Schedule of Investments (unaudited) September 30, 2021 | BlackRock CoreAlpha Bond Fund (Percentages shown are based on Net Assets) |
Mutual Fund | Value | |||
| ||||
CoreAlpha Bond Fund of Master Investment Portfolio | $ | 1,425,742,214 | ||
|
| |||
Total Investments — 100.0% | 1,425,742,214 | |||
Liabilities in Excess of Other Assets — (0.0)% | (348,816 | ) | ||
|
| |||
Net Assets — 100.0% | $ | 1,425,393,398 | ||
|
|
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 September 30, 2021, the value of the investment and the percentage owned by the Fund of the Master Portfolio was $1,425,742,214 and 91.5%, 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.
1 |
Schedule of Investments (unaudited) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
ACC Auto Trust, Series 2021-A, Class A, 1.08%, 04/15/27(a) | $ | 4,819 | $ | 4,823,425 | ||||
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.18%, 07/18/23 | 1,270 | 1,285,427 | ||||||
Avant Loans Funding Trust(a) | ||||||||
Series 2020-REV1, Class A, 2.17%, 05/15/29 | 8,630 | 8,673,506 | ||||||
Series 2021-REV1, Class A, 1.21%, 07/15/30 | 5,460 | 5,461,927 | ||||||
Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 02/15/24(a) | 159 | 158,852 | ||||||
Carvana Auto Receivables Trust | ||||||||
Series 2021-N2, Class B, 0.75%, 03/10/28 | 1,502 | 1,498,169 | ||||||
Series 2021-N2, Class C, 1.07%, 03/10/28 | 3,686 | 3,690,154 | ||||||
Chase Funding Trust, Series 2004-2, Class 2A2, (1 mo. LIBOR US + 0.50%), 0.59%, 02/26/35(b) | 120 | 117,470 | ||||||
College Loan Corp. Trust I, Series 2004-1, Class A4, (3 mo. LIBOR US + 0.19%), 0.32%, 04/25/24(b) | 420 | 420,174 | ||||||
Conseco Finance Corp., Series 1996-9, Class M1, 7.63%, 08/15/27(b) | 27 | 28,083 | ||||||
Consumer Loan Underlying Bond CLUB Credit Trust(a) | ||||||||
Series 2019-HP1, Class A, 2.59%, 12/15/26 | 1,555 | 1,565,164 | ||||||
Series 2020-P1, Class A, 2.26%, 03/15/28 | 738 | 739,039 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-1, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 03/25/34(b) | 8 | 7,987 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2017-1, Class D, 3.84%, 03/15/23 | 54 | 53,883 | ||||||
Series 2017-2, Class D, 3.49%, 09/15/23 | 89 | 89,605 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/23(a) | 1,154 | 1,160,203 | ||||||
Series 2018-3, Class D, 4.30%, 09/16/24 | 3,032 | 3,083,780 | ||||||
Series 2018-4, Class D, 4.09%, 01/15/26 | 1,197 | 1,224,435 | ||||||
Series 2019-2, Class C, 3.42%, 06/16/25 | 6,089 | 6,155,038 | ||||||
Series 2020-1, Class C, 2.36%, 03/16/26 | 7,240 | 7,339,951 | ||||||
Series 2020-2, Class A3, 0.83%, 05/15/24 | 717 | 717,849 | ||||||
Series 2020-2, Class B, 1.42%, 03/17/25 | 2,950 | 2,966,055 | ||||||
Series 2020-2, Class C, 2.28%, 08/17/26 | 1,890 | 1,924,832 | ||||||
Series 2021-1, Class C, 1.02%, 06/15/27 | 6,240 | 6,265,503 | ||||||
DT Auto Owner Trust(a) | ||||||||
Series 2019-3A, Class C, 2.74%, 04/15/25 | 2,772 | 2,797,994 | ||||||
Series 2020-2A, Class A, 1.14%, 01/16/24 | 723 | 724,035 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2020-1A, Class B, 2.26%, 04/15/24(a) | 4,935 | 4,948,274 | ||||||
Series 2020-3A, Class B, 0.79%, 09/16/24 | 4,340 | 4,349,198 | ||||||
Series 2020-3A, Class D, 1.73%, 07/15/26 | 1,730 | 1,760,632 | ||||||
Series 2021-1A, Class C, 0.74%, 01/15/26 | 7,930 | 7,946,576 | ||||||
Exeter Automobile Receivables Trust 2021-3, Series 2021-3A, Class C, 0.96%, 10/15/26 | 2,950 | 2,950,897 | ||||||
Ford Credit Auto Owner Trust(a) | ||||||||
Series 2018-1, Class A, 3.19%, 07/15/31 | 2,870 | 3,073,006 | ||||||
Series 2019-1, Class A, 3.52%, 07/15/30 | 450 | 479,091 | ||||||
JPMorgan Chase Bank NA - CACLN(a) | ||||||||
Series 2021-2, Class B, 0.89%, 12/26/28 | 4,930 | 4,928,452 | ||||||
Series 2021-2, Class C, 0.97%, 12/26/28 | 2,120 | 2,120,635 | ||||||
Series 2021-3, Class B, 0.76%, 02/26/29 | 7,732 | 7,727,757 | ||||||
Marlette Funding Trust(a) | ||||||||
Series 2019-2A, Class A, 3.13%, 07/16/29 | 36 | 36,399 | ||||||
Series 2019-3A, Class A, 2.69%, 09/17/29 | 62 | 62,418 | ||||||
Series 2019-4A, Class A, 2.39%, 12/17/29 | 601 | 603,106 | ||||||
Series 2020-2A, Class A, 1.02%, 09/16/30 | 245 | 245,399 |
Security | Par (000) | Value | ||||||
Asset-Backed Securities (continued) |
| |||||||
OneMain Financial Issuance Trust, Series 2019-2A, Class A, 3.14%, 10/14/36(a) | $ | 5,690 | $ | 6,086,217 | ||||
Santander Drive Auto Receivables Trust | ||||||||
0.95%, 09/15/27 | 4,420 | 4,427,995 | ||||||
Series 2017-3, Class D, 3.20%, 11/15/23 | 3,496 | 3,513,785 | ||||||
Series 2018-5, Class D, 4.19%, 12/16/24 | 4,531 | 4,599,324 | ||||||
Series 2020-2, Class B, 0.96%, 11/15/24 | 1,520 | 1,524,515 | ||||||
Series 2020-2, Class C, 1.46%, 09/15/25 | 3,030 | 3,061,176 | ||||||
Series 2020-2, Class D, 2.22%, 09/15/26 | 8,000 | 8,154,874 | ||||||
Series 2020-4, Class C, 1.01%, 01/15/26 | 5,750 | 5,787,158 | ||||||
Series 2021-1, Class C, 0.75%, 02/17/26 | 4,730 | 4,749,354 | ||||||
Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, 01/26/32(a) | 4,790 | 5,029,204 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1, Class A, 3.26%, 08/25/25(a) | 70 | 70,119 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020- 1A, Class A, 1.35%, 05/25/33(a) | 5,680 | 5,755,776 | ||||||
Upstart Securitization Trust(a) | ||||||||
Series 2019-3, Class A, 2.68%, 01/21/30 | 151 | 150,984 | ||||||
Series 2020-1, Class A, 2.32%, 04/22/30 | 1,750 | 1,758,010 | ||||||
Series 2021-1, Class A, 0.87%, 03/20/31 | 2,254 | 2,258,050 | ||||||
Series 2021-3, Class A, 0.83%, 07/20/31 | 4,964 | 4,964,903 | ||||||
Upstart Securitization Trust 2021-4, Series 2021-4, Class A, 0.84%, 09/20/31(a) | 7,310 | 7,309,099 | ||||||
Westlake Automobile Receivables Trust(a) | ||||||||
Series 2018-3A, Class D, 4.00%, 10/16/23 | 992 | 1,001,784 | ||||||
Series 2019-2A, Class B, 2.62%, 07/15/24 | 275 | 275,404 | ||||||
Series 2020-2A, Class B, 1.32%, 07/15/25 | 1,310 | 1,320,113 | ||||||
Series 2020-2A, Class C, 2.01%, 07/15/25 | 5,920 | 6,017,961 | ||||||
Series 2020-3A, Class B, 0.78%, 11/17/25 | 3,480 | 3,495,544 | ||||||
Series 2020-3A, Class C, 1.24%, 11/17/25 | 4,250 | 4,284,008 | ||||||
|
| |||||||
Total Asset-Backed Securities — 12.2% | 189,799,737 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks | ||||||||
Diversified Financial Services — 0.0% | ||||||||
HoldCo 2 NPV(c) | 1,807,150 | 1 | ||||||
|
| |||||||
Total Common Stocks — 0.0% | 1 | |||||||
|
| |||||||
Par (000) | ||||||||
Corporate Bonds | ||||||||
Advertising Agencies — 0.1% | ||||||||
Interpublic Group of Cos., Inc., 3.38%, 03/01/41 | $ | 610 | 640,094 | |||||
Omnicom Group, Inc., 2.60%, 08/01/31(d) | 895 | 909,996 | ||||||
|
| |||||||
1,550,090 | ||||||||
Aerospace & Defense — 0.7% | ||||||||
3M Co., 2.65%, 04/15/25 | 1,710 | 1,805,189 | ||||||
Boeing Co. | ||||||||
4.51%, 05/01/23 | 1,475 | 1,558,281 | ||||||
4.88%, 05/01/25 | 1,080 | 1,201,944 | ||||||
5.15%, 05/01/30 | 795 | 933,084 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 1 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
General Dynamics Corp. | ||||||||
3.25%, 04/01/25 | $ | 1,130 | $ | 1,212,872 | ||||
1.15%, 06/01/26(d) | 1,495 | 1,502,648 | ||||||
2.25%, 06/01/31 | 1,350 | 1,381,812 | ||||||
General Electric Co., 3.63%, 05/01/30 | 495 | 550,043 | ||||||
Lockheed Martin Corp. | ||||||||
1.85%, 06/15/30(d) | 195 | 194,036 | ||||||
2.80%, 06/15/50 | 60 | 59,320 | ||||||
Trane Technologies Luxembourg Finance SA, 4.50%, 03/21/49 | 125 | 154,259 | ||||||
|
| |||||||
10,553,488 | ||||||||
Airlines — 0.1% | ||||||||
Delta Air Lines, Inc., 7.38%, 01/15/26(d) | 900 | 1,060,327 | ||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(a) | 720 | 807,480 | ||||||
|
| |||||||
1,867,807 | ||||||||
Auto Components — 0.1% | ||||||||
Aptiv Corp., 4.15%, 03/15/24(d) | 1,625 | 1,745,245 | ||||||
|
| |||||||
Automobiles — 1.3% | ||||||||
American Honda Finance Corp., 1.20%, 07/08/25 | 900 | 904,923 | ||||||
AutoNation, Inc. | ||||||||
1.95%, 08/01/28(d) | 655 | 645,869 | ||||||
4.75%, 06/01/30 | 60 | 69,955 | ||||||
Ford Motor Co., 5.29%, 12/08/46(d) | 1,200 | 1,336,500 | ||||||
Ford Motor Credit Co. LLC, 5.58%, 03/18/24 | 1,200 | 1,289,808 | ||||||
General Motors Co., 6.75%, 04/01/46 | 306 | 436,353 | ||||||
General Motors Financial Co., Inc. | ||||||||
4.20%, 11/06/21 | 1,500 | 1,505,293 | ||||||
3.45%, 04/10/22 | 1,780 | 1,798,599 | ||||||
3.55%, 07/08/22 | 3,345 | 3,424,628 | ||||||
3.25%, 01/05/23 | 1,200 | 1,237,647 | ||||||
3.70%, 05/09/23 | 2,850 | 2,973,524 | ||||||
4.15%, 06/19/23 | 1,155 | 1,220,695 | ||||||
2.90%, 02/26/25 | 1,335 | 1,400,639 | ||||||
Genuine Parts Co., 1.88%, 11/01/30 | 1,530 | 1,461,549 | ||||||
Lithia Motors, Inc., 4.38%, 01/15/31(a) | 55 | 58,713 | ||||||
|
| |||||||
19,764,695 | ||||||||
Banks — 2.3% | ||||||||
Bank of Montreal, 0.63%, 07/09/24 | 865 | 863,204 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.45%, 06/22/23 | 2,650 | 2,649,916 | ||||||
2.25%, 01/28/25 | 1,960 | 2,035,959 | ||||||
Credit Suisse AG, 0.52%, 08/09/23 | 660 | 660,677 | ||||||
Credit Suisse AG, New York, 1.00%, 05/05/23 | 285 | 287,627 | ||||||
Fifth Third Bancorp, 2.38%, 01/28/25 | 850 | 883,695 | ||||||
First Republic Bank, (SOFR + 0.62%), 1.91%, 02/12/24(b) | 2,500 | 2,550,493 | ||||||
ING Groep NV | ||||||||
3.15%, 03/29/22 | 415 | 420,920 | ||||||
4.10%, 10/02/23 | 2,290 | 2,451,138 | ||||||
Royal Bank of Canada, 2.25%, 11/01/24 | 1,750 | 1,826,756 | ||||||
Santander Holdings USA, Inc., 3.45%, 06/02/25 | 510 | 546,083 | ||||||
Santander UK Group Holdings PLC, (3 mo. LIBOR US + 1.40%), 3.82%, 11/03/28(b)(d) | 3,800 | 4,156,862 | ||||||
SVB Financial Group, 1.80%, 02/02/31 | 2,420 | 2,322,196 | ||||||
Toronto-Dominion Bank, 2.65%, 06/12/24 | 3,300 | 3,472,574 | ||||||
Truist Financial Corp., 1.20%, 08/05/25(d) | 4,850 | 4,885,169 | ||||||
Wells Fargo & Co. 3.75%, 01/24/24 | 1,540 | 1,646,377 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Wells Fargo & Co. (continued) | ||||||||
3.30%, 09/09/24(d) | $ | 1,590 | $ | 1,711,229 | ||||
3.00%, 02/19/25 | 800 | 849,101 | ||||||
(SOFR + 4.50%), 5.01%, 04/04/51(b) | 750 | 1,006,520 | ||||||
Westpac Banking Corp., 2.96%, 11/16/40 | 120 | 118,832 | ||||||
|
| |||||||
35,345,328 | ||||||||
Beverages — 0.6% | ||||||||
Ball Corp., 2.88%, 08/15/30(d) | 320 | 310,600 | ||||||
Constellation Brands, Inc., 3.75%, 05/01/50 | 250 | 271,429 | ||||||
Diageo Capital PLC | ||||||||
2.13%, 10/24/24 | 4,280 | 4,460,777 | ||||||
2.00%, 04/29/30 | 1,255 | 1,250,134 | ||||||
2.13%, 04/29/32 | 750 | 745,768 | ||||||
PepsiCo, Inc. | ||||||||
2.85%, 02/24/26 | 800 | 857,908 | ||||||
3.45%, 10/06/46 | 15 | 16,600 | ||||||
3.38%, 07/29/49 | 705 | 771,331 | ||||||
|
| |||||||
8,684,547 | ||||||||
Biotechnology — 0.2% | ||||||||
Amgen, Inc. | ||||||||
3.63%, 05/22/24 | 800 | 857,252 | ||||||
3.13%, 05/01/25(d) | 800 | 854,402 | ||||||
2.60%, 08/19/26(d) | 800 | 846,279 | ||||||
Gilead Sciences, Inc., 3.50%, 02/01/25 | 400 | 430,430 | ||||||
|
| |||||||
2,988,363 | ||||||||
Building Materials — 0.7% | ||||||||
Boise Cascade Co., 4.88%, 07/01/30(a)(d) | 1,250 | 1,334,375 | ||||||
Carrier Global Corp. | ||||||||
2.24%, 02/15/25 | 360 | 372,958 | ||||||
3.38%, 04/05/40(d) | 3,220 | 3,378,615 | ||||||
Eagle Materials, Inc., 2.50%, 07/01/31 | 3,310 | 3,289,260 | ||||||
Martin Marietta Materials, Inc. | ||||||||
2.40%, 07/15/31 | 2,165 | 2,176,177 | ||||||
3.20%, 07/15/51 | 770 | 768,248 | ||||||
Masco Corp., 2.00%, 10/01/30 | 160 | 154,679 | ||||||
|
| |||||||
11,474,312 | ||||||||
Building Products — 0.2% | ||||||||
Allegion PLC, 3.50%, 10/01/29 | 330 | 357,015 | ||||||
Home Depot, Inc. | ||||||||
5.40%, 09/15/40 | 200 | 273,808 | ||||||
3.13%, 12/15/49 | 840 | 875,720 | ||||||
Lowe’s Cos., Inc. | ||||||||
4.00%, 04/15/25 | 420 | 460,241 | ||||||
3.50%, 04/01/51 | 635 | 679,960 | ||||||
|
| |||||||
2,646,744 | ||||||||
Capital Markets — 1.6% | ||||||||
Ameriprise Financial, Inc., 3.00%, 04/02/25 | 930 | 987,940 | ||||||
Ares Capital Corp. | ||||||||
4.20%, 06/10/24 | 4,815 | 5,163,749 | ||||||
3.25%, 07/15/25(d) | 3,070 | 3,229,122 | ||||||
3.88%, 01/15/26 | 558 | 596,741 | ||||||
2.15%, 07/15/26 | 1,542 | 1,546,101 | ||||||
2.88%, 06/15/28 | 1,240 | 1,256,143 | ||||||
Brookfield Finance, Inc. | ||||||||
4.70%, 09/20/47 | 5 | 6,054 | ||||||
3.50%, 03/30/51 | 260 | 271,653 | ||||||
FS KKR Capital Corp. | ||||||||
4.63%, 07/15/24 | 950 | 1,025,833 | ||||||
4.13%, 02/01/25(d) | 680 | 726,583 |
2 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
FS KKR Capital Corp. (continued) | ||||||||
3.40%, 01/15/26 | $ | 1,565 | $ | 1,635,239 | ||||
2.63%, 01/15/27 | 2,810 | 2,816,865 | ||||||
Goldman Sachs BDC, Inc., 2.88%, 01/15/26 | 1,795 | 1,845,600 | ||||||
Golub Capital BDC, Inc., 2.50%, 08/24/26 | 535 | 538,358 | ||||||
Nomura Holdings, Inc., 2.65%, 01/16/25 | 1,100 | 1,145,833 | ||||||
Owl Rock Capital Corp., 2.88%, 06/11/28 | 2,125 | 2,121,034 | ||||||
|
| |||||||
24,912,848 | ||||||||
Chemicals — 0.9% | ||||||||
Air Products and Chemicals, Inc., 2.70%, 05/15/40 | 187 | 188,463 | ||||||
FMC Corp., 3.20%, 10/01/26(d) | 118 | 126,215 | ||||||
International Flavors & Fragrances, Inc., 3.20%, 05/01/23 | 1,590 | 1,646,071 | ||||||
Methanex Corp., 5.25%, 12/15/29(d) | 725 | 784,812 | ||||||
RPM International, Inc., 3.75%, 03/15/27 | 105 | 114,879 | ||||||
Sherwin-Williams Co. | ||||||||
4.20%, 01/15/22 | 1,590 | 1,591,908 | ||||||
3.13%, 06/01/24 | 265 | 280,797 | ||||||
3.30%, 02/01/25 | 800 | 847,699 | ||||||
3.95%, 01/15/26 | 400 | 442,851 | ||||||
3.45%, 06/01/27 | 4,710 | 5,172,075 | ||||||
2.95%, 08/15/29 | 1,330 | 1,412,785 | ||||||
4.50%, 06/01/47 | 770 | 933,382 | ||||||
3.80%, 08/15/49 | 710 | 796,354 | ||||||
3.30%, 05/15/50(d) | 520 | 538,443 | ||||||
|
| |||||||
14,876,734 | ||||||||
Commercial Services & Supplies — 0.1% | ||||||||
AMN Healthcare, Inc., 4.63%, 10/01/27(a) | 130 | 134,875 | ||||||
ASGN, Inc., 4.63%, 05/15/28(a) | 1,800 | 1,863,000 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, 08/31/27(a)(d) | 205 | 196,673 | ||||||
Rockefeller Foundation, Series 2020, 2.49%, 10/01/50 | 72 | 70,252 | ||||||
|
| |||||||
2,264,800 | ||||||||
Communications Equipment — 0.1% | ||||||||
Motorola Solutions, Inc. | ||||||||
4.60%, 02/23/28 | 939 | 1,081,780 | ||||||
2.30%, 11/15/30 | 323 | 317,462 | ||||||
|
| |||||||
1,399,242 | ||||||||
Construction & Engineering — 0.2% | ||||||||
Landesbank Baden-Wuerttemberg, 7.63%, 02/01/23(d) | 2,974 | 3,243,396 | ||||||
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28(a) | 200 | 208,000 | ||||||
|
| |||||||
3,451,396 | ||||||||
Construction Materials — 0.2% | ||||||||
Allegion US Holding Co., Inc., 3.55%, 10/01/27 | 125 | 134,523 | ||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28(a) | 2,450 | 2,552,189 | ||||||
|
| |||||||
2,686,712 | ||||||||
Consumer Discretionary — 0.5% | ||||||||
Quanta Services, Inc. | ||||||||
0.95%, 10/01/24 | 2,110 | 2,110,971 | ||||||
2.90%, 10/01/30 | 2,290 | 2,368,835 | ||||||
2.35%, 01/15/32 | 1,845 | 1,805,267 |
Security | Par (000) | Value | ||||||
Consumer Discretionary (continued) | ||||||||
Quanta Services, Inc. (continued) | ||||||||
3.05%, 10/01/41 | $ | 985 | $ | 950,103 | ||||
Royal Caribbean Cruises Ltd., 11.50%, 06/01/25(a) | 805 | 918,505 | ||||||
|
| |||||||
8,153,681 | ||||||||
Consumer Finance — 0.9% | ||||||||
Block Financial LLC | ||||||||
2.50%, 07/15/28 | 2,850 | 2,890,382 | ||||||
3.88%, 08/15/30 | 100 | 108,755 | ||||||
Equifax, Inc. | ||||||||
2.60%, 12/15/25 | 275 | 288,341 | ||||||
3.10%, 05/15/30 | 530 | 560,352 | ||||||
2.35%, 09/15/31 | 260 | 255,954 | ||||||
Global Payments, Inc., 4.00%, 06/01/23 | 470 | 495,533 | ||||||
Mastercard, Inc. | ||||||||
3.65%, 06/01/49(d) | 840 | 968,102 | ||||||
3.85%, 03/26/50 | 700 | 832,395 | ||||||
2.95%, 03/15/51 | 1,590 | 1,643,060 | ||||||
PayPal Holdings, Inc. | ||||||||
2.85%, 10/01/29 | 1,520 | 1,622,450 | ||||||
3.25%, 06/01/50 | 320 | 345,257 | ||||||
S&P Global, Inc. | ||||||||
2.95%, 01/22/27 | 685 | 736,062 | ||||||
2.30%, 08/15/60 | 1,778 | 1,512,219 | ||||||
Visa, Inc., 3.65%, 09/15/47 | 1,065 | 1,226,060 | ||||||
|
| |||||||
13,484,922 | ||||||||
Containers & Packaging — 0.2% | ||||||||
Avery Dennison Corp., 2.25%, 02/15/32 | 2,350 | 2,300,611 | ||||||
Clearwater Paper Corp., 4.75%, 08/15/28(a)(d) | 150 | 154,125 | ||||||
Packaging Corp. of America, 3.05%, 10/01/51 | 285 | 281,022 | ||||||
|
| |||||||
2,735,758 | ||||||||
Diversified Financial Services — 8.8% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 09/15/23 | 1,015 | 1,081,390 | ||||||
Air Lease Corp., 3.38%, 07/01/25 | 700 | 743,367 | ||||||
Aircastle Ltd., 4.25%, 06/15/26 | 1,985 | 2,169,943 | ||||||
Ally Financial, Inc. | ||||||||
3.05%, 06/05/23 | 290 | 300,854 | ||||||
1.45%, 10/02/23 | 565 | 573,345 | ||||||
Banco Santander SA | ||||||||
3.50%, 04/11/22 | 200 | 203,283 | ||||||
2.75%, 05/28/25 | 1,600 | 1,678,348 | ||||||
2.75%, 12/03/30 | 400 | 398,018 | ||||||
(1 year CMT + 0.45%), 0.70%, 06/30/24(b) | 2,200 | 2,204,024 | ||||||
(1 year CMT + 0.90%), 1.72%, 09/14/27(b) | 400 | 398,141 | ||||||
Bank of America Corp.(b) | ||||||||
(3 mo. LIBOR US + 0.94%), 3.86%, 07/23/24 | 2,565 | 2,714,517 | ||||||
(3 mo. LIBOR US + 1.21%), 3.97%, 02/07/30 | 175 | 195,917 | ||||||
(3 mo. LIBOR US + 1.32%), 4.08%, 04/23/40 | 70 | 80,588 | ||||||
(3 mo. LIBOR US + 1.81%), 4.24%, 04/24/38 | 2,550 | 2,983,500 | ||||||
(3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51 | 1,361 | 1,610,508 | ||||||
(SOFR + 0.41%), 0.52%, 06/14/24 | 730 | 729,692 | ||||||
(SOFR + 0.91%), 0.98%, 09/25/25 | 950 | 951,311 | ||||||
(SOFR + 0.96%), 1.73%, 07/22/27 | 7,050 | 7,079,010 | ||||||
(SOFR + 1.15%), 1.32%, 06/19/26 | 2,030 | 2,029,504 | ||||||
(SOFR + 1.32%), 2.69%, 04/22/32 | 5,910 | 6,017,976 | ||||||
(SOFR + 1.65%), 3.48%, 03/13/52 | 595 | 642,348 | ||||||
(SOFR + 1.93%), 2.68%, 06/19/41 | 1,015 | 979,899 | ||||||
Bank of Nova Scotia | ||||||||
0.65%, 07/31/24 | 1,835 | 1,831,883 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 3 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Bank of Nova Scotia (continued) | ||||||||
1.05%, 03/02/26 | $ | 1,000 | $ | 988,728 | ||||
Barclays PLC, (1 year CMT + 1.70%), 3.81%, 03/10/42(b) | 233 | 247,293 | ||||||
Citigroup, Inc. | ||||||||
4.75%, 05/18/46 | 1,080 | 1,356,158 | ||||||
(3 mo. LIBOR US + 0.72%), 3.14%, 01/24/23(b) | 1,600 | 1,613,452 | ||||||
(3 mo. LIBOR US + 0.90%), 3.35%, 04/24/25(b) | 2,805 | 2,979,331 | ||||||
(SOFR + 0.69%), 0.78%, 10/30/24(b) | 8,880 | 8,914,051 | ||||||
(SOFR + 0.77%), 1.46%, 06/09/27(b) | 3,035 | 3,017,114 | ||||||
(SOFR + 1.67%), 1.68%, 05/15/24(b) | 800 | 815,562 | ||||||
(SOFR + 2.84%), 3.11%, 04/08/26(b) | 1,630 | 1,730,652 | ||||||
Credit Suisse Group AG, 3.80%, 06/09/23 | 300 | 316,072 | ||||||
GE Capital International Funding Co., 4.42%, 11/15/35 | 810 | 972,042 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.75%, 05/22/25(d) | 500 | 541,835 | ||||||
3.75%, 02/25/26 | 1,900 | 2,084,936 | ||||||
3.50%, 11/16/26 | 365 | 394,426 | ||||||
3.85%, 01/26/27(d) | 1,090 | 1,197,617 | ||||||
2.60%, 02/07/30 | 6,060 | 6,237,071 | ||||||
3.80%, 03/15/30 | 2,010 | 2,237,546 | ||||||
6.75%, 10/01/37 | 500 | 716,143 | ||||||
5.15%, 05/22/45 | 503 | 659,568 | ||||||
(3 mo. LIBOR US + 1.30%), 4.22%, 05/01/29(b) | 550 | 621,567 | ||||||
(3 mo. LIBOR US + 1.37%), 4.02%, 10/31/38(b) | 500 | 574,615 | ||||||
(3 mo. LIBOR US + 1.43%), 4.41%, 04/23/39(b) | 2,120 | 2,547,948 | ||||||
(SOFR + 0.61%), 0.86%, 02/12/26(b) | 135 | 133,700 | ||||||
(SOFR + 1.09%), 1.99%, 01/27/32(b) | 1,600 | 1,542,928 | ||||||
(SOFR + 1.28%), 2.62%, 04/22/32(b) | 1,520 | 1,538,377 | ||||||
(SOFR + 1.47%), 2.91%, 07/21/42(b) | 715 | 704,956 | ||||||
HSBC Holdings PLC, (SOFR + 0.71%), 0.98%, 05/24/25(b) | 1,980 | 1,976,513 | ||||||
Intercontinental Exchange, Inc. | ||||||||
0.70%, 06/15/23 | 2,920 | 2,930,862 | ||||||
4.25%, 09/21/48 | 160 | 190,201 | ||||||
JPMorgan Chase & Co. | ||||||||
3.38%, 05/01/23(d) | 2,900 | 3,032,764 | ||||||
3.63%, 05/13/24(d) | 400 | 430,364 | ||||||
3.13%, 01/23/25(d) | 800 | 850,303 | ||||||
3.30%, 04/01/26 | 600 | 650,529 | ||||||
4.95%, 06/01/45 | 340 | 444,433 | ||||||
(3 mo. LIBOR US + 1.16%), 3.22%, | 600 | 633,757 | ||||||
(3 mo. LIBOR US + 1.38%), 3.96%, 11/15/48(b) | 6,855 | 7,946,242 | ||||||
(3 mo. LIBOR US + 1.46%), 4.03%, 07/24/48(b) | 660 | 769,162 | ||||||
(SOFR + 0.58%), 0.97%, 06/23/25(b) | 1,610 | 1,611,974 | ||||||
(SOFR + 0.89%), 1.58%, 04/22/27(b) | 816 | 817,655 | ||||||
(SOFR + 1.25%), 2.58%, 04/22/32(b) | 215 | 217,982 | ||||||
(SOFR + 1.51%), 2.74%, 10/15/30(b) | 610 | 631,729 | ||||||
Kimberly-Clark Corp., 2.88%, 02/07/50(d) | 160 | 162,137 | ||||||
Lloyds Banking Group PLC, (1 year CMT + 0.55%), 0.70%, 05/11/24(b)(d) | 1,590 | 1,594,108 | ||||||
Mitsubishi UFJ Financial Group, Inc.(b) | ||||||||
(1 year CMT + 0.55%), 0.95%, 07/19/25 | 1,820 | 1,822,068 | ||||||
(1 year CMT + 0.95%), 2.31%, 07/20/32 | 425 | 421,073 | ||||||
Mizuho Financial Group, Inc., (SOFR + 1.25%), 1.24%, 07/10/24(b) | 2,845 | 2,878,201 | ||||||
Morgan Stanley | ||||||||
3.88%, 01/27/26 | 200 | 221,399 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Morgan Stanley (continued) | ||||||||
6.38%, 07/24/42 | $ | 460 | $ | 696,478 | ||||
4.30%, 01/27/45 | 1,380 | 1,682,112 | ||||||
(3 mo. LIBOR US + 1.46%), 3.97%, 07/22/38(b) | 1,840 | 2,107,949 | ||||||
(SOFR + 0.86%), 1.51%, 07/20/27(b) | 1,510 | 1,502,821 | ||||||
(SOFR + 0.88%), 1.59%, 05/04/27(b) | 2,110 | 2,116,277 | ||||||
(SOFR + 1.03%), 1.79%, 02/13/32(b) | 2,055 | 1,957,161 | ||||||
(SOFR + 1.36%), 2.48%, 09/16/36(b) | 1,510 | 1,477,877 | ||||||
(SOFR + 1.43%), 2.80%, 01/25/52(b) | 1,060 | 1,018,859 | ||||||
(SOFR + 1.99%), 2.19%, 04/28/26(b) | 2,400 | 2,478,009 | ||||||
(SOFR + 4.84%), 5.60%, 03/24/51(b) | 2,020 | 2,995,003 | ||||||
Series I, (SOFR + 0.75%), 0.86%, 10/21/25(b) | 3,410 | 3,403,078 | ||||||
Nasdaq, Inc. | ||||||||
3.85%, 06/30/26 | 32 | 35,490 | ||||||
3.25%, 04/28/50 | 195 | 196,484 | ||||||
Natwest Group PLC, (1 year CMT + 2.15%), 2.36%, 05/22/24(b) | 290 | 297,579 | ||||||
ORIX Corp., 2.90%, 07/18/22 | 405 | 413,254 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.35%, 01/15/25 | 1,325 | 1,375,807 | ||||||
1.47%, 07/08/25 | 1,049 | 1,057,444 | ||||||
|
| |||||||
137,326,192 | ||||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
AT&T, Inc. | ||||||||
0.90%, 03/25/24 | 2,470 | 2,473,878 | ||||||
4.45%, 04/01/24 | 1,202 | 1,302,368 | ||||||
1.70%, 03/25/26 | 3,620 | 3,664,815 | ||||||
4.85%, 03/01/39 | 1,185 | 1,420,157 | ||||||
3.10%, 02/01/43 | 1,145 | 1,097,765 | ||||||
4.80%, 06/15/44 | 195 | 231,435 | ||||||
3.30%, 02/01/52 | 305 | 295,319 | ||||||
3.80%, 12/01/57 | 238 | 243,129 | ||||||
3.50%, 02/01/61 | 75 | 71,771 | ||||||
Deutsche Telekom International Finance BV, 8.75%, 06/15/30 | 2,045 | 3,048,869 | ||||||
Switch Ltd., 3.75%, 09/15/28(a) | 865 | 877,975 | ||||||
Verizon Communications, Inc. | ||||||||
1.68%, 10/30/30 | 2,347 | 2,231,842 | ||||||
2.36%, 03/15/32(a) | 1,086 | 1,073,993 | ||||||
4.50%, 08/10/33 | 2,600 | 3,095,842 | ||||||
4.13%, 08/15/46 | 430 | 493,486 | ||||||
4.86%, 08/21/46 | 875 | 1,114,306 | ||||||
2.88%, 11/20/50 | 170 | 158,465 | ||||||
3.55%, 03/22/51 | 285 | 300,560 | ||||||
3.00%, 11/20/60 | 280 | 258,651 | ||||||
|
| |||||||
23,454,626 | ||||||||
Education — 0.1% | ||||||||
Ford Foundation (The) | ||||||||
Series 2020, 2.42%, 06/01/50(d) | 5 | 4,759 | ||||||
Series 2020, 2.82%, 06/01/70 | 30 | 29,714 | ||||||
Georgetown University, Series 20A, 2.94%, 04/01/50(d) | 27 | 26,562 | ||||||
Northwestern University, Series 2020, 2.64%, 12/01/50(d) | 266 | 265,525 | ||||||
President and Fellows of Harvard College, 2.52%, 10/15/50 | 54 | 53,219 | ||||||
University of Chicago (The) | ||||||||
Series 20B, 2.76%, 04/01/45(d) | 148 | 150,891 |
4 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Education (continued) | ||||||||
University of Chicago (The) (continued) | ||||||||
Series C, 2.55%, 04/01/50 | $ | 157 | $ | 150,910 | ||||
University of Southern California, 2.95%, 10/01/51 | 190 | 198,856 | ||||||
Yale University, Series 2020, 2.40%, 04/15/50 | 272 | 261,995 | ||||||
|
| |||||||
1,142,431 | ||||||||
Electric Utilities — 3.0% | ||||||||
AEP Texas, Inc., Series I, 2.10%, 07/01/30 | 2,180 | 2,133,614 | ||||||
AEP Transmission Co. LLC, 3.15%, 09/15/49 | 30 | 30,976 | ||||||
Alabama Power Co., 3.45%, 10/01/49 | 370 | 399,417 | ||||||
Ameren Corp., 2.50%, 09/15/24 | 65 | 67,935 | ||||||
Ameren Illinois Co., 3.25%, 03/15/50 | 130 | 138,117 | ||||||
Appalachian Power Co., Series X, 3.30%, 06/01/27(d) | 1,190 | 1,285,400 | ||||||
Arizona Public Service Co. | ||||||||
3.15%, 05/15/25 | 400 | 427,568 | ||||||
2.95%, 09/15/27(d) | 800 | 856,840 | ||||||
3.50%, 12/01/49 | 240 | 255,518 | ||||||
Atlantic City Electric Co., 2.30%, 03/15/31 | 570 | 577,809 | ||||||
Avangrid, Inc., 3.80%, 06/01/29 | 600 | 668,072 | ||||||
Baltimore Gas & Electric Co. | ||||||||
4.25%, 09/15/48 | 225 | 274,601 | ||||||
2.90%, 06/15/50(d) | 170 | 167,771 | ||||||
Berkshire Hathaway Energy Co., 4.45%, 01/15/49 | 500 | 617,461 | ||||||
Black Hills Corp., 1.04%, 08/23/24 | 200 | 200,019 | ||||||
CenterPoint Energy, Inc., 4.25%, 11/01/28 | 730 | 831,706 | ||||||
Commonwealth Edison Co. | ||||||||
3.70%, 08/15/28 | 1,200 | 1,351,068 | ||||||
2.20%, 03/01/30 | 500 | 506,047 | ||||||
4.00%, 03/01/49 | 90 | 106,663 | ||||||
3.13%, 03/15/51 | 70 | 72,140 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
Series 06-A, 5.85%, 03/15/36 | 1,000 | 1,326,543 | ||||||
Series A, 4.13%, 05/15/49 | 50 | 57,997 | ||||||
Series B, 3.13%, 11/15/27 | 800 | 861,072 | ||||||
Consumers Energy Co., 2.65%, 08/15/52 | 125 | 118,259 | ||||||
Dominion Energy, Inc., 3.90%, 10/01/25 | 500 | 546,554 | ||||||
DTE Electric Co., 3.65%, 03/15/24 | 1,090 | 1,161,398 | ||||||
Duke Energy Corp. | ||||||||
2.65%, 09/01/26 | 300 | 316,472 | ||||||
4.20%, 06/15/49 | 700 | 796,876 | ||||||
Duke Energy Florida LLC | ||||||||
3.80%, 07/15/28(d) | 1,365 | 1,524,280 | ||||||
1.75%, 06/15/30 | 780 | 756,345 | ||||||
Duke Energy Ohio, Inc. | ||||||||
2.13%, 06/01/30 | 350 | 347,486 | ||||||
4.30%, 02/01/49 | 100 | 122,625 | ||||||
Entergy Corp., 0.90%, 09/15/25 | 285 | 280,242 | ||||||
Entergy Texas, Inc., 3.55%, 09/30/49(d) | 520 | 553,019 | ||||||
Evergy Kansas Central, Inc. | ||||||||
2.55%, 07/01/26 | 800 | 840,860 | ||||||
3.45%, 04/15/50 | 130 | 139,219 | ||||||
Evergy Metro, Inc., 3.65%, 08/15/25 | 300 | 325,526 | ||||||
Evergy, Inc., 2.90%, 09/15/29 | 50 | 52,474 | ||||||
Eversource Energy, Series M, 3.30%, 01/15/28 | 1,000 | 1,082,483 | ||||||
Florida Power & Light Co. | ||||||||
4.05%, 10/01/44 | 500 | 599,696 | ||||||
3.15%, 10/01/49 | 40 | 42,354 | ||||||
Georgia Power Co. | ||||||||
3.25%, 04/01/26(d) | 800 | 857,505 | ||||||
3.25%, 03/15/51 | 210 | 211,385 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Interstate Power and Light Co., 2.30%, 06/01/30 | $ | 530 | $ | 532,154 | ||||
Kentucky Utilities Co., 3.30%, 06/01/50 | 60 | 62,583 | ||||||
MidAmerican Energy Co. | ||||||||
3.10%, 05/01/27(d) | 800 | 869,899 | ||||||
3.15%, 04/15/50 | 60 | 62,800 | ||||||
2.70%, 08/01/52 | 105 | 100,865 | ||||||
National Rural Utilities Cooperative Finance Corp., 3.70%, 03/15/29(d) | 680 | 757,885 | ||||||
Nevada Power Co., Series DD, 2.40%, 05/01/30 | 440 | 446,160 | ||||||
NextEra Energy Capital Holdings, Inc.(d) | ||||||||
3.55%, 05/01/27 | 245 | 268,783 | ||||||
2.25%, 06/01/30 | 1,070 | 1,076,104 | ||||||
NextEra Energy Operating Partners LP, 4.50%, 09/15/27(a)(d) | 1,300 | 1,397,500 | ||||||
Northern States Power Co., 2.60%, 06/01/51 | 305 | 289,198 | ||||||
NSTAR Electric Co., 3.10%, 06/01/51(d) | 110 | 114,088 | ||||||
Oglethorpe Power Corp., 5.05%, 10/01/48 | 130 | 160,757 | ||||||
Oncor Electric Delivery Co. LLC, 3.80%, 06/01/49 | 320 | 374,203 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.75%, 06/16/22 | 500 | 499,191 | ||||||
2.10%, 08/01/27 | 65 | 63,434 | ||||||
3.00%, 06/15/28(d) | 100 | 101,761 | ||||||
4.50%, 07/01/40 | 190 | 193,941 | ||||||
3.30%, 08/01/40 | 90 | 83,045 | ||||||
4.95%, 07/01/50 | 400 | 425,548 | ||||||
3.50%, 08/01/50 | 340 | 309,208 | ||||||
PacifiCorp., 4.13%, 01/15/49 | 280 | 329,589 | ||||||
PECO Energy Co. | ||||||||
2.80%, 06/15/50 | 355 | 347,964 | ||||||
3.05%, 03/15/51 | 70 | 71,231 | ||||||
PPL Electric Utilities Corp.(d) | ||||||||
2.50%, 09/01/22 | 400 | 405,695 | ||||||
3.00%, 10/01/49 | 275 | 281,345 | ||||||
Public Service Co. of Colorado | ||||||||
3.70%, 06/15/28 | 1,300 | 1,447,029 | ||||||
4.05%, 09/15/49 | 20 | 24,195 | ||||||
Public Service Electric & Gas Co. | ||||||||
2.25%, 09/15/26 | 400 | 417,139 | ||||||
3.00%, 05/15/27(d) | 500 | 542,844 | ||||||
3.70%, 05/01/28(d) | 800 | 895,333 | ||||||
2.05%, 08/01/50 | 105 | 90,250 | ||||||
Puget Sound Energy, Inc., 3.25%, 09/15/49 | 390 | 402,163 | ||||||
San Diego Gas & Electric Co. | ||||||||
2.50%, 05/15/26(d) | 400 | 420,743 | ||||||
2.95%, 08/15/51 | 475 | 470,725 | ||||||
Sempra Energy, 3.75%, 11/15/25(d) | 200 | 217,361 | ||||||
Southern California Edison Co. | ||||||||
3.65%, 02/01/50 | 100 | 102,166 | ||||||
Series B, 4.88%, 03/01/49 | 260 | 310,435 | ||||||
Series C, 4.13%, 03/01/48 | 370 | 403,173 | ||||||
Southern Co., 3.25%, 07/01/26 | 1,900 | 2,044,529 | ||||||
Tampa Electric Co., 3.45%, 03/15/51 | 35 | 37,423 | ||||||
Tucson Electric Power Co., 1.50%, 08/01/30 | 190 | 179,747 | ||||||
Union Electric Co., 4.00%, 04/01/48 | 230 | 270,338 | ||||||
Virginia Electric & Power Co. | ||||||||
3.30%, 12/01/49 | 610 | 640,196 | ||||||
Series A, 3.80%, 04/01/28 | 1,750 | 1,953,595 | ||||||
Wisconsin Electric Power Co., 3.10%, 06/01/25 | 800 | 851,433 | ||||||
Wisconsin Power & Light Co., 3.05%, 10/15/27 | 390 | 419,420 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 5 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Wisconsin Public Service Corp., 3.30%, 09/01/49 | $ | 85 | $ | 89,271 | ||||
Xcel Energy, Inc. | ||||||||
4.00%, 06/15/28 | 900 | 1,010,263 | ||||||
3.50%, 12/01/49 | 50 | 53,294 | ||||||
|
| |||||||
46,807,408 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
Amphenol Corp., 2.05%, 03/01/25 | 300 | 309,562 | ||||||
Keysight Technologies, Inc., 4.60%, 04/06/27 | 1,225 | 1,413,286 | ||||||
Rockwell Automation, Inc. | ||||||||
1.75%, 08/15/31 | 265 | 258,378 | ||||||
2.80%, 08/15/61 | 260 | 247,207 | ||||||
Xerox Holdings Corp., 5.50%, 08/15/28(a)(d) | 700 | 724,689 | ||||||
|
| |||||||
2,953,122 | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co- Obligor, Inc., 4.08%, 12/15/47 | 750 | 846,419 | ||||||
Enbridge, Inc., 0.55%, 10/04/23 | 260 | 260,078 | ||||||
|
| |||||||
1,106,497 | ||||||||
Environmental, Maintenance, & Security Service — 0.1% | ||||||||
Waste Connections, Inc., 2.60%, 02/01/30 | 305 | 313,985 | ||||||
Waste Management, Inc., 2.40%, 05/15/23 | 1,000 | 1,029,093 | ||||||
|
| |||||||
1,343,078 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% | ||||||||
American Homes 4 Rent, 3.38%, 07/15/51(d) | 105 | 106,463 | ||||||
American Tower Corp. | ||||||||
3.38%, 10/15/26 | 110 | 119,031 | ||||||
3.70%, 10/15/49 | 190 | 205,462 | ||||||
Brixmor Operating Partnership LP, 4.05%, 07/01/30 | 130 | 145,164 | ||||||
Camden Property Trust, 2.80%, 05/15/30 | 240 | 253,300 | ||||||
Crown Castle International Corp., 3.70%, 06/15/26 | 1,000 | 1,091,514 | ||||||
Equinix, Inc., 2.63%, 11/18/24 | 900 | 942,513 | ||||||
Essex Portfolio LP, 1.70%, 03/01/28 | 1,255 | 1,230,778 | ||||||
Federal Realty Investment Trust, 3.50%, 06/01/30 | 210 | 227,832 | ||||||
Iron Mountain, Inc., 4.50%, 02/15/31(a) | 350 | 355,005 | ||||||
Life Storage LP, 2.20%, 10/15/30 | 735 | 728,820 | ||||||
Mid-America Apartments LP, 1.10%, 09/15/26 | 70 | 69,054 | ||||||
Office Properties Income Trust, 3.45%, 10/15/31 | 2,285 | 2,235,251 | ||||||
Omega Healthcare Investors, Inc., 4.95%, 04/01/24(d) | 1,400 | 1,522,892 | ||||||
Public Storage | ||||||||
3.09%, 09/15/27 | 2,500 | 2,731,748 | ||||||
1.85%, 05/01/28 | 2,945 | 2,984,986 | ||||||
3.39%, 05/01/29 | 1,640 | 1,803,611 | ||||||
Service Properties Trust, 4.65%, 03/15/24 | 800 | 808,000 | ||||||
Simon Property Group LP, 3.50%, 09/01/25 | 1,065 | 1,156,792 | ||||||
Weyerhaeuser Co., 4.00%, 04/15/30 | 250 | 282,399 | ||||||
|
| |||||||
19,000,615 | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
Costco Wholesale Corp., 1.75%, 04/20/32(d) | 3,135 | 3,073,881 | ||||||
General Mills, Inc., 2.88%, 04/15/30(d) | 840 | 882,875 | ||||||
Kellogg Co., 2.65%, 12/01/23 | 918 | 959,609 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.25%, 03/01/31 | 1,200 | 1,356,625 | ||||||
4.88%, 10/01/49(d) | 925 | 1,125,813 | ||||||
Walmart, Inc., 2.65%, 09/22/51 | 540 | 537,521 | ||||||
|
| |||||||
7,936,324 |
Security | Par (000) | Value | ||||||
Food Products — 0.0% | ||||||||
Hershey Co., 2.65%, 06/01/50 | $ | 105 | $ | 102,546 | ||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
Baxter International, Inc., 2.60%, 08/15/26 | 1,702 | 1,797,494 | ||||||
DH Europe Finance II Sarl, 3.40%, 11/15/49 | 375 | 405,250 | ||||||
PerkinElmer, Inc. | ||||||||
0.55%, 09/15/23 | 3,125 | 3,127,594 | ||||||
0.85%, 09/15/24 | 3,125 | 3,125,297 | ||||||
1.90%, 09/15/28 | 3,220 | 3,195,990 | ||||||
2.25%, 09/15/31 | 1,155 | 1,139,393 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.13%, 03/25/25 | 275 | 302,554 | ||||||
2.95%, 09/19/26(d) | 400 | 430,039 | ||||||
4.10%, 08/15/47(d) | 1,095 | 1,327,858 | ||||||
|
| |||||||
14,851,469 | ||||||||
Health Care Providers & Services — 1.3% | ||||||||
AmerisourceBergen Corp. | ||||||||
3.45%, 12/15/27 | 1,427 | 1,559,775 | ||||||
2.70%, 03/15/31 | 117 | 119,670 | ||||||
Anthem, Inc., 3.35%, 12/01/24 | 1,395 | 1,495,479 | ||||||
Banner Health, Series 2020, 3.18%, 01/01/50 | 119 | 124,796 | ||||||
Baylor Scott & White Holdings, 2.84%, 11/15/50 | 92 | 90,869 | ||||||
CommonSpirit Health, 3.91%, 10/01/50 | 339 | 370,342 | ||||||
DaVita, Inc., 3.75%, 02/15/31(a) | 285 | 277,519 | ||||||
Hackensack Meridian Health, Inc., Series 2020, 2.88%, 09/01/50 | 58 | 57,531 | ||||||
HCA, Inc. | ||||||||
5.50%, 06/15/47 | 2,949 | 3,824,131 | ||||||
5.25%, 06/15/49 | 1,110 | 1,416,748 | ||||||
3.50%, 07/15/51 | 1,775 | 1,759,528 | ||||||
Humana, Inc., 3.85%, 10/01/24 | 1,000 | 1,082,047 | ||||||
Kaiser Foundation Hospitals | ||||||||
2.81%, 06/01/41 | 57 | 57,670 | ||||||
3.00%, 06/01/51 | 161 | 164,530 | ||||||
McKesson Corp., 0.90%, 12/03/25 | 1,465 | 1,441,740 | ||||||
Memorial Sloan-Kettering Cancer Center, Series 2020, 2.96%, 01/01/50 | 46 | 46,542 | ||||||
Methodist Hospital, Series 20A, 2.71%, 12/01/50 | 87 | 84,130 | ||||||
Molina Healthcare, Inc., 3.88%, 11/15/30(a) | 800 | 836,000 | ||||||
Providence St Joseph Health Obligated Group, 2.70%, 10/01/51 | 136 | 129,651 | ||||||
Sutter Health, Series 20A, 3.36%, 08/15/50 | 54 | 57,120 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.38%, 08/15/24 | 1,035 | 1,084,002 | ||||||
3.10%, 03/15/26 | 150 | 162,655 | ||||||
2.30%, 05/15/31 | 845 | 862,146 | ||||||
4.75%, 07/15/45 | 800 | 1,048,507 | ||||||
2.90%, 05/15/50 | 410 | 411,106 | ||||||
3.25%, 05/15/51 | 135 | 142,756 | ||||||
3.13%, 05/15/60 | 730 | 747,050 | ||||||
Universal Health Services, Inc., 2.65%, 10/15/30(a) | 1,630 | 1,637,400 | ||||||
|
| |||||||
21,091,440 | ||||||||
Health Care Technology — 0.1% | ||||||||
Laboratory Corp. of America Holdings, 2.70%, 06/01/31 | 1,695 | 1,732,561 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.3% |
| |||||||
Choice Hotels International, Inc., 3.70%, 12/01/29(d) | 1,065 | 1,132,798 |
6 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 | $ | 380 | $ | 432,041 | ||||
McDonald’s Corp. | ||||||||
1.45%, 09/01/25 | 375 | 380,577 | ||||||
3.70%, 01/30/26 | 1,000 | 1,099,408 | ||||||
3.50%, 03/01/27 | 278 | 305,481 | ||||||
3.80%, 04/01/28(d) | 290 | 324,106 | ||||||
6.30%, 10/15/37 | 160 | 228,995 | ||||||
Starbucks Corp., 3.55%, 08/15/29 | 440 | 487,454 | ||||||
|
| |||||||
4,390,860 | ||||||||
Household Durables — 0.3% | ||||||||
NVR, Inc., 3.00%, 05/15/30 | 4,315 | 4,515,597 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
NRG Energy, Inc., 3.63%, 02/15/31(a)(d) | 1,250 | 1,227,812 | ||||||
|
| |||||||
Insurance — 1.4% | ||||||||
Aflac, Inc., 4.75%, 01/15/49 | 2,160 | 2,824,051 | ||||||
Aon PLC, 3.88%, 12/15/25 | 3,400 | 3,753,435 | ||||||
Athene Holding Ltd., 3.95%, 05/25/51 | 240 | 265,141 | ||||||
Berkshire Hathaway, Inc., 3.13%, 03/15/26 | 355 | 385,271 | ||||||
Enstar Group Ltd., 3.10%, 09/01/31 | 805 | 792,009 | ||||||
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31(a) | 360 | 373,281 | ||||||
Fidelity National Financial, Inc., 5.50%, 09/01/22(d) | 120 | 125,565 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
4.75%, 03/15/39 | 111 | 139,844 | ||||||
4.20%, 03/01/48(d) | 1,715 | 2,094,869 | ||||||
4.90%, 03/15/49 | 5,035 | 6,778,627 | ||||||
MetLife, Inc., 4.05%, 03/01/45 | 630 | 748,751 | ||||||
Progressive Corp., 4.13%, 04/15/47 | 2,250 | 2,711,188 | ||||||
Willis North America, Inc., 2.95%, 09/15/29 | 940 | 982,935 | ||||||
|
| |||||||
21,974,967 | ||||||||
Interactive Media & Services — 0.2% | ||||||||
Alphabet, Inc. | ||||||||
2.00%, 08/15/26 | 800 | 836,096 | ||||||
2.25%, 08/15/60 | 335 | 292,701 | ||||||
Baidu, Inc, 1.72%, 04/09/26 | 490 | 489,691 | ||||||
eBay, Inc., 2.70%, 03/11/30 | 1,010 | 1,051,733 | ||||||
|
| |||||||
2,670,221 | ||||||||
Internet & Direct Marketing Retail — 0.2% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
4.00%, 12/06/37 | 565 | 608,011 | ||||||
4.20%, 12/06/47 | 200 | 219,975 | ||||||
Amazon.com, Inc. | ||||||||
2.10%, 05/12/31 | 1,060 | 1,073,735 | ||||||
2.88%, 05/12/41 | 490 | 505,395 | ||||||
3.10%, 05/12/51 | 620 | 648,179 | ||||||
3.25%, 05/12/61 | 510 | 542,774 | ||||||
|
| |||||||
3,598,069 | ||||||||
Internet Software & Services — 0.1% | ||||||||
Booking Holdings, Inc., 4.63%, 04/13/30(d) | 315 | 374,422 | ||||||
Expedia Group, Inc., 2.95%, 03/15/31(d) | 440 | 444,646 | ||||||
VeriSign, Inc., 2.70%, 06/15/31 | 630 | 640,294 | ||||||
|
| |||||||
1,459,362 | ||||||||
IT Services — 0.8% | ||||||||
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(a) | 140 | 143,517 | ||||||
Citrix Systems, Inc., 1.25%, 03/01/26 | 2,315 | 2,277,194 | ||||||
Gartner, Inc., 4.50%, 07/01/28(a) | 4,100 | 4,305,000 |
Security | Par (000) | Value | ||||||
IT Services (continued) |
| |||||||
International Business Machines Corp., 4.25%, 05/15/49 | $ | 330 | $ | 400,140 | ||||
j2 Global, Inc., 4.63%, 10/15/30(a) | 1,250 | 1,328,125 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 06/15/25 | 1,400 | 1,542,151 | ||||||
4.13%, 03/15/29 | 2,286 | 2,596,161 | ||||||
|
| |||||||
12,592,288 | ||||||||
Life Sciences Tools & Services — 0.2% | ||||||||
Agilent Technologies, Inc., 2.30%, 03/12/31 | 2,495 | 2,497,539 | ||||||
|
| |||||||
Machinery — 0.6% | ||||||||
Caterpillar, Inc., 1.90%, 03/12/31(d) | 2,050 | 2,039,328 | ||||||
Deere & Co., 2.75%, 04/15/25 | 215 | 227,618 | ||||||
IDEX Corp., 2.63%, 06/15/31 | 4,209 | 4,282,556 | ||||||
Otis Worldwide Corp. | ||||||||
3.11%, 02/15/40 | 70 | 71,750 | ||||||
3.36%, 02/15/50 | 70 | 73,227 | ||||||
Terex Corp., 5.00%, 05/15/29(a)(d) | 2,500 | 2,590,625 | ||||||
|
| |||||||
9,285,104 | ||||||||
Media — 0.9% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.46%, 07/23/22 | 200 | 205,081 | ||||||
4.91%, 07/23/25 | 1,350 | 1,518,243 | ||||||
5.38%, 04/01/38 | 340 | 410,270 | ||||||
3.70%, 04/01/51 | 410 | 399,186 | ||||||
4.40%, 12/01/61 | 505 | 525,180 | ||||||
3.95%, 06/30/62(e) | 290 | 279,760 | ||||||
Comcast Corp. | ||||||||
3.38%, 02/15/25 | 1,590 | 1,711,702 | ||||||
2.35%, 01/15/27 | 400 | 419,544 | ||||||
4.60%, 10/15/38 | 450 | 550,096 | ||||||
3.25%, 11/01/39 | 255 | 269,228 | ||||||
2.89%, 11/01/51(a) | 578 | 554,405 | ||||||
2.65%, 08/15/62 | 1,340 | 1,187,391 | ||||||
Fox Corp., 4.03%, 01/25/24 | 340 | 364,799 | ||||||
TEGNA, Inc. | ||||||||
4.75%, 03/15/26(a) | 480 | 500,700 | ||||||
5.00%, 09/15/29(d) | 2,450 | 2,523,622 | ||||||
Thomson Reuters Corp., 3.35%, 05/15/26 | 800 | 863,776 | ||||||
Time Warner Cable LLC, 4.50%, 09/15/42 | 500 | 547,171 | ||||||
WMG Acquisition Corp., 3.00%, 02/15/31(a)(d) | 1,030 | 1,005,537 | ||||||
|
| |||||||
13,835,691 | ||||||||
Metals & Mining — 0.8% | ||||||||
ArcelorMittal SA, 4.25%, 07/16/29 | 160 | 176,072 | ||||||
Freeport-McMoRan, Inc., 5.45%, 03/15/43(d) | 400 | 492,500 | ||||||
Newmont Corp., 2.25%, 10/01/30 | 695 | 691,343 | ||||||
Reliance Steel & Aluminum Co., 2.15%, 08/15/30(d) | 4,455 | 4,355,516 | ||||||
Southern Copper Corp. | ||||||||
3.88%, 04/23/25 | 922 | 997,085 | ||||||
6.75%, 04/16/40 | 115 | 159,994 | ||||||
Vale Overseas Ltd. | ||||||||
3.75%, 07/08/30 | 2,422 | 2,499,988 | ||||||
6.88%, 11/21/36(d) | 395 | 524,116 | ||||||
6.88%, 11/10/39(d) | 757 | 1,024,221 | ||||||
Vale SA, 5.63%, 09/11/42(d) | 1,070 | 1,307,941 | ||||||
|
| |||||||
12,228,776 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENT S | 7 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Multi-Utilities — 0.3% | ||||||||
Atmos Energy Corp. | ||||||||
3.00%, 06/15/27(d) | $ | 400 | $ | 430,108 | ||||
1.50%, 01/15/31 | 760 | 714,959 | ||||||
National Fuel Gas Co., 2.95%, 03/01/31 | 335 | 339,207 | ||||||
NiSource, Inc. | ||||||||
3.60%, 05/01/30(d) | 60 | 65,776 | ||||||
1.70%, 02/15/31 | 610 | 574,614 | ||||||
3.95%, 03/30/48 | 310 | 350,794 | ||||||
Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29 | 500 | 541,558 | ||||||
Southern California Gas Co. | ||||||||
Series TT, 2.60%, 06/15/26 | 800 | 845,936 | ||||||
Series XX, 2.55%, 02/01/30 | 730 | 749,948 | ||||||
Southwest Gas Corp. | ||||||||
3.70%, 04/01/28 | 230 | 253,195 | ||||||
2.20%, 06/15/30 | 85 | 83,815 | ||||||
Washington Gas Light Co., 3.65%, 09/15/49 | 30 | 33,655 | ||||||
|
| |||||||
4,983,565 | ||||||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||||
Apache Corp., 4.88%, 11/15/27 | 825 | 899,679 | ||||||
Cenovus Energy, Inc., 5.38%, 07/15/25 | 636 | 724,440 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.13%, 06/30/27 | 2,900 | 3,352,710 | ||||||
3.70%, 11/15/29 | 1,636 | 1,775,387 | ||||||
Cheniere Energy, Inc., 4.63%, 10/15/28 | 1,250 | 1,317,188 | ||||||
Chevron Corp. | ||||||||
1.55%, 05/11/25 | 550 | 562,337 | ||||||
2.98%, 05/11/40 | 70 | 72,361 | ||||||
3.08%, 05/11/50 | 60 | 62,105 | ||||||
Chevron USA, Inc., 5.25%, 11/15/43 | 370 | 498,937 | ||||||
CNOOC Finance USA LLC, Series 2015, 3.50%, 05/05/25(d) | 600 | 638,363 | ||||||
CNX Resources Corp., 7.25%, 03/14/27(a)(d) | 750 | 798,525 | ||||||
Continental Resources, Inc., 4.38%, 01/15/28(d) | 1,200 | 1,327,500 | ||||||
Diamondback Energy, Inc., 4.40%, 03/24/51 | 185 | 209,842 | ||||||
Enbridge, Inc. | ||||||||
2.50%, 08/01/33 | 150 | 150,581 | ||||||
3.40%, 08/01/51(d) | 195 | 196,454 | ||||||
Energy Transfer LP, 5.00%, 05/15/50 | 450 | 519,176 | ||||||
Equinor ASA | ||||||||
3.25%, 11/10/24 | 400 | 429,858 | ||||||
3.25%, 11/18/49 | 500 | 529,817 | ||||||
Exxon Mobil Corp. | ||||||||
2.99%, 03/19/25 | 2,170 | 2,314,978 | ||||||
3.45%, 04/15/51(d) | 835 | 887,962 | ||||||
MPLX LP | ||||||||
4.88%, 12/01/24 | 209 | 231,499 | ||||||
4.50%, 04/15/38 | 125 | 139,542 | ||||||
5.20%, 03/01/47 | 70 | 84,903 | ||||||
4.70%, 04/15/48 | 805 | 929,430 | ||||||
5.50%, 02/15/49 | 685 | 868,296 | ||||||
4.90%, 04/15/58 | 340 | 394,770 | ||||||
Occidental Petroleum Corp. | ||||||||
8.50%, 07/15/27 | 630 | 789,031 | ||||||
8.88%, 07/15/30 | 975 | 1,324,469 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/22 | 1,000 | 1,020,894 | ||||||
4.90%, 03/15/25 | 2,000 | 2,217,840 | ||||||
6.13%, 02/01/41 | 75 | 96,414 | ||||||
ONEOK, Inc. | ||||||||
2.75%, 09/01/24(d) | 1,475 | 1,546,021 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
ONEOK, Inc. (continued) | ||||||||
6.35%, 01/15/31(d) | $ | 1,140 | $ | 1,459,416 | ||||
7.15%, 01/15/51 | 80 | 115,807 | ||||||
Pioneer Natural Resources Co., 2.15%, 01/15/31(d) | 150 | 145,861 | ||||||
Rockies Express Pipeline LLC, 4.95%, 07/15/29(a) | 750 | 780,000 | ||||||
Southwestern Energy Co., 8.38%, 09/15/28(d) | 140 | 158,582 | ||||||
Targa Resources Partners LP/Targa Resources | ||||||||
Partners Finance Corp., 5.50%, 03/01/30 | 1,100 | 1,202,781 | ||||||
TransCanada PipeLines Ltd., 3.75%, 10/16/23 | 800 | 844,119 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 05/15/50 | 95 | 106,527 | ||||||
Western Midstream Operating LP, 5.30%, 02/01/30 | 1,150 | 1,270,750 | ||||||
Williams Cos., Inc., 5.10%, 09/15/45 | 601 | 744,087 | ||||||
|
| |||||||
33,739,239 | ||||||||
Personal Products — 0.2% | ||||||||
Procter & Gamble Co., 1.20%, 10/29/30 | 2,115 | 2,012,001 | ||||||
Unilever Capital Corp., 2.00%, 07/28/26(d) | 800 | 830,317 | ||||||
|
| |||||||
2,842,318 | ||||||||
Pharmaceuticals — 1.3% | ||||||||
AbbVie, Inc. | ||||||||
2.60%, 11/21/24 | 3,520 | 3,700,330 | ||||||
4.05%, 11/21/39 | 50 | 57,460 | ||||||
AstraZeneca PLC | ||||||||
3.50%, 08/17/23 | 1,200 | 1,268,093 | ||||||
3.13%, 06/12/27 | 990 | 1,078,063 | ||||||
Bristol-Myers Squibb Co., 3.45%, 11/15/27 | 557 | 619,211 | ||||||
Cigna Corp., 3.75%, 07/15/23 | 444 | 469,312 | ||||||
CVS Health Corp., 3.00%, 08/15/26 | 75 | 80,520 | ||||||
Eli Lilly & Co., 2.75%, 06/01/25 | 378 | 400,025 | ||||||
Johnson & Johnson | ||||||||
3.70%, 03/01/46 | 1,329 | 1,560,623 | ||||||
2.25%, 09/01/50(d) | 320 | 295,873 | ||||||
2.45%, 09/01/60 | 250 | 233,201 | ||||||
Merck & Co., Inc. | ||||||||
2.75%, 02/10/25 | 800 | 846,976 | ||||||
0.75%, 02/24/26(d) | 5,085 | 5,016,673 | ||||||
4.00%, 03/07/49 | 330 | 397,090 | ||||||
Novartis Capital Corp., 2.75%, 08/14/50 | 561 | 564,564 | ||||||
Pfizer, Inc., 7.20%, 03/15/39 | 80 | 128,210 | ||||||
Viatris, Inc., 1.65%, 06/22/25(a) | 180 | 181,801 | ||||||
Zoetis, Inc. | ||||||||
3.00%, 09/12/27(d) | 1,800 | 1,937,999 | ||||||
3.90%, 08/20/28 | 5 | 5,619 | ||||||
3.00%, 05/15/50(d) | 1,130 | 1,138,018 | ||||||
|
| |||||||
19,979,661 | ||||||||
Producer Durables: Miscellaneous — 0.6% | ||||||||
Oracle Corp. | ||||||||
2.50%, 04/01/25 | 4,025 | 4,210,648 | ||||||
2.95%, 05/15/25 | 800 | 848,843 | ||||||
2.88%, 03/25/31 | 3,400 | 3,498,591 | ||||||
3.95%, 03/25/51 | 1,100 | 1,160,081 | ||||||
salesforce.com, Inc. | ||||||||
1.50%, 07/15/28 | 125 | 124,376 | ||||||
1.95%, 07/15/31(d) | 80 | 79,621 | ||||||
2.70%, 07/15/41 | 75 | 74,778 | ||||||
2.90%, 07/15/51 | 50 | 49,874 | ||||||
3.05%, 07/15/61 | 25 | 25,291 | ||||||
|
| |||||||
10,072,103 |
8 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Real Estate Management & Development — 0.0% |
| |||||||
CBRE Services, Inc., 4.88%, 03/01/26 | $ | 670 | $ | 764,077 | ||||
|
| |||||||
Road & Rail — 0.3% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
3.00%, 04/01/25 | 800 | 854,812 | ||||||
3.05%, 02/15/51 | 990 | 1,020,574 | ||||||
CSX Corp., 2.60%, 11/01/26(d) | 800 | 848,530 | ||||||
Union Pacific Corp. | ||||||||
2.75%, 04/15/23(d) | 1,590 | 1,637,684 | ||||||
3.25%, 08/15/25 | 400 | 430,351 | ||||||
|
| |||||||
4,791,951 | ||||||||
Semiconductors & Semiconductor Equipment — 1.0% | ||||||||
Analog Devices, Inc. | ||||||||
2.95%, 04/01/25 | 225 | 240,011 | ||||||
1.70%, 10/01/28 | 385 | 385,815 | ||||||
2.80%, 10/01/41 | 240 | 240,030 | ||||||
2.95%, 10/01/51 | 180 | 179,938 | ||||||
Broadcom, Inc. | ||||||||
3.15%, 11/15/25 | 198 | 211,619 | ||||||
3.50%, 02/15/41(a) | 130 | 128,451 | ||||||
3.75%, 02/15/51(a) | 1,315 | 1,312,238 | ||||||
Flex Ltd., 3.75%, 02/01/26 | 230 | 250,012 | ||||||
Intel Corp., 3.40%, 03/25/25 | 4,490 | 4,852,275 | ||||||
Jabil, Inc., 1.70%, 04/15/26(d) | 1,055 | 1,060,532 | ||||||
Maxim Integrated Products, Inc., 3.38%, 03/15/23 | 1,000 | 1,034,255 | ||||||
Micron Technology, Inc. | ||||||||
2.50%, 04/24/23 | 940 | 967,523 | ||||||
4.19%, 02/15/27(d) | 280 | 314,830 | ||||||
4.66%, 02/15/30 | 755 | 871,459 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(a) | 190 | 198,111 | ||||||
ON Semiconductor Corp., 3.88%, 09/01/28(a) | 1,500 | 1,548,750 | ||||||
Sensata Technologies, Inc., 4.38%, 02/15/30(a) | 800 | 860,768 | ||||||
Texas Instruments, Inc. | ||||||||
1.75%, 05/04/30 | 730 | 722,506 | ||||||
2.70%, 09/15/51 | 870 | 855,904 | ||||||
|
| |||||||
16,235,027 | ||||||||
Software — 0.8% | ||||||||
Activision Blizzard, Inc. | ||||||||
1.35%, 09/15/30(d) | 365 | 338,281 | ||||||
2.50%, 09/15/50 | 445 | 385,308 | ||||||
Electronic Arts, Inc. | ||||||||
1.85%, 02/15/31 | 1,310 | 1,266,864 | ||||||
2.95%, 02/15/51(d) | 565 | 542,661 | ||||||
Intuit, Inc. | ||||||||
0.95%, 07/15/25 | 405 | 404,532 | ||||||
1.35%, 07/15/27 | 1,410 | 1,402,681 | ||||||
1.65%, 07/15/30 | 1,415 | 1,378,779 | ||||||
Roper Technologies, Inc. | ||||||||
3.65%, 09/15/23(d) | 800 | 847,521 | ||||||
3.80%, 12/15/26 | 1,000 | 1,110,799 | ||||||
ServiceNow, Inc., 1.40%, 09/01/30 | 5,492 | 5,151,059 | ||||||
VMware, Inc., 2.95%, 08/21/22 | 160 | 163,308 | ||||||
|
| |||||||
12,991,793 | ||||||||
Specialty Retail — 0.1% | ||||||||
QVC, Inc., 4.38%, 09/01/28(d) | 1,700 | 1,757,375 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
Adobe, Inc. | ||||||||
1.90%, 02/01/25 | 745 | 769,358 | ||||||
2.15%, 02/01/27 | 2,090 | 2,189,798 |
Security | Par (000) | Value | ||||||
Technology Hardware, Storage & Peripherals (continued) |
| |||||||
Apple, Inc. | ||||||||
3.00%, 06/20/27 | $ | 925 | $ | 1,012,638 | ||||
1.40%, 08/05/28 | 850 | 836,314 | ||||||
2.70%, 08/05/51 | 890 | 858,188 | ||||||
2.85%, 08/05/61 | 450 | 434,204 | ||||||
Dell International LLC/EMC Corp. | ||||||||
5.85%, 07/15/25 | 230 | 267,584 | ||||||
8.10%, 07/15/36 | 235 | 356,347 | ||||||
8.35%, 07/15/46 | 2,650 | 4,297,919 | ||||||
Hewlett Packard Enterprise Co., 4.45%, 10/02/23 | 3,690 | 3,952,516 | ||||||
HP, Inc. | ||||||||
2.20%, 06/17/25 | 1,030 | 1,062,930 | ||||||
1.45%, 06/17/26(a) | 2,410 | 2,397,076 | ||||||
3.00%, 06/17/27(d) | 1,250 | 1,334,833 | ||||||
3.40%, 06/17/30 | 365 | 388,307 | ||||||
2.65%, 06/17/31(a) | 5,341 | 5,288,096 | ||||||
6.00%, 09/15/41(d) | 494 | 637,774 | ||||||
NetApp, Inc., 2.38%, 06/22/27 | 165 | 172,132 | ||||||
|
| |||||||
26,256,014 | ||||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
NIKE, Inc. | ||||||||
2.40%, 03/27/25 | 245 | 257,107 | ||||||
3.25%, 03/27/40 | 2,075 | 2,271,072 | ||||||
VF Corp., 2.05%, 04/23/22 | 3,025 | 3,053,547 | ||||||
|
| |||||||
5,581,726 | ||||||||
Tobacco — 1.0% | ||||||||
Altria Group, Inc. | ||||||||
4.80%, 02/14/29 | 2,415 | 2,775,284 | ||||||
2.45%, 02/04/32 | 2,980 | 2,855,525 | ||||||
5.80%, 02/14/39 | 1,127 | 1,385,852 | ||||||
4.45%, 05/06/50 | 215 | 225,932 | ||||||
3.70%, 02/04/51 | 430 | 404,863 | ||||||
4.00%, 02/04/61 | 365 | 349,581 | ||||||
BAT Capital Corp. | ||||||||
4.39%, 08/15/37 | 510 | 547,757 | ||||||
3.73%, 09/25/40 | 125 | 120,598 | ||||||
Philip Morris International, Inc. | ||||||||
0.88%, 05/01/26 | 2,670 | 2,620,553 | ||||||
2.10%, 05/01/30 | 670 | 665,754 | ||||||
6.38%, 05/16/38 | 2,010 | 2,819,222 | ||||||
4.25%, 11/10/44(d) | 1,020 | 1,166,528 | ||||||
Reynolds American, Inc., 5.85%, 08/15/45 | 420 | 503,940 | ||||||
|
| |||||||
16,441,389 | ||||||||
Transportation Infrastructure — 0.2% | ||||||||
United Parcel Service, Inc., 5.30%, 04/01/50(d) | 1,725 | 2,491,023 | ||||||
|
| |||||||
Utilities — 0.3% | ||||||||
American Water Capital Corp. | ||||||||
2.80%, 05/01/30 | 270 | 283,204 | ||||||
2.30%, 06/01/31 | 1,335 | 1,348,679 | ||||||
Essential Utilities, Inc. | ||||||||
3.57%, 05/01/29 | 630 | 688,240 | ||||||
2.70%, 04/15/30 | 380 | 391,921 | ||||||
Vistra Operations Co. LLC, 5.00%, 07/31/27(a) | 1,250 | 1,290,625 | ||||||
|
| |||||||
4,002,669 | ||||||||
Wireless Telecommunication Services — 0.8% | ||||||||
America Movil SAB de CV, 4.38%, 07/16/42 | 710 | 845,816 | ||||||
American Tower Corp., 1.30%, 09/15/25 | 680 | 680,134 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23 | 1,270 | 1,333,085 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 9 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Wireless Telecommunication Services (continued) |
| |||||||
Crown Castle International Corp. | ||||||||
3.20%, 09/01/24(d) | $ | 625 | $ | 665,122 | ||||
1.35%, 07/15/25(d) | 2,205 | 2,215,404 | ||||||
2.50%, 07/15/31 | 450 | 449,635 | ||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
5.75%, 06/01/28 | 1,145 | 1,343,371 | ||||||
5.30%, 01/15/29 | 2,545 | 2,975,515 | ||||||
4.00%, 01/15/31 | 1,158 | 1,249,019 | ||||||
T-Mobile USA, Inc., 3.50%, 04/15/25 | 25 | 26,933 | ||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(a)(d) | 155 | 159,443 | ||||||
VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30(a)(d) | 500 | 530,000 | ||||||
|
| |||||||
12,473,477 | ||||||||
|
| |||||||
Total Corporate Bonds — 45.9% | 715,114,714 | |||||||
|
| |||||||
Foreign Agency Obligations |
| |||||||
Indonesia — 0.0% | ||||||||
Indonesia Government International Bond, 4.75%, 07/18/47(a) | 500 | 586,344 | ||||||
|
| |||||||
Israel — 0.0% | ||||||||
State of Israel, 3.38%, 01/15/50(d) | 390 | 413,961 | ||||||
|
| |||||||
Mexico — 0.2% | ||||||||
Mexico Government International Bond | ||||||||
4.15%, 03/28/27(d) | 1,145 | 1,290,415 | ||||||
6.05%, 01/11/40 | 100 | 122,487 | ||||||
4.50%, 01/31/50 | 340 | 348,245 | ||||||
3.77%, 05/24/61 | 735 | 652,680 | ||||||
|
| |||||||
2,413,827 | ||||||||
Panama — 0.0% | ||||||||
Panama Government International Bond, 3.87%, 07/23/60(d) | 830 | 810,184 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
Peruvian Government International Bond, 3.55%, 03/10/51(d) | 900 | 892,575 | ||||||
|
| |||||||
Philippines — 0.0% | ||||||||
Philippine Government International Bond, 2.65%, 12/10/45 | 200 | 183,037 | ||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
Uruguay Government International Bond | ||||||||
5.10%, 06/18/50 | 1,000 | 1,272,375 | ||||||
4.98%, 04/20/55 | 50 | 62,478 | ||||||
|
| |||||||
1,334,853 | ||||||||
|
| |||||||
Total Foreign Agency Obligations — 0.4% | 6,634,781 | |||||||
|
| |||||||
Municipal Bonds | ||||||||
California — 0.2% | ||||||||
Bay Area Toll Authority, RB, BAB | ||||||||
Series F-2, 6.26%, 04/01/49. | 250 | 402,002 | ||||||
Series S-1, 6.92%, 04/01/40 | 50 | 75,488 | ||||||
California State University, Refunding RB, Series B, 2.98%, 11/01/51 | 595 | 603,961 |
Security | Par (000) | Value | ||||||
California (continued) |
| |||||||
Regents of the University of California Medical Center Pooled Revenue, RB | ||||||||
Series N, 3.01%, 05/15/50 | $ | 120 | $ | 121,046 | ||||
Series N, 3.71%, 05/15/2120 | 85 | 90,125 | ||||||
State of California, GO, BAB | ||||||||
7.55%, 04/01/39 | 525 | 883,722 | ||||||
7.60%, 11/01/40(d) | 300 | 522,381 | ||||||
State of California, Refunding GO, 3.50%, 04/01/28 | 500 | 560,390 | ||||||
University of California, RB, Series AD, 4.86%, 05/15/2112 | 115 | 160,310 | ||||||
University of California, Refunding RB, Series J, 4.13%, 05/15/45 | 150 | 176,543 | ||||||
|
| |||||||
3,595,968 | ||||||||
District of Columbia — 0.0% | ||||||||
District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48 | 200 | 204,292 | ||||||
|
| |||||||
Florida — 0.0% | ||||||||
State Board of Administration Finance Corp., RB, Series A, 2.15%, 07/01/30 | 119 | 120,113 | ||||||
|
| |||||||
Illinois — 0.1% | ||||||||
Chicago O’Hare International Airport, ARB, Series C, Senior Lien, 4.47%, 01/01/49 | 310 | 399,401 | ||||||
State of Illinois, GO, 5.10%, 06/01/33 | 255 | 297,302 | ||||||
|
| |||||||
696,703 | ||||||||
Maryland — 0.0% | ||||||||
Maryland Health & Higher Educational Facilities Authority, Refunding RB | ||||||||
Series D, 3.05%, 07/01/40(d) | 115 | 118,579 | ||||||
Series D, 3.20%, 07/01/50 | 80 | 82,278 | ||||||
|
| |||||||
200,857 | ||||||||
Massachusetts — 0.0% | ||||||||
Commonwealth of Massachusetts, GO, Series H, 2.90%, 09/01/49 | 295 | 306,720 | ||||||
|
| |||||||
New Jersey — 0.1% | ||||||||
New Jersey Turnpike Authority, RB, BAB, Series A, 7.10%, 01/01/41 | 550 | 877,096 | ||||||
|
| |||||||
New York — 0.2% | ||||||||
Metropolitan Transportation Authority, RB, BAB, 6.81%, 11/15/40 | 355 | 513,500 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB, 5.51%, 08/01/37 | 110 | 147,342 | ||||||
New York City Water & Sewer System, Refunding RB, 5.88%, 06/15/44 | 250 | 382,645 | ||||||
New York State Dormitory Authority, Refunding RB, Series B, 3.14%, 07/01/43(d) | 255 | 267,276 | ||||||
Port Authority of New York & New Jersey, ARB, Consolidated, 192nd Series, 4.81%, 10/15/65(d) | 50 | 68,353 | ||||||
Port Authority of New York & New Jersey, RB, 191th Series, 4.82%, 06/01/45 | 200 | 221,184 | ||||||
Port Authority of New York & New Jersey, Refunding ARB, 210th Series, 4.03%, 09/01/48(d) | 500 | 600,415 | ||||||
|
| |||||||
2,200,715 | ||||||||
Pennsylvania — 0.0% | ||||||||
Pennsylvania State University, Refunding RB, Series D, 2.84%, 09/01/50 | 80 | 80,067 | ||||||
|
|
10 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Texas — 0.1% | ||||||||
Board of Regents of the University of Texas System, Refunding RB, Series B, 2.44%, 08/15/49 | $ | 405 | $ | 387,358 | ||||
Grand Parkway Transportation Corp., Refunding RB, Subordinate, 3.24%, 10/01/52 | 400 | 409,696 | ||||||
Texas Transportation Commission State Highway Fund, Refunding RB, 4.00%, 10/01/33 | 690 | 837,288 | ||||||
Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44 | 465 | 462,568 | ||||||
|
| |||||||
2,096,910 | ||||||||
Virginia — 0.0% | ||||||||
University of Virginia, Refunding RB, 2.58%, 11/01/51 | 60 | 59,287 | ||||||
|
| |||||||
Total Municipal Bonds — 0.7% | 10,438,728 | |||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Collateralized Mortgage Obligations — 7.6% | ||||||||
American Home Mortgage Investment Trust, Series 2004-3, Class 4A, (6 mo. LIBOR US + 1.50%), 1.65%, 10/25/34(b) | 21 | 21,361 | ||||||
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 02/25/21 | 2 | 2,473 | ||||||
Citigroup Mortgage Loan Trust(a)(b) | ||||||||
Series 2013-A, Class A, 3.00%, 05/25/42 | 6 | 6,335 | ||||||
Series 2014-A, Class A, 4.00%, 01/25/35 | 44 | 44,964 | ||||||
Connecticut Avenue Securities Trust(a)(b) | ||||||||
Series 2018-R07, Class 1M2, (1 mo. LIBOR US + 2.40%), 2.49%, 04/25/31 | 3,535 | 3,551,263 | ||||||
Series 2019-R01, Class 2M2, (1 mo. LIBOR US + 2.45%), 2.54%, 07/25/31 | 2,823 | 2,839,063 | ||||||
Series 2019-R02, Class 1M2, (1 mo. LIBOR US + 2.30%), 2.39%, 08/25/31 | 5,848 | 5,888,190 | ||||||
Series 2019-R03, Class 1M2, (1 mo. LIBOR US + 2.15%), 2.24%, 09/25/31 | 2,252 | 2,265,287 | ||||||
Series 2019-R04, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.19%, 06/25/39 | 2,153 | 2,158,253 | ||||||
Series 2019-R05, Class 1J1, 2.08%, 07/25/39 | 1,278 | 1,264,682 | ||||||
Series 2019-R05, Class 1M2, (1 mo. LIBOR US + 2.00%), 2.09%, 07/25/39 | 3,491 | 3,499,993 | ||||||
Series 2019-R06, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.19%, 09/25/39 | 3,018 | 3,026,680 | ||||||
Series 2019-R07, Class 1M2, (1 mo. LIBOR US + 2.10%), 2.19%, 10/25/39 | 1,738 | 1,747,100 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-6, Class 3A1, 5.00%, 09/25/19 | 7 | 5,823 | ||||||
Fannie Mae(b) | ||||||||
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.55%), 3.64%, 07/25/29 | 948 | 976,636 | ||||||
Series 2017-C03, Class 1ED1, (1 mo. LIBOR US + 0.70%), 0.79%, 10/25/29(c) | 6,307 | 6,294,975 | ||||||
Series 2017-C05, Class 1EB3, (1 mo. LIBOR US + 1.20%), 1.29%, 01/25/30 | 4,433 | 4,437,021 | ||||||
Fannie Mae Connecticut Avenue Securities(b) | ||||||||
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.20%), 2.29%, 01/25/30 | 6,615 | 6,759,881 | ||||||
Series 2018-C01, Class 1EA1, (1 mo. LIBOR US + 0.45%), 0.54%, 07/25/30 | 740 | 727,987 |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac(b) | ||||||||
Series 2017-HQA3, Class M2, (1 mo. LIBOR US + 2.35%), 2.44%, 04/25/30 | $ | 5,454 | $ | 5,566,755 | ||||
Series 2020-DNA4, Class M2B, (1 mo. LIBOR US + 3.75%), 3.84%, 08/25/50(a) | 7,358 | 7,413,996 | ||||||
Series 2020-HQA3, Class M2, (1 mo. LIBOR US + 3.60%), 3.69%, 07/25/50(a) | 3,550 | 3,582,688 | ||||||
Series 2021-DNA3, Class M1, (30 day SOFR + 0.75%), 0.80%, 10/25/33(a) | 705 | 705,714 | ||||||
Series 2021-DNA3, Class M2, (30 day SOFR + 2.10%), 2.15%, 10/25/33(a) | 670 | 683,608 | ||||||
Series 2021-DNA5, Class M1, (30 day SOFR + 0.65%), 0.70%, 01/25/34(a) | 2,383 | 2,384,502 | ||||||
Series 2021-DNA5, Class M2, (30 day SOFR + 1.65%), 1.70%, 01/25/34(a) | 1,970 | 1,986,094 | ||||||
Series 2021-HQA2, Class M1, (30 day SOFR + 0.70%), 0.75%, 12/25/33(a) | 3,180 | 3,182,181 | ||||||
Freddie Mac STACR REMIC Trust(a)(b) | ||||||||
Series 2020-DNA3, Class M2, (1 mo. LIBOR US + 3.00%), 3.09%, 06/25/50 | 4,974 | 4,997,491 | ||||||
Series 2020-DNA6, Class M1, (30 day SOFR + 0.90%), 0.95%, 12/25/50 | 2,234 | 2,235,290 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||||||
(30 day SOFR + 0.80%), 0.85%, 08/25/33(a) | 5,079 | 5,085,595 | ||||||
Series 2016-DNA1, Class M3, (1 mo. LIBOR US + 5.55%), 5.63%, 07/25/28 | 1,422 | 1,490,898 | ||||||
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.25%), 3.34%, 07/25/29 | 7,817 | 8,068,000 | ||||||
Series 2017-DNA2, Class M1, (1 mo. LIBOR US + 1.20%), 1.29%, 10/25/29 | 194 | 193,753 | ||||||
Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.45%), 3.54%, 10/25/29 | 7,970 | 8,260,669 | ||||||
Series 2017-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 03/25/30 | 165 | 165,035 | ||||||
Series 2020-HQA5, Class M1, (30 day SOFR + 1.10%), 1.15%, 11/25/50(a) | 474 | 474,327 | ||||||
Morgan Stanley Capital I Trust, 2.57%, 09/15/31(e) | 4,250 | 4,377,455 | ||||||
STACR Trust(a)(b) | ||||||||
Series 2018-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 09/25/48 | 17 | 17,006 | ||||||
Series 2018-DNA3, Class M2, (1 mo. LIBOR US + 2.10%), 2.19%, 09/25/48 | 4,273 | 4,336,780 | ||||||
Series 2018-HRP1, Class M2, (1 mo. LIBOR US + 1.65%), 1.74%, 04/25/43 | 4,865 | 4,878,354 | ||||||
Series 2018-HRP1, Class M2B, (1 mo. LIBOR US + 1.65%), 1.74%, 04/25/43 | 1,685 | 1,686,187 | ||||||
Series 2018-HRP2, Class M2, (1 mo. LIBOR US + 1.25%), 1.34%, 02/25/47 | 1,592 | 1,594,086 | ||||||
|
| |||||||
118,884,431 | ||||||||
Commercial Mortgage-Backed Securities — 4.2% | ||||||||
Bank | ||||||||
Series 2019-BN23, Class A3, 2.92%, 12/15/52 | 2,230 | 2,376,458 | ||||||
Series 2020-BN29, Class A4, 2.00%, 11/15/53 | 1,740 | 1,723,474 | ||||||
Barclays Commercial Mortgage Trust, Series 2019- C4, Class A5, 2.92%, 08/15/52 | 1,400 | 1,488,911 | ||||||
BBCMS Mortgage Trust, Series 2020-C8, Class A5, 2.04%, 10/15/53 | 2,376 | 2,363,907 | ||||||
BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54 | 1,660 | 1,709,612 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 11 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Benchmark 2021-B23 Mortgage Trust, 2.07%, 02/15/54 | $ | 1,480 | $ | 1,472,212 | ||||
Benchmark 2021-B29 Mortgage Trust, Series 2021- B29, Class A5, 2.39%, 09/15/54 | 2,420 | 2,467,408 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 | 1,290 | 1,478,217 | ||||||
Series 2019-B15, Class A5, 2.93%, 12/15/72 | 2,050 | 2,182,677 | ||||||
Series 2020-B19, Class A5, 1.85%, 09/15/53 | 2,300 | 2,260,291 | ||||||
Series 2020-B20, Class A5, 2.03%, 10/15/53 | 2,220 | 2,206,882 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2006-C5, Class AJ, 5.48%, 10/15/49 | 18 | 15,230 | ||||||
Series 2016-GC36, Class A5, 3.62%, 02/10/49 | 550 | 599,173 | ||||||
Series 2017-P8, Class AS, 3.79%, 09/15/50(b) | 2,090 | 2,297,037 | ||||||
COMM Mortgage Trust, Series 2015-CR22, Class A2, 2.86%, 03/10/48 | 1,418 | 1,418,547 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-CR11, Class B, 5.28%, 08/10/50(b) | 380 | 407,609 | ||||||
Series 2013-LC6, Class AM, 3.28%, 01/10/46 | 400 | 411,774 | ||||||
Series 2014-CR17, Class A5, 3.98%, 05/10/47 | 670 | 719,460 | ||||||
Commission Mortgage Trust, 3.51%, 09/10/50 | 1,290 | 1,416,244 | ||||||
Eleven Madison Avenue Mortgage Trust, Series 2015- 11MD, Class A, 3.67%, 09/10/35(a)(b) | 150 | 161,949 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2012-GCJ7, Class AS, 4.09%, 05/10/45 | 280 | 283,367 | ||||||
Series 2013-GC13, Class A5, 4.18%, 07/10/46(b) | 170 | 178,915 | ||||||
Series 2014-GC20, Class A5, 4.00%, 04/10/47 | 730 | 776,528 | ||||||
Series 2015-GC30, Class B, 4.16%, 05/10/50(b) | 300 | 322,582 | ||||||
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | 2,030 | 2,216,799 | ||||||
Series 2020-GC47, Class A4, 2.12%, 05/12/53 | 1,600 | 1,602,845 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2013-C14, Class A4, 4.13%, 08/15/46(b) | 324 | 337,652 | ||||||
Series 2013-C17, Class A3, 3.93%, 01/15/47 | 1,144 | 1,181,377 | ||||||
Series 2014-C25, Class AS, 4.07%, 11/15/47 | 2,180 | 2,317,175 | ||||||
Series 2015-C30, Class A5, 3.82%, 07/15/48 | 1,780 | 1,931,058 | ||||||
Series 2015-C33, Class A4, 3.77%, 12/15/48 | 2,360 | 2,588,633 | ||||||
Series 2016-C1, Class A5, 3.58%, 03/15/49 | 810 | 881,276 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2006-CB16, Class B, 5.67%, 05/12/45(b) | 210 | 10,823 | ||||||
Series 2012-CBX, Class AS, 4.27%, 06/15/45 | 350 | 356,713 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2013-C13, Class A4, 4.04%, 11/15/46 | 460 | 488,735 | ||||||
Series 2013-C9, Class A4, 3.10%, 05/15/46 | 2,270 | 2,343,930 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2012-C4, Class A4, 3.24%, 03/15/45 | 153 | 154,313 | ||||||
Series 2015-MS1, Class A4, 3.78%, 05/15/48(b) | 550 | 597,099 | ||||||
Series 2015-UBS8, Class A3, 3.54%, 12/15/48 | 3,010 | 3,228,307 | ||||||
Series 2019-L3, Class AS, 3.49%, 11/15/52 | 970 | 1,056,045 | ||||||
Series 2020-L4, Class A3, 2.70%, 02/15/53 | 3,070 | 3,214,013 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.34%, 08/15/54 | 2,300 | 2,331,309 | ||||||
Series 2014-LC18, Class AS, 3.81%, 12/15/47 | 510 | 544,406 | ||||||
Series 2015-C26, Class AS, 3.58%, 02/15/48 | 1,380 | 1,455,635 | ||||||
Series 2020-C56, Class A5, 2.45%, 06/15/53 | 1,980 | 2,036,505 | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||
Series 2012-C10, Class AS, 3.24%, 12/15/45 | 460 | 469,354 | ||||||
Series 2012-C8, Class AS, 3.66%, 08/15/45 | 640 | 652,471 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
WF-RBS Commercial Mortgage Trust (continued) |
| |||||||
Series 2013-C18, Class A5, 4.16%, 12/15/46(b) | $ | 620 | $ | 663,019 | ||||
Series 2014-C23, Class A4, 3.65%, 10/15/57 | 286 | 305,826 | ||||||
Series 2014-C23, Class AS, 4.21%, 10/15/57(b) | 1,140 | 1,224,641 | ||||||
|
| |||||||
64,928,423 | ||||||||
|
| |||||||
Total Non-Agency Mortgage-Backed |
| 183,812,854 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Collateralized Mortgage Obligations(b) — 5.3% | ||||||||
Fannie Mae Connecticut Avenue Securities |
| |||||||
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.25%), 4.34%, 01/25/29 | 3,062 | 3,174,069 | ||||||
Series 2016-C05, Class 2M2, (1 mo. LIBOR US + 4.45%), 4.54%, 01/25/29 | 291 | 301,699 | ||||||
Series 2017-C01, Class 1M2A, (1 mo. LIBOR US + 3.55%), 3.64%, 07/25/29 | 83 | 82,827 | ||||||
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.09%, 10/25/29 | 8,249 | 8,478,161 | ||||||
Series 2017-C05, Class 1M2A, (1 mo. LIBOR US + 2.20%), 2.29%, 01/25/30 | 229 | 228,935 | ||||||
Series 2017-C06, Class 1M2A, (1 mo. LIBOR US + 2.65%), 2.74%, 02/25/30 | 142 | 142,579 | ||||||
Series 2017-C07, Class 2M2, (1 mo. LIBOR US + 2.50%), 2.59%, 05/25/30 | 2,926 | 2,970,840 | ||||||
Series 2018-C01, Class 1M2, (1 mo. LIBOR US + 2.25%), 2.34%, 07/25/30 | 8,245 | 8,352,741 | ||||||
Series 2018-C02, Class 2ED2, (1 mo. LIBOR US + 0.90%), 0.99%, 08/25/30 | 5,530 | 5,480,084 | ||||||
Freddie Mac STACR REMIC Trust(a) | ||||||||
Series 2019-HQA4, Class M2, (1 mo. LIBOR US + 2.05%), 2.14%, 11/25/49 | 3,482 | 3,490,585 | ||||||
Series 2020-DNA1, Class M2, (1 mo. LIBOR US + 1.70%), 1.79%, 01/25/50 | 4,781 | 4,800,787 | ||||||
Series 2020-HQA1, Class M2, (1 mo. LIBOR US + 1.90%), 1.99%, 01/25/50 | 4,097 | 4,108,750 | ||||||
Freddie Mac STACR Trust(a) | ||||||||
Series 2018-HQA2, Class M2, (1 mo. LIBOR US + 2.30%), 2.39%, 10/25/48 | 8,400 | 8,512,983 | ||||||
Series 2019-DNA2, Class M2, (1 mo. LIBOR US + 2.45%), 2.54%, 03/25/49 | 7,324 | 7,433,575 | ||||||
Series 2019-DNA4, Class M2, (1 mo. LIBOR US + 1.95%), 2.04%, 10/25/49 | 3,663 | 3,676,727 | ||||||
Series 2019-FTR2, Class M1, (1 mo. LIBOR US + 0.95%), 1.04%, 11/25/48 | 2,462 | 2,463,001 | ||||||
Series 2019-HQA1, Class M2, (1 mo. LIBOR US + 2.35%), 2.44%, 02/25/49 | 7,537 | 7,620,247 | ||||||
Series 2019-HQA2, Class M2, (1 mo. LIBOR US + 2.05%), 2.14%, 04/25/49 | 1,280 | 1,287,455 | ||||||
Series 2019-HQA3, Class M2, (1 mo. LIBOR US + 1.85%), 1.94%, 09/25/49 | 5,211 | 5,234,121 | ||||||
Series 2020-DNA4, Class M2, (1 mo. LIBOR US + 3.75%), 3.84%, 08/25/50 | 1,151 | 1,161,696 |
12 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes |
| |||||||
Series 2016-DNA2, Class M3, (1 mo. LIBOR US + 4.65%), 4.74%, 10/25/28 | $ | 1,597 | $ | 1,657,806 | ||||
Series 2016-HQA3, Class M2, (1 mo. LIBOR US + 1.35%), 1.44%, 03/25/29 | 7 | 7,212 | ||||||
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.50%), 2.59%, 03/25/30 | 1,460 | 1,497,357 | ||||||
|
| |||||||
82,164,237 | ||||||||
Mortgage-Backed Securities — 31.8% | ||||||||
Fannie Mae | ||||||||
3.50%, 01/25/24(b) | 1,393 | 1,471,058 | ||||||
Series 2012-M13, Class A2, 2.38%, 05/25/22 | 1,680 | 1,696,379 | ||||||
Series 2012-M9, Class A2, 2.48%, 04/25/22 | 1,215 | 1,223,432 | ||||||
Series 2013-M3, Class A2, 2.51%, 11/25/22(b) | 3,297 | 3,347,718 | ||||||
Series 2016-M13, Class A2, 2.57%, 09/25/26(b) | 752 | 796,227 | ||||||
Series 2018-M1, Class A2, 3.08%, 12/25/27(b) | 1,463 | 1,591,837 | ||||||
Series 2018-M7, Class A2, 3.15%, 03/25/28(b) | 1,590 | 1,744,929 | ||||||
Series 2018-M8, Class A2, 3.44%, 06/25/28(b) | 3,750 | 4,167,099 | ||||||
Series 2020-M42, Class A2, 1.27%, 07/25/30 | 4,980 | 4,829,281 | ||||||
Freddie Mac | ||||||||
Series K031, Class A2, 3.30%, 04/25/23(b) | 281 | 292,423 | ||||||
Series K055, Class A2, 2.67%, 03/25/26 | 1,590 | 1,697,935 | ||||||
Series K060, Class A2, 3.30%, 10/25/26 | 1,190 | 1,308,976 | ||||||
Series K061, Class A2, 3.35%, 11/25/26(b) | 1,590 | 1,752,977 | ||||||
Series K064, Class A2, 3.22%, 03/25/27 | 2,790 | 3,065,537 | ||||||
Series K072, Class A2, 3.44%, 12/25/27 | 1,190 | 1,332,612 | ||||||
Series K073, Class A2, 3.35%, 01/25/28 | 1,610 | 1,793,239 | ||||||
Series K076, Class A2, 3.90%, 04/25/28 | 2,390 | 2,745,463 | ||||||
Series K115, Class A2, 1.38%, 06/25/30 | 4,940 | 4,856,908 | ||||||
Freddie Mac Mortgage-Backed Securities(a)(b) | ||||||||
Series 2021-DNA1, Class M1, (30 day SOFR + 0.65%), 0.70%, 01/25/51 | 4,125 | 4,125,099 | ||||||
Series 2021-HQA1, Class M1, (30 day SOFR + 0.70%), 0.75%, 08/25/33 | 4,595 | 4,596,942 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series K090, Class A2, 3.42%, 02/25/29 | 2,935 | 3,318,832 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class A2, 2.68%, 10/25/22 | 3,980 | 4,062,507 | ||||||
Ginnie Mae | ||||||||
3.00%, 12/20/45 - 12/20/50 | 2,331 | 2,454,403 | ||||||
2.50%, 02/20/51 | 870 | 897,850 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
6.50%, 06/15/28 - 07/15/38 | 64 | 73,723 | ||||||
7.50%, 08/20/30 | 2 | 2,772 | ||||||
6.00%, 01/15/32 - 10/20/38 | 155 | 180,190 | ||||||
5.00%, 11/20/33 - 10/01/51(f) | 1,809 | 2,037,230 | ||||||
5.50%, 06/15/34 - 04/20/48 | 511 | 601,370 | ||||||
4.50%, 03/15/39 - 10/01/51(f) | 2,956 | 3,199,817 | ||||||
4.00%, 09/15/40 - 09/15/49 | 7,762 | 8,363,614 | ||||||
3.50%, 01/15/41 - 04/20/48 | 17,455 | 18,670,351 | ||||||
3.00%, 01/20/43 - 10/01/51(f) | 15,407 | 16,189,799 | ||||||
2.50%, 12/20/46 - 10/01/51(e)(f) | 21,437 | 22,135,887 | ||||||
1.50%, 10/01/51(f) | 100 | 98,285 | ||||||
2.00%, 10/01/51(f) | 16,075 | 16,306,706 |
Security | Par (000) | Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Uniform Mortgage-Backed Securities |
| |||||||
2.50%, 10/14/21 - 11/01/51(f) | $ | 67,949 | $ | 70,557,757 | ||||
6.00%, 11/01/22 - 09/01/38 | 935 | 1,084,422 | ||||||
4.50%, 04/01/23 - 10/01/51(f) | 12,373 | 13,533,264 | ||||||
5.00%, 07/01/23 - 04/01/49 | 3,350 | 3,760,726 | ||||||
4.00%, 06/01/24 - 02/01/57(f) | 26,942 | 29,345,965 | ||||||
3.50%, 04/01/26 - 11/01/51(f) | 39,021 | 41,933,756 | ||||||
3.00%, 12/01/26 - 11/01/51(f) | 51,795 | 54,632,003 | ||||||
6.50%, 06/01/29 - 08/01/36 | 842 | 977,517 | ||||||
7.50%, 09/01/29 - 12/01/30 | 3 | 3,561 | ||||||
7.00%, 01/01/32 - 06/01/32 | 17 | 20,098 | ||||||
5.50%, 10/01/32 - 01/01/47 | 3,211 | 3,703,220 | ||||||
2.00%, 12/01/35 - 10/01/51(f)(g) | 103,550 | 104,510,090 | ||||||
1.50%, 10/01/36 - 10/01/51(f) | 24,900 | 24,643,001 | ||||||
(1 year CMT + 2.34%), 2.46%, 04/01/32(b) | 25 | 24,722 | ||||||
(11th District Cost of Funds + 1.25%), 1.53%, 11/01/27(b) | 53 | 53,427 | ||||||
(11th District Cost of Funds + 1.25%), 1.63%, 09/01/34(b) | 107 | 109,560 | ||||||
(12 mo. LIBOR US + 1.44%), 1.82%, 04/01/35(b) | 33 | 33,679 | ||||||
(12 mo. LIBOR US + 1.50%), 1.75%, 06/01/43(b) | 2 | 2,355 | ||||||
(12 mo. LIBOR US + 1.53%), 1.78%, 05/01/43(b) | 20 | 20,445 | ||||||
(12 mo. LIBOR US + 1.54%), 1.79%, 06/01/43(b) | 44 | 45,556 | ||||||
(12 mo. LIBOR US + 1.60%), 2.40%, 08/01/43(b) | 12 | 12,755 | ||||||
(12 mo. LIBOR US + 1.65%), 2.45%, 05/01/43(b) | 57 | 60,062 | ||||||
(12 mo. LIBOR US + 1.71%), 1.96%, 04/01/40(b) | 3 | 3,095 | ||||||
(12 mo. LIBOR US + 1.74%), 2.05%, 08/01/41(b) | 24 | 25,015 | ||||||
(12 mo. LIBOR US + 1.75%), 2.04%, 04/01/38(b) | 49 | 49,262 | ||||||
(12 mo. LIBOR US + 1.75%), 2.13%, 02/01/40(b) | 27 | 28,039 | ||||||
(12 mo. LIBOR US + 1.75%), 2.00%, 08/01/41(b) | 25 | 26,128 | ||||||
(12 mo. LIBOR US + 1.78%), 2.15%, 01/01/42(b) | 11 | 11,145 | ||||||
(12 mo. LIBOR US + 1.79%), 2.08%, 09/01/32(b) | 2 | 2,012 | ||||||
(12 mo. LIBOR US + 1.81%), 2.18%, 02/01/42(b) | 1 | 1,065 | ||||||
(12 mo. LIBOR US + 1.82%), 2.30%, 09/01/41(b) | 24 | 25,770 | ||||||
(12 mo. LIBOR US + 1.89%), 2.14%, 07/01/41(b) | 20 | 20,640 | ||||||
(12 mo. LIBOR US + 1.90%), 2.34%, 01/01/42(b) | 1 | 776 | ||||||
(6 mo. LIBOR US + 1.04%), 1.29%, 05/01/33(b) | 3 | 3,421 | ||||||
(6 mo. LIBOR US + 1.36%), 1.54%, 10/01/32(b) | 11 | 11,280 | ||||||
|
| |||||||
496,304,996 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency |
| 578,469,233 | ||||||
|
| |||||||
Total Long-Term Investments — 108.1% | 1,684,270,048 | |||||||
|
|
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 13 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Short-Term Securities | ||||||||
Money Market Funds — 5.0% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.08%(h)(i)(j) | 77,647,955 | $ | 77,686,779 | |||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.01%(h)(i) | 100,000 | 100,000 | ||||||
|
| |||||||
Total Short-Term Securities — 5.0% |
| 77,786,779 | ||||||
|
| |||||||
Total Investments Before TBA Sale |
| 1,762,056,827 | ||||||
|
| |||||||
Par (000) | ||||||||
TBA Sale Commitments(f) | ||||||||
Mortgage-Backed Securities — (1.0)% | ||||||||
Ginnie Mae Mortgage-Backed Securities, 2.50%, 10/21/50 | $ | (2,250 | ) | (2,322,686 | ) | |||
Uniform Mortgage-Backed Securities | ||||||||
2.00%, 10/14/51 | (7,000 | ) | (7,018,867 | ) | ||||
2.50%, 10/14/51 | (4,350 | ) | (4,485,088 | ) | ||||
3.00%, 10/14/51 | (1,925 | ) | (2,014,257 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (1.0)% | (15,840,898 | ) | ||||||
|
| |||||||
Total Investments, Net of TBA Sale |
| 1,746,215,929 | ||||||
Liabilities in Excess of Other Assets — (12.1)% |
| (188,536,645 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 1,557,679,284 | ||||||
|
|
(a) | 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. |
(b) | 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. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | All or a portion of this security is on loan. |
(e) | When-issued security. |
(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.
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended September 30, 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 09/30/21 | Shares Held at 09/30/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares | $ | 104,962,761 | $ | — | $ | (27,271,049) | (a) | $ | (2,160 | ) | $ | (2,773 | ) | $ | 77,686,779 | 77,647,955 | $ | 125,554 | (b) | $ | — | |||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares . | 100,000 | — | — | — | — | 100,000 | 100,000 | 1,064 | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (2,160 | ) | $ | (2,773 | ) | $ | 77,786,779 | $ | 126,618 | $ | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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. |
14 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio |
Derivative Financial Instruments Outstanding as of Period End Futures Contracts
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro BTP | 10 | 12/08/21 | $ | 1,760 | $ | (24,218 | ) | |||||||||
Euro OAT | 21 | 12/08/21 | 4,037 | (69,102 | ) | |||||||||||
10-Year Australian Treasury Bonds | 1,303 | 12/15/21 | 133,268 | (2,433,122 | ) | |||||||||||
10-Year Canadian Bond | 1,139 | 12/20/21 | 128,729 | (2,792,871 | ) | |||||||||||
U.S. Long Bond | 589 | 12/21/21 | 93,946 | (2,732,428 | ) | |||||||||||
Ultra U.S. Treasury Bond | 36 | 12/21/21 | 6,896 | (314,033 | ) | |||||||||||
5-Year U.S. Treasury Note | 2,254 | 12/31/21 | 276,784 | (982,275 | ) | |||||||||||
|
| |||||||||||||||
(9,348,049 | ) | |||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro Bund | 313 | 12/08/21 | 61,571 | 928,243 | ||||||||||||
10-Year U.S. Treasury Note | 1,570 | 12/21/21 | 206,798 | 2,461,051 | ||||||||||||
10-Year U.S. Ultra Long Treasury Note | 256 | 12/21/21 | 37,236 | 566,253 | ||||||||||||
Long Gilt | 539 | 12/29/21 | 90,890 | 1,510,838 | ||||||||||||
2-Year U.S. Treasury Note | 23 | 12/31/21 | 5,062 | 3,319 | ||||||||||||
|
| |||||||||||||||
5,469,704 | ||||||||||||||||
|
| |||||||||||||||
$ | (3,878,345 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
USD | 1,263,823 | AUD | 1,740,000 | Morgan Stanley & Co. International PLC | 12/15/21 | $ | 5,475 | |||||||||||||||||||
USD | 260,480 | AUD | 360,000 | The Bank of New York Mellon | 12/15/21 | 132 | ||||||||||||||||||||
USD | 110,682 | CAD | 140,000 | Royal Bank of Canada | 12/15/21 | 151 | ||||||||||||||||||||
USD | 498,036 | CAD | 630,000 | Royal Bank of Canada | 12/15/21 | 649 | ||||||||||||||||||||
USD | 82,240 | GBP | 60,000 | BNP Paribas SA | 12/15/21 | 1,388 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
USD | 511,711 | GBP | 370,000 | BNP Paribas SA | 12/15/21 | 13,122 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
20,917 | ||||||||||||||||||||||||||
USD | 858,060 | AUD | 1,190,000 | Royal Bank of Canada | 12/15/21 | (2,533 | ) | |||||||||||||||||||
USD | 266,985 | CAD | 340,000 | Morgan Stanley & Co. International PLC | 12/15/21 | (1,446 | ) | |||||||||||||||||||
USD | 315,795 | CAD | 400,000 | Morgan Stanley & Co. International PLC | 12/15/21 | (7 | ) | |||||||||||||||||||
USD | 314,645 | CAD | 400,000 | Royal Bank of Canada | 12/15/21 | (1,156 | ) | |||||||||||||||||||
USD | 346,894 | CAD | 440,000 | Royal Bank of Canada | 12/15/21 | (488 | ) | |||||||||||||||||||
USD | 327,194 | CAD | 420,000 | Westpac Banking Corp. | 12/15/21 | (4,398 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||
(10,028 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 10,889 | |||||||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Notional Amount (000) |
| | Upfront Premium Paid (Received |
) | | Unrealized Appreciation (Depreciation |
) | |||||||||||||||||||||||||||||||
Paid by the Master Portfolio | Received by the Master Portfolio | Effective Date | Termination Date |
|
| |||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Value |
| |||||||||||||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.28% | Annual | N/A | 08/16/23 | GBP | 21,450 | $ | (106,948 | ) | $ | 4,465 | $ | (111,413 | ) | |||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.26% | Annual | N/A | 08/23/23 | GBP | 50,570 | (290,160 | ) | (57 | ) | (290,103 | ) | |||||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.25% | Annual | N/A | 09/07/23 | GBP | 32,260 | (201,518 | ) | (1,359 | ) | (200,159 | ) | |||||||||||||||||||||||||
0.20% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 09/22/23 | USD | 11,820 | 9,064 | (1,262 | ) | 10,326 | |||||||||||||||||||||||||||
0.19% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 09/24/23 | USD | 7,890 | 6,938 | 37 | 6,901 | ||||||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.45%) | Annual | N/A | 09/27/23 | EUR | 10,020 | (3,052 | ) | (567 | ) | (2,485 | ) | |||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.43%) | Annual | N/A | 09/28/23 | EUR | 15,710 | (587 | ) | (864 | ) | 277 | ||||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.43%) | Annual | N/A | 09/29/23 | EUR | 13,850 | 362 | 77 | 285 | ||||||||||||||||||||||||||||
0.26% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 09/29/23 | USD | 7,760 | (2,752 | ) | (83 | ) | (2,669 | ) | |||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.42%) | Annual | N/A | 09/30/23 | EUR | 10,070 | 1,583 | 56 | 1,527 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 15 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
| ||||||||||||||||||||||||||||||||||||
|
|
|
|
| Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
| |||||||||||||||||||||||||||||
Paid by the Master Portfolio | Received by the Master Portfolio | Effective | Termination | Notional |
| |||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | |||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.42%) | Annual | N/A | 10/01/23 | EUR | 9,050 | $ | 1,052 | $ | 462 | $ | 590 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.46%) | Annual | 12/08/21 | (a) | 12/08/23 | EUR | 124,770 | (99,090 | ) | (39,386 | ) | (59,704 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.44%) | Annual | 12/08/21 | (a) | 12/08/23 | EUR | 148,400 | (197,003 | ) | (20,959 | ) | (176,044 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.44%) | Annual | 12/08/21 | (a) | 12/08/23 | EUR | 49,570 | (42,810 | ) | (5,872 | ) | (36,938 | ) | ||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.33% | Annual | 12/08/21 | (a) | 12/08/23 | GBP | 85,780 | (572,093 | ) | 1,529 | (573,622 | ) | |||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.36% | Annual | 12/08/21 | (a) | 12/08/23 | GBP | 85,485 | (489,634 | ) | 8,596 | (498,230 | ) | |||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 0.39% | Semi-Annual | 12/08/21 | (a) | 12/08/23 | USD | 118,160 | (137,191 | ) | (11,375 | ) | (125,816 | ) | ||||||||||||||||||||||
(0.41%) | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/15/21 | (a) | 12/15/24 | EUR | 43,870 | 139,250 | 9,269 | 129,981 | |||||||||||||||||||||||||
0.41% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 12/15/21 | (a) | 12/15/24 | GBP | 32,070 | 351,100 | 1,404 | 349,696 | |||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.44% | Annual | 12/15/21 | (a) | 12/15/24 | USD | 28,990 | (93,700 | ) | (54 | ) | (93,646 | ) | ||||||||||||||||||||||
0.44% | Annual | 6-Month LIBOR, 0.16% | Annual | 12/15/21 | (a) | 12/15/24 | USD | 7,860 | 25,998 | (539 | ) | 26,537 | ||||||||||||||||||||||||
3-Month BBR, 1.85% | Quarterly | 0.48% | Quarterly | 12/15/21 | (a) | 12/15/24 | AUD | 22,140 | (65,872 | ) | 159 | (66,031 | ) | |||||||||||||||||||||||
0.48% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 12/15/21 | (a) | 12/15/24 | GBP | 6,210 | 50,607 | 358 | 50,249 | |||||||||||||||||||||||||
3-Month BBR, 1.85% | Quarterly | 0.53% | Quarterly | 12/15/21 | (a) | 12/15/24 | AUD | 25,090 | (50,245 | ) | 182 | (50,427 | ) | |||||||||||||||||||||||
3-Month BBR, 1.85% | Quarterly | 0.55% | Quarterly | 12/15/21 | (a) | 12/15/24 | AUD | 25,080 | (38,841 | ) | 180 | (39,021 | ) | |||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.12% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 12/15/21 | (a) | 12/15/24 | CAD | 11,340 | 54,591 | (1,158 | ) | 55,749 | ||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.27% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 12/15/21 | (a) | 12/15/24 | CAD | 2,160 | 2,640 | 1,636 | 1,004 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.33% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 12/15/21 | (a) | 12/15/24 | CAD | 9,990 | (863 | ) | (4,929 | ) | 4,066 | |||||||||||||||||||||||
0.18% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 10/20/25 | USD | 2,500 | 51,103 | — | 51,103 | ||||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.18% | Annual | N/A | 10/20/25 | USD | 2,500 | (48,909 | ) | — | (48,909 | ) | ||||||||||||||||||||||||
(0.31%) | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/26 | EUR | 99,685 | 590,489 | 218,399 | 372,090 | |||||||||||||||||||||||||
(0.27%) | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/26 | EUR | 19,860 | 111,033 | (5,085 | ) | 116,118 | ||||||||||||||||||||||||
(0.26%) | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/26 | EUR | 216,460 | 1,763,136 | 110,158 | 1,652,978 | |||||||||||||||||||||||||
0.51% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 12/08/21 | (a) | 12/08/26 | GBP | 34,630 | 632,066 | (37,471 | ) | 669,537 | ||||||||||||||||||||||||
0.53% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 12/08/21 | (a) | 12/08/26 | GBP | 34,535 | 568,575 | (2,651 | ) | 571,226 | ||||||||||||||||||||||||
0.94% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | 12/08/21 | (a) | 12/08/26 | USD | 24,050 | 230,647 | 17,502 | 213,145 | |||||||||||||||||||||||||
6.66% | Monthly | 1-Month MXIBOR, 4.75% | Monthly | 03/16/22 | (a) | 03/10/27 | MXN | 203,500 | 264,448 | 92 | 264,356 | |||||||||||||||||||||||||
7.15% | Monthly | 1-Month MXIBOR, 4.75% | Monthly | 03/16/22 | (a) | 03/10/27 | MXN | 22,140 | 6,836 | 10 | 6,826 | |||||||||||||||||||||||||
7.31% | Monthly | 1-Month MXIBOR, 4.75% | Monthly | 03/16/22 | (a) | 03/10/27 | MXN | 19,470 | (385 | ) | 9 | (394 | ) | |||||||||||||||||||||||
7.39% | Monthly | 1-Month MXIBOR, 4.75% | Monthly | 03/16/22 | (a) | 03/10/27 | MXN | 20,270 | (3,782 | ) | 9 | (3,791 | ) | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | (0.13%) | Annual | 03/16/22 | (a) | 03/16/27 | EUR | 1,890 | (146 | ) | 25 | (171 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.48% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 20,700 | (16,364 | ) | 27 | (16,391 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.50% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 13,680 | (9,066 | ) | 18 | (9,084 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.53% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 19,580 | (9,307 | ) | 25 | (9,332 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.55% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 19,000 | (7,197 | ) | 25 | (7,222 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.59% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 14,470 | (2,441 | ) | 18 | (2,459 | ) | |||||||||||||||||||||||
0.59% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 03/16/22 | (a) | 03/16/27 | GBP | 1,280 | 20,100 | 20 | 20,080 | |||||||||||||||||||||||||
3-Month STIBOR, 0.07% | Quarterly | 0.61% | Annual | 03/16/22 | (a) | 03/16/27 | SEK | 15,290 | (625 | ) | 20 | (645 | ) | |||||||||||||||||||||||
0.64% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 03/16/22 | (a) | 03/16/27 | GBP | 1,390 | 16,545 | 21 | 16,524 | |||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.78% | Annual | 03/16/22 | (a) | 03/16/27 | USD | 3,080 | (31,235 | ) | 34 | (31,269 | ) | |||||||||||||||||||||||
0.80% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 03/16/22 | (a) | 03/16/27 | GBP | 1,300 | 2,230 | 20 | 2,210 | |||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.83% | Annual | 03/16/22 | (a) | 03/16/27 | USD | 16,600 | (131,870 | ) | 14,281 | (146,151 | ) | |||||||||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 0.84% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | SGD | 8,908 | (108,818 | ) | 74 | (108,892 | ) | |||||||||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 0.85% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | SGD | 4,737 | (55,307 | ) | 39 | (55,346 | ) | |||||||||||||||||||||||
6-Month SIBOR, 0.59% | Semi-Annual | 0.85% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | SGD | 17,292 | (205,939 | ) | 143 | (206,082 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.95% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 10,592 | (18,256 | ) | 15 | (18,271 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.95% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 3,917 | (6,826 | ) | 6 | (6,832 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 0.95% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 2,450 | (20,483 | ) | 20 | (20,503 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.96% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 36,160 | (60,154 | ) | 52 | (60,206 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.96% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 10,990 | (17,901 | ) | 16 | (17,917 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.96% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 13,040 | (21,775 | ) | 19 | (21,794 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.98% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 11,715 | (17,678 | ) | 17 | (17,695 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.98% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 13,515 | (20,906 | ) | 19 | (20,925 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.98% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 13,515 | (20,991 | ) | 19 | (21,010 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 0.98% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,665 | (11,946 | ) | 14 | (11,960 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 0.98% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,665 | (12,300 | ) | 14 | (12,314 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 0.98% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 2,000 | (14,421 | ) | 16 | (14,437 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 0.99% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 11,715 | (17,160 | ) | 17 | (17,177 | ) |
16 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
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| Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
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Paid by the Master Portfolio
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| Effective | Termination | Notional |
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Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | |||||||||||||||||||||||||||||
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3-Month HIBOR, 0.14% | Quarterly | 0.99% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 8,510 | $ | (12,332 | ) | $ | 12 | $ | (12,344 | ) | ||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 0.99% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 5,550 | (38,447 | ) | 45 | (38,492 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.01% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,135 | (7,059 | ) | 9 | (7,068 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.01% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,135 | (7,039 | ) | 9 | (7,048 | ) | |||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 1.01% | Annual | 03/16/22 | (a) | 03/16/27 | USD | 1,070 | 1,349 | 12 | 1,337 | |||||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.02% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 4,090 | (24,280 | ) | 33 | (24,313 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.05% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 5,180 | (25,801 | ) | 42 | (25,843 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.16% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,730 | (1,821 | ) | 14 | (1,835 | ) | |||||||||||||||||||||||
6-Month BBR, 1.85% | Semi-Annual | 1.18% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | AUD | 1,500 | (305 | ) | 12 | (317 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 1.19% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 9,924 | (1,766 | ) | 14 | (1,780 | ) | |||||||||||||||||||||||
3-Month HIBOR, 0.14% | Quarterly | 1.19% | Quarterly | 03/16/22 | (a) | 03/16/27 | HKD | 6,616 | (1,219 | ) | 9 | (1,228 | ) | |||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.42% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 2,870 | 31,908 | 25 | 31,883 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.43% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 8,360 | 87,999 | 74 | 87,925 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.44% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 5,010 | 51,684 | 44 | 51,640 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.45% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 2,110 | 21,203 | 19 | 21,184 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.45% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 2,060 | 20,819 | 18 | 20,801 | |||||||||||||||||||||||||
3-Month Canada Bank | ||||||||||||||||||||||||||||||||||||
1.46% | Semi-Annual | Acceptance, 0.45% | Semi-Annual | 03/16/22 | (a) | 03/16/27 | CAD | 36,360 | 342,155 | (41,634 | ) | 383,789 | ||||||||||||||||||||||||
6-Month WIBOR, 0.21% | Semi-Annual | 1.82% | Annual | 03/16/22 | (a) | 03/16/27 | PLN | 3,970 | (12,304 | ) | 9 | (12,313 | ) | |||||||||||||||||||||||
6-Month WIBOR, 0.21% | Semi-Annual | 1.83% | Annual | 03/16/22 | (a) | 03/16/27 | PLN | 4,440 | (13,388 | ) | 10 | (13,398 | ) | |||||||||||||||||||||||
6-Month WIBOR, 0.21% | Semi-Annual | 1.85% | Annual | 03/16/22 | (a) | 03/16/27 | PLN | 5,570 | (15,197 | ) | 13 | (15,210 | ) | |||||||||||||||||||||||
6.41% | Quarterly | 3-Month JIBAR, 3.68% | Quarterly | 03/16/22 | (a) | 03/16/27 | ZAR | 14,190 | 9,432 | 9 | 9,423 | |||||||||||||||||||||||||
6.46% | Quarterly | 3-Month JIBAR, 3.68% | Quarterly | 03/16/22 | (a) | 03/16/27 | ZAR | 18,380 | 9,637 | 11 | 9,626 | |||||||||||||||||||||||||
6.68% | Quarterly | 3-Month JIBAR, 3.68% | Quarterly | 03/16/22 | (a) | 03/16/27 | ZAR | 15,900 | (1,247 | ) | 10 | (1,257 | ) | |||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.54% | Annual | N/A | 10/20/30 | USD | 1,250 | (69,726 | ) | — | (69,726 | ) | ||||||||||||||||||||||||
0.55% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 10/20/30 | USD | 1,250 | 69,071 | — | 69,071 | ||||||||||||||||||||||||||
0.57% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | N/A | 08/16/31 | GBP | 3,880 | 164,944 | (12,089 | ) | 177,033 | |||||||||||||||||||||||||
0.56% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | N/A | 08/23/31 | GBP | 8,280 | 372,920 | 347 | 372,573 | ||||||||||||||||||||||||||
0.60% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | N/A | 09/07/31 | GBP | 6,450 | 256,901 | 27,259 | 229,642 | ||||||||||||||||||||||||||
1.38% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 09/08/31 | USD | 1,118 | 14,890 | 20 | 14,870 | ||||||||||||||||||||||||||
1.66% | Semi-Annual | 3-Month LIBOR, 0.13% | Quarterly | N/A | 09/08/31 | USD | 24,155 | (320,370 | ) | (108,096 | ) | (212,274 | ) | |||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 1.16% | Annual | N/A | 09/22/31 | USD | 2,500 | (27,874 | ) | 9,771 | (37,645 | ) | ||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 1.10% | Annual | N/A | 09/24/31 | USD | 820 | (13,809 | ) | 14 | (13,823 | ) | ||||||||||||||||||||||||
0.05% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 09/27/31 | EUR | 2,000 | 25,722 | 7,340 | 18,382 | ||||||||||||||||||||||||||
0.11% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 09/28/31 | EUR | 2,100 | 11,140 | 3,306 | 7,834 | ||||||||||||||||||||||||||
0.90% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | N/A | 09/28/31 | GBP | 810 | 1,956 | 45 | 1,911 | ||||||||||||||||||||||||||
0.15% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 09/29/31 | EUR | 2,110 | 1,171 | 43 | 1,128 | ||||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 1.26% | Annual | N/A | 09/29/31 | USD | 1,690 | (3,307 | ) | (176 | ) | (3,131 | ) | |||||||||||||||||||||||
0.16% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 09/30/31 | EUR | 1,440 | (1,272 | ) | 29 | (1,301 | ) | ||||||||||||||||||||||||
0.17% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 10/01/31 | EUR | 1,410 | (1,453 | ) | (1,987 | ) | 534 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | 0.00% | Annual | 12/08/21 | (a) | 12/08/31 | EUR | 118,410 | (2,559,191 | ) | (227,294 | ) | (2,331,897 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | 0.03% | Annual | 12/08/21 | (a) | 12/08/31 | EUR | 9,650 | (176,393 | ) | (30,969 | ) | (145,424 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | 0.04% | Annual | 12/08/21 | (a) | 12/08/31 | EUR | 25,245 | (406,086 | ) | (172,912 | ) | (233,174 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) | Semi-Annual | 0.06% | Annual | 12/08/21 | (a) | 12/08/31 | EUR | 700 | (9,953 | ) | 15 | (9,968 | ) | |||||||||||||||||||||||
0.65% | Annual | 6-Month GBP LIBOR, 0.17% | Annual | 12/08/21 | (a) | 12/08/31 | GBP | 35,330 | 1,295,276 | (117,195 | ) | 1,412,471 | ||||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.67% | Annual | 12/08/21 | (a) | 12/08/31 | GBP | 8,860 | (309,160 | ) | (132 | ) | (309,028 | ) | ||||||||||||||||||||||
0.74% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 10/20/35 | USD | 500 | 42,057 | — | 42,057 | ||||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.78% | Annual | N/A | 10/20/35 | USD | 500 | (40,026 | ) | — | (40,026 | ) | ||||||||||||||||||||||||
0.84% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 10/20/40 | USD | 1,000 | 108,159 | — | 108,159 | ||||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.90% | Annual | N/A | 10/20/40 | USD | 1,000 | (99,209 | ) | — | (99,209 | ) | ||||||||||||||||||||||||
0.90% | Annual | 6-Month LIBOR, 0.16% | Annual | N/A | 10/20/50 | USD | 500 | 73,912 | — | 73,912 | ||||||||||||||||||||||||||
6-Month LIBOR, 0.16% | Annual | 0.98% | Annual | N/A | 10/20/50 | USD | 500 | (65,332 | ) | — | (65,332 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 1.72% | Semi-Annual | N/A | 09/08/51 | USD | 488 | (12,462 | ) | 17 | (12,479 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 0.13% | Quarterly | 2.03% | Semi-Annual | N/A | 09/08/51 | USD | 8,804 | 435,613 | 73,159 | 362,454 | ||||||||||||||||||||||||||
0.30% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/51 | EUR | 13,580 | 817,295 | 105,859 | 711,436 | |||||||||||||||||||||||||
0.35% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/51 | EUR | 3,490 | 159,343 | 39,899 | 119,444 |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 17 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
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Upfront |
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| Paid by the Master Portfolio | Received by the Master Portfolio | Effective Date | Termination Date | Notional Amount (000) | Premium Paid | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate |
Frequency | Value | (Received) | |||||||||||||||||||||||||||||||||||||||
0.38% | Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/08/21 | (a) | 12/08/51 | EUR | 290 | $ | 10,106 | $ | 12 | $ | 10,094 | ||||||||||||||||||||||||||||||
6-Month GBP LIBOR, 0.17% | Annual | 0.69% | Annual | 12/08/21 | (a) | 12/08/51 | GBP | 12,610 | (1,294,551 | ) | 120,964 | (1,415,515 | ) | |||||||||||||||||||||||||||||||
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$ | 480,129 | $ | (67,980 | ) | $ | 548,109 | ||||||||||||||||||||||||||||||||||||||
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(a) | Forward Swap. |
OTC Interest Rate Swaps
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Upfront |
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Paid by the Master Portfolio | Received by the Master Portfolio | Effective Date | Termination Date | Notional Amount (000) | Premium Paid | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate |
Frequency | Counterparty | Value | (Received) | ||||||||||||||||||||||||||||||||||||
1.58% | Quarterly | 3-Month KRW CDC, 0.97% | Quarterly | Citibank N.A. | 03/16/22 | (a) | 03/16/27 | KRW | 9,468,134 | $ | 125,303 | $ | — | $ | 125,303 | |||||||||||||||||||||||||||
1.58% | Quarterly | 3-Month KRW CDC, 0.97% | Quarterly | Bank of America N.A. | 03/16/22 | (a) | 03/16/27 | KRW | 20,991,489 | 277,805 | — | 277,805 | ||||||||||||||||||||||||||||||
1.64% | Quarterly | 3-Month KRW CDC, 0.97% | Quarterly | Citibank N.A. | 03/16/22 | (a) | 03/16/27 | KRW | 18,902,117 | 207,945 | — | 207,945 | ||||||||||||||||||||||||||||||
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$ | 611,053 | $ | — | $ | 611,053 | |||||||||||||||||||||||||||||||||||||
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(a) | Forward Swap. |
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 financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
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Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 189,799,737 | $ | — | $ | 189,799,737 | ||||||||
Common Stocks | — | — | 1 | 1 | ||||||||||||
Corporate Bonds | — | 715,114,714 | — | 715,114,714 | ||||||||||||
Foreign Agency Obligations | — | 6,634,781 | — | 6,634,781 | ||||||||||||
Municipal Bonds | — | 10,438,728 | — | 10,438,728 |
18 |
Schedule of Investments (unaudited) (continued) September 30, 2021 | CoreAlpha Bond Master Portfolio |
Fair Value Hierarchy as of Period End (continued)
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
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Non-Agency Mortgage-Backed Securities | $ | — | $ | 177,517,879 | $ | 6,294,975 | $ | 183,812,854 | ||||||||
U.S. Government Sponsored Agency Securities | — | 578,469,233 | — | 578,469,233 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 77,786,779 | — | — | 77,786,779 | ||||||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
TBA Sale Commitments | — | (15,840,898 | ) | — | (15,840,898 | ) | ||||||||||
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$ | 77,786,779 | $ | 1,662,134,174 | $ | 6,294,976 | $ | 1,746,215,929 | |||||||||
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Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 20,917 | $ | — | $ | 20,917 | ||||||||
Interest Rate Contracts | 5,469,704 | 9,555,047 | — | 15,024,751 | ||||||||||||
Liabilities | ||||||||||||||||
Foreign Currency Exchange Contracts | — | (10,028 | ) | — | (10,028 | ) | ||||||||||
Interest Rate Contracts | (9,348,049 | ) | (8,395,885 | ) | — | (17,743,934 | ) | |||||||||
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$ | (3,878,345 | ) | $ | 1,170,051 | $ | — | $ | (2,708,294 | ) | |||||||
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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 |
Portfolio Abbreviation (continued) | ||
SAB | Special Assessment Bonds | |
SIBOR | Singapore Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
STACR | Structured Agency Credit Risk | |
STIBOR | Stockholm Interbank Offered Rate | |
TBA | To-Be-Announced | |
WIBOR | Warsaw Interbank Offered Rate |
MASTER PORTFOLIO SCHEDULE OF INVESTMENTS | 19 |