# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-067588
**Filing Date:** 2023-3
**Character Count:** 72640
**Document Hash:** d742f3352e0f5d4d8c07968f71d9fc23
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067588.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067588

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23763702

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity SAI U.S. Value Index Fund (Series ID: S000059763)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000195574 | Fidelity SAI U.S. Value Index Fund | FSWCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity SAI U.S. Value Index Fund

- **b. EDGAR series identifier (if any):** S000059763

- **c. LEI of Series:** 549300K0G31NQO1Q8723

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

- **a. Date of fiscal year-end:** 2023-07-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $1484057281.19

**Total Liabilities:** $8051536.64

**Net Assets:** $1476005744.55

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000195574 | 6.25%                | -5.74%               | 8.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $23079212.46             | $54812128.57                               |
| Month 2  | $3163830.70              | $-85557396.55                              |
| Month 3  | $11163107.17             | $99262839.92                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED AIRLINES HOLDINGS INC               | UNITED AIRLINES HOLDINGS INC                  | CUSIP: 910047109<br>LEI: 98450079DA0B78DD6764 | Long             | EC               | CORP              | US        |     87184 | NS      | $4268528.64   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS CO                          | GENERAL MOTORS CO                             | CUSIP: 37045V100<br>LEI: 54930070NSV60J38I987 | Long             | EC               | CORP              | US        |    378837 | NS      | $14895870.84  | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMMUNICATIONS INC                 | CHARTER COMMUNICATIONS INC A                  | CUSIP: 16119P108<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | EC               | CORP              | US        |     28644 | NS      | $11008175.64  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| COHERENT CORP                              | COHERENT CORP                                 | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Long             | EC               | CORP              | US        |     36984 | NS      | $1605105.60   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| NEWS CORP NEW                              | NEWS CORP NEW CL A                            | CUSIP: 65249B109<br>LEI: 549300ITS31QK8VRBQ14 | Long             | EC               | CORP              | US        |    133839 | NS      | $2711578.14   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEMAIN HLDGS INC                          | ONEMAIN HOLDINGS INC                          | CUSIP: 68268W103<br>LEI: 549300E3VEW8SMS5XW09 | Long             | EC               | CORP              | US        |     32508 | NS      | $1402395.12   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                          | STATE STREET CORP                             | CUSIP: 857477103<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EC               | CORP              | US        |     97847 | NS      | $8936366.51   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| ESSENT GROUP LTD                           | ESSENT GROUP LTD                              | CUSIP: N/A<br>LEI: 254900QUO860OUT6ZF83       | Long             | EC               | CORP              | BM        |     28729 | NS      | $1264937.87   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILLIPS 66                                | PHILLIPS 66                                   | CUSIP: 718546104<br>LEI: 5493005JBO5YSIGK1814 | Long             | EC               | CORP              | US        |    126025 | NS      | $12636526.75  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| LYONDELLBASELL INDS NV                     | LYONDELLBASELL INDS CLASS A                   | CUSIP: N/A<br>LEI: BN6WCCZ8OVP3ITUUVN49       | Long             | EC               | CORP              | NL        |     67736 | NS      | $6549393.84   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| TEGNA INC                                  | TEGNA INC                                     | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |     59504 | NS      | $1185914.72   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SVB FINANCIAL GROUP                        | SVB FINL GROUP                                | CUSIP: 78486Q101<br>LEI: 549300D2KJ20JMXE7542 | Long             | EC               | CORP              | US        |     15761 | NS      | $4766756.84   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| UNUM GROUP                                 | UNUM GROUP                                    | CUSIP: 91529Y106<br>LEI: 549300E32YFDO6TZ8R31 | Long             | EC               | CORP              | US        |     49866 | NS      | $2095867.98   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ARROW ELECTRONICS INC                      | ARROW ELECTRONICS INC                         | CUSIP: 042735100<br>LEI: 549300YNNLBXT8N8R512 | Long             | EC               | CORP              | US        |     16403 | NS      | $1927188.47   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ALASKA AIR GROUP INC                       | ALASKA AIR GROUP INC                          | CUSIP: 011659109<br>LEI: 529900G48RT4KWLC6C27 | Long             | EC               | CORP              | US        |     33822 | NS      | $1736421.48   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DELL TECHNOLOGIES INC                      | DELL TECHNOLOGIES INC CL C                    | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |     69100 | NS      | $2806842.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| AT and T INC                               | AT and T INC                                  | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |   1900558 | NS      | $38714366.46  | 2.62%             |  |  |  | No            |                  1 | On Loan: No      |
| HF SINCLAIR CORP                           | HF SINCLAIR CORP                              | CUSIP: 403949100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     35857 | NS      | $2040263.30   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL PAPER CO                     | INTERNATIONAL PAPER CO                        | CUSIP: 460146103<br>LEI: 824LMFJDH41EY779Q875 | Long             | EC               | CORP              | US        |     94850 | NS      | $3966627.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLE INC                                  | APPLE INC                                     | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    243038 | NS      | $35067953.02  | 2.38%             |  |  |  | No            |                  1 | On Loan: No      |
| JABIL INC                                  | JABIL INC                                     | CUSIP: 466313103<br>LEI: 5493000CGCQY2OQU7669 | Long             | EC               | CORP              | US        |     35904 | NS      | $2823131.52   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| FOX CORPORATION                            | FOX CORP CL A                                 | CUSIP: 35137L105<br>LEI: 549300DDU6FDRBIELS05 | Long             | EC               | CORP              | US        |    115463 | NS      | $3918814.22   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH               | HUNTINGTON BANCSHARES INC                     | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Long             | EC               | CORP              | US        |    363305 | NS      | $5511336.85   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE MTG TR INC                      | BLACKSTONE MORTGAGE TR CL A                   | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               | CORP              | US        |     45568 | NS      | $1086341.12   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON OIL CORP                          | MARATHON OIL CORP                             | CUSIP: 565849106<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | EC               | CORP              | US        |    169320 | NS      | $4651220.40   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| OLD REPUBLIC INTL CORP                     | OLD REPUBLIC INTL CORP                        | CUSIP: 680223104<br>LEI: 549300IV6O2YY2A1KH37 | Long             | EC               | CORP              | US        |     75528 | NS      | $1993183.92   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| MANPOWERGROUP INC                          | MANPOWERGROUP INC                             | CUSIP: 56418H100<br>LEI: ERO1WSFOSR0JJ6CRQ987 | Long             | EC               | CORP              | US        |     13480 | NS      | $1174916.80   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CONOCOPHILLIPS INC                         | CONOCOPHILLIPS                                | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    332273 | NS      | $40494110.51  | 2.74%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN ALLIANCE BANCORPORATN              | WESTERN ALLIANCE BANCORP                      | CUSIP: 957638109<br>LEI: 5493003VJXZ5JXT9S762 | Long             | EC               | CORP              | US        |     29043 | NS      | $2188970.91   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| MICROSOFT CORP                             | MICROSOFT CORP                                | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    103831 | NS      | $25730360.11  | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CO                              | FORD MOTOR CO                                 | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | EC               | CORP              | US        |   1053212 | NS      | $14228894.12  | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEVELAND-CLIFFS INC                       | CLEVELAND-CLIFFS INC                          | CUSIP: 185899101<br>LEI: 549300TM2WLI2BJMDD86 | Long             | EC               | CORP              | US        |    137438 | NS      | $2934301.30   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTROCK CO                                | WESTROCK CO                                   | CUSIP: 96145D105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     67818 | NS      | $2661178.32   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                    | BRISTOL-MYERS SQUIBB CO                       | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |    566981 | NS      | $41191169.65  | 2.79%             |  |  |  | No            |                  1 | On Loan: No      |
| ALCOA CORP                                 | ALCOA CORP                                    | CUSIP: 013872106<br>LEI: 549300T12EZ1F6PWWU29 | Long             | EC               | CORP              | US        |     47111 | NS      | $2461078.64   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| JONES LANG LASALLE INC                     | JONES LANG LASALLE INC                        | CUSIP: 48020Q107<br>LEI: 6SYKCME112RT8TQUO411 | Long             | EC               | CORP              | US        |     12658 | NS      | $2340084.46   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                   | EQT CORPORATION                               | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |     97874 | NS      | $3197543.58   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| HARLEY-DAVIDSON INC                        | HARLEY-DAVIDSON INC                           | CUSIP: 412822108<br>LEI: ZDNAWZWXIKMWI51R2A08 | Long             | EC               | CORP              | US        |     35468 | NS      | $1632592.04   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)              | GOLDMAN SACHS GROUP INC                       | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     90302 | NS      | $33033374.62  | 2.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                 | CAPITAL ONE FINANCIAL CORP                    | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |    101793 | NS      | $12113367.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| STEEL DYNAMICS INC                         | STEEL DYNAMICS INC                            | CUSIP: 858119100<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | EC               | CORP              | US        |     44491 | NS      | $5367394.24   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| PVH CORP                                   | PVH CORP                                      | CUSIP: 693656100<br>LEI: 123WALMHY1GZXG2YDL90 | Long             | EC               | CORP              | US        |     17392 | NS      | $1563540.80   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                 | CITIZENS FINANCIAL GROUP INC                  | CUSIP: 174610105<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | EC               | CORP              | US        |    131327 | NS      | $5689085.64   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS INC                         | META PLATFORMS INC CL A                       | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |    409705 | NS      | $61033753.85  | 4.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHORD ENERGY CORP                          | CHORD ENERGY CORP                             | CUSIP: 674215207<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | EC               | CORP              | US        |     11091 | NS      | $1589673.03   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TYSON FOODS INC                            | TYSON FOODS INC CL A                          | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |     77232 | NS      | $5078004.00   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| PDC ENERGY INC                             | PDC ENERGY INC                                | CUSIP: 69327R101<br>LEI: 5493008W8H2T511J5Y59 | Long             | EC               | CORP              | US        |     24566 | NS      | $1663855.18   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CHESAPEAKE ENERGY CORP                     | CHESAPEAKE ENERGY CORP                        | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |     28575 | NS      | $2478024.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK NEW YORK MELLON CORP                  | BANK OF NEW YORK MELLON CORP                  | CUSIP: 064058100<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | EC               | CORP              | US        |    193311 | NS      | $9775737.27   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| MAGNOLIA OIL and GAS CORPORATION           | MAGNOLIA OIL and GAS CORPO CL A               | CUSIP: 559663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     44622 | NS      | $1053525.42   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FLEX LTD                                   | FLEX LTD                                      | CUSIP: N/A<br>LEI: 549300EAQH74YHD07T53       | Long             | EC               | CORP              | SG        |    120746 | NS      | $2819419.10   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| ONE GAS INC                                | ONE GAS INC                                   | CUSIP: 68235P108<br>LEI: 549300HXDWI0LATTX840 | Long             | EC               | CORP              | US        |     14438 | NS      | $1189113.68   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ANTERO RESOURCES CORPORATION               | ANTERO RES CORP                               | CUSIP: 03674X106<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | EC               | CORP              | US        |     73628 | NS      | $2123431.52   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                     | SKYWORKS SOLUTIONS INC                        | CUSIP: 83088M102<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | EC               | CORP              | US        |     42779 | NS      | $4691572.93   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| STIFEL FINANCIAL CORP                      | STIFEL FINANCIAL CORP                         | CUSIP: 860630102<br>LEI: 549300E5F07FE5GHJX84 | Long             | EC               | CORP              | US        |     28335 | NS      | $1910062.35   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| COMERICA INC                               | COMERICA INC                                  | CUSIP: 200340107<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | EC               | CORP              | US        |     34919 | NS      | $2559911.89   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                   | MOLSON COORS BEVERAGE CO B                    | CUSIP: 60871R209<br>LEI: 54930073LBBH6ZCBE225 | Long             | EC               | CORP              | US        |     50137 | NS      | $2636203.46   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| APA CORP                                   | APA CORP                                      | CUSIP: 03743Q108<br>LEI: 549300VCIWLRHYVSHC79 | Long             | EC               | CORP              | US        |     85837 | NS      | $3805154.21   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| ORGANON and CO                             | ORGANON and CO                                | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |     67829 | NS      | $2043687.77   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNTSMAN CORP                              | HUNTSMAN CORP                                 | CUSIP: 447011107<br>LEI: 5299000V56320A7RIQ67 | Long             | EC               | CORP              | US        |     48166 | NS      | $1526380.54   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| REGAL REXNORD CORP                         | REGAL REXNORD CORP                            | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |     17640 | NS      | $2455488.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| RELIANCE STEEL and ALUMINUM CO             | RELIANCE STEEL and ALUMINUM CO                | CUSIP: 759509102<br>LEI: 549300E287ZOFT3C5Z56 | Long             | EC               | CORP              | US        |     15657 | NS      | $3561184.65   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN DIGITAL CORP                       | WESTERN DIGITAL CORP                          | CUSIP: 958102105<br>LEI: 549300QQXOOYEF89IC56 | Long             | EC               | CORP              | US        |     84706 | NS      | $3722828.70   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA CORP                                 | CIGNA CORP                                    | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |     81532 | NS      | $25818738.44  | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDICAL PROPERTIES TRUST INC               | MEDICAL PPTY TR INC                           | CUSIP: 58463J304<br>LEI: 254900U6E39J1MQCCY14 | Long             | EC               | CORP              | US        |    159478 | NS      | $2065240.10   | 0.14%             |  |  |  | No            |                  1 | On Loan: —       |
| WARNER BROS DISCOVERY INC                  | WARNER BROS DISCOVERY INC                     | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |    589301 | NS      | $8733440.82   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| DISH NETWORK CORP                          | DISH NETWORK CORP A                           | CUSIP: 25470M109<br>LEI: 529900U350CWHH15G169 | Long             | EC               | CORP              | US        |     67039 | NS      | $964691.21    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CLEARWAY ENERGY INC                        | CLEARWAY ENERGY INC CL C                      | CUSIP: 18539C204<br>LEI: 549300LHAZ9HA9G3XC48 | Long             | EC               | CORP              | US        |     30604 | NS      | $1034109.16   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIVAR SOLUTIONS INC                       | UNIVAR INC                                    | CUSIP: 91336L107<br>LEI: 549300VSXHFQVR770L55 | Long             | EC               | CORP              | US        |     43515 | NS      | $1500397.20   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES STEEL CORP                   | UNITED STATES STEEL CORP                      | CUSIP: 912909108<br>LEI: JNLUVFYJT1OZSIQ24U47 | Long             | EC               | CORP              | US        |     62360 | NS      | $1776636.40   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                 | INTEL CORP                                    | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |   1100531 | NS      | $31101006.06  | 2.11%             |  |  |  | No            |                  1 | On Loan: No      |
| DR HORTON INC                              | DR HORTON INC                                 | CUSIP: 23331A109<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | EC               | CORP              | US        |     83479 | NS      | $8238542.51   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO               | PIONEER NATURAL RESOURCES CO                  | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |     52897 | NS      | $12184823.95  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| UFP INDUSTRIES INC                         | UFP INDUSTRIES INC                            | CUSIP: 90278Q108<br>LEI: 5493007KB485C9OV5572 | Long             | EC               | CORP              | US        |     16441 | NS      | $1538055.55   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                  | OCCIDENTAL PETROLEUM CORP                     | CUSIP: 674599105<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | EC               | CORP              | US        |    193898 | NS      | $12562651.42  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                             | NRG ENERGY INC                                | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | EC               | CORP              | US        |     61441 | NS      | $2102511.02   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| POPULAR INC                                | POPULAR INC                                   | CUSIP: 733174700<br>LEI: 5493008CARDZMVQ3LO89 | Long             | EC               | CORP              | PR        |     19385 | NS      | $1330586.40   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NUCOR CORP                                 | NUCOR CORP                                    | CUSIP: 670346105<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | EC               | CORP              | US        |     68420 | NS      | $11564348.40  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNAPTICS INC                              | SYNAPTICS INC                                 | CUSIP: 87157D109<br>LEI: 549300AJ3LI4FWNRQX29 | Long             | EC               | CORP              | US        |     10629 | NS      | $1328943.87   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MATADOR RESOURCES COMPANY                  | MATADOR RESOURCES COMPANY                     | CUSIP: 576485205<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | EC               | CORP              | US        |     29924 | NS      | $1979771.84   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| QORVO INC                                  | QORVO INC                                     | CUSIP: 74736K101<br>LEI: 254900YAUJV2EUEVBR11 | Long             | EC               | CORP              | US        |     27031 | NS      | $2937188.46   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PFIZER INC                                 | PFIZER INC                                    | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   1037163 | NS      | $45801118.08  | 3.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MACYS INC                                  | MACYS INC                                     | CUSIP: 55616P104<br>LEI: 529900NZQ81TIOW3CW52 | Long             | EC               | CORP              | US        |     72270 | NS      | $1707740.10   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| PENN ENTERTAINMENT INC                     | PENN ENTERTAINMENT INC                        | CUSIP: 707569109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41363 | NS      | $1466318.35   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| TOLL BROS INC                              | TOLL BROTHERS INC                             | CUSIP: 889478103<br>LEI: 529900JB6IS9MSZGVR44 | Long             | EC               | CORP              | US        |     28109 | NS      | $1672204.41   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MKS INSTRUMENTS INC                        | MKS INSTRUMENTS INC                           | CUSIP: 55306N104<br>LEI: 549300KEQATBHAGVF505 | Long             | EC               | CORP              | US        |     15250 | NS      | $1560380.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC           | AMERICAN INTERNATIONAL GROUP                  | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |    198123 | NS      | $12525336.06  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM CORP                                   | SLM CORP                                      | CUSIP: 78442P106<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | EC               | CORP              | US        |     66730 | NS      | $1172446.10   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| REGIONS FINL CORP NEW                      | REGIONS FINANCIAL CORP                        | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |    229544 | NS      | $5403465.76   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC              | PRINCIPAL FINL GROUP INC                      | CUSIP: 74251V102<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | EC               | CORP              | US        |     60676 | NS      | $5615563.80   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| UGI CORP NEW                               | UGI CORP NEW                                  | CUSIP: 902681105<br>LEI: DX6GCWD4Q1JO9CRE5I40 | Long             | EC               | CORP              | US        |     55838 | NS      | $2224027.54   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| M and T BANK CORP                          | M and T BANK CORP                             | CUSIP: 55261F104<br>LEI: 549300WYXDDBYRASEG81 | Long             | EC               | CORP              | US        |     46030 | NS      | $7180680.00   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| EASTMAN CHEMICAL CO                        | EASTMAN CHEMICAL CO                           | CUSIP: 277432100<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | EC               | CORP              | US        |     32003 | NS      | $2821704.51   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN UNION CO/THE                       | WESTERN UNION CO                              | CUSIP: 959802109<br>LEI: 28ID94QU1140NC23S047 | Long             | EC               | CORP              | US        |    102990 | NS      | $1459368.30   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| JEFFERIES FINANCIAL GROUP INC              | JEFFERIES FINANCIAL GROUP INC                 | CUSIP: 47233W109<br>LEI: 549300HOF34RGOJ5YL07 | Long             | EC               | CORP              | US        |     48885 | NS      | $1920202.80   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CHEMOURS CO                                | CHEMOURS CO/ THE                              | CUSIP: 163851108<br>LEI: 549300M1BOLNXL8DOV14 | Long             | EC               | CORP              | US        |     40252 | NS      | $1464770.28   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK COMMUNITY BANCORP INC             | NEW YORK COMMUNITY BANCORP INC                | CUSIP: 649445103<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |    181432 | NS      | $1812505.68   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| VALERO ENERGY CORP                         | VALERO ENERGY CORP                            | CUSIP: 91913Y100<br>LEI: 549300XTO5VR8SKV1V74 | Long             | EC               | CORP              | US        |    102803 | NS      | $14395504.09  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| LABORATORY CORP OF AMERICA HOLDINGS        | LABORATORY CORP OF AMER HLDGS                 | CUSIP: 50540R409<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | EC               | CORP              | US        |     23627 | NS      | $5956839.24   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXSTAR MEDIA GROUP INC                    | NEXSTAR MEDIA GROUP INC                       | CUSIP: 65336K103<br>LEI: 52990083ZRR5UT591988 | Long             | EC               | CORP              | US        |     10058 | NS      | $2059576.66   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HANCOCK WHITNEY CORP                       | HANCOCK WHITNEY CORP                          | CUSIP: 410120109<br>LEI: 549300GRNBWY8HIICT41 | Long             | EC               | CORP              | US        |     22849 | NS      | $1176266.52   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MODERNA INC                                | MODERNA INC                                   | CUSIP: 60770K107<br>LEI: 549300EI6OKH5K5Q2G38 | Long             | EC               | CORP              | US        |     88107 | NS      | $15512118.42  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| VIATRIS INC                                | VIATRIS INC                                   | CUSIP: 92556V106<br>LEI: 254900ZZTSW7NL773X71 | Long             | EC               | CORP              | US        |    323388 | NS      | $3932398.08   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP HOLDINGS NV                         | AERCAP HOLDINGS NV                            | CUSIP: N/A<br>LEI: 549300SZYINBBLJQU475       | Long             | EC               | CORP              | NL        |     33439 | NS      | $2113679.19   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| KEYCORP                                    | KEYCORP                                       | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |    248785 | NS      | $4774184.15   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OZK                                   | BANK OZK                                      | CUSIP: 06417N103<br>LEI: 549300UULWC5CKW0VZ48 | Long             | EC               | CORP              | US        |     29515 | NS      | $1347950.05   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| PULTE GROUP INC                            | PULTEGROUP INC                                | CUSIP: 745867101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     60658 | NS      | $3450833.62   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| RYDER SYSTEM INC                           | RYDER SYSTEM INC                              | CUSIP: 783549108<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | EC               | CORP              | US        |     13350 | NS      | $1260373.50   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| THOR INDUSTRIES INC                        | THOR INDUSTRIES INC                           | CUSIP: 885160101<br>LEI: 254900XZO1228PDSG060 | Long             | EC               | CORP              | US        |     14335 | NS      | $1366555.55   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| HEWLETT PACKARD ENTERPRISE CO              | HEWLETT PACKARD ENTERPRISE CO                 | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Long             | EC               | CORP              | US        |    343111 | NS      | $5534380.43   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| FISERV INC                                 | FISERV INC                                    | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |    168033 | NS      | $17925760.44  | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC   | KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC      | CUSIP: 499049104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     42865 | NS      | $2533321.50   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC | FIDELITY NATL INFORM SVCS INC                 | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    158238 | NS      | $11874179.52  | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                   | ELANCO ANIMAL HEALTH INC                      | CUSIP: 28414H103<br>LEI: 549300SHPNDCE059M934 | Long             | EC               | CORP              | US        |    118862 | NS      | $1631975.26   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ZIFF DAVIS INC                             | ZIFF DAVIS INC                                | CUSIP: 48123V102<br>LEI: 5493008OJYGLHD7MXA18 | Long             | EC               | CORP              | US        |     12583 | NS      | $1125926.84   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNCHRONY FINANCIAL                        | SYNCHRONY FINANCIAL                           | CUSIP: 87165B103<br>LEI: 549300RS7EWPM9MA6C78 | Long             | EC               | CORP              | US        |    120158 | NS      | $4413403.34   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| OLIN CORP                                  | OLIN CORP                                     | CUSIP: 680665205<br>LEI: 549300GKK294V7W57P06 | Long             | EC               | CORP              | US        |     33973 | NS      | $2194316.07   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                  | UST BILLS 0% 06/29/2023                       | CUSIP: 912796ZR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $294367.78    | 0.02%             | 2023-06-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                     | SOUTHWESTERN ENERGY CO                        | CUSIP: 845467109<br>LEI: EFWMP121W54QV9MGOP87 | Long             | EC               | CORP              | US        |    294675 | NS      | $1626606.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CF INDUSTRIES HOLDINGS INC                 | CF INDUSTRIES HOLDINGS INC                    | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |     52262 | NS      | $4426591.40   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                              | CITIGROUP INC                                 | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |    516502 | NS      | $26971734.44  | 1.83%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL INC                  | BRIGHTHOUSE FINANCIAL INC                     | CUSIP: 10922N103<br>LEI: 5493003T8SZSHOGGAW52 | Long             | EC               | CORP              | US        |     18431 | NS      | $1037112.37   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SIGNATURE BK NEW YORK NY                   | SIGNATURE BANK                                | CUSIP: 82669G104<br>LEI: VLP5AP0XK2GM6GKD1007 | Long             | EC               | CORP              | US        |     16781 | NS      | $2163909.95   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| RITHM CAPITAL CORP                         | RITHM CAPITAL CORP                            | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               | CORP              | US        |    126342 | NS      | $1188878.22   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WHIRLPOOL CORP                             | WHIRLPOOL CORP                                | CUSIP: 963320106<br>LEI: WHENKOULSSK7WUM60H03 | Long             | EC               | CORP              | US        |     14531 | NS      | $2260878.29   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| QUIDELORTHO CORP                           | QUIDELORTHO CORP                              | CUSIP: 219798105<br>LEI: 549300YU8CMO9HF53113 | Long             | EC               | CORP              | US        |     14256 | NS      | $1220456.16   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM INC                               | QUALCOMM INC                                  | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |    104485 | NS      | $13918446.85  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP NEW                           | COMCAST CORP CL A                             | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |   1150413 | NS      | $45268751.55  | 3.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON PETROLEUM CORP                    | MARATHON PETROLEUM CORP                       | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |    124968 | NS      | $16060887.36  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| KROGER CO                                  | KROGER CO                                     | CUSIP: 501044101<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | EC               | CORP              | US        |    173708 | NS      | $7752588.04   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| MURPHY OIL CORP                            | MURPHY OIL CORP                               | CUSIP: 626717102<br>LEI: QBKYQD0ODE7DC7PDIN91 | Long             | EC               | CORP              | US        |     38951 | NS      | $1698653.11   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC            | FIDELITY NATIONAL FINL INC                    | CUSIP: 31620R303<br>LEI: 549300CAZYIH39SYQ287 | Long             | EC               | CORP              | US        |     72636 | NS      | $3198163.08   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAMONDBACK ENERGY INC                     | DIAMONDBACK ENERGY INC                        | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |     46925 | NS      | $6856681.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                 | VERIZON COMMUNICATIONS INC                    | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |   1119958 | NS      | $46556654.06  | 3.15%             |  |  |  | No            |                  1 | On Loan: No      |
| MGIC INVESTMENT CORP                       | MGIC INVESTMENT CORP                          | CUSIP: 552848103<br>LEI: 254900S8483WM4M98R28 | Long             | EC               | CORP              | US        |     79024 | NS      | $1115818.88   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMERCIAL METALS CO                       | COMMERCIAL METALS CO                          | CUSIP: 201723103<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | EC               | CORP              | US        |     31316 | NS      | $1699519.32   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| EXPEDIA GROUP INC                          | EXPEDIA INC                                   | CUSIP: 30212P303<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | EC               | CORP              | US        |     40150 | NS      | $4589145.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| BERRY GLOBAL GROUP INC                     | BERRY GLOBAL GROUP INC                        | CUSIP: 08579W103<br>LEI: 549300G6KKUMMXM8NH73 | Long             | EC               | CORP              | US        |     33361 | NS      | $2059374.53   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| VALLEY NATL BANCORP                        | VALLEY NATL BANCORP                           | CUSIP: 919794107<br>LEI: 549300ET52S1UBIB9762 | Long             | EC               | CORP              | US        |    112062 | NS      | $1331296.56   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| COTERRA ENERGY INC                         | COTERRA ENERGY INC                            | CUSIP: 127097103<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | EC               | CORP              | US        |    210232 | NS      | $5262106.96   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| PARAMOUNT GLOBAL                           | PARAMOUNT GLOBAL CL B                         | CUSIP: 92556H206<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | EC               | CORP              | US        |    137469 | NS      | $3183782.04   | 0.22%             |  |  |  | No            |                  1 | On Loan: —       |
| ASBURY AUTOMOTIVE GROUP INC                | ASBURY AUTOMOTIVE GROUP INC                   | CUSIP: 043436104<br>LEI: 549300JH4DTA7U42GL91 | Long             | EC               | CORP              | US        |      5903 | NS      | $1298660.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ACADEMY SPORTS and OUTDOORS INC            | ACADEMY SPORTS and OUTDOORS INC               | CUSIP: 00402L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     21266 | NS      | $1242359.72   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EXXON MOBIL CORP                           | EXXON MOBIL CORP                              | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |    517906 | NS      | $60082275.06  | 4.07%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLY FINANCIAL INC                         | ALLY FINANCIAL INC                            | CUSIP: 02005N100<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EC               | CORP              | US        |     79657 | NS      | $2588055.93   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS-SONOMA INC                        | WILLIAMS-SONOMA INC                           | CUSIP: 969904101<br>LEI: 549300IARG6YWVTZ1I92 | Long             | EC               | CORP              | US        |     17791 | NS      | $2400717.54   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| AVNET INC                                  | AVNET INC                                     | CUSIP: 053807103<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | EC               | CORP              | US        |     24408 | NS      | $1119839.04   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| LITHIA MOTORS INC                          | LITHIA MOTORS INC CL A                        | CUSIP: 536797103<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | EC               | CORP              | US        |      7291 | NS      | $1918991.20   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AUTONATION INC DEL                         | AUTONATION INC                                | CUSIP: 05329W102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9123 | NS      | $1156066.56   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC               | WALGREENS BOOTS ALLIANCE INC                  | CUSIP: 931427108<br>LEI: 549300RPTUOIXG4LIH86 | Long             | EC               | CORP              | US        |    191411 | NS      | $7055409.46   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                   | BUILDERS FIRSTSOURCE                          | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |     39252 | NS      | $3128384.40   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY GLOBAL PLC                         | LIBERTY GLOBAL PLC CL A                       | CUSIP: N/A<br>LEI: 549300BSGXG3QLIQYT84       | Long             | EC               | CORP              | GB        |    116346 | NS      | $2523544.74   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| HP INC                                     | HP INC                                        | CUSIP: 40434L105<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | EC               | CORP              | US        |    236055 | NS      | $6878642.70   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| ATKORE INC                                 | ATKORE INC                                    | CUSIP: 047649108<br>LEI: 52990002TI38AM4RPV48 | Long             | EC               | CORP              | US        |     11019 | NS      | $1435224.75   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLISON TRANSMISSION HLDGS INC             | ALLISON TRANSMISSION HLDGS INC                | CUSIP: 01973R101<br>LEI: 529900RP7DJ882LI9T83 | Long             | EC               | CORP              | US        |     24663 | NS      | $1111808.04   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CORNING INC                                | CORNING INC                                   | CUSIP: 219350105<br>LEI: 549300X2937PB0CJ7I56 | Long             | EC               | CORP              | US        |    202990 | NS      | $7025483.90   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| GLOBAL PAYMENTS INC                        | GLOBAL PAYMENTS INC                           | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |     72108 | NS      | $8128013.76   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDEX CORP                                 | FEDEX CORP                                    | CUSIP: 31428X106<br>LEI: 549300E707U7WNPZN687 | Long             | EC               | CORP              | US        |     63843 | NS      | $12376603.98  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORP NEW                      | DEVON ENERGY CORP                             | CUSIP: 25179M103<br>LEI: 54930042348RKR3ZPN35 | Long             | EC               | CORP              | US        |    102317 | NS      | $6470527.08   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| MICRON TECHNOLOGY INC                      | MICRON TECHNOLOGY INC                         | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |    289987 | NS      | $17486216.10  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| TRUIST FINANCIAL CORP                      | TRUIST FINL CORP                              | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |    353806 | NS      | $17474478.34  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                            | CVS HEALTH CORP                               | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |    350395 | NS      | $30911846.90  | 2.09%             |  |  |  | No            |                  1 | On Loan: No      |
| ANNALY CAPITAL MANAGEMENT INC              | ANNALY CAPITAL MGMT INC REIT                  | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |    124780 | NS      | $2928586.60   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PBF ENERGY INC                             | PBF ENERGY INC CL A                           | CUSIP: 69318G106<br>LEI: 2549003PBEDCSZMZIY02 | Long             | EC               | CORP              | US        |     30478 | NS      | $1279771.22   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNOVUS FINANCIAL CORP                     | SYNOVUS FINANCIAL CORP.                       | CUSIP: 87161C501<br>LEI: 549300EIUS8UN5JTLE54 | Long             | EC               | CORP              | US        |     38788 | NS      | $1627156.60   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| LOUISIANA PACIFIC CORP                     | LOUISIANA PACIFIC CORP                        | CUSIP: 546347105<br>LEI: 549300C7E2UAO5BVRR75 | Long             | EC               | CORP              | US        |     19125 | NS      | $1302221.25   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                | STARWOOD PROPERTY TRUST INC                   | CUSIP: 85571B105<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | EC               | CORP              | US        |     82543 | NS      | $1724323.27   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust               | Fidelity Securities Lending Cash Central Fund | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   7908055 | NS      | $7908846.12   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVER FINANCIAL SVS                     | DISCOVER FIN SVCS                             | CUSIP: 254709108<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | EC               | CORP              | US        |     72864 | NS      | $8505414.72   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| OWENS CORNING NEW                          | OWENS CORNING INC                             | CUSIP: 690742101<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | EC               | CORP              | US        |     24926 | NS      | $2409097.90   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GROUP INC/THE                      | CARLYLE GROUP INC (THE)                       | CUSIP: 14316J108<br>LEI: 529900NGGVF94UK6PG95 | Long             | EC               | CORP              | US        |     58172 | NS      | $2092446.84   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTENE CORP DEL                           | CENTENE CORP                                  | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |    151005 | NS      | $11512621.20  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO and CO                         | WELLS FARGO and CO                            | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |   1016136 | NS      | $47626294.32  | 3.23%             |  |  |  | No            |                  1 | On Loan: No      |
| WEBSTER FINANCIAL CORP                     | WEBSTER FINANCIAL                             | CUSIP: 947890109<br>LEI: KMRURHT0VWKYS6Z5KU67 | Long             | EC               | CORP              | US        |     46399 | NS      | $2442907.35   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| BRUNSWICK CORP                             | BRUNSWICK CORP                                | CUSIP: 117043109<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | EC               | CORP              | US        |     19337 | NS      | $1630689.21   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| XPO INC                                    | XPO INC                                       | CUSIP: 983793100<br>LEI: 54930096DB9LCLPN7H13 | Long             | EC               | CORP              | US        |     30722 | NS      | $1224578.92   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORPORATION                | BANK OF AMERICA CORPORATION                   | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |   1474818 | NS      | $52326542.64  | 3.55%             |  |  |  | No            |                  1 | On Loan: No      |
| TD SYNNEX CORP                             | TD SYNNEX CORP                                | CUSIP: 87162W100<br>LEI: 5493004HI6PFLF46NS53 | Long             | EC               | CORP              | US        |     11210 | NS      | $1145101.50   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ARCHER DANIELS MIDLAND CO                  | ARCHER DANIELS MIDLAND CO                     | CUSIP: 039483102<br>LEI: 549300LO13MQ9HYSTR83 | Long             | EC               | CORP              | US        |    146493 | NS      | $12136945.05  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNEOS HEALTH INC                          | SYNEOS HEALTH INC                             | CUSIP: 87166B102<br>LEI: 549300F1ZGKDS8P6GU13 | Long             | EC               | CORP              | US        |     27440 | NS      | $985644.80    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUITABLE HOLDINGS INC                     | EQUITABLE HOLDINGS INC                        | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |     91828 | NS      | $2944923.96   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| LENNAR CORP                                | LENNAR CORP CL A                              | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |     71175 | NS      | $7288320.00   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| FNB CORP PA                                | FNB CORP PA                                   | CUSIP: 302520101<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | EC               | CORP              | US        |     93523 | NS      | $1334573.21   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GILEAD SCIENCES INC                        | GILEAD SCIENCES INC                           | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |    247599 | NS      | $20783460.06  | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWEST AIRLINES CO                      | SOUTHWEST AIRLINES CO                         | CUSIP: 844741108<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | EC               | CORP              | US        |    158334 | NS      | $5663607.18   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITON INTERNATIONAL LTD/BERMUDA           | TRITON INTERNATIONAL LTD                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BM        |     15686 | NS      | $1108059.04   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| DOW INC                                    | DOW INC                                       | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |    187682 | NS      | $11138926.70  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| KRAFT HEINZ CO                             | KRAFT HEINZ CO                                | CUSIP: 500754106<br>LEI: 9845007488EC87F5AF14 | Long             | EC               | CORP              | US        |    212326 | NS      | $8605572.78   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| MOSAIC CO                                  | MOSAIC CO NEW                                 | CUSIP: 61945C103<br>LEI: 2YD5STGSJNMUB7H76907 | Long             | EC               | CORP              | US        |     90761 | NS      | $4496299.94   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| SM ENERGY CO                               | SM ENERGY CO                                  | CUSIP: 78454L100<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | EC               | CORP              | US        |     32735 | NS      | $1075999.45   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MOHAWK INDUSTRIES INC                      | MOHAWK INDUSTRIES INC                         | CUSIP: 608190104<br>LEI: 549300JI1115MG3Q6322 | Long             | EC               | CORP              | US        |     14064 | NS      | $1688523.84   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| DXC TECHNOLOGY CO                          | DXC TECHNOLOGY CO                             | CUSIP: 23355L106<br>LEI: 549300DOVZ3EDJB7O259 | Long             | EC               | CORP              | US        |     61353 | NS      | $1762671.69   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| EAST WEST BANCORP INC                      | EAST WEST BANCORP INC                         | CUSIP: 27579R104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     37583 | NS      | $2951017.16   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| OVINTIV INC                                | OVINTIV INC                                   | CUSIP: 69047Q102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     66195 | NS      | $3258779.85   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESCO LTD                                | INVESCO LTD                                   | CUSIP: N/A<br>LEI: ECPGFXU8A2SHKVVGJI15       | Long             | EC               | CORP              | BM        |    121270 | NS      | $2244707.70   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| RANGE RESOURCES CORP                       | RANGE RESOURCES CORP                          | CUSIP: 75281A109<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | EC               | CORP              | US        |     64426 | NS      | $1611938.52   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BORGWARNER INC                             | BORGWARNER INC                                | CUSIP: 099724106<br>LEI: 549300DSFX2IE88NSX47 | Long             | EC               | CORP              | US        |     62485 | NS      | $2954290.80   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                | S and P500 EMINI FUT MAR23 ESH3               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        12 | NC      | $110939.53    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SS and C TECHNOLOGIES HLDGS INC            | SS and C TECHNOLOGIES HOLDINGS INC            | CUSIP: 78467J100<br>LEI: 529900POY8H7NPPNKK71 | Long             | EC               | CORP              | US        |     58504 | NS      | $3530716.40   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| JAZZ PHARMACEUTICALS PLC                   | JAZZ PHARMA PLC                               | CUSIP: N/A<br>LEI: 635400GAUMJCLEZRRV50       | Long             | EC               | CORP              | IE        |     16790 | NS      | $2630321.40   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| COGNIZANT TECHNOLOGY SOLUTIONS CORP        | COGNIZANT TECH SOLUTIONS CL A                 | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    137046 | NS      | $9147820.50   | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| CELANESE CORP DEL                          | CELANESE CORP                                 | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |     26604 | NS      | $3277612.80   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| VITESSE ENERGY INC                         | VITESSE ENERGY INC                            | CUSIP: 92852X103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6239 | NS      | $99574.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LUMEN TECHNOLOGIES                         | LUMEN TECHNOLOGIES INC                        | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |    253857 | NS      | $1332749.25   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer