# EDGAR Filing Document

**Accession Number:** 0000844779
**File Stem:** 0001752724-23-009984
**Filing Date:** 2023-1
**Character Count:** 66314
**Document Hash:** 521dd1a943a913a8069a591e9554e478
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-009984.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-009984

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK FUNDS
- **CENTRAL INDEX KEY:** 0000844779
- **IRS NUMBER:** 510318674
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05742
- **FILM NUMBER:** 23548950

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COMPASS CAPITAL FUNDS\
- **DATE OF NAME CHANGE:** 19961114

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PNC FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NCP FUNDS
- **DATE OF NAME CHANGE:** 19890511

## Series and Classes Contracts Data

### BLACKROCK HIGH EQUITY INCOME FUND (Series ID: S000001509)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000004057 | INSTITUTIONAL | BMCIX           |
| C000004059 | INVESTOR A    | BMEAX           |
| C000004061 | INVESTOR C    | BMECX           |
| C000219259 | Class K       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds

- **b. Investment Company Act file number:** 811-05742

- **c. CIK number of Registrant:** 0000844779

- **d. LEI of Registrant:** 549300OZUEVJZHOBFP42

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock High Equity Income Fund

- **b. EDGAR series identifier (if any):** S000001509

- **c. LEI of Series:** 5P4Q4JLCZIQPV2V8P740

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1848297026.80

**Total Liabilities:** $37288051.21

**Net Assets:** $1811008975.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 235.65000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** 840.79000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000004061 | -9.33%               | 9.76%                | 5.99%                |
| Class ID C000004059 | -9.28%               | 9.80%                | 6.04%                |
| Class ID C000004057 | -9.27%               | 9.86%                | 6.07%                |
| Class ID C000219259 | -9.24%               | 9.87%                | 6.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-17278554.73            | $-147085614.46                             |
| Month 2  | $-30332745.54            | $171592525.53                              |
| Month 3  | $-7283488.29             | $100738690.71                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Shell PLC                        | Shell PLC                                                                                          | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |    379057 | NS      | $11093403.51  | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (LOCKHEED MARTIN CORP) 16.35% 12/23/2022 (LMT US)                        | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |      7900 | PA      | $3844527.09   | 0.21%             | 2022-12-23      | Fixed         | 16.35%                | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.       | HSBC SECURITIES (USA) INC (SIEMENS AG) 16.29% 12/01/2022 (SIE GY)                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DBT              | CORP              | GB        |     30100 | PA      | $3592849.24   | 0.20%             | 2022-12-01      | Fixed         | 16.29%                | No            |                  2 | On Loan: No      |
| Ross Stores Inc                  | Ross Stores Inc                                                                                    | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |    158794 | NS      | $18685289.98  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.     | BNP PARIBAS SECURITIES CORPORATION (WILLIS TOWERS WATSON PLC) 20.41% 12/08/2022 (WTW US)           | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Long             | DBT              | CORP              | US        |     38300 | PA      | $8046821.47   | 0.44%             | 2022-12-08      | Fixed         | 20.41%                | No            |                  2 | On Loan: No      |
| TD SECURITIES (USA) LLC          | TD SECURITIES INC (ELEVANCE HEALTH INC) 18.14% 01/19/2023 (ELV US)                                 | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Long             | DBT              | CORP              | US        |     15100 | PA      | $7516134.81   | 0.42%             | 2023-01-19      | Fixed         | 18.14%                | No            |                  2 | On Loan: No      |
| Unilever PLC                     | Unilever PLC                                                                                       | CUSIP: 904767704<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |    352202 | NS      | $17743936.76  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC       | J.P. MORGAN SECURITIES LLC (AT&T INC) 18.71% 12/14/2022 (T US)                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | DBT              | CORP              | US        |    481000 | PA      | $7889377.09   | 0.44%             | 2022-12-14      | Fixed         | 18.71%                | No            |                  2 | On Loan: No      |
| PPG Industries Inc               | PPG Industries Inc                                                                                 | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |    107778 | NS      | $14573741.16  | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Citizens Financial Group Inc     | Citizens Financial Group Inc                                                                       | CUSIP: 174610105<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EC               | CORP              | US        |    308020 | NS      | $13053887.60  | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Ralph Lauren Corp                | Ralph Lauren Corp                                                                                  | CUSIP: 751212101<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | EC               | CORP              | US        |    117883 | NS      | $13334924.96  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.     | BNP PARIBAS SECURITIES CORPORATION (WILLIAMS COS INC/THE) 19.95% 12/08/2022 (WMB US)               | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Long             | DBT              | CORP              | US        |    139100 | PA      | $4384562.14   | 0.24%             | 2022-12-08      | Fixed         | 19.95%                | No            |                  2 | On Loan: No      |
| Novo Nordisk A/S                 | Novo Nordisk A/S                                                                                   | CUSIP: 670100205<br>LEI: 549300DAQ1CVT6CXN342 | Long             | EC               | CORP              | DK        |     58080 | NS      | $7236768.00   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (PUBLIC SERVICE ENTERPRISE GROUP INC) 18.30% 01/19/2023 (PEG US)     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |    120900 | PA      | $6998356.31   | 0.39%             | 2023-01-19      | Fixed         | 18.30%                | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                | CISCO SYSTEMS INC                                                                                  | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |    386820 | NS      | $19232690.40  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (INVESCO LTD) 16.54% 01/19/2023 (IVZ US)                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |    160900 | PA      | $3067528.63   | 0.17%             | 2023-01-19      | Fixed         | 16.54%                | No            |                  2 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (COGNIZANT TECHNOLOGY SOLUTIONS CORP) 19.21% 12/23/2022 (CTSH US)        | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |    208300 | PA      | $12998362.13  | 0.72%             | 2022-12-23      | Fixed         | 19.21%                | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                  | AstraZeneca PLC                                                                                    | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |    192925 | NS      | $26110595.86  | 1.44%             |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                   | ConocoPhillips                                                                                     | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     56017 | NS      | $6918659.67   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Comerica Inc                     | Comerica Inc                                                                                       | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |     74363 | NS      | $5334801.62   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (MONDELEZ INTERNATIONAL INC) 18.77% 12/21/2022 (MDLZ US)                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |     49100 | PA      | $2995117.25   | 0.17%             | 2022-12-21      | Fixed         | 18.77%                | No            |                  2 | On Loan: No      |
| Airbus SE                        | Airbus SE                                                                                          | CUSIP: 000000000<br>LEI: MINO79WLOO247M1IL051 | Long             | EC               | CORP              | FR        |    125394 | NS      | $14394671.46  | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Financial In   | Fidelity National Financial Inc                                                                    | CUSIP: 31620R303<br>LEI: 549300CAZYIH39SYQ287 | Long             | EC               | CORP              | US        |    617794 | NS      | $24934165.84  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (UNILEVER PLC) 11.55 01/23/2023 (UL US)                                  | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |    209600 | PA      | $10423038.57  | 0.58%             | 2023-01-23      | Fixed         | 11.55%                | No            |                  2 | On Loan: No      |
| WELLS FARGO & CO                 | WELLS FARGO & CO                                                                                   | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    849036 | NS      | $40711276.20  | 2.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Sealed Air Corp                  | Sealed Air Corp                                                                                    | CUSIP: 81211K100<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | EC               | CORP              | US        |    479601 | NS      | $25529161.23  | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| BAE Systems PLC                  | BAE Systems PLC                                                                                    | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |   1135728 | NS      | $11247945.84  | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (AMERICAN ELECTRIC POWER CO INC) 18.55 12/23/2022 (AEP US)               | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |     64800 | PA      | $5975379.69   | 0.33%             | 2022-12-23      | Fixed         | 18.55%                | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.            | BOFA SECURITIES INC. (ALTRIA GROUP INC) 18.95% 12/21/2022 (MO US)                                  | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |    154600 | PA      | $7118679.53   | 0.39%             | 2022-12-21      | Fixed         | 18.95%                | No            |                  2 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (VODAFONE GROUP PLC) 32.87% 01/09/2023 (VOD LN)                          | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | GB        |   6349000 | PA      | $7306393.59   | 0.40%             | 2023-01-09      | Fixed         | 32.87%                | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp              | Kimberly-Clark Corp                                                                                | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |     52231 | NS      | $7084090.53   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (TELEFONAKTIEBOLAGET LM ERICSSON) 16.13 01/06/2023 (ERIC US)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |    261500 | PA      | $1555930.60   | 0.09%             | 2023-01-06      | Fixed         | 16.13%                | No            |                  2 | On Loan: No      |
| Fidelity National Information    | Fidelity National Information Services Inc                                                         | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    358226 | NS      | $26000043.08  | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (PRUDENTIAL FINANCIAL INC) 20.05 01/17/2023 (PRU US)                     | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |     17400 | PA      | $1888457.74   | 0.10%             | 2023-01-17      | Fixed         | 20.05%                | No            |                  2 | On Loan: No      |
| Merck & Co Inc                   | Merck & Co Inc                                                                                     | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     58210 | NS      | $6410085.20   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (RALPH LAUREN CORP) 24.19% 12/21/2022 (RL US)                                | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |     68200 | PA      | $7027235.02   | 0.39%             | 2022-12-21      | Fixed         | 24.19%                | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (SS&C TECHNOLOGIES HOLDINGS INC) 23.50% 01/11/2023 (SSNC US)                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |    178600 | PA      | $9391229.75   | 0.52%             | 2023-01-11      | Fixed         | 23.50%                | No            |                  2 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (KRAFT HEINZ CO/THE) 24.86% 12/14/2022 (KHC US)                         | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |    197400 | PA      | $7545359.70   | 0.42%             | 2022-12-14      | Fixed         | 24.86%                | No            |                  2 | On Loan: No      |
| Lear Corp                        | Lear Corp                                                                                          | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |    108215 | NS      | $15608931.60  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS SECURITIES LLC               | UBS SECURITIES LLC (SEMPRA ENERGY) 14.80 01/23/2023 (SRE US)                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | Long             | DBT              | CORP              | US        |     31100 | PA      | $5070014.53   | 0.28%             | 2023-01-23      | Fixed         | 14.80%                | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC/THE             | WILLIAMS COS INC                                                                                   | CUSIP: 969457100<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | EC               | CORP              | US        |    247132 | NS      | $8575480.40   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp                   | Microsoft Corp                                                                                     | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     57264 | NS      | $14610336.96  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                     | Broadcom Inc                                                                                       | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     17188 | NS      | $9471103.64   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.     | BNP PARIBAS SECURITIES CORPORATION (HUMANA INC) 19.67% 12/08/2022 (HUM US)                         | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Long             | DBT              | CORP              | US        |     14000 | PA      | $7317589.46   | 0.40%             | 2022-12-08      | Fixed         | 19.67%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC       | J.P. MORGAN SECURITIES LLC (SEALED AIR CORP) 19.48 01/17/2023 (SEE US)                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | DBT              | CORP              | US        |    198000 | PA      | $10270488.86  | 0.57%             | 2023-01-17      | Fixed         | 19.48%                | No            |                  2 | On Loan: No      |
| Dollar General Corp              | Dollar General Corp                                                                                | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     34143 | NS      | $8729682.24   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (LEAR CORP) 26.38 12/23/2022 (LEA US)                                    | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |     62500 | PA      | $8769142.08   | 0.48%             | 2022-12-23      | Fixed         | 26.38%                | No            |                  2 | On Loan: No      |
| British American Tobacco PLC     | British American Tobacco PLC                                                                       | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |    203474 | NS      | $8342841.19   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (NEWELL BRANDS INC) 26.72% 12/21/2022 (NWL US)                               | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |    361800 | PA      | $4757947.10   | 0.26%             | 2022-12-21      | Fixed         | 26.72%                | No            |                  2 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (CISCO SYSTEMS INC/DELAWARE) 17.29 12/23/2022 (CSCO US)                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |    276600 | PA      | $13318394.47  | 0.74%             | 2022-12-23      | Fixed         | 17.29%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC       | J.P. MORGAN SECURITIES LLC (FIDELITY NATIONAL INFORMATION SERVICES INC) 22.80% 01/11/2023 (FIS US) | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | DBT              | CORP              | US        |    148000 | PA      | $9908565.37   | 0.55%             | 2023-01-11      | Fixed         | 22.88%                | No            |                  2 | On Loan: No      |
| Humana Inc                       | Humana Inc                                                                                         | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |     21689 | NS      | $11926781.10  | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co                   | Eli Lilly & Co                                                                                     | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     17280 | NS      | $6412262.40   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Siemens AG                       | Siemens AG                                                                                         | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |     49222 | NS      | $6826345.30   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (SL GREEN REALTY CORP) 28.74% 12/21/2022 (SLG US)                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |     77800 | PA      | $3246161.39   | 0.18%             | 2022-12-21      | Fixed         | 28.74%                | No            |                  2 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (EQT CORP) 26.52% 01/06/2023 (EQT US)                                   | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |    202700 | PA      | $8599404.21   | 0.47%             | 2023-01-06      | Fixed         | 26.52%                | No            |                  2 | On Loan: No      |
| Elevance Health Inc              | Elevance Health Inc                                                                                | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |     25559 | NS      | $13620902.28  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.       | HSBC SECURITIES (USA) INC (AIRBUS SE) 17.06% 12/01/2022 (AIR FP)                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DBT              | CORP              | GB        |     74500 | PA      | $7891374.50   | 0.44%             | 2022-12-01      | Fixed         | 17.06%                | No            |                  2 | On Loan: No      |
| Mondelez International Inc       | Mondelez International Inc                                                                         | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |     85072 | NS      | $5751717.92   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Vodafone Group PLC               | Vodafone Group PLC                                                                                 | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | EC               | CORP              | GB        |  12752642 | NS      | $14125633.75  | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp       | Raytheon Technologies Corp                                                                         | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |    176945 | NS      | $17468010.40  | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (COMCAST CORP) 26.74% 01/06/2023 (CMCSA US)                             | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |    329400 | PA      | $10972174.22  | 0.61%             | 2023-01-06      | Fixed         | 26.74%                | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.            | BARCLAYS CAPITAL INC. (EQUITABLE HOLDINGS INC) 35.39% 12/21/2022 (EQH US)                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | DBT              | CORP              | US        |    268200 | PA      | $8142187.23   | 0.45%             | 2022-12-21      | Fixed         | 35.39%                | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions   | Cognizant Technology Solutions Corp                                                                | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    459243 | NS      | $28569507.03  | 1.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Sempra Energy                    | Sempra Energy                                                                                      | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     52474 | NS      | $8720654.06   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (CONOCOPHILLIPS) 19.53 12/23/2022 (COP US)                               | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |     32400 | PA      | $4043513.31   | 0.22%             | 2022-12-23      | Fixed         | 19.53%                | No            |                  2 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.        | BMO CAPITAL MARKETS CORP. (COMERICA INC) 20.88 01/17/2023 (CMA US)                                 | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Long             | DBT              | CORP              | US        |     43000 | PA      | $3108337.24   | 0.17%             | 2023-01-17      | Fixed         | 20.88%                | No            |                  2 | On Loan: No      |
| EQT Corp                         | EQT Corp                                                                                           | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |    350314 | NS      | $14856816.74  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (KIMBERLY-CLARK CORP) 18.74% 12/08/2022 (KMB US)                        | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |     53300 | PA      | $6133625.83   | 0.34%             | 2022-12-08      | Fixed         | 18.74%                | No            |                  2 | On Loan: No      |
| First Citizens BancShares Inc/   | First Citizens BancShares Inc/NC                                                                   | CUSIP: 31946M103<br>LEI: 549300N3Z00ZHE2XC526 | Long             | EC               | CORP              | US        |     20643 | NS      | $16854183.78  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (FIRST CITIZENS BANCSHARES INC/NC) 20.52 01/06/2023 (FCNCA US)       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |      8400 | PA      | $6859060.86   | 0.38%             | 2023-01-06      | Fixed         | 20.52%                | No            |                  2 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (ROGERS COMMUNICATIONS INC) 15.94 12/23/2022 (RCI/B CN)                  | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | CA        |    136000 | PA      | $6059755.90   | 0.33%             | 2022-12-23      | Fixed         | 15.94%                | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC       | VERIZON COMMUNICATIONS INC                                                                         | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |    395942 | NS      | $15433819.16  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                 | ALTRIA GROUP INC                                                                                   | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |    267190 | NS      | $12445710.20  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Public Service Enterprise Grou   | Public Service Enterprise Group Inc                                                                | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | EC               | CORP              | US        |    203112 | NS      | $12298431.60  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsung Electronics Co Ltd       | Samsung Electronics Co Ltd                                                                         | CUSIP: 796050888<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |     20627 | NS      | $24501876.61  | 1.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                    | Citigroup Inc                                                                                      | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |    666096 | NS      | $32245707.36  | 1.78%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.       | HSBC SECURITIES (USA) INC (PRUDENTIAL PLC) 18.26% 12/01/2022 (PRU LN)                              | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DBT              | CORP              | GB        |    611000 | PA      | $7107750.12   | 0.39%             | 2022-12-01      | Fixed         | 18.26%                | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc   | American Electric Power Co Inc                                                                     | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |    112125 | NS      | $10853700.00  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| BlackRock Liquidity Funds T-Fund | BlackRock Liquidity Funds T-Fund                                                                   | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  37749675 | NS      | $37749674.87  | 2.08%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC       | J.P. MORGAN SECURITIES LLC (CITIZENS FINANCIAL GROUP INC) 14.51 01/17/2023 (CFG US)                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | DBT              | CORP              | US        |    177000 | PA      | $7363099.76   | 0.41%             | 2023-01-17      | Fixed         | 14.51%                | No            |                  2 | On Loan: No      |
| Komatsu Ltd                      | Komatsu Ltd                                                                                        | CUSIP: 000000000<br>LEI: 5493004LQ0B4T7QPQV17 | Long             | EC               | CORP              | JP        |   1332700 | NS      | $30961989.40  | 1.71%             |  |  |  | No            |                  2 | On Loan: No      |
| Publicis Groupe SA               | Publicis Groupe SA                                                                                 | CUSIP: 000000000<br>LEI: 2138004KW8BV57III342 | Long             | EC               | CORP              | FR        |     93179 | NS      | $6132708.62   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.        | BMO CAPITAL MARKETS CORP. (RAYTHEON TECHNOLOGIES CORP) 24.15 01/11/2023 (RTX US)                   | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Long             | DBT              | CORP              | US        |    102300 | PA      | $10034945.04  | 0.55%             | 2023-01-11      | Fixed         | 24.15%                | No            |                  2 | On Loan: No      |
| Apollo Global Management Inc     | Apollo Global Management Inc                                                                       | CUSIP: 03769M106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    381649 | NS      | $26482624.11  | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Exelon Corp                      | Exelon Corp                                                                                        | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    322360 | NS      | $13336033.20  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Co                | General Motors Co                                                                                  | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |    600673 | NS      | $24363296.88  | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Newell Brands Inc                | Newell Brands Inc                                                                                  | CUSIP: 651229106<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | EC               | CORP              | US        |    625394 | NS      | $8111360.18   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (VERIZON COMMUNICATIONS INC) 19.70 01/17/2023 (VZ US)                    | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |    229000 | PA      | $8773670.88   | 0.48%             | 2023-01-17      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.            | BOFA SECURITIES INC. (LEIDOS HOLDINGS INC) 22.17 01/11/2023 (LDOS US)                              | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |     56900 | PA      | $6040181.41   | 0.33%             | 2023-01-11      | Fixed         | 22.17%                | No            |                  2 | On Loan: No      |
| TD SECURITIES (USA) LLC          | TD SECURITIES INC (MEDTRONIC PLC) 18.75% 01/19/2023 (MDT US)                                       | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Long             | DBT              | CORP              | US        |    164800 | PA      | $13114033.16  | 0.72%             | 2023-01-19      | Fixed         | 18.75%                | No            |                  2 | On Loan: No      |
| Cigna Corp                       | Cigna Corp                                                                                         | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |     48312 | NS      | $15889333.68  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp       | Capital One Financial Corp                                                                         | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |     84846 | NS      | $8759501.04   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (ASTRAZENECA PLC) 17.23% 12/01/2022 (AZN LN)                             | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | GB        |    127900 | PA      | $16101301.46  | 0.89%             | 2022-12-01      | Fixed         | 17.23%                | No            |                  2 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (FIDELITY NATIONAL FINANCIAL INC) 20.86 01/23/2023 (FNF US)              | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |    262800 | PA      | $10523163.66  | 0.58%             | 2023-01-23      | Fixed         | 20.86%                | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (BROADCOM INC) 17.13% 01/19/2023 (AVGO US)                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |     10200 | PA      | $5497623.80   | 0.30%             | 2023-01-19      | Fixed         | 17.13%                | No            |                  2 | On Loan: No      |
| Danone SA                        | Danone SA                                                                                          | CUSIP: 000000000<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |    209734 | NS      | $11023053.87  | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| Willis Towers Watson PLC         | Willis Towers Watson PLC                                                                           | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | GB        |     65006 | NS      | $16001876.96  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC          | GOLDMAN SACHS & CO. LLC (CITIGROUP INC) 23.61% 12/23/2022 (C US)                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DBT              | CORP              | US        |    275300 | PA      | $13198658.07  | 0.73%             | 2022-12-23      | Fixed         | 23.61%                | No            |                  2 | On Loan: No      |
| Robert Half International Inc    | Robert Half International Inc                                                                      | CUSIP: 770323103<br>LEI: 529900VPCUY9H3HLIC08 | Long             | EC               | CORP              | US        |    110190 | NS      | $8680768.20   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (MERCK & CO INC) 14.93 12/23/2022 (MRK US)                               | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |     33600 | PA      | $3526177.28   | 0.19%             | 2022-12-23      | Fixed         | 14.93%                | No            |                  2 | On Loan: No      |
| Edison International             | Edison International                                                                               | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |    156776 | NS      | $10450688.16  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES PLC       | JP MORGAN SECURITIES PLC (BAE SYSTEMS PLC) 18.07% 12/01/2022 (BA/ LN)                              | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Long             | DBT              | CORP              | GB        |    737100 | PA      | $7202592.05   | 0.40%             | 2022-12-01      | Fixed         | 18.07%                | No            |                  2 | On Loan: No      |
| Bayer AG                         | Bayer AG                                                                                           | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |    372398 | NS      | $21612827.01  | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc           | Equitable Holdings Inc                                                                             | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |    460092 | NS      | $14603320.08  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.       | HSBC SECURITIES (USA) INC (BAYER AG) 19.25% 12/12/2022 (BAYN GY)                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DBT              | CORP              | N/A       |    219600 | PA      | $12030589.09  | 0.66%             | 2022-12-12      | Fixed         | 19.25%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.     | BNP PARIBAS SECURITIES CORPORATION (WALMART INC) 17.10% 12/08/2022 (WMT US)                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Long             | DBT              | CORP              | US        |     24500 | PA      | $3411566.86   | 0.19%             | 2022-12-08      | Fixed         | 17.10%                | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.       | HSBC SECURITIES (USA) INC (SANOFI) 20.25% 12/12/2022 (SAN FP)                                      | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DBT              | CORP              | N/A       |    149600 | PA      | $13085369.80  | 0.72%             | 2022-12-12      | Fixed         | 20.25%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES PLC       | JP MORGAN SECURITIES PLC (PUBLICIS GROUPE SA) 14.33% 01/09/2023 (PUB FP)                           | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Long             | DBT              | CORP              | NL        |     53800 | PA      | $3463015.30   | 0.19%             | 2023-01-09      | Fixed         | 14.33%                | No            |                  2 | On Loan: No      |
| Comcast Corp                     | Comcast Corp                                                                                       | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    569349 | NS      | $20860947.36  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS SECURITIES LLC               | UBS SECURITIES LLC (PPG INDUSTRIES INC) 17.90 01/23/2023 (PPG US)                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | Long             | DBT              | CORP              | US        |     45800 | PA      | $6087424.20   | 0.34%             | 2023-01-23      | Fixed         | 17.90%                | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (GENERAL MOTORS CO) 17.57% 01/19/2023 (GM US)                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |    255400 | PA      | $10295632.94  | 0.57%             | 2023-01-19      | Fixed         | 17.57%                | No            |                  2 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (MICROSOFT CORP) 18.68% 01/06/2023 (MSFT US)                            | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |     33000 | PA      | $7929937.96   | 0.44%             | 2023-01-06      | Fixed         | 18.68%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.     | BNP PARIBAS SECURITIES CORPORATION (NOVO NORDISK A/S) 24.18% 12/08/2022 (NVO US)                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Long             | DBT              | CORP              | US        |     24000 | PA      | $2604933.06   | 0.14%             | 2022-12-08      | Fixed         | 24.18%                | No            |                  2 | On Loan: No      |
| American International Group I   | American International Group Inc                                                                   | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |    279948 | NS      | $17667518.28  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Zimmer Biomet Holdings Inc       | Zimmer Biomet Holdings Inc                                                                         | CUSIP: 98956P102<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | EC               | CORP              | US        |    159427 | NS      | $19147182.70  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Prudential PLC                   | Prudential PLC                                                                                     | CUSIP: 000000000<br>LEI: 5493001Z3ZE83NGK8Y12 | Long             | EC               | CORP              | GB        |   1171172 | NS      | $13931081.46  | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC               | UBS SECURITIES LLC (DOLLAR GENERAL CORP) 16.10 01/23/2023 (DG US)                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | Long             | DBT              | CORP              | US        |     20200 | PA      | $5182209.05   | 0.29%             | 2023-01-23      | Fixed         | 16.10%                | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (ZIMMER BIOMET HOLDINGS INC) 16.77% 01/19/2023 (ZBH US)              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |     94900 | PA      | $10958513.54  | 0.61%             | 2023-01-19      | Fixed         | 16.77%                | No            |                  2 | On Loan: No      |
| SS&C Technologies Holdings Inc   | SS&C Technologies Holdings Inc                                                                     | CUSIP: 78467J100<br>LEI: 529900POY8H7NPPNKK71 | Long             | EC               | CORP              | US        |    432072 | NS      | $23228190.72  | 1.28%             |  |  |  | No            |                  1 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.        | BMO CAPITAL MARKETS CORP. (LABORATORY CORP OF AMERICA HOLDINGS) 21.60% 12/14/2022 (LH US)          | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Long             | DBT              | CORP              | US        |     38800 | PA      | $8491331.08   | 0.47%             | 2022-12-14      | Fixed         | 21.60%                | No            |                  2 | On Loan: No      |
| Hess Corp                        | Hess Corp                                                                                          | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |     56364 | NS      | $8111343.24   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| BOFA SECURITIES, INC.            | BOFA SECURITIES INC. (EDISON INTERNATIONAL) 24.23 01/11/2023 (EIX US)                              | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |     90600 | PA      | $5579020.93   | 0.31%             | 2023-01-11      | Fixed         | 24.23%                | No            |                  2 | On Loan: No      |
| Ericsson                         | Telefonaktiebolaget LM Ericsson                                                                    | CUSIP: 294821608<br>LEI: 549300W9JLPW15XIFM52 | Long             | EC               | CORP              | SE        |    439155 | NS      | $2797417.35   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                         | AT&T Inc                                                                                           | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |    587440 | NS      | $11325843.20  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Rogers Communications Inc        | Rogers Communications Inc                                                                          | CUSIP: 775109200<br>LEI: 54930030NVF3Y2OL0A78 | Long             | EC               | CORP              | CA        |    298510 | NS      | $13732147.94  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                    | Medtronic PLC                                                                                      | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |    276921 | NS      | $21887835.84  | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Cardinal Health Inc              | Cardinal Health Inc                                                                                | CUSIP: 14149Y108<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | EC               | CORP              | US        |    315006 | NS      | $25254031.02  | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES PLC       | JP MORGAN SECURITIES PLC (BP PLC) 19.01% 12/01/2022 (BP/ LN)                                       | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Long             | DBT              | CORP              | GB        |   2549300 | PA      | $15124697.71  | 0.84%             | 2022-12-01      | Fixed         | 19.01%                | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp             | Lockheed Martin Corp                                                                               | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |     10115 | NS      | $4907696.85   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.    | CITIGROUP GLOBAL MARKETS INC. (ELI LILLY & CO) 28.60 01/06/2023 (LLY US)                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | DBT              | CORP              | US        |      7100 | PA      | $2626204.49   | 0.15%             | 2023-01-06      | Fixed         | 28.60%                | No            |                  2 | On Loan: No      |
| Walmart Inc                      | Walmart Inc                                                                                        | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     43750 | NS      | $6668375.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Laboratory Corp of America Hol   | Laboratory Corp of America Holdings                                                                | CUSIP: 50540R409<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | EC               | CORP              | US        |    131401 | NS      | $31628220.70  | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (HESS CORP) 33.27% 12/08/2022 (HES US)                                   | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | US        |     49300 | PA      | $6635934.02   | 0.37%             | 2022-12-08      | Fixed         | 33.27%                | No            |                  2 | On Loan: No      |
| SL Green Realty Corp             | SL Green Realty Corp                                                                               | CUSIP: 78440X887<br>LEI: 549300VQZPJU97H3GT17 | Long             | EC               | CORP              | US        |    188260 | NS      | $7899389.60   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.        | BMO CAPITAL MARKETS CORP. (CIGNA CORP) 19.80% 12/14/2022 (CI US)                                   | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Long             | DBT              | CORP              | US        |     31000 | PA      | $9512956.69   | 0.53%             | 2022-12-14      | Fixed         | 19.80%                | No            |                  2 | On Loan: No      |
| BMO CAPITAL MARKETS CORP.        | BMO CAPITAL MARKETS CORP. (WELLS FARGO & CO) 13.03 01/17/2023 (WFC US)                             | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Long             | DBT              | CORP              | US        |    350500 | PA      | $16732158.44  | 0.92%             | 2023-01-17      | Fixed         | 13.03%                | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.            | BOFA SECURITIES INC. (CARDINAL HEALTH INC) 19.33% 12/21/2022 (CAH US)                              | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |    130200 | PA      | $9964327.27   | 0.55%             | 2022-12-21      | Fixed         | 19.33%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES PLC       | JP MORGAN SECURITIES PLC (SHELL PLC) 17.90% 01/09/2023 (SHEL LN)                                   | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Long             | DBT              | CORP              | GB        |    188800 | PA      | $5592376.59   | 0.31%             | 2023-01-09      | Fixed         | 17.90%                | No            |                  2 | On Loan: No      |
| Prudential Financial Inc         | Prudential Financial Inc                                                                           | CUSIP: 744320102<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | EC               | CORP              | US        |     30500 | NS      | $3294915.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| RBC CAPITAL MARKETS, LLC         | RBC CAPITAL MARKETS, LLC. (BRITISH AMERICAN TOBACCO PLC) 20.85% 12/12/2022 (BATS LN)               | CUSIP: 000000000<br>LEI: 549300LCO2FLSSVFFR64 | Long             | DBT              | CORP              | GB        |    172700 | PA      | $6970114.31   | 0.38%             | 2022-12-12      | Fixed         | 20.85%                | No            |                  2 | On Loan: No      |
| SG AMERICAS SECURITIES, LLC      | SG AMERICAS SECURITIES LLC (APOLLO GLOBAL MANAGEMENT INC) 31.11% 12/14/2022 (APO US)               | CUSIP: 000000000<br>LEI: 549300F35UE0BOM1WJ55 | Long             | DBT              | CORP              | US        |    220800 | PA      | $12017214.45  | 0.66%             | 2022-12-14      | Fixed         | 31.11%                | No            |                  2 | On Loan: No      |
| Sanofi                           | Sanofi                                                                                             | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |    355103 | NS      | $32076208.99  | 1.77%             |  |  |  | No            |                  2 | On Loan: No      |
| Leidos Holdings Inc              | Leidos Holdings Inc                                                                                | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |     98536 | NS      | $10772940.88  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS SECURITIES LLC               | UBS SECURITIES LLC (AMERICAN INTERNATIONAL GROUP INC) 16.30 01/23/2023 (AIG US)                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | Long             | DBT              | CORP              | US        |    167900 | PA      | $10420284.75  | 0.58%             | 2023-01-23      | Fixed         | 16.30%                | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC               | UBS SECURITIES LLC (CAPITAL ONE FINANCIAL CORP) 20.80 01/23/2023 (COF US)                          | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | Long             | DBT              | CORP              | US        |     50400 | PA      | $5174667.56   | 0.29%             | 2023-01-23      | Fixed         | 20.80%                | No            |                  2 | On Loan: No      |
| Koninklijke Philips NV           | Koninklijke Philips NV                                                                             | CUSIP: 000000000<br>LEI: H1FJE8H61JGM1JSGM897 | Long             | EC               | CORP              | NL        |    850710 | NS      | $12747567.16  | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| Kraft Heinz Co/The               | Kraft Heinz Co/The                                                                                 | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Long             | EC               | CORP              | US        |    472966 | NS      | $18611212.10  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO SECURITIES USA LLC        | MIZUHO SECURITIES USA LLC (ROSS STORES INC) 16.15 01/17/2023 (ROST US)                             | CUSIP: 000000000<br>LEI: 7TK5RJIZDFROZCA6XF66 | Long             | DBT              | CORP              | US        |     65500 | PA      | $6990557.89   | 0.39%             | 2023-01-17      | Fixed         | 16.15%                | No            |                  2 | On Loan: No      |
| Baxter International Inc         | Baxter International Inc                                                                           | CUSIP: 071813109<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | EC               | CORP              | US        |    261440 | NS      | $14779203.20  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| L3Harris Technologies Inc        | L3Harris Technologies Inc                                                                          | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |    120380 | NS      | $27335890.40  | 1.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Invesco Ltd                      | Invesco Ltd                                                                                        | CUSIP: 000000000<br>LEI: ECPGFXU8A2SHKVVGJI15 | Long             | EC               | CORP              | US        |    270219 | NS      | $5163885.09   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BP PLC                           | BP PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800LH1BZH3DI6G760 | Long             | EC               | CORP              | GB        |   7138317 | NS      | $42628131.27  | 2.35%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** BlackRock Funds

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer