Eaton Vance
Emerging Markets Debt Opportunities Fund
April 30, 2020
PORTFOLIO OF INVESTMENTS (Unaudited)
Foreign Government Bonds — 60.4%
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Argentina — 1.4% | | | | | | | | |
Republic of Argentina, 3.75% to 3/31/29, 12/31/38 | | USD | 2,016 | | | $ | 645,266 | |
Republic of Argentina, 6.25%, 11/9/47(1) | | EUR | 4,824 | | | | 1,226,281 | |
Republic of Argentina, 6.625%, 7/6/28 | | USD | 532 | | | | 134,330 | |
Republic of Argentina, 6.875%, 1/11/48 | | USD | 5,111 | | | | 1,207,525 | |
Republic of Argentina, 7.625%, 4/22/46 | | USD | 2,038 | | | | 509,521 | |
| | | | | | | | |
Total Argentina | | | | | | $ | 3,722,923 | |
| | | | | | | | |
Armenia — 1.5% | | | | | | | | |
Republic of Armenia, 3.95%, 9/26/29(1) | | USD | 2,421 | | | $ | 2,259,795 | |
Republic of Armenia, 7.15%, 3/26/25(1) | | USD | 1,748 | | | | 1,869,911 | |
| | | | | | | | |
Total Armenia | | | | | | $ | 4,129,706 | |
| | | | | | | | |
Bahrain — 1.0% | | | | | | | | |
Kingdom of Bahrain, 6.75%, 9/20/29(1) | | USD | 1,827 | | | $ | 1,778,292 | |
Kingdom of Bahrain, 7.00%, 1/26/26(1) | | USD | 973 | | | | 973,566 | |
| | | | | | | | |
Total Bahrain | | | | | | $ | 2,751,858 | |
| | | | | | | | |
Barbados — 0.6% | | | | | | | | |
Government of Barbados, 6.50%, 10/1/29(2) | | USD | 1,855 | | | $ | 1,604,402 | |
| | | | | | | | |
Total Barbados | | | | | | $ | 1,604,402 | |
| | | | | | | | |
Belarus — 1.0% | | | | | | | | |
Republic of Belarus, 6.875%, 2/28/23(1) | | USD | 2,835 | | | $ | 2,783,222 | |
| | | | | | | | |
Total Belarus | | | | | | $ | 2,783,222 | |
| | | | | | | | |
Benin — 1.0% | | | | | | | | |
Benin Government International Bond, 5.75%, 3/26/26(1) | | EUR | 3,000 | | | $ | 2,743,328 | |
| | | | | | | | |
Total Benin | | | | | | $ | 2,743,328 | |
| | | | | | | | |
Bosnia and Herzegovina — 0.1% | | | | | | | | |
Republic of Srpska, 1.50%, 10/30/23 | | BAM | 194 | | | $ | 108,575 | |
Republic of Srpska, 1.50%, 6/9/25 | | BAM | 59 | | | | 32,411 | |
Republic of Srpska, 1.50%, 9/25/26 | | BAM | 295 | | | | 164,285 | |
| | | | | | | | |
Total Bosnia and Herzegovina | | | | | | $ | 305,271 | |
| | | | | | | | |
1
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Brazil — 0.2% | | | | | | | | |
Banco Nacional de Desenvolvimento Economico e Social, 5.75%, 9/26/23(1) | | USD | 400 | | | $ | 418,924 | |
| | | | | | | | |
Total Brazil | | | | | | $ | 418,924 | |
| | | | | | | | |
Chile — 0.3% | | | | | | | | |
Republic of Chile, 3.125%, 1/21/26 | | USD | 758 | | | $ | 811,534 | |
| | | | | | | | |
Total Chile | | | | | | $ | 811,534 | |
| | | | | | | | |
Dominican Republic — 0.3% | | | | | | | | |
Dominican Republic, 7.50%, 5/6/21(1) | | USD | 833 | | | $ | 831,258 | |
| | | | | | | | |
Total Dominican Republic | | | | | | $ | 831,258 | |
| | | | | | | | |
Ecuador — 0.1% | | | | | | | | |
Republic of Ecuador, 9.50%, 3/27/30(1) | | USD | 754 | | | $ | 220,545 | |
Republic of Ecuador, 9.625%, 6/2/27(1) | | USD | 200 | | | | 57,752 | |
| | | | | | | | |
Total Ecuador | | | | | | $ | 278,297 | |
| | | | | | | | |
Egypt — 5.3% | | | | | | | | |
Arab Republic of Egypt, 4.75%, 4/11/25(1) | | EUR | 540 | | | $ | 521,208 | |
Arab Republic of Egypt, 5.625%, 4/16/30(1) | | EUR | 114 | | | | 103,246 | |
Arab Republic of Egypt, 5.875%, 6/11/25(1) | | USD | 458 | | | | 434,252 | |
Arab Republic of Egypt, 6.375%, 4/11/31(1) | | EUR | 2,325 | | | | 2,148,401 | |
Arab Republic of Egypt, 7.50%, 1/31/27(1) | | USD | 6,262 | | | | 6,116,076 | |
Arab Republic of Egypt, 8.15%, 11/20/59(1) | | USD | 465 | | | | 408,447 | |
Arab Republic of Egypt, 8.50%, 1/31/47(1) | | USD | 1,145 | | | | 1,028,611 | |
Arab Republic of Egypt, 8.70%, 3/1/49(1) | | USD | 3,835 | | | | 3,458,430 | |
| | | | | | | | |
Total Egypt | | | | | | $ | 14,218,671 | |
| | | | | | | | |
Fiji — 1.0% | | | | | | | | |
Republic of Fiji, 6.625%, 10/2/20(1) | | USD | 2,649 | | | $ | 2,666,374 | |
| | | | | | | | |
Total Fiji | | | | | | $ | 2,666,374 | |
| | | | | | | | |
Georgia — 1.9% | | | | | | | | |
Georgia Treasury Bond, 7.00%, 5/30/24 | | GEL | 6,558 | | | $ | 1,857,542 | |
Georgia Treasury Bond, 7.25%, 1/17/21 | | GEL | 895 | | | | 275,878 | |
Georgia Treasury Bond, 7.375%, 9/27/23 | | GEL | 1,487 | | | | 432,717 | |
Georgia Treasury Bond, 8.125%, 1/25/23 | | GEL | 895 | | | | 272,552 | |
Georgia Treasury Bond, 9.375%, 4/9/22 | | GEL | 4,098 | | | | 1,283,730 | |
Republic of Georgia, 6.875%, 4/12/21(1) | | USD | 830 | | | | 836,893 | |
| | | | | | | | |
Total Georgia | | | | | | $ | 4,959,312 | |
| | | | | | | | |
2
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Guatemala — 0.6% | | | | | | | | |
Guatemala Government Bond, 5.75%, 6/6/22(1) | | USD | 200 | | | $ | 206,210 | |
Republic of Guatemala, 6.125%, 6/1/50(1) | | USD | 1,350 | | | | 1,415,475 | |
| | | | | | | | |
Total Guatemala | | | | | | $ | 1,621,685 | |
| | | | | | | | |
Indonesia — 0.7% | | | | | | | | |
Indonesia Government Bond, 7.50%, 4/15/40 | | IDR | 5,260,000 | | | $ | 335,402 | |
Indonesia Government International Bond, 3.85%, 10/15/30 | | USD | 1,160 | | | | 1,204,296 | |
Indonesia Government International Bond, 4.20%, 10/15/50 | | USD | 400 | | | | 401,987 | |
| | | | | | | | |
Total Indonesia | | | | | | $ | 1,941,685 | |
| | | | | | | | |
Jordan — 1.0% | | | | | | | | |
Jordan Government International Bond, 7.375%, 10/10/47(1) | | USD | 3,000 | | | $ | 2,793,723 | |
| | | | | | | | |
Total Jordan | | | | | | $ | 2,793,723 | |
| | | | | | | | |
Kenya — 0.5% | | | | | | | | |
Republic of Kenya, 7.25%, 2/28/28(1) | | USD | 1,400 | | | $ | 1,270,696 | |
| | | | | | | | |
Total Kenya | | | | | | $ | 1,270,696 | |
| | | | | | | | |
Lebanon — 0.3% | | | | | | | | |
Lebanese Republic, 6.25%, 11/4/24(1)(3) | | USD | 792 | | | $ | 132,660 | |
Lebanese Republic, 6.40%, 5/26/23(3) | | USD | 792 | | | | 132,660 | |
Lebanese Republic, 6.65%, 4/22/24(1)(3) | | USD | 1,142 | | | | 181,292 | |
Lebanese Republic, 6.85%, 5/25/29(3) | | USD | 1,053 | | | | 173,745 | |
Lebanese Republic, 7.00%, 12/3/24(3) | | USD | 369 | | | | 61,807 | |
Lebanese Republic, 7.00%, 3/20/28(1)(3) | | USD | 144 | | | | 24,120 | |
Lebanese Republic, 7.15%, 11/20/31(1)(3) | | USD | 100 | | | | 16,750 | |
Lebanese Republic, 8.20%, 5/17/33(3) | | USD | 77 | | | | 12,898 | |
Lebanese Republic, 8.25%, 5/17/34(3) | | USD | 65 | | | | 10,888 | |
| | | | | | | | |
Total Lebanon | | | | | | $ | 746,820 | |
| | | | | | | | |
Malaysia — 0.5% | | | | | | | | |
Malaysia Government Bond, 3.828%, 7/5/34 | | MYR | 1,060 | | | $ | 266,517 | |
Malaysia Government Bond, 4.254%, 5/31/35 | | MYR | 4,500 | | | | 1,160,424 | |
| | | | | | | | |
Total Malaysia | | | | | | $ | 1,426,941 | |
| | | | | | | | |
Mexico — 0.8% | | | | | | | | |
Mexican Bonos, 8.50%, 5/31/29 | | MXN | 47,000 | | | $ | 2,203,448 | |
| | | | | | | | |
Total Mexico | | | | | | $ | 2,203,448 | |
| | | | | | | | |
3
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Oman — 0.3% | | | | | | | | |
Oman Government International Bond, 3.625%, 6/15/21(1) | | USD | 900 | | | $ | 866,917 | |
| | | | | | | | |
Total Oman | | | | | | $ | 866,917 | |
| | | | | | | | |
Paraguay — 0.9% | | | | | | | | |
Republic of Paraguay, 4.625%, 1/25/23(1) | | USD | 860 | | | $ | 879,359 | |
Republic of Paraguay, 4.95%, 4/28/31(1) | | USD | 1,540 | | | | 1,596,787 | |
| | | | | | | | |
Total Paraguay | | | | | | $ | 2,476,146 | |
| | | | | | | | |
Peru — 1.2% | | | | | | | | |
Peru Government Bond, 5.94%, 2/12/29(1)(2) | | PEN | 7,300 | | | $ | 2,440,383 | |
Peru Government Bond, 6.15%, 8/12/32(1)(2) | | PEN | 1,052 | | | | 346,322 | |
Peru Government Bond, 6.95%, 8/12/31 | | PEN | 501 | | | | 176,220 | |
Republic of Peru, 2.392%, 1/23/26 | | USD | 320 | | | | 325,440 | |
| | | | | | | | |
Total Peru | | | | | | $ | 3,288,365 | |
| | | | | | | | |
Philippines — 3.2% | | | | | | | | |
Republic of the Philippines, 2.457%, 5/5/30(4) | | USD | 4,350 | | | $ | 4,446,792 | |
Republic of the Philippines, 2.95%, 5/5/45(4) | | USD | 4,120 | | | | 4,241,331 | |
| | | | | | | | |
Total Philippines | | | | | | $ | 8,688,123 | |
| | | | | | | | |
Romania — 7.7% | | | | | | | | |
Romanian Government International Bond, 3.375%, 1/28/50(1) | | EUR | 8,578 | | | $ | 8,014,787 | |
Romanian Government International Bond, 4.375%, 8/22/23(1) | | USD | 2,616 | | | | 2,725,467 | |
Romanian Government International Bond, 4.625%, 4/3/49(1) | | EUR | 8,987 | | | | 9,970,274 | |
| | | | | | | | |
Total Romania | | | | | | $ | 20,710,528 | |
| | | | | | | | |
Rwanda — 0.1% | | | | | | | | |
Republic of Rwanda, 6.625%, 5/2/23(1) | | USD | 221 | | | $ | 207,548 | |
| | | | | | | | |
Total Rwanda | | | | | | $ | 207,548 | |
| | | | | | | | |
Serbia — 8.0% | | | | | | | | |
Serbia Treasury Bond, 4.50%, 1/11/26 | | RSD | 1,383,250 | | | $ | 13,931,027 | |
Serbia Treasury Bond, 5.75%, 7/21/23 | | RSD | 383,610 | | | | 3,956,856 | |
Serbia Treasury Bond, 5.875%, 2/8/28 | | RSD | 326,680 | | | | 3,676,698 | |
| | | | | | | | |
Total Serbia | | | | | | $ | 21,564,581 | |
| | | | | | | | |
Seychelles — 0.1% | | | | | | | | |
Republic of Seychelles, 8.00%, 1/1/26(1) | | USD | 213 | | | $ | 160,280 | |
| | | | | | | | |
Total Seychelles | | | | | | $ | 160,280 | |
| | | | | | | | |
4
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Suriname — 0.2% | | | | | | | | |
Republic of Suriname, 9.25%, 10/26/26(1) | | USD | 1,168 | | | $ | 446,760 | |
| | | | | | | | |
Total Suriname | | | | | | $ | 446,760 | |
| | | | | | | | |
Thailand — 0.4% | | | | | | | | |
Thailand Government Bond, 3.30%, 6/17/38 | | THB | 28,441 | | | $ | 1,122,827 | |
| | | | | | | | |
Total Thailand | | | | | | $ | 1,122,827 | |
| | | | | | | | |
Turkey — 0.3% | | | | | | | | |
Republic of Turkey, 5.125%, 3/25/22 | | USD | 810 | | | $ | 802,912 | |
| | | | | | | | |
Total Turkey | | | | | | $ | 802,912 | |
| | | | | | | | |
Ukraine — 15.7% | | | | | | | | |
Ukraine Government International Bond, 0.00%,GDP-Linked, 5/31/40(1)(2)(5) | | USD | 9,558 | | | $ | 7,111,314 | |
Ukraine Government International Bond, 9.79%, 5/26/27 | | UAH | 100,000 | | | | 3,024,356 | |
Ukraine Government International Bond, 10.00%, 8/23/23 | | UAH | 195,575 | | | | 6,504,763 | |
Ukraine Government International Bond, 15.70%, 1/20/21 | | UAH | 27,494 | | | | 1,024,204 | |
Ukraine Government International Bond, 15.84%, 2/26/25 | | UAH | 446,208 | | | | 17,598,543 | |
Ukraine Government International Bond, 17.00%, 5/11/22 | | UAH | 9,930 | | | | 385,759 | |
Ukraine Government International Bond, 18.00%, 3/24/21 | | UAH | 171,952 | | | | 6,531,881 | |
| | | | | | | | |
Total Ukraine | | | | | | $ | 42,180,820 | |
| | | | | | | | |
United Arab Emirates — 1.0% | | | | | | | | |
Abu Dhabi Government International Bond, 3.125%, 9/30/49(1) | | USD | 2,885 | | | $ | 2,777,750 | |
| | | | | | | | |
Total United Arab Emirates | | | | | | $ | 2,777,750 | |
| | | | | | | | |
Uzbekistan — 1.2% | | | | | | | | |
Republic of Uzbekistan Bond, 5.375%, 2/20/29(1) | | USD | 3,118 | | | $ | 3,171,006 | |
| | | | | | | | |
Total Uzbekistan | | | | | | $ | 3,171,006 | |
| | | | | | | | |
| | |
Total Foreign Government Bonds
(identified cost $176,679,387) | | | | | | $ | 162,694,641 | |
| | | | | | | | |
| | |
Foreign Corporate Bonds — 21.3% | | | | | | | | |
| | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Argentina — 0.3% | | | | | | | | |
Generacion Mediterranea SA/Central Termica Roca SA, 15.00%, 5/5/23(2) | | USD | 1,250 | | | $ | 731,250 | |
| | | | | | | | |
Total Argentina | | | | | | $ | 731,250 | |
| | | | | | | | |
5
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Belarus — 0.5% | | | | | | | | |
Eurotorg, LLC Via Bonitron DAC, 8.75%, 10/30/22(1) | | USD | 1,300 | | | $ | 1,283,750 | |
| | | | | | | | |
Total Belarus | | | | | | $ | 1,283,750 | |
| | | | | | | | |
Brazil — 0.9% | | | | | | | | |
BRF SA, 4.75%, 5/22/24(1) | | USD | 1,250 | | | $ | 1,191,950 | |
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(1) | | USD | 1,599 | | | | 1,217,330 | |
| | | | | | | | |
Total Brazil | | | | | | $ | 2,409,280 | |
| | | | | | | | |
Bulgaria — 0.2% | | | | | | | | |
Eurohold Bulgaria AD, 6.50%, 12/7/22(1) | | EUR | 500 | | | $ | 546,708 | |
| | | | | | | | |
Total Bulgaria | | | | | | $ | 546,708 | |
| | | | | | | | |
China — 0.1% | | | | | | | | |
CAR, Inc., 6.00%, 2/11/21(1) | | USD | 300 | | | $ | 188,448 | |
| | | | | | | | |
Total China | | | | | | $ | 188,448 | |
| | | | | | | | |
Colombia — 0.6% | | | | | | | | |
Frontera Energy Corp., 9.70%, 6/25/23(1) | | USD | 2,500 | | | $ | 1,696,875 | |
| | | | | | | | |
Total Colombia | | | | | | $ | 1,696,875 | |
| | | | | | | | |
El Salvador — 0.3% | | | | | | | | |
AES El Salvador Trust II, 6.75%, 3/28/23(1) | | USD | 1,000 | | | $ | 877,300 | |
| | | | | | | | |
Total El Salvador | | | | | | $ | 877,300 | |
| | | | | | | | |
Georgia — 0.6% | | | | | | | | |
JSC Georgia Capital, 6.125%, 3/9/24(1) | | USD | 650 | | | $ | 578,500 | |
Silknet JSC, 11.00%, 4/2/24(1) | | USD | 1,057 | | | | 968,043 | |
| | | | | | | | |
Total Georgia | | | | | | $ | 1,546,543 | |
| | | | | | | | |
Indonesia — 1.1% | | | | | | | | |
Bayan Resources Tbk PT, 6.125%, 1/24/23(1) | | USD | 3,555 | | | $ | 2,832,859 | |
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(1) | | IDR | 2,720,000 | | | | 176,050 | |
| | | | | | | | |
Total Indonesia | | | | | | $ | 3,008,909 | |
| | | | | | | | |
Ireland — 1.6% | | | | | | | | |
Aragvi Finance International DAC, 12.00%, 4/9/24(1) | | USD | 4,650 | | | $ | 4,196,625 | |
| | | | | | | | |
Total Ireland | | | | | | $ | 4,196,625 | |
| | | | | | | | |
6
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Isle of Man — 0.6% | | | | | | | | |
Sasol Financing International Ltd., 4.50%, 11/14/22 | | USD | 2,175 | | | $ | 1,538,813 | |
| | | | | | | | |
Total Isle of Man | | | | | | $ | 1,538,813 | |
| | | | | | | | |
Mexico — 4.8% | | | | | | | | |
Banco Mercantil del Norte SA/Grand Cayman, 6.75%, 9/27/24(1)(6)(7) | | USD | 500 | | | $ | 398,775 | |
Braskem Idesa SAPI, 7.45%, 11/15/29(1) | | USD | 3,780 | | | | 2,806,650 | |
Cemex SAB de CV, 5.45%, 11/19/29(1) | | USD | 2,800 | | | | 2,318,820 | |
Grupo Kaltex SA de CV, 8.875%, 4/11/22(1) | | USD | 3,591 | | | | 2,161,961 | |
Petroleos Mexicanos, 5.95%, 1/28/31(1) | | USD | 7,000 | | | | 5,105,100 | |
Petroleos Mexicanos, 7.19%, 9/12/24(2) | | MXN | 1,420 | | | | 45,838 | |
Petroleos Mexicanos, 7.65%, 11/24/21 | | MXN | 420 | | | | 16,776 | |
| | | | | | | | |
Total Mexico | | | | | | $ | 12,853,920 | |
| | | | | | | | |
Netherlands — 3.1% | | | | | | | | |
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(1) | | USD | 2,556 | | | $ | 2,202,613 | |
Braskem Netherlands Finance BV, 5.875%, 1/31/50(1) | | USD | 1,570 | | | | 1,236,375 | |
Metinvest BV, 5.625%, 6/17/25(1) | | EUR | 3,810 | | | | 2,748,254 | |
Petrobras Global Finance BV, 6.90%, 3/19/49 | | USD | 2,200 | | | | 2,150,500 | |
| | | | | | | | |
Total Netherlands | | | | | | $ | 8,337,742 | |
| | | | | | | | |
Nigeria — 0.5% | | | | | | | | |
SEPLAT Petroleum Development Co. PLC, 9.25%, 4/1/23(1) | | USD | 1,950 | | | $ | 1,462,500 | |
| | | | | | | | |
Total Nigeria | | | | | | $ | 1,462,500 | |
| | | | | | | | |
Paraguay — 1.4% | | | | | | | | |
Frigorifico Concepcion SA, 10.25%, 1/29/25(1) | | USD | 3,050 | | | $ | 3,128,964 | |
Telefonica Celular del Paraguay SA, 5.875%, 4/15/27(1) | | USD | 549 | | | | 538,020 | |
| | | | | | | | |
Total Paraguay | | | | | | $ | 3,666,984 | |
| | | | | | | | |
Peru — 0.6% | | | | | | | | |
Peru LNG S.R.L., 5.375%, 3/22/30(1) | | USD | 2,690 | | | $ | 1,538,949 | |
| | | | | | | | |
Total Peru | | | | | | $ | 1,538,949 | |
| | | | | | | | |
Russia — 0.6% | | | | | | | | |
Petropavlovsk 2016, Ltd., 8.125%, 11/14/22(1) | | USD | 1,569 | | | $ | 1,643,528 | |
| | | | | | | | |
Total Russia | | | | | | $ | 1,643,528 | |
| | | | | | | | |
Saint Lucia — 1.7% | | | | | | | | |
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd.,
8.75%, 5/25/24(1) | | USD | 4,994 | | | $ | 4,650,662 | |
| | | | | | | | |
Total Saint Lucia | | | | | | $ | 4,650,662 | |
| | | | | | | | |
7
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Saudi Arabia — 0.5% | | | | | | | | |
DarAl-Arkan Sukuk Co., Ltd., 6.75%, 2/15/25(1) | | USD | 1,650 | | | $ | 1,320,990 | |
| | | | | | | | |
Total Saudi Arabia | | | | | | $ | 1,320,990 | |
| | | | | | | | |
Singapore — 0.6% | | | | | | | | |
TBLA International Pte Ltd., 7.00%, 1/24/23(1) | | USD | 2,300 | | | $ | 1,772,564 | |
| | | | | | | | |
Total Singapore | | | | | | $ | 1,772,564 | |
| | | | | | | | |
Spain — 0.5% | | | | | | | | |
Atento Luxco 1 SA, 6.125%, 8/10/22(1) | | USD | 2,239 | | | $ | 1,435,759 | |
| | | | | | | | |
Total Spain | | | | | | $ | 1,435,759 | |
| | | | | | | | |
Turkey — 0.2% | | | | | | | | |
QNB Finansbank AS, 6.875%, 9/7/24(1) | | USD | 465 | | | $ | 466,163 | |
| | | | | | | | |
Total Turkey | | | | | | $ | 466,163 | |
| | | | | | | | |
| | |
Total Foreign Corporate Bonds
(identified cost $66,624,901) | | | | | | $ | 57,174,262 | |
| | | | | | | | |
| | |
Sovereign Loans — 2.1% | | | | | | | | |
| | |
| Borrower | | Principal
Amount
(000’s omitted) | | | Value | |
Ethiopia — 0.0%(8) | | | | | | | | |
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.51%, (6 mo. USD LIBOR + 3.75%), Maturing August 2, 2021(9)(10) | | USD | 66 | | | $ | 64,262 | |
| | | | | | | | |
Total Ethiopia | | | | | | $ | 64,262 | |
| | | | | | | | |
Kenya — 0.9% | | | | | | | | |
Government of Kenya, Term Loan, 8.37%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(10) | | USD | 2,825 | | | $ | 2,542,130 | |
| | | | | | | | |
Total Kenya | | | | | | $ | 2,542,130 | |
| | | | | | | | |
Macedonia — 0.3% | | | | | | | | |
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing December 16, 2022(9)(10) | | EUR | 700 | | | $ | 775,273 | |
| | | | | | | | |
Total Macedonia | | | | | | $ | 775,273 | |
| | | | | | | | |
8
| | | | | | | | |
| | |
| Borrower | | Principal
Amount
(000’s omitted) | | | Value | |
Nigeria — 0.2% | | | | | | | | |
Bank of Industry Limited, Term Loan, 7.31%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(9)(10) | | USD | 495 | | | $ | 451,046 | |
| | | | | | | | |
Total Nigeria | | | | | | $ | 451,046 | |
| | | | | | | | |
Tanzania — 0.7% | | | | | | | | |
Government of the United Republic of Tanzania, Term Loan, 7.09%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(10) | | USD | 1,400 | | | $ | 1,322,063 | |
Government of the United Republic of Tanzania, Term Loan, 7.12%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(10) | | USD | 518 | | | | 496,739 | |
| | | | | | | | |
Total Tanzania | | | | | | $ | 1,818,802 | |
| | | | | | | | |
| | |
Total Sovereign Loans
(identified cost $6,043,630) | | | | | | $ | 5,651,513 | |
| | | | | | | | |
| | |
Short-Term Investments — 15.1% | | | | | | | | |
| | |
Foreign Government Securities — 1.3% | | | | | | | | |
| | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
Georgia — 1.3% | | | | | | | | |
Bank of Georgia Promissory Note, 7.40%, 5/18/20 | | GEL | 254 | | | $ | 79,261 | |
Bank of Georgia Promissory Note, 7.50%, 5/28/20 | | GEL | 311 | | | | 96,469 | |
Bank of Georgia Promissory Note, 7.50%, 6/10/20 | | GEL | 156 | | | | 48,253 | |
Bank of Georgia Promissory Note, 7.50%, 6/12/20 | | GEL | 168 | | | | 52,076 | |
Bank of Georgia Promissory Note, 7.50%, 6/15/20 | | GEL | 220 | | | | 67,897 | |
Bank of Georgia Promissory Note, 7.50%, 6/16/20 | | GEL | 216 | | | | 66,932 | |
Bank of Georgia Promissory Note, 7.50%, 6/17/20 | | GEL | 219 | | | | 67,879 | |
Bank of Georgia Promissory Note, 7.50%, 6/19/20 | | GEL | 465 | | | | 143,848 | |
Bank of Georgia Promissory Note, 7.50%, 6/26/20 | | GEL | 610 | | | | 188,385 | |
Bank of Georgia Promissory Note, 7.50%, 6/29/20 | | GEL | 434 | | | | 133,866 | |
Georgia Treasury Bill, 0.00%, 5/7/20 | | GEL | 370 | | �� | | 115,080 | |
Georgia Treasury Bill, 0.00%, 5/14/20 | | GEL | 420 | | | | 130,479 | |
Georgia Treasury Bill, 0.00%, 6/4/20 | | GEL | 542 | | | | 167,627 | |
Georgia Treasury Bill, 0.00%, 6/11/20 | | GEL | 586 | | | | 180,928 | |
Georgia Treasury Bill, 0.00%, 7/2/20 | | GEL | 453 | | | | 139,230 | |
Georgia Treasury Bill, 0.00%, 1/14/21 | | GEL | 3,035 | | | | 890,186 | |
Georgia Treasury Bill, 0.00%, 2/11/21 | | GEL | 2,824 | | | | 822,542 | |
| | | | | | | | |
Total Georgia | | | | | | $ | 3,390,938 | |
| | | | | | | | |
| | |
Total Foreign Government Securities
(identified cost $3,836,613) | | | | | | $ | 3,390,938 | |
| | | | | | | | |
| | | | | | | | |
| U.S. Treasury Obligations — 0.2% | | | | | | | | |
| | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
U.S. Treasury Bill, 0.00%, 5/21/20 | | $ | 450 | | | $ | 449,978 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(identified cost $449,969) | | | | | | $ | 449,978 | |
| | | | | | | | |
| | |
Other — 13.6% | | | | | | | | |
| | |
| Description | | Units | | | Value | |
Eaton Vance Cash Reserves Fund, LLC, 0.47%(11) | | | 36,771,890 | | | $ | 36,771,890 | |
| | | | | | | | |
| | |
Total Other
(identified cost $36,762,786) | | | | | | $ | 36,771,890 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(identified cost $41,049,368) | | | | | | $ | 40,612,806 | |
| | | | | | | | |
| | |
Total Investments — 98.9%
(identified cost $290,397,286) | | | | | | $ | 266,133,222 | |
| | | | | | | | |
| | |
Other Assets, Less Liabilities — 1.1% | | | | | | $ | 3,084,807 | |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 269,218,029 | |
| | | | | | | | |
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 April 30, 2020, the aggregate value of these securities is $132,331,777 or 49.2% of the Fund’s net assets. |
| (2) | 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 April 30, 2020, the aggregate value of these securities is $12,279,509 or 4.6% of the Fund’s net assets. |
| (3) | Issuer is in default with respect to interest payments. |
| (5) | 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. |
| (6) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
| (7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
| (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 April 30, 2020. |
| (11) | 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 April 30, 2020. |
10
Centrally Cleared Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | | | Settlement
Date | | | | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| BRL | | | 14,445,000 | | | USD | | | 2,801,101 | | | | | | 5/5/20 | | | | | | | $ | (144,745 | ) |
| BRL | | | 14,445,000 | | | USD | | | 2,661,691 | | | | | | 5/5/20 | | | | | | | | (5,335 | ) |
| USD | | | 2,624,932 | | | BRL | | | 14,445,000 | | | | | | 5/5/20 | | | | | | | | (31,424 | ) |
| USD | | | 2,661,691 | | | BRL | | | 14,445,000 | | | | | | 5/5/20 | | | | | | | | 5,335 | |
| USD | | | 2,499,302 | | | PEN | | | 8,613,095 | | | | | | 5/7/20 | | | | | | | | (52,002 | ) |
| USD | | | 165,450 | | | PEN | | | 566,021 | | | | | | 5/7/20 | | | | | | | | (2,212 | ) |
| USD | | | 321,553 | | | PEN | | | 1,112,350 | | | | | | 5/7/20 | | | | | | | | (7,938 | ) |
| EUR | | | 745,352 | | | USD | | | 809,773 | | | | | | 5/8/20 | | | | | | | | 7,062 | |
| USD | | | 3,696,752 | | | EUR | | | 3,312,799 | | | | | | 5/8/20 | | | | | | | | 66,238 | |
| USD | | | 678,816 | | | EUR | | | 608,313 | | | | | | 5/8/20 | | | | | | | | 12,163 | |
| USD | | | 566,493 | | | EUR | | | 508,665 | | | | | | 5/8/20 | | | | | | | | 9,044 | |
| USD | | | 406,634 | | | EUR | | | 364,400 | | | | | | 5/8/20 | | | | | | | | 7,286 | |
| USD | | | 996,725 | | | EUR | | | 915,430 | | | | | | 5/8/20 | | | | | | | | (6,500 | ) |
| USD | | | 1,097,586 | | | EUR | | | 1,008,064 | | | | | | 5/8/20 | | | | | | | | (7,158 | ) |
| USD | | | 2,673,712 | | | EUR | | | 2,455,639 | | | | | | 5/8/20 | | | | | | | | (17,436 | ) |
| USD | | | 10,275,539 | | | EUR | | | 9,437,446 | | | | | | 5/8/20 | | | | | | | | (67,009 | ) |
| USD | | | 428,813 | | | MXN | | | 8,150,232 | | | | | | 5/12/20 | | | | | | | | 91,051 | |
| USD | | | 94,704 | | | MXN | | | 1,800,000 | | | | | | 5/12/20 | | | | | | | | 20,109 | |
| USD | | | 2,059,711 | | | MXN | | | 50,016,993 | | | | | | 5/12/20 | | | | | | | | (13,094 | ) |
| IDR | | | 13,514,105,764 | | | USD | | | 829,290 | | | | | | 5/18/20 | | | | | | | | 70,923 | |
| USD | | | 1,452,615 | | | IDR | | | 20,035,923,000 | | | | | | 5/18/20 | | | | | | | | 117,966 | |
| INR | | | 27,958,000 | | | USD | | | 362,832 | | | | | | 5/22/20 | | | | | | | | 7,792 | |
| INR | | | 164,430,000 | | | USD | | | 2,280,029 | | | | | | 5/22/20 | | | | | | | | (100,272 | ) |
| INR | | | 217,190,000 | | | USD | | | 3,011,195 | | | | | | 5/22/20 | | | | | | | | (132,028 | ) |
| USD | | | 2,569,844 | | | INR | | | 198,275,000 | | | | | | 5/22/20 | | | | | | | | (58,578 | ) |
| USD | | | 2,737,688 | | | INR | | | 211,303,000 | | | | | | 5/22/20 | | | | | | | | (63,438 | ) |
| BRL | | | 14,445,000 | | | USD | | | 2,619,173 | | | | | | 6/2/20 | | | | | | | | 30,766 | |
| MXN | | | 67,519,000 | | | USD | | | 2,764,057 | | | | | | 7/1/20 | | | | | | | | 12,441 | |
| EUR | | | 218,287 | | | USD | | | 240,760 | | | | | | 7/6/20 | | | | | | | | (1,247 | ) |
| USD | | | 9,264,670 | | | EUR | | | 8,319,941 | | | | | | 7/6/20 | | | | | | | | 135,702 | |
| USD | | | 556,775 | | | EUR | | | 500,000 | | | | | | 7/6/20 | | | | | | | | 8,155 | |
| USD | | | 3,107,254 | | | EUR | | | 2,875,250 | | | | | | 7/6/20 | | | | | | | | (47,584 | ) |
| EUR | | | 915,430 | | | USD | | | 1,032,449 | | | | | | 7/17/20 | | | | | | | | (27,762 | ) |
| USD | | | 9,802,143 | | | EUR | | | 8,691,153 | | | | | | 7/17/20 | | | | | | | | 263,573 | |
| USD | | | 6,488,667 | | | EUR | | | 5,950,012 | | | | | | 7/17/20 | | | | | | | | (41,492 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 38,352 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | |
| EUR | | | 2,634,633 | | | USD | | | 2,861,996 | | | UBS AG | | | 5/5/20 | | | $ | 25,165 | | | $ | — | |
| EUR | | | 1,384,307 | | | USD | | | 1,503,770 | | | UBS AG | | | 5/5/20 | | | | 13,222 | | | | — | |
| USD | | | 1,354,207 | | | EUR | | | 1,238,070 | | | UBS AG | | | 5/5/20 | | | | — | | | | (2,531 | ) |
| USD | | | 615,897 | | | EUR | | | 566,565 | | | UBS AG | | | 5/5/20 | | | | — | | | | (4,973 | ) |
| USD | | | 888,195 | | | EUR | | | 817,742 | | | UBS AG | | | 5/5/20 | | | | — | | | | (7,927 | ) |
| USD | | | 1,514,997 | | | EUR | | | 1,396,563 | | | UBS AG | | | 5/5/20 | | | | — | | | | (15,426 | ) |
| THB | | | 34,273,000 | | | USD | | | 1,084,932 | | | Standard Chartered Bank | | | 5/18/20 | | | | — | | | | (25,631 | ) |
| USD | | | 867,977 | | | THB | | | 27,419,393 | | | Standard Chartered Bank | | | 5/18/20 | | | | 20,506 | | | | — | |
11
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | |
| USD | | | 575,328 | | | THB | | | 18,800,000 | | | Standard Chartered Bank | | | 5/18/20 | | | $ | — | | | $ | (5,737 | ) |
| COP | | | 11,361,500,000 | | | USD | | | 2,814,900 | | | Bank of America, N.A. | | | 5/19/20 | | | | 51,062 | | | | — | |
| USD | | | 1,504,624 | | | EUR | | | 1,384,307 | | | UBS AG | | | 6/2/20 | | | | — | | | | (13,178 | ) |
| USD | | | 2,863,622 | | | EUR | | | 2,634,633 | | | UBS AG | | | 6/2/20 | | | | — | | | | (25,081 | ) |
| THB | | | 61,059,000 | | | USD | | | 1,945,484 | | | Standard Chartered Bank | | | 6/8/20 | | | | — | | | | (58,325 | ) |
| USD | | | 783,304 | | | THB | | | 24,584,000 | | | Standard Chartered Bank | | | 6/8/20 | | | | 23,484 | | | | — | |
| UGX | | | 993,624,000 | | | USD | | | 246,007 | | | Standard Chartered Bank | | | 6/15/20 | | | | 12,758 | | | | — | |
| USD | | | 260,384 | | | UGX | | | 993,624,000 | | | Standard Chartered Bank | | | 6/15/20 | | | | 1,618 | | | | — | |
| USD | | | 910,789 | | | THB | | | 29,610,000 | | | Standard Chartered Bank | | | 6/24/20 | | | | — | | | | (4,394 | ) |
| USD | | | 61,821 | | | THB | | | 2,050,365 | | | Standard Chartered Bank | | | 7/1/20 | | | | — | | | | (1,552 | ) |
| USD | | | 435,265 | | | THB | | | 14,436,000 | | | Standard Chartered Bank | | | 7/1/20 | | | | — | | | | (10,927 | ) |
| UGX | | | 982,030,000 | | | USD | | | 246,215 | | | Standard Chartered Bank | | | 7/2/20 | | | | 8,632 | | | | — | |
| USD | | | 89,525 | | | UGX | | | 353,177,631 | | | Standard Chartered Bank | | | 7/2/20 | | | | — | | | | (2,128 | ) |
| USD | | | 293,754 | | | CNH | | | 2,090,000 | | | Citibank, N.A. | | | 7/8/20 | | | | — | | | | (1,093 | ) |
| USD | | | 411,300 | | | CNH | | | 2,925,000 | | | Citibank, N.A. | | | 7/8/20 | | | | — | | | | (1,345 | ) |
| USD | | | 365,576 | | | CNH | | | 2,600,000 | | | Standard Chartered Bank | | | 7/8/20 | | | | — | | | | (1,220 | ) |
| THB | | | 11,211,000 | | | USD | | | 340,918 | | | Standard Chartered Bank | | | 7/10/20 | | | | 5,599 | | | | — | |
| USD | | | 781,021 | | | THB | | | 25,684,064 | | | Standard Chartered Bank | | | 7/10/20 | | | | — | | | | (12,840 | ) |
| UGX | | | 4,009,224,000 | | | USD | | | 1,008,103 | | | Standard Chartered Bank | | | 8/14/20 | | | | 17,755 | | | | — | |
| USD | | | 1,009,872 | | | UGX | | | 4,009,224,000 | | | Standard Chartered Bank | | | 8/14/20 | | | | — | | | | (15,985 | ) |
| USD | | | 1,339,626 | | | MYR | | | 5,890,336 | | | BNP Paribas | | | 8/19/20 | | | | — | | | | (21,450 | ) |
| UGX | | | 2,000,000,000 | | | USD | | | 505,689 | | | Standard Chartered Bank | | | 9/17/20 | | | | 1,649 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 181,450 | | | $ | (231,743 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 6/15/20 | | | $ | (312,773 | ) | | $ | (2,467 | ) |
| Euro-Bobl | | | (9 | ) | | Short | | | 6/8/20 | | | | (1,340,827 | ) | | | 2,057 | |
| Euro-Bund | | | (2 | ) | | Short | | | 6/8/20 | | | | (382,298 | ) | | | 545 | |
| U.S.5-Year Treasury Note | | | (3 | ) | | Short | | | 6/30/20 | | | | (376,453 | ) | | | (708 | ) |
| U.S.10-Year Treasury Note | | | (23 | ) | | Short | | | 6/19/20 | | | | (3,198,438 | ) | | | (1,119 | ) |
| U.S. Ultra-Long Treasury Bond | | | (9 | ) | | Short | | | 6/19/20 | | | | (2,023,031 | ) | | | (153,130 | ) |
| | | | | | | | | | | | | | | | | | |
| | | $ | (154,822 | ) |
| | | | | | | | | | | | | | | | | | |
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) | |
| BRL | | | 28,677 | | | Pays | | Brazil CETIP Interbank Deposit Rate
(pays upon termination) | | 4.70%
(pays upon termination) | | | 1/2/23 | | | $ | 1,774 | | | $ | — | | | $ | 1,774 | |
| CLP | | | 2,914,000 | | | Pays | | 6-month Sinacofi Chile Interbank Rate
(pays semi-annually) | | 1.91%
(pays semi-annually) | | | 3/6/25 | | | | 53,615 | | | | — | | | | 53,615 | |
| CNY | | | 61,630 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 3.07%
(pays quarterly) | | | 5/7/24 | | | | 480,165 | | | | — | | | | 480,165 | |
| CNY | | | 8,426 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | 57,371 | | | | — | | | | 57,371 | |
| CNY | | | 11,235 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | 76,300 | | | | — | | | | 76,300 | |
| CNY | | | 16,852 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | | 114,939 | | | | — | | | | 114,939 | |
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) | |
| CNY | | | 17,133 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.90%
(pays quarterly) | | | 6/6/24 | | | $ | 117,106 | | | $ | — | | | $ | 117,106 | |
| CNY | | | 5,618 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.87%
(pays quarterly) | | | 6/10/24 | | | | 37,273 | | | | — | | | | 37,273 | |
| CNY | | | 6,130 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.79%
(pays quarterly) | | | 7/4/24 | | | | 37,478 | | | | — | | | | 37,478 | |
| CNY | | | 3,397 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.67%
(pays quarterly) | | | 8/12/24 | | | | 19,216 | | | | — | | | | 19,216 | |
| CNY | | | 5,970 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.67%
(pays quarterly) | | | 8/12/24 | | | | 33,495 | | | | — | | | | 33,495 | |
| CNY | | | 15,500 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.68%
(pays quarterly) | | | 8/13/24 | | | | 87,921 | | | | — | | | | 87,921 | |
| CNY | | | 21,000 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 3.10%
(pays quarterly) | | | 11/15/24 | | | | 181,025 | | | | — | | | | 181,025 | |
| CNY | | | 23,000 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 3.00%
(pays quarterly) | | | 1/6/25 | | | | 182,203 | | | | — | | | | 182,203 | |
| CNY | | | 46,000 | | | Pays | | 7-day China Fixing Repo Rates
(pays quarterly) | | 2.59%
(pays quarterly) | | | 2/10/25 | | | | 251,172 | | | | — | | | | 251,172 | |
| CZK | | | 91,000 | | | Pays | | 6-month CZK PRIBOR
(pays semi-annually) | | 1.40%
(pays annually) | | | 3/6/25 | | | | 107,805 | | | | — | | | | 107,805 | |
| EUR | | | 400 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 1.00%
(pays annually) | | | 3/21/23 | | | | (18,283 | ) | | | 9,431 | | | | (8,852 | ) |
| EUR | | | 250 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.30%
(pays annually) | | | 7/23/24 | | | | (130 | ) | | | — | | | | (130 | ) |
| EUR | | | 296 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.53%
(pays annually) | | | 8/22/24 | | | | 3,415 | | | | — | | | | 3,415 | |
| EUR | | | 1,051 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.45%
(pays annually) | | | 8/26/24 | | | | 7,553 | | | | — | | | | 7,553 | |
| EUR | | | 1,050 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.46%
(pays annually) | | | 9/12/24 | | | | 7,433 | | | | — | | | | 7,433 | |
| EUR | | | 430 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.34%
(pays annually) | | | 9/17/24 | | | | 334 | | | | — | | | | 334 | |
| EUR | | | 1,225 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.17%
(pays annually) | | | 4/15/25 | | | | (10,716 | ) | | | 7 | | | | (10,709 | ) |
| EUR | | | 1,190 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.25%
(pays annually) | | | 4/17/25 | | | | (5,308 | ) | | | — | | | | (5,308 | ) |
| EUR | | | 190 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.11%
(pays annually) | | | 7/23/29 | | | | (6,247 | ) | | | 2,003 | | | | (4,244 | ) |
| EUR | | | 544 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.11%
(pays annually) | | | 7/23/29 | | | | (17,346 | ) | | | 1,979 | | | | (15,367 | ) |
| EUR | | | 397 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.05%
(pays annually) | | | 8/6/29 | | | | (5,833 | ) | | | — | | | | (5,833 | ) |
| EUR | | | 400 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.08%
(pays annually) | | | 8/6/29 | | | | (4,631 | ) | | | — | | | | (4,631 | ) |
| EUR | | | 229 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | (0.16)%
(pays annually) | | | 9/12/29 | | | | 701 | | | | — | | | | 701 | |
| EUR | | | 125 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.03%
(pays annually) | | | 10/17/29 | | | | (1,817 | ) | | | — | | | | (1,817 | ) |
| EUR | | | 665 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.37%
(pays annually) | | | 2/12/50 | | | | (95,310 | ) | | | — | | | | (95,310 | ) |
| EUR | | | 164 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.38%
(pays annually) | | | 2/13/50 | | | | (24,025 | ) | | | — | | | | (24,025 | ) |
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) | |
| EUR | | | 562 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.38%
(pays annually) | | | 2/13/50 | | | $ | (81,774 | ) | | $ | 9 | | | $ | (81,765 | ) |
| EUR | | | 281 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.39%
(pays annually) | | | 2/14/50 | | | | (42,024 | ) | | | — | | | | (42,024 | ) |
| EUR | | | 1,193 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.37%
(pays annually) | | | 2/17/50 | | | | (170,335 | ) | | | — | | | | (170,335 | ) |
| EUR | | | 882 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.35%
(pays annually) | | | 2/18/50 | | | | (121,278 | ) | | | — | | | | (121,278 | ) |
| EUR | | | 1,419 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.32%
(pays annually) | | | 2/21/50 | | | | (179,059 | ) | | | — | | | | (179,059 | ) |
| EUR | | | 3,150 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.26%
(pays annually) | | | 2/25/50 | | | | (337,440 | ) | | | (45 | ) | | | (337,485 | ) |
| EUR | | | 498 | | | Receives | | 6-month EURIBOR
(pays semi-annually) | | 0.21%
(pays annually) | | | 2/26/50 | | | | (44,954 | ) | | | (6 | ) | | | (44,960 | ) |
| MXN | | | 19,740 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.38%
(pays monthly) | | | 4/13/22 | | | | 6,236 | | | | — | | | | 6,236 | |
| MXN | | | 40,800 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.35%
(pays monthly) | | | 4/13/22 | | | | 11,911 | | | | — | | | | 11,911 | |
| MXN | | | 19,740 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.25%
(pays monthly) | | | 4/14/22 | | | | 4,294 | | | | — | | | | 4,294 | |
| MXN | | | 61,687 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.29%
(pays monthly) | | | 4/14/22 | | | | 15,552 | | | | — | | | | 15,552 | |
| MXN | | | 12,863 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.16%
(pays monthly) | | | 4/15/22 | | | | 1,896 | | | | — | | | | 1,896 | |
| MXN | | | 19,740 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.20%
(pays monthly) | | | 4/15/22 | | | | 3,547 | | | | — | | | | 3,547 | |
| MXN | | | 19,740 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 5.14%
(pays monthly) | | | 4/18/22 | | | | 2,686 | | | | — | | | | 2,686 | |
| MXN | | | 64,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 8.45%
(pays monthly) | | | 1/3/24 | | | | 294,064 | | | | — | | | | 294,064 | |
| MXN | | | 63,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 8.38%
(pays monthly) | | | 1/18/24 | | | | 286,078 | | | | (5 | ) | | | 286,073 | |
| MXN | | | 68,044 | | | Receives | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.79%
(pays monthly) | | | 3/7/24 | | | | (156,297 | ) | | | — | | | | (156,297 | ) |
| MXN | | | 244,837 | | | Receives | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.76%
(pays monthly) | | | 3/7/24 | | | | (551,420 | ) | | | — | | | | (551,420 | ) |
| MXN | | | 66,900 | | | Receives | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.35%
(pays monthly) | | | 3/14/24 | | | | (209,599 | ) | | | — | | | | (209,599 | ) |
| MXN | | | 30,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.75%
(pays monthly) | | | 4/1/24 | | | | 112,939 | | | | 629 | | | | 113,568 | |
| MXN | | | 46,163 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.63%
(pays monthly) | | | 5/23/24 | | | | 167,893 | | | | — | | | | 167,893 | |
| MXN | | | 48,837 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.64%
(pays monthly) | | | 5/23/24 | | | | 178,182 | | | | — | | | | 178,182 | |
| MXN | | | 21,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.80%
(pays monthly) | | | 9/10/24 | | | | 50,149 | | | | — | | | | 50,149 | |
| MXN | | | 40,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.65%
(pays monthly) | | | 11/15/24 | | | | 91,415 | | | | 1,580 | | | | 92,995 | |
| MXN | | | 40,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 6.58%
(pays monthly) | | | 1/1/25 | | | | 81,357 | | | | — | | | | 81,357 | |
| MXN | | | 31,000 | | | Pays | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.06%
(pays monthly) | | | 7/30/29 | | | | 75,330 | | | | — | | | | 75,330 | |
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) | |
| MXN | | | 29,700 | | | Receives | | Mexico Interbank TIIE 28 Day
(pays monthly) | | 7.75%
(pays monthly) | | | 3/7/30 | | | $ | (134,254 | ) | | $ | — | | | $ | (134,254 | ) |
| PLN | | | 15,300 | | | Pays | | 6-month PLN WIBOR
(pays semi-annually) | | 1.37%
(pays annually) | | | 3/6/25 | | | | 132,350 | | | | — | | | | 132,350 | |
| SGD | | | 2,350 | | | Pays | | 6-month Singapore Swap Offered Rate
(pays semi-annually) | | 1.08%
(pays semi-annually) | | | 3/31/25 | | | | 31,182 | | | | — | | | | 31,182 | |
| SGD | | | 4,010 | | | Pays | | 6-month Singapore Swap Offered Rate
(pays semi-annually) | | 1.06%
(pays semi-annually) | | | 3/31/25 | | | | 50,407 | | | | — | | | | 50,407 | |
| SGD | | | 11,740 | | | Pays | | 6-month Singapore Swap Offered Rate
(pays semi-annually) | | 1.07%
(pays semi-annually) | | | 3/31/25 | | | | 152,908 | | | | — | | | | 152,908 | |
| THB | | | 90,000 | | | Pays | | 6-month THB Fixing Rate
(pays semi-annually) | | 1.07%
(pays semi-annually) | | | 3/27/25 | | | | 29,757 | | | | — | | | | 29,757 | |
| THB | | | 100,655 | | | Pays | | 6-month THB Fixing Rate
(pays semi-annually) | | 0.99%
(pays semi-annually) | | | 3/31/25 | | | | 19,562 | | | | — | | | | 19,562 | |
| USD | | | 345 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.87%
(pays semi-annually) | | | 5/16/21 | | | | (12,182 | ) | | | (4 | ) | | | (12,186 | ) |
| USD | | | 530 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.46%
(pays semi-annually) | | | 8/22/22 | | | | (13,304 | ) | | | — | | | | (13,304 | ) |
| USD | | | 480 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.64%
(pays semi-annually) | | | 9/19/22 | | | | (15,029 | ) | | | — | | | | (15,029 | ) |
| USD | | | 385 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.42%
(pays semi-annually) | | | 10/9/22 | | | | (9,786 | ) | | | — | | | | (9,786 | ) |
| USD | | | 715 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.39%
(pays semi-annually) | | | 10/10/22 | | | | (17,713 | ) | | | — | | | | (17,713 | ) |
| USD | | | 440 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.07%
(pays semi-annually) | | | 10/20/22 | | | | (18,598 | ) | | | (60 | ) | | | (18,658 | ) |
| USD | | | 420 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.69%
(pays semi-annually) | | | 2/6/23 | | | | (28,191 | ) | | | — | | | | (28,191 | ) |
| USD | | | 645 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.64%
(pays semi-annually) | | | 2/12/23 | | | | (42,414 | ) | | | — | | | | (42,414 | ) |
| USD | | | 1,100 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.66%
(pays semi-annually) | | | 2/12/23 | | | | (73,046 | ) | | | (3,175 | ) | | | (76,221 | ) |
| USD | | | 1,000 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.20%
(pays semi-annually) | | | 2/26/23 | | | | (23,078 | ) | | | — | | | | (23,078 | ) |
| USD | | | 600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.79%
(pays semi-annually) | | | 3/14/23 | | | | (43,567 | ) | | | — | | | | (43,567 | ) |
| USD | | | 2,700 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.53%
(pays semi-annually) | | | 3/26/23 | | | | (11,259 | ) | | | — | | | | (11,259 | ) |
| USD | | | 790 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.48%
(pays semi-annually) | | | 3/31/23 | | | | (1,784 | ) | | | — | | | | (1,784 | ) |
| USD | | | 791 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.48%
(pays semi-annually) | | | 3/31/23 | | | | (1,821 | ) | | | — | | | | (1,821 | ) |
| USD | | | 170 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.46%
(pays semi-annually) | | | 4/1/23 | | | | (288 | ) | | | — | | | | (288 | ) |
| USD | | | 950 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.47%
(pays semi-annually) | | | 4/1/23 | | | | (1,721 | ) | | | — | | | | (1,721 | ) |
| USD | | | 407 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.46%
(pays semi-annually) | | | 4/2/23 | | | | (692 | ) | | | — | | | | (692 | ) |
| USD | | | 66 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.46%
(pays semi-annually) | | | 4/3/23 | | | | (112 | ) | | | — | | | | (112 | ) |
| USD | | | 225 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.45%
(pays semi-annually) | | | 4/3/23 | | | | (320 | ) | | | — | | | | (320 | ) |
15
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 430 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.12%
(pays semi-annually) | | | 10/27/23 | | | $ | (41,138 | ) | | $ | — | | | $ | (41,138 | ) |
| USD | | | 615 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 3.01%
(pays semi-annually) | | | 11/23/23 | | | | (63,594 | ) | | | — | | | | (63,594 | ) |
| USD | | | 390 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.71%
(pays semi-annually) | | | 12/24/23 | | | | (36,313 | ) | | | — | | | | (36,313 | ) |
| USD | | | 807 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.22%
(pays semi-annually) | | | 3/28/24 | | | | (57,716 | ) | | | — | | | | (57,716 | ) |
| USD | | | 1,340 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 2.37%
(pays semi-annually) | | | 4/3/24 | | | | (103,718 | ) | | | — | | | | (103,718 | ) |
| USD | | | 750 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.74%
(pays semi-annually) | | | 6/28/24 | | | | (44,966 | ) | | | — | | | | (44,966 | ) |
| USD | | | 300 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.76%
(pays semi-annually) | | | 7/1/24 | | | | (18,200 | ) | | | — | | | | (18,200 | ) |
| USD | | | 295 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.84%
(pays semi-annually) | | | 7/11/24 | | | | (18,996 | ) | | | — | | | | (18,996 | ) |
| USD | | | 999 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.85%
(pays semi-annually) | | | 7/15/24 | | | | (65,304 | ) | | | — | | | | (65,304 | ) |
| USD | | | 337 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.79%
(pays semi-annually) | | | 7/23/24 | | | | (21,186 | ) | | | — | | | | (21,186 | ) |
| USD | | | 130 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.49%
(pays semi-annually) | | | 8/13/24 | | | | (6,027 | ) | | | — | | | | (6,027 | ) |
| USD | | | 350 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.43%
(pays semi-annually) | | | 8/14/24 | | | | (15,353 | ) | | | — | | | | (15,353 | ) |
| USD | | | 85 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.40%
(pays semi-annually) | | | 8/23/24 | | | | (3,622 | ) | | | — | | | | (3,622 | ) |
| USD | | | 140 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.63%
(pays semi-annually) | | | 9/17/24 | | | | (7,692 | ) | | | — | | | | (7,692 | ) |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.66%
(pays semi-annually) | | | 9/18/24 | | | | (11,224 | ) | | | — | | | | (11,224 | ) |
| USD | | | 1,600 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.39%
(pays semi-annually) | | | 10/11/24 | | | | (68,483 | ) | | | — | | | | (68,483 | ) |
| USD | | | 168 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 10/17/24 | | | | (8,669 | ) | | | — | | | | (8,669 | ) |
| USD | | | 182 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 10/18/24 | | | | (9,353 | ) | | | — | | | | (9,353 | ) |
| USD | | | 500 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.64%
(pays semi-annually) | | | 10/30/24 | | | | (25,560 | ) | | | — | | | | (25,560 | ) |
| USD | | | 250 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.55%
(pays semi-annually) | | | 11/29/24 | | | | (13,868 | ) | | | — | | | | (13,868 | ) |
| USD | | | 700 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.64%
(pays semi-annually) | | | 12/4/24 | | | | (42,750 | ) | | | — | | | | (42,750 | ) |
16
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.69%
(pays semi-annually) | | | 12/20/24 | | | $ | (12,765 | ) | | $ | — | | | $ | (12,765 | ) |
| USD | | | 350 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.63%
(pays semi-annually) | | | 1/10/25 | | | | (21,058 | ) | | | — | | | | (21,058 | ) |
| USD | | | 2,440 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.60%
(pays semi-annually) | | | 1/23/25 | | | | (144,861 | ) | | | — | | | | (144,861 | ) |
| USD | | | 195 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.46%
(pays semi-annually) | | | 1/30/25 | | | | (10,387 | ) | | | — | | | | (10,387 | ) |
| USD | | | 650 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.41%
(pays semi-annually) | | | 2/3/25 | | | | (30,374 | ) | | | — | | | | (30,374 | ) |
| USD | | | 750 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.16%
(pays semi-annually) | | | 2/28/25 | | | | (25,913 | ) | | | — | | | | (25,913 | ) |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.83%
(pays semi-annually) | | | 3/5/25 | | | | (3,759 | ) | | | — | | | | (3,759 | ) |
| USD | | | 300 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.56%
(pays semi-annually) | | | 3/25/25 | | | | (1,735 | ) | | | — | | | | (1,735 | ) |
| USD | | | 300 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.63%
(pays semi-annually) | | | 3/27/25 | | | | (2,706 | ) | | | — | | | | (2,706 | ) |
| USD | | | 578 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.60%
(pays semi-annually) | | | 3/30/25 | | | | (4,158 | ) | | | — | | | | (4,158 | ) |
| USD | | | 580 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.55%
(pays semi-annually) | | | 4/1/25 | | | | (2,625 | ) | | | — | | | | (2,625 | ) |
| USD | | | 4,905 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.51%
(pays semi-annually) | | | 4/17/25 | | | | (16,447 | ) | | | — | | | | (16,447 | ) |
| USD | | | 1,145 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.48%
(pays semi-annually) | | | 4/20/25 | | | | (1,910 | ) | | | — | | | | (1,910 | ) |
| USD | | | 1,510 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.43%
(pays semi-annually) | | | 4/30/25 | | | | (305 | ) | | | — | | | | (305 | ) |
| USD | | | 1,487 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.74%
(pays semi-annually) | | | 12/16/26 | | | | (126,048 | ) | | | — | | | | (126,048 | ) |
| USD | | | 2,570 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.57%
(pays semi-annually) | | | 4/17/27 | | | | (5,194 | ) | | | — | | | | (5,194 | ) |
| USD | | | 770 | | | Pays | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.43%
(pays semi-annually) | | | 10/8/29 | | | | 55,352 | | | | 20,683 | | | | 76,035 | |
| USD | | | 2,025 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.82%
(pays semi-annually) | | | 11/14/29 | | | | (232,428 | ) | | | — | | | | (232,428 | ) |
| USD | | | 1,050 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 2/14/30 | | | | (92,388 | ) | | | — | | | | (92,388 | ) |
| USD | | | 1,650 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.58%
(pays semi-annually) | | | 2/14/30 | | | | (146,629 | ) | | | — | | | | (146,629 | ) |
| USD | | | 80 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.56%
(pays semi-annually) | | | 2/18/30 | | | | (7,040 | ) | | | — | | | | (7,040 | ) |
17
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 1,000 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.45%
(pays semi-annually) | | | 2/24/30 | | | $ | (75,487 | ) | | $ | — | | | $ | (75,487 | ) |
| USD | | | 1,000 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.00%
(pays semi-annually) | | | 3/5/30 | | | | (33,048 | ) | | | — | | | | (33,048 | ) |
| USD | | | 2,420 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.02%
(pays semi-annually) | | | 3/5/30 | | | | (85,992 | ) | | | — | | | | (85,992 | ) |
| USD | | | 750 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.94%
(pays semi-annually) | | | 3/9/30 | | | | (21,009 | ) | | | — | | | | (21,009 | ) |
| USD | | | 1,990 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.79%
(pays semi-annually) | | | 3/26/30 | | | | (24,834 | ) | | | — | | | | (24,834 | ) |
| USD | | | 760 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.81%
(pays semi-annually) | | | 3/27/30 | | | | (11,069 | ) | | | — | | | | (11,069 | ) |
| USD | | | 1,289 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.80%
(pays semi-annually) | | | 4/15/30 | | | | (17,105 | ) | | | — | | | | (17,105 | ) |
| USD | | | 450 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.73%
(pays semi-annually) | | | 4/17/30 | | | | (2,819 | ) | | | — | | | | (2,819 | ) |
| USD | | | 1,290 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.63%
(pays semi-annually) | | | 4/27/30 | | | | 3,312 | | | | — | | | | 3,312 | |
| USD | | | 3,970 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.68%
(pays semi-annually) | | | 4/29/30 | | | | (9,280 | ) | | | — | | | | (9,280 | ) |
| USD | | | 117 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.71%
(pays semi-annually) | | | 8/27/49 | | | | (26,686 | ) | | | — | | | | (26,686 | ) |
| USD | | | 135 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.70%
(pays semi-annually) | | | 8/27/49 | | | | (30,400 | ) | | | — | | | | (30,400 | ) |
| USD | | | 200 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.65%
(pays semi-annually) | | | 8/28/49 | | | | (42,023 | ) | | | — | | | | (42,023 | ) |
| USD | | | 420 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.57%
(pays semi-annually) | | | 8/29/49 | | | | (79,762 | ) | | | — | | | | (79,762 | ) |
| USD | | | 99 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.54%
(pays semi-annually) | | | 8/30/49 | | | | (18,034 | ) | | | — | | | | (18,034 | ) |
| USD | | | 308 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.65%
(pays semi-annually) | | | 9/9/49 | | | | (65,510 | ) | | | — | | | | (65,510 | ) |
| USD | | | 42 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.70%
(pays semi-annually) | | | 9/12/49 | | | | (9,487 | ) | | | — | | | | (9,487 | ) |
| USD | | | 250 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.87%
(pays semi-annually) | | | 9/17/49 | | | | (67,699 | ) | | | — | | | | (67,699 | ) |
| USD | | | 1,190 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.91%
(pays semi-annually) | | | 11/18/49 | | | | (339,883 | ) | | | — | | | | (339,883 | ) |
| USD | | | 250 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.95%
(pays semi-annually) | | | 1/9/50 | | | | (74,450 | ) | | | — | | | | (74,450 | ) |
| USD | | | 250 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.75%
(pays semi-annually) | | | 2/14/50 | | | | (60,070 | ) | | | — | | | | (60,070 | ) |
18
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | 1,500 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 1.25%
(pays semi-annually) | | | 3/5/50 | | | $ | (162,273 | ) | | $ | — | | | $ | (162,273 | ) |
| USD | | | 1,930 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.84%
(pays semi-annually) | | | 3/30/50 | | | | 2,585 | | | | — | | | | 2,585 | |
| USD | | | 660 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.79%
(pays semi-annually) | | | 4/23/50 | | | | 9,072 | | | | — | | | | 9,072 | |
| USD | | | 2,670 | | | Receives | | 3-monthUSD-LIBOR
(pays quarterly) | | 0.83%
(pays semi-annually) | | | 4/29/50 | | | | 8,797 | | | | — | | | | 8,797 | |
| ZAR | | | 44,397 | | | Pays | | 3-month ZAR JIBAR
(pays quarterly) | | 6.88%
(pays quarterly) | | | 1/10/25 | | | | 109,030 | | | | — | | | | 109,030 | |
| ZAR | | | 52,853 | | | Pays | | 3-month ZAR JIBAR
(pays quarterly) | | 6.90%
(pays quarterly) | | | 1/10/25 | | | | 131,964 | | | | — | | | | 131,964 | |
| ZAR | | | 25,000 | | | Pays | | 3-month ZAR JIBAR
(pays quarterly) | | 6.64%
(pays quarterly) | | | 2/11/25 | | | | 47,487 | | | | — | | | | 47,487 | |
| ZAR | | | 9,852 | | | Pays | | 3-month ZAR JIBAR
(pays quarterly) | | 6.64%
(pays quarterly) | | | 2/14/25 | | | | 18,555 | | | | — | | | | 18,555 | |
| ZAR | | | 45,978 | | | Pays | | 3-month ZAR JIBAR
(pays quarterly) | | 6.65%
(pays quarterly) | | | 2/14/25 | | | | 87,147 | | | | — | | | | 87,147 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | | | | | | | | | | | | | | | $ | (1,231,077 | ) | | $ | 33,026 | | | $ | (1,198,051 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 5,857 | |
Bank of America, N.A. | | | MYR | | | | 7,000 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.27%
(pays quarterly) | | | 1/3/25 | | | | 80,316 | |
Citibank, N.A. | | | MYR | | | | 7,500 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.21%
(pays quarterly) | | | 1/8/25 | | | | 81,363 | |
Goldman Sachs International | | | RUB | | | | 258,600 | | | | Pays | | | 3-month Moscow Prime Offered Rate
(pays quarterly) | | 6.51%
(pays annually) | | | 4/16/25 | | | | 95,755 | |
Standard Chartered Bank | | | MYR | | | | 13,400 | | | | Pays | | | 3-month MYR KLIBOR
(pays quarterly) | | 3.12%
(pays quarterly) | | | 10/4/24 | | | | 126,854 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | $ | 390,145 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
19
Centrally Cleared Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | Notional
Amount*
(000’s omitted) | | | Contract
Annual
Fixed Rate** | | | Termination
Date | | | Current
Market
Annual
Fixed
Rate*** | | | Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Appreciation
(Depreciation) | |
Turkey | | $ | 1,520 | | |
| 1.00
(pays quarterly | %
)(1) | | | 6/20/21 | | | | 5.62 | % | | $ | (76,086 | ) | | $ | 86,488 | | | $ | 10,402 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,520 | | | | | | | | | | | | | | | $ | (76,086 | ) | | $ | 86,488 | | | $ | 10,402 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | |
Brazil | | $ | 215 | | | | 1.00% (pays quarterly)(1) | | | 6/20/25 | | $ | 20,350 | | | $ | (23,186 | ) | | $ | (2,836 | ) |
Mexico | | | 2,850 | | | | 1.00% (pays quarterly)(1) | | | 6/20/25 | | | 210,101 | | | | (251,102 | ) | | | (41,001 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | $ | 230,451 | | | $ | (274,288 | ) | | $ | (43,837 | ) |
| | | | | | | | | | | |
Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Counterparty | | Notional
Amount*
(000’s omitted) | | | Contract
Annual
Fixed Rate** | | | Termination
Date | | | Current
Market
Annual
Fixed
Rate*** | | | Value | | | Unamortized
Upfront
Receipts
(Payments) | | | Unrealized
Depreciation | |
| Bahamas | | Deutsche Bank AG | | $ | 600 | | |
| 1.00
(pays quarterly | %
)(1) | | | 6/20/22 | | | | 3.33 | % | | $ | (28,403 | ) | | $ | 23,047 | | | $ | (5,356 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 600 | | | | | | | | | | | | | | | $ | (28,403 | ) | | $ | 23,047 | | | $ | (5,356 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | 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 April 30, 2020, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $2,120,000. |
| ** | 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. |
| *** | 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. |
20
Abbreviations:
| | | | |
| | |
EURIBOR | | - | | Euro Interbank Offered Rate |
| | |
GDP | | - | | Gross Domestic Product |
| | |
LIBOR | | - | | London Interbank Offered Rate |
Currency Abbreviations:
| | | | |
| | |
BAM | | - | | Bosnia-Herzegovina Convertible Mark |
| | |
BRL | | - | | Brazilian Real |
| | |
CLP | | - | | Chilean Peso |
| | |
CNH | | - | | Yuan Renminbi Offshore |
| | |
CNY | | - | | Yuan Renminbi |
| | |
COP | | - | | Colombian Peso |
| | |
CZK | | - | | Czech Koruna |
| | |
EUR | | - | | Euro |
| | |
GEL | | - | | Georgian Lari |
| | |
IDR | | - | | Indonesian Rupiah |
| | |
INR | | - | | Indian Rupee |
| | |
MXN | | - | | Mexican Peso |
| | |
MYR | | - | | Malaysian Ringgit |
| | |
PEN | | - | | Peruvian Sol |
| | |
PLN | | - | | Polish Zloty |
| | |
RSD | | - | | Serbian Dinar |
| | |
RUB | | - | | Russian Ruble |
| | |
SGD | | - | | Singapore Dollar |
| | |
THB | | - | | Thai Baht |
| | |
UAH | | - | | Ukrainian Hryvnia |
| | |
UGX | | - | | Ugandan Shilling |
| | |
USD | | - | | United States Dollar |
| | |
ZAR | | - | | South African Rand |
21
At April 30, 2020, 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.
At April 30, 2020, the value of the Fund’s investment in affiliated funds was $36,771,890, which represents 13.6% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended April 30, 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 | | $ | 9,438,170 | | | $ | 245,820,506 | | | $ | (218,502,709 | ) | | $ | 7,217 | | | $ | 8,706 | | | $ | 36,771,890 | | | $ | 375,590 | | | | 36,771,890 | |
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.
22
At April 30, 2020, 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 | | $ | — | | | $ | 162,694,641 | | | $ | — | | | $ | 162,694,641 | |
Foreign Corporate Bonds | | | — | | | | 57,174,262 | | | | — | | | | 57,174,262 | |
Sovereign Loans | | | — | | | | 5,651,513 | | | | — | | | | 5,651,513 | |
Short-Term Investments — | | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 3,390,938 | | | | — | | | | 3,390,938 | |
U.S. Treasury Obligations | | | — | | | | 449,978 | | | | — | | | | 449,978 | |
Other | | | — | | | | 36,771,890 | | | | — | | | | 36,771,890 | |
Total Investments | | $ | — | | | $ | 266,133,222 | | | $ | — | | | $ | 266,133,222 | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 1,047,056 | | | $ | — | | | $ | 1,047,056 | |
Futures Contracts | | | 2,602 | | | | — | | | | — | | | | 2,602 | |
Swap Contracts | | | — | | | | 4,751,886 | | | | — | | | | 4,751,886 | |
Total | | $ | 2,602 | | | $ | 271,932,164 | | | $ | — | | | $ | 271,934,766 | |
| | | | |
| Liability Description | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,058,997 | ) | | $ | — | | | $ | (1,058,997 | ) |
Futures Contracts | | | (157,424 | ) | | | — | | | | — | | | | (157,424 | ) |
Swap Contracts | | | — | | | | (5,466,856 | ) | | | — | | | | (5,466,856 | ) |
Total | | $ | (157,424 | ) | | $ | (6,525,853 | ) | | $ | — | | | $ | (6,683,277 | ) |
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.
23
