Schedule of Investments (unaudited) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
1 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
2 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
6 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
8 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
9 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
10 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
15 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
16 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
17 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
18 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
(a) | Variable rate security. Rate shown is the rate in effect as of period end. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | 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. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Security, or a portion of the security, is on loan. |
(f) | 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. |
(g) | Represents or includes a TBA transaction. |
(h) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(i) | Annualized 7-day yield as of period end. |
(j) | All or a portion of the security was purchased with the cash collateral from loaned securities. |
(k) | Investments in issuers considered to be an affiliate/affiliates of the Master Portfolio during the period ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliated Issuer | Shares Held at 12/31/19 |
Shares Purchased |
Shares Sold |
Shares Held at 03/31/20 |
Value at 03/31/20 |
Income | Net Realized Gain (Loss) (a) |
Change in Unrealized Appreciation (Depreciation) |
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BlackRock Cash Funds: Institutional, |
180,038,038 | | (23,780,602 | )(b) | 156,257,436 | $ | 156,226,185 | $ | 444,405 | (c) | $ | (23,371 | ) | $ | 45,884 | |||||||||||||||||
BlackRock Cash Funds: Treasury, |
100,000 | | | 100,000 | 100,000 | 3,959 | | | ||||||||||||||||||||||||
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$ | 156,326,185 | $ | 448,364 | $ | (23,371 | ) | $ | 45,884 | ||||||||||||||||||||||||
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(a) | Includes net capital gain distributions, if applicable. |
(b) | Represents net shares purchased (sold). |
(c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Master Portfolio compliance purposes, the Master Portfolios industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
19 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Currency Abbreviations | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
USD | United States Dollar | |
ZAR | South African Rand | |
Portfolio Abbreviations | ||
ARB | Airport Revenue Bonds | |
EURIBOR | Euro Interbank Offered Rate | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate | |
RB | Revenue Bonds | |
S&P | Standard & Poors |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
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Long Contracts |
172 | 06/15/20 | $ | 15,934 | $ | 354,181 | ||||||||||
10-Year Canada Bond |
242 | 06/19/20 | 25,302 | 96,166 | ||||||||||||
10-Year U.S. Treasury Note |
305 | 06/19/20 | 42,300 | 191,253 | ||||||||||||
U.S. Long Treasury Bond |
148 | 06/19/20 | 26,501 | (65,774 | ) | |||||||||||
U.S. Ultra Long Treasury Bond |
758 | 06/19/20 | 168,181 | 10,727,701 | ||||||||||||
2-Year U.S. Treasury Note |
45 | 06/30/20 | 9,917 | 12,770 | ||||||||||||
5-Year U.S. Treasury Note |
718 | 06/30/20 | 90,008 | 24,460 | ||||||||||||
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11,340,757 | ||||||||||||||||
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Short Contracts |
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Euro Bund Futures |
191 | 06/08/20 | 36,340 | 229,747 | ||||||||||||
10-Year U.S. Ultra Long Treasury Note |
78 | 06/19/20 | 12,170 | (516,294 | ) | |||||||||||
Long Gilt Future |
215 | 06/26/20 | 36,370 | (36,285 | ) | |||||||||||
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(322,832 | ) | |||||||||||||||
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$ | 11,017,925 | |||||||||||||||
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20 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
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USD | 610,959 | EUR | 550,000 | Barclays Bank PLC | 06/17/20 | $ | 2,602 | |||||||||||||
USD | 680,459 | EUR | 620,000 | Deutsche Bank AG | 06/17/20 | (5,325 | ) | |||||||||||||
USD | 132,588 | EUR | 120,000 | JPMorgan Chase Bank N.A. | 06/17/20 | (144 | ) | |||||||||||||
USD | 731,096 | EUR | 680,000 | Natwest Markets PLC | 06/17/20 | (21,055 | ) | |||||||||||||
USD | 1,384,868 | EUR | 1,290,000 | Natwest Markets PLC | 06/17/20 | (42,007 | ) | |||||||||||||
USD | 146,698 | HKD | 1,140,000 | HSBC Bank PLC | 06/17/20 | (304 | ) | |||||||||||||
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(68,835 | ) | |||||||||||||||||||
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Net unrealized depreciation | $ | (66,233 | ) | |||||||||||||||||
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Centrally Cleared Credit Default Swaps Buy Protection
Reference Obligation/Index | Financing Rate Paid by the Master Portfolio |
Payment Frequency |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
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CDX.NA.HY.34.V1 |
5.00 | % | Quarterly | 06/20/25 | USD | 4,170 | $ | 260,764 | $ | 220,989 | $ | 39,775 | ||||||||||||||||||||
ITRAXX.XO.33.V1 |
5.00 | Quarterly | 06/20/25 | EUR | 4,860 | 152,999 | 125,086 | 27,913 | ||||||||||||||||||||||||
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$ | 413,763 | $ | 346,075 | $ | 67,688 | |||||||||||||||||||||||||||
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Centrally Cleared Interest Rate Swaps
Paid by the Master Portfolio |
Received by the Master Portfolio |
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|
Upfront (Received) |
Unrealized (Depreciation) |
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Rate | Frequency | Rate | Frequency | Effective Date |
Termination Date |
Notional Amount (000) |
Value | |||||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.36)% | Monthly | NA | 02/04/22 | EUR | 21,020 | $ | (12,744 | ) | $ | 674 | $ | (13,418 | ) | |||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.41) | Monthly | NA | 03/03/22 | EUR | 33,980 | (49,848 | ) | 17,679 | (67,527 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.44) | Monthly | NA | 03/04/22 | EUR | 78,580 | (158,484 | ) | 61,184 | (219,668 | ) | ||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.47) | Monthly | NA | 03/05/22 | EUR | 32,180 | (83,443 | ) | (15,006 | ) | (68,437 | ) | |||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.48) | Monthly | NA | 03/06/22 | EUR | 25,270 | (71,391 | ) | (2,058 | ) | (69,333 | ) | |||||||||||||||||||
0.44 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | NA | 03/19/22 | USD | 15,860 | (2,771 | ) | 269 | (3,040 | ) | ||||||||||||||||||||
0.52 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/19/22 | GBP | 47,094 | (29,412 | ) | (27,642 | ) | (1,770 | ) | |||||||||||||||||||
0.52 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/19/22 | GBP | 6,026 | (3,757 | ) | (5,293 | ) | 1,536 | ||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 0.44 | Semi-Annual | NA | 03/19/22 | USD | 15,860 | 2,771 | 5,409 | (2,638 | ) | |||||||||||||||||||||
0.61 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/20/22 | GBP | 30,111 | (87,291 | ) | (56,106 | ) | (31,185 | ) | |||||||||||||||||||
0.61 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/20/22 | GBP | 6,949 | (20,145 | ) | (14,278 | ) | (5,867 | ) |
21 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Master Portfolio |
Received by the Master Portfolio |
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Upfront (Received) |
Unrealized (Depreciation) |
| ||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Effective Date |
Termination Date |
Notional Amount (000) |
Value | |||||||||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.30)% | Monthly | NA | 03/26/22 | EUR | 6,450 | $ | 3,463 | $ | (2,733 | ) | $ | 6,196 | ||||||||||||||||||||||
0.50 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/31/22 | GBP | 8,105 | (513 | ) | 113 | (626 | ) | ||||||||||||||||||||||||
0.51 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | NA | 03/31/22 | GBP | 7,205 | (679 | ) | 760 | (1,439 | ) | ||||||||||||||||||||||||
(0.32) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | EUR | 141,577 | 986 | 180,001 | (179,015 | ) | ||||||||||||||||||||||||
(0.32) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | EUR | 141,577 | 987 | 139,563 | (138,576 | ) | ||||||||||||||||||||||||
0.44 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | GBP | 62,776 | 49,563 | 15,366 | 34,197 | |||||||||||||||||||||||||
0.48 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | GBP | 60,340 | (9,499 | ) | (106,085 | ) | 96,586 | |||||||||||||||||||||||
0.50 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | GBP | 61,472 | (36,808 | ) | 17,978 | (54,786 | ) | |||||||||||||||||||||||
0.62 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/22 | GBP | 104,168 | (382,161 | ) | (60,405 | ) | (321,756 | ) | ||||||||||||||||||||||
0.49 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/22 | USD | 44,048 | (120,864 | ) | (74,379 | ) | (46,485 | ) | ||||||||||||||||||||||
1.19 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/22 | USD | 72,785 | (1,215,273 | ) | (97,077 | ) | (1,118,196 | ) | ||||||||||||||||||||||
1.18 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/25 | USD | 68,850 | (2,364,120 | ) | (1,023,229 | ) | (1,340,891 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.42) | Monthly | 06/08/20 | (a) | 06/08/25 | EUR | 117,416 | (1,320,493 | ) | (79,646 | ) | (1,240,847 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.11) | Monthly | 06/08/20 | (a) | 06/08/25 | EUR | 56,411 | 339,950 | (172,708 | ) | 512,658 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | (0.11) | Monthly | 06/08/20 | (a) | 06/08/25 | EUR | 56,411 | 339,950 | 204 | 339,746 | |||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.49 | Semi-Annual | 06/08/20 | (a) | 06/08/25 | GBP | 24,024 | (44,311 | ) | 10,774 | (55,085 | ) | |||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.50 | Semi-Annual | 06/08/20 | (a) | 06/08/25 | GBP | 24,992 | (32,750 | ) | 82,857 | (115,607 | ) | |||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.63 | Semi-Annual | 06/08/20 | (a) | 06/08/25 | GBP | 25,632 | 174,730 | (15,299 | ) | 190,029 | ||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.64 | Semi-Annual | 06/08/20 | (a) | 06/08/25 | GBP | 41,740 | 293,076 | 62,714 | 230,362 | |||||||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 0.78 | Semi-Annual | 06/08/20 | (a) | 06/08/25 | USD | 17,743 | 259,496 | 145,613 | 113,883 | |||||||||||||||||||||||||
1-Month MXIBOR, 6.71% |
Annual | 6.58 | Annual | 09/17/20 | (a) | 09/11/25 | MXN | 204,160 | 28,856 | 163 | 28,693 | |||||||||||||||||||||||||
0.94 | Monthly | 6-Month WIBOR, 1.09% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | PLN | 32,810 | (25,834 | ) | 142 | (25,976 | ) | |||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 7.97 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 47,488 | 91,235 | 50 | 91,185 |
22 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Master Portfolio |
Received by the Master Portfolio |
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Upfront (Received) |
Unrealized (Depreciation) |
| ||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Effective Date |
Termination Date |
Notional Amount (000) |
Value | |||||||||||||||||||||||||||||
6-Month CAD BA, 2.07% |
Semi-Annual | 0.78% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | CAD | 12,180 | $ | (85,726 | ) | $ | (17,610 | ) | $ | (68,116 | ) | |||||||||||||||||||
(0.08) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | EUR | 6,740 | (47,063 | ) | (4,012 | ) | (43,051 | ) | ||||||||||||||||||||||
(0.22) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | EUR | 25,460 | 18,183 | (1,945 | ) | 20,128 | ||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.67 | Semi-Annual | 09/16/20 | (a) | 09/16/25 | GBP | 8,570 | 81,564 | (51 | ) | 81,615 | ||||||||||||||||||||||||
0.86 | Monthly | 6-Month WIBOR, 1.09% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | PLN | 30,625 | 7,132 | 137 | 6,995 | |||||||||||||||||||||||||
0.94 | Monthly | 6-Month WIBOR, 1.09% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | PLN | 27,150 | (19,974 | ) | 118 | (20,092 | ) | |||||||||||||||||||||||
3-Month STIBOR, 0.31% |
Quarterly | 0.34 | Monthly | 09/16/20 | (a) | 09/16/25 | SEK | 33,450 | 22,117 | 66 | 22,051 | |||||||||||||||||||||||||
3-Month STIBOR, 0.31% |
Quarterly | 0.35 | Monthly | 09/16/20 | (a) | 09/16/25 | SEK | 37,500 | 26,631 | 2,815 | 23,816 | |||||||||||||||||||||||||
1.56 | Semi-Annual | 6-Month SIBOR, 6.71% | Semi-Annual | 09/16/20 | (a) | 09/16/25 | SGD | 6,760 | (120,702 | ) | 86 | (120,788 | ) | |||||||||||||||||||||||
0.56 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 09/16/20 | (a) | 09/16/25 | USD | 1,920 | (5,997 | ) | 39 | (6,036 | ) | |||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 7.22 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 143,090 | 19,598 | 147 | 19,451 | |||||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 7.98 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 49,607 | 96,487 | 52 | 96,435 | |||||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 8.06 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 43,835 | 93,602 | 46 | 93,556 | |||||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 8.09 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 147,820 | 326,195 | 164 | 326,031 | |||||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 8.15 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 32,130 | 75,487 | 33 | 75,454 | |||||||||||||||||||||||||
3-Month JIBAR, 5.61% |
Quarterly | 8.16 | Quarterly | 09/16/20 | (a) | 09/16/25 | ZAR | 74,970 | 177,921 | 78 | 177,843 | |||||||||||||||||||||||||
(0.15) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | NA | 03/03/30 | EUR | 4,720 | 60,491 | (22,344 | ) | 82,835 | |||||||||||||||||||||||||
(0.19) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | NA | 03/04/30 | EUR | 6,810 | 117,450 | (31,289 | ) | 148,739 | |||||||||||||||||||||||||
(0.20) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | NA | 03/05/30 | EUR | 3,160 | 57,602 | 10,056 | 47,546 | ||||||||||||||||||||||||||
(0.21) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | NA | 03/06/30 | EUR | 3,280 | 64,762 | 3,769 | 60,993 | ||||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.88 | Semi-Annual | NA | 03/19/30 | GBP | 2,720 | 97,729 | 94,237 | 3,492 | ||||||||||||||||||||||||||
0.77 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | NA | 03/19/30 | USD | 1,390 | (9,302 | ) | 4,094 | (13,396 | ) | ||||||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 0.77 | Semi-Annual | NA | 03/19/30 | USD | 1,390 | 9,302 | 31 | 9,271 | ||||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.91 | Semi-Annual | NA | 03/20/30 | GBP | 6,140 | 239,191 | 128,799 | 110,392 | ||||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.57 | Semi-Annual | NA | 03/24/30 | GBP | 220 | (345 | ) | 22 | (367 | ) |
23 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Master Portfolio |
Received by the Master Portfolio |
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Upfront (Received) |
Unrealized (Depreciation) |
|
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Rate | Frequency | Rate | Frequency | Effective Date |
Termination Date |
Notional Amount (000) |
Value | |||||||||||||||||||||||||||||||
0.03% | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | NA | 03/26/30 | EUR | 280 | $ | (1,787 | ) | $ | 1,927 | $ | (3,714 | ) | |||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.59 | Semi-Annual | NA | 03/30/30 | GBP | 1,270 | (68 | ) | 5,104 | (5,172 | ) | ||||||||||||||||||||||||||
6-Month GBP LIBOR, 1.18% |
Semi-Annual | 0.57 | Semi-Annual | NA | 03/31/30 | GBP | 1,510 | (3,817 | ) | (243 | ) | (3,574 | ) | |||||||||||||||||||||||||
(0.20) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 06/08/20 | (a) | 06/08/30 | EUR | 33,723 | 731,292 | 42,314 | 688,978 | |||||||||||||||||||||||||||
(0.20) | Monthly | 6-Month EURIBOR, (0.29)% | Semi-Annual | 06/08/20 | (a) | 06/08/30 | EUR | 59,025 | 1,279,960 | 74,061 | 1,205,899 | |||||||||||||||||||||||||||
0.50 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/30 | GBP | 1,270 | 13,418 | 6,748 | 6,670 | |||||||||||||||||||||||||||
0.74 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/30 | GBP | 6,480 | (117,100 | ) | (1,973 | ) | (115,127 | ) | ||||||||||||||||||||||||
0.89 | Semi-Annual | 6-Month GBP LIBOR, 1.18% | Semi-Annual | 06/08/20 | (a) | 06/08/30 | GBP | 7,780 | (288,108 | ) | 70,051 | (358,159 | ) | |||||||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 0.81 | Semi-Annual | 06/08/20 | (a) | 06/08/30 | USD | 11,760 | 128,513 | 32,072 | 96,441 | |||||||||||||||||||||||||||
0.93 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/30 | USD | 9,403 | (212,711 | ) | 167,234 | (379,945 | ) | |||||||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 1.10 | Semi-Annual | 06/08/20 | (a) | 06/08/30 | USD | 7,154 | 279,439 | 18,367 | 261,072 | |||||||||||||||||||||||||||
3-Month LIBOR, 1.45% |
Quarterly | 1.30 | Semi-Annual | 06/08/20 | (a) | 06/08/30 | USD | 42,610 | 2,522,670 | 211,595 | 2,311,075 | |||||||||||||||||||||||||||
6-Month EURIBOR, (0.29)% |
Semi-Annual | 0.11 | Monthly | 06/08/20 | (a) | 06/08/50 | EUR | 11,292 | (233,822 | ) | (30,006 | ) | (203,816 | ) | ||||||||||||||||||||||||
0.86 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/50 | USD | 4,100 | 34,172 | (53,174 | ) | 87,346 | ||||||||||||||||||||||||||
1.28 | Semi-Annual | 3-Month LIBOR, 1.45% | Quarterly | 06/08/20 | (a) | 06/08/50 | USD | 2,440 | (258,578 | ) | (9,106 | ) | (249,472 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | 688,280 | $ | (307,922 | ) | $ | 996,202 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward swap. |
24 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
OTC Interest Rate Swaps
Paid by the Master Portfolio | Received by the Master Portfolio |
|
|
|
|
|
Upfront (Received) |
Unrealized (Depreciation) |
| |||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Effective Date |
Date | Notional Amount (000) |
Value | ||||||||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.30% | Quarterly | Citibank N.A. | NA | 03/18/25 | KRW | 5,206,267 | $ | 53,881 | $ | | $ | 53,881 | ||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.07 | Quarterly | JPMorgan Chase Bank+ N.A. | NA | 03/18/25 | KRW | 4,838,400 | 5,179 | | 5,179 | |||||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.07 | Quarterly | Bank of America N.A. | NA | -03/18/25 | KRW | 3,784,704 | 3,975 | | 3,975 | |||||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.06 | Quarterly | JPMorgan Chase Bank N.A. | NA | 03/18/25 | KRW | 4,816,896 | 3,698 | | 3,698 | |||||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.25 | Quarterly | Bank of America N.A. | NA | 03/18/25 | KRW | 657,685 | 5,493 | | 5,493 | |||||||||||||||||||||||||||||||
3-Month KRW CDC, 1.18% |
Quarterly | 1.26 | Quarterly | Citibank N.A. | NA | 03/18/25 | KRW | 4,434,968 | 39,189 | | 39,189 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
$ | 111,415 | $ | | $ | 111,415 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 marketcorroborated 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 Committees (the Global Valuation Committees) assumptions used in determining the fair value of investments and derivative 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 investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolios policy regarding valuation of investments and derivative financial instruments, refer to the Master Portfolios most recent financial statements as contained in its annual report.
25 |
Schedule of Investments (unaudited) (continued) March 31, 2020 |
CoreAlpha Bond Master Portfolio |
Fair Value Hierarchy as of Period End (continued)
The following tables summarize the Master Portfolios investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments: |
| |||||||||||||||
Long-Term Investments: |
| |||||||||||||||
Asset-Backed Securities |
$ | | $ | 277,297,080 | $ | 3,170,676 | $ | 280,467,756 | ||||||||
Corporate Bonds(a) |
| 827,642,357 | | 827,642,357 | ||||||||||||
Foreign Agency Obligations(a) |
| 9,681,455 | | 9,681,455 | ||||||||||||
Municipal Bonds(a) |
| 11,659,056 | | 11,659,056 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 159,979,010 | | 159,979,010 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 843,370,789 | | 843,370,789 | ||||||||||||
Short-Term Securities |
156,326,185 | | | 156,326,185 | ||||||||||||
Liabilities: |
| |||||||||||||||
Investments: |
| |||||||||||||||
TBA Sale Commitments |
| (127,976,301 | ) | | (127,976,301 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 156,326,185 | $ | 2,001,653,446 | $ | 3,170,676 | $ | 2,161,150,307 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments(b) |
| |||||||||||||||
Assets: |
| |||||||||||||||
Credit contracts |
$ | | $ | 67,688 | $ | | $ | 67,688 | ||||||||
Foreign currency exchange contracts |
| 2,602 | | 2,602 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Interest rate contracts |
11,636,278 | 7,820,610 | | 19,456,888 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities: |
| |||||||||||||||
Foreign currency exchange contracts |
| (68,835 | ) | | (68,835 | ) | ||||||||||
Interest rate contracts |
(618,353 | ) | (6,712,993 | ) | | (7,331,346 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 11,017,925 | $ | 1,109,072 | $ | | $ | 12,126,997 | |||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry/country/state or political subdivision. |
(b) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
26 |