# EDGAR Filing Document

**Accession Number:** 0001018593
**File Stem:** 0001752724-23-035687
**Filing Date:** 2023-2
**Character Count:** 63907
**Document Hash:** 4256450c75425fd69f415cbead120e51
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035687.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035687

**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:** 23657473

**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 Core Bond Fund (Series ID: S000057044)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000181238 | Class A      | STGIX           |
| C000181239 | Class I      | STIGX           |
| C000181240 | Class R6     | STGZX           |

## 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 Core Bond Fund

- **b. EDGAR series identifier (if any):** S000057044

- **c. LEI of Series:** 549300YU1SX4KT6M9G41

**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:** $60502908.48

**Total Liabilities:** $727950.54

**Net Assets:** $59774957.94

**Cash Not Reported:** $1241312.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -105.00000000 | **1-Year:** 0.00000000 | **5-Year:** -988.00000000 | **10-Year:** -2969.00000000 | **30-Year:** -13445.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** -110.00000000 | **30-Year:** -3953.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000181240 | -1.38%               | 3.42%                | -0.74%               |
| Class ID C000181239 | -1.50%               | 3.52%                | -0.75%               |
| Class ID C000181238 | -5.20%               | -0.37%               | -4.49%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-904163.00              | $-236824.68                                |
| Month 2  | $-1575157.21             | $3652319.87                                |
| Month 3  | $-277867.17              | $-387091.76                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 3132WGG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365421 | PA      | $342050.67    | 0.57%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200268 | PA      | $178284.31    | 0.30%             | 2050-02-01      | Fixed         | 3.00%                 | 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        |    331793 | PA      | $310011.39    | 0.52%             | 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        |    245242 | PA      | $214041.05    | 0.36%             | 2060-07-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                     | CUSIP: 3617FDDH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288709 | PA      | $291628.31    | 0.49%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp II                                        | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $166095.59    | 0.28%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BAB67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459933 | PA      | $432187.59    | 0.72%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140QNB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426623 | PA      | $388154.41    | 0.65%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133APG60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106276 | PA      | $93386.46     | 0.16%             | 2051-07-01      | Fixed         | 3.00%                 | 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        |    350140 | PA      | $345218.92    | 0.58%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    322000 | PA      | $304654.76    | 0.51%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3596000 | PA      | $3669605.63   | 6.14%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION             | Kohl's Corp                                                           | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    234000 | PA      | $164024.64    | 0.27%             | 2031-05-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XJXQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645000 | PA      | $616583.15    | 1.03%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP         | Boardwalk Pipelines LP                                                | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    118000 | PA      | $98695.42     | 0.17%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XBC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443900 | PA      | $395158.99    | 0.66%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3132DNYP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1107095 | PA      | $1093067.70   | 1.83%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA        | Daimler Trucks Finance North America LLC                              | CUSIP: 233853AH3<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    182000 | PA      | $141036.19    | 0.24%             | 2031-12-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140QPLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425643 | PA      | $420084.96    | 0.70%             | 2052-06-01      | Fixed         | 5.00%                 | 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        |    190000 | PA      | $180964.68    | 0.30%             | 2035-04-16      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 31417AC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220596 | PA      | $211042.82    | 0.35%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES          | Continental Resources Inc/OK                                          | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    248000 | PA      | $183690.68    | 0.31%             | 2032-04-01      | Fixed         | 2.88%                 | 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        |    550000 | PA      | $530191.37    | 0.89%             | 2028-05-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                      | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    141000 | PA      | $118778.09    | 0.20%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP         | Boardwalk Pipelines LP                                                | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     82000 | PA      | $77987.37     | 0.13%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140LWYL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499149 | PA      | $492824.04    | 0.82%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XH7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566082 | PA      | $563450.55    | 0.94%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2013-C15                   | CUSIP: 46640NAD0<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    358429 | PA      | $355470.27    | 0.59%             | 2045-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207300 | PA      | $184787.74    | 0.31%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 31339SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182717 | PA      | $168222.15    | 0.28%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665776 | PA      | $605604.20    | 1.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 3132XWJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227608 | PA      | $226019.89    | 0.38%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                   | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     49000 | PA      | $43054.46     | 0.07%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 31417AJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252741 | PA      | $241796.51    | 0.40%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                              | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    255000 | PA      | $170147.14    | 0.28%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BELF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667325 | PA      | $642523.22    | 1.07%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                   | Newmont Corp                                                          | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    251000 | PA      | $201738.67    | 0.34%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BLAH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179466 | PA      | $180295.88    | 0.30%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY          | Wells Fargo & Co                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    383000 | PA      | $354658.38    | 0.59%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133A5BC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152167 | PA      | $136244.81    | 0.23%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133B7QV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192018 | PA      | $175908.40    | 0.29%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP              | Hyatt Hotels Corp                                                     | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    203000 | PA      | $190213.21    | 0.32%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MNHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641540 | PA      | $585033.71    | 0.98%             | 2052-05-01      | Fixed         | 3.50%                 | 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        |    435000 | PA      | $418735.09    | 0.70%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BPW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344341 | PA      | $345932.46    | 0.58%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 3132VM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235758 | PA      | $225051.50    | 0.38%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140E9KM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105306 | PA      | $100907.50    | 0.17%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC         | Williams Cos Inc/The                                                  | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    181000 | PA      | $123179.99    | 0.21%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                   | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    131000 | PA      | $127070.35    | 0.21%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BBF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275058 | PA      | $265269.79    | 0.44%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance  | Citibank Credit Card Issuance Trust                                   | CUSIP: 17305EGE9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $574071.79    | 0.96%             | 2029-05-14      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133KPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415806 | PA      | $410548.40    | 0.69%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140QPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697945 | PA      | $654704.76    | 1.10%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140JXLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156801 | PA      | $144505.05    | 0.24%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BK7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192419 | PA      | $189927.83    | 0.32%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $1360260.16   | 2.28%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP           | Tanger Properties LP                                                  | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    187000 | PA      | $135406.77    | 0.23%             | 2031-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc/The                                           | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    421000 | PA      | $363166.14    | 0.61%             | 2027-09-10      | Fixed         | 1.54%                 | 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        |    160000 | PA      | $125490.32    | 0.21%             | 2050-04-01      | Fixed         | 3.95%                 | 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        |    286000 | PA      | $248557.21    | 0.42%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140KDBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218963 | PA      | $196056.62    | 0.33%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133KH4F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227259 | PA      | $201074.66    | 0.34%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                            | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    129000 | PA      | $131387.61    | 0.22%             | 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        |    264901 | PA      | $254016.95    | 0.42%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC                                              | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $266995.72    | 0.45%             | 2045-09-15      | Fixed         | 1.99%                 | 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        |    431000 | PA      | $330738.63    | 0.55%             | 2032-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XHQB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503729 | PA      | $498651.89    | 0.83%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                    | Equinix Inc                                                           | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    199000 | PA      | $176800.20    | 0.30%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                  | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    198000 | PA      | $166615.83    | 0.28%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 91282CCL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2678000 | PA      | $2508637.42   | 4.20%             | 2024-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                        | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    355000 | PA      | $311418.22    | 0.52%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP               | HF Sinclair Corp                                                      | CUSIP: 403949AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    276000 | PA      | $242272.32    | 0.41%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XJTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665839 | PA      | $639464.10    | 1.07%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                        | BPCE SA                                                               | CUSIP: 05583JAM4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $237716.65    | 0.40%             | 2033-07-19      | Fixed         | 5.75%                 | 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        |    674900 | PA      | $606080.45    | 1.01%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MTEB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221551 | PA      | $218724.13    | 0.37%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                   | Newmont Corp                                                          | CUSIP: 651639AM8<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |    232000 | PA      | $242178.02    | 0.41%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 3132XULR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522604 | PA      | $486371.87    | 0.81%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6114000 | PA      | $5037362.81   | 8.43%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BBTX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94197 | PA      | $93526.91     | 0.16%             | 2052-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                    | Southern Co/The                                                       | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    193000 | PA      | $174186.97    | 0.29%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                  | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    256000 | PA      | $200499.80    | 0.34%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 912828S35<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    423000 | PA      | $416341.05    | 0.70%             | 2023-06-30      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                                   | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    134000 | PA      | $131271.50    | 0.22%             | 2025-08-01      | Fixed         | 3.95%                 | 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        |    164659 | PA      | $160287.87    | 0.27%             | 2025-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140QM6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207183 | PA      | $188558.66    | 0.32%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MJSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89412 | PA      | $88175.72     | 0.15%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314259 | PA      | $289327.58    | 0.48%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC           | Freeport-McMoRan Inc                                                  | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    294000 | PA      | $265199.76    | 0.44%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116610 | PA      | $115262.36    | 0.19%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133AL7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213604 | PA      | $190225.55    | 0.32%             | 2051-06-01      | 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        |    480150 | PA      | $369881.63    | 0.62%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    752000 | PA      | $690665.00    | 1.16%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL               | Paramount Global                                                      | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    187000 | PA      | $136027.18    | 0.23%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC              | Arbys Funding LLC                                                     | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254150 | PA      | $214798.94    | 0.36%             | 2050-07-30      | Fixed         | 3.24%                 | 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        |    175000 | PA      | $162156.18    | 0.27%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC         | Taco Bell Funding LLC                                                 | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371250 | PA      | $282184.53    | 0.47%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 312943ZY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273541 | PA      | $262987.45    | 0.44%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                    | KeyBank NA/Cleveland OH                                               | CUSIP: 49306SAA4<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240395.07    | 0.40%             | 2027-12-14      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811249 | PA      | $739463.76    | 1.24%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD       | Avolon Holdings Funding Ltd                                           | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    467000 | PA      | $401935.57    | 0.67%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140HKYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404831 | PA      | $388756.84    | 0.65%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC                                               | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331530 | PA      | $295921.23    | 0.50%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MUVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522730 | PA      | $504668.29    | 0.84%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MPYB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342785 | PA      | $338044.32    | 0.57%             | 2052-06-01      | Fixed         | 5.00%                 | 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        |   3982059 | PA      | $3487776.26   | 5.83%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140FQTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86948 | PA      | $83282.91     | 0.14%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140JMBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70637 | PA      | $69216.39     | 0.12%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140X6RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108920 | PA      | $104124.46    | 0.17%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                     | AbbVie Inc                                                            | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    335000 | PA      | $278011.52    | 0.47%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III            | LYB International Finance III LLC                                     | CUSIP: 50249AAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    137000 | PA      | $91663.82     | 0.15%             | 2051-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3132D9GL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422622 | PA      | $370630.22    | 0.62%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MNG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329787 | PA      | $302173.45    | 0.51%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                   | Broadcom Inc                                                          | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    272000 | PA      | $187783.04    | 0.31%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                   | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    412000 | PA      | $384045.33    | 0.64%             | 2025-06-01      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                      | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2225000 | PA      | $1997806.63   | 3.34%             | 2025-09-30      | Fixed         | 0.25%                 | 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        |    226000 | PA      | $159776.28    | 0.27%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140KDA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70569 | PA      | $63227.59     | 0.11%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARTFORD FINL SVCS GRP         | Hartford Financial Services Group Inc/The                             | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    173000 | PA      | $148102.17    | 0.25%             | 2029-08-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE               | Coca-Cola Co/The                                                      | CUSIP: 191216DD9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    363000 | PA      | $303448.68    | 0.51%             | 2028-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL | Stack Infrastructure Issuer LLC                                       | CUSIP: 85236KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $380001.78    | 0.64%             | 2046-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BNAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782822 | PA      | $771996.00    | 1.29%             | 2052-10-01      | Fixed         | 5.00%                 | 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        |    315000 | PA      | $310197.73    | 0.52%             | 2026-07-24      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                 | CUSIP: 31335AAU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121310 | PA      | $119305.97    | 0.20%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                       | Mars Inc                                                              | CUSIP: 571676AQ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    379000 | PA      | $228911.60    | 0.38%             | 2050-07-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MGL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434521 | PA      | $386875.87    | 0.65%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES         | PNC Financial Services Group Inc/The                                  | CUSIP: 693475BF1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    107000 | PA      | $104565.75    | 0.17%             | N/A             | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC       | Warnermedia Holdings Inc                                              | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    365000 | PA      | $265342.74    | 0.44%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140MRBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324133 | PA      | $321035.96    | 0.54%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                     | CUSIP: 3617FDDX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194261 | PA      | $199481.40    | 0.33%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE       | Pioneer Natural Resources Co                                          | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    482000 | PA      | $377464.11    | 0.63%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140N5LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334295 | PA      | $335757.89    | 0.56%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD       | Avolon Holdings Funding Ltd                                           | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    171000 | PA      | $155020.27    | 0.26%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER       | Enterprise Products Operating LLC                                     | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    188000 | PA      | $147818.97    | 0.25%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC          | Micron Technology Inc                                                 | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    205000 | PA      | $127340.36    | 0.21%             | 2051-11-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XGMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409292 | PA      | $385927.97    | 0.65%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                   | BB-UBS Trust 2012-SHOW                                                | CUSIP: 05538UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $561173.13    | 0.94%             | 2036-11-05      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 31346YJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357836 | PA      | $335826.58    | 0.56%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL               | Paramount Global                                                      | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    152000 | PA      | $124407.35    | 0.21%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 31417CSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373293 | PA      | $337096.80    | 0.56%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Five Guys Funding, LLC         | Five Guys Funding LLC                                                 | CUSIP: 33830JAA3<br>LEI: 549300LV8X8T05G1H175 | Long             | ABS-O            | CORP              | US        |    355500 | PA      | $332769.69    | 0.56%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140HARV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57837 | PA      | $53469.40     | 0.09%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                       | CUSIP: 3140XGRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261172 | PA      | $245180.15    | 0.41%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3131XYYX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202351 | PA      | $187540.60    | 0.31%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                        | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    472000 | PA      | $446535.30    | 0.75%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                      | CUSIP: 3133BAS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356220 | PA      | $334730.67    | 0.56%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust            | BWAY 2013-1515 Mortgage Trust                                         | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93381.91     | 0.16%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP           | Targa Resources Corp                                                  | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    157000 | PA      | $135077.05    | 0.23%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC         | Pacific Gas and Electric Co                                           | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    182000 | PA      | $141211.34    | 0.24%             | 2031-02-01      | Fixed         | 2.50%                 | 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