Schedule of Investments (unaudited)
June 30, 2022
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) | 17,830,750,949 | $ 17,830,750,949 | |
Total Investments — 100.1% (Cost: $19,688,740,674) | 17,830,750,949 | ||
Liabilities in Excess of Other Assets — (0.1)% | (16,954,265) | ||
Net Assets — 100.0% | $ 17,813,796,684 |
(a) | Affiliate of the Fund. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended June 30, 2022 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 06/30/22 | Investment Value Held at 06/30/22 | Income (Expense) | Capital Gain Distributions from Underlying Funds | |||
Master Total Return Portfolio of Master Bond LLC | $ 20,487,863,966 | $ 148,268,240(a)(b) | $ — | $ (822,540,952) | $ (1,982,840,305) | $ 17,830,750,949 | 17,830,750,949 | $ 361,273,333 | $ — |
(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 $17,830,750,949 and 96.4%, 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
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Schedule of Investments (unaudited)
June 30, 2022
Master Total Return Portfolio
(Percentages shown are based on Net Assets)
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June 30, 2022
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(Percentages shown are based on Net Assets)
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Master Total Return Portfolio
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended June 30, 2022 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 06/30/22 | Par/Shares Held at 06/30/22 | 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 | — | (1,630,463,645)(a) | — | — | 577,630,126 | 577,630,126 | 1,491,689 | — | |||
iShares 5-10 Year Investment Grade Corporate Bond ETF(b) | — | 12,085,654 | (11,723,042) | (362,612) | — | — | — | 33,770 | — | |||
iShares AAA - A Rated Corporate Bond ETF(b) | — | 1,540,480 | (1,485,952) | (54,528) | — | — | — | — | — | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF | — | 47,193,967 | (30,398,157) | 130,233 | (223,489) | 16,702,554 | 151,800 | 100,167 | — | |||
iShares iBoxx High Yield Corporate Bond ETF(b) | 50,417,950 | 157,307,941 | (208,537,024) | 898,842 | (87,709) | — | — | 341,620 | — | |||
SL Liquidity Series, LLC, Money Market Series | 60,259,745 | — | (24,539,186)(a) | (5,349) | (3,297) | 35,711,913 | 35,719,057 | 222,849(c) | — | |||
$ 606,586 | $ (314,447) | $ 630,047,164 | $ 2,190,095 | $ — |
(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 | ||||
Fed Funds, 30-Day | 7 | 07/29/22 | $ 2,868 | $ (1,106) |
Euro-Bund | 1,036 | 09/08/22 | 161,527 | 3,265,763 |
Canadian Government Bonds (10 Year) | 101 | 09/20/22 | 9,729 | (342,053) |
Schedule of Investments
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Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Futures Contracts (continued)
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts (continued) | ||||
U.S. Treasury Bonds (30 Year) | 6,647 | 09/21/22 | $ 921,440 | $ (8,966,095) |
U.S. Treasury Notes (10 Year) | 1,865 | 09/21/22 | 221,061 | 2,424,769 |
U.S. Ultra Treasury Bonds | 3,926 | 09/21/22 | 605,954 | 10,188,881 |
U.S. Treasury Notes (2 Year) | 7,147 | 09/30/22 | 1,500,982 | 3,999,447 |
U.S. Treasury Notes (5 Year) | 8,910 | 09/30/22 | 1,000,147 | 5,898,309 |
3-month SONIA Index | 60 | 12/20/22 | 17,835 | 50,139 |
3-month SONIA Index | 1,411 | 03/14/23 | 417,057 | (2,173,172) |
3-month SONIA Index | 1,196 | 09/19/23 | 353,163 | 1,135,031 |
3-month SOFR | 409 | 12/19/23 | 99,198 | 306,783 |
15,786,696 | ||||
Short Contracts | ||||
Euro-Bobl | 1,481 | 09/08/22 | 192,745 | (1,207,765) |
Euro-BTP Italian Government Bond | 5,089 | 09/08/22 | 656,601 | (24,963,424) |
Euro-Buxl | 384 | 09/08/22 | 65,819 | (2,479,203) |
Euro-Schatz | 4,078 | 09/08/22 | 466,436 | (2,349,337) |
Japanese Government Bonds (10 Year) | 74 | 09/12/22 | 81,052 | 231,440 |
E-Mini S&P 500 Index | 96 | 09/16/22 | 18,190 | 200,821 |
Euro STOXX 50 Index | 651 | 09/16/22 | 23,475 | 411,573 |
NASDAQ 100 E-Mini Index | 22 | 09/16/22 | 5,073 | 26,914 |
Russell 2000 E-Mini Index | 205 | 09/16/22 | 17,507 | (57,524) |
U.S. Ultra Treasury Notes (10 Year) | 1,977 | 09/21/22 | 251,820 | (2,229,044) |
10 Year U.K. Gilt | 10 | 09/28/22 | 1,387 | (25,214) |
3-month EURIBOR | 151 | 06/19/23 | 38,868 | (169,590) |
3-month SOFR | 8,854 | 09/19/23 | 2,143,221 | (3,377,501) |
(35,987,854) | ||||
$ (20,201,158) |
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 1,920,000 | BRL | 9,315,840 | Citibank N.A. | 07/05/22 | $ 142,687 |
USD | 1,920,000 | BRL | 9,315,840 | Citibank N.A. | 07/05/22 | 142,687 |
AUD | 37,316,485 | USD | 25,681,000 | Deutsche Bank AG | 07/07/22 | 78,044 |
CAD | 33,067,626 | USD | 25,681,000 | Bank of America N.A. | 07/07/22 | 8,331 |
GBP | 21,193,106 | USD | 25,681,000 | BNP Paribas SA | 07/07/22 | 120,510 |
USD | 25,681,000 | AUD | 37,031,990 | Deutsche Bank AG | 07/07/22 | 118,340 |
USD | 25,681,000 | CAD | 32,985,498 | Bank of America N.A. | 07/07/22 | 55,472 |
USD | 25,681,000 | EUR | 24,384,130 | HSBC Bank PLC | 07/07/22 | 115,908 |
USD | 25,681,000 | GBP | 21,027,559 | BNP Paribas SA | 07/07/22 | 81,034 |
MXN | 38,526,489 | USD | 1,881,000 | Deutsche Bank AG | 07/11/22 | 31,009 |
MXN | 35,994,921 | USD | 1,782,000 | JPMorgan Chase Bank N.A. | 07/11/22 | 4,372 |
MXN | 38,767,989 | USD | 1,881,000 | Morgan Stanley & Co. International PLC | 07/11/22 | 42,995 |
NOK | 9,194,614 | USD | 929,000 | Deutsche Bank AG | 07/11/22 | 4,683 |
USD | 1,881,000 | JPY | 254,217,921 | Morgan Stanley & Co. International PLC | 07/11/22 | 6,114 |
USD | 1,848,000 | MXN | 37,138,934 | Deutsche Bank AG | 07/11/22 | 4,853 |
USD | 929,000 | NOK | 9,118,851 | JPMorgan Chase Bank N.A. | 07/11/22 | 3,010 |
USD | 2,863,000 | ZAR | 44,072,598 | Citibank N.A. | 07/11/22 | 157,038 |
USD | 1,848,000 | ZAR | 29,559,715 | Deutsche Bank AG | 07/11/22 | 33,097 |
USD | 6,803,000 | ZAR | 109,575,316 | Goldman Sachs Bank USA | 07/15/22 | 78,086 |
USD | 6,512,000 | ZAR | 104,888,204 | Goldman Sachs Bank USA | 07/15/22 | 74,746 |
ZAR | 30,163,051 | USD | 1,838,000 | Citibank N.A. | 07/15/22 | 13,183 |
ZAR | 30,163,050 | USD | 1,838,000 | Citibank N.A. | 07/15/22 | 13,183 |
CAD | 3,824,679 | USD | 2,955,000 | Bank of America N.A. | 07/20/22 | 16,235 |
CAD | 2,401,765 | USD | 1,859,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 6,832 |
CAD | 2,401,765 | USD | 1,859,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 6,832 |
CZK | 67,992,029 | USD | 2,869,000 | HSBC Bank PLC | 07/20/22 | 2,614 |
56
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June 30, 2022
Master Total Return Portfolio
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
CZK | 67,989,935 | USD | 2,869,000 | HSBC Bank PLC | 07/20/22 | $ 2,526 |
EUR | 1,767,000 | CZK | 43,849,395 | HSBC Bank PLC | 07/20/22 | 2,200 |
EUR | 1,767,000 | CZK | 43,849,395 | HSBC Bank PLC | 07/20/22 | 2,200 |
JPY | 393,322,035 | USD | 2,892,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 10,352 |
JPY | 393,322,035 | USD | 2,892,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 10,352 |
JPY | 250,398,753 | USD | 1,838,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 9,711 |
JPY | 250,398,753 | USD | 1,838,000 | JPMorgan Chase Bank N.A. | 07/20/22 | 9,711 |
MXN | 57,808,139 | USD | 2,796,000 | Citibank N.A. | 07/20/22 | 68,248 |
MXN | 57,808,139 | USD | 2,796,000 | Citibank N.A. | 07/20/22 | 68,248 |
NOK | 18,444,704 | EUR | 1,766,000 | Deutsche Bank AG | 07/20/22 | 20,202 |
NOK | 18,444,704 | EUR | 1,766,000 | Deutsche Bank AG | 07/20/22 | 20,202 |
USD | 1,855,000 | CLP | 1,652,805,000 | Bank of America N.A. | 07/20/22 | 62,066 |
USD | 1,855,000 | CLP | 1,652,805,000 | Bank of America N.A. | 07/20/22 | 62,066 |
USD | 1,971,000 | INR | 154,209,069 | UBS AG | 07/20/22 | 21,253 |
USD | 1,971,000 | INR | 154,209,069 | UBS AG | 07/20/22 | 21,253 |
USD | 1,909,000 | JPY | 256,116,021 | BNP Paribas SA | 07/20/22 | 19,101 |
USD | 1,909,000 | JPY | 256,116,021 | BNP Paribas SA | 07/20/22 | 19,101 |
CHF | 1,815,461 | GBP | 1,541,000 | JPMorgan Chase Bank N.A. | 07/27/22 | 28,133 |
CHF | 1,815,971 | GBP | 1,541,000 | JPMorgan Chase Bank N.A. | 07/27/22 | 28,667 |
CHF | 1,774,300 | USD | 1,859,000 | JPMorgan Chase Bank N.A. | 07/27/22 | 2,685 |
CHF | 1,774,300 | USD | 1,859,000 | JPMorgan Chase Bank N.A. | 07/27/22 | 2,685 |
MXN | 57,183,000 | USD | 2,736,639 | Morgan Stanley & Co. International PLC | 08/24/22 | 78,180 |
USD | 2,082,314 | COP | 7,938,259,000 | BNP Paribas SA | 08/24/22 | 188,148 |
USD | 2,368,830 | COP | 9,058,405,000 | Citibank N.A. | 08/24/22 | 207,382 |
USD | 1,940,987 | EUR | 1,843,000 | Morgan Stanley & Co. International PLC | 08/24/22 | 2,090 |
USD | 2,972,391 | MXN | 60,287,519 | BNP Paribas SA | 08/24/22 | 4,754 |
USD | 5,293,929 | MXN | 107,030,000 | JPMorgan Chase Bank N.A. | 08/24/22 | 25,405 |
USD | 2,230,000 | BRL | 11,000,679 | Goldman Sachs Bank USA | 09/14/22 | 173,416 |
USD | 511,761 | JPY | 66,564,026 | Bank of America N.A. | 09/14/22 | 18,545 |
USD | 2,230,000 | MXN | 44,804,533 | Goldman Sachs Bank USA | 09/14/22 | 33,169 |
CHF | 14,670,000 | EUR | 14,592,194 | JPMorgan Chase Bank N.A. | 09/21/22 | 76,148 |
CNH | 15,167,000 | USD | 2,258,824 | Bank of America N.A. | 09/21/22 | 5,994 |
CNH | 41,877,430 | USD | 6,245,000 | BNP Paribas SA | 09/21/22 | 8,364 |
EUR | 11,227,143 | GBP | 9,627,500 | Barclays Bank PLC | 09/21/22 | 97,263 |
EUR | 14,870,000 | GBP | 12,836,379 | Barclays Bank PLC | 09/21/22 | 25,116 |
EUR | 4,497,015 | GBP | 3,850,000 | Barclays Bank PLC | 09/21/22 | 46,616 |
EUR | 14,930,000 | GBP | 12,887,501 | BNP Paribas SA | 09/21/22 | 26,036 |
EUR | 14,860,000 | GBP | 12,784,207 | BNP Paribas SA | 09/21/22 | 78,185 |
EUR | 90,637,000 | GBP | 77,417,594 | Deutsche Bank AG | 09/21/22 | 1,157,622 |
EUR | 8,710,000 | GBP | 7,439,337 | Deutsche Bank AG | 09/21/22 | 111,622 |
EUR | 17,770,000 | GBP | 15,281,098 | Deutsche Bank AG | 09/21/22 | 101,556 |
EUR | 12,090,000 | GBP | 10,435,302 | Deutsche Bank AG | 09/21/22 | 21,968 |
EUR | 23,460,000 | GBP | 20,160,070 | Deutsche Bank AG | 09/21/22 | 151,237 |
EUR | 11,580,000 | GBP | 9,981,173 | Deutsche Bank AG | 09/21/22 | 38,027 |
EUR | 14,860,000 | USD | 15,625,513 | HSBC Bank PLC | 09/21/22 | 39,896 |
EUR | 7,120,000 | USD | 7,448,026 | JPMorgan Chase Bank N.A. | 09/21/22 | 57,877 |
GBP | 10,106,354 | EUR | 11,680,000 | Barclays Bank PLC | 09/21/22 | 9,181 |
GBP | 3,920,000 | EUR | 4,533,034 | Barclays Bank PLC | 09/21/22 | 761 |
GBP | 10,068,507 | EUR | 11,640,000 | BNP Paribas SA | 09/21/22 | 5,204 |
GBP | 15,767,118 | EUR | 18,120,000 | Deutsche Bank AG | 09/21/22 | 122,057 |
GBP | 12,720,031 | EUR | 14,710,000 | Deutsche Bank AG | 09/21/22 | 1,699 |
GBP | 10,164,252 | EUR | 11,720,000 | Deutsche Bank AG | 09/21/22 | 37,606 |
GBP | 7,737,917 | EUR | 8,840,000 | Goldman Sachs Bank USA | 09/21/22 | 115,378 |
GBP | 15,607,401 | EUR | 17,830,000 | Goldman Sachs Bank USA | 09/21/22 | 233,039 |
GBP | 3,802,500 | EUR | 4,384,903 | Morgan Stanley & Co. International PLC | 09/21/22 | 13,658 |
GBP | 3,810,000 | EUR | 4,348,695 | NatWest Markets PLC | 09/21/22 | 60,973 |
JPY | 349,200,954 | USD | 2,564,910 | Bank of America N.A. | 09/21/22 | 24,030 |
JPY | 349,265,282 | USD | 2,564,910 | HSBC Bank PLC | 09/21/22 | 24,507 |
MXN | 138,734,176 | USD | 6,586,000 | Morgan Stanley & Co. International PLC | 09/21/22 | 207,474 |
USD | 2,815,510 | AUD | 4,058,000 | Deutsche Bank AG | 09/21/22 | 12,535 |
USD | 11,349,932 | CAD | 14,515,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 71,923 |
USD | 15,327,379 | EUR | 14,420,000 | Bank of America N.A. | 09/21/22 | 125,818 |
Schedule of Investments
57
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 12,645,146 | EUR | 11,830,000 | BNP Paribas SA | 09/21/22 | $ 173,963 |
USD | 221,205,280 | EUR | 208,873,000 | BNP Paribas SA | 09/21/22 | 1,011,413 |
USD | 15,357,804 | EUR | 14,520,000 | BNP Paribas SA | 09/21/22 | 50,824 |
USD | 24,795,360 | EUR | 23,430,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 95,459 |
USD | 21,573,237 | EUR | 20,450,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 14,852 |
USD | 96,476,742 | EUR | 90,637,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 927,238 |
USD | 15,359,271 | EUR | 14,530,000 | JPMorgan Chase Bank N.A. | 09/21/22 | 41,748 |
USD | 15,042,031 | EUR | 14,086,000 | Royal Bank of Canada | 09/21/22 | 192,573 |
USD | 1,106,320 | GBP | 892,000 | Deutsche Bank AG | 09/21/22 | 18,744 |
TRY | 8,371,440 | USD | 462,000 | Deutsche Bank AG | 09/29/22 | 742 |
TRY | 8,371,440 | USD | 462,000 | Deutsche Bank AG | 09/29/22 | 742 |
$8,221,614 | ||||||
BRL | 9,238,718 | USD | 1,934,000 | Morgan Stanley & Co. International PLC | 07/05/22 | (171,401) |
BRL | 9,238,718 | USD | 1,934,000 | Morgan Stanley & Co. International PLC | 07/05/22 | (171,401) |
EUR | 24,473,245 | USD | 25,681,000 | Citibank N.A. | 07/07/22 | (22,477) |
JPY | 252,020,142 | USD | 1,881,000 | UBS AG | 07/11/22 | (22,323) |
USD | 3,696,000 | MXN | 74,476,503 | Deutsche Bank AG | 07/11/22 | (152) |
ZAR | 46,069,601 | USD | 2,863,000 | Deutsche Bank AG | 07/11/22 | (34,426) |
ZAR | 29,366,115 | USD | 1,848,000 | Goldman Sachs Bank USA | 07/11/22 | (44,984) |
ZAR | 60,678,375 | USD | 3,763,000 | Citibank N.A. | 07/15/22 | (39,015) |
ZAR | 60,678,375 | USD | 3,763,000 | Citibank N.A. | 07/15/22 | (39,015) |
AUD | 4,376,000 | CAD | 3,926,927 | BNP Paribas SA | 07/20/22 | (29,684) |
AUD | 2,772,000 | USD | 1,922,817 | Royal Bank of Canada | 07/20/22 | (9,160) |
EUR | 1,766,000 | NOK | 18,271,345 | Deutsche Bank AG | 07/20/22 | (2,595) |
EUR | 1,766,000 | NOK | 18,271,345 | Deutsche Bank AG | 07/20/22 | (2,595) |
EUR | 2,639,000 | USD | 2,792,208 | Bank of America N.A. | 07/20/22 | (23,034) |
EUR | 2,639,000 | USD | 2,792,208 | Bank of America N.A. | 07/20/22 | (23,034) |
MXN | 37,212,997 | USD | 1,859,000 | Deutsche Bank AG | 07/20/22 | (15,190) |
MXN | 37,212,997 | USD | 1,859,000 | Deutsche Bank AG | 07/20/22 | (15,190) |
TRY | 16,324,740 | USD | 972,000 | Deutsche Bank AG | 07/20/22 | (5,514) |
TRY | 16,324,740 | USD | 972,000 | Deutsche Bank AG | 07/20/22 | (5,514) |
USD | 4,902,645 | EUR | 4,689,000 | Bank of New York Mellon | 07/20/22 | (17,650) |
USD | 4,902,645 | EUR | 4,689,000 | Bank of New York Mellon | 07/20/22 | (17,650) |
USD | 3,710,000 | JPY | 503,513,965 | HSBC Bank PLC | 07/20/22 | (5,466) |
USD | 3,710,000 | JPY | 503,513,965 | HSBC Bank PLC | 07/20/22 | (5,466) |
USD | 2,775,000 | MXN | 57,473,857 | Citibank N.A. | 07/20/22 | (72,685) |
USD | 2,775,000 | MXN | 57,473,857 | Citibank N.A. | 07/20/22 | (72,685) |
USD | 3,787,000 | MXN | 78,464,876 | Deutsche Bank AG | 07/20/22 | (100,737) |
USD | 3,787,000 | MXN | 78,464,876 | Deutsche Bank AG | 07/20/22 | (100,737) |
USD | 972,000 | TRY | 16,999,308 | Barclays Bank PLC | 07/20/22 | (34,423) |
USD | 972,000 | TRY | 16,999,308 | Barclays Bank PLC | 07/20/22 | (34,423) |
BRL | 9,705,045 | USD | 1,855,000 | Goldman Sachs Bank USA | 08/02/22 | (19,188) |
USD | 1,855,000 | BRL | 9,823,208 | Goldman Sachs Bank USA | 08/02/22 | (3,163) |
IDR | 27,456,720,000 | USD | 1,864,000 | JPMorgan Chase Bank N.A. | 08/18/22 | (22,525) |
IDR | 27,456,720,000 | USD | 1,864,000 | JPMorgan Chase Bank N.A. | 08/18/22 | (22,525) |
MXN | 107,030,000 | USD | 5,392,918 | Citibank N.A. | 08/24/22 | (124,394) |
BRL | 22,712,717 | USD | 4,331,000 | Goldman Sachs Bank USA | 09/14/22 | (84,844) |
JPY | 8,450,000 | USD | 63,334 | Bank of America N.A. | 09/14/22 | (722) |
BRL | 34,655,532 | USD | 6,586,000 | HSBC Bank PLC | 09/21/22 | (118,920) |
CAD | 655,000 | USD | 510,103 | Deutsche Bank AG | 09/21/22 | (1,175) |
CHF | 1,603,957 | EUR | 1,609,639 | Deutsche Bank AG | 09/21/22 | (6,632) |
CHF | 14,670,000 | EUR | 14,683,582 | Société Générale | 09/21/22 | (20,193) |
CHF | 13,026,043 | EUR | 13,063,339 | Société Générale | 09/21/22 | (44,534) |
EUR | 14,860,000 | GBP | 12,866,680 | Deutsche Bank AG | 09/21/22 | (22,370) |
EUR | 7,904,000 | USD | 8,379,370 | Bank of New York Mellon | 09/21/22 | (46,975) |
EUR | 11,830,000 | USD | 12,565,522 | Barclays Bank PLC | 09/21/22 | (94,339) |
EUR | 5,810,000 | USD | 6,147,939 | Barclays Bank PLC | 09/21/22 | (23,038) |
EUR | 17,430,000 | USD | 18,391,264 | Citibank N.A. | 09/21/22 | (16,563) |
EUR | 2,485,300 | USD | 2,643,559 | Deutsche Bank AG | 09/21/22 | (23,557) |
EUR | 4,139,300 | USD | 4,402,883 | Deutsche Bank AG | 09/21/22 | (39,234) |
EUR | 5,810,000 | USD | 6,129,620 | HSBC Bank PLC | 09/21/22 | (4,719) |
58
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
GBP | 15,987,260 | EUR | 18,525,000 | Deutsche Bank AG | 09/21/22 | $ (36,484) |
GBP | 9,782,219 | EUR | 11,355,000 | Goldman Sachs Bank USA | 09/21/22 | (43,407) |
GBP | 1,945,000 | EUR | 2,254,291 | HSBC Bank PLC | 09/21/22 | (5,019) |
GBP | 10,869,000 | USD | 13,313,819 | Bank of New York Mellon | 09/21/22 | (61,723) |
IDR | 129,680,129,696 | USD | 8,759,212 | Bank of America N.A. | 09/21/22 | (67,864) |
NOK | 66,746,362 | EUR | 6,528,000 | Deutsche Bank AG | 09/21/22 | (92,771) |
USD | 12,490,000 | CNH | 83,847,743 | Deutsche Bank AG | 09/21/22 | (30,598) |
USD | 4,806,777 | CNH | 32,400,000 | Morgan Stanley & Co. International PLC | 09/21/22 | (31,366) |
USD | 6,490,000 | CNH | 43,567,013 | Royal Bank of Canada | 09/21/22 | (15,662) |
USD | 8,704,810 | EUR | 8,325,000 | State Street Global Markets LLC | 09/21/22 | (71,403) |
USD | 3,254,000 | TRY | 63,680,780 | Goldman Sachs Bank USA | 09/29/22 | (266,039) |
USD | 3,254,000 | TRY | 63,680,780 | Goldman Sachs Bank USA | 09/29/22 | (266,039) |
(2,866,611) | ||||||
$ 5,355,003 | ||||||
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Invesco QQQ Trust, Series 1 ETF | 3,456 | 07/01/22 | USD | 292.00 | USD | 96,865 | $ 19,008 |
Devon Energy Corp. | 1,289 | 07/15/22 | USD | 70.00 | USD | 7,104 | 10,957 |
Devon Energy Corp. | 2,254 | 07/15/22 | USD | 80.00 | USD | 12,422 | 5,635 |
Diamondback Energy, Inc. | 1,337 | 07/15/22 | USD | 157.65 | USD | 16,198 | 20,055 |
Marathon Oil Corp. | 2,219 | 07/15/22 | USD | 30.00 | USD | 4,988 | 12,205 |
Marathon Oil Corp. | 2,326 | 07/15/22 | USD | 33.00 | USD | 5,229 | 6,978 |
Marathon Oil Corp. | 2,433 | 07/15/22 | USD | 27.00 | USD | 5,469 | 36,495 |
Occidental Petroleum Corp. | 394 | 07/15/22 | USD | 75.00 | USD | 2,320 | 4,531 |
Occidental Petroleum Corp. | 1,576 | 07/15/22 | USD | 70.00 | USD | 9,279 | 49,644 |
Western Digital Corp. | 650 | 07/15/22 | USD | 80.00 | USD | 2,914 | 1,625 |
Western Digital Corp. | 850 | 07/15/22 | USD | 75.00 | USD | 3,811 | 3,825 |
Xerox Holdings Corp. | 150 | 07/15/22 | USD | 30.00 | USD | 223 | 4,875 |
CF Industries Holdings, Inc. | 438 | 08/19/22 | USD | 115.00 | USD | 3,755 | 31,755 |
Mosaic Co. | 787 | 09/16/22 | USD | 70.00 | USD | 3,717 | 48,794 |
CME 3-Month SOFR Futures | 1,291 | 03/10/23 | USD | 96.75 | USD | 311,664 | 1,395,894 |
CME 3-Month SOFR Futures | 1,296 | 03/10/23 | USD | 97.13 | USD | 312,871 | 907,200 |
CME 3-Month SOFR Futures | 1,301 | 03/10/23 | USD | 96.38 | USD | 314,078 | 2,065,337 |
$4,624,813 | |||||||
Put | |||||||
iShares Russell 2000 ETF | 650 | 07/01/22 | USD | 166.00 | USD | 11,008 | 24,700 |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,369 | 07/15/22 | USD | 96.50 | USD | 331,811 | 68,450 |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 2,286 | 07/15/22 | USD | 96.63 | USD | 554,069 | 200,025 |
CommScope Holding Co., Inc. | 400 | 07/15/22 | USD | 6.00 | USD | 245 | 12,000 |
Ford Motor Co. | 1,155 | 07/15/22 | USD | 10.00 | USD | 1,286 | 12,705 |
Invesco Senior Loan ETF | 500 | 07/15/22 | USD | 20.00 | USD | 1,014 | 8,750 |
iShares iBoxx High Yield Corporate Bond ETF | 500 | 07/15/22 | USD | 73.00 | USD | 3,680 | 45,500 |
iShares iBoxx High Yield Corporate Bond ETF | 1,000 | 07/15/22 | USD | 72.00 | USD | 7,361 | 60,000 |
iShares Preferred & Income Securities ETF | 450 | 07/15/22 | USD | 31.00 | USD | 1,480 | 6,750 |
iShares Russell 2000 ETF | 200 | 07/15/22 | USD | 165.00 | USD | 3,387 | 54,500 |
iShares Russell 2000 ETF | 225 | 07/15/22 | USD | 150.00 | USD | 3,811 | 8,775 |
Netflix, Inc. | 143 | 07/15/22 | USD | 150.00 | USD | 2,501 | 19,376 |
Pitney Bowes, Inc. | 504 | 07/15/22 | USD | 4.00 | USD | 182 | 21,420 |
Seagate Technology Holdings PLC | 410 | 07/15/22 | USD | 60.00 | USD | 2,929 | 10,865 |
SPDR EURO STOXX 50 ETF | 700 | 07/15/22 | USD | 32.00 | USD | 2,435 | 10,500 |
SPDR S&P 500 ETF Trust | 220 | 07/15/22 | USD | 360.00 | USD | 8,299 | 64,900 |
United States Steel Corp. | 1,250 | 07/15/22 | USD | 17.00 | USD | 2,239 | 74,375 |
VanEck Semiconductor ETF | 170 | 07/15/22 | USD | 185.00 | USD | 3,463 | 26,775 |
VanEck Semiconductor ETF | 175 | 07/15/22 | USD | 180.00 | USD | 3,565 | 18,287 |
Schedule of Investments
59
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Exchange-Traded Options Purchased (continued)
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
iShares MSCI EAFE ETF | 650 | 08/19/22 | USD | 51.00 | USD | 4,062 | $ 42,250 |
Macy’s, Inc. | 115 | 08/19/22 | USD | 17.00 | USD | 211 | 14,778 |
Sabre Corp. | 400 | 08/19/22 | USD | 5.00 | USD | 233 | 15,200 |
Xerox Holdings Corp. | 800 | 08/19/22 | USD | 13.00 | USD | 1,188 | 34,000 |
U.S. Treasury Notes (10 Year) | 340 | 08/26/22 | USD | 115.00 | USD | 40,242 | 154,062 |
First Quantum Minerals Ltd. | 268 | 09/16/22 | CAD | 18.00 | CAD | 654 | 11,972 |
Ford Motor Co. | 650 | 09/16/22 | USD | 10.00 | USD | 723 | 38,350 |
Invesco Senior Loan ETF | 850 | 09/16/22 | USD | 19.00 | USD | 1,723 | 27,625 |
Sherwin-Williams Co. | 233 | 09/16/22 | USD | 240.00 | USD | 5,217 | 518,425 |
Vertiv Holdings Co. | 117 | 09/16/22 | USD | 7.50 | USD | 96 | 7,313 |
iHeartMedia, Inc. | 245 | 10/21/22 | USD | 7.50 | USD | 193 | 23,887 |
Sabre Corp. | 56 | 10/21/22 | USD | 6.00 | USD | 33 | 6,244 |
Sabre Corp. | 147 | 10/21/22 | USD | 5.00 | USD | 86 | 8,967 |
Ally Financial, Inc. | 360 | 12/16/22 | USD | 20.00 | USD | 1,206 | 20,700 |
Ford Motor Co. | 665 | 12/16/22 | USD | 8.00 | USD | 740 | 27,597 |
$1,700,023 | |||||||
$ 6,324,836 |
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 | Up-and-Out | Goldman Sachs International | — | 07/14/22 | CNH | 6.90 | CNH | 7.20 | USD | 43,830 | $ 3,070 |
USD Currency | One-Touch | HSBC Bank PLC | — | 07/14/22 | CNH | 7.20 | CNH | 7.20 | USD | 1,098 | 152 |
USD Currency | Up-and-Out | BNP Paribas S.A. | — | 08/25/22 | CNH | 6.80 | CNH | 7.10 | USD | 38,960 | 68,391 |
EUR Currency | One-Touch | UBS AG | — | 09/06/22 | CHF | 1.10 | CHF | 1.11 | EUR | 4,080 | 23,945 |
USD Currency | One-Touch | Goldman Sachs International | — | 12/08/22 | JPY | 122.00 | JPY | 122.00 | USD | 1,336 | 140,189 |
235,747 | |||||||||||
Put | |||||||||||
EUR Currency | One-Touch | BNP Paribas S.A. | — | 07/11/22 | USD | 1.02 | USD | 1.02 | EUR | 840 | 53,186 |
USD Currency | One-Touch | Deutsche Bank AG | — | 08/03/22 | JPY | 113.56 | JPY | 113.56 | USD | 10,000 | 22,587 |
USD Currency | One-Touch | Morgan Stanley & Co. International PLC | — | 08/05/22 | JPY | 115.53 | JPY | 113.80 | USD | 10,000 | 17,518 |
USD Currency | Up-and-In | Bank of America N.A. | — | 09/29/22 | JPY | 136.00 | JPY | 140.50 | USD | 12,825 | 92,337 |
USD Currency | One-Touch | Citibank N.A. | — | 12/21/22 | JPY | 125.00 | JPY | 125.00 | USD | 2,060 | 83,557 |
269,185 | |||||||||||
$ 504,932 |
OTC Options Purchased
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
AUD Currency | Citibank N.A. | — | 07/01/22 | USD | 0.75 | AUD | 14,074 | $ — |
AUD Currency | Morgan Stanley & Co. International PLC | — | 07/14/22 | USD | 0.70 | AUD | 10,920 | 32,205 |
USD Currency | Citibank N.A. | — | 07/14/22 | ZAR | 16.30 | USD | 7,526 | 99,937 |
EUR Currency | Bank of America N.A. | — | 08/05/22 | USD | 1.19 | EUR | 127,210 | 425 |
USD Currency | Morgan Stanley & Co. International PLC | — | 08/15/22 | IDR | 14,800.00 | USD | 11,672 | 191,828 |
EUR Currency | UBS AG | — | 09/05/22 | CHF | 1.06 | EUR | 27,180 | 18,722 |
343,117 | ||||||||
Put | ||||||||
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/01/22 | USD | 1.06 | EUR | 14,494 | 175,991 |
EUR Currency | BNP Paribas S.A. | — | 07/11/22 | USD | 1.04 | EUR | 83,415 | 313,774 |
60
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Options Purchased (continued)
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
USD Currency | Bank of America N.A. | — | 07/14/22 | BRL | 5.00 | USD | 7,526 | $ 11,321 |
USD Currency | Citibank N.A. | — | 07/21/22 | JPY | 126.00 | USD | 19,912 | 12,747 |
USD Currency | Barclays Bank PLC | — | 07/22/22 | BRL | 4.85 | USD | 9,632 | 7,154 |
USD Currency | Citibank N.A. | — | 08/01/22 | JPY | 124.00 | USD | 248,874 | 259,061 |
USD Currency | JPMorgan Chase Bank N.A. | — | 08/05/22 | JPY | 127.00 | USD | 191,840 | 486,857 |
USD Currency | Citibank N.A. | — | 08/08/22 | JPY | 130.00 | USD | 11,452 | 61,225 |
USD Currency | JPMorgan Chase Bank N.A. | — | 08/11/22 | CLP | 855.00 | USD | 11,288 | 29,163 |
USD Currency | Citibank N.A. | — | 08/22/22 | JPY | 130.00 | USD | 175,709 | 1,243,826 |
USD Currency | Goldman Sachs International | — | 08/22/22 | JPY | 126.50 | USD | 15,424 | 55,466 |
USD Currency | JPMorgan Chase Bank N.A. | — | 08/22/22 | JPY | 121.00 | USD | 15,424 | 20,326 |
EUR Currency | Morgan Stanley & Co. International PLC | — | 08/29/22 | NOK | 9.83 | EUR | 17,810 | 32,180 |
EUR Currency | Morgan Stanley & Co. International PLC | — | 09/08/22 | NOK | 9.65 | EUR | 25,426 | 23,384 |
USD Currency | JPMorgan Chase Bank N.A. | — | 09/08/22 | JPY | 126.50 | USD | 160,732 | 846,420 |
USD Currency | Morgan Stanley & Co. International PLC | — | 09/12/22 | JPY | 126.50 | USD | 139,638 | 784,895 |
USD Currency | Goldman Sachs International | — | 09/13/22 | JPY | 115.00 | USD | 33,470 | — |
USD Currency | Royal Bank of Canada | — | 09/21/22 | JPY | 127.00 | USD | 9,276 | 64,441 |
EUR Currency | HSBC Bank PLC | — | 09/30/22 | NOK | 9.39 | EUR | 52,410 | 23,978 |
EUR Currency | JPMorgan Chase Bank N.A. | — | 10/26/22 | NOK | 9.35 | EUR | 17,392 | 12,985 |
4,465,194 | ||||||||
$ 4,808,311 |
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, 06/20/27 | 5.00% | Quarterly | CDX.NA.HY.38.V2 | Quarterly | Goldman Sachs International | 07/20/22 | 93.00 | USD | 8,000 | $ 22,739 | ||
Bought Protection on 5-Year Credit Default Swap, 06/20/27 | 5.00% | Quarterly | CDX.NA.HY.38.V2 | Quarterly | Citibank N.A. | 07/20/22 | 94.00 | USD | 8,000 | 32,928 | ||
Bought Protection on 5-Year Credit Default Swap, 06/20/27 | 5.00% | Quarterly | CDX.NA.HY.38.V2 | Quarterly | Deutsche Bank AG | 07/20/22 | 95.00 | USD | 8,000 | 47,942 | ||
Bought Protection on 5-Year Credit Default Swap, 06/20/27 | 5.00% | Quarterly | CDX.NA.HY.38.V2 | Quarterly | Citibank N.A. | 08/17/22 | 91.00 | USD | 8,000 | 50,218 | ||
$153,827 |
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 | ||
Call | |||||||||||
10-Year Interest Rate Swap, 06/16/33 | SOFR, 1.50% | Quarterly | 3.24% | Semi-Annual | Deutsche Bank AG | 06/14/23 | 3.24% | USD | 66,597 | $ 3,842,438 | |
10-Year Interest Rate Swap, 06/24/33 | SOFR, 1.50% | Quarterly | 2.96% | Semi-Annual | Barclays Bank PLC | 06/22/23 | 2.96% | USD | 40,070 | 1,712,124 | |
5,554,562 | |||||||||||
Put | |||||||||||
10-Year Interest Rate Swap, 04/23/33 | 3.25% | Semi-Annual | SOFR, 1.50% | Quarterly | BNP Paribas S.A. | 04/21/23 | 3.25% | USD | 32,500 | $ 634,303 | |
10-Year Interest Rate Swap, 06/15/33 | 3.90% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 06/13/23 | 3.90% | USD | 32,070 | 321,292 |
Schedule of Investments
61
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Interest Rate Swaptions Purchased (continued)
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 06/16/33 | 3.24% | Semi-Annual | SOFR, 1.50% | Quarterly | Deutsche Bank AG | 06/14/23 | 3.24% | USD | 66,597 | $ 1,448,466 | |
10-Year Interest Rate Swap, 06/24/33 | 2.96% | Semi-Annual | SOFR, 1.50% | Quarterly | Barclays Bank PLC | 06/22/23 | 2.96% | USD | 40,070 | 1,214,479 | |
3,618,540 | |||||||||||
$ 9,173,102 |
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
Invesco QQQ Trust, Series 1 ETF | 3,456 | 07/01/22 | USD | 296.00 | USD | 96,865 | $ (6,912) |
Western Digital Corp. | 850 | 07/15/22 | USD | 85.00 | USD | 3,811 | (12,750) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,291 | 03/10/23 | USD | 97.13 | USD | 313,794 | (2,009,119) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,296 | 03/10/23 | USD | 97.63 | USD | 315,009 | (1,231,200) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,301 | 03/10/23 | USD | 96.75 | USD | 316,224 | (2,764,625) |
(6,024,606) | |||||||
Put | |||||||
iShares Russell 2000 ETF | 650 | 07/01/22 | USD | 161.00 | USD | 11,008 | (1,625) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 1,369 | 07/15/22 | USD | 96.00 | USD | 331,811 | (8,556) |
1 Year Mid-Curve Options on 3-Month SOFR Futures | 2,286 | 07/15/22 | USD | 96.13 | USD | 554,069 | (14,287) |
iShares iBoxx High Yield Corporate Bond ETF | 1,500 | 07/15/22 | USD | 67.00 | USD | 11,042 | (18,750) |
iShares Russell 2000 ETF | 200 | 07/15/22 | USD | 145.00 | USD | 3,387 | (4,300) |
iShares Russell 2000 ETF | 225 | 07/15/22 | USD | 130.00 | USD | 3,811 | (1,462) |
Netflix, Inc. | 143 | 07/15/22 | USD | 125.00 | USD | 2,501 | (3,003) |
SPDR S&P 500 ETF Trust | 220 | 07/15/22 | USD | 345.00 | USD | 8,300 | (23,320) |
VanEck Semiconductor ETF | 170 | 07/15/22 | USD | 165.00 | USD | 3,464 | (5,525) |
VanEck Semiconductor ETF | 175 | 07/15/22 | USD | 160.00 | USD | 3,565 | (3,762) |
U.S. Treasury Notes (10 Year) | 679 | 08/26/22 | USD | 113.00 | USD | 80,366 | (127,312) |
(211,902) | |||||||
$ (6,236,508) |
OTC Options Written
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
AUD Currency | JPMorgan Chase Bank N.A. | — | 07/01/22 | USD | 0.75 | AUD | 14,074 | $ — |
EUR Currency | Citibank N.A. | — | 07/07/22 | CHF | 1.06 | EUR | 27,180 | (28) |
USD Currency | Goldman Sachs International | — | 07/19/22 | TRY | 17.50 | USD | 3,886 | (46,056) |
USD Currency | Barclays Bank PLC | — | 07/22/22 | BRL | 5.20 | USD | 5,780 | (145,407) |
USD Currency | Citibank N.A. | — | 08/08/22 | JPY | 136.00 | USD | 5,726 | (83,719) |
USD Currency | JPMorgan Chase Bank N.A. | — | 08/11/22 | CLP | 890.00 | USD | 5,644 | (273,524) |
AUD Currency | Morgan Stanley & Co. International PLC | — | 08/12/22 | USD | 0.73 | AUD | 10,920 | (14,154) |
USD Currency | Morgan Stanley & Co. International PLC | — | 08/15/22 | IDR | 15,200.00 | USD | 11,672 | (70,624) |
(633,512) | ||||||||
Put | ||||||||
EUR Currency | JPMorgan Chase Bank N.A. | — | 07/01/22 | USD | 1.04 | EUR | 14,494 | (261) |
EUR Currency | BNP Paribas S.A. | — | 07/11/22 | USD | 1.03 | EUR | 100,786 | (124,085) |
USD Currency | Citibank N.A. | — | 07/21/22 | JPY | 120.00 | USD | 19,912 | (2,665) |
USD Currency | Royal Bank of Canada | — | 07/21/22 | JPY | 127.00 | USD | 9,276 | (7,906) |
USD Currency | Barclays Bank PLC | — | 07/22/22 | BRL | 4.60 | USD | 15,412 | (1,060) |
USD Currency | Citibank N.A. | — | 08/01/22 | JPY | 124.00 | USD | 248,874 | (259,060) |
62
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Options Written (continued)
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
USD Currency | Citibank N.A. | — | 08/08/22 | JPY | 126.00 | USD | 11,452 | $ (26,505) |
USD Currency | JPMorgan Chase Bank N.A. | — | 08/11/22 | CLP | 815.00 | USD | 16,932 | (6,993) |
USD Currency | Morgan Stanley & Co. International PLC | — | 08/15/22 | IDR | 14,400.00 | USD | 7,780 | (4,011) |
USD Currency | Goldman Sachs International | — | 08/22/22 | JPY | 121.00 | USD | 15,424 | (20,326) |
EUR Currency | Morgan Stanley & Co. International PLC | — | 09/08/22 | NOK | 9.20 | EUR | 25,426 | (2,251) |
USD Currency | Goldman Sachs International | — | 09/13/22 | JPY | 109.00 | USD | 33,470 | (14,978) |
(470,101) | ||||||||
$ (1,103,613) | ||||||||
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, 06/20/27 | CDX.NA.HY.38.V2 | Quarterly | 5.00% | Quarterly | Goldman Sachs International | 07/20/22 | N/R | 88.00 | USD | 8,000 | $ (3,830) | ||
Sold Protection on 5-Year Credit Default Swap, 06/20/27 | CDX.NA.HY.38.V2 | Quarterly | 5.00% | Quarterly | Citibank N.A. | 07/20/22 | N/R | 89.00 | USD | 8,000 | (6,297) | ||
Sold Protection on 5-Year Credit Default Swap, 06/20/27 | CDX.NA.HY.38.V2 | Quarterly | 5.00% | Quarterly | Deutsche Bank AG | 07/20/22 | N/R | 90.00 | USD | 8,000 | (8,337) | ||
(18,464) |
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 | ||
Call | |||||||||||
10-Year Interest Rate Swap, 03/04/33 | 1.72% | Semi-Annual | SOFR, 1.50% | Quarterly | Morgan Stanley & Co. International PLC | 03/02/23 | 1.72% | USD | 18,795 | $ (83,268) | |
10-Year Interest Rate Swap, 03/10/33 | 1.75% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 03/08/23 | 1.75% | USD | 9,186 | (44,554) | |
10-Year Interest Rate Swap, 03/10/33 | 1.77% | Semi-Annual | SOFR, 0.29% | Quarterly | Goldman Sachs International | 03/08/23 | 1.77% | USD | 52,319 | (259,086) | |
10-Year Interest Rate Swap, 03/11/33 | 1.84% | Semi-Annual | SOFR, 1.50% | Quarterly | Morgan Stanley & Co. International PLC | 03/09/23 | 1.84% | USD | 18,868 | (108,423) | |
10-Year Interest Rate Swap, 03/15/33 | 1.93% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 03/13/23 | 1.93% | USD | 18,868 | (130,799) |
Schedule of Investments
63
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Interest Rate Swaptions Written (continued)
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 03/25/33 | 2.28% | Semi-Annual | SOFR, 0.29% | Quarterly | JPMorgan Chase Bank N.A. | 03/23/23 | 2.28% | USD | 29,113 | $ (394,076) | |
10-Year Interest Rate Swap, 03/31/33 | 2.28% | Semi-Annual | SOFR, 1.50% | Quarterly | Deutsche Bank AG | 03/29/23 | 2.28% | USD | 19,409 | (268,462) | |
10-Year Interest Rate Swap, 04/14/33 | 2.61% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 04/12/23 | 2.61% | USD | 19,409 | (470,427) | |
10-Year Interest Rate Swap, 04/15/33 | 2.63% | Semi-Annual | SOFR, 1.50% | Quarterly | Barclays Bank PLC | 04/13/23 | 2.63% | USD | 19,409 | (490,629) | |
10-Year Interest Rate Swap, 04/16/33 | 2.58% | Semi-Annual | SOFR, 1.50% | Quarterly | Morgan Stanley & Co. International PLC | 04/14/23 | 2.58% | USD | 19,409 | (452,405) | |
10-Year Interest Rate Swap, 05/18/33 | 2.77% | Semi-Annual | SOFR, 1.50% | Quarterly | Deutsche Bank AG | 05/16/23 | 2.77% | USD | 18,489 | (605,377) | |
10-Year Interest Rate Swap, 05/24/33 | 2.67% | Semi-Annual | SOFR, 1.50% | Quarterly | JPMorgan Chase Bank N.A. | 05/22/23 | 2.67% | USD | 18,489 | (540,558) | |
10-Year Interest Rate Swap, 06/09/33 | 2.84% | Semi-Annual | SOFR, 1.50% | Quarterly | Morgan Stanley & Co. International PLC | 06/07/23 | 2.84% | USD | 62,903 | (2,299,292) | |
10-Year Interest Rate Swap, 06/17/33 | 3.10% | Semi-Annual | SOFR, 1.50% | Quarterly | Goldman Sachs International | 06/15/23 | 3.10% | USD | 20,035 | (1,001,209) | |
10-Year Interest Rate Swap, 06/08/35 | 2.91% | Semi-Annual | SOFR, 1.50% | Quarterly | Goldman Sachs International | 06/06/25 | 2.91% | USD | 17,821 | (1,039,386) | |
10-Year Interest Rate Swap, 06/11/35 | 2.86% | Semi-Annual | SOFR, 1.50% | Quarterly | Barclays Bank PLC | 06/09/25 | 2.86% | USD | 7,346 | (412,636) | |
10-Year Interest Rate Swap, 06/11/35 | 2.86% | Semi-Annual | SOFR, 1.50% | Quarterly | Barclays Bank PLC | 06/09/25 | 2.86% | USD | 7,346 | (411,319) |
64
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Interest Rate Swaptions Written (continued)
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 06/14/35 | 2.90% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 06/12/25 | 2.90% | USD | 14,856 | $ (857,810) | |
10-Year Interest Rate Swap, 06/18/35 | 3.09% | Semi-Annual | SOFR, 1.50% | Quarterly | Bank of America N.A. | 06/16/25 | 3.09% | USD | 49,006 | (3,272,313) | |
10-Year Interest Rate Swap, 06/18/35 | 3.15% | Semi-Annual | SOFR, 1.50% | Quarterly | Deutsche Bank AG | 06/16/25 | 3.15% | USD | 23,847 | (1,670,118) | |
10-Year Interest Rate Swap, 06/18/35 | 3.16% | Semi-Annual | SOFR, 1.50% | Quarterly | Deutsche Bank AG | 06/16/25 | 3.16% | USD | 23,051 | (1,626,104) | |
10-Year Interest Rate Swap, 06/19/35 | 2.93% | Semi-Annual | SOFR, 1.50% | Quarterly | Goldman Sachs International | 06/17/25 | 2.93% | USD | 12,707 | (710,219) | |
(17,148,470) | |||||||||||
Put | |||||||||||
10-Year Interest Rate Swap, 03/04/33 | SOFR, 1.50% | Quarterly | 1.72% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/02/23 | 1.72% | USD | 18,795 | $ (1,848,930) | |
10-Year Interest Rate Swap, 03/10/33 | SOFR, 1.50% | Quarterly | 1.75% | Semi-Annual | Bank of America N.A. | 03/08/23 | 1.75% | USD | 9,186 | (882,274) | |
10-Year Interest Rate Swap, 03/10/33 | SOFR, 1.50% | Quarterly | 1.77% | Semi-Annual | Goldman Sachs International | 03/08/23 | 1.77% | USD | 52,319 | (4,981,465) | |
10-Year Interest Rate Swap, 03/11/33 | SOFR, 1.50% | Quarterly | 1.84% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/09/23 | 1.84% | USD | 18,868 | (1,689,259) | |
10-Year Interest Rate Swap, 03/15/33 | SOFR, 1.50% | Quarterly | 1.93% | Semi-Annual | Bank of America N.A. | 03/13/23 | 1.93% | USD | 18,868 | (1,565,404) | |
10-Year Interest Rate Swap, 03/25/33 | SOFR, 0.29% | Quarterly | 2.28% | Semi-Annual | JPMorgan Chase Bank N.A. | 03/23/23 | 2.28% | USD | 29,113 | (1,738,832) |
Schedule of Investments
65
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Interest Rate Swaptions Written (continued)
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 03/31/33 | SOFR, 1.50% | Quarterly | 2.28% | Semi-Annual | Deutsche Bank AG | 03/29/23 | 2.28% | USD | 19,409 | $ (1,159,957) | |
10-Year Interest Rate Swap, 04/14/33 | SOFR, 1.50% | Quarterly | 2.61% | Semi-Annual | Bank of America N.A. | 04/12/23 | 2.61% | USD | 19,409 | (821,890) | |
10-Year Interest Rate Swap, 04/15/33 | SOFR, 1.50% | Quarterly | 2.63% | Semi-Annual | Barclays Bank PLC | 04/13/23 | 2.63% | USD | 19,409 | (797,897) | |
10-Year Interest Rate Swap, 04/16/33 | SOFR, 1.50% | Quarterly | 2.58% | Semi-Annual | Morgan Stanley & Co. International PLC | 04/14/23 | 2.58% | USD | 19,409 | (849,942) | |
1-Year Interest Rate Swap, 04/23/24 | SOFR, 1.50% | Quarterly | 4.00% | Semi-Annual | BNP Paribas S.A. | 04/21/23 | 4.00% | USD | 259,700 | (861,633) | |
10-Year Interest Rate Swap, 05/18/33 | SOFR, 1.50% | Quarterly | 2.77% | Semi-Annual | Deutsche Bank AG | 05/16/23 | 2.77% | USD | 18,489 | (662,619) | |
10-Year Interest Rate Swap, 05/24/33 | SOFR, 1.50% | Quarterly | 2.67% | Semi-Annual | JPMorgan Chase Bank N.A. | 05/22/23 | 2.67% | USD | 18,489 | (736,888) | |
10-Year Interest Rate Swap, 06/09/33 | SOFR, 1.50% | Quarterly | 2.84% | Semi-Annual | Morgan Stanley & Co. International PLC | 06/07/23 | 2.84% | USD | 62,903 | (2,140,861) | |
1-Year Interest Rate Swap, 06/15/24 | SOFR, 1.50% | Quarterly | 5.00% | Semi-Annual | Bank of America N.A. | 06/13/23 | 5.00% | USD | 256,570 | (397,416) | |
10-Year Interest Rate Swap, 06/17/33 | SOFR, 1.50% | Quarterly | 3.10% | Semi-Annual | Goldman Sachs International | 06/15/23 | 3.10% | USD | 20,035 | (511,526) | |
10-Year Interest Rate Swap, 06/08/35 | SOFR, 1.50% | Quarterly | 2.91% | Semi-Annual | Goldman Sachs International | 06/06/25 | 2.91% | USD | 17,821 | (856,427) | |
10-Year Interest Rate Swap, 06/11/35 | SOFR, 1.50% | Quarterly | 2.86% | Semi-Annual | Barclays Bank PLC | 06/09/25 | 2.86% | USD | 7,346 | (365,385) |
66
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
OTC Interest Rate Swaptions Written (continued)
Paid by the Fund | Received by the Fund | ||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | ||
10-Year Interest Rate Swap, 06/11/35 | SOFR, 1.50% | Quarterly | 2.86% | Semi-Annual | Barclays Bank PLC | 06/09/25 | 2.86% | USD | 7,346 | $ (366,409) | |
10-Year Interest Rate Swap, 06/14/35 | SOFR, 1.50% | Quarterly | 2.90% | Semi-Annual | Bank of America N.A. | 06/12/25 | 2.90% | USD | 14,856 | (764,098) | |
10-Year Interest Rate Swap, 06/18/35 | SOFR, 1.50% | Quarterly | 3.09% | Semi-Annual | Bank of America N.A. | 06/16/25 | 3.09% | USD | 49,006 | (2,087,975) | |
10-Year Interest Rate Swap, 06/18/35 | SOFR, 1.50% | Quarterly | 3.15% | Semi-Annual | Deutsche Bank AG | 06/16/25 | 3.15% | USD | 23,847 | (970,387) | |
10-Year Interest Rate Swap, 06/18/35 | SOFR, 1.50% | Quarterly | 3.16% | Semi-Annual | Deutsche Bank AG | 06/16/25 | 3.16% | USD | 23,051 | (931,376) | |
10-Year Interest Rate Swap, 06/19/35 | SOFR, 1.50% | Quarterly | 2.93% | Semi-Annual | Goldman Sachs International | 06/17/25 | 2.93% | USD | 12,707 | (636,782) | |
(28,625,632) | |||||||||||
$ (45,774,102) |
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 | 35,060 | $ (414,665) | $ (1,639,855) | $ 1,225,190 |
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
CDX.NA.HY.38.V2 | 5.00% | Quarterly | 06/20/27 | BB- | USD | 81,635 | $ (2,269,927) | $ (1,460,216) | $ (809,711) | ||
ITRAXX.EUR.37.V1 | 1.00% | Quarterly | 06/20/27 | BBB+ | EUR | 141,866 | (1,272,779) | (1,086,829) | (185,950) | ||
ITRAXX.XO.37.V1 | 5.00% | Quarterly | 06/20/27 | BB- | EUR | 46,123 | (1,435,112) | (1,204,514) | (230,598) | ||
$ (4,977,818) | $ (3,751,559) | $ (1,226,259) |
Schedule of Investments
67
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
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 | |||||||
3.16% | At Termination | U.S. CPI Urban Consumers NAS (CPURNSA) | At Termination | 05/27/27 | USD | 25,481 | $ (266,085) | $ — | $ (266,085) | |
3.00% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 06/15/27 | EUR | 7,080 | (97,208) | (10,357) | (86,851) | |
UK RPI All Items Monthly | At Termination | 3.42% | At Termination | 11/15/30 | GBP | 9,045 | (1,849,170) | — | (1,849,170) | |
UK RPI All Items Monthly | At Termination | 3.73% | At Termination | 05/15/31 | GBP | 4,386 | (736,170) | — | (736,170) | |
UK RPI All Items Monthly | At Termination | 3.81% | At Termination | 07/15/31 | GBP | 1,100 | (160,096) | — | (160,096) | |
2.64% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 05/15/32 | EUR | 1,108 | (9,116) | — | (9,116) | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.65% | At Termination | 05/15/32 | EUR | 1,108 | 11,365 | — | 11,365 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.69% | At Termination | 05/15/32 | EUR | 1,112 | 15,685 | — | 15,685 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.72% | At Termination | 05/15/32 | EUR | 1,108 | 19,906 | — | 19,906 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.73% | At Termination | 05/15/32 | EUR | 1,112 | 20,899 | — | 20,899 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.69% | At Termination | 05/15/32 | EUR | 2,224 | 32,350 | 2,208 | 30,142 | |
2.50% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 06/15/32 | EUR | 1,150 | (11,759) | — | (11,759) | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.53% | At Termination | 06/15/32 | EUR | 1,150 | 15,243 | — | 15,243 | |
2.55% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 06/15/32 | EUR | 1,310 | (20,916) | — | (20,916) | |
2.56% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 06/15/32 | EUR | 1,310 | (21,485) | — | (21,485) | |
2.57% | At Termination | Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 06/15/32 | EUR | 1,310 | (23,194) | — | (23,194) | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.58% | At Termination | 06/15/32 | EUR | 1,108 | 21,076 | — | 21,076 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.59% | At Termination | 06/15/32 | EUR | 1,150 | 23,366 | — | 23,366 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.63% | At Termination | 06/15/32 | EUR | 2,006 | 49,090 | — | 49,090 | |
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.66% | At Termination | 06/15/32 | EUR | 2,092 | 56,860 | — | 56,860 |
68
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
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 | ||||||||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.66% | At Termination | 06/15/32 | EUR | 1,048 | $ 28,622 | $ — | $ 28,622 | ||||
Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU) | At Termination | 2.71% | At Termination | 06/15/32 | EUR | 1,048 | 34,954 | — | 34,954 | ||||
$ (2,865,783) | $ (8,149) | $ (2,857,634) |
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) | ||
6.15% | At Termination | 3-month WIBOR, 7.25% | Quarterly | 04/11/23(a) | 04/11/24 | PLN | 65,902 | $ 231,767 | $ — | $ 231,767 | |
1.19% | At Termination | 1-day ESTR, (0.59)% | At Termination | 04/25/23(a) | 04/25/24 | EUR | 118,350 | 465,778 | (1,876) | 467,654 | |
1.16% | At Termination | 1-day ESTR, (0.59)% | At Termination | 05/03/23(a) | 05/03/24 | EUR | 134,760 | 588,011 | 35,540 | 552,471 | |
1.52% | At Termination | 1-day ESTR, (0.59)% | At Termination | 06/05/23(a) | 06/05/24 | EUR | 111,130 | 89,443 | — | 89,443 | |
1.69% | At Termination | 1-day ESTR, (0.59)% | At Termination | 06/08/23(a) | 06/08/24 | EUR | 180,200 | (157,383) | — | (157,383) | |
1.73% | At Termination | 1-day ESTR, (0.59)% | At Termination | 06/12/23(a) | 06/12/24 | EUR | 179,410 | (230,009) | — | (230,009) | |
2.91% | Semi-Annual | 3-month LIBOR, 2.29% | Quarterly | N/A | 08/23/26 | USD | 3,692 | (12,695) | (46) | (12,649) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.46% | Annual | N/A | 10/09/26 | EUR | 42,118 | (2,108,009) | — | (2,108,009) | |
1-day ESTR, (0.59)% | At Termination | 1.81% | At Termination | 06/10/26(a) | 06/10/27 | EUR | 188,340 | (294,131) | — | (294,131) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.56% | At Termination | 07/01/26(a) | 07/01/27 | EUR | 56,870 | 179,673 | (2,570) | 182,243 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.58% | At Termination | 07/01/26(a) | 07/01/27 | EUR | 56,875 | 187,965 | 20,261 | 167,704 | |
2.93% | Semi-Annual | 3-month LIBOR, 2.29% | Quarterly | N/A | 08/24/28 | USD | 8,170 | (19,669) | 128 | (19,797) | |
3.16% | Semi-Annual | 3-month LIBOR, 2.29% | Quarterly | N/A | 10/03/28 | USD | 4,519 | (48,807) | 71 | (48,878) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.78% | Annual | N/A | 02/15/31 | EUR | 45,952 | (4,759,825) | — | (4,759,825) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.82% | Annual | N/A | 02/15/31 | EUR | 65,532 | (6,553,511) | — | (6,553,511) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.82% | Annual | N/A | 02/15/31 | EUR | 21,710 | (2,184,977) | — | (2,184,977) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.83% | Annual | N/A | 02/15/31 | EUR | 40,954 | (4,083,507) | — | (4,083,507) | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.84% | Annual | N/A | 02/15/31 | EUR | 19,635 | (1,937,916) | — | (1,937,916) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.52% | Annual | N/A | 02/15/31 | EUR | 12,805 | (573,956) | — | (573,956) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.52% | Annual | N/A | 02/15/31 | EUR | 9,578 | (429,279) | — | (429,279) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.54% | Annual | N/A | 02/15/31 | EUR | 32,728 | (1,423,217) | — | (1,423,217) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.54% | Annual | N/A | 02/15/31 | EUR | 8,249 | (359,935) | — | (359,935) |
Schedule of Investments
69
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
6-month EURIBOR, 0.26% | Semi-Annual | 1.55% | Annual | N/A | 02/15/31 | EUR | 8,249 | $ (353,156) | $ — | $ (353,156) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.55% | Annual | N/A | 02/15/31 | EUR | 16,415 | (699,237) | — | (699,237) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.55% | Annual | N/A | 02/15/31 | EUR | 9,578 | (402,679) | — | (402,679) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.56% | Annual | N/A | 02/15/31 | EUR | 32,728 | (1,363,574) | — | (1,363,574) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.57% | Annual | N/A | 02/15/31 | EUR | 32,742 | (1,339,158) | — | (1,339,158) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.59% | Annual | N/A | 02/15/31 | EUR | 7,071 | (274,575) | — | (274,575) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.59% | Annual | N/A | 02/15/31 | EUR | 16,355 | (636,661) | — | (636,661) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.64% | Annual | N/A | 02/15/31 | EUR | 6,349 | (218,838) | — | (218,838) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.65% | Annual | N/A | 02/15/31 | EUR | 12,826 | (439,302) | — | (439,302) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.65% | Annual | N/A | 02/15/31 | EUR | 6,349 | (217,905) | — | (217,905) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.69% | Annual | N/A | 02/15/31 | EUR | 6,541 | (201,104) | — | (201,104) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.82% | Annual | N/A | 02/15/31 | EUR | 26,131 | (517,323) | — | (517,323) | |
2.64% | Semi-Annual | 6-month EURIBOR, 0.26% | Annual | 09/12/22(a) | 08/15/31 | EUR | 2,794 | (115,427) | — | (115,427) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.65% | Annual | 09/12/22(a) | 08/15/31 | EUR | 29,312 | (1,290,993) | (947,920) | (343,073) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.86% | Annual | 09/12/22(a) | 08/15/31 | EUR | 21,280 | (550,078) | 6,488 | (556,566) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.09% | Annual | 09/12/22(a) | 08/15/31 | EUR | 5,585 | (32,568) | — | (32,568) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.22% | Annual | 09/12/22(a) | 08/15/31 | EUR | 2,794 | 13,465 | — | 13,465 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.37% | Annual | 09/12/22(a) | 08/15/31 | EUR | 2,790 | 50,391 | (4,529) | 54,920 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.41% | Annual | 09/12/22(a) | 08/15/31 | EUR | 2,794 | 61,137 | — | 61,137 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.50% | Annual | 09/12/22(a) | 08/15/31 | EUR | 2,794 | 81,616 | — | 81,616 | |
6-month EURIBOR, 0.26% | Semi-Annual | 0.22% | Annual | N/A | 10/19/31 | EUR | 13,270 | (2,209,182) | (2,902) | (2,206,280) | |
28-day MXIBTIIE, 8.03% | Monthly | 7.60% | Monthly | N/A | 01/01/32 | MXN | 240,047 | (995,206) | — | (995,206) | |
28-day MXIBTIIE, 8.03% | Monthly | 7.57% | Monthly | N/A | 01/12/32 | MXN | 90,210 | (476,391) | — | (476,391) | |
28-day MXIBTIIE, 8.03% | Monthly | 7.53% | Monthly | N/A | 01/23/32 | MXN | 161,745 | (706,868) | — | (706,868) | |
1.61% | Annual | SOFR, 1.50% | Annual | N/A | 03/09/32 | USD | 7,538 | 730,130 | — | 730,130 | |
1.67% | Annual | SOFR, 1.50% | Annual | N/A | 03/10/32 | USD | 13,226 | 1,212,160 | — | 1,212,160 | |
1.97% | Annual | SOFR, 1.50% | Annual | N/A | 03/16/32 | USD | 9,024 | 591,613 | — | 591,613 | |
28-day MXIBTIIE, 8.03% | Monthly | 8.29% | Monthly | N/A | 03/17/32 | MXN | 144,799 | (279,099) | — | (279,099) | |
2.01% | Annual | SOFR, 1.50% | Annual | N/A | 03/18/32 | USD | 7,480 | 468,363 | — | 468,363 | |
2.13% | Annual | SOFR, 1.50% | Annual | N/A | 03/23/32 | USD | 14,948 | 772,516 | — | 772,516 | |
2.16% | Annual | SOFR, 1.50% | Annual | N/A | 03/23/32 | USD | 8,888 | 443,303 | — | 443,303 | |
2.29% | Annual | SOFR, 1.50% | Annual | N/A | 03/29/32 | USD | 10,608 | 403,826 | — | 403,826 | |
0.30% | Annual | TONA, (0.04)% | Annual | N/A | 04/07/32 | JPY | 5,292,532 | 492,841 | — | 492,841 | |
0.30% | Annual | TONA, (0.04)% | Annual | N/A | 04/07/32 | JPY | 5,336,421 | 484,330 | — | 484,330 |
70
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
0.30% | Annual | TONA, (0.04)% | Annual | N/A | 04/07/32 | JPY | 5,315,897 | $ 476,096 | $ — | $ 476,096 | |
0.31% | Annual | TONA, (0.04)% | Annual | N/A | 04/07/32 | JPY | 5,232,361 | 456,833 | — | 456,833 | |
0.31% | Annual | TONA, (0.04)% | Annual | N/A | 04/07/32 | JPY | 4,640,018 | 405,790 | — | 405,790 | |
2.34% | Annual | SOFR, 1.50% | Annual | N/A | 04/07/32 | USD | 8,873 | 307,463 | — | 307,463 | |
2.44% | Annual | SOFR, 1.50% | Annual | N/A | 04/08/32 | USD | 8,886 | 232,798 | — | 232,798 | |
2.44% | Annual | SOFR, 1.50% | Annual | N/A | 04/11/32 | USD | 8,890 | 232,928 | — | 232,928 | |
2.58% | Annual | SOFR, 1.50% | Annual | N/A | 04/13/32 | USD | 9,018 | 126,551 | — | 126,551 | |
2.61% | Annual | SOFR, 1.50% | Annual | N/A | 04/19/32 | USD | 10,505 | 120,570 | — | 120,570 | |
2.64% | Annual | SOFR, 1.50% | Annual | N/A | 04/20/32 | USD | 7,522 | 66,801 | — | 66,801 | |
2.68% | Annual | SOFR, 1.50% | Annual | N/A | 04/21/32 | USD | 7,527 | 44,265 | — | 44,265 | |
2.75% | Annual | SOFR, 1.50% | Annual | N/A | 04/21/32 | USD | 8,965 | (1,263) | — | (1,263) | |
28-day MXIBTIIE, 8.03% | Monthly | 8.96% | Monthly | N/A | 04/21/32 | MXN | 105,271 | 21,998 | — | 21,998 | |
SOFR, 1.50% | Annual | 2.53% | Annual | N/A | 04/28/32 | USD | 14,751 | (285,020) | — | (285,020) | |
0.39% | Annual | TONA, (0.04)% | Annual | N/A | 05/02/32 | JPY | 3,198,648 | 91,716 | — | 91,716 | |
0.40% | Annual | TONA, (0.04)% | Annual | N/A | 05/02/32 | JPY | 3,198,648 | 85,908 | — | 85,908 | |
2.74% | Annual | SOFR, 1.50% | Annual | N/A | 05/03/32 | USD | 5,899 | 7,957 | — | 7,957 | |
2.87% | Annual | SOFR, 1.50% | Annual | N/A | 05/09/32 | USD | 14,757 | (136,782) | — | (136,782) | |
SOFR, 1.50% | Annual | 2.67% | Annual | N/A | 05/16/32 | USD | 11,835 | (97,469) | — | (97,469) | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.24% | Semi-Annual | N/A | 05/27/32 | CAD | 4,310 | (98,508) | (106) | (98,402) | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.24% | Semi-Annual | N/A | 05/27/32 | CAD | 4,310 | (113,410) | (106) | (113,304) | |
SOFR, 1.50% | Annual | 2.54% | Annual | N/A | 05/27/32 | USD | 13,266 | (265,136) | — | (265,136) | |
0.52% | Annual | TONA, (0.04)% | Annual | 05/31/27(a) | 05/31/32 | JPY | 752,000 | 54,373 | — | 54,373 | |
2.53% | Annual | SOFR, 1.50% | Annual | N/A | 06/01/32 | USD | 3,290 | 71,734 | — | 71,734 | |
2.53% | Annual | SOFR, 1.50% | Annual | N/A | 06/01/32 | USD | 3,290 | 71,302 | — | 71,302 | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.35% | Semi-Annual | N/A | 06/01/32 | CAD | 4,310 | (81,884) | — | (81,884) | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.39% | Semi-Annual | N/A | 06/01/32 | CAD | 2,115 | (34,510) | (56) | (34,454) | |
2.64% | Annual | SOFR, 1.50% | Annual | N/A | 06/02/32 | USD | 3,290 | 39,249 | — | 39,249 | |
2.65% | Annual | SOFR, 1.50% | Annual | N/A | 06/03/32 | USD | 1,645 | 18,569 | — | 18,569 | |
2.73% | Annual | SOFR, 1.50% | Annual | N/A | 06/03/32 | USD | 10,363 | 41,590 | — | 41,590 | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.64% | Semi-Annual | N/A | 06/06/32 | CAD | 2,130 | (1,076) | (65) | (1,011) | |
2.84% | Annual | SOFR, 1.50% | Annual | N/A | 06/08/32 | USD | 1,645 | (8,144) | — | (8,144) | |
2.86% | Annual | SOFR, 1.50% | Annual | N/A | 06/08/32 | USD | 13,349 | (94,693) | — | (94,693) | |
2.79% | Annual | SOFR, 1.50% | Annual | N/A | 06/09/32 | USD | 11,883 | (9,277) | — | (9,277) | |
SOFR, 1.50% | Annual | 2.78% | Annual | N/A | 06/09/32 | USD | 49,324 | (4,628) | — | (4,628) | |
2.85% | Annual | SOFR, 1.50% | Annual | N/A | 06/13/32 | USD | 11,886 | (66,135) | — | (66,135) | |
0.42% | Annual | TONA, (0.04)% | Annual | N/A | 06/14/32 | JPY | 6,966,460 | 102,886 | — | 102,886 | |
0.42% | Annual | TONA, (0.04)% | Annual | N/A | 06/14/32 | JPY | 6,177,804 | 109,171 | — | 109,171 | |
2.96% | Annual | SOFR, 1.50% | Annual | N/A | 06/14/32 | USD | 10,374 | (155,526) | — | (155,526) | |
2.96% | Annual | SOFR, 1.50% | Annual | N/A | 06/14/32 | USD | 10,374 | (160,514) | — | (160,514) | |
3.17% | Annual | SOFR, 1.50% | Annual | N/A | 06/15/32 | USD | 7,321 | (245,275) | — | (245,275) | |
3.09% | Annual | SOFR, 1.50% | Annual | N/A | 06/17/32 | USD | 29,452 | (778,942) | — | (778,942) | |
SOFR, 1.50% | Annual | 3.00% | Annual | N/A | 06/21/32 | USD | 14,906 | 271,250 | — | 271,250 | |
2.96% | Annual | SOFR, 1.50% | Annual | 06/24/27(a) | 06/24/32 | USD | 46,590 | (283,630) | 14,512 | (298,142) |
Schedule of Investments
71
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
6-month EURIBOR, 0.26% | Semi-Annual | 2.74% | Annual | 06/24/27(a) | 06/24/32 | EUR | 41,120 | $ 279,188 | $ 22,867 | $ 256,321 | |
2.86% | Annual | SOFR, 1.50% | Annual | 06/25/27(a) | 06/25/32 | USD | 45,850 | (101,733) | 5,723 | (107,456) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.56% | Annual | 06/25/27(a) | 06/25/32 | EUR | 34,300 | (53,251) | — | (53,251) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.58% | Annual | 06/25/27(a) | 06/25/32 | EUR | 34,070 | (22,717) | — | (22,717) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.61% | Annual | 06/25/27(a) | 06/25/32 | EUR | 40,510 | 34,632 | 40,880 | (6,248) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.65% | Annual | 06/28/27(a) | 06/28/32 | EUR | 26,130 | 69,261 | (2,369) | 71,630 | |
2.97% | Annual | SOFR, 1.50% | Annual | 06/29/27(a) | 06/29/32 | USD | 45,830 | (301,341) | — | (301,341) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.67% | Annual | 06/29/27(a) | 06/29/32 | EUR | 38,600 | 132,297 | — | 132,297 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.80% | Annual | 06/30/27(a) | 06/30/32 | EUR | 26,650 | 251,219 | 14,304 | 236,915 | |
6-month EURIBOR, 0.26% | Semi-Annual | 3.00% | Annual | 07/01/31(a) | 07/01/32 | EUR | 189,200 | 249,824 | (10,954) | 260,778 | |
SOFR, 1.50% | Annual | 2.78% | Annual | N/A | 07/05/32 | USD | 14,762 | (17,980) | — | (17,980) | |
SOFR, 1.50% | Annual | 2.83% | Annual | N/A | 07/05/32 | USD | 12,302 | 35,997 | — | 35,997 | |
SOFR, 1.50% | Annual | 2.99% | Annual | 05/17/32(a) | 05/17/37 | USD | 8,960 | (24,172) | — | (24,172) | |
SOFR, 1.50% | Annual | 2.99% | Annual | 05/17/32(a) | 05/17/37 | USD | 7,976 | (20,535) | — | (20,535) | |
SOFR, 1.50% | Annual | 3.01% | Annual | 05/17/32(a) | 05/17/37 | USD | 23,928 | (51,086) | — | (51,086) | |
SOFR, 1.50% | Annual | 2.80% | Annual | 05/21/32(a) | 05/21/37 | USD | 9,040 | (83,198) | — | (83,198) | |
SOFR, 1.50% | Annual | 2.82% | Annual | 05/21/32(a) | 05/21/37 | USD | 9,040 | (76,844) | — | (76,844) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.15% | Annual | 05/26/32(a) | 05/26/37 | EUR | 6,800 | (176,320) | — | (176,320) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.20% | Annual | 05/26/32(a) | 05/26/37 | EUR | 6,800 | (163,668) | — | (163,668) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.22% | Annual | 05/26/32(a) | 05/26/37 | EUR | 6,800 | (157,275) | — | (157,275) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.32% | Annual | 05/26/32(a) | 05/26/37 | EUR | 6,800 | (129,795) | — | (129,795) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.52% | Annual | 05/26/32(a) | 05/26/37 | EUR | 11,465 | (128,011) | — | (128,011) | |
SOFR, 1.50% | Annual | 2.93% | Annual | 06/02/32(a) | 06/02/37 | USD | 8,265 | (40,165) | — | (40,165) | |
SOFR, 1.50% | Annual | 2.96% | Annual | 06/02/32(a) | 06/02/37 | USD | 8,265 | (32,040) | — | (32,040) | |
SOFR, 1.50% | Annual | 3.07% | Annual | 06/02/32(a) | 06/02/37 | USD | 8,265 | 459 | — | 459 | |
SOFR, 1.50% | Annual | 3.00% | Annual | 06/09/32(a) | 06/09/37 | USD | 11,025 | (26,564) | — | (26,564) | |
SOFR, 1.50% | Annual | 3.03% | Annual | 06/09/32(a) | 06/09/37 | USD | 12,675 | (17,198) | — | (17,198) | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.55% | Annual | 06/11/32(a) | 06/11/37 | EUR | 5,735 | (57,775) | — | (57,775) | |
SOFR, 1.50% | Annual | 3.12% | Annual | 06/15/32(a) | 06/15/37 | USD | 7,165 | 13,862 | — | 13,862 | |
SOFR, 1.50% | Annual | 3.15% | Annual | 06/15/32(a) | 06/15/37 | USD | 7,165 | 21,777 | — | 21,777 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.81% | Annual | 06/28/32(a) | 06/28/37 | EUR | 5,735 | 4,044 | — | 4,044 | |
6-month EURIBOR, 0.26% | Semi-Annual | 2.91% | Annual | 06/28/32(a) | 06/28/37 | EUR | 5,730 | 27,019 | — | 27,019 | |
2.63% | Annual | SOFR, 1.50% | Annual | 05/26/37(a) | 05/26/42 | USD | 6,072 | 24,646 | 13,160 | 11,486 | |
SOFR, 1.50% | Annual | 2.57% | Annual | 05/27/37(a) | 05/27/42 | USD | 6,588 | (37,368) | — | (37,368) | |
2.20% | Annual | SOFR, 1.50% | Annual | 05/19/42(a) | 05/19/47 | USD | 11,576 | (9,752) | — | (9,752) | |
2.14% | Annual | SOFR, 1.50% | Annual | 05/21/42(a) | 05/21/47 | USD | 11,576 | 8,973 | — | 8,973 | |
SOFR, 1.50% | Annual | 2.18% | Annual | 05/23/42(a) | 05/23/47 | USD | 6,600 | 2,879 | (6,944) | 9,823 | |
2.14% | Annual | SOFR, 1.50% | Annual | 05/28/42(a) | 05/28/47 | USD | 8,428 | 5,795 | — | 5,795 | |
0.70% | Annual | 1-day SONIA, 1.19% | Annual | N/A | 11/08/51 | GBP | 2,477 | 932,936 | 452 | 932,484 | |
1-day SONIA, 1.19% | Annual | 0.70% | Annual | N/A | 11/08/51 | GBP | 2,477 | (932,936) | (106,278) | (826,658) |
72
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
0.65% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 04/14/42(a) | 04/14/52 | EUR | 1,295 | $ 48,931 | $ — | $ 48,931 | |
0.71% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 04/14/42(a) | 04/14/52 | EUR | 2,595 | 88,067 | — | 88,067 | |
0.73% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 04/14/42(a) | 04/14/52 | EUR | 2,595 | 84,874 | — | 84,874 | |
0.74% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 04/14/42(a) | 04/14/52 | EUR | 2,595 | 83,117 | — | 83,117 | |
0.77% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 04/14/42(a) | 04/14/52 | EUR | 2,595 | 78,001 | — | 78,001 | |
1.90% | Annual | SOFR, 1.50% | Annual | 04/22/42(a) | 04/22/52 | USD | 3,460 | 25,468 | 568 | 24,900 | |
0.86% | Annual | TONA, (0.04)% | Annual | N/A | 04/25/52 | JPY | 77,756 | 21,809 | — | 21,809 | |
1.85% | Annual | SOFR, 1.50% | Annual | 04/28/42(a) | 04/28/52 | USD | 3,460 | 34,112 | (1,682) | 35,794 | |
1.90% | Annual | SOFR, 1.50% | Annual | 05/02/42(a) | 05/02/52 | USD | 3,460 | 25,077 | (16) | 25,093 | |
0.73% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/09/42(a) | 05/09/52 | EUR | 1,500 | 48,840 | — | 48,840 | |
0.75% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/09/42(a) | 05/09/52 | EUR | 2,400 | 74,867 | — | 74,867 | |
0.80% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/09/42(a) | 05/09/52 | EUR | 2,400 | 66,788 | — | 66,788 | |
0.85% | Annual | TONA, (0.04)% | Annual | N/A | 05/09/52 | JPY | 77,756 | 23,075 | — | 23,075 | |
0.86% | Annual | TONA, (0.04)% | Annual | N/A | 05/09/52 | JPY | 2,106,662 | 618,968 | — | 618,968 | |
0.86% | Annual | TONA, (0.04)% | Annual | N/A | 05/09/52 | JPY | 2,085,596 | 588,206 | — | 588,206 | |
0.86% | Annual | TONA, (0.04)% | Annual | N/A | 05/09/52 | JPY | 77,756 | 22,540 | — | 22,540 | |
1.91% | Annual | SOFR, 1.50% | Annual | 05/12/42(a) | 05/12/52 | USD | 3,460 | 22,903 | (1,461) | 24,364 | |
1.95% | Annual | SOFR, 1.50% | Annual | 05/12/42(a) | 05/12/52 | USD | 189,045 | 829,295 | — | 829,295 | |
1.97% | Annual | SOFR, 1.50% | Annual | 05/12/42(a) | 05/12/52 | USD | 189,045 | 717,709 | — | 717,709 | |
2.09% | Annual | SOFR, 1.50% | Annual | 05/12/42(a) | 05/12/52 | USD | 189,045 | (519,434) | — | (519,434) | |
SOFR, 1.50% | Annual | 2.01% | Annual | 05/16/42(a) | 05/16/52 | USD | 3,460 | (5,094) | — | (5,094) | |
1.90% | Annual | SOFR, 1.50% | Annual | 05/17/47(a) | 05/17/52 | USD | 14,888 | (1,483) | — | (1,483) | |
1.92% | Annual | SOFR, 1.50% | Annual | 05/17/47(a) | 05/17/52 | USD | 29,776 | (14,941) | — | (14,941) | |
1.92% | Annual | SOFR, 1.50% | Annual | 05/17/47(a) | 05/17/52 | USD | 14,888 | (8,741) | — | (8,741) | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.43% | Semi-Annual | N/A | 05/18/52 | CAD | 750 | (12,518) | (23,804) | 11,286 | |
1.98% | Annual | SOFR, 1.50% | Annual | 05/19/42(a) | 05/19/52 | USD | 2,805 | 7,842 | — | 7,842 | |
2.05% | Annual | SOFR, 1.50% | Annual | 05/19/42(a) | 05/19/52 | USD | 3,455 | (2,218) | — | (2,218) | |
2.04% | Annual | SOFR, 1.50% | Annual | 05/20/42(a) | 05/20/52 | USD | 2,805 | (93) | — | (93) | |
2.64% | Annual | SOFR, 1.50% | Annual | N/A | 05/20/52 | USD | 830 | (875) | 6,586 | (7,461) | |
1.91% | Annual | SOFR, 1.50% | Annual | 05/21/47(a) | 05/21/52 | USD | 12,960 | (1,028) | — | (1,028) | |
0.88% | Annual | TONA, (0.04)% | Annual | N/A | 05/23/52 | JPY | 117,112 | 29,096 | — | 29,096 | |
0.95% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/23/42(a) | 05/23/52 | EUR | 2,005 | 36,385 | — | 36,385 | |
1.94% | Annual | SOFR, 1.50% | Annual | 05/23/42(a) | 05/23/52 | USD | 185,985 | 922,525 | — | 922,525 | |
1.96% | Annual | SOFR, 1.50% | Annual | 05/23/42(a) | 05/23/52 | USD | 185,985 | 731,767 | — | 731,767 | |
0.85% | Annual | TONA, (0.04)% | Annual | N/A | 05/26/52 | JPY | 96,568 | 29,763 | — | 29,763 | |
1.03% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/26/42(a) | 05/26/52 | EUR | 2,005 | 26,141 | — | 26,141 | |
1.06% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/26/42(a) | 05/26/52 | EUR | 2,005 | 22,704 | — | 22,704 | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.03% | Annual | 05/26/42(a) | 05/26/52 | EUR | 2,005 | (26,523) | — | (26,523) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.07% | Annual | 05/26/42(a) | 05/26/52 | EUR | 2,005 | (20,667) | — | (20,667) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.11% | Annual | 05/26/42(a) | 05/26/52 | EUR | 2,005 | (15,575) | — | (15,575) | |
0.79% | Annual | TONA, (0.04)% | Annual | N/A | 05/27/52 | JPY | 96,564 | 40,867 | — | 40,867 | |
1.98% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 2,805 | 8,036 | 133 | 7,903 |
Schedule of Investments
73
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
1.99% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 2,805 | $ 6,598 | $ 1,654 | $ 4,944 | |
2.03% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 5,335 | 1,608 | (1,564) | 3,172 | |
2.03% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 1,420 | 610 | — | 610 | |
2.05% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 2,840 | (1,401) | — | (1,401) | |
2.06% | Annual | SOFR, 1.50% | Annual | 05/27/42(a) | 05/27/52 | USD | 16,010 | (19,390) | — | (19,390) | |
0.86% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/28/47(a) | 05/28/52 | EUR | 8,405 | 63,497 | — | 63,497 | |
0.89% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/28/47(a) | 05/28/52 | EUR | 8,405 | 54,606 | — | 54,606 | |
0.91% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/28/47(a) | 05/28/52 | EUR | 8,405 | 50,869 | — | 50,869 | |
0.97% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/28/47(a) | 05/28/52 | EUR | 8,405 | 35,019 | — | 35,019 | |
1.23% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 05/28/47(a) | 05/28/52 | EUR | 15,905 | (59,799) | — | (59,799) | |
0.81% | Annual | TONA, (0.04)% | Annual | N/A | 05/30/52 | JPY | 1,135,653 | 435,818 | — | 435,818 | |
0.82% | Annual | TONA, (0.04)% | Annual | N/A | 05/30/52 | JPY | 1,135,653 | 420,217 | — | 420,217 | |
0.83% | Annual | TONA, (0.04)% | Annual | N/A | 05/30/52 | JPY | 1,135,653 | 395,700 | — | 395,700 | |
0.87% | Annual | TONA, (0.04)% | Annual | N/A | 05/30/52 | JPY | 1,135,653 | 313,235 | — | 313,235 | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.30% | Annual | 05/30/42(a) | 05/30/52 | EUR | 2,470 | 10,287 | — | 10,287 | |
SOFR, 1.50% | Annual | 2.08% | Annual | 05/30/42(a) | 05/30/52 | USD | 176,395 | 359,499 | — | 359,499 | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.21% | Annual | 06/02/42(a) | 06/02/52 | EUR | 2,005 | (3,466) | — | (3,466) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.24% | Annual | 06/02/42(a) | 06/02/52 | EUR | 2,005 | 734 | — | 734 | |
2.08% | Annual | SOFR, 1.50% | Annual | 06/03/42(a) | 06/03/52 | USD | 2,840 | (6,637) | — | (6,637) | |
1.96% | Annual | SOFR, 1.50% | Annual | 06/04/47(a) | 06/04/52 | USD | 12,010 | (17,583) | — | (17,583) | |
1.97% | Annual | SOFR, 1.50% | Annual | 06/04/47(a) | 06/04/52 | USD | 11,820 | (22,342) | — | (22,342) | |
2.00% | Annual | SOFR, 1.50% | Annual | 06/04/47(a) | 06/04/52 | USD | 12,010 | (27,966) | — | (27,966) | |
SOFR, 1.50% | Annual | 2.15% | Annual | 06/06/42(a) | 06/06/52 | USD | 2,840 | 16,915 | 71 | 16,844 | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.50% | Semi-Annual | N/A | 06/07/52 | CAD | 1,500 | (9,900) | (42) | (9,858) | |
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.58% | Semi-Annual | N/A | 06/08/52 | CAD | 750 | 3,800 | (22) | 3,822 | |
1.25% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (1,891) | — | (1,891) | |
1.30% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (7,721) | — | (7,721) | |
1.32% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 3,750 | (19,845) | — | (19,845) | |
1.32% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,870 | (10,845) | — | (10,845) | |
1.35% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (14,087) | — | (14,087) | |
1.36% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (15,098) | — | (15,098) | |
1.37% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (16,288) | (810) | (15,478) | |
1.37% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,870 | (16,207) | — | (16,207) | |
1.38% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (17,240) | — | (17,240) | |
1.38% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | (17,478) | 342 | (17,820) |
74
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | ||
1.50% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/09/42(a) | 06/09/52 | EUR | 1,875 | $ (31,756) | $ (241) | $ (31,515) | |
2.02% | Annual | SOFR, 1.50% | Annual | 06/09/42(a) | 06/09/52 | USD | 2,430 | 2,312 | — | 2,312 | |
2.09% | Annual | SOFR, 1.50% | Annual | 06/09/42(a) | 06/09/52 | USD | 2,432 | (7,470) | — | (7,470) | |
2.64% | Annual | SOFR, 1.50% | Annual | N/A | 06/09/52 | USD | 920 | (263) | — | (263) | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.30% | Annual | 06/09/42(a) | 06/09/52 | EUR | 2,470 | 10,485 | (219) | 10,704 | |
6-month EURIBOR, 0.26% | Semi-Annual | 1.63% | Annual | 06/09/42(a) | 06/09/52 | EUR | 2,185 | 55,030 | (22) | 55,052 | |
1.31% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 32,358 | (153,975) | — | (153,975) | |
1.44% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 14,286 | (187,606) | (1,070) | (186,536) | |
1.45% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 14,631 | (201,418) | (5,302) | (196,116) | |
1.46% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 15,187 | (218,707) | 1,520 | (220,227) | |
1.48% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 14,464 | (226,646) | (1,723) | (224,923) | |
1.49% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/10/42(a) | 06/10/52 | EUR | 14,302 | (233,180) | (1,464) | (231,716) | |
2.67% | Annual | SOFR, 1.50% | Annual | N/A | 06/10/52 | USD | 460 | (2,971) | — | (2,971) | |
1.26% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/11/47(a) | 06/11/52 | EUR | 7,650 | (37,221) | — | (37,221) | |
1.33% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/11/42(a) | 06/11/52 | EUR | 5,692 | (33,838) | — | (33,838) | |
1.34% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/11/42(a) | 06/11/52 | EUR | 2,875 | (19,607) | — | (19,607) | |
1.40% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/11/42(a) | 06/11/52 | EUR | 20,232 | (208,141) | (6,751) | (201,390) | |
1.95% | Annual | SOFR, 1.50% | Annual | 06/11/47(a) | 06/11/52 | USD | 16,010 | (21,363) | — | (21,363) | |
1.96% | Annual | SOFR, 1.50% | Annual | 06/11/47(a) | 06/11/52 | USD | 18,410 | (30,391) | — | (30,391) | |
SOFR, 1.50% | Annual | 2.11% | Annual | 06/13/42(a) | 06/13/52 | USD | 2,841 | 10,579 | — | 10,579 | |
SOFR, 1.50% | Annual | 2.14% | Annual | 06/13/42(a) | 06/13/52 | USD | 2,841 | 15,236 | — | 15,236 | |
1.91% | Annual | SOFR, 1.50% | Annual | 06/16/42(a) | 06/16/52 | USD | 1,240 | 7,883 | — | 7,883 | |
1.98% | Annual | SOFR, 1.50% | Annual | 06/16/42(a) | 06/16/52 | USD | 2,480 | 6,618 | — | 6,618 | |
2.04% | Annual | SOFR, 1.50% | Annual | 06/16/42(a) | 06/16/52 | USD | 1,240 | (248) | — | (248) | |
SOFR, 1.50% | Annual | 2.09% | Annual | 06/16/42(a) | 06/16/52 | USD | 2,480 | 7,357 | — | 7,357 | |
SOFR, 1.50% | Annual | 2.10% | Annual | 06/16/42(a) | 06/16/52 | USD | 2,480 | 9,262 | — | 9,262 | |
SOFR, 1.50% | Annual | 2.11% | Annual | 06/16/42(a) | 06/16/52 | USD | 2,480 | 9,580 | — | 9,580 | |
0.99% | Annual | TONA, (0.04)% | Annual | N/A | 06/17/52 | JPY | 125,000 | 6,140 | — | 6,140 | |
1.34% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 2,960 | (20,300) | 676 | (20,976) | |
1.35% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 6,197 | (46,431) | — | (46,431) | |
1.36% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 6,197 | (50,361) | — | (50,361) | |
1.37% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 12,394 | (108,583) | — | (108,583) | |
1.38% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 12,209 | (114,705) | — | (114,705) | |
1.40% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 12,332 | (127,596) | — | (127,596) | |
1.44% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 2,928 | (38,650) | (352) | (38,298) | |
1.45% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 2,999 | (41,489) | (1,225) | (40,264) | |
1.46% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 3,113 | (45,041) | 155 | (45,196) |
Schedule of Investments
75
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Centrally Cleared Interest Rate Swaps (continued)
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) | |||||
1.48% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 2,965 | $ (46,661) | $ (495) | $ (46,166) | ||||
1.49% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/17/42(a) | 06/17/52 | EUR | 2,932 | (48,000) | (428) | (47,572) | ||||
1.96% | Annual | SOFR, 1.50% | Annual | 06/17/47(a) | 06/17/52 | USD | 10,195 | (16,956) | — | (16,956) | ||||
1.96% | Annual | SOFR, 1.50% | Annual | 06/17/47(a) | 06/17/52 | USD | 10,195 | (17,701) | — | (17,701) | ||||
SOFR, 1.50% | Annual | 2.00% | Annual | 06/20/42(a) | 06/20/52 | USD | 2,480 | (3,598) | — | (3,598) | ||||
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.77% | Semi-Annual | N/A | 06/21/52 | CAD | 1,660 | 53,230 | (45) | 53,275 | ||||
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.77% | Semi-Annual | N/A | 06/21/52 | CAD | 1,695 | 54,974 | (46) | 55,020 | ||||
3-month Canadian Bankers Acceptances, 2.76% | Semi-Annual | 3.80% | Semi-Annual | N/A | 06/21/52 | CAD | 850 | 30,935 | (24) | 30,959 | ||||
1.44% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/23/42(a) | 06/23/52 | EUR | 1,875 | (25,492) | — | (25,492) | ||||
2.82% | Annual | SOFR, 1.50% | Annual | N/A | 06/23/52 | USD | 1,170 | (42,063) | — | (42,063) | ||||
2.82% | Annual | SOFR, 1.50% | Annual | N/A | 06/23/52 | USD | 1,170 | (41,944) | — | (41,944) | ||||
2.82% | Annual | SOFR, 1.50% | Annual | N/A | 06/23/52 | USD | 585 | (21,210) | — | (21,210) | ||||
1.30% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/25/42(a) | 06/25/52 | EUR | 4,322 | (19,079) | — | (19,079) | ||||
1.32% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/25/42(a) | 06/25/52 | EUR | 8,514 | (48,427) | (2,932) | (45,495) | ||||
1.32% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/25/42(a) | 06/25/52 | EUR | 4,322 | (24,534) | — | (24,534) | ||||
1.33% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/25/42(a) | 06/25/52 | EUR | 4,322 | (27,868) | — | (27,868) | ||||
1.20% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/26/47(a) | 06/26/52 | EUR | 7,637 | (22,667) | — | (22,667) | ||||
1.21% | Annual | 6-month EURIBOR, 0.26% | Semi-Annual | 06/26/47(a) | 06/26/52 | EUR | 7,638 | (25,044) | — | (25,044) | ||||
$ (26,745,931) | $ (952,370) | $ (25,793,561) |
(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 | 2,169 | $ 182,929 | $ 32,894 | $ 150,035 |
KB Home | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 2,138 | (79,846) | (52,877) | (26,969) |
Realogy Group LLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | 10,346 | (3,091) | 13,437 |
RR Donnelley & Sons Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/23 | USD | 1,070 | (39,876) | 15,989 | (55,865) |
Staples, Inc. | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/23 | USD | 1,000 | 110,579 | 20,496 | 90,083 |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,199 | 45,490 | (31,601) | 77,091 |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,000 | 37,939 | (23,272) | 61,211 |
Beazer Homes U.S.A., Inc. | 5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 1,103 | 41,847 | (27,700) | 69,547 |
Pitney Bowes, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,025 | 134,083 | 131,577 | 2,506 |
Pitney Bowes, Inc. | 1.00 | Quarterly | Citibank N.A. | 06/20/24 | USD | 780 | 102,033 | 67,572 | 34,461 |
Pitney Bowes, Inc. | 1.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 330 | 43,168 | 43,604 | (436) |
76
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
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) | |
Staples, Inc. | 5.00% | Quarterly | Goldman Sachs International | 06/20/24 | USD | 525 | $ 83,819 | $ 51,213 | $ 32,606 |
Tenet Healthcare Corp. | 5.00 | Quarterly | Barclays Bank PLC | 06/20/24 | USD | 1,000 | (33,894) | (4,644) | (29,250) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (42,125) | (16,740) | (25,385) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,150 | (41,229) | (16,384) | (24,845) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,175 | (42,125) | (16,755) | (25,370) |
Tenet Healthcare Corp. | 5.00 | Quarterly | Goldman Sachs International | 06/20/24 | USD | 1,223 | (41,453) | (6,871) | (34,582) |
Tenet Healthcare Corp. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | USD | 500 | (17,925) | (2,719) | (15,206) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 750 | (24,729) | 31,390 | (56,119) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 1,680 | (41,672) | 69,669 | (111,341) |
Boeing Co. | 1.00 | Quarterly | BNP Paribas S.A. | 12/20/24 | USD | 2,250 | 52,517 | (22,209) | 74,726 |
Boeing Co. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/24 | USD | 5,950 | 138,879 | (34,764) | 173,643 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,216 | 64,997 | 40,112 | 24,885 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | 64,977 | 40,100 | 24,877 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,220 | 65,078 | 40,162 | 24,916 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 3,215 | 64,976 | 39,336 | 25,640 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 4,500 | 90,947 | 55,059 | 35,888 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 1,948 | 39,370 | 23,834 | 15,536 |
Occidental Petroleum Corp. | 1.00 | Quarterly | Barclays Bank PLC | 12/20/24 | USD | 5,080 | 70,100 | 1,317,866 | (1,247,766) |
Avis Budget Group, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | USD | 2,540 | (38,335) | 187,476 | (225,811) |
Southwest Airlines Co. | 1.00 | Quarterly | Goldman Sachs International | 12/20/26 | USD | 5,000 | 114,848 | (4,238) | 119,086 |
Abbot Laboratories | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 7,786 | (202,500) | (180,285) | (22,215) |
BorgWarner, Inc. | 1.00 | Quarterly | BNP Paribas S.A. | 06/20/27 | USD | 1,000 | 23,037 | 14,726 | 8,311 |
Caterpillar, Inc. | 1.00 | Quarterly | Deutsche Bank AG | 06/20/27 | USD | 4,300 | (88,695) | (102,887) | 14,192 |
Federative Republic of Brazil | 1.00 | Quarterly | Bank of America N.A. | 06/20/27 | USD | 2,998 | 250,606 | 190,333 | 60,273 |
Federative Republic of Brazil | 1.00 | Quarterly | Bank of America N.A. | 06/20/27 | USD | 2,997 | 250,522 | 192,117 | 58,405 |
Federative Republic of Brazil | 1.00 | Quarterly | Bank of America N.A. | 06/20/27 | USD | 1,799 | 150,380 | 117,167 | 33,213 |
Federative Republic of Brazil | 1.00 | Quarterly | Bank of America N.A. | 06/20/27 | USD | 3,341 | 279,277 | 216,226 | 63,051 |
Federative Republic of Brazil | 1.00 | Quarterly | Barclays Bank PLC | 06/20/27 | USD | 46,041 | 3,848,644 | 2,671,093 | 1,177,551 |
Ford Motor Co. | 5.00 | Quarterly | Citibank N.A. | 06/20/27 | USD | 500 | (11,843) | (24,223) | 12,380 |
Ford Motor Co. | 5.00 | Quarterly | Citibank N.A. | 06/20/27 | USD | 850 | (20,133) | (22,385) | 2,252 |
Ford Motor Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 1,000 | (23,685) | (99,388) | 75,703 |
Ford Motor Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 750 | (17,764) | (67,415) | 49,651 |
Ford Motor Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 500 | (11,843) | (29,505) | 17,662 |
General Motors Co. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 925 | (88,934) | (102,500) | 13,566 |
Macy’s, Inc. | 1.00 | Quarterly | Goldman Sachs International | 06/20/27 | USD | 210 | 35,369 | 37,796 | (2,427) |
Republic of Chile | 1.00 | Quarterly | Goldman Sachs International | 06/20/27 | USD | 5,147 | 28,493 | (28,392) | 56,885 |
Republic of Colombia | 1.00 | Quarterly | Goldman Sachs International | 06/20/27 | USD | 5,144 | 426,863 | 272,581 | 154,282 |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 2,949 | 244,757 | 123,734 | 121,023 |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 2,949 | 244,756 | 126,254 | 118,502 |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 2,949 | 244,757 | 126,235 | 118,522 |
Republic of Colombia | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 2,949 | 244,756 | 127,246 | 117,510 |
Republic of Indonesia | 1.00 | Quarterly | Goldman Sachs International | 06/20/27 | USD | 15,986 | 303,905 | 186,346 | 117,559 |
Republic of the Philippines | 1.00 | Quarterly | Goldman Sachs International | 06/20/27 | USD | 11,217 | 137,298 | 57,807 | 79,491 |
Simon Property Group LP | 1.00 | Quarterly | BNP Paribas S.A. | 06/20/27 | USD | 2,141 | 70,720 | 31,510 | 39,210 |
Simon Property Group LP | 1.00 | Quarterly | BNP Paribas S.A. | 06/20/27 | USD | 1,499 | 49,504 | 22,082 | 27,422 |
U.S. Steel Corp. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 499 | 42,931 | (35,174) | 78,105 |
U.S. Steel Corp. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | USD | 501 | 42,576 | (33,724) | 76,300 |
United Mexican States | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | USD | 20,046 | 669,123 | 120,975 | 548,148 |
CMBX.NA.9.AAA | 0.50 | Monthly | Credit Suisse International | 09/17/58 | USD | 4,523 | 4,187 | 48,824 | (44,637) |
CMBX.NA.9.AAA | 0.50 | Monthly | Deutsche Bank AG | 09/17/58 | USD | 3,607 | 3,338 | 39,493 | (36,155) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 2,521 | 2,333 | 27,208 | (24,875) |
CMBX.NA.9.AAA | 0.50 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 3,039 | 2,812 | 32,800 | (29,988) |
Schedule of Investments
77
Schedule of Investments (unaudited) (continued)
June 30, 2022
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.AAA | 0.50% | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 5,549 | $ 5,136 | $ 65,725 | $ (60,589) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | 2,080 | 355,863 | 67,458 | 288,405 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | USD | 3,544 | 606,337 | 270,865 | 335,472 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | 204 | 34,902 | 10,832 | 24,070 | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 607 | (209) | 107 | (316) | ||
CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | 1,475 | (507) | (437) | (70) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 05/11/63 | USD | 741 | 169,579 | 66,354 | 103,225 | ||
$ 9,422,361 | $ 6,482,063 | $ 2,940,298 |
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) | |||
CMBX.NA.7.AAA | 0.50% | Monthly | Morgan Stanley & Co. International PLC | 01/17/47 | AAA | USD | 4,868 | $ 6,354 | $ (129,514) | $ 135,868 | ||
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) | — | (23) | 23 | ||
CMBX.NA.3.AM | 0.50 | Monthly | JPMorgan Chase Bank N.A. | 12/13/49 | N/R | USD | 1 | — | (48) | 48 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 906 | (155,006) | (99,478) | (55,528) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | N/R | USD | 1,310 | (224,125) | (140,083) | (84,042) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 09/17/58 | N/R | USD | 800 | (136,871) | (173,109) | 36,238 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | JPMorgan Chase Bank N.A. | 09/17/58 | N/R | USD | 438 | (74,936) | (35,476) | (39,460) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,000 | (171,088) | (252,741) | 81,653 | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,060 | (181,354) | (49,155) | (132,199) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 231 | (39,521) | (12,878) | (26,643) | ||
CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 1,200 | (205,306) | (1,429) | (203,877) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 3,340 | (140,153) | (133,321) | (6,832) | ||
CMBX.NA.10.A | 2.00 | Monthly | Deutsche Bank AG | 11/17/59 | A- | USD | 1,670 | (70,077) | (67,781) | (2,296) | ||
CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 60 | (10,439) | (4,739) | (5,700) | ||
CMBX.NA.6.BBB- | 3.00 | Monthly | Credit Suisse International | 05/11/63 | BB | USD | 741 | (169,579) | (53,750) | (115,829) | ||
$ (1,572,101) | $ (1,153,534) | $ (418,567) |
(a) | Notional amount is less than USD 500. |
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% | At Termination | 1-day CLICP, 19,825.16 | At Termination | Bank of America N.A. | 04/01/23 | CLP | 19,436,176 | $ 1,299,415 | $ — | $ 1,299,415 | ||||||
1-day CLICP, 19,825.16 | At Termination | 1.65% | At Termination | Bank of America N.A. | 05/28/23 | CLP | 19,436,176 | (1,478,011) | — | (1,478,011) | ||||||
1-day BZDIOVER, 0.05% | At Termination | 12.03% | At Termination | BNP Paribas S.A. | 01/02/25 | BRL | 41,257 | (92,949) | — | (92,949) | ||||||
$(271,545) | $— | $(271,545) |
78
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
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% | Quarterly | Goldman Sachs U.S. Series 4 Excess Return Strategy | Quarterly | Goldman Sachs International | 08/19/22 | USD | 5,014 | $ 94,104 | $ — | $ 94,104 | ||||
Sherwin Williams | Quarterly | SOFR minus 0.08%, 1.50% | Quarterly | BNP Paribas S.A. | 09/02/22 | USD | 1,898 | 381,325 | — | 381,325 | ||||
PPG Industries, Inc. | Quarterly | SOFR minus 0.08%, 1.50% | Quarterly | BNP Paribas S.A. | 09/02/22 | USD | 1,938 | 234,949 | — | 234,949 | ||||
Sherwin Williams | Quarterly | SOFR minus 0.10%, 1.50% | Quarterly | BNP Paribas S.A. | 09/02/22 | USD | 327 | 65,814 | — | 65,814 | ||||
PPG Industries, Inc. | Quarterly | SOFR minus 0.12%, 1.50% | Quarterly | BNP Paribas S.A. | 09/02/22 | USD | 195 | 23,661 | — | 23,661 | ||||
PPG Industries, Inc. | Quarterly | SOFR minus 0.13%, 1.50% | Quarterly | BNP Paribas S.A. | 09/02/22 | USD | 2,049 | 260,096 | — | 260,096 | ||||
iShares Broad USD High Yield Corporate Bond ETF | Quarterly | SOFR minus 2.00%, 1.50% | Quarterly | Goldman Sachs International | 09/02/22 | USD | 7,001 | 527,036 | — | 527,036 | ||||
iShares Broad USD High Yield Corporate Bond ETF | Quarterly | SOFR minus 0.75%, 1.50% | Quarterly | Citibank N.A. | 09/09/22 | USD | 13,989 | 646,684 | — | 646,684 | ||||
0.00% | Quarterly | Goldman Sachs Systematic Skew U.S. Series 10 Excess Return Strategy | Quarterly | Goldman Sachs International | 12/07/22 | USD | 4,401 | (56,016) | — | (56,016) | ||||
Pitney Bowes, Inc. | Quarterly | SOFR minus 0.25%, 1.50% | Quarterly | Citibank N.A. | 12/27/22 | USD | 42 | 3,224 | — | 3,224 | ||||
$ 2,180,877 | $ — | $ 2,180,877 |
OTC Total Return Swaps(a)
Reference Entity | Payment Frequency | Counterparty | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage | |
Equity Securities Long/Short | Monthly | Merrill Lynch International(c) | 02/15/23 | $ (15,617,216) | $ (275,616) (b) | $ (15,751,785) | 0.1% |
(a) | The Master Portfolio receives the total return on a portfolio of long positions underlying the total return swap. The Master Portfolio pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Master Portfolio pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(b) | Amount includes $(141,047) of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | ||||
(c) | ||||
Range: | 85 basis points | |||
Benchmarks: | USD Overnight Bank Funding Rate | |||
Schedule of Investments
79
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
The following table represents the individual short positions and related values of equity securities underlying the total return swap with Merrill Lynch International, as of period end, termination date February 15, 2023:
Shares | Value | % of Basket Value | ||
Reference Entity — Short | ||||
Investment Companies | ||||
Fixed-Income Funds | ||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 143,159 | $ (15,751,785) | 100.0% | |
Net Value of Reference Entity — Merrill Lynch International | $(15,751,785) |
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 | $ — | $ 2,374,700,345 | $ 54,197,745 | $ 2,428,898,090 |
Common Stocks | ||||
Aerospace & Defense | 1,349,471 | 786,539 | — | 2,136,010 |
Chemicals | 6,471,009 | — | — | 6,471,009 |
Diversified Financial Services | 8,592,296 | — | 895,894 | 9,488,190 |
Energy Equipment & Services | — | — | 31 | 31 |
Entertainment | 3,184,253 | 2,830,890 | — | 6,015,143 |
Equity Real Estate Investment Trusts (REITs) | 9,648,334 | 682,095 | — | 10,330,429 |
Health Care Providers & Services | — | 3,651,769 | — | 3,651,769 |
Hotels, Restaurants & Leisure | 1,115,602 | — | — | 1,115,602 |
Household Durables | 3,880,214 | — | — | 3,880,214 |
Independent Power and Renewable Electricity Producers | — | 2,323,973 | — | 2,323,973 |
Interactive Media & Services | 1,380,472 | — | — | 1,380,472 |
80
2022
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Level 1 | Level 2 | Level 3 | Total | ||||
Common Stocks (continued) | |||||||
Machinery | $ 427,830 | $ 7,405,820 | $ — | $ 7,833,650 | |||
Media | 109,640 | — | — | 109,640 | |||
Metals & Mining | 47,980 | — | — | 47,980 | |||
Oil, Gas & Consumable Fuels | 19,617,088 | — | — | 19,617,088 | |||
Professional Services | 532,226 | 2,026,440 | — | 2,558,666 | |||
Real Estate Management & Development | 4,807,763 | 1,285,234 | — | 6,092,997 | |||
Software | 3,977,455 | 469,508 | — | 4,446,963 | |||
Technology Hardware, Storage & Peripherals | 2,583,777 | — | — | 2,583,777 | |||
Thrifts & Mortgage Finance | 1,858,787 | — | — | 1,858,787 | |||
Corporate Bonds | — | 6,080,374,928 | 46,393,010 | 6,126,767,938 | |||
Floating Rate Loan Interests | — | 366,947,483 | 279,300,513 | 646,247,996 | |||
Foreign Agency Obligations | — | 150,883,569 | — | 150,883,569 | |||
Foreign Government Obligations | — | 189,383,133 | — | 189,383,133 | |||
Investment Companies | 19,729,382 | — | — | 19,729,382 | |||
Municipal Bonds | — | 121,477,976 | — | 121,477,976 | |||
Non-Agency Mortgage-Backed Securities | — | 1,344,702,954 | 197,566,834 | 1,542,269,788 | |||
Preferred Securities | — | 108,841,116 | 19,107,962 | 127,949,078 | |||
Rights | — | — | 25,747 | 25,747 | |||
U.S. Government Sponsored Agency Securities | — | 7,892,297,973 | 12,051,894 | 7,904,349,867 | |||
U.S. Treasury Obligations | — | 2,325,826,429 | — | 2,325,826,429 | |||
Warrants | |||||||
Auto Components | 12,310 | 2 | — | 12,312 | |||
Automobiles | 281,156 | 142,053 | — | 423,209 | |||
Capital Markets | 67,293 | — | — | 67,293 | |||
Diversified Financial Services | 146,929 | 29,199 | 54,656 | 230,784 | |||
Electrical Equipment | 37,789 | — | — | 37,789 | |||
Equity Real Estate Investment Trusts (REITs) | — | — | 2,531 | 2,531 | |||
Independent Power and Renewable Electricity Producers | 74,572 | — | — | 74,572 | |||
Interactive Media & Services | 200,328 | — | — | 200,328 | |||
Machinery | 145,800 | — | — | 145,800 | |||
Oil, Gas & Consumable Fuels | 156,210 | — | — | 156,210 | |||
Real Estate Management & Development | 49,789 | — | — | 49,789 | |||
Software | 19,074 | — | — | 19,074 | |||
Short-Term Securities | |||||||
Money Market Funds | 577,630,126 | — | — | 577,630,126 | |||
Options Purchased | |||||||
Credit Contracts | — | 153,827 | — | 153,827 | |||
Equity Contracts | 1,533,868 | — | — | 1,533,868 | |||
Foreign Currency Exchange Contracts | — | 5,313,243 | — | 5,313,243 | |||
Interest Rate Contracts | 4,790,968 | 9,173,102 | — | 13,964,070 | |||
Liabilities | |||||||
TBA Sale Commitments | — | (2,830,465,759) | — | (2,830,465,759) | |||
Unfunded Floating Rate Loan Interests | — | (14,069) | (170,302) | (184,371) | |||
$ 674,459,791 | $ 18,161,229,772 | $ 609,426,515 | 19,445,116,078 | ||||
Investments valued at NAV(a) | 35,711,913 | ||||||
$ 19,480,827,991 | |||||||
Derivative Financial Instruments(b) | |||||||
Assets | |||||||
Credit Contracts | $ — | $ 6,519,544 | $ — | $ 6,519,544 | |||
Equity Contracts | 227,735 | 2,648,466 | — | 2,876,201 | |||
Foreign Currency Exchange Contracts | — | 8,221,614 | — | 8,221,614 | |||
Interest Rate Contracts | 27,500,562 | 22,108,742 | — | 49,609,304 | |||
Other Contracts | — | 327,208 | — | 327,208 | |||
Liabilities | |||||||
Credit Contracts | — | (4,017,346) | — | (4,017,346) | |||
Equity Contracts | (414,549) | (56,016) | — | (470,565) | |||
Foreign Currency Exchange Contracts | — | (3,970,224) | — | (3,970,224) |
Schedule of Investments
81
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
Level 1 | Level 2 | Level 3 | Total | ||||
Liabilities | |||||||
Interest Rate Contracts | $ (54,438,603) | $ (93,947,950) | $ — | $ (148,386,553) | |||
Other Contracts | — | (3,184,842) | — | (3,184,842) | |||
$ (27,124,855) | $ (65,350,804) | $ — | $ (92,475,659) |
(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. |
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 | 1,178,135 | 1,244 | — | 44,574,712 | 20,660,455 | 14,972,760 | |||||
Transfers out of Level 3 | (30,511,582) | — | — | (22,758,909) | (14,624,742) | — | |||||
Other(a) | — | (112,736) | 112,736 | — | — | — | |||||
Accrued discounts/premiums | 171,064 | — | 109,513 | 224,089 | 186,860 | — | |||||
Net realized gain (loss) | 93,032 | (2,515,339) | 261,342 | 1,694,197 | (15,644) | — | |||||
Net change in unrealized appreciation (depreciation)(b) | (1,875,043) | 2,641,266 | (3,005,125) | (8,754,742) | (4,850,357) | (737,295) | |||||
Purchases | 24,447,648 | 220 | 27,759,983 | 166,444,339 | 121,369,928 | 4,872,497 | |||||
Sales | (31,482,926) | (81,127) | (21.438.594) | (104,888,717) | (9,057,502) | — | |||||
Closing Balance, as of June 30, 2022 | $ 54,197,745 | $ 895,925 | $ 46,393,010 | $ 279,300,513 | $ 197,566,834 | $ 19,107,962 | |||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) | $ (3,009,126) | $ 44,802 | $ (1,181,923) | $ (6,852,821) | $ (4,850,357) | $ (737,295) |
Rights | U.S. Government Sponsored Agency Securities | 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 | — | 9,308,862 | — | — | — | 90,696,168 | |||||
Transfers out of Level 3 | — | — | (81,765) | — | — | (67,696,168) | |||||
Other(a) | — | — | — | — | — | — | |||||
Accrued discounts/premiums | — | (669,279) | — | — | — | 22,247 | |||||
Net realized gain (loss) | — | — | — | — | — | (482,412) | |||||
Net change in unrealized appreciation (depreciation)(b) | (77,242) | 913,803 | (315,684) | (1,951) | (3,032,416) | (19,094,786) | |||||
Purchases | — | 2,498,508 | 109,868 | — | — | 347,502,991 | |||||
Sales | — | — | — | — | — | (166,948,866) | |||||
Closing Balance, as of June 30, 2022 | $ 25,747 | $ 12,051,894 | $ 57,187 | $ — | $ — | $ 609,596,817 | |||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) | $ (77,242) | $ 913,803 | $ (315,684) | $ — | $ — | $ (16,065,843) |
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) | (162,260) |
Purchases | — |
Sales | — |
Closing Balance, as of June 30, 2022 | $ (170,302) |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022(b) | $ (162,260) |
82
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Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
(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 June 30, 2022, 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 |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Chinese Yuan Offshore |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
RUB | Russian Ruble |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
Portfolio Abbreviation | |
ABS | Asset-Backed Security |
BZDIOVER | Overnight Brazil CETIP - Interbank Rate |
CDI | CREST Depository Interest |
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 |
MXIBTIIE | Mexico Interbank TIIE 28-Day |
OTC | Over-the-Counter |
PIK | Payment-in-Kind |
RB | Revenue Bonds |
REMIC | Real Estate Mortgage Investment Conduit |
Schedule of Investments
83
Schedule of Investments (unaudited) (continued)
June 30, 2022
Master Total Return Portfolio
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 |
WIBOR | Warsaw Interbank Offer Rate |
84
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