# EDGAR Filing Document

**Accession Number:** 0001005020
**File Stem:** 0001752724-23-009913
**Filing Date:** 2023-1
**Character Count:** 69804
**Document Hash:** ceaf4dacd1ae3c4237862d56b0405f89
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-009913.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-009913

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VIRTUS OPPORTUNITIES TRUST
- **CENTRAL INDEX KEY:** 0001005020
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07455
- **FILM NUMBER:** 23548862

**BUSINESS ADDRESS:**
- **STREET 1:** 101 MUNSON STREET
- **CITY:** GREENFIELD
- **STATE:** MA
- **ZIP:** 01301
- **BUSINESS PHONE:** 800-243-1574

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PHOENIX OPPORTUNITIES TRUST
- **DATE OF NAME CHANGE:** 20060127

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PHOENIX SENECA FUNDS
- **DATE OF NAME CHANGE:** 19990122

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SENECA FUNDS
- **DATE OF NAME CHANGE:** 19951218

## Series and Classes Contracts Data

### Virtus Stone Harbor Strategic Income Fund (Series ID: S000075281)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000234182 | Class A      | VSHFX           |
| C000234183 | Class I      | SHSIX           |

## 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 Opportunities Trust

- **b. Investment Company Act file number:** 811-07455

- **c. CIK number of Registrant:** 0001005020

- **d. LEI of Registrant:** 549300O4C4QVD88M4N75

- **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:** 800-243-1574

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

- **a. Name of Series:** Virtus Stone Harbor Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000075281

- **c. LEI of Series:** 549300YZNMK2DMY4FP69

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $44718548.14

**Total Liabilities:** $3490877.06

**Net Assets:** $41227671.08

**Stand-by Commitments:** $2451484.38

**Cash Not Reported:** $380441.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -507.00000000 | **10-Year:** -2136.00000000 | **30-Year:** -3998.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -10.00000000 | **10-Year:** -3565.00000000 | **30-Year:** -7644.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000234183 | -3.83%               | 1.12%                | 3.97%                |
| Class ID C000234182 | -7.44%               | -2.67%               | 0.02%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-108376.82              | $-1858082.89                               |
| Month 2  | $-177328.21              | $440133.12                                 |
| Month 3  | $-108819.41              | $1475539.77                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CONTINENTAL RESOURCES                                    | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68947.31     | 0.17%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20207.87     | 0.05%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                     | Waste Management Inc                                                            | CUSIP: 94106LBR9<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $56635.03     | 0.14%             | 2041-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| KEMPER CORP                                              | Kemper Corp                                                                     | CUSIP: 488401AC4<br>LEI: 549300FNI1JKTRY2PV09 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58780.67     | 0.14%             | 2030-09-30      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                                  | Office Properties Income Trust                                                  | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $54195.75     | 0.13%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Virtus Stone Harbor Local Markets Fund                   | Virtus Stone Harbor Local Markets Fund                                          | CUSIP: 92828Y516<br>LEI: N/A                  | Long             | EC               | RF                | US        |    142102 | NS      | $1048709.39   | 2.54%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                   | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60416.57     | 0.15%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                      | Synchrony Financial                                                             | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45577.03     | 0.11%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $70655.05     | 0.17%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96085.68     | 0.23%             | 2034-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                     | Lockheed Martin Corp                                                            | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52016.91     | 0.13%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20914.01     | 0.05%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit                           | Freddie Mac Whole Loan Securities Trust 2016-SC01                               | CUSIP: 3137G1AW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15193 | PA      | $14339.79     | 0.03%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXS8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22511.75     | 0.05%             | 2026-02-12      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                   | Williams Cos Inc/The                                                            | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     75000 | PA      | $61718.82     | 0.15%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44402.89     | 0.11%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $519921.88    | 1.26%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                           | Starwood Retail Property Trust 2014-STAR                                        | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |     44317 | PA      | $30224.25     | 0.07%             | 2027-11-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     50000 | PA      | $46126.94     | 0.11%             | 2025-04-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| TELUS CORP                                               | TELUS Corp                                                                      | CUSIP: 87971MBW2<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $64746.58     | 0.16%             | 2032-05-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91843.52     | 0.22%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                   | Mondelez International Inc                                                      | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68204.69     | 0.17%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $61702.67     | 0.15%             | 2031-02-13      | Fixed         | 2.50%                 | 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        |         5 | NC      | $2403.10      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LOCKHEED MARTIN CORP                                     | Lockheed Martin Corp                                                            | CUSIP: 539830BX6<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54207.82     | 0.13%             | 2054-11-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                          | CDS CDX.EM.38.V1                                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $230639.20    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254AN0<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $22283.48     | 0.05%             | 2044-03-26      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                       | Vodafone Group PLC                                                              | CUSIP: 92857WBU3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $59191.06     | 0.14%             | 2050-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                         | MDC Holdings Inc                                                                | CUSIP: 552676AU2<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35507.31     | 0.09%             | 2031-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $13987.57     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                        | NSTAR Electric Co                                                               | CUSIP: 67021CAS6<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45712.32     | 0.11%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                                        | Kimco Realty Corp                                                               | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46762.24     | 0.11%             | 2033-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $64508.61     | 0.16%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                             | DNB Bank ASA                                                                    | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |     75000 | PA      | $63768.17     | 0.15%             | 2028-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| TSMC GLOBAL LTD                                          | TSMC Global Ltd                                                                 | CUSIP: 872882AF2<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |     50000 | PA      | $41468.50     | 0.10%             | 2027-09-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Virtus Stone Harbor Emerging Markets Corporate Debt Fund | Virtus Stone Harbor Emerging Markets Corporate Debt Fund                        | CUSIP: 92828Y599<br>LEI: N/A                  | Long             | EC               | RF                | US        |    269057 | NS      | $2023309.02   | 4.91%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $468671.88    | 1.14%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                 | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     75000 | PA      | $57411.75     | 0.14%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                      | Synchrony Financial                                                             | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75753.49     | 0.18%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71908.53     | 0.17%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                 | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65729.50     | 0.16%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $19502.01     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| KEY BANK NA                                              | KeyBank NA/Cleveland OH                                                         | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92951.35     | 0.23%             | 2032-08-08      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8436.03     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    125000 | PA      | $106928.10    | 0.26%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24586.84     | 0.06%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    325000 | PA      | $309232.42    | 0.75%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20172.54     | 0.05%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                             | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70751.85     | 0.17%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                 | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     75000 | PA      | $63674.94     | 0.15%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-3                                               | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73264 | PA      | $59045.80     | 0.14%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                 | Baxter International Inc                                                        | CUSIP: 071813CP2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64796.69     | 0.16%             | 2028-12-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                   | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBU2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     75000 | PA      | $57413.80     | 0.14%             | 2031-09-13      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EP1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115346.40    | 0.28%             | 2032-08-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                              | CLNY Trust 2019-IKPR                                                            | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $47367.68     | 0.11%             | 2038-11-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY                  | CUSIP: 46642MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $27000.00     | 0.07%             | 2027-06-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                  | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8055.13     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                   | Boardwalk Pipelines LP                                                          | CUSIP: 096630AG3<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47188.25     | 0.11%             | 2029-05-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                          | CSL Finance PLC                                                                 | CUSIP: 12661PAE9<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $68155.86     | 0.17%             | 2052-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $22464.48     | 0.05%             | 2026-04-18      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                            | United States Treasury Bill                                                     | CUSIP: 912796XR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1194540.00   | 2.90%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2566171.89   | 6.22%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $56792.84     | 0.14%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66910.28     | 0.16%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18000.09     | 0.04%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Virtus Stone Harbor High Yield Bond Fund                 | Virtus Stone Harbor High Yield Bond Fund                                        | CUSIP: 92828Y532<br>LEI: N/A                  | Long             | EC               | RF                | US        |   1785721 | NS      | $12375044.36  | 30.02%            |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN UNION CO/THE                                     | Western Union Co/The                                                            | CUSIP: 959802AZ2<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65392.14     | 0.16%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                            | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3539.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                               | Hudsons Bay Simon JV Trust 2015-HBS                                             | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $109074.30    | 0.26%             | 2034-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                              | Equifax Inc                                                                     | CUSIP: 294429AT2<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58065.67     | 0.14%             | 2031-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.              | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -89 | NC      | $-59462.01    | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     75000 | PA      | $61279.63     | 0.15%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                           | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9                  | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87435 | PA      | $81444.43     | 0.20%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                 | Electricite de France SA                                                        | CUSIP: 268317AU8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     75000 | PA      | $70880.81     | 0.17%             | 2028-09-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management                       | Dreyfus Government Cash Management                                              | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   4125268 | NS      | $4125267.76   | 10.01%            |  |  |  | No            |                  1 | On Loan: No      |
| WEA FINANCE LLC                                          | WEA Finance LLC                                                                 | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42834.97     | 0.10%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                   | Discover Financial Services                                                     | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50865.07     | 0.12%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                            | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2869.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Virtus Stone Harbor Emerging Markets Debt Fund           | Virtus Stone Harbor Emerging Markets Debt Fund                                  | CUSIP: 92828Y557<br>LEI: N/A                  | Long             | EC               | RF                | US        |   1415405 | NS      | $10035222.00  | 24.34%            |  |  |  | No            |                  1 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                     | Mercedes-Benz Finance North America LLC                                         | CUSIP: 58769JAB3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50359.85     | 0.12%             | 2025-11-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2473.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                     | Boston Properties LP                                                            | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64832.13     | 0.16%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                     | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60860.52     | 0.15%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $477031.25    | 1.16%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                    | Texas Instruments Inc                                                           | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66977.64     | 0.16%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                 | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBZ2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     25000 | PA      | $19301.56     | 0.05%             | 2030-09-23      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                   | BP Capital Markets PLC                                                          | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $47562.50     | 0.12%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                          | McDonald's Corp                                                                 | CUSIP: 58013MFS8<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49684.29     | 0.12%             | 2032-09-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96314.06     | 0.23%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    225000 | PA      | $172388.67    | 0.42%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                    | Universal Health Services Inc                                                   | CUSIP: 913903AX8<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64372.79     | 0.16%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                                | HMH Trust 2017-NSS                                                              | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $47744.48     | 0.12%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL L                                 | Huntsman International LLC                                                      | CUSIP: 44701QBF8<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58943.81     | 0.14%             | 2031-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                      | Nomura Holdings Inc                                                             | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    125000 | PA      | $102739.53    | 0.25%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $86477.32     | 0.21%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                                    | Flowserve Corp                                                                  | CUSIP: 34354PAF2<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41849.25     | 0.10%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                              | Phillips 66                                                                     | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60776.51     | 0.15%             | 2030-12-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                       | Conagra Brands Inc                                                              | CUSIP: 205887CF7<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62396.60     | 0.15%             | 2027-11-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1017.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                         | Duke Energy Corp                                                                | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     75000 | PA      | $53417.52     | 0.13%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                              | Exelon Corp                                                                     | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92173.81     | 0.22%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67185.67     | 0.16%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                 | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70808.42     | 0.17%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                               | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    125000 | PA      | $125742.27    | 0.30%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $92929.58     | 0.23%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                               | FedEx Corp                                                                      | CUSIP: 31428XBN5<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60309.10     | 0.15%             | 2047-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                    | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |     50000 | PA      | $33841.38     | 0.08%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                  | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $175.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                            | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1474.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                   | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129362.38    | 0.31%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2019-BPR                                         | CUSIP: 61769GAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $66084.68     | 0.16%             | 2036-05-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                             | Enbridge Inc                                                                    | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $70965.88     | 0.17%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                                   | CNH Industrial Capital LLC                                                      | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67929.25     | 0.16%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                  | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3541.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Advance Receiv                           | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1    | CUSIP: 62942QCR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $47977.79     | 0.12%             | 2053-08-15      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GAY4<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     75000 | PA      | $63378.31     | 0.15%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                             | Tapestry Inc                                                                    | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58034.16     | 0.14%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                           | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RCU6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $49790.42     | 0.12%             | 2024-03-20      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $21420.10     | 0.05%             | 2027-05-24      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $51412.38     | 0.12%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance                            | Citibank Credit Card Issuance Trust                                             | CUSIP: 17305EGD1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $24972.60     | 0.06%             | 2026-04-22      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | Commercial Mortgage Pass Through Certificates                                   | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71778 | PA      | $61286.85     | 0.15%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                        | Eurex 10 Year Euro BUND                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -11 | NC      | $6300.18      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                  | GBP/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $922.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                      | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBL0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     75000 | PA      | $65015.51     | 0.16%             | 2029-09-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                              | PepsiCo Inc                                                                     | CUSIP: 713448ES3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66664.99     | 0.16%             | 2030-03-19      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60471.44     | 0.15%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $370441.40    | 0.90%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                             | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46947.64     | 0.11%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                  | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1340.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39619.22     | 0.10%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34729.63     | 0.08%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                             | CubeSmart LP                                                                    | CUSIP: 22966RAF3<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62961.54     | 0.15%             | 2030-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                          | United States Treasury Note/Bond                                                | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $284496.09    | 0.69%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     75000 | PA      | $65642.22     | 0.16%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                   | Credit Suisse Group AG                                                          | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     75000 | PA      | $58978.50     | 0.14%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                               | Pfizer Inc                                                                      | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46274.34     | 0.11%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    150000 | PA      | $117027.45    | 0.28%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MBRT 2019 MBR                                            | MBRT 2019-MBR                                                                   | CUSIP: 55282DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $73306.22     | 0.18%             | 2036-11-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                     | Tencent Holdings Ltd                                                            | CUSIP: 88032WAG1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     50000 | PA      | $45513.50     | 0.11%             | 2028-01-19      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                  | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48828.72     | 0.12%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $21345.40     | 0.05%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138W6QK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21472 | PA      | $20831.27     | 0.05%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254BU3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $18167.04     | 0.04%             | 2036-02-18      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                       | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         3 | NC      | $-1357.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95706.24     | 0.23%             | 2033-07-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72831.15     | 0.18%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                            | EUR/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3338.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                        | TSMC Arizona Corp                                                               | CUSIP: 872898AJ0<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68041.50     | 0.17%             | 2052-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                     | Colgate-Palmolive Co                                                            | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91473.15     | 0.22%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                             | BB-UBS Trust                                                                    | CUSIP: 05490AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9725 | PA      | $9406.04      | 0.02%             | 2030-06-05      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.              | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1745.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Virtus Opportunities Trust

**Signature:** Amy Hackett

**Name of Signer:** Amy Hackett

**Title:** Vice President and Assistant Treasurer