Global Opportunities Portfolio NPORT-P/A Global Opportunities Portfolio (Jul 2020 report)

Global Opportunities Portfolio

July 31, 2020

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Collateralized Mortgage Obligations — 10.4%

Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
Series 2182, Class ZC, 7.50%, 9/15/29	$	101,528	$	118,895
Series 4273, Class SP, 11.544%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(1)		516,145		887,206
Series 4407, Class LN, 8.922%, (9.32% - 1 mo. USD LIBOR x 2.33), 12/15/43(1)		89,279		89,698
Series 4637, Class CU, 3.00%, 8/15/44		9,458,950		9,655,854
Series 4677, Class SB, 15.316%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(1)		453,201		458,020
Series 4774, Class QD, 4.50%, 1/15/43		8,339,925		8,532,388
Interest Only:(2)
Series 2631, Class DS, 6.925%, (7.10% - 1 mo. USD LIBOR), 6/15/33(1)		1,739,269		262,407
Series 2953, Class LS, 6.525%, (6.70% - 1 mo. USD LIBOR), 12/15/34(1)		1,065,813		65,216
Series 2956, Class SL, 6.825%, (7.00% - 1 mo. USD LIBOR), 6/15/32(1)		980,759		236,791
Series 3114, Class TS, 6.475%, (6.65% - 1 mo. USD LIBOR), 9/15/30(1)		3,048,289		497,673
Series 3153, Class JI, 6.435%, (6.62% - 1 mo. USD LIBOR), 5/15/36(1)		2,329,890		504,504
Series 3745, Class SA, 6.575%, (6.75% - 1 mo. USD LIBOR), 3/15/25(1)		115,952		624
Series 3973, Class SG, 6.475%, (6.65% - 1 mo. USD LIBOR), 4/15/30(1)		653,793		13,096
Series 4007, Class JI, 4.00%, 2/15/42		1,888,599		183,297
Series 4050, Class IB, 3.50%, 5/15/41		9,096,148		369,433
Series 4067, Class JI, 3.50%, 6/15/27		6,045,650		421,540
Series 4070, Class S, 5.925%, (6.10% - 1 mo. USD LIBOR), 6/15/32(1)		12,241,130		1,888,728
Series 4095, Class HS, 5.925%, (6.10% - 1 mo. USD LIBOR), 7/15/32(1)		3,273,052		392,846
Series 4109, Class ES, 5.975%, (6.15% - 1 mo. USD LIBOR), 12/15/41(1)		87,314		23,162
Series 4109, Class SA, 6.025%, (6.20% - 1 mo. USD LIBOR), 9/15/32(1)		4,836,095		766,763
Series 4149, Class S, 6.075%, (6.25% - 1 mo. USD LIBOR), 1/15/33(1)		3,560,047		608,506
Series 4163, Class GS, 6.025%, (6.20% - 1 mo. USD LIBOR), 11/15/32(1)		2,834,281		492,228
Series 4169, Class AS, 6.075%, (6.25% - 1 mo. USD LIBOR), 2/15/33(1)		4,083,890		797,424
Series 4180, Class GI, 3.50%, 8/15/26		2,335,546		97,840
Series 4188, Class AI, 3.50%, 4/15/28		4,993,556		324,950
Series 4189, Class SQ, 5.975%, (6.15% - 1 mo. USD LIBOR), 12/15/42(1)		4,219,497		328,038
Series 4203, Class QS, 6.075%, (6.25% - 1 mo. USD LIBOR), 5/15/43(1)		2,705,755		531,513
Series 4212, Class SA, 6.025%, (6.20% - 1 mo. USD LIBOR), 7/15/38(1)		3,232,399		37,610
Series 4323, Class CI, 4.00%, 3/15/40		4,036,387		73,257
Series 4332, Class IK, 4.00%, 4/15/44		1,999,887		211,758
Series 4332, Class KI, 4.00%, 9/15/43		1,671,469		72,105
Series 4343, Class PI, 4.00%, 5/15/44		4,202,982		469,373
Series 4370, Class IO, 3.50%, 9/15/41		2,294,269		80,531
Series 4381, Class SK, 5.975%, (6.15% - 1 mo. USD LIBOR), 6/15/44(1)		4,205,924		469,076
Series 4388, Class MS, 5.925%, (6.10% - 1 mo. USD LIBOR), 9/15/44(1)		5,227,806		847,096
Series 4408, Class IP, 3.50%, 4/15/44		6,396,698		401,569
Series 4452, Class SP, 6.025%, (6.20% - 1 mo. USD LIBOR), 10/15/43(1)		6,949,817		346,260
Series 4497, Class CS, 6.025%, (6.20% - 1 mo. USD LIBOR), 9/15/44(1)		12,760,338		1,041,369
Series 4507, Class MI, 3.50%, 8/15/44		7,224,640		225,313
Series 4507, Class SJ, 6.005%, (6.18% - 1 mo. USD LIBOR), 9/15/45(1)		8,593,355		1,637,382
Series 4520, Class PI, 4.00%, 8/15/45		23,368,693		1,925,868
Series 4526, Class PI, 3.50%, 1/15/42		3,966,743		100,818
Series 4528, Class BS, 5.975%, (6.15% - 1 mo. USD LIBOR), 7/15/45(1)		6,892,345		740,167

1

Security	Principal Amount		Value
Series 4629, Class QI, 3.50%, 11/15/46	$	8,377,642	$	443,113
Series 4637, Class IP, 3.50%, 4/15/44		3,408,642		101,714
Series 4644, Class TI, 3.50%, 1/15/45		7,117,273		306,642
Series 4653, Class PI, 3.50%, 7/15/44		2,614,563		37,841
Series 4667, Class PI, 3.50%, 5/15/42		14,723,430		341,397
Series 4672, Class LI, 3.50%, 1/15/43		6,925,270		172,846
Series 4744, Class IO, 4.00%, 11/15/47		6,236,729		537,509
Series 4749, Class IL, 4.00%, 12/15/47		4,825,504		424,874
Series 4767, Class IM, 4.00%, 5/15/45		7,907,810		196,540
Series 4768, Class IO, 4.00%, 3/15/48		6,038,667		553,604
Principal Only:(3)
Series 4417, Class KO, 0.00%, 12/15/43		1,508,154		1,378,103
Series 4478, Class PO, 0.00%, 5/15/45		2,452,595		2,337,656
			$	44,060,031
Federal National Mortgage Association:
Series G94-7, Class PJ, 7.50%, 5/17/24	$	151,126	$	164,574
Series 1994-42, Class K, 6.50%, 4/25/24		97,169		105,278
Series 2009-62, Class WA, 5.569%, 8/25/39(4)		1,430,452		1,592,522
Series 2013-6, Class TA, 1.50%, 1/25/43		1,716,771		1,722,845
Series 2017-66, Class ZJ, 3.00%, 9/25/57		2,475,731		2,474,567
Series 2017-76, Class Z, 3.00%, 10/25/57		1,175,368		1,174,829
Series 2019-50, Class NZ, 3.50%, 9/25/49		1,938,207		1,938,378
Series 2019-54, Class Z, 3.50%, 9/25/49		1,163,386		1,162,910
Series 2019-64, Class ZN, 3.50%, 11/25/49		6,283,789		6,293,745
Interest Only:(2)
Series 2004-46, Class SI, 5.828%, (6.00% - 1 mo. USD LIBOR), 5/25/34(1)		2,689,981		469,359
Series 2005-17, Class SA, 6.528%, (6.70% - 1 mo. USD LIBOR), 3/25/35(1)		1,870,342		451,810
Series 2005-71, Class SA, 6.578%, (6.75% - 1 mo. USD LIBOR), 8/25/25(1)		981,709		77,642
Series 2005-105, Class S, 6.528%, (6.70% - 1 mo. USD LIBOR), 12/25/35(1)		1,588,445		382,344
Series 2006-44, Class IS, 6.428%, (6.60% - 1 mo. USD LIBOR), 6/25/36(1)		1,357,027		323,575
Series 2006-65, Class PS, 7.048%, (7.22% - 1 mo. USD LIBOR), 7/25/36(1)		1,365,449		356,596
Series 2006-96, Class SN, 7.028%, (7.20% - 1 mo. USD LIBOR), 10/25/36(1)		1,714,483		375,503
Series 2006-104, Class SD, 6.468%, (6.64% - 1 mo. USD LIBOR), 11/25/36(1)		1,368,476		314,891
Series 2006-104, Class SE, 6.458%, (6.63% - 1 mo. USD LIBOR), 11/25/36(1)		912,317		209,588
Series 2007-50, Class LS, 6.278%, (6.45% - 1 mo. USD LIBOR), 6/25/37(1)		2,244,687		497,970
Series 2008-26, Class SA, 6.028%, (6.20% - 1 mo. USD LIBOR), 4/25/38(1)		2,528,726		570,733
Series 2008-61, Class S, 5.928%, (6.10% - 1 mo. USD LIBOR), 7/25/38(1)		4,336,162		857,884
Series 2010-124, Class SJ, 5.878%, (6.05% - 1 mo. USD LIBOR), 11/25/38(1)		884,875		22,832
Series 2010-135, Class SD, 5.828%, (6.00% - 1 mo. USD LIBOR), 6/25/39(1)		2,230,013		81,126
Series 2011-101, Class IC, 3.50%, 10/25/26		2,959,554		184,674
Series 2011-101, Class IE, 3.50%, 10/25/26		2,157,204		133,591
Series 2011-104, Class IM, 3.50%, 10/25/26		3,708,398		238,847
Series 2012-24, Class S, 5.328%, (5.50% - 1 mo. USD LIBOR), 5/25/30(1)		1,092,322		27,822
Series 2012-52, Class DI, 3.50%, 5/25/27		5,960,183		423,164
Series 2012-56, Class SU, 6.578%, (6.75% - 1 mo. USD LIBOR), 8/25/26(1)		121,147		1,078
Series 2012-63, Class EI, 3.50%, 8/25/40		5,247,964		67,547
Series 2012-73, Class MS, 5.878%, (6.05% - 1 mo. USD LIBOR), 5/25/39(1)		2,293,677		29,806
Series 2012-76, Class GS, 5.878%, (6.05% - 1 mo. USD LIBOR), 9/25/39(1)		2,004,490		47,593
Series 2012-86, Class CS, 5.928%, (6.10% - 1 mo. USD LIBOR), 4/25/39(1)		1,341,948		23,519
Series 2012-94, Class KS, 6.478%, (6.65% - 1 mo. USD LIBOR), 5/25/38(1)		8,260,124		399,832
Series 2012-94, Class SL, 6.528%, (6.70% - 1 mo. USD LIBOR), 5/25/38(1)		6,195,093		302,147
Series 2012-97, Class PS, 5.978%, (6.15% - 1 mo. USD LIBOR), 3/25/41(1)		7,121,304		460,119
Series 2012-103, Class GS, 5.928%, (6.10% - 1 mo. USD LIBOR), 2/25/40(1)		2,947,368		47,630

2

Security	Principal Amount		Value
Series 2012-112, Class SB, 5.978%, (6.15% - 1 mo. USD LIBOR), 9/25/40(1)	$	5,971,697	$	256,319
Series 2012-124, Class IO, 2.30%, 11/25/42(4)		6,243,426		314,007
Series 2012-139, Class LS, 5.979%, (6.15% - 1 mo. USD LIBOR), 12/25/42(1)		5,962,258		1,073,004
Series 2012-147, Class SA, 5.928%, (6.10% - 1 mo. USD LIBOR), 1/25/43(1)		7,367,872		1,342,406
Series 2012-150, Class PS, 5.978%, (6.15% - 1 mo. USD LIBOR), 1/25/43(1)		6,211,881		1,258,531
Series 2012-150, Class SK, 5.978%, (6.15% - 1 mo. USD LIBOR), 1/25/43(1)		9,628,416		1,748,128
Series 2013-11, Class IO, 4.00%, 1/25/43		17,647,126		2,972,538
Series 2013-12, Class SP, 5.478%, (5.65% - 1 mo. USD LIBOR), 11/25/41(1)		2,275,606		161,775
Series 2013-15, Class DS, 6.028%, (6.20% - 1 mo. USD LIBOR), 3/25/33(1)		7,161,619		1,398,516
Series 2013-23, Class CS, 6.078%, (6.25% - 1 mo. USD LIBOR), 3/25/33(1)		3,793,862		766,760
Series 2013-54, Class HS, 6.128%, (6.30% - 1 mo. USD LIBOR), 10/25/41(1)		3,918,600		285,393
Series 2013-64, Class PS, 6.078%, (6.25% - 1 mo. USD LIBOR), 4/25/43(1)		4,043,837		685,062
Series 2013-66, Class JI, 3.00%, 7/25/43		8,488,311		840,118
Series 2013-75, Class SC, 6.078%, (6.25% - 1 mo. USD LIBOR), 7/25/42(1)		8,428,592		912,206
Series 2014-29, Class IG, 3.50%, 6/25/43		1,971,321		74,650
Series 2014-32, Class EI, 4.00%, 6/25/44		2,322,716		266,616
Series 2014-41, Class SA, 5.878%, (6.05% - 1 mo. USD LIBOR), 7/25/44(1)		5,035,870		955,906
Series 2014-43, Class PS, 5.928%, (6.10% - 1 mo. USD LIBOR), 3/25/42(1)		5,051,719		682,573
Series 2014-55, Class IN, 3.50%, 7/25/44		6,703,381		640,153
Series 2014-64, Class BI, 3.50%, 3/25/44		2,062,871		101,732
Series 2014-67, Class IH, 4.00%, 10/25/44		4,355,767		499,081
Series 2014-80, Class CI, 3.50%, 12/25/44		3,998,928		378,352
Series 2014-89, Class IO, 3.50%, 1/25/45		6,389,402		442,663
Series 2015-6, Class IM, 1.00%, (5.33% - 1 mo. USD LIBOR x 1.33, Cap 1.00%), 6/25/43(1)		21,932,474		256,415
Series 2015-14, Class KI, 3.00%, 3/25/45		8,837,489		731,874
Series 2015-17, Class SA, 6.028%, (6.20% - 1 mo. USD LIBOR), 11/25/43(1)		6,181,104		396,286
Series 2015-22, Class GI, 3.50%, 4/25/45		3,891,365		377,557
Series 2015-31, Class SG, 5.928%, (6.10% - 1 mo. USD LIBOR), 5/25/45(1)		10,114,803		1,226,172
Series 2015-36, Class IL, 3.00%, 6/25/45		4,826,159		380,199
Series 2015-52, Class MI, 3.50%, 7/25/45		11,236,542		1,047,414
Series 2015-93, Class BS, 5.978%, (6.15% - 1 mo. USD LIBOR), 8/25/45(1)		6,843,232		834,964
Series 2017-46, Class NI, 3.00%, 8/25/42		8,876,412		167,431
Series 2018-21, Class IO, 3.00%, 4/25/48		16,895,015		1,108,913
			$	48,592,584
Government National Mortgage Association:
Series 2017-101, Class NS, 5.00%, (20.00% - 1 mo. USD LIBOR x 5.00, Cap 5.00%), 7/20/47(1)	$	623,350	$	627,461
Series 2017-115, Class ZA, 3.00%, 7/20/47		901,798		903,543
Series 2019-110, Class ZD, 3.50%, 9/20/49		9,871,307		9,886,071
Series 2019-117, Class Z, 3.50%, 9/20/49		1,196,385		1,211,383
Series 2019-123, Class Z, 5.00%, 10/20/49		6,332,374		6,333,185
Series 2019-158, Class ZJ, 3.50%, 12/20/49		17,040,088		17,093,327
Interest Only:(2)
Series 2014-68, Class KI, 2.417%, 10/20/42(4)		6,246,443		278,097
Series 2017-104, Class SD, 6.013%, (6.20% - 1 mo. USD LIBOR), 7/20/47(1)		11,927,687		1,994,450
Series 2017-121, Class DS, 4.313%, (4.50% - 1 mo. USD LIBOR), 8/20/47(1)		9,077,057		979,776
Series 2017-137, Class AS, 4.313%, (4.50% - 1 mo. USD LIBOR), 9/20/47(1)		13,285,069		1,341,222
			$	40,648,515
Total Collateralized Mortgage Obligations (identified cost $198,105,177)			$	133,301,130

3

Mortgage Pass-Throughs — 14.7%
Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
2.825%, (COF + 1.25%), with maturity at 2035(5)	$	341,320	$	345,705
3.00%, with maturity at 2050		34,415,600		36,519,371
4.362%, (COF + 1.25%), with maturity at 2030(5)		115,758		121,158
7.00%, with various maturities to 2036		1,239,774		1,407,714
8.00%, with maturity at 2026		71,036		76,565
			$	38,470,513
Federal National Mortgage Association:
30-Year, 2.50%, TBA(6)	$	50,000,000	$	52,353,517
3.00%, with maturity at 2050		9,886,985		10,482,091
3.426%, (COF + 1.25%), with maturity at 2035(5)		221,959		226,170
3.966%, (COF + 1.77%), with maturity at 2035(5)		819,791		852,228
6.00%, with maturity at 2032		291,657		338,816
6.50%, with maturity at 2036		639,383		726,945
7.00%, with various maturities to 2037		535,597		607,922
8.50%, with maturity at 2032		156,762		184,006
9.50%, with maturity at 2028		64,616		72,203
			$	65,843,898
Government National Mortgage Association:
3.00%, with maturity at 2050	$	80,000,000	$	84,792,200
			$	84,792,200
Total Mortgage Pass-Throughs (identified cost $188,060,083)			$	189,106,611
Commercial Mortgage-Backed Securities — 1.2%
Security	Principal Amount		Value
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class D, 4.706%, 9/15/47(4)(7)	$	3,430,000	$	2,111,225
Series 2014-C25, Class D, 4.093%, 11/15/47(4)(7)		8,045,000		5,476,163
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2013-C11, Class D, 4.498%, 8/15/46(4)(7)		5,000,000		2,036,453
Series 2016-C32, Class D, 3.396%, 12/15/49(4)(7)		1,699,000		1,089,402
WF-RBS Commercial Mortgage Trust
Series 2014-C24, Class D, 3.692%, 11/15/47(7)		8,000,000		4,161,522
Total Commercial Mortgage-Backed Securities (identified cost $24,422,175)			$	14,874,765
Asset-Backed Securities — 13.9%
Security	Principal Amount		Value
Alinea CLO, Ltd.
Series 2018-1A, Class E, 6.272%, (3 mo. USD LIBOR + 6.00%), 7/20/31(7)(8)	$	2,000,000	$	1,695,181
Allegany Park CLO, Ltd.
Series 2019-1A, Class D, 3.972%, (3 mo. USD LIBOR + 3.70%), 1/20/33(7)(8)		3,700,000		3,604,474

4

Security	Principal Amount		Value
AMMC CLO 15, Ltd.
Series 2014-15A, Class ERR, 7.185%, (3 mo. USD LIBOR + 6.91%), 1/15/32(7)(8)	$	3,000,000	$	2,564,702
AMMC CLO XII, Ltd.
Series 2013-12A, Class ER, 6.628%, (3 mo. USD LIBOR + 6.18%), 11/10/30(7)(8)		2,000,000		1,469,053
Ares XL CLO, Ltd.
Series 2016-40A, Class DR, 6.625%, (3 mo. USD LIBOR + 6.35%), 1/15/29(7)(8)		1,000,000		875,752
Ares XXXIIR CLO, Ltd.
Series 2014-32RA, Class D, 6.242%, (3 mo. USD LIBOR + 5.85%), 5/15/30(7)(8)		4,000,000		3,456,930
Ares XXXVR CLO, Ltd.
Series 2015-35RA, Class E, 5.975%, (3 mo. USD LIBOR + 5.70%), 7/15/30(7)(8)		3,000,000		2,583,255
Babson CLO, Ltd.
Series 2016-1A, Class ER, 6.256%, (3 mo. USD LIBOR + 6.00%), 7/23/30(7)(8)		2,000,000		1,573,825
Series 2018-1A, Class D, 5.775%, (3 mo. USD LIBOR + 5.50%), 4/15/31(7)(8)		5,000,000		4,003,399
Bain Capital Credit CLO, Ltd.
Series 2017-2A, Class E, 6.595%, (3 mo. USD LIBOR + 6.35%), 7/25/30(7)(8)		2,250,000		1,882,454
Series 2018-1A, Class E, 5.606%, (3 mo. USD LIBOR + 5.35%), 4/23/31(7)(8)		3,500,000		2,769,532
Barings CLO, Ltd.
Series 2017-1A, Class E, 6.272%, (3 mo. USD LIBOR + 6.00%), 7/18/29(7)(8)		2,900,000		2,517,439
Benefit Street Partners CLO V-B, Ltd.
Series 2018-5BA, Class D, 6.222%, (3 mo. USD LIBOR + 5.95%), 4/20/31(7)(8)		3,000,000		2,439,176
Benefit Street Partners CLO VIII, Ltd.
Series 2015-8A, Class DR, 5.872%, (3 mo. USD LIBOR + 5.60%), 1/20/31(7)(8)		5,000,000		3,844,055
Benefit Street Partners CLO XIV, Ltd.
Series 2018-14A, Class E, 5.622%, (3 mo. USD LIBOR + 5.35%), 4/20/31(7)(8)		3,000,000		2,388,544
Benefit Street Partners CLO XIX, Ltd.
Series 2019-19A, Class D, 4.075%, (3 mo. USD LIBOR + 3.80%), 1/15/33(7)(8)		1,500,000		1,444,322
Benefit Street Partners CLO XVI, Ltd.
Series 2018-16A, Class E, 6.973%, (3 mo. USD LIBOR + 6.70%), 1/17/32(7)(8)		2,000,000		1,764,896
Betony CLO 2, Ltd.
Series 2018-1A, Class D, 5.918%, (3 mo. USD LIBOR + 5.65%), 4/30/31(7)(8)		3,000,000		2,480,958
BlueMountain CLO, Ltd.
Series 2015-3A, Class DR, 5.672%, (3 mo. USD LIBOR + 5.40%), 4/20/31(7)(8)		2,000,000		1,487,217
Series 2016-3A, Class ER, 6.342%, (3 mo. USD LIBOR + 5.95%), 11/15/30(7)(8)		1,000,000		768,492
Series 2018-1A, Class E, 6.218%, (3 mo. USD LIBOR + 5.95%), 7/30/30(7)(8)		750,000		599,659
Canyon Capital CLO, Ltd.
Series 2016-1A, Class ER, 6.025%, (3 mo. USD LIBOR + 5.75%), 7/15/31(7)(8)		4,000,000		3,254,275
Series 2016-2A, Class ER, 6.275%, (3 mo. USD LIBOR + 6.00%), 10/15/31(7)(8)		1,000,000		838,864
Series 2017-1A, Class E, 6.525%, (3 mo. USD LIBOR + 6.25%), 7/15/30(7)(8)		1,000,000		856,446
Series 2018-1A, Class E, 6.025%, (3 mo. USD LIBOR + 5.75%), 7/15/31(7)(8)		2,000,000		1,637,589
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 6.768%, (3 mo. USD LIBOR + 6.50%), 1/14/32(7)(8)		1,000,000		712,599
Series 2014-3RA, Class D, 5.645%, (3 mo. USD LIBOR + 5.40%), 7/27/31(7)(8)		2,000,000		1,489,389
Series 2014-4RA, Class D, 5.925%, (3 mo. USD LIBOR + 5.65%), 7/15/30(7)(8)		3,000,000		2,229,905
Series 2015-5A, Class DR, 6.972%, (3 mo. USD LIBOR + 6.70%), 1/20/32(7)(8)		3,500,000		2,699,446
Series C17A, Class DR, 6.268%, (3 mo. USD LIBOR + 6.00%), 4/30/31(7)(8)		3,000,000		2,424,431
Cole Park CLO, Ltd.
Series 2015-1A, Class ER, 6.872%, (3 mo. USD LIBOR + 6.60%), 10/20/28(7)(8)		2,000,000		1,711,162
Dryden CLO, Ltd.
Series 2018-55A, Class E, 5.675%, (3 mo. USD LIBOR + 5.40%), 4/15/31(7)(8)		1,000,000		841,681
Dryden Senior Loan Fund
Series 2015-40A, Class ER, 6.142%, (3 mo. USD LIBOR + 5.75%), 8/15/31(7)(8)		2,000,000		1,735,738
Series 2016-42A, Class ER, 5.825%, (3 mo. USD LIBOR + 5.55%), 7/15/30(7)(8)		2,000,000		1,637,110

5

Security	Principal Amount		Value
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class DR, 2.922%, (3 mo. USD LIBOR + 2.65%), 4/20/31(7)(8)	$	5,000,000	$	4,504,064
Series 2015-21A, Class ER, 5.522%, (3 mo. USD LIBOR + 5.25%), 4/20/31(7)(8)		4,000,000		3,171,112
Galaxy XXV CLO, Ltd.
Series 2018-25A, Class E, 6.195%, (3 mo. USD LIBOR + 5.95%), 10/25/31(7)(8)		2,000,000		1,712,656
Golub Capital Partners CLO 22B, Ltd.
Series 2015-22A, Class ER, 6.272%, (3 mo. USD LIBOR + 6.00%), 1/20/31(7)(8)		3,000,000		2,165,934
Golub Capital Partners CLO 37B, Ltd.
Series 2018-37A, Class E, 6.022%, (3 mo. USD LIBOR + 5.75%), 7/20/30(7)(8)		3,000,000		2,492,956
Golub Capital Partners CLO, Ltd.
Series 2020-48A, Class D, 4.073%, (3 mo. USD LIBOR + 3.80%), 4/17/33(7)(8)		3,000,000		2,645,652
Highbridge Loan Management, Ltd.
Series 3A-2014, Class DR, 6.772%, (3 mo. USD LIBOR + 6.50%), 7/18/29(7)(8)		2,900,000		2,478,269
ICG US CLO, Ltd.
Series 2018-2A, Class E, 6.008%, (3 mo. USD LIBOR + 5.75%), 7/22/31(7)(8)		1,000,000		792,901
Invitation Homes Trust
Series 2018-SFR1, Class E, 2.181%, (1 mo. USD LIBOR + 2.00%), 3/17/37(7)(8)		4,692,359		4,578,931
Series 2018-SFR2, Class E, 2.175%, (1 mo. USD LIBOR + 2.00%), 6/17/37(7)(8)		15,061,248		14,667,782
Series 2018-SFR3, Class E, 2.181%, (1 mo. USD LIBOR + 2.00%), 7/17/37(7)(8)		13,000,000		12,660,383
Jamestown CLO XV, Ltd.
Series 2020-15A, Class D, 4.413%, (3 mo. USD LIBOR + 3.65%), 4/15/33(7)(8)		2,000,000		1,950,112
Madison Park Funding XVII, Ltd.
Series 2015-17A, Class DR, 3.871%, (3 mo. USD LIBOR + 3.60%), 7/21/30(7)(8)		3,500,000		3,432,224
Series 2015-17A, Class ER, 6.771%, (3 mo. USD LIBOR + 6.50%), 7/21/30(7)(8)		5,000,000		4,208,809
Neuberger Berman CLO XXII, Ltd.
Series 2016-22A, Class ER, 6.333%, (3 mo. USD LIBOR + 6.06%), 10/17/30(7)(8)		2,000,000		1,774,463
Neuberger Berman Loan Advisers CLO 30, Ltd.
Series 2018-30A, Class E, 7.022%, (3 mo. USD LIBOR + 6.75%), 1/20/31(7)(8)		2,000,000		1,862,343
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 6.123%, (3 mo. USD LIBOR + 5.85%), 10/17/31(7)(8)		1,500,000		1,320,930
Series 2015-1A, Class DR2, 6.624%, (3 mo. USD LIBOR + 6.25%), 5/21/29(7)(8)		2,000,000		1,815,435
Series 2018-1A, Class D, 5.422%, (3 mo. USD LIBOR + 5.15%), 4/18/31(7)(8)		4,000,000		3,392,217
Series 2018-2A, Class D, 5.871%, (3 mo. USD LIBOR + 5.60%), 7/16/31(7)(8)		2,500,000		2,198,184
Pnmac GMSR Issuer Trust
Series 2018-GT1, Class A, 3.022%, (1 mo. USD LIBOR + 2.85%), 2/25/23(7)(8)		5,000,000		4,913,475
Series 2018-GT2, Class A, 2.822%, (1 mo. USD LIBOR + 2.65%), 8/25/25(7)(8)		4,272,000		4,086,568
Recette CLO, Ltd.
Series 2015-1A, Class F, 7.722%, (3 mo. USD LIBOR + 7.45%), 10/20/27(7)(8)		2,000,000		1,510,821
Regatta IX Funding, Ltd.
Series 2017-1A, Class E, 6.273%, (3 mo. USD LIBOR + 6.00%), 4/17/30(7)(8)		3,000,000		2,586,258
Regatta XIII Funding, Ltd.
Series 2018-2A, Class D, 6.225%, (3 mo. USD LIBOR + 5.95%), 7/15/31(7)(8)		3,000,000		2,515,291
Regatta XIV Funding, Ltd.
Series 2018-3A, Class E, 6.195%, (3 mo. USD LIBOR + 5.95%), 10/25/31(7)(8)		2,000,000		1,697,240
Regatta XV Funding, Ltd.
Series 2018-4A, Class D, 6.745%, (3 mo. USD LIBOR + 6.50%), 10/25/31(7)(8)		2,000,000		1,746,289
THL Credit Wind River CLO, Ltd.
Series 2013-1A, Class DR, 6.572%, (3 mo. USD LIBOR + 6.30%), 7/20/30(7)(8)		2,037,589		1,427,698
Series 2017-1A, Class E, 6.692%, (3 mo. USD LIBOR + 6.42%), 4/18/29(7)(8)		2,000,000		1,730,793
Upland CLO, Ltd.
Series 2016-1A, Class DR, 6.172%, (3 mo. USD LIBOR + 5.90%), 4/20/31(7)(8)		2,000,000		1,676,971

6

Security	Principal Amount		Value
Vibrant CLO IX, Ltd.
Series 2018-9A, Class D, 6.522%, (3 mo. USD LIBOR + 6.25%), 7/20/31(7)(8)	$	2,000,000	$	1,455,725
Voya CLO, Ltd.
Series 2013-1A, Class DR, 6.755%, (3 mo. USD LIBOR + 6.48%), 10/15/30(7)(8)		5,000,000		4,008,246
Series 2014-1A, Class DR2, 6.272%, (3 mo. USD LIBOR + 6.00%), 4/18/31(7)(8)		2,000,000		1,563,509
Series 2015-3A, Class DR, 6.472%, (3 mo. USD LIBOR + 6.20%), 10/20/31(7)(8)		2,000,000		1,636,492
Series 2018-2A, Class E, 5.525%, (3 mo. USD LIBOR + 5.25%), 7/15/31(7)(8)		1,000,000		804,427
Wellfleet CLO, Ltd.
Series 2020-1A, Class C, 4.882%, (3 mo. USD LIBOR + 3.70%), 4/15/33(7)(8)		3,000,000		2,909,567
Total Asset-Backed Securities (identified cost $205,226,334)			$	178,376,677
U.S. Government Guaranteed Small Business Administration Loans(9)(10) — 3.8%
Security	Principal Amount		Value
0.66%, 3/15/30	$	2,745,962	$	63,991
0.73%, 7/15/31		3,129,525		77,127
0.93%, 5/15/42		1,634,716		55,488
0.98%, 4/15/32		1,530,705		48,918
1.31%, 4/15/42 to 7/15/42		5,910,356		301,524
1.34%, 9/15/41		1,909,564		91,613
1.38%, 6/15/41		3,131,439		146,534
1.48%, 4/15/34		1,161,980		55,977
1.49%, 7/15/36		1,152,163		49,665
1.56%, 7/15/42		2,496,993		144,251
1.59%, 10/21/36		1,267,014		58,657
1.61%, 12/15/41 to 7/15/42		7,414,745		450,673
1.63%, 9/15/41		1,985,036		120,124
1.68%, 4/15/41 to 7/15/41		3,680,097		228,399
1.73%, 10/15/33 to 11/21/41		3,032,926		179,137
1.74%, 5/15/36		3,591,544		178,712
1.81%, 12/21/41 to 11/15/42		7,888,614		526,241
1.84%, 11/9/36 to 2/15/40		3,019,518		168,945
1.86%, 12/28/41 to 6/15/42		18,501,455		1,262,018
1.91%, 2/15/42 to 7/15/42		10,270,909		764,910
1.93%, 7/15/42		1,751,220		127,820
1.96%, 11/29/30 to 8/15/42		5,110,438		358,061
1.98%, 10/15/37		1,056,793		57,747
2.03%, 2/15/42 to 5/15/42		4,713,463		410,799
2.06%, 5/15/42 to 7/15/42		5,101,273		391,912
2.11%, 4/15/33 to 7/15/42		7,150,529		534,960
2.16%, 5/15/42 to 6/15/42		3,975,638		303,429
2.21%, 8/15/42		3,266,953		261,605
2.23%, 1/15/41 to 7/15/41		2,795,495		226,420
2.28%, 11/1/29		1,349,063		85,676
2.31%, 4/15/42 to 7/15/42		5,209,818		480,743
2.36%, 1/16/42 to 6/15/42		18,717,679		1,633,640
2.38%, 6/15/42		1,651,319		141,801
2.39%, 7/15/40		1,415,706		104,511

7

Security	Principal Amount		Value
2.41%, 1/15/38 to 7/15/42	$	16,553,246	$	1,475,260
2.43%, 3/15/41 to 1/5/42		3,118,979		273,893
2.46%, 12/15/26 to 8/15/42		13,151,187		1,179,086
2.48%, 2/23/41		1,117,538		102,656
2.56%, 1/15/41 to 7/15/42		3,276,879		326,206
2.59%, 4/15/36		1,394,584		103,828
2.61%, 6/15/33 to 7/15/42		7,130,977		677,484
2.63%, 4/15/41		1,247,645		120,122
2.66%, 3/15/42 to 6/15/42		4,638,456		476,200
2.68%, 4/15/41 to 4/15/42		3,490,509		360,934
2.71%, 5/15/27 to 9/15/42		20,719,646		2,106,688
2.73%, 8/15/42		1,229,931		129,098
2.86%, 5/15/32 to 7/15/42		16,527,620		1,788,101
2.88%, 10/25/41 to 1/7/43(11)		33,361,789		3,662,128
2.89%, 8/15/40		1,032,008		93,372
2.91%, 12/15/41 to 7/15/42		13,106,745		1,500,115
2.93%, 4/15/41 to 7/15/42		4,202,319		431,977
2.95%, 1/15/42 to 3/15/43(11)		20,960,025		2,539,754
2.96%, 2/15/27 to 1/15/43		13,284,226		1,310,899
2.98%, 2/15/41 to 7/15/42		10,062,266		1,220,789
3.03%, 7/15/41 to 6/15/42		2,480,023		280,259
3.11%, 12/15/41 to 8/15/42		8,497,079		962,794
3.13%, 6/15/32		630,064		61,313
3.16%, 5/15/42 to 1/15/43		15,900,331		2,004,571
3.19%, 8/15/39		1,544,578		156,390
3.21%, 12/15/26 to 10/15/42		16,678,676		1,947,713
3.23%, 2/15/41 to 4/15/42		4,431,259		455,590
3.24%, 7/15/28 to 4/15/42		2,724,426		254,395
3.28%, 6/21/26 to 7/15/42		6,514,759		677,989
3.36%, 3/15/42 to 5/15/42		3,133,736		406,033
3.41%, 4/15/42 to 12/15/42		5,700,978		769,186
3.43%, 11/7/39 to 9/15/41		1,566,603		176,001
3.46%, 2/15/27 to 8/15/42		13,584,144		1,444,120
3.48%, 5/15/36 to 7/15/42		3,419,120		426,245
3.53%, 6/15/26 to 8/15/42		3,118,810		312,247
3.61%, 5/15/32 to 6/15/42		10,880,570		1,543,579
3.64%, 8/15/41 to 12/15/41		3,711,687		533,603
3.66%, 5/15/42 to 7/15/42		9,208,805		1,363,753
3.68%, 11/15/31 to 5/15/42		3,954,326		525,677
3.71%, 1/15/24 to 8/15/42		31,576,309		3,491,349
3.73%, 12/15/36 to 1/15/37		3,091,011		336,339
3.78%, 11/15/26 to 6/15/42		8,942,277		1,020,830
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $53,095,751)			$	49,120,594

8

Sovereign Loans — 0.1%
Borrower	Principal Amount (000’s omitted)		Value
Nigeria — 0.1%
Bank of Industry Limited, Term Loan, 6.27%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(8)(12)	$	679	$	666,953
Total Sovereign Loans (identified cost $677,923)			$	666,953

Foreign Government Bonds — 19.9%
Security		Principal Amount (000’s omitted)		Value
Iceland — 3.2%
Republic of Iceland, 5.00%, 11/15/28	ISK		1,278,572	$	11,178,329
Republic of Iceland, 6.50%, 1/24/31	ISK		1,622,639		16,326,744
Republic of Iceland, 8.00%, 6/12/25	ISK		1,465,382		13,851,649
Total Iceland				$	41,356,722
Indonesia — 0.7%
Indonesia Government Bond, 7.50%, 4/15/40	IDR		74,225,000	$	5,149,995
Indonesia Government Bond, 8.375%, 4/15/39	IDR		45,746,000		3,429,070
Total Indonesia				$	8,579,065
New Zealand — 6.9%
New Zealand Government Bond, 2.00%, 9/20/25(13)(14)	NZD		44,369	$	32,713,211
New Zealand Government Bond, 2.50%, 9/20/35(13)(14)	NZD		621		565,824
New Zealand Government Bond, 3.00%, 9/20/30(13)(14)	NZD		64,209		55,939,026
Total New Zealand				$	89,218,061
Peru — 1.7%
Peru Government Bond, 5.94%, 2/12/29(7)(13)	PEN		22,547	$	7,661,716
Peru Government Bond, 6.15%, 8/12/32(7)(13)	PEN		37,752		12,688,659
Peru Government Bond, 6.95%, 8/12/31	PEN		5,285		1,895,546
Total Peru				$	22,245,921
Russia — 0.8%
Russia Government Bond, 2.50%, 2/2/28(14)	RUB		767,396	$	10,313,685
Total Russia				$	10,313,685
Serbia — 1.2%
Serbia Treasury Bond, 5.75%, 7/21/23	RSD		1,240,450	$	13,752,150
Serbia Treasury Bond, 5.875%, 2/8/28	RSD		97,420		1,158,228
Total Serbia				$	14,910,378
Thailand — 2.5%
Thailand Government Bond, 1.25%, 3/12/28(13)(14)	THB		1,047,279	$	31,974,033
Total Thailand				$	31,974,033

9

Security		Principal Amount (000’s omitted)		Value
Ukraine — 2.9%
Ukraine Government Bond, 16.00%, 8/11/21	UAH		151,050	$	5,711,352
Ukraine Government Bond, 16.06%, 8/3/22	UAH		25,000		981,569
Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(7)(13)(15)	USD		11,342		10,014,419
Ukraine Government International Bond, 11.67%, 11/22/23	UAH		25,000		894,193
Ukraine Government International Bond, 15.84%, 2/26/25	UAH		255,480		10,323,327
Ukraine Government International Bond, 17.00%, 5/11/22	UAH		238,050		9,390,546
Total Ukraine				$	37,315,406
Total Foreign Government Bonds (identified cost $241,846,415)				$	255,913,271
Foreign Corporate Bonds — 4.2%
Security		Principal Amount (000’s omitted)		Value
Argentina — 0.3%
Generacion Mediterranea S.A./Central Termica Roca S.A., 15.00%, 5/5/23(7)(16)	USD		1,250	$	830,536
Pampa Energia S.A., 7.50%, 1/24/27(13)	USD		600		516,915
Telecom Argentina S.A., 8.00%, 7/18/26(13)	USD		1,900		1,802,730
Total Argentina				$	3,150,181
Belarus — 0.1%
Eurotorg, LLC Via Bonitron DAC, 8.75%, 10/30/22(13)	USD		500	$	507,000
Total Belarus				$	507,000
Bermuda — 0.2%
Liberty Latin America, Ltd., 2.00%, 7/15/24	USD		3,085	$	2,649,312
Total Bermuda				$	2,649,312
Brazil — 0.1%
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(13)	USD		1,549	$	1,355,715
Total Brazil				$	1,355,715
Bulgaria — 0.1%
Eurohold Bulgaria AD, 6.50%, 12/7/22(13)	EUR		1,200	$	1,413,060
Total Bulgaria				$	1,413,060
Canada — 0.1%
Gran Tierra Energy International Holdings, Ltd., 6.25%, 2/15/25(7)	USD		278	$	125,014
Gran Tierra Energy International Holdings, Ltd., 6.25%, 2/15/25(13)	USD		2,238		1,006,406
Total Canada				$	1,131,420

10

Security		Principal Amount (000’s omitted)		Value
China — 0.2%
CIFI Holdings Group Co., Ltd., 5.50%, 1/23/22(13)	USD		500	$	508,148
Logan Property Holdings Co., Ltd., 6.875%, 4/24/21(13)	USD		500		508,750
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(13)	USD		1,300		1,390,063
Times China Holdings, Ltd., 6.25%, 1/17/21(13)	USD		500		502,489
Total China				$	2,909,450
Colombia — 0.1%
Frontera Energy Corp., 9.70%, 6/25/23(13)	USD		1,333	$	1,076,397
Total Colombia				$	1,076,397
El Salvador — 0.2%
AES El Salvador Trust II, 6.75%, 3/28/23(13)	USD		2,554	$	2,394,107
Total El Salvador				$	2,394,107
Georgia — 0.2%
Georgia Capital JSC, 6.125%, 3/9/24(13)	USD		1,850	$	1,739,000
Silknet JSC, 11.00%, 4/2/24(13)	USD		1,159		1,205,163
Total Georgia				$	2,944,163
Iceland — 0.4%
Arion Banki HF, 6.00%, 4/12/24(13)	ISK		440,000	$	3,673,362
Islandsbanki HF, 6.40%, 10/26/23	ISK		120,000		1,000,169
Landsbankinn HF, 5.00%, 11/23/23(13)	ISK		120,000		962,355
WOW Air HF, 0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(16)(17)	EUR		900		0
WOW Air HF, 0.00% (16) (17) (18)	EUR		20		0
Total Iceland				$	5,635,886
Indonesia — 0.1%
Bayan Resources Tbk PT, 6.125%, 1/24/23(13)	USD		1,660	$	1,597,344
Total Indonesia				$	1,597,344
Ireland — 0.2%
Aragvi Finance International DAC, 12.00%, 4/9/24(13)	USD		2,000	$	2,080,000
Total Ireland				$	2,080,000
Kazakhstan — 0.0%(19)
Tengizchevroil Finance Co. International, Ltd., 3.25%, 8/15/30(13)	USD		490	$	500,554
Total Kazakhstan				$	500,554
Lebanon — 0.0%(19)
BLOM Bank SAL, 7.50%, 5/4/23(13)	USD		800	$	357,680
Total Lebanon				$	357,680

11

Security		Principal Amount (000’s omitted)		Value
Mexico — 0.3%
Braskem Idesa SAPI, 7.45%, 11/15/29(13)	USD		2,170	$	1,904,175
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(13)	USD		1,962		968,276
Petroleos Mexicanos, 5.95%, 1/28/31(13)	USD		1,500		1,291,958
Total Mexico				$	4,164,409
Netherlands — 0.4%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(13)	USD		2,200	$	2,057,000
Metinvest BV, 5.625%, 6/17/25(13)	EUR		840		894,736
Metinvest BV, 7.75%, 4/23/23(13)	USD		461		457,579
Metinvest BV, 8.50%, 4/23/26(13)	USD		506		498,709
Petrobras Global Finance BV, 6.90%, 3/19/49	USD		1,530		1,705,621
Total Netherlands				$	5,613,645
Nigeria — 0.2%
SEPLAT Petroleum Development Co. PLC, 9.25%, 4/1/23(13)	USD		2,000	$	2,015,000
Total Nigeria				$	2,015,000
Paraguay — 0.1%
Frigorifico Concepcion S.A., 10.25%, 1/29/25(13)	USD		1,700	$	1,678,223
Total Paraguay				$	1,678,223
Peru — 0.1%
Telefonica del Peru S.A., 7.375%, 4/10/27(13)	PEN		3,500	$	1,002,759
Total Peru				$	1,002,759
Russia — 0.1%
Petropavlovsk 2016 Ltd., 8.125%, 11/14/22(13)	USD		1,231	$	1,295,879
Total Russia				$	1,295,879
Saint Lucia — 0.1%
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(13)	USD		1,503	$	1,519,909
Total Saint Lucia				$	1,519,909
Saudi Arabia — 0.2%
Dar Al-Arkan Sukuk Co., Ltd., 6.75%, 2/15/25(13)	USD		550	$	485,457
Dar Al-Arkan Sukuk Co., Ltd., 6.875%, 4/10/22(13)	USD		1,500		1,466,685
Total Saudi Arabia				$	1,952,142
Singapore — 0.1%
Alam Synergy Pte Ltd., 6.625%, 4/24/22(13)	USD		1,000	$	463,370
TBLA International Pte Ltd., 7.00%, 1/24/23(13)	USD		1,000		859,064
Total Singapore				$	1,322,434

12

Security		Principal Amount (000’s omitted)		Value
Spain — 0.1%
Atento Luxco 1 S.A., 6.125%, 8/10/22(13)	USD		1,517	$	1,418,395
Total Spain				$	1,418,395
Turkey — 0.0%(19)
QNB Finansbank AS, 6.875%, 9/7/24(13)	USD		530	$	539,275
Total Turkey				$	539,275
Ukraine — 0.1%
Kernel Holding S.A., 8.75%, 1/31/22(13)	USD		1,500	$	1,553,415
Total Ukraine				$	1,553,415
United Kingdom — 0.1%
Ellaktor Value PLC, 6.375%, 12/15/24(13)	EUR		1,050	$	972,558
Total United Kingdom				$	972,558
Uzbekistan — 0.0%(19)
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(13)	UZS		3,000,000	$	292,635
Total Uzbekistan				$	292,635
Total Foreign Corporate Bonds (identified cost $57,282,868)				$	55,042,947

Corporate Bonds & Notes — 0.0%(19)
Security	Principal Amount (000’s omitted)		Value
Oil & Gas — 0.0%(19)
HKN Energy, Ltd., 11.00%, 3/6/24	$	500	$	497,500
Total Corporate Bonds & Notes (identified cost $500,000)			$	497,500
Common Stocks — 0.3%
Security	Shares		Value
Iceland — 0.3%
Arion Banki HF(7) (20)		2,497,017	$	1,221,622
Eik Fasteignafelag HF(20)		3,180,300		160,227
Eimskipafelag Islands HF(20)		326,400		343,714
Hagar HF(20)		1,349,100		483,107
Reginn HF(20)		1,843,700		225,757
Reitir Fasteignafelag HF		875,500		333,921

13

Security		Shares		Value
Siminn HF			13,623,900	$	618,564
Total Iceland				$	3,386,912
Total Common Stocks (identified cost $5,902,392)				$	3,386,912
Loan Participation Notes — 0.0%(19)
Security		Principal Amount (000’s omitted)		Value
Uzbekistan — 0.0%(19)
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(13)(16)(21)	UZS		2,619,000	$	264,399
Europe Asia Investment Finance BV (borrower – Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(13)(16)(21)	UZS		2,952,000		296,486
Total Uzbekistan				$	560,885
Total Loan Participation Notes (identified cost $559,668)				$	560,885
Closed-End Funds — 1.0%
Security		Shares		Value
BlackRock Multi-Sector Income Trust			156,650	$	2,376,380
Nuveen Global High Income Fund			83,400		1,150,086
PGIM Global High Yield Fund, Inc.			430,326		5,671,697
Western Asset High Income Opportunity Fund, Inc.			804,975		3,928,278
Total Closed-End Funds (identified cost $13,337,045)				$	13,126,441

Exchange-Traded Funds — 5.0%
Security	Shares		Value
VanEck Vectors Fallen Angel High Yield Bond ETF		2,088,000	$	63,976,320
Total Exchange-Traded Funds (identified cost $56,624,096)			$	63,976,320
Reinsurance Side Cars — 2.7%
Security	Principal Amount/ Shares		Value
Altair VI Reinsurance(16) (20) (22) (23)		1,000	$	214,500
Blue Lotus Re, Ltd.(16) (20) (22) (23)		242		374,999
Eden Re II, Ltd., Series 2018A, 0.00%, 3/22/22(7)(16)(22)	$	7,471		81,381
Eden Re II, Ltd., Series 2018B, 0.00%, 3/22/22(7)(16)(22)	$	8,667		235,218
Eden Re II, Ltd., Series 2019A, 0.00%, 3/22/23(7)(16)(22)	$	5,000		43,189

14

Security		Principal Amount/ Shares		Value
Eden Re II, Ltd., Series 2019B, 0.00%, 3/22/23(7)(16)(22)		$	95,000	$	842,992
Eden Re II, Ltd., Series 2020A, 0.00%, 3/22/24(7)(16)(22)		$	9,900,000		10,497,960
Mt. Logan Re, Ltd., Series 13, Preference Shares(16)(20)(22)(23)			10,000		8,967,295
Mt. Logan Re, Ltd., Special Investment Series 13, 12/18(16)(20)(22)(23)			2,000		626,059
Mt. Logan Re, Ltd., Special Investment Series 13, 12/19(16)(20)(22)(23)			1,829		1,627,143
Sussex Capital, Ltd., Designated Investment Series 5, 5/19(16)(20)(22)(23)			249		37,818
Sussex Capital, Ltd., Designated Investment Series 5, 12/19(16)(20)(22)(23)			791		264,663
Sussex Capital, Ltd., Designated Investment Series 5, 6/20(16)(20)(22)(23)			434		434,117
Sussex Capital, Ltd., Series 5, Preference Shares(16)(20)(22)(23)			6,000		5,828,648
Sussex Re, Ltd., Series 2020A(16)(20)(22)(23)			4,081,939		4,204,397
Versutus Re, Ltd., Series 2019(16)(20)(22)(23)			234,323		259,630
Total Reinsurance Side Cars (identified cost $32,574,324)				$	34,540,009
U.S. Treasury Obligations — 3.2%
Security		Principal Amount		Value
U.S. Treasury Inflation-Protected Note, 0.50%, 4/15/24(24)		$	38,833,738	$	41,269,630
Total U.S. Treasury Obligations (identified cost $39,223,718)				$	41,269,630
Short-Term Investments — 27.5%
Foreign Government Securities — 1.3%
Security		Principal Amount (000’s omitted)		Value
Egypt — 1.3%
Egypt Treasury Bill, 0.00%, 11/3/20	EGP		277,000	$	16,876,605
Total Egypt				$	16,876,605
Total Foreign Government Securities (identified cost $16,801,656)				$	16,876,605
U.S. Treasury Obligations — 0.5%
Security		Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 8/13/20(25)		$	7,000	$	6,999,859
Total U.S. Treasury Obligations (identified cost $6,999,703)				$	6,999,859

15

Other — 25.7%
Description	Units			Value
Eaton Vance Cash Reserves Fund, LLC, 0.22%(26)		329,816,809		$	329,783,827
Total Other (identified cost $329,819,502)				$	329,783,827
Total Short-Term Investments (identified cost $353,620,861)				$	353,660,291
Total Purchased Options and Swaptions — 0.2% (identified cost $2,944,923)				$	2,306,346
Total Investments — 108.1% (identified cost $1,474,003,753)				$	1,389,727,282
Total Written Options and Swaptions — (0.1)% (premiums received $806,571)				$	(648,800	)
Securities Sold Short — (0.4)%
Common Stocks — (0.4)%
Security	Shares			Value
Ashmore Group PLC		(1,119,000	)	$	(5,724,446	)
Total Common Stocks				$	(5,724,446	)
Total Securities Sold Short (proceeds $7,195,403)				$	(5,724,446	)
Other Assets, Less Liabilities — (7.6)%				$	(97,888,740	)
Net Assets — 100.0%				$	1,285,465,296

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.

(1) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2020.

(2) Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

(3) Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

(4) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2020.

(5) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at July 31, 2020.

16

(6) TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement.

(7) Security exempt from registration pursuant to Rule 144A under 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 July 31, 2020, the aggregate value of these securities is $237,494,148 or 18.5% of the Portfolio’s net assets.

(8) Variable rate security. The stated interest rate represents the rate in effect at July 31, 2020.

(9) Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated.

(10) Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust.

(11) The stated interest rate represents the weighted average fixed interest rate at July 31, 2020 of all interest only securities comprising the certificate.

(12) Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

(13) Security exempt from registration under Regulation S of the Securities Act of 1933, 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. At July 31, 2020, the aggregate value of these securities is $200,850,068 or 15.6% of the Portfolio’s net assets.

(14) 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.

(15) Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

(16) For fair value measurement disclosure purposes, security is categorized as Level 3.

(17) Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(18) Perpetual security with no stated maturity date but may be subject to calls by the issuer.

(19) Amount is less than 0.05% or (0.05)%, as applicable.

(20) Non-income producing security.

(21) 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.

(22) Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period.

(23) Restricted security.

(24) Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal.

(25) Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

(26) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2020.

17

Purchased Currency Options — 0.1%

Description	Counterparty	Notional Amount		Exercise Price		Expiration Date		Value
Call EUR/Put USD	Goldman Sachs International	USD	82,000,000	USD	1.24		7/28/21	$	1,137,996
Total								$	1,137,996

Purchased Interest Rate Swaptions — 0.0%⁽¹⁹⁾

Description	Counterparty	Notional Amount	Expiration Date		Value
Option to enter into interest rate swap expiring 3/5/51 to receive 3-month USD-LIBOR Rate and pay 1.70%	The Toronto-Dominion Bank	$12,500,000		3/3/21	$74,949
Total					$74,949

Purchased Call Options — 0.1%

Description	Counterparty	Notional Amount		Spread	Expiration Date		Value
2-year 10 Constant Maturity Swap Curve Cap	Goldman Sachs International	USD	320,000,000	0.74%		7/5/22	$	345,978
2-year 10 Constant Maturity Swap Curve Cap	Morgan Stanley & Co. International PLC	USD	450,000,000	0.45		6/21/21	$	747,423
Total							$	1,093,401

Written Currency Options — (0.0)%⁽¹⁹⁾

Description	Counterparty	Notional Amount			Exercise Price			Expiration Date		Value
Call EUR/Put USD	Goldman Sachs International		USD	82,000,000		USD	1.33		7/28/21	$	(291,264	)
Total										$	(291,264	)

Written Interest Rate Swaptions — (0.0)%⁽¹⁹⁾

Description	Counterparty	Notional Amount		Expiration Date	Value
Option to enter into interest rate swap expiring 7/5/32 to pay 3-month USD-LIBOR Rate and receive 0.98%	Goldman Sachs International	USD	17,000,000	6/30/22	$	(357,536	)
Total					$	(357,536	)

Centrally Cleared Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold			Settlement Date		Value/ Unrealized Appreciation (Depreciation)
EUR	23,551,117		USD	27,279,259		8/3/20	$	462,795
EUR	11,690,130		USD	13,540,678		8/3/20		229,719
EUR	990,835		USD	1,115,071		8/3/20		52,084
EUR	965,810		USD	1,086,908		8/3/20		50,768
EUR	2,012,431		USD	2,330,999		8/3/20		39,546

18

Currency Purchased			Currency Sold			Settlement Date		Value/ Unrealized Appreciation (Depreciation)
EUR		1,956,645		USD	2,307,765		8/3/20	$	(2,934	)
EUR		2,012,431		USD	2,373,562		8/3/20		(3,017	)
EUR		11,690,130		USD	13,787,924		8/3/20		(17,528	)
EUR		23,551,117		USD	27,777,365		8/3/20		(35,311	)
USD		27,777,365		EUR	23,551,117		8/3/20		35,311
USD		13,787,924		EUR	11,690,130		8/3/20		17,528
USD		2,373,562		EUR	2,012,431		8/3/20		3,017
USD		1,168,641		EUR	990,835		8/3/20		1,486
USD		1,139,124		EUR	965,810		8/3/20		1,448
USD		2,266,382		EUR	1,956,645		8/3/20		(38,449	)
USD		2,264,760		EUR	2,012,431		8/3/20		(105,785	)
USD		13,155,897		EUR	11,690,130		8/3/20		(614,499	)
USD		26,504,074		EUR	23,551,117		8/3/20		(1,237,980	)
EUR		16,917,608		USD	20,005,071		8/4/20		(76,964	)
USD		19,003,278		EUR	16,917,608		8/4/20		(924,829	)
NZD		12,856,769		USD	8,558,751		8/5/20		(32,125	)
NZD		25,497,061		USD	16,973,394		8/5/20		(63,709	)
USD	��	8,239,746		NZD	12,856,769		8/5/20		(286,880	)
USD		16,340,755		NZD	25,497,061		8/5/20		(568,929	)
PEN		1,888,918		USD	552,558		8/6/20		(18,072	)
USD		12,435,180		PEN	43,128,936		8/6/20		231,476
USD		1,035,605		PEN	3,563,000		8/6/20		27,424
USD		5,211,965		PEN	17,706,607		8/6/20		201,727
USD		4,736,348		PEN	16,090,796		8/6/20		183,319
PHP		154,715,114		USD	3,039,590		8/7/20		108,266
USD		1,020,249		EUR	900,000		8/7/20		(39,972	)
USD		5,639,513		EUR	4,974,827		8/7/20		(220,949	)
USD		15,896,613		EUR	14,023,000		8/7/20		(622,811	)
KRW		12,680,545,233		USD	10,412,837		8/10/20		224,340
KRW		11,591,816,400		USD	9,518,263		8/10/20		205,626
USD		6,741,770		KRW	8,225,296,877		8/10/20		(158,086	)
USD		6,737,629		KRW	8,225,296,878		8/10/20		(162,228	)
USD		6,389,289		KRW	7,821,767,878		8/10/20		(172,064	)
EUR		18,934,884		USD	21,103,610		8/11/20		1,203,968
EUR		16,465,116		USD	18,365,767		8/11/20		1,032,126
USD		38,309,281		EUR	35,326,000		8/11/20		(3,309,009	)
AUD		34,556,272		USD	24,204,042		8/12/20		485,379
USD		9,504,036		AUD	13,568,976		8/12/20		(190,590	)
NZD		9,190,000		USD	6,001,971		8/17/20		92,974
USD		4,683,366		NZD	7,171,000		8/17/20		(72,548	)
NZD		3,184,643		USD	1,907,123		8/19/20		204,985
USD		6,130,397		NZD	10,236,949		8/19/20		(658,917	)
USD		2,199,208		ZAR	37,173,000		8/19/20		28,122
USD		539,048		ZAR	9,388,000		8/19/20		(9,258	)
ZAR		46,561,000		USD	2,746,427		8/19/20		(27,035	)
JPY		46,190,000		USD	431,809		8/20/20		4,617
NZD		4,415,503		USD	2,934,181		8/24/20		(5,728	)
USD		33,118,248		NZD	49,838,000		8/24/20		64,653
JPY		9,944,071,606		USD	92,482,439		8/26/20		1,480,263
USD		78,934,863		JPY	8,487,383,518		8/26/20		(1,263,422	)
USD		9,719,317		RUB	707,784,000		8/31/20		217,585

19

Currency Purchased		Currency Sold			Settlement Date		Value/ Unrealized Appreciation (Depreciation)
KRW	6,616,101,000		USD	5,532,690		9/2/20	$	4,873
USD	20,016,875		EUR	16,917,608		9/2/20		76,588
USD	43,926,365		EUR	37,808,724		9/2/20		(637,668	)
USD	16,973,521		NZD	25,497,061		9/3/20		63,129
USD	8,558,815		NZD	12,856,769		9/3/20		31,832
AUD	15,874,000		USD	11,013,540		9/8/20		329,069
USD	28,978,568		AUD	41,767,296		9/8/20		(865,838	)
USD	3,615,319		IDR	51,879,831,576		9/8/20		109,971
USD	3,456,941		IDR	49,710,805,820		9/8/20		98,146
JPY	1,693,173,953		USD	15,539,052		9/9/20		462,659
NZD	10,443,000		USD	6,834,839		9/10/20		91,271
USD	9,763,027		NZD	14,917,000		9/10/20		(130,373	)
USD	468,076		CAD	635,039		9/18/20		(6,078	)
USD	2,514,015		MXN	57,000,000		9/21/20		(31,514	)
USD	2,345,132		MXN	53,500,000		9/21/20		(44,092	)
USD	64,207		PHP	3,216,000		9/30/20		(1,057	)
GBP	36,927,000		USD	46,060,561		10/5/20		2,293,126
GBP	4,427,508		USD	5,522,612		10/5/20		274,943
KRW	8,916,893,104		USD	7,429,073		10/5/20		34,917
CHF	17,373,525		USD	18,543,232		10/8/20		489,031
JPY	1,369,730,135		USD	12,729,479		10/8/20		220,693
NOK	119,380,840		USD	12,701,684		10/8/20		417,542
NZD	3,276,627		USD	2,146,240		10/8/20		26,914
NZD	706,000		USD	462,441		10/8/20		5,799
USD	6,304,408		NOK	59,254,000		10/8/20		(207,245	)
USD	10,956,436		NZD	16,727,000		10/8/20		(137,394	)
SEK	58,000,799		USD	6,349,815		10/15/20		260,814
KRW	3,182,147,000		USD	2,640,937		10/20/20		22,834
							$	(796,184	)

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	9,673,642	HUF	3,396,730,000	Bank of America, N.A.		8/4/20	$	—	$	(223,086	)
EUR	2,969,872	HUF	1,058,700,000	BNP Paribas		8/4/20		—		(122,809	)
EUR	8,558,636	HUF	3,024,200,000	Standard Chartered Bank		8/4/20		—		(262,308	)
EUR	6,197,089	USD	7,173,025	Bank of America, N.A.		8/4/20		126,840		—
EUR	1,873,673	USD	2,144,693	Bank of America, N.A.		8/4/20		62,402		—
EUR	782,954	USD	887,367	Bank of America, N.A.		8/4/20		34,913		—
EUR	19,512	USD	22,585	Bank of America, N.A.		8/4/20		399		—
EUR	23,551,117	USD	27,345,202	BNP Paribas		8/4/20		396,852		—
EUR	14,257,607	USD	16,554,507	BNP Paribas		8/4/20		240,250		—
EUR	16,917,608	USD	20,005,071	BNP Paribas		8/4/20		—		(76,964	)
EUR	5,493,041	USD	6,284,561	Citibank, N.A.		8/4/20		185,970		—
EUR	1,209,781	USD	1,400,168	Goldman Sachs International		8/4/20		24,894		—
EUR	1,050,000	USD	1,215,242	Goldman Sachs International		8/4/20		21,607		—
EUR	600,018	USD	694,445	Goldman Sachs International		8/4/20		12,347		—

20

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	25,818,651	USD	29,985,136	State Street Bank and Trust Company		8/4/20	$	427,961	$	—
EUR	1,956,645	USD	2,266,421	State Street Bank and Trust Company		8/4/20		38,410		—
EUR	2,012,431	USD	2,262,556	UBS AG		8/4/20		107,988		—
EUR	289,627	USD	325,625	UBS AG		8/4/20		15,542		—
EUR	63,791	USD	71,719	UBS AG		8/4/20		3,423		—
HUF	2,185,050,000	EUR	6,315,396	Barclays Bank PLC		8/4/20		34,509		—
HUF	2,816,803,000	EUR	7,963,144	BNP Paribas		8/4/20		254,388		—
HUF	2,477,777,000	EUR	6,996,801	BNP Paribas		8/4/20		233,090		—
USD	22,337	EUR	19,512	Bank of America, N.A.		8/4/20		—		(647	)
USD	73,837	EUR	63,791	Bank of America, N.A.		8/4/20		—		(1,306	)
USD	5,675,023	EUR	4,902,899	Bank of America, N.A.		8/4/20		—		(100,351	)
USD	20,005,071	EUR	16,917,608	BNP Paribas		8/4/20		76,964		—
USD	434,122	EUR	367,592	BNP Paribas		8/4/20		1,117		—
USD	29,992,752	EUR	25,818,651	BNP Paribas		8/4/20		—		(420,344	)
USD	16,312,057	EUR	14,257,607	Citibank, N.A.		8/4/20		—		(482,701	)
USD	674,847	EUR	600,018	Goldman Sachs International		8/4/20		—		(31,945	)
USD	1,180,947	EUR	1,050,000	Goldman Sachs International		8/4/20		—		(55,902	)
USD	1,360,654	EUR	1,209,781	Goldman Sachs International		8/4/20		—		(64,408	)
USD	2,331,039	EUR	2,012,431	State Street Bank and Trust Company		8/4/20		—		(39,505	)
USD	13,540,911	EUR	11,690,130	State Street Bank and Trust Company		8/4/20		—		(229,485	)
USD	27,279,730	EUR	23,551,117	State Street Bank and Trust Company		8/4/20		—		(462,324	)
USD	3,577,893	CNH	25,603,046	Bank of America, N.A.		8/7/20		—		(84,139	)
USD	3,579,894	CNH	25,603,046	Goldman Sachs International		8/7/20		—		(82,138	)
USD	2,161,911	CNH	15,471,908	UBS AG		8/7/20		—		(51,054	)
USD	2,980,007	PHP	151,500,000	Australia and New Zealand Banking Group Limited		8/7/20		—		(102,433	)
KRW	28,915,710,000	USD	24,193,925	Australia and New Zealand Banking Group Limited		8/10/20		62,252		—
USD	3,124,964	THB	98,827,000	Standard Chartered Bank		8/10/20		—		(44,215	)
USD	19,260,360	THB	618,546,452	Standard Chartered Bank		8/18/20		—		(574,648	)
USD	258,195	UAH	7,254,000	Goldman Sachs International		8/21/20		—		(2,376	)
USD	2,531,846	THB	78,429,000	Standard Chartered Bank		8/24/20		16,894		—
USD	341,466	UAH	9,643,000	BNP Paribas		8/25/20		—		(4,588	)
EUR	8,667,279	HUF	3,024,200,000	Bank of America, N.A.		8/26/20		—		(127,608	)
HUF	3,024,200,000	EUR	8,553,219	Standard Chartered Bank		8/26/20		262,027		—
USD	23,557,985	OMR	9,293,625	BNP Paribas		8/27/20		—		(568,454	)
EUR	4,902,899	USD	5,678,303	Bank of America, N.A.		8/31/20		100,355		—
EUR	63,791	USD	73,879	Bank of America, N.A.		8/31/20		1,306		—
EUR	37,808,724	USD	43,924,285	BNP Paribas		8/31/20		637,856		—
EUR	1,366,381	USD	1,607,577	BNP Paribas		8/31/20		2,867		—
EUR	367,592	USD	434,370	BNP Paribas		8/31/20		—		(1,119	)
USD	22,598	EUR	19,512	Bank of America, N.A.		8/31/20		—		(399	)
USD	7,177,171	EUR	6,197,089	Bank of America, N.A.		8/31/20		—		(126,846	)
USD	16,563,775	EUR	14,257,607	BNP Paribas		8/31/20		—		(240,534	)
USD	27,360,510	EUR	23,551,117	BNP Paribas		8/31/20		—		(397,322	)
USD	694,844	EUR	600,018	Goldman Sachs International		8/31/20		—		(12,349	)
USD	1,215,941	EUR	1,050,000	Goldman Sachs International		8/31/20		—		(21,611	)
USD	1,400,973	EUR	1,209,781	Goldman Sachs International		8/31/20		—		(24,899	)
USD	1,582,538	MYR	6,750,000	Barclays Bank PLC		9/15/20		—		(10,655	)
USD	258,193	UAH	7,374,000	Bank of America, N.A.		9/21/20		—		(4,981	)
THB	97,726,316	USD	3,157,835	Standard Chartered Bank		9/25/20		—		(24,277	)
THB	118,647,895	USD	3,828,988	Standard Chartered Bank		9/25/20		—		(24,587	)
THB	118,647,895	USD	3,829,204	Standard Chartered Bank		9/25/20		—		(24,804	)
THB	118,647,894	USD	3,830,347	Standard Chartered Bank		9/25/20		—		(25,947	)
USD	1,877,238	THB	58,032,000	Standard Chartered Bank		9/25/20		16,464		—
USD	3,658,614	THB	114,278,637	Standard Chartered Bank		9/25/20		—		(5,688	)

21

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	18,935,618	CNH	134,300,000	Citibank, N.A.		10/9/20	$	—	$	(201,024	)
USD	774,524	UAH	22,376,000	Bank of America, N.A.		10/21/20		—		(19,490	)
TRY	5,685,000	USD	760,552	Citibank, N.A.		2/26/21		—		(35,480	)
TRY	1,871,500	USD	250,365	Standard Chartered Bank		2/26/21		—		(11,671	)
TRY	23,509,000	USD	3,141,537	Standard Chartered Bank		2/26/21		—		(143,173	)
TRY	39,155,000	USD	5,236,026	Standard Chartered Bank		2/26/21		—		(242,153	)
TRY	39,150,000	USD	5,236,057	Standard Chartered Bank		2/26/21		—		(242,822	)
TRY	40,430,500	USD	5,470,767	Standard Chartered Bank		2/26/21		—		(314,216	)
USD	6,926,924	TRY	48,333,000	Standard Chartered Bank		2/26/21		762,479		—
USD	5,541,456	TRY	38,572,000	Standard Chartered Bank		2/26/21		621,940		—
USD	5,541,536	TRY	38,582,000	Standard Chartered Bank		2/26/21		620,744		—
USD	3,463,474	TRY	24,222,000	Standard Chartered Bank		2/26/21		374,173		—
USD	13,194	TRY	92,000	Standard Chartered Bank		2/26/21		1,461		—
USD	5,044,942	BHD	1,911,024	Standard Chartered Bank		3/11/21		—		(11,214	)
USD	4,204,022	SAR	15,887,000	Standard Chartered Bank		3/11/21		—		(23,965	)
USD	6,744,071	BHD	2,554,000	Standard Chartered Bank		3/16/21		—		(12,918	)
USD	11,881,604	OMR	4,666,500	BNP Paribas		4/8/21		—		(121,713	)
USD	11,896,188	OMR	4,664,971	Standard Chartered Bank		4/26/21		—		(93,093	)
TRY	55,096,000	USD	7,173,641	Standard Chartered Bank		5/17/21		—		(424,988	)
USD	2,660,846	TRY	21,332,000	Standard Chartered Bank		5/17/21		47,911		—
USD	798,222	TRY	6,303,000	Standard Chartered Bank		5/17/21		26,174		—
USD	532,266	TRY	4,157,000	Standard Chartered Bank		5/17/21		23,080		—
USD	532,225	TRY	4,162,000	Standard Chartered Bank		5/17/21		22,426		—
USD	532,186	TRY	4,175,000	Standard Chartered Bank		5/17/21		20,795		—
USD	532,139	TRY	4,218,000	Standard Chartered Bank		5/17/21		15,481		—
USD	1,330,486	TRY	10,749,000	Standard Chartered Bank		5/17/21		13,852		—
USD	8,234,546	OMR	3,237,000	BNP Paribas		7/6/21		—		(56,881	)
USD	5,188,295	OMR	2,039,000	BNP Paribas		7/12/21		—		(33,027	)
USD	961,832	OMR	378,000	BNP Paribas		7/19/21		—		(5,802	)
USD	4,209,726	BHD	1,605,000	Bank of America, N.A.		3/14/22		—		(13,806	)
USD	8,407,724	SAR	32,004,000	Standard Chartered Bank		3/14/22		—		(76,361	)
USD	20,243,572	SAR	77,035,000	Standard Chartered Bank		3/14/22		—		(177,982	)
USD	8,429,122	BHD	3,217,000	Standard Chartered Bank		3/16/22		—		(36,057	)
USD	4,215,852	BHD	1,625,000	Standard Chartered Bank		3/16/22		—		(60,156	)
USD	4,112,475	BHD	1,585,976	Standard Chartered Bank		3/16/22		—		(60,845	)
USD	8,651,101	SAR	32,792,000	BNP Paribas		3/24/22		—		(40,804	)
USD	12,976,517	SAR	49,181,000	HSBC Bank USA, N.A.		3/24/22		—		(59,486	)
USD	15,526,212	SAR	58,790,000	Standard Chartered Bank		3/28/22		—		(56,001	)
							$	5,950,403	$	(7,736,884	)

Futures Contracts

Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Interest Rate Futures
U.S. 5-Year Treasury Note		32			Long		9/30/20	$	4,036,000		$	17,955
U.S. 10-Year Treasury Note		44			Long		9/21/20		6,163,438			52,110
U.S. Long Treasury Bond		244			Long		9/21/20		44,476,625			1,268,982
U.S. Ultra-Long Treasury Bond		8			Long		9/21/20		1,821,500			111,235
Euro-Buxl		(30	)		Short		9/8/20		(7,945,513	)		(333,760	)
											$	1,116,522

22

Centrally Cleared Inflation Swaps

Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/ Unrealized Appreciation (Depreciation)
EUR	5,111	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.57% (pays upon termination)		8/15/32	$	(607,835	)
EUR	5,125	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.59% (pays upon termination)		8/15/32		(628,144	)
EUR	5,003	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.60% (pays upon termination)		8/15/32		(631,443	)
EUR	19,000	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.69% (pays upon termination)		11/15/32		(2,719,988	)
EUR	5,111	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.77% (pays upon termination)		8/15/42		1,167,111
EUR	5,125	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.78% (pays upon termination)		8/15/42		1,177,496
EUR	5,003	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.79% (pays upon termination)		8/15/42		1,190,502
EUR	19,000	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.89% (pays upon termination)		11/15/42		5,365,165
USD	36,500	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	1.89% (pays upon termination)		7/16/24		(1,073,917	)
USD	58,000	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	1.58% (pays upon termination)		9/6/24		(688,182	)
USD	16,500	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	0.84% (pays upon termination)		3/24/30		1,301,722
USD	14,300	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	1.28% (pays upon termination)		4/20/30		488,727
USD	25,300	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.22% (pays upon termination)		11/14/32		2,279,656
USD	25,300	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.20% (pays upon termination)		11/14/42		(3,947,900	)
USD	2,309	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.13% (pays upon termination)		8/22/47		(363,296	)
USD	2,295	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		8/25/47		(375,650	)
USD	8,800	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.42% (pays upon termination)		6/8/48		(2,697,944	)
								$	(763,920	)

23

CPI-U (NSA)	-	Consumer Price Index All Urban Non-Seasonally Adjusted
HICP	-	Harmonised Indices of Consumer Prices

Inflation Swaps

Counterparty

Notional Amount (000’s omitted)

Portfolio Pays/Receives Return on Reference Index

Reference Index

Portfolio Pays/Receives Rate

Annual Rate

Termination Date

Value/Unrealized Appreciation (Depreciation)

Bank of America, N.A.

USD

19,500

Receives

Return on CPI-U (NSA) (pays upon termination)

Pays

2.09% (pays upon termination)

4/2/29

$

(1,005,236

)

$    (1,005,236)

CPI-U (NSA) - Consumer Price Index All Urban Non-Seasonally Adjusted

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
CAD	69,760	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	0.88% (pays semi-annually)		6/5/25	$	(524,791	)	$	—		$	(524,791	)
CNY	892,000	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.31% (pays quarterly)		7/28/22		(162,482	)		—			(162,482	)
EUR	750	Receives	6-month EURIBOR (pays semi-annually)	(0.30)% (pays annually)		6/16/25		(3,194	)		(1	)		(3,195	)
GBP	26,000	Receives	6-month GBP LIBOR (pays semi-annually)	1.00% (pays semi-annually)		1/9/30		(2,279,477	)		—			(2,279,477	)
KRW	31,500,000	Receives	3-month KRW Certificate of Deposit Rate (pays quarterly)	0.92% (pays quarterly)		7/28/30		(15,524	)		—			(15,524	)
MXN	1,081,600	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	8.54% (pays monthly)		12/15/23		6,127,470			—			6,127,470
MXN	298,383	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	6.76% (pays monthly)		3/7/24		(973,066	)		—			(973,066	)

24

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	82,926	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	6.79% (pays monthly)		3/7/24	$	(274,201	)	$	—	$	(274,201	)
MXN	350,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	5.29% (pays monthly)		5/2/25		326,951			—		326,951
NZD	65,710	Receives	3-month NZD Bank Bill (pays quarterly)	3.32% (pays semi-annually)		2/19/28		(9,886,649	)		—		(9,886,649	)
NZD	5,220	Receives	3-month NZD Bank Bill (pays quarterly)	2.49% (pays semi-annually)		2/22/29		(606,084	)		—		(606,084	)
NZD	6,500	Receives	3-month NZD Bank Bill (pays quarterly)	2.50% (pays semi-annually)		2/22/29		(757,563	)		—		(757,563	)
SGD	18,500	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.42% (pays semi-annually)		10/19/23		936,032			—		936,032
SGD	9,630	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.44% (pays semi-annually)		10/23/23		492,940			—		492,940
SGD	10,000	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.44% (pays semi-annually)		10/23/23		511,879			—		511,879
SGD	15,000	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.44% (pays semi-annually)		10/23/23		767,819			—		767,819
SGD	26,350	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.09% (pays semi-annually)		12/13/23		1,159,477			—		1,159,477

25

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)
SGD	2,885	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.55% (pays semi-annually)		8/14/24	$	95,484		$	—	$	95,484
SGD	3,245	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.56% (pays semi-annually)		8/14/24		108,980			—		108,980
SGD	5,640	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.06% (pays semi-annually)		3/31/25		118,357			—		118,357
SGD	16,500	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.07% (pays semi-annually)		3/31/25		353,994			—		353,994
SGD	3,300	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.08% (pays semi-annually)		3/31/25		71,632			—		71,632
USD	2,010	Receives	3-month USD-LIBOR (pays quarterly)	0.32% (pays semi-annually)		6/11/23		(7,884	)		—		(7,884	)
USD	555	Receives	3-month USD-LIBOR (pays quarterly)	0.26% (pays semi-annually)		6/25/23		(1,303	)		—		(1,303	)
USD	1,755	Receives	3-month USD-LIBOR (pays quarterly)	0.26% (pays semi-annually)		6/26/23		(3,864	)		—		(3,864	)
USD	320	Receives	3-month USD-LIBOR (pays quarterly)	0.24% (pays semi-annually)		7/8/23		(516	)		—		(516	)
USD	360	Receives	3-month USD-LIBOR (pays quarterly)	0.24% (pays semi-annually)		7/8/23		(618	)		—		(618	)
USD	40,459	Pays	3-month USD-LIBOR (pays quarterly)	1.86% (pays semi-annually)		7/16/24		2,656,797			—		2,656,797

26

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)
USD	64,000	Pays	3-month USD-LIBOR (pays quarterly)	1.26% (pays semi-annually)		9/6/24	$	3,040,331		$	—		$	3,040,331
USD	332	Receives	3-month USD-LIBOR (pays quarterly)	0.44% (pays semi-annually)		6/12/25		(3,096	)		—			(3,096	)
USD	1,010	Receives	3-month USD-LIBOR (pays quarterly)	0.36% (pays semi-annually)		6/15/25		(5,551	)		—			(5,551	)
USD	1,316	Receives	3-month USD-LIBOR (pays quarterly)	0.37% (pays semi-annually)		6/23/25		(7,501	)		—			(7,501	)
USD	1,180	Receives	3-month USD-LIBOR (pays quarterly)	0.32% (pays semi-annually)		7/14/25		(4,016	)		—			(4,016	)
USD	1,000	Receives	3-month USD-LIBOR (pays quarterly)	0.50% (pays semi-annually)		6/4/27		(9,635	)		—			(9,635	)
USD	34,731	Pays	3-month USD-LIBOR (pays quarterly)	2.34% (pays semi-annually)		5/17/29		5,758,812			—			5,758,812
USD	11,693	Receives	3-month USD-LIBOR (pays quarterly)	2.50% (pays semi-annually)		9/20/47		(5,117,559	)		(101,767	)		(5,219,326	)
USD	10,766	Receives	3-month USD-LIBOR (pays quarterly)	2.54% (pays semi-annually)		5/17/49		(5,022,909	)		—			(5,022,909	)
USD	2,450	Pays	3-month USD-LIBOR (pays quarterly)	0.58% (pays semi-annually)		3/11/50		(121,695	)		—			(121,695	)
USD	2,450	Pays	3-month USD-LIBOR (pays quarterly)	0.62% (pays semi-annually)		3/11/50		(93,440	)		—			(93,440	)
USD	6,770	Pays	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		3/20/50		374,041			—			374,041
USD	700	Receives	3-month USD-LIBOR (pays quarterly)	0.94% (pays semi-annually)		5/21/50		(33,438	)		—			(33,438	)

27

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)
USD	5,000	Receives	3-month USD-LIBOR (pays quarterly)	1.18% (pays semi-annually)		6/10/50	$	(558,029	)	$	—		$	(558,029	)
USD	3,000	Receives	3-month USD-LIBOR (pays quarterly)	1.24% (pays semi-annually)		3/5/51		(372,578	)		—			(372,578	)
USD	3,000	Pays	3-month USD-LIBOR (pays quarterly)	1.26% (pays semi-annually)		3/5/51		386,716			—			386,716
Total							$	(3,558,951	)	$	(101,768	)	$	(3,660,719	)

Interest Rate Swaps

Counterparty	Notional Amount (000’s omitted)			Portfolio Pays/ Receives Floating Rate		Floating Rate	Annual Fixed Rate	Termination Date		Value/ Unrealized Appreciation (Depreciation)
Bank of America, N.A.		MYR	38,843		Pays	3-month MYR KLIBOR (pays quarterly)	2.09% (pays quarterly)		5/15/25	$	83,782
BNP Paribas		MYR	89,300		Pays	3-month MYR KLIBOR (pays quarterly)	3.13% (pays quarterly)		10/4/24		1,112,355
BNP Paribas		MYR	26,250		Pays	3-month MYR KLIBOR (pays quarterly)	2.09% (pays quarterly)		5/15/25		56,620
Citibank, N.A.		MYR	56,300		Pays	3-month MYR KLIBOR (pays quarterly)	3.13% (pays quarterly)		10/4/24		701,295
Goldman Sachs International		RUB	1,539,500		Pays	3-month Moscow Prime Offered Rate (pays quarterly)	6.51% (pays annually)		4/16/25		1,490,910
Goldman Sachs International		RUB	785,500		Pays	3-month Moscow Prime Offered Rate (pays quarterly)	5.51% (pays annually)		5/15/25		121,996

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Counterparty	Notional Amount (000’s omitted)			Portfolio Pays/ Receives Floating Rate		Floating Rate	Annual Fixed Rate	Termination Date		Value/ Unrealized Appreciation (Depreciation)
Goldman Sachs International		RUB	706,636		Pays	3-month Moscow Prime Offered Rate (pays quarterly)	5.34% (pays annually)		5/18/25	$	39,544
JPMorgan Chase Bank, N.A.		MYR	40,570		Pays	3-month MYR KLIBOR (pays quarterly)	2.45% (pays quarterly)		3/4/25		252,497
Standard Chartered Bank		MYR	72,700		Pays	3-month MYR KLIBOR (pays quarterly)	3.12% (pays quarterly)		10/4/24		900,160
										$	4,759,159

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Entity	Notional Amount (000’s omitted)		Contract Annual Fixed Rate*	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Malaysia	$	28,823	1.00% (pays quarterly)(1)		6/20/25	$	(616,898	)	$	(183,916	)	$	(800,814	)
Mexico		1,330	1.00% (pays quarterly)(1)		6/20/25		25,451			(114,314	)		(88,863	)
Turkey		24,617	1.00% (pays quarterly)(1)		6/20/25		4,683,475			(4,824,817	)		(141,342	)
Total						$	4,092,028		$	(5,123,047	)	$	(1,031,019	)

* The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract.

(1) Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Volatility Swaps

Counterparty	Reference Entity	Notional Amount (000’s omitted)		Portfolio Pays/ Receives Volatility*		Volatility Strike			Maturity Date		Value/ Unrealized Appreciation (Depreciation)
Citibank, N.A.	iShares MSCI Emerging Markets Index	$	170		Receives		23.00	%		9/18/20	$	3,566,846
Citibank, N.A.	S&P 500 Index		170		Pays		21.50			9/18/20		(3,794,409	)
											$	(227,563	)

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* Portfolio will pay or receive the volatility of the reference entity depending on whether the realized volatility of the reference entity exceeds or is less than the strike. For contracts where the Portfolio has elected to receive the volatility of the reference entity, it will receive a net payment of the difference between the realized volatility and the strike multiplied by the notional amount if the realized volatility exceeds the strike; the Portfolio will make a net payment of the absolute value of the difference of the realized volatility and the strike multiplied by the notional amount if the realized volatility is less than the strike. For contracts where the Portfolio has elected to pay the volatility of the reference entity, it will make a net payment of the difference between the realized volatility and the strike multiplied by the notional amount if the realized volatility exceeds the strike; the Portfolio will receive a net payment of the absolute value of the difference of the realized volatility and the strike multiplied by the notional amount if the realized volatility is less than the strike.

Abbreviations:
COF	-	Cost of Funds 11th District
EURIBOR	-	Euro Interbank Offered Rate
GDP	-	Gross Domestic Product
LIBOR	-	London Interbank Offered Rate
TBA	-	To Be Announced
Currency Abbreviations:
AUD	-	Australian Dollar
BHD	-	Bahraini Dinar
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNH	-	Yuan Renminbi Offshore
CNY	-	Yuan Renminbi
EGP	-	Egyptian Pound
EUR	-	Euro
GBP	-	British Pound Sterling
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
ISK	-	Icelandic Krona
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
OMR	-	Omani Rial
PEN	-	Peruvian Sol
PHP	-	Philippine Peso
RSD	-	Serbian Dinar
RUB	-	Russian Ruble
SAR	-	Saudi Riyal
SEK	-	Swedish Krona

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SGD	-	Singapore Dollar
THB	-	Thai Baht
TRY	-	New Turkish Lira
UAH	-	Ukrainian Hryvnia
USD	-	United States Dollar
UZS	-	Uzbekistani Som
ZAR	-	South African Rand

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GOP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The net assets of the Subsidiary at July 31, 2020 were $1,929,379 or 0.2% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Commodity Risk: During the fiscal year to date ended July 31, 2020, the Portfolio invested in commodities-linked derivative instruments, including commodity futures contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.

Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.

Equity Price Risk: During the fiscal year to date ended July 31, 2020, the Portfolio entered into equity index options, total return swaps and volatility swaps to enhance total return and/or to manage certain investment risks.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including interest rate futures contracts, interest rate swaps and swaptions, inflation swaps, cross-currency swaps, total return swaps, options contracts and forward volatility agreements to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.

At July 31, 2020, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

Restricted Securities

At July 31, 2020, the Portfolio owned the following securities (representing 1.7% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

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Description	Date of Acquisition		Shares		Cost		Value
Reinsurance Side Cars
Altair VI Reinsurance		12/29/17		1,000	$	2,670,333	$	214,500
Blue Lotus Re, Ltd.		12/20/17		242		—		374,999
Mt. Logan Re, Ltd., Series 13, Preference Shares		1/2/18		10,000		7,231,214		8,967,295
Mt. Logan Re, Ltd., Special Investment Series 13, 12/18		1/22/19		2,000		1,446,242		626,059
Mt. Logan Re, Ltd., Special Investment Series 13, 12/19		1/17/20		1,829		1,322,544		1,627,143
Sussex Capital, Ltd., Designated Investment Series 5, 5/19		5/31/19		249		212,150		37,818
Sussex Capital, Ltd., Designated Investment Series 5, 12/19		1/17/20		791		673,953		264,663
Sussex Capital, Ltd., Designated Investment Series 5, 6/20		6/30/20		434		354,368		434,117
Sussex Capital, Ltd., Series 5, Preference Shares		12/17/18		6,000		4,759,530		5,828,648
Sussex Re, Ltd., Series 2020A		1/21/20		4,081,939		3,728,940		4,204,397
Versutus Re, Ltd., Series 2019		1/21/20		234,323		158,913		259,630
Total Restricted Securities					$	22,558,187	$	22,839,269

At July 31, 2020, the value of the Portfolio’s investment in affiliated funds was $329,783,827, which represents 25.7% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended July 31, 2020 were as follows:

Name of affiliated fund	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)			Change in unrealized appreciation (depreciation)			Value, end of period		Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC	$	132,568,586	$	1,106,262,796	$	(908,903,857	)	$	(97,718	)	$	(45,980	)	$	329,783,827	$	966,586		329,816,809

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 July 31, 2020, 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
Collateralized Mortgage Obligations	$	—	$	133,301,130		$	—	$	133,301,130
Mortgage Pass-Throughs		—		189,106,611			—		189,106,611
Commercial Mortgage-Backed Securities		—		14,874,765			—		14,874,765
Asset-Backed Securities		—		178,376,677			—		178,376,677
U.S. Government Guaranteed Small Business Administration Loans		—		49,120,594			—		49,120,594
Sovereign Loans		—		666,953			—		666,953
Foreign Government Bonds		—		255,913,271			—		255,913,271
Foreign Corporate Bonds		—		54,212,411			830,536		55,042,947
Corporate Bonds & Notes		—		497,500			—		497,500
Common Stocks		—		3,386,912	*		—		3,386,912
Loan Participation Notes		—		—			560,885		560,885
Closed-End Funds		13,126,441		—			—		13,126,441
Exchange-Traded Funds		63,976,320		—			—		63,976,320
Reinsurance Side Cars		—		—			34,540,009		34,540,009
U.S. Treasury Obligations		—		41,269,630			—		41,269,630
Short-Term Investments		—
Foreign Government Securities		—		16,876,605			—		16,876,605
U.S. Treasury Obligations		—		6,999,859			—		6,999,859
Other		—		329,783,827			—		329,783,827
Purchased Currency Options		—		1,137,996			—		1,137,996
Purchased Interest Rate Swaptions		—		74,949			—		74,949
Purchased Call Options		—		1,093,401			—		1,093,401
Total Investments	$	77,102,761	$	1,276,693,091		$	35,931,430	$	1,389,727,282

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Asset Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Exchange Contracts	$	—		$	18,155,106		$	—	$	18,155,106
Futures Contracts		1,450,282			—			—		1,450,282
Swap Contracts		—			49,293,022			—		49,293,022
Total	$	78,553,043		$	1,344,141,219		$	35,931,430	$	1,458,625,692
Liability Description
Securities Sold Short	$	—		$	(5,724,446	)	$	—	$	(5,724,446	)
Written Currency Options		—			(291,264	)		—		(291,264	)
Written Interest Rate Swaptions		—			(357,536	)		—		(357,536	)
Forward Foreign Currency Exchange Contracts		—			(20,737,771	)		—		(20,737,771	)
Futures Contracts		(333,760	)		—			—		(333,760	)
Swap Contracts		—			(45,997,505	)		—		(45,997,505	)
Total	$	(333,760	)	$	(73,108,522	)	$	—	$	(73,442,282	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Investments in Senior Floating – Rate Loans			Investments in Foreign Corporate Bonds			Investments in Loan Participation Notes			Investments in Reinsurance Side Cars			Total
Balance as of October 31, 2019	$	1,561,925		$	—		$	—		$	40,437,548		$	41,999,473
Realized gains (losses)		(28,391	)		—			—			(1,931,845	)		(1,960,236	)
Change in net unrealized appreciation (depreciation)		24,124			(428,309	)		1,217			2,327,875			1,924,907
Cost of purchases		—			—			560,031			16,191,955			16,751,986
Proceeds from sales, including return of capital		(1,557,658	)		—			—			(22,485,524	)		(24,043,182	)
Accrued discount (premium)		—			—			(363	)		—			(363	)
Transfers to Level 3(1)		—			1,258,845			—			—			1,258,845
Transfers from Level 3		—			—			—			—			—
Balance as of July 31, 2020	$	—		$	830,536		$	560,885		$	34,540,009		$	35,931,430
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2020	$	—		$	(428,309	)	$	1,217		$	2,448,032		$	2,020,940

⁽¹⁾ Investments transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.

The Portfolio’s investments in Level 3 securities were primarily valued on the basis of broker quotations and matrix pricing.

For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report.

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