Blackrock Bond Fund NPORT-P BlackRock Total Return Fund (Jun 2020 report)

Schedule of Investments  (unaudited) June 30, 2020 BlackRock Total Return Fund (Percentages shown are based on Net Assets)

Security	Investment Value		Value
Investment Companies
Fixed-Income Funds — 100.1%
Master Total Return Portfolio of Master Bond LLC(a)	$	17,820,778,784	$	17,820,778,784
Total Investments — 100.1% (Cost: $ 17,476,925,537)				17,820,778,784
Liabilities in Excess of Other Assets — (0.1)%				(11,103,221	)
Net Assets — 100.0%			$	17,809,675,563

^(a)  Affiliate of the Fund.

Affiliates

Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Investment Value Held at 09/30/19		Investment Value Purchased			Investment Value Sold		Investment Value Held at 06/30/20		Value at 06/30/20		Income		Net Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)
Master Total Return Portfolio of Master Bond LLC	$	14,908,898,447	$	2,911,880,337	(a)(b)	$	—	$	17,820,778,784	$	17,820,778,784	$	355,028,778	$	628,530,370	$	(27,103,322	)

^(a)  Represents net investment value purchased (sold).

^(b)  Inclusive of income, expense, realized and unrealized gains and losses allocated from the Master Portfolio.

BlackRock Total Return Fund (the “Fund”) seeks to achieve its investment objective by investing all of its assets in Master Total Return Portfolio of Master Bond LLC (the “Master Portfolio”), which has the same investment objective and strategies as the Fund. As of period end, the value of the investment and the percentage owned by the Fund of the Master Portfolio was $17,820,778,784 and 95.0%, respectively.

The Fund records its investment in the Master Portfolio at fair value. The Fund’s investment in the Master Portfolio is valued pursuant to the pricing policies approved by the Board of Directors of the Master Portfolio.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. 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)

• 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 investments)

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 as contained in its semi-annual report.

Certain investments of the Fund were fair valued using net asset value per share (“NAV”) as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

1

Schedule of Investments  (unaudited) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities
ACE Securities Corp. Home Equity Loan Trust
Series 2003-OP1, Class A2, (1 mo. LIBOR US + 0.72%), 0.90%, 12/25/33(a)	USD		581	$	500,040
Series 2006-CW1, Class A2C, (1 mo. LIBOR US + 0.14%), 0.33%, 07/25/36(a)			358		300,041
Series 2007-HE4, Class A2A, (1 mo. LIBOR US + 0.13%), 0.32%, 05/25/37(a)			2,665		641,924
ACIS CLO Ltd., Series 2014-4A, Class A, (3 mo. LIBOR US + 1.42%), 2.11%, 05/01/26(a)(b)			750		747,874
Adams Mill CLO Ltd.
Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.10%), 2.32%, 07/15/26(a)(b)			2,872		2,852,866
Series 2014-1A, Class C1R, (3 mo. LIBOR US + 2.35%), 3.57%, 07/15/26(a)(b)			1,610		1,588,265
AGL Core CLO 2 Ltd., Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.39%), 2.53%, 04/20/32(a)(b)			8,405		8,291,191
AGL Core CLO 5 Ltd., Series 2020-5A, Class D, (3 mo. LIBOR US + 4.95%), 5.25%, 07/20/30(a)(b)			1,750		1,771,875
AIMCO CLO
Series 2015-AA, Class BR, (3 mo. LIBOR US + 1.30%), 2.52%, 01/15/28(a)(b)			950		907,278
Series 2017-AA, Class A, (3 mo. LIBOR US + 1.26%), 2.40%, 07/20/29(a)(b)			500		492,369
Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 3.59%, 07/20/29(a)(b)			500		488,032
Ajax Mortgage Loan Trust
Series 2017-D, Class A, 3.75%, 12/25/57(b)(c)			8,763		8,764,347
Series 2017-D, Class B, 0.00%, 12/25/57(b)(c)(d)			1,691		892,019
Series 2018-A, Class A, 3.85%, 04/25/58(b)(c)			9,274		8,810,501
Series 2018-A, Class B, 0.00%, 04/25/58(b)			2,641		1,260,340
Series 2018-B, Class A, 3.75%, 02/26/57(b)(c)			3,990		3,790,883
Series 2018-B, Class B, 0.00%, 02/26/57(b)			2,679		730,363
Series 2018-D, Class A, 3.75%, 08/25/58(b)(c)(d)			10,626		10,095,162
Series 2018-D, Class B, 0.00%, 08/25/58(b)(c)(d)			2,846		1,352,100
Series 2018-E, Class A, 4.38%, 06/25/58(b)(d)			4,530		4,578,923
Series 2018-E, Class B, 5.25%, 06/25/58(b)(c)(d)			840		844,956
Series 2018-E, Class C, 0.00%, 06/25/58(b)(d)			2,116		1,514,234
Series 2018-F, Class A, 4.38%, 11/25/58(b)(c)(d)			14,779		14,899,057
Series 2018-F, Class B, 5.25%, 11/25/58(b)(c)(d)			2,415		2,393,657
Series 2018-F, Class C, 0.00%, 11/25/58(b)			5,676		3,201,890
Series 2018-G, Class A, 4.38%, 06/25/57(b)(c)(d)			12,770		12,386,880
Series 2018-G, Class B, 5.25%, 06/25/57(b)(c)(d)			2,042		1,531,500
Series 2018-G, Class C, 0.00%, 06/25/57(b)(c)			5,264		5,149,901
Series 2019-A, Class A, 3.75%, 08/25/57(b)(d)			12,958		13,293,736
Series 2019-A, Class B, 5.25%, 08/25/57(b)(d)			1,720		1,247,223
Series 2019-A, Class C, 0.00%, 08/25/57(b)(c)			4,309		3,547,867
Series 2019-B, Class A, 3.75%, 01/25/59(b)(d)			21,455		22,040,914
Series 2019-B, Class B, 5.25%, 01/25/59(b)(c)(d)			2,845		2,133,750
Series 2019-B, Class C, 0.00%, 01/25/59(b)(c)			7,281		6,212,702
Series 2019-C, Class A, 3.95%, 10/25/58(b)(d)			6,645		6,631,433
Series 2019-E, Class A, 3.00%, 09/25/59(b)(e)			23,607		23,045,260

Security		Par (000)		Value
Asset-Backed Securities (continued)
Ajax Mortgage Loan Trust
Series 2019-E, Class B, 4.88%, 09/25/59(b)(e)	USD		2,600	$	2,165,119
Series 2019-E, Class C, 0.00%, 09/25/59(b)			6,130		2,869,039
Series 2019-G, Class A, 3.00%, 09/25/59(b)(e)			15,943		15,457,697
Series 2019-G, Class B, 4.25%, 09/25/59(b)(e)			2,120		1,716,482
Series 2019-G, Class C, 0.00%, 09/25/59(b)			5,425		3,934,145
Series 2019-H, Class A, 3.00%, 11/25/59(b)(e)			14,987		14,524,759
Series 2019-H, Class B, 4.25%, 11/25/59(b)(e)			1,970		1,595,033
Series 2019-H, Class C, 0.00%, 11/25/59(b)			5,033		3,847,066
Series 2020-A, Class A, 2.38%, 12/25/59(b)(e)			28,243		28,046,807
Series 2020-A, Class B, 3.50%, 12/25/59(b)(e)			3,853		3,814,302
Series 2020-A, Class C, 0.00%, 12/25/59(b)(c)			9,347		5,810,936
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 2.19%, 10/21/28(a)(b)			3,790		3,710,200
Allegro CLO IV Ltd.
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 2.37%, 01/15/30(a)(b)			6,640		6,536,678
Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.70%), 2.92%, 01/15/30(a)(b)			2,530		2,452,833
Allegro CLO V Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.24%), 2.42%, 10/16/30(a)(b)			1,100		1,071,832
ALM 2020 Ltd., Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 3.36%, 10/15/29(a)(b)			7,780		7,604,839
ALM VII Ltd.
Series 2012-7A, Class A1A2, (3 mo. LIBOR US + 1.17%), 2.39%, 07/15/29(a)(b)			750		738,230
Series 2012-7A, Class A2R2, (3 mo. LIBOR US + 1.85%), 3.07%, 07/15/29(a)(b)			591		579,052
ALM VII R Ltd., Series 2013-7RA, Class A1R, (3 mo. LIBOR US + 1.41%), 2.63%, 10/15/28(a)(b)			2,970		2,947,653
ALM XIX Ltd.
Series 2016-19A, Class A1RA, (3 mo. LIBOR US + 1.00%), 2.22%, 04/16/29(a)(b)(c)			750		738,600
Series 2016-19A, Class A1RB, (3 mo. LIBOR US + 1.35%), 2.57%, 04/16/29(a)(b)(c)			500		475,000
Series 2016-19A, Class A2RA, (3 mo. LIBOR US + 1.45%), 2.67%, 04/16/29(a)(b)(c)			3,370		3,289,120
ALM XVI Ltd./ALM XVI LLC
Series 2015-16A, Class A2R2, (3 mo. LIBOR US + 1.50%), 2.72%, 07/15/27(a)(b)			6,284		6,106,282
Series 2015-16A, Class BR2, (3 mo. LIBOR US + 1.90%), 3.12%, 07/15/27(a)(b)			2,060		1,982,270
ALM XVIII Ltd., Series 2016-18A, Class A2R, (3 mo. LIBOR US + 1.65%), 2.87%, 01/15/28(a)(b)			750		728,938
AMMC CLO 16 Ltd., Series 2015-16A, Class BR, (3 mo. LIBOR US + 1.60%), 2.91%, 04/14/29(a)(b)			500		479,561
AMMC CLO 21 Ltd., Series 2017-21A, Class A, (3 mo. LIBOR US + 1.25%), 1.81%, 11/02/30(a)(b)			750		737,452
AMMC CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.20%), 1.65%, 11/10/30(a)(b)			540		529,492
AMMC CLO XIII Ltd., Series 2013-13A, Class A1LR, (3 mo. LIBOR US + 1.26%), 2.28%, 07/24/29(a)(b)			2,606		2,574,552

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Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
AMMC CLO XIV Ltd., Series 2014-14A, Class A1LR, (3 mo. LIBOR US + 1.25%), 2.24%, 07/25/29(a)(b)	USD		6,220	$	6,102,613
AMSR Trust, Series 2020-SFR2, Class D, 3.28%, 07/17/37(b)			2,437		2,475,995
Anchorage Capital CLO 3-R Ltd.
Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 1.94%, 01/28/31(a)(b)			2,120		2,071,253
Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 2.39%, 01/28/31(a)(b)			3,600		3,461,037
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.74%, 01/28/31(a)(b)			500		472,959
Anchorage Capital CLO 4-R Ltd.
Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 1.94%, 01/28/31(a)(b)			5,330		5,183,092
Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 2.74%, 01/28/31(a)(b)			5,550		5,261,510
Anchorage Capital CLO 5-R Ltd.
Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 2.67%, 01/15/30(a)(b)			9,200		8,864,381
Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 3.07%, 01/15/30(a)(b)			3,540		3,319,287
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.27%), 2.49%, 07/15/30(a)(b)			4,010		3,922,810
Anchorage Capital CLO 7 Ltd.
Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 2.11%, 01/28/31(a)(b)			4,936		4,818,414
Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.77%, 01/28/31(a)(b)			7,620		7,381,954
Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 3.22%, 01/28/31(a)(b)			4,250		3,958,598
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 4.52%, 01/28/31(a)(b)			1,140		1,065,366
Anchorage Capital CLO 8 Ltd.
Series 2016-8A, Class AR, (3 mo. LIBOR US + 1.00%), 1.89%, 07/28/28(a)(b)			2,430		2,388,173
Series 2016-8A, Class BR, (3 mo. LIBOR US + 1.60%), 2.49%, 07/28/28(a)(b)			3,050		2,958,284
Anchorage Capital CLO Ltd.
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 2.56%, 10/13/30(a)(b)			2,755		2,708,212
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 2.96%, 10/13/30(a)(b)			750		726,083
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 3.46%, 10/13/30(a)(b)			1,410		1,351,875
Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 2.30%, 04/15/31(a)(b)			3,152		3,075,276
Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 2.15%, 04/20/31(a)(b)			1,080		1,049,569
Apidos CLO XVIII, Series 2018-18A, Class A1, (3 mo. LIBOR US + 1.14%), 2.24%, 10/22/30(a)(b)			880		846,158
Apidos CLO XXXI, Series 2019-31A, Class B, (3 mo. LIBOR US + 1.90%), 3.12%, 04/15/31(a)(b)			2,950		2,882,071
Apres Static CLO Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.75%), 2.97%, 01/15/27(a)(b)			350		342,647

Security		Par (000)		Value
Asset-Backed Securities (continued)
Aqueduct European CLO DAC, Series 2019-4A, Class B1, (3 mo. EURIBOR + 1.80%), 1.80%, 07/15/32(a)(b)	EUR		750	$	835,034
Arbor Realty Collateralized Loan Obligation Ltd., Series 2017-FL3, Class A, (1 mo. LIBOR US + 0.99%), 1.18%, 12/15/27(a)(b)	USD		3,740		3,673,391
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 2.39%, 10/15/30(a)(b)			1,150		1,127,851
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 0.66%, 05/25/35(a)			3,899		3,407,207
ASSURANT CLO I Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 2.84%, 10/20/29(a)(b)			1,400		1,349,662
Atrium IX, Series 9A, Class AR, (3 mo. LIBOR US + 1.24%), 1.61%, 05/28/30(a)(b)			4,010		3,948,144
Atrium XII
Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 1.93%, 04/22/27(a)(b)			1,607		1,589,026
Series 12A, Class CR, (3 mo. LIBOR US + 1.65%), 2.75%, 04/22/27(a)(b)			2,381		2,246,320
Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 2.54%, 11/21/30(a)(b)			1,000		958,073
Avery Point IV CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.10%), 2.09%, 04/25/26(a)(b)			7,729		7,692,456
Avery Point V CLO Ltd.
Series 2014-5A, Class AR, (3 mo. LIBOR US + 0.98%), 2.12%, 07/17/26(a)(b)			1,441		1,430,826
Series 2014-5A, Class BR, (3 mo. LIBOR US + 1.50%), 2.64%, 07/17/26(a)(b)			2,250		2,204,868
Avery Point VI CLO Ltd.
Series 2015-6A, Class AR, (3 mo. LIBOR US + 1.05%), 1.59%, 08/05/27(a)(b)			3,960		3,921,458
Series 2015-6A, Class BR, (3 mo. LIBOR US + 1.50%), 2.04%, 08/05/27(a)(b)			3,240		3,131,991
Avery Point VII CLO Ltd., Series 2015-7A, Class AR, (3 mo. LIBOR US + 1.14%), 2.36%, 01/15/28(a)(b)			7,480		7,382,652
B2R Mortgage Trust, Series 2015-2, Class A, 3.34%, 11/15/48(b)			125		124,904
Babson CLO Ltd.
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 2.33%, 10/20/30(a)(b)			2,590		2,530,291
Series 2015-IA, Class BR, (3 mo. LIBOR US + 1.40%), 2.54%, 01/20/31(a)(b)			610		579,602
Bain Capital Credit CLO Ltd.
Series 2016-2A, Class AR, (3 mo. LIBOR US + 1.14%), 2.36%, 01/15/29(a)(b)			1,350		1,316,248
Series 2016-2A, Class BR, (3 mo. LIBOR US + 1.80%), 3.02%, 01/15/29(a)(b)			1,000		964,623
Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 2.22%, 07/19/31(a)(b)			1,420		1,384,946
BankAmerica Manufactured Housing Contract Trust
Series 1997-2, Class B1, 7.07%, 02/10/22(d)			1,680		1,037,524
Series 1998-2, Class B1, 7.50%, 12/10/25(d)			2,790		1,377,568
Barings CLO Ltd., Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 2.09%, 07/20/29(a)(b)			1,085		1,068,655

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Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Battalion CLO VII Ltd., Series 2014-7A, Class A1RR, (3 mo. LIBOR US + 1.04%), 2.18%, 07/17/28(a)(b)	USD		3,450	$	3,394,973
Battalion CLO VIII Ltd.
Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 2.21%, 07/18/30(a)(b)			6,500		6,292,749
Series 2015-8A, Class A2R2, (3 mo. LIBOR US + 1.55%), 2.69%, 07/18/30(a)(b)			3,250		3,124,689
Series 2015-8A, Class BR2, (3 mo. LIBOR US + 2.00%), 3.14%, 07/18/30(a)(b)			2,901		2,642,548
Battalion CLO X Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.25%), 2.27%, 01/24/29(a)(b)			23,120		22,795,328
Bayview Financial Revolving Asset Trust
Series 2004-B, Class A1, (1 mo. LIBOR US + 1.00%), 1.18%, 05/28/39(a)(b)			5,495		4,504,223
Series 2004-B, Class A2, (1 mo. LIBOR US + 1.30%), 1.48%, 05/28/39(a)(b)			528		436,762
Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 1.18%, 02/28/40(a)(b)			2,365		2,159,740
Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 1.18%, 12/28/40(a)(b)			876		769,583
BCMSC Trust
Series 2000-A, Class A2, 7.58%, 06/15/30(d)			1,674		486,544
Series 2000-A, Class A3, 7.83%, 06/15/30(d)			1,554		466,776
Series 2000-A, Class A4, 8.29%, 06/15/30(d)			1,121		356,496
BDS Ltd., Series 2019-FL3, Class A, (1 mo. LIBOR US + 1.40%), 1.59%, 12/15/35(a)(b)			4,680		4,587,172
Bear Stearns Asset-Backed Securities I Trust
Series 2004-HE7, Class M2, (1 mo. LIBOR US + 1.73%), 1.91%, 08/25/34(a)			192		190,067
Series 2006-HE1, Class 1M4, (1 mo. LIBOR US + 0.68%), 0.87%, 12/25/35(a)			1,688		2,065,714
Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.17%), 0.35%, 09/25/36(a)			2,753		3,331,141
Series 2007-FS1, Class 1A3, (1 mo. LIBOR US + 0.17%), 0.35%, 05/25/35(a)			950		1,019,900
Series 2007-HE1, Class 21A2, (1 mo. LIBOR US + 0.16%), 0.34%, 01/25/37(a)			580		567,805
Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 0.50%, 03/25/37(a)			1,004		709,405
Series 2007-HE2, Class 22A, (1 mo. LIBOR US + 0.14%), 0.33%, 03/25/37(a)			904		869,339
Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 0.33%, 03/25/37(a)			1,671		1,728,922
Series 2007-HE3, Class 1A3, (1 mo. LIBOR US + 0.25%), 0.43%, 04/25/37(a)			1,100		1,176,458
Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 0.53%, 04/25/37(a)			6,110		4,973,540
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, (1 mo. LIBOR US + 1.20%), 1.39%, 01/25/36(a)			56		55,507
Benefit Street Partners CLO II Ltd., Series 2013- IIA, Class A2R, (3 mo. LIBOR US + 1.75%), 2.97%, 07/15/29(a)(b)			900		889,266
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R, (3 mo. LIBOR US + 1.25%), 2.39%, 07/20/29(a)(b)			750		740,950
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1RR, (3 mo. LIBOR US + 1.25%), 2.39%, 01/20/29(a)(b)			7,830		7,722,560

Security		Par (000)		Value
Asset-Backed Securities (continued)
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 2.23%, 04/20/31(a)(b)	USD		4,360	$	4,207,622
Benefit Street Partners CLO VI Ltd.
Series 2015-VIA, Class A1R, (3 mo. LIBOR US + 1.24%), 2.38%, 10/18/29(a)(b)			12,030		11,841,745
Series 2015-VIA, Class A2R, (3 mo. LIBOR US + 1.72%), 2.86%, 10/18/29(a)(b)			3,320		3,221,649
Benefit Street Partners CLO VII Ltd.
Series 2015-VIIA, Class A1AR, (3 mo. LIBOR US + 0.78%), 1.92%, 07/18/27(a)(b)			2,133		2,113,976
Series 2015-VIIA, Class CR, (3 mo. LIBOR US + 2.40%), 3.54%, 07/18/27(a)(b)			600		539,422
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 2.24%, 01/20/31(a)(b)			1,250		1,218,707
Benefit Street Partners CLO X Ltd.
Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.14%), 2.36%, 01/15/29(a)(b)			1,000		978,990
Series 2016-10A, Class A2R, (3 mo. LIBOR US + 1.75%), 2.97%, 01/15/29(a)(b)			600		584,381
Black Diamond CLO Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.45%), 2.59%, 02/06/26(a)(b)			661		655,471
BlueMountain CLO Ltd.
Series 2012-2A, Class AR2, (3 mo. LIBOR US + 1.05%), 1.43%, 11/20/28(a)(b)			1,500		1,460,642
Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.23%), 2.37%, 01/20/29(a)(b)			3,975		3,903,064
Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 2.28%, 10/22/30(a)(b)			6,345		6,171,485
Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.00%), 2.14%, 04/20/31(a)(b)			2,550		2,450,211
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class B, (3 mo. LIBOR US + 2.25%), 2.56%, 07/25/31(a)(b)			750		750,000
BlueMountain CLO XXV Ltd., Series 2019-25A, Class E, (3 mo. LIBOR US + 6.70%), 7.92%, 07/15/32(a)(b)			1,000		885,499
Bowman Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.18%), 1.54%, 11/23/25(a)(b)			1,604		1,596,383
Brookside Mill CLO Ltd.
Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.35%), 2.49%, 01/17/28(a)(b)			500		477,463
Series 2013-1A, Class DR, (3 mo. LIBOR US + 2.65%), 3.79%, 01/17/28(a)(b)			1,073		946,456
California Street CLO XII Ltd., Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.03%), 2.25%, 10/15/25(a)(b)			1,475		1,462,342
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 1.79%, 04/30/31(a)(b)			7,620		7,441,307
Carlyle Global Market Strategies CLO Ltd.
Series 2013-2A, Class AR, (3 mo. LIBOR US + 0.89%), 2.03%, 01/18/29(a)(b)			1,490		1,445,696
Series 2013-3A, Class A1AR, (3 mo. LIBOR US + 1.10%), 2.32%, 10/15/30(a)(b)			250		245,332
Series 2013-4A, Class A1RR, (3 mo. LIBOR US + 1.00%), 2.22%, 01/15/31(a)(b)			1,865		1,796,240
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 2.11%, 04/17/31(a)(b)			3,164		3,066,021

3

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Carlyle Global Market Strategies CLO Ltd.
Series 2015-3A, Class A2R, (3 mo. LIBOR US + 1.60%), 2.49%, 07/28/28(a)(b)	USD		2,470	$	2,393,737
Carlyle U.S. CLO Ltd.
Series 2016-4A, Class A2R, (3 mo. LIBOR US + 1.45%), 2.59%, 10/20/27(a)(b)			750		720,300
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.18%), 2.40%, 01/15/30(a)(b)			4,620		4,526,134
Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.28%), 2.50%, 07/15/32(a)(b)			4,000		3,921,387
Carrington Mortgage Loan Trust
Series 2006-NC1, Class M2, (1 mo. LIBOR US + 0.42%), 0.61%, 01/25/36(a)			610		409,749
Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 0.34%, 10/25/36(a)			806		751,863
Series 2006-NC5, Class A3, (1 mo. LIBOR US + 0.15%), 0.34%, 01/25/37(a)			3,978		2,988,577
CarVal CLO II Ltd.
Series 2019-1A, Class C, (3 mo. LIBOR US + 3.25%), 4.39%, 04/20/32(a)(b)			712		704,649
Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 5.29%, 04/20/32(a)(b)			1,000		957,514
CarVal CLO III Ltd., Series 2019-2A, Class D, (3 mo. LIBOR US + 3.70%), 4.84%, 07/20/32(a)(b)			2,000		1,834,717
CarVal CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.89%), 4.07%, 07/16/31(a)(b)			500		441,956
Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(b)(d)			11,577		11,482,351
CBAM Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 2.39%, 07/20/30(a)(b)			6,050		5,991,435
Series 2017-2A, Class B1, (3 mo. LIBOR US + 1.75%), 2.89%, 10/17/29(a)(b)			2,955		2,872,334
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.23%), 2.37%, 10/17/29(a)(b)			3,780		3,717,492
Series 2017-3A, Class B1, (3 mo. LIBOR US + 1.70%), 2.84%, 10/17/29(a)(b)			1,000		968,414
C-BASS TRUST, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.16%), 0.34%, 10/25/36(a)			599		456,830
CDO Repack SPC Ltd., Series 2006-CLF1, Class D1, 0.00%, 05/20/30(b)			485		507,988
Cedar Funding II CLO Ltd.
Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 1.54%, 06/09/30(a)(b)			1,511		1,483,653
Series 2013-1A, Class BR, (3 mo. LIBOR US + 1.75%), 2.06%, 06/09/30(a)(b)			2,450		2,386,117
Cedar Funding IV CLO Ltd., Series 2014-4A, Class AR, (3 mo. LIBOR US + 1.23%), 2.27%, 07/23/30(a)(b)			3,790		3,730,753
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 2.12%, 04/20/31(a)(b)			940		912,929
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 2.24%, 07/17/31(a)(b)			1,880		1,841,708
Cedar Funding VI CLO Ltd., Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.09%), 2.23%, 10/20/28(a)(b)			15,035		14,748,493

Security		Par (000)		Value
Asset-Backed Securities (continued)
Cedar Funding VIII CLO Ltd.
Series 2017-8A, Class A1, (3 mo. LIBOR US + 1.25%), 2.39%, 10/17/30(a)(b)	USD		16,520	$	16,251,649
Series 2017-8A, Class B, (3 mo. LIBOR US + 1.70%), 2.84%, 10/17/30(a)(b)			2,627		2,536,939
Series 2017-8A, Class C, (3 mo. LIBOR US + 2.25%), 3.39%, 10/17/30(a)(b)			750		698,014
Cent CLO Ltd., Series 2015-24A, Class A1R, (3 mo. LIBOR US + 1.07%), 2.29%, 10/15/26(a)(b)			4,000		3,948,867
CIFC Funding Ltd.
Series 2012-2RA, Class A2, (3 mo. LIBOR US + 1.25%), 2.39%, 01/20/28(a)(b)			750		714,896
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.75%), 2.93%, 07/16/30(a)(b)			500		487,188
Series 2014-4RA, Class A1A, (3 mo. LIBOR US + 1.13%), 2.27%, 10/17/30(a)(b)			26,820		26,341,512
Series 2014-4RA, Class A2, (3 mo. LIBOR US + 1.65%), 2.79%, 10/17/30(a)(b)			250		241,863
Series 2015-2A, Class AR2, (3 mo. LIBOR US + 1.01%), 2.23%, 04/15/30(a)(b)(c)			1,270		1,240,790
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.00%), 3.22%, 04/15/30(a)(b)			2,904		2,760,251
Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.15%), 2.29%, 10/20/27(a)(b)			690		678,463
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.01%), 2.12%, 04/23/29(a)(b)			5,840		5,746,336
Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 2.81%, 04/23/29(a)(b)			2,910		2,832,260
Series 2017-5A, Class C, (3 mo. LIBOR US + 2.85%), 3.99%, 11/16/30(a)(b)			300		266,442
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 2.14%, 04/18/31(a)(b)			1,834		1,776,882
Series 2020-1A, Class B, (3 mo. LIBOR US + 2.30%), 0.00%, 07/15/32(a)(b)			3,260		3,260,000
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.00%), 0.00%, 07/15/32(a)(b)			1,120		1,120,000
Citigroup Mortgage Loan Trust
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 0.39%, 05/25/37(a)			6,601		5,012,701
Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 0.46%, 05/25/37(a)			2,999		2,294,971
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 4.09%, 10/20/30(a)(b)			620		542,326
Cloud Pass-Through Trust, Series 2019-1A, Class CLOU, 3.55%, 12/05/22(b)(d)			14,398		14,625,653
Conseco Finance Corp.
Series 1997-3, Class M1, 7.53%, 03/15/28(d)			1,425		1,437,257
Series 1997-6, Class M1, 7.21%, 01/15/29(d)			266		271,209
Series 1998-4, Class M1, 6.83%, 04/01/30(d)			345		328,621
Series 1998-8, Class A1, 6.28%, 09/01/30			650		673,113
Series 1998-8, Class M1, 6.98%, 09/01/30(d)			2,521		2,279,528
Series 1999-5, Class A5, 7.86%, 03/01/30(d)			959		575,158
Series 1999-5, Class A6, 7.50%, 03/01/30(d)			1,028		594,475
Series 2001-D, Class B1, (1 mo. LIBOR US + 2.50%), 2.69%, 11/15/32(a)			2,002		1,852,305
Conseco Finance Securitizations Corp.
Series 2000-1, Class A5, 8.06%, 09/01/29(d)			1,602		584,387
Series 2000-4, Class A6, 8.31%, 05/01/32(d)			1,372		483,386
Series 2000-5, Class A6, 7.96%, 05/01/31			2,229		1,115,690
Series 2000-5, Class A7, 8.20%, 05/01/31			4,067		2,095,090

4

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Corevest American Finance Trust,
Series 2020-2, Class A, 3.38%, 05/15/52(b)	USD		1,948	$	2,074,081
Countrywide Asset-Backed Certificates
Series 2004-5, Class A, (1 mo. LIBOR US + 0.90%), 1.09%, 10/25/34(a)			535		517,890
Series 2005-16, Class 1AF, 4.64%, 04/25/36(d)			3,514		3,376,214
Series 2005-17, Class 1AF4, 6.05%, 05/25/36(e)			1,702		1,740,349
Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 0.34%, 09/25/46(a)			213		205,734
Series 2006-17, Class 2A2, (1 mo. LIBOR US + 0.15%), 0.34%, 03/25/47(a)			227		220,053
Series 2006-18, Class M1, (1 mo. LIBOR US + 0.30%), 0.48%, 03/25/37(a)			6,144		3,951,388
Series 2006-8, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.34%, 12/25/35(a)			536		526,615
Series 2006-S10, Class A3, (1 mo. LIBOR US + 0.32%), 0.50%, 10/25/36(a)			4,391		3,911,640
Series 2006-S3, Class A4, 6.53%, 01/25/29(e)			347		383,729
Series 2006-SPS1, Class A, (1 mo. LIBOR US + 0.22%), 0.41%, 12/25/25(a)			123		149,035
Series 2007-12, Class 1A2, (1 mo. LIBOR US + 0.84%), 1.02%, 08/25/47(a)			6,130		5,840,011
Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 0.46%, 03/15/34(a)			695		644,933
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 09/25/31(d)			1,750		1,828,220
Credit-Based Asset Servicing & Securitization LLC
Series 2006-CB2, Class AF4, 3.26%, 12/25/36(e)			429		402,544
Series 2006-MH1, Class B1, 6.25%, 10/25/36(b)(e)			852		884,653
Series 2006-SL1, Class A2, 6.06%, 09/25/36(b)(e)			3,063		366,326
Series 2007-CB6, Class A4, (1 mo. LIBOR US + 0.34%), 0.52%, 07/25/37(a)(b)			619		476,814
Cumberland Park CLO Ltd.
Series 2015-2A, Class CR, (3 mo. LIBOR US + 1.80%), 2.94%, 07/20/28(a)(b)			1,190		1,133,351
Series 2015-2A, Class DR, (3 mo. LIBOR US + 2.70%), 3.84%, 07/20/28(a)(b)			500		453,548
CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5, 6.16%, 06/25/35			381		414,149
CWHEQ Revolving Home Equity Loan Resuritization Trust
Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 0.49%, 12/15/33(a)(b)			701		663,171
Series 2006-RES, Class 5B1A, (1 mo. LIBOR US + 0.19%), 0.38%, 05/15/35(a)(b)			289		274,655
Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 0.38%, 05/15/35(a)(b)(c)			177		164,858
CWHEQ Revolving Home Equity Loan Trust
Series 2005-B, Class 2A, (1 mo. LIBOR US + 0.18%), 0.37%, 05/15/35(a)			435		418,772
Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 0.37%, 05/15/36(a)			2,500		2,374,671

Security		Par (000)		Value
Asset-Backed Securities (continued)
CWHEQ Revolving Home Equity Loan Trust Series 2006-H, Class 1A, (1 mo. LIBOR US + 0.15%), 0.34%, 11/15/36(a)	USD		1,570	$	1,266,788
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 2.32%, 10/20/30(a)(b)			5,561		5,477,627
Dorchester Park CLO DAC, Series 2015-1A, Class BR, (3 mo. LIBOR US + 1.45%), 2.59%, 04/20/28(a)(b)			3,064		2,959,449
Dryden 33 Senior Loan Fund, Series 2014-33A, Class BR2, (3 mo. LIBOR US + 1.75%), 2.97%, 04/15/29(a)(b)			250		244,132
Dryden 36 Senior Loan Fund, Series 2014-36A, Class DR2, (3 mo. LIBOR US + 3.70%), 4.92%, 04/15/29(a)(b)			750		697,958
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR, (3 mo. LIBOR US + 1.14%), 2.28%, 07/20/29(a)(b)			7,230		7,112,082
Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 2.34%, 01/15/31(a)(b)			18,720		18,305,322
Dryden 76 CLO Ltd., Series 2019-76A, Class A1, (3 mo. LIBOR US + 1.33%), 2.47%, 10/20/32(a)(b)			750		740,280
Dryden 77 CLO Ltd., Series 2020-77A, Class D1, (3 mo. LIBOR US + 5.14%), 5.51%, 05/20/31(a)(b)			750		750,881
Dryden XXV Senior Loan Fund
Series 2012-25A, Class ARR, (3 mo. LIBOR US + 0.90%), 2.12%, 10/15/27(a)(b)			10,739		10,479,389
Series 2012-25A, Class CRR, (3 mo. LIBOR US + 1.85%), 3.07%, 10/15/27(a)(b)			1,340		1,271,004
Dryden XXVI Senior Loan Fund, Series 2013- 26A, Class AR, (3 mo. LIBOR US + 0.90%), 2.12%, 04/15/29(a)(b)			1,170		1,142,582
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 1.59%, 08/15/30(a)(b)			9,085		8,877,307
Eaton Vance CLO Ltd.
Series 2013-1A, Class A1RR, (3 mo. LIBOR US + 1.16%), 2.38%, 01/15/28(a)(b)			1,280		1,258,792
Series 2013-1A, Class A2RR, (3 mo. LIBOR US + 1.85%), 3.07%, 01/15/28(a)(b)			1,150		1,126,659
Series 2018-1A, Class C, (3 mo. LIBOR US + 2.20%), 3.42%, 10/15/30(a)(b)			3,550		3,417,864
Elm CLO Ltd.
Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.17%), 2.31%, 01/17/29(a)(b)			18,150		17,836,159
Series 2014-1A, Class BRR, (3 mo. LIBOR US + 1.75%), 2.89%, 01/17/29(a)(b)			1,950		1,908,297
Elmwood CLO I Ltd., Series 2019-1A, Class B, (3 mo. LIBOR US + 1.90%), 3.04%, 04/20/30(a)(b)			1,500		1,471,843
Elmwood CLO II Ltd., Series 2019-2A, Class A, (3 mo. LIBOR US + 1.45%), 2.59%, 04/20/31(a)(b)			250		248,822
Elmwood CLO V Ltd.
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.20%), 0.00%, 07/24/31(a)(b)			2,880		2,880,000
Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 0.00%, 07/24/31(a)(b)			2,880		2,880,000

5

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Finance of America HECM Buyout, Series 2020- HB1, Class M5, 6.00%, 02/25/30(b)(c)(d)	USD		1,758	$	1,291,075
First Franklin Mortgage Loan Trust
Series 2004-FFH3, Class M3, (1 mo. LIBOR US + 1.05%), 1.23%, 10/25/34(a)			1,000		880,328
Series 2006-FF13, Class A1, (1 mo. LIBOR US + 0.12%), 0.30%, 10/25/36(a)			2,457		1,810,067
Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.14%), 0.33%, 12/25/36(a)			12,397		7,055,597
Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 0.34%, 12/25/36(a)			17,089		15,033,711
Series 2006-FFH1, Class M2, (1 mo. LIBOR US + 0.40%), 0.59%, 01/25/36(a)			2,649		1,586,067
Flatiron CLO Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.89%), 2.11%, 04/15/27(a)(b)			1,796		1,783,332
Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.33%, 02/25/37(a)			2,966		2,260,443
Galaxy XV CLO Ltd., Series 2013-15A, Class AR, (3 mo. LIBOR US + 1.20%), 2.42%, 10/15/30(a)(b)			1,350		1,322,277
Galaxy XXIII CLO Ltd., Series 2017-23A, Class A, (3 mo. LIBOR US + 1.28%), 2.30%, 04/24/29(a)(b)			2,603		2,562,985
Galaxy XXIX CLO Ltd.
Series 2018-29A, Class B, (3 mo. LIBOR US + 1.40%), 1.79%, 11/15/26(a)(b)			250		241,861
Series 2018-29A, Class C, (3 mo. LIBOR US + 1.68%), 2.07%, 11/15/26(a)(b)			1,470		1,383,374
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, (1 mo. LIBOR US + 0.50%), 0.68%, 12/25/35(a)			295		288,027
Gilbert Park CLO Ltd.
Series 2017-1A, Class C, (3 mo. LIBOR US + 1.95%), 3.17%, 10/15/30(a)(b)			3,110		2,956,389
Series 2017-1A, Class D, (3 mo. LIBOR US + 2.95%), 4.17%, 10/15/30(a)(b)			4,292		3,868,603
GoldenTree Loan Management U.S. CLO 5 Ltd., Series 2019-5A, Class A, (3 mo. LIBOR US + 1.30%), 2.44%, 10/20/32(a)(b)			1,750		1,717,236
GoldenTree Loan Management U.S. CLO 7 Ltd., Series 2020-7A, Class D, (3 mo. LIBOR US + 2.98%), 3.39%, 04/20/31(a)(b)			2,240		2,064,852
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 1.95%, 10/29/29(a)(b)			1,830		1,797,529
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class AR, (3 mo. LIBOR US + 1.12%), 2.26%, 07/20/31(a)(b)			4,688		4,590,782
GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 2.21%, 01/18/31(a)(b)			3,749		3,681,078
GoldentTree Loan Management U.S. CLO 1 Ltd.
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.99%, 04/20/29(a)(b)			3,120		3,037,431
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 3.79%, 04/20/29(a)(b)			1,800		1,606,577
Greenpoint Manufactured Housing
Series 1999-5, Class M1B, 8.29%, 12/15/29(d)			870		909,538
Series 1999-5, Class M2, 9.23%, 12/15/29(d)			1,033		868,607

Security		Par (000)		Value
Asset-Backed Securities (continued)
Grippen Park CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.26%), 2.40%, 01/20/30(a)(b)	USD		1,123	$	1,107,170
GSAA Home Equity Trust
Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.35%), 0.53%, 12/25/35(a)			836		322,758
Series 2006-4, Class 1A1, 3.60%, 03/25/36(d)			2,463		1,916,646
Series 2006-5, Class 2A1, (1 mo. LIBOR US + 0.07%), 0.26%, 03/25/36(a)			14		6,457
Series 2007-2, Class AF3, 5.92%, 03/25/37(d)			504		145,742
GSAMP Trust
Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.20%), 0.39%, 01/25/47(a)			972		574,360
Series 2007-HS1, Class M6, (1 mo. LIBOR US + 2.25%), 2.43%, 02/25/47(a)			1,300		1,271,780
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 3.00%, 04/15/33(a)(b)			5,820		5,711,585
Gulf Stream Meridian 2 Ltd., Series 2020-IIA, Class C, (3 mo. LIBOR US + 4.85%), 5.13%, 10/15/29(a)(b)			1,500		1,488,936
Halcyon Loan Advisors Funding Ltd.
Series 2014-1A, Class A1R, (3 mo. LIBOR US + 1.13%), 2.27%, 04/18/26(a)(b)			4		4,040
Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.08%), 2.07%, 07/25/27(a)(b)			8,343		8,235,536
Highbridge Loan Management Ltd.
Series 12A-18, Class A1B, (3 mo. LIBOR US + 1.25%), 2.39%, 07/18/31(a)(b)			750		722,815
Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 1.54%, 02/05/31(a)(b)			11,313		11,010,958
Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 1.57%, 03/15/27(a)(b)			500		478,737
Home Equity Asset Trust, Series 2007-1, Class 2A3, (1 mo. LIBOR US + 0.15%), 0.34%, 05/25/37(a)			2,490		2,044,057
Home Equity Mortgage Loan Asset-Backed Trust
Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 2.21%, 07/25/34(a)			549		538,414
Series 2007-A, Class 2A2, (1 mo. LIBOR US + 0.19%), 0.37%, 04/25/37(a)			1,932		1,364,990
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 07/25/36(e)			2,364		643,566
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, (1 mo. LIBOR US + 0.72%), 0.91%, 04/15/36(a)			1,002		924,933
HPS Loan Management Ltd.
Series 10A-16, Class A1R, (3 mo. LIBOR US + 1.14%), 2.28%, 01/20/28(a)(b)			4,550		4,446,043
Series 14A-19, Class A1, (3 mo. LIBOR US + 1.27%), 2.26%, 07/25/30(a)(b)			1,300		1,279,331
ICG U.S. CLO Ltd., Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 2.28%, 10/19/28(a)(b)			5,420		5,338,187
Invitation Homes Trust
Series 2018-SFR3, Class A, (1 mo. LIBOR US + 1.00%), 1.19%, 07/17/37(a)(b)			2,740		2,719,171
Series 2018-SFR3, Class E, (1 mo. LIBOR US + 2.00%), 2.19%, 07/17/37(a)(b)			2,468		2,346,313
Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3, 6.53%, 09/25/37(b)(e)			444		437,083

6

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1, (1 mo. LIBOR US + 0.27%), 0.46%, 05/25/36(a)	USD		1,170	$	1,084,971
Kayne CLO II Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.24%), 2.46%, 10/15/31(a)(b)			500		494,009
KKR CLO 16 Ltd., Series 16, Class A1R, (3 mo. LIBOR US + 1.25%), 2.39%, 01/20/29(a)(b)			7,421		7,301,678
LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 2.21%, 01/20/31(a)(b)			8,120		7,934,871
LCM XIV LP, Series 14A, Class AR, (3 mo. LIBOR US + 1.04%), 2.18%, 07/20/31(a)(b)			500		484,940
LCM XX LP
Series 20A, Class AR, (3 mo. LIBOR US + 1.04%), 2.18%, 10/20/27(a)(b)			3,740		3,694,081
Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 2.69%, 10/20/27(a)(b)			250		242,046
LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 2.02%, 04/20/28(a)(b)			3,430		3,379,690
LCM XXIV Ltd., Series 24A, Class A, (3 mo. LIBOR US + 1.31%), 2.45%, 03/20/30(a)(b)			500		489,850
Legacy Mortgage Asset Trust
Series 2019-SL2, Class A, 3.38%, 02/25/59(b)(c)(d)			8,817		8,111,850
Series 2019-SL2, Class B, 0.00%, 02/25/59(b)(c)			2,432		432,885
Series 2019-SL2, Class M, 4.25%, 02/25/59(b)(c)(d)			2,083		1,645,570
Lehman ABS Manufactured Housing Contract Trust
Series 2001-B, Class M1, 6.63%, 04/15/40(d)			4,469		4,720,628
Series 2002-A, Class C, 0.00%, 06/15/33			372		318,508
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 0.28%, 06/25/37(a)(b)			442		325,469
Lendmark Funding Trust, Series 2019-2A, Class A, 2.78%, 04/20/28(b)			12,230		12,230,928
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/01/27(b)(c)			2,233		2,227,302
LoanCore Issuer Ltd., Series 2018-CRE1, Class A, (1 mo. LIBOR US + 1.13%), 1.32%, 05/15/28(a)(b)			2,510		2,488,045
Long Beach Mortgage Loan Trust
Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.15%), 0.34%, 06/25/36(a)			3,792		2,062,919
Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.34%, 08/25/36(a)			6,421		3,181,476
Series 2006-9, Class 2A2, (1 mo. LIBOR US + 0.11%), 0.29%, 10/25/36(a)			1,537		678,494
Series 2006-9, Class 2A4, (1 mo. LIBOR US + 0.23%), 0.41%, 10/25/36(a)			1,548		710,220
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, (1 mo. LIBOR US + 3.25%), 3.43%, 03/25/32(a)			1,105		1,102,122
Madison Park Funding X Ltd.
Series 2012-10A, Class AR2, (3 mo. LIBOR US + 1.22%), 2.36%, 01/20/29(a)(b)			10,710		10,521,957
Series 2012-10A, Class BR2, (3 mo. LIBOR US + 1.80%), 2.94%, 01/20/29(a)(b)			250		241,250

Security		Par (000)		Value
Asset-Backed Securities (continued)
Madison Park Funding XI Ltd., Series 2013-11A, Class AR, (3 mo. LIBOR US + 1.16%), 2.20%, 07/23/29(a)(b)	USD		4,830	$	4,753,880
Madison Park Funding XIII Ltd.
Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 2.09%, 04/19/30(a)(b)			7,780		7,577,777
Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 2.64%, 04/19/30(a)(b)			4,540		4,381,320
Madison Park Funding XIX Ltd.
Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 2.02%, 01/22/28(a)(b)			7,698		7,573,537
Series 2015-19A, Class A2R2, (3 mo. LIBOR US + 1.50%), 2.60%, 01/22/28(a)(b)			1,000		965,030
Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, (3 mo. LIBOR US + 1.90%), 3.04%, 04/20/26(a)(b)			500		490,006
Madison Park Funding XVII Ltd., Series 2015-17A, Class B1R, (3 mo. LIBOR US + 1.75%), 2.86%, 07/21/30(a)(b)			1,770		1,724,516
Madison Park Funding XVIII Ltd., Series 2015- 18A, Class A1R, (3 mo. LIBOR US + 1.19%), 2.30%, 10/21/30(a)(b)			14,970		14,698,792
Madison Park Funding XXII Ltd., Series 2016-22A, Class A1R, (3 mo. LIBOR US + 1.26%), 2.48%, 01/15/33(a)(b)			3,000		2,895,000
Madison Park Funding XXIII Ltd.
Series 2017-23A, Class A, (3 mo. LIBOR US + 1.21%), 2.20%, 07/27/30(a)(b)			250		245,895
Series 2017-23A, Class B, (3 mo. LIBOR US + 1.70%), 2.69%, 07/27/30(a)(b)			500		485,374
Madison Park Funding XXVI Ltd., Series 2017- 26A, Class AR, (3 mo. LIBOR US + 1.20%), 2.04%, 07/29/30(a)(b)			11,115		10,885,114
Marble Point CLO XI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.18%), 2.32%, 12/18/30(a)(b)			2,000		1,948,428
Mariner CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 2.10%, 04/25/31(a)(b)			3,550		3,470,153
Mariner CLO LLC
Series 2015-1A, Class BR2, (3 mo. LIBOR US + 1.50%), 2.64%, 04/20/29(a)(b)			7,152		6,887,308
Series 2015-1A, Class CR2, (3 mo. LIBOR US + 1.90%), 3.04%, 04/20/29(a)(b)			2,000		1,913,360
Series 2016-3A, Class BR2, (3 mo. LIBOR US + 1.50%), 2.54%, 07/23/29(a)(b)(c)			1,478		1,443,858
Series 2016-3A, Class CR2, (3 mo. LIBOR US + 2.05%), 3.09%, 07/23/29(a)(b)(c)			5,162		4,967,909
Series 2016-3A, Class DR2, (3 mo. LIBOR US + 2.90%), 3.94%, 07/23/29(a)(b)(c)			500		464,900
Series 2017-4A, Class A, (3 mo. LIBOR US + 1.21%), 2.20%, 10/26/29(a)(b)			1,800		1,771,483
Mariner Finance Issuance Trust
Series 2019-AA, Class A, 2.96%, 07/20/32(b)			14,870		14,660,812
Series 2019-AA, Class B, 3.51%, 07/20/32(b)			2,420		2,335,441
Series 2019-AA, Class C, 4.01%, 07/20/32(b)			2,150		2,039,850
MASTR Asset-Backed Securities Trust
Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.26%), 0.45%, 06/25/36(a)(b)			1,591		1,437,163
Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 0.47%, 05/25/37(a)			1,318		1,029,351

7

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 0.45%, 06/25/46(a)(b)	USD		509	$	471,722
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.24%), 0.42%, 05/25/37(a)			1,905		1,315,537
Merrill Lynch Mortgage Investors Trust
Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.45%, 08/25/37(a)			384		181,220
Series 2006-RM3, Class A2B, (1 mo. LIBOR US + 0.09%), 0.28%, 06/25/37(a)			934		251,967
MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 2.08%, 04/21/31(a)(b)			2,010		1,934,331
Mill City Solar Loan Ltd., Series 2019-2GS, Class A, 3.69%, 07/20/43(b)			7,815		7,894,585
Morgan Stanley ABS Capital I, Inc. Trust
Series 2005-HE1, Class A2MZ, (1 mo. LIBOR US + 0.60%), 0.78%, 12/25/34(a)			820		739,751
Series 2005-HE5, Class M4, (1 mo. LIBOR US + 0.87%), 1.05%, 09/25/35(a)			3,756		1,930,758
Morgan Stanley Mortgage Loan Trust, Series 2007-9SL, Class A, (1 mo. LIBOR US + 0.32%), 0.50%, 07/25/37(a)			1,083		1,018,254
Mosaic Solar Loan Trust
Series 2018-2GS, Class A, 4.20%, 02/22/44(b)			3,070		3,176,547
Series 2019-2A, Class A, 2.88%, 09/20/40(b)			1,111		1,104,305
Series 2020-1A, Class A, 2.10%, 04/20/46(b)			1,700		1,713,190
Series 2020-1A, Class B, 3.10%, 04/20/46(b)			2,570		2,590,755
Mountain Hawk II CLO Ltd., Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 2.74%, 07/20/24(a)(b)			1,884		1,874,421
MP CLO III Ltd., Series 2013-1A, Class AR, (3 mo. LIBOR US + 1.25%), 2.39%, 10/20/30(a)(b)			2,820		2,715,865
MP CLO VII Ltd.
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 2.22%, 10/18/28(a)(b)			490		480,088
Series 2015-1A, Class BRR, (3 mo. LIBOR US + 1.60%), 2.74%, 10/18/28(a)(b)			750		721,033
MP CLO VIII Ltd.
Series 2015-2A, Class AR, (3 mo. LIBOR US + 0.91%), 1.80%, 10/28/27(a)(b)			5,553		5,442,095
Series 2015-2A, Class BR, (3 mo. LIBOR US + 1.42%), 2.31%, 10/28/27(a)(b)			3,250		3,138,141
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3, (1 mo. LIBOR US + 0.18%), 0.36%, 06/25/37(a)			69		69,000
Navient Private Education Loan Trust, Series 2014-AA, Class B, 3.50%, 08/15/44(b)			6,000		6,114,268
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 1.09%, 11/15/68(a)(b)			2,410		2,356,936
Neuberger Berman CLO XVII Ltd.
Series 2014-17A, Class BR2, (3 mo. LIBOR US + 1.50%), 2.60%, 04/22/29(a)(b)			1,500		1,442,568
Series 2014-17A, Class CR2, (3 mo. LIBOR US + 2.00%), 3.10%, 04/22/29(a)(b)			1,900		1,816,623
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, (3 mo. LIBOR US + 0.85%), 2.07%, 01/15/28(a)(b)			2,648		2,618,542

Security		Par (000)		Value
Asset-Backed Securities (continued)
Neuberger Berman CLO XX Ltd.
Series 2015-20A, Class AR, (3 mo. LIBOR US + 0.80%), 2.02%, 01/15/28(a)(b)	USD		984	$	964,887
Series 2015-20A, Class BR, (3 mo. LIBOR US + 1.25%), 2.47%, 01/15/28(a)(b)			750		720,135
Neuberger Berman CLO XXIII Ltd., Series 2016- 23A, Class BR, (3 mo. LIBOR US + 1.55%), 2.69%, 10/17/27(a)(b)			400		384,523
Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class A, (3 mo. LIBOR US + 1.17%), 2.31%, 10/18/30(a)(b)			5,520		5,415,272
Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class B, (3 mo. LIBOR US + 2.20%), 2.37%, 07/20/31(a)(b)(c)			1,000		1,000,000
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 0.59%, 10/25/36(a)(b)			257		237,183
Oaktree CLO Ltd.
Series 2014-1A, Class A2R, (3 mo. LIBOR US + 1.85%), 2.28%, 05/13/29(a)(b)			1,840		1,738,447
Series 2015-1A, Class A1R, (3 mo. LIBOR US + 0.87%), 2.01%, 10/20/27(a)(b)			467		459,217
Oakwood Mortgage Investors, Inc.
Series 2001-D, Class A2, 5.26%, 01/15/19(d)			700		481,070
Series 2001-D, Class A4, 6.93%, 09/15/31(d)			445		350,583
Series 2002-B, Class M1, 7.62%, 06/15/32(d)			4,443		3,554,546
OCP CLO Ltd.
Series 2013-4A, Class A2RR, (3 mo. LIBOR US + 1.45%), 2.47%, 04/24/29(a)(b)			2,500		2,396,966
Series 2013-4A, Class BRR, (3 mo. LIBOR US + 1.90%), 2.92%, 04/24/29(a)(b)			4,618		4,418,789
Series 2013-4A, Class CRR, (3 mo. LIBOR US + 3.00%), 4.02%, 04/24/29(a)(b)			3,000		2,755,859
Series 2014-5A, Class A1R, (3 mo. LIBOR US + 1.08%), 2.07%, 04/26/31(a)(b)			660		642,235
Series 2014-7A, Class A2RR, (3 mo. LIBOR US + 1.65%), 2.79%, 07/20/29(a)(b)			750		726,393
Series 2015-10A, Class A1R, (3 mo. LIBOR US + 0.82%), 1.81%, 10/26/27(a)(b)			621		612,548
Series 2015-10A, Class BR, (3 mo. LIBOR US + 1.85%), 2.84%, 10/26/27(a)(b)			1,120		1,074,318
Series 2016-12A, Class A1R, (3 mo. LIBOR US + 1.12%), 2.26%, 10/18/28(a)(b)			10,736		10,579,900
Series 2016-12A, Class A2R, (3 mo. LIBOR US + 1.60%), 2.74%, 10/18/28(a)(b)			500		486,987
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 2.48%, 07/15/30(a)(b)			9,170		9,079,525
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.95%), 2.33%, 11/20/30(a)(b)			500		475,898
Series 2020-19A, Class B, (3 mo. LIBOR US + 2.50%), 2.82%, 07/20/31(a)(b)			500		498,111
Series 2020-19A, Class C, (3 mo. LIBOR US + 2.95%), 3.27%, 07/20/31(a)(b)(c)			650		650,000
Series 2020-19A, Class D, (3 mo. LIBOR US + 4.47%), 4.79%, 07/20/31(a)(b)(c)			525		514,500
Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 2.14%, 04/16/31(a)(b)			7,300		7,100,148
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class B1, (3 mo. LIBOR US + 1.70%), 2.92%, 07/15/29(a)(b)			1,650		1,602,227

8

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.19%), 2.33%, 01/20/31(a)(b)	USD		1,310	$	1,284,005
Octagon Investment Partners 46 Ltd.
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.20%), 0.00%, 07/15/33(a)(b)			3,290		3,290,000
Series 2020-2A, Class D, (3 mo. LIBOR US + 4.60%), 0.00%, 07/15/33(a)(b)			2,470		2,470,000
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.10%), 2.32%, 04/15/26(a)(b)			34		34,210
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.02%), 2.16%, 07/17/30(a)(b)			3,580		3,488,481
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 1.99%, 01/25/31(a)(b)			7,240		7,043,298
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 3.07%, 07/15/27(a)(b)			2,840		2,710,128
OFSI Fund VI Ltd., Series 2014-6A, Class A2R, (3 mo. LIBOR US + 1.13%), 2.35%, 03/20/25(a)(b)			384		383,758
OFSI Fund VII Ltd., Series 2014-7A, Class AR, (3 mo. LIBOR US + 0.90%), 2.04%, 10/18/26(a)(b)			392		390,403
OHA Credit Funding 3 Ltd., Series 2019-3A, Class B1, (3 mo. LIBOR US + 1.80%), 2.94%, 07/20/32(a)(b)			2,989		2,906,061
OHA Credit Partners IX Ltd., Series 2013-9A, Class E, (3 mo. LIBOR US + 5.00%), 6.14%, 10/20/25(a)(b)			2,500		2,376,550
OHA Loan Funding Ltd.
Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 1.40%, 05/23/31(a)(b)			6,219		6,053,344
Series 2015-1A, Class A1R2, (3 mo. LIBOR US + 1.34%), 1.73%, 11/15/32(a)(b)			1,630		1,596,417
OneMain Financial Issuance Trust
Series 2019-2A, Class A, 3.14%, 10/14/36(b)			14,760		15,580,337
Series 2020-1A, Class A, 3.84%, 05/14/32(b)			12,330		12,776,988
Option One Mortgage Acceptance Corp. Asset- Backed Certificates, Series 2003-4, Class A2, (1 mo. LIBOR US + 0.64%), 0.83%, 07/25/33(a)			852		784,273
Option One Mortgage Loan Trust
Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.33%, 02/25/37(a)			1,260		910,577
Series 2007-CP1, Class 2A3, (1 mo. LIBOR US + 0.21%), 0.40%, 03/25/37(a)			2,360		1,473,573
Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(e)			2,647		2,483,554
Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(e)			6,815		6,413,598
Series 2007-FXD2, Class 1A1, 5.82%, 03/25/37(e)			3,639		3,743,988
Origen Manufactured Housing Contract Trust
Series 2001-A, Class M1, 7.82%, 03/15/32(d)			1,455		1,412,883
Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 1.39%, 10/15/37(a)(b)(c)			1,867		1,778,784
Ownit Mortgage Loan Trust Series,
Series 2006-2, Class A2C, 6.00%, 01/25/37(e)			1,990		1,894,001

Security		Par (000)		Value
Asset-Backed Securities (continued)
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 3.80%, 01/22/29(a)(b)	USD		4,720	$	4,636,754
OZLM Funding IV Ltd.
Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 2.35%, 10/22/30(a)(b)			13,172		12,786,145
Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 2.80%, 10/22/30(a)(b)			2,120		2,032,444
OZLM Funding Ltd., Series 2012-1A, Class A2R2, (3 mo. LIBOR US + 1.85%), 2.95%, 07/22/29(a)(b)			495		485,179
OZLM VI Ltd., Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 2.89%, 04/17/31(a)(b)			900		867,003
OZLM VIII Ltd., Series 2014-8A, Class BRR, (3 mo. LIBOR US + 2.20%), 3.34%, 10/17/29(a)(b)			1,160		1,107,018
OZLM XII Ltd., Series 2015-12A, Class A2R, (3 mo. LIBOR US + 1.60%), 2.36%, 04/30/27(a)(b)			500		488,649
OZLM XIV Ltd., Series 2015-14A, Class A2AR, (3 mo. LIBOR US + 1.70%), 2.92%, 01/15/29(a)(b)			5,770		5,607,132
OZLM XIX Ltd., Series 2017-19A, Class A1, (3 mo. LIBOR US + 1.22%), 2.44%, 11/22/30(a)(b)			2,160		2,094,949
OZLM XVIII Ltd., Series 2018-18A, Class A, (3 mo. LIBOR US + 1.02%), 2.24%, 04/15/31(a)(b)			2,620		2,494,206
OZLM XX Ltd., Series 2018-20A, Class A2, (3 mo. LIBOR US + 1.65%), 2.79%, 04/20/31(a)(b)			600		577,679
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo. LIBOR US + 1.90%), 3.04%, 01/20/31(a)(b)			930		861,289
OZLM XXIV Ltd., Series 2019-24A, Class A2A, (3 mo. LIBOR US + 2.25%), 3.39%, 07/20/32(a)(b)			750		728,057
Palmer Square CLO Ltd.
Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 2.27%, 01/17/31(a)(b)			4,548		4,452,237
Series 2015-1A, Class A1R2, (3 mo. LIBOR US + 1.22%), 1.59%, 05/21/29(a)(b)			10,965		10,809,733
Series 2015-1A, Class A2R2, (3 mo. LIBOR US + 1.65%), 2.02%, 05/21/29(a)(b)			2,460		2,389,730
Series 2015-2A, Class A2R2, (3 mo. LIBOR US + 1.55%), 2.69%, 07/20/30(a)(b)			2,500		2,401,442
Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 3.89%, 07/20/30(a)(b)			1,000		887,581
Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 2.17%, 04/18/31(a)(b)			3,360		3,293,038
Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 2.28%, 07/16/31(a)(b)			4,820		4,699,086
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.65%), 2.83%, 07/16/31(a)(b)			1,500		1,445,870
Series 2018-3A, Class A2, (3 mo. LIBOR US + 1.35%), 1.74%, 08/15/26(a)(b)			3,323		3,212,944
Palmer Square Loan Funding Ltd.
Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.05%), 2.27%, 07/15/26(a)(b)			3,050		2,923,239
Series 2019-1A, Class D, (3 mo. LIBOR US + 5.80%), 6.94%, 04/20/27(a)(b)			1,700		1,438,773

9

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Palmer Square Loan Funding Ltd.
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 3.39%, 04/20/27(a)(b)	USD		500	$	488,782
Series 2019-3A, Class A2, (3 mo. LIBOR US + 1.60%), 1.98%, 08/20/27(a)(b)			2,110		2,076,621
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.48%, 08/20/27(a)(b)			1,940		1,881,144
Series 2019-4A, Class D, (3 mo. LIBOR US + 5.90%), 6.92%, 10/24/27(a)(b)			1,488		1,103,819
Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), 1.73%, 02/20/28(a)(b)			4,860		4,637,940
Series 2020-2A, Class A2, (3 mo. LIBOR US + 1.55%), 2.66%, 04/20/28(a)(b)			5,850		5,632,917
Series 2020-2A, Class B, (3 mo. LIBOR US + 2.25%), 3.36%, 04/20/28(a)(b)			1,000		973,000
Series 2020-2A, Class C, (3 mo. LIBOR US + 3.00%), 4.11%, 04/20/28(a)(b)(c)			1,000		924,580
Parallel Ltd.
Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.85%), 1.99%, 07/20/27(a)(b)			2,696		2,629,422
Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 2.89%, 07/20/27(a)(b)			1,150		1,085,616
Park Avenue Institutional Advisers CLO Ltd.
Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.22%), 1.64%, 11/14/29(a)(b)			6,970		6,857,310
Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.70%), 2.12%, 11/14/29(a)(b)			2,940		2,860,965
Series 2019-1A, Class A1, (3 mo. LIBOR US + 1.48%), 1.87%, 05/15/32(a)(b)			500		494,529
Series 2019-1A, Class A2A, (3 mo. LIBOR US + 2.00%), 2.39%, 05/15/32(a)(b)			500		489,489
Pretium Mortgage Credit Partners I LLC, Series 2020-NPL2, Class A1, 3.72%, 02/27/60(b)(e)			15,463		15,477,956
Progress Residential Trust
Series 2017-SFR1, Class A, 2.77%, 08/17/34(b)			2,639		2,679,668
Series 2018-SFR1, Class F, 4.78%, 03/17/35(b)			1,620		1,570,755
Series 2018-SFR2, Class F, 4.95%, 08/17/35(b)			1,030		1,034,063
Series 2019-SFR1, Class E, 4.47%, 08/17/35(b)			2,000		2,062,368
Series 2020-SFR2, Class B, 2.58%, 06/18/37(b)			550		566,640
Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, (3 mo. LIBOR US + 1.21%), 2.43%, 10/15/30(a)(b)			3,730		3,637,920
Race Point X CLO Ltd., Series 2016-10A, Class A1R, (3 mo. LIBOR US + 1.10%), 2.09%, 07/25/31(a)(b)			5,510		5,303,809
RAMP Series Trust, Series 2004-RS7, Class A2A, (1 mo. LIBOR US + 0.62%), 0.80%, 07/25/34(a)			1,844		1,514,362
Regatta Funding LP, Series 2013-2A, Class A1R2, (3 mo. LIBOR US + 1.25%), 2.47%, 01/15/29(a)(b)			1,300		1,288,965
Regatta VI Funding Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.08%), 2.22%, 07/20/28(a)(b)			10,290		10,124,306

Security		Par (000)		Value
Asset-Backed Securities (continued)
Regatta VII Funding Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 1.81%, 12/20/28(a)(b)	USD		250	$	240,423
Regional Management Issuance Trust, Series 2019-1, Class A, 3.05%, 11/15/28(b)			12,820		12,606,143
Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27(b)			14,870		14,794,871
Riserva CLO Ltd., Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.14%), 2.28%, 10/18/28(a)(b)			4,670		4,612,663
Rockford Tower CLO Ltd.
Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.03%), 2.25%, 04/15/29(a)(b)			10,140		9,924,133
Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.45%), 2.67%, 04/15/29(a)(b)			7,210		6,922,051
Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 3.07%, 04/15/29(a)(b)			2,490		2,374,782
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 3.87%, 04/15/29(a)(b)			750		668,786
Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 2.72%, 10/15/29(a)(b)			7,771		7,369,239
Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 3.12%, 10/15/29(a)(b)			2,750		2,624,308
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 4.07%, 10/15/29(a)(b)			4,766		4,297,188
Series 2017-2A, Class ER, (3 mo. LIBOR US + 6.25%), 7.47%, 10/15/29(a)(b)			1,750		1,477,706
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 2.33%, 10/20/30(a)(b)			14,614		14,337,221
Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 1.48%, 05/20/31(a)(b)			1,953		1,900,681
Series 2018-1A, Class B, (3 mo. LIBOR US + 1.72%), 2.10%, 05/20/31(a)(b)			1,500		1,451,731
Series 2018-1A, Class D, (3 mo. LIBOR US + 3.00%), 3.38%, 05/20/31(a)(b)			750		670,433
Series 2018-2A, Class A, (3 mo. LIBOR US + 1.16%), 2.30%, 10/20/31(a)(b)			1,000		974,435
Series 2018-2A, Class B, (3 mo. LIBOR US + 1.80%), 2.94%, 10/20/31(a)(b)			500		486,093
Series 2019-2A, Class B, (3 mo. LIBOR US + 1.93%), 2.31%, 08/20/32(a)(b)			1,250		1,222,489
Rockford Tower Europe CLO DAC, Series 2018-1X, Class B, (3 mo. EURIBOR + 1.85%), 1.85%, 12/20/31(a)	EUR		2,328		2,592,473
Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 2.17%, 04/20/31(a)(b)	USD		4,317		4,194,943
RR 2 Ltd.
Series 2017-2A, Class A2, (3 mo. LIBOR US + 1.60%), 2.82%, 10/15/29(a)(b)			750		725,503
Series 2017-2A, Class B, (3 mo. LIBOR US + 2.00%), 3.22%, 10/15/29(a)(b)			750		716,629
RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 2.31%, 01/15/30(a)(b)			2,020		1,971,544
RR 4 Ltd., Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.55%), 2.77%, 04/15/30(a)(b)			1,400		1,346,114
RR 6 Ltd., Series 2019-6A, Class A1A, (3 mo. LIBOR US + 1.25%), 2.47%, 04/15/30(a)(b)			9,840		9,683,847
SACO I Trust, Series 2006-9, Class A1, (1 mo. LIBOR US + 0.30%), 0.48%, 08/25/36(a)			282		277,317

10

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, (1 mo. LIBOR US + 0.35%), 0.53%, 04/25/37(a)(b)	USD		435	$	430,457
Seneca Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.12%), 2.26%, 07/17/26(a)(b)			52		51,942
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.16%), 0.34%, 07/25/36(a)			961		285,558
Silver Creek CLO Ltd.
Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 2.38%, 07/20/30(a)(b)			3,920		3,856,398
Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.30%), 3.44%, 07/20/30(a)(b)			500		484,641
SLM Private Credit Student Loan Trust
Series 2004-A, Class A3, (3 mo. LIBOR US + 0.40%), 0.71%, 06/15/33(a)			1,778		1,716,779
Series 2004-B, Class A3, (3 mo. LIBOR US + 0.33%), 0.64%, 03/15/24(a)			6,422		6,328,598
Series 2006-B, Class A5, (3 mo. LIBOR US + 0.27%), 0.58%, 12/15/39(a)			475		437,933
SLM Private Education Loan Trust, Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 4.94%, 10/15/41(a)(b)			8,210		8,763,127
SMB Private Education Loan Trust
Series 2015-B, Class B, 3.50%, 12/17/40(b)			2,480		2,508,741
Series 2020-PTA, Class A2A, 1.60%, 09/15/54(b)			20,680		20,393,135
Series 2020-PTA, Class B, 2.50%, 09/15/54(b)			6,740		6,723,610
Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 2.06%, 01/26/31(a)(b)			500		483,759
Sound Point CLO XI Ltd., Series 2016-1A, Class CR, (3 mo. LIBOR US + 2.25%), 3.39%, 07/20/28(a)(b)			440		430,314
Sound Point CLO XIV Ltd.
Series 2016-3A, Class AR, (3 mo. LIBOR US + 1.15%), 2.19%, 01/23/29(a)(b)			9,440		9,298,759
Series 2016-3A, Class C, (3 mo. LIBOR US + 2.65%), 3.69%, 01/23/29(a)(b)			1,000		987,750
Sound Point CLO XV Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.15%), 2.19%, 01/23/29(a)(b)			1,720		1,692,833
Sound Point CLO XVIII Ltd., Series 2017-4A, Class B, (3 mo. LIBOR US + 1.80%), 2.94%, 01/21/31(a)(b)			500		464,922
Sound Point CLO XXIII, Series 2019-2A, Class A1, (3 mo. LIBOR US + 1.40%), 2.62%, 04/15/32(a)(b)			19,610		19,142,341
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 0.98%, 01/25/35(a)			48		44,457
Starwood Waypoint Homes Trust, Series 2017-1, Class E, (1 mo. LIBOR US + 2.60%), 2.79%, 01/17/35(a)(b)			4,500		4,405,738
Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 2.47%, 10/15/30(a)(b)			4,140		4,016,554
Stewart Park CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.80%), 3.02%, 01/15/30(a)(b)			1,630		1,540,483

Security		Par (000)		Value
Asset-Backed Securities (continued)
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 01/25/31(b)	USD		253	$	248,183
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, (1 mo. LIBOR US + 0.30%), 0.48%, 01/25/35(a)			281		277,159
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 2.10%, 04/15/28(a)(b)			3,620		3,552,949
Symphony CLO XVIII Ltd.
Series 2016-18A, Class AR, (3 mo. LIBOR US + 1.15%), 2.19%, 01/23/28(a)(b)			4,140		4,071,096
Series 2016-18A, Class B, (3 mo. LIBOR US + 1.80%), 2.84%, 01/23/28(a)(b)			300		292,429
Symphony CLO XXI Ltd., Series 2019-21A, Class A, (3 mo. LIBOR US + 1.38%), 2.60%, 07/15/32(a)(b)			4,230		4,164,399
TCI-Flatiron CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.20%), 1.59%, 11/18/30(a)(b)			3,290		3,227,819
TCW CLO Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 4.50%), 5.26%, 04/20/28(a)(b)			2,150		2,148,935
Thacher Park CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.16%), 2.30%, 10/20/26(a)(b)			142		141,087
THL Credit Wind River CLO Ltd.
Series 2012-1A, Class BR2, (3 mo. LIBOR US + 1.45%), 2.67%, 01/15/26(a)(b)			920		905,080
Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.05%), 2.27%, 07/15/28(a)(b)			4,880		4,798,415
Series 2017-1A, Class C, (3 mo. LIBOR US + 2.30%), 3.44%, 04/18/29(a)(b)			1,400		1,312,320
TIAA CLO II Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.28%), 2.42%, 04/20/29(a)(b)			2,340		2,304,426
TIAA CLO III Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.15%), 2.33%, 01/16/31(a)(b)			1,467		1,427,406
TICP CLO I Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 0.80%), 1.94%, 07/20/27(a)(b)			905		896,620
TICP CLO IX Ltd., Series 2017-9A, Class A, (3 mo. LIBOR US + 1.14%), 2.28%, 01/20/31(a)(b)			3,080		3,008,261
TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 6.89%, 07/17/31(a)(b)			1,000		756,270
TICP CLO VI Ltd.
Series 2016-6A, Class AR, (3 mo. LIBOR US + 1.20%), 2.42%, 01/15/29(a)(b)			3,820		3,787,312
Series 2016-6A, Class BR, (3 mo. LIBOR US + 1.70%), 2.92%, 01/15/29(a)(b)			5,360		5,215,209
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 8.56%, 04/15/33(a)(b)			750		605,005
TICP CLO XI Ltd., Series 2018-11A, Class A, (3 mo. LIBOR US + 1.18%), 2.32%, 10/20/31(a)(b)			750		732,994
TICP CLO XII Ltd., Series 2018-12A, Class A, (3 mo. LIBOR US + 1.11%), 2.33%, 01/15/31(a)(b)			250		245,304

11

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities (continued)
Towd Point Mortgage Trust, Series 2019-SJ2, Class M1, 4.50%, 11/25/58(b)(d)	USD		8,260	$	8,331,606
TRESTLES CLO III Ltd.
Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.33%), 2.48%, 01/20/33(a)(b)			5,840		5,717,532
Series 2020-3A, Class B1, (3 mo. LIBOR US + 1.85%), 3.00%, 01/20/33(a)(b)			2,590		2,512,490
TRESTLES CLO Ltd., Series 2017-1A, Class A1A, (3 mo. LIBOR US + 1.29%), 2.28%, 07/25/29(a)(b)			250		246,388
Tricon American Homes Trust
Series 2017-SFR1, Class F, 5.15%, 09/17/34(b)			9,140		9,287,275
Series 2018-SFR1, Class E, 4.56%, 05/17/37(b)			890		909,087
Series 2018-SFR1, Class F, 4.96%, 05/17/37(b)			610		616,318
Venture CLO Ltd.
Series 2018-32A, Class A2A, (3 mo. LIBOR US + 1.07%), 2.21%, 07/18/31(a)(b)			1,480		1,428,493
Series 2018-35A, Class AS, (3 mo. LIBOR US + 1.15%), 2.25%, 10/22/31(a)(b)			2,810		2,794,720
Venture XVIII CLO Ltd., Series 2014-18A, Class AR, (3 mo. LIBOR US + 1.22%), 2.44%, 10/15/29(a)(b)			9,820		9,474,410
Venture XXIV CLO Ltd., Series 2016-24A, Class AR, (3 mo. LIBOR US + 1.18%), 2.32%, 10/20/28(a)(b)			3,300		3,241,729
Vericrest Opportunity Loan Trust, Series 2019- NPL2, Class A1, 3.97%, 02/25/49(b)(e)			1,115		1,120,368
Vibrant CLO VII Ltd., Series 2017-7A, Class A1, (3 mo. LIBOR US + 1.27%), 2.41%, 09/15/30(a)(b)			1,750		1,714,823
Voya CLO Ltd.
Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 3.64%, 07/25/26(a)(b)			1,680		1,461,578
Series 2014-4A, Class A1RA, (3 mo. LIBOR US + 1.10%), 2.41%, 07/14/31(a)(b)			250		244,446
Series 2015-2A, Class BR, (3 mo. LIBOR US + 1.50%), 2.54%, 07/23/27(a)(b)			780		751,944
Series 2017-3A, Class A1A, (3 mo. LIBOR US + 1.23%), 2.37%, 07/20/30(a)(b)			2,201		2,166,424
Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 2.35%, 10/15/30(a)(b)			6,640		6,506,505
Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.06%), 2.28%, 04/15/31(a)(b)			10,079		9,815,055
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, (1 mo. LIBOR US + 0.13%), 0.31%, 07/25/37(a)(b)			1,536		1,364,564
Washington Mutual Asset-Backed Certificates Trust
Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.18%), 0.36%, 09/25/36(a)			5,080		2,195,500
Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 0.34%, 10/25/36(a)			1,943		1,514,456
Wellfleet CLO Ltd.
Series 2017-1A, Class A1R, (3 mo. LIBOR US + 1.15%), 2.26%, 04/20/29(a)(b)			3,750		3,673,514
Series 2017-3A, Class B, (3 mo. LIBOR US + 1.95%), 3.09%, 01/17/31(a)(b)			750		699,031

Security			Par (000)		Value
Asset-Backed Securities (continued)
Westcott Park CLO Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.21%), 2.35%, 07/20/28(a)(b)		USD		5,610	$	5,551,995
Whitebox CLO I Ltd., Series 2019-1A, Class C, (3 mo. LIBOR US + 4.35%), 5.37%, 07/24/32(a)(b)				1,630		1,608,728
Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 0.59%, 06/25/37(a)(b)				2,469		989,500
York CLO 1 Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 3.01%), 4.11%, 10/22/29(a)(b)				250		238,589
York CLO-2 Ltd., Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.15%), 2.25%, 01/22/31(a)(b)				250		244,023
York CLO-3 Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.75%), 2.89%, 10/20/29(a)(b)				3,380		3,289,786
York CLO-4 Ltd.
Series 2016-2A, Class A1R, (3 mo. LIBOR US + 1.09%), 2.23%, 04/20/32(a)(b)(c)				8,250		7,961,250
Series 2016-2A, Class BR, (3 mo. LIBOR US + 1.55%), 2.69%, 04/20/32(a)(b)(c)				3,000		2,820,000
Series 2016-2A, Class CR, (3 mo. LIBOR US + 2.15%), 3.29%, 04/20/32(a)(b)				3,000		2,849,494
York CLO-7 Ltd., Series 2019-2A, Class C, (3 mo. LIBOR US + 2.75%), 4.54%, 01/22/33(a)(b)				500		485,153
Total Asset-Backed Securities — 10.0% (Cost: $1,923,870,087)						1,872,810,983
	Shares
Common Stocks
Energy Equipment & Services — 0.0%
Bristow Group, Inc.(f)				61,956		863,047
Pioneer Energy Services Corp.(c)				7,278		282,627
Vantage Drilling Co.(f)				311,000		1,936
						1,147,610
Hotels, Restaurants & Leisure — 0.1%
Caesars Entertainment Corp.(f)				1,186,079		14,387,138
Target Hospitality Corp.(f)				112,843		190,705
						14,577,843
Household Durables — 0.1%
Beazer Homes U.S.A., Inc.(f)				52,287		526,530
Century Communities, Inc.(f)				56,406		1,729,408
Taylor Morrison Home Corp.(f)				328,641		6,339,485
						8,595,423
Independent Power and Renewable Electricity Producers — 0.0%
Vistra Energy Corp.				139,988		2,606,576
Metals & Mining — 0.0%
Northern Graphite Corp.(f)				99,612		13,207
Real Estate Management & Development — 0.0%
Forestar Group, Inc.(f)				50,609		763,184
Total Common Stocks — 0.2% (Cost: $26,926,628)						27,703,843

12

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Corporate Bonds
Aerospace & Defense — 1.8%
BAE Systems Holdings, Inc.
3.80%, 10/07/24(b)	USD		2,488	$	2,732,221
3.85%, 12/15/25(b)			12,498		13,838,904
4.75%, 10/07/44(b)			259		316,716
BAE Systems PLC, 3.40%, 04/15/30(b)			2,782		3,030,064
Boeing Co.
4.51%, 05/01/23			9,500		10,036,072
4.88%, 05/01/25			2,979		3,246,525
3.83%, 03/01/59			605		512,775
5.93%, 05/01/60			5,008		5,938,945
Embraer Netherlands Finance BV, 5.40%, 02/01/27			1,465		1,296,525
Embraer Overseas Ltd., 5.70%, 09/16/23			3,291		3,135,706
General Dynamics Corp.
3.50%, 05/15/25			2,350		2,627,825
3.75%, 05/15/28			4,050		4,722,936
3.63%, 04/01/30			5,961		6,973,897
4.25%, 04/01/50			1,506		1,949,037
Howmet Aerospace, Inc., 6.88%, 05/01/25			4,100		4,447,930
Huntington Ingalls Industries, Inc.
3.84%, 05/01/25(b)			5,245		5,695,150
4.20%, 05/01/30(b)			9,516		10,603,539
L3 Technologies, Inc., 4.95%, 02/15/21			250		253,040
L3Harris Technologies, Inc.
3.85%, 06/15/23			2,291		2,492,770
3.85%, 12/15/26			10,802		12,363,885
4.40%, 06/15/28			13,382		15,829,498
4.40%, 06/15/28			3,547		4,195,728
2.90%, 12/15/29			864		930,413
Lockheed Martin Corp.
3.55%, 01/15/26			6,360		7,311,734
1.85%, 06/15/30			1,111		1,141,992
3.60%, 03/01/35			14,240		17,086,600
4.07%, 12/15/42			2,369		3,004,832
3.80%, 03/01/45			2,429		2,949,468
4.70%, 05/15/46			1,489		2,031,677
2.80%, 06/15/50			9,104		9,580,495
Northrop Grumman Corp.
2.93%, 01/15/25			10,547		11,407,639
3.25%, 01/15/28			16,486		18,436,826
4.03%, 10/15/47			3,320		4,024,407
5.25%, 05/01/50			3,342		4,793,967
Raytheon Technologies Corp.
3.65%, 08/16/23			694		751,586
3.20%, 03/15/24(b)			8,458		9,113,499
3.15%, 12/15/24(b)			4,040		4,363,891
3.95%, 08/16/25			7,411		8,432,529
7.20%, 08/15/27(b)			2,353		3,161,311
7.00%, 11/01/28(b)			7,205		9,910,886
4.13%, 11/16/28			22,595		26,614,282
7.50%, 09/15/29			475		679,296
2.25%, 07/01/30			13,896		14,472,696
4.20%, 12/15/44(b)			1,922		2,196,845
Textron, Inc.
3.88%, 03/01/25			3,610		3,841,197
3.65%, 03/15/27			2,985		3,092,003
3.90%, 09/17/29			8,086		8,566,434
TransDigm, Inc.
8.00%, 12/15/25(b)			9,810		10,310,212
6.25%, 03/15/26(b)			23,463		23,404,812

Security		Par (000)		Value
Aerospace & Defense (continued)
United Technologies Corp.
5.40%, 05/01/35	USD		2,386	$	3,229,222
5.70%, 04/15/40			665		919,453
					331,999,892
Air Freight & Logistics — 0.4%
FedEx Corp.
3.80%, 05/15/25			26,545		29,507,721
3.10%, 08/05/29			283		302,075
3.88%, 08/01/42			5,393		5,403,145
5.10%, 01/15/44			2		2,333
4.10%, 02/01/45			3,408		3,463,070
4.55%, 04/01/46			1,320		1,423,134
United Parcel Service, Inc.
3.40%, 03/15/29			7,874		9,105,720
2.50%, 09/01/29			4,016		4,373,416
4.45%, 04/01/30			9,021		11,263,584
5.20%, 04/01/40			5,857		8,086,473
XPO Logistics, Inc.
6.13%, 09/01/23(b)			1,462		1,480,275
6.75%, 08/15/24(b)			3,480		3,645,648
					78,056,594
Airlines — 0.5%
Air Canada Pass-Through Trust
Series 2013-1, Class A, 4.13%, 05/15/25(b)			3,764		3,465,395
Series 2015-2, Class B, 5.00%, 12/15/23(b)			1,241		1,037,679
Series 2017-1, Class AA, 3.30%, 01/15/30(b)			2,030		1,840,647
Series 2017-1, Class B, 3.70%, 01/15/26(b)			21		18,504
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A, 4.80%, 08/15/27(b)			8,910		9,021,375
American Airlines Pass-Through Trust
3.93%, 12/15/25(c)			1,705		1,485,654
3.53%, 12/15/27(c)			4,717		4,056,254
Series 2015-2, Class AA, 3.60%, 09/22/27			1,065		984,537
Series 2015-2, Class B, 4.40%, 09/22/23			5,833		4,148,735
Series 2016-1, Class AA, 3.58%, 01/15/28			4,245		4,106,919
Series 2016-1, Class B, 5.25%, 01/15/24			4,719		3,121,793
Series 2016-2, Class AA, 3.20%, 06/15/28			1,892		1,781,951
Series 2016-3, Class AA, 3.00%, 10/15/28			4,252		3,899,559
Series 2016-3, Class B, 3.75%, 10/15/25			74		52,364
Series 2017-1, Class AA, 3.65%, 02/15/29			1,490		1,426,946
Series 2017-1, Class B, 4.95%, 02/15/25			1,385		1,046,875
Series 2017-2, Class B, 3.70%, 10/15/25			1,508		1,047,319
Series 2019-1, Class AA, 3.15%, 02/15/32			5,199		4,783,547
Series 2019-1, Class B, 3.85%, 02/15/28			5,544		3,881,244
American Airlines, Inc.
4.13%, 06/15/22(c)			15,927		13,717,925
4.87%, 10/22/23(c)			1,080		892,590
Avianca Holdings SA, 9.00%, 05/10/23(b)(f)(g)			983		197,091
Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA, 3.20%, 04/25/24			9,754		9,765,082
Gol Finance, Inc., 7.00%, 01/31/25(b)			3,175		1,785,937
Sun Country Airlines
Series 2019-1B, 4.70%, 12/15/25(c)			2,342		1,943,992
Series 2019-1C, 7.00%, 12/15/25(c)			2,344		1,904,429
Transportes Aereos Portugueses SA, 5.63%, 12/02/24(b)	EUR		1,300		971,167
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(b)	USD		1,396		1,036,546
United Airlines Pass-Through Trust
Series 2014-1, Class B, 4.75%, 04/11/22			364		323,331
Series 2014-2, Class B, 4.63%, 09/03/22			452		398,369
Series 2015-1, Class AA, 3.45%, 12/01/27			1,472		1,435,076

13

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Airlines (continued)
United Airlines Pass-Through Trust
Series 2016-1, Class AA, 3.10%, 07/07/28	USD		595	$	571,015
Series 2016-1, Class B, 3.65%, 01/07/26			456		336,319
Series 2016-2, Class AA, 2.88%, 10/07/28			1,811		1,691,382
Series 2016-2, Class B, 3.65%, 10/07/25			240		175,485
Series 2018-1, Class AA, 3.50%, 03/01/30			1,250		1,169,465
Series 2018-1, Class B, 4.60%, 03/01/26			2,004		1,501,128
Series 2019-2, Class AA, 2.70%, 05/01/32			3,365		3,038,547
Series 2019-2, Class B, 3.50%, 05/01/28			4,946		3,719,025
US Airways Pass-Through Trust
Series 2012-2, Class B, 6.75%, 06/03/21			136		110,253
Series 2013-1, Class B, 5.38%, 11/15/21			532		432,420
					98,323,871
Auto Components — 0.0%
American Axle & Manufacturing, Inc., 6.25%, 04/01/25			1,860		1,827,450
Aptiv PLC, 5.40%, 03/15/49			325		339,703
Magna International, Inc., 2.45%, 06/15/30			2,085		2,132,283
					4,299,436
Automobiles — 0.2%
BMW U.S. Capital LLC
3.90%, 04/09/25(b)			6,825		7,573,760
2.80%, 04/11/26(b)			648		686,158
Daimler Finance North America LLC
2.30%, 02/12/21(b)			8,755		8,815,643
3.35%, 05/04/21(b)			13,164		13,407,209
3.75%, 11/05/21(b)			150		155,067
General Motors Co.
6.60%, 04/01/36			893		965,343
6.25%, 10/02/43			3,456		3,672,597
6.75%, 04/01/46			3,243		3,532,452
5.40%, 04/01/48			1,896		1,859,293
					40,667,522
Banks — 6.0%
Banco de Credito del Peru, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.00%), 3.13%, 07/01/30(b)(h)			3,279		3,226,536
Banco Espirito Santo SA
2.63%, 05/08/17(f)(g)	EUR		400		71,904
4.75%, 01/15/18(f)(g)			2,200		395,470
4.00%, 01/21/19(f)(g)			6,300		1,132,482
Banco Internacional del Peru SAA Interbank, 3.25%, 10/04/26(b)	USD		2,224		2,245,545
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 04/17/25(b)			3,285		3,595,104
Banco Santander SA
2.71%, 06/27/24			13,400		14,084,280
3.31%, 06/27/29			3,600		3,885,660
Banco Votorantim SA, 4.00%, 09/24/22(b)			2,516		2,533,297
Bancolombia SA, 3.00%, 01/29/25			3,704		3,611,400
Bangkok Bank PCL, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.90%), 3.73%, 09/25/34(h)			2,275		2,184,000
Bank of America Corp.
(3 mo. LIBOR US + 0.66%), 2.37%, 07/21/21(h)			14,085		14,098,011
(3 mo. LIBOR US + 0.63%), 2.33%, 10/01/21(h)			37,283		37,434,703
(3 mo. LIBOR US + 0.37%), 2.74%, 01/23/22(h)			83		83,921

Security		Par (000)		Value
Banks (continued)
Bank of America Corp.
(3 mo. LIBOR US + 0.63%), 3.50%, 05/17/22(h)	USD		10,605	$	10,863,020
(3 mo. LIBOR US + 1.16%), 3.12%, 01/20/23(h)			5,470		5,665,629
(3 mo. LIBOR US + 1.02%), 2.88%, 04/24/23(h)			428		443,657
(3 mo. LIBOR US + 0.93%), 2.82%, 07/21/23(h)			2,979		3,094,253
4.20%, 08/26/24			3,784		4,200,991
4.00%, 01/22/25			4,977		5,496,375
3.95%, 04/21/25			4,095		4,534,439
3.88%, 08/01/25			964		1,091,472
(3 mo. LIBOR US + 0.87%), 2.46%, 10/22/25(h)			13,300		13,972,421
4.45%, 03/03/26			11,549		13,295,723
(3 mo. LIBOR US + 1.06%), 3.56%, 04/23/27(h)			3,876		4,325,930
(3 mo. LIBOR US + 1.58%), 3.82%, 01/20/28(h)			24,629		27,954,141
(3 mo. LIBOR US + 1.51%), 3.71%, 04/24/28(h)			13,449		15,202,285
(3 mo. LIBOR US + 1.37%), 3.59%, 07/21/28(h)			1,191		1,334,910
(3 mo. LIBOR US + 1.04%), 3.42%, 12/20/28(h)			33,510		37,325,182
(3 mo. LIBOR US + 1.07%), 3.97%, 03/05/29(h)			14,139		16,198,695
(3 mo. LIBOR US + 1.31%), 4.27%, 07/23/29(h)			3,621		4,270,846
(3 mo. LIBOR US + 1.18%), 3.19%, 07/23/30(h)			460		507,797
(3 mo. LIBOR US + 1.19%), 2.88%, 10/22/30(h)			2,515		2,720,876
(Secured Overnight Financing Rate + 1.93%), 2.68%, 06/19/41(h)			23,564		24,200,077
Bank of East Asia Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.75%), 4.00%, 05/29/30(h)			2,160		2,208,881
Bank of Montreal
3.30%, 02/05/24			5,536		6,012,735
2.50%, 06/28/24			4,500		4,772,664
Barclays PLC
4.38%, 01/12/26			4,159		4,683,117
(3 mo. LIBOR US + 1.90%), 4.97%, 05/16/29(h)			6,799		7,965,989
BBVA Bancomer SA
6.75%, 09/30/22(b)			2,888		3,079,330
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.31%), 5.88%, 09/13/34(b)(h)			3,870		3,774,459
BNP Paribas SA
3.50%, 03/01/23(b)			8,616		9,119,800
3.38%, 01/09/25(b)			2,338		2,527,002
4.38%, 09/28/25(b)			2,732		3,013,478
(3 mo. LIBOR US + 1.11%), 2.82%, 11/19/25(b)(h)			11,159		11,686,125
(Secured Overnight Financing Rate + 1.51%), 3.05%, 01/13/31(b)(h)			7,442		7,838,607
BPCE SA
3.00%, 05/22/22(b)			2,017		2,085,527
2.70%, 10/01/29(b)			9,456		10,093,302

14

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Banks (continued)
Citigroup, Inc.
(3 mo. LIBOR US + 0.95%), 2.88%, 07/24/23(h)	USD		4,900	$	5,099,599
4.40%, 06/10/25			5,977		6,693,075
3.20%, 10/21/26			524		574,370
4.45%, 09/29/27			2,124		2,424,901
(3 mo. LIBOR US + 1.56%), 3.89%, 01/10/28(h)			8,833		9,956,578
(3 mo. LIBOR US + 1.39%), 3.67%, 07/24/28(h)			34,845		38,849,885
(3 mo. LIBOR US + 1.19%), 4.08%, 04/23/29(h)			3,412		3,892,661
(Secured Overnight Financing Rate + 1.42%), 2.98%, 11/05/30(h)			4,852		5,163,545
Citizens Financial Group, Inc., 3.25%, 04/30/30			2,910		3,144,973
Credicorp Ltd., 2.75%, 06/17/25(b)			590		587,138
Danske Bank A/S 5.00%, 01/12/22(b)			13,526		14,210,550
(3 mo. LIBOR US + 1.25%), 3.00%, 09/20/22(b)(h)			927		941,413
5.38%, 01/12/24(b)			14,017		15,598,433
Fifth Third Bancorp, 3.65%, 01/25/24			2,460		2,684,612
Grupo Aval Ltd., 4.75%, 09/26/22			1,073		1,080,329
HSBC Holdings PLC
(3 mo. LIBOR US + 1.35%), 4.29%, 09/12/26(h)			4,934		5,488,476
(3 mo. LIBOR US + 1.55%), 4.04%, 03/13/28(h)			9,444		10,437,882
(3 mo. LIBOR US + 1.53%), 4.58%, 06/19/29(h)			1,491		1,722,584
(3 mo. LIBOR US + 1.61%), 3.97%, 05/22/30(h)			12,500		13,876,174
Huntington National Bank, 3.25%, 05/14/21			3,780		3,864,119
ING Groep NV
4.10%, 10/02/23			23,473		25,719,319
4.63%, 01/06/26(b)			5,226		6,122,965
(1 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.10%), 1.40%, 07/01/26(b)(h)			2,400		2,405,601
Intesa Sanpaolo SpA, 6.50%, 02/24/21(b)			1,790		1,840,390
Itau Unibanco Holding SA
2.90%, 01/24/23(b)			4,491		4,429,249
3.25%, 01/24/25(b)			2,456		2,419,820
JPMorgan Chase & Co.
2.55%, 03/01/21			7,857		7,955,110
4.35%, 08/15/21			184		192,021
2.97%, 01/15/23			3,167		3,279,326
(3 mo. LIBOR US + 0.70%), 3.21%, 04/01/23(h)			23,172		24,125,676
(3 mo. LIBOR US + 0.73%), 3.56%, 04/23/24(h)			2,451		2,623,824
(3 mo. LIBOR US + 0.89%), 3.80%, 07/23/24(h)			13,298		14,425,395
(3 mo. LIBOR US + 1.00%), 4.02%, 12/05/24(h)			39,194		43,187,604
(3 mo. LIBOR US + 1.16%), 3.22%, 03/01/25(h)			30,542		32,886,835
3.90%, 07/15/25			8,990		10,168,566
(Secured Overnight Financing Rate + 1.16%), 2.30%, 10/15/25(h)			8,819		9,237,718
(Secured Overnight Financing Rate + 1.59%), 2.01%, 03/13/26(h)			4,655		4,817,673

Security		Par (000)		Value
Banks (continued)
JPMorgan Chase & Co.
3.20%, 06/15/26	USD		200	$	221,991
(3 mo. LIBOR US + 1.25%), 3.96%, 01/29/27(h)			24		27,337
(3 mo. LIBOR US + 1.34%), 3.78%, 02/01/28(h)			27,927		31,583,544
(3 mo. LIBOR US + 1.38%), 3.54%, 05/01/28(h)			32,156		35,888,977
(Secured Overnight Financing Rate + 1.89%), 2.18%, 06/01/28(h)			9,395		9,724,902
(3 mo. LIBOR US + 0.95%), 3.51%, 01/23/29(h)			32		35,745
(3 mo. LIBOR US + 1.26%), 4.20%, 07/23/29(h)			3,535		4,144,663
(3 mo. LIBOR US + 1.16%), 3.70%, 05/06/30(h)			2,250		2,584,665
(Secured Overnight Financing Rate + 3.79%), 4.49%, 03/24/31(h)			9,675		11,794,526
(3 mo. LIBOR US + 1.36%), 3.88%, 07/24/38(h)			1,912		2,245,359
(3 mo. LIBOR US + 1.38%), 3.96%, 11/15/48(h)			1,509		1,845,475
(Secured Overnight Financing Rate + 2.44%), 3.11%, 04/22/51(h)			23,824		25,652,122
Kasikornbank PCL, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.70%), 3.34%, 10/02/31(h)			1,940		1,860,581
KeyCorp
4.15%, 10/29/25			803		920,675
4.10%, 04/30/28			718		833,250
2.55%, 10/01/29			3,481		3,603,253
Lloyds Banking Group PLC
4.05%, 08/16/23			901		978,937
3.75%, 01/11/27			6,060		6,708,329
4.38%, 03/22/28			1,586		1,840,293
Mitsubishi UFJ Financial Group, Inc.
3.54%, 07/26/21			1,810		1,867,588
3.00%, 02/22/22			3,776		3,912,444
2.62%, 07/18/22			6,043		6,276,736
2.67%, 07/25/22			540		561,298
3.46%, 03/02/23			28,006		29,938,542
3.76%, 07/26/23			9,728		10,553,531
3.20%, 07/18/29			1,119		1,223,672
Mizuho Financial Group, Inc.
2.63%, 04/12/21(b)			7,490		7,613,258
2.27%, 09/13/21			5,639		5,751,832
2.95%, 02/28/22			43,598		45,213,480
(3 mo. LIBOR US + 0.98%), 2.84%, 07/16/25(h)			797		835,896
(3 mo. LIBOR US + 1.10%), 2.56%, 09/13/25(h)			18,319		19,085,921
3.66%, 02/28/27			352		388,407
Royal Bank of Scotland Group PLC, (3 mo. LIBOR US + 1.48%), 3.50%, 05/15/23(h)			696		722,590
Santander UK Group Holdings PLC, 2.88%, 08/05/21			12,877		13,158,389
Shinhan Financial Group Co. Ltd., (5 yr.
U.S. Treasury Yield Curve Rate T Note
Constant Maturity + 1.50%), 3.34%, 02/05/30(h)			1,025		1,072,086
Shizuoka Bank Ltd., (3 mo. LIBOR US - 0.50%), 0.49%, 01/25/23(a)(i)			200		185,298

15

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Banks (continued)
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(b)(h)	USD		2,885	$	3,039,388
Sumitomo Mitsui Financial Group, Inc.
2.70%, 07/16/24			16,297		17,264,554
2.35%, 01/15/25			11,070		11,569,379
3.04%, 07/16/29			555		597,090
Washington Mutual Escrow Bonds
0.00%, (c)(f)(g)(j)			13,308		1
0.00%, (c)(f)(g)(j)			11,911		1
0.00%, (c)(f)(g)(j)			2,570		—
0.00%, (c)(f)(g)(j)			3,115		—
Wells Fargo & Co.
3.75%, 01/24/24			6,345		6,932,853
3.55%, 09/29/25			5,912		6,602,135
(3 mo. LIBOR US + 0.83%), 2.41%, 10/30/25(h)			4,567		4,754,239
3.00%, 04/22/26			7,336		8,010,928
3.00%, 10/23/26			4,873		5,310,439
(3 mo. LIBOR US + 1.17%), 3.20%, 06/17/27(h)			1,889		2,048,236
(3 mo. LIBOR US + 1.31%), 3.58%, 05/22/28(h)			6,434		7,140,933
(Secured Overnight Financing Rate + 2.10%), 2.39%, 06/02/28(h)			2,099		2,168,717
(3 mo. LIBOR US + 1.17%), 2.88%, 10/30/30(h)			9,615		10,286,061
(Secured Overnight Financing Rate + 2.53%), 3.07%, 04/30/41(h)			18,795		19,604,800
Wells Fargo Bank NA, (3 mo. LIBOR US + 0.49%), 3.33%, 07/23/21(h)			13,250		13,271,574
					1,115,727,357
Beverages — 0.7%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%, 02/01/36			28,831		33,965,052
4.90%, 02/01/46			1,214		1,485,554
Anheuser-Busch InBev Worldwide, Inc.
3.50%, 01/12/24			5,740		6,254,247
4.00%, 04/13/28			1,320		1,523,420
4.75%, 01/23/29			35,751		43,197,716
3.50%, 06/01/30			9,924		11,158,865
4.90%, 01/23/31			1,619		2,028,663
4.38%, 04/15/38			911		1,034,491
8.20%, 01/15/39			560		883,096
5.45%, 01/23/39			1,023		1,292,547
8.00%, 11/15/39			3,000		4,723,938
4.95%, 01/15/42			500		597,215
Embotelladora Andina SA, 3.95%, 01/21/50(b)			2,139		2,150,765
Fomento Economico Mexicano SAB de CV, 3.50%, 01/16/50			2,730		2,811,791
Keurig Dr Pepper, Inc.
4.06%, 05/25/23			5,240		5,710,611
3.40%, 11/15/25			8,579		9,555,526
Molson Coors Brewing Co.
5.00%, 05/01/42			1,379		1,460,884
4.20%, 07/15/46			1,500		1,459,693
PepsiCo, Inc.
4.45%, 04/14/46			1,287		1,720,814
3.45%, 10/06/46			1,562		1,803,983
4.00%, 05/02/47			1,981		2,492,727
				137,311,598

Security		Par (000)		Value
Biotechnology — 0.7%
AbbVie, Inc.
2.30%, 11/21/22(b)	USD		6,787	$	7,020,331
2.60%, 11/21/24(b)			29,311		31,116,900
3.80%, 03/15/25(b)			12,176		13,509,461
3.20%, 05/14/26			3,583		3,939,292
2.95%, 11/21/26(b)			2,317		2,520,081
4.55%, 03/15/35(b)			5,398		6,546,181
4.50%, 05/14/35			9,666		11,643,788
4.70%, 05/14/45			4,763		5,987,119
4.45%, 05/14/46			114		139,106
4.88%, 11/14/48			7,823		10,273,493
Amgen, Inc.
2.45%, 02/21/30			4,757		5,029,757
4.40%, 05/01/45			12,437		15,473,701
4.66%, 06/15/51			461		614,585
Biogen, Inc., 2.25%, 05/01/30			5,319		5,362,411
Elanco Animal Health, Inc.
4.66%, 08/27/21			212		216,240
5.02%, 08/28/23			3,230		3,391,500
5.65%, 08/28/28			437		484,546
Gilead Sciences, Inc.
4.60%, 09/01/35			1,584		2,078,553
4.80%, 04/01/44			5,022		6,791,510
4.50%, 02/01/45			4,002		5,203,918
					137,342,473
Building Products — 0.1%
Johnson Controls International plc
4.63%, 07/02/44			1,483		1,676,389
5.13%, 09/14/45			7		8,433
Masonite International Corp.
5.75%, 09/15/26(b)			120		123,600
5.38%, 02/01/28(b)			1,697		1,735,182
Owens Corning
3.95%, 08/15/29			1,900		2,069,914
4.30%, 07/15/47			1,312		1,332,978
Standard Industries, Inc.
6.00%, 10/15/25(b)			657		676,230
5.00%, 02/15/27(b)			1,674		1,694,925
4.75%, 01/15/28(b)			597		605,209
					9,922,860
Capital Markets — 1.9%
Bank of New York Mellon Corp., (3 mo. LIBOR US + 1.07%), 3.44%, 02/07/28(h)			6,475		7,345,408
CCTI 2017 Ltd., 3.63%, 08/08/22			1,675		1,688,086
Charles Schwab Corp., 3.20%, 03/02/27			3,391		3,785,520
Cindai Capital Ltd., 0.00%, 02/08/23(i)(k)			2,461		2,428,689
Credit Suisse AG
1.00%, 05/05/23			1,761		1,770,572
2.95%, 04/09/25			2,456		2,666,641
Credit Suisse Group AG, (3 mo. LIBOR US + 1.20%), 3.00%, 12/14/23(b)(h)			8,280		8,618,116
Credit Suisse Group Funding Guernsey Ltd.
3.80%, 09/15/22			9,654		10,257,057
3.80%, 06/09/23			3,341		3,597,263
Deutsche Bank AG
2.70%, 07/13/20			12,042		12,044,529
2.95%, 08/20/20			925		925,767
4.25%, 02/04/21			2,930		2,963,064
E*TRADE Financial Corp., 3.80%, 08/24/27			785		870,645
Goldman Sachs Group, Inc.
2.35%, 11/15/21			4,591		4,620,216
5.75%, 01/24/22			2,338		2,522,328

16

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Capital Markets (continued)
Goldman Sachs Group, Inc.
(3 mo. LIBOR US + 0.99%), 2.91%, 07/24/23(h)	USD		193	$	200,509
3.50%, 01/23/25			8,127		8,847,509
3.50%, 04/01/25			26,758		29,340,350
(3 mo. LIBOR US + 1.20%), 3.27%, 09/29/25(h)			3,652		3,935,684
3.75%, 02/25/26			3,474		3,874,550
(3 mo. LIBOR US + 1.17%), 1.56%, 05/15/26(a)			10,315		10,239,659
3.85%, 01/26/27			4,846		5,466,360
(3 mo. LIBOR US + 1.51%), 3.69%, 06/05/28(h)			22,253		24,928,061
3.80%, 03/15/30			2,532		2,874,202
Intercontinental Exchange, Inc.
3.10%, 09/15/27			1,680		1,869,832
3.75%, 09/21/28			5,126		5,988,875
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17(c)(f)(g)			7,360		1
Moody’s Corp.
2.75%, 12/15/21			470		483,670
4.88%, 02/15/24			1,978		2,235,214
3.75%, 03/24/25			906		1,026,783
3.25%, 01/15/28			4,450		4,938,446
Morgan Stanley
3.88%, 04/29/24			1,010		1,116,834
3.70%, 10/23/24			9,381		10,402,470
(Secured Overnight Financing Rate + 1.15%), 2.72%, 07/22/25(h)			5		5,305
4.00%, 07/23/25			18,642		21,137,161
(Secured Overnight Financing Rate + 1.99%), 2.19%, 04/28/26(h)			31,086		32,367,028
3.13%, 07/27/26			2,858		3,150,374
3.63%, 01/20/27			30,604		34,553,174
(3 mo. LIBOR US + 1.34%), 3.59%, 07/22/28(h)			1,846		2,075,788
(3 mo. LIBOR US + 1.63%), 4.43%, 01/23/30(h)			11,021		13,130,723
(Secured Overnight Financing Rate + 1.14%), 2.70%, 01/22/31(h)			3,514		3,722,331
(Secured Overnight Financing Rate + 3.12%), 3.62%, 04/01/31(h)			14,830		16,941,405
Nomura Holdings, Inc., 3.10%, 01/16/30			3,704		3,858,061
Northern Trust Corp., 3.15%, 05/03/29			3,064		3,488,226
Poseidon Finance 1 Ltd., 0.00%, 02/01/25(i)(k)			2,640		2,557,369
State Street Corp.
2.65%, 05/19/26			2,996		3,287,096
(Secured Overnight Financing Rate + 2.65%), 3.15%, 03/30/31(b)(h)			224		251,069
UBS Group AG
(3 mo. LIBOR US + 0.95%), 2.86%, 08/15/23(b)(h)			18,674		19,341,776
4.13%, 09/24/25(b)			11,625		13,176,410
4.13%, 04/15/26(b)			4,551		5,179,052
4.25%, 03/23/28(b)			1,726		1,958,737
					364,053,995
Chemicals — 0.3%
Cydsa SAB de CV, 6.25%, 10/04/27(b)			2,170		2,123,887
Dow Chemical Co.
9.00%, 04/01/21			3,960		4,137,574
4.55%, 11/30/25			1,962		2,236,186
3.63%, 05/15/26			6,474		7,128,935

Security		Par (000)		Value
Chemicals (continued)
Dow Chemical Co. 1.88%, 03/15/40	EUR		9,429	$	9,764,854
DuPont de Nemours, Inc., 4.49%, 11/15/25	USD		17,273		19,867,474
LG Chem Ltd., 0.00%, 04/16/21(i)(k)	EUR		300		345,291
LYB International Finance BV, 4.88%, 03/15/44	USD		3,606		4,254,986
Mitsubishi Chemical Holdings Corp.
0.00%, 03/30/22(i)(k)	JPY		150,000		1,356,496
0.00%, 03/29/24(i)(k)			40,000		362,121
Rock International Investment, Inc., 6.63%, 03/27/20(f)(g)	USD		500		180,434
RPM International, Inc., 4.25%, 01/15/48			155		152,539
Sasol Financing USA LLC, 5.88%, 03/27/24			1,461		1,311,247
Sherwin-Williams Co.
4.20%, 01/15/22			2,800		2,911,944
2.95%, 08/15/29			5,806		6,241,678
4.00%, 12/15/42			971		1,038,910
					63,414,556
Commercial Services & Supplies — 0.2%
Beijing Environment Bvi Co. Ltd., 5.30%, 10/18/21			680		686,494
Clean Harbors, Inc., 4.88%, 07/15/27(b)			2,288		2,350,920
Conservation Fund, 3.47%, 12/15/29			1,008		1,081,844
KAR Auction Services, Inc., 5.13%, 06/01/25(b)			2,696		2,655,560
Republic Services, Inc.
3.55%, 06/01/22			120		126,065
4.75%, 05/15/23			5,974		6,620,916
2.50%, 08/15/24			5,350		5,690,862
2.90%, 07/01/26			2,994		3,271,034
3.38%, 11/15/27			410		459,841
3.95%, 05/15/28			11,362		13,268,434
Waste Management, Inc.
3.13%, 03/01/25			1,035		1,129,550
3.90%, 03/01/35			492		582,299
Waste Pro USA, Inc., 5.50%, 02/15/26(b)			1,398		1,334,377
					39,258,196
Communications Equipment — 0.1%
Motorola Solutions, Inc.
4.60%, 02/23/28			237		269,546
4.60%, 05/23/29			10,242		11,819,210
5.50%, 09/01/44			6,050		6,795,047
					18,883,803
Construction & Engineering — 0.0%
China City Construction International Co. Ltd., 5.35%, 07/03/17(f)(g)	CNH		340		2,642
GMR Hyderabad International Airport Ltd., 5.38%, 04/10/24	USD		200		193,000
IHS Netherlands Holdco BV, 8.00%, 09/18/27(b)			2,135		2,165,691
Zhengzhou Real Estate Group Co. Ltd., 3.95%, 10/09/22			965		965,603
					3,326,936
Construction Materials — 0.0%
Summit Materials LLC/Summit Materials Finance Corp., 6.13%, 07/15/23			1,708		1,700,399
U.S. Concrete, Inc., 6.38%, 06/01/24			1,627		1,606,663
					3,307,062
Consumer Finance — 0.9%
Alpha Holding SA de CV, 9.00%, 02/10/25(b)			3,084		2,753,434
American Express Co.
3.70%, 08/03/23			6,764		7,355,865
2.50%, 07/30/24			8,596		9,098,285

17

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Consumer Finance (continued)
American Express Co.
4.20%, 11/06/25	USD		2,799	$	3,252,817
3.13%, 05/20/26			9,388		10,404,871
American Express Credit Corp., 2.60%, 09/14/20			48		48,123
Capital One Financial Corp. 3.45%, 04/30/21			161		164,370
4.75%, 07/15/21			546		569,332
3.90%, 01/29/24			11,506		12,512,593
3.20%, 02/05/25			1,160		1,245,492
Discover Bank, 4.65%, 09/13/28			14,850		17,055,076
Discover Financial Services
4.50%, 01/30/26			4,031		4,516,965
4.10%, 02/09/27			952		1,040,526
Ford Motor Credit Co. LLC
3.16%, 08/04/20			250		248,488
3.20%, 01/15/21			2,007		1,976,895
5.75%, 02/01/21			7,810		7,839,678
3.34%, 03/18/21			1,500		1,484,565
General Motors Financial Co., Inc.
5.20%, 03/20/23			23,557		25,175,747
3.70%, 05/09/23			5,410		5,559,747
5.10%, 01/17/24			2,093		2,237,198
4.00%, 01/15/25			15,405		16,103,725
4.35%, 04/09/25			3,899		4,108,345
2.75%, 06/20/25			13,693		13,524,656
Hyundai Capital Services, Inc., 3.00%, 08/29/22(b)			7,790		7,962,841
Navient Corp.
5.88%, 03/25/21			1,549		1,521,893
6.63%, 07/26/21			1,857		1,819,860
6.50%, 06/15/22			2,529		2,484,743
7.25%, 09/25/23			1,473		1,439,695
5.88%, 10/25/24			1,377		1,293,526
6.75%, 06/25/25			1,446		1,379,123
6.75%, 06/15/26			1,424		1,317,200
Synchrony Financial
4.38%, 03/19/24			1,140		1,193,246
4.25%, 08/15/24			570		598,575
Toyota Motor Credit Corp.
3.20%, 01/11/27			53		58,983
3.38%, 04/01/30			6,204		7,146,152
					176,492,630
Containers & Packaging — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
4.13%, 08/15/26(b)			299		294,171
5.25%, 08/15/27(b)			2,217		2,177,936
Ball Corp.
5.25%, 07/01/25			597		652,969
4.88%, 03/15/26			448		487,200
International Paper Co.
5.00%, 09/15/35			332		404,874
6.00%, 11/15/41			2,411		3,178,021
4.80%, 06/15/44			286		341,108
4.40%, 08/15/47			855		1,007,393
4.35%, 08/15/48			5		5,900
Owens-Brockway Glass Container, Inc. 5.00%, 01/15/22(b)			223		223,268

Security		Par (000)		Value
Containers & Packaging (continued)
Owens-Brockway Glass Container, Inc. 5.88%, 08/15/23(b)	USD		2,010	$	2,070,300
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg, 7.00%, 07/15/24(b)			155		155,435
					10,998,575
Diversified Consumer Services — 0.1%
American University, 3.67%, 04/01/49			4,301		4,733,253
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22			200		204,940
China Education Group Holdings Ltd., 2.00%, 03/28/24(i)	HKD		8,000		1,096,849
Claremont Mckenna College, 3.38%, 01/01/50	USD		2,978		3,256,230
Ford Foundation, 2.42%, 06/01/50			2,710		2,777,401
George Washington University, 4.13%, 09/15/48			2,354		2,876,004
Massachusetts Institute of Technology, 3.96%, 07/01/38			1,385		1,751,855
Northeastern University, 2.89%, 10/01/50			1,875		1,900,253
University of Southern California, 3.03%, 10/01/39			246		267,969
Wesleyan University, 4.78%, 07/01/2116			1,285		1,511,574
Yale University, 1.48%, 04/15/30			5,512		5,571,292
					25,947,620
Diversified Financial Services — 1.0%
ANLLIAN Capital Ltd., 0.00%, 02/05/25(i)(k)	EUR		800		835,394
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b)	USD		4,445		3,022,600
AXA Equitable Holdings, Inc., 3.90%, 04/20/23			880		941,949
Azul Investments LLP, 5.88%, 10/26/24(b)			234		101,790
Baoxin Auto Finance I Ltd., (3 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 8.91%), 5.63%(h)(j)			300		219,750
Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/24(b)			4,232		4,222,690
China Huadian Overseas Development 2018 Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.07%), 3.38%(h)(j)			2,165		2,186,650
CK Hutchison International 17 II Ltd., 3.25%, 09/29/27			600		644,062
CNH Industrial Capital LLC, 4.38%, 11/06/20			13,090		13,205,954
Coastal Emerald Ltd.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 7.45%), 4.30%, (h)(j)			1,190		1,195,950
3.95%, 08/01/22			695		690,489
Deutsche Telekom International Finance BV, 3.60%, 01/19/27(b)			4,339		4,856,684
Easy Tactic Ltd.
9.13%, 07/28/22			200		190,793
8.63%, 02/27/24			830		746,222
8.13%, 07/11/24			800		699,000
Fortune Star BVI Ltd.
5.95%, 01/29/23			200		199,000
6.85%, 07/02/24			340		343,825
GE Capital International Funding Co., 4.42%, 11/15/35			9,940		10,106,528
GlaxoSmithKline Capital PLC, 3.38%, 06/01/29			1,018		1,170,646
GlaxoSmithKline Capital, Inc., 3.88%, 05/15/28			9,842		11,587,179
Grupo Aval Ltd., 4.38%, 02/04/30(b)			4,177		3,957,707
Guojing Capital BVI Ltd., 3.95%, 12/11/22			498		509,049
Holcim U.S. Finance S.a.r.l & Cie SCS, 5.15%, 09/12/23(b)			2,325		2,548,460

18

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Diversified Financial Services (continued)
Hyundai Capital America
3.95%, 02/01/22(b)	USD		3,655	$	3,761,223
2.38%, 02/10/23(b)			15,891		15,913,565
Intercorp Peru Ltd., 3.88%, 08/15/29(b)			789		768,289
Latam Finance Ltd., 6.88%, 04/11/24(f)(g)			873		237,892
Manappuram Finance Ltd., 5.90%, 01/13/23			200		187,250
Muthoot Finance Ltd.
6.13%, 10/31/22(b)			2,411		2,438,124
4.40%, 09/02/23(b)			406		386,967
4.40%, 09/02/23			200		190,624
New Lion Bridge Co. Ltd., 9.75%, 10/10/20			430		421,400
ORIX Corp., 2.90%, 07/18/22			4,137		4,282,574
Pacific National Finance Pty Ltd., 4.75%, 03/22/28			1,100		1,130,118
Pearl Holding III Ltd., 9.50%, 12/11/22			600		158,400
Prime Bloom Holdings Ltd., 6.95%, 07/05/22			890		279,598
Quicken Loans, Inc.
5.75%, 05/01/25(b)			3,385		3,460,452
5.25%, 01/15/28(b)			3,322		3,427,905
RELX Capital, Inc.
3.50%, 03/16/23			6,730		7,176,744
4.00%, 03/18/29			8,959		10,404,486
3.00%, 05/22/30			7,679		8,276,426
Santos Finance Ltd., 5.25%, 03/13/29			1,500		1,600,937
Shell International Finance BV
3.88%, 11/13/28			8,877		10,322,240
2.38%, 11/07/29			8,575		9,048,409
3.63%, 08/21/42			1,539		1,682,519
4.38%, 05/11/45			6,362		7,827,353
3.75%, 09/12/46			1,275		1,435,308
Total Capital International SA
2.75%, 06/19/21			875		894,942
2.88%, 02/17/22			680		705,817
3.70%, 01/15/24			3,644		4,020,768
2.43%, 01/10/25			4,468		4,747,817
Trust Fibra Uno
5.25%, 12/15/24(b)			2,925		3,084,961
6.95%, 01/30/44(b)			2,925		3,160,828
USAA Capital Corp., 2.13%, 05/01/30(b)			3,190		3,285,135
Viva Incubator Investment Management Ltd., 2.50%, 02/11/25(i)			600		880,436
					179,781,878
Diversified Telecommunication Services — 1.4%
AT&T Inc.
3.40%, 06/15/22			116		122,023
0.00%, 11/27/22(b)(k)			36,000		35,227,663
4.45%, 04/01/24			4,090		4,595,208
3.55%, 06/01/24			1,185		1,296,567
3.40%, 05/15/25			1,877		2,062,746
3.60%, 07/15/25			1,448		1,608,550
3.80%, 02/15/27			217		244,401
4.25%, 03/01/27			2,842		3,237,441
4.50%, 05/15/35			14,502		17,209,512
3.15%, 09/04/36	EUR		1,800		2,285,439
2.60%, 05/19/38			11,000		13,051,081
6.00%, 08/15/40	USD		7,343		9,961,225
5.35%, 09/01/40			700		880,046
5.15%, 03/15/42			2,188		2,731,072
4.90%, 06/15/42			2,043		2,452,973
4.65%, 06/01/44			2,343		2,678,172
4.80%, 06/15/44			2,069		2,450,193
4.85%, 07/15/45			4,680		5,561,207

Security		Par (000)		Value
Diversified Telecommunication Services (continued)
AT&T Inc.
4.75%, 05/15/46	USD		1,932	$	2,316,159
5.15%, 11/15/46			2,587		3,204,383
5.45%, 03/01/47			2,314		3,027,920
Axtel SAB de CV, 6.38%, 11/14/24(b)			2,921		3,033,517
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24			1,530		1,564,685
Connect Finco S.a.r.l/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)			5,764		5,461,390
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd.
8.75%, 05/25/24(b)			1,109		1,081,096
(6.00% Cash or 7.00% PIK), 13.00%, 12/31/25(b)(l)			561		475,899
8.00%, 12/31/26(b)			443		269,971
Empresa Nacional de Telecomunicaciones SA, 4.75%, 08/01/26(b)			6,698		7,118,718
Level 3 Financing, Inc.
5.13%, 05/01/23			1,858		1,858,000
5.38%, 01/15/24			3,830		3,858,725
5.25%, 03/15/26			2,579		2,649,922
4.63%, 09/15/27(b)			597		601,477
4.25%, 07/01/28(b)			8,811		8,800,867
Network i2i Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.27%), 5.65%(h)(j)			200		193,438
Telefonica del Peru SAA, 7.38%, 04/10/27(b)	PEN		3,500		990,107
UPC Holding BV, 5.50%, 01/15/28(b)	USD		1,479		1,420,387
Verizon Communications, Inc.
4.13%, 03/16/27			22,613		26,672,614
4.33%, 09/21/28			5,112		6,152,407
3.88%, 02/08/29			16,847		19,911,430
4.02%, 12/03/29			2,321		2,767,975
4.27%, 01/15/36			24,543		30,352,062
1.85%, 05/18/40	EUR		4,290		4,924,815
5.50%, 03/16/47	USD		2,184		3,234,799
4.52%, 09/15/48			2,809		3,715,774
Series 20Y, 2.88%, 01/15/38	EUR		4,400		5,945,013
Ziggo BV
5.50%, 01/15/27(b)	USD		5,252		5,317,965
4.88%, 01/15/30(b)			1,372		1,379,436
					265,956,470
Electric Utilities — 2.4%
Adani Electricity Mumbai Ltd.
3.95%, 02/12/30(b)			2,519		2,348,180
3.95%, 02/12/30			1,919		1,788,868
Adani Transmission Ltd.
4.00%, 08/03/26			662		657,862
4.25%, 05/21/36			1,646		1,581,958
AEP Texas, Inc.
3.95%, 06/01/28			10,571		12,023,047
4.15%, 05/01/49			950		1,122,767
3.45%, 01/15/50			1,440		1,551,967
AEP Transmission Co. LLC
4.00%, 12/01/46			1,806		2,168,604
4.25%, 09/15/48			2,195		2,722,546
3.80%, 06/15/49			4,475		5,275,772
3.15%, 09/15/49			3,515		3,784,147
3.65%, 04/01/50			1,807		2,089,203
Alabama Power Co.
3.55%, 12/01/23			885		964,341
6.00%, 03/01/39			215		310,401

19

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Electric Utilities (continued)
Alabama Power Co.
4.15%, 08/15/44	USD		290	$	346,771
3.75%, 03/01/45			4,887		5,543,883
4.30%, 07/15/48			2,138		2,633,971
3.45%, 10/01/49			4,816		5,256,578
Baltimore Gas & Electric Co.
3.50%, 08/15/46			4,197		4,690,563
3.75%, 08/15/47			2,530		2,927,133
4.25%, 09/15/48			1,490		1,855,932
3.20%, 09/15/49			2,000		2,128,659
2.90%, 06/15/50			163		166,675
Bi Hai Co. Ltd., 6.25%, 03/05/22			400		407,125
CenterPoint Energy Houston Electric LLC
3.55%, 08/01/42			2,240		2,499,098
3.95%, 03/01/48			549		665,720
Commonwealth Edison Co., 2.95%, 08/15/27			1,200		1,316,957
Dayton Power & Light Co., 3.95%, 06/15/49			4,998		5,369,142
DTE Electric Co.
2.95%, 03/01/50			1,742		1,806,710
Series A, 4.05%, 05/15/48			6,639		8,154,842
Duke Energy Carolinas LLC
3.95%, 11/15/28			1,701		2,022,498
2.45%, 08/15/29			5,675		6,094,757
2.45%, 02/01/30			6,078		6,527,400
4.00%, 09/30/42			1,150		1,384,180
3.75%, 06/01/45			1,177		1,372,790
3.88%, 03/15/46			3,172		3,782,756
3.70%, 12/01/47			3,085		3,633,718
3.20%, 08/15/49			4,863		5,421,221
Duke Energy Florida LLC
3.80%, 07/15/28			2,807		3,277,179
2.50%, 12/01/29			18,416		19,904,801
1.75%, 06/15/30			10,500		10,643,461
3.40%, 10/01/46			2,103		2,340,832
4.20%, 07/15/48			53		66,784
Duke Energy Ohio, Inc.,
3.65%, 02/01/29			10,872		12,563,999
Duke Energy Progress LLC
3.00%, 09/15/21			1,710		1,747,077
3.70%, 09/01/28			10,090		11,719,810
3.45%, 03/15/29			4,103		4,709,930
4.10%, 05/15/42			2,372		2,857,556
4.10%, 03/15/43			3,648		4,391,881
4.20%, 08/15/45			260		321,422
3.70%, 10/15/46			49		57,187
Edison International
2.40%, 09/15/22			139		140,761
3.13%, 11/15/22			10		10,293
3.55%, 11/15/24			3,527		3,717,134
Entergy Arkansas LLC, 4.20%, 04/01/49			1,197		1,512,712
Entergy Louisiana LLC
5.40%, 11/01/24			1,470		1,741,500
4.20%, 09/01/48			7,609		9,732,148
Eversource Energy, 2.90%, 10/01/24			5,710		6,124,380
Exelon Corp.
4.95%, 06/15/35			530		653,073
5.10%, 06/15/45			70		90,321
FirstEnergy Corp.
2.05%, 03/01/25			1,392		1,435,999
2.65%, 03/01/30			5,567		5,810,686
3.40%, 03/01/50			4,237		4,473,921
FirstEnergy Transmission LLC 4.35%, 01/15/25(b)			13,860		15,675,205

Security		Par (000)		Value
Electric Utilities (continued)
FirstEnergy Transmission LLC
5.45%, 07/15/44(b)	USD		1,121	$	1,448,565
4.55%, 04/01/49(b)			5,868		7,130,041
Florida Power & Light Co.
3.25%, 06/01/24			60		65,017
3.95%, 03/01/48			7,001		8,803,196
3.15%, 10/01/49			11,814		13,431,388
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(b)			4,333		2,189,519
Huachen Energy Co. Ltd., 6.63%, 05/18/20(f)(g)			200		79,062
ITC Holdings Corp., 2.70%, 11/15/22			3,406		3,550,734
LLPL Capital Pte Ltd., 6.88%, 02/04/39			625		683,815
MidAmerican Energy Co.
3.10%, 05/01/27			390		438,093
3.65%, 04/15/29			10,406		12,419,354
3.65%, 08/01/48			1,020		1,208,159
4.25%, 07/15/49			2,933		3,783,466
3.15%, 04/15/50			3,370		3,824,438
Mid-Atlantic Interstate Transmission LLC, 4.10%, 05/15/28(b)			992		1,130,850
Mong Duong Finance Holdings BV, 5.13%, 05/07/29			796		792,766
Northern States Power Co.
3.40%, 08/15/42			3,707		4,200,513
4.00%, 08/15/45			1,610		1,955,267
3.60%, 09/15/47			1,658		1,941,218
2.90%, 03/01/50			2,475		2,685,095
NSTAR Electric Co.
3.20%, 05/15/27			2,007		2,254,773
3.25%, 05/15/29			825		936,034
3.95%, 04/01/30			1,883		2,273,912
Ohio Power Co.
6.60%, 02/15/33			3,415		4,756,046
4.00%, 06/01/49			3,666		4,444,382
Oncor Electric Delivery Co. LLC
3.70%, 11/15/28			5,350		6,276,267
5.75%, 03/15/29			480		629,259
2.75%, 05/15/30(b)			856		934,227
3.80%, 09/30/47			2,314		2,818,852
3.80%, 06/01/49			187		226,394
3.10%, 09/15/49			3,583		3,950,130
Public Service Electric & Gas Co.
2.38%, 05/15/23			990		1,032,220
3.65%, 09/01/28			6,843		7,862,560
3.20%, 05/15/29			1,531		1,725,654
Southern California Edison Co.
2.90%, 03/01/21			2,215		2,253,301
1.85%, 02/01/22			2,405		2,407,714
3.70%, 08/01/25			11,997		13,252,457
4.20%, 03/01/29			1,808		2,109,286
2.25%, 06/01/30			9,815		9,910,191
3.60%, 02/01/45			1,389		1,482,241
3.65%, 02/01/50			5,415		5,942,703
Southern Co. Gas Capital Corp., 3.95%, 10/01/46			45		49,668
Tampa Electric Co.
4.35%, 05/15/44			1,190		1,456,447
4.30%, 06/15/48			1,207		1,524,400
4.45%, 06/15/49			2,671		3,411,053
Tohoku Electric Power Co., Inc., 0.00%, 12/03/20(i)(k)	JPY		110,000		1,010,272

20

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Electric Utilities (continued)
Trans-Allegheny Interstate Line Co., 3.85%, 06/01/25(b)	USD		16,579	$	18,610,200
Vistra Operations Co. LLC
3.55%, 07/15/24(b)			10,161		10,486,914
5.50%, 09/01/26(b)			4,297		4,384,831
5.63%, 02/15/27(b)			4,376		4,491,308
5.00%, 07/31/27(b)			3,804		3,846,795
4.30%, 07/15/29(b)			9,553		10,043,562
					448,673,403
Electrical Equipment — 0.3%
Carrier Global Corp.
1.92%, 02/15/23(b)			14,677		14,961,087
2.24%, 02/15/25(b)			24,285		24,829,434
Otis Worldwide Corp.
2.06%, 04/05/25(b)			10,151		10,649,321
2.29%, 04/05/27(b)			935		976,405
Suzlon Energy Ltd., 5.75%, 07/16/19(f)(g)(i)			500		127,714
					51,543,961
Electronic Equipment, Instruments & Components — 0.0%
Corning, Inc.
3.70%, 11/15/23			775		822,425
4.38%, 11/15/57			4,068		4,674,904
Hon Hai Precision Industry Co. Ltd., 0.00%, 11/06/22(i)(k)			600		612,000
					6,109,329
Energy Equipment & Services — 0.1%
Hilong Holding Ltd., 8.25%, 09/26/22			250		93,750
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 12/01/21(b)			486		411,919
Pioneer Energy Services Corp.
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25(b)(l)			2,983		2,386,206
(5.00% Cash or 5.00% PIK), 5.00%, 11/15/25(b)(i)(l)			2,034		1,099,267
Transocean Guardian Ltd., 5.88%, 01/15/24(b)			993		863,491
Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(b)			7,556		7,083,375
Transocean Proteus Ltd., 6.25%, 12/01/24(b)			758		690,281
					12,628,289
Equity Real Estate Investment Trusts (REITs) — 1.1%
American Tower Corp.
3.00%, 06/15/23			3		3,199
3.38%, 05/15/24			3,600		3,908,507
2.95%, 01/15/25			660		717,907
2.40%, 03/15/25			12,994		13,717,976
2.75%, 01/15/27			1,252		1,344,611
3.95%, 03/15/29			1,825		2,077,219
3.80%, 08/15/29			8,966		10,147,494
Boston Properties LP
3.85%, 02/01/23			3,521		3,759,632
3.13%, 09/01/23			2,102		2,223,320
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23			2,211		2,387,941
Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV, 4.96%, 07/18/29(b)			391		377,315
Crown Castle International Corp.
2.25%, 09/01/21			80		80,668
4.88%, 04/15/22			144		153,833
3.15%, 07/15/23			2,323		2,479,002
3.20%, 09/01/24			17,943		19,470,499
1.35%, 07/15/25			5,279		5,316,619
4.45%, 02/15/26			2,370		2,716,695

Security		Par (000)		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Crown Castle International Corp.
3.70%, 06/15/26	USD		5,925	$	6,629,674
3.80%, 02/15/28			474		532,774
4.30%, 02/15/29			1,324		1,535,315
3.10%, 11/15/29			14,492		15,535,260
5.20%, 02/15/49			581		770,522
4.15%, 07/01/50			1,362		1,596,137
Equinix, Inc.
2.63%, 11/18/24			4,960		5,280,515
1.25%, 07/15/25			9,210		9,207,697
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31			2,938		2,916,700
MGM Growth Properties Operating Partnership
LP/MGP Finance Co-Issuer, Inc.
5.63%, 05/01/24			6,235		6,453,350
4.63%, 06/15/25(b)			802		784,260
4.50%, 09/01/26			1,730		1,713,219
5.75%, 02/01/27			4,235		4,340,875
MPT Operating Partnership LP/MPT Finance Corp.
5.25%, 08/01/26			299		310,213
5.00%, 10/15/27			4,705		4,834,388
4.63%, 08/01/29			537		539,685
National Retail Properties, Inc., 2.50%, 04/15/30			4,195		4,006,359
Prologis Euro Finance LLC, 1.50%, 09/10/49	EUR		3,600		3,850,643
Realty Income Corp.
4.65%, 08/01/23	USD		5		5,521
4.13%, 10/15/26			2,631		3,009,149
3.00%, 01/15/27			865		915,655
3.25%, 01/15/31			2,320		2,510,022
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(b)			2,358		2,098,620
Service Properties Trust
5.00%, 08/15/22			3,010		2,955,887
4.50%, 06/15/23			2,140		2,048,903
4.35%, 10/01/24			1,505		1,356,462
7.50%, 09/15/25			1,479		1,558,177
VICI Properties LP/VICI Note Co., Inc.
3.50%, 02/15/25(b)			26,650		25,051,000
4.25%, 12/01/26(b)			13,700		13,117,750
3.75%, 02/15/27(b)			4,326		4,066,440
4.63%, 12/01/29(b)			597		582,075
4.13%, 08/15/30(b)			5,173		4,933,749
					205,929,433
Food & Staples Retailing — 0.5%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
3.50%, 02/15/23(b)			3,289		3,330,112
6.63%, 06/15/24			3,405		3,490,125
5.75%, 03/15/25			7,645		7,812,272
7.50%, 03/15/26(b)			3,937		4,251,960
4.63%, 01/15/27(b)			806		806,000
5.88%, 02/15/28(b)			3,317		3,422,381
4.88%, 02/15/30(b)			597		610,809
Alimentation Couche-Tard, Inc., 3.55%, 07/26/27(b)			12,317		13,225,698
CVS Health Corp.
4.10%, 03/25/25			15,398		17,414,248
3.88%, 07/20/25			472		530,455
3.75%, 04/01/30			19,940		22,972,999
5.30%, 12/05/43			1,240		1,621,636
5.13%, 07/20/45			11,932		15,374,373

21

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Food & Staples Retailing (continued)
Performance Food Group, Inc., 5.50%, 10/15/27(b)	USD		3,012	$	2,906,580
Walmart, Inc., 3.70%, 06/26/28			4,071		4,820,700
					102,590,348
Food Products — 0.3%
BRF GmbH, 4.35%, 09/29/26(b)			2,256		2,177,040
Campbell Soup Co., 8.88%, 05/01/21			2,350		2,482,191
CP Foods Capital Ltd., 0.50%, 06/18/25(i)			400		403,000
Darling Ingredients, Inc., 5.25%, 04/15/27(b)			1,690		1,736,948
JBS Investments II GmbH
7.00%, 01/15/26(b)			3,405		3,573,548
5.75%, 01/15/28(b)			2,508		2,479,308
JBS USA LUX SA/JBS USA Finance, Inc.
5.75%, 06/15/25(b)			2,836		2,860,815
6.75%, 02/15/28(b)			4,011		4,229,098
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
6.50%, 04/15/29(b)			4,974		5,278,657
5.50%, 01/15/30(b)			746		764,650
Knight Castle Investments Ltd., 7.99%, 01/23/21			700		466,375
Lamb Weston Holdings, Inc.
4.63%, 11/01/24(b)			2,776		2,880,100
4.88%, 11/01/26(b)			2,790		2,887,650
Mondelez International, Inc., 2.75%, 04/13/30			1,636		1,761,052
Pilgrim’s Pride Corp., 5.88%, 09/30/27(b)			5,344		5,345,069
Post Holdings, Inc. 5.75%, 03/01/27(b)			3,722		3,842,965
5.63%, 01/15/28(b)			2,728		2,823,480
5.50%, 12/15/29(b)			2,156		2,229,563
Sigma Finance Netherlands BV, 4.88%, 03/27/28(b)			2,163		2,326,577
Simmons Foods, Inc., 5.75%, 11/01/24(b)			1,440		1,368,000
					51,916,086
Gas Utilities — 0.0%
Atmos Energy Corp., 3.38%, 09/15/49			2,607		2,929,555
Piedmont Natural Gas Co., Inc., 3.64%, 11/01/46			427		463,039
Promigas SA ESP/Gases del Pacifico SAC, 3.75%, 10/16/29			1,460		1,438,556
					4,831,150
Health Care Equipment & Supplies — 0.2%
Becton Dickinson and Co., 3.30%, 03/01/23			4,494		4,702,757
Boston Scientific Corp.
3.45%, 03/01/24			12,317		13,342,009
1.90%, 06/01/25			4,938		5,117,555
Edwards Lifesciences Corp., 4.30%, 06/15/28			171		203,868
Medtronic Global Holdings SCA, 1.75%, 07/02/49	EUR		3,500		3,827,987
Teleflex, Inc., 4.63%, 11/15/27	USD		1,667		1,762,369
					28,956,545
Health Care Providers & Services — 1.8%
Aetna, Inc. 4.50%, 05/15/42			2,558		3,042,847
4.13%, 11/15/42			10		11,245
4.75%, 03/15/44			1,023		1,231,074
AMN Healthcare, Inc., 5.13%, 10/01/24(b)			4,520		4,520,000
Anthem, Inc.
3.65%, 12/01/27			6,450		7,348,871
4.10%, 03/01/28			2,442		2,861,802

Security		Par (000)		Value
Health Care Providers & Services (continued)
Centene Corp.
5.25%, 04/01/25(b)	USD		2,566	$	2,642,133
5.38%, 06/01/26(b)			12,003		12,443,030
5.38%, 08/15/26(b)			2,500		2,600,525
4.25%, 12/15/27			8,294		8,558,662
4.63%, 12/15/29			2,090		2,204,950
CHRISTUS Health, 4.34%, 07/01/28			15,081		17,034,968
Cigna Corp.
3.20%, 09/17/20			5,035		5,063,136
3.00%, 07/15/23(b)			1,605		1,706,155
3.75%, 07/15/23			65		70,557
3.50%, 06/15/24(b)			905		988,520
3.25%, 04/15/25(b)			4,621		5,044,048
4.13%, 11/15/25			1,330		1,528,871
3.40%, 03/01/27(b)			822		905,473
3.05%, 10/15/27(b)			1,656		1,799,776
4.38%, 10/15/28			20,605		24,385,789
Cottage Health Obligated Group, 3.30%, 11/01/49			10,759		11,788,618
DaVita, Inc.
5.00%, 05/01/25			4,898		5,008,205
4.63%, 06/01/30(b)			6,689		6,656,893
DH Europe Finance II S.a.r.l
1.35%, 09/18/39	EUR		4,795		5,122,518
1.80%, 09/18/49			3,600		3,870,340
Encompass Health Corp.
4.50%, 02/01/28	USD		1,372		1,315,913
4.75%, 02/01/30			1,382		1,319,810
HCA, Inc.
4.75%, 05/01/23			11,051		11,990,421
5.00%, 03/15/24			5,341		5,936,528
5.38%, 02/01/25			1,552		1,662,580
5.25%, 04/15/25			21,253		24,374,269
5.88%, 02/15/26			896		982,240
5.25%, 06/15/26			1,140		1,317,068
5.38%, 09/01/26			597		649,984
5.63%, 09/01/28			896		1,000,160
5.88%, 02/01/29			597		675,559
4.13%, 06/15/29			6,614		7,295,821
Humana, Inc.
4.50%, 04/01/25			4,430		5,043,718
3.13%, 08/15/29			2,294		2,484,648
4.88%, 04/01/30			1,496		1,847,237
Molina Healthcare, Inc., 5.38%, 11/15/22			2,368		2,415,360
Ochsner Clinic Foundation, 5.90%, 05/15/45			734		944,583
PeaceHealth Obligated Group, 4.79%, 11/15/48			462		612,225
RWJ Barnabas Health, Inc., 3.48%, 07/01/49			1,409		1,485,124
Select Medical Corp., 6.25%, 08/15/26(b)			14,365		14,522,297
Sutter Health, 3.70%, 08/15/28			2,463		2,755,525
Tenet Healthcare Corp.
4.63%, 07/15/24			4,979		4,878,374
4.63%, 09/01/24(b)			9,353		9,142,558
5.13%, 05/01/25			8,459		8,164,711
4.88%, 01/01/26(b)			15,230		14,830,213
6.25%, 02/01/27(b)			9,396		9,325,530
5.13%, 11/01/27(b)			896		884,083
4.63%, 06/15/28(b)			511		497,816
UnitedHealth Group, Inc.
3.75%, 07/15/25			18,821		21,443,262
3.70%, 12/15/25			4,035		4,624,575
3.10%, 03/15/26			2,398		2,676,129
2.95%, 10/15/27			11,106		12,390,057

22

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Health Care Providers & Services (continued)
UnitedHealth Group, Inc.
3.85%, 06/15/28	USD		863	$	1,020,742
5.80%, 03/15/36			5		7,069
6.50%, 06/15/37			231		351,755
2.75%, 05/15/40			12,353		13,224,317
4.63%, 11/15/41			2,362		3,098,635
4.75%, 07/15/45			4,326		5,826,719
4.20%, 01/15/47			1,634		2,072,799
4.25%, 04/15/47			50		64,205
3.75%, 10/15/47			1,148		1,369,865
					344,963,490
Hotels, Restaurants & Leisure — 1.0%
1011778 BC ULC/New Red Finance, Inc.
5.00%, 10/15/25(b)			8,681		8,629,869
3.88%, 01/15/28(b)			448		434,636
Aramark Services, Inc.
4.75%, 06/01/26			1,657		1,594,863
5.00%, 02/01/28(b)			3,857		3,664,150
Boyd Gaming Corp.
8.63%, 06/01/25(b)			1,656		1,730,520
6.38%, 04/01/26			1,848		1,755,600
6.00%, 08/15/26			1,726		1,613,292
Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(b)			4,652		4,047,240
Cedar Fair LP, 5.25%, 07/15/29(b)			3,581		3,240,805
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op
5.50%, 05/01/25(b)			6,059		6,089,295
5.38%, 04/15/27			3,117		2,789,715
Churchill Downs, Inc.
5.50%, 04/01/27(b)			3,722		3,643,094
4.75%, 01/15/28(b)			1,701		1,641,465
Colt Merger Sub, Inc.
5.75%, 07/01/25(b)			2,601		2,615,826
6.25%, 07/01/25(b)			13,890		13,803,187
8.13%, 07/01/27(b)			4,331		4,184,829
Eldorado Resorts, Inc., 6.00%, 09/15/26			1,525		1,647,488
Golden Nugget, Inc., 6.75%, 10/15/24(b)			3,550		2,551,563
Hilton Domestic Operating Co., Inc.
5.13%, 05/01/26			4,106		4,088,057
4.88%, 01/15/30			597		588,045
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.
4.63%, 04/01/25			2,955		2,889,133
4.88%, 04/01/27			2,561		2,500,176
HIS Co. Ltd., 0.00%, 11/15/24(i)(k)	JPY		40,000		325,000
Hyatt Hotels Corp., 5.38%, 04/23/25	USD		4,131		4,377,453
International Game Technology PLC 6.25%, 02/15/22(b)			2,025		2,043,984
6.50%, 02/15/25(b)			3,422		3,499,029
6.25%, 01/15/27(b)			448		459,200
IRB Holding Corp., 7.00%, 06/15/25(b)			1,742		1,795,479
Marriott International, Inc., 4.63%, 06/15/30			2,084		2,162,390
Marriott Ownership Resorts, Inc., 6.13%, 09/15/25(b)			3,879		3,966,277
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26			3,289		3,313,667
McDonald’s Corp.
3.63%, 05/01/43			2,482		2,723,457
4.88%, 12/09/45			5,602		7,168,763
4.45%, 09/01/48			2,753		3,401,231

Security		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
McDonald’s Corp. 3.63%, 09/01/49	USD		9,758	$	10,706,818
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b)			537		535,490
MGM China Holdings Ltd.
5.38%, 05/15/24(b)			2,481		2,519,580
5.88%, 05/15/26(b)			2,506		2,581,180
MGM Resorts International
5.75%, 06/15/25			392		387,598
4.63%, 09/01/26			229		208,390
5.50%, 04/15/27			390		375,375
NCL Corp. Ltd., 3.63%, 12/15/24(b)			856		523,230
REXLot Holdings Ltd., 4.50%, 04/17/19(f)(g)(i)	HKD		1,161		14,978
Sands China Ltd., 4.38%, 06/18/30	USD		1,962		2,043,325
Scientific Games International, Inc., 5.00%, 10/15/25(b)			3,693		3,409,599
SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/25(b)			4,134		4,175,340
Starbucks Corp., 2.55%, 11/15/30			9,403		9,863,256
Station Casinos LLC, 5.00%, 10/01/25(b)			1,495		1,315,600
Studio City Finance Ltd., 7.25%, 02/11/24			200		205,688
Viking Cruises Ltd., 5.88%, 09/15/27(b)			2,359		1,404,478
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(b)			1,681		1,617,963
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 03/01/25(b)			6,222		5,693,130
5.25%, 05/15/27(b)			3,101		2,680,814
Wynn Macau Ltd.
4.88%, 10/01/24(b)			3,585		3,513,300
5.50%, 10/01/27(b)			2,511		2,471,766
5.50%, 10/01/27			200		196,875
5.13%, 12/15/29(b)			597		588,045
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
7.75%, 04/15/25(b)			5,371		5,409,671
5.13%, 10/01/29(b)			5,182		4,631,412
					178,051,679
Household Durables — 0.5%
Ashton Woods USA LLC/Ashton Woods Finance Co.
6.75%, 08/01/25(b)			1,069		1,050,293
9.88%, 04/01/27(b)			3,448		3,663,500
6.63%, 01/15/28(b)			6,260		6,150,450
Beazer Homes USA, Inc., 7.25%, 10/15/29			4,961		4,812,170
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 6.25%, 09/15/27(b)			6,893		6,591,845
Century Communities, Inc., 6.75%, 06/01/27			7,145		7,180,725
DR Horton, Inc., 2.60%, 10/15/25			8,338		8,764,088
Harvest International Co., 0.00%, 11/21/22(i)(k)	HKD		8,000		1,059,518
KB Home, 7.63%, 05/15/23	USD		1,769		1,928,210
Lennar Corp.
2.95%, 11/29/20			20		20,022
8.38%, 01/15/21			755		778,594
4.75%, 04/01/21			1,788		1,809,599
4.13%, 01/15/22			1,350		1,366,875
4.50%, 04/30/24			1,533		1,593,998
5.88%, 11/15/24			4,092		4,471,533
4.75%, 05/30/25			299		319,183
5.25%, 06/01/26			60		64,800
4.75%, 11/29/27			537		582,645
LGI Homes, Inc., 6.88%, 07/15/26(b)			1,069		1,087,707
M/I Homes, Inc., 4.95%, 02/01/28			5,263		5,230,106

23

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Household Durables (continued)
Mattamy Group Corp.
5.25%, 12/15/27(b)	USD	3,110	$	3,094,450
4.63%, 03/01/30(b)		3,535		3,393,600
PulteGroup, Inc.
4.25%, 03/01/21		152		153,520
5.50%, 03/01/26		418		455,871
5.00%, 01/15/27		562		601,340
6.00%, 02/15/35		53		61,003
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b)		299		309,686
Tempur Sealy International, Inc., 5.50%, 06/15/26		3,695		3,731,950
Toll Brothers Finance Corp.
4.38%, 04/15/23		5,264		5,461,400
3.80%, 11/01/29		5,508		5,538,294
TRI Pointe Group, Inc.
5.25%, 06/01/27		2,378		2,366,110
5.70%, 06/15/28		333		337,995
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 02/01/23		2,274		2,256,945
William Lyon Homes, Inc., 6.00%, 09/01/23		3,857		3,943,782
				90,231,807
Household Products — 0.0%
Clorox Co., 3.10%, 10/01/27		900		984,698
Kimberly-Clark de Mexico SAB de CV, 2.43%, 07/01/31(b)		1,908		1,931,850
Spectrum Brands, Inc., 5.75%, 07/15/25		2,442		2,506,151
				5,422,699
Independent Power and Renewable Electricity Producers — 0.3%
Calpine Corp.
5.50%, 02/01/24		1,399		1,395,503
5.25%, 06/01/26(b)		8,264		8,344,243
4.50%, 02/15/28(b)		15,793		15,398,175
China Shuifa Singyes Energy Holdings Ltd., (6.00% Cash or 6.00% PIK), 6.00%, 12/19/22(l)		340		289,421
Colbun SA, 3.15%, 03/06/30(b)		675		678,164
Genneia SA, 8.75%, 01/20/22(b)		83		66,504
NRG Energy, Inc.
7.25%, 05/15/26		8,865		9,352,575
6.63%, 01/15/27		5,276		5,506,825
5.75%, 01/15/28		2,783		2,936,065
5.25%, 06/15/29(b)		3,165		3,323,250
2.75%, 06/01/48(i)		2,906		2,938,004
Orazul Energy Egenor S en C por A, 5.63%, 04/28/27(b)		607		597,895
ReNew Power Pvt Ltd., 5.88%, 03/05/27		200		191,000
ReNew Power Synthetic, 6.67%, 03/12/24		1,000		1,006,563
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(b)		181		188,032
Stoneway Capital Corp.
10.00%, 03/01/27(f)(g)		4,059		1,385,006
10.00%, 03/01/27(b)(f)(g)		4,327		1,476,575
Talen Energy Supply LLC
6.50%, 06/01/25		1,999		1,319,340
10.50%, 01/15/26(b)		1,956		1,545,240
7.25%, 05/15/27(b)		3,184		3,168,080
				61,106,460
Industrial Conglomerates — 0.2%
3M Co., 2.38%, 08/26/29		3,687		3,984,731
General Electric Co., 5.88%, 01/14/38		13,269		14,976,570

Security	Par (000)		Value
Industrial Conglomerates (continued)
Grupo KUO SAB De CV, 5.75%, 07/07/27(b)	USD	4,285	$	3,922,971
Honeywell International, Inc. 2.70%, 08/15/29		1,451		1,599,975
0.75%, 03/10/32	EUR	7,580		8,327,542
Tyco Electronics Group SA 3.45%, 08/01/24	USD	865		935,348
3.13%, 08/15/27		1,669		1,819,423
				35,566,560
Insurance — 0.4%
Ambac Assurance Corp., 5.10%(b)(j)		462		619,352
Ambac LSNI LLC, (3 mo. LIBOR US + 5.00%), 6.00%, 02/12/23(a)(b)		2,528		2,496,516
Aon Corp. 4.50%, 12/15/28		8,643		10,283,404
3.75%, 05/02/29		15,704		17,980,568
Aon PLC, 4.75%, 05/15/45		1,475		1,845,574
Marsh & McLennan Cos., Inc. 4.05%, 10/15/23		2,451		2,689,536
3.88%, 03/15/24		4,043		4,472,409
3.50%, 06/03/24		8,930		9,786,211
3.50%, 03/10/25		3,288		3,638,432
1.35%, 09/21/26	EUR	4,390		5,147,636
1.98%, 03/21/30		3,035		3,743,044
2.25%, 11/15/30	USD	5,332		5,533,289
MetLife, Inc., 4.72%, 12/15/44		1,873		2,358,723
Principal Financial Group, Inc., 3.70%, 05/15/29		2,435		2,770,390
QBE Insurance Group Ltd., (USD Swap Rate 11:00 am NY 10Y + 4.40%), 5.88%, 06/17/46(h)		450		476,017
Travelers Cos., Inc., 6.25%, 06/15/37		65		96,443
Trinity Acquisition PLC, 4.40%, 03/15/26		1,765		2,010,655
Union Life Insurance Co. Ltd., 3.00%, 09/19/21		229		206,917
Willis North America, Inc. 3.60%, 05/15/24		2,050		2,218,689
3.88%, 09/15/49		777		857,114
				79,230,919
Interactive Media & Services — 0.1%
Baidu, Inc. 4.38%, 05/14/24		3,320		3,615,580
3.08%, 04/07/25		1,425		1,491,367
Tencent Holdings Ltd. 3.24%, 06/03/50(b)		3,790		3,825,209
3.24%, 06/03/50		2,350		2,371,831
				11,303,987
Internet & Direct Marketing Retail — 0.3%
Alibaba Group Holding Ltd., 3.60%, 11/28/24		5,095		5,541,271
Amazon.com, Inc., 3.88%, 08/22/37		6,410		7,936,900
Baozun, Inc., 1.63%, 05/01/24(i)		258		248,779
Booking Holdings, Inc., 4.10%, 04/13/25		20,288		22,770,824
Expedia Group, Inc. 6.25%, 05/01/25(b)		5,251		5,593,749
3.80%, 02/15/28		2,973		2,847,623
3.25%, 02/15/30		5,730		5,342,337
Netflix, Inc. 5.88%, 02/15/25		478		528,190
4.38%, 11/15/26		597		620,981
4.88%, 04/15/28		955		1,021,153
5.88%, 11/15/28		1,134		1,291,343
6.38%, 05/15/29		478		554,480

24

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Internet & Direct Marketing Retail (continued)
Netflix, Inc. 5.38%, 11/15/29(b)	USD	537	$	588,122
4.88%, 06/15/30(b)		597		640,283
				55,526,035
IT Services — 1.1%
21Vianet Group, Inc., 7.88%, 10/15/21		685		691,686
DXC Technology Co. 4.00%, 04/15/23		6,655		6,984,550
4.13%, 04/15/25		1,330		1,418,137
Fidelity National Information Services, Inc.
3.00%, 08/15/26		5,100		5,650,818
1.00%, 12/03/28	EUR	10,500		11,653,599
2.95%, 05/21/39		4,400		5,653,709
Fiserv, Inc. 4.75%, 06/15/21	USD	960		998,147
3.20%, 07/01/26		21,724		24,044,338
3.50%, 07/01/29		13,009		14,623,688
2.65%, 06/01/30		2,255		2,389,330
Global Payments, Inc. 3.80%, 04/01/21		1,910		1,944,601
3.75%, 06/01/23		2,350		2,531,341
4.00%, 06/01/23		236		255,839
4.80%, 04/01/26		4,157		4,865,360
2.90%, 05/15/30		4,631		4,859,562
International Business Machines Corp. 3.30%, 05/15/26		21,470		24,125,228
1.95%, 05/15/30		22,284		22,793,049
4.15%, 05/15/39		2,600		3,148,106
2.85%, 05/15/40		9,573		9,968,321
Leidos, Inc., 4.38%, 05/15/30(b)		11,000		12,390,950
Mastercard, Inc. 2.95%, 06/01/29		17,164		19,296,941
3.35%, 03/26/30		6,428		7,430,735
PayPal Holdings, Inc. 1.65%, 06/01/25		4,546		4,699,411
2.65%, 10/01/26		3,510		3,814,427
Sabre GLBL, Inc., 5.25%, 11/15/23(b)		300		276,000
Transcosmos, Inc., 0.00%, 12/22/20(i)(k)	JPY	40,000		378,537
Visa, Inc. 1.90%, 04/15/27	USD	6,452		6,743,761
2.75%, 09/15/27		3,727		4,109,329
4.15%, 12/14/35		1,092		1,396,870
2.70%, 04/15/40		3,019		3,230,428
				212,366,798
Leisure Products — 0.1%
Hasbro, Inc. 2.60%, 11/19/22		12,338		12,769,001
3.90%, 11/19/29		1,450		1,509,956
				14,278,957
Life Sciences Tools & Services — 0.3%
Agilent Technologies, Inc. 3.88%, 07/15/23		4,383		4,735,469
3.05%, 09/22/26		9,644		10,566,638
2.75%, 09/15/29		2,205		2,396,609
Avantor, Inc., 6.00%, 10/01/24(b)		1,212		1,266,540
Charles River Laboratories International, Inc. 5.50%, 04/01/26(b)		1,408		1,464,320
4.25%, 05/01/28(b)		758		757,613
IQVIA, Inc. 5.00%, 10/15/26(b)		3,518		3,618,967
5.00%, 05/15/27(b)		3,707		3,798,517

Security	Par (000)		Value
Life Sciences Tools & Services (continued)
Jaguar Holding Co. II/PPD Development LP, 5.00%, 06/15/28(b)	USD	904	$	925,470
Thermo Fisher Scientific, Inc. 4.13%, 03/25/25		5,964		6,799,988
4.50%, 03/25/30		3,037		3,764,167
1.88%, 10/01/49	EUR	7,400		7,928,329
				48,022,627
Machinery — 0.2%
China Conch Venture Holdings International
Ltd., 0.00%, 09/05/23(i)(k)	HKD	6,000		830,988
CNH Industrial NV, 3.85%, 11/15/27	USD	790		832,603
Colfax Corp., 6.00%, 02/15/24(b)		2,044		2,107,875
Deere & Co., 2.75%, 04/15/25		1,360		1,485,134
HTA Group Ltd., 7.00%, 12/18/25(b)		2,290		2,312,900
Parker-Hannifin Corp. 2.70%, 06/14/24		9,940		10,581,251
3.25%, 06/14/29		1,783		1,970,070
Terex Corp., 5.63%, 02/01/25(b)		4,180		3,803,800
Vertical U.S. Newco, Inc., 5.25%, 07/15/27(b)		5,290		5,290,000
				29,214,621
Media — 2.1%
Altice France SA 7.38%, 05/01/26(b)		15,115		15,761,922
8.13%, 02/01/27(b)		5,275		5,769,531
5.50%, 01/15/28(b)		3,005		3,035,050
AMC Networks, Inc. 5.00%, 04/01/24		3,289		3,256,110
4.75%, 08/01/25		3,348		3,298,450
CCO Holdings LLC/CCO Holdings Capital Corp.
5.75%, 02/15/26(b)		5,720		5,916,425
5.50%, 05/01/26(b)		3,389		3,508,666
5.13%, 05/01/27(b)		8,329		8,617,183
5.88%, 05/01/27(b)		1,819		1,898,036
5.00%, 02/01/28(b)		10,487		10,827,827
5.38%, 06/01/29(b)		3,505		3,697,775
4.75%, 03/01/30(b)		4,054		4,148,012
Charter Communications Operating LLC/Charter Communications Operating Capital (3 mo. LIBOR US + 1.65%), 2.34%, 02/01/24(a)		208		208,669
6.38%, 10/23/35		9,751		12,885,684
6.48%, 10/23/45		19,187		25,369,949
5.38%, 05/01/47		6,160		7,274,451
5.13%, 07/01/49		3,555		4,105,699
6.83%, 10/23/55		1,405		1,893,111
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b)		3,843		3,689,280
Comcast Corp. 4.15%, 10/15/28		14,620		17,526,122
2.65%, 02/01/30		3,735		4,062,029
3.40%, 04/01/30		32,588		37,215,666
4.25%, 10/15/30		1,770		2,168,963
1.95%, 01/15/31		16,801		16,991,714
4.40%, 08/15/35		1,772		2,194,241
3.20%, 07/15/36		1,660		1,835,768
1.25%, 02/20/40	EUR	4,600		4,990,758
4.75%, 03/01/44	USD	8		10,532
4.60%, 08/15/45		2,191		2,816,675
3.40%, 07/15/46		6,345		7,048,868
4.00%, 08/15/47		1,415		1,704,400
3.97%, 11/01/47		4,449		5,275,062
4.70%, 10/15/48		5,283		7,105,222

25

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Media (continued)
Comcast Corp. 4.00%, 11/01/49	USD	945	$	1,141,218
2.80%, 01/15/51		5,014		5,141,783
Cox Communications, Inc. 3.25%, 12/15/22(b)		2,960		3,119,335
3.15%, 08/15/24(b)		19,141		20,595,067
3.35%, 09/15/26(b)		574		634,739
3.50%, 08/15/27(b)		284		313,523
CSC Holdings LLC 10.88%, 10/15/25(b)		577		620,275
7.50%, 04/01/28(b)		3,177		3,466,901
5.75%, 01/15/30(b)		6,441		6,708,302
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 08/15/26(b)		1,821		1,317,949
6.63%, 08/15/27(b)		5,099		2,715,218
Discovery Communications LLC 3.80%, 03/13/24		1,390		1,489,641
5.00%, 09/20/37		7,047		8,340,673
4.95%, 05/15/42		275		312,922
4.88%, 04/01/43		833		950,230
5.20%, 09/20/47		2,919		3,396,023
5.30%, 05/15/49		905		1,083,156
Gray Television, Inc. 5.88%, 07/15/26(b)		1,994		1,984,768
7.00%, 05/15/27(b)		2,255		2,311,375
iHeartCommunications, Inc. 6.38%, 05/01/26		3,559		3,523,178
5.25%, 08/15/27(b)		3,210		3,073,575
4.75%, 01/15/28(b)		299		275,828
JOYY, Inc., 0.75%, 06/15/25(i)		166		183,103
Lamar Media Corp. 5.75%, 02/01/26		2,213		2,282,975
3.75%, 02/15/28(b)		358		337,522
Meredith Corp., 6.88%, 02/01/26		3,573		2,970,985
NBCUniversal Media LLC 6.40%, 04/30/40		89		134,448
5.95%, 04/01/41		735		1,090,853
Nexstar Broadcasting, Inc., 5.63%, 07/15/27(b)		3,217		3,193,066
Nielsen Co. Luxembourg S.a.r.l, 5.00%, 02/01/25(b)		1,349		1,325,393
Omnicom Group, Inc./Omnicom Capital, Inc.,
3.65%, 11/01/24		805		885,900
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.00%, 08/15/27(b)		4,648		4,183,200
4.63%, 03/15/30(b)		299		270,595
Sirius XM Radio, Inc. 4.63%, 07/15/24(b)		8,075		8,276,875
5.38%, 04/15/25(b)		2,706		2,779,062
5.38%, 07/15/26(b)		2,752		2,842,100
5.00%, 08/01/27(b)		6,435		6,577,020
5.50%, 07/01/29(b)		4,240		4,463,109
TEGNA, Inc. 4.63%, 03/15/28(b)		4,459		4,102,280
5.00%, 09/15/29(b)		657		615,064
Time Warner Cable LLC 4.00%, 09/01/21		911		935,242
6.55%, 05/01/37		990		1,302,384
5.50%, 09/01/41		1,583		1,909,349
TWDC Enterprises 18 Corp. 3.70%, 12/01/42		2,383		2,650,647

Security	Par (000)		Value
Media (continued)
TWDC Enterprises 18 Corp. 4.13%, 06/01/44	USD	1,695	$	2,046,679
3.00%, 07/30/46		2,724		2,773,861
Viacom, Inc., 6.88%, 04/30/36		3,442		4,664,569
ViacomCBS, Inc.
4.38%, 03/15/43		3,795		3,968,448
5.85%, 09/01/43		1,012		1,190,848
Walt Disney Co.
3.35%, 03/24/25		13,115		14,538,477
3.70%, 10/15/25		1,846		2,083,418
6.15%, 02/15/41		64		93,374
4.75%, 09/15/44		1,915		2,450,836
2.75%, 09/01/49		4,032		3,917,834
Weibo Corp., 1.25%, 11/15/22(i)		89		82,765
Ziggo Bond Co. BV, 6.00%, 01/15/27(b)		1,779		1,805,685
				401,551,495
Metals & Mining — 0.2%
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24		200		197,625
FMG Resources August 2006 Pty Ltd.
4.75%, 05/15/22(b)		2,474		2,521,674
5.13%, 03/15/23(b)		1,681		1,727,228
5.13%, 05/15/24(b)		2,530		2,605,900
4.50%, 09/15/27(b)		358		358,132
Freeport-McMoRan, Inc.
5.00%, 09/01/27		358		359,678
5.25%, 09/01/29		358		366,950
Industrias Penoles SAB de CV, 4.15%, 09/12/29(b)		2,975		3,098,648
Minera Mexico SA de CV, 4.50%, 01/26/50(b)		1,533		1,523,898
Newmont Corp.
2.80%, 10/01/29		4,682		4,937,731
2.25%, 10/01/30		3,364		3,409,290
Novolipetsk Steel Via Steel Funding DAC,
4.70%, 05/30/26(b)		3,077		3,370,277
Nucor Corp., 3.95%, 05/01/28		2,488		2,855,897
Steel Dynamics, Inc.
2.80%, 12/15/24		3,750		3,902,677
2.40%, 06/15/25		720		741,527
Teck Resources Ltd., 6.13%, 10/01/35		1,384		1,570,837
Vedanta Resources Finance II PLC, 8.00%, 04/23/23		500		364,613
Vedanta Resources Ltd., 6.13%, 08/09/24		586		403,608
Votorantim SA, 6.75%, 04/05/21(b)		1,349		1,386,839
				35,703,029
Multiline Retail — 0.0%
Dollar General Corp.
3.88%, 04/15/27		5		5,749
4.13%, 04/03/50		2,356		2,819,220
Macy’s, Inc., 8.38%, 06/15/25(b)		1,286		1,280,200
				4,105,169
Multi-Utilities — 0.3%
Ameren Illinois Co.
3.80%, 05/15/28		3,671		4,236,314
3.70%, 12/01/47		100		115,588
3.25%, 03/15/50		3,650		4,029,522
Consumers Energy Co.
3.95%, 05/15/43		5		6,038
3.25%, 08/15/46		628		700,848
4.05%, 05/15/48		1,325		1,666,581
3.75%, 02/15/50		5,099		6,218,578
3.10%, 08/15/50		6,026		6,704,777

26

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Multi-Utilities (continued)
Consumers Energy Co.
3.50%, 08/01/51	USD	3,600	$	4,266,992
Dominion Energy Gas Holdings LLC
4.80%, 11/01/43		1,110		1,308,005
4.60%, 12/15/44		1,268		1,432,613
PG&E Corp., 5.00%, 07/01/28		6,372		6,370,088
Virginia Electric & Power Co.
2.75%, 03/15/23		6,506		6,842,466
3.50%, 03/15/27		3,975		4,507,630
4.00%, 01/15/43		5,999		7,137,410
4.00%, 11/15/46		1,554		1,841,609
3.30%, 12/01/49		1,979		2,193,169
				59,578,228
Oil, Gas & Consumable Fuels — 2.8%
Boardwalk Pipelines LP, 4.80%, 05/03/29		640		681,518
BP Capital Markets America, Inc.
3.79%, 02/06/24		7,003		7,647,684
3.80%, 09/21/25		7,158		8,083,185
3.41%, 02/11/26		1,629		1,801,636
3.12%, 05/04/26		2,440		2,666,887
BP Capital Markets PLC
3.81%, 02/10/24		4,525		4,971,726
3.54%, 11/04/24		1,889		2,080,771
Bruin E&P Partners LLC, 8.88%, 08/01/23(b)(f)(g)		2,601		52,020
Buckeye Partners LP
4.15%, 07/01/23		1,988		1,933,926
4.35%, 10/15/24		2,500		2,362,500
4.13%, 03/01/25(b)		1,160		1,112,753
3.95%, 12/01/26		358		337,343
Cameron LNG LLC
3.30%, 01/15/35(b)		7,430		8,191,838
3.40%, 01/15/38(b)		11,339		12,179,907
Cheniere Corpus Christi Holdings LLC
5.88%, 03/31/25		14,310		16,038,247
5.13%, 06/30/27		13,464		14,795,200
Cheniere Energy Partners LP
5.25%, 10/01/25		4,139		4,125,341
5.63%, 10/01/26		2,955		2,940,225
4.50%, 10/01/29(b)		896		868,000
Cheniere Energy, Inc., (4.88% Cash or 4.88% PIK) , 4.88%, 05/28/21(b)(i)(l)		16,055		16,210,345
Chesapeake Energy Corp.
6.63%, 08/15/20(f)(g)		623		14,018
6.13%, 02/15/21(f)(g)		9,090		232,886
5.38%, 06/15/21(f)(g)		425		8,500
Concho Resources, Inc., 3.75%, 10/01/27		1,707		1,818,484
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)		3,125		2,800,781
DCP Midstream Operating LP
5.38%, 07/15/25		493		489,302
5.13%, 05/15/29		358		343,458
Diamondback Energy, Inc., 3.50%, 12/01/29		11,815		11,443,654
Enbridge Energy Partners LP, 7.38%, 10/15/45		658		942,791
Enbridge, Inc., 2.90%, 07/15/22		2,018		2,093,503
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%, 01/30/26(b)		1,718		1,644,985
5.75%, 01/30/28(b)		1,351		1,296,960
Energy Transfer Operating LP
3.60%, 02/01/23		3,265		3,377,735
4.25%, 03/15/23		3,843		4,059,697
4.20%, 09/15/23		1,335		1,418,441

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Operating LP 4.90%, 02/01/24	USD	113	$	122,082
2.90%, 05/15/25		24,294		24,819,583
6.50%, 02/01/42		6,482		7,021,538
Energy Transfer Partners LP/Regency Energy Finance Corp. 5.88%, 03/01/22		11,403		12,032,146
5.00%, 10/01/22		12,080		12,860,159
Enterprise Products Operating LLC 3.90%, 02/15/24		1,928		2,112,562
6.88%, 03/01/33		2,153		2,848,236
6.65%, 10/15/34		145		195,977
4.45%, 02/15/43		6,682		7,402,692
4.85%, 03/15/44		3,040		3,521,738
5.10%, 02/15/45		3,534		4,210,416
EOG Resources, Inc., 4.15%, 01/15/26		1,116		1,284,508
Exxon Mobil Corp., 1.41%, 06/26/39	EUR	9,940		11,032,891
Gran Tierra Energy, Inc., 7.75%, 05/23/27(b)	USD	286		127,270
Great Western Petroleum LLC/Great Western Finance Corp., 9.00%, 09/30/21(b)		7,127		4,276,200
Hammerhead Resources, Inc., 9.00%, 07/10/22		3,352		3,199,586
Hess Corp., 5.60%, 02/15/41		2,000		2,100,922
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26		200		190,000
Kinder Morgan Energy Partners LP 5.80%, 03/15/35		896		1,035,289
6.50%, 02/01/37		6,083		7,619,248
6.38%, 03/01/41		2,148		2,639,606
5.00%, 03/01/43		267		296,744
Lukoil Securities BV, 3.88%, 05/06/30(b)		1,763		1,833,123
Marathon Petroleum Corp. 4.75%, 12/15/23		2,680		2,940,962
4.75%, 09/15/44		1,372		1,430,253
5.85%, 12/15/45		1,915		2,011,611
Matador Resources Co., 5.88%, 09/15/26		627		463,980
Medco Platinum Road Pte Ltd., 6.75%, 01/30/25		200		185,562
MPLX LP 3.38%, 03/15/23		2,055		2,143,012
4.88%, 12/01/24		3,250		3,609,661
4.25%, 12/01/27		2,445		2,650,788
NGPL PipeCo LLC 4.38%, 08/15/22(b)		5,395		5,564,315
4.88%, 08/15/27(b)		7,707		8,469,381
7.77%, 12/15/37(b)		1,336		1,630,584
Northwest Pipeline LLC, 4.00%, 04/01/27		10,855		11,885,463
NuStar Logistics LP, 4.80%, 09/01/20		5,090		5,090,000
Oasis Petroleum, Inc., 6.50%, 11/01/21		1,547		340,340
Occidental Petroleum Corp. 2.60%, 08/13/21		1,800		1,759,122
0.00%, 10/10/36(k)		30,220		12,692,400
Odebrecht Offshore Drilling Finance Ltd. 6.72%, 12/01/22(b)		842		694,927
(7.72% Cash or 7.72% PIK), 7.72%, 12/01/26(b)(l)		41		3,267
Odebrecht Oil & Gas Finance Ltd., 0.00%(b)(j)(k)		193		193
Parsley Energy LLC/Parsley Finance Corp., 5.63%, 10/15/27(b)		643		633,355
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b)		5,440		5,807,200
Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 06/01/22		184		188,085

27

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
PTTEP Treasury Center Co. Ltd. 2.59%, 06/10/27(b)	USD	490	$	501,331
2.59%, 06/10/27		705		721,303
Puma International Financing SA 5.13%, 10/06/24(b)		2,888		2,476,460
5.00%, 01/24/26(b)		1,709		1,422,208
QEP Resources, Inc., 6.88%, 03/01/21		575		549,125
Sabine Pass Liquefaction LLC 5.63%, 04/15/23		6,227		6,810,274
5.75%, 05/15/24		16,871		18,999,273
5.63%, 03/01/25		34,953		39,948,796
5.88%, 06/30/26		7,685		9,029,875
4.20%, 03/15/28		5,555		5,963,049
Seven Generations Energy Ltd., 5.38%, 09/30/25(b)		643		565,840
Shelf Drilling Holdings Ltd., 8.50%, 11/15/24(c)		10,789		8,091,750
SM Energy Co. 1.50%, 07/01/21(i)		2,004		1,839,453
6.13%, 11/15/22		3,475		2,536,750
10.00%, 01/15/25(b)		6,246		5,929,827
Suncor Energy, Inc. 6.80%, 05/15/38(m)		1,859		2,400,995
6.50%, 06/15/38		1,163		1,467,380
Sunoco Logistics Partners Operations LP 4.25%, 04/01/24		11,234		12,020,048
5.95%, 12/01/25		2,980		3,391,678
Sunoco LP/Sunoco Finance Corp. 4.88%, 01/15/23		1,721		1,695,185
5.50%, 02/15/26		1,394		1,352,180
6.00%, 04/15/27		1,057		1,046,430
Talos Production LLC/Talos Production Finance, Inc., 11.00%, 04/03/22		5,130		4,770,900
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.75%, 03/15/24		1,594		1,590,015
5.13%, 02/01/25		1,818		1,749,825
5.88%, 04/15/26		2,941		2,911,590
5.38%, 02/01/27		1,690		1,630,850
6.50%, 07/15/27		3,372		3,380,430
5.00%, 01/15/28		448		421,290
6.88%, 01/15/29		2,717		2,846,057
5.50%, 03/01/30(b)		597		576,475
Texas Eastern Transmission LP 3.50%, 01/15/28(b)		4,737		5,040,797
4.15%, 01/15/48(b)		3,170		3,452,717
Thaioil Treasury Center Co. Ltd., 3.75%, 06/18/50		2,470		2,446,803
TransCanada PipeLines Ltd., 5.85%, 03/15/36		1,026		1,343,244
Transcontinental Gas Pipe Line Co. LLC 7.85%, 02/01/26		6,627		8,626,066
4.00%, 03/15/28		6,240		6,985,979
3.25%, 05/15/30(b)		869		928,028
4.60%, 03/15/48		3,414		3,882,158
3.95%, 05/15/50(b)		3,100		3,303,069
Western Midstream Operating LP, (3 mo. LIBOR US + 0.85%), 2.16%, 01/13/23(a)		4,291		3,938,071
Williams Cos., Inc. 3.90%, 01/15/25		1,098		1,202,129
7.50%, 01/15/31		2,180		2,791,637
WPX Energy, Inc. 8.25%, 08/01/23		375		416,250

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
WPX Energy, Inc. 5.88%, 06/15/28	USD	558	$	536,210
Yankuang Group Cayman Ltd., 4.75%, 11/30/20		770		770,077
				518,343,101
Paper & Forest Products — 0.2%
Celulosa Arauco y Constitucion SA, 4.25%, 04/30/29(b)		1,305		1,344,150
Georgia-Pacific LLC 5.40%, 11/01/20(b)		3,718		3,777,225
3.73%, 07/15/23(b)		3,907		4,221,672
3.60%, 03/01/25(b)		1,475		1,638,942
1.75%, 09/30/25(b)		5,626		5,803,957
7.38%, 12/01/25		3,288		4,202,000
2.10%, 04/30/27(b)		2,870		2,980,454
7.75%, 11/15/29		1,275		1,903,090
2.30%, 04/30/30(b)		1,302		1,356,315
8.88%, 05/15/31		528		845,734
Inversiones CMPC SA, 4.38%, 05/15/23(b)		827		865,507
				28,939,046
Pharmaceuticals — 0.8%
Allergan Funding SCS, 3.45%, 03/15/22		14,735		15,068,055
Bausch Health Americas, Inc. 9.25%, 04/01/26(b)		3,933		4,266,912
8.50%, 01/31/27(b)		4,589		4,870,076
Bausch Health Cos., Inc. 5.50%, 11/01/25(b)		4,757		4,875,925
9.00%, 12/15/25(b)		3,992		4,300,222
5.75%, 08/15/27(b)		1,865		1,976,900
7.00%, 01/15/28(b)		1,897		1,953,910
7.25%, 05/30/29(b)		1,961		2,059,050
Bayer U.S. Finance II LLC 2.85%, 04/15/25(b)		2,800		2,962,327
4.38%, 12/15/28(b)		6,176		7,217,654
3.60%, 07/15/42(b)		2,845		2,844,452
Bristol-Myers Squibb Co. 3.90%, 02/20/28(b)		2,152		2,531,477
4.55%, 02/20/48(b)		3,279		4,450,991
Eli Lilly & Co., 1.70%, 11/01/49	EUR	3,400		3,964,976
Horizon Therapeutics USA, Inc., 5.50%, 08/01/27(b)	USD	358		372,452
Luye Pharma Group Ltd., 1.50%, 07/09/24(i)		900		865,807
Merck & Co., Inc. 3.40%, 03/07/29		4,185		4,828,815
1.45%, 06/24/30		2,501		2,498,138
2.45%, 06/24/50		3,463		3,480,660
Pfizer, Inc. 5.80%, 08/12/23		517		600,078
3.45%, 03/15/29		8,145		9,517,362
2.63%, 04/01/30		2,536		2,793,708
Pharmacia LLC, 6.60%, 12/01/28		2,164		2,975,104
Shire Acquisitions Investments Ireland DAC
2.88%, 09/23/23		4,400		4,663,219
3.20%, 09/23/26		10,055		11,156,869
Sino Biopharmaceutical Ltd., 0.00%, 02/17/25(i)(k)	EUR	924		1,070,814
Takeda Pharmaceutical Co. Ltd. 5.00%, 11/26/28	USD	12,852		15,921,634
2.00%, 07/09/40	EUR	10,410		11,628,796
Wyeth LLC, 5.95%, 04/01/37	USD	6,252		9,127,682
				144,844,065

28

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Real Estate Management & Development — 0.4%
Agile Group Holdings Ltd.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 11.29%), 7.88%, (h)(j)	USD	200	$	196,438
6.70%, 03/07/22		236		241,945
Arrow Bidco LLC, 9.50%, 03/15/24(b)		2,177		1,698,060
Central China Real Estate Ltd.
6.88%, 10/23/20		500		500,000
6.50%, 03/05/21		260		259,477
6.75%, 11/08/21		435		432,133
7.25%, 04/24/23		200		197,412
7.65%, 08/27/23		200		197,764
CFLD Cayman Investment Ltd.
8.63%, 02/28/21		581		588,989
6.90%, 01/13/23		200		196,581
8.60%, 04/08/24		719		708,889
China Aoyuan Group Ltd.
4.80%, 02/18/21		800		795,000
7.95%, 02/19/23		2,165		2,246,642
6.35%, 02/08/24		2,100		2,081,406
China Evergrande Group
9.50%, 04/11/22		200		187,810
11.50%, 01/22/23		400		378,148
4.25%, 02/14/23(i)	HKD	28,000		3,403,813
10.00%, 04/11/23	USD	400		361,624
7.50%, 06/28/23		800		669,750
12.00%, 01/22/24		900		825,921
10.50%, 04/11/24		200		172,625
China SCE Group Holdings Ltd.
7.25%, 04/19/23		1,000		992,500
7.38%, 04/09/24		636		624,671
CIFI Holdings Group Co. Ltd.
7.63%, 02/28/23		200		210,110
6.45%, 11/07/24		200		203,000
6.00%, 07/16/25		200		197,000
Country Garden Holdings Co. Ltd.
6.50%, 04/08/24		200		212,125
5.40%, 05/27/25		965		1,001,187
6.15%, 09/17/25		200		211,593
Esic Sukuk Ltd., 3.94%, 07/30/24		1,500		1,463,906
Fantasia Holdings Group Co. Ltd.
8.38%, 03/08/21		510		510,159
11.75%, 04/17/22		230		237,758
7.95%, 07/05/22		530		510,788
12.25%, 10/18/22		200		208,656
10.88%, 01/09/23		200		201,500
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)		4,330		4,091,850
Forestar Group, Inc.
8.00%, 04/15/24(b)		9,456		9,786,960
5.00%, 03/01/28(b)		3,502		3,431,960
Future Land Development Holdings Ltd.
6.50%, 09/12/20		300		300,281
7.50%, 01/22/21		700		705,250
Gemdale Ever Prosperity Investment Ltd.,
5.60%, 06/14/22		200		202,243
Global Prime Capital Pte Ltd., 5.95%, 01/23/25		200		189,000
Greenland Global Investment Ltd.
5.60%, 11/13/22		200		196,740
6.75%, 09/26/23		200		199,084
Hopson Capital International Group Co. Ltd.,
6.00%, 02/17/21		800		789,000

Security	Par (000)		Value
Real Estate Management & Development (continued)
Hopson Development Holdings Ltd., 7.50%, 06/27/22	USD	200	$	200,302
Howard Hughes Corp., 5.38%, 03/15/25(b)		3,322		3,091,453
Jingrui Holdings Ltd., 9.45%, 04/23/21		700		676,375
Kaisa Group Holdings Ltd.
6.75%, 02/18/21		555		552,919
8.50%, 06/30/22		254		251,219
11.95%, 10/22/22		900		937,969
11.50%, 01/30/23		200		204,442
10.88%, 07/23/23		200		199,688
11.95%, 11/12/23		215		220,758
KWG Group Holdings Ltd., 7.40%, 03/05/24		200		203,776
Logan Group Co. Ltd., 5.75%, 01/14/25		236		234,730
Logan Property Holdings Co. Ltd., 6.50%, 07/16/23		200		204,750
Longfor Group Holdings Ltd., 3.95%, 09/16/29		620		641,894
MAF Global Securities Ltd., 4.75%, 05/07/24		1,073		1,127,991
New Metro Global Ltd., 6.80%, 08/05/23		200		201,014
No Va Land Investment Group Corp., 5.50%, 04/27/23(i)		1,285		1,277,151
NWD MTN Ltd., 4.13%, 07/18/29		1,200		1,178,250
Powerlong Real Estate Holdings Ltd.
7.13%, 11/08/22		620		626,330
6.95%, 07/23/23		200		200,038
Realogy Group LLC/Realogy Co-Issuer Corp.,
9.38%, 04/01/27(b)		410		382,366
Redsun Properties Group Ltd.
11.50%, 03/04/21		800		814,750
10.50%, 10/03/22		200		201,010
RKPF Overseas 2019 A Ltd., 7.88%, 02/01/23		300		313,578
Ronshine China Holdings Ltd.
11.25%, 08/22/21		265		277,939
8.75%, 10/25/22		730		758,226
8.95%, 01/22/23		705		736,284
7.35%, 12/15/23		200		200,981
Scenery Journey Ltd.
11.50%, 10/24/22		665		630,520
12.00%, 10/24/23		400		375,208
Seazen Group Ltd., 6.45%, 06/11/22		200		201,243
Shimao Group Holdings Ltd., 5.60%, 07/15/26		200		210,688
Shui On Development Holding Ltd., 5.75%, 11/12/23		300		293,937
Singha Estate PCL, 2.00%, 07/20/22(i)		1,000		984,677
Sunac China Holdings Ltd.
8.35%, 04/19/23		200		206,000
7.95%, 10/11/23		200		204,375
7.50%, 02/01/24		200		199,875
Times China Holdings Ltd.
5.75%, 04/26/22		500		500,030
6.75%, 07/16/23		295		299,333
Vanke Real Estate Hong Kong Co. Ltd., 3.15%, 05/12/25		1,650		1,691,250
Wanda Group Overseas Ltd., 7.50%, 07/24/22		840		782,233
Yango Justice International Ltd.
6.80%, 03/11/21		795		787,050
9.25%, 04/15/23		200		199,028
Yanlord Land HK Co. Ltd.
6.75%, 04/23/23		200		201,625
6.80%, 02/27/24		680		670,013
Yuzhou Properties Co. Ltd.
8.50%, 02/04/23		200		208,000
6.00%, 10/25/23		620		598,688

29

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Real Estate Management & Development (continued)
Yuzhou Properties Co. Ltd.
8.50%, 02/26/24	USD	900	$	919,125
8.38%, 10/30/24		200		201,813
Zhenro Properties Group Ltd.
5.60%, 02/28/21		325		322,156
9.15%, 05/06/23		910		921,293
8.30%, 09/15/23		200		195,984
				70,738,075
Road & Rail — 0.6%
Burlington Northern Santa Fe LLC
6.15%, 05/01/37		889		1,298,645
5.75%, 05/01/40		4,135		5,833,284
5.05%, 03/01/41		399		527,339
4.40%, 03/15/42		98		122,350
Canadian Pacific Railway Co., 2.05%, 03/05/30		913		934,430
CSX Corp.
4.25%, 03/15/29		4,914		5,839,665
6.15%, 05/01/37		75		103,896
5.50%, 04/15/41		285		391,901
4.10%, 03/15/44		1,488		1,819,789
4.30%, 03/01/48		7,631		9,522,143
4.75%, 11/15/48		3,141		4,170,135
4.50%, 03/15/49		1,303		1,671,824
4.25%, 11/01/66		1,775		2,151,159
Norfolk Southern Corp.
3.65%, 08/01/25		3,515		3,967,906
2.90%, 06/15/26		6,045		6,678,886
2.55%, 11/01/29		365		388,026
4.84%, 10/01/41		455		590,438
4.45%, 06/15/45		35		43,611
3.40%, 11/01/49		1,244		1,355,003
4.05%, 08/15/52		6,058		7,244,045
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.25%, 01/17/23(b)		2,565		2,728,429
2.70%, 03/14/23(b)		3,425		3,505,330
2.70%, 11/01/24(b)		1,580		1,625,538
3.95%, 03/10/25(b)		2,210		2,395,507
4.00%, 07/15/25(b)		6,010		6,573,482
4.45%, 01/29/26(b)		950		1,047,231
3.40%, 11/15/26(b)		839		885,024
3.35%, 11/01/29(b)		930		947,975
Ryder System, Inc.
2.50%, 09/01/22		345		355,208
3.65%, 03/18/24		1,485		1,586,439
2.50%, 09/01/24		3,710		3,826,600
4.63%, 06/01/25		7,420		8,272,288
Union Pacific Corp.
2.75%, 03/01/26		4,737		5,154,441
2.15%, 02/05/27		1,214		1,285,860
3.38%, 02/01/35		2,074		2,334,118
3.60%, 09/15/37		4,179		4,646,735
4.50%, 09/10/48		7		9,018
3.95%, 08/15/59		2,134		2,500,526
3.84%, 03/20/60		6,449		7,452,664
3.75%, 02/05/70		700		779,736
Union Pacific Railroad Co. Pass-Through Trust,
Series 2014-1, 3.23%, 05/14/26		2,583		2,842,792
				115,409,416
Semiconductors & Semiconductor Equipment — 1.3%
Analog Devices, Inc.
2.95%, 04/01/25		5,734		6,211,786

Security	Par (000)		Value
Semiconductors & Semiconductor Equipment (continued)
Analog Devices, Inc.
3.50%, 12/05/26	USD	1,332	$	1,488,196
Applied Materials, Inc.
5.10%, 10/01/35		140		195,110
4.35%, 04/01/47		1,720		2,209,838
2.75%, 06/01/50		6,670		6,812,062
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27		24,486		26,459,968
Broadcom, Inc.
2.25%, 11/15/23(b)		10,401		10,746,439
3.63%, 10/15/24(b)		3,113		3,381,242
4.70%, 04/15/25(b)		21,345		24,050,999
4.25%, 04/15/26(b)		21,377		23,790,573
4.11%, 09/15/28(b)		5,190		5,654,627
Intel Corp.
4.10%, 05/19/46		1,713		2,137,882
3.73%, 12/08/47		1,473		1,747,721
4.75%, 03/25/50		7,444		10,494,253
KLA Corp.
4.10%, 03/15/29		7,170		8,461,585
5.00%, 03/15/49		980		1,278,659
3.30%, 03/01/50		11,466		11,843,052
Lam Research Corp.
3.75%, 03/15/26		7,638		8,731,309
1.90%, 06/15/30		2,535		2,591,150
4.88%, 03/15/49		2,870		3,979,707
2.88%, 06/15/50		3,261		3,359,463
3.13%, 06/15/60		1,024		1,073,895
NVIDIA Corp.
3.20%, 09/16/26		11,156		12,636,619
2.85%, 04/01/30		12,173		13,542,324
3.50%, 04/01/50		7,834		8,950,776
NXP BV/NXP Funding LLC
4.13%, 06/01/21(b)		11,201		11,535,179
4.63%, 06/15/22(b)		2,582		2,750,634
4.63%, 06/01/23(b)		8,885		9,744,831
5.55%, 12/01/28(b)		2,008		2,439,643
NXP BV/NXP Funding LLC/NXP USA, Inc.
2.70%, 05/01/25(b)		911		954,986
3.15%, 05/01/27(b)		1,355		1,436,410
4.30%, 06/18/29(b)		6,513		7,389,989
QUALCOMM, Inc.
4.80%, 05/20/45		4,845		6,335,271
4.30%, 05/20/47		3,969		4,950,618
Rohm Co. Ltd., 0.00%, 12/05/24(i)(k)	JPY	30,000		278,537
Texas Instruments, Inc., 1.75%, 05/04/30	USD	1,423		1,444,069
				251,089,402
Software — 0.6%
Autodesk, Inc.
4.38%, 06/15/25		405		462,048
3.50%, 06/15/27		13,495		15,223,961
Microsoft Corp.
4.20%, 11/03/35		169		219,959
3.45%, 08/08/36		1,229		1,485,200
3.75%, 02/12/45		5,451		6,822,717
3.70%, 08/08/46		8,202		10,213,828
2.53%, 06/01/50		4,919		5,130,553
Oracle Corp.
2.50%, 04/01/25		15,106		16,178,860
2.65%, 07/15/26		2,217		2,398,086
3.90%, 05/15/35		9,232		11,135,680
3.85%, 07/15/36		1,295		1,511,190

30

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Software (continued)
Oracle Corp.
3.80%, 11/15/37	USD	6,303	$	7,272,920
3.60%, 04/01/40		5,518		6,263,428
5.38%, 07/15/40		2,370		3,251,106
4.13%, 05/15/45		1,664		1,986,329
3.60%, 04/01/50		23,515		26,169,364
				115,725,229
Specialty Retail — 0.2%
Home Depot, Inc., 2.95%, 06/15/29		17,446		19,619,633
Lowe’s Cos., Inc.
4.00%, 04/15/25		13,350		15,213,420
4.38%, 09/15/45		1,553		1,870,334
4.05%, 05/03/47		2,419		2,851,283
4.55%, 04/05/49		1,762		2,217,470
				41,772,140
Technology Hardware, Storage & Peripherals — 0.5%
Apple Inc.
3.85%, 05/04/43		8,951		11,080,388
3.45%, 02/09/45		5,020		5,858,745
4.25%, 02/09/47		1,230		1,622,958
2.95%, 09/11/49		2,797		3,051,051
Dell International LLC/EMC Corp.
6.02%, 06/15/26(b)		335		384,069
4.90%, 10/01/26(b)		2,737		3,020,011
8.10%, 07/15/36(b)		7,500		9,890,530
Hewlett Packard Enterprise Co.
3.60%, 10/15/20		58		58,364
4.40%, 10/15/22		22,801		24,409,169
4.45%, 10/02/23		6,096		6,651,094
4.65%, 10/01/24		14,885		16,714,432
HP, Inc., 6.00%, 09/15/41		285		334,150
Innolux Corp., Series 1, 0.00%, 01/22/25(i)(k)		800		681,000
Seagate HDD Cayman, 4.75%, 01/01/25(b)		3,218		3,169,721
				86,925,682
Textiles, Apparel & Luxury Goods — 0.1%
Hanesbrands, Inc.
4.63%, 05/15/24(b)		3,828		3,808,860
4.88%, 05/15/26(b)		537		541,027
NIKE, Inc., 2.75%, 03/27/27		10,798		11,894,675
Under Armour, Inc., 3.25%, 06/15/26		358		316,007
William Carter Co., 5.63%, 03/15/27(b)		1,700		1,751,000
				18,311,569
Thrifts & Mortgage Finance — 0.1%
Mongolian Mortgage Corp. Hfc LLC, 9.75%, 01/29/22		800		697,000
Nationstar Mortgage Holdings, Inc.
8.13%, 07/15/23(b)		2,745		2,816,919
9.13%, 07/15/26(b)		5,946		6,284,149
				9,798,068
Tobacco — 0.6%
Altria Group, Inc.
4.00%, 01/31/24		5,847		6,438,014
4.40%, 02/14/26		8,822		10,158,117
4.80%, 02/14/29		7,369		8,603,598
3.13%, 06/15/31	EUR	8,450		10,328,390
5.80%, 02/14/39	USD	12,869		15,914,668
BAT Capital Corp.
4.70%, 04/02/27		5,227		5,974,138
4.91%, 04/02/30		3,175		3,713,226
4.54%, 08/15/47		4,377		4,752,467

Security	Par (000)		Value
Tobacco (continued)
BAT Capital Corp. 4.76%, 09/06/49	USD	811	$	900,536
5.28%, 04/02/50		1,965		2,378,504
Philip Morris International, Inc. 2.88%, 05/01/24		53		56,930
3.25%, 11/10/24		1,847		2,044,678
1.45%, 08/01/39	EUR	11,250		11,753,196
Reynolds American, Inc. 4.85%, 09/15/23	USD	335		373,156
4.45%, 06/12/25		7,809		8,798,731
5.85%, 08/15/45		10,533		12,946,700
				105,135,049
Trading Companies & Distributors — 0.2%
American Builders & Contractors Supply Co., Inc. 5.88%, 05/15/26(b)		1,723		1,705,770
4.00%, 01/15/28(b)		2,286		2,221,466
Beacon Roofing Supply, Inc., 4.88%, 11/01/25(b)		3,424		3,055,920
H&E Equipment Services, Inc., 5.63%, 09/01/25		5,888		5,945,644
HD Supply, Inc., 5.38%, 10/15/26(b)		2,094		2,138,498
Herc Holdings, Inc., 5.50%, 07/15/27(b)		3,403		3,410,316
United Rentals North America, Inc. 4.63%, 10/15/25		2,451		2,463,255
5.88%, 09/15/26		3,421		3,585,208
6.50%, 12/15/26		3,779		3,967,950
5.50%, 05/15/27		3,428		3,530,840
3.88%, 11/15/27		4,513		4,501,717
4.88%, 01/15/28		7,036		7,211,900
5.25%, 01/15/30		448		462,560
				44,201,044
Transportation Infrastructure — 0.0%
Adani Ports & Special Economic Zone Ltd. 4.00%, 07/30/27		203		196,910
4.38%, 07/03/29		1,275		1,251,094
Rumo Luxembourg S.a.r.l, 5.88%, 01/18/25(b)		728		768,040
				2,216,044
Wireless Telecommunication Services — 0.6%
America Movil SAB de CV, 2.88%, 05/07/30		5,727		6,045,135
Bharti Airtel Ltd., 1.50%, 02/17/25(i)		1,900		2,178,446
Digicel Group 0.5 Ltd.
(7.00% Cash or 7.00% PIK), 7.00%, (b)(c)(i)(j)(l)		164		11,485
(5.00% Cash or 8.00% PIK), 8.00%, 04/01/25(b)(l)		990		217,948
Digicel Ltd., 6.75%, 03/01/23(b)(f)(g)		233		116,512
Kenbourne Invest SA, 6.88%, 11/26/24(b)		3,075		3,097,044
Millicom International Cellular SA, 6.63%, 10/15/26(b)		1,100		1,167,904
Sprint Corp. 7.88%, 09/15/23		312		351,390
7.13%, 06/15/24		156		176,146
7.63%, 02/15/25		4,480		5,168,800
7.63%, 03/01/26		4,516		5,330,551
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(b)		5,161		5,223,798
T-Mobile USA, Inc. 3.50%, 04/15/25(b)		11,721		12,757,019
1.50%, 02/15/26(b)		20,460		20,458,568
3.75%, 04/15/27(b)		22,882		25,357,146
3.88%, 04/15/30(b)		3,623		4,032,254
2.55%, 02/15/31(b)		8,435		8,464,691

31

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Wireless Telecommunication Services (continued)
Vodafone Group PLC
4.13%, 05/30/25	USD	1,336	$	1,514,694
5.00%, 05/30/38		288		361,963
4.38%, 02/19/43		4,046		4,708,823
5.25%, 05/30/48		10,959		14,311,804
				121,052,121
Total Corporate Bonds — 39.2% (Cost: $7,084,183,634)				7,358,976,479
Floating Rate Loan Interests(a)
Air Freight & Logistics — 0.0%
XPO Logistics, Inc., Refinancing Term Loan (2018), (1 mo. LIBOR US + 2.00%, 0.00% Floor), 4.40%, 02/24/25		6,661		6,479,043
Airlines — 0.2%
Allegiant Travel Co., Replacement Term Loan, (3 mo. LIBOR US + 3.00%, 0.00% Floor),
3.00%, 02/05/24		14,140		12,558,178
Gol Luxco SA, Term Loan, (6 mo. FIXED US + 6.50%, 0.00% Floor), 0.00%, 08/31/20(c)(n)		7,462		7,163,520
Kestrel Bidco, Inc. (AKA WestJet Airlines), Term Loan, (3 mo. LIBOR US + 3.00%, 1.00% Floor), 4.00%, 12/11/26		14,693		11,742,337
				31,464,035
Biotechnology — 0.0%
Grifols Worldwide Operations Ltd., Dollar Tranche B Term Loan, (1 wk. LIBOR US + 2.00%, 0.00% Floor), 3.59%, 11/15/27		7,221		6,940,676
Building Products — 0.0%
JELD-WEN, Inc., Term B-4 Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 4.33%, 12/14/24		2,897		2,718,928
TAMKO Building Products LLC, Initial Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 5.55%, 05/31/26(c)		3,775		3,623,498
				6,342,426
Capital Markets — 0.1%
LSTAR Securities Financing Vehicle LLC, Loan, (1 mo. LIBOR US + 2.00%, 0.00% Floor), 3.66%, 05/02/22(c)		21,774		21,120,493
Commercial Services & Supplies — 0.1%
621 17th Street Operating Co. LLC (633 17th Street Operating Co. LLC), Loan, (1 mo. LIBOR US + 2.90%, 0.00% Floor), 2.90%, 05/15/21(c)		8,600		7,740,000
KAR Auction Services, Inc., Tranche B-6 Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.50%, 09/19/26		1,072		1,014,411
				8,754,411
Construction & Engineering — 0.0%
PLH Infrastructure Services, Inc., Term Loan, (3 mo. LIBOR US + 6.00%, 0.00% Floor), 7.00%, 08/07/23(c)		2,582		2,143,044
Ply Gem Midco, Inc., Initial Term Loan, (1 mo. LIBOR US + 3.75%, 0.00% Floor), 5.43%, 04/12/25		2,341		2,221,196
				4,364,240

Security	Par (000)		Value
Construction Materials — 0.0%
Advanced Drainage Systems, Inc., Initial Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.44%, 09/24/26	USD	1,101	$	1,069,246
Consumer Finance — 0.0%
Crédito Real SAB de CV, SOFOM, ENR (Marevalley Corp.), Tranche A Loan, (3 mo. LIBOR US + 3.75%, 0.00% Floor), 3.75%, 02/21/23(c)		815		725,350
Diversified Financial Services — 0.2%
18 Fremont Street Acquisition LLC, Term Loan, (3 mo. LIBOR US + 8.00%, 1.50% Floor), 10.03%, 08/09/25		12,000		10,485,238
BSREP II Houston Office 1HC Owner LLC, Mezzanine Loan, (1 mo. LIBOR US + 2.10%, 0.00% Floor), 4.25%, 01/09/21		10,333		10,332,936
Connect Finco S.a.r.l (AKA Inmarsat), Initial Term Loan, (1 mo. LIBOR US + 4.50%, 1.00% Floor), 6.14%, 12/12/26		2,529		2,372,214
Intelsat Jackson Holdings SA
DIP Term Loan, (3 mo. LIBOR US + 5.50%, 1.00% Floor), 6.50%, 07/13/21		1,934		1,959,631
Tranche B-3 Term Loan, (1 mo. PRIME US + 4.75%, 1.00% Floor), 5.68%, 11/27/23		1,275		1,266,241
Tranche B-4 Term Loan, (1 mo. PRIME US + 5.50%, 1.00% Floor), 8.75%, 01/02/24		1,459		1,454,683
Pretium Mortgage Credit Partners I LP, Term Loan B1, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.00%, 10/21/20(c)		5,119		5,068,034
RNTR-1 LLC (AKA Seer Sylvan), Initial Term Loan, (1 mo. LIBOR US + 2.38%, 0.25% Floor), 4.49%, 12/20/21(c)		7,763		7,588,198
Stars Group Holdings BV, USD Term Loan, (3 mo. LIBOR US + 3.50%, 0.00% Floor), 4.95%, 07/10/25		3,267		3,244,208
				43,771,383
Electronic Equipment, Instruments & Components — 0.0%
Robertshaw U.S. Holding Corp. (FKA Fox U.S. Bidco Corp.), Initial Term Loan (Second Lien), (6 mo. LIBOR US + 8.00%, 1.00% Floor), 10.12%, 02/28/26(c)		1,795		969,300
Equity Real Estate Investment Trusts (REITs) — 0.1%
VICI Properties 1 LLC, Term B Loan, (1 mo. LIBOR US + 1.75%, 0.00% Floor), 3.65%, 12/22/24		8,362		7,775,149
Food Products — 0.0%
JBS USA Lux SA (FKA JBS USA LLC), New Term Loan, (3 mo. LIBOR US + 2.00%, 0.00% Floor), 4.54%, 05/01/26		3,350		3,192,596
Health Care Providers & Services — 0.1%
Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 4.15%, 02/16/23		15,108		14,762,770
Select Medical Corp., Tranche B Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 2.67%, 03/06/25		1,124		1,065,380
				15,828,150

32

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Hotels, Restaurants & Leisure — 0.2%
Aimbridge Acquisition Co., Inc., Initial Term Loan (2019) (First Lien), (1 mo. LIBOR US + 3.75%, 0.00% Floor), 5.41%, 02/01/26	USD	3,923	$	3,393,826
Caesars Resort Collection LLC, 4.50%, 06/19/25(o)		2,203		2,066,700
DuPont Hotel Project Owner LLC, Loan, (1 mo. LIBOR US + 2.50%, 1.00% Floor), 4.91%, 04/01/24(c)		12,000		10,800,000
Golden Nugget, Inc. (AKA Landry’s, Inc.), Initial B Term Loan, (2 mo. LIBOR US + 2.50%, 0.75% Floor), 4.14%, 10/04/23		6,531		5,159,179
PCI Gaming Authority, Term B Facility Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 5.05%, 05/31/26		6,597		6,266,846
Spectacle Gary Holdings LLC, Closing Date Term Loan, (3 mo. LIBOR US + 9.00%, 2.00% Floor), 11.00%, 12/23/25(c)		13,888		12,777,495
				40,464,046
Machinery — 0.0%
Douglas Dynamics LLC, 2020 Term B Loan, (1 mo. LIBOR US + 3.75%, 1.00% Floor), 4.75%, 06/08/26(c)		1,288		1,258,508
Gates Global LLC, Initial B-2 Dollar Term Loan, (1 mo. LIBOR US + 2.75%, 1.00% Floor), 3.75%, 03/31/24		981		942,780
				2,201,288
Media — 0.1%
Airbnb, Inc., Initial Term Loan (First Lien), (3 mo. LIBOR US + 7.50%, 1.00% Floor), 8.00%, 04/17/25(c)		3,824		3,957,840
Burlingame Point LLC, Construction Loan,
(3 mo. LIBOR US + 3.10%, 1.75% Floor),
5.58%, 05/09/23(c)		9,134		8,951,707
Charter Communications Operating LLC (AKA CCO Safari LLC), Term A-4 Loan, (1 mo. LIBOR US + 1.25%, 0.00% Floor), 1.25%, 02/01/25(c)		4,292		4,163,505
CSC Holdings LLC (FKA CSC Holdings, Inc. (Cablevision)), September 2019 Initial Term Loan, (1 mo. LIBOR US + 2.50%, 0.00% Floor), 1.00%, 04/15/27		4,538		4,295,281
Lamar Media Corp., Term B Loan, (1 mo. LIBOR US + 1.50%, 0.00% Floor), 1.67%, 02/06/27		477		465,242
				21,833,575
Metals & Mining — 0.0%
Samarco Mineracao SA, 3.90%, 12/02/19(f)(g)		1,122		426,433
Zekelman Industries, Inc. (FKA JMC Steel Group, Inc.), 2020 Term Loan, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 2.42%, 01/24/27		1,372		1,311,557
				1,737,990
Multi-Utilities — 0.1%
PG&E Corp., Loan, (3 mo. LIBOR US + 4.50%, 1.00% Floor), 2.25%, 11/26/21		7,799		7,652,769
Oil, Gas & Consumable Fuels — 0.2%
BCP Raptor II LLC, Initial Term Loan, (1 mo. LIBOR US + 4.75%, 0.00% Floor), 4.92%, 11/03/25		9,452		6,096,237
Buckeye Partners LP, Initial Term Loan, (1 mo. LIBOR US + 2.75%, 0.00% Floor), 2.92%, 11/01/26		11,607		11,102,010

Security	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
California Resources Corp.
Initial Loan, (3 mo. LIBOR US + 4.75%, 1.00% Floor), 6.55%, 12/31/22		USD 8,708	$	2,971,605
Loan, (3 mo. LIBOR US + 10.38%, 1.00% Floor), 12.42%, 12/31/21		7,760		349,200
Chesapeake Energy Corp., Class A Term Loan, (1 mo. LIBOR US + 8.00%, 1.00% Floor), 9.00%, 06/23/24		15,648		8,975,223
				29,494,275
Real Estate Management & Development — 0.1%
BRE Park Avenue Tower Owner LLC, Mezzanine A Loan, (1 mo. LIBOR US + 2.05%, 0.00% Floor), 2.05%, 03/09/24(c)		16,472		16,333,572
Road & Rail — 0.0%
Genesee & Wyoming, Inc., Initial Term Loan, (3 mo. LIBOR US + 2.00%, 0.00% Floor), 3.97%, 12/30/26		4,247		4,079,754
Software — 0.1%
Interface Security Systems LLC, Initial Term Loan, (3 mo. LIBOR US + 7.00%, 1.75% Floor), 9.19%, 08/07/23(c)		5,579		5,363,001
Playtika Holding Corp., Term B Loan, (3 mo. LIBOR US + 6.00%, 1.00% Floor), 7.07%, 12/10/24		11,116		11,088,514
				16,451,515
Technology Hardware, Storage & Peripherals — 0.1%
Aligned Energy Data Centers (SLC) Propco LLC, Term Loan, (1 mo. LIBOR US + 3.50%, 0.00% Floor), 3.50%, 10/09/23(c)		11,988		11,687,991
Everi Payments, Inc.
Term B Loan, (3 mo. LIBOR US + 2.75%, 1.00% Floor), 4.70%, 05/09/24		806		737,239
Term Loan, (3 mo. LIBOR US + 10.50%, 1.00% Floor), 11.50%, 05/09/24(c)		738		738,000
				13,163,230
Thrifts & Mortgage Finance — 0.1%
Caliber Home Loans, Inc.
Term Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 0.00%, 04/24/21(c)		5,968		5,938,160
Term Loan, (1 mo. LIBOR US + 3.25%, 0.00% Floor), 0.00%, 04/24/21(c)		6,578		6,545,472
Roundpoint Mortgage Servicing Corp., Closing Date Term Loan, (1 mo. LIBOR US + 3.38%, 0.00% Floor), 3.38%, 08/27/20(c)		9,496		9,496,025
				21,979,657
Trading Companies & Distributors — 0.0%
Foundation Building Materials Holding Company LLC, Term Loan, (1 mo. LIBOR US + 3.00%, 0.00% Floor), 5.11%, 08/13/25		3,950		3,796,793
Total Floating Rate Loan Interests — 1.8% (Cost: $378,350,225)				337,984,962
Foreign Agency Obligations
Brazil — 0.1%
Banco do Brasil SA
5.38%, 01/15/21(b)		1,204		1,223,565
5.88%, 01/26/22(b)		1,244		1,281,009
Centrais Eletricas Brasileiras SA
5.75%, 10/27/21(b)		365		376,520

33

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Brazil (continued)
Centrais Eletricas Brasileiras SA 3.63%, 02/04/25(b)	USD	3,660	$	3,577,650
Petrobras Global Finance BV 5.75%, 02/01/29		2,902		2,973,643
5.09%, 01/15/30		2,902		2,890,392
6.75%, 06/03/50		4,263		4,384,496
				16,707,275
Chile — 0.0%
Corp Nacional del Cobre de Chile, 3.75%, 01/15/31(b)		730		793,875
Empresa de Transporte de Pasajeros Metro SA, 3.65%, 05/07/30(b)		1,110		1,194,083
				1,987,958
China — 0.1%
Chengdu Xingcheng Investment Group Co. Ltd., 2.50%, 03/20/21	EUR	800		886,718
China Construction Bank Corp.
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 1.88%), 4.25%, 02/27/29(h)	USD	805		859,841
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.15%), 2.45%, 06/24/30(h)		2,950		2,938,490
China Minmetals Corp., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.72%), 3.75%(h)(j)		339		342,072
China Resources Land Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 5.14%), 3.75%(h)(j)		1,450		1,467,211
Chinalco Capital Holdings Ltd. 4.25%, 04/21/22		1,025		1,035,891
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 5.79%), 4.10%, (h)(j)		735		737,756
CITIC Ltd., 2.85%, 02/25/30		1,140		1,166,363
Franshion Brilliant Ltd., 4.25%, 07/23/29		1,000		1,000,625
Guangxi Financial Investment Group Co. Ltd., 5.75%, 01/23/21		500		482,188
Huarong Finance 2019 Co. Ltd. 3.25%, 11/13/24		2,300		2,317,683
4.50%, 05/29/29		1,300		1,384,906
3.88%, 11/13/29		1,600		1,634,500
Huarong Finance II Co. Ltd., 5.00%, 11/19/25		1,550		1,687,562
Inner Mongolia High-Grade High Way Construction And Development Co. Ltd., 4.38%, 12/04/20		300		298,824
Leader Goal International Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 6.92%), 4.25%(h)(j)		700		707,000
Rongshi International Finance Ltd., 3.75%, 05/21/29		1,945		2,149,225
Sino-Ocean Land Treasure IV Ltd. 5.25%, 04/30/22		480		491,510
4.75%, 08/05/29		715		710,084
Sinopec Group Overseas Development 2018 Ltd., 2.15%, 05/13/25(b)		2,345		2,411,997
Sunny Express Enterprises Corp., 3.13%, 04/23/30		1,385		1,451,238
				26,161,684
Colombia — 0.1%
Ecopetrol SA 5.38%, 06/26/26		11,184		11,757,739

Security	Par (000)		Value
Colombia (continued)
Ecopetrol SA 6.88%, 04/29/30	USD	2,198	$	2,519,457
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b)		1,400		1,398,688
Grupo Energia Bogota SA ESP, 4.88%, 05/15/30(b)		1,525		1,608,875
				17,284,759
Hong Kong — 0.0%
Nanyang Commercial Bank Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.18%), 3.80%, 11/20/29(h)		1,750		1,754,922
India — 0.0%
Greenko Dutch BV, 5.25%, 07/24/24		200		197,813
Greenko Investment Co., 4.88%, 08/16/23		200		194,563
Greenko Solar Mauritius Ltd., 5.55%, 01/29/25		200		196,640
Oil India Ltd., 5.13%, 02/04/29		880		936,375
Power Finance Corp. Ltd. 3.75%, 06/18/24		1,060		1,067,619
3.75%, 12/06/27		1,130		1,080,562
4.50%, 06/18/29		893		884,907
REC Ltd. 4.75%, 05/19/23		725		748,040
4.63%, 03/22/28		670		675,862
				5,982,381
Indonesia — 0.0%
Pertamina Persero PT, 4.18%, 01/21/50		2,800		2,808,792
Kuwait — 0.1%
Equate Petrochemical BV, 4.25%, 11/03/26		879		933,938
MEGlobal Canada ULC 5.00%, 05/18/25(b)		3,035		3,250,295
5.00%, 05/18/25		3,400		3,656,462
5.88%, 05/18/30(b)		1,770		2,003,419
5.88%, 05/18/30		1,350		1,523,704
				11,367,818
Malaysia — 0.1%
1MDB Energy Ltd., 5.99%, 05/11/22		1,500		1,554,374
Petronas Capital Ltd. 3.50%, 04/21/30(b)		2,628		2,912,186
3.50%, 04/21/30		1,300		1,440,579
4.55%, 04/21/50(b)		1,144		1,453,898
4.55%, 04/21/50		2,490		3,164,516
4.80%, 04/21/60(b)		1,294		1,769,894
				12,295,447
Mexico — 0.1%
Petroleos Mexicanos 5.50%, 01/21/21		600		600,188
4.25%, 01/15/25		3,372		3,063,462
4.50%, 01/23/26		6,952		6,065,620
5.95%, 01/28/31(b)		310		254,696
(3 mo. LIBOR US + 3.65%), 3.97%, 03/11/22(a)		2,287		2,204,668
				12,188,634
Morocco — 0.0%
OCP SA, 4.50%, 10/22/25		1,171		1,217,840
Qatar — 0.0%
Ooredoo International Finance Ltd., 5.00%, 10/19/25		878		1,007,505

34

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Saudi Arabia — 0.0%
SABIC Capital II BV
4.00%, 10/10/23	USD		1,273	$	1,357,336
4.00%, 10/10/23(b)			1,864		1,987,490
					3,344,826
Singapore — 0.0%
BOC Aviation Ltd.
3.25%, 04/29/25(b)			2,933		2,996,854
3.00%, 09/11/29			2,000		1,977,500
					4,974,354
United Arab Emirates — 0.1%
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, 11/02/47			1,100		1,303,844
DP World Crescent Ltd., 3.91%, 05/31/23			2,019		2,097,236
MDGH — GMTN BV
2.50%, 11/07/24(b)			5,309		5,468,270
2.88%, 11/07/29(b)			1,779		1,864,614
3.70%, 11/07/49			1,875		1,983,399
					12,717,363
United States — 0.0%
Citgo Holding, Inc., 9.25%, 08/01/24(b)			1,775		1,766,125
Total Foreign Agency Obligations — 0.7% (Cost: $126,693,217)					133,567,683
Foreign Government Obligations
Brazil — 0.1%
Federative Republic of Brazil, 2.88%, 06/06/25			10,638		10,489,068
Cayman Islands — 0.0%
People’s Republic of China, 3.30%, 07/04/23	CNH		3,500		507,122
China — 0.1%
People’s Republic of China, 3.29%, 05/23/29	CNY		159,300		23,023,535
Colombia — 0.3%
Colombian TES
6.25%, 11/26/25	COP		12,296,000		3,530,667
7.25%, 10/18/34			34,310,100		9,432,721
Republic of Colombia
3.88%, 04/25/27	USD		16,282		17,253,832
4.50%, 03/15/29			10,000		10,943,750
3.13%, 04/15/31			3,198		3,175,614
5.20%, 05/15/49			7,440		8,712,240
4.13%, 05/15/51			3,193		3,212,956
					56,261,780
Egypt — 0.0%
Arab Republic of Egypt
5.63%, 04/16/30	EUR		2,767		2,799,781
6.38%, 04/11/31(b)			2,459		2,555,473
8.88%, 05/29/50(b)	USD		3,995		3,945,062
					9,300,316
Hungary — 0.1%
Republic of Hungary, 5.38%, 03/25/24			8,710		9,885,850
Indonesia — 0.4%
Perusahaan Penerbit SBSN Indonesia III
2.80%, 06/23/30(b)			9,130		9,107,175
3.80%, 06/23/50			1,504		1,541,600
Republic of Indonesia
6.50%, 06/15/25	IDR		111,419,000		7,780,221
7.00%, 05/15/27			88,851,000		6,229,211
4.10%, 04/24/28	USD		9,523		10,561,602

Security		Par (000)		Value
Indonesia (continued)
Republic of Indonesia
2.85%, 02/14/30	USD		8,000	$	8,150,000
7.00%, 09/15/30	IDR		39,330,000		2,702,303
6.63%, 05/15/33			25,942,000		1,659,852
7.50%, 06/15/35			153,315,000		10,623,919
8.38%, 04/15/39			222,188,000		16,331,634
					74,687,517
Maldives — 0.0%
Republic of Maldives, 7.00%, 06/07/22	USD		775		583,188
Mexico — 0.3%
United Mexican States
4.15%, 03/28/27			28,228		30,288,644
4.75%, 04/27/32			10,867		11,970,000
4.50%, 01/31/50			14,420		14,867,020
					57,125,664
Panama — 0.1%
Republic of Panama, 3.88%, 03/17/28			23,318		26,203,602
Peru — 0.1%
Republic of Peru, 4.13%, 08/25/27			14,574		16,732,774
Philippines — 0.2%
Republic of the Philippines, 3.00%, 02/01/28			26,655		28,747,951
Qatar — 0.0%
State of Qatar, 3.75%, 04/16/30(b)			6,087		6,944,887
Russian Federation — 0.3%
Russian Federation
8.15%, 02/03/27	RUB		564,263		9,138,020
6.00%, 10/06/27			316,725		4,584,018
6.90%, 05/23/29			1,303,451		19,820,404
8.50%, 09/17/31			1,265,104		21,481,703
					55,024,145
Saudi Arabia — 0.2%
Kingdom of Saudi Arabia
2.90%, 10/22/25(b)	USD		23,870		25,302,200
3.25%, 10/22/30			10,735		11,521,339
					36,823,539
Sri Lanka — 0.0%
Republic of Sri Lanka
6.85%, 03/14/24			625		431,250
6.35%, 06/28/24			200		138,000
7.85%, 03/14/29			200		130,000
7.55%, 03/28/30			1,200		771,000
					1,470,250
Ukraine — 0.1%
Ukraine Government
6.75%, 06/20/26	EUR		2,600		2,971,292
9.75%, 11/01/28	USD		11,527		13,169,597
7.38%, 09/25/32			1,805		1,812,897
					17,953,786
United Arab Emirates — 0.0%
Emirate of Abu Dhabi
2.50%, 04/16/25(b)			7,494		7,784,393
3.13%, 09/30/49			1,925		2,004,406
					9,788,799

35

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Uruguay — 0.1%
Republic of Uruguay
4.38%, 10/27/27	USD		9,858	$	11,281,653
5.10%, 06/18/50			3,180		4,100,212
					15,381,865
Total Foreign Government Obligations — 2.4% (Cost: $443,339,202)					456,935,638
		Shares
Investment Companies(p)
Fixed-Income Funds — 1.9%
iShares iBoxx $ Investment Grade Corporate Bond ETF			1,400,660		188,388,770
iShares iBoxx High Yield Corporate Bond ETF			2,062,538		168,344,352
					356,733,122
Total Investment Companies — 1.9% (Cost: $353,670,764)					356,733,122
		Par (000)
Municipal Bonds
Arizona — 0.0%
Arizona Health Facilities Authority, RB, 1.01%, 01/01/37(d)	USD		1,355		1,274,426
Salt River Project Agricultural Improvement & Power District, RB, Series A, 5.00%, 12/01/45			3,530		4,148,032
					5,422,458
California — 1.1%
Bay Area Toll Authority
RB, 2.43%, 04/01/26			7,195		7,656,991
RB, Series S1, 6.92%, 04/01/40			3,145		5,011,998
RB, Series S1, 7.04%, 04/01/50			13,280		23,893,907
California Health Facilities Financing Authority, RB, Series A, 5.00%, 08/15/33			1,190		1,447,218
California Pollution Control Financing Authority, RB, AMT, 5.00%, 11/21/45(b)			1,000		1,027,630
California State University, RB, Series B, 2.98%, 11/01/51			10,130		10,724,023
City of Riverside, CA Electric Revenue, RB, 7.61%, 10/01/40			1,325		2,144,486
Contra Costa Community College District, GO, 6.50%, 08/01/34			570		825,121
Los Angeles Community College District, GO, 6.60%, 08/01/42			3,990		6,627,270
Los Angeles Unified School District
GO, 5.75%, 07/01/34			415		571,650
GO, 6.76%, 07/01/34			7,405		10,929,187
Orange County Local Transportation Authority, RB, Series A, 6.91%, 02/15/41			2,790		4,146,916
Regents of the University of California Medical Center Pooled Revenue, RB, 6.58%, 05/15/49			2,180		3,469,448
Sacramento County Sanitation Districts Financing Authority, Refunding RB, NPFGC Series B, 0.77%, 12/01/35(d)			3,500		3,032,792
San Diego Public Facilities Financing Authority, RB, Series A, 5.00%, 05/15/39			1,250		1,524,687

Security		Par (000)		Value
California (continued)
San Francisco City & County Airport Comm-San Francisco International Airport, RB, 5.00%, 05/01/50	USD		2,695	$	3,282,079
San Jose Redevelopment Agency Successor Agency
TA, Series A, 3.18%, 08/01/26			2,025		2,233,980
TA, Series A, 3.13%, 08/01/28			4,275		4,685,485
TA, Series A, 3.25%, 08/01/29			3,585		3,934,215
State of California
GO, 7.50%, 04/01/34			2,210		3,589,283
GO, 7.55%, 04/01/39			4,565		8,094,019
GO, 7.30%, 10/01/39			2,575		4,272,363
GO, 7.35%, 11/01/39			720		1,200,046
GO, Series B, 2.65%, 04/01/26			15,890		17,271,318
Refunding GO, 4.60%, 04/01/38			25,730		30,091,234
University of California
RB, 3.35%, 07/01/29			15,580		17,858,264
RB, 4.60%, 05/15/31			2,305		2,844,647
RB, 5.77%, 05/15/43			8,110		12,175,137
RB, 4.86%, 05/15/2112			1,940		2,719,085
					197,284,479
Connecticut — 0.1%
Connecticut State Health & Educational Facilities Authority, RB, 5.00%, 07/01/45			1,700		1,882,189
State of Connecticut
GO, Series A, 3.31%, 01/15/26			3,710		4,050,541
GO, Series A, 2.55%, 07/01/28			990		1,041,935
GO, Series A, 5.85%, 03/15/32			7,805		10,599,737
GO, Series D, 5.09%, 10/01/30			7,910		9,574,818
					27,149,220
District of Columbia — 0.0%
District of Columbia
RB, 5.00%, 07/15/34			775		908,238
RB, 5.00%, 07/15/35			775		905,603
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, RB, Series A, 5.00%, 10/01/53			1,000		1,033,550
					2,847,391
Florida — 0.1%
Canaveral Port Authority
RB, Series A, 5.00%, 06/01/45			1,890		2,059,571
RB, Series B, 5.00%, 06/01/48			600		657,156
County of Broward, FL Airport System Revenue
RB, 2.81%, 10/01/31			1,610		1,588,362
RB, 2.91%, 10/01/32			1,435		1,421,626
RB, Series C, 2.50%, 10/01/28			5,360		5,253,283
County of Miami-Dade, FL Aviation Revenue
RB, 2.53%, 10/01/30			5,705		5,501,217
RB, 4.06%, 10/01/31			1,765		1,897,198
RB, 5.00%, 10/01/40			1,650		1,922,745
RB, Series A, 5.00%, 10/01/38			1,600		1,807,920
Refunding RB, Series D, 3.35%, 10/01/29			560		575,030
Refunding RB, Series D, 3.45%, 10/01/30			1,030		1,060,849
Refunding RB, Series D, 3.50%, 10/01/31			965		994,046
Sumter Landing Community Development District, RB, 4.17%, 10/01/47			920		1,032,792
					25,771,795
Georgia — 0.1%
City of Atlanta, GA Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/40			885		1,043,592

36

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Georgia (continued)
Metropolitan Atlanta Rapid Transit Authority, RB, Series A, 5.00%, 07/01/41	USD		2,220	$	2,620,910
Municipal Electric Authority of Georgia
RB, 6.64%, 04/01/57			2,487		3,614,855
RB, 6.66%, 04/01/57			1,115		1,665,609
					8,944,966
Idaho — 0.0%
Idaho Health Facilities Authority, RB, Series A, 5.00%, 12/01/47			1,155		1,356,328
Illinois — 0.1%
State of Illinois, GO, 5.10%, 06/01/33			13,140		13,333,815
Indiana — 0.0%
Indiana Finance Authority, RB, 5.00%, 10/01/45			3,120		3,576,643
Indiana Housing & Community Development Authority, RB, GNMA Series A, 3.80%, 07/01/38			845		930,599
					4,507,242
Louisiana — 0.0%
Louisiana Public Facilities Authority, RB, 5.00%, 07/01/48			1,240		1,459,877
New Orleans Aviation Board, RB, 5.00%, 01/01/40			1,140		1,270,040
					2,729,917
Maryland — 0.0%
Maryland Health & Higher Educational Facilities Authority, Refunding RB, 5.00%, 08/15/27			1,305		1,517,049
Massachusetts — 0.2%
Commonwealth of Massachusetts
GO, 5.46%, 12/01/39			430		620,675
GO, 2.90%, 09/01/49			1,980		2,128,441
Massachusetts Development Finance Agency
RB, 5.00%, 07/01/47			1,260		1,435,140
RB, Series J2, 5.00%, 07/01/43			2,390		2,781,769
RB, Series J2, 5.00%, 07/01/48			1,035		1,199,886
Massachusetts HFA
RB, Series A, 4.50%, 12/01/48			1,160		1,237,789
Refunding RB, AMT Series B, 4.50%, 12/01/39			910		957,647
Refunding RB, AMT Series B, 4.60%, 12/01/44			960		1,033,296
Massachusetts School Building Authority
RB, 2.87%, 10/15/31			6,940		7,318,716
RB, 2.97%, 10/15/32			4,300		4,544,584
Massachusetts Water Resources Authority, Refunding RB, Series B, 5.00%, 08/01/40			920		1,111,222
University of Massachusetts Building Authority, RB, 5.45%, 11/01/40			8,635		11,981,408
					36,350,573
Michigan — 0.1%
Great Lakes Water Authority Sewage Disposal System Revenue, RB, 3.06%, 07/01/39			2,135		2,272,750
Great Lakes Water Authority Water Supply System Revenue, RB, 5.25%, 07/01/33			755		899,099
Michigan Finance Authority
RB, 5.00%, 11/15/28			1,380		1,660,733
RB, 5.00%, 06/01/39			840		946,025
RB, 5.00%, 11/15/41			850		979,396
RB, 2.86%, 09/01/49(d)			6,090		6,291,031

Security		Par (000)		Value
Michigan (continued)
Michigan State HDA
RB, Series A, 3.55%, 10/01/33	USD		1,055	$	1,161,312
RB, Series A, 4.00%, 10/01/43			1,010		1,109,808
RB, Series A, 4.05%, 10/01/48			465		511,119
RB, Series A, 4.15%, 10/01/53			2,400		2,598,120
Royal Oak Hospital Finance Authority, RB, Series D, 5.00%, 09/01/39			1,160		1,299,815
					19,729,208
Mississippi — 0.0%
Mississippi Hospital Equipment & Facilities Authority, RB, 5.00%, 09/01/46			1,610		1,762,081
Missouri — 0.0%
Health & Educational Facilities Authority of the State of Missouri
RB, 5.00%, 11/15/29			840		1,004,640
RB, Series A, 3.23%, 05/15/50			1,245		1,458,517
					2,463,157
New Jersey — 0.1%
New Jersey Transportation Trust Fund Authority, RB, Series C, 5.75%, 12/15/28			1,670		1,934,612
New Jersey Turnpike Authority, RB, Series F, 7.41%, 01/01/40			2,329		3,957,390
Rutgers The State University of New Jersey, RB, 3.27%, 05/01/43			4,555		4,692,789
					10,584,791
New York — 0.8%
City of New York, NY
GO, 2.85%, 08/01/31			5,380		5,712,484
GO, 2.90%, 08/01/32			9,025		9,581,933
GO, Series A-2, 2.49%, 08/01/27			2,590		2,728,668
GO, Series D2, 3.76%, 12/01/27			2,675		3,053,272
Dutchess County Local Development Corp., RB, 5.00%, 07/01/46			2,685		2,923,885
Metropolitan Transportation Authority
RB, 5.87%, 11/15/39			735		890,938
RB, 6.67%, 11/15/39			350		454,542
RB, AGM Series C, 5.00%, 11/15/41			1,860		2,244,871
RB, Series E, 6.81%, 11/15/40			860		1,136,765
New York City Housing Development Corp.
RB, 3.70%, 11/01/38			1,090		1,159,662
RB, 4.00%, 11/01/53			2,510		2,655,605
RB, Series C-1B, 3.85%, 11/01/43			3,300		3,517,338
New York City Transitional Finance Authority Future Tax Secured Revenue
RB, 3.75%, 11/01/25			4,050		4,427,946
RB, Series B3, 3.90%, 08/01/31			4,860		5,562,562
RB, Series C3, 3.35%, 11/01/30			6,190		6,887,118
RB, Series C4, 3.55%, 05/01/25			5,040		5,639,760
RB, Series F2, 3.05%, 05/01/27			4,675		5,144,884
New York City Water & Sewer System
RB, 5.75%, 06/15/41			385		593,289
RB, 6.01%, 06/15/42			665		1,062,045
RB, 5.38%, 06/15/43			2,920		2,987,744
RB, 5.44%, 06/15/43			3,400		5,256,026
RB, 5.50%, 06/15/43			5,285		5,410,677
RB, 5.88%, 06/15/44			1,240		1,993,436
Refunding RB, 5.38%, 06/15/43			1,490		1,520,426
New York Convention Center Development Corp., Refunding RB, 5.00%, 11/15/40			930		1,008,659
New York Liberty Development Corp., Refunding RB, 5.00%, 11/15/44(b)			2,200		2,276,978

37

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
New York (continued)
New York State Dormitory Authority
RB, Series B, 3.14%, 07/01/43	USD		3,080	$	3,097,032
RB, Series H, 5.39%, 03/15/40			1,470		2,046,534
Refunding RB, Series F, 3.19%, 02/15/43			4,315		4,879,143
New York State Urban Development Corp.
RB, 3.32%, 03/15/29			4,035		4,420,665
RB, 2.23%, 03/15/33			5,940		5,987,164
RB, Series B, 3.25%, 03/15/25			2,325		2,549,897
Refunding RB, Series B, 2.35%, 03/15/27			5,870		6,166,670
New York Transportation Development Corp.
RB, Series A, 5.00%, 07/01/46			730		783,443
RB, Series A, 5.25%, 01/01/50			9,190		9,937,055
Port Authority of New York & New Jersey
RB, 5.65%, 11/01/40			2,165		3,017,079
RB, 4.96%, 08/01/46			4,300		5,831,832
RB, 4.93%, 10/01/51			4,360		6,010,129
RB, 4.46%, 10/01/62			2,890		3,841,793
State of New York, Refunding GO, Series B, 2.80%, 02/15/32			5,195		5,572,988
					149,972,937
Ohio — 0.1%
American Municipal Power, Inc.
RB, Series B, 7.83%, 02/15/41			1,500		2,428,500
RB, Series B, 8.08%, 02/15/50			2,650		4,819,184
JobsOhio Beverage System
RB, 2.83%, 01/01/38			5,440		5,573,770
RB, Series B, 3.99%, 01/01/29			8,385		9,528,881
					22,350,335
Oklahoma — 0.0%
Oklahoma Development Finance Authority
RB, 5.50%, 08/15/57			3,220		3,712,338
RB, Series B, 5.25%, 08/15/43			1,000		1,145,320
					4,857,658
Oregon — 0.2%
Oregon School Boards Association
GO, AMBAC, 4.76%, 06/30/28			5,785		6,398,210
GO, NPFGC Series B, 5.55%, 06/30/28			7,175		8,609,570
GO, NPFGC Series B, 5.68%, 06/30/28			10,105		12,394,793
State of Oregon, GO, 5.89%, 06/01/27			8,145		10,297,316
					37,699,889
Pennsylvania — 0.2%
City of Philadelphia, PA Airport Revenue, RB, Series B, 5.00%, 07/01/42			1,000		1,155,130
Commonwealth Financing Authority
RB, 4.14%, 06/01/38			530		636,922
RB, Series A, 3.86%, 06/01/38			1,180		1,377,438
RB, Series A, 3.81%, 06/01/41			16,520		19,178,729
DuBois Hospital Authority, RB, 5.00%, 07/15/43			1,290		1,491,434
Pennsylvania Economic Development Financing Authority
RB, 5.00%, 12/31/22			1,000		1,079,460
RB, 5.00%, 12/31/38			320		346,646
Pennsylvania State University, RB, Series D, 2.79%, 09/01/43			4,135		4,266,907
Pennsylvania Turnpike Commission, RB, Series B, 5.00%, 12/01/48			2,805		3,267,460
					32,800,126
Puerto Rico — 0.1%
Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.00%, 07/01/35(f)(g)			5,625		3,374,216

Security		Par (000)		Value
Puerto Rico (continued)
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
RB, Series A-1, 0.00%, 07/01/46(k)	USD		41,207	$	11,605,127
RB, Series A-1, 0.00%, 07/01/51(k)			25,029		5,060,614
					20,039,957
South Carolina — 0.1%
Lexington County Health Services District, Inc., RB, 5.00%, 11/01/41			960		1,107,129
South Carolina Public Service Authority
RB, Series C, 6.45%, 01/01/50			2,270		3,559,156
RB, Series D, 2.39%, 12/01/23			4,067		4,165,381
Spartanburg County School District No. 7, GO, SCSDE Series B, 5.00%, 03/01/48			645		810,862
					9,642,528
Tennessee — 0.0%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, 5.00%, 07/01/46			1,800		2,007,198
Tennessee Housing Development Agency
RB, Series 3, 3.75%, 07/01/38			975		1,058,392
RB, Series 3, 3.85%, 07/01/43			460		497,301
RB, Series 3, 3.95%, 01/01/49			360		387,828
					3,950,719
Texas — 0.3%
City of San Antonio TX Electric & Gas Systems Revenue
RB, 5.72%, 02/01/41			3,180		4,575,098
RB, 5.81%, 02/01/41			3,260		4,862,127
Dallas Area Rapid Transit
RB, Series A, 5.00%, 12/01/41			1,780		2,090,699
RB, Series A, 5.00%, 12/01/46			2,410		2,796,612
Dallas/Fort Worth International Airport
RB, 5.00%, 11/01/42			2,025		2,109,706
RB, Series A, 5.00%, 11/01/43			60		60,923
RB, Series A, 3.14%, 11/01/45			2,420		2,475,612
RB, Series A, 5.00%, 11/01/45			3,670		3,725,527
RB, Series H, 5.00%, 11/01/45			2,650		2,758,041
New Hope Cultural Education Facilities Finance Corp., RB, 5.00%, 08/15/47			1,380		1,626,344
San Antonio Water System, RB, Series B, 5.00%, 05/15/39			1,520		1,795,986
State of Texas, GO, 5.52%, 04/01/39			10,740		15,913,351
Texas A&M University, RB, 2.84%, 05/15/27			2,240		2,464,314
Texas Municipal Gas Acquisition and Supply Corp. I, RB, Series D, 6.25%, 12/15/26			720		833,198
Texas Private Activity Bond Surface Transportation Corp., RB, 5.00%, 12/31/55			370		386,446
Texas Transportation Commission, GO, 5.00%, 04/01/32(q)			4,250		5,744,768
					54,218,752
Virginia — 0.1%
Chesapeake Bay Bridge & Tunnel District, RB, 5.00%, 07/01/51			700		754,572
Tobacco Settlement Financing Corp., RB, Series A-1, 6.71%, 06/01/46			4,090		3,912,944
Virginia Small Business Financing Authority
RB, 5.00%, 12/31/52			2,535		2,790,730
RB, 5.00%, 12/31/56			1,000		1,097,800
					8,556,046

38

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security	Par (000)		Value
Washington — 0.1%
Central Puget Sound Regional Transit Authority, RB, Series S1, 5.00%, 11/01/50 USD		1,730	$	1,976,144
Grant County Public Utility District No. 2 Priest Rapids Hydroelectric Project, RB, 4.58%, 01/01/40		600		739,602
Port of Seattle, WA, RB, Series A, 5.00%, 05/01/43		930		1,068,895
State of Washington
GO, 5.00%, 08/01/40		1,120		1,384,354
GO, Series A-1, 5.00%, 08/01/40		2,720		3,239,003
GO, Series D, 5.00%, 02/01/41		1,880		2,296,176
				10,704,174
West Virginia — 0.0%
Tobacco Settlement Finance Authority, RB, Series A, 7.47%, 06/01/47		4,100		4,125,625
West Virginia Hospital Finance Authority
RB, 5.00%, 06/01/21		960		995,242
RB, 5.00%, 06/01/22		1,050		1,129,338
RB, 5.00%, 06/01/23		870		968,197
RB, 5.00%, 06/01/24		935		1,071,323
				8,289,725
Total Municipal Bonds — 3.9% (Cost: $667,479,430)				724,837,316
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 1.4%
Alternative Loan Trust, Series 2007- 14T2, Class A1, 6.00%, 07/25/37		2,659		1,912,461
American Home Mortgage Assets Trust
Series 2006-3, Class 2A11, (12 mo. Federal Reserve Cumulative Average US + 0.94%), 2.44%, 10/25/46(a)		873		694,528
Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 0.40%, 10/25/46(a)		2,452		1,540,183
Series 2006-5, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.92%), 2.42%, 11/25/46(a)		3,510		1,497,395
Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 2.20%, 02/25/47(a)		784		420,495
Angel Oak Mortgage Trust I LLC, Series 2019-4, Class A3, 3.30%, 07/26/49(b)(d)		4,710		4,732,346
Angel Oak Mortgage Trust LLC
Series 2020-3, Class A3, 2.87%, 04/25/65(b)(d)		7,500		7,499,985
Series 2020-3, Class M1, 3.81%, 04/25/65(b)(d)		4,120		4,119,930
APS Resecuritization Trust
Series 2016-1, Class 1MZ, 4.23%, 07/31/57(b)(d)		7,245		2,510,084
Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 3.03%, 09/27/46(a)(b)		4,924		4,871,905
Series 2016-3, Class 4A, (1 mo. LIBOR US + 2.60%), 2.78%, 04/27/47(a)(b)		870		861,421
ARI Investments LLC
Series 2017-1, Class A, 3.08%, 01/06/25(c)(d)		2,755		2,617,298
Series 2019-1, 3.08%, 01/30/25(c)(d)		3,154		3,027,365
Banc of America Funding Trust
Series 2014-R2, Class 1C, 0.00%, 11/26/36(b)(d)		3,995		873,470

Security		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Banc of America Funding Trust
Series 2016-R2, Class 1A1, 4.70%, 05/01/33(b)(d)	USD		1,407	$	1,323,130
Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1, (1 mo. LIBOR US + 0.32%), 0.50%, 01/25/47(a)			1,405		1,184,437
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35(e)			236		215,308
Bear Stearns Mortgage Funding Trust
Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 0.47%, 08/25/36(a)			1,293		1,262,227
Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 0.35%, 03/25/37(a)			343		297,981
Series 2007-AR3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.33%, 03/25/37(a)			655		590,816
Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.40%, 06/25/37(a)			574		520,384
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.66%, 12/25/35(b)(d)(p)			3		3,145
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37			24,266		16,558,698
Citicorp Mortgage Securities Trust
Series 2007-9, Class 1A1, 6.25%, 12/25/37			1,843		1,620,507
Series 2008-2, Class 1A1, 6.50%, 06/25/38			5,746		4,965,422
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36			13		13,038
COLT Mortgage Loan Trust, Series 2020-3, Class A3, 2.38%, 04/27/65(b)(d)			2,600		2,604,291
Countrywide Alternative Loan Trust
Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 0.53%, 06/25/35(a)			3,933		3,025,126
Series 2005-72, Class A3, (1 mo. LIBOR US + 0.60%), 0.78%, 01/25/36(a)			634		561,645
Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 2.50%, 02/25/36(a)			795		707,060
Series 2006-11CB, Class 3A1, 6.50%, 05/25/36			1,669		1,237,876
Series 2006-15CB, Class A1, 6.50%, 06/25/36			403		293,536
Series 2006-23CB, Class 2A5, (1 mo. LIBOR US + 0.40%), 0.59%, 08/25/36(a)			5,672		1,168,347
Series 2006-OA14, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 1.73%), 3.23%, 11/25/46(a)			3,312		2,672,577
Series 2006-OA16, Class A4C, (1 mo. LIBOR US + 0.34%), 0.52%, 10/25/46(a)			4,074		2,746,720
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.38%, 03/20/47(a)			8,874		7,076,442
Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.19%), 0.37%, 07/25/46(a)			466		397,087
Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.23%), 0.41%, 11/25/36(a)			1,605		1,206,486
Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.25%), 0.43%, 07/25/46(a)			2,316		1,948,355
Series 2007-3T1, Class 1A1, 6.00%, 04/25/37			349		229,326
Series 2007-OA3, Class 1A1, (1 mo. LIBOR US + 0.14%), 0.33%, 04/25/47(a)			1,082		951,986
Series 2007-OA3, Class 2A2, (1 mo. LIBOR US + 0.18%), 0.36%, 04/25/47(a)			51		7,875

39

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Countrywide Alternative Loan Trust
Series 2007-OA8, Class 2A1, (1 mo. LIBOR US + 0.18%), 0.36%, 06/25/47(a)	USD		366	$	271,293
Series 2007-OH2, Class A2A, (1 mo. LIBOR US + 0.24%), 0.42%, 08/25/47(a)			460		410,615
Countrywide Home Loan Mortgage Pass- Through Trust
Series 2004-29, Class 1A1, (1 mo. LIBOR US + 0.54%), 0.73%, 02/25/35(a)			269		245,471
Series 2006-OA4, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.96%), 2.46%, 04/25/46(a)			1,447		615,955
Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.20%), 0.39%, 04/25/46(a)			693		612,023
Series 2007-15, Class 2A2, 6.50%, 09/25/37			9,300		5,827,209
Credit Suisse Commercial Mortgage Trust
Series 2009-12R, Class 3A1, 6.50%, 10/27/37(b)			8,103		4,429,139
Series 2009-5R, Class 4A4, 3.21%, 06/25/36(b)(d)			1,703		1,420,149
Series 2014-11R, Class 16A1, 3.83%, 09/27/47(b)(d)			1,054		1,064,994
Series 2014-4R, Class 16A3, (1 mo. LIBOR US + 0.20%), 0.37%, 02/27/36(a)(b)(c)			734		668,834
Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 0.29%, 08/27/36(a)(b)			1,349		1,212,669
Series 2019-JR1, Class A1, 4.10%, 09/27/66(b)(d)			32,044		32,145,857
CSFB Mortgage-Backed Pass-Through
Certificates, Series 2005-10, Class 10A1, (1 mo. LIBOR US + 1.35%), 1.53%, 11/25/35(a)			1,293		265,261
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3, 2.86%, 05/25/65(b)			3,800		3,807,432
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A, (1 mo. LIBOR US + 0.17%), 0.35%, 08/25/47(a)			1,260		827,291
Deutsche Alt-A Securities, Inc., Series 2007- RS1, Class A2, (1 mo. LIBOR US + 0.50%), 0.67%, 01/27/37(a)(b)			41		39,339
Deutsche Alt-B Securities Mortgage Loan Trust
Series 2006-AB3, Class A3, 6.51%, 07/25/36(d)			455		419,163
Series 2006-AB3, Class A8, 6.36%, 07/25/36(d)			290		267,300
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 3.50%, 03/25/36(a)			886		823,529
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4, 5.50%, 01/25/37			233		258,631
HarborView Mortgage Loan Trust
Series 2006-12, Class 1A1A, (1 mo. LIBOR US + 0.21%), 0.40%, 12/19/36(a)			14,209		11,343,906
Series 2007-4, Class 2A2, (1 mo. LIBOR US + 0.25%), 0.44%, 07/19/47(a)			757		626,847
Impac CMB Trust
Series 2004-11, Class 1A2, (1 mo. LIBOR US + 0.52%), 0.71%, 03/25/35(a)			1,264		1,198,323
Series 2005-6, Class 1A1, (1 mo. LIBOR US + 0.50%), 0.68%, 10/25/35(a)			993		907,793

Security		Par (000)		Value
Collateralized Mortgage Obligations (continued)
IndyMac Index Mortgage Loan Trust
Series 2006-AR15, Class A1, (1 mo. LIBOR US + 0.12%), 0.30%, 07/25/36(a)	USD		536	$	463,506
Series 2007-AR19, Class 3A1, 3.54%, 09/25/37(d)			3,064		2,035,758
Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 0.42%, 08/25/37(a)			1,034		851,991
JPMorgan Alternative Loan Trust
Series 2007-A1, Class 1A4, (1 mo. LIBOR US + 0.42%), 0.61%, 03/25/37(a)			1,604		1,476,912
Series 2007-A2, Class 2A1, 3.80%, 05/25/37(d)			353		304,385
Legacy Mortgage Asset Trust, Series 2019-SL1, Class A, 4.00%, 12/28/54(b)(d)			4,391		4,420,536
Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 1.15%), 1.34%, 12/25/37(a)			958		860,872
LSTAR Securities Investment Trust, Series 2019-1, Class A1, (1 mo. LIBOR US + 1.70%), 1.87%, 03/01/24(a)(b)			2,905		2,928,505
MASTR Resecuritization Trust, Series 2008-3, Class A1, 0.58%, 08/25/37(b)(d)			1,119		564,674
MCM Trust
Series 2018-NPL1, Class A, 4.00%, 05/28/58(b)			1,276		1,284,057
Series 2018-NPL1, Class B, 0.00%, 05/28/58(b)			8,009		5,561,414
Series 2018-NPL2, Class A, 4.00%, 10/25/28(b)(c)(e)			4,124		3,711,377
Series 2018-NPL2, Class B, 0.00%, 10/25/28(b)			13,024		3,884,987
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2, (1 mo. LIBOR US + 0.21%), 0.40%, 04/25/37(a)			2,296		2,005,941
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.40%, 05/25/36(d)			1,254		1,129,138
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 0.51%, 04/16/36(a)(b)			7,868		6,799,458
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57(b)(d)			1,996		2,131,879
Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2001-R1A, Class A, 7.00%, 02/19/30(b)(d)			456		462,607
Series 2006-AF1, Class 1A4, 6.63%, 05/25/36(e)			582		199,254
Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 0.61%, 06/25/37(a)			412		329,264
PRPM LLC, Series 2019-1A, Class A1, 4.50%, 01/25/24(b)(e)			2,863		2,874,624
RALI Trust, Series 2007-QH9, Class A1, 2.85%, 11/25/37(d)			783		682,892
Reperforming Loan REMIC Trust
Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 0.52%, 06/25/35(a)(b)			485		451,082
Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 0.59%, 09/25/35(a)(b)			155		134,179

40

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Residential Mortgage Loan Trust
Series 2020-2, Class A2, 2.51%, 05/25/60(b)(d)	USD		3,500	$	3,499,928
Series 2020-2, Class M1, 3.57%, 05/25/60(b)(d)			7,854		7,853,967
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX, 1.59%, 05/25/57(d)			546		243,916
Sequoia Mortgage Trust, Series 2007-3, Class 2AA1, 3.68%, 07/20/37(d)			1,496		1,319,946
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A, 3.69%, 04/25/36(d)			929		703,692
Structured Asset Mortgage Investments II Trust
Series 2006-AR4, Class 3A1, (1 mo. LIBOR US + 0.19%), 0.37%, 06/25/36(a)			2,475		2,142,945
Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.21%), 0.40%, 05/25/46(a)			568		474,422
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A1, (12 mo. LIBOR US + 1.25%), 1.82%, 06/25/47(a)			361		331,316
TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24(b)			1,960		1,944,231
Verus Securitization Trust
Series 2020-INV1, Class A2, 3.04%, 04/25/60(b)(d)			1,895		1,903,376
Series 2020-INV1, Class A3, 3.89%, 04/25/60(b)(d)			1,800		1,804,913
Vista Point Securitization Trust, Series 2020-1, Class A1, 1.76%, 03/25/65(b)(d)			16,487		16,486,771
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-1, Class 4CB, 6.50%, 02/25/36			1,403		1,206,736
Series 2006-4, Class 1A1, 6.00%, 04/25/36			4,297		4,216,133
Series 2006-4, Class 3A1, 6.50%, 05/25/36(e)			1,357		1,244,787
Series 2006-4, Class 3A5, 6.35%, 05/25/36(e)			526		482,651
Series 2007-OA5, Class 2A, (Cost of Funds for the 11th District of San Francisco + 1.25%), 1.99%, 06/25/47(a)			1,939		1,613,364
					255,300,103
Commercial Mortgage-Backed Securities — 3.1%
1211 Avenue of the Americas Trust
Series 2015-1211, Class D, 4.28%, 08/10/35(b)(d)			6,157		6,351,106
Series 2015-1211, Class E, 4.28%, 08/10/35(b)(d)			1,110		1,050,052
245 Park Avenue Trust
Series 2017-245P, Class D, 3.78%, 06/05/37(b)(d)			480		479,289
Series 2017-245P, Class E, 3.78%, 06/05/37(b)(d)			1,699		1,591,355
280 Park Avenue Mortgage Trust
Series 2017-280P, Class D, (1 mo. LIBOR US + 1.54%), 1.72%, 09/15/34(a)(b)			2,920		2,819,140
Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 2.30%, 09/15/34(a)(b)			5,835		5,514,895
Series 2017-280P, Class F, (1 mo. LIBOR US + 2.83%), 3.01%, 09/15/34(a)(b)			630		582,865
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 01/14/29(b)			700		701,224
AOA Mortgage Trust, Series 2015-1177, Class C, 3.11%, 12/13/29(b)(d)			1,340		1,343,221

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 2.29%, 04/15/35(a)(b)	USD		740	$	645,441
Atrium Hotel Portfolio Trust
Series 2017-ATRM, Class D, (1 mo. LIBOR US + 1.95%), 2.14%, 12/15/36(a)(b)			4,840		3,984,819
Series 2017-ATRM, Class E, (1 mo. LIBOR US + 3.05%), 3.24%, 12/15/36(a)(b)			568		415,825
Banc of America Merrill Lynch Commercial Mortgage Securities Trust
Series 2015-200P, Class F, 3.72%, 04/14/33(b)(d)			1,241		1,195,823
Series 2016-ISQ, Class C, 3.73%, 08/14/34(b)(d)			445		428,331
Series 2016-ISQ, Class E, 3.73%, 08/14/34(b)(d)			5,287		4,577,546
Series 2017-SCH, Class BF, (1 mo. LIBOR US + 1.40%), 1.59%, 11/15/33(a)(b)			2,870		2,690,348
Series 2017-SCH, Class CL, (1 mo. LIBOR US + 1.50%), 1.69%, 11/15/32(a)(b)			970		825,858
Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 2.19%, 11/15/32(a)(b)			1,930		1,568,530
Series 2018-DSNY, Class D, (1 mo. LIBOR US + 1.70%), 1.89%, 09/15/34(a)(b)			3,275		2,896,428
Bancorp Commercial Mortgage Trust, Series 2018-CR3, Class A, (1 mo. LIBOR US + 0.85%), 1.04%, 01/15/33(a)(b)			203		193,193
BANK
Series 2017-BNK9, Class A4, 3.54%, 11/15/54			4,030		4,534,653
Series 2019-BN19, Class C, 4.17%, 08/15/61(d)			686		613,834
Series 2019-BN21, Class A5, 2.85%, 10/17/52			1,088		1,190,470
Barclays Commercial Mortgage Trust
Series 2015-STP, Class E, 4.43%, 09/10/28(b)(d)			100		98,808
Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 0.91%, 03/15/37(a)(b)			918		872,759
Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.45%), 1.63%, 03/15/37(a)(b)			1,120		1,017,992
Bayview Commercial Asset Trust
Series 2005-4A, Class A1, (1 mo. LIBOR US + 0.30%), 0.48%, 01/25/36(a)(b)			292		272,301
Series 2005-4A, Class A2, (1 mo. LIBOR US + 0.39%), 0.58%, 01/25/36(a)(b)			82		77,138
Series 2005-4A, Class M1, (1 mo. LIBOR US + 0.45%), 0.63%, 01/25/36(a)(b)			219		200,673
Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.36%), 0.54%, 04/25/36(a)(b)			283		247,999
Series 2006-3A, Class A1, (1 mo. LIBOR US + 0.25%), 0.43%, 10/25/36(a)(b)			501		435,993
Series 2006-3A, Class A2, (1 mo. LIBOR US + 0.30%), 0.48%, 10/25/36(a)(b)			350		300,213
Series 2006-4A, Class A1, (1 mo. LIBOR US + 0.23%), 0.41%, 12/25/36(a)(b)			749		677,365
Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.46%, 07/25/37(a)(b)			10,809		9,539,702
Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.69%, 12/25/37(a)(b)			1,980		1,788,315
Series 2008-2, Class A4A, (1 mo. LIBOR US + 2.50%), 2.68%, 04/25/38(a)(b)			2,638		2,604,458

41

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
BBCMS Mortgage Trust
Series 2018-CHRS, Class E, 4.41%, 08/05/38(b)(d)	USD		980	$	666,044
Series 2018-TALL, Class E, (1 mo. LIBOR US + 2.44%), 2.62%, 03/15/37(a)(b)			1,320		1,124,441
Series 2019-BWAY, Class D, (1 mo. LIBOR US + 2.16%), 2.35%, 11/25/34(a)(b)			2,450		2,309,294
Series 2020-C6, Class A4, 2.64%, 02/15/53			4,593		4,931,441
BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35(b)			2,730		2,857,172
BB-UBS Trust, Series 2012-SHOW, Class E, 4.16%, 11/05/36(b)(d)			790		627,234
Bear Stearns Commercial Mortgage Securities Trust
Series 2005-PWR7, Class B, 5.21%, 02/11/41(d)			394		391,644
Series 2007-T26, Class AM, 5.51%, 01/12/45(d)			758		698,454
Benchmark Mortgage Trust
Series 2018-B3, Class D, 3.21%, 04/10/51(b)(d)			210		138,145
Series 2018-B5, Class A3, 3.94%, 07/15/51			4,840		5,613,444
Series 2019-B10, Class 3CCA, 4.03%, 03/15/62(b)(d)			3,610		3,625,554
Series 2019-B14, Class 225C, 3.40%, 12/15/62(b)(d)			2,375		2,244,914
Series 2020-B16, Class B, 3.18%, 02/15/53(d)			401		393,574
Series 2020-B16, Class C, 3.66%, 02/15/53(d)			623		561,183
Series 2020-B16, Class D, 2.50%, 02/15/53(b)			957		656,445
BHMS, Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 1.44%, 07/15/35(a)(b)			3,650		3,458,122
BWAY Mortgage Trust
Series 2013-1515, Class A2, 3.45%, 03/10/33(b)			5,084		5,446,159
Series 2013-1515, Class D, 3.63%, 03/10/33(b)			1,400		1,400,752
Series 2013-1515, Class E, 3.72%, 03/10/33(b)			250		245,774
Series 2013-1515, Class F, 4.06%, 03/10/33(b)(d)			250		242,616
Series 2015-1740, Class E, 4.81%, 01/10/35(b)(d)			1,019		957,058
BX Commercial Mortgage Trust
Series 2018-BIOA, Class F, (1 mo. LIBOR US + 2.47%), 2.66%, 03/15/37(a)(b)			3,350		3,074,315
Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.19%, 11/15/35(a)(b)			10,976		10,648,286
Series 2019-XL, Class G, (1 mo. LIBOR US + 2.30%), 2.49%, 10/15/36(a)(b)			18,727		17,976,799
Series 2019-XL, Class J, (1 mo. LIBOR US + 2.65%), 2.84%, 10/15/36(a)(b)			21,843		20,613,530
Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.00%), 2.19%, 12/15/36(a)(b)			16,454		15,630,311
Series 2020-BXLP, Class G, (1 mo. LIBOR US + 2.50%), 2.69%, 12/15/36(a)(b)			3,630		3,448,135
BX Trust
Series 2019-OC11, Class A, 3.20%, 12/09/41(b)			1,830		1,906,421

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
BX Trust
Series 2019-OC11, Class D, 4.08%, 12/09/41(b)(d)	USD		9,585	$	8,854,499
Series 2019-OC11, Class E, 4.08%, 12/09/41(b)(d)			11,936		10,575,841
BXP Trust
Series 2017-CC, Class D, 3.67%, 08/13/37(b)(d)			750		710,487
Series 2017-CC, Class E, 3.67%, 08/13/37(b)(d)			1,450		1,070,759
Series 2017-GM, Class D, 3.54%, 06/13/39(b)(d)			590		610,972
Series 2017-GM, Class E, 3.54%, 06/13/39(b)(d)			1,240		1,151,190
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 1.94%, 12/15/37(a)(b)			6,010		5,799,717
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class A3, 3.87%, 01/10/48			410		457,276
Series 2018-TAN, Class C, 5.30%, 02/15/33(b)			1,160		1,106,947
CFK Trust, Series 2019-FAX, Class D, 4.64%, 01/15/39(b)(d)			2,643		2,714,081
CGDBB Commercial Mortgage Trust
Series 2017-BIOC, Class A, (1 mo. LIBOR US + 0.79%), 0.98%, 07/15/32(a)(b)			2,960		2,937,796
Series 2017-BIOC, Class D, (1 mo. LIBOR US + 1.60%), 1.79%, 07/15/32(a)(b)			4,348		4,287,131
Series 2017-BIOC, Class E, (1 mo. LIBOR US + 2.15%), 2.34%, 07/15/32(a)(b)			6,395		6,240,636
CHC Commercial Mortgage Trust, Series 2019-CHC, Class B, (1 mo. LIBOR US + 1.50%), 1.69%, 06/15/34(a)(b)			7,262		6,716,391
Citigroup Commercial Mortgage Trust
Series 2014-GC19, Class C, 5.26%, 03/10/47(d)			440		421,440
Series 2015-GC27, Class B, 3.77%, 02/10/48			990		1,017,853
Series 2016-C1, Class D, 5.12%, 05/10/49(b)(d)			450		318,506
Series 2016-GC37, Class C, 5.08%, 04/10/49(d)			640		594,948
Series 2016-P3, Class C, 5.05%, 04/15/49(d)			120		110,871
Series 2016-P3, Class D, 2.80%, 04/15/49(b)(d)			136		75,282
Series 2017-C4, Class A4, 3.47%, 10/12/50			1,220		1,357,053
Series 2018-C6, Class A4, 4.41%, 11/10/51			1,960		2,330,295
Series 2019-C7, Class A4, 3.10%, 12/15/72			1,130		1,259,180
Series 2019-PRM, Class E, 4.89%, 05/10/36(b)(d)			4,801		4,691,450
Series 2019-SMRT, Class D, 4.90%, 01/10/36(b)(d)			7,200		7,333,140
Series 2019-SMRT, Class E, 4.90%, 01/10/36(b)(d)			419		418,804
Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2006-CD3, Class AM, 5.65%, 10/15/48			3,173		3,247,243
Series 2017-CD3, Class A4, 3.63%, 02/10/50			850		946,785
Series 2017-CD4, Class A4, 3.51%, 05/10/50(d)			50		55,394

42

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Pass-Through Certificates
Series 2014-CR14, Class A4, 4.24%, 02/10/47(d)	USD		855	$	928,055
Series 2014-CR15, Class C, 4.89%, 02/10/47(d)			260		266,843
Series 2014-CR18, Class A4, 3.55%, 07/15/47			388		414,832
Series 2014-CR19, Class A5, 3.80%, 08/10/47			1,391		1,514,385
Series 2015-CR24, Class A5, 3.70%, 08/10/48			1,370		1,511,475
Series 2015-CR25, Class A4, 3.76%, 08/10/48			3,505		3,844,743
Series 2015-LC21, Class C, 4.48%, 07/10/48(d)			1,600		1,457,656
Series 2017-COR2, Class A3, 3.51%, 09/10/50			1,180		1,307,424
Series 2017-COR2, Class D, 3.00%, 09/10/50(b)			379		272,992
Series 2018-HCLV, Class B, (1 mo. LIBOR US + 1.40%), 1.59%, 09/15/33(a)(b)			1,420		1,337,441
Commercial Mortgage Trust
Series 2005-C6, Class F, 5.92%, 06/10/44(b)(d)			333		332,729
Series 2013-GAM, Class A2, 3.37%, 02/10/28(b)			1,656		1,630,323
Series 2013-GAM, Class E, 3.53%, 02/10/28(b)(d)			2,270		2,160,359
Series 2014-CR21, Class A3, 3.53%, 12/10/47			1,352		1,452,741
Series 2014-LC15, Class A4, 4.01%, 04/10/47			2,350		2,549,975
Series 2014-UBS4, Class C, 4.80%, 08/10/47(d)			1,225		1,147,060
Series 2015-CR23, Class A4, 3.50%, 05/10/48(c)			810		866,088
Series 2015-LC19, Class D, 2.87%, 02/10/48(b)			126		93,190
Series 2015-LC23, Class A4, 3.77%, 10/10/48			1,040		1,151,104
Series 2016-667M, Class D, 3.29%, 10/10/36(b)(d)			630		591,202
CORE Mortgage Trust, Series 2019-CORE, Class F, (1 mo. LIBOR US + 2.35%), 2.54%, 12/15/31(a)(b)			3,200		3,040,385
Credit Suisse Commercial Mortgage Trust
Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 1.14%, 12/15/30(a)(b)			900		850,623
Series 2017-TIME, Class A, 3.65%, 11/13/39(b)			850		819,239
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4, 3.50%, 06/15/57			1,160		1,253,900
Series 2015-C2, Class B, 4.21%, 06/15/57(d)			2,020		1,977,002
Series 2016-C5, Class B, 4.46%, 11/15/48(d)			2,410		2,499,888
Series 2018-C14, Class C, 5.06%, 11/15/51(d)			300		264,723
Series 2018-CX12, Class A4, 4.22%, 08/15/51(d)			460		533,610
Series 2019-C15, Class A4, 4.05%, 03/15/52			4,080		4,701,979
Series 2019-C15, Class D, 3.00%, 03/15/52(b)			1,285		870,124

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CSAIL Commercial Mortgage Trust
Series 2019-C16, Class A3, 3.33%, 06/15/52	USD		1,670	$	1,853,295
Series 2019-C16, Class C, 4.24%, 06/15/52(d)			3,600		3,054,096
Series 2019-C17, Class C, 3.93%, 09/15/52			3,158		3,176,326
Series 2019-C17, Class D, 2.50%, 09/15/52(b)			2,481		1,648,202
Series 2020-C19, Class A3, 2.56%, 03/15/53			10,090		10,693,728
DBGS Mortgage Trust
Series 2018-5BP, Class B, (1 mo. LIBOR US + 0.83%), 1.02%, 06/15/33(a)(b)			2,890		2,755,218
Series 2019-1735, Class F, 4.33%, 04/10/37(b)(d)			1,144		821,283
Del Amo Fashion Center Trust, Series 2017-AMO, Class D, 3.76%, 06/05/35(b)(d)			962		686,811
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C1, Class A4, 3.28%, 05/10/49			1,430		1,553,666
Deutsche Bank UBS Mortgage Trust
Series 2017-BRBK, Class A, 3.45%, 10/10/34(b)			2,540		2,723,760
Series 2017-BRBK, Class D, 3.65%, 10/10/34(b)(c)(d)			1,800		1,715,525
Series 2017-BRBK, Class E, 3.65%, 10/10/34(b)(d)			4,290		4,215,969
Series 2017-BRBK, Class F, 3.65%, 10/10/34(b)(d)			1,740		1,677,055
Eleven Madison Trust Mortgage Trust,
Series 2015-11MD, Class A, 3.67%, 09/10/35(b)(d)			1,190		1,287,576
Exantas Capital Corp. Ltd., Series 2019-RSO7, Class AS, (1 mo. LIBOR US + 1.50%), 1.69%, 04/15/36(a)(b)			3,495		3,375,856
FREMF Mortgage Trust
Series 2017-K64, Class B, 4.12%, 05/25/50(b)(c)(d)			766		836,293
Series 2017-KGX1, Class BFX, 3.71%, 10/25/27(b)(d)			1,190		1,215,763
Series 2018-K74, Class B, 4.23%, 02/25/51(b)(d)			120		132,224
Series 2018-K80, Class B, 4.37%, 08/25/50(b)(d)			1,510		1,666,459
Series 2019-K103, Class B, 3.57%, 12/25/51(b)(d)			996		1,061,116
FRESB Mortgage Trust
Series 2018-SB52, Class A10F, 3.48%, 06/25/28(d)			2,362		2,526,769
Series 2018-SB53, Class A10F, 3.66%, 06/25/28(d)			1,391		1,532,007
GPMT Ltd., Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.90%), 1.09%, 11/21/35(a)(b)			781		768,757
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.71%, 06/10/28(b)(d)			1,662		1,601,842
GS Mortgage Securities Corp. II
Series 2005-ROCK, Class A, 5.37%, 05/03/32(b)			2,750		3,125,245
Series 2012-TMSQ, Class D, 3.57%, 12/10/30(b)(d)			1,210		1,042,540
GS Mortgage Securities Corp. Trust
Series 2017-500K, Class D, (1 mo. LIBOR US + 1.30%), 1.55%, 07/15/32(a)(b)			230		224,818
Series 2017-500K, Class E, (1 mo. LIBOR US + 1.50%), 1.75%, 07/15/32(a)(b)			480		466,180

43

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
GS Mortgage Securities Corp. Trust
Series 2017-500K, Class F, (1 mo. LIBOR US + 1.80%), 2.15%, 07/15/32(a)(b)	USD		549	$	531,131
Series 2017-500K, Class G, (1 mo. LIBOR US + 2.50%), 2.85%, 07/15/32(a)(b)			170		161,678
Series 2017-GPTX, Class A, 2.86%, 05/10/34(b)			2,290		2,255,287
Series 2019-BOCA, Class A, (1 mo. LIBOR US + 1.20%), 1.39%, 06/15/38(a)(b)			1,431		1,366,510
Series 2019-SOHO, Class A, (1 mo. LIBOR US + 0.90%), 1.09%, 06/15/36(a)(b)			3,715		3,622,358
Series 2019-SOHO, Class E, (1 mo. LIBOR US + 1.87%), 2.06%, 06/15/36(a)(b)			1,723		1,611,174
GS Mortgage Securities Trust
Series 2012-GCJ9, Class C, 4.45%, 11/10/45(b)(d)			1,207		1,200,935
Series 2014-GC20, Class B, 4.53%, 04/10/47(d)			140		144,917
Series 2014-GC24, Class A5, 3.93%, 09/10/47			882		960,390
Series 2015-590M, Class E, 3.93%, 10/10/35(b)(d)			1,790		1,742,745
Series 2015-GC28, Class B, 3.98%, 02/10/48			680		692,357
Series 2015-GC32, Class C, 4.57%, 07/10/48(d)			560		510,834
Series 2015-GS1, Class A3, 3.73%, 11/10/48			670		740,928
Series 2016-RENT, Class C, 4.20%, 02/10/29(b)(d)			1,070		1,060,416
Series 2017-GS7, Class D, 3.00%, 08/10/50(b)			530		383,847
Series 2017-GS7, Class E, 3.00%, 08/10/50(b)			180		123,166
Series 2019-GSA1, Class C, 3.93%, 11/10/52(d)			520		463,274
GSCG Trust, Series 2019-600C, Class F, 4.12%, 09/06/34(b)(d)			1,950		1,763,542
HMH Trust, Series 2017-NSS, Class A, 3.06%, 07/05/31(b)			3,390		3,256,265
Hudson Yards Mortgage Trust
Series 2016-10HY, Class A, 2.84%, 08/10/38(b)			2,640		2,804,942
Series 2019-30HY, Class E, 3.56%, 07/10/39(b)(d)			2,178		2,052,901
Series 2019-55HY, Class F, 3.04%, 12/10/41(b)(d)			4,179		3,659,141
IMT Trust
Series 2017-APTS, Class AFX, 3.48%, 06/15/34(b)			1,540		1,630,001
Series 2017-APTS, Class DFX, 3.61%, 06/15/34(b)(d)			1,600		1,478,300
Series 2017-APTS, Class EFX, 3.61%, 06/15/34(b)(d)			810		709,359
JPMBB Commercial Mortgage Securities Trust
Series 2014-C21, Class A5, 3.78%, 08/15/47			1,420		1,539,622
Series 2014-C22, Class A4, 3.80%, 09/15/47			563		611,910
Series 2014-C26, Class A4, 3.49%, 01/15/48			1,247		1,348,370
Series 2015-C33, Class D1, 4.27%, 12/15/48(b)(d)			1,873		1,406,777
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.21%, 06/15/51			965		1,130,685

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class A4FL, (1 mo. LIBOR US + 1.30%), 1.49%, 06/15/45(a)(b)	USD		405	$	404,616
Series 2014-C20, Class A5, 3.81%, 07/15/47			1,990		2,148,579
Series 2015-JP1, Class A5, 3.91%, 01/15/49			339		378,130
Series 2015-JP1, Class C, 4.89%, 01/15/49(d)			710		652,416
Series 2015-UES, Class C, 3.74%, 09/05/32(b)(d)			2,463		2,444,256
Series 2015-UES, Class E, 3.74%, 09/05/32(b)(d)			2,908		2,863,716
Series 2016-NINE, Class A, 2.95%, 09/06/38(b)(d)			647		680,558
Series 2017-FL10, Class E, (1 mo. LIBOR US + 3.90%), 4.09%, 06/15/32(a)(b)			560		516,541
Series 2017-JP5, Class D, 4.78%, 03/15/50(b)(c)(d)			1,650		1,143,285
Series 2017-JP6, Class A5, 3.49%, 07/15/50			1,180		1,313,626
Series 2017-JP7, Class B, 4.05%, 09/15/50			320		323,371
Series 2018-AON, Class A, 4.13%, 07/05/31(b)			2,825		2,992,990
Series 2018-AON, Class D, 4.77%, 07/05/31(b)(d)			1,518		1,551,032
Series 2019-BKWD, Class E, (1 mo. LIBOR US + 2.60%), 2.79%, 09/15/29(a)(b)			4,580		3,985,571
Series 2019-COR5, Class A3, 3.12%, 06/13/52			1,700		1,864,689
Series 2019-COR5, Class C, 3.75%, 06/13/52			988		790,953
Series 2019-MFP, Class E, (1 mo. LIBOR US + 2.16%), 2.35%, 07/15/36(a)(b)			2,460		2,250,221
Series 2019-MFP, Class F, (1 mo. LIBOR US + 3.00%), 3.19%, 07/15/36(a)(b)			891		795,528
Series 2019-OSB, Class E, 3.91%, 06/05/39(b)(d)			1,384		1,075,884
Series 2020-MKST, Class E, (1 mo. LIBOR US + 2.25%), 2.44%, 12/15/36(a)(b)			2,823		2,499,474
KNDL Mortgage Trust
Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 1.99%, 05/15/36(a)(b)			11,283		10,848,127
Series 2019-KNSQ, Class F, (1 mo. LIBOR US + 2.00%), 2.19%, 05/15/36(a)(b)			2,550		2,364,539
Ladder Capital Commercial Mortgage Trust, Series 2014-909, Class A, 3.39%, 05/15/31(b)			2,030		2,035,412
Lehman Brothers Small Balance Commercial Mortgage Trust
Series 2006-2A, Class M2, (1 mo. LIBOR US + 0.39%), 0.56%, 09/25/36(a)(b)			507		484,550
Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 0.43%, 03/25/37(a)(b)			809		756,680
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS, 3.36%, 04/20/48(b)(d)			1,121		1,130,043
MAD Mortgage Trust
Series 2017-330M, Class D, 4.11%, 08/15/34(b)(d)			1,085		1,086,319
Series 2017-330M, Class E, 4.17%, 08/15/34(b)(d)			1,846		1,818,021
MFT Trust Series 2020-ABC, Class C, 3.48%, 02/06/30(b)(d)			6,719		6,317,245

44

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
MFT Trust Series 2020-ABC, Class D, 3.48%, 02/06/30(b)(d)	USD		4,800	$	4,253,255
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C16, Class A5, 3.89%, 06/15/47			3,880		4,178,301
Series 2015-C23, Class A4, 3.72%, 07/15/50			1,016		1,110,683
Series 2015-C23, Class D, 4.29%, 07/15/50(b)(d)			210		160,195
Series 2015-C24, Class A4, 3.73%, 05/15/48			840		922,232
Series 2015-C25, Class C, 4.68%, 10/15/48(d)			430		392,920
Series 2015-C26, Class A5, 3.53%, 10/15/48			1,144		1,250,223
Series 2015-C26, Class D, 3.06%, 10/15/48(b)(c)			372		276,322
Series 2016-C31, Class A5, 3.10%, 11/15/49			2,903		3,094,041
Series 2017-C33, Class C, 4.56%, 05/15/50(d)			840		879,168
Morgan Stanley Capital Barclays Bank Trust,
Series 2016-MART, Class A, 2.20%, 09/13/31(b)			820		816,766
Morgan Stanley Capital I Trust
Series 2006-IQ11, Class C, 6.05%, 10/15/42(d)			1,601		1,580,110
Series 2007-T27, Class AJ, 6.22%, 06/11/42(d)			1,783		1,786,341
Series 2014-150E, Class D, 4.44%, 09/09/32(b)(d)			3,015		3,005,532
Series 2014-150E, Class F, 4.44%, 09/09/32(b)(d)			508		457,645
Series 2014-CPT, Class E, 3.56%, 07/13/29(b)(d)			250		255,048
Series 2014-CPT, Class F, 3.56%, 07/13/29(b)(d)			2,059		2,100,575
Series 2014-CPT, Class G, 3.56%, 07/13/29(b)(d)			1,290		1,316,048
Series 2015-MS1, Class A4, 3.78%, 05/15/48(d)			420		463,168
Series 2015-MS1, Class C, 4.17%, 05/15/48(d)			1,000		896,679
Series 2015-MS1, Class D, 4.17%, 05/15/48(b)(d)			310		236,581
Series 2017-CLS, Class F, (1 mo. LIBOR US + 2.60%), 2.79%, 11/15/34(a)(b)			6,092		5,901,775
Series 2017-H1, Class C, 4.28%, 06/15/50(d)			560		506,468
Series 2017-H1, Class D, 2.55%, 06/15/50(b)			4,190		2,719,516
Series 2017-HR2, Class D, 2.73%, 12/15/50(c)			430		344,387
Series 2018-H3, Class A5, 4.18%, 07/15/51			175		204,838
Series 2018-H3, Class C, 5.01%, 07/15/51(d)			420		421,270
Series 2018-L1, Class A3, 4.14%, 10/15/51			940		1,098,077
Series 2018-MP, Class E, 4.42%, 07/11/40(b)(d)			3,789		2,725,901
Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.74%, 07/15/35(a)(b)			417		364,809
Series 2019-AGLN, Class D, (1 mo. LIBOR US + 1.75%), 1.94%, 03/15/34(a)(b)			3,605		3,104,307
Series 2019-AGLN, Class F, (1 mo. LIBOR US + 2.60%), 2.79%, 03/15/34(a)(b)			3,840		3,022,307
Series 2019-H6, Class A4, 3.42%, 06/15/52			1,939		2,183,928
Series 2019-H7, Class A4, 3.26%, 07/15/52			2,450		2,738,010
Series 2019-L2, Class A4, 4.07%, 03/15/52			1,485		1,743,994

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Morgan Stanley Capital I Trust Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36(a)(b)	USD		1,400	$	1,232,757
Series 2020-L4, Class A3, 2.70%, 02/15/53			3,760		4,063,451
Series 2020-L4, Class D, 2.50%, 02/15/53(b)			4,269		2,645,634
Morgan Stanley Capital I, Inc., Series 2018-H3, Class D, 3.00%, 07/15/51(b)			960		630,190
MSCG Trust, Series 2018-SELF, Class F, (1 mo. LIBOR US + 3.05%), 3.24%, 10/15/37(a)(b)			2,550		2,384,678
Natixis Commercial Mortgage Securities Trust
Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.13%, 06/15/35(a)(b)			756		717,806
Series 2018-FL1, Class MCR1, (1 mo. LIBOR US + 2.35%), 2.53%, 06/15/35(a)(b)			646		601,215
Series 2019-LVL, Class D, 4.44%, 08/15/38(b)(d)			1,550		1,418,928
Olympic Tower Mortgage Trust, Series 2017-OT, Class E, 4.08%, 05/10/39(b)(d)			2,910		2,494,975
PFP Ltd.
Series 2019-5, Class A, (1 mo. LIBOR US + 0.97%), 1.17%, 04/14/36(a)(b)			1,533		1,479,537
Series 2019-5, Class AS, (1 mo. LIBOR US + 1.42%), 1.62%, 04/14/36(a)(b)			900		866,700
Prima Capital CRE Securitization Ltd.
Series 2015-4A, Class C, 4.00%, 08/24/49(b)(c)			1,590		1,627,524
Series 2016-6A, Class C, 4.00%, 08/24/40(b)(c)			7,170		6,453,000
Scorpio European Loan Conduit No. 34 DAC,
Series 34A, Class C, (3 mo. LIBOR GBP + 2.10%), 2.38%, 05/17/29(a)(b)	GBP		1,185		1,367,389
SG Commercial Mortgage Securities Trust,
Series 2019-PREZ, Class D, 3.59%, 09/15/39(b)(d)	USD		2,200		2,136,538
U.S.
Series 2018-USDC, Class E, 4.64%, 05/13/38(b)(d)			1,890		1,576,944
Series 2018-USDC, Class F, 4.64%, 05/13/38(b)(d)			1,420		1,018,864
UBS Commercial Mortgage Trust, Series 2017- C7, Class A4, 3.68%, 12/15/50			880		990,233
Velocity Commercial Capital Loan Trust
Series 2014-1, Class M7, 8.29%, 09/25/44(b)(d)			2,399		2,003,041
Series 2016-1, Class M4, 8.65%, 04/25/46(b)(d)			370		385,605
Series 2016-2, Class M2, 4.46%, 10/25/46(d)			200		200,638
Series 2016-2, Class M3, 5.50%, 10/25/46(d)			800		800,676
Series 2016-2, Class M4, 7.23%, 10/25/46(d)			370		373,958
Series 2017-1, Class M2, 4.45%, 05/25/47(b)(d)			410		406,083
Series 2017-1, Class M3, 5.35%, 05/25/47(b)(d)			410		400,393
Series 2017-2, Class M3, 4.24%, 11/25/47(b)(d)			552		498,520
Series 2017-2, Class M4, 5.00%, 11/25/47(b)(d)			332		279,101
Series 2018-1, Class M2, 4.26%, 04/25/48(b)			324		309,758
VNDO Mortgage Trust, Series 2013-PENN, Class D, 4.08%, 12/13/29(b)(d)			550		540,154
VNDO Trust, Series 2016-350P, Class D, 3.90%, 01/01/35(b)(d)			3,390		3,532,812

45

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class A5, 3.41%, 12/15/47	USD		550	$	573,765
Series 2015-C27, Class C, 3.89%, 02/15/48			902		801,214
Series 2015-C28, Class A4, 3.54%, 05/15/48			930		1,012,915
Series 2015-C31, Class A4, 3.70%, 11/15/48			590		639,804
Series 2015-NXS1, Class A5, 3.15%, 05/15/48			399		427,160
Series 2015-NXS2, Class A5, 3.77%, 07/15/58(d)			3,050		3,296,510
Series 2015-NXS4, Class A4, 3.72%, 12/15/48			608		672,777
Series 2015-P2, Class A4, 3.81%, 12/15/48			2,150		2,395,846
Series 2015-P2, Class D, 3.24%, 12/15/48(b)			1,784		1,265,144
Series 2016-C32, Class A3FL, (1 mo. LIBOR US + 1.42%), 1.61%, 01/15/59(a)			3,390		3,393,356
Series 2016-NXS5, Class B, 5.10%, 01/15/59(d)			860		965,634
Series 2017-C39, Class D, 4.50%, 09/15/50(b)(d)			594		417,549
Series 2017-C41, Class C, 4.66%, 11/15/50(d)			900		852,010
Series 2017-C41, Class D, 2.60%, 11/15/50(b)(d)			1,772		1,135,855
Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 1.04%, 12/13/31(a)(b)			1,508		1,428,474
Series 2018-1745, Class A, 3.87%, 06/15/36(b)(d)			1,987		2,191,655
Series 2018-BXI, Class E, (1 mo. LIBOR US + 2.16%), 2.34%, 12/15/36(a)(b)			827		781,038
Series 2018-C44, Class D, 3.00%, 05/15/51(b)			348		216,641
Series 2018-C45, Class C, 4.73%, 06/15/51			530		483,356
Series 2018-C47, Class A4, 4.44%, 09/15/61			2,740		3,256,451
Series 2019-C52, Class C, 3.56%, 08/15/52			1,880		1,864,330
Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 2.28%, 02/15/37(a)(b)			1,530		1,259,022
Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 2.93%, 02/15/37(a)(b)			1,300		1,045,656
WFRBS Commercial Mortgage Trust
Series 2014-C21, Class A5, 3.68%, 08/15/47			1,515		1,635,031
Series 2014-C24, Class B, 4.20%, 11/15/47(d)			770		690,437
					583,837,945
Interest Only Collateralized Mortgage Obligations — 0.0%
Seasoned Credit Risk Transfer Trust,
Series 2017-3, Class BIO, 0.00%, 07/25/56(b)(d)			3,239		447,256
Voyager OPTONE Delaware Trust,
Series 2009-1, Class SAA7, 2.17%, 02/25/38(b)(d)			14,174		4,871,432
					5,318,688
Interest Only Commercial Mortgage-Backed Securities — 0.2%
245 Park Avenue Trust, Series 2017-245P, Class XA, 0.27%, 06/05/37(b)(d)			13,000		154,639
Banc of America Commercial Mortgage Trust Series 2017-BNK3, Class XB, 0.78%, 02/15/50(d)			11,850		437,977
Series 2017-BNK3, Class XD, 1.44%, 02/15/50(b)(d)			5,000		350,850

Security		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
BANK
Series 2019-BN20, Class XA, 0.96%, 09/15/62(d)	USD		11,529	$	721,292
Series 2019-BN20, Class XB, 0.46%, 09/15/62(d)			39,279		1,119,318
Barclays Commercial Mortgage Trust
Series 2015-SRCH, Class XA, 1.12%, 08/10/35(b)(d)			17,710		929,775
Series 2019-C3, Class XA, 1.51%, 05/15/52(d)			9,959		756,707
BBCMS Mortgage Trust
Series 2020-C7, Class XA, 1.63%, 04/15/53(d)			8,135		917,909
Series 2020-C7, Class XB, 0.99%, 04/15/53(d)			1,596		135,483
Benchmark Mortgage Trust
Series 2019-B13, Class XA, 1.27%, 08/15/57(d)			58,242		4,318,587
Series 2019-B9, Class XA, 1.21%, 03/15/52(d)			20,958		1,469,256
Series 2020-B17, Class XB, 0.65%, 03/15/53(c)(d)			7,100		296,070
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class XD, 1.86%, 01/10/48(b)(d)			5,497		452,061
Series 2016-C4, Class XB, 0.89%, 05/10/58(d)			5,810		228,856
Commercial Mortgage Pass-Through Certificates
Series 2013-CR6, Class XA, 1.16%, 03/10/46(d)			16,508		319,720
Series 2015-3BP, Class XA, 0.17%, 02/10/35(b)(d)			150,000		652,500
Series 2015-CR25, Class XA, 0.99%, 08/10/48(d)			4,717		161,104
Series 2018-COR3, Class XD, 1.75%, 05/10/51(b)(d)			3,200		344,303
CSAIL Commercial Mortgage Trust
Series 2017-CX10, Class XB, 0.22%, 11/15/50(d)			12,490		181,576
Series 2019-C16, Class XA, 1.73%, 06/15/52(d)			41,493		4,301,119
Series 2019-C17, Class XA, 1.51%, 09/15/52(d)			39,642		3,629,056
Series 2019-C17, Class XB, 0.70%, 09/15/52(d)			19,090		803,527
DBGS Mortgage Trust, Series 2019-1735, Class X, 0.43%, 04/10/37(b)(d)			21,535		542,897
Deutsche Bank JPMorgan Mortgage Trust,
Series 2017-C6, Class XD, 1.00%, 06/10/50(d)			5,780		318,478
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class X1, 0.40%, 05/03/32(b)(d)			21,000		269,052
GS Mortgage Securities Trust, Series 2019- GSA1, Class XA, 0.96%, 11/10/52(d)			14,706		887,984
JPMBB Commercial Mortgage Securities Trust Series 2014-C22, Class XA, 0.99%, 09/15/47(d)			1,952		55,560
Series 2014-C23, Class XA, 0.78%, 09/15/47(d)			28,853		608,188
Series 2015-C29, Class XA, 0.84%, 05/15/48(d)			2,074		47,993

46

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C4, Class XC, 0.75%, 12/15/49(b)(d)	USD		4,940	$	194,196
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-LC11, Class XB, 0.65%, 04/15/46(d)			4,570		63,661
Series 2016-JP3, Class XC, 0.75%, 08/15/49(b)(d)			13,040		502,909
LSTAR Commercial Mortgage Trust,
Series 2017-5, Class X, 1.15%, 03/10/50(b)(d)			3,249		113,900
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19, Class XF, 1.36%, 12/15/47(b)(d)			4,370		202,593
Series 2015-C26, Class XD, 1.49%, 10/15/48(b)(d)			4,490		289,964
Morgan Stanley Capital I Trust
Series 2016-UBS9, Class XD, 1.76%, 03/15/49(b)(d)			13,984		1,139,416
Series 2017-H1, Class XD, 2.36%, 06/15/50(b)(d)			3,293		402,438
Series 2019-H6, Class XB, 0.87%, 06/15/52(d)			23,510		1,250,431
Series 2019-L2, Class XA, 1.19%, 03/15/52(d)			8,840		622,280
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 05/10/39(b)(d)			36,697		906,416
One Market Plaza Trust
Series 2017-1MKT, Class XCP, 0.22%, 02/10/32(b)(d)			53,230		128,284
Series 2017-1MKT, Class XNCP, 0.00%, 02/10/32(b)(c)(d)			10,646		106
UBS Commercial Mortgage Trust
Series 2019-C17, Class XA, 1.64%, 10/15/52(d)			32,671		3,288,128
Series 2019-C18, Class XA, 1.18%, 12/15/52(d)			35,806		2,437,837
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS4, Class XA, 1.01%, 12/15/48(d)			2,744		111,529
Series 2016-BNK1, Class XD, 1.40%, 08/15/49(b)(d)			4,420		282,836
Series 2019-C50, Class XA, 1.59%, 05/15/52(d)			20,745		1,886,248
					39,235,009
Principal Only Collateralized Mortgage Obligations — 0.0%
Seasoned Credit Risk Transfer Trust,
Series 2017-3, Class B, 0.00%, 07/25/56(b)(k)			1,578		165,644
Total Non-Agency Mortgage-Backed Securities — 4.7% (Cost: $920,290,351)					883,857,389
Preferred Securities
Capital Trusts — 0.5%
Banks — 0.1%
Bank of America Corp., (3 mo. LIBOR US + 2.93%), 5.88%(h)(j)			8,450		8,632,045
Chong Hing Bank Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.86%), 5.70%(h)(j)			250		232,332

Security		Par (000)		Value
Banks (continued)
Emirates NBD PJSC, (6 yr. Swap Semi 30/360 US + 3.66%), 6.13%(h)(j)	USD		1,850	$	1,841,328
Itau Unibanco Holding SA
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.86%), 6.50%(b)(h)(j)			946		879,496
(5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.98%), 6.13%(b)(h)(j)			1,607		1,502,545
Kookmin Bank, (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.64%), 4.35%(h)(j)			1,700		1,739,844
Lehman Brothers Holdings Capital Trust VII, 5.86%(c)(g)(j)			1,888		0
Nanyang Commercial Bank Ltd., (5 yr.
U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.21%), 5.00%(h)(j)			200		194,813
Shinhan Financial Group Co. Ltd., (5 yr.
U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.05%), 5.88%(h)(j)			900		953,156
Woori Bank, (5 yr. U.S. Treasury Yield Curve
Rate T Note Constant Maturity + 2.66%), 4.25%(h)(j)			200		199,625
					16,175,184
Capital Markets — 0.3%
Bank of New York Mellon Corp.
(3 mo. LIBOR US + 3.13%), 4.63%(h)(j)			9,722		9,570,337
(3 mo. LIBOR US + 3.42%), 3.73%(a)(j)			4,380		4,155,306
State Street Corp.
(3 mo. LIBOR US + 2.54%), 5.63%(h)(j)			19,655		19,016,212
(3 mo. LIBOR US + 3.60%), 5.25%(h)(j)			4,015		3,832,518
UBS Group AG, (5 yr. Swap Semi 30/360 US + 4.34%), 7.00%(b)(h)(j)			15,350		15,944,813
					52,519,186
Commercial Services & Supplies — 0.0%
King Talent Management Ltd., (5 yr.
U.S. Treasury Yield Curve Rate T Note Constant Maturity + 3.52%), 5.60%(h)(j)			600		510,000
					510,000
Insurance — 0.0%
Heungkuk Life Insurance Co. Ltd., (5 yr.
U.S. Treasury Yield Curve Rate T Note Constant Maturity + 2.47%), 4.48%(h)(j)			1,000		940,625
KDB Life Insurance Co. Ltd., (5 yr. U.S. Treasury Yield Curve Rate T Note Constant Maturity + 4.66%), 7.50%(h)(j)			900		812,531
					1,753,156
Machinery — 0.0%
Weichai International Hong Kong Energy Group Co. Ltd., (5 yr. U.S. Treasury Yield Curve
Rate T Note Constant Maturity + 6.08%), 3.75%(h)(j)			278		276,002
					276,002
Media — 0.1%
NBCUniversal Enterprise, Inc., 5.25%(b)(j)			13,680		13,714,200
					13,714,200

47

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Real Estate Management & Development — 0.0%
Agile Group Holdings Ltd., (5 yr. U.S. Treasury
Yield Curve Rate T Note Constant Maturity + 9.22%), 6.88%(h)(j)	USD		200	$	194,398
MAF Global Securities Ltd., (5 yr. Swap Semi 30/360 US + 3.48%), 5.50%(h)(j)			1,341		1,280,655
					1,475,053
Total Preferred Securities — 0.5% (Cost: $88,268,770)					86,422,781
U.S. Government Sponsored Agency Securities
Agency Obligations — 0.0%
Fannie Mae, 6.63%, 11/15/30			1,450		2,247,241
Collateralized Mortgage Obligations — 0.0%
Fannie Mae, Series 2003-W5, Class A, (1 mo. LIBOR US + 0.11%), 0.39%, 04/25/33(a)			2		1,610
Freddie Mac Series 2015-DN1, Class B, (1 mo. LIBOR US + 11.50%), 11.68%, 01/25/25(a)			488		432,088
Series 2015-HQ2, Class B, (1 mo. LIBOR US + 7.95%), 8.13%, 05/25/25(a)			521		396,128
Series 2017-DNA2, Class B1, (1 mo. LIBOR US + 5.15%), 5.34%, 10/25/29(a)			590		609,940
Series 2017-DNA3, Class B1, (1 mo. LIBOR US + 4.45%), 4.64%, 03/25/30(a)		��	1,860		1,842,774
Series 2017-HRP1, Class M2, (1 mo. LIBOR US + 2.45%), 2.64%, 12/25/42(a)			507		491,520
					3,774,060
Commercial Mortgage-Backed Securities — 0.0%
Fannie Mae, Series 2006-M2, Class A2A, 5.27%, 10/25/32(d)			717		809,073
Freddie Mac Series KL4F, Class A2AS, 3.68%, 10/25/25(d)			1,664		1,900,880
Series KW06, Class A2, 3.80%, 06/25/28(d)			1,040		1,223,689
Ginnie Mae Series 2015-97, Class VA, 2.25%, 12/16/38			1,020		1,055,615
Series 2016-158, Class VA, 2.00%, 03/16/35			667		677,279
					5,666,536
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Ginnie Mae Series 2012-23, Class IO, 0.32%, 06/16/53(d)			2,671		31,402
Series 2013-191, Class IO, 0.72%, 11/16/53(d)			2,740		73,371
Series 2013-30, Class IO, 0.77%, 09/16/53(d)			11,540		385,260
Series 2013-63, Class IO, 0.80%, 09/16/51(d)			15,498		650,580
Series 2013-78, Class IO, 0.74%, 10/16/54(d)			12,183		422,723
Series 2014-40, Class AI, 1.00%, 02/16/39			845		3,328
Series 2014-52, Class AI, 0.83%, 08/16/41			2,307		35,020
Series 2015-173, Class IO, 0.82%, 09/16/55(d)			5,522		280,732
Series 2015-22, Class IO, 0.64%, 03/16/55(d)			7,516		262,177
Series 2015-37, Class IO, 0.72%, 10/16/56(d)			2,043		94,312
Series 2015-48, Class IO, 0.66%, 02/16/50(d)			5,129		191,432
Series 2016-110, Class IO, 0.99%, 05/16/58(d)			5,626		349,144
Series 2016-113, Class IO, 1.15%, 02/16/58(d)			6,814		515,727
Series 2016-125, Class IO, 0.99%, 12/16/57(d)			7,655		473,248
Series 2016-128, Class IO, 0.95%, 09/16/56(d)			12,665		830,344

Security		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Ginnie Mae Series 2016-152, Class IO, 0.87%, 08/15/58(d)	USD		7,923	$	486,771
Series 2016-162, Class IO, 0.97%, 09/16/58(d)			24,671		1,720,185
Series 2016-165, Class IO, 0.96%, 12/16/57(d)			6,368		402,521
Series 2016-26, Class IO, 0.90%, 02/16/58(d)			30,185		1,616,251
Series 2016-36, Class IO, 0.87%, 08/16/57(d)			3,431		195,505
Series 2016-67, Class IO, 1.06%, 07/16/57(d)			3,433		209,726
Series 2016-92, Class IO, 0.90%, 04/16/58(d)			6,680		379,510
Series 2016-96, Class IO, 0.98%, 12/16/57(d)			15,900		909,651
Series 2018-85, Class IO, 0.48%, 07/16/60(d)			10,631		562,566
					11,081,486
Mortgage-Backed Securities — 53.1%
Fannie Mae Mortgage-Backed Securities
2.00%, 10/01/31 - 03/01/32			15,185		15,788,547
2.50%, 09/01/27 - 02/01/33			76,247		80,860,264
3.00%, 04/01/28 - 05/01/50			351,382		378,249,931
3.50%, 08/01/28 - 06/01/50			337,916		367,245,705
4.00%, 08/01/31 - 03/01/50			193,593		213,590,871
4.50%, 02/01/25 - 05/01/49			411,571		457,117,072
5.00%, 11/01/32 - 06/01/45			23,919		27,317,238
5.50%, 12/01/32 - 04/01/41			20,083		22,960,071
6.00%, 02/01/34 - 06/01/41			11,799		13,674,448
6.50%, 05/01/40			2,372		2,733,005
Freddie Mac Mortgage-Backed Securities
2.50%, 04/01/27 - 04/01/31			19,141		20,322,872
3.00%, 09/01/27 - 12/01/46			55,973		60,387,475
3.50%, 09/01/30 - 05/01/50			169,959		184,844,701
4.00%, 08/01/40 - 02/01/47			41,788		45,474,559
4.50%, 02/01/39 - 04/01/49			143,347		158,723,947
5.00%, 07/01/35 - 11/01/41			9,023		10,313,597
5.50%, 02/01/35 - 06/01/41			2,773		3,177,125
Ginnie Mae Mortgage-Backed Securities
2.50%, 07/15/50(r)			75,481		79,455,546
3.00%, 12/20/44 - 07/15/50(r)			510,493		541,478,467
3.50%, 01/15/42 - 07/15/50(r)			683,284		724,155,116
4.00%, 04/20/39 - 07/15/50(r)			266,720		283,824,164
4.50%, 12/20/39 - 07/15/50(r)			133,349		143,319,055
5.00%, 04/15/33 - 07/15/50(r)			37,357		40,857,497
5.50%, 07/15/50(r)			5,800		6,301,254
Uniform Mortgage-Backed Securities
2.00%, 07/01/35 - 07/01/50(r)			263,188		269,890,505
2.50%, 07/01/35 - 07/01/50(r)			3,158,170		3,290,817,490
3.00%, 07/01/35 - 07/01/50(r)			1,067,337		1,123,258,954
3.50%, 07/01/35 - 07/01/50(r)			244,769		257,407,335
4.00%, 07/01/35 - 07/01/50(r)			363,480		385,171,580
4.50%, 07/01/35 - 07/01/50(r)			641,680		689,338,190
5.00%, 07/01/50(r)			42,159		46,071,882
6.00%, 07/01/50(r)			9,938		11,062,403
					9,955,190,866
Total U.S. Government Sponsored Agency Securities — 53.2% (Cost: $9,858,679,634)					9,977,960,189
U.S. Treasury Obligations
U.S. Treasury Bonds
2.50%, 02/15/45			44,884		55,365,115
2.75%, 11/15/47			45,400		59,399,516
3.00%, 02/15/48			44,884		61,443,741

48

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)			Value
U.S. Treasury Obligations (continued)
U.S. Treasury Inflation Indexed Notes
0.50%, 04/15/24	USD		82,053		$	86,236,253
0.13%, 10/15/24 - 04/15/25			353,891			370,678,344
0.25%, 01/15/25			23,313			24,526,424
U.S. Treasury Notes
1.75%, 07/15/22 - 11/15/29			78,195			81,786,048
0.50%, 03/15/23 - 05/31/27			253,938			255,742,041
0.25%, 04/15/23			63,216			63,349,347
2.25%, 11/15/24			107,814			117,209,822
0.38%, 04/30/25			107,814			108,302,532
0.63%, 03/31/27			41,454			41,873,398
1.63%, 08/15/29			14,979			16,344,078
1.50%, 02/15/30			14,979			16,192,533
Total U.S. Treasury Obligations — 7.2% (Cost: $1,334,198,675)						1,358,449,192
		Shares
Warrants
Oil, Gas & Consumable Fuels — 0.0%
SM Energy Co. (Issued/Exercisable 07/14/20, 1 Share for 1 Warrant, Expires 06/30/23, Strike Price USD 0.00)(f)			51,102			191,121
Real Estate Management & Development — 0.0%
Target Hospitality Corp. (Issued/Exercisable 03/05/18, 1 Share for 1 Warrant, Expires 03/15/24, Strike Price USD 11.50)(f)			8,280			828
Total Warrants — 0.0% (Cost: $11,817)						191,949
Total Long-Term Investments — 125.7% (Cost: $23,205,962,434)						23,576,431,526
Short-Term Securities
Money Market Funds — 12.4%
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(p)(s)			2,318,044,441			2,318,044,441
Total Short-Term Securities — 12.4% (Cost: $2,318,044,441)						2,318,044,441
Options Purchased — 0.1% (Cost: $28,018,722)						23,691,879
Total Investments Before Options Written and TBA Sale
Commitments — 138.2%
(Cost: $25,552,025,597)						25,918,167,846
		Par (000)
TBA Sale Commitments
Mortgage-Backed Securities — (20.0)%
Ginnie Mae Mortgage-Backed Securities 3.00%, 07/15/50(r)	USD		(12,272	)		(13,002,088	)

Security		Par (000)			Value
Mortgage-Backed Securities (continued)
Ginnie Mae Mortgage-Backed Securities 3.50%, 07/15/50(r)	USD		(273,367	)	$	(288,455,357	)
4.00%, 07/15/50(r)			(1,109	)		(1,175,735	)
4.50%, 07/15/50			(2,734	)		(2,920,040	)
Uniform Mortgage-Backed Securities 2.00%, 07/01/35 - 07/01/50(r)			(131,594	)		(135,067,971	)
2.50%, 07/01/35 - 07/01/50(r)			(1,933,978	)		(2,016,087,655	)
3.00%, 07/01/50(r)			(428,683	)		(451,490,273	)
3.50%, 07/01/35 - 07/01/50(r)			(788,951	)		(829,705,371	)
4.00%, 07/01/35 - 07/01/50(r)			(7,634	)		(8,088,229	)
5.50%, 07/01/50(r)			(1,113	)		(1,224,667	)
Total TBA Sale Commitments — (20.0)% (Proceeds: $3,735,631,731)						(3,747,217,386	)
Options Written — (0.1)% (Premiums Received: $15,735,040)						(14,285,903	)
Total Investments Net of Options Written and TBA Sale Commitments — 118.1% (Cost: $21,800,658,826)						22,156,664,557
Liabilities in Excess of Other Assets — (18.1)%						(3,401,654,473	)
Net Assets — 100.0%					$	18,755,010,084

^(a)  Variable rate security. Rate shown is the rate in effect as of period end.

^(b) 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.

^(c) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(d) Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(e) Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

^(f) Non-income producing security.

^(g) Issuer filed for bankruptcy and/or is in default.

^(h) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

⁽ⁱ⁾ Convertible security.

^(j) Perpetual security with no stated maturity date.

^(k)  Zero-coupon bond.

^(l)  Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

^(m) Issuer is a U.S. branch of a foreign domiciled bank.

⁽ⁿ⁾ Fixed rate.

^(o) Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

^(p) Affiliate of the Master Portfolio.

^(q) When-issued security.

^(r) Represents or includes a TBA transaction. (s) Annualized 7-day yield as of period end.

49

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Affiliates

Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer	Par/Shares Held at 09/30/19		Par/Shares Purchased			Par/Shares Sold			Par/Shares Held at 06/30/20		Value at 06/30/20		Income			Net Realized Gain (Loss)(a)			Change in Unrealized Appreciation (Depreciation)
BlackRock Capital Finance LP, Series 1997-R2, Class  AP		3,374		—			—			3,374	$	3,145	$	—		$	—		$	88
BlackRock Liquidity Funds, T-Fund, Institutional Class		205,577,418		2,112,467,023	(b)		—			2,318,044,441		2,318,044,441		8,340,210			—			—
iShares China Large-Cap ETF(c)		—		248,821			(248,821	)		—		—		—			(137,505	)		—
iShares iBoxx $ Investment Grade Corporate Bond ETF		—		1,400,660			—			1,400,660		188,388,770		—			—			1,792,845
iShares iBoxx High Yield Corporate Bond ETF		—		3,616,252			(1,553,714	)		2,062,538		168,344,352		—			(432,273	)		1,269,513
iShares MSCI Emerging Markets ETF(c)		138,000		—			(138,000	)		—		—		—			245,218			128,478
iShares PHLX Semiconductor ETF(c)		—		33,746			(33,746	)		—		—		—			647,664			—
SL Liquidity Series, LLC, Money Market Series(c)		1,616,527		—			(1,616,527	)(b)		—		—		3,842	(d)		252			—
											$	2,674,780,708	$	8,344,052		$	323,356		$	3,190,924

^(a)  Includes net capital gain distributions, if applicable.

^(b)  Represents net shares purchased (sold).

^(c)  As of period end, the entity is no longer held by the Master Portfolio.

^(d)  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.

Currency Abbreviation
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CLP	Chilean Peso
CNY	Chinese Yuan
COP	Colombian Peso
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
IDR	Indonesian Rupiah
JPY	Japanese Yen
KRW	South Korean Won
KZT	Kazakhstani Tenge
MXN	Mexican Peso
PEN	Peruvian Sol
RUB	Russian Ruble
TRY	Turkish Lira
TWD	Taiwan New Dollar
USD	United States Dollar
ZAR	South African Rand
Portfolio Abbreviation
ABS	Asset-Backed Security
AGM	Assured Guaranty Municipal Corp.
AKA	Also Known As
AMBAC	AMBAC Assurance Corp.

50

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

AMT	Alternative Minimum Tax
BZDIOVER	Overnight Brazil CETIP - Interbank Rate
CDO	Collateralized Debt Obligation
CLO	Collateralized Loan Obligation
CORRA	Canadian OvernightRepo Rate Average
DAC	Designated Activity Co.
ETF	Exchange-Traded Fund
EURIBOR	Euro Interbank Offered Rate
FKA	Formally Known As
GMTN	Global Medium-Term Note
GNMA	Government National Mortgage Association
GO	General Obligation Bonds
HDA	Housing Development Authority
HFA	Housing Finance Agency
IO	Interest Only
LIBOR	London Interbank Offered Rate
LP	Limited Partnership
MTN	Medium-Term Note
MXIBTIIE	Mexico Interbank TIIE 28-Day
NPFGC	National Public Finance Guarantee Corp.
OTC	Over-the-Counter
PIK	Payment-in-Kind
RB	Revenue Bonds
REMIC	Real Estate Mortgage Investment Conduit
S&P	Standard & Poor’s
SCSDE	South Carolina State Department of Education
SONIA	Sterling Overnight Index Average
SPDR	Standard & Poor’s Depository Receipt
TA	Tax Allocation
TBA	To-be-Announced
Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
Euro-BTP Italian Government Bond		1,388		09/08/20	$	224,368	$	3,639,217
U.S. Treasury Bonds (30 Year)		1,859		09/21/20		331,948		2,969,041
U.S. Ultra Treasury Bonds		5,055		09/21/20		1,102,780		10,142,343
U.S. Treasury Notes (2 Year)		5,337		09/30/20		1,178,560		335,021
U.S. Treasury Notes (5 Year)		5,600		09/30/20		704,156		980,701
Euro Dollar		462		03/15/21		115,269		70,472
Euro Dollar		462		06/14/21		115,292		89,722
Euro Dollar		462		09/13/21		115,298		109,515
Euro Dollar		462		12/13/21		115,269		114,747
								18,450,779
Short Contracts
CBOE Volatility Index		18		08/19/20		573		7,454
Euro-Bund		964		09/08/20		191,180		(2,286,977	)

51

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Futures Contracts (continued)

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Euro-Buxl		432		09/08/20	$	106,757	$	(3,134,543	)
Euro-Schatz		3		09/08/20		378		(492	)
E-Mini S&P 500 Index		534		09/18/20		82,508		(507,410	)
Canadian Government Bonds (10 Year)		1,048		09/21/20		118,741		57,253
U.S. Treasury Notes (10 Year)		3,140		09/21/20		437,000		(879,200	)
U.S. Ultra Treasury Notes (10 Year)		635		09/21/20		100,003		(140,142	)
10 Year U.K. Gilt		652		09/28/20		111,198		(590,878	)
Euro Dollar		462		03/13/23		115,177		(206,728	)
Euro Dollar		462		06/19/23		115,130		(212,503	)
Euro Dollar		462		09/18/23		115,084		(218,278	)
Euro Dollar		462		12/18/23		115,021		(218,424	)
								(8,330,868	)
							$	10,119,911

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
KRW	5,474,336,400	USD	4,428,000	Deutsche Bank AG		07/02/20	$	123,162
USD	6,015,000	BRL	31,967,319	Bank of America N.A.		07/02/20		137,212
USD	3,528,000	BRL	18,907,827	BNP Paribas S.A.		07/02/20		51,443
USD	587,000	BRL	3,129,532	Citibank N.A.		07/02/20		11,577
USD	2,194,400	BRL	11,268,463	Citibank N.A.		07/02/20		122,483
USD	4,428,000	BRL	21,756,978	Citibank N.A.		07/02/20		427,573
USD	4,428,000	BRL	21,756,978	Citibank N.A.		07/02/20		427,573
USD	4,526,000	BRL	22,539,480	Deutsche Bank AG		07/02/20		381,696
USD	2,255,000	BRL	11,980,296	JPMorgan Chase Bank N.A.		07/02/20		52,199
AUD	1,344,000	USD	923,937	Standard Chartered Bank		07/06/20		3,589
EUR	122,926,000	USD	137,800,046	Goldman Sachs International		07/06/20		325,263
USD	659,437	AUD	939,200	Citibank N.A.		07/06/20		11,273
USD	8,268,013	EUR	7,329,000	Bank of America N.A.		07/06/20		32,812
USD	5,902,779	EUR	5,177,000	Deutsche Bank AG		07/06/20		85,664
USD	1,559,273	EUR	1,377,000	UBS AG		07/06/20		12,013
USD	969,351	JPY	103,594,000	Citibank N.A.		07/06/20		9,852
USD	986,801	JPY	105,855,000	Goldman Sachs International		07/06/20		6,360
USD	13,963,948	MXN	316,754,000	Citibank N.A.		07/06/20		194,215
AUD	7,513,000	USD	5,164,827	Deutsche Bank AG		07/15/20		20,363
USD	3,543,000	CLP	2,813,142,000	JPMorgan Chase Bank N.A.		07/15/20		117,187
USD	2,799,000	COP	10,452,865,500	JPMorgan Chase Bank N.A.		07/15/20		21,094
USD	2,799,000	COP	10,452,865,500	JPMorgan Chase Bank N.A.		07/15/20		21,094
USD	3,734,000	MXN	85,574,912	HSBC Bank PLC		07/15/20		18,578
USD	6,415,000	RUB	448,427,745	BNP Paribas S.A.		07/15/20		125,314
USD	3,210,000	RUB	224,388,630	BNP Paribas S.A.		07/15/20		62,706
USD	333,000	RUB	23,263,380	Citibank N.A.		07/15/20		6,706
USD	670,000	RUB	46,806,200	Citibank N.A.		07/15/20		13,492
USD	3,543,000	ZAR	61,370,074	Bank of America N.A.		07/15/20		12,374
USD	5,314,000	ZAR	92,046,451	Bank of America N.A.		07/15/20		18,560
USD	4,075,000	ZAR	70,171,500	Bank of America N.A.		07/15/20		38,028
USD	29,308,916	ZAR	503,887,677	JPMorgan Chase Bank N.A.		07/15/20		320,215
USD	24,052,000	ZAR	413,509,200	JPMorgan Chase Bank N.A.		07/15/20		262,781
USD	7,438,000	ZAR	127,876,327	JPMorgan Chase Bank N.A.		07/15/20		81,264
CLP	3,032,458,000	USD	3,688,000	Bank of America N.A.		07/20/20		5,252
USD	4,253,452	COP	15,899,405,000	UBS AG		07/27/20		32,459
USD	2,754,000	BRL	14,953,118	Citibank N.A.		08/04/20		9,148
USD	1,756,000	BRL	9,534,378	Citibank N.A.		08/04/20		5,833
USD	1,952,703	JPY	209,449,000	Morgan Stanley & Co. International PLC		08/05/20		12,024
USD	1,880,000	COP	6,802,404,000	Citibank N.A.		08/10/20		76,248
USD	1,880,000	COP	6,802,404,000	Citibank N.A.		08/10/20		76,248

52

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,880,000	COP	6,799,132,800	Citibank N.A.		08/10/20	$	77,116
USD	1,880,000	COP	6,799,132,800	Citibank N.A.		08/10/20		77,116
USD	7,277,124	COP	26,687,760,219	Barclays Bank PLC		09/16/20		221,106
USD	3,556,707	EUR	3,139,000	NatWest Markets PLC		09/16/20		23,985
USD	5,667,252	EUR	5,001,678	NatWest Markets PLC		09/16/20		38,217
USD	12,529,807	IDR	179,176,235,003	Barclays Bank PLC		09/16/20		94,382
USD	1,819,326	RUB	129,405,000	Barclays Bank PLC		09/16/20		17,162
USD	1,882,768	RUB	133,450,590	Credit Suisse International		09/16/20		24,263
USD	2,810,495	RUB	199,890,830	HSBC Bank PLC		09/16/20		26,708
USD	39,239,816	RUB	2,719,947,106	JPMorgan Chase Bank N.A.		09/16/20		1,360,376
USD	4,913,100	RUB	349,237,907	JPMorgan Chase Bank N.A.		09/16/20		49,426
USD	3,950,057	RUB	279,897,084	JPMorgan Chase Bank N.A.		09/16/20		52,060
USD	986,679	RUB	69,974,269	JPMorgan Chase Bank N.A.		09/16/20		12,180
USD	1,184,104	RUB	83,951,828	JPMorgan Chase Bank N.A.		09/16/20		14,946
USD	1,966,914	RUB	139,695,179	Morgan Stanley & Co. International PLC		09/16/20		21,444
USD	4,790,400	MXN	105,018,972	Barclays Bank PLC		09/23/20		271,848
								6,155,262
BRL	11,760,582	USD	2,194,400	BNP Paribas S.A.		07/02/20	$	(31,997	)
BRL	28,483,571	USD	5,314,000	Citibank N.A.		07/02/20		(76,764	)
BRL	14,934,942	USD	2,754,000	Citibank N.A.		07/02/20		(7,932	)
BRL	9,522,788	USD	1,756,000	Citibank N.A.		07/02/20		(5,058	)
BRL	19,066,300	USD	3,543,000	Deutsche Bank AG		07/02/20		(37,305	)
BRL	17,832,451	USD	3,543,000	Deutsche Bank AG		07/02/20		(264,171	)
BRL	14,096,926	USD	2,657,000	JPMorgan Chase Bank N.A.		07/02/20		(65,017	)
BRL	14,096,926	USD	2,657,000	JPMorgan Chase Bank N.A.		07/02/20		(65,017	)
BRL	18,909,877	USD	3,543,000	JPMorgan Chase Bank N.A.		07/02/20		(66,066	)
USD	4,428,000	KRW	5,385,333,600	JPMorgan Chase Bank N.A.		07/02/20		(49,169	)
JPY	209,449,000	USD	1,951,967	Morgan Stanley & Co. International PLC		07/06/20		(12,027	)
USD	268,695	AUD	405,000	BNP Paribas S.A.		07/06/20		(10,805	)
USD	15,479,683	CAD	21,117,000	Citibank N.A.		07/06/20		(75,238	)
USD	6,150,718	EUR	5,576,000	ANZBUS33		07/06/20		(114,732	)
USD	836,997	EUR	746,000	Deutsche Bank AG		07/06/20		(1,243	)
USD	1,233,403	EUR	1,102,000	Goldman Sachs International		07/06/20		(4,855	)
USD	34,811,459	EUR	31,000,000	HSBC Bank PLC		07/06/20		(21,567	)
USD	462,124	EUR	417,000	Morgan Stanley & Co. International PLC		07/06/20		(6,436	)
USD	3,597,849	EUR	3,212,868	Morgan Stanley & Co. International PLC		07/06/20		(12,277	)
USD	250,659	EUR	225,000	State Street Bank and Trust Co.		07/06/20		(2,161	)
USD	6,101,167	EUR	5,461,000	State Street Bank and Trust Co.		07/06/20		(35,064	)
USD	10,693,913	EUR	9,641,000	TD Securities, Inc.		07/06/20		(139,158	)
USD	57,504,616	EUR	51,662,000	UBS AG		07/06/20		(545,184	)
USD	2,801,000	KRW	3,372,011,860	BNP Paribas S.A.		07/06/20		(2,397	)
USD	2,801,000	KRW	3,372,011,860	BNP Paribas S.A.		07/06/20		(2,397	)
CLP	4,081,152,000	USD	5,314,000	Citibank N.A.		07/15/20		(344,019	)
CLP	3,036,675,500	USD	3,734,000	Deutsche Bank AG		07/15/20		(35,971	)
CLP	3,036,675,500	USD	3,734,000	Deutsche Bank AG		07/15/20		(35,971	)
COP	6,881,600,000	USD	1,840,000	JPMorgan Chase Bank N.A.		07/15/20		(11,177	)
COP	6,881,600,000	USD	1,840,000	JPMorgan Chase Bank N.A.		07/15/20		(11,177	)
EUR	6,543,000	USD	7,376,796	JPMorgan Chase Bank N.A.		07/15/20		(23,292	)
EUR	6,543,000	USD	7,376,795	JPMorgan Chase Bank N.A.		07/15/20		(23,292	)
JPY	851,540,157	AUD	11,558,000	JPMorgan Chase Bank N.A.		07/15/20		(88,923	)
JPY	392,092,911	USD	3,656,000	Citibank N.A.		07/15/20		(23,971	)
MXN	21,087,837	USD	929,000	Barclays Bank PLC		07/15/20		(13,426	)
MXN	61,301,692	USD	2,760,500	Citibank N.A.		07/15/20		(98,953	)
MXN	107,240,298	USD	4,668,000	Citibank N.A.		07/15/20		(11,928	)
MXN	61,171,576	USD	2,760,500	Deutsche Bank AG		07/15/20		(104,603	)
MXN	124,067,824	USD	5,566,600	JPMorgan Chase Bank N.A.		07/15/20		(179,924	)
MXN	90,154,556	USD	4,045,000	JPMorgan Chase Bank N.A.		07/15/20		(130,743	)
MXN	590,941,381	USD	26,514,000	JPMorgan Chase Bank N.A.		07/15/20		(856,989	)
MXN	92,063,294	USD	4,135,000	Morgan Stanley & Co. International PLC		07/15/20		(137,871	)
MXN	197,151,262	USD	8,855,000	Morgan Stanley & Co. International PLC		07/15/20		(295,247	)
RUB	931,459,166	USD	13,355,000	JPMorgan Chase Bank N.A.		07/15/20		(290,274	)

53

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
RUB	258,479,047	USD	3,706,000	JPMorgan Chase Bank N.A.		07/15/20	$	(80,551	)
RUB	1,482,523,102	USD	21,256,000	JPMorgan Chase Bank N.A.		07/15/20		(462,003	)
USD	3,602,635	IDR	51,950,000,000	Goldman Sachs International		07/15/20		(27,714	)
USD	29,697,746	IDR	433,958,310,948	JPMorgan Chase Bank N.A.		07/15/20		(627,954	)
USD	2,115,000	KRW	2,561,466,348	BNP Paribas S.A.		07/15/20		(14,584	)
USD	2,115,000	KRW	2,561,466,348	BNP Paribas S.A.		07/15/20		(14,583	)
USD	645,000	KRW	781,482,000	JPMorgan Chase Bank N.A.		07/15/20		(4,718	)
USD	645,000	KRW	781,482,000	JPMorgan Chase Bank N.A.		07/15/20		(4,718	)
USD	1,751,000	MXN	40,365,866	Deutsche Bank AG		07/15/20		(1,572	)
ZAR	62,384,832	USD	3,680,000	Citibank N.A.		07/15/20		(90,995	)
ZAR	62,384,832	USD	3,680,000	Citibank N.A.		07/15/20		(90,995	)
USD	12,753,000	TRY	88,282,643	Citibank N.A.		07/17/20		(72,435	)
USD	3,688,000	CLP	3,032,458,000	Citibank N.A.		07/20/20		(5,252	)
KZT	241,335,000	USD	620,000	Goldman Sachs International		07/24/20		(28,856	)
KZT	254,121,780	USD	650,760	NatWest Markets PLC		07/24/20		(28,295	)
USD	2,786,533	COP	10,619,477,000	JPMorgan Chase Bank N.A.		07/27/20		(32,739	)
USD	1,867,000	BRL	10,224,999	Citibank N.A.		08/04/20		(9,940	)
USD	924,020	AUD	1,344,000	Standard Chartered Bank		08/05/20		(3,659	)
USD	137,889,044	EUR	122,926,000	Goldman Sachs International		08/05/20		(328,698	)
USD	1,554,000	COP	5,891,214,000	NatWest Markets PLC		08/10/20		(8,137	)
USD	1,554,000	COP	5,891,214,000	NatWest Markets PLC		08/10/20		(8,137	)
JPY	100,000,000	USD	936,753	Morgan Stanley & Co. International PLC		09/15/20		(9,662	)
USD	506,927	CNH	3,634,112	Goldman Sachs International		09/15/20		(4,898	)
USD	4,585,030	EUR	4,078,421	Bank of America N.A.		09/15/20		(4,840	)
USD	3,549,915	HKD	27,550,000	Bank of America N.A.		09/15/20		(3,054	)
USD	3,550,432	HKD	27,553,485	Morgan Stanley & Co. International PLC		09/15/20		(2,985	)
USD	2,386,369	JPY	259,185,000	Goldman Sachs International		09/15/20		(16,512	)
USD	2,386,560	JPY	259,184,026	Morgan Stanley & Co. International PLC		09/15/20		(16,312	)
USD	1,301,469	TWD	38,600,260	Bank of America N.A.		09/15/20		(7,425	)
USD	12,401,861	CNH	88,285,000	Standard Chartered Bank		09/16/20		(31,380	)
USD	13,082,137	CNH	92,958,000	Standard Chartered Bank		09/16/20		(9,206	)
USD	1,790,749	EUR	1,591,408	UBS AG		11/27/20		(3,621	)
								(6,428,218	)
							$	(272,956	)

Exchange-Traded Options Purchased

Description	Number of Contracts		Expiration Date		Excercise Price		Notional Amount (000)		Value
Call
SPDR S&P 500 ETF Trust		3,519		07/02/20	USD	312.00	USD	108,512	$	378,292
U.S. Treasury Notes (10 Year)		2,009		07/02/20	USD	139.25	USD	279,596		376,688
SPDR S&P 500 ETF Trust		4,447		07/06/20	USD	315.00	USD	137,128		389,112
SPDR S&P 500 ETF Trust		3,575		07/10/20	USD	315.00	USD	110,239		700,700
SPDR S&P 500 ETF Trust		5,918		07/10/20	USD	325.00	USD	182,487		189,376
Amazon.com, Inc.		60		07/17/20	USD	2,900.00	USD	16,553		129,300
Communication Services Select Sector SPDR Fund		239		07/17/20	USD	55.00	USD	1,292		16,252
iShares Russell 2000 ETF		3,549		07/17/20	USD	150.00	USD	50,815		461,370
SPDR S&P 500 ETF Trust		1,490		07/17/20	USD	320.00	USD	45,946		238,400
SPDR S&P 500 ETF Trust		4,440		07/17/20	USD	325.00	USD	136,912		335,220
Technology Select Sector SPDR Fund		209		07/17/20	USD	107.00	USD	2,184		24,976
VanEck Vectors Semiconductor ETF		1,480		07/17/20	USD	155.00	USD	22,614		484,700
PowerShares QQQ Trust, Series 1 ETF		59		07/31/20	USD	255.00	USD	1,461		23,158
Amazon.com, Inc.		176		08/21/20	USD	2,700.00	USD	48,555		3,180,320
Caesars Entertainment Corp.		2,799		09/18/20	USD	10.00	USD	3,395		631,174
SPDR S&P 500 ETF Trust		119		09/18/20	USD	330.00	USD	3,669		50,040
										7,609,078

54

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Exchange-Traded Options Purchased (continued)

Description	Number of Contracts		Expiration Date			Excercise Price			Notional Amount (000)		Value
Put
SPDR S&P 500 ETF Trust		10,677		07/02/20	USD		300.00	USD		329,236	$	645,958
U.S. Treasury Notes (10 Year)		2,009		07/02/20	USD		139.25	USD		279,596		533,641
U.S. Treasury Long-Term Bonds Futures		393		07/24/20	USD		174.00	USD		70,175		122,813
Industrial Select Sector SPDR Fund		92		07/31/20	USD		64.00	USD		632		23,828
SPDR S&P 500 ETF Trust		89		07/31/20	USD		290.00	USD		2,744		35,867
Avis Budget Group, Inc.		4,174		08/21/20	USD		8.00	USD		9,554		52,175
SPDR S&P 500 ETF Trust		6,550		08/21/20	USD		305.00	USD		201,976		6,893,875
												8,308,157
											$	15,917,235

OTC Barrier Options Purchased

Description

Type of Option

Counterparty

Number of Contracts

Expiration Date

Exercise Price

Barrier Price/Range

Notional Amount

Value

Call

EUR Currency

Under-and-Out

Credit Suisse International

—

07/23/20

USD

1.14

USD

1.17

EUR

30,812

$

28,857

USD Currency

One-Touch

Bank of America N.A.

—

09/10/20

CLP

820.00

CLP

820.00

USD

680

317,763

USD Currency

One-Touch

Credit Suisse International

—

12/21/20

CAD

1.41

CAD

1.41

USD

736

319,747

666,367

Put

USD Currency

One-Touch

JPMorgan Chase Bank N.A.

—

07/03/20

CNH

6.70

CNH

6.70

USD

2,040

—

USD Currency

Down-and-Out

Goldman Sachs International

—

07/15/20

MXN

22.25

MXN

21.30

USD

9,201

15,587

15,587

$

681,954

OTC Options Purchased

Description	Counterparty	Number of Contracts		Expiration Date		Exercise Price			Notional Amount (000)			Value
Call
USD Currency	Bank of America N.A.		—		07/15/20		CLP	830.00		USD	8,765	$	80,767
USD Currency	Citibank N.A.		—		07/23/20		ZAR	18.00		USD	7,085		44,251
USD Currency	Citibank N.A.		—		07/23/20		ZAR	17.25		USD	7,085		148,387
USD Currency	Deutsche Bank AG		—		07/23/20		ZAR	19.00		USD	7,085		10,372
EUR Currency	Bank of America N.A.		—		07/30/20		USD	1.13		EUR	13,262		71,799
USD Currency	Bank of America N.A.		—		08/07/20		TRY	7.00		USD	6,174		67,350
USD Currency	HSBC Bank PLC		—		08/19/20		CNH	7.29		USD	30,279		37,719
USD Currency	JPMorgan Chase Bank N.A.		—		11/03/20		TWD	30.00		USD	13,122		41,724
													502,369
Put
USD Currency	Bank of America N.A.		—		07/02/20		BRL	5.00		USD	10,628		92
USD Currency	Bank of America N.A.		—		07/02/20		KRW	1,220.00		USD	12,399		208,539
USD Currency	Citibank N.A.		—		07/02/20		RUB	78.00		USD	34,151		3,236,544
USD Currency	BNP Paribas S.A.		—		07/03/20		CNH	6.90		USD	27,170		9
USD Currency	Bank of America N.A.		—		07/09/20		KRW	1,170.00		USD	17,714		3,738
GBP Currency	Deutsche Bank AG		—		07/10/20		USD	1.22		GBP	22,799		39,113
AUD Currency	Bank of America N.A.		—		07/15/20		USD	0.67		AUD	30,598		35,324
AUD Currency	JPMorgan Chase Bank N.A.		—		07/16/20		USD	0.68		AUD	9,177		17,533
USD Currency	JPMorgan Chase Bank N.A.		—		07/16/20		KRW	1,200.00		USD	14,722		98,743
USD Currency	Morgan Stanley & Co. International PLC		—		07/20/20		BRL	5.20		USD	7,378		69,217
USD Currency	BNP Paribas S.A.		—		07/21/20		CNH	6.85		USD	25,275		1,885
USD Currency	Standard Chartered Bank		—		07/21/20		JPY	106.00		USD	18,660		21,900
USD Currency	HSBC Bank PLC		—		07/27/20		MXN	22.60		USD	11,200		125,707
USD Currency	Bank of America N.A.		—		08/05/20		ZAR	16.90		USD	13,792		110,600
USD Currency	Bank of America N.A.		—		08/06/20		MXN	24.00		USD	6,997		349,891

55

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Options Purchased (continued)

Description	Counterparty	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
USD Currency	JPMorgan Chase Bank N.A.		—		09/10/20	TRY	6.50	USD	26,049	$	39,255
USD Currency	Bank of America N.A.		—		10/09/20	MXN	23.80	USD	8,759		424,660
											4,782,750
										$	5,285,119

OTC Interest Rate Swaptions Purchased

Description

Paid by the Fund

Received by the Fund

Counterparty

Expiration Date

Exercise Rate

Notional Amount (000)

Value

Rate

Frequency

Rate

Frequency

Put

30-Year Interest Rate Swap, 08/02/50

1.04

%

Semi-Annual

3-month LIBOR, 0.30%

Quarterly

Citibank N.A.

07/31/20

1.04

%

USD

34,815

$

463,414

10-Year Interest Rate Swap, 12/05/30

1.05

%

Semi-Annual

3-month LIBOR, 0.30%

Quarterly

Deutsche Bank AG

12/03/20

1.05

%

USD

120,483

669,685

10-Year Interest Rate Swap, 12/18/30

1.05

%

Semi-Annual

3-month LIBOR, 0.30%

Quarterly

Deutsche Bank AG

12/16/20

1.05

%

USD

45,167

276,623

10-Year Interest Rate Swap, 12/19/30

1.00

%

Semi-Annual

3-month LIBOR, 0.30%

Quarterly

Bank of America N.A.

12/17/20

1.00

%

USD

55,350

397,849

$

1,807,571

Exchange-Traded Options Written

Description	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
Call
SPDR S&P 500 ETF Trust		176		07/17/20	USD	310.00	USD	5,427	$	(99,880	)
U.S. Treasury 10-Year Notes Futures		260		07/17/20	USD	139.25	USD	36,185		(101,562	)
Amazon.com, Inc.		235		08/21/20	USD	2,800.00	USD	64,832		(3,083,200	)
										(3,284,642	)
Put
SPDR S&P 500 ETF Trust		2,933		07/01/20	USD	310.00	USD	90,442		(725,917	)
SPDR S&P 500 ETF Trust		5,918		07/10/20	USD	290.00	USD	182,487		(648,021	)
iShares Russell 2000 ETF		2,363		07/17/20	USD	125.00	USD	33,833		(134,691	)
SPDR S&P 500 ETF Trust		177		07/17/20	USD	295.00	USD	5,458		(53,277	)
SPDR S&P 500 ETF Trust		463		07/17/20	USD	265.00	USD	14,277		(23,845	)
SPDR S&P 500 ETF Trust		1,480		07/17/20	USD	280.00	USD	45,637		(174,640	)
U.S. Treasury 10-Year Notes Futures		260		07/17/20	USD	137.75	USD	36,185		(20,313	)
U.S. Treasury Long-Term Bonds Futures		195		07/24/20	USD	170.00	USD	34,820		(18,281	)
SPDR S&P 500 ETF Trust		60		07/31/20	USD	275.00	USD	1,850		(12,120	)
SPDR S&P 500 ETF Trust		111		07/31/20	USD	265.00	USD	3,423		(13,986	)
SPDR S&P 500 ETF Trust		3,253		08/21/20	USD	280.00	USD	100,310		(1,515,898	)
SPDR S&P 500 ETF Trust		6,000		08/21/20	USD	285.00	USD	185,016		(3,315,000	)
SPDR S&P 500 ETF Trust		60		09/18/20	USD	270.00	USD	1,850		(33,510	)
SPDR S&P 500 ETF Trust		177		09/18/20	USD	280.00	USD	5,458		(130,272	)
SPDR S&P 500 ETF Trust		1,490		09/18/20	USD	250.00	USD	45,946		(460,410	)
										(7,280,181	)
									$	(10,564,823	)

OTC Barrier Options Written

Description

Type of Security

Counterparty

Number of Contracts

Expiration Date

Excercise Price

Barrier Price/Range

Notional Amount (000)

Value

Call

USD Currency

One-Touch

Credit Suisse International

—

10/21/20

CAD 1.41

CAD 1.41

USD

613

$

(215,722

)

56

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Options Written

Description	Counterparty	Number of Contracts		Expiration Date		Excerise Price			Notional Amount (000)			Value
Call
USD Currency	Bank of America N.A.		—		07/02/20		KRW	1,240.00		USD	12,399	$	(15)
USD Currency	BNP Paribas S.A.		—		07/02/20		BRL	5.35		USD	8,856		(175,494)
AUD Currency	JPMorgan Chase Bank N.A.		—		07/09/20		JPY	71.00		AUD	5,415		(176,000)
USD Currency	Bank of America N.A.		—		07/09/20		MXN	25.00		USD	2,628		(1,747)
USD Currency	Bank of America N.A.		—		07/15/20		CLP	855.00		USD	8,765		(28,863)
USD Currency	Citibank N.A.		—		07/23/20		ZAR	19.00		USD	7,085		(10,372)
USD Currency	Citibank N.A.		—		07/23/20		ZAR	18.00		USD	14,171		(88,508)
USD Currency	HSBC Bank PLC		—		07/27/20		MXN	24.00		USD	11,200		(94,931)
EUR Currency	Bank of America N.A.		—		07/30/20		USD	1.15		EUR	13,262		(26,555)
USD Currency	Bank of America N.A.		—		08/06/20		MXN	25.50		USD	2,624		(9,848)
USD Currency	HSBC Bank PLC		—		08/19/20		CNH	7.50		USD	30,279		(10,892)
													(623,225)
Put
USD Currency	Citibank N.A.		—		07/02/20		RUB	75.00		USD	34,151		(1,798,213)
USD Currency	JPMorgan Chase Bank N.A.		—		07/03/20		CNH	6.90		USD	27,170		(9)
GBP Currency	Deutsche Bank AG		—		07/10/20		USD	1.19		GBP	22,799		(4,388)
AUD Currency	Bank of America N.A.		—		07/15/20		USD	0.65		AUD	30,598		(7,358)
AUD Currency	Bank of America N.A.		—		07/15/20		USD	0.63		AUD	30,598		(1,835)
USD Currency	Bank of America N.A.		—		07/15/20		CLP	795.00		USD	8,765		(22,850)
AUD Currency	JPMorgan Chase Bank N.A.		—		07/16/20		USD	0.64		AUD	4,589		(486)
AUD Currency	JPMorgan Chase Bank N.A.		—		07/16/20		USD	0.66		AUD	9,177		(3,785)
USD Currency	JPMorgan Chase Bank N.A.		—		07/16/20		KRW	1,185.00		USD	22,082		(45,805)
USD Currency	Morgan Stanley & Co. International PLC		—		07/20/20		BRL	4.95		USD	11,066		(23,378)
USD Currency	Citibank N.A.		—		07/23/20		ZAR	17.00		USD	7,085		(46,024)
USD Currency	Bank of America N.A.		—		08/06/20		MXN	23.00		USD	6,997		(148,244)
USD Currency	Bank of America N.A.		—		08/07/20		TRY	6.60		USD	6,174		(6,603)
USD Currency	JPMorgan Chase Bank N.A.		—		08/07/20		TWD	29.25		USD	6,998		(42,998)
USD Currency	Bank of America N.A.		—		10/09/20		MXN	22.80		USD	14,015		(331,865)
													(2,483,841)
												$	(3,107,066)

OTC Interest Rate Swaptions Written

	Paid by the Fund			Received by the Fund				Expiration		Exercise			Notional Amount
Description	Rate		Frequency	Rate		Frequency	Counterparty	Date		Rate					(000)		Value
Call
30-Year Interest Rate Swap, 07/22/50		0.87%	Semi-Annual		3-month LIBOR, 0.30%	Quarterly	BNP Paribas S.A.		07/20/20		0.87	%		USD		15,204	$	(235,874	)
Put
30-Year Interest Rate Swap, 07/22/50		3-month LIBOR, 0.30%	Quarterly		1.17%	Semi-Annual	BNP Paribas S.A.		07/20/20		1.17	%		USD		15,204		(41,284	)
30-Year Interest Rate Swap, 08/02/50		3-month LIBOR, 0.30%	Quarterly		1.24%	Semi-Annual	Citibank N.A.		07/31/20		1.24	%		USD		34,815		(121,134	)
																		(162,418	)
																	$	(398,292	)

57

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Termination Date		Notional Amount (000)			Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
CDX.NA.HY.33.V1		5.00	%		Quarterly		12/20/24		USD	36,654	$	156,218	$	(2,931,518)	$	3,087,736

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Termination Date		Credit Rating(a)		Notional Amount (000)(b)			Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.HY.34.V5		5.00	%		Quarterly		06/20/25		B+		USD	4,992	$	(28,196	)	$	(59,753	)	$	31,557
CDX.NA.IG.34.V1		1.00	%		Quarterly		06/20/25		BBB+		USD	18,059		215,588			(9,894	)		225,482
													$	187,392		$	(69,647	)	$	257,039

(a) Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

(b) The maximum potential amount the Portfolio may pay should a negative credit event take place as defined under the terms of agreement.

Centrally Cleared Inflation Swaps

Paid by the Fund		Received by the Fund		Termination Date		Notional Amount (000)			Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Reference	Frequency	Rate	Frequency
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(0.96)%	At Termination		04/15/21		USD	130,790	$	(851,412)	$	—	$	(851,412)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.00)%	At Termination		04/15/21		USD	130,789		(897,854)		—		(897,854)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.00)%	At Termination		04/15/21		USD	130,789		(897,854)		—		(897,854)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(1.02)%	At Termination		04/15/21		USD	130,789		(921,825)		—		(921,825)
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(0.60)%	At Termination		04/15/21		USD	76,394		(293,446)		—		(293,446)
0.00%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/22		USD	130,789		1,290,383		—		1,290,383
0.01%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/22		USD	130,789		1,260,302		—		1,260,302
0.02%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/22		USD	130,789		1,240,246		—		1,240,246
0.04%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/22		USD	130,789		1,185,085		—		1,185,085
0.27%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/22		USD	76,394		426,294		—		426,294

58

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Centrally Cleared Inflation Swaps (continued)

Paid by the Fund		Received by the Fund		Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Reference	Frequency	Rate	Frequency
U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination	(0.05)%	At Termination		04/15/22		USD	196,184	$	(2,123,522	)	$	—	$	(2,123,522	)
0.62%	At Termination	U.S. CPI Urban Consumers NAS (CPURNSA)	At Termination		04/15/24		USD	196,184		2,873,107			—		2,873,107
									$	2,289,504		$	—	$	2,289,504

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund		Effective Date		Termination Date		Notional Amount (000)		Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
1.57%	At Termination	1-day CORRA, 0.25%	At Termination		N/A		07/15/20	CAD	412,484	$	(474,085)	$	—	$	(474,085)
1.59%	At Termination	1-day CORRA, 0.25%	At Termination		N/A		07/15/20	CAD	421,526		(497,096)		—		(497,096)
1-day CORRA, 0.25%	At Termination	1.69%	At Termination		07/15/20		09/09/20	CAD	625,952		1,022,627		137		1,022,490
0.69%	Semi-Annual	3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual		04/01/21		04/01/22	CAD	48,546		(48,235)		—		(48,235)
0.73%	Semi-Annual	3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual		04/05/21		04/05/22	CAD	307,400		(400,227)		—		(400,227)
0.77%	Semi-Annual	3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual		04/07/21		04/07/22	CAD	641,040		(1,009,822)		—		(1,009,822)
0.71%	Semi-Annual	3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual		04/09/21		04/09/22	CAD	29,680		(33,688)		—		(33,688)
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.66%	Semi-Annual		05/13/22		05/13/23	CAD	615,020		(408,674)		—		(408,674)
1-day SONIA, 0.06%	At Termination	0.02%	At Termination		05/26/22		05/26/23	GBP	727,030		721,120		—		721,120
1-day SONIA, 0.06%	At Termination	0.02%	At Termination		05/26/22		05/26/23	GBP	51,040		48,093		—		48,093
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.74%	Semi-Annual		05/26/22		05/26/23	CAD	211,390		(28,660)		—		(28,660)

59

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date		Termination Date		Notional Amount (000)		Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.73%	Semi-Annual		05/30/22		05/30/23	CAD	171,326	$	(30,903)	$	—	$	(30,903)
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.76%	Semi-Annual		05/30/22		05/30/23	CAD	175,453		6,957		—		6,957
0.06%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.08%	At Termination		05/31/22		05/31/23	USD	150,421		(100,593)		—		(100,593)
0.08%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.08%	At Termination		05/31/22		05/31/23	USD	124,849		(108,808)		—		(108,808)
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.76%	Semi-Annual		06/01/22		06/01/23	CAD	342,651		(283)		—		(283)
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.77%	Semi-Annual		06/01/22		06/01/23	CAD	342,650		5,999		—		5,999
0.05%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.08%	At Termination		06/02/22		06/02/23	USD	121,912		(68,558)		—		(68,558)
0.04%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.08%	At Termination		06/03/22		06/03/23	USD	243,824		(114,188)		—		(114,188)
0.04%	At Termination	1-day Overnight Fed Funds Effective Rate, 0.08%	At Termination		06/03/22		06/03/23	USD	243,824		(120,400)		—		(120,400)
1-day SONIA, 0.06%	At Termination	0.04%	At Termination		06/03/22		06/03/23	GBP	26,040		30,838		—		30,838
0.74%	Semi-Annual	3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual		06/27/22		06/27/23	CAD	637,745		179,831		6,760		173,071

60

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date	Termination Date		Notional Amount (000)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	1.07%	Semi-Annual	04/03/23		04/03/24	CAD	48,546	$	63,269		$	—		$	63,269
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	1.09%	Semi-Annual	04/03/23		04/03/24	CAD	307,400		455,627			—			455,627
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	1.21%	Semi-Annual	04/10/23		04/10/24	CAD	29,680		68,790			—			68,790
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	1.22%	Semi-Annual	04/10/23		04/10/24	CAD	641,040		1,532,702			—			1,532,702
28-day MXIBTIIE, 5.28%	Monthly	6.67%	Monthly	N/A		08/12/24	MXN	258,548		852,320			587			851,733
28-day MXIBTIIE, 5.28%	Monthly	6.72%	Monthly	N/A		08/13/24	MXN	222,465		750,071			489			749,582
28-day MXIBTIIE, 5.28%	Monthly	6.59%	Monthly	N/A		11/08/24	MXN	169,474		552,603			1,192			551,411
28-day MXIBTIIE, 5.28%	Monthly	5.20%	Monthly	N/A		05/02/25	MXN	461,445		342,880			—			342,880
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.75%	Semi-Annual	N/A		05/26/25	CAD	143,415		(11,427	)		(467	)		(10,960	)
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.82%	Semi-Annual	N/A		06/03/25	CAD	5,855		14,005			(30	)		14,035
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.82%	Semi-Annual	N/A		06/03/25	CAD	5,855		12,933			(58	)		12,991
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.85%	Semi-Annual	N/A		06/04/25	CAD	63,000		219,397			(809	)		220,206
3-month Canadian Bankers Acceptances, 0.56%	Semi-Annual	0.85%	Semi-Annual	N/A		06/04/25	CAD	63,000		214,780			(353	)		215,133
28-day MXIBTIIE, 5.28%	Monthly	6.32%	Monthly	N/A		07/17/25	MXN	73,475		216,803			284			216,519

61

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund		Received by the Fund		Effective Date		Termination Date		Notional Amount (000)		Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
2.91%	Quarterly	3-month LIBOR, 0.30%	Semi-Annual		N/A		08/23/26	USD	3,692	$	(605,705)	$	(46)	$	(605,659)
2.93%	Quarterly	3-month LIBOR, 0.30%	Semi-Annual		N/A		08/24/28	USD	8,170		(1,664,105)		128		(1,664,233)
3.16%	Quarterly	3-month LIBOR, 0.30%	Semi-Annual		N/A		10/03/28	USD	4,519		(987,027)		71		(987,098)
28-day MXIBTIIE, 5.28%	Monthly	5.99%	Monthly		N/A		05/02/30	MXN	122,617		143,080		33		143,047
28-day MXIBTIIE, 5.28%	Monthly	6.03%	Monthly		N/A		05/02/30	MXN	122,617		160,198		27		160,171
28-day MXIBTIIE, 5.28%	Monthly	6.03%	Monthly		N/A		05/03/30	MXN	109,630		141,537		57		141,480
28-day MXIBTIIE, 5.28%	Monthly	5.96%	Monthly		N/A		05/06/30	MXN	88,916		93,858		22		93,836
3-month LIBOR, 0.30%	Semi-Annual	0.64%	Quarterly		08/12/20		08/12/30	USD	45,650		(58,849)		—		(58,849)
3-month LIBOR, 0.30%	Semi-Annual	0.80%	Quarterly		12/18/20		12/18/30	USD	12,195		146,765		—		146,765
3-month LIBOR, 0.30%	Semi-Annual	0.75%	Quarterly		12/21/20		12/21/30	USD	14,945		104,766		—		104,766
3-month LIBOR, 0.30%	Semi-Annual	0.88%	Quarterly		N/A		07/02/50	USD	3,682		(38,818)		(3,416)		(35,402)
										$	1,291,698	$	4,608	$	1,287,090

OTC Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)		Value			Upfront Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
United Mexican States		1.00	%		Quarterly	Bank of America N.A.		09/20/20	USD	7,452	$		(12,166)	$	4,159		$	(16,325	)
Australia & New Zealand Banking Group Ltd.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	795		(3,769	)		(385	)		(3,384	)
Australia & New Zealand Banking Group Ltd.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	1,205		(5,709	)		(529	)		(5,180	)
Australia & New Zealand Banking Group Ltd.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	1,000		(4,739	)		(34	)		(4,705	)
Avis Budget Group, Inc.		5.00			Quarterly	Barclays Bank PLC		12/20/20	USD	2,550		23,513			229,834			(206,321	)
Avis Budget Group, Inc.		5.00			Quarterly	Barclays Bank PLC		12/20/20	USD	2,545		58,344			287,205			(228,861	)
Avis Budget Group, Inc.		5.00			Quarterly	Barclays Bank PLC		12/20/20	USD	2,545		23,467			369,780			(346,313	)
Avis Budget Group, Inc.		5.00			Quarterly	Goldman Sachs International		12/20/20	USD	2,555		23,559			201,889			(178,330	)
Chesapeake Energy Corp.		5.00			Quarterly	Goldman Sachs International		12/20/20	USD	563		548,172			96,382			451,790
Chesapeake Energy Corp.		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	3,660		3,562,968			521,055			3,041,913
Commonwealth Bank of Australia		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	1,150		(5,520	)		(397	)		(5,123	)
Commonwealth Bank of Australia		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	1,000		(4,800	)		(255	)		(4,545	)
Itochu Corp.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	29,326		(1,321	)		(55	)		(1,266	)
Itochu Corp.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	29,326		(1,321	)		(58	)		(1,263	)

62

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Credit Default Swaps — Buy Protection (continued)

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)		Value			Upfront Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
Itochu Corp.		1.00	%		Quarterly	Goldman Sachs International		12/20/20	JPY	29,326	$		(1,321)	$	(58	)	$	(1,263	)
Itochu Corp.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	32,023		(1,443	)		(53	)		(1,390	)
Mitsubishi Corp.		1.00			Quarterly	Barclays Bank PLC		12/20/20	JPY	47,573		(2,152	)		(282	)		(1,870	)
Mitsubishi Corp.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	29,326		(1,327	)		(113	)		(1,214	)
Mitsui & Co. Ltd.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	58,651		(2,643	)		(89	)		(2,554	)
Mitsui & Co. Ltd.		1.00			Quarterly	Goldman Sachs International		12/20/20	JPY	29,326		(1,322	)		(45	)		(1,277	)
National Australia Bank Ltd.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	USD	1,000		(4,715	)		(129	)		(4,586	)
Standard Chartered Bank		1.00			Quarterly	BNP Paribas S.A.		12/20/20	EUR	460		(2,339	)		1,105			(3,444	)
Standard Chartered Bank		1.00			Quarterly	BNP Paribas S.A.		12/20/20	EUR	810		(4,118	)		1,866			(5,984	)
Standard Chartered Bank		1.00			Quarterly	Goldman Sachs International		12/20/20	EUR	610		(3,101	)		627			(3,728	)
Standard Chartered Bank		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/20	EUR	240		(1,220	)		589			(1,809	)
Sumitomo Corp.		1.00			Quarterly	Barclays Bank PLC		12/20/20	JPY	24,938		(1,121	)		34			(1,155	)
Sumitomo Corp.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/20	JPY	25,316		(1,138	)		78			(1,216	)
Westpac Banking Corp.		1.00			Quarterly	Citibank N.A.		12/20/20	USD	1,000		(4,755	)		(300	)		(4,455	)
DISH DBS Corp.		5.00			Quarterly	Goldman Sachs International		12/20/23	USD	2,168		(89,550	)		77,610			(167,160	)
KB Home		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	2,138		(218,764	)		(124,757	)		(94,007	)
Realogy Group LLC		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	1,069		39,413			(7,292	)		46,705
RR Donnelley & Sons Co.		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/23	USD	1,070		163,990			37,721			126,269
Beazer Homes USA, Inc.		5.00			Quarterly	Barclays Bank PLC		06/20/24	USD	1,199		(54,610	)		(63,641	)		9,031
Beazer Homes USA, Inc.		5.00			Quarterly	BNP Paribas S.A.		06/20/24	USD	1,000		(45,547	)		(46,867	)		1,320
Beazer Homes USA, Inc.		5.00			Quarterly	BNP Paribas S.A.		06/20/24	USD	1,103		(50,238	)		(55,784	)		5,546
Tenet Healthcare Corp.		5.00			Quarterly	Barclays Bank PLC		06/20/24	USD	1,000		15,024			(9,353	)		24,377
Tenet Healthcare Corp.		5.00			Quarterly	Goldman Sachs International		06/20/24	USD	1,175		10,624			(33,713	)		44,337
Tenet Healthcare Corp.		5.00			Quarterly	Goldman Sachs International		06/20/24	USD	1,150		10,397			(32,996	)		43,393
Tenet Healthcare Corp.		5.00			Quarterly	Goldman Sachs International		06/20/24	USD	1,175		10,623			(33,743	)		44,366
Tenet Healthcare Corp.		5.00			Quarterly	Goldman Sachs International		06/20/24	USD	1,223		18,374			(13,837	)		32,211
Tenet Healthcare Corp.		5.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/24	USD	500		4,521			(5,476	)		9,997
Avis Budget Group, Inc.		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/24	USD	750		131,597			56,767			74,830
Avis Budget Group, Inc.		5.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/24	USD	1,680		294,776			125,990			168,786
Boeing Co.		1.00			Quarterly	BNP Paribas S.A.		12/20/24	USD	2,250		134,441			(40,163	)		174,604
Boeing Co.		1.00			Quarterly	Morgan Stanley & Co. International PLC		12/20/24	USD	5,950		355,523			(62,869	)		418,392
Broadcom, Inc.		1.00			Quarterly	JPMorgan Chase Bank N.A.		12/20/24	USD	1,325		(89	)		36,354			(36,443	)
Occidental Petroleum Corp.		1.00			Quarterly	Barclays Bank PLC		12/20/24	USD	5,080		989,242			2,383,251			(1,394,009	)
Avis Budget Group, Inc.		5.00			Quarterly	JPMorgan Chase Bank N.A.		06/20/25	USD	2,540		546,363			313,612			232,751
Federative Republic of Brazil		1.00			Quarterly	Morgan Stanley & Co. International PLC		06/20/25	USD	6,047		430,789			763,168			(332,379	)
Federative Republic of Brazil		1.00			Quarterly	Morgan Stanley & Co. International PLC		06/20/25	USD	8,081		575,653			1,128,758			(553,105	)
Republic of Chile		1.00			Quarterly	Citibank N.A.		06/20/25	USD	5,147		(35,406	)		160,922			(196,328	)
Republic of South Africa		1.00			Quarterly	Barclays Bank PLC		06/20/25	USD	3,602		336,955			305,806			31,149
Republic of South Africa		1.00			Quarterly	Goldman Sachs International		06/20/25	USD	6,366		595,561			508,167			87,394
Republic of South Africa		1.00			Quarterly	Goldman Sachs International		06/20/25	USD	6,122		572,765			538,037			34,728
Republic of South Africa		1.00			Quarterly	Goldman Sachs International		06/20/25	USD	4,506		421,609			392,220			29,389
Republic of South Africa		1.00			Quarterly	Morgan Stanley & Co. International PLC		06/20/25	USD	23,518		2,200,262			3,153,359			(953,097	)
Republic of the Philippines		1.00			Quarterly	Citibank N.A.		06/20/25	USD	11,217		(188,939	)		378,179			(567,118	)
United Mexican States		1.00			Quarterly	Citibank N.A.		06/20/25	USD	10,157		274,474			997,772			(723,298	)
CMBX.NA.9.AAA		0.50			Monthly	Credit Suisse International		09/17/58	USD	4,540		(43,081	)		51,710			(94,791	)
CMBX.NA.9.AAA		0.50			Monthly	Deutsche Bank AG		09/17/58	USD	3,620		(34,351	)		41,828			(76,179	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	2,530		(24,008	)		28,816			(52,824	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	3,050		(28,943	)		34,739			(63,682	)
CMBX.NA.9.AAA		0.50			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	5,570		(52,855	)		69,611			(122,466	)
CMBX.NA.9.BBB-		3.00			Monthly	Citigroup Global Markets, Inc.		09/17/58	USD	2,080		403,325			71,181			332,144
CMBX.NA.9.BBB-		3.00			Monthly	Morgan Stanley & Co. International PLC		09/17/58	USD	204		39,556			11,430			28,126

63

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Credit Default Swaps — Buy Protection (continued)

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)			Value			Upfront Premiun Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.6.AAA		0.50	%		Monthly	Deutsche Bank AG		05/11/63		USD	2,217	$	(12,556	)	$	411		$	(12,967	)
CMBX.NA.6.AAA		0.50			Monthly	Deutsche Bank AG		05/11/63		USD	5,387		(30,511	)		(1,673	)		(28,838	)
CMBX.NA.6.BBB-		3.00			Monthly	J.P. Morgan Securities LLC		05/11/63		USD	850		265,553			79,850			185,703
												$	12,099,925		$	12,926,926		$	(827,001	)

OTC Credit Default Swaps — Sell Protection

Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating(a)		Notional Amount (000)(b)				Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
People’s Republic of China		1.00	%		Quarterly	Barclays Bank PLC		09/20/20		A+		USD	1,000		$	2,247		$	(360	)	$	2,607
People’s Republic of China		1.00			Quarterly	Goldman Sachs International		09/20/20		A+		USD	1,000			2,248			(380	)		2,628
United Mexican States		1.00			Quarterly	JPMorgan Chase Bank N.A.		09/20/20		BBB		USD	7,452			12,167			(3,623	)		15,790
ITRAXX.ASIA.XJ.IG.24.V1		1.00			Quarterly	Goldman Sachs International		12/20/20		A-		USD	1,825			8,756			(4,805	)		13,561
Broadcom, Inc.(c)		1.00			Quarterly	Citibank N.A.		06/20/24		BBB-		USD	14,931			119,483			(908,353	)		1,027,836
						Morgan Stanley & Co.
CMBX.NA.7.AAA		0.50			Monthly	International PLC		01/17/47		AAA		USD	4,964			45,353			(142,825	)		188,178
CMBX.NA.3.AM		0.50			Monthly	Credit Suisse International		12/13/49		N/R		USD	—	(d)		—			(10	)		10
CMBX.NA.3.AM		0.50			Monthly	Goldman Sachs International		12/13/49		N/R		USD	—	(d)		—			(25	)		25
CMBX.NA.3.AM		0.50			Monthly	JPMorgan Chase Bank N.A.		12/13/49		N/R		USD	1			—			(51	)		51
CMBX.NA.9.BBB-		3.00			Monthly	Deutsche Bank AG		09/17/58		N/R		USD	906			(175,679	)		(104,969	)		(70,710	)
CMBX.NA.9.BBB-		3.00			Monthly	J.P. Morgan Securities LLC		09/17/58		N/R		USD	438			(84,931	)		(37,434	)		(47,497	)
						Morgan Stanley & Co.
CMBX.NA.9.BBB-		3.00			Monthly	International PLC		09/17/58		N/R		USD	1,060			(205,541	)		(51,868	)		(153,673	)
						Morgan Stanley & Co.
CMBX.NA.9.BBB-		3.00			Monthly	International PLC		09/17/58		N/R		USD	231			(44,793	)		(13,589	)		(31,204	)
						Morgan Stanley & Co.
CMBX.NA.9.BBB-		3.00			Monthly	International PLC		09/17/58		N/R		USD	1,200			(232,687	)		(1,507	)		(231,180	)
CMBX.NA.10.A		2.00			Monthly	Deutsche Bank AG		11/17/59		A-		USD	3,340			(288,213	)		(140,449	)		(147,764	)
CMBX.NA.10.A		2.00			Monthly	Deutsche Bank AG		11/17/59		A-		USD	1,670			(144,107	)		(71,405	)		(72,702	)
CMBX.NA.10.BBB-		3.00			Monthly	J.P. Morgan Securities LLC		11/17/59		BBB-		USD	60			(11,971	)		(4,992	)		(6,979	)
CMBX.NA.6.BBB-		3.00			Monthly	Credit Suisse International		05/11/63		BBB		USD	850			(265,552	)		(64,662	)		(200,890	)
															$	(1,263,220	)	$	(1,551,307	)	$	288,087

(a) Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

(b) The maximum potential amount the Portfolio may pay should a negative credit event take place as defined under the terms of agreement.

(c) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) Notional amount is less than USD 500.

64

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Interest Rate Swaps

Paid by the Fund		Received by the Fund			Termination		Notional Amount					Upfront Premium Paid			Unrealized Appreciation
Rate	Frequency	Rate	Frequency	Counterparty	Date		(000)		Value			(Received)			(Depreciation)
		3-month LIBOR,
3.27%	Semi-Annual	0.30%	Quarterly	Deutsche Bank AG	05/16/21	USD		9,510	$	(283,901	)	$	—		$	(283,901	)
1-day BZDIOVER,				JPMorgan Chase Bank
0.01%	At Termination	5.13%	At Termination	N.A.	01/02/23	BRL		58,940		353,210			—			353,210
28-day MXIBTIIE,
5.28%	Monthly	6.33%	Monthly	Citibank N.A.	06/09/25	MXN		14,869		44,123			(58	)		44,181
28-day MXIBTIIE,
5.28%	Monthly	6.33%	Monthly	Citibank N.A.	07/17/25	MXN		36,609		108,391			(111	)		108,502
28-day MXIBTIIE,				Goldman Sachs
5.28%	Monthly	6.32%	Monthly	International	08/06/25	MXN		109,616		325,461			(323	)		325,784
28-day MXIBTIIE,
5.28%	Monthly	6.27%	Monthly	Bank of America N.A.	12/05/25	MXN		4,348		12,495			(36	)		12,531
									$	559,779		$	(528	)	$	560,307

65

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

OTC Total Return Swaps

Paid by the Fund

Received by the Fund

Termination

Notional Amount

Upfront Premium Paid

Unrealized Appreciation

Reference

Frequency

Rate

Frequency

Counterparty

Date

(000)

Value

(Received)

(Depreciation)

SPDR S&P Oil &

3-month LIBOR

Gas Exploration &

minus 0.63%,

Production ETF

At Termination

0.30%

At Termination

BNP Paribas S.A.

08/05/20

USD

271

$

(3,908

)

$

—

$

(3,908

)

Goldman Sachs

Systematic Skew

U.S. Series 10

3-month LIBOR,

Excess Return

Goldman Sachs

0.30%

At Termination

Strategy

At Termination

International

09/09/20

USD

1,167

8,271

—

8,271

Goldman Sachs

Systematic Skew

U.S. Series 10

3-month LIBOR,

Excess Return

Goldman Sachs

0.30%

At Termination

Strategy

At Termination

International

09/09/20

USD

288

2,089

—

2,089

3-month LIBOR

minus 0.30%,

Tidewater, Inc.

At Termination

0.30%

At Termination

BNP Paribas S.A.

09/29/20

USD

85

13,742

—

13,742

3-month LIBOR

minus 0.30%,

Tidewater, Inc.

At Termination

0.30%

At Termination

BNP Paribas S.A.

09/29/20

USD

96

15,616

—

15,616

3-month LIBOR

Berry Petroleum

minus 0.45%,

Credit Suisse

Corp.

At Termination

0.30%

At Termination

International

11/05/20

USD

312

(100,226

)

—

(100,226

)

3-month LIBOR

Antero Resources

minus 0.50%,

Corp.

At Termination

0.30%

At Termination

Citibank N.A.

02/12/21

USD

1,210

(422,029

)

—

(422,029

)

3-month LIBOR

minus 0.15%,

EQT Corp.

At Termination

0.30%

At Termination

Citibank N.A.

02/12/21

USD

2,175

139,719

—

139,719

iShares iBoxx High

3-month LIBOR

Yield Corporate

minus 3.25%,

Bond Index

At Termination

0.30%

At Termination

Citibank N.A.

02/12/21

USD

18,524

(667,810

)

—

(667,810

)

Goldman Sachs

Systematic Skew

U.S. Series 10

3-month LIBOR,

Excess Return

Goldman Sachs

0.30%

At Termination

Strategy

At Termination

International

04/09/21

USD

1,454

37,284

—

37,284

3-month LIBOR

Oasis Petroleum,

minus 3.00%,

Credit Suisse

Inc.

At Termination

0.30%

At Termination

International

04/23/21

USD

191

(32,824

)

—

(32,824

)

$

(1,010,076

)

$

—

$

(1,010,076

)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative 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 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)

• 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 investments and derivative financial instruments)

66

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

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 and derivative financial instruments is based on the pricing transparency of the investments and derivative 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 investments and derivative financial instruments, refer to the Master Portfolio’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3			Total
Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—		$	1,742,051,934		$	130,759,049		$	1,872,810,983
Common Stocks		27,421,216			—			282,627			27,703,843
Corporate Bonds		—			7,326,872,397			32,104,082			7,358,976,479
Floating Rate Loan Interests		—			183,832,249			154,152,713			337,984,962
Foreign Agency Obligations		—			133,567,683			—			133,567,683
Foreign Government Obligations		—			456,935,638			—			456,935,638
Investment Companies		356,733,122			—			—			356,733,122
Municipal Bonds		—			724,837,316			—			724,837,316
Non-Agency Mortgage-Backed Securities		—			860,273,915			23,583,474			883,857,389
Preferred Securities		—			86,422,781			—			86,422,781
U.S. Government Sponsored Agency Securities		—			9,977,960,189			—			9,977,960,189
U.S. Treasury Obligations		—			1,358,449,192			—			1,358,449,192
Warrants
Oil, Gas & Consumable Fuels		—			191,121			—			191,121
Real Estate Management & Development		828			—			—			828
Short-Term Securities
Money Market Funds		2,318,044,441			—			—			2,318,044,441
Options Purchased
Equity Contracts		14,884,093			—			—			14,884,093
Foreign Currency Exchange Contracts		—			5,967,073			—			5,967,073
Interest Rate Contracts		1,033,142			1,807,571			—			2,840,713
Unfunded Floating Rate Loan Interests		—			18,053			—			18,053
Liabilities
TBA Sale Commitments		—			(3,747,217,386	)		—			(3,747,217,386	)
Unfunded Floating Rate Loan Interests		—			—			(219,603	)		(219,603	)
	$	2,718,116,842		$	19,111,969,726		$	340,662,342		$	22,170,748,910
Derivative Financial Instruments(a)
Assets
Credit Contracts	$	—		$	9,463,597		$	1,027,836		$	10,491,433
Equity Contracts		7,454			—			—			7,454
Foreign Currency Exchange Contracts		—			6,155,262			—			6,155,262
Interest Rate Contracts		18,508,032			8,937,719			—			27,445,751
Other Contracts		—			8,275,417			—			8,275,417
Liabilities
Credit Contracts		—			(8,695,648	)		—			(8,695,648	)
Equity Contracts		(10,932,077	)		—			—			(10,932,077	)
Foreign Currency Exchange Contracts		—			(9,751,006	)		—			(9,751,006	)
Interest Rate Contracts		(8,028,321	)		(7,488,614	)		—			(15,516,935	)
Other Contracts		—			(5,985,913	)		—			(5,985,913	)
	$	(444,912	)	$	910,814		$	1,027,836		$	1,493,738

The breakdown of the Portfolio’s investments into major categories is disclosed in the Schedule of Investments above.

^(a)  Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

67

Schedule of Investments  (unaudited) (continued) June 30, 2020 Master Total Return Portfolio

A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Asset-Backed Securities			Common Stocks		Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities
Assets
Opening Balance, as of October 1, 2019	$	119,808,152		$	—	$	24,565,099		$	143,255,372		$	36,178,812
Transfers into Level 3		17,878,419			—		—			52,321,878			6,391,669
Transfers out of Level 3		(16,689,481	)		—		—			(12,785,807	)		(12,631,615	)
Accrued discounts/premiums		136,468			—		—			105,514			21,503
Net realized gain (loss)		402,396			—		—			(974,776	)		148,249
Net change in unrealized appreciation (depreciation)(a)		(4,622,180	)		185,611		(6,994,171	)		(5,846,276	)		(2,464,330	)
Purchases		35,312,608			97,016		15,672,281			54,844,883			3,497,595
Sales		(21,467,333	)		—		(1,139,127	)		(76,768,075	)		(7,558,409	)
Closing Balance, as of June 30, 2020	$	130,759,049		$	282,627	$	32,104,082		$	154,152,713		$	23,583,474
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(a)	$	(4,559,156	)	$	185,611	$	(6,994,171	)	$	(5,937,149	)	$	(2,464,330	)
						Options Purchased			Unfunded Floating Rate Loan Interests			Total
Assets
Opening Balance, as of October 1, 2019						$	1		$	—		$	323,807,436
Transfers into Level 3							—			(14,242	)		76,577,724
Transfers out of Level 3							—			—			(42,106,903	)
Accrued discounts/premiums							—			—			263,485
Net realized gain (loss)							(8,551	)		—			(432,682	)
Net change in unrealized appreciation (depreciation)(a)							(276,540	)		(205,361	)		(20,223,247	)
Purchases							285,090			—			109,709,473
Sales							—			—			(106,932,944	)
Closing Balance, as of June 30, 2020						$	—		$	(219,603	)	$	340,662,342
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(a)						$	(285,090	)	$	(205,361	)	$	(20,259,646	)

^(a) Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020, is generally due to investments no longer held or categorized as Level 3 at period end.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:

	Credit Contracts				Foreign Currency Exchange Contracts
	Assets		Liabilities		Assets		Liabilities
Opening Balance, as of October 1, 2019	$	—	$	—	$	—	$	(1	)
Transfers into Level 3		246,546		—		—		—
Transfers out of Level 3				—		—		—
Accrued discounts/premiums		171,647		—		—		1
Net realized gain (loss)		495,172		—		—		—
Net change in unrealized appreciation (depreciation)(a)		—		—		—		—
Purchases		—		—		—		—
Issues		—		—		—		—
Sales		—		—		—		—
Settlements		114,471		—		—		—
Closing Balance, as of June 30, 2020	$	1,027,836	$	—	$	—	$	—
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(a)	$	495,172	$	—	$	—	$	—

^(a) Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end.

The Master Portfolio’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 Investments.

68