Schedule of Investments (unaudited) March 31, 2021 | BlackRock CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
Mutual Fund | Value | |||
CoreAlpha Bond Fund of Master Investment Portfolio | $ | 1,498,424,985 | ||
|
| |||
Total Investments — 100.0% | 1,498,424,985 | |||
Liabilities in Excess of Other Assets — (0.0)% | (299,085 | ) | ||
|
| |||
Net Assets — 100.0% | $ | 1,498,125,900 | ||
|
|
BlackRock CoreAlpha Bond Fund (the “Fund”) seeks to achieve its investment objective by investing all of its assets in CoreAlpha Bond Master Portfolio (the “Master Portfolio”), which has the same investment objective and strategies as the Fund. As of March 31, 2021, the value of the investment and the percentage owned by the Fund of the Master Portfolio was $1,498,424,985 and 92.0%, respectively.
The Fund records its investment in the Master Portfolio at fair value. The Fund’s investment in the Master Portfolio is valued pursuant to the pricing policies approved by the Board of Trustees of the Master Portfolio.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, refer to the Fund’s most recent financial statements.
Certain investments of the Fund were fair valued using net asset value per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
S C H E D U L E O F I N V E S T M E N T S | 1 |
Schedule of Investments (unaudited) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2017-1, Class C, 2.71%, 08/18/22 | $ | 700 | $ | 702,653 | ||||
Series 2017-3, Class D, 3.18%, 07/18/23 | 1,270 | 1,305,370 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R4, Class M1, (1 mo. LIBOR US + 0.83%), 0.93%, 06/25/34(a) | — | (b) | 293 | |||||
Avant Loans Funding Trust, Series 2020-REV1, Class A, 2.17%, 05/15/29(c) | 8,630 | 8,690,338 | ||||||
Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 02/15/24(c) | 700 | 704,840 | ||||||
Chase Funding Trust, Series 2004-2, Class 2A2, (1 mo. LIBOR US + 0.50%), 0.61%, 02/26/35(a) | 119 | 116,117 | ||||||
College Loan Corp. Trust I, Series 2004-1, Class A4, (3 mo. LIBOR US + 0.19%), 0.41%, 04/25/24(a) | 751 | 750,930 | ||||||
Conn’s Receivables Funding LLC, Series 2019-A, Class A, 3.40%, 10/16/23(c) | 342 | 343,212 | ||||||
Conseco Finance Corp., Series 1996-9, Class M1, 7.63%, 08/15/27(a) | 33 | 35,456 | ||||||
Consumer Loan Underlying Bond CLUB Credit Trust(c) | ||||||||
Series 2019-HP1, Class A, 2.59%, 12/15/26 | 3,354 | 3,390,536 | ||||||
Series 2020-P1, Class A, 2.26%, 03/15/28 | 3,532 | 3,553,914 | ||||||
Consumer Loan Underlying Bond Credit Trust(c) | ||||||||
Series 2018-P3, Class A, 3.82%, 01/15/26 | 73 | 73,546 | ||||||
Series 2019-P1, Class A, 2.94%, 07/15/26 | 841 | 843,987 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
Series 2004-1, Class M1, (1 mo. LIBOR US + 0.75%), 0.86%, 03/25/34(a) | 12 | 11,818 | ||||||
CPS Auto Receivables Trust, Series 2020-B, Class A, 1.15%, 07/17/23(c) | 907 | 909,405 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2016-CA, Class D, | 431 | 432,382 | ||||||
Series 2017-1, Class D, 3.84%, 03/15/23 | 1,008 | 1,017,136 | ||||||
Series 2017-2, Class D, 3.49%, 09/15/23 | 437 | 441,936 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/23(c) | 3,397 | 3,441,788 | ||||||
Series 2017-AA, Class D, | 670 | 674,454 | ||||||
Series 2018-3, Class D, 4.30%, 09/16/24 | 4,840 | 4,968,268 | ||||||
Series 2018-4, Class D, 4.09%, 01/15/26 | 1,420 | 1,468,886 | ||||||
Series 2019-2, Class B, 3.17%, 11/15/23 | 183 | 184,014 | ||||||
Series 2019-2, Class C, 3.42%, 06/16/25 | 8,500 | 8,686,313 | ||||||
Series 2020-1, Class C, 2.36%, 03/16/26 | 7,240 | 7,396,913 | ||||||
Series 2020-2, Class A2A, 0.85%, 07/17/23 | 738 | 738,682 | ||||||
Series 2020-2, Class A3, 0.83%, 05/15/24 | 1,150 | 1,154,101 | ||||||
Series 2020-2, Class B, 1.42%, 03/17/25 | 2,950 | 2,989,832 | ||||||
Series 2020-2, Class C, 2.28%, 08/17/26 | 1,890 | 1,943,520 | ||||||
DT Auto Owner Trust(c) | ||||||||
Series 2019-3A, Class C, 2.74%, 04/15/25 | 3,050 | 3,101,643 | ||||||
Series 2020-2A, Class A, 1.14%, 01/16/24 | 1,609 | 1,615,123 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2020-1A, Class B, | 9,560 | 9,646,684 | ||||||
Series 2020-2A, Class A, | 3,750 | 3,757,745 | ||||||
Series 2020-3A, Class B, 0.79%, 09/16/24 | 4,340 | 4,353,551 | ||||||
Series 2020-3A, Class D, 1.73%, 07/15/26 | 1,730 | 1,755,358 | ||||||
Series 2021-1A, Class C, 0.74%, 01/15/26 | 7,930 | 7,913,654 | ||||||
Ford Credit Auto Owner Trust(c) | ||||||||
Series 2018-1, Class A, 3.19%, 07/15/31 | 2,870 | 3,092,792 | ||||||
Series 2019-1, Class A, 3.52%, 07/15/30 | 450 | 484,726 | ||||||
GSAA Home Equity Trust, Series 2005-5, Class M3, (1 mo. LIBOR US + 0.95%), 1.05%, 02/25/35(a) | 6 | 6,268 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) | ||||||||
Marlette Funding Trust(c) | ||||||||
Series 2018-3A, Class B, 3.86%, 09/15/28 | $ | 27 | $ | 26,815 | ||||
Series 2018-4A, Class A, 3.71%, 12/15/28 | 42 | 42,094 | ||||||
Series 2019-1A, Class A, 3.44%, 04/16/29 | 752 | 756,560 | ||||||
Series 2019-2A, Class A, 3.13%, 07/16/29 | 660 | 665,041 | ||||||
Series 2019-3A, Class A, 2.69%, 09/17/29 | 1,048 | 1,053,815 | ||||||
Series 2019-4A, Class A, 2.39%, 12/17/29 | 1,783 | 1,796,554 | ||||||
Series 2020-1A, Class A, 2.24%, 03/15/30 | 821 | 823,772 | ||||||
Series 2020-2A, Class A, 1.02%, 09/16/30 | 3,857 | 3,861,772 | ||||||
OneMain Financial Issuance Trust, | 5,690 | 6,047,952 | ||||||
Prosper Marketplace Issuance Trust(c) | ||||||||
Series 2019-3A, Class A, 3.19%, 07/15/25 | 123 | 123,436 | ||||||
Series 2019-4A, Class A, 2.48%, 02/17/26 | 443 | 444,537 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2017-2, Class D, 3.49%, 07/17/23 | 3,356 | 3,360,365 | ||||||
Series 2017-3, Class D, 3.20%, 11/15/23 | 7,288 | 7,382,277 | ||||||
Series 2018-5, Class D, 4.19%, 12/16/24 | 5,190 | 5,351,776 | ||||||
Series 2019-3, Class B, 2.28%, 09/15/23 | 4,697 | 4,715,929 | ||||||
Series 2020-2, Class B, 0.96%, 11/15/24 | 1,520 | 1,529,124 | ||||||
Series 2020-2, Class C, 1.46%, 09/15/25 | 3,030 | 3,070,777 | ||||||
Series 2020-4, Class C, 1.01%, 01/15/26 | 5,750 | 5,768,784 | ||||||
Series 2021-1, Class C, 0.75%, 02/17/26 | 4,730 | 4,718,751 | ||||||
Santander Revolving Auto Loan Trust, Series 2019-A, Class A, | 4,790 | 5,022,950 | ||||||
SoFi Consumer Loan Program LLC(c) | ||||||||
Series 2016-1, Class A, 3.26%, 08/25/25 | 270 | 270,005 | ||||||
Series 2017-4, Class A, 2.50%, 05/26/26 | 4 | 4,383 | ||||||
Series 2017-6, Class A2, 2.82%, 11/25/26 | 25 | 25,342 | ||||||
Toyota Auto Loan Extended Note Trust, | 5,680 | 5,762,011 | ||||||
Upgrade Receivables Trust, Series 2019-2A, Class A, 2.77%, 10/15/25(c) | 14 | 13,697 | ||||||
Upstart Securitization Trust(c) | ||||||||
Series 2019-3, Class A, 2.68%, 01/21/30 | 767 | 772,722 | ||||||
Series 2020-1, Class A, 2.32%, 04/22/30 | 3,780 | 3,816,875 | ||||||
Series 2021-1, Class A, 0.87%, 03/20/31 | 3,288 | 3,290,191 | ||||||
Westlake Automobile Receivables Trust(c) | ||||||||
Series 2018-1A, Class D, 3.41%, 05/15/23 | 1,086 | 1,091,195 | ||||||
Series 2018-3A, Class D, 4.00%, 10/16/23 | 1,140 | 1,169,987 | ||||||
Series 2019-1A, Class B, 3.26%, 10/17/22 | 1,838 | 1,843,082 | ||||||
Series 2019-2A, Class B, 2.62%, 07/15/24 | 1,200 | 1,211,154 | ||||||
Series 2020-2A, Class B, 1.32%, 07/15/25 | 1,310 | 1,323,641 | ||||||
Series 2020-2A, Class C, 2.01%, 07/15/25 | 5,920 | 6,056,397 | ||||||
Series 2020-3A, Class B, 0.78%, 11/17/25 | 3,480 | 3,494,937 | ||||||
Series 2020-3A, Class C, 1.24%, 11/17/25 | 4,250 | 4,287,948 | ||||||
|
| |||||||
Total Asset-Backed Securities — 11.3% |
| 183,694,832 | ||||||
|
| |||||||
Shares | ||||||||
Common Stocks | ||||||||
Diversified Financial Services — 0.0% | ||||||||
HoldCo 2 NPV(d) | 1,807,150 | 1 | ||||||
|
| |||||||
Total Common Stocks — 0.0% | 1 | |||||||
|
|
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 1 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Corporate Bonds | ||||||||
Advertising Agencies — 0.0% | ||||||||
Interpublic Group of Cos., Inc., 3.38%, 03/01/41 | $ | 810 | $ | 787,247 | ||||
|
| |||||||
Aerospace & Defense — 0.5% | ||||||||
3M Co., 2.65%, 04/15/25 | 1,710 | 1,816,242 | ||||||
Boeing Co. | 1,475 | 1,578,816 | ||||||
4.88%, 05/01/25 | 1,080 | 1,202,524 | ||||||
5.15%, 05/01/30 | 795 | 915,638 | ||||||
General Dynamics Corp., 3.25%, 04/01/25(e) | 1,130 | 1,223,561 | ||||||
General Electric Co., 3.63%, 05/01/30(e) | 495 | 532,949 | ||||||
Lockheed Martin Corp.(e) | 195 | 189,884 | ||||||
2.80%, 06/15/50 | 60 | 56,589 | ||||||
Trane Technologies Luxembourg Finance SA, 4.50%, 03/21/49 | 125 | 145,853 | ||||||
|
| |||||||
7,662,056 | ||||||||
Airlines — 0.1% | ||||||||
Delta Air Line, Inc., 7.38%, 01/15/26(e) | 900 | 1,052,365 | ||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., | 1,200 | 1,356,000 | ||||||
|
| |||||||
2,408,365 | ||||||||
Auto Components — 0.2% | ||||||||
Aptiv Corp., 4.15%, 03/15/24 | 1,625 | 1,772,178 | ||||||
Lear Corp., 5.25%, 05/15/49(e) | 909 | 1,065,042 | ||||||
|
| |||||||
2,837,220 | ||||||||
Automobiles — 1.4% | ||||||||
American Honda Finance Corp., 1.20%, 07/08/25 | 900 | 896,173 | ||||||
Ford Motor Co., 5.29%, 12/08/46 | 1,200 | 1,261,524 | ||||||
Ford Motor Credit Co. LLC, 5.58%, 03/18/24 | 1,200 | 1,295,148 | ||||||
General Motors Co., 6.75%, 04/01/46 | 686 | 925,986 | ||||||
General Motors Financial Co., Inc. | 1,500 | 1,532,385 | ||||||
3.45%, 04/10/22 | 1,780 | 1,821,812 | ||||||
3.55%, 07/08/22 | 3,345 | 3,465,034 | ||||||
3.25%, 01/05/23(e) | 1,200 | 1,250,028 | ||||||
3.70%, 05/09/23 | 2,850 | 3,001,773 | ||||||
4.15%, 06/19/23 | 1,155 | 1,239,180 | ||||||
2.90%, 02/26/25(e) | 1,335 | 1,399,731 | ||||||
2.35%, 01/08/31(e) | 3,090 | 2,950,856 | ||||||
Lithia Motors, Inc., 4.38%, 01/15/31(c) | 55 | 57,087 | ||||||
Toyota Motor Corp., 0.68%, 03/25/24 | 1,865 | 1,864,573 | ||||||
|
| |||||||
22,961,290 | ||||||||
Banks — 2.9% | ||||||||
Canadian Imperial Bank of Commerce, | 1,960 | 2,032,557 | ||||||
Citibank NA, 3.65%, 01/23/24(e) | 3,855 | 4,173,500 | ||||||
Credit Suisse AG, New York, 1.00%, 05/05/23 | 2,170 | 2,181,823 | ||||||
Fifth Third Bancorp, 2.38%, 01/28/25 | 850 | 886,229 | ||||||
First Republic Bank, (SOFR + 0.62%), | 2,500 | 2,558,597 | ||||||
ING Groep NV | 415 | 426,436 | ||||||
4.10%, 10/02/23 | 2,290 | 2,479,187 | ||||||
Royal Bank of Canada | 940 | 962,665 | ||||||
2.25%, 11/01/24 | 1,750 | 1,834,365 | ||||||
1.15%, 06/10/25 | 8,410 | 8,405,664 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Santander Holdings USA, Inc., 3.45%, 06/02/25 | $ | 510 | $ | 546,542 | ||||
Santander UK Group Holdings PLC, (3 mo. LIBOR US + 1.40%), 3.82%, 11/03/28(a)(e) | 3,800 | 4,148,923 | ||||||
SVB Financial Group, 1.80%, 02/02/31 | 2,420 | 2,231,282 | ||||||
Toronto-Dominion Bank, 2.65%, 06/12/24 | 3,300 | 3,500,216 | ||||||
Truist Financial Corp., 1.20%, 08/05/25(e) | 4,850 | 4,839,517 | ||||||
Wells Fargo & Co. | 1,540 | 1,665,303 | ||||||
3.30%, 09/09/24 | 1,590 | 1,717,468 | ||||||
3.00%, 02/19/25 | 800 | 851,221 | ||||||
(3 mo. LIBOR US + 4.24%), 5.01%, 04/04/51(a) | 750 | 961,831 | ||||||
Westpac Banking Corp., 2.96%, 11/16/40 | 120 | 111,634 | ||||||
|
| |||||||
46,514,960 | ||||||||
Beverages — 0.6% | ||||||||
Ball Corp., 2.88%, 08/15/30 | 320 | 308,240 | ||||||
Constellation Brands, Inc., 3.75%, 05/01/50 | 350 | 365,792 | ||||||
Diageo Capital PLC | 4,280 | 4,466,674 | ||||||
2.00%, 04/29/30 | 1,255 | 1,227,067 | ||||||
2.13%, 04/29/32 | 750 | 724,216 | ||||||
PepsiCo, Inc. | 800 | 861,832 | ||||||
3.45%, 10/06/46 | 15 | 15,861 | ||||||
3.38%, 07/29/49 | 955 | 986,488 | ||||||
|
| |||||||
8,956,170 | ||||||||
Biotechnology — 0.2% | ||||||||
Amgen, Inc. 3.63%, 05/22/24 | 800 | 863,617 | ||||||
3.13%, 05/01/25(e) | 800 | 859,764 | ||||||
2.60%, 08/19/26(e) | 800 | 840,760 | ||||||
Gilead Sciences, Inc., | 400 | 434,490 | ||||||
Royalty Pharma PLC(c) | 80 | 79,921 | ||||||
1.20%, 09/02/25 | 80 | 78,345 | ||||||
|
| |||||||
3,156,897 | ||||||||
Building Materials — 0.2% | ||||||||
Boise Cascade Co., 4.88%, 07/01/30(c) | 1,250 | 1,309,375 | ||||||
Carrier Global Corp. | 360 | 372,761 | ||||||
3.38%, 04/05/40 | 1,980 | 1,976,101 | ||||||
Masco Corp., 2.00%, 10/01/30(e) | 160 | 152,147 | ||||||
US Concrete, Inc., 5.13%, 03/01/29(c) | 80 | 82,400 | ||||||
|
| |||||||
3,892,784 | ||||||||
Building Products — 0.2% | ||||||||
Allegion PLC, 3.50%, 10/01/29 | 630 | 661,546 | ||||||
Home Depot, Inc. | 200 | 264,958 | ||||||
3.13%, 12/15/49 | 1,240 | 1,218,522 | ||||||
Lowe’s Cos., Inc. | 420 | 464,670 | ||||||
3.50%, 04/01/51 | 635 | 645,874 | ||||||
|
| |||||||
3,255,570 | ||||||||
Capital Markets — 1.1% | ||||||||
Ameriprise Financial, Inc., | 930 | 989,473 | ||||||
Ares Capital Corp. | 4,815 | 5,191,644 | ||||||
3.25%, 07/15/25 | 3,070 | 3,166,778 | ||||||
3.88%, 01/15/26 | 558 | 588,071 |
2 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
Ares Capital Corp. (continued) 2.15%, 07/15/26 | $ | 1,542 | $ | 1,501,636 | ||||
Brookfield Finance, Inc., 4.70%, 09/20/47 | 5 | 5,702 | ||||||
FS KKR Capital Corp. | 950 | 1,008,550 | ||||||
4.13%, 02/01/25 | 680 | 699,183 | ||||||
Goldman Sachs BDC, Inc., 2.88%, 01/15/26 | 1,795 | 1,814,261 | ||||||
Golub Capital BDC, Inc., 2.50%, 08/24/26 | 535 | 523,391 | ||||||
Nomura Holdings, Inc., 2.65%, 01/16/25 | 2,940 | 3,040,945 | ||||||
|
| |||||||
18,529,634 | ||||||||
Chemicals — 1.2% | ||||||||
Air Products and Chemicals, Inc., 2.70%, 05/15/40 | 187 | 178,867 | ||||||
FMC Corp. | 2,098 | 2,254,038 | ||||||
3.45%, 10/01/29 | 1,082 | 1,139,048 | ||||||
International Flavors & Fragrances, Inc., | 1,590 | 1,663,217 | ||||||
Methanex Corp., 5.25%, 12/15/29(e) | 725 | 747,790 | ||||||
RPM International, Inc., 3.75%, 03/15/27(e) | 1,000 | 1,100,553 | ||||||
Sherwin-Williams Co. | 1,590 | 1,622,240 | ||||||
3.13%, 06/01/24 | 265 | 282,288 | ||||||
3.30%, 02/01/25 | 800 | 846,852 | ||||||
3.95%, 01/15/26 | 400 | 444,800 | ||||||
3.45%, 06/01/27(e) | 4,710 | 5,140,393 | ||||||
2.95%, 08/15/29 | 1,330 | 1,385,081 | ||||||
4.50%, 06/01/47 | 770 | 899,530 | ||||||
3.80%, 08/15/49 | 710 | 752,289 | ||||||
Sherwin-Williams Co. (The), 3.30%, 05/15/50 | 520 | 513,147 | ||||||
|
| |||||||
18,970,133 | ||||||||
Commercial Services & Supplies — 0.0% | ||||||||
AMN Healthcare, Inc., 4.63%, 10/01/27(c) | 130 | 132,925 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, 08/31/27(c) | 205 | 198,850 | ||||||
Rockefeller Foundation, Series 2020, 2.49%, 10/01/50 | 72 | 65,918 | ||||||
|
| |||||||
397,693 | ||||||||
Communications Equipment — 0.1% | ||||||||
Motorola Solutions, Inc. | 939 | 1,068,903 | ||||||
2.30%, 11/15/30 | 323 | 305,489 | ||||||
|
| |||||||
1,374,392 | ||||||||
Construction & Engineering — 0.2% | ||||||||
Landesbank Baden-Wuerttemberg, 7.63%, 02/01/23. | 2,974 | 3,361,343 | ||||||
Weekley Homes LLC/Weekley Finance Corp., | 200 | 205,000 | ||||||
|
| |||||||
3,566,343 | ||||||||
Construction Materials — 0.0% | ||||||||
Allegion US Holding Co., Inc., 3.55%, 10/01/27 | 125 | 133,667 | ||||||
|
| |||||||
Consumer Discretionary — 0.2% | ||||||||
Quanta Services, Inc., 2.90%, 10/01/30(e) | 2,290 | 2,323,860 | ||||||
Royal Caribbean Cruises Ltd., 11.50%, 06/01/25(c) | 1,350 | 1,574,437 | ||||||
|
| |||||||
3,898,297 | ||||||||
Consumer Finance — 1.5% | ||||||||
Block Financial LLC, 3.88%, 08/15/30 | 100 | 103,180 | ||||||
Equifax, Inc. 2.60%, 12/15/25 | 275 | 288,282 |
Security | Par (000) | Value | ||||||
Consumer Finance (continued) | ||||||||
Equifax, Inc. (continued) | $ | 530 | $ | 550,135 | ||||
Global Payments, Inc. | 1,400 | 1,498,887 | ||||||
1.20%, 03/01/26 | 5,500 | 5,414,328 | ||||||
3.20%, 08/15/29 | 205 | 215,908 | ||||||
IHS Markit Ltd. | 1,244 | 1,333,083 | ||||||
4.75%, 08/01/28 | 2,105 | 2,431,359 | ||||||
4.25%, 05/01/29 | 40 | 45,057 | ||||||
Mastercard, Inc. | 4,360 | 4,758,756 | ||||||
3.85%, 03/26/50 | 700 | 793,205 | ||||||
2.95%, 03/15/51 | 1,940 | 1,910,489 | ||||||
PayPal Holdings, Inc. | 1,520 | 1,583,587 | ||||||
3.25%, 06/01/50 | 320 | 318,388 | ||||||
S&P Global, Inc. | 685 | 730,924 | ||||||
2.30%, 08/15/60(e) | 843 | 684,942 | ||||||
Visa, Inc. | 1,065 | 1,177,247 | ||||||
2.00%, 08/15/50 | 235 | 190,135 | ||||||
|
| |||||||
24,027,892 | ||||||||
Containers & Packaging — 0.0% | ||||||||
Clearwater Paper Corp., 4.75%, 08/15/28(c)(e) | 150 | 151,125 | ||||||
|
| |||||||
Diversified Financial Services — 7.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 09/15/23(e) | 1,015 | 1,091,744 | ||||||
Air Lease Corp. | 900 | 950,655 | ||||||
2.88%, 01/15/26 | 860 | 892,352 | ||||||
Aircastle Ltd., 4.25%, 06/15/26(e) | 1,985 | 2,101,653 | ||||||
Ally Financial, Inc. | 290 | 303,232 | ||||||
1.45%, 10/02/23 | 565 | 573,554 | ||||||
Banco Santander SA | 600 | 618,128 | ||||||
2.75%, 05/28/25 | 1,600 | 1,671,727 | ||||||
2.75%, 12/03/30 | 400 | 381,010 | ||||||
Bank of America Corp.(a) | ||||||||
(3 mo. LIBOR US + 0.79%), 3.00%, 12/20/23 | 1,095 | 1,138,849 | ||||||
(3 mo. LIBOR US + 0.94%), 3.86%, 07/23/24 | 3,400 | 3,641,648 | ||||||
(3 mo. LIBOR US + 1.21%), 3.97%, 02/07/30 | 175 | 194,230 | ||||||
(3 mo. LIBOR US + 1.32%), 4.08%, 04/23/40 | 70 | 77,525 | ||||||
(3 mo. LIBOR US + 1.81%), 4.24%, 04/24/38 | 2,550 | 2,900,810 | ||||||
(3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51 | 1,361 | 1,511,128 | ||||||
(SOFR + 0.74%), 0.81%, 10/24/24 | 2,545 | 2,551,308 | ||||||
(SOFR + 0.91%), 0.98%, 09/25/25(e) | 950 | 947,530 | ||||||
(SOFR + 1.15%), 1.32%, 06/19/26 | 2,030 | 2,023,808 | ||||||
(SOFR + 1.65%), 3.48%, 03/13/52 | 595 | 606,297 | ||||||
(SOFR + 1.93%), 2.68%, 06/19/41 | 1,015 | 950,225 | ||||||
Bank of Nova Scotia, 1.05%, 03/02/26 | 1,000 | 984,099 | ||||||
Barclays PLC, (1 year CMT + 1.70%), | 233 | 228,256 | ||||||
Citigroup, Inc. | 1,080 | 1,287,032 | ||||||
4.65%, 07/23/48 | 160 | 196,331 | ||||||
(3 mo. LIBOR US + 0.72%), | 1,600 | 1,633,216 | ||||||
(3 mo. LIBOR US + 0.90%), | 2,805 | 3,001,937 |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 3 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Citigroup, Inc. (continued) | ||||||||
(SOFR + 0.69%), 0.78%, 10/30/24(a) | $ | 8,880 | $ | 8,873,966 | ||||
(SOFR + 1.67%), 1.68%, 05/15/24(a) | 800 | 816,296 | ||||||
(SOFR + 2.11%), 2.57%, 06/03/31(a) | 1,100 | 1,099,140 | ||||||
(SOFR + 2.84%), 3.11%, 04/08/26(a) | 1,630 | 1,739,965 | ||||||
CME Group, Inc., 5.30%, 09/15/43 | 663 | 895,705 | ||||||
Credit Suisse Group AG, 3.80%, 06/09/23 | 300 | 318,324 | ||||||
Credit Suisse Group Funding Guernsey Ltd., | 670 | 697,829 | ||||||
Deutsche Bank AG(a) | ||||||||
(SOFR + 1.87%), 2.13%, 11/24/26 | 1,330 | 1,333,347 | ||||||
(SOFR + 2.16%), 2.22%, 09/18/24 | 1,710 | 1,755,260 | ||||||
GE Capital International Funding Co., 4.42%, 11/15/35 | 810 | 927,256 | ||||||
Goldman Sachs Group, Inc. | 1,820 | 1,986,793 | ||||||
3.75%, 02/25/26 | 1,900 | 2,087,268 | ||||||
3.50%, 11/16/26 | 365 | 395,606 | ||||||
3.85%, 01/26/27 | 1,090 | 1,195,687 | ||||||
2.60%, 02/07/30 | 6,060 | 6,133,702 | ||||||
3.80%, 03/15/30 | 2,010 | 2,213,855 | ||||||
6.75%, 10/01/37 | 500 | 706,811 | ||||||
5.15%, 05/22/45 | 503 | 628,735 | ||||||
(3 mo. LIBOR US + 1.30%), | 550 | 616,999 | ||||||
(3 mo. LIBOR US + 1.37%), | 500 | 554,455 | ||||||
(3 mo. LIBOR US + 1.43%), | 2,120 | 2,470,905 | ||||||
(SOFR + 0.61%), 0.86%, 02/12/26(a) | 1,535 | 1,508,755 | ||||||
(SOFR + 1.09%), 1.99%, 01/27/32(a) | 2,000 | 1,898,090 | ||||||
HSBC Holdings PLC, 6.50%, 05/02/36 | 100 | 131,116 | ||||||
Intercontinental Exchange, Inc. | 2,920 | 2,922,900 | ||||||
4.25%, 09/21/48 | 1,640 | 1,821,377 | ||||||
3.00%, 06/15/50 | 2,260 | 2,105,963 | ||||||
JPMorgan Chase & Co. | 5,400 | 5,715,608 | ||||||
3.63%, 05/13/24 | 400 | 435,968 | ||||||
3.13%, 01/23/25 | 800 | 857,106 | ||||||
3.30%, 04/01/26 | 600 | 652,843 | ||||||
4.95%, 06/01/45(e) | 340 | 424,202 | ||||||
(3 mo. LIBOR US + 1.16%), | 600 | 640,127 | ||||||
(3 mo. LIBOR US + 1.38%), | 7,055 | 7,780,296 | ||||||
(3 mo. LIBOR US + 1.46%), | 660 | 739,870 | ||||||
(SOFR + 1.51%), 2.74%, 10/15/30(a) | 610 | 619,955 | ||||||
Kimberly-Clark Corp., 2.88%, 02/07/50 | 490 | 481,330 | ||||||
Lloyds Banking Group PLC, (1 year CMT + 0.55%), 0.70%, 05/11/24(a) | 1,590 | 1,589,311 | ||||||
Mizuho Financial Group, Inc., (3 mo. LIBOR US + 0.99%), 1.24%, 07/10/24(a) | 2,845 | 2,874,928 | ||||||
Morgan Stanley 3.88%, 01/27/26 | 200 | 222,388 | ||||||
6.38%, 07/24/42 | 460 | 670,884 | ||||||
4.30%, 01/27/45(e) | 1,380 | 1,616,779 | ||||||
(3 mo. LIBOR US + 1.46%), | 1,840 | 2,043,482 | ||||||
(SOFR + 1.03%), 1.79%, 02/13/32(a) | 2,505 | 2,338,064 | ||||||
(SOFR + 1.43%), 2.80%, 01/25/52(a) | 1,060 | 975,694 | ||||||
(SOFR + 1.99%), 2.19%, 04/28/26(a)(e) | 2,400 | 2,479,757 | ||||||
(SOFR + 4.84%), 5.60%, 03/24/51(a)(e) | 2,020 | 2,813,249 | ||||||
Series I, (SOFR + 0.75%), | 3,410 | 3,391,605 | ||||||
Nasdaq, Inc. | 32 | 35,324 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Nasdaq, Inc. (continued) | $ | 195 | $ | 183,309 | ||||
Natwest Group PLC, (1 year CMT + 2.15%), 2.36%, 05/22/24(a) | 290 | 299,201 | ||||||
ORIX Corp., 2.90%, 07/18/22 | 405 | 417,289 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,325 | 1,375,295 | ||||||
1.47%, 07/08/25 | 6,129 | 6,131,691 | ||||||
|
| |||||||
128,099,944 | ||||||||
Diversified Telecommunication Services — 1.5% | ||||||||
AT&T, Inc. | 2,470 | 2,475,271 | ||||||
4.45%, 04/01/24 | 1,202 | 1,318,419 | ||||||
1.70%, 03/25/26 | 3,620 | 3,618,729 | ||||||
4.85%, 03/01/39 | 1,185 | 1,375,707 | ||||||
3.10%, 02/01/43 | 1,445 | 1,348,273 | ||||||
4.80%, 06/15/44 | 195 | 222,695 | ||||||
3.30%, 02/01/52 | 305 | 274,698 | ||||||
3.80%, 12/01/57(c) | 238 | 226,430 | ||||||
3.50%, 02/01/61(e) | 225 | 204,164 | ||||||
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 | 2,445 | 3,626,208 | ||||||
Switch Ltd., 3.75%, 09/15/28(c)(e) | 865 | 851,783 | ||||||
Verizon Communications, Inc. | 1,000 | 1,084,667 | ||||||
1.68%, 10/30/30(c) | 2,797 | 2,594,878 | ||||||
4.50%, 08/10/33 | 2,600 | 3,019,954 | ||||||
4.13%, 08/15/46 | 430 | 470,829 | ||||||
4.86%, 08/21/46 | 875 | 1,049,690 | ||||||
2.88%, 11/20/50 | 170 | 151,093 | ||||||
3.55%, 03/22/51 | 285 | 284,600 | ||||||
3.00%, 11/20/60 | 430 | 373,314 | ||||||
|
| |||||||
24,571,402 | ||||||||
Education — 0.1% | ||||||||
Ford Foundation (The)(e) | ||||||||
Series 2020, 2.42%, 06/01/50. | 5 | 4,510 | ||||||
Series 2020, 2.82%, 06/01/70 | 30 | 27,005 | ||||||
Georgetown University, Series 20A, | 27 | 24,950 | ||||||
Northwestern University, Series 2020, | 266 | 252,745 | ||||||
President and Fellows of Harvard College, | 54 | 50,366 | ||||||
University of Chicago (The) | ||||||||
Series 20B, 2.76%, 04/01/45 | 148 | 142,396 | ||||||
Series C, 2.55%, 04/01/50 | 157 | 142,147 | ||||||
Yale University, Series 2020, 2.40%, 04/15/50 | 272 | 249,469 | ||||||
|
| |||||||
893,588 | ||||||||
Electric Utilities — 3.3% | ||||||||
AEP Texas, Inc., Series I, | 2,180 | 2,097,125 | ||||||
AEP Transmission Co. LLC, | 30 | 29,299 | ||||||
Alabama Power Co., | 370 | 377,265 | ||||||
Ameren Corp., 2.50%, 09/15/24 | 65 | 68,337 | ||||||
Ameren Illinois Co., 3.25%, 03/15/50 | 130 | 130,564 | ||||||
Appalachian Power Co. | 800 | 860,182 | ||||||
Series X, 3.30%, 06/01/27(e) | 1,190 | 1,280,550 | ||||||
Arizona Public Service Co. | 400 | 430,361 |
4 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Arizona Public Service Co. (continued) | $ | 800 | $ | 860,304 | ||||
3.50%, 12/01/49(e) | 240 | 244,671 | ||||||
3.35%, 05/15/50 | 120 | 118,915 | ||||||
Atlantic City Electric Co., 2.30%, 03/15/31 | 570 | 563,295 | ||||||
Avangrid, Inc., 3.80%, 06/01/29 | 600 | 660,019 | ||||||
Baltimore Gas & Electric Co.(e) | 225 | 260,993 | ||||||
2.90%, 06/15/50 | 170 | 157,192 | ||||||
Berkshire Hathaway Energy Co., 4.45%, 01/15/49 | 500 | 585,937 | ||||||
CenterPoint Energy Houston Electric LLC, Series Z, 2.40%, 09/01/26 | 800 | 840,434 | ||||||
CenterPoint Energy, Inc., 4.25%, 11/01/28 | 730 | 818,731 | ||||||
Commonwealth Edison Co. | 2,200 | 2,450,104 | ||||||
2.20%, 03/01/30(e) | 500 | 495,758 | ||||||
4.00%, 03/01/49 | 90 | 100,951 | ||||||
3.13%, 03/15/51 | 70 | 67,915 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
Series 06-A, 5.85%, 03/15/36 | 1,000 | 1,288,583 | ||||||
Series A, 4.13%, 05/15/49 | 50 | 55,592 | ||||||
Series B, 3.13%, 11/15/27 | 800 | 861,412 | ||||||
Dominion Energy, Inc., 3.90%, 10/01/25 | 500 | 549,972 | ||||||
DTE Electric Co., 3.65%, 03/15/24 | 1,590 | 1,707,050 | ||||||
DTE Energy Co., Series D, 3.70%, 08/01/23 | 835 | 889,536 | ||||||
Duke Energy Corp. | 1,000 | 1,046,333 | ||||||
4.20%, 06/15/49(e) | 700 | 742,025 | ||||||
Duke Energy Florida LLC | 1,365 | 1,513,791 | ||||||
1.75%, 06/15/30 | 780 | 737,710 | ||||||
Duke Energy Ohio, Inc. | 350 | 340,474 | ||||||
4.30%, 02/01/49(e) | 100 | 113,969 | ||||||
Entergy Corp., 0.90%, 09/15/25 | 285 | 278,306 | ||||||
Entergy Texas, Inc., 3.55%, 09/30/49 | 520 | 516,589 | ||||||
Evergy Kansas Central, Inc. | 800 | 838,233 | ||||||
3.45%, 04/15/50(e) | 130 | 131,490 | ||||||
Evergy Metro, Inc., 3.65%, 08/15/25 | 300 | 328,200 | ||||||
Evergy, Inc., 2.90%, 09/15/29 | 50 | 50,957 | ||||||
Eversource Energy, Series M, 3.30%, 01/15/28 | 1,000 | 1,068,262 | ||||||
Florida Power & Light Co. | 500 | 565,383 | ||||||
3.15%, 10/01/49 | 40 | 40,257 | ||||||
Georgia Power Co. | 800 | 864,643 | ||||||
3.25%, 03/15/51 | 210 | 200,469 | ||||||
Interstate Power and Light Co., | 530 | 522,768 | ||||||
Kentucky Utilities Co., 3.30%, 06/01/50(e) | 320 | 311,375 | ||||||
MidAmerican Energy Co. | 800 | 867,010 | ||||||
3.15%, 04/15/50 | 490 | 481,548 | ||||||
National Rural Utilities Cooperative Finance Corp., 3.70%, 03/15/29 | 680 | 744,514 | ||||||
Nevada Power Co., Series DD, 2.40%, 05/01/30 | 440 | 438,492 | ||||||
NextEra Energy Capital Holdings, Inc. | 645 | 707,903 | ||||||
2.25%, 06/01/30(e) | 1,070 | 1,046,893 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
NextEra Energy Operating Partners LP, 4.50%, 09/15/27(c) | $ | 1,300 | $ | 1,405,625 | ||||
Northern States Power Co., 2.60%, 06/01/51 | 305 | 273,120 | ||||||
Oglethorpe Power Corp., 5.05%, 10/01/48(e) | 130 | 153,057 | ||||||
Oncor Electric Delivery Co. LLC, 3.80%, 06/01/49 | 320 | 347,907 | ||||||
Pacific Gas and Electric Co. | 500 | 500,759 | ||||||
3.15%, 01/01/26 | 510 | 531,219 | ||||||
2.10%, 08/01/27(e) | 65 | 63,640 | ||||||
4.50%, 07/01/40 | 240 | 243,488 | ||||||
3.30%, 08/01/40 | 90 | 81,461 | ||||||
4.95%, 07/01/50(e) | 400 | 411,078 | ||||||
3.50%, 08/01/50 | 340 | 295,040 | ||||||
PacifiCorp, 4.13%, 01/15/49 | 280 | 311,813 | ||||||
PECO Energy Co. | 355 | 330,630 | ||||||
3.05%, 03/15/51 | 70 | 68,398 | ||||||
PPL Electric Utilities Corp. | 400 | 409,516 | ||||||
3.00%, 10/01/49 | 275 | 261,052 | ||||||
Public Service Co. of Colorado | 1,800 | 1,991,050 | ||||||
4.05%, 09/15/49(e) | 20 | 22,851 | ||||||
Public Service Electric & Gas Co. | 800 | 836,794 | ||||||
3.00%, 05/15/27(e) | 500 | 536,678 | ||||||
3.70%, 05/01/28(e) | 800 | 881,442 | ||||||
2.05%, 08/01/50(e) | 105 | 84,473 | ||||||
Puget Sound Energy, Inc., 3.25%, 09/15/49 | 390 | 375,104 | ||||||
San Diego Gas & Electric Co., 2.50%, 05/15/26 | 400 | 417,677 | ||||||
Sempra Energy, 3.75%, 11/15/25 | 200 | 219,474 | ||||||
Southern California Edison Co. | 100 | 98,923 | ||||||
Series B, 4.88%, 03/01/49 | 260 | 301,815 | ||||||
Series C, 4.13%, 03/01/48 | 370 | 387,697 | ||||||
Southern Co., 3.25%, 07/01/26 | 2,400 | 2,568,904 | ||||||
Tampa Electric Co., 3.45%, 03/15/51 | 35 | 35,328 | ||||||
Tucson Electric Power Co., 1.50%, 08/01/30 | 190 | 175,974 | ||||||
Union Electric Co., 4.00%, 04/01/48 | 230 | 256,725 | ||||||
Virginia Electric & Power Co. | 610 | 606,672 | ||||||
Series A, 3.80%, 04/01/28 | 1,750 | 1,932,540 | ||||||
Wisconsin Electric Power Co., 3.10%, 06/01/25(e) | 800 | 851,308 | ||||||
Wisconsin Power & Light Co., 3.05%, 10/15/27 | 1,090 | 1,163,800 | ||||||
Wisconsin Public Service Corp., 3.30%, 09/01/49 | 85 | 85,998 | ||||||
Xcel Energy, Inc. | 900 | 999,414 | ||||||
3.50%, 12/01/49 | 50 | 50,033 | ||||||
|
| |||||||
53,917,118 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
Amphenol Corp., 2.05%, 03/01/25 | 300 | 309,516 | ||||||
Keysight Technologies, Inc., 4.60%, 04/06/27 | 1,225 | 1,402,392 | ||||||
Xerox Holdings Corp., 5.50%, 08/15/28(c) | 700 | 724,721 | ||||||
|
| |||||||
2,436,629 | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co- Obligor, Inc., 4.08%, 12/15/47. | 850 | 906,090 |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 5 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Energy Equipment & Services (continued) | ||||||||
Halliburton Co., 5.00%, 11/15/45 | $ | 140 | $ | 156,079 | ||||
NOV, Inc., 3.60%, 12/01/29 | 99 | 99,564 | ||||||
|
| |||||||
1,161,733 | ||||||||
Environmental, Maintenance, & Security Service — 0.1% | ||||||||
Waste Connections, Inc., 2.60%, 02/01/30 | 305 | 306,300 | ||||||
Waste Management, Inc., 2.40%, 05/15/23 | 1,000 | 1,036,813 | ||||||
|
| |||||||
1,343,113 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 0.9% | ||||||||
American Tower Corp. | ||||||||
3.38%, 10/15/26(e) | 110 | 118,959 | ||||||
3.70%, 10/15/49 | 190 | 192,047 | ||||||
Brixmor Operating Partnership LP, 4.05%, 07/01/30 | 130 | 140,031 | ||||||
Camden Property Trust, 2.80%, 05/15/30 | 240 | 246,197 | ||||||
Crown Castle International Corp., 3.70%, 06/15/26 | 1,000 | 1,093,933 | ||||||
Equinix, Inc., 2.63%, 11/18/24 | 900 | 948,303 | ||||||
Essex Portfolio LP, 1.70%, 03/01/28 | 1,255 | 1,208,266 | ||||||
Federal Realty Investment Trust, 3.50%, 06/01/30 | 210 | 220,033 | ||||||
Iron Mountain, Inc., 4.50%, 02/15/31(c) | 350 | 346,010 | ||||||
Life Storage LP, 2.20%, 10/15/30 | 735 | 694,288 | ||||||
Omega Healthcare Investors, Inc., 4.95%, 04/01/24 | 1,400 | 1,525,541 | ||||||
Public Storage | ||||||||
3.09%, 09/15/27(e) | 2,500 | 2,707,389 | ||||||
3.39%, 05/01/29 | 1,640 | 1,789,762 | ||||||
Service Properties Trust, 4.65%, 03/15/24 | 800 | 800,000 | ||||||
Simon Property Group LP, 3.50%, 09/01/25(e) | 1,065 | 1,153,050 | ||||||
Weyerhaeuser Co., 4.00%, 04/15/30 | 1,390 | 1,536,488 | ||||||
|
| |||||||
14,720,297 | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
Costco Wholesale Corp., 1.75%, 04/20/32 | 3,135 | 2,979,917 | ||||||
General Mills, Inc., 2.88%, 04/15/30(e) | 840 | 867,180 | ||||||
Kellogg Co., 2.65%, 12/01/23 | 918 | 964,366 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.25%, 03/01/31 | 1,200 | 1,321,124 | ||||||
4.88%, 10/01/49 | 925 | 1,037,492 | ||||||
Sysco Corp., 3.30%, 07/15/26 | 800 | 861,411 | ||||||
|
| |||||||
8,031,490 | ||||||||
Food Products — 0.0% | ||||||||
Flowers Foods, Inc., 2.40%, 03/15/31 | 435 | 424,330 | ||||||
Hershey Co., 2.65%, 06/01/50(e) | 105 | 94,700 | ||||||
|
| |||||||
519,030 | ||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||
Abbott Laboratories, 3.40%, 11/30/23(e) | 910 | 975,115 | ||||||
Baxter International, Inc., 2.60%, 08/15/26 | 1,702 | 1,807,775 | ||||||
DH Europe Finance II Sarl, 3.40%, 11/15/49 | 855 | 865,676 | ||||||
PerkinElmer, Inc., 2.55%, 03/15/31 | 50 | 49,535 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.13%, 03/25/25 | 275 | 305,373 | ||||||
2.95%, 09/19/26(e) | 400 | 428,263 | ||||||
4.50%, 03/25/30 | 120 | 139,708 | ||||||
4.10%, 08/15/47 | 3,055 | 3,545,460 | ||||||
Zimmer Biomet Holdings, Inc., 3.55%, 03/20/30 | 310 | 331,422 | ||||||
|
| |||||||
8,448,327 | ||||||||
Health Care Providers & Services — 1.3% | ||||||||
AmerisourceBergen Corp. | ||||||||
3.45%, 12/15/27 | 1,427 | 1,553,599 | ||||||
2.80%, 05/15/30(e) | 1,855 | 1,891,122 | ||||||
2.70%, 03/15/31 | 710 | 708,398 | ||||||
Anthem, Inc., 3.35%, 12/01/24 | 1,395 | 1,508,882 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
Baylor Scott & White Holdings, 2.84%, 11/15/50 | $ | 92 | $ | 86,575 | ||||
CommonSpirit Health, 3.91%, 10/01/50 | 339 | 345,341 | ||||||
DaVita, Inc., 3.75%, 02/15/31(c) | 285 | 271,813 | ||||||
Hackensack Meridian Health, Inc., Series 2020, 2.88%, 09/01/50(e) | 58 | 54,085 | ||||||
HCA, Inc. | ||||||||
5.50%, 06/15/47 | 2,949 | 3,667,949 | ||||||
5.25%, 06/15/49 | 1,110 | 1,358,273 | ||||||
Humana, Inc. | ||||||||
3.85%, 10/01/24 | 1,000 | 1,092,060 | ||||||
4.95%, 10/01/44 | 1,370 | 1,644,895 | ||||||
McKesson Corp., 0.90%, 12/03/25(e) | 1,465 | 1,434,548 | ||||||
Memorial Sloan-Kettering Cancer Center, Series 2020, 2.96%, 01/01/50(e) | 46 | 44,133 | ||||||
Methodist Hospital (The), Series 20A, 2.71%, 12/01/50(e) | 87 | 80,142 | ||||||
Molina Healthcare, Inc., 3.88%, 11/15/30(c) | 800 | 823,000 | ||||||
Sutter Health, Series 20A, 3.36%, 08/15/50 | 54 | 53,436 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.38%, 08/15/24 | 1,035 | 1,089,911 | ||||||
3.10%, 03/15/26 | 150 | 162,907 | ||||||
4.75%, 07/15/45 | 800 | 1,008,115 | ||||||
2.90%, 05/15/50(e) | 410 | 392,622 | ||||||
3.13%, 05/15/60(e) | 730 | 716,632 | ||||||
Universal Health Services, Inc., 2.65%, 10/15/30(c)(e) | 1,630 | 1,573,789 | ||||||
|
| |||||||
21,562,227 | ||||||||
Health Care Technology — 0.0% | ||||||||
Banner Health, Series 2020, 3.18%, 01/01/50(e) | 119 | 119,414 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% | ||||||||
Choice Hotels International, Inc., 3.70%, 12/01/29 | 1,065 | 1,116,078 | ||||||
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 | 380 | 426,683 | ||||||
Las Vegas Sands Corp., 3.50%, 08/18/26(e) | 2,535 | 2,643,203 | ||||||
Marriott International, Inc., 2.85%, 04/15/31 | 1,150 | 1,128,664 | ||||||
McDonald’s Corp. | ||||||||
1.45%, 09/01/25(e) | 375 | 378,585 | ||||||
3.70%, 01/30/26 | 1,000 | 1,102,112 | ||||||
3.50%, 03/01/27(e) | 278 | 304,773 | ||||||
3.80%, 04/01/28 | 290 | 321,004 | ||||||
6.30%, 10/15/37 | 310 | 428,748 | ||||||
Starbucks Corp., 3.55%, 08/15/29(e) | 540 | 590,342 | ||||||
|
| |||||||
8,440,192 | ||||||||
Household Durables — 0.0% | ||||||||
NVR, Inc., 3.00%, 05/15/30 | 785 | 805,680 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||
NRG Energy, Inc., 3.63%, 02/15/31(c) | 1,250 | 1,218,750 | ||||||
|
| |||||||
Insurance — 1.6% | ||||||||
Aflac, Inc., 4.75%, 01/15/49 | 2,220 | 2,751,489 | ||||||
Aon PLC, 3.88%, 12/15/25(e) | 3,400 | 3,757,025 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
1.45%, 10/15/30(e) | 1,990 | 1,857,213 | ||||||
4.20%, 08/15/48 | 1,045 | 1,205,775 | ||||||
Berkshire Hathaway, Inc., 3.13%, 03/15/26 | 355 | 386,478 | ||||||
Chubb INA Holdings, Inc., 3.35%, 05/15/24(e) | 660 | 710,279 | ||||||
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31(c) | 2,245 | 2,236,545 | ||||||
Fidelity National Financial, Inc., 5.50%, 09/01/22 | 120 | 128,127 | ||||||
Marsh & McLennan Cos, Inc., 4.75%, 03/15/39(e) | 111 | 136,851 |
6 |
|
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Insurance (continued) | ||||||||
Marsh & McLennan Cos., Inc. | ||||||||
4.20%, 03/01/48 | $ | 1,715 | $ | 1,986,165 | ||||
4.90%, 03/15/49(e) | 5,185 | 6,619,252 | ||||||
MetLife, Inc., 4.05%, 03/01/45(e) | 630 | 714,703 | ||||||
Progressive Corp., 4.13%, 04/15/47 | 2,320 | 2,666,927 | ||||||
Willis North America, Inc., 2.95%, 09/15/29 | 940 | 970,652 | ||||||
|
| |||||||
26,127,481 | ||||||||
Interactive Media & Services — 0.3% | ||||||||
Alphabet, Inc. | ||||||||
2.00%, 08/15/26(e) | 800 | 832,895 | ||||||
2.25%, 08/15/60 | 335 | 273,373 | ||||||
Baidu, Inc, 1.72%, 04/09/26 | 2,035 | 2,020,226 | ||||||
eBay, Inc., 2.70%, 03/11/30 | 1,210 | 1,222,575 | ||||||
|
| |||||||
4,349,069 | ||||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
4.50%, 11/28/34(e) | 300 | 341,409 | ||||||
4.00%, 12/06/37 | 1,470 | 1,578,743 | ||||||
4.20%, 12/06/47 | 1,680 | 1,842,263 | ||||||
JD.com, Inc., 4.13%, 01/14/50 | 945 | 949,007 | ||||||
|
| |||||||
4,711,422 | ||||||||
Internet Software & Services — 0.0% | ||||||||
Booking Holdings, Inc., 4.63%, 04/13/30 | 315 | 366,930 | ||||||
Expedia Group, Inc., 2.95%, 03/15/31(c) | 440 | 433,972 | ||||||
|
| |||||||
800,902 | ||||||||
IT Services — 0.5% | ||||||||
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(c) | 140 | 140,735 | ||||||
Citrix Systems, Inc., 1.25%, 03/01/26 | 2,715 | 2,669,056 | ||||||
International Business Machines Corp., 4.25%, 05/15/49(e) | 330 | 379,872 | ||||||
j2 Global, Inc., 4.63%, 10/15/30(c) | 1,250 | 1,262,500 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 06/15/25 | 1,400 | 1,544,047 | ||||||
4.13%, 03/15/29(e) | 2,436 | 2,707,012 | ||||||
|
| |||||||
8,703,222 | ||||||||
Life Sciences Tools & Services — 0.1% | ||||||||
Agilent Technologies, Inc., 2.30%, 03/12/31 | 2,495 | 2,429,464 | ||||||
|
| |||||||
Machinery — 0.2% | ||||||||
Caterpillar, Inc., 1.90%, 03/12/31 | 2,050 | 1,973,041 | ||||||
Deere & Co., 2.75%, 04/15/25 | 215 | 228,838 | ||||||
Otis Worldwide Corp. | ||||||||
3.11%, 02/15/40 | 70 | 68,912 | ||||||
3.36%, 02/15/50(e) | 840 | 819,831 | ||||||
|
| |||||||
3,090,622 | ||||||||
Media — 0.9% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.46%, 07/23/22 | 200 | 208,591 | ||||||
4.91%, 07/23/25 | 1,350 | 1,530,423 | ||||||
5.38%, 04/01/38 | 640 | 754,335 | ||||||
3.70%, 04/01/51 | 410 | 383,475 | ||||||
Comcast Corp. | ||||||||
3.70%, 04/15/24 | 1,750 | 1,911,224 | ||||||
3.38%, 02/15/25 | 1,590 | 1,730,057 | ||||||
2.35%, 01/15/27(e) | 400 | 417,538 | ||||||
4.15%, 10/15/28 | 200 | 228,886 | ||||||
2.65%, 02/01/30 | 125 | 127,960 |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
Comcast Corp. (continued) | ||||||||
4.60%, 10/15/38 | $ | 1,200 | $ | 1,448,506 | ||||
3.25%, 11/01/39 | 255 | 262,687 | ||||||
2.65%, 08/15/62(e) | 1,560 | 1,323,586 | ||||||
Fox Corp., 4.03%, 01/25/24 | 1,040 | 1,129,672 | ||||||
TEGNA, Inc., 4.75%, 03/15/26(c) | 480 | 509,400 | ||||||
Thomson Reuters Corp. | ||||||||
3.85%, 09/29/24 | 800 | 868,588 | ||||||
3.35%, 05/15/26 | 800 | 864,528 | ||||||
Time Warner Cable LLC, 4.50%, 09/15/42 | 700 | 748,167 | ||||||
WMG Acquisition Corp., 3.00%, 02/15/31(c)(e) | 1,030 | 978,809 | ||||||
|
| |||||||
15,426,432 | ||||||||
Metals & Mining — 0.6% | ||||||||
ArcelorMittal SA, 4.25%, 07/16/29 | 160 | 171,252 | ||||||
Freeport-McMoRan, Inc., 5.45%, 03/15/43 | 400 | 481,200 | ||||||
Newmont Corp., 2.25%, 10/01/30 | 695 | 677,025 | ||||||
Southern Copper Corp. | ||||||||
3.88%, 04/23/25 | 922 | 1,009,302 | ||||||
5.88%, 04/23/45 | 793 | 1,036,122 | ||||||
Vale Overseas Ltd. | ||||||||
3.75%, 07/08/30 | 2,662 | 2,768,214 | ||||||
6.88%, 11/21/36 | 395 | 521,400 | ||||||
6.88%, 11/10/39 | 757 | 1,005,410 | ||||||
Vale SA, 5.63%, 09/11/42(e) | 1,070 | 1,281,057 | ||||||
|
| |||||||
8,950,982 | ||||||||
Multi-Utilities — 0.4% | ||||||||
Atmos Energy Corp. | ||||||||
3.00%, 06/15/27 | 400 | 426,776 | ||||||
1.50%, 01/15/31 | 760 | 694,225 | ||||||
National Fuel Gas Co., 2.95%, 03/01/31 | 335 | 322,593 | ||||||
NiSource, Inc. | ||||||||
3.60%, 05/01/30 | 60 | 65,031 | ||||||
1.70%, 02/15/31 | 610 | 564,994 | ||||||
3.95%, 03/30/48 | 310 | 325,904 | ||||||
Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29(e) | 1,500 | 1,618,290 | ||||||
Southern California Gas Co. | ||||||||
Series TT, 2.60%, 06/15/26 | 800 | 843,230 | ||||||
Series XX, 2.55%, 02/01/30 | 730 | 732,915 | ||||||
Southwest Gas Corp. | ||||||||
3.70%, 04/01/28 | 230 | 249,028 | ||||||
2.20%, 06/15/30(e) | 85 | 82,453 | ||||||
Washington Gas Light Co., 3.65%, 09/15/49 | 30 | 31,660 | ||||||
|
| |||||||
5,957,099 | ||||||||
Oil, Gas & Consumable Fuels — 1.9% | ||||||||
Apache Corp., 4.88%, 11/15/27 | 825 | 845,625 | ||||||
Cenovus Energy, Inc., 5.38%, 07/15/25 | 1,150 | 1,292,387 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.13%, 06/30/27 | 2,900 | 3,316,495 | ||||||
3.70%, 11/15/29(e) | 1,636 | 1,724,276 | ||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(c) | 1,250 | 1,298,175 | ||||||
Chevron Corp. | ||||||||
1.55%, 05/11/25 | 550 | 561,222 | ||||||
2.24%, 05/11/30 | 165 | 164,171 | ||||||
2.98%, 05/11/40 | 70 | 69,313 | ||||||
3.08%, 05/11/50(e) | 60 | 57,357 | ||||||
Chevron USA, Inc., 5.25%, 11/15/43 | 370 | 478,695 | ||||||
CNOOC Finance USA LLC, Series 2015, 3.50%, 05/05/25(e) | 600 | 636,563 | ||||||
CNX Resources Corp., 7.25%, 03/14/27(c)(e) | 750 | 805,582 |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 7 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Continental Resources, Inc., 4.38%, 01/15/28(e) | $ | 1,200 | $ | 1,261,800 | ||||
Diamondback Energy, Inc., 4.40%, 03/24/51 | 185 | 189,527 | ||||||
Energy Transfer Operating LP, 5.00%, 05/15/50 | 450 | 465,410 | ||||||
Equinor ASA | ||||||||
3.25%, 11/10/24(e) | 400 | 433,009 | ||||||
3.25%, 11/18/49 | 500 | 489,578 | ||||||
Exxon Mobil Corp. | ||||||||
2.99%, 03/19/25 | 2,170 | 2,325,336 | ||||||
3.45%, 04/15/51 | 835 | 843,226 | ||||||
MPLX LP | ||||||||
4.88%, 12/01/24 | 209 | 234,583 | ||||||
4.50%, 04/15/38 | 125 | 136,556 | ||||||
5.20%, 03/01/47 | 70 | 80,069 | ||||||
4.70%, 04/15/48 | 105 | 113,599 | ||||||
5.50%, 02/15/49 | 285 | 334,824 | ||||||
Occidental Petroleum Corp. | ||||||||
8.50%, 07/15/27 | 630 | 746,550 | ||||||
8.88%, 07/15/30 | 975 | 1,229,475 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/22 | 1,000 | 1,033,119 | ||||||
4.90%, 03/15/25 | 2,000 | 2,221,563 | ||||||
6.13%, 02/01/41 | 75 | 87,866 | ||||||
ONEOK, Inc. | ||||||||
2.75%, 09/01/24 | 1,475 | 1,547,385 | ||||||
7.15%, 01/15/51 | 80 | 107,864 | ||||||
Pioneer Natural Resources Co., 2.15%, 01/15/31 | 700 | 661,791 | ||||||
Rockies Express Pipeline LLC, | 750 | 765,926 | ||||||
Sabine Pass Liquefaction LLC, 4.20%, 03/15/28 | 569 | 624,238 | ||||||
Southwestern Energy Co., 8.38%, 09/15/28 | 140 | 153,650 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 03/01/30 | 1,100 | 1,155,000 | ||||||
TransCanada PipeLines Ltd., 3.75%, 10/16/23 | 800 | 853,176 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 05/15/50 | 95 | 97,112 | ||||||
Western Midstream Operating LP, 5.30%, 02/01/30 | 1,150 | 1,248,762 | ||||||
Williams Cos., Inc., 5.10%, 09/15/45(e) | 801 | 918,577 | ||||||
|
| |||||||
31,609,432 | ||||||||
Personal Products — 0.1% | ||||||||
Unilever Capital Corp., 2.00%, 07/28/26(e) | 800 | 827,253 | ||||||
|
| |||||||
Pharmaceuticals — 1.7% | ||||||||
AbbVie, Inc. | ||||||||
2.60%, 11/21/24 | 3,520 | 3,716,410 | ||||||
3.20%, 11/21/29 | 1,045 | 1,111,642 | ||||||
4.05%, 11/21/39 | 890 | 996,449 | ||||||
4.25%, 11/21/49 | 320 | 362,091 | ||||||
AstraZeneca PLC | ||||||||
3.50%, 08/17/23(e) | 1,200 | 1,278,686 | ||||||
3.13%, 06/12/27 | 1,490 | 1,603,488 | ||||||
Bristol-Myers Squibb Co., 3.45%, 11/15/27 | 557 | 612,496 | ||||||
Cigna Corp., 3.75%, 07/15/23 | 444 | 474,835 | ||||||
CVS Health Corp. | ||||||||
3.00%, 08/15/26 | 75 | 80,141 | ||||||
4.78%, 03/25/38 | 1,050 | 1,239,195 | ||||||
Eli Lilly & Co., 2.75%, 06/01/25(e) | 378 | 402,163 | ||||||
Johnson & Johnson | ||||||||
2.95%, 03/03/27 | 2,530 | 2,761,768 | ||||||
3.70%, 03/01/46 | 1,329 | 1,485,141 | ||||||
2.25%, 09/01/50(e) | 320 | 284,692 |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Johnson & Johnson (continued) |
| |||||||
2.45%, 09/01/60 | $ | 250 | $ | 221,519 | ||||
Merck & Co., Inc. | ||||||||
2.75%, 02/10/25(e) | 800 | 852,760 | ||||||
0.75%, 02/24/26(e) | 5,085 | 5,018,574 | ||||||
4.00%, 03/07/49 | 330 | 381,325 | ||||||
Novartis Capital Corp., 2.75%, 08/14/50 | 1,086 | 1,030,771 | ||||||
Pfizer, Inc., 7.20%, 03/15/39 | 80 | 125,394 | ||||||
Viatris, Inc., 1.65%, 06/22/25(c) | 180 | 180,636 | ||||||
Zoetis, Inc. | ||||||||
3.00%, 09/12/27 | 1,800 | 1,926,191 | ||||||
3.90%, 08/20/28 | 5 | 5,560 | ||||||
3.00%, 05/15/50 | 1,130 | 1,075,979 | ||||||
|
| |||||||
27,227,906 | ||||||||
Producer Durables: Miscellaneous — 0.6% | ||||||||
Oracle Corp. | ||||||||
2.50%, 04/01/25 | 4,025 | 4,229,138 | ||||||
2.95%, 05/15/25 | 800 | 852,051 | ||||||
2.88%, 03/25/31 | 3,580 | 3,644,201 | ||||||
3.95%, 03/25/51 | 1,100 | 1,133,951 | ||||||
|
| |||||||
9,859,341 | ||||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC(e) | ||||||||
3.00%, 04/01/25 | 800 | 861,183 | ||||||
3.05%, 02/15/51 | 990 | 957,549 | ||||||
CSX Corp., 2.60%, 11/01/26 | 800 | 845,438 | ||||||
Union Pacific Corp. | ||||||||
2.75%, 04/15/23 | 1,590 | 1,653,358 | ||||||
3.25%, 08/15/25 | 400 | 432,421 | ||||||
|
| |||||||
4,749,949 | ||||||||
Semiconductors & Semiconductor Equipment — 1.4% | ||||||||
Analog Devices, Inc., 2.95%, 04/01/25 | 225 | 239,118 | ||||||
Broadcom, Inc. | ||||||||
3.15%, 11/15/25 | 198 | 211,035 | ||||||
4.15%, 11/15/30 | 2,105 | 2,272,053 | ||||||
4.30%, 11/15/32 | 3,395 | 3,696,260 | ||||||
3.42%, 04/15/33(c) | 1,192 | 1,195,414 | ||||||
3.47%, 04/15/34(c) | 1,120 | 1,123,830 | ||||||
3.50%, 02/15/41(c) | 470 | 450,139 | ||||||
3.75%, 02/15/51(c) | 1,315 | 1,257,424 | ||||||
Flex Ltd., 3.75%, 02/01/26 | 230 | 248,885 | ||||||
Intel Corp., 3.40%, 03/25/25(e) | 4,490 | 4,886,131 | ||||||
Maxim Integrated Products, Inc., | 1,000 | 1,047,096 | ||||||
Micron Technology, Inc. | ||||||||
2.50%, 04/24/23 | 940 | 975,617 | ||||||
4.19%, 02/15/27 | 280 | 310,883 | ||||||
4.66%, 02/15/30 | 1,025 | 1,164,335 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., | 190 | 199,265 | ||||||
ON Semiconductor Corp., 3.88%, 09/01/28(c) | 1,500 | 1,542,975 | ||||||
Qorvo, Inc., 3.38%, 04/01/31(c) | 250 | 244,973 | ||||||
Sensata Technologies, Inc., 4.38%, 02/15/30(c)(e) | 800 | 838,000 | ||||||
Texas Instruments, Inc., 1.75%, 05/04/30 | 730 | 702,171 | ||||||
|
| |||||||
22,605,604 | ||||||||
Software — 1.1% | ||||||||
Activision Blizzard, Inc. | ||||||||
1.35%, 09/15/30 | 365 | 329,737 | ||||||
2.50%, 09/15/50 | 645 | 541,271 |
8 |
|
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Software (continued) | ||||||||
Electronic Arts, Inc. | ||||||||
1.85%, 02/15/31 | $ | 1,310 | $ | 1,235,258 | ||||
2.95%, 02/15/51(e) | 765 | 706,630 | ||||||
Intuit, Inc. | ||||||||
0.95%, 07/15/25(e) | 405 | 401,855 | ||||||
1.35%, 07/15/27 | 1,410 | 1,386,526 | ||||||
1.65%, 07/15/30 | 1,415 | 1,342,067 | ||||||
Microsoft Corp., 2.70%, 02/12/25(e) | 800 | 855,332 | ||||||
Roper Technologies, Inc. | ||||||||
3.65%, 09/15/23 | 800 | 857,224 | ||||||
3.80%, 12/15/26 | 1,000 | 1,109,669 | ||||||
ServiceNow, Inc., 1.40%, 09/01/30(e) | 5,872 | 5,307,580 | ||||||
VMware, Inc., 2.95%, 08/21/22 | 3,800 | 3,918,736 | ||||||
|
| |||||||
17,991,885 | ||||||||
Specialty Retail — 0.1% | ||||||||
QVC, Inc., 4.38%, 09/01/28 | 1,700 | 1,713,473 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.0% | ||||||||
Adobe, Inc. | ||||||||
1.90%, 02/01/25 | 745 | 770,202 | ||||||
2.15%, 02/01/27 | 2,090 | 2,156,530 | ||||||
Apple, Inc., 3.00%, 06/20/27 | 925 | 1,003,616 | ||||||
Dell International LLC/EMC Corp.(c) | ||||||||
5.85%, 07/15/25 | 230 | 268,132 | ||||||
8.10%, 07/15/36 | 235 | 344,209 | ||||||
8.35%, 07/15/46 | 2,960 | 4,503,323 | ||||||
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | 3,690 | 4,009,457 | ||||||
HP, Inc. | ||||||||
2.20%, 06/17/25 | 1,030 | 1,063,097 | ||||||
3.00%, 06/17/27 | 1,250 | 1,321,011 | ||||||
3.40%, 06/17/30 | 365 | 381,039 | ||||||
6.00%, 09/15/41 | 83 | 104,561 | ||||||
NetApp, Inc., 2.38%, 06/22/27 | 165 | 168,549 | ||||||
|
| |||||||
16,093,726 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||||||
NIKE, Inc. | ||||||||
2.40%, 03/27/25 | 245 | 258,247 | ||||||
3.25%, 03/27/40 | 2,075 | 2,178,639 | ||||||
Ralph Lauren Corp., 1.70%, 06/15/22 | 1,305 | 1,325,699 | ||||||
VF Corp., 2.05%, 04/23/22 | 3,525 | 3,582,755 | ||||||
|
| |||||||
7,345,340 | ||||||||
Tobacco — 1.1% | ||||||||
Altria Group, Inc. | ||||||||
4.80%, 02/14/29 | 2,415 | 2,774,853 | ||||||
2.45%, 02/04/32 | 3,380 | 3,229,184 | ||||||
5.80%, 02/14/39 | 1,127 | 1,375,255 | ||||||
4.45%, 05/06/50 | 215 | 222,399 | ||||||
3.70%, 02/04/51 | 730 | 665,069 | ||||||
4.00%, 02/04/61 | 365 | 337,436 | ||||||
BAT Capital Corp. | ||||||||
4.39%, 08/15/37 | 510 | 534,696 | ||||||
3.73%, 09/25/40 | 125 | 119,010 | ||||||
Philip Morris International, Inc. | ||||||||
0.88%, 05/01/26 | 2,670 | 2,592,706 | ||||||
2.10%, 05/01/30 | 1,220 | 1,177,005 | ||||||
6.38%, 05/16/38(e) | 2,010 | 2,776,010 |
Security | Par (000) | Value | ||||||
Tobacco (continued) | ||||||||
Philip Morris International, Inc. (continued) 4.25%, 11/10/44 | $ | 1,220 | $ | 1,356,854 | ||||
Reynolds American, Inc., 5.85%, 08/15/45 | 420 | 495,064 | ||||||
|
| |||||||
17,655,541 | ||||||||
Transportation Infrastructure — 0.1% | ||||||||
United Parcel Service, Inc., 5.30%, 04/01/50(e) | 1,775 | 2,407,086 | ||||||
|
| |||||||
Utilities — 0.2% | ||||||||
American Water Capital Corp., 2.80%, 05/01/30(e) | 270 | 277,679 | ||||||
Essential Utilities, Inc. | ||||||||
3.57%, 05/01/29(e) | 1,030 | 1,108,560 | ||||||
2.70%, 04/15/30 | 380 | 383,025 | ||||||
Vistra Operations Co. LLC, 5.00%, 07/31/27(c) | 1,250 | 1,287,525 | ||||||
|
| |||||||
3,056,789 | ||||||||
Wireless Telecommunication Services — 0.7% | ||||||||
American Tower Corp., 1.30%, 09/15/25 | 680 | 677,069 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23 | 1,270 | 1,352,215 | ||||||
Crown Castle International Corp. | ||||||||
3.20%, 09/01/24 | 625 | 671,167 | ||||||
1.35%, 07/15/25 | 2,205 | 2,200,384 | ||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
5.75%, 06/01/28(e) | 1,145 | 1,320,838 | ||||||
5.30%, 01/15/29(e) | 2,545 | 2,852,818 | ||||||
4.00%, 01/15/31 | 1,258 | 1,300,112 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(c) | 208 | 209,056 | ||||||
T-Mobile USA, Inc., 3.50%, 04/15/25(c)(e) | 25 | 26,972 | ||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(c) | 155 | 153,062 | ||||||
VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30(c) | 500 | 504,350 | ||||||
|
| |||||||
11,268,043 | ||||||||
|
| |||||||
Total Corporate Bonds — 43.3% | 704,728,732 | |||||||
|
| |||||||
Foreign Agency Obligations | ||||||||
Indonesia — 0.0% | ||||||||
Indonesia Government International Bond | ||||||||
4.75%, 07/18/47(c) | 500 | 563,125 | ||||||
3.05%, 03/12/51(e) | 200 | 197,750 | ||||||
|
| |||||||
760,875 | ||||||||
Israel — 0.0% | ||||||||
State of Israel, 3.38%, 01/15/50 | 390 | 391,828 | ||||||
|
| |||||||
Mexico — 0.2% | ||||||||
Mexico Government International Bond | ||||||||
4.15%, 03/28/27(e) | 1,145 | 1,269,805 | ||||||
6.05%, 01/11/40(e) | 100 | 119,688 | ||||||
4.50%, 01/31/50(e) | 590 | 596,084 | ||||||
3.77%, 05/24/61 | 735 | 647,489 | ||||||
|
| |||||||
2,633,066 | ||||||||
Panama — 0.0% | ||||||||
Panama Government International Bond, 3.87%, 07/23/60(e) | 830 | 822,997 | ||||||
|
|
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 9 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Peru — 0.1% | ||||||||
Peruvian Government International Bond, 3.55%, 03/10/51 | $ | 900 | $ | 876,150 | ||||
|
| |||||||
Philippines — 0.0% | ||||||||
Philippine Government International Bond, 2.65%, 12/10/45 | 200 | 179,049 | ||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
Uruguay Government International Bond | ||||||||
5.10%, 06/18/50(e) | 1,200 | 1,484,625 | ||||||
4.98%, 04/20/55 | 50 | 61,094 | ||||||
|
| |||||||
1,545,719 | ||||||||
|
| |||||||
Total Foreign Agency Obligations — 0.4% |
| 7,209,684 | ||||||
|
| |||||||
Municipal Bonds | ||||||||
California — 0.3% | ||||||||
Bay Area Toll Authority, RB, BAB | ||||||||
Series F-2, 6.26%, 04/01/49(e) | 500 | 772,750 | ||||||
Series S-1, 6.92%, 04/01/40 | 50 | 71,876 | ||||||
California State University, Refunding RB, Series B, 2.98%, 11/01/51 | 595 | 584,397 | ||||||
Regents of the University of California Medical Center Pooled Revenue, RB | ||||||||
Series N, 3.01%, 05/15/50(e) | 320 | 307,088 | ||||||
Series N, 3.26%, 05/15/60 | 230 | 230,023 | ||||||
Series N, 3.71%, 05/15/20 | 85 | 81,745 | ||||||
State of California, GO, BAB(e) | 1,025 | 1,660,602 | ||||||
7.60%, 11/01/40 | 500 | 829,265 | ||||||
State of California, Refunding GO, 3.50%, 04/01/28 | 500 | 559,605 | ||||||
University of California, RB, Series AD, 4.86%, 05/15/12 | 165 | 207,591 | ||||||
University of California, Refunding RB, Series J, 4.13%, 05/15/45 | 150 | 171,864 | ||||||
|
| |||||||
5,476,806 | ||||||||
District of Columbia — 0.0% | ||||||||
District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48 | 200 | 203,604 | ||||||
|
| |||||||
Florida — 0.0% | ||||||||
State Board of Administration Finance Corp., RB, | ||||||||
Series A, 2.15%, 07/01/30 | 119 | 118,097 | ||||||
|
| |||||||
Illinois — 0.1% | ||||||||
Chicago O’Hare International Airport, RB, Series C, Senior Lien, 4.47%, 01/01/49 | 310 | 378,643 | ||||||
State of Illinois, GO, 5.10%, 06/01/33 | 255 | 286,990 | ||||||
|
| |||||||
665,633 | ||||||||
Maryland — 0.0% | ||||||||
Maryland Health & Higher Educational Facilities Authority, Refunding RB | ||||||||
Series D, 3.05%, 07/01/40 | 115 | 112,305 | ||||||
Series D, 3.20%, 07/01/50 | 80 | 77,402 | ||||||
|
| |||||||
189,707 |
Security | Par (000) | Value | ||||||
Massachusetts — 0.0% | ||||||||
Commonwealth of Massachusetts, GO, Series H, 2.90%, 09/01/49 | $ | 545 | $ | 549,889 | ||||
|
| |||||||
New Jersey — 0.1% | ||||||||
New Jersey Turnpike Authority, RB, BAB, Series A, 7.10%, 01/01/41 | 550 | 842,826 | ||||||
|
| |||||||
New York — 0.2% | ||||||||
Metropolitan Transportation Authority, RB, BAB, 6.81%, 11/15/40 | 355 | 485,562 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB, 5.51%, 08/01/37 | 110 | 142,537 | ||||||
New York City Water & Sewer System, Refunding RB, 5.88%, 06/15/44(e) | 500 | 726,060 | ||||||
New York State Dormitory Authority, Refunding RB, Series B, 3.14%, 07/01/43(e) | 255 | 252,422 | ||||||
Port Authority of New York & New Jersey, ARB, Consolidated, 192nd Series, 4.81%, 10/15/65 | 50 | 65,024 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
191th Series, 4.82%, 06/01/45 | 200 | 220,742 | ||||||
210th Series, 4.03%, 09/01/48(e) | 1,000 | 1,139,970 | ||||||
|
| |||||||
3,032,317 | ||||||||
Pennsylvania — 0.0% | ||||||||
Pennsylvania State University, Refunding RB, Series D, 2.84%, 09/01/50 | 80 | 78,274 | ||||||
|
| |||||||
Texas — 0.1% | ||||||||
Board of Regents of the University of Texas System, Refunding RB, Series B, 2.44%, 08/15/49 | 405 | 369,437 | ||||||
Grand Parkway Transportation Corp., Refunding RB, Subordinate, 3.24%, 10/01/52 | 400 | 402,460 | ||||||
Texas Transportation Commission State Highway Fund, Refunding RB, 4.00%, 10/01/33 | 690 | 825,550 | ||||||
Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44 | 465 | 448,902 | ||||||
|
| |||||||
2,046,349 | ||||||||
|
| |||||||
Total Municipal Bonds — 0.8% |
| 13,203,502 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Collateralized Mortgage Obligations — 5.8% | ||||||||
American Home Mortgage Investment Trust, Series 2004-3, Class 4A, (6 mo. LIBOR US + 1.50%), 1.72%, 10/25/34(a) | 30 | 30,253 | ||||||
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 02/25/21 | 2 | 2,447 | ||||||
Citigroup Mortgage Loan Trust(a)(c) | 8 | 8,085 | ||||||
Series 2014-A, Class A, 4.00%, 01/25/35 | 55 | 58,418 | ||||||
Connecticut Avenue Securities Trust(a)(c) | ||||||||
Series 2018-R07, Class 1M2, (1 mo. LIBOR US + 2.40%), 2.51%, 04/25/31 | 6,521 | 6,530,739 | ||||||
Series 2019-R01, Class 2ED2, (1 mo. LIBOR US + 1.15%), 1.26%, 07/25/31 | 4,448 | 4,436,801 | ||||||
Series 2019-R01, Class 2M2, (1 mo. LIBOR US + 2.45%), 2.56%, 07/25/31 | 5,182 | 5,192,052 |
10 |
|
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Connecticut Avenue Securities Trust(a)(c) (continued) |
| |||||||
Series 2019-R02, Class 1M2, (1 mo. LIBOR US + 2.30%), 2.41%, 08/25/31 | $ | 6,107 | $ | 6,116,400 | ||||
Series 2019-R03, Class 1M2, (1 mo. LIBOR US + 2.15%), 2.26%, 09/25/31 | 3,573 | 3,581,357 | ||||||
Series 2019-R05, Class 1J1, 2.38%, 07/25/39 | 3,333 | 3,293,770 | ||||||
Series 2019-R05, Class 1M2, (1 mo. LIBOR US + 2.00%), 2.11%, 07/25/39 | 4,358 | 4,358,111 | ||||||
Series 2019-R06, Class 2ED2, (1 mo. LIBOR US + 1.00%), 1.11%, 09/25/39 | 3,416 | 3,278,668 | ||||||
Series 2019-R06, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.21%, 09/25/39 | 6,461 | 6,470,895 | ||||||
Series 2019-R07, Class 1M2, (1 mo. LIBOR US + 2.10%), 2.21%, 10/25/39 | 3,384 | 3,386,954 | ||||||
Series 2020-R01, Class 1M1, (1 mo. LIBOR US + 0.80%), 0.91%, 01/25/40 | 498 | 497,867 | ||||||
Series 2020-R02, Class 2M1, (1 mo. LIBOR US + 0.75%), 0.86%, 01/25/40 | 1,107 | 1,106,956 | ||||||
Credit Suisse First Boston Mortgage Securities | 7 | 5,868 | ||||||
Fannie Mae Connecticut Avenue Securities(a) | ||||||||
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.20%), 2.31%, 01/25/30 | 6,752 | 6,817,236 | ||||||
Series 2018-C01, Class 1EA1, (1 mo. LIBOR US + 0.45%), 0.56%, 07/25/30 | 972 | 943,261 | ||||||
Freddie Mac, Series 2017-HQA3, Class M2, (1 mo. LIBOR US + 2.35%), | 5,552 | 5,621,732 | ||||||
Freddie Mac STACR REMIC Trust(a)(c) | ||||||||
Series 2020-DNA3, Class M2, (1 mo. LIBOR US + 3.00%), 3.11%, 06/25/50 | 7,414 | 7,452,020 | ||||||
Series 2020-DNA5, Class M1, (30 day SOFR + 1.30%), 1.32%, 10/25/50 | 160 | 159,541 | ||||||
Series 2020-DNA6, Class M1, (30 day SOFR + 0.90%), 0.92%, 12/25/50 | 4,882 | 4,884,677 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes(a) | ||||||||
(30 day SOFR + 0.80%), 0.82%, 08/25/33(c) | 5,770 | 5,766,541 | ||||||
Series 2016-DNA1, Class M3, (1 mo. LIBOR US + 5.55%), 5.66%, 07/25/28 | 1,731 | 1,818,543 | ||||||
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.25%), 3.36%, 07/25/29 | 990 | 1,017,194 | ||||||
Series 2017-DNA2, Class M1, (1 mo. LIBOR US + 1.20%), 1.31%, 10/25/29 | 236 | 235,955 | ||||||
Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.45%), 3.56%, 10/25/29 | 1,370 | 1,419,700 | ||||||
Series 2017-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.86%, 03/25/30 | 228 | 228,321 | ||||||
Series 2020-HQA5, Class M1, (30 day SOFR + 1.10%), 1.12%, 11/25/50(c) | 2,158 | 2,160,261 | ||||||
STACR Trust(a)(c) | ||||||||
Series 2018-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.86%, 09/25/48 | 17 | 17,006 | ||||||
Series 2018-HRP1, Class M2, (1 mo. LIBOR US + 1.65%), 1.76%, 04/25/43 | 4,865 | 4,832,898 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
STACR Trust(a)(c) (continued) | ||||||||
Series 2018-HRP1, Class M2B, (1 mo. LIBOR US + 1.65%), 1.76%, 04/25/43 | $ | 1,685 | $ | 1,663,753 | ||||
Series 2018-HRP2, Class M2, (1 mo. LIBOR US + 1.25%), 1.36%, 02/25/47 | 1,592 | 1,594,609 | ||||||
|
| |||||||
94,988,889 | ||||||||
Commercial Mortgage-Backed Securities — 4.5% | ||||||||
Bank | ||||||||
Series 2019-BN23, Class A3, 2.92%, 12/15/52 | 2,230 | 2,328,485 | ||||||
Series 2020-BN28, Class A4, 1.84%, 03/15/63 | 2,100 | 2,004,598 | ||||||
Series 2020-BN29, Class A4, 2.00%, 11/15/53 | 1,740 | 1,677,721 | ||||||
Barclays Commercial Mortgage Trust, Series 2019- C4, Class A5, 2.92%, 08/15/52 | 1,400 | 1,454,068 | ||||||
BBCMS Mortgage Trust, Series 2020-C8, Class A5, 2.04%, 10/15/53 | 2,970 | 2,874,497 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 | 1,290 | 1,463,481 | ||||||
Series 2019-B15, Class A5, 2.93%, 12/15/72 | 2,050 | 2,141,865 | ||||||
Series 2020-B19, Class A5, 1.85%, 09/15/53 | 4,550 | 4,365,319 | ||||||
Series 2020-B20, Class A5, 2.03%, 10/15/53 | 3,190 | 3,093,610 | ||||||
Series 2020-B21, Class A5, 1.98%, 12/17/53 | 3,020 | 2,911,411 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2006-C5, Class AJ, 5.48%, 10/15/49 | 24 | 20,918 | ||||||
Series 2016-GC36, Class A5, 3.62%, 02/10/49 | 550 | 601,512 | ||||||
Series 2017-P8, Class AS, 3.79%, 09/15/50(a) | 2,090 | 2,287,539 | ||||||
COMM Mortgage Trust, Series 2015-CR22, | 1,717 | 1,716,920 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2012-CR3, Class AM, | 1,680 | 1,705,021 | ||||||
Series 2013-CR11, Class B, | 380 | 410,175 | ||||||
Series 2013-LC6, Class AM, 3.28%, 01/10/46 | 400 | 415,421 | ||||||
Series 2014-CR17, Class A5, 3.98%, 05/10/47 | 670 | 727,972 | ||||||
Commission Mortgage Trust, 3.51%, 09/10/50 | 1,290 | 1,409,430 | ||||||
Eleven Madison Avenue Mortgage Trust, Series 2015-11MD, Class A, 3.55%, 09/10/35(a)(c) | 150 | 162,590 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2012-GCJ7, Class AS, 4.09%, 05/10/45 | 280 | 286,711 | ||||||
Series 2013-GC13, Class A5, 4.05%, 07/10/46(a) . | 170 | 181,680 | ||||||
Series 2014-GC20, Class A5, 4.00%, 04/10/47 | 730 | 785,404 | ||||||
Series 2015-GC30, Class B, | 300 | 318,642 | ||||||
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | 2,030 | 2,230,253 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2013-C14, Class A4, | 430 | 453,475 | ||||||
Series 2013-C17, Class A3, 3.93%, 01/15/47 | 1,225 | 1,293,004 | ||||||
Series 2014-C25, Class AS, 4.07%, 11/15/47 | 2,180 | 2,361,637 | ||||||
Series 2015-C30, Class A5, 3.82%, 07/15/48 | 1,780 | 1,957,683 | ||||||
Series 2015-C33, Class A4, 3.77%, 12/15/48 | 2,360 | 2,597,814 | ||||||
Series 2016-C1, Class A5, 3.58%, 03/15/49 | 810 | 884,889 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2006-CB16, Class B, | 210 | 10,823 | ||||||
Series 2011-C5, Class A3, 4.17%, 08/15/46 | 42 | 41,597 | ||||||
Series 2012-CBX, Class AS, 4.27%, 06/15/45 | 350 | 361,977 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2013-C13, Class A4, 4.04%, 11/15/46 | 460 | 495,225 | ||||||
Series 2013-C9, Class A4, 3.10%, 05/15/46 | 2,270 | 2,368,068 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2012-C4, Class A4, 3.24%, 03/15/45 | 678 | 687,548 | ||||||
Series 2015-MS1, Class A4, | 550 | 603,456 |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 11 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Morgan Stanley Capital I Trust (continued) | ||||||||
Series 2015-UBS8, Class A3, 3.54%, 12/15/48 | $ | 3,010 | $ | 3,238,616 | ||||
Series 2019-L3, Class AS, 3.49%, 11/15/52 | 970 | 1,035,509 | ||||||
Series 2020-L4, Class A3, 2.70%, 02/15/53 | 3,070 | 3,149,788 | ||||||
Wells Fargo Commercial Mortgage Trust 2.09%, 07/15/53 | 2,430 | 2,359,491 | ||||||
Series 2014-LC18, Class AS, 3.81%, 12/15/47 | 510 | 549,696 | ||||||
Series 2015-C26, Class AS, 3.58%, 02/15/48 | 1,380 | 1,481,350 | ||||||
Series 2018-C46, Class AS, 4.38%, 08/15/51 | 2,670 | 3,031,308 | ||||||
Series 2020-C56, Class A5, 2.45%, 06/15/53 | 2,880 | 2,897,629 | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||
Series 2012-C10, Class AS, 3.24%, 12/15/45 | 460 | 469,138 | ||||||
Series 2012-C8, Class AS, 3.66%, 08/15/45 | 640 | 659,604 | ||||||
Series 2013-C18, Class A5, | 620 | 672,079 | ||||||
Series 2014-C23, Class A4, 3.65%, 10/15/57 | 301 | 325,372 | ||||||
Series 2014-C23, Class AS, | 1,140 | 1,245,565 | ||||||
|
| |||||||
72,807,584 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed Securities — 10.3% |
| 167,796,473 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Collateralized Mortgage Obligations(a) — 5.4% | ||||||||
Connecticut Avenue Securities Trust, Series 2019- R04, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.21%, 06/25/39(c) | 5,776 | 5,787,687 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.25%), 4.36%, 01/25/29 | 3,133 | 3,259,081 | ||||||
Series 2016-C05, Class 2M2, (1 mo. LIBOR US + 4.45%), 4.56%, 01/25/29 | 298 | 309,823 | ||||||
Series 2017-C01, Class 1M2A, (1 mo. LIBOR US + 3.55%), 3.66%, 07/25/29 | 199 | 200,529 | ||||||
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.11%, 10/25/29 | 4,800 | 4,906,848 | ||||||
Series 2017-C05, Class 1M2A, (1 mo. LIBOR US + 2.20%), 2.31%, 01/25/30 | 372 | 372,583 | ||||||
Series 2017-C06, Class 1M2A, (1 mo. LIBOR US + 2.65%), 2.76%, 02/25/30 | 176 | 177,798 | ||||||
Series 2017-C07, Class 2M2, (1 mo. LIBOR US + 2.50%), 2.61%, 05/25/30 | 2,971 | 2,986,101 | ||||||
Series 2018-C02, Class 2ED2, (1 mo. LIBOR US + 0.90%), 1.01%, 08/25/30 | 5,707 | 5,609,934 | ||||||
Freddie Mac STACR REMIC Trust(c) | ||||||||
Series 2019-HQA4, Class M2, (1 mo. LIBOR US + 2.05%), 2.16%, 11/25/49 | 7,344 | 7,344,002 | ||||||
Series 2020-DNA1, Class M2, (1 mo. LIBOR US + 1.70%), 1.81%, 01/25/50 | 6,902 | 6,878,826 | ||||||
Series 2020-DNA2, Class M1, (1 mo. LIBOR US + 0.75%), 0.86%, 02/25/50 | 3,598 | 3,597,096 | ||||||
Series 2020-HQA1, Class M2, (1 mo. LIBOR US + 1.90%), 2.01%, 01/25/50 | 7,852 | 7,837,147 | ||||||
Freddie Mac STACR Trust(c) | ||||||||
Series 2018-HQA2, Class M2, (1 mo. LIBOR US + 2.30%), 2.41%, 10/25/48 | 8,400 | 8,399,994 | ||||||
Series 2019-DNA2, Class M2, (1 mo. LIBOR US + 2.45%), 2.56%, 03/25/49 | 1,639 | 1,640,679 | ||||||
Series 2019-DNA4, Class M2, (1 mo. LIBOR US + 1.95%), 2.06%, 10/25/49 | 7,250 | 7,242,797 | ||||||
Series 2019-FTR2, Class M1, (1 mo. LIBOR US + 0.95%), 1.06%, 11/25/48 | 2,462 | 2,463,972 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac STACR Trust(c) (continued) | ||||||||
Series 2019-HQA1, Class M2, (1 mo. LIBOR US + 2.35%), 2.46%, 02/25/49 | $ | 7,537 | $ | 7,550,476 | ||||
Series 2019-HQA2, Class M2, (1 mo. LIBOR US + 2.05%), 2.16%, 04/25/49 | 1,280 | 1,276,550 | ||||||
Series 2019-HQA3, Class M2, (1 mo. LIBOR US + 1.85%), 1.96%, 09/25/49 | 5,211 | 5,182,288 | ||||||
Series 2020-DNA4, Class M1, (1 mo. LIBOR US + 1.50%), 1.61%, 08/25/50 | 840 | 840,448 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2016-DNA2, Class M3, (1 mo. LIBOR US + 4.65%), 4.76%, 10/25/28 | 1,725 | 1,805,436 | ||||||
Series 2016-HQA3, Class M2, (1 mo. LIBOR US + 1.35%), 1.46%, 03/25/29 | 14 | 13,987 | ||||||
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.50%), 2.61%, 03/25/30 | 1,460 | 1,487,715 | ||||||
|
| |||||||
87,171,797 | ||||||||
Mortgage-Backed Securities — 31.5% | ||||||||
Fannie Mae | ||||||||
Series 2012-M13, Class A2, 2.38%, 05/25/22 | 2,036 | 2,072,286 | ||||||
Series 2012-M5, Class A2, 2.72%, 02/25/22 | 741 | 747,443 | ||||||
Series 2012-M9, Class A2, 2.48%, 04/25/22 | 2,638 | 2,672,039 | ||||||
Series 2013-M3, Class A2, 2.51%, 11/25/22(a) | 3,499 | 3,577,039 | ||||||
Series 2016-M13, Class A2, 2.48%, 09/25/26(a) | 800 | 844,547 | ||||||
Series 2018-M1, Class A2, 2.98%, 12/25/27(a) | 1,590 | 1,735,810 | ||||||
Series 2018-M7, Class A2, 3.05%, 03/25/28(a) | 1,590 | 1,731,690 | ||||||
Series 2020-M42, Class A2, 1.27%, 07/25/30 | 4,980 | 4,719,755 | ||||||
Federal National Mortgage Association | ||||||||
3.50%, 01/25/24 - 05/01/50(a) | 6,372 | 6,768,551 | ||||||
2.50%, 11/01/34 - 02/01/51 | 10,230 | 10,542,011 | ||||||
3.00%, 03/01/35 - 10/01/50 | 2,619 | 2,760,711 | ||||||
2.00%, 02/01/36 - 02/01/51 | 13,866 | 13,943,875 | ||||||
Freddie Mac | 2,915 | 3,142,586 | ||||||
2.00%, 02/01/36 - 03/01/51 | 9,434 | 9,498,298 | ||||||
2.50%, 01/01/51 | 1,865 | 1,917,709 | ||||||
Series K020, Class A2, 2.37%, 05/25/22 | 7,960 | 8,111,143 | ||||||
Series K031, Class A2, 3.30%, 04/25/23(a) | 281 | 296,745 | ||||||
Series K055, Class A2, 2.67%, 03/25/26 | 1,590 | 1,701,013 | ||||||
Series K060, Class A2, 3.30%, 10/25/26 | 1,190 | 1,314,594 | ||||||
Series K061, Class A2, 3.35%, 11/25/26(a) | 1,590 | 1,761,632 | ||||||
Series K064, Class A2, 3.22%, 03/25/27 | 2,790 | 3,071,429 | ||||||
Series K072, Class A2, 3.44%, 12/25/27 | 1,190 | 1,329,564 | ||||||
Series K073, Class A2, 3.35%, 01/25/28 | 1,610 | 1,789,828 | ||||||
Series K076, Class A2, 3.90%, 04/25/28 | 2,390 | 2,738,315 | ||||||
Series K115, Class A2, 1.38%, 06/25/30 | 4,940 | 4,739,466 | ||||||
Freddie Mac Mortgage-Backed Securities(a)(c) | ||||||||
Series 2021-DNA1, Class M1, (30 day SOFR + 0.65%), 0.67%, 01/25/51 | 7,050 | 7,041,543 | ||||||
Series 2021-HQA1, Class M1, (30 day SOFR + 0.70%), 0.72%, 08/25/33 | 5,690 | 5,682,914 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K090, Class A2, 3.42%, 02/25/29 | 2,935 | 3,275,386 | ||||||
Series K106, Class A2, 2.07%, 01/25/30 | 4,510 | 4,597,832 | ||||||
Freddie Mac Multifamily Structured Pass-Through | ||||||||
Certificates, Series K025, Class A2, 2.68%, 10/25/22 | 3,980 | 4,103,668 | ||||||
Ginnie Mae Mortgage-Backed Securities 6.50%, 06/15/28 - 07/15/38 | 71 | 83,525 |
12 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Ginnie Mae Mortgage-Backed Securities (continued) | ||||||||
7.50%, 08/20/30 | $ | 3 | $ | 3,205 | ||||
6.00%, 01/15/32 - 10/20/38 | 181 | 209,921 | ||||||
5.00%, 11/20/33 - 04/21/51(f) | 2,140 | 2,426,142 | ||||||
5.50%, 06/15/34 - 04/20/48 | 601 | 703,206 | ||||||
4.50%, 03/15/39 - 04/21/51(f) | 4,352 | 4,761,263 | ||||||
4.00%, 09/15/40 - 09/15/49 | 11,031 | 11,961,469 | ||||||
3.50%, 01/15/41 - 04/21/51(f) | 22,908 | 24,627,692 | ||||||
3.00%, 01/20/43 - 05/20/51(f) | 20,834 | 21,892,727 | ||||||
2.50%, 12/20/46 - 04/21/51(f) | 14,308 | 14,769,055 | ||||||
2.00%, 04/21/51(f) | 8,500 | 8,582,344 | ||||||
Government National Mortgage Association | ||||||||
3.00%, 12/20/45 - 12/20/50 | 2,721 | 2,875,630 | ||||||
2.50%, 02/20/51 | 922 | 951,969 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
6.00%, 07/01/21 - 09/01/38 | 1,113 | 1,302,207 | ||||||
4.50%, 04/01/23 - 04/14/51(f) | 14,939 | 16,424,482 | ||||||
5.00%, 07/01/23 - 04/01/49 | 4,279 | 4,867,948 | ||||||
4.00%, 06/01/24 - 02/01/57(f) | 35,634 | 38,794,517 | ||||||
3.50%, 04/01/26 - 11/01/51(f) | 45,950 | 49,308,893 | ||||||
3.00%, 12/01/26 - 04/14/51(f)(g) | 72,140 | 75,700,425 | ||||||
2.50%, 02/01/27 - 04/14/51(f) | 59,753 | 61,884,746 | ||||||
6.50%, 06/01/29 - 08/01/36 | 950 | 1,107,381 | ||||||
7.50%, 09/01/29 - 12/01/30 | 3 | 3,784 | ||||||
7.00%, 01/01/32 - 06/01/32 | 20 | 22,563 | ||||||
5.50%, 10/01/32 - 01/01/47 | 3,677 | 4,276,610 | ||||||
2.00%, 12/01/35 - 05/13/51(f) | 33,407 | 33,537,871 | ||||||
1.50%, 04/19/36 - 04/14/51(f) | 13,200 | 12,977,200 | ||||||
(1 year CMT + 2.34%), 3.63%, 04/01/32(a) | 26 | 26,030 | ||||||
(11th District Cost of Funds + 1.25%), 1.71%, 11/01/27(a) | 67 | 66,810 | ||||||
(11th District Cost of Funds + 1.25%), 1.74%, 09/01/34(a) | 121 | 122,100 | ||||||
(12 mo. LIBOR US + 1.44%), 1.82%, 04/01/35(a) | 35 | 34,844 | ||||||
(12 mo. LIBOR US + 1.50%), 2.37%, 06/01/43(a) | 2 | 2,395 | ||||||
(12 mo. LIBOR US + 1.53%), 2.84%, 05/01/43(a) | 28 | 29,621 | ||||||
(12 mo. LIBOR US + 1.54%), 2.43%, 06/01/43(a) | 46 | 48,046 | ||||||
(12 mo. LIBOR US + 1.60%), 2.37%, 08/01/43(a) | 17 | 17,299 | ||||||
(12 mo. LIBOR US + 1.65%), 2.45%, 05/01/43(a) | 67 | 69,732 | ||||||
(12 mo. LIBOR US + 1.71%), 3.46%, 04/01/40(a) | 3 | 3,160 | ||||||
(12 mo. LIBOR US + 1.75%), 3.58%, 04/01/38(a) | 50 | 50,483 | ||||||
(12 mo. LIBOR US + 1.75%), 2.13%, 02/01/40(a) | 28 | 28,656 | ||||||
(12 mo. LIBOR US + 1.75%), 2.56%, 08/01/41(a) | 26 | 26,885 | ||||||
(12 mo. LIBOR US + 1.77%), 2.15%, 01/01/42(a) | 13 | 14,094 | ||||||
(12 mo. LIBOR US + 1.78%), 2.51%, 08/01/41(a) | 27 | 28,008 | ||||||
(12 mo. LIBOR US + 1.79%), 2.68%, 09/01/32(a) | 2 | 2,223 | ||||||
(12 mo. LIBOR US + 1.81%), 2.18%, 02/01/42(a) | 1 | 1,105 | ||||||
(12 mo. LIBOR US + 1.82%), 2.32%, 09/01/41(a) | 26 | 27,590 | ||||||
(12 mo. LIBOR US + 1.89%), 2.75%, 07/01/41(a) | 24 | 25,711 | ||||||
(12 mo. LIBOR US + 1.90%), 2.32%, 01/01/42(a) | 1 | 1,007 | ||||||
(6 mo. LIBOR US + 1.04%), 1.29%, 05/01/33(a) | 4 | 3,589 | ||||||
(6 mo. LIBOR US + 1.36%), 1.61%, 10/01/32(a) | 13 | 12,590 | ||||||
|
| |||||||
512,928,175 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 36.9% |
| 600,099,972 | ||||||
|
| |||||||
Total Long-Term Investments — 103.0% | 1,676,733,196 | |||||||
|
|
Security | Shares | Value | ||||||
Short-Term Securities |
| |||||||
Money Market Funds — 3.6% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.14%(h)(i)(j) | 59,182,490 | $ | 59,217,999 | |||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.02%(h)(i) | 100,000 | 100,000 | ||||||
|
| |||||||
Total Short-Term Securities — 3.6% |
| 59,317,999 | ||||||
|
| |||||||
Total Investments Before TBA Sale |
| 1,736,051,195 | ||||||
|
| |||||||
Par (000) | ||||||||
TBA Sale Commitments |
| |||||||
Mortgage-Backed Securities — (0.2)% | ||||||||
Ginnie Mae Mortgage-Backed Securities, | $ | (175 | ) | (182,308 | ) | |||
Uniform Mortgage-Backed Securities(f) | ||||||||
2.50%, 04/19/36 | (2,000 | ) | (2,080,859 | ) | ||||
3.50%, 04/14/51 | (1,000 | ) | (1,056,367 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (0.2)% | (3,319,534 | ) | ||||||
|
| |||||||
Total Investments, Net of TBA Sale |
| 1,732,731,661 | ||||||
Liabilities in Excess of Other Assets — (6.4)% | (104,837,716 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,627,893,945 | ||||||
|
|
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Amount is less than 500. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | All or a portion of this security is on loan. |
(f) | Represents or includes a TBA transaction. |
(g) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(h) | Affiliate of the Master Portfolio. |
(i) | Annualized 7-day yield as of period end. |
(j) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 13 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio |
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended March 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/20 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 03/31/21 | Shares Held at 03/31/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, | $ | 104,962,761 | $ | — | $ | (45,749,089 | )(a) | $ | 4,353 | $ | (26 | ) | $ | 59,217,999 | 59,182,490 | $ | 35,990 | (b) | $ | — | ||||||||||||||||
BlackRock Cash Funds: Treasury, | 100,000 | — | — | — | — | 100,000 | 100,000 | 5 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 4,353 | $ | (26 | ) | $ | 59,317,999 | $ | 35,995 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro BTP | 17 | 06/08/21 | $ | 2,977 | $ | 15,516 | ||||||||||
Euro Bund Futures | 424 | 06/08/21 | 85,165 | (44,842 | ) | |||||||||||
Euro OAT | 100 | 06/08/21 | 18,992 | (44,120 | ) | |||||||||||
10-Year Australian T-Bond | 1,308 | 06/15/21 | 137,215 | (700,181 | ) | |||||||||||
U.S. Long Bond | 439 | 06/21/21 | 67,867 | (136,966 | ) | |||||||||||
U.S. Ultra Bond | 309 | 06/21/21 | 55,997 | (2,456,432 | ) | |||||||||||
2-Year U.S. Treasury Note | 93 | 06/30/21 | 20,528 | (9,185 | ) | |||||||||||
5-Year U.S. Treasury Note | 82 | 06/30/21 | 10,119 | (40,239 | ) | |||||||||||
|
| |||||||||||||||
(3,416,449 | ) | |||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
10-Year Canada Bond | 548 | 06/21/21 | 60,512 | 1,511,138 | ||||||||||||
10-Year U.S. Treasury Note | 693 | 06/21/21 | 90,740 | 1,439,465 | ||||||||||||
10-Year U.S. Ultra Long Treasury Note | 454 | 06/21/21 | 65,234 | 2,503,998 | ||||||||||||
Long Gilt | 673 | 06/28/21 | 118,378 | 207,872 | ||||||||||||
|
| |||||||||||||||
5,662,473 | ||||||||||||||||
|
| |||||||||||||||
$ | 2,246,024 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 123,803 | AUD | 160,000 | HSBC Bank USA N.A. | 06/16/21 | $ | 2,237 | |||||||||||||
USD | 781,697 | AUD | 1,010,000 | Westpac Banking Corp. | 06/16/21 | 14,314 | ||||||||||||||
USD | 263,320 | EUR | 220,000 | Morgan Stanley & Co. International PLC | 06/16/21 | 4,940 | ||||||||||||||
USD | 2,534,709 | EUR | 2,120,000 | Morgan Stanley & Co. International PLC | 06/16/21 | 44,863 | ||||||||||||||
USD | 298,066 | EUR | 250,000 | Westpac Banking Corp. | 06/16/21 | 4,452 | ||||||||||||||
USD | 250,569 | GBP | 180,000 | BNP Paribas S.A. | 06/16/21 | 2,368 | ||||||||||||||
USD | 457,340 | GBP | 330,000 | BNP Paribas S.A. | 06/16/21 | 2,304 | ||||||||||||||
GBP | 6,500,000 | USD | 8,851,626 | HSBC Bank USA N.A. | 07/06/21 | 111,869 | ||||||||||||||
USD | 8,986,724 | GBP | 6,500,000 | Goldman Sachs International | 07/06/21 | 23,230 | ||||||||||||||
|
| |||||||||||||||||||
210,577 | ||||||||||||||||||||
|
| |||||||||||||||||||
USD | 246,964 | GBP | 180,000 | Royal Bank of Canada | 06/16/21 | (1,238 | ) | |||||||||||||
USD | 440,746 | GBP | 320,000 | Royal Bank of Canada | 06/16/21 | (501 | ) |
14 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio |
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 520,742 | GBP | 380,000 | Royal Bank of Canada | 06/16/21 | $ | (3,238 | ) | ||||||||||||
AUD | 15,000,000 | USD | 11,708,832 | Deutsche Bank AG | 06/17/21 | (312,018 | ) | |||||||||||||
|
| |||||||||||||||||||
(316,995 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (106,418 | ) | ||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Master Portfolio | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
CDX.NA.IG.36.V1 | 1.00 | % | Quarterly | 06/20/26 | USD | 131,000 | $ | (3,098,906 | ) | $ | (2,746,617 | ) | $ | (352,289 | ) | |||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Master Portfolio | Received by the Master Portfolio | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
6-Month GBP LIBOR, 0.11% | Annual | 0.11% | Annual | N/A | 03/20/23 | GBP | 213,660 | $ | 24,479 | $ | 873 | $ | 23,606 | |||||||||||||||||
(0.50%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | N/A | 03/22/23 | EUR | 43,590 | (7,024 | ) | 245 | (7,269 | ) | ||||||||||||||||||
0.26% | Semi-Annual | 3-Month LIBOR, 0.19% | Quarterly | N/A | 03/22/23 | USD | 56,020 | 19,391 | 262 | 19,129 | ||||||||||||||||||||
(0.50%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | N/A | 03/23/23 | EUR | 10,750 | 464 | 60 | 404 | ||||||||||||||||||||
0.26% | Semi-Annual | 3-Month LIBOR, 0.19% | Quarterly | N/A | 03/23/23 | USD | 14,230 | 4,303 | (1,841 | ) | 6,144 | |||||||||||||||||||
(0.50%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | N/A | 03/24/23 | EUR | 40,120 | 670 | (4,263 | ) | 4,933 | |||||||||||||||||||
(0.51%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | N/A | 03/29/23 | EUR | 56,110 | 9,354 | (5,172 | ) | 14,526 | |||||||||||||||||||
(0.51%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | N/A | 03/31/23 | EUR | 34,640 | 10,106 | 2,691 | 7,415 | ||||||||||||||||||||
(0.48%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | 06/08/21 | (a) | 06/08/23 | EUR | 105,680 | (31,958 | ) | 10,230 | (42,188 | ) | |||||||||||||||||
0.06% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 06/08/21 | (a) | 06/08/23 | GBP | 309,490 | 704,200 | 41,470 | 662,730 | |||||||||||||||||||
0.28% | Semi-Annual | 6-Month LIBOR, 0.21% | Quarterly | 06/08/21 | (a) | 06/08/23 | USD | 154,680 | 106,934 | 61,727 | 45,207 | |||||||||||||||||||
0.18% | Annual | 6-Month LIBOR, 0.21% | Annual | N/A | 10/20/25 | USD | 2,500 | 61,881 | — | 61,881 | ||||||||||||||||||||
6-Month LIBOR, 0.21% | Annual | 0.18% | Annual | N/A | 10/20/25 | USD | 2,500 | (58,212 | ) | — | (58,212 | ) | ||||||||||||||||||
(0.31%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | 06/08/21 | (a) | 06/08/26 | EUR | 41,770 | 34,505 | 23,582 | 10,923 | |||||||||||||||||||
6-Month GBP LIBOR, 0.11% | Annual | 0.32% | Annual | 06/08/21 | (a) | 06/08/26 | GBP | 447,440 | (5,234,918 | ) | (1,441,350 | ) | (3,793,568 | ) | ||||||||||||||||
0.98% | Semi-Annual | 6-Month LIBOR, 0.21% | Quarterly | 06/08/21 | (a) | 06/08/26 | USD | 74,180 | 506,077 | 188,751 | 317,326 | |||||||||||||||||||
1-Month MXIBOR, 4.29% | Monthly | 5.78% | Monthly | 09/15/21 | (a) | 09/09/26 | MXN | 252,310 | (304,841 | ) | 109 | (304,950 | ) | |||||||||||||||||
1-Month MXIBOR, 4.29% | Monthly | 6.26% | Monthly | 09/15/21 | (a) | 09/09/26 | MXN | 25,180 | (4,725 | ) | 11 | (4,736 | ) | |||||||||||||||||
1-Month MXIBOR, 4.29% | Monthly | 6.38% | Monthly | 09/15/21 | (a) | 09/09/26 | MXN | 19,010 | 1,162 | 8 | 1,154 | |||||||||||||||||||
(0.27%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | 09/15/21 | (a) | 09/15/26 | EUR | 2,420 | 2,312 | 32 | 2,280 | |||||||||||||||||||
(0.26%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | 09/15/21 | (a) | 09/15/26 | EUR | 23,930 | 4,005 | 16,624 | (12,619 | ) | ||||||||||||||||||
(0.26%) | Annual | 6-Month EURIBOR, (0.51%) | Semi-Annual | 09/15/21 | (a) | 09/15/26 | EUR | 1,360 | 42 | 18 | 24 | |||||||||||||||||||
0.40% | Annual | 3-Month STIBOR, 0.00% | Quarterly | 09/15/21 | (a) | 09/15/26 | SEK | 24,850 | 1,850 | 33 | 1,817 | |||||||||||||||||||
0.40% | Annual | 3-Month STIBOR, 0.00% | Quarterly | 09/15/21 | (a) | 09/15/26 | SEK | 21,710 | 1,708 | (409 | ) | 2,117 | ||||||||||||||||||
0.41% | Annual | 3-Month STIBOR, 0.00% | Quarterly | 09/15/21 | (a) | 09/15/26 | SEK | 17,240 | (51 | ) | 22 | (73 | ) | |||||||||||||||||
0.43% | Annual | 3-Month STIBOR, 0.00% | Quarterly | 09/15/21 | (a) | 09/15/26 | SEK | 20,540 | (1,827 | ) | 27 | (1,854 | ) | |||||||||||||||||
0.48% | Annual | 3-Month STIBOR, 0.00% | Quarterly | 09/15/21 | (a) | 09/15/26 | SEK | 25,740 | (10,702 | ) | (262 | ) | (10,440 | ) | ||||||||||||||||
0.48% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 09/15/21 | (a) | 09/15/26 | GBP | 13,050 | 59,979 | 17,372 | 42,607 | |||||||||||||||||||
0.51% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 09/15/21 | (a) | 09/15/26 | GBP | 970 | 2,719 | (32 | ) | 2,751 | ||||||||||||||||||
0.52% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 09/15/21 | (a) | 09/15/26 | GBP | 1,010 | 1,731 | 16 | 1,715 | |||||||||||||||||||
0.53% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 09/15/21 | (a) | 09/15/26 | GBP | 1,070 | 1,417 | 16 | 1,401 | |||||||||||||||||||
0.57% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 09/15/21 | (a) | 09/15/26 | GBP | 920 | (1,195 | ) | 14 | (1,209 | ) | |||||||||||||||||
0.99% | Semi-Annual | 6-Month BBR, 0.85% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | AUD | 4,750 | 22,379 | 40 | 22,339 | |||||||||||||||||||
1.04% | Semi-Annual | 6-Month BBR, 0.85% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | AUD | 1,596 | 4,512 | 14 | 4,498 | |||||||||||||||||||
1.08% | Semi-Annual | 3-Month LIBOR, 0.21% | Quarterly | 09/15/21 | (a) | 09/15/26 | USD | 10,160 | 79,186 | 23,503 | 55,683 | |||||||||||||||||||
1.08% | Semi-Annual | 3-Month LIBOR, 0.21% | Quarterly | 09/15/21 | (a) | 09/15/26 | USD | 1,970 | 14,906 | 22 | 14,884 | |||||||||||||||||||
1.09% | Semi-Annual | 6-Month BBR, 0.85% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | AUD | 1,597 | 1,890 | 14 | 1,876 | |||||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.10% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 11,280 | (9,502 | ) | 16 | (9,518 | ) | |||||||||||||||||
1.10% | Semi-Annual | 3-Month LIBOR, 0.19% | Quarterly | 09/15/21 | (a) | 09/15/26 | USD | 2,110 | 14,618 | 24 | 14,594 | |||||||||||||||||||
1.10% | Semi-Annual | 6-Month BBR, 0.85% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | AUD | 4,840 | 3,560 | 41 | 3,519 |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 15 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Master Portfolio | Received by the Master Portfolio | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.11% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 24,340 | $ | (17,731 | ) | $ | 35 | $ | (17,766 | ) | ||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.11% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 11,740 | (8,923 | ) | 17 | (8,940 | ) | |||||||||||||||||
1.11% | Semi-Annual | 3-Month LIBOR, 0.21% | Quarterly | 09/15/21 | (a) | 09/15/26 | USD | 1,290 | 8,271 | 14 | 8,257 | |||||||||||||||||||
1.11% | Semi-Annual | 6-Month BBR, 0.85% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | AUD | 1,597 | 758 | 14 | 744 | |||||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.12% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 41,730 | (27,760 | ) | 60 | (27,820 | ) | |||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.12% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 16,630 | (11,115 | ) | 24 | (11,139 | ) | |||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.13% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 45,300 | (27,126 | ) | 65 | (27,191 | ) | |||||||||||||||||
3-Month HIBOR, 0.23% | Quarterly | 1.16% | Quarterly | 09/15/21 | (a) | 09/15/26 | HKD | 11,680 | (5,147 | ) | 17 | (5,164 | ) | |||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 1.20% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | SGD | 6,945 | (31,580 | ) | 48 | (31,628 | ) | |||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 1.20% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | SGD | 6,945 | (31,200 | ) | 47 | (31,247 | ) | |||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 1.26% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | SGD | 1,680 | (3,619 | ) | 12 | (3,631 | ) | |||||||||||||||||
1.32% | Annual | 6-Month WIBOR, 0.15% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | PLN | 20,570 | 37,581 | 49 | 37,532 | |||||||||||||||||||
3-Month CAD BA, 0.00% | Semi-Annual | 1.58% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | CAD | 22,600 | (42,209 | ) | (18,879 | ) | (23,330 | ) | ||||||||||||||||
3-Month CAD BA, 0.00% | Semi-Annual | 1.59% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | CAD | 4,920 | (7,337 | ) | 44 | (7,381 | ) | |||||||||||||||||
3-Month CAD BA, 0.00% | Semi-Annual | 1.64% | Semi-Annual | 09/15/21 | (a) | 09/15/26 | CAD | 1,790 | 758 | 16 | 742 | |||||||||||||||||||
3-Month JIBAR, 3.68% | Quarterly | 6.44% | Quarterly | 09/15/21 | (a) | 09/15/26 | ZAR | 23,190 | (963 | ) | 14 | (977 | ) | |||||||||||||||||
6-Month LIBOR, 0.21% | Annual | 0.54% | Annual | N/A | 10/21/30 | USD | 1,250 | (104,021 | ) | — | (104,021 | ) | ||||||||||||||||||
0.55% | Annual | 6-Month LIBOR, 0.21% | Annual | N/A | 10/21/30 | USD | 1,250 | 108,225 | — | 108,225 | ||||||||||||||||||||
0.71% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | N/A | 03/10/31 | GBP | 9,860 | 116,943 | 26,318 | 90,625 | ||||||||||||||||||||
0.85% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | N/A | 03/18/31 | GBP | 23,750 | (143,116 | ) | 1,292 | (144,408 | ) | ||||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.06% | Annual | N/A | 03/24/31 | EUR | 5,720 | (7,932 | ) | 4,286 | (12,218 | ) | ||||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.08% | Annual | N/A | 03/24/31 | EUR | 6,030 | 8,043 | 124 | 7,919 | ||||||||||||||||||||
0.81% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | N/A | 03/24/31 | GBP | 3,510 | (143 | ) | (3,195 | ) | 3,052 | ||||||||||||||||||
3-Month LIBOR, 0.19% | Quarterly | 1.76% | Semi-Annual | N/A | 03/24/31 | USD | 6,050 | (3,631 | ) | 104 | (3,735 | ) | ||||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.02% | Annual | N/A | 03/31/31 | EUR | 7,320 | (45,280 | ) | 30,091 | (75,371 | ) | ||||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.02% | Annual | N/A | 03/31/31 | EUR | 3,080 | (19,575 | ) | (5,246 | ) | (14,329 | ) | |||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.04% | Annual | 06/08/21 | (a) | 06/09/31 | EUR | 10,490 | (73,881 | ) | (23,789 | ) | (50,092 | ) | ||||||||||||||||
0.66% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 06/08/21 | (a) | 06/09/31 | GBP | 192,420 | 4,297,184 | 2,311,416 | 1,985,768 | |||||||||||||||||||
0.77% | Annual | 6-Month GBP LIBOR, 0.11% | Annual | 06/08/21 | (a) | 06/09/31 | GBP | 18,460 | 142,056 | 93,045 | 49,011 | |||||||||||||||||||
1.67% | Semi-Annual | 6-Month LIBOR, 0.21% | Quarterly | 06/08/21 | (a) | 06/09/31 | USD | 7,490 | 100,615 | 58,949 | 41,666 | |||||||||||||||||||
0.74% | Annual | 6-Month LIBOR, 0.21% | Annual | N/A | 10/22/35 | USD | 500 | 65,967 | — | 65,967 | ||||||||||||||||||||
6-Month LIBOR, 0.21% | Annual | 0.78% | Annual | N/A | 10/22/35 | USD | 500 | (66,753 | ) | — | (66,753 | ) | ||||||||||||||||||
0.84% | Annual | 6-Month LIBOR, 0.21% | Annual | N/A | 10/22/40 | USD | 1,000 | 168,281 | — | 168,281 | ||||||||||||||||||||
6-Month LIBOR, 0.21% | Annual | 0.90% | Annual | N/A | 10/22/40 | USD | 1,000 | (167,854 | ) | — | (167,854 | ) | ||||||||||||||||||
0.90% | Annual | 6-Month LIBOR, 0.21% | Annual | N/A | 10/20/50 | USD | 500 | 114,952 | — | 114,952 | ||||||||||||||||||||
6-Month LIBOR, 0.21% | Annual | 0.98% | Annual | N/A | 10/20/50 | USD | 500 | (112,397 | ) | — | (112,397 | ) | ||||||||||||||||||
6-Month EURIBOR, (0.51%) | Semi-Annual | 0.40% | Annual | 06/08/21 | (a) | 06/08/51 | EUR | 7,120 | (230,374 | ) | (58,313 | ) | (172,061 | ) | ||||||||||||||||
6-Month GBP LIBOR, 0.11% | Annual | 0.86% | Annual | 06/08/21 | (a) | 06/08/51 | GBP | 6,700 | (300,549 | ) | (373,072 | ) | 72,523 | |||||||||||||||||
6-Month GBP LIBOR, 0.11% | Annual | 0.93% | Annual | 06/08/21 | (a) | 06/08/51 | GBP | 6,850 | (140,945 | ) | (73,188 | ) | (67,757 | ) | ||||||||||||||||
3-Month LIBOR, 0.19% | Quarterly | 2.07% | Semi-Annual | 06/08/21 | (a) | 06/08/51 | USD | 21,210 | (654,309 | ) | (386,100 | ) | (268,209 | ) | ||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||
$ | (1,080,451 | ) | $ | 518,857 | $ | (1,599,308 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
Centrally Cleared Inflation Swaps
Paid by the Master Portfolio | Received by the Master Portfolio | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized (Depreciation) | ||||||||||||||||||||
Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||
2.27% | Quarterly | 6-Month LIBOR | Quarterly | 03/02/26 | USD | 46,680 | $ | (642,031 | ) | $ | 552 | $ | (642,583 | ) | ||||||||||||
2.33% | Quarterly | 6-Month LIBOR | Quarterly | 02/22/31 | USD | 24,170 | (452,030 | ) | 502 | (452,532 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (1,094,061 | ) | $ | 1,054 | $ | (1,095,115 | ) | |||||||||||||||||||
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|
|
|
|
|
16 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio |
OTC Interest Rate Swaps
Paid by the Master Portfolio | Received by the | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront (Received) | Unrealized (Depreciation) | ||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
3-Month KRW CDC, 0.76% | Quarterly | 1.51% | Quarterly | Bank of America N.A. | N/A | 09/15/26 | KRW | 1,267,796 | $ | (4,258 | ) | $ | — | $ | (4,258 | ) | ||||||||||||||
3-Month KRW CDC, 0.76% | Quarterly | 1.53% | Quarterly | Bank of America N.A. | N/A | 09/15/26 | KRW | 1,170,274 | (3,240 | ) | — | (3,240 | ) | |||||||||||||||||
3-Month KRW CDC, 0.76% | Quarterly | 1.56% | Quarterly | Citibank N.A. | N/A | 09/15/26 | KRW | 717,730 | (842 | ) | — | (842 | ) | |||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||
$ | (8,340 | ) | $ | — | $ | (8,340 | ) | |||||||||||||||||||||||
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|
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Master Portfolio’s investments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 183,694,832 | $ | — | $ | 183,694,832 | ||||||||
Common Stocks | — | — | 1 | 1 | ||||||||||||
Corporate Bonds | — | 704,728,732 | — | 704,728,732 | ||||||||||||
Foreign Agency Obligations | — | 7,209,684 | — | 7,209,684 | ||||||||||||
Municipal Bonds | — | 13,203,502 | — | 13,203,502 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 167,796,473 | — | 167,796,473 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 600,099,972 | — | 600,099,972 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 59,317,999 | — | — | 59,317,999 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
TBA Sale Commitments | — | (3,319,534 | ) | — | (3,319,534 | ) | ||||||||||
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| |||||||||
$ | 59,317,999 | $ | 1,673,413,661 | $ | 1 | $ | 1,732,731,661 | |||||||||
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| |||||||||
Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 210,577 | $ | — | $ | 210,577 | ||||||||
Interest Rate Contracts | 5,677,989 | 4,102,747 | — | 9,780,736 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (352,289 | ) | — | (352,289 | ) |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 17 |
Schedule of Investments (unaudited) (continued) March 31, 2021 | CoreAlpha Bond Master Portfolio |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities (continued) | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (316,995 | ) | $ | — | $ | (316,995 | ) | ||||||
Interest Rate Contracts | (3,431,965 | ) | (5,710,395 | ) | — | (9,142,360 | ) | |||||||||
Other Contracts | — | (1,095,115 | ) | — | (1,095,115 | ) | ||||||||||
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|
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|
|
|
| |||||||||
$ | 2,246,024 | $ | (3,161,470 | ) | $ | — | $ | (915,446 | ) | |||||||
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(a) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Currency Abbreviation
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
Portfolio Abbreviation
ARB | Airport Revenue Bonds | |
BAB | Build America Bond | |
BBR | Bank Bill Rate | |
CMT | Constant Maturity Treasury | |
EURIBOR | Euro Interbank Offered Rate | |
GO | General Obligation Bonds | |
HIBOR | Hong Kong Interbank Offered Rate | |
JIBAR | Johannesburg Interbank Average Rate | |
LIBOR | London Interbank Offered Rate | |
MXIBOR | Mexico Interbank Offered Rate | |
RB | Revenue Bond | |
REMIC | Real Estate Mortgage Investment Conduit | |
SIBOR | Singapore Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
STIBOR | Stockholm Interbank Offered Rate | |
TBA | To-Be-Announced | |
WIBOR | Warsaw Interbank Offered Rate |
18 |