98%             | 2026-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F23E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327668 | PA      | $326681.83    | 0.07%             | 2024-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FARP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789883 | PA      | $786966.23    | 0.18%             | 2024-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136B4HC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7829501 | PA      | $7633085.98   | 1.75%             | 2049-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MLW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2012871 | PA      | $2015972.97   | 0.46%             | 2027-10-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund   | CUSIP: 857492649<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  20256807 | NS      | $20256806.98  | 4.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 31396HES4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965763 | PA      | $964273.70    | 0.22%             | 2035-06-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31398SQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009428 | PA      | $994592.15    | 0.23%             | 2040-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136B3UW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5078498 | PA      | $4997279.92   | 1.15%             | 2035-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2307256 | PA      | $2309439.59   | 0.53%             | 2047-01-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EQVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3252170 | PA      | $3292624.49   | 0.75%             | 2040-11-01      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140J9B34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2157140 | PA      | $2180289.95   | 0.50%             | 2045-05-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1574848 | PA      | $1598474.82   | 0.37%             | 2040-12-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22816006 | PA      | $22111421.69  | 5.07%             | 2049-05-01      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1801313 | PA      | $1786377.27   | 0.41%             | 2026-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140N0BJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8130997 | PA      | $7896549.18   | 1.81%             | 2052-10-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FGZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2007919 | PA      | $1986107.86   | 0.46%             | 2025-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1992929 | PA      | $1990664.27   | 0.46%             | 2028-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31397U6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5130042 | PA      | $5067918.96   | 1.16%             | 2032-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31396LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1742116 | PA      | $1728765.47   | 0.40%             | 2036-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FV2F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7384818 | PA      | $7266978.75   | 1.67%             | 2030-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140QAPY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4210262 | PA      | $4115026.43   | 0.94%             | 2049-02-01      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137A84W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5560160 | PA      | $5483311.92   | 1.26%             | 2041-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EGLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239134 | PA      | $1258025.20   | 0.29%             | 2041-06-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7341117 | PA      | $7270652.12   | 1.67%             | 2043-03-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31396XD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3068895 | PA      | $3035663.47   | 0.70%             | 2037-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137B4GY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    988394 | PA      | $980856.40    | 0.22%             | 2023-05-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140N7F62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3769172 | PA      | $3758242.95   | 0.86%             | 2052-12-01      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137AL3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2284380 | PA      | $2267908.92   | 0.52%             | 2041-03-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                           | CUSIP: 3137AQUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    853137 | PA      | $851358.64    | 0.20%             | 2040-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 2 YEAR US TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -39 | NC      | $-10828.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136AQHQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11491271 | PA      | $11428171.95  | 2.62%             | 2025-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17761370 | PA      | $17484476.00  | 4.01%             | 2030-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31394FDY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7958066 | PA      | $7863820.98   | 1.80%             | 2035-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FPHF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098948 | PA      | $1092820.25   | 0.25%             | 2026-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140JRZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3698013 | PA      | $3621619.62   | 0.83%             | 2048-03-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5131605 | PA      | $5167460.37   | 1.18%             | 2037-05-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EJCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284656 | PA      | $287962.60    | 0.07%             | 2042-06-01      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140QB7M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037591 | PA      | $1004878.47   | 0.23%             | 2048-09-01      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FKL79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3651433 | PA      | $3616554.54   | 0.83%             | 2025-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 31418MCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009169 | PA      | $1021193.26   | 0.23%             | 2035-01-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1038752 | PA      | $1029131.03   | 0.24%             | 2026-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140K3AR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261542 | PA      | $1183640.01   | 0.27%             | 2049-04-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                              | CUSIP: 3136AXZK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109738 | PA      | $1106035.94   | 0.25%             | 2024-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA CAPITAL MARKETS, L.P                             | Small Business Administration Pools                          | CUSIP: 83164MFR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1373108 | PA      | $1380461.54   | 0.32%             | 2027-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31288QE63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1014278 | PA      | $969799.51    | 0.22%             | 2050-06-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140KDFD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2051857 | PA      | $1923280.13   | 0.44%             | 2050-04-01      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140K17J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701680 | PA      | $685304.18    | 0.16%             | 2047-07-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 3136A6Y99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043334 | PA      | $1038261.96   | 0.24%             | 2041-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140J6AF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5020084 | PA      | $4867839.89   | 1.12%             | 2047-09-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138ETX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4077835 | PA      | $4140733.08   | 0.95%             | 2041-09-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                            | CUSIP: 31394EDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2998555 | PA      | $2947811.23   | 0.68%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                              | Small Business Administration Pools                          | CUSIP: 83164MFY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    482332 | PA      | $485006.98    | 0.11%             | 2027-09-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140JBYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8561130 | PA      | $8633167.28   | 1.98%             | 2042-05-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140FPEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2362862 | PA      | $2370568.76   | 0.54%             | 2047-07-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2684366 | PA      | $2707257.01   | 0.62%             | 2036-07-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 31326HTN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583739 | PA      | $570109.93    | 0.13%             | 2044-10-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140K3AQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2974701 | PA      | $2787941.02   | 0.64%             | 2047-07-01      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140J8M75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130632 | PA      | $1144362.77   | 0.26%             | 2042-02-01      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5SH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1604647 | PA      | $1628005.83   | 0.37%             | 2039-09-01      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3140HXKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6300000 | PA      | $6307212.93   | 1.45%             | 2030-02-01      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                              | CUSIP: 3138EHB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3124313 | PA      | $3165251.54   | 0.73%             | 2037-07-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas                             | FRESB 2016-SB13 Mortgage Trust                               | CUSIP: 302614AF9<br>LEI: 549300G1LSFZALV3VL31 | Long             | ABS-MBS          | USGSE             | US        |   7443687 | PA      | $7411856.86   | 1.70%             | 2036-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Virtus Asset Trust

**Signature:** Amy Hackett

**Name of Signer:** Amy Hackett

**Title:** Vice President and Assistant Treasurer