Dow Inc.
06/14/2021 | Press release | Distributed by Public on 06/14/2021 11:58
Annual Report of Employee Stock Purchase/Savings Plan (SEC Filing - 11-K)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 11-K
(Mark One)
þANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year endedDecember 31, 2020
OR
¨TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission file number: 001-38646
A.Full title of the plan and the address of the plan, if different from that of the issuer named below:
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:
Dow Inc.
2211 H.H. Dow Way
Midland, MI 48674
REQUIRED INFORMATION
Financial statements as of December 31, 2020 and 2019, and year ended December 31, 2020, supplemental schedule for the year ended December 31, 2020, and Report of Independent Registered Public Accounting Firm.
The Dow Chemical
Company Employees'
Savings Plan
Financial Statements as of December 31, 2020 and 2019,
and for Year Ended December 31, 2020 and Supplemental
Schedule for the Year Ended December 31, 2020
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
TABLE OF CONTENTS
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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1
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FINANCIAL STATEMENTS
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Statements of Net Assets Available for Benefits as of December 31, 2020 and 2019
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2
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Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2020
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3
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Notes to Financial Statements as of December 31, 2020 and 2019, and for the Year Ended December 31, 2020
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4
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SUPPLEMENTAL SCHEDULE
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Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2020
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11
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APPENDICES
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14
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EXHIBIT INDEX
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45
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SIGNATURES
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46
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Report of Independent Registered Public Accounting Firm
To Plan Participants and 401(k) Investment Committee of
The Dow Chemical Company Employees' Savings Plan
Midland, Michigan
Opinion on the Financial Statements
We have audited the accompanying statements of net assets available for benefits of The Dow Chemical Company Employees' Savings Plan (the 'Plan') as of December 31, 2020 and 2019, the related statement of changes in net assets available for benefits for the year ended December 31, 2020, and the related notes (collectively, the 'financial statements'). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2020 and 2019, and the changes in net assets available for benefits for the year ended December 31, 2020, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on the Plan's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ('PCAOB') and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by the Plan's management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Supplemental Information
The supplemental information in the accompanying Schedule of Assets Held at the End of Year as of December 31, 2020 has been subjected to audit procedures performed in conjunction with the audit of the Plan's financial statements. The supplemental information is presented for the purpose of additional analysis and is not a required part of the financial statements but included supplemental information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. The supplemental information is the responsibility of the Plan's management. Our audit procedures included determining whether the supplemental information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental information. In forming our opinion on the supplemental information, we evaluated whether the supplemental information, including its form and content, is presented in conformity with the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental information is fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ BDO USA, LLP
BDO USA, LLP
Grand Rapids, Michigan
June 14, 2021
We have served as the Plan's auditor since 2019.
1
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2020 and 2019
| 2020 | 2019 | |||||||||||
| Allocated Participant Directed | Unallocated Non-participant Directed | Total | Allocated Participant Directed | Unallocated Non-participant Directed | Total | |||||||
| Assets | ||||||||||||
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Investments - at fair value (Notes 3 and 4)
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$ | 9,191,738,777 | $ | 95,712,891 | $ | 9,287,451,668 | $ | 8,721,635,423 | $ | 191,290,286 | $ | 8,912,925,709 |
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Fully benefit-responsive investment contracts - at contract value
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2,029,622,679 | - | 2,029,622,679 | 1,880,324,853 | - | 1,880,324,853 | ||||||
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Receivables - interest, dividends and other
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8,248,882 | 576,719 | 8,825,601 | 4,598,211 | 5,798 | 4,604,009 | ||||||
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Receivables - participant notes
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98,356,901 | - | 98,356,901 | 103,900,465 | - | 103,900,465 | ||||||
| Total Assets | $ | 11,327,967,239 | $ | 96,289,610 | $ | 11,424,256,849 | $ | 10,710,458,952 | $ | 191,296,084 | $ | 10,901,755,036 |
| Liabilities | ||||||||||||
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LESOP loan payable (Note 5)
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$ | - | $ | 8,963,940 | $ | 8,963,940 | $ | - | $ | 18,052,019 | $ | 18,052,019 |
| Other payables | 5,509,244 | 433,020 | 5,942,264 | 5,155,054 | 869,654 | 6,024,708 | ||||||
| Total Liabilities | $ | 5,509,244 | $ | 9,396,960 | $ | 14,906,204 | $ | 5,155,054 | $ | 18,921,673 | $ | 24,076,727 |
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Net Assets Available For Benefits
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$ | 11,322,457,995 | $ | 86,892,650 | $ | 11,409,350,645 | $ | 10,705,303,898 | $ | 172,374,411 | $ | 10,877,678,309 |
See Notes to Financial Statements.
2
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2020
| Allocated Participant Directed | Unallocated Non- Participant Directed | Total | ||||
| Additions | ||||||
| Investment income | ||||||
| Net realized/unrealized gain (loss) on investments | $ | 1,261,352,845 | $ | (19,186,951) | $ | 1,242,165,894 |
| Interest and dividends | 113,684,547 | 6,888,583 | 120,573,130 | |||
| Total investment gain (loss) | $ | 1,375,037,392 | $ | (12,298,368) | $ | 1,362,739,024 |
| Employer contributions | $ | 13,948 | $ | 2,564,927 | $ | 2,578,875 |
| Employee contributions | 224,801,492 | - | 224,801,492 | |||
| Interest on participant notes receivable | 4,891,077 | - | 4,891,077 | |||
| Allocation of 1,754,921 shares of common stock of Dow Inc., at market | 75,097,569 | - | 75,097,569 | |||
| Total additions | $ | 1,679,841,478 | $ | (9,733,441) | $ | 1,670,108,037 |
| Deductions | ||||||
| Distributions and withdrawals | $ | 1,057,582,372 | $ | - | $ | 1,057,582,372 |
| Administrative expenses | 1,619,677 | - | 1,619,677 | |||
| Interest expense | - | 650,751 | 650,751 | |||
| Allocation of 1,754,921 shares of common stock of Dow Inc., at market | - | 75,097,569 | 75,097,569 | |||
| Total deductions | $ | 1,059,202,049 | $ | 75,748,320 | $ | 1,134,950,369 |
| Net increase (decrease) | $ | 620,639,429 | $ | (85,481,761) | $ | 535,157,668 |
| Transfers out | (3,485,332) | - | (3,485,332) | |||
| Net Assets Available for Benefits | ||||||
| Beginning of year | 10,705,303,898 | 172,374,411 | 10,877,678,309 | |||
| End of year | $ | 11,322,457,995 | $ | 86,892,650 | $ | 11,409,350,645 |
See Notes to Financial Statements.
3
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
NOTES TO FINANCIAL STATEMENTS
1.DESCRIPTION OF THE PLAN
The following description of The Dow Chemical Company Employees' Savings Plan (the 'Plan') provides only general information. Participants should refer to the Plan document or the Summary Plan Description provided to all participants for a more complete description of the Plan's provisions.
General - The Plan is a defined contribution plan consisting of (1) a profit sharing plan with a cash or deferred feature, which is intended to qualify under Sections 401(a) and 401(k) of the Internal Revenue Code as of 1986, as amended ('Code'), and (2) a leveraged employee stock ownership plan ('LESOP'), which is intended to qualify as a stock bonus plan under Sections 401(a) and 4975(e)(7). The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 ('ERISA'), as amended. The Plan covers any person who is, or becomes, an eligible employee of The Dow Chemical Company (the 'Company' or 'TDCC'), or of certain of TDCC's subsidiaries, including former employees with balances in the Plan.
Employee Contributions - Plan participants generally may elect to contribute from 0.5% to 40% of their compensation, depending on the participant's eligible pay, limited to a 0.5% minimum contribution. The maximum yearly gross compensation pre-tax or Roth 401(k) contribution made through payroll deductions was $19,500 in 2020. Participants who attained age 50 before the end of the plan year were eligible to make additional catch-up contributions in the amount of $6,500 in 2020. Plan participants may elect to increase, decrease, suspend, or resume compensation deferrals at any time. New elections are effective as soon as practicable after the request is processed. Newly hired eligible employees not electing to enroll, within a reasonable period of time, are automatically enrolled to contribute 6% of their eligible pay to the Plan, unless the employee elects to opt out. The automatic contributions will increase by 1% each year effective April 1, until the contribution rate reaches 10%, unless the employee designates otherwise. The contributions default to the applicable BTC Lifepath Fund based on the employee's date of birth, unless otherwise designated by the employee.
Company Contributions - In general, the Company's matching contribution provides a 100% match on the first 2% of eligible pay deferrals and a 50% match of the next 4% of eligible pay deferrals. Legacy Rohm and Haas Company employees' Company matching contributions are calculated as 100% of the first 3% of eligible pay deferrals and a 50% match of the next 3% of eligible pay deferrals. For legacy Dow Silicones Corporation (formally known as Dow Corning Corporation) employees hired prior to January 1, 2006, the Company's matching contribution provides a 100% match on the first 3% of eligible pay deferrals and 50% on the next 2% of eligible pay deferrals; and for those hired on and after January 1, 2006 and prior to September 1, 2016, the Company's matching contribution provides a 100% match on the first 3% of eligible pay deferrals and 50% on the next 4% of eligible pay deferrals. The Company's matching contribution is made in the form of Company stock from the LESOP. Employees may divest their Dow stock at any time and elect one of the other investment options available to them under the Plan.
In accordance with the provisions of the Plan, the Plan is required to release shares in proportion to the principal and interest paid on the LESOP loan as a percentage of beginning of year outstanding principal and interest. The shares released from unallocated LESOP shares are allocated to participants to satisfy the Company's matching requirements. In 2020, there was no 'Excess Employee Stock Ownership Program ('ESOP') Shares Distribution' contribution. No such contingent matching contributions were made to participants for the year ended December 31, 2020.
If the required Company matching contributions under the provisions of the Plan are greater than the value of the shares released, the Company is required to make an additional contribution to cover the shortfall. For the year ended December 31, 2020, the Company allocated shares of 51,240 and contributed cash of $576,690 to the Plan participants in March 2021, which was due to them under the Plan's true up provision.
Dividends - Participants invested in Dow Inc. stock funds may elect to receive dividends as a distribution rather than reinvesting dividends within the participant account.
Account Valuation - Participant account balances reflect the total contributions made to the Plan by employees and the Company, plus investment results, less expenses and withdrawals.
Vesting - Participants are immediately vested in all amounts credited to their Plan account, including employee contributions, Company contributions, and investment earnings.
4
Benefits Distribution - Benefits are generally distributable upon termination of employment as a lump-sum payment or partial withdrawal or may be deferred until minimum distributions are required by law. The Plan makes a lump-sum payment to terminated participants who have a balance that does not exceed $1,000. Active employees may request in-service distributions upon the attainment of age 59-1/2. Active employees under the age of 59-1/2 may request a distribution in the event of a financial hardship as defined by the Plan.
Participant Notes Receivable - Active participants, retirees and terminated participants may borrow from their employee contributions, plus earnings on those contributions, with a minimum note receivable of $1,000. Participant notes receivable are limited to the smaller of:
•50% of the total account balance or
•$50,000 less the highest outstanding participant note receivable balance in the preceding 12 months
Note receivable repayments for active employees are made through payroll deductions, on an after tax basis, with a minimum term of six months and a maximum of 60 months for any purpose other than the purchase of a primary residence; and a minimum term of six months and a maximum of 120 months for participant note receivable for the purpose of purchasing a primary residence. Repayments, both interest and principal, are credited to the participant's account and are allocated among the fund options according to the participant's current investment election. A fixed interest rate is applied to the note receivable. This rate is generally equal to the prime rate on the last day of each calendar quarter before the loan is processed. The range of interest rates on notes receivable outstanding at December 31, 2020 and 2019 was 3.25% to 10.5%.
Investments - Participants direct the investment of their contributions into various investment options offered by the Plan.
Related Party and Party-In-Interest Transactions - Administrative expenses of the trustee are charged to the Plan. The assets of the Plan are held by Fidelity Management Trust Company ('Fidelity'), who acts as independent trustee, custodian and recordkeeper for the investments in the Plan, except the assets held by Synthetic Guaranteed Investment Contracts, which are custodied at Bank of New York Mellon. Fidelity manages certain plan investments. All transactions with Fidelity qualify as party-in-interest transactions.
Plan investments include shares of common stock of TDCC's parent company, Dow Inc., and the Plan holds notes receivable from Plan participants.
The Plan has a loan outstanding with Dorintal Reinsurance, Ltd., a related party. See Note 5 for additional information.
Amendment or Termination - The Plan does not have an expiration date. The Company may at any time terminate, amend, or modify the Plan, subject to certain rights of the Plan participants. Upon termination of the Plan, each participant is entitled to receive the entire balance in his or her account in accordance with the terms of the Plan.
2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Accounting - The financial statements of the Plan have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America.
Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of net assets available for benefits and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for benefits during the reporting period. Actual results could differ from those estimates.
Investment Valuation and Income Recognition - Investments in the Plan consisting of common stock of Dow Inc., mutual funds, certain money market funds and common stock are stated at fair value based upon the quoted market value of such securities at year end. The investments in common/collective trusts are valued at net asset value per share (or its equivalent) of the fund, based on the fair values of the underlying net assets. There are no redemption restrictions or unfunded commitments on these investments. Temporary investments are investments in short term money market funds in the respective investment funds. Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date. Net appreciation (depreciation) in the fair value of investments includes the Plan's gains and losses on investments bought and sold as well as held during the year.
5
Investments of the Interest Income Fund ('Fund') included in the Plan consist of Synthetic Guaranteed Investment Contracts ('Synthetic GICs'), bonds, a money market fund, and a common collective trust fund. All of the Plan's Synthetic GICs are fully benefit-responsive and are recorded at contract value. Contract value is the amount participants would normally receive if they were to initiate permitted transactions under the terms of the Plan. Contract value represents deposits made to the contract plus earnings at guaranteed crediting rates less withdrawals and applicable fees. Synthetic GICs operate similarly to an insurance company separate account investment contract, except that the assets are placed in a separate custodial account (owned by the Plan) rather than such assets being held in a separate account of the insurance company. A Synthetic GIC is a wrap contract paired with an underlying investment or investments, usually a portfolio, owned by the Plan, of high-quality, intermediate term fixed income securities or common/collective trusts holding similar investments. The Plan purchases a wrapper contract from financial services institutions.
In addition to holding certain assets, Synthetic GICs include features designed to provide participant liquidity at book value as well as periodic interest crediting rates. The liquidity feature is also known as 'benefit responsiveness.' Synthetic GICs may be issued by banks, insurance companies and other financial institutions.
The Synthetic GICs provide for prospective crediting interest rate adjustments based on the interest earnings and fair value of the underlying assets. The crediting interest rates are reset monthly and the contracts guarantee that the crediting interest rates cannot be less than zero.
Certain events may limit the ability of the Plan to transact at contract value with the insurance company and the financial institution issuer. Such events include the following: (i) amendments to the plan documents (including complete or partial plan termination or merger with another plan); (ii) changes to the Plan's prohibition on competing investment options or deletion of equity wash provisions; (iii) bankruptcy of the plan sponsor or other plan sponsor events (e.g., divestitures or spin offs of a subsidiary) which cause a significant withdrawal from the Plan; or (iv) the failure of the Plan to qualify for exemption from federal income taxes or any required exemption of prohibited transactions under ERISA. The plan administrator does not believe that the occurrence of any such event that may limit the Plan's ability to transact at contract value is probable.
Synthetic GICs generally impose conditions on both the Plan and the issuer. If an event of default occurs and is not resolved, the non-defaulting party may terminate the contract. The following may cause the Plan to be in default: a breach of material obligation under the contract; a material misrepresentation; or a material amendment to the plan agreement. The issuer may be in default if it breaches a material obligation under the investment contract; makes a material misrepresentation; or is acquired or reorganized and the successor issuer does not satisfy the investment or credit guidelines applicable to issuers. If, in the event of default of an issuer, the Plan were unable to obtain a replacement investment contract, losses may occur if the market value of the Plan's assets, which were covered by the contract, is below the contract value. The Plan may seek to add additional issuers over time to diversify the Plan's exposure to such risk, but there is no assurance the Plan may be able to do so. The combination of the default of an issuer and an inability to obtain a replacement agreement could render the Plan unable to achieve its objective of maintaining a stable contract value. The terms of an investment contract generally provide for settlement of payments only upon termination of the contract or total liquidation of the covered investments. Generally, payments will be made pro rata, based on the percentage of investments covered by each issuer. Contract termination occurs whenever the contract value or market value of the covered investments reaches zero or upon certain events of default.
If the contract terminates due to issuer default (other than a default occurring because of a decline in its rating), the issuer will generally be required to pay to the Plan the excess, if any, of contract value over market value on the date of termination. If a contract terminates due to a decline in the ratings of the issuer, the issuer may be required to pay to the Plan the cost of acquiring a replacement contract (i.e., replacement cost) within the meaning of the contract. If the contract terminates when the market value equals zero, the issuer will pay the excess of contract value over market value to the Plan to the extent necessary for the Plan to satisfy outstanding contract value withdrawal requests. Contract termination also may occur by either party upon election and notice.
Changes in fixed income market conditions and interest rates may affect the yield to maturity and the market value of the underlying investments. Such changes could have a material impact on the Synthetic GIC's future interest crediting rates. In addition, participant withdrawals from and transfers out of the Interest Income Fund made according to Plan provisions are paid at contract value but funded through the market value liquidation of the underlying investments. This process of funding participant withdrawals and transfers from market value liquidations of underlying investments may also have an effect on future interest crediting rates.
Participant Notes Receivable - Participant notes receivable are recorded at their unpaid principal balances plus any accrued interest. Participant notes receivable are written off when deemed uncollectible. No allowance for credit losses has been recorded as of December 31, 2020 and 2019.
6
Benefits Payable - Amounts payable to persons who have withdrawn from participation are not recorded as a liability of the Plan. Benefits payable to participants who had withdrawn from participation in the Plan as of December 31, 2020 and 2019 were insignificant.
Federal Income Tax Status - The Internal Revenue Service has determined and informed the Company by a letter dated September 2, 2014, that the Plan is qualified and the trust established under the Plan is tax exempt under the appropriate sections of the Internal Revenue Code (the 'Code'). Although the Plan has been amended since receiving the determination letter, the plan administrator believes the Plan is designed and is currently being operated in compliance with the applicable requirements of the Code.
In accordance with guidance on accounting for uncertainty in income taxes, management evaluated the Plan's tax position and does not believe the Plan has any uncertain tax positions that require disclosure or adjustment to the financial statements. The Plan is subject to routine audits by taxing authorities; however, there are currently no audits for any tax periods in progress.
Risks and Uncertainties - The Plan invests in various investment instruments, including shares of the common stock of Dow Inc. Investment securities, in general, are exposed to various risks, such as interest rate, credit and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the financial statements.
The pandemic caused by coronavirus disease 2019 ('COVID-19') has impacted and may continue to impact investment results. The ultimate severity and duration of the COVID-19 pandemic and the resulting impact on the Plan cannot be reasonably estimated.
3. LEVERAGED EMPLOYEE STOCK OWNERSHIP PLAN INVESTMENTS
The Plan's investment in The Dow Chemical Company LESOP, at December 31, 2020 and 2019, is presented in the following table:
| 2020 | 2019 | |||||||
| Allocated | Unallocated | Allocated | Unallocated | |||||
| Number of Shares | 4,402,962 | 1,721,653 | 4,586,156 | 3,476,574 | ||||
| Cost | $ | 19,195,037 | $ | 48,578,984 | $ | 20,448,646 | $ | 91,256,210 |
| Fair Value | $ | 244,364,391 | $ | 95,551,742 | $ | 251,000,318 | $ | 190,272,895 |
4. FAIR VALUE
Accounting standards require certain assets and liabilities be reported at fair value in the financial statements and provide a framework for establishing that fair value. The framework for determining fair value is based on a hierarchy that prioritizes the inputs and valuation techniques used to measure fair value.
For investments classified as Level 1 measurements (measured using quoted prices in active markets), the total fair value is either the price of the most recent trade at the time of the market close or the official close price as defined by the exchange in which the asset is most actively traded on the last trading day of the period, multiplied by the number of units held without consideration of transaction costs.
For investments classified as Level 2 measurements, where the security is frequently traded in less active markets, fair value is based on the closing price at the end of the period; where the security is less frequently traded, fair value is based on the price a dealer would pay for the security or similar securities, adjusted for any terms specific to that security. Market inputs are obtained from well-established and recognized vendors of market data and subjected to tolerance/quality checks.
For investments classified as Level 3 measurements, the total fair value is based on significant unobservable inputs including assumptions where there is little, if any, market activity for the investment. The investment's fair value level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.
7
The following table presents information about certain assets of the Plan measured at fair value on a recurring basis:
| Assets Measured at Fair Value on a Recurring Basis | December 31, 2020 | December 31, 2019 | ||||||
| Total | Level 1 | Total | Level 1 | |||||
| Dow Inc. Common Stock: | ||||||||
| Allocated participant directed | $ | 582,601,371 | $ | 582,601,371 | $ | 562,685,150 | $ | 562,685,150 |
| Unallocated non-participant directed | 95,551,742 | 95,551,742 | 190,272,895 | 190,272,895 | ||||
| Common stock | 733,214,184 | 733,214,184 | 794,975,916 | 794,975,916 | ||||
| Mutual funds | 1,686,751,549 | 1,686,751,549 | 1,628,888,655 | 1,628,888,655 | ||||
| Temporary investments - Money market funds: | ||||||||
| Allocated participant directed | 64,485,031 | 64,485,031 | 84,975,342 | 84,975,342 | ||||
| Unallocated non-participant directed | 161,149 | 161,149 | 1,017,391 | 1,017,391 | ||||
| Total categorized assets at fair value | $ | 3,162,765,026 | $ | 3,162,765,026 | $ | 3,262,815,349 | $ | 3,262,815,349 |
|
Fair value measured at net asset value per share: 1
|
||||||||
| Common/collective trusts | 6,124,686,642 | 5,650,110,360 | ||||||
| Total assets at fair value | $ | 9,287,451,668 | $ | 8,912,925,709 |
1.Investments in common/collective trusts are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the statements of net assets available for benefits.
The Plan's policy is to recognize transfers between levels of the fair value hierarchy as of the actual date of the event of change in circumstances that caused the transfer. There were no significant transfers between levels of the fair value hierarchy during 2020.
5. LEVERAGED EMPLOYEE STOCK OWNERSHIP PLAN AND LOAN PAYABLE
The Plan consists of a profit sharing plan with a cash or deferred feature which is intended to qualify under Sections 401(a) and 401(k) of the Code and an ESOP that is intended to qualify (as a stock bonus plan) under Sections 401(a) and 4975(e)(7) of the Code. The ESOP consists of (i) a leveraged employee stock ownership plan ('LESOP'), and (ii) the Dow Inc. stock funds. The LESOP includes (i) the assets of the Suspense Account and (ii) a LESOP Stock Fund which (A) shall consist of shares of Dow Inc. common stock acquired with the proceeds of exempt loans, and allocated to participant accounts, and (B) shall provide for such subaccounts as described in the definition of 'LESOP Account' in Section 1.3 in the Plan and as further necessary. The portion of the Plan invested in the Dow Inc. stock funds constitutes part of the employee stock ownership plan under Section 4975(e)(7) of the Code. The Trustee or its nominee votes all unallocated shares under the LESOP.
The Plan has a loan outstanding with Dorintal Reinsurance, Ltd., a related party, which bears interest at 4% and matures in 2024. Additional principal payments were made in 2019 and 2020 and, therefore, the loan is now expected to be paid in full in 2022. The Plan uses dividends paid on unallocated shares of Dow Inc. common stock to make the scheduled quarterly principal and interest payments. If needed, the Plan may use dividends paid on allocated shares of Dow Inc. common stock. The Company is required to make a cash contribution to fund any quarterly shortages in common stock dividends paid as compared to required principal and interest payments. In 2020, Dow contributed cash to the plan to cover the shortfall on the loan repayment. Dow Inc. declared common stock dividends of $2.80 per share during 2020.
Interest expense for the year ended December 31, 2020 was $650,751. The minimum principal payments on the loan to maturity are as follows:
| Minimum Loan Principal Payment to Maturity | At December 31, 2020 | |
| 2021 | $ | 5,164,164 |
| 2022 | 3,799,776 | |
| Total | $ | 8,963,940 |
8
6. RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
The following is a reconciliation of net assets available for benefits per the financial statements to Form 5500 as of December 31, 2020 and 2019:
| Reconciliation of Net Assets Available for Benefits per the Financial Statements to Form 5500 at December 31, | 2020 | 2019 | ||
| Net assets available for benefits per the financial statements | $ | 11,409,350,645 | $ | 10,877,678,309 |
| Adjustment from contract value to fair value for fully benefit-responsive Synthetic GICs | 92,988,189 | 36,300,993 | ||
| Net assets available for benefits per Form 5500 | $ | 11,502,338,834 | $ | 10,913,979,302 |
The following is a reconciliation of net increase in net assets available for benefits per the financial statements to Form 5500 for the year ended December 31, 2020:
| Reconciliation of Net Increase in Net Assets Available for Benefits per the Financial Statements to Form 5500 for 2020 | ||
| Net increase in net assets available for benefits per the financial statements | $ | 535,157,668 |
| Adjustment from contract value to fair value for fully benefit-responsive Synthetic GICs | 56,687,196 | |
| Net income per Form 5500 | $ | 591,844,864 |
7.SUBSEQUENT EVENTS
On March 4, 2021, the Company announced changes to its U.S. retirement programs, including changes in Company contributions to the Plan. Effective January 1, 2022, the Company will harmonize matching contributions to the Plan across the Company's U.S. eligible employee population. The new matching contribution will allow all eligible U.S. employees to receive matching contributions of up to 5 percent of their eligible compensation. In addition, beginning on January 1, 2024, all eligible U.S. employees will receive an automatic non-elective contribution to the Plan of 4 percent of their eligible compensation.
9
SUPPLEMENTAL SCHEDULE
10
| THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN | ||||
| PLAN SPONSOR: THE DOW CHEMICAL COMPANY | ||||
| EMPLOYER IDENTIFICATION NO. 38-1285128 | ||||
| PLAN NO. 002 | ||||
| SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR) | ||||
| INCLUDING APPENDICES A - E | ||||
| AS OF DECEMBER 31, 2020 | ||||
| (c) | ||||
| Description of Investment | ||||
| (b) | Including Maturity Date, | (d) | (e) | |
| Identity of Issuer, Borrower, | Rate of Interest, Collateral, | Cost or Contract | Current | |
| (a) | Lessor, or Similar Party | Par, or Maturity Value | Value | Value |
| * | Dow Inc. | |||
| Dow Inc. Stock | Dow Stock | ** | $ | 338,236,980 |
| LESOP | Allocated LESOP - Dow Stock | ** | 244,364,391 | |
| LESOP | Unallocated LESOP - Dow Stock | $ | 48,578,984 | 95,551,742 |
| DuPont Stock | Common Stock | ** | 454,487,831 | |
| Corteva Inc. Stock | Common Stock | ** | 248,346,247 | |
| Lilly Pre 91 Stock | Common Stock | ** | 1,161,282 | |
| Lilly Post 90 Stock | Common Stock | ** | 4,469,701 | |
| Linde Stock Fund | Common Stock | ** | 24,749,123 | |
| T. Rowe Price US Treasury Fund | Common/Collective Trust | ** | 144,663,036 | |
| PIM Total Return Inst | Mutual Fund | ** | 197,060,514 | |
| TRP IS MID CP EQ GR | Mutual Fund | ** | 553,571,355 | |
| NB Genesis R6 | Mutual Fund | ** | 261,012,126 | |
| TRP High Yield Inst | Mutual Fund | ** | 116,682,170 | |
| BTC LP IDX RETIRE N | Common/Collective Trust | ** | 322,259,670 | |
| BTC LP IDX 2025 N | Common/Collective Trust | ** | 355,844,289 | |
| BTC LP IDX 2030 N | Common/Collective Trust | ** | 323,829,884 | |
| BTC LP IDX 2035 N | Common/Collective Trust | ** | 238,449,109 | |
| BTC LP IDX 2040 N | Common/Collective Trust | ** | 200,114,472 | |
| BTC LP IDX 2045 N | Common/Collective Trust | ** | 182,430,510 | |
| BTC LP IDX 2050 N | Common/Collective Trust | ** | 155,519,473 | |
| BTC LP IDX 2055 N | Common/Collective Trust | ** | 144,425,669 | |
| BTC LP IDX 2060 N | Common/Collective Trust | ** | 21,117,163 | |
| ACWI ex-US IMI Index | Common/Collective Trust | ** | 185,234,600 | |
| MFS Heritage MFS US REIT Fund | Common/Collective Trust | ** | 57,903,374 | |
| MKS Convertible | Common/Collective Trust | ** | 35,777,495 | |
| Vang Inst 500 IDX TR | Common/Collective Trust | ** | 1,725,841,110 | |
| Vang Inst Ext Mkt | Common/Collective Trust | ** | 454,546,867 | |
| Vang Inst Tot Bd IDX | Common/Collective Trust | ** | 215,745,979 | |
| Vang Global Equity | Mutual Fund | ** | 237,978,207 | |
| Vang Dev Mkt IDX IP | Mutual Fund | ** | 144,317,044 | |
| Vang LT Treasury ADM | Mutual Fund | ** | 98,716,512 | |
| PIM Com Real Ret I | Mutual Fund | ** | 10,881,207 | |
| PIM Real Return Inst | Mutual Fund | ** | 66,532,414 | |
| Small Cap: | ||||
| BTC Russel 2000 Index Fund | Common/Collective Trust | ** | 312,057,526 | |
| Emerging Markets IDX: | ||||
| Emerging Markets Non-Lend | Common/Collective Trust | ** | 110,319,278 | |
| Forward | $ | 8,284,198,350 | ||
| * | Represents a party-in-interest to the Plan | |||
| ** | Cost information not required |
11
| THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN | ||||
| PLAN SPONSOR: THE DOW CHEMICAL COMPANY | ||||
| EMPLOYER IDENTIFICATION NO. 38-1285128 | ||||
| PLAN NO. 002 | ||||
| SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR) | ||||
| INCLUDING APPENDICES A - E | ||||
| AS OF DECEMBER 31, 2020 | ||||
| (c) | ||||
| Description of Investment | ||||
| (b) | Including Maturity Date, | (d) | (e) | |
| Identity of Issuer, Borrower, | Rate of Interest, Collateral, | Cost or Contract | Current | |
| (a) | Lessor, or Similar Party | Par, or Maturity Value | Value | Value |
| Forward | $ | 8,284,198,350 | ||
| * | Fidelity Contrafund Pool CL 2 | Common/Collective Trust | ** | 938,607,138 |
| * | Interest Bearing Cash | Temporary Investments | ** | 11,610,590 |
| * | Fidelity Short Term Investment Fund | Temporary Investments | ** | 53,035,590 |
| * | Participant Notes Receivable | Interest recorded at prime rate (3.25% - 10.5%) and maturities up to 60 months | ** | 98,356,901 |
| Total | $ | 9,385,808,569 | ||
| * | Represents a party-in-interest to the Plan | (continued) | ||
| ** | Cost information not required |
12
| THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN | ||||
| PLAN SPONSOR: THE DOW CHEMICAL COMPANY | ||||
| EMPLOYER IDENTIFICATION NO. 38-1285128 | ||||
| PLAN NO. 002 | ||||
| SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR) | ||||
| INCLUDING APPENDICES A - E | ||||
| AS OF DECEMBER 31, 2020 | ||||
| (c) | ||||
| Description of Investment | ||||
| (b) | Including Maturity Date, | (d) | (e) | |
| Identity of Issuer, Borrower, | Rate of Interest, Collateral, | Cost or Contract | Current | |
| (a) | Lessor, or Similar Party | Par, or Maturity Value | Value | Value |
| Pacific Life: | ||||
| G- 27523.01.0001 (see underlying assets at Appendix A) |
IGT Invesco ShrtTrm Bond; PIMCO; Synthetic GIC
|
** | $ | 292,899,908 |
| Voya Retirement & Annuity: | ||||
|
60031-A (see underlying assets at Appendix A)
|
IGT Invesco ShrtTrm Bond; PIMCO; Synthetic GIC
|
** | 400,884,155 | |
| 60090 (see underlying assets at Appendix B) |
Various Securities, maturity dates, and asset types; Synthetic GIC
|
** | 1,286,086 | |
| Transamerica: | ||||
| MDA01078TR (see underlying assets at Appendix C) | IGT Invesco ShrtTrm Bond; Dow NISA; Synthetic GIC | ** | 347,447,804 | |
| RGA: | ||||
| RGA 00036 (see underlying assets at Appendix E) | IGT Invesco ShrtTrm Bond; Wellington; Synthetic GIC | ** | $ | 283,054,128 |
| Prudential Insurance: | ||||
| GA-62233 (see underlying assets at Appendix D) | Jennison; Synthetic GIC | ** | $ | 347,565,148 |
| GA-63084 |
IGT Invesco ShrtTrm Bond; Synthetic GIC
|
** | $ | 35,560,317 |
| Met Tower Life: | ||||
| 38025 (see underlying assets at Appendix E) | IGT Invesco ShrtTrm Bond; Wellington; MacKay Shields; Synthetic GIC | ** | $ | 320,925,133 |
| Total guaranteed investment contracts | $ | 2,029,622,679 | ||
| Total | $ | 11,415,431,248 | ||
| * | Represents a party-in-interest to the Plan | |||
| ** | Cost information not required |
13
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
PLAN SPONSOR: THE DOW CHEMICAL COMPANY
EMPLOYER IDENTIFICATION NO. 38-1285128
PLAN NO. 002
APPENDIX A - UNDERLYING ASSETS FOR PACIFIC LIFE G-27523.01.0001 AND VOYA RETIREMENT & ANNUITY 60031-A
December 31, 2020
| (c) | ||||||
| (b) | Face Value | (e) | ||||
| Identity of Issue, Borrower, | or Number | (d) | Current | |||
| (a) | Lessor or Similar Party | of Shares | Cost | Value | ||
| ADVENTIST HEALTH SYSTEM/WEST | 2.433% 09/01/2024 DD 10/31/19 | 700,000 | $ | 700,000 | $ | 725,705 |
| ALEXANDRIA REAL ESTATE EQU | 1.875% 02/01/2033 DD 08/05/20 | 700,000 | 698,684 | 698,880 | ||
| AMERICAN TOWER CORP | 3.000% 06/15/2023 DD 12/08/17 | 900,000 | 925,875 | 953,577 | ||
| AMERICAN TOWER CORP | 2.750% 01/15/2027 DD 10/03/19 | 700,000 | 698,866 | 759,444 | ||
| ANDREW W MELLON FOUNDATION/THE | 0.947% 08/01/2027 DD 07/29/20 | 700,000 | 700,000 | 699,524 | ||
| AT&T INC | 4.300% 02/15/2030 DD 08/15/18 | 1,549,000 | 1,557,163 | 1,850,342 | ||
| AVIATION CAPITAL GROUP LL 144A | 2.875% 01/20/2022 DD 01/20/17 | 400,000 | 404,832 | 405,028 | ||
| BANK 2017-BNK7 BNK7 ASB | 3.265% 09/15/2060 DD 09/01/17 | 1,000,000 | 1,029,960 | 1,092,200 | ||
| BANK OF AMERICA CORP | VAR RT 07/21/2028 DD 07/21/17 | 2,800,000 | 2,982,196 | 3,180,856 | ||
| BANK OF AMERICA CORP | VAR RT 12/20/2028 DD 12/20/17 | 800,000 | 805,326 | 903,632 | ||
| BANK OF AMERICA CORP | VAR RT 02/13/2026 DD 02/13/20 | 100,000 | 100,150 | 104,804 | ||
| BANNER HEALTH | 1.897% 01/01/2031 DD 10/29/20 | 400,000 | 400,000 | 407,556 | ||
| BARCLAYS PLC | VAR RT 06/24/2031 DD 06/24/20 | 2,100,000 | 2,164,785 | 2,186,814 | ||
| BAT CAPITAL CORP | 2.259% 03/25/2028 DD 09/25/20 | 500,000 | 500,000 | 519,025 | ||
| BAY AREA CA TOLL AUTH TOLL BRI | 2.574% 04/01/2031 DD 09/26/19 | 800,000 | 870,496 | 862,736 | ||
| BAYER US FINANCE II LLC 144A | VAR RT 06/25/2021 DD 06/25/18 | 700,000 | 700,000 | 701,421 | ||
| BEAR STEARNS ALT-A TRUS 11 2A2 | VAR RT 11/25/2034 DD 09/01/04 | 44,583 | 43,942 | 45,003 | ||
| BMW US CAPITAL LLC 144A | VAR RT 04/12/2021 DD 04/12/18 | 1,000,000 | 1,000,000 | 1,000,680 | ||
| BNP PARIBAS SA 144A | VAR RT 01/10/2025 DD 01/10/19 | 700,000 | 755,552 | 778,001 | ||
| BPCE SA | 4.000% 04/15/2024 DD 04/15/14 | 1,300,000 | 1,327,690 | 1,439,386 | ||
| CALIFORNIA ST UNIV REVENUE | 1.690% 11/01/2029 DD 09/17/20 | 600,000 | 600,000 | 601,638 | ||
| CGMS COMMERCIAL MORT B1 AAB | 3.243% 08/15/2050 DD 08/01/17 | 2,300,000 | 2,360,131 | 2,515,924 | ||
| CHARTER COMMUNICATIONS OPER | 4.464% 07/23/2022 DD 07/23/16 | 500,000 | 537,530 | 527,120 | ||
| CHESAPEAKE FUNDING 1A A1 144A | 2.940% 04/15/2031 DD 03/26/19 | 656,834 | 656,736 | 667,389 | ||
| CITIGROUP COMMERCIAL GC11 AAB | 2.690% 04/10/2046 DD 04/01/13 | 175,203 | 174,772 | 178,837 | ||
| CITIGROUP COMMERCIAL GC29 AAB | 2.984% 04/10/2048 DD 04/01/15 | 599,243 | 612,281 | 624,309 | ||
| CITIGROUP COMMERCIAL MO B2 AAB | 3.962% 03/10/2051 DD 03/01/18 | 700,000 | 720,960 | 798,049 | ||
| CITIGROUP COMMERCIAL MO P8 AAB | 3.268% 09/15/2050 DD 09/01/17 | 1,100,000 | 1,132,985 | 1,204,720 | ||
| CITIGROUP INC | 3.400% 05/01/2026 DD 05/02/16 | 2,850,000 | 2,879,145 | 3,207,903 | ||
| CITIGROUP INC | VAR RT 11/05/2030 DD 11/05/19 | 750,000 | 817,110 | 825,983 | ||
| COBB-MARIETTA COLISEUM & EXHIB | 2.700% 01/01/2022 DD 09/09/15 | 650,000 | 650,000 | 664,469 | ||
| COMM 2013-CCRE11 MORT CR11 ASB | 3.660% 08/10/2050 DD 10/01/13 | 367,623 | 384,052 | 382,648 | ||
| COMM 2013-CCRE9 MORT CR9 A4 | VAR RT 07/10/2045 DD 07/01/13 | 600,000 | 633,609 | 648,090 | ||
| COMM 2014-CCRE19 MORT CR19 ASB | 3.499% 08/10/2047 DD 08/01/14 | 596,489 | 614,369 | 627,835 | ||
| COMM 2015-DC1 MORT DC1 ASB | 3.142% 02/10/2048 DD 03/01/15 | 311,623 | 320,968 | 323,839 | ||
| COMM 2016-COR1 MORT COR1 ASB | 2.972% 10/10/2049 DD 10/01/16 | 500,000 | 505,645 | 535,820 | ||
| COMM 2016-CR28 MORT CR28 A4 | 3.762% 02/10/2049 DD 02/01/16 | 1,000,000 | 1,091,367 | 1,132,520 | ||
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2036 DD 03/01/21 | 2,000,000 | 2,084,688 | 2,086,540 | ||
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | 3,700,000 | 3,820,105 | 3,830,943 | ||
| COMMIT TO PUR FNMA SF MTG | 2.500% 03/01/2051 DD 03/01/21 | 28,000,000 | 29,328,906 | 29,425,200 |
14
| COOPERATIVE RABOBANK UA 144A | 2.625% 07/22/2024 DD 07/22/19 | 700,000 | 698,341 | 748,573 |
| COOPERATIVE RABOBANK UA 144A | VAR RT 06/24/2026 DD 06/24/20 | 500,000 | 500,000 | 510,570 |
| CREDIT AGRICOLE SA/LONDON 144A | 3.250% 10/04/2024 DD 10/04/17 | 900,000 | 926,010 | 976,302 |
| CREDIT SUISSE AG/NEW YORK NY | 3.625% 09/09/2024 DD 09/09/14 | 1,000,000 | 1,003,200 | 1,109,610 |
| CREDIT SUISSE GROUP AG 144A | VAR RT 06/05/2026 DD 06/05/20 | 1,000,000 | 1,000,000 | 1,045,050 |
| CSAIL 2015-C1 COMMERCIA C1 ASB | 3.351% 04/15/2050 DD 03/01/15 | 330,585 | 340,502 | 347,448 |
| CSAIL 2015-C4 COMMERCIA C4 ASB | 3.617% 11/15/2048 DD 11/01/15 | 953,657 | 1,025,218 | 1,017,466 |
| DAIMLER FINANCE NORTH AME 144A | 2.300% 02/12/2021 DD 11/14/17 | 1,400,000 | 1,397,074 | 1,402,828 |
| DELL INTERNATIONAL LLC / 144A | 5.450% 06/15/2023 DD 06/01/16 | 400,000 | 436,568 | 442,408 |
| DELL INTERNATIONAL LLC / 144A | 6.020% 06/15/2026 DD 06/01/16 | 300,000 | 360,438 | 365,985 |
| DEUTSCHE BANK AG/NEW YORK NY | 4.250% 10/14/2021 DD 04/14/18 | 800,000 | 798,104 | 820,344 |
| DTE ENERGY CO | 1.050% 06/01/2025 DD 08/06/20 | 900,000 | 898,911 | 910,107 |
| DUKE ENERGY CORP 144A | VAR RT 05/14/2021 DD 05/16/18 | 500,000 | 500,000 | 500,745 |
| ECMC GROUP STUDENT L 2A A 144A | VAR RT 05/25/2067 DD 08/10/17 | 617,501 | 617,501 | 619,669 |
| ENBRIDGE INC | 2.900% 07/15/2022 DD 07/07/17 | 800,000 | 780,298 | 829,552 |
| ESC LEHMAN BRTH HLD | 0.000% 05/02/2018 DD 04/24/08 | 1,800,000 | 931,276 | 20,700 |
| ESC LEHMAN BRTH HLD ESCROW | 0.000% 11/24/2013 DD 01/22/08 | 900,000 | 478,334 | 10,080 |
| FEDERAL HOME LN BK CONS BD | 3.375% 12/08/2023 DD 12/09/13 | 1,300,000 | 1,326,620 | 1,420,276 |
| FEDERAL HOME LN BK CONS BD | 1.500% 08/15/2024 DD 08/16/19 | 1,700,000 | 1,696,005 | 1,780,835 |
| FEDERAL HOME LN MTG CORP | 0.690% 08/05/2025 DD 08/05/20 | 4,200,000 | 4,200,000 | 4,201,618 |
| FEDERAL HOME LN MTG CORP | 0.700% 08/18/2025 DD 08/18/20 | 2,200,000 | 2,200,000 | 2,201,151 |
| FEDERAL NATL MTG ASSN | 1.875% 09/24/2026 DD 09/27/16 | 2,000,000 | 1,838,240 | 2,162,500 |
| FEDERAL NATL MTG ASSN | 2.000% 01/05/2022 DD 01/09/17 | 1,800,000 | 1,797,166 | 1,834,254 |
| FEDERAL NATL MTG ASSN | 2.375% 01/19/2023 DD 01/23/18 | 1,200,000 | 1,193,292 | 1,254,960 |
| FEDERAL NATL MTG ASSN | 1.625% 10/15/2024 DD 10/18/19 | 4,000,000 | 3,993,160 | 4,216,520 |
| FEDERAL NATL MTG ASSN | 1.625% 01/07/2025 DD 01/10/20 | 1,000,000 | 996,810 | 1,053,770 |
| FHLMC POOL #1G-1744 | VAR RT 08/01/2035 DD 09/01/05 | 65,014 | 65,194 | 67,768 |
| FHLMC POOL #78-0605 | VAR RT 06/01/2033 DD 06/01/03 | 198,839 | 198,714 | 207,705 |
| FHLMC POOL #84-6183 | VAR RT 01/01/2024 DD 10/01/95 | 4,352 | 4,165 | 4,360 |
| FHLMC POOL #G0-8835 | 3.500% 08/01/2048 DD 08/01/18 | 196,353 | 194,604 | 207,690 |
| FHLMC POOL #G0-8836 | 4.000% 08/01/2048 DD 08/01/18 | 296,664 | 303,200 | 316,359 |
| FHLMC POOL #G0-8841 | 3.500% 09/01/2048 DD 09/01/18 | 2,229,480 | 2,209,623 | 2,354,375 |
| FHLMC POOL #ZT-1545 | 4.000% 12/01/2048 DD 12/01/18 | 224,248 | 231,816 | 239,149 |
| FHLMC MULTICLASS MTG 3225 HF | VAR RT 10/15/2036 DD 10/15/06 | 279,136 | 280,444 | 282,237 |
| FHLMC MULTICLASS MTG 3843 FE | VAR RT 04/15/2041 DD 04/15/11 | 305,998 | 306,763 | 310,016 |
| FHLMC MULTICLASS MTG 3843 FG | VAR RT 04/15/2041 DD 04/15/11 | 305,998 | 306,763 | 310,016 |
| FHLMC MULTICLASS MTG 4559 AF | VAR RT 03/15/2042 DD 03/01/16 | 801,136 | 802,137 | 810,453 |
| FHLMC MULTICLASS MTG 4736 CD | 3.000% 08/15/2046 DD 11/01/17 | 434,614 | 427,891 | 460,713 |
| FHLMC MULTICLASS MTG 4989 FA | VAR RT 08/15/2040 DD 06/01/20 | 173,006 | 172,168 | 173,215 |
| FHLMC MULTICLASS MTG 4989 FB | VAR RT 10/15/2040 DD 06/01/20 | 85,894 | 85,478 | 85,994 |
| FHLMC MULTICLASS MTG K038 A2 | 3.389% 03/25/2024 DD 06/01/14 | 1,000,000 | 1,029,951 | 1,087,720 |
| FHLMC MULTICLASS MTG K065 A1 | 2.864% 10/25/2026 DD 07/01/17 | 621,801 | 634,203 | 666,608 |
| FHLMC MULTICLASS MTG W5FX AFX | VAR RT 04/25/2028 DD 06/01/18 | 2,400,000 | 2,342,856 | 2,689,296 |
| FNMA POOL #0072163 | VAR RT 02/01/2028 DD 02/01/89 | 1,410 | 1,399 | 1,417 |
| FNMA POOL #0303298 | VAR RT 01/01/2025 DD 04/01/95 | 434 | 446 | 435 |
| FNMA POOL #0323919 | VAR RT 08/01/2029 DD 08/01/99 | 7,829 | 7,516 | 7,916 |
| FNMA POOL #0361373 | VAR RT 07/01/2026 DD 09/01/96 | 8,030 | 8,234 | 8,062 |
| FNMA POOL #0FM1796 | 3.500% 10/01/2034 DD 10/01/19 | 1,797,469 | 1,872,457 | 1,925,700 |
| FNMA POOL #0FM1843 | 3.500% 11/01/2034 DD 10/01/19 | 1,420,598 | 1,480,640 | 1,520,153 |
15
| FNMA POOL #0MA2705 | 3.000% 08/01/2046 DD 07/01/16 | 418,852 | 436,097 | 440,707 |
| FNMA POOL #0MA3443 | 4.000% 07/01/2048 DD 07/01/18 | 1,924,571 | 2,002,456 | 2,052,920 |
| FNMA POOL #0MA3897 | 3.000% 01/01/2035 DD 12/01/19 | 582,983 | 599,767 | 611,666 |
| FNMA GTD REMIC P/T 15-79 FE | VAR RT 11/25/2045 DD 10/25/15 | 476,724 | 473,968 | 477,124 |
| FNMA GTD REMIC P/T 16-11 CF | VAR RT 03/25/2046 DD 02/25/16 | 541,498 | 539,806 | 543,480 |
| FNMA GTD REMIC P/T 17-M12 A1 | 2.747% 06/25/2027 DD 10/01/17 | 940,235 | 949,620 | 989,616 |
| FNMA GTD REMIC P/T 17-M8 A1 | 2.654% 05/25/2027 DD 07/01/17 | 283,262 | 286,085 | 295,318 |
| FNMA GTD REMIC P/T 18-M12 FA | VAR RT 08/25/2025 DD 09/01/18 | 365,074 | 364,473 | 364,106 |
| GATX CORP | VAR RT 11/05/2021 DD 11/06/17 | 800,000 | 800,000 | 801,824 |
| GE CAPITAL FUNDING LLC 144A | 3.450% 05/15/2025 DD 05/18/20 | 550,000 | 549,500 | 606,826 |
| GNMA POOL #0434797 | 8.500% 07/15/2030 DD 07/01/00 | 2,564 | 2,661 | 2,656 |
| GNMA POOL #0434944 | 8.500% 11/15/2030 DD 11/01/00 | 2,303 | 2,390 | 2,381 |
| GNMA POOL #0434985 | 8.500% 12/15/2030 DD 12/01/00 | 2,010 | 2,083 | 2,018 |
| GNMA POOL #0494885 | 8.500% 03/15/2030 DD 03/01/00 | 334 | 347 | 335 |
| GNMA POOL #0498147 | 8.500% 12/15/2029 DD 12/01/99 | 245 | 254 | 246 |
| GNMA POOL #0511172 | 8.500% 01/15/2030 DD 01/01/00 | 454 | 471 | 456 |
| GNMA POOL #0520979 | 8.500% 09/15/2030 DD 09/01/00 | 3,470 | 3,601 | 4,036 |
| GNMA POOL #0521829 | 8.500% 05/15/2030 DD 05/01/00 | 3,568 | 3,700 | 3,966 |
| GNMA POOL #0531197 | 8.500% 06/15/2030 DD 06/01/00 | 6,968 | 7,223 | 6,998 |
| GNMA POOL #0698036 | 6.000% 01/15/2039 DD 01/01/09 | 13,025 | 14,191 | 15,403 |
| GNMA POOL #0782190 | 6.000% 10/15/2037 DD 10/01/07 | 2,477 | 2,699 | 2,992 |
| GNMA POOL #0782449 | 6.000% 09/15/2038 DD 10/01/08 | 20,580 | 22,423 | 24,567 |
| GNMA II POOL #0003001 | 8.500% 11/20/2030 DD 11/01/00 | 4,658 | 4,811 | 5,525 |
| GNMA II POOL #0008089 | VAR RT 12/20/2022 DD 12/01/92 | 10,703 | 10,884 | 10,762 |
| GNMA II POOL #0008913 | VAR RT 07/20/2026 DD 07/01/96 | 5,611 | 5,546 | 5,775 |
| GNMA II POOL #0080022 | VAR RT 12/20/2026 DD 12/01/96 | 6,828 | 6,858 | 7,038 |
| GNMA II POOL #0080354 | VAR RT 12/20/2029 DD 12/01/99 | 15,363 | 15,721 | 15,945 |
| GOLDMAN SACHS GROUP INC/THE | 4.000% 03/03/2024 DD 03/03/14 | 400,000 | 420,300 | 441,988 |
| GOLDMAN SACHS GROUP INC/THE | VAR RT 06/05/2028 DD 06/05/17 | 100,000 | 96,959 | 115,202 |
| GOLDMAN SACHS GROUP INC/THE | 3.800% 03/15/2030 DD 03/19/20 | 2,000,000 | 2,329,900 | 2,353,320 |
| GOLDMAN SACHS GROUP INC/THE | 3.750% 05/22/2025 DD 05/22/15 | 200,000 | 201,482 | 224,550 |
| GS MORTGAGE SECURITIES GC39 A3 | 3.307% 05/10/2052 DD 05/01/19 | 500,000 | 515,566 | 567,330 |
| HARLEY-DAVIDSON FINANCIAL 144A | VAR RT 03/02/2021 DD 11/28/18 | 1,000,000 | 1,000,000 | 1,000,190 |
| HAWAII ST | 0.852% 10/01/2025 DD 10/29/20 | 700,000 | 700,000 | 708,281 |
| HSBC HOLDINGS PLC | VAR RT 03/13/2028 DD 03/13/17 | 700,000 | 797,377 | 799,379 |
| HSBC HOLDINGS PLC | VAR RT 06/19/2029 DD 06/19/18 | 1,500,000 | 1,522,230 | 1,774,575 |
| HYUNDAI CAPITAL AMERICA 144A | 2.850% 11/01/2022 DD 10/31/19 | 600,000 | 599,934 | 621,780 |
| IMPERIAL BRANDS FINANCE P 144A | 3.750% 07/21/2022 DD 07/21/15 | 1,000,000 | 1,059,420 | 1,042,580 |
| INTERCONTINENTAL EXCHANGE INC | VAR RT 06/15/2023 DD 08/20/20 | 800,000 | 800,000 | 803,624 |
| JP MORGAN MORTGAGE TRUS A2 4A1 | VAR RT 05/25/2034 DD 04/01/04 | 24,963 | 24,826 | 25,087 |
| JPMBB COMMERCIAL MORTG C17 ASB | 3.705% 01/15/2047 DD 12/01/13 | 361,867 | 378,788 | 379,063 |
| JPMBB COMMERCIAL MORTG C21 ASB | 3.428% 08/15/2047 DD 07/01/14 | 842,660 | 867,937 | 877,150 |
| JPMBB COMMERCIAL MORTG C24 ASB | 3.368% 11/15/2047 DD 10/01/14 | 755,576 | 778,240 | 793,936 |
| JPMDB COMMERCIAL MORTGA C4 ASB | 2.994% 12/15/2049 DD 11/01/16 | 900,000 | 926,999 | 966,159 |
| JPMORGAN CHASE & CO | 3.625% 05/13/2024 DD 05/13/14 | 3,000,000 | 3,128,610 | 3,317,010 |
| KANSAS ST DEV FIN AUTH REVENUE | 2.927% 04/15/2021 DD 08/20/15 | 950,000 | 950,000 | 956,679 |
| KINDER MORGAN ENERGY PARTNERS | 4.300% 05/01/2024 DD 05/02/14 | 500,000 | 516,530 | 553,615 |
| KINDER MORGAN ENERGY PARTNERS | 3.500% 09/01/2023 DD 02/28/13 | 1,500,000 | 1,480,858 | 1,606,710 |
| KOREA DEVELOPMENT BANK/THE | VAR RT 02/18/2023 DD 02/18/20 | 800,000 | 800,000 | 800,072 |
16
| LEHMAN BRTH HLD (RICI) ESCROW | 0.000% 12/28/2017 DD 12/21/07 | 2,000,000 | 1,998,520 | - |
| LELAND STANFORD JUNIOR UNIVERS | 1.289% 06/01/2027 DD 06/04/20 | 400,000 | 400,000 | 410,631 |
| LLOYDS BANKING GROUP PLC | 4.050% 08/16/2023 DD 08/16/18 | 800,000 | 799,784 | 874,224 |
| LLOYDS BANKING GROUP PLC | 4.550% 08/16/2028 DD 08/16/18 | 900,000 | 1,079,190 | 1,085,310 |
| LOS ANGELES CA MUNI IMPT CORPL | 3.432% 11/01/2021 DD 11/19/15 | 450,000 | 450,000 | 461,507 |
| LOS ANGELES CNTY CA REDEV REFU | 2.000% 09/01/2023 DD 08/25/16 | 800,000 | 792,424 | 832,904 |
| MASTR ADJUSTABLE RATE M 15 1A1 | VAR RT 12/25/2034 DD 11/01/04 | 4,158 | 4,178 | 4,116 |
| MERRILL LYNCH MORTGAGE A1 2A1 | VAR RT 02/25/2034 DD 02/01/04 | 70,194 | 70,485 | 70,833 |
| MET TOWER GLOBAL FUNDING 144A | VAR RT 01/17/2023 DD 01/17/20 | 900,000 | 900,000 | 903,051 |
| MIAMI-DADE CNTY FL AVIATION RE | 3.285% 10/01/2023 DD 08/30/18 | 800,000 | 800,000 | 854,104 |
| MIAMI-DADE CNTY FL SPL OBLIG | 2.036% 10/01/2029 DD 01/07/21 | 500,000 | 500,000 | 505,470 |
| MICHIGAN ST BLDG AUTH REVENUE | 1.116% 10/15/2026 DD 09/17/20 | 700,000 | 700,000 | 708,617 |
| MITSUBISHI UFJ FINANCIAL GROUP | 2.048% 07/17/2030 DD 07/17/20 | 1,000,000 | 1,000,000 | 1,044,860 |
| MIZUHO FINANCIAL GROUP INC | VAR RT 09/08/2024 DD 09/08/20 | 700,000 | 700,000 | 704,263 |
| MORGAN STANLEY | 4.000% 07/23/2025 DD 07/23/15 | 2,000,000 | 2,131,000 | 2,288,740 |
| MORGAN STANLEY | 3.625% 01/20/2027 DD 01/20/17 | 100,000 | 109,382 | 114,522 |
| MORGAN STANLEY BANK OF C13 ASB | 3.557% 11/15/2046 DD 12/01/13 | 261,486 | 271,671 | 271,459 |
| MORGAN STANLEY BANK OF C16 A4 | 3.600% 06/15/2047 DD 06/01/14 | 900,000 | 957,516 | 957,744 |
| MORGAN STANLEY CAPITAL HR2 ASB | 3.509% 12/15/2050 DD 12/01/17 | 700,000 | 720,984 | 781,095 |
| NARRAGANSETT ELECTRIC CO/ 144A | 3.395% 04/09/2030 DD 04/09/20 | 1,250,000 | 1,250,000 | 1,417,663 |
| NATWEST GROUP PLC | 3.875% 09/12/2023 DD 09/12/16 | 1,100,000 | 1,100,437 | 1,193,544 |
| NAVIENT STUDENT LOAN 5A A 144A | VAR RT 06/25/2065 DD 08/11/16 | 462,859 | 462,859 | 468,752 |
| NEW YORK CITY NY TRANSITIONAL | 3.480% 08/01/2026 DD 09/25/18 | 1,000,000 | 1,000,000 | 1,136,850 |
| NEW YORK LIFE GLOBAL FUND 144A | 1.200% 08/07/2030 DD 08/07/20 | 500,000 | 499,155 | 484,905 |
| NEW YORK ST URBAN DEV CORP REV | 2.100% 03/15/2022 DD 03/23/17 | 845,000 | 844,603 | 854,388 |
| NEW YORK ST URBAN DEV CORP SAL | 2.150% 03/15/2025 DD 10/30/19 | 700,000 | 693,924 | 734,279 |
| NISSAN MOTOR ACCEPTANCE C 144A | VAR RT 01/13/2022 DD 01/13/17 | 600,000 | 599,490 | 598,722 |
| NISSAN MOTOR ACCEPTANCE C 144A | 3.650% 09/21/2021 DD 09/21/18 | 200,000 | 205,628 | 203,486 |
| OREGON ST DEPT OF TRANSPRTN HI | 1.530% 11/15/2030 DD 09/17/20 | 1,300,000 | 1,300,000 | 1,313,325 |
| PACIFIC GAS AND ELECTRIC CO | 2.500% 02/01/2031 DD 06/19/20 | 600,000 | 599,376 | 602,190 |
| PETROBRAS GLOBAL FINANCE BV | 6.250% 03/17/2024 DD 03/17/14 | 200,000 | 200,980 | 227,412 |
| PROTECTIVE LIFE GLOBAL FU 144A | 1.737% 09/21/2030 DD 09/21/20 | 600,000 | 600,000 | 603,006 |
| RYDER SYSTEM INC | 2.875% 06/01/2022 DD 05/22/19 | 700,000 | 699,594 | 723,107 |
| SABINE PASS LIQUEFACTION LLC | 5.750% 05/15/2024 DD 11/15/14 | 1,000,000 | 1,117,630 | 1,143,290 |
| SAN JOSE CA REDEV AGY SUCCESSO | 3.125% 08/01/2028 DD 12/21/17 | 800,000 | 754,056 | 883,944 |
| SANTANDER UK GROUP HOLDINGS PL | VAR RT 08/21/2026 DD 08/21/20 | 1,000,000 | 1,000,000 | 1,015,080 |
| SBA TOWER TRUST 144A | 2.836% 01/15/2050 DD 09/13/19 | 800,000 | 800,000 | 851,720 |
| SLC STUDENT LOAN TRUST 20 2 A3 | VAR RT 03/15/2027 DD 09/28/05 | 29,575 | 29,511 | 29,576 |
| SLC STUDENT LOAN TRUST 20 2 A5 | VAR RT 09/15/2026 DD 09/19/06 | 115,114 | 114,146 | 115,094 |
| SLM STUDENT LOAN T 10 A7B 144A | VAR RT 10/25/2029 DD 04/25/18 | 562,630 | 562,630 | 561,386 |
| SLM STUDENT LOAN T 3A A6B 144A | VAR RT 10/25/2064 DD 04/25/14 | 909,340 | 898,542 | 897,774 |
| SLM STUDENT LOAN TRUST 20 1 A5 | VAR RT 01/26/2026 DD 01/25/07 | 80,168 | 79,917 | 80,126 |
| SLM STUDENT LOAN TRUST 20 4 A3 | VAR RT 01/25/2027 DD 05/19/05 | 193,595 | 192,567 | 192,459 |
| SLM STUDENT LOAN TRUST 20 8 A5 | VAR RT 01/27/2025 DD 09/14/06 | 242,505 | 241,671 | 242,226 |
| SMBC AVIATION CAPITAL FIN 144A | 4.125% 07/15/2023 DD 07/30/18 | 500,000 | 498,965 | 533,820 |
| SMBC AVIATION CAPITAL FIN 144A | 3.550% 04/15/2024 DD 04/15/19 | 900,000 | 901,386 | 955,998 |
| SOCIETE GENERALE SA 144A | 2.625% 01/22/2025 DD 01/22/20 | 800,000 | 798,400 | 847,272 |
| SOCIETE GENERALE SA 144A | VAR RT 12/14/2026 DD 12/14/20 | 700,000 | 700,000 | 706,181 |
| SOUTHERN CALIFORNIA EDISON CO | 1.200% 02/01/2026 DD 10/01/20 | 900,000 | 898,290 | 910,701 |
17
| STRYKER CORP | 3.500% 03/15/2026 DD 03/10/16 | 800,000 | 764,936 | 904,272 |
| SUMITOMO MITSUI FINANCIAL GRP | 2.448% 09/27/2024 DD 09/27/19 | 500,000 | 500,000 | 532,505 |
| SUMITOMO MITSUI TRUST BAN 144A | 0.800% 09/12/2023 DD 09/16/20 | 300,000 | 299,868 | 302,715 |
| SUTTER HEALTH | 1.321% 08/15/2025 DD 10/29/20 | 500,000 | 500,000 | 508,425 |
| TEXAS ST TRANSPRTN COMMISSIONS | 4.000% 10/01/2033 DD 07/01/20 | 600,000 | 743,928 | 755,346 |
| THORNBURG MORTGAGE SECUR 4 2A1 | VAR RT 09/25/2037 DD 08/01/07 | 41,403 | 41,386 | 42,364 |
| TOYOTA AUTO LOAN EXT 1A A 144A | 2.560% 11/25/2031 DD 06/19/19 | 1,000,000 | 999,665 | 1,067,910 |
| U S TREASURY NOTE | 2.750% 08/31/2023 DD 08/31/18 | 3,000,000 | 2,975,508 | 3,206,610 |
| U S TREASURY NOTE | 3.125% 11/15/2028 DD 11/15/18 | 4,600,000 | 4,792,323 | 5,446,308 |
| U S TREASURY NOTE | 2.375% 05/15/2029 DD 05/15/19 | 500,000 | 515,775 | 565,080 |
| U S TREASURY NOTE | 2.125% 03/31/2024 DD 03/31/17 | 1,800,000 | 1,787,133 | 1,912,428 |
| U S TREASURY NOTE | 2.000% 04/30/2024 DD 04/30/17 | 4,100,000 | 4,063,164 | 4,345,672 |
| U S TREASURY NOTE | 1.500% 11/30/2024 DD 11/30/19 | 9,100,000 | 9,047,746 | 9,542,533 |
| U S TREASURY NOTE | 1.375% 01/31/2025 DD 01/31/20 | 1,800,000 | 1,835,508 | 1,881,000 |
| U S TREASURY NOTE | 0.625% 05/15/2030 DD 05/15/20 | 3,600,000 | 3,566,367 | 3,519,576 |
| U S TREASURY NOTE | 0.250% 05/31/2025 DD 05/31/20 | 5,700,000 | 5,664,598 | 5,689,113 |
| U S TREASURY NOTE | 0.250% 10/31/2025 DD 10/31/20 | 13,000,000 | 12,911,641 | 12,944,141 |
| U S TREASURY NOTE | 0.375% 11/30/2025 DD 11/30/20 | 12,000,000 | 11,999,531 | 12,016,920 |
| UBS COMMERCIAL MORTGAGE C4 ASB | 3.366% 10/15/2050 DD 10/01/17 | 500,000 | 514,982 | 547,585 |
| UBS COMMERCIAL MORTGAGE C7 ASB | 3.586% 12/15/2050 DD 12/01/17 | 800,000 | 823,995 | 892,880 |
| UBS GROUP AG 144A | VAR RT 08/13/2030 DD 08/13/19 | 1,100,000 | 1,226,082 | 1,230,691 |
| UBS-BARCLAYS COMMERCIAL C5 AAB | 2.687% 03/10/2046 DD 02/01/13 | 214,439 | 213,401 | 219,296 |
| UNITED STATES INTERNATIONAL DE | 3.790% 06/15/2034 DD 03/17/14 | 936,612 | 937,051 | 1,111,000 |
| UNIV OF CALIFORNIA CA REVENUES | 2.719% 05/15/2024 DD 09/28/17 | 700,000 | 700,000 | 748,748 |
| UTAH ST | 3.539% 07/01/2025 DD 09/30/10 | 1,350,000 | 1,450,802 | 1,468,692 |
| WELLS FARGO & CO | 3.300% 09/09/2024 DD 09/09/14 | 2,100,000 | 2,090,571 | 2,299,941 |
| WELLS FARGO & CO | VAR RT 06/17/2027 DD 06/17/19 | 1,600,000 | 1,656,176 | 1,774,336 |
| WELLS FARGO COMMERCIAL C30 ASB | 3.412% 09/15/2058 DD 08/01/15 | 725,215 | 776,377 | 769,061 |
| WELLS FARGO COMMERCIAL C35 ASB | 2.788% 07/15/2048 DD 07/01/16 | 600,000 | 617,980 | 633,108 |
| WEYERHAEUSER CO | 4.000% 04/15/2030 DD 03/30/20 | 300,000 | 295,410 | 355,266 |
| WISCONSIN ELECTRIC POWER CO | 2.050% 12/15/2024 DD 12/10/19 | 900,000 | 899,829 | 952,677 |
| WISCONSIN ST GEN FUND ANNUAL A | 1.899% 05/01/2022 DD 08/16/16 | 800,000 | 800,000 | 815,688 |
| WYANDOTTE CNTY/KANSAS CITY KS | 1.562% 09/01/2026 DD 09/15/20 | 1,000,000 | 1,000,000 | 1,025,540 |
| YALE UNIVERSITY | 0.873% 04/15/2025 DD 06/09/20 | 1,100,000 | 1,100,000 | 1,117,369 |
| ZIMMER BIOMET HOLDINGS INC | 3.550% 04/01/2025 DD 03/19/15 | 800,000 | 826,712 | 883,672 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2036 DD 01/01/21 | 2,000,000 | (2,069,063) | (2,069,063) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2036 DD 02/01/21 | 2,000,000 | (2,085,313) | (2,085,313) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2036 DD 03/01/21 | 2,000,000 | (2,084,688) | (2,084,688) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 3,700,000 | (3,791,922) | (3,791,922) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 3,700,000 | (3,817,938) | (3,817,938) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | 3,700,000 | (3,820,105) | (3,820,105) |
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | 4,500,000 | (4,676,836) | (4,676,836) |
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | 23,500,000 | (24,429,902) | (24,429,902) |
| COMMIT TO PUR FNMA SF MTG | 2.500% 02/01/2051 DD 02/01/21 | 28,000,000 | (29,186,719) | (29,186,719) |
| COMMIT TO PUR FNMA SF MTG | 2.500% 03/01/2051 DD 03/01/21 | 28,000,000 | (29,328,906) | (29,328,906) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2036 DD 01/01/21 | (2,000,000) | 2,087,266 | 2,087,266 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2036 DD 02/01/21 | (2,000,000) | 2,086,953 | 2,086,953 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (3,700,000) | 3,825,598 | 3,825,598 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | (3,700,000) | 3,826,609 | 3,826,609 |
18
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | (4,500,000) | 4,696,348 | 4,696,348 |
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | (23,500,000) | 24,525,371 | 24,525,371 |
| COMMIT TO PUR FNMA SF MTG | 2.500% 02/01/2051 DD 02/01/21 | (28,000,000) | 29,371,563 | 29,371,563 |
| FHLMC POOL #1G-1744 | VAR RT 08/01/2035 DD 09/01/05 | (354) | 354 | 354 |
| FHLMC POOL #78-0605 | VAR RT 06/01/2033 DD 06/01/03 | (1,092) | 1,092 | 1,092 |
| FHLMC POOL #84-6183 | VAR RT 01/01/2024 DD 10/01/95 | (405) | 405 | 405 |
| FHLMC MULTICLASS MTG 4559 AF | VAR RT 03/15/2042 DD 03/01/16 | (10,271) | 10,271 | 10,271 |
| FHLMC MULTICLASS MTG 4989 FA | VAR RT 08/15/2040 DD 06/01/20 | (2,645) | 2,645 | 2,645 |
| FHLMC MULTICLASS MTG 4989 FB | VAR RT 10/15/2040 DD 06/01/20 | (2,290) | 2,290 | 2,290 |
| MIAMI-DADE CNTY FL SPL OBLIG | 2.036% 10/01/2029 DD 01/07/21 | 500,000 | (500,000) | (500,000) |
| INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 34,760,950 | 34,760,950 | |
| TOTAL UNDERLYING ASSETS | $ | 252,567,856 | $ | 258,524,551 |
| Pacific Life Ins G-27523.01.001 -59.4% of MARKET VALUE | $ | 153,511,878 | ||
| IGT INVESCO SHORT-TERM BOND FUND | 152,701,642 | |||
| FAIR VALUE Pacific Life Ins - G-27523.01.0001 | 306,213,520 | |||
| Pacific Life Ins G-27523.01.001 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (13,313,612) | |||
| Pacific Life Ins G-27523.01.001 - CONTRACT VALUE | $ | 292,899,908 | ||
| Voya Retirement & Annuity 60031 -40.6% of MARKET VALUE | $ | 105,012,673 | ||
| IGT INVESCO SHORT-TERM BOND FUND | 309,229,163 | |||
| FAIR VALUE Voya Retirement & Annuity 60031 | 414,241,836 | |||
| Voya Retirement & Annuity 60031 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (13,357,681) | |||
| Voya Retirement & Annuity 60031 - CONTRACT VALUE | $ | 400,884,155 |
19
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
PLAN SPONSOR: THE DOW CHEMICAL COMPANY
EMPLOYER IDENTIFICATION NO. 38-1285128
PLAN NO. 002
APPENDIX B - UNDERLYING ASSETS FOR VOYA RETIREMENT & ANNUITY 60090
December 31, 2020
| (c) | ||||||
| (b) | Face Value | (e) | ||||
| Identity of Issue, Borrower, | or Number | (d) | Current | |||
| (a) | Lessor or Similar Party | of Shares | Cost | Value | ||
| AMERIQUEST MORTGAGE SEC AR2 M1 | VAR RT 05/25/2033 DD 05/14/03 | 3,068 | $ | 3,068 | $ | 3,044 |
| ASSET BACKED SECURITIES HE3 M1 | VAR RT 06/15/2033 DD 06/03/03 | 7,001 | 6,995 | 6,993 | ||
| ASSET BACKED SECURITIES HE4 M2 | VAR RT 08/15/2033 DD 08/06/03 | 2,460 | 2,460 | 2,507 | ||
| CDC MORTGAGE CAPITAL TR HE1 M1 | VAR RT 08/25/2033 DD 03/28/03 | 1,895 | 1,883 | 1,902 | ||
| CDC MORTGAGE CAPITAL TR HE2 M1 | VAR RT 10/25/2033 DD 05/29/03 | 1,909 | 1,910 | 1,906 | ||
| CDC MORTGAGE CAPITAL TR HE3 M1 | VAR RT 03/25/2033 DD 11/27/02 | 1,011 | 1,013 | 1,032 | ||
| COUNTRYWIDE ASSET-BACKED 5 MV1 | VAR RT 03/25/2033 DD 12/30/02 | 1,129 | 1,144 | 1,129 | ||
| GNMA II POOL #0891616 | VAR RT 06/20/2058 DD 07/01/08 | 208,599 | 212,697 | 211,949 | ||
| HOME EQUITY ASSET TRUST 2 5 M1 | VAR RT 12/25/2033 DD 08/28/03 | 1,019 | 1,019 | 1,020 | ||
| LONG BEACH MORTGAGE LOAN 3 M1 | VAR RT 07/25/2033 DD 06/05/03 | 25,031 | 25,031 | 25,018 | ||
| MORGAN STANLEY ABS CAPI NC7 M1 | VAR RT 06/25/2033 DD 07/30/03 | 1,947 | 1,947 | 1,947 | ||
| U S TREASURY NOTE | 1.500% 10/31/2021 DD 10/31/19 | 1,000,000 | 998,164 | 1,011,403 | ||
| INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 35,532 | 35,532 | |||
| TOTAL UNDERLYING ASSETS | $ | 1,292,863 | 1,305,382 | |||
| ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (19,296) | |||||
| CONTRACT VALUE | $ | 1,286,086 |
20
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
PLAN SPONSOR: THE DOW CHEMICAL COMPANY
EMPLOYER IDENTIFICATION NO. 38-1285128
PLAN NO. 002
APPENDIX C - UNDERLYING ASSETS FOR TRANSAMERICA MDA01078TR
December 31, 2020
| (c) | ||||||
| (b) | Face Value | (e) | ||||
| Identity of Issue, Borrower, | or Number | (d) | Current | |||
| (a) | Lessor or Similar Party | of Shares | Cost | Value | ||
| ABBVIE INC | 5.000% 12/15/2021 DD 06/15/20 | 325,000 | $ | 342,261 | $ | 335,515 |
| ABBVIE INC | 3.450% 03/15/2022 DD 09/15/20 | 1,150,000 | 1,196,035 | 1,185,995 | ||
| AETNA INC | 3.500% 11/15/2024 DD 11/10/14 | 755,000 | 786,247 | 828,665 | ||
| AETNA INC | 2.800% 06/15/2023 DD 06/09/16 | 110,000 | 111,114 | 115,737 | ||
| AIG GLOBAL FUNDING 144A | 0.900% 09/22/2025 DD 09/22/20 | 105,000 | 104,913 | 105,212 | ||
| ALLY FINANCIAL INC | 1.450% 10/02/2023 DD 09/18/20 | 205,000 | 208,372 | 209,268 | ||
| ALTRIA GROUP INC | 3.490% 02/14/2022 DD 02/14/19 | 500,000 | 499,970 | 517,180 | ||
| ALTRIA GROUP INC | 4.400% 02/14/2026 DD 02/14/19 | 290,000 | 336,273 | 336,710 | ||
| AMEREN CORP | 2.500% 09/15/2024 DD 09/16/19 | 265,000 | 282,151 | 282,448 | ||
| AMERICA MOVIL SAB DE CV | 3.125% 07/16/2022 DD 07/16/12 | 245,000 | 245,123 | 254,129 | ||
| AMERICAN ELECTRIC POWER CO INC | 1.000% 11/01/2025 DD 11/20/20 | 900,000 | 897,921 | 910,710 | ||
| AMERICAN HONDA FINANCE CORP | 0.875% 07/07/2023 DD 07/08/20 | 550,000 | 549,824 | 556,694 | ||
| AMERICAN HONDA FINANCE CORP | 0.650% 09/08/2023 DD 09/10/20 | 1,100,000 | 1,099,516 | 1,106,952 | ||
| AT&T INC 144A | 0.000% 11/27/2022 DD 11/27/07 | 2,000,000 | 1,652,767 | 1,983,160 | ||
| BANK OF AMERICA CORP | VAR RT 01/20/2028 DD 01/20/17 | 1,025,000 | 1,167,270 | 1,177,305 | ||
| BANK OF AMERICA CORP | VAR RT 03/05/2024 DD 03/05/18 | 505,000 | 506,394 | 539,486 | ||
| BANK OF AMERICA CORP | VAR RT 10/24/2024 DD 10/21/20 | 1,370,000 | 1,370,000 | 1,382,796 | ||
| BANK OF MONTREAL | VAR RT 10/05/2028 DD 10/05/18 | 335,000 | 351,857 | 366,601 | ||
| BANK OF MONTREAL | 0.450% 12/08/2023 DD 12/08/20 | 1,025,000 | 1,024,334 | 1,028,014 | ||
| BARCLAYS PLC | VAR RT 12/10/2024 DD 12/10/20 | 1,375,000 | 1,375,000 | 1,384,749 | ||
| BAT CAPITAL CORP | 3.215% 09/06/2026 DD 09/06/19 | 840,000 | 907,345 | 925,151 | ||
| BAYER US FINANCE II LLC 144A | 3.875% 12/15/2023 DD 06/25/18 | 1,375,000 | 1,370,518 | 1,497,815 | ||
| BBVA USA | 3.500% 06/11/2021 DD 06/11/18 | 355,000 | 361,901 | 359,012 | ||
| BERKSHIRE HATHAWAY INC | 2.200% 03/15/2021 DD 03/15/16 | 200,000 | 204,749 | 200,434 | ||
| BOSTON SCIENTIFIC CORP | 3.450% 03/01/2024 DD 02/25/19 | 370,000 | 369,778 | 400,803 | ||
| BRISTOL-MYERS SQUIBB CO | 2.750% 02/15/2023 DD 02/15/20 | 800,000 | 841,568 | 839,480 | ||
| BRISTOL-MYERS SQUIBB CO | 0.750% 11/13/2025 DD 11/13/20 | 50,000 | 49,919 | 50,343 | ||
| BRISTOL-MYERS SQUIBB CO | 0.537% 11/13/2023 DD 11/13/20 | 600,000 | 600,000 | 601,086 | ||
| BROADCOM CORP / BROADCOM CAYMA | 2.200% 01/15/2021 DD 10/17/17 | 200,000 | 201,250 | 200,092 | ||
| BROADCOM INC | 2.250% 11/15/2023 DD 05/08/20 | 195,000 | 194,981 | 203,654 | ||
| CANADIAN NATURAL RESOURCES | 2.950% 01/15/2023 DD 05/30/17 | 425,000 | 424,375 | 444,499 | ||
| CANADIAN PACIFIC RAILWAY CO | 2.900% 02/01/2025 DD 02/02/15 | 500,000 | 513,985 | 541,300 | ||
| CARRIER GLOBAL CORP | 1.923% 02/15/2023 DD 08/15/20 | 750,000 | 750,000 | 772,628 | ||
| CENTERPOINT ENERGY INC | 3.600% 11/01/2021 DD 10/05/18 | 935,000 | 934,729 | 959,927 | ||
| CF INDUSTRIES INC 144A | 3.400% 12/01/2021 DD 11/21/16 | 170,000 | 174,724 | 173,987 | ||
| CHARLES SCHWAB CORP/THE | 0.900% 03/11/2026 DD 12/11/20 | 830,000 | 828,987 | 840,624 | ||
| CIGNA CORP | 3.400% 09/17/2021 DD 03/17/19 | 1,940,000 | 1,940,000 | 1,981,710 | ||
| CITIBANK NA | VAR RT 02/19/2022 DD 02/19/19 | 1,400,000 | 1,400,496 | 1,404,886 | ||
| CITIGROUP INC | VAR RT 10/30/2024 DD 10/30/20 | 1,050,000 | 1,050,000 | 1,056,815 | ||
| COMMONSPIRIT HEALTH | 2.950% 11/01/2022 DD 10/31/12 | 370,000 | 375,550 | 386,447 | ||
| CONSTELLATION BRANDS INC | 4.250% 05/01/2023 DD 05/14/13 | 580,000 | 613,052 | 632,223 | ||
| COOPERATIEVE RABOBANK UA 144A | VAR RT 09/24/2026 DD 09/24/20 | 700,000 | 700,000 | 704,998 |
21
| CREDIT SUISSE AG/NEW YORK NY | 2.950% 04/09/2025 DD 04/09/20 | 495,000 | 494,154 | 543,010 |
| CREDIT SUISSE GROUP AG 144A | VAR RT 06/05/2026 DD 06/05/20 | 315,000 | 315,000 | 329,191 |
| DELL INTERNATIONAL LLC / 144A | 4.000% 07/15/2024 DD 03/20/19 | 730,000 | 726,781 | 804,920 |
| DELTA AIR LINES INC / SKY 144A | 4.500% 10/20/2025 DD 09/23/20 | 815,000 | 820,711 | 871,121 |
| DEUTSCHE BANK AG/NEW YORK NY | VAR RT 09/18/2024 DD 09/18/20 | 960,000 | 960,000 | 987,590 |
| DTE ENERGY CO | VAR RT 10/01/2024 DD 07/01/19 | 965,000 | 964,682 | 1,028,188 |
| EAST OHIO GAS CO/THE 144A | 1.300% 06/15/2025 DD 06/16/20 | 360,000 | 359,636 | 366,815 |
| EASTMAN CHEMICAL CO | 3.500% 12/01/2021 DD 11/06/18 | 470,000 | 468,717 | 482,765 |
| ENERGY TRANSFER PARTNERS LP / | 4.500% 11/01/2023 DD 11/01/13 | 260,000 | 257,876 | 281,507 |
| ENTERGY CORP | 0.900% 09/15/2025 DD 08/26/20 | 300,000 | 298,818 | 299,898 |
| ENTERGY LOUISIANA LLC | 0.620% 11/17/2023 DD 11/24/20 | 1,065,000 | 1,064,808 | 1,068,536 |
| EVERSOURCE ENERGY | 2.800% 05/01/2023 DD 05/13/13 | 650,000 | 660,758 | 682,006 |
| EXELON CORP | 2.450% 04/15/2021 DD 04/07/16 | 905,000 | 916,032 | 908,548 |
| FEDERAL HOME LN MTG CORP | 0.375% 09/23/2025 DD 09/25/20 | 1,195,000 | 1,191,403 | 1,193,016 |
| FEDERAL NATL MTG ASSN | 0.500% 11/07/2025 DD 11/12/20 | 1,305,000 | 1,300,328 | 1,310,455 |
| FHLMC POOL #ZS-2253 | 5.500% 08/01/2038 DD 09/01/18 | 66,445 | 78,820 | 78,115 |
| FOMENTO ECONOMICO MEXICANO | 2.875% 05/10/2023 DD 05/10/13 | 610,000 | 610,138 | 637,450 |
| GENERAL MOTORS CO | 4.875% 10/02/2023 DD 04/02/14 | 105,000 | 112,880 | 116,485 |
| GENERAL MOTORS CO | 5.400% 10/02/2023 DD 05/12/20 | 570,000 | 569,407 | 638,252 |
| GENERAL MOTORS FINANCIAL CO IN | 3.950% 04/13/2024 DD 04/13/17 | 390,000 | 399,064 | 424,792 |
| GOLDMAN SACHS GROUP INC/THE | VAR RT 07/24/2023 DD 07/24/17 | 1,310,000 | 1,321,599 | 1,360,618 |
| HEALTH CARE SERVICE CORP 144A | 1.500% 06/01/2025 DD 06/01/20 | 900,000 | 920,898 | 923,769 |
| HONEYWELL INTERNATIONAL INC | 0.483% 08/19/2022 DD 08/19/20 | 750,000 | 750,000 | 751,200 |
| HSBC HOLDINGS PLC | VAR RT 03/13/2023 DD 03/13/17 | 875,000 | 875,000 | 903,831 |
| HSBC HOLDINGS PLC | VAR RT 09/12/2026 DD 09/12/18 | 175,000 | 196,912 | 199,444 |
| INTERCONTINENTAL EXCHANGE INC | 0.700% 06/15/2023 DD 08/20/20 | 430,000 | 429,583 | 433,469 |
| ITC HOLDINGS CORP | 4.050% 07/01/2023 DD 07/03/13 | 150,000 | 157,518 | 161,615 |
| ITC HOLDINGS CORP | 3.650% 06/15/2024 DD 06/04/14 | 265,000 | 277,842 | 288,810 |
| JPMORGAN CHASE & CO | VAR RT 04/01/2023 DD 03/22/19 | 1,100,000 | 1,137,037 | 1,139,941 |
| JPMORGAN CHASE & CO | VAR RT 04/22/2026 DD 04/22/20 | 1,645,000 | 1,665,424 | 1,737,334 |
| KIMBERLY-CLARK DE MEXICO 144A | 3.250% 03/12/2025 DD 03/12/15 | 270,000 | 283,187 | 290,123 |
| L3HARRIS TECHNOLOGIES INC | 3.850% 06/15/2023 DD 12/15/19 | 200,000 | 208,138 | 216,030 |
| L3HARRIS TECHNOLOGIES INC | 3.950% 05/28/2024 DD 11/28/19 | 375,000 | 413,505 | 413,111 |
| LEIDOS INC 144A | 2.950% 05/15/2023 DD 05/12/20 | 595,000 | 592,608 | 626,005 |
| LINCOLN NATIONAL CORP | 4.000% 09/01/2023 DD 08/16/13 | 1,000,000 | 1,034,310 | 1,090,780 |
| MARSH & MCLENNAN COS INC | 3.500% 06/03/2024 DD 05/30/14 | 300,000 | 314,916 | 327,192 |
| MITSUBISHI UFJ FINANCIAL GROUP | VAR RT 09/15/2024 DD 09/15/20 | 1,455,000 | 1,455,000 | 1,463,672 |
| MIZUHO FINANCIAL GROUP INC | VAR RT 07/10/2024 DD 07/10/20 | 450,000 | 450,000 | 457,466 |
| MONONGAHELA POWER CO 144A | 4.100% 04/15/2024 DD 11/27/13 | 1,120,000 | 1,171,141 | 1,206,710 |
| MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 1,145,000 | 1,183,861 | 1,224,669 |
| MORGAN STANLEY | VAR RT 01/20/2023 DD 01/22/20 | 525,000 | 525,000 | 526,685 |
| MORGAN STANLEY | VAR RT 04/28/2026 DD 04/28/20 | 155,000 | 163,187 | 163,717 |
| MPLX LP | 1.750% 03/01/2026 DD 08/18/20 | 565,000 | 563,785 | 584,724 |
| NASDAQ INC | 0.445% 12/21/2022 DD 12/21/20 | 700,000 | 700,000 | 700,819 |
| NATIONAL BANK OF CANADA | VAR RT 08/15/2023 DD 07/13/20 | 890,000 | 889,466 | 895,349 |
| NATIONAL BANK OF CANADA | VAR RT 11/15/2024 DD 12/10/20 | 485,000 | 484,311 | 486,363 |
| NATIONAL RURAL UTILITIES COOPE | 2.300% 09/15/2022 DD 08/30/17 | 450,000 | 451,548 | 464,229 |
| NATIONAL SECURITIES CLEAR 144A | 0.750% 12/07/2025 DD 12/07/20 | 855,000 | 852,238 | 857,189 |
| NATWEST MARKETS PLC 144A | 2.375% 05/21/2023 DD 05/21/20 | 185,000 | 184,410 | 192,450 |
22
| NCUA GUARANTEED NOTES | 3.450% 06/12/2021 DD 06/16/11 | 885,000 | 947,879 | 896,974 |
| NEW YORK LIFE GLOBAL FUND 144A | 2.000% 01/22/2025 DD 01/22/20 | 510,000 | 508,169 | 536,586 |
| NEWMONT CORP | 3.625% 06/09/2021 DD 06/09/19 | 960,000 | 980,659 | 968,611 |
| NORDSTROM INC 144A | 8.750% 05/15/2025 DD 04/16/20 | 165,000 | 165,000 | 184,808 |
| NORTHROP GRUMMAN CORP | 2.930% 01/15/2025 DD 10/13/17 | 400,000 | 432,400 | 435,064 |
| NXP BV / NXP FUNDING LLC 144A | 2.700% 05/01/2025 DD 05/01/20 | 430,000 | 429,639 | 462,809 |
| ONEOK INC | 2.200% 09/15/2025 DD 03/10/20 | 515,000 | 514,598 | 532,191 |
| PACIFIC GAS AND ELECTRIC CO | 3.500% 06/15/2025 DD 06/12/15 | 415,000 | 440,730 | 449,001 |
| PANASONIC CORP 144A | 2.536% 07/19/2022 DD 07/19/19 | 215,000 | 215,000 | 221,011 |
| PEACEHEALTH OBLIGATED GROUP | 1.375% 11/15/2025 DD 10/08/20 | 120,000 | 120,000 | 122,482 |
| PRICOA GLOBAL FUNDING I 144A | 0.800% 09/01/2025 DD 09/01/20 | 615,000 | 613,709 | 615,941 |
| PRINCIPAL LIFE GLOBAL FUN 144A | 0.500% 01/08/2024 DD 12/08/20 | 250,000 | 249,803 | 250,543 |
| PROCTER & GAMBLE - ESOP | 9.360% 01/01/2021 DD 12/04/90 | 18,345 | 23,390 | 18,345 |
| PSEG POWER LLC | 4.300% 11/15/2023 DD 11/08/13 | 225,000 | 246,031 | 245,493 |
| PSEG POWER LLC | 3.850% 06/01/2023 DD 06/06/18 | 400,000 | 432,584 | 430,356 |
| PUBLIC SERVICE ENTERPRISE GROU | 2.650% 11/15/2022 DD 11/06/17 | 760,000 | 759,035 | 792,118 |
| RAYTHEON TECHNOLOGIES CORP | 2.800% 03/15/2022 DD 09/15/20 | 520,000 | 541,892 | 534,789 |
| RAYTHEON TECHNOLOGIES CORP | 3.700% 12/15/2023 DD 06/15/20 | 600,000 | 660,954 | 652,428 |
| REALTY INCOME CORP | 0.750% 03/15/2026 DD 12/14/20 | 205,000 | 203,344 | 204,485 |
| ROPER TECHNOLOGIES INC | 3.650% 09/15/2023 DD 08/28/18 | 350,000 | 368,004 | 379,764 |
| ROPER TECHNOLOGIES INC | 2.350% 09/15/2024 DD 08/26/19 | 580,000 | 578,927 | 618,964 |
| ROYALTY PHARMA PLC 144A | 0.750% 09/02/2023 DD 09/02/20 | 365,000 | 362,525 | 366,745 |
| SAN DIEGO GAS & ELECTRIC CO | 1.914% 02/01/2022 DD 03/12/15 | 122,146 | 122,146 | 122,794 |
| SOUTHERN CALIFORNIA EDISON CO | 1.845% 02/01/2022 DD 01/16/15 | 148,929 | 148,929 | 149,250 |
| SOUTHERN CALIFORNIA GAS CO | 3.200% 06/15/2025 DD 06/18/15 | 345,000 | 348,616 | 381,694 |
| SOUTHERN CO/THE | 2.350% 07/01/2021 DD 05/24/16 | 605,000 | 604,177 | 609,761 |
| SOUTHWESTERN PUBLIC SERVICE CO | 3.300% 06/15/2024 DD 06/09/14 | 300,000 | 312,468 | 323,733 |
| STATE STREET CORP | VAR RT 11/01/2025 DD 11/01/19 | 500,000 | 514,928 | 533,645 |
| SUMITOMO MITSUI FINANCIAL GROU | 1.474% 07/08/2025 DD 07/08/20 | 1,000,000 | 1,000,000 | 1,024,140 |
| SUNCOR ENERGY INC | 2.800% 05/15/2023 DD 05/13/20 | 615,000 | 614,403 | 647,091 |
| SUNOCO LOGISTICS PARTNERS OPER | 5.950% 12/01/2025 DD 11/17/15 | 365,000 | 416,392 | 430,583 |
| TAKEDA PHARMACEUTICAL CO 144A | 2.450% 01/18/2022 DD 07/18/17 | 195,000 | 195,341 | 198,806 |
| TENNESSEE GAS PIPELINE CO LLC | 7.000% 03/15/2027 DD 03/13/97 | 135,000 | 155,621 | 168,454 |
| TIME WARNER ENTERTAINMENT CO | 8.375% 03/15/2023 DD 09/15/93 | 80,000 | 90,834 | 93,510 |
| TOYOTA MOTOR CREDIT CORP | 0.350% 10/14/2022 DD 10/16/20 | 1,930,000 | 1,928,282 | 1,935,230 |
| TRUIST BANK | VAR RT 08/02/2022 DD 07/26/18 | 545,000 | 545,000 | 554,892 |
| U S TREASURY NOTE | 2.125% 11/30/2024 DD 11/30/17 | 560,000 | 571,138 | 600,841 |
| U S TREASURY NOTE | 2.750% 04/30/2023 DD 04/30/18 | 5,805,000 | 5,948,308 | 6,156,028 |
| U S TREASURY NOTE | 2.750% 05/31/2023 DD 05/31/18 | 6,250,000 | 6,500,145 | 6,641,625 |
| U S TREASURY NOTE | 2.750% 08/31/2023 DD 08/31/18 | 2,020,000 | 2,102,694 | 2,159,117 |
| U S TREASURY NOTE | 2.875% 09/30/2023 DD 09/30/18 | 1,530,000 | 1,526,811 | 1,643,618 |
| U S TREASURY NOTE | 2.500% 01/15/2022 DD 01/15/19 | 1,530,000 | 1,559,106 | 1,567,470 |
| U S TREASURY NOTE | 2.500% 02/15/2022 DD 02/15/19 | 295,000 | 295,189 | 302,847 |
| U S TREASURY NOTE | 2.375% 02/29/2024 DD 02/28/19 | 480,000 | 514,001 | 513,096 |
| U S TREASURY NOTE | 2.250% 04/15/2022 DD 04/15/19 | 11,885,000 | 12,112,730 | 12,209,104 |
| U S TREASURY NOTE | 2.250% 04/30/2024 DD 04/30/19 | 2,280,000 | 2,403,263 | 2,435,336 |
| U S TREASURY NOTE | 2.125% 05/15/2022 DD 05/15/19 | 3,110,000 | 3,156,407 | 3,195,027 |
| U S TREASURY NOTE | 1.750% 06/30/2024 DD 06/30/19 | 12,960,000 | 13,061,480 | 13,658,674 |
| U S TREASURY NOTE | 2.250% 11/15/2024 DD 11/15/14 | 600,000 | 573,906 | 646,362 |
23
| U S TREASURY NOTE | 1.875% 10/31/2022 DD 10/31/15 | 3,000,000 | 2,873,133 | 3,095,850 |
| U S TREASURY NOTE | 1.750% 05/15/2022 DD 05/15/12 | 1,485,000 | 1,426,311 | 1,518,071 |
| U S TREASURY NOTE | 1.750% 05/15/2023 DD 05/15/13 | 1,780,000 | 1,726,595 | 1,847,729 |
| U S TREASURY NOTE | 2.125% 03/31/2024 DD 03/31/17 | 5,015,000 | 5,172,306 | 5,328,237 |
| U S TREASURY NOTE | 1.875% 04/30/2022 DD 04/30/17 | 4,165,000 | 4,057,452 | 4,261,961 |
| U S TREASURY NOTE | 1.750% 05/31/2022 DD 05/31/17 | 5,960,000 | 5,804,850 | 6,097,140 |
| U S TREASURY NOTE | 2.750% 07/31/2023 DD 07/31/18 | 3,040,000 | 3,076,974 | 3,243,528 |
| U S TREASURY NOTE | 1.500% 09/30/2024 DD 09/30/19 | 6,430,000 | 6,474,757 | 6,733,175 |
| U S TREASURY NOTE | 1.375% 10/15/2022 DD 10/15/19 | 4,330,000 | 4,322,200 | 4,426,429 |
| U S TREASURY NOTE | 1.500% 10/31/2024 DD 10/31/19 | 2,630,000 | 2,766,534 | 2,756,477 |
| U S TREASURY NOTE | 1.375% 01/31/2022 DD 01/31/20 | 1,470,000 | 1,471,903 | 1,489,757 |
| U S TREASURY NOTE | 0.500% 03/15/2023 DD 03/15/20 | 5,200,000 | 5,245,094 | 5,242,276 |
| U S TREASURY NOTE | 0.500% 03/31/2025 DD 03/31/20 | 7,095,000 | 7,161,958 | 7,160,416 |
| U S TREASURY NOTE | 0.375% 03/31/2022 DD 03/31/20 | 2,420,000 | 2,422,883 | 2,427,647 |
| U S TREASURY NOTE | 0.375% 04/30/2025 DD 04/30/20 | 2,115,000 | 2,132,515 | 2,122,677 |
| U S TREASURY NOTE | 0.125% 04/30/2022 DD 04/30/20 | 1,860,000 | 1,857,896 | 1,860,428 |
| U S TREASURY NOTE | 0.125% 05/15/2023 DD 05/15/20 | 1,755,000 | 1,755,480 | 1,754,526 |
| U S TREASURY NOTE | 0.125% 05/31/2022 DD 05/31/20 | 3,350,000 | 3,346,699 | 3,350,670 |
| U S TREASURY NOTE | 0.250% 06/15/2023 DD 06/15/20 | 3,625,000 | 3,635,479 | 3,634,353 |
| U S TREASURY NOTE | 0.250% 06/30/2025 DD 06/30/20 | 4,070,000 | 4,064,898 | 4,059,662 |
| U S TREASURY NOTE | 0.125% 07/15/2023 DD 07/15/20 | 1,055,000 | 1,053,725 | 1,054,504 |
| U S TREASURY NOTE | 0.250% 07/31/2025 DD 07/31/20 | 11,005,000 | 10,988,749 | 10,972,755 |
| U S TREASURY NOTE | 0.125% 08/15/2023 DD 08/15/20 | 885,000 | 883,513 | 884,513 |
| U S TREASURY NOTE | 0.125% 08/31/2022 DD 08/31/20 | 2,405,000 | 2,404,507 | 2,405,192 |
| U S TREASURY NOTE | 0.250% 08/31/2025 DD 08/31/20 | 11,340,000 | 11,283,401 | 11,303,258 |
| U S TREASURY NOTE | 0.125% 09/15/2023 DD 09/15/20 | 2,195,000 | 2,193,542 | 2,193,464 |
| U S TREASURY NOTE | 0.250% 11/15/2023 DD 11/15/20 | 2,155,000 | 2,157,757 | 2,161,056 |
| U S TREASURY NOTE | 0.125% 11/30/2022 DD 11/30/20 | 2,495,000 | 2,492,759 | 2,495,299 |
| U S TREASURY NOTE | 0.625% 11/30/2027 DD 11/30/20 | 410,000 | 409,247 | 409,934 |
| U S TREASURY NOTE | 0.375% 11/30/2025 DD 11/30/20 | 2,640,000 | 2,639,945 | 2,643,722 |
| UNITED AIRLINES 2015-1 CLASS A | 3.450% 06/01/2029 DD 11/17/15 | 144,746 | 140,766 | 144,827 |
| US BANK NA/CINCINNATI OH | 3.450% 11/16/2021 DD 11/16/18 | 420,000 | 419,420 | 430,790 |
| VF CORP | 2.050% 04/23/2022 DD 04/23/20 | 620,000 | 619,888 | 633,318 |
| WELLS FARGO & CO | 3.550% 09/29/2025 DD 09/28/15 | 845,000 | 951,749 | 949,222 |
| WELLS FARGO & CO | VAR RT 02/11/2026 DD 02/11/20 | 1,120,000 | 1,142,257 | 1,177,725 |
| AMEREN CORP | 2.500% 09/15/2024 DD 09/16/19 | 265,000 | 106 | (284,157) |
| BERKSHIRE HATHAWAY ENERGY CO | 2.375% 01/15/2021 DD 01/05/18 | (1,245,000) | 100 | 1,259,678 |
| CREDIT SUISSE AG/NEW YORK NY | 2.100% 11/12/2021 DD 11/12/19 | (1,075,000) | 102 | 1,094,880 |
| U S TREASURY NOTE | 0.250% 07/31/2025 DD 07/31/20 | 2,980,000 | 100 | (2,974,701) |
| U S TREASURY NOTE | 0.125% 09/15/2023 DD 09/15/20 | 2,195,000 | 100 | (2,194,391) |
| U S TREASURY NOTE | 0.375% 11/30/2025 DD 11/30/20 | (200,000) | 100 | 200,182 |
| IGT INVESCO SHORT TERM BOND | 115,540,388 | 115,540,338 | ||
| INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 4,523,192 | 4,523,192 | |
| TOTAL UNDERLYING ASSETS | $ | 358,895,603 | 361,183,059 | |
| ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (13,735,255) | |||
| CONTRACT VALUE | $ | 347,447,804 |
24
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
PLAN SPONSOR: THE DOW CHEMICAL COMPANY
EMPLOYER IDENTIFICATION NO. 38-1285128
PLAN NO. 002
APPENDIX D - UNDERLYING ASSETS FOR PRUDENTIAL INSURANCE GA-62233
December 31, 2020
| (c) | ||||||
| (b) | Face Value | (e) | ||||
| Identity of Issue, Borrower, | or Number | (d) | Current | |||
| (a) | Lessor or Similar Party | of Shares | Cost | Value | ||
| 3M CO | 2.650% 04/15/2025 DD 03/27/20 | 355,000 | $ | 354,712 | $ | 385,559 |
| ABBVIE INC | 4.250% 11/14/2028 DD 09/18/18 | 565,000 | 560,169 | 677,384 | ||
| ABBVIE INC | 2.950% 11/21/2026 DD 05/21/20 | 1,115,000 | 1,130,256 | 1,233,023 | ||
| ABBVIE INC | 3.200% 11/21/2029 DD 05/21/20 | 385,000 | 423,959 | 431,470 | ||
| AIG GLOBAL FUNDING 144A | 0.800% 07/07/2023 DD 07/07/20 | 345,000 | 344,734 | 348,402 | ||
| ALLY AUTO RECEIVABLES TRU 1 A3 | 2.350% 06/15/2022 DD 01/31/18 | 44,821 | 44,979 | 44,943 | ||
| ALLY AUTO RECEIVABLES TRU 4 A3 | 1.840% 06/17/2024 DD 12/11/19 | 155,000 | 157,985 | 157,322 | ||
| ALTRIA GROUP INC | 2.350% 05/06/2025 DD 05/06/20 | 520,000 | 519,782 | 552,495 | ||
| AMAZON.COM INC | 1.200% 06/03/2027 DD 06/03/20 | 135,000 | 134,955 | 137,719 | ||
| AMERICAN ELECTRIC POWER CO INC | 3.650% 12/01/2021 DD 11/30/18 | 395,000 | 394,755 | 407,198 | ||
| AMERICAN ELECTRIC POWER CO INC | 1.000% 11/01/2025 DD 11/20/20 | 590,000 | 588,637 | 597,021 | ||
| AMERICAN EXPRESS CO | 2.500% 08/01/2022 DD 08/01/17 | 985,000 | 984,222 | 1,016,293 | ||
| AMERICAN HONDA FINANCE CORP | 2.050% 01/10/2023 DD 09/10/19 | 905,000 | 904,665 | 935,851 | ||
| AMERICAN HONDA FINANCE CORP | 0.650% 09/08/2023 DD 09/10/20 | 355,000 | 354,844 | 357,244 | ||
| AMERICAN INTERNATIONAL GROUP I | 3.900% 04/01/2026 DD 03/22/16 | 435,000 | 434,783 | 496,026 | ||
| AMERICAN TOWER CORP | 1.875% 10/15/2030 DD 09/28/20 | 1,175,000 | 1,169,760 | 1,185,246 | ||
| AMGEN INC | 2.200% 02/21/2027 DD 02/21/20 | 1,070,000 | 1,094,085 | 1,147,051 | ||
| ANHEUSER-BUSCH COS LLC / ANHEU | 3.650% 02/01/2026 DD 02/01/19 | 915,000 | 931,527 | 1,034,289 | ||
| ANHEUSER-BUSCH INBEV | 4.150% 01/23/2025 DD 01/23/19 | 185,000 | 184,815 | 210,658 | ||
| ANTHEM INC | 2.375% 01/15/2025 DD 09/09/19 | 285,000 | 292,983 | 304,822 | ||
| AON CORP | 2.200% 11/15/2022 DD 11/15/19 | 935,000 | 934,813 | 966,388 | ||
| APPLE INC | 2.750% 01/13/2025 DD 11/13/17 | 635,000 | 647,192 | 688,956 | ||
| ASTRAZENECA PLC | 3.500% 08/17/2023 DD 08/17/18 | 520,000 | 518,300 | 560,139 | ||
| AT&T INC | 4.350% 03/01/2029 DD 02/19/19 | 410,000 | 453,366 | 488,991 | ||
| AT&T INC | 1.650% 02/01/2028 DD 08/04/20 | 1,055,000 | 1,053,671 | 1,076,406 | ||
| AVALONBAY COMMUNITIES INC | 2.450% 01/15/2031 DD 05/22/20 | 995,000 | 996,892 | 1,070,123 | ||
| BAE SYSTEMS PLC 144A | 4.750% 10/11/2021 DD 10/11/11 | 2,140,000 | 2,137,817 | 2,208,715 | ||
| BANK OF AMERICA CORP | 4.000% 01/22/2025 DD 01/22/15 | 105,000 | 104,471 | 117,986 | ||
| BANK OF AMERICA CORP | 4.450% 03/03/2026 DD 03/03/16 | 1,120,000 | 1,156,962 | 1,305,416 | ||
| BANK OF AMERICA CORP | VAR RT 10/01/2025 DD 09/18/17 | 1,145,000 | 1,145,395 | 1,239,485 | ||
| BANK OF AMERICA CORP | VAR RT 12/20/2028 DD 12/20/17 | 630,000 | 691,898 | 711,610 | ||
| BANK OF AMERICA CORP | VAR RT 03/05/2029 DD 03/05/18 | 370,000 | 428,286 | 432,008 | ||
| BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 1,825,000 | 1,918,962 | 1,978,665 | ||
| BANK OF AMERICA CORP | VAR RT 07/23/2030 DD 07/23/19 | 260,000 | 260,000 | 291,379 | ||
| BANK OF NEW YORK MELLON CORP/T | 2.100% 10/24/2024 DD 10/24/19 | 1,050,000 | 1,048,163 | 1,115,142 | ||
| BANK OF THE WEST AUT 1 A2 144A | 2.400% 10/17/2022 DD 06/26/19 | 89,874 | 89,839 | 90,154 | ||
| BAT CAPITAL CORP | 2.259% 03/25/2028 DD 09/25/20 | 1,290,000 | 1,290,000 | 1,339,085 | ||
| BERKSHIRE HATHAWAY ENERGY 144A | 4.050% 04/15/2025 DD 03/24/20 | 595,000 | 594,232 | 673,701 | ||
| BERKSHIRE HATHAWAY ENERGY 144A | 3.700% 07/15/2030 DD 03/27/20 | 1,460,000 | 1,498,181 | 1,726,976 | ||
| BG ENERGY CAPITAL PLC 144A | 4.000% 10/15/2021 DD 10/12/11 | 1,195,000 | 1,185,560 | 1,226,859 | ||
| BIOGEN INC | 3.625% 09/15/2022 DD 09/15/15 | 295,000 | 294,764 | 311,004 |
25
| BMW US CAPITAL LLC 144A | 3.800% 04/06/2023 DD 04/09/20 | 590,000 | 589,392 | 633,660 |
| BOEING CO/THE | 2.700% 02/01/2027 DD 07/31/19 | 545,000 | 544,185 | 566,882 |
| BOEING CO/THE | 4.508% 05/01/2023 DD 05/04/20 | 635,000 | 635,000 | 686,327 |
| BOSTON GAS CO 144A | 3.001% 08/01/2029 DD 07/29/19 | 390,000 | 390,000 | 430,502 |
| BOSTON PROPERTIES LP | 3.400% 06/21/2029 DD 06/21/19 | 565,000 | 563,955 | 630,687 |
| BP CAPITAL MARKETS AMERICA INC | 3.216% 11/28/2023 DD 11/28/18 | 760,000 | 745,864 | 815,062 |
| BP CAPITAL MARKETS AMERICA INC | 3.194% 04/06/2025 DD 04/06/20 | 825,000 | 825,000 | 907,492 |
| BRISTOL-MYERS SQUIBB CO | 3.200% 06/15/2026 DD 06/15/20 | 440,000 | 438,803 | 495,057 |
| CAMDEN PROPERTY TRUST | 2.800% 05/15/2030 DD 04/20/20 | 315,000 | 314,776 | 349,826 |
| CAPITAL ONE MULTI-ASSET A5 A5 | VAR RT 07/15/2027 DD 10/10/17 | 995,000 | 999,746 | 1,005,408 |
| CARRIER GLOBAL CORP | 2.242% 02/15/2025 DD 08/15/20 | 425,000 | 425,000 | 449,718 |
| CHEVRON CORP | 2.895% 03/03/2024 DD 03/03/17 | 405,000 | 405,000 | 433,990 |
| CHEVRON CORP | 1.995% 05/11/2027 DD 05/11/20 | 380,000 | 380,000 | 402,986 |
| CHEVRON USA INC | 1.018% 08/12/2027 DD 08/12/20 | 465,000 | 465,000 | 467,283 |
| CITIBANK CREDIT CARD ISS A5 A5 | VAR RT 04/22/2026 DD 05/02/17 | 2,025,000 | 2,040,005 | 2,046,445 |
| CITIBANK CREDIT CARD ISS A6 A6 | VAR RT 05/14/2029 DD 05/22/17 | 2,780,000 | 2,774,793 | 2,783,586 |
| CITIGROUP INC | 3.400% 05/01/2026 DD 05/02/16 | 1,200,000 | 1,190,107 | 1,350,696 |
| CITIGROUP INC | VAR RT 01/24/2023 DD 01/24/18 | 1,345,000 | 1,345,000 | 1,383,050 |
| CITIGROUP INC | VAR RT 03/31/2031 DD 03/31/20 | 1,020,000 | 1,020,000 | 1,236,913 |
| COCA-COLA CO/THE | 1.450% 06/01/2027 DD 05/01/20 | 260,000 | 259,685 | 268,562 |
| COMCAST CORP | 3.600% 03/01/2024 DD 02/26/14 | 100,000 | 107,005 | 110,019 |
| COMCAST CORP | 3.000% 02/01/2024 DD 01/10/17 | 2,005,000 | 2,001,170 | 2,156,879 |
| COMCAST CORP | 3.300% 04/01/2027 DD 03/27/20 | 900,000 | 897,597 | 1,023,390 |
| COMCAST CORP | 1.500% 02/15/2031 DD 08/25/20 | 1,665,000 | 1,659,389 | 1,653,728 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | 7,320,000 | 7,553,325 | 7,579,055 |
| CREDIT SUISSE GROUP AG 144A | VAR RT 06/12/2024 DD 06/12/18 | 660,000 | 660,000 | 715,057 |
| CVS HEALTH CORP | 3.875% 07/20/2025 DD 07/20/15 | 645,000 | 693,577 | 730,469 |
| CVS HEALTH CORP | 4.780% 03/25/2038 DD 03/09/18 | 205,000 | 201,355 | 259,731 |
| CVS HEALTH CORP | 3.625% 04/01/2027 DD 03/31/20 | 565,000 | 571,898 | 642,959 |
| CVS HEALTH CORP | 3.750% 04/01/2030 DD 03/31/20 | 410,000 | 409,086 | 477,146 |
| CVS HEALTH CORP | 1.300% 08/21/2027 DD 08/21/20 | 845,000 | 841,791 | 848,921 |
| DAIMLER FINANCE NORTH AME 144A | 3.350% 05/04/2021 DD 05/04/18 | 875,000 | 873,985 | 883,391 |
| DAIMLER FINANCE NORTH AME 144A | 2.700% 06/14/2024 DD 08/15/19 | 470,000 | 469,187 | 503,206 |
| DISCOVER CARD EXECUTION A2 A2 | VAR RT 08/15/2025 DD 03/14/18 | 1,970,000 | 1,971,231 | 1,977,525 |
| DISCOVER CARD EXECUTION A5 A5 | VAR RT 12/15/2026 DD 06/30/17 | 1,505,000 | 1,509,532 | 1,520,201 |
| DOMINION ENERGY INC | 2.750% 01/15/2022 DD 01/12/17 | 945,000 | 943,639 | 965,469 |
| DRIVE AUTO RECEIVABLES T 2 A2A | 0.850% 07/17/2023 DD 06/17/20 | 235,337 | 235,332 | 235,820 |
| DRIVE AUTO RECEIVABLES TR 1 A2 | 1.990% 12/15/2022 DD 01/22/20 | 143,667 | 143,428 | 143,976 |
| DTE ENERGY CO | 3.850% 12/01/2023 DD 11/25/13 | 955,000 | 952,947 | 1,039,059 |
| DTE ENERGY CO | VAR RT 10/01/2024 DD 07/01/19 | 655,000 | 654,784 | 697,889 |
| DTE ENERGY CO | 2.600% 06/15/2022 DD 06/13/19 | 275,000 | 274,692 | 283,608 |
| DUKE ENERGY CORP | 0.900% 09/15/2025 DD 09/11/20 | 960,000 | 959,530 | 962,294 |
| DUKE ENERGY FLORIDA LLC | 3.200% 01/15/2027 DD 01/06/17 | 705,000 | 704,577 | 786,992 |
| DUPONT DE NEMOURS INC | 4.493% 11/15/2025 DD 11/28/18 | 1,600,000 | 1,826,128 | 1,867,760 |
| EQUINIX INC | 1.550% 03/15/2028 DD 10/07/20 | 1,040,000 | 1,039,054 | 1,057,181 |
| EQUINOR ASA | 2.875% 04/06/2025 DD 04/06/20 | 1,725,000 | 1,736,921 | 1,884,062 |
| EQUINOR ASA | 3.000% 04/06/2027 DD 04/06/20 | 1,220,000 | 1,238,392 | 1,358,287 |
| EQUINOR ASA | 3.700% 03/01/2024 DD 11/08/13 | 315,000 | 329,625 | 346,131 |
| ERP OPERATING LP | 3.000% 07/01/2029 DD 06/26/19 | 520,000 | 517,816 | 578,547 |
26
| EVERSOURCE ENERGY | 2.750% 03/15/2022 DD 03/10/17 | 2,025,000 | 2,045,716 | 2,078,420 |
| EXELON CORP | 3.950% 06/15/2025 DD 12/15/15 | 890,000 | 899,273 | 1,006,759 |
| EXXON MOBIL CORP | 2.992% 03/19/2025 DD 03/19/20 | 2,560,000 | 2,593,866 | 2,801,920 |
| FEDERAL HOME LN MTG CORP STRIP | 0.000% 03/15/2031 DD 10/25/00 | 1,685,000 | 1,470,357 | 1,466,270 |
| FEDERAL HOME LN MTG CORP STRIP | 0.000% 07/15/2032 DD 02/20/02 | 470,000 | 396,984 | 398,099 |
| FEDERAL HOME LN MTG CORP STRIP | 0.000% 07/15/2031 DD 02/20/02 | 215,000 | 184,304 | 185,212 |
| FEDERAL NATL MTG ASSN STRIP | 0.000% 11/15/2030 DD 11/03/00 | 160,000 | 139,808 | 140,390 |
| FHLMC POOL #QA-0326 | 5.000% 06/01/2049 DD 06/01/19 | 161,607 | 172,768 | 178,428 |
| FHLMC POOL #QA-0977 | 3.500% 07/01/2049 DD 07/01/19 | - | - | - |
| FHLMC POOL #QA-1120 | 4.000% 07/01/2049 DD 07/01/19 | 178,667 | 186,930 | 190,568 |
| FHLMC POOL #QA-6486 | 3.500% 01/01/2050 DD 01/01/20 | 112,574 | 116,813 | 118,783 |
| FHLMC POOL #ZN-6298 | 4.000% 05/01/2049 DD 05/01/19 | 53,722 | 55,862 | 57,263 |
| FLORIDA POWER & LIGHT CO | 2.850% 04/01/2025 DD 03/27/20 | 485,000 | 484,505 | 527,801 |
| FNMA POOL #0BK9072 | 5.000% 12/01/2048 DD 12/01/18 | 88,182 | 93,804 | 97,554 |
| FNMA POOL #0BK9818 | 5.000% 09/01/2048 DD 08/01/18 | 73,909 | 78,113 | 81,716 |
| FNMA POOL #0BL0212 | 3.820% 07/01/2027 DD 10/01/18 | 79,646 | 86,982 | 91,003 |
| FNMA POOL #0BL0760 | 3.790% 12/01/2025 DD 12/01/18 | 235,000 | 251,698 | 255,675 |
| FNMA POOL #0BL1300 | 4.200% 01/01/2029 DD 01/01/19 | 525,000 | 590,707 | 613,993 |
| FNMA POOL #0BM5680 | 5.000% 03/01/2049 DD 03/01/19 | 79,879 | 85,224 | 88,563 |
| FNMA POOL #0BM5984 | 5.000% 05/01/2049 DD 05/01/19 | 253,879 | 270,739 | 280,687 |
| FNMA POOL #0BN0792 | 4.000% 09/01/2049 DD 09/01/19 | 31,911 | 33,247 | 34,087 |
| FNMA POOL #0BN6091 | 4.000% 06/01/2049 DD 05/01/19 | 385,977 | 402,893 | 412,215 |
| FNMA POOL #0BN6273 | 4.500% 04/01/2049 DD 04/01/19 | 70,004 | 74,302 | 76,651 |
| FNMA POOL #0BN7744 | 3.500% 09/01/2049 DD 09/01/19 | - | - | - |
| FNMA POOL #0BN7958 | 4.500% 08/01/2049 DD 08/01/19 | 176,654 | 186,356 | 191,447 |
| FNMA POOL #0BO2561 | 3.500% 07/01/2049 DD 07/01/19 | 344,655 | 356,448 | 364,090 |
| FNMA POOL #0BO8967 | 3.500% 01/01/2050 DD 01/01/20 | 223,033 | 231,057 | 236,690 |
| FNMA POOL #0BO8968 | 4.000% 01/01/2050 DD 01/01/20 | - | - | - |
| FNMA POOL #0BO9001 | 4.000% 02/01/2050 DD 01/01/20 | 71,002 | 74,760 | 76,203 |
| FNMA POOL #0BP1200 | 3.500% 01/01/2050 DD 01/01/20 | 86,218 | 89,343 | 91,078 |
| FNMA POOL #0CA1795 | 5.000% 05/01/2048 DD 05/01/18 | 437,103 | 462,373 | 485,220 |
| FNMA POOL #0CA2317 | 5.000% 06/01/2048 DD 08/01/18 | 221,307 | 233,807 | 246,035 |
| FNMA POOL #0CA7050 | 3.000% 09/01/2050 DD 08/01/20 | 2,242,505 | 2,373,201 | 2,372,077 |
| FORD CREDIT AUTO OWNER TR A A3 | 3.030% 11/15/2022 DD 05/22/18 | 74,411 | 75,327 | 75,076 |
| FORD CREDIT AUTO OWNER TR B A4 | 1.870% 09/15/2022 DD 06/27/17 | 119,046 | 119,647 | 119,382 |
| FOX CORP | 3.500% 04/08/2030 DD 04/07/20 | 380,000 | 389,911 | 431,642 |
| GENERAL DYNAMICS CORP | 3.500% 04/01/2027 DD 03/25/20 | 1,265,000 | 1,274,131 | 1,455,256 |
| GILEAD SCIENCES INC | 3.250% 09/01/2022 DD 09/14/15 | 280,000 | 279,605 | 292,407 |
| GLAXOSMITHKLINE CAPITAL PLC | 3.000% 06/01/2024 DD 03/25/19 | 215,000 | 225,036 | 231,658 |
| GM FINANCIAL AUTOMOBILE 2 A2A | 0.710% 10/20/2022 DD 06/17/20 | 78,320 | 78,315 | 78,570 |
| GM FINANCIAL CONSUMER AUT 1 A2 | 1.830% 01/17/2023 DD 01/15/20 | 133,830 | 133,825 | 134,348 |
| GOLDMAN SACHS GROUP INC/THE | 5.250% 07/27/2021 DD 07/27/11 | 265,000 | 264,413 | 272,441 |
| GOLDMAN SACHS GROUP INC/THE | 4.000% 03/03/2024 DD 03/03/14 | 385,000 | 409,193 | 425,413 |
| GOLDMAN SACHS GROUP INC/THE | VAR RT 07/24/2023 DD 07/24/17 | 1,000,000 | 1,000,000 | 1,038,640 |
| GOLDMAN SACHS GROUP INC/THE | 3.750% 02/25/2026 DD 02/25/16 | 1,105,000 | 1,086,091 | 1,255,225 |
| GUARDIAN LIFE GLOBAL FUND 144A | 1.100% 06/23/2025 DD 06/23/20 | 380,000 | 379,650 | 385,426 |
| GUARDIAN LIFE GLOBAL FUND 144A | 0.875% 12/10/2025 DD 12/10/20 | 1,115,000 | 1,114,242 | 1,121,523 |
| HOME DEPOT INC/THE | 2.500% 04/15/2027 DD 03/30/20 | 495,000 | 492,589 | 543,203 |
| HSBC HOLDINGS PLC | 4.300% 03/08/2026 DD 03/08/16 | 745,000 | 748,184 | 858,359 |
27
| HSBC HOLDINGS PLC | VAR RT 06/19/2029 DD 06/19/18 | 625,000 | 625,000 | 739,406 |
| HSBC HOLDINGS PLC | VAR RT 11/07/2025 DD 11/07/19 | 200,000 | 209,434 | 212,984 |
| HSBC HOLDINGS PLC | 4.950% 03/31/2030 DD 03/31/20 | 255,000 | 254,681 | 319,668 |
| HSBC HOLDINGS PLC | VAR RT 04/18/2026 DD 08/18/20 | 1,300,000 | 1,300,000 | 1,329,588 |
| HYUNDAI AUTO RECEIVABLES B A3 | 1.940% 02/15/2024 DD 11/06/19 | 115,000 | 115,319 | 117,113 |
| INTERCONTINENTAL EXCHANGE INC | 2.100% 06/15/2030 DD 05/26/20 | 1,655,000 | 1,643,250 | 1,732,961 |
| JPMORGAN CHASE & CO | 3.900% 07/15/2025 DD 07/21/15 | 510,000 | 572,699 | 579,380 |
| JPMORGAN CHASE & CO | 2.700% 05/18/2023 DD 05/18/16 | 870,000 | 861,163 | 914,675 |
| JPMORGAN CHASE & CO | VAR RT 07/23/2024 DD 07/23/18 | 2,550,000 | 2,550,000 | 2,766,138 |
| JPMORGAN CHASE & CO | VAR RT 12/05/2024 DD 12/05/18 | 780,000 | 780,000 | 859,271 |
| JPMORGAN CHASE & CO | VAR RT 10/15/2030 DD 09/12/19 | 245,000 | 264,279 | 266,396 |
| JPMORGAN CHASE & CO | VAR RT 05/13/2031 DD 05/13/20 | 455,000 | 455,000 | 498,948 |
| KEURIG DR PEPPER INC | 4.417% 05/25/2025 DD 05/25/19 | 250,000 | 250,000 | 288,235 |
| KEYCORP | 2.250% 04/06/2027 DD 02/06/20 | 1,655,000 | 1,672,844 | 1,765,620 |
| KIMBERLY-CLARK CORP | 3.100% 03/26/2030 DD 03/26/20 | 215,000 | 214,834 | 247,590 |
| KINDER MORGAN ENERGY PARTNERS | 3.500% 03/01/2021 DD 02/24/14 | 440,000 | 437,774 | 440,000 |
| KINDER MORGAN INC | 4.300% 06/01/2025 DD 11/26/14 | 415,000 | 424,418 | 473,515 |
| LELAND STANFORD JUNIOR UNIVER | 1.289% 06/01/2027 DD 06/04/20 | 485,000 | 486,186 | 497,890 |
| LOWE'S COS INC | 4.500% 04/15/2030 DD 03/26/20 | 900,000 | 915,071 | 1,120,293 |
| LOWE'S COS INC | 1.300% 04/15/2028 DD 10/22/20 | 1,085,000 | 1,084,308 | 1,094,570 |
| MASTERCARD INC | 3.300% 03/26/2027 DD 03/26/20 | 485,000 | 483,647 | 553,327 |
| MCDONALD'S CORP | 2.625% 09/01/2029 DD 08/12/19 | 615,000 | 610,474 | 673,130 |
| MCDONALD'S CORP | 3.500% 07/01/2027 DD 03/27/20 | 1,775,000 | 1,806,821 | 2,036,156 |
| MCDONALD'S CORP | 3.600% 07/01/2030 DD 03/27/20 | 330,000 | 385,800 | 386,777 |
| METROPOLITAN LIFE GLOBAL 144A | 0.950% 07/02/2025 DD 07/02/20 | 2,015,000 | 2,011,474 | 2,041,719 |
| MONDELEZ INTERNATIONAL INC | 2.750% 04/13/2030 DD 04/13/20 | 405,000 | 412,242 | 444,840 |
| MORGAN STANLEY | 4.000% 07/23/2025 DD 07/23/15 | 365,000 | 364,701 | 417,695 |
| MORGAN STANLEY | VAR RT 01/23/2030 DD 01/23/19 | 280,000 | 280,000 | 340,595 |
| MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 775,000 | 775,000 | 828,925 |
| MORGAN STANLEY | VAR RT 04/01/2031 DD 03/31/20 | 2,230,000 | 2,230,000 | 2,593,713 |
| MORGAN STANLEY | 3.125% 01/23/2023 DD 01/23/18 | 330,000 | 329,258 | 348,272 |
| MORGAN STANLEY | 3.875% 04/29/2024 DD 04/28/14 | 1,025,000 | 1,074,431 | 1,135,516 |
| MORGAN STANLEY | 3.125% 07/27/2026 DD 07/25/16 | 140,000 | 139,048 | 156,488 |
| NATIONAL SECURITIES CLEAR 144A | 1.200% 04/23/2023 DD 04/23/20 | 1,195,000 | 1,193,877 | 1,218,852 |
| NAVIENT PRIVATE EDUC DA A 144A | 1.690% 05/15/2069 DD 06/11/20 | - | - | - |
| NAVIENT PRIVATE EDUC FA A 144A | 1.220% 07/15/2069 DD 07/30/20 | 210,418 | 210,402 | 212,480 |
| NAVIENT PRIVATE EDUC GA A 144A | 1.170% 09/16/2069 DD 09/16/20 | 536,518 | 536,417 | 540,558 |
| NAVIENT PRIVATE EDUC HA A 144A | 1.310% 01/15/2069 DD 11/17/20 | 550,000 | 549,953 | 555,594 |
| NAVIENT STUDENT LO 2A A1A 144A | 1.320% 08/26/2069 DD 10/22/20 | 430,560 | 430,341 | 431,248 |
| NESTLE HOLDINGS INC 144A | 3.350% 09/24/2023 DD 09/24/18 | 770,000 | 769,861 | 830,137 |
| NEW HAMPSHIRE HIGHER EDU 1 A1A | 1.550% 09/25/2060 DD 10/15/20 | 2,179,972 | 2,179,110 | 2,221,217 |
| NEW YORK LIFE GLOBAL FUND 144A | 2.900% 01/17/2024 DD 01/17/17 | 1,570,000 | 1,568,618 | 1,684,280 |
| NEW YORK LIFE GLOBAL FUND 144A | 1.100% 05/05/2023 DD 05/07/20 | 680,000 | 679,857 | 691,859 |
| NIKE INC | 2.750% 03/27/2027 DD 03/27/20 | 995,000 | 1,011,458 | 1,100,997 |
| NUTRITION & BIOSCIENCES I 144A | 1.832% 10/15/2027 DD 09/16/20 | 1,070,000 | 1,069,989 | 1,102,817 |
| NVIDIA CORP | 2.850% 04/01/2030 DD 03/31/20 | 945,000 | 941,494 | 1,063,068 |
| ORACLE CORP | 2.950% 11/15/2024 DD 11/09/17 | 1,340,000 | 1,387,132 | 1,457,866 |
| OTIS WORLDWIDE CORP | 2.056% 04/05/2025 DD 02/27/20 | 905,000 | 909,140 | 959,155 |
28
| PACIFIC LIFE GLOBAL FUNDI 144A | 1.200% 06/24/2025 DD 06/24/20 | 665,000 | 663,524 | 674,097 |
| PARKER-HANNIFIN CORP | 2.700% 06/14/2024 DD 06/14/19 | 300,000 | 299,862 | 321,747 |
| PAYPAL HOLDINGS INC | 1.650% 06/01/2025 DD 05/18/20 | 1,285,000 | 1,284,743 | 1,342,542 |
| PFIZER INC | 2.625% 04/01/2030 DD 03/27/20 | 565,000 | 563,023 | 630,625 |
| PHILIP MORRIS INTERNATIONAL IN | 2.875% 05/01/2024 DD 05/01/19 | 1,185,000 | 1,178,447 | 1,272,785 |
| PHILLIPS 66 | 1.300% 02/15/2026 DD 11/18/20 | 330,000 | 329,868 | 334,419 |
| PUBLIC SERVICE ENTERPRISE GROU | 2.650% 11/15/2022 DD 11/06/17 | 1,360,000 | 1,358,273 | 1,417,474 |
| PUBLIC SERVICE ENTERPRISE GROU | 1.600% 08/15/2030 DD 08/14/20 | 880,000 | 878,381 | 867,662 |
| RECKITT BENCKISER TREASUR 144A | 2.750% 06/26/2024 DD 06/26/17 | 1,500,000 | 1,498,380 | 1,604,205 |
| REPUBLIC SERVICES INC | 2.500% 08/15/2024 DD 08/07/19 | 500,000 | 499,200 | 533,940 |
| REPUBLIC SERVICES INC | 1.450% 02/15/2031 DD 08/20/20 | 1,345,000 | 1,338,504 | 1,316,352 |
| RESOLUTION FDG CORP PRIN STRIP | 0.000% 01/15/2030 DD 01/30/91 | 338,000 | 295,976 | 300,631 |
| RESOLUTION FDG CORP PRIN STRIP | 0.000% 04/15/2030 DD 04/15/90 | 925,000 | 813,433 | 821,872 |
| RESOLUTION FDG CORP STRIP | 0.000% 01/15/2030 DD 01/15/90 | 660,000 | 579,821 | 587,030 |
| ROPER TECHNOLOGIES INC | 1.000% 09/15/2025 DD 09/01/20 | 345,000 | 344,545 | 349,164 |
| SANTANDER DRIVE AUTO REC 2 A2A | 0.620% 05/15/2023 DD 07/22/20 | 369,251 | 369,248 | 369,554 |
| SANTANDER DRIVE AUTO RECE 3 A2 | 0.460% 09/15/2023 DD 09/23/20 | 1,200,000 | 1,199,956 | 1,200,720 |
| SCHLUMBERGER FINANCE CANADA | 1.400% 09/17/2025 DD 09/18/20 | 310,000 | 309,628 | 318,795 |
| SEMPRA ENERGY | 2.900% 02/01/2023 DD 01/12/18 | 350,000 | 348,674 | 367,210 |
| SHELL INTERNATIONAL FINANCE BV | 2.375% 04/06/2025 DD 04/06/20 | 1,700,000 | 1,711,534 | 1,823,250 |
| SIMON PROPERTY GROUP LP | 2.750% 06/01/2023 DD 12/11/17 | 10,000 | 9,982 | 10,511 |
| SIMON PROPERTY GROUP LP | 2.000% 09/13/2024 DD 09/13/19 | 275,000 | 274,728 | 287,389 |
| SOUTHERN CO/THE | 2.950% 07/01/2023 DD 05/24/16 | 1,165,000 | 1,164,010 | 1,233,688 |
| STARBUCKS CORP | 1.300% 05/07/2022 DD 05/07/20 | 440,000 | 439,705 | 446,156 |
| STATE STREET CORP | VAR RT 03/30/2026 DD 09/30/20 | 815,000 | 815,000 | 887,796 |
| TARGET CORP | 2.250% 04/15/2025 DD 03/31/20 | 385,000 | 384,361 | 412,127 |
| THERMO FISHER SCIENTIFIC INC | 4.133% 03/25/2025 DD 03/25/20 | 630,000 | 630,000 | 716,335 |
| TJX COS INC/THE | 3.750% 04/15/2027 DD 04/01/20 | 1,450,000 | 1,449,000 | 1,676,867 |
| TOYOTA AUTO RECEIVABLES 2 A A2 | 1.670% 11/15/2022 DD 02/12/20 | 91,815 | 91,940 | 92,365 |
| TOYOTA AUTO RECEIVABLES 2 D A2 | 1.920% 07/15/2022 DD 11/13/19 | 79,829 | 78,108 | 80,162 |
| TOYOTA MOTOR CREDIT CORP | 2.900% 03/30/2023 DD 04/01/20 | 1,155,000 | 1,154,873 | 1,221,875 |
| TRANSCANADA PIPELINES LTD | 4.625% 03/01/2034 DD 02/28/14 | 305,000 | 303,621 | 372,716 |
| TRUIST FINANCIAL CORP | 2.750% 04/01/2022 DD 03/21/17 | 1,055,000 | 1,053,027 | 1,085,574 |
| TRUIST FINANCIAL CORP | 2.200% 03/16/2023 DD 09/16/19 | 940,000 | 939,304 | 975,776 |
| TSMC GLOBAL LTD 144A | 1.375% 09/28/2030 DD 09/28/20 | 1,575,000 | 1,560,557 | 1,546,209 |
| U S TREASURY BOND | 1.375% 08/15/2050 DD 08/15/20 | 2,555,000 | 2,422,764 | 2,392,911 |
| U S TREASURY BOND | 1.625% 11/15/2050 DD 11/15/20 | 5,900,000 | 5,837,439 | 5,877,875 |
| U S TREASURY BOND | 1.375% 11/15/2040 DD 11/15/20 | 10,070,000 | 9,993,399 | 9,956,713 |
| U S TREASURY NOTE | 2.750% 08/31/2025 DD 08/31/18 | 4,850,000 | 5,437,613 | 5,392,618 |
| U S TREASURY NOTE | 2.125% 05/15/2025 DD 05/15/15 | 1,420,000 | 1,549,353 | 1,532,606 |
| U S TREASURY NOTE | 0.125% 12/15/2023 DD 12/15/20 | 60,980,000 | 60,841,155 | 60,908,653 |
| U S TREASURY NOTE | 0.625% 12/31/2027 DD 12/31/20 | 37,860,000 | 37,769,499 | 37,818,733 |
| U S TREASURY NOTE | 0.375% 12/31/2025 DD 12/31/20 | 45,280,000 | 45,287,551 | 45,315,318 |
| UNILEVER CAPITAL CORP | 2.600% 05/05/2024 DD 05/05/17 | 495,000 | 509,825 | 527,502 |
| UNION PACIFIC CORP | 3.950% 09/10/2028 DD 06/08/18 | 530,000 | 533,201 | 629,216 |
| UNITED PARCEL SERVICE INC | 3.900% 04/01/2025 DD 03/24/20 | 905,000 | 904,050 | 1,022,460 |
| UNIV OF CALIFORNIA CA REVENUES | 0.883% 05/15/2025 DD 07/16/20 | 310,000 | 310,000 | 314,436 |
| UNIV OF CALIFORNIA CA REVENUES | 1.316% 05/15/2027 DD 07/16/20 | 250,000 | 250,000 | 253,998 |
| US BANCORP | 2.400% 07/30/2024 DD 07/29/19 | 1,450,000 | 1,448,579 | 1,545,686 |
29
| USAA CAPITAL CORP 144A | 2.125% 05/01/2030 DD 04/21/20 | 250,000 | 249,280 | 262,873 |
| VERIZON COMMUNICATIONS INC | 4.500% 08/10/2033 DD 08/10/17 | 690,000 | 688,054 | 870,649 |
| VERIZON COMMUNICATIONS INC | 1.750% 01/20/2031 DD 11/20/20 | 2,345,000 | 2,334,330 | 2,333,275 |
| VERIZON OWNER TRUST 2019 C A1A | 1.940% 04/22/2024 DD 10/08/19 | 1,090,000 | 1,089,916 | 1,113,381 |
| VIATRIS INC 144A | 2.300% 06/22/2027 DD 06/22/20 | 565,000 | 579,383 | 601,510 |
| VISA INC | 1.900% 04/15/2027 DD 04/02/20 | 535,000 | 533,491 | 569,411 |
| VOLKSWAGEN GROUP OF AMERI 144A | 2.900% 05/13/2022 DD 05/13/20 | 1,065,000 | 1,064,425 | 1,098,654 |
| VOLKSWAGEN GROUP OF AMERI 144A | 0.875% 11/22/2023 DD 11/24/20 | 865,000 | 863,703 | 869,870 |
| WALGREENS BOOTS ALLIANCE INC | 3.300% 11/18/2021 DD 11/18/14 | 335,000 | 334,085 | 341,968 |
| WALMART INC | 3.050% 07/08/2026 DD 04/23/19 | 745,000 | 785,624 | 838,728 |
| WALT DISNEY CO/THE | 3.350% 03/24/2025 DD 03/23/20 | 1,640,000 | 1,674,450 | 1,818,088 |
| WELLS FARGO & CO | 3.000% 04/22/2026 DD 04/22/16 | 475,000 | 510,658 | 522,785 |
| WELLS FARGO & CO | VAR RT 06/17/2027 DD 06/17/19 | 790,000 | 790,000 | 876,078 |
| WELLS FARGO & CO | VAR RT 10/30/2025 DD 10/31/19 | 1,640,000 | 1,640,000 | 1,734,087 |
| WELLS FARGO & CO | VAR RT 04/04/2031 DD 03/30/20 | 1,265,000 | 1,265,000 | 1,546,526 |
| WELLS FARGO & CO | VAR RT 04/30/2026 DD 04/30/20 | 1,345,000 | 1,345,000 | 1,416,137 |
| YALE UNIVERSITY | 0.873% 04/15/2025 DD 06/09/20 | 495,000 | 495,000 | 502,816 |
| US LONG BOND FUTURE (CBT) | EXP MAR 21 | (169) | - | 102,159 |
| US ULTRA BOND FUTURE (CBT) | EXP MAR 21 | (8) | - | 19,500 |
| US 10YR ULTRA FUTURE (CBT) | EXP MAR 21 | (93) | - | 50,461 |
| US 10YR NOTE FUTURE (CBT) | EXP MAR 21 | 307 | - | (9,594) |
| US 5YR NOTE FUTURE (CBT) | EXP MAR 21 | (87) | - | (23,119) |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2051 DD 01/01/21 | 9,365,000 | 100 | (9,377,389) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 3,660,000 | 103 | (3,757,575) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 6,385,000 | 103 | (6,588,644) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 3,320,000 | 103 | (3,423,813) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 7,300,000 | 103 | (7,531,895) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 13,365,000 | 103 | (13,779,640) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 3,695,000 | 103 | (3,811,511) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | 20,715,000 | 103 | (21,386,799) |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2051 DD 01/01/21 | (3,740,000) | 101 | 3,766,423 |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2051 DD 01/01/21 | (1,925,000) | 100 | 1,935,066 |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2051 DD 01/01/21 | (3,700,000) | 101 | 3,724,551 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (13,365,000) | 103 | 13,810,581 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | (3,645,000) | 103 | 3,763,779 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | (20,715,000) | 103 | 21,428,876 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | (3,660,000) | 103 | 3,783,843 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | (7,330,000) | 103 | 7,569,589 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 03/01/2051 DD 03/01/21 | (2,405,000) | 103 | 2,486,378 |
| FNMA POOL #0BO8968 | 4.000% 01/01/2050 DD 01/01/20 | (116,252) | 107 | 124,757 |
| U S TREASURY NOTE | 0.125% 12/15/2023 DD 12/15/20 | 8,350,000 | 100 | (8,329,705) |
| U S TREASURY NOTE | 0.375% 12/31/2025 DD 12/31/20 | 1,355,000 | 100 | (1,355,744) |
| U S TREASURY NOTE | 2.875% 10/31/2023 DD 10/31/18 | (8,330,000) | 108 | 8,999,704 |
| INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 20,623,871 | 20,623,871 | |
| TOTAL UNDERLYING ASSETS | $ | 376,208,969 | 379,286,367 | |
| ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (31,721,219) | |||
| CONTRACT VALUE | $ | 347,565,148 |
30
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
PLAN SPONSOR: THE DOW CHEMICAL COMPANY
EMPLOYER IDENTIFICATION NO. 38-1285128
PLAN NO. 002
APPENDIX E - UNDERLYING ASSETS FOR MET TOWER LIFE 38025 AND RGA RGA00036
December 31, 2020
| (c) | ||||||
| (b) | Face Value | (e) | ||||
| Identity of Issue, Borrower, | or Number | (d) | Current | |||
| (a) | Lessor or Similar Party | of Shares | Cost | Value | ||
| ABBVIE INC | 2.300% 11/21/2022 DD 05/21/20 | 405,000 | $ | 404,582 | $ | 419,718 |
| ADOBE INC | 1.900% 02/01/2025 DD 02/03/20 | 560,000 | 558,807 | 592,200 | ||
| AEP TEXAS INC | 2.400% 10/01/2022 DD 09/22/17 | 365,000 | 366,668 | 376,501 | ||
| AIG GLOBAL FUNDING 144A | 3.350% 06/25/2021 DD 06/27/18 | 315,000 | 314,981 | 319,608 | ||
| AIR LIQUIDE FINANCE SA 144A | 1.750% 09/27/2021 DD 09/27/16 | 1,000,000 | 972,810 | 1,009,430 | ||
| ALLY FINANCIAL INC | 1.450% 10/02/2023 DD 09/18/20 | 500,000 | 496,870 | 510,410 | ||
| AMAZON.COM INC | 2.500% 11/29/2022 DD 11/29/12 | 360,000 | 364,111 | 373,867 | ||
| AMERICAN HONDA FINANCE CORP | 1.200% 07/08/2025 DD 07/08/20 | 490,000 | 489,882 | 501,442 | ||
| APPLE INC | 1.550% 08/04/2021 DD 08/04/16 | 895,000 | 879,490 | 901,390 | ||
| APPLE INC | 0.750% 05/11/2023 DD 05/11/20 | 395,000 | 393,926 | 399,712 | ||
| AT&T INC | VAR RT 12/15/2023 DD 06/05/19 | 345,000 | 366,835 | 381,708 | ||
| BANK OF AMERICA CORP | 5.700% 01/24/2022 DD 01/24/12 | 620,000 | 702,212 | 655,253 | ||
| BANK OF AMERICA CORP | VAR RT 05/17/2022 DD 05/17/18 | 140,000 | 140,000 | 141,659 | ||
| BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 265,000 | 278,995 | 287,313 | ||
| BANK OF AMERICA CORP | VAR RT 05/19/2024 DD 05/19/20 | 490,000 | 490,000 | 501,461 | ||
| BANK OF MONTREAL | 1.850% 05/01/2025 DD 04/27/20 | 330,000 | 329,749 | 346,444 | ||
| BANK OF NEW YORK MELLON CORP/T | 1.850% 01/27/2023 DD 01/28/20 | 440,000 | 439,692 | 453,750 | ||
| BANK OF NOVA SCOTIA/THE | 1.300% 06/11/2025 DD 06/11/20 | 420,000 | 419,068 | 430,941 | ||
| BARCLAYS BANK PLC | 1.700% 05/12/2022 DD 05/12/20 | 385,000 | 384,684 | 391,811 | ||
| BARCLAYS PLC | VAR RT 02/15/2023 DD 11/15/18 | 200,000 | 199,962 | 208,786 | ||
| BERKSHIRE HATHAWAY ENERGY CO | 2.800% 01/15/2023 DD 01/05/18 | 850,000 | 833,612 | 890,579 | ||
| BOOKING HOLDINGS INC | 2.750% 03/15/2023 DD 08/15/17 | 450,000 | 456,741 | 471,983 | ||
| BRISTOL-MYERS SQUIBB CO | 2.600% 05/16/2022 DD 05/16/20 | 430,000 | 428,843 | 443,687 | ||
| BROADCOM INC | 2.250% 11/15/2023 DD 05/08/20 | 485,000 | 484,952 | 506,524 | ||
| BROADCOM INC | 3.125% 10/15/2022 DD 04/15/20 | 160,000 | 159,269 | 167,451 | ||
| CANADIAN IMPERIAL BANK | 2.250% 01/28/2025 DD 01/28/20 | 440,000 | 439,960 | 467,377 | ||
| CARMAX AUTO OWNER TRUST 2 2 A3 | 1.700% 11/15/2024 DD 04/29/20 | 370,000 | 369,960 | 377,222 | ||
| CARMAX AUTO OWNER TRUST 2 3 A3 | 2.180% 08/15/2024 DD 07/30/19 | 540,000 | 541,181 | 553,441 | ||
| CARMAX AUTO OWNER TRUST 2 3 A4 | 0.770% 03/16/2026 DD 07/22/20 | 395,000 | 394,863 | 398,306 | ||
| CATERPILLAR FINANCIAL SERVICES | 2.150% 11/08/2024 DD 11/08/19 | 500,000 | 501,110 | 532,630 | ||
| CHARLES SCHWAB CORP/THE | 4.200% 03/24/2025 DD 03/24/20 | 540,000 | 619,650 | 619,088 | ||
| CHEVRON CORP | 3.191% 06/24/2023 DD 06/24/13 | 210,000 | 217,484 | 223,348 | ||
| CISCO SYSTEMS INC/DELAWARE | 2.200% 02/28/2021 DD 02/29/16 | 1,000,000 | 1,009,610 | 1,003,110 | ||
| CITIBANK NA | 3.400% 07/23/2021 DD 07/23/18 | 300,000 | 299,880 | 304,419 | ||
| CITIGROUP INC | 3.300% 04/27/2025 DD 04/27/15 | 575,000 | 633,874 | 637,652 | ||
| CITIGROUP INC | VAR RT 05/15/2024 DD 05/14/20 | 185,000 | 185,000 | 190,570 | ||
| CITIGROUP INC | VAR RT 10/30/2024 DD 10/30/20 | 455,000 | 455,000 | 457,953 | ||
| CNA FINANCIAL CORP | 3.950% 05/15/2024 DD 02/27/14 | 395,000 | 422,046 | 436,704 | ||
| COMCAST CORP | 3.100% 04/01/2025 DD 03/27/20 | 200,000 | 199,898 | 220,062 | ||
| COMM 2013-CCRE8 MORTGAG CR8 A4 | 3.334% 06/10/2046 DD 06/01/13 | 209,088 | 209,532 | 220,412 | ||
| COMM 2014-CCRE20 MORTG CR20 A3 | 3.326% 11/10/2047 DD 10/01/14 | 590,000 | 630,678 | 629,347 |
31
| CONNECTICUT LIGHT AND POWER CO | 2.500% 01/15/2023 DD 01/15/13 | 1,050,000 | 1,022,343 | 1,090,268 |
| CREDIT SUISSE AG/NEW YORK NY | 2.800% 04/08/2022 DD 04/09/20 | 260,000 | 259,990 | 268,411 |
| CREDIT SUISSE GROUP AG 144A | VAR RT 09/11/2025 DD 09/11/19 | 250,000 | 250,000 | 263,068 |
| CUMMINS INC | 0.750% 09/01/2025 DD 08/24/20 | 570,000 | 568,963 | 574,127 |
| CVS HEALTH CORP | 3.700% 03/09/2023 DD 03/09/18 | 73,000 | 72,346 | 78,097 |
| DEERE & CO | 2.750% 04/15/2025 DD 03/30/20 | 505,000 | 549,420 | 550,405 |
| DELL INTERNATIONAL LLC / 144A | 4.000% 07/15/2024 DD 03/20/19 | 320,000 | 318,589 | 352,842 |
| DOLLAR TREE INC | 3.700% 05/15/2023 DD 04/19/18 | 100,000 | 99,814 | 107,046 |
| DUKE ENERGY CAROLINAS LLC | 3.900% 06/15/2021 DD 05/19/11 | 1,000,000 | 1,031,000 | 1,006,960 |
| DUKE ENERGY CORP | 0.900% 09/15/2025 DD 09/11/20 | 590,000 | 589,711 | 591,410 |
| EQUINIX INC | 1.250% 07/15/2025 DD 06/22/20 | 390,000 | 389,103 | 397,851 |
| EQUITABLE FINANCIAL LIFE 144A | 0.500% 11/17/2023 DD 11/17/20 | 570,000 | 569,202 | 570,331 |
| EQUITABLE HOLDINGS INC | 3.900% 04/20/2023 DD 10/20/18 | 435,000 | 434,356 | 468,008 |
| ESTEE LAUDER COS INC/THE | 1.700% 05/10/2021 DD 05/10/16 | 975,000 | 965,644 | 978,656 |
| EXPEDIA GROUP INC 144A | 6.250% 05/01/2025 DD 05/05/20 | 65,000 | 65,000 | 75,342 |
| FHLMC POOL #QB-1974 | 2.000% 08/01/2050 DD 07/01/20 | 402,969 | 419,592 | 418,637 |
| FHLMC POOL #QB-5146 | 2.000% 11/01/2050 DD 10/01/20 | 79,826 | 82,807 | 82,930 |
| FHLMC MULTICLASS MTG 4958 DL | 4.000% 01/25/2050 DD 02/01/20 | 513,342 | 549,978 | 546,406 |
| FHLMC MULTICLASS MTG 4993 D | 2.000% 09/25/2047 DD 06/01/20 | 310,000 | 321,007 | 320,788 |
| FIRST HORIZON CORP | 3.550% 05/26/2023 DD 05/26/20 | 295,000 | 294,900 | 313,432 |
| FIRST REPUBLIC BANK/CA | VAR RT 02/12/2024 DD 02/12/20 | 475,000 | 475,000 | 488,789 |
| FISERV INC | 2.750% 07/01/2024 DD 06/24/19 | 160,000 | 159,731 | 171,806 |
| FNMA POOL #0AM8098 | 2.680% 05/01/2025 DD 05/01/15 | 310,000 | 335,720 | 334,558 |
| FNMA POOL #0BM4416 | 5.000% 10/01/2048 DD 08/01/18 | 176,852 | 188,872 | 205,281 |
| FNMA POOL #0FM2292 | 2.500% 02/01/2035 DD 01/01/20 | 320,811 | 326,877 | 335,001 |
| FNMA POOL #0FM3963 | 2.500% 09/01/2050 DD 08/01/20 | 435,454 | 461,037 | 460,962 |
| FNMA POOL #0FM4959 | 2.000% 12/01/2050 DD 11/01/20 | 79,881 | 83,076 | 82,987 |
| FNMA POOL #0MA4019 | 2.500% 05/01/2050 DD 04/01/20 | 430,100 | 446,834 | 453,786 |
| FNMA GTD REMIC P/T 13-24 PA | 1.750% 03/25/2033 DD 02/01/13 | 360,964 | 373,725 | 373,992 |
| FNMA GTD REMIC P/T 20-10 LP | 3.500% 03/25/2050 DD 02/01/20 | 227,344 | 238,995 | 238,256 |
| FNMA GTD REMIC P/T 20-63 B | 1.250% 09/25/2050 DD 08/01/20 | 212,947 | 214,544 | 215,113 |
| FORD CREDIT FLOORPLAN MAST 4 A | 2.440% 09/15/2026 DD 09/20/19 | 105,000 | 96,567 | 112,162 |
| GB TRUST 2020-FLIX FLIX A 144A | VAR RT 08/15/2037 DD 08/17/20 | 380,000 | 380,000 | 380,517 |
| GENERAL MOTORS CO | 5.400% 10/02/2023 DD 05/12/20 | 145,000 | 144,849 | 162,362 |
| GENERAL MOTORS FINANCIAL CO IN | 5.200% 03/20/2023 DD 05/15/20 | 110,000 | 109,951 | 120,614 |
| GEORGIA POWER CO | 2.100% 07/30/2023 DD 01/10/20 | 500,000 | 499,895 | 522,250 |
| GNMA GTD REMIC P/T 14-38 PJ | 3.000% 04/20/2043 DD 03/01/14 | 114,592 | 116,078 | 116,925 |
| GOLDMAN SACHS GROUP INC/THE | VAR RT 05/15/2026 DD 05/17/18 | 320,000 | 320,000 | 326,262 |
| GREAT-WEST LIFECO US FINA 144A | 0.904% 08/12/2025 DD 08/12/20 | 635,000 | 635,000 | 637,794 |
| GS MORTGAGE SECURI BOCA A 144A | VAR RT 06/15/2038 DD 06/26/19 | 350,000 | 350,000 | 347,365 |
| HAWAII HOTEL TRUST MAUI A 144A | VAR RT 05/15/2038 DD 05/24/19 | 145,000 | 143,964 | 143,727 |
| HEALTH CARE SERVICE CORP 144A | 1.500% 06/01/2025 DD 06/01/20 | 495,000 | 493,837 | 508,073 |
| HOME DEPOT INC/THE | 2.625% 06/01/2022 DD 06/02/15 | 625,000 | 637,338 | 644,513 |
| HONEYWELL INTERNATIONAL INC | 1.850% 11/01/2021 DD 10/31/16 | 640,000 | 639,968 | 647,578 |
| HUNTINGTON NATIONAL BANK/THE | 1.800% 02/03/2023 DD 02/04/20 | 525,000 | 524,559 | 539,417 |
| INFOR INC 144A | 1.450% 07/15/2023 DD 06/05/20 | 300,000 | 299,907 | 304,848 |
| INTERCONTINENTAL EXCHANGE INC | 0.700% 06/15/2023 DD 08/20/20 | 570,000 | 569,447 | 574,599 |
| INTUIT INC | 0.650% 07/15/2023 DD 06/29/20 | 495,000 | 494,881 | 499,143 |
| JACKSON NATIONAL LIFE GLO 144A | VAR RT 06/11/2021 DD 06/11/18 | 305,000 | 305,000 | 305,589 |
32
| JPMORGAN CHASE & CO | VAR RT 06/01/2024 DD 05/27/20 | 350,000 | 350,000 | 359,345 |
| KINDER MORGAN ENERGY PARTNERS | 4.150% 02/01/2024 DD 08/05/13 | 295,000 | 311,665 | 322,984 |
| LABORATORY CORP OF AMERICA | 2.300% 12/01/2024 DD 11/25/19 | 315,000 | 314,272 | 334,259 |
| LLOYDS BANKING GROUP PLC | 4.050% 08/16/2023 DD 08/16/18 | 360,000 | 359,903 | 393,401 |
| MARATHON PETROLEUM CORP | 5.125% 03/01/2021 DD 09/01/11 | 575,000 | 628,538 | 579,065 |
| MARATHON PETROLEUM CORP | 4.500% 05/01/2023 DD 04/27/20 | 195,000 | 194,885 | 211,737 |
| MARATHON PETROLEUM CORP | 4.700% 05/01/2025 DD 04/27/20 | 210,000 | 209,591 | 240,568 |
| MARSH & MCLENNAN COS INC | 3.875% 03/15/2024 DD 01/15/19 | 200,000 | 221,078 | 220,592 |
| MCCORMICK & CO INC/MD | 2.700% 08/15/2022 DD 08/11/17 | 565,000 | 564,944 | 584,922 |
| MERCK & CO INC | 0.750% 02/24/2026 DD 06/24/20 | 445,000 | 442,762 | 450,024 |
| METROPOLITAN LIFE GLOBAL 144A | 1.950% 09/15/2021 DD 09/15/16 | 375,000 | 359,603 | 379,440 |
| METROPOLITAN LIFE GLOBAL 144A | 1.950% 01/13/2023 DD 01/13/20 | 450,000 | 449,807 | 464,283 |
| MONDELEZ INTERNATIONAL HO 144A | 2.125% 09/19/2022 DD 09/19/19 | 275,000 | 274,929 | 282,879 |
| MORGAN STANLEY | VAR RT 01/20/2023 DD 01/22/20 | 385,000 | 385,000 | 386,236 |
| MORGAN STANLEY CAPITAL UBS8 A4 | 3.809% 12/15/2048 DD 12/01/15 | 265,000 | 293,280 | 296,456 |
| NATIONAL SECURITIES CLEAR 144A | 1.200% 04/23/2023 DD 04/23/20 | 415,000 | 414,610 | 423,283 |
| NATIONAL SECURITIES CLEAR 144A | 0.750% 12/07/2025 DD 12/07/20 | 250,000 | 249,193 | 250,640 |
| NATWEST GROUP PLC | VAR RT 05/22/2024 DD 05/22/20 | 550,000 | 550,000 | 572,297 |
| NESTLE HOLDINGS INC 144A | 0.375% 01/15/2024 DD 09/15/20 | 630,000 | 628,482 | 630,636 |
| NORDEA BANK ABP 144A | 1.000% 06/09/2023 DD 06/09/20 | 365,000 | 364,624 | 370,752 |
| NORDEA BANK ABP 144A | 0.750% 08/28/2025 DD 08/28/20 | 250,000 | 248,670 | 249,818 |
| NXP BV / NXP FUNDING LLC 144A | 2.700% 05/01/2025 DD 05/01/20 | 175,000 | 174,853 | 188,353 |
| ORACLE CORP | 2.500% 04/01/2025 DD 04/01/20 | 570,000 | 606,902 | 612,613 |
| PANASONIC CORP 144A | 2.536% 07/19/2022 DD 07/19/19 | 375,000 | 375,000 | 385,485 |
| PARKER-HANNIFIN CORP | 2.700% 06/14/2024 DD 06/14/19 | 195,000 | 194,910 | 209,136 |
| PEPSICO INC | 0.750% 05/01/2023 DD 05/01/20 | 295,000 | 294,416 | 299,207 |
| PEPSICO INC | 0.400% 10/07/2023 DD 10/07/20 | 310,000 | 309,823 | 311,708 |
| PHILIP MORRIS INTERNATIONAL IN | 1.125% 05/01/2023 DD 05/01/20 | 295,000 | 294,012 | 300,826 |
| PNC BANK NA | 2.625% 02/17/2022 DD 02/17/17 | 600,000 | 604,362 | 614,580 |
| PRICOA GLOBAL FUNDING I 144A | 2.450% 09/21/2022 DD 09/21/17 | 480,000 | 479,506 | 497,275 |
| PROCTER & GAMBLE CO/THE | 0.550% 10/29/2025 DD 10/29/20 | 550,000 | 549,109 | 554,868 |
| PSNH FUNDING LLC 3 1 A1 | 3.094% 02/01/2026 DD 05/08/18 | 208,247 | 208,242 | 216,810 |
| PUBLIC SERVICE ELECTRIC AND GA | 1.900% 03/15/2021 DD 03/03/16 | 1,200,000 | 1,219,320 | 1,202,100 |
| RALPH LAUREN CORP | 1.700% 06/15/2022 DD 06/03/20 | 165,000 | 164,802 | 168,001 |
| RELIANCE STANDARD LIFE GL 144A | 2.500% 10/30/2024 DD 10/30/19 | 410,000 | 409,311 | 425,248 |
| RELIANCE STANDARD LIFE GL 144A | 2.150% 01/21/2023 DD 01/21/20 | 320,000 | 319,731 | 328,051 |
| REPUBLIC SERVICES INC | 0.875% 11/15/2025 DD 11/24/20 | 515,000 | 514,475 | 518,919 |
| ROCKWELL COLLINS INC | 2.800% 03/15/2022 DD 04/10/17 | 190,000 | 192,556 | 195,404 |
| SALESFORCE.COM INC | 3.250% 04/11/2023 DD 04/11/18 | 325,000 | 324,805 | 346,226 |
| SAN DIEGO GAS & ELECTRIC CO | 3.000% 08/15/2021 DD 08/18/11 | 1,250,000 | 1,294,975 | 1,270,588 |
| SIEMENS FINANCIERINGSMAAT 144A | 2.700% 03/16/2022 DD 03/16/17 | 770,000 | 768,252 | 790,759 |
| SPRINT SPECTRUM CO LLC / 144A | VAR RT 03/20/2023 DD 10/27/16 | 206,250 | 207,786 | 208,189 |
| SPRINT SPECTRUM CO LLC / 144A | 4.738% 09/20/2029 DD 03/21/18 | 105,000 | 114,713 | 113,724 |
| SWEDBANK AB 144A | 0.600% 09/25/2023 DD 09/25/20 | 505,000 | 504,939 | 505,990 |
| SYNCHRONY CREDIT CARD MAST 2 A | 3.470% 05/15/2026 DD 06/01/18 | 295,000 | 313,921 | 314,989 |
| TJX COS INC/THE | 2.750% 06/15/2021 DD 06/05/14 | 450,000 | 472,401 | 453,119 |
| TOYOTA MOTOR CORP | 3.183% 07/20/2021 DD 07/20/18 | 330,000 | 330,000 | 335,204 |
| TRUIST FINANCIAL CORP | 2.750% 04/01/2022 DD 03/21/17 | 815,000 | 806,043 | 838,619 |
| U S TREASURY NOTE | 2.750% 04/30/2023 DD 04/30/18 | 5,660,000 | 5,691,728 | 6,002,260 |
33
| U S TREASURY NOTE | 2.875% 10/31/2023 DD 10/31/18 | 8,318,000 | 8,713,482 | 8,954,493 |
| U S TREASURY NOTE | 2.500% 01/31/2024 DD 01/31/19 | 8,895,000 | 8,944,435 | 9,530,192 |
| U S TREASURY NOTE | 2.250% 04/30/2024 DD 04/30/19 | 4,840,000 | 5,044,755 | 5,169,749 |
| U S TREASURY NOTE | 1.750% 09/30/2022 DD 09/30/15 | 1,310,000 | 1,285,327 | 1,346,994 |
| U S TREASURY NOTE | 1.625% 08/15/2022 DD 08/15/12 | 1,880,000 | 1,808,986 | 1,925,684 |
| U S TREASURY NOTE | 2.750% 07/31/2023 DD 07/31/18 | 2,610,000 | 2,596,814 | 2,784,740 |
| U S TREASURY NOTE | 0.125% 10/15/2023 DD 10/15/20 | 3,090,000 | 3,085,483 | 3,087,837 |
| U S TREASURY NOTE | 0.125% 10/31/2022 DD 10/31/20 | 625,000 | 624,707 | 625,100 |
| U S TREASURY NOTE | 0.250% 10/31/2025 DD 10/31/20 | 11,740,000 | 11,662,234 | 11,689,555 |
| U S TREASURY NOTE | 0.500% 10/31/2027 DD 10/31/20 | 8,905,000 | 8,832,920 | 8,835,452 |
| UBS AG/LONDON 144A | 1.750% 04/21/2022 DD 04/21/20 | 350,000 | 349,542 | 356,227 |
| UNILEVER CAPITAL CORP | 0.375% 09/14/2023 DD 09/14/20 | 600,000 | 599,232 | 601,890 |
| US BANK NA/CINCINNATI OH | 2.050% 01/21/2025 DD 01/21/20 | 640,000 | 638,637 | 677,261 |
| USAA CAPITAL CORP 144A | 1.500% 05/01/2023 DD 04/21/20 | 310,000 | 309,616 | 317,983 |
| VALERO ENERGY CORP | 2.700% 04/15/2023 DD 04/16/20 | 535,000 | 534,406 | 558,331 |
| VERIZON OWNER TRUST 2020 A A1A | 1.850% 07/22/2024 DD 01/29/20 | 425,000 | 424,950 | 435,204 |
| VERIZON OWNER TRUST 2020-C C A | 0.410% 04/21/2025 DD 11/02/20 | 645,000 | 644,895 | 646,193 |
| VOLKSWAGEN AUTO LEASE TRU A A3 | 1.990% 11/21/2022 DD 10/04/19 | 310,000 | 309,995 | 314,610 |
| WALMART INC | 3.125% 06/23/2021 DD 06/27/18 | 290,000 | 289,986 | 293,976 |
| WALT DISNEY CO/THE | 1.750% 01/13/2026 DD 05/13/20 | 400,000 | 398,964 | 419,312 |
| WEIBO CORP | 3.500% 07/05/2024 DD 07/05/19 | 200,000 | 200,000 | 208,880 |
| WELLS FARGO & CO | 3.500% 03/08/2022 DD 03/08/12 | 750,000 | 778,013 | 777,570 |
| WELLS FARGO & CO | VAR RT 06/02/2024 DD 06/02/20 | 285,000 | 285,000 | 292,946 |
| WILLIS NORTH AMERICA INC | 3.600% 05/15/2024 DD 05/16/17 | 529,000 | 578,181 | 577,620 |
| WORLD FINANCIAL NETWORK CR C A | 2.210% 07/15/2026 DD 09/18/19 | 600,000 | 605,439 | 618,546 |
| WORLD OMNI AUTO RECEIVABL D A4 | 3.440% 12/16/2024 DD 10/17/18 | 485,000 | 492,351 | 510,220 |
| WORLD OMNI AUTOMOBILE LEA B A3 | 2.030% 11/15/2022 DD 08/21/19 | 155,000 | 153,365 | 157,620 |
| ABBVIE INC | 2.300% 11/21/2022 DD 05/21/20 | 535,000 | 534,476 | 554,474 |
| ABBVIE INC | 3.200% 11/21/2029 DD 05/21/20 | 155,000 | 154,961 | 173,709 |
| ABBVIE INC | 2.600% 11/21/2024 DD 05/21/20 | 380,000 | 379,662 | 407,284 |
| ABBVIE INC | 3.450% 03/15/2022 DD 09/15/20 | 235,000 | 244,407 | 242,356 |
| AIR PRODUCTS AND CHEMICALS INC | 1.850% 05/15/2027 DD 04/30/20 | 50,000 | 49,951 | 52,926 |
| AIR PRODUCTS AND CHEMICALS INC | 1.500% 10/15/2025 DD 04/30/20 | 25,000 | 24,995 | 26,058 |
| ALTRIA GROUP INC | 2.625% 09/16/2026 DD 09/16/16 | 130,000 | 114,148 | 140,332 |
| ALTRIA GROUP INC | 4.400% 02/14/2026 DD 02/14/19 | 70,000 | 69,854 | 81,275 |
| ALTRIA GROUP INC | 4.800% 02/14/2029 DD 02/14/19 | 55,000 | 56,319 | 65,896 |
| ALTRIA GROUP INC | 2.350% 05/06/2025 DD 05/06/20 | 95,000 | 94,960 | 100,937 |
| AMERICAN ELECTRIC POWER CO INC | 1.000% 11/01/2025 DD 11/20/20 | 355,000 | 354,180 | 359,225 |
| AMERICAN EXPRESS CO | 3.700% 11/05/2021 DD 11/06/18 | 190,000 | 189,958 | 194,855 |
| AMERICAN EXPRESS CO | 4.200% 11/06/2025 DD 11/06/18 | 90,000 | 89,800 | 104,495 |
| AMERICAN INTERNATIONAL GROUP I | 2.500% 06/30/2025 DD 05/11/20 | 350,000 | 349,622 | 376,250 |
| AMERICAN TOWER CORP | 2.400% 03/15/2025 DD 01/10/20 | 115,000 | 114,891 | 122,240 |
| AMERICAN TOWER CORP | 1.500% 01/31/2028 DD 11/20/20 | 355,000 | 354,897 | 357,219 |
| AMERICAN WATER CAPITAL CORP | 3.450% 06/01/2029 DD 05/13/19 | 330,000 | 349,889 | 379,853 |
| AMERICAN WATER CAPITAL CORP | 2.800% 05/01/2030 DD 04/14/20 | 45,000 | 45,036 | 49,675 |
| AMERICREDIT AUTOMOBILE RE 2 A3 | 3.150% 03/20/2023 DD 08/15/18 | 97,592 | 97,576 | 98,432 |
| AMGEN INC | 2.200% 02/21/2027 DD 02/21/20 | 100,000 | 99,787 | 107,201 |
| AMGEN INC | 2.450% 02/21/2030 DD 02/21/20 | 140,000 | 139,951 | 149,915 |
| ANHEUSER-BUSCH COS LLC / ANHEU | 3.650% 02/01/2026 DD 02/01/19 | 510,000 | 482,934 | 576,489 |
34
| ANHEUSER-BUSCH INBEV | 4.150% 01/23/2025 DD 01/23/19 | 10,000 | 10,936 | 11,387 |
| ANTHEM INC | 2.375% 01/15/2025 DD 09/09/19 | 85,000 | 87,381 | 90,912 |
| ANTHEM INC | 3.125% 05/15/2022 DD 05/07/12 | 155,000 | 156,273 | 160,816 |
| ARCHER-DANIELS-MIDLAND CO | 3.250% 03/27/2030 DD 03/27/20 | 80,000 | 79,378 | 92,519 |
| ARI FLEET LEASE TRUS B A3 144A | 3.430% 08/16/2027 DD 09/27/18 | 138,000 | 137,979 | 142,028 |
| AT&T INC | 4.350% 03/01/2029 DD 02/19/19 | 30,000 | 29,852 | 35,780 |
| AT&T INC | 2.750% 06/01/2031 DD 05/28/20 | 145,000 | 154,415 | 154,950 |
| AT&T INC | 1.650% 02/01/2028 DD 08/04/20 | 130,000 | 129,836 | 132,638 |
| AT&T INC | 2.250% 02/01/2032 DD 08/04/20 | 130,000 | 129,765 | 131,875 |
| AT&T INC 144A | 2.550% 12/01/2033 DD 12/07/20 | 218,000 | 214,920 | 223,481 |
| AUTOZONE INC | 3.625% 04/15/2025 DD 03/30/20 | 160,000 | 159,859 | 179,226 |
| BANK OF AMERICA CORP | VAR RT 01/20/2028 DD 01/20/17 | 185,000 | 182,073 | 212,489 |
| BANK OF AMERICA CORP | VAR RT 04/24/2028 DD 04/24/17 | 170,000 | 170,000 | 193,538 |
| BANK OF AMERICA CORP | VAR RT 12/20/2023 DD 12/20/17 | 53,000 | 53,010 | 55,783 |
| BANK OF AMERICA CORP | VAR RT 07/23/2024 DD 07/23/18 | 325,000 | 325,000 | 352,365 |
| BANK OF AMERICA CORP | VAR RT 02/13/2031 DD 02/13/20 | 80,000 | 80,000 | 84,966 |
| BANK OF AMERICA CORP | VAR RT 06/19/2026 DD 06/19/20 | 225,000 | 225,000 | 229,799 |
| BANK OF AMERICA CORP | VAR RT 07/23/2031 DD 07/23/20 | 120,000 | 120,000 | 121,241 |
| BANK OF AMERICA CORP | VAR RT 10/24/2026 DD 10/21/20 | 565,000 | 565,000 | 572,526 |
| BANK OF AMERICA NA | VAR RT 01/25/2023 DD 01/25/19 | 375,000 | 375,000 | 387,180 |
| BANK OF NEW YORK MELLON CORP/T | 1.950% 08/23/2022 DD 08/23/19 | 65,000 | 64,979 | 66,858 |
| BANK OF NEW YORK MELLON CORP/T | 2.100% 10/24/2024 DD 10/24/19 | 235,000 | 234,589 | 249,579 |
| BAT CAPITAL CORP | 3.222% 08/15/2024 DD 08/15/18 | 180,000 | 180,000 | 194,872 |
| BAT CAPITAL CORP | 2.789% 09/06/2024 DD 09/06/19 | 325,000 | 325,000 | 347,435 |
| BAXTER INTERNATIONAL INC 144A | 3.950% 04/01/2030 DD 03/26/20 | 75,000 | 80,389 | 89,633 |
| BAYER US FINANCE II LLC 144A | 4.250% 12/15/2025 DD 06/25/18 | 275,000 | 274,480 | 314,347 |
| BECTON DICKINSON AND CO | 2.894% 06/06/2022 DD 06/06/17 | 243,000 | 243,000 | 251,175 |
| BECTON DICKINSON AND CO | 3.363% 06/06/2024 DD 06/06/17 | 75,000 | 72,050 | 81,531 |
| BENCHMARK 2019-B11 MORT B11 A2 | 3.410% 05/15/2052 DD 06/01/19 | 400,000 | 412,000 | 428,848 |
| BLACKROCK INC | 1.900% 01/28/2031 DD 05/06/20 | 265,000 | 264,290 | 277,383 |
| BNP PARIBAS SA 144A | VAR RT 06/09/2026 DD 06/09/20 | 200,000 | 200,000 | 209,326 |
| BOSTON SCIENTIFIC CORP | 3.750% 03/01/2026 DD 02/25/19 | 315,000 | 343,469 | 357,475 |
| BOSTON SCIENTIFIC CORP | 1.900% 06/01/2025 DD 05/18/20 | 80,000 | 79,962 | 84,033 |
| BP CAPITAL MARKETS AMERICA INC | 3.633% 04/06/2030 DD 04/06/20 | 65,000 | 65,000 | 75,722 |
| BRISTOL-MYERS SQUIBB CO | 1.125% 11/13/2027 DD 11/13/20 | 235,000 | 234,859 | 237,350 |
| BRISTOL-MYERS SQUIBB CO | 1.450% 11/13/2030 DD 11/13/20 | 185,000 | 184,691 | 185,912 |
| BRIXMOR OPERATING PARTNERSHIP | 4.050% 07/01/2030 DD 06/10/20 | 50,000 | 49,888 | 57,389 |
| BROADCOM CORP / BROADCOM | 3.875% 01/15/2027 DD 01/15/18 | 10,000 | 9,116 | 11,223 |
| BROADCOM CORP / BROADCOM | 3.125% 01/15/2025 DD 10/17/17 | 115,000 | 109,222 | 124,175 |
| BROADCOM INC | 4.110% 09/15/2028 DD 05/21/20 | 273,000 | 272,011 | 312,446 |
| BROADCOM INC | 3.150% 11/15/2025 DD 05/08/20 | 180,000 | 179,755 | 196,551 |
| CARMAX AUTO OWNER TRUST 2 4 A3 | 3.360% 09/15/2023 DD 10/24/18 | 179,729 | 179,727 | 183,516 |
| CARRIER GLOBAL CORP | 2.700% 02/15/2031 DD 06/19/20 | 185,000 | 184,926 | 198,768 |
| CARRIER GLOBAL CORP | 2.242% 02/15/2025 DD 08/15/20 | 130,000 | 130,000 | 137,561 |
| CHARTER COMMUNICATIONS | 4.908% 07/23/2025 DD 07/23/16 | 300,000 | 310,330 | 348,435 |
| CHARTER COMMUNICATIONS | 4.464% 07/23/2022 DD 07/23/16 | 10,000 | 10,032 | 10,542 |
| CHARTER COMMUNICATIONS | 3.750% 02/15/2028 DD 07/06/17 | 25,000 | 24,966 | 28,031 |
| CHARTER COMMUNICATIONS | 4.200% 03/15/2028 DD 09/18/17 | 110,000 | 115,808 | 126,910 |
35
| CHARTER COMMUNICATIONS | 5.050% 03/30/2029 DD 01/17/19 | 5,000 | 5,410 | 6,079 |
| CHARTER COMMUNICATIONS | 2.300% 02/01/2032 DD 12/04/20 | 310,000 | 309,337 | 310,360 |
| CHESAPEAKE FUNDING 2A A1 144A | 3.230% 08/15/2030 DD 08/16/18 | 131,292 | 131,277 | 134,214 |
| CIGNA CORP | 3.050% 10/15/2027 DD 04/15/20 | 165,000 | 165,267 | 184,851 |
| CITIGROUP COMMERCIAL MOR P1 A5 | 3.717% 09/15/2048 DD 08/01/15 | 264,000 | 285,594 | 296,799 |
| CITIGROUP INC | 4.450% 09/29/2027 DD 09/29/15 | 155,000 | 155,886 | 183,232 |
| CITIGROUP INC | VAR RT 04/24/2025 DD 04/24/19 | 495,000 | 501,481 | 538,154 |
| CLECO CORPORATE HOLDINGS LLC | VAR RT 05/01/2026 DD 11/01/16 | 63,000 | 65,485 | 69,722 |
| CLECO CORPORATE HOLDINGS LLC | 3.375% 09/15/2029 DD 03/15/20 | 45,000 | 44,973 | 46,217 |
| CNH EQUIPMENT TRUST 2018- B A4 | 3.370% 05/15/2024 DD 09/26/18 | 265,000 | 264,979 | 278,104 |
| COMCAST CORP | 3.375% 08/15/2025 DD 05/27/15 | 95,000 | 91,228 | 105,995 |
| COMCAST CORP | 3.150% 03/01/2026 DD 02/23/16 | 220,000 | 230,564 | 245,621 |
| COMCAST CORP | 3.950% 10/15/2025 DD 10/05/18 | 180,000 | 179,779 | 206,798 |
| COMCAST CORP | 2.650% 02/01/2030 DD 11/05/19 | 130,000 | 129,806 | 142,217 |
| COMCAST CORP | 3.100% 04/01/2025 DD 03/27/20 | 120,000 | 120,555 | 132,037 |
| COMCAST CORP | 1.950% 01/15/2031 DD 05/28/20 | 105,000 | 104,670 | 107,829 |
| COMM 2013-LC6 MORTGAGE LC6 A4 | 2.941% 01/10/2046 DD 01/01/13 | 242,317 | 247,409 | 251,777 |
| COMM 2015-CCRE26 MORTG CR26 A4 | 3.630% 10/10/2048 DD 10/01/15 | 453,000 | 466,201 | 507,741 |
| COMM 2015-LC19 MORTGAG LC19 A4 | 3.183% 02/10/2048 DD 02/01/15 | 320,000 | 317,900 | 349,424 |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2036 DD 01/01/21 | 4,500,000 | 4,611,188 | 4,630,095 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2036 DD 01/01/21 | 900,000 | 935,859 | 940,923 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 4,750,000 | 4,913,275 | 4,934,253 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 4,750,000 | 4,911,203 | 4,925,940 |
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | 2,200,000 | 2,308,281 | 2,319,108 |
| COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2036 DD 01/01/21 | 900,000 | 943,734 | 944,496 |
| COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2051 DD 01/01/21 | 800,000 | 836,438 | 838,184 |
| COMMIT TO PUR FNMA SF MTG | 3.500% 01/01/2051 DD 01/01/21 | 1,800,000 | 1,899,000 | 1,902,654 |
| COMMIT TO PUR GNMA II JUMBOS | 2.000% 01/20/2051 DD 01/01/21 | 3,000,000 | 3,123,516 | 3,137,220 |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 1,900,000 | 1,995,570 | 2,011,321 |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 2,705,000 | 2,852,938 | 2,866,867 |
| COMMONSPIRIT HEALTH | 2.760% 10/01/2024 DD 08/21/19 | 65,000 | 65,000 | 69,683 |
| COMMONWEALTH EDISON CO | 3.700% 08/15/2028 DD 08/14/18 | 170,000 | 169,592 | 200,515 |
| CONAGRA BRANDS INC | 1.375% 11/01/2027 DD 10/16/20 | 150,000 | 148,719 | 151,385 |
| CONSTELLATION BRANDS INC | 2.650% 11/07/2022 DD 11/07/17 | 140,000 | 139,415 | 145,488 |
| CONSTELLATION BRANDS INC | 3.600% 02/15/2028 DD 02/07/18 | 94,000 | 94,133 | 107,379 |
| CONSTELLATION BRANDS INC | 4.650% 11/15/2028 DD 10/29/18 | 15,000 | 15,846 | 18,277 |
| CONSTELLATION BRANDS INC | 3.150% 08/01/2029 DD 07/29/19 | 98,000 | 93,511 | 109,138 |
| COX COMMUNICATIONS INC 144A | 3.150% 08/15/2024 DD 08/07/17 | 4,000 | 3,943 | 4,337 |
| CREDIT ACCEPTANCE AU 3A A 144A | 3.550% 08/15/2027 DD 08/23/18 | 161,315 | 161,286 | 163,038 |
| CROWN CASTLE INTERNATIONAL | 3.200% 09/01/2024 DD 08/01/17 | 50,000 | 48,825 | 54,322 |
| CSAIL 2015-C1 COMMERCIAL C1 A4 | 3.505% 04/15/2050 DD 03/01/15 | 372,000 | 396,747 | 406,801 |
| CSAIL 2015-C3 COMMERCIAL C3 A3 | 3.447% 08/15/2048 DD 08/01/15 | 275,000 | 284,550 | 296,912 |
| CVS HEALTH CORP | 2.875% 06/01/2026 DD 05/25/16 | 125,000 | 117,375 | 137,194 |
| CVS HEALTH CORP | 3.700% 03/09/2023 DD 03/09/18 | 18,000 | 17,839 | 19,257 |
| CVS HEALTH CORP | 2.625% 08/15/2024 DD 08/15/19 | 75,000 | 74,614 | 80,368 |
| CVS HEALTH CORP | 3.750% 04/01/2030 DD 03/31/20 | 155,000 | 156,118 | 180,384 |
| DANSKE BANK A/S 144A | 5.375% 01/12/2024 DD 01/16/19 | 200,000 | 199,596 | 225,632 |
| DELL EQUIPMENT FINAN 2 A3 144A | 0.570% 10/23/2023 DD 09/23/20 | 135,000 | 134,990 | 135,460 |
| DISCOVERY COMMUNICATIONS LLC | 3.800% 03/13/2024 DD 03/13/17 | 113,000 | 114,809 | 123,294 |
36
| DISCOVERY COMMUNICATIONS LLC | 3.950% 03/20/2028 DD 09/21/17 | 35,000 | 37,079 | 40,173 |
| DISCOVERY COMMUNICATIONS LLC | 3.625% 05/15/2030 DD 05/18/20 | 115,000 | 115,000 | 131,734 |
| DOMINION ENERGY INC | 3.375% 04/01/2030 DD 04/03/20 | 45,000 | 44,548 | 51,260 |
| DTE ENERGY CO | 2.600% 06/15/2022 DD 06/13/19 | 75,000 | 74,916 | 77,348 |
| DUKE ENERGY CAROLINAS LLC | 3.350% 05/15/2022 DD 11/08/18 | 90,000 | 89,794 | 93,735 |
| DUKE ENERGY CORP | 3.750% 04/15/2024 DD 04/04/14 | 200,000 | 199,882 | 220,194 |
| ENERGY TRANSFER OPERATING LP | 5.250% 04/15/2029 DD 01/15/19 | 90,000 | 89,810 | 105,080 |
| ENERGY TRANSFER OPERATING LP | 3.750% 05/15/2030 DD 01/22/20 | 80,000 | 79,874 | 86,292 |
| ENTERPRISE FLEET FIN 1 A3 144A | 3.100% 10/20/2023 DD 03/21/18 | 245,000 | 243,335 | 248,724 |
| EQUIFAX INC | 2.600% 12/15/2025 DD 04/27/20 | 159,000 | 160,345 | 171,623 |
| EQUINOR ASA | 3.125% 04/06/2030 DD 04/06/20 | 210,000 | 208,341 | 238,062 |
| EQUINOR ASA | 1.750% 01/22/2026 DD 05/22/20 | 185,000 | 184,258 | 194,339 |
| ESTEE LAUDER COS INC/THE | 2.600% 04/15/2030 DD 04/13/20 | 45,000 | 44,917 | 49,425 |
| EVERGY INC | 2.450% 09/15/2024 DD 09/09/19 | 55,000 | 54,904 | 58,319 |
| EVERGY INC | 2.900% 09/15/2029 DD 09/09/19 | 115,000 | 114,846 | 126,055 |
| EXELON CORP | 2.450% 04/15/2021 DD 04/07/16 | 30,000 | 29,993 | 30,118 |
| EXELON CORP | 4.050% 04/15/2030 DD 04/01/20 | 90,000 | 89,815 | 106,495 |
| EXXON MOBIL CORP | 3.482% 03/19/2030 DD 03/19/20 | 65,000 | 65,000 | 75,594 |
| FEDEX CORP | 3.300% 03/15/2027 DD 01/06/17 | 60,000 | 57,750 | 67,224 |
| FEDEX CORP | 3.800% 05/15/2025 DD 04/07/20 | 145,000 | 144,600 | 163,683 |
| FEDEX CORP | 4.250% 05/15/2030 DD 04/07/20 | 95,000 | 94,770 | 115,426 |
| FHLMC POOL #A4-1215 | 5.000% 11/01/2035 DD 12/01/05 | 71,648 | 68,811 | 83,354 |
| FHLMC POOL #A4-1297 | 5.000% 12/01/2035 DD 12/01/05 | 26,122 | 25,087 | 29,402 |
| FHLMC POOL #A4-1833 | 5.000% 01/01/2036 DD 01/01/06 | 9,578 | 9,199 | 10,745 |
| FHLMC POOL #A4-7715 | 5.000% 11/01/2035 DD 11/01/05 | 337 | 324 | 373 |
| FHLMC POOL #A7-0631 | 5.000% 12/01/2037 DD 12/01/07 | 22,471 | 21,551 | 24,899 |
| FHLMC POOL #A7-7292 | 5.000% 04/01/2038 DD 05/01/08 | 77,526 | 76,557 | 89,735 |
| FHLMC POOL #A9-6129 | 4.000% 01/01/2041 DD 12/01/10 | 1,203,248 | 1,242,824 | 1,320,300 |
| FHLMC POOL #G0-1940 | 5.000% 10/01/2035 DD 10/01/05 | 20,172 | 18,947 | 23,434 |
| FHLMC POOL #G0-4214 | 5.500% 05/01/2038 DD 04/01/08 | 68,947 | 69,421 | 81,081 |
| FHLMC POOL #G0-8741 | 3.000% 01/01/2047 DD 12/01/16 | 4,419,111 | 4,540,637 | 4,663,886 |
| FHLMC POOL #G0-8796 | 3.500% 12/01/2047 DD 12/01/17 | 294,330 | 291,468 | 312,061 |
| FHLMC POOL #G0-8804 | 3.500% 03/01/2048 DD 02/01/18 | 951,513 | 942,258 | 1,009,432 |
| FHLMC POOL #G0-8816 | 3.500% 05/01/2048 DD 05/01/18 | 358,766 | 354,632 | 379,180 |
| FHLMC POOL #Q4-6279 | 3.500% 02/01/2047 DD 02/01/17 | 215,903 | 213,238 | 229,412 |
| FHLMC POOL #Q5-3034 | 3.500% 12/01/2047 DD 12/01/17 | 164,442 | 162,547 | 174,318 |
| FHLMC POOL #Q5-5617 | 3.500% 04/01/2048 DD 04/01/18 | 225,246 | 222,650 | 238,657 |
| FHLMC POOL #Q5-6545 | 3.500% 06/01/2048 DD 06/01/18 | 516,826 | 511,799 | 549,727 |
| FHLMC POOL #SD-8036 | 3.000% 12/01/2049 DD 12/01/19 | 4,170,874 | 4,227,165 | 4,370,576 |
| FHLMC MULTICLASS MTG 3883 PB | 3.000% 05/15/2041 DD 06/01/11 | 67,241 | 66,973 | 72,689 |
| FHLMC MULTICLASS MTG 4216 KQ | 1.700% 10/15/2039 DD 06/01/13 | 109,335 | 108,729 | 110,901 |
| FHLMC MULTICLASS MTG 4961 JB | 2.500% 12/15/2042 DD 02/01/20 | 178,393 | 184,832 | 186,105 |
| FIFTH THIRD BANCORP | 2.375% 01/28/2025 DD 10/28/19 | 130,000 | 129,964 | 138,351 |
| FIRST NATIONAL MASTER NOTE 1 A | VAR RT 10/15/2024 DD 10/17/18 | 270,000 | 270,000 | 270,383 |
| FISERV INC | 3.800% 10/01/2023 DD 09/25/18 | 235,000 | 234,892 | 255,962 |
| FISERV INC | 2.750% 07/01/2024 DD 06/24/19 | 280,000 | 279,530 | 300,661 |
| FNMA POOL #0256315 | 5.500% 07/01/2036 DD 06/01/06 | 27,259 | 26,726 | 32,044 |
| FNMA POOL #0725206 | 5.500% 02/01/2034 DD 02/01/04 | 61,538 | 70,108 | 71,746 |
| FNMA POOL #0725222 | 5.500% 02/01/2034 DD 02/01/04 | 102,092 | 116,264 | 119,070 |
37
| FNMA POOL #0725314 | 5.000% 04/01/2034 DD 03/01/04 | 26,605 | 25,272 | 30,748 |
| FNMA POOL #0727187 | 5.500% 08/01/2033 DD 08/01/03 | 8,452 | 8,507 | 9,787 |
| FNMA POOL #0733655 | 5.500% 09/01/2033 DD 08/01/03 | 17,161 | 17,273 | 20,022 |
| FNMA POOL #0734847 | 5.500% 08/01/2033 DD 08/01/03 | 32,826 | 33,042 | 38,150 |
| FNMA POOL #0735383 | 5.000% 04/01/2035 DD 03/01/05 | 247,895 | 277,589 | 287,789 |
| FNMA POOL #0820263 | 5.000% 07/01/2035 DD 07/01/05 | 8,711 | 8,568 | 10,127 |
| FNMA POOL #0825951 | 5.000% 07/01/2035 DD 06/01/05 | 12,920 | 12,708 | 14,467 |
| FNMA POOL #0826955 | 5.000% 06/01/2035 DD 06/01/05 | 1,028 | 1,011 | 1,172 |
| FNMA POOL #0828523 | 5.000% 07/01/2035 DD 07/01/05 | 21,002 | 20,658 | 24,420 |
| FNMA POOL #0828547 | 5.000% 08/01/2035 DD 08/01/05 | 1,950 | 1,851 | 2,267 |
| FNMA POOL #0828678 | 5.000% 07/01/2035 DD 07/01/05 | 9,464 | 9,308 | 10,646 |
| FNMA POOL #0828712 | 5.000% 07/01/2035 DD 07/01/05 | 17,479 | 17,192 | 20,321 |
| FNMA POOL #0830996 | 5.000% 08/01/2035 DD 07/01/05 | 12,428 | 12,224 | 13,856 |
| FNMA POOL #0832013 | 5.000% 09/01/2035 DD 08/01/05 | 30,609 | 30,107 | 35,572 |
| FNMA POOL #0832878 | 5.000% 09/01/2035 DD 08/01/05 | 29,977 | 28,989 | 34,847 |
| FNMA POOL #0838778 | 5.000% 10/01/2035 DD 10/01/05 | 8,485 | 8,060 | 9,655 |
| FNMA POOL #0840377 | 5.000% 11/01/2035 DD 11/01/05 | 7,225 | 6,863 | 8,396 |
| FNMA POOL #0843360 | 5.000% 11/01/2035 DD 11/01/05 | 6,538 | 6,213 | 7,235 |
| FNMA POOL #0844018 | 5.000% 11/01/2035 DD 10/01/05 | 32,081 | 30,473 | 37,295 |
| FNMA POOL #0867065 | 5.000% 02/01/2036 DD 02/01/06 | 7,868 | 7,468 | 9,147 |
| FNMA POOL #0882022 | 5.500% 05/01/2036 DD 05/01/06 | 1,656 | 1,623 | 1,947 |
| FNMA POOL #0888023 | 5.500% 06/01/2036 DD 11/01/06 | 209,884 | 209,392 | 244,101 |
| FNMA POOL #0888120 | 5.000% 10/01/2035 DD 12/01/06 | 66,024 | 63,842 | 76,766 |
| FNMA POOL #0888635 | 5.500% 09/01/2036 DD 08/01/07 | 52,904 | 60,256 | 61,698 |
| FNMA POOL #0893289 | 5.500% 08/01/2036 DD 08/01/06 | 11,409 | 11,197 | 12,972 |
| FNMA POOL #0893363 | 5.000% 06/01/2036 DD 08/01/06 | 3,042 | 2,890 | 3,536 |
| FNMA POOL #0900979 | 5.500% 09/01/2036 DD 09/01/06 | 7,445 | 7,307 | 8,585 |
| FNMA POOL #0961876 | 5.000% 03/01/2038 DD 02/01/08 | 55,091 | 53,796 | 61,108 |
| FNMA POOL #0AN8695 | 3.550% 03/01/2028 DD 03/01/18 | 692,546 | 708,534 | 795,139 |
| FNMA POOL #0AT2016 | 3.000% 04/01/2043 DD 04/01/13 | 587,846 | 593,357 | 628,442 |
| FNMA POOL #0BJ8622 | 3.500% 05/01/2048 DD 04/01/18 | 63,178 | 62,625 | 66,864 |
| FNMA POOL #0BK5010 | 3.500% 06/01/2048 DD 06/01/18 | 201,631 | 199,867 | 213,245 |
| FNMA POOL #0BN5279 | 4.000% 02/01/2049 DD 02/01/19 | 1,215,821 | 1,240,137 | 1,298,740 |
| FNMA POOL #0CA1191 | 3.500% 11/01/2047 DD 01/01/18 | 95,456 | 94,650 | 101,110 |
| FNMA GTD REMIC P/T 12-128 PD | 1.500% 06/25/2042 DD 10/01/12 | 190,919 | 188,719 | 194,484 |
| FNMA GTD REMIC P/T 12-18 GA | 2.000% 12/25/2041 DD 02/01/12 | 103,097 | 97,443 | 106,509 |
| FNMA GTD REMIC P/T 12-21 PQ | 2.000% 09/25/2041 DD 02/01/12 | 54,974 | 52,045 | 56,608 |
| FNMA GTD REMIC P/T 12-52 PA | 3.500% 05/25/2042 DD 04/01/12 | 65,820 | 66,671 | 71,369 |
| FNMA GTD REMIC P/T 12-75 KC | 2.500% 12/25/2041 DD 06/01/12 | 103,513 | 100,424 | 106,780 |
| FNMA GTD REMIC P/T 13-43 XP | 1.500% 08/25/2041 DD 04/01/13 | 130,542 | 128,895 | 132,973 |
| FNMA GTD REMIC P/T 13-77 BP | 1.700% 06/25/2043 DD 06/01/13 | 102,942 | 102,331 | 104,528 |
| FNMA GTD REMIC P/T 15-48 QB | 3.000% 02/25/2043 DD 06/01/15 | 151,470 | 152,754 | 157,205 |
| FNMA GTD REMIC P/T 16-11 GA | 2.500% 03/25/2046 DD 02/01/16 | 105,280 | 102,056 | 110,543 |
| FNMA GTD REMIC P/T 17-34 JK | 3.000% 05/25/2047 DD 04/01/17 | 76,261 | 73,854 | 78,968 |
| FNMA GTD REMIC P/T 17-72 B | 3.000% 09/25/2047 DD 08/01/17 | 131,326 | 130,982 | 140,789 |
| FNMA GTD REMIC P/T 17-72 CD | 3.000% 09/25/2047 DD 08/01/17 | 134,865 | 134,161 | 144,869 |
| FNMA GTD REMIC P/T 18-23 LA | 3.500% 04/25/2048 DD 03/01/18 | 143,246 | 144,645 | 155,495 |
| FNMA GTD REMIC P/T 18-38 PC | 3.500% 03/25/2045 DD 05/01/18 | 93,373 | 93,577 | 95,599 |
| FNMA GTD REMIC P/T 18-77 PA | 3.500% 02/25/2048 DD 09/01/18 | 61,858 | 61,587 | 64,911 |
38
| FNMA GTD REMIC P/T 18-80 GD | 3.500% 12/25/2047 DD 09/01/18 | 225,553 | 223,271 | 238,206 |
| FNMA GTD REMIC P/T 19-6 GJ | 3.000% 02/25/2049 DD 02/01/19 | 117,780 | 120,633 | 125,134 |
| GE CAPITAL FUNDING LLC 144A | 4.400% 05/15/2030 DD 05/18/20 | 200,000 | 210,148 | 235,766 |
| GENERAL ELECTRIC CO | 3.450% 05/01/2027 DD 04/22/20 | 60,000 | 59,907 | 67,863 |
| GENERAL MILLS INC | 4.000% 04/17/2025 DD 04/17/18 | 130,000 | 141,886 | 146,964 |
| GENERAL MOTORS CO | 5.000% 10/01/2028 DD 09/10/18 | 75,000 | 74,974 | 89,241 |
| GENERAL MOTORS CO | 6.125% 10/01/2025 DD 05/12/20 | 60,000 | 59,939 | 72,778 |
| GENERAL MOTORS FINANCIAL CO IN | 4.300% 07/13/2025 DD 07/13/15 | 45,000 | 44,164 | 50,451 |
| GEORGIA POWER CO | 3.250% 03/30/2027 DD 03/03/17 | 122,000 | 125,065 | 134,844 |
| GILEAD SCIENCES INC | 1.200% 10/01/2027 DD 09/30/20 | 125,000 | 124,891 | 125,866 |
| GLAXOSMITHKLINE CAPITAL INC | 3.375% 05/15/2023 DD 05/15/18 | 220,000 | 218,968 | 235,699 |
| GLOBAL PAYMENTS INC | 2.650% 02/15/2025 DD 08/14/19 | 70,000 | 69,983 | 74,962 |
| GLOBAL PAYMENTS INC | 2.900% 05/15/2030 DD 05/15/20 | 145,000 | 144,526 | 157,886 |
| GLP CAPITAL LP / GLP FINANCING | 5.300% 01/15/2029 DD 09/26/18 | 60,000 | 60,025 | 69,417 |
| GM FINANCIAL CONSUMER AUT 3 A4 | 0.580% 01/16/2026 DD 08/19/20 | 95,000 | 94,999 | 95,403 |
| GNMA POOL #0345910 | 6.000% 12/15/2023 DD 12/01/93 | 755 | 787 | 847 |
| GNMA POOL #0427239 | 6.000% 01/15/2028 DD 01/01/98 | 482 | 503 | 541 |
| GNMA POOL #0465541 | 6.000% 07/15/2028 DD 07/01/98 | 733 | 764 | 825 |
| GNMA POOL #0486703 | 6.000% 11/15/2028 DD 11/01/98 | 459 | 479 | 529 |
| GNMA POOL #0491289 | 6.000% 11/15/2028 DD 11/01/98 | 7,967 | 8,328 | 8,947 |
| GNMA POOL #0596613 | 6.000% 10/15/2032 DD 10/01/02 | 277 | 286 | 313 |
| GNMA POOL #0601319 | 6.000% 02/15/2033 DD 02/01/03 | 4,654 | 4,865 | 5,228 |
| GNMA POOL #0739896 | 4.000% 01/15/2041 DD 01/01/11 | 103,418 | 111,687 | 112,934 |
| GNMA POOL #0767263 | 4.000% 08/15/2041 DD 08/01/11 | 460,964 | 497,823 | 503,645 |
| GNMA POOL #0770410 | 4.000% 06/15/2041 DD 06/01/11 | 25,955 | 28,056 | 28,049 |
| GNMA POOL #0778693 | 4.000% 12/15/2041 DD 12/01/11 | 62,478 | 67,535 | 67,493 |
| GNMA POOL #0781856 | 6.000% 08/15/2034 DD 01/01/05 | 96,312 | 99,645 | 116,360 |
| GNMA POOL #0782071 | 7.000% 05/15/2033 DD 03/01/06 | 26,645 | 27,803 | 31,236 |
| GNMA GTD REMIC P/T 13-37 LG | 2.000% 01/20/2042 DD 03/01/13 | 142,215 | 132,704 | 145,999 |
| GNMA GTD REMIC P/T 15-151 BA | 1.700% 10/20/2045 DD 10/01/15 | 91,708 | 91,170 | 92,799 |
| GNMA GTD REMIC P/T 15-56 LB | 1.500% 04/16/2040 DD 04/01/15 | 154,265 | 152,843 | 155,764 |
| GNMA II POOL #0MA4652 | 3.500% 08/20/2047 DD 08/01/17 | 1,267,153 | 1,319,622 | 1,357,970 |
| GNMA II POOL #0MA4961 | 3.000% 01/20/2048 DD 01/01/18 | 200,547 | 193,661 | 212,572 |
| GNMA II POOL #0MA5018 | 3.000% 02/20/2048 DD 02/01/18 | 2,021,064 | 1,951,669 | 2,114,902 |
| GOLDMAN SACHS GROUP INC/THE | 5.750% 01/24/2022 DD 01/24/12 | 130,000 | 138,318 | 137,410 |
| GOLDMAN SACHS GROUP INC/THE | 4.000% 03/03/2024 DD 03/03/14 | 80,000 | 79,758 | 88,398 |
| GOLDMAN SACHS GROUP INC/THE | VAR RT 07/24/2023 DD 07/24/17 | 295,000 | 293,151 | 306,399 |
| GOLDMAN SACHS GROUP INC/THE | 3.750% 02/25/2026 DD 02/25/16 | 185,000 | 193,221 | 210,151 |
| GOLDMAN SACHS GROUP INC/THE | 3.500% 11/16/2026 DD 11/16/16 | 230,000 | 212,920 | 258,207 |
| HOME DEPOT INC/THE | 2.500% 04/15/2027 DD 03/30/20 | 40,000 | 39,805 | 43,895 |
| HSBC HOLDINGS PLC | VAR RT 05/24/2027 DD 11/24/20 | 200,000 | 200,000 | 203,384 |
| IHS MARKIT LTD 144A | 4.750% 02/15/2025 DD 02/09/17 | 170,000 | 185,793 | 195,092 |
| INTEL CORP | 2.450% 11/15/2029 DD 11/21/19 | 55,000 | 56,169 | 59,662 |
| INTERNATIONAL BUSINESS MACHINE | 3.000% 05/15/2024 DD 05/15/19 | 195,000 | 194,255 | 211,240 |
| INTERNATIONAL BUSINESS MACHINE | 3.300% 05/15/2026 DD 05/15/19 | 195,000 | 194,637 | 220,342 |
| INTERNATIONAL BUSINESS MACHINE | 3.500% 05/15/2029 DD 05/15/19 | 200,000 | 199,498 | 231,416 |
| IPALCO ENTERPRISES INC 144A | 4.250% 05/01/2030 DD 04/14/20 | 180,000 | 179,836 | 207,799 |
| ITC HOLDINGS CORP 144A | 2.950% 05/14/2030 DD 05/14/20 | 110,000 | 109,773 | 120,233 |
| JOHN DEERE CAPITAL CORP | 3.450% 06/07/2023 DD 06/07/18 | 85,000 | 84,953 | 91,348 |
39
| JOHN DEERE CAPITAL CORP | 0.700% 07/05/2023 DD 06/04/20 | 175,000 | 174,857 | 176,853 |
| JPMBB COMMERCIAL MORTGA C32 A5 | 3.598% 11/15/2048 DD 10/01/15 | 322,000 | 351,219 | 359,333 |
| JPMORGAN CHASE & CO | 4.350% 08/15/2021 DD 08/10/11 | 250,000 | 248,800 | 256,400 |
| JPMORGAN CHASE & CO | VAR RT 01/23/2029 DD 01/23/18 | 255,000 | 255,000 | 290,009 |
| JPMORGAN CHASE & CO | VAR RT 07/23/2024 DD 07/23/18 | 345,000 | 345,000 | 374,242 |
| JPMORGAN CHASE & CO | VAR RT 01/29/2027 DD 01/29/19 | 440,000 | 440,000 | 505,600 |
| JPMORGAN CHASE & CO | VAR RT 05/06/2030 DD 05/06/19 | 45,000 | 45,000 | 52,202 |
| JPMORGAN CHASE & CO | VAR RT 03/24/2031 DD 03/24/20 | 210,000 | 210,000 | 258,327 |
| KELLOGG CO | 3.250% 04/01/2026 DD 03/07/16 | 140,000 | 148,725 | 157,419 |
| L3HARRIS TECHNOLOGIES INC | 4.400% 06/15/2028 DD 12/15/19 | 94,000 | 106,666 | 112,714 |
| LAS VEGAS SANDS CORP | 3.200% 08/08/2024 DD 07/31/19 | 80,000 | 79,937 | 84,734 |
| LENNOX INTERNATIONAL INC | 1.350% 08/01/2025 DD 07/30/20 | 120,000 | 119,890 | 122,761 |
| LOWE'S COS INC | 1.300% 04/15/2028 DD 10/22/20 | 90,000 | 89,936 | 90,794 |
| LYB INTERNATIONAL FINANCE III | 2.875% 05/01/2025 DD 04/20/20 | 70,000 | 69,938 | 75,749 |
| LYB INTERNATIONAL FINANCE III | 1.250% 10/01/2025 DD 10/08/20 | 85,000 | 84,731 | 86,489 |
| MARATHON PETROLEUM CORP | 4.500% 05/01/2023 DD 04/27/20 | 350,000 | 362,835 | 380,041 |
| MARSH & MCLENNAN COS INC | 4.050% 10/15/2023 DD 09/27/13 | 375,000 | 373,523 | 409,515 |
| MARSH & MCLENNAN COS INC | 3.875% 03/15/2024 DD 01/15/19 | 105,000 | 105,096 | 115,811 |
| MARSH & MCLENNAN COS INC | 4.375% 03/15/2029 DD 01/15/19 | 95,000 | 95,149 | 115,665 |
| MASTERCARD INC | 3.350% 03/26/2030 DD 03/26/20 | 30,000 | 29,942 | 34,882 |
| MCDONALD'S CORP | 1.450% 09/01/2025 DD 03/05/20 | 160,000 | 159,706 | 165,922 |
| MICROCHIP TECHNOLOGY INC 144A | 2.670% 09/01/2023 DD 05/29/20 | 170,000 | 170,000 | 177,796 |
| MMAF EQUIPMENT FINA BA A3 144A | 0.490% 08/14/2025 DD 09/23/20 | 100,000 | 99,999 | 100,107 |
| MORGAN STANLEY | VAR RT 07/22/2025 DD 07/23/19 | 290,000 | 290,000 | 310,178 |
| MORGAN STANLEY | VAR RT 02/13/2032 DD 11/13/20 | 100,000 | 100,000 | 100,715 |
| MORGAN STANLEY | 2.750% 05/19/2022 DD 05/19/17 | 200,000 | 199,582 | 206,544 |
| MORGAN STANLEY | VAR RT 04/24/2024 DD 04/24/18 | 135,000 | 135,000 | 145,255 |
| MORGAN STANLEY | 2.500% 04/21/2021 DD 04/21/16 | 190,000 | 189,362 | 191,178 |
| MORGAN STANLEY | 4.875% 11/01/2022 DD 10/23/12 | 20,000 | 20,161 | 21,550 |
| MORGAN STANLEY | 3.125% 07/27/2026 DD 07/25/16 | 570,000 | 566,836 | 637,129 |
| MORGAN STANLEY BANK OF A C8 A4 | 3.134% 12/15/2048 DD 02/01/13 | 230,000 | 235,094 | 239,936 |
| MORGAN STANLEY BANK OF C14 A5 | 4.064% 02/15/2047 DD 02/01/14 | 25,000 | 26,743 | 27,215 |
| MPLX LP | 4.125% 03/01/2027 DD 02/10/17 | 190,000 | 177,976 | 219,135 |
| MPLX LP | 1.750% 03/01/2026 DD 08/18/20 | 125,000 | 124,731 | 129,364 |
| NATIONAL RURAL UTILITIES COOPE | 3.700% 03/15/2029 DD 01/31/19 | 45,000 | 44,900 | 52,620 |
| NESTLE HOLDINGS INC 144A | 3.350% 09/24/2023 DD 09/24/18 | 175,000 | 174,969 | 188,668 |
| NEW YORK LIFE GLOBAL FUND 144A | 2.000% 04/13/2021 DD 04/13/16 | 340,000 | 340,853 | 341,639 |
| NISOURCE INC | 0.950% 08/15/2025 DD 08/18/20 | 220,000 | 219,454 | 221,329 |
| NISOURCE INC | 3.490% 05/15/2027 DD 05/22/17 | 180,000 | 182,439 | 204,107 |
| NOVARTIS CAPITAL CORP | 2.200% 08/14/2030 DD 02/14/20 | 75,000 | 74,902 | 80,520 |
| NUCOR CORP | 2.000% 06/01/2025 DD 05/22/20 | 25,000 | 24,962 | 26,476 |
| NVIDIA CORP | 2.850% 04/01/2030 DD 03/31/20 | 145,000 | 144,462 | 163,116 |
| NXP BV / NXP FUNDING LLC 144A | 5.350% 03/01/2026 DD 12/06/18 | 89,000 | 98,645 | 107,224 |
| NXP BV / NXP FUNDING LLC 144A | 4.875% 03/01/2024 DD 12/06/18 | 265,000 | 267,241 | 298,899 |
| NXP BV / NXP FUNDING LLC 144A | 2.700% 05/01/2025 DD 05/01/20 | 545,000 | 544,542 | 586,584 |
| ONEOK INC | 3.400% 09/01/2029 DD 08/15/19 | 30,000 | 29,893 | 32,106 |
| ORACLE CORP | 2.500% 04/01/2025 DD 04/01/20 | 90,000 | 89,967 | 96,728 |
| ORACLE CORP | 2.800% 04/01/2027 DD 04/01/20 | 90,000 | 89,807 | 99,259 |
| ORACLE CORP | 2.950% 04/01/2030 DD 04/01/20 | 90,000 | 89,907 | 100,633 |
40
| OTIS WORLDWIDE CORP | 2.056% 04/05/2025 DD 02/27/20 | 620,000 | 621,109 | 657,101 |
| PACIFIC GAS AND ELECTRIC CO | 2.100% 08/01/2027 DD 06/19/20 | 400,000 | 399,256 | 407,048 |
| PACIFICORP | 3.500% 06/15/2029 DD 03/01/19 | 190,000 | 189,649 | 219,021 |
| PACIFICORP | 2.700% 09/15/2030 DD 04/08/20 | 10,000 | 9,982 | 10,990 |
| PENSKE TRUCK LEASING CO L 144A | 4.875% 07/11/2022 DD 07/13/12 | 155,000 | 159,446 | 165,247 |
| PENSKE TRUCK LEASING CO L 144A | 3.375% 02/01/2022 DD 02/02/15 | 65,000 | 68,080 | 66,723 |
| PENSKE TRUCK LEASING CO L 144A | 3.900% 02/01/2024 DD 05/10/18 | 35,000 | 34,929 | 38,219 |
| PFIZER INC | 2.625% 04/01/2030 DD 03/27/20 | 65,000 | 64,773 | 72,550 |
| PFIZER INC | 1.700% 05/28/2030 DD 05/28/20 | 45,000 | 44,860 | 46,725 |
| PHILIP MORRIS INTERNATIONAL IN | 1.500% 05/01/2025 DD 05/01/20 | 180,000 | 179,122 | 186,442 |
| PNC FINANCIAL SERVICES GROUP I | 3.450% 04/23/2029 DD 04/22/19 | 170,000 | 169,728 | 195,957 |
| PNC FINANCIAL SERVICES GROUP I | 2.200% 11/01/2024 DD 11/01/19 | 175,000 | 174,942 | 185,988 |
| PPL CAPITAL FUNDING INC | 3.400% 06/01/2023 DD 05/24/13 | 50,000 | 52,075 | 53,100 |
| PROGRESSIVE CORP/THE | 3.200% 03/26/2030 DD 03/26/20 | 20,000 | 20,000 | 23,033 |
| PUGET ENERGY INC | 4.100% 06/15/2030 DD 05/19/20 | 140,000 | 139,766 | 158,302 |
| RAYTHEON TECHNOLOGIES CORP | 3.650% 08/16/2023 DD 08/16/18 | 4,000 | 4,000 | 4,313 |
| RAYTHEON TECHNOLOGIES CORP | 3.950% 08/16/2025 DD 08/16/18 | 40,000 | 39,932 | 45,876 |
| ROYALTY PHARMA PLC 144A | 1.750% 09/02/2027 DD 09/02/20 | 205,000 | 202,742 | 210,939 |
| ROYALTY PHARMA PLC 144A | 2.200% 09/02/2030 DD 09/02/20 | 390,000 | 390,365 | 400,499 |
| SABINE PASS LIQUEFACTION 144A | 4.500% 05/15/2030 DD 05/08/20 | 145,000 | 144,629 | 171,866 |
| SABINE PASS LIQUEFACTION LLC | 5.750% 05/15/2024 DD 11/15/14 | 170,000 | 188,753 | 194,359 |
| SANTANDER CONSUMER BA A4 144A | 0.540% 04/15/2025 DD 08/26/20 | 110,000 | 109,985 | 110,253 |
| SANTANDER DRIVE AUTO REC 1 A2A | 2.070% 01/17/2023 DD 04/22/20 | 33,740 | 33,739 | 33,901 |
| SANTANDER DRIVE AUTO RECE 4 A3 | 0.480% 07/15/2024 DD 11/24/20 | 90,000 | 89,987 | 90,270 |
| SANTANDER HOLDINGS USA INC | 3.700% 03/28/2022 DD 09/28/17 | 265,000 | 268,747 | 273,658 |
| SEMPRA ENERGY | 3.400% 02/01/2028 DD 01/12/18 | 250,000 | 259,097 | 284,730 |
| SHERWIN-WILLIAMS CO/THE | 2.750% 06/01/2022 DD 05/16/17 | 6,000 | 5,996 | 6,191 |
| SIMON PROPERTY GROUP LP | 2.000% 09/13/2024 DD 09/13/19 | 95,000 | 94,906 | 99,280 |
| SOUTHERN CALIFORNIA EDISON CO | 2.250% 06/01/2030 DD 03/09/20 | 125,000 | 125,404 | 130,145 |
| SOUTHERN CALIFORNIA GAS CO | 2.600% 06/15/2026 DD 06/03/16 | 130,000 | 129,748 | 141,219 |
| SOUTHERN CO/THE | 2.950% 07/01/2023 DD 05/24/16 | 195,000 | 198,992 | 206,497 |
| SOUTHERN CO/THE | 3.250% 07/01/2026 DD 05/24/16 | 175,000 | 164,176 | 196,312 |
| SOUTHERN CO/THE | 3.700% 04/30/2030 DD 04/03/20 | 270,000 | 282,870 | 312,652 |
| STARBUCKS CORP | 3.800% 08/15/2025 DD 08/10/18 | 70,000 | 69,325 | 79,662 |
| STARBUCKS CORP | 2.250% 03/12/2030 DD 03/12/20 | 250,000 | 248,535 | 264,635 |
| STATE STREET CORP | VAR RT 12/03/2024 DD 12/03/18 | 65,000 | 65,000 | 71,456 |
| STATE STREET CORP | VAR RT 11/01/2025 DD 11/01/19 | 200,000 | 200,000 | 213,458 |
| STATE STREET CORP | VAR RT 03/30/2026 DD 09/30/20 | 100,000 | 100,000 | 108,932 |
| TAKEDA PHARMACEUTICAL CO LTD | 2.050% 03/31/2030 DD 07/09/20 | 200,000 | 199,608 | 204,718 |
| TEXAS EASTERN TRANSMISSIO 144A | 3.500% 01/15/2028 DD 01/09/18 | 60,000 | 59,689 | 65,759 |
| T-MOBILE USA INC 144A | 3.500% 04/15/2025 DD 04/09/20 | 130,000 | 130,978 | 143,647 |
| T-MOBILE USA INC 144A | 3.750% 04/15/2027 DD 04/09/20 | 160,000 | 159,931 | 182,208 |
| T-MOBILE USA INC 144A | 3.875% 04/15/2030 DD 04/09/20 | 320,000 | 317,690 | 370,624 |
| T-MOBILE USA INC 144A | 1.500% 02/15/2026 DD 06/24/20 | 295,000 | 294,504 | 302,042 |
| T-MOBILE USA INC 144A | 2.050% 02/15/2028 DD 06/24/20 | 40,000 | 41,064 | 41,606 |
| T-MOBILE USA INC 144A | 2.250% 11/15/2031 DD 10/28/20 | 180,000 | 179,982 | 184,741 |
| TOYOTA AUTO RECEIVABLES 2 D A4 | 3.300% 02/15/2024 DD 11/07/18 | 175,000 | 174,964 | 183,372 |
| TRANSCANADA PIPELINES LTD | 4.100% 04/15/2030 DD 04/06/20 | 250,000 | 251,249 | 295,708 |
| TRUIST BANK | 1.500% 03/10/2025 DD 03/09/20 | 250,000 | 249,485 | 258,830 |
41
| TRUIST FINANCIAL CORP | 2.500% 08/01/2024 DD 07/29/19 | 275,000 | 274,769 | 292,900 |
| TYSON FOODS INC | 4.000% 03/01/2026 DD 02/19/19 | 140,000 | 151,868 | 161,038 |
| U S TREASURY BOND | 6.875% 08/15/2025 DD 08/15/95 | 2,190,000 | 2,891,912 | 2,848,380 |
| U S TREASURY NOTE | 1.625% 08/31/2022 DD 08/31/17 | 16,385,000 | 16,536,933 | 16,792,003 |
| U S TREASURY NOTE | 2.625% 12/31/2023 DD 12/31/18 | 4,480,000 | 4,846,100 | 4,808,474 |
| U S TREASURY NOTE | 3.125% 05/15/2021 DD 05/15/11 | 3,347,000 | 3,393,806 | 3,383,616 |
| U S TREASURY NOTE | 1.250% 08/31/2024 DD 08/31/19 | 5,045,000 | 5,247,810 | 5,233,380 |
| U S TREASURY NOTE | 0.500% 03/15/2023 DD 03/15/20 | 741,000 | 745,776 | 747,024 |
| U S TREASURY NOTE | 0.125% 05/15/2023 DD 05/15/20 | 6,600,000 | 6,590,977 | 6,598,218 |
| U S TREASURY NOTE | 0.250% 05/31/2025 DD 05/31/20 | 2,150,000 | 2,145,969 | 2,145,894 |
| U S TREASURY NOTE | 0.125% 10/15/2023 DD 10/15/20 | 7,100,000 | 7,088,352 | 7,095,030 |
| UBS COMMERCIAL MORTGAGE | 4.195% 08/15/2051 DD 08/01/18 | 200,000 | 223,078 | 231,012 |
| UNION PACIFIC CORP | 3.750% 07/15/2025 DD 06/08/18 | 245,000 | 244,990 | 278,004 |
| UNION PACIFIC CORP | 3.150% 03/01/2024 DD 02/19/19 | 55,000 | 54,954 | 59,503 |
| UNITEDHEALTH GROUP INC | 2.375% 08/15/2024 DD 07/25/19 | 135,000 | 134,966 | 143,897 |
| UNITEDHEALTH GROUP INC | 2.875% 08/15/2029 DD 07/25/19 | 45,000 | 44,988 | 51,150 |
| UNITEDHEALTH GROUP INC | 1.250% 01/15/2026 DD 05/18/20 | 40,000 | 39,845 | 41,235 |
| UNUM GROUP | 4.500% 03/15/2025 DD 05/21/20 | 60,000 | 59,738 | 67,959 |
| US BANCORP | 3.375% 02/05/2024 DD 02/04/19 | 65,000 | 64,982 | 70,761 |
| VALERO ENERGY CORP | 2.850% 04/15/2025 DD 04/16/20 | 40,000 | 39,970 | 42,602 |
| VALERO ENERGY CORP | 2.150% 09/15/2027 DD 09/10/20 | 120,000 | 118,045 | 122,611 |
| VALERO ENERGY PARTNERS LP | 4.500% 03/15/2028 DD 03/29/18 | 45,000 | 44,847 | 51,695 |
| VEREIT OPERATING PARTNERSHIP L | 3.400% 01/15/2028 DD 06/29/20 | 40,000 | 39,658 | 44,158 |
| VEREIT OPERATING PARTNERSHIP L | 2.200% 06/15/2028 DD 11/17/20 | 20,000 | 19,776 | 20,451 |
| VERIZON COMMUNICATIONS INC | 4.125% 03/16/2027 DD 03/16/17 | 80,000 | 80,649 | 94,295 |
| VERIZON COMMUNICATIONS INC | 4.329% 09/21/2028 DD 06/21/18 | 85,000 | 84,425 | 102,360 |
| VERIZON COMMUNICATIONS INC | 4.016% 12/03/2029 DD 06/03/19 | 152,000 | 156,913 | 180,742 |
| VERIZON COMMUNICATIONS INC | 3.000% 03/22/2027 DD 03/20/20 | 150,000 | 149,925 | 166,416 |
| VERIZON COMMUNICATIONS INC | 1.500% 09/18/2030 DD 09/18/20 | 120,000 | 119,867 | 118,214 |
| VERIZON COMMUNICATIONS INC | 1.750% 01/20/2031 DD 11/20/20 | 95,000 | 94,568 | 94,525 |
| VERIZON COMMUNICATIONS INC | 0.850% 11/20/2025 DD 11/20/20 | 95,000 | 94,991 | 95,746 |
| VIACOMCBS INC | 4.950% 01/15/2031 DD 04/01/20 | 235,000 | 230,385 | 294,956 |
| VIACOMCBS INC | 4.200% 05/19/2032 DD 05/19/20 | 125,000 | 121,744 | 150,644 |
| VIATRIS INC 144A | 1.650% 06/22/2025 DD 06/22/20 | 55,000 | 54,879 | 56,886 |
| VIATRIS INC 144A | 2.300% 06/22/2027 DD 06/22/20 | 45,000 | 44,980 | 47,908 |
| VIRGINIA ELECTRIC AND POWER CO | 2.750% 03/15/2023 DD 03/14/13 | 340,000 | 339,912 | 355,970 |
| VODAFONE GROUP PLC | 3.750% 01/16/2024 DD 05/30/18 | 200,000 | 207,424 | 218,552 |
| WASTE MANAGEMENT INC | 1.500% 03/15/2031 DD 11/17/20 | 195,000 | 194,538 | 193,165 |
| WELLS FARGO & CO | 3.000% 04/22/2026 DD 04/22/16 | 240,000 | 238,923 | 264,144 |
| WELLS FARGO & CO | 4.125% 08/15/2023 DD 08/15/13 | 110,000 | 109,370 | 120,156 |
| WELLS FARGO & CO | 2.625% 07/22/2022 DD 07/24/17 | 475,000 | 474,582 | 491,682 |
| WELLS FARGO & CO | 3.750% 01/24/2024 DD 01/24/19 | 175,000 | 179,241 | 191,046 |
| WELLS FARGO & CO | VAR RT 10/30/2025 DD 10/31/19 | 75,000 | 75,000 | 79,303 |
| WELLTOWER INC | 4.000% 06/01/2025 DD 05/26/15 | 170,000 | 182,092 | 192,540 |
| WELLTOWER INC | 2.700% 02/15/2027 DD 12/16/19 | 80,000 | 79,914 | 87,966 |
| WESTINGHOUSE AIR BRAKE TECH | 3.200% 06/15/2025 DD 06/29/20 | 40,000 | 39,957 | 43,154 |
| WFRBS COMMERCIAL MORTG LC14 | 4.045% 03/15/2047 DD 02/01/14 | 85,000 | 90,814 | 92,925 |
| WILLIAMS COS INC/THE | 3.900% 01/15/2025 DD 06/27/14 | 90,000 | 89,856 | 99,787 |
| WILLIS NORTH AMERICA INC | 3.600% 05/15/2024 DD 05/16/17 | 110,000 | 110,160 | 120,110 |
42
| WILLIS NORTH AMERICA INC | 4.500% 09/15/2028 DD 09/10/18 | 155,000 | 170,988 | 186,822 |
| WILLIS NORTH AMERICA INC | 2.950% 09/15/2029 DD 09/10/19 | 50,000 | 49,910 | 54,706 |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2036 DD 01/01/21 | 2,200,000 | 102 | (2,252,250) |
| COMMIT TO PUR FNMA SF MTG | 1.500% 01/01/2036 DD 01/01/21 | 2,300,000 | 103 | (2,358,938) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2036 DD 01/01/21 | 400,000 | 104 | (415,000) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2036 DD 01/01/21 | 500,000 | 104 | (520,859) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 950,000 | 103 | (981,172) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 850,000 | 103 | (877,891) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 800,000 | 103 | (827,500) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 200,000 | 103 | (206,586) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 1,300,000 | 103 | (1,345,043) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 2,300,000 | 104 | (2,384,004) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 1,600,000 | 103 | (1,652,500) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 725,000 | 103 | (750,063) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | 775,000 | 103 | (801,792) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 950,000 | 103 | (982,063) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 02/01/2051 DD 02/01/21 | 3,800,000 | 103 | (3,929,141) |
| COMMIT TO PUR FNMA SF MTG | 2.500% 01/01/2051 DD 01/01/21 | 2,200,000 | 105 | (2,308,281) |
| COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2036 DD 01/01/21 | 900,000 | 105 | (943,734) |
| COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2051 DD 01/01/21 | 400,000 | 105 | (418,016) |
| COMMIT TO PUR FNMA SF MTG | 3.000% 01/01/2051 DD 01/01/21 | 400,000 | 105 | (418,422) |
| COMMIT TO PUR FNMA SF MTG | 3.500% 01/01/2051 DD 01/01/21 | 900,000 | 105 | (949,359) |
| COMMIT TO PUR FNMA SF MTG | 3.500% 01/01/2051 DD 01/01/21 | 900,000 | 106 | (949,641) |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (950,000) | 104 | 983,918 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (1,300,000) | 104 | 1,346,719 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (2,300,000) | 104 | 2,382,656 |
| COMMIT TO PUR FNMA SF MTG | 2.000% 01/01/2051 DD 01/01/21 | (200,000) | 104 | 207,188 |
| COMMIT TO PUR GNMA II JUMBOS | 2.000% 01/20/2051 DD 01/01/21 | 1,500,000 | 104 | (1,561,758) |
| COMMIT TO PUR GNMA II JUMBOS | 2.000% 01/20/2051 DD 01/01/21 | 1,500,000 | 104 | (1,561,758) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 600,000 | 105 | (630,469) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 110,000 | 105 | (115,638) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 80,000 | 105 | (84,100) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 160,000 | 105 | (168,200) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 480,000 | 105 | (503,550) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 150,000 | 105 | (157,383) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 120,000 | 105 | (125,911) |
| COMMIT TO PUR GNMA II JUMBOS | 2.500% 01/20/2051 DD 01/01/21 | 200,000 | 105 | (210,320) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 800,000 | 106 | (844,250) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 252,000 | 105 | (265,584) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 53,000 | 105 | (55,857) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 52,000 | 105 | (54,838) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 248,000 | 105 | (261,533) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 900,000 | 106 | (949,500) |
| COMMIT TO PUR GNMA II JUMBOS | 3.500% 01/20/2051 DD 01/01/21 | 400,000 | 105 | (421,375) |
| U S TREASURY NOTE | 0.250% 05/31/2025 DD 05/31/20 | 2,150,000 | 100 | (2,146,486) |
| U S TREASURY NOTE | 0.500% 10/31/2027 DD 10/31/20 | 1,500,000 | 99 | (1,489,276) |
| U S TREASURY NOTE | 1.625% 08/15/2022 DD 08/15/12 | (1,500,000) | 102 | 1,546,027 |
| INTEREST BEARING CASH | TEMPORARY INVESTMENTS | 33,749,041 | 33,749,041 | |
| TOTAL UNDERLYING ASSETS | $ | 307,508,111 | $ | 284,388,420 |
| MET TOWER LIFE 38025 - 69.5% of MARKET VALUE | $ | 195,001,273 | ||
| IGT INVESCO SHORT-TERM BOND FUND | 137,668,307 | |||
| FAIR VALUE MET TOWER LIFE 38025 | 332,669,580 |
43
| MET TOWER LIFE 38025 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (11,744,447) | |
| MET TOWER LIFE 38025 - CONTRACT VALUE | $ | 320,925,133 |
| RGA RGA00036 - 30.5% of MARKET VALUE | $ | 89,387,147 |
| IGT INVESCO SHORT-TERM BOND FUND | 201,738,788 | |
| FAIR VALUE RGA RGA00036 | 291,125,935 | |
| RGA RGA00036 - ADJUSTMENT FROM MARKET TO CONTRACT VALUE | (8,071,807) | |
| RGA RGA00036 - CONTRACT VALUE | $ | 283,054,128 |
44
EXHIBIT INDEX
| EXHIBIT NO. | DESCRIPTION |
|
23.1 *
|
Consent of BDO USA, LLP
|
* Filed herewith
45
SIGNATURES
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
THE DOW CHEMICAL COMPANY EMPLOYEES' SAVINGS PLAN
|
DATE: June 14, 2021
|
BY: /s/ BRYAN JENDRETZKE |
|
Bryan Jendretzke Global Benefits Director and Plan Administrator |
46