Schedule of Investments (unaudited) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities | ||||||||
American Express Credit Account Master Trust, Series 2019-1, Class A, 2.87%, 10/15/24 | $ | 4,530 | $ | 4,704,400 | ||||
Americredit Automobile Receivables Trust, | ||||||||
Series 2018-1, Class D, 3.82%, 03/18/24 | 4,000 | 4,207,569 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2016-A2, Class A2, 2.19%, 11/20/23 | 9,750 | 9,966,017 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
Series 2020-2, Class A3, 1.49%, 12/16/24 | 27 | 27,539 | ||||||
Series 2020-2, Class A4, 1.74%, 08/18/25 | 2,365 | 2,448,675 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
Series 2017-4, Class A4, 2.21%, 03/21/24 | 6,525 | 6,593,378 | ||||||
Series 2020-2, Class A4, 1.09%, 10/15/26 | 5,000 | 5,094,470 | ||||||
Nissan Auto Lease Trust, Series 2020-A, Class A4, 1.88%, 04/15/25 | 930 | 951,644 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
Series 2019-B, Class A4, 2.54%, 12/15/25 | 6,000 | 6,299,333 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
Series 2020-1, Class C, 4.11%, 12/15/25 | 51 | 54,855 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
Series 2018-2, Class A, 3.47%, 05/15/26 | 3,415 | 3,647,839 | ||||||
|
| |||||||
Total Asset-Backed Securities — 0.3% | 43,995,719 | |||||||
|
| |||||||
Corporate Bonds | ||||||||
Advertising Agencies — 0.0% | ||||||||
Interpublic Group of Cos., Inc. | ||||||||
4.20%, 04/15/24(a) | 250 | 277,382 | ||||||
4.75%, 03/30/30 | 1,000 | 1,200,704 | ||||||
Omnicom Group Inc., 2.45%, 04/30/30(a) | 700 | 720,027 | ||||||
Omnicom Group, Inc/Omnicom Capital, Inc. | ||||||||
3.63%, 05/01/22 | 125 | 130,915 | ||||||
3.65%, 11/01/24(a) | 70 | 77,010 | ||||||
3.60%, 04/15/26(a) | 500 | 563,743 | ||||||
|
| |||||||
2,969,781 | ||||||||
Aerospace & Defense — 0.8% | ||||||||
3M Co. | ||||||||
2.00%, 06/26/22 | 500 | 514,635 | ||||||
1.75%, 02/14/23 | 500 | 517,000 | ||||||
2.00%, 02/14/25(a) | 1,000 | 1,060,476 | ||||||
3.00%, 08/07/25(a) | 250 | 277,896 | ||||||
2.88%, 10/15/27(a) | 750 | 832,809 | ||||||
2.38%, 08/26/29(a) | 985 | 1,065,332 | ||||||
3.13%, 09/19/46 | 250 | 267,596 | ||||||
3.63%, 10/15/47 | 600 | 704,739 | ||||||
4.00%, 09/14/48(a) | 1,000 | 1,251,816 | ||||||
3.25%, 08/26/49(a) | 430 | 478,237 | ||||||
3.70%, 04/15/50 | 500 | 605,283 | ||||||
Boeing Co. | ||||||||
2.35%, 10/30/21 | 75 | 75,980 | ||||||
2.13%, 03/01/22 | 250 | 251,794 | ||||||
4.51%, 05/01/23 | 2,000 | 2,108,680 | ||||||
1.88%, 06/15/23 | 500 | 499,018 | ||||||
4.88%, 05/01/25 | 2,000 | 2,176,250 | ||||||
3.10%, 05/01/26(a) | 1,000 | 997,541 | ||||||
2.70%, 02/01/27 | 230 | 224,314 | ||||||
2.80%, 03/01/27 | 1,000 | 975,729 | ||||||
5.04%, 05/01/27 | 2,000 | 2,201,821 | ||||||
3.20%, 03/01/29 | 1,000 | 984,843 |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
Boeing Co. (continued) | ||||||||
2.95%, 02/01/30 | $ | 570 | $ | 551,662 | ||||
5.15%, 05/01/30 | 3,000 | 3,372,026 | ||||||
6.13%, 02/15/33(a) | 100 | 118,646 | ||||||
3.25%, 02/01/35(a) | 1,600 | 1,503,949 | ||||||
3.30%, 03/01/35(a) | 65 | 61,127 | ||||||
5.71%, 05/01/40 | 1,500 | 1,768,384 | ||||||
3.38%, 06/15/46 | 250 | 214,262 | ||||||
3.85%, 11/01/48 | 1,000 | 916,330 | ||||||
3.90%, 05/01/49(a) | 750 | 691,264 | ||||||
3.75%, 02/01/50 | 540 | 494,187 | ||||||
5.81%, 05/01/50 | 2,500 | 3,024,450 | ||||||
3.95%, 08/01/59 | 500 | 452,632 | ||||||
5.93%, 05/01/60 | 2,000 | 2,475,279 | ||||||
Carlisle Cos., Inc., 2.75%, 03/01/30 | 100 | 106,296 | ||||||
Eaton Corp. | ||||||||
2.75%, 11/02/22 | 2,250 | 2,358,059 | ||||||
3.10%, 09/15/27(a) | 190 | 211,995 | ||||||
4.00%, 11/02/32 | 200 | 241,620 | ||||||
4.15%, 11/02/42(a) | 250 | 308,610 | ||||||
General Dynamics Corp. | ||||||||
2.25%, 11/15/22 | 500 | 517,649 | ||||||
3.38%, 05/15/23(a) | 500 | 536,890 | ||||||
3.50%, 05/15/25(a) | 1,000 | 1,121,634 | ||||||
2.13%, 08/15/26 | 500 | 536,780 | ||||||
3.75%, 05/15/28(a) | 500 | 586,935 | ||||||
4.25%, 04/01/40 | 1,000 | 1,258,119 | ||||||
4.25%, 04/01/50(a) | 500 | 653,026 | ||||||
General Electric Co. | ||||||||
2.70%, 10/09/22 | 500 | 518,334 | ||||||
3.10%, 01/09/23 | 1,500 | 1,574,100 | ||||||
3.45%, 05/15/24(a) | 2,086 | 2,241,089 | ||||||
3.45%, 05/01/27 | 1,000 | 1,058,787 | ||||||
3.63%, 05/01/30 | 1,000 | 1,035,613 | ||||||
5.88%, 01/14/38(a) | 2,215 | 2,590,123 | ||||||
6.88%, 01/10/39(a) | 1,322 | 1,698,234 | ||||||
4.25%, 05/01/40 | 1,000 | 1,014,560 | ||||||
4.13%, 10/09/42(a) | 560 | 566,575 | ||||||
4.50%, 03/11/44 | 300 | 309,889 | ||||||
4.35%, 05/01/50 | 2,500 | 2,549,027 | ||||||
Series A, 6.75%, 03/15/32 | 394 | 495,666 | ||||||
Illinois Tool Works, Inc. | ||||||||
2.65%, 11/15/26(a) | 3,000 | 3,326,935 | ||||||
4.88%, 09/15/41 | 50 | 67,862 | ||||||
3.90%, 09/01/42 | 75 | 93,568 | ||||||
Ingersoll-Rand Global Holding Co. Ltd., 4.30%, 02/21/48 | 500 | 596,941 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
3.55%, 11/01/24(a) | 500 | 549,949 | ||||||
4.65%, 11/01/44 | 30 | 36,983 | ||||||
4.50%, 03/21/49(a) | 500 | 631,477 | ||||||
L3Harris Technologies, Inc. | ||||||||
3.85%, 06/15/23 | 1,500 | 1,623,979 | ||||||
3.83%, 04/27/25 | 500 | 558,786 | ||||||
4.40%, 06/15/28 | 250 | 298,004 | ||||||
2.90%, 12/15/29 | 200 | 219,420 | ||||||
4.85%, 04/27/35 | 1,065 | 1,402,765 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26(a) | 2,250 | 2,556,732 | ||||||
3.60%, 03/01/35 | 65 | 78,190 | ||||||
4.07%, 12/15/42 | 1,100 | 1,374,163 |
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 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
Lockheed Martin Corp. (continued) | ||||||||
3.80%, 03/01/45 | $ | 1,500 | $ | 1,783,206 | ||||
4.70%, 05/15/46 | 750 | 1,022,011 | ||||||
4.09%, 09/15/52(a) | 500 | 643,818 | ||||||
Northrop Grumman Corp. | ||||||||
2.55%, 10/15/22 | 2,000 | 2,082,681 | ||||||
3.25%, 08/01/23(a) | 500 | 539,933 | ||||||
2.93%, 01/15/25(a) | 1,000 | 1,088,054 | ||||||
3.25%, 01/15/28 | 2,000 | 2,247,150 | ||||||
4.75%, 06/01/43(a) | 375 | 488,405 | ||||||
4.03%, 10/15/47(a) | 1,500 | 1,836,515 | ||||||
5.25%, 05/01/50(a) | 1,000 | 1,434,497 | ||||||
Parker-Hannifin Corp. | ||||||||
3.25%, 06/14/29(a) | 2,000 | 2,239,894 | ||||||
4.20%, 11/21/34 | 250 | 305,406 | ||||||
4.10%, 03/01/47(a) | 500 | 601,217 | ||||||
4.00%, 06/14/49(a) | 500 | 601,351 | ||||||
Raytheon Technologies Corp. | ||||||||
2.80%, 03/15/22(b) | 1,000 | 1,031,037 | ||||||
2.50%, 12/15/22(b) | 500 | 518,594 | ||||||
3.50%, 03/15/27(b) | 1,000 | 1,124,796 | ||||||
2.25%, 07/01/30(a) | 615 | 650,447 | ||||||
4.88%, 10/15/40(b) | 250 | 319,867 | ||||||
4.70%, 12/15/41(b) | 100 | 123,306 | ||||||
3.75%, 11/01/46(a) | 750 | 859,059 | ||||||
4.35%, 04/15/47(a)(b) | 1,000 | 1,250,651 | ||||||
3.13%, 07/01/50 | 1,330 | 1,418,550 | ||||||
Textron, Inc. | ||||||||
3.00%, 06/01/30 | 1,000 | 1,053,255 | ||||||
2.45%, 03/15/31 | 1,300 | 1,291,789 | ||||||
United Technologies Corp. | ||||||||
3.13%, 05/04/27(a) | 1,000 | 1,108,523 | ||||||
4.13%, 11/16/28(a) | 3,000 | 3,552,375 | ||||||
4.45%, 11/16/38 | 500 | 615,686 | ||||||
5.70%, 04/15/40(a) | 300 | 423,444 | ||||||
4.50%, 06/01/42(a) | 1,700 | 2,146,294 | ||||||
4.15%, 05/15/45 | 500 | 599,766 | ||||||
4.05%, 05/04/47(a) | 500 | 597,037 | ||||||
4.63%, 11/16/48(a) | 1,250 | 1,632,615 | ||||||
|
| |||||||
108,452,580 | ||||||||
Airlines — 0.1% | ||||||||
American Airlines Pass-Through Trust | ||||||||
Series AA, 3.20%, 06/12/28 | 416 | 391,008 | ||||||
Series AA, 3.15%, 02/15/32 | 965 | 910,310 | ||||||
Continental Airlines Pass-Through Trust | ||||||||
Series 2-A, 4.00%, 04/29/26 | 337 | 323,718 | ||||||
Series A, 4.15%, 10/11/25 | 33 | 32,115 | ||||||
JetBlue Pass Through Trust, Series AA, 2.75%, 11/15/33 | 928 | 909,179 | ||||||
Southwest Airlines Co. | ||||||||
4.75%, 05/04/23 | 1,255 | 1,341,357 | ||||||
5.25%, 05/04/25 | 560 | 616,762 | ||||||
5.13%, 06/15/27 | 1,240 | 1,355,464 | ||||||
2.63%, 02/10/30 | 2,000 | 1,896,100 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series A, 4.30%, 02/15/27 | 141 | 135,631 | ||||||
Series AA, 3.10%, 07/07/28 | 421 | 412,090 |
Security | Par (000) | Value | ||||||
Airlines (continued) | ||||||||
United Airlines Pass-Through Trust (continued) | ||||||||
Series AA, 2.70%, 05/01/32 | $ | 1,350 | $ | 1,277,013 | ||||
US Airways Pass Through Trust, Series 2013-1A, | ||||||||
Class A, 3.95%, 05/15/27 | 154 | 126,858 | ||||||
|
| |||||||
9,727,605 | ||||||||
Auto Components — 0.0% | ||||||||
Aptiv PLC, 4.40%, 10/01/46(a) | 500 | 489,587 | ||||||
BorgWarner, Inc. | ||||||||
3.38%, 03/15/25(a) | 70 | 75,767 | ||||||
2.65%, 07/01/27 | 905 | 955,063 | ||||||
Brookfield Asset Management, Inc., 4.00%, 01/15/25(a) | 250 | 280,388 | ||||||
Lear Corp., 4.25%, 05/15/29(a) | 1,000 | 1,082,586 | ||||||
Magna International, Inc., 2.45%, 06/15/30 | 115 | 121,136 | ||||||
|
| |||||||
3,004,527 | ||||||||
Automobiles — 0.4% | ||||||||
American Honda Finance Corp. | ||||||||
1.95%, 05/20/22 | 300 | 307,283 | ||||||
2.05%, 01/10/23(a) | 895 | 924,212 | ||||||
1.95%, 05/10/23(a) | 685 | 709,088 | ||||||
3.63%, 10/10/23(a) | 2,000 | 2,178,214 | ||||||
2.40%, 06/27/24 | 1,000 | 1,058,224 | ||||||
2.15%, 09/10/24(a) | 1,000 | 1,052,289 | ||||||
2.35%, 01/08/27(a) | 500 | 533,949 | ||||||
Cummins, Inc. | ||||||||
3.65%, 10/01/23(a) | 250 | 271,978 | ||||||
2.60%, 09/01/50 | 500 | 490,482 | ||||||
Daimler Finance North America LLC, 8.50%, 01/18/31 | 600 | 929,320 | ||||||
General Motors Co. | ||||||||
4.88%, 10/02/23 | 600 | 652,880 | ||||||
5.40%, 10/02/23 | 180 | 198,425 | ||||||
4.00%, 04/01/25(a) | 2,000 | 2,150,498 | ||||||
6.13%, 10/01/25 | 1,335 | 1,550,815 | ||||||
4.20%, 10/01/27(a) | 1,000 | 1,071,716 | ||||||
6.80%, 10/01/27 | 600 | 730,765 | ||||||
5.00%, 04/01/35(a) | 750 | 812,518 | ||||||
6.60%, 04/01/36(a) | 250 | 304,265 | ||||||
5.15%, 04/01/38(a) | 500 | 530,983 | ||||||
6.25%, 10/02/43 | 250 | 296,266 | ||||||
5.20%, 04/01/45(a) | 250 | 269,291 | ||||||
6.75%, 04/01/46 | 275 | 338,519 | ||||||
5.40%, 04/01/48(a) | 500 | 553,331 | ||||||
5.95%, 04/01/49(a) | 1,000 | 1,171,736 | ||||||
General Motors Financial Co. Inc. | ||||||||
3.15%, 06/30/22(a) | 1,000 | 1,027,250 | ||||||
5.20%, 03/20/23 | 2,165 | 2,348,685 | ||||||
2.90%, 02/26/25(a) | 660 | 680,176 | ||||||
3.60%, 06/21/30(a) | 2,060 | 2,133,351 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.45%, 04/10/22 | 400 | 411,250 | ||||||
3.55%, 07/08/22 | 1,000 | 1,033,220 | ||||||
3.25%, 01/05/23(a) | 3,000 | 3,100,461 | ||||||
5.10%, 01/17/24 | 1,000 | 1,092,002 | ||||||
3.95%, 04/13/24(a) | 1,000 | 1,058,053 | ||||||
4.00%, 01/15/25 | 250 | 267,122 | ||||||
2.75%, 06/20/25 | 980 | 1,002,656 | ||||||
4.30%, 07/13/25 | 1,000 | 1,087,890 | ||||||
5.25%, 03/01/26 | 405 | 455,648 | ||||||
4.35%, 01/17/27(a) | 500 | 542,758 |
2 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Automobiles (continued) | ||||||||
General Motors Financial Co., Inc. (continued) | ||||||||
5.65%, 01/17/29 | $ | 250 | $ | 291,629 | ||||
PACCAR Financial Corp., 2.00%, 09/26/22(a) | 2,180 | 2,246,777 | ||||||
Toyota Motor Corp.(a) | ||||||||
2.36%, 07/02/24 | 500 | 532,020 | ||||||
2.76%, 07/02/29 | 185 | 205,654 | ||||||
Toyota Motor Credit Corp. | ||||||||
2.60%, 01/11/22 | 250 | 257,349 | ||||||
3.30%, 01/12/22 | 2,000 | 2,072,348 | ||||||
1.15%, 05/26/22 | 3,000 | 3,037,973 | ||||||
2.63%, 01/10/23 | 2,000 | 2,093,938 | ||||||
0.50%, 08/14/23 | 4,000 | 4,008,628 | ||||||
2.00%, 10/07/24 | 3,000 | 3,141,429 | ||||||
3.65%, 01/08/29(a) | 1,000 | 1,172,187 | ||||||
2.15%, 02/13/30 | 500 | 526,962 | ||||||
3.38%, 04/01/30 | 1,000 | 1,152,725 | ||||||
|
| |||||||
56,067,188 | ||||||||
Banks — 1.8% | ||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
2.05%, 11/21/22(a) | 1,705 | 1,764,885 | ||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
0.88%, 09/18/23 | 1,400 | 1,399,258 | ||||||
1.13%, 09/18/25 | 1,200 | 1,192,843 | ||||||
Bank of America NA, (3 mo. LIBOR US + 0.65%), 3.34%, 01/25/23(c) | 980 | 1,016,944 | ||||||
Bank of Montreal | ||||||||
2.35%, 09/11/22 | 2,000 | 2,079,082 | ||||||
2.50%, 06/28/24(a) | 1,000 | 1,063,129 | ||||||
Series E, 3.30%, 02/05/24(a) | 4,000 | 4,333,410 | ||||||
Barclays Bank PLC, 1.70%, 05/12/22(a) | 640 | 651,046 | ||||||
BBVA USA | ||||||||
2.50%, 08/27/24(a) | 1,000 | 1,040,803 | ||||||
3.88%, 04/10/25 | 250 | 268,238 | ||||||
BPCE SA, 4.00%, 04/15/24 | 250 | 276,891 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
3.50%, 09/13/23(a) | 2,000 | 2,173,244 | ||||||
(3 mo. LIBOR US + 0.79%), | 2,000 | 2,072,756 | ||||||
Citibank NA, 3.65%, 01/23/24(a) | 2,500 | 2,739,967 | ||||||
Citizens Bank NA/Providence RI, 2.65%, 05/26/22 | 250 | 258,306 | ||||||
Citizens Financial Group, Inc. | ||||||||
2.85%, 07/27/26(a) | 1,500 | 1,647,954 | ||||||
2.50%, 02/06/30 | 340 | 360,490 | ||||||
Comerica, Inc. | ||||||||
3.70%, 07/31/23(a) | 250 | 270,781 | ||||||
4.00%, 02/01/29 | 1,000 | 1,142,705 | ||||||
Cooperatieve Rabobank UA | ||||||||
2.75%, 01/10/22 | 2,000 | 2,062,032 | ||||||
3.88%, 02/08/22(a) | 150 | 157,129 | ||||||
3.95%, 11/09/22 | 1,000 | 1,062,588 | ||||||
2.75%, 01/10/23(a) | 2,000 | 2,103,780 | ||||||
4.63%, 12/01/23 | 500 | 555,529 | ||||||
3.38%, 05/21/25(a) | 500 | 561,990 | ||||||
4.38%, 08/04/25(a) | 500 | 566,694 | ||||||
3.75%, 07/21/26(a) | 500 | 556,846 | ||||||
5.25%, 05/24/41(a) | 1,025 | 1,507,631 | ||||||
5.25%, 08/04/45 | 1,250 | 1,703,215 | ||||||
Credit Suisse AG, New York | ||||||||
3.00%, 10/29/21 | 3,250 | 3,341,487 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Credit Suisse AG, New York (continued) | ||||||||
2.10%, 11/12/21(a) | $ | 2,250 | $ | 2,292,570 | ||||
1.00%, 05/05/23 | 1,690 | 1,707,713 | ||||||
3.63%, 09/09/24(a) | 750 | 829,749 | ||||||
2.95%, 04/09/25 | 1,000 | 1,091,760 | ||||||
Discover Bank | ||||||||
3.35%, 02/06/23(a) | 500 | 528,811 | ||||||
4.20%, 08/08/23(a) | 2,000 | 2,189,760 | ||||||
2.45%, 09/12/24 | 600 | 633,012 | ||||||
2.70%, 02/06/30 | 535 | 560,892 | ||||||
(5 year USD Swap + 1.73%), | 1,000 | 1,048,340 | ||||||
Fifth Third Bancorp | ||||||||
3.50%, 03/15/22 | 100 | 104,122 | ||||||
1.63%, 05/05/23 | 2,000 | 2,053,611 | ||||||
4.30%, 01/16/24 | 250 | 275,806 | ||||||
3.65%, 01/25/24 | 1,000 | 1,090,897 | ||||||
2.55%, 05/05/27 | 2,000 | 2,153,596 | ||||||
8.25%, 03/01/38 | 425 | 693,746 | ||||||
Fifth Third Bank | ||||||||
2.88%, 10/01/21 | 200 | 204,693 | ||||||
1.80%, 01/30/23(a) | 250 | 256,924 | ||||||
3.95%, 07/28/25(a) | 500 | 571,933 | ||||||
3.85%, 03/15/26(a) | 500 | 570,572 | ||||||
2.25%, 02/01/27 | 590 | 631,417 | ||||||
First Republic Bank, 4.63%, 02/13/47(a) | 500 | 624,223 | ||||||
Huntington Bancshares, Inc. | ||||||||
2.63%, 08/06/24 | 775 | 825,455 | ||||||
4.00%, 05/15/25 | 1,000 | 1,139,426 | ||||||
2.55%, 02/04/30 | 800 | 837,941 | ||||||
ING Groep NV | ||||||||
4.10%, 10/02/23 | 1,000 | 1,095,715 | ||||||
3.95%, 03/29/27 | 250 | 286,455 | ||||||
4.55%, 10/02/28 | 1,000 | 1,208,392 | ||||||
4.05%, 04/09/29(a) | 1,000 | 1,173,915 | ||||||
KeyBank NA | ||||||||
2.50%, 11/22/21 | 1,000 | 1,024,532 | ||||||
3.30%, 02/01/22 | 1,000 | 1,039,097 | ||||||
2.30%, 09/14/22(a) | 350 | 363,080 | ||||||
3.38%, 03/07/23 | 250 | 266,671 | ||||||
3.90%, 04/13/29 | 1,000 | 1,141,823 | ||||||
KeyCorp | ||||||||
2.25%, 04/06/27 | 250 | 264,849 | ||||||
2.55%, 10/01/29(a) | 500 | 531,966 | ||||||
M&T Bank Corp., 3.55%, 07/26/23(a) | 2,000 | 2,167,431 | ||||||
MUFG Americas Holdings Corp., 3.00%, 02/10/25 | 200 | 216,010 | ||||||
MUFG Union Bank NA, 2.10%, 12/09/22 | 1,000 | 1,033,026 | ||||||
National Australia Bank Ltd. | ||||||||
3.70%, 11/04/21 | 500 | 517,788 | ||||||
2.50%, 05/22/22 | 1,000 | 1,036,926 | ||||||
2.88%, 04/12/23(a) | 2,000 | 2,117,264 | ||||||
2.50%, 07/12/26 | 1,250 | 1,363,525 | ||||||
National Bank of Canada, 2.10%, 02/01/23 | 1,000 | 1,033,823 | ||||||
PNC Bank NA | ||||||||
2.63%, 02/17/22(a) | 2,000 | 2,060,575 | ||||||
2.45%, 07/28/22 | 750 | 776,999 | ||||||
2.70%, 11/01/22 | 1,000 | 1,045,247 | ||||||
2.95%, 01/30/23 | 250 | 263,121 | ||||||
2.95%, 02/23/25 | 250 | 273,080 |
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 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
PNC Bank NA (continued) | ||||||||
4.05%, 07/26/28(a) | $ | 500 | $ | 584,668 | ||||
PNC Financial Services Group, Inc. | ||||||||
3.30%, 03/08/22 | 75 | 77,970 | ||||||
3.50%, 01/23/24(a) | 2,000 | 2,179,625 | ||||||
3.90%, 04/29/24 | 2,000 | 2,201,772 | ||||||
2.20%, 11/01/24 | 300 | 317,342 | ||||||
3.45%, 04/23/29 | 2,000 | 2,302,042 | ||||||
2.55%, 01/22/30 | 1,000 | 1,083,164 | ||||||
Regions Financial Corp. | ||||||||
2.75%, 08/14/22(a) | 500 | 520,024 | ||||||
3.80%, 08/14/23(a) | 2,000 | 2,168,458 | ||||||
2.25%, 05/18/25 | 2,000 | 2,112,332 | ||||||
Royal Bank of Canada(a) | ||||||||
1.95%, 01/17/23 | 675 | 698,230 | ||||||
3.70%, 10/05/23 | 2,000 | 2,184,394 | ||||||
2.55%, 07/16/24 | 1,000 | 1,069,774 | ||||||
2.25%, 11/01/24 | 1,500 | 1,589,978 | ||||||
4.65%, 01/27/26 | 700 | 826,276 | ||||||
Santander Holdings USA Inc., 3.24%, 10/05/26 | 2,000 | 2,140,160 | ||||||
Santander Holdings USA, Inc., | 2,000 | 2,093,918 | ||||||
Santander UK Group Holdings PLC(c) | ||||||||
(1 year CMT + 1.25%), 1.53%, 08/21/26 | 1,000 | 984,600 | ||||||
(3 mo. LIBOR US + 1.08%), | 3,000 | 3,132,556 | ||||||
Santander UK PLC, 2.88%, 06/18/24(a) | 1,500 | 1,601,489 | ||||||
Synchrony Bank, 3.00%, 06/15/22 | 500 | 515,992 | ||||||
Toronto-Dominion Bank | ||||||||
1.90%, 12/01/22 | 2,730 | 2,818,138 | ||||||
0.75%, 06/12/23 | 2,000 | 2,013,000 | ||||||
3.50%, 07/19/23(a) | 500 | 542,837 | ||||||
2.65%, 06/12/24(a) | 500 | 534,962 | ||||||
(5 year USD Swap + 2.21%), | 500 | 561,961 | ||||||
Truist Bank | ||||||||
2.80%, 05/17/22(a) | 3,000 | 3,116,199 | ||||||
2.45%, 08/01/22 | 1,000 | 1,035,985 | ||||||
1.25%, 03/09/23 | 3,000 | 3,053,946 | ||||||
2.75%, 05/01/23(a) | 500 | 527,324 | ||||||
2.15%, 12/06/24 | 1,000 | 1,059,617 | ||||||
3.80%, 10/30/26 | 250 | 289,103 | ||||||
2.25%, 03/11/30 | 1,000 | 1,031,653 | ||||||
(3 mo. LIBOR US + 0.74%), | 365 | 396,257 | ||||||
(5 year CMT + 1.15%), 2.64%, 09/17/29(a)(c) | 1,000 | 1,037,426 | ||||||
Truist Financial Corp. | ||||||||
2.75%, 04/01/22(a) | 1,000 | 1,032,833 | ||||||
3.75%, 12/06/23 | 2,000 | 2,184,804 | ||||||
2.50%, 08/01/24 | 2,000 | 2,128,949 | ||||||
2.85%, 10/26/24 | 500 | 541,825 | ||||||
1.13%, 08/03/27 | 900 | 897,496 | ||||||
US Bancorp, 2.95%, 07/15/22 | 2,000 | 2,087,902 | ||||||
US Bancorp | ||||||||
2.40%, 07/30/24(a) | 1,000 | 1,063,711 | ||||||
3.90%, 04/26/28 | 2,000 | 2,380,790 | ||||||
1.38%, 07/22/30 | 4,000 | 3,968,091 | ||||||
Series V, 2.63%, 01/24/22(a) | 2,000 | 2,056,585 | ||||||
Series V, 2.38%, 07/22/26(a) | 500 | 544,904 | ||||||
US Bank NA(a) | ||||||||
3.40%, 07/24/23 | 3,000 | 3,238,053 |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
US Bank NA(a) (continued) | ||||||||
2.80%, 01/27/25 | $ | 500 | $ | 543,500 | ||||
Wells Fargo & Co. | ||||||||
3.50%, 03/08/22 | 4,000 | 4,169,299 | ||||||
2.63%, 07/22/22 | 3,750 | 3,887,993 | ||||||
3.07%, 01/24/23(a) | 2,500 | 2,578,556 | ||||||
4.13%, 08/15/23 | 1,750 | 1,911,379 | ||||||
4.48%, 01/16/24(a) | 250 | 277,148 | ||||||
3.75%, 01/24/24(a) | 2,000 | 2,173,042 | ||||||
3.30%, 09/09/24(a) | 750 | 816,980 | ||||||
3.00%, 02/19/25(a) | 350 | 378,539 | ||||||
3.55%, 09/29/25 | 1,000 | 1,113,289 | ||||||
3.00%, 04/22/26(a) | 1,750 | 1,905,099 | ||||||
4.10%, 06/03/26(a) | 2,020 | 2,277,877 | ||||||
3.00%, 10/23/26 | 1,750 | 1,912,910 | ||||||
4.30%, 07/22/27(a) | 1,500 | 1,718,648 | ||||||
4.15%, 01/24/29(a) | 1,000 | 1,176,083 | ||||||
5.38%, 11/02/43 | 900 | 1,191,376 | ||||||
5.61%, 01/15/44(a) | 656 | 895,352 | ||||||
4.65%, 11/04/44(a) | 3,345 | 4,081,925 | ||||||
3.90%, 05/01/45 | 1,150 | 1,344,639 | ||||||
4.90%, 11/17/45 | 1,500 | 1,907,657 | ||||||
4.40%, 06/14/46 | 600 | 716,728 | ||||||
4.75%, 12/07/46(a) | 1,600 | 1,992,492 | ||||||
5.95%, 12/01/86 | 250 | 327,898 | ||||||
(3 mo. LIBOR US + 0.75%), 2.16%, 02/11/26(c) | 1,500 | 1,557,557 | ||||||
(3 mo. LIBOR US + 0.83%), | 1,000 | 1,047,126 | ||||||
(3 mo. LIBOR US + 1.00%), | 1,500 | 1,574,717 | ||||||
(3 mo. LIBOR US + 1.17%), 3.20%, 06/17/27(c) | 1,335 | 1,456,925 | ||||||
(3 mo. LIBOR US + 1.17%), 2.88%, 10/30/30(c) | 2,000 | 2,147,795 | ||||||
(3 mo. LIBOR US + 1.31%), | 1,500 | 1,679,162 | ||||||
(3 mo. LIBOR US + 3.77%), 4.48%, 04/04/31(c) | 2,000 | 2,427,317 | ||||||
(3 mo. LIBOR US + 4.24%), | 3,000 | 4,105,942 | ||||||
(Secured Overnight Financing Rate + 1.60%), 1.65%, 06/02/24(c) | 3,000 | 3,055,946 | ||||||
(Secured Overnight Financing Rate + 2.00%), 2.19%, 04/30/26(a)(c) | 3,000 | 3,129,090 | ||||||
(Secured Overnight Financing Rate + 2.10%), 2.39%, 06/02/28(c) | 900 | 938,951 | ||||||
(Secured Overnight Financing Rate + 2.53%), 3.07%, 04/30/41(a)(c) | 2,000 | 2,092,201 | ||||||
Series M, 3.45%, 02/13/23(a) | 450 | 476,914 | ||||||
Wells Fargo Bank NA | ||||||||
3.55%, 08/14/23(a) | 500 | 541,301 | ||||||
6.60%, 01/15/38 | 500 | 734,680 | ||||||
Westpac Banking Corp. | ||||||||
2.80%, 01/11/22 | 1,000 | 1,032,141 | ||||||
2.75%, 01/11/23(a) | 3,000 | 3,162,533 | ||||||
2.00%, 01/13/23(a) | 180 | 186,593 | ||||||
2.35%, 02/19/25 | 500 | 533,580 | ||||||
2.85%, 05/13/26 | 500 | 555,275 | ||||||
3.40%, 01/25/28 | 500 | 575,959 | ||||||
2.65%, 01/16/30(a) | 295 | 326,701 |
4 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Banks (continued) | ||||||||
Westpac Banking Corp. (continued) | ||||||||
4.42%, 07/24/39(a) | $ | 1,000 | $ | 1,212,658 | ||||
(5 year CMT + 1.35%), 2.89%, 02/04/30(c) | 1,250 | 1,295,450 | ||||||
(5 year USD ICE Swap + 2.24%), | 750 | 848,580 | ||||||
Zions Bancorp NA, 3.25%, 10/29/29 | 1,000 | 996,668 | ||||||
|
| |||||||
232,669,218 | ||||||||
Beverages — 0.8% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.65%, 02/01/26(a) | 2,250 | 2,522,259 | ||||||
4.70%, 02/01/36(a) | 2,500 | 3,020,050 | ||||||
4.90%, 02/01/46 | 5,370 | 6,621,368 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
3.30%, 02/01/23(a) | 3,036 | 3,220,680 | ||||||
3.65%, 02/01/26 | 500 | 559,989 | ||||||
4.63%, 02/01/44 | 650 | 765,261 | ||||||
4.90%, 02/01/46(a) | 500 | 614,961 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.15%, 01/23/25(a) | 1,000 | 1,131,528 | ||||||
4.00%, 04/13/28(a) | 1,000 | 1,158,727 | ||||||
4.75%, 01/23/29(a) | 3,500 | 4,271,466 | ||||||
3.50%, 06/01/30(a) | 1,000 | 1,137,731 | ||||||
4.38%, 04/15/38(a) | 1,000 | 1,165,075 | ||||||
8.20%, 01/15/39(a) | 1,150 | 1,869,553 | ||||||
5.45%, 01/23/39(a) | 1,000 | 1,294,640 | ||||||
4.35%, 06/01/40 | 1,000 | 1,168,815 | ||||||
4.95%, 01/15/42 | 500 | 613,482 | ||||||
3.75%, 07/15/42 | 300 | 319,508 | ||||||
4.60%, 04/15/48 | 1,000 | 1,192,446 | ||||||
4.44%, 10/06/48 | 632 | 737,916 | ||||||
5.55%, 01/23/49(a) | 3,000 | 4,033,153 | ||||||
4.50%, 06/01/50 | 2,200 | 2,636,823 | ||||||
4.75%, 04/15/58 | 500 | 609,598 | ||||||
5.80%, 01/23/59(a) | 1,000 | 1,429,429 | ||||||
4.60%, 06/01/60 | 500 | 602,304 | ||||||
Coca-Cola Co. | ||||||||
3.20%, 11/01/23(a) | 2,000 | 2,174,812 | ||||||
1.75%, 09/06/24(a) | 1,000 | 1,045,091 | ||||||
2.88%, 10/27/25(a) | 125 | 138,703 | ||||||
2.55%, 06/01/26 | 750 | 820,013 | ||||||
2.90%, 05/25/27 | 250 | 280,931 | ||||||
2.13%, 09/06/29(a) | 1,000 | 1,070,253 | ||||||
3.45%, 03/25/30 | 500 | 589,650 | ||||||
2.60%, 06/01/50(a) | 1,000 | 1,004,102 | ||||||
2.50%, 03/15/51 | 3,000 | 2,997,013 | ||||||
2.75%, 06/01/60 | 600 | 609,374 | ||||||
Constellation Brands, Inc. | ||||||||
2.65%, 11/07/22(a) | 4,000 | 4,142,969 | ||||||
4.75%, 12/01/25 | 1,000 | 1,188,817 | ||||||
3.70%, 12/06/26(a) | 750 | 857,050 | ||||||
3.50%, 05/09/27 | 1,000 | 1,117,905 | ||||||
3.15%, 08/01/29(a) | 1,000 | 1,091,601 | ||||||
2.88%, 05/01/30 | 1,000 | 1,079,731 | ||||||
4.10%, 02/15/48(a) | 500 | 577,488 | ||||||
3.75%, 05/01/50(a) | 500 | 558,289 | ||||||
Diageo Capital PLC | ||||||||
2.63%, 04/29/23(a) | 250 | 262,266 | ||||||
3.50%, 09/18/23(a) | 2,000 | 2,166,557 | ||||||
1.38%, 09/29/25 | 500 | 512,423 | ||||||
3.88%, 05/18/28 | 1,000 | 1,177,724 |
Security | Par (000) | Value | ||||||
Beverages (continued) | ||||||||
Diageo Capital PLC (continued) | ||||||||
2.38%, 10/24/29(a) | $ | 830 | $ | 882,979 | ||||
2.00%, 04/29/30 | 1,000 | 1,031,353 | ||||||
2.13%, 04/29/32(a) | 1,000 | 1,044,386 | ||||||
3.88%, 04/29/43(a) | 125 | 150,030 | ||||||
Diageo Investment Corp. | ||||||||
2.88%, 05/11/22 | 100 | 103,944 | ||||||
4.25%, 05/11/42 | 250 | 309,226 | ||||||
Keurig Dr. Pepper, Inc. | ||||||||
2.70%, 11/15/22 | 100 | 103,871 | ||||||
4.06%, 05/25/23(a) | 3,500 | 3,804,570 | ||||||
4.42%, 05/25/25(a) | 250 | 287,986 | ||||||
4.60%, 05/25/28(a) | 750 | 900,653 | ||||||
3.20%, 05/01/30 | 500 | 560,970 | ||||||
4.99%, 05/25/38 | 250 | 324,825 | ||||||
4.42%, 12/15/46 | 500 | 615,870 | ||||||
5.09%, 05/25/48 | 750 | 1,003,789 | ||||||
3.80%, 05/01/50 | 500 | 575,260 | ||||||
Molson Coors Brewing Co. | ||||||||
3.50%, 05/01/22 | 75 | 77,977 | ||||||
3.00%, 07/15/26(a) | 2,345 | 2,500,051 | ||||||
5.00%, 05/01/42 | 750 | 849,416 | ||||||
4.20%, 07/15/46 | 500 | 527,420 | ||||||
PepsiCo, Inc. | ||||||||
2.75%, 03/05/22 | 250 | 258,655 | ||||||
3.10%, 07/17/22(a) | 500 | 523,113 | ||||||
2.75%, 03/01/23(a) | 300 | 317,273 | ||||||
0.75%, 05/01/23 | 295 | 297,999 | ||||||
3.60%, 03/01/24(a) | 250 | 274,118 | ||||||
2.25%, 03/19/25 | 2,400 | 2,570,743 | ||||||
2.75%, 04/30/25(a) | 1,000 | 1,090,366 | ||||||
3.50%, 07/17/25(a) | 250 | 281,531 | ||||||
2.85%, 02/24/26(a) | 500 | 555,221 | ||||||
2.38%, 10/06/26(a) | 1,000 | 1,089,000 | ||||||
3.00%, 10/15/27(a) | 500 | 564,863 | ||||||
2.63%, 07/29/29 | 1,000 | 1,106,320 | ||||||
2.75%, 03/19/30 | 1,400 | 1,567,108 | ||||||
1.63%, 05/01/30 | 600 | 616,408 | ||||||
3.60%, 08/13/42(a) | 100 | 118,338 | ||||||
4.60%, 07/17/45(a) | 500 | 685,037 | ||||||
4.45%, 04/14/46(a) | 1,000 | 1,331,046 | ||||||
3.45%, 10/06/46(a) | 2,250 | 2,608,168 | ||||||
3.38%, 07/29/49(a) | 600 | 692,982 | ||||||
2.88%, 10/15/49 | 500 | 537,509 | ||||||
3.63%, 03/19/50 | 1,400 | 1,697,196 | ||||||
|
| |||||||
102,597,094 | ||||||||
Biotechnology — 0.4% | ||||||||
Amgen, Inc. | ||||||||
3.88%, 11/15/21 | 829 | 852,578 | ||||||
2.70%, 05/01/22(a) | 500 | 517,019 | ||||||
2.65%, 05/11/22(a) | 2,000 | 2,069,034 | ||||||
2.25%, 08/19/23(a) | 250 | 261,189 | ||||||
3.63%, 05/22/24(a) | 250 | 275,155 | ||||||
3.13%, 05/01/25 | 750 | 823,445 | ||||||
2.60%, 08/19/26 | 715 | 777,320 | ||||||
3.20%, 11/02/27(a) | 2,000 | 2,240,043 | ||||||
3.15%, 02/21/40 | 1,000 | 1,063,853 | ||||||
4.95%, 10/01/41(a) | 2,000 | 2,645,791 | ||||||
4.40%, 05/01/45(a) | 1,925 | 2,384,869 | ||||||
4.56%, 06/15/48 | 500 | 640,132 | ||||||
3.38%, 02/21/50 | 2,000 | 2,149,475 |
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 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Biotechnology (continued) | ||||||||
Amgen, Inc. (continued) | ||||||||
4.66%, 06/15/51(a) | $ | 904 | $ | 1,176,867 | ||||
2.77%, 09/01/53(b) | 1,064 | 1,021,564 | ||||||
Baxalta, Inc. | ||||||||
4.00%, 06/23/25 | 1,398 | 1,583,416 | ||||||
5.25%, 06/23/45 | 105 | 145,793 | ||||||
Biogen Inc. | ||||||||
2.25%, 05/01/30(a) | 795 | 814,142 | ||||||
3.15%, 05/01/50 | 1,130 | 1,115,112 | ||||||
Biogen, Inc. | ||||||||
4.05%, 09/15/25 | 595 | 676,908 | ||||||
5.20%, 09/15/45(a) | 1,150 | 1,539,750 | ||||||
Gilead Sciences, Inc. | ||||||||
1.95%, 03/01/22 | 1,000 | 1,019,649 | ||||||
2.50%, 09/01/23(a) | 500 | 524,718 | ||||||
0.75%, 09/29/23 | 425 | 425,892 | ||||||
3.70%, 04/01/24 | 1,750 | 1,921,944 | ||||||
3.50%, 02/01/25(a) | 1,170 | 1,295,338 | ||||||
3.65%, 03/01/26(a) | 1,325 | 1,493,601 | ||||||
2.95%, 03/01/27(a) | 500 | 550,120 | ||||||
1.20%, 10/01/27 | 355 | 356,069 | ||||||
1.65%, 10/01/30 | 1,060 | 1,058,157 | ||||||
4.60%, 09/01/35(a) | 1,350 | 1,736,768 | ||||||
2.60%, 10/01/40 | 580 | 576,729 | ||||||
5.65%, 12/01/41 | 50 | 70,146 | ||||||
4.80%, 04/01/44 | 1,100 | 1,417,824 | ||||||
4.50%, 02/01/45(a) | 1,150 | 1,438,994 | ||||||
4.75%, 03/01/46(a) | 1,000 | 1,302,727 | ||||||
4.15%, 03/01/47(a) | 1,150 | 1,402,275 | ||||||
2.80%, 10/01/50 | 550 | 543,534 | ||||||
Regeneron Pharmaceuticals, Inc. | ||||||||
1.75%, 09/15/30 | 810 | 792,812 | ||||||
2.80%, 09/15/50 | 835 | 786,960 | ||||||
Royalty Pharma PLC(b) | ||||||||
1.75%, 09/02/27 | 1,500 | 1,503,915 | ||||||
3.30%, 09/02/40 | 1,000 | 991,721 | ||||||
|
| |||||||
45,983,348 | ||||||||
Building Materials — 0.1% | ||||||||
Carrier Global Corp.(b) | ||||||||
1.92%, 02/15/23 | 350 | 360,116 | ||||||
2.24%, 02/15/25 | 390 | 406,837 | ||||||
2.49%, 02/15/27(a) | 983 | 1,027,853 | ||||||
2.72%, 02/15/30 | 500 | 523,018 | ||||||
3.38%, 04/05/40 | 1,000 | 1,047,724 | ||||||
3.58%, 04/05/50 | 1,500 | 1,593,496 | ||||||
Fortune Brands Home & Security, Inc., 3.25%, 09/15/29 | 500 | 551,937 | ||||||
Johnson Controls International PLC | ||||||||
3.63%, 07/02/24(d) | 75 | 81,641 | ||||||
4.63%, 07/02/44 | 750 | 937,644 | ||||||
5.13%, 09/14/45 | 24 | 31,684 | ||||||
4.50%, 02/15/47 | 250 | 313,196 | ||||||
4.95%, 07/02/64(d) | 179 | 231,546 | ||||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 1.75%, 09/15/30(a) | 395 | 397,498 | ||||||
Martin Marietta Materials, Inc. | ||||||||
2.50%, 03/15/30 | 1,000 | 1,041,716 | ||||||
4.25%, 12/15/47(a) | 250 | 285,319 | ||||||
Masco Corp., 4.38%, 04/01/26(a) | 1,000 | 1,160,943 |
Security | Par (000) | Value | ||||||
Building Materials (continued) | ||||||||
Owens Corning | ||||||||
4.20%, 12/01/24(a) | $ | 250 | $ | 275,545 | ||||
3.88%, 06/01/30 | 300 | 339,586 | ||||||
4.40%, 01/30/48 | 1,000 | 1,113,698 | ||||||
Vulcan Materials Co. | ||||||||
3.90%, 04/01/27(a) | 1,000 | 1,133,358 | ||||||
4.50%, 06/15/47 | 500 | 580,961 | ||||||
|
| |||||||
13,435,316 | ||||||||
Building Products — 0.2% | ||||||||
Allegion PLC, 3.50%, 10/01/29(a) | 500 | 545,767 | ||||||
Home Depot Inc. (The) | ||||||||
2.70%, 04/15/30(a) | 300 | 333,862 | ||||||
3.13%, 12/15/49 | 600 | 669,344 | ||||||
3.35%, 04/15/50(a) | 1,565 | 1,811,657 | ||||||
Home Depot, Inc. | ||||||||
2.63%, 06/01/22(a) | 2,750 | 2,855,165 | ||||||
3.35%, 09/15/25(a) | 1,500 | 1,690,389 | ||||||
2.13%, 09/15/26(a) | 500 | 538,525 | ||||||
2.50%, 04/15/27 | 800 | 869,542 | ||||||
2.80%, 09/14/27 | 500 | 552,136 | ||||||
3.90%, 12/06/28(a) | 440 | 521,285 | ||||||
2.95%, 06/15/29(a) | 590 | 666,158 | ||||||
5.88%, 12/16/36 | 100 | 150,581 | ||||||
3.30%, 04/15/40 | 1,100 | 1,249,618 | ||||||
5.40%, 09/15/40 | 500 | 711,296 | ||||||
4.20%, 04/01/43 | 750 | 939,251 | ||||||
4.40%, 03/15/45(a) | 2,250 | 2,916,250 | ||||||
4.25%, 04/01/46(a) | 1,000 | 1,277,554 | ||||||
3.90%, 06/15/47 | 500 | 617,322 | ||||||
4.50%, 12/06/48 | 1,000 | 1,336,689 | ||||||
3.50%, 09/15/56 | 140 | 164,770 | ||||||
Lowe’s Cos., Inc. | ||||||||
3.80%, 11/15/21(a) | 250 | 257,814 | ||||||
3.12%, 04/15/22 | 1,600 | 1,656,775 | ||||||
3.38%, 09/15/25(a) | 500 | 557,700 | ||||||
2.50%, 04/15/26(a) | 955 | 1,035,302 | ||||||
3.65%, 04/05/29(a) | 500 | 577,435 | ||||||
4.50%, 04/15/30 | 1,000 | 1,240,558 | ||||||
5.00%, 04/15/40 | 1,000 | 1,310,824 | ||||||
4.25%, 09/15/44 | 250 | 298,863 | ||||||
4.38%, 09/15/45(a) | 1,000 | 1,232,933 | ||||||
3.70%, 04/15/46(a) | 250 | 286,690 | ||||||
4.05%, 05/03/47(a) | 1,000 | 1,195,818 | ||||||
4.55%, 04/05/49(a) | 500 | 641,584 | ||||||
5.13%, 04/15/50 | 1,000 | 1,380,113 | ||||||
|
| |||||||
32,089,570 | ||||||||
Capital Markets — 0.7% | ||||||||
Ameriprise Financial, Inc. | ||||||||
4.00%, 10/15/23 | 150 | 165,739 | ||||||
2.88%, 09/15/26 | 500 | 549,256 | ||||||
Ares Capital Corp. | ||||||||
4.20%, 06/10/24 | 500 | 520,849 | ||||||
3.25%, 07/15/25(a) | 875 | 866,723 | ||||||
Bank of New York Mellon Corp. | ||||||||
2.60%, 02/07/22(a) | 1,000 | 1,028,965 | ||||||
1.95%, 08/23/22(a) | 1,000 | 1,031,122 | ||||||
3.45%, 08/11/23(a) | 500 | 543,127 | ||||||
2.20%, 08/16/23(a) | 1,000 | 1,048,828 | ||||||
2.10%, 10/24/24(a) | 250 | 264,571 | ||||||
2.80%, 05/04/26 | 70 | 77,452 |
6 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
Bank of New York Mellon Corp. (continued) | ||||||||
3.25%, 05/16/27 | $ | 750 | $ | 852,401 | ||||
3.85%, 04/28/28(a) | 2,000 | 2,415,440 | ||||||
3.30%, 08/23/29(a) | 1,000 | 1,145,120 | ||||||
Series G, 3.00%, 02/24/25 | 105 | 115,135 | ||||||
Bank of New York Mellon Corp. (The), 1.85%, 01/27/23 | 245 | 252,776 | ||||||
Brookfield Finance Inc., 4.35%, 04/15/30 | 2,000 | 2,334,878 | ||||||
Brookfield Finance, Inc. | ||||||||
4.00%, 04/01/24(a) | 150 | 165,123 | ||||||
3.90%, 01/25/28 | 1,000 | 1,113,604 | ||||||
4.70%, 09/20/47 | 500 | 589,084 | ||||||
Charles Schwab Corp. | ||||||||
3.00%, 03/10/25(a) | 80 | 87,472 | ||||||
3.85%, 05/21/25(a) | 1,000 | 1,132,408 | ||||||
3.20%, 01/25/28(a) | 1,000 | 1,125,405 | ||||||
3.25%, 05/22/29 | 200 | 229,985 | ||||||
4.63%, 03/22/30(a) | 1,000 | 1,261,242 | ||||||
E*TRADE Financial Corp., 4.50%, 06/20/28 | 1,000 | 1,173,365 | ||||||
Franklin Resources, Inc., 2.80%, 09/15/22(a) | 150 | 156,633 | ||||||
FS KKR Capital Corp. | ||||||||
4.63%, 07/15/24(a) | 500 | 505,724 | ||||||
4.13%, 02/01/25 | 100 | 99,373 | ||||||
Invesco Finance PLC | ||||||||
4.00%, 01/30/24(a) | 250 | 273,348 | ||||||
5.38%, 11/30/43 | 500 | 623,388 | ||||||
Jefferies Financial Group, Inc., | 150 | 165,071 | ||||||
Jefferies Group LLC, 5.13%, 01/20/23 | 650 | 708,514 | ||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.(a) | ||||||||
4.85%, 01/15/27 | 1,000 | 1,129,413 | ||||||
4.15%, 01/23/30 | 1,000 | 1,127,005 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.00%, 11/30/21(a) | 2,000 | 2,041,394 | ||||||
3.13%, 12/15/21 | 4,000 | 4,140,427 | ||||||
2.63%, 01/25/22 | 2,000 | 2,063,420 | ||||||
2.50%, 02/15/22 | 3,000 | 3,094,072 | ||||||
2.13%, 03/07/22(a) | 2,000 | 2,054,880 | ||||||
2.13%, 06/15/22 | 2,250 | 2,322,888 | ||||||
2.38%, 12/29/22 | 3,000 | 3,144,342 | ||||||
2.13%, 01/17/23 | 5,200 | 5,422,196 | ||||||
1.63%, 02/15/23 | 4,000 | 4,130,467 | ||||||
2.63%, 02/28/24 | 1,000 | 1,079,276 | ||||||
1.38%, 08/05/24 | 3,000 | 3,121,832 | ||||||
2.50%, 11/20/24 | 2,000 | 2,177,594 | ||||||
2.00%, 05/02/25(a) | 2,000 | 2,146,600 | ||||||
0.38%, 07/18/25 | 2,000 | 1,995,443 | ||||||
2.88%, 04/03/28(a) | 5,000 | 5,819,863 | ||||||
1.75%, 09/14/29 | 1,500 | 1,626,150 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
2.38%, 06/10/25 | 2,000 | 2,179,353 | ||||||
Series 36, 2.00%, 12/06/21 | 2,000 | 2,041,613 | ||||||
Lazard Group LLC, 4.38%, 03/11/29 | 1,000 | 1,147,905 | ||||||
Legg Mason, Inc., 5.63%, 01/15/44 | 625 | 865,377 | ||||||
Nomura Holdings Inc.(a) | ||||||||
3.10%, 01/16/30 | 900 | 954,771 | ||||||
2.68%, 07/16/30 | 2,000 | 2,064,572 | ||||||
Nomura Holdings, Inc., 2.65%, 01/16/25 | 900 | 947,781 |
Security | Par (000) | Value | ||||||
Capital Markets (continued) | ||||||||
Northern Trust Corp. | ||||||||
3.65%, 08/03/28(a) | $ | 250 | $ | 295,522 | ||||
3.15%, 05/03/29 | 500 | 570,215 | ||||||
Oesterreichische Kontrollbank AG | ||||||||
2.88%, 03/13/23 | 2,000 | 2,125,434 | ||||||
1.50%, 02/12/25 | 1,000 | 1,047,749 | ||||||
Owl Rock Capital Corp. | ||||||||
4.00%, 03/30/25(a) | 345 | 348,052 | ||||||
3.75%, 07/22/25 | 265 | 264,181 | ||||||
Raymond James Financial, Inc., 4.95%, 07/15/46 | 500 | 646,644 | ||||||
State Street Corp. | ||||||||
3.10%, 05/15/23(a) | 250 | 266,498 | ||||||
3.30%, 12/16/24(a) | 405 | 448,544 | ||||||
2.65%, 05/19/26 | 1,000 | 1,095,032 | ||||||
2.40%, 01/24/30(a) | 300 | 328,564 | ||||||
(3 mo. LIBOR US + 0.64%), | 1,000 | 1,035,350 | ||||||
(Secured Overnight Financing Rate + 0.94%), 2.35%, 11/01/25(a)(c) | 450 | 476,341 | ||||||
(Secured Overnight Financing Rate + 1.49%), 3.03%, 11/01/34(c) | 200 | 218,006 | ||||||
(Secured Overnight Financing Rate + 2.60%), 2.90%, 03/30/26(b)(c) | 1,000 | 1,087,355 | ||||||
TD Ameritrade Holding Corp. | ||||||||
2.95%, 04/01/22 | 250 | 258,437 | ||||||
3.63%, 04/01/25 | 1,000 | 1,120,136 | ||||||
2.75%, 10/01/29(a) | 1,000 | 1,107,330 | ||||||
TPG Specialty Lending, Inc., 3.88%, 11/01/24(a) | 500 | 506,526 | ||||||
|
| |||||||
94,706,671 | ||||||||
Chemicals — 0.4% | ||||||||
Air Products and Chemicals, Inc. | ||||||||
1.50%, 10/15/25 | 85 | 88,176 | ||||||
1.85%, 05/15/27 | 415 | 435,883 | ||||||
2.05%, 05/15/30 | 430 | 451,351 | ||||||
2.70%, 05/15/40 | 495 | 527,140 | ||||||
2.80%, 05/15/50 | 395 | 421,290 | ||||||
Albemarle Corp., 4.15%, 12/01/24 | 250 | 272,384 | ||||||
Cabot Corp., 4.00%, 07/01/29 | 1,500 | 1,592,387 | ||||||
Dow Chemical Co. | ||||||||
3.50%, 10/01/24(a) | 500 | 547,880 | ||||||
4.80%, 11/30/28(a) | 300 | 361,447 | ||||||
4.25%, 10/01/34(a) | 1,600 | 1,869,591 | ||||||
9.40%, 05/15/39 | 250 | 426,589 | ||||||
5.25%, 11/15/41 | 100 | 123,076 | ||||||
4.38%, 11/15/42(a) | 250 | 282,934 | ||||||
5.55%, 11/30/48(a) | 1,000 | 1,338,018 | ||||||
4.80%, 05/15/49 | 1,000 | 1,193,399 | ||||||
3.60%, 11/15/50 | 1,000 | 1,012,207 | ||||||
DuPont de Nemours, Inc. | ||||||||
4.21%, 11/15/23 | 2,000 | 2,196,115 | ||||||
4.73%, 11/15/28 | 1,500 | 1,801,752 | ||||||
5.32%, 11/15/38(a) | 750 | 951,718 | ||||||
5.42%, 11/15/48(a) | 1,500 | 2,005,726 | ||||||
Eastman Chemical Co. | ||||||||
3.60%, 08/15/22(a) | 200 | 209,793 | ||||||
3.80%, 03/15/25(a) | 1,050 | 1,158,870 | ||||||
4.50%, 12/01/28 | 1,000 | 1,175,948 | ||||||
4.80%, 09/01/42(a) | 250 | 296,162 | ||||||
Ecolab, Inc. | ||||||||
2.38%, 08/10/22(a) | 500 | 518,134 |
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 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Chemicals (continued) | ||||||||
Ecolab, Inc. (continued) | ||||||||
3.25%, 01/14/23 | $ | 250 | $ | 264,571 | ||||
3.25%, 12/01/27 | 1,000 | 1,134,317 | ||||||
4.80%, 03/24/30 | 500 | 637,771 | ||||||
1.30%, 01/30/31 | 800 | 783,315 | ||||||
3.70%, 11/01/46 | 250 | 288,320 | ||||||
2.13%, 08/15/50 | 800 | 734,359 | ||||||
EI du Pont de Nemours and Co. | ||||||||
1.70%, 07/15/25 | 800 | 830,388 | ||||||
2.30%, 07/15/30 | 800 | 848,748 | ||||||
Emerson Electric Co. | ||||||||
2.63%, 12/01/21 | 750 | 769,401 | ||||||
2.63%, 02/15/23(a) | 350 | 366,683 | ||||||
2.75%, 10/15/50 | 1,000 | 1,017,310 | ||||||
FMC Corp. | ||||||||
3.20%, 10/01/26(a) | 155 | 171,260 | ||||||
3.45%, 10/01/29(a) | 115 | 128,075 | ||||||
4.50%, 10/01/49 | 165 | 203,113 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
4.45%, 09/26/28 | 500 | 586,796 | ||||||
5.00%, 09/26/48(a) | 500 | 618,698 | ||||||
Linde, Inc. | ||||||||
2.70%, 02/21/23(a) | 1,000 | 1,049,374 | ||||||
2.65%, 02/05/25(a) | 165 | 178,671 | ||||||
3.20%, 01/30/26(a) | 250 | 280,678 | ||||||
1.10%, 08/10/30 | 900 | 874,451 | ||||||
2.00%, 08/10/50 | 705 | 635,909 | ||||||
LYB International Finance BV | ||||||||
4.00%, 07/15/23 | 450 | 487,506 | ||||||
5.25%, 07/15/43 | 75 | 91,677 | ||||||
4.88%, 03/15/44 | 350 | 418,355 | ||||||
LYB International Finance II BV, | 1,000 | 1,110,184 | ||||||
LYB International Finance III LLC | ||||||||
3.38%, 05/01/30 | 1,000 | 1,087,282 | ||||||
4.20%, 10/15/49(a) | 830 | 914,098 | ||||||
4.20%, 05/01/50(a) | 500 | 557,435 | ||||||
LyondellBasell Industries NV, | 600 | 682,471 | ||||||
Mosaic Co. | ||||||||
3.75%, 11/15/21(a) | 50 | 51,303 | ||||||
4.25%, 11/15/23 | 1,000 | 1,085,352 | ||||||
4.05%, 11/15/27(a) | 1,000 | 1,112,748 | ||||||
5.45%, 11/15/33(a) | 250 | 290,832 | ||||||
Nutrien Ltd. | ||||||||
3.15%, 10/01/22 | 1,050 | 1,096,871 | ||||||
3.50%, 06/01/23(a) | 250 | 266,803 | ||||||
3.63%, 03/15/24(a) | 250 | 272,198 | ||||||
3.38%, 03/15/25(a) | 1,395 | 1,540,359 | ||||||
3.00%, 04/01/25(a) | 250 | 270,496 | ||||||
4.00%, 12/15/26 | 250 | 290,199 | ||||||
4.90%, 06/01/43 | 500 | 618,703 | ||||||
5.00%, 04/01/49 | 750 | 989,312 | ||||||
3.95%, 05/13/50 | 1,000 | 1,143,334 | ||||||
PPG Industries, Inc. | ||||||||
2.40%, 08/15/24 | 1,000 | 1,063,844 | ||||||
2.80%, 08/15/29 | 1,000 | 1,086,566 | ||||||
Rohm & Haas Co., 7.85%, 07/15/29 | 250 | 352,666 | ||||||
RPM International, Inc., 5.25%, 06/01/45 | 250 | 301,091 | ||||||
Sherwin-Williams Co. | ||||||||
3.95%, 01/15/26 | 500 | 561,124 |
Security | Par (000) | Value | ||||||
Chemicals (continued) | ||||||||
Sherwin-Williams Co. (continued) | ||||||||
3.45%, 06/01/27(a) | $ | 250 | $ | 280,754 | ||||
2.95%, 08/15/29(a) | 620 | 682,371 | ||||||
4.50%, 06/01/47 | 1,000 | 1,242,283 | ||||||
3.80%, 08/15/49 | 880 | 1,001,376 | ||||||
Westlake Chemical Corp. | ||||||||
3.60%, 08/15/26(a) | 500 | 549,245 | ||||||
3.38%, 06/15/30 | 300 | 321,759 | ||||||
5.00%, 08/15/46 | 750 | 877,316 | ||||||
|
| |||||||
56,358,091 | ||||||||
Commercial Services & Supplies(a) — 0.0% | ||||||||
GATX Corp. | ||||||||
3.25%, 09/15/26 | 750 | 814,236 | ||||||
4.70%, 04/01/29 | 1,000 | 1,195,192 | ||||||
|
| |||||||
2,009,428 | ||||||||
Communications Equipment — 0.1% | ||||||||
Cisco Systems, Inc. | ||||||||
3.00%, 06/15/22(a) | 3,000 | 3,143,621 | ||||||
2.60%, 02/28/23(a) | 500 | 527,505 | ||||||
2.20%, 09/20/23(a) | 1,000 | 1,049,930 | ||||||
3.63%, 03/04/24(a) | 1,000 | 1,108,058 | ||||||
2.95%, 02/28/26 | 1,500 | 1,671,052 | ||||||
2.50%, 09/20/26(a) | 1,000 | 1,100,809 | ||||||
5.90%, 02/15/39(a) | 500 | 747,044 | ||||||
5.50%, 01/15/40(a) | 850 | 1,261,079 | ||||||
Juniper Networks, Inc. | ||||||||
4.35%, 06/15/25(a) | 250 | 281,542 | ||||||
3.75%, 08/15/29(a) | 500 | 574,033 | ||||||
5.95%, 03/15/41 | 500 | 633,667 | ||||||
|
| |||||||
12,098,340 | ||||||||
Construction Materials — 0.0% | ||||||||
WW Grainger, Inc., 4.60%, 06/15/45 | 1,250 | 1,607,305 | ||||||
|
| |||||||
Consumer Discretionary — 0.0% | ||||||||
Cintas Corp. No. 2 | ||||||||
2.90%, 04/01/22 | 250 | 258,608 | ||||||
3.70%, 04/01/27(a) | 500 | 576,410 | ||||||
RELX Capital, Inc., 3.50%, 03/16/23 | 300 | 319,062 | ||||||
|
| |||||||
1,154,080 | ||||||||
Consumer Finance — 0.5% | ||||||||
American Express Co. | ||||||||
2.75%, 05/20/22(a) | 1,000 | 1,035,553 | ||||||
2.65%, 12/02/22(a) | 1,000 | 1,047,599 | ||||||
3.40%, 02/27/23(a) | 2,000 | 2,130,730 | ||||||
3.70%, 08/03/23 | 2,000 | 2,171,134 | ||||||
3.40%, 02/22/24(a) | 3,000 | 3,261,568 | ||||||
2.50%, 07/30/24(a) | 655 | 697,135 | ||||||
3.00%, 10/30/24(a) | 1,000 | 1,084,942 | ||||||
3.63%, 12/05/24 | 300 | 331,570 | ||||||
3.13%, 05/20/26 | 3,000 | 3,345,384 | ||||||
4.05%, 12/03/42 | 67 | 84,450 | ||||||
American Express Credit Corp. | ||||||||
2.70%, 03/03/22(a) | 1,000 | 1,031,089 | ||||||
3.30%, 05/03/27 | 500 | 564,738 | ||||||
Andrew W Mellon Foundation (The), | 112 | 112,091 | ||||||
Automatic Data Processing, Inc., 1.25%, 09/01/30 | 2,000 | 1,973,098 |
8 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Consumer Finance (continued) | ||||||||
Capital One Bank USA NA, 3.38%, 02/15/23 | $ | 350 | $ | 370,151 | ||||
Capital One Financial Corp. | ||||||||
3.20%, 01/30/23(a) | 4,000 | 4,222,724 | ||||||
3.50%, 06/15/23 | 110 | 117,619 | ||||||
3.75%, 04/24/24 | 250 | 272,067 | ||||||
3.30%, 10/30/24(a) | 1,000 | 1,083,869 | ||||||
3.20%, 02/05/25 | 250 | 270,083 | ||||||
4.20%, 10/29/25(a) | 340 | 377,410 | ||||||
3.75%, 07/28/26(a) | 230 | 250,484 | ||||||
3.75%, 03/09/27(a) | 500 | 555,173 | ||||||
3.65%, 05/11/27(a) | 2,000 | 2,215,902 | ||||||
3.80%, 01/31/28(a) | 1,000 | 1,116,007 | ||||||
Discover Financial Services(a) | ||||||||
3.95%, 11/06/24 | 350 | 385,140 | ||||||
3.75%, 03/04/25 | 75 | 81,442 | ||||||
Equifax, Inc.(a) | ||||||||
2.60%, 12/01/24 | 1,000 | 1,068,186 | ||||||
3.25%, 06/01/26 | 250 | 269,105 | ||||||
Global Payments, Inc. | ||||||||
4.00%, 06/01/23(a) | 1,000 | 1,083,461 | ||||||
4.80%, 04/01/26(a) | 500 | 583,750 | ||||||
3.20%, 08/15/29 | 250 | 272,686 | ||||||
2.90%, 05/15/30 | 1,815 | 1,942,068 | ||||||
4.15%, 08/15/49(a) | 355 | 416,700 | ||||||
IHS Markit Ltd. | ||||||||
4.75%, 08/01/28 | 300 | 356,877 | ||||||
4.25%, 05/01/29 | 1,000 | 1,160,080 | ||||||
Mastercard, Inc. | ||||||||
3.38%, 04/01/24(a) | 250 | 275,098 | ||||||
2.00%, 03/03/25(a) | 1,200 | 1,277,613 | ||||||
3.30%, 03/26/27 | 235 | 267,875 | ||||||
3.50%, 02/26/28(a) | 1,000 | 1,165,972 | ||||||
2.95%, 06/01/29 | 1,500 | 1,694,094 | ||||||
3.35%, 03/26/30(a) | 330 | 386,944 | ||||||
3.65%, 06/01/49 | 500 | 611,459 | ||||||
3.85%, 03/26/50 | 1,050 | 1,340,558 | ||||||
Moody’s Corp. | ||||||||
4.50%, 09/01/22 | 550 | 587,058 | ||||||
4.88%, 02/15/24(a) | 500 | 565,103 | ||||||
3.25%, 01/15/28 | 750 | 843,871 | ||||||
4.25%, 02/01/29(a) | 1,000 | 1,196,966 | ||||||
3.25%, 05/20/50 | 135 | 144,533 | ||||||
2.55%, 08/18/60 | 1,000 | 924,811 | ||||||
PayPal Holdings, Inc. | ||||||||
1.35%, 06/01/23 | 395 | 403,468 | ||||||
2.40%, 10/01/24(a) | 1,170 | 1,239,671 | ||||||
1.65%, 06/01/25 | 440 | 455,716 | ||||||
2.85%, 10/01/29(a) | 1,335 | 1,469,345 | ||||||
2.30%, 06/01/30 | 465 | 491,758 | ||||||
3.25%, 06/01/50 | 585 | 647,134 | ||||||
S&P Global, Inc. | ||||||||
2.50%, 12/01/29(a) | 320 | 348,401 | ||||||
1.25%, 08/15/30 | 430 | 423,055 | ||||||
3.25%, 12/01/49 | 225 | 257,094 | ||||||
2.30%, 08/15/60 | 150 | 135,889 | ||||||
Synchrony Financial | ||||||||
2.85%, 07/25/22 | 175 | 180,101 | ||||||
4.50%, 07/23/25(a) | 190 | 209,740 | ||||||
3.95%, 12/01/27 | 1,000 | 1,076,122 |
Security | Par (000) | Value | ||||||
Consumer Finance (continued) | ||||||||
Synchrony Financial (continued) | ||||||||
5.15%, 03/19/29(a) | $ | 500 | $ | 577,994 | ||||
Visa, Inc. | ||||||||
2.15%, 09/15/22 | 2,000 | 2,070,411 | ||||||
2.80%, 12/14/22(a) | 750 | 787,936 | ||||||
3.15%, 12/14/25(a) | 1,945 | 2,176,153 | ||||||
2.75%, 09/15/27 | 1,150 | 1,272,757 | ||||||
1.10%, 02/15/31 | 1,400 | 1,374,292 | ||||||
4.15%, 12/14/35 | 500 | 647,468 | ||||||
2.70%, 04/15/40 | 1,000 | 1,081,684 | ||||||
4.30%, 12/14/45(a) | 1,750 | 2,324,402 | ||||||
3.65%, 09/15/47 | 195 | 239,151 | ||||||
2.00%, 08/15/50 | 1,100 | 1,009,588 | ||||||
Western Union Co., 6.20%, 11/17/36(a) | 525 | 632,648 | ||||||
|
| |||||||
70,155,998 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Bemis Co. Inc., 2.63%, 06/19/30 | 275 | 293,141 | ||||||
Fibria Overseas Finance, Ltd., 5.50%, 01/17/27 | 1,000 | 1,130,938 | ||||||
Georgia-Pacific LLC, 8.88%, 05/15/31 | 525 | 848,742 | ||||||
International Paper Co. | ||||||||
5.00%, 09/15/35 | 250 | 325,508 | ||||||
7.30%, 11/15/39 | 250 | 365,427 | ||||||
4.80%, 06/15/44 | 250 | 309,380 | ||||||
5.15%, 05/15/46(a) | 1,000 | 1,308,978 | ||||||
4.40%, 08/15/47(a) | 500 | 610,784 | ||||||
4.35%, 08/15/48(a) | 750 | 918,028 | ||||||
Packaging Corp. of America | ||||||||
4.50%, 11/01/23 | 250 | 276,502 | ||||||
3.00%, 12/15/29(a) | 200 | 219,053 | ||||||
4.05%, 12/15/49 | 650 | 777,077 | ||||||
WestRock MWV LLC, 8.20%, 01/15/30(a) | 100 | 140,909 | ||||||
WRKCo, Inc. | ||||||||
4.65%, 03/15/26(a) | 1,170 | 1,373,808 | ||||||
3.38%, 09/15/27(a) | 500 | 549,097 | ||||||
4.00%, 03/15/28 | 1,000 | 1,144,625 | ||||||
4.90%, 03/15/29(a) | 1,000 | 1,228,683 | ||||||
|
| |||||||
11,820,680 | ||||||||
Diversified Financial Services — 4.1% | ||||||||
AERCAP IRELAND CAP/GLOBA Co. GUAR | ||||||||
01/24 4.875, 4.88%, 01/16/24(a) | 1,000 | 1,035,751 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
3.95%, 02/01/22(a) | 1,250 | 1,265,530 | ||||||
3.30%, 01/23/23 | 500 | 501,789 | ||||||
2.88%, 08/14/24(a) | 1,000 | 963,141 | ||||||
6.50%, 07/15/25(a) | 1,000 | 1,079,566 | ||||||
3.65%, 07/21/27(a) | 1,000 | 915,991 | ||||||
3.88%, 01/23/28(a) | 500 | 460,863 | ||||||
Air Lease Corp. | ||||||||
2.25%, 01/15/23(a) | 1,095 | 1,101,947 | ||||||
4.25%, 09/15/24 | 250 | 261,556 | ||||||
2.30%, 02/01/25(a) | 375 | 368,973 | ||||||
3.25%, 03/01/25(a) | 2,000 | 2,034,550 | ||||||
3.38%, 07/01/25 | 1,000 | 1,021,860 | ||||||
3.63%, 12/01/27(a) | 200 | 198,100 | ||||||
3.25%, 10/01/29(a) | 500 | 474,285 | ||||||
3.00%, 02/01/30 | 400 | 372,497 | ||||||
Aircastle Ltd. | ||||||||
5.00%, 04/01/23 | 100 | 100,225 |
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 | 9 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Aircastle Ltd. (continued) | ||||||||
4.13%, 05/01/24(a) | $ | 1,000 | $ | 985,607 | ||||
4.25%, 06/15/26 | 500 | 462,440 | ||||||
Ally Financial, Inc. | ||||||||
4.13%, 02/13/22 | 500 | 518,150 | ||||||
4.63%, 05/19/22 | 500 | 525,258 | ||||||
3.05%, 06/05/23 | 2,000 | 2,078,245 | ||||||
1.45%, 10/02/23 | 335 | 334,629 | ||||||
3.88%, 05/21/24(a) | 1,500 | 1,598,540 | ||||||
5.13%, 09/30/24 | 2,300 | 2,563,336 | ||||||
4.63%, 03/30/25 | 1,500 | 1,647,670 | ||||||
5.80%, 05/01/25 | 500 | 576,680 | ||||||
Banco Santander SA | ||||||||
3.50%, 04/11/22 | 1,600 | 1,659,642 | ||||||
3.13%, 02/23/23(a) | 1,000 | 1,047,505 | ||||||
2.71%, 06/27/24 | 1,000 | 1,058,020 | ||||||
2.75%, 05/28/25(a) | 1,400 | 1,468,534 | ||||||
5.18%, 11/19/25(a) | 200 | 226,469 | ||||||
3.80%, 02/23/28(a) | 600 | 659,459 | ||||||
4.38%, 04/12/28(a) | 1,000 | 1,134,848 | ||||||
3.31%, 06/27/29 | 600 | 652,634 | ||||||
3.49%, 05/28/30(a) | 800 | 872,319 | ||||||
Bank of America Corp. | ||||||||
2.50%, 10/21/22(a) | 1,000 | 1,021,479 | ||||||
3.30%, 01/11/23(a) | 1,000 | 1,061,488 | ||||||
4.10%, 07/24/23(a) | 4,000 | 4,379,232 | ||||||
4.00%, 04/01/24(a) | 500 | 554,116 | ||||||
4.20%, 08/26/24(a) | 750 | 835,229 | ||||||
4.00%, 01/22/25 | 750 | 835,500 | ||||||
3.88%, 08/01/25 | 2,250 | 2,557,080 | ||||||
4.45%, 03/03/26 | 1,340 | 1,545,481 | ||||||
3.50%, 04/19/26 | 645 | 722,687 | ||||||
4.25%, 10/22/26 | 1,290 | 1,493,727 | ||||||
3.25%, 10/21/27(a) | 1,375 | 1,521,139 | ||||||
6.11%, 01/29/37(a) | 350 | 494,079 | ||||||
7.75%, 05/14/38(a) | 200 | 331,237 | ||||||
5.88%, 02/07/42 | 1,100 | 1,624,793 | ||||||
5.00%, 01/21/44(a) | 1,250 | 1,726,068 | ||||||
(3 mo. LIBOR US + 0.64%), | 1,400 | 1,451,919 | ||||||
(3 mo. LIBOR US + 0.78%), | 1,000 | 1,064,960 | ||||||
(3 mo. LIBOR US + 0.79%), | 5,144 | 5,400,147 | ||||||
(3 mo. LIBOR US + 0.81%), | 2,000 | 2,182,943 | ||||||
(3 mo. LIBOR US + 0.87%), | 385 | 405,916 | ||||||
(3 mo. LIBOR US + 0.93%), | 500 | 519,312 | ||||||
(3 mo. LIBOR US + 0.94%), | 1,500 | 1,624,475 | ||||||
(3 mo. LIBOR US + 0.99%), | 3,500 | 3,679,746 | ||||||
(3 mo. LIBOR US + 1.02%), | 1,000 | 1,034,389 | ||||||
(3 mo. LIBOR US + 1.04%), | 2,544 | 2,830,901 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Bank of America Corp. (continued) | ||||||||
(3 mo. LIBOR US + 1.06%), | $ | 1,000 | $ | 1,116,930 | ||||
(3 mo. LIBOR US + 1.07%), | 1,000 | 1,147,367 | ||||||
(3 mo. LIBOR US + 1.09%), | 1,000 | 1,078,300 | ||||||
(3 mo. LIBOR US + 1.18%), 3.19%, 07/23/30(c) | 4,965 | 5,462,323 | ||||||
(3 mo. LIBOR US + 1.19%), 2.88%, 10/22/30(c) | 1,000 | 1,080,092 | ||||||
(3 mo. LIBOR US + 1.19%), | 600 | 730,679 | ||||||
(3 mo. LIBOR US + 1.21%), | 2,650 | 3,070,804 | ||||||
(3 mo. LIBOR US + 1.31%), | 1,450 | 1,700,940 | ||||||
(3 mo. LIBOR US + 1.32%), 4.08%, 04/23/40(c) | 1,000 | 1,190,685 | ||||||
(3 mo. LIBOR US + 1.37%), | 500 | 561,529 | ||||||
(3 mo. LIBOR US + 1.51%), 3.71%, 04/24/28(c) | 1,000 | 1,130,785 | ||||||
(3 mo. LIBOR US + 1.52%), 4.33%, 03/15/50(c) | 2,000 | 2,542,715 | ||||||
(3 mo. LIBOR US + 1.58%), 3.82%, 01/20/28(c) | 2,000 | 2,260,540 | ||||||
(3 mo. LIBOR US + 1.81%), 4.24%, 04/24/38(c) | 1,500 | 1,827,918 | ||||||
(3 mo. LIBOR US + 1.99%), 4.44%, 01/20/48(c) | 1,150 | 1,497,244 | ||||||
(3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51(c) | 2,900 | 3,591,188 | ||||||
(Secured Overnight Financing Rate + 1.15%), 1.32%, 06/19/26(c) | 1,700 | 1,712,810 | ||||||
(Secured Overnight Financing Rate + 1.93%), 2.68%, 06/19/41(c) | 3,000 | 3,063,244 | ||||||
(Secured Overnight Financing Rate + 2.15%), 2.59%, 04/29/31(c) | 2,700 | 2,872,587 | ||||||
Series L, 3.95%, 04/21/25 | 2,155 | 2,393,853 | ||||||
Series L, 4.18%, 11/25/27(a) | 1,000 | 1,145,718 | ||||||
Bank of Nova Scotia | ||||||||
2.70%, 03/07/22 | 1,000 | 1,034,659 | ||||||
2.45%, 09/19/22 | 2,000 | 2,083,081 | ||||||
2.00%, 11/15/22 | 1,000 | 1,032,657 | ||||||
2.38%, 01/18/23(a) | 475 | 494,760 | ||||||
3.40%, 02/11/24 | 1,000 | 1,086,429 | ||||||
4.50%, 12/16/25 | 250 | 289,596 | ||||||
2.70%, 08/03/26(a) | 500 | 547,631 | ||||||
Bank of Nova Scotia (The), 2.20%, 02/03/25(a) | 2,000 | 2,111,000 | ||||||
Barclays PLC | ||||||||
3.68%, 01/10/23(a) | 1,500 | 1,546,355 | ||||||
3.65%, 03/16/25(a) | 450 | 485,362 | ||||||
4.38%, 01/12/26(a) | 1,000 | 1,120,316 | ||||||
5.20%, 05/12/26(a) | 1,000 | 1,108,750 | ||||||
4.34%, 01/10/28(a) | 750 | 835,170 | ||||||
4.84%, 05/09/28(a) | 1,000 | 1,075,378 | ||||||
4.95%, 01/10/47(a) | 1,000 | 1,279,776 | ||||||
(1 year CMT + 1.90%), 2.65%, 06/24/31(a)(c) | 2,000 | 1,995,328 |
10 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Barclays PLC (continued) | ||||||||
(3 mo. LIBOR US + 1.36%), | $ | 2,000 | $ | 2,147,093 | ||||
(3 mo. LIBOR US + 1.90%), | 2,250 | 2,632,875 | ||||||
(3 mo. LIBOR US + 2.45%), | 500 | 520,044 | ||||||
(3 mo. LIBOR US + 3.05%), | 1,000 | 1,120,163 | ||||||
BNP Paribas SA | ||||||||
3.25%, 03/03/23(a) | 250 | 266,880 | ||||||
4.25%, 10/15/24 | 250 | 276,467 | ||||||
Citigroup, Inc. | ||||||||
2.90%, 12/08/21(a) | 750 | 770,436 | ||||||
2.75%, 04/25/22 | 1,500 | 1,550,206 | ||||||
4.05%, 07/30/22 | 250 | 265,486 | ||||||
2.70%, 10/27/22(a) | 500 | 521,258 | ||||||
3.50%, 05/15/23(a) | 500 | 534,308 | ||||||
3.88%, 03/26/25 | 500 | 550,866 | ||||||
3.30%, 04/27/25(a) | 155 | 170,410 | ||||||
4.40%, 06/10/25 | 500 | 564,154 | ||||||
3.70%, 01/12/26(a) | 1,000 | 1,120,603 | ||||||
4.60%, 03/09/26 | 250 | 286,587 | ||||||
3.40%, 05/01/26 | 500 | 555,760 | ||||||
3.20%, 10/21/26 | 2,500 | 2,757,750 | ||||||
4.30%, 11/20/26 | 150 | 171,901 | ||||||
4.45%, 09/29/27 | 3,000 | 3,478,781 | ||||||
4.13%, 07/25/28(a) | 750 | 863,860 | ||||||
6.63%, 06/15/32 | 100 | 139,713 | ||||||
6.13%, 08/25/36 | 184 | 246,977 | ||||||
8.13%, 07/15/39(a) | 575 | 1,000,838 | ||||||
5.88%, 01/30/42(a) | 2,500 | 3,662,753 | ||||||
6.68%, 09/13/43(a) | 250 | 383,782 | ||||||
5.30%, 05/06/44(a) | 500 | 666,733 | ||||||
4.65%, 07/30/45(a) | 250 | 326,856 | ||||||
4.75%, 05/18/46 | 1,500 | 1,882,470 | ||||||
4.65%, 07/23/48(a) | 1,500 | 1,978,189 | ||||||
(3 mo. LIBOR US + 0.72%), | 3,500 | 3,611,440 | ||||||
(3 mo. LIBOR US + 0.90%), | 4,000 | 4,327,697 | ||||||
(3 mo. LIBOR US + 0.95%), | 1,500 | 1,556,510 | ||||||
(3 mo. LIBOR US + 1.15%), | 2,000 | 2,228,955 | ||||||
(3 mo. LIBOR US + 1.39%), | 1,000 | 1,124,112 | ||||||
(3 mo. LIBOR US + 1.56%), | 1,000 | 1,131,893 | ||||||
(3 mo. LIBOR US + 1.84%), | 1,000 | 1,255,304 | ||||||
(Secured Overnight Financing Rate + 0.87%), 2.31%, 11/04/22(c) | 700 | 712,821 | ||||||
(Secured Overnight Financing Rate + 1.42%), 2.98%, 11/05/30(a)(c) | 1,000 | 1,081,132 | ||||||
(Secured Overnight Financing Rate + 2.11%), 2.57%, 06/03/31(c) | 1,500 | 1,572,105 | ||||||
(Secured Overnight Financing Rate + 2.75%), 3.11%, 04/08/26(c) | 1,400 | 1,515,271 | ||||||
(Secured Overnight Financing Rate + 3.91%), 4.41%, 03/31/31(c) | 2,400 | 2,876,943 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Citigroup, Inc. (continued) | ||||||||
(Secured Overnight Financing Rate + 4.55%), 5.32%, 03/26/41(c) | $ | 2,400 | $ | 3,263,653 | ||||
Clorox Co. | ||||||||
3.05%, 09/15/22 | 50 | 52,217 | ||||||
3.50%, 12/15/24 | 250 | 278,050 | ||||||
CME Group, Inc. | ||||||||
3.00%, 09/15/22 | 1,000 | 1,050,024 | ||||||
3.00%, 03/15/25(a) | 1,250 | 1,369,179 | ||||||
3.75%, 06/15/28 | 1,000 | 1,171,028 | ||||||
5.30%, 09/15/43(a) | 100 | 147,758 | ||||||
Credit Suisse Group Funding Guernsey Ltd.(a) |
| |||||||
3.80%, 09/15/22 | 500 | 529,073 | ||||||
3.80%, 06/09/23 | 1,000 | 1,075,824 | ||||||
3.75%, 03/26/25 | 500 | 551,486 | ||||||
4.55%, 04/17/26 | 250 | 291,512 | ||||||
4.88%, 05/15/45 | 1,500 | 2,005,650 | ||||||
Deutsche Bank AG, 4.10%, 01/13/26 | 350 | 373,351 | ||||||
Deutsche Bank AG, London, | 215 | 225,919 | ||||||
Deutsche Bank AG, New York | ||||||||
4.25%, 10/14/21 | 2,000 | 2,058,850 | ||||||
3.95%, 02/27/23 | 2,000 | 2,097,230 | ||||||
(Secured Overnight Financing Rate + 2.16%), 2.22%, 09/18/24(c) | 1,435 | 1,444,973 | ||||||
(Secured Overnight Financing Rate + 2.58%), 3.96%, 11/26/25(c) | 800 | 850,591 | ||||||
(Secured Overnight Financing Rate + 3.04%), 3.55%, 09/18/31(c) | 855 | 863,925 | ||||||
GE Capital Funding LLC(b) | ||||||||
4.40%, 05/15/30 | 2,000 | 2,147,818 | ||||||
4.55%, 05/15/32 | 1,000 | 1,074,865 | ||||||
GE Capital International Funding Co.(a) | ||||||||
3.37%, 11/15/25 | 1,427 | 1,526,298 | ||||||
4.42%, 11/15/35 | 5,685 | 6,000,851 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2.35%, 11/15/21 | 1,500 | 1,503,438 | ||||||
5.75%, 01/24/22 | 2,350 | 2,510,528 | ||||||
3.00%, 04/26/22(a) | 3,000 | 3,043,330 | ||||||
3.63%, 01/22/23(a) | 150 | 160,343 | ||||||
3.63%, 02/20/24(a) | 1,000 | 1,085,059 | ||||||
4.00%, 03/03/24(a) | 3,425 | 3,766,915 | ||||||
3.85%, 07/08/24(a) | 500 | 549,880 | ||||||
3.50%, 01/23/25 | 750 | 822,902 | ||||||
3.50%, 04/01/25 | 1,915 | 2,113,528 | ||||||
3.75%, 05/22/25(a) | 2,250 | 2,500,656 | ||||||
4.25%, 10/21/25(a) | 1,050 | 1,194,586 | ||||||
3.75%, 02/25/26(a) | 380 | 427,694 | ||||||
5.95%, 01/15/27(a) | 250 | 307,624 | ||||||
3.85%, 01/26/27 | 2,000 | 2,251,618 | ||||||
2.60%, 02/07/30(a) | 2,000 | 2,113,989 | ||||||
3.80%, 03/15/30 | 2,600 | 3,013,550 | ||||||
6.75%, 10/01/37(a) | 1,650 | 2,397,332 | ||||||
4.80%, 07/08/44 | 1,250 | 1,636,024 | ||||||
5.15%, 05/22/45 | 1,500 | 1,976,883 | ||||||
4.75%, 10/21/45(a) | 1,750 | 2,302,102 | ||||||
(3 mo. LIBOR US + 0.82%), | 2,000 | 2,047,937 | ||||||
(3 mo. LIBOR US + 0.99%), | 2,000 | 2,074,625 | ||||||
(3 mo. LIBOR US + 1.16%), | 1,000 | 1,138,116 |
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 | 11 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Goldman Sachs Group, Inc. (continued) | ||||||||
(3 mo. LIBOR US + 1.20%), | $ | 1,000 | $ | 1,082,388 | ||||
(3 mo. LIBOR US + 1.30%), | 3,000 | 3,498,638 | ||||||
(3 mo. LIBOR US + 1.37%), | 2,000 | 2,320,383 | ||||||
(3 mo. LIBOR US + 1.43%), | 2,400 | 2,930,114 | ||||||
(3 mo. LIBOR US + 1.51%), | 2,500 | 2,802,322 | ||||||
HSBC Holdings PLC | ||||||||
3.60%, 05/25/23(a) | 3,750 | 3,993,469 | ||||||
4.25%, 03/14/24(a) | 500 | 536,182 | ||||||
4.25%, 08/18/25(a) | 500 | 543,386 | ||||||
4.30%, 03/08/26(a) | 1,000 | 1,127,304 | ||||||
3.90%, 05/25/26 | 1,000 | 1,106,688 | ||||||
4.38%, 11/23/26(a) | 2,000 | 2,205,967 | ||||||
4.95%, 03/31/30(a) | 1,353 | 1,628,746 | ||||||
6.50%, 05/02/36(a) | 200 | 268,649 | ||||||
6.50%, 09/15/37 | 750 | 1,017,754 | ||||||
6.80%, 06/01/38 | 250 | 351,614 | ||||||
6.10%, 01/14/42(a) | 1,000 | 1,433,895 | ||||||
5.25%, 03/14/44(a) | 1,250 | 1,582,086 | ||||||
(3 mo. LIBOR US + 0.99%), | 380 | 406,483 | ||||||
(3 mo. LIBOR US + 1.06%), | 1,000 | 1,033,825 | ||||||
(3 mo. LIBOR US + 1.14%), | 1,000 | 1,041,819 | ||||||
(3 mo. LIBOR US + 1.21%), | 1,000 | 1,080,473 | ||||||
(3 mo. LIBOR US + 1.35%), | 3,000 | 3,349,470 | ||||||
(3 mo. LIBOR US + 1.53%), | 3,000 | 3,461,194 | ||||||
(3 mo. LIBOR US + 1.55%), | 3,000 | 3,315,548 | ||||||
(3 mo. LIBOR US + 1.61%), | 3,000 | 3,349,406 | ||||||
(Secured Overnight Financing Rate + 1.54%), 1.65%, 04/18/26(a)(c) | 1,740 | 1,733,336 | ||||||
(Secured Overnight Financing Rate + 2.39%), 2.85%, 06/04/31(a)(c) | 2,000 | 2,070,802 | ||||||
Intercontinental Exchange, Inc. | ||||||||
2.35%, 09/15/22(a) | 1,000 | 1,035,019 | ||||||
3.75%, 12/01/25 | 1,115 | 1,259,608 | ||||||
3.75%, 09/21/28(a) | 1,135 | 1,313,458 | ||||||
2.10%, 06/15/30 | 770 | 790,790 | ||||||
1.85%, 09/15/32 | 165 | 163,939 | ||||||
2.65%, 09/15/40 | 1,000 | 996,589 | ||||||
4.25%, 09/21/48(a) | 500 | 619,071 | ||||||
3.00%, 06/15/50 | 435 | 453,531 | ||||||
3.00%, 09/15/60 | 1,250 | 1,264,000 | ||||||
John Deere Capital Corp. | ||||||||
2.65%, 01/06/22(a) | 140 | 144,041 | ||||||
2.75%, 03/15/22 | 500 | 517,727 | ||||||
2.95%, 04/01/22 | 500 | 519,596 | ||||||
1.95%, 06/13/22(a) | 300 | 308,317 | ||||||
0.55%, 07/05/22 | 2,000 | 2,010,381 | ||||||
2.15%, 09/08/22 | 1,000 | 1,033,896 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
John Deere Capital Corp. (continued) | ||||||||
2.80%, 03/06/23(a) | $ | 500 | $ | 529,325 | ||||
3.45%, 06/07/23 | 2,000 | 2,162,437 | ||||||
3.45%, 01/10/24(a) | 1,000 | 1,092,828 | ||||||
2.05%, 01/09/25 | 1,000 | 1,059,808 | ||||||
2.25%, 09/14/26(a) | 500 | 543,003 | ||||||
3.05%, 01/06/28 | 300 | 333,993 | ||||||
2.80%, 07/18/29 | 630 | 703,323 | ||||||
2.45%, 01/09/30(a) | 300 | 326,224 | ||||||
JPMorgan Chase & Co. | ||||||||
4.50%, 01/24/22(a) | 2,800 | 2,951,926 | ||||||
3.25%, 09/23/22(a) | 3,200 | 3,382,335 | ||||||
2.97%, 01/15/23 | 2,000 | 2,065,238 | ||||||
3.20%, 01/25/23 | 3,150 | 3,348,381 | ||||||
3.38%, 05/01/23 | 1,250 | 1,333,694 | ||||||
2.70%, 05/18/23(a) | 500 | 528,013 | ||||||
3.63%, 05/13/24(a) | 1,000 | 1,103,821 | ||||||
3.88%, 09/10/24(a) | 1,300 | 1,441,942 | ||||||
3.13%, 01/23/25(a) | 250 | 272,714 | ||||||
3.90%, 07/15/25(a) | 2,250 | 2,545,031 | ||||||
3.30%, 04/01/26(a) | 500 | 554,084 | ||||||
3.20%, 06/15/26(a) | 1,000 | 1,109,995 | ||||||
7.63%, 10/15/26(a) | 500 | 669,679 | ||||||
4.13%, 12/15/26(a) | 250 | 290,479 | ||||||
4.25%, 10/01/27(a) | 500 | 582,439 | ||||||
3.63%, 12/01/27(a) | 1,000 | 1,119,795 | ||||||
6.40%, 05/15/38(a) | 1,100 | 1,678,917 | ||||||
5.50%, 10/15/40(a) | 125 | 178,328 | ||||||
5.60%, 07/15/41(a) | 550 | 806,571 | ||||||
5.40%, 01/06/42(a) | 400 | 574,375 | ||||||
5.63%, 08/16/43 | 500 | 718,977 | ||||||
4.85%, 02/01/44 | 100 | 134,821 | ||||||
4.95%, 06/01/45 | 1,250 | 1,693,973 | ||||||
(3 mo. LIBOR US + 0.70%), | 2,000 | 2,078,180 | ||||||
(3 mo. LIBOR US + 0.73%), | 1,500 | 1,608,450 | ||||||
(3 mo. LIBOR US + 0.89%), | 2,500 | 2,708,203 | ||||||
(3 mo. LIBOR US + 0.94%), | 1,500 | 1,551,244 | ||||||
(3 mo. LIBOR US + 0.95%), | 1,000 | 1,124,812 | ||||||
(3 mo. LIBOR US + 1.12%), | 4,000 | 4,640,756 | ||||||
(3 mo. LIBOR US + 1.16%), | 2,000 | 2,148,321 | ||||||
(3 mo. LIBOR US + 1.16%), | 1,000 | 1,147,688 | ||||||
(3 mo. LIBOR US + 1.22%), | 1,750 | 2,105,934 | ||||||
(3 mo. LIBOR US + 1.26%), | 1,175 | 1,390,749 | ||||||
(3 mo. LIBOR US + 1.33%), | 2,500 | 3,005,736 | ||||||
(3 mo. LIBOR US + 1.34%), | 2,000 | 2,262,077 | ||||||
(3 mo. LIBOR US + 1.36%), | 1,000 | 1,179,095 | ||||||
(3 mo. LIBOR US + 1.38%), | 750 | 844,799 |
12 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
JPMorgan Chase & Co. (continued) | ||||||||
(3 mo. LIBOR US + 1.38%), | $ | 1,500 | $ | 1,822,779 | ||||
(3 mo. LIBOR US + 1.46%), | 1,500 | 1,825,807 | ||||||
(3 mo. LIBOR US + 1.58%), | 1,000 | 1,258,438 | ||||||
(Secured Overnight Financing Rate + 1.16%), 2.30%, 10/15/25(c) | 500 | 526,063 | ||||||
(Secured Overnight Financing Rate + 1.51%), 2.74%, 10/15/30(a)(c) | 3,000 | 3,213,996 | ||||||
(Secured Overnight Financing Rate + 1.59%), 2.01%, 03/13/26(c) | 1,300 | 1,345,960 | ||||||
(Secured Overnight Financing Rate + 1.85%), 2.08%, 04/22/26(a)(c) | 3,100 | 3,241,918 | ||||||
(Secured Overnight Financing Rate + 2.04%), 2.52%, 04/22/31(c) | 1,600 | 1,702,517 | ||||||
(Secured Overnight Financing Rate + 2.44%), 3.11%, 04/22/51(c) | 2,700 | 2,897,429 | ||||||
(Secured Overnight Financing Rate + 2.46%), 3.11%, 04/22/41(c) | 1,100 | 1,193,213 | ||||||
(Secured Overnight Financing Rate + 2.52%), 2.96%, 05/13/31(c) | 1,000 | 1,072,904 | ||||||
(Secured Overnight Financing Rate + 3.79%), 4.49%, 03/24/31(c) | 1,000 | 1,220,342 | ||||||
Kimberly-Clark Corp. | ||||||||
2.65%, 03/01/25(a) | 85 | 91,890 | ||||||
2.75%, 02/15/26 | 500 | 549,935 | ||||||
5.30%, 03/01/41(a) | 250 | 354,287 | ||||||
3.20%, 07/30/46 | 210 | 242,384 | ||||||
3.90%, 05/04/47 | 750 | 963,120 | ||||||
2.88%, 02/07/50 | 800 | 890,176 | ||||||
Lloyds Banking Group PLC | ||||||||
3.00%, 01/11/22(a) | 2,000 | 2,057,827 | ||||||
4.05%, 08/16/23(a) | 500 | 541,090 | ||||||
3.90%, 03/12/24 | 500 | 543,261 | ||||||
4.45%, 05/08/25(a) | 500 | 565,239 | ||||||
4.58%, 12/10/25(a) | 250 | 274,785 | ||||||
4.65%, 03/24/26 | 250 | 278,011 | ||||||
4.55%, 08/16/28 | 2,000 | 2,357,600 | ||||||
5.30%, 12/01/45(a) | 850 | 1,108,492 | ||||||
4.34%, 01/09/48(a) | 800 | 940,246 | ||||||
(1 year CMT + 1.00%), 2.44%, 02/05/26(a)(c) | 340 | 352,332 | ||||||
(1 year CMT + 1.10%), 1.33%, 06/15/23(a)(c) | 3,000 | 3,017,754 | ||||||
(1 year CMT + 3.50%), 3.87%, 07/09/25(c) | 1,000 | 1,088,375 | ||||||
(3 mo. LIBOR US + 1.21%), | 500 | 547,791 | ||||||
(3 mo. LIBOR US + 1.25%), | 1,000 | 1,027,857 | ||||||
Series, (3 mo. LIBOR US + 0.81%), | 1,000 | 1,038,551 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.00%, 02/22/22 | 1,500 | 1,550,132 | ||||||
2.62%, 07/18/22(a) | 2,000 | 2,072,577 | ||||||
2.67%, 07/25/22 | 1,000 | 1,036,699 | ||||||
3.46%, 03/02/23(a) | 3,000 | 3,196,309 | ||||||
3.76%, 07/26/23(a) | 1,500 | 1,623,817 | ||||||
2.80%, 07/18/24 | 1,000 | 1,067,672 | ||||||
2.19%, 02/25/25(a) | 500 | 523,679 | ||||||
3.85%, 03/01/26 | 500 | 570,568 | ||||||
2.76%, 09/13/26(a) | 250 | 270,873 |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Mitsubishi UFJ Financial Group, Inc. (continued) | ||||||||
3.29%, 07/25/27(a) | $ | 1,000 | $ | 1,116,532 | ||||
3.96%, 03/02/28 | 1,000 | 1,154,812 | ||||||
3.74%, 03/07/29 | 2,000 | 2,296,854 | ||||||
2.56%, 02/25/30(a) | 2,000 | 2,102,202 | ||||||
2.05%, 07/17/30 | 2,000 | 2,021,611 | ||||||
4.29%, 07/26/38(a) | 250 | 309,506 | ||||||
3.75%, 07/18/39 | 1,010 | 1,166,901 | ||||||
Mizuho Financial Group, Inc. | ||||||||
2.95%, 02/28/22(a) | 250 | 258,640 | ||||||
3.55%, 03/05/23(a) | 2,000 | 2,136,602 | ||||||
3.17%, 09/11/27(a) | 1,000 | 1,091,458 | ||||||
(3 mo. LIBOR US + 0.99%), 1.24%, 07/10/24(c) | 800 | 806,281 | ||||||
(3 mo. LIBOR US + 1.00%), 3.92%, 09/11/24(c) | 2,000 | 2,175,000 | ||||||
(3 mo. LIBOR US + 1.10%), 2.56%, 09/13/25(c) | 905 | 951,165 | ||||||
(3 mo. LIBOR US + 1.13%), | 1,000 | 1,094,394 | ||||||
(3 mo. LIBOR US + 1.31%), 2.87%, 09/13/30(c) | 500 | 536,389 | ||||||
(3 mo. LIBOR US + 1.51%), | 1,000 | 1,013,142 | ||||||
Morgan Stanley | ||||||||
2.63%, 11/17/21(a) | 2,750 | 2,818,695 | ||||||
2.75%, 05/19/22(a) | 2,000 | 2,072,094 | ||||||
4.88%, 11/01/22 | 500 | 540,501 | ||||||
3.13%, 01/23/23(a) | 3,500 | 3,700,445 | ||||||
3.75%, 02/25/23(a) | 500 | 536,658 | ||||||
4.10%, 05/22/23 | 250 | 270,793 | ||||||
3.70%, 10/23/24(a) | 1,500 | 1,664,185 | ||||||
4.00%, 07/23/25 | 505 | 570,776 | ||||||
5.00%, 11/24/25 | 1,250 | 1,468,537 | ||||||
3.88%, 01/27/26(a) | 500 | 569,887 | ||||||
3.13%, 07/27/26(a) | 500 | 553,530 | ||||||
4.35%, 09/08/26 | 1,500 | 1,736,251 | ||||||
3.63%, 01/20/27(a) | 2,000 | 2,266,520 | ||||||
3.95%, 04/23/27 | 250 | 283,393 | ||||||
7.25%, 04/01/32(a) | 50 | 75,256 | ||||||
6.38%, 07/24/42(a) | 50 | 78,192 | ||||||
4.30%, 01/27/45(a) | 500 | 633,631 | ||||||
4.38%, 01/22/47(a) | 1,500 | 1,945,663 | ||||||
(3 mo. LIBOR US + 0.85%), 3.74%, 04/24/24(c) | 4,000 | 4,305,691 | ||||||
(3 mo. LIBOR US + 1.14%), | 3,000 | 3,424,234 | ||||||
(3 mo. LIBOR US + 1.34%), | 2,250 | 2,530,554 | ||||||
(3 mo. LIBOR US + 1.43%), 4.46%, 04/22/39(c) | 3,000 | 3,726,837 | ||||||
(3 mo. LIBOR US + 1.46%), | 1,000 | 1,185,004 | ||||||
(3 mo. LIBOR US + 1.63%), | 750 | 896,117 | ||||||
(Secured Overnight Financing Rate + 1.14%), 2.70%, 01/22/31(c) | 4,000 | 4,260,781 | ||||||
(Secured Overnight Financing Rate + 1.15%), 2.72%, 07/22/25(a)(c) | 605 | 642,675 | ||||||
(Secured Overnight Financing Rate + 1.99%), 2.19%, 04/28/26(a)(c) | 3,430 | 3,592,187 |
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 | 13 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Financial Services (continued) | ||||||||
Morgan Stanley (continued) | ||||||||
(Secured Overnight Financing Rate + 3.12%), 3.62%, 04/01/31(c) | $ | 4,020 | $ | 4,618,899 | ||||
(Secured Overnight Financing Rate + 4.84%), 5.60%, 03/24/51(a)(c) | 500 | 751,772 | ||||||
Series F, 3.88%, 04/29/24(a) | 250 | 275,885 | ||||||
Nasdaq, Inc. | ||||||||
4.25%, 06/01/24 | 250 | 279,274 | ||||||
3.25%, 04/28/50 | 1,000 | 1,044,398 | ||||||
Natwest Group PLC(c) | ||||||||
(1 year CMT + 2.15%), 2.36%, 05/22/24(a) | 385 | 394,992 | ||||||
(1 year CMT + 2.55%), 3.07%, 05/22/28 | 580 | 609,508 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
3.88%, 09/12/23 | 1,000 | 1,072,200 | ||||||
6.00%, 12/19/23 | 2,000 | 2,249,236 | ||||||
4.80%, 04/05/26 | 500 | 577,147 | ||||||
(3 mo. LIBOR US + 1.55%), | 2,000 | 2,155,652 | ||||||
(3 mo. LIBOR US + 1.75%), | 750 | 872,371 | ||||||
(3 mo. LIBOR US + 1.76%), | 1,000 | 1,086,263 | ||||||
(3 mo. LIBOR US + 1.87%), | 1,000 | 1,157,236 | ||||||
(3 mo. LIBOR US + 1.91%), | 1,000 | 1,192,462 | ||||||
(5 year CMT + 2.10%), | 290 | 299,866 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.44%, 10/19/21 | 1,000 | 1,021,713 | ||||||
2.85%, 01/11/22 | 1,000 | 1,029,218 | ||||||
3.10%, 01/17/23 | 4,000 | 4,223,659 | ||||||
3.75%, 07/19/23(a) | 500 | 541,790 | ||||||
2.45%, 09/27/24(a) | 1,000 | 1,056,455 | ||||||
2.35%, 01/15/25(a) | 2,000 | 2,106,693 | ||||||
3.78%, 03/09/26 | 500 | 568,810 | ||||||
2.63%, 07/14/26 | 1,000 | 1,077,696 | ||||||
3.01%, 10/19/26 | 250 | 275,647 | ||||||
3.36%, 07/12/27(a) | 1,000 | 1,113,036 | ||||||
3.35%, 10/18/27(a) | 500 | 550,115 | ||||||
3.54%, 01/17/28(a) | 2,000 | 2,240,590 | ||||||
3.04%, 07/16/29(a) | 920 | 1,002,717 | ||||||
3.20%, 09/17/29 | 500 | 542,177 | ||||||
2.72%, 09/27/29(a) | 1,000 | 1,060,705 | ||||||
2.13%, 07/08/30(a) | 2,000 | 2,029,432 | ||||||
|
| |||||||
541,283,619 | ||||||||
Diversified Telecommunication Services — 0.9% | ||||||||
AT&T, Inc. | ||||||||
3.00%, 06/30/22(a) | 2,000 | 2,079,963 | ||||||
2.63%, 12/01/22(a) | 2,000 | 2,083,319 | ||||||
4.05%, 12/15/23 | 2,500 | 2,770,303 | ||||||
4.45%, 04/01/24(a) | 500 | 558,490 | ||||||
3.95%, 01/15/25(a) | 500 | 560,630 | ||||||
3.88%, 01/15/26(a) | 1,000 | 1,133,906 | ||||||
4.13%, 02/17/26(a) | 1,250 | 1,432,625 | ||||||
2.95%, 07/15/26(a) | 500 | 546,324 | ||||||
3.80%, 02/15/27(a) | 500 | 564,119 | ||||||
4.25%, 03/01/27(a) | 1,000 | 1,161,040 | ||||||
1.65%, 02/01/28 | 1,100 | 1,102,080 | ||||||
4.10%, 02/15/28(a) | 544 | 629,787 | ||||||
4.35%, 03/01/29(a) | 2,000 | 2,354,214 |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
AT&T, Inc. (continued) | ||||||||
4.30%, 02/15/30 | $ | 3,000 | $ | 3,555,991 | ||||
2.75%, 06/01/31 | 2,000 | 2,110,116 | ||||||
2.25%, 02/01/32 | 1,400 | 1,400,278 | ||||||
4.50%, 05/15/35 | 810 | 956,323 | ||||||
4.90%, 08/15/37(a) | 750 | 906,303 | ||||||
4.85%, 03/01/39(a) | 2,000 | 2,413,105 | ||||||
5.35%, 09/01/40(a) | 1 | 1,258 | ||||||
3.50%, 06/01/41 | 1,000 | 1,050,656 | ||||||
4.90%, 06/15/42 | 350 | 413,655 | ||||||
4.30%, 12/15/42(a) | 651 | 736,570 | ||||||
3.10%, 02/01/43 | 1,600 | 1,560,550 | ||||||
4.65%, 06/01/44(a) | 250 | 284,226 | ||||||
4.80%, 06/15/44(a) | 319 | 380,190 | ||||||
4.35%, 06/15/45(a) | 584 | 654,324 | ||||||
4.50%, 03/09/48(a) | 2,353 | 2,700,337 | ||||||
3.65%, 06/01/51 | 1,000 | 1,008,650 | ||||||
3.30%, 02/01/52 | 800 | 758,254 | ||||||
3.50%, 09/15/53(b)(e) | 2,624 | 2,536,946 | ||||||
3.55%, 09/15/55(b)(e) | 11,407 | 11,055,353 | ||||||
3.65%, 09/15/59(a)(b) | 7,182 | 7,055,379 | ||||||
3.85%, 06/01/60 | 1,000 | 1,017,492 | ||||||
3.50%, 02/01/61 | 600 | 571,309 | ||||||
British Telecommunications PLC | ||||||||
5.13%, 12/04/28 | 1,000 | 1,205,174 | ||||||
9.63%, 12/15/30 | 900 | 1,442,997 | ||||||
Deutsche Telekom International Finance BV, | ||||||||
8.75%, 06/15/30 | 1,650 | 2,563,656 | ||||||
Telefonica Emisiones SAU | ||||||||
4.57%, 04/27/23(a) | 1,200 | 1,314,920 | ||||||
4.10%, 03/08/27(a) | 1,000 | 1,137,449 | ||||||
7.05%, 06/20/36 | 75 | 107,884 | ||||||
4.67%, 03/06/38 | 1,000 | 1,152,535 | ||||||
5.21%, 03/08/47(a) | 1,750 | 2,079,447 | ||||||
4.90%, 03/06/48(a) | 500 | 576,388 | ||||||
5.52%, 03/01/49 | 500 | 622,634 | ||||||
Telefonica Europe BV, 8.25%, 09/15/30 | 300 | 452,876 | ||||||
Verizon Communications, Inc. | ||||||||
5.15%, 09/15/23 | 2,000 | 2,266,426 | ||||||
4.15%, 03/15/24(a) | 2,000 | 2,223,811 | ||||||
3.50%, 11/01/24 | 500 | 552,026 | ||||||
3.38%, 02/15/25(a) | 2,992 | 3,334,773 | ||||||
2.63%, 08/15/26(a) | 900 | 983,782 | ||||||
4.13%, 03/16/27(a) | 2,750 | 3,251,331 | ||||||
4.33%, 09/21/28(a) | 2,164 | 2,623,847 | ||||||
3.88%, 02/08/29(a) | 2,000 | 2,366,007 | ||||||
4.02%, 12/03/29(a) | 3,000 | 3,592,375 | ||||||
3.15%, 03/22/30(a) | 1,000 | 1,130,030 | ||||||
4.50%, 08/10/33(a) | 1,750 | 2,219,587 | ||||||
4.40%, 11/01/34 | 1,500 | 1,870,012 | ||||||
4.27%, 01/15/36(a) | 1,250 | 1,541,867 | ||||||
5.25%, 03/16/37(a) | 1,250 | 1,731,074 | ||||||
4.81%, 03/15/39(a) | 596 | 780,472 | ||||||
3.85%, 11/01/42 | 250 | 298,088 | ||||||
6.55%, 09/15/43(a) | 750 | 1,220,836 | ||||||
4.86%, 08/21/46 | 2,000 | 2,730,995 | ||||||
5.50%, 03/16/47 | 250 | 376,561 | ||||||
4.52%, 09/15/48 | 4,000 | 5,240,480 | ||||||
5.01%, 04/15/49 | 1,981 | 2,851,380 |
14 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
Verizon Communications, Inc. (continued) |
| |||||||
4.00%, 03/22/50(a) | $ | 1,000 | $ | 1,231,125 | ||||
4.67%, 03/15/55 | 500 | 692,766 | ||||||
|
| |||||||
117,869,676 | ||||||||
Education — 0.1% | ||||||||
American University, Series 2019, 3.67%, 04/01/49 | 135 | 154,384 | ||||||
Brown University in Providence in the State of Rhode Island and Providence Plant, Series A, 2.92%, 09/01/50 | 300 | 326,841 | ||||||
California Institute of Technology, 3.65%, 09/01/19 | 263 | 287,533 | ||||||
Duke University | ||||||||
2.68%, 10/01/44 | 300 | 313,574 | ||||||
2.83%, 10/01/55 | 253 | 267,878 | ||||||
Ford Foundation (The) | ||||||||
2.42%, 06/01/50 | 60 | 61,639 | ||||||
2.82%, 06/01/70 | 125 | 130,422 | ||||||
George Washington University | ||||||||
4.87%, 09/15/45 | 100 | 135,250 | ||||||
Series 2014, 4.30%, 09/15/44 | 250 | 308,084 | ||||||
Series 2018, 4.13%, 09/15/48(a) | 164 | 201,533 | ||||||
Georgetown University | ||||||||
2.94%, 04/01/50 | 104 | 103,219 | ||||||
Series A, 5.22%, 10/01/18 | 62 | 83,360 | ||||||
Series B, 4.32%, 04/01/49 | 40 | 50,211 | ||||||
Leland Stanford Junior University | ||||||||
3.65%, 05/01/48 | 250 | 308,085 | ||||||
2.41%, 06/01/50 | 300 | 303,566 | ||||||
Massachusetts Institute of Technology |
| |||||||
2.29%, 07/01/51 | 157 | 157,099 | ||||||
4.68%, 07/03/14(a) | 300 | 433,575 | ||||||
Series F, 2.99%, 07/01/50 | 289 | 327,484 | ||||||
Northeastern University, | 51 | 53,105 | ||||||
Northwestern University | ||||||||
3.87%, 12/01/48 | 100 | 123,837 | ||||||
2.64%, 12/01/50 | 85 | 88,122 | ||||||
Series 2017, 3.66%, 12/01/57 | 58 | 72,409 | ||||||
President and Fellows of Harvard College |
| |||||||
3.15%, 07/15/46 | 175 | 199,196 | ||||||
2.52%, 10/15/50 | 204 | 211,816 | ||||||
3.30%, 07/15/56 | 200 | 242,537 | ||||||
Trustees of Boston University, Series CC, 4.06%, 10/01/48 | 35 | 45,972 | ||||||
Trustees of Princeton University (The), 2.52%, 07/01/50 | 420 | 440,464 | ||||||
Trustees of the University of Pennsylvania (The) | ||||||||
2.40%, 10/01/50 | 146 | 145,356 | ||||||
3.61%, 02/15/19 | 160 | 178,014 | ||||||
University of Chicago (The), | 137 | 136,626 | ||||||
University of Notre Dame du Lac, Series 2017, | ||||||||
3.39%, 02/15/48 | 110 | 128,952 | ||||||
University of Southern California | ||||||||
3.03%, 10/01/39(a) | 200 | 216,426 | ||||||
2.81%, 10/01/50 | 134 | 141,908 | ||||||
3.23%, 10/01/20 | 130 | 138,709 | ||||||
William Marsh Rice University, | 300 | 382,651 |
Security | Par (000) | Value | ||||||
Education (continued) | ||||||||
Yale University | ||||||||
2.40%, 04/15/50 | $ | 175 | $ | 178,996 | ||||
Series 2020, 1.48%, 04/15/30 | 152 | 153,813 | ||||||
|
| |||||||
7,232,646 | ||||||||
Electric Utilities — 2.0% | ||||||||
AEP Texas, Inc. | ||||||||
2.40%, 10/01/22 | 1,000 | 1,035,713 | ||||||
3.95%, 06/01/28 | 500 | 577,880 | ||||||
Series H, 3.45%, 01/15/50 | 250 | 273,486 | ||||||
AEP Transmission Co. LLC | ||||||||
3.10%, 12/01/26(a) | 500 | 562,660 | ||||||
3.80%, 06/15/49 | 1,000 | 1,181,997 | ||||||
3.15%, 09/15/49(a) | 135 | 144,681 | ||||||
3.65%, 04/01/50(a) | 500 | 583,070 | ||||||
Alabama Power Co. | ||||||||
1.45%, 09/15/30 | 1,000 | 1,006,897 | ||||||
3.75%, 03/01/45 | 250 | 288,985 | ||||||
4.30%, 01/02/46 | 250 | 313,066 | ||||||
3.45%, 10/01/49(a) | 185 | 211,020 | ||||||
Series B, 3.70%, 12/01/47 | 2,500 | 2,953,794 | ||||||
Ameren Corp. | ||||||||
2.50%, 09/15/24(a) | 635 | 672,544 | ||||||
3.50%, 01/15/31 | 1,000 | 1,143,029 | ||||||
Ameren Illinois Co. | ||||||||
2.70%, 09/01/22 | 100 | 103,590 | ||||||
4.30%, 07/01/44 | 250 | 310,210 | ||||||
3.25%, 03/15/50 | 150 | 168,755 | ||||||
American Electric Power Co., Inc. | ||||||||
2.30%, 03/01/30 | 300 | 308,118 | ||||||
3.25%, 03/01/50 | 1,000 | 1,043,659 | ||||||
Series F, 2.95%, 12/15/22(a) | 500 | 523,005 | ||||||
Appalachian Power Co., | 250 | 300,360 | ||||||
Arizona Public Service Co. | ||||||||
3.15%, 05/15/25 | 250 | 273,427 | ||||||
2.60%, 08/15/29(a) | 500 | 538,663 | ||||||
5.05%, 09/01/41 | 250 | 329,224 | ||||||
4.20%, 08/15/48 | 250 | 309,080 | ||||||
3.50%, 12/01/49 | 1,100 | 1,223,588 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.40%, 08/15/26 | 1,000 | 1,084,944 | ||||||
3.50%, 08/15/46(a) | 700 | 793,954 | ||||||
3.20%, 09/15/49 | 225 | 242,304 | ||||||
2.90%, 06/15/50 | 450 | 458,971 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.75%, 11/15/23 | 500 | 545,170 | ||||||
3.50%, 02/01/25(a) | 110 | 122,425 | ||||||
4.05%, 04/15/25(b) | 2,000 | 2,284,037 | ||||||
3.25%, 04/15/28(a) | 500 | 566,925 | ||||||
3.70%, 07/15/30(b) | 500 | 587,738 | ||||||
6.13%, 04/01/36 | 250 | 356,891 | ||||||
5.15%, 11/15/43(a) | 250 | 342,067 | ||||||
4.50%, 02/01/45 | 400 | 501,664 | ||||||
3.80%, 07/15/48 | 500 | 581,259 | ||||||
4.45%, 01/15/49 | 2,000 | 2,563,898 | ||||||
4.25%, 10/15/50(b) | 1,000 | 1,245,015 | ||||||
Black Hills Corp. | ||||||||
3.95%, 01/15/26(a) | 200 | 217,849 | ||||||
3.05%, 10/15/29(a) | 415 | 451,893 | ||||||
2.50%, 06/15/30 | 55 | 56,875 | ||||||
4.35%, 05/01/33 | 400 | 480,004 |
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 | 15 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Black Hills Corp. (continued) | ||||||||
3.88%, 10/15/49(a) | $ | 350 | $ | 389,433 | ||||
CenterPoint Energy Houston Electric LLC | ||||||||
3.55%, 08/01/42 | 100 | 114,498 | ||||||
3.95%, 03/01/48 | 250 | 309,732 | ||||||
2.90%, 07/01/50 | 290 | 307,017 | ||||||
CenterPoint Energy, Inc. | ||||||||
2.50%, 09/01/24 | 425 | 452,171 | ||||||
4.25%, 11/01/28(a) | 2,000 | 2,384,449 | ||||||
2.95%, 03/01/30(a) | 1,000 | 1,095,679 | ||||||
3.70%, 09/01/49 | 250 | 279,095 | ||||||
Cleco Corporate Holdings LLC | ||||||||
3.74%, 05/01/26 | 500 | 533,428 | ||||||
3.38%, 09/15/29 | 500 | 507,097 | ||||||
CMS Energy Corp. | ||||||||
3.45%, 08/15/27 | 1,000 | 1,120,447 | ||||||
4.70%, 03/31/43 | 200 | 249,842 | ||||||
Commonwealth Edison Co. | ||||||||
3.10%, 11/01/24(a) | 250 | 271,160 | ||||||
2.55%, 06/15/26 | 250 | 271,978 | ||||||
3.70%, 08/15/28 | 500 | 581,288 | ||||||
5.90%, 03/15/36 | 50 | 72,108 | ||||||
3.70%, 03/01/45 | 250 | 290,182 | ||||||
3.65%, 06/15/46 | 750 | 875,896 | ||||||
4.00%, 03/01/48(a) | 2,000 | 2,460,524 | ||||||
4.00%, 03/01/49 | 1,000 | 1,234,109 | ||||||
3.00%, 03/01/50 | 500 | 534,578 | ||||||
Series 122, 2.95%, 08/15/27(a) | 1,000 | 1,112,561 | ||||||
Series 127, 3.20%, 11/15/49 | 610 | 667,355 | ||||||
Connecticut Light & Power Co. | ||||||||
2.50%, 01/15/23 | 150 | 156,225 | ||||||
Series A, 3.20%, 03/15/27(a) | 500 | 557,917 | ||||||
Consolidated Edison Co. of New York Inc. | ||||||||
4.50%, 12/01/45 | 250 | 314,074 | ||||||
3.85%, 06/15/46(a) | 1,000 | 1,174,508 | ||||||
3.95%, 04/01/50 | 1,000 | 1,219,261 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
3.30%, 12/01/24(a) | 250 | 274,275 | ||||||
3.80%, 05/15/28(a) | 500 | 575,844 | ||||||
3.95%, 03/01/43 | 150 | 174,449 | ||||||
4.45%, 03/15/44 | 250 | 310,066 | ||||||
4.50%, 05/15/58 | 1,000 | 1,296,483 | ||||||
3.70%, 11/15/59 | 200 | 229,574 | ||||||
Series 12-A, 4.20%, 03/15/42 | 400 | 475,340 | ||||||
Series A, 4.13%, 05/15/49(a) | 500 | 605,034 | ||||||
Series C, 4.30%, 12/01/56 | 500 | 628,272 | ||||||
Series C, 4.00%, 11/15/57 | 750 | 895,590 | ||||||
Series D, 4.00%, 12/01/28 | 500 | 594,125 | ||||||
Series E, 4.65%, 12/01/48 | 500 | 650,097 | ||||||
Consumers Energy Co. | ||||||||
4.35%, 04/15/49 | 1,000 | 1,319,224 | ||||||
3.10%, 08/15/50 | 215 | 234,660 | ||||||
2.50%, 05/01/60 | 1,055 | 991,845 | ||||||
Dominion Energy Inc. | ||||||||
4.60%, 03/15/49(a) | 500 | 667,766 | ||||||
Series C, 3.38%, 04/01/30 | 1,500 | 1,691,294 | ||||||
Dominion Energy South Carolina, Inc. | ||||||||
5.45%, 02/01/41 | 1,000 | 1,379,558 | ||||||
4.60%, 06/15/43(a) | 250 | 325,690 | ||||||
Dominion Energy, Inc. | ||||||||
3.07%, 08/15/24(a)(d) | 500 | 538,197 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Dominion Energy, Inc. (continued) | ||||||||
3.90%, 10/01/25(a) | $ | 2,000 | $ | 2,272,072 | ||||
7.00%, 06/15/38 | 250 | 378,998 | ||||||
Series C, 4.90%, 08/01/41 | 50 | 64,239 | ||||||
DTE Electric Co. | ||||||||
3.65%, 03/15/24(a) | 1,000 | 1,089,415 | ||||||
3.70%, 03/15/45 | 645 | 754,573 | ||||||
3.70%, 06/01/46 | 250 | 292,110 | ||||||
3.75%, 08/15/47(a) | 200 | 238,727 | ||||||
Series A, 4.00%, 04/01/43 | 150 | 181,918 | ||||||
Series A, 4.05%, 05/15/48 | 250 | 315,018 | ||||||
DTE Energy Co. | ||||||||
2.25%, 11/01/22(a) | 200 | 206,779 | ||||||
2.95%, 03/01/30(a) | 1,000 | 1,069,001 | ||||||
Series C, 2.53%, 10/01/24 | 1,000 | 1,063,353 | ||||||
Series C, 3.40%, 06/15/29(a) | 725 | 803,531 | ||||||
Series F, 1.05%, 06/01/25 | 895 | 894,505 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.05%, 03/15/23(a) | 200 | 212,327 | ||||||
2.45%, 08/15/29 | 500 | 541,329 | ||||||
2.45%, 02/01/30 | 400 | 432,585 | ||||||
6.10%, 06/01/37 | 500 | 734,733 | ||||||
6.05%, 04/15/38 | 100 | 149,644 | ||||||
5.30%, 02/15/40(a) | 250 | 353,115 | ||||||
4.25%, 12/15/41(a) | 2,000 | 2,485,794 | ||||||
3.70%, 12/01/47 | 500 | 592,229 | ||||||
3.95%, 03/15/48 | 1,000 | 1,237,637 | ||||||
3.20%, 08/15/49(a) | 930 | 1,032,905 | ||||||
Duke Energy Corp. | ||||||||
2.40%, 08/15/22(a) | 1,000 | 1,033,656 | ||||||
3.95%, 10/15/23 | 250 | 272,551 | ||||||
3.75%, 04/15/24(a) | 500 | 549,125 | ||||||
0.90%, 09/15/25 | 415 | 415,059 | ||||||
2.65%, 09/01/26(a) | 500 | 540,887 | ||||||
3.15%, 08/15/27 | 500 | 551,913 | ||||||
2.45%, 06/01/30(a) | 1,695 | 1,787,285 | ||||||
4.80%, 12/15/45 | 250 | 318,924 | ||||||
3.75%, 09/01/46 | 1,500 | 1,712,421 | ||||||
3.95%, 08/15/47 | 500 | 590,631 | ||||||
4.20%, 06/15/49 | 500 | 614,081 | ||||||
Duke Energy Florida LLC | ||||||||
2.50%, 12/01/29(a) | 345 | 374,228 | ||||||
1.75%, 06/15/30 | 470 | 477,311 | ||||||
3.40%, 10/01/46 | 250 | 280,810 | ||||||
Duke Energy Indiana LLC | ||||||||
3.75%, 05/15/46 | 500 | 587,825 | ||||||
2.75%, 04/01/50 | 1,000 | 1,023,820 | ||||||
Series UUU, 4.20%, 03/15/42(a) | 400 | 474,761 | ||||||
Series WWW, 4.90%, 07/15/43 | 250 | 332,007 | ||||||
Series YYY, 3.25%, 10/01/49(a) | 500 | 558,075 | ||||||
Duke Energy Ohio, Inc. | ||||||||
2.13%, 06/01/30 | 610 | 640,319 | ||||||
3.70%, 06/15/46 | 250 | 289,004 | ||||||
Duke Energy Progress LLC | ||||||||
3.38%, 09/01/23 | 250 | 270,734 | ||||||
3.70%, 09/01/28 | 365 | 423,872 | ||||||
4.10%, 05/15/42 | 150 | 182,925 | ||||||
4.10%, 03/15/43 | 250 | 305,416 | ||||||
4.38%, 03/30/44 | 100 | 126,888 | ||||||
4.20%, 08/15/45 | 250 | 311,399 | ||||||
3.70%, 10/15/46 | 500 | 588,857 |
16 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Duke Energy Progress LLC (continued) | ||||||||
2.50%, 08/15/50 | $ | 500 | $ | 484,767 | ||||
Edison International | ||||||||
3.13%, 11/15/22 | 95 | 98,023 | ||||||
3.55%, 11/15/24 | 175 | 184,505 | ||||||
5.75%, 06/15/27(a) | 2,050 | 2,263,433 | ||||||
4.13%, 03/15/28 | 1,000 | 1,025,995 | ||||||
Entergy Arkansas LLC, 3.50%, 04/01/26 | 65 | 73,560 | ||||||
Entergy Corp. | ||||||||
4.00%, 07/15/22(a) | 200 | 210,953 | ||||||
0.90%, 09/15/25 | 665 | 662,332 | ||||||
2.80%, 06/15/30 | 310 | 335,136 | ||||||
3.75%, 06/15/50 | 135 | 152,940 | ||||||
Entergy Louisiana LLC | ||||||||
4.05%, 09/01/23(a) | 250 | 273,401 | ||||||
5.40%, 11/01/24 | 3,000 | 3,534,663 | ||||||
4.00%, 03/15/33 | 250 | 313,038 | ||||||
4.20%, 09/01/48 | 250 | 316,815 | ||||||
4.20%, 04/01/50 | 1,000 | 1,284,193 | ||||||
Entergy Mississippi LLC | ||||||||
2.85%, 06/01/28(a) | 500 | 549,871 | ||||||
3.85%, 06/01/49 | 500 | 603,952 | ||||||
Entergy Texas, Inc., 3.55%, 09/30/49(a) | 200 | 224,930 | ||||||
Evergy Kansas Central, Inc. | ||||||||
2.55%, 07/01/26 | 350 | 379,342 | ||||||
4.25%, 12/01/45 | 1,000 | 1,257,622 | ||||||
3.25%, 09/01/49(a) | 500 | 546,215 | ||||||
3.45%, 04/15/50 | 500 | 566,651 | ||||||
Evergy Metro, Inc., 3.65%, 08/15/25 | 150 | 169,322 | ||||||
Evergy, Inc.(a) | ||||||||
2.45%, 09/15/24 | 500 | 529,294 | ||||||
2.90%, 09/15/29 | 500 | 536,658 | ||||||
Eversource Energy | ||||||||
0.80%, 08/15/25 | 800 | 795,999 | ||||||
1.65%, 08/15/30 | 800 | 792,682 | ||||||
3.45%, 01/15/50 | 400 | 449,295 | ||||||
Series H, 3.15%, 01/15/25(a) | 125 | 136,349 | ||||||
Series M, 3.30%, 01/15/28 | 2,000 | 2,233,379 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 | 500 | 522,741 | ||||||
3.95%, 06/15/25(a) | 250 | 281,792 | ||||||
3.40%, 04/15/26(a) | 750 | 839,746 | ||||||
4.05%, 04/15/30 | 1,000 | 1,173,038 | ||||||
5.10%, 06/15/45 | 250 | 324,301 | ||||||
4.45%, 04/15/46(a) | 250 | 303,380 | ||||||
4.70%, 04/15/50 | 500 | 635,911 | ||||||
Exelon Generation Co. LLC | ||||||||
4.25%, 06/15/22 | 500 | 527,938 | ||||||
6.25%, 10/01/39 | 150 | 185,942 | ||||||
5.75%, 10/01/41 | 500 | 574,323 | ||||||
5.60%, 06/15/42 | 50 | 58,929 | ||||||
FirstEnergy Corp. | ||||||||
2.25%, 09/01/30 | 795 | 777,537 | ||||||
7.38%, 11/15/31 | 500 | 701,032 | ||||||
Series A, 1.60%, 01/15/26 | 360 | 357,764 | ||||||
Series B, 3.90%, 07/15/27(a) | 2,000 | 2,198,919 | ||||||
Series C, 4.85%, 07/15/47 | 500 | 602,326 | ||||||
Florida Power & Light Co. | ||||||||
2.75%, 06/01/23 | 250 | 262,739 | ||||||
2.85%, 04/01/25 | 120 | 131,564 | ||||||
3.13%, 12/01/25(a) | 500 | 556,949 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Florida Power & Light Co. (continued) | ||||||||
5.95%, 02/01/38 | $ | 50 | $ | 73,997 | ||||
5.25%, 02/01/41 | 500 | 697,343 | ||||||
4.13%, 02/01/42 | 500 | 623,351 | ||||||
4.05%, 10/01/44 | 750 | 945,037 | ||||||
3.70%, 12/01/47 | 1,000 | 1,216,661 | ||||||
3.95%, 03/01/48 | 500 | 632,488 | ||||||
4.13%, 06/01/48 | 500 | 653,866 | ||||||
3.15%, 10/01/49(a) | 885 | 1,004,660 | ||||||
Georgia Power Co.(a) | ||||||||
4.30%, 03/15/42 | 700 | 837,844 | ||||||
3.70%, 01/30/50 | 1,000 | 1,111,934 | ||||||
Series A, 2.20%, 09/15/24 | 1,000 | 1,054,942 | ||||||
Series B, 2.65%, 09/15/29 | 1,000 | 1,071,495 | ||||||
Indiana Michigan Power Co. | ||||||||
6.05%, 03/15/37 | 175 | 247,276 | ||||||
4.25%, 08/15/48 | 250 | 309,137 | ||||||
Series K, 4.55%, 03/15/46 | 150 | 191,715 | ||||||
Interstate Power & Light Co. | ||||||||
3.25%, 12/01/24 | 250 | 274,126 | ||||||
3.70%, 09/15/46 | 500 | 566,229 | ||||||
3.50%, 09/30/49 | 105 | 115,022 | ||||||
IPALCO Enterprises Inc., 4.25%, 05/01/30(b) | 1,000 | 1,131,453 | ||||||
ITC Holdings Corp., 3.25%, 06/30/26 | 1,000 | 1,116,539 | ||||||
Kentucky Utilities Co., 3.30%, 06/01/50 | 300 | 329,554 | ||||||
Louisville Gas & Electric Co., 4.65%, 11/15/43 | 250 | 315,723 | ||||||
MidAmerican Energy Co. | ||||||||
3.65%, 04/15/29 | 500 | 595,724 | ||||||
4.80%, 09/15/43 | 250 | 335,066 | ||||||
4.40%, 10/15/44 | 1,000 | 1,268,423 | ||||||
4.25%, 07/15/49 | 1,500 | 1,944,204 | ||||||
3.15%, 04/15/50(a) | 250 | 277,039 | ||||||
Mississippi Power Co., Series 12-A, 4.25%, 03/15/42 | 500 | 590,041 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
2.30%, 09/15/22 | 1,000 | 1,035,832 | ||||||
3.40%, 11/15/23 | 350 | 378,810 | ||||||
2.85%, 01/27/25 | 250 | 272,345 | ||||||
3.40%, 02/07/28(a) | 2,000 | 2,307,288 | ||||||
2.40%, 03/15/30 | 830 | 904,918 | ||||||
4.30%, 03/15/49 | 500 | 649,492 | ||||||
Nevada Power Co. | ||||||||
2.40%, 05/01/30 | 400 | 428,083 | ||||||
5.45%, 05/15/41 | 50 | 67,535 | ||||||
3.13%, 08/01/50 | 400 | 429,485 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.80%, 01/15/23 | 1,000 | 1,049,724 | ||||||
3.63%, 06/15/23 | 1,250 | 1,341,126 | ||||||
3.15%, 04/01/24 | 500 | 540,863 | ||||||
2.75%, 05/01/25 | 2,000 | 2,161,692 | ||||||
3.55%, 05/01/27 | 1,000 | 1,130,250 | ||||||
2.75%, 11/01/29(a) | 245 | 265,669 | ||||||
2.25%, 06/01/30 | 2,300 | 2,381,714 | ||||||
Northern States Power Co. | ||||||||
2.60%, 05/15/23(a) | 500 | 522,061 | ||||||
3.40%, 08/15/42(a) | 200 | 228,376 | ||||||
4.00%, 08/15/45 | 85 | 106,520 | ||||||
3.60%, 09/15/47 | 150 | 178,072 | ||||||
2.90%, 03/01/50 | 445 | 476,525 | ||||||
2.60%, 06/01/51 | 305 | 309,651 | ||||||
NSTAR Electric Co., 2.70%, 06/01/26 | 250 | 270,291 |
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 | 17 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Oglethorpe Power Corp. | ||||||||
4.55%, 06/01/44 | $ | 250 | $ | 270,666 | ||||
5.05%, 10/01/48 | 500 | 591,136 | ||||||
3.75%, 08/01/50(b) | 250 | 249,006 | ||||||
Ohio Power Co., 4.15%, 04/01/48 | 1,000 | 1,245,231 | ||||||
Oklahoma Gas and Electric Co., 3.25%, 04/01/30(a) | 1,000 | 1,119,969 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
7.00%, 09/01/22 | 100 | 112,204 | ||||||
0.55%, 10/01/25(b) | 580 | 576,742 | ||||||
3.70%, 11/15/28(a) | 355 | 417,499 | ||||||
5.25%, 09/30/40 | 250 | 343,723 | ||||||
5.30%, 06/01/42 | 75 | 106,165 | ||||||
3.75%, 04/01/45 | 250 | 298,677 | ||||||
3.80%, 09/30/47 | 1,000 | 1,214,531 | ||||||
3.80%, 06/01/49(a) | 1,000 | 1,216,857 | ||||||
3.10%, 09/15/49(a) | 245 | 269,264 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.75%, 06/16/22 | 1,500 | 1,501,802 | ||||||
3.15%, 01/01/26 | 2,000 | 2,052,290 | ||||||
2.10%, 08/01/27 | 585 | 566,028 | ||||||
3.75%, 07/01/28 | 2,000 | 2,065,105 | ||||||
4.55%, 07/01/30 | 2,000 | 2,171,451 | ||||||
2.50%, 02/01/31 | 1,500 | 1,427,205 | ||||||
4.50%, 07/01/40 | 2,000 | 2,033,942 | ||||||
3.30%, 08/01/40(a) | 895 | 821,897 | ||||||
3.95%, 12/01/47 | 1,000 | 926,825 | ||||||
4.95%, 07/01/50 | 2,000 | 2,134,147 | ||||||
3.50%, 08/01/50 | 900 | 811,459 | ||||||
PacifiCorp | ||||||||
2.95%, 02/01/22 | 100 | 102,739 | ||||||
2.95%, 06/01/23(a) | 300 | 318,059 | ||||||
4.10%, 02/01/42 | 250 | 303,397 | ||||||
4.15%, 02/15/50 | 500 | 626,347 | ||||||
PECO Energy Co. | ||||||||
3.90%, 03/01/48 | 1,000 | 1,236,905 | ||||||
3.00%, 09/15/49(a) | 195 | 208,116 | ||||||
Pennsylvania Electric Co., 6.15%, 10/01/38 | 250 | 317,168 | ||||||
Potomac Electric Power Co. | ||||||||
3.60%, 03/15/24 | 250 | 272,838 | ||||||
4.15%, 03/15/43 | 250 | 302,499 | ||||||
PPL Capital Funding, Inc. | ||||||||
3.50%, 12/01/22 | 2,000 | 2,108,733 | ||||||
3.40%, 06/01/23 | 1,250 | 1,331,157 | ||||||
4.13%, 04/15/30 | 300 | 354,389 | ||||||
5.00%, 03/15/44 | 1,000 | 1,246,743 | ||||||
4.00%, 09/15/47(a) | 500 | 572,385 | ||||||
PPL Electric Utilities Corp.(a) | ||||||||
4.75%, 07/15/43 | 250 | 333,913 | ||||||
3.00%, 10/01/49 | 170 | 184,081 | ||||||
Progress Energy, Inc. | ||||||||
3.15%, 04/01/22 | 1,000 | 1,032,621 | ||||||
7.75%, 03/01/31 | 50 | 73,202 | ||||||
Public Service Co. of Colorado | ||||||||
3.70%, 06/15/28 | 1,000 | 1,167,028 | ||||||
1.90%, 01/15/31 | 800 | 831,843 | ||||||
3.60%, 09/15/42 | 250 | 294,044 | ||||||
3.95%, 03/15/43 | 200 | 238,931 | ||||||
4.30%, 03/15/44 | 75 | 95,897 | ||||||
3.80%, 06/15/47 | 1,000 | 1,218,215 | ||||||
2.70%, 01/15/51 | 800 | 813,131 |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Public Service Co. of New Hampshire, 3.60%, 07/01/49 | $ | 1,000 | $ | 1,165,433 | ||||
Public Service Co. of Oklahoma, Series G, 6.63%, 11/15/37 | 250 | 360,417 | ||||||
Public Service Electric & Gas Co. | ||||||||
2.38%, 05/15/23(a) | 250 | 261,123 | ||||||
3.05%, 11/15/24(a) | 250 | 271,826 | ||||||
3.20%, 05/15/29 | 500 | 571,022 | ||||||
2.45%, 01/15/30 | 400 | 434,161 | ||||||
3.95%, 05/01/42(a) | 50 | 60,939 | ||||||
3.65%, 09/01/42 | 50 | 58,660 | ||||||
3.80%, 03/01/46 | 1,250 | 1,515,712 | ||||||
3.85%, 05/01/49 | 500 | 628,234 | ||||||
3.15%, 01/01/50 | 400 | 452,543 | ||||||
Series K, 4.05%, 05/01/45 | 150 | 178,538 | ||||||
Public Service Enterprise Group, Inc., 2.88%, 06/15/24 | 1,000 | 1,069,953 | ||||||
Puget Energy, Inc. | ||||||||
5.63%, 07/15/22 | 500 | 535,785 | ||||||
3.65%, 05/15/25 | 250 | 267,567 | ||||||
Puget Sound Energy, Inc. | ||||||||
5.80%, 03/15/40(a) | 500 | 707,103 | ||||||
4.22%, 06/15/48 | 500 | 624,444 | ||||||
3.25%, 09/15/49 | 750 | 840,076 | ||||||
San Diego Gas & Electric Co. | ||||||||
4.30%, 04/01/42 | 100 | 117,223 | ||||||
4.15%, 05/15/48 | 1,000 | 1,211,484 | ||||||
Series NNN, 3.60%, 09/01/23 | 250 | 269,836 | ||||||
Series VVV, 1.70%, 10/01/30 | 500 | 498,024 | ||||||
Sempra Energy | ||||||||
4.05%, 12/01/23 | 250 | 273,558 | ||||||
3.55%, 06/15/24 | 250 | 270,633 | ||||||
3.75%, 11/15/25(a) | 250 | 279,546 | ||||||
3.40%, 02/01/28 | 2,000 | 2,199,628 | ||||||
4.00%, 02/01/48 | 1,000 | 1,127,749 | ||||||
Sierra Pacific Power Co., 2.60%, 05/01/26 | 1,250 | 1,362,355 | ||||||
Southern California Edison Co. | ||||||||
2.85%, 08/01/29(a) | 2,350 | 2,469,088 | ||||||
5.50%, 03/15/40(a) | 50 | 62,280 | ||||||
4.50%, 09/01/40 | 1,000 | 1,142,778 | ||||||
4.65%, 10/01/43(a) | 350 | 404,014 | ||||||
4.00%, 04/01/47 | 500 | 536,511 | ||||||
3.65%, 02/01/50(a) | 400 | 413,335 | ||||||
Series 08-A, 5.95%, 02/01/38 | 500 | 632,542 | ||||||
Series B, 2.40%, 02/01/22(a) | 250 | 254,882 | ||||||
Series B, 4.88%, 03/01/49 | 500 | 607,614 | ||||||
Series C, 3.60%, 02/01/45 | 250 | 256,682 | ||||||
Series C, 4.13%, 03/01/48(a) | 1,000 | 1,099,897 | ||||||
Series D, 3.40%, 06/01/23(a) | 1,000 | 1,063,466 | ||||||
Series E, 3.70%, 08/01/25 | 2,000 | 2,216,938 | ||||||
Southern Co. | ||||||||
2.95%, 07/01/23(a) | 500 | 531,337 | ||||||
3.25%, 07/01/26(a) | 500 | 557,930 | ||||||
4.40%, 07/01/46(a) | 750 | 887,133 | ||||||
Series B, (5 year CMT + 3.73%), 4.00%, 01/15/51(c) | 1,000 | 1,003,352 | ||||||
Southern Power Co. | ||||||||
5.25%, 07/15/43 | 500 | 583,221 | ||||||
Series E, 2.50%, 12/15/21(a) | 1,000 | 1,023,621 | ||||||
Southwestern Electric Power Co. | ||||||||
Series L, 3.85%, 02/01/48(a) | 500 | 554,539 |
18 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electric Utilities (continued) | ||||||||
Southwestern Electric Power Co. (continued) | ||||||||
Series M, 4.10%, 09/15/28 | $ | 1,000 | $ | 1,165,867 | ||||
Southwestern Public Service Co. | ||||||||
3.75%, 06/15/49(a) | 1,000 | 1,180,472 | ||||||
3.15%, 05/01/50 | 400 | 431,401 | ||||||
Tampa Electric Co. | ||||||||
4.10%, 06/15/42 | 250 | 301,895 | ||||||
4.45%, 06/15/49 | 250 | 322,924 | ||||||
3.63%, 06/15/50(a) | 80 | 92,946 | ||||||
Toledo Edison Co., 6.15%, 05/15/37 | 100 | 142,870 | ||||||
Tucson Electric Power Co. | ||||||||
1.50%, 08/01/30 | 865 | 857,411 | ||||||
4.85%, 12/01/48 | 250 | 336,890 | ||||||
Union Electric Co. | ||||||||
2.95%, 06/15/27 | 1,000 | 1,102,739 | ||||||
4.00%, 04/01/48 | 1,000 | 1,229,336 | ||||||
3.25%, 10/01/49 | 500 | 562,624 | ||||||
Virginia Electric & Power Co. | ||||||||
2.95%, 01/15/22(a) | 400 | 409,904 | ||||||
4.00%, 01/15/43 | 250 | 306,018 | ||||||
4.45%, 02/15/44 | 150 | 195,586 | ||||||
4.60%, 12/01/48(a) | 455 | 621,209 | ||||||
3.30%, 12/01/49 | 280 | 323,920 | ||||||
Series A, 3.15%, 01/15/26 | 555 | 616,520 | ||||||
Series A, 3.50%, 03/15/27(a) | 750 | 855,009 | ||||||
Series A, 2.88%, 07/15/29(a) | 115 | 128,883 | ||||||
Series A, 6.00%, 05/15/37 | 250 | 360,926 | ||||||
Series B, 6.00%, 01/15/36 | 1,000 | 1,410,220 | ||||||
Series B, 3.80%, 09/15/47 | 1,500 | 1,820,156 | ||||||
Series D, 4.65%, 08/15/43(a) | 500 | 662,237 | ||||||
WEC Energy Group, Inc., 3.55%, 06/15/25 | 350 | 392,426 | ||||||
Wisconsin Electric Power Co., 4.30%, 10/15/48(a) | 750 | 957,340 | ||||||
Wisconsin Power & Light Co., 3.00%, 07/01/29(a) | 1,000 | 1,126,907 | ||||||
Wisconsin Public Service Corp., 3.30%, 09/01/49 | 625 | 698,291 | ||||||
Xcel Energy, Inc. | ||||||||
3.30%, 06/01/25 | 292 | 322,239 | ||||||
3.35%, 12/01/26(a) | 500 | 563,262 | ||||||
4.00%, 06/15/28 | 1,000 | 1,176,869 | ||||||
2.60%, 12/01/29 | 200 | 216,077 | ||||||
4.80%, 09/15/41 | 250 | 312,895 | ||||||
3.50%, 12/01/49 | 200 | 222,180 | ||||||
|
| |||||||
260,728,480 | ||||||||
Electrical Equipment — 0.1% | ||||||||
Rockwell Automation, Inc., 4.20%, 03/01/49 | 1,000 | 1,312,422 | ||||||
Roper Technologies, Inc. | ||||||||
0.45%, 08/15/22 | 2,040 | 2,038,863 | ||||||
3.13%, 11/15/22 | 150 | 157,208 | ||||||
3.65%, 09/15/23(a) | 250 | 271,571 | ||||||
2.35%, 09/15/24(a) | 240 | 253,844 | ||||||
1.00%, 09/15/25 | 120 | 120,259 | ||||||
3.80%, 12/15/26(a) | 250 | 288,483 | ||||||
1.40%, 09/15/27 | 370 | 373,771 | ||||||
2.95%, 09/15/29(a) | 435 | 478,817 | ||||||
2.00%, 06/30/30 | 130 | 132,521 | ||||||
1.75%, 02/15/31 | 490 | 490,264 |
Security | Par (000) | Value | ||||||
Electrical Equipment (continued) | ||||||||
Tyco Electronics Group SA | ||||||||
3.50%, 02/03/22 | $ | 100 | $ | 103,216 | ||||
3.45%, 08/01/24 | 75 | 81,550 | ||||||
|
| |||||||
6,102,789 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||
ABB Finance USA, Inc. | ||||||||
2.88%, 05/08/22 | 100 | 103,994 | ||||||
3.80%, 04/03/28 | 1,000 | 1,188,488 | ||||||
Amphenol Corp., 2.80%, 02/15/30(a) | 1,000 | 1,093,675 | ||||||
Arrow Electronics, Inc., 4.00%, 04/01/25 | 500 | 543,636 | ||||||
Avnet, Inc., 3.75%, 12/01/21 | 1,000 | 1,028,704 | ||||||
Corning, Inc. | ||||||||
3.70%, 11/15/23(a) | 250 | 270,596 | ||||||
4.75%, 03/15/42 | 50 | 62,088 | ||||||
5.35%, 11/15/48 | 750 | 1,012,615 | ||||||
3.90%, 11/15/49 | 250 | 286,436 | ||||||
4.38%, 11/15/57 | 750 | 908,112 | ||||||
5.45%, 11/15/79 | 250 | 318,169 | ||||||
Honeywell International, Inc. | ||||||||
1.85%, 11/01/21(a) | 3,000 | 3,048,483 | ||||||
2.30%, 08/15/24 | 1,000 | 1,066,416 | ||||||
1.35%, 06/01/25 | 355 | 366,017 | ||||||
2.70%, 08/15/29 | 1,500 | 1,659,546 | ||||||
1.95%, 06/01/30 | 1,000 | 1,052,302 | ||||||
3.81%, 11/21/47(a) | 500 | 629,158 | ||||||
2.80%, 06/01/50 | 435 | 466,348 | ||||||
Keysight Technologies, Inc., | 800 | 874,525 | ||||||
|
| |||||||
15,979,308 | ||||||||
Energy Equipment & Services — 0.1% | ||||||||
Baker Hughes a GE Co. LLC, 5.13%, 09/15/40 | 100 | 118,493 | ||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co- Obligor, Inc. | ||||||||
2.77%, 12/15/22 | 500 | 522,814 | ||||||
3.34%, 12/15/27(a) | 450 | 478,215 | ||||||
3.14%, 11/07/29 | 325 | 339,103 | ||||||
4.08%, 12/15/47 | 1,500 | 1,499,794 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 | 2,415 | 2,624,103 | ||||||
2.92%, 03/01/30 | 1,000 | 985,373 | ||||||
4.85%, 11/15/35 | 1,000 | 1,061,662 | ||||||
4.50%, 11/15/41 | 50 | 47,035 | ||||||
4.75%, 08/01/43 | 1,250 | 1,233,121 | ||||||
5.00%, 11/15/45 | 1,175 | 1,211,955 | ||||||
National Oilwell Varco, Inc. | ||||||||
3.60%, 12/01/29 | 1,000 | 971,271 | ||||||
3.95%, 12/01/42 | 150 | 134,884 | ||||||
TechnipFMC PLC, 3.45%, 10/01/22 | 100 | 103,471 | ||||||
|
| |||||||
11,331,294 | ||||||||
Environmental, Maintenance, & Security Service — 0.1% | ||||||||
Republic Services, Inc. | ||||||||
3.55%, 06/01/22(a) | 250 | 260,813 | ||||||
4.75%, 05/15/23(a) | 250 | 274,912 | ||||||
2.50%, 08/15/24 | 205 | 218,204 | ||||||
3.20%, 03/15/25 | 250 | 274,335 | ||||||
2.90%, 07/01/26(a) | 85 | 93,992 | ||||||
3.95%, 05/15/28 | 1,750 | 2,061,662 | ||||||
1.45%, 02/15/31 | 880 | 867,855 |
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 | 19 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Environmental, Maintenance, & Security Service (continued) | ||||||||
Republic Services, Inc. (continued) | ||||||||
3.05%, 03/01/50 | $ | 1,000 | $ | 1,062,364 | ||||
Waste Connections, Inc., 3.05%, 04/01/50 | 1,000 | 1,046,207 | ||||||
Waste Management, Inc. | ||||||||
2.90%, 09/15/22(a) | 200 | 208,453 | ||||||
2.40%, 05/15/23 | 500 | 522,429 | ||||||
3.15%, 11/15/27 | 1,000 | 1,118,423 | ||||||
3.90%, 03/01/35(a) | 315 | 381,513 | ||||||
4.15%, 07/15/49 | 1,000 | 1,272,299 | ||||||
|
| |||||||
9,663,461 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 0.7% | ||||||||
Alexandria Real Estate Equities, Inc. | ||||||||
4.30%, 01/15/26 | 750 | 866,615 | ||||||
3.38%, 08/15/31(a) | 820 | 925,285 | ||||||
1.88%, 02/01/33 | 585 | 572,915 | ||||||
4.00%, 02/01/50(a) | 1,000 | 1,197,281 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.30%, 07/15/26 | 1,000 | 1,070,306 | ||||||
2.85%, 02/01/30 | 500 | 506,424 | ||||||
3.88%, 01/30/31 | 195 | 212,939 | ||||||
AvalonBay Communities, Inc. | ||||||||
2.95%, 09/15/22(a) | 100 | 103,979 | ||||||
3.45%, 06/01/25 | 100 | 110,807 | ||||||
3.20%, 01/15/28 | 2,000 | 2,225,396 | ||||||
3.30%, 06/01/29(a) | 255 | 289,936 | ||||||
2.45%, 01/15/31 | 835 | 893,184 | ||||||
3.90%, 10/15/46 | 250 | 303,202 | ||||||
Boston Properties LP | ||||||||
3.85%, 02/01/23 | 1,000 | 1,064,889 | ||||||
3.13%, 09/01/23(a) | 250 | 264,440 | ||||||
3.20%, 01/15/25 | 1,000 | 1,082,955 | ||||||
3.65%, 02/01/26(a) | 190 | 211,028 | ||||||
4.50%, 12/01/28(a) | 1,000 | 1,176,275 | ||||||
2.90%, 03/15/30(a) | 480 | 500,372 | ||||||
3.25%, 01/30/31 | 2,000 | 2,155,560 | ||||||
Brandywine Operating Partnership LP, 4.55%, 10/01/29(a) | 500 | 530,495 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.65%, 06/15/24 | 750 | 786,600 | ||||||
4.13%, 06/15/26 | 250 | 272,222 | ||||||
4.13%, 05/15/29 | 1,250 | 1,354,105 | ||||||
Camden Property Trust, 2.80%, 05/15/30 | 1,500 | 1,634,372 | ||||||
Choice Hotels International, Inc., 3.70%, 12/01/29 | 200 | 211,778 | ||||||
CubeSmart LP | ||||||||
3.00%, 02/15/30(a) | 1,500 | 1,610,136 | ||||||
2.00%, 02/15/31 | 500 | 493,345 | ||||||
CyrusOne LP/CyrusOne Finance Corp., 2.15%, 11/01/30 | 275 | 268,702 | ||||||
Duke Realty LP | ||||||||
2.88%, 11/15/29(a) | 540 | 589,055 | ||||||
1.75%, 07/01/30 | 325 | 323,509 | ||||||
ERP Operating LP | ||||||||
4.63%, 12/15/21 | 2,000 | 2,079,094 | ||||||
3.00%, 04/15/23 | 500 | 526,340 | ||||||
3.25%, 08/01/27 | 500 | 556,485 | ||||||
3.50%, 03/01/28(a) | 1,000 | 1,131,049 | ||||||
3.00%, 07/01/29(a) | 735 | 809,784 | ||||||
2.50%, 02/15/30(a) | 405 | 430,063 |
Security | Par (000) | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
ERP Operating LP (continued) | ||||||||
4.50%, 07/01/44 | $ | 150 | $ | 192,501 | ||||
4.50%, 06/01/45 | 500 | 641,067 | ||||||
Essex Portfolio LP | ||||||||
3.88%, 05/01/24 | 100 | 109,336 | ||||||
4.00%, 03/01/29 | 1,000 | 1,157,847 | ||||||
3.00%, 01/15/30(a) | 200 | 214,950 | ||||||
1.65%, 01/15/31 | 90 | 87,693 | ||||||
2.65%, 03/15/32 | 95 | 100,320 | ||||||
2.65%, 09/01/50 | 400 | 375,371 | ||||||
Federal Realty Investment Trust | ||||||||
3.25%, 07/15/27(a) | 500 | 530,938 | ||||||
3.50%, 06/01/30 | 800 | 865,560 | ||||||
Healthcare Trust of America Holdings LP, 3.10%, 02/15/30(a) | 1,000 | 1,076,078 | ||||||
Healthpeak Properties, Inc. | ||||||||
3.40%, 02/01/25(a) | 500 | 547,217 | ||||||
4.00%, 06/01/25(a) | 500 | 563,175 | ||||||
3.50%, 07/15/29(a) | 1,500 | 1,670,615 | ||||||
3.00%, 01/15/30(a) | 530 | 571,206 | ||||||
2.88%, 01/15/31 | 90 | 95,001 | ||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/28(a) | 250 | 275,817 | ||||||
3.05%, 02/15/30 | 500 | 517,252 | ||||||
Host Hotels & Resorts LP(a) | ||||||||
Series E, 4.00%, 06/15/25 | 190 | 197,281 | ||||||
Series H, 3.38%, 12/15/29 | 1,000 | 935,097 | ||||||
Hudson Pacific Properties LP, | 1,000 | 1,141,688 | ||||||
Hyatt Hotels Corp. | ||||||||
3.38%, 07/15/23 | 190 | 194,654 | ||||||
4.38%, 09/15/28 | 305 | 314,707 | ||||||
5.75%, 04/23/30 | 500 | 574,131 | ||||||
Kilroy Realty LP | ||||||||
3.05%, 02/15/30(a) | 1,000 | 1,046,975 | ||||||
2.50%, 11/15/32 | 375 | 365,137 | ||||||
Kimco Realty Corp. | ||||||||
3.30%, 02/01/25 | 350 | 377,983 | ||||||
2.80%, 10/01/26 | 500 | 534,140 | ||||||
4.45%, 09/01/47 | 350 | 380,522 | ||||||
3.70%, 10/01/49(a) | 500 | 490,760 | ||||||
Life Storage LP | ||||||||
4.00%, 06/15/29 | 1,000 | 1,135,687 | ||||||
2.20%, 10/15/30 | 130 | 129,668 | ||||||
Marriott International, Inc. | ||||||||
3.13%, 06/15/26 | 1,000 | 997,608 | ||||||
4.63%, 06/15/30 | 1,000 | 1,070,947 | ||||||
Series EE, 5.75%, 05/01/25(a) | 1,100 | 1,227,622 | ||||||
Mid-America Apartments LP | ||||||||
4.30%, 10/15/23 | 200 | 218,523 | ||||||
3.60%, 06/01/27 | 500 | 557,248 | ||||||
3.95%, 03/15/29(a) | 500 | 578,923 | ||||||
1.70%, 02/15/31 | 195 | 192,000 | ||||||
National Retail Properties, Inc. | ||||||||
3.30%, 04/15/23(a) | 500 | 525,854 | ||||||
4.30%, 10/15/28 | 1,000 | 1,117,099 | ||||||
3.10%, 04/15/50 | 1,000 | 893,443 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
4.50%, 04/01/27 | 250 | 268,652 | ||||||
4.75%, 01/15/28(a) | 500 | 548,389 | ||||||
3.63%, 10/01/29(a) | 600 | 607,976 |
20 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
Piedmont Operating Partnership LP, 3.15%, 08/15/30 | $ | 500 | $ | 489,813 | ||||
Realty Income Corp. | ||||||||
4.65%, 08/01/23 | 250 | 276,246 | ||||||
4.13%, 10/15/26 | 1,000 | 1,157,124 | ||||||
3.00%, 01/15/27(a) | 1,000 | 1,087,996 | ||||||
3.25%, 06/15/29(a) | 975 | 1,078,344 | ||||||
3.25%, 01/15/31 | 670 | 741,453 | ||||||
Regency Centers LP | ||||||||
2.95%, 09/15/29(a) | 1,000 | 1,035,982 | ||||||
3.70%, 06/15/30 | 500 | 548,881 | ||||||
4.40%, 02/01/47 | 500 | 560,938 | ||||||
Sabra Health Care LP/Sabra Capital Corp., | 1,000 | 974,139 | ||||||
Simon Property Group LP | ||||||||
2.35%, 01/30/22 | 2,000 | 2,035,302 | ||||||
2.63%, 06/15/22(a) | 250 | 256,644 | ||||||
2.00%, 09/13/24(a) | 1,040 | 1,072,071 | ||||||
3.38%, 10/01/24(a) | 500 | 541,196 | ||||||
3.30%, 01/15/26(a) | 1,500 | 1,625,026 | ||||||
3.38%, 06/15/27(a) | 750 | 804,123 | ||||||
2.45%, 09/13/29(a) | 500 | 495,262 | ||||||
4.75%, 03/15/42 | 100 | 114,830 | ||||||
4.25%, 10/01/44 | 250 | 271,221 | ||||||
4.25%, 11/30/46 | 500 | 535,977 | ||||||
3.25%, 09/13/49(a) | 655 | 600,710 | ||||||
3.80%, 07/15/50 | 1,000 | 1,015,311 | ||||||
SITE Centers Corp., 4.25%, 02/01/26(a) | 250 | 267,674 | ||||||
Spirit Realty LP | ||||||||
4.00%, 07/15/29 | 425 | 442,082 | ||||||
3.40%, 01/15/30(a) | 500 | 497,124 | ||||||
UDR, Inc. | ||||||||
4.40%, 01/26/29(a) | 1,000 | 1,180,821 | ||||||
3.20%, 01/15/30 | 500 | 553,982 | ||||||
3.00%, 08/15/31 | 500 | 541,026 | ||||||
Ventas Realty LP | ||||||||
2.65%, 01/15/25(a) | 650 | 678,824 | ||||||
4.13%, 01/15/26 | 1,250 | 1,404,529 | ||||||
3.25%, 10/15/26 | 500 | 530,787 | ||||||
4.00%, 03/01/28(a) | 1,500 | 1,633,490 | ||||||
3.00%, 01/15/30 | 1,000 | 1,019,628 | ||||||
VEREIT Operating Partnership LP | ||||||||
3.95%, 08/15/27 | 500 | 533,359 | ||||||
3.10%, 12/15/29 | 500 | 500,874 | ||||||
Welltower, Inc. | ||||||||
3.63%, 03/15/24(a) | 500 | 540,837 | ||||||
4.00%, 06/01/25 | 1,250 | 1,403,133 | ||||||
4.25%, 04/01/26(a) | 350 | 400,937 | ||||||
4.13%, 03/15/29(a) | 1,000 | 1,134,716 | ||||||
3.10%, 01/15/30 | 1,000 | 1,062,405 | ||||||
2.75%, 01/15/31 | 2,000 | 2,060,937 | ||||||
|
| |||||||
89,261,334 | ||||||||
Food & Staples Retailing — 0.6% | ||||||||
Campbell Soup Co. | ||||||||
3.65%, 03/15/23(a) | 1,000 | 1,070,585 | ||||||
3.30%, 03/19/25(a) | 500 | 543,456 | ||||||
4.80%, 03/15/48 | 750 | 963,526 | ||||||
Conagra Brands, Inc. | ||||||||
3.25%, 09/15/22 | 200 | 210,284 | ||||||
3.20%, 01/25/23(a) | 500 | 526,582 |
Security | Par (000) | Value | ||||||
Food & Staples Retailing (continued) | ||||||||
Conagra Brands, Inc. (continued) | ||||||||
4.30%, 05/01/24(a) | $ | 1,000 | $ | 1,115,690 | ||||
4.60%, 11/01/25 | 1,000 | 1,160,911 | ||||||
5.30%, 11/01/38(a) | 1,000 | 1,289,190 | ||||||
5.40%, 11/01/48(a) | 500 | 680,383 | ||||||
Costco Wholesale Corp. | ||||||||
3.00%, 05/18/27(a) | 1,500 | 1,681,548 | ||||||
1.60%, 04/20/30 | 1,500 | 1,525,098 | ||||||
Dollar General Corp., 4.13%, 04/03/50 | 1,000 | 1,185,957 | ||||||
Dollar Tree, Inc. | ||||||||
3.70%, 05/15/23 | 2,500 | 2,688,465 | ||||||
4.20%, 05/15/28(a) | 1,000 | 1,176,034 | ||||||
General Mills, Inc. | ||||||||
3.15%, 12/15/21 | 650 | 667,188 | ||||||
2.60%, 10/12/22 | 250 | 260,142 | ||||||
3.65%, 02/15/24 | 500 | 544,903 | ||||||
3.20%, 02/10/27(a) | 250 | 280,719 | ||||||
4.20%, 04/17/28(a) | 1,000 | 1,180,589 | ||||||
2.88%, 04/15/30 | 1,000 | 1,096,422 | ||||||
4.15%, 02/15/43 | 300 | 368,731 | ||||||
4.70%, 04/17/48(a) | 750 | 1,023,905 | ||||||
Ingredion Inc., 3.90%, 06/01/50 | 500 | 562,366 | ||||||
Kellogg Co. | ||||||||
2.65%, 12/01/23 | 1,000 | 1,059,911 | ||||||
3.25%, 04/01/26(a) | 65 | 72,484 | ||||||
4.30%, 05/15/28(a) | 1,000 | 1,181,979 | ||||||
4.50%, 04/01/46(a) | 350 | 437,481 | ||||||
Koninklijke Ahold Delhaize NV, 5.70%, 10/01/40 | 73 | 103,739 | ||||||
Kroger Co. | ||||||||
3.40%, 04/15/22(a) | 100 | 103,729 | ||||||
3.50%, 02/01/26 | 495 | 557,716 | ||||||
2.65%, 10/15/26(a) | 1,000 | 1,089,613 | ||||||
3.70%, 08/01/27(a) | 500 | 572,958 | ||||||
4.50%, 01/15/29 | 1,000 | 1,227,746 | ||||||
2.20%, 05/01/30 | 1,500 | 1,575,134 | ||||||
5.15%, 08/01/43 | 125 | 160,657 | ||||||
3.88%, 10/15/46(a) | 500 | 566,768 | ||||||
4.45%, 02/01/47(a) | 1,000 | 1,227,245 | ||||||
4.65%, 01/15/48 | 500 | 634,819 | ||||||
5.40%, 01/15/49 | 500 | 690,146 | ||||||
3.95%, 01/15/50(a) | 300 | 350,185 | ||||||
McCormick & Co., Inc., 2.50%, 04/15/30 | 2,000 | 2,139,142 | ||||||
Sysco Corp. | ||||||||
3.55%, 03/15/25(a) | 1,000 | 1,091,401 | ||||||
3.75%, 10/01/25 | 100 | 109,864 | ||||||
3.30%, 07/15/26(a) | 630 | 686,828 | ||||||
5.95%, 04/01/30 | 1,000 | 1,267,429 | ||||||
6.60%, 04/01/40 | 1,000 | 1,352,530 | ||||||
4.85%, 10/01/45 | 150 | 168,590 | ||||||
4.50%, 04/01/46(a) | 250 | 274,324 | ||||||
4.45%, 03/15/48 | 500 | 551,402 | ||||||
6.60%, 04/01/50 | 600 | 842,244 | ||||||
Target Corp. | ||||||||
2.90%, 01/15/22 | 150 | 155,197 | ||||||
3.50%, 07/01/24 | 1,000 | 1,106,073 | ||||||
2.25%, 04/15/25 | 1,420 | 1,521,558 | ||||||
2.50%, 04/15/26(a) | 250 | 273,448 | ||||||
3.38%, 04/15/29(a) | 1,000 | 1,162,699 | ||||||
2.35%, 02/15/30 | 980 | 1,064,025 | ||||||
2.65%, 09/15/30 | 1,160 | 1,295,210 | ||||||
4.00%, 07/01/42(a) | 350 | 458,730 |
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 | 21 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Food & Staples Retailing (continued) | ||||||||
Target Corp. (continued) | ||||||||
3.63%, 04/15/46(a) | $ | 850 | $ | 1,072,588 | ||||
3.90%, 11/15/47 | 500 | 661,623 | ||||||
Walgreen Co., 3.10%, 09/15/22(a) | 200 | 209,384 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
3.30%, 11/18/21 | 500 | 512,765 | ||||||
3.80%, 11/18/24(a) | 1,000 | 1,101,277 | ||||||
3.45%, 06/01/26(a) | 1,305 | 1,425,920 | ||||||
4.50%, 11/18/34 | 155 | 177,264 | ||||||
4.80%, 11/18/44(a) | 1,150 | 1,258,482 | ||||||
4.65%, 06/01/46 | 1,000 | 1,065,303 | ||||||
Walmart, Inc. | ||||||||
2.35%, 12/15/22(a) | 1,250 | 1,303,991 | ||||||
3.40%, 06/26/23(a) | 2,000 | 2,160,752 | ||||||
3.30%, 04/22/24(a) | 1,750 | 1,909,400 | ||||||
2.85%, 07/08/24 | 2,500 | 2,716,327 | ||||||
2.65%, 12/15/24(a) | 250 | 270,761 | ||||||
3.70%, 06/26/28 | 1,000 | 1,182,465 | ||||||
3.25%, 07/08/29(a) | 250 | 291,464 | ||||||
2.38%, 09/24/29(a) | 275 | 303,552 | ||||||
3.95%, 06/28/38(a) | 1,000 | 1,253,445 | ||||||
4.88%, 07/08/40 | 2,000 | 2,731,445 | ||||||
4.00%, 04/11/43(a) | 150 | 186,921 | ||||||
4.30%, 04/22/44 | 750 | 991,201 | ||||||
3.63%, 12/15/47 | 1,000 | 1,231,372 | ||||||
4.05%, 06/29/48(a) | 1,900 | 2,479,668 | ||||||
2.95%, 09/24/49(a) | 1,495 | 1,681,931 | ||||||
|
| |||||||
77,114,979 | ||||||||
Food Products — 0.1% | ||||||||
Archer-Daniels-Midland Co. | ||||||||
2.50%, 08/11/26(a) | 1,750 | 1,896,324 | ||||||
4.54%, 03/26/42 | 37 | 49,635 | ||||||
4.02%, 04/16/43 | 125 | 158,065 | ||||||
3.75%, 09/15/47(a) | 1,000 | 1,255,787 | ||||||
4.50%, 03/15/49 | 1,000 | 1,401,936 | ||||||
Bunge, Ltd. Finance Corp., 3.75%, 09/25/27(a) | 1,000 | 1,085,688 | ||||||
Hershey Co. | ||||||||
2.05%, 11/15/24 | 500 | 530,229 | ||||||
2.45%, 11/15/29 | 500 | 542,454 | ||||||
3.13%, 11/15/49 | 500 | 552,875 | ||||||
JM Smucker Co. | ||||||||
3.50%, 10/15/21 | 50 | 51,542 | ||||||
3.50%, 03/15/25(a) | 1,250 | 1,404,714 | ||||||
4.25%, 03/15/35 | 250 | 301,599 | ||||||
4.38%, 03/15/45 | 500 | 603,405 | ||||||
Mondelez International, Inc. | ||||||||
3.63%, 05/07/23(a) | 500 | 541,550 | ||||||
1.50%, 05/04/25 | 350 | 359,674 | ||||||
2.75%, 04/13/30 | 2,000 | 2,174,852 | ||||||
1.50%, 02/04/31 | 580 | 565,385 | ||||||
4.63%, 05/07/48 | 500 | 689,350 | ||||||
2.63%, 09/04/50 | 215 | 208,741 | ||||||
Tyson Foods, Inc. | ||||||||
4.50%, 06/15/22 | 150 | 158,673 | ||||||
3.55%, 06/02/27(a) | 1,000 | 1,131,007 | ||||||
4.88%, 08/15/34 | 70 | 91,507 | ||||||
5.15%, 08/15/44 | 250 | 331,729 |
Security | Par (000) | Value | ||||||
Food Products (continued) | ||||||||
Tyson Foods, Inc. (continued) | ||||||||
4.55%, 06/02/47 | $ | 250 | $ | 314,983 | ||||
5.10%, 09/28/48 | 1,500 | 2,073,175 | ||||||
|
| |||||||
18,474,879 | ||||||||
Health — 0.0% | ||||||||
Northwell Healthcare, Inc., 4.26%, 11/01/47 | 70 | 80,359 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.4% | ||||||||
Abbott Laboratories | ||||||||
2.55%, 03/15/22(a) | 1,000 | 1,033,825 | ||||||
3.88%, 09/15/25(a) | 45 | 51,419 | ||||||
3.75%, 11/30/26(a) | 417 | 484,092 | ||||||
1.15%, 01/30/28 | 530 | 533,758 | ||||||
1.40%, 06/30/30 | 445 | 447,886 | ||||||
4.75%, 11/30/36(a) | 2,250 | 3,011,666 | ||||||
5.30%, 05/27/40 | 500 | 731,486 | ||||||
4.75%, 04/15/43(a) | 250 | 340,965 | ||||||
4.90%, 11/30/46 | 1,500 | 2,126,701 | ||||||
Baxter International, Inc. | ||||||||
3.75%, 10/01/25(b) | 1,000 | 1,134,429 | ||||||
2.60%, 08/15/26(a) | 730 | 798,155 | ||||||
3.95%, 04/01/30(b) | 500 | 599,006 | ||||||
Becton Dickinson & Co. | ||||||||
2.89%, 06/06/22(a) | 500 | 517,705 | ||||||
3.36%, 06/06/24(a) | 1,000 | 1,082,228 | ||||||
3.73%, 12/15/24(a) | 1,250 | 1,379,610 | ||||||
3.70%, 06/06/27 | 1,630 | 1,848,161 | ||||||
2.82%, 05/20/30 | 470 | 506,853 | ||||||
6.00%, 05/15/39 | 250 | 329,365 | ||||||
4.69%, 12/15/44 | 196 | 242,343 | ||||||
4.67%, 06/06/47 | 500 | 617,400 | ||||||
3.79%, 05/20/50 | 455 | 508,925 | ||||||
Boston Scientific Corp. | ||||||||
3.45%, 03/01/24 | 2,000 | 2,166,821 | ||||||
3.85%, 05/15/25 | 382 | 433,344 | ||||||
4.00%, 03/01/29(a) | 250 | 290,835 | ||||||
4.55%, 03/01/39(a) | 1,000 | 1,252,306 | ||||||
4.70%, 03/01/49 | 800 | 1,056,801 | ||||||
Danaher Corp., 2.60%, 10/01/50(e) | 500 | 490,170 | ||||||
DH Europe Finance II Sarl | ||||||||
2.05%, 11/15/22 | 300 | 309,268 | ||||||
2.20%, 11/15/24 | 1,000 | 1,056,636 | ||||||
2.60%, 11/15/29 | 445 | 483,785 | ||||||
3.25%, 11/15/39 | 400 | 447,422 | ||||||
3.40%, 11/15/49(a) | 675 | 765,028 | ||||||
Koninklijke Philips NV, 5.00%, 03/15/42(a) | 250 | 327,300 | ||||||
Medtronic Global Holdings SCA, 3.35%, 04/01/27(a) | 250 | 284,320 | ||||||
Medtronic, Inc. | ||||||||
3.15%, 03/15/22 | 1,350 | 1,403,984 | ||||||
3.63%, 03/15/24(a) | 400 | 438,435 | ||||||
3.50%, 03/15/25 | 2,584 | 2,911,195 | ||||||
4.38%, 03/15/35(a) | 350 | 467,497 | ||||||
4.63%, 03/15/45 | 1,750 | 2,409,074 | ||||||
Stryker Corp. | ||||||||
3.38%, 11/01/25 | 580 | 646,690 | ||||||
3.50%, 03/15/26(a) | 500 | 564,248 | ||||||
4.63%, 03/15/46 | 1,250 | 1,629,514 | ||||||
2.90%, 06/15/50 | 500 | 515,405 |
22 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Health Care Equipment & Supplies (continued) | ||||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.00%, 04/15/23(a) | $ | 2,000 | $ | 2,115,395 | ||||
4.15%, 02/01/24(a) | 250 | 276,203 | ||||||
3.65%, 12/15/25 | 500 | 563,474 | ||||||
3.20%, 08/15/27(a) | 500 | 562,692 | ||||||
2.60%, 10/01/29(a) | 970 | 1,057,402 | ||||||
4.50%, 03/25/30 | 1,000 | 1,237,119 | ||||||
4.10%, 08/15/47(a) | 500 | 639,096 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.15%, 04/01/22(a) | 1,500 | 1,551,497 | ||||||
3.55%, 04/01/25 | 750 | 829,116 | ||||||
4.45%, 08/15/45 | 500 | 555,930 | ||||||
|
| |||||||
48,063,980 | ||||||||
Health Care Providers & Services — 0.6% | ||||||||
Adventist Health System/West, 3.63%, 03/01/49 | 197 | 203,563 | ||||||
Advocate Health & Hospitals Corp. | ||||||||
3.83%, 08/15/28 | 74 | 85,686 | ||||||
4.27%, 08/15/48 | 107 | 136,595 | ||||||
3.39%, 10/15/49 | 85 | 94,864 | ||||||
3.01%, 06/15/50 | 265 | 280,752 | ||||||
Aetna, Inc. | ||||||||
2.75%, 11/15/22(a) | 2,250 | 2,338,881 | ||||||
2.80%, 06/15/23(a) | 1,500 | 1,580,709 | ||||||
3.50%, 11/15/24(a) | 320 | 350,661 | ||||||
6.75%, 12/15/37(a) | 300 | 435,202 | ||||||
4.50%, 05/15/42 | 250 | 297,654 | ||||||
4.75%, 03/15/44(a) | 1,025 | 1,265,790 | ||||||
3.88%, 08/15/47 | 1,050 | 1,172,961 | ||||||
Allina Health System, Series 2019, 3.89%, 04/15/49 | 220 | 265,606 | ||||||
AmerisourceBergen Corp. | ||||||||
3.45%, 12/15/27(a) | 750 | 854,951 | ||||||
2.80%, 05/15/30 | 400 | 427,662 | ||||||
4.25%, 03/01/45 | 250 | 286,107 | ||||||
4.30%, 12/15/47 | 500 | 581,841 | ||||||
Anthem, Inc. | ||||||||
3.13%, 05/15/22 | 1,200 | 1,251,489 | ||||||
2.95%, 12/01/22(a) | 4,000 | 4,205,083 | ||||||
3.30%, 01/15/23(a) | 100 | 106,015 | ||||||
3.50%, 08/15/24 | 250 | 274,077 | ||||||
2.38%, 01/15/25(a) | 160 | 170,156 | ||||||
2.25%, 05/15/30 | 785 | 808,363 | ||||||
4.63%, 05/15/42 | 50 | 62,802 | ||||||
4.65%, 01/15/43(a) | 2,000 | 2,522,258 | ||||||
5.10%, 01/15/44(a) | 900 | 1,189,590 | ||||||
4.65%, 08/15/44 | 350 | 439,372 | ||||||
4.38%, 12/01/47 | 1,000 | 1,224,825 | ||||||
4.55%, 03/01/48 | 250 | 315,024 | ||||||
3.13%, 05/15/50 | 845 | 861,242 | ||||||
Ascension Health | ||||||||
3.95%, 11/15/46 | 1,000 | 1,248,373 | ||||||
Series B, 2.53%, 11/15/29(a) | 150 | 162,652 | ||||||
Series B, 3.11%, 11/15/39 | 52 | 55,817 | ||||||
BayCare Health System, Inc., 3.83%, 11/15/50 | 285 | 350,046 | ||||||
Bon Secours Mercy Health, Inc., 3.46%, 06/01/30 | 200 | 224,673 | ||||||
Cardinal Health, Inc. | ||||||||
2.62%, 06/15/22 | 1,000 | 1,031,996 | ||||||
3.50%, 11/15/24 | 250 | 273,361 | ||||||
3.75%, 09/15/25(a) | 500 | 558,754 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
Cardinal Health, Inc. (continued) | ||||||||
3.41%, 06/15/27(a) | $ | 1,000 | $ | 1,113,312 | ||||
4.60%, 03/15/43 | 50 | 54,815 | ||||||
4.90%, 09/15/45 | 250 | 289,199 | ||||||
4.37%, 06/15/47 | 500 | 541,979 | ||||||
Children’s Health System of Texas, 2.51%, 08/15/50 | 71 | 67,448 | ||||||
Children’s Hospital Corp., Series 2017, 4.12%, 01/01/47 | 200 | 249,176 | ||||||
CHRISTUS Health, Series C, | 155 | 180,388 | ||||||
CommonSpirit Health | ||||||||
2.76%, 10/01/24 | 245 | 256,140 | ||||||
3.35%, 10/01/29 | 132 | 139,919 | ||||||
3.82%, 10/01/49 | 251 | 274,601 | ||||||
4.19%, 10/01/49 | 400 | 425,582 | ||||||
Community Health Network, Inc., Series 20-A, 3.10%, 05/01/50 | 1,000 | 955,007 | ||||||
Cottage Health Obligated Group, 3.30%, 11/01/49 | 46 | 51,065 | ||||||
Dartmouth-Hitchcock Health, Series B, 4.18%, 08/01/48 | 100 | 119,650 | ||||||
Dignity Health, 5.27%, 11/01/64 | 100 | 118,907 | ||||||
Duke University Health System, Inc., Series 2017, 3.92%, 06/01/47 | 173 | 217,387 | ||||||
Hackensack Meridian Health, Inc. | ||||||||
Series 2020, 2.68%, 09/01/41 | 195 | 192,164 | ||||||
Series 2020, 2.88%, 09/01/50 | 293 | 287,747 | ||||||
Hartford HealthCare Corp., 3.45%, 07/01/54 | 175 | 171,532 | ||||||
HCA, Inc. | ||||||||
4.75%, 05/01/23 | 3,000 | 3,272,667 | ||||||
5.25%, 04/15/25 | 1,000 | 1,154,649 | ||||||
4.13%, 06/15/29 | 750 | 848,287 | ||||||
5.13%, 06/15/39(a) | 1,000 | 1,213,562 | ||||||
5.50%, 06/15/47 | 1,000 | 1,237,961 | ||||||
5.25%, 06/15/49 | 1,250 | 1,530,176 | ||||||
Humana, Inc. | ||||||||
3.85%, 10/01/24(a) | 500 | 552,636 | ||||||
3.13%, 08/15/29 | 500 | 553,206 | ||||||
4.63%, 12/01/42 | 1,000 | 1,244,748 | ||||||
4.95%, 10/01/44(a) | 250 | 330,983 | ||||||
4.80%, 03/15/47 | 200 | 261,823 | ||||||
Johns Hopkins Health System Corp., 3.84%, 05/15/46 | 175 | 214,750 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.50%, 04/01/22(a) | 100 | 104,203 | ||||||
3.15%, 05/01/27 | 500 | 560,057 | ||||||
4.15%, 05/01/47 | 1,110 | 1,397,659 | ||||||
Series 2019, 3.27%, 11/01/49(a) | 325 | 363,061 | ||||||
Mayo Clinic, Series 2016, 4.13%, 11/15/52 | 300 | 392,741 | ||||||
McKesson Corp. | ||||||||
2.85%, 03/15/23(a) | 150 | 157,310 | ||||||
3.80%, 03/15/24(a) | 1,500 | 1,642,730 | ||||||
3.95%, 02/16/28(a) | 1,000 | 1,165,838 | ||||||
4.75%, 05/30/29 | 1,000 | 1,215,438 | ||||||
MedStar Health, Inc., 3.63%, 08/15/49 | 99 | 107,027 | ||||||
Memorial Health Services, 3.45%, 11/01/49 | 175 | 183,427 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
5.00%, 07/01/42 | 200 | 276,272 | ||||||
2.96%, 01/01/50 | 1,214 | 1,286,674 | ||||||
4.13%, 07/01/52 | 200 | 257,704 |
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 | 23 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
Mercy Health, Series 2018, 4.30%, 07/01/28 | $ | 64 | $ | 72,835 | ||||
Methodist Hospital (The), Series 20A, 2.71%, 12/01/50 | 219 | 219,134 | ||||||
Montefiore Obligated Group, 4.29%, 09/01/50 | 364 | 361,952 | ||||||
Mount Sinai Hospitals Group, Inc. | ||||||||
Series 2017, 3.98%, 07/01/48 | 66 | 75,354 | ||||||
Series 2019, 3.74%, 07/01/49(a) | 300 | 331,904 | ||||||
Series 2020, 3.39%, 07/01/50 | 186 | 182,356 | ||||||
MultiCare Health System, 2.80%, 08/15/50 | 47 | 46,317 | ||||||
New York and Presbyterian Hospital | ||||||||
2.26%, 08/01/40 | 500 | 476,793 | ||||||
4.02%, 08/01/45 | 150 | 188,002 | ||||||
2.61%, 08/01/60 | 500 | 484,805 | ||||||
Series 2019, 3.95%, 08/01/19(a) | 207 | 223,399 | ||||||
Northwell Healthcare, Inc. | ||||||||
3.98%, 11/01/46 | 200 | 218,761 | ||||||
3.81%, 11/01/49 | 162 | 172,494 | ||||||
Orlando Health Obligated Group | ||||||||
4.09%, 10/01/48 | 29 | 32,703 | ||||||
3.33%, 10/01/50 | 192 | 192,000 | ||||||
Partners Healthcare System, Inc. | ||||||||
3.19%, 07/01/49 | 500 | 540,519 | ||||||
Series 2017, 3.77%, 07/01/48 | 85 | 101,156 | ||||||
PeaceHealth Obligated Group, Series 2018, 4.79%, 11/15/48 | 79 | 102,660 | ||||||
Providence St. Joseph Health Obligated Group | ||||||||
Series 19A, 2.53%, 10/01/29 | 325 | 343,593 | ||||||
Series A, 3.93%, 10/01/48 | 77 | 91,584 | ||||||
RWJ Barnabas Health, Inc., 3.95%, 07/01/46 | 230 | 261,340 | ||||||
Sharp HealthCare, Series 20B, 2.68%, 08/01/50(e) | 91 | 91,485 | ||||||
Spectrum Health System Obligated Group, Series 19A, 3.49%, 07/15/49 | 85 | 98,654 | ||||||
Stanford Health Care, Series 2018, 3.80%, 11/15/48 | 64 | 78,366 | ||||||
Sutter Health | ||||||||
Series 2018, 3.70%, 08/15/28(a) | 86 | 96,724 | ||||||
Series 2018, 4.09%, 08/15/48 | 107 | 126,777 | ||||||
Texas Health Resources, 2.33%, 11/15/50 | 165 | 153,369 | ||||||
Toledo Hospital | ||||||||
6.02%, 11/15/48 | 125 | 144,395 | ||||||
Series B, 5.33%, 11/15/28 | 125 | 140,788 | ||||||
Trinity Health Corp., Series 2019, 3.43%, 12/01/48 | 137 | 144,389 | ||||||
UnitedHealth Group, Inc. | ||||||||
3.35%, 07/15/22(a) | 750 | 790,799 | ||||||
2.88%, 03/15/23 | 250 | 264,830 | ||||||
3.50%, 06/15/23(a) | 2,000 | 2,163,107 | ||||||
2.38%, 08/15/24(a) | 425 | 452,528 | ||||||
3.75%, 07/15/25 | 1,000 | 1,141,371 | ||||||
1.25%, 01/15/26 | 210 | 215,595 | ||||||
3.10%, 03/15/26 | 500 | 558,901 | ||||||
3.45%, 01/15/27 | 500 | 568,894 | ||||||
3.38%, 04/15/27(a) | 1,000 | 1,141,564 | ||||||
3.85%, 06/15/28(a) | 1,000 | 1,180,219 | ||||||
2.88%, 08/15/29(a) | 1,890 | 2,107,730 | ||||||
2.00%, 05/15/30(a) | 315 | 330,055 | ||||||
4.63%, 07/15/35 | 555 | 730,927 | ||||||
6.88%, 02/15/38(a) | 100 | 161,071 | ||||||
3.50%, 08/15/39 | 645 | 740,989 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
UnitedHealth Group, Inc. (continued) | ||||||||
2.75%, 05/15/40 | $ | 300 | $ | 316,992 | ||||
5.95%, 02/15/41 | 100 | 149,918 | ||||||
3.95%, 10/15/42 | 150 | 182,287 | ||||||
4.75%, 07/15/45(a) | 1,500 | 2,047,496 | ||||||
4.20%, 01/15/47 | 750 | 949,916 | ||||||
4.25%, 04/15/47 | 1,000 | 1,273,566 | ||||||
3.75%, 10/15/47 | 500 | 594,540 | ||||||
4.25%, 06/15/48(a) | 400 | 509,993 | ||||||
4.45%, 12/15/48 | 1,000 | 1,324,398 | ||||||
3.70%, 08/15/49(a) | 1,500 | 1,794,623 | ||||||
2.90%, 05/15/50 | 1,290 | 1,360,444 | ||||||
3.88%, 08/15/59(a) | 500 | 611,714 | ||||||
3.13%, 05/15/60 | 600 | 643,940 | ||||||
Universal Health Services, Inc., | 50 | 49,763 | ||||||
Willis-Knighton Medical Center, Series 2018, 4.81%, 09/01/48 | 108 | 134,908 | ||||||
Yale-New Haven Health Services Corp., 2.50%, 07/01/50 | 121 | 118,264 | ||||||
|
| |||||||
85,633,010 | ||||||||
Hotels, Restaurants & Leisure — 0.3% | ||||||||
GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25 | 400 | 434,328 | ||||||
Las Vegas Sands Corp. | ||||||||
3.20%, 08/08/24 | 2,745 | 2,774,836 | ||||||
3.50%, 08/18/26 | 270 | 273,607 | ||||||
3.90%, 08/08/29 | 185 | 184,965 | ||||||
McDonald’s Corp. | ||||||||
2.63%, 01/15/22 | 3,000 | 3,087,579 | ||||||
3.35%, 04/01/23(a) | 250 | 266,994 | ||||||
3.25%, 06/10/24(a) | 400 | 437,292 | ||||||
3.38%, 05/26/25 | 500 | 556,295 | ||||||
3.30%, 07/01/25 | 115 | 127,873 | ||||||
3.70%, 01/30/26 | 250 | 284,754 | ||||||
3.50%, 03/01/27(a) | 1,000 | 1,132,225 | ||||||
3.50%, 07/01/27 | 1,400 | 1,594,216 | ||||||
3.80%, 04/01/28 | 1,000 | 1,166,983 | ||||||
3.60%, 07/01/30(a) | 1,525 | 1,778,293 | ||||||
4.70%, 12/09/35 | 315 | 402,827 | ||||||
6.30%, 03/01/38(a) | 1,000 | 1,494,648 | ||||||
3.70%, 02/15/42 | 100 | 112,106 | ||||||
4.88%, 12/09/45(a) | 750 | 972,545 | ||||||
4.45%, 03/01/47(a) | 500 | 623,533 | ||||||
4.45%, 09/01/48 | 500 | 622,611 | ||||||
3.63%, 09/01/49(a) | 875 | 982,497 | ||||||
4.20%, 04/01/50 | 1,390 | 1,691,764 | ||||||
Sands China Ltd. | ||||||||
4.60%, 08/08/23 | 500 | 533,680 | ||||||
5.13%, 08/08/25 | 500 | 545,485 | ||||||
5.40%, 08/08/28(a) | 1,750 | 1,952,632 | ||||||
Starbucks Corp. | ||||||||
1.30%, 05/07/22 | 180 | 182,430 | ||||||
2.70%, 06/15/22(a) | 500 | 516,277 | ||||||
3.10%, 03/01/23(a) | 2,000 | 2,118,454 | ||||||
3.85%, 10/01/23(a) | 250 | 272,249 | ||||||
3.80%, 08/15/25(a) | 1,000 | 1,130,709 | ||||||
4.00%, 11/15/28(a) | 500 | 588,867 | ||||||
3.55%, 08/15/29(a) | 1,250 | 1,433,278 | ||||||
2.25%, 03/12/30 | 1,000 | 1,038,543 |
24 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Starbucks Corp. (continued) | ||||||||
2.55%, 11/15/30 | $ | 800 | $ | 849,403 | ||||
3.75%, 12/01/47 | 1,000 | 1,087,253 | ||||||
3.35%, 03/12/50 | 1,000 | 1,026,179 | ||||||
3.50%, 11/15/50 | 800 | 851,819 | ||||||
|
| |||||||
35,130,029 | ||||||||
Household Durables — 0.0% | ||||||||
DR Horton, Inc., 2.50%, 10/15/24(a) | 425 | 448,801 | ||||||
Leggett & Platt, Inc. | ||||||||
3.80%, 11/15/24 | 200 | 215,017 | ||||||
4.40%, 03/15/29(a) | 1,000 | 1,109,203 | ||||||
Mohawk Industries, Inc. | ||||||||
3.85%, 02/01/23(a) | 125 | 132,678 | ||||||
3.63%, 05/15/30 | 300 | 328,641 | ||||||
Whirlpool Corp. | ||||||||
5.15%, 03/01/43 | 200 | 242,678 | ||||||
4.50%, 06/01/46 | 250 | 295,504 | ||||||
4.60%, 05/15/50 | 600 | 743,113 | ||||||
|
| |||||||
3,515,635 | ||||||||
Insurance — 0.8% | ||||||||
Aflac, Inc. | ||||||||
3.63%, 06/15/23(a) | 250 | 271,182 | ||||||
3.63%, 11/15/24 | 250 | 279,119 | ||||||
2.88%, 10/15/26(a) | 750 | 826,929 | ||||||
4.75%, 01/15/49(a) | 500 | 644,766 | ||||||
Alleghany Corp. | ||||||||
4.95%, 06/27/22 | 550 | 584,665 | ||||||
3.63%, 05/15/30 | 700 | 786,859 | ||||||
Allstate Corp.(a) | ||||||||
3.15%, 06/15/23 | 250 | 268,707 | ||||||
3.28%, 12/15/26 | 750 | 853,223 | ||||||
4.50%, 06/15/43 | 150 | 190,829 | ||||||
4.20%, 12/15/46 | 1,000 | 1,248,800 | ||||||
American Financial Group, Inc., 4.50%, 06/15/47 | 750 | 831,840 | ||||||
American International Group, Inc. | ||||||||
4.88%, 06/01/22(a) | 250 | 267,986 | ||||||
4.13%, 02/15/24 | 250 | 277,068 | ||||||
2.50%, 06/30/25 | 1,000 | 1,067,920 | ||||||
3.75%, 07/10/25 | 750 | 839,526 | ||||||
3.90%, 04/01/26(a) | 500 | 570,154 | ||||||
4.25%, 03/15/29(a) | 1,000 | 1,173,878 | ||||||
3.40%, 06/30/30(a) | 1,500 | 1,661,046 | ||||||
3.88%, 01/15/35 | 500 | 576,812 | ||||||
4.70%, 07/10/35 | 500 | 627,826 | ||||||
4.50%, 07/16/44(a) | 750 | 874,917 | ||||||
4.80%, 07/10/45(a) | 1,750 | 2,170,223 | ||||||
4.75%, 04/01/48(a) | 1,000 | 1,225,158 | ||||||
4.38%, 01/15/55 | 500 | 573,618 | ||||||
Aon Corp. | ||||||||
2.20%, 11/15/22 | 335 | 346,622 | ||||||
4.50%, 12/15/28 | 1,000 | 1,209,809 | ||||||
3.75%, 05/02/29(a) | 1,000 | 1,153,475 | ||||||
2.80%, 05/15/30 | 1,800 | 1,950,227 | ||||||
Aon PLC | ||||||||
3.50%, 06/14/24 | 1,000 | 1,091,628 | ||||||
3.88%, 12/15/25 | 600 | 687,780 | ||||||
4.60%, 06/14/44 | 250 | 317,238 | ||||||
Arch Capital Finance LLC, 4.01%, 12/15/26 | 1,000 | 1,160,724 |
Security | Par (000) | Value | ||||||
Insurance (continued) | ||||||||
Arch Capital Group US, Inc., 5.14%, 11/01/43 | $ | 125 | $ | 159,036 | ||||
Assured Guaranty US Holdings, Inc., 5.00%, 07/01/24(a) | 110 | 124,198 | ||||||
Athene Holding Ltd., 6.15%, 04/03/30 | 1,000 | 1,187,524 | ||||||
AXA Equitable Holdings, Inc. | ||||||||
4.35%, 04/20/28 | 1,000 | 1,138,825 | ||||||
5.00%, 04/20/48 | 1,000 | 1,182,030 | ||||||
AXA SA, 8.60%, 12/15/30(a) | 550 | 841,517 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
3.00%, 05/15/22 | 750 | 782,057 | ||||||
1.85%, 03/12/30 | 500 | 522,661 | ||||||
4.40%, 05/15/42 | 100 | 127,140 | ||||||
4.30%, 05/15/43 | 250 | 324,879 | ||||||
4.20%, 08/15/48 | 2,000 | 2,566,034 | ||||||
4.25%, 01/15/49(a) | 1,000 | 1,301,238 | ||||||
Berkshire Hathaway, Inc.(a) | ||||||||
3.00%, 02/11/23 | 1,000 | 1,059,781 | ||||||
2.75%, 03/15/23 | 1,500 | 1,580,088 | ||||||
3.13%, 03/15/26 | 1,400 | 1,562,942 | ||||||
4.50%, 02/11/43 | 1,100 | 1,451,365 | ||||||
Brighthouse Financial Inc., 5.63%, 05/15/30 | 1,000 | 1,164,565 | ||||||
Brighthouse Financial, Inc., 3.70%, 06/22/27(a) | 2,500 | 2,593,407 | ||||||
Chubb Corp. | ||||||||
6.00%, 05/11/37(a) | 50 | 74,524 | ||||||
Series 1, 6.50%, 05/15/38 | 100 | 157,019 | ||||||
Chubb INA Holdings, Inc. | ||||||||
2.88%, 11/03/22 | 1,000 | 1,046,024 | ||||||
3.35%, 05/15/24(a) | 500 | 548,120 | ||||||
3.35%, 05/03/26 | 795 | 900,896 | ||||||
4.15%, 03/13/43 | 150 | 189,911 | ||||||
CNA Financial Corp.(a) | ||||||||
4.50%, 03/01/26 | 350 | 411,011 | ||||||
3.90%, 05/01/29 | 500 | 573,508 | ||||||
Fairfax Financial Holdings Ltd., | 1,000 | 1,084,826 | ||||||
Fidelity National Financial, Inc., 3.40%, 06/15/30 | 500 | 540,789 | ||||||
First American Financial Corp., | 200 | 221,530 | ||||||
Globe Life, Inc., 2.15%, 08/15/30 | 1,000 | 1,003,338 | ||||||
Hanover Insurance Group Inc. (The), 2.50%, 09/01/30 | 500 | 513,417 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
2.80%, 08/19/29(a) | 500 | 542,164 | ||||||
6.10%, 10/01/41 | 100 | 141,617 | ||||||
3.60%, 08/19/49 | 1,335 | 1,491,071 | ||||||
Lincoln National Corp. | ||||||||
4.20%, 03/15/22 | 1,350 | 1,427,125 | ||||||
4.00%, 09/01/23 | 200 | 218,340 | ||||||
3.35%, 03/09/25 | 65 | 71,116 | ||||||
3.80%, 03/01/28(a) | 1,500 | 1,726,858 | ||||||
6.30%, 10/09/37 | 250 | 327,589 | ||||||
4.35%, 03/01/48(a) | 200 | 228,829 | ||||||
4.38%, 06/15/50 | 500 | 581,261 | ||||||
Loews Corp. | ||||||||
2.63%, 05/15/23 | 250 | 262,276 | ||||||
3.75%, 04/01/26(a) | 500 | 570,118 | ||||||
3.20%, 05/15/30 | 655 | 732,177 | ||||||
Manulife Financial Corp. | ||||||||
4.15%, 03/04/26(a) | 500 | 586,470 |
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 | 25 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Insurance (continued) | ||||||||
Manulife Financial Corp. (continued) | ||||||||
2.48%, 05/19/27 | $ | 1,000 | $ | 1,070,176 | ||||
(5 year USD Swap + 1.65%), 4.06%, 02/24/32(c) | 500 | 541,669 | ||||||
Markel Corp.(a) | ||||||||
3.35%, 09/17/29 | 475 | 524,455 | ||||||
4.30%, 11/01/47 | 750 | 888,580 | ||||||
4.15%, 09/17/50 | 500 | 599,403 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
2.75%, 01/30/22 | 1,000 | 1,028,859 | ||||||
3.30%, 03/14/23 | 500 | 531,425 | ||||||
3.88%, 03/15/24(a) | 500 | 553,926 | ||||||
3.50%, 06/03/24(a) | 1,000 | 1,092,388 | ||||||
3.75%, 03/14/26(a) | 1,000 | 1,129,827 | ||||||
4.38%, 03/15/29(a) | 1,000 | 1,210,781 | ||||||
2.25%, 11/15/30 | 345 | 361,015 | ||||||
4.20%, 03/01/48 | 500 | 632,103 | ||||||
4.90%, 03/15/49 | 1,000 | 1,395,122 | ||||||
MetLife, Inc. | ||||||||
3.00%, 03/01/25(a) | 1,650 | 1,826,463 | ||||||
6.38%, 06/15/34 | 500 | 760,039 | ||||||
5.88%, 02/06/41 | 2,000 | 2,910,809 | ||||||
4.13%, 08/13/42 | 300 | 363,662 | ||||||
4.88%, 11/13/43(a) | 1,250 | 1,676,862 | ||||||
4.05%, 03/01/45(a) | 250 | 306,189 | ||||||
4.60%, 05/13/46(a) | 500 | 655,373 | ||||||
Old Republic International Corp., 4.88%, 10/01/24(a) | 250 | 283,790 | ||||||
Principal Financial Group, Inc. | ||||||||
3.40%, 05/15/25(a) | 250 | 277,481 | ||||||
3.10%, 11/15/26 | 1,000 | 1,112,635 | ||||||
3.70%, 05/15/29(a) | 1,135 | 1,330,040 | ||||||
2.13%, 06/15/30 | 1,000 | 1,030,107 | ||||||
4.63%, 09/15/42(a) | 50 | 61,677 | ||||||
4.30%, 11/15/46 | 250 | 300,653 | ||||||
Progressive Corp. | ||||||||
2.45%, 01/15/27(a) | 500 | 540,104 | ||||||
4.35%, 04/25/44 | 100 | 130,822 | ||||||
3.70%, 01/26/45(a) | 200 | 238,534 | ||||||
4.13%, 04/15/47(a) | 500 | 635,821 | ||||||
4.20%, 03/15/48(a) | 500 | 647,511 | ||||||
3.95%, 03/26/50 | 500 | 633,980 | ||||||
Prudential Financial, Inc. | ||||||||
3.50%, 05/15/24(a) | 1,000 | 1,107,153 | ||||||
1.50%, 03/10/26 | 1,000 | 1,041,730 | ||||||
3.88%, 03/27/28(a) | 951 | 1,114,520 | ||||||
4.60%, 05/15/44(a) | 250 | 305,167 | ||||||
3.91%, 12/07/47 | 500 | 556,245 | ||||||
3.94%, 12/07/49 | 908 | 1,029,214 | ||||||
4.35%, 02/25/50(a) | 1,000 | 1,202,740 | ||||||
3.70%, 03/13/51(a) | 1,250 | 1,378,575 | ||||||
(3 mo. LIBOR US + 2.67%), | 1,000 | 1,130,551 | ||||||
(3 mo. LIBOR US + 3.04%), | 350 | 370,843 | ||||||
(5 year CMT + 3.04%), 3.70%, 10/01/50(c) | 1,000 | 1,020,300 | ||||||
Prudential PLC, 3.13%, 04/14/30(a) | 1,000 | 1,110,509 | ||||||
Reinsurance Group of America, Inc., 3.90%, 05/15/29(a) | 475 | 542,253 |
Security | Par (000) | Value | ||||||
Insurance (continued) | ||||||||
Travelers Cos., Inc. | ||||||||
6.75%, 06/20/36 | $ | 250 | $ | 385,808 | ||||
4.60%, 08/01/43(a) | 850 | 1,109,359 | ||||||
4.30%, 08/25/45 | 250 | 317,366 | ||||||
4.00%, 05/30/47(a) | 250 | 305,244 | ||||||
4.05%, 03/07/48(a) | 1,150 | 1,428,920 | ||||||
4.10%, 03/04/49(a) | 250 | 312,823 | ||||||
Travelers Property Casualty Corp., 6.38%, 03/15/33 | 100 | 147,149 | ||||||
Trinity Acquisition PLC, 4.40%, 03/15/26 | 500 | 577,383 | ||||||
Unum Group | ||||||||
4.00%, 06/15/29(a) | 1,000 | 1,095,456 | ||||||
5.75%, 08/15/42 | 250 | 288,675 | ||||||
4.50%, 12/15/49(a) | 250 | 242,260 | ||||||
Voya Financial, Inc. | ||||||||
3.65%, 06/15/26 | 350 | 396,669 | ||||||
5.70%, 07/15/43 | 500 | 670,905 | ||||||
Willis North America, Inc. | ||||||||
4.50%, 09/15/28 | 1,500 | 1,783,516 | ||||||
3.88%, 09/15/49 | 580 | 666,594 | ||||||
WR Berkley Corp. | ||||||||
4.63%, 03/15/22 | 200 | 211,248 | ||||||
4.00%, 05/12/50 | 500 | 591,424 | ||||||
XLIT Ltd., 5.50%, 03/31/45 | 250 | 329,385 | ||||||
|
| |||||||
112,504,030 | ||||||||
Interactive Media & Services — 0.1% | ||||||||
Alphabet, Inc. | ||||||||
3.38%, 02/25/24(a) | 500 | 549,512 | ||||||
0.45%, 08/15/25 | 175 | 174,459 | ||||||
2.00%, 08/15/26(a) | 2,500 | 2,680,650 | ||||||
0.80%, 08/15/27 | 540 | 537,681 | ||||||
1.10%, 08/15/30 | 650 | 647,126 | ||||||
1.90%, 08/15/40 | 600 | 577,240 | ||||||
2.05%, 08/15/50 | 800 | 748,792 | ||||||
2.25%, 08/15/60 | 1,500 | 1,418,366 | ||||||
Baidu Inc., 3.08%, 04/07/25 | 2,000 | 2,118,020 | ||||||
Baidu, Inc.(a) | ||||||||
4.13%, 06/30/25 | 1,000 | 1,110,625 | ||||||
4.88%, 11/14/28 | 500 | 595,772 | ||||||
eBay, Inc. | ||||||||
3.80%, 03/09/22(a) | 640 | 669,218 | ||||||
2.60%, 07/15/22 | 50 | 51,646 | ||||||
2.75%, 01/30/23 | 3,000 | 3,146,237 | ||||||
3.60%, 06/05/27(a) | 1,000 | 1,128,529 | ||||||
2.70%, 03/11/30(a) | 1,000 | 1,060,565 | ||||||
JD.com Inc., 3.38%, 01/14/30(a) | 1,000 | 1,081,293 | ||||||
|
| |||||||
18,295,731 | ||||||||
Internet & Direct Marketing Retail — 0.2% | ||||||||
Alibaba Group Holding Ltd. | ||||||||
3.13%, 11/28/21 | 475 | 486,091 | ||||||
3.60%, 11/28/24 | 1,500 | 1,643,610 | ||||||
3.40%, 12/06/27(a) | 1,000 | 1,118,920 | ||||||
4.50%, 11/28/34(a) | 250 | 309,297 | ||||||
4.00%, 12/06/37(a) | 1,000 | 1,173,125 | ||||||
4.20%, 12/06/47(a) | 1,300 | 1,635,563 | ||||||
Altria Group, Inc. | ||||||||
1.20%, 06/03/27 | 2,000 | 2,026,520 | ||||||
1.50%, 06/03/30 | 1,000 | 1,020,551 | ||||||
Amazon.com, Inc. | ||||||||
2.40%, 02/22/23(a) | 1,500 | 1,572,620 |
26 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Internet & Direct Marketing Retail (continued) | ||||||||
Amazon.com, Inc. (continued) | ||||||||
2.80%, 08/22/24(a) | $ | 1,500 | $ | 1,623,520 | ||||
3.15%, 08/22/27(a) | 2,750 | 3,135,590 | ||||||
4.80%, 12/05/34(a) | 600 | 827,189 | ||||||
3.88%, 08/22/37 | 1,000 | 1,245,027 | ||||||
4.05%, 08/22/47 | 2,500 | 3,248,020 | ||||||
2.50%, 06/03/50 | 2,000 | 2,040,039 | ||||||
4.25%, 08/22/57(a) | 1,000 | 1,365,238 | ||||||
2.70%, 06/03/60 | 2,000 | 2,073,154 | ||||||
|
| |||||||
26,544,074 | ||||||||
Internet Software & Services — 0.1% | ||||||||
Booking Holdings Inc., 4.50%, 04/13/27 | 1,000 | 1,174,143 | ||||||
Booking Holdings, Inc. | ||||||||
2.75%, 03/15/23(a) | 500 | 524,857 | ||||||
3.60%, 06/01/26 | 1,500 | 1,661,624 | ||||||
4.63%, 04/13/30 | 1,000 | 1,201,393 | ||||||
Expedia Group, Inc. | ||||||||
4.50%, 08/15/24 | 250 | 266,318 | ||||||
3.80%, 02/15/28(a) | 750 | 757,382 | ||||||
3.25%, 02/15/30 | 825 | 794,896 | ||||||
|
| |||||||
6,380,613 | ||||||||
IT Services — 0.3% | ||||||||
Broadridge Financial Solutions, Inc. | ||||||||
3.40%, 06/27/26(a) | 270 | 301,059 | ||||||
2.90%, 12/01/29 | 500 | 541,664 | ||||||
DXC Technology Co., 4.75%, 04/15/27(a) | 500 | 557,190 | ||||||
Fidelity National Information Services, Inc. | ||||||||
3.50%, 04/15/23 | 25 | 26,621 | ||||||
3.00%, 08/15/26(a) | 750 | 831,975 | ||||||
Series 10Y, 4.25%, 05/15/28 | 1,000 | 1,198,187 | ||||||
Fiserv, Inc. | ||||||||
2.75%, 07/01/24 | 1,120 | 1,196,471 | ||||||
2.25%, 06/01/27(a) | 1,800 | 1,901,141 | ||||||
4.20%, 10/01/28 | 1,000 | 1,187,614 | ||||||
3.50%, 07/01/29 | 1,645 | 1,875,161 | ||||||
2.65%, 06/01/30 | 955 | 1,027,662 | ||||||
4.40%, 07/01/49(a) | 880 | 1,103,873 | ||||||
Genpact Luxembourg Sarl, 3.38%, 12/01/24(a) | 1,000 | 1,048,710 | ||||||
IBM Credit LLC, 3.00%, 02/06/23 | 2,500 | 2,657,078 | ||||||
International Business Machines Corp. | ||||||||
2.50%, 01/27/22(a) | 600 | 617,586 | ||||||
2.85%, 05/13/22(a) | 2,250 | 2,342,580 | ||||||
2.88%, 11/09/22(a) | 3,400 | 3,586,303 | ||||||
3.63%, 02/12/24(a) | 775 | 853,424 | ||||||
3.00%, 05/15/24(a) | 2,000 | 2,166,378 | ||||||
3.45%, 02/19/26 | 250 | 283,932 | ||||||
3.30%, 05/15/26 | 1,500 | 1,689,170 | ||||||
3.30%, 01/27/27(a) | 1,000 | 1,125,015 | ||||||
1.70%, 05/15/27 | 1,170 | 1,209,580 | ||||||
3.50%, 05/15/29(a) | 4,000 | 4,610,214 | ||||||
1.95%, 05/15/30 | 1,700 | 1,753,848 | ||||||
5.88%, 11/29/32(a) | 250 | 362,245 | ||||||
2.85%, 05/15/40 | 1,000 | 1,060,912 | ||||||
4.00%, 06/20/42(a) | 850 | 1,022,486 | ||||||
4.70%, 02/19/46(a) | 250 | 339,764 |
Security | Par (000) | Value | ||||||
IT Services (continued) | ||||||||
International Business Machines Corp. (continued) | ||||||||
4.25%, 05/15/49(a) | $ | 1,925 | $ | 2,413,378 | ||||
2.95%, 05/15/50(a) | 280 | 289,304 | ||||||
|
| |||||||
41,180,525 | ||||||||
Leisure Products — 0.0% | ||||||||
Hasbro, Inc. | ||||||||
2.60%, 11/19/22 | 305 | 315,975 | ||||||
3.00%, 11/19/24 | 500 | 530,689 | ||||||
3.55%, 11/19/26(a) | 300 | 317,868 | ||||||
3.50%, 09/15/27 | 250 | 260,213 | ||||||
3.90%, 11/19/29 | 300 | 315,737 | ||||||
6.35%, 03/15/40(a) | 500 | 589,795 | ||||||
5.10%, 05/15/44(a) | 60 | 62,503 | ||||||
|
| |||||||
2,392,780 | ||||||||
Life Sciences Tools & Services — 0.0% | ||||||||
Agilent Technologies, Inc. | ||||||||
3.88%, 07/15/23 | 200 | 216,549 | ||||||
2.75%, 09/15/29 | 645 | 699,187 | ||||||
PerkinElmer, Inc., 3.30%, 09/15/29(a) | 1,000 | 1,110,469 | ||||||
|
| |||||||
2,026,205 | ||||||||
Machinery — 0.2% | ||||||||
Caterpillar Financial Services Corp. | ||||||||
2.95%, 02/26/22(a) | 1,000 | 1,037,204 | ||||||
1.90%, 09/06/22 | 1,000 | 1,028,542 | ||||||
2.63%, 03/01/23(a) | 2,000 | 2,102,292 | ||||||
3.45%, 05/15/23(a) | 400 | 430,971 | ||||||
3.65%, 12/07/23(a) | 1,000 | 1,098,065 | ||||||
3.30%, 06/09/24(a) | 250 | 273,356 | ||||||
2.15%, 11/08/24(a) | 200 | 212,678 | ||||||
Caterpillar, Inc. | ||||||||
3.40%, 05/15/24 | 500 | 546,630 | ||||||
2.60%, 09/19/29(a) | 70 | 76,598 | ||||||
5.20%, 05/27/41(a) | 600 | 843,064 | ||||||
3.80%, 08/15/42(a) | 1,450 | 1,774,898 | ||||||
3.25%, 09/19/49 | 1,000 | 1,118,231 | ||||||
3.25%, 04/09/50 | 1,000 | 1,132,122 | ||||||
CNH Industrial NV, 4.50%, 08/15/23(a) | 3,000 | 3,258,639 | ||||||
Crane Co., 4.45%, 12/15/23 | 125 | 136,545 | ||||||
Deere & Co. | ||||||||
3.90%, 06/09/42(a) | 550 | 702,345 | ||||||
2.88%, 09/07/49 | 385 | 412,911 | ||||||
3.75%, 04/15/50 | 1,000 | 1,253,230 | ||||||
Dover Corp. | ||||||||
3.15%, 11/15/25(a) | 250 | 275,681 | ||||||
2.95%, 11/04/29 | 170 | 185,910 | ||||||
Flowserve Corp., 3.50%, 09/15/22 | 100 | 104,338 | ||||||
Fortive Corp., 3.15%, 06/15/26(a) | 500 | 552,497 | ||||||
Otis Worldwide Corp. | ||||||||
2.06%, 04/05/25 | 515 | 541,903 | ||||||
2.57%, 02/15/30 | 1,000 | 1,074,731 | ||||||
3.11%, 02/15/40 | 1,000 | 1,070,561 | ||||||
3.36%, 02/15/50 | 195 | 214,190 | ||||||
Stanley Black & Decker, Inc. | ||||||||
2.90%, 11/01/22 | 150 | 157,483 | ||||||
4.25%, 11/15/28(a) | 1,000 | 1,215,180 |
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 | 27 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Machinery (continued) | ||||||||
Stanley Black & Decker, Inc. (continued) | ||||||||
4.85%, 11/15/48 | $ | 250 | $ | 351,370 | ||||
(5 year CMT + 2.66%), 4.00%, 03/15/60(a)(c) | 600 | 623,919 | ||||||
Valmont Industries, Inc., 5.00%, 10/01/44 | 1,000 | 1,105,114 | ||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
4.40%, 03/15/24 | 500 | 543,010 | ||||||
3.20%, 06/15/25 | 500 | 527,079 | ||||||
4.95%, 09/15/28(a) | 500 | 582,656 | ||||||
Xylem, Inc., 4.38%, 11/01/46(a) | 500 | 589,031 | ||||||
|
| |||||||
27,152,974 | ||||||||
Media — 1.0% | ||||||||
Bell Canada, Inc. | ||||||||
4.46%, 04/01/48(a) | 310 | 381,546 | ||||||
4.30%, 07/29/49 | 265 | 327,827 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.46%, 07/23/22(a) | 1,000 | 1,058,737 | ||||||
4.50%, 02/01/24(a) | 2,000 | 2,217,633 | ||||||
4.91%, 07/23/25 | 1,930 | 2,231,510 | ||||||
3.75%, 02/15/28 | 500 | 552,802 | ||||||
5.05%, 03/30/29 | 1,000 | 1,198,583 | ||||||
2.80%, 04/01/31 | 2,000 | 2,080,030 | ||||||
6.38%, 10/23/35 | 250 | 342,850 | ||||||
5.38%, 04/01/38 | 1,000 | 1,224,016 | ||||||
6.48%, 10/23/45 | 1,500 | 2,011,880 | ||||||
5.38%, 05/01/47(a) | 1,500 | 1,781,042 | ||||||
5.75%, 04/01/48 | 1,000 | 1,247,587 | ||||||
5.13%, 07/01/49 | 1,000 | 1,159,453 | ||||||
4.80%, 03/01/50(a) | 1,900 | 2,160,554 | ||||||
3.70%, 04/01/51 | 1,000 | 988,290 | ||||||
6.83%, 10/23/55(a) | 250 | 346,241 | ||||||
Comcast Corp. | ||||||||
3.00%, 02/01/24(a) | 1,500 | 1,617,360 | ||||||
3.60%, 03/01/24(a) | 250 | 275,085 | ||||||
3.70%, 04/15/24 | 1,000 | 1,104,295 | ||||||
3.10%, 04/01/25 | 2,080 | 2,291,790 | ||||||
3.38%, 08/15/25 | 500 | 557,360 | ||||||
3.95%, 10/15/25 | 1,250 | 1,434,742 | ||||||
3.15%, 03/01/26 | 750 | 837,554 | ||||||
2.35%, 01/15/27 | 850 | 911,885 | ||||||
3.30%, 02/01/27 | 1,000 | 1,128,243 | ||||||
3.30%, 04/01/27 | 2,000 | 2,261,500 | ||||||
3.15%, 02/15/28(a) | 1,250 | 1,404,295 | ||||||
3.55%, 05/01/28(a) | 1,000 | 1,157,796 | ||||||
4.15%, 10/15/28 | 1,720 | 2,072,633 | ||||||
2.65%, 02/01/30 | 945 | 1,029,686 | ||||||
3.40%, 04/01/30 | 730 | 842,320 | ||||||
4.25%, 10/15/30(a) | 1,000 | 1,228,039 | ||||||
1.95%, 01/15/31 | 845 | 868,525 | ||||||
1.50%, 02/15/31 | 1,645 | 1,629,598 | ||||||
4.25%, 01/15/33 | 650 | 807,631 | ||||||
4.20%, 08/15/34 | 2,235 | 2,784,051 | ||||||
4.40%, 08/15/35(a) | 250 | 317,239 | ||||||
3.20%, 07/15/36(a) | 500 | 555,285 | ||||||
3.90%, 03/01/38(a) | 500 | 593,317 | ||||||
4.60%, 10/15/38(a) | 1,500 | 1,917,221 | ||||||
3.25%, 11/01/39 | 1,000 | 1,113,632 | ||||||
3.75%, 04/01/40 | 1,000 | 1,169,480 | ||||||
4.65%, 07/15/42 | 1,150 | 1,500,543 | ||||||
4.75%, 03/01/44(a) | 250 | 329,383 |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
Comcast Corp. (continued) | ||||||||
4.60%, 08/15/45 | $ | 500 | $ | 644,999 | ||||
3.40%, 07/15/46 | 500 | 556,345 | ||||||
4.00%, 08/15/47(a) | 500 | 606,312 | ||||||
3.97%, 11/01/47 | 1,500 | 1,793,082 | ||||||
4.00%, 03/01/48(a) | 500 | 607,483 | ||||||
4.70%, 10/15/48(a) | 2,500 | 3,334,001 | ||||||
4.00%, 11/01/49(a) | 1,255 | 1,522,840 | ||||||
3.45%, 02/01/50(a) | 1,800 | 2,033,386 | ||||||
2.80%, 01/15/51 | 860 | 870,237 | ||||||
2.45%, 08/15/52 | 1,700 | 1,593,648 | ||||||
4.05%, 11/01/52 | 694 | 852,313 | ||||||
4.95%, 10/15/58 | 2,000 | 2,865,667 | ||||||
2.65%, 08/15/62 | 800 | 764,759 | ||||||
Discovery Communications LLC | ||||||||
2.95%, 03/20/23 | 525 | 553,074 | ||||||
3.90%, 11/15/24 | 250 | 277,105 | ||||||
3.45%, 03/15/25 | 1,000 | 1,093,628 | ||||||
4.90%, 03/11/26(a) | 330 | 385,383 | ||||||
3.95%, 03/20/28(a) | 620 | 705,311 | ||||||
5.00%, 09/20/37(a) | 250 | 297,984 | ||||||
5.20%, 09/20/47(a) | 1,445 | 1,750,410 | ||||||
5.30%, 05/15/49 | 500 | 611,019 | ||||||
4.65%, 05/15/50 | 1,000 | 1,146,314 | ||||||
4.00%, 09/15/55(b) | 538 | 546,234 | ||||||
Fox Corp. | ||||||||
4.03%, 01/25/24 | 1,000 | 1,100,931 | ||||||
4.71%, 01/25/29(a) | 1,000 | 1,198,284 | ||||||
5.48%, 01/25/39(a) | 1,000 | 1,337,666 | ||||||
5.58%, 01/25/49(a) | 500 | 690,678 | ||||||
Grupo Televisa SAB | ||||||||
4.63%, 01/30/26 | 2,000 | 2,247,720 | ||||||
6.63%, 01/15/40 | 250 | 330,040 | ||||||
5.00%, 05/13/45(a) | 200 | 225,912 | ||||||
6.13%, 01/31/46 | 250 | 325,234 | ||||||
5.25%, 05/24/49(a) | 500 | 588,125 | ||||||
Interpublic Group of Cos., Inc., 3.75%, 10/01/21 | 1,000 | 1,031,578 | ||||||
NBCUniversal Media LLC | ||||||||
5.95%, 04/01/41 | 1,250 | 1,866,879 | ||||||
4.45%, 01/15/43 | 250 | 320,427 | ||||||
TCI Communications, Inc., 7.88%, 02/15/26 | 250 | 337,729 | ||||||
TELUS Corp.(a) | ||||||||
4.60%, 11/16/48 | 200 | 249,571 | ||||||
4.30%, 06/15/49 | 500 | 612,799 | ||||||
Thomson Reuters Corp. | ||||||||
4.30%, 11/23/23(a) | 250 | 273,727 | ||||||
3.35%, 05/15/26 | 140 | 153,982 | ||||||
5.65%, 11/23/43(a) | 1,000 | 1,304,355 | ||||||
Time Warner Cable LLC | ||||||||
6.55%, 05/01/37(a) | 650 | 864,151 | ||||||
6.75%, 06/15/39 | 2,050 | 2,772,245 | ||||||
5.88%, 11/15/40 | 250 | 311,519 | ||||||
5.50%, 09/01/41 | 250 | 302,847 | ||||||
4.50%, 09/15/42 | 1,225 | 1,330,674 | ||||||
TWDC Enterprises 18 Corp. | ||||||||
2.35%, 12/01/22(a) | 1,300 | 1,350,949 | ||||||
3.15%, 09/17/25 | 165 | 183,366 | ||||||
3.00%, 02/13/26(a) | 200 | 221,602 | ||||||
1.85%, 07/30/26(a) | 1,000 | 1,048,460 | ||||||
2.95%, 06/15/27(a) | 750 | 829,820 | ||||||
4.13%, 06/01/44 | 500 | 603,776 |
28 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Media (continued) | ||||||||
TWDC Enterprises 18 Corp. (continued) | ||||||||
3.00%, 07/30/46(a) | $ | 75 | $ | 77,375 | ||||
Series E, 4.13%, 12/01/41 | 250 | 298,672 | ||||||
ViacomCBS, Inc. | ||||||||
3.70%, 08/15/24(a) | 1,000 | 1,094,561 | ||||||
3.50%, 01/15/25 | 500 | 547,412 | ||||||
4.00%, 01/15/26(a) | 1,500 | 1,684,381 | ||||||
3.38%, 02/15/28(a) | 500 | 551,758 | ||||||
3.70%, 06/01/28 | 500 | 555,478 | ||||||
4.95%, 01/15/31(a) | 1,000 | 1,202,458 | ||||||
6.88%, 04/30/36 | 250 | 344,002 | ||||||
4.85%, 07/01/42 | 325 | 364,983 | ||||||
4.38%, 03/15/43 | 1,070 | 1,137,434 | ||||||
5.85%, 09/01/43 | 100 | 126,850 | ||||||
5.25%, 04/01/44 | 250 | 291,891 | ||||||
4.90%, 08/15/44(a) | 1,000 | 1,139,265 | ||||||
4.95%, 05/19/50(a) | 1,000 | 1,173,357 | ||||||
Walt Disney Co. | ||||||||
1.65%, 09/01/22 | 230 | 235,497 | ||||||
3.00%, 09/15/22 | 150 | 157,528 | ||||||
1.75%, 08/30/24 | 500 | 520,531 | ||||||
3.70%, 09/15/24 | 500 | 553,622 | ||||||
3.35%, 03/24/25(a) | 1,300 | 1,447,180 | ||||||
3.70%, 10/15/25(a) | 830 | 941,345 | ||||||
1.75%, 01/13/26 | 600 | 624,384 | ||||||
3.38%, 11/15/26 | 1,500 | 1,696,981 | ||||||
2.00%, 09/01/29(a) | 500 | 516,227 | ||||||
3.80%, 03/22/30(a) | 1,000 | 1,187,111 | ||||||
2.65%, 01/13/31 | 600 | 647,802 | ||||||
6.20%, 12/15/34(a) | 350 | 517,243 | ||||||
6.40%, 12/15/35 | 764 | 1,158,352 | ||||||
6.65%, 11/15/37 | 250 | 377,570 | ||||||
4.63%, 03/23/40 | 1,000 | 1,269,999 | ||||||
3.50%, 05/13/40 | 600 | 678,364 | ||||||
4.75%, 09/15/44 | 500 | 635,284 | ||||||
4.95%, 10/15/45 | 15 | 19,556 | ||||||
4.75%, 11/15/46 | 1,500 | 1,965,872 | ||||||
2.75%, 09/01/49(a) | 1,000 | 975,111 | ||||||
4.70%, 03/23/50(a) | 1,300 | 1,720,774 | ||||||
3.60%, 01/13/51 | 2,200 | 2,479,196 | ||||||
3.80%, 05/13/60 | 1,000 | 1,155,181 | ||||||
WPP Finance 2010 | ||||||||
3.63%, 09/07/22 | 1,500 | 1,574,297 | ||||||
3.75%, 09/19/24 | 250 | 274,437 | ||||||
|
| |||||||
138,396,970 | ||||||||
Metals & Mining — 0.2% | ||||||||
Barrick Gold Corp., 5.25%, 04/01/42 | 950 | 1,302,434 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 | 250 | 353,071 | ||||||
5.75%, 05/01/43(a) | 250 | 364,033 | ||||||
Barrick PD Australia Finance Pty Ltd., 5.95%, 10/15/39(a) | 500 | 713,154 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
2.88%, 02/24/22(a) | 1,250 | 1,291,553 | ||||||
5.00%, 09/30/43 | 1,850 | 2,600,662 | ||||||
Newmont Corp., 2.25%, 10/01/30 | 500 | 516,012 | ||||||
Newmont Goldcorp Corp. | ||||||||
3.70%, 03/15/23 | 66 | 69,414 | ||||||
2.80%, 10/01/29(a) | 80 | 86,157 |
Security | Par (000) | Value | ||||||
Metals & Mining (continued) | ||||||||
Newmont Goldcorp Corp. (continued) | ||||||||
4.88%, 03/15/42 | $ | 1,300 | $ | 1,758,956 | ||||
Nucor Corp. | ||||||||
3.95%, 05/01/28(a) | 1,000 | 1,165,517 | ||||||
5.20%, 08/01/43 | 250 | 335,139 | ||||||
4.40%, 05/01/48(a) | 500 | 649,576 | ||||||
Precision Castparts Corp. | ||||||||
2.50%, 01/15/23(a) | 150 | 156,438 | ||||||
4.20%, 06/15/35 | 250 | 312,230 | ||||||
4.38%, 06/15/45 | 500 | 622,190 | ||||||
Reliance Steel & Aluminum Co., 4.50%, 04/15/23 | 25 | 27,109 | ||||||
Rio Tinto Finance USA Ltd. | ||||||||
3.75%, 06/15/25 | 3,500 | 3,959,991 | ||||||
5.20%, 11/02/40 | 350 | 498,064 | ||||||
Rio Tinto Finance USA PLC(a) | ||||||||
4.75%, 03/22/42 | 100 | 135,765 | ||||||
4.13%, 08/21/42 | 500 | 643,896 | ||||||
Southern Copper Corp. | ||||||||
3.50%, 11/08/22 | 1,000 | 1,047,188 | ||||||
3.88%, 04/23/25 | 750 | 828,503 | ||||||
6.75%, 04/16/40 | 1,350 | 1,941,891 | ||||||
5.88%, 04/23/45 | 615 | 834,555 | ||||||
Steel Dynamics, Inc. | ||||||||
2.80%, 12/15/24 | 30 | 31,648 | ||||||
2.40%, 06/15/25 | 45 | 46,952 | ||||||
5.00%, 12/15/26 | 1,100 | 1,175,451 | ||||||
3.45%, 04/15/30 | 90 | 99,229 | ||||||
3.25%, 01/15/31 | 35 | 37,450 | ||||||
Teck Resources Ltd., 5.40%, 02/01/43(a) | 2,000 | 2,106,628 | ||||||
Timken Co., 4.50%, 12/15/28 | 500 | 554,300 | ||||||
Vale Overseas Ltd. | ||||||||
6.25%, 08/10/26 | 2,000 | 2,365,000 | ||||||
3.75%, 07/08/30 | 1,000 | 1,027,250 | ||||||
6.88%, 11/10/39 | 1,250 | 1,636,094 | ||||||
|
| |||||||
31,293,500 | ||||||||
Multiline Retail — 0.1% | ||||||||
Kohl’s Corp. | ||||||||
9.50%, 05/15/25 | 1,000 | 1,182,469 | ||||||
5.55%, 07/17/45(a) | 100 | 91,960 | ||||||
O’Reilly Automotive, Inc. | ||||||||
4.35%, 06/01/28 | 1,000 | 1,190,074 | ||||||
3.90%, 06/01/29(a) | 1,000 | 1,169,206 | ||||||
1.75%, 03/15/31 | 440 | 434,897 | ||||||
TJX Cos., Inc. | ||||||||
3.50%, 04/15/25 | 2,000 | 2,227,546 | ||||||
2.25%, 09/15/26(a) | 1,500 | 1,596,795 | ||||||
4.50%, 04/15/50 | 1,000 | 1,291,053 | ||||||
|
| |||||||
9,184,000 | ||||||||
Multi-Utilities — 0.1% | ||||||||
Atmos Energy Corp. | ||||||||
2.63%, 09/15/29(a) | 210 | 231,963 | ||||||
4.15%, 01/15/43 | 100 | 124,528 | ||||||
4.30%, 10/01/48(a) | 500 | 644,239 | ||||||
4.13%, 03/15/49 | 500 | 637,156 | ||||||
3.38%, 09/15/49(a) | 630 | 714,362 | ||||||
CenterPoint Energy Resources Corp. | ||||||||
1.75%, 10/01/30(e) | 200 | 200,766 | ||||||
5.85%, 01/15/41(a) | 250 | 341,153 |
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 | 29 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Multi-Utilities (continued) | ||||||||
Dominion Energy Gas Holdings LLC | ||||||||
3.60%, 12/15/24(a) | $ | 250 | $ | 275,677 | ||||
Series A, 2.50%, 11/15/24(a) | 495 | 526,685 | ||||||
Series B, 3.00%, 11/15/29 | 1,000 | 1,101,550 | ||||||
Series C, 3.90%, 11/15/49 | 300 | 347,529 | ||||||
National Fuel Gas Co. | ||||||||
4.90%, 12/01/21 | 600 | 621,185 | ||||||
3.75%, 03/01/23 | 300 | 311,320 | ||||||
NiSource, Inc. | ||||||||
0.95%, 08/15/25 | 870 | 869,088 | ||||||
2.95%, 09/01/29(a) | 1,000 | 1,085,752 | ||||||
1.70%, 02/15/31 | 445 | 437,460 | ||||||
5.95%, 06/15/41 | 1,050 | 1,472,138 | ||||||
5.25%, 02/15/43 | 75 | 98,325 | ||||||
4.80%, 02/15/44(a) | 250 | 312,441 | ||||||
4.38%, 05/15/47 | 500 | 615,991 | ||||||
ONE Gas, Inc., 4.66%, 02/01/44 | 250 | 313,114 | ||||||
Piedmont Natural Gas Co. Inc., 3.35%, 06/01/50 | 400 | 437,724 | ||||||
Southern California Gas Co. | ||||||||
2.55%, 02/01/30(a) | 1,000 | 1,078,817 | ||||||
4.30%, 01/15/49 | 1,000 | 1,273,904 | ||||||
Series TT, 2.60%, 06/15/26 | 1,250 | 1,350,273 | ||||||
Series UU, 4.13%, 06/01/48 | 250 | 312,029 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
2.45%, 10/01/23 | 1,000 | 1,051,136 | ||||||
1.75%, 01/15/31 | 500 | 493,749 | ||||||
3.95%, 10/01/46(a) | 750 | 839,137 | ||||||
Walt Disney Co., 3.65%, 09/15/49 | 500 | 568,731 | ||||||
|
| |||||||
18,687,922 | ||||||||
Office Supplies & Equipment — 0.0% | ||||||||
VMware, Inc. | ||||||||
2.95%, 08/21/22(a) | 2,000 | 2,082,298 | ||||||
4.70%, 05/15/30 | 1,000 | 1,185,857 | ||||||
|
| |||||||
3,268,155 | ||||||||
Offshore Drilling & Other Services — 0.1% | ||||||||
Applied Materials, Inc. | ||||||||
3.90%, 10/01/25(a) | 160 | 183,502 | ||||||
3.30%, 04/01/27(a) | 1,000 | 1,136,724 | ||||||
1.75%, 06/01/30 | 285 | 293,658 | ||||||
5.85%, 06/15/41(a) | 300 | 442,478 | ||||||
4.35%, 04/01/47(a) | 500 | 661,699 | ||||||
2.75%, 06/01/50 | 500 | 525,472 | ||||||
KLA Corp. | ||||||||
4.65%, 11/01/24 | 305 | 348,283 | ||||||
4.10%, 03/15/29(a) | 500 | 600,066 | ||||||
3.30%, 03/01/50(a) | 1,070 | 1,130,478 | ||||||
Lam Research Corp. | ||||||||
3.80%, 03/15/25 | 230 | 258,832 | ||||||
1.90%, 06/15/30 | 820 | 850,834 | ||||||
4.88%, 03/15/49 | 1,000 | 1,415,465 | ||||||
2.88%, 06/15/50 | 305 | 315,306 | ||||||
3.13%, 06/15/60 | 110 | 117,805 | ||||||
|
| |||||||
8,280,602 | ||||||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||||
Boardwalk Pipelines LP | ||||||||
3.38%, 02/01/23 | 200 | 205,350 | ||||||
4.80%, 05/03/29 | 500 | 544,862 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.25%, 05/06/22 | 100 | 104,316 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
BP Capital Markets America, Inc. (continued) | ||||||||
2.52%, 09/19/22 | $ | 1,000 | $ | 1,034,388 | ||||
2.75%, 05/10/23 | 350 | 369,274 | ||||||
3.22%, 11/28/23 | 1,000 | 1,074,531 | ||||||
3.80%, 09/21/25 | 1,000 | 1,127,173 | ||||||
3.41%, 02/11/26 | 2,000 | 2,232,232 | ||||||
3.12%, 05/04/26 | 350 | 386,401 | ||||||
3.02%, 01/16/27 | 500 | 548,938 | ||||||
3.54%, 04/06/27 | 1,000 | 1,119,369 | ||||||
3.94%, 09/21/28 | 500 | 582,193 | ||||||
4.23%, 11/06/28 | 1,000 | 1,185,706 | ||||||
3.63%, 04/06/30 | 1,000 | 1,147,160 | ||||||
1.75%, 08/10/30 | 515 | 511,044 | ||||||
3.00%, 02/24/50 | 1,000 | 962,593 | ||||||
2.77%, 11/10/50 | 1,700 | 1,568,753 | ||||||
BP Capital Markets PLC | ||||||||
3.56%, 11/01/21(a) | 3,000 | 3,104,045 | ||||||
3.06%, 03/17/22 | 210 | 218,197 | ||||||
3.99%, 09/26/23 | 250 | 273,951 | ||||||
3.28%, 09/19/27(a) | 500 | 555,082 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.45%, 11/15/21 | 1,100 | 1,125,023 | ||||||
2.95%, 01/15/23 | 1,000 | 1,040,107 | ||||||
3.80%, 04/15/24 | 1,250 | 1,341,736 | ||||||
3.90%, 02/01/25 | 250 | 270,996 | ||||||
3.85%, 06/01/27 | 250 | 269,179 | ||||||
6.25%, 03/15/38 | 300 | 356,285 | ||||||
4.95%, 06/01/47 | 1,500 | 1,668,973 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
7.00%, 06/30/24 | 1,000 | 1,151,358 | ||||||
5.13%, 06/30/27 | 1,500 | 1,669,712 | ||||||
3.70%, 11/15/29(b) | 500 | 519,692 | ||||||
Chevron Corp. | ||||||||
2.41%, 03/03/22 | 145 | 148,760 | ||||||
2.36%, 12/05/22 | 1,000 | 1,038,128 | ||||||
1.14%, 05/11/23 | 235 | 239,545 | ||||||
3.19%, 06/24/23 | 500 | 534,323 | ||||||
1.55%, 05/11/25 | 3,200 | 3,316,005 | ||||||
0.69%, 08/12/25 | 760 | 757,981 | ||||||
3.33%, 11/17/25 | 500 | 562,349 | ||||||
2.95%, 05/16/26 | 1,250 | 1,392,905 | ||||||
2.00%, 05/11/27 | 520 | 550,015 | ||||||
1.02%, 08/12/27 | 655 | 655,455 | ||||||
2.24%, 05/11/30 | 950 | 1,008,098 | ||||||
2.98%, 05/11/40 | 275 | 296,884 | ||||||
3.08%, 05/11/50 | 130 | 138,973 | ||||||
2.34%, 08/12/50 | 1,100 | 1,041,738 | ||||||
Cimarex Energy Co., 4.38%, 03/15/29 | 1,000 | 1,034,665 | ||||||
CNOOC Finance 2013 Ltd. | ||||||||
3.00%, 05/09/23 | 1,300 | 1,360,125 | ||||||
4.25%, 05/09/43 | 500 | 606,719 | ||||||
3.30%, 09/30/49 | 500 | 534,219 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/25 | 500 | 550,240 | ||||||
4.38%, 05/02/28 | 2,000 | 2,336,250 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/24 | 1,750 | 1,925,175 | ||||||
4.88%, 04/30/44 | 500 | 664,531 | ||||||
CNOOC Petroleum North America ULC, 6.40%, 05/15/37 | 400 | 584,000 |
30 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Columbia Pipeline Group, Inc., 4.50%, 06/01/25 | $ | 250 | $ | 288,364 | ||||
Concho Resources, Inc. | ||||||||
3.75%, 10/01/27 | 1,000 | 1,080,186 | ||||||
2.40%, 02/15/31 | 200 | 189,448 | ||||||
4.88%, 10/01/47 | 500 | 552,450 | ||||||
ConocoPhillips, 6.50%, 02/01/39 | 1,400 | 2,048,009 | ||||||
ConocoPhillips Co. | ||||||||
4.95%, 03/15/26 | 1,000 | 1,194,831 | ||||||
4.30%, 11/15/44 | 1,000 | 1,200,168 | ||||||
5.95%, 03/15/46 | 750 | 1,100,006 | ||||||
ConocoPhillips Holding Co., 6.95%, 04/15/29 | 850 | 1,180,297 | ||||||
Devon Energy Corp. | ||||||||
5.85%, 12/15/25 | 250 | 280,174 | ||||||
5.60%, 07/15/41 | 500 | 505,837 | ||||||
4.75%, 05/15/42 | 1,350 | 1,254,495 | ||||||
5.00%, 06/15/45 | 500 | 474,589 | ||||||
Diamondback Energy, Inc. | ||||||||
4.75%, 05/31/25 | 115 | 124,055 | ||||||
3.50%, 12/01/29 | 1,000 | 969,425 | ||||||
Ecopetrol SA | ||||||||
5.88%, 09/18/23 | 350 | 384,563 | ||||||
5.38%, 06/26/26 | 500 | 550,391 | ||||||
6.88%, 04/29/30(a) | 1,000 | 1,195,999 | ||||||
5.88%, 05/28/45(a) | 2,250 | 2,451,094 | ||||||
Enable Midstream Partners LP | ||||||||
4.95%, 05/15/28 | 1,000 | 976,325 | ||||||
5.00%, 05/15/44 | 500 | 419,320 | ||||||
Enbridge Energy Partners LP | ||||||||
5.88%, 10/15/25 | 1,500 | 1,796,572 | ||||||
7.38%, 10/15/45 | 800 | 1,171,313 | ||||||
Enbridge, Inc. | ||||||||
4.00%, 10/01/23 | 1,000 | 1,082,573 | ||||||
3.50%, 06/10/24 | 65 | 70,130 | ||||||
2.50%, 01/15/25 | 250 | 263,061 | ||||||
4.25%, 12/01/26 | 1,000 | 1,146,986 | ||||||
3.70%, 07/15/27 | 1,000 | 1,112,513 | ||||||
3.13%, 11/15/29 | 750 | 796,885 | ||||||
4.50%, 06/10/44 | 250 | 284,534 | ||||||
4.00%, 11/15/49 | 250 | 264,433 | ||||||
Energy Transfer Operating LP | ||||||||
5.20%, 02/01/22 | 250 | 259,062 | ||||||
3.60%, 02/01/23 | 150 | 154,357 | ||||||
4.25%, 03/15/23 | 1,000 | 1,039,741 | ||||||
4.90%, 02/01/24 | 250 | 266,783 | ||||||
2.90%, 05/15/25 | 120 | 120,648 | ||||||
4.75%, 01/15/26 | 1,000 | 1,064,953 | ||||||
4.20%, 04/15/27 | 1,000 | 1,034,649 | ||||||
5.25%, 04/15/29 | 1,000 | 1,073,607 | ||||||
3.75%, 05/15/30 | 400 | 387,403 | ||||||
4.90%, 03/15/35 | 250 | 246,090 | ||||||
6.50%, 02/01/42 | 500 | 523,733 | ||||||
5.15%, 02/01/43 | 500 | 460,917 | ||||||
5.95%, 10/01/43 | 150 | 148,922 | ||||||
5.15%, 03/15/45 | 2,000 | 1,810,790 | ||||||
6.13%, 12/15/45 | 250 | 250,948 | ||||||
5.30%, 04/15/47 | 250 | 232,184 | ||||||
6.00%, 06/15/48 | 1,000 | 1,005,789 | ||||||
6.25%, 04/15/49 | 1,500 | 1,550,280 | ||||||
5.00%, 05/15/50 | 1,070 | 990,721 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp., 5.88%, 03/01/22 | $ | 500 | $ | 522,293 | ||||
Enterprise Products Operating LLC | ||||||||
3.90%, 02/15/24 | 125 | 136,248 | ||||||
3.75%, 02/15/25 | 1,790 | 1,989,554 | ||||||
3.70%, 02/15/26 | 960 | 1,076,691 | ||||||
3.95%, 02/15/27 | 2,000 | 2,291,385 | ||||||
3.13%, 07/31/29 | 1,155 | 1,258,928 | ||||||
2.80%, 01/31/30 | 860 | 915,433 | ||||||
5.95%, 02/01/41 | 150 | 189,277 | ||||||
4.45%, 02/15/43 | 825 | 890,587 | ||||||
4.85%, 03/15/44 | 700 | 796,159 | ||||||
5.10%, 02/15/45 | 250 | 291,022 | ||||||
4.90%, 05/15/46 | 1,100 | 1,239,693 | ||||||
4.25%, 02/15/48 | 1,000 | 1,061,691 | ||||||
4.80%, 02/01/49 | 1,000 | 1,153,234 | ||||||
4.20%, 01/31/50(a) | 620 | 659,154 | ||||||
3.70%, 01/31/51 | 800 | 788,899 | ||||||
3.20%, 02/15/52 | 1,700 | 1,570,954 | ||||||
3.95%, 01/31/60 | 545 | 537,796 | ||||||
(3 mo. LIBOR US + 2.57%), | 1,000 | 890,000 | ||||||
Series E, (3 mo. LIBOR US + 3.03%), 5.25%, 08/16/77(c) | 750 | 714,188 | ||||||
EOG Resources, Inc. | ||||||||
3.15%, 04/01/25 | 80 | 87,338 | ||||||
4.38%, 04/15/30(a) | 1,000 | 1,178,285 | ||||||
5.10%, 01/15/36 | 250 | 288,528 | ||||||
4.95%, 04/15/50 | 500 | 614,364 | ||||||
Equinor ASA | ||||||||
2.75%, 11/10/21 | 500 | 511,322 | ||||||
2.65%, 01/15/24 | 1,500 | 1,598,685 | ||||||
3.70%, 03/01/24(a) | 250 | 276,131 | ||||||
3.25%, 11/10/24 | 500 | 550,022 | ||||||
2.88%, 04/06/25 | 2,000 | 2,174,124 | ||||||
3.13%, 04/06/30(a) | 1,000 | 1,125,939 | ||||||
2.38%, 05/22/30 | 1,000 | 1,057,524 | ||||||
5.10%, 08/17/40 | 1,100 | 1,483,662 | ||||||
4.25%, 11/23/41 | 300 | 359,557 | ||||||
3.25%, 11/18/49 | 750 | 795,304 | ||||||
3.70%, 04/06/50 | 1,000 | 1,147,153 | ||||||
Exxon Mobil Corp. | ||||||||
2.40%, 03/06/22 | 2,000 | 2,053,100 | ||||||
1.90%, 08/16/22 | 270 | 277,998 | ||||||
2.73%, 03/01/23 | 1,000 | 1,051,671 | ||||||
1.57%, 04/15/23 | 1,400 | 1,439,998 | ||||||
3.18%, 03/15/24 | 250 | 270,413 | ||||||
2.02%, 08/16/24 | 500 | 525,815 | ||||||
2.71%, 03/06/25 | 1,250 | 1,351,016 | ||||||
2.99%, 03/19/25 | 2,400 | 2,630,056 | ||||||
3.04%, 03/01/26 | 620 | 684,236 | ||||||
2.28%, 08/16/26 | 500 | 536,482 | ||||||
3.29%, 03/19/27 | 800 | 900,504 | ||||||
2.44%, 08/16/29 | 500 | 536,912 | ||||||
3.48%, 03/19/30 | 1,100 | 1,268,406 | ||||||
2.61%, 10/15/30 | 1,000 | 1,080,908 | ||||||
3.00%, 08/16/39 | 500 | 528,707 | ||||||
4.23%, 03/19/40 | 1,200 | 1,468,239 | ||||||
4.11%, 03/01/46 | 1,000 | 1,188,255 | ||||||
3.10%, 08/16/49 | 1,500 | 1,533,903 |
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 | 31 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Exxon Mobil Corp. (continued) | ||||||||
4.33%, 03/19/50 | $ | 1,651 | $ | 2,066,655 | ||||
3.45%, 04/15/51 | 1,249 | 1,372,344 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/27 | 1,500 | 1,566,716 | ||||||
5.60%, 02/15/41 | 550 | 593,608 | ||||||
5.80%, 04/01/47 | 1,000 | 1,096,247 | ||||||
Husky Energy, Inc. | ||||||||
3.95%, 04/15/22 | 150 | 155,017 | ||||||
4.00%, 04/15/24 | 500 | 530,628 | ||||||
6.80%, 09/15/37 | 500 | 620,024 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
5.00%, 10/01/21 | 200 | 206,472 | ||||||
3.95%, 09/01/22 | 225 | 237,123 | ||||||
3.45%, 02/15/23 | 500 | 525,541 | ||||||
4.15%, 02/01/24 | 1,000 | 1,094,252 | ||||||
4.30%, 05/01/24 | 500 | 551,465 | ||||||
4.25%, 09/01/24 | 155 | 171,512 | ||||||
5.80%, 03/15/35 | 1,000 | 1,202,907 | ||||||
6.50%, 02/01/37 | 100 | 124,425 | ||||||
6.95%, 01/15/38 | 1,250 | 1,635,824 | ||||||
5.00%, 08/15/42 | 75 | 83,288 | ||||||
5.00%, 03/01/43 | 250 | 278,560 | ||||||
5.50%, 03/01/44 | 750 | 885,117 | ||||||
5.40%, 09/01/44 | 250 | 289,715 | ||||||
Kinder Morgan, Inc. | ||||||||
3.15%, 01/15/23 | 1,500 | 1,575,425 | ||||||
4.30%, 06/01/25 | 410 | 461,801 | ||||||
4.30%, 03/01/28(a) | 500 | 568,982 | ||||||
2.00%, 02/15/31 | 900 | 867,071 | ||||||
5.30%, 12/01/34 | 250 | 294,735 | ||||||
5.55%, 06/01/45 | 1,250 | 1,483,868 | ||||||
5.05%, 02/15/46 | 750 | 852,217 | ||||||
5.20%, 03/01/48(a) | 1,250 | 1,464,737 | ||||||
3.25%, 08/01/50 | 900 | 810,484 | ||||||
Magellan Midstream Partners LP | ||||||||
3.20%, 03/15/25 | 500 | 532,060 | ||||||
4.25%, 09/15/46 | 250 | 261,803 | ||||||
4.85%, 02/01/49 | 750 | 858,665 | ||||||
3.95%, 03/01/50 | 175 | 179,000 | ||||||
Marathon Oil Corp. | ||||||||
2.80%, 11/01/22 | 400 | 409,745 | ||||||
3.85%, 06/01/25 | 250 | 256,560 | ||||||
4.40%, 07/15/27 | 1,000 | 994,780 | ||||||
6.60%, 10/01/37 | 250 | 257,413 | ||||||
5.20%, 06/01/45 | 250 | 234,566 | ||||||
Marathon Petroleum Corp. | ||||||||
4.50%, 05/01/23 | 1,000 | 1,079,206 | ||||||
3.63%, 09/15/24 | 115 | 122,940 | ||||||
3.80%, 04/01/28 | 1,000 | 1,086,275 | ||||||
4.75%, 09/15/44 | 250 | 260,630 | ||||||
5.85%, 12/15/45 | 250 | 283,886 | ||||||
4.50%, 04/01/48 | 1,000 | 1,013,453 | ||||||
MPLX LP | ||||||||
3.50%, 12/01/22 | 1,000 | 1,048,073 | ||||||
3.38%, 03/15/23 | 2,000 | 2,107,097 | ||||||
4.50%, 07/15/23 | 250 | 271,035 | ||||||
4.88%, 12/01/24 | 250 | 279,297 | ||||||
4.88%, 06/01/25 | 250 | 282,960 | ||||||
1.75%, 03/01/26 | 725 | 721,734 | ||||||
4.13%, 03/01/27 | 1,000 | 1,099,244 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
MPLX LP (continued) | ||||||||
4.00%, 03/15/28 | $ | 1,000 | $ | 1,088,293 | ||||
2.65%, 08/15/30 | 880 | 858,936 | ||||||
4.50%, 04/15/38 | 750 | 767,810 | ||||||
5.20%, 12/01/47 | 500 | 550,051 | ||||||
4.70%, 04/15/48 | 1,750 | 1,776,078 | ||||||
5.50%, 02/15/49 | 700 | 786,187 | ||||||
Nexen, Inc., 7.88%, 03/15/32 | 900 | 1,394,719 | ||||||
Noble Energy, Inc. | ||||||||
3.85%, 01/15/28 | 1,500 | 1,703,383 | ||||||
5.25%, 11/15/43 | 500 | 662,893 | ||||||
4.95%, 08/15/47 | 500 | 655,602 | ||||||
4.20%, 10/15/49 | 500 | 600,850 | ||||||
ONEOK Inc. | ||||||||
3.10%, 03/15/30 | 1,000 | 961,953 | ||||||
6.35%, 01/15/31 | 1,000 | 1,162,377 | ||||||
4.50%, 03/15/50 | 500 | 443,726 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/22 | 500 | 519,442 | ||||||
4.90%, 03/15/25 | 250 | 273,957 | ||||||
6.13%, 02/01/41 | 300 | 317,234 | ||||||
ONEOK, Inc. | ||||||||
2.75%, 09/01/24 | 430 | 440,398 | ||||||
4.55%, 07/15/28 | 500 | 529,435 | ||||||
3.40%, 09/01/29 | 1,000 | 979,800 | ||||||
4.95%, 07/13/47 | 1,000 | 938,041 | ||||||
4.45%, 09/01/49 | 1,000 | 890,017 | ||||||
Phillips 66 | ||||||||
4.30%, 04/01/22 | 1,000 | 1,054,690 | ||||||
3.85%, 04/09/25 | 1,000 | 1,110,760 | ||||||
2.15%, 12/15/30 | 1,000 | 972,497 | ||||||
4.65%, 11/15/34(a) | 1,355 | 1,618,295 | ||||||
5.88%, 05/01/42 | 100 | 131,741 | ||||||
4.88%, 11/15/44 | 1,250 | 1,485,879 | ||||||
Phillips 66 Partners LP | ||||||||
2.45%, 12/15/24 | 255 | 262,353 | ||||||
3.15%, 12/15/29 | 370 | 365,138 | ||||||
4.90%, 10/01/46 | 500 | 519,490 | ||||||
Pioneer Natural Resources Co., 1.90%, 08/15/30 | 1,200 | 1,125,505 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.65%, 06/01/22 | 500 | 512,054 | ||||||
2.85%, 01/31/23 | 250 | 254,271 | ||||||
3.60%, 11/01/24 | 750 | 773,005 | ||||||
4.50%, 12/15/26 | 500 | 531,623 | ||||||
5.15%, 06/01/42 | 50 | 47,191 | ||||||
4.70%, 06/15/44 | 750 | 664,985 | ||||||
4.90%, 02/15/45 | 1,000 | 912,645 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||||||||
5.00%, 10/01/22 | 1,000 | 1,052,430 | ||||||
4.50%, 11/01/23 | 1,000 | 1,063,973 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 04/15/23 | 500 | 547,685 | ||||||
5.63%, 03/01/25 | 1,000 | 1,143,840 | ||||||
5.00%, 03/15/27 | 1,000 | 1,127,934 | ||||||
4.20%, 03/15/28 | 750 | 814,429 | ||||||
4.50%, 05/15/30(b) | 2,000 | 2,252,903 | ||||||
Shell International Finance BV | ||||||||
2.25%, 01/06/23 | 1,000 | 1,040,539 | ||||||
3.40%, 08/12/23(a) | 2,000 | 2,163,623 |
32 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Shell International Finance BV (continued) | ||||||||
2.00%,��11/07/24(a) | $ | 1,000 | $ | 1,051,793 | ||||
2.38%, 04/06/25 | 2,000 | 2,132,050 | ||||||
3.25%, 05/11/25 | 1,250 | 1,382,815 | ||||||
2.88%, 05/10/26(a) | 500 | 553,567 | ||||||
2.50%, 09/12/26(a) | 1,000 | 1,089,786 | ||||||
3.88%, 11/13/28 | 1,000 | 1,167,735 | ||||||
2.38%, 11/07/29 | 1,000 | 1,055,480 | ||||||
4.13%, 05/11/35 | 500 | 602,103 | ||||||
6.38%, 12/15/38 | 300 | 446,323 | ||||||
5.50%, 03/25/40(a) | 300 | 420,638 | ||||||
4.55%, 08/12/43(a) | 700 | 875,956 | ||||||
4.38%, 05/11/45 | 2,500 | 3,065,954 | ||||||
4.00%, 05/10/46 | 1,250 | 1,458,587 | ||||||
3.75%, 09/12/46 | 900 | 1,004,152 | ||||||
3.13%, 11/07/49(a) | 940 | 962,663 | ||||||
3.25%, 04/06/50(a) | 1,000 | 1,063,891 | ||||||
Spectra Energy Partners LP | ||||||||
4.75%, 03/15/24 | 250 | 278,411 | ||||||
3.50%, 03/15/25 | 250 | 272,734 | ||||||
3.38%, 10/15/26 | 1,000 | 1,100,708 | ||||||
Suncor Energy, Inc. | ||||||||
2.80%, 05/15/23 | 1,200 | 1,257,751 | ||||||
3.60%, 12/01/24 | 1,165 | 1,269,180 | ||||||
6.50%, 06/15/38 | 500 | 640,144 | ||||||
6.85%, 06/01/39 | 250 | 327,679 | ||||||
4.00%, 11/15/47 | 1,500 | 1,534,976 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/24 | 400 | 420,014 | ||||||
4.00%, 10/01/27 | 1,750 | 1,788,315 | ||||||
4.95%, 01/15/43 | 250 | 222,326 | ||||||
5.30%, 04/01/44 | 100 | 93,169 | ||||||
5.35%, 05/15/45 | 250 | 232,654 | ||||||
5.40%, 10/01/47 | 500 | 472,083 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/25 | 250 | 273,645 | ||||||
3.90%, 05/25/27 | 105 | 112,542 | ||||||
Total Capital Canada Ltd., 2.75%, 07/15/23 | 1,150 | 1,223,902 | ||||||
Total Capital International SA | ||||||||
2.70%, 01/25/23(a) | 500 | 524,844 | ||||||
3.75%, 04/10/24(a) | 1,000 | 1,104,732 | ||||||
3.46%, 02/19/29(a) | 3,000 | 3,448,470 | ||||||
3.46%, 07/12/49(a) | 500 | 546,150 | ||||||
3.13%, 05/29/50 | 1,000 | 1,037,861 | ||||||
3.39%, 06/29/60(a) | 1,000 | 1,057,501 | ||||||
Total Capital SA, 4.25%, 12/15/21 | 250 | 261,497 | ||||||
TransCanada PipeLines Ltd. | ||||||||
2.50%, 08/01/22 | 1,000 | 1,031,308 | ||||||
3.75%, 10/16/23 | 500 | 541,571 | ||||||
4.88%, 01/15/26 | 850 | 998,374 | ||||||
4.25%, 05/15/28 | 750 | 867,038 | ||||||
4.10%, 04/15/30 | 1,500 | 1,729,907 | ||||||
4.63%, 03/01/34 | 1,250 | 1,476,171 | ||||||
5.60%, 03/31/34 | 500 | 631,413 | ||||||
6.20%, 10/15/37 | 200 | 267,314 | ||||||
4.75%, 05/15/38 | 250 | 294,227 | ||||||
7.25%, 08/15/38 | 250 | 363,203 | ||||||
7.63%, 01/15/39 | 250 | 379,571 | ||||||
5.00%, 10/16/43 | 150 | 177,382 |
Security | Par (000) | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
TransCanada PipeLines Ltd. (continued) | ||||||||
4.88%, 05/15/48 | $ | 750 | $ | 932,676 | ||||
5.10%, 03/15/49(a) | 500 | 636,006 | ||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||
7.85%, 02/01/26 | 250 | 323,676 | ||||||
4.00%, 03/15/28 | 750 | 837,452 | ||||||
4.45%, 08/01/42 | 250 | 276,026 | ||||||
3.95%, 05/15/50(b) | 500 | 524,843 | ||||||
Valero Energy Corp. | ||||||||
3.65%, 03/15/25 | 1,500 | 1,623,437 | ||||||
2.85%, 04/15/25 | 2,000 | 2,098,835 | ||||||
3.40%, 09/15/26 | 750 | 805,943 | ||||||
2.15%, 09/15/27 | 2,000 | 1,991,927 | ||||||
4.00%, 04/01/29 | 1,000 | 1,095,697 | ||||||
6.63%, 06/15/37 | 300 | 377,366 | ||||||
4.90%, 03/15/45 | 500 | 556,570 | ||||||
Valero Energy Partners LP, 4.50%, 03/15/28 | 500 | 560,042 | ||||||
Williams Companies Inc. (The), 3.50%, 11/15/30 | 1,000 | 1,087,748 | ||||||
Williams Cos., Inc. | ||||||||
4.00%, 11/15/21 | 250 | 257,458 | ||||||
3.60%, 03/15/22 | 750 | 775,370 | ||||||
3.70%, 01/15/23 | 3,000 | 3,170,504 | ||||||
4.30%, 03/04/24 | 250 | 273,390 | ||||||
3.90%, 01/15/25 | 250 | 273,186 | ||||||
4.00%, 09/15/25 | 250 | 277,155 | ||||||
3.75%, 06/15/27 | 750 | 823,015 | ||||||
6.30%, 04/15/40 | 250 | 309,125 | ||||||
5.75%, 06/24/44 | 1,000 | 1,177,954 | ||||||
4.90%, 01/15/45 | 500 | 533,196 | ||||||
5.10%, 09/15/45 | 900 | 1,009,303 | ||||||
4.85%, 03/01/48 | 500 | 560,196 | ||||||
|
| |||||||
289,042,246 | ||||||||
Personal Products — 0.1% | ||||||||
Colgate-Palmolive Co. | ||||||||
3.25%, 03/15/24(a) | 250 | 273,160 | ||||||
3.70%, 08/01/47 | 750 | 990,818 | ||||||
Estee Lauder Companies Inc. (The), 2.60%, 04/15/30 | 500 | 546,252 | ||||||
Estee Lauder Cos., Inc. | ||||||||
2.00%, 12/01/24(a) | 325 | 342,406 | ||||||
3.15%, 03/15/27 | 1,000 | 1,128,075 | ||||||
2.38%, 12/01/29 | 130 | 139,833 | ||||||
4.15%, 03/15/47 | 250 | 314,425 | ||||||
3.13%, 12/01/49(a) | 685 | 754,204 | ||||||
Procter & Gamble Co. | ||||||||
2.30%, 02/06/22(a) | 250 | 257,133 | ||||||
2.15%, 08/11/22(a) | 1,000 | 1,035,450 | ||||||
3.10%, 08/15/23(a) | 500 | 538,759 | ||||||
2.45%, 03/25/25 | 2,500 | 2,707,523 | ||||||
2.85%, 08/11/27(a) | 500 | 563,314 | ||||||
3.00%, 03/25/30(a) | 1,000 | 1,159,946 | ||||||
3.50%, 10/25/47(a) | 1,000 | 1,250,989 | ||||||
3.60%, 03/25/50 | 1,000 | 1,267,990 | ||||||
Unilever Capital Corp. | ||||||||
3.13%, 03/22/23(a) | 2,000 | 2,133,243 | ||||||
3.10%, 07/30/25 | 250 | 278,369 | ||||||
2.00%, 07/28/26(a) | 750 | 801,802 | ||||||
2.90%, 05/05/27(a) | 750 | 837,525 |
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 | 33 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Personal Products (continued) | ||||||||
Unilever Capital Corp. (continued) | ||||||||
2.13%, 09/06/29(a) | $ | 1,000 | $ | 1,060,153 | ||||
1.38%, 09/14/30 | 805 | 811,609 | ||||||
|
| |||||||
19,192,978 | ||||||||
Pharmaceuticals — 1.9% | ||||||||
AbbVie Inc.(b) | ||||||||
3.25%, 10/01/22 | 3,150 | 3,294,555 | ||||||
4.85%, 06/15/44 | 1,250 | 1,552,143 | ||||||
AbbVie, Inc. | ||||||||
2.15%, 11/19/21(a)(b) | 700 | 713,001 | ||||||
3.45%, 03/15/22(b) | 1,155 | 1,198,001 | ||||||
2.90%, 11/06/22(a) | 1,250 | 1,310,780 | ||||||
2.30%, 11/21/22(b) | 4,400 | 4,552,799 | ||||||
2.85%, 05/14/23(a) | 1,500 | 1,577,971 | ||||||
3.75%, 11/14/23(a) | 3,000 | 3,273,627 | ||||||
2.60%, 11/21/24(b) | 1,850 | 1,960,082 | ||||||
3.80%, 03/15/25(b) | 750 | 831,632 | ||||||
3.60%, 05/14/25(a) | 1,500 | 1,662,596 | ||||||
3.20%, 05/14/26(a) | 1,435 | 1,579,826 | ||||||
2.95%, 11/21/26(a)(b) | 2,000 | 2,178,455 | ||||||
3.20%, 11/21/29(b) | 2,850 | 3,139,891 | ||||||
4.55%, 03/15/35(b) | 630 | 774,543 | ||||||
4.50%, 05/14/35(a) | 450 | 547,702 | ||||||
4.30%, 05/14/36 | 200 | 235,573 | ||||||
4.05%, 11/21/39(a)(b) | 1,895 | 2,179,171 | ||||||
4.40%, 11/06/42 | 1,400 | 1,666,585 | ||||||
4.75%, 03/15/45(b) | 668 | 807,273 | ||||||
4.70%, 05/14/45(a) | 1,500 | 1,846,951 | ||||||
4.45%, 05/14/46(a) | 1,250 | 1,488,612 | ||||||
4.88%, 11/14/48(a) | 1,000 | 1,269,857 | ||||||
4.25%, 11/21/49(a)(b) | 3,195 | 3,793,030 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 06/12/22(a) | 500 | 514,960 | ||||||
3.50%, 08/17/23(a) | 500 | 540,394 | ||||||
3.38%, 11/16/25(a) | 4,700 | 5,271,235 | ||||||
0.70%, 04/08/26(a) | 1,100 | 1,085,917 | ||||||
3.13%, 06/12/27(a) | 500 | 556,257 | ||||||
4.00%, 01/17/29(a) | 1,500 | 1,775,300 | ||||||
1.38%, 08/06/30(a) | 1,100 | 1,069,965 | ||||||
6.45%, 09/15/37 | 100 | 151,918 | ||||||
4.38%, 11/16/45 | 950 | 1,232,205 | ||||||
4.38%, 08/17/48 | 900 | 1,176,829 | ||||||
2.13%, 08/06/50(a) | 385 | 348,845 | ||||||
Banner Health, 3.18%, 01/01/50 | 181 | 197,102 | ||||||
Bristol-Myers Squibb Co. | ||||||||
2.60%, 05/16/22 | 2,000 | 2,074,900 | ||||||
2.00%, 08/01/22(a) | 250 | 257,711 | ||||||
3.25%, 08/15/22 | 150 | 158,032 | ||||||
3.55%, 08/15/22 | 750 | 795,464 | ||||||
4.00%, 08/15/23 | 750 | 817,560 | ||||||
3.88%, 08/15/25 | 500 | 570,083 | ||||||
3.20%, 06/15/26 | 4,000 | 4,511,746 | ||||||
3.45%, 11/15/27 | 1,000 | 1,149,127 | ||||||
3.90%, 02/20/28 | 1,000 | 1,185,278 | ||||||
3.40%, 07/26/29 | 1,500 | 1,747,064 | ||||||
4.13%, 06/15/39 | 500 | 632,070 | ||||||
5.25%, 08/15/43 | 145 | 204,623 | ||||||
4.50%, 03/01/44(a) | 250 | 348,796 | ||||||
4.63%, 05/15/44 | 500 | 669,900 | ||||||
5.00%, 08/15/45 | 1,750 | 2,460,965 |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Bristol-Myers Squibb Co. (continued) | ||||||||
4.35%, 11/15/47 | $ | 500 | $ | 660,357 | ||||
4.55%, 02/20/48 | 1,000 | 1,352,392 | ||||||
4.25%, 10/26/49 | 2,500 | 3,283,114 | ||||||
Catholic Health Services of Long Island Obligated Group, 3.37%, 07/01/50 | 225 | 218,623 | ||||||
Cigna Corp. | ||||||||
3.05%, 11/30/22 | 3,000 | 3,155,097 | ||||||
3.00%, 07/15/23 | 1,000 | 1,060,862 | ||||||
3.75%, 07/15/23 | 1,330 | 1,441,284 | ||||||
3.50%, 06/15/24 | 750 | 818,127 | ||||||
3.25%, 04/15/25 | 300 | 329,933 | ||||||
4.13%, 11/15/25 | 1,000 | 1,147,165 | ||||||
4.50%, 02/25/26 | 250 | 292,051 | ||||||
3.40%, 03/01/27 | 750 | 841,027 | ||||||
3.05%, 10/15/27 | 1,000 | 1,112,640 | ||||||
4.38%, 10/15/28 | 2,000 | 2,379,115 | ||||||
2.40%, 03/15/30 | 1,000 | 1,037,122 | ||||||
4.80%, 08/15/38 | 1,000 | 1,241,368 | ||||||
3.20%, 03/15/40 | 1,000 | 1,060,086 | ||||||
4.80%, 07/15/46 | 250 | 313,266 | ||||||
3.88%, 10/15/47 | 750 | 830,825 | ||||||
4.90%, 12/15/48(a) | 1,500 | 1,947,017 | ||||||
3.40%, 03/15/50 | 1,000 | 1,046,873 | ||||||
CVS Health Corp. | ||||||||
3.50%, 07/20/22 | 500 | 524,435 | ||||||
2.75%, 12/01/22 | 2,000 | 2,085,693 | ||||||
3.70%, 03/09/23 | 1,725 | 1,848,491 | ||||||
2.63%, 08/15/24(a) | 1,225 | 1,305,728 | ||||||
4.10%, 03/25/25(a) | 361 | 407,796 | ||||||
3.88%, 07/20/25 | 943 | 1,062,423 | ||||||
2.88%, 06/01/26(a) | 750 | 812,096 | ||||||
3.63%, 04/01/27 | 175 | 195,896 | ||||||
1.30%, 08/21/27 | 1,500 | 1,477,489 | ||||||
4.30%, 03/25/28(a) | 3,500 | 4,096,650 | ||||||
3.25%, 08/15/29 | 2,000 | 2,200,017 | ||||||
3.75%, 04/01/30 | 1,745 | 1,991,278 | ||||||
1.75%, 08/21/30 | 2,065 | 2,017,998 | ||||||
4.88%, 07/20/35 | 1,000 | 1,272,366 | ||||||
4.78%, 03/25/38(a) | 2,500 | 3,045,969 | ||||||
4.13%, 04/01/40 | 800 | 911,184 | ||||||
2.70%, 08/21/40 | 705 | 671,924 | ||||||
5.13%, 07/20/45(a) | 1,750 | 2,211,106 | ||||||
5.05%, 03/25/48 | 4,750 | 6,062,940 | ||||||
4.25%, 04/01/50 | 285 | 334,986 | ||||||
Eli Lilly & Co. | ||||||||
2.75%, 06/01/25(a) | 45 | 49,190 | ||||||
3.10%, 05/15/27(a) | 750 | 841,818 | ||||||
3.38%, 03/15/29 | 1,000 | 1,156,864 | ||||||
3.70%, 03/01/45 | 1,000 | 1,210,781 | ||||||
3.95%, 05/15/47 | 500 | 626,752 | ||||||
3.95%, 03/15/49(a) | 750 | 940,171 | ||||||
4.15%, 03/15/59 | 500 | 649,909 | ||||||
Eli Lilly and Co., 2.25%, 05/15/50 | 500 | 471,121 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
2.85%, 05/08/22 | 2,650 | 2,757,108 | ||||||
2.88%, 06/01/22(a) | 500 | 519,132 | ||||||
3.38%, 06/01/29(a) | 1,000 | 1,156,468 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
2.80%, 03/18/23(a) | 1,500 | 1,589,456 | ||||||
3.38%, 05/15/23(a) | 1,000 | 1,076,653 |
34 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
GlaxoSmithKline Capital, Inc. (continued) | ||||||||
3.88%, 05/15/28(a) | $ | 1,000 | $ | 1,188,565 | ||||
5.38%, 04/15/34 | 250 | 352,850 | ||||||
6.38%, 05/15/38 | 1,100 | 1,697,471 | ||||||
4.20%, 03/18/43(a) | 600 | 772,823 | ||||||
Johnson & Johnson | ||||||||
2.45%, 12/05/21 | 450 | 462,022 | ||||||
2.25%, 03/03/22(a) | 750 | 769,378 | ||||||
2.05%, 03/01/23(a) | 750 | 779,207 | ||||||
2.45%, 03/01/26 | 2,370 | 2,593,255 | ||||||
4.38%, 12/05/33 | 250 | 326,810 | ||||||
3.55%, 03/01/36(a) | 750 | 910,831 | ||||||
3.63%, 03/03/37 | 500 | 610,648 | ||||||
2.10%, 09/01/40 | 1,500 | 1,497,593 | ||||||
4.50%, 09/01/40(a) | 100 | 135,581 | ||||||
4.50%, 12/05/43 | 750 | 1,028,363 | ||||||
3.70%, 03/01/46(a) | 500 | 625,858 | ||||||
3.75%, 03/03/47(a) | 1,750 | 2,233,424 | ||||||
3.50%, 01/15/48(a) | 1,250 | 1,548,040 | ||||||
2.45%, 09/01/60 | 2,000 | 2,024,341 | ||||||
Laboratory Corp. of America Holdings | ||||||||
3.75%, 08/23/22 | 100 | 105,152 | ||||||
4.00%, 11/01/23 | 100 | 109,296 | ||||||
3.25%, 09/01/24(a) | 1,000 | 1,090,695 | ||||||
3.60%, 02/01/25 | 75 | 83,291 | ||||||
3.60%, 09/01/27 | 500 | 570,773 | ||||||
4.70%, 02/01/45(a) | 450 | 572,798 | ||||||
Mead Johnson Nutrition Co., 4.60%, 06/01/44 | 250 | 335,067 | ||||||
Merck & Co., Inc. | ||||||||
2.35%, 02/10/22 | 1,500 | 1,544,585 | ||||||
2.75%, 02/10/25(a) | 3,570 | 3,879,472 | ||||||
1.45%, 06/24/30 | 2,000 | 2,027,970 | ||||||
3.90%, 03/07/39(a) | 500 | 620,406 | ||||||
4.15%, 05/18/43(a) | 750 | 956,598 | ||||||
3.70%, 02/10/45 | 1,900 | 2,284,488 | ||||||
4.00%, 03/07/49 | 1,000 | 1,262,405 | ||||||
2.45%, 06/24/50(a) | 1,000 | 1,003,796 | ||||||
Mylan NV(a) | ||||||||
3.95%, 06/15/26 | 250 | 281,258 | ||||||
5.25%, 06/15/46 | 500 | 620,552 | ||||||
Mylan, Inc. | ||||||||
4.20%, 11/29/23(a) | 250 | 273,481 | ||||||
4.55%, 04/15/28 | 800 | 931,925 | ||||||
5.40%, 11/29/43 | 250 | 314,138 | ||||||
5.20%, 04/15/48 | 550 | 680,061 | ||||||
Novartis Capital Corp. | ||||||||
2.40%, 05/17/22(a) | 500 | 516,784 | ||||||
3.40%, 05/06/24(a) | 650 | 717,015 | ||||||
1.75%, 02/14/25(a) | 500 | 524,181 | ||||||
3.00%, 11/20/25(a) | 1,100 | 1,223,800 | ||||||
2.00%, 02/14/27 | 500 | 531,990 | ||||||
3.10%, 05/17/27(a) | 2,500 | 2,811,435 | ||||||
2.20%, 08/14/30(a) | 1,000 | 1,079,689 | ||||||
4.40%, 05/06/44 | 1,250 | 1,681,369 | ||||||
4.00%, 11/20/45 | 250 | 321,972 | ||||||
2.75%, 08/14/50(a) | 1,250 | 1,342,466 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.90%, 12/15/24(a) | 250 | 270,900 | ||||||
4.38%, 03/15/26(a) | 250 | 279,389 |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Perrigo Finance Unlimited Co. (continued) | ||||||||
3.15%, 06/15/30 | $ | 1,000 | $ | 1,032,570 | ||||
Pfizer, Inc. | ||||||||
2.20%, 12/15/21(a) | 3,000 | 3,069,327 | ||||||
5.80%, 08/12/23(a) | 500 | 574,458 | ||||||
3.40%, 05/15/24(a) | 1,000 | 1,098,411 | ||||||
0.80%, 05/28/25 | 550 | 553,906 | ||||||
2.75%, 06/03/26(a) | 115 | 127,191 | ||||||
3.00%, 12/15/26(a) | 750 | 848,114 | ||||||
3.60%, 09/15/28 | 2,000 | 2,361,021 | ||||||
3.45%, 03/15/29(a) | 1,000 | 1,170,695 | ||||||
2.63%, 04/01/30 | 1,000 | 1,118,075 | ||||||
1.70%, 05/28/30 | 825 | 850,231 | ||||||
4.00%, 12/15/36 | 500 | 613,057 | ||||||
4.10%, 09/15/38 | 1,000 | 1,240,033 | ||||||
3.90%, 03/15/39 | 500 | 607,741 | ||||||
7.20%, 03/15/39(a) | 2,250 | 3,731,027 | ||||||
2.55%, 05/28/40 | 245 | 254,699 | ||||||
4.30%, 06/15/43(a) | 500 | 641,772 | ||||||
4.40%, 05/15/44(a) | 500 | 658,518 | ||||||
4.13%, 12/15/46(a) | 500 | 639,168 | ||||||
4.20%, 09/15/48 | 500 | 643,696 | ||||||
4.00%, 03/15/49 | 1,000 | 1,271,816 | ||||||
2.70%, 05/28/50 | 875 | 913,979 | ||||||
Quest Diagnostics, Inc. | ||||||||
4.25%, 04/01/24 | 250 | 277,213 | ||||||
3.50%, 03/30/25 | 370 | 409,943 | ||||||
4.20%, 06/30/29 | 250 | 297,695 | ||||||
2.95%, 06/30/30(a) | 425 | 464,222 | ||||||
2.80%, 06/30/31 | 400 | 430,831 | ||||||
4.70%, 03/30/45 | 250 | 315,644 | ||||||
Sanofi, 3.63%, 06/19/28 | 2,000 | 2,344,634 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/23 | 500 | 529,975 | ||||||
3.20%, 09/23/26(a) | 900 | 1,000,731 | ||||||
Takeda Pharmaceutical Co. Ltd. | ||||||||
4.00%, 11/26/21 | 3,000 | 3,114,889 | ||||||
4.40%, 11/26/23 | 1,000 | 1,110,377 | ||||||
5.00%, 11/26/28(a) | 1,000 | 1,242,891 | ||||||
2.05%, 03/31/30(a) | 1,055 | 1,065,386 | ||||||
3.03%, 07/09/40 | 530 | 549,250 | ||||||
3.18%, 07/09/50(a) | 1,115 | 1,132,675 | ||||||
3.38%, 07/09/60(a) | 1,000 | 1,053,440 | ||||||
Upjohn, Inc.(b) | ||||||||
2.30%, 06/22/27 | 1,000 | 1,035,541 | ||||||
2.70%, 06/22/30 | 2,000 | 2,070,722 | ||||||
3.85%, 06/22/40 | 1,000 | 1,080,084 | ||||||
4.00%, 06/22/50(a) | 500 | 533,643 | ||||||
Wyeth LLC | ||||||||
6.50%, 02/01/34 | 500 | 777,109 | ||||||
5.95%, 04/01/37 | 250 | 370,699 | ||||||
Zoetis, Inc. | ||||||||
3.25%, 02/01/23 | 1,000 | 1,055,120 | ||||||
3.90%, 08/20/28 | 1,000 | 1,187,073 | ||||||
2.00%, 05/15/30 | 400 | 412,012 | ||||||
4.70%, 02/01/43(a) | 400 | 526,703 | ||||||
3.95%, 09/12/47(a) | 500 | 616,126 |
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 | 35 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Pharmaceuticals (continued) | ||||||||
Zoetis, Inc. (continued) | ||||||||
4.45%, 08/20/48 | $ | 250 | $ | 328,230 | ||||
3.00%, 05/15/50 | 400 | 428,632 | ||||||
|
| |||||||
248,276,386 | ||||||||
Producer Durables: Miscellaneous — 0.3% | ||||||||
CA, Inc., 4.50%, 08/15/23 | 170 | 180,190 | ||||||
Oracle Corp. | ||||||||
2.50%, 10/15/22(a) | 3,250 | 3,392,032 | ||||||
2.63%, 02/15/23(a) | 2,000 | 2,089,027 | ||||||
2.40%, 09/15/23(a) | 4,000 | 4,207,065 | ||||||
2.95%, 11/15/24 | 3,500 | 3,796,005 | ||||||
2.50%, 04/01/25 | 700 | 750,120 | ||||||
2.95%, 05/15/25(a) | 500 | 544,546 | ||||||
2.65%, 07/15/26(a) | 745 | 813,399 | ||||||
3.25%, 11/15/27(a) | 750 | 848,446 | ||||||
2.95%, 04/01/30(a) | 3,300 | 3,689,601 | ||||||
3.25%, 05/15/30(a) | 950 | 1,083,184 | ||||||
4.30%, 07/08/34 | 250 | 313,366 | ||||||
3.90%, 05/15/35 | 500 | 608,245 | ||||||
3.85%, 07/15/36(a) | 750 | 886,150 | ||||||
3.80%, 11/15/37 | 750 | 879,907 | ||||||
6.13%, 07/08/39 | 500 | 747,015 | ||||||
3.60%, 04/01/40 | 1,100 | 1,260,020 | ||||||
5.38%, 07/15/40(a) | 400 | 557,893 | ||||||
4.50%, 07/08/44 | 500 | 629,952 | ||||||
4.13%, 05/15/45(a) | 2,250 | 2,683,874 | ||||||
4.00%, 07/15/46(a) | 2,250 | 2,666,995 | ||||||
4.00%, 11/15/47(a) | 1,500 | 1,778,285 | ||||||
3.60%, 04/01/50(a) | 2,600 | 2,930,640 | ||||||
4.38%, 05/15/55 | 250 | 314,455 | ||||||
3.85%, 04/01/60 | 2,100 | 2,479,084 | ||||||
salesforce.com, Inc., 3.25%, 04/11/23 | 2,500 | 2,678,111 | ||||||
|
| |||||||
42,807,607 | ||||||||
Professional Services — 0.0% | ||||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 06/15/25 | 250 | 285,244 | ||||||
4.13%, 03/15/29 | 500 | 589,646 | ||||||
3.63%, 05/15/50 | 330 | 374,308 | ||||||
|
| |||||||
1,249,198 | ||||||||
Real Estate — 0.0% | ||||||||
Prologis LP | ||||||||
3.75%, 11/01/25(a) | 45 | 51,350 | ||||||
2.13%, 04/15/27 | 30 | 31,943 | ||||||
2.25%, 04/15/30(a) | 1,240 | 1,317,975 | ||||||
1.25%, 10/15/30 | 365 | 356,916 | ||||||
4.38%, 09/15/48(a) | 100 | 135,562 | ||||||
3.00%, 04/15/50 | 95 | 102,014 | ||||||
2.13%, 10/15/50 | 715 | 643,819 | ||||||
|
| |||||||
2,639,579 | ||||||||
Real Estate Management & Development — 0.0% | ||||||||
CBRE Services, Inc. | ||||||||
5.25%, 03/15/25 | 250 | 286,666 | ||||||
4.88%, 03/01/26 | 250 | 292,693 | ||||||
|
| |||||||
579,359 | ||||||||
Road & Rail — 0.4% | ||||||||
Burlington Northern Santa Fe LLC | ||||||||
3.75%, 04/01/24 | 50 | 55,105 | ||||||
3.65%, 09/01/25 | 750 | 851,305 |
Security | Par (000) | Value | ||||||
Road & Rail (continued) | ||||||||
Burlington Northern Santa Fe LLC (continued) | ||||||||
7.00%, 12/15/25(a) | $ | 250 | $ | 324,060 | ||||
3.25%, 06/15/27(a) | 1,750 | 1,992,452 | ||||||
5.40%, 06/01/41 | 50 | 70,013 | ||||||
4.40%, 03/15/42 | 150 | 188,258 | ||||||
4.38%, 09/01/42(a) | 250 | 315,387 | ||||||
4.45%, 03/15/43(a) | 200 | 255,377 | ||||||
5.15%, 09/01/43 | 250 | 343,074 | ||||||
4.90%, 04/01/44 | 500 | 679,462 | ||||||
4.55%, 09/01/44 | 250 | 326,112 | ||||||
4.15%, 04/01/45 | 500 | 626,907 | ||||||
4.70%, 09/01/45 | 500 | 669,934 | ||||||
3.90%, 08/01/46 | 2,000 | 2,426,937 | ||||||
4.13%, 06/15/47(a) | 250 | 309,877 | ||||||
4.05%, 06/15/48 | 1,000 | 1,244,082 | ||||||
4.15%, 12/15/48(a) | 500 | 630,708 | ||||||
3.55%, 02/15/50(a) | 125 | 146,283 | ||||||
3.05%, 02/15/51 | 1,000 | 1,101,231 | ||||||
Canadian National Railway Co. | ||||||||
2.85%, 12/15/21 | 1,000 | 1,024,388 | ||||||
2.95%, 11/21/24 | 305 | 329,934 | ||||||
2.75%, 03/01/26 | 560 | 615,465 | ||||||
3.50%, 11/15/42 | 100 | 112,486 | ||||||
3.65%, 02/03/48 | 1,500 | 1,812,196 | ||||||
2.45%, 05/01/50 | 455 | 452,474 | ||||||
Canadian Pacific Railway Co. | ||||||||
4.45%, 03/15/23 | 500 | 540,643 | ||||||
2.90%, 02/01/25 | 1,000 | 1,081,880 | ||||||
7.13%, 10/15/31(a) | 250 | 370,180 | ||||||
4.80%, 09/15/35(a) | 250 | 328,217 | ||||||
5.75%, 01/15/42 | 25 | 35,740 | ||||||
4.80%, 08/01/45(a) | 1,110 | 1,491,038 | ||||||
CSX Corp. | ||||||||
3.35%, 11/01/25(a) | 250 | 280,779 | ||||||
3.80%, 03/01/28(a) | 2,500 | 2,930,565 | ||||||
2.40%, 02/15/30(a) | 500 | 540,404 | ||||||
4.75%, 05/30/42 | 100 | 128,149 | ||||||
4.30%, 03/01/48 | 750 | 934,164 | ||||||
4.50%, 03/15/49 | 1,000 | 1,303,850 | ||||||
3.35%, 09/15/49 | 215 | 237,784 | ||||||
3.80%, 04/15/50 | 550 | 654,591 | ||||||
3.95%, 05/01/50 | 450 | 552,066 | ||||||
4.50%, 08/01/54 | 250 | 327,029 | ||||||
4.25%, 11/01/66(a) | 750 | 930,306 | ||||||
4.65%, 03/01/68 | 500 | 655,319 | ||||||
Kansas City Southern | ||||||||
3.13%, 06/01/26 | 250 | 262,148 | ||||||
2.88%, 11/15/29(a) | 120 | 127,203 | ||||||
4.70%, 05/01/48 | 500 | 555,913 | ||||||
4.20%, 11/15/69 | 105 | 112,005 | ||||||
Norfolk Southern Corp. | ||||||||
3.00%, 04/01/22(a) | 1,750 | 1,810,096 | ||||||
3.85%, 01/15/24(a) | 1,000 | 1,095,402 | ||||||
3.15%, 06/01/27(a) | 880 | 982,500 | ||||||
2.55%, 11/01/29 | 165 | 179,460 | ||||||
3.95%, 10/01/42 | 100 | 117,869 | ||||||
4.45%, 06/15/45 | 250 | 317,156 | ||||||
3.94%, 11/01/47 | 225 | 270,002 | ||||||
4.15%, 02/28/48 | 250 | 308,323 | ||||||
4.10%, 05/15/49 | 1,000 | 1,252,669 | ||||||
3.40%, 11/01/49 | 335 | 371,086 |
36 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Road & Rail (continued) | ||||||||
Norfolk Southern Corp. (continued) | ||||||||
3.05%, 05/15/50 | $ | 605 | $ | 642,972 | ||||
4.05%, 08/15/52(a) | 1,000 | 1,225,450 | ||||||
Union Pacific Corp. | ||||||||
4.16%, 07/15/22(a) | 100 | 105,800 | ||||||
3.65%, 02/15/24(a) | 1,000 | 1,089,776 | ||||||
3.25%, 08/15/25(a) | 250 | 277,610 | ||||||
2.75%, 03/01/26(a) | 1,000 | 1,096,631 | ||||||
2.15%, 02/05/27 | 160 | 170,088 | ||||||
3.95%, 09/10/28(a) | 1,000 | 1,179,490 | ||||||
3.70%, 03/01/29(a) | 1,000 | 1,160,090 | ||||||
2.40%, 02/05/30 | 365 | 392,880 | ||||||
3.60%, 09/15/37(a) | 1,250 | 1,444,769 | ||||||
4.38%, 09/10/38(a) | 2,750 | 3,388,433 | ||||||
4.05%, 11/15/45(a) | 250 | 298,058 | ||||||
4.05%, 03/01/46 | 140 | 169,188 | ||||||
4.50%, 09/10/48 | 500 | 662,294 | ||||||
3.25%, 02/05/50(a) | 600 | 661,229 | ||||||
3.80%, 10/01/51 | 250 | 297,003 | ||||||
3.95%, 08/15/59 | 780 | 910,270 | ||||||
3.84%, 03/20/60 | 1,450 | 1,682,042 | ||||||
|
| |||||||
54,842,116 | ||||||||
Semiconductors & Semiconductor Equipment — 0.5% | ||||||||
Altera Corp., 4.10%, 11/15/23(a) | 250 | 277,763 | ||||||
Analog Devices, Inc.(a) | ||||||||
2.88%, 06/01/23 | 1,000 | 1,054,952 | ||||||
3.50%, 12/05/26 | 750 | 848,586 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.(a) | ||||||||
2.65%, 01/15/23 | 1,500 | 1,558,199 | ||||||
3.63%, 01/15/24 | 250 | 268,885 | ||||||
3.88%, 01/15/27 | 2,750 | 3,046,739 | ||||||
3.50%, 01/15/28 | 500 | 540,230 | ||||||
Broadcom, Inc. | ||||||||
3.13%, 10/15/22 | 1,000 | 1,046,549 | ||||||
2.25%, 11/15/23 | 1,360 | 1,413,920 | ||||||
3.63%, 10/15/24 | 2,000 | 2,180,749 | ||||||
3.15%, 11/15/25 | 530 | 574,058 | ||||||
4.25%, 04/15/26 | 1,000 | 1,126,621 | ||||||
3.46%, 09/15/26 | 2,000 | 2,190,238 | ||||||
4.11%, 09/15/28 | 1,000 | 1,127,749 | ||||||
4.75%, 04/15/29 | 1,000 | 1,165,056 | ||||||
5.00%, 04/15/30 | 1,000 | 1,179,597 | ||||||
4.15%, 11/15/30 | 1,700 | 1,909,684 | ||||||
4.30%, 11/15/32 | 1,200 | 1,370,869 | ||||||
Flex Ltd., 4.88%, 06/15/29 | 500 | 571,563 | ||||||
Intel Corp. | ||||||||
2.70%, 12/15/22 | 2,500 | 2,631,973 | ||||||
2.88%, 05/11/24(a) | 1,000 | 1,080,981 | ||||||
3.40%, 03/25/25 | 2,400 | 2,689,013 | ||||||
3.70%, 07/29/25(a) | 1,000 | 1,136,076 | ||||||
3.75%, 03/25/27 | 800 | 937,363 | ||||||
2.45%, 11/15/29 | 500 | 544,368 | ||||||
4.10%, 05/19/46(a) | 2,500 | 3,120,322 | ||||||
4.10%, 05/11/47(a) | 250 | 316,363 | ||||||
3.73%, 12/08/47(a) | 1,399 | 1,670,727 | ||||||
4.75%, 03/25/50(a) | 2,600 | 3,580,512 | ||||||
4.95%, 03/25/60 | 1,000 | 1,459,060 | ||||||
Jabil, Inc. | ||||||||
4.70%, 09/15/22 | 250 | 268,028 | ||||||
3.00%, 01/15/31 | 1,350 | 1,378,300 |
Security | Par (000) | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Maxim Integrated Products, Inc., 3.38%, 03/15/23 | $ | 100 | $ | 106,478 | ||||
Microchip Technology, Inc., 4.33%, 06/01/23 | 2,000 | 2,152,421 | ||||||
Micron Technology, Inc. | ||||||||
4.64%, 02/06/24(a) | 300 | 333,264 | ||||||
4.98%, 02/06/26 | 250 | 289,812 | ||||||
5.33%, 02/06/29 | 250 | 300,664 | ||||||
4.66%, 02/15/30 | 750 | 880,806 | ||||||
NVIDIA Corp. | ||||||||
3.20%, 09/16/26 | 1,000 | 1,127,975 | ||||||
2.85%, 04/01/30 | 1,660 | 1,865,020 | ||||||
3.50%, 04/01/40 | 710 | 832,077 | ||||||
3.50%, 04/01/50 | 2,405 | 2,814,521 | ||||||
3.70%, 04/01/60 | 145 | 172,868 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc.(b) | ||||||||
2.70%, 05/01/25(a) | 85 | 90,046 | ||||||
3.88%, 06/18/26 | 320 | 358,495 | ||||||
4.30%, 06/18/29 | 1,000 | 1,152,731 | ||||||
3.40%, 05/01/30(a) | 2,165 | 2,370,044 | ||||||
QUALCOMM, Inc. | ||||||||
3.25%, 05/20/27(a) | 500 | 561,074 | ||||||
1.30%, 05/20/28(b) | 2,250 | 2,205,766 | ||||||
2.15%, 05/20/30 | 605 | 633,418 | ||||||
1.65%, 05/20/32(a)(b) | 828 | 817,701 | ||||||
4.65%, 05/20/35(a) | 250 | 336,030 | ||||||
4.80%, 05/20/45(a) | 750 | 1,012,180 | ||||||
4.30%, 05/20/47 | 1,500 | 1,926,756 | ||||||
3.25%, 05/20/50 | 800 | 890,695 | ||||||
Texas Instruments, Inc. | ||||||||
2.25%, 09/04/29 | 680 | 729,428 | ||||||
4.15%, 05/15/48 | 1,000 | 1,307,721 | ||||||
Xilinx Inc., 2.38%, 06/01/30 | 1,400 | 1,469,706 | ||||||
|
| |||||||
71,002,790 | ||||||||
Software — 0.3% | ||||||||
Activision Blizzard, Inc. | ||||||||
3.40%, 06/15/27(a) | 1,000 | 1,130,441 | ||||||
1.35%, 09/15/30 | 130 | 127,081 | ||||||
2.50%, 09/15/50 | 800 | 745,477 | ||||||
Autodesk, Inc. | ||||||||
3.50%, 06/15/27 | 2,000 | 2,268,917 | ||||||
2.85%, 01/15/30 | 100 | 109,419 | ||||||
Intuit, Inc. | ||||||||
0.65%, 07/15/23 | 655 | 657,993 | ||||||
0.95%, 07/15/25 | 755 | 762,228 | ||||||
1.35%, 07/15/27 | 825 | 838,024 | ||||||
1.65%, 07/15/30 | 985 | 1,000,704 | ||||||
Microsoft Corp. | ||||||||
2.40%, 02/06/22(a) | 2,000 | 2,055,470 | ||||||
2.38%, 02/12/22(a) | 1,000 | 1,026,530 | ||||||
2.65%, 11/03/22(a) | 500 | 523,272 | ||||||
2.00%, 08/08/23(a) | 2,000 | 2,088,247 | ||||||
3.63%, 12/15/23(a) | 1,000 | 1,095,991 | ||||||
2.88%, 02/06/24(a) | 865 | 930,895 | ||||||
3.13%, 11/03/25(a) | 1,500 | 1,677,285 | ||||||
2.40%, 08/08/26(a) | 1,485 | 1,622,141 | ||||||
3.30%, 02/06/27(a) | 4,500 | 5,141,670 | ||||||
3.50%, 02/12/35 | 1,165 | 1,437,267 | ||||||
4.20%, 11/03/35 | 250 | 328,287 | ||||||
3.45%, 08/08/36(a) | 750 | 910,092 | ||||||
4.10%, 02/06/37 | 786 | 1,018,980 | ||||||
3.50%, 11/15/42(a) | 1,000 | 1,228,956 |
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 | 37 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Software (continued) | ||||||||
Microsoft Corp. (continued) | ||||||||
3.70%, 08/08/46(a) | $ | 2,500 | $ | 3,139,247 | ||||
2.53%, 06/01/50 | 4,714 | 4,929,991 | ||||||
3.95%, 08/08/56 | 1,707 | 2,248,377 | ||||||
2.68%, 06/01/60 | 3,737 | 3,942,069 | ||||||
ServiceNow, Inc., 1.40%, 09/01/30 | 810 | 791,267 | ||||||
|
| |||||||
43,776,318 | ||||||||
Specialty Retail — 0.1% | ||||||||
AutoZone, Inc. | ||||||||
3.70%, 04/15/22 | 50 | 52,107 | ||||||
3.13%, 07/15/23(a) | 250 | 266,144 | ||||||
3.25%, 04/15/25 | 165 | 181,688 | ||||||
3.75%, 04/18/29 | 1,000 | 1,156,521 | ||||||
Best Buy Co., Inc., 1.95%, 10/01/30 | 1,250 | 1,241,397 | ||||||
Ross Stores, Inc. | ||||||||
4.60%, 04/15/25 | 500 | 575,636 | ||||||
4.70%, 04/15/27 | 500 | 589,086 | ||||||
4.80%, 04/15/30 | 1,000 | 1,217,265 | ||||||
Tapestry, Inc., 3.00%, 07/15/22(a) | 1,000 | 1,010,205 | ||||||
VF Corp., 2.95%, 04/23/30 | 500 | 544,360 | ||||||
|
| |||||||
6,834,409 | ||||||||
Technology Hardware, Storage & Peripherals — 0.6% | ||||||||
Adobe Inc., 1.70%, 02/01/23 | 160 | 164,805 | ||||||
Adobe, Inc. | ||||||||
1.90%, 02/01/25 | 160 | 169,165 | ||||||
3.25%, 02/01/25 | 70 | 77,488 | ||||||
2.15%, 02/01/27 | 1,275 | 1,367,305 | ||||||
2.30%, 02/01/30 | 1,200 | 1,290,969 | ||||||
Apple Inc. | ||||||||
0.75%, 05/11/23 | 350 | 353,570 | ||||||
2.85%, 05/11/24 | 2,000 | 2,158,061 | ||||||
2.75%, 01/13/25(a) | 1,000 | 1,082,923 | ||||||
1.13%, 05/11/25 | 650 | 665,179 | ||||||
1.65%, 05/11/30 | 1,400 | 1,450,206 | ||||||
Apple, Inc. | ||||||||
2.50%, 02/09/22 | 1,000 | 1,028,307 | ||||||
1.70%, 09/11/22 | 2,500 | 2,567,710 | ||||||
2.10%, 09/12/22(a) | 500 | 516,792 | ||||||
2.40%, 01/13/23(a) | 1,000 | 1,044,695 | ||||||
2.85%, 02/23/23(a) | 250 | 263,830 | ||||||
2.40%, 05/03/23(a) | 2,000 | 2,105,754 | ||||||
3.45%, 05/06/24(a) | 1,000 | 1,102,257 | ||||||
1.80%, 09/11/24 | 1,635 | 1,711,119 | ||||||
2.50%, 02/09/25(a) | 140 | 150,998 | ||||||
3.20%, 05/13/25(a) | 750 | 836,254 | ||||||
0.55%, 08/20/25 | 2,800 | 2,803,756 | ||||||
3.25%, 02/23/26(a) | 1,910 | 2,147,265 | ||||||
2.45%, 08/04/26 | 1,410 | 1,536,519 | ||||||
3.35%, 02/09/27(a) | 2,000 | 2,287,476 | ||||||
3.20%, 05/11/27(a) | 1,000 | 1,137,613 | ||||||
2.90%, 09/12/27(a) | 1,000 | 1,121,170 | ||||||
3.00%, 11/13/27(a) | 1,000 | 1,130,370 | ||||||
2.20%, 09/11/29(a) | 1,235 | 1,328,133 | ||||||
1.25%, 08/20/30 | 2,800 | 2,790,737 | ||||||
4.50%, 02/23/36(a) | 250 | 333,529 | ||||||
3.85%, 05/04/43(a) | 1,250 | 1,558,330 | ||||||
4.45%, 05/06/44(a) | 250 | 339,452 | ||||||
3.45%, 02/09/45(a) | 1,350 | 1,576,067 | ||||||
4.38%, 05/13/45(a) | 500 | 669,879 |
Security | Par (000) | Value | ||||||
Technology Hardware, Storage & Peripherals (continued) |
| |||||||
Apple, Inc. (continued) | ||||||||
4.65%, 02/23/46(a) | $ | 1,980 | $ | 2,763,512 | ||||
3.85%, 08/04/46(a) | 750 | 933,921 | ||||||
4.25%, 02/09/47(a) | 250 | 332,681 | ||||||
3.75%, 11/13/47 | 1,250 | 1,535,610 | ||||||
2.95%, 09/11/49 | 1,250 | 1,368,240 | ||||||
2.65%, 05/11/50 | 1,200 | 1,257,460 | ||||||
2.40%, 08/20/50 | 2,800 | 2,793,493 | ||||||
2.55%, 08/20/60 | 1,600 | 1,589,445 | ||||||
Dell International LLC/EMC Corp.(b) | ||||||||
5.45%, 06/15/23(a) | 3,000 | 3,288,977 | ||||||
4.00%, 07/15/24 | 1,000 | 1,079,779 | ||||||
6.02%, 06/15/26 | 3,090 | 3,628,214 | ||||||
4.90%, 10/01/26 | 1,000 | 1,130,423 | ||||||
5.30%, 10/01/29 | 1,250 | 1,433,624 | ||||||
6.20%, 07/15/30 | 1,500 | 1,797,080 | ||||||
8.10%, 07/15/36 | 500 | 657,519 | ||||||
8.35%, 07/15/46 | 850 | 1,123,030 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
4.40%, 10/15/22(a) | 1,500 | 1,602,935 | ||||||
2.25%, 04/01/23 | 1,000 | 1,031,277 | ||||||
1.45%, 04/01/24 | 1,000 | 1,011,460 | ||||||
4.90%, 10/15/25(a) | 1,250 | 1,430,246 | ||||||
6.20%, 10/15/35(a) | 500 | 625,823 | ||||||
6.35%, 10/15/45(a) | 750 | 955,948 | ||||||
HP, Inc. | ||||||||
4.05%, 09/15/22 | 1,000 | 1,067,504 | ||||||
2.20%, 06/17/25 | 500 | 523,761 | ||||||
3.40%, 06/17/30(a) | 500 | 536,937 | ||||||
6.00%, 09/15/41(a) | 650 | 796,789 | ||||||
NetApp, Inc., 1.88%, 06/22/25 | 675 | 699,164 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 06/01/23 | 168 | 182,633 | ||||||
4.88%, 06/01/27(a) | 252 | 282,289 | ||||||
4.09%, 06/01/29(a)(b) | 272 | 295,872 | ||||||
4.13%, 01/15/31(b) | 120 | 129,503 | ||||||
5.75%, 12/01/34(a) | 650 | 741,460 | ||||||
|
| |||||||
79,494,292 | ||||||||
Telecommunications Equipment — 0.0% | ||||||||
Motorola Solutions, Inc. | ||||||||
4.60%, 02/23/28(a) | 500 | 583,787 | ||||||
4.60%, 05/23/29(a) | 965 | 1,139,640 | ||||||
2.30%, 11/15/30 | 840 | 833,884 | ||||||
|
| |||||||
2,557,311 | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% | ||||||||
NIKE, Inc. | ||||||||
2.75%, 03/27/27(a) | 2,000 | 2,224,421 | ||||||
2.85%, 03/27/30 | 1,000 | 1,123,121 | ||||||
3.88%, 11/01/45(a) | 500 | 622,733 | ||||||
3.38%, 11/01/46 | 1,500 | 1,696,956 | ||||||
|
| |||||||
5,667,231 | ||||||||
Tobacco — 0.3% | ||||||||
Altria Group, Inc. | ||||||||
2.85%, 08/09/22(a) | 1,500 | 1,562,107 | ||||||
4.00%, 01/31/24 | 250 | 274,925 | ||||||
2.35%, 05/06/25 | 240 | 253,587 | ||||||
4.80%, 02/14/29 | 3,000 | 3,559,784 | ||||||
3.40%, 05/06/30 | 435 | 474,726 | ||||||
5.80%, 02/14/39 | 1,000 | 1,279,712 |
38 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Tobacco (continued) | ||||||||
Altria Group, Inc. (continued) | ||||||||
4.50%, 05/02/43(a) | $ | 400 | $ | 438,152 | ||||
5.38%, 01/31/44(a) | 1,320 | 1,642,029 | ||||||
3.88%, 09/16/46 | 1,250 | 1,284,903 | ||||||
5.95%, 02/14/49(a) | 1,250 | 1,674,420 | ||||||
4.45%, 05/06/50 | 655 | 728,874 | ||||||
BAT Capital Corp. | ||||||||
2.76%, 08/15/22(a) | 3,000 | 3,109,091 | ||||||
3.22%, 08/15/24 | 1,250 | 1,337,396 | ||||||
4.70%, 04/02/27 | 500 | 573,615 | ||||||
3.56%, 08/15/27(a) | 2,000 | 2,160,021 | ||||||
2.26%, 03/25/28 | 600 | 602,976 | ||||||
3.46%, 09/06/29 | 500 | 532,391 | ||||||
4.91%, 04/02/30 | 600 | 707,663 | ||||||
2.73%, 03/25/31 | 300 | 298,936 | ||||||
4.39%, 08/15/37 | 2,250 | 2,432,909 | ||||||
3.73%, 09/25/40 | 200 | 200,699 | ||||||
4.54%, 08/15/47(a) | 1,350 | 1,445,680 | ||||||
4.76%, 09/06/49(a) | 750 | 814,540 | ||||||
5.28%, 04/02/50 | 250 | 293,817 | ||||||
3.98%, 09/25/50 | 300 | 295,808 | ||||||
BAT International Finance PLC, 1.67%, 03/25/26(a) | 250 | 250,850 | ||||||
Philip Morris International, Inc. | ||||||||
2.63%, 03/06/23(a) | 250 | 262,512 | ||||||
2.13%, 05/10/23(a) | 1,000 | 1,036,325 | ||||||
3.25%, 11/10/24(a) | 1,000 | 1,100,656 | ||||||
3.38%, 08/11/25 | 750 | 834,689 | ||||||
2.75%, 02/25/26(a) | 415 | 459,600 | ||||||
3.13%, 08/17/27(a) | 1,000 | 1,126,013 | ||||||
2.10%, 05/01/30 | 2,000 | 2,057,231 | ||||||
6.38%, 05/16/38 | 1,750 | 2,597,771 | ||||||
4.50%, 03/20/42 | 50 | 61,406 | ||||||
3.88%, 08/21/42 | 350 | 396,692 | ||||||
4.13%, 03/04/43 | 450 | 526,785 | ||||||
4.88%, 11/15/43 | 250 | 320,378 | ||||||
4.25%, 11/10/44(a) | 365 | 441,166 | ||||||
Reynolds American, Inc. | ||||||||
4.00%, 06/12/22(a) | 1,000 | 1,054,037 | ||||||
4.45%, 06/12/25 | 1,000 | 1,125,338 | ||||||
5.70%, 08/15/35 | 325 | 405,981 | ||||||
6.15%, 09/15/43(a) | 150 | 188,935 | ||||||
5.85%, 08/15/45(a) | 1,250 | 1,518,931 | ||||||
|
| |||||||
43,744,057 | ||||||||
Transportation Infrastructure — 0.2% | ||||||||
FedEx Corp. | ||||||||
3.40%, 01/14/22 | 1,000 | 1,036,592 | ||||||
4.00%, 01/15/24(a) | 250 | 276,992 | ||||||
3.25%, 04/01/26(a) | 545 | 606,461 | ||||||
3.30%, 03/15/27 | 500 | 555,455 | ||||||
3.10%, 08/05/29 | 1,000 | 1,107,264 | ||||||
3.90%, 02/01/35 | 190 | 215,119 | ||||||
3.88%, 08/01/42(a) | 50 | 55,136 | ||||||
4.75%, 11/15/45 | 660 | 816,600 | ||||||
4.55%, 04/01/46 | 750 | 904,426 | ||||||
4.40%, 01/15/47 | 500 | 590,661 | ||||||
4.05%, 02/15/48 | 1,000 | 1,153,114 | ||||||
4.95%, 10/17/48(a) | 1,000 | 1,279,300 | ||||||
5.25%, 05/15/50 | 1,000 | 1,351,061 |
Security | Par (000) | Value | ||||||
Transportation Infrastructure (continued) | ||||||||
Ryder System, Inc. | ||||||||
3.40%, 03/01/23 | $ | 500 | $ | 530,394 | ||||
3.88%, 12/01/23 | 2,000 | 2,181,700 | ||||||
2.50%, 09/01/24 | 285 | 299,532 | ||||||
2.90%, 12/01/26 | 1,160 | 1,251,698 | ||||||
United Parcel Service, Inc. | ||||||||
2.45%, 10/01/22(a) | 500 | 522,210 | ||||||
2.50%, 04/01/23(a) | 2,000 | 2,101,084 | ||||||
3.90%, 04/01/25 | 1,000 | 1,139,326 | ||||||
2.40%, 11/15/26(a) | 2,000 | 2,196,063 | ||||||
3.05%, 11/15/27(a) | 500 | 564,786 | ||||||
6.20%, 01/15/38 | 100 | 150,516 | ||||||
5.20%, 04/01/40(a) | 1,000 | 1,385,192 | ||||||
3.63%, 10/01/42 | 250 | 288,881 | ||||||
3.40%, 11/15/46 | 220 | 247,296 | ||||||
3.75%, 11/15/47(a) | 500 | 604,201 | ||||||
4.25%, 03/15/49(a) | 1,000 | 1,277,793 | ||||||
3.40%, 09/01/49 | 300 | 341,205 | ||||||
5.30%, 04/01/50 | 1,000 | 1,484,052 | ||||||
|
| |||||||
26,514,110 | ||||||||
Utilities — 0.1% | ||||||||
American Water Capital Corp. | ||||||||
3.40%, 03/01/25 | 250 | 276,781 | ||||||
2.95%, 09/01/27(a) | 500 | 553,078 | ||||||
3.75%, 09/01/28(a) | 1,500 | 1,752,570 | ||||||
3.45%, 06/01/29 | 500 | 573,644 | ||||||
4.30%, 09/01/45 | 250 | 312,810 | ||||||
3.75%, 09/01/47 | 500 | 590,481 | ||||||
4.15%, 06/01/49 | 500 | 625,629 | ||||||
3.45%, 05/01/50 | 1,000 | 1,121,233 | ||||||
Emera US Finance LP | ||||||||
3.55%, 06/15/26(a) | 1,075 | 1,200,397 | ||||||
4.75%, 06/15/46 | 350 | 421,839 | ||||||
Essential Utilities Inc., 3.35%, 04/15/50 | 1,000 | 1,068,923 | ||||||
|
| |||||||
8,497,385 | ||||||||
Wireless Telecommunication Services — 0.6% | ||||||||
America Movil SAB de CV | ||||||||
3.13%, 07/16/22 | 3,500 | 3,640,000 | ||||||
3.63%, 04/22/29(a) | 1,400 | 1,581,125 | ||||||
2.88%, 05/07/30 | 1,500 | 1,622,805 | ||||||
6.13%, 03/30/40 | 250 | 359,531 | ||||||
4.38%, 07/16/42 | 850 | 1,040,453 | ||||||
4.38%, 04/22/49 | 1,000 | 1,245,700 | ||||||
American Tower Corp. | ||||||||
4.70%, 03/15/22 | 100 | 105,980 | ||||||
3.50%, 01/31/23 | 150 | 159,436 | ||||||
3.00%, 06/15/23 | 1,000 | 1,059,060 | ||||||
5.00%, 02/15/24(a) | 3,000 | 3,392,302 | ||||||
2.95%, 01/15/25(a) | 500 | 540,136 | ||||||
2.40%, 03/15/25 | 585 | 618,243 | ||||||
4.40%, 02/15/26 | 30 | 34,228 | ||||||
3.38%, 10/15/26(a) | 500 | 553,696 | ||||||
2.75%, 01/15/27(a) | 435 | 469,250 | ||||||
3.95%, 03/15/29 | 500 | 575,645 | ||||||
3.80%, 08/15/29 | 500 | 572,386 | ||||||
2.90%, 01/15/30(a) | 540 | 583,749 | ||||||
2.10%, 06/15/30 | 2,000 | 2,012,959 | ||||||
1.88%, 10/15/30 | 965 | 953,482 | ||||||
3.70%, 10/15/49 | 425 | 465,949 |
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 | 39 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Wireless Telecommunication Services (continued) |
| |||||||
American Tower Corp. (continued) | ||||||||
3.10%, 06/15/50 | $ | 110 | $ | 108,794 | ||||
Crown Castle International Corp. | ||||||||
3.15%, 07/15/23 | 1,000 | 1,063,428 | ||||||
3.70%, 06/15/26(a) | 280 | 312,276 | ||||||
4.00%, 03/01/27(a) | 1,000 | 1,136,269 | ||||||
3.80%, 02/15/28 | 2,000 | 2,269,016 | ||||||
3.30%, 07/01/30 | 1,000 | 1,093,573 | ||||||
4.00%, 11/15/49 | 585 | 655,077 | ||||||
3.25%, 01/15/51 | 1,000 | 993,314 | ||||||
Digital Realty Trust LP | ||||||||
4.75%, 10/01/25 | 500 | 584,894 | ||||||
3.70%, 08/15/27 | 1,000 | 1,123,904 | ||||||
3.60%, 07/01/29(a) | 750 | 860,462 | ||||||
EPR Properties | ||||||||
4.50%, 06/01/27 | 1,000 | 922,022 | ||||||
3.75%, 08/15/29 | 845 | 736,796 | ||||||
Equinix, Inc. | ||||||||
2.63%, 11/18/24 | 335 | 356,191 | ||||||
1.25%, 07/15/25 | 475 | 478,254 | ||||||
1.00%, 09/15/25(e) | 1,000 | 992,845 | ||||||
2.90%, 11/18/26 | 135 | 145,602 | ||||||
5.38%, 05/15/27(a) | 1,100 | 1,198,591 | ||||||
1.55%, 03/15/28(e) | 335 | 335,562 | ||||||
3.20%, 11/18/29 | 455 | 501,447 | ||||||
2.15%, 07/15/30 | 500 | 506,188 | ||||||
3.00%, 07/15/50 | 135 | 134,207 | ||||||
2.95%, 09/15/51(e) | 400 | 392,504 | ||||||
GLP Capital LP/GLP Financing II, Inc. | ||||||||
3.35%, 09/01/24 | 215 | 218,077 | ||||||
5.30%, 01/15/29 | 1,000 | 1,113,670 | ||||||
4.00%, 01/15/30 | 980 | 1,014,300 | ||||||
Orange SA | ||||||||
9.00%, 03/01/31(a) | 250 | 407,525 | ||||||
5.38%, 01/13/42 | 1,825 | 2,568,805 | ||||||
Rogers Communications, Inc. | ||||||||
3.00%, 03/15/23 | 650 | 686,510 | ||||||
3.63%, 12/15/25(a) | 565 | 639,325 | ||||||
2.90%, 11/15/26(a) | 1,000 | 1,112,361 | ||||||
5.00%, 03/15/44(a) | 250 | 325,468 | ||||||
4.30%, 02/15/48 | 750 | 910,270 | ||||||
4.35%, 05/01/49 | 1,250 | 1,512,636 | ||||||
3.70%, 11/15/49(a) | 400 | 444,575 | ||||||
T-Mobile USA, Inc.(b) | ||||||||
3.50%, 04/15/25 | 1,045 | 1,146,678 | ||||||
3.75%, 04/15/27 | 3,500 | 3,927,490 | ||||||
2.05%, 02/15/28(e) | 500 | 511,910 | ||||||
3.88%, 04/15/30(a) | 6,000 | 6,807,720 | ||||||
2.55%, 02/15/31(e) | 700 | 724,227 | ||||||
4.38%, 04/15/40 | 1,250 | 1,465,212 | ||||||
4.50%, 04/15/50 | 1,720 | 2,063,441 | ||||||
Vodafone Group PLC | ||||||||
3.75%, 01/16/24(a) | 1,000 | 1,091,698 | ||||||
4.13%, 05/30/25(a) | 1,500 | 1,710,433 | ||||||
4.38%, 05/30/28(a) | 1,350 | 1,597,995 | ||||||
7.88%, 02/15/30 | 100 | 145,161 | ||||||
5.00%, 05/30/38(a) | 500 | 623,251 | ||||||
4.38%, 02/19/43(a) | 950 | 1,104,491 | ||||||
5.25%, 05/30/48(a) | 2,500 | 3,232,056 |
Security | Par (000) | Value | ||||||
Wireless Telecommunication Services (continued) |
| |||||||
Vodafone Group PLC (continued) | ||||||||
4.88%, 06/19/49(a) | $ | 500 | $ | 620,792 | ||||
4.25%, 09/17/50 | 1,190 | 1,380,175 | ||||||
Vornado Realty LP, 3.50%, 01/15/25(a) | 250 | 260,063 | ||||||
Weyerhaeuser Co. | ||||||||
4.00%, 11/15/29(a) | 1,000 | 1,172,539 | ||||||
4.00%, 04/15/30 | 1,000 | 1,182,364 | ||||||
7.38%, 03/15/32 | 350 | 510,272 | ||||||
WP Carey, Inc., 3.85%, 07/15/29(a) | 475 | 513,479 | ||||||
|
| |||||||
81,232,300 | ||||||||
|
| |||||||
Total Corporate Bonds — 27.4% | 3,657,910,051 | |||||||
|
| |||||||
Foreign Agency Obligations |
| |||||||
Canada — 0.4% | ||||||||
Canada Government International Bond | ||||||||
2.63%, 01/25/22 | 1,000 | 1,032,366 | ||||||
1.63%, 01/22/25 | 2,000 | 2,104,420 | ||||||
Export Development Canada | ||||||||
2.00%, 05/17/22 | 4,000 | 4,113,369 | ||||||
2.50%, 01/24/23 | 2,000 | 2,103,100 | ||||||
Province of Alberta Canada | ||||||||
2.20%, 07/26/22 | 1,000 | 1,032,982 | ||||||
1.88%, 11/13/24 | 1,000 | 1,053,242 | ||||||
1.00%, 05/20/25 | 3,000 | 3,048,664 | ||||||
3.30%, 03/15/28(a) | 2,000 | 2,332,940 | ||||||
Province of British Columbia Canada, 2.00%, 10/23/22 | 750 | 776,203 | ||||||
Province of Manitoba Canada, 2.13%, 05/04/22(a) | 2,000 | 2,055,489 | ||||||
Province of New Brunswick Canada, 3.63%, 02/24/28(a) | 1,000 | 1,170,607 | ||||||
Province of Ontario Canada | ||||||||
2.40%, 02/08/22 | 1,000 | 1,028,060 | ||||||
2.55%, 04/25/22 | 4,000 | 4,137,330 | ||||||
2.25%, 05/18/22 | 2,000 | 2,061,095 | ||||||
2.20%, 10/03/22 | 2,000 | 2,073,560 | ||||||
1.75%, 01/24/23 | 2,000 | 2,062,740 | ||||||
2.50%, 04/27/26(a) | 3,000 | 3,290,070 | ||||||
1.05%, 05/21/27 | 1,000 | 1,014,300 | ||||||
Province of Quebec Canada | ||||||||
2.38%, 01/31/22(a) | 1,000 | 1,027,226 | ||||||
2.63%, 02/13/23 | 250 | 263,244 | ||||||
2.50%, 04/09/24 | 2,000 | 2,145,715 | ||||||
2.88%, 10/16/24 | 500 | 546,815 | ||||||
1.50%, 02/11/25 | 2,000 | 2,082,239 | ||||||
0.60%, 07/23/25 | 2,000 | 2,003,610 | ||||||
2.50%, 04/20/26 | 2,750 | 3,004,642 | ||||||
2.75%, 04/12/27 | 2,000 | 2,240,542 | ||||||
|
| |||||||
49,804,570 | ||||||||
Chile — 0.0% | ||||||||
Chile Government International Bond | ||||||||
3.24%, 02/06/28(a) | 1,500 | 1,666,875 | ||||||
2.45%, 01/31/31(a) | 2,000 | 2,105,000 | ||||||
2.55%, 01/27/32 | 1,000 | 1,054,687 | ||||||
3.63%, 10/30/42 | 350 | 403,047 |
40 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Chile (continued) | ||||||||
Chile Government International Bond (continued) | ||||||||
3.86%, 06/21/47(a) | $ | 750 | $ | 895,313 | ||||
3.50%, 01/25/50 | 1,000 | 1,140,312 | ||||||
|
| |||||||
7,265,234 | ||||||||
Colombia — 0.2% | ||||||||
Colombia Government International Bond | ||||||||
2.63%, 03/15/23 | 250 | 255,938 | ||||||
4.00%, 02/26/24 | 2,750 | 2,936,484 | ||||||
4.50%, 01/28/26(a) | 2,250 | 2,486,953 | ||||||
3.88%, 04/25/27 | 2,000 | 2,160,000 | ||||||
4.50%, 03/15/29 | 2,000 | 2,240,625 | ||||||
3.00%, 01/30/30(a) | 3,000 | 3,058,125 | ||||||
3.13%, 04/15/31 | 1,000 | 1,021,500 | ||||||
7.38%, 09/18/37(a) | 100 | 140,563 | ||||||
6.13%, 01/18/41(a) | 1,000 | 1,288,438 | ||||||
5.63%, 02/26/44 | 950 | 1,177,109 | ||||||
5.00%, 06/15/45 | 1,900 | 2,217,062 | ||||||
5.20%, 05/15/49 | 1,500 | 1,812,187 | ||||||
4.13%, 05/15/51(a) | 900 | 938,250 | ||||||
|
| |||||||
21,733,234 | ||||||||
Europe — 0.0% | ||||||||
European Investment Bank, 3.25%, 01/29/24(a) | 3,000 | 3,294,780 | ||||||
|
| |||||||
Germany — 0.0% | ||||||||
FMS Wertmanagement | ||||||||
2.00%, 08/01/22 | 1,000 | 1,032,330 | ||||||
2.75%, 03/06/23 | 500 | 530,060 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
2.25%, 10/01/21 | 500 | 509,955 | ||||||
1.75%, 07/27/26 | 1,000 | 1,069,494 | ||||||
|
| |||||||
3,141,839 | ||||||||
Hungary — 0.0% | ||||||||
Hungary Government International Bond | ||||||||
5.38%, 02/21/23 | 500 | 552,344 | ||||||
5.75%, 11/22/23 | 500 | 573,281 | ||||||
5.38%, 03/25/24(a) | 1,500 | 1,718,906 | ||||||
7.63%, 03/29/41(a) | 750 | 1,336,172 | ||||||
|
| |||||||
4,180,703 | ||||||||
Indonesia — 0.1% | ||||||||
Indonesia Government International Bond | ||||||||
4.10%, 04/24/28 | 1,000 | 1,136,250 | ||||||
4.75%, 02/11/29 | 1,000 | 1,183,750 | ||||||
2.85%, 02/14/30(a) | 1,000 | 1,051,563 | ||||||
4.35%, 01/11/48 | 1,400 | 1,613,062 | ||||||
3.70%, 10/30/49 | 500 | 534,844 | ||||||
3.50%, 02/14/50(a) | 1,000 | 1,060,625 | ||||||
4.20%, 10/15/50 | 1,000 | 1,153,750 | ||||||
4.45%, 04/15/70 | 600 | 709,875 | ||||||
|
| |||||||
8,443,719 | ||||||||
Israel — 0.1% | ||||||||
Israel Government International Bond | ||||||||
4.00%, 06/30/22 | 900 | 955,969 | ||||||
3.15%, 06/30/23 | 3,000 | 3,214,687 | ||||||
3.25%, 01/17/28 | 1,500 | 1,706,719 | ||||||
2.75%, 07/03/30(a) | 400 | 441,000 | ||||||
4.50%, 01/30/43 | 1,200 | 1,567,500 | ||||||
3.88%, 07/03/50(a) | 1,000 | 1,199,375 |
Security | Par (000) | Value | ||||||
Israel (continued) | ||||||||
Israel Government International Bond (continued) | ||||||||
4.50%, 04/03/20 | $ | 600 | $ | 817,500 | ||||
State of Israel | ||||||||
2.50%, 01/15/30(a) | 2,000 | 2,160,000 | ||||||
3.38%, 01/15/50 | 1,000 | 1,107,500 | ||||||
|
| |||||||
13,170,250 | ||||||||
Italy — 0.1% | ||||||||
Republic of Italy Government International Bond | ||||||||
6.88%, 09/27/23 | 100 | 116,740 | ||||||
2.38%, 10/17/24 | 3,500 | 3,640,193 | ||||||
2.88%, 10/17/29 | 2,500 | 2,587,281 | ||||||
5.38%, 06/15/33 | 750 | 945,607 | ||||||
4.00%, 10/17/49 | 1,500 | 1,607,410 | ||||||
|
| |||||||
8,897,231 | ||||||||
Japan — 0.2% | ||||||||
Japan Bank for International Cooperation | ||||||||
2.00%, 11/04/21(a) | 2,000 | 2,035,720 | ||||||
2.50%, 06/01/22 | 2,000 | 2,071,773 | ||||||
2.38%, 07/21/22(a) | 1,000 | 1,036,046 | ||||||
1.63%, 10/17/22(a) | 1,000 | 1,025,139 | ||||||
2.38%, 11/16/22 | 2,000 | 2,084,205 | ||||||
1.75%, 01/23/23 | 2,000 | 2,061,888 | ||||||
3.25%, 07/20/23 | 1,100 | 1,187,384 | ||||||
3.38%, 07/31/23 | 500 | 541,502 | ||||||
3.38%, 10/31/23 | 500 | 544,700 | ||||||
2.50%, 05/23/24 | 500 | 536,458 | ||||||
2.50%, 05/28/25 | 2,000 | 2,177,032 | ||||||
0.63%, 07/15/25 | 2,000 | 2,003,340 | ||||||
2.38%, 04/20/26 | 750 | 818,943 | ||||||
2.25%, 11/04/26 | 500 | 544,349 | ||||||
2.88%, 06/01/27 | 1,000 | 1,134,250 | ||||||
2.75%, 11/16/27 | 500 | 566,422 | ||||||
3.25%, 07/20/28 | 2,000 | 2,357,780 | ||||||
2.00%, 10/17/29 | 1,000 | 1,092,929 | ||||||
|
| |||||||
23,819,860 | ||||||||
Mexico — 0.3% | ||||||||
Mexico Government International Bond | ||||||||
3.63%, 03/15/22(a) | 4,750 | 4,938,516 | ||||||
4.00%, 10/02/23 | 250 | 271,172 | ||||||
3.60%, 01/30/25 | 500 | 539,219 | ||||||
4.13%, 01/21/26 | 3,000 | 3,333,000 | ||||||
4.15%, 03/28/27(a) | 1,000 | 1,111,500 | ||||||
4.50%, 04/22/29 | 1,500 | 1,681,406 | ||||||
3.25%, 04/16/30(a) | 3,000 | 3,078,000 | ||||||
4.75%, 04/27/32(a) | 3,000 | 3,396,562 | ||||||
6.75%, 09/27/34 | 150 | 201,797 | ||||||
6.05%, 01/11/40 | 2,300 | 2,887,937 | ||||||
4.75%, 03/08/44 | 2,200 | 2,414,500 | ||||||
5.55%, 01/21/45 | 1,525 | 1,847,156 | ||||||
4.60%, 01/23/46 | 1,500 | 1,607,813 | ||||||
4.35%, 01/15/47(a) | 1,750 | 1,822,188 | ||||||
4.60%, 02/10/48 | 2,000 | 2,134,375 | ||||||
4.50%, 01/31/50 | 1,950 | 2,052,375 | ||||||
5.00%, 04/27/51 | 2,000 | 2,242,000 | ||||||
|
| |||||||
35,559,516 |
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 | 41 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Panama — 0.1% | ||||||||
Panama Government International Bond | ||||||||
3.75%, 03/16/25 | $ | 3,500 | $ | 3,823,750 | ||||
3.88%, 03/17/28 | 2,500 | 2,835,156 | ||||||
3.16%, 01/23/30 | 1,000 | 1,086,250 | ||||||
2.25%, 09/29/32 | 1,000 | 1,013,500 | ||||||
6.70%, 01/26/36 | 350 | 507,609 | ||||||
4.50%, 05/15/47(a) | 750 | 937,735 | ||||||
4.50%, 04/16/50(a) | 1,250 | 1,560,938 | ||||||
4.50%, 04/01/56(a) | 2,400 | 2,995,200 | ||||||
3.87%, 07/23/60(a) | 900 | 1,031,906 | ||||||
|
| |||||||
15,792,044 | ||||||||
Peru — 0.1% | ||||||||
Peruvian Government International Bond | ||||||||
7.35%, 07/21/25 | 400 | 512,000 | ||||||
2.39%, 01/23/26 | 2,000 | 2,100,000 | ||||||
4.13%, 08/25/27(a) | 1,000 | 1,165,313 | ||||||
2.84%, 06/20/30 | 1,000 | 1,087,500 | ||||||
2.78%, 01/23/31 | 2,000 | 2,164,000 | ||||||
8.75%, 11/21/33 | 441 | 738,675 | ||||||
6.55%, 03/14/37 | 250 | 378,203 | ||||||
5.63%, 11/18/50 | 1,400 | 2,233,437 | ||||||
|
| |||||||
10,379,128 | ||||||||
Philippines — 0.1% | ||||||||
Philippine Government International Bond | ||||||||
4.20%, 01/21/24 | 2,500 | 2,774,219 | ||||||
3.75%, 01/14/29(a) | 3,000 | 3,501,562 | ||||||
2.46%, 05/05/30 | 2,000 | 2,142,500 | ||||||
7.75%, 01/14/31 | 1,500 | 2,278,125 | ||||||
6.38%, 10/23/34 | 250 | 361,406 | ||||||
5.00%, 01/13/37 | 1,000 | 1,300,313 | ||||||
3.95%, 01/20/40 | 250 | 295,703 | ||||||
3.70%, 03/01/41 | 1,100 | 1,267,063 | ||||||
3.70%, 02/02/42 | 2,000 | 2,313,125 | ||||||
2.95%, 05/05/45 | 1,000 | 1,055,625 | ||||||
|
| |||||||
17,289,641 | ||||||||
Poland — 0.0% | ||||||||
Poland Government International Bond | ||||||||
5.00%, 03/23/22 | 2,050 | 2,195,422 | ||||||
3.00%, 03/17/23 | 200 | 212,063 | ||||||
4.00%, 01/22/24 | 2,250 | 2,497,815 | ||||||
3.25%, 04/06/26 | 250 | 282,109 | ||||||
|
| |||||||
5,187,409 | ||||||||
South Korea — 0.1% | ||||||||
Export-Import Bank of Korea | ||||||||
1.88%, 10/21/21 | 2,000 | 2,027,500 | ||||||
2.75%, 01/25/22(a) | 1,000 | 1,028,438 | ||||||
5.00%, 04/11/22 | 2,000 | 2,133,125 | ||||||
1.88%, 02/12/25 | 1,000 | 1,038,079 | ||||||
3.25%, 11/10/25(a) | 500 | 558,906 | ||||||
2.63%, 05/26/26 | 1,000 | 1,093,437 | ||||||
3.25%, 08/12/26 | 500 | 566,406 | ||||||
Korea Development Bank | ||||||||
3.38%, 03/12/23(a) | 4,000 | 4,260,760 | ||||||
2.75%, 03/19/23 | 1,000 | 1,050,625 |
Security | Par (000) | Value | ||||||
South Korea (continued) | ||||||||
Korea International Bond | ||||||||
4.13%, 06/10/44(a) | $ | 250 | $ | 345,343 | ||||
3.88%, 09/20/48 | 1,750 | 2,409,531 | ||||||
|
| |||||||
16,512,150 | ||||||||
Supranational — 1.3% | ||||||||
African Development Bank, 3.00%, 09/20/23(a) | 5,000 | 5,400,740 | ||||||
Asian Development Bank | ||||||||
2.13%, 11/24/21 | 1,000 | 1,021,620 | ||||||
2.00%, 02/16/22(a) | 2,000 | 2,048,535 | ||||||
1.88%, 02/18/22 | 1,000 | 1,022,424 | ||||||
1.88%, 07/19/22(a) | 2,000 | 2,058,705 | ||||||
1.88%, 08/10/22(a) | 1,500 | 1,545,331 | ||||||
1.75%, 09/13/22(a) | 2,500 | 2,573,897 | ||||||
2.75%, 03/17/23(a) | 3,750 | 3,978,648 | ||||||
0.25%, 07/14/23(a) | 4,000 | 4,001,828 | ||||||
2.63%, 01/30/24(a) | 3,000 | 3,229,693 | ||||||
1.50%, 10/18/24 | 3,000 | 3,138,570 | ||||||
0.63%, 04/29/25 | 3,000 | 3,027,870 | ||||||
2.00%, 04/24/26(a) | 1,000 | 1,082,920 | ||||||
2.75%, 01/19/28(a) | 750 | 861,485 | ||||||
1.75%, 09/19/29 | 2,000 | 2,156,842 | ||||||
1.88%, 01/24/30(a) | 3,000 | 3,275,460 | ||||||
European Bank for Reconstruction & Development | ||||||||
2.75%, 03/07/23 | 2,000 | 2,120,380 | ||||||
0.25%, 07/10/23 | 4,000 | 4,001,579 | ||||||
1.50%, 02/13/25 | 1,000 | 1,041,045 | ||||||
European Investment Bank | ||||||||
2.25%, 03/15/22 | 1,000 | 1,029,600 | ||||||
2.63%, 05/20/22 | 10,000 | 10,393,418 | ||||||
2.25%, 08/15/22(a) | 5,000 | 5,188,480 | ||||||
2.00%, 12/15/22(a) | 1,000 | 1,039,144 | ||||||
2.50%, 03/15/23 | 2,000 | 2,110,307 | ||||||
2.88%, 08/15/23 | 1,500 | 1,612,182 | ||||||
3.13%, 12/14/23 | 4,000 | 4,364,320 | ||||||
2.63%, 03/15/24(a) | 2,000 | 2,160,205 | ||||||
1.63%, 03/14/25 | 4,000 | 4,217,720 | ||||||
0.63%, 07/25/25 | 2,000 | 2,018,911 | ||||||
2.13%, 04/13/26(a) | 1,000 | 1,091,030 | ||||||
2.38%, 05/24/27(a) | 3,500 | 3,901,917 | ||||||
Inter-American Development Bank | ||||||||
2.13%, 01/18/22(a) | 1,000 | 1,024,354 | ||||||
1.75%, 04/14/22 | 750 | 767,408 | ||||||
1.75%, 09/14/22(a) | 2,000 | 2,059,231 | ||||||
0.50%, 05/24/23 | 3,000 | 3,019,170 | ||||||
2.63%, 01/16/24(a) | 5,000 | 5,379,969 | ||||||
1.75%, 03/14/25(a) | 3,000 | 3,177,125 | ||||||
0.88%, 04/03/25(a) | 3,000 | 3,060,660 | ||||||
0.63%, 07/15/25(a) | 5,000 | 5,045,625 | ||||||
2.00%, 06/02/26 | 500 | 540,526 | ||||||
2.38%, 07/07/27 | 1,000 | 1,113,948 | ||||||
2.25%, 06/18/29(a) | 4,500 | 5,043,465 | ||||||
3.20%, 08/07/42 | 750 | 965,350 | ||||||
4.38%, 01/24/44 | 300 | 459,552 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.00%, 01/26/22 | 3,000 | 3,070,290 | ||||||
2.13%, 07/01/22 | 3,000 | 3,099,196 | ||||||
7.63%, 01/19/23 | 1,000 | 1,167,554 |
42 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Supranational (continued) | ||||||||
International Bank for Reconstruction & |
| |||||||
1.75%, 04/19/23 | $ | 1,000 | $ | 1,038,180 | ||||
1.88%, 06/19/23 | 5,000 | 5,218,150 | ||||||
3.00%, 09/27/23(a) | 4,000 | 4,327,160 | ||||||
2.50%, 03/19/24(a) | 3,000 | 3,221,240 | ||||||
0.75%, 03/11/25(a) | 5,000 | 5,077,050 | ||||||
0.63%, 04/22/25 | 5,000 | 5,046,557 | ||||||
0.38%, 07/28/25 | 3,000 | 2,991,978 | ||||||
1.75%, 10/23/29 | 3,000 | 3,244,350 | ||||||
4.75%, 02/15/35 | 500 | 735,245 | ||||||
Series GDIF, 1.63%, 02/10/22(a) | 3,500 | 3,566,255 | ||||||
Series GDIF, 2.50%, 07/29/25 | 1,000 | 1,099,149 | ||||||
Series GDIF, 1.88%, 10/27/26 | 750 | 810,697 | ||||||
Series GDIF, 2.50%, 11/22/27 | 2,000 | 2,259,105 | ||||||
International Finance Corp. | ||||||||
2.88%, 07/31/23 | 750 | 805,125 | ||||||
0.38%, 07/16/25 | 2,000 | 1,997,629 | ||||||
Nordic Investment Bank, 1.38%, 10/17/22(a) | 2,000 | 2,046,441 | ||||||
|
| |||||||
169,192,540 | ||||||||
Sweden — 0.0% | ||||||||
Svensk Exportkredit AB | ||||||||
2.38%, 03/09/22 | 1,500 | 1,544,503 | ||||||
1.63%, 11/14/22(a) | 500 | 513,663 | ||||||
2.88%, 03/14/23 | 1,000 | 1,061,994 | ||||||
0.75%, 04/06/23 | 2,000 | 2,019,941 | ||||||
1.75%, 12/12/23 | 1,000 | 1,043,616 | ||||||
0.63%, 05/14/25 | 2,000 | 2,008,684 | ||||||
|
| |||||||
8,192,401 | ||||||||
Uruguay — 0.1% | ||||||||
Uruguay Government International Bond | ||||||||
8.00%, 11/18/22 | 150 | 162,422 | ||||||
4.50%, 08/14/24(a) | 1,250 | 1,364,453 | ||||||
4.38%, 10/27/27(a) | 1,000 | 1,155,000 | ||||||
4.38%, 01/23/31(a) | 2,500 | 2,972,656 | ||||||
5.10%, 06/18/50(a) | 2,250 | 3,017,110 | ||||||
4.98%, 04/20/55(a) | 1,600 | 2,132,000 | ||||||
|
| |||||||
10,803,641 | ||||||||
|
| |||||||
Total Foreign Agency Obligations — 3.2% | 432,659,890 | |||||||
|
| |||||||
Municipal Bonds |
| |||||||
Arizona — 0.0% | ||||||||
Salt River Project Agricultural Improvement & | ||||||||
Power District, RB, BAB, 4.84%, 01/01/41 | 220 | 296,309 | ||||||
|
| |||||||
California — 0.2% | ||||||||
Bay Area Toll Authority, RB | ||||||||
Series F-2, 6.26%, 04/01/49(a) | 750 | 1,279,095 | ||||||
Series S-1, 6.92%, 04/01/40 | 620 | 953,963 | ||||||
Bay Area Toll Authority, RB, BAB | ||||||||
Series S-1, 7.04%, 04/01/50 | 100 | 179,849 | ||||||
Series S-3, 6.91%, 10/01/50 | 200 | 365,276 | ||||||
Bay Area Toll Authority, Refunding RB, 2.57%, 04/01/31 | 345 | 374,774 | ||||||
California State University, RB, Series E, 2.90%, 11/01/51 | 200 | 200,752 |
Security | Par (000) | Value | ||||||
California (continued) | ||||||||
California State University, Refunding RB, Series B, 2.98%, 11/01/51 | $ | 515 | $ | 538,082 | ||||
City of San Francisco California Public Utilities Commission Water Revenue, RB, BAB, 6.95%, 11/01/50 | 100 | 174,796 | ||||||
City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, Series A, 3.30%, 11/01/39 | 115 | 123,954 | ||||||
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | 100 | 154,348 | ||||||
Foothill-Eastern Transportation Corridor Agency, Refunding RB | ||||||||
Series A, 4.09%, 01/15/49 | 75 | 78,181 | ||||||
Series A, (AGM), 3.92%, 01/15/53 | 175 | 185,316 | ||||||
Los Angeles Community College District, GO, BAB, 6.75%, 08/01/49 | 540 | 965,077 | ||||||
Los Angeles County Metropolitan Transportation Authority, RB, BAB, 5.74%, 06/01/39 | 100 | 141,824 | ||||||
Los Angeles County Public Works Financing Authority, Refunding RB, BAB, 7.62%, 08/01/40 | 100 | 168,562 | ||||||
Los Angeles Department of Water & Power Power System Revenue, RB, BAB | ||||||||
5.72%, 07/01/39 | 200 | 298,768 | ||||||
6.57%, 07/01/45 | 675 | 1,144,962 | ||||||
6.60%, 07/01/50 | 90 | 157,137 | ||||||
Los Angeles Unified School District, GO, BAB | ||||||||
5.76%, 07/01/29 | 300 | 386,445 | ||||||
5.75%, 07/01/34 | 850 | 1,186,370 | ||||||
Series RY, 6.76%, 07/01/34 | 450 | 665,950 | ||||||
Regents of the University of California Medical Center Pooled Revenue, RB | ||||||||
Series N, 3.26%, 05/15/60 | 365 | 400,766 | ||||||
Series N, 3.71%, 05/15/20 | 250 | 265,313 | ||||||
Regents of the University of California Medical Center Pooled Revenue, RB, BAB, Series H, 6.55%, 05/15/48 | 120 | 193,765 | ||||||
Regents of the University of California Medical Center Pooled Revenue, Refunding RB, BAB, Series F, 6.58%, 05/15/49 | 600 | 967,068 | ||||||
San Diego County Regional Transportation Commission, RB, BAB, 5.91%, 04/01/48 | 260 | 422,154 | ||||||
San Diego County Regional Transportation Commission, Refunding RB, Series A, 3.25%, 04/01/48 | 175 | 185,894 | ||||||
San Diego County Water Authority, RB, BAB, Series B, 6.14%, 05/01/49 | 315 | 497,413 | ||||||
Santa Clara Valley Transportation Authority, RB, BAB, Series A, 5.88%, 04/01/32 | 100 | 130,770 | ||||||
State of California Department of Water Resources Power Supply Revenue, Refunding RB, Series P, 2.00%, 05/01/22(f) | 250 | 256,813 | ||||||
State of California, GO | ||||||||
7.55%, 04/01/39(a) | 2,375 | 4,135,421 | ||||||
7.60%, 11/01/40 | 1,850 | 3,361,080 | ||||||
Series A, 2.37%, 04/01/22 | 500 | 515,475 | ||||||
State of California, GO, BAB | ||||||||
5.70%, 11/01/21 | 200 | 211,708 | ||||||
7.50%, 04/01/34 | 645 | 1,069,055 |
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 | 43 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
California (continued) | ||||||||
State of California, GO, BAB (continued) | ||||||||
7.30%, 10/01/39 | $ | 600 | $ | 985,212 | ||||
7.35%, 11/01/39(a) | 800 | 1,337,104 | ||||||
State of California, Refunding GO | ||||||||
2.80%, 04/01/21 | 95 | 96,169 | ||||||
3.38%, 04/01/25 | 100 | 111,762 | ||||||
3.50%, 04/01/28 | 355 | 410,384 | ||||||
2.50%, 10/01/29 | 1,250 | 1,348,012 | ||||||
4.50%, 04/01/33 | 200 | 238,840 | ||||||
4.60%, 04/01/38 | 165 | 195,890 | ||||||
University of California, RB | ||||||||
Series AD, 4.86%, 05/15/12 | 300 | 426,204 | ||||||
Series AQ, 4.77%, 05/15/15 | 405 | 569,151 | ||||||
Series BD, 3.35%, 07/01/29 | 570 | 652,815 | ||||||
Series BG, 0.88%, 05/15/25 | 240 | 241,745 | ||||||
Series BG, 1.61%, 05/15/30 | 250 | 250,390 | ||||||
University of California, RB, BAB | ||||||||
5.77%, 05/15/43 | 190 | 276,731 | ||||||
5.95%, 05/15/45 | 500 | 726,690 | ||||||
University of California, Refunding RB | ||||||||
Series AJ, 4.60%, 05/15/31 | 150 | 181,733 | ||||||
Series AX, 3.06%, 07/01/25 | 100 | 109,597 | ||||||
|
| |||||||
30,494,605 | ||||||||
Colorado — 0.0% | ||||||||
Regional Transportation District Sales Tax Revenue, RB, BAB, Series B, 5.84%, 11/01/50 | 100 | 166,110 | ||||||
|
| |||||||
Connecticut — 0.0% | ||||||||
State of Connecticut, GO, Series A, 5.85%, 03/15/32 | 600 | 836,142 | ||||||
State of Connecticut, GO, BAB, Series D, 5.09%, 10/01/30 | 150 | 186,115 | ||||||
|
| |||||||
1,022,257 | ||||||||
District of Columbia — 0.0% | ||||||||
District of Columbia Water & Sewer Authority, RB, Series A, Senior Lien, 4.81%, 10/01/14 | 200 | 300,178 | ||||||
District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48 | 160 | 170,389 | ||||||
District of Columbia, RB, BAB, Series E, 5.59%, 12/01/34 | 200 | 272,182 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, RB, BAB, 7.46%, 10/01/46 | 100 | 175,946 | ||||||
|
| |||||||
918,695 | ||||||||
Florida — 0.0% | ||||||||
County of Miami-Dade Florida Aviation Revenue, Refunding RB, Series C, 4.28%, 10/01/41 | 665 | 716,910 | ||||||
County of Miami-Dade Florida Water & Sewer System Revenue, Refunding RB, Series C, 3.49%, 10/01/42 | 70 | 75,021 | ||||||
State Board of Administration Finance Corp., RB Series A, 1.26%, 07/01/25 | 735 | 746,510 |
Security | Par (000) | Value | ||||||
Florida (continued) | ||||||||
State Board of Administration Finance Corp., RB (continued) | ||||||||
Series A, 1.71%, 07/01/27 | $ | 450 | $ | 456,682 | ||||
Series A, 2.15%, 07/01/30 | 710 | 718,215 | ||||||
|
| |||||||
2,713,338 | ||||||||
Georgia — 0.0% | ||||||||
Municipal Electric Authority of Georgia, Refunding RB, BAB | ||||||||
6.64%, 04/01/57 | 640 | 954,918 | ||||||
6.66%, 04/01/57 | 396 | 600,483 | ||||||
|
| |||||||
1,555,401 | ||||||||
Illinois — 0.1% | ||||||||
Chicago O’Hare International Airport, ARB | ||||||||
Series C, Senior Lien, 4.47%, 01/01/49 | 165 | 206,450 | ||||||
Series C, Senior Lien, 4.57%, 01/01/54 | 165 | 209,971 | ||||||
Chicago O’Hare International Airport, Refunding ARB, BAB, Series B, 6.40%, 01/01/40 | 250 | 372,852 | ||||||
Chicago Transit Authority Sales Tax Receipts Fund, RB, Series A, 6.90%, 12/01/40 | 530 | 759,395 | ||||||
Chicago Transit Authority Sales Tax Receipts Fund, RB, BAB, Series B, 6.20%, 12/01/40 | 435 | 596,968 | ||||||
Illinois State Toll Highway Authority, RB, BAB, Series A, 6.18%, 01/01/34 | 250 | 362,437 | ||||||
Metropolitan Water Reclamation District of Greater Chicago, GO, BAB, 5.72%, 12/01/38 | 340 | 489,835 | ||||||
State of Illinois, GO, 5.10%, 06/01/33 | 4,400 | 4,417,468 | ||||||
State of Illinois, GO, BAB, 7.35%, 07/01/35 | 425 | 479,387 | ||||||
|
| |||||||
7,894,763 | ||||||||
Massachusetts — 0.0% | ||||||||
Commonwealth of Massachusetts, GO, Series H, 2.90%, 09/01/49 | 105 | 115,565 | ||||||
Commonwealth of Massachusetts, GO, BAB, 5.46%, 12/01/39 | 1,000 | 1,419,090 | ||||||
Commonwealth of Massachusetts, Refunding GO, Series D, 2.81%, 09/01/43 | 1,000 | 1,081,660 | ||||||
Massachusetts School Building Authority, RB, BAB, 5.72%, 08/15/39 | 585 | 842,681 | ||||||
Massachusetts School Building Authority, Refunding RB | ||||||||
Series B, 1.75%, 08/15/30 | 200 | 202,630 | ||||||
Sub-Series B, 3.40%, 10/15/40 | 125 | 133,829 | ||||||
|
| |||||||
3,795,455 | ||||||||
Michigan — 0.0% | ||||||||
Great Lakes Water Authority Sewage Disposal System Revenue, Refunding RB, Series A, 3.06%, 07/01/39 | 30 | 32,096 | ||||||
Michigan Finance Authority, Refunding RB | ||||||||
3.08%, 12/01/34 | 150 | 163,772 | ||||||
3.38%, 12/01/40 | 125 | 139,440 |
44 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | �� | |||||
Michigan (continued) | ||||||||
Michigan State Building Authority, Refunding RB, 2.71%, 10/15/40 | $ | 250 | $ | 250,948 | ||||
University of Michigan, RB, Series B, 2.44%, 04/01/40 | 323 | 333,355 | ||||||
|
| |||||||
919,611 | ||||||||
Missouri — 0.0% | ||||||||
Health & Educational Facilities Authority of the State of Missouri, RB, Series A, 3.65%, 08/15/57 | 440 | 550,264 | ||||||
|
| |||||||
Nebraska — 0.0% | ||||||||
University of Nebraska Facilities Corp., Refunding RB, Series A, 3.04%, 10/01/49 | 200 | 216,158 | ||||||
|
| |||||||
Nevada — 0.0% | ||||||||
County of Clark Department of Aviation, ARB, BAB, Series C, 6.82%, 07/01/45 | 450 | 740,497 | ||||||
|
| |||||||
New Jersey — 0.1% | ||||||||
New Jersey Economic Development Authority, RB, Series A, (NPFGC), 7.43%, 02/15/29 | 1,450 | 1,794,505 | ||||||
New Jersey Transportation Trust Fund Authority, RB, BAB | ||||||||
Series B, 6.56%, 12/15/40 | 100 | 129,705 | ||||||
Series C, 5.75%, 12/15/28 | 350 | 398,499 | ||||||
New Jersey Transportation Trust Fund Authority, Refunding RB | ||||||||
4.08%, 06/15/39 | 200 | 190,184 | ||||||
Series B, 4.13%, 06/15/42 | 1,055 | 1,031,917 | ||||||
New Jersey Turnpike Authority, RB, Series A, 7.10%, 01/01/41 | 750 | 1,232,197 | ||||||
New Jersey Turnpike Authority, RB, BAB, 7.41%, 01/01/40 | 900 | 1,516,554 | ||||||
Rutgers The State University of New Jersey, RB, Series P, 3.92%, 05/01/19 | 110 | 135,196 | ||||||
Rutgers The State University of New Jersey, Refunding RB, Series R, 3.27%, 05/01/43 | 425 | 458,554 | ||||||
|
| |||||||
6,887,311 | ||||||||
New York — 0.1% | ||||||||
City of New York, GO, BAB | ||||||||
5.52%, 10/01/37 | 500 | 709,860 | ||||||
Series A-2, 5.21%, 10/01/31 | 225 | 287,514 | ||||||
Series F-1, 6.27%, 12/01/37 | 300 | 460,917 | ||||||
Metropolitan Transportation Authority, RB, 6.81%, 11/15/40 | 400 | 514,388 | ||||||
Metropolitan Transportation Authority, RB, BAB | ||||||||
6.67%, 11/15/39 | 515 | 654,318 | ||||||
7.34%, 11/15/39 | 500 | 799,735 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB | ||||||||
5.77%, 08/01/36 | 100 | 133,655 | ||||||
5.57%, 11/01/38 | 645 | 883,527 | ||||||
New York City Water & Sewer System, RB, BAB, 5.95%, 06/15/42 | 115 | 182,690 | ||||||
New York City Water & Sewer System, Refunding RB, 5.88%, 06/15/44 | 100 | 160,423 |
Security | Par (000) | Value | ||||||
New York (continued) | ||||||||
New York City Water & Sewer System, Refunding RB, BAB | ||||||||
5.72%, 06/15/42 | $ | 300 | $ | 466,557 | ||||
6.01%, 06/15/42(a) | 600 | 951,780 | ||||||
5.44%, 06/15/43 | 200 | 309,142 | ||||||
New York State Dormitory Authority, RB, BAB, Series D, 5.60%, 03/15/40 | 625 | 886,813 | ||||||
New York State Dormitory Authority, Refunding RB | ||||||||
Series B, 3.14%, 07/01/43 | 50 | 53,292 | ||||||
Series F, 3.11%, 02/15/39 | 350 | 382,361 | ||||||
New York State Thruway Authority, Refunding RB | ||||||||
Series M, 2.90%, 01/01/35 | 500 | 537,835 | ||||||
Series M, 3.50%, 01/01/42 | 160 | 168,547 | ||||||
New York State Urban Development Corp., RB, Series B, 3.90%, 03/15/33 | 500 | 572,855 | ||||||
New York State Urban Development Corp., RB, BAB, 5.77%, 03/15/39 | 200 | 261,566 | ||||||
Port Authority of New York & New Jersey, ARB 192nd Series, 4.81%, 10/15/65 | 100 | 137,127 | ||||||
215th Series, 3.29%, 08/01/69 | 200 | 206,958 | ||||||
Port Authority of New York & New Jersey, RB | ||||||||
159th Series, 6.04%, 12/01/29 | 200 | 265,892 | ||||||
165th Series, 5.65%, 11/01/40 | 1,245 | 1,777,188 | ||||||
168th Series, 4.93%, 10/01/51 | 250 | 340,020 | ||||||
181st Series, 4.96%, 08/01/46 | 180 | 242,406 | ||||||
182nd Series, 5.31%, 08/01/46 | 100 | 113,086 | ||||||
Series AAA, 1.09%, 07/01/23(a) | 200 | 202,236 | ||||||
Port Authority of New York & New Jersey, Refunding RB, 174th Series, 4.46%, 10/01/62 | 1,300 | 1,665,521 | ||||||
|
| |||||||
14,328,209 | ||||||||
Ohio — 0.1% | ||||||||
American Municipal Power, Inc., RB, BAB | ||||||||
Series B, 7.83%, 02/15/41 | 650 | 1,083,361 | ||||||
Series B, 8.08%, 02/15/50 | 500 | 914,285 | ||||||
JobsOhio Beverage System, Refunding RB | ||||||||
Series B, 3.99%, 01/01/29 | 100 | 114,725 | ||||||
Series B, 4.53%, 01/01/35 | 100 | 126,329 | ||||||
Ohio State University, RB, Series A, 3.80%, 12/01/46 | 200 | 246,704 | ||||||
Ohio State University, RB, BAB, Series C, 4.91%, 06/01/40(a) | 805 | 1,121,510 | ||||||
Ohio Turnpike & Infrastructure Commission, Refunding RB, Series A, 3.22%, 02/15/48 | 250 | 259,803 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series B-2, 4.88%, 12/01/34 | 100 | 121,841 | ||||||
|
| |||||||
3,988,558 | ||||||||
Oregon — 0.0% | ||||||||
Oregon School Boards Association, GO, Series B, (NPFGC), 5.55%, 06/30/28 | 375 | 459,780 | ||||||
State of Oregon Department of Transportation, RB, BAB, Series A, 5.83%, 11/15/34 | 125 | 181,617 |
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 | 45 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Oregon (continued) | ||||||||
State of Oregon, GO | ||||||||
5.76%, 06/01/23 | $ | 54 | $ | 58,565 | ||||
5.89%, 06/01/27 | 750 | 949,200 | ||||||
|
| |||||||
1,649,162 | ||||||||
Pennsylvania — 0.0% | ||||||||
Pennsylvania State University, Refunding RB, Series D, 2.84%, 09/01/50 | 160 | 164,279 | ||||||
University of Pittsburgh-of the Commonwealth System of Higher Education, RB, 3.56%, 09/15/19 | 175 | 210,201 | ||||||
|
| |||||||
374,480 | ||||||||
South Carolina — 0.0% | ||||||||
South Carolina Public Service Authority, RB, BAB, Series C, 6.45%, 01/01/50 | 100 | 160,315 | ||||||
|
| |||||||
Tennessee — 0.0% | ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd, RB, Series B, 4.05%, 07/01/26 | 350 | 395,605 | ||||||
|
| |||||||
Texas — 0.1% | ||||||||
City of San Antonio Texas Electric & Gas Systems Revenue, RB, 4.43%, 02/01/42 | 170 | 217,581 | ||||||
City of San Antonio Texas Electric & Gas Systems Revenue, RB, BAB | ||||||||
5.72%, 02/01/41 | 200 | 291,384 | ||||||
5.81%, 02/01/41 | 250 | 377,435 | ||||||
Dallas Area Rapid Transit, RB, BAB, 5.02%, 12/01/48(a) | 560 | 814,677 | ||||||
Dallas Fort Worth International Airport, Refunding RB | ||||||||
Series A, 2.99%, 11/01/38 | 200 | 214,504 | ||||||
Series A, 3.14%, 11/01/45 | 265 | 277,185 | ||||||
Series C, 2.92%, 11/01/50 | 380 | 378,453 | ||||||
Grand Parkway Transportation Corp., Refunding RB, 3.24%, 10/01/52 | 1,090 | 1,132,619 | ||||||
North Texas Tollway Authority, RB, BAB, 6.72%, 01/01/49 | 550 | 950,543 | ||||||
Permanent University Fund - University of Texas System, Refunding RB, Series A, 3.38%, 07/01/47 | 1,040 | 1,258,286 | ||||||
State of Texas, GO, BAB, 5.52%, 04/01/39 | 1,000 | 1,488,750 | ||||||
Texas Private Activity Bond Surface Transportation Corp., RB, Series B, 3.92%, 12/31/49 | 425 | 469,553 | ||||||
Texas Transportation Commission State Highway Fund, RB, BAB, Series B, 5.18%, 04/01/30 | 600 | 774,888 | ||||||
Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44 | 985 | 996,347 | ||||||
|
| |||||||
9,642,205 | ||||||||
Utah — 0.0% | ||||||||
State of Utah, GO, BAB, Series B, 3.54%, 07/01/25 | 300 | 327,348 | ||||||
|
| |||||||
Virginia — 0.0% | ||||||||
University of Virginia, RB, Series C, 4.18%, 09/01/17 | 60 | 82,666 |
Security | Par (000) | Value | ||||||
Virginia (continued) | ||||||||
University of Virginia, Refunding RB | ||||||||
2.26%, 09/01/50 | $ | 420 | $ | 410,328 | ||||
Series A, 3.23%, 09/01/19 | 120 | 130,153 | ||||||
|
| |||||||
623,147 | ||||||||
Washington — 0.0% | ||||||||
State of Washington, GO, BAB, Series B, 5.14%, 08/01/40 | 200 | 285,158 | ||||||
|
| |||||||
Wisconsin — 0.0% | ||||||||
State of Wisconsin, RB, Series A, (AGM), 5.70%, 05/01/26 | 80 | 94,266 | ||||||
State of Wisconsin, Refunding RB | ||||||||
Series A, 3.95%, 05/01/36 | 600 | 681,246 | ||||||
Series C, 3.15%, 05/01/27 | 320 | 359,360 | ||||||
|
| |||||||
1,134,872 | ||||||||
|
| |||||||
Total Municipal Bonds — 0.7% | 91,079,833 | |||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Commercial Mortgage-Backed Securities — 1.3% | ||||||||
BANK 2019-BNK18, Series 2019-BN18, Class A4, 3.58%, 05/15/62 | 2,000 | 2,311,058 | ||||||
BANK 2020-BNK27, Series 2020-BN27, Class A5, 2.14%, 04/15/63 | 5,440 | 5,712,489 | ||||||
Barclays Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.67%, 02/15/50 | 2,300 | 2,628,204 | ||||||
BBCMS Mortgage Trust, Series 2020-C7, Class A5, 2.04%, 04/15/53 | 6,670 | 6,960,025 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 | 3,000 | 3,582,375 | ||||||
Series 2019-B11, Class A4, 3.28%, 05/15/52 | 4,000 | 4,543,090 | ||||||
Series 2019-B13, Class A4, 2.95%, 08/15/57 | 8,544 | 9,517,153 | ||||||
Series 2019-B9, Class A5, 4.02%, 03/15/52 | 3,000 | 3,560,595 | ||||||
Series 2020-B19, Class B, 2.35%, 09/15/53 | 1,130 | 1,163,364 | ||||||
Citigroup Commercial Mortgage Trust Series 2013-GC17, Class A4, 4.13%, 11/10/46 | 750 | 818,392 | ||||||
Series 2014-GC25, Class A4, 3.64%, 10/10/47 | 500 | 545,888 | ||||||
Series 2014-GC25, Class AS, 4.02%, 10/10/47 | 1,500 | 1,641,500 | ||||||
Series 2016-GC37, Class A4, 3.31%, 04/10/49 | 3,500 | 3,871,072 | ||||||
Series 2016-P5, Class A4, 2.94%, 10/10/49 | 1,000 | 1,088,629 | ||||||
Series 2017-P7, Class A4, 3.71%, 04/14/50 | 2,250 | 2,566,400 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-CR12, Class A4, 4.05%, 10/10/46 | 1,300 | 1,414,297 | ||||||
Series 2013-CR9, Class A4, 4.36%, 07/10/45(g) | 2,700 | 2,895,072 | ||||||
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | 500 | 545,948 | ||||||
Series 2015-PC1, Class A5, 3.90%, 07/10/50 | 1,500 | 1,666,830 | ||||||
Series 2016-CR28, Class A4, 3.76%, 02/10/49 | 750 | 843,759 | ||||||
Commission Mortgage Trust, Series 2014-CR20, Class A3, 3.33%, 11/10/47 | 5,000 | 5,340,424 | ||||||
CSAIL Commercial Mortgage Securities Trust | ||||||||
Series 2015-C3, Class A4, 3.72%, 08/15/48 | 1,000 | 1,102,413 | ||||||
Series 2016-C7, Class A5, 3.50%, 11/15/49 | 4,800 | 5,320,531 | ||||||
Series 2018-CX11, Class A5, | 4,000 | 4,680,763 |
46 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
DBJPM Mortgage Trust, Series 2016-C3, | $ | 7,500 | $ | 8,167,251 | ||||
GS Mortgage Securities Corp. II, | 3,000 | 3,527,586 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2012-GC6, Class A3, 3.48%, 01/10/45 | 5,280 | 5,387,265 | ||||||
Series 2012-GCJ9, Class A3, 2.77%, 11/10/45 | 245 | 250,801 | ||||||
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | 7,000 | 7,688,224 | ||||||
Series 2015-GC30, Class A4, 3.38%, 05/10/50 | 600 | 655,637 | ||||||
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | 2,300 | 2,565,021 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18, Class A5, 4.08%, 02/15/47 | 250 | 273,525 | ||||||
Series 2014-C22, Class A4, 3.80%, 09/15/47 | 300 | 329,040 | ||||||
Series 2015-C31, Class A3, 3.80%, 08/15/48 | 2,250 | 2,519,572 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 10/15/50 | 6,000 | 6,797,755 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2011-C5, Class A3, 4.17%, 08/15/46 | 100 | 102,192 | ||||||
Series 2014-C20, Class A5, 3.80%, 07/15/47 | 1,400 | 1,527,839 | ||||||
Series 2017-JP7, Class A5, 3.45%, 09/15/50 | 3,500 | 3,971,305 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2013-C10, Class A5, 4.22%, 07/15/46(g) | 3,750 | 4,037,571 | ||||||
Series 2013-C10, Class AS, 4.22%, 07/15/46(g) | 2,500 | 2,664,302 | ||||||
Series 2013-C11, Class A4, 4.30%, 08/15/46(g) | 11,765 | 12,646,648 | ||||||
Series 2014-C16, Class A4, 3.60%, 06/15/47 | 4,430 | 4,715,023 | ||||||
Series 2015-C24, Class A4, 3.73%, 05/15/48 | 750 | 836,960 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2015-UBS8, Class A4, 3.81%, 12/15/48 | 1,181 | 1,321,230 | ||||||
Series 2018-H3, Class A4, 3.91%, 07/15/51 | 3,000 | 3,486,661 | ||||||
Series 2019-H6, Class A4, 3.42%, 06/15/52 | 590 | 671,287 | ||||||
Series 2019-L3, Class AS, 3.49%, 11/15/52 | 760 | 855,975 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2013-LC12, Class A4, | 200 | 215,580 | ||||||
Series 2014-LC18, Class ASB, | 2,130 | 2,226,939 | ||||||
Series 2015-C27, Class A5, 3.45%, 02/15/48 | 1,500 | 1,633,181 | ||||||
Series 2015-SG1, Class A4, 3.79%, 09/15/48 | 4,983 | 5,481,559 | ||||||
Series 2019-C49, Class A5, 4.02%, 03/15/52 | 3,850 | 4,531,887 | ||||||
Series 2020-C56, Class A5, 2.45%, 06/15/53 | 3,110 | 3,345,088 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
Series 2012-C7, Class A1, 2.30%, 06/15/45 | 17 | 16,881 | ||||||
Series 2012-C7, Class A2, 3.43%, 06/15/45 | 800 | 825,036 | ||||||
Series 2013-C11, Class A5, 3.07%, 03/15/45 | 500 | 519,582 | ||||||
|
| |||||||
Total Non-Agency Mortgage-Backed |
| 168,114,674 | ||||||
|
|
Security | Par (000) | Value | ||||||
Preferred Securities | ||||||||
Capital Trusts — 0.0% | ||||||||
Diversified Financial Services — 0.0% | ||||||||
Goldman Sachs Capital I, 6.35%, 02/15/34 | $ | 250 | $ | 342,624 | ||||
|
| |||||||
Insurance — 0.0% | ||||||||
Allstate Corp., Series B, 5.75%, 08/15/53(c) | 1,250 | 1,301,593 | ||||||
MetLife, Inc., 6.40%, 12/15/36 | 600 | 746,435 | ||||||
Prudential Financial, Inc.(a)(c) | ||||||||
5.38%, 05/15/45 | 500 | 539,859 | ||||||
5.63%, 06/15/43 | 100 | 106,218 | ||||||
|
| |||||||
2,694,105 | ||||||||
|
| |||||||
Total Capital Trusts — 0.0% | 3,036,729 | |||||||
|
| |||||||
Total Preferred Securities — 0.0% | 3,036,729 | |||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Agency Obligations — 1.4% | ||||||||
Fannie Mae | ||||||||
1.25%, 08/17/21 | 8,200 | 8,280,484 | ||||||
1.38%, 10/07/21(a) | 2,000 | 2,024,736 | ||||||
2.63%, 01/11/22 - 09/06/24 | 8,715 | 9,356,848 | ||||||
1.88%, 04/05/22(a) | 5,000 | 5,131,668 | ||||||
2.38%, 01/19/23 | 490 | 514,036 | ||||||
0.25%, 07/10/23 | 10,000 | 9,997,941 | ||||||
0.50%, 06/17/25 | 20,000 | 20,092,213 | ||||||
6.25%, 05/15/29 | 5,350 | 7,742,793 | ||||||
7.13%, 01/15/30(a) | 10,000 | 15,480,395 | ||||||
7.25%, 05/15/30 | 20,550 | 32,337,516 | ||||||
0.88%, 08/05/30 | 7,010 | 6,921,620 | ||||||
6.63%, 11/15/30 | 149 | 228,932 | ||||||
Federal Farm Credit Banks Funding Corp., | ||||||||
2.85%, 09/20/21 | 1,705 | 1,749,500 | ||||||
Federal Home Loan Bank | ||||||||
3.00%, 12/09/22 | 4,910 | 5,209,135 | ||||||
2.75%, 12/13/24 | 5,000 | 5,503,010 | ||||||
3.13%, 06/13/25 | 9,570 | 10,791,754 | ||||||
5.50%, 07/15/36 | 2,100 | 3,268,688 | ||||||
Freddie Mac | ||||||||
2.38%, 02/16/21 - 01/13/22(a) | 19,715 | 20,140,655 | ||||||
1.13%, 08/12/21 | 3,032 | 3,057,674 | ||||||
0.13%, 07/25/22 | 925 | 924,162 | ||||||
0.25%, 08/24/23(a) | 4,855 | 4,858,292 | ||||||
0.38%, 07/21/25 | 325 | 325,053 | ||||||
6.75%, 03/15/31 | 2,800 | 4,373,164 | ||||||
6.25%, 07/15/32 | 3,300 | 5,173,798 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 04/01/36 | 2,100 | 3,287,425 | ||||||
3.50%, 12/15/42 | 140 | 179,864 | ||||||
|
| |||||||
186,951,356 | ||||||||
Commercial Mortgage-Backed Securities — 0.9% | ||||||||
Fannie Mae | ||||||||
3.06%, 09/25/27(g) | 4,000 | 4,505,313 | ||||||
2.52%, 08/25/29 | 5,000 | 5,497,631 | ||||||
3.78%, 08/25/30(g) | 3,000 | 3,636,074 | ||||||
Series 2012-M9, Class A2, 2.48%, 04/25/22 | 894 | 909,841 | ||||||
Series 2014-M13, Class A2, 3.02%, 08/25/24(g) | 474 | 510,652 |
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 | 47 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae (continued) | ||||||||
Series 2014-M2, Class ASV2, | $ | 42 | $ | 42,149 | ||||
Series 2014-M6, Class A2, | 48 | 48,158 | ||||||
Series 2016-M5, Class A2, 2.47%, 04/25/26 | 6,110 | 6,639,838 | ||||||
Series 2016-M6, Class A2, 2.49%, 05/25/26 | 7,000 | 7,627,367 | ||||||
Freddie Mac | ||||||||
2.49%, 11/25/24 | 3,362 | 3,484,088 | ||||||
2.90%, 03/25/27 | 3,694 | 3,970,403 | ||||||
2.67%, 09/25/29 | 10,000 | 11,280,747 | ||||||
2.52%, 10/25/29 | 5,650 | 6,304,635 | ||||||
1.48%, 04/25/30 | 2,640 | 2,730,018 | ||||||
1.35%, 05/25/30 | 1,000 | 1,024,196 | ||||||
Series K013, Class A2, 3.97%, 01/25/21(g) | 442 | 445,025 | ||||||
Series K017, Class A2, 2.87%, 12/25/21 | 6,732 | 6,900,373 | ||||||
Series K026, Class A2, 2.51%, 11/25/22 | 200 | 207,368 | ||||||
Series K031, Class A2, 3.30%, 04/25/23(g) | 100 | 106,744 | ||||||
Series K033, Class A2, 3.06%, 07/25/23(g) | 100 | 106,348 | ||||||
Series K034, Class A2, 3.53%, 07/25/23(g) | 3,900 | 4,199,537 | ||||||
Series K035, Class A2, 3.46%, 08/25/23(g) | 2,000 | 2,153,912 | ||||||
Series K036, Class A2, 3.53%, 10/25/23(g) | 1,200 | 1,301,597 | ||||||
Series K037, Class A2, 3.49%, 01/25/24 | 2,700 | 2,933,207 | ||||||
Series K038, Class A1, 2.60%, 10/25/23 | 76 | 77,806 | ||||||
Series K041, Class A2, 3.17%, 10/25/24 | 7,500 | 8,223,341 | ||||||
Series K052, Class A2, 3.15%, 11/25/25 | 750 | 835,162 | ||||||
Series K063, Class A2, 3.43%, 01/25/27(g) | 5,000 | 5,770,707 | ||||||
Series K066, Class A2, 3.12%, 06/25/27 | 3,500 | 3,967,305 | ||||||
Series K076, Class A2, 3.90%, 04/25/28 | 2,000 | 2,396,559 | ||||||
Series K081, Class A2, 3.90%, 08/25/28(g) | 5,000 | 6,029,820 | ||||||
Series K088, Class A2, 3.69%, 01/25/29 | 500 | 597,039 | ||||||
Series K727, Class A2, 2.95%, 07/25/24 | 5,000 | 5,403,889 | ||||||
Series K730, Class A2, 3.59%, 01/25/25(g) | 9,000 | 9,990,523 | ||||||
Series K734, Class A2, 3.21%, 02/25/26 | 5,700 | 6,357,257 | ||||||
|
| |||||||
126,214,629 | ||||||||
Mortgage-Backed Securities — 28.4% | ||||||||
Freddie Mac Mortgage-Backed Securities | ||||||||
8.00%, 12/01/24 | 48 | 50,951 | ||||||
3.00%, 03/01/27 - 09/01/50 | 125,380 | 132,477,103 | ||||||
2.50%, 07/01/28 - 08/01/50 | 49,601 | 52,573,225 | ||||||
3.50%, 03/01/32 - 06/01/49 | 108,461 | 116,496,177 | ||||||
5.00%, 04/01/33 - 04/01/49 | 5,654 | 6,274,887 | ||||||
4.00%, 05/01/33 - 06/01/50 | 50,169 | 54,083,433 | ||||||
5.50%, 06/01/35 - 01/01/39 | 118 | 138,380 | ||||||
4.50%, 06/01/38 - 01/01/49 | 19,625 | 21,574,107 | ||||||
(12 mo. LIBOR US + 1.50%), 2.37%, 06/01/43(h) | 4 | 4,460 | ||||||
(12 mo. LIBOR US + 1.76%), 2.93%, 08/01/41(h) | 8 | 8,139 | ||||||
(12 mo. LIBOR US + 1.83%), 3.49%, 09/01/40(h) | 16 | 17,044 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
7.50%, 12/15/23 | 36 | 38,302 | ||||||
5.50%, 12/15/32 - 04/20/48 | 416 | 470,656 | ||||||
6.00%, 03/15/35 - 10/20/38 | 127 | 146,425 | ||||||
6.50%, 09/15/36 | 81 | 93,150 | ||||||
4.50%, 07/15/39 - 10/21/50(i) | 57,346 | 61,822,621 | ||||||
5.00%, 11/15/39 - 10/21/50(i) | 21,163 | 23,152,552 | ||||||
4.00%, 03/15/41 - 10/21/50(i) | 118,275 | 126,795,698 | ||||||
3.50%, 09/20/42 - 10/21/50(i) | 248,500 | 264,960,735 | ||||||
3.00%, 01/20/43 - 11/19/50(i)(j) | 333,302 | 350,298,174 |
Security | Par (000) | Value | ||||||
Mortgage-Backed Securities (continued) |
| |||||||
Ginnie Mae Mortgage-Backed Securities (continued) |
| |||||||
2.50%, 05/20/45 - 10/21/50(i) | $ | 93,330 | $ | 98,079,964 | ||||
Uniform Mortgage-Backed Securities | ||||||||
4.50%, 05/01/24 - 10/14/50(i) | 130,173 | 142,156,823 | ||||||
4.00%, 10/01/25 - 02/01/57(i) | 321,986 | 349,158,583 | ||||||
3.50%, 02/01/26 - 11/01/51(i) | 445,796 | 476,354,061 | ||||||
3.00%, 01/01/27 - 10/14/50(i) | 622,709 | 655,633,390 | ||||||
2.50%, 09/01/28 - 11/12/50(i) | 534,095 | 560,180,033 | ||||||
7.00%, 02/01/32 | 11 | 11,631 | ||||||
6.50%, 07/01/32 | 74 | 87,020 | ||||||
5.00%, 11/01/33 - 10/14/50(i) | 43,017 | 47,483,171 | ||||||
6.00%, 03/01/34 - 10/14/50(i) | 10,623 | 12,114,248 | ||||||
1.50%, 10/19/35(i) | 5,350 | 5,474,137 | ||||||
2.00%, 10/19/35 - 10/14/50(i) | 190,700 | 197,526,238 | ||||||
5.50%, 04/01/36 - 10/14/50(i) | 26,915 | 30,090,660 | ||||||
(12 mo. LIBOR US + 1.53%), 3.28%, 04/01/43(h) | 1 | 1,012 | ||||||
(12 mo. LIBOR US + 1.53%), 2.84%, 05/01/43(h) | 99 | 102,730 | ||||||
(12 mo. LIBOR US + 1.54%), 2.42%, 06/01/43(h) | 167 | 172,577 | ||||||
(12 mo. LIBOR US + 1.70%), 2.70%, 08/01/42(h) | 28 | 28,875 | ||||||
(12 mo. LIBOR US + 1.75%), 2.56%, 08/01/41(h) | 7 | 7,335 | ||||||
(12 mo. LIBOR US + 1.83%), 3.77%, 11/01/40(h) | 7 | 6,886 | ||||||
|
| |||||||
3,786,145,593 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 30.7% |
| 4,099,311,578 | ||||||
|
| |||||||
U.S. Treasury Obligations | ||||||||
U.S. Treasury Bonds | ||||||||
5.38%, 02/15/31 | 6,000 | 8,846,016 | ||||||
4.50%, 02/15/36 - 08/15/39(a) | 19,601 | 30,436,410 | ||||||
4.75%, 02/15/37 - 02/15/41(a) | 8,450 | 13,849,923 | ||||||
5.00%, 05/15/37 | 9,000 | 14,596,172 | ||||||
4.38%, 02/15/38 - 05/15/41(a) | 24,810 | 38,877,742 | ||||||
3.50%, 02/15/39 | 6,700 | 9,417,426 | ||||||
4.25%, 05/15/39 - 11/15/40(a) | 19,303 | 29,793,416 | ||||||
4.63%, 02/15/40(a) | 16,230 | 26,170,875 | ||||||
1.13%, 05/15/40 - 08/15/40 | 91,000 | 89,610,781 | ||||||
3.88%, 08/15/40(a) | 3,860 | 5,722,148 | ||||||
3.75%, 08/15/41 - 11/15/43(a) | 58,250 | 86,515,857 | ||||||
3.13%, 11/15/41 - 05/15/48(a) | 82,550 | 113,202,982 | ||||||
3.00%, 05/15/42 - 08/15/48(a) | 96,580 | 130,210,423 | ||||||
2.75%, 08/15/42 - 11/15/47(a) | 97,000 | 125,433,438 | ||||||
2.88%, 05/15/43 - 05/15/49(a) | 70,550 | 93,224,053 | ||||||
3.63%, 08/15/43 - 02/15/44(a) | 18,500 | 27,059,083 | ||||||
3.38%, 05/15/44 - 11/15/48(a) | 22,300 | 32,189,609 | ||||||
2.50%, 02/15/45 - 05/15/46(a) | 67,950 | 84,012,569 | ||||||
2.25%, 08/15/46 - 08/15/49 | 51,500 | 61,184,688 | ||||||
2.38%, 11/15/49 | 27,500 | 33,672,461 | ||||||
2.00%, 02/15/50(a) | 15,000 | 17,017,969 | ||||||
1.25%, 05/15/50(a) | 24,000 | 22,815,000 | ||||||
1.38%, 08/15/50 | 11,200 | 10,991,750 | ||||||
U.S. Treasury Notes | ||||||||
1.13%, 09/30/21 | 20,000 | 20,195,312 | ||||||
2.13%, 09/30/21 - 05/15/25(a) | 266,150 | 279,799,773 |
48 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
U.S. Treasury Obligations (continued) |
| |||||||
1.25%, 10/31/21 - 07/31/23(a) | $ | 12,000 | $ | 12,220,781 | ||||
1.50%, 10/31/21 - 02/15/30(a) | 404,475 | 419,891,074 | ||||||
2.00%, 10/31/21 - 11/15/26(a) | 320,184 | 340,641,050 | ||||||
1.75%, 11/30/21 - 12/31/24(a) | 207,600 | 216,360,438 | ||||||
1.88%, 11/30/21 - 08/31/24(a) | 291,958 | 300,279,922 | ||||||
2.50%, 01/15/22 - 05/15/24(a) | 128,300 | 137,014,867 | ||||||
2.25%, 04/15/22 - 11/15/27(a) | 285,085 | 311,069,858 | ||||||
0.13%, 07/31/22(a) | 70,000 | 70,000,000 | ||||||
1.38%, 10/15/22 - 08/31/26(a) | 153,000 | 158,304,062 | ||||||
7.63%, 11/15/22 - 02/15/25(a) | 3,775 | 4,437,194 | ||||||
0.25%, 04/15/23 - 09/30/25(a) | 213,000 | 213,124,571 | ||||||
1.63%, 04/30/23 - 08/15/29(a) | 264,350 | 283,310,137 | ||||||
2.75%, 04/30/23 - 02/15/28(a) | 348,600 | 379,340,295 | ||||||
2.63%, 06/30/23 - 02/15/29(a) | 83,884 | 93,922,108 | ||||||
6.25%, 08/15/23(a) | 2,050 | 2,409,391 | ||||||
2.88%, 09/30/23 - 08/15/28(a) | 166,600 | 189,675,317 | ||||||
2.38%, 08/15/24 - 05/15/27(a) | 35,500 | 39,697,324 | ||||||
7.50%, 11/15/24(a) | 5,000 | 6,501,953 | ||||||
0.38%, 04/30/25 - 07/31/27(a) | 46,000 | 46,009,766 | ||||||
6.88%, 08/15/25 | 8,000 | 10,559,375 | ||||||
3.00%, 09/30/25 - 10/31/25(a) | 53,000 | 60,182,539 | ||||||
6.00%, 02/15/26(a) | 7,659 | 9,981,286 | ||||||
6.75%, 08/15/26(a) | 7,500 | 10,296,680 | ||||||
6.63%, 02/15/27(a) | 3,500 | 4,877,305 | ||||||
0.50%, 04/30/27 - 08/31/27 | 98,000 | 98,373,672 | ||||||
3.13%, 11/15/28(a) | 30,000 | 36,154,687 | ||||||
5.25%, 11/15/28 - 02/15/29(a) | 14,000 | 19,313,632 | ||||||
6.13%, 08/15/29(a) | 7,500 | 11,115,820 | ||||||
0.63%, 05/15/30 - 08/15/30(a) | 41,000 | 40,819,375 | ||||||
|
| |||||||
Total U.S. Treasury Obligations — 37.0% |
| 4,930,730,355 | ||||||
|
| |||||||
Total Long-Term Investments — 100.6% |
| 13,426,838,829 | ||||||
|
| |||||||
Shares | ||||||||
Short-Term Securities |
| |||||||
Money Market Funds — 25.9% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.34%(k)(l)(m) | 3,447,748,171 | 3,450,851,144 | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.08%(k)(l) | 100,000 | 100,000 | ||||||
|
| |||||||
Total Short-Term Securities — 25.9% |
| 3,450,951,144 | ||||||
|
| |||||||
Total Investments Before TBA Sale Commitments — 126.5% |
| 16,877,789,973 | ||||||
|
|
Security | Par (000) | Value | ||||||
TBA Sale Commitments(i) |
| |||||||
Mortgage-Backed Securities — (1.7)% | ||||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
2.50%, 10/21/50 | $ | (6,625 | ) | $ | (6,957,544 | ) | ||
3.00%, 10/21/50 | (48,025 | ) | (50,284,614 | ) | ||||
Uniform Mortgage-Backed Securities | ||||||||
2.50%, 10/19/35 - 10/14/50 | (107,526 | ) | (112,718,463 | ) | ||||
3.00%, 10/14/50 | (53,735 | ) | (56,290,561 | ) | ||||
4.50%, 10/14/50 | (3,504 | ) | (3,790,342 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (1.7)% |
| (230,041,524 | ) | |||||
|
| |||||||
Total Investments, Net of TBA Sale Commitments — 124.8% |
| 16,647,748,449 | ||||||
Liabilities in Excess of Other Assets — (24.8)% |
| (3,308,339,065 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 13,339,409,384 | ||||||
|
|
(a) | All or a portion of this security is on loan. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(d) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(e) | When-issued security. |
(f) | Security is collateralized by municipal bonds or U.S. Treasury obligations. |
(g) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(h) | Variable rate security. Rate shown is the rate in effect as of period end. |
(i) | Represents or includes a TBA transaction. |
(j) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(k) | Affiliate of the Master Portfolio. |
(l) | Annualized 7-day yield as of period end. |
(m) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
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 | 49 |
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio |
Affiliates
Investments in issuers considered to be affiliate(s) of the Master Portfolio 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 | $ | 2,222,272,575 | $ | 1,224,490,017 | (a) | $ | — | $ | 955,404 | $ | 3,133,148 | $ | 3,450,851,144 | 3,447,748,171 | $ | 15,027,854 | (b) | $ | — | |||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares | 100,000 | — | — | — | — | 100,000 | 100,000 | 411 | — | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 955,404 | $ | 3,133,148 | $ | 3,450,951,144 | $ | 15,028,265 | $ | — | |||||||||||||||||||||||||||||
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(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. |
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) |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Master Portfolio’s investments categorized in the disclosure hierarchy. The breakdown of the Master Portfolio’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 | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 43,995,719 | $ | — | $ | 43,995,719 | ||||||||
Corporate Bonds | — | 3,657,910,051 | — | 3,657,910,051 | ||||||||||||
Foreign Agency Obligations | — | 432,659,890 | — | 432,659,890 | ||||||||||||
Municipal Bonds | — | 91,079,833 | — | 91,079,833 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 168,114,674 | — | 168,114,674 | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 3,036,729 | — | 3,036,729 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 4,099,311,578 | — | 4,099,311,578 | ||||||||||||
U.S. Treasury Obligations | — | 4,930,730,355 | — | 4,930,730,355 |
50 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 | U.S. Total Bond Index Master Portfolio |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | $ | 3,450,951,144 | $ | — | $ | — | $ | 3,450,951,144 | ||||||||
Liabilities | ||||||||||||||||
Investments | ||||||||||||||||
TBA Sale Commitments | — | (230,041,524 | ) | — | (230,041,524 | ) | ||||||||||
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$ | 3,450,951,144 | $ | 13,196,797,305 | $ | — | $ | 16,647,748,449 | |||||||||
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Portfolio Abbreviation
AGM | Assured Guaranty Municipal Corp. | |
ARB | Airport Revenue Bonds | |
BAB | Build America Bond | |
CMT | Constant Maturity Treasury | |
DAC | Designated Activity Company | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate | |
NPFGC | National Public Finance Guarantee Corp. | |
RB | Revenue Bond | |
SAB | Special Assessment Bonds | |
SCA | Svenska Celluosa Aktiebolaget | |
TBA | To-Be-Announced |
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 | 51 |