CoreAlpha Bond Master Portfolio

0001752724-21-255771.txt : 20211124 0001752724-21-255771.hdr.sgml : 20211124 20211124111743 ACCESSION NUMBER: 0001752724-21-255771 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211124 PERIOD START: 20211231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlackRock Funds VI CENTRAL INDEX KEY: 0001738080 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23344 FILM NUMBER: 211442897 BUSINESS ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 800-441-7762 MAIL ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809

0001738080 S000062373 BlackRock Advantage CoreAlpha Bond Fund

C000202336 Investor A Shares

C000202337 Investor C Shares

C000202338 Institutional Shares

C000202339 Class K Shares

NPORT-P 1 primary_doc.xml NPORT-P false 0001738080 XXXXXXXX S000062373 C000202337 C000202336 C000202339 C000202338 BlackRock Funds VI 811-23344 0001738080 549300KV6WGZIWO78K31 100 Bellevue Parkway Wilmington 19809 800-441-7762 BlackRock CoreAlpha Bond Fund S000062373 5493006URKRO8T23MI88 2021-12-31 2021-09-30 N 1425826119.02 2643687.88 1423182431.14 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N MASTER INVESTMENT PORTFOLIO 5493004HQXF0DFT60U28 CoreAlpha Bond Master Portfolio 000000000 130078253.80000000 NS USD 1425651548.00000000 100.1734926461 Long EC RF US N N/A N N N 2021-10-29 BlackRock Funds VI Ann Frechette Ann Frechette Assistant Treasurer XXXX NPORT-EX 2 NPORT_0CHU_39232888_0921.htm BlackRock CoreAlpha Bond Fund

Schedule of Investments (unaudited)

September 30, 2021

BlackRock CoreAlpha Bond Fund

(Percentages shown are based on Net Assets)


Mutual Fund	Value


CoreAlpha Bond Fund of Master Investment Portfolio	$	1,425,742,214


Total Investments — 100.0% (Cost: $1,407,747,482)		1,425,742,214

Liabilities in Excess of Other Assets — (0.0)%		(348,816	)


Net Assets — 100.0%	$	1,425,393,398

BlackRock CoreAlpha Bond Fund (the “Fund”) seeks to achieve its investment objective by investing all of its assets in CoreAlpha Bond Master Portfolio (the “Master Portfolio”), which has the same investment objective and strategies as the Fund. As of September 30, 2021, the value of the investment and the percentage owned by the Fund of the Master Portfolio was $1,425,742,214 and 91.5%, respectively.

The Fund records its investment in the Master Portfolio at fair value. The Fund’s investment in the Master Portfolio is valued pursuant to the pricing policies approved by the Board of Trustees of the 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 Fund has the ability to access;

•

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

•

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, refer to the Fund’s most recent financial statements.

Certain investments of the Fund were fair valued using net asset value per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.


1

Schedule of Investments (unaudited)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Asset-Backed Securities
ACC Auto Trust, Series 2021-A, Class A, 1.08%, 04/15/27^(a)	$	4,819	$	4,823,425
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.18%, 07/18/23		1,270		1,285,427
Avant Loans Funding Trust^(a)
Series 2020-REV1, Class A, 2.17%, 05/15/29		8,630		8,673,506
Series 2021-REV1, Class A, 1.21%, 07/15/30		5,460		5,461,927
Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 02/15/24^(a)		159		158,852
Carvana Auto Receivables Trust
Series 2021-N2, Class B, 0.75%, 03/10/28		1,502		1,498,169
Series 2021-N2, Class C, 1.07%, 03/10/28		3,686		3,690,154
Chase Funding Trust, Series 2004-2, Class 2A2, (1 mo. LIBOR US + 0.50%), 0.59%, 02/26/35^(b)		120		117,470
College Loan Corp. Trust I, Series 2004-1, Class A4, (3 mo. LIBOR US + 0.19%), 0.32%, 04/25/24^(b)		420		420,174
Conseco Finance Corp., Series 1996-9, Class M1, 7.63%, 08/15/27^(b)		27		28,083
Consumer Loan Underlying Bond CLUB Credit Trust^(a)
Series 2019-HP1, Class A, 2.59%, 12/15/26		1,555		1,565,164
Series 2020-P1, Class A, 2.26%, 03/15/28		738		739,039
Countrywide Asset-Backed Certificates, Series 2004-1, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 03/25/34^(b)		8		7,987
Drive Auto Receivables Trust
Series 2017-1, Class D, 3.84%, 03/15/23		54		53,883
Series 2017-2, Class D, 3.49%, 09/15/23		89		89,605
Series 2017-3, Class D, 3.53%, 12/15/23^(a)		1,154		1,160,203
Series 2018-3, Class D, 4.30%, 09/16/24		3,032		3,083,780
Series 2018-4, Class D, 4.09%, 01/15/26		1,197		1,224,435
Series 2019-2, Class C, 3.42%, 06/16/25		6,089		6,155,038
Series 2020-1, Class C, 2.36%, 03/16/26		7,240		7,339,951
Series 2020-2, Class A3, 0.83%, 05/15/24		717		717,849
Series 2020-2, Class B, 1.42%, 03/17/25		2,950		2,966,055
Series 2020-2, Class C, 2.28%, 08/17/26		1,890		1,924,832
Series 2021-1, Class C, 1.02%, 06/15/27		6,240		6,265,503
DT Auto Owner Trust^(a)
Series 2019-3A, Class C, 2.74%, 04/15/25		2,772		2,797,994
Series 2020-2A, Class A, 1.14%, 01/16/24		723		724,035
Exeter Automobile Receivables Trust
Series 2020-1A, Class B, 2.26%, 04/15/24^(a)		4,935		4,948,274
Series 2020-3A, Class B, 0.79%, 09/16/24		4,340		4,349,198
Series 2020-3A, Class D, 1.73%, 07/15/26		1,730		1,760,632
Series 2021-1A, Class C, 0.74%, 01/15/26		7,930		7,946,576
Exeter Automobile Receivables Trust 2021-3, Series 2021-3A, Class C, 0.96%, 10/15/26		2,950		2,950,897
Ford Credit Auto Owner Trust^(a)
Series 2018-1, Class A, 3.19%, 07/15/31		2,870		3,073,006
Series 2019-1, Class A, 3.52%, 07/15/30		450		479,091
JPMorgan Chase Bank NA - CACLN^(a)
Series 2021-2, Class B, 0.89%, 12/26/28		4,930		4,928,452
Series 2021-2, Class C, 0.97%, 12/26/28		2,120		2,120,635
Series 2021-3, Class B, 0.76%, 02/26/29		7,732		7,727,757
Marlette Funding Trust^(a)
Series 2019-2A, Class A, 3.13%, 07/16/29		36		36,399
Series 2019-3A, Class A, 2.69%, 09/17/29		62		62,418
Series 2019-4A, Class A, 2.39%, 12/17/29		601		603,106
Series 2020-2A, Class A, 1.02%, 09/16/30		245		245,399


Security	Par (000)		Value

Asset-Backed Securities (continued)
OneMain Financial Issuance Trust, Series 2019-2A, Class A, 3.14%, 10/14/36^(a)	$	5,690	$	6,086,217
Santander Drive Auto Receivables Trust
0.95%, 09/15/27		4,420		4,427,995
Series 2017-3, Class D, 3.20%, 11/15/23		3,496		3,513,785
Series 2018-5, Class D, 4.19%, 12/16/24		4,531		4,599,324
Series 2020-2, Class B, 0.96%, 11/15/24		1,520		1,524,515
Series 2020-2, Class C, 1.46%, 09/15/25		3,030		3,061,176
Series 2020-2, Class D, 2.22%, 09/15/26		8,000		8,154,874
Series 2020-4, Class C, 1.01%, 01/15/26		5,750		5,787,158
Series 2021-1, Class C, 0.75%, 02/17/26		4,730		4,749,354
Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, 01/26/32^(a)		4,790		5,029,204
SoFi Consumer Loan Program LLC, Series 2016-1, Class A, 3.26%, 08/25/25^(a)		70		70,119
Toyota Auto Loan Extended Note Trust, Series 2020- 1A, Class A, 1.35%, 05/25/33^(a)		5,680		5,755,776
Upstart Securitization Trust^(a)
Series 2019-3, Class A, 2.68%, 01/21/30		151		150,984
Series 2020-1, Class A, 2.32%, 04/22/30		1,750		1,758,010
Series 2021-1, Class A, 0.87%, 03/20/31		2,254		2,258,050
Series 2021-3, Class A, 0.83%, 07/20/31		4,964		4,964,903
Upstart Securitization Trust 2021-4, Series 2021-4, Class A, 0.84%, 09/20/31^(a)		7,310		7,309,099
Westlake Automobile Receivables Trust^(a)
Series 2018-3A, Class D, 4.00%, 10/16/23		992		1,001,784
Series 2019-2A, Class B, 2.62%, 07/15/24		275		275,404
Series 2020-2A, Class B, 1.32%, 07/15/25		1,310		1,320,113
Series 2020-2A, Class C, 2.01%, 07/15/25		5,920		6,017,961
Series 2020-3A, Class B, 0.78%, 11/17/25		3,480		3,495,544
Series 2020-3A, Class C, 1.24%, 11/17/25		4,250		4,284,008


Total Asset-Backed Securities — 12.2% (Cost: $188,013,551)				189,799,737


	Shares

Common Stocks

Diversified Financial Services — 0.0%
HoldCo 2 NPV^(c)		1,807,150		1


Total Common Stocks — 0.0% (Cost: $ — )				1


	Par (000)

Corporate Bonds

Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc., 3.38%, 03/01/41	$	610		640,094
Omnicom Group, Inc., 2.60%, 08/01/31^(d)		895		909,996


				1,550,090

Aerospace & Defense — 0.7%
3M Co., 2.65%, 04/15/25		1,710		1,805,189
Boeing Co.
4.51%, 05/01/23		1,475		1,558,281
4.88%, 05/01/25		1,080		1,201,944
5.15%, 05/01/30		795		933,084


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Aerospace & Defense (continued)
General Dynamics Corp.
3.25%, 04/01/25	$	1,130	$	1,212,872
1.15%, 06/01/26^(d)		1,495		1,502,648
2.25%, 06/01/31		1,350		1,381,812
General Electric Co., 3.63%, 05/01/30		495		550,043
Lockheed Martin Corp.
1.85%, 06/15/30^(d)		195		194,036
2.80%, 06/15/50		60		59,320
Trane Technologies Luxembourg Finance SA, 4.50%, 03/21/49		125		154,259


				10,553,488

Airlines — 0.1%
Delta Air Lines, Inc., 7.38%, 01/15/26^(d)		900		1,060,327
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25^(a)		720		807,480


				1,867,807

Auto Components — 0.1%
Aptiv Corp., 4.15%, 03/15/24^(d)		1,625		1,745,245


Automobiles — 1.3%
American Honda Finance Corp., 1.20%, 07/08/25		900		904,923
AutoNation, Inc.
1.95%, 08/01/28^(d)		655		645,869
4.75%, 06/01/30		60		69,955
Ford Motor Co., 5.29%, 12/08/46^(d)		1,200		1,336,500
Ford Motor Credit Co. LLC, 5.58%, 03/18/24		1,200		1,289,808
General Motors Co., 6.75%, 04/01/46		306		436,353
General Motors Financial Co., Inc.
4.20%, 11/06/21		1,500		1,505,293
3.45%, 04/10/22		1,780		1,798,599
3.55%, 07/08/22		3,345		3,424,628
3.25%, 01/05/23		1,200		1,237,647
3.70%, 05/09/23		2,850		2,973,524
4.15%, 06/19/23		1,155		1,220,695
2.90%, 02/26/25		1,335		1,400,639
Genuine Parts Co., 1.88%, 11/01/30		1,530		1,461,549
Lithia Motors, Inc., 4.38%, 01/15/31^(a)		55		58,713


				19,764,695

Banks — 2.3%
Bank of Montreal, 0.63%, 07/09/24		865		863,204
Canadian Imperial Bank of Commerce
0.45%, 06/22/23		2,650		2,649,916
2.25%, 01/28/25		1,960		2,035,959
Credit Suisse AG, 0.52%, 08/09/23		660		660,677
Credit Suisse AG, New York, 1.00%, 05/05/23		285		287,627
Fifth Third Bancorp, 2.38%, 01/28/25		850		883,695
First Republic Bank, (SOFR + 0.62%), 1.91%, 02/12/24^(b)		2,500		2,550,493
ING Groep NV
3.15%, 03/29/22		415		420,920
4.10%, 10/02/23		2,290		2,451,138
Royal Bank of Canada, 2.25%, 11/01/24		1,750		1,826,756
Santander Holdings USA, Inc., 3.45%, 06/02/25		510		546,083
Santander UK Group Holdings PLC, (3 mo. LIBOR US + 1.40%), 3.82%, 11/03/28^(b)(d)		3,800		4,156,862
SVB Financial Group, 1.80%, 02/02/31		2,420		2,322,196
Toronto-Dominion Bank, 2.65%, 06/12/24		3,300		3,472,574
Truist Financial Corp., 1.20%, 08/05/25^(d)		4,850		4,885,169
Wells Fargo & Co. 3.75%, 01/24/24		1,540		1,646,377


Security	Par (000)		Value

Banks (continued)
Wells Fargo & Co. (continued)
3.30%, 09/09/24^(d)	$	1,590	$	1,711,229
3.00%, 02/19/25		800		849,101
(SOFR + 4.50%), 5.01%, 04/04/51^(b)		750		1,006,520
Westpac Banking Corp., 2.96%, 11/16/40		120		118,832


				35,345,328

Beverages — 0.6%
Ball Corp., 2.88%, 08/15/30^(d)		320		310,600
Constellation Brands, Inc., 3.75%, 05/01/50		250		271,429
Diageo Capital PLC
2.13%, 10/24/24		4,280		4,460,777
2.00%, 04/29/30		1,255		1,250,134
2.13%, 04/29/32		750		745,768
PepsiCo, Inc.
2.85%, 02/24/26		800		857,908
3.45%, 10/06/46		15		16,600
3.38%, 07/29/49		705		771,331


				8,684,547

Biotechnology — 0.2%
Amgen, Inc.
3.63%, 05/22/24		800		857,252
3.13%, 05/01/25^(d)		800		854,402
2.60%, 08/19/26^(d)		800		846,279
Gilead Sciences, Inc., 3.50%, 02/01/25		400		430,430


				2,988,363

Building Materials — 0.7%
Boise Cascade Co., 4.88%, 07/01/30^(a)(d)		1,250		1,334,375
Carrier Global Corp.
2.24%, 02/15/25		360		372,958
3.38%, 04/05/40^(d)		3,220		3,378,615
Eagle Materials, Inc., 2.50%, 07/01/31		3,310		3,289,260
Martin Marietta Materials, Inc.
2.40%, 07/15/31		2,165		2,176,177
3.20%, 07/15/51		770		768,248
Masco Corp., 2.00%, 10/01/30		160		154,679


				11,474,312

Building Products — 0.2%
Allegion PLC, 3.50%, 10/01/29		330		357,015
Home Depot, Inc.
5.40%, 09/15/40		200		273,808
3.13%, 12/15/49		840		875,720
Lowe’s Cos., Inc.
4.00%, 04/15/25		420		460,241
3.50%, 04/01/51		635		679,960


				2,646,744

Capital Markets — 1.6%
Ameriprise Financial, Inc., 3.00%, 04/02/25		930		987,940
Ares Capital Corp.
4.20%, 06/10/24		4,815		5,163,749
3.25%, 07/15/25^(d)		3,070		3,229,122
3.88%, 01/15/26		558		596,741
2.15%, 07/15/26		1,542		1,546,101
2.88%, 06/15/28		1,240		1,256,143
Brookfield Finance, Inc.
4.70%, 09/20/47		5		6,054
3.50%, 03/30/51		260		271,653
FS KKR Capital Corp.
4.63%, 07/15/24		950		1,025,833
4.13%, 02/01/25^(d)		680		726,583


2

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Capital Markets (continued)
FS KKR Capital Corp. (continued)
3.40%, 01/15/26	$	1,565	$	1,635,239
2.63%, 01/15/27		2,810		2,816,865
Goldman Sachs BDC, Inc., 2.88%, 01/15/26		1,795		1,845,600
Golub Capital BDC, Inc., 2.50%, 08/24/26		535		538,358
Nomura Holdings, Inc., 2.65%, 01/16/25		1,100		1,145,833
Owl Rock Capital Corp., 2.88%, 06/11/28		2,125		2,121,034


				24,912,848

Chemicals — 0.9%
Air Products and Chemicals, Inc., 2.70%, 05/15/40		187		188,463
FMC Corp., 3.20%, 10/01/26^(d)		118		126,215
International Flavors & Fragrances, Inc., 3.20%, 05/01/23		1,590		1,646,071
Methanex Corp., 5.25%, 12/15/29^(d)		725		784,812
RPM International, Inc., 3.75%, 03/15/27		105		114,879
Sherwin-Williams Co.
4.20%, 01/15/22		1,590		1,591,908
3.13%, 06/01/24		265		280,797
3.30%, 02/01/25		800		847,699
3.95%, 01/15/26		400		442,851
3.45%, 06/01/27		4,710		5,172,075
2.95%, 08/15/29		1,330		1,412,785
4.50%, 06/01/47		770		933,382
3.80%, 08/15/49		710		796,354
3.30%, 05/15/50^(d)		520		538,443


				14,876,734

Commercial Services & Supplies — 0.1%
AMN Healthcare, Inc., 4.63%, 10/01/27^(a)		130		134,875
ASGN, Inc., 4.63%, 05/15/28^(a)		1,800		1,863,000
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, 08/31/27^(a)(d)		205		196,673
Rockefeller Foundation, Series 2020, 2.49%, 10/01/50		72		70,252


				2,264,800

Communications Equipment — 0.1%
Motorola Solutions, Inc.
4.60%, 02/23/28		939		1,081,780
2.30%, 11/15/30		323		317,462


				1,399,242

Construction & Engineering — 0.2%
Landesbank Baden-Wuerttemberg, 7.63%, 02/01/23^(d)		2,974		3,243,396
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28^(a)		200		208,000


				3,451,396

Construction Materials — 0.2%
Allegion US Holding Co., Inc., 3.55%, 10/01/27		125		134,523
Williams Scotsman International, Inc., 4.63%, 08/15/28^(a)		2,450		2,552,189


				2,686,712

Consumer Discretionary — 0.5%
Quanta Services, Inc.
0.95%, 10/01/24		2,110		2,110,971
2.90%, 10/01/30		2,290		2,368,835
2.35%, 01/15/32		1,845		1,805,267


Security	Par (000)		Value

Consumer Discretionary (continued)
Quanta Services, Inc. (continued)
3.05%, 10/01/41	$	985	$	950,103
Royal Caribbean Cruises Ltd., 11.50%, 06/01/25^(a)		805		918,505


				8,153,681

Consumer Finance — 0.9%
Block Financial LLC
2.50%, 07/15/28		2,850		2,890,382
3.88%, 08/15/30		100		108,755
Equifax, Inc.
2.60%, 12/15/25		275		288,341
3.10%, 05/15/30		530		560,352
2.35%, 09/15/31		260		255,954
Global Payments, Inc., 4.00%, 06/01/23		470		495,533
Mastercard, Inc.
3.65%, 06/01/49^(d)		840		968,102
3.85%, 03/26/50		700		832,395
2.95%, 03/15/51		1,590		1,643,060
PayPal Holdings, Inc.
2.85%, 10/01/29		1,520		1,622,450
3.25%, 06/01/50		320		345,257
S&P Global, Inc.
2.95%, 01/22/27		685		736,062
2.30%, 08/15/60		1,778		1,512,219
Visa, Inc., 3.65%, 09/15/47		1,065		1,226,060


				13,484,922

Containers & Packaging — 0.2%
Avery Dennison Corp., 2.25%, 02/15/32		2,350		2,300,611
Clearwater Paper Corp., 4.75%, 08/15/28^(a)(d)		150		154,125
Packaging Corp. of America, 3.05%, 10/01/51		285		281,022


				2,735,758

Diversified Financial Services — 8.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, 09/15/23		1,015		1,081,390
Air Lease Corp., 3.38%, 07/01/25		700		743,367
Aircastle Ltd., 4.25%, 06/15/26		1,985		2,169,943
Ally Financial, Inc.
3.05%, 06/05/23		290		300,854
1.45%, 10/02/23		565		573,345
Banco Santander SA
3.50%, 04/11/22		200		203,283
2.75%, 05/28/25		1,600		1,678,348
2.75%, 12/03/30		400		398,018
(1 year CMT + 0.45%), 0.70%, 06/30/24^(b)		2,200		2,204,024
(1 year CMT + 0.90%), 1.72%, 09/14/27^(b)		400		398,141
Bank of America Corp.^(b)
(3 mo. LIBOR US + 0.94%), 3.86%, 07/23/24		2,565		2,714,517
(3 mo. LIBOR US + 1.21%), 3.97%, 02/07/30		175		195,917
(3 mo. LIBOR US + 1.32%), 4.08%, 04/23/40		70		80,588
(3 mo. LIBOR US + 1.81%), 4.24%, 04/24/38		2,550		2,983,500
(3 mo. LIBOR US + 3.15%), 4.08%, 03/20/51		1,361		1,610,508
(SOFR + 0.41%), 0.52%, 06/14/24		730		729,692
(SOFR + 0.91%), 0.98%, 09/25/25		950		951,311
(SOFR + 0.96%), 1.73%, 07/22/27		7,050		7,079,010
(SOFR + 1.15%), 1.32%, 06/19/26		2,030		2,029,504
(SOFR + 1.32%), 2.69%, 04/22/32		5,910		6,017,976
(SOFR + 1.65%), 3.48%, 03/13/52		595		642,348
(SOFR + 1.93%), 2.68%, 06/19/41		1,015		979,899
Bank of Nova Scotia
0.65%, 07/31/24		1,835		1,831,883


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Diversified Financial Services (continued)
Bank of Nova Scotia (continued)
1.05%, 03/02/26	$	1,000	$	988,728
Barclays PLC, (1 year CMT + 1.70%), 3.81%, 03/10/42^(b)		233		247,293
Citigroup, Inc.
4.75%, 05/18/46		1,080		1,356,158
(3 mo. LIBOR US + 0.72%), 3.14%, 01/24/23^(b)		1,600		1,613,452
(3 mo. LIBOR US + 0.90%), 3.35%, 04/24/25^(b)		2,805		2,979,331
(SOFR + 0.69%), 0.78%, 10/30/24^(b)		8,880		8,914,051
(SOFR + 0.77%), 1.46%, 06/09/27^(b)		3,035		3,017,114
(SOFR + 1.67%), 1.68%, 05/15/24^(b)		800		815,562
(SOFR + 2.84%), 3.11%, 04/08/26^(b)		1,630		1,730,652
Credit Suisse Group AG, 3.80%, 06/09/23		300		316,072
GE Capital International Funding Co., 4.42%, 11/15/35		810		972,042
Goldman Sachs Group, Inc.
3.75%, 05/22/25^(d)		500		541,835
3.75%, 02/25/26		1,900		2,084,936
3.50%, 11/16/26		365		394,426
3.85%, 01/26/27^(d)		1,090		1,197,617
2.60%, 02/07/30		6,060		6,237,071
3.80%, 03/15/30		2,010		2,237,546
6.75%, 10/01/37		500		716,143
5.15%, 05/22/45		503		659,568
(3 mo. LIBOR US + 1.30%), 4.22%, 05/01/29^(b)		550		621,567
(3 mo. LIBOR US + 1.37%), 4.02%, 10/31/38^(b)		500		574,615
(3 mo. LIBOR US + 1.43%), 4.41%, 04/23/39^(b)		2,120		2,547,948
(SOFR + 0.61%), 0.86%, 02/12/26^(b)		135		133,700
(SOFR + 1.09%), 1.99%, 01/27/32^(b)		1,600		1,542,928
(SOFR + 1.28%), 2.62%, 04/22/32^(b)		1,520		1,538,377
(SOFR + 1.47%), 2.91%, 07/21/42^(b)		715		704,956
HSBC Holdings PLC, (SOFR + 0.71%), 0.98%, 05/24/25^(b)		1,980		1,976,513
Intercontinental Exchange, Inc.
0.70%, 06/15/23		2,920		2,930,862
4.25%, 09/21/48		160		190,201
JPMorgan Chase & Co.
3.38%, 05/01/23^(d)		2,900		3,032,764
3.63%, 05/13/24^(d)		400		430,364
3.13%, 01/23/25^(d)		800		850,303
3.30%, 04/01/26		600		650,529
4.95%, 06/01/45		340		444,433
(3 mo. LIBOR US + 1.16%), 3.22%, 03/01/25^(b)(d)		600		633,757
(3 mo. LIBOR US + 1.38%), 3.96%, 11/15/48^(b)		6,855		7,946,242
(3 mo. LIBOR US + 1.46%), 4.03%, 07/24/48^(b)		660		769,162
(SOFR + 0.58%), 0.97%, 06/23/25^(b)		1,610		1,611,974
(SOFR + 0.89%), 1.58%, 04/22/27^(b)		816		817,655
(SOFR + 1.25%), 2.58%, 04/22/32^(b)		215		217,982
(SOFR + 1.51%), 2.74%, 10/15/30^(b)		610		631,729
Kimberly-Clark Corp., 2.88%, 02/07/50^(d)		160		162,137
Lloyds Banking Group PLC, (1 year CMT + 0.55%), 0.70%, 05/11/24^(b)(d)		1,590		1,594,108
Mitsubishi UFJ Financial Group, Inc.^(b)
(1 year CMT + 0.55%), 0.95%, 07/19/25		1,820		1,822,068
(1 year CMT + 0.95%), 2.31%, 07/20/32		425		421,073
Mizuho Financial Group, Inc., (SOFR + 1.25%), 1.24%, 07/10/24^(b)		2,845		2,878,201
Morgan Stanley
3.88%, 01/27/26		200		221,399


Security	Par (000)		Value

Diversified Financial Services (continued)
Morgan Stanley (continued)
6.38%, 07/24/42	$	460	$	696,478
4.30%, 01/27/45		1,380		1,682,112
(3 mo. LIBOR US + 1.46%), 3.97%, 07/22/38^(b)		1,840		2,107,949
(SOFR + 0.86%), 1.51%, 07/20/27^(b)		1,510		1,502,821
(SOFR + 0.88%), 1.59%, 05/04/27^(b)		2,110		2,116,277
(SOFR + 1.03%), 1.79%, 02/13/32^(b)		2,055		1,957,161
(SOFR + 1.36%), 2.48%, 09/16/36^(b)		1,510		1,477,877
(SOFR + 1.43%), 2.80%, 01/25/52^(b)		1,060		1,018,859
(SOFR + 1.99%), 2.19%, 04/28/26^(b)		2,400		2,478,009
(SOFR + 4.84%), 5.60%, 03/24/51^(b)		2,020		2,995,003
Series I, (SOFR + 0.75%), 0.86%, 10/21/25^(b)		3,410		3,403,078
Nasdaq, Inc.
3.85%, 06/30/26		32		35,490
3.25%, 04/28/50		195		196,484
Natwest Group PLC, (1 year CMT + 2.15%), 2.36%, 05/22/24^(b)		290		297,579
ORIX Corp., 2.90%, 07/18/22		405		413,254
Sumitomo Mitsui Financial Group, Inc.
2.35%, 01/15/25		1,325		1,375,807
1.47%, 07/08/25		1,049		1,057,444


				137,326,192

Diversified Telecommunication Services — 1.5%
AT&T, Inc.
0.90%, 03/25/24		2,470		2,473,878
4.45%, 04/01/24		1,202		1,302,368
1.70%, 03/25/26		3,620		3,664,815
4.85%, 03/01/39		1,185		1,420,157
3.10%, 02/01/43		1,145		1,097,765
4.80%, 06/15/44		195		231,435
3.30%, 02/01/52		305		295,319
3.80%, 12/01/57		238		243,129
3.50%, 02/01/61		75		71,771
Deutsche Telekom International Finance BV, 8.75%, 06/15/30		2,045		3,048,869
Switch Ltd., 3.75%, 09/15/28^(a)		865		877,975
Verizon Communications, Inc.
1.68%, 10/30/30		2,347		2,231,842
2.36%, 03/15/32^(a)		1,086		1,073,993
4.50%, 08/10/33		2,600		3,095,842
4.13%, 08/15/46		430		493,486
4.86%, 08/21/46		875		1,114,306
2.88%, 11/20/50		170		158,465
3.55%, 03/22/51		285		300,560
3.00%, 11/20/60		280		258,651


				23,454,626

Education — 0.1%
Ford Foundation (The)
Series 2020, 2.42%, 06/01/50^(d)		5		4,759
Series 2020, 2.82%, 06/01/70		30		29,714
Georgetown University, Series 20A, 2.94%, 04/01/50^(d)		27		26,562
Northwestern University, Series 2020, 2.64%, 12/01/50^(d)		266		265,525
President and Fellows of Harvard College, 2.52%, 10/15/50		54		53,219
University of Chicago (The)
Series 20B, 2.76%, 04/01/45^(d)		148		150,891


4

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Education (continued)
University of Chicago (The) (continued)
Series C, 2.55%, 04/01/50	$	157	$	150,910
University of Southern California, 2.95%, 10/01/51		190		198,856
Yale University, Series 2020, 2.40%, 04/15/50		272		261,995


				1,142,431

Electric Utilities — 3.0%
AEP Texas, Inc., Series I, 2.10%, 07/01/30		2,180		2,133,614
AEP Transmission Co. LLC, 3.15%, 09/15/49		30		30,976
Alabama Power Co., 3.45%, 10/01/49		370		399,417
Ameren Corp., 2.50%, 09/15/24		65		67,935
Ameren Illinois Co., 3.25%, 03/15/50		130		138,117
Appalachian Power Co., Series X, 3.30%, 06/01/27^(d)		1,190		1,285,400
Arizona Public Service Co.
3.15%, 05/15/25		400		427,568
2.95%, 09/15/27^(d)		800		856,840
3.50%, 12/01/49		240		255,518
Atlantic City Electric Co., 2.30%, 03/15/31		570		577,809
Avangrid, Inc., 3.80%, 06/01/29		600		668,072
Baltimore Gas & Electric Co.
4.25%, 09/15/48		225		274,601
2.90%, 06/15/50^(d)		170		167,771
Berkshire Hathaway Energy Co., 4.45%, 01/15/49		500		617,461
Black Hills Corp., 1.04%, 08/23/24		200		200,019
CenterPoint Energy, Inc., 4.25%, 11/01/28		730		831,706
Commonwealth Edison Co.
3.70%, 08/15/28		1,200		1,351,068
2.20%, 03/01/30		500		506,047
4.00%, 03/01/49		90		106,663
3.13%, 03/15/51		70		72,140
Consolidated Edison Co. of New York, Inc.
Series 06-A, 5.85%, 03/15/36		1,000		1,326,543
Series A, 4.13%, 05/15/49		50		57,997
Series B, 3.13%, 11/15/27		800		861,072
Consumers Energy Co., 2.65%, 08/15/52		125		118,259
Dominion Energy, Inc., 3.90%, 10/01/25		500		546,554
DTE Electric Co., 3.65%, 03/15/24		1,090		1,161,398
Duke Energy Corp.
2.65%, 09/01/26		300		316,472
4.20%, 06/15/49		700		796,876
Duke Energy Florida LLC
3.80%, 07/15/28^(d)		1,365		1,524,280
1.75%, 06/15/30		780		756,345
Duke Energy Ohio, Inc.
2.13%, 06/01/30		350		347,486
4.30%, 02/01/49		100		122,625
Entergy Corp., 0.90%, 09/15/25		285		280,242
Entergy Texas, Inc., 3.55%, 09/30/49^(d)		520		553,019
Evergy Kansas Central, Inc.
2.55%, 07/01/26		800		840,860
3.45%, 04/15/50		130		139,219
Evergy Metro, Inc., 3.65%, 08/15/25		300		325,526
Evergy, Inc., 2.90%, 09/15/29		50		52,474
Eversource Energy, Series M, 3.30%, 01/15/28		1,000		1,082,483
Florida Power & Light Co.
4.05%, 10/01/44		500		599,696
3.15%, 10/01/49		40		42,354
Georgia Power Co.
3.25%, 04/01/26^(d)		800		857,505
3.25%, 03/15/51		210		211,385


Security	Par (000)		Value

Electric Utilities (continued)
Interstate Power and Light Co., 2.30%, 06/01/30	$	530	$	532,154
Kentucky Utilities Co., 3.30%, 06/01/50		60		62,583
MidAmerican Energy Co.
3.10%, 05/01/27^(d)		800		869,899
3.15%, 04/15/50		60		62,800
2.70%, 08/01/52		105		100,865
National Rural Utilities Cooperative Finance Corp., 3.70%, 03/15/29^(d)		680		757,885
Nevada Power Co., Series DD, 2.40%, 05/01/30		440		446,160
NextEra Energy Capital Holdings, Inc.^(d)
3.55%, 05/01/27		245		268,783
2.25%, 06/01/30		1,070		1,076,104
NextEra Energy Operating Partners LP, 4.50%, 09/15/27^(a)(d)		1,300		1,397,500
Northern States Power Co., 2.60%, 06/01/51		305		289,198
NSTAR Electric Co., 3.10%, 06/01/51^(d)		110		114,088
Oglethorpe Power Corp., 5.05%, 10/01/48		130		160,757
Oncor Electric Delivery Co. LLC, 3.80%, 06/01/49		320		374,203
Pacific Gas and Electric Co.
1.75%, 06/16/22		500		499,191
2.10%, 08/01/27		65		63,434
3.00%, 06/15/28^(d)		100		101,761
4.50%, 07/01/40		190		193,941
3.30%, 08/01/40		90		83,045
4.95%, 07/01/50		400		425,548
3.50%, 08/01/50		340		309,208
PacifiCorp., 4.13%, 01/15/49		280		329,589
PECO Energy Co.
2.80%, 06/15/50		355		347,964
3.05%, 03/15/51		70		71,231
PPL Electric Utilities Corp.^(d)
2.50%, 09/01/22		400		405,695
3.00%, 10/01/49		275		281,345
Public Service Co. of Colorado
3.70%, 06/15/28		1,300		1,447,029
4.05%, 09/15/49		20		24,195
Public Service Electric & Gas Co.
2.25%, 09/15/26		400		417,139
3.00%, 05/15/27^(d)		500		542,844
3.70%, 05/01/28^(d)		800		895,333
2.05%, 08/01/50		105		90,250
Puget Sound Energy, Inc., 3.25%, 09/15/49		390		402,163
San Diego Gas & Electric Co.
2.50%, 05/15/26^(d)		400		420,743
2.95%, 08/15/51		475		470,725
Sempra Energy, 3.75%, 11/15/25^(d)		200		217,361
Southern California Edison Co.
3.65%, 02/01/50		100		102,166
Series B, 4.88%, 03/01/49		260		310,435
Series C, 4.13%, 03/01/48		370		403,173
Southern Co., 3.25%, 07/01/26		1,900		2,044,529
Tampa Electric Co., 3.45%, 03/15/51		35		37,423
Tucson Electric Power Co., 1.50%, 08/01/30		190		179,747
Union Electric Co., 4.00%, 04/01/48		230		270,338
Virginia Electric & Power Co.
3.30%, 12/01/49		610		640,196
Series A, 3.80%, 04/01/28		1,750		1,953,595
Wisconsin Electric Power Co., 3.10%, 06/01/25		800		851,433
Wisconsin Power & Light Co., 3.05%, 10/15/27		390		419,420


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Electric Utilities (continued)
Wisconsin Public Service Corp., 3.30%, 09/01/49	$	85	$	89,271
Xcel Energy, Inc.
4.00%, 06/15/28		900		1,010,263
3.50%, 12/01/49		50		53,294


				46,807,408

Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp., 2.05%, 03/01/25		300		309,562
Keysight Technologies, Inc., 4.60%, 04/06/27		1,225		1,413,286
Rockwell Automation, Inc.
1.75%, 08/15/31		265		258,378
2.80%, 08/15/61		260		247,207
Xerox Holdings Corp., 5.50%, 08/15/28^(a)(d)		700		724,689


				2,953,122

Energy Equipment & Services — 0.1%
Baker Hughes a GE Co. LLC/Baker Hughes Co- Obligor, Inc., 4.08%, 12/15/47		750		846,419
Enbridge, Inc., 0.55%, 10/04/23		260		260,078


				1,106,497

Environmental, Maintenance, & Security Service — 0.1%
Waste Connections, Inc., 2.60%, 02/01/30		305		313,985
Waste Management, Inc., 2.40%, 05/15/23		1,000		1,029,093


				1,343,078

Equity Real Estate Investment Trusts (REITs) — 1.2%
American Homes 4 Rent, 3.38%, 07/15/51^(d)		105		106,463
American Tower Corp.
3.38%, 10/15/26		110		119,031
3.70%, 10/15/49		190		205,462
Brixmor Operating Partnership LP, 4.05%, 07/01/30		130		145,164
Camden Property Trust, 2.80%, 05/15/30		240		253,300
Crown Castle International Corp., 3.70%, 06/15/26		1,000		1,091,514
Equinix, Inc., 2.63%, 11/18/24		900		942,513
Essex Portfolio LP, 1.70%, 03/01/28		1,255		1,230,778
Federal Realty Investment Trust, 3.50%, 06/01/30		210		227,832
Iron Mountain, Inc., 4.50%, 02/15/31^(a)		350		355,005
Life Storage LP, 2.20%, 10/15/30		735		728,820
Mid-America Apartments LP, 1.10%, 09/15/26		70		69,054
Office Properties Income Trust, 3.45%, 10/15/31		2,285		2,235,251
Omega Healthcare Investors, Inc., 4.95%, 04/01/24^(d)		1,400		1,522,892
Public Storage
3.09%, 09/15/27		2,500		2,731,748
1.85%, 05/01/28		2,945		2,984,986
3.39%, 05/01/29		1,640		1,803,611
Service Properties Trust, 4.65%, 03/15/24		800		808,000
Simon Property Group LP, 3.50%, 09/01/25		1,065		1,156,792
Weyerhaeuser Co., 4.00%, 04/15/30		250		282,399


				19,000,615

Food & Staples Retailing — 0.5%
Costco Wholesale Corp., 1.75%, 04/20/32^(d)		3,135		3,073,881
General Mills, Inc., 2.88%, 04/15/30^(d)		840		882,875
Kellogg Co., 2.65%, 12/01/23		918		959,609
Kraft Heinz Foods Co.
4.25%, 03/01/31		1,200		1,356,625
4.88%, 10/01/49^(d)		925		1,125,813
Walmart, Inc., 2.65%, 09/22/51		540		537,521


				7,936,324


Security	Par (000)		Value

Food Products — 0.0%
Hershey Co., 2.65%, 06/01/50	$	105	$	102,546


Health Care Equipment & Supplies — 0.9%
Baxter International, Inc., 2.60%, 08/15/26		1,702		1,797,494
DH Europe Finance II Sarl, 3.40%, 11/15/49		375		405,250
PerkinElmer, Inc.
0.55%, 09/15/23		3,125		3,127,594
0.85%, 09/15/24		3,125		3,125,297
1.90%, 09/15/28		3,220		3,195,990
2.25%, 09/15/31		1,155		1,139,393
Thermo Fisher Scientific, Inc.
4.13%, 03/25/25		275		302,554
2.95%, 09/19/26^(d)		400		430,039
4.10%, 08/15/47^(d)		1,095		1,327,858


				14,851,469

Health Care Providers & Services — 1.3%
AmerisourceBergen Corp.
3.45%, 12/15/27		1,427		1,559,775
2.70%, 03/15/31		117		119,670
Anthem, Inc., 3.35%, 12/01/24		1,395		1,495,479
Banner Health, Series 2020, 3.18%, 01/01/50		119		124,796
Baylor Scott & White Holdings, 2.84%, 11/15/50		92		90,869
CommonSpirit Health, 3.91%, 10/01/50		339		370,342
DaVita, Inc., 3.75%, 02/15/31^(a)		285		277,519
Hackensack Meridian Health, Inc., Series 2020, 2.88%, 09/01/50		58		57,531
HCA, Inc.
5.50%, 06/15/47		2,949		3,824,131
5.25%, 06/15/49		1,110		1,416,748
3.50%, 07/15/51		1,775		1,759,528
Humana, Inc., 3.85%, 10/01/24		1,000		1,082,047
Kaiser Foundation Hospitals
2.81%, 06/01/41		57		57,670
3.00%, 06/01/51		161		164,530
McKesson Corp., 0.90%, 12/03/25		1,465		1,441,740
Memorial Sloan-Kettering Cancer Center, Series 2020, 2.96%, 01/01/50		46		46,542
Methodist Hospital, Series 20A, 2.71%, 12/01/50		87		84,130
Molina Healthcare, Inc., 3.88%, 11/15/30^(a)		800		836,000
Providence St Joseph Health Obligated Group, 2.70%, 10/01/51		136		129,651
Sutter Health, Series 20A, 3.36%, 08/15/50		54		57,120
UnitedHealth Group, Inc.
2.38%, 08/15/24		1,035		1,084,002
3.10%, 03/15/26		150		162,655
2.30%, 05/15/31		845		862,146
4.75%, 07/15/45		800		1,048,507
2.90%, 05/15/50		410		411,106
3.25%, 05/15/51		135		142,756
3.13%, 05/15/60		730		747,050
Universal Health Services, Inc., 2.65%, 10/15/30^(a)		1,630		1,637,400


				21,091,440

Health Care Technology — 0.1%
Laboratory Corp. of America Holdings, 2.70%, 06/01/31		1,695		1,732,561


Hotels, Restaurants & Leisure — 0.3%
Choice Hotels International, Inc., 3.70%, 12/01/29^(d)		1,065		1,132,798


6

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Hotels, Restaurants & Leisure (continued)
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26	$	380	$	432,041
McDonald’s Corp.
1.45%, 09/01/25		375		380,577
3.70%, 01/30/26		1,000		1,099,408
3.50%, 03/01/27		278		305,481
3.80%, 04/01/28^(d)		290		324,106
6.30%, 10/15/37		160		228,995
Starbucks Corp., 3.55%, 08/15/29		440		487,454


				4,390,860

Household Durables — 0.3%
NVR, Inc., 3.00%, 05/15/30		4,315		4,515,597


Independent Power and Renewable Electricity Producers — 0.1%
NRG Energy, Inc., 3.63%, 02/15/31^(a)(d)		1,250		1,227,812


Insurance — 1.4%
Aflac, Inc., 4.75%, 01/15/49		2,160		2,824,051
Aon PLC, 3.88%, 12/15/25		3,400		3,753,435
Athene Holding Ltd., 3.95%, 05/25/51		240		265,141
Berkshire Hathaway, Inc., 3.13%, 03/15/26		355		385,271
Enstar Group Ltd., 3.10%, 09/01/31		805		792,009
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31^(a)		360		373,281
Fidelity National Financial, Inc., 5.50%, 09/01/22^(d)		120		125,565
Marsh & McLennan Cos., Inc.
4.75%, 03/15/39		111		139,844
4.20%, 03/01/48^(d)		1,715		2,094,869
4.90%, 03/15/49		5,035		6,778,627
MetLife, Inc., 4.05%, 03/01/45		630		748,751
Progressive Corp., 4.13%, 04/15/47		2,250		2,711,188
Willis North America, Inc., 2.95%, 09/15/29		940		982,935


				21,974,967

Interactive Media & Services — 0.2%
Alphabet, Inc.
2.00%, 08/15/26		800		836,096
2.25%, 08/15/60		335		292,701
Baidu, Inc, 1.72%, 04/09/26		490		489,691
eBay, Inc., 2.70%, 03/11/30		1,010		1,051,733


				2,670,221

Internet & Direct Marketing Retail — 0.2%
Alibaba Group Holding Ltd.
4.00%, 12/06/37		565		608,011
4.20%, 12/06/47		200		219,975
Amazon.com, Inc.
2.10%, 05/12/31		1,060		1,073,735
2.88%, 05/12/41		490		505,395
3.10%, 05/12/51		620		648,179
3.25%, 05/12/61		510		542,774


				3,598,069

Internet Software & Services — 0.1%
Booking Holdings, Inc., 4.63%, 04/13/30^(d)		315		374,422
Expedia Group, Inc., 2.95%, 03/15/31^(d)		440		444,646
VeriSign, Inc., 2.70%, 06/15/31		630		640,294


				1,459,362

IT Services — 0.8%
Booz Allen Hamilton, Inc., 3.88%, 09/01/28^(a)		140		143,517
Citrix Systems, Inc., 1.25%, 03/01/26		2,315		2,277,194
Gartner, Inc., 4.50%, 07/01/28^(a)		4,100		4,305,000


Security	Par (000)		Value

IT Services (continued)
International Business Machines Corp., 4.25%, 05/15/49	$	330	$	400,140
j2 Global, Inc., 4.63%, 10/15/30^(a)		1,250		1,328,125
Verisk Analytics, Inc.
4.00%, 06/15/25		1,400		1,542,151
4.13%, 03/15/29		2,286		2,596,161


				12,592,288

Life Sciences Tools & Services — 0.2%
Agilent Technologies, Inc., 2.30%, 03/12/31		2,495		2,497,539


Machinery — 0.6%
Caterpillar, Inc., 1.90%, 03/12/31^(d)		2,050		2,039,328
Deere & Co., 2.75%, 04/15/25		215		227,618
IDEX Corp., 2.63%, 06/15/31		4,209		4,282,556
Otis Worldwide Corp.
3.11%, 02/15/40		70		71,750
3.36%, 02/15/50		70		73,227
Terex Corp., 5.00%, 05/15/29^(a)(d)		2,500		2,590,625


				9,285,104

Media — 0.9%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%, 07/23/22		200		205,081
4.91%, 07/23/25		1,350		1,518,243
5.38%, 04/01/38		340		410,270
3.70%, 04/01/51		410		399,186
4.40%, 12/01/61		505		525,180
3.95%, 06/30/62^(e)		290		279,760
Comcast Corp.
3.38%, 02/15/25		1,590		1,711,702
2.35%, 01/15/27		400		419,544
4.60%, 10/15/38		450		550,096
3.25%, 11/01/39		255		269,228
2.89%, 11/01/51^(a)		578		554,405
2.65%, 08/15/62		1,340		1,187,391
Fox Corp., 4.03%, 01/25/24		340		364,799
TEGNA, Inc.
4.75%, 03/15/26^(a)		480		500,700
5.00%, 09/15/29^(d)		2,450		2,523,622
Thomson Reuters Corp., 3.35%, 05/15/26		800		863,776
Time Warner Cable LLC, 4.50%, 09/15/42		500		547,171
WMG Acquisition Corp., 3.00%, 02/15/31^(a)(d)		1,030		1,005,537


				13,835,691

Metals & Mining — 0.8%
ArcelorMittal SA, 4.25%, 07/16/29		160		176,072
Freeport-McMoRan, Inc., 5.45%, 03/15/43^(d)		400		492,500
Newmont Corp., 2.25%, 10/01/30		695		691,343
Reliance Steel & Aluminum Co., 2.15%, 08/15/30^(d)		4,455		4,355,516
Southern Copper Corp.
3.88%, 04/23/25		922		997,085
6.75%, 04/16/40		115		159,994
Vale Overseas Ltd.
3.75%, 07/08/30		2,422		2,499,988
6.88%, 11/21/36^(d)		395		524,116
6.88%, 11/10/39^(d)		757		1,024,221
Vale SA, 5.63%, 09/11/42^(d)		1,070		1,307,941


				12,228,776


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Multi-Utilities — 0.3%
Atmos Energy Corp.
3.00%, 06/15/27^(d)	$	400	$	430,108
1.50%, 01/15/31		760		714,959
National Fuel Gas Co., 2.95%, 03/01/31		335		339,207
NiSource, Inc.
3.60%, 05/01/30^(d)		60		65,776
1.70%, 02/15/31		610		574,614
3.95%, 03/30/48		310		350,794
Piedmont Natural Gas Co., Inc., 3.50%, 06/01/29		500		541,558
Southern California Gas Co.
Series TT, 2.60%, 06/15/26		800		845,936
Series XX, 2.55%, 02/01/30		730		749,948
Southwest Gas Corp.
3.70%, 04/01/28		230		253,195
2.20%, 06/15/30		85		83,815
Washington Gas Light Co., 3.65%, 09/15/49		30		33,655


				4,983,565

Oil, Gas & Consumable Fuels — 2.2%
Apache Corp., 4.88%, 11/15/27		825		899,679
Cenovus Energy, Inc., 5.38%, 07/15/25		636		724,440
Cheniere Corpus Christi Holdings LLC
5.13%, 06/30/27		2,900		3,352,710
3.70%, 11/15/29		1,636		1,775,387
Cheniere Energy, Inc., 4.63%, 10/15/28		1,250		1,317,188
Chevron Corp.
1.55%, 05/11/25		550		562,337
2.98%, 05/11/40		70		72,361
3.08%, 05/11/50		60		62,105
Chevron USA, Inc., 5.25%, 11/15/43		370		498,937
CNOOC Finance USA LLC, Series 2015, 3.50%, 05/05/25^(d)		600		638,363
CNX Resources Corp., 7.25%, 03/14/27^(a)(d)		750		798,525
Continental Resources, Inc., 4.38%, 01/15/28^(d)		1,200		1,327,500
Diamondback Energy, Inc., 4.40%, 03/24/51		185		209,842
Enbridge, Inc.
2.50%, 08/01/33		150		150,581
3.40%, 08/01/51^(d)		195		196,454
Energy Transfer LP, 5.00%, 05/15/50		450		519,176
Equinor ASA
3.25%, 11/10/24		400		429,858
3.25%, 11/18/49		500		529,817
Exxon Mobil Corp.
2.99%, 03/19/25		2,170		2,314,978
3.45%, 04/15/51^(d)		835		887,962
MPLX LP
4.88%, 12/01/24		209		231,499
4.50%, 04/15/38		125		139,542
5.20%, 03/01/47		70		84,903
4.70%, 04/15/48		805		929,430
5.50%, 02/15/49		685		868,296
4.90%, 04/15/58		340		394,770
Occidental Petroleum Corp.
8.50%, 07/15/27		630		789,031
8.88%, 07/15/30		975		1,324,469
ONEOK Partners LP
3.38%, 10/01/22		1,000		1,020,894
4.90%, 03/15/25		2,000		2,217,840
6.13%, 02/01/41		75		96,414
ONEOK, Inc.
2.75%, 09/01/24^(d)		1,475		1,546,021


Security	Par (000)		Value

Oil, Gas & Consumable Fuels (continued)
ONEOK, Inc. (continued)
6.35%, 01/15/31^(d)	$	1,140	$	1,459,416
7.15%, 01/15/51		80		115,807
Pioneer Natural Resources Co., 2.15%, 01/15/31^(d)		150		145,861
Rockies Express Pipeline LLC, 4.95%, 07/15/29^(a)		750		780,000
Southwestern Energy Co., 8.38%, 09/15/28^(d)		140		158,582
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 5.50%, 03/01/30		1,100		1,202,781
TransCanada PipeLines Ltd., 3.75%, 10/16/23		800		844,119
Transcontinental Gas Pipe Line Co. LLC, 3.95%, 05/15/50		95		106,527
Western Midstream Operating LP, 5.30%, 02/01/30		1,150		1,270,750
Williams Cos., Inc., 5.10%, 09/15/45		601		744,087


				33,739,239

Personal Products — 0.2%
Procter & Gamble Co., 1.20%, 10/29/30		2,115		2,012,001
Unilever Capital Corp., 2.00%, 07/28/26^(d)		800		830,317


				2,842,318

Pharmaceuticals — 1.3%
AbbVie, Inc.
2.60%, 11/21/24		3,520		3,700,330
4.05%, 11/21/39		50		57,460
AstraZeneca PLC
3.50%, 08/17/23		1,200		1,268,093
3.13%, 06/12/27		990		1,078,063
Bristol-Myers Squibb Co., 3.45%, 11/15/27		557		619,211
Cigna Corp., 3.75%, 07/15/23		444		469,312
CVS Health Corp., 3.00%, 08/15/26		75		80,520
Eli Lilly & Co., 2.75%, 06/01/25		378		400,025
Johnson & Johnson
3.70%, 03/01/46		1,329		1,560,623
2.25%, 09/01/50^(d)		320		295,873
2.45%, 09/01/60		250		233,201
Merck & Co., Inc.
2.75%, 02/10/25		800		846,976
0.75%, 02/24/26^(d)		5,085		5,016,673
4.00%, 03/07/49		330		397,090
Novartis Capital Corp., 2.75%, 08/14/50		561		564,564
Pfizer, Inc., 7.20%, 03/15/39		80		128,210
Viatris, Inc., 1.65%, 06/22/25^(a)		180		181,801
Zoetis, Inc.
3.00%, 09/12/27^(d)		1,800		1,937,999
3.90%, 08/20/28		5		5,619
3.00%, 05/15/50^(d)		1,130		1,138,018


				19,979,661

Producer Durables: Miscellaneous — 0.6%
Oracle Corp.
2.50%, 04/01/25		4,025		4,210,648
2.95%, 05/15/25		800		848,843
2.88%, 03/25/31		3,400		3,498,591
3.95%, 03/25/51		1,100		1,160,081
salesforce.com, Inc.
1.50%, 07/15/28		125		124,376
1.95%, 07/15/31^(d)		80		79,621
2.70%, 07/15/41		75		74,778
2.90%, 07/15/51		50		49,874
3.05%, 07/15/61		25		25,291


				10,072,103


8

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Real Estate Management & Development — 0.0%
CBRE Services, Inc., 4.88%, 03/01/26	$	670	$	764,077


Road & Rail — 0.3%
Burlington Northern Santa Fe LLC
3.00%, 04/01/25		800		854,812
3.05%, 02/15/51		990		1,020,574
CSX Corp., 2.60%, 11/01/26^(d)		800		848,530
Union Pacific Corp.
2.75%, 04/15/23^(d)		1,590		1,637,684
3.25%, 08/15/25		400		430,351


				4,791,951

Semiconductors & Semiconductor Equipment — 1.0%
Analog Devices, Inc.
2.95%, 04/01/25		225		240,011
1.70%, 10/01/28		385		385,815
2.80%, 10/01/41		240		240,030
2.95%, 10/01/51		180		179,938
Broadcom, Inc.
3.15%, 11/15/25		198		211,619
3.50%, 02/15/41^(a)		130		128,451
3.75%, 02/15/51^(a)		1,315		1,312,238
Flex Ltd., 3.75%, 02/01/26		230		250,012
Intel Corp., 3.40%, 03/25/25		4,490		4,852,275
Jabil, Inc., 1.70%, 04/15/26^(d)		1,055		1,060,532
Maxim Integrated Products, Inc., 3.38%, 03/15/23		1,000		1,034,255
Micron Technology, Inc.
2.50%, 04/24/23		940		967,523
4.19%, 02/15/27^(d)		280		314,830
4.66%, 02/15/30		755		871,459
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25^(a)		190		198,111
ON Semiconductor Corp., 3.88%, 09/01/28^(a)		1,500		1,548,750
Sensata Technologies, Inc., 4.38%, 02/15/30^(a)		800		860,768
Texas Instruments, Inc.
1.75%, 05/04/30		730		722,506
2.70%, 09/15/51		870		855,904


				16,235,027

Software — 0.8%
Activision Blizzard, Inc.
1.35%, 09/15/30^(d)		365		338,281
2.50%, 09/15/50		445		385,308
Electronic Arts, Inc.
1.85%, 02/15/31		1,310		1,266,864
2.95%, 02/15/51^(d)		565		542,661
Intuit, Inc.
0.95%, 07/15/25		405		404,532
1.35%, 07/15/27		1,410		1,402,681
1.65%, 07/15/30		1,415		1,378,779
Roper Technologies, Inc.
3.65%, 09/15/23^(d)		800		847,521
3.80%, 12/15/26		1,000		1,110,799
ServiceNow, Inc., 1.40%, 09/01/30		5,492		5,151,059
VMware, Inc., 2.95%, 08/21/22		160		163,308


				12,991,793

Specialty Retail — 0.1%
QVC, Inc., 4.38%, 09/01/28^(d)		1,700		1,757,375


Technology Hardware, Storage & Peripherals — 1.7%
Adobe, Inc.
1.90%, 02/01/25		745		769,358
2.15%, 02/01/27		2,090		2,189,798


Security	Par (000)		Value

Technology Hardware, Storage & Peripherals (continued)
Apple, Inc.
3.00%, 06/20/27	$	925	$	1,012,638
1.40%, 08/05/28		850		836,314
2.70%, 08/05/51		890		858,188
2.85%, 08/05/61		450		434,204
Dell International LLC/EMC Corp.
5.85%, 07/15/25		230		267,584
8.10%, 07/15/36		235		356,347
8.35%, 07/15/46		2,650		4,297,919
Hewlett Packard Enterprise Co., 4.45%, 10/02/23		3,690		3,952,516
HP, Inc.
2.20%, 06/17/25		1,030		1,062,930
1.45%, 06/17/26^(a)		2,410		2,397,076
3.00%, 06/17/27^(d)		1,250		1,334,833
3.40%, 06/17/30		365		388,307
2.65%, 06/17/31^(a)		5,341		5,288,096
6.00%, 09/15/41^(d)		494		637,774
NetApp, Inc., 2.38%, 06/22/27		165		172,132


				26,256,014

Textiles, Apparel & Luxury Goods — 0.4%
NIKE, Inc.
2.40%, 03/27/25		245		257,107
3.25%, 03/27/40		2,075		2,271,072
VF Corp., 2.05%, 04/23/22		3,025		3,053,547


				5,581,726

Tobacco — 1.0%
Altria Group, Inc.
4.80%, 02/14/29		2,415		2,775,284
2.45%, 02/04/32		2,980		2,855,525
5.80%, 02/14/39		1,127		1,385,852
4.45%, 05/06/50		215		225,932
3.70%, 02/04/51		430		404,863
4.00%, 02/04/61		365		349,581
BAT Capital Corp.
4.39%, 08/15/37		510		547,757
3.73%, 09/25/40		125		120,598
Philip Morris International, Inc.
0.88%, 05/01/26		2,670		2,620,553
2.10%, 05/01/30		670		665,754
6.38%, 05/16/38		2,010		2,819,222
4.25%, 11/10/44^(d)		1,020		1,166,528
Reynolds American, Inc., 5.85%, 08/15/45		420		503,940


				16,441,389

Transportation Infrastructure — 0.2%
United Parcel Service, Inc., 5.30%, 04/01/50^(d)		1,725		2,491,023


Utilities — 0.3%
American Water Capital Corp.
2.80%, 05/01/30		270		283,204
2.30%, 06/01/31		1,335		1,348,679
Essential Utilities, Inc.
3.57%, 05/01/29		630		688,240
2.70%, 04/15/30		380		391,921
Vistra Operations Co. LLC, 5.00%, 07/31/27^(a)		1,250		1,290,625


				4,002,669

Wireless Telecommunication Services — 0.8%
America Movil SAB de CV, 4.38%, 07/16/42		710		845,816
American Tower Corp., 1.30%, 09/15/25		680		680,134
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23		1,270		1,333,085


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Wireless Telecommunication Services (continued)
Crown Castle International Corp.
3.20%, 09/01/24^(d)	$	625	$	665,122
1.35%, 07/15/25^(d)		2,205		2,215,404
2.50%, 07/15/31		450		449,635
GLP Capital LP/GLP Financing II, Inc.
5.75%, 06/01/28		1,145		1,343,371
5.30%, 01/15/29		2,545		2,975,515
4.00%, 01/15/31		1,158		1,249,019
T-Mobile USA, Inc., 3.50%, 04/15/25		25		26,933
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29^(a)(d)		155		159,443
VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30^(a)(d)		500		530,000


				12,473,477


Total Corporate Bonds — 45.9% (Cost: $693,754,249)				715,114,714


Foreign Agency Obligations

Indonesia — 0.0%
Indonesia Government International Bond, 4.75%, 07/18/47^(a)		500		586,344


Israel — 0.0%
State of Israel, 3.38%, 01/15/50^(d)		390		413,961


Mexico — 0.2%
Mexico Government International Bond
4.15%, 03/28/27^(d)		1,145		1,290,415
6.05%, 01/11/40		100		122,487
4.50%, 01/31/50		340		348,245
3.77%, 05/24/61		735		652,680


				2,413,827

Panama — 0.0%
Panama Government International Bond, 3.87%, 07/23/60^(d)		830		810,184


Peru — 0.1%
Peruvian Government International Bond, 3.55%, 03/10/51^(d)		900		892,575


Philippines — 0.0%
Philippine Government International Bond, 2.65%, 12/10/45		200		183,037


Uruguay — 0.1%
Uruguay Government International Bond
5.10%, 06/18/50		1,000		1,272,375
4.98%, 04/20/55		50		62,478


				1,334,853


Total Foreign Agency Obligations — 0.4% (Cost: $6,307,214)				6,634,781


Municipal Bonds

California — 0.2%
Bay Area Toll Authority, RB, BAB
Series F-2, 6.26%, 04/01/49.		250		402,002
Series S-1, 6.92%, 04/01/40		50		75,488
California State University, Refunding RB, Series B, 2.98%, 11/01/51		595		603,961


Security	Par (000)		Value

California (continued)
Regents of the University of California Medical Center Pooled Revenue, RB
Series N, 3.01%, 05/15/50	$	120	$	121,046
Series N, 3.71%, 05/15/2120		85		90,125
State of California, GO, BAB
7.55%, 04/01/39		525		883,722
7.60%, 11/01/40^(d)		300		522,381
State of California, Refunding GO, 3.50%, 04/01/28		500		560,390
University of California, RB, Series AD, 4.86%, 05/15/2112		115		160,310
University of California, Refunding RB, Series J, 4.13%, 05/15/45		150		176,543


				3,595,968

District of Columbia — 0.0%
District of Columbia Water & Sewer Authority, Refunding RB, Series D, Subordinate Lien, 3.21%, 10/01/48		200		204,292


Florida — 0.0%
State Board of Administration Finance Corp., RB, Series A, 2.15%, 07/01/30		119		120,113


Illinois — 0.1%
Chicago O’Hare International Airport, ARB, Series C, Senior Lien, 4.47%, 01/01/49		310		399,401
State of Illinois, GO, 5.10%, 06/01/33		255		297,302


				696,703

Maryland — 0.0%
Maryland Health & Higher Educational Facilities Authority, Refunding RB
Series D, 3.05%, 07/01/40^(d)		115		118,579
Series D, 3.20%, 07/01/50		80		82,278


				200,857

Massachusetts — 0.0%
Commonwealth of Massachusetts, GO, Series H, 2.90%, 09/01/49		295		306,720


New Jersey — 0.1%
New Jersey Turnpike Authority, RB, BAB, Series A, 7.10%, 01/01/41		550		877,096


New York — 0.2%
Metropolitan Transportation Authority, RB, BAB, 6.81%, 11/15/40		355		513,500
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, BAB, 5.51%, 08/01/37		110		147,342
New York City Water & Sewer System, Refunding RB, 5.88%, 06/15/44		250		382,645
New York State Dormitory Authority, Refunding RB, Series B, 3.14%, 07/01/43^(d)		255		267,276
Port Authority of New York & New Jersey, ARB, Consolidated, 192nd Series, 4.81%, 10/15/65^(d)		50		68,353
Port Authority of New York & New Jersey, RB, 191th Series, 4.82%, 06/01/45		200		221,184
Port Authority of New York & New Jersey, Refunding ARB, 210th Series, 4.03%, 09/01/48^(d)		500		600,415


				2,200,715

Pennsylvania — 0.0%
Pennsylvania State University, Refunding RB, Series D, 2.84%, 09/01/50		80		80,067


10

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Texas — 0.1%
Board of Regents of the University of Texas System, Refunding RB, Series B, 2.44%, 08/15/49	$	405	$	387,358
Grand Parkway Transportation Corp., Refunding RB, Subordinate, 3.24%, 10/01/52		400		409,696
Texas Transportation Commission State Highway Fund, Refunding RB, 4.00%, 10/01/33		690		837,288
Texas Transportation Commission, Refunding GO, 2.47%, 10/01/44		465		462,568


				2,096,910

Virginia — 0.0%
University of Virginia, Refunding RB, 2.58%, 11/01/51		60		59,287


Total Municipal Bonds — 0.7% (Cost: $9,760,954)				10,438,728


Non-Agency Mortgage-Backed Securities

Collateralized Mortgage Obligations — 7.6%
American Home Mortgage Investment Trust, Series 2004-3, Class 4A, (6 mo. LIBOR US + 1.50%), 1.65%, 10/25/34^(b)		21		21,361
Citicorp Mortgage Securities Trust, Series 2006-1, Class 2A1, 5.00%, 02/25/21		2		2,473
Citigroup Mortgage Loan Trust^(a)(b)
Series 2013-A, Class A, 3.00%, 05/25/42		6		6,335
Series 2014-A, Class A, 4.00%, 01/25/35		44		44,964
Connecticut Avenue Securities Trust^(a)(b)
Series 2018-R07, Class 1M2, (1 mo. LIBOR US + 2.40%), 2.49%, 04/25/31		3,535		3,551,263
Series 2019-R01, Class 2M2, (1 mo. LIBOR US + 2.45%), 2.54%, 07/25/31		2,823		2,839,063
Series 2019-R02, Class 1M2, (1 mo. LIBOR US + 2.30%), 2.39%, 08/25/31		5,848		5,888,190
Series 2019-R03, Class 1M2, (1 mo. LIBOR US + 2.15%), 2.24%, 09/25/31		2,252		2,265,287
Series 2019-R04, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.19%, 06/25/39		2,153		2,158,253
Series 2019-R05, Class 1J1, 2.08%, 07/25/39		1,278		1,264,682
Series 2019-R05, Class 1M2, (1 mo. LIBOR US + 2.00%), 2.09%, 07/25/39		3,491		3,499,993
Series 2019-R06, Class 2M2, (1 mo. LIBOR US + 2.10%), 2.19%, 09/25/39		3,018		3,026,680
Series 2019-R07, Class 1M2, (1 mo. LIBOR US + 2.10%), 2.19%, 10/25/39		1,738		1,747,100
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-6, Class 3A1, 5.00%, 09/25/19		7		5,823
Fannie Mae^(b)
Series 2017-C01, Class 1M2, (1 mo. LIBOR US + 3.55%), 3.64%, 07/25/29		948		976,636
Series 2017-C03, Class 1ED1, (1 mo. LIBOR US + 0.70%), 0.79%, 10/25/29^(c)		6,307		6,294,975
Series 2017-C05, Class 1EB3, (1 mo. LIBOR US + 1.20%), 1.29%, 01/25/30		4,433		4,437,021
Fannie Mae Connecticut Avenue Securities^(b)
Series 2017-C05, Class 1M2, (1 mo. LIBOR US + 2.20%), 2.29%, 01/25/30		6,615		6,759,881
Series 2018-C01, Class 1EA1, (1 mo. LIBOR US + 0.45%), 0.54%, 07/25/30		740		727,987


Security	Par (000)		Value

Collateralized Mortgage Obligations (continued)
Freddie Mac^(b)
Series 2017-HQA3, Class M2, (1 mo. LIBOR US + 2.35%), 2.44%, 04/25/30	$	5,454	$	5,566,755
Series 2020-DNA4, Class M2B, (1 mo. LIBOR US + 3.75%), 3.84%, 08/25/50^(a)		7,358		7,413,996
Series 2020-HQA3, Class M2, (1 mo. LIBOR US + 3.60%), 3.69%, 07/25/50^(a)		3,550		3,582,688
Series 2021-DNA3, Class M1, (30 day SOFR + 0.75%), 0.80%, 10/25/33^(a)		705		705,714
Series 2021-DNA3, Class M2, (30 day SOFR + 2.10%), 2.15%, 10/25/33^(a)		670		683,608
Series 2021-DNA5, Class M1, (30 day SOFR + 0.65%), 0.70%, 01/25/34^(a)		2,383		2,384,502
Series 2021-DNA5, Class M2, (30 day SOFR + 1.65%), 1.70%, 01/25/34^(a)		1,970		1,986,094
Series 2021-HQA2, Class M1, (30 day SOFR + 0.70%), 0.75%, 12/25/33^(a)		3,180		3,182,181
Freddie Mac STACR REMIC Trust^(a)(b)
Series 2020-DNA3, Class M2, (1 mo. LIBOR US + 3.00%), 3.09%, 06/25/50		4,974		4,997,491
Series 2020-DNA6, Class M1, (30 day SOFR + 0.90%), 0.95%, 12/25/50		2,234		2,235,290
Freddie Mac Structured Agency Credit Risk Debt Notes^(b)
(30 day SOFR + 0.80%), 0.85%, 08/25/33^(a)		5,079		5,085,595
Series 2016-DNA1, Class M3, (1 mo. LIBOR US + 5.55%), 5.63%, 07/25/28		1,422		1,490,898
Series 2017-DNA1, Class M2, (1 mo. LIBOR US + 3.25%), 3.34%, 07/25/29		7,817		8,068,000
Series 2017-DNA2, Class M1, (1 mo. LIBOR US + 1.20%), 1.29%, 10/25/29		194		193,753
Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.45%), 3.54%, 10/25/29		7,970		8,260,669
Series 2017-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 03/25/30		165		165,035
Series 2020-HQA5, Class M1, (30 day SOFR + 1.10%), 1.15%, 11/25/50^(a)		474		474,327
Morgan Stanley Capital I Trust, 2.57%, 09/15/31^(e)		4,250		4,377,455
STACR Trust^(a)(b)
Series 2018-DNA3, Class M1, (1 mo. LIBOR US + 0.75%), 0.84%, 09/25/48		17		17,006
Series 2018-DNA3, Class M2, (1 mo. LIBOR US + 2.10%), 2.19%, 09/25/48		4,273		4,336,780
Series 2018-HRP1, Class M2, (1 mo. LIBOR US + 1.65%), 1.74%, 04/25/43		4,865		4,878,354
Series 2018-HRP1, Class M2B, (1 mo. LIBOR US + 1.65%), 1.74%, 04/25/43		1,685		1,686,187
Series 2018-HRP2, Class M2, (1 mo. LIBOR US + 1.25%), 1.34%, 02/25/47		1,592		1,594,086


				118,884,431

Commercial Mortgage-Backed Securities — 4.2%
Bank
Series 2019-BN23, Class A3, 2.92%, 12/15/52		2,230		2,376,458
Series 2020-BN29, Class A4, 2.00%, 11/15/53		1,740		1,723,474
Barclays Commercial Mortgage Trust, Series 2019- C4, Class A5, 2.92%, 08/15/52		1,400		1,488,911
BBCMS Mortgage Trust, Series 2020-C8, Class A5, 2.04%, 10/15/53		2,376		2,363,907
BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54		1,660		1,709,612


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
Benchmark 2021-B23 Mortgage Trust, 2.07%, 02/15/54	$	1,480	$	1,472,212
Benchmark 2021-B29 Mortgage Trust, Series 2021- B29, Class A5, 2.39%, 09/15/54		2,420		2,467,408
Benchmark Mortgage Trust
Series 2018-B5, Class A4, 4.21%, 07/15/51		1,290		1,478,217
Series 2019-B15, Class A5, 2.93%, 12/15/72		2,050		2,182,677
Series 2020-B19, Class A5, 1.85%, 09/15/53		2,300		2,260,291
Series 2020-B20, Class A5, 2.03%, 10/15/53		2,220		2,206,882
Citigroup Commercial Mortgage Trust
Series 2006-C5, Class AJ, 5.48%, 10/15/49		18		15,230
Series 2016-GC36, Class A5, 3.62%, 02/10/49		550		599,173
Series 2017-P8, Class AS, 3.79%, 09/15/50^(b)		2,090		2,297,037
COMM Mortgage Trust, Series 2015-CR22, Class A2, 2.86%, 03/10/48		1,418		1,418,547
Commercial Mortgage Trust
Series 2013-CR11, Class B, 5.28%, 08/10/50^(b)		380		407,609
Series 2013-LC6, Class AM, 3.28%, 01/10/46		400		411,774
Series 2014-CR17, Class A5, 3.98%, 05/10/47		670		719,460
Commission Mortgage Trust, 3.51%, 09/10/50		1,290		1,416,244
Eleven Madison Avenue Mortgage Trust, Series 2015- 11MD, Class A, 3.67%, 09/10/35^(a)(b)		150		161,949
GS Mortgage Securities Trust
Series 2012-GCJ7, Class AS, 4.09%, 05/10/45		280		283,367
Series 2013-GC13, Class A5, 4.18%, 07/10/46^(b)		170		178,915
Series 2014-GC20, Class A5, 4.00%, 04/10/47		730		776,528
Series 2015-GC30, Class B, 4.16%, 05/10/50^(b)		300		322,582
Series 2015-GS1, Class A3, 3.73%, 11/10/48		2,030		2,216,799
Series 2020-GC47, Class A4, 2.12%, 05/12/53		1,600		1,602,845
JPMBB Commercial Mortgage Securities Trust
Series 2013-C14, Class A4, 4.13%, 08/15/46^(b)		324		337,652
Series 2013-C17, Class A3, 3.93%, 01/15/47		1,144		1,181,377
Series 2014-C25, Class AS, 4.07%, 11/15/47		2,180		2,317,175
Series 2015-C30, Class A5, 3.82%, 07/15/48		1,780		1,931,058
Series 2015-C33, Class A4, 3.77%, 12/15/48		2,360		2,588,633
Series 2016-C1, Class A5, 3.58%, 03/15/49		810		881,276
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2006-CB16, Class B, 5.67%, 05/12/45^(b)		210		10,823
Series 2012-CBX, Class AS, 4.27%, 06/15/45		350		356,713
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C13, Class A4, 4.04%, 11/15/46		460		488,735
Series 2013-C9, Class A4, 3.10%, 05/15/46		2,270		2,343,930
Morgan Stanley Capital I Trust
Series 2012-C4, Class A4, 3.24%, 03/15/45		153		154,313
Series 2015-MS1, Class A4, 3.78%, 05/15/48^(b)		550		597,099
Series 2015-UBS8, Class A3, 3.54%, 12/15/48		3,010		3,228,307
Series 2019-L3, Class AS, 3.49%, 11/15/52		970		1,056,045
Series 2020-L4, Class A3, 2.70%, 02/15/53		3,070		3,214,013
Wells Fargo Commercial Mortgage Trust
2.34%, 08/15/54		2,300		2,331,309
Series 2014-LC18, Class AS, 3.81%, 12/15/47		510		544,406
Series 2015-C26, Class AS, 3.58%, 02/15/48		1,380		1,455,635
Series 2020-C56, Class A5, 2.45%, 06/15/53		1,980		2,036,505
WF-RBS Commercial Mortgage Trust
Series 2012-C10, Class AS, 3.24%, 12/15/45		460		469,354
Series 2012-C8, Class AS, 3.66%, 08/15/45		640		652,471


Security	Par (000)		Value

Commercial Mortgage-Backed Securities (continued)
WF-RBS Commercial Mortgage Trust (continued)
Series 2013-C18, Class A5, 4.16%, 12/15/46^(b)	$	620	$	663,019
Series 2014-C23, Class A4, 3.65%, 10/15/57		286		305,826
Series 2014-C23, Class AS, 4.21%, 10/15/57^(b)		1,140		1,224,641


				64,928,423


Total Non-Agency Mortgage-Backed Securities — 11.8% (Cost: $183,611,628)				183,812,854


U.S. Government Sponsored Agency Securities

Collateralized Mortgage Obligations^(b) — 5.3%
Fannie Mae Connecticut Avenue Securities
Series 2016-C04, Class 1M2, (1 mo. LIBOR US + 4.25%), 4.34%, 01/25/29		3,062		3,174,069
Series 2016-C05, Class 2M2, (1 mo. LIBOR US + 4.45%), 4.54%, 01/25/29		291		301,699
Series 2017-C01, Class 1M2A, (1 mo. LIBOR US + 3.55%), 3.64%, 07/25/29		83		82,827
Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.09%, 10/25/29		8,249		8,478,161
Series 2017-C05, Class 1M2A, (1 mo. LIBOR US + 2.20%), 2.29%, 01/25/30		229		228,935
Series 2017-C06, Class 1M2A, (1 mo. LIBOR US + 2.65%), 2.74%, 02/25/30		142		142,579
Series 2017-C07, Class 2M2, (1 mo. LIBOR US + 2.50%), 2.59%, 05/25/30		2,926		2,970,840
Series 2018-C01, Class 1M2, (1 mo. LIBOR US + 2.25%), 2.34%, 07/25/30		8,245		8,352,741
Series 2018-C02, Class 2ED2, (1 mo. LIBOR US + 0.90%), 0.99%, 08/25/30		5,530		5,480,084
Freddie Mac STACR REMIC Trust^(a)
Series 2019-HQA4, Class M2, (1 mo. LIBOR US + 2.05%), 2.14%, 11/25/49		3,482		3,490,585
Series 2020-DNA1, Class M2, (1 mo. LIBOR US + 1.70%), 1.79%, 01/25/50		4,781		4,800,787
Series 2020-HQA1, Class M2, (1 mo. LIBOR US + 1.90%), 1.99%, 01/25/50		4,097		4,108,750
Freddie Mac STACR Trust^(a)
Series 2018-HQA2, Class M2, (1 mo. LIBOR US + 2.30%), 2.39%, 10/25/48		8,400		8,512,983
Series 2019-DNA2, Class M2, (1 mo. LIBOR US + 2.45%), 2.54%, 03/25/49		7,324		7,433,575
Series 2019-DNA4, Class M2, (1 mo. LIBOR US + 1.95%), 2.04%, 10/25/49		3,663		3,676,727
Series 2019-FTR2, Class M1, (1 mo. LIBOR US + 0.95%), 1.04%, 11/25/48		2,462		2,463,001
Series 2019-HQA1, Class M2, (1 mo. LIBOR US + 2.35%), 2.44%, 02/25/49		7,537		7,620,247
Series 2019-HQA2, Class M2, (1 mo. LIBOR US + 2.05%), 2.14%, 04/25/49		1,280		1,287,455
Series 2019-HQA3, Class M2, (1 mo. LIBOR US + 1.85%), 1.94%, 09/25/49		5,211		5,234,121
Series 2020-DNA4, Class M2, (1 mo. LIBOR US + 3.75%), 3.84%, 08/25/50		1,151		1,161,696


12

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Collateralized Mortgage Obligations (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes
Series 2016-DNA2, Class M3, (1 mo. LIBOR US + 4.65%), 4.74%, 10/25/28	$	1,597	$	1,657,806
Series 2016-HQA3, Class M2, (1 mo. LIBOR US + 1.35%), 1.44%, 03/25/29		7		7,212
Series 2017-DNA3, Class M2, (1 mo. LIBOR US + 2.50%), 2.59%, 03/25/30		1,460		1,497,357


				82,164,237

Mortgage-Backed Securities — 31.8%
Fannie Mae
3.50%, 01/25/24^(b)		1,393		1,471,058
Series 2012-M13, Class A2, 2.38%, 05/25/22		1,680		1,696,379
Series 2012-M9, Class A2, 2.48%, 04/25/22		1,215		1,223,432
Series 2013-M3, Class A2, 2.51%, 11/25/22^(b)		3,297		3,347,718
Series 2016-M13, Class A2, 2.57%, 09/25/26^(b)		752		796,227
Series 2018-M1, Class A2, 3.08%, 12/25/27^(b)		1,463		1,591,837
Series 2018-M7, Class A2, 3.15%, 03/25/28^(b)		1,590		1,744,929
Series 2018-M8, Class A2, 3.44%, 06/25/28^(b)		3,750		4,167,099
Series 2020-M42, Class A2, 1.27%, 07/25/30		4,980		4,829,281
Freddie Mac
Series K031, Class A2, 3.30%, 04/25/23^(b)		281		292,423
Series K055, Class A2, 2.67%, 03/25/26		1,590		1,697,935
Series K060, Class A2, 3.30%, 10/25/26		1,190		1,308,976
Series K061, Class A2, 3.35%, 11/25/26^(b)		1,590		1,752,977
Series K064, Class A2, 3.22%, 03/25/27		2,790		3,065,537
Series K072, Class A2, 3.44%, 12/25/27		1,190		1,332,612
Series K073, Class A2, 3.35%, 01/25/28		1,610		1,793,239
Series K076, Class A2, 3.90%, 04/25/28		2,390		2,745,463
Series K115, Class A2, 1.38%, 06/25/30		4,940		4,856,908
Freddie Mac Mortgage-Backed Securities^(a)(b)
Series 2021-DNA1, Class M1, (30 day SOFR + 0.65%), 0.70%, 01/25/51		4,125		4,125,099
Series 2021-HQA1, Class M1, (30 day SOFR + 0.70%), 0.75%, 08/25/33		4,595		4,596,942
Freddie Mac Multifamily Structured Pass Through Certificates, Series K090, Class A2, 3.42%, 02/25/29		2,935		3,318,832
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, Class A2, 2.68%, 10/25/22		3,980		4,062,507
Ginnie Mae
3.00%, 12/20/45 - 12/20/50		2,331		2,454,403
2.50%, 02/20/51		870		897,850
Ginnie Mae Mortgage-Backed Securities
6.50%, 06/15/28 - 07/15/38		64		73,723
7.50%, 08/20/30		2		2,772
6.00%, 01/15/32 - 10/20/38		155		180,190
5.00%, 11/20/33 - 10/01/51^(f)		1,809		2,037,230
5.50%, 06/15/34 - 04/20/48		511		601,370
4.50%, 03/15/39 - 10/01/51^(f)		2,956		3,199,817
4.00%, 09/15/40 - 09/15/49		7,762		8,363,614
3.50%, 01/15/41 - 04/20/48		17,455		18,670,351
3.00%, 01/20/43 - 10/01/51^(f)		15,407		16,189,799
2.50%, 12/20/46 - 10/01/51^(e)(f)		21,437		22,135,887
1.50%, 10/01/51^(f)		100		98,285
2.00%, 10/01/51^(f)		16,075		16,306,706


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
2.50%, 10/14/21 - 11/01/51^(f)	$	67,949	$	70,557,757
6.00%, 11/01/22 - 09/01/38		935		1,084,422
4.50%, 04/01/23 - 10/01/51^(f)		12,373		13,533,264
5.00%, 07/01/23 - 04/01/49		3,350		3,760,726
4.00%, 06/01/24 - 02/01/57^(f)		26,942		29,345,965
3.50%, 04/01/26 - 11/01/51^(f)		39,021		41,933,756
3.00%, 12/01/26 - 11/01/51^(f)		51,795		54,632,003
6.50%, 06/01/29 - 08/01/36		842		977,517
7.50%, 09/01/29 - 12/01/30		3		3,561
7.00%, 01/01/32 - 06/01/32		17		20,098
5.50%, 10/01/32 - 01/01/47		3,211		3,703,220
2.00%, 12/01/35 - 10/01/51^(f)(g)		103,550		104,510,090
1.50%, 10/01/36 - 10/01/51^(f)		24,900		24,643,001
(1 year CMT + 2.34%), 2.46%, 04/01/32^(b)		25		24,722
(11th District Cost of Funds + 1.25%), 1.53%, 11/01/27^(b)		53		53,427
(11th District Cost of Funds + 1.25%), 1.63%, 09/01/34^(b)		107		109,560
(12 mo. LIBOR US + 1.44%), 1.82%, 04/01/35^(b)		33		33,679
(12 mo. LIBOR US + 1.50%), 1.75%, 06/01/43^(b)		2		2,355
(12 mo. LIBOR US + 1.53%), 1.78%, 05/01/43^(b)		20		20,445
(12 mo. LIBOR US + 1.54%), 1.79%, 06/01/43^(b)		44		45,556
(12 mo. LIBOR US + 1.60%), 2.40%, 08/01/43^(b)		12		12,755
(12 mo. LIBOR US + 1.65%), 2.45%, 05/01/43^(b)		57		60,062
(12 mo. LIBOR US + 1.71%), 1.96%, 04/01/40^(b)		3		3,095
(12 mo. LIBOR US + 1.74%), 2.05%, 08/01/41^(b)		24		25,015
(12 mo. LIBOR US + 1.75%), 2.04%, 04/01/38^(b)		49		49,262
(12 mo. LIBOR US + 1.75%), 2.13%, 02/01/40^(b)		27		28,039
(12 mo. LIBOR US + 1.75%), 2.00%, 08/01/41^(b)		25		26,128
(12 mo. LIBOR US + 1.78%), 2.15%, 01/01/42^(b)		11		11,145
(12 mo. LIBOR US + 1.79%), 2.08%, 09/01/32^(b)		2		2,012
(12 mo. LIBOR US + 1.81%), 2.18%, 02/01/42^(b)		1		1,065
(12 mo. LIBOR US + 1.82%), 2.30%, 09/01/41^(b)		24		25,770
(12 mo. LIBOR US + 1.89%), 2.14%, 07/01/41^(b)		20		20,640
(12 mo. LIBOR US + 1.90%), 2.34%, 01/01/42^(b)		1		776
(6 mo. LIBOR US + 1.04%), 1.29%, 05/01/33^(b)		3		3,421
(6 mo. LIBOR US + 1.36%), 1.54%, 10/01/32^(b)		11		11,280


				496,304,996


Total U.S. Government Sponsored Agency Securities — 37.1% (Cost: $569,763,410)				578,469,233


Total Long-Term Investments — 108.1% (Cost: $1,651,211,006)				1,684,270,048


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, 2021

CoreAlpha Bond Master Portfolio

(Percentages shown are based on Net Assets)


Security	Shares			Value

Short-Term Securities

Money Market Funds — 5.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.08%^(h)(i)(j)		77,647,955		$	77,686,779
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.01%^(h)(i)		100,000			100,000


Total Short-Term Securities — 5.0% (Cost: $77,767,042)					77,786,779


Total Investments Before TBA Sale Commitments — 113.1% (Cost: $1,728,978,048)					1,762,056,827


	Par (000)

TBA Sale Commitments^(f)

Mortgage-Backed Securities — (1.0)%
Ginnie Mae Mortgage-Backed Securities, 2.50%, 10/21/50	$	(2,250	)		(2,322,686	)
Uniform Mortgage-Backed Securities
2.00%, 10/14/51		(7,000	)		(7,018,867	)
2.50%, 10/14/51		(4,350	)		(4,485,088	)
3.00%, 10/14/51		(1,925	)		(2,014,257	)


Total TBA Sale Commitments — (1.0)% (Proceeds: $(15,894,281))					(15,840,898	)


Total Investments, Net of TBA Sale Commitments — 112.1% (Cost: $1,713,083,767)					1,746,215,929

Liabilities in Excess of Other Assets — (12.1)%					(188,536,645	)


Net Assets — 100.0%				$	1,557,679,284

(a)	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.

(b)	Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(c)	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d)	All or a portion of this security is on loan.

(e)	When-issued security.

(f)	Represents or includes a TBA transaction.

(g)	All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

(h)	Affiliate of the Master Portfolio.

(i)	Annualized 7-day yield as of period end.

(j)	All or a portion of this security was purchased with the cash collateral from loaned securities.

For Master Portfolio compliance purposes, the Master Portfolio’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Master Portfolio during the period ended September 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliated Issuer	Value at 12/31/20		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 09/30/21		Shares Held at 09/30/21		Income			Capital Gain Distributions from Underlying Funds
BlackRock Cash Funds: Institutional, SL Agency Shares	$	104,962,761	$	—	$	(27,271,049)	^(a)	$	(2,160	)	$	(2,773	)	$	77,686,779		77,647,955	$	125,554	^(b)	$	—
BlackRock Cash Funds: Treasury, SL Agency Shares .		100,000		—		—			—			—			100,000		100,000		1,064			—


								$	(2,160	)	$	(2,773	)	$	77,786,779			$	126,618		$	—

(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.


14

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

Derivative Financial Instruments Outstanding as of Period End Futures Contracts

Futures Contracts



Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)

Long Contracts
Euro BTP		10		12/08/21	$	1,760	$	(24,218	)
Euro OAT		21		12/08/21		4,037		(69,102	)
10-Year Australian Treasury Bonds		1,303		12/15/21		133,268		(2,433,122	)
10-Year Canadian Bond		1,139		12/20/21		128,729		(2,792,871	)
U.S. Long Bond		589		12/21/21		93,946		(2,732,428	)
Ultra U.S. Treasury Bond		36		12/21/21		6,896		(314,033	)
5-Year U.S. Treasury Note		2,254		12/31/21		276,784		(982,275	)


								(9,348,049	)

Short Contracts
Euro Bund		313		12/08/21		61,571		928,243
10-Year U.S. Treasury Note		1,570		12/21/21		206,798		2,461,051
10-Year U.S. Ultra Long Treasury Note		256		12/21/21		37,236		566,253
Long Gilt		539		12/29/21		90,890		1,510,838
2-Year U.S. Treasury Note		23		12/31/21		5,062		3,319


								5,469,704


							$	(3,878,345	)

Forward Foreign Currency Exchange Contracts



Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,263,823	AUD	1,740,000	Morgan Stanley & Co. International PLC		12/15/21	$	5,475
USD	260,480	AUD	360,000	The Bank of New York Mellon		12/15/21		132
USD	110,682	CAD	140,000	Royal Bank of Canada		12/15/21		151
USD	498,036	CAD	630,000	Royal Bank of Canada		12/15/21		649
USD	82,240	GBP	60,000	BNP Paribas SA		12/15/21		1,388


USD	511,711	GBP	370,000	BNP Paribas SA		12/15/21		13,122

								20,917
USD	858,060	AUD	1,190,000	Royal Bank of Canada		12/15/21		(2,533	)
USD	266,985	CAD	340,000	Morgan Stanley & Co. International PLC		12/15/21		(1,446	)
USD	315,795	CAD	400,000	Morgan Stanley & Co. International PLC		12/15/21		(7	)
USD	314,645	CAD	400,000	Royal Bank of Canada		12/15/21		(1,156	)
USD	346,894	CAD	440,000	Royal Bank of Canada		12/15/21		(488	)
USD	327,194	CAD	420,000	Westpac Banking Corp.		12/15/21		(4,398	)


								(10,028	)


							$	10,889

Centrally Cleared Interest Rate Swaps



								Notional Amount (000)						Upfront Premium Paid (Received	)		Unrealized Appreciation (Depreciation	)
Paid by the Master Portfolio		Received by the Master Portfolio			Effective Date		Termination Date
Rate	Frequency	Rate	Frequency		Effective Date		Termination Date			Value
6-Month GBP LIBOR, 0.17%	Annual	0.28%		Annual		N/A	08/16/23	GBP	21,450	$	(106,948	)	$	4,465		$	(111,413	)
6-Month GBP LIBOR, 0.17%	Annual	0.26%		Annual		N/A	08/23/23	GBP	50,570		(290,160	)		(57	)		(290,103	)
6-Month GBP LIBOR, 0.17%	Annual	0.25%		Annual		N/A	09/07/23	GBP	32,260		(201,518	)		(1,359	)		(200,159	)
0.20%	Annual	6-Month LIBOR, 0.16%		Annual		N/A	09/22/23	USD	11,820		9,064			(1,262	)		10,326
0.19%	Annual	6-Month LIBOR, 0.16%		Annual		N/A	09/24/23	USD	7,890		6,938			37			6,901
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.45%)		Annual		N/A	09/27/23	EUR	10,020		(3,052	)		(567	)		(2,485	)
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.43%)		Annual		N/A	09/28/23	EUR	15,710		(587	)		(864	)		277
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.43%)		Annual		N/A	09/29/23	EUR	13,850		362			77			285
0.26%	Annual	6-Month LIBOR, 0.16%		Annual		N/A	09/29/23	USD	7,760		(2,752	)		(83	)		(2,669	)
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.42%)		Annual		N/A	09/30/23	EUR	10,070		1,583			56			1,527


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, 2021

CoreAlpha Bond Master Portfolio

Centrally Cleared Interest Rate Swaps (continued)



														Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Paid by the Master Portfolio		Received by the Master Portfolio		Effective			Termination		Notional
Rate	Frequency	Rate	Frequency	Date			Date		Amount (000)		Value


6-Month EURIBOR, (0.53%)	Semi-Annual	(0.42%)	Annual		N/A			10/01/23	EUR	9,050	$	1,052		$	462		$	590
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.46%)	Annual		12/08/21	^(a)		12/08/23	EUR	124,770		(99,090	)		(39,386	)		(59,704	)
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.44%)	Annual		12/08/21	^(a)		12/08/23	EUR	148,400		(197,003	)		(20,959	)		(176,044	)
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.44%)	Annual		12/08/21	^(a)		12/08/23	EUR	49,570		(42,810	)		(5,872	)		(36,938	)
6-Month GBP LIBOR, 0.17%	Annual	0.33%	Annual		12/08/21	^(a)		12/08/23	GBP	85,780		(572,093	)		1,529			(573,622	)
6-Month GBP LIBOR, 0.17%	Annual	0.36%	Annual		12/08/21	^(a)		12/08/23	GBP	85,485		(489,634	)		8,596			(498,230	)
3-Month LIBOR, 0.13%	Quarterly	0.39%	Semi-Annual		12/08/21	^(a)		12/08/23	USD	118,160		(137,191	)		(11,375	)		(125,816	)
(0.41%)	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/15/21	^(a)		12/15/24	EUR	43,870		139,250			9,269			129,981
0.41%	Annual	6-Month GBP LIBOR, 0.17%	Annual		12/15/21	^(a)		12/15/24	GBP	32,070		351,100			1,404			349,696
6-Month LIBOR, 0.16%	Annual	0.44%	Annual		12/15/21	^(a)		12/15/24	USD	28,990		(93,700	)		(54	)		(93,646	)
0.44%	Annual	6-Month LIBOR, 0.16%	Annual		12/15/21	^(a)		12/15/24	USD	7,860		25,998			(539	)		26,537
3-Month BBR, 1.85%	Quarterly	0.48%	Quarterly		12/15/21	^(a)		12/15/24	AUD	22,140		(65,872	)		159			(66,031	)
0.48%	Annual	6-Month GBP LIBOR, 0.17%	Annual		12/15/21	^(a)		12/15/24	GBP	6,210		50,607			358			50,249
3-Month BBR, 1.85%	Quarterly	0.53%	Quarterly		12/15/21	^(a)		12/15/24	AUD	25,090		(50,245	)		182			(50,427	)
3-Month BBR, 1.85%	Quarterly	0.55%	Quarterly		12/15/21	^(a)		12/15/24	AUD	25,080		(38,841	)		180			(39,021	)
		3-Month Canada Bank
1.12%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		12/15/21	^(a)		12/15/24	CAD	11,340		54,591			(1,158	)		55,749
		3-Month Canada Bank
1.27%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		12/15/21	^(a)		12/15/24	CAD	2,160		2,640			1,636			1,004
		3-Month Canada Bank
1.33%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		12/15/21	^(a)		12/15/24	CAD	9,990		(863	)		(4,929	)		4,066
0.18%	Annual	6-Month LIBOR, 0.16%	Annual		N/A			10/20/25	USD	2,500		51,103			—			51,103
6-Month LIBOR, 0.16%	Annual	0.18%	Annual		N/A			10/20/25	USD	2,500		(48,909	)		—			(48,909	)
(0.31%)	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/08/21	^(a)		12/08/26	EUR	99,685		590,489			218,399			372,090
(0.27%)	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/08/21	^(a)		12/08/26	EUR	19,860		111,033			(5,085	)		116,118
(0.26%)	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/08/21	^(a)		12/08/26	EUR	216,460		1,763,136			110,158			1,652,978
0.51%	Annual	6-Month GBP LIBOR, 0.17%	Annual		12/08/21	^(a)		12/08/26	GBP	34,630		632,066			(37,471	)		669,537
0.53%	Annual	6-Month GBP LIBOR, 0.17%	Annual		12/08/21	^(a)		12/08/26	GBP	34,535		568,575			(2,651	)		571,226
0.94%	Semi-Annual	3-Month LIBOR, 0.13%	Quarterly		12/08/21	^(a)		12/08/26	USD	24,050		230,647			17,502			213,145
6.66%	Monthly	1-Month MXIBOR, 4.75%	Monthly		03/16/22	^(a)		03/10/27	MXN	203,500		264,448			92			264,356
7.15%	Monthly	1-Month MXIBOR, 4.75%	Monthly		03/16/22	^(a)		03/10/27	MXN	22,140		6,836			10			6,826
7.31%	Monthly	1-Month MXIBOR, 4.75%	Monthly		03/16/22	^(a)		03/10/27	MXN	19,470		(385	)		9			(394	)
7.39%	Monthly	1-Month MXIBOR, 4.75%	Monthly		03/16/22	^(a)		03/10/27	MXN	20,270		(3,782	)		9			(3,791	)
6-Month EURIBOR, (0.53%)	Semi-Annual	(0.13%)	Annual		03/16/22	^(a)		03/16/27	EUR	1,890		(146	)		25			(171	)
3-Month STIBOR, 0.07%	Quarterly	0.48%	Annual		03/16/22	^(a)		03/16/27	SEK	20,700		(16,364	)		27			(16,391	)
3-Month STIBOR, 0.07%	Quarterly	0.50%	Annual		03/16/22	^(a)		03/16/27	SEK	13,680		(9,066	)		18			(9,084	)
3-Month STIBOR, 0.07%	Quarterly	0.53%	Annual		03/16/22	^(a)		03/16/27	SEK	19,580		(9,307	)		25			(9,332	)
3-Month STIBOR, 0.07%	Quarterly	0.55%	Annual		03/16/22	^(a)		03/16/27	SEK	19,000		(7,197	)		25			(7,222	)
3-Month STIBOR, 0.07%	Quarterly	0.59%	Annual		03/16/22	^(a)		03/16/27	SEK	14,470		(2,441	)		18			(2,459	)
0.59%	Annual	6-Month GBP LIBOR, 0.17%	Annual		03/16/22	^(a)		03/16/27	GBP	1,280		20,100			20			20,080
3-Month STIBOR, 0.07%	Quarterly	0.61%	Annual		03/16/22	^(a)		03/16/27	SEK	15,290		(625	)		20			(645	)
0.64%	Annual	6-Month GBP LIBOR, 0.17%	Annual		03/16/22	^(a)		03/16/27	GBP	1,390		16,545			21			16,524
6-Month LIBOR, 0.16%	Annual	0.78%	Annual		03/16/22	^(a)		03/16/27	USD	3,080		(31,235	)		34			(31,269	)
0.80%	Annual	6-Month GBP LIBOR, 0.17%	Annual		03/16/22	^(a)		03/16/27	GBP	1,300		2,230			20			2,210
6-Month LIBOR, 0.16%	Annual	0.83%	Annual		03/16/22	^(a)		03/16/27	USD	16,600		(131,870	)		14,281			(146,151	)
6-Month SIBOR, 0.59%	Semi-Annual	0.84%	Semi-Annual		03/16/22	^(a)		03/16/27	SGD	8,908		(108,818	)		74			(108,892	)
6-Month SIBOR, 0.59%	Semi-Annual	0.85%	Semi-Annual		03/16/22	^(a)		03/16/27	SGD	4,737		(55,307	)		39			(55,346	)
6-Month SIBOR, 0.59%	Semi-Annual	0.85%	Semi-Annual		03/16/22	^(a)		03/16/27	SGD	17,292		(205,939	)		143			(206,082	)
3-Month HIBOR, 0.14%	Quarterly	0.95%	Quarterly		03/16/22	^(a)		03/16/27	HKD	10,592		(18,256	)		15			(18,271	)
3-Month HIBOR, 0.14%	Quarterly	0.95%	Quarterly		03/16/22	^(a)		03/16/27	HKD	3,917		(6,826	)		6			(6,832	)
6-Month BBR, 1.85%	Semi-Annual	0.95%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	2,450		(20,483	)		20			(20,503	)
3-Month HIBOR, 0.14%	Quarterly	0.96%	Quarterly		03/16/22	^(a)		03/16/27	HKD	36,160		(60,154	)		52			(60,206	)
3-Month HIBOR, 0.14%	Quarterly	0.96%	Quarterly		03/16/22	^(a)		03/16/27	HKD	10,990		(17,901	)		16			(17,917	)
3-Month HIBOR, 0.14%	Quarterly	0.96%	Quarterly		03/16/22	^(a)		03/16/27	HKD	13,040		(21,775	)		19			(21,794	)
3-Month HIBOR, 0.14%	Quarterly	0.98%	Quarterly		03/16/22	^(a)		03/16/27	HKD	11,715		(17,678	)		17			(17,695	)
3-Month HIBOR, 0.14%	Quarterly	0.98%	Quarterly		03/16/22	^(a)		03/16/27	HKD	13,515		(20,906	)		19			(20,925	)
3-Month HIBOR, 0.14%	Quarterly	0.98%	Quarterly		03/16/22	^(a)		03/16/27	HKD	13,515		(20,991	)		19			(21,010	)
6-Month BBR, 1.85%	Semi-Annual	0.98%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,665		(11,946	)		14			(11,960	)
6-Month BBR, 1.85%	Semi-Annual	0.98%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,665		(12,300	)		14			(12,314	)
6-Month BBR, 1.85%	Semi-Annual	0.98%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	2,000		(14,421	)		16			(14,437	)
3-Month HIBOR, 0.14%	Quarterly	0.99%	Quarterly		03/16/22	^(a)		03/16/27	HKD	11,715		(17,160	)		17			(17,177	)


16

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

Centrally Cleared Interest Rate Swaps (continued)



														Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Paid by the Master Portfolio		Received by the Master Portfolio		Effective			Termination		Notional
Rate	Frequency	Rate	Frequency	Date			Date		Amount (000)		Value


3-Month HIBOR, 0.14%	Quarterly	0.99%	Quarterly		03/16/22	^(a)		03/16/27	HKD	8,510	$	(12,332	)	$	12		$	(12,344	)
6-Month BBR, 1.85%	Semi-Annual	0.99%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	5,550		(38,447	)		45			(38,492	)
6-Month BBR, 1.85%	Semi-Annual	1.01%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,135		(7,059	)		9			(7,068	)
6-Month BBR, 1.85%	Semi-Annual	1.01%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,135		(7,039	)		9			(7,048	)
6-Month LIBOR, 0.16%	Annual	1.01%	Annual		03/16/22	^(a)		03/16/27	USD	1,070		1,349			12			1,337
6-Month BBR, 1.85%	Semi-Annual	1.02%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	4,090		(24,280	)		33			(24,313	)
6-Month BBR, 1.85%	Semi-Annual	1.05%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	5,180		(25,801	)		42			(25,843	)
6-Month BBR, 1.85%	Semi-Annual	1.16%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,730		(1,821	)		14			(1,835	)
6-Month BBR, 1.85%	Semi-Annual	1.18%	Semi-Annual		03/16/22	^(a)		03/16/27	AUD	1,500		(305	)		12			(317	)
3-Month HIBOR, 0.14%	Quarterly	1.19%	Quarterly		03/16/22	^(a)		03/16/27	HKD	9,924		(1,766	)		14			(1,780	)
3-Month HIBOR, 0.14%	Quarterly	1.19%	Quarterly		03/16/22	^(a)		03/16/27	HKD	6,616		(1,219	)		9			(1,228	)
		3-Month Canada Bank
1.42%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	2,870		31,908			25			31,883
		3-Month Canada Bank
1.43%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	8,360		87,999			74			87,925
		3-Month Canada Bank
1.44%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	5,010		51,684			44			51,640
		3-Month Canada Bank
1.45%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	2,110		21,203			19			21,184
		3-Month Canada Bank
1.45%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	2,060		20,819			18			20,801
		3-Month Canada Bank
1.46%	Semi-Annual	Acceptance, 0.45%	Semi-Annual		03/16/22	^(a)		03/16/27	CAD	36,360		342,155			(41,634	)		383,789
6-Month WIBOR, 0.21%	Semi-Annual	1.82%	Annual		03/16/22	^(a)		03/16/27	PLN	3,970		(12,304	)		9			(12,313	)
6-Month WIBOR, 0.21%	Semi-Annual	1.83%	Annual		03/16/22	^(a)		03/16/27	PLN	4,440		(13,388	)		10			(13,398	)
6-Month WIBOR, 0.21%	Semi-Annual	1.85%	Annual		03/16/22	^(a)		03/16/27	PLN	5,570		(15,197	)		13			(15,210	)
6.41%	Quarterly	3-Month JIBAR, 3.68%	Quarterly		03/16/22	^(a)		03/16/27	ZAR	14,190		9,432			9			9,423
6.46%	Quarterly	3-Month JIBAR, 3.68%	Quarterly		03/16/22	^(a)		03/16/27	ZAR	18,380		9,637			11			9,626
6.68%	Quarterly	3-Month JIBAR, 3.68%	Quarterly		03/16/22	^(a)		03/16/27	ZAR	15,900		(1,247	)		10			(1,257	)
6-Month LIBOR, 0.16%	Annual	0.54%	Annual		N/A			10/20/30	USD	1,250		(69,726	)		—			(69,726	)
0.55%	Annual	6-Month LIBOR, 0.16%	Annual		N/A			10/20/30	USD	1,250		69,071			—			69,071
0.57%	Annual	6-Month GBP LIBOR, 0.17%	Annual		N/A			08/16/31	GBP	3,880		164,944			(12,089	)		177,033
0.56%	Annual	6-Month GBP LIBOR, 0.17%	Annual		N/A			08/23/31	GBP	8,280		372,920			347			372,573
0.60%	Annual	6-Month GBP LIBOR, 0.17%	Annual		N/A			09/07/31	GBP	6,450		256,901			27,259			229,642
1.38%	Semi-Annual	3-Month LIBOR, 0.13%	Quarterly		N/A			09/08/31	USD	1,118		14,890			20			14,870
1.66%	Semi-Annual	3-Month LIBOR, 0.13%	Quarterly		N/A			09/08/31	USD	24,155		(320,370	)		(108,096	)		(212,274	)
6-Month LIBOR, 0.16%	Annual	1.16%	Annual		N/A			09/22/31	USD	2,500		(27,874	)		9,771			(37,645	)
6-Month LIBOR, 0.16%	Annual	1.10%	Annual		N/A			09/24/31	USD	820		(13,809	)		14			(13,823	)
0.05%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		N/A			09/27/31	EUR	2,000		25,722			7,340			18,382
0.11%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		N/A			09/28/31	EUR	2,100		11,140			3,306			7,834
0.90%	Annual	6-Month GBP LIBOR, 0.17%	Annual		N/A			09/28/31	GBP	810		1,956			45			1,911
0.15%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		N/A			09/29/31	EUR	2,110		1,171			43			1,128
6-Month LIBOR, 0.16%	Annual	1.26%	Annual		N/A			09/29/31	USD	1,690		(3,307	)		(176	)		(3,131	)
0.16%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		N/A			09/30/31	EUR	1,440		(1,272	)		29			(1,301	)
0.17%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		N/A			10/01/31	EUR	1,410		(1,453	)		(1,987	)		534
6-Month EURIBOR, (0.53%)	Semi-Annual	0.00%	Annual		12/08/21	^(a)		12/08/31	EUR	118,410		(2,559,191	)		(227,294	)		(2,331,897	)
6-Month EURIBOR, (0.53%)	Semi-Annual	0.03%	Annual		12/08/21	^(a)		12/08/31	EUR	9,650		(176,393	)		(30,969	)		(145,424	)
6-Month EURIBOR, (0.53%)	Semi-Annual	0.04%	Annual		12/08/21	^(a)		12/08/31	EUR	25,245		(406,086	)		(172,912	)		(233,174	)
6-Month EURIBOR, (0.53%)	Semi-Annual	0.06%	Annual		12/08/21	^(a)		12/08/31	EUR	700		(9,953	)		15			(9,968	)
0.65%	Annual	6-Month GBP LIBOR, 0.17%	Annual		12/08/21	^(a)		12/08/31	GBP	35,330		1,295,276			(117,195	)		1,412,471
6-Month GBP LIBOR, 0.17%	Annual	0.67%	Annual		12/08/21	^(a)		12/08/31	GBP	8,860		(309,160	)		(132	)		(309,028	)
0.74%	Annual	6-Month LIBOR, 0.16%	Annual		N/A			10/20/35	USD	500		42,057			—			42,057
6-Month LIBOR, 0.16%	Annual	0.78%	Annual		N/A			10/20/35	USD	500		(40,026	)		—			(40,026	)
0.84%	Annual	6-Month LIBOR, 0.16%	Annual		N/A			10/20/40	USD	1,000		108,159			—			108,159
6-Month LIBOR, 0.16%	Annual	0.90%	Annual		N/A			10/20/40	USD	1,000		(99,209	)		—			(99,209	)
0.90%	Annual	6-Month LIBOR, 0.16%	Annual		N/A			10/20/50	USD	500		73,912			—			73,912
6-Month LIBOR, 0.16%	Annual	0.98%	Annual		N/A			10/20/50	USD	500		(65,332	)		—			(65,332	)
3-Month LIBOR, 0.13%	Quarterly	1.72%	Semi-Annual		N/A			09/08/51	USD	488		(12,462	)		17			(12,479	)
3-Month LIBOR, 0.13%	Quarterly	2.03%	Semi-Annual		N/A			09/08/51	USD	8,804		435,613			73,159			362,454
0.30%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/08/21	^(a)		12/08/51	EUR	13,580		817,295			105,859			711,436
0.35%	Annual	6-Month EURIBOR, (0.53%)	Semi-Annual		12/08/21	^(a)		12/08/51	EUR	3,490		159,343			39,899			119,444


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, 2021

CoreAlpha Bond Master Portfolio

Centrally Cleared Interest Rate Swaps (continued)


																	Upfront
Paid by the Master Portfolio			Received by the Master Portfolio			Effective Date			Termination Date		Notional Amount (000)					Premium Paid			Unrealized Appreciation (Depreciation)
Rate	Frequency		Rate	Frequency		Effective Date			Termination Date		Notional Amount (000)		Value			(Received)			Unrealized Appreciation (Depreciation)
0.38%		Annual	6-Month EURIBOR, (0.53%)		Semi-Annual		12/08/21	^(a)		12/08/51	EUR	290	$	10,106		$	12		$	10,094
6-Month GBP LIBOR, 0.17%		Annual	0.69%		Annual		12/08/21	^(a)		12/08/51	GBP	12,610		(1,294,551	)		120,964			(1,415,515	)


													$	480,129		$	(67,980	)	$	548,109

^(a)

Forward Swap.

OTC Interest Rate Swaps

Upfront

Paid by the Master Portfolio

Received by the Master Portfolio

Effective

Date

Termination
Date

Notional
Amount (000)

Premium
Paid

Unrealized
Appreciation
(Depreciation)

Rate

Frequency

Rate

Frequency

Counterparty

Value

(Received)

1.58%

Quarterly

3-Month KRW CDC, 0.97%

Quarterly

Citibank N.A.

03/16/22

^(a)

03/16/27

KRW

9,468,134

125,303

—

125,303

1.58%

Quarterly

3-Month KRW CDC, 0.97%

Quarterly

Bank of America N.A.

03/16/22

^(a)

03/16/27

KRW

20,991,489

277,805

—

277,805

1.64%

Quarterly

3-Month KRW CDC, 0.97%

Quarterly

Citibank N.A.

03/16/22

(a)

03/16/27

KRW

18,902,117

207,945

—

207,945

611,053

—

611,053

^(a)

Forward Swap.

Fair Value Hierarchy as of Period End

•

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access;

•

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 financial instruments categorized in the fair value hierarchy. The breakdown of the Master Portfolio’s financial instruments into major categories is disclosed in the Schedule of Investments above.




	Level 1		Level 2		Level 3		Total


Assets
Investments
Long-Term Investments
Asset-Backed Securities	$	—	$	189,799,737	$	—	$	189,799,737
Common Stocks		—		—		1		1
Corporate Bonds		—		715,114,714		—		715,114,714
Foreign Agency Obligations		—		6,634,781		—		6,634,781
Municipal Bonds		—		10,438,728		—		10,438,728


18

Schedule of Investments (unaudited) (continued)

September 30, 2021

CoreAlpha Bond Master Portfolio

Fair Value Hierarchy as of Period End (continued)




	Level 1			Level 2			Level 3		Total

Non-Agency Mortgage-Backed Securities	$	—		$	177,517,879		$	6,294,975	$	183,812,854
U.S. Government Sponsored Agency Securities		—			578,469,233			—		578,469,233
Short-Term Securities
Money Market Funds		77,786,779			—			—		77,786,779
Liabilities
Investments
TBA Sale Commitments		—			(15,840,898	)		—		(15,840,898	)


	$	77,786,779		$	1,662,134,174		$	6,294,976	$	1,746,215,929

Derivative Financial Instruments^(a)
Assets
Foreign Currency Exchange Contracts	$	—		$	20,917		$	—	$	20,917
Interest Rate Contracts		5,469,704			9,555,047			—		15,024,751
Liabilities
Foreign Currency Exchange Contracts		—			(10,028	)		—		(10,028	)
Interest Rate Contracts		(9,348,049	)		(8,395,885	)		—		(17,743,934	)


	$	(3,878,345	)	$	1,170,051		$	—	$	(2,708,294	)

^(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.


Currency Abbreviation

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 Abbreviation

ARB		Airport Revenue Bonds

BAB		Build America Bond

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

REMIC		Real Estate Mortgage Investment Conduit


Portfolio Abbreviation (continued)

SAB		Special Assessment Bonds

SIBOR		Singapore Interbank Offered Rate

SOFR		Secured Overnight Financing Rate

STACR		Structured Agency Credit Risk

STIBOR		Stockholm Interbank Offered Rate

TBA		To-Be-Announced

WIBOR		Warsaw Interbank Offered Rate


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