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)
Deidre E. Walsh
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, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited)
Foreign Corporate Bonds — 2.4% |
| |||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Brazil — 0.7% | ||||||||||||
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1) | BRL | 53,195 | $ | 8,638,035 | ||||||||
$ | 8,638,035 | |||||||||||
Colombia — 0.4% | ||||||||||||
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ | 4,491,116 | ||||||||
$ | 4,491,116 | |||||||||||
Mexico — 0.0%(3) | ||||||||||||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ | 484,443 | ||||||||
$ | 484,443 | |||||||||||
Peru — 1.0% | ||||||||||||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ | 6,220,339 | ||||||||
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 5,690,384 | |||||||||
$ | 11,910,723 | |||||||||||
Uzbekistan — 0.3% | ||||||||||||
Nederlandse Financierings-Maatschappij voor | ||||||||||||
Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(1) | UZS | 34,000,000 | $ | 3,012,399 | ||||||||
$ | 3,012,399 | |||||||||||
Total Foreign Corporate Bonds |
| $ | 28,536,716 | |||||||||
Loan Participation Notes — 3.1% |
| |||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Uzbekistan — 3.1% | ||||||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5) | UZS | 159,708,000 | $ | 13,968,057 | ||||||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(1)(4)(5) | UZS | 253,458,000 | 22,323,792 | |||||||||
Total Loan Participation Notes |
| $ | 36,291,849 |
Sovereign Government Bonds — 68.7% |
| |||||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Armenia — 0.3% | ||||||||||||
Republic of Armenia, 7.15%, 3/26/25(1) | USD | 3,134 | $ | 3,091,848 | ||||||||
$ | 3,091,848 | |||||||||||
Azerbaijan — 0.3% | ||||||||||||
Republic of Azerbaijan, 4.75%, 3/18/24(1) | USD | 3,142 | $ | 3,151,344 | ||||||||
$ | 3,151,344 | |||||||||||
Bosnia and Herzegovina — 0.1% | ||||||||||||
Republic of Srpska: | ||||||||||||
1.50%, 6/30/23 | BAM | 65 | $ | 34,962 | ||||||||
1.50%, 10/30/23 | BAM | 177 | 95,066 | |||||||||
1.50%, 12/15/23 | BAM | 10 | 5,158 | |||||||||
1.50%, 5/31/25 | BAM | 2,225 | 1,187,347 | |||||||||
1.50%, 6/9/25 | BAM | 213 | 114,250 | |||||||||
1.50%, 12/24/25 | BAM | 232 | 124,225 | |||||||||
1.50%, 9/25/26 | BAM | 181 | 96,635 | |||||||||
1.50%, 9/26/27 | BAM | 66 | 34,975 | |||||||||
$ | 1,692,618 | |||||||||||
Brazil — 0.4% | ||||||||||||
Nota do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | $ | 4,224,150 | ||||||||
$ | 4,224,150 | |||||||||||
China — 8.2% | ||||||||||||
China Development Bank, 3.30%, 3/3/26 | CNY | 255,400 | $ | 39,527,483 | ||||||||
China Government Bond: | ||||||||||||
2.68%, 5/21/30 | CNY | 289,240 | 43,225,506 | |||||||||
3.53%, 10/18/51 | CNY | 93,820 | 14,734,099 | |||||||||
$ | 97,487,088 | |||||||||||
Colombia — 0.7% | ||||||||||||
Republic of Colombia: | ||||||||||||
2.625%, 3/15/23 | USD | 3,500 | $ | 3,460,275 | ||||||||
4.00%, 2/26/24 | USD | 3,429 | 3,372,816 | |||||||||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | 909,199 | |||||||||
$ | 7,742,290 |
15 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Costa Rica — 0.6% | ||||||||||||
Costa Rica Government International Bond, 9.66%, 9/30/26(1) | CRC | 4,136,100 | $ | 7,151,086 | ||||||||
$ | 7,151,086 | |||||||||||
Czech Republic — 0.4% | ||||||||||||
Czech Republic Government Bond, 0.95%, 5/15/30(1) | CZK | 140,000 | $ | 4,668,027 | ||||||||
$ | 4,668,027 | |||||||||||
Dominican Republic — 1.1% | ||||||||||||
Dominican Republic: | ||||||||||||
8.00%, 1/15/27(1) | DOP | 111,360 | $ | 1,836,009 | ||||||||
8.00%, 2/12/27(1) | DOP | 550,360 | 9,063,659 | |||||||||
8.90%, 2/15/23(1) | DOP | 145,250 | 2,650,384 | |||||||||
$ | 13,550,052 | |||||||||||
Egypt — 1.5% | ||||||||||||
Egypt Government Bond: | ||||||||||||
14.06%, 1/12/26 | EGP | 142,928 | $ | 7,593,238 | ||||||||
14.483%, 4/6/26 | EGP | 134,037 | 7,201,576 | |||||||||
14.575%, 10/12/28 | EGP | 69,296 | 3,634,719 | |||||||||
$ | 18,429,533 | |||||||||||
Honduras — 0.2% | ||||||||||||
Honduras Government International Bond, 7.50%, 3/15/24(1) | USD | 2,218 | $ | 2,173,481 | ||||||||
$ | 2,173,481 | |||||||||||
Indonesia — 8.0% | ||||||||||||
Indonesia Government Bond: | ||||||||||||
6.50%, 2/15/31 | IDR | 357,135,000 | $ | 23,785,186 | ||||||||
7.375%, 5/15/48 | IDR | 31,857,000 | 2,211,388 | |||||||||
7.50%, 8/15/32 | IDR | 70,753,000 | 4,997,359 | |||||||||
7.50%, 5/15/38 | IDR | 517,200,000 | 36,300,249 | |||||||||
7.50%, 4/15/40 | IDR | 92,427,000 | 6,519,046 | |||||||||
8.25%, 6/15/32 | IDR | 11,609,000 | 867,449 | |||||||||
8.25%, 5/15/36 | IDR | 242,576,000 | 17,978,280 | |||||||||
8.375%, 4/15/39 | IDR | 22,764,000 | 1,731,069 | |||||||||
9.50%, 5/15/41 | IDR | 5,702,000 | 479,408 | |||||||||
$ | 94,869,434 | |||||||||||
Iraq — 0.1% | ||||||||||||
Republic of Iraq, 6.752%, 3/9/23(1) | USD | 1,710 | $ | 1,714,275 | ||||||||
$ | 1,714,275 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Israel — 1.9% | ||||||||||||
Israel Government Bond, 0.75%, 7/31/22 | ILS | 74,100 | $ | 22,213,852 | ||||||||
$ | 22,213,852 | |||||||||||
Jordan — 0.1% | ||||||||||||
Jordan Government International Bond, 4.95%, 7/7/25(1) | USD | 1,620 | $ | 1,560,643 | ||||||||
$ | 1,560,643 | |||||||||||
Macedonia — 0.3% | ||||||||||||
North Macedonia Government International Bond, 5.625%, 7/26/23(1) | EUR | 3,277 | $ | 3,547,391 | ||||||||
$ | 3,547,391 | |||||||||||
Malaysia — 4.0% | ||||||||||||
Malaysia Government Bond: | ||||||||||||
2.632%, 4/15/31 | MYR | 21,100 | $ | 4,175,847 | ||||||||
3.733%, 6/15/28 | MYR | 81,500 | 18,104,135 | |||||||||
3.757%, 5/22/40 | MYR | 50,500 | 9,939,109 | |||||||||
3.828%, 7/5/34 | MYR | 28,100 | 5,865,303 | |||||||||
4.254%, 5/31/35 | MYR | 42,385 | 9,096,001 | |||||||||
$ | 47,180,395 | |||||||||||
Mexico — 3.8% | ||||||||||||
Mexican Bonos: | ||||||||||||
7.75%, 11/13/42 | MXN | 230,000 | $ | 9,762,081 | ||||||||
8.50%, 5/31/29 | MXN | 39,000 | 1,855,445 | |||||||||
8.50%, 11/18/38 | MXN | 410,469 | 19,015,990 | |||||||||
10.00%, 11/20/36 | MXN | 22,074 | 1,155,324 | |||||||||
Mexican Udibonos, 2.75%, 11/27/31(6) | MXN | 309,625 | 13,704,906 | |||||||||
$ | 45,493,746 | |||||||||||
Mongolia — 0.1% | ||||||||||||
Mongolia Government International Bond, 5.625%, 5/1/23(1) | USD | 1,623 | $ | 1,619,563 | ||||||||
$ | 1,619,563 | |||||||||||
Oman — 0.3% | ||||||||||||
Oman Government International Bond, 4.875%, 2/1/25(1) | USD | 3,173 | $ | 3,193,517 | ||||||||
$ | 3,193,517 |
16 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Pakistan — 0.3% | ||||||||||||
Third Pakistan International Sukuk Co., Ltd. (The), 5.625%, 12/5/22(1) | USD | 3,429 | $ | 3,326,130 | ||||||||
$ | 3,326,130 | |||||||||||
Paraguay — 0.2% | ||||||||||||
Republic of Paraguay, 4.625%, 1/25/23(1) | USD | 2,330 | $ | 2,345,317 | ||||||||
$ | 2,345,317 | |||||||||||
Peru — 1.2% | ||||||||||||
Peru Government Bond: | ||||||||||||
5.94%, 2/12/29 | PEN | 4,380 | $ | 1,031,384 | ||||||||
6.714%, 2/12/55 | PEN | 4,100 | 880,327 | |||||||||
6.85%, 2/12/42 | PEN | 19,284 | 4,348,295 | |||||||||
6.90%, 8/12/37 | PEN | 8,763 | 2,024,464 | |||||||||
6.95%, 8/12/31 | PEN | 26,763 | 6,549,560 | |||||||||
$ | 14,834,030 | |||||||||||
Romania — 2.9% | ||||||||||||
Romania Government International Bond: | ||||||||||||
2.75%, 2/26/26(1) | EUR | 2,755 | $ | 2,896,224 | ||||||||
3.624%, 5/26/30(1) | EUR | 2,755 | 2,659,447 | |||||||||
Romanian Government Bond: | ||||||||||||
3.25%, 6/24/26 | RON | 57,650 | 10,818,245 | |||||||||
4.15%, 1/26/28 | RON | 48,045 | 8,991,122 | |||||||||
4.85%, 4/22/26 | RON | 32,030 | 6,403,951 | |||||||||
5.80%, 7/26/27 | RON | 16,020 | 3,267,300 | |||||||||
$ | 35,036,289 | |||||||||||
Serbia — 3.8% | ||||||||||||
Serbia Treasury Bond: | ||||||||||||
4.50%, 1/11/26 | RSD | 1,114,580 | $ | 9,705,360 | ||||||||
4.50%, 8/20/32 | RSD | 3,298,130 | 26,335,068 | |||||||||
5.875%, 2/8/28 | RSD | 970,810 | 8,807,094 | |||||||||
$ | 44,847,522 | |||||||||||
Seychelles — 0.1% | ||||||||||||
Republic of Seychelles, 8.00%, 1/1/26(1) | USD | 786 | $ | 781,284 | ||||||||
$ | 781,284 | |||||||||||
South Africa — 12.6% | ||||||||||||
Republic of South Africa: | ||||||||||||
8.25%, 3/31/32 | ZAR | 95,739 | $ | 5,283,301 | ||||||||
8.50%, 1/31/37 | ZAR | 417,200 | 21,865,190 | |||||||||
8.75%, 1/31/44 | ZAR | 408,487 | 21,097,510 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
South Africa (continued) | ||||||||||||
Republic of South Africa: (continued) | ||||||||||||
8.75%, 2/28/48 | ZAR | 231,000 | $ | 11,891,179 | ||||||||
9.00%, 1/31/40 | ZAR | 334,480 | 17,929,653 | |||||||||
10.50%, 12/21/26 | ZAR | 1,043,230 | 71,508,388 | |||||||||
$ | 149,575,221 | |||||||||||
Thailand — 6.4% | ||||||||||||
Thailand Government Bond: | ||||||||||||
1.25%, 3/12/28(1)(6) | THB | 1,164,354 | $ | 34,904,847 | ||||||||
1.585%, 12/17/35 | THB | 528,144 | 12,582,230 | |||||||||
3.30%, 6/17/38 | THB | 594,751 | 16,810,030 | |||||||||
3.40%, 6/17/36 | THB | 205,000 | 6,033,705 | |||||||||
4.875%, 6/22/29 | THB | 183,489 | 6,138,590 | |||||||||
$ | 76,469,402 | |||||||||||
Turkey — 1.0% | ||||||||||||
Turkey Government Bond: | ||||||||||||
7.10%, 3/8/23 | TRY | 70,204 | $ | 4,271,837 | ||||||||
8.00%, 3/12/25 | TRY | 76,500 | 3,781,658 | |||||||||
10.70%, 8/17/22 | TRY | 9,380 | 624,308 | |||||||||
12.40%, 3/8/28 | TRY | 23,227 | 1,178,694 | |||||||||
16.20%, 6/14/23 | TRY | 36,761 | 2,374,273 | |||||||||
$ | 12,230,770 | |||||||||||
Ukraine — 5.0% | ||||||||||||
Ukraine Government Bond: | ||||||||||||
9.79%, 5/26/27(4) | UAH | 914,377 | $ | 14,415,854 | ||||||||
9.99%, 5/22/24(4) | UAH | 589,859 | 9,830,983 | |||||||||
10.00%, 8/23/23(4) | UAH | 38,483 | 780,061 | |||||||||
11.67%, 11/22/23(4) | UAH | 57,092 | 1,157,270 | |||||||||
12.52%, 5/13/26(4) | UAH | 166,150 | 2,619,482 | |||||||||
15.84%, 2/26/25(4) | UAH | 1,853,842 | 30,897,367 | |||||||||
$ | 59,701,017 | |||||||||||
Uzbekistan — 0.3% | ||||||||||||
Republic of Uzbekistan: | ||||||||||||
4.75%, 2/20/24(1) | USD | 3,100 | $ | 3,054,520 | ||||||||
14.50%, 11/25/23(1) | UZS | 5,020,000 | 444,081 | |||||||||
$ | 3,498,601 | |||||||||||
Vietnam — 0.3% | ||||||||||||
Vietnam Government International Bond, 4.80%, 11/19/24(1) | USD | 3,124 | $ | 3,206,005 | ||||||||
$ | 3,206,005 |
17 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Zambia — 2.2% | ||||||||||||
Zambia Government Bond: | ||||||||||||
11.00%, 1/25/26 | ZMW | 160,500 | $ | 7,033,937 | ||||||||
11.00%, 9/20/26 | ZMW | 24,080 | 995,628 | |||||||||
11.00%, 12/27/26 | ZMW | 73,540 | 2,972,792 | |||||||||
12.00%, 3/22/28 | ZMW | 44,140 | 1,684,144 | |||||||||
12.00%, 5/31/28 | ZMW | 14,200 | 535,039 | |||||||||
12.00%, 11/1/28 | ZMW | 21,800 | 795,337 | |||||||||
12.00%, 2/21/29 | ZMW | 47,550 | 1,697,346 | |||||||||
13.00%, 1/25/31 | ZMW | 28,470 | 989,386 | |||||||||
13.00%, 6/28/31 | ZMW | 33,980 | 1,174,347 | |||||||||
13.00%, 9/20/31 | ZMW | 57,150 | 1,959,217 | |||||||||
13.00%, 12/27/31 | ZMW | 153,480 | 5,225,730 | |||||||||
14.00%, 12/5/31 | ZMW | 4,800 | 173,694 | |||||||||
15.00%, 2/16/27 | ZMW | 25,690 | 1,195,740 | |||||||||
$ | 26,432,337 | |||||||||||
Total Sovereign Government Bonds |
| $ | 817,038,258 | |||||||||
Short-Term Investments — 20.7% |
| |||||||||||
Affiliated Fund — 8.0% | ||||||||||||
Security | Shares | Value | ||||||||||
Morgan Stanley Institutional Liquidity Funds - | ||||||||||||
Government Portfolio, Institutional Class, 0.30%(7) | 94,813,813 | $ | 94,813,813 | |||||||||
Total Affiliated Fund |
| $ | 94,813,813 | |||||||||
Sovereign Government Securities — 8.7% |
| |||||||||||
Security | Principal (000’s omitted) | Value | ||||||||||
Brazil — 0.6% | ||||||||||||
Brazil Letras do Tesouro Nacional, 0.00%, 7/1/22 | BRL | 32,793 | $ | 6,498,705 | ||||||||
$ | 6,498,705 | |||||||||||
Egypt — 3.2% | ||||||||||||
Egypt Treasury Bill: | ||||||||||||
0.00%, 9/6/22 | EGP | 144,825 | $ | 7,532,655 | ||||||||
0.00%, 9/20/22 | EGP | 79,225 | 4,099,819 | |||||||||
0.00%, 9/27/22 | EGP | 39,625 | 2,045,349 | |||||||||
0.00%, 10/4/22 | EGP | 373,800 | 19,239,850 |
Security | Principal Amount (000’s omitted) | Value | ||||||||||
Egypt (continued) | ||||||||||||
Egypt Treasury Bill: (continued) | ||||||||||||
0.00%, 12/27/22 | EGP | 113,475 | $ | 5,670,135 | ||||||||
$ | 38,587,808 | |||||||||||
Israel — 1.1% | ||||||||||||
Bank of Israel Treasury Bill: | ||||||||||||
0.00%, 7/6/22 | ILS | 14,822 | $ | 4,440,896 | ||||||||
0.00%, 8/3/22 | ILS | 29,639 | 8,891,668 | |||||||||
$ | 13,332,564 | |||||||||||
Uganda — 3.0% | ||||||||||||
Uganda Treasury Bill: | ||||||||||||
0.00%, 5/5/22 | UGX | 16,233,200 | $ | 4,576,347 | ||||||||
0.00%, 5/19/22 | UGX | 26,483,100 | 7,429,161 | |||||||||
0.00%, 6/3/22 | UGX | 14,151,700 | 3,968,657 | |||||||||
0.00%, 6/16/22 | UGX | 18,037,600 | 5,046,629 | |||||||||
0.00%, 7/7/22 | UGX | 15,156,200 | 4,224,860 | |||||||||
0.00%, 3/30/23 | UGX | 22,640,400 | 5,915,372 | |||||||||
0.00%, 4/13/23 | UGX | 16,824,100 | 4,386,878 | |||||||||
0.00%, 4/27/23 | UGX | 1,425,700 | 369,710 | |||||||||
$ | 35,917,614 | |||||||||||
Uruguay — 0.8% | ||||||||||||
Uruguay Monetary Regulation Bill: | ||||||||||||
0.00%, 8/12/22 | UYU | 90,000 | $ | 2,147,061 | ||||||||
0.00%, 8/19/22 | UYU | 124,690 | 2,969,913 | |||||||||
0.00%, 10/14/22 | UYU | 187,040 | 4,399,709 | |||||||||
$ | 9,516,683 | |||||||||||
Total Sovereign Government Securities |
| $ | 103,853,374 | |||||||||
U.S. Treasury Obligations — 4.0% |
| |||||||||||
Security | Principal Amount | Value | ||||||||||
U.S. Treasury Bill: | ||||||||||||
0.00%, 5/3/22(8) | $ | 10,000 | $ | 9,999,976 | ||||||||
0.00%, 5/10/22(8) | 21,700 | 21,699,482 |
18 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount | Value | ||||||||
U.S. Treasury Bill: (continued) | ||||||||||
0.00%, 5/24/22(8) | $ | 15,950 | $ | 15,947,246 | ||||||
Total U.S. Treasury Obligations |
| $ | 47,646,704 | |||||||
Total Short-Term Investments |
| $ | 246,313,891 | |||||||
Total Investments — 94.9% |
| $ | 1,128,180,714 | |||||||
Other Assets, Less Liabilities — 5.1% |
| $ | 60,674,620 | |||||||
Net Assets — 100.0% |
| $ | 1,188,855,334 |
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, 2022, the aggregate value of these securities is $153,201,704 or 12.9% 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, 2022, the aggregate value of these securities is $10,665,943 or 0.9% of the Portfolio’s net assets. |
(3) | Amount is less than 0.05%. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8). |
(5) | 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. |
(6) | 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. |
(7) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2022. |
(8) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
INR | 303,600,000 | USD | 3,962,583 | 5/2/22 | $ | 9,030 | ||||||||||||
INR | 226,800,000 | USD | 2,960,190 | 5/2/22 | 6,746 | |||||||||||||
INR | 530,400,000 | USD | 6,988,050 | 5/2/22 | (49,502 | ) | ||||||||||||
USD | 2,995,443 | INR | 226,800,000 | 5/2/22 | 28,508 | |||||||||||||
USD | 3,968,327 | INR | 303,600,000 | 5/2/22 | (3,286 | ) | ||||||||||||
USD | 6,922,773 | INR | 530,400,000 | 5/2/22 | (15,776 | ) | ||||||||||||
BRL | 79,293,169 | USD | 14,376,875 | 5/3/22 | 1,661,549 | |||||||||||||
BRL | 6,940,000 | USD | 1,249,775 | 5/3/22 | 153,961 | |||||||||||||
BRL | 6,200,000 | USD | 1,111,282 | 5/3/22 | 142,776 | |||||||||||||
BRL | 6,200,000 | USD | 1,111,906 | 5/3/22 | 142,152 | |||||||||||||
BRL | 3,900,000 | USD | 700,451 | 5/3/22 | 88,392 | |||||||||||||
BRL | 800,000 | USD | 162,631 | 5/3/22 | (817 | ) | ||||||||||||
BRL | 3,300,000 | USD | 670,854 | 5/3/22 | (3,372 | ) |
19 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
BRL | 6,500,000 | USD | 1,321,380 | 5/3/22 | $ | (6,642 | ) | |||||||||||
BRL | 6,540,000 | USD | 1,329,511 | 5/3/22 | (6,683 | ) | ||||||||||||
BRL | 9,400,000 | USD | 1,910,919 | 5/3/22 | (9,605 | ) | ||||||||||||
BRL | 24,600,000 | USD | 5,000,915 | 5/3/22 | (25,136 | ) | ||||||||||||
BRL | 24,793,169 | USD | 5,040,184 | 5/3/22 | (25,334 | ) | ||||||||||||
BRL | 35,500,000 | USD | 7,216,767 | 5/3/22 | (36,274 | ) | ||||||||||||
BRL | 8,900,000 | USD | 1,866,485 | 5/3/22 | (66,305 | ) | ||||||||||||
PHP | 110,974,000 | USD | 2,118,876 | 5/3/22 | 6,859 | |||||||||||||
PHP | 110,974,000 | USD | 2,149,201 | 5/3/22 | (23,466 | ) | ||||||||||||
USD | 16,119,446 | BRL | 79,293,169 | 5/3/22 | 81,022 | |||||||||||||
USD | 1,809,274 | BRL | 8,900,000 | 5/3/22 | 9,094 | |||||||||||||
USD | 676,536 | BRL | 3,300,000 | 5/3/22 | 9,053 | |||||||||||||
USD | 1,410,827 | BRL | 6,940,000 | 5/3/22 | 7,091 | |||||||||||||
USD | 1,260,393 | BRL | 6,200,000 | 5/3/22 | 6,335 | |||||||||||||
USD | 1,260,393 | BRL | 6,200,000 | 5/3/22 | 6,335 | |||||||||||||
USD | 792,828 | BRL | 3,900,000 | 5/3/22 | 3,985 | |||||||||||||
USD | 164,009 | BRL | 800,000 | 5/3/22 | 2,195 | |||||||||||||
USD | 1,312,463 | BRL | 6,540,000 | 5/3/22 | (10,365 | ) | ||||||||||||
USD | 1,883,767 | BRL | 9,400,000 | 5/3/22 | (17,546 | ) | ||||||||||||
USD | 1,294,924 | BRL | 6,500,000 | 5/3/22 | (19,814 | ) | ||||||||||||
USD | 4,975,555 | BRL | 24,793,169 | 5/3/22 | (39,296 | ) | ||||||||||||
USD | 7,114,228 | BRL | 35,500,000 | 5/3/22 | (66,265 | ) | ||||||||||||
USD | 4,900,789 | BRL | 24,600,000 | 5/3/22 | (74,990 | ) | ||||||||||||
USD | 2,122,239 | PHP | 110,974,000 | 5/3/22 | (3,496 | ) | ||||||||||||
USD | 2,118,876 | PHP | 110,974,000 | 5/3/22 | (6,859 | ) | ||||||||||||
RUB | 588,986,370 | USD | 7,518,494 | 5/6/22 | 724,519 | |||||||||||||
RUB | 571,675,593 | USD | 7,306,921 | 5/6/22 | 693,823 | |||||||||||||
RUB | 337,549,361 | USD | 4,328,957 | 5/6/22 | 395,132 | |||||||||||||
RUB | 321,048,829 | USD | 4,143,378 | 5/6/22 | 349,782 | |||||||||||||
USD | 8,651,155 | RUB | 715,883,089 | 5/6/22 | (1,367,809 | ) | ||||||||||||
USD | 9,962,773 | RUB | 1,103,377,064 | 5/6/22 | (5,479,267 | ) | ||||||||||||
RUB | 1,789,906,109 | USD | 23,112,676 | 5/11/22 | 1,758,590 | |||||||||||||
RUB | 745,019,643 | USD | 9,490,962 | 5/11/22 | 861,302 | |||||||||||||
RUB | 638,588,264 | USD | 8,140,229 | 5/11/22 | 733,140 | |||||||||||||
USD | 6,352,941 | RUB | 675,000,000 | 5/11/22 | (3,026,380 | ) | ||||||||||||
USD | 11,041,525 | RUB | 1,150,526,948 | 5/11/22 | (4,945,381 | ) | ||||||||||||
USD | 12,349,859 | RUB | 1,347,987,068 | 5/11/22 | (6,380,814 | ) | ||||||||||||
RUB | 1,521,942,000 | USD | 19,810,118 | 5/17/22 | 1,157,991 | |||||||||||||
USD | 13,649,704 | RUB | 1,521,942,000 | 5/17/22 | (7,318,405 | ) | ||||||||||||
MXN | 922,541,272 | USD | 44,681,613 | 5/23/22 | 351,365 | |||||||||||||
MXN | 196,172,521 | USD | 9,501,260 | 5/23/22 | 74,715 | |||||||||||||
RUB | 715,883,089 | USD | 8,573,450 | 5/23/22 | 1,206,309 | |||||||||||||
USD | 6,817,934 | RUB | 715,883,089 | 5/23/22 | (2,961,825 | ) | ||||||||||||
USD | 19,353,984 | ZAR | 296,164,336 | 5/25/22 | 643,225 |
20 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
USD | 7,929,970 | ZAR | 121,348,369 | 5/25/22 | $ | 263,550 | ||||||||||||
ZAR | 153,831,000 | USD | 10,052,671 | 5/25/22 | (334,098 | ) | ||||||||||||
PEN | 3,100,000 | USD | 821,845 | 5/27/22 | (16,466 | ) | ||||||||||||
PEN | 11,600,000 | USD | 3,080,600 | 5/27/22 | (66,922 | ) | ||||||||||||
USD | 2,253,446 | PEN | 8,500,000 | 5/27/22 | 45,148 | |||||||||||||
MXN | 1,426,743,577 | USD | 69,272,848 | 6/1/22 | 254,561 | |||||||||||||
USD | 7,482,490 | MXN | 152,234,991 | 6/1/22 | 63,844 | |||||||||||||
USD | 5,973,944 | MXN | 123,039,345 | 6/1/22 | (21,953 | ) | ||||||||||||
USD | 23,263,618 | MXN | 479,137,475 | 6/1/22 | (85,488 | ) | ||||||||||||
BRL | 129,740,000 | USD | 24,583,628 | 6/2/22 | 1,404,534 | |||||||||||||
BRL | 114,870,000 | USD | 22,348,249 | 6/2/22 | 661,310 | |||||||||||||
BRL | 4,100,000 | USD | 832,658 | 6/2/22 | (11,389 | ) | ||||||||||||
BRL | 75,500,000 | USD | 15,582,111 | 6/2/22 | (458,739 | ) | ||||||||||||
USD | 10,079,591 | BRL | 53,195,000 | 6/2/22 | (575,876 | ) | ||||||||||||
INR | 303,600,000 | USD | 3,952,574 | 6/7/22 | (1,947 | ) | ||||||||||||
USD | 3,976,570 | INR | 303,600,000 | 6/7/22 | 25,943 | |||||||||||||
PEN | 8,860,000 | USD | 2,354,317 | 6/9/22 | (56,111 | ) | ||||||||||||
PEN | 12,650,000 | USD | 3,361,412 | 6/9/22 | (80,113 | ) | ||||||||||||
PEN | 51,926,750 | USD | 13,798,196 | 6/9/22 | (328,855 | ) | ||||||||||||
USD | 17,545,032 | PEN | 66,027,218 | 6/9/22 | 418,154 | |||||||||||||
USD | 10,572,088 | ZAR | 163,132,598 | 6/9/22 | 282,486 | |||||||||||||
USD | 5,954,444 | ZAR | 91,880,049 | 6/9/22 | 159,102 | |||||||||||||
USD | 5,881,460 | ZAR | 90,753,862 | 6/9/22 | 157,152 | |||||||||||||
ZAR | 46,150,000 | USD | 2,990,830 | 6/9/22 | (79,915 | ) | ||||||||||||
COP | 18,483,495,727 | USD | 4,870,705 | 6/14/22 | (233,537 | ) | ||||||||||||
CLP | 1,985,897,000 | USD | 2,404,379 | 6/15/22 | (95,650 | ) | ||||||||||||
CLP | 1,888,113,000 | USD | 2,301,454 | 6/15/22 | (106,405 | ) | ||||||||||||
CLP | 13,399,400,000 | USD | 16,366,479 | 6/15/22 | (788,838 | ) | ||||||||||||
CLP | 13,755,498,480 | USD | 16,882,055 | 6/15/22 | (890,427 | ) | ||||||||||||
COP | 19,133,400,000 | USD | 4,946,754 | 6/15/22 | (147,243 | ) | ||||||||||||
COP | 13,388,000,000 | USD | 3,531,764 | 6/15/22 | (173,456 | ) | ||||||||||||
COP | 130,317,582,465 | USD | 33,404,058 | 6/15/22 | (714,591 | ) | ||||||||||||
EUR | 875,898 | USD | 957,580 | 6/15/22 | (31,732 | ) | ||||||||||||
EUR | 3,248,650 | USD | 3,591,509 | 6/15/22 | (157,598 | ) | ||||||||||||
EUR | 12,118,027 | USD | 13,248,094 | 6/15/22 | (439,012 | ) | ||||||||||||
EUR | 10,518,605 | USD | 11,628,727 | 6/15/22 | (510,278 | ) | ||||||||||||
EUR | 231,552,818 | USD | 255,990,648 | 6/15/22 | (11,233,073 | ) | ||||||||||||
KRW | 7,099,600,000 | USD | 5,798,953 | 6/15/22 | (178,651 | ) | ||||||||||||
KRW | 11,591,400,000 | USD | 9,394,878 | 6/15/22 | (218,704 | ) | ||||||||||||
MXN | 263,509,531 | USD | 13,087,918 | 6/15/22 | (280,841 | ) | ||||||||||||
PEN | 500,000 | USD | 134,019 | 6/15/22 | (4,413 | ) | ||||||||||||
PEN | 950,468 | USD | 253,919 | 6/15/22 | (7,547 | ) | ||||||||||||
PEN | 2,200,000 | USD | 586,964 | 6/15/22 | (16,700 | ) | ||||||||||||
PEN | 9,900,000 | USD | 2,613,378 | 6/15/22 | (47,191 | ) |
21 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
PEN | 7,350,000 | USD | 1,956,973 | 6/15/22 | $ | (51,773 | ) | |||||||||||
USD | 1,229,107 | CLP | 967,000,000 | 6/15/22 | 104,909 | |||||||||||||
USD | 4,441,275 | COP | 17,050,054,503 | 6/15/22 | 164,360 | |||||||||||||
USD | 4,686,447 | COP | 18,283,000,000 | 6/15/22 | 100,254 | |||||||||||||
USD | 643,878 | COP | 2,470,800,000 | 6/15/22 | 24,092 | |||||||||||||
USD | 53,407,508 | EUR | 48,309,026 | 6/15/22 | 2,343,564 | |||||||||||||
USD | 39,088,361 | EUR | 35,356,839 | 6/15/22 | 1,715,228 | |||||||||||||
USD | 16,583,083 | EUR | 15,000,000 | 6/15/22 | 727,679 | |||||||||||||
USD | 6,084,849 | EUR | 5,503,967 | 6/15/22 | 267,008 | |||||||||||||
USD | 5,697,508 | EUR | 5,153,602 | 6/15/22 | 250,011 | |||||||||||||
USD | 4,190,505 | EUR | 3,790,464 | 6/15/22 | 183,883 | |||||||||||||
USD | 1,269,537 | EUR | 1,148,342 | 6/15/22 | 55,708 | |||||||||||||
USD | 777,609 | EUR | 703,376 | 6/15/22 | 34,122 | |||||||||||||
USD | 8,081,217 | KRW | 9,982,000,000 | 6/15/22 | 179,103 | |||||||||||||
USD | 6,692,875 | KRW | 8,269,000,000 | 6/15/22 | 146,834 | |||||||||||||
USD | 4,699,800 | MXN | 94,624,830 | 6/15/22 | 100,849 | |||||||||||||
USD | 2,481,300 | MXN | 49,957,994 | 6/15/22 | 53,244 | |||||||||||||
USD | 9,792,443 | PEN | 36,800,000 | 6/15/22 | 253,482 | |||||||||||||
USD | 23,754,967 | ZAR | 351,181,552 | 6/15/22 | 1,618,564 | |||||||||||||
USD | 27,501,389 | ZAR | 418,901,155 | 6/15/22 | 1,096,343 | |||||||||||||
USD | 13,904,297 | ZAR | 205,554,182 | 6/15/22 | 947,380 | |||||||||||||
USD | 9,076,052 | ZAR | 133,436,110 | 6/15/22 | 665,030 | |||||||||||||
USD | 9,064,793 | ZAR | 134,009,372 | 6/15/22 | 617,637 | |||||||||||||
USD | 10,146,975 | ZAR | 154,558,729 | 6/15/22 | 404,509 | |||||||||||||
USD | 1,296,918 | ZAR | 19,067,288 | 6/15/22 | 95,029 | |||||||||||||
USD | 752,062 | ZAR | 11,056,814 | 6/15/22 | 55,106 | |||||||||||||
USD | 617,403 | ZAR | 9,404,277 | 6/15/22 | 24,613 | |||||||||||||
ZAR | 107,975,000 | USD | 6,867,110 | 6/15/22 | (61,006 | ) | ||||||||||||
ZAR | 38,500,000 | USD | 2,606,900 | 6/15/22 | (180,088 | ) | ||||||||||||
ZAR | 59,050,000 | USD | 4,016,460 | 6/15/22 | (294,298 | ) | ||||||||||||
ZAR | 241,874,652 | USD | 15,879,376 | 6/15/22 | (633,032 | ) | ||||||||||||
ZAR | 260,967,322 | USD | 17,652,607 | 6/15/22 | (1,202,774 | ) | ||||||||||||
ZAR | 346,775,000 | USD | 23,456,895 | 6/15/22 | (1,598,254 | ) | ||||||||||||
IDR | 14,000,000,000 | USD | 973,304 | 6/21/22 | (14,822 | ) | ||||||||||||
IDR | 21,323,611,776 | USD | 1,487,604 | 6/21/22 | (27,726 | ) | ||||||||||||
IDR | 21,324,000,000 | USD | 1,488,337 | 6/21/22 | (28,433 | ) | ||||||||||||
IDR | 24,344,310,000 | USD | 1,698,338 | 6/21/22 | (31,654 | ) | ||||||||||||
IDR | 24,345,000,000 | USD | 1,699,192 | 6/21/22 | (32,461 | ) | ||||||||||||
IDR | 40,940,500,000 | USD | 2,855,205 | 6/21/22 | (52,297 | ) | ||||||||||||
IDR | 46,740,500,000 | USD | 3,259,699 | 6/21/22 | (59,706 | ) | ||||||||||||
IDR | 1,403,922,867,509 | USD | 97,400,909 | 6/21/22 | (1,284,175 | ) | ||||||||||||
USD | 20,039,382 | IDR | 288,844,814,013 | 6/21/22 | 264,208 | |||||||||||||
USD | 16,997,531 | IDR | 245,000,000,000 | 6/21/22 | 224,103 | |||||||||||||
USD | 14,364,965 | IDR | 207,054,572,838 | 6/21/22 | 189,394 |
22 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
USD | 7,299,720 | IDR | 104,669,955,778 | 6/21/22 | $ | 133,704 | ||||||||||||
USD | 19,182,122 | ZAR | 291,769,671 | 6/22/22 | 804,632 | |||||||||||||
USD | 7,859,553 | ZAR | 119,547,729 | 6/22/22 | 329,684 | |||||||||||||
ZAR | 678,803,585 | USD | 44,627,303 | 6/22/22 | (1,871,980 | ) | ||||||||||||
USD | 6,773,878 | ZAR | 103,738,553 | 6/24/22 | 241,186 | |||||||||||||
USD | 958,014 | ZAR | 14,193,000 | 6/24/22 | 64,243 | |||||||||||||
BRL | 44,900,000 | USD | 8,830,065 | 7/5/22 | 80,433 | |||||||||||||
BRL | 10,100,000 | USD | 2,144,624 | 7/5/22 | (140,258 | ) | ||||||||||||
BRL | 74,580,000 | USD | 15,209,854 | 7/5/22 | (409,299 | ) | ||||||||||||
BRL | 75,800,000 | USD | 15,559,889 | 7/5/22 | (517,222 | ) | ||||||||||||
USD | 5,907,584 | BRL | 32,793,000 | 7/5/22 | (600,255 | ) | ||||||||||||
BRL | 31,100,000 | USD | 6,029,118 | 8/2/22 | 90,387 | |||||||||||||
BRL | 31,333,169 | USD | 6,119,406 | 8/2/22 | 45,980 | |||||||||||||
USD | 5,745,708 | IDR | 82,968,020,692 | 8/22/22 | 97,799 | |||||||||||||
USD | 5,740,540 | IDR | 82,968,020,692 | 8/22/22 | 92,631 | |||||||||||||
$ | (29,538,297 | ) |
Forward Foreign Currency Exchange Contracts (OTC) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
CZK | 352,299,465 | EUR | 14,363,741 | BNP Paribas | 5/2/22 | $ | — | $ | (50,804 | ) | ||||||||||||||
CZK | 379,700,535 | EUR | 15,492,922 | BNP Paribas | 5/2/22 | — | (67,418 | ) | ||||||||||||||||
EUR | 14,384,854 | CZK | 352,299,465 | Deutsche Bank AG | 5/2/22 | 73,079 | — | |||||||||||||||||
EUR | 15,508,109 | CZK | 379,700,535 | Societe Generale | 5/2/22 | 83,439 | — | |||||||||||||||||
EUR | 10,524,368 | PLN | 49,314,600 | Bank of America, N.A. | 5/5/22 | — | (22,108 | ) | ||||||||||||||||
EUR | 10,517,952 | PLN | 49,313,985 | Bank of America, N.A. | 5/5/22 | — | (28,739 | ) | ||||||||||||||||
EUR | 8,494,967 | PLN | 39,539,823 | Citibank, N.A. | 5/5/22 | 42,054 | — | |||||||||||||||||
EUR | 5,294,024 | PLN | 25,061,645 | Citibank, N.A. | 5/5/22 | — | (68,684 | ) | ||||||||||||||||
EUR | 8,364,676 | PLN | 39,539,824 | Citibank, N.A. | 5/5/22 | — | (95,407 | ) | ||||||||||||||||
EUR | 2,517,375 | PLN | 11,700,000 | HSBC Bank USA, N.A. | 5/5/22 | 16,325 | — | |||||||||||||||||
EUR | 4,950,168 | PLN | 23,214,324 | Standard Chartered Bank | 5/5/22 | — | (14,697 | ) | ||||||||||||||||
EUR | 3,948,785 | PLN | 18,627,211 | Standard Chartered Bank | 5/5/22 | — | (36,309 | ) | ||||||||||||||||
EUR | 12,537,275 | PLN | 59,309,735 | UBS AG | 5/5/22 | — | (153,386 | ) | ||||||||||||||||
PLN | 13,575,561 | EUR | 2,912,089 | BNP Paribas | 5/5/22 | — | (9,623 | ) | ||||||||||||||||
PLN | 4,768,237 | EUR | 1,045,721 | BNP Paribas | 5/5/22 | — | (27,527 | ) | ||||||||||||||||
PLN | 115,700,000 | EUR | 24,789,732 | BNP Paribas | 5/5/22 | — | (51,384 | ) | ||||||||||||||||
PLN | 10,500,195 | EUR | 2,267,340 | Citibank, N.A. | 5/5/22 | — | (23,212 | ) | ||||||||||||||||
PLN | 7,595,395 | EUR | 1,626,670 | Goldman Sachs International | 5/5/22 | — | (2,625 | ) | ||||||||||||||||
PLN | 9,614,527 | EUR | 2,061,823 | Goldman Sachs International | 5/5/22 | — | (6,197 | ) | ||||||||||||||||
PLN | 46,537,856 | EUR | 9,975,967 | Goldman Sachs International | 5/5/22 | — | (25,760 | ) | ||||||||||||||||
PLN | 50,632,370 | EUR | 10,865,225 | Goldman Sachs International | 5/5/22 | — | (40,210 | ) | ||||||||||||||||
PLN | 9,000,000 | EUR | 1,932,049 | HSBC Bank USA, N.A. | 5/5/22 | — | (7,922 | ) | ||||||||||||||||
PLN | 4,500,000 | EUR | 929,542 | Standard Chartered Bank | 5/5/22 | 34,529 | — |
23 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
PLN | 400,000 | EUR | 86,740 | Standard Chartered Bank | 5/5/22 | $ | — | $ | (1,271 | ) | ||||||||||||||
PLN | 300,000 | EUR | 65,430 | Standard Chartered Bank | 5/5/22 | — | (1,349 | ) | ||||||||||||||||
PLN | 500,000 | EUR | 108,978 | Standard Chartered Bank | 5/5/22 | — | (2,173 | ) | ||||||||||||||||
PLN | 2,400,000 | EUR | 522,739 | Standard Chartered Bank | 5/5/22 | — | (10,053 | ) | ||||||||||||||||
PLN | 1,900,000 | EUR | 407,268 | UBS AG | 5/5/22 | — | (1,030 | ) | ||||||||||||||||
PLN | 10,500,194 | EUR | 2,249,216 | UBS AG | 5/5/22 | — | (4,092 | ) | ||||||||||||||||
PLN | 12,998,628 | EUR | 2,784,300 | UBS AG | 5/5/22 | — | (4,961 | ) | ||||||||||||||||
PLN | 6,466,422 | EUR | 1,391,727 | UBS AG | 5/5/22 | — | (9,455 | ) | ||||||||||||||||
PLN | 7,731,762 | EUR | 1,695,830 | UBS AG | 5/5/22 | — | (44,825 | ) | ||||||||||||||||
EUR | 5,750,000 | USD | 6,241,263 | UBS AG | 5/6/22 | — | (174,597 | ) | ||||||||||||||||
MXN | 37,500,000 | USD | 1,868,982 | HSBC Bank USA, N.A. | 5/6/22 | — | (32,462 | ) | ||||||||||||||||
USD | 841,262 | MXN | 16,821,676 | BNP Paribas | 5/6/22 | 17,440 | — | |||||||||||||||||
USD | 815,273 | MXN | 16,302,000 | BNP Paribas | 5/6/22 | 16,901 | — | |||||||||||||||||
USD | 1,878,674 | MXN | 37,500,000 | Citibank, N.A. | 5/6/22 | 42,154 | — | |||||||||||||||||
USD | 757,625 | MXN | 15,150,000 | Goldman Sachs International | 5/6/22 | 15,671 | — | |||||||||||||||||
USD | 734,621 | MXN | 14,690,000 | Goldman Sachs International | 5/6/22 | 15,195 | — | |||||||||||||||||
USD | 601,753 | MXN | 12,100,000 | Goldman Sachs International | 5/6/22 | 9,169 | — | |||||||||||||||||
USD | 788,697 | MXN | 15,780,000 | JPMorgan Chase Bank, N.A. | 5/6/22 | 15,890 | — | |||||||||||||||||
USD | 764,706 | MXN | 15,300,000 | JPMorgan Chase Bank, N.A. | 5/6/22 | 15,406 | — | |||||||||||||||||
USD | 6,075,867 | MXN | 122,044,182 | Standard Chartered Bank | 5/6/22 | 98,893 | — | |||||||||||||||||
UZS | 25,023,292,000 | USD | 2,190,222 | ICBC Standard Bank plc | 5/6/22 | 45,913 | — | |||||||||||||||||
THB | 280,579,000 | USD | 8,156,707 | Standard Chartered Bank | 5/9/22 | 35,586 | — | |||||||||||||||||
THB | 260,528,000 | USD | 7,580,195 | Standard Chartered Bank | 5/9/22 | 26,652 | — | |||||||||||||||||
THB | 193,101,000 | USD | 5,613,635 | Standard Chartered Bank | 5/9/22 | 24,491 | — | |||||||||||||||||
THB | 179,301,000 | USD | 5,216,854 | Standard Chartered Bank | 5/9/22 | 18,343 | — | |||||||||||||||||
THB | 75,111,400 | USD | 2,230,725 | Standard Chartered Bank | 5/9/22 | — | (37,636 | ) | ||||||||||||||||
THB | 68,900,000 | USD | 2,143,032 | Standard Chartered Bank | 5/9/22 | — | (131,303 | ) | ||||||||||||||||
THB | 4,123,090,358 | USD | 122,995,816 | Standard Chartered Bank | 5/9/22 | — | (2,610,603 | ) | ||||||||||||||||
USD | 17,130,060 | THB | 563,065,076 | Standard Chartered Bank | 5/9/22 | 689,792 | — | |||||||||||||||||
USD | 29,361,128 | THB | 984,249,599 | Standard Chartered Bank | 5/9/22 | 623,194 | — | |||||||||||||||||
USD | 6,806,714 | THB | 224,010,740 | Standard Chartered Bank | 5/9/22 | 266,090 | — | |||||||||||||||||
USD | 6,122,556 | THB | 201,494,924 | Standard Chartered Bank | 5/9/22 | 239,345 | — | |||||||||||||||||
USD | 8,730,772 | THB | 292,674,676 | Standard Chartered Bank | 5/9/22 | 185,312 | — | |||||||||||||||||
USD | 6,489,124 | THB | 217,978,108 | Standard Chartered Bank | 5/9/22 | 124,640 | — | |||||||||||||||||
USD | 4,370,123 | THB | 146,549,000 | Standard Chartered Bank | 5/9/22 | 91,212 | — | |||||||||||||||||
USD | 2,569,276 | THB | 86,004,710 | Standard Chartered Bank | 5/9/22 | 58,127 | — | |||||||||||||||||
USD | 1,299,505 | THB | 43,578,000 | Standard Chartered Bank | 5/9/22 | 27,123 | — | |||||||||||||||||
USD | 22,902,039 | THB | 787,145,699 | Standard Chartered Bank | 5/9/22 | — | (80,893 | ) | ||||||||||||||||
USD | 24,643,872 | THB | 847,727,377 | Standard Chartered Bank | 5/9/22 | — | (107,912 | ) | ||||||||||||||||
USD | 3,421,942 | TRY | 51,602,949 | Standard Chartered Bank | 5/9/22 | — | (46,305 | ) | ||||||||||||||||
EUR | 1,000,395 | RON | 5,000,000 | Citibank, N.A. | 5/10/22 | — | (9,504 | ) | ||||||||||||||||
EUR | 8,330,329 | RON | 41,639,983 | Standard Chartered Bank | 5/10/22 | — | (80,155 | ) | ||||||||||||||||
CZK | 116,264,373 | EUR | 4,715,961 | Citibank, N.A. | 5/11/22 | 2,983 | — | |||||||||||||||||
CZK | 91,216,361 | EUR | 3,705,932 | Citibank, N.A. | 5/11/22 | — | (3,968 | ) | ||||||||||||||||
HUF | 3,312,400,000 | EUR | 9,282,331 | Standard Chartered Bank | 5/11/22 | — | (566,439 | ) |
24 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
KES | 127,500,000 | USD | 1,126,524 | Standard Chartered Bank | 5/11/22 | $ | — | $ | (26,711 | ) | ||||||||||||||
USD | 1,091,610 | KES | 127,500,000 | Standard Chartered Bank | 5/11/22 | — | (8,204 | ) | ||||||||||||||||
USD | 24,326,931 | ZAR | 374,219,798 | Bank of America, N.A. | 5/13/22 | 654,348 | — | |||||||||||||||||
ZAR | 399,651,835 | USD | 25,980,193 | Bank of America, N.A. | 5/13/22 | — | (698,817 | ) | ||||||||||||||||
HUF | 284,400,000 | EUR | 795,672 | Standard Chartered Bank | 5/16/22 | — | (47,992 | ) | ||||||||||||||||
USD | 7,913,408 | TRY | 118,385,536 | Standard Chartered Bank | 5/16/22 | — | (5,641 | ) | ||||||||||||||||
CZK | 109,459,633 | EUR | 4,445,995 | Citibank, N.A. | 5/18/22 | — | (8,883 | ) | ||||||||||||||||
CZK | 109,459,633 | EUR | 4,434,949 | UBS AG | 5/18/22 | 2,777 | — | |||||||||||||||||
KES | 139,764,000 | USD | 1,228,694 | ICBC Standard Bank plc | 5/18/22 | — | (24,821 | ) | ||||||||||||||||
USD | 4,562,259 | CNH | 29,000,000 | Standard Chartered Bank | 5/18/22 | 201,338 | — | |||||||||||||||||
USD | 29,494,389 | CNH | 188,040,000 | UBS AG | 5/18/22 | 1,217,576 | — | |||||||||||||||||
USD | 1,181,437 | KES | 139,764,000 | Standard Chartered Bank | 5/18/22 | — | (22,437 | ) | ||||||||||||||||
KES | 249,600,000 | USD | 2,187,555 | Standard Chartered Bank | 5/20/22 | — | (38,476 | ) | ||||||||||||||||
USD | 2,131,694 | KES | 249,600,000 | Standard Chartered Bank | 5/20/22 | — | (17,385 | ) | ||||||||||||||||
CZK | 228,000,000 | EUR | 9,238,250 | Goldman Sachs International | 5/23/22 | — | (2,552 | ) | ||||||||||||||||
HUF | 1,533,857,695 | EUR | 4,249,819 | Bank of America, N.A. | 5/23/22 | — | (220,542 | ) | ||||||||||||||||
HUF | 1,214,300,279 | EUR | 3,363,282 | Goldman Sachs International | 5/23/22 | — | (173,384 | ) | ||||||||||||||||
HUF | 1,533,857,695 | EUR | 4,249,710 | UBS AG | 5/23/22 | — | (220,428 | ) | ||||||||||||||||
MYR | 13,000,000 | USD | 3,086,786 | Barclays Bank PLC | 5/24/22 | — | (91,396 | ) | ||||||||||||||||
MYR | 76,077,799 | USD | 18,128,437 | Barclays Bank PLC | 5/24/22 | — | (598,998 | ) | ||||||||||||||||
MYR | 271,600,000 | USD | 64,725,228 | Barclays Bank PLC | 5/24/22 | — | (2,144,611 | ) | ||||||||||||||||
MYR | 8,000,000 | USD | 1,901,141 | Goldman Sachs International | 5/24/22 | — | (57,824 | ) | ||||||||||||||||
MYR | 12,000,000 | USD | 2,849,003 | Goldman Sachs International | 5/24/22 | — | (84,027 | ) | ||||||||||||||||
MYR | 16,070,000 | USD | 3,794,569 | Goldman Sachs International | 5/24/22 | — | (91,806 | ) | ||||||||||||||||
USD | 10,634,990 | MYR | 44,626,547 | Barclays Bank PLC | 5/24/22 | 352,381 | — | |||||||||||||||||
USD | 4,963,952 | MYR | 21,000,000 | Barclays Bank PLC | 5/24/22 | 125,245 | — | |||||||||||||||||
USD | 35,293,573 | MYR | 152,500,000 | Credit Agricole Corporate and Investment Bank | 5/24/22 | 155,340 | — | |||||||||||||||||
USD | 4,610,251 | MYR | 19,524,414 | Goldman Sachs International | 5/24/22 | 111,540 | — | |||||||||||||||||
KRW | 2,660,000,000 | USD | 2,152,796 | Standard Chartered Bank | 5/25/22 | — | (47,262 | ) | ||||||||||||||||
EUR | 5,400,972 | HUF | 2,043,246,601 | BNP Paribas | 6/1/22 | 28,360 | — | |||||||||||||||||
EUR | 5,050,201 | HUF | 1,911,252,515 | BNP Paribas | 6/1/22 | 24,555 | — | |||||||||||||||||
EUR | 4,605,772 | HUF | 1,763,149,775 | UBS AG | 6/1/22 | — | (33,423 | ) | ||||||||||||||||
EUR | 5,722,810 | HUF | 2,191,349,343 | UBS AG | 6/1/22 | — | (43,147 | ) | ||||||||||||||||
HUF | 3,954,499,116 | EUR | 10,610,978 | BNP Paribas | 6/1/22 | — | (221,706 | ) | ||||||||||||||||
HUF | 3,954,499,118 | EUR | 10,678,908 | UBS AG | 6/1/22 | — | (293,458 | ) | ||||||||||||||||
HUF | 1,142,280,000 | EUR | 3,034,879 | Citibank, N.A. | 6/2/22 | — | (32,760 | ) | ||||||||||||||||
KES | 253,848,000 | USD | 2,217,982 | Standard Chartered Bank | 6/6/22 | — | (39,910 | ) | ||||||||||||||||
USD | 2,152,166 | KES | 253,848,000 | Standard Chartered Bank | 6/6/22 | — | (25,905 | ) | ||||||||||||||||
CZK | 9,000,000 | EUR | 346,601 | Citibank, N.A. | 6/7/22 | 18,052 | — | |||||||||||||||||
CZK | 93,700,000 | EUR | 3,574,385 | Standard Chartered Bank | 6/7/22 | 223,998 | — | |||||||||||||||||
CZK | 62,363,000 | EUR | 2,402,125 | Standard Chartered Bank | 6/7/22 | 124,619 | — | |||||||||||||||||
CZK | 8,400,000 | EUR | 323,086 | Standard Chartered Bank | 6/7/22 | 17,281 | — | |||||||||||||||||
MYR | 216,441,230 | USD | 51,440,543 | Barclays Bank PLC | 6/7/22 | — | (1,598,577 | ) | ||||||||||||||||
MYR | 9,200,000 | USD | 2,141,228 | Goldman Sachs International | 6/7/22 | — | (22,657 | ) | ||||||||||||||||
USD | 20,105,046 | MYR | 84,593,993 | Barclays Bank PLC | 6/7/22 | 624,789 | — |
25 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
EUR | 578,451 | PLN | 2,800,000 | Standard Chartered Bank | 6/8/22 | $ | — | $ | (17,763 | ) | ||||||||||||||
KES | 125,680,000 | USD | 1,099,563 | Goldman Sachs International | 6/8/22 | — | (21,857 | ) | ||||||||||||||||
KES | 253,630,000 | USD | 2,218,015 | Standard Chartered Bank | 6/8/22 | — | (43,138 | ) | ||||||||||||||||
USD | 1,065,265 | KES | 125,680,000 | Goldman Sachs International | 6/8/22 | — | (12,441 | ) | ||||||||||||||||
USD | 2,153,056 | KES | 253,630,000 | Standard Chartered Bank | 6/8/22 | — | (21,821 | ) | ||||||||||||||||
EUR | 5,580,216 | RON | 28,214,000 | Bank of America, N.A. | 6/10/22 | — | (87,034 | ) | ||||||||||||||||
EUR | 5,199,261 | RON | 25,939,381 | JPMorgan Chase Bank, N.A. | 6/10/22 | — | (7,183 | ) | ||||||||||||||||
EUR | 5,199,229 | RON | 25,939,380 | JPMorgan Chase Bank, N.A. | 6/10/22 | — | (7,217 | ) | ||||||||||||||||
EUR | 6,668,125 | RON | 33,267,256 | JPMorgan Chase Bank, N.A. | 6/10/22 | — | (9,135 | ) | ||||||||||||||||
HUF | 2,300,297,562 | EUR | 5,993,936 | Citibank, N.A. | 6/10/22 | 48,756 | — | |||||||||||||||||
HUF | 892,693,000 | EUR | 2,371,786 | Standard Chartered Bank | 6/10/22 | — | (29,347 | ) | ||||||||||||||||
HUF | 2,506,002,438 | EUR | 6,512,106 | UBS AG | 6/10/22 | 71,967 | — | |||||||||||||||||
KES | 140,000,000 | USD | 1,217,391 | Bank of America, N.A. | 6/10/22 | — | (17,621 | ) | ||||||||||||||||
USD | 1,170,569 | KES | 140,000,000 | Bank of America, N.A. | 6/10/22 | — | (29,202 | ) | ||||||||||||||||
CZK | 62,000,000 | EUR | 2,510,624 | Citibank, N.A. | 6/14/22 | — | (8,540 | ) | ||||||||||||||||
CZK | 48,848,581 | EUR | 1,985,707 | Citibank, N.A. | 6/14/22 | — | (14,799 | ) | ||||||||||||||||
CZK | 64,537,117 | EUR | 2,621,999 | Citibank, N.A. | 6/14/22 | — | (18,019 | ) | ||||||||||||||||
CZK | 81,414,302 | EUR | 3,305,677 | Goldman Sachs International | 6/14/22 | — | (20,613 | ) | ||||||||||||||||
CZK | 84,428,460 | EUR | 3,431,166 | Goldman Sachs International | 6/14/22 | — | (24,657 | ) | ||||||||||||||||
CZK | 92,271,540 | EUR | 3,749,548 | Goldman Sachs International | 6/14/22 | — | (26,567 | ) | ||||||||||||||||
CZK | 335,038,000 | EUR | 13,558,226 | Goldman Sachs International | 6/14/22 | — | (36,868 | ) | ||||||||||||||||
CZK | 340,600,000 | EUR | 13,275,174 | Standard Chartered Bank | 6/14/22 | 499,601 | — | |||||||||||||||||
CZK | 64,100,000 | EUR | 2,491,343 | Standard Chartered Bank | 6/14/22 | 101,431 | — | |||||||||||||||||
CZK | 64,100,000 | EUR | 2,499,791 | Standard Chartered Bank | 6/14/22 | 92,502 | — | |||||||||||||||||
EUR | 8,259,694 | CZK | 204,011,295 | Goldman Sachs International | 6/14/22 | 26,488 | — | |||||||||||||||||
EUR | 8,161,883 | CZK | 201,688,705 | Goldman Sachs International | 6/14/22 | 22,194 | — | |||||||||||||||||
EUR | 5,117,783 | CZK | 131,308,627 | Standard Chartered Bank | 6/14/22 | — | (192,694 | ) | ||||||||||||||||
THB | 847,727,377 | USD | 24,641,554 | Standard Chartered Bank | 6/15/22 | 124,259 | — | |||||||||||||||||
THB | 787,145,699 | USD | 22,899,956 | Standard Chartered Bank | 6/15/22 | 96,002 | — | |||||||||||||||||
USD | 5,216,296 | THB | 179,301,000 | Standard Chartered Bank | 6/15/22 | — | (21,868 | ) | ||||||||||||||||
USD | 5,613,018 | THB | 193,101,000 | Standard Chartered Bank | 6/15/22 | — | (28,305 | ) | ||||||||||||||||
USD | 7,579,384 | THB | 260,528,000 | Standard Chartered Bank | 6/15/22 | — | (31,774 | ) | ||||||||||||||||
USD | 8,155,809 | THB | 280,579,000 | Standard Chartered Bank | 6/15/22 | — | (41,127 | ) | ||||||||||||||||
USD | 3,657,551 | TRY | 55,247,743 | Standard Chartered Bank | 6/15/22 | 48,301 | — | |||||||||||||||||
USD | 1,625,739 | TRY | 24,760,000 | Standard Chartered Bank | 6/15/22 | 8,206 | — | |||||||||||||||||
USD | 1,453,266 | TRY | 22,130,222 | Standard Chartered Bank | 6/15/22 | 7,533 | — | |||||||||||||||||
USD | 925,393 | TRY | 14,140,000 | Standard Chartered Bank | 6/15/22 | 1,648 | — | |||||||||||||||||
USD | 1,755,188 | TRY | 27,336,366 | Standard Chartered Bank | 6/15/22 | — | (30,654 | ) | ||||||||||||||||
USD | 3,510,377 | TRY | 54,694,567 | Standard Chartered Bank | 6/15/22 | — | (62,735 | ) | ||||||||||||||||
CZK | 633,659,412 | EUR | 25,125,932 | Citibank, N.A. | 6/17/22 | 463,390 | — | |||||||||||||||||
CZK | 46,250,000 | EUR | 1,881,308 | UBS AG | 6/17/22 | — | (16,284 | ) | ||||||||||||||||
CZK | 367,837,910 | EUR | 14,877,328 | UBS AG | 6/17/22 | — | (39,456 | ) | ||||||||||||||||
EUR | 15,382,200 | CZK | 379,700,535 | BNP Paribas | 6/17/22 | 67,246 | — | |||||||||||||||||
EUR | 14,260,630 | CZK | 352,299,465 | BNP Paribas | 6/17/22 | 50,222 | — | |||||||||||||||||
PLN | 49,313,985 | EUR | 10,439,020 | Bank of America, N.A. | 6/17/22 | 28,410 | — |
26 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
PLN | 49,314,600 | EUR | 10,445,273 | Bank of America, N.A. | 6/17/22 | $ | 21,938 | $ | — | |||||||||||||||
PLN | 80,013,845 | EUR | 16,686,975 | BNP Paribas | 6/17/22 | 311,164 | — | |||||||||||||||||
PLN | 70,418,908 | EUR | 14,721,576 | BNP Paribas | 6/17/22 | 236,178 | — | |||||||||||||||||
UZS | 133,770,000,000 | USD | 9,994,023 | JPMorgan Chase Bank, N.A. | 6/20/22 | 1,720,996 | — | |||||||||||||||||
CNH | 569,978,617 | USD | 88,910,442 | Citibank, N.A. | 6/23/22 | — | (3,391,074 | ) | ||||||||||||||||
CNH | 72,014,234 | USD | 11,169,344 | Standard Chartered Bank | 6/23/22 | — | (364,357 | ) | ||||||||||||||||
USD | 64,721,392 | CNH | 414,909,750 | Citibank, N.A. | 6/23/22 | 2,468,495 | — | |||||||||||||||||
USD | 32,166,858 | CNH | 206,212,235 | Citibank, N.A. | 6/23/22 | 1,226,855 | — | |||||||||||||||||
USD | 7,678,380 | CNH | 49,506,280 | Standard Chartered Bank | 6/23/22 | 250,477 | — | |||||||||||||||||
USD | 2,667,705 | CNH | 17,200,000 | Standard Chartered Bank | 6/23/22 | 87,024 | — | |||||||||||||||||
USD | 63,726,478 | CNH | 408,748,000 | BNP Paribas | 6/27/22 | 2,410,770 | — | |||||||||||||||||
CZK | 89,440,000 | EUR | 3,600,172 | Citibank, N.A. | 6/30/22 | 576 | — | |||||||||||||||||
CZK | 89,440,000 | EUR | 3,601,030 | Citibank, N.A. | 6/30/22 | — | (332 | ) | ||||||||||||||||
MYR | 13,640,000 | USD | 3,227,638 | Barclays Bank PLC | 7/5/22 | — | (90,428 | ) | ||||||||||||||||
USD | 4,668,878 | ILS | 14,820,234 | Barclays Bank PLC | 7/6/22 | 215,587 | — | |||||||||||||||||
KZT | 550,040,237 | USD | 1,168,434 | Citibank, N.A. | 7/29/22 | 25,422 | — | |||||||||||||||||
KZT | 391,425,341 | USD | 834,596 | Citibank, N.A. | 7/29/22 | 14,988 | — | |||||||||||||||||
KZT | 387,252,363 | USD | 834,596 | Citibank, N.A. | 7/29/22 | 5,931 | — | |||||||||||||||||
USD | 23,515,844 | ILS | 74,656,927 | JPMorgan Chase Bank, N.A. | 8/1/22 | 1,050,815 | — | |||||||||||||||||
KZT | 387,252,363 | USD | 834,596 | Citibank, N.A. | 8/3/22 | 4,324 | — | |||||||||||||||||
KZT | 315,486,400 | USD | 687,334 | JPMorgan Chase Bank, N.A. | 8/3/22 | — | (3,884 | ) | ||||||||||||||||
USD | 9,371,887 | ILS | 29,640,467 | JPMorgan Chase Bank, N.A. | 8/3/22 | 451,803 | — | |||||||||||||||||
$ | 19,098,646 | $ | (16,405,532 | ) |
Non-Deliverable Bond Forward Contracts* | ||||||||||||||||||
Settlement Date | Notional Amount (000’s omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |||||||||||||
5/5/22 | COP | 14,598,340 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | $ | 3,688,312 | $ | (86,915 | ) | |||||||||
5/5/22 | COP | 34,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 8,590,197 | (349,277 | ) | |||||||||||
5/19/22 | COP | 43,166,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 10,906,038 | (36,546 | ) | |||||||||||
5/25/22 | COP | 22,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 5,785,750 | (90,634 | ) | |||||||||||
5/25/22 | COP | 67,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 16,927,741 | (365,995 | ) | |||||||||||
5/25/22 | COP | 24,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 6,063,669 | (40,117 | ) | |||||||||||
5/25/22 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 18,569,985 | (5,218 | ) | |||||||||||
5/26/22 | COP | 28,680,000 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 7,246,084 | (55,179 | ) |
27 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
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) | |||||||||||||
5/26/22 | COP | 25,537,800 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | $ | 6,452,198 | $ | 11,749 | ||||||||||
5/27/22 | COP | 48,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 12,127,337 | 109,534 | ||||||||||||
5/30/22 | COP | 27,573,800 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 6,966,599 | 87,291 | ||||||||||||
6/1/22 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 4,547,751 | 16,639 | ||||||||||||
6/16/22 | COP | 28,233,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,133,300 | (78,160 | ) | |||||||||||
6/28/22 | COP | 41,360,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 10,449,874 | 21 | ||||||||||||
$ | (882,807 | ) |
* | 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 |
| |||||||||||||||||
Euro-Bobl | (23 | ) | Short | 6/8/22 | $ | (3,085,877 | ) | $ | 156,987 | |||||||||
Euro-Bund | (15 | ) | Short | 6/8/22 | (2,430,447 | ) | 221,698 | |||||||||||
U.S. 5-Year Treasury Note | (31 | ) | Short | 6/30/22 | (3,492,828 | ) | 70,531 | |||||||||||
U.S. 10-Year Treasury Note | (199 | ) | Short | 6/21/22 | (23,712,094 | ) | 1,411,656 | |||||||||||
$ | 1,860,872 |
Interest Rate Swaps (Centrally Cleared) | ||||||||||||||||||||||||
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 | 63,539 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.12% (pays upon termination) | 1/2/23 | $ | (901,122 | ) | $ | — | $ | (901,122 | ) | |||||||||||
BRL | 109,032 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.70% (pays upon termination) | 1/2/23 | (1,160,602 | ) | — | (1,160,602 | ) | ||||||||||||||
BRL | 175,133 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.71% (pays upon termination) | 1/2/23 | 2,246,730 | — | 2,246,730 | ||||||||||||||||
BRL | 62,400 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 4.84% (pays upon termination) | 1/2/23 | (611,256 | ) | — | (611,256 | ) |
28 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 40,336 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.84% (pays upon termination) | 1/2/23 | $ | (135,167 | ) | $ | — | $ | (135,167 | ) | |||||||||||
BRL | 30,974 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.96% (pays upon termination) | 1/2/23 | (69,553 | ) | — | (69,553 | ) | ||||||||||||||
BRL | 76,081 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.55% (pays upon termination) | 1/2/23 | 160,852 | — | 160,852 | ||||||||||||||||
BRL | 35,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.13% (pays upon termination) | 1/2/23 | 546,863 | — | 546,863 | ||||||||||||||||
BRL | 31,500 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.41% (pays upon termination) | 1/2/25 | (995,183 | ) | — | (995,183 | ) | ||||||||||||||
BRL | 69,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 5.76% (pays upon termination) | 1/2/25 | (2,197,612 | ) | — | (2,197,612 | ) | ||||||||||||||
BRL | 67,422 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.09% (pays upon termination) | 1/2/25 | (1,981,020 | ) | — | (1,981,020 | ) | ||||||||||||||
BRL | 70,160 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.27% (pays upon termination) | 1/2/25 | (1,545,245 | ) | — | (1,545,245 | ) | ||||||||||||||
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,030,249 | — | 2,030,249 | ||||||||||||||||
BRL | 11,269 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 8.57% (pays upon termination) | 1/2/25 | 71,585 | — | 71,585 | ||||||||||||||||
BRL | 47,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.58% (pays upon termination) | 1/2/25 | 1,408,329 | — | 1,408,329 | ||||||||||||||||
BRL | 5,239 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.90% (pays upon termination) | 1/2/25 | 190,272 | — | 190,272 | ||||||||||||||||
BRL | 11,050 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.51% (pays upon termination) | 1/4/27 | 20,892 | — | 20,892 | ||||||||||||||||
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (444,859 | ) | — | (444,859 | ) | ||||||||||||||
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (107,129 | ) | — | (107,129 | ) | ||||||||||||||
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (553,979 | ) | — | (553,979 | ) | ||||||||||||||
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (783,174 | ) | — | (783,174 | ) |
29 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | $ | (1,173,756 | ) | $ | — | $ | (1,173,756 | ) | |||||||||||
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (555,314 | ) | — | (555,314 | ) | ||||||||||||||
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (519,774 | ) | — | (519,774 | ) | ||||||||||||||
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (104,592 | ) | — | (104,592 | ) | ||||||||||||||
CLP | 4,898,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (876,020 | ) | — | (876,020 | ) | ||||||||||||||
CLP | 2,150,370 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.84% (pays semi-annually) | 6/15/27 | (22,708 | ) | — | (22,708 | ) | ||||||||||||||
CLP | 794,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.02% (pays semi-annually) | 3/18/29 | (128,360 | ) | — | (128,360 | ) | ||||||||||||||
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (635,525 | ) | — | (635,525 | ) | ||||||||||||||
CLP | 1,759,504 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.18% (pays semi-annually) | 7/2/31 | (317,518 | ) | — | (317,518 | ) | ||||||||||||||
CLP | 4,871,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.22% (pays semi-annually) | 7/12/31 | (864,306 | ) | — | (864,306 | ) | ||||||||||||||
CLP | 710,770 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.48% (pays semi-annually) | 3/29/32 | 10,900 | — | 10,900 | ||||||||||||||||
CLP | 466,400 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.20% (pays semi-annually) | 4/8/32 | (4,272 | ) | — | (4,272 | ) | ||||||||||||||
CLP | 1,432,670 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.35% (pays semi-annually) | 4/11/32 | 5,867 | — | 5,867 | ||||||||||||||||
CLP | 1,079,070 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.51% (pays semi-annually) | 4/14/32 | 19,420 | — | 19,420 | ||||||||||||||||
CLP | 274,770 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.40% (pays semi-annually) | 4/20/32 | 2,399 | — | 2,399 | ||||||||||||||||
CLP | 1,398,810 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.38% (pays semi-annually) | 4/22/32 | 9,814 | — | 9,814 | ||||||||||||||||
CNY | 80,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.79% (pays quarterly) | 12/21/25 | 166,620 | — | 166,620 | ||||||||||||||||
CNY | 20,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.75% (pays quarterly) | 6/4/26 | 38,125 | — | 38,125 |
30 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | $ | 237,057 | $ | — | $ | 237,057 | |||||||||||||
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 230,568 | — | 230,568 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 450,150 | — | 450,150 | ||||||||||||||||
COP | 11,354,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 418,765 | — | 418,765 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 443,161 | — | 443,161 | ||||||||||||||||
COP | 15,464,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 563,628 | — | 563,628 | ||||||||||||||||
COP | 12,992,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 467,620 | — | 467,620 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 430,183 | — | 430,183 | ||||||||||||||||
COP | 10,648,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.25% (pays quarterly) | 11/26/25 | 375,320 | — | 375,320 | ||||||||||||||||
COP | 12,063,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 422,197 | — | 422,197 | ||||||||||||||||
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 223,672 | — | 223,672 | ||||||||||||||||
COP | 20,568,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.53% (pays quarterly) | 11/26/25 | 677,479 | — | 677,479 | ||||||||||||||||
COP | 12,079,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 396,269 | — | 396,269 | ||||||||||||||||
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 186,996 | — | 186,996 | ||||||||||||||||
COP | 25,137,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 775,758 | — | 775,758 | ||||||||||||||||
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (481,557 | ) | — | (481,557 | ) | ||||||||||||||
COP | 25,708,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 952,622 | — | 952,622 | ||||||||||||||||
COP | 41,744,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 1,546,111 | — | 1,546,111 |
31 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 17,723,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | $ | 630,067 | $ | — | $ | 630,067 | |||||||||||||
COP | 53,708,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.15% (pays quarterly) | 4/19/26 | 2,116,744 | — | 2,116,744 | ||||||||||||||||
COP | 10,664,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.36% (pays quarterly) | 6/15/27 | 47,039 | — | 47,039 | ||||||||||||||||
COP | 7,441,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 338,690 | — | 338,690 | ||||||||||||||||
COP | 5,315,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 241,277 | — | 241,277 | ||||||||||||||||
CZK | 222,852 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.43% (pays annually) | 3/25/24 | 44,466 | — | 44,466 | ||||||||||||||||
CZK | 222,852 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.36% (pays annually) | 3/25/24 | 56,231 | — | 56,231 | ||||||||||||||||
CZK | 250,061 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.60% (pays annually) | 3/28/24 | 16,004 | — | 16,004 | ||||||||||||||||
CZK | 355,707 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.56% (pays annually) | 3/30/24 | 39,492 | — | 39,492 | ||||||||||||||||
CZK | 436,040 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.54% (pays annually) | 3/30/24 | 56,461 | — | 56,461 | ||||||||||||||||
CZK | 436,040 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.60% (pays annually) | 3/30/24 | 34,257 | — | 34,257 | ||||||||||||||||
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (938,423 | ) | — | (938,423 | ) | ||||||||||||||
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 1,221,538 | — | 1,221,538 | ||||||||||||||||
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | (1,686,426 | ) | — | (1,686,426 | ) | ||||||||||||||
CZK | 147,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.73% (pays annually) | 5/6/26 | (730,379 | ) | — | (730,379 | ) | ||||||||||||||
CZK | 103,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 3.84% (pays annually) | 3/16/27 | 212,910 | — | 212,910 | ||||||||||||||||
CZK | 497,198 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.74% (pays annually) | 5/31/29 | (3,678,745 | ) | — | (3,678,745 | ) | ||||||||||||||
CZK | 243,250 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.47% (pays annually) | 10/5/31 | (1,467,813 | ) | — | (1,467,813 | ) | ||||||||||||||
CZK | 116,720 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.51% (pays annually) | 10/6/31 | (686,999 | ) | — | (686,999 | ) | ||||||||||||||
CZK | 391,000 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 2.75% (pays annually) | 10/20/31 | 1,967,989 | — | 1,967,989 | ||||||||||||||||
CZK | 388,980 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 2.65% (pays annually) | 12/15/31 | (2,355,471 | ) | — | (2,355,471 | ) | ||||||||||||||
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (194,947 | ) | — | (194,947 | ) | ||||||||||||||
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (1,680,812 | ) | — | (1,680,812 | ) |
32 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | $ | 3,119,345 | $ | — | $ | 3,119,345 | |||||||||||||
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (552,714 | ) | — | (552,714 | ) | ||||||||||||||
HUF | 2,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.06% (pays annually) | 12/22/25 | (1,182,032 | ) | — | (1,182,032 | ) | ||||||||||||||
HUF | 1,399,700 | Receives | 6-month HUF BUBOR (pays semi-annually) | 5.12% (pays annually) | 3/16/27 | 341,891 | — | 341,891 | ||||||||||||||||
KRW | 93,003,200 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (966,611 | ) | — | (966,611 | ) | ||||||||||||||
KRW | 63,950,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (664,209 | ) | — | (664,209 | ) | ||||||||||||||
KRW | 40,588,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.77% (pays quarterly) | 10/5/23 | (418,027 | ) | — | (418,027 | ) | ||||||||||||||
KRW | 11,700,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 2.07% (pays quarterly) | 11/24/31 | (692,918 | ) | — | (692,918 | ) | ||||||||||||||
MXN | 267,700 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.58% (pays monthly) | 3/21/23 | (124,280 | ) | (1,320 | ) | (125,600 | ) | |||||||||||||
MXN | 350,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.98% (pays monthly) | 11/29/23 | (29,724 | ) | (4,381 | ) | (34,105 | ) | |||||||||||||
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (155,365 | ) | — | (155,365 | ) | ||||||||||||||
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 1,233,412 | — | 1,233,412 | ||||||||||||||||
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 338,380 | — | 338,380 | ||||||||||||||||
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 636,265 | — | 636,265 | ||||||||||||||||
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (208,233 | ) | — | (208,233 | ) | ||||||||||||||
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (439,388 | ) | — | (439,388 | ) | ||||||||||||||
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 374,270 | — | 374,270 | ||||||||||||||||
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (2,203,343 | ) | — | (2,203,343 | ) | ||||||||||||||
MXN | 200,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.77% (pays monthly) | 2/14/25 | (1,098,970 | ) | — | (1,098,970 | ) |
33 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | $ | 326,195 | $ | — | $ | 326,195 | |||||||||||||
MXN | 205,000 | Pays | Mexico Interbank TIIE (pays monthly) | 5.44% (pays monthly) | 3/14/25 | (978,225 | ) | — | (978,225 | ) | ||||||||||||||
MXN | 332,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.13% (pays monthly) | 6/6/25 | (1,829,429 | ) | — | (1,829,429 | ) | ||||||||||||||
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,533,502 | ) | — | (1,533,502 | ) | ||||||||||||||
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (572,946 | ) | — | (572,946 | ) | ||||||||||||||
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | (853,692 | ) | — | (853,692 | ) | ||||||||||||||
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (657,365 | ) | — | (657,365 | ) | ||||||||||||||
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (740,010 | ) | — | (740,010 | ) | ||||||||||||||
MXN | 90,600 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 8.65% (pays monthly) | 6/9/27 | 88,735 | — | 88,735 | ||||||||||||||||
MXN | 176,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.86% (pays monthly) | 1/5/28 | (456,904 | ) | (3,972 | ) | (460,876 | ) | |||||||||||||
MXN | 83,120 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.77% (pays monthly) | 9/18/29 | (499,844 | ) | — | (499,844 | ) | ||||||||||||||
MXN | 15,300 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.91% (pays monthly) | 5/1/30 | (134,965 | ) | — | (134,965 | ) | ||||||||||||||
MXN | 124,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 5.37% (pays monthly) | 12/6/30 | (1,353,812 | ) | — | (1,353,812 | ) | ||||||||||||||
MXN | 29,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.95% (pays monthly) | 12/3/31 | (95,864 | ) | (256,563 | ) | (352,427 | ) | |||||||||||||
PLN | 35,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.35% (pays annually) | 11/19/22 | (141,095 | ) | — | (141,095 | ) | ||||||||||||||
PLN | 25,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.43% (pays annually) | 6/8/23 | (178,748 | ) | — | (178,748 | ) | ||||||||||||||
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.04% (pays annually) | 1/31/24 | (359,796 | ) | — | (359,796 | ) | ||||||||||||||
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (294,957 | ) | — | (294,957 | ) | ||||||||||||||
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (240,386 | ) | — | (240,386 | ) | ||||||||||||||
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | (300,163 | ) | — | (300,163 | ) |
34 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.99% (pays annually) | 5/30/24 | $ | (337,548 | ) | $ | — | $ | (337,548 | ) | |||||||||||
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (774,605 | ) | — | (774,605 | ) | ||||||||||||||
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.76% (pays annually) | 8/6/24 | (604,219 | ) | — | (604,219 | ) | ||||||||||||||
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (291,559 | ) | — | (291,559 | ) | ||||||||||||||
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (229,220 | ) | — | (229,220 | ) | ||||||||||||||
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (1,331,293 | ) | — | (1,331,293 | ) | ||||||||||||||
PLN | 37,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.44% (pays annually) | 3/17/25 | 1,148,893 | — | 1,148,893 | ||||||||||||||||
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (434,532 | ) | — | (434,532 | ) | ||||||||||||||
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (426,320 | ) | — | (426,320 | ) | ||||||||||||||
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (1,850,389 | ) | — | (1,850,389 | ) | ||||||||||||||
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 1,835,611 | — | 1,835,611 | ||||||||||||||||
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 3,476,188 | — | 3,476,188 | ||||||||||||||||
PLN | 16,600 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.57% (pays annually) | 11/2/26 | (529,073 | ) | — | (529,073 | ) | ||||||||||||||
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (293,976 | ) | — | (293,976 | ) | ||||||||||||||
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (2,162,105 | ) | — | (2,162,105 | ) | ||||||||||||||
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (2,665,841 | ) | — | (2,665,841 | ) | ||||||||||||||
PLN | 78,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 0.93% (pays annually) | 5/8/30 | 5,497,896 | — | 5,497,896 | ||||||||||||||||
PLN | 18,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.02% (pays annually) | 5/26/31 | 1,067,076 | — | 1,067,076 | ||||||||||||||||
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | (1,688,418 | ) | — | (1,688,418 | ) | ||||||||||||||
THB | 175,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (38,884 | ) | — | (38,884 | ) | ||||||||||||||
THB | 483,000 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 326,112 | — | 326,112 | ||||||||||||||||
THB | 291,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (366,157 | ) | — | (366,157 | ) | ||||||||||||||
THB | 550,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.03% (pays semi-annually) | 6/8/26 | (652,623 | ) | — | (652,623 | ) | ||||||||||||||
THB | 370,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 0.98% (pays semi-annually) | 6/21/26 | (470,726 | ) | — | (470,726 | ) | ||||||||||||||
THB | 120,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (117,917 | ) | — | (117,917 | ) |
35 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (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 | 326,730 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.40% (pays semi-annually) | 3/16/27 | $ | 353,413 | $ | — | $ | 353,413 | |||||||||||||
THB | 398,453 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.19% (pays semi-annually) | 2/23/28 | 746,793 | — | 746,793 | ||||||||||||||||
THB | 199,227 | Receives | 6-month THB Fixing Rate (pays semi-annually) | 1.34% (pays semi-annually) | 2/25/28 | 325,504 | — | 325,504 | ||||||||||||||||
THB | 204,600 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (535,112 | ) | — | (535,112 | ) | ||||||||||||||
THB | 200,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (499,026 | ) | — | (499,026 | ) | ||||||||||||||
USD | 7,380 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.56% (pays semi-annually) | 3/29/32 | 265,788 | — | 265,788 | ||||||||||||||||
USD | 5,020 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.55% (pays semi-annually) | 3/30/32 | 183,787 | — | 183,787 | ||||||||||||||||
USD | 1,529 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.49% (pays semi-annually) | 3/31/32 | 64,183 | — | 64,183 | ||||||||||||||||
ZAR | 55,027 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 2/14/25 | 10,620 | — | 10,620 | ||||||||||||||||
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | (170,198 | ) | — | (170,198 | ) | ||||||||||||||
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | (30,303 | ) | — | (30,303 | ) | ||||||||||||||
ZAR | 43,340 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.41% (pays quarterly) | 6/11/25 | (108,268 | ) | — | (108,268 | ) | ||||||||||||||
ZAR | 50,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 4.97% (pays quarterly) | 8/24/25 | (178,739 | ) | 77 | (178,662 | ) | ||||||||||||||
ZAR | 54,900 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.56% (pays quarterly) | 2/19/26 | (167,299 | ) | 150 | (167,149 | ) | ||||||||||||||
ZAR | 68,770 | Pays | 3-month ZAR JIBAR (pays quarterly) | 8.79% (pays quarterly) | 3/18/26 | 275,283 | — | 275,283 | ||||||||||||||||
ZAR | 79,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.96% (pays quarterly) | 5/20/26 | (191,680 | ) | 291 | (191,389 | ) | ||||||||||||||
ZAR | 132,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 10/18/26 | 200,851 | (653 | ) | 200,198 | |||||||||||||||
ZAR | 175,100 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.64% (pays quarterly) | 12/15/26 | (265,964 | ) | — | (265,964 | ) | ||||||||||||||
ZAR | 15,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (29,965 | ) | — | (29,965 | ) | ||||||||||||||
ZAR | 83,800 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.30% (pays quarterly) | 6/15/27 | 60,624 | — | 60,624 | ||||||||||||||||
Total |
| $ | (22,942,341 | ) | $ | (266,371 | ) | $ | (23,208,712 | ) |
36 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (OTC) | ||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unreazlied 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 | $ | 2,098,038 | ||||||||||||
Bank of America, N.A. | RUB | 369,800 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 9.72% (pays annually) | 2/4/27 | (482,748 | ) | ||||||||||||
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 | 167,337 | |||||||||||||
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 | 94,525 | |||||||||||||
Barclays Bank PLC | RUB | 425,000 | Receives | 3-month Moscow Prime Offered Rate (pays quarterly) | 9.75% (pays annually) | 3/16/27 | 692,029 | |||||||||||||
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (161,110 | ) | ||||||||||||
BNP Paribas | MYR | 25,400 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.20% (pays quarterly) | 6/15/27 | 203,043 | |||||||||||||
Citibank, N.A. | MYR | 5,500 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 8/1/23 | 24,347 | |||||||||||||
Citibank, N.A. | THB | 260,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.79% (pays semi-annually) | 8/10/22 | 47,280 | |||||||||||||
Citibank, N.A. | THB | 330,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.87% (pays semi-annually) | 3/27/23 | 102,479 | |||||||||||||
Citibank, N.A. | THB | 250,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.22% (pays semi-annually) | 10/25/23 | 106,215 | |||||||||||||
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | 25,148 | |||||||||||||
Credit Suisse International | RUB | 51,950 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 5/23/22 | 36,870 | |||||||||||||
Credit Suisse International | RUB | 275,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) | 7.85% (pays annually) | 11/1/22 | (101,130 | ) | ||||||||||||
Deutsche Bank AG | BRL | 1,970 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.98% (pays upon termination) | 1/2/23 | 309,885 | |||||||||||||
Deutsche Bank AG | THB | 324,320 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.13% (pays semi-annually) | 11/19/23 | 198,815 | |||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 11,300 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 8/1/23 | 50,022 | |||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 5,810 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 8/14/23 | 24,842 | |||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 5,815 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 8/14/23 | 24,863 | |||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 11,600 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.89% (pays quarterly) | 9/5/23 | 46,272 | |||||||||||||
JPMorgan Chase Bank, N.A. | MYR | 112,287 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (1,040,141 | ) |
37 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (OTC) (continued) | ||||||||||||||||||||||
Counterparty | Notional Amount (000’s omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unreazlied Appreciation (Depreciation) | ||||||||||||||||
Nomura International PLC | BRL | 2,006 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.90% (pays upon termination) | 1/2/23 | $ | 308,670 | ||||||||||||||
Nomura International PLC | BRL | 4,440 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 12.83% (pays upon termination) | 1/2/23 | 670,653 | |||||||||||||||
Standard Chartered Bank | MYR | 5,800 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 7/23/23 | 19,494 | |||||||||||||||
Standard Chartered Bank | MYR | 5,900 | Pays | 3-month MYR KLIBOR (pays quarterly) | 3.88% (pays quarterly) | 9/4/23 | 23,406 | |||||||||||||||
Standard Chartered Bank | MYR | 27,200 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.20% (pays quarterly) | 6/15/27 | 216,569 | |||||||||||||||
Standard Chartered Bank | THB | 650,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 2.15% (pays semi-annually) | 8/20/23 | 314,318 | |||||||||||||||
Total | $ | 4,019,991 |
Credit Default Swaps - Sell Protection (Centrally Cleared) | ||||||||||||||||||||||||
Reference Entity | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
1.00% | ||||||||||||||||||||||||
Turkey | $ | 1,874 | (pays quarterly)(1) | 4.58 | % | 6/20/22 | $ | (7,491 | ) | $ | 9,503 | $ | 2,012 | |||||||||||
Total | $ | 1,874 | $ | (7,491 | ) | $ | 9,503 | $ | 2,012 |
Credit Default Swaps - Buy Protection (Centrally Cleared) | ||||||||||||||||||||
Reference Entity | Notional Amount | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||
Markit CDX Emerging Markets Index (CDX.EM.31.V2) | $ | 94 | | 1.00% (pays quarterly)(1) | 6/20/24 | $5,669 | $ | (6,171 | ) | $ | (502 | ) | ||||||||
Total | $5,669 | $ | (6,171 | ) | $ | (502 | ) |
38 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Credit Default Swaps - Sell Protection (OTC) | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000’s omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,600 | 1.00% (pays quarterly)(1) | 9.67 | % | 6/20/22 | $ | (17,938 | ) | $ | 3,940 | $ | (13,998 | ) | |||||||||||||
Total | $ | 1,600 | $ | (17,938 | ) | $ | 3,940 | $ | (13,998 | ) |
* | 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, 2022, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $3,474,000. |
** | 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. |
Cross-Currency Swaps (OTC) | ||||||||||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||
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 | $ | 82,970 | |||||||
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 | (4,583,983 | ) | |||||||
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 | (11,848,831 | ) | |||||||
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 | 99,812 | ||||||||
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 | 52,126 | ||||||||
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 | 177,649 | ||||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 570,988,980 (pays semi-annually)* | 2.06% on CLP equivalent of CLF 18,000 (pays semi-annually)* | 3/29/32 | (10,915 | ) | |||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 381,027,240 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 12,000 (pays semi-annually)* | 4/8/32 | (8,959 | ) | |||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,174,947,580 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 37,000 (pays semi-annually)* | 4/11/32 | (47,258 | ) | |||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 860,087,970 (pays semi-annually)* | 2.00% on CLP equivalent of CLF 27,000 (pays semi-annually)* | 4/14/32 | (8,399 | ) |
39 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps (OTC) (continued) | ||||||||||||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | ||||||||||
Goldman Sachs International | | 1-day Indice Camara Promedio Rate on CLP 214,234,175 (pays semi-annually)* | | 1.85% on CLP equivalent of CLF 6,700 (pays semi-annually)* | 4/20/32 | $ | 2,125 | |||||||
Goldman Sachs International | | 1-day Indice Camara Promedio Rate on CLP 1,088,523,600 (pays semi-annually)* | | 1.84% on CLP equivalent of CLF 34,000 (pays semi-annually)* | 4/22/32 | 13,202 | ||||||||
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 | (8,067,967 | ) | |||||||
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 | 56,923 | ||||||||
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 | 114,324 | ||||||||
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 | 115,288 | ||||||||
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 | 93,041 | ||||||||
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 | 63,475 | ||||||||
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 | 57,442 | ||||||||
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 | 54,838 | ||||||||
$ | (23,593,097 | ) |
* | 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. |
Abbreviations:
OTC | – | Over-the-counter |
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 | ||
HUF | – | Hungarian Forint |
IDR | – | Indonesian Rupiah | ||
ILS | – | Israeli Shekel | ||
INR | – | Indian Rupee | ||
KES | – | Kenyan Shilling | ||
KRW | – | Korean Won | ||
KZT | – | Kazakhstani Tenge | ||
MXN | – | Mexican Peso | ||
MYR | – | Malaysian Ringgit | ||
PEN | – | Peruvian Sol | ||
PHP | – | Philippine Peso | ||
PLN | – | Polish Zloty | ||
RON | – | Romania Leu |
40 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Portfolio of Investments (Unaudited) — continued
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 | ||
ZMW | – | Zambian Kwacha |
41 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2022 | |||
Unaffiliated investments, at value (identified cost $1,225,762,891) | $ | 1,033,366,901 | ||
Affiliated investment, at value (identified cost $94,813,813) | 94,813,813 | |||
Cash | 111,629 | |||
Deposits for derivatives collateral: | ||||
Centrally cleared derivatives | 45,376,165 | |||
OTC derivatives | 1,580,000 | |||
Foreign currency, at value (identified cost $22,459,733) | 21,438,350 | |||
Interest receivable | 20,796,189 | |||
Dividends receivable from affiliated investment | 4,283 | |||
Receivable for variation margin on open futures contracts | 144,331 | |||
Receivable for open forward foreign currency exchange contracts | 19,098,646 | |||
Receivable for open swap contracts | 6,788,335 | |||
Receivable for open non-deliverable bond forward contracts | 225,234 | |||
Receivable for closed non-deliverable bond forward contracts | 20,372 | |||
Total assets | $ | 1,243,764,248 | ||
Liabilities | ||||
Cash collateral due to brokers | $ | 1,580,000 | ||
Payable for investments purchased | 7,351,637 | |||
Payable for variation margin on open centrally cleared derivatives | 247,306 | |||
Payable for open forward foreign currency exchange contracts | 16,405,532 | |||
Payable for open swap contracts | 26,375,439 | |||
Upfront receipts on open non-centrally cleared swap contracts | 3,940 | |||
Payable for open non-deliverable bond forward contracts | 1,108,041 | |||
Payable to affiliates: | ||||
Investment adviser fee | 656,326 | |||
Trustees’ fees | 5,897 | |||
Accrued foreign capital gains taxes | 515,378 | |||
Accrued expenses | 659,418 | |||
Total liabilities | $ | 54,908,914 | ||
Net Assets applicable to investors’ interest in Portfolio | $ | 1,188,855,334 |
42 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2022 | |||
Dividend income from affiliated investments | $ | 51,396 | ||
Interest income (net of foreign taxes withheld of $1,380,527) | 47,849,936 | |||
Total investment income | $ | 47,901,332 | ||
Expenses | ||||
Investment adviser fee | $ | 4,418,389 | ||
Trustees’ fees and expenses | 33,370 | |||
Custodian fee | 714,859 | |||
Legal and accounting services | 71,627 | |||
Miscellaneous | 51,560 | |||
Total expenses | $ | 5,289,805 | ||
Deduct: | ||||
Waiver and/or reimbursement of expenses by affiliate | $ | 1,192 | ||
Total expense reductions | $ | 1,192 | ||
Net expenses | $ | 5,288,613 | ||
Net investment income | $ | 42,612,719 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss): | ||||
Investment transactions (net of foreign capital gains taxes of $139,499) | $ | (26,963,817 | ) | |
Investment transactions - affiliated investment | 4,584 | |||
Futures contracts | 1,609,749 | |||
Swap contracts | (33,549,795 | ) | ||
Foreign currency transactions | (40,466,591 | ) | ||
Forward foreign currency exchange contracts | 57,575,306 | |||
Non-deliverable bond forward contracts | (10,902,473 | ) | ||
Net realized loss | $ | (52,693,037 | ) | |
Change in unrealized appreciation (depreciation): | ||||
Investments (including net decrease in accrued foreign capital gains taxes of $1,064,957) | $ | (133,241,098 | ) | |
Futures contracts | 1,318,326 | |||
Swap contracts | (9,702,989 | ) | ||
Foreign currency | (1,788,751 | ) | ||
Forward foreign currency exchange contracts | (29,785,169 | ) | ||
Non-deliverable bond forward contracts | 744,385 | |||
Net change in unrealized appreciation (depreciation) | $ | (172,455,296 | ) | |
Net realized and unrealized loss | $ | (225,148,333 | ) | |
Net decrease in net assets from operations | $ | (182,535,614 | ) |
43 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, 2021 | ||||||
From operations: | ||||||||
Net investment income | $ | 42,612,719 | $ | 82,706,890 | ||||
Net realized gain (loss) | (52,693,037 | ) | 14,692,597 | |||||
Net change in unrealized appreciation (depreciation) | (172,455,296 | ) | (102,304,622 | ) | ||||
Net decrease in net assets from operations | $ | (182,535,614 | ) | $ | (4,905,135 | ) | ||
Capital transactions: | ||||||||
Contributions | $ | 128,806,127 | $ | 713,025,206 | ||||
Withdrawals | (319,036,167 | ) | (400,434,173 | ) | ||||
Net increase (decrease) in net assets from capital transactions | $ | (190,230,040 | ) | $ | 312,591,033 | |||
Net increase (decrease) in net assets | $ | (372,765,654 | ) | $ | 307,685,898 | |||
Net Assets | ||||||||
At beginning of period | $ | 1,561,620,988 | $ | 1,253,935,090 | ||||
At end of period | $ | 1,188,855,334 | $ | 1,561,620,988 |
44 | See Notes to Financial Statements. |
Emerging Markets Local Income Portfolio
April 30, 2022
Financial Highlights
Six Months Ended April 30, 2022 (Unaudited) | Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): | ||||||||||||||||||||||||
Expenses | 0.77 | %(1)(2) | 0.75 | % | 0.79 | % | 0.78 | % | 0.87 | %(3) | 0.81 | %(3) | ||||||||||||
Net investment income | 6.21 | %(1) | 4.98 | % | 5.79 | % | 7.01 | % | 7.22 | % | 5.90 | % | ||||||||||||
Portfolio Turnover | 12 | %(4) | 56 | % | 56 | % | 46 | % | 52 | % | 40 | % | ||||||||||||
Total Return | (12.63 | )%(4) | 1.48 | % | 0.08 | % | 23.15 | % | (9.33 | )% | 8.23 | % | ||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,188,855 | $ | 1,561,621 | $ | 1,253,935 | $ | 1,238,490 | $ | 783,270 | $ | 617,181 |
(1) | Annualized. |
(2) | The investment adviser reduced a portion of its adviser fee (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2022). |
(3) | Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for each of the years ended October 31, 2018 and 2017. |
(4) | Not annualized. |
45 |
Emerging Markets Local Income Portfolio
April 30, 2022
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 October 31, 2021, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund and Eaton Vance International (Cayman Islands) Emerging Markets Local Income Fund held an interest of 86.9%, 12.1%, 0.6% 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. 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 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.
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.
Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.
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.
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.
46 |
Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
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, 2022, 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 Futures Contracts — Upon entering into a 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 futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the 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 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 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, if any (which are amortized over the life of the swap contract), 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.
47 |
Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
K 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.
L 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.
M 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.
N Interim Financial Statements — The interim financial statements relating to April 30, 2022 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), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio. The investment adviser fee is computed at an annual rate as a percentage of the Portfolio’s average daily net assets as follows and is payable monthly:
Average Daily Net Assets | Annual Fee Rate | |
Up to $1 billion | 0.650% | |
$1 billion but less than $2 billion | 0.625% | |
$2 billion but less than $5 billion | 0.600% | |
$5 billion and over | 0.575% |
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Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
For the six months ended April 30, 2022, the investment adviser fee amounted to $4,418,389 or 0.64% (annualized) of the Portfolio’s average daily net assets.
Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds -Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the six months ended April 30, 2022, the investment adviser fee paid was reduced by $1,192 relating to the Portfolio’s investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). EVM did not receive a fee for advisory services provided to Cash Reserves Fund.
During the six months ended April 30, 2022, EVM reimbursed the Portfolio $7,481 for a net realized loss due to a trading error. The amount of the reimbursement had an impact on total return of less than 0.01%.
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, 2022, 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 and paydowns, aggregated $127,195,092 and $354,969,184, respectively, for the six months ended April 30, 2022.
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, 2022, as determined on a federal income tax basis, were as follows:
Aggregate cost | $1,330,278,072 | |||
Gross unrealized appreciation | $ | 8,913,498 | ||
Gross unrealized depreciation | (279,672,280 | ) | ||
Net unrealized depreciation | $ | (270,758,782 | ) |
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, 2022 is included in the Portfolio of Investments. At April 30, 2022, 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 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
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Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
payment by the Portfolio for those derivatives in a liability position. At April 30, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $43,892,952. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $39,072,386 at April 30, 2022.
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, 2022 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, 2022.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2022 was as follows:
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Not applicable | $ | 5,669 | * | $ | 29,937,685 | * | $ | 46,907,625 | * | $ | 76,850,979 | |||||
Receivable for open forward foreign currency exchange contracts | — | 19,098,646 | — | 19,098,646 | ||||||||||||
Receivable for open swap contracts | — | — | 6,788,335 | 6,788,335 | ||||||||||||
Receivable for open non-deliverable bond forward contracts | — | — | 225,234 | 225,234 | ||||||||||||
Total Asset Derivatives | $ | 5,669 | $ | 49,036,331 | $ | 53,921,194 | $ | 102,963,194 | ||||||||
Derivatives not subject to master netting or similar agreements | $ | 5,669 | $ | 29,937,685 | $ | 46,907,625 | $ | 76,850,979 | ||||||||
Total Asset Derivatives subject to master netting or similar agreements | $ | — | $ | 19,098,646 | $ | 7,013,569 | $ | 26,112,215 | ||||||||
Not applicable | $ | (7,491 | )* | $ | (59,475,982 | )* | $ | (67,989,094 | )* | $ | (127,472,567 | ) | ||||
Payable for open forward foreign currency exchange contracts | — | (16,405,532 | ) | — | (16,405,532 | ) | ||||||||||
Payable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | (17,938 | ) | — | (26,361,441 | ) | (26,379,379 | ) | |||||||||
Payable for open non-deliverable bond forward contracts | — | — | (1,108,041 | ) | (1,108,041 | ) | ||||||||||
Total Liability Derivatives | $ | (25,429 | ) | $ | (75,881,514 | ) | $ | (95,458,576 | ) | $ | (171,365,519 | ) | ||||
Derivatives not subject to master netting or similar agreements | $ | (7,491 | ) | $ | (59,475,982 | ) | $ | (67,989,094 | ) | $ | (127,472,567 | ) | ||||
Total Liability Derivatives subject to master netting or similar agreements | $ | (17,938 | ) | $ | (16,405,532 | ) | $ | (27,469,482 | ) | $ | (43,892,952 | ) |
* | 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 futures contracts and centrally cleared derivatives, as applicable. |
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Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
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, 2022.
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. | $ 3,261,442 | $ (2,580,146 | ) | $ — | $ (681,296) | $ — | $ 720,000 | |||||||||||||||||
Barclays Bank PLC | 2,010,031 | (2,010,031 | ) | — | — | — | — | |||||||||||||||||
BNP Paribas | 3,365,879 | (589,572 | ) | (2,628,230 | ) | — | 148,077 | — | ||||||||||||||||
Citibank, N.A. | 4,752,419 | (3,675,182 | ) | — | — | 1,077,237 | — | |||||||||||||||||
Credit Agricole Corporate and Investment Bank | 155,340 | — | — | — | 155,340 | — | ||||||||||||||||||
Credit Suisse International | 36,870 | (36,870 | ) | — | — | — | — | |||||||||||||||||
Deutsche Bank AG | 581,779 | (17,938 | ) | (535,079 | ) | — | 28,762 | — | ||||||||||||||||
Goldman Sachs International | 573,559 | (573,559 | ) | — | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | 16,325 | (16,325 | ) | — | — | — | — | |||||||||||||||||
ICBC Standard Bank plc | 45,913 | (24,821 | ) | — | — | 21,092 | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 3,400,909 | (3,400,909 | ) | — | — | — | — | |||||||||||||||||
Nomura International PLC | 979,323 | — | (688,936 | ) | (290,387 | ) | — | 330,000 | ||||||||||||||||
Societe Generale | 83,439 | — | — | — | 83,439 | — | ||||||||||||||||||
Standard Chartered Bank | 5,001,336 | (4,892,604 | ) | — | — | 108,732 | — | |||||||||||||||||
The Bank of Nova Scotia | 555,331 | — | — | (530,000 | ) | 25,331 | 530,000 | |||||||||||||||||
UBS AG | 1,292,320 | (1,038,542 | ) | (253,778 | ) | — | — | — | ||||||||||||||||
$26,112,215 | $(18,856,499 | ) | $(4,106,023 | ) | $(1,501,683 | ) | $1,648,010 | $1,580,000 | ||||||||||||||||
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. | $ (2,580,146 | ) | $ 2,580,146 | $ — | $ — | $ — | $ — | |||||||||||||||||
Barclays Bank PLC | (4,524,010 | ) | 2,010,031 | 2,513,979 | — | — | — | |||||||||||||||||
BNP Paribas | (589,572 | ) | 589,572 | — | — | — | — | |||||||||||||||||
Citibank, N.A. | (3,675,182 | ) | 3,675,182 | — | — | — | — | |||||||||||||||||
Credit Suisse International | (101,130 | ) | 36,870 | — | — | (64,260 | ) | — | ||||||||||||||||
Deutsche Bank AG | (17,938 | ) | 17,938 | — | — | — | — | |||||||||||||||||
Goldman Sachs International | (17,273,096 | ) | 573,559 | 16,699,537 | — | — | — | |||||||||||||||||
HSBC Bank USA, N.A. | (40,384 | ) | 16,325 | — | — | (24,059 | ) | — | ||||||||||||||||
ICBC Standard Bank plc | (24,821 | ) | 24,821 | — | — | — | — | |||||||||||||||||
JPMorgan Chase Bank, N.A. | (9,135,527 | ) | 3,400,909 | 5,734,618 | — | — | — | |||||||||||||||||
Standard Chartered Bank | (4,892,604 | ) | 4,892,604 | — | — | — | — |
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Emerging Markets Local Income Portfolio
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Notes to Financial Statements (Unaudited) — continued
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 | ||||||||||||||||||
UBS AG | $ | (1,038,542 | ) | $ | 1,038,542 | $ | — | $ — | $ | — | $ | — | ||||||||||||
$ | (43,892,952 | ) | $ | 18,856,499 | $ | 24,948,134 | $ — | $ | (88,319 | ) | $ | — | ||||||||||||
Total — Deposits for derivatives collateral — OTC derivatives |
| $ | 1,580,000 |
(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. |
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, 2022 was as follows:
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total | ||||||||||||
Net realized gain (loss): | ||||||||||||||||
Investment transactions | $ | — | $ | — | $ | (923,502 | ) | $ | (923,502 | ) | ||||||
Futures contracts | — | — | 1,609,749 | 1,609,749 | ||||||||||||
Swap contracts | 50,531 | — | (33,600,326 | ) | (33,549,795 | ) | ||||||||||
Forward foreign currency exchange contracts | — | 57,575,306 | — | 57,575,306 | ||||||||||||
Non-deliverable bond forward contracts | — | — | (10,902,473 | ) | (10,902,473 | ) | ||||||||||
Total | $ | 50,531 | $ | 57,575,306 | $ | (43,816,552 | ) | $ | 13,809,285 | |||||||
Change in unrealized appreciation (depreciation): | ||||||||||||||||
Investments | $ | — | $ | — | $ | 912,553 | $ | 912,553 | ||||||||
Futures contracts | — | — | 1,318,326 | 1,318,326 | ||||||||||||
Swap contracts | 10,138 | — | (9,713,127 | ) | (9,702,989 | ) | ||||||||||
Forward foreign currency exchange contracts | — | (29,785,169 | ) | — | (29,785,169 | ) | ||||||||||
Non-deliverable bond forward contracts | — | — | 744,385 | 744,385 | ||||||||||||
Total | $ | 10,138 | $ | (29,785,169 | ) | $ | (6,737,863 | ) | $ | (36,512,894 | ) |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2022, 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 | Purchased Swaptions | Swap Contracts | ||||||||||||||
$45,051,000 | $3,383,385,000 | $147,000,000 | $17,071,000 | $1,949,382,000 |
* | 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. |
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Notes to Financial Statements (Unaudited) — continued
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 25, 2022. 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 Secured Overnight Financing Rate (SOFR) 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 2021, an arrangement fee totaling $150,000 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, 2022.
7 Investments in Affiliated Funds
At April 30, 2022, the value of the Portfolio’s investment in affiliated funds was $94,813,813, which represents 8.0% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the six months ended April 30, 2022 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/ Shares, end of period | ||||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||
Cash Reserves Fund | $7,541,545 | $533,888,639 | $(541,434,768 | ) | $4,584 | $ — | $ | — | $47,113 | — | ||||||||||||||||||||||
Liquidity Fund | — | 110,486,587 | (15,672,774 | ) | — | — | 94,813,813 | 4,283 | 94,813,813 | |||||||||||||||||||||||
Total | $4,584 | $ — | $ | 94,813,813 | $51,396 |
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.
At April 30, 2022, 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 | $ | — | $ | 28,536,716 | $ | — | $ | 28,536,716 | ||||||||
Loan Participation Notes | — | — | 36,291,849 | 36,291,849 | ||||||||||||
Sovereign Government Bonds | — | 757,337,241 | 59,701,017 | 817,038,258 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Affiliated Fund | 94,813,813 | — | — | 94,813,813 | ||||||||||||
Sovereign Government Securities | — | 103,853,374 | — | 103,853,374 | ||||||||||||
U.S. Treasury Obligations | — | 47,646,704 | — | 47,646,704 | ||||||||||||
Total Investments | $ | 94,813,813 | $ | 937,374,035 | $ | 95,992,866 | $ | 1,128,180,714 |
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Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 49,036,331 | $ | — | $ | 49,036,331 | ||||||||
Non-Deliverable Bond Forward Contracts | — | 225,234 | — | 225,234 | ||||||||||||
Futures Contracts | 1,860,872 | — | — | 1,860,872 | ||||||||||||
Swap Contracts | — | 51,840,757 | — | 51,840,757 | ||||||||||||
Total | $ | 96,674,685 | $ | 1,038,476,357 | $ | 95,992,866 | $ | 1,231,143,908 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (75,881,514 | ) | $ | — | $ | (75,881,514 | ) | ||||||
Non-Deliverable Bond Forward Contracts | — | (1,108,041 | ) | — | (1,108,041 | ) | ||||||||||
Swap Contracts | — | (94,375,964 | ) | — | (94,375,964 | ) | ||||||||||
Total | $ | — | $ | (171,365,519 | ) | $ | — | $ | (171,365,519 | ) |
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 | Investments in Sovereign Government Bonds | Total | ||||||||||
Balance as of October 31, 2021 | $ | 39,020,280 | $ | — | $ | 39,020,280 | ||||||
Realized gains (losses) | — | (653,303 | ) | (653,303 | ) | |||||||
Change in net unrealized appreciation | ||||||||||||
(depreciation) | (3,045,185 | ) | (77,116,801 | ) | (80,161,986 | ) | ||||||
Cost of purchases | — | 9,958,750 | 9,958,750 | |||||||||
Proceeds from sales, including return of capital | — | (2,785,765 | ) | (2,785,765 | ) | |||||||
Accrued discount (premium) | 316,754 | (874,148 | ) | (557,394 | ) | |||||||
Transfers to Level 3 | — | 131,172,284 | 131,172,284 | |||||||||
Transfers from Level 3 | — | — | — | |||||||||
Balance as of April 30, 2022 | $ | 36,291,849 | $ | 59,701,017 | $ | 95,992,866 | ||||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2022 | $ | (3,045,185 | ) | $ | (77,014,321 | ) | $ | (80,059,506 | ) |
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of April 30, 2022:
Type of Investment | Fair Value as of April 30, 2022 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* | |||||||||
Loan Participation Notes | $ | 36,291,849 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 3.98 | % | Decrease | |||||||
Sovereign Government Bonds | 59,701,017 | Third Party Indication of Value | Foreign Currency Exchange Rate | 33.30 UAH/USD | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
54 |
Emerging Markets Local Income Portfolio
April 30, 2022
Notes to Financial Statements (Unaudited) — continued
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.
On February 24, 2022, Russia launched an invasion of Ukraine, following rising tensions over the buildup of Russian troops along the Ukrainian border and joint military exercises by Russia with Belarus. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. The conflict and sanctions have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Belarus and Ukraine. The conflict could also have a significant effect on investments outside the region. The duration and extent of the military conflict with Russia and the related sanctions cannot be predicted at this time.
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, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. 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 of disease, 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, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.
55 |
Eaton Vance
Emerging Markets Local Income Fund
April 30, 2022
Officers of Eaton Vance Emerging Markets Local Income Fund
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Officers of Emerging Markets Local Income Portfolio
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio
George J. Gorman
Chairperson
Alan C. Bowser*
Thomas E. Faust Jr.**
Mark R. Fetting
Cynthia E. Frost
Valerie A. Mosley
William H. Park
Helen Frame Peters
Keith Quinton
Marcus L. Smith
Susan J. Sutherland
Scott E. Wennerholm
Nancy A. Wiser*
* | Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022. |
** | Interested Trustee |
56 |
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 |
57 |
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. |
58 |
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.
59 |
This Page Intentionally Left Blank
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 4.30.22
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). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | 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 23, 2022 |
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 23, 2022 |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2022 |