Transamerica Stock Index
SCHEDULE OF INVESTMENTS
At September 30, 2020
(unaudited)
| Value | ||||||||
| Master Portfolio - 100.1% | ||||||||
S&P 500 Index Master Portfolio | $ 403,558,864 | |||||||
|
| |||||||
Total Investments | 403,558,864 | |||||||
Net Other Assets (Liabilities) - (0.1)% | (209,295 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $ 403,349,569 | |||||||
|
| |||||||
Transamerica Funds | Page 1 |
NOTES TO SCHEDULE OF INVESTMENTS
At September 30, 2020
(unaudited)
INVESTMENT VALUATION
The value of the Fund’s investment in the Master Portfolio, reflected within the Schedule of Investments, displays the Fund’s proportional interest in the net assets of the Master Portfolio. At the period ended September 30, 2020, the Fund held a 1.66% ownership interest in the Master Portfolio.
Information regarding the valuation policy for the underlying securities held by the Master Portfolio is discussed in the Master Portfolio’s Schedule of Investments, which accompany this report.
The notes are an integral part of this report. Transamerica Funds | Page 2 |
Schedule of Investments (unaudited) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Common Stocks | ||||||||
Aerospace & Defense — 1.6% | ||||||||
Boeing Co. | 458,126 | $ | 75,709,903 | |||||
General Dynamics Corp. | 200,676 | 27,779,579 | ||||||
Howmet Aerospace, Inc. | 339,873 | 5,682,676 | ||||||
Huntington Ingalls Industries, Inc. | 35,861 | 5,047,436 | ||||||
L3Harris Technologies, Inc. | 186,671 | 31,704,203 | ||||||
Lockheed Martin Corp. | 212,404 | 81,410,205 | ||||||
Northrop Grumman Corp. | 133,588 | 42,145,678 | ||||||
Raytheon Technologies Corp. | 1,319,038 | 75,897,446 | ||||||
Teledyne Technologies, Inc.(a) | 31,829 | 9,873,674 | ||||||
Textron, Inc. | 195,208 | 7,045,057 | ||||||
TransDigm Group, Inc. | 46,804 | 22,237,516 | ||||||
|
| |||||||
| 384,533,373 | ||||||||
| Air Freight & Logistics — 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 115,921 | 11,845,967 | ||||||
Expeditors International of Washington, Inc. | 144,763 | 13,103,947 | ||||||
FedEx Corp. | 208,029 | 52,323,454 | ||||||
United Parcel Service, Inc., Class B | 610,732 | 101,766,273 | ||||||
|
| |||||||
| 179,039,641 | ||||||||
| Airlines — 0.2% | ||||||||
Alaska Air Group, Inc. | 104,278 | 3,819,703 | ||||||
American Airlines Group, Inc.(b) | 439,112 | 5,396,686 | ||||||
Delta Air Lines, Inc. | 550,751 | 16,841,966 | ||||||
Southwest Airlines Co. | 509,319 | 19,099,463 | ||||||
United Airlines Holdings, Inc.(a) | 251,247 | 8,730,833 | ||||||
|
| |||||||
| 53,888,651 | ||||||||
| Auto Components — 0.1% | ||||||||
Aptiv PLC | 233,150 | 21,375,192 | ||||||
BorgWarner, Inc. | 176,581 | 6,840,748 | ||||||
|
| |||||||
| 28,215,940 | ||||||||
| Automobiles — 0.2% | ||||||||
Ford Motor Co. | 3,390,483 | 22,580,617 | ||||||
General Motors Co. | 1,087,117 | 32,167,792 | ||||||
|
| |||||||
| 54,748,409 | ||||||||
| Banks — 3.3% | ||||||||
Bank of America Corp. | 6,583,215 | 158,589,649 | ||||||
Citigroup, Inc. | 1,797,565 | 77,493,027 | ||||||
Citizens Financial Group, Inc. | 365,770 | 9,246,665 | ||||||
Comerica, Inc. | 123,273 | 4,715,192 | ||||||
Fifth Third Bancorp. | 611,953 | 13,046,838 | ||||||
First Republic Bank | 146,729 | 16,002,265 | ||||||
Huntington Bancshares, Inc. | 878,386 | 8,054,800 | ||||||
JPMorgan Chase & Co. | 2,631,423 | 253,327,092 | ||||||
KeyCorp. | 839,510 | 10,015,354 | ||||||
M&T Bank Corp. | 108,602 | 10,001,158 | ||||||
People’s United Financial, Inc. | 379,790 | 3,915,635 | ||||||
PNC Financial Services Group, Inc. | 366,156 | 40,244,206 | ||||||
Regions Financial Corp. | 833,745 | 9,613,080 | ||||||
SVB Financial Group(a) | 45,318 | 10,904,417 | ||||||
Truist Financial Corp. | 1,163,614 | 44,275,513 | ||||||
U.S. Bancorp | 1,183,035 | 42,411,805 | ||||||
Wells Fargo & Co. | 3,557,412 | 83,634,756 | ||||||
Zions Bancorp NA | 145,771 | 4,259,429 | ||||||
|
| |||||||
| 799,750,881 | ||||||||
| Beverages — 1.7% | ||||||||
Brown-Forman Corp., Class B(b) | 156,870 | 11,815,448 | ||||||
Coca-Cola Co. | 3,337,967 | 164,795,431 | ||||||
Constellation Brands, Inc., Class A | 145,838 | 27,637,759 | ||||||
| Security | Shares | Value | ||||||
Beverages (Co.ntinued) | ||||||||
Molson Coors Beverage Co., Class B | 161,725 | $ | 5,427,491 | |||||
Monster Beverage Corp.(a) | 318,762 | 25,564,713 | ||||||
PepsiCo, Inc. | 1,195,547 | 165,702,814 | ||||||
|
| |||||||
| 400,943,656 | ||||||||
| Biotechnology — 2.1% | ||||||||
AbbVie, Inc. | 1,523,827 | 133,472,007 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 189,243 | 21,655,076 | ||||||
Amgen, Inc. | 505,711 | 128,531,508 | ||||||
Biogen, Inc.(a)(b) | 136,694 | 38,777,354 | ||||||
Gilead Sciences, Inc. | 1,082,515 | 68,404,123 | ||||||
Incyte Corp.(a) | 160,508 | 14,403,988 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 90,267 | 50,529,661 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 225,374 | 61,328,773 | ||||||
|
| |||||||
| 517,102,490 | ||||||||
| Building Products — 0.5% | ||||||||
Allegion PLC | 79,134 | 7,827,144 | ||||||
AO Smith Corp. | 116,550 | 6,153,840 | ||||||
Carrier Global Corp. | 706,396 | 21,573,334 | ||||||
Fortune Brands Home & Security, Inc. | 119,282 | 10,320,278 | ||||||
Johnson Controls International PLC | 642,441 | 26,243,715 | ||||||
Masco Corp. | 225,817 | 12,449,291 | ||||||
Trane Technologies PLC | 206,627 | 25,053,524 | ||||||
|
| |||||||
| 109,621,126 | ||||||||
| Capital Markets — 2.5% | ||||||||
Ameriprise Financial, Inc. | 103,845 | 16,003,553 | ||||||
Bank of New York Mellon Corp. | 703,000 | 24,141,020 | ||||||
BlackRock, Inc.(c) | 122,445 | 69,003,880 | ||||||
Cboe Global Markets, Inc. | 92,827 | 8,144,641 | ||||||
Charles Schwab Corp. | 995,432 | 36,064,501 | ||||||
CME Group, Inc. | 309,650 | 51,807,542 | ||||||
E*TRADE Financial Corp. | 190,903 | 9,554,695 | ||||||
Franklin Resources, Inc. | 229,824 | 4,676,918 | ||||||
Goldman Sachs Group, Inc. | 297,089 | 59,705,976 | ||||||
Intercontinental Exchange, Inc. | 484,604 | 48,484,630 | ||||||
Invesco Ltd | 327,515 | 3,736,946 | ||||||
MarketAxess Holdings, Inc. | 33,020 | 15,902,102 | ||||||
Moody’s Corp. | 138,939 | 40,271,469 | ||||||
Morgan Stanley | 1,034,693 | 50,027,407 | ||||||
MSCI, Inc. | 72,216 | 25,765,225 | ||||||
Nasdaq, Inc. | 99,903 | 12,259,097 | ||||||
Northern Trust Corp. | 179,676 | 14,009,338 | ||||||
Raymond James Financial, Inc. | 108,288 | 7,879,035 | ||||||
S&P Global, Inc.(b) | 208,089 | 75,036,893 | ||||||
State Street Corp. | 303,979 | 18,035,074 | ||||||
T. Rowe Price Group, Inc. | 195,989 | 25,129,710 | ||||||
|
| |||||||
| 615,639,652 | ||||||||
| Chemicals — 1.8% | ||||||||
Air Products & Chemicals, Inc. | 190,729 | 56,810,540 | ||||||
Albemarle Corp. | 90,674 | 8,095,375 | ||||||
Celanese Corp. | 102,137 | 10,974,621 | ||||||
CF Industries Holdings, Inc. | 183,713 | 5,641,826 | ||||||
Corteva, Inc. | 643,334 | 18,534,452 | ||||||
Dow, Inc. | 639,913 | 30,107,907 | ||||||
DuPont de Nemours, Inc. | 632,434 | 35,087,438 | ||||||
Eastman Chemical Co. | 115,913 | 9,055,124 | ||||||
Ecolab, Inc. | 214,432 | 42,852,091 | ||||||
FMC Corp. | 112,854 | 11,952,367 | ||||||
International Flavors & Fragrances, Inc. | 93,335 | 11,428,871 | ||||||
Linde PLC | 453,617 | 108,019,816 | ||||||
LyondellBasell Industries NV, Class A | 223,528 | 15,756,489 | ||||||
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 1 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Chemicals (continued) | ||||||||
Mosaic Co. | 301,320 | $ | 5,505,116 | |||||
PPG Industries, Inc. | 203,752 | 24,874,044 | ||||||
Sherwin-Williams Co. | 70,550 | 49,155,007 | ||||||
|
| |||||||
| 443,851,084 | ||||||||
| Commercial Services & Supplies — 0.4% | ||||||||
Cintas Corp. | 75,067 | 24,984,550 | ||||||
Copart, Inc.(a) | 178,107 | 18,729,732 | ||||||
Republic Services, Inc. | 180,884 | 16,885,521 | ||||||
Rollins, Inc.(b) | 127,350 | 6,901,097 | ||||||
Waste Management, Inc. | 335,588 | 37,978,494 | ||||||
|
| |||||||
| 105,479,394 | ||||||||
| Communications Equipment — 0.8% | ||||||||
Arista Networks, Inc.(a)(b) | 47,229 | 9,773,097 | ||||||
Cisco Systems, Inc. | 3,655,307 | 143,982,543 | ||||||
F5 Networks, Inc.(a) | 51,988 | 6,382,567 | ||||||
Juniper Networks, Inc. | 290,641 | 6,248,781 | ||||||
Motorola Solutions, Inc. | 146,601 | 22,988,503 | ||||||
|
| |||||||
| 189,375,491 | ||||||||
| Construction & Engineering — 0.1% | ||||||||
Jacobs Engineering Group, Inc. | 111,963 | 10,386,807 | ||||||
Quanta Services, Inc. | 121,753 | 6,435,864 | ||||||
|
| |||||||
| 16,822,671 | ||||||||
| Construction Materials — 0.1% | ||||||||
Martin Marietta Materials, Inc. | 53,454 | 12,580,934 | ||||||
Vulcan Materials Co. | 115,239 | 15,619,494 | ||||||
|
| |||||||
| 28,200,428 | ||||||||
| Consumer Finance — 0.5% | ||||||||
American Express Co. | 563,118 | 56,452,579 | ||||||
Capital One Financial Corp. | 394,278 | 28,332,817 | ||||||
Discover Financial Services | 264,542 | 15,285,237 | ||||||
Synchrony Financial | 473,928 | 12,402,696 | ||||||
|
| |||||||
| 112,473,329 | ||||||||
| Containers & Packaging — 0.4% | ||||||||
Amcor PLC | 1,345,193 | 14,864,383 | ||||||
Avery Dennison Corp. | 72,705 | 9,294,607 | ||||||
Ball Corp. | 281,971 | 23,437,430 | ||||||
International Paper Co. | 341,409 | 13,840,721 | ||||||
Packaging Corp. of America | 81,400 | 8,876,670 | ||||||
Sealed Air Corp. | 133,968 | 5,199,298 | ||||||
Westrock Co. | 221,545 | 7,696,473 | ||||||
|
| |||||||
| 83,209,582 | ||||||||
| Distributors — 0.1% | ||||||||
Genuine Parts Co. | 124,563 | 11,854,661 | ||||||
LKQ Corp.(a) | 241,720 | 6,702,895 | ||||||
|
| |||||||
| 18,557,556 | ||||||||
| Diversified Financial Services — 1.5% | ||||||||
Berkshire Hathaway, Inc., Class B(a) | 1,711,526 | 364,452,346 | ||||||
|
| |||||||
| Diversified Telecommunication Services — 1.6% | ||||||||
AT&T, Inc. | 6,152,008 | 175,393,748 | ||||||
CenturyLink, Inc. | 857,752 | 8,654,718 | ||||||
Verizon Communications, Inc. | 3,572,960 | 212,555,390 | ||||||
|
| |||||||
| 396,603,856 | ||||||||
| Electric Utilities — 1.8% | ||||||||
Alliant Energy Corp. | 212,748 | 10,988,434 | ||||||
American Electric Power Co., Inc. | 429,095 | 35,069,934 | ||||||
Duke Energy Corp. | 634,070 | 56,153,239 | ||||||
Edison International | 326,571 | 16,602,870 | ||||||
| Security | Shares | Value | ||||||
Electric Utilities (continued) | ||||||||
Entergy Corp. | 173,355 | $ | 17,080,668 | |||||
Evergy, Inc. | 198,431 | 10,084,263 | ||||||
Eversource Energy | 296,144 | 24,742,831 | ||||||
Exelon Corp. | 839,719 | 30,028,352 | ||||||
FirstEnergy Corp. | 470,441 | 13,506,361 | ||||||
NextEra Energy, Inc. | 422,782 | 117,347,372 | ||||||
NRG Energy, Inc. | 210,798 | 6,479,931 | ||||||
Pinnacle West Capital Corp. | 96,814 | 7,217,484 | ||||||
PPL Corp. | 668,523 | 18,190,511 | ||||||
Southern Co. | 910,570 | 49,371,105 | ||||||
Xcel Energy, Inc. | 453,160 | 31,272,572 | ||||||
|
| |||||||
| 444,135,927 | ||||||||
| Electrical Equipment — 0.5% | ||||||||
AMETEK, Inc. | 199,032 | 19,783,781 | ||||||
Eaton Corp. PLC | 345,947 | 35,296,972 | ||||||
Emerson Electric Co. | 515,985 | 33,833,137 | ||||||
Rockwell Automation, Inc. | 100,605 | 22,201,511 | ||||||
|
| |||||||
| 111,115,401 | ||||||||
| Electronic Equipment, Instruments & Components — 0.5% | ||||||||
Amphenol Corp., Class A | 258,151 | 27,950,009 | ||||||
CDW Corp. | 122,974 | 14,699,082 | ||||||
Corning, Inc. | 657,033 | 21,294,440 | ||||||
FLIR Systems, Inc. | 113,633 | 4,073,743 | ||||||
IPG Photonics Corp.(a)(b) | 29,995 | 5,098,250 | ||||||
Keysight Technologies, Inc.(a) | 160,848 | 15,888,565 | ||||||
TE Connectivity Ltd | 283,029 | 27,663,254 | ||||||
Zebra Technologies Corp., Class A(a) | 46,056 | 11,627,298 | ||||||
|
| |||||||
| 128,294,641 | ||||||||
| Energy Equipment & Services — 0.2% | ||||||||
Baker Hughes Co. | 572,371 | 7,606,811 | ||||||
Halliburton Co. | 750,650 | 9,045,333 | ||||||
National Oilwell Varco, Inc. | 342,352 | 3,101,709 | ||||||
Schlumberger NV | 1,205,365 | 18,755,479 | ||||||
TechnipFMC PLC | 362,703 | 2,288,656 | ||||||
|
| |||||||
| 40,797,988 | ||||||||
| Entertainment — 2.0% | ||||||||
Activision Blizzard, Inc. | 667,853 | 54,062,700 | ||||||
Electronic Arts, Inc.(a) | 249,161 | 32,493,086 | ||||||
Live Nation Entertainment, Inc.(a) | 121,362 | 6,538,985 | ||||||
Netflix, Inc.(a) | 380,790 | 190,406,424 | ||||||
Take-Two Interactive Software, Inc.(a) | 98,542 | 16,281,109 | ||||||
Walt Disney Co.(b) | 1,560,290 | 193,600,783 | ||||||
|
| |||||||
| 493,383,087 | ||||||||
| Equity Real Estate Investment Trusts (REITs) — 2.6% | ||||||||
Alexandria Real Estate Equities, Inc. | 101,270 | 16,203,200 | ||||||
American Tower Corp. | 382,997 | 92,581,865 | ||||||
Apartment Investment & Management Co., Class A. | 128,731 | 4,340,809 | ||||||
AvalonBay Communities, Inc. | 121,601 | 18,159,893 | ||||||
Boston Properties, Inc. | 122,286 | 9,819,566 | ||||||
Crown Castle International Corp. | 361,609 | 60,207,898 | ||||||
Digital Realty Trust, Inc. | 232,261 | 34,086,624 | ||||||
Duke Realty Corp. | 320,492 | 11,826,155 | ||||||
Equinix, Inc. | 76,659 | 58,270,806 | ||||||
Equity Residential | 295,670 | 15,176,741 | ||||||
Essex Property Trust, Inc. | 56,305 | 11,305,481 | ||||||
Extra Space Storage, Inc. | 110,681 | 11,841,760 | ||||||
Federal Realty Investment Trust | 61,405 | 4,509,583 | ||||||
Healthpeak Properties, Inc. | 464,806 | 12,619,483 | ||||||
Host Hotels & Resorts, Inc. | 604,349 | 6,520,926 | ||||||
Iron Mountain, Inc. | 252,876 | 6,774,548 | ||||||
| 2 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
Kimco Realty Corp. | 361,070 | $ | 4,065,648 | |||||
Mid-America Apartment Communities, Inc. | 99,445 | 11,530,648 | ||||||
Prologis, Inc. | 637,882 | 64,183,687 | ||||||
Public Storage | 130,798 | 29,131,331 | ||||||
Realty Income Corp. | 297,920 | 18,098,640 | ||||||
Regency Centers Corp. | 136,212 | 5,178,780 | ||||||
SBA Communications Corp. | 96,653 | 30,782,047 | ||||||
Simon Property Group, Inc. | 263,910 | 17,069,699 | ||||||
SL Green Realty Corp. | 63,248 | 2,932,810 | ||||||
UDR, Inc. | 255,798 | 8,341,573 | ||||||
Ventas, Inc. | 321,095 | 13,473,146 | ||||||
Vornado Realty Trust | 135,460 | 4,566,357 | ||||||
Welltower, Inc. | 360,314 | 19,849,698 | ||||||
Weyerhaeuser Co. | 648,783 | 18,503,291 | ||||||
|
| |||||||
| 621,952,693 | ||||||||
| Food & Staples Retailing — 1.6% | ||||||||
Costco Wholesale Corp. | 381,229 | 135,336,295 | ||||||
Kroger Co. | 670,986 | 22,753,135 | ||||||
Sysco Corp. | 439,090 | 27,320,180 | ||||||
Walgreens Boots Alliance, Inc. | 621,006 | 22,306,536 | ||||||
Walmart, Inc. | 1,198,920 | 167,740,897 | ||||||
|
| |||||||
| 375,457,043 | ||||||||
| Food Products — 1.1% | ||||||||
Archer-Daniels-Midland Co. | 479,615 | 22,297,301 | ||||||
Campbell Soup Co. | 174,803 | 8,455,221 | ||||||
Conagra Brands, Inc. | 423,722 | 15,131,113 | ||||||
General Mills, Inc. | 526,236 | 32,458,237 | ||||||
Hershey Co. | 127,279 | 18,244,172 | ||||||
Hormel Foods Corp. | 242,105 | 11,836,513 | ||||||
J.M. Smucker Co. | 99,331 | 11,474,717 | ||||||
Kellogg Co. | 216,799 | 14,003,047 | ||||||
Kraft Heinz Co. | 559,480 | 16,756,426 | ||||||
Lamb Weston Holdings, Inc. | 124,846 | 8,273,544 | ||||||
McCormick & Co., Inc. | 107,590 | 20,883,219 | ||||||
Mondelez International, Inc., Class A | 1,233,284 | 70,852,166 | ||||||
Tyson Foods, Inc., Class A | 253,297 | 15,066,106 | ||||||
|
| |||||||
| 265,731,782 | ||||||||
| Gas Utilities — 0.0% | ||||||||
Atmos Energy Corp. | 106,510 | 10,181,291 | ||||||
|
| |||||||
| Health Care Equipment & Supplies — 3.9% | ||||||||
Abbott Laboratories | 1,528,746 | 166,373,427 | ||||||
ABIOMED, Inc.(a) | 39,437 | 10,926,415 | ||||||
Align Technology, Inc.(a)(b) | 61,710 | 20,201,386 | ||||||
Baxter International, Inc. | 436,773 | 35,125,285 | ||||||
Becton Dickinson and Co. | 250,284 | 58,236,081 | ||||||
Boston Scientific Corp.(a)(b) | 1,235,302 | 47,200,889 | ||||||
Cooper Cos., Inc. | 42,423 | 14,301,642 | ||||||
Danaher Corp. | 545,153 | 117,387,796 | ||||||
DENTSPLY SIRONA, Inc. | 191,806 | 8,387,676 | ||||||
DexCom, Inc.(a) | 82,667 | 34,077,817 | ||||||
Edwards Lifesciences Corp.(a) | 535,129 | 42,713,997 | ||||||
Hologic, Inc.(a) | 223,962 | 14,886,754 | ||||||
IDEXX Laboratories, Inc.(a) | 73,440 | 28,869,998 | ||||||
Intuitive Surgical, Inc.(a)(b) | 101,045 | 71,695,469 | ||||||
Medtronic PLC | 1,160,649 | 120,614,644 | ||||||
ResMed, Inc. | 125,192 | 21,461,665 | ||||||
STERIS PLC | 73,941 | 13,027,665 | ||||||
Stryker Corp. | 282,152 | 58,792,012 | ||||||
Teleflex, Inc. | 40,309 | 13,721,990 | ||||||
| Security | Shares | Value | ||||||
Health Care Equipment & Supplies (continued) | ||||||||
Varian Medical Systems, Inc.(a)(b) | 78,200 | $ | 13,450,400 | |||||
West Pharmaceutical Services, Inc. | 63,513 | 17,459,724 | ||||||
Zimmer Biomet Holdings, Inc. | 179,086 | 24,380,768 | ||||||
|
| |||||||
| 953,293,500 | ||||||||
| Health Care Providers & Services — 2.6% | ||||||||
AmerisourceBergen Corp. | 126,910 | 12,300,117 | ||||||
Anthem, Inc. | 217,161 | 58,327,273 | ||||||
Cardinal Health, Inc. | 254,665 | 11,956,522 | ||||||
Centene Corp.(a) | 497,800 | 29,036,674 | ||||||
Cigna Corp. | 317,056 | 53,712,457 | ||||||
CVS Health Corp. | 1,129,987 | 65,991,241 | ||||||
DaVita, Inc.(a) | 69,453 | 5,948,649 | ||||||
HCA Healthcare, Inc. | 227,659 | 28,384,524 | ||||||
Henry Schein, Inc.(a)(b) | 123,272 | 7,245,928 | ||||||
Humana, Inc. | 114,227 | 47,277,413 | ||||||
Laboratory Corp. of America Holdings(a) | 84,938 | 15,991,277 | ||||||
McKesson Corp. | 140,617 | 20,942,090 | ||||||
Quest Diagnostics, Inc. | 115,282 | 13,198,636 | ||||||
UnitedHealth Group, Inc. | 820,558 | 255,825,368 | ||||||
Universal Health Services, Inc., Class B | 67,089 | 7,179,865 | ||||||
|
| |||||||
| 633,318,034 | ||||||||
| Health Care Technology — 0.1% | ||||||||
Cerner Corp.(b) | 263,732 | 19,065,186 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure — 1.6% | ||||||||
Carnival Corp. | 447,165 | 6,787,965 | ||||||
Chipotle Mexican Grill, Inc.(a) | 24,149 | 30,034,353 | ||||||
Darden Restaurants, Inc. | 112,179 | 11,300,913 | ||||||
Domino’s Pizza, Inc.(b) | 33,697 | 14,330,660 | ||||||
Hilton Worldwide Holdings, Inc. | 239,440 | 20,429,021 | ||||||
Las Vegas Sands Corp. | 283,584 | 13,232,029 | ||||||
Marriott International, Inc., Class A | 229,622 | 21,258,405 | ||||||
McDonald’s Corp. | 642,488 | 141,019,691 | ||||||
MGM Resorts International | 353,512 | 7,688,886 | ||||||
Norwegian Cruise Line Holdings Ltd.(a)(b) | 225,621 | 3,860,375 | ||||||
Royal Caribbean Cruises Ltd | 153,843 | 9,958,257 | ||||||
Starbucks Corp. | 1,009,361 | 86,724,297 | ||||||
Wynn Resorts Ltd | 85,011 | 6,104,640 | ||||||
Yum! Brands, Inc. | 260,241 | 23,760,003 | ||||||
|
| |||||||
| 396,489,495 | ||||||||
| Household Durables — 0.4% | ||||||||
D.R. Horton, Inc. | 285,772 | 21,612,936 | ||||||
Garmin Ltd | 128,795 | 12,217,494 | ||||||
Leggett & Platt, Inc. | 117,117 | 4,821,707 | ||||||
Lennar Corp., Class A | 237,116 | 19,367,635 | ||||||
Mohawk Industries, Inc.(a) | 50,377 | 4,916,291 | ||||||
Newell Brands, Inc. | 333,665 | 5,725,691 | ||||||
NVR, Inc.(a) | 3,042 | 12,420,851 | ||||||
PulteGroup, Inc. | 231,556 | 10,718,727 | ||||||
Whirlpool Corp. | 53,787 | 9,890,892 | ||||||
|
| |||||||
| 101,692,224 | ||||||||
| Household Products — 1.8% | ||||||||
Church & Dwight Co., Inc. | 213,668 | 20,022,828 | ||||||
Clorox Co. | 109,273 | 22,965,907 | ||||||
Colgate-Palmolive Co. | 740,313 | 57,115,148 | ||||||
Kimberly-Clark Corp. | 293,749 | 43,374,977 | ||||||
Procter & Gamble Co. | 2,149,638 | 298,778,186 | ||||||
|
| |||||||
| 442,257,046 | ||||||||
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 3 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Secur9ity | Shares | Value | ||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||
AES Corp. | 582,112 | $ | 10,542,048 | |||||
|
| |||||||
| Industrial Conglomerates — 1.1% | ||||||||
3M Co. | 497,359 | 79,666,965 | ||||||
General Electric Co. | 7,546,128 | 47,012,377 | ||||||
Honeywell International, Inc. | 605,947 | 99,744,936 | ||||||
Roper Technologies, Inc. | 90,602 | 35,797,756 | ||||||
|
| |||||||
| 262,222,034 | ||||||||
| Insurance — 1.8% | ||||||||
Aflac, Inc. | 572,468 | 20,809,212 | ||||||
Allstate Corp. | 269,666 | 25,386,357 | ||||||
American International Group, Inc. | 743,797 | 20,476,731 | ||||||
Aon PLC, Class A | 200,016 | 41,263,301 | ||||||
Arthur J Gallagher & Co. | 165,349 | 17,457,547 | ||||||
Assurant, Inc. | 52,112 | 6,321,707 | ||||||
Chubb Ltd | 389,319 | 45,207,722 | ||||||
Cincinnati Financial Corp. | 129,152 | 10,069,981 | ||||||
Everest Re Group Ltd | 34,513 | 6,817,698 | ||||||
Globe Life, Inc. | 84,610 | 6,760,339 | ||||||
Hartford Financial Services Group, Inc. | 307,460 | 11,332,976 | ||||||
Lincoln National Corp. | 156,847 | 4,914,017 | ||||||
Loews Corp. | 205,070 | 7,126,182 | ||||||
Marsh & McLennan Cos., Inc. | 437,186 | 50,145,234 | ||||||
MetLife, Inc. | 662,307 | 24,617,951 | ||||||
Principal Financial Group, Inc. | 220,438 | 8,877,038 | ||||||
Progressive Corp. | 505,455 | 47,851,425 | ||||||
Prudential Financial, Inc. | 339,044 | 21,536,075 | ||||||
Travelers Cos., Inc. | 219,868 | 23,787,519 | ||||||
Unum Group | 173,973 | 2,927,966 | ||||||
W.R. Berkley Corp. | 120,666 | 7,378,726 | ||||||
Willis Towers Watson PLC | 111,946 | 23,376,564 | ||||||
|
| |||||||
| 434,442,268 | ||||||||
| Interactive Media & Services(a) — 5.5% | ||||||||
Alphabet, Inc., Class A | 259,439 | 380,233,798 | ||||||
Alphabet, Inc., Class C | 253,502 | 372,546,539 | ||||||
Facebook, Inc., Class A | 2,075,952 | 543,691,829 | ||||||
Twitter, Inc.(b) | 682,937 | 30,390,696 | ||||||
|
| |||||||
| 1,326,862,862 | ||||||||
| Internet & Direct Marketing Retail — 5.2% | ||||||||
Amazon.com, Inc.(a) | 367,615 | 1,157,520,379 | ||||||
Booking Holdings, Inc.(a) | 35,357 | 60,484,513 | ||||||
eBay, Inc. | 574,090 | 29,910,089 | ||||||
Etsy, Inc.(a)(b) | 103,033 | 12,531,904 | ||||||
Expedia Group, Inc. | 116,285 | 10,662,171 | ||||||
|
| |||||||
| 1,271,109,056 | ||||||||
| IT Services — 5.6% | ||||||||
Accenture PLC, Class A | 549,318 | 124,140,375 | ||||||
Akamai Technologies, Inc.(a) | 140,703 | 15,553,310 | ||||||
Automatic Data Processing, Inc. | 370,497 | 51,680,627 | ||||||
Broadridge Financial Solutions, Inc. | 99,873 | 13,183,236 | ||||||
Cognizant Technology Solutions Corp., Class A | 464,998 | 32,280,161 | ||||||
DXC Technology Co. | 220,706 | 3,939,602 | ||||||
Fidelity National Information Services, Inc. | 534,843 | 78,734,238 | ||||||
Fiserv, Inc.(a) | 479,908 | 49,454,519 | ||||||
FleetCor Technologies, Inc.(a) | 72,372 | 17,231,773 | ||||||
Gartner, Inc.(a)(b) | 76,998 | 9,620,900 | ||||||
Global Payments, Inc.(b) | 257,743 | 45,770,002 | ||||||
International Business Machines Corp. | 768,961 | 93,559,485 | ||||||
Jack Henry & Associates, Inc. | 67,031 | 10,898,570 | ||||||
Leidos Holdings, Inc. | 116,021 | 10,343,272 | ||||||
| Secur9ity | Shares | Value | ||||||
IT Services (continued) | ||||||||
Mastercard, Inc., Class A | 762,726 | $ | 257,931,051 | |||||
Paychex, Inc. | 277,374 | 22,126,124 | ||||||
PayPal Holdings, Inc.(a) | 1,013,074 | 199,605,970 | ||||||
VeriSign, Inc.(a) | 86,729 | 17,766,436 | ||||||
Visa, Inc., Class A(b) | 1,455,765 | 291,109,327 | ||||||
Western Union Co. | 354,220 | 7,590,935 | ||||||
|
| |||||||
| 1,352,519,913 | ||||||||
| Leisure Products — 0.0% | ||||||||
Hasbro, Inc. | 109,344 | 9,044,936 | ||||||
|
| |||||||
| Life Sciences Tools & Services — 1.2% | ||||||||
Agilent Technologies, Inc. | 266,207 | 26,870,935 | ||||||
Bio-Rad Laboratories, Inc., Class A(a) | 18,020 | 9,288,589 | ||||||
Illumina, Inc.(a) | 126,062 | 38,963,243 | ||||||
IQVIA Holdings, Inc.(a) | 165,151 | 26,032,752 | ||||||
Mettler-Toledo International, Inc.(a) | 20,698 | 19,989,093 | ||||||
PerkinElmer, Inc. | 95,779 | 12,021,222 | ||||||
Thermo Fisher Scientific, Inc. | 341,567 | 150,808,662 | ||||||
Waters Corp.(a) | 53,469 | 10,462,814 | ||||||
|
| |||||||
| 294,437,310 | ||||||||
| Machinery — 1.6% | ||||||||
Caterpillar, Inc. | 467,553 | 69,735,530 | ||||||
Cummins, Inc. | 127,509 | 26,924,801 | ||||||
Deere & Co. | 270,580 | 59,968,645 | ||||||
Dover Corp. | 124,309 | 13,467,637 | ||||||
Flowserve Corp. | 112,148 | 3,060,519 | ||||||
Fortive Corp. | 291,041 | 22,180,235 | ||||||
IDEX Corp. | 65,171 | 11,887,842 | ||||||
Illinois Tool Works, Inc. | 247,499 | 47,819,282 | ||||||
Ingersoll Rand Inc.(a) | 320,494 | 11,409,586 | ||||||
Otis Worldwide Corp. | 353,198 | 22,046,619 | ||||||
PACCAR, Inc. | 298,344 | 25,442,776 | ||||||
Parker-Hannifin Corp. | 110,721 | 22,403,287 | ||||||
Pentair PLC | 142,497 | 6,522,088 | ||||||
Snap-on, Inc. | 46,909 | 6,901,721 | ||||||
Stanley Black & Decker, Inc. | 137,876 | 22,363,487 | ||||||
Westinghouse Air Brake Technologies Corp. | 154,454 | 9,557,614 | ||||||
Xylem, Inc. | 156,792 | 13,189,343 | ||||||
|
| |||||||
| 394,881,012 | ||||||||
| Media — 1.3% | ||||||||
Charter Communications, Inc., Class A(a)(b) | 129,150 | 80,633,511 | ||||||
Comcast Corp., Class A | 3,936,124 | 182,085,096 | ||||||
Discovery, Inc., Class A(a)(b) | 134,754 | 2,933,595 | ||||||
Discovery, Inc., Class C(a) | 267,283 | 5,238,747 | ||||||
DISH Network Corp., Class A(a) | 213,018 | 6,183,913 | ||||||
Fox Corp., Class A | 303,158 | 8,436,887 | ||||||
Fox Corp., Class B(a) | 133,124 | 3,723,478 | ||||||
Interpublic Group of Cos., Inc. | 340,340 | 5,673,468 | ||||||
News Corp., Class A, Class A | 332,273 | 4,658,467 | ||||||
News Corp., Class B, Class B | 114,231 | 1,596,949 | ||||||
Omnicom Group, Inc. | 185,083 | 9,161,609 | ||||||
ViacomCBS, Inc., Class B | 486,782 | 13,634,764 | ||||||
|
| |||||||
| 323,960,484 | ||||||||
| Metals & Mining — 0.3% | ||||||||
Freeport-McMoRan, Inc.(b) | 1,253,904 | 19,611,059 | ||||||
Newmont Corp. | 693,403 | 43,996,420 | ||||||
Nucor Corp. | 259,631 | 11,647,047 | ||||||
|
| |||||||
| 75,254,526 | ||||||||
��
| 4 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Multiline Retail — 0.5% | ||||||||
Dollar General Corp. | 215,026 | $ | 45,073,750 | |||||
Dollar Tree, Inc.(a) | 206,058 | 18,821,338 | ||||||
Target Corp. | 430,895 | 67,831,491 | ||||||
|
| |||||||
| 131,726,579 | ||||||||
| Multi-Utilities — 0.9% | ||||||||
Ameren Corp. | 214,214 | 16,940,043 | ||||||
CenterPoint Energy, Inc. | 470,418 | 9,102,588 | ||||||
CMS Energy Corp. | 247,137 | 15,176,683 | ||||||
Consolidated Edison, Inc. | 289,441 | 22,518,510 | ||||||
Dominion Energy, Inc. | 725,407 | 57,256,374 | ||||||
DTE Energy Co. | 167,263 | 19,241,936 | ||||||
NiSource, Inc. | 321,488 | 7,072,736 | ||||||
Public Service Enterprise Group, Inc. | 435,757 | 23,927,417 | ||||||
Sempra Energy | 249,759 | 29,561,475 | ||||||
WEC Energy Group, Inc. | 272,192 | 26,375,405 | ||||||
|
| |||||||
| 227,173,167 | ||||||||
| Oil, Gas & Consumable Fuels — 1.9% | ||||||||
Apache Corp. | 317,469 | 3,006,431 | ||||||
Cabot Oil & Gas Corp. | 344,150 | 5,974,444 | ||||||
Chevron Corp. | 1,612,321 | 116,087,112 | ||||||
Concho Resources, Inc. | 169,845 | 7,493,561 | ||||||
ConocoPhillips | 926,943 | 30,440,808 | ||||||
Devon Energy Corp. | 330,941 | 3,130,702 | ||||||
Diamondback Energy, Inc. | 136,845 | 4,121,771 | ||||||
EOG Resources, Inc. | 506,533 | 18,204,796 | ||||||
Exxon Mobil Corp. | 3,650,824 | 125,332,788 | ||||||
Hess Corp. | 236,028 | 9,660,626 | ||||||
HollyFrontier Corp. | 129,331 | 2,549,114 | ||||||
Kinder Morgan, Inc. | 1,677,834 | 20,687,693 | ||||||
Marathon Oil Corp. | 684,055 | 2,797,785 | ||||||
Marathon Petroleum Corp. | 565,354 | 16,587,486 | ||||||
Noble Energy, Inc. | 412,314 | 3,525,285 | ||||||
Occidental Petroleum Corp. | 722,809 | 7,235,318 | ||||||
ONEOK, Inc. | 383,542 | 9,964,421 | ||||||
Phillips 66 | 377,602 | 19,574,888 | ||||||
Pioneer Natural Resources Co. | 141,842 | 12,196,994 | ||||||
Valero Energy Corp. | 352,074 | 15,251,846 | ||||||
Williams Cos., Inc. | 1,055,312 | 20,736,881 | ||||||
|
| |||||||
| 454,560,750 | ||||||||
| Personal Products — 0.2% | ||||||||
Estee Lauder Cos., Inc., Class A | 193,936 | 42,326,532 | ||||||
|
| |||||||
| Pharmaceuticals — 4.1% | ||||||||
Bristol-Myers Squibb Co. | 1,946,137 | 117,332,600 | ||||||
Catalent, Inc.(a) | 141,724 | 12,140,078 | ||||||
Eli Lilly & Co. | 685,459 | 101,461,641 | ||||||
Johnson & Johnson | 2,273,285 | 338,446,671 | ||||||
Merck & Co., Inc. | 2,183,847 | 181,150,109 | ||||||
Mylan NV(a) | 452,280 | 6,707,312 | ||||||
Perrigo Co. PLC | 116,394 | 5,343,648 | ||||||
Pfizer, Inc. | 4,798,031 | 176,087,738 | ||||||
Zoetis, Inc. | 409,831 | 67,773,752 | ||||||
|
| |||||||
| 1,006,443,549 | ||||||||
| Professional Services — 0.3% | ||||||||
Equifax, Inc. | 105,425 | 16,541,183 | ||||||
IHS Markit Ltd | 322,064 | 25,285,245 | ||||||
Nielsen Holdings PLC | 313,402 | 4,444,040 | ||||||
| Security | Shares | Value | ||||||
Professional Services (continued) | ||||||||
Robert Half International, Inc. | 98,980 | $ | 5,240,001 | |||||
Verisk Analytics, Inc. | 140,211 | 25,982,500 | ||||||
|
| |||||||
| 77,492,969 | ||||||||
| Real Estate Management & Development — 0.1% | ||||||||
CBRE Group, Inc., Class A(a) | 291,463 | 13,690,017 | ||||||
|
| |||||||
| Road & Rail — 1.0% | ||||||||
CSX Corp. | 660,577 | 51,307,016 | ||||||
JB Hunt Transport Services, Inc. | 71,440 | 9,028,587 | ||||||
Kansas City Southern | 81,200 | 14,683,396 | ||||||
Norfolk Southern Corp. | 220,059 | 47,090,426 | ||||||
Old Dominion Freight Line, Inc. | 83,696 | 15,142,280 | ||||||
Union Pacific Corp. | 586,137 | 115,392,791 | ||||||
|
| |||||||
| 252,644,496 | ||||||||
| Semiconductors & Semiconductor Equipment — 5.0% | ||||||||
Advanced Micro Devices, Inc.(a) | 1,012,926 | 83,049,803 | ||||||
Analog Devices, Inc. | 318,578 | 37,190,796 | ||||||
Applied Materials, Inc. | 788,565 | 46,880,189 | ||||||
Broadcom, Inc. | 347,649 | 126,655,484 | ||||||
Intel Corp. | 3,672,209 | 190,146,982 | ||||||
KLA Corp. | 133,954 | 25,952,248 | ||||||
Lam Research Corp. | 126,318 | 41,905,996 | ||||||
Maxim Integrated Products, Inc. | 230,519 | 15,585,390 | ||||||
Microchip Technology, Inc. | 217,977 | 22,399,317 | ||||||
Micron Technology, Inc.(a) | 962,004 | 45,175,708 | ||||||
NVIDIA Corp. | 532,742 | 288,330,625 | ||||||
Qorvo, Inc.(a) | 99,482 | 12,834,173 | ||||||
QUALCOMM, Inc. | 974,190 | 114,642,679 | ||||||
Skyworks Solutions, Inc. | 143,117 | 20,823,523 | ||||||
Teradyne, Inc. | 143,359 | 11,391,306 | ||||||
Texas Instruments, Inc. | 790,862 | 112,927,185 | ||||||
Xilinx, Inc. | 210,533 | 21,945,960 | ||||||
|
| |||||||
| 1,217,837,364 | ||||||||
| Software — 9.1% | ||||||||
Adobe, Inc.(a) | 414,162 | 203,117,470 | ||||||
ANSYS, Inc.(a) | 74,514 | 24,383,216 | ||||||
Autodesk, Inc.(a) | 189,334 | 43,738,047 | ||||||
Cadence Design Systems, Inc.(a)(b) | 240,722 | 25,668,187 | ||||||
Citrix Systems, Inc. | 106,662 | 14,688,424 | ||||||
Fortinet, Inc.(a) | 115,935 | 13,658,302 | ||||||
Intuit, Inc. | 226,348 | 73,836,981 | ||||||
Microsoft Corp. | 6,534,212 | 1,374,340,810 | ||||||
NortonLifeLock, Inc. | 510,295 | 10,634,548 | ||||||
Oracle Corp. | 1,669,262 | 99,654,941 | ||||||
Paycom Software, Inc.(a) | 42,795 | 13,322,084 | ||||||
salesforce.com, Inc.(a) | 785,730 | 197,469,664 | ||||||
ServiceNow, Inc.(a) | 165,633 | 80,332,005 | ||||||
Synopsys, Inc.(a)(b) | 130,891 | 28,008,056 | ||||||
Tyler Technologies, Inc.(a)(b) | 34,089 | 11,882,062 | ||||||
|
| |||||||
| 2,214,734,797 | ||||||||
| Specialty Retail — 2.5% | ||||||||
Advance Auto Parts, Inc.(b) | 59,306 | 9,103,471 | ||||||
AutoZone, Inc.(a) | 20,282 | 23,884,894 | ||||||
Best Buy Co., Inc. | 198,275 | 22,066,025 | ||||||
CarMax, Inc.(a) | 140,808 | 12,941,663 | ||||||
Gap, Inc. | 180,058 | 3,066,388 | ||||||
Home Depot, Inc. | 929,455 | 258,118,948 | ||||||
L Brands, Inc. | 200,125 | 6,365,976 | ||||||
Lowe’s Cos., Inc. | 652,532 | 108,228,958 | ||||||
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 5 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Specialty Retail (continued) | ||||||||
O’Reilly Automotive, Inc.(a) | 63,951 | $ | 29,486,527 | |||||
Ross Stores, Inc. | 307,115 | 28,659,972 | ||||||
Tiffany & Co. | 94,104 | 10,901,948 | ||||||
TJX Cos., Inc. | 1,035,317 | 57,615,391 | ||||||
Tractor Supply Co. | 98,685 | 14,145,508 | ||||||
Ulta Beauty, Inc.(a)(b) | 49,300 | 11,042,214 | ||||||
|
| |||||||
| 595,627,883 | ||||||||
| Technology Hardware, Storage & Peripherals — 6.9% | ||||||||
Apple, Inc. | 13,880,988 | 1,607,557,220 | ||||||
Hewlett Packard Enterprise Co. | 1,101,086 | 10,317,176 | ||||||
HP, Inc. | 1,185,932 | 22,520,849 | ||||||
NetApp, Inc. | 191,688 | 8,403,602 | ||||||
Seagate Technology PLC | 192,709 | 9,494,772 | ||||||
Western Digital Corp. | 259,683 | 9,491,414 | ||||||
Xerox Holdings Corp. | 160,203 | 3,007,010 | ||||||
|
| |||||||
| 1,670,792,043 | ||||||||
| Textiles, Apparel & Luxury Goods — 0.7% | ||||||||
Hanesbrands, Inc. | 298,358 | 4,699,139 | ||||||
NIKE, Inc., Class B | 1,074,871 | 134,939,305 | ||||||
PVH Corp. | 63,061 | 3,760,958 | ||||||
Ralph Lauren Corp. | 42,619 | 2,896,814 | ||||||
Tapestry, Inc. | 237,843 | 3,717,486 | ||||||
Under Armour, Inc., Class A(a)(b) | 164,871 | 1,851,501 | ||||||
Under Armour, Inc., Class C(a) | 169,421 | 1,667,103 | ||||||
VF Corp. | 274,173 | 19,260,653 | ||||||
|
| |||||||
| 172,792,959 | ||||||||
| Tobacco — 0.7% | ||||||||
Altria Group, Inc. | 1,603,724 | 61,967,895 | ||||||
Philip Morris International, Inc. | 1,344,623 | 100,833,279 | ||||||
|
| |||||||
| 162,801,174 | ||||||||
| Trading Companies & Distributors — 0.2% | ||||||||
Fastenal Co. | 493,888 | 22,269,410 | ||||||
United Rentals, Inc.(a)(b) | 62,237 | 10,860,357 | ||||||
W.W. Grainger, Inc. | 38,855 | 13,862,298 | ||||||
|
| |||||||
| 46,992,065 | ||||||||
| Security | Shares | Value | ||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 157,399 | $ | 22,803,967 | |||||
|
| |||||||
| Wireless Telecommunication Services — 0.2% | ||||||||
T-Mobile US, Inc.(a) | 502,324 | 57,445,773 | ||||||
|
| |||||||
Total Common Stocks — 99.0% |
| 24,062,837,427 | ||||||
|
| |||||||
Investment Companies | ||||||||
Equity Funds — 0.2% | ||||||||
iShares Core S&P 500 ETF(c) | 116,868 | 39,274,660 | ||||||
|
| |||||||
Total Investment Companies — 0.2% |
| 39,274,660 | ||||||
|
| |||||||
Total Long-Term Investments — 99.2% |
| 24,102,112,087 | ||||||
|
| |||||||
Short-Term Securities | ||||||||
Money Market Funds — 1.9% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.34%(c)(d)(e) | 292,142,956 | 292,405,885 | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.08%(c)(d) | 183,746,460 | 183,746,460 | ||||||
|
| |||||||
Total Short-Term Securities — 1.9% |
| 476,152,345 | ||||||
|
| |||||||
Total Investments — 101.1% |
| 24,578,264,432 | ||||||
Liabilities in Excess of Other Assets — (1.1)% |
| (276,418,390 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 24,301,846,042 | |||||
|
| |||||||
| (a) | Non-income producing security. |
| (b) | All or a portion of this security is on loan. |
| (c) | Affiliate of the Fund. |
| (d) | Annualized 7-day yield as of period end. |
| (e) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/19 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 09/30/20 | Shares Held at 09/30/20 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, | ||||||||||||||||||||||||||||||||||||
SL Agency Shares | $ | 139,403,854 | $ | 152,780,148 | (a) | $ | — | $ | (81,081 | ) | $ | 302,964 | $ | 292,405,885 | 292,142,956 | $ | 1,467,544 | (b) | $ | — | ||||||||||||||||
BlackRock Cash Funds: Treasury, SL | ||||||||||||||||||||||||||||||||||||
Agency Shares | 215,380,072 | — | (31,633,612 | )(a) | — | — | 183,746,460 | 183,746,460 | 967,908 | — | ||||||||||||||||||||||||||
BlackRock, Inc. | 50,696,290 | 16,775,336 | (6,914,032 | ) | 204,788 | 8,241,498 | 69,003,880 | 122,445 | 1,332,693 | — | ||||||||||||||||||||||||||
iShares Core S&P 500 ETF | 94,603,944 | 41,630,812 | (92,287,653 | ) | (2,419,239 | ) | (2,253,204 | ) | 39,274,660 | 116,868 | 798,608 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
| $ | (2,295,532 | ) | $ | 6,291,258 | $ | 584,430,885 | $ | 4,566,753 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| (b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| 6 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | S&P 500 Index Master Portfolio |
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 | ||||||||||||||||
S&P 500 E-Mini Index | 1,104 | 12/18/20 | $ | 185,030 | $ | 1,899,763 | ||||||||||
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) |
| • | 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.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | $ | 24,062,837,427 | $ | — | $ | — | $ | 24,062,837,427 | ||||||||
Investment Companies | 39,274,660 | — | — | 39,274,660 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 476,152,345 | — | — | 476,152,345 | ||||||||||||
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| $ | 24,578,264,432 | $ | — | $ | — | $ | 24,578,264,432 | |||||||||
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Derivative Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Equity Contracts | $ | 1,899,763 | $ | — | $ | — | $ | 1,899,763 | ||||||||
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| Portfolio Abbreviation | ||
| ETF | Exchange-Traded Fund | |
| MSCI | Morgan Stanley Capital International | |
| S&P | Standard & Poor’s | |
M A S T E R P O R T F O L I O S C H E D U L E O F I N V E S T M E N T S | 7 |