Schedule of Investments (unaudited)
December 31, 2021
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) | 21,385,745,142 | $ 21,385,745,142 | |
Total Investments — 100.1% (Cost: $21,399,637,619) | 21,385,745,142 | ||
Liabilities in Excess of Other Assets — (0.1)% | (17,331,350) | ||
Net Assets — 100.0% | $ 21,368,413,792 | ||
| (a) | Affiliate of the Fund. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 09/30/21 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/21 | Investment Value Held at 12/31/21 | Income (Expense) | Capital Gain Distributions from Underlying Funds | |||
Master Total Return Portfolio of Master Bond LLC | $ 20,487,863,966 | $ 987,543,125(a)(b) | $ — | $ 49,081,108 | $ (138,743,057) | $ 21,385,745,142 | 21,385,745,142 | $ 111,640,972 | $ — |
| (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 $21,385,745,142 and 94.6%, respectively.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access;
• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Fund were fair valued using net asset value (“NAV”) per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
Schedule of Investments
1
Schedule of Investments (unaudited)
December 31, 2021
Master Total Return Portfolio
(Percentages shown are based on Net Assets)
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2021
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December 31, 2021
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(Percentages shown are based on Net Assets)
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December 31, 2021
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December 31, 2021
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(Percentages shown are based on Net Assets)
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December 31, 2021
Master Total Return Portfolio
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 09/30/21 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 12/31/21 | Par/Shares Held at 12/31/21 | Income | Capital Gain Distributions from Underlying Funds | |||
BlackRock Capital Finance LP, Series 1997-R2, Class AP | $ 2,523 | $ — | $ — | $ — | $ 48 | $ 2,571 | 2,839 | $ — | $ — | |||
BlackRock Liquidity Funds, T-Fund, Institutional Class | 2,208,093,771 | 1,941,442,548(a) | — | — | — | 4,149,536,319 | 4,149,536,319 | 59,892 | — | |||
iShares iBoxx High Yield Corporate Bond ETF(b) | 50,417,950 | 157,307,941 | (208,537,024) | 898,842 | (87,709) | — | — | 314,620 | — | |||
SL Liquidity Series, LLC, Money Market Series | 60,259,745 | — | (55,000,898)(a) | (12,161) | — | 5,246,686 | 5,246,161 | 155,451(c) | — | |||
| $ 886,681 | $ (87,661) | $ 4,154,785,576 | $ 529,963 | $ — |
| (a) | Represents net shares purchased (sold). |
| (b) | As of period end, the entity is no longer held by the Master Portfolio. |
| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts | ||||
Euro-Bobl | 1,649 | 03/08/22 | $ 250,143 | $ (1,736,278) |
Euro-Bund | 1,268 | 03/08/22 | 247,393 | (3,749,164) |
Australian 10-Year Bonds | 224 | 03/15/22 | 22,680 | (175,303) |
Australian Government Bonds (3 Year) | 523 | 03/15/22 | 43,435 | (32,362) |
U.S. Treasury Long-Term Bonds | 7,802 | 03/22/22 | 1,251,733 | 2,491,001 |
U.S. Treasury Notes (10 Year) | 1,818 | 03/22/22 | 237,192 | (487,982) |
U.S. Ultra Treasury Bonds | 4,443 | 03/22/22 | 875,826 | 11,234,271 |
U.S. Treasury Notes (2 Year) | 6,117 | 03/31/22 | 1,334,557 | (1,338,218) |
U.S. Treasury Notes (5 Year) | 17,714 | 03/31/22 | 2,142,979 | 751,997 |
30 Day Fed Fund | 108 | 04/29/22 | 43,098 | 8,454 |
ASX 90 Day Bank Accepted Bills | 1,668 | 09/08/22 | 1,211,433 | 475,366 |
Euro Dollar | 409 | 09/19/22 | 101,427 | (87,316) |
ASX 90 Day Bank Accepted Bills | 2,321 | 12/08/22 | 1,684,490 | 754,004 |
Brazilian Real | 282 | 12/19/22 | 69,763 | (26,310) |
Canadian Bankers Acceptance | 811 | 12/19/22 | 157,462 | 139,655 |
Schedule of Investments
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Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Futures Contracts (continued)
| Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
| Long Contracts (continued) | ||||
Swiss Franc | 1,884 | 12/20/22 | $ 630,605 | $ (176,089) |
Swiss Franc | 3,269 | 03/14/23 | 1,093,191 | (665,746) |
Swiss Franc | 52 | 03/19/24 | 17,365 | (4,542) |
| 7,375,438 | ||||
| Short Contracts | ||||
Euro-BTP Italian Government Bond | 363 | 03/08/22 | 60,756 | 1,284,241 |
Euro-Buxl | 1,490 | 03/08/22 | 350,707 | 16,377,149 |
Euro-OAT | 1,071 | 03/08/22 | 198,934 | 3,690,869 |
E-Mini S&P 500 Index | 97 | 03/18/22 | 23,079 | 80,946 |
Russell 2000 | 65 | 03/18/22 | 7,289 | (332,522) |
U.S. Ultra Treasury Notes (10 Year) | 7,398 | 03/22/22 | 1,083,345 | (3,016,634) |
10 Year U.K. Gilt | 107 | 03/29/22 | 18,089 | 282,310 |
Brazilian Real | 644 | 12/18/23 | 158,440 | 99,736 |
Euro Dollar | 2,000 | 12/16/24 | 491,450 | (46,671) |
Swiss Franc | 52 | 03/18/25 | 17,391 | 1,686 |
| 18,421,110 | ||||
| $ 25,796,548 |
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| USD | 1,637,265 | TRY | 21,309,000 | Citibank N.A. | 01/04/22 | $ 32,145 |
| AUD | 49,434,748 | USD | 35,853,045 | Morgan Stanley & Co. International PLC | 01/10/22 | 114,338 |
| CAD | 45,921,476 | USD | 35,853,045 | Royal Bank of Canada | 01/10/22 | 449,582 |
| EUR | 31,553,835 | USD | 35,853,045 | Bank of America N.A. | 01/10/22 | 78,189 |
| GBP | 26,586,012 | USD | 35,853,045 | State Street Global Markets LLC | 01/10/22 | 131,602 |
| USD | 17,926,522 | CAD | 22,644,585 | UBS AG | 01/10/22 | 25,139 |
| USD | 35,853,045 | GBP | 26,471,143 | Deutsche Bank AG | 01/10/22 | 23,875 |
| TRY | 17,744,100 | USD | 1,132,000 | Citibank N.A. | 01/13/22 | 194,108 |
| USD | 2,243,000 | TRY | 21,308,500 | Bank of America N.A. | 01/13/22 | 650,507 |
| USD | 2,243,000 | TRY | 21,308,500 | Bank of America N.A. | 01/13/22 | 650,507 |
| USD | 2,238,000 | TRY | 24,391,962 | Bank of America N.A. | 01/13/22 | 415,064 |
| USD | 2,245,000 | TRY | 21,732,880 | Deutsche Bank AG | 01/13/22 | 620,790 |
| AUD | 4,760,000 | JPY | 385,746,592 | Royal Bank of Canada | 01/18/22 | 109,417 |
| AUD | 4,760,000 | JPY | 385,746,592 | Royal Bank of Canada | 01/18/22 | 109,417 |
| EUR | 3,002,000 | USD | 3,388,291 | Goldman Sachs Bank USA | 01/18/22 | 30,718 |
| EUR | 3,002,000 | USD | 3,388,291 | Goldman Sachs Bank USA | 01/18/22 | 30,718 |
| EUR | 423,000 | USD | 478,239 | JPMorgan Chase Bank N.A. | 01/18/22 | 3,521 |
| EUR | 423,000 | USD | 478,239 | JPMorgan Chase Bank N.A. | 01/18/22 | 3,521 |
| MXN | 94,869,312 | USD | 4,512,000 | Citibank N.A. | 01/18/22 | 107,292 |
| MXN | 94,869,312 | USD | 4,512,000 | Citibank N.A. | 01/18/22 | 107,292 |
| MXN | 118,715,670 | USD | 5,660,000 | HSBC Bank PLC | 01/18/22 | 120,398 |
| MXN | 71,530,627 | USD | 3,396,000 | UBS AG | 01/18/22 | 86,906 |
| NOK | 31,082,211 | EUR | 3,013,000 | Goldman Sachs Bank USA | 01/18/22 | 96,784 |
| NOK | 31,082,211 | EUR | 3,013,000 | Goldman Sachs Bank USA | 01/18/22 | 96,784 |
| PLN | 38,015,012 | EUR | 8,240,129 | Bank of America N.A. | 01/18/22 | 38,803 |
| PLN | 38,015,012 | EUR | 8,240,129 | Bank of America N.A. | 01/18/22 | 38,803 |
| TRY | 25,748,000 | USD | 1,613,202 | UBS AG | 01/18/22 | 302,730 |
| USD | 3,365,000 | COP | 13,205,942,500 | Citibank N.A. | 01/18/22 | 124,165 |
| USD | 3,365,000 | COP | 13,205,942,500 | Citibank N.A. | 01/18/22 | 124,165 |
| USD | 3,389,000 | COP | 13,471,275,000 | Citibank N.A. | 01/18/22 | 83,050 |
| USD | 3,368,000 | TRY | 34,564,100 | Citibank N.A. | 01/18/22 | 796,054 |
| USD | 522,000 | ZAR | 8,330,650 | Barclays Bank PLC | 01/18/22 | 554 |
| USD | 6,717,000 | ZAR | 107,191,968 | Barclays Bank PLC | 01/18/22 | 7,457 |
| USD | 6,717,000 | ZAR | 107,191,968 | Barclays Bank PLC | 01/18/22 | 7,457 |
| USD | 1,225,000 | ZAR | 19,549,898 | Barclays Bank PLC | 01/18/22 | 1,299 |
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Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| ZAR | 80,807,760 | USD | 5,016,000 | Bank of America N.A. | 01/18/22 | $ 42,057 |
| ZAR | 36,273,595 | USD | 2,269,000 | BNP Paribas SA | 01/18/22 | 1,499 |
| ZAR | 36,273,595 | USD | 2,269,000 | BNP Paribas SA | 01/18/22 | 1,499 |
| ZAR | 53,540,484 | USD | 3,346,000 | Citibank N.A. | 01/18/22 | 5,297 |
| CLP | 1,966,130,400 | USD | 2,262,000 | Citibank N.A. | 01/19/22 | 39,679 |
| CLP | 2,897,738,800 | USD | 3,386,000 | Citibank N.A. | 01/19/22 | 6,280 |
| CLP | 2,897,738,800 | USD | 3,386,000 | Citibank N.A. | 01/19/22 | 6,280 |
| USD | 2,256,000 | CLP | 1,925,044,800 | Bank of America N.A. | 01/19/22 | 2,418 |
| USD | 2,238,000 | CLP | 1,844,223,900 | Goldman Sachs Bank USA | 01/19/22 | 79,032 |
| BRL | 19,464,810 | USD | 3,397,000 | Deutsche Bank AG | 02/02/22 | 70,416 |
| BRL | 19,464,810 | USD | 3,397,000 | Deutsche Bank AG | 02/02/22 | 70,416 |
| THB | 113,955,125 | USD | 3,389,000 | Bank of New York Mellon | 03/15/22 | 21,362 |
| AUD | 79,293,868 | USD | 57,282,128 | Morgan Stanley & Co. International PLC | 03/16/22 | 419,493 |
| BRL | 163,747,116 | USD | 28,242,000 | Deutsche Bank AG | 03/16/22 | 610,773 |
| EUR | 38,705,000 | USD | 43,778,122 | Bank of America N.A. | 03/16/22 | 356,450 |
| EUR | 16,530,000 | USD | 18,748,491 | Goldman Sachs Bank USA | 03/16/22 | 100,352 |
| EUR | 16,770,000 | USD | 18,948,586 | Morgan Stanley & Co. International PLC | 03/16/22 | 173,925 |
| EUR | 16,780,000 | USD | 19,019,962 | Morgan Stanley & Co. International PLC | 03/16/22 | 113,951 |
| EUR | 10,113,000 | USD | 11,428,904 | UBS AG | 03/16/22 | 102,757 |
| GBP | 42,730,000 | USD | 56,701,599 | Barclays Bank PLC | 03/16/22 | 1,116,222 |
| GBP | 42,760,000 | USD | 56,820,685 | Deutsche Bank AG | 03/16/22 | 1,037,728 |
| GBP | 21,370,000 | USD | 28,781,950 | HSBC Bank PLC | 03/16/22 | 133,726 |
| GBP | 21,360,000 | USD | 28,653,778 | State Street Global Markets LLC | 03/16/22 | 248,367 |
| MXN | 1,201,989,226 | USD | 56,484,987 | HSBC Bank PLC | 03/16/22 | 1,439,089 |
| USD | 2,543,606 | JPY | 288,419,026 | Morgan Stanley & Co. International PLC | 03/16/22 | 34,641 |
| USD | 2,760,000 | RUB | 207,246,192 | HSBC Bank PLC | 03/16/22 | 47,228 |
| ZAR | 457,172,531 | USD | 28,242,493 | Citibank N.A. | 03/16/22 | 141,078 |
| 12,235,166 | ||||||
| TRY | 21,309,000 | USD | 1,637,265 | Goldman Sachs Bank USA | 01/04/22 | (32,145) |
| USD | 1,629,620 | TRY | 25,748,000 | UBS AG | 01/04/22 | (309,872) |
| KZT | 567,888,082 | USD | 1,305,760 | Citibank N.A. | 01/10/22 | (3,096) |
| USD | 35,853,045 | AUD | 49,312,768 | Deutsche Bank AG | 01/10/22 | (25,589) |
| USD | 17,926,523 | CAD | 22,722,226 | Morgan Stanley & Co. International PLC | 01/10/22 | (36,238) |
| USD | 35,853,045 | EUR | 31,524,662 | Morgan Stanley & Co. International PLC | 01/10/22 | (44,969) |
| TRY | 12,622,460 | USD | 1,126,000 | Citibank N.A. | 01/13/22 | (182,659) |
| TRY | 43,533,600 | USD | 3,719,390 | Citibank N.A. | 01/13/22 | (465,901) |
| TRY | 21,309,000 | USD | 1,630,001 | Citibank N.A. | 01/13/22 | (37,470) |
| COP | 6,715,643,000 | USD | 1,686,500 | Barclays Bank PLC | 01/18/22 | (38,432) |
| COP | 6,715,643,000 | USD | 1,686,500 | Barclays Bank PLC | 01/18/22 | (38,432) |
| COP | 6,717,329,500 | USD | 1,686,500 | UBS AG | 01/18/22 | (38,018) |
| COP | 6,717,329,500 | USD | 1,686,500 | UBS AG | 01/18/22 | (38,018) |
| EUR | 587,000 | PLN | 2,708,066 | Bank of America N.A. | 01/18/22 | (2,764) |
| EUR | 587,000 | PLN | 2,708,066 | Bank of America N.A. | 01/18/22 | (2,764) |
| EUR | 7,406,000 | PLN | 34,456,822 | Bank of America N.A. | 01/18/22 | (106,759) |
| EUR | 7,406,000 | PLN | 34,445,154 | Bank of Montreal | 01/18/22 | (103,866) |
| JPY | 384,251,000 | AUD | 4,760,000 | Goldman Sachs Bank USA | 01/18/22 | (122,420) |
| JPY | 384,251,000 | AUD | 4,760,000 | Goldman Sachs Bank USA | 01/18/22 | (122,420) |
| JPY | 383,875,326 | AUD | 4,734,000 | Morgan Stanley & Co. International PLC | 01/18/22 | (106,769) |
| JPY | 383,875,326 | AUD | 4,734,000 | Morgan Stanley & Co. International PLC | 01/18/22 | (106,769) |
| RUB | 237,311,503 | USD | 3,190,700 | UBS AG | 01/18/22 | (42,970) |
| USD | 8,975,997 | EUR | 7,938,000 | Banco Santander S.A. | 01/18/22 | (64,674) |
| USD | 8,975,997 | EUR | 7,938,000 | Banco Santander S.A. | 01/18/22 | (64,674) |
| USD | 3,389,000 | MXN | 70,705,246 | Deutsche Bank AG | 01/18/22 | (53,717) |
| USD | 3,399,000 | MXN | 71,232,163 | Deutsche Bank AG | 01/18/22 | (69,373) |
| USD | 4,523,000 | MXN | 95,489,576 | Goldman Sachs Bank USA | 01/18/22 | (126,494) |
| USD | 4,523,000 | MXN | 95,489,576 | Goldman Sachs Bank USA | 01/18/22 | (126,494) |
| USD | 3,438,000 | MXN | 72,478,348 | NatWest Markets PLC | 01/18/22 | (91,051) |
| USD | 4,551,000 | MXN | 95,942,143 | NatWest Markets PLC | 01/18/22 | (120,530) |
| USD | 3,392,000 | ZAR | 54,380,069 | Bank of America N.A. | 01/18/22 | (11,850) |
| USD | 5,699,000 | ZAR | 91,191,637 | Citibank N.A. | 01/18/22 | (9,023) |
| ZAR | 53,930,514 | USD | 3,396,000 | Goldman Sachs Bank USA | 01/18/22 | (20,289) |
Schedule of Investments
61
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| CLP | 1,904,337,000 | USD | 2,259,000 | BNP Paribas SA | 01/19/22 | $ (29,660) |
| USD | 2,266,000 | CLP | 1,955,558,000 | Citibank N.A. | 01/19/22 | (23,303) |
| USD | 122,145,623 | CNH | 785,487,965 | Citibank N.A. | 02/24/22 | (962,690) |
| USD | 2,845,563 | MXN | 60,287,519 | HSBC Bank PLC | 02/24/22 | (70,667) |
| RUB | 4,235,810,150 | USD | 56,485,000 | UBS AG | 03/16/22 | (1,039,897) |
| USD | 2,760,000 | AUD | 3,875,966 | Deutsche Bank AG | 03/16/22 | (60,515) |
| USD | 11,802,520 | CAD | 15,081,000 | Morgan Stanley & Co. International PLC | 03/16/22 | (117,728) |
| USD | 5,440,000 | CNH | 34,878,832 | Deutsche Bank AG | 03/16/22 | (19,519) |
| USD | 1,969,865 | EUR | 1,741,741 | Bank of America N.A. | 03/16/22 | (16,209) |
| USD | 407,739,661 | EUR | 360,008,000 | BNP Paribas SA | 03/16/22 | (2,770,589) |
| USD | 43,974,299 | EUR | 38,705,000 | Goldman Sachs Bank USA | 03/16/22 | (160,274) |
| USD | 11,416,908 | EUR | 10,113,000 | JPMorgan Chase Bank N.A. | 03/16/22 | (114,752) |
| USD | 10,601,017 | EUR | 9,366,000 | State Street Global Markets LLC | 03/16/22 | (78,854) |
| USD | 5,023,175 | EUR | 4,423,000 | State Street Global Markets LLC | 03/16/22 | (20,287) |
| USD | 56,553,794 | GBP | 42,670,000 | Deutsche Bank AG | 03/16/22 | (1,182,841) |
| USD | 4,029,719 | GBP | 3,021,087 | Goldman Sachs Bank USA | 03/16/22 | (58,104) |
| USD | 56,715,606 | GBP | 42,830,000 | JPMorgan Chase Bank N.A. | 03/16/22 | (1,237,524) |
| USD | 52,954,380 | GBP | 39,698,913 | Morgan Stanley & Co. International PLC | 03/16/22 | (762,087) |
| USD | 1,154,594 | HKD | 9,003,426 | Bank of America N.A. | 03/16/22 | (209) |
| USD | 549,376 | SGD | 750,000 | UBS AG | 03/16/22 | (6,956) |
| (11,499,174) | ||||||
| $ 735,992 | ||||||
Exchange-Traded Options Purchased
| Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
| Call | |||||||
SPDR S&P 500 ETF Trust | 3,756 | 01/07/22 | USD | 485.00 | USD | 178,395 | $ 46,950 |
SPDR S&P 500 ETF Trust | 4,014 | 01/14/22 | USD | 490.00 | USD | 190,649 | 90,315 |
Caesars Entertainment, Inc. | 2,893 | 01/21/22 | USD | 100.00 | USD | 27,058 | 470,112 |
Devon Energy Corp. | 8,327 | 01/21/22 | USD | 40.00 | USD | 36,680 | 3,872,055 |
Diamondback Energy, Inc. | 962 | 01/21/22 | USD | 115.00 | USD | 10,375 | 189,995 |
Lions Gate Entertainment Corp. | 150 | 01/21/22 | USD | 19.00 | USD | 250 | 3,375 |
Ovintiv, Inc. | 2,414 | 01/21/22 | USD | 38.00 | USD | 8,135 | 96,560 |
Sabre Corp. | 300 | 01/21/22 | USD | 12.00 | USD | 258 | 750 |
SPDR S&P 500 ETF Trust | 7,577 | 01/21/22 | USD | 500.00 | USD | 359,877 | 87,135 |
Ford Motor Co. | 3,000 | 02/18/22 | USD | 23.00 | USD | 6,231 | 184,500 |
SPDR S&P 500 ETF Trust | 251 | 02/18/22 | USD | 490.00 | USD | 11,921 | 71,284 |
Xerox Holdings Corp. | 300 | 02/18/22 | USD | 25.00 | USD | 679 | 13,500 |
Western Digital Corp. | 890 | 04/14/22 | USD | 80.00 | USD | 5,804 | 153,080 |
Xerox Holdings Corp. | 300 | 04/14/22 | USD | 30.00 | USD | 679 | 5,250 |
Xerox Holdings Corp. | 150 | 07/15/22 | USD | 30.00 | USD | 340 | 6,000 |
| $5,290,861 | |||||||
| Put | |||||||
Invesco QQQ Trust, Series 1 ETF | 72 | 01/21/22 | USD | 360.00 | USD | 2,865 | 4,752 |
iShares iBoxx High Yield Corporate Bond ETF | 400 | 01/21/22 | USD | 85.00 | USD | 3,480 | 4,400 |
iShares Russell 2000 Index ETF | 150 | 01/21/22 | USD | 195.00 | USD | 3,337 | 4,575 |
CommScope Holding Co., Inc. | 105 | 02/18/22 | USD | 8.00 | USD | 116 | 1,050 |
Invesco QQQ Trust, Series 1 ETF | 91 | 02/18/22 | USD | 350.00 | USD | 3,620 | 20,202 |
Invesco QQQ Trust, Series 1 ETF | 152 | 02/18/22 | USD | 325.00 | USD | 6,047 | 15,428 |
iShares iBoxx High Yield Corporate Bond ETF | 300 | 02/18/22 | USD | 84.00 | USD | 2,610 | 8,250 |
iShares Russell 2000 Index ETF | 100 | 02/18/22 | USD | 190.00 | USD | 2,224 | 10,500 |
iShares Russell 2000 Index ETF | 300 | 02/18/22 | USD | 205.00 | USD | 6,673 | 70,500 |
U.S. Treasury Notes (10 Year) | 65 | 02/18/22 | USD | 129.00 | USD | 8,480 | 26,406 |
American Airlines Group, Inc. | 355 | 03/18/22 | USD | 10.00 | USD | 638 | 2,485 |
Uber Technologies, Inc. | 400 | 03/18/22 | USD | 25.00 | USD | 1,677 | 6,600 |
Uber Technologies, Inc. | 575 | 03/18/22 | USD | 20.00 | USD | 2,411 | 4,313 |
62
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Exchange-Traded Options Purchased (continued)
| Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
United Airlines Holdings, Inc. | 200 | 03/18/22 | USD | 25.00 | USD | 876 | $ 3,800 |
Invesco Senior Loan ETF | 1,500 | 04/14/22 | USD | 20.00 | USD | 3,315 | 11,250 |
Pitney Bowes, Inc. | 105 | 04/14/22 | USD | 6.00 | USD | 70 | 4,988 |
Sabre Corp. | 115 | 04/14/22 | USD | 5.00 | USD | 99 | 3,048 |
Euro Dollar | 5,046 | 06/13/22 | USD | 99.25 | USD | 1,253,994 | 788,437 |
| $990,984 | |||||||
| $ 6,281,845 | |||||||
OTC Barrier Options Purchased
| Description | Type of Option | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Barrier Price/Range | Notional Amount (000) | Value | |||
| Call | |||||||||||
USD Currency | One-Touch | Standard Chartered Bank | — | 03/07/22 | CNH | 6.80 | CNH | 6.80 | USD | 1,406 | $ 13,937 |
USD Currency | One-Touch | HSBC Bank PLC | — | 03/10/22 | CNH | 6.70 | CNH | 6.70 | USD | 4,942 | 110,164 |
| 124,101 | |||||||||||
| Put | |||||||||||
USD Currency | One-Touch | Goldman Sachs International | — | 02/07/22 | RUB | 69.00 | RUB | 69.00 | USD | 1,568 | 34,588 |
USD Currency | One-Touch | JPMorgan Chase Bank N.A. | — | 02/25/22 | RUB | 65.00 | RUB | 65.00 | USD | 1,197 | 4,995 |
USD Currency | One-Touch | JPMorgan Chase Bank N.A. | — | 02/25/22 | RUB | 67.00 | RUB | 67.00 | USD | 1,200 | 8,551 |
USD Currency | One-Touch | Citibank N.A. | — | 02/28/22 | RUB | 70.00 | RUB | 70.00 | USD | 1,806 | 137,300 |
EUR Currency | One-Touch | Bank of America N.A. | — | 03/01/22 | PLN | 4.50 | PLN | 4.50 | EUR | 1,392 | 215,977 |
USD Currency | One-Touch | Morgan Stanley & Co. International PLC | — | 03/15/22 | RUB | 68.00 | RUB | 68.00 | USD | 1,346 | 42,529 |
EUR Currency | One-Touch | Bank of America N.A. | — | 03/17/22 | HUF | 355.00 | HUF | 355.00 | EUR | 1,198 | 113,502 |
| 557,442 | |||||||||||
| $ 681,543 | |||||||||||
OTC Options Purchased
| Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
| Call | ||||||||
USD Currency | Bank of America N.A. | — | 01/03/22 | TRY | 10.00 | USD | 8,954 | $ 2,211,986 |
USD Currency | Bank of America N.A. | — | 01/03/22 | TRY | 10.50 | USD | 6,716 | 1,406,941 |
USD Currency | Bank of America N.A. | — | 01/12/22 | JPY | 111.00 | USD | 74,420 | 2,649,386 |
USD Currency | HSBC Bank PLC | — | 01/14/22 | MXN | 21.00 | USD | 18,113 | 49,687 |
AUD Currency | UBS AG | — | 01/21/22 | JPY | 83.50 | AUD | 21,772 | 161,087 |
| 6,479,087 | ||||||||
| Put | ||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 01/06/22 | CLP | 815.00 | USD | 13,614 | 1,064 |
USD Currency | Citibank N.A. | — | 01/14/22 | RUB | 72.00 | USD | 17,962 | 7,525 |
USD Currency | Barclays Bank PLC | — | 01/18/22 | BRL | 5.68 | USD | 11,320 | 266,750 |
EUR Currency | Goldman Sachs International | — | 01/20/22 | USD | 1.13 | EUR | 133,540 | 214,294 |
USD Currency | JPMorgan Chase Bank N.A. | — | 01/21/22 | TRY | 11.00 | USD | 3,399 | 54,621 |
EUR Currency | UBS AG | — | 02/08/22 | USD | 1.12 | EUR | 101,700 | 224,898 |
USD Currency | Bank of America N.A. | — | 02/10/22 | CLP | 850.00 | USD | 4,512 | 77,082 |
EUR Currency | Morgan Stanley & Co. International PLC | — | 03/01/22 | USD | 1.12 | EUR | 199,230 | 723,007 |
| 1,569,241 | ||||||||
| $ 8,048,328 | ||||||||
Schedule of Investments
63
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
OTC Credit Default Swaptions Purchased
| Paid by the Fund | Received by the Fund | |||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||
| Put | ||||||||||||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 1.00% | Quarterly | CDX.NA.IG.37.V1 | Quarterly | JPMorgan Chase Bank N.A. | 01/19/22 | 70.00 | USD | 30,000 | $ 2,550 | ||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 5.00% | Quarterly | CDX.NA.HY.37.V1 | Quarterly | Bank of America N.A. | 01/19/22 | 106.00 | USD | 6,000 | 4,870 | ||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 5.00% | Quarterly | CDX.NA.HY.37.V1 | Quarterly | Bank of America N.A. | 01/19/22 | 106.00 | USD | 3,000 | 2,435 | ||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 5.00% | Quarterly | CDX.NA.HY.37.V1 | Quarterly | Goldman Sachs International | 01/19/22 | 106.00 | USD | 8,000 | 6,493 | ||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 5.00% | Quarterly | CDX.NA.HY.37.V1 | Quarterly | Morgan Stanley & Co. International PLC | 01/19/22 | 106.00 | USD | 5,000 | 4,058 | ||
Bought Protection on 5-Year Credit Default Swap, 12/20/26 | 5.00% | Quarterly | CDX.NA.HY.37.V1 | Quarterly | JPMorgan Chase Bank N.A. | 02/16/22 | 104.00 | USD | 4,000 | 7,325 | ||
| $27,731 | ||||||||||||
OTC Interest Rate Swaptions Purchased
| Paid by the Fund | Received by the Fund | ||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
| Put | |||||||||||
10-Year Interest Rate Swap, 05/18/32 | 1.60% | Semi-Annual | SOFR, 0.05% | Quarterly | Barclays Bank PLC | 05/16/22 | 1.60% | USD | 23,000 | $ 169,882 | |
10-Year Interest Rate Swap, 05/18/32 | 1.60% | Semi-Annual | SOFR, 0.05% | Quarterly | Barclays Bank PLC | 05/16/22 | 1.60% | USD | 251,200 | 1,855,406 | |
| 2,025,288 | |||||||||||
Exchange-Traded Options Written
| Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
| Call | |||||||
SPDR S&P 500 ETF Trust | 4,015 | 01/14/22 | USD | 495.00 | USD | 190,697 | $ (34,128) |
Caesars Entertainment, Inc. | 2,893 | 01/21/22 | USD | 130.00 | USD | 27,058 | (37,609) |
Devon Energy Corp. | 8,327 | 01/21/22 | USD | 50.00 | USD | 36,681 | (262,301) |
Diamondback Energy, Inc. | 962 | 01/21/22 | USD | 140.00 | USD | 10,375 | (14,430) |
Ovintiv, Inc. | 2,414 | 01/21/22 | USD | 50.00 | USD | 8,135 | (12,070) |
Ford Motor Co. | 3,000 | 02/18/22 | USD | 29.00 | USD | 6,231 | (25,500) |
| (386,038) | |||||||
| Put | |||||||
iShares iBoxx High Yield Corporate Bond ETF | 400 | 01/21/22 | USD | 81.00 | USD | 3,480 | (1,200) |
Euro Dollar (1-Year) Mid Curve | 2,523 | 06/10/22 | USD | 98.00 | USD | 622,109 | (346,912) |
| (348,112) | |||||||
| $ (734,150) | |||||||
OTC Options Written
| Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
| Call | ||||||||
USD Currency | Bank of America N.A. | — | 01/03/22 | TRY | 10.00 | USD | 4,477 | $ (1,105,993) |
USD Currency | Bank of America N.A. | — | 01/03/22 | TRY | 10.50 | USD | 13,432 | (2,813,882) |
USD Currency | Goldman Sachs International | — | 01/12/22 | JPY | 111.00 | USD | 74,420 | (2,649,386) |
64
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
OTC Options Written (continued)
| Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
USD Currency | HSBC Bank PLC | — | 01/14/22 | MXN | 21.60 | USD | 18,113 | $ (11,172) |
AUD Currency | UBS AG | — | 01/21/22 | JPY | 85.00 | AUD | 31,102 | (69,357) |
USD Currency | Goldman Sachs International | — | 01/21/22 | RUB | 76.00 | USD | 9,036 | (80,852) |
USD Currency | Morgan Stanley & Co. International PLC | — | 02/08/22 | CLP | 850.00 | USD | 3,384 | (83,074) |
USD Currency | Bank of America N.A. | — | 02/10/22 | CLP | 875.00 | USD | 3,384 | (46,076) |
| (6,859,792) | ||||||||
| Put | ||||||||
USD Currency | Morgan Stanley & Co. International PLC | — | 01/06/22 | CLP | 780.00 | USD | 27,226 | (5) |
USD Currency | Bank of America N.A. | — | 01/12/22 | JPY | 97.00 | USD | 74,420 | — |
USD Currency | Citibank N.A. | — | 01/14/22 | RUB | 70.50 | USD | 26,944 | (1,616) |
USD Currency | Barclays Bank PLC | — | 01/18/22 | BRL | 5.49 | USD | 11,320 | (71,037) |
USD Currency | Bank of America N.A. | — | 02/10/22 | CLP | 820.00 | USD | 6,768 | (34,920) |
| (107,578) | ||||||||
| $ (6,967,370) | ||||||||
OTC Credit Default Swaptions Written
| Paid by the Fund | Received by the Fund | ||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Credit Rating | Exercise Price | Notional Amount (000) | Value | |||
| Put | |||||||||||||
Sold Protection on 5-Year Credit Default Swap, 12/20/26 | CDX.NA.IG.37.V1 | Quarterly | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 01/19/22 | N/R | 85.00 | USD | (30,000) | $ (738) | ||
Sold Protection on 5-Year Credit Default Swap, 12/20/26 | CDX.NA.HY.37.V1 | Quarterly | 5.00% | Quarterly | Bank of America N.A. | 01/19/22 | N/R | 101.00 | USD | (6,000) | (1,787) | ||
Sold Protection on 5-Year Credit Default Swap, 12/20/26 | CDX.NA.HY.37.V1 | Quarterly | 5.00% | Quarterly | Goldman Sachs International | 01/19/22 | N/R | 101.00 | USD | (8,000) | (2,382) | ||
Sold Protection on 5-Year Credit Default Swap, 12/20/26 | CDX.NA.HY.37.V1 | Quarterly | 5.00% | Quarterly | Morgan Stanley & Co. International PLC | 01/19/22 | N/R | 101.00 | USD | (5,000) | (1,489) | ||
| (6,396) | |||||||||||||
Schedule of Investments
65
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
OTC Interest Rate Swaptions Written
| Paid by the Fund | Received by the Fund | ||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
| Put | |||||||||||
2-Year Interest Rate Swap, 05/18/24 | SOFR, 0.05% | Quarterly | 1.40% | Semi-Annual | Barclays Bank PLC | 05/16/22 | 1.40% | USD | 127,000 | $ (87,945) | |
2-Year Interest Rate Swap, 05/18/24 | SOFR, 0.05% | Quarterly | 1.40% | Semi-Annual | Barclays Bank PLC | 05/16/22 | 1.40% | USD | 1,381,700 | (956,803) | |
5-Year Interest Rate Swap, 06/17/31 | 3-month LIBOR, 0.21% | Quarterly | 3.05% | Semi-Annual | Barclays Bank PLC | 06/15/26 | 3.05% | USD | 64,391 | (738,534) | |
5-Year Interest Rate Swap, 06/17/31 | 3-month LIBOR, 0.21% | Quarterly | 3.05% | Semi-Annual | Deutsche Bank AG | 06/15/26 | 3.05% | USD | 32,195 | (369,261) | |
| (2,152,543) | |||||||||||
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 | 35,459 | $ (2,943,465) | $ (1,959,284) | $ (984,181) | ||
CDX.NA.IG.37.V1 | 1.00 | Quarterly | 12/20/26 | USD | 25,950 | (644,004) | (576,444) | (67,560) | ||
ITRAXX.XO.36.V1 | 5.00 | Quarterly | 12/20/26 | EUR | 56,000 | (7,682,092) | (7,038,467) | (643,625) | ||
| $ (11,269,561) | $ (9,574,195) | $ (1,695,366) | ||||||||
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 | |||||||
| 4.81% | At Termination | UK RPI All Items Monthly | At Termination | 09/15/23 | GBP | 9,270 | $ 159,305 | $ — | $ 159,305 | |
| 5.20% | At Termination | UK RPI All Items Monthly | At Termination | 10/15/23 | GBP | 13,800 | 72,157 | — | 72,157 | |
| 5.48% | At Termination | UK RPI All Items Monthly | At Termination | 11/15/23 | GBP | 12,560 | (30,949) | — | (30,949) | |
| UK RPI All Items Monthly | At Termination | 4.34% | At Termination | 09/15/26 | GBP | 6,800 | (177,748) | — | (177,748) | |
| UK RPI All Items Monthly | At Termination | 4.57% | At Termination | 10/15/26 | GBP | 13,800 | (123,499) | — | (123,499) | |
| UK RPI All Items Monthly | At Termination | 4.89% | At Termination | 11/15/26 | GBP | 12,560 | 236,709 | — | 236,709 | |
| UK RPI All Items Monthly | At Termination | 3.42% | At Termination | 11/15/30 | GBP | 13,500 | (2,321,548) | — | (2,321,548) | |
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.47% | At Termination | 04/26/31 | USD | 116,930 | (8,170,017) | — | (8,170,017) | |
66
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
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 | ||||||||||
| UK RPI All Items Monthly | At Termination | 3.73% | At Termination | 05/15/31 | GBP | 4,386 | $ (576,839) | $ — | $ (576,839) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.64% | At Termination | 05/21/31 | USD | 95,310 | (4,725,480) | — | (4,725,480) | ||||
| UK RPI All Items Monthly | At Termination | 3.81% | At Termination | 07/15/31 | GBP | 12,590 | (1,273,692) | — | (1,273,692) | ||||
| UK RPI All Items Monthly | At Termination | 3.85% | At Termination | 07/15/31 | GBP | 12,590 | (1,175,437) | — | (1,175,437) | ||||
| UK RPI All Items Monthly | At Termination | 3.91% | At Termination | 09/15/31 | GBP | 13,880 | (923,885) | — | (923,885) | ||||
| UK RPI All Items Monthly | At Termination | 4.07% | At Termination | 09/15/31 | GBP | 7,285 | (284,021) | — | (284,021) | ||||
| UK RPI All Items Monthly | At Termination | 4.13% | At Termination | 09/15/31 | GBP | 3,970 | (112,547) | — | (112,547) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.65% | At Termination | 10/08/31 | USD | 21,878 | (523,781) | — | (523,781) | ||||
| UK RPI All Items Monthly | At Termination | 4.25% | At Termination | 10/15/31 | GBP | 3,970 | (25,094) | — | (25,094) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.89% | At Termination | 10/29/31 | USD | 48,380 | 191,127 | — | 191,127 | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.88% | At Termination | 11/01/31 | USD | 48,373 | 130,757 | — | 130,757 | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.77% | At Termination | 11/05/31 | USD | 50,758 | (517,340) | — | (517,340) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.77% | At Termination | 11/05/31 | USD | 50,758 | (503,117) | — | (503,117) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.80% | At Termination | 11/08/31 | USD | 21,207 | (132,014) | — | (132,014) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.83% | At Termination | 11/10/31 | USD | 29,551 | (99,777) | — | (99,777) | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.90% | At Termination | 11/15/31 | USD | 25,379 | 116,871 | — | 116,871 | ||||
| U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 2.93% | At Termination | 11/15/31 | USD | 25,379 | 210,518 | — | 210,518 | ||||
| Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.20% | At Termination | 12/15/51 | EUR | 1,155 | (25,996) | — | (25,996) | ||||
| Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.23% | At Termination | 12/15/51 | EUR | 1,540 | (13,377) | (5,663) | (7,714) | ||||
| 2.51% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 12/24/51 | USD | 2,300 | 32,049 | — | 32,049 | ||||
| $ (20,586,665) | $ (5,663) | $ (20,581,002) | |||||||||||
Schedule of Investments
67
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps
| Paid by the Fund | Received by the Fund | |||||||||||||
| Rate | Frequency | Rate | Frequency | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||
| 1-day ESTR, (0.58)% | At Termination | (0.43)% | At Termination | 10/17/22(a) | 10/17/23 | EUR | 192,710 | $ (203,223) | $ — | $ (203,223) | ||||
| 1-day ESTR, (0.58)% | At Termination | (0.38)% | At Termination | 10/20/22(a) | 10/20/23 | EUR | 208,910 | (84,508) | — | (84,508) | ||||
| 0.51% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | N/A | 04/07/24 | USD | 49,317 | 512,007 | — | 512,007 | ||||
| 0.86% | At Termination | 1-day SONIA, 0.19% | At Termination | 09/23/24(a) | 09/23/25 | GBP | 358,850 | 1,163,504 | — | 1,163,504 | ||||
| 0.98% | At Termination | 1-day SONIA, 0.19% | At Termination | 10/18/24(a) | 10/18/25 | GBP | 321,470 | 474,075 | — | 474,075 | ||||
| 0.90% | At Termination | 1-day SONIA, 0.19% | At Termination | 11/09/24(a) | 11/09/25 | GBP | 515,290 | 1,207,864 | — | 1,207,864 | ||||
| 2.91% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | N/A | 08/23/26 | USD | 3,692 | (302,756) | (46) | (302,710) | ||||
| 2.93% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | N/A | 08/24/28 | USD | 8,170 | (858,209) | 128 | (858,337) | ||||
| 3.16% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | N/A | 10/03/28 | USD | 4,519 | (534,205) | 71 | (534,276) | ||||
| 2.14% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | 06/15/26(a) | 06/15/31 | USD | 64,391 | (1,067,413) | — | (1,067,413) | ||||
| 2.14% | Semi-Annual | 3-month LIBOR, 0.21% | Quarterly | 06/15/26(a) | 06/15/31 | USD | 32,196 | (524,871) | (10,768) | (514,103) | ||||
| 1-day SONIA, 0.19% | Annual | 0.98% | Annual | N/A | 10/15/31 | GBP | 8,651 | 46,340 | — | 46,340 | ||||
| 6-month EURIBOR, (0.55)% | Annual | 0.22% | Semi-Annual | N/A | 10/19/31 | EUR | 13,270 | (74,895) | (3,045) | (71,850) | ||||
| 0.98% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 10/15/51 | GBP | 3,200 | (168,673) | — | (168,673) | ||||
| 0.70% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 11/08/51 | GBP | 2,477 | 114,099 | 452 | 113,647 | ||||
| 1-day SONIA, 0.19% | Annual | 0.70% | Annual | N/A | 11/08/51 | GBP | 2,477 | (114,100) | (107,993) | (6,107) | ||||
| 2.13% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.52% | Semi-Annual | N/A | 12/29/51 | CAD | 1,275 | (9,040) | (852) | (8,188) | ||||
| 2.15% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.52% | Semi-Annual | N/A | 12/29/51 | CAD | 2,550 | (25,107) | — | (25,107) | ||||
| 2.15% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.52% | Semi-Annual | N/A | 12/29/51 | CAD | 1,275 | (13,408) | — | (13,408) | ||||
| 2.10% | Semi-Annual | 3-month Canadian Bankers Acceptances, 0.52% | Semi-Annual | N/A | 12/31/51 | CAD | 1,275 | (1,897) | (514) | (1,383) | ||||
| 0.50% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 11/29/71 | GBP | 1,220 | 112,505 | — | 112,505 | ||||
| 0.52% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 11/29/71 | GBP | 7,550 | 637,270 | 25,641 | 611,629 | ||||
| 0.42% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 11/30/71 | GBP | 1,990 | 274,619 | — | 274,619 | ||||
| 0.45% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 11/30/71 | GBP | 1,850 | 224,814 | — | 224,814 | ||||
| 0.43% | Annual | 1-day SONIA, 0.19% | Annual | N/A | 12/01/71 | GBP | 3,780 | 508,095 | — | 508,095 | ||||
| $ 1,292,887 | $ (96,926) | $ 1,389,813 | ||||||||||||
| (a) | Forward Swap. |
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 Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
DISH DBS Corp. | 5.00% | Quarterly | Goldman Sachs International | 12/20/23 | USD | 2,168 | $ (95,558) | $ 43,859 | $ (139,417) |
KB Home | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 2,138 | (187,442) | (70,502) | (116,940) |
68
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
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 Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Realogy Group LLC | 5.00% | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | $ (71,444) | $ (4,121) | $ (67,323) |
RR Donnelley & Sons Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | (91,524) | 21,317 | (112,841) |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,199 | (102,276) | (39,457) | (62,819) |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,000 | (85,301) | (29,057) | (56,244) |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,103 | (94,087) | (34,586) | (59,501) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,000 | (78,307) | (5,799) | (72,508) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (93,754) | (20,902) | (72,852) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,150 | (91,760) | (20,458) | (71,302) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (93,754) | (20,921) | (72,833) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,223 | (95,769) | (8,579) | (87,190) |
Tenet Healthcare Corp. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | USD | 500 | (39,895) | (3,395) | (36,500) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 750 | (84,520) | 37,613 | (122,133) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,680 | (187,127) | 83,479 | (270,606) |
Boeing Co. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/24 | USD | 2,250 | (15,264) | (26,611) | 11,347 |
Boeing Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/24 | USD | 5,950 | (40,366) | (41,656) | 1,290 |
Broadcom, Inc. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,325 | (26,466) | 24,088 | (50,554) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,216 | 34,679 | 48,064 | (13,385) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | 34,668 | 48,049 | (13,381) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,220 | 34,721 | 48,123 | (13,402) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | 34,667 | 47,134 | (12,467) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 4,500 | 48,523 | 65,973 | (17,450) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 1,948 | 21,005 | 28,559 | (7,554) |
Occidental Petroleum Corp. | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 5,080 | 30,836 | 1,579,103 | (1,548,267) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | USD | 2,540 | (306,142) | 218,405 | (524,547) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 14,128 | 676,239 | 620,584 | 55,655 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,336 | 159,674 | 170,668 | (10,994) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,336 | 159,673 | 175,062 | (15,389) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,340 | 159,865 | 173,807 | (13,942) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,336 | 159,673 | 175,062 | (15,389) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,340 | 159,865 | 185,555 | (25,690) |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 3,335 | 159,626 | 195,449 | (35,823) |
Federative Republic of Brazil | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | USD | 2,990 | 143,113 | 158,363 | (15,250) |
Federative Republic of Brazil | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | USD | 2,990 | 143,113 | 162,282 | (19,169) |
Federative Republic of Brazil | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/26 | USD | 2,990 | 143,113 | 162,934 | (19,821) |
Federative Republic of Brazil | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/26 | USD | 2,920 | 139,762 | 161,666 | (21,904) |
Republic of Chile | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 5,147 | (74,384) | (62,346) | (12,038) |
Republic of Colombia | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 22,671 | 1,078,933 | 506,470 | 572,463 |
Republic of Colombia | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 10,689 | 508,699 | 238,792 | 269,907 |
Republic of Indonesia | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | USD | 31,972 | (390,223) | (346,009) | (44,214) |
Republic of South Africa | 1.00 | Quarterly | Barclays Bank PLC | 12/20/26 | USD | 5,680 | 269,423 | 285,028 | (15,605) |
Republic of South Africa | 1.00 | Quarterly | Citibank N.A. | 12/20/26 | USD | 5,100 | 241,871 | 254,752 | (12,881) |
Republic of South Africa | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 19,986 | 947,936 | 927,386 | 20,550 |
Republic of the Philippines | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/26 | USD | 11,217 | (238,106) | (284,194) | 46,088 |
Southwest Airlines Co. | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 5,000 | (13,489) | (4,703) | (8,786) |
United Mexican States | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/26 | USD | 20,046 | (91,709) | (34,514) | (57,195) |
United Mexican States | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/26 | USD | 65,811 | (301,080) | (113,310) | (187,770) |
CMBX.NA.9.AAA | 0.50 | Monthly | Credit Suisse International | 09/17/58 | USD | 4,537 | (36,743) | 49,634 | (86,377) |
CMBX.NA.9.AAA | 0.50 | Monthly | Deutsche Bank AG | 09/17/58 | USD | 3,618 | (29,297) | 40,149 | (69,446) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 2,528 | (20,475) | 27,660 | (48,135) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 3,048 | (24,684) | 33,345 | (58,029) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 5,566 | (45,079) | 66,816 | (111,895) |
CMBX.NA.9.BBB- | 3.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 2,080 | 194,234 | 68,371 | 125,863 |
Schedule of Investments
69
Schedule of Investments (unaudited) (continued)
December 31, 2021
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 Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CMBX.NA.9.BBB- | 3.00% | Monthly | Goldman Sachs International | 09/17/58 | USD | 3,544 | $ 330,945 | $ 274,530 | $ 56,415 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 204 | 19,050 | 10,979 | 8,071 | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 1,668 | (2,524) | 298 | (2,822) | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 4,054 | (6,132) | (1,215) | (4,917) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 05/11/63 | USD | 849 | 237,101 | 76,970 | 160,131 | ||
CMBX.NA.13.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | USD | 2,692 | 137,600 | 149,531 | (11,931) | ||
CMBX.NA.13.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | USD | 2,692 | 137,599 | 144,903 | (7,304) | ||
CMBX.NA.14.BBB- | 3.00 | Monthly | Goldman Sachs International | 12/16/72 | USD | 1,310 | 60,653 | 65,763 | (5,110) | ||
| $ 3,452,178 | $ 6,684,240 | $ (3,232,062) | |||||||||
OTC Credit Default Swaps — Sell Protection
| Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Broadcom, Inc. | 1.00% | Quarterly | Citibank N.A. | 06/20/24 | BBB- | USD | 14,931 | $ 272,464 | $ (563,179) | $ 835,643 | ||
Yum! Brands, Inc. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/25 | BB- | USD | 2,000 | 14,405 | (11,394) | 25,799 | ||
Yum! Brands, Inc. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/25 | BB- | USD | 2,000 | 14,406 | (15,142) | 29,548 | ||
Advanced Micro Devices, Inc. | 5.00 | Quarterly | Goldman Sachs International | 06/20/26 | BBB- | USD | 4,000 | 823,333 | 737,627 | 85,706 | ||
AT&T Inc. | 1.00 | Quarterly | Credit Suisse International | 06/20/26 | BBB | USD | 3,000 | 51,179 | 37,508 | 13,671 | ||
HCA, Inc. | 5.00 | Quarterly | Citibank N.A. | 06/20/26 | BB- | USD | 5,000 | 881,289 | 798,023 | 83,266 | ||
NRG Energy, Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/26 | N/R | USD | 2,000 | 277,061 | 254,011 | 23,050 | ||
NRG Energy, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/26 | N/R | USD | 2,000 | 277,061 | 264,230 | 12,831 | ||
T-Mobile U.S.A., Inc. | 5.00 | Quarterly | Citibank N.A. | 06/20/26 | BB+ | USD | 4,000 | 690,814 | 672,399 | 18,415 | ||
Trust Fibra Uno | 1.00 | Quarterly | Citibank N.A. | 06/20/26 | N/R | USD | 1,615 | (104,859) | (161,094) | 56,235 | ||
Trust Fibra Uno | 1.00 | Quarterly | Citibank N.A. | 06/20/26 | N/R | USD | 410 | (26,620) | (40,988) | 14,368 | ||
HCA, Inc. | 5.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 2,075 | 392,450 | 406,976 | (14,526) | |||
HCA, Inc. | 5.00 | Quarterly | Goldman Sachs International | 12/20/26 | BB- | USD | 3,000 | 567,401 | 537,732 | 29,669 | ||
Yum Brands, Inc. | 1.00 | Quarterly | Citibank N.A. | 12/20/26 | BB- | USD | 2,000 | (5,391) | (18,690) | 13,299 | ||
CMBX.NA.7.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 01/17/47 | AAA | USD | 4,909 | 26,620 | (133,198) | 159,818 | ||
CMBX.NA.3.AM | 0.50 | Monthly | Credit Suisse International | 12/13/49 | N/R | USD | —(a) | — | (9) | 9 | ||
CMBX.NA.3.AM | 0.50 | Monthly | Goldman Sachs International | 12/13/49 | N/R | USD | —(a) | — | (24) | 24 | ||
CMBX.NA.3.AM | 0.50 | Monthly | JPMorgan Chase Bank N.A. | 12/13/49 | N/R | USD | 1 | — | (49) | 49 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 906 | (84,604) | (100,825) | 16,221 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | N/R | USD | 1,310 | (122,330) | (141,979) | 19,649 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 09/17/58 | N/R | USD | 800 | (74,706) | (175,452) | 100,746 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | JPMorgan Chase Bank N.A. | 09/17/58 | N/R | USD | 438 | (40,901) | (35,956) | (4,945) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,000 | (93,382) | (256,162) | 162,780 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,060 | (98,985) | (49,820) | (49,165) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 231 | (21,571) | (13,052) | (8,519) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,200 | (112,058) | (1,448) | (110,610) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 3,340 | (10,646) | (135,069) | 124,423 | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 1,670 | (5,323) | (68,669) | 63,346 | ||
CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 60 | (5,331) | (4,801) | (530) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | Credit Suisse International | 05/11/63 | B | USD | 849 | (237,101) | (62,330) | (174,771) | ||
| $ 3,244,675 | $ 1,719,176 | $ 1,525,499 | ||||||||||
| (a) | Notional amount is less than USD 500. |
70
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
OTC Interest Rate Swaps
| Paid by the Fund | Received by the Fund | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||
| 1.42% | Semi-Annual | 1-day CLICP, 19,193.41 | Semi-Annual | Bank of America N.A. | 04/01/23 | CLP | 19,436,176 | $ 1,265,592 | $ — | $ 1,265,592 | ||||||
| 1-day CLICP, 19,193.41 | Semi-Annual | 1.65% | Semi-Annual | Bank of America N.A. | 05/28/23 | CLP | 19,436,176 | (1,344,851) | — | (1,344,851) | ||||||
| 5.64% | Quarterly | 1-day COOIS, 3.01% | Quarterly | Goldman Sachs International | 11/22/23 | COP | 49,709,889 | 18,466 | — | 18,466 | ||||||
| 5.69% | Quarterly | 1-day COOIS, 3.01% | Quarterly | JPMorgan Chase Bank N.A. | 11/23/23 | COP | 24,915,715 | 3,808 | — | 3,808 | ||||||
| 5.76% | Quarterly | 1-day COOIS, 3.01% | Quarterly | JPMorgan Chase Bank N.A. | 11/24/23 | COP | 24,308,014 | (3,791) | — | (3,791) | ||||||
| 5.80% | Quarterly | 1-day COOIS, 3.01% | Quarterly | Goldman Sachs International | 11/29/23 | COP | 50,299,891 | (15,916) | — | (15,916) | ||||||
| 5.65% | Quarterly | 1-day COOIS, 3.01% | Quarterly | Goldman Sachs International | 12/09/23 | COP | 25,027,859 | 10,956 | — | 10,956 | ||||||
| 5.62% | Quarterly | 1-day COOIS, 3.01% | Quarterly | Goldman Sachs International | 12/13/23 | COP | 24,783,684 | 13,896 | — | 13,896 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.29% | Quarterly | Goldman Sachs International | 11/22/26 | COP | 21,877,213 | 27,178 | — | 27,178 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.36% | Quarterly | JPMorgan Chase Bank N.A. | 11/23/26 | COP | 10,938,606 | 21,682 | — | 21,682 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.41% | Quarterly | JPMorgan Chase Bank N.A. | 11/24/26 | COP | 10,756,296 | 27,559 | — | 27,559 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.46% | Quarterly | Goldman Sachs International | 11/29/26 | COP | 22,097,768 | 68,192 | — | 68,192 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.24% | Quarterly | Goldman Sachs International | 12/09/26 | COP | 10,987,840 | 8,112 | — | 8,112 | ||||||
| 1-day COOIS, 3.01% | Quarterly | 6.18% | Quarterly | Goldman Sachs International | 12/13/26 | COP | 10,865,753 | 970 | — | 970 | ||||||
| $101,853 | $— | $101,853 | ||||||||||||||
OTC Total Return Swaps
| Paid by the Fund | Received by the Fund | |||||||||||||
| Reference | Frequency | Rate | Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||
| 0.00% | At Termination | Goldman Sachs U.S. Series 4 Excess Return Strategy | At Termination | Goldman Sachs International | 02/18/22 | USD | 3,396 | $ (56,200) | $ — | $ (56,200) | ||||
| 0.00% | At Termination | Goldman Sachs U.S. Series 4 Excess Return Strategy | At Termination | Goldman Sachs International | 02/18/22 | USD | 1,675 | (26,890) | — | (26,890) | ||||
| Universal Health Services, Inc. | At Termination | SOFR minus 0.08%, 0.05% | At Termination | BNP Paribas SA | 06/10/22 | USD | 17 | (30,813) | — | (30,813) | ||||
| 0.00% | At Termination | Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy | At Termination | Goldman Sachs International | 12/07/22 | USD | 31 | 29,547 | — | 29,547 | ||||
| $ (84,356) | $ — | $ (84,356) | ||||||||||||
Schedule of Investments
71
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;
• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Master Portfolio were fair valued using net asset value (“NAV”) per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
The following table summarizes the Master Portfolio’s financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |
| Assets | ||||
| Investments | ||||
| Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 2,637,743,241 | $ 171,753,581 | $ 2,809,496,822 |
| Common Stocks | ||||
Aerospace & Defense | — | 9,658,391 | — | 9,658,391 |
Capital Markets | — | 3,575,359 | — | 3,575,359 |
Chemicals | 4,636,946 | — | — | 4,636,946 |
Diversified Financial Services | 23,349,160 | — | 1,096,753 | 24,445,913 |
Diversified Telecommunication Services | 6,814,343 | — | — | 6,814,343 |
Energy Equipment & Services | 31 | — | — | 31 |
Entertainment | 4,559,776 | 3,264,371 | — | 7,824,147 |
Equity Real Estate Investment Trusts (REITs) | 25,561,270 | — | — | 25,561,270 |
Health Care Providers & Services | 5,101,403 | 7,533,766 | — | 12,635,169 |
Hotels, Restaurants & Leisure | 5,446,439 | — | — | 5,446,439 |
Household Durables | 12,902,161 | — | — | 12,902,161 |
Interactive Media & Services | 5,181,026 | — | — | 5,181,026 |
Internet & Direct Marketing Retail | 17,338,568 | — | — | 17,338,568 |
Machinery | 2,679,820 | 27,785,747 | — | 30,465,567 |
Media | 2,284,940 | — | — | 2,284,940 |
Metals & Mining | — | 65,361 | — | 65,361 |
Oil, Gas & Consumable Fuels | 35,016,892 | — | — | 35,016,892 |
Professional Services | — | 3,201,851 | — | 3,201,851 |
Real Estate Management & Development | 14,975,227 | 3,773,165 | — | 18,748,392 |
Software | 5,953,780 | 3,897,119 | — | 9,850,899 |
Technology Hardware, Storage & Peripherals | 7,336,125 | — | — | 7,336,125 |
Corporate Bonds | — | 7,207,056,178 | 43,352,830 | 7,250,409,008 |
Floating Rate Loan Interests | — | 513,625,501 | 192,840,395 | 706,465,896 |
Foreign Agency Obligations | — | 152,006,465 | — | 152,006,465 |
Foreign Government Obligations | — | 392,196,444 | — | 392,196,444 |
Municipal Bonds | — | 147,197,198 | — | 147,197,198 |
Non-Agency Mortgage-Backed Securities | — | 1,486,752,930 | 169,899,380 | 1,656,652,310 |
Preferred Securities | — | 167,438,832 | 14,972,760 | 182,411,592 |
72
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
| Level 1 | Level 2 | Level 3 | Total | ||||
| Common Stocks (continued) | |||||||
Rights | $ — | $ — | $ 111,571 | $ 111,571 | |||
U.S. Government Sponsored Agency Securities | — | 11,714,985,878 | — | 11,714,985,878 | |||
U.S. Treasury Obligations | — | 2,250,105,239 | — | 2,250,105,239 | |||
| Warrants | |||||||
Auto Components | 109,920 | — | — | 109,920 | |||
Automobiles | 686,358 | 445,158 | — | 1,131,516 | |||
Capital Markets | 236,514 | — | — | 236,514 | |||
Diversified Financial Services | 428,108 | — | 439,036 | 867,144 | |||
Electrical Equipment | 226,734 | — | — | 226,734 | |||
Independent Power and Renewable Electricity Producers | 147,423 | — | — | 147,423 | |||
Interactive Media & Services | 996,862 | — | — | 996,862 | |||
Machinery | 542,973 | — | — | 542,973 | |||
Oil, Gas & Consumable Fuels | 123,474 | — | — | 123,474 | |||
Real Estate Management & Development | 198,233 | — | — | 198,233 | |||
Software | 202,982 | — | — | 202,982 | |||
| Short-Term Securities | |||||||
Money Market Funds | 4,149,536,319 | — | — | 4,149,536,319 | |||
Options Purchased | |||||||
Credit Contracts | — | 27,731 | — | 27,731 | |||
Equity Contracts | 5,463,627 | 3,375 | — | 5,467,002 | |||
Foreign Currency Exchange Contracts | — | 8,729,871 | — | 8,729,871 | |||
Interest Rate Contracts | 814,843 | 2,025,288 | — | 2,840,131 | |||
Unfunded Floating Rate Loan Interests | — | 4,946 | 7,382 | 12,328 | |||
Unfunded SPAC PIPE Commitments | — | — | 668,694 | 668,694 | |||
| Liabilities | |||||||
TBA Sale Commitments | — | (4,844,611,930) | — | (4,844,611,930) | |||
Unfunded Floating Rate Loan Interests | — | — | (103,008) | (103,008) | |||
| $ 4,338,852,277 | $ 21,898,487,475 | $ 595,039,374 | 26,832,379,126 | ||||
Investments valued at NAV(a) | 5,246,686 | ||||||
| $ 26,837,625,812 | |||||||
| Derivative Financial Instruments(b) | |||||||
| Assets | |||||||
Credit Contracts | $ — | $ 3,216,345 | $ — | $ 3,216,345 | |||
Equity Contracts | 80,946 | 29,547 | — | 110,493 | |||
Foreign Currency Exchange Contracts | 99,736 | 12,019,013 | — | 12,118,749 | |||
Interest Rate Contracts | 37,491,003 | 6,715,510 | — | 44,206,513 | |||
Other Contracts | — | 1,149,493 | — | 1,149,493 | |||
| Liabilities | |||||||
Credit Contracts | — | (6,624,670) | — | (6,624,670) | |||
Equity Contracts | (719,760) | (113,903) | — | (833,663) | |||
Foreign Currency Exchange Contracts | (26,310) | (18,250,391) | — | (18,276,701) | |||
Interest Rate Contracts | (11,863,217) | (7,376,387) | — | (19,239,604) | |||
Other Contracts | — | (21,730,495) | — | (21,730,495) | |||
| $ 25,062,398 | $ (30,965,938) | $ — | $ (5,903,540) |
| (a) | Certain investments of the Master Portfolio were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (b) | 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. |
Schedule of Investments
73
Schedule of Investments (unaudited) (continued)
December 31, 2021
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 tables are 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 | Preferred Securities | ||||||
| Assets | |||||||||||
Opening Balance, as of September 30, 2021 | $ 92,177,417 | $ 962,397 | $ 42,593,155 | $ 202,765,544 | $ 83,897,836 | $ — | |||||
Transfers into Level 3 | 15,494,061 | — | — | 42,393,698 | 8,471,155 | 14,972,760 | |||||
Transfers out of Level 3 | (11,997,329) | — | — | (27,118,330) | (940,950) | — | |||||
Other(a) | — | (112,736) | 112,736 | — | — | — | |||||
| Accrued discounts/premiums | 62,026 | — | 20,170 | 33,195 | 62,918 | — | |||||
Net realized gain (loss) | 46,380 | (2,515,338) | 261,342 | 2,192,207 | (7,461) | — | |||||
Net change in unrealized appreciation (depreciation)(b) | (643,328) | 2,843,336 | (1,896,992) | (2,506,665) | (156,867) | — | |||||
Purchases | 80,470,862 | 220 | 7,071,675 | 48,113,296 | 78,960,245 | — | |||||
Sales | (3,856,508) | (81,126) | (4,809,256) | (73,032,550) | (387,496) | — | |||||
Closing Balance, as of December 31, 2021 | $ 171,753,581 | $ 1,096,753 | $ 43,352,830 | $ 192,840,395 | $ 169,899,380 | $ 14,972,760 | |||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(b) | $ (643,327) | $ 246,872 | $ 24,958 | $ (567,099) | $ (156,867) | $ — |
| Rights | Warrants | Unfunded Floating Rate Loan Interests | Unfunded SPAC PIPE Commitments | Total | |||||
| Assets | |||||||||
Opening Balance, as of September 30, 2021 | $ 102,989 | $ 344,768 | $ 1,951 | $ 3,032,416 | $ 425,878,473 | ||||
Transfers into Level 3 | — | — | — | — | 81,331,674 | ||||
Transfers out of Level 3 | — | — | — | — | (40,056,609) | ||||
Other(a) | — | — | — | — | — | ||||
| Accrued discounts/premiums | — | — | — | — | 178,309 | ||||
Net realized gain (loss) | — | — | — | — | (22,870) | ||||
Net change in unrealized appreciation (depreciation)(b) | 8,582 | (15,600) | 5,431 | (2,363,722) | (4,725,825) | ||||
Purchases | — | 190,868 | — | — | 214,726,166 | ||||
Sales | — | — | — | — | (82,166,936) | ||||
Closing Balance, as of December 31, 2021 | $ 111,571 | $ 439,036 | $ 7,382 | $ 668,694 | $ 595,142,382 | ||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(b) | $ 8,582 | $ (15,600) | $ 5,431 | $ (2,363,722) | $ (3,460,772) |
| Unfunded Floating Rate Loan Interests | |
| Liabilities | |
Opening Balance, as of September 30, 2021 | $ (8,042) |
Transfers into Level 3 | — |
Transfers out of Level 3 | — |
Other(a) | — |
| Accrued discounts/premiums | — |
Net realized gain (loss) | — |
Net change in unrealized appreciation (depreciation)(b) | (94,966) |
Purchases | — |
Sales | — |
Closing Balance, as of December 31, 2021 | $ (103,008) |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(b) | $ (94,969) |
| (a) | Certain Level 3 investments were re-classified between Common Stocks and Corporate Bonds. |
| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021, is generally due to investments no longer held or categorized as Level 3 at period end. |
| Currency Abbreviation | |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
74
2021
Schedule of Investments (unaudited) (continued)
December 31, 2021
Master Total Return Portfolio
| CLP | Chilean Peso |
| CNH | Chinese Yuan Offshore |
| CNY | Chinese Yuan |
| COP | Colombian Peso |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| HUF | Hungarian Forint |
| JPY | Japanese Yen |
| KZT | Kazakhstani Tenge |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| PLN | Polish Zloty |
| RUB | Russian Ruble |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TRY | Turkish Lira |
| USD | United States Dollar |
| ZAR | South African Rand |
| Portfolio Abbreviation | |
| ABS | Asset-Backed Security |
| CD | Certificate of Deposit |
| CLICP | Chile Indice de Camara Promedio Interbank Overnight Index |
| CLN | Credit-Linked-Note |
| CLO | Collateralized Loan Obligation |
| DAC | Designated Activity Co. |
| ESTR | Euro Short-Term Rate |
| ETF | Exchange-Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FKA | Formally Known As |
| GO | General Obligation Bonds |
| HFA | Housing Finance Agency |
| IO | Interest Only |
| LIBOR | London Interbank Offered Rate |
| LP | Limited Partnership |
| MTN | Medium-Term Note |
| OTC | Over-the-Counter |
| PIK | Payment-in-Kind |
| RB | Revenue Bonds |
| REMIC | Real Estate Mortgage Investment Conduit |
| S&P | Standard & Poor’s |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| SPDR | Standard & Poor’s Depository Receipt |
| TBA | To-be-Announced |
| UK RPI | United Kingdom Retail Price Index |
Schedule of Investments
75