UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2021
Date of Reporting Period
Item 1. | Reports to Stockholders |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited)
Foreign Corporate Bonds — 1.9% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Brazil — 0.5% | ||||||||||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ | 9,128,166 | ||||||
Total Brazil |
| $ | 9,128,166 | |||||||
Mexico — 0.1% | ||||||||||
Petroleos Mexicanos: | ||||||||||
7.19%, 9/12/24(2) | MXN | 10,630 | $ | 495,730 | ||||||
7.65%, 11/24/21 | MXN | 5,900 | 291,712 | |||||||
Total Mexico |
| $ | 787,442 | |||||||
Peru — 0.9% | ||||||||||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ | 7,656,572 | ||||||
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 6,707,208 | |||||||
Total Peru |
| $ | 14,363,780 | |||||||
Uzbekistan — 0.4% | ||||||||||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(1) | UZS | 29,670,000 | $ | 2,814,773 | ||||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(1) | UZS | 48,000,000 | 4,527,327 | |||||||
Total Uzbekistan |
| $ | 7,342,100 | |||||||
Total Foreign Corporate Bonds |
| $ | 31,621,488 | |||||||
Loan Participation Notes — 2.3% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Uzbekistan — 2.3% | ||||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(3)(4) | UZS | 159,708,000 | $ | 15,107,484 | ||||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(1)(3)(4) | UZS | 253,458,000 | 23,960,296 | |||||||
Total Uzbekistan |
| $ | 39,067,780 | |||||||
Total Loan Participation Notes |
| $ | 39,067,780 |
Sovereign Government Bonds — 61.7% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Belarus — 0.1% | ||||||||||
Republic of Belarus, 6.875%, 2/28/23(1) | USD | 2,164 | $ | 2,213,999 | ||||||
Total Belarus |
| $ | 2,213,999 | |||||||
Bosnia and Herzegovina — 0.1% | ||||||||||
Republic of Srpska: | ||||||||||
1.50%, 6/30/23 | BAM | 97 | $ | 59,923 | ||||||
1.50%, 10/30/23 | BAM | 265 | 163,187 | |||||||
1.50%, 12/15/23 | BAM | 14 | 8,872 | |||||||
1.50%, 5/31/25 | BAM | 2,781 | 1,699,403 | |||||||
1.50%, 6/9/25 | BAM | 267 | 163,438 | |||||||
1.50%, 12/24/25 | BAM | 290 | 177,981 | |||||||
1.50%, 9/25/26 | BAM | 217 | 132,975 | |||||||
1.50%, 9/26/27 | BAM | 77 | 46,467 | |||||||
Total Bosnia and Herzegovina |
| $ | 2,452,246 | |||||||
Brazil — 0.3% | ||||||||||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ | 4,404,440 | ||||||
Total Brazil |
| $ | 4,404,440 | |||||||
China — 3.8% | ||||||||||
China Government Bond, 2.68%, 5/21/30 | CNY | 438,820 | $ | 64,986,926 | ||||||
Total China |
| $ | 64,986,926 | |||||||
Colombia — 0.1% | ||||||||||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | $ | 1,096,699 | ||||||
Total Colombia |
| $ | 1,096,699 | |||||||
Costa Rica — 0.1% | ||||||||||
Costa Rica Government International Bond, 4.25%, 1/26/23(1) | USD | 1,468 | $ | 1,491,488 | ||||||
Titulo Propiedad UD, 1.00%, 1/12/22(5) | CRC | 66,655 | 105,562 | |||||||
Total Costa Rica |
| $ | 1,597,050 | |||||||
Dominican Republic — 1.0% | ||||||||||
Dominican Republic: | ||||||||||
8.90%, 2/15/23(1) | DOP | 201,850 | $ | 3,706,797 | ||||||
9.75%, 6/5/26(1) | DOP | 668,600 | 13,022,117 | |||||||
Total Dominican Republic |
| $ | 16,728,914 |
15 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||
Egypt — 2.5% | ||||||||||
Egypt Government Bond: | ||||||||||
14.06%, 1/12/26 | EGP | 296,986 | $ | 18,806,773 | ||||||
14.483%, 4/6/26 | EGP | 105,523 | 6,755,146 | |||||||
14.556%, 10/13/27 | EGP | 261,586 | 16,769,805 | |||||||
Total Egypt |
| $ | 42,331,724 | |||||||
Georgia — 0.9% | ||||||||||
Georgia Treasury Bond: | ||||||||||
7.00%, 5/30/24 | GEL | 30,533 | $ | 8,330,080 | ||||||
7.375%, 9/27/23 | GEL | 6,187 | 1,723,116 | |||||||
8.125%, 1/25/23 | GEL | 3,108 | 890,984 | |||||||
9.375%, 4/9/22 | GEL | 13,205 | 3,853,532 | |||||||
Total Georgia |
| $ | 14,797,712 | |||||||
Indonesia — 9.0% | ||||||||||
Indonesia Government Bond: | ||||||||||
6.50%, 2/15/31 | IDR | 631,775,000 | $ | 43,859,050 | ||||||
7.375%, 5/15/48 | IDR | 72,833,000 | 5,098,461 | |||||||
7.50%, 8/15/32 | IDR | 70,753,000 | 5,134,282 | |||||||
7.50%, 5/15/38 | IDR | 667,200,000 | 47,418,082 | |||||||
7.50%, 4/15/40 | IDR | 402,471,000 | 28,613,194 | |||||||
8.25%, 6/15/32 | IDR | 11,609,000 | 885,359 | |||||||
8.25%, 5/15/36 | IDR | 242,576,000 | 18,494,384 | |||||||
8.375%, 4/15/39 | IDR | 43,001,000 | 3,308,353 | |||||||
9.50%, 5/15/41 | IDR | 5,702,000 | 486,999 | |||||||
Total Indonesia |
| $ | 153,298,164 | |||||||
Iraq — 0.1% | ||||||||||
Republic of Iraq, 6.752%, 3/9/23(1) | USD | 1,710 | $ | 1,746,030 | ||||||
Total Iraq |
| $ | 1,746,030 | |||||||
Jordan — 0.1% | ||||||||||
Jordan Government International Bond, 4.95%, 7/7/25(1) | USD | 1,620 | $ | 1,680,977 | ||||||
Total Jordan |
| $ | 1,680,977 | |||||||
Macedonia — 0.1% | ||||||||||
Republic of Macedonia, 3.975%, 7/24/21(1) | EUR | 1,470 | $ | 1,782,771 | ||||||
Total Macedonia |
| $ | 1,782,771 | |||||||
Malaysia — 6.6% | ||||||||||
Malaysia Government Bond: | ||||||||||
3.726%, 3/31/26 | MYR | 132,970 | $ | 34,041,613 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
Malaysia (continued) | ||||||||||
Malaysia Government Bond: (continued) | ||||||||||
3.733%, 6/15/28 | MYR | 81,500 | $ | 20,803,998 | ||||||
3.828%, 7/5/34 | MYR | 28,100 | 6,843,929 | |||||||
3.955%, 9/15/25 | MYR | 161,030 | 41,494,715 | |||||||
4.254%, 5/31/35 | MYR | 40,240 | 10,207,741 | |||||||
Total Malaysia |
| $ | 113,391,996 | |||||||
Mexico — 1.6% | ||||||||||
Mexican Bonos: | ||||||||||
7.75%, 11/13/42 | MXN | 230,000 | $ | 11,316,727 | ||||||
8.50%, 5/31/29 | MXN | 224,000 | 12,332,615 | |||||||
8.50%, 11/18/38 | MXN | 36,100 | 1,935,849 | |||||||
10.00%, 11/20/36 | MXN | 22,074 | 1,354,998 | |||||||
Total Mexico |
| $ | 26,940,189 | |||||||
Mongolia — 0.1% | ||||||||||
Mongolia Government International Bond, 5.625%, 5/1/23(1) | USD | 1,623 | $ | 1,712,259 | ||||||
Total Mongolia |
| $ | 1,712,259 | |||||||
Oman — 0.0%(6) | ||||||||||
Oman Government International Bond, 3.625%, 6/15/21(1) | USD | 600 | $ | 601,516 | ||||||
Total Oman |
| $ | 601,516 | |||||||
Paraguay — 0.0%(6) | ||||||||||
Republic of Paraguay, 4.625%, 1/25/23(1) | USD | 580 | $ | 613,350 | ||||||
Total Paraguay |
| $ | 613,350 | |||||||
Peru — 1.5% | ||||||||||
Peru Government Bond: | ||||||||||
6.714%, 2/12/55 | PEN | 4,100 | $ | 1,114,601 | ||||||
6.85%, 2/12/42 | PEN | 19,284 | 5,334,297 | |||||||
6.90%, 8/12/37 | PEN | 41,002 | 11,560,675 | |||||||
6.95%, 8/12/31 | PEN | 22,900 | 6,781,162 | |||||||
Total Peru |
| $ | 24,790,735 | |||||||
Romania — 2.8% | ||||||||||
Romanian Government Bond: | ||||||||||
3.25%, 6/24/26 | RON | 57,650 | $ | 14,516,619 | ||||||
4.15%, 1/26/28 | RON | 48,045 | 12,700,131 |
16 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Romania (continued) | ||||||||||||
Romanian Government Bond: (continued) | ||||||||||||
4.85%, 4/22/26 | RON | 32,030 | $ | 8,640,625 | ||||||||
5.80%, 7/26/27 | RON | 16,020 | 4,607,623 | |||||||||
Romanian Government International Bond: | ||||||||||||
2.75%, 2/26/26(1) | EUR | 2,755 | 3,654,609 | |||||||||
3.624%, 5/26/30(1) | EUR | 2,755 | 3,826,680 | |||||||||
Total Romania |
| $ | 47,946,287 | |||||||||
Russia — 1.5% | ||||||||||||
Russia Government Bond: | ||||||||||||
2.50%, 2/2/28(5) | RUB | 1,119,530 | $ | 14,731,670 | ||||||||
7.70%, 3/23/33 | RUB | 778,365 | 10,891,055 | |||||||||
7.75%, 9/16/26 | RUB | 31,480 | 441,605 | |||||||||
8.50%, 9/17/31 | RUB | 8,092 | 119,595 | |||||||||
Total Russia |
| $ | 26,183,925 | |||||||||
Rwanda — 0.1% | ||||||||||||
Republic of Rwanda, 6.625%, 5/2/23(1) | USD | 1,560 | $ | 1,651,402 | ||||||||
Total Rwanda |
| $ | 1,651,402 | |||||||||
Serbia — 7.1% | ||||||||||||
Republic of Serbia, 7.25%, 9/28/21(1) | USD | 1,396 | $ | 1,432,183 | ||||||||
Serbia Treasury Bond: | ||||||||||||
4.50%, 1/11/26 | RSD | 5,136,670 | 57,522,801 | |||||||||
4.50%, 8/20/32 | RSD | 3,140,130 | 35,741,018 | |||||||||
5.875%, 2/8/28 | RSD | 2,161,980 | 26,823,601 | |||||||||
Total Serbia |
| $ | 121,519,603 | |||||||||
Seychelles — 0.1% | ||||||||||||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 983 | $ | 971,712 | ||||||||
Total Seychelles |
| $ | 971,712 | |||||||||
South Africa — 8.2% | ||||||||||||
Republic of South Africa: | ||||||||||||
8.25%, 3/31/32 | ZAR | 95,739 | $ | 5,816,280 | ||||||||
8.50%, 1/31/37 | ZAR | 417,200 | 23,356,296 | |||||||||
8.75%, 1/31/44 | ZAR | 408,487 | 22,504,050 | |||||||||
8.75%, 2/28/48 | ZAR | 231,000 | 12,691,503 | |||||||||
10.50%, 12/21/26 | ZAR | 971,954 | 76,596,860 | |||||||||
Total South Africa |
| $ | 140,964,989 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Thailand — 3.7% | ||||||||||||
Thailand Government Bond: | ||||||||||||
1.25%, 3/12/28(1)(5) | THB | 1,108,537 | $ | 34,920,731 | ||||||||
3.30%, 6/17/38 | THB | 594,751 | 21,629,431 | |||||||||
3.40%, 6/17/36 | THB | 205,000 | 7,557,160 | |||||||||
Total Thailand |
| $ | 64,107,322 | |||||||||
Tunisia — 0.1% | ||||||||||||
Banque Centrale de Tunisie International Bond, 6.75%, 10/31/23(1) | EUR | 1,460 | $ | 1,710,841 | ||||||||
Total Tunisia |
| $ | 1,710,841 | |||||||||
Turkey — 1.3% | ||||||||||||
Republic of Turkey, 5.125%, 3/25/22 | USD | 540 | $ | 549,777 | ||||||||
Turkey Government Bond: | ||||||||||||
7.10%, 3/8/23 | TRY | 70,204 | 7,144,420 | |||||||||
8.00%, 3/12/25 | TRY | 76,500 | 6,801,027 | |||||||||
10.70%, 8/17/22 | TRY | 9,380 | 1,054,276 | |||||||||
12.40%, 3/8/28 | TRY | 23,227 | 2,216,998 | |||||||||
16.20%, 6/14/23 | TRY | 36,761 | 4,352,707 | |||||||||
Total Turkey |
| $ | 22,119,205 | |||||||||
Ukraine — 7.3% | ||||||||||||
Ukraine Government International Bond: | ||||||||||||
9.79%, 5/26/27 | UAH | 45,679 | $ | 1,435,325 | ||||||||
9.84%, 2/15/23 | UAH | 57,091 | 1,962,043 | |||||||||
9.99%, 5/22/24 | UAH | 399,860 | 13,252,907 | |||||||||
10.00%, 8/23/23 | UAH | 672,489 | 22,808,936 | |||||||||
11.67%, 11/22/23 | UAH | 57,092 | 2,008,158 | |||||||||
15.84%, 2/26/25 | UAH | 2,156,567 | 83,481,289 | |||||||||
Total Ukraine |
| $ | 124,948,658 | |||||||||
Uruguay — 1.5% | ||||||||||||
Republic of Uruguay: | ||||||||||||
3.875%, 7/2/40(5) | UYU | 554,625 | $ | 14,706,930 | ||||||||
9.875%, 6/20/22(1) | UYU | 437,462 | 10,332,844 | |||||||||
Total Uruguay |
| $ | 25,039,774 | |||||||||
Uzbekistan — 0.0%(6) | ||||||||||||
Republic of Uzbekistan, 14.50%, 11/25/23(1) | UZS | 7,520,000 | $ | 723,002 | ||||||||
Total Uzbekistan |
| $ | 723,002 | |||||||||
Total Sovereign Government Bonds |
| $ | 1,055,054,417 |
17 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Short-Term Investments — 30.0% |
| |||||||||
Sovereign Government Securities — 10.6% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Egypt — 7.4% | ||||||||||
Egypt Treasury Bill: | ||||||||||
0.00%, 6/8/21 | EGP | 10,600 | $ | 668,084 | ||||||
0.00%, 7/6/21 | EGP | 20,325 | 1,272,232 | |||||||
0.00%, 7/13/21 | EGP | 83,050 | 5,185,466 | |||||||
0.00%, 7/27/21 | EGP | 69,575 | 4,322,391 | |||||||
0.00%, 8/3/21 | EGP | 427,475 | 26,490,676 | |||||||
0.00%, 8/10/21 | EGP | 342,675 | 21,182,372 | |||||||
0.00%, 8/31/21 | EGP | 47,200 | 2,895,753 | |||||||
0.00%, 9/14/21 | EGP | 47,500 | 2,899,741 | |||||||
0.00%, 9/21/21 | EGP | 762,050 | 46,407,547 | |||||||
0.00%, 10/12/21 | EGP | 31,500 | 1,904,384 | |||||||
0.00%, 10/26/21 | EGP | 70,925 | 4,267,235 | |||||||
0.00%, 12/28/21 | EGP | 162,200 | 9,546,779 | |||||||
Total Egypt |
| $ | 127,042,660 | |||||||
Georgia — 0.7% | ||||||||||
Georgia Treasury Bill: | ||||||||||
0.00%, 6/3/21 | GEL | 1,824 | $ | 525,230 | ||||||
0.00%, 8/12/21 | GEL | 7,219 | 2,043,652 | |||||||
0.00%, 9/9/21 | GEL | 7,020 | 1,972,657 | |||||||
0.00%, 10/14/21 | GEL | 7,151 | 1,993,190 | |||||||
0.00%, 11/11/21 | GEL | 6,202 | 1,717,177 | |||||||
0.00%, 12/9/21 | GEL | 12,497 | 3,434,422 | |||||||
0.00%, 2/10/22 | GEL | 3,274 | 886,123 | |||||||
Total Georgia |
| $ | 12,572,451 | |||||||
Uganda — 0.5% | ||||||||||
Uganda Treasury Bill: | ||||||||||
0.00%, 2/24/22 | UGX | 17,464,000 | $ | 4,491,112 | ||||||
0.00%, 3/10/22 | UGX | 14,032,600 | 3,588,640 | |||||||
0.00%, 3/24/22 | UGX | 2,825,100 | 721,529 | |||||||
Total Uganda |
| $ | 8,801,281 | |||||||
Uruguay — 2.0% | ||||||||||
Uruguay Monetary Regulation Bill: | ||||||||||
0.00%, 7/21/21 | UYU | 355,650 | $ | 8,022,682 | ||||||
0.00%, 8/20/21 | UYU | 150,492 | 3,376,973 | |||||||
0.00%, 8/27/21 | UYU | 353,149 | 7,914,828 |
Security | Principal Amount (000’s omitted) | Value | ||||||||
Uruguay (continued) | ||||||||||
Uruguay Monetary Regulation Bill: (continued) | ||||||||||
0.00%, 12/3/21 | UYU | 536,802 | $ | 11,814,349 | ||||||
0.00%, 1/7/22 | UYU | 109,634 | 2,396,660 | |||||||
Total Uruguay |
| $ | 33,525,492 | |||||||
Total Sovereign Government Securities |
| $ | 181,941,884 | |||||||
Repurchase Agreements — 0.2% |
| |||||||||
Description | Principal Amount (000’s omitted) | Value | ||||||||
JPMorgan Chase Bank, N.A. | $ | 3,158 | $ | 3,157,525 | ||||||
Total Repurchase Agreements |
| $ | 3,157,525 | |||||||
U.S. Treasury Obligations — 13.0% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
U.S. Treasury Bill: | ||||||||||
0.00%, 5/13/21(7) | $ | 95,950 | $ | 95,950,034 | ||||||
0.00%, 6/3/21(7) | 86,700 | 86,700,000 | ||||||||
0.00%, 8/19/21 | 40,000 | 39,999,100 | ||||||||
Total U.S. Treasury Obligations |
| $ | 222,649,134 |
18 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Other — 6.2% |
| |||||||||
Description | Units | Value | ||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.10%(8) | 105,944,238 | $ | 105,944,238 | |||||||
Total Other |
| $ | 105,944,238 | |||||||
Total Short-Term Investments |
| $ | 513,692,781 | |||||||
Total Purchased Options and Swaptions — 0.0%(6) |
| $ | 512,278 | |||||||
Total Investments — 95.9% |
| $ | 1,639,948,744 | |||||||
Securities Sold Short — (0.2)% |
| |||||||||
Sovereign Government Bonds — (0.2)% |
| |||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||
Peru — (0.3)% | ||||||||||
Peru Government Bond, 5.94%, 2/12/29 | PEN | (10,370 | ) | $ | (2,983,550 | ) | ||||
Total Peru |
| $ | (2,983,550 | ) | ||||||
Total Sovereign Government Bonds |
| $ | (2,983,550 | ) | ||||||
Total Securities Sold Short |
| $ | (2,983,550 | ) | ||||||
Other Assets, Less Liabilities — 4.3% |
| $ | 74,303,234 | |||||||
Net Assets — 100.0% |
| $ | 1,711,268,428 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2021, the aggregate value of these securities is $150,989,926 or 8.8% of the Portfolio’s net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2021, the aggregate value of these securities is $7,202,938 or 0.4% of the Portfolio’s net assets. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(4) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(5) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(6) | Amount is less than 0.05%. |
(7) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(8) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2021. |
Purchased Currency Options — 0.0%(6) | ||||||||||||||||||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | |||||||||||||||||
Call BRL/Put USD | Goldman Sachs International | USD | 6,131,000 | BRL | 4.50 | 2/9/22 | $ | 19,638 | ||||||||||||||
Call BRL/Put USD | Goldman Sachs International | USD | 34,331,000 | BRL | 4.51 | 2/9/22 | 113,773 | |||||||||||||||
Call BRL/Put USD | Goldman Sachs International | USD | 42,208,000 | BRL | 4.48 | 2/10/22 | 130,127 | |||||||||||||||
Total | $ | 263,538 |
19 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Purchased Interest Rate Swaptions — 0.0%(6) | ||||||||||||||||||
Description | Counterparty | Notional Amount | Expiration Date | Value | ||||||||||||||
Option to enter into interest rate swap expiring 12/15/26 to pay 3-month ZAR-JIBAR and receive 5.73% | JPMorgan Chase Bank, N.A. | ZAR | 69,450,000 | 12/15/21 | $ | 24,959 | ||||||||||||
Option to enter into interest rate swap expiring 1/7/27 to pay 3-month ZAR-JIBAR and receive 5.70% | Bank of America, N.A. | ZAR | 85,280,000 | 1/7/22 | 27,977 | |||||||||||||
Option to enter into interest rate swap expiring 1/10/27 to pay 3-month ZAR-JIBAR and receive 5.70% | Bank of America, N.A. | ZAR | 42,640,000 | 1/10/22 | 13,921 | |||||||||||||
Option to enter into interest rate swap expiring 1/12/27 to pay 3-month ZAR-JIBAR and receive 5.70% | JPMorgan Chase Bank, N.A. | ZAR | 167,880,000 | 1/12/22 | 54,624 | |||||||||||||
Option to enter into interest rate swap expiring 1/17/27 to pay 3-month ZAR-JIBAR and receive 5.73% | JPMorgan Chase Bank, N.A. | ZAR | 46,881,000 | 1/17/22 | 16,067 | |||||||||||||
Option to enter into interest rate swap expiring 1/27/27 to pay 3-month ZAR-JIBAR and receive 5.74% | Bank of America, N.A. | ZAR | 75,706,000 | 1/27/22 | 25,996 | |||||||||||||
Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88% | Goldman Sachs International | ZAR | 59,880,000 | 2/10/22 | 26,113 | |||||||||||||
Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18% | Bank of America, N.A. | ZAR | 15,850,000 | 2/16/22 | 11,270 | |||||||||||||
Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47% | Bank of America, N.A. | ZAR | 15,850,000 | 2/21/22 | 16,778 | |||||||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47% | Goldman Sachs International | ZAR | 12,150,000 | 2/23/22 | 12,772 | |||||||||||||
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54% | Bank of America, N.A. | ZAR | 15,850,000 | 2/23/22 | 18,263 | |||||||||||||
Total | $ | 248,740 |
Centrally Cleared Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 749,871,171 | USD | 130,269,647 | 5/4/21 | $ | 7,776,058 | ||||||||||||||
BRL | 28,000,000 | USD | 4,938,881 | 5/4/21 | 215,710 | |||||||||||||||
BRL | 53,195,000 | USD | 9,844,363 | 5/4/21 | (51,559 | ) | ||||||||||||||
BRL | 53,195,000 | USD | 9,928,145 | 5/4/21 | (135,341 | ) | ||||||||||||||
BRL | 777,871,171 | USD | 143,954,247 | 5/4/21 | (753,951 | ) | ||||||||||||||
EUR | 233,452,818 | USD | 274,528,743 | 5/4/21 | 6,139,825 | |||||||||||||||
EUR | 10,518,605 | USD | 12,369,349 | 5/4/21 | 276,640 | |||||||||||||||
EUR | 3,248,650 | USD | 3,820,249 | 5/4/21 | 85,440 | |||||||||||||||
EUR | 4,300,000 | USD | 5,112,167 | 5/4/21 | 57,507 | |||||||||||||||
EUR | 846,508 | USD | 1,006,393 | 5/4/21 | 11,321 | |||||||||||||||
EUR | 703,376 | USD | 846,724 | 5/4/21 | (1,090 | ) | ||||||||||||||
EUR | 1,148,342 | USD | 1,382,374 | 5/4/21 | (1,780 | ) | ||||||||||||||
EUR | 1,499,719 | USD | 1,805,361 | 5/4/21 | (2,325 | ) | ||||||||||||||
EUR | 5,503,967 | USD | 6,625,673 | 5/4/21 | (8,531 | ) | ||||||||||||||
EUR | 4,694,005 | USD | 5,675,247 | 5/4/21 | (31,881 | ) | ||||||||||||||
EUR | 29,566,520 | USD | 35,592,167 | 5/4/21 | (45,829 | ) | ||||||||||||||
EUR | 98,196,350 | USD | 118,208,734 | 5/4/21 | (152,207 | ) |
20 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 145,179,390 | BRL | 777,871,171 | 5/4/21 | $ | 1,979,093 | ||||||||||||||
USD | 138,772,517 | BRL | 749,871,171 | 5/4/21 | 726,812 | |||||||||||||||
USD | 9,844,363 | BRL | 53,195,000 | 5/4/21 | 51,559 | |||||||||||||||
USD | 5,181,731 | BRL | 28,000,000 | 5/4/21 | 27,139 | |||||||||||||||
USD | 9,241,179 | BRL | 53,195,000 | 5/4/21 | (551,625 | ) | ||||||||||||||
USD | 281,030,426 | EUR | 233,452,818 | 5/4/21 | 361,857 | |||||||||||||||
USD | 12,662,293 | EUR | 10,518,605 | 5/4/21 | 16,304 | |||||||||||||||
USD | 5,650,642 | EUR | 4,694,005 | 5/4/21 | 7,276 | |||||||||||||||
USD | 5,176,339 | EUR | 4,300,000 | 5/4/21 | 6,665 | |||||||||||||||
USD | 3,910,724 | EUR | 3,248,650 | 5/4/21 | 5,036 | |||||||||||||||
USD | 1,019,026 | EUR | 846,508 | 5/4/21 | 1,312 | |||||||||||||||
USD | 827,135 | EUR | 703,376 | 5/4/21 | (18,499 | ) | ||||||||||||||
USD | 1,350,392 | EUR | 1,148,342 | 5/4/21 | (30,201 | ) | ||||||||||||||
USD | 1,763,593 | EUR | 1,499,719 | 5/4/21 | (39,443 | ) | ||||||||||||||
USD | 6,472,387 | EUR | 5,503,967 | 5/4/21 | (144,755 | ) | ||||||||||||||
USD | 34,768,736 | EUR | 29,566,520 | 5/4/21 | (777,602 | ) | ||||||||||||||
USD | 115,473,956 | EUR | 98,196,350 | 5/4/21 | (2,582,571 | ) | ||||||||||||||
INR | 948,859,681 | USD | 12,830,144 | 5/5/21 | (22,764 | ) | ||||||||||||||
PHP | 111,362,000 | USD | 2,308,116 | 5/5/21 | 4,125 | |||||||||||||||
USD | 12,805,262 | INR | 948,859,681 | 5/5/21 | (2,117 | ) | ||||||||||||||
USD | 7,923 | PHP | 388,000 | 5/5/21 | (133 | ) | ||||||||||||||
PEN | 21,729,643 | USD | 5,798,282 | 5/6/21 | (57,337 | ) | ||||||||||||||
USD | 5,849,478 | PEN | 21,729,643 | 5/6/21 | 108,533 | |||||||||||||||
IDR | 759,820,323,483 | USD | 52,332,828 | 5/11/21 | 206,497 | |||||||||||||||
IDR | 427,746,389,549 | USD | 29,412,528 | 5/11/21 | 164,868 | |||||||||||||||
IDR | 44,872,000,000 | USD | 3,092,467 | 5/11/21 | 10,299 | |||||||||||||||
IDR | 15,064,374,468 | USD | 1,037,563 | 5/11/21 | 4,094 | |||||||||||||||
IDR | 8,936,148,630 | USD | 615,225 | 5/11/21 | 2,683 | |||||||||||||||
IDR | 62,996,204,000 | USD | 4,360,383 | 5/11/21 | (4,383 | ) | ||||||||||||||
IDR | 60,000,000,000 | USD | 4,216,296 | 5/11/21 | (67,474 | ) | ||||||||||||||
IDR | 191,046,359,660 | USD | 13,633,509 | 5/11/21 | (423,219 | ) | ||||||||||||||
IDR | 212,314,522,668 | USD | 15,138,290 | 5/11/21 | (457,370 | ) | ||||||||||||||
RUB | 1,994,350,839 | USD | 25,450,712 | 5/11/21 | 1,049,488 | |||||||||||||||
RUB | 1,994,350,839 | USD | 25,470,962 | 5/11/21 | 1,029,238 | |||||||||||||||
RUB | 490,502,528 | USD | 6,274,714 | 5/11/21 | 242,903 | |||||||||||||||
RUB | 625,600,000 | USD | 8,176,621 | 5/11/21 | 136,121 | |||||||||||||||
RUB | 196,000,000 | USD | 2,556,279 | 5/11/21 | 48,097 | |||||||||||||||
USD | 11,833,550 | IDR | 165,965,538,703 | 5/11/21 | 357,525 | |||||||||||||||
USD | 10,657,267 | IDR | 149,340,288,171 | 5/11/21 | 330,829 | |||||||||||||||
USD | 3,384,378 | IDR | 48,161,384,584 | 5/11/21 | 54,160 | |||||||||||||||
USD | 64,069 | IDR | 930,595,385 | 5/11/21 | (279 | ) | ||||||||||||||
USD | 3,062,971 | IDR | 44,544,784,615 | 5/11/21 | (17,169 | ) | ||||||||||||||
USD | 3,951,212 | IDR | 57,710,213,856 | 5/11/21 | (39,279 | ) | ||||||||||||||
USD | 5,115,865 | IDR | 74,660,415,244 | 5/11/21 | (46,682 | ) |
21 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 3,794,536 | IDR | 55,700,000,000 | 5/11/21 | $ | (56,954 | ) | |||||||||||||
USD | 16,757,796 | IDR | 243,306,443,175 | 5/11/21 | (66,124 | ) | ||||||||||||||
USD | 25,143,635 | IDR | 365,060,442,422 | 5/11/21 | (99,213 | ) | ||||||||||||||
INR | 948,859,681 | USD | 12,777,001 | 5/19/21 | (4,502 | ) | ||||||||||||||
USD | 12,644,382 | INR | 948,859,681 | 5/19/21 | (128,117 | ) | ||||||||||||||
PEN | 16,206,593 | USD | 4,294,844 | 5/28/21 | (10,993 | ) | ||||||||||||||
BRL | 777,871,171 | USD | 144,846,875 | 6/2/21 | (2,033,601 | ) | ||||||||||||||
EUR | 3,248,650 | USD | 3,912,838 | 6/2/21 | (4,932 | ) | ||||||||||||||
EUR | 10,518,605 | USD | 12,669,138 | 6/2/21 | (15,970 | ) | ||||||||||||||
EUR | 237,752,818 | USD | 286,361,472 | 6/2/21 | (360,968 | ) | ||||||||||||||
USD | 9,905,406 | BRL | 53,195,000 | 6/2/21 | 139,069 | |||||||||||||||
USD | 111,599,358 | EUR | 92,655,837 | 6/2/21 | 140,675 | |||||||||||||||
USD | 35,611,406 | EUR | 29,566,520 | 6/2/21 | 44,889 | |||||||||||||||
USD | 6,629,255 | EUR | 5,503,967 | 6/2/21 | 8,356 | |||||||||||||||
USD | 1,806,337 | EUR | 1,499,719 | 6/2/21 | 2,277 | |||||||||||||||
USD | 1,383,121 | EUR | 1,148,342 | 6/2/21 | 1,744 | |||||||||||||||
USD | 847,181 | EUR | 703,376 | 6/2/21 | 1,068 | |||||||||||||||
CLP | 16,487,408,480 | USD | 23,091,285 | 6/16/21 | 100,651 | |||||||||||||||
CLP | 4,271,257,767 | USD | 5,943,955 | 6/16/21 | 64,190 | |||||||||||||||
CLP | 4,139,371,116 | USD | 5,760,407 | 6/16/21 | 62,220 | |||||||||||||||
CLP | 4,139,371,116 | USD | 5,765,141 | 6/16/21 | 57,486 | |||||||||||||||
COP | 6,300,000,000 | USD | 1,687,144 | 6/16/21 | (12,223 | ) | ||||||||||||||
COP | 8,000,000,000 | USD | 2,255,046 | 6/16/21 | (128,161 | ) | ||||||||||||||
COP | 425,565,313,160 | USD | 118,585,638 | 6/16/21 | (5,444,598 | ) | ||||||||||||||
EUR | 1,051,372 | USD | 1,259,979 | 6/16/21 | 5,128 | |||||||||||||||
PEN | 12,650,000 | USD | 3,406,857 | 6/16/21 | (62,629 | ) | ||||||||||||||
PEN | 44,784,050 | USD | 12,061,095 | 6/16/21 | (221,723 | ) | ||||||||||||||
USD | 1,420,333 | CLP | 1,000,000,000 | 6/16/21 | 13,688 | |||||||||||||||
USD | 15,633,275 | COP | 57,023,934,969 | 6/16/21 | 472,859 | |||||||||||||||
USD | 5,217,662 | COP | 18,782,277,866 | 6/16/21 | 224,195 | |||||||||||||||
USD | 4,822,471 | COP | 17,308,861,067 | 6/16/21 | 220,727 | |||||||||||||||
USD | 4,821,416 | COP | 17,308,861,067 | 6/16/21 | 219,672 | |||||||||||||||
USD | 7,534,129 | COP | 27,600,000,000 | 6/16/21 | 196,377 | |||||||||||||||
USD | 6,939,198 | EUR | 5,790,319 | 6/16/21 | (28,240 | ) | ||||||||||||||
USD | 17,782,235 | PEN | 66,027,218 | 6/16/21 | 326,897 | |||||||||||||||
RUB | 700,613,823 | USD | 9,272,051 | 6/23/21 | (13,562 | ) | ||||||||||||||
RUB | 974,674,302 | USD | 12,909,337 | 6/23/21 | (29,186 | ) | ||||||||||||||
USD | 1,557,531 | RUB | 117,690,026 | 6/23/21 | 2,278 | |||||||||||||||
USD | 179,249 | RUB | 13,544,402 | 6/23/21 | 262 | |||||||||||||||
RUB | 395,131,017 | USD | 5,232,047 | 6/25/21 | (12,077 | ) | ||||||||||||||
RUB | 395,131,016 | USD | 5,232,664 | 6/25/21 | (12,694 | ) | ||||||||||||||
RUB | 447,815,152 | USD | 5,947,112 | 6/25/21 | (31,146 | ) | ||||||||||||||
RUB | 505,507,312 | USD | 6,727,450 | 6/25/21 | (49,328 | ) | ||||||||||||||
RUB | 487,336,032 | USD | 6,449,304 | 6/30/21 | (16,220 | ) |
22 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||||
RUB | 812,200,000 | USD | 10,742,775 | 6/30/21 | $ | (21,322 | ) | |||||||||||||
IDR | 117,181,102,500 | USD | 7,917,107 | 7/12/21 | 113,567 | |||||||||||||||
USD | 1,356,520 | IDR | 19,999,172,500 | 7/12/21 | (14,067 | ) | ||||||||||||||
USD | 3,267,491 | IDR | 48,205,300,000 | 7/12/21 | (36,122 | ) | ||||||||||||||
USD | 3,319,482 | IDR | 48,976,630,000 | 7/12/21 | (36,992 | ) | ||||||||||||||
$ | 8,494,229 |
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 9,484,362 | PLN | 43,278,090 | BNP Paribas | 5/5/21 | $ | — | $ | (9,826 | ) | ||||||||||||||
EUR | 4,723,264 | PLN | 21,574,926 | BNP Paribas | 5/5/21 | — | (10,747 | ) | ||||||||||||||||
EUR | 2,966,394 | PLN | 13,500,000 | Citibank, N.A. | 5/5/21 | 6,475 | — | |||||||||||||||||
EUR | 4,696,437 | PLN | 21,446,984 | HSBC Bank USA, N.A. | 5/5/21 | — | (9,262 | ) | ||||||||||||||||
PLN | 20,815,173 | EUR | 4,587,056 | Bank of America, N.A. | 5/5/21 | — | (25,947 | ) | ||||||||||||||||
PLN | 18,664,827 | EUR | 4,100,498 | Citibank, N.A. | 5/5/21 | — | (8,017 | ) | ||||||||||||||||
PLN | 20,810,000 | EUR | 4,582,695 | Citibank, N.A. | 5/5/21 | — | (22,069 | ) | ||||||||||||||||
PLN | 20,810,000 | EUR | 4,586,893 | Citibank, N.A. | 5/5/21 | — | (27,116 | ) | ||||||||||||||||
PLN | 9,500,000 | EUR | 2,076,734 | Deutsche Bank AG | 5/5/21 | 8,342 | — | |||||||||||||||||
PLN | 9,200,000 | EUR | 1,993,569 | JPMorgan Chase Bank, N.A. | 5/5/21 | 29,219 | — | |||||||||||||||||
UAH | 72,800,000 | USD | 2,614,943 | BNP Paribas | 5/5/21 | 1,746 | — | |||||||||||||||||
UAH | 51,410,000 | USD | 1,851,945 | BNP Paribas | 5/5/21 | — | (4,088 | ) | ||||||||||||||||
UAH | 72,790,000 | USD | 2,622,118 | BNP Paribas | 5/5/21 | — | (5,789 | ) | ||||||||||||||||
USD | 4,052,836 | UAH | 115,212,000 | BNP Paribas | 5/5/21 | — | (88,290 | ) | ||||||||||||||||
USD | 4,222,183 | UAH | 120,480,000 | JPMorgan Chase Bank, N.A. | 5/5/21 | — | (108,293 | ) | ||||||||||||||||
CNH | 115,000,000 | USD | 17,683,575 | BNP Paribas | 5/6/21 | 78,375 | — | |||||||||||||||||
CNH | 16,000,000 | USD | 2,462,038 | UBS AG | 5/6/21 | 9,189 | — | |||||||||||||||||
USD | 14,458,515 | CNH | 93,500,617 | UBS AG | 5/6/21 | 17,182 | — | |||||||||||||||||
USD | 5,694,224 | CNH | 37,499,383 | UBS AG | 5/6/21 | — | (97,621 | ) | ||||||||||||||||
CNH | 422,831,360 | USD | 64,682,289 | UBS AG | 5/10/21 | 606,311 | — | |||||||||||||||||
CNH | 412,163,640 | USD | 63,157,162 | UBS AG | 5/10/21 | 484,255 | — | |||||||||||||||||
CNH | 37,803,000 | USD | 5,815,983 | UBS AG | 5/10/21 | 21,108 | — | |||||||||||||||||
EUR | 19,609,984 | RON | 96,085,000 | JPMorgan Chase Bank, N.A. | 5/10/21 | 126,996 | — | |||||||||||||||||
USD | 21,260,473 | CNH | 138,980,773 | UBS AG | 5/10/21 | — | (199,289 | ) | ||||||||||||||||
USD | 31,545,152 | CNH | 206,212,235 | UBS AG | 5/10/21 | — | (295,694 | ) | ||||||||||||||||
USD | 1,785,918 | EUR | 1,477,371 | Bank of America, N.A. | 5/10/21 | 9,547 | — | |||||||||||||||||
USD | 188,207 | TRY | 1,442,702 | Standard Chartered Bank | 5/10/21 | 14,521 | — | |||||||||||||||||
EUR | 1,182,642 | RON | 5,794,000 | Bank of America, N.A. | 5/11/21 | 7,916 | — | |||||||||||||||||
EUR | 4,549,690 | RON | 22,420,000 | HSBC Bank USA, N.A. | 5/11/21 | — | (1,312 | ) | ||||||||||||||||
USD | 4,164,590 | UAH | 117,000,000 | Bank of America, N.A. | 5/11/21 | — | (35,079 | ) | ||||||||||||||||
USD | 940,472 | UAH | 26,700,000 | BNP Paribas | 5/12/21 | — | (17,697 | ) | ||||||||||||||||
MYR | 9,300,000 | USD | 2,255,092 | Barclays Bank PLC | 5/17/21 | 13,081 | — |
23 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
THB | 6,924,251 | USD | 224,815 | Standard Chartered Bank | 5/17/21 | $ | — | $ | (2,457 | ) | ||||||||||||||
THB | 100,000,000 | USD | 3,248,889 | Standard Chartered Bank | 5/17/21 | — | (37,595 | ) | ||||||||||||||||
THB | 153,000,000 | USD | 5,084,448 | Standard Chartered Bank | 5/17/21 | — | (171,169 | ) | ||||||||||||||||
THB | 2,571,985,947 | USD | 85,712,865 | Standard Chartered Bank | 5/17/21 | — | (3,118,832 | ) | ||||||||||||||||
USD | 12,984,047 | THB | 389,612,312 | Standard Chartered Bank | 5/17/21 | 472,450 | — | |||||||||||||||||
USD | 3,243,633 | THB | 97,331,696 | Standard Chartered Bank | 5/17/21 | 118,026 | — | |||||||||||||||||
USD | 151,333 | TRY | 1,162,290 | Standard Chartered Bank | 5/17/21 | 11,899 | — | |||||||||||||||||
USD | 281,153 | TRY | 2,254,000 | Standard Chartered Bank | 5/17/21 | 10,751 | — | |||||||||||||||||
USD | 84,343 | TRY | 666,000 | Standard Chartered Bank | 5/17/21 | 4,446 | — | |||||||||||||||||
USD | 140,611 | TRY | 1,136,000 | Standard Chartered Bank | 5/17/21 | 4,331 | — | |||||||||||||||||
USD | 56,210 | TRY | 439,000 | Standard Chartered Bank | 5/17/21 | 3,545 | — | |||||||||||||||||
USD | 56,266 | TRY | 440,000 | Standard Chartered Bank | 5/17/21 | 3,481 | — | |||||||||||||||||
USD | 56,214 | TRY | 441,000 | Standard Chartered Bank | 5/17/21 | 3,309 | — | |||||||||||||||||
USD | 56,267 | TRY | 446,000 | Standard Chartered Bank | 5/17/21 | 2,762 | — | |||||||||||||||||
USD | 4,644 | TRY | 35,919 | Standard Chartered Bank | 5/17/21 | 335 | — | |||||||||||||||||
USD | 17,473,835 | ZAR | 250,552,075 | Citibank, N.A. | 5/17/21 | 228,830 | — | |||||||||||||||||
USD | 6,658,041 | ZAR | 100,350,000 | Citibank, N.A. | 5/17/21 | — | (248,851 | ) | ||||||||||||||||
USD | 10,727,271 | ZAR | 161,681,421 | Citibank, N.A. | 5/17/21 | — | (400,943 | ) | ||||||||||||||||
USD | 69,087,868 | ZAR | 1,041,292,346 | Citibank, N.A. | 5/17/21 | — | (2,582,230 | ) | ||||||||||||||||
USD | 5,289,812 | ZAR | 75,750,000 | Standard Chartered Bank | 5/17/21 | 76,089 | — | |||||||||||||||||
ZAR | 800,485,006 | USD | 53,110,736 | Citibank, N.A. | 5/17/21 | 1,985,068 | — | |||||||||||||||||
ZAR | 40,000,000 | USD | 2,789,653 | Citibank, N.A. | 5/17/21 | — | (36,532 | ) | ||||||||||||||||
CNH | 11,800,000 | USD | 1,795,949 | Goldman Sachs International | 5/18/21 | 25,069 | — | |||||||||||||||||
CNH | 44,600,000 | USD | 6,878,576 | Goldman Sachs International | 5/18/21 | 4,255 | — | |||||||||||||||||
CNH | 31,200,000 | USD | 4,818,827 | HSBC Bank USA, N.A. | 5/18/21 | — | (3,932 | ) | ||||||||||||||||
USD | 2,661,616 | CNH | 17,487,722 | Goldman Sachs International | 5/18/21 | — | (37,152 | ) | ||||||||||||||||
TRY | 7,073,548 | USD | 839,889 | Standard Chartered Bank | 5/21/21 | 6,988 | — | |||||||||||||||||
USD | 13,918,630 | TRY | 117,000,000 | Standard Chartered Bank | 5/21/21 | — | (89,140 | ) | ||||||||||||||||
USD | 2,384,829 | UAH | 67,753,000 | Goldman Sachs International | 5/26/21 | — | (38,892 | ) | ||||||||||||||||
IDR | 29,128,000,000 | USD | 2,000,016 | Standard Chartered Bank | 5/28/21 | 8,387 | — | |||||||||||||||||
MYR | 54,793,000 | USD | 13,513,787 | Barclays Bank PLC | 6/1/21 | — | (164,681 | ) | ||||||||||||||||
USD | 6,094,435 | MYR | 24,710,496 | Barclays Bank PLC | 6/1/21 | 74,267 | — | |||||||||||||||||
MYR | 21,000,000 | USD | 5,118,206 | Barclays Bank PLC | 6/3/21 | — | (2,751 | ) | ||||||||||||||||
MYR | 23,400,000 | USD | 5,757,166 | Credit Agricole Corporate and Investment Bank | 6/8/21 | — | (57,928 | ) | ||||||||||||||||
USD | 98,735 | UAH | 2,810,000 | Citibank, N.A. | 6/8/21 | — | (1,482 | ) | ||||||||||||||||
USD | 139,592 | UAH | 3,970,000 | Citibank, N.A. | 6/8/21 | — | (1,996 | ) | ||||||||||||||||
USD | 233,333 | UAH | 6,650,000 | Citibank, N.A. | 6/8/21 | — | (3,836 | ) | ||||||||||||||||
PLN | 19,100,000 | EUR | 4,147,929 | Bank of America, N.A. | 6/10/21 | 46,933 | — | |||||||||||||||||
PLN | 14,489,000 | EUR | 3,157,141 | Bank of America, N.A. | 6/10/21 | 22,875 | — | |||||||||||||||||
PLN | 13,390,000 | EUR | 2,916,124 | Citibank, N.A. | 6/10/21 | 23,000 | — | |||||||||||||||||
PLN | 31,337,406 | EUR | 6,894,594 | UBS AG | 6/10/21 | — | (30,172 | ) | ||||||||||||||||
PLN | 31,972,594 | EUR | 7,034,318 | UBS AG | 6/10/21 | — | (30,753 | ) | ||||||||||||||||
USD | 8,974,095 | THB | 281,494,924 | Standard Chartered Bank | 6/10/21 | — | (64,266 | ) | ||||||||||||||||
GEL | 2,732,173 | USD | 789,394 | ICBC Standard Bank plc | 6/11/21 | — | (4,192 | ) |
24 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
UYU | 10,067,040 | USD | 230,188 | HSBC Bank USA, N.A. | 6/14/21 | $ | — | $ | (1,820 | ) | ||||||||||||||
UYU | 10,106,172 | USD | 231,083 | HSBC Bank USA, N.A. | 6/14/21 | — | (1,827 | ) | ||||||||||||||||
UYU | 10,055,964 | USD | 230,430 | HSBC Bank USA, N.A. | 6/14/21 | — | (2,313 | ) | ||||||||||||||||
UYU | 20,348,762 | USD | 465,317 | HSBC Bank USA, N.A. | 6/14/21 | — | (3,710 | ) | ||||||||||||||||
CZK | 466,835,491 | EUR | 17,831,005 | Standard Chartered Bank | 6/16/21 | 247,150 | — | |||||||||||||||||
CZK | 546,351,831 | EUR | 20,907,627 | Standard Chartered Bank | 6/16/21 | 241,768 | — | |||||||||||||||||
CZK | 103,710,000 | EUR | 3,970,826 | UBS AG | 6/16/21 | 43,386 | — | |||||||||||||||||
PLN | 96,920,000 | EUR | 20,943,431 | Citibank, N.A. | 6/16/21 | 361,824 | — | |||||||||||||||||
PLN | 100,790,000 | EUR | 21,816,258 | Citibank, N.A. | 6/16/21 | 332,280 | — | |||||||||||||||||
PLN | 96,920,000 | EUR | 20,953,130 | HSBC Bank USA, N.A. | 6/16/21 | 350,153 | — | |||||||||||||||||
PLN | 100,129,304 | EUR | 21,678,378 | HSBC Bank USA, N.A. | 6/16/21 | 323,930 | — | |||||||||||||||||
THB | 3,039,132 | USD | 98,998 | Standard Chartered Bank | 6/16/21 | — | (1,419 | ) | ||||||||||||||||
THB | 186,371,411 | USD | 6,070,928 | Standard Chartered Bank | 6/16/21 | — | (87,013 | ) | ||||||||||||||||
CZK | 270,750,000 | EUR | 10,328,659 | BNP Paribas | 6/17/21 | 158,452 | — | |||||||||||||||||
PLN | 18,234,150 | EUR | 3,972,545 | Bank of America, N.A. | 6/17/21 | 29,101 | — | |||||||||||||||||
PLN | 18,765,850 | EUR | 4,088,505 | BNP Paribas | 6/17/21 | 29,802 | — | |||||||||||||||||
PLN | 15,000,000 | EUR | 3,291,369 | Citibank, N.A. | 6/17/21 | — | (4,249 | ) | ||||||||||||||||
USD | 1,068,421 | ZAR | 16,060,000 | Bank of America, N.A. | 6/21/21 | — | (31,679 | ) | ||||||||||||||||
USD | 2,773,503 | ZAR | 41,690,000 | Bank of America, N.A. | 6/21/21 | — | (82,235 | ) | ||||||||||||||||
USD | 4,924,314 | ZAR | 74,020,000 | Bank of America, N.A. | 6/21/21 | — | (146,008 | ) | ||||||||||||||||
USD | 8,715,659 | ZAR | 130,342,210 | Goldman Sachs International | 6/21/21 | — | (212,698 | ) | ||||||||||||||||
USD | 1,148,574 | ZAR | 17,140,000 | HSBC Bank USA, N.A. | 6/21/21 | — | (25,505 | ) | ||||||||||||||||
USD | 1,183,103 | ZAR | 17,650,000 | HSBC Bank USA, N.A. | 6/21/21 | — | (25,910 | ) | ||||||||||||||||
USD | 2,979,992 | ZAR | 44,470,000 | HSBC Bank USA, N.A. | 6/21/21 | — | (66,174 | ) | ||||||||||||||||
USD | 3,070,013 | ZAR | 45,799,659 | HSBC Bank USA, N.A. | 6/21/21 | — | (67,234 | ) | ||||||||||||||||
USD | 5,290,542 | ZAR | 78,950,000 | HSBC Bank USA, N.A. | 6/21/21 | — | (117,482 | ) | ||||||||||||||||
USD | 5,451,241 | ZAR | 81,323,758 | HSBC Bank USA, N.A. | 6/21/21 | — | (119,384 | ) | ||||||||||||||||
ZAR | 118,000,000 | USD | 7,890,366 | Goldman Sachs International | 6/21/21 | 192,557 | — | |||||||||||||||||
USD | 565,632 | UAH | 16,030,000 | Bank of America, N.A. | 6/22/21 | — | (4,075 | ) | ||||||||||||||||
USD | 1,982,653 | UAH | 56,803,000 | BNP Paribas | 6/25/21 | — | (34,619 | ) | ||||||||||||||||
HUF | 2,179,418,982 | EUR | 5,993,888 | Goldman Sachs International | 6/30/21 | 58,195 | — | |||||||||||||||||
HUF | 1,443,551,566 | EUR | 3,961,558 | Goldman Sachs International | 6/30/21 | 48,814 | — | |||||||||||||||||
HUF | 1,443,548,434 | EUR | 3,961,887 | Goldman Sachs International | 6/30/21 | 48,407 | — | |||||||||||||||||
HUF | 1,134,362,934 | EUR | 3,162,439 | Goldman Sachs International | 6/30/21 | — | (21,092 | ) | ||||||||||||||||
HUF | 1,752,889,165 | EUR | 4,888,146 | Goldman Sachs International | 6/30/21 | — | (34,212 | ) | ||||||||||||||||
HUF | 920,000,000 | EUR | 2,529,917 | Standard Chartered Bank | 6/30/21 | 24,913 | — | |||||||||||||||||
HUF | 1,632,747,901 | EUR | 4,554,781 | Standard Chartered Bank | 6/30/21 | — | (33,870 | ) | ||||||||||||||||
USD | 1,826,612 | UAH | 51,410,000 | BNP Paribas | 6/30/21 | 2,855 | — | |||||||||||||||||
USD | 3,968,353 | ZAR | 60,090,000 | Bank of America, N.A. | 6/30/21 | — | (142,709 | ) | ||||||||||||||||
USD | 3,957,895 | ZAR | 60,090,000 | Bank of America, N.A. | 6/30/21 | — | (153,167 | ) | ||||||||||||||||
USD | 4,685,549 | ZAR | 70,950,000 | Bank of America, N.A. | 6/30/21 | — | (168,501 | ) | ||||||||||||||||
USD | 4,673,201 | ZAR | 70,950,000 | Bank of America, N.A. | 6/30/21 | — | (180,849 | ) | ||||||||||||||||
USD | 5,935,118 | ZAR | 90,130,000 | Bank of America, N.A. | 6/30/21 | — | (231,133 | ) | ||||||||||||||||
USD | 7,007,824 | ZAR | 106,420,000 | Bank of America, N.A. | 6/30/21 | — | (272,908 | ) | ||||||||||||||||
USD | 9,735,917 | ZAR | 147,426,126 | Bank of America, N.A. | 6/30/21 | — | (350,253 | ) |
25 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
USD | 11,495,319 | ZAR | 174,067,861 | Bank of America, N.A. | 6/30/21 | $ | — | $ | (413,548 | ) | ||||||||||||||
USD | 5,768,068 | ZAR | 86,017,902 | Bank of America, N.A. | 7/1/21 | — | (116,049 | ) | ||||||||||||||||
USD | 5,379,455 | ZAR | 80,404,875 | Citibank, N.A. | 7/1/21 | — | (120,698 | ) | ||||||||||||||||
USD | 4,725,262 | ZAR | 71,325,148 | Citibank, N.A. | 7/1/21 | — | (153,787 | ) | ||||||||||||||||
GEL | 2,748,750 | USD | 789,440 | ICBC Standard Bank plc | 7/6/21 | — | (3,970 | ) | ||||||||||||||||
MYR | 1,495,000 | USD | 360,067 | Barclays Bank PLC | 7/6/21 | 3,857 | — | |||||||||||||||||
MYR | 4,190,000 | USD | 1,009,152 | Credit Agricole Corporate and Investment Bank | 7/6/21 | 10,809 | — | |||||||||||||||||
MYR | 7,955,000 | USD | 1,913,179 | Goldman Sachs International | 7/6/21 | 23,286 | — | |||||||||||||||||
USD | 17,936,007 | THB | 563,065,076 | Standard Chartered Bank | 7/6/21 | — | (140,789 | ) | ||||||||||||||||
EUR | 4,852,942 | RON | 24,021,456 | Bank of America, N.A. | 7/8/21 | — | (7,106 | ) | ||||||||||||||||
EUR | 4,853,704 | RON | 24,021,456 | HSBC Bank USA, N.A. | 7/8/21 | — | (6,189 | ) | ||||||||||||||||
MYR | 119,741,230 | USD | 28,943,976 | Credit Agricole Corporate and Investment Bank | 7/8/21 | 202,859 | — | |||||||||||||||||
USD | 8,659,613 | MYR | 35,824,820 | Credit Agricole Corporate and Investment Bank | 7/8/21 | — | (60,692 | ) | ||||||||||||||||
USD | 17,880,530 | THB | 563,040,000 | Standard Chartered Bank | 7/8/21 | — | (195,330 | ) | ||||||||||||||||
CNH | 93,500,617 | USD | 14,390,478 | UBS AG | 7/14/21 | — | (17,693 | ) | ||||||||||||||||
THB | 73,000,000 | USD | 2,311,389 | Standard Chartered Bank | 7/16/21 | 32,139 | — | |||||||||||||||||
USD | 3,293,636 | THB | 104,023,731 | Standard Chartered Bank | 7/16/21 | — | (45,850 | ) | ||||||||||||||||
USD | 5,863,849 | THB | 184,829,992 | Standard Chartered Bank | 7/16/21 | — | (69,769 | ) | ||||||||||||||||
USD | 15,085,789 | UAH | 432,585,000 | BNP Paribas | 7/16/21 | — | (192,556 | ) | ||||||||||||||||
USD | 8,218,232 | UAH | 238,000,000 | Goldman Sachs International | 7/22/21 | — | (173,732 | ) | ||||||||||||||||
MXN | 34,000,000 | USD | 1,685,902 | Bank of America, N.A. | 7/23/21 | — | (22,418 | ) | ||||||||||||||||
MXN | 596,163,892 | USD | 29,671,957 | Citibank, N.A. | 7/23/21 | — | (504,043 | ) | ||||||||||||||||
MXN | 670,684,378 | USD | 33,357,128 | Citibank, N.A. | 7/23/21 | — | (543,226 | ) | ||||||||||||||||
USD | 2,567,018 | MXN | 51,613,543 | Citibank, N.A. | 7/23/21 | 41,774 | — | |||||||||||||||||
USD | 2,140,709 | MXN | 43,011,287 | Citibank, N.A. | 7/23/21 | 36,339 | — | |||||||||||||||||
USD | 1,355,279 | MXN | 27,249,815 | Citibank, N.A. | 7/23/21 | 22,055 | — | |||||||||||||||||
USD | 1,130,206 | MXN | 22,708,179 | Citibank, N.A. | 7/23/21 | 19,186 | — | |||||||||||||||||
HUF | 6,125,529,000 | EUR | 16,834,208 | Bank of America, N.A. | 7/26/21 | 158,246 | — | |||||||||||||||||
HUF | 4,053,982,883 | EUR | 11,102,574 | BNP Paribas | 7/26/21 | 151,218 | — | |||||||||||||||||
HUF | 4,053,982,883 | EUR | 11,100,504 | Goldman Sachs International | 7/26/21 | 153,711 | — | |||||||||||||||||
USD | 2,561,576 | UAH | 72,800,000 | BNP Paribas | 7/28/21 | — | (1,143 | ) | ||||||||||||||||
USD | 2,565,738 | UAH | 72,790,000 | BNP Paribas | 7/29/21 | 4,076 | — | |||||||||||||||||
MXN | 558,903,648 | USD | 27,800,096 | Citibank, N.A. | 7/30/21 | — | (477,377 | ) | ||||||||||||||||
MXN | 816,919,516 | USD | 40,569,904 | Citibank, N.A. | 7/30/21 | — | (633,749 | ) | ||||||||||||||||
USD | 6,110,313 | MXN | 123,039,345 | Citibank, N.A. | 7/30/21 | 95,377 | — | |||||||||||||||||
USD | 3,225,992 | MXN | 64,959,682 | Citibank, N.A. | 7/30/21 | 50,355 | — | |||||||||||||||||
HUF | 4,484,009,188 | EUR | 12,289,014 | BNP Paribas | 8/2/21 | 152,706 | — | |||||||||||||||||
HUF | 4,484,009,046 | EUR | 12,289,306 | BNP Paribas | 8/2/21 | 152,353 | — | |||||||||||||||||
PLN | 21,574,926 | EUR | 4,716,666 | BNP Paribas | 8/5/21 | 10,508 | — | |||||||||||||||||
PLN | 43,278,090 | EUR | 9,471,099 | BNP Paribas | 8/5/21 | 9,357 | — | |||||||||||||||||
PLN | 21,446,984 | EUR | 4,689,950 | HSBC Bank USA, N.A. | 8/5/21 | 8,934 | — | |||||||||||||||||
KES | 317,940,000 | USD | 2,685,985 | Standard Chartered Bank | 10/12/21 | 165,495 | — | |||||||||||||||||
KES | 211,960,000 | USD | 1,790,656 | Standard Chartered Bank | 10/12/21 | 110,330 | — |
26 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
UYU | 20,241,106 | USD | 453,075 | HSBC Bank USA, N.A. | 10/13/21 | $ | — | $ | (2,419 | ) | ||||||||||||||
UYU | 20,639,278 | USD | 455,071 | HSBC Bank USA, N.A. | 1/11/22 | — | (3,002 | ) | ||||||||||||||||
KES | 45,675,000 | USD | 386,749 | Standard Chartered Bank | 2/8/22 | 12,219 | — | |||||||||||||||||
KES | 50,060,000 | USD | 428,963 | ICBC Standard Bank plc | 2/23/22 | 5,357 | — | |||||||||||||||||
KES | 25,050,000 | USD | 214,469 | ICBC Standard Bank plc | 2/23/22 | 2,864 | — | |||||||||||||||||
KES | 45,360,000 | USD | 386,701 | Standard Chartered Bank | 3/2/22 | 5,607 | — | |||||||||||||||||
KES | 45,300,000 | USD | 387,014 | Standard Chartered Bank | 3/4/22 | 4,423 | — | |||||||||||||||||
KES | 45,810,000 | USD | 392,444 | Standard Chartered Bank | 3/8/22 | 2,692 | — | |||||||||||||||||
KES | 22,400,000 | USD | 191,617 | Standard Chartered Bank | 4/1/22 | — | (456 | ) | ||||||||||||||||
UZS | 133,770,000,000 | USD | 9,994,023 | JPMorgan Chase Bank, N.A. | 6/20/22 | 1,163,765 | — | |||||||||||||||||
$ | 9,876,843 | $ | (14,625,557 | ) |
Non-deliverable Bond Forward Contracts* | ||||||||||||||||||
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||||
5/6/21 | COP | 45,075,720 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | $ | 12,009,608 | $ | 102,850 | ||||||||||
5/7/21 | COP | 28,233,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,522,330 | 40,846 | ||||||||||||
5/10/21 | COP | 32,370,900 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,624,639 | (48,410 | ) | |||||||||||
5/10/21 | COP | 10,795,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 2,876,185 | 434 | ||||||||||||
5/13/21 | COP | 5,107,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,360,827 | (11,789 | ) | |||||||||||
5/13/21 | COP | 5,107,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,360,827 | (774 | ) | |||||||||||
5/13/21 | COP | 16,832,800 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 4,484,794 | (27,895 | ) | |||||||||||
5/13/21 | COP | 9,736,320 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 2,594,066 | (32,405 | ) | |||||||||||
5/14/21 | COP | 43,920,900 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 11,701,927 | 3,897 | ||||||||||||
5/14/21 | COP | 45,075,730 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 12,009,610 | (15,216 | ) | |||||||||||
5/17/21 | COP | 41,494,040 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 11,055,334 | (88,653 | ) | |||||||||||
5/18/21 | COP | 45,075,720 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 12,009,608 | (120,793 | ) | |||||||||||
5/19/21 | COP | 45,974,600 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 12,249,098 | (121,964 | ) | |||||||||||
5/21/21 | COP | 24,516,300 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,531,923 | (18,492 | ) |
27 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Non-deliverable Bond Forward Contracts* (continued) | ||||||||||||||||||
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||||
5/24/21 | COP | 12,258,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | $ | 3,265,948 | $ | (22,401 | ) | |||||||||
5/26/21 | COP | 23,266,870 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 6,199,035 | (68,667 | ) | |||||||||||
5/27/21 | COP | 16,153,430 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 4,303,788 | (54,891 | ) | |||||||||||
5/28/21 | COP | 13,218,180 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 3,521,744 | (37,732 | ) | |||||||||||
5/31/21 | COP | 20,614,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 5,492,253 | 65,567 | ||||||||||||
6/1/21 | COP | 100,500,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 26,776,401 | 109,676 | ||||||||||||
6/1/21 | COP | 18,500,000 | Republic of Colombia, 7.00%, 6/30/32 | Bank of America, N.A. | 4,928,989 | 46,791 | ||||||||||||
6/1/21 | COP | 24,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 6,394,364 | 23,045 | ||||||||||||
6/1/21 | COP | 67,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Bank of America, N.A. | 17,850,934 | 93,949 | ||||||||||||
6/1/21 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 19,582,741 | (32,174 | ) | |||||||||||
6/2/21 | COP | 42,604,390 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 11,351,166 | (4,155 | ) | |||||||||||
6/4/21 | COP | 41,360,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 11,019,781 | 43,881 | ||||||||||||
6/7/21 | COP | 34,467,200 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 9,183,160 | 41,177 | ||||||||||||
6/8/21 | COP | 27,573,800 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 7,346,539 | — | ||||||||||||
$ | (134,298 | ) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | ||||||||||||||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Futures |
| |||||||||||||||
5-Year USD Deliverable Interest Rate Swap | (14 | ) | Short | 6/14/21 | $ | (1,365,000 | ) | $ | 547 | |||||||
10-Year USD Deliverable Interest Rate Swap | (71 | ) | Short | 6/14/21 | (6,472,094 | ) | (3,815 | ) | ||||||||
Euro-Bobl | (23 | ) | Short | 6/8/21 | (3,725,519 | ) | 4,148 | |||||||||
Euro-Bund | (15 | ) | Short | 6/8/21 | (3,065,737 | ) | 19,476 | |||||||||
U.S. 10-Year Treasury Note | (74 | ) | Short | 6/21/21 | (9,770,312 | ) | 157,163 | |||||||||
$ | 177,519 |
28 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 548,199 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.06% (pays upon termination) | 1/3/22 | $ | (481,234 | ) | $ | — | $ | (481,234 | ) | |||||||||||
BRL | 360,049 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.08% (pays upon termination) | 1/3/22 | (298,648 | ) | — | (298,648 | ) | ||||||||||||||
BRL | 360,971 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.40% (pays upon termination) | 1/3/22 | 185,634 | — | 185,634 | ||||||||||||||||
BRL | 64,031 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.42% (pays upon termination) | 1/3/22 | 8,698 | — | 8,698 | ||||||||||||||||
BRL | 507,598 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 3.44% (pays upon termination) | 1/3/22 | 42,405 | — | 42,405 | ||||||||||||||||
BRL | 63,539 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.12% (pays upon termination) | 1/2/23 | (196,105 | ) | — | (196,105 | ) | ||||||||||||||
BRL | 109,032 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.70% (pays upon termination) | 1/2/23 | 22,551 | — | 22,551 | ||||||||||||||||
BRL | 175,133 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.71% (pays upon termination) | 1/2/23 | 337,038 | — | 337,038 | ||||||||||||||||
BRL | 62,400 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.84% (pays upon termination) | 1/2/23 | 60,957 | — | 60,957 | ||||||||||||||||
BRL | 40,336 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.84% (pays upon termination) | 1/2/23 | 278,882 | — | 278,882 | ||||||||||||||||
BRL | 30,974 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.96% (pays upon termination) | 1/2/23 | 247,928 | — | 247,928 | ||||||||||||||||
BRL | 76,081 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.55% (pays upon termination) | 1/2/23 | 920,480 | — | 920,480 | ||||||||||||||||
BRL | 35,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.13% (pays upon termination) | 1/2/23 | 858,713 | — | 858,713 | ||||||||||||||||
BRL | 31,500 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.41% (pays upon termination) | 1/2/25 | (304,915 | ) | — | (304,915 | ) | ||||||||||||||
BRL | 69,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.76% (pays upon termination) | 1/2/25 | (680,127 | ) | — | (680,127 | ) | ||||||||||||||
BRL | 67,422 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.09% (pays upon termination) | 1/2/25 | (526,864 | ) | — | (526,864 | ) |
29 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
BRL | 70,160 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.27% (pays upon termination) | 1/2/25 | $ | (11,322 | ) | $ | — | $ | (11,322 | ) | |||||||||||
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 479,069 | — | 479,069 | ||||||||||||||||
BRL | 50,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.47% (pays upon termination) | 1/2/25 | (300,419 | ) | — | (300,419 | ) | ||||||||||||||
BRL | 21,861 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 7.84% (pays upon termination) | 1/2/25 | 34,759 | — | 34,759 | ||||||||||||||||
BRL | 11,269 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.57% (pays upon termination) | 1/2/25 | 314,976 | — | 314,976 | ||||||||||||||||
BRL | 47,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.58% (pays upon termination) | 1/2/25 | 2,442,937 | — | 2,442,937 | ||||||||||||||||
BRL | 5,239 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.90% (pays upon termination) | 1/2/25 | 304,606 | — | 304,606 | ||||||||||||||||
CLP | 9,792,953 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.09% (pays semi-annually) | 12/6/21 | 221,800 | — | 221,800 | ||||||||||||||||
CLP | 4,865,090 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.98% (pays semi-annually) | 12/11/21 | 102,113 | — | 102,113 | ||||||||||||||||
CLP | 8,101,730 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.81% (pays semi-annually) | 5/29/23 | 730,812 | — | 730,812 | ||||||||||||||||
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | 426,417 | — | 426,417 | ||||||||||||||||
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | 80,476 | — | 80,476 | ||||||||||||||||
CLP | 4,609,640 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.71% (pays semi-annually) | 6/13/24 | 219,929 | — | 219,929 | ||||||||||||||||
CLP | 4,400,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.29% (pays semi-annually) | 2/11/25 | 52,565 | — | 52,565 | ||||||||||||||||
CLP | 12,261,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.91% (pays semi-annually) | 3/6/25 | (147,345 | ) | — | (147,345 | ) | ||||||||||||||
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (127,072 | ) | — | (127,072 | ) |
30 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | $ | (232,619 | ) | $ | — | $ | (232,619 | ) | |||||||||||
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (315,777 | ) | — | (315,777 | ) | ||||||||||||||
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (144,800 | ) | — | (144,800 | ) | ||||||||||||||
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (97,203 | ) | — | (97,203 | ) | ||||||||||||||
CLP | 5,068,950 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.03% (pays semi-annually) | 2/25/26 | 159,348 | — | 159,348 | ||||||||||||||||
CLP | 794,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.02% (pays semi-annually) | 3/18/29 | 58,095 | — | 58,095 | ||||||||||||||||
CNY | 116,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.62% (pays quarterly) | 8/4/25 | (51,822 | ) | — | (51,822 | ) | ||||||||||||||
CNY | 90,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.79% (pays quarterly) | 9/3/25 | 47,027 | — | 47,027 | ||||||||||||||||
CNY | 118,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.61% (pays quarterly) | 11/3/25 | (78,091 | ) | — | (78,091 | ) | ||||||||||||||
CNY | 80,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.79% (pays quarterly) | 12/21/25 | 30,525 | — | 30,525 | ||||||||||||||||
CNY | 60,784 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.64% (pays quarterly) | 1/4/26 | (38,680 | ) | — | (38,680 | ) | ||||||||||||||
CNY | 94,216 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.64% (pays quarterly) | 1/4/26 | (59,955 | ) | — | (59,955 | ) | ||||||||||||||
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.74% (pays quarterly) | 1/27/26 | (2,250 | ) | — | (2,250 | ) | ||||||||||||||
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 31,565 | — | 31,565 | ||||||||||||||||
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 22,847 | — | 22,847 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 31,610 | — | 31,610 |
31 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
COP | 4,831,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | $ | 13,756 | $ | — | $ | 13,756 | |||||||||||||
COP | 11,354,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 27,812 | — | 27,812 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 22,359 | — | 22,359 | ||||||||||||||||
COP | 15,464,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 28,113 | — | 28,113 | ||||||||||||||||
COP | 22,708,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.12% (pays quarterly) | 11/26/25 | 38,365 | — | 38,365 | ||||||||||||||||
COP | 29,467,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.14% (pays quarterly) | 11/26/25 | 41,678 | — | 41,678 | ||||||||||||||||
COP | 12,992,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 11,457 | — | 11,457 | ||||||||||||||||
COP | 30,157,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 26,049 | — | 26,049 | ||||||||||||||||
COP | 7,320,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 3,180 | — | 3,180 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 5,240 | — | 5,240 | ||||||||||||||||
COP | 4,710,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 3,445 | — | 3,445 | ||||||||||||||||
COP | 10,648,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.25% (pays quarterly) | 11/26/25 | 1,289 | — | 1,289 | ||||||||||||||||
COP | 35,910,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.26% (pays quarterly) | 11/26/25 | 6,425 | — | 6,425 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | (4,861 | ) | — | (4,861 | ) | ||||||||||||||
COP | 27,119,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | (26,520 | ) | — | (26,520 | ) | ||||||||||||||
COP | 84,308,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 7,702 | — | 7,702 |
32 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
COP | 41,744,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | $ | 2,824 | $ | — | $ | 2,824 | |||||||||||||
COP | 23,038,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | (25,803 | ) | — | (25,803 | ) | ||||||||||||||
COP | 24,662,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | (46,820 | ) | — | (46,820 | ) | ||||||||||||||
COP | 53,708,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.15% (pays quarterly) | 4/19/26 | 183,009 | — | 183,009 | ||||||||||||||||
COP | 29,588,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.58% (pays quarterly) | 4/30/26 | (36,931 | ) | — | (36,931 | ) | ||||||||||||||
COP | 7,441,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 21,445 | — | 21,445 | ||||||||||||||||
COP | 8,319,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 23,322 | — | 23,322 | ||||||||||||||||
COP | 5,315,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 14,486 | — | 14,486 | ||||||||||||||||
CZK | 232,350 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.84% (pays annually) | 12/5/24 | 179,594 | — | 179,594 | ||||||||||||||||
CZK | 491,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.80% (pays annually) | 2/26/25 | 243,520 | — | 243,520 | ||||||||||||||||
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (48,955 | ) | — | (48,955 | ) | ||||||||||||||
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 86,971 | — | 86,971 | ||||||||||||||||
CZK | 107,690 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 0.60% (pays annually) | 6/15/25 | (191,146 | ) | — | (191,146 | ) | ||||||||||||||
CZK | 184,250 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 0.64% (pays annually) | 7/27/25 | (324,824 | ) | — | (324,824 | ) | ||||||||||||||
CZK | 80,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.01% (pays annually) | 1/27/26 | (111,680 | ) | — | (111,680 | ) | ||||||||||||||
CZK | 125,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 2/23/26 | (80,135 | ) | — | (80,135 | ) | ||||||||||||||
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (141,852 | ) | — | (141,852 | ) | ||||||||||||||
CZK | 497,198 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.74% (pays annually) | 5/31/29 | 156,641 | — | 156,641 | ||||||||||||||||
EUR | 16,300 | Receives | 6-month EURIBOR (pays semi-annually) | 0.25% (pays annually) | 9/20/22 | (248,243 | ) | (17,855 | ) | (266,098 | ) | |||||||||||||
HUF | 5,700,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 2.30% (pays annually) | 11/19/23 | 510,110 | — | 510,110 |
33 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
HUF | 7,255,400 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.39% (pays annually) | 5/31/24 | $ | 52,702 | $ | — | $ | 52,702 | |||||||||||||
HUF | 1,680,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (135,338 | ) | — | (135,338 | ) | ||||||||||||||
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (422,368 | ) | — | (422,368 | ) | ||||||||||||||
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 403,458 | — | 403,458 | ||||||||||||||||
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (196,363 | ) | — | (196,363 | ) | ||||||||||||||
HUF | 3,165,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.10% (pays annually) | 12/4/25 | (374,390 | ) | — | (374,390 | ) | ||||||||||||||
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.06% (pays annually) | 12/22/25 | (258,709 | ) | — | (258,709 | ) | ||||||||||||||
MXN | 154,220 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.35% (pays monthly) | 4/13/22 | 58,283 | — | 58,283 | ||||||||||||||||
MXN | 74,620 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.38% (pays monthly) | 4/13/22 | 29,298 | — | 29,298 | ||||||||||||||||
MXN | 74,622 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.25% (pays monthly) | 4/14/22 | 24,652 | — | 24,652 | ||||||||||||||||
MXN | 233,195 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.29% (pays monthly) | 4/14/22 | 81,988 | — | 81,988 | ||||||||||||||||
MXN | 48,628 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.16% (pays monthly) | 4/15/22 | 13,866 | — | 13,866 | ||||||||||||||||
MXN | 74,623 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.20% (pays monthly) | 4/15/22 | 22,742 | — | 22,742 | ||||||||||||||||
MXN | 267,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.58% (pays monthly) | 3/21/23 | 643,278 | (2,373 | ) | 640,905 | |||||||||||||||
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | 1,583,088 | (7,256 | ) | 1,575,832 | |||||||||||||||
MXN | 516,400 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.54% (pays monthly) | 12/15/23 | 2,115,810 | — | 2,115,810 | ||||||||||||||||
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | 659,522 | — | 659,522 | ||||||||||||||||
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | (1,128,186 | ) | — | (1,128,186 | ) |
34 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | $ | (320,365 | ) | $ | — | $ | (320,365 | ) | |||||||||||
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | (1,085,376 | ) | — | (1,085,376 | ) | ||||||||||||||
MXN | 180,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.69% (pays monthly) | 5/22/24 | 564,360 | (3,779 | ) | 560,581 | |||||||||||||||
MXN | 329,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.49% (pays monthly) | 6/5/24 | 964,870 | — | 964,870 | ||||||||||||||||
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | 59,228 | — | 59,228 | ||||||||||||||||
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | 565,242 | — | 565,242 | ||||||||||||||||
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | (214,072 | ) | — | (214,072 | ) | ||||||||||||||
MXN | 338,050 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.63% (pays monthly) | 1/9/25 | (607,573 | ) | — | (607,573 | ) | ||||||||||||||
MXN | 338,050 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.61% (pays monthly) | 1/10/25 | (615,059 | ) | — | (615,059 | ) | ||||||||||||||
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (714,330 | ) | — | (714,330 | ) | ||||||||||||||
MXN | 200,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.77% (pays monthly) | 2/14/25 | (328,099 | ) | — | (328,099 | ) | ||||||||||||||
MXN | 275,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.18% (pays monthly) | 3/5/25 | (263,360 | ) | — | (263,360 | ) | ||||||||||||||
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | (426,625 | ) | — | (426,625 | ) | ||||||||||||||
MXN | 205,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.44% (pays monthly) | 3/14/25 | (108,849 | ) | — | (108,849 | ) | ||||||||||||||
MXN | 332,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.13% (pays monthly) | 6/6/25 | (418,036 | ) | — | (418,036 | ) | ||||||||||||||
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (569,201 | ) | — | (569,201 | ) |
35 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
MXN | 126,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.04% (pays monthly) | 4/24/26 | $ | 6,241 | $ | — | $ | 6,241 | |||||||||||||
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | 38,344 | — | 38,344 | ||||||||||||||||
MXN | 176,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.86% (pays monthly) | 1/5/28 | 722,932 | (4,589 | ) | 718,343 | |||||||||||||||
MXN | 168,218 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.58% (pays monthly) | 10/13/28 | 1,048,268 | (11,379 | ) | 1,036,889 | |||||||||||||||
MXN | 232,520 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.06% (pays monthly) | 7/30/29 | 291,622 | — | 291,622 | ||||||||||||||||
MXN | 83,120 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.77% (pays monthly) | 9/18/29 | 22,385 | — | 22,385 | ||||||||||||||||
MXN | 206,360 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.94% (pays monthly) | 11/21/29 | 147,133 | — | 147,133 | ||||||||||||||||
MXN | 15,300 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.91% (pays monthly) | 5/1/30 | (46,668 | ) | — | (46,668 | ) | ||||||||||||||
MXN | 124,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.37% (pays monthly) | 12/6/30 | (675,911 | ) | — | (675,911 | ) | ||||||||||||||
MXN | 29,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.95% (pays monthly) | 12/3/31 | 111,105 | (283,066 | ) | (171,961 | ) | ||||||||||||||
PLN | 4,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/28/21 | 24,032 | — | 24,032 | ||||||||||||||||
PLN | 35,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.35% (pays annually) | 11/19/22 | 358,800 | — | 358,800 | ||||||||||||||||
PLN | 25,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 6/8/23 | 384,662 | — | 384,662 | ||||||||||||||||
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | 194,376 | — | 194,376 | ||||||||||||||||
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | 149,068 | — | 149,068 | ||||||||||||||||
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | 123,085 | — | 123,085 | ||||||||||||||||
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | 140,255 | — | 140,255 | ||||||||||||||||
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.99% (pays annually) | 5/30/24 | 234,074 | — | 234,074 | ||||||||||||||||
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | 384,456 | — | 384,456 |
36 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.76% (pays annually) | 8/6/24 | $ | 272,250 | $ | — | $ | 272,250 | |||||||||||||
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | 96,312 | — | 96,312 | ||||||||||||||||
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | 179,232 | — | 179,232 | ||||||||||||||||
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | 468,773 | — | 468,773 | ||||||||||||||||
PLN | 37,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.44% (pays annually) | 3/17/25 | (114,795 | ) | — | (114,795 | ) | ||||||||||||||
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (85,061 | ) | — | (85,061 | ) | ||||||||||||||
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (60,475 | ) | — | (60,475 | ) | ||||||||||||||
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (363,933 | ) | — | (363,933 | ) | ||||||||||||||
PLN | 29,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.97% (pays annually) | 2/23/26 | (139,064 | ) | — | (139,064 | ) | ||||||||||||||
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | 1,646,604 | — | 1,646,604 | ||||||||||||||||
PLN | 78,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 0.93% (pays annually) | 5/8/30 | 1,510,898 | — | 1,510,898 | ||||||||||||||||
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | 117,657 | — | 117,657 | ||||||||||||||||
THB | 456,500 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.26% (pays semi-annually) | 12/16/24 | 291,426 | — | 291,426 | ||||||||||||||||
THB | 675,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.94% (pays semi-annually) | 2/12/25 | 128,054 | — | 128,054 | ||||||||||||||||
THB | 442,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.70% (pays semi-annually) | 3/6/25 | (51,711 | ) | — | (51,711 | ) | ||||||||||||||
THB | 483,000 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | (137,838 | ) | — | (137,838 | ) | ||||||||||||||
THB | 290,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.80% (pays semi-annually) | 6/16/25 | (17,606 | ) | — | (17,606 | ) | ||||||||||||||
THB | 180,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.82% (pays semi-annually) | 9/11/25 | (14,325 | ) | — | (14,325 | ) | ||||||||||||||
THB | 373,500 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.79% (pays semi-annually) | 12/4/25 | (80,815 | ) | — | (80,815 | ) | ||||||||||||||
THB | 635,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.69% (pays semi-annually) | 12/22/25 | (235,245 | ) | — | (235,245 | ) |
37 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
THB | 400,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.72% (pays semi-annually) | 1/25/26 | $ | (139,925 | ) | $ | — | $ | (139,925 | ) | |||||||||||
THB | 291,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (27,548 | ) | — | (27,548 | ) | ||||||||||||||
THB | 429,400 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.07% (pays semi-annually) | 4/12/26 | 68,022 | — | 68,022 | ||||||||||||||||
THB | 398,453 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.19% (pays semi-annually) | 2/23/28 | 49,372 | — | 49,372 | ||||||||||||||||
THB | 398,453 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.19% (pays semi-annually) | 2/23/28 | 49,372 | — | 49,372 | ||||||||||||||||
THB | 224,967 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.32% (pays semi-annually) | 2/25/28 | (33,677 | ) | — | (33,677 | ) | ||||||||||||||
THB | 199,227 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.34% (pays semi-annually) | 2/25/28 | (38,595 | ) | — | (38,595 | ) | ||||||||||||||
USD | 21,400 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.93% (pays semi-annually) | 1/6/31 | 1,277,934 | — | 1,277,934 | ||||||||||||||||
USD | 2,196 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.27% (pays semi-annually) | 2/16/31 | 65,506 | — | 65,506 | ||||||||||||||||
USD | 2,848 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.37% (pays semi-annually) | 2/19/31 | 56,198 | — | 56,198 | ||||||||||||||||
USD | 9,333 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.36% (pays semi-annually) | 2/22/31 | 194,217 | — | 194,217 | ||||||||||||||||
USD | 13,231 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.43% (pays semi-annually) | 2/23/31 | 192,842 | — | 192,842 | ||||||||||||||||
USD | 473 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.41% (pays semi-annually) | 2/24/31 | 7,733 | — | 7,733 | ||||||||||||||||
ZAR | 221,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.99% (pays quarterly) | 7/3/24 | 956,471 | — | 956,471 | ||||||||||||||||
ZAR | 559,737 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.88% (pays quarterly) | 1/10/25 | 2,226,773 | — | 2,226,773 | ||||||||||||||||
ZAR | 55,027 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 2/14/25 | 202,999 | — | 202,999 | ||||||||||||||||
ZAR | 256,793 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.65% (pays quarterly) | 2/14/25 | 950,575 | — | 950,575 | ||||||||||||||||
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | (1,098,199 | ) | — | (1,098,199 | ) |
38 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||
Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | $ | (273,799 | ) | $ | — | $ | (273,799 | ) | |||||||||||
ZAR | 148,340 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.40% (pays quarterly) | 6/11/25 | 10,017 | — | 10,017 | ||||||||||||||||
ZAR | 50,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 4.97% (pays quarterly) | 8/24/25 | (67,492 | ) | 105 | (67,387 | ) | ||||||||||||||
ZAR | 192,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.56% (pays quarterly) | 2/19/26 | (82,444 | ) | 659 | (81,785 | ) | ||||||||||||||
ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | 632,611 | — | 632,611 | ||||||||||||||||
Total |
| $ | 16,934,184 | $ | (329,533 | ) | $ | 16,604,651 |
Interest Rate Swaps | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||
Bank of America, N.A. | BRL | 12,953 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.10% (pays upon termination) | 1/2/23 | $ | 2,125,397 | ||||||||||||
Bank of America, N.A. | PLN | 8,765 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.45% (pays annually) | 6/7/21 | 123,773 | |||||||||||||
Bank of America, N.A. | RUB | 1,085,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.20% (pays annually) | 3/4/25 | (395,489 | ) | ||||||||||||
Bank of America, N.A. | RUB | 606,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.20% (pays annually) | 8/6/25 | (349,638 | ) | ||||||||||||
Bank of America, N.A. | THB | 400,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.91% (pays semi-annually) | 11/2/22 | 385,976 | |||||||||||||
Bank of America, N.A. | THB | 230,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.90% (pays semi-annually) | 12/8/22 | 226,922 | |||||||||||||
Citibank, N.A. | MYR | 5,500 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 8/1/23 | 54,210 | |||||||||||||
Citibank, N.A. | MYR | 40,000 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.37% (pays quarterly) | 5/29/24 | 298,473 | |||||||||||||
Citibank, N.A. | RUB | 768,000 | Receives | 3-month Moscow Prime Offered Rate (pays quarterly) | 8.65% (pays annually) | 3/13/25 | (582,330 | ) | ||||||||||||
Citibank, N.A. | THB | 490,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.03% (pays semi-annually) | 4/24/22 | 253,243 | |||||||||||||
Citibank, N.A. | THB | 260,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.79% (pays semi-annually) | 8/10/22 | 181,013 |
39 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||
Citibank, N.A. | THB | 330,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 3/27/23 | $ | 305,702 | ||||||||||||
Citibank, N.A. | THB | 250,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.22% (pays semi-annually) | 10/25/23 | 328,211 | |||||||||||||
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | 113,782 | |||||||||||||
Credit Suisse International | RUB | 51,950 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 5/23/22 | 52,986 | |||||||||||||
Credit Suisse International | RUB | 275,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 11/1/22 | 146,759 | |||||||||||||
Credit Suisse International | RUB | 230,200 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.66% (pays annually) | 8/1/24 | 186,897 | |||||||||||||
Deutsche Bank AG | BRL | 1,970 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.98% (pays upon termination) | 1/2/23 | 314,984 | |||||||||||||
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 486,409 | |||||||||||||
Goldman Sachs International | CLP | 8,866,700 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.83% (pays semi-annually) | 5/29/23 | 804,875 | |||||||||||||
Goldman Sachs International | PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.54% (pays annually) | 5/10/21 | 157,728 | |||||||||||||
Goldman Sachs International | RUB | 1,487,640 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.67% (pays annually) | 11/20/24 | 138,002 | |||||||||||||
Goldman Sachs International | RUB | 1,543,910 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.67% (pays annually) | 11/20/24 | 143,221 | |||||||||||||
Goldman Sachs International | RUB | 879,100 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.51% (pays annually) | 4/16/25 | (227,168 | ) | ||||||||||||
Goldman Sachs International | RUB | 671,200 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.51% (pays annually) | 5/15/25 | (104,934 | ) | ||||||||||||
Goldman Sachs International | RUB | 603,873 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.34% (pays annually) | 5/18/25 | (154,943 | ) | ||||||||||||
Goldman Sachs International | RUB | 252,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.27% (pays annually) | 6/17/25 | (80,966 | ) | ||||||||||||
Goldman Sachs International | RUB | 430,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.14% (pays annually) | 7/24/25 | (182,523 | ) |
40 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (continued) | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||||
Goldman Sachs International | RUB | 320,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.50% (pays annually) | 8/25/25 | $ | (130,547 | ) | |||||||||||||
Goldman Sachs International | RUB | 1,700,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.64% (pays annually) | 12/21/25 | (964,363 | ) | ||||||||||||||
Goldman Sachs International | RUB | 400,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.53% (pays annually) | 3/12/26 | (114,817 | ) | ||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 11,300 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 8/1/23 | 111,378 | |||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 5,810 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 8/14/23 | 56,903 | |||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 5,815 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 8/14/23 | 56,952 | |||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 14,500 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.86% (pays quarterly) | 9/4/23 | 137,393 | |||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 11,600 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 9/5/23 | 111,764 | |||||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 49,000 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.53% (pays quarterly) | 4/19/26 | (83,230 | ) | ||||||||||||||
JPMorgan Chase Bank, N.A. | RUB | 565,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.78% (pays annually) | 8/6/24 | 491,651 | |||||||||||||||
JPMorgan Chase Bank, N.A. | RUB | 401,200 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.20% (pays annually) | 10/1/24 | 216,900 | |||||||||||||||
JPMorgan Chase Bank, N.A. | RUB | 802,200 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 5.55% (pays annually) | 12/3/25 | (489,584 | ) | ||||||||||||||
JPMorgan Chase Bank, N.A. | RUB | 775,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 6.27% (pays annually) | 2/24/26 | (334,446 | ) | ||||||||||||||
Nomura International PLC | BRL | 2,006 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.90% (pays upon termination) | 1/2/23 | 314,540 | |||||||||||||||
Nomura International PLC | BRL | 4,440 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.83% (pays upon termination) | 1/2/23 | 684,807 | |||||||||||||||
Nomura International PLC | MYR | 4,070 | Pays | 3-month MYR KLIBOR (pays quarterly) | 4.19% (pays quarterly) | 10/24/24 | 57,428 | |||||||||||||||
Standard Chartered Bank | MYR | 5,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 7/23/23 | 50,346 | |||||||||||||||
Standard Chartered Bank | MYR | 5,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 9/4/23 | 56,525 | |||||||||||||||
Standard Chartered Bank | THB | 650,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.15% (pays semi-annually) | 8/20/23 | 837,262 | |||||||||||||||
$ | 5,817,434 |
41 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Centrally Cleared Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||
Reference Entity | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized (Depreciation) | |||||||||||||||||
South Africa | $ | 2,240 | 1.00% (pays quarterly)(1) | 6/20/21 | 0.38% | $ | 4,568 | $ | 9,216 | $ | 13,784 | |||||||||||||
Turkey | 4,570 | 1.00% (pays quarterly)(1) | 6/20/21 | 3.04 | (7,905 | ) | 32,256 | 24,351 | ||||||||||||||||
Total | $ | 6,810 | $ | (3,337 | ) | $ | 41,472 | $ | 38,135 |
Centrally Cleared Credit Default Swaps — Buy Protection | ||||||||||||||||||
Reference Entity | Notional Amount (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized (Depreciation) | ||||||||||||
Markit CDX Emerging Markets Index (CDX.EM.31.V2) | $ | 94 | 1.00% (pays quarterly)(1) | 6/20/24 | $79 | $ | (1,728 | ) | $ | (1,649 | ) | |||||||
Total | $79 | $ | (1,728 | ) | $ | (1,649 | ) |
Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Termination Date | Current Market Annual Fixed Rate*** | Value | Unamortized Upfront Receipts (Payments) | Unrealized (Depreciation) | ||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,600 | 1.00% (pays quarterly)(1) | 6/20/22 | 3.64 | % | $ | (45,624 | ) | $ | 32,699 | $ | (12,925 | ) | |||||||||||||
Total | $ | 1,600 | $ | (45,624 | ) | $ | 32,699 | $ | (12,925 | ) |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $8,410,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
42 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps | ||||||||||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||
Bank of America, N.A. | 1-day Indice Camara Promedio Rate on CLP 810,021,438 (pays semi-annually)* | (0.20)% on CLP equivalent of CLF 27,782 (pays semi-annually)* | 2/10/31 | $ | 88,939 | |||||||
Citibank, N.A. | 1-day Indice Camara Promedio Rate on CLP 731,637,500 (pays semi-annually)* | (0.07)% on CLP equivalent of CLF 25,000 (pays semi-annually)* | 2/25/31 | 70,287 | ||||||||
Goldman Sachs International | 9.56% on TRY 16,903,000 (pays annually) plus USD 5,549,245** | 3-month USD-LIBOR on USD 5,549,245 (pays quarterly) plus TRY 16,903,000** | 7/28/23 | (3,743,045 | ) | |||||||
Goldman Sachs International | 9.51% on TRY 43,482,000 (pays annually) plus USD 14,326,853** | 3-month USD-LIBOR on USD 14,326,853 (pays quarterly) plus TRY 43,482,000** | 7/29/23 | (9,691,079 | ) | |||||||
Goldman Sachs International | 3-month USD-LIBOR on USD 1,015,106 (pays quarterly) plus TRY 8,400,000** | 19.35% on TRY 8,400,000 (pays annually) plus USD 1,015,106** | 6/16/26 | 1 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,518,667,068 (pays semi-annually)* | (0.25)% on CLP equivalent of CLF 52,100 (pays semi-annually)* | 2/9/31 | 176,663 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 766,128,035 (pays semi-annually)* | (0.24)% on CLP equivalent of CLF 26,270 (pays semi-annually)* | 2/11/31 | 88,811 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 766,347,926 (pays semi-annually)* | (0.27)% on CLP equivalent of CLF 26,271 (pays semi-annually)* | 2/12/31 | 92,426 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 373,122,363 (pays semi-annually)* | (0.32)% on CLP equivalent of CLF 12,775 (pays semi-annually)* | 2/17/31 | 48,347 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,463,251,912 (pays semi-annually)* | (0.15)% on CLP equivalent of CLF 50,074 (pays semi-annually)* | 2/19/31 | 155,617 | ||||||||
JPMorgan Chase Bank, N.A. | 18.56% on TRY 125,287,000 (pays annually) plus USD 17,791,394** | 3-month USD-LIBOR on USD 17,791,394 (pays quarterly) plus TRY 125,287,000** | 8/7/22 | (942,639 | ) | |||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 446,062,846 (pays semi-annually)* | (0.23)% on CLP equivalent of CLF 15,299 (pays semi-annually)* | 2/10/31 | 50,580 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 446,174,069 (pays semi-annually)* | (0.20)% on CLP equivalent of CLF 15,299 (pays semi-annually)* | 2/11/31 | 49,156 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 446,174,069 (pays semi-annually)* | (0.22)% on CLP equivalent of CLF 15,299 (pays semi-annually)* | 2/11/31 | 50,118 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 892,318,975 (pays semi-annually)* | (0.22)% on CLP equivalent of CLF 30,597 (pays semi-annually)* | 2/11/31 | 100,875 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 892,318,975 (pays semi-annually)* | (0.23)% on CLP equivalent of CLF 30,597 (pays semi-annually)* | 2/11/31 | 102,157 |
43 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps (continued) | ||||||||||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 711,127,469 (pays semi-annually)* | (0.30)% on CLP equivalent of CLF 24,378 (pays semi-annually)* | 2/12/31 | $ | 88,832 | |||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 670,247,514 (pays semi-annually)* | (0.31)% on CLP equivalent of CLF 22,948 (pays semi-annually)* | 2/16/31 | 85,900 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 446,841,412 (pays semi-annually)* | (0.34)% on CLP equivalent of CLF 15,299 (pays semi-annually)* | 2/16/31 | 59,193 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 450,575,388 (pays semi-annually)* | (0.21)% on CLP equivalent of CLF 15,423 (pays semi-annually)* | 2/18/31 | 51,143 | ||||||||
The Bank of Nova Scotia | 1-day Indice Camara Promedio Rate on CLP 450,687,667 (pays semi-annually)* | (0.16)% on CLP equivalent of CLF 15,423 (pays semi-annually)* | 2/19/31 | 48,092 | ||||||||
$ | (12,969,626 | ) |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
** | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Currency Abbreviations:
BAM | – | Bosnia-Herzegovina Convertible Mark | ||
BRL | – | Brazilian Real | ||
CLF | – | Chilean Unidad de Fomento | ||
CLP | – | Chilean Peso | ||
CNH | – | Yuan Renminbi Offshore | ||
CNY | – | Yuan Renminbi | ||
COP | – | Colombian Peso | ||
CRC | – | Costa Rican Colon | ||
CZK | – | Czech Koruna | ||
DOP | – | Dominican Peso | ||
EGP | – | Egyptian Pound | ||
EUR | – | Euro | ||
GEL | – | Georgian Lari | ||
HUF | – | Hungarian Forint | ||
IDR | – | Indonesian Rupiah | ||
INR | – | Indian Rupee | ||
KES | – | Kenyan Shilling |
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
PEN | – | Peruvian Sol | ||
PHP | – | Philippine Peso | ||
PLN | – | Polish Zloty | ||
RON | – | Romanian Leu | ||
RSD | – | Serbian Dinar | ||
RUB | – | Russian Ruble | ||
THB | – | Thai Baht | ||
TRY | – | New Turkish Lira | ||
UAH | – | Ukrainian Hryvnia | ||
UGX | – | Ugandan Shilling | ||
USD | – | United States Dollar | ||
UYU | – | Uruguayan Peso | ||
UZS | – | Uzbekistani Som | ||
ZAR | – | South African Rand |
44 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2021 | |||
Unaffiliated investments, at value (identified cost, $1,563,852,231) | $ | 1,534,004,506 | ||
Affiliated investment, at value (identified cost, $105,944,238) | 105,944,238 | |||
Cash | 12,715,177 | |||
Deposits for derivatives collateral — | ||||
Centrally cleared derivatives | 51,715,126 | |||
OTC derivatives | 1,951,000 | |||
Foreign currency, at value (identified cost, $6,681,434) | 6,584,392 | |||
Interest receivable | 21,845,429 | |||
Dividends receivable from affiliated investment | 6,887 | |||
Receivable for investments sold | 11,260,024 | |||
Receivable for open forward foreign currency exchange contracts | 9,876,843 | |||
Receivable for open swap contracts | 11,419,549 | |||
Receivable for open non-deliverable bond forward contracts | 572,113 | |||
Total assets | $ | 1,767,895,284 | ||
Liabilities | ||||
Cash collateral due to brokers | $ | 1,951,000 | ||
Payable for investments purchased | 7,544,439 | |||
Payable for securities sold short, at value (proceeds, $3,288,520) | 2,983,550 | |||
Payable for variation margin on open financial futures contracts | 16,798 | |||
Payable for variation margin on open centrally cleared derivatives | 5,990,145 | |||
Payable for open forward foreign currency exchange contracts | 14,625,557 | |||
Payable for open swap contracts | 18,584,666 | |||
Upfront receipts on open non-centrally cleared swap contracts | 32,699 | |||
Payable for open non-deliverable bond forward contracts | 706,411 | |||
Payable to affiliates: | ||||
Investment adviser fee | 880,120 | |||
Trustees’ fees | 6,569 | |||
Interest payable on securities sold short | 67,690 | |||
Accrued foreign capital gains taxes | 1,953,307 | |||
Accrued expenses | 1,283,905 | |||
Total liabilities | $ | 56,626,856 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 1,711,268,428 |
45 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2021 | |||
Interest (net of foreign taxes, $2,599,332) | $ | 40,939,984 | ||
Dividends from affiliated investment | 121,520 | |||
Total investment income | $ | 41,061,504 | ||
Expenses | ||||
Investment adviser fee | $ | 4,957,810 | ||
Trustees’ fees and expenses | 39,430 | |||
Custodian fee | 597,508 | |||
Legal and accounting services | 76,866 | |||
Interest expense on securities sold short | 60,675 | |||
Miscellaneous | 22,633 | |||
Total expenses | $ | 5,754,922 | ||
Net investment income | $ | 35,306,582 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) — | ||||
Investment transactions (net of foreign capital gains taxes of $160,958) | $ | 2,932,872 | ||
Securities sold short | 123,351 | |||
Financial futures contracts | 817,890 | |||
Swap contracts | 13,102,178 | |||
Foreign currency transactions | 20,991 | |||
Forward foreign currency exchange contracts | 7,119,015 | |||
Non-deliverable bond forward contracts | (10,518,103 | ) | ||
Net realized gain | $ | 13,598,194 | ||
Change in unrealized appreciation (depreciation) — | ||||
Investments (including net increase in accrued foreign capital gains taxes of $336,371) | $ | (5,605,089 | ) | |
Securities sold short | 304,970 | |||
Financial futures contracts | 63,814 | |||
Swap contracts | (33,285,498 | ) | ||
Foreign currency | 255,832 | |||
Forward foreign currency exchange contracts | 7,918,562 | |||
Non-deliverable bond forward contracts | 720,323 | |||
Net change in unrealized appreciation (depreciation) | $ | (29,627,086 | ) | |
Net realized and unrealized loss | $ | (16,028,892 | ) | |
Net increase in net assets from operations | $ | 19,277,690 |
46 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, 2020 | ||||||
From operations — | ||||||||
Net investment income | $ | 35,306,582 | $ | 73,431,867 | ||||
Net realized gain (loss) | 13,598,194 | (44,007,893 | ) | |||||
Net change in unrealized appreciation (depreciation) | (29,627,086 | ) | (50,203,391 | ) | ||||
Net increase (decrease) in net assets from operations | $ | 19,277,690 | $ | (20,779,417 | ) | |||
Capital transactions — | ||||||||
Contributions | $ | 541,090,215 | $ | 394,900,465 | ||||
Withdrawals | (103,034,567 | ) | (358,676,352 | ) | ||||
Net increase in net assets from capital transactions | $ | 438,055,648 | $ | 36,224,113 | ||||
Net increase in net assets | $ | 457,333,338 | $ | 15,444,696 | ||||
Net Assets |
| |||||||
At beginning of period | $ | 1,253,935,090 | $ | 1,238,490,394 | ||||
At end of period | $ | 1,711,268,428 | $ | 1,253,935,090 |
47 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Financial Highlights
Six Months Ended April 30, 2021 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses | 0.74 | %(1)(2) | 0.79 | % | 0.78 | % | 0.87 | %(1) | 0.81 | %(1) | 0.91 | %(1) | ||||||||||||
Net investment income | 4.56 | %(2) | 5.79 | % | 7.01 | % | 7.22 | % | 5.90 | % | 5.94 | % | ||||||||||||
Portfolio Turnover | 24 | %(3) | 56 | % | 46 | % | 52 | % | 40 | % | 73 | % | ||||||||||||
Total Return | 3.30 | %(3) | 0.08 | % | 23.15 | % | (9.33 | )% | 8.23 | % | 16.39 | % | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,711,268 | $ | 1,253,935 | $ | 1,238,490 | $ | 783,270 | $ | 617,181 | $ | 348,304 |
(1) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.01%, 0.02%, 0.02% and 0.05% of average daily net assets for the six months ended April 30, 2021 and the years ended October 31, 2018, 2017 and 2016, respectively. |
(2) | Annualized. |
(3) | Not annualized. |
48 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2021
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Emerging Markets Local Income Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2021, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance International (Cayman Islands) Emerging Markets Local Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 92.6%, 6.5%, 0.5% and 0.4%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Derivatives. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads.
Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
49 |
Emerging Markets Local Income Portfolio
April 30, 2021
Notes to Financial Statements (Unaudited) — continued
D Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.
In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
As of April 30, 2021, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
F Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
G Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
H Financial Futures Contracts — Upon entering into a financial futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
I Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be “centrally cleared”, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase or sale of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.
J Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation
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Notes to Financial Statements (Unaudited) — continued
in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
K Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
L Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
M Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
N Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
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Notes to Financial Statements (Unaudited) — continued
O Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
P Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. When making a short sale, the Portfolio segregates liquid assets with the custodian equal to its obligations under the short sale. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.
Q Interim Financial Statements — The interim financial statements relating to April 30, 2021 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR) as compensation for investment advisory services rendered to the Portfolio. On March 1, 2021, Morgan Stanley acquired Eaton Vance Corp. (the “Transaction”) and BMR became an indirect, wholly-owned subsidiary of Morgan Stanley. In connection with the Transaction, the Portfolio entered into a new investment advisory agreement (the “New Agreement”) with BMR, which took effect on March 1, 2021. Pursuant to the New Agreement (and the Portfolio’s investment advisory agreement with BMR in effect prior to March 1, 2021), the investment adviser fee is computed at an annual rate of 0.650% of the Portfolio’s average daily net assets up to $1 billion, 0.625% from $1 billion but less than $2 billion, 0.600% from $2 billion but less than $5 billion and 0.575% on average daily net assets of $5 billion and over, and is payable monthly. For the six months ended April 30, 2021, the Portfolio’s investment adviser fee amounted to $4,957,810 or 0.64% (annualized) of the Portfolio’s average daily net assets. The Portfolio may invest its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2021, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, aggregated $550,949,361 and $222,293,385, respectively, for the six months ended April 30, 2021.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Portfolio at April 30, 2021, as determined on a federal income tax basis, were as follows:
Aggregate cost | $ | 1,675,571,134 | ||
Gross unrealized appreciation | $ | 58,618,655 | ||
Gross unrealized depreciation | (80,976,289 | ) | ||
Net unrealized depreciation | $ | (22,357,634 | ) |
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Notes to Financial Statements (Unaudited) — continued
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, non-deliverable bond forward contracts, futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2021 is included in the Portfolio of Investments. At April 30, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Credit Risk: The Portfolio enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase or sale of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2021, the fair value of derivatives with credit-related contingent features in a net liability position was $33,949,333. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $25,926,243 at April 30, 2021.
The OTC derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2021 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 8) at April 30, 2021.
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The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2021 was as follows:
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Unaffiliated investments, at value | $ | — | $ | 263,538 | $ | 248,740 | $ | 512,278 | ||||||||
Not applicable | 4,647 | * | 23,913,289 | * | 34,469,961 | * | 58,387,897 | |||||||||
Receivable for open forward foreign currency exchange contracts | — | 9,876,843 | — | 9,876,843 | ||||||||||||
Receivable/payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | — | — | 11,419,549 | 11,419,549 | ||||||||||||
Receivable for open non-deliverable bond forward contracts | — | — | 572,113 | 572,113 | ||||||||||||
Total Asset Derivatives | $ | 4,647 | $ | 34,053,670 | $ | 46,710,363 | $ | 80,768,680 | ||||||||
Derivatives not subject to master netting or similar agreements | $ | 4,647 | $ | 23,913,289 | $ | 34,469,961 | $ | 58,387,897 | ||||||||
Total Asset Derivatives subject to master netting or similar agreements | $ | — | $ | 10,140,381 | $ | 12,240,402 | $ | 22,380,783 | ||||||||
Not applicable | $ | (7,905 | )* | $ | (15,419,060 | )* | $ | (17,358,258 | )* | $ | (32,785,223 | ) | ||||
Payable for open forward foreign currency exchange contracts | — | (14,625,557 | ) | — | (14,625,557 | ) | ||||||||||
Payable/receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts | (45,624 | ) | — | (18,571,741 | ) | (18,617,365 | ) | |||||||||
Payable for open non-deliverable bond forward contracts | — | — | (706,411 | ) | (706,411 | ) | ||||||||||
Total Liability Derivatives | $ | (53,529 | ) | $ | (30,044,617 | ) | $ | (36,636,410 | ) | $ | (66,734,556 | ) | ||||
Derivatives not subject to master netting or similar agreements | $ | (7,905 | ) | $ | (15,419,060 | ) | $ | (17,358,258 | ) | $ | (32,785,223 | ) | ||||
Total Liability Derivatives subject to master netting or similar agreements | $ | (45,624 | ) | $ | (14,625,557 | ) | $ | (19,278,152 | ) | $ | (33,949,333 | ) |
* | Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open financial futures contracts and centrally cleared derivatives, as applicable. |
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The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio for such assets and pledged by the Portfolio for such liabilities as of April 30, 2021.
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) | Total Cash Collateral Received | ||||||||||||||||||
Bank of America, N.A. | $ | 3,805,096 | $ | (3,511,746) | $ | — | $ | — | $ | 293,350 | $ | — | ||||||||||||
Barclays Bank PLC | 91,205 | (91,205 | ) | — | — | — | — | |||||||||||||||||
BNP Paribas | 751,448 | (364,755 | ) | (254,417 | ) | — | 132,276 | — | ||||||||||||||||
Citibank, N.A. | 4,807,484 | (4,807,484 | ) | — | — | — | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | 213,668 | (118,620 | ) | — | — | 95,048 | — | |||||||||||||||||
Credit Suisse International | 386,642 | — | — | (386,642 | ) | — | 490,000 | |||||||||||||||||
Deutsche Bank AG | 809,735 | (45,624 | ) | (693,594 | ) | — | 70,517 | — | ||||||||||||||||
Goldman Sachs International | 2,769,255 | (2,769,255 | ) | — | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | 683,017 | (457,475 | ) | — | — | 225,542 | — | |||||||||||||||||
ICBC Standard Bank plc | 8,221 | (8,162 | ) | — | — | 59 | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 2,598,571 | (1,958,192 | ) | — | (640,379 | ) | — | 791,000 | ||||||||||||||||
Nomura International PLC | 1,056,775 | — | (871,057 | ) | (180,000 | ) | 5,718 | 180,000 | ||||||||||||||||
Standard Chartered Bank | 2,532,189 | (2,532,189 | ) | — | — | — | — | |||||||||||||||||
The Bank of Nova Scotia | 686,046 | — | — | (490,000 | ) | 196,046 | 490,000 | |||||||||||||||||
UBS AG | 1,181,431 | (671,222 | ) | (510,209 | ) | — | — | — | ||||||||||||||||
$ | 22,380,783 | $ | (17,335,929 | ) | $ | (2,329,277 | ) | $ | (1,697,021 | ) | $ | 1,018,556 | $ | 1,951,000 | ||||||||||
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) | Total Cash Collateral Pledged | ||||||||||||||||||
Bank of America, N.A. | $ | (3,511,746 | ) | $ | 3,511,746 | $ | — | $ | — | $ | — | $ | — | |||||||||||
Barclays Bank PLC | (167,432 | ) | 91,205 | — | — | (76,227 | ) | — | ||||||||||||||||
BNP Paribas | (364,755 | ) | 364,755 | — | — | — | — | |||||||||||||||||
Citibank, N.A. | (6,352,531 | ) | 4,807,484 | 1,545,047 | — | — | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | (118,620 | ) | 118,620 | — | — | — | — | |||||||||||||||||
Deutsche Bank AG | (45,624 | ) | 45,624 | — | — | — | — | |||||||||||||||||
Goldman Sachs International | (16,235,619 | ) | 2,769,255 | 13,466,364 | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | (457,475 | ) | 457,475 | — | — | — | — | |||||||||||||||||
ICBC Standard Bank plc | (8,162 | ) | 8,162 | — | — | — | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | (1,958,192 | ) | 1,958,192 | — | — | — | — | |||||||||||||||||
Standard Chartered Bank | (4,057,955 | ) | 2,532,189 | 1,525,766 | — | — | — | |||||||||||||||||
UBS AG | (671,222 | ) | 671,222 | — | — | — | — | |||||||||||||||||
$ | (33,949,333 | ) | $ | 17,335,929 | $ | 16,537,177 | $ | — | $ | (76,227 | ) | $ | — | |||||||||||
Total — Deposits for derivatives collateral — OTC derivatives |
| $ | 1,951,000 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
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Notes to Financial Statements (Unaudited) — continued
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the six months ended April 30, 2021 was as follows:
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Net realized gain (loss) — | ||||||||||||||||
Financial futures contracts | $ | — | $ | — | $ | 817,890 | $ | 817,890 | ||||||||
Swap contracts | 383,112 | — | 12,719,066 | 13,102,178 | ||||||||||||
Forward foreign currency exchange contracts | — | 7,119,015 | — | 7,119,015 | ||||||||||||
Non-deliverable bond forward contracts | — | — | (10,518,103 | ) | (10,518,103 | ) | ||||||||||
Total | $ | 383,112 | $ | 7,119,015 | $ | 3,018,853 | $ | 10,520,980 | ||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||
Investments | $ | — | $ | (519,983 | ) | $ | (674,762 | ) | $ | (1,194,745 | ) | |||||
Financial futures contracts | — | — | 63,814 | 63,814 | ||||||||||||
Swap contracts | 11,795 | — | (33,297,293 | ) | (33,285,498 | ) | ||||||||||
Forward foreign currency exchange contracts | — | 7,918,562 | — | 7,918,562 | ||||||||||||
Non-deliverable bond forward contracts | — | — | 720,323 | 720,323 | ||||||||||||
Total | $ | 11,795 | $ | 7,398,579 | $ | (33,187,918 | ) | $ | (25,777,544 | ) |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2021, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Non-deliverable Bond Forward Contracts | Interest Rate Swaptions Purchased | Swap Contracts | ||||||||||||||
$21,956,000 | $ | 3,120,467,000 | $ | 125,092,000 | $ | 22,880,000 | $ | 2,265,319,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
The average principal amount of purchased currency options contracts outstanding during six months ended April 30, 2021, which is indicative of the volume of this derivative type, was approximately $35,430,000.
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in an $800 million unsecured line of credit agreement with a group of banks, which is in effect through October 26, 2021. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. In connection with the renewal of the agreement in October 2020, an upfront fee and arrangement fee totaling $950,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2021.
56 |
Emerging Markets Local Income Portfolio
April 30, 2021
Notes to Financial Statements (Unaudited) — continued
7 Investments in Affiliated Funds
At April 30, 2021, the value of the Portfolio’s investment in affiliated funds was $105,944,238, which represents 6.2% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the six months ended April 30, 2021 were as follows:
Name of affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period | ||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC | $ | 160,245,815 | $ | 706,425,011 | $ | (760,726,588 | ) | $ | — | $ | — | $ | 105,944,238 | $ | 121,520 | 105,944,238 |
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
57 |
Emerging Markets Local Income Portfolio
April 30, 2021
Notes to Financial Statements (Unaudited) — continued
At April 30, 2021, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Corporate Bonds | $ | — | $ | 31,621,488 | $ | — | $ | 31,621,488 | ||||||||
Loan Participation Notes | — | — | 39,067,780 | 39,067,780 | ||||||||||||
Sovereign Government Bonds | — | 1,055,054,417 | — | 1,055,054,417 | ||||||||||||
Short-Term Investments — | ||||||||||||||||
Sovereign Government Securities | — | 181,941,884 | — | 181,941,884 | ||||||||||||
Repurchase Agreements | — | 3,157,525 | — | 3,157,525 | ||||||||||||
U.S. Treasury Obligations | — | 222,649,134 | — | 222,649,134 | ||||||||||||
Other | — | 105,944,238 | — | 105,944,238 | ||||||||||||
Purchased Currency Options | — | 263,538 | — | 263,538 | ||||||||||||
Purchased Interest Rate Swaptions | — | 248,740 | — | 248,740 | ||||||||||||
Total Investments | $ | — | $ | 1,600,880,964 | $ | 39,067,780 | $ | 1,639,948,744 | ||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 33,790,132 | $ | — | $ | 33,790,132 | ||||||||
Non-deliverable Bond Forward Contracts | — | 572,113 | — | 572,113 | ||||||||||||
Futures Contracts | 181,334 | — | — | 181,334 | ||||||||||||
Swap Contracts | — | 45,712,823 | — | 45,712,823 | ||||||||||||
Total | $ | 181,334 | $ | 1,680,956,032 | $ | 39,067,780 | $ | 1,720,205,146 | ||||||||
Liability Description | ||||||||||||||||
Securities Sold Short | $ | — | $ | (2,983,550 | ) | $ | — | $ | (2,983,550 | ) | ||||||
Forward Foreign Currency Exchange Contracts | — | (30,044,617 | ) | — | (30,044,617 | ) | ||||||||||
Non-deliverable Bond Forward Contracts | — | (706,411 | ) | — | (706,411 | ) | ||||||||||
Futures Contracts | (3,815 | ) | — | — | (3,815 | ) | ||||||||||
Swap Contracts | — | (35,979,713 | ) | — | (35,979,713 | ) | ||||||||||
Total | $ | (3,815 | ) | $ | (69,714,291 | ) | $ | — | $ | (69,718,106 | ) |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in Loan Participation Notes | Total | |||||||
Balance as of October 31, 2020 | $ | 34,155,753 | $ | 34,155,753 | ||||
Realized gains (losses) | — | — | ||||||
Change in net unrealized appreciation (depreciation) | (2,446,004 | ) | (2,446,004 | ) | ||||
Cost of purchases | 7,454,458 | 7,454,458 | ||||||
Proceeds from sales, including return of capital | — | — | ||||||
Accrued discount (premium) | (96,427 | ) | (96,427 | ) | ||||
Transfers to Level 3 | — | — | ||||||
Transfers from Level 3 | — | — | ||||||
Balance as of April 30, 2021 | $ | 39,067,780 | $ | 39,067,780 | ||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2021 | $ | (2,446,004 | ) | $ | (2,446,004 | ) |
58 |
Emerging Markets Local Income Portfolio
April 30, 2021
Notes to Financial Statements (Unaudited) — continued
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of April 30, 2021:
Type of Investment | Fair Value as of April 30, 2021 | Valuation Technique | Unobservable Inputs | Input | Impact to Valuation from an Increase to Input* | |||||||||||
Loan Participation Notes | $ | 39,067,780 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.98% | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result in an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.
Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.
LIBOR Transition Risk
Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, is expected to cease publishing certain LIBOR settings on December 31, 2021, and the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR is expected to be defined in advance of the anticipated discontinuation, there remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate or rates. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, the economies of individual countries, individual companies, and the market in general, and may continue to do so in significant and unforeseen ways, as may other epidemics and pandemics that may arise in the future. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.
59 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Joint Special Meeting of Shareholders (Unaudited)
Eaton Vance Emerging Markets Local Income Fund (the “Fund”) held a Joint Special Meeting of Shareholders on February 18, 2021 for the following purposes: (1) to approve a new investment advisory agreement with Eaton Vance Management to serve as the Fund’s investment adviser (“Proposal 1”); and (2) to provide voting instructions to the Fund, which invests pursuant to a master-feeder arrangement, with respect to the approval of a new investment advisory agreement with Boston Management and Research to serve as investment adviser to Emerging Markets Local Income Portfolio (“Proposal 2”). The shareholder meeting results are as follows:
Number of Shares(1) | ||||||||||||||||
For | Against | Abstain(2) | Broker Non-Votes(2) | |||||||||||||
Proposal 1 | 138,450,072.504 | 2,042,704.028 | 8,102,247.460 | 0 | ||||||||||||
Proposal 2 | 138,072,794.184 | 2,131,605.650 | 8,390,624.159 | 0 |
(1) | Fractional shares were voted proportionately. |
(2) | Abstentions and broker non-votes (i.e., shares for which a broker returns a proxy but for which (i) the beneficial owner has not voted and (ii) the broker holding the shares does not have discretionary authority to vote on the particular matter) were treated as shares that were present at the meeting for purposes of establishing a quorum, but had the effect of a negative vote on each Proposal. |
Interestholder Meeting
Emerging Markets Local Income Portfolio (the “Portfolio”) held a Joint Special Meeting of Interestholders on February 19, 2021 in order to approve a new investment advisory agreement with Boston Management and Research to serve as the Portfolio’s investment adviser (the “Proposal”). The interestholder meeting results are as follows:
For | Against | Abstain(1) | ||||||||
92.875% | 1.462 | % | 5.665 | % |
Results may not total 100% due to rounding. |
(1) | Abstentions were treated as interests that were present at the meeting for purposes of establishing a quorum, but had the effect of a negative vote on the Proposal. |
60 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval
Overview of the Contract Review Process
Even though the following description of the Board’s (as defined below) consideration of investment advisory and, as applicable, sub-advisory agreements covers multiple funds, for purposes of this shareholder report, the description is only relevant as to Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio.
Fund | Investment Adviser | Investment Sub-Adviser | ||
Eaton Vance Emerging Markets Local Income Fund | Eaton Vance Management | None | ||
Emerging Markets Local Income Portfolio | Boston Management and Research | None |
At a meeting held on November 24, 2020 (the “November Meeting”), the Board of each Eaton Vance open-end Fund and portfolios in which each such Fund invests, as applicable (each, a “Fund” and, collectively, the “Funds”), including a majority of the Board members (the “Independent Trustees”) who are not “interested persons” (as defined in the Investment Company Act of 1940 (the “1940 Act”)) of the Funds, Eaton Vance Management (“EVM”) or Boston Management and Research (“BMR” and, together with EVM, the “Advisers”), voted to approve a new investment advisory agreement between each Fund and either EVM or BMR (the “New Investment Advisory Agreements”) and, for certain Funds, a new investment sub-advisory agreement between an Adviser and the applicable Sub-Adviser (the “New Investment Sub-Advisory Agreements”1 and, together with the New Investment Advisory Agreements, the “New Agreements”), each of which is intended to go into effect upon the completion of the Transaction (as defined below), as more fully described below. In voting its approval of the New Agreements at the November Meeting, the Board relied on an order issued by the Securities and Exchange Commission in response to the impacts of the COVID-19 pandemic that provided temporary relief from the in-person meeting requirements under Section 15 of the 1940 Act.
In voting its approval of the New Agreements, the Board of each Fund relied upon the recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to and during meetings leading up to the November Meeting, the Contract Review Committee reviewed and discussed information furnished by the Advisers, the Sub-Advisers, and Morgan Stanley, as requested by the Independent Trustees, that the Contract Review Committee considered reasonably necessary to evaluate the terms of the New Agreements and to form its recommendation. Such information included, among other things, the terms and anticipated impacts of Morgan Stanley’s pending acquisition of Eaton Vance Corp. (the “Transaction”) on the Funds and their shareholders. In addition to considering information furnished specifically to evaluate the impact of the Transaction on the Funds and their respective shareholders, the Board and its Contract Review Committee also considered information furnished for prior meetings of the Board and its committees, including information provided in connection with the annual contract review process for the Funds, which most recently culminated in April 2020 (the “2020 Annual Approval Process”).
The Board of each Fund, including the Independent Trustees, concluded that the applicable New Investment Advisory Agreement and, as applicable, New Investment Sub-Advisory Agreement, including the fees payable thereunder, was fair and reasonable, and it voted to approve the New Investment Advisory Agreement and, as applicable, New Investment Sub-Advisory Agreement and to recommend that shareholders do so as well.
Shortly after the announcement of the Transaction, the Board, including all of the Independent Trustees, met with senior representatives from the Advisers and Morgan Stanley at its meeting held on October 13, 2020 to discuss certain aspects of the Transaction and the expected impacts of the Transaction on the Funds and their shareholders. As part of the Board’s evaluation process, counsel to the Independent Trustees, on behalf of the Contract Review Committee, requested additional information to assist the Independent Trustees in their evaluation of the New Agreements and the implications of the Transaction, as well as other contractual arrangements that may be affected by the Transaction. The Contract Review Committee considered information furnished by the Advisers and Morgan Stanley, their respective affiliates, and, as applicable, the Sub-Advisers during meetings on November 5, 2020, November 10, 2020, November 13, 2020, November 17, 2020 and November 24, 2020.
During its meetings on November 10, 2020 and November 17, 2020, the Contract Review Committee further discussed the approval of the New Agreements with senior representatives of the Advisers, the Affiliated Sub-Advisers, and Morgan Stanley. The representatives from the Advisers, the Affiliated Sub-Advisers, and Morgan Stanley each made presentations to, and responded to questions from, the Independent Trustees. The Contract Review Committee considered the Advisers’, the Affiliated Sub-Advisers’ and Morgan Stanley’s responses related to the Transaction and specifically to the Funds, as well as information received in connection with the 2020 Annual Approval Process, with respect to its evaluation of the New Agreements. Among other information, the Board considered:
1 | With respect to certain of the Funds, the applicable Adviser is currently a party to a sub-advisory agreement (collectively, the “Current Sub-Advisory Agreements”) with Atlanta Capital Management Company, LLC (“Atlanta Capital”), BMO Global Asset Management (Asia) Limited, Eaton Vance Advisers International Ltd. (“EVAIL”), Goldman Sachs Asset Management, L.P., Hexavest Inc. (“Hexavest”), Parametric Portfolio Associates LLC (“Parametric”) or Richard Bernstein Advisors LLC (collectively, the “Sub-Advisers” and, with respect to Atlanta Capital, EVAIL, Hexavest and Parametric, each an affiliate of the Advisers, the “Affiliated Sub-Advisers”). Accordingly, references to the “Sub-Advisers,” the “Affiliated Sub-Advisers” or the “New Sub-Advisory Agreements” are not applicable to all Funds. |
61 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval — continued
Information about the Transaction and its Terms
• | Information about the material terms and conditions, and expected impacts, of the Transaction that relate to the Funds, including the expected impacts on the businesses conducted by the Advisers, the Affiliated Sub-Advisers and Eaton Vance Distributors, Inc., as the distributor of Fund shares; |
• | Information about the advantages of the Transaction as they relate to the Funds and their shareholders; |
• | A commitment that the Funds would not bear any expenses, directly or indirectly, in connection with the Transaction; |
• | A commitment that, for a period of three years after the Closing, at least 75% of each Fund’s Board members must not be “interested persons” (as defined in the 1940 Act) of the investment adviser (or predecessor investment adviser, if applicable) pursuant to Section 15(f)(1)(A) of the 1940 Act; |
• | A commitment that Morgan Stanley would use its reasonable best efforts to ensure that it did not impose any “unfair burden” (as that term is used in section 15(f)(1)(B) of the 1940 Act) on the Funds as a result of the Transaction; |
• | Information with respect to personnel and/or other resources of the Advisers and their affiliates, including the Affiliated Sub-Advisers, as a result of the Transaction, as well as any expected changes to compensation, including any retention-based compensation intended to incentivize key personnel at the Advisers and their affiliates, including the Affiliated Sub-Advisers; |
• | Information regarding any changes that are expected with respect to the Funds’ slate of officers as a result of the Transaction; |
Information about Morgan Stanley
• | Information about Morgan Stanley’s overall business, including information about the advisory, brokerage and related businesses that Morgan Stanley operates; |
• | Information about Morgan Stanley’s financial condition, including its access to capital and other resources required to support the investment advisory businesses related to the Funds; |
• | Information on how the Funds are expected to fit within Morgan Stanley’s overall business strategy, and any changes that Morgan Stanley contemplates implementing to the Funds in the short- or long-term following the closing of the Transaction (the “Closing”); |
• | Information regarding risk management functions at Morgan Stanley and its affiliates, including how existing risk management protocols and procedures may impact the Funds and/or the businesses of the Advisers and their affiliates, including the Affiliated Sub-Advisers, as they relate to the Funds; |
• | Information on the anticipated benefits of the Transaction to the Funds with respect to potential additional distribution capabilities and the ability to access new markets and customer segments through Morgan Stanley’s distribution network, including, in particular, its institutional client base; |
• | Information regarding the financial condition and reputation of Morgan Stanley, its worldwide presence, experience as a fund sponsor and manager, commitment to maintain a high level of cooperation with, and support to, the Funds, strong client service capabilities, and relationships in the asset management industry; |
Information about the New Agreements for Funds
• | A representation that, after the Closing, all of the Funds will continue to be advised by their current Adviser and Sub-Adviser, as applicable; |
• | Information regarding the terms of the New Agreements, including certain changes as compared to the current investment advisory agreement between each Fund and its Adviser (collectively, the “Current Advisory Agreements”) and, as applicable, the current investment sub-advisory agreement between a Fund and a Sub-Adviser (together with the Current Advisory Agreements, the “Current Agreements”); |
• | Information confirming that the fee rates payable under the New Agreements are not changed as compared to the Current Agreements; |
• | A representation that the New Agreements will not cause any diminution in the nature, extent and quality of services provided by the Advisers and the Sub-Advisers to the Funds and their respective shareholders, including with respect to compliance and other non-advisory services; |
Information about Fund Performance, Fees and Expenses
• | A report from an independent data provider comparing the investment performance of each Fund (including, as relevant, total return data, income data, Sharpe ratios and information ratios) to the investment performance of comparable funds and, as applicable, benchmark indices, over various time periods as of the 2020 Annual Approval Process, as well as performance information as of a more recent date; |
• | A report from an independent data provider comparing each Fund’s total expense ratio (and its components) to those of comparable funds as of the 2020 Annual Approval Process, as well as fee and expense information as of a more recent date; |
• | In certain instances, data regarding investment performance relative to customized groups of peer funds and blended indices identified by the Advisers in consultation with the Portfolio Management Committee of the Board as of the 2020 Annual Approval Process, as well as corresponding performance information as of a more recent date; |
• | Comparative information concerning the fees charged and services provided by the Adviser and the Sub-Adviser to each Fund in managing other accounts (which may include other mutual funds, collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such Fund(s), if any; |
• | Profitability analyses of the Advisers and the Affiliated Sub-Advisers, as applicable, with respect to each of the Funds as of the 2020 Annual Approval Process, as well as information regarding the impact of the Transaction on profitability; |
62 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval — continued
Information about Portfolio Management and Trading
• | Descriptions of the investment management services currently provided and expected to be provided to each Fund after the Transaction, as well as each of the Funds’ investment strategies and policies; |
• | The procedures and processes used to determine the fair value of Fund assets, when necessary, and actions taken to monitor and test the effectiveness of such procedures and processes; |
• | Information about any changes to the policies and practices of the Advisers and, as applicable, each Fund’s Sub-Adviser with respect to trading, including their processes for seeking best execution of portfolio transactions; |
• | Information regarding the impact on trading and access to capital markets associated with the Funds’ affiliations with Morgan Stanley and its affiliates, including potential restrictions with respect to the Funds’ ability to execute portfolio transactions with Morgan Stanley and its affiliates; |
Information about the Advisers and the Sub-Advisers
• | Information about the financial results and condition of the Advisers and the Affiliated Sub-Advisers since the culmination of the 2020 Annual Approval Process and any material changes in financial condition that are reasonably expected to occur before and after the Closing; |
• | Information regarding contemplated changes to the individual investment professionals whose responsibilities include portfolio management and investment research for the Funds, and, for portfolio managers and certain other investment professionals, information relating to their responsibilities with respect to managing other mutual funds and investment accounts, as applicable, post-Closing; |
• | The Code of Ethics of the Advisers and their affiliates, including the Affiliated Sub-Advisers, together with information relating to compliance with, and the administration of, such codes; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | Information concerning the resources devoted to compliance efforts undertaken by the Advisers and their affiliates, including the Affiliated Sub-Advisers, including descriptions of their various compliance programs and their record of compliance; |
• | Information concerning the business continuity and disaster recovery plans of the Advisers and their affiliates, including the Affiliated Sub-Advisers; |
• | A description of the Advisers’ oversight of the Sub-Advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by the Advisers and their affiliates; |
• | Information concerning oversight of the relationship with the custodian, subcustodians and fund accountants by EVM and/or administrator to each of the Funds; |
• | Confirmation that the Advisers intend to continue to manage the Funds in a manner materially consistent with each Fund’s current investment objective(s) and principal investment strategies; |
• | Information regarding Morgan Stanley’s commitment to maintaining competitive compensation arrangements to attract and retain highly qualified personnel; |
• | Confirmation that the Advisers’ current senior management teams have indicated their strong support of the Transaction; and |
• | Information regarding the fact that Morgan Stanley and Eaton Vance Corp. will each derive benefits from the Transaction and that, as a result, they have a financial interest in the matters that were being considered. |
As indicated above, the Board and its Contract Review Committee also considered information received at its regularly scheduled meetings throughout the year, which included information from portfolio managers and other investment professionals of the Advisers and the Sub-Advisers regarding investment and performance matters, and considered various investment and trading strategies used in pursuing the Funds’ investment objectives. The Board also received information regarding risk management techniques employed in connection with the management of the Funds. The Board and its committees evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the Funds, and received and participated in reports and presentations provided by the Advisers and their affiliates, including the Affiliated Sub-Advisers, with respect to such matters.
The Contract Review Committee was advised throughout the evaluation process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee, with the advice of such counsel, exercised their own business judgment in determining the material factors to be considered in evaluating the New Agreements and the weight to be given to each such factor. The conclusions reached with respect to the New Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Independent Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the New Agreements.
63 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval — continued
Nature, Extent and Quality of Services
In considering whether to approve the New Agreements, the Board evaluated the nature, extent and quality of services currently provided to each Fund by the Advisers and, as applicable, the Sub-Advisers under the Current Agreements. In evaluating the nature, extent and quality of services to be provided by the Advisers and the Sub-Advisers under the New Agreements, the Board considered, among other information, the expected impact, if any, of the Transaction on the operations, facilities, organization and personnel of the Advisers and the Sub-Advisers, and that Morgan Stanley and the Advisers have advised the Board that, following the Transaction, there is not expected to be any diminution in the nature, extent and quality of services provided by the Advisers and the Sub-Advisers, as applicable, to the Funds and their shareholders, including compliance and other non-advisory services, and that there are not expected to be any changes in portfolio management personnel as a result of the Transaction.
The Board also considered the financial resources of Morgan Stanley and the Advisers and the importance of having a Fund manager with, or with access to, significant organizational and financial resources. The Board considered the benefits to the Funds of being part of a larger combined organization with greater financial resources following the Transaction, particularly during periods of market disruptions and volatility. In this regard, the Board considered information provided by Morgan Stanley regarding its business and operating structure, scale of operation, leadership and reputation, distribution capabilities, and financial condition, as well as information on how the Funds are expected to fit within Morgan Stanley’s overall business strategy and any changes that Morgan Stanley contemplates in the short- or long-term following the Closing. The Board also noted Morgan Stanley’s and the Advisers’ commitment to keep the Board apprised of developments with respect to its long-term integration plans for the Advisers, the Affiliated Sub-Advisers, and existing Morgan Stanley affiliates and their respective personnel.
The Board considered the Advisers’ and the Sub-Advisers’ management capabilities and investment processes in light of the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to each Fund. In particular, the Board considered the abilities and experience of the Advisers’ and, as applicable, the Sub-Advisers’ investment professionals in implementing each Fund’s investment strategies. The Board also took into account the resources dedicated to portfolio management and other services, the compensation methods of the Advisers and other factors, including the reputation and resources of the Advisers to recruit and retain highly qualified research, advisory and supervisory investment professionals. With respect to the recruitment and retention of key personnel, the Board noted information from Morgan Stanley and the Advisers regarding the benefits of joining Morgan Stanley. In addition, the Board considered the time and attention devoted to the Funds by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Funds, including the provision of administrative services. With respect to the foregoing, the Board also considered information from the Advisers and Morgan Stanley regarding the anticipated impact of the Transaction on such matters. The Board also considered the business-related and other risks to which the Advisers or their affiliates may be subject in managing the Funds and in connection with the Transaction.
The Board considered the compliance programs of the Advisers and relevant affiliates thereof, including the Affiliated Sub-Advisers. The Board considered compliance and reporting matters regarding, among other things, personal trading by investment professionals, disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of the Advisers and their affiliates to requests in recent years from regulatory authorities, such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority. The Board also considered certain information relating to the compliance record of Morgan Stanley and its affiliates, including information requests in recent years from regulatory authorities. With respect to the foregoing, including the compliance programs of the Advisers and the Sub-Advisers, the Board noted information regarding the impacts of the Transaction, as well as the Advisers’ and Morgan Stanley’s commitment to keep the Board apprised of developments with respect to its long-term integration plans for the Advisers, the Affiliated Sub-Advisers and existing Morgan Stanley affiliates and their respective personnel.
The Board considered other administrative services provided and to be provided or overseen by the Advisers and their affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges. The Board noted information that the Transaction was not expected to have any material impact on such matters in the near-term.
In evaluating the nature, extent and quality of the services to be provided under the New Agreements, the Board also considered investment performance information provided for each Fund in connection with the 2020 Annual Approval Process, as well as information provided as of a more recent date. In this regard, the Board compared each Fund’s investment performance to that of comparable funds identified by an independent data provider (the peer group), as well as appropriate benchmark indices and, for certain Funds, a custom peer group of similarly managed funds. The Board also considered, where applicable, Fund-specific performance explanations based on criteria established by the Board in connection with the 2020 Annual Approval Process and, where applicable, performance explanations as of a more recent date. In addition to the foregoing information, it was also noted that the Board has received and discussed with management information throughout the year at periodic intervals comparing each Fund’s performance against applicable benchmark indices and peer groups. In addition, the Board considered each Fund’s performance in light of overall financial market conditions. Where a Fund’s relative underperformance to its peers was significant during one or more specified periods, the Board noted the explanation from the applicable Adviser concerning the Fund’s relative performance versus its peer group.
64 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval — continued
After consideration of the foregoing factors, among others, and based on their review of the materials provided and the assurances received from, and recommendations of, the Advisers and Morgan Stanley, the Board determined that the Transaction was not expected to adversely affect the nature, extent and quality of services provided to the Funds by the Advisers and their affiliates, including the Affiliated Sub-Advisers, and that the Transaction was not expected to have an adverse effect on the ability of the Advisers and their affiliates, including the Affiliated Sub-Advisers, to provide those services. The Board concluded that the nature, extent and quality of services expected to be provided by the Advisers and the Sub-Advisers, taken as a whole, are appropriate and expected to be consistent with the terms of the New Agreements.
Management Fees and Expenses
The Board considered contractual fee rates payable by each Fund for advisory and administrative services (referred to collectively as “management fees”) in connection with the 2020 Annual Approval Process, as well as information provided as of a more recent date. As part of its review, the Board considered each Fund’s management fees and total expense ratio over various periods, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also considered factors, and, where applicable, certain Fund-specific factors, that had an impact on a Fund’s total expense ratio relative to comparable funds, as identified by the Advisers in response to inquiries from the Contract Review Committee. The Board considered that the New Agreements do not change a Fund’s management fee rate or the computation method for calculating such fees, including any separately executed permanent contractual management fee reduction currently in place for the Fund.
The Board also received and considered, where applicable, information about the services offered and the fee rates charged by the Advisers and the Sub-Advisers to other types of accounts with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as a Fund. In this regard, the Board received information about the differences in the nature and scope of services the Advisers and the Sub-Advisers, as applicable, provide to the Funds as compared to other types of accounts and the material differences in compliance, reporting and other legal burdens and risks to the Advisers and such Sub-Advisers as between each Fund and other types of accounts.
After considering the foregoing information, and in light of the nature, extent and quality of the services expected to be provided by the Advisers and the Sub-Advisers, the Board concluded that the management fees charged for advisory and related services are reasonable with respect to its approval of the New Agreements.
Profitability and “Fall-Out” Benefits
During the 2020 Annual Approval Process, the Board considered the level of profits realized by the Advisers and relevant affiliates thereof, including the Affiliated Sub-Advisers, in providing investment advisory and administrative services to the Funds and to all Eaton Vance funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by the Advisers and their affiliates to third parties in respect of distribution or other services. In light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Advisers and their affiliates, including the Sub-Advisers, were not deemed to be excessive by the Board.
The Board noted that Morgan Stanley and the Advisers are expected to realize, over time, cost savings from the Transaction based on eliminating duplicate corporate overhead expenses. The Board considered, however, information from the Advisers and Morgan Stanley that such cost savings are not expected to be realized immediately upon the Closing and that, accordingly, there are currently no specific expected changes in the levels of profitability associated with the advisory and other services provided to the Funds that are contemplated as a result of the Transaction. The Board noted that it will continue to receive information regarding profitability during its annual contract review processes, including the extent to which cost savings and/or other efficiencies result in changes to profitability levels.
The Board also considered direct or indirect fall-out benefits received by the Advisers and their affiliates, including the Affiliated Sub-Advisers, in connection with their respective relationships with the Funds, including the benefits of research services that may be available to the Advisers and their affiliates as a result of securities transactions effected for the Funds and other investment advisory clients. In evaluating the fall-out benefits to be received by the Advisers and their affiliates under the New Agreements, the Board considered whether the Transaction would have an impact on the fall-out benefits currently realized by the Advisers and their affiliates in connection with services provided pursuant to the Current Advisory Agreements.
The Board of each Fund considered that Morgan Stanley may derive reputational and other benefits from its ability to use the names of the Advisers and their affiliates in connection with operating and marketing the Funds. The Board considered that the Transaction, if completed, would significantly increase Morgan Stanley’s assets under management and expand Morgan Stanley’s investment capabilities.
Economies of Scale
The Board also considered the extent to which the Advisers and their affiliates, on the one hand, and the Funds, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific Fund or group of funds. As part of the 2020 Annual Approval Process, the Board reviewed data summarizing the increases and decreases in the assets of the Funds and of all Eaton Vance funds as a group over various time periods, and evaluated the extent to which the total expense ratio of each Fund and the profitability of the Advisers and their affiliates may have been affected by such increases or decreases.
65 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Board of Trustees’ Contract Approval — continued
The Board noted that Morgan Stanley and the Advisers are expected to benefit from possible growth of the Funds resulting from enhanced distribution capabilities, including with respect to the Funds’ potential access to Morgan Stanley’s institutional client base. Based upon the foregoing, the Board concluded that the Funds currently share in the benefits from economies of scale, if any, when they are realized by the Advisers, and that the Transaction is not expected to impede a Fund from continuing to benefit from any future economies of scale realized by its Adviser.
Conclusion
Based on its consideration of the foregoing, and such other information it deemed relevant, including the factors and conclusions described above, the Contract Review Committee recommended to the Board approval of the New Agreements. Based on the recommendation of the Contract Review Committee, the Board, including a majority of the Independent Trustees, unanimously voted to approve the New Agreements for the Funds and recommended that shareholders approve the New Agreements.
66 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2021
Officers of Eaton Vance Emerging Markets Local Income Fund
Eric A. Stein
President
Deidre E. Walsh
Vice President
Maureen A. Gemma
Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Officers of Emerging Markets Local Income Portfolio
Eric A. Stein
President
Deidre E. Walsh
Vice President
Maureen A. Gemma
Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio
William H. Park
Chairperson
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
George J. Gorman
Valerie A. Mosley
Helen Frame Peters
Keith Quinton
Marcus L. Smith
Susan J. Sutherland
Scott E. Wennerholm
* | Interested Trustee |
67 |
Eaton Vance Funds
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? | |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income ∎ investment experience and risk tolerance ∎ checking account number and wire transfer instructions | |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. | |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For our investment management affiliates to market to you | Yes | Yes | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com
Please note:
If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. | |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com | |
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Eaton Vance Funds
Privacy Notice — continued | April 2021 |
Page 2 |
Who we are | ||
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) | |
What we do | ||
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. | |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you
∎ open an account or make deposits or withdrawals from your account ∎ buy securities from us or make a wire transfer ∎ give us your contact information
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
∎ sharing for affiliates’ everyday business purposes — information about your creditworthiness ∎ affiliates from using your information to market to you ∎ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
Definitions | ||
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker-dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Eaton Vance does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Eaton Vance doesn’t jointly market. | |
Other important information | ||
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.
California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
69 |
Eaton Vance Funds
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
70 |
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Investment Adviser of Emerging Markets Local Income Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance Emerging Markets Local Income Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
7756 4.30.21
Item 2. | Code of Ethics |
Not required in this filing.
Item 3. | Audit Committee Financial Expert |
Not required in this filing.
Item 4. | Principal Accountant Fees and Services |
Not required in this filing.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments |
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
No material changes.
Item 11. | Controls and Procedures |
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
Treasurer’s Section 302 certification. | ||
President’s Section 302 certification. | ||
Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Emerging Markets Local Income Portfolio
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 24, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | June 24, 2021 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 24, 2021 |