# EDGAR Filing Document

**Accession Number:** 0001018593
**File Stem:** 0001752724-23-035671
**Filing Date:** 2023-2
**Character Count:** 69260
**Document Hash:** 8fc45edbd717013fe67493e696df698e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035671.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035671

**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:** 23657456

**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 Total Return Bond Fund (Series ID: S000057031)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000181187 | Class A      | CBPSX           |
| C000181188 | Class I      | SAMFX           |
| C000181189 | Class R6     | SAMZX           |

## 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 Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000057031

- **c. LEI of Series:** 549300IWC5TV58FXZZ22

**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:** $204587797.71

**Total Liabilities:** $2182141.72

**Net Assets:** $202405655.99

**Cash Not Reported:** $1152649.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -177.00000000 | **1-Year:** 0.00000000 | **5-Year:** 1402.00000000 | **10-Year:** -11486.00000000 | **30-Year:** -45095.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** -338.00000000 | **10-Year:** -1090.00000000 | **30-Year:** -12341.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000181187 | -5.37%               | -0.40%               | -4.46%               |
| Class ID C000181189 | -1.61%               | 3.41%                | -0.64%               |
| Class ID C000181188 | -1.73%               | 3.50%                | -0.75%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4048288.91             | $59182.34                                  |
| Month 2  | $-5372907.72             | $12761019.28                               |
| Month 3  | $-1411135.44             | $-640137.71                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MTEB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837463 | PA      | $826777.21    | 0.41%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140QNB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2005130 | PA      | $1824325.73   | 0.90%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 31417CSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310907 | PA      | $1183795.31   | 0.58%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                        | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    644000 | PA      | $609255.79    | 0.30%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                | Southern Co/The                                                       | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    710000 | PA      | $640791.45    | 0.32%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6490000 | PA      | $5827310.12   | 2.88%             | 2025-09-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                        | BWAY 2013-1515 Mortgage Trust                                         | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1708888.95   | 0.84%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp II Series 2005-ROCK                       | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1586000 | PA      | $1526698.51   | 0.75%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                             | Morgan Stanley Capital I Trust 2014-150E                              | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1039154.14   | 0.51%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 312943ZY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960675 | PA      | $923611.90    | 0.46%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2863231 | PA      | $2609872.11   | 1.29%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BELF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2453402 | PA      | $2362217.71   | 1.17%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2831000 | PA      | $2600096.56   | 1.28%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MUVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873937 | PA      | $1809188.20   | 0.89%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140JVQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453333 | PA      | $432533.71    | 0.21%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133APG60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303646 | PA      | $266818.47    | 0.13%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140QPLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1601000 | PA      | $1580092.29   | 0.78%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BBF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692386 | PA      | $667748.09    | 0.33%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP                                           | HF Sinclair Corp                                                      | CUSIP: 403949AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1023000 | PA      | $897987.61    | 0.44%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3131XYYX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    556466 | PA      | $515736.68    | 0.25%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding, LLC                                 | Jersey Mike's Funding                                                 | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1960188 | PA      | $1760307.18   | 0.87%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                     | PG&E Wildfire Recovery Funding LLC                                    | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    595000 | PA      | $551331.02    | 0.27%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21425000 | PA      | $17652191.41  | 8.72%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                             | Stack Infrastructure Issuer LLC                                       | CUSIP: 85236KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1053641.29   | 0.52%             | 2046-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                     | CUSIP: 3617FDDH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020436 | PA      | $1030755.24   | 0.51%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BAHF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187852 | PA      | $176249.15    | 0.09%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                              | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1314000 | PA      | $955233.88    | 0.47%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                     | Boardwalk Pipelines LP                                                | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    436000 | PA      | $364671.21    | 0.18%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XHQB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1898670 | PA      | $1879534.04   | 0.93%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp Trust 2018-HULA                           | CUSIP: 36259AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493977 | PA      | $480863.59    | 0.24%             | 2025-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                               | Newmont Corp                                                          | CUSIP: 651639AM8<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    830000 | PA      | $866412.74    | 0.43%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    633000 | PA      | $496471.07    | 0.25%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 31346YJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1043739 | PA      | $979542.29    | 0.48%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp II                                        | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $502657.70    | 0.25%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2021-SAVE                       | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768123 | PA      | $717697.60    | 0.35%             | 2040-02-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                    | CF Hippolyta Issuer LLC                                               | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    749349 | PA      | $654014.32    | 0.32%             | 2060-07-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BLAH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648073 | PA      | $651068.43    | 0.32%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                     | PNC Financial Services Group Inc/The                                  | CUSIP: 693475BF1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    385000 | PA      | $376241.25    | 0.19%             | N/A             | Fixed         | 6.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MGL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1152810 | PA      | $1026405.36   | 0.51%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                          | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1390039.01   | 0.69%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                   | Vantage Data Centers LLC                                              | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $985830.36    | 0.49%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BK7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691251 | PA      | $682300.44    | 0.34%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140JVP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175859 | PA      | $1087811.80   | 0.54%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                          | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    978000 | PA      | $675190.50    | 0.33%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XBLV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317187 | PA      | $1168101.70   | 0.58%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 3132WGG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1062642 | PA      | $994681.74    | 0.49%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XGRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908147 | PA      | $852538.70    | 0.42%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133KPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1552020 | PA      | $1532395.78   | 0.76%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BAB67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1221544 | PA      | $1147853.05   | 0.57%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                               | Newmont Corp                                                          | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    926000 | PA      | $744262.98    | 0.37%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                           | Paramount Global                                                      | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    671000 | PA      | $488097.52    | 0.24%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                  | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    652000 | PA      | $443720.18    | 0.22%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance                              | Citibank Credit Card Issuance Trust                                   | CUSIP: 17305EGE9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |   2175000 | PA      | $2134369.48   | 1.05%             | 2029-05-14      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133KH4F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421529 | PA      | $372961.06    | 0.18%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                    | CF Hippolyta Issuer LLC                                               | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935551 | PA      | $835065.38    | 0.41%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3103000 | PA      | $2935850.11   | 1.45%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                          | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1005000 | PA      | $961760.67    | 0.48%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                             | Capital One Multi-Asset Execution Trust                               | CUSIP: 14041NCG4<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   2050000 | PA      | $1976167.82   | 0.98%             | 2028-05-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MRBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178665 | PA      | $1167403.49   | 0.58%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                | Equinix Inc                                                           | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    733000 | PA      | $651228.87    | 0.32%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                               | BB-UBS Trust 2012-SHOW                                                | CUSIP: 05538UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465000 | PA      | $1358873.79   | 0.67%             | 2036-11-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140X6RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248337 | PA      | $237403.76    | 0.12%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                  | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    709000 | PA      | $596619.30    | 0.29%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                              | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    795000 | PA      | $656605.66    | 0.32%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2013-BTC                        | CUSIP: 94988MAA8<br>LEI: 549300KFTBTHU5DFH733 | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1257228.32   | 0.62%             | 2035-04-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 31335AWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683802 | PA      | $655283.07    | 0.32%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 3132L7F95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252425 | PA      | $240695.08    | 0.12%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                                    | Daimler Trucks Finance North America LLC                              | CUSIP: 233853AH3<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    567000 | PA      | $439381.98    | 0.22%             | 2031-12-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                                    | United Airlines 2020-1 Class B Pass Through Trust                     | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    441960 | PA      | $420474.25    | 0.21%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                        | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $1113210.49   | 0.55%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                       | Tanger Properties LP                                                  | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    688000 | PA      | $498181.06    | 0.25%             | 2031-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BAS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1225894 | PA      | $1151940.96   | 0.57%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140N5LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1198524 | PA      | $1203768.19   | 0.59%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 31339SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483827 | PA      | $445446.65    | 0.22%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                  | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    578000 | PA      | $497290.04    | 0.25%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                     | Boardwalk Pipelines LP                                                | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    292000 | PA      | $277711.13    | 0.14%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                     | Bank of New York Mellon Corp/The                                      | CUSIP: 06406RBJ5<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1132000 | PA      | $1114742.32   | 0.55%             | 2026-07-24      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                       | Freeport-McMoRan Inc                                                  | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   1062000 | PA      | $957966.48    | 0.47%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                           | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    671000 | PA      | $520619.81    | 0.26%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                          | Hyatt Hotels Corp                                                     | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    743000 | PA      | $696199.10    | 0.34%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                            | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    463000 | PA      | $471569.49    | 0.23%             | 2026-10-21      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 3132QSGV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1001824 | PA      | $960660.65    | 0.47%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DREYFUS GOVERNMENT CASH MANAGEMENT                         | DREYFUS GOVERNMENT CASH MANAGEMENT                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    376995 | NS      | $376994.81    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                      | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    520000 | PA      | $438046.85    | 0.22%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                           | Paramount Global                                                      | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    558000 | PA      | $456705.92    | 0.23%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                        | LYB International Finance III LLC                                     | CUSIP: 50249AAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    494000 | PA      | $330525.01    | 0.16%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                          | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    914000 | PA      | $676989.02    | 0.33%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                   | Plains All American Pipeline LP / PAA Finance Corp                    | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1056000 | PA      | $917749.70    | 0.45%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                                    | United Airlines 2020-1 Class A Pass Through Trust                     | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    847291 | PA      | $835383.02    | 0.41%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC                                          | Arbys Funding LLC                                                     | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557175 | PA      | $470905.37    | 0.23%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                     | CUSIP: 3617FDDX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687386 | PA      | $705857.27    | 0.35%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BBTX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352000 | PA      | $349495.30    | 0.17%             | 2052-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XJXQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2290000 | PA      | $2189109.17   | 1.08%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140JXLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791172 | PA      | $729128.76    | 0.36%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                       | OneMain Finance Corp                                                  | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    884000 | PA      | $659587.42    | 0.33%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust             | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    525000 | PA      | $371161.72    | 0.18%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MNHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1919869 | PA      | $1750767.56   | 0.86%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8673000 | PA      | $8308124.20   | 4.10%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 3132XWJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912052 | PA      | $905690.37    | 0.45%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417292 | PA      | $412467.80    | 0.20%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                              | Carnival Corp                                                         | CUSIP: 143658BJ0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1193000 | PA      | $1127385.00   | 0.56%             | 2027-08-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1268621.34   | 0.63%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 91282CCL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4225000 | PA      | $3957801.75   | 1.96%             | 2024-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BNAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2113619 | PA      | $2084389.23   | 1.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10136000 | PA      | $10343471.25  | 5.11%             | 2032-11-15      | Fixed         | 4.12%                 | 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        |   5437235 | NS      | $5437235.29   | 2.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3132D9GL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1517803 | PA      | $1331080.56   | 0.66%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                            | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1198000 | PA      | $994202.40    | 0.49%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3132DNYP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3153991 | PA      | $3114028.40   | 1.54%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                            | CDS CDX.NA.HY.39.V1                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-86562.54    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 31417AC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774573 | PA      | $741030.05    | 0.37%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140QPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2520358 | PA      | $2364211.65   | 1.17%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XH7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2016045 | PA      | $2006674.77   | 0.99%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1814846 | PA      | $1670866.75   | 0.83%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MJSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327646 | PA      | $323115.06    | 0.16%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140KDBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561530 | PA      | $502786.45    | 0.25%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729124 | PA      | $649943.08    | 0.32%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                      | DB Master Finance LLC                                                 | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   1767150 | PA      | $1361316.93   | 0.67%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MPYB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296621 | PA      | $1278689.35   | 0.63%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140LWYL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1785416 | PA      | $1762793.69   | 0.87%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140QM6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706114 | PA      | $642638.70    | 0.32%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                                | KeyBank NA/Cleveland OH                                               | CUSIP: 49306SAA4<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    420000 | PA      | $403863.71    | 0.20%             | 2027-12-14      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                            | United States Treasury Inflation Indexed Bonds                        | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13047050 | PA      | $11427552.01  | 5.65%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER/TAL INT                                   | Triton Container International Ltd / TAL International Container Corp | CUSIP: 89681LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1588000 | PA      | $1218591.50   | 0.60%             | 2032-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XBC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993342 | PA      | $884271.87    | 0.44%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1287801 | PA      | $1146435.85   | 0.57%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                 | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    739000 | PA      | $459046.46    | 0.23%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 31417AJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887482 | PA      | $849051.18    | 0.42%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140MNG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118410 | PA      | $1024762.14   | 0.51%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                     | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    678000 | PA      | $533091.83    | 0.26%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XGMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1365698 | PA      | $1287739.24   | 0.64%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                        | Petroleos Mexicanos                                                   | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1643000 | PA      | $1287701.25   | 0.64%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP                                     | Hartford Financial Services Group Inc/The                             | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    639000 | PA      | $547036.33    | 0.27%             | 2029-08-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                  | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    943000 | PA      | $738559.82    | 0.36%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                        | Global Payments Inc                                                   | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    469000 | PA      | $454931.24    | 0.22%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2282659 | PA      | $2076357.25   | 1.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                                         | Kohl's Corp                                                           | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    820000 | PA      | $574787.20    | 0.28%             | 2031-05-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                   | Avolon Holdings Funding Ltd                                           | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1521000 | PA      | $1309087.79   | 0.65%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140XJTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2320499 | PA      | $2228580.08   | 1.10%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133B7QV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590824 | PA      | $541256.64    | 0.27%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                   | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    481000 | PA      | $471205.91    | 0.23%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                     | Taco Bell Funding LLC                                                 | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1386000 | PA      | $1053488.90   | 0.52%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                   | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    945000 | PA      | $880880.68    | 0.44%             | 2025-06-01      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 31335AAU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351441 | PA      | $345636.41    | 0.17%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Five Guys Funding, LLC                                     | Five Guys Funding LLC                                                 | CUSIP: 33830JAA3<br>LEI: 549300LV8X8T05G1H175 | Long             | ABS-O            | CORP              | US        |    977625 | PA      | $915116.64    | 0.45%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                           | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1506000 | PA      | $1299116.89   | 0.64%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133BPW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838395 | PA      | $842270.33    | 0.42%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                       | CUSIP: 3140FQTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289827 | PA      | $277609.75    | 0.14%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                      | CUSIP: 3133AL7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512649 | PA      | $456541.30    | 0.23%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                              | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    917000 | PA      | $611862.45    | 0.30%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                               | CUSIP: 05583JAM4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $760693.26    | 0.38%             | 2033-07-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                 | CUSIP: 3132VM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381794 | PA      | $364455.88    | 0.18%             | 2049-02-01      | Fixed         | 4.00%                 | 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