Schedule of Investments (unaudited) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
2 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
4 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
6 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
8 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
10 |
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
12 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
14 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio (Percentages shown are based on Net Assets) |
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, |
$ | 180,110,053 | $ | | $ | (64,034,051 | )(a) | $ | 147,260 | $ | 34,636 | $ | 116,257,898 | 116,153,360 | $ | 201,216 | (b) | $ | | |||||||||||||||||
BlackRock Cash Funds: Treasury, |
100,000 | | | | | 100,000 | 100,000 | 1,166 | | |||||||||||||||||||||||||||
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|
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|
|||||||||||||||||||||||||||
$ | 147,260 | $ | 34,636 | $ | 116,357,898 | $ | 202,382 | $ | | |||||||||||||||||||||||||||
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|
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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. |
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 rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
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 |
CoreAlpha Bond Master Portfolio |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
Euro BTP |
15 | 12/08/20 | $ | 2,595 | $ | 31,819 | ||||||||||
10-Year Australian T-Bond |
326 | 12/15/20 | 34,883 | 393,081 | ||||||||||||
U.S. Long Treasury Bond |
475 | 12/21/20 | 83,734 | (618,306 | ) | |||||||||||
U.S. Ultra Treasury Bond |
669 | 12/21/20 | 148,393 | (508,091 | ) | |||||||||||
Long Gilt |
281 | 12/29/20 | 49,352 | 118,483 | ||||||||||||
2-Year U.S. Treasury Note |
150 | 12/31/20 | 33,144 | 14,794 | ||||||||||||
5-Year U.S. Treasury Note |
178 | 12/31/20 | 22,434 | 1,591 | ||||||||||||
|
|
|||||||||||||||
(566,629 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
Euro Bund |
211 | 12/08/20 | 43,174 | (107,512 | ) | |||||||||||
Euro OAT |
29 | 12/08/20 | 5,731 | (26,886 | ) | |||||||||||
10-Year Canadian Bond |
251 | 12/18/20 | 28,617 | 31,126 | ||||||||||||
10-Year U.S. Treasury Note |
21 | 12/21/20 | 2,930 | 1,284 | ||||||||||||
10-Year U.S. Ultra Treasury Note |
312 | 12/21/20 | 49,896 | (166,255 | ) | |||||||||||
|
|
|||||||||||||||
(268,243 | ) | |||||||||||||||
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|
|||||||||||||||
$ | (834,872 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 317,464 | EUR | 270,000 | Citibank N.A. | 12/16/20 | $ | 368 | |||||||||||||
USD | 665,282 | EUR | 560,000 | Standard Chartered Bank | 12/16/20 | 7,604 | ||||||||||||||
|
|
|||||||||||||||||||
7,972 | ||||||||||||||||||||
|
|
|||||||||||||||||||
EUR | 8,000,000 | USD | 9,520,528 | Credit Suisse International | 11/05/20 | (134,346 | ) | |||||||||||||
USD | 186,586 | EUR | 160,000 | BNP Paribas S.A. | 12/16/20 | (1,322 | ) | |||||||||||||
USD | 268,293 | EUR | 230,000 | Natwest Markets PLC | 12/16/20 | (1,825 | ) | |||||||||||||
|
|
|||||||||||||||||||
(137,493 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
$ | (129,521 | ) | ||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps Sell Protection
Reference Obligation/Index | |
Financing Rate
Received |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Credit Rating(a) |
|
|
Notional Amount (000) |
(b) |
Value | |
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
| ||||||||||
CDX.NA.HY.34.V9 |
5.00 | % | Quarterly | 06/20/25 | B- | USD 14,182 | $ | 716,718 | $ | 841,607 | $ | (124,889 | ) | |||||||||||||||||||
ITRAXX.XO.34.V1 |
5.00 | Quarterly | 12/20/25 | B | EUR 21,525 | 1,840,773 | 2,129,252 | (288,479 | ) | |||||||||||||||||||||||
|
|
|
|
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|
|||||||||||||||||||||||||||
$ | 2,557,491 | $ | 2,970,859 | $ | (413,368 | ) | ||||||||||||||||||||||||||
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|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Master Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
Centrally Cleared Interest Rate Swaps
Paid by the Master Portfolio | Received by the Master Portfolio |
Effective | Termination | Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
|||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | (a) | Date | Amount (000) |
|
Value | (Received) | (Depreciation) | |||||||||||||||||||||
0.09% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/08/20 | 12/08/22 | GBP | 395,600 | $ | (79,840 | ) | $ | (364,023 | ) | $ | 284,183 | |||||||||||||||||
0.11% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/08/20 | 12/08/22 | GBP | 7,660 | (4,057 | ) | (842 | ) | (3,215 | ) | |||||||||||||||||||
0.24% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 12/08/20 | 12/08/22 | USD | 182,970 | (102,035 | ) | (58,656 | ) | (43,379 | ) |
16 |
|
Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio |
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Master Portfolio | Received by the Master Portfolio |
Effective | Termination | Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
|||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | (a) | Date | Amount (000) |
|
Value | (Received) | (Depreciation) | |||||||||||||||||||||
(0.41%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 12/08/20 | 12/08/25 | EUR | 47,840 | $ | (18,584 | ) | $ | 31,727 | $ | (50,311 | ) | |||||||||||||||||
6-Month GBP LIBOR, 0.09% |
Semi-Annual | 0.22% | Semi-Annual | 12/08/20 | 12/08/25 | GBP | 44,730 | 24,403 | 325,300 | (300,897 | ) | |||||||||||||||||||||
6-Month GBP LIBOR, 0.09% |
Semi-Annual | 0.24% | Semi-Annual | 12/08/20 | 12/08/25 | GBP | 3,110 | 5,169 | 3,316 | 1,853 | ||||||||||||||||||||||
0.39% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 12/08/20 | 12/08/25 | USD | 262,520 | (212,809 | ) | (380,158 | ) | 167,349 | ||||||||||||||||||||
0.19% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/16/20 | 12/16/25 | GBP | 1,330 | 2,200 | 35 | 2,165 | ||||||||||||||||||||||
0.19% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/16/20 | 12/16/25 | GBP | 2,410 | 4,142 | 63 | 4,079 | ||||||||||||||||||||||
0.20% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/16/20 | 12/16/25 | GBP | 1,540 | 1,701 | 40 | 1,661 | ||||||||||||||||||||||
0.20% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/16/20 | 12/16/25 | GBP | 1,160 | 1,319 | 30 | 1,289 | ||||||||||||||||||||||
6-Month WIBOR, 0.16% |
Semi-Annual | 0.56% | Annual | 12/16/20 | 12/16/25 | PLN | 6,890 | 1,870 | 33 | 1,837 | ||||||||||||||||||||||
1-Month MXIBOR, 4.55% |
Monthly | 5.00% | Monthly | 03/17/21 | 03/11/26 | MXN | 38,480 | (18,277 | ) | 34 | (18,311 | ) | ||||||||||||||||||||
1-Month MXIBOR, 4.55% |
Monthly | 5.14% | Monthly | 03/17/21 | 03/11/26 | MXN | 53,740 | (10,261 | ) | 44 | (10,305 | ) | ||||||||||||||||||||
1-Month MXIBOR, 4.55% |
Monthly | 5.17% | Monthly | 03/17/21 | 03/11/26 | MXN | 93,410 | (12,062 | ) | 79 | (12,141 | ) | ||||||||||||||||||||
(0.41%) | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 03/17/21 | 03/17/26 | EUR | 17,160 | 4,398 | 49 | 4,349 | ||||||||||||||||||||||
0.36% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 03/17/21 | 03/17/26 | USD | 2,290 | 3,781 | 47 | 3,734 | ||||||||||||||||||||||
6-Month BBR, 0.80% |
Semi-Annual | 0.36% | Semi-Annual | 03/17/21 | 03/17/26 | AUD | 2,780 | (1,675 | ) | 40 | (1,715 | ) | ||||||||||||||||||||
0.37% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 03/17/21 | 03/17/26 | USD | 2,350 | 2,767 | 48 | 2,719 | ||||||||||||||||||||||
0.37% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 03/17/21 | 03/17/26 | USD | 1,950 | 1,907 | 40 | 1,867 | ||||||||||||||||||||||
0.38% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 03/17/21 | 03/17/26 | USD | 4,360 | 3,830 | 89 | 3,741 | ||||||||||||||||||||||
6-Month BBR, 0.80% |
Semi-Annual | 0.38% | Semi-Annual | 03/17/21 | 03/17/26 | AUD | 2,750 | 698 | 40 | 658 | ||||||||||||||||||||||
0.42% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 03/17/21 | 03/17/26 | USD | 7,880 | (9,186 | ) | (14,333 | ) | 5,147 | ||||||||||||||||||||
6-Month BBR, 0.80% |
Semi-Annual | 0.42% | Semi-Annual | 03/17/21 | 03/17/26 | AUD | 20,260 | 35,874 | 298 | 35,576 | ||||||||||||||||||||||
0.59% | Semi-Annual | 6-Month SIBOR, 0.59% | Semi-Annual | 03/17/21 | 03/17/26 | SGD | 13,355 | (28,703 | ) | 179 | (28,882 | ) | ||||||||||||||||||||
0.60% | Semi-Annual | 6-Month SIBOR, 0.59% | Semi-Annual | 03/17/21 | 03/17/26 | SGD | 13,355 | (32,134 | ) | 180 | (32,314 | ) | ||||||||||||||||||||
0.70% | Quarterly | 3-Month HIBOR, 0.61% | Quarterly | 03/17/21 | 03/17/26 | HKD | 111,370 | (68,346 | ) | 293 | (68,639 | ) | ||||||||||||||||||||
3-Month JIBAR, 3.35% |
Quarterly | 5.36% | Quarterly | 03/17/21 | 03/17/26 | ZAR | 164,460 | (17,042 | ) | 178 | (17,220 | ) | ||||||||||||||||||||
3-Month JIBAR, 3.35% |
Quarterly | 5.45% | Quarterly | 03/17/21 | 03/17/26 | ZAR | 37,650 | 5,130 | 41 | 5,089 | ||||||||||||||||||||||
3-Month JIBAR, 3.35% |
Quarterly | 5.46% | Quarterly | 03/17/21 | 03/17/26 | ZAR | 32,750 | 5,535 | 35 | 5,500 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.20%) | Annual | 12/08/20 | 12/08/30 | EUR | 23,790 | 49,402 | (35,563 | ) | 84,965 | |||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.18%) | Annual | 12/08/20 | 12/08/30 | EUR | 24,150 | 117,446 | 85,542 | 31,904 | ||||||||||||||||||||||
6-Month EURIBOR, (0.48%) |
Semi-Annual | (0.13%) | Annual | 12/08/20 | 12/08/30 | EUR | 23,190 | 244,597 | 163,989 | 80,608 | ||||||||||||||||||||||
6-Month GBP LIBOR, 0.09% |
Semi-Annual | 0.43% | Semi-Annual | 12/08/20 | 12/08/30 | GBP | 11,690 | 179,587 | 500,993 | (321,406 | ) | |||||||||||||||||||||
6-Month GBP LIBOR, 0.09% |
Semi-Annual | 0.47% | Semi-Annual | 12/08/20 | 12/08/30 | GBP | 9,470 | 74,665 | 66,513 | 8,152 | ||||||||||||||||||||||
3-Month LIBOR, 0.23% |
Quarterly | 0.75% | Semi-Annual | 12/08/20 | 12/08/30 | USD | 15,320 | 400,772 | 1,024,883 | (624,111 | ) | |||||||||||||||||||||
0.06% | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 12/08/20 | 12/08/50 | EUR | 7,900 | (196,944 | ) | (103,491 | ) | (93,453 | ) | |||||||||||||||||||
0.11% | Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | 12/08/20 | 12/08/50 | EUR | 8,120 | (361,005 | ) | (226,213 | ) | (134,792 | ) | |||||||||||||||||||
0.61% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/08/20 | 12/08/50 | GBP | 24,550 | (273,852 | ) | (604,908 | ) | 331,056 | ||||||||||||||||||||
0.66% | Semi-Annual | 6-Month GBP LIBOR, 0.09% | Semi-Annual | 12/08/20 | 12/08/50 | GBP | 3,100 | (100,318 | ) | (63,450 | ) | (36,868 | ) | |||||||||||||||||||
1.09% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 12/08/20 | 12/08/50 | USD | 36,090 | 190,763 | (590,589 | ) | 781,352 | |||||||||||||||||||||
|
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|
|
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|
|||||||||||||||||||||||||||
$ | (185,174 | ) | $ | (238,048 | ) | $ | 52,874 | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
OTC Interest Rate Swaps
Paid by the Master Portfolio | Received by the Master Portfolio |
|
Effective | Termination | Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Date | (a) | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||||
3-Month KRW CDC, 0.68% |
Quarterly | 1.00% | Quarterly | Citibank N.A. | 03/17/21 | 03/17/26 | KRW | 32,294,095 | $ | 113,695 | $ | | $ | 113,695 | ||||||||||||||||||||||||
3-Month KRW CDC, 0.68% |
Quarterly | 1.01% | Quarterly | Bank of America N.A. | 03/17/21 | 03/17/26 | KRW | 23,780,795 | 88,877 | | 88,877 | |||||||||||||||||||||||||||
3-Month KRW CDC, 0.68% |
Quarterly | 0.99% | Quarterly | Citibank N.A. | 03/17/21 | 03/17/26 | KRW | 1,180,820 | 3,601 | | 3,601 | |||||||||||||||||||||||||||
3-Month KRW CDC, 0.68% |
Quarterly | 0.92% | Quarterly | Bank of America N.A. | 03/17/21 | 03/17/26 | KRW | 1,429,950 | 39 | | 39 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | 206,212 | $ | | $ | 206,212 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
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 |
CoreAlpha Bond Master Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
| Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other 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 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 Portfolios policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following tables summarize the Master Portfolios investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Master Portfolios 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 |
$ | | $ | 245,989,086 | $ | | $ | 245,989,086 | ||||||||
Common Stocks |
| | 1 | 1 | ||||||||||||
Corporate Bonds |
| 891,656,881 | | 891,656,881 | ||||||||||||
Foreign Agency Obligations |
| 4,735,161 | | 4,735,161 | ||||||||||||
Municipal Bonds |
| 14,457,620 | | 14,457,620 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 136,224,489 | | 136,224,489 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 833,063,140 | | 833,063,140 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
116,357,898 | | | 116,357,898 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
TBA Sale Commitments |
| (94,234,854 | ) | | (94,234,854 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 116,357,898 | $ | 2,031,891,523 | $ | 1 | 2,148,249,422 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | | $ | 7,972 | $ | | $ | 7,972 | ||||||||
Interest Rate Contracts |
592,178 | 2,057,045 | | 2,649,223 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
| (413,368 | ) | | (413,368 | ) | ||||||||||
Foreign Currency Exchange Contracts |
| (137,493 | ) | | (137,493 | ) | ||||||||||
Interest Rate Contracts |
(1,427,050 | ) | (1,797,959 | ) | | (3,225,009 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (834,872 | ) | $ | (283,803 | ) | $ | | $ | (1,118,675 | ) | ||||||
|
|
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(a) | 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. |
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Schedule of Investments (unaudited) (continued) September 30, 2020 |
CoreAlpha Bond Master Portfolio |
Currency Abbreviation | ||
AUD | Australian Dollar | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
PLN | Polish Zloty | |
SGD | Singapore Dollar | |
USD | United States Dollar | |
ZAR | South African Rand | |
Portfolio Abbreviation | ||
ARB | Airport Revenue Bonds | |
BBR | Bank Bill Rate | |
CMT | Constant Maturity Treasury | |
EURIBOR | Euro Interbank Offered Rate | |
GO | General Obligation Bonds | |
HIBOR | Hong Kong Interbank Offered Rate | |
JIBAR | Johannesburg Interbank Average Rate | |
LIBOR | London Interbank Offered Rate | |
MXIBOR | Mexico Interbank Offered Rate | |
RB | Revenue Bond | |
SIBOR | Singapore Interbank Offered Rate | |
TBA | To-Be-Announced | |
WIBOR | Warsaw Interbank Offered Rate |
S C H E D U L E O F I N V E S T M E N T S |
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