Eaton Vance
Emerging Markets Debt Opportunities Fund
October 31, 2019
PORTFOLIO OF INVESTMENTS (Unaudited)
Foreign Government Bonds — 53.0%
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Angola — 0.7% | |
Republic of Angola, 8.25%, 5/9/28(1) | | USD | 1,443 | | | $ | 1,510,872 | |
| | | | | | | | |
Total Angola | | | $ | 1,510,872 | |
| | | | | | | | |
Argentina — 0.1% | |
Republic of Argentina, 4.50%, 2/13/20 | | USD | 395 | | | $ | 106,411 | |
| | | | | | | | |
Total Argentina | | | $ | 106,411 | |
| | | | | | | | |
Bahrain — 4.3% | |
Bahrain Government International Bond, 7.00%, 1/26/26(1) | | USD | 936 | | | $ | 1,073,064 | |
CBB International Sukuk Co. 7 SPC, 6.875%, 10/5/25(1) | | USD | 405 | | | | 466,794 | |
Kingdom of Bahrain, 6.125%, 8/1/23(1) | | USD | 965 | | | | 1,054,033 | |
Kingdom of Bahrain, 6.75%, 9/20/29(1) | | USD | 3,717 | | | | 4,246,598 | |
Kingdom of Bahrain, 7.00%, 10/12/28(1) | | USD | 2,661 | | | | 3,076,702 | |
| | | | | | | | |
Total Bahrain | | | $ | 9,917,191 | |
| | | | | | | | |
Barbados — 0.6% | |
Government of Barbados, 6.625%, 12/5/35(1)(2) | | USD | 1,110 | | | $ | 796,092 | |
Government of Barbados, 7.00%, 8/4/22(1)(2) | | USD | 116 | | | | 84,297 | |
Government of Barbados, 7.25%, 12/15/21(1)(2) | | USD | 684 | | | | 489,881 | |
| | | | | | | | |
Total Barbados | | | $ | 1,370,270 | |
| | | | | | | | |
Benin — 2.8% | |
Benin Government International Bond, 5.75%, 3/26/26(1) | | EUR | 5,630 | | | $ | 6,483,209 | |
| | | | | | | | |
Total Benin | | | $ | 6,483,209 | |
| | | | | | | | |
Bosnia and Herzegovina — 0.1% | |
Republic of Srpska, 1.50%, 10/30/23 | | BAM | 194 | | | $ | 110,389 | |
Republic of Srpska, 1.50%, 6/9/25 | | BAM | 59 | | | | 33,153 | |
Republic of Srpska, 1.50%, 9/25/26 | | BAM | 295 | | | | 167,199 | |
| | | | | | | | |
Total Bosnia and Herzegovina | | | $ | 310,741 | |
| | | | | | | | |
Dominican Republic — 1.4% | |
Dominican Republic, 8.90%, 2/15/23(1) | | DOP | 28,200 | | | $ | 534,759 | |
Dominican Republic, 9.75%, 6/5/26(3) | | DOP | 15,450 | | | | 297,599 | |
Dominican Republic, 10.25%, 1/11/24(1) | | DOP | 13,800 | | | | 264,972 | |
Dominican Republic, 10.375%, 3/4/22(1) | | DOP | 21,800 | | | | 425,267 | |
Dominican Republic, 10.50%, 4/7/23(1) | | DOP | 50,600 | | | | 979,873 | |
Dominican Republic, 10.75%, 8/11/28(1) | | DOP | 14,600 | | | | 280,267 | |
Dominican Republic, 11.50%, 5/10/24(1) | | DOP | 20,000 | | | | 402,971 | |
| | | | | | | | |
Total Dominican Republic | | | | | | $ | 3,185,708 | |
| | | | | | | | |
Egypt — 6.1% | | | | | | | | |
Arab Republic of Egypt, 4.75%, 4/11/25(1) | | EUR | 540 | | | $ | 624,912 | |
Arab Republic of Egypt, 5.625%, 4/16/30(1) | | EUR | 114 | | | | 127,837 | |
Arab Republic of Egypt, 6.375%, 4/11/31(1) | | EUR | 2,325 | | | | 2,702,305 | |
Arab Republic of Egypt, 8.50%, 1/31/47(1) | | USD | 1,145 | | | | 1,208,405 | |
1
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Arab Republic of Egypt, 8.70%, 3/1/49(1) | | USD | 1,935 | | | $ | 2,079,128 | |
Egypt Government Bond, 14.40%, 9/10/29 | | EGP | 5,245 | | | | 331,514 | |
Egypt Government Bond, 15.60%, 8/6/26 | | EGP | 63,220 | | | | 4,178,769 | |
Egypt Government Bond, 16.10%, 5/7/29 | | EGP | 17,600 | | | | 1,215,367 | |
Egypt Government Bond, 16.50%, 4/2/26 | | EGP | 27,000 | | | | 1,844,910 | |
| | | | | | | | |
Total Egypt | | | | | | $ | 14,313,147 | |
| | | | | | | | |
El Salvador — 2.3% | | | | | | | | |
Republic of El Salvador, 6.375%, 1/18/27(1) | | USD | 869 | | | $ | 913,545 | |
Republic of El Salvador, 7.125%, 1/20/50(1) | | USD | 3,734 | | | | 3,802,146 | |
Republic of El Salvador, 7.65%, 6/15/35(1) | | USD | 197 | | | | 215,224 | |
Republic of El Salvador, 8.25%, 4/10/32(1) | | USD | 296 | | | | 341,883 | |
Republic of El Salvador, 8.625%, 2/28/29(1) | | USD | 157 | | | | 186,635 | |
| | | | | | | | |
Total El Salvador | | | | | | $ | 5,459,433 | |
| | | | | | | | |
Fiji — 1.1% | | | | | | | | |
Republic of Fiji, 6.625%, 10/2/20(1) | | USD | 2,649 | | | $ | 2,655,623 | |
| | | | | | | | |
Total Fiji | | | | | | $ | 2,655,623 | |
| | | | | | | | |
Georgia — 0.8% | | | | | | | | |
Georgia Treasury Bond, 7.00%, 5/30/24 | | GEL | 4,470 | | | $ | 1,398,651 | |
Georgia Treasury Bond, 7.25%, 1/17/21 | | GEL | 895 | | | | 297,623 | |
Georgia Treasury Bond, 7.375%, 9/27/23 | | GEL | 592 | | | | 189,798 | |
| | | | | | | | |
Total Georgia | | | | | | $ | 1,886,072 | |
| | | | | | | | |
Indonesia — 1.6% | | | | | | | | |
Indonesia Government Bond, 7.50%, 5/15/38 | | IDR | 51,271,000 | | | $ | 3,653,932 | |
| | | | | | | | |
Total Indonesia | | | | | | $ | 3,653,932 | |
| | | | | | | | |
Kenya — 0.6% | | | | | | | | |
Republic of Kenya, 7.25%, 2/28/28(1) | | USD | 1,400 | | | $ | 1,481,495 | |
| | | | | | | | |
Total Kenya | | | | | | $ | 1,481,495 | |
| | | | | | | | |
Nigeria — 2.8% | | | | | | | | |
Republic of Nigeria, 7.875%, 2/16/32(1) | | USD | 1,976 | | | $ | 2,044,585 | |
Republic of Nigeria, 8.747%, 1/21/31(1) | | USD | 4,129 | | | | 4,557,673 | |
| | | | | | | | |
Total Nigeria | | | | | | $ | 6,602,258 | |
| | | | | | | | |
Serbia — 10.2% | | | | | | | | |
Serbia Treasury Bond, 4.50%, 1/11/26 | | RSD | 1,349,660 | | | $ | 13,986,627 | |
Serbia Treasury Bond, 5.75%, 7/21/23 | | RSD | 413,040 | | | | 4,407,624 | |
Serbia Treasury Bond, 5.875%, 2/8/28 | | RSD | 326,680 | | | | 3,659,622 | |
Serbia Treasury Bond, 10.00%, 2/5/22 | | RSD | 164,150 | | | | 1,832,819 | |
| | | | | | | | |
Total Serbia | | | | | | $ | 23,886,692 | |
| | | | | | | | |
Seychelles — 0.1% | | | | | | | | |
| Republic of Seychelles, 8.00%, 1/1/26(1) | | USD | 231 | | | $ | 239,708 | |
| | | | | | | | |
Total Seychelles | | | | | | $ | 239,708 | |
| | | | | | | | |
Sri Lanka — 2.0% | | | | | | | | |
| Sri Lanka Government Bond, 9.00%, 5/1/21 | | LKR | 102,000 | | | $ | 564,770 | |
| Sri Lanka Government Bond, 10.00%, 10/1/22 | | LKR | 27,020 | | | | 151,972 | |
| Sri Lanka Government Bond, 10.00%, 3/15/23 | | LKR | 76,000 | | | | 424,291 | |
| Sri Lanka Government Bond, 10.20%, 7/15/23 | | LKR | 86,000 | | | | 479,252 | |
| Sri Lanka Government Bond, 10.25%, 3/15/25 | | LKR | 15,000 | | | | 83,043 | |
| Sri Lanka Government Bond, 11.00%, 8/1/24 | | LKR | 84,000 | | | | 478,786 | |
2
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
| Sri Lanka Government Bond, 11.20%, 9/1/23 | | LKR | 21,000 | | | $ | 121,006 | |
| Sri Lanka Government Bond, 11.40%, 1/1/24 | | LKR | 199,000 | | | | 1,144,740 | |
| Sri Lanka Government Bond, 11.50%, 5/15/23 | | LKR | 89,000 | | | | 518,384 | |
| Sri Lanka Government International Bond, 7.55%, 3/28/30(1) | | USD | 780 | | | | 788,923 | |
| | | | | | | | |
Total Sri Lanka | | | | | | $ | 4,755,167 | |
| | | | | | | | |
Thailand — 0.5% | | | | | | | | |
| Thailand Government Bond, 3.30%, 6/17/38 | | THB | 29,546 | | | $ | 1,235,107 | |
| | | | | | | | |
Total Thailand | | | | | | $ | 1,235,107 | |
| | | | | | | | |
Turkey — 0.2% | | | | | | | | |
| Republic of Turkey, 7.375%, 2/5/25 | | USD | 400 | | | $ | 429,888 | |
| | | | | | | | |
Total Turkey | | | | | | $ | 429,888 | |
| | | | | | | | |
Ukraine — 14.7% | | | | | | | | |
| Ukraine Government International Bond, 0.00%,GDP-Linked, 5/31/40(1)(3)(4) | | USD | 6,170 | | | $ | 5,814,608 | |
| Ukraine Government International Bond, 10.00%, 8/23/23 | | UAH | 97,086 | | | | 3,421,883 | |
| Ukraine Government International Bond, 15.70%, 1/20/21 | | UAH | 69,950 | | | | 2,829,418 | |
| Ukraine Government International Bond, 15.84%, 2/26/25 | | UAH | 332,626 | | | | 14,517,410 | |
| Ukraine Government International Bond, 17.00%, 5/11/22 | | UAH | 9,930 | | | | 417,348 | |
| Ukraine Government International Bond, 18.00%, 3/24/21 | | UAH | 171,952 | | | | 7,172,855 | |
| | | | | | | | |
Total Ukraine | | | | | | $ | 34,173,522 | |
| | | | | | | | |
| | |
Total Foreign Government Bonds
(identified cost $117,578,271) | | | | | | $ | 123,656,446 | |
| | | | | | | | |
| | |
Foreign Corporate Bonds — 12.6% | | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Argentina — 0.5% | | | | | | | | |
Generacion Mediterranea SA/Central Termica Roca SA, 15.00%, 5/5/23(3) | | USD | 1,250 | | | $ | 1,156,250 | |
| | | | | | | | |
Total Argentina | | | | | | $ | 1,156,250 | |
| | | | | | | | |
Belarus — 0.5% | | | | | | | | |
Eurotorg, LLC Via Bonitron DAC, 8.75%, 10/30/22(1) | | USD | 500 | | | $ | 539,500 | |
Eurotorg, LLC Via Bonitron DAC, 8.75%, 10/30/22(1) | | USD | 500 | | | | 539,880 | |
| | | | | | | | |
Total Belarus | | | | | | $ | 1,079,380 | |
| | | | | | | | |
Brazil — 0.9% | | | | | | | | |
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(1) | | USD | 1,047 | | | $ | 1,031,421 | |
Oi SA, 10.00%, (10.00% cash or 12.00% (8.00% cash and 4.00% PIK)), 7/27/25(5) | | USD | 1,040 | | | | 945,100 | |
| | | | | | | | |
Total Brazil | | | | | | $ | 1,976,521 | |
| | | | | | | | |
Bulgaria — 0.2% | | | | | | | | |
Eurohold Bulgaria AD, 6.50%, 12/7/22(1) | | EUR | 500 | | | $ | 556,061 | |
| | | | | | | | |
Total Bulgaria | | | | | | $ | 556,061 | |
| | | | | | | | |
Cayman Islands — 0.3% | | | | | | | | |
HKN Energy, Ltd., 11.00%, 3/6/24 | | USD | 600 | | | $ | 621,750 | |
| | | | | | | | |
Total Cayman Islands | | | | | | $ | 621,750 | |
| | | | | | | | |
3
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
China — 0.1% | | | | | | | | |
CAR, Inc., 6.00%, 2/11/21(1) | | USD | 300 | | | $ | 284,319 | |
| | | | | | | | |
Total China | | | | | | $ | 284,319 | |
| | | | | | | | |
Colombia — 0.5% | | | | | | | | |
Frontera Energy Corp., 9.70%, 6/25/23(1) | | USD | 1,100 | | | $ | 1,175,625 | |
| | | | | | | | |
Total Colombia | | | | | | $ | 1,175,625 | |
| | | | | | | | |
El Salvador — 0.4% | | | | | | | | |
AES El Salvador Trust II, 6.75%, 3/28/23(1) | | USD | 1,000 | | | $ | 1,002,400 | |
| | | | | | | | |
Total El Salvador | | | | | | $ | 1,002,400 | |
| | | | | | | | |
Georgia — 1.5% | |
JSC Georgia Capital, 6.125%, 3/9/24(1) | | USD | 650 | | | $ | 617,500 | |
Silknet JSC, 11.00%, 4/2/24(1) | | USD | 1,833 | | | | 2,017,235 | |
TBC Bank JSC, 5.75%, 6/19/24(1) | | USD | 862 | | | | 880,317 | |
| | | | | | | | |
Total Georgia | | | $ | 3,515,052 | |
| | | | | | | | |
Indonesia — 0.1% | |
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(1) | | IDR | 2,720,000 | | | $ | 191,332 | |
| | | | | | | | |
Total Indonesia | | | $ | 191,332 | |
| | | | | | | | |
Ireland — 1.9% | |
Aragvi Finance International DAC, 12.00%, 4/9/24(1) | | USD | 4,350 | | | $ | 4,524,000 | |
| | | | | | | | |
Total Ireland | | | $ | 4,524,000 | |
| | | | | | | | |
Mexico — 2.0% | |
Banco Mercantil del Norte SA/Grand Cayman, 7.50% to 6/27/29(1)(6)(7) | | USD | 1,150 | | | $ | 1,200,600 | |
Grupo Kaltex SA de CV, 8.875%, 4/11/22(1) | | USD | 3,958 | | | | 3,384,130 | |
Petroleos Mexicanos, 7.19%, 9/12/24(3) | | MXN | 1,420 | | | | 66,067 | |
Petroleos Mexicanos, 7.65%, 11/24/21 | | MXN | 420 | | | | 21,324 | |
| | | | | | | | |
Total Mexico | | | $ | 4,672,121 | |
| | | | | | | | |
Netherlands — 1.1% | |
Braskem Netherlands Finance BV, 5.875%, 1/31/50(1) | | USD | 1,170 | | | $ | 1,165,811 | |
MV24 Capital BV, 6.748%, 6/1/34(1) | | USD | 1,400 | | | | 1,467,200 | |
| | | | | | | | |
Total Netherlands | | | $ | 2,633,011 | |
| | | | | | | | |
Nigeria — 0.5% | |
SEPLAT Petroleum Development Co. PLC, 9.25%, 4/1/23(1) | | USD | 1,000 | | | $ | 1,058,750 | |
| | | | | | | | |
Total Nigeria | | | $ | 1,058,750 | |
| | | | | | | | |
Panama — 0.3% | |
Promerica Financial Corp., 9.70%, 5/14/24(1) | | USD | 700 | | | $ | 728,882 | |
| | | | | | | | |
Total Panama | | | $ | 728,882 | |
| | | | | | | | |
Saint Lucia — 0.9% | |
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(1) | | USD | 2,314 | | | $ | 2,204,085 | |
| | | | | | | | |
Total Saint Lucia | | | $ | 2,204,085 | |
| | | | | | | | |
Saudi Arabia — 0.7% | | | | | | | | |
DarAl-Arkan Sukuk Co., Ltd., 6.75%, 2/15/25(1) | | USD | 1,650 | | | $ | 1,614,624 | |
| | | | | | | | |
Total Saudi Arabia | | | | | | $ | 1,614,624 | |
| | | | | | | | |
4
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Spain — 0.2% | | | | | | | | |
Atento Luxco 1 SA, 6.125%, 8/10/22(1) | | USD | 492 | | | $ | 503,070 | |
| | | | | | | | |
Total Spain | | | | | | $ | 503,070 | |
| | | | | | | | |
| | |
Total Foreign Corporate Bonds
(identified cost $28,845,178) | | | | | | $ | 29,497,233 | |
| | | | | | | | |
| | |
Sovereign Loans — 3.1% | | | | | | | | |
| | |
| Borrower | | Principal
Amount
(000’s omitted) | | | Value | |
Barbados — 0.3% | | | | | | | | |
Government of Barbados, Term Loan, 0.00%, Maturing December 20, 2019(2) | | $ | 880 | | | $ | 611,864 | |
| | | | | | | | |
Total Barbados | | | | | | $ | 611,864 | |
| | | | | | | | |
Ethiopia — 0.0%(8) | | | | | | | | |
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.94%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(9)(10) | | $ | 89 | | | $ | 88,839 | |
| | | | | | | | |
Total Ethiopia | | | | | | $ | 88,839 | |
| | | | | | | | |
Kenya — 1.2% | | | | | | | | |
Republic Government of Kenya, Term Loan, 8.65%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(10) | | $ | 2,825 | | | $ | 2,875,562 | |
| | | | | | | | |
Total Kenya | | | | | | $ | 2,875,562 | |
| | | | | | | | |
Macedonia — 0.4% | | | | | | | | |
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing December 16, 2022(9)(10) | | $ | 850 | | | $ | 958,907 | |
| | | | | | | | |
Total Macedonia | | | | | | $ | 958,907 | |
| | | | | | | | |
Nigeria — 0.3% | | | | | | | | |
Bank of Industry Limited, Term Loan, 7.98%, (3 mo. USD LIBOR + 6.00%), Maturing May 21, 2021(9)(10) | | $ | 743 | | | $ | 738,795 | |
| | | | | | | | |
Total Nigeria | | | | | | $ | 738,795 | |
| | | | | | | | |
Tanzania — 0.9% | | | | | | | | |
Government of the United Republic of Tanzania, Term Loan, 7.42%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(10) | | $ | 621 | | | $ | 635,406 | |
Government of the United Republic of Tanzania, Term Loan, 7.76%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(10) | | | 1,400 | | | | 1,418,247 | |
| | | | | | | | |
Total Tanzania | | | | | | $ | 2,053,653 | |
| | | | | | | | |
| | |
Total Sovereign Loans
(identified cost $7,453,795) | | | | | | $ | 7,327,620 | |
| | | | | | | | |
5
| | | | | | | | |
Senior Floating-Rate Loans — 0.5% | | | | | | | | |
| | |
| Borrower/Tranche Description | | Principal
Amount
(000’s omitted) | | | Value | |
Turkey — 0.5% | | | | | | | | |
Yapi ve Kredi Bankasi AS, Term Loan, 2.15%, (3 mo. EURIBOR + 2.15%), Maturing November 4, 2019(10)(11) | | EUR | 1,000 | | | $ | 1,115,661 | |
| | | | | | | | |
Total Turkey | | | | | | $ | 1,115,661 | |
| | | | | | | | |
| | |
Total Senior Floating-Rate Loans
(identified cost $1,132,907) | | | | | | $ | 1,115,661 | |
| | | | | | | | |
| | |
Short-Term Investments — 26.0% | | | | | | | | |
| | |
Foreign Government Securities — 14.9% | | | | | | | | |
| | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Egypt — 6.0% | | | | | | | | |
Egypt Treasury Bill, 0.00%, 12/17/19 | | EGP | 3,525 | | | $ | 214,603 | |
Egypt Treasury Bill, 0.00%, 3/10/20 | | EGP | 24,525 | | | | 1,444,502 | |
Egypt Treasury Bill, 0.00%, 4/7/20 | | EGP | 27,025 | | | | 1,567,249 | |
Egypt Treasury Bill, 0.00%, 4/14/20 | | EGP | 66,050 | | | | 3,837,686 | |
Egypt Treasury Bill, 0.00%, 4/21/20 | | EGP | 5,200 | | | | 301,292 | |
Egypt Treasury Bill, 0.00%, 4/28/20 | | EGP | 37,125 | | | | 2,134,320 | |
Egypt Treasury Bill, 0.00%, 5/12/20 | | EGP | 26,700 | | | | 1,525,754 | |
Egypt Treasury Bill, 0.00%, 5/26/20 | | EGP | 7,500 | | | | 430,680 | |
Egypt Treasury Bill, 0.00%, 8/4/20 | | EGP | 45,150 | | | | 2,494,663 | |
| | | | | | | | |
Total Egypt | | | | | | $ | 13,950,749 | |
| | | | | | | | |
Georgia — 1.0% | | | | | | | | |
Bank of Georgia Promissory Note, 7.40%, 4/30/20 | | GEL | 321 | | | $ | 107,219 | |
Bank of Georgia Promissory Note, 7.40%, 5/18/20 | | GEL | 254 | | | | 84,744 | |
Bank of Georgia Promissory Note, 7.45%, 4/10/20 | | GEL | 228 | | | | 76,177 | |
Bank of Georgia Promissory Note, 7.45%, 4/16/20 | | GEL | 398 | | | | 133,166 | |
Bank of Georgia Promissory Note, 7.45%, 4/22/20 | | GEL | 238 | | | | 79,654 | |
Bank of Georgia Promissory Note, 7.45%, 4/24/20 | | GEL | 384 | | | | 128,217 | |
Bank of Georgia Promissory Note, 7.45%, 4/28/20 | | GEL | 156 | | | | 52,074 | |
Bank of Georgia Promissory Note, 7.50%, 5/28/20 | | GEL | 311 | | | | 103,614 | |
Bank of Georgia Promissory Note, 7.50%, 6/10/20 | | GEL | 156 | | | | 51,887 | |
Bank of Georgia Promissory Note, 7.50%, 6/12/20 | | GEL | 168 | | | | 56,003 | |
Bank of Georgia Promissory Note, 7.50%, 6/15/20 | | GEL | 220 | | | | 73,026 | |
Bank of Georgia Promissory Note, 7.50%, 6/16/20 | | GEL | 216 | | | | 71,991 | |
Bank of Georgia Promissory Note, 7.50%, 6/17/20 | | GEL | 219 | | | | 73,013 | |
Bank of Georgia Promissory Note, 7.50%, 6/19/20 | | GEL | 465 | | | | 154,740 | |
Bank of Georgia Promissory Note, 7.50%, 6/26/20 | | GEL | 610 | | | | 202,706 | |
Bank of Georgia Promissory Note, 7.50%, 6/29/20 | | GEL | 434 | | | | 144,059 | |
Georgia Treasury Bill, 0.00%, 11/14/19 | | GEL | 410 | | | | 138,198 | |
Georgia Treasury Bill, 0.00%, 12/12/19 | | GEL | 296 | | | | 99,372 | |
Georgia Treasury Bill, 0.00%, 5/7/20 | | GEL | 370 | | | | 119,963 | |
Georgia Treasury Bill, 0.00%, 6/4/20 | | GEL | 542 | | | | 174,568 | |
Georgia Treasury Bill, 0.00%, 7/2/20 | | GEL | 453 | | | | 144,935 | |
| | | | | | | | |
Total Georgia | | | $ | 2,269,326 | |
| | | | | | | | |
6
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Nigeria — 1.9% | |
Nigeria OMO Bill, 0.00%, 3/5/20 | | NGN | 620,937 | | | $ | 1,646,524 | |
Nigeria OMO Bill, 0.00%, 4/23/20 | | NGN | 453,524 | | | | 1,178,174 | |
Nigeria OMO Bill, 0.00%, 5/28/20 | | NGN | 421,868 | | | | 1,076,605 | |
Nigeria Treasury Bill, 0.00%, 2/27/20 | | NGN | 190,954 | | | | 507,608 | |
| | | | | | | | |
Total Nigeria | | | $ | 4,408,911 | |
| | | | | | | | |
Pakistan — 4.2% | |
Pakistan Treasury Bill, 0.00%, 12/5/19 | | PKR | 697,600 | | | $ | 4,428,896 | |
Pakistan Treasury Bill, 0.00%, 12/19/19 | | PKR | 695,300 | | | | 4,391,765 | |
Pakistan Treasury Bill, 0.00%, 1/16/20 | | PKR | 165,400 | | | | 1,034,614 | |
| | | | | | | | |
Total Pakistan | | | $ | 9,855,275 | |
| | | | | | | | |
Uruguay — 1.8% | |
Uruguay Monetary Regulation Bill, 0.00%, 8/28/20 | | UYU | 163,000 | | | $ | 4,028,096 | |
Uruguay Monetary Regulation Bill, 0.00%, 9/2/20 | | UYU | 10,500 | | | | 258,798 | |
| | | | | | | | |
Total Uruguay | | | $ | 4,286,894 | |
| | | | | | | | |
| |
Total Foreign Government Securities
(identified cost $34,609,749) | | | $ | 34,771,155 | |
| | | | | | | | |
|
U.S. Treasury Obligations — 0.2% | |
| | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
U.S. Treasury Bill, 0.00%, 11/7/19(12) | | $ | 450 | | | $ | 449,880 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(identified cost $449,880) | | | $ | 449,880 | |
| | | | | | | | |
|
Other — 10.9% | |
| | |
| Description | | Units | | | Value | |
Eaton Vance Cash Reserves Fund, LLC, 1.97%(13) | | | 25,408,265 | | | $ | 25,408,265 | |
| | | | | | | | |
| |
Total Other
(identified cost $25,405,330) | | | $ | 25,408,265 | |
| | | | | | | | |
| |
Total Short-Term Investments
(identified cost $60,464,959) | | | $ | 60,629,300 | |
| | | | | | | | |
| | |
Total Investments — 95.2%
(identified cost $215,475,110) | | | | | | $ | 222,226,260 | |
| | | | | | | | |
| | |
Other Assets, Less Liabilities — 4.8% | | | | | | $ | 11,158,341 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 233,384,601 | |
| | | | | | | | |
7
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, 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 October 31, 2019, the aggregate value of these securities is $78,641,028 or 33.7% of the Fund’s net assets. |
| (2) | Issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflectnon-accrual status. |
| (3) | 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 October 31, 2019, the aggregate value of these securities is $7,334,524 or 3.1% of the Fund’s net assets. |
| (4) | 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. |
| (5) | Represents apayment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
| (6) | Security converts to variable rate after the indicated fixed-rate coupon period. |
| (7) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
| (8) | Amount is less than 0.05%. |
| (9) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
| (10) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2019. |
| (11) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
| (12) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
| (13) | 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 annualizedseven-day yield as of October 31, 2019. |
Centrally Cleared Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | | | | Settlement
Date | | | | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| EUR | | | 6,251,060 | | | USD | | | 6,935,551 | | | | | | | | 11/1/19 | | | | | | | $ | 36,254 | |
| EUR | | | 4,650,959 | | | USD | | | 5,160,658 | | | | | | | | 11/1/19 | | | | | | | | 26,555 | |
| EUR | | | 5,500,032 | | | USD | | | 6,134,184 | | | | | | | | 11/1/19 | | | | | | | | 16,498 | |
| EUR | | | 4,650,959 | | | USD | | | 5,187,213 | | | | | | | | 11/1/19 | | | | | | | | 13,951 | |
| EUR | | | 751,028 | | | USD | | | 837,621 | | | | | | | | 11/1/19 | | | | | | | | 2,253 | |
| USD | | | 828,376 | | | EUR | | | 751,028 | | | | | | | | 11/1/19 | | | | | | | | (9,245 | ) |
| USD | | | 5,127,357 | | | EUR | | | 4,650,959 | | | | | | | | 11/1/19 | | | | | | | | (59,856 | ) |
| USD | | | 6,063,400 | | | EUR | | | 5,500,032 | | | | | | | | 11/1/19 | | | | | | | | (70,784 | ) |
| USD | | | 5,173,262 | | | EUR | | | 5,187,213 | | | | | | | | 11/1/19 | | | | | | | | (13,951 | ) |
| USD | | | 6,953,054 | | | EUR | | | 6,971,805 | | | | | | | | 11/1/19 | | | | | | | | (18,751 | ) |
| BRL | | | 26,615,000 | | | USD | | | 6,390,233 | | | | | | | | 11/4/19 | | | | | | | | 246,097 | |
| BRL | | | 42,260,900 | | | USD | | | 10,537,564 | | | | | | | | 11/4/19 | | | | | | | | (16,843 | ) |
| USD | | | 6,646,937 | | | BRL | | | 6,636,330 | | | | | | | | 11/4/19 | | | | | | | | 10,607 | |
| USD | | | 10,500,907 | | | BRL | | | 42,260,900 | | | | | | | | 11/4/19 | | | | | | | | (36,657 | ) |
| IDR | | | 23,154,380,283 | | | USD | | | 1,634,273 | | | | | | | | 11/12/19 | | | | | | | | 12,391 | |
| USD | | | 425,386 | | | MXN | | | 8,150,232 | | | | | | | | 11/19/19 | | | | | | | | 2,689 | |
| USD | | | 93,948 | | | MXN | | | 1,800,000 | | | | | | | | 11/19/19 | | | | | | | | 594 | |
| COP | | | 187,800,000 | | | USD | | | 54,451 | | | | | | | | 11/25/19 | | | | | | | | 1,073 | |
| BRL | | | 42,260,900 | | | USD | | | 10,480,464 | | | | | | | | 12/3/19 | | | | | | | | 37,728 | |
| PHP | | | 198,360,000 | | | USD | | | 3,783,186 | | | | | | | | 12/6/19 | | | | | | | | 119,010 | |
8
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | | | | Settlement
Date | | | | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| PHP | | | 12,000,000 | | | USD | | | 235,895 | | | | | | | | 12/6/19 | | | | | | | $ | 172 | |
| PHP | | | 48,800,000 | | | USD | | | 932,152 | | | | | | | | 12/10/19 | | | | | | | | 27,711 | |
| PHP | | | 20,770,000 | | | USD | | | 397,535 | | | | | | | | 12/10/19 | | | | | | | | 10,997 | |
| PHP | | | 27,000,000 | | | USD | | | 518,234 | | | | | | | | 12/10/19 | | | | | | | | 12,837 | |
| USD | | | 1,089,902 | | | EUR | | | 963,760 | | | | | | | | 12/13/19 | | | | | | | | 12,168 | |
| USD | | | 565,442 | | | EUR | | | 500,000 | | | | | | | | 12/13/19 | | | | | | | | 6,313 | |
| USD | | | 6,954,492 | | | EUR | | | 6,251,060 | | | | | | | | 12/13/19 | | | | | | | | (35,818 | ) |
| USD | | | 1,608,278 | | | IDR | | | 23,154,380,283 | | | | | | | | 1/6/20 | | | | | | | | (24,848 | ) |
| USD | | | 1,107,903 | | | EUR | | | 1,008,064 | | | | | | | | 1/9/20 | | | | | | | | (21,741 | ) |
| USD | | | 2,100,870 | | | EUR | | | 1,911,550 | | | | | | | | 1/9/20 | | | | | | | | (41,227 | ) |
| IDR | | | 27,938,000,000 | | | USD | | | 1,954,253 | | | | | | | | 1/15/20 | | | | | | | | 14,117 | |
| USD | | | 2,427,095 | | | EUR | | | 2,190,984 | | | | | | | | 1/17/20 | | | | | | | | (29,351 | ) |
| EUR | | | 915,430 | | | USD | | | 1,024,403 | | | | | | | | 1/22/20 | | | | | | | | 2,259 | |
| INR | | | 56,420,000 | | | USD | | | 782,524 | | | | | | | | 1/22/20 | | | | | | | | 4,004 | |
| USD | | | 8,146,176 | | | EUR | | | 7,151,257 | | | | | | | | 1/22/20 | | | | | | | | 125,985 | |
| USD | | | 1,723,205 | | | EUR | | | 1,539,896 | | | | | | | | 1/22/20 | | | | | | | | (3,800 | ) |
| USD | | | 3,747,372 | | | EUR | | | 3,312,799 | | | | | | | | 1/27/20 | | | | | | | | 30,894 | |
| USD | | | 688,111 | | | EUR | | | 608,312 | | | | | | | | 1/27/20 | | | | | | | | 5,673 | |
| USD | | | 412,202 | | | EUR | | | 364,400 | | | | | | | | 1/27/20 | | | | | | | | 3,398 | |
| USD | | | 574,626 | | | EUR | | | 508,665 | | | | | | | | 1/31/20 | | | | | | | | 3,837 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 403,193 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | |
| BRL | | | 9,261,000 | | | USD | | | 2,248,836 | | | Standard Chartered Bank | | | 11/4/19 | | | $ | 60,352 | | | $ | — | |
| BRL | | | 5,429,900 | | | USD | | | 1,318,311 | | | Standard Chartered Bank | | | 11/4/19 | | | | 35,610 | | | | — | |
| BRL | | | 955,000 | | | USD | | | 229,928 | | | Standard Chartered Bank | | | 11/4/19 | | | | 8,197 | | | | — | |
| USD | | | 2,312,879 | | | BRL | | | 9,261,000 | | | Standard Chartered Bank | | | 11/4/19 | | | | 3,691 | | | | — | |
| USD | | | 1,356,085 | | | BRL | | | 5,429,900 | | | Standard Chartered Bank | | | 11/4/19 | | | | 2,164 | | | | — | |
| USD | | | 238,506 | | | BRL | | | 955,000 | | | Standard Chartered Bank | | | 11/4/19 | | | | 381 | | | | — | |
| XOF | | | 53,292,000 | | | EUR | | | 78,141 | | | ICBC Standard Bank plc | | | 11/5/19 | | | | 3,450 | | | | — | |
| UGX | | | 1,589,900,000 | | | USD | | | 407,357 | | | Standard Chartered Bank | | | 11/7/19 | | | | 20,350 | | | | — | |
| UGX | | | 993,103,000 | | | USD | | | 254,969 | | | Standard Chartered Bank | | | 11/20/19 | | | | 11,455 | | | | — | |
| EUR | | | 121,626 | | | RSD | | | 14,328,146 | | | JPMorgan Chase Bank, N.A. | | | 11/22/19 | | | | — | | | | (257 | ) |
| INR | | | 277,080,000 | | | USD | | | 3,866,374 | | | Standard Chartered Bank | | | 11/22/19 | | | | 27,145 | | | | — | |
| COP | | | 3,747,885,000 | | | USD | | | 1,088,788 | | | Standard Chartered Bank | | | 11/25/19 | | | | 19,290 | | | | — | |
| USD | | | 1,972,180 | | | NGN | | | 714,284,152 | | | Standard Chartered Bank | | | 11/29/19 | | | | 6,035 | | | | — | |
| THB | | | 27,470,000 | | | USD | | | 895,663 | | | Standard Chartered Bank | | | 12/6/19 | | | | 14,342 | | | | — | |
| THB | | | 59,844,260 | | | USD | | | 1,982,583 | | | Standard Chartered Bank | | | 12/6/19 | | | | — | | | | (107 | ) |
| USD | | | 1,232,935 | | | EUR | | | 1,107,100 | | | Bank of America, N.A. | | | 12/6/19 | | | | — | | | | (4,401 | ) |
| USD | | | 295,673 | | | EUR | | | 264,655 | | | Citibank, N.A. | | | 12/6/19 | | | | — | | | | (115 | ) |
| USD | | | 1,216,225 | | | EUR | | | 1,088,635 | | | Citibank, N.A. | | | 12/6/19 | | | | — | | | | (475 | ) |
| USD | | | 5,178,796 | | | EUR | | | 4,650,959 | | | Goldman Sachs International | | | 12/6/19 | | | | — | | | | (19,290 | ) |
| USD | | | 748,979 | | | EUR | | | 671,942 | | | UBS AG | | | 12/6/19 | | | | — | | | | (2,008 | ) |
| USD | | | 1,049,994 | | | THB | | | 32,181,000 | | | Standard Chartered Bank | | | 12/6/19 | | | | — | | | | (16,074 | ) |
| USD | | | 1,119,627 | | | THB | | | 34,309,000 | | | Standard Chartered Bank | | | 12/6/19 | | | | — | | | | (16,936 | ) |
| PHP | | | 49,270,000 | | | USD | | | 943,057 | | | UBS AG | | | 12/10/19 | | | | 26,050 | | | | — | |
| THB | | | 5,817,000 | | | USD | | | 190,017 | | | Standard Chartered Bank | | | 12/16/19 | | | | 2,712 | | | | — | |
| THB | | | 3,282,000 | | | USD | | | 107,173 | | | Standard Chartered Bank | | | 12/16/19 | | | | 1,567 | | | | — | |
9
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | |
| USD | | | 322,967 | | | THB | | | 9,890,393 | | | Standard Chartered Bank | | | 12/16/19 | | | $ | — | | | $ | (4,722 | ) |
| USD | | | 572,600 | | | THB | | | 17,529,000 | | | Standard Chartered Bank | | | 12/16/19 | | | | — | | | | (8,172 | ) |
| UGX | | | 1,000,000,000 | | | USD | | | 264,971 | | | Standard Chartered Bank | | | 12/20/19 | | | | 1,485 | | | | — | |
| USD | | | 3,721,902 | | | IDR | | | 52,475,099,435 | | | Standard Chartered Bank | | | 1/6/20 | | | | 20,725 | | | | — | |
| THB | | | 2,263,000 | | | USD | | | 74,010 | | | Standard Chartered Bank | | | 1/10/20 | | | | 995 | | | | — | |
| THB | | | 1,948,000 | | | USD | | | 63,730 | | | Standard Chartered Bank | | | 1/10/20 | | | | 834 | | | | — | |
| USD | | | 388,663 | | | THB | | | 11,880,064 | | | Standard Chartered Bank | | | 1/10/20 | | | | — | | | | (5,089 | ) |
| USD | | | 451,451 | | | THB | | | 13,804,000 | | | Standard Chartered Bank | | | 1/10/20 | | | | — | | | | (6,068 | ) |
| THB | | | 51,590,000 | | | USD | | | 1,705,173 | | | Standard Chartered Bank | | | 1/24/20 | | | | 5,021 | | | | — | |
| UGX | | | 7,506,300,000 | | | USD | | | 1,898,887 | | | Standard Chartered Bank | | | 1/30/20 | | | | 82,911 | | | | — | |
| TRY | | | 5,109,000 | | | USD | | | 1,112,151 | | | Goldman Sachs International | | | 2/3/20 | | | | — | | | | (239,824 | ) |
| USD | | | 1,014,484 | | | TRY | | | 5,148,000 | | | Goldman Sachs International | | | 2/3/20 | | | | 135,498 | | | | — | |
| TRY | | | 560,801 | | | USD | | | 121,702 | | | Deutsche Bank AG | | | 2/10/20 | | | | — | | | | (26,122 | ) |
| TRY | | | 561,000 | | | USD | | | 121,877 | | | Standard Chartered Bank | | | 2/10/20 | | | | — | | | | (26,263 | ) |
| USD | | | 111,144 | | | TRY | | | 564,000 | | | Deutsche Bank AG | | | 2/10/20 | | | | 15,019 | | | | — | |
| USD | | | 111,199 | | | TRY | | | 564,000 | | | Standard Chartered Bank | | | 2/10/20 | | | | 15,074 | | | | — | |
| TRY | | | 716,199 | | | USD | | | 155,577 | | | Standard Chartered Bank | | | 2/14/20 | | | | — | | | | (33,638 | ) |
| TRY | | | 9,000,000 | | | USD | | | 1,952,701 | | | Standard Chartered Bank | | | 2/14/20 | | | | — | | | | (420,377 | ) |
| USD | | | 1,923,513 | | | TRY | | | 9,802,300 | | | Standard Chartered Bank | | | 2/14/20 | | | | 254,591 | | | | — | |
| TRY | | | 5,000,000 | | | USD | | | 1,018,952 | | | Bank of America, N.A. | | | 3/20/20 | | | | — | | | | (175,285 | ) |
| USD | | | 980,000 | | | TRY | | | 5,033,770 | | | Bank of America, N.A. | | | 3/20/20 | | | | 130,635 | | | | — | |
| UGX | | | 2,180,803,000 | | | USD | | | 542,763 | | | Standard Chartered Bank | | | 3/23/20 | | | | 26,376 | | | | — | |
| UGX | | | 2,181,345,656 | | | USD | | | 542,763 | | | Standard Chartered Bank | | | 3/25/20 | | | | 26,270 | | | | — | |
| UGX | | | 1,021,492,000 | | | USD | | | 269,665 | | | Standard Chartered Bank | | | 3/27/20 | | | | — | | | | (3,312 | ) |
| UGX | | | 381,024,000 | | | USD | | | 94,570 | | | Standard Chartered Bank | | | 4/14/20 | | | | 4,394 | | | | — | |
| EGP | | | 8,060,000 | | | USD | | | 422,100 | | | Goldman Sachs International | | | 4/21/20 | | | | 55,923 | | | | — | |
| UGX | | | 993,624,000 | | | USD | | | 246,007 | | | Standard Chartered Bank | | | 6/15/20 | | | | 7,517 | | | | — | |
| UGX | | | 982,030,000 | | | USD | | | 246,215 | | | Standard Chartered Bank | | | 7/2/20 | | | | 3,000 | | | | — | |
| UGX | | | 4,009,224,000 | | | USD | | | 1,008,103 | | | Standard Chartered Bank | | | 8/14/20 | | | | — | | | | (4,652 | ) |
| UGX | | | 2,000,000,000 | | | USD | | | 505,689 | | | Standard Chartered Bank | | | 9/17/20 | | | | — | | | | (10,903 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 1,029,059 | | | $ | (1,024,090 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Position | | | Expiration
Date | | | Notional
Amount | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Interest Rate Futures | |
5-Year USD Deliverable Interest Rate Swap | | | 3 | | | | Short | | | | 12/16/19 | | | $ | (300,352 | ) | | $ | (1,078 | ) |
Euro-Bobl | | | 33 | | | | Short | | | | 12/6/19 | | | | (4,954,674 | ) | | | 57,014 | |
Euro-Bund | | | 2 | | | | Short | | | | 12/6/19 | | | | (383,128 | ) | | | 6,324 | |
U.S.10-Year Treasury Note | | | 12 | | | | Short | | | | 12/19/19 | | | | (1,563,562 | ) | | | 17,906 | |
U.S. Ultra-Long Treasury Bond | | | 5 | | | | Short | | | | 12/19/19 | | | | (948,750 | ) | | | (27,219 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 52,947 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
10
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | Floating Rate | | Annual Fixed Rate | | Termination
Date | | |
Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
| CNY | | | 61,630 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 3.07%
(pays quarterly) | | | 5/7/24 | | | $ | (3,322 | ) | | $ | — | | | $ | (3,322 | ) |
| CNY | | | 4,213 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (4,907 | ) | | | — | | | | (4,907 | ) |
| CNY | | | 8,426 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (9,947 | ) | | | — | | | | (9,947 | ) |
| CNY | | | 8,426 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (10,053 | ) | | | — | | | | (10,053 | ) |
| CNY | | | 11,235 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (13,617 | ) | | | — | | | | (13,617 | ) |
| CNY | | | 12,920 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (15,049 | ) | | | — | | | | (15,049 | ) |
| CNY | | | 16,852 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | (19,894 | ) | | | — | | | | (19,894 | ) |
| CNY | | | 5,618 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.87%
(pays quarterly) | | | 6/10/24 | | | | (7,786 | ) | | | — | | | | (7,786 | ) |
| CNY | | | 6,130 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.79%
(pays quarterly) | | | 7/4/24 | | | | (12,054 | ) | | | — | | | | (12,054 | ) |
| CNY | | | 3,397 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.67%
(pays quarterly) | | | 8/12/24 | | | | (9,445 | ) | | | — | | | | (9,445 | ) |
| CNY | | | 5,970 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.67%
(pays quarterly) | | | 8/12/24 | | | | (16,895 | ) | | | — | | | | (16,895 | ) |
| CNY | | | 15,500 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.68%
(pays quarterly) | | | 8/13/24 | | | | (43,054 | ) | | | — | | | | (43,054 | ) |
| CNY | | | 15,500 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.87%
(pays quarterly) | | | 9/17/24 | | | | (24,236 | ) | | | — | | | | (24,236 | ) |
| EUR | | | 400 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 1.00%
(pays annually) | | | 3/21/23 | | | | (23,287 | ) | | | 10,893 | | | | (12,394 | ) |
| EUR | | | 250 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.30)%
(pays annually) | | | 7/23/24 | | | | 268 | | | | — | | | | 268 | |
| EUR | | | 296 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.53)%
(pays annually) | | | 8/22/24 | | | | 3,978 | | | | — | | | | 3,978 | |
| EUR | | | 1,051 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.45)%
(pays annually) | | | 8/26/24 | | | | 9,609 | | | | (1 | ) | | | 9,608 | |
| EUR | | | 1,050 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.46)%
(pays annually) | | | 9/12/24 | | | | 10,257 | | | | 1 | | | | 10,258 | |
| EUR | | | 430 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.34)%
(pays annually) | | | 9/17/24 | | | | 1,452 | | | | 1 | | | | 1,453 | |
| EUR | | | 190 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.11%
(pays annually) | | | 7/23/29 | | | | (2,547 | ) | | | 2,111 | | | | (436 | ) |
| EUR | | | 544 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.11%
(pays annually) | | | 7/23/29 | | | | (7,095 | ) | | | 2,086 | | | | (5,009 | ) |
| EUR | | | 397 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.05)%
(pays annually) | | | 8/6/29 | | | | 2,071 | | | | (1 | ) | | | 2,070 | |
| EUR | | | 400 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.08)%
(pays annually) | | | 8/6/29 | | | | 3,349 | | | | (1 | ) | | | 3,348 | |
| EUR | | | 229 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.16)%
(pays annually) | | | 9/12/29 | | | | 4,469 | | | | — | | | | 4,469 | |
11
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | Floating Rate | | Annual Fixed Rate | | Termination
Date | | |
Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
| EUR | | | 125 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.03)%
(pays annually) | | | 10/17/29 | | | $ | 739 | | | $ | — | | | $ | 739 | |
| MXN | | | 64,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 8.45%
(pays monthly) | | | 1/3/24 | | | | 266,730 | | | | — | | | | 266,730 | |
| MXN | | | 63,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 8.38%
(pays monthly) | | | 1/18/24 | | | | 255,523 | | | | (5 | ) | | | 255,518 | |
| MXN | | | 30,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.75%
(pays monthly) | | | 4/1/24 | | | | 87,785 | | | | 704 | | | | 88,489 | |
| MXN | | | 46,163 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.63%
(pays monthly) | | | 5/23/24 | | | | 127,464 | | | | — | | | | 127,464 | |
| MXN | | | 48,837 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.64%
(pays monthly) | | | 5/23/24 | | | | 135,617 | | | | — | | | | 135,617 | |
| MXN | | | 21,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays annually) | | 6.80%
(pays annually) | | | 9/10/24 | | | | 21,703 | | | | — | | | | 21,703 | |
| MXN | | | 31,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.06%
(pays monthly) | | | 7/30/29 | | | | 51,385 | | | | — | | | | 51,385 | |
| THB | | | 44,000 | | | Pays | | 6-month THB Fixing Rate
(pays semi-annually) | | 1.88%
(pays semi-annually) | | | 6/6/29 | | | | 43,025 | | | | — | | | | 43,025 | |
| THB | | | 14,000 | | | Pays | | 6-month THB Fixing Rate
(pays semi-annually) | | 1.34%
(pays semi-annually) | | | 8/14/29 | | | | (9,509 | ) | | | — | | | | (9,509 | ) |
| USD | | | 345 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.87%
(pays semi-annually) | | | 5/16/21 | | | | (9,575 | ) | | | (6 | ) | | | (9,581 | ) |
| USD | | | 530 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.46%
(pays semi-annually) | | | 8/22/22 | | | | 1,654 | | | | — | | | | 1,654 | |
| USD | | | 480 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.64%
(pays semi-annually) | | | 9/19/22 | | | | (1,237 | ) | | | — | | | | (1,237 | ) |
| USD | | | 385 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.42%
(pays semi-annually) | | | 10/9/22 | | | | 1,165 | | | | — | | | | 1,165 | |
| USD | | | 715 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.39%
(pays semi-annually) | | | 10/10/22 | | | | 2,712 | | | | — | | | | 2,712 | |
| USD | | | 440 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.07%
(pays semi-annually) | | | 10/20/22 | | | | (7,209 | ) | | | (73 | ) | | | (7,282 | ) |
| USD | | | 420 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.69%
(pays semi-annually) | | | 2/6/23 | | | | (16,221 | ) | | | — | | | | (16,221 | ) |
| USD | | | 645 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.64%
(pays semi-annually) | | | 2/12/23 | | | | (23,998 | ) | | | — | | | | (23,998 | ) |
| USD | | | 1,100 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly)
| | 2.66%
(pays semi-annually) | | | 2/12/23 | | | | (41,753 | ) | | | (3,743 | ) | | | (45,496 | ) |
| USD | | | 600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.79%
(pays semi-annually) | | | 3/14/23 | | | | (25,791 | ) | | | — | | | | (25,791 | ) |
| USD | | | 235 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.88%
(pays semi-annually) | | | 7/10/23 | | | | (13,429 | ) | | | — | | | | (13,429 | ) |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.88%
(pays semi-annually) | | | 7/11/23 | | | | (11,486 | ) | | | (101 | ) | | | (11,587 | ) |
| USD | | | 345 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.11%
(pays semi-annually) | | | 9/27/23 | | | | (21,430 | ) | | | 8 | | | | (21,422 | ) |
| USD | | | 271 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.09%
(pays semi-annually) | | | 9/28/23 | | | | (16,631 | ) | | | — | | | | (16,631 | ) |
| USD | | | 265 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.08%
(pays semi-annually) | | | 10/2/23 | | | | (16,154 | ) | | | — | | | | (16,154 | ) |
12
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | Floating Rate | | Annual Fixed Rate | | Termination
Date | | |
Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
| USD | | | 350 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.06%
(pays semi-annually) | | | 10/2/23 | | | $ | (21,134 | ) | | $ | (33 | ) | | $ | (21,167 | ) |
| USD | | | 244 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.08%
(pays semi-annually) | | | 10/3/23 | | | | (14,866 | ) | | | — | | | | (14,866 | ) |
| USD | | | 430 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.12%
(pays semi-annually) | | | 10/27/23 | | | | (27,234 | ) | | | — | | | | (27,234 | ) |
| USD | | | 600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.22%
(pays semi-annually) | | | 11/13/23 | | | | (46,639 | ) | | | — | | | | (46,639 | ) |
| USD | | | 615 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.01%
(pays semi-annually) | | | 11/23/23 | | | | (42,423 | ) | | | — | | | | (42,423 | ) |
| USD | | | 390 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.71%
(pays semi-annually) | | | 12/24/23 | | | | (21,991 | ) | | | — | | | | (21,991 | ) |
| USD | | | 500 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.46%
(pays semi-annually) | | | 2/26/24 | | | | (20,546 | ) | | | (1,226 | ) | | | (21,772 | ) |
| USD | | | 1,207 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.22%
(pays semi-annually) | | | 3/28/24 | | | | (37,589 | ) | | | — | | | | (37,589 | ) |
| USD | | | 1,340 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.37%
(pays semi-annually) | | | 4/3/24 | | | | (50,428 | ) | | | — | | | | (50,428 | ) |
| USD | | | 777 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.87%
(pays semi-annually) | | | 6/14/24 | | | | (16,900 | ) | | | — | | | | (16,900 | ) |
| USD | | | 750 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.74%
(pays semi-annually) | | | 6/28/24 | | | | (11,648 | ) | | | — | | | | (11,648 | ) |
| USD | | | 300 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.76%
(pays semi-annually) | | | 7/1/24 | | | | (4,898 | ) | | | — | | | | (4,898 | ) |
| USD | | | 295 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.84%
(pays semi-annually) | | | 7/11/24 | | | | (6,048 | ) | | | — | | | | (6,048 | ) |
| USD | | | 999 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.85%
(pays semi-annually) | | | 7/15/24 | | | | (21,185 | ) | | | — | | | | (21,185 | ) |
| USD | | | 337 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.79%
(pays semi-annually) | | | 7/23/24 | | | | (6,164 | ) | | | — | | | | (6,164 | ) |
| USD | | | 130 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.49%
(pays semi-annually) | | | 8/13/24 | | | | 178 | | | | — | | | | 178 | |
| USD | | | 350 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.43%
(pays semi-annually) | | | 8/14/24 | | | | 1,419 | | | | — | | | | 1,419 | |
| USD | | | 85 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.40%
(pays semi-annually) | | | 8/23/24 | | | | 447 | | | | — | | | | 447 | |
| USD | | | 140 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.63%
(pays semi-annually) | | | 9/17/24 | | | | (856 | ) | | | — | | | | (856 | ) |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.66%
(pays semi-annually) | | | 9/18/24 | | | | (1,501 | ) | | | — | | | | (1,501 | ) |
| USD | | | 1,600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.39%
(pays semi-annually) | | | 10/11/24 | | | | 7,982 | | | | — | | | | 7,982 | |
| USD | | | 168 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 10/17/24 | | | | (677 | ) | | | — | | | | (677 | ) |
| USD | | | 182 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 10/18/24 | | | | (703 | ) | | | — | | | | (703 | ) |
| USD | | | 850 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.59%
(pays semi-annually) | | | 10/24/24 | | | | (4,142 | ) | | | — | | | | (4,142 | ) |
| USD | | | 500 | | | Receives | | 3-monthUSD-LIBOR
(pays semi-annually) | | 1.64%
(pays semi-annually) | | | 10/30/24 | | | | (3,874 | ) | | | — | | | | (3,874 | ) |
| USD | | | 1,242 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.18%
(pays semi-annually) | | | 9/19/27 | | | | (58,008 | ) | | | — | | | | (58,008 | ) |
13
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | Floating Rate | | Annual Fixed Rate | | Termination
Date | | |
Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
| USD | | | 693 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.13%
(pays semi-annually) | | | 9/28/28 | | | $ | (90,573 | ) | | $ | — | | | $ | (90,573 | ) |
| USD | | | 283 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.12%
(pays semi-annually) | | | 10/2/28 | | | | (36,598 | ) | | | — | | | | (36,598 | ) |
| USD | | | 387 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.11%
(pays semi-annually) | | | 10/2/28 | | | | (49,798 | ) | | | 181 | | | | (49,617 | ) |
| USD | | | 2,244 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.25%
(pays semi-annually) | | | 11/13/28 | | | | (339,755 | ) | | | — | | | | (339,755 | ) |
| USD | | | 2,000 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.48%
(pays semi-annually) | | | 4/12/29 | | | | (157,939 | ) | | | — | | | | (157,939 | ) |
| USD | | | 632 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.93%
(pays semi-annually) | | | 6/27/29 | | | | (22,047 | ) | | | — | | | | (22,047 | ) |
| USD | | | 1,500 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.80%
(pays semi-annually) | | | 8/5/29 | | | | (26,341 | ) | | | — | | | | (26,341 | ) |
| USD | | | 600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.55%
(pays semi-annually) | | | 8/14/29 | | | | 3,190 | | | | — | | | | 3,190 | |
| USD | | | 719 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.35%
(pays semi-annually) | | | 9/6/29 | | | | 17,235 | | | | — | | | | 17,235 | |
| USD | | | 600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.46%
(pays semi-annually) | | | 9/9/29 | | | | 8,001 | | | | — | | | | 8,001 | |
| USD | | | 1,946 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.47%
(pays semi-annually) | | | 9/9/29 | | | | 23,968 | | | | — | | | | 23,968 | |
| USD | | | 109 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.49%
(pays semi-annually) | | | 9/10/29 | | | | 1,195 | | | | — | | | | 1,195 | |
| USD | | | 1,787 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.66%
(pays semi-annually) | | | 9/16/29 | | | | (8,089 | ) | | | — | | | | (8,089 | ) |
| USD | | | 350 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.71%
(pays semi-annually) | | | 9/19/29 | | | | (3,175 | ) | | | — | | | | (3,175 | ) |
| USD | | | 900 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.43%
(pays semi-annually) | | | 10/8/29 | | | | 14,770 | | | | — | | | | 14,770 | |
| USD | | | 75 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.63%
(pays semi-annually) | | | 10/17/29 | | | | (202 | ) | | | — | | | | (202 | ) |
| USD | | | 170 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.67%
(pays semi-annually) | | | 10/22/29 | | | | (1,062 | ) | | | — | | | | (1,062 | ) |
| USD | | | 884 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.69%
(pays semi-annually) | | | 10/22/29 | | | | (7,566 | ) | | | — | | | | (7,566 | ) |
| USD | | | 1,760 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.21%
(pays semi-annually) | | | 8/1/49 | | | | (167,786 | ) | | | — | | | | (167,786 | ) |
| USD | | | 117 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.71%
(pays semi-annually) | | | 8/27/49 | | | | 2,270 | | | | — | | | | 2,270 | |
| USD | | | 135 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.70%
(pays semi-annually) | | | 8/27/49 | | | | 2,966 | | | | — | | | | 2,966 | |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.65%
(pays semi-annually) | | | 8/28/49 | | | | 6,989 | | | | — | | | | 6,989 | |
| USD | | | 420 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 8/29/49 | | | | 22,325 | | | | — | | | | 22,325 | |
| USD | | | 99 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.54%
(pays semi-annually) | | | 8/30/49 | | | | 5,965 | | | | — | | | | 5,965 | |
| USD | | | 308 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.65%
(pays semi-annually) | | | 9/9/49 | | | | 10,520 | | | | — | | | | 10,520 | |
| USD | | | 42 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.70%
(pays semi-annually) | | | 9/12/49 | | | | 964 | | | | — | | | | 964 | |
14
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | Floating Rate | | Annual Fixed Rate | | Termination
Date | | |
Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
| USD | | | 110 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.86%
(pays semi-annually) | | | 9/17/49 | | | $ | (1,554 | ) | | $ | — | | | $ | (1,554 | ) |
| USD | | | 250 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.87%
(pays semi-annually) | | | 9/17/49 | | | | (4,263 | ) | | | — | | | | (4,263 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (612,474 | ) | | $ | 10,795 | | | $ | (601,679 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Notional
Amount
(000’s omitted) | | | Fund
Pays/Receives
Floating Rate | | | Floating Rate | | Annual
Fixed Rate | | Termination
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
Bank of America, N.A. | | | MXN | | | | 2,844 | | | | Pays | | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.63%
(pays monthly) | | | 3/19/24 | | | $ | 1,780 | |
BNP Paribas | | | MYR | | | | 16,500 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.13%
(pays quarterly) | | | 10/4/24 | | | | (30,191 | ) |
Citibank, N.A. | | | MYR | | | | 10,400 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.13%
(pays quarterly) | | | 10/4/24 | | | | (19,030 | ) |
JPMorgan Chase Bank, N.A. | | | MYR | | | | 19,700 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.13%
(pays quarterly) | | | 10/4/24 | | | | (36,047 | ) |
Standard Chartered Bank | | | MYR | | | | 13,400 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.12%
(pays quarterly) | | | 10/4/24 | | | | (25,660 | ) |
Standard Chartered Bank | | | MYR | | | | 5,000 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.16%
(pays quarterly) | | | 10/15/24 | | | | (7,331 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (116,479 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount*
(000’s omitted) | | | Contract
Annual
Fixed Rate** | | Termination
Date | | | Current
Market
Annual
Fixed
Rate*** | | | Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation | |
| Bahamas | | Deutsche Bank AG | | $ | 600 | | | 1.00%
(pays quarterly)(1) | | | 6/20/22 | | | | 1.97 | % | | $ | (14,056 | ) | | $ | 28,425 | | | $ | 14,369 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 600 | | | | | | | | | | | | | $ | (14,056 | ) | | $ | 28,425 | | | $ | 14,369 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2019, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $600,000. |
| ** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract. |
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| *** | 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. |
| | | | |
Abbreviations: |
| | |
EURIBOR | | - | | Euro Interbank Offered Rate |
| | |
LIBOR | | - | | London Interbank Offered Rate |
| | |
GDP | | - | | Gross Domestic Product |
| | |
OMO | | - | | Open Market Operation |
Currency Abbreviations:
| | | | |
| | |
BAM | | - | | Bosnia-Herzegovina Convertible Mark |
| | |
BRL | | - | | Brazilian Real |
| | |
CNY | | - | | Yuan Renminbi |
| | |
COP | | - | | Colombian Peso |
| | |
DOP | | - | | Dominican Peso |
| | |
EGP | | - | | Egyptian Pound |
| | |
EUR | | - | | Euro |
| | |
GEL | | - | | Georgian Lari |
| | |
IDR | | - | | Indonesian Rupiah |
| | |
INR | | - | | Indian Rupee |
| | |
LKR | | - | | Sri Lankan Rupee |
| | |
MXN | | - | | Mexican Peso |
| | | | |
| | |
MYR | | - | | Malaysian Ringgit |
| | |
NGN | | - | | Nigerian Naira |
| | |
PHP | | - | | Philippine Peso |
| | |
PKR | | - | | Pakistani Rupee |
| | |
RSD | | - | | Serbian Dinar |
| | |
THB | | - | | Thai Baht |
| | |
TRY | | - | | New Turkish Lira |
| | |
UAH | | - | | Ukrainian Hryvnia |
| | |
UGX | | - | | Ugandan Shilling |
| | |
USD | | - | | United States Dollar |
| | |
UYU | | - | | Uruguayan Peso |
| | |
XOF | | - | | West African CFA franc |
At October 31, 2019, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Credit Risk: The Fund 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 Fund engages in forward foreign currency exchange contracts 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 Fund utilizes various interest rate derivatives including interest rate futures contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
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The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2019 was as follows:
| | | | | | | | | | |
| | | | | Fair Value | |
Risk | | Derivative | | Asset
Derivative | | | Liability
Derivative | |
| Credit | | Credit Default Swaps | | $ | — | | | $ | (14,056 | ) |
| | | | | | | | | | |
Total | | | | $ | — | | | $ | (14,056 | ) |
| | | | | | | | | | |
| | | |
| Foreign Exchange | | Forward Foreign Currency Exchange Contracts | | $ | 1,029,059 | | | $ | (1,024,090 | ) |
| Foreign Exchange | | Centrally Cleared Forward Foreign Currency Exchange Contracts | | | 786,065 | | | | (382,872 | ) |
| | | | | | | | | | |
Total | | | | $ | 1,815,124 | | | $ | (1,406,962 | ) |
| | | | | | | | | | |
| | | |
| Interest Rate | | Futures Contracts | | $ | 81,244 | | | $ | (28,297 | ) |
| Interest Rate | | Interest Rate Swaps | | | 1,780 | | | | (118,259 | ) |
| Interest Rate | | Interest Rate Swaps (Centrally Cleared) | | | 1,161,339 | | | | (1,773,813 | ) |
| | | | | | | | | | |
Total | | | | $ | 1,244,363 | | | $ | (1,920,369 | ) |
| | | | | | | | | | |
At October 31, 2019, the value of the Fund’s investment in affiliated funds was $25,408,265, which represents 10.9% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended October 31, 2019 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, 1.97% | | $ | 9,438,170 | | | $ | 65,808,720 | | | $ | (49,841,291 | ) | | $ | 130 | | | $ | 2,536 | | | $ | 25,408,265 | | | $ | 85,791 | | | | 25,408,265 | |
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.
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At October 31, 2019, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
| | | | | | | | | | | | | | | | |
| Asset Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Foreign Government Bonds | | $ | — | | | $ | 123,656,446 | | | $ | — | | | $ | 123,656,446 | |
Foreign Corporate Bonds | | | — | | | | 29,497,233 | | | | — | | | | 29,497,233 | |
Sovereign Loans | | | — | | | | 7,327,620 | | | | — | | | | 7,327,620 | |
Senior Floating-Rate Loans | | | — | | | | — | | | | 1,115,661 | | | | 1,115,661 | |
Short-Term Investments - | | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 34,771,155 | | | | — | | | | 34,771,155 | |
U.S. Treasury Obligations | | | — | | | | 449,880 | | | | — | | | | 449,880 | |
Other | | | — | | | | 25,408,265 | | | | — | | | | 25,408,265 | |
Total Investments | | $ | — | | | $ | 221,110,599 | | | $ | 1,115,661 | | | $ | 222,226,260 | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 1,815,124 | | | $ | — | | | $ | 1,815,124 | |
Futures Contracts | | | 81,244 | | | | — | | | | — | | | | 81,244 | |
Swap Contracts | | | — | | | | 1,163,119 | | | | — | | | | 1,163,119 | |
Total | | $ | 81,244 | | | $ | 224,088,842 | | | $ | 1,115,661 | | | $ | 225,285,747 | |
| | | |
| Liability Description | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,406,962 | ) | | $ | — | | | $ | (1,406,962 | ) |
Futures Contracts | | | (28,297 | ) | | | — | | | | — | | | | (28,297 | ) |
Swap Contracts | | | — | | | | (1,906,128 | ) | | | — | | | | (1,906,128 | ) |
Total | | $ | (28,297 | ) | | $ | (3,313,090 | ) | | $ | — | | | $ | (3,341,387 | ) |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
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