Eaton Vance Floating Rate Fund (EIBLX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-04015

Eaton Vance Mutual Funds Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number)

October 31

Date of Fiscal Year End

October 31, 2022

Date of Reporting Period

Item 1. Reports to Stockholders

Eaton Vance

Emerging Markets Local Income Fund

Annual Report

October 31, 2022

Commodity Futures Trading Commission Registration. The Commodity Futures Trading Commission (“CFTC”) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser is registered with the CFTC as a commodity pool operator with respect to its management of the Fund. As the commodity pool operator of the Fund, the adviser has claimed relief under the Commodity Exchange Act from certain reporting and recordkeeping requirements. The adviser is also registered as a commodity trading advisor.

Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.

This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.

Annual Report October 31, 2022

Eaton Vance

Emerging Markets Local Income Fund

Table of Contents
Management’s Discussion of Fund Performance	2
Performance	3
Fund Profile	4
Endnotes and Additional Disclosures	5
Fund Expenses	6
Financial Statements	7
Report of Independent Registered Public Accounting Firm	17 and 58
Federal Tax Information	18
Board of Trustees’ Contract Approval	59
Liquidity Risk Management Program	63
Management and Organization	64
Privacy Notice	67
Important Notices	69

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Management’s Discussion of Fund Performance^†

Economic and Market Conditions

The world’s equity and fixed-income markets posted broad losses during the 12-month period ended October 31, 2022. The declines were due to several factors, including high inflation in many countries, aggressive monetary tightening by the U.S. Federal Reserve (the Fed), and slowing global economic growth.

During the period, U.S. inflation surged as strong consumer demand following the relaxation of COVID-19 restrictions coincided with supply shortages created by the pandemic. Production and trade disruptions resulting from Russia’s February 2022 invasion of Ukraine added to inflationary pressures by driving up prices of energy and grains. The Fed responded by increasing short-term interest rates at the fastest pace in decades and signaling that it would continue hiking rates until inflation was under control -- even if it meant pushing the U.S. economy into recession.

The European Central Bank and Bank of England also raised interest rates during the period in efforts to tame inflation, despite signs of deterioration in the European economy. Conversely, the Bank of Japan held its main policy rate at −0.1%. Inflation rose in Japan during the period but remained low compared to inflation in other developed countries. The widening differential between interest rates in Japan and the U.S. contributed to a substantial weakening in the Japanese yen versus the U.S. dollar during the period.

In China, government policies helped contain inflation but also significantly slowed economic growth. First, China maintained its zero-COVID policy, which led to lockdowns of major cities during the period. Second, Chinese leaders renewed their focus on the country’s “common prosperity” agenda, implementing measures that negatively affected certain sectors of China’s economy, including real estate and technology.

During the period, a number of emerging and frontier nations either defaulted on their sovereign debt or were pushed to the brink of default. Rising food and energy prices pressured these governments to offer subsidies to consumers, putting additional stress on fiscal balances already strained by pandemic-related spending. In addition, broad strength in the U.S. dollar made servicing U.S. dollar-denominated debt more expensive.

On a positive note, we believe there were signs late in the period that inflation may have peaked in several major emerging-market economies. Central banks in these countries indicated that they were at, or near, the end of their tightening cycles.

Fund Performance

For the 12-month period ended October 31, 2022, Eaton Vance Emerging Markets Local Income Fund (the Fund) returned -20.47% for Class A shares at net asset value (NAV), underperforming its benchmark, the J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged) (the Index), which returned -20.27%.

The Fund’s interest rate exposures had the largest negative impact on performance relative to the Index during the period, and positioning in sovereign credit also detracted. On the plus side, currency exposure was the top contributor to relative performance, and corporate credit exposure added value as well.

On a regional basis, relative returns in Eastern European positions were negatively affected by an out-of-Index position in Ukrainian local bonds. This investment performed poorly due to the Russia-Ukraine war, which led to a steep sell-off in Ukrainian local assets. The unfavorable impact of this exposure was partly offset by underweight positions in local interest rates in Russia, Poland, and Hungary, as interest rates increased and bond prices declined in these three nations during the period. By period-end, the local interest rate position in Russia was sold from the Fund.

In Asia, an out-of-Index position in South Korean local interest rates hurt relative performance given the global trend of rising rates during the period. Conversely, a lack of exposure to the Chinese yuan was helpful amid the slowdown in China’s economy.

In Latin America, overweight exposure to Colombian interest rates detracted from returns versus the Index, while an overweight position in Brazilian rates was a notable contributor. Inflation in Brazil moderated during the period, prompting the country’s central bank to pause its rate-hiking campaign.

In the Middle East & Africa, the Fund’s lack of exposure to Egypt late in the period was a major contributor to performance relative to the Index. During this time, the Egyptian pound fell sharply, pressured by the Egyptian government’s decision to adopt a more flexible exchange-rate system to help secure a loan from the International Monetary Fund.

The Fund used derivatives extensively to both hedge select undesired risk exposures as well as gain select desired risk exposures. Some of the above commentary about notable drivers of performance at the country level involved the use of derivatives. The Fund’s use of derivatives broadly detracted from returns versus the Index during the period. In particular, interest rate swaps, which are used both to gain and hedge desired exposures, detracted from Fund performance versus the Index. Currency forwards, which are also used both to gain and hedge desired exposures and are the other major derivative type used by the Fund, further detracted from relative performance during the period.

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

2

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Performance

Portfolio Manager(s) John R. Baur, Brian Shaw, CFA and Patrick Campbell, CFA

% Average Annual Total Returns1,2	Class Inception Date	Performance Inception Date	One Year	Five Years	Ten Years
Class A at NAV	06/27/2007	06/27/2007	(20.47)%	(2.35)%	(1.26)%
Class A with 3.25% Maximum Sales Charge	—	—	(22.98)	(2.99)	(1.58)
Class C at NAV	08/03/2010	06/27/2007	(21.31)	(3.08)	(1.81)
Class C with 1% Maximum Deferred Sales Charge	—	—	(22.01)	(3.08)	(1.81)
Class I at NAV	11/30/2009	06/27/2007	(20.48)	(2.12)	(1.00)
J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged)	—	—	(20.27)%	(3.54)%	(2.56)%

% Total Annual Operating Expense Ratios3	Class A	Class C	Class I
	1.16%	1.86%	0.86%

Growth of $10,000

This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index.

Growth of Investment	Amount Invested	Period Beginning	At NAV	With Maximum Sales Charge
Class C	$10,000	10/31/2012	$8,333	N.A.
Class I, at minimum investment	$1,000,000	10/31/2012	$904,635	N.A.

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

3

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Fund Profile

Asset Allocation (% of net assets)¹

Foreign Currency Exposure (% of net assets)2
Brazil	12.9%
Mexico	10.3
Indonesia	9.9
Singapore	8.0
Poland	6.8
Thailand	6.1
Dominican Republic	5.3
Czech Republic	5.3
Ukraine	5.2
Malaysia	5.1
Serbia	4.2
Uzbekistan	4.0
South Africa	3.6
Uruguay	3.5
Romania	3.5
Colombia	3.0
Hungary	2.7
Kazakhstan	2.5
Peru	2.5
China	2.4
Korea	2.0
Uganda	1.9
Other	2.0 3
Euro	-3.9
Total Long	113.5
Total Short	-4.7
Total Net	108.8

 

Footnotes:

Fund invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund. References to investments are to the Portfolio’s holdings.

1	Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets.
2	Currency exposures include all foreign exchange denominated assets and currency derivatives. Total exposures may exceed 100% due to implicit leverage created by derivatives.
3	Includes amounts each less than 1.0% or –1.0%, as applicable.

4

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Endnotes and Additional Disclosures

†  The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.

1	J.P. Morgan Government Bond Index: Emerging Markets (JPM GBI-EM) Global Diversified (Unhedged) is an unmanaged index of local-currency bonds with maturities of more than one year issued by emerging markets governments. Information has been obtained from sources believed to be reliable but J.P. Morgan does not warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or distributed without J.P. Morgan’s prior written approval. Copyright 2021, J.P. Morgan Chase & Co. All rights reserved. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
2	Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.
3	Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower.

Fund profile subject to change due to active management.

5

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Fund Expenses

Example

As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).

Actual Expenses

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.

	Beginning Account Value (5/1/22)	Ending Account Value (10/31/22)	Expenses Paid During Period*(5/1/22 – 10/31/22)	Annualized Expense Ratio
Actual
Class A	$1,000.00	$ 912.20	$5.74	1.19%
Class C	$1,000.00	$ 907.90	$9.14	1.90%
Class I	$1,000.00	$ 910.70	$4.33	0.90%
Hypothetical
(5% return per year before expenses)
Class A	$1,000.00	$1,019.21	$6.06	1.19%
Class C	$1,000.00	$1,015.63	$9.65	1.90%
Class I	$1,000.00	$1,020.67	$4.58	0.90%

* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on April 30, 2022. The Example reflects the expenses of both the Fund and the Portfolio.

6

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Statement of Assets and Liabilities

	October 31, 2022
Assets
Investment in Emerging Markets Local Income Portfolio, at value (identified cost $1,081,061,207)	$ 831,430,236
Receivable for Fund shares sold	1,895,141
Total assets	$ 833,325,377
Liabilities
Payable for Fund shares redeemed	$ 3,127,711
Payable to affiliates:
Distribution and service fees	51,555
Trustees' fees	43
Other	4,725
Accrued expenses	350,147
Total liabilities	$ 3,534,181
Net Assets	$ 829,791,196
Sources of Net Assets
Paid-in capital	$ 987,119,888
Accumulated loss	(157,328,692)
Net Assets	$ 829,791,196
Class A Shares
Net Assets	$ 87,882,831
Shares Outstanding	27,289,873
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding)	$ 3.22
Maximum Offering Price Per Share  (100 ÷ 96.75 of net asset value per share)	$ 3.33
Class C Shares
Net Assets	$ 33,976,129
Shares Outstanding	10,435,925
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding)	$ 3.26
Class I Shares
Net Assets	$ 707,932,236
Shares Outstanding	219,967,325
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding)	$ 3.22

On sales of $100,000 or more, the offering price of Class A shares is reduced.
*	Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge.

7

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Statement of Operations

	Year Ended
	October 31, 2022
Investment Income
Dividend income allocated from Portfolio	$ 665,701
Interest income allocated from Portfolio (net of foreign taxes withheld of $1,796,379)	77,130,750
Expenses allocated from Portfolio	(8,284,846)
Total investment income from Portfolio	$ 69,511,605
Expenses
Distribution and service fees:
Class A	$ 343,397
Class C	445,833
Trustees’ fees and expenses	500
Custodian fee	60,326
Transfer and dividend disbursing agent fees	772,688
Legal and accounting services	57,971
Printing and postage	372,372
Registration fees	92,024
Miscellaneous	17,513
Total expenses	$ 2,162,624
Net investment income	$ 67,348,981
Realized and Unrealized Gain (Loss) from Portfolio
Net realized gain (loss):
Investment transactions (net of foreign capital gains taxes of $265,099)	$ (66,276,484)
Futures contracts	4,642,689
Swap contracts	(47,686,429)
Foreign currency transactions	(5,696,180)
Forward foreign currency exchange contracts	(17,812,193)
Non-deliverable bond forward contracts	(18,633,766)
Net realized loss	$(151,462,363)
Change in unrealized appreciation (depreciation):
Investments (including net decrease in accrued foreign capital gains taxes of $1,195,024)	$ (175,679,884)
Futures contracts	(269,053)
Swap contracts	4,859,563
Foreign currency	(872,864)
Forward foreign currency exchange contracts	7,127,568
Non-deliverable bond forward contracts	507,066
Net change in unrealized appreciation (depreciation)	$(164,327,604)
Net realized and unrealized loss	$(315,789,967)
Net decrease in net assets from operations	$(248,440,986)

8

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Statements of Changes in Net Assets

	Year Ended October 31,
	2022	2021
Increase (Decrease) in Net Assets
From operations:
Net investment income	$ 67,348,981	$ 73,990,839
Net realized gain (loss)	(151,462,363)	14,421,284
Net change in unrealized appreciation (depreciation)	(164,327,604)	(95,065,101)
Net decrease in net assets from operations	$ (248,440,986)	$ (6,652,978)
Distributions to shareholders:
Class A	$ —	$ (3,528,165)
Class C	—	(1,336,288)
Class I	—	(29,959,647)
Total distributions to shareholders	$ —	$ (34,824,100)
Tax return of capital to shareholders:
Class A	$ (13,947,887)	$ (11,744,917)
Class C	(5,086,599)	(4,324,921)
Class I	(114,849,166)	(107,917,807)
Total tax return of capital to shareholders	$ (133,883,652)	$ (123,987,645)
Transactions in shares of beneficial interest:
Class A	$ (17,218,330)	$ 30,113,299
Class C	(9,079,577)	4,959,581
Class I	(183,103,782)	379,512,959
Net increase (decrease) in net assets from Fund share transactions	$ (209,401,689)	$ 414,585,839
Net increase (decrease) in net assets	$ (591,726,327)	$ 249,121,116
Net Assets
At beginning of year	$1,421,517,523	$ 1,172,396,407
At end of year	$ 829,791,196	$1,421,517,523

9

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Financial Highlights

	Class A
	Year Ended October 31,
	2022	2021	2020	2019	2018
Net asset value — Beginning of year	$ 4.590	$ 5.030	$ 5.760	$ 5.190	$ 6.310
Income (Loss) From Operations
Net investment income(1)	$ 0.234	$ 0.228	$ 0.286	$ 0.363	$ 0.408
Net realized and unrealized gain (loss)	(1.125)	(0.168)	(0.293)	0.759	(0.970)
Total income (loss) from operations	$ (0.891)	$ 0.060	$ (0.007)	$ 1.122	$ (0.562)
Less Distributions
From net investment income	$ —	$ (0.123)	$ (0.198)	$ (0.552)	$ —
Tax return of capital	(0.479)	(0.377)	(0.525)	—	(0.558)
Total distributions	$ (0.479)	$ (0.500)	$ (0.723)	$ (0.552)	$ (0.558)
Net asset value — End of year	$ 3.220	$ 4.590	$ 5.030	$ 5.760	$ 5.190
Total Return(2)	(20.47)%	1.06%	(0.31)% (3)	22.64% (3)	(9.65)% (3)
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$87,883	$145,043	$129,954	$152,308	$107,550
Ratios (as a percentage of average daily net assets):(4)
Expenses	1.19% (5)	1.16%	1.20% (3)	1.20% (3)	1.23% (3)(6)
Net investment income	5.99%	4.53%	5.40%	6.57%	6.84%
Portfolio Turnover of the Portfolio	33%	56%	56%	46%	52%

(1)	Computed using average shares outstanding.
(2)	Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.
(3)	The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.
(4)	Includes the Fund’s share of the Portfolio’s allocated expenses.
(5)	Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).
(6)	Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018.

10

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Financial Highlights — continued

	Class C
	Year Ended October 31,
	2022	2021	2020	2019	2018
Net asset value — Beginning of year	$ 4.650	$ 5.080	$ 5.820	$ 5.240	$ 6.380
Income (Loss) From Operations
Net investment income(1)	$ 0.209	$ 0.194	$ 0.250	$ 0.328	$ 0.373
Net realized and unrealized gain (loss)	(1.142)	(0.154)	(0.298)	0.770	(0.992)
Total income (loss) from operations	$ (0.933)	$ 0.040	$ (0.048)	$ 1.098	$ (0.619)
Less Distributions
From net investment income	$ —	$ (0.115)	$ (0.190)	$ (0.518)	$ —
Tax return of capital	(0.457)	(0.355)	(0.502)	—	(0.521)
Total distributions	$ (0.457)	$ (0.470)	$ (0.692)	$ (0.518)	$ (0.521)
Net asset value — End of year	$ 3.260	$ 4.650	$ 5.080	$ 5.820	$ 5.240
Total Return(2)	(21.31)%	0.46%	(0.90)% (3)	21.87% (3)	(10.42)% (3)
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$33,976	$58,639	$59,169	$62,869	$44,416
Ratios (as a percentage of average daily net assets):(4)
Expenses	1.89% (5)	1.86%	1.90% (3)	1.90% (3)	1.93% (3)(6)
Net investment income	5.28%	3.82%	4.68%	5.88%	6.17%
Portfolio Turnover of the Portfolio	33%	56%	56%	46%	52%

(1)	Computed using average shares outstanding.
(2)	Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.
(3)	The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.
(4)	Includes the Fund’s share of the Portfolio’s allocated expenses.
(5)	Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).
(6)	Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018.

11

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Financial Highlights — continued

	Class I
	Year Ended October 31,
	2022	2021	2020	2019	2018
Net asset value — Beginning of year	$ 4.590	$ 5.020	$ 5.760	$ 5.190	$ 6.310
Income (Loss) From Operations
Net investment income(1)	$ 0.246	$ 0.243	$ 0.301	$ 0.381	$ 0.427
Net realized and unrealized gain (loss)	(1.126)	(0.158)	(0.302)	0.757	(0.971)
Total income (loss) from operations	$ (0.880)	$ 0.085	$ (0.001)	$ 1.138	$ (0.544)
Less Distributions
From net investment income	$ —	$ (0.127)	$ (0.202)	$ (0.568)	$ —
Tax return of capital	(0.490)	(0.388)	(0.537)	—	(0.576)
Total distributions	$ (0.490)	$ (0.515)	$ (0.739)	$ (0.568)	$ (0.576)
Net asset value — End of year	$ 3.220	$ 4.590	$ 5.020	$ 5.760	$ 5.190
Total Return(2)	(20.48)%	1.36%	(0.01)% (3)	23.00% (3)	(9.38)% (3)
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$707,932	$1,217,836	$983,273	$938,608	$555,630
Ratios (as a percentage of average daily net assets):(4)
Expenses	0.89% (5)	0.86%	0.90% (3)	0.90% (3)	0.93% (3)(6)
Net investment income	6.28%	4.86%	5.68%	6.90%	7.15%
Portfolio Turnover of the Portfolio	33%	56%	56%	46%	52%

(1)	Computed using average shares outstanding.
(2)	Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.
(3)	The investment adviser reimbursed certain operating expenses (equal to 0.02%, 0.02% and 0.09% of average daily net assets for the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.
(4)	Includes the Fund’s share of the Portfolio’s allocated expenses.
(5)	Includes a reduction by the investment adviser of a portion of the Portfolio's adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).
(6)	Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018.

12

See Notes to Financial Statements.

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Notes to Financial Statements

1  Significant Accounting Policies

Eaton Vance Emerging Markets Local Income Fund (the Fund) is a non-diversified series of Eaton Vance Mutual Funds Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after their purchase as described in the Fund’s prospectus. Class I shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund invests substantially all of its investable assets in interests in Emerging Markets Local Income Portfolio (the Portfolio), a Massachusetts business trust, having the same investment objective and policies as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (86.7% at October 31, 2022). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation—Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio's Notes to Financial Statements, which are included elsewhere in this report.

B  Income— The Fund's net investment income or loss consists of the Fund's pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.

C  Federal and Other Taxes—The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.

In addition to the requirements of the Internal Revenue Code, the Fund may also be required to recognize its pro-rata share of the capital gains taxes incurred by the Portfolio. In doing so, the daily net asset value would reflect the Fund’s pro-rata share of the estimated reserve for such taxes incurred by the Portfolio.

As of October 31, 2022, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

D  Expenses—The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.

E  Use of Estimates—The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

F  Indemnifications—Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

G  Other—Investment transactions are accounted for on a trade date basis.

13

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Notes to Financial Statements — continued

2  Distributions to Shareholders and Income Tax Information

The Fund expects to pay any required income distributions monthly and intends to distribute annually all or substantially all of its net realized capital gains. The Fund may include in its distributions amounts attributable to the imputed interest on foreign currency exposures and certain other derivative positions which, in certain circumstances, may result in a return of capital for federal income tax purposes. Distributions to shareholders are recorded on the ex-dividend date. Distributions are declared separately for each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.

The tax character of distributions declared for the years ended October 31, 2022 and October 31, 2021 was as follows:

	Year Ended October 31,
	2022	2021
Ordinary income	$  —	$ 34,824,100
Tax return of capital	$133,883,652	$123,987,645

During the year ended October 31, 2022, accumulated loss was decreased by $126,799,228 and paid-in capital was decreased by $126,799,228 due to differences between book and tax accounting, primarily for net operating losses. These reclassifications had no effect on the net assets or net asset value per share of the Fund.

As of October 31, 2022, the components of distributable earnings (accumulated loss) on a tax basis were as follows:

Deferred capital losses	$ (44,681,829)
Net unrealized depreciation	(112,646,863)
Accumulated loss	$(157,328,692)

At October 31, 2022, the Fund, for federal income tax purposes, had deferred capital losses of $44,681,829 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2022, $44,681,829 are short-term.

3  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Eaton Vance Management (EVM), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Fund. The investment adviser fee is computed at an annual rate as a percentage of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser or administrator as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $1 billion	0.650%
$1 billion but less than $2 billion	0.625%
$2 billion but less than $5 billion	0.600%
$5 billion and over	0.575%

For the year ended October 31, 2022, the Fund incurred no investment adviser fee on such assets. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The Portfolio has engaged Boston Management and Research (BMR) to render investment advisory services. See Note 2 of the Portfolio’s Notes to Financial Statements which are included elsewhere in this report. EVM also serves as the administrator of the Fund, but receives no compensation. EVM has agreed to reimburse the Fund’s expenses to the extent that total annual

14

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Notes to Financial Statements — continued

operating expenses (relating to ordinary operating expenses only and excluding such expenses as borrowing costs, taxes or litigation expenses) exceed 1.20%, 1.90% and 0.90% of the Fund’s average daily net assets for Class A, Class C and Class I, respectively. This agreement may be changed or terminated after February 28, 2023. Pursuant to this agreement, no operating expenses were allocated to EVM for the year ended October 31, 2022.

EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended October 31, 2022, EVM earned $20,080 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Statement of Operations. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund's principal underwriter, received $51,604 as its portion of the sales charge on sales of Class A shares for the year ended October 31, 2022. The Fund was informed that Morgan Stanley affiliated broker-dealers, which may be deemed to be affiliates of EVM, BMR and EVD, also received a portion of the sales charge on sales of Class A shares for the year ended October 31, 2022 in the amount of $1,551. EVD also received distribution and service fees from Class A and Class C shares (see Note 4) and contingent deferred sales charges (see Note 5).

Trustees and officers of the Fund who are members of EVM’s or BMR's organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.

4  Distribution Plans

The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.30% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the year ended October 31, 2022 amounted to $343,397 for Class A shares.

The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the year ended October 31, 2022, the Fund paid or accrued to EVD $334,375 for Class C shares.

Pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the year ended October 31, 2022 amounted to $111,458 for Class C shares.

Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).

5  Contingent Deferred Sales Charges

A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within 12 months of purchase. Class A shares may be subject to a 0.75% (1% prior to April 29, 2022) CDSC if redeemed within 12 months (18 months prior to April 29, 2022) of purchase (depending on the circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the year ended October 31, 2022, the Fund was informed that EVD received approximately $9,000 and $8,000 of CDSCs paid by Class A and Class C shareholders, respectively.

6  Investment Transactions

For the year ended October 31, 2022, increases and decreases in the Fund's investment in the Portfolio aggregated $109,200,430 and $451,022,305, respectively.

15

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Notes to Financial Statements — continued

7  Shares of Beneficial Interest

The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares, including direct exchanges pursuant to share class conversions for all periods presented, were as follows:

	Year Ended October 31, 2022		Year Ended October 31, 2021
	Shares	Amount	Shares	Amount
Class A
Sales	8,744,229	$  34,415,385	18,274,543	$    92,948,187
Issued to shareholders electing to receive payments of distributions in Fund shares	3,336,364	12,695,340	2,799,887	13,895,628
Redemptions	(16,356,773)	(64,329,055)	(15,367,242)	(76,730,516)
Net increase (decrease)	(4,276,180)	$ (17,218,330)	5,707,188	$   30,113,299
Class C
Sales	1,633,628	$   6,788,155	3,368,182	$    17,293,127
Issued to shareholders electing to receive payments of distributions in Fund shares	1,277,313	4,922,131	1,095,871	5,499,953
Redemptions	(5,096,503)	(20,789,863)	(3,486,291)	(17,833,499)
Net increase (decrease)	(2,185,562)	$  (9,079,577)	977,762	$    4,959,581
Class I
Sales	103,149,612	$ 411,448,840	212,433,306	$ 1,086,953,947
Issued to shareholders electing to receive payments of distributions in Fund shares	27,991,737	106,732,653	25,659,906	127,179,340
Redemptions	(176,382,555)	(701,285,275)	(168,623,621)	(834,620,328)
Net increase (decrease)	(45,241,206)	$(183,103,782)	69,469,591	$  379,512,959

16

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Report of Independent Registered Public Accounting Firm

To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton Vance Emerging Markets Local Income Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Eaton Vance Emerging Markets Local Income Fund (the “Fund”) (one of the funds constituting Eaton Vance Mutual Funds Trust), as of October 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP
Boston, Massachusetts
December 29, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

17

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Federal Tax Information (Unaudited)

The Form 1099-DIV you receive in February 2023 will show the tax status of all distributions paid to your account in calendar year 2022. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the foreign tax credit and 163(j) interest dividends.

Foreign Tax Credit. For the fiscal year ended October 31, 2022, the Fund paid foreign taxes of $1,926,271 and recognized foreign source income of $76,319,136.

163(j) Interest Dividends. For the fiscal year ended October 31, 2022, the Fund designates 100% of distributions from net investment income as a 163(j) interest dividend.

18

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments

Foreign Corporate Bonds — 2.7%

Security	Principal Amount (000's omitted)		Value
Brazil — 0.9%
Simpar Finance S.a.r.l., 10.75%, 2/12/28(1)	BRL	53,195	$   8,354,153
			$  8,354,153
Colombia — 0.3%
Patrimonio Autonomo Union del Sur, 6.66%, 2/28/41(2)	COP	18,185,000	$   2,964,095
			$  2,964,095
Mexico — 0.0%(3)
Petroleos Mexicanos, 7.19%, 9/12/24(2)	MXN	10,630	$     488,910
			$    488,910
Peru — 1.2%
Alicorp SAA, 6.875%, 4/17/27(1)	PEN	25,530	$   5,961,284
Telefonica del Peru SAA, 7.375%, 4/10/27(2)	PEN	24,500	5,397,216
			$ 11,358,500
Uzbekistan — 0.3%
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(1)	UZS	34,000,000	$   3,049,577
			$  3,049,577
Total Foreign Corporate Bonds (identified cost $25,394,686)			$ 26,215,235

Loan Participation Notes — 3.1%

Security	Principal Amount (000's omitted)		Value
Uzbekistan — 3.1%
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(1)(4)(5)	UZS	159,708,000	$  14,300,922
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/26/23(1)(4)(5)	UZS	168,539,054	15,079,756
Total Loan Participation Notes (identified cost $32,881,388)			$ 29,380,678

Sovereign Government Bonds — 61.3%

Security	Principal Amount (000's omitted)		Value
Argentina — 0.1%
Provincia de Cordoba, 6.875%, 12/10/25(1)	USD	1,106	$     846,272
			$    846,272
Armenia — 0.6%
Republic of Armenia, 7.15%, 3/26/25(1)	USD	5,828	$   5,728,085
			$  5,728,085
Azerbaijan — 0.3%
Republic of Azerbaijan, 4.75%, 3/18/24(1)	USD	3,142	$   3,080,178
			$  3,080,178
Bahrain — 0.3%
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1)	USD	2,624	$   2,641,116
			$  2,641,116
Bolivia — 0.3%
Bolivian Government International Bond, 5.95%, 8/22/23(1)	USD	2,762	$   2,644,615
			$  2,644,615
Bosnia and Herzegovina — 0.1%
Republic of Srpska:
1.50%, 6/30/23	BAM	32	$      16,315
1.50%, 10/30/23	BAM	88	43,986
1.50%, 12/15/23	BAM	10	4,793
1.50%, 5/31/25	BAM	1,669	781,811
1.50%, 6/9/25	BAM	160	77,177
1.50%, 12/24/25	BAM	232	115,843
1.50%, 9/25/26	BAM	145	72,273
1.50%, 9/26/27	BAM	55	25,425
			$  1,137,623
Brazil — 0.4%
Nota do Tesouro Nacional, 10.00%, 1/1/27	BRL	22,375	$   4,114,701
			$  4,114,701
China — 2.0%
China Government Bond:
2.68%, 5/21/30	CNY	40,600	$   5,568,123

 

19

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Security	Principal Amount (000's omitted)		Value
China (continued)
China Government Bond: (continued)
3.53%, 10/18/51	CNY	93,820	$  13,847,468
			$ 19,415,591
Colombia — 2.5%
Republic of Colombia:
2.625%, 3/15/23	USD	3,500	$   3,447,066
4.00%, 2/26/24	USD	3,429	3,289,748
Titulos De Tesoreria B:
5.75%, 11/3/27	COP	27,398,000	4,027,515
6.00%, 4/28/28	COP	18,865,200	2,744,340
7.00%, 3/26/31	COP	64,677,900	8,790,405
7.00%, 6/30/32	COP	5,447,000	712,701
10.00%, 7/24/24	COP	3,528,300	687,059
			$ 23,698,834
Costa Rica — 0.7%
Costa Rica Government Bond, 9.66%, 9/30/26(1)	CRC	4,136,100	$   6,752,472
			$  6,752,472
Czech Republic — 0.4%
Czech Republic Government Bond, 0.95%, 5/15/30(1)	CZK	140,000	$   3,987,779
			$  3,987,779
Dominican Republic — 5.1%
Dominican Republic:
8.00%, 1/15/27(1)	DOP	111,360	$   1,746,879
8.00%, 2/12/27(1)	DOP	568,540	8,866,241
8.90%, 2/15/23(1)	DOP	145,250	2,675,276
12.00%, 8/8/25(2)	DOP	836,870	14,761,457
12.75%, 9/23/29(2)	DOP	587,800	11,092,860
13.00%, 6/10/34(1)	DOP	312,000	5,708,155
Dominican Republic Central Bank Notes:
8.00%, 3/12/27(1)	DOP	36,140	538,626
12.00%, 10/3/25(2)	DOP	221,270	3,895,602
			$ 49,285,096
Ecuador — 0.2%
Republic of Ecuador, 1.50% to 7/31/23, 7/31/40(1)(6)	USD	6,853	$   2,288,275
			$  2,288,275
El Salvador — 0.5%
Republic of El Salvador, 7.75%, 1/24/23(1)	USD	4,660	$   4,252,080
			$  4,252,080

Security	Principal Amount (000's omitted)		Value
Honduras — 0.2%
Honduras Government International Bond, 7.50%, 3/15/24(1)	USD	2,218	$   2,218,000
			$  2,218,000
Hungary — 0.7%
Hungary Government Bond, 3.25%, 10/22/31	HUF	4,850,000	$   7,114,005
			$  7,114,005
Indonesia — 6.1%
Indonesia Government Bond:
6.50%, 2/15/31	IDR	339,135,000	$  20,334,619
7.50%, 5/15/38	IDR	267,486,000	17,042,961
7.50%, 4/15/40	IDR	45,427,000	2,872,553
8.25%, 5/15/36	IDR	242,576,000	16,197,032
8.375%, 4/15/39	IDR	22,764,000	1,544,770
9.50%, 5/15/41	IDR	5,702,000	427,465
			$ 58,419,400
Iraq — 0.2%
Republic of Iraq, 6.752%, 3/9/23(1)	USD	1,710	$   1,687,582
			$  1,687,582
Ivory Coast — 0.1%
Ivory Coast Government International Bond, 5.125%, 6/15/25(1)	EUR	721	$     666,926
			$    666,926
Jordan — 0.4%
Kingdom of Jordan, 4.95%, 7/7/25(1)	USD	4,503	$   4,217,442
			$  4,217,442
Macedonia — 0.6%
North Macedonia Government International Bond:
2.75%, 1/18/25(1)	EUR	913	$     823,941
5.625%, 7/26/23(1)	EUR	5,192	5,122,434
			$  5,946,375
Malaysia — 1.2%
Malaysia Government Bond:
3.828%, 7/5/34	MYR	28,100	$   5,496,585
4.254%, 5/31/35	MYR	27,750	5,633,437
			$ 11,130,022

 

20

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Security	Principal Amount (000's omitted)		Value
Mexico — 3.2%
Mexican Bonos:
7.75%, 11/13/42	MXN	230,000	$   9,371,617
8.50%, 5/31/29	MXN	39,000	1,844,030
8.50%, 11/18/38	MXN	410,469	18,271,349
10.00%, 11/20/36	MXN	22,074	1,120,646
			$ 30,607,642
Oman — 0.3%
Oman Government International Bond, 4.875%, 2/1/25(1)	USD	3,173	$   3,091,454
			$  3,091,454
Paraguay — 0.2%
Republic of Paraguay, 4.625%, 1/25/23(1)	USD	2,330	$   2,326,528
			$  2,326,528
Peru — 2.4%
Peru Government Bond:
5.94%, 2/12/29	PEN	4,380	$     987,224
6.15%, 8/12/32	PEN	6,602	1,413,466
6.714%, 2/12/55	PEN	4,100	830,512
6.85%, 2/12/42	PEN	19,284	4,093,957
6.90%, 8/12/37	PEN	8,763	1,891,033
6.95%, 8/12/31	PEN	59,887	13,834,224
			$ 23,050,416
Romania — 3.2%
Romania Government International Bond:
2.75%, 2/26/26(1)	EUR	2,755	$   2,487,020
3.624%, 5/26/30(1)	EUR	2,755	2,144,069
Romanian Government Bond:
3.25%, 6/24/26	RON	57,650	9,589,911
4.15%, 1/26/28	RON	48,045	7,722,013
4.85%, 4/22/26	RON	32,030	5,668,019
5.80%, 7/26/27	RON	16,020	2,824,513
			$ 30,435,545
Serbia — 3.9%
Serbia Treasury Bond:
4.50%, 1/11/26	RSD	1,114,580	$   8,757,149
4.50%, 8/20/32	RSD	3,298,130	21,393,150
5.875%, 2/8/28	RSD	970,810	7,626,941
			$ 37,777,240

Security	Principal Amount (000's omitted)		Value
Seychelles — 0.1%
Republic of Seychelles, 8.00%, 1/1/26(1)	USD	688	$     674,683
			$    674,683
South Africa — 12.4%
Republic of South Africa:
8.25%, 3/31/32	ZAR	147,394	$   6,613,121
8.50%, 1/31/37	ZAR	369,200	15,504,566
8.75%, 1/31/44	ZAR	408,487	16,882,091
8.75%, 2/28/48	ZAR	231,000	9,504,090
9.00%, 1/31/40	ZAR	334,480	14,345,197
10.50%, 12/21/26	ZAR	980,230	56,004,172
			$118,853,237
Suriname — 0.5%
Republic of Suriname, 9.25%, 10/26/26(1)(7)	USD	5,529	$   4,439,787
			$  4,439,787
Thailand — 3.8%
Thailand Government Bond:
1.585%, 12/17/35	THB	528,144	$  10,972,076
3.30%, 6/17/38	THB	594,751	14,658,518
3.40%, 6/17/36	THB	205,000	5,239,907
4.875%, 6/22/29	THB	183,489	5,363,958
			$ 36,234,459
Ukraine — 4.1%
Ukraine Government Bond:
9.79%, 5/26/27(4)	UAH	914,377	$   8,188,451
9.99%, 5/22/24(4)	UAH	589,859	6,896,361
10.00%, 8/23/23(4)	UAH	38,483	402,061
10.95%, 11/1/23(4)	UAH	12,367	129,208
11.67%, 11/22/23(4)	UAH	118,929	1,242,542
12.52%, 5/13/26(4)	UAH	166,150	1,529,241
15.84%, 2/26/25(4)	UAH	1,853,842	20,751,963
15.97%, 4/19/23(4)	UAH	2,910	30,403
			$ 39,170,230
United Arab Emirates — 0.3%
Sharjah Sukuk Ltd., 3.764%, 9/17/24(1)	USD	2,747	$   2,629,665
			$  2,629,665
Uruguay — 1.8%
Uruguay Government Bond, 3.875%, 7/2/40(8)	UYU	678,613	$  16,847,962

 

21

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Security	Principal Amount (000's omitted)		Value
Uruguay (continued)
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24	UYU	38,225	$     783,044
			$ 17,631,006
Uzbekistan — 0.5%
Republic of Uzbekistan:
4.75%, 2/20/24(1)	USD	3,100	$   2,960,113
14.00%, 7/19/24(1)	UZS	5,000,000	437,758
14.50%, 11/25/23(1)	UZS	11,470,000	1,032,022
			$  4,429,893
Vietnam — 0.3%
Vietnam Government International Bond, 4.80%, 11/19/24(1)	USD	3,124	$   3,022,470
			$  3,022,470
Zambia — 1.3%
Zambia Government Bond:
11.00%, 1/25/26	ZMW	100,560	$   4,136,824
11.00%, 12/27/26	ZMW	73,540	2,733,385
12.00%, 3/22/28	ZMW	31,390	1,070,406
12.00%, 5/31/28	ZMW	14,200	476,572
12.00%, 11/1/28	ZMW	21,800	712,711
12.00%, 2/21/29	ZMW	47,550	1,517,673
13.00%, 12/27/31	ZMW	57,140	1,731,079
14.00%, 12/5/31	ZMW	4,800	154,681
			$ 12,533,331
Total Sovereign Government Bonds (identified cost $838,113,831)			$588,180,055

Short-Term Investments — 16.1%

Affiliated Fund — 3.6%

Security	Shares		Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(9)		34,198,985	$  34,198,985
Total Affiliated Fund (identified cost $34,198,985)			$ 34,198,985

Sovereign Government Securities — 8.6%

Security	Principal Amount (000's omitted)		Value
Israel — 4.8%
Bank of Israel Treasury Bill:
0.00%, 12/7/22	ILS	156,100	$  44,114,689
0.00%, 1/4/23	ILS	5,359	1,510,546
			$ 45,625,235
Uganda — 1.9%
Uganda Treasury Bill:
0.00%, 3/30/23	UGX	22,640,400	$   5,683,418
0.00%, 4/13/23	UGX	16,824,100	4,199,437
0.00%, 4/27/23	UGX	1,425,700	353,813
0.00%, 5/25/23	UGX	31,532,000	7,738,089
			$ 17,974,757
Ukraine — 0.3%
Ukraine Treasury Bill, 0.00%, 3/1/23(4)	UAH	122,375	$   2,887,584
			$  2,887,584
Uruguay — 1.6%
Uruguay Monetary Regulation Bill:
0.00%, 11/11/22	UYU	118,450	$   2,905,215
0.00%, 11/16/22	UYU	31,006	759,278
0.00%, 11/23/22	UYU	236,075	5,768,358
0.00%, 1/11/23	UYU	262,600	6,316,621
			$ 15,749,472
Total Sovereign Government Securities (identified cost $85,759,735)			$ 82,237,048

U.S. Treasury Obligations — 3.9%

Security	Principal Amount (000's omitted)		Value
U.S. Treasury Bill:
0.00%, 11/8/22(10)	$	15,950	$  15,941,739
0.00%, 11/15/22(10)		21,700	21,674,726
Total U.S. Treasury Obligations (identified cost $37,617,744)			$ 37,616,465
Total Short-Term Investments (identified cost $157,576,464)			$154,052,498

 

22

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

	Value
Total Investments — 83.2% (identified cost $1,053,966,369)	$797,828,466
Other Assets, Less Liabilities — 16.8%	$160,902,065
Net Assets — 100.0%	$958,730,531

The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1)	Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2022, the aggregate value of these securities is $138,483,635 or 14.4% of the Portfolio's net assets.
(2)	Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2022, the aggregate value of these securities is $38,600,140 or 4.0% of the Portfolio's net assets.
(3)	Amount is less than 0.05%.
(4)	For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8).
(5)	Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower.
(6)	Step coupon security. Interest rate represents the rate in effect at October 31, 2022.

(7)	Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.
(8)	Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.
(9)	May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2022.
(10)	Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

 

Forward Foreign Currency Exchange Contracts (Centrally Cleared)
Currency Purchased		Currency Sold		Settlement Date	Value/Unrealized Appreciation (Depreciation)
BRL	83,521,000	USD	15,230,497	11/3/22	$   938,509
BRL	47,329,000	USD	8,678,806	11/3/22	483,715
BRL	53,195,000	USD	9,914,452	11/3/22	383,680
BRL	11,137,000	USD	2,038,325	11/3/22	117,710
BRL	7,610,000	USD	1,396,927	11/3/22	76,308
BRL	400,000	USD	75,357	11/3/22	2,079
BRL	100,000	USD	18,850	11/3/22	509
BRL	7,000,000	USD	1,363,332	11/3/22	(8,187)
BRL	34,074,000	USD	6,683,208	11/3/22	(86,750)
BRL	110,858,000	USD	21,562,251	11/3/22	(101,018)
USD	2,446,226	BRL	12,900,000	11/3/22	(51,112)
USD	3,405,405	BRL	17,900,000	11/3/22	(59,894)
USD	6,490,026	BRL	34,554,000	11/3/22	(199,356)
USD	9,950,193	BRL	52,850,452	11/3/22	(281,237)
USD	14,974,129	BRL	80,164,000	11/3/22	(544,988)

23

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date	Value/Unrealized Appreciation (Depreciation)
USD	9,700,390	BRL	53,195,000	11/3/22	$   (597,742)
USD	19,320,190	BRL	103,660,548	11/3/22	(747,673)
BRL	66,930,800	USD	12,406,080	11/4/22	548,024
BRL	10,328,827	USD	1,909,902	11/4/22	89,188
USD	14,857,621	BRL	77,259,627	11/4/22	(95,573)
USD	17,235,892	ZAR	296,164,336	11/18/22	1,132,749
USD	782,688	ZAR	13,448,922	11/18/22	51,439
BRL	103,660,548	USD	19,198,531	12/2/22	745,295
BRL	34,554,000	USD	6,449,168	12/2/22	198,867
BRL	77,259,627	USD	14,765,902	12/2/22	98,505
BRL	25,600,000	USD	4,848,898	12/2/22	76,427
BRL	25,600,000	USD	4,867,855	12/2/22	57,471
BRL	4,940,000	USD	937,234	12/2/22	13,200
BRL	30,106,000	USD	5,848,778	12/2/22	(56,518)
USD	9,852,021	BRL	53,195,000	12/2/22	(382,460)
CLP	7,662,300,480	USD	8,162,411	12/21/22	(107,615)
COP	267,305,447	USD	59,827	12/21/22	(6,162)
COP	669,840,234	USD	149,919	12/21/22	(15,443)
COP	17,745,107,000	USD	3,599,413	12/21/22	(36,912)
COP	155,687,623,689	USD	34,733,095	12/21/22	(3,477,302)
EUR	10,518,605	USD	10,584,023	12/21/22	(146,526)
EUR	232,869,495	USD	234,317,771	12/21/22	(3,243,905)
IDR	98,100,000,000	USD	6,250,000	12/21/22	18,033
IDR	85,900,000,000	USD	5,473,429	12/21/22	15,093
IDR	76,890,000,000	USD	4,899,100	12/21/22	13,734
IDR	74,380,000,000	USD	4,740,720	12/21/22	11,739
IDR	68,460,462,674	USD	4,363,744	12/21/22	10,491
IDR	46,458,231,000	USD	2,969,810	12/21/22	(1,393)
IDR	46,678,064,232	USD	3,118,280	12/21/22	(135,817)
IDR	102,741,465,413	USD	6,899,345	12/21/22	(334,750)
IDR	352,113,312,995	USD	23,519,378	12/21/22	(1,021,338)
KRW	440,000,000	USD	308,462	12/21/22	90
KRW	2,833,400,000	USD	2,035,503	12/21/22	(48,566)
KRW	4,601,400,000	USD	3,305,627	12/21/22	(78,870)
KRW	8,555,100,000	USD	6,146,040	12/21/22	(146,729)
KRW	8,897,400,000	USD	6,394,475	12/21/22	(155,124)
KRW	8,555,100,000	USD	6,161,978	12/21/22	(162,667)
PEN	7,203,306	USD	1,794,099	12/21/22	3,946
PEN	13,554,568	USD	3,457,445	12/21/22	(74,037)
PEN	63,737,218	USD	16,298,161	12/21/22	(388,468)
USD	10,203,828	COP	45,737,641,000	12/21/22	1,021,556
USD	5,125,511	COP	22,974,590,000	12/21/22	513,140
USD	4,274,784	COP	19,209,683,000	12/21/22	418,255
USD	2,458,543	COP	11,020,172,000	12/21/22	246,137

24

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date	Value/Unrealized Appreciation (Depreciation)
USD	2,433,158	COP	10,933,638,859	12/21/22	$   238,125
USD	2,147,278	COP	9,649,265,000	12/21/22	210,095
USD	1,222,206	COP	5,492,103,191	12/21/22	119,613
USD	1,029,980	COP	4,628,443,000	12/21/22	100,776
USD	586,253	COP	2,634,385,000	12/21/22	57,374
USD	2,296,964	COP	11,347,000,000	12/21/22	18,944
USD	2,286,937	COP	11,346,000,000	12/21/22	9,119
USD	2,284,995	COP	11,345,000,000	12/21/22	7,377
USD	1,920,346	COP	9,547,000,000	12/21/22	3,694
USD	47,728,127	EUR	47,433,128	12/21/22	660,750
USD	35,576,732	EUR	35,356,839	12/21/22	492,526
USD	15,093,289	EUR	15,000,000	12/21/22	208,952
USD	8,282,029	EUR	8,230,839	12/21/22	114,657
USD	6,659,334	EUR	6,618,174	12/21/22	92,192
USD	5,538,197	EUR	5,503,967	12/21/22	76,671
USD	5,185,654	EUR	5,153,602	12/21/22	71,790
USD	1,155,484	EUR	1,148,342	12/21/22	15,997
USD	707,750	EUR	703,376	12/21/22	9,798
USD	396,156	EUR	398,508	12/21/22	721
USD	16,406,328	IDR	245,622,414,013	12/21/22	712,451
USD	3,687,617	IDR	55,128,400,000	12/21/22	165,226
USD	3,402,804	IDR	50,944,061,062	12/21/22	147,768
USD	2,730,746	IDR	40,692,600,000	12/21/22	130,720
USD	1,167,254	IDR	17,394,000,000	12/21/22	55,876
USD	89,144	IDR	1,334,599,288	12/21/22	3,871
USD	57,714	IDR	859,900,000	12/21/22	2,771
USD	55,727	IDR	830,000,000	12/21/22	2,695
USD	56,057	IDR	839,900,000	12/21/22	2,392
USD	14,683	IDR	218,800,000	12/21/22	703
USD	14,447,030	PEN	56,498,002	12/21/22	344,347
USD	6,306,008	PEN	24,778,196	12/21/22	121,027
USD	5,738,661	PEN	22,534,000	12/21/22	113,862
USD	3,359,198	PEN	13,440,151	12/21/22	4,350
USD	28,538	PEN	114,417	12/21/22	(22)
USD	3,326,274	PEN	13,350,000	12/21/22	(6,071)
BRL	113,618,000	USD	20,780,499	1/4/23	926,279
BRL	72,310,542	USD	13,235,447	1/4/23	579,519
IDR	50,196,000,000	USD	3,291,239	1/11/23	(87,743)
IDR	53,482,000,000	USD	3,504,718	1/11/23	(91,511)
IDR	60,168,000,000	USD	3,946,996	1/11/23	(107,089)
BRL	80,164,000	USD	14,691,200	2/2/23	529,912
BRL	52,850,452	USD	9,761,271	2/2/23	273,690
USD	5,258,970	IDR	80,173,000,000	7/11/23	190,068
USD	3,018,893	IDR	46,020,000,000	7/11/23	109,299

25

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date	Value/Unrealized Appreciation (Depreciation)
USD	2,471,594	IDR	37,653,000,000	7/11/23	$    91,000
					$ 1,216,318

Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation	Unrealized (Depreciation)
KZT	253,765,227	USD	525,938	Citibank, N.A.	11/1/22	$     17,282	$         —
KZT	253,765,226	USD	525,938	Citibank, N.A.	11/1/22	17,282	—
KZT	54,546,232	USD	113,049	Citibank, N.A.	11/1/22	3,715	—
KZT	54,546,232	USD	113,049	Citibank, N.A.	11/1/22	3,715	—
USD	116,495	KZT	54,546,231	Citibank, N.A.	11/1/22	—	(269)
USD	116,495	KZT	54,546,231	Citibank, N.A.	11/1/22	—	(269)
USD	541,967	KZT	253,765,226	Citibank, N.A.	11/1/22	—	(1,253)
USD	541,967	KZT	253,765,227	Citibank, N.A.	11/1/22	—	(1,253)
USD	621,851	ZMW	10,695,839	Citibank, N.A.	11/1/22	—	(39,572)
USD	12,586,414	EUR	12,500,000	Citibank, N.A.	11/4/22	231,607	—
USD	3,476,909	EUR	3,500,000	Standard Chartered Bank	11/4/22	17,563	—
USD	283,190	EUR	287,296	UBS AG	11/4/22	—	(768)
KZT	593,832,875	USD	1,221,250	JPMorgan Chase Bank, N.A.	11/7/22	47,662	—
KZT	591,389,138	USD	1,225,677	JPMorgan Chase Bank, N.A.	11/7/22	38,013	—
USD	456,988	ZMW	8,385,735	Standard Chartered Bank	11/16/22	—	(60,002)
TRY	105,000,000	USD	5,527,770	Standard Chartered Bank	11/17/22	53,945	—
USD	12,843,753	CNH	88,000,000	Standard Chartered Bank	11/17/22	838,527	—
USD	9,194,420	CNH	62,000,000	Standard Chartered Bank	11/17/22	736,193	—
USD	9,795,756	CNH	67,040,000	Standard Chartered Bank	11/17/22	649,957	—
USD	2,045,986	CNH	15,000,000	UBS AG	11/17/22	—	(359)
EUR	3,117,028	USD	3,065,257	UBS AG	11/18/22	18,605	—
KZT	384,173,671	USD	779,257	Citibank, N.A.	11/18/22	38,439	—
KZT	383,939,893	USD	779,257	Citibank, N.A.	11/18/22	37,941	—
KZT	383,784,042	USD	779,257	Citibank, N.A.	11/18/22	37,610	—
KZT	383,589,228	USD	779,257	Citibank, N.A.	11/18/22	37,195	—
USD	1,595,026	EUR	1,558,514	Standard Chartered Bank	11/18/22	53,095	—
USD	1,581,885	EUR	1,558,514	Standard Chartered Bank	11/18/22	39,954	—
EUR	1,243,906	USD	1,224,078	Citibank, N.A.	11/22/22	6,945	—
KZT	306,373,977	USD	621,953	Citibank, N.A.	11/22/22	29,223	—
KZT	306,000,805	USD	621,953	Citibank, N.A.	11/22/22	28,430	—
USD	1,257,177	EUR	1,243,906	UBS AG	11/22/22	26,154	—
EUR	519,197	USD	511,094	UBS AG	11/25/22	2,836	—
KZT	251,291,340	USD	519,197	JPMorgan Chase Bank, N.A.	11/25/22	14,336	—
USD	521,427	EUR	519,197	Standard Chartered Bank	11/25/22	7,497	—
EUR	3,109,764	USD	3,061,744	Citibank, N.A.	11/28/22	17,139	—
KZT	1,530,781,465	USD	3,109,764	Citibank, N.A.	11/28/22	136,881	—

26

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation	Unrealized (Depreciation)
KZT	610,446,727	USD	1,243,906	Citibank, N.A.	11/28/22	$     50,795	$         —
KZT	609,202,822	USD	1,243,906	Citibank, N.A.	11/28/22	48,157	—
USD	3,131,215	EUR	3,109,764	UBS AG	11/28/22	52,333	—
KZT	405,452,305	USD	832,979	JPMorgan Chase Bank, N.A.	12/2/22	25,730	—
KZT	90,806,655	USD	186,557	JPMorgan Chase Bank, N.A.	12/2/22	5,763	—
KZT	1,331,886,823	USD	2,726,483	JPMorgan Chase Bank, N.A.	12/6/22	89,846	—
KZT	486,656,961	USD	1,000,837	JPMorgan Chase Bank, N.A.	12/6/22	28,219	—
KZT	765,741,473	USD	1,565,133	Citibank, N.A.	12/7/22	53,416	—
USD	45,998,350	ILS	156,100,000	Citibank, N.A.	12/8/22	1,722,374	—
SGD	7,960,000	USD	5,528,876	Goldman Sachs International	12/12/22	95,538	—
SGD	5,840,000	USD	4,054,443	Goldman Sachs International	12/12/22	72,011	—
SGD	18,317,600	USD	12,915,089	Goldman Sachs International	12/12/22	27,846	—
SGD	10,520,000	USD	7,409,703	Standard Chartered Bank	12/12/22	23,568	—
SGD	9,280,000	USD	6,537,122	Standard Chartered Bank	12/12/22	19,984	—
SGD	12,600,000	USD	8,971,004	Standard Chartered Bank	12/12/22	—	(68,038)
SGD	14,491,800	USD	10,321,317	Standard Chartered Bank	12/12/22	—	(81,633)
SGD	18,300,000	USD	12,894,171	UBS AG	12/12/22	36,329	—
SGD	15,900,000	USD	11,203,945	UBS AG	12/12/22	30,751	—
USD	1,334,105	SGD	1,900,000	JPMorgan Chase Bank, N.A.	12/12/22	—	(8,406)
USD	1,875,306	SGD	2,675,300	Standard Chartered Bank	12/12/22	—	(15,020)
KZT	597,803,980	USD	1,221,878	JPMorgan Chase Bank, N.A.	12/13/22	38,700	—
KZT	596,887,571	USD	1,221,878	JPMorgan Chase Bank, N.A.	12/13/22	36,767	—
USD	761,647	ZMW	13,892,445	ICBC Standard Bank plc	12/13/22	—	(89,489)
ZMW	22,954,909	USD	1,262,994	ICBC Standard Bank plc	12/13/22	143,365	—
EUR	1,406,924	PLN	6,800,000	UBS AG	12/14/22	—	(20,234)
EUR	31,910,357	RON	160,000,000	Goldman Sachs International	12/14/22	—	(435,485)
EUR	2,592,988	RON	13,030,000	Standard Chartered Bank	12/14/22	—	(41,128)
PLN	168,059,960	EUR	35,008,845	Standard Chartered Bank	12/14/22	264,942	—
PLN	168,059,960	EUR	35,008,845	Standard Chartered Bank	12/14/22	264,942	—
PLN	3,250,000	EUR	677,013	Standard Chartered Bank	12/14/22	5,124	—
PLN	3,250,000	EUR	677,013	Standard Chartered Bank	12/14/22	5,124	—
RON	187,327,000	EUR	37,360,447	Goldman Sachs International	12/14/22	509,863	—
USD	8,416,611	MYR	37,900,000	Goldman Sachs International	12/14/22	397,749	—
USD	6,843,684	MYR	30,800,000	Goldman Sachs International	12/14/22	327,036	—
USD	6,290,986	MYR	28,300,000	Goldman Sachs International	12/14/22	303,287	—
USD	1,480,261	ZAR	26,000,000	Standard Chartered Bank	12/14/22	69,423	—
USD	7,689,508	ZAR	142,424,500	Standard Chartered Bank	12/14/22	—	(38,875)
USD	7,670,626	ZAR	142,424,500	Standard Chartered Bank	12/14/22	—	(57,756)
ZAR	58,719,700	USD	3,212,794	Standard Chartered Bank	12/14/22	—	(26,486)
ZAR	56,749,560	USD	3,230,930	Standard Chartered Bank	12/14/22	—	(151,528)
KZT	898,996,991	USD	1,832,817	JPMorgan Chase Bank, N.A.	12/15/22	61,381	—
USD	2,519,891	ZAR	45,000,000	Citibank, N.A.	12/15/22	78,238	—
USD	4,028,159	ZAR	73,200,000	Standard Chartered Bank	12/15/22	56,403	—
USD	33,881,494	ZAR	603,395,524	State Street Bank and Trust Company	12/15/22	1,141,878	—
USD	22,711,675	ZAR	401,031,402	State Street Bank and Trust Company	12/15/22	952,127	—

27

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation	Unrealized (Depreciation)
USD	17,115,663	ZAR	300,773,550	State Street Bank and Trust Company	12/15/22	$    796,002	$         —
USD	11,410,442	ZAR	200,515,700	State Street Bank and Trust Company	12/15/22	530,668	—
USD	14,571,279	ZAR	259,499,899	State Street Bank and Trust Company	12/15/22	491,083	—
USD	9,767,519	ZAR	172,469,970	State Street Bank and Trust Company	12/15/22	409,477	—
USD	7,360,865	ZAR	129,352,477	State Street Bank and Trust Company	12/15/22	342,333	—
USD	4,907,243	ZAR	86,234,985	State Street Bank and Trust Company	12/15/22	228,222	—
USD	5,235,070	ZAR	93,231,362	State Street Bank and Trust Company	12/15/22	176,433	—
USD	3,509,208	ZAR	61,963,839	State Street Bank and Trust Company	12/15/22	147,114	—
USD	2,644,562	ZAR	46,472,879	State Street Bank and Trust Company	12/15/22	122,991	—
USD	1,763,041	ZAR	30,981,920	State Street Bank and Trust Company	12/15/22	81,994	—
USD	23,218,116	ZAR	419,351,000	UBS AG	12/15/22	464,565	—
ZAR	17,636,914	USD	998,834	State Street Bank and Trust Company	12/15/22	—	(41,873)
ZAR	17,636,914	USD	1,003,637	State Street Bank and Trust Company	12/15/22	—	(46,676)
ZAR	17,636,914	USD	1,003,637	State Street Bank and Trust Company	12/15/22	—	(46,676)
ZAR	53,586,117	USD	3,008,935	State Street Bank and Trust Company	12/15/22	—	(101,407)
ZAR	283,784,583	USD	16,071,617	State Street Bank and Trust Company	12/15/22	—	(673,760)
ZAR	283,784,584	USD	16,148,898	State Street Bank and Trust Company	12/15/22	—	(751,041)
ZAR	283,784,583	USD	16,148,898	State Street Bank and Trust Company	12/15/22	—	(751,041)
ZAR	862,220,778	USD	48,414,890	State Street Bank and Trust Company	12/15/22	—	(1,631,684)
CZK	38,870,000	EUR	1,561,535	Goldman Sachs International	12/16/22	16,002	—
CZK	7,071,566	EUR	286,895	Goldman Sachs International	12/16/22	127	—
CZK	7,071,566	EUR	286,904	Goldman Sachs International	12/16/22	118	—
CZK	7,071,566	EUR	286,906	Goldman Sachs International	12/16/22	116	—
CZK	2,585,304	EUR	104,907	Goldman Sachs International	12/16/22	26	—
CZK	1,373,097,322	EUR	55,125,343	UBS AG	12/16/22	601,441	—
CZK	227,046,936	EUR	9,154,229	UBS AG	12/16/22	60,731	—
EUR	5,271,610	CZK	131,308,627	UBS AG	12/16/22	—	(57,516)
EUR	7,848,209	HUF	3,270,030,050	Goldman Sachs International	12/16/22	—	(11,459)
EUR	862,886	HUF	364,500,000	HSBC Bank USA, N.A.	12/16/22	—	(13,109)
HUF	12,380,028,669	EUR	29,712,587	Goldman Sachs International	12/16/22	43,384	—
EUR	984,526	HUF	416,120,000	UBS AG	12/21/22	—	(13,663)
EUR	3,432,667	PLN	16,660,000	UBS AG	12/21/22	—	(54,228)
MXN	3,214,967	USD	158,440	Goldman Sachs International	12/21/22	2,440	—
MXN	2,244,692,380	USD	109,896,642	Standard Chartered Bank	12/21/22	2,430,017	—
MXN	6,484,637	USD	317,478	Standard Chartered Bank	12/21/22	7,020	—
MXN	141,308,986	USD	6,947,893	UBS AG	12/21/22	123,351	—
MXN	135,855,681	USD	6,693,570	UBS AG	12/21/22	104,785	—
MYR	13,386,240	USD	2,961,230	Goldman Sachs International	12/21/22	—	(129,101)
MYR	264,857,029	USD	58,590,207	Goldman Sachs International	12/21/22	—	(2,554,358)
PLN	7,000,000	EUR	1,452,189	Goldman Sachs International	12/21/22	12,969	—
RON	11,000,000	EUR	2,228,751	BNP Paribas	12/21/22	—	(7,543)
THB	46,000,000	USD	1,215,645	Standard Chartered Bank	12/21/22	—	(1,711)
THB	814,000,000	USD	22,173,795	Standard Chartered Bank	12/21/22	—	(692,436)
THB	1,149,302,124	USD	31,218,311	Standard Chartered Bank	12/21/22	—	(888,371)
THB	1,334,000,000	USD	36,238,675	Standard Chartered Bank	12/21/22	—	(1,034,582)

28

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation	Unrealized (Depreciation)
USD	3,001,666	MXN	60,960,000	Barclays Bank PLC	12/21/22	$        —	$     (48,833)
USD	3,920,997	MXN	80,000,000	Goldman Sachs International	12/21/22	—	(82,283)
USD	1,052,181	MXN	21,491,654	Standard Chartered Bank	12/21/22	—	(23,283)
USD	14,044,203	MXN	286,864,271	Standard Chartered Bank	12/21/22	—	(310,773)
USD	28,241,086	MXN	576,847,145	Standard Chartered Bank	12/21/22	—	(624,924)
USD	16,260,532	THB	595,750,000	Standard Chartered Bank	12/21/22	538,764	—
USD	12,360,268	THB	455,000,000	Standard Chartered Bank	12/21/22	352,875	—
USD	8,780,158	THB	323,241,524	Standard Chartered Bank	12/21/22	249,855	—
USD	5,847,624	THB	214,140,000	Standard Chartered Bank	12/21/22	196,496	—
USD	2,953,074	THB	109,500,000	Standard Chartered Bank	12/21/22	63,383	—
USD	4,202,918	THB	159,900,000	Standard Chartered Bank	12/21/22	—	(16,823)
USD	5,208,114	THB	198,200,000	Standard Chartered Bank	12/21/22	—	(22,359)
USD	11,120,780	THB	422,990,000	Standard Chartered Bank	12/21/22	—	(41,873)
CNH	552,778,617	USD	82,586,488	BNP Paribas	12/22/22	—	(7,016,729)
CNH	63,840,000	USD	9,548,267	Standard Chartered Bank	12/22/22	—	(820,771)
CNH	72,270,000	USD	10,807,020	Standard Chartered Bank	12/22/22	—	(927,067)
USD	12,502,164	CNH	83,848,000	Bank of America, N.A.	12/22/22	1,039,396	—
USD	11,951,751	CNH	80,000,000	Bank of America, N.A.	12/22/22	1,015,038	—
USD	10,043,289	CNH	67,400,000	Bank of America, N.A.	12/22/22	829,109	—
USD	25,174,315	CNH	168,500,000	BNP Paribas	12/22/22	2,138,865	—
USD	15,134,470	CNH	101,300,000	BNP Paribas	12/22/22	1,285,858	—
USD	7,383,405	CNH	49,400,000	BNP Paribas	12/22/22	629,985	—
USD	4,439,011	CNH	29,700,000	BNP Paribas	12/22/22	378,756	—
USD	3,645,420	CNH	24,400,000	BNP Paribas	12/22/22	309,723	—
USD	1,061,178	CNH	7,100,000	BNP Paribas	12/22/22	90,544	—
USD	5,767,050	CNH	38,600,000	JPMorgan Chase Bank, N.A.	12/22/22	490,086	—
USD	3,466,206	CNH	23,200,000	JPMorgan Chase Bank, N.A.	12/22/22	294,559	—
USD	836,670	CNH	5,600,000	JPMorgan Chase Bank, N.A.	12/22/22	71,101	—
USD	14,897,157	CNH	100,000,000	Standard Chartered Bank	12/22/22	1,226,267	—
USD	11,576,010	CNH	77,500,000	Standard Chartered Bank	12/22/22	981,070	—
USD	6,871,774	CNH	46,000,000	Standard Chartered Bank	12/22/22	583,165	—
USD	6,036,903	CNH	40,395,516	Standard Chartered Bank	12/22/22	514,477	—
USD	4,138,003	CNH	27,700,000	Standard Chartered Bank	12/22/22	351,166	—
USD	3,633,339	CNH	24,312,235	Standard Chartered Bank	12/22/22	309,640	—
USD	985,950	CNH	6,600,000	Standard Chartered Bank	12/22/22	83,671	—
USD	867,719	CNH	5,806,280	Standard Chartered Bank	12/22/22	73,949	—
USD	1,523,357	ILS	5,354,449	Goldman Sachs International	1/4/23	—	(470)
USD	646,542	ZMW	10,779,473	Societe Generale	1/19/23	—	(7,864)
USD	2,058,311	ZMW	35,608,787	Goldman Sachs International	1/26/23	—	(99,365)
USD	617,493	ZMW	10,645,586	Societe Generale	1/26/23	—	(27,565)
USD	576,926	ZMW	9,908,699	Societe Generale	1/30/23	—	(22,835)
USD	463,820	ZMW	8,842,724	Societe Generale	2/17/23	—	(68,634)
USD	304,659	ZMW	5,986,547	Standard Chartered Bank	5/17/23	—	(46,283)
UZS	17,164,000,000	USD	1,400,000	ICBC Standard Bank plc	8/1/23	—	(16,502)

29

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation	Unrealized (Depreciation)
UZS	8,143,221,557	USD	648,862	JPMorgan Chase Bank, N.A.	10/24/23	$        —	$      (8,386)
						$31,517,957	$(20,873,680)

Non-Deliverable Bond Forward Contracts*
Settlement Date	Notional Amount (000's omitted)		Reference Entity	Counterparty	Aggregate Cost	Unrealized Appreciation (Depreciation)
11/21/22	COP	27,573,800	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.	$ 5,583,154	$    (95,438)
11/22/22	COP	14,598,340	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.	2,955,878	(120,955)
11/22/22	COP	56,900,000	Republic of Colombia, 6.00%, 4/28/28	Bank of America, N.A.	11,521,134	(509,914)
11/22/22	COP	24,000,000	Republic of Colombia, 7.50%, 8/26/26	Bank of America, N.A.	4,859,529	(120,774)
11/22/22	COP	67,000,000	Republic of Colombia, 7.75%, 9/18/30	Bank of America, N.A.	13,566,186	(812,533)
11/22/22	COP	73,500,000	Republic of Colombia, 10.00%, 7/24/24	Bank of America, N.A.	14,882,308	(77,968)
11/23/22	COP	28,233,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	5,716,750	79,623
12/7/22	COP	48,000,000	Republic of Colombia, 7.50%, 8/26/26	Bank of America, N.A.	9,719,058	(51,492)
12/8/22	COP	28,680,000	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.	5,807,137	265,851
12/8/22	COP	18,000,000	Republic of Colombia, 6.00%, 4/28/28	Goldman Sachs International	3,644,647	(151,067)
12/8/22	COP	36,489,600	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.	7,388,428	235,055
12/8/22	COP	4,122,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	834,624	(19,260)
12/14/22	COP	6,183,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	1,251,936	(4,294)
12/16/22	COP	7,756,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	1,570,438	24,926
12/19/22	COP	6,183,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	1,251,936	(9,135)
12/20/22	COP	25,537,800	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	5,170,904	(1,329)
12/21/22	COP	5,496,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	1,112,832	37,003
12/22/22	COP	43,166,100	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	8,740,289	210,798
1/10/23	COP	4,072,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	824,500	—
						$ (1,120,903)

* Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency.

30

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Futures Contracts
Description	Number of Contracts	Position	Expiration Date	Notional Amount	Value/Unrealized Appreciation (Depreciation)
Interest Rate Futures
Euro-Bobl	(23)	Short	12/8/22	$(2,720,069)	$  70,462
Euro-Bund	(15)	Short	12/8/22	(2,052,199)	90,870
U.S. 5-Year Treasury Note	(13)	Short	12/30/22	(1,385,719)	60,836
					$222,168

Interest Rate Swaps (Centrally Cleared)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
BRL	63,539	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	4.12% (pays upon termination)	1/2/23	$   (942,842)	$     —	$    (942,842)
BRL	109,032	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	4.70% (pays upon termination)	1/2/23	(1,225,951)	—	(1,225,951)
BRL	175,133	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	4.71% (pays upon termination)	1/2/23	2,357,167	—	2,357,167
BRL	62,400	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	4.84% (pays upon termination)	1/2/23	(647,746)	—	(647,746)
BRL	40,336	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	5.84% (pays upon termination)	1/2/23	(154,440)	—	(154,440)
BRL	30,974	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	5.96% (pays upon termination)	1/2/23	(83,880)	—	(83,880)
BRL	76,081	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.55% (pays upon termination)	1/2/23	130,916	—	130,916
BRL	35,200	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	8.13% (pays upon termination)	1/2/23	540,952	—	540,952
BRL	31,500	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	5.41% (pays upon termination)	1/2/25	(1,011,387)	—	(1,011,387)
BRL	69,990	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	5.76% (pays upon termination)	1/2/25	(2,233,474)	—	(2,233,474)
BRL	67,422	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.09% (pays upon termination)	1/2/25	(2,011,976)	—	(2,011,976)
BRL	70,160	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.27% (pays upon termination)	1/2/25	(1,563,074)	—	(1,563,074)
BRL	72,000	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.36% (pays upon termination)	1/2/25	2,061,079	—	2,061,079

31

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
BRL	11,269	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	8.57% (pays upon termination)	1/2/25	$     77,400	$     —	$     77,400
BRL	47,000	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.58% (pays upon termination)	1/2/25	1,463,168	—	1,463,168
BRL	5,239	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.90% (pays upon termination)	1/2/25	197,283	—	197,283
BRL	57,316	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.48% (pays upon termination)	1/2/25	(46,237)	—	(46,237)
BRL	57,254	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.49% (pays upon termination)	1/2/25	(43,921)	—	(43,921)
BRL	37,730	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.51% (pays upon termination)	1/2/25	(25,958)	—	(25,958)
BRL	77,800	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.74% (pays upon termination)	1/2/25	(2,167)	—	(2,167)
BRL	48,500	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	13.19% (pays upon termination)	1/2/25	294,217	—	294,217
BRL	11,000	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.53% (pays upon termination)	1/4/27	14,244	—	14,244
BRL	19,090	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	13.17% (pays upon termination)	1/2/29	413,555	—	413,555
BRL	15,200	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	13.07% (pays upon termination)	1/2/31	424,098	—	424,098
CLP	5,000,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.68% (pays semi-annually)	2/11/24	(477,237)	—	(477,237)
CLP	1,140,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.49% (pays semi-annually)	4/26/24	(100,944)	—	(100,944)
CLP	2,650,000	Pays	6-month Sinacofi Chile Interbank Rate (pays annually)	1.38% (pays annually)	6/17/25	(521,370)	—	(521,370)
CLP	3,700,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	1.33% (pays semi-annually)	9/11/25	(684,308)	—	(684,308)
CLP	5,200,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	1.48% (pays semi-annually)	12/23/25	(1,085,484)	—	(1,085,484)
CLP	2,500,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	1.59% (pays semi-annually)	1/27/26	(500,138)	—	(500,138)
CLP	2,500,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	1.92% (pays semi-annually)	2/23/26	(462,519)	—	(462,519)

32

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
CLP	584,900	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	2.87% (pays semi-annually)	5/31/26	$   (102,350)	$     —	$    (102,350)
CLP	2,217,300	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.61% (pays semi-annually)	12/21/27	2,331	—	2,331
CLP	794,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	4.02% (pays semi-annually)	3/18/29	(112,397)	—	(112,397)
CLP	3,362,600	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	4.08% (pays semi-annually)	7/1/31	(586,464)	—	(586,464)
CLP	1,759,504	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	4.18% (pays semi-annually)	7/2/31	(293,833)	—	(293,833)
CLP	4,871,900	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	4.22% (pays semi-annually)	7/12/31	(795,492)	—	(795,492)
CLP	466,400	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.20% (pays semi-annually)	4/8/32	(6,822)	—	(6,822)
CLP	1,432,670	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.35% (pays semi-annually)	4/11/32	(5,601)	—	(5,601)
CLP	274,770	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.40% (pays semi-annually)	4/20/32	224	—	224
CLP	1,398,810	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.38% (pays semi-annually)	4/22/32	(118)	—	(118)
CNY	33,000	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.47% (pays quarterly)	9/21/27	24,129	—	24,129
CNY	56,300	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.47% (pays quarterly)	9/21/27	41,166	—	41,166
CNY	24,400	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.50% (pays quarterly)	9/21/27	22,396	—	22,396
CNY	28,200	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.50% (pays quarterly)	9/21/27	26,761	—	26,761
CNY	18,800	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.51% (pays quarterly)	9/21/27	19,244	—	19,244
CNY	28,100	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)	9/21/27	31,037	—	31,037
CNY	28,100	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)	9/21/27	30,163	—	30,163
CNY	9,400	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)	9/21/27	10,324	—	10,324

33

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
CNY	28,100	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)	9/21/27	$     30,862	$     —	$     30,862
COP	6,031,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.76% (pays quarterly)	11/26/25	247,822	—	247,822
COP	12,063,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.00% (pays quarterly)	11/26/25	479,599	—	479,599
COP	11,354,500	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.05% (pays quarterly)	11/26/25	448,117	—	448,117
COP	15,464,200	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.11% (pays quarterly)	11/26/25	605,821	—	605,821
COP	12,992,300	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.16% (pays quarterly)	11/26/25	505,024	—	505,024
COP	12,063,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)	11/26/25	466,231	—	466,231
COP	12,063,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.28% (pays quarterly)	11/26/25	460,884	—	460,884
COP	6,488,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.34% (pays quarterly)	11/26/25	245,614	—	245,614
COP	20,568,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.53% (pays quarterly)	11/26/25	757,450	—	757,450
COP	12,079,200	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.55% (pays quarterly)	11/26/25	443,763	—	443,763
COP	5,979,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.73% (pays quarterly)	11/26/25	213,530	—	213,530
COP	25,137,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)	11/26/25	890,752	—	890,752
COP	20,568,100	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	5.68% (pays quarterly)	11/26/25	(626,281)	—	(626,281)
COP	5,427,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.60% (pays quarterly)	11/26/25	77,535	—	77,535
COP	10,304,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.75% (pays quarterly)	11/26/25	138,478	—	138,478
COP	5,427,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.85% (pays quarterly)	11/26/25	69,928	—	69,928
COP	5,496,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	9.23% (pays quarterly)	11/26/25	59,154	—	59,154

34

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
COP	3,792,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	9.42% (pays quarterly)	11/26/25	$     36,990	$      —	$     36,990
COP	9,065,738	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.00% (pays quarterly)	11/26/25	58,948	—	58,948
COP	3,383,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.17% (pays quarterly)	11/26/25	18,784	(59)	18,725
COP	6,495,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.28% (pays quarterly)	11/26/25	32,228	—	32,228
COP	25,708,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)	3/30/26	1,025,153	—	1,025,153
COP	41,744,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)	3/30/26	1,664,127	—	1,664,127
COP	17,723,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.56% (pays quarterly)	4/6/26	687,016	—	687,016
COP	41,012,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	11.93% (pays quarterly)	12/21/27	(266,614)	—	(266,614)
COP	10,005,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	12.10% (pays quarterly)	12/21/27	(77,500)	—	(77,500)
COP	7,441,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.82% (pays quarterly)	3/26/28	378,261	—	378,261
COP	5,315,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.83% (pays quarterly)	3/26/28	269,751	—	269,751
COP	14,203,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	11.93% (pays quarterly)	12/21/32	(165,061)	—	(165,061)
CZK	200,800	Pays	6-month CZK PRIBOR (pays semi-annually)	1.40% (pays annually)	3/6/25	(951,099)	—	(951,099)
CZK	258,400	Receives	6-month CZK PRIBOR (pays semi-annually)	1.37% (pays annually)	3/17/25	1,224,121	—	1,224,121
CZK	300,000	Pays	6-month CZK PRIBOR (pays semi-annually)	1.46% (pays annually)	3/15/26	(1,766,187)	—	(1,766,187)
CZK	147,500	Pays	6-month CZK PRIBOR (pays semi-annually)	1.73% (pays annually)	5/6/26	(961,481)	—	(961,481)
CZK	143,000	Pays	6-month CZK PRIBOR (pays semi-annually)	5.15% (pays annually)	9/21/27	(222,494)	—	(222,494)
CZK	422,198	Pays	6-month CZK PRIBOR (pays semi-annually)	1.74% (pays annually)	5/31/29	(4,101,742)	—	(4,101,742)
CZK	243,250	Pays	6-month CZK PRIBOR (pays semi-annually)	2.47% (pays annually)	10/5/31	(2,208,481)	—	(2,208,481)
CZK	116,720	Pays	6-month CZK PRIBOR (pays semi-annually)	2.51% (pays annually)	10/6/31	(1,044,857)	—	(1,044,857)
CZK	391,000	Receives	6-month CZK PRIBOR (pays semi-annually)	2.75% (pays annually)	10/20/31	3,217,959	—	3,217,959

35

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
CZK	388,980	Pays	6-month CZK PRIBOR (pays semi-annually)	2.65% (pays annually)	12/15/31	$ (3,326,879)	$      —	$  (3,326,879)
HUF	480,000	Pays	6-month HUF BUBOR (pays semi-annually)	0.79% (pays annually)	8/6/24	(270,279)	—	(270,279)
HUF	3,500,000	Pays	6-month HUF BUBOR (pays semi-annually)	0.71% (pays annually)	11/22/24	(2,221,339)	—	(2,221,339)
HUF	6,619,000	Receives	6-month HUF BUBOR (pays semi-annually)	1.30% (pays annually)	3/16/25	4,045,840	—	4,045,840
HUF	1,000,000	Pays	6-month HUF BUBOR (pays semi-annually)	1.20% (pays annually)	11/4/25	(778,475)	—	(778,475)
HUF	2,000,000	Pays	6-month HUF BUBOR (pays semi-annually)	1.06% (pays annually)	12/22/25	(1,534,103)	—	(1,534,103)
HUF	881,600	Receives	6-month HUF BUBOR (pays semi-annually)	10.03% (pays annually)	9/21/27	164,816	—	164,816
ILS	13,000	Pays	3-month ILS TELBOR (pays quarterly)	3.64% (pays annually)	12/21/27	540	—	540
INR	289,000	Pays	1-day INR FBIL MIBOR (pays semi-annually)	6.87% (pays semi-annually)	12/21/27	(11,886)	—	(11,886)
KRW	93,003,200	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)	10/5/23	(1,502,771)	—	(1,502,771)
KRW	63,950,500	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)	10/5/23	(1,032,932)	—	(1,032,932)
KRW	40,588,300	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.77% (pays quarterly)	10/5/23	(652,471)	—	(652,471)
KRW	11,700,000	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	2.07% (pays quarterly)	11/24/31	(1,250,183)	—	(1,250,183)
MXN	267,700	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.58% (pays monthly)	3/21/23	(173,519)	(783)	(174,302)
MXN	350,500	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	8.98% (pays monthly)	11/29/23	(324,835)	(2,917)	(327,752)
MXN	185,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	8.13% (pays monthly)	2/2/24	(283,501)	—	(283,501)
MXN	600,760	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	6.76% (pays monthly)	3/7/24	1,492,817	—	1,492,817
MXN	166,961	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	6.79% (pays monthly)	3/7/24	411,589	—	411,589
MXN	408,300	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	7.35% (pays monthly)	3/14/24	855,039	—	855,039
MXN	67,771	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.08% (pays monthly)	6/27/24	(228,236)	—	(228,236)
MXN	224,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.19% (pays monthly)	6/27/24	(558,770)	—	(558,770)

36

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
MXN	130,204	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	6.66% (pays monthly)	11/7/24	$    428,483	$      —	$    428,483
MXN	391,500	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.65% (pays monthly)	2/6/25	(2,174,007)	—	(2,174,007)
MXN	144,000	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	7.40% (pays monthly)	3/11/25	387,544	—	387,544
MXN	205,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	5.44% (pays monthly)	3/14/25	(982,373)	—	(982,373)
MXN	222,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.71% (pays monthly)	12/12/25	(1,477,912)	—	(1,477,912)
MXN	111,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.07% (pays monthly)	4/28/26	(573,288)	—	(573,288)
MXN	165,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.11% (pays monthly)	6/8/26	(846,928)	—	(846,928)
MXN	130,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.21% (pays monthly)	6/29/26	(658,455)	—	(658,455)
MXN	160,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.54% (pays monthly)	9/4/26	(763,479)	—	(763,479)
MXN	176,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.86% (pays monthly)	1/5/28	(535,156)	(3,658)	(538,814)
MXN	83,120	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.77% (pays monthly)	9/18/29	(537,060)	—	(537,060)
MXN	15,300	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	5.91% (pays monthly)	5/1/30	(141,172)	—	(141,172)
MXN	124,500	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	5.37% (pays monthly)	12/6/30	(1,406,995)	—	(1,406,995)
MXN	29,200	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.95% (pays monthly)	12/3/31	(120,241)	(243,071)	(363,312)
PLN	35,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.35% (pays annually)	11/19/22	(61,356)	—	(61,356)
PLN	25,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.43% (pays annually)	6/8/23	(256,528)	—	(256,528)
PLN	20,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.04% (pays annually)	1/31/24	(301,549)	—	(301,549)
PLN	16,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.01% (pays annually)	2/11/24	(244,918)	—	(244,918)
PLN	13,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.05% (pays annually)	2/28/24	(196,030)	—	(196,030)
PLN	15,522	Pays	6-month PLN WIBOR (pays semi-annually)	2.01% (pays annually)	3/13/24	(237,432)	—	(237,432)

37

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
PLN	18,000	Pays	6-month PLN WIBOR (pays semi-annually)	1.99% (pays annually)	5/30/24	$   (413,458)	$     —	$    (413,458)
PLN	37,000	Pays	6-month PLN WIBOR (pays semi-annually)	1.79% (pays annually)	7/5/24	(896,089)	—	(896,089)
PLN	27,850	Pays	6-month PLN WIBOR (pays semi-annually)	1.76% (pays annually)	8/6/24	(668,969)	—	(668,969)
PLN	12,200	Pays	6-month PLN WIBOR (pays semi-annually)	1.66% (pays annually)	10/2/24	(296,227)	—	(296,227)
PLN	11,400	Pays	6-month PLN WIBOR (pays semi-annually)	2.44% (pays annually)	10/28/24	(245,343)	—	(245,343)
PLN	50,000	Pays	6-month PLN WIBOR (pays semi-annually)	1.97% (pays annually)	1/20/25	(1,304,817)	—	(1,304,817)
PLN	37,000	Receives	6-month PLN WIBOR (pays semi-annually)	1.44% (pays annually)	3/17/25	1,059,495	—	1,059,495
PLN	10,800	Pays	6-month PLN WIBOR (pays semi-annually)	0.48% (pays annually)	8/7/25	(439,562)	—	(439,562)
PLN	11,000	Pays	6-month PLN WIBOR (pays semi-annually)	0.69% (pays annually)	8/26/25	(432,804)	—	(432,804)
PLN	42,000	Pays	6-month PLN WIBOR (pays semi-annually)	0.64% (pays annually)	1/25/26	(1,863,397)	—	(1,863,397)
PLN	48,000	Receives	6-month PLN WIBOR (pays semi-annually)	1.69% (pays annually)	9/20/26	2,001,000	—	2,001,000
PLN	102,370	Receives	6-month PLN WIBOR (pays semi-annually)	2.19% (pays annually)	10/8/26	3,897,877	—	3,897,877
PLN	13,250	Pays	6-month PLN WIBOR (pays semi-annually)	3.87% (pays annually)	3/3/27	(324,361)	—	(324,361)
PLN	99,138	Pays	6-month PLN WIBOR (pays semi-annually)	3.91% (pays annually)	3/3/27	(2,387,989)	—	(2,387,989)
PLN	75,000	Pays	6-month PLN WIBOR (pays semi-annually)	2.84% (pays annually)	1/10/28	(3,026,970)	—	(3,026,970)
PLN	23,000	Receives	6-month PLN WIBOR (pays semi-annually)	0.93% (pays annually)	5/8/30	1,895,440	—	1,895,440
PLN	18,500	Receives	6-month PLN WIBOR (pays semi-annually)	2.02% (pays annually)	5/26/31	1,369,396	—	1,369,396
PLN	26,700	Pays	6-month PLN WIBOR (pays semi-annually)	1.74% (pays annually)	7/2/31	(2,076,830)	—	(2,076,830)
PLN	20,500	Pays	6-month PLN WIBOR (pays semi-annually)	5.19% (pays annually)	9/21/32	(651,605)	—	(651,605)
THB	175,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.29% (pays semi-annually)	11/25/24	(75,471)	—	(75,471)
THB	233,000	Receives	6-month THB Fixing Rate (pays semi-annually)	1.02% (pays semi-annually)	3/17/25	178,016	—	178,016
THB	291,000	Pays	6-month THB Fixing Rate (pays semi-annually)	0.90% (pays semi-annually)	2/23/26	(397,526)	—	(397,526)
THB	120,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.30% (pays semi-annually)	11/18/26	(160,570)	—	(160,570)
THB	155,000	Pays	Thai Overnight Repurchase Rate (pays quarterly)	2.45% (pays quarterly)	6/15/27	(36,828)	—	(36,828)
THB	93,000	Pays	Thai Overnight Repurchase Rate (pays quarterly)	1.96% (pays quarterly)	8/19/27	(80,217)	—	(80,217)

38

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000's omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
THB	219,000	Pays	Thai Overnight Repurchase Rate (pays quarterly)	2.02% (pays quarterly)	9/21/27	$   (189,776)	$      —	$    (189,776)
THB	93,000	Pays	Thai Overnight Repurchase Rate (pays quarterly)	2.04% (pays quarterly)	9/21/27	(79,033)	—	(79,033)
THB	81,729	Pays	Thai Overnight Repurchase Rate (pays quarterly)	2.87% (pays quarterly)	12/21/27	1,504	—	1,504
THB	85,271	Pays	Thai Overnight Repurchase Rate (pays quarterly)	2.87% (pays quarterly)	12/21/27	1,996	—	1,996
THB	204,600	Pays	6-month THB Fixing Rate (pays semi-annually)	1.72% (pays semi-annually)	10/29/31	(646,281)	—	(646,281)
THB	200,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.69% (pays semi-annually)	11/4/31	(618,733)	—	(618,733)
ZAR	55,027	Pays	3-month ZAR JIBAR (pays quarterly)	6.64% (pays quarterly)	2/14/25	(70,460)	—	(70,460)
ZAR	244,000	Receives	3-month ZAR JIBAR (pays quarterly)	7.04% (pays quarterly)	3/12/25	204,768	—	204,768
ZAR	65,700	Receives	3-month ZAR JIBAR (pays quarterly)	6.91% (pays quarterly)	3/13/25	66,203	—	66,203
ZAR	43,340	Pays	3-month ZAR JIBAR (pays quarterly)	5.40% (pays quarterly)	6/11/25	(139,388)	—	(139,388)
ZAR	50,000	Pays	3-month ZAR JIBAR (pays quarterly)	4.97% (pays quarterly)	8/24/25	(208,136)	64	(208,072)
ZAR	54,900	Pays	3-month ZAR JIBAR (pays quarterly)	5.56% (pays quarterly)	2/19/26	(219,094)	132	(218,962)
ZAR	68,770	Pays	3-month ZAR JIBAR (pays quarterly)	8.79% (pays quarterly)	3/18/26	92,705	—	92,705
ZAR	79,000	Pays	3-month ZAR JIBAR (pays quarterly)	5.96% (pays quarterly)	5/20/26	(284,434)	262	(284,172)
ZAR	132,000	Receives	3-month ZAR JIBAR (pays quarterly)	6.64% (pays quarterly)	10/18/26	389,741	(589)	389,152
ZAR	15,850	Pays	3-month ZAR JIBAR (pays quarterly)	6.54% (pays quarterly)	2/23/27	(54,732)	—	(54,732)
ZAR	185,000	Pays	3-month ZAR JIBAR (pays quarterly)	8.07% (pays quarterly)	9/21/27	(142,207)	—	(142,207)
ZAR	108,000	Pays	3-month ZAR JIBAR (pays quarterly)	8.38% (pays quarterly)	5/4/32	(381,703)	726	(380,977)
Total						$(30,717,430)	$ (249,893)	$ (30,967,323)

39

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Interest Rate Swaps (OTC)
Counterparty	Notional Amount (000's omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Unrealized Appreciation (Depreciation)
Bank of America, N.A.	BRL	12,953	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	13.10% (pays upon termination)	1/2/23	$ 2,124,718
Bank of America, N.A.	THB	400,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.91% (pays semi-annually)	11/2/22	69,643
Bank of America, N.A.	THB	230,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.90% (pays semi-annually)	12/8/22	34,907
BNP Paribas	MYR	17,413	Pays	3-month MYR KLIBOR (pays quarterly)	2.95% (pays quarterly)	3/16/27	(177,947)
Citibank, N.A.	THB	330,000	Pays	6-month THB Fixing Rate (pays semi-annually)	1.87% (pays semi-annually)	3/27/23	51,129
Citibank, N.A.	THB	250,000	Pays	6-month THB Fixing Rate (pays semi-annually)	2.22% (pays semi-annually)	10/25/23	26,711
Citibank, N.A.	THB	87,340	Pays	6-month THB Fixing Rate (pays semi-annually)	1.96% (pays semi-annually)	3/18/24	6,361
Credit Suisse International	RUB	275,000	Pays	3-month Moscow Prime Offered Rate (pays quarterly)	7.85% (pays annually)	11/1/22	217,304
Deutsche Bank AG	BRL	1,970	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	12.98% (pays upon termination)	1/2/23	313,782
Deutsche Bank AG	THB	324,320	Pays	6-month THB Fixing Rate (pays semi-annually)	2.13% (pays semi-annually)	11/19/23	88,204
JPMorgan Chase Bank, N.A.	MYR	88,787	Pays	3-month MYR KLIBOR (pays quarterly)	2.95% (pays quarterly)	3/16/27	(908,154)
Nomura International PLC	BRL	4,440	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	12.83% (pays upon termination)	1/2/23	678,953
Nomura International PLC	BRL	2,006	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	12.90% (pays upon termination)	1/2/23	312,517
Standard Chartered Bank	THB	650,000	Pays	6-month THB Fixing Rate (pays semi-annually)	2.15% (pays semi-annually)	8/20/23	141,827
Total							$ 2,979,955

40

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Credit Default Swaps - Buy Protection (Centrally Cleared)
Reference Entity	Notional Amount (000's omitted)		Contract Annual Fixed Rate*	Termination Date	Value	Unamortized Upfront Receipts (Payments)	Unrealized Appreciation (Depreciation)
Markit CDX Emerging Markets Index (CDX.EM.31.V2)		$86	1.00% (pays quarterly)(1)	6/20/24	$ 759	$ (4,316)	$ (3,557)
Total					$759	$(4,316)	$(3,557)

*	The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract.
(1)	Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Cross-Currency Swaps (OTC)
Counterparty	Portfolio Receives	Portfolio Pays	Effective Date/ Termination Date(1)	Value/Unrealized Appreciation (Depreciation)
BNP Paribas	3-month PLN WIBOR + 1.45% on PLN 17,142,858 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date*	3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount *	10/14/25/ 10/14/28	$ (980)
Citibank, N.A.	1-day Indice Camara Promedio Rate on CLP 731,637,500 (pays semi-annually)**	(0.07)% on CLP equivalent of CLF 25,000 (pays semi-annually)**	Not Applicable/ 2/25/31	42,985
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 381,027,240 (pays semi-annually)**	2.10% on CLP equivalent of CLF 12,000 (pays semi-annually)**	Not Applicable/ 4/8/32	(23,637)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 1,174,947,580 (pays semi-annually)**	2.25% on CLP equivalent of CLF 37,000 (pays semi-annually)**	Not Applicable/ 4/11/32	(89,930)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 214,234,175 (pays semi-annually)**	1.85% on CLP equivalent of CLF 6,700 (pays semi-annually)**	Not Applicable/ 4/20/32	(6,902)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 1,088,523,600 (pays semi-annually)**	1.84% on CLP equivalent of CLF 34,000 (pays semi-annually)**	Not Applicable/ 4/22/32	(33,686)
				$(112,150)

*	The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.
**	At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date.
(1)	Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual.

41

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Portfolio of Investments — continued

Abbreviations:
BUBOR	– Budapest Interbank Offered Rate
EURIBOR	– Euro Interbank Offered Rate
FBIL	– Financial Benchmarks India Ltd.
JIBAR	– Johannesburg Interbank Average Rate
KLIBOR	– Kuala Lumpur Interbank Offered Rate
MIBOR	– Mumbai Interbank Offered Rate
OTC	– Over-the-counter
PRIBOR	– Prague Interbank Offered Rate
TELBOR	– Tel Aviv Interbank Offered Rate
WIBOR	– Warsaw 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
CRC	– Costa Rican Colon
CZK	– Czech Koruna
DOP	– Dominican Peso
EUR	– Euro
HUF	– Hungarian Forint
IDR	– Indonesian Rupiah
ILS	– Israeli Shekel
INR	– Indian Rupee
KRW	– South Korean Won
KZT	– Kazakhstani Tenge
MXN	– Mexican Peso

MYR	– Malaysian Ringgit
PEN	– Peruvian Sol
PLN	– Polish Zloty
RON	– Romania New Leu
RSD	– Serbian Dinar
RUB	– Russian Ruble
SGD	– Singapore Dollar
THB	– Thai Baht
TRY	– New Turkish Lira
UAH	– Ukrainian Hryvnia
UGX	– Ugandan Shilling
USD	– United States Dollar
UYU	– Uruguayan Peso
UZS	– Uzbekistani Som
ZAR	– South African Rand
ZMW	– Zambian Kwacha

42

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Statement of Assets and Liabilities

	October 31, 2022
Assets
Unaffiliated investments, at value (identified cost $1,019,767,384)	$ 763,629,481
Affiliated investment, at value (identified cost $34,198,985)	34,198,985
Cash	1,507,847
Deposits for derivatives collateral:
Centrally cleared derivatives	35,051,228
OTC derivatives	450,000
Foreign currency, at value (identified cost $22,657,562)	22,078,086
Interest receivable	20,008,013
Dividends receivable from affiliated investment	124,691
Receivable for investments sold	70,818,400
Receivable for variation margin on open futures contracts	17,234
Receivable for variation margin on open centrally cleared derivatives	327,445
Receivable for open forward foreign currency exchange contracts	31,517,957
Receivable for open swap contracts	4,109,041
Receivable for open non-deliverable bond forward contracts	853,256
Total assets	$984,691,664
Liabilities
Cash collateral due to brokers	$ 450,000
Payable for open forward foreign currency exchange contracts	20,873,680
Payable for open swap contracts	1,241,236
Payable for closed swap contracts	32,266
Payable for open non-deliverable bond forward contracts	1,974,159
Payable to affiliates:
Investment adviser fee	529,112
Trustees' fees	6,786
Accrued foreign capital gains taxes	246,000
Accrued expenses	607,894
Total liabilities	$ 25,961,133
Net Assets applicable to investors' interest in Portfolio	$958,730,531

43

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Statement of Operations

	Year Ended
	October 31, 2022
Investment Income
Dividend income from affiliated investments	$ 751,897
Interest income (net of foreign taxes withheld of $2,013,621)	87,634,586
Total investment income	$ 88,386,483
Expenses
Investment adviser fee	$ 7,941,172
Trustees’ fees and expenses	74,175
Custodian fee	1,178,480
Legal and accounting services	148,069
Miscellaneous	86,597
Total expenses	$ 9,428,493
Deduct:
Waiver and/or reimbursement of expenses by affiliate	$ 62,028
Total expense reductions	$ 62,028
Net expenses	$ 9,366,465
Net investment income	$ 79,020,018
Realized and Unrealized Gain (Loss)
Net realized gain (loss):
Investment transactions (net of foreign capital gains taxes of $299,630)	$ (75,285,871)
Investment transactions - affiliated investment	4,584
Futures contracts	5,282,556
Swap contracts	(55,459,009)
Foreign currency transactions	(6,345,402)
Forward foreign currency exchange contracts	(21,520,267)
Non-deliverable bond forward contracts	(21,079,989)
Net realized loss	$(174,403,398)
Change in unrealized appreciation (depreciation):
Investments (including net decrease in accrued foreign capital gains taxes of $1,334,335)	$ (196,713,633)
Futures contracts	(320,378)
Swap contracts	4,988,242
Foreign currency	(989,719)
Forward foreign currency exchange contracts	8,920,609
Non-deliverable bond forward contracts	506,289
Net change in unrealized appreciation (depreciation)	$(183,608,590)
Net realized and unrealized loss	$(358,011,988)
Net decrease in net assets from operations	$(278,991,970)

44

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Statements of Changes in Net Assets

	Year Ended October 31,
	2022	2021
Increase (Decrease) in Net Assets
From operations:
Net investment income	$ 79,020,018	$ 82,706,890
Net realized gain (loss)	(174,403,398)	14,692,597
Net change in unrealized appreciation (depreciation)	(183,608,590)	(102,304,622)
Net decrease in net assets from operations	$ (278,991,970)	$ (4,905,135)
Capital transactions:
Contributions	$ 154,343,479	$ 713,025,206
Withdrawals	(478,241,966)	(400,434,173)
Net increase (decrease) in net assets from capital transactions	$ (323,898,487)	$ 312,591,033
Net increase (decrease) in net assets	$ (602,890,457)	$ 307,685,898
Net Assets
At beginning of year	$1,561,620,988	$ 1,253,935,090
At end of year	$ 958,730,531	$1,561,620,988

45

See Notes to Financial Statements.

Emerging Markets Local Income Portfolio

October 31, 2022

Financial Highlights

	Year Ended October 31,
Ratios/Supplemental Data	2022	2021	2020	2019	2018
Ratios (as a percentage of average daily net assets):
Expenses	0.76% (1)	0.75%	0.79%	0.78%	0.87% (2)
Net investment income	6.43%	4.98%	5.79%	7.01%	7.22%
Portfolio Turnover	33%	56%	56%	46%	52%
Total Return	(20.12)%	1.48%	0.08%	23.15%	(9.33)%
Net assets, end of year (000’s omitted)	$958,731	$1,561,621	$1,253,935	$1,238,490	$783,270

(1)	Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).
(2)	Includes interest expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.02% of average daily net assets for the year ended October 31, 2018.

46

Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements

1  Significant Accounting Policies

Emerging Markets Local Income Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2022, Eaton Vance Emerging Markets Local Income Fund, Eaton Vance Short Duration Strategic Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 86.7%, 12.6% and 0.7%, respectively, in the Portfolio.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation—The following methodologies are used to determine the market value or fair value of investments.

Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.

Derivatives. Futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio's forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.

Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads.

Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.

Fair Valuation. In connection with Rule 2a-5 of the 1940 Act, which became effective September 8, 2022, the Trustees have designated the Portfolio’s investment adviser as its valuation designee. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued by the investment adviser, as valuation designee, at fair value using methods that most fairly reflect the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B  Investment Transactions—Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income—Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign interest and capital gains have been provided for in accordance with the Portfolio's understanding of the applicable countries’ tax rules and rates.

D  Federal and Other Taxes—The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets

47

Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

As of October 31, 2022, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Foreign Currency Translation—Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

F  Use of Estimates—The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

G  Indemnifications—Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

H  Futures Contracts Upon entering into a futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

I  Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts—The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be “centrally cleared”, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.

J  Interest Rate Swaps— Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of

48

Emerging Markets Local Income Portfolio

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Notes to Financial Statements — continued

the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

K  Cross-Currency Swaps—Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

L  Credit Default Swaps—When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

M  Swaptions—A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio. The investment adviser fee is computed at an annual rate as a percentage of the Portfolio’s average daily net assets as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $1 billion	0.650%
$1 billion but less than $2 billion	0.625%
$2 billion but less than $5 billion	0.600%
$5 billion and over	0.575%

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Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

For the year ended October 31, 2022, the Portfolio’s investment adviser fee amounted to $7,941,172 or 0.65% of the Portfolio’s average daily net assets.

Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the year ended October 31, 2022, the investment adviser fee paid was reduced by $62,028 relating to the Portfolio's investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). EVM did not receive a fee for advisory services provided to Cash Reserves Fund.

During the year ended October 31, 2022, EVM reimbursed the Portfolio $7,481 for a net realized loss due to a trading error. The amount of the reimbursement had an impact on total return of less than 0.01%.

Trustees and officers of the Portfolio who are members of EVM’s or BMR's organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2022, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities and paydowns, aggregated $301,817,772 and $654,208,899, respectively, for the year ended October 31, 2022.

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Portfolio at October 31, 2022, as determined on a federal income tax basis, were as follows:

Aggregate cost	$ 896,765,769
Gross unrealized appreciation	$ 13,365,158
Gross unrealized depreciation	(141,436,386)
Net unrealized depreciation	$ (128,071,228)

5  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, non-deliverable bond forward contracts, futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at October 31, 2022 is included in the Portfolio of Investments. At October 31, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

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

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

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

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

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Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $24,089,075. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $8,829,579 at October 31, 2022.

The OTC derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at October 31, 2022 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 8) at October 31, 2022.

51

Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2022 was as follows:

	Fair Value
Statement of Assets and Liabilities Caption	Credit	Foreign Exchange	Interest Rate	Total
Not applicable	$ 759*	$ 14,302,886*	$ 42,102,733*	$ 56,406,378
Receivable for open forward foreign currency exchange contracts	—	31,517,957	—	31,517,957
Receivable for open swap contracts	—	—	4,109,041	4,109,041
Receivable for open non-deliverable bond forward contracts	—	—	853,256	853,256
Total Asset Derivatives	$ 759	$ 45,820,843	$ 47,065,030	$ 92,886,632
Derivatives not subject to master netting or similar agreements	$ 759	$ 14,302,886	$ 42,102,733	$ 56,406,378
Total Asset Derivatives subject to master netting or similar agreements	$ —	$ 31,517,957	$ 4,962,297	$ 36,480,254
Not applicable	$  —	$ (13,086,568)*	$ (72,597,995)*	$ (85,684,563)
Payable for open forward foreign currency exchange contracts	—	(20,873,680)	—	(20,873,680)
Payable for open swap contracts; Upfront receipts on non-centrally cleared swap contracts	—	—	(1,241,236)	(1,241,236)
Payable for open non-deliverable bond forward contracts	—	—	(1,974,159)	(1,974,159)
Total Liability Derivatives	$ —	$(33,960,248)	$(75,813,390)	$(109,773,638)
Derivatives not subject to master netting or similar agreements	$ —	$(13,086,568)	$(72,597,995)	$ (85,684,563)
Total Liability Derivatives subject to master netting or similar agreements	$ —	$(20,873,680)	$ (3,215,395)	$ (24,089,075)

* Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable.

The Portfolio's derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio for such assets and pledged by the Portfolio for such liabilities as of October 31, 2022.

Counterparty	Derivative Assets Subject to Master Netting Agreement	Derivatives Available for Offset	Non-cash Collateral Received(a)	Cash Collateral Received(a)	Net Amount of Derivative Assets(b)
Bank of America, N.A.	$ 5,613,717	$ (1,789,074)	$ (3,638,683)	$  —	$ 185,960
BNP Paribas	4,833,731	(4,833,731)	—	—	—
Citibank, N.A.	2,723,570	(42,616)	—	—	2,680,954
Credit Suisse International	217,304	—	—	—	217,304
Deutsche Bank AG	401,986	—	(353,142)	—	48,844
Goldman Sachs International	2,160,862	(2,160,862)	—	—	—
ICBC Standard Bank plc	143,365	(105,991)	—	—	37,374
JPMorgan Chase Bank, N.A.	1,242,163	(924,946)	(268,203)	—	49,014
Nomura International PLC	991,470	—	(519,490)	(450,000)	21,980
Standard Chartered Bank	11,209,883	(5,991,722)	—	—	5,218,161
State Street Bank and Trust Company	5,420,322	(4,044,158)	(718,382)	—	657,782

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Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

Counterparty	Derivative Assets Subject to Master Netting Agreement	Derivatives Available for Offset	Non-cash Collateral Received(a)	Cash Collateral Received(a)	Net Amount of Derivative Assets(b)
UBS AG	$ 1,521,881	$ (146,768)	$ (1,065,353)	$  —	$ 309,760
	$36,480,254	$(20,039,868)	$(6,563,253)	$(450,000)	$9,427,133

Counterparty	Derivative Liabilities Subject to Master Netting Agreement	Derivatives Available for Offset	Non-cash Collateral Pledged(a)	Cash Collateral Pledged(a)	Net Amount of Derivative Liabilities(c)
Bank of America, N.A.	$ (1,789,074)	$ 1,789,074	$  —	$  —	$  —
Barclays Bank PLC	(48,833)	—	—	—	(48,833)
BNP Paribas	(7,203,199)	4,833,731	2,183,712	—	(185,756)
Citibank, N.A.	(42,616)	42,616	—	—	—
Goldman Sachs International	(3,651,761)	2,160,862	1,490,899	—	—
HSBC Bank USA, N.A.	(13,109)	—	—	—	(13,109)
ICBC Standard Bank plc	(105,991)	105,991	—	—	—
JPMorgan Chase Bank, N.A.	(924,946)	924,946	—	—	—
Societe Generale	(126,898)	—	—	—	(126,898)
Standard Chartered Bank	(5,991,722)	5,991,722	—	—	—
State Street Bank and Trust Company	(4,044,158)	4,044,158	—	—	—
UBS AG	(146,768)	146,768	—	—	—
	$(24,089,075)	$20,039,868	$3,674,611	$ —	$(374,596)

(a)	In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.
(b)	Net amount represents the net amount due from the counterparty in the event of default.
(c)	Net amount represents the net amount payable to the counterparty in the event of default.

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Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the year ended October 31, 2022 was as follows:

Statement of Operations Caption	Credit	Foreign Exchange	Interest Rate	Total
Net realized gain (loss):
Investment transactions	$  —	$  —	$ (923,502)	$ (923,502)
Futures contracts	—	—	5,282,556	5,282,556
Swap contracts	69,265	—	(55,528,274)	(55,459,009)
Forward foreign currency exchange contracts	—	(21,520,267)	—	(21,520,267)
Non-deliverable bond forward contracts	—	—	(21,079,989)	(21,079,989)
Total	$69,265	$(21,520,267)	$(72,249,209)	$(93,700,211)
Change in unrealized appreciation (depreciation):
Investments	$  —	$  —	$ 912,553	$ 912,553
Futures contracts	—	—	(320,378)	(320,378)
Swap contracts	19,069	—	4,969,173	4,988,242
Forward foreign currency exchange contracts	—	8,920,609	—	8,920,609
Non-deliverable bond forward contracts	—	—	506,289	506,289
Total	$19,069	$ 8,920,609	$ 6,067,637	$ 15,007,315

The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended October 31, 2022, which are indicative of the volume of these derivative types, were approximately as follows:

Futures Contracts — Short	Forward Foreign Currency Exchange Contracts*	Non-Deliverable Bond Forward Contracts	Purchased Swaptions	Swap Contracts
$35,150,000	$3,077,607,000	$137,538,000	$9,192,000	$1,688,215,000

* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.

6  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $725 million unsecured line of credit agreement with a group of banks, which is in effect through October 24, 2023. In connection with the renewal of the agreement on October 25, 2022, the borrowing limit was decreased from $800 million. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Also in connection with the renewal of the agreement, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2022.

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Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

7  Investments in Affiliated Funds

At October 31, 2022, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $34,198,985, which represents 3.6% of the Portfolio's net assets. Transactions in affiliated funds by the Portfolio for the year ended October 31, 2022 were as follows:

Name	Value, beginning of period	Purchases	Sales proceeds	Net realized gain (loss)	Change in unrealized appreciation (depreciation)	Value, end of period	Dividend income	Units/Shares, end of period
Short-Term Investments
Cash Reserves Fund	$7,541,545	$533,888,639	$(541,434,768)	$ 4,584	$  —	$  —	$ 47,112	—
Liquidity Fund	—	530,770,839	(496,571,854)	—	—	34,198,985	704,785	34,198,985
Total				$4,584	$ —	$34,198,985	$751,897

8  Fair Value Measurements

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

• Level 1 – quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At October 31, 2022, the hierarchy of inputs used in valuing the Portfolio's investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1	Level 2	Level 3	Total
Foreign Corporate Bonds	$        —	$  26,215,235	$        —	$  26,215,235
Loan Participation Notes	—	—	29,380,678	29,380,678
Sovereign Government Bonds	—	549,009,825	39,170,230	588,180,055
Short-Term Investments:
Affiliated Fund	34,198,985	—	—	34,198,985
Sovereign Government Securities	—	79,349,464	2,887,584	82,237,048
U.S. Treasury Obligations	—	37,616,465	—	37,616,465
Total Investments	$34,198,985	$ 692,190,989	$71,438,492	$ 797,828,466
Forward Foreign Currency Exchange Contracts	$        —	$  45,820,843	$        —	$  45,820,843
Non-Deliverable Bond Forward Contracts	—	853,256	—	853,256
Futures Contracts	222,168	—	—	222,168
Swap Contracts	—	45,990,365	—	45,990,365
Total	$34,421,153	$ 784,855,453	$71,438,492	$ 890,715,098
Liability Description
Forward Foreign Currency Exchange Contracts	$        —	$ (33,960,248)	$        —	$ (33,960,248)
Non-Deliverable Bond Forward Contracts	—	(1,974,159)	—	(1,974,159)

55

Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

Liability Description (continued)	Level 1	Level 2	Level 3	Total
Swap Contracts	$        —	$ (73,839,231)	$        —	$ (73,839,231)
Total	$        —	$ (109,773,638)	$        —	$ (109,773,638)

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

	Loan Participation Notes	Sovereign Government Bonds	Sovereign Government Securities	Total
Balance as of October 31, 2021	$39,020,280	$  —	$  —	$ 39,020,280
Realized gains (losses)	(756,428)	(653,303)	—	(1,409,731)
Change in net unrealized appreciation (depreciation)	(1,439,386)	(102,233,847)	(925,450)	(104,598,683)
Cost of purchases	—	12,624,653	3,708,424	16,333,077
Proceeds from sales, including return of capital	(7,443,788)	(2,785,765)	—	(10,229,553)
Accrued discount (premium)	—	1,046,208	104,610	1,150,818
Transfers to Level 3	—	131,172,284	—	131,172,284
Transfers from Level 3	—	—	—	—
Balance as of October 31, 2022	$29,380,678	$ 39,170,230	$2,887,584	$ 71,438,492
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2022	$ (1,888,764)	$(102,159,577)	$ (925,450)	$(104,973,791)

The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of October 31, 2022:

Type of Investment	Fair Value as of October 31, 2022	Valuation Technique	Unobservable Input	Input	Impact to Valuation from an Increase to Input*
Loan Participation Notes	$29,380,678	Matrix Pricing	Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate	3.59%	Decrease
Sovereign Government Bonds	39,170,230	Third Party Indication of Value	Foreign Currency Exchange Rate	40.20 UAH/USD	Decrease
Sovereign Government Securities	2,887,584	Third Party Indication of Value	Foreign Currency Exchange Rate	40.20 UAH/USD	Decrease

* Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

9  Risks and Uncertainties

Risks Associated with Foreign Investments

Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.

56

Emerging Markets Local Income Portfolio

October 31, 2022

Notes to Financial Statements — continued

Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.

Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.

On February 24, 2022, Russia launched an invasion of Ukraine, following rising tensions over the buildup of Russian troops along the Ukrainian border and joint military exercises by Russia with Belarus. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. The conflict and sanctions have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Belarus and Ukraine. The conflict could also have a significant effect on investments outside the region. The duration and extent of the military conflict with Russia and the related sanctions cannot be predicted at this time.

LIBOR Transition Risk

Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.

Pandemic Risk

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolio's performance, or the performance of the securities in which the Portfolio invests.

57

Emerging Markets Local Income Portfolio

October 31, 2022

Report of Independent Registered Public Accounting Firm

To the Trustees and Investors of Emerging Markets Local Income Portfolio:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Emerging Markets Local Income Portfolio (the “Portfolio"), including the portfolio of investments, as of October 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of October 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of October 31, 2022, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP
Boston, Massachusetts
December 29, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

58

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Board of Trustees' Contract Approval

Overview of the Contract Review Process

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that the investment advisory agreement between a fund and its investment adviser will continue in effect from year-to-year only if its continuation is approved on an annual basis by a vote of the fund’s board of trustees, including a majority of the trustees who are not “interested persons” of the fund (“independent trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting held on June 8, 2022, the Boards of Trustees/Directors (collectively, the “Board”) that oversee the registered investment companies advised by Eaton Vance Management or its affiliate, Boston Management and Research (the “Eaton Vance Funds”), including a majority of the independent trustees (the “Independent Trustees”), voted to approve the continuation of existing investment advisory agreements and sub-advisory agreements¹ for each of the Eaton Vance Funds for an additional one-year period. The Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee exclusively comprised of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by the adviser and sub-adviser to each of the Eaton Vance Funds (including information specifically requested by the Board) for a series of formal meetings held between April and June 2022. Members of the Contract Review Committee also considered information received at prior meetings of the Board and its committees, to the extent such information was relevant to the Contract Review Committee’s annual evaluation of the investment advisory agreements and sub-advisory agreements.

In connection with its evaluation of the investment advisory agreements and sub-advisory agreements, the Board considered various information relating to the Eaton Vance Funds. This included information applicable to all or groups of Eaton Vance Funds, which is referenced immediately below, and information applicable to the particular Eaton Vance Fund covered by this report (additional fund-specific information is referenced below under “Results of the Contract Review Process”). (For funds that invest through one or more underlying portfolios, references to “each fund” in this section may include information that was considered at the portfolio-level.)

Information about Fees, Performance and Expenses

• A report from an independent data provider comparing advisory and other fees paid by each fund to such fees paid by comparable funds, as identified by the independent data provider (“comparable funds”);

• A report from an independent data provider comparing each fund’s total expense ratio (and its components) to those of comparable funds;

• A report from an independent data provider comparing the investment performance of each fund (including, as relevant, total return data, income data, Sharpe ratios and information ratios) to the investment performance of comparable funds and, as applicable, benchmark indices, over various time periods;

• In certain instances, data regarding investment performance relative to customized groups of peer funds and blended indices identified by the adviser in consultation with the Portfolio Management Committee of the Board (a committee exclusively comprised of Independent Trustees);

•  Comparative information concerning the fees charged and services provided by the adviser and sub-adviser to each fund in managing other accounts (which may include other mutual funds, collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund(s), if any;

•  Profitability analyses with respect to the adviser and sub-adviser to each of the funds;

Information about Portfolio Management and Trading

•  Descriptions of the investment management services provided to each fund, as well as each of the funds’ investment strategies and policies;

• The procedures and processes used to determine the value of fund assets, including, when necessary, the determination of “fair value” and actions taken to monitor and test the effectiveness of such procedures and processes;

•  Information about the policies and practices of each fund’s adviser and sub-adviser with respect to trading, including their processes for seeking best execution of portfolio transactions;

•  Information about the allocation of brokerage transactions and the benefits, if any, received by the adviser and sub-adviser to each fund as a result of brokerage allocation, including, as applicable, information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”;

•  Data relating to the portfolio turnover rate of each fund and related information regarding active management in the context of particular strategies;

Information about each Adviser and Sub-adviser

•  Reports detailing the financial results and condition of the adviser and sub-adviser to each fund;

•  Information regarding the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and, for portfolio managers and certain other investment professionals, information relating to their responsibilities with respect to managing other mutual funds and investment accounts, as applicable;

¹    Not all Eaton Vance Funds have entered into a sub-advisory agreement with a sub-adviser. Accordingly, references to “sub-adviser” or “sub-advisory agreement” in this “Overview” section may not be applicable to the particular Eaton Vance Fund covered by this report. Following the “Overview” section, further information regarding the Board’s evaluation of a fund’s contractual arrangements is included under the “Results of the Contract Review Process” section.

59

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Board of Trustees' Contract Approval — continued

•  Information regarding the adviser’s and its parent company’s (Morgan Stanley’s) efforts to retain and attract talented investment professionals, including in the context of a particularly competitive marketplace for talent, as well as the ongoing unique environment presented by hybrid, remote and other alternative work arrangements;

• The Code of Ethics of the adviser and its affiliates and the sub-adviser of each fund, together with information relating to compliance with, and the administration of, such codes;

•  Policies and procedures relating to proxy voting, including regular reporting with respect to fund proxy voting activities;

•  Information regarding the handling of corporate actions and class actions, as well as information regarding litigation and other regulatory matters;

•  Information concerning the resources devoted to compliance efforts undertaken by the adviser and its affiliates and the sub-adviser of each fund, if any, including descriptions of their various compliance programs and their record of compliance;

•  Information concerning the business continuity and disaster recovery plans of the adviser and its affiliates and the sub-adviser of each fund, if any;

• A description of Eaton Vance Management’s and Boston Management and Research’s oversight of sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters;

Other Relevant Information

•  Information regarding ongoing initiatives to further integrate and harmonize, where applicable, the investment management and other departments of the adviser and its affiliates with the overall investment management infrastructure of Morgan Stanley, in light of Morgan Stanley’s acquisition of Eaton Vance on March 1, 2021;

•  Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates;

•  Information concerning oversight of the relationship with the custodian, subcustodians, fund accountants, and other third-party service providers by the adviser and/or administrator to each of the funds;

•  Information concerning efforts to implement policies and procedures with respect to various new regulations applicable to the funds, including Rule 12d1-4 (the Fund-of-Funds Rule), Rule 18f-4 (the Derivatives Rule) and Rule 2a-5 (the Fair Valuation Rule);

• For an Eaton Vance Fund structured as an exchange-listed closed-end fund, information concerning the benefits of the closed-end fund structure, as well as, where relevant, the closed-end fund’s market prices (including as compared to the closed-end fund’s net asset value (NAV)), trading volume data, continued use of auction preferred shares (where applicable), distribution rates and other relevant matters;

• The risks which the adviser and/or its affiliates incur in connection with the management and operation of the funds, including, among others, litigation, regulatory, entrepreneurial, and other business risks (and the associated costs of such risks); and

• The terms of each investment advisory agreement and sub-advisory agreement.

During the various meetings of the Board and its committees over the course of the year leading up to the June 8, 2022 meeting, the Trustees received information from portfolio managers and other investment professionals of the advisers and sub-advisers of the funds regarding investment and performance matters, and considered various investment and trading strategies used in pursuing the funds’ investment objectives. The Trustees also received information regarding risk management techniques employed in connection with the management of the funds. The Board and its committees evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management, Boston Management and Research and fund sub-advisers, with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences to discuss, among other topics, matters relating to the continuation of investment advisory agreements and sub-advisory agreements.

The Contract Review Committee was advised throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee, with the advice of such counsel, exercised their own business judgment in determining the material factors to be considered in evaluating each investment advisory agreement and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory agreement and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory agreement and sub-advisory agreement. In evaluating each investment advisory agreement and sub-advisory agreement, including the fee structures and other terms contained in such agreements, the members of the Contract Review Committee were also informed by multiple years of analysis and discussion with the adviser and sub-adviser to each of the Eaton Vance Funds.

Results of the Contract Review Process

Based on its consideration of the foregoing, and such other information it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory agreement between Eaton Vance Emerging Markets Local Income Fund (the “Fund”) and Eaton Vance Management (“EVM”), as well as the investment advisory agreement between Emerging Markets Local Income Portfolio (the “Portfolio”), the portfolio in which the Fund invests, and Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their respective fee structures, are in the interests of shareholders and, therefore, recommended to the Board approval of each agreement. Based on the recommendation of the Contract Review Committee, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreements for the Fund and the Portfolio.

60

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Board of Trustees' Contract Approval — continued

Nature, Extent and Quality of Services

In considering whether to approve the investment advisory agreements for the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and the Portfolio by the applicable Adviser.

The Board considered each Adviser’s management capabilities and investment processes in light of the types of investments held by the Fund and the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio, including recent changes to such personnel. The Board considered each Adviser’s expertise with respect to emerging markets and in-house research capabilities. The Board also took into account the resources dedicated to portfolio management and other services, the compensation methods of each Adviser and other factors, including the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolio, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolio, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolio.

The Board noted that under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio. The Trustees considered the potential benefits to the Fund of the ability to make direct investments, such as an improved ability to: gain exposure to sectors of the market EVM believes may not be represented or underrepresented by the Portfolio; to hedge certain Portfolio exposures; and/or to otherwise manage the exposures of the Fund.

The Board considered the compliance programs of each Adviser and relevant affiliates thereof. The Board considered compliance and reporting matters regarding, among other things, personal trading by investment professionals, disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities, such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered other administrative services provided or overseen by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement.

Fund Performance

The Board compared the Fund’s investment performance to that of comparable funds identified by an independent data provider (the peer group), as well as an appropriate benchmark index. The Board’s review included comparative performance data with respect to the Fund for the one-, three-, five- and ten-year periods ended December 31, 2021. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its benchmark index for the three-year period. The Board concluded that the performance of the Fund was satisfactory.

Management Fees and Expenses

The Board considered contractual fee rates payable by the Portfolio and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for the one-year period ended December 31, 2021, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also received and considered information about the services offered and the fee rates charged by the Adviser to other types of accounts with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as the Portfolio. In this regard, the Board received information about the differences in the nature and scope of services the Adviser provides to the Portfolio as compared to other types of accounts and the material differences in compliance, reporting and other legal burdens and risks to the Adviser as between the Portfolio and other types of accounts. The Board also considered certain factors identified by management in response to inquiries from the Contract Review Committee regarding the Fund’s total expense ratio relative to comparable funds.

After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.

Profitability and “Fall-Out” Benefits

The Board considered the level of profits realized by each Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution or other services.

61

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Board of Trustees' Contract Approval — continued

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates are deemed not to be excessive.

The Board also considered direct or indirect fall-out benefits received by each Adviser and its affiliates in connection with their respective relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale, if any, when they are realized by the Adviser. The Board also concluded that the structure of the advisory fees, which include breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from any economies of scale in the future.

62

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Liquidity Risk Management Program

The Fund has implemented a written liquidity risk management program (Program) and related procedures to manage its liquidity in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (Liquidity Rule). The Liquidity Rule defines “liquidity risk” as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of the remaining investors’ interests in the fund. The Fund’s Board of Trustees/Directors has designated the investment adviser to serve as the administrator of the Program and the related procedures. The administrator has established a Liquidity Risk Management Oversight Committee (Committee) to perform the functions necessary to administer the Program. As part of the Program, the administrator is responsible for identifying illiquid investments and categorizing the relative liquidity of the Fund’s investments in accordance with the Liquidity Rule. Under the Program, the administrator assesses, manages, and periodically reviews the Fund’s liquidity risk, and is responsible for making certain reports to the Fund’s Board of Trustees/Directors and the Securities and Exchange Commission (SEC) regarding the liquidity of the Fund’s investments, and to notify the Board of Trustees/Directors and the SEC of certain liquidity events specified in the Liquidity Rule. The liquidity of the Fund’s portfolio investments is determined based on a number of factors including, but not limited to, relevant market, trading and investment-specific considerations under the Program.

At a meeting of the Fund’s Board of Trustees/Directors on June 7, 2022, the Committee provided a written report to the Fund’s Board of Trustees/Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2021 through December 31, 2021 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

63

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Management and Organization

Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Emerging Markets Local Income Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust's and the Portfolio's affairs. The Board members and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Board members hold indefinite terms of office. Each Trustee holds office until his or her successor is elected and qualified, subject to a prior death, resignation, retirement, disqualification or removal. Under the terms of the Fund's and the Portfolio's current Trustee retirement policy, an Independent Trustee must retire and resign as a Trustee on the earlier of: (i) the first day of July following his or her 74th birthday; or (ii), with limited exception, December 31st of the 20th year in which he or she has served as a Trustee. However, if such retirement and resignation would cause the Fund and the Portfolio to be out of compliance with Section 16 of the 1940 Act or any other regulations or guidance of the SEC, then such retirement and resignation will not become effective until such time as action has been taken for the Fund and the Portfolio to be in compliance therewith. The “noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Board member and officer is Two International Place, Boston, Massachusetts 02110. As used below, “BMR” refers to Boston Management and Research, “EVC” refers to Eaton Vance Corp., “EV” refers to EV LLC, “EVM” refers to Eaton Vance Management and “EVD” refers to Eaton Vance Distributors, Inc. EV is the trustee of each of EVM and BMR. Effective March 1, 2021, each of EVM, BMR, EVD and EV are indirect, wholly owned subsidiaries of Morgan Stanley. Each officer affiliated with EVM may hold a position with other EVM affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 135 funds (with the exception of Mr. Bowser who oversees 110 funds) in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Interested Trustee
Thomas E. Faust Jr. 1958	Trustee	Since 2007	Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV (since 2021), Chief Executive Officer of EVM and BMR. Formerly, Chairman, Chief Executive Officer (2007-2021) and President (2006-2021) of EVC and Director of EVD (2007-2022). Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM and EV, which are affiliates of the Trust and the Portfolio. Other Directorships. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021).
Noninterested Trustees
Alan C. Bowser(1) 1962	Trustee	Since 2022	Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- present). Other Directorships. None.
Mark R. Fetting 1954	Trustee	Since 2016	Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None.
Cynthia E. Frost 1961	Trustee	Since 2014	Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987- 1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None.
George J. Gorman 1952	Chairperson of the Board and Trustee	Since 2021 (Chairperson) and 2014 (Trustee)	Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None.

64

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Noninterested Trustees  (continued)
Valerie A. Mosley 1960	Trustee	Since 2014	Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022).
Keith Quinton 1958	Trustee	Since 2018	Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank.
Marcus L. Smith 1966	Trustee	Since 2018	Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018).
Susan J. Sutherland 1957	Trustee	Since 2015	Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021).
Scott E. Wennerholm 1959	Trustee	Since 2016	Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None.
Nancy A. Wiser(1) 1967	Trustee	Since 2022	Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None.

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) During Past Five Years
Principal Officers who are not Trustees
Eric A. Stein 1980	President	Since 2020	Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”).
Deidre E. Walsh 1971	Vice President and Chief Legal Officer	Since 2009	Vice President of EVM and BMR. Also Vice President of CRM.
James F. Kirchner 1967	Treasurer	Since 2007	Vice President of EVM and BMR. Also Vice President of CRM.

65

Eaton Vance

Emerging Markets Local Income Fund

October 31, 2022

Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) During Past Five Years
Principal Officers who are not Trustees (continued)
Nicholas Di Lorenzo 1987	Secretary	Since 2022	Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP.
Richard F. Froio 1968	Chief Compliance Officer	Since 2017	Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012).

⁽¹⁾ Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022.

The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.

66

Eaton Vance Funds

Privacy Notice April 2021

FACTS WHAT DOES EATON VANCE DO WITH YOUR
PERSONAL INFORMATION?

Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Eaton Vance share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness	Yes	Yes
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For our investment management affiliates to market to you	Yes	Yes
For our affiliates to market to you	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

To limit our sharing	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com

67

Eaton Vance Funds

Privacy Notice — continued April 2021

Page 2

Who we are
Who is providing this notice?	Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below)
What we do
How does Eaton Vance protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.
How does Eaton Vance collect my personal information?	We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.
Definitions
Investment Management Affiliates	Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market.
Other important information
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.

68

Eaton Vance Funds

IMPORTANT NOTICES

Delivery of Shareholder Documents.The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.

Portfolio Holdings.Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.

Proxy Voting.From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

69

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Investment Adviser of Emerging Markets Local Income Portfolio

Boston Management and Research
Two International Place
Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance Emerging Markets Local Income Fund

Eaton Vance Management
Two International Place
Boston, MA 02110

Principal Underwriter*

Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260

Custodian

State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122

Independent Registered Public Accounting Firm

Deloitte & Touche LLP
200 Berkeley Street
Boston, MA 02116-5022

Fund Offices

Two International Place
Boston, MA 02110

^*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.

3040    10.31.22

Eaton Vance

Global Macro Absolute Return Advantage Fund

Annual Report

October 31, 2022

Commodity Futures Trading Commission Registration. The Commodity Futures Trading Commission (“CFTC”) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser is registered with the CFTC as a commodity pool operator with respect to its management of the Fund. As the commodity pool operator of the Fund, the adviser has claimed relief under the Commodity Exchange Act from certain reporting and recordkeeping requirements. The adviser is also registered as a commodity trading advisor.

Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.

This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.

Annual Report October 31, 2022

Eaton Vance

Global Macro Absolute Return Advantage Fund

Table of Contents
Management’s Discussion of Fund Performance	2
Performance	3
Fund Profile	4
Endnotes and Additional Disclosures	5
Fund Expenses	6
Financial Statements	7
Report of Independent Registered Public Accounting Firm	20 and 72
Federal Tax Information	21
Board of Trustees’ Contract Approval	73
Liquidity Risk Management Program	77
Management and Organization	78
Privacy Notice	81
Important Notices	83

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Management’s Discussion of Fund Performance^†

Economic and Market Conditions

The world’s equity and fixed-income markets posted broad losses during the 12-month period ended October 31, 2022. The declines were due to several factors, including high inflation in many countries, aggressive monetary tightening by the U.S. Federal Reserve (the Fed), and slowing global economic growth.

During the period, U.S. inflation surged as strong consumer demand following the relaxation of COVID-19 restrictions coincided with supply shortages created by the pandemic. Production and trade disruptions resulting from Russia’s February 2022 invasion of Ukraine added to inflationary pressures by driving up prices of energy and grains. The Fed responded by increasing short-term interest rates at the fastest pace in decades and signaling that it would continue hiking rates until inflation was under control – even if it meant pushing the U.S. economy into recession.

The European Central Bank and Bank of England also raised interest rates during the period in efforts to tame inflation, despite signs of deterioration in the European economy. Conversely, the Bank of Japan held its main policy rate at -0.1%. Inflation rose in Japan during the period but remained low compared to inflation in other developed countries. The widening differential between interest rates in Japan and the U.S. contributed to a substantial weakening in the Japanese yen versus the U.S. dollar during the period.

In China, government policies helped contain inflation but also significantly slowed economic growth. First, China maintained its zero-COVID policy, which led to lockdowns of major cities during the period. Second, Chinese leaders renewed their focus on the country’s “common prosperity” agenda, implementing measures that negatively affected certain sectors of China’s economy, including real estate and technology.

During the period, a number of emerging and frontier nations either defaulted on their sovereign debt or were pushed to the brink of default. Rising food and energy prices pressured these governments to offer subsidies to consumers, putting additional stress on fiscal balances already strained by pandemic-related spending. In addition, broad strength in the U.S. dollar made servicing U.S. dollar-denominated debt more expensive.

On a positive note, we believe there were signs late in the period that inflation may have peaked in several major emerging-market economies. Central banks in these countries indicated that they were at, or near, the end of their tightening cycles.

Fund Performance

For the 12-month period ended October 31, 2022, Eaton Vance Global Macro Absolute Return Advantage Fund (the Fund) returned -5.02% for Class A shares at net asset value (NAV), underperforming its benchmark, the ICE BofA 3-Month U.S. Treasury Bill Index (the Index), which returned 0.78%.

The Fund’s interest rate exposure was the main detractor from its performance during the period. In addition, the Fund’s limited allocations to corporate credit and equities had a slightly negative impact. On the other hand, sovereign credit was the largest contributor to performance, followed by commodities and currencies.

By region, Eastern Europe was the largest detractor from returns, driven by a long local bond position in Ukraine that performed poorly due to the Russia-Ukraine war, which led to a steep sell-off in local Ukrainian assets. A long sovereign credit position in Belarus also hurt returns. The strong performance of short positions in Russian sovereign credit and Polish interest rates helped counter these negative effects. By period-end, the long sovereign credit position in Belarus was sold from the Fund, and the short sovereign credit position in Russia was closed.

Investments in the Dollar Bloc -- Canada, New Zealand, and Australia -- and Asia were the next-largest detractors from returns during the period. In particular, long positions in the Australian dollar and Japanese yen weighed on performance given the broad strength of the U.S. dollar during the period.

The Middle East & Africa also negatively affected performance during the period. A long sovereign credit position in Lebanon was a notable detractor from performance as the challenging macroeconomic backdrop put pressure on emerging-market bonds in general. By period-end, this long sovereign credit position was sold from the Fund.

Western Europe was the top contributor to Fund returns during the period. Short exposure to U.K. and European interest rates was especially helpful, as soaring inflation prompted the Bank of England and European Central Bank to tighten policy, pushing rates higher across the region. By period-end, the Fund’s short U.K. rates exposure was closed.

Latin America benefited performance, helped by a long sovereign credit position in Suriname after the International Monetary Fund (IMF) recognized Suriname’s progress on economic reforms, a condition for receiving IMF support.

The Fund used derivatives extensively to hedge select undesired risk exposures, as well as to gain select desired risk exposures. Some of the above commentary about notable drivers of performance at the country level involved the use of derivatives. The Fund’s use of derivatives broadly helped returns during the period. Interest rate swaps used to gain select exposures as well as hedge others contributed to performance, as did credit default swaps used to gain short exposure to certain sovereign credits, which also acted as hedges to other exposures in certain cases. Currency forwards used to gain both long and short exposure to select currencies around the world further added to performance during the period.

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

2

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Performance

Portfolio Manager(s) John R. Baur, Patrick Campbell, CFA, Kyle Lee, CFA, Federico Sequeda, CFA each of Eaton Vance Management and Hussein Khattab, CFA of Eaton Vance Advisers International Ltd.

% Average Annual Total Returns1,2	Class Inception Date			Performance Inception Date			One Year			Five Years			Ten Years
Class A at NAV		08/31/2010			08/31/2010			(5.02	)%		1.20	%		2.56	%
Class A with 3.25% Maximum Sales Charge		—			—			(8.10	)		0.55			2.23
Class C at NAV		08/31/2010			08/31/2010			(5.69	)		0.50			1.99
Class C with 1% Maximum Deferred Sales Charge		—			—			(6.60	)		0.50			1.99
Class I at NAV		08/31/2010			08/31/2010			(4.79	)		1.51			2.87
Class R at NAV		12/01/2010			08/31/2010			(5.29	)		1.01			2.37
Class R6 at NAV		05/31/2017			08/31/2010			(4.84	)		1.57			2.91
ICE BofA 3-Month U.S. Treasury Bill Index		—			—			0.78	%		1.16	%		0.70	%
% Total Annual Operating Expense Ratios3	Class A			Class C			Class I			Class R			Class R6
Gross		1.57	%		2.27	%		1.27	%		1.77	%		1.24	%
Net		1.46			2.16			1.16			1.66			1.13

Growth of $10,000

This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index.

Growth of Investment2	Amount Invested		Period Beginning		At NAV		With Maximum Sales Charge
Class C		$10,000		10/31/2012		$12,174		N.A.
Class I, at minimum investment		$1,000,000		10/31/2012		$1,327,242		N.A.
Class R		$10,000		10/31/2012		$12,639		N.A.
Class R6, at minimum investment		$5,000,000		10/31/2012		$6,661,987		N.A.

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

3

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Fund Profile

Asset Allocation (% of net assets)¹

Foreign Currency Exposure (% of net assets)²

Singapore	6.1	%
Ukraine	4.4
Dominican Republic	3.8
Serbia	3.5
Uzbekistan	3.3
Iceland	3.3
Australia	2.9
Kazakhstan	2.2
Uruguay	2.0
Japan	2.0
South Korea	1.5
Brazil	1.5
New Zealand	1.3
Uganda	1.1
Other	0.1	**
Chile	-1.4
India	-1.8
Bahrain	-3.2
Saudi Arabia	-3.7
Malaysia	-3.8
Thailand	-4.0
Oman	-5.4
Philippines	-6.1
South Africa	-7.3
Euro	-7.3
China	-7.8
United Arab Emirates	-11.2
Total Long	42.9
Total Short	-66.9
Total Net	-24.0

Footnotes:

Fund invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund. References to investments are to the Portfolio’s holdings.

¹  Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets.

²  Currency exposures include all foreign exchange denominated assets, currency derivatives and commodities (including commodity derivatives). Total exposures may exceed 100% due to implicit leverage created by derivatives.

* Net of securities sold short.

** Includes amounts each less than 1.0% or –1.0%, as applicable.

4

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Endnotes and Additional Disclosures

† The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.

¹  ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE^® BofA^® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA^® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.

²  Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.

Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.

Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.

³  Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 2/28/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower.

Fund profile subject to change due to active management.

Additional Information

A long position is the purchase of an investment with the expectation that it will rise in value.

A short position is the sale of a borrowed investment with the expectation that it will decline in value.

5

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Fund Expenses

Example

As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).

Actual Expenses

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.

	Beginning Account Value (5/1/22)		Ending Account Value (10/31/22)		Expenses Paid During Period* (5/1/22 – 10/31/22)		Annualized Expense Ratio
Actual
Class A	$	1,000.00	$	957.60		$7.50**		1.52	%
Class C	$	1,000.00	$	954.50		$10.94**		2.22	%
Class I	$	1,000.00	$	959.20		$6.02**		1.22	%
Class R	$	1,000.00	$	956.10		$8.48**		1.72	%
Class R6	$	1,000.00	$	958.20		$5.87**		1.19	%
Hypothetical
(5% return per year before expenses)
Class A	$	1,000.00	$	1,017.54		$7.73**		1.52	%
Class C	$	1,000.00	$	1,014.01		$11.27**		2.22	%
Class I	$	1,000.00	$	1,019.06		$6.21**		1.22	%
Class R	$	1,000.00	$	1,016.53		$8.74**		1.72	%
Class R6	$	1,000.00	$	1,019.21		$6.06**		1.19	%

* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on April 30, 2022. The Example reflects the expenses of both the Fund and the Portfolio.

** Absent an allocation of certain expenses to an affiliate, the expenses would be higher.

6

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Statement of Assets and Liabilities

Assets	October 31, 2022
Investment in Global Macro Absolute Return Advantage Portfolio, at value (identified cost $1,838,477,569)	$	1,523,429,198
Receivable for Fund shares sold		3,657,530
Receivable from affiliate		105,649
Total assets	$	1,527,192,377
Liabilities
Payable for Fund shares redeemed	$	6,007,550
Payable to affiliates:
Distribution and service fees		46,677
Trustees’ fees		43
Accrued expenses		399,981
Total liabilities	$	6,454,251
Net Assets	$	1,520,738,126
Sources of Net Assets
Paid-in capital	$	1,913,457,863
Accumulated loss		(392,719,737	)
Net Assets	$	1,520,738,126
Class A Shares
Net Assets	$	151,817,942
Shares Outstanding		16,006,605
Net Asset Value and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)	$	9.48
Maximum Offering Price Per Share
(100 ÷ 96.75 of net asset value per share)	$	9.80
Class C Shares
Net Assets	$	10,906,460
Shares Outstanding		1,181,091
Net Asset Value and Offering Price Per Share*
(net assets ÷ shares of beneficial interest outstanding)	$	9.23
Class I Shares
Net Assets	$	803,280,884
Shares Outstanding		83,363,596
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)	$	9.64
Class R Shares
Net Assets	$	1,339,614
Shares Outstanding		143,153
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)	$	9.36

7 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Statement of Assets and Liabilities — continued

Class R6 Shares	October 31, 2022
Net Assets	$	553,393,226
Shares Outstanding		57,445,010
Net Asset Value, Offering Price and Redemption Price Per Share
(net assets ÷ shares of beneficial interest outstanding)	$	9.63

On sales of $50,000 or more, the offering price of Class A shares is reduced.

* Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge.

8 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Statement of Operations

Investment Income	Year Ended October 31, 2022
Dividend income allocated from Portfolio (net of foreign taxes withheld of $227,489)	$	4,368,259
Interest and other income allocated from Portfolio (net of foreign taxes withheld of $886,563)		122,569,797
Expenses, excluding interest and dividend expense, allocated from Portfolio		(17,660,927	)
Interest and dividend expense allocated from Portfolio		(2,825,239	)
Total investment income from Portfolio	$	106,451,890
Expenses
Distribution and service fees:
Class A	$	990,119
Class C		124,443
Class R		6,740
Trustees’ fees and expenses		500
Custodian fee		62,000
Transfer and dividend disbursing agent fees		1,283,727
Legal and accounting services		56,443
Printing and postage		422,059
Registration fees		176,217
Miscellaneous		25,620
Total expenses	$	3,147,868
Deduct:
Waiver and/or reimbursement of expenses by affiliate	$	1,771,456
Total expense reductions	$	1,771,456
Net expenses	$	1,376,412
Net investment income	$	105,075,478
Realized and Unrealized Gain (Loss) from Portfolio
Net realized gain (loss):
Investment transactions (net of foreign capital gains taxes of $186,558)	$	(103,712,546	)
Securities sold short		8,199,970
Futures contracts		36,460,558
Swap contracts		142,540,782
Foreign currency transactions		(9,997,734	)
Forward foreign currency exchange contracts		70,927,415
Non-deliverable bond forward contracts		(33,715,874	)
Net realized gain	$	110,702,571
Change in unrealized appreciation (depreciation):
Investments (including net decrease in accrued foreign capital gains taxes of $24,277)	$	(371,113,211	)
Securities sold short		6,754,695
Futures contracts		9,503,187
Swap contracts		48,452,731
Foreign currency		(9,965	)
Forward foreign currency exchange contracts		5,313,591
Non-deliverable bond forward contracts		3,185,756
Net change in unrealized appreciation (depreciation)	$	(297,913,216	)
Net realized and unrealized loss	$	(187,210,645	)
Net decrease in net assets from operations	$	(82,135,167	)

9 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Statements of Changes in Net Assets

	Year Ended October 31,
Increase (Decrease) in Net Assets	2022			2021
From operations:
Net investment income	$	105,075,478		$	140,429,069
Net realized gain (loss)		110,702,571			(39,662,102	)
Net change in unrealized appreciation (depreciation)		(297,913,216	)		57,873,936
Net increase (decrease) in net assets from operations	$	(82,135,167	)	$	158,640,903
Distributions to shareholders:
Class A	$	(28,376,973	)	$	(41,471,150	)
Class C		(502,076	)		(744,070	)
Class I		(38,629,833	)		(72,890,969	)
Class R		(60,698	)		(69,913	)
Class R6		(30,233,189	)		(40,092,547	)
Total distributions to shareholders	$	(97,802,769	)	$	(155,268,649	)
Transactions in shares of beneficial interest:
Class A	$	(485,597,806	)	$	(85,015,295	)
Class C		(1,857,675	)		(6,984,503	)
Class I		50,348,589			(458,377,429	)
Class R		76,078			(111,022	)
Class R6		(28,870,732	)		(60,189,348	)
Net decrease in net assets from Fund share transactions	$	(465,901,546	)	$	(610,677,597	)
Net decrease in net assets	$	(645,839,482	)	$	(607,305,343	)
Net Assets
At beginning of year	$	2,166,577,608		$	2,773,882,951
At end of year	$	1,520,738,126		$	2,166,577,608

10 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Financial Highlights

	Class A
	Year Ended October 31,
	2022			2021			2020			2019			2018
Net asset value — Beginning of year	$	10.450		$	10.450		$	10.250		$	9.510		$	10.560
Income (Loss) From Operations
Net investment income(1)	$	0.531		$	0.524		$	0.549		$	0.564		$	0.479
Net realized and unrealized gain (loss)		(1.038	)		0.049			0.066			0.176			(1.239	)
Total income (loss) from operations	$	(0.507	)	$	0.573		$	0.615		$	0.740		$	(0.760	)
Less Distributions
From net investment income	$	(0.463	)	$	(0.573	)	$	(0.415	)	$	—		$	(0.290	)
Total distributions	$	(0.463	)	$	(0.573	)	$	(0.415	)	$	—		$	(0.290	)
Net asset value — End of year	$	9.480		$	10.450		$	10.450		$	10.250		$	9.510
Total Return(2)(3)		(5.02	)%		5.52	%		6.15	%		7.78	%		(7.40	)%
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$	151,818		$	676,641		$	758,795		$	789,497		$	122,402
Ratios (as a percentage of average daily net assets):(4)
Expenses(3)(5)		1.51	%(6)		1.46	%		1.44	%		1.57	%		1.45	%
Net investment income		5.31	%		5.03	%		5.35	%		5.70	%		4.73	%
Portfolio Turnover of the Portfolio		94	%		82	%		80	%		71	%		75	%

⁽¹⁾  Computed using average shares outstanding.

⁽²⁾  Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.

⁽³⁾  The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

⁽⁴⁾  Includes the Fund’s share of the Portfolio’s allocated expenses.

⁽⁵⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.22% and 0.07% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽⁶⁾  Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

11 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Financial Highlights — continued

	Class C
	Year Ended October 31,
	2022			2021			2020			2019			2018
Net asset value — Beginning of year	$	10.180		$	10.150		$	9.930		$	9.270		$	10.330
Income (Loss) From Operations
Net investment income(1)	$	0.495		$	0.441		$	0.468		$	0.453		$	0.399
Net realized and unrealized gain (loss)		(1.059	)		0.043			0.056			0.207			(1.214	)
Total income (loss) from operations	$	(0.564	)	$	0.484		$	0.524		$	0.660		$	(0.815	)
Less Distributions
From net investment income	$	(0.386	)	$	(0.454	)	$	(0.304	)	$	—		$	(0.245	)
Total distributions	$	(0.386	)	$	(0.454	)	$	(0.304	)	$	—		$	(0.245	)
Net asset value — End of year	$	9.230		$	10.180		$	10.150		$	9.930		$	9.270
Total Return(2)(3)		(5.69	)%		4.85	%		5.29	%		7.12	%		(8.08	)%
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$	10,906		$	14,020		$	20,894		$	30,108		$	59,782
Ratios (as a percentage of average daily net assets):(4)
Expenses(3)(5)		2.21	%(6)		2.16	%		2.14	%		2.29	%		2.15	%
Net investment income		5.16	%		4.33	%		4.69	%		4.80	%		4.03	%
Portfolio Turnover of the Portfolio		94	%		82	%		80	%		71	%		75	%

⁽¹⁾  Computed using average shares outstanding.

⁽²⁾  Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.

⁽³⁾  The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

⁽⁴⁾  Includes the Fund’s share of the Portfolio’s allocated expenses.

⁽⁵⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽⁶⁾  Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

12 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Financial Highlights — continued

	Class I
	Year Ended October 31,
	2022			2021			2020			2019			2018
Net asset value — Beginning of year	$	10.620		$	10.610		$	10.390		$	9.610		$	10.680
Income (Loss) From Operations
Net investment income(1)	$	0.619		$	0.565		$	0.592		$	0.570		$	0.514
Net realized and unrealized gain (loss)		(1.099	)		0.047			0.062			0.216			(1.250	)
Total income (loss) from operations	$	(0.480	)	$	0.612		$	0.654		$	0.786		$	(0.736	)
Less Distributions
From net investment income	$	(0.500	)	$	(0.602	)	$	(0.434	)	$	(0.006	)	$	(0.334	)
Total distributions	$	(0.500	)	$	(0.602	)	$	(0.434	)	$	(0.006	)	$	(0.334	)
Net asset value — End of year	$	9.640		$	10.620		$	10.610		$	10.390		$	9.610
Total Return(2)(3)		(4.79	)%		5.93	%		6.36	%		8.18	%		(7.12	)%
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$	803,281		$	836,706		$	1,293,211		$	2,075,104		$	3,731,477
Ratios (as a percentage of average daily net assets):(4)
Expenses(3)(5)		1.21	%(6)		1.16	%		1.14	%		1.29	%		1.15	%
Net investment income		6.22	%		5.35	%		5.70	%		5.81	%		5.04	%
Portfolio Turnover of the Portfolio		94	%		82	%		80	%		71	%		75	%

⁽¹⁾  Computed using average shares outstanding.

⁽²⁾  Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

⁽³⁾  The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

⁽⁴⁾  Includes the Fund’s share of the Portfolio’s allocated expenses.

⁽⁵⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽⁶⁾  Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

13 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Financial Highlights — continued

	Class R
	Year Ended October 31,
	2022			2021			2020			2019			2018
Net asset value — Beginning of year	$	10.330		$	10.330		$	10.120		$	9.410		$	10.440
Income (Loss) From Operations
Net investment income(1)	$	0.554		$	0.497		$	0.526		$	0.515		$	0.451
Net realized and unrealized gain (loss)		(1.073	)		0.055			0.064			0.195			(1.217	)
Total income (loss) from operations	$	(0.519	)	$	0.552		$	0.590		$	0.710		$	(0.766	)
Less Distributions
From net investment income	$	(0.451	)	$	(0.552	)	$	(0.380	)	$	—		$	(0.264	)
Total distributions	$	(0.451	)	$	(0.552	)	$	(0.380	)	$	—		$	(0.264	)
Net asset value — End of year	$	9.360		$	10.330		$	10.330		$	10.120		$	9.410
Total Return(2)(3)		(5.29	)%		5.36	%		5.97	%		7.55	%		(7.53	)%
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$	1,340		$	1,398		$	1,506		$	1,566		$	1,801
Ratios (as a percentage of average daily net assets):(4)
Expenses(3)(5)		1.71	%(6)		1.66	%		1.64	%		1.79	%		1.65	%
Net investment income		5.71	%		4.82	%		5.18	%		5.35	%		4.50	%
Portfolio Turnover of the Portfolio		94	%		82	%		80	%		71	%		75	%

⁽¹⁾  Computed using average shares outstanding.

⁽²⁾  Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

⁽³⁾  The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

⁽⁴⁾  Includes the Fund’s share of the Portfolio’s allocated expenses.

⁽⁵⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽⁶⁾  Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

14 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Financial Highlights — continued

	Class R6
	Year Ended October 31,
	2022			2021			2020			2019			2018
Net asset value — Beginning of year	$	10.630		$	10.620		$	10.410		$	9.640		$	10.690
Income (Loss) From Operations
Net investment income(1)	$	0.619		$	0.567		$	0.576		$	0.579		$	0.534
Net realized and unrealized gain (loss)		(1.104	)		0.057			0.079			0.207			(1.245	)
Total income (loss) from operations	$	(0.485	)	$	0.624		$	0.655		$	0.786		$	(0.711	)
Less Distributions
From net investment income	$	(0.515	)	$	(0.614	)	$	(0.445	)	$	(0.016	)	$	(0.339	)
Total distributions	$	(0.515	)	$	(0.614	)	$	(0.445	)	$	(0.016	)	$	(0.339	)
Net asset value — End of year	$	9.630		$	10.630		$	10.620		$	10.410		$	9.640
Total Return(2)(3)		(4.84	)%		5.94	%		6.56	%		8.07	%		(6.88	)%
Ratios/Supplemental Data
Net assets, end of year (000’s omitted)	$	553,393		$	637,812		$	699,477		$	140,294		$	173,234
Ratios (as a percentage of average daily net assets):(4)
Expenses(3)(5)		1.18	%(6)		1.13	%		1.11	%		1.26	%		1.10	%
Net investment income		6.20	%		5.36	%		5.53	%		5.86	%		5.30	%
Portfolio Turnover of the Portfolio		94	%		82	%		80	%		71	%		75	%

⁽¹⁾  Computed using average shares outstanding.

⁽²⁾  Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

⁽³⁾  The investment adviser and administrator of the Fund and/or the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.11%, 0.11%, 0.15%, 0.18% and 0.10% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

⁽⁴⁾  Includes the Fund’s share of the Portfolio’s allocated expenses.

⁽⁵⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.24% and 0.08% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽⁶⁾  Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

15 See Notes to Financial Statements.

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Notes to Financial Statements

1  Significant Accounting Policies

Eaton Vance Global Macro Absolute Return Advantage Fund (the Fund) is a non-diversified series of Eaton Vance Mutual Funds Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers five classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after their purchase as described in the Fund’s prospectus. Class I, Class R and Class R6 shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer and dividend disbursing agent fees on the Statement of Operations, are not allocated to Class R6 shares. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund invests all of its assets in interests of Global Macro Absolute Return Advantage Portfolio (the Portfolio), a Massachusetts business trust, having the same investment objective and policies as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (78.3% at October 31, 2022). The performance of the Fund is directly affected by the performance of the Portfolio. The consolidated financial statements of the Portfolio, including the consolidated portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation — Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio’s Notes to Consolidated Financial Statements, which are included elsewhere in this report.

B  Income — The Fund’s net investment income or loss consists of the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.

C  Federal and Other Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.

In addition to the requirements of the Internal Revenue Code, the Fund may also be required to recognize its pro-rata share of the capital gains taxes incurred by the Portfolio. In doing so, the daily net asset value would reflect the Fund’s pro-rata share of the estimated reserve for such taxes incurred by the Portfolio.

As of October 31, 2022, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

D  Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.

E  Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

F  Indemnifications — Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

G  Other — Investment transactions are accounted for on a trade date basis.

16

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Notes to Financial Statements — continued

2  Distributions to Shareholders and Income Tax Information

It is the present policy of the Fund to make at least one distribution annually (normally in December) of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions to shareholders are recorded on the ex-dividend date. Distributions are declared separately for each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.

The tax character of distributions declared for the years ended October 31, 2022 and October 31, 2021 was as follows:

	Year Ended October 31,
	2022		2021
Ordinary income	$	97,802,769	$	155,268,649

During the year ended October 31, 2022, accumulated loss was increased by $17,855,430 and paid-in capital was increased by $17,855,430 due to the Fund’s use of equalization accounting. Tax equalization accounting allows the Fund to treat as a distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable income and net capital gains. These reclassifications had no effect on the net assets or net asset value per share of the Fund.

As of October 31, 2022, the components of distributable earnings (accumulated loss) on a tax basis were as follows:

Undistributed ordinary income	$	55,663,112
Deferred capital losses		(55,356,654	)
Net unrealized depreciation		(393,026,195	)
Accumulated loss	$	(392,719,737	)

At October 31, 2022, the Fund, for federal income tax purposes, had deferred capital losses of $55,356,654 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2022, $10,365,884 are short-term and $44,990,770 are long-term.

3  Investment Adviser and Administration Fee and Other Transactions with Affiliates

The investment adviser and administration fee is earned by Eaton Vance Management (EVM), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory and administrative services rendered to the Fund. The investment adviser and administration fee is computed at an annual rate as a percentage of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser and receive an advisory fee as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $500 million		1.000	%
$500 million but less than $1 billion		0.950	%
$1 billion but less than $2.5 billion		0.925	%
$2.5 billion but less than $5 billion		0.900	%
$5 billion and over		0.880	%

For the year ended October 31, 2022, the Fund incurred no investment adviser and administration fee on such assets. Pursuant to an investment sub-advisory agreement effective March 16, 2022, EVM has delegated a portion of the investment management of the Fund to Eaton Vance Advisers International Ltd. (EVAIL), an affiliate of EVM and an indirect, wholly-owned subsidiary of Morgan Stanley. EVAIL uses the portfolio management, research and other resources of its affiliate, MSIM Fund Management (Ireland) Limited (MSIM FMIL), to render investment advisory services to the Fund. MSIM FMIL has entered into a Memorandum of Understanding with EVAIL pursuant to which MSIM FMIL is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. EVM pays EVAIL a

17

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Notes to Financial Statements — continued

portion of its investment adviser and administration fee for sub-advisory services provided to the Fund. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The Portfolio has engaged Boston Management and Research (BMR) to render investment advisory services. See Note 2 of the Portfolio’s Notes to Consolidated Financial Statements which are included elsewhere in this report.

EVM has agreed to reimburse the Fund’s expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding such expenses as borrowing costs, taxes or litigation expenses) exceed 1.35%, 2.05%, 1.05%, 1.55% and 1.02% of the Fund’s average daily net assets for Class A, Class C, Class I, Class R and Class R6, respectively. This agreement may be changed or terminated after February 28, 2023. Pursuant to this agreement, EVM was allocated $1,771,456 of the Fund’s operating expenses for the year ended October 31, 2022.

EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended October 31, 2022, EVM earned $76,343 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Statement of Operations. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund’s principal underwriter, received $2,624 as its portion of the sales charge on sales of Class A shares for the year ended October 31, 2022. EVD also received distribution and service fees from Class A, Class C and Class R shares (see Note 4) and contingent deferred sales charges (see Note 5).

Trustees and officers of the Fund who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.

4  Distribution Plans

The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.30% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the year ended October 31, 2022 amounted to $990,119 for Class A shares.

The Fund also has in effect distribution plans for Class C shares (Class C Plan) and Class R shares (Class R Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the year ended October 31, 2022, the Fund paid or accrued to EVD $93,332 for Class C shares. The Class R Plan requires the Fund to pay EVD an amount up to 0.50% per annum of its average daily net assets attributable to Class R shares for providing ongoing distribution services and facilities to the Fund. The Trustees of the Trust have currently limited Class R distribution payments to 0.25% per annum of the average daily net assets attributable to Class R shares. For the year ended October 31, 2022, the Fund paid or accrued to EVD $3,370 for Class R shares.

Pursuant to the Class C and Class R Plans, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the year ended October 31, 2022 amounted to $31,111 and $3,370 for Class C and Class R shares, respectively.

Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).

5  Contingent Deferred Sales Charges

A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within 12 months of purchase. Class A shares may be subject to a 0.75% (1% prior to April 29, 2022) CDSC if redeemed within 12 months (18 months prior to April 29, 2022) of purchase (depending on the circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the year ended October 31, 2022, the Fund was informed that EVD received approximately $500 of CDSCs paid by Class C shareholders and no CDSCs paid by Class A shareholders.

6  Investment Transactions

For the year ended October 31, 2022, increases and decreases in the Fund’s investment in the Portfolio aggregated $228,044,410 and $791,453,898, respectively.

18

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Notes to Financial Statements — continued

7  Shares of Beneficial Interest

The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares, including direct exchanges pursuant to share class conversions for all periods presented, were as follows:

	Year Ended October 31, 2022						Year Ended October 31, 2021
	Shares			Amount			Shares			Amount
Class A
Sales		15,388,094		$	147,798,597			24,515,331		$	254,902,936
Issued to shareholders electing to receive payments of distributions in Fund shares		2,781,624			28,094,404			4,018,137			41,025,183
Redemptions		(66,895,264	)		(661,490,807	)		(36,395,330	)		(380,943,414	)
Net decrease		(48,725,546	)	$	(485,597,806	)		(7,861,862	)	$	(85,015,295	)
Class C
Sales		122,116		$	1,179,889			126,078		$	1,282,209
Issued to shareholders electing to receive payments of distributions in Fund shares		50,650			500,931			74,381			743,814
Redemptions		(368,782	)		(3,538,495	)		(882,122	)		(9,010,526	)
Net decrease		(196,016	)	$	(1,857,675	)		(681,663	)	$	(6,984,503	)
Class I
Sales		45,214,100		$	450,703,862			31,282,867		$	329,681,750
Issued to shareholders electing to receive payments of distributions in Fund shares		3,499,514			35,835,019			5,345,504			55,272,515
Redemptions		(44,160,394	)		(436,190,292	)		(79,752,936	)		(843,331,694	)
Net increase (decrease)		4,553,220		$	50,348,589			(43,124,565	)	$	(458,377,429	)
Class R
Sales		26,070		$	249,901			23,741		$	243,953
Issued to shareholders electing to receive payments of distributions in Fund shares		6,082			60,698			6,922			69,913
Redemptions		(24,426	)		(234,521	)		(41,015	)		(424,888	)
Net increase (decrease)		7,726		$	76,078			(10,352	)	$	(111,022	)
Class R6
Sales		16,341,304		$	158,889,083			39,296,680		$	417,048,516
Issued to shareholders electing to receive payments of distributions in Fund shares		1,028,651			10,523,095			1,466,855			15,181,951
Redemptions		(19,941,518	)		(198,282,910	)		(46,594,746	)		(492,419,815	)
Net decrease		(2,571,563	)	$	(28,870,732	)		(5,831,211	)	$	(60,189,348	)

19

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Report of Independent Registered Public Accounting Firm

To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton Vance Global Macro Absolute Return Advantage Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Eaton Vance Global Macro Absolute Return Advantage Fund (the “Fund”) (one of the funds constituting Eaton Vance Mutual Funds Trust), as of October 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

December 29, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

20

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Federal Tax Information (Unaudited)

The Form 1099-DIV you receive in February 2023 will show the tax status of all distributions paid to your account in calendar year 2022. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the foreign tax credit and 163(j) interest dividends.

Qualified Dividend Income. For the fiscal year ended October 31, 2022, the Fund designates approximately $1,489,505, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.

Foreign Tax Credit. For the fiscal year ended October 31, 2022, the Fund paid foreign taxes of $218,829 and recognized foreign source income of $86,517,982.

163(j) Interest Dividends. For the fiscal year ended October 31, 2022, the Fund designates 15.31% of distributions from net investment income as a 163(j) interest dividend.

21

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments

Asset-Backed Securities — 2.3%
Security	Principal Amount (000’s omitted)		Value
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(2)	$	48,045	$	43,927,324
Total Asset-Backed Securities (identified cost $47,355,203)			$	43,927,324
Collateralized Mortgage Obligations — 2.2%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Interest Only:(3)
Series 2770, Class SH, 3.688%, (7.10% - 1 mo. USD LIBOR), 3/15/34(4)	$	752	$	86,478
Series 4791, Class JI, 4.00%, 5/15/48		8,123		1,614,817
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2020-DNA4, Class B1, 9.586%, (1 mo. USD LIBOR + 6.00%), 8/25/50(1)(5)		7,326		7,704,433
Series 2020-HQA4, Class B1, 8.836%, (1 mo. USD LIBOR + 5.25%), 9/25/50(1)(5)		3,561		3,515,003
Series 2022-HQA1, Class B1, 9.997%, (30-day average SOFR + 7.00%), 3/25/42(1)(5)		6,303		5,940,693
Series 2022-HQA1, Class M1B, 6.497%, (30-day average SOFR + 3.50%), 3/25/42(1)(5)		2,521		2,415,190
Series 2022-HQA1, Class M2, 8.247%, (30-day average SOFR + 5.25%), 3/25/42(1)(5)		5,043		4,742,444
Federal National Mortgage Association:
Interest Only:(3)
Series 424, Class C8, 3.50%, 2/25/48		10,284		1,852,993
Series 2010-109, Class PS, 3.014%, (6.60% -1 mo. USD LIBOR), 10/25/40(4)		1,606		127,575
Series 2018-21, Class IO, 3.00%, 4/25/48		8,924		1,667,195
Series 2018-58, Class BI, 4.00%, 8/25/48		1,471		280,993
Federal National Mortgage Association Connecticut Avenue Securities:
Series 2021-R02, Class 2B1, 6.297%, (30-day average SOFR + 3.30%), 11/25/41(1)(5)		9,233		8,154,033
Series 2022-R02, Class 2B2, 10.647%, (30-day average SOFR + 7.65%), 1/25/42(1)(5)		4,412		4,021,166
Total Collateralized Mortgage Obligations (identified cost $60,680,189)			$	42,123,013
Common Stocks — 4.6%
Security	Shares		Value
Argentina — 0.6%
Banco Macro S.A. ADR(6)		123,900	$	1,839,915

Security	Shares		Value
Argentina (continued)
Grupo Financiero Galicia S.A. ADR		183,900	$	1,427,064
IRSA Inversiones y Representaciones S.A. ADR(6)		133,500		570,045
Loma Negra Cia Industrial Argentina S.A. ADR		281,200		1,895,288
Pampa Energia S.A. ADR(6)		121,000		3,045,570
Telecom Argentina S.A. ADR(6)		335,800		1,400,286
Transportadora de Gas del Sur S.A. ADR(6)		225,961		1,959,082
			$	12,137,250
Bulgaria — 0.6%
Eurohold Bulgaria AD(6)		11,358,027	$	11,079,927
			$	11,079,927
Cyprus — 0.6%
Bank of Cyprus Holdings PLC(6)		8,424,416	$	12,085,371
Galaxy Cosmos Mezz PLC(6)		48,441		7,822
Sunrisemezz PLC(6)		272,828		22,082
			$	12,115,275
Egypt — 0.0%(7)
Taaleem Management Services Co. SAE(6)		2,678,490	$	398,471
			$	398,471
Greece — 1.0%
Alpha Services and Holdings S.A.(6)		1,307,900	$	1,211,239
Eurobank Ergasias Services and Holdings S.A.(6)		2,207,700		2,179,446
Hellenic Telecommunications Organization S.A.		227,300		3,569,643
JUMBO S.A.		145,300		2,063,780
Motor Oil (Hellas) Corinth Refineries S.A.		78,100		1,342,306
Mytilineos S.A.		102,500		1,718,742
National Bank of Greece S.A.(6)		460,300		1,667,793
OPAP S.A.		161,100		1,973,981
Piraeus Financial Holdings S.A.(6)		1,909,800		2,354,403
Public Power Corp. S.A.(6)		132,900		838,887
Titan Cement International S.A.		6,605		73,813
			$	18,994,033
Iceland — 0.4%
Arion Banki HF(1)		1,970,378	$	2,206,011
Eik Fasteignafelag HF		6,056,328		546,861
Eimskipafelag Islands HF		493,527		1,869,628
Hagar HF		1,926,423		962,176
Islandsbanki HF		1,104,783		979,657
Reginn HF		2,864,793		576,788

22 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security	Shares		Value
Iceland (continued)
Reitir Fasteignafelag HF		1,754,792	$	1,118,181
Siminn HF		8,447,061		663,573
			$	8,922,875
Indonesia — 0.0%(7)
Bayan Resources Tbk PT		42,800	$	201,446
			$	201,446
Japan — 0.4%
Mizuho Financial Group, Inc.		172,700	$	1,867,830
Resona Holdings, Inc.		328,000		1,236,216
SBI Holdings, Inc.		36,900		666,564
Sumitomo Mitsui Financial Group, Inc.		66,500		1,867,424
Tokio Marine Holdings, Inc.		108,200		1,958,978
			$	7,597,012
United Arab Emirates — 0.1%
Dubai Electricity & Water Authority PJSC		2,009,569	$	1,335,382
			$	1,335,382
United Kingdom — 0.0%(7)
Tesnik Cuatro, Ltd.(8)		584,285	$	467,194
			$	467,194
Vietnam — 0.9%
Bank for Foreign Trade of Vietnam JSC		371,402	$	1,097,518
Binh Minh Plastics JSC		45,300		110,911
Coteccons Construction JSC		148,570		251,243
FPT Corp.		1,176,500		3,829,756
Ho Chi Minh City Infrastructure Investment JSC(6)		868,000		528,675
Hoa Phat Group JSC		1,601,821		1,007,019
KIDO Group Corp.		38,090		94,198
Masan Group Corp.		167,040		574,259
Mobile World Investment Corp.		1,116,000		2,479,541
Phu Nhuan Jewelry JSC		357,800		1,531,974
Refrigeration Electrical Engineering Corp.		501,239		1,705,019
SSI Securities Corp.		280,688		183,995
Vietnam Dairy Products JSC		352,996		1,114,213
Vietnam Prosperity JSC Bank(6)		1,332,019		937,747
Vietnam Technological & Commercial Joint Stock
Bank(6)		666,300		705,768
Vingroup JSC(6)		458,952		1,022,588
			$	17,174,424
Total Common Stocks (identified cost $105,290,208)			$	90,423,289

Convertible Bonds — 0.4%
Security		Principal Amount (000’s omitted)		Value
Bermuda — 0.2%
Liberty Latin America, Ltd., 2.00%, 7/15/24	USD		4,760	$	4,239,375
				$	4,239,375
India — 0.2%
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(9)	USD		4,605	$	3,166,513
				$	3,166,513
Total Convertible Bonds (identified cost $9,367,085)				$	7,405,888
Foreign Corporate Bonds — 7.9%
Security		Principal Amount (000’s omitted)		Value
Argentina — 0.0%(7)
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1)	USD		448	$	418,159
				$	418,159
Armenia — 0.2%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(9)	USD		5,041	$	4,773,777
				$	4,773,777
Brazil — 1.1%
Braskem America Finance Co., 7.125%, 7/22/41(9)	USD		1,778	$	1,558,646
Coruripe Netherlands BV:
10.00%, 2/10/27(1)	USD		1,194		994,011
10.00%, 2/10/27(9)	USD		2,847		2,370,143
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(9)	USD		1,949		1,489,781
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1)	USD		5,892		4,511,740
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1)	USD		1,883		1,572,305
Natura Cosmeticos S.A., 4.125%, 5/3/28(9)	USD		4,599		3,589,520
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(9)	USD		530		518,511
Petrobras Global Finance BV, 6.90%, 3/19/49	USD		736		609,728
Vale S.A., 2.762%(10)(11)	BRL		64,850		4,111,575
				$	21,325,960

23 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Bulgaria — 0.6%
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(9)	EUR		1,742	$	1,250,038
Eurohold Bulgaria AD, 6.50%, 12/7/22(9)	EUR		9,718		9,581,626
				$	10,831,664
Chile — 0.6%
AES Andes S.A.:
6.35% to 4/7/25, 10/7/79(9)(12)	USD		954	$	776,402
7.125% to 4/7/24, 3/26/79(9)(12)	USD		1,414		1,162,621
Latam Airlines Group S.A., 13.375%, 10/15/27(1)	USD		2,840		2,795,100
Mercury Chile Holdco, LLC, 6.50%, 1/24/27(9)	USD		2,278		1,882,881
VTR Comunicaciones SpA:
4.375%, 4/15/29(9)	USD		4,592		2,578,844
5.125%, 1/15/28(9)	USD		4,579		2,919,044
				$	12,114,892
China — 0.1%
KWG Group Holdings, Ltd., 7.875%, 8/30/24	USD		2,385	$	423,246
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9)(13)	USD		7,800		411,496
Sunac China Holdings, Ltd.:
6.50%, 7/9/23(9)(13)	USD		2,800		174,336
8.35%, 4/19/23(9)(13)	USD		5,201		324,845
Times China Holdings, Ltd.:
5.55%, 6/4/24(9)	USD		6,284		558,671
6.75%, 7/16/23(9)	USD		4,471		534,048
				$	2,426,642
Georgia — 0.3%
Georgia Capital JSC:
6.125%, 3/9/24(1)	USD		2,580	$	2,420,974
6.125%, 3/9/24(9)	USD		2,988		2,803,826
				$	5,224,800
Honduras — 0.1%
Inversiones Atlantida S.A., 7.50%, 5/19/26(9)	USD		2,687	$	2,408,896
				$	2,408,896
Iceland — 1.3%
Arion Banki HF, 6.00%, 4/12/24(9)	ISK		1,720,000	$	11,820,144
Islandsbanki HF, 6.40%, 10/26/23	ISK		900,000		6,206,682
Landsbankinn HF, 5.00%, 11/23/23(9)	ISK		1,020,000		6,955,457
WOW Air HF:
0.00%(8)(10)(13)	EUR		121		0
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(13)	EUR		5,500		0
				$	24,982,283

Security		Principal Amount (000’s omitted)		Value
India — 0.4%
JSW Infrastructure, Ltd., 4.95%, 1/21/29(9)	USD		5,576	$	4,153,095
JSW Steel, Ltd., 5.05%, 4/5/32(9)	USD		2,277		1,435,216
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(9)	USD		2,214		1,855,597
				$	7,443,908
Luxembourg — 0.1%
Gol Finance S.A., 8.00%, 6/30/26(9)	USD		2,020	$	1,186,124
				$	1,186,124
Mexico — 0.4%
Alpha Holding S.A. de CV:
9.00%, 2/10/25(9)(13)	USD		5,879	$	88,185
10.00%, 12/19/22(9)(13)	USD		2,864		42,960
Braskem Idesa SAPI, 6.99%, 2/20/32(9)	USD		4,630		3,108,096
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(9)(13)	USD		2,297		1,412,499
Total Play Telecomunicaciones S.A. de CV, 7.50%, 11/12/25(9)	USD		3,170		2,686,119
Trust Fibra Uno, 4.869%, 1/15/30(9)	USD		1,951		1,474,371
				$	8,812,230
Moldova — 0.3%
Aragvi Finance International DAC, 8.45%, 4/29/26(9)	USD		8,981	$	6,313,104
				$	6,313,104
Morocco — 0.1%
OCP S.A., 5.125%, 6/23/51(9)	USD		4,051	$	2,493,779
				$	2,493,779
Nigeria — 0.4%
IHS Holding, Ltd., 5.625%, 11/29/26(9)	USD		2,750	$	2,097,837
IHS Netherlands Holdco BV, 8.00%, 9/18/27(9)	USD		1,348		1,053,718
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(9)	USD		4,892		3,852,695
				$	7,004,250
Paraguay — 0.3%
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1)	USD		7,075	$	5,581,963
				$	5,581,963
Peru — 0.0%(7)
PetroTal Corp., 12.00%, 2/16/24(1)(9)	USD		1,012	$	1,034,770
				$	1,034,770

24 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Saint Lucia — 0.1%
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(9)	USD		1,633	$	1,397,268
				$	1,397,268
South Africa — 0.3%
HTA Group, Ltd., 7.00%, 12/18/25(9)	USD		4,493	$	3,965,072
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(9)(14)	USD		1,725		1,742,722
				$	5,707,794
Turkey — 0.3%
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(9)	USD		6,878	$	5,492,195
				$	5,492,195
Uzbekistan — 0.9%
Ipoteka-Bank ATIB, 5.50%, 11/19/25(9)	USD		1,336	$	1,151,899
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22	UZS		177,000,000		15,875,737
				$	17,027,636
Total Foreign Corporate Bonds (identified cost $214,639,390)				$	154,002,094
Loan Participation Notes — 2.2%
Security		Principal Amount (000’s omitted)		Value
Uzbekistan — 2.2%
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(8)(9)(15)	UZS		294,368,000	$	26,358,942
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(8)(9)(15)	UZS		193,215,665		17,287,655
Total Loan Participation Notes (identified cost $48,926,709)				$	43,646,597
Reinsurance Side Cars — 1.1%
Security		Shares		Value
Eden Re II, Ltd.:
Series 2021A, 0.00%, 3/21/25(1)(8)(16)(17)			777,005	$	594,409
Series 2022A, 0.00%, 3/20/26(1)(8)(16)(17)			2,200,000		1,978,020
Series 2022B, 0.00%, 3/20/26(1)(8)(16)(17)			4,900,000		4,421,270

Security		Shares		Value
Mt. Logan Re, Ltd., Series A-1(6)(8)(17)(18)			8,600	$	6,917,664
Sussex Capital, Ltd.:
Designated Investment Series 14(6)(8)(17)(18)			1,114		805,918
Series 14, Preference Shares(6)(8)(17)(18)			7,500		5,928,142
Total Reinsurance Side Cars (identified cost $23,977,005)				$	20,645,423
Senior Floating-Rate Loans — 0.9%(19)
Borrower/Description		Principal Amount (000’s omitted)		Value
Argentina — 0.0%(7)
Desa, LLC, Term Loan, 2.50%, 6/30/24(8)(20)		$	1,204	$	608,224
				$	608,224
Mexico — 0.9%
Petroleos Mexicanos, Term Loan, 6.35%, (1 mo. USD LIBOR + 3.00%), 6/28/24		$	17,248	$	16,644,320
				$	16,644,320
Total Senior Floating-Rate Loans (identified cost $17,860,361)				$	17,252,544
Sovereign Government Bonds — 45.6%
Security		Principal Amount (000’s omitted)		Value
Albania — 0.1%
Albania Government International Bond:
3.50%, 10/9/25(9)	EUR		1,687	$	1,514,697
3.50%, 6/16/27(9)	EUR		304		264,665
3.50%, 11/23/31(9)	EUR		200		145,248
				$	1,924,610
Argentina — 0.1%
Provincia de Cordoba, 6.875%, 12/10/25(9)(21)	USD		3,381	$	2,586,564
				$	2,586,564
Armenia — 0.4%
Republic of Armenia:
3.60%, 2/2/31(9)	USD		5,818	$	3,996,326
3.95%, 9/26/29(9)	USD		4,628		3,369,925
				$	7,366,251

25 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Bahrain — 0.8%
Kingdom of Bahrain, 5.45%, 9/16/32(9)	USD		18,625	$	15,074,069
				$	15,074,069
Barbados — 2.0%
Government of Barbados, 6.50%, 10/1/29(9)	USD		43,780	$	39,519,220
				$	39,519,220
Benin — 1.4%
Benin Government International Bond:
4.875%, 1/19/32(9)	EUR		12,386	$	8,423,396
4.95%, 1/22/35(9)	EUR		4,429		2,722,599
6.875%, 1/19/52(9)	EUR		26,443		16,464,909
				$	27,610,904
Colombia — 1.3%
Titulos De Tesoreria B:
7.00%, 3/26/31	COP		104,882,200	$	14,254,590
7.00%, 6/30/32	COP		84,791,900		11,094,408
				$	25,348,998
Costa Rica — 0.6%
Costa Rica Government Bond, 9.66%, 9/30/26(9)	CRC		7,043,600	$	11,499,169
				$	11,499,169
Dominican Republic — 3.7%
Dominican Republic:
8.00%, 1/15/27(9)	DOP		128,350	$	2,013,397
8.00%, 2/12/27(9)	DOP		621,240		9,688,084
9.75%, 6/5/26(9)	DOP		26,150		450,361
12.00%, 8/8/25(1)	DOP		557,110		9,826,801
12.75%, 9/23/29(1)	DOP		1,010,500		19,069,981
13.00%, 6/9/34(9)	DOP		1,334,100		24,407,854
Dominican Republic Central Bank Notes:
8.00%, 3/12/27(9)	DOP		46,050		686,324
12.00%, 10/3/25(1)	DOP		379,500		6,681,344
				$	72,824,146
Ecuador — 0.6%
Republic of Ecuador:
1.50% to 7/31/23, 7/31/40(9)(21)	USD		5,728	$	1,633,331
1.50% to 7/31/23, 7/31/40(9)(21)	USD		20,787		6,941,348
5.50% to 7/31/23, 7/31/30(9)(21)	USD		5,470		2,931,686
				$	11,506,365

Security		Principal Amount (000’s omitted)		Value
Egypt — 1.8%
Arab Republic of Egypt:
6.375%, 4/11/31(9)	EUR		11,290	$	6,773,431
7.50%, 2/16/61(9)	USD		31,114		17,454,954
7.903%, 2/21/48(9)	USD		4,337		2,458,906
8.15%, 11/20/59(9)	USD		1,873		1,084,268
8.70%, 3/1/49(9)	USD		6,386		3,820,373
8.75%, 9/30/51(9)	USD		2,841		1,698,492
8.875%, 5/29/50(9)	USD		1,464		874,532
				$	34,164,956
El Salvador — 1.1%
Republic of El Salvador:
7.125%, 1/20/50(9)	USD		5,152	$	1,808,100
7.625%, 2/1/41(9)	USD		2,464		881,943
7.75%, 1/24/23(9)	USD		21,224		19,366,128
				$	22,056,171
Ethiopia — 0.4%
Ethiopia Government International Bond, 6.625%, 12/11/24(9)	USD		13,127	$	6,835,360
				$	6,835,360
Gabon — 0.9%
Gabon Government International Bond, 6.625%, 2/6/31(9)	USD		24,663	$	17,409,612
				$	17,409,612
Georgia — 0.2%
Georgia Government International Bond, 2.75%, 4/22/26(9)	USD		3,773	$	3,216,127
				$	3,216,127
Honduras — 1.4%
Honduras Government International Bond:
5.625%, 6/24/30(9)	USD		30,648	$	21,044,960
6.25%, 1/19/27(9)	USD		7,427		5,878,119
7.50%, 3/15/24(9)	USD		0		79
				$	26,923,158
Iceland — 1.4%
Republic of Iceland:
5.00%, 11/15/28	ISK		2,319,313	$	15,026,230
6.50%, 1/24/31	ISK		1,273,622		8,937,444

26 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Iceland (continued)
Republic of Iceland: (continued)
8.00%, 6/12/25	ISK		323,582	$	2,317,550
				$	26,281,224
Indonesia — 0.3%
Indonesia Government International Bond, 4.65%, 9/20/32	USD		5,525	$	5,125,215
				$	5,125,215
Iraq — 2.1%
Republic of Iraq:
5.80%, 1/15/28(9)	USD		39,716	$	33,899,394
6.752%, 3/9/23(9)	USD		6,856		6,766,118
				$	40,665,512
Ivory Coast — 0.1%
Ivory Coast Government International Bond:
5.25%, 3/22/30(9)	EUR		1,851	$	1,404,333
6.625%, 3/22/48(9)	EUR		1,417		891,603
				$	2,295,936
Jordan — 0.6%
Kingdom of Jordan:
5.85%, 7/7/30(9)	USD		1,433	$	1,191,210
7.375%, 10/10/47(9)	USD		13,405		10,098,442
				$	11,289,652
Lebanon — 0.4%
Lebanese Republic:
5.80%, 4/14/20(9)(13)	USD		332	$	20,743
6.00%, 1/27/23(9)(13)	USD		1,485		93,169
6.10%, 10/4/22(9)(13)	USD		5,684		362,355
6.15%, 6/19/20(13)	USD		442		26,905
6.20%, 2/26/25(9)(13)	USD		440		27,687
6.25%, 5/27/22(13)	USD		740		47,175
6.25%, 11/4/24(9)(13)	USD		11,108		701,248
6.25%, 6/12/25(9)(13)	USD		7,800		493,974
6.375%, 3/9/20(13)	USD		6,504		402,858
6.40%, 5/26/23(13)	USD		11,020		698,778
6.65%, 4/22/24(9)(13)	USD		13,568		857,245
6.65%, 11/3/28(9)(13)	USD		2,923		184,588
6.85%, 5/25/29(13)	USD		9,378		593,721
7.00%, 12/3/24(13)	USD		4,878		308,631
7.00%, 3/20/28(9)(13)	USD		13,884		865,334

Security		Principal Amount (000’s omitted)		Value
Lebanon (continued)
Lebanese Republic: (continued)
7.15%, 11/20/31(9)(13)	USD		12,224	$	757,032
8.20%, 5/17/33(13)	USD		4,223		263,135
8.25%, 4/12/21(9)(13)	USD		2,352		149,940
8.25%, 5/17/34(13)	USD		3,507		210,420
				$	7,064,938
Macedonia — 1.0%
North Macedonia Government International Bond:
1.625%, 3/10/28(9)	EUR		21,305	$	15,920,692
3.675%, 6/3/26(9)	EUR		3,970		3,492,842
				$	19,413,534
Mozambique — 0.5%
Mozambique Government International Bond, 5.00% to 9/15/23, 9/15/31(9)(21)	USD		15,512	$	10,613,000
				$	10,613,000
New Zealand — 1.1%
New Zealand Government Bond, 2.50%, 9/20/40(9)(22)	NZD		35,121	$	20,442,663
				$	20,442,663
Oman — 0.1%
Oman Government International Bond, 6.75%, 1/17/48(9)	USD		2,149	$	1,811,717
				$	1,811,717
Pakistan — 0.4%
Pakistan Government International Bond:
6.00%, 4/8/26(9)	USD		5,376	$	1,787,520
8.875%, 4/8/51(9)	USD		8,076		2,536,874
Third Pakistan International Sukuk Co., Ltd. (The),
5.625%, 12/5/22(9)	USD		2,847		2,599,197
				$	6,923,591
Peru — 1.6%
Peru Government Bond:
6.15%, 8/12/32	PEN		34,718	$	7,433,008
6.95%, 8/12/31	PEN		103,513		23,912,069
				$	31,345,077
Romania — 2.4%
Romania Government International Bond:
3.375%, 1/28/50(9)	EUR		3,514	$	1,856,851

27 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Romania (continued)
Romania Government International Bond: (continued)
4.625%, 4/3/49(9)	EUR		20,631	$	13,383,920
5.00%, 9/27/26(9)	EUR		16,881		16,204,619
6.625%, 9/27/29(9)	EUR		16,515		15,663,732
				$	47,109,122
Serbia — 5.0%
Serbia International Bond:
1.00%, 9/23/28(9)	EUR		16,093	$	11,228,155
1.50%, 6/26/29(9)	EUR		27,671		19,257,336
1.65%, 3/3/33(9)	EUR		533		311,923
2.05%, 9/23/36(9)	EUR		132		72,445
3.125%, 5/15/27(9)	EUR		1,567		1,323,980
Serbia Treasury Bond:
4.50%, 8/20/32	RSD		5,345,300		34,672,012
5.875%, 2/8/28	RSD		3,900,890		30,646,426
				$	97,512,277
Sri Lanka — 1.1%
Sri Lanka Government International Bond:
5.75%, 4/18/23(9)(13)	USD		12,476	$	2,927,869
6.20%, 5/11/27(9)(13)	USD		8,847		2,037,794
6.35%, 6/28/24(9)(13)	USD		3,875		910,238
6.75%, 4/18/28(9)(13)	USD		16,667		3,796,987
6.825%, 7/18/26(9)(13)	USD		23,295		5,533,934
6.85%, 3/14/24(9)(13)	USD		8,685		2,045,470
6.85%, 11/3/25(9)(13)	USD		6,305		1,522,267
7.55%, 3/28/30(9)(13)	USD		9,303		2,147,782
7.85%, 3/14/29(9)(13)	USD		5,620		1,300,026
				$	22,222,367
Suriname — 3.4%
Republic of Suriname:
9.25%, 10/26/26(1)(13)	USD		200	$	160,600
9.25%, 10/26/26(9)(13)	USD		80,493		64,635,879
12.875%, 12/30/23(9)(13)	USD		2,634		2,133,540
				$	66,930,019
Ukraine — 3.6%
Ukraine Government Bond:
9.79%, 5/26/27(8)	UAH		1,287,962	$	11,533,988
10.95%, 11/1/23(8)	UAH		21,651		226,205
11.67%, 11/22/23(8)	UAH		108,255		1,131,022
12.52%, 5/13/26(8)	UAH		1,605,408		14,776,143

Security		Principal Amount (000’s omitted)		Value
Ukraine (continued)
Ukraine Government Bond: (continued)
15.84%, 2/26/25(8)	UAH		3,386,787	$	37,911,795
15.97%, 4/19/23(8)	UAH		5,100		53,284
Ukraine Government International Bond, 0.00%, GDP-Linked, 8/1/41(6)(9)(23)	USD		18,650		4,743,590
				$	70,376,027
Uruguay — 2.0%
Uruguay Government Bond:
3.70%, 6/26/37	UYU		85,429	$	2,074,939
3.875%, 7/2/40(22)	UYU		1,289,769		32,021,179
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24	UYU		253,400		5,190,932
				$	39,287,050
Uzbekistan — 0.1%
National Bank of Uzbekistan, 4.85%, 10/21/25(9)	USD		1,236	$	1,086,135
Republic of Uzbekistan, 14.50%, 11/25/23(9)	UZS		6,120,000		550,652
				$	1,636,787
Zambia — 1.6%
Zambia Government Bond:
11.00%, 1/25/26	ZMW		338,620	$	13,930,103
11.00%, 12/27/26	ZMW		58,770		2,184,404
12.00%, 3/22/28	ZMW		25,880		882,514
12.00%, 5/31/28	ZMW		11,710		393,004
12.00%, 11/1/28	ZMW		12,400		405,395
12.00%, 2/21/29	ZMW		46,990		1,499,799
13.00%, 12/27/31	ZMW		29,785		902,348
14.00%, 12/5/31	ZMW		2,700		87,008
Zambia Government International Bond:
5.375%, 9/20/22(9)(13)	USD		20,640		7,091,698
8.50%, 4/14/24(9)(13)	USD		8,581		3,475,562
8.97%, 7/30/27(9)(13)	USD		2,782		1,120,217
				$	31,972,052
Total Sovereign Government Bonds (identified cost $1,254,369,926)				$	886,183,440

28 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Sovereign Loans — 6.8%
Borrower/Description	Principal Amount (000’s omitted)				Value
Ivory Coast — 0.3%
Republic of Ivory Coast, Term Loan, 5.991%, (6 mo. EURIBOR + 5.75%), 1/6/28(5)		EUR		5,655	$	5,604,910
					$	5,604,910
Kenya — 1.0%
Government of Kenya:
Term Loan, 9.312%, (6 mo. USD LIBOR + 6.45%), 6/29/25(5)		USD		17,901	$	17,884,119
Term Loan, 11.025%, (3 mo. USD LIBOR + 6.70%), 10/24/24(5)		USD		1,988		1,972,612
					$	19,856,731
Tanzania — 5.5%
Government of the United Republic of Tanzania:
Term Loan, 7.226%, (6 mo. USD LIBOR + 5.20%), 5/23/23(5)		USD		13,814	$	13,887,554
Term Loan, 8.232%, (6 mo. USD LIBOR + 6.30%), 4/28/31(5)		USD		92,880		91,956,122
					$	105,843,676
Total Sovereign Loans (identified cost $133,153,798)					$	131,305,317
U.S. Government Guaranteed Small Business Administration Loans(24)(25) — 0.8%
Security	Principal Amount (000’s omitted)				Value
1.88%, 12/28/42			$	1,302	$	81,983
2.24%, 11/15/32 to 4/10/43(26)				26,381		1,839,841
2.38%, 11/30/42 to 3/1/43				5,736		448,053
2.63%, 10/27/42 to 3/20/43				5,077		412,670
2.80%, 4/12/27 to 3/10/43(26)				57,762		4,646,245
2.88%, 10/27/42 to 2/13/43				7,038		651,864
3.03%, 2/2/27 to 12/17/43(26)				64,218		5,565,609
3.13%, 10/12/42 to 1/2/43				3,044		318,102
3.63%, 10/27/42 to 3/28/43				20,673		2,494,589
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $26,252,017)					$	16,458,956

U.S. Treasury Obligations — 3.7%
Security	Principal Amount (000’s omitted)			Value
U.S. Treasury Bond, 1.75%, 8/15/41(27)		$	109,950	$	71,811,094
Total U.S. Treasury Obligations (identified cost $84,695,477)				$	71,811,094
Warrants — 0.0%(7)
Security		Shares		Value
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(6)			383,780	$	75,797
Total Warrants (identified cost $0)				$	75,797
Miscellaneous — 0.0%
Security		Shares		Value
Financial Intermediaries — 0.0%
Alpha Holding S.A., Escrow Certificates(6)(8)			5,728,000	$	0
Alpha Holding S.A., Escrow Certificates(6)(8)			11,758,000		0
Total Miscellaneous (identified cost $0)				$	0
Short-Term Investments — 10.9%
Affiliated Fund — 6.1%
Security		Shares		Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(28)			118,583,106	$	118,583,106
Total Affiliated Fund (identified cost $118,583,106)				$	118,583,106
Repurchase Agreements — 1.7%
Description	Principal Amount (000’s omitted)			Value
Barclays Bank PLC:
Dated 10/6/22 with an interest rate of 0.35%, collateralized by EUR 6,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $4,970,491(29)	EUR		5,325	$	5,262,430

29 See Notes to Consolidated Financial Statements.

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October 31, 2022

Consolidated Portfolio of Investments — continued

Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC: (continued)
Dated 10/6/22 with an interest rate of 0.00%, collateralized by EUR 6,000,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $5,489,024(29)	EUR	5,812	$	5,744,201
Dated 10/12/22 with an interest rate of 0.15% payable by the Portfolio, collateralized by EUR 3,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $2,585,886(29)	EUR	2,711		2,679,392
Dated 10/13/22 with an interest rate of 0.00%, collateralized by EUR 1,800,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,491,147(29)	EUR	1,577		1,558,717
Dated 10/14/22 with an interest rate of 0.10% payable by the Portfolio, collateralized by EUR 3,000,000 Republic of Poland, 1.50%, due 1/19/26 and a market value, including accrued interest, of $2,841,328(29)	EUR	3,023		2,986,985
Dated 10/17/22 with an interest rate of 0.05% payable by the Portfolio, collateralized by EUR 6,000,000 Republic of Poland, 1.375%, due 10/22/27 and a market value, including accrued interest, of $5,288,817(29)	EUR	5,678		5,610,788
Dated 10/26/22 with an interest rate of 2.75%, collateralized by USD 9,400,000 Ghana Government International Bond, 6.375%, due 2/11/27 and a market value, including accrued interest, of $3,031,610(29)	USD	3,161		3,160,750
Nomura International PLC:
Dated 10/24/22 with an interest rate of 2.15%, collateralized by EUR 1,210,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $1,106,991(29)	USD	1,144		1,144,079
Dated 10/24/22 with an interest rate of 2.15%, collateralized by EUR 3,026,000 Republic of Poland, 1.50%, due 9/9/25 and a market value, including accrued interest, of $2,850,000(29)	USD	2,963		2,963,090
Dated 10/25/22 with an interest rate of 2.15%, collateralized by EUR 3,044,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $2,521,551(29)	USD	2,590		2,590,441
Total Repurchase Agreements (identified cost $33,468,778)			$	33,700,873

Sovereign Government Securities — 0.3%
Security		Principal Amount (000’s omitted)		Value
Ukraine — 0.3%
Ukraine Treasury Bill, 0.00%, 3/1/23(8)	UAH		224,029	$	5,286,231
Total Sovereign Government Securities (identified cost $6,994,088)				$	5,286,231
U.S. Treasury Obligations — 2.8%
Security		Principal Amount (000’s omitted)		Value
U.S. Treasury Bill:
0.00%, 11/8/22(30)		$	43,130	$	43,107,661
0.00%, 11/15/22(30)			11,870		11,856,175
Total U.S. Treasury Obligations (identified cost $54,964,494)				$	54,963,836
Total Short-Term Investments (identified cost $214,010,466)				$	212,534,046
Total Purchased Options — 0.0%(7) (identified cost $2,514,525)				$	42
Total Investments — 89.4% (identified cost $2,243,092,359)				$	1,737,794,864

Securities Sold Short — (7.4)%
Exchange-Traded Funds — (5.8)%
Security	Shares			Value
United States — (5.8)%
iShares JP Morgan USD Emerging Markets Bond ETF		(1,416,500	)	$	(111,761,850	)
Total Exchange-Traded Funds (proceeds $117,910,911)				$	(111,761,850	)

30 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Sovereign Government Bonds — (1.6)%
Security	Principal Amount (000’s omitted)				Value
Ghana — (0.1)%
Ghana Government International Bond, 6.375%, 2/11/27(9)		USD	(9,400	)	$	(2,898,443	)
					$	(2,898,443	)
Poland — (1.5)%
Republic of Poland:
1.00%, 3/7/29(9)		EUR	(10,844	)	$	(8,913,162	)
1.125%, 8/7/26(9)		EUR	(7,210	)		(6,577,090	)
1.375%, 10/22/27(9)		EUR	(6,000	)		(5,286,583	)
1.50%, 9/9/25(9)		EUR	(3,026	)		(2,843,409	)
1.50%, 1/19/26(9)		EUR	(3,000	)		(2,806,482	)
2.75%, 5/25/32(9)		EUR	(3,000	)		(2,550,147	)
					$	(28,976,873	)
Total Sovereign Government Bonds (proceeds $31,518,574)					$	(31,875,316	)
Total Securities Sold Short (proceeds $149,429,485)					$	(143,637,166	)
Other Assets, Less Liabilities — 18.0%					$	350,613,404
Net Assets — 100.0%					$	1,944,771,102

The percentage shown for each investment category in the Consolidated

Portfolio of Investments is based on net assets.

⁽¹⁾  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2022, the aggregate value of these securities is $144,687,744 or 7.4% of the Portfolio’s net assets.

⁽²⁾  Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2022.

⁽³⁾  Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

⁽⁴⁾  Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at October 31, 2022.

⁽⁵⁾  Variable rate security. The stated interest rate represents the rate in effect at October 31, 2022.

⁽⁶⁾  Non-income producing security.

⁽⁷⁾  Amount is less than 0.05%.

⁽⁸⁾  For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10).

⁽⁹⁾  Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2022, the aggregate value of these securities is $692,688,745 or 35.6% of the Portfolio’s net assets.

⁽¹⁰⁾  Perpetual security with no stated maturity date but may be subject to calls by the issuer.

⁽¹¹⁾  Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at October 31, 2022.

⁽¹²⁾  Security converts to variable rate after the indicated fixed-rate coupon period.

⁽¹³⁾  Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

⁽¹⁴⁾  Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

⁽¹⁵⁾  Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower.

⁽¹⁶⁾  Quantity held represents principal in USD.

⁽¹⁷⁾  Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period.

⁽¹⁸⁾  Restricted security (see Note 5).

⁽¹⁹⁾  Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold.

⁽²⁰⁾  Fixed-rate loan.

⁽²¹⁾  Step coupon security. Interest rate represents the rate in effect at October 31, 2022.

⁽²²⁾  Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

⁽²³⁾  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.

31 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

⁽²⁴⁾  Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated.

⁽²⁵⁾  Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust.

⁽²⁶⁾  The stated interest rate represents the weighted average fixed interest rate at October 31, 2022 of all interest only securities comprising the certificate.

⁽²⁷⁾  Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements.

⁽²⁸⁾  May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2022.

⁽²⁹⁾  Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

⁽³⁰⁾  Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

Purchased Call Options — 0.0%(1)
Description	Counterparty	Notional Amount	Spread	Expiration Date		Value
2-year 10 Constant Maturity Swap Curve Cap	Bank of America, N.A.	USD    1,221,400,000	1.06%		12/19/22	$	12
2-year 10 Constant Maturity Swap Curve Cap	Bank of America, N.A.	USD    596,500,000	1.09		1/4/23		30
Total						$	42

⁽¹⁾ Amount is less than 0.05%.

Forward Foreign Currency Exchange Contracts (Centrally Cleared)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
BRL	26,397,148	USD	4,892,891		11/4/22	$	216,138
BRL	25,817,000	USD	4,943,749		11/4/22		52,995
BRL	24,933,000	USD	4,773,611		11/4/22		52,040
BRL	4,073,634	USD	753,255		11/4/22		35,175
BRL	100,000	USD	18,939		11/4/22		415
USD	15,638,612	BRL	81,320,782		11/4/22		(100,597	)
USD	23,807,031	ZAR	409,076,216		11/18/22		1,564,607
USD	9,135,137	PHP	538,900,000		11/21/22		(138,155	)
USD	10,559,217	PHP	623,300,000		11/21/22		(166,415	)
USD	10,365,098	PHP	585,400,000		11/25/22		297,922
USD	10,361,860	PHP	585,300,000		11/25/22		296,403
USD	10,001,060	PHP	566,000,000		11/25/22		267,508
USD	8,628,372	PHP	488,279,580		11/25/22		231,385
BRL	81,320,782	USD	15,542,072		12/2/22		103,683
USD	10,669,552	PHP	632,299,000		12/2/22		(192,301	)
USD	11,096,451	PHP	658,075,000		12/2/22		(208,191	)
USD	16,328,724	PHP	968,326,000		12/2/22		(305,518	)
AUD	45,000,000	USD	30,456,900		12/21/22		(1,626,858	)
AUD	49,975,670	USD	33,825,033		12/21/22		(1,807,241	)
EUR	2,157,779	USD	2,131,480		12/21/22		9,661
EUR	1,014,883	USD	1,000,729		12/21/22		6,328
EUR	73,827	USD	72,797		12/21/22		460
EUR	1,282,263	USD	1,274,696		12/21/22		(2,321	)

32 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
EUR	11,759,356	USD	11,689,964		12/21/22	$	(21,283	)
EUR	14,778,325	USD	14,691,119		12/21/22		(26,747	)
EUR	2,140,000	USD	2,153,309		12/21/22		(29,811	)
IDR	221,150,000,000	USD	14,089,577		12/21/22		40,652
IDR	193,630,000,000	USD	12,337,836		12/21/22		34,021
IDR	173,340,000,000	USD	11,044,479		12/21/22		30,963
IDR	167,677,000,000	USD	10,687,143		12/21/22		26,465
IDR	154,348,244,790	USD	9,838,324		12/21/22		23,652
IDR	25,984,326,746	USD	1,735,856		12/21/22		(75,605	)
IDR	194,726,840,000	USD	12,739,459		12/21/22		(297,521	)
KRW	1,167,500,000	USD	818,476		12/21/22		240
KRW	9,822,800,000	USD	7,056,660		12/21/22		(168,367	)
KRW	11,303,300,000	USD	8,141,423		12/21/22		(214,921	)
KRW	15,981,700,000	USD	11,485,892		12/21/22		(278,637	)
KRW	22,962,200,000	USD	16,496,195		12/21/22		(393,825	)
NZD	4,250,000	USD	2,554,250		12/21/22		(81,447	)
NZD	4,250,000	USD	2,554,250		12/21/22		(81,447	)
NZD	6,250,000	USD	3,756,250		12/21/22		(119,775	)
NZD	13,972,238	USD	8,397,315		12/21/22		(267,764	)
NZD	46,800,000	USD	28,126,800		12/21/22		(896,874	)
PEN	13,782,743	USD	3,432,813		12/21/22		7,551
USD	18,390,923	CLP	17,627,700,000		12/21/22		(139,744	)
USD	10,306,828	CLP	10,120,790,000		12/21/22		(332,393	)
USD	19,575,451	COP	87,745,000,000		12/21/22		1,959,795
USD	10,126,781	COP	45,392,285,000		12/21/22		1,013,842
USD	8,200,924	COP	36,852,658,000		12/21/22		802,398
USD	6,386,994	COP	28,629,062,000		12/21/22		639,434
USD	4,667,871	COP	20,975,547,187		12/21/22		456,828
USD	4,242,506	COP	19,064,634,000		12/21/22		415,097
USD	2,675,762	COP	12,024,127,000		12/21/22		261,803
USD	2,414,786	COP	10,851,081,000		12/21/22		236,326
USD	1,523,013	COP	6,843,811,000		12/21/22		149,052
USD	5,008,300	COP	24,741,000,000		12/21/22		41,305
USD	4,986,677	COP	24,740,000,000		12/21/22		19,883
USD	4,982,880	COP	24,740,000,000		12/21/22		16,086
USD	4,187,469	COP	20,818,000,000		12/21/22		8,054
USD	75,818,719	EUR	75,350,097		12/21/22		1,049,637
USD	74,157,253	EUR	73,698,901		12/21/22		1,026,636
USD	28,441,752	EUR	28,265,959		12/21/22		393,749
USD	23,143,043	EUR	23,000,000		12/21/22		320,393
USD	19,818,283	EUR	19,695,789		12/21/22		274,365
USD	19,371,461	EUR	19,251,730		12/21/22		268,179
USD	18,778,080	EUR	18,662,016		12/21/22		259,965
USD	15,859,574	EUR	15,761,549		12/21/22		219,561

33 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	14,605,900	EUR	14,515,624		12/21/22	$	202,205
USD	9,282,853	EUR	9,225,477		12/21/22		128,512
USD	7,996,340	EUR	7,946,916		12/21/22		110,702
USD	7,641,196	EUR	7,593,967		12/21/22		105,785
USD	6,476,589	EUR	6,436,558		12/21/22		89,662
USD	34,528,067	EUR	34,733,027		12/21/22		62,863
USD	14,477,919	EUR	14,563,860		12/21/22		26,359
USD	1,290,238	EUR	1,282,263		12/21/22		17,862
USD	350,672	EUR	348,505		12/21/22		4,855
USD	293,613	EUR	291,798		12/21/22		4,065
USD	2,145,046	EUR	2,157,779		12/21/22		3,905
USD	1,082,602	EUR	1,088,710		12/21/22		2,287
USD	860,304	EUR	865,411		12/21/22		1,566
USD	16,391,405	IDR	244,222,100,000		12/21/22		787,000
USD	15,825,346	IDR	235,702,700,000		12/21/22		765,282
USD	15,920,884	IDR	238,542,600,000		12/21/22		679,367
USD	8,850,187	IDR	131,882,300,000		12/21/22		423,657
USD	6,061,440	IDR	90,616,100,000		12/21/22		271,586
USD	5,729,659	IDR	85,779,871,536		12/21/22		248,813
USD	5,593,280	IDR	83,738,121,156		12/21/22		242,890
USD	1,918,648	IDR	28,591,000,000		12/21/22		91,845
USD	24,755,764	INR	1,982,347,500		12/21/22		948,821
USD	14,609,933	INR	1,170,000,000		12/21/22		558,854
USD	1,872,414	INR	150,000,000		12/21/22		70,993
USD	23,585,125	NZD	39,243,136		12/21/22		752,055
USD	8,397,315	NZD	13,972,238		12/21/22		267,764
USD	18,770,808	PEN	73,407,000		12/21/22		447,404
USD	8,193,251	PEN	32,193,741		12/21/22		157,247
USD	7,456,134	PEN	29,278,000		12/21/22		147,939
BRL	44,810,000	USD	8,195,657		1/4/23		365,317
BRL	28,519,218	USD	5,220,049		1/4/23		228,562
IDR	95,085,000,000	USD	6,234,510		1/11/23		(166,210	)
IDR	101,312,000,000	USD	6,639,056		1/11/23		(173,351	)
IDR	113,976,000,000	USD	7,476,778		1/11/23		(202,859	)
JPY	6,074,457,667	USD	42,522,258		1/12/23		(1,283,465	)
USD	4,535,448	JPY	647,905,033		1/12/23		136,895
USD	3,556,793	JPY	508,816,000		1/12/23		102,500
USD	9,946,122	PHP	587,229,000		1/26/23		(90,453	)
USD	10,471,185	PHP	619,580,000		1/26/23		(118,315	)
USD	9,962,020	IDR	151,871,000,000		7/11/23		360,045
USD	5,718,775	IDR	87,177,000,000		7/11/23		207,048
USD	4,681,869	IDR	71,325,000,000		7/11/23		172,378
						$	12,317,131

34 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	1,856,536	USD	1,824,761	Goldman Sachs International		11/1/22	$	9,960	$	—
KZT	447,889,197	USD	928,268	Citibank, N.A.		11/1/22		30,502		—
KZT	447,889,195	USD	928,268	Citibank, N.A.		11/1/22		30,502		—
KZT	96,564,128	USD	200,133	Citibank, N.A.		11/1/22		6,576		—
KZT	96,564,130	USD	200,133	Citibank, N.A.		11/1/22		6,576		—
USD	1,864,314	EUR	1,856,536	JPMorgan Chase Bank, N.A.		11/1/22		29,593		—
USD	206,232	KZT	96,564,128	Citibank, N.A.		11/1/22		—		(477	)
USD	206,232	KZT	96,564,130	Citibank, N.A.		11/1/22		—		(477	)
USD	956,558	KZT	447,889,195	Citibank, N.A.		11/1/22		—		(2,211	)
USD	956,558	KZT	447,889,197	Citibank, N.A.		11/1/22		—		(2,211	)
USD	999,208	ZMW	17,186,371	Citibank, N.A.		11/1/22		—		(63,585	)
EUR	3,965,230	USD	3,917,394	Bank of America, N.A.		11/4/22		1,778		—
EUR	1,024,664	USD	1,031,788	Bank of America, N.A.		11/4/22		—		(19,026	)
EUR	779,992	USD	781,638	HSBC Bank USA, N.A.		11/4/22		—		(10,706	)
EUR	5,526,021	USD	5,362,506	UBS AG		11/4/22		99,328		—
EUR	5,078,071	USD	4,985,442	UBS AG		11/4/22		33,645		—
EUR	833,354	USD	810,787	UBS AG		11/4/22		12,887		—
EUR	203,091	USD	199,477	UBS AG		11/4/22		1,255		—
EUR	2,515,595	USD	2,506,660	UBS AG		11/4/22		—		(20,284	)
EUR	1,514,353	USD	1,522,057	UBS AG		11/4/22		—		(25,293	)
USD	788,950	EUR	798,584	Bank of America, N.A.		11/4/22		—		(358	)
USD	146,056	EUR	148,206	Bank of America, N.A.		11/4/22		—		(429	)
USD	776,219	EUR	798,746	Citibank, N.A.		11/4/22		—		(13,250	)
USD	12,293,959	EUR	12,571,808	Goldman Sachs International		11/4/22		—		(131,822	)
USD	2,971,490	EUR	3,054,089	Standard Chartered Bank		11/4/22		—		(47,124	)
USD	6,996,472	EUR	7,155,998	Standard Chartered Bank		11/4/22		—		(76,405	)
USD	13,493,129	EUR	13,848,750	State Street Bank and Trust Company		11/4/22		—		(194,761	)
USD	297,516	EUR	306,456	UBS AG		11/4/22		—		(5,380	)
USD	2,887,698	EUR	2,933,705	UBS AG		11/4/22		—		(11,930	)
USD	1,903,672	EUR	1,939,593	UBS AG		11/4/22		—		(13,392	)
USD	1,794,741	EUR	1,834,377	UBS AG		11/4/22		—		(18,328	)
USD	1,991,740	EUR	2,053,050	UBS AG		11/4/22		—		(37,463	)
EUR	2,156,669	USD	2,120,715	JPMorgan Chase Bank, N.A.		11/7/22		11,340		—
KZT	1,048,680,501	USD	2,156,669	JPMorgan Chase Bank, N.A.		11/7/22		84,169		—
KZT	1,044,364,979	USD	2,164,487	JPMorgan Chase Bank, N.A.		11/7/22		67,130		—
TRY	150,338,492	USD	7,861,042	Standard Chartered Bank		11/7/22		191,914		—
USD	2,156,738	EUR	2,156,669	JPMorgan Chase Bank, N.A.		11/7/22		24,683		—
USD	5,442,614	TRY	104,938,492	Standard Chartered Bank		11/7/22		—		(178,469	)
USD	2,247,269	TRY	45,400,000	Standard Chartered Bank		11/7/22		—		(184,605	)
USD	1,701,137	ARS	299,230,000	Bank of America, N.A.		11/14/22		—		(142,582	)
USD	6,786,248	ARS	1,162,145,000	Goldman Sachs International		11/14/22		—		(374,359	)
USD	640,203	ZMW	11,747,715	Standard Chartered Bank		11/16/22		—		(84,058	)
USD	24,515,513	CNH	167,970,000	Standard Chartered Bank		11/17/22		1,600,539		—
USD	17,543,548	CNH	118,300,000	Standard Chartered Bank		11/17/22		1,404,704		—
USD	18,660,740	CNH	127,710,000	Standard Chartered Bank		11/17/22		1,238,156		—

35 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	5,501,475	USD	5,410,101	UBS AG		11/18/22	$	32,837	$	—
KZT	678,056,796	USD	1,375,369	Citibank, N.A.		11/18/22		67,844		—
KZT	677,644,187	USD	1,375,369	Citibank, N.A.		11/18/22		66,965		—
KZT	677,369,112	USD	1,375,369	Citibank, N.A.		11/18/22		66,380		—
KZT	677,025,269	USD	1,375,369	Citibank, N.A.		11/18/22		65,648		—
USD	2,815,180	EUR	2,750,737	Standard Chartered Bank		11/18/22		93,712		—
USD	2,791,986	EUR	2,750,738	Standard Chartered Bank		11/18/22		70,517		—
USD	1,684,386	PHP	99,420,000	Standard Chartered Bank		11/21/22		—		(26,415	)
EUR	2,195,462	USD	2,160,466	Citibank, N.A.		11/22/22		12,259		—
KZT	540,742,307	USD	1,097,731	Citibank, N.A.		11/22/22		51,578		—
KZT	540,083,669	USD	1,097,731	Citibank, N.A.		11/22/22		50,178		—
USD	2,218,886	EUR	2,195,462	UBS AG		11/22/22		46,161		—
USD	2,890,801	KES	388,090,043	ICBC Standard Bank plc		11/23/22		—		(271,145	)
USD	2,890,801	KES	388,090,043	ICBC Standard Bank plc		11/23/22		—		(271,145	)
EUR	916,370	USD	902,069	UBS AG		11/25/22		5,006		—
KZT	443,522,848	USD	916,370	JPMorgan Chase Bank, N.A.		11/25/22		25,303		—
UGX	37,026,804,000	USD	9,660,006	Standard Chartered Bank		11/25/22		46,873		—
USD	920,306	EUR	916,370	Standard Chartered Bank		11/25/22		13,232		—
EUR	5,488,655	USD	5,403,900	Citibank, N.A.		11/28/22		30,250		—
KZT	2,701,790,508	USD	5,488,655	Citibank, N.A.		11/28/22		241,592		—
KZT	1,077,423,011	USD	2,195,462	Citibank, N.A.		11/28/22		89,652		—
KZT	1,075,227,547	USD	2,195,462	Citibank, N.A.		11/28/22		84,996		—
USD	5,526,516	EUR	5,488,655	UBS AG		11/28/22		92,366		—
EUR	1,470,186	USD	1,447,940	JPMorgan Chase Bank, N.A.		12/2/22		8,064		—
KZT	715,613,046	USD	1,470,186	JPMorgan Chase Bank, N.A.		12/2/22		45,413		—
KZT	160,756,578	USD	330,265	JPMorgan Chase Bank, N.A.		12/2/22		10,202		—
USD	1,475,230	EUR	1,470,186	Standard Chartered Bank		12/2/22		19,226		—
KZT	2,357,862,084	USD	4,826,739	JPMorgan Chase Bank, N.A.		12/6/22		159,056		—
KZT	859,412,954	USD	1,767,430	JPMorgan Chase Bank, N.A.		12/6/22		49,834		—
KZT	1,355,605,264	USD	2,770,782	Citibank, N.A.		12/7/22		94,563		—
AED	72,500,000	USD	19,732,344	Standard Chartered Bank		12/12/22		5,073		—
AED	173,933,000	USD	47,373,825	Standard Chartered Bank		12/12/22		—		(22,263	)
SGD	16,980,000	USD	11,794,009	Goldman Sachs International		12/12/22		203,799		—
SGD	12,471,400	USD	8,658,319	Goldman Sachs International		12/12/22		153,781		—
SGD	22,530,000	USD	15,885,103	Goldman Sachs International		12/12/22		34,250		—
SGD	12,960,000	USD	9,128,303	Standard Chartered Bank		12/12/22		29,034		—
SGD	11,460,000	USD	8,072,782	Standard Chartered Bank		12/12/22		24,678		—
SGD	22,800,000	USD	16,233,246	Standard Chartered Bank		12/12/22		—		(123,116	)
SGD	26,302,400	USD	18,733,036	Standard Chartered Bank		12/12/22		—		(148,163	)
SGD	22,600,000	USD	15,923,948	UBS AG		12/12/22		44,865		—
SGD	19,590,000	USD	13,804,106	UBS AG		12/12/22		37,888		—
USD	33,420,810	AED	123,212,500	Standard Chartered Bank		12/12/22		—		(122,591	)
USD	33,420,899	AED	123,220,500	Standard Chartered Bank		12/12/22		—		(124,680	)
USD	1,470,777	ARS	270,770,000	Bank of America, N.A.		12/12/22		—		(73,132	)
KZT	1,055,693,284	USD	2,157,779	JPMorgan Chase Bank, N.A.		12/13/22		68,342		—

36 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation			Unrealized (Depreciation)
KZT	1,054,074,948	USD	2,157,779	JPMorgan Chase Bank, N.A.		12/13/22	$	64,929	��	$	—
USD	853,603	ZMW	15,834,339	ICBC Standard Bank plc		12/13/22		—			(116,505	)
USD	1,067,004	ZMW	19,462,153	ICBC Standard Bank plc		12/13/22		—			(125,367	)
EUR	9,339,516	PLN	44,834,346	Standard Chartered Bank		12/14/22		—			(70,680	)
EUR	9,339,516	PLN	44,834,348	Standard Chartered Bank		12/14/22		—			(70,680	)
TRY	3,346,586	USD	167,816	Standard Chartered Bank		12/14/22		6,230			—
USD	29,801,366	OMR	11,800,000	BNP Paribas		12/14/22		—			(865,409	)
USD	13,614,978	TRY	267,807,394	Standard Chartered Bank		12/14/22		—			(312,851	)
USD	15,982,840	ZAR	296,033,000	Standard Chartered Bank		12/14/22		—			(80,802	)
USD	15,943,594	ZAR	296,033,000	Standard Chartered Bank		12/14/22		—			(120,048	)
EUR	3,236,668	USD	3,190,175	JPMorgan Chase Bank, N.A.		12/15/22		19,554			—
KZT	1,587,585,761	USD	3,236,668	JPMorgan Chase Bank, N.A.		12/15/22		108,396			—
USD	3,256,938	EUR	3,236,668	Bank of America, N.A.		12/15/22		47,208			—
USD	9,337,047	ZAR	169,830,000	Bank of America, N.A.		12/15/22		122,247			—
USD	15,056,406	ZAR	268,139,532	State Street Bank and Trust Company		12/15/22		507,433			—
USD	10,092,713	ZAR	178,212,081	State Street Bank and Trust Company		12/15/22		423,110			—
USD	7,605,933	ZAR	133,659,061	State Street Bank and Trust Company		12/15/22		353,731			—
USD	5,070,622	ZAR	89,106,040	State Street Bank and Trust Company		12/15/22		235,821			—
USD	48,259,570	ZAR	871,634,000	UBS AG		12/15/22		965,613			—
ZAR	20,224,163	USD	1,145,358	State Street Bank and Trust Company		12/15/22		—			(48,016	)
ZAR	20,224,163	USD	1,150,866	State Street Bank and Trust Company		12/15/22		—			(53,524	)
ZAR	20,224,163	USD	1,150,866	State Street Bank and Trust Company		12/15/22		—			(53,524	)
ZAR	61,446,936	USD	3,450,331	State Street Bank and Trust Company		12/15/22		—			(116,283	)
CZK	518,000,000	EUR	20,885,067	UBS AG		12/16/22		138,555			—
EUR	20,795,997	CZK	518,000,000	UBS AG		12/16/22		—			(226,893	)
THB	400,000	USD	10,866	Standard Chartered Bank		12/21/22		—			(310	)
THB	412,924	USD	11,216	Standard Chartered Bank		12/21/22		—			(319	)
THB	400,000	USD	10,896	Standard Chartered Bank		12/21/22		—			(340	)
USD	6,095,696	MYR	27,900,000	Barclays Bank PLC		12/21/22		192,888			—
USD	61,920,363	MYR	279,911,000	Goldman Sachs International		12/21/22		2,699,543			—
USD	6,879,983	MYR	31,500,000	Goldman Sachs International		12/21/22		215,522			—
USD	6,098,361	MYR	27,900,000	Goldman Sachs International		12/21/22		195,553			—
USD	28,993,286	THB	1,062,250,000	Standard Chartered Bank		12/21/22		960,641			—
USD	10,415,620	THB	381,420,000	Standard Chartered Bank		12/21/22		349,994			—
USD	8,079,905	THB	307,400,000	Standard Chartered Bank		12/21/22		—			(32,342	)
USD	10,014,190	THB	381,100,000	Standard Chartered Bank		12/21/22		—			(42,992	)
USD	21,387,869	THB	813,509,000	Standard Chartered Bank		12/21/22		—			(80,532	)
CNH	114,340,000	USD	17,101,329	Standard Chartered Bank		12/22/22		—			(1,470,033	)
CNH	129,433,199	USD	19,355,018	Standard Chartered Bank		12/22/22		—			(1,660,347	)
USD	12,564,278	CNH	84,100,000	Bank of America, N.A.		12/22/22		1,067,059			—
USD	12,695,671	CNH	85,200,000	Bank of America, N.A.		12/22/22		1,048,072			—
USD	12,426,269	CNH	83,339,000	Bank of America, N.A.		12/22/22		1,033,086			—
USD	39,711,175	CNH	265,800,000	BNP Paribas		12/22/22		3,373,948			—
USD	11,658,008	CNH	78,000,000	BNP Paribas		12/22/22		994,713			—
USD	9,098,791	CNH	60,900,000	JPMorgan Chase Bank, N.A.		12/22/22		773,219			—

37 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	13,735,179	CNH	92,200,000	Standard Chartered Bank		12/22/22	$	1,130,618	$	—
USD	12,741,080	CNH	85,300,000	Standard Chartered Bank		12/22/22		1,079,810		—
USD	10,860,391	CNH	72,700,000	Standard Chartered Bank		12/22/22		921,654		—
USD	9,504,695	CNH	63,600,000	Standard Chartered Bank		12/22/22		810,009		—
USD	514,947	ZMW	8,585,454	Societe Generale		1/19/23		—		(6,263	)
USD	2,077,725	ZMW	35,944,636	Goldman Sachs International		1/26/23		—		(100,303	)
USD	623,317	ZMW	10,745,992	Societe Generale		1/26/23		—		(27,825	)
USD	622,695	ZMW	10,694,777	Societe Generale		1/30/23		—		(24,646	)
USD	649,773	ZMW	12,387,917	Societe Generale		2/17/23		—		(96,150	)
AED	215,000,000	USD	58,551,039	BNP Paribas		3/1/23		—		(22,084	)
USD	58,402,155	AED	215,000,000	BNP Paribas		3/1/23		—		(126,800	)
AED	28,500,000	USD	7,761,966	BNP Paribas		3/6/23		—		(3,495	)
USD	81,979,737	AED	301,839,143	BNP Paribas		3/6/23		—		(189,050	)
USD	30,000,000	AED	110,456,400	BNP Paribas		3/13/23		—		(69,126	)
USD	109,556,452	AED	403,354,537	BNP Paribas		3/13/23		—		(247,220	)
USD	12,664,006	SAR	47,604,000	Standard Chartered Bank		3/13/23		5,967		—
USD	26,361,023	SAR	99,041,000	Standard Chartered Bank		3/14/23		25,742		—
AED	540,959,063	USD	147,328,031	Standard Chartered Bank		3/15/23		—		(64,937	)
OMR	8,900,000	USD	23,099,484	Standard Chartered Bank		3/15/23		32,539		—
USD	146,927,879	AED	540,959,063	Standard Chartered Bank		3/15/23		—		(335,216	)
USD	20,104,768	BHD	7,651,000	Standard Chartered Bank		3/15/23		—		(144,148	)
USD	22,725,930	OMR	8,900,000	Standard Chartered Bank		3/15/23		—		(406,092	)
USD	15,256,481	BHD	5,771,878	Standard Chartered Bank		3/16/23		—		(18,967	)
UGX	45,000,000,000	USD	11,337,868	Deutsche Bank AG		3/20/23		109,683		—
USD	426,802	ZMW	8,386,651	Standard Chartered Bank		5/17/23		—		(64,838	)
USD	2,890,801	KES	413,384,553	Standard Chartered Bank		5/25/23		—		(198,003	)
USD	2,227,208	KES	324,058,799	Standard Chartered Bank		6/12/23		—		(170,347	)
USD	9,511,645	AED	35,000,000	BNP Paribas		6/21/23		—		(16,018	)
USD	9,036,785	SAR	34,000,000	Standard Chartered Bank		7/13/23		—		(3,092	)
USD	9,749,607	EGP	214,881,345	Goldman Sachs International		7/20/23		1,502,747		—
USD	6,422,037	EGP	143,147,195	Goldman Sachs International		7/20/23		928,238		—
USD	6,422,037	EGP	144,688,484	Goldman Sachs International		7/27/23		880,978		—
USD	1,734,474	KES	263,640,000	Standard Chartered Bank		8/4/23		—		(163,509	)
OMR	14,300,000	USD	37,090,168	Standard Chartered Bank		8/23/23		59,375		—
USD	36,694,600	OMR	14,300,000	Standard Chartered Bank		8/23/23		—		(454,943	)
OMR	10,000,000	USD	25,940,545	Standard Chartered Bank		11/6/23		36,305		—
USD	48,448,681	OMR	18,858,800	Standard Chartered Bank		11/6/23		—		(540,540	)
USD	28,368,794	OMR	11,000,000	Standard Chartered Bank		2/22/24		—		(189,411	)
USD	26,205,980	SAR	98,600,000	Standard Chartered Bank		3/14/24		750		—
USD	12,408,845	BHD	4,730,872	Standard Chartered Bank		3/18/24		—		(50,318	)
USD	17,098,499	BHD	6,518,000	Standard Chartered Bank		3/18/24		—		(67,221	)
USD	26,650,006	OMR	10,530,750	Standard Chartered Bank		8/29/24		—		(662,619	)
							$	30,548,134	$	(12,852,613	)

38 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Non-Deliverable Bond Forward Contracts*
Settlement Date	Notional Amount (000’s omitted)		Reference Entity	Counterparty	Aggregate Cost		Unrealized Appreciation (Depreciation)
11/21/22	COP	67,019,600	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.	$	13,570,154	$	(231,968)
11/22/22	COP	43,897,680	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		8,888,419		(363,714	)
11/23/22	COP	81,564,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		16,515,110		230,022
12/3/22	COP	20,311,040	Republic of Colombia, 6.00%, 4/28/28	Goldman Sachs International		4,112,587		15,578
12/7/22	COP	40,781,000	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		8,257,353		(51,551	)
12/8/22	COP	69,263,320	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		14,024,464		642,040
12/8/22	COP	87,159,300	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		17,648,049		561,455
12/8/22	COP	9,217,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		1,866,262		(43,066	)
12/14/22	COP	13,827,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		2,799,696		(9,603	)
12/15/22	COP	80,203,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		16,239,656		(132,304	)
12/16/22	COP	119,481,100	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		24,192,579		383,985
12/19/22	COP	88,592,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		17,938,142		(130,895	)
12/20/22	COP	29,239,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		5,920,445		(1,522	)
12/21/22	COP	79,082,100	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		16,012,574		532,434
12/23/22	COP	115,547,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		23,396,001		747,081
1/10/23	COP	66,549,200	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		13,474,908		—
							$	2,147,972

* Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency.

Futures Contracts
Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/Unrealized Appreciation (Depreciation)
Commodity Futures
WTI Crude Oil		876			Long		2/21/23	$	72,602,881		$	6,663,772
WTI Crude Oil		(833	)		Short		11/21/22		(72,079,490	)		1,415,397
Equity Futures
S&P/TSX 60 Index		(90	)		Short		12/15/22		(15,558,997	)		(203,808	)
SGX CNX Nifty Index		(553	)		Short		11/24/22		(20,000,814	)		(459,055	)

39 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Futures Contracts (continued)
Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/Unrealized Appreciation (Depreciation)
Interest Rate Futures
Australia 10-Year Treasury Bond		516			Long		12/15/22	$	39,105,975		$	(279,531	)
Euro-Buxl		13			Long		12/8/22		1,852,830			(183,468	)
U.S. 10-Year Treasury Note		182			Long		12/20/22		20,128,062			(59,329	)
Euro-Bobl		(453	)		Short		12/8/22		(53,573,521	)		561,742
Euro-Bund		(198	)		Short		12/8/22		(27,089,031	)		(116,902	)
Japan 10-Year Bond		(69	)		Short		12/13/22		(69,034,803	)		(161,450	)
U.S. 5-Year Treasury Note		(188	)		Short		12/30/22		(20,039,625	)		13,338
U.S. Ultra 10-Year Treasury Note		(596	)		Short		12/20/22		(69,126,687	)		5,988,116
U.S. Ultra-Long Treasury Bond		(390	)		Short		12/20/22		(49,785,938	)		8,613,109
											$	21,791,931

Inflation Swaps (Centrally Cleared)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/Unrealized Appreciation (Depreciation)
EUR	11,000	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36	$	1,270,394
EUR	10,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36		1,260,074
EUR	10,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36		1,260,074
EUR	11,410	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.08% (pays upon termination)		1/15/37		1,394,321
EUR	10,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46		(1,482,616	)
EUR	10,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46		(1,486,413	)
EUR	11,000	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46		(1,496,218	)
EUR	11,410	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.18% (pays upon termination)		1/15/47		(1,743,233	)
EUR	4,350	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.10% (pays upon termination)		3/12/50		(1,906,174	)
USD	42,510	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.90% (pays upon termination)		1/11/27		(1,791,340	)
USD	51,550	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.75% (pays upon termination)		10/29/36		(2,188,836	)

40 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Inflation Swaps (Centrally Cleared) (continued)

Notional Amount (000’s omitted)

Portfolio Pays/Receives Return on Reference Index

Reference Index

Portfolio Pays/Receives Rate

Annual Rate

Termination Date

Value/Unrealized Appreciation (Depreciation)

USD

18,160

Pays

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

Receives

2.67% (pays upon termination)

1/7/37

$

(782,665

)

USD

34,300

Receives

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

Pays

2.62% (pays upon termination)

10/29/46

1,485,106

USD

17,300

Receives

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

Pays

2.62% (pays upon termination)

10/29/46

742,079

USD

18,140

Receives

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

Pays

2.54% (pays upon termination)

1/7/47

934,020

USD

5,824

Receives

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

Pays

2.42% (pays upon termination)

6/8/48

589,764

USD

18,700

Receives

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

Pays

2.43% (pays upon termination)

7/18/52

1,044,212

$

(2,897,451

)

Interest Rate Swaps (Centrally Cleared)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
AUD	347,130	Pays	6-month AUD Bank Bill (pays semi-annually)	1.58% (pays semi-annually)		1/17/24	$	(5,775,527	)	$	—	$	(5,775,527	)
BRL	180,151	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.48% (pays upon termination)		1/2/25		(145,328	)		—		(145,328	)
BRL	179,957	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.49% (pays upon termination)		1/2/25		(138,050	)		—		(138,050	)
BRL	118,592	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.51% (pays upon termination)		1/2/25		(81,590	)		—		(81,590	)
BRL	486,400	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	11.74% (pays upon termination)		1/2/25		(13,550	)		—		(13,550	)
CAD	190,420	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.19% (pays semi-annually)		1/18/24		(3,257,093	)		—		(3,257,093	)
CAD	128,330	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.19% (pays semi-annually)		1/18/24		(2,192,344	)		—		(2,192,344	)
CAD	39,900	Pays	3-month Canadian Bankers Acceptances (pays semi-annually)	3.45% (pays semi-annually)		7/21/27		(485,596	)		21		(485,575	)
CAD	54,000	Pays	3-month Canadian Bankers Acceptances (pays semi-annually)	3.86% (pays semi-annually)		9/21/27		93,099			—		93,099

41 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
CLP	3,302,600	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.20% (pays semi-annually)		4/8/32	$	(48,305	)	$	—	$	(48,305	)
CLP	10,143,370	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.35% (pays semi-annually)		4/11/32		(39,654	)		—		(39,654	)
CLP	1,945,360	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.40% (pays semi-annually)		4/20/32		1,587			—		1,587
CLP	9,903,610	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.38% (pays semi-annually)		4/22/32		(834	)		—		(834	)
CNY	111,257	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)		11/1/26		217,675			—		217,675
CNY	229,058	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)		11/1/26		448,155			—		448,155
CNY	91,623	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		182,998			—		182,998
CNY	130,890	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		261,426			—		261,426
CNY	222,514	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		438,375			—		438,375
CNY	307,658	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		606,118			—		606,118
CNY	315,167	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.26% (pays quarterly)		2/7/27		(53,442	)		—		(53,442	)
CNY	113,460	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.26% (pays quarterly)		2/8/27		(17,297	)		—		(17,297	)
CNY	72,173	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.27% (pays quarterly)		2/8/27		(8,941	)		—		(8,941	)
CNY	110,100	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.47% (pays quarterly)		9/21/27		80,505			—		80,505
CNY	187,300	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.47% (pays quarterly)		9/21/27		136,953			—		136,953
CNY	81,200	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.50% (pays quarterly)		9/21/27		84,060			—		84,060
CNY	93,600	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.50% (pays quarterly)		9/21/27		88,824			—		88,824

42 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
CNY	62,500	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.51% (pays quarterly)		9/21/27	$	63,977		$	—	$	63,977
CNY	93,500	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)		9/21/27		100,364			—		100,364
CNY	31,100	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)		9/21/27		34,157			—		34,157
CNY	93,700	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.52% (pays quarterly)		9/21/27		102,911			—		102,911
CNY	93,600	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.53% (pays quarterly)		9/21/27		103,384			—		103,384
COP	86,746,200	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.84% (pays quarterly)		5/5/25		3,096,434			—		3,096,434
COP	40,662,300	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.19% (pays quarterly)		6/4/25		(1,578,204	)		—		(1,578,204	)
COP	61,940,900	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.26% (pays quarterly)		6/5/25		(2,385,972	)		—		(2,385,972	)
COP	85,106,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.34% (pays quarterly)		6/8/25		(3,246,417	)		—		(3,246,417	)
COP	41,729,700	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.44% (pays quarterly)		6/9/25		(1,571,616	)		—		(1,571,616	)
COP	14,659,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.76% (pays quarterly)		11/26/25		602,335			—		602,335
COP	14,659,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.89% (pays quarterly)		11/26/25		591,776			—		591,776
COP	29,320,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.00% (pays quarterly)		11/26/25		1,165,690			—		1,165,690
COP	6,351,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.02% (pays quarterly)		11/26/25		251,972			—		251,972
COP	14,924,500	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.05% (pays quarterly)		11/26/25		589,011			—		589,011
COP	29,320,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.07% (pays quarterly)		11/26/25		1,154,318			—		1,154,318
COP	20,326,400	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.11% (pays quarterly)		11/26/25		796,301			—		796,301
COP	31,578,500	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.16% (pays quarterly)		11/26/25		1,227,488			—		1,227,488

43 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate		Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
COP	17,793,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)		11/26/25	$	687,688		$	—	$	687,688
COP	29,320,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)		11/26/25		1,133,199			—		1,133,199
COP	6,192,100		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.21% (pays quarterly)		11/26/25		239,149			—		239,149
COP	29,320,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.28% (pays quarterly)		11/26/25		1,120,203			—		1,120,203
COP	15,771,100		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.34% (pays quarterly)		11/26/25		596,977			—		596,977
COP	15,877,300		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.55% (pays quarterly)		11/26/25		583,297			—		583,297
COP	66,784,856		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)		11/26/25		2,366,571			—		2,366,571
COP	31,722,800		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.90% (pays quarterly)		11/26/25		1,103,908			—		1,103,908
COP	27,035,200		Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	5.68% (pays quarterly)		11/26/25		(823,199	)		—		(823,199	)
COP	40,836,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.00% (pays quarterly)		11/26/25		1,171,018			—		1,171,018
COP	115,701,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.05% (pays quarterly)		11/26/25		3,284,519			—		3,284,519
COP	35,344,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.06% (pays quarterly)		11/26/25		957,480			—		957,480
COP	74,865,200		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.09% (pays quarterly)		11/26/25		2,017,473			—		2,017,473
COP	36,412,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.14% (pays quarterly)		11/26/25		972,288			—		972,288
COP	37,433,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.18% (pays quarterly)		11/26/25		991,806			—		991,806
COP	76,566,300		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.25% (pays quarterly)		11/26/25		1,998,962			—		1,998,962
COP	149,705,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	7.03% (pays quarterly)		11/26/25		3,438,606			—		3,438,606
COP	12,136,000		Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.60% (pays quarterly)		11/26/25		173,386			—		173,386

44 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
COP	23,044,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.75% (pays quarterly)		11/26/25	$	309,693		$	—		$	309,693
COP	12,136,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	8.85% (pays quarterly)		11/26/25		156,374			—			156,374
COP	12,290,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	9.23% (pays quarterly)		11/26/25		132,278			—			132,278
COP	8,481,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	9.42% (pays quarterly)		11/26/25		82,729			—			82,729
COP	20,273,656	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.00% (pays quarterly)		11/26/25		131,825			—			131,825
COP	7,565,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.17% (pays quarterly)		11/26/25		42,005			(131	)		41,874
COP	14,525,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	10.28% (pays quarterly)		11/26/25		72,073			—			72,073
COP	69,316,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)		3/30/26		2,764,119			—			2,764,119
COP	36,071,400	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.48% (pays quarterly)		3/31/26		1,417,275			—			1,417,275
COP	38,614,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.56% (pays quarterly)		4/6/26		1,496,809			—			1,496,809
COP	77,000,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	11.93% (pays quarterly)		12/21/27		(500,567	)		—			(500,567	)
COP	11,672,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	12.10% (pays quarterly)		12/21/27		(90,413	)		—			(90,413	)
COP	11,441,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.82% (pays quarterly)		3/26/28		581,543			—			581,543
COP	8,172,200	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.83% (pays quarterly)		3/26/28		414,714			—			414,714
COP	16,570,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	11.93% (pays quarterly)		12/21/32		(192,569	)		—			(192,569	)
EUR	3,026	Pays	6-month EURIBOR (pays semi-annually)	2.98% (pays annually)		10/26/25		5,538			—			5,538
EUR	6,472	Pays	6-month EURIBOR (pays semi-annually)	3.06% (pays annually)		10/11/26		40,979			—			40,979
EUR	3,000	Pays	6-month EURIBOR (pays semi-annually)	3.10% (pays annually)		10/18/26		21,560			—			21,560
EUR	1,211	Pays	6-month EURIBOR (pays semi-annually)	2.99% (pays annually)		10/26/26		3,350			—			3,350

45 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value		Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
EUR	12,416	Receives	1-day Euro Short-Term Rate (pays annually)	0.78% (pays annually)		4/7/27	$	899,710	$	—		$	899,710
EUR	12,416	Receives	1-day Euro Short-Term Rate (pays annually)	0.98% (pays annually)		4/13/27		787,424		—			787,424
EUR	3,000	Pays	6-month EURIBOR (pays semi-annually)	3.09% (pays annually)		10/19/27		22,213		—			22,213
EUR	3,000	Pays	6-month EURIBOR (pays semi-annually)	3.12% (pays annually)		10/19/27		27,223		—			27,223
EUR	5,444	Pays	6-month EURIBOR (pays semi-annually)	3.03% (pays annually)		10/10/29		28,275		—			28,275
EUR	1,800	Pays	6-month EURIBOR (pays semi-annually)	3.17% (pays annually)		10/17/29		24,062		—			24,062
EUR	2,719	Pays	6-month EURIBOR (pays semi-annually)	3.01% (pays annually)		10/27/29		7,831		—			7,831
EUR	9,315	Receives	1-day Euro Short-Term Rate (pays annually)	(0.03)% (pays annually)		11/9/31		1,990,090		—			1,990,090
EUR	1,710	Receives	1-day Euro Short-Term Rate (pays annually)	0.78% (pays annually)		3/17/32		259,852		212			260,064
EUR	9,074	Receives	1-day Euro Short-Term Rate (pays annually)	0.98% (pays annually)		4/7/32		1,259,798		—			1,259,798
EUR	9,074	Receives	1-day Euro Short-Term Rate (pays annually)	1.19% (pays annually)		4/13/32		1,093,785		—			1,093,785
EUR	600	Pays	6-month EURIBOR (pays semi-annually)	3.26% (pays annually)		10/17/32		11,987		—			11,987
EUR	1,200	Pays	6-month EURIBOR (pays semi-annually)	3.31% (pays annually)		10/18/32		29,597		—			29,597
EUR	1,200	Pays	6-month EURIBOR (pays semi-annually)	3.20% (pays annually)		10/19/32		18,420		—			18,420
EUR	10,000	Receives	1-day Euro Short-Term Rate (pays annually)	0.82% (pays annually)		3/17/52		3,173,873		—			3,173,873
EUR	8,950	Receives	1-day Euro Short-Term Rate (pays annually)	0.86% (pays annually)		3/18/52		2,761,725		643			2,762,368
EUR	3,019	Receives	1-day Euro Short-Term Rate (pays annually)	0.87% (pays annually)		3/18/52		922,268		(106	)		922,162
EUR	1,770	Receives	1-day Euro Short-Term Rate (pays annually)	1.29% (pays annually)		4/20/52		389,064		33			389,097
INR	2,390,600	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.33% (pays semi-annually)		9/21/27		689,561		—			689,561
INR	1,211,300	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.33% (pays semi-annually)		9/21/27		347,571		—			347,571
INR	1,785,000	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.34% (pays semi-annually)		9/21/27		510,396		—			510,396

46 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
INR	2,980,295	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.34% (pays semi-annually)		9/21/27	$	840,953		$	—	$	840,953
INR	2,464,505	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.36% (pays semi-annually)		9/21/27		673,761			—		673,761
INR	1,652,700	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.53% (pays semi-annually)		9/21/27		314,931			—		314,931
INR	2,674,300	Receives	1-day INR FBIL MIBOR (pays semi-annually)	6.53% (pays semi-annually)		9/21/27		506,249			—		506,249
JPY	1,534,582	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52		1,595,527			—		1,595,527
JPY	1,613,311	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52		1,689,964			—		1,689,964
JPY	1,952,107	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52		2,036,208			—		2,036,208
KRW	280,598,000	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)		10/5/23		(4,723,554	)		—		(4,723,554	)
KRW	192,943,700	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)		10/5/23		(3,246,859	)		—		(3,246,859	)
KRW	122,458,300	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.77% (pays quarterly)		10/5/23		(2,051,862	)		—		(2,051,862	)
KRW	34,139,900	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	3.94% (pays quarterly)		9/21/25		(125,566	)		—		(125,566	)
KRW	62,355,000	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	3.97% (pays quarterly)		9/21/25		(201,141	)		—		(201,141	)
KRW	28,582,000	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	3.70% (pays quarterly)		9/21/27		(341,046	)		—		(341,046	)
KRW	22,980,000	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	3.73% (pays quarterly)		9/21/27		(251,820	)		—		(251,820	)
KRW	20,704,100	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.65% (pays quarterly)		7/19/31		(2,604,307	)		—		(2,604,307	)
NZD	190,540	Pays	3-month NZD Bank Bill (pays quarterly)	2.69% (pays semi-annually)		1/18/24		(2,737,639	)		—		(2,737,639	)
NZD	186,090	Pays	3-month NZD Bank Bill (pays quarterly)	2.71% (pays semi-annually)		1/18/24		(2,653,038	)		—		(2,653,038	)
NZD	14,130	Pays	3-month NZD Bank Bill (pays quarterly)	3.98% (pays semi-annually)		7/25/27		(187,615	)		—		(187,615	)
NZD	18,850	Pays	3-month NZD Bank Bill (pays quarterly)	4.00% (pays semi-annually)		7/25/27		(241,944	)		—		(241,944	)
NZD	24,380	Pays	3-month NZD Bank Bill (pays quarterly)	4.00% (pays semi-annually)		7/25/27		(312,922	)		—		(312,922	)
NZD	27,000	Pays	3-month NZD Bank Bill (pays quarterly)	2.09% (pays semi-annually)		9/23/31		(2,940,445	)		—		(2,940,445	)

47 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
NZD	15,700	Pays	3-month NZD Bank Bill (pays quarterly)	4.18% (pays semi-annually)		6/28/32	$	(211,140)		$	—		$	(211,140)
NZD	6,400	Pays	3-month NZD Bank Bill (pays quarterly)	4.20% (pays semi-annually)		6/28/32		(85,800	)		—			(85,800	)
NZD	13,900	Pays	3-month NZD Bank Bill (pays quarterly)	4.21% (pays semi-annually)		6/28/32		(179,792	)		—			(179,792	)
PLN	54,770	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)		10/14/26		1,968,738			—			1,968,738
PLN	163,380	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)		10/15/26		5,875,791			—			5,875,791
PLN	85,600	Receives	6-month PLN WIBOR (pays semi-annually)	3.39% (pays annually)		12/15/26		2,496,480			—			2,496,480
TWD	653,926	Receives	3-month TWD TAIBOR (pays quarterly)	0.87% (pays quarterly)		11/2/26		483,977			—			483,977
TWD	1,307,851	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)		11/2/26		952,060			—			952,060
TWD	1,307,851	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)		11/2/26		948,882			—			948,882
USD	4,050	Receives	SOFR (pays annually)	1.21% (pays annually)		11/29/26		430,135			—			430,135
USD	24,050	Receives	SOFR (pays annually)	1.39% (pays annually)		1/12/27		2,450,955			—			2,450,955
USD	24,200	Receives	SOFR (pays annually)	1.39% (pays annually)		1/13/27		2,472,597			—			2,472,597
USD	5,458	Pays	SOFR (pays annually)	1.60% (pays semi-annually)		3/10/27		(572,871	)		(4,838	)		(577,709	)
USD	53,814	Receives	SOFR (pays annually)	1.60% (pays semi-annually)		3/10/27		5,641,861			50,576			5,692,437
USD	55,850	Receives	SOFR (pays annually)	1.87% (pays annually)		3/17/27		4,773,218			—			4,773,218
USD	50,000	Receives	SOFR (pays annually)	1.87% (pays annually)		3/17/27		4,261,762			—			4,261,762
USD	21,700	Receives	SOFR (pays annually)	1.26% (pays annually)		11/9/31		4,147,524			—			4,147,524
USD	34,552	Receives	SOFR (pays annually)	1.94% (pays annually)		3/17/32		4,974,262			1,864			4,976,126
USD	4,300	Receives	SOFR (pays annually)	1.43% (pays annually)		11/9/51		1,527,629			—			1,527,629
USD	18,700	Pays	SOFR (pays annually)	2.60% (pays semi-annually)		7/18/52		(2,869,256	)		—			(2,869,256	)
ZAR	72,640	Pays	3-month ZAR JIBAR (pays quarterly)	5.47% (pays quarterly)		2/24/26		(301,506	)		171			(301,335	)
ZAR	476,700	Pays	3-month ZAR JIBAR (pays quarterly)	5.52% (pays quarterly)		2/24/26		(1,938,517	)		1,156			(1,937,361	)
ZAR	474,850	Pays	3-month ZAR JIBAR (pays quarterly)	5.82% (pays quarterly)		3/11/26		(1,707,725	)		1,304			(1,706,421	)
ZAR	474,840	Pays	3-month ZAR JIBAR (pays quarterly)	5.88% (pays quarterly)		3/11/26		(1,660,133	)		1,340			(1,658,793	)
ZAR	327,631	Pays	3-month ZAR JIBAR (pays quarterly)	8.30% (pays quarterly)		9/21/27		(80,151	)		—			(80,151	)

48 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate		Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
ZAR	332,669		Pays	3-month ZAR JIBAR (pays quarterly)	8.31% (pays quarterly)		9/21/27	$	(72,432	)	$	—	$	(72,432	)
Total								$	54,401,887		$	52,245	$	54,454,132

Interest Rate Swaps (OTC)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate		Termination Date		Value/Unrealized Appreciation (Depreciation)
Bank of America, N.A.	MYR	145,100	Receives	3-month MYR KLIBOR (pays quarterly)		3.61% (pays quarterly)		6/15/27	$	703,937
Citibank, N.A.	MYR	61,100	Receives	3-month MYR KLIBOR (pays quarterly)		3.89% (pays quarterly)		9/21/27		162,894
Goldman Sachs International	MYR	114,900	Receives	3-month MYR KLIBOR (pays quarterly)		3.61% (pays quarterly)		6/15/27		557,425
Goldman Sachs International	MYR	140,000	Receives	3-month MYR KLIBOR (pays quarterly)		3.62% (pays quarterly)		6/15/27		672,649
Standard Chartered Bank	MYR	322,200	Receives	3-month MYR KLIBOR (pays quarterly)		3.88% (pays quarterly)		9/21/27		877,935
Total									$	2,974,840

Credit Default Swaps - Sell Protection (Centrally Cleared)
Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**		Current Market Annual Fixed Rate***			Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Indonesia	$	83,700		1.00% (pays quarterly)(1)		1.39	%		12/20/27	$	(1,362,968	)	$	907,102	$	(455,866	)
Pemex		88,206		1.00% (pays quarterly)(1)		6.65			12/20/27		(19,103,107	)		20,087,073		983,966
Total	$	171,906								$	(20,466,075	)	$	20,994,175	$	528,100

Credit Default Swaps - Buy Protection (Centrally Cleared)
Reference Entity	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Austria		18,213	1.00% (pays quarterly)(1)		12/20/27	$	(691,762	)	$	682,439		$	(9,323	)
Finland		18,801	0.25% (pays quarterly)(1)		12/20/27		29,444			(39,214	)		(9,770	)

49 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Credit Default Swaps - Buy Protection (Centrally Cleared) (continued)
Reference Entity	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
France		87,573	0.25% (pays quarterly)(1)		12/20/27	$	249,004		$	(122,480	)	$	126,524
Germany		85,444	0.25% (pays quarterly)(1)		12/20/27		63,033			280,031			343,064
Hungary		19,438	1.00% (pays quarterly)(1)		12/20/27		1,310,567			(1,564,616	)		(254,049	)
Malaysia		286,450	1.00% (pays quarterly)(1)		12/20/27		658,760			647,644			1,306,404
Markit CDX Emerging Markets Index (CDX.EM.31.V3)		860	1.00% (pays quarterly)(1)		6/20/24		7,594			(43,156	)		(35,562	)
Markit CDX North America High Yield Index (CDX.NA.HY.39.V1)		88,968	5.00% (pays quarterly)(1)		12/20/27		176,486			(3,556,047	)		(3,379,561	)
Markit iTraxx Europe Index (ITRAXX.EUR.38.V1)	EUR	71,200	1.00% (pays quarterly)(1)		12/20/27		366,889			(732,749	)		(365,860	)
Mexico		73,168	1.00% (pays quarterly)(1)		12/20/27		1,904,448			(2,551,265	)		(646,817	)
Philippines		77,200	1.00% (pays quarterly)(1)		12/20/27		852,278			(281,173	)		571,105
Poland		73,949	1.00% (pays quarterly)(1)		12/20/27		1,660,315			(2,036,233	)		(375,918	)
Qatar		67,769	1.00% (pays quarterly)(1)		12/20/27		(1,303,352	)		1,206,207			(97,145	)
Saudi Arabia		55,726	1.00% (pays quarterly)(1)		6/20/27		(850,885	)		618,477			(232,408	)
Saudi Arabia		215,880	1.00% (pays quarterly)(1)		12/20/27		(3,232,846	)		4,599,783			1,366,937
South Africa		64,567	1.00% (pays quarterly)(1)		12/20/27		5,444,471			(4,664,545	)		779,926
South Africa		58,700	1.00% (pays quarterly)(1)		6/20/29		7,264,275			(5,686,428	)		1,577,847
South Africa		9,464	1.00% (pays quarterly)(1)		6/20/31		1,570,477			(1,246,246	)		324,231
Spain		127,300	1.00% (pays quarterly)(1)		12/20/27		(2,414,479	)		2,341,453			(73,026	)
Turkey		30,665	1.00% (pays quarterly)(1)		12/20/27		6,410,109			(6,538,325	)		(128,216	)
United Kingdom		85,267	1.00% (pays quarterly)(1)		12/20/27		(2,840,613	)		1,999,089			(841,524	)
Total						$	16,634,213		$	(16,687,354	)	$	(53,141	)

50 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Credit Default Swaps - Sell Protection (OTC)

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Current Market Annual Fixed Rate***			Termination Date			Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Vietnam	BNP Paribas	$	36,400	1.00% (pays quarterly)(1)		1.56	%		12/20/27	��	$	(869,046	)	$	1,172,373		$	303,327
Vietnam	Goldman Sachs International		19,880	1.00% (pays quarterly)(1)		0.71			6/20/24			114,386			(97,108	)		17,278
Vietnam	Goldman Sachs International		38,820	1.00% (pays quarterly)(1)		1.56			12/20/27			(926,823	)		1,332,593			405,770
Vietnam	Goldman Sachs International		5,000	1.00% (pays quarterly)(1)		1.56			12/20/27			(119,375	)		148,393			29,018
Vietnam	Nomura International PLC		3,500	1.00% (pays quarterly)(1)		1.56			12/20/27			(83,562	)		115,699			32,137
Total		$	103,600								$	(1,884,420	)	$	2,671,950		$	787,530

Credit Default Swaps - Buy Protection (OTC)
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Czech Republic	JPMorgan Chase Bank, N.A.	$	19,840	1.00% (pays quarterly)		12/20/27	$	(434,880	)	$	408,512		$	(26,368	)
Dubai	Barclays Bank PLC		6,348	1.00% (pays quarterly)(1)		12/20/24		(47,893	)		(45,060	)		(92,953	)
Dubai	Barclays Bank PLC		9,572	1.00% (pays quarterly)(1)		12/20/24		(72,217	)		(68,004	)		(140,221	)
Egypt	Barclays Bank PLC		9,744	1.00% (pays quarterly)(1)		12/20/24		1,620,691			(409,561	)		1,211,130
Egypt	JPMorgan Chase Bank, N.A.		9,097	1.00% (pays quarterly)(1)		12/20/24		1,513,077			(381,585	)		1,131,492
Oman	Bank of America, N.A.		14,372	1.00% (pays quarterly)(1)		12/20/22		(15,784	)		(20,781	)		(36,565	)
Romania	Barclays Bank PLC		19,120	1.00% (pays quarterly)(1)		12/20/27		2,203,556			(2,310,343	)		(106,787	)
Saudi Arabia	Barclays Bank PLC		25,486	1.00% (pays quarterly)(1)		6/20/31		(119,570	)		(405,444	)		(525,014	)
Saudi Arabia	Goldman Sachs International		57,200	1.00% (pays quarterly)(1)		12/20/32		(20,067	)		416,918			396,851
Sweden	Barclays Bank PLC		41,185	0.25% (pays quarterly)		12/20/27		(110,720	)		95,830			(14,890	)
Total							$	4,516,193		$	(2,719,518	)	$	1,796,675

51 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

* If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2022, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $275,506,000.

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

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

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

⁽²⁾  In U.S. dollars unless otherwise indicated.

Total Return Swaps
Counterparty	Notional Amount (000’s omitted)		Portfolio Receives	Portfolio Pays	Termination Date		Value/Unrealized Appreciation (Depreciation)
Barclays Bank PLC	USD	12,970	SOFR (pays upon termination)	Return on iBoxx USD Liquid Leveraged Loans Index (pays upon termination)		12/20/22	$	(268,397	)
JPMorgan Chase Bank, N.A.	USD	29,200	SOFR (pays upon termination)	Return on iBoxx USD Liquid High Yield Index (pays upon termination)		12/20/22		(905,243	)
							$	(1,173,640	)

Cross-Currency Swaps (OTC)
Counterparty	Portfolio Receives	Portfolio Pays		Effective Date/ Termination Date(1)	Value/Unrealized Appreciation (Depreciation)
BNP Paribas	3-month PLN WIBOR + 1.45% on PLN 33,244,125 (Notional Amount) (pays quarterly) plus EUR equivalent of Notional Amount at effective date*		3-month EURIBOR on EUR equivalent of Notional Amount at effective date (pays quarterly) plus Notional Amount*	10/14/2025/ 10/14/2028	$       (1,900)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 2,698,942,950 (pays semi-annually)**		2.10% on CLP equivalent of CLF 85,000 (pays semi-annually)**	Not Applicable/4/8/32	(167,431)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 8,224,633,060 (pays semi-annually)**		2.25% on CLP equivalent of CLF 259,000 (pays semi-annually)**	Not Applicable/4/11/32	(629,513)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 1,531,614,475 (pays semi-annually)**		1.85% on CLP equivalent of CLF 47,900 (pays semi-annually)**	Not Applicable/4/20/32	(49,347)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 7,619,665,200 (pays semi-annually)**		1.84% on CLP equivalent of CLF 238,000 (pays semi-annually)**	Not Applicable/4/22/32	(235,799)
					$(1,083,990)

⁽¹⁾  Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual.

* The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

** At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date.

52 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Portfolio of Investments — continued

Abbreviations:

ADR	–	American Depositary Receipt
CPI-U (NSA)	–	Consumer Price Index All Urban Non-Seasonally Adjusted
EURIBOR	–	Euro Interbank Offered Rate
FBIL	–	Financial Benchmarks India Ltd.
GDP	–	Gross Domestic Product
HICP	–	Harmonised Indices of Consumer Prices
JIBAR	–	Johannesburg Interbank Average Rate
KLIBOR	–	Kuala Lumpur Interbank Offered Rate

LIBOR	–	London Interbank Offered Rate
MIBOR	–	Mumbai Interbank Offered Rate
OTC	–	Over-the-counter
PIK	–	Payment In Kind
SOFR	–	Secured Overnight Financing Rate
TAIBOR	–	Taipei Interbank Offered Rate
WIBOR	–	Warsaw Interbank Offered Rate
WTI	–	West Texas Intermediate

Currency Abbreviations:

AED	–	United Arab Emirates Dirham
ARS	–	Argentina Peso
AUD	–	Australian Dollar
BHD	–	Bahraini Dinar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CLF	–	Chilean Unidad de Fomento
CLP	–	Chilean Peso
CNH	–	Yuan Renminbi Offshore
CNY	–	Yuan Renminbi
COP	–	Colombian Peso
CRC	–	Costa Rican Colon
CZK	–	Czech Koruna
DOP	–	Dominican Peso
EGP	–	Egyptian Pound
EUR	–	Euro
IDR	–	Indonesian Rupiah
INR	–	Indian Rupee
ISK	–	Icelandic Krona
JPY	–	Japanese Yen
KES	–	Kenyan Shilling

KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge
MYR	–	Malaysian Ringgit
NZD	–	New Zealand Dollar
OMR	–	Omani Rial
PEN	–	Peruvian Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
RSD	–	Serbian Dinar
SAR	–	Saudi Riyal
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	New Turkish Lira
TWD	–	Taiwan New Dollar
UAH	–	Ukrainian Hryvnia
UGX	–	Ugandan Shilling
USD	–	United States Dollar
UYU	–	Uruguayan Peso
UZS	–	Uzbekistani Som
ZAR	–	South African Rand
ZMW	–	Zambian Kwacha

53 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Statement of Assets and Liabilities

Assets	October 31, 2022
Unaffiliated investments, at value (identified cost $2,124,509,253)	$	1,619,211,758
Affiliated investment, at value (identified cost $118,583,106)		118,583,106
Cash		2,908,850
Deposits for derivatives collateral:
Futures contracts		4,500,020
Centrally cleared derivatives		157,282,896
OTC derivatives		4,070,000
Foreign currency, at value (identified cost $20,976,518)		22,014,748
Cash collateral for securities sold short		170,277,465
Interest and dividends receivable		39,560,726
Dividends receivable from affiliated investment		364,672
Receivable for investments sold		4,363,254
Receivable for variation margin on open futures contracts		1,208,959
Receivable for variation margin on open centrally cleared derivatives		6,914,223
Receivable for open forward foreign currency exchange contracts		30,548,134
Receivable for open swap contracts		6,501,843
Upfront payments on open non-centrally cleared swap contracts		3,737,886
Receivable for closed swap contracts		215,341
Receivable for open non-deliverable bond forward contracts		3,112,595
Receivable from affiliate		19,281
Total assets	$	2,195,395,757
Liabilities
Cash collateral due to brokers	$	4,070,000
Payable for reverse repurchase agreements, including accrued interest of $6,230		71,886,043
Payable for investments purchased		6,429,196
Payable for securities sold short, at value (proceeds $149,429,485)		143,637,166
Payable for open forward foreign currency exchange contracts		12,852,613
Payable for open swap contracts		3,200,428
Payable for closed swap contracts		580,204
Payable for closed non-deliverable bond forward contracts		496,353
Upfront receipts on open non-centrally cleared swap contracts		3,690,318
Payable for open non-deliverable bond forward contracts		964,623
Payable to affiliates:
Investment adviser fee		1,540,738
Trustees’ fees		9,218
Interest payable on securities sold short		386,239
Accrued expenses		881,516
Total liabilities	$	250,624,655
Net Assets applicable to investors’ interest in Portfolio	$	1,944,771,102

54 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Statement of Operations

Investment Income	Year Ended October 31, 2022
Dividend income (net of foreign taxes withheld of $288,041)	$	4,104,102
Dividend income from affiliated investments		1,417,612
Interest and other income (net of foreign taxes withheld of $1,071,970)	��	155,002,913
Total investment income	$	160,524,627
Expenses
Investment adviser fee	$	20,855,978
Trustees’ fees and expenses		108,500
Custodian fee		1,199,700
Legal and accounting services		263,970
Interest expense and fees		1,024,469
Interest and dividend expense on securities sold short		2,528,499
Miscellaneous		80,473
Total expenses	$	26,061,589
Deduct:
Waiver and/or reimbursement of expenses by affiliate	$	234,146
Total expense reductions	$	234,146
Net expenses	$	25,827,443
Net investment income	$	134,697,184
Realized and Unrealized Gain (Loss)
Net realized gain (loss):
Investment transactions (net of foreign capital gains taxes of $241,038)	$	(132,903,208	)
Investment transactions - affiliated investments		(26,308	)
Securities sold short		10,528,437
Futures contracts		46,403,574
Swap contracts		183,150,289
Foreign currency transactions		(12,646,427	)
Forward foreign currency exchange contracts		88,617,885
Non-deliverable bond forward contracts		(43,178,015	)
Net realized gain	$	139,946,227
Change in unrealized appreciation (depreciation):
Investments (including net decrease in accrued foreign capital gains taxes of $29,779)	$	(472,566,019	)
Securities sold short		8,484,834
Futures contracts		12,090,601
Swap contracts		61,555,321
Foreign currency		44,112
Forward foreign currency exchange contracts		7,985,203
Non-deliverable bond forward contracts		3,868,522
Net change in unrealized appreciation (depreciation)	$	(378,537,426	)
Net realized and unrealized loss	$	(238,591,199	)
Net decrease in net assets from operations	$	(103,894,015	)

55 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Statements of Changes in Net Assets

	Year Ended October 31,
Increase (Decrease) in Net Assets	2022			2021
From operations:
Net investment income	$	134,697,184		$	163,892,797
Net realized gain (loss)		139,946,227			(45,072,641	)
Net change in unrealized appreciation (depreciation)		(378,537,426	)		61,571,718
Net increase (decrease) in net assets from operations	$	(103,894,015	)	$	180,391,874
Capital transactions:
Contributions	$	273,908,421		$	424,628,148
Withdrawals		(857,398,700	)		(1,018,584,474	)
Net decrease in net assets from capital transactions	$	(583,490,279	)	$	(593,956,326	)
Net decrease in net assets	$	(687,384,294	)	$	(413,564,452	)
Net Assets
At beginning of year	$	2,632,155,396		$	3,045,719,848
At end of year	$	1,944,771,102		$	2,632,155,396

56 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Consolidated Financial Highlights

	Year Ended October 31,
Ratios/Supplemental Data	2022			2021			2020			2019			2018
Ratios (as a percentage of average daily net assets):
Expenses(1)		1.17	%(2)(3)		1.12	%		1.11	%(3)		1.26	%(3)		1.11	%(3)
Net investment income		6.13	%		5.37	%		5.69	%		5.86	%		5.09	%
Portfolio Turnover		94	%		82	%		80	%		71	%		75	%
Total Return		(4.83	)%(3)		5.94	%		6.57	%(3)		8.22	%(3)		(7.08	)%(3)
Net assets, end of year (000’s omitted)	$	1,944,771		$	2,632,155		$	3,045,720		$	3,331,278		$	4,516,938

⁽¹⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.16%, 0.11%, 0.09%, 0.24% and 0.07% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

⁽²⁾  Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the year ended October 31, 2022).

⁽³⁾  The investment adviser reimbursed certain operating expenses (equal to 0.01%, 0.04%, 0.05% and 0.03% of average daily net assets for the years ended October 31, 2022, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower.

57

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements

1  Significant Accounting Policies

Global Macro Absolute Return Advantage Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2022, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Short Duration Strategic Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 78.3%, 21.2% and 0.5%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2022 were $20,009,348 or 1.0% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.

Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.

Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service.

Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices.

Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.

Foreign Securities, Futures Contracts and Currencies. Foreign securities, futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign futures contracts that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities and foreign futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign futures contracts.

58

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.

Fair Valuation. In connection with Rule 2a-5 of the 1940 Act, which became effective September 8, 2022, the Trustees have designated the Portfolio’s investment adviser as its valuation designee. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued by the investment adviser, as valuation designee, at fair value using methods that most fairly reflect the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B  Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.

D  Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of October 31, 2022, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

F  Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.

G  Use of Estimates — The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

H  Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could

59

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

I  Futures Contracts — Upon entering into a futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index, or commodity and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

J  Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be “centrally cleared”, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.

K  Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

L  Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

M  Inflation Swaps — Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. The accounting policy for payments received or made and changes in the underlying value of the inflation swap are the same as for interest rate swaps as described above. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from the unanticipated movements in value of interest rates or the index.

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N  Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

O  Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 6 and 10. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

P  Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

Q  Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

R  Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.

S  Reverse Repurchase Agreements — Under a reverse repurchase agreement, the Portfolio temporarily transfers possession of a portfolio security to another party, such as a bank or broker/dealer, in return for cash. At the same time, the Portfolio agrees to repurchase the security at an agreed upon time

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and price, which reflects an interest payment. In periods of increased demand for a security, the Portfolio may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Because the Portfolio retains effective control over the transferred security, the transaction is accounted for as a secured borrowing. The Portfolio may enter into such agreements when it believes it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Portfolio enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Portfolio’s assets. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds (and the counterparty making a loan), they constitute a form of leverage. The Portfolio segregates cash or liquid assets equal to its obligation to repurchase the security. During the term of the agreement, the Portfolio may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security. In the event the counterparty to a reverse repurchase agreement becomes insolvent, recovery of the security transferred by the Portfolio may be delayed or the Portfolio may incur a loss equal to the amount by which the value of the security transferred by the Portfolio exceeds the repurchase price payable by the Portfolio.

T  Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.

U  Stripped Mortgage-Backed Securities — The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, forms of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. The Portfolio and Subsidiary each pay BMR a fee computed at an annual rate as a percentage of its respective average daily net assets as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $500 million		1.000	%
$500 million but less than $1 billion		0.950	%
$1 billion but less than $2.5 billion		0.925	%
$2.5 billion but less than $5 billion		0.900	%
$5 billion and over		0.880	%

In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the year ended October 31, 2022, the Portfolio’s investment adviser fee amounted to $20,855,978 or 0.95% of the Portfolio’s consolidated average daily net assets. Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the year ended October 31, 2022, the investment adviser fee paid was reduced by $97,332 relating to the Portfolio’s investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM), an affiliate of BMR. EVM did not receive a fee for advisory services provided to Cash Reserves Fund. Pursuant to a voluntary expense reimbursement, BMR was allocated $136,814 of the Portfolio’s operating expenses for the year ended October 31, 2022.

Pursuant to an investment sub-advisory agreement effective March 16, 2022, BMR has delegated a portion of the investment management of the Portfolio to Eaton Vance Advisers International Ltd. (EVAIL), an affiliate of BMR and an indirect, wholly-owned subsidiary of Morgan Stanley. EVAIL uses the portfolio management, research and other resources of its affiliate, MSIM Fund Management (Ireland) Limited (MSIM FMIL), to render investment advisory

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Notes to Consolidated Financial Statements — continued

services to the Portfolio. MSIM FMIL has entered into a Memorandum of Understanding with EVAIL pursuant to which MSIM FMIL is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. BMR pays EVAIL a portion of its investment adviser fee for sub-advisory services provided to the Portfolio.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2022, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the year ended October 31, 2022 were as follows:

	Purchases		Sales
Investments (non-U.S. Government)	$	1,498,252,758	$	1,537,623,722
U.S. Government and Agency Securities		122,817,530		—
	$	1,621,070,288	$	1,537,623,722

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolio’s investment in the Subsidiary, at October 31, 2022, as determined on a federal income tax basis, were as follows:

Aggregate cost	$	2,138,276,199
Gross unrealized appreciation	$	60,890,589
Gross unrealized depreciation		(566,773,257	)
Net unrealized depreciation	$	(505,882,668	)

5  Restricted Securities

At October 31, 2022, the Portfolio owned the following securities (representing 0.7% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued by the investment adviser as the Trustees’ valuation designee.

Description	Date(s) of Acquisition		Shares		Cost		Value
Reinsurance Side Cars
Mt. Logan Re, Ltd., Series A-1		12/30/20		8,600	$	8,600,000	$	6,917,664
Sussex Capital, Ltd., Designated Investment Series 14, 12/21		1/24/22		1,114		—		805,918
Sussex Capital, Ltd., Series 14, Preference Shares		6/1/21		7,500		7,500,000		5,928,142
Total Restricted Securities					$	16,100,000	$	13,651,724

6  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, non-deliverable bond forward contracts, futures contracts and swap contracts and may involve, to a

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varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at October 31, 2022 is included in the Consolidated Portfolio of Investments. At October 31, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

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

Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including commodity futures contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.

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

Equity Price Risk: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.

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

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

The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $18,894,803. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $12,616,936 at October 31, 2022.

The OTC derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at October 31, 2022 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 10) at October 31, 2022. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered 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, 2022 was as follows:

	Fair Value
Consolidated Statement of Assets and Liabilities Caption	Commodity			Credit			Equity Price			Foreign Exchange			Interest Rate			Total
Unaffiliated investments, at value	$	—		$	—		$	—		$	—		$	42		$	42
Not applicable		8,079,169	*		27,968,150	*		—			22,325,542	*		134,503,825	*		192,876,686
Receivable for open forward foreign currency exchange contracts		—			—			—			30,548,134			—			30,548,134
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts		—			5,451,710			—			—			2,974,840			8,426,550
Receivable for open non-deliverable bond forward contracts		—			—			—			—			3,112,595			3,112,595
Total Asset Derivatives	$	8,079,169		$	33,419,860		$	—		$	52,873,676		$	140,591,302		$	234,964,007
Derivatives not subject to master netting or similar agreements	$	8,079,169		$	27,968,150		$	—		$	22,325,542		$	134,503,825		$	192,876,686
Total Asset Derivatives subject to master netting or similar agreements	$	—		$	5,451,710		$	—		$	30,548,134		$	6,087,477		$	42,087,321
Not applicable	$	—		$	(31,800,012	)*	$	(662,863	)*	$	(10,008,411	)*	$	(68,623,764	)*	$	(111,095,050	)
Payable for open forward foreign currency exchange contracts		—			—			—			(12,852,613	)		—			(12,852,613	)
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts		—			(2,819,937	)		—			—			(2,257,630	)		(5,077,567	)
Payable for open non-deliverable bond forward contracts		—			—			—			—			(964,623	)		(964,623	)
Total Liability Derivatives	$	—		$	(34,619,949	)	$	(662,863	)	$	(22,861,024	)	$	(71,846,017	)	$	(129,989,853	)
Derivatives not subject to master netting or similar agreements	$	—		$	(31,800,012	)	$	(662,863	)	$	(10,008,411	)	$	(68,623,764	)	$	(111,095,050	)
Total Liability Derivatives subject to master netting or similar agreements	$	—		$	(2,819,937	)	$	—		$	(12,852,613	)	$	(3,222,253	)	$	(18,894,803	)

* Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable.

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The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of October 31, 2022.

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(a)			Cash Collateral Received(a)			Net Amount of Derivative Assets(b)			Total Cash Collateral Received
Bank of America, N.A.	$	5,226,924		$	(898,544	)	$	(1,337,378	)	$	—		$	2,991,002		$	—
Barclays Bank PLC		4,017,135			(618,797	)		—			(3,398,338	)		—			3,440,000
BNP Paribas		4,368,661			(2,410,148	)		(593,459	)		(630,000	)		735,054			630,000
Citibank, N.A.		1,158,955			(82,211	)		—			—			1,076,744			—
Deutsche Bank AG		109,683			—			—			—			109,683			—
Goldman Sachs International		10,077,931			(3,072,229	)		(5,480,744	)		—			1,524,958			—
JPMorgan Chase Bank, N.A.		3,062,304			(1,340,123	)		(1,722,181	)		—			—			—
Standard Chartered Bank		11,035,227			(8,614,366	)		—			—			2,420,861			—
State Street Bank and Trust Company		1,520,095			(466,108	)		(562,314	)		—			491,673			—
UBS AG		1,510,406			(358,963	)		(688,404	)		—			463,039			—
	$	42,087,321		$	(17,861,489	)	$	(10,384,480	)	$	(4,028,338	)	$	9,813,014		$	4,070,000
Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(a)			Cash Collateral Pledged(a)			Net Amount of Derivative Liabilities(c)			Total Cash Collateral Pledged
Bank of America, N.A.	$	(898,544	)	$	898,544		$	—		$	—		$	—		$	—
Barclays Bank PLC		(618,797	)		618,797			—			—			—			—
BNP Paribas		(2,410,148	)		2,410,148			—			—			—			—
Citibank, N.A.		(82,211	)		82,211			—			—			—			—
Goldman Sachs International		(3,072,229	)		3,072,229			—			—			—			—
HSBC Bank USA, N.A.		(10,706	)		—			—			—			(10,706	)		—
ICBC Standard Bank plc		(784,162	)		—			781,595			—			(2,567	)		—
JPMorgan Chase Bank, N.A.		(1,340,123	)		1,340,123			—			—			—			—
Nomura International PLC		(83,562	)		—			69,964			—			(13,598	)		—
Societe Generale		(154,884	)		—			154,884			—			—			—
Standard Chartered Bank		(8,614,366	)		8,614,366			—			—			—			—
State Street Bank and Trust Company		(466,108	)		466,108			—			—			—			—
UBS AG		(358,963	)		358,963			—			—			—			—
	$	(18,894,803	)	$	17,861,489		$	1,006,443		$	—		$	(26,871	)	$	—
Total — Deposits for derivatives collateral — OTC derivatives																$	4,070,000

^(a)  In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount due from the counterparty in the event of default.

^(c)  Net amount represents the net amount payable to the counterparty in the event of default.

66

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

Information with respect to reverse repurchase agreements at October 31, 2022 is included at Note 8.

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the year ended October 31, 2022 was as follows:

Consolidated Statement of Operations Caption	Commodity			Credit		Equity Price			Foreign Exchange		Interest Rate			Total
Net realized gain (loss):
Investment transactions	$	—		$	—	$	—		$	—	$	(6,323,036	)	$	(6,323,036	)
Futures contracts		6,029,207			—		2,087,575			—		38,286,792			46,403,574
Swap contracts		(25,853,567	)		152,075,728		1,951,749			428,227		54,548,152			183,150,289
Forward foreign currency exchange contracts		—			—		—			88,617,885		—			88,617,885
Non-deliverable bond forward contracts		—			—		—			—		(43,178,015	)		(43,178,015	)
Total	$	(19,824,360	)	$	152,075,728	$	4,039,324		$	89,046,112	$	43,333,893		$	268,670,697
Change in unrealized appreciation (depreciation):
Investments	$	—		$	—	$	—		$	6,170,707	$	(799,389	)	$	5,371,318
Futures contracts		8,079,169			—		(1,755,703	)		—		5,767,135			12,090,601
Swap contracts		6,506,802			4,845,592		(1,513,821	)		—		51,716,748			61,555,321
Forward foreign currency exchange contracts		—			—		—			7,985,203		—			7,985,203
Non-deliverable bond forward contracts		—			—		—			—		3,868,522			3,868,522
Total	$	14,585,971		$	4,845,592	$	(3,269,524	)	$	14,155,910	$	60,553,016		$	90,870,965

The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended October 31, 2022, which are indicative of the volume of these derivative types, were approximately as follows:

Futures Contracts — Long	Futures Contracts — Short	Forward Foreign Currency Exchange Contracts*	Non-Deliverable Bond Forward Contracts	Purchased Swaptions
$75,570,000	$376,552,000	$4,592,242,000	$296,212,000	$67,711,000

Purchased Call Options	Swap Contracts
$1,817,900,000	$6,404,704,000

* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.

67

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

7  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $725 million unsecured line of credit agreement with a group of banks, which is in effect through October 24, 2023. In connection with the renewal of the agreement on October 25, 2022, the borrowing limit was decreased from $800 million. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Also in connection with the renewal of the agreement, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2022.

8  Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of October 31, 2022 were as follows:

Counterparty	Trade Date		Maturity Date		Interest Rate Paid			Principal Amount		Value Including Accrued Interest
Bank of America, N.A.		10/31/22		11/1/22		3.12	%	$	71,879,813	$	71,886,043
Total								$	71,879,813	$	71,886,043

At October 31, 2022, the remaining contractual maturity of all open reverse repurchase agreements was less than 30 days. The type of securities pledged as collateral for all open reverse repurchase agreements was U.S. Treasury Obligations.

For the year ended October 31, 2022, the average borrowings under settled reverse repurchase agreements and the average interest rate paid were approximately $24,142,000 and 2.27%, respectively. Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at October 31, 2022. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy (see Note 10) at October 31, 2022.

Reverse repurchase agreements entered into by the Portfolio are subject to Master Repurchase Agreements (MRA), which permit the Portfolio, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Portfolio.

The following table presents the Portfolio’s reverse repurchase agreements net of amounts available for offset under an MRA and net of the related collateral pledged by the Portfolio as of October 31, 2022.

Counterparty	Reverse Repurchase Agreements*			Assets Available for Offset		Securities Collateral Pledged(a)		Net Amount(b)
Bank of America, N.A.	$	(71,886,043	)	$	—	$	71,886,043	$	—

* Including accrued interest

^(a)  In some instances, the total collateral pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount payable to the counterparty in the event of default.

9   Investments in Affiliated Funds

At October 31, 2022, the value of the Portfolio’s investment in funds that may be deemed to be affiliated was $118,583,106, which represents 6.1% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the year ended October 31, 2022 were as follows:

Name	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)			Change in unrealized appreciation (depreciation)		Value, end of period		Dividend income		Units/Shares, end of period
Short-Term Investments
Cash Reserves Fund	$	244,492,544	$	1,346,185,859	$	(1,590,652,095	)	$	(26,308	)	$	—	$	—	$	86,799		—
Liquidity Fund		—		1,433,369,772		(1,314,786,666	)		—			—		118,583,106		1,330,813		118,583,106
Total								$	(26,308	)	$	—	$	118,583,106	$	1,417,612

68

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

10  Fair Value Measurements

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

• Level 1 – quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At October 31, 2022, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3		Total
Asset-Backed Securities	$	—		$	43,927,324		$	—	$	43,927,324
Collateralized Mortgage Obligations		—			42,123,013			—		42,123,013
Common Stocks		12,167,154			77,788,941	*		467,194		90,423,289
Convertible Bonds		—			7,405,888			—		7,405,888
Foreign Corporate Bonds		—			154,002,094			0		154,002,094
Loan Participation Notes		—			—			43,646,597		43,646,597
Reinsurance Side Cars		—			—			20,645,423		20,645,423
Senior Floating-Rate Loans		—			16,644,320			608,224		17,252,544
Sovereign Government Bonds		—			820,551,003			65,632,437		886,183,440
Sovereign Loans		—			131,305,317			—		131,305,317
U.S. Government Guaranteed Small Business Administration Loans		—			16,458,956			—		16,458,956
U.S. Treasury Obligations		—			71,811,094			—		71,811,094
Warrants		75,797			—			—		75,797
Miscellaneous		—			—			0		0
Short-Term Investments:
Affiliated Fund		118,583,106			—			—		118,583,106
Repurchase Agreements		—			33,700,873			—		33,700,873
Sovereign Government Securities		—			—			5,286,231		5,286,231
U.S. Treasury Obligations		—			54,963,836			—		54,963,836
Purchased Call Options		—			42			—		42
Total Investments	$	130,826,057		$	1,470,682,701		$	136,286,106	$	1,737,794,864
Forward Foreign Currency Exchange Contracts	$	—		$	52,873,676		$	—	$	52,873,676
Non-Deliverable Bond Forward Contracts		—			3,112,595			—		3,112,595
Futures Contracts		23,255,474			—			—		23,255,474
Swap Contracts		—			155,722,220			—		155,722,220
Total	$	154,081,531		$	1,682,391,192		$	136,286,106	$	1,972,758,829
Liability Description
Securities Sold Short	$	(111,761,850	)	$	(31,875,316	)	$	—	$	(143,637,166	)
Forward Foreign Currency Exchange Contracts		—			(22,861,024	)		—		(22,861,024	)
Non-Deliverable Bond Forward Contracts		—			(964,623	)		—		(964,623	)
Futures Contracts		(1,004,488	)		(459,055	)		—		(1,463,543	)

69

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

Liability Description (continued)	Level 1			Level 2			Level 3		Total
Swap Contracts	$	—		$	(104,700,663	)	$	—	$	(104,700,663	)
Total	$	(112,766,338	)	$	(160,860,681	)	$	—	$	(273,627,019	)

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

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

	Common Stocks		Foreign Corporate Bonds		Loan Participation Notes			Reinsurance Side Cars*			Senior Floating- Rate Loans			Sovereign Government Bonds			Sovereign Government Securities			Total
Balance as of October 31, 2021	$	390,302	$	0	$	55,266,184		$	22,146,350		$	977,300		$	—		$	—		$	78,780,136
Realized gains (losses)		—		—		(878,738	)		—			—			(2,722,802	)		—			(3,601,540	)
Change in net unrealized appreciation (depreciation)		76,892		—		(2,320,237	)		(2,277,932	)		(478,457	)		(185,260,736	)		(1,707,857	)		(191,968,327	)
Cost of purchases		—		—		—			7,100,000			—			39,041,257			6,803,065			52,944,322
Proceeds from sales, including return of capital		—		—		(8,882,375	)		(6,322,995	)		—			(37,257,452	)		—			(52,462,822	)
Accrued discount (premium)		—		—		461,763			—			109,381			963,875			191,023			1,726,042
Transfers to Level 3		—		—		—			—			—			250,868,295			—			250,868,295
Transfers from Level 3		—		—		—			—			—			—			—			—
Balance as of October 31, 2022	$	467,194	$	0	$	43,646,597		$	20,645,423		$	608,224		$	65,632,437		$	5,286,231		$	136,286,106
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2022	$	76,892	$	—	$	(2,832,068	)	$	(2,215,967	)	$	(478,457	)	$	(182,201,670	)	$	(1,707,857	)	$	(189,359,127	)

Not included in the table above are investments in securities categorized as Miscellaneous in the Portfolio of Investments which were acquired during the year ended October 31, 2022 at $0 cost and valued at $0 at October 31, 2022.

* The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations.

The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of October 31, 2022:

Type of Investment	Fair Value as of October 31, 2022		Valuation Technique	Unobservable Input	Input			Impact to Valuation from an Increase to Input*
Common Stocks	$	467,194	Market Approach	EBITDA Multiple Discount Rate		15	%		Decrease
Foreign Corporate Bonds		0	Estimated Recovery Value	Estimated Recovery Value Percentage		0	%		Increase
Loan Participation Notes		43,646,597	Matrix Pricing	Ajdusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate		3.59	%		Decrease
Senior Floating-Rate Loans		608,224	Market Approach	Discount Rate		10	%		Decrease
Sovereign Government Bonds		65,632,437	Third Party Indication of Value	Foreign Currency Exchange Rate		40.20 UAH/USD			Decrease
Sovereign Government Securities		5,286,231	Third Party Indication of Value	Foreign Currency Exchange Rate		40.20 UAH/USD			Decrease

70

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Notes to Consolidated Financial Statements — continued

* Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

11  Risks and Uncertainties

Risks Associated with Foreign Investments

Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.

Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.

Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.

On February 24, 2022, Russia launched an invasion of Ukraine, following rising tensions over the buildup of Russian troops along the Ukrainian border and joint military exercises by Russia with Belarus. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. The conflict and sanctions have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Belarus and Ukraine. The conflict could also have a significant effect on investments outside the region. The duration and extent of the military conflict with Russia and the related sanctions cannot be predicted at this time.

LIBOR Transition Risk

Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.

Pandemic Risk

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.

71

Global Macro Absolute Return Advantage Portfolio

October 31, 2022

Report of Independent Registered Public Accounting Firm

To the Trustees and Investors of Global Macro Absolute Return Advantage Portfolio:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities of Global Macro Absolute Return Advantage Portfolio and subsidiary (the “Portfolio”), including the consolidated portfolio of investments, as of October 31, 2022, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of October 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities and senior loans owned as of October 31, 2022, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

December 29, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

72

Eaton Vance

Global Macro Absolute Return Advantage Fund

October 31, 2022

Board of Trustees’ Contract Approval

Overview of the Contract Review Process

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that the investment advisory agreement between a fund and its investment adviser will continue in effect from year-to-year only if its continuation is approved on an annual basis by a vote of the fund’s board of trustees, including a majority of the trustees who are not “interested persons” of the fund (“independent trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting held on June 8, 2022, the Boards of Trustees/Directors (collectively, the “Board”) that oversee the registered investment companies advised by Eaton Vance Management or its affiliate, Boston Management and Research (the “Eaton Vance Funds”), including a majority of the independent trustees (the “Independent Trustees”), voted to approve the continuation of existing investment advisory agreements and sub-advisory agreements¹ for each of the Eaton Vance Funds for an additional one-year period. The Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee exclusively comprised of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by the adviser and sub-adviser to each of the Eaton Vance Funds (including information specifically requested by the Board) for a series of formal meetings held between April and June 2022. Members of the Contract Review Committee also considered information received at prior meetings of the Board and its committees, to the extent such information was relevant to the Contract Review Committee’s annual evaluation of the investment advisory agreements and sub-advisory agreements.

In connection with its evaluation of the investment advisory agreements and sub-advisory agreements, the Board considered various information relating to the Eaton Vance Funds. This included information applicable to all or groups of Eaton Vance Funds, which is referenced immediately below, and information applicable to the particular Eaton Vance Fund covered by this report (additional fund-specific information is referenced below under “Results of the Contract Review Process”). (For funds that invest through one or more underlying portfolios, references to “each fund” in this section may include information that was considered at the portfolio-level.)

Information about Fees, Performance and Expenses

• A report from an independent data provider comparing advisory and other fees paid by each fund to such fees paid by comparable funds, as identified by the independent data provider (“comparable funds”);

• A report from an independent data provider comparing each fund’s total expense ratio (and its components) to those of comparable funds;

• A report from an independent data provider comparing the investment performance of each fund (including, as relevant, total return data, income data, Sharpe ratios and information ratios) to the investment performance of comparable funds and, as applicable, benchmark indices, over various time periods;

• In certain instances, data regarding investment performance relative to customized groups of peer funds and blended indices identified by the adviser in consultation with the Portfolio Management Committee of the Board (a committee exclusively comprised of Independent Trustees);

• Comparative information concerning the fees charged and services provided by the adviser and sub-adviser to each fund in managing other accounts (which may include other mutual funds, collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund(s), if any;

• Profitability analyses with respect to the adviser and sub-adviser to each of the funds;

Information about Portfolio Management and Trading

• Descriptions of the investment management services provided to each fund, as well as each of the funds’ investment strategies and policies;

• The procedures and processes used to determine the value of fund assets, including, when necessary, the determination of “fair value” and actions taken to monitor and test the effectiveness of such procedures and processes;

• Information about the policies and practices of each fund’s adviser and sub-adviser with respect to trading, including their processes for seeking best execution of portfolio transactions;

• Information about the allocation of brokerage transactions and the benefits, if any, received by the adviser and sub-adviser to each fund as a result of brokerage allocation, including, as applicable, information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”;

• Data relating to the portfolio turnover rate of each fund and related information regarding active management in the context of particular strategies;

Information about each Adviser and Sub-adviser

• Reports detailing the financial results and condition of the adviser and sub-adviser to each fund;

• Information regarding the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and, for portfolio managers and certain other investment professionals, information relating to their responsibilities with respect to managing other mutual funds and investment accounts, as applicable;

¹  Not all Eaton Vance Funds have entered into a sub-advisory agreement with a sub-adviser. Accordingly, references to “sub-adviser” or “sub-advisory agreement” in this “Overview” section may not be applicable to the particular Eaton Vance Fund covered by this report. Following the “Overview” section, further information regarding the Board’s evaluation of a fund’s contractual arrangements is included under the “Results of the Contract Review Process” section.

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• Information regarding the adviser’s and its parent company’s (Morgan Stanley’s) efforts to retain and attract talented investment professionals, including in the context of a particularly competitive marketplace for talent, as well as the ongoing unique environment presented by hybrid, remote and other alternative work arrangements;

• The Code of Ethics of the adviser and its affiliates and the sub-adviser of each fund, together with information relating to compliance with, and the administration of, such codes;

• Policies and procedures relating to proxy voting, including regular reporting with respect to fund proxy voting activities;

• Information regarding the handling of corporate actions and class actions, as well as information regarding litigation and other regulatory matters;

• Information concerning the resources devoted to compliance efforts undertaken by the adviser and its affiliates and the sub-adviser of each fund, if any, including descriptions of their various compliance programs and their record of compliance;

• Information concerning the business continuity and disaster recovery plans of the adviser and its affiliates and the sub-adviser of each fund, if any;

• A description of Eaton Vance Management’s and Boston Management and Research’s oversight of sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters;

Other Relevant Information

• Information regarding ongoing initiatives to further integrate and harmonize, where applicable, the investment management and other departments of the adviser and its affiliates with the overall investment management infrastructure of Morgan Stanley, in light of Morgan Stanley’s acquisition of Eaton Vance on March 1, 2021;

• Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates;

• Information concerning oversight of the relationship with the custodian, subcustodians, fund accountants, and other third-party service providers by the adviser and/or administrator to each of the funds;

• Information concerning efforts to implement policies and procedures with respect to various new regulations applicable to the funds, including Rule 12d1-4 (the Fund-of-Funds Rule), Rule 18f-4 (the Derivatives Rule) and Rule 2a-5 (the Fair Valuation Rule);

• For an Eaton Vance Fund structured as an exchange-listed closed-end fund, information concerning the benefits of the closed-end fund structure, as well as, where relevant, the closed-end fund’s market prices (including as compared to the closed-end fund’s net asset value (NAV)), trading volume data, continued use of auction preferred shares (where applicable), distribution rates and other relevant matters;

• The risks which the adviser and/or its affiliates incur in connection with the management and operation of the funds, including, among others, litigation, regulatory, entrepreneurial, and other business risks (and the associated costs of such risks); and

• The terms of each investment advisory agreement and sub-advisory agreement.

During the various meetings of the Board and its committees over the course of the year leading up to the June 8, 2022 meeting, the Trustees received information from portfolio managers and other investment professionals of the advisers and sub-advisers of the funds regarding investment and performance matters, and considered various investment and trading strategies used in pursuing the funds’ investment objectives. The Trustees also received information regarding risk management techniques employed in connection with the management of the funds. The Board and its committees evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management, Boston Management and Research and fund sub-advisers, with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences to discuss, among other topics, matters relating to the continuation of investment advisory agreements and sub-advisory agreements.

The Contract Review Committee was advised throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee, with the advice of such counsel, exercised their own business judgment in determining the material factors to be considered in evaluating each investment advisory agreement and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory agreement and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory agreement and sub-advisory agreement. In evaluating each investment advisory agreement and sub-advisory agreement, including the fee structures and other terms contained in such agreements, the members of the Contract Review Committee were also informed by multiple years of analysis and discussion with the adviser and sub-adviser to each of the Eaton Vance Funds.

Results of the Contract Review Process

Based on its consideration of the foregoing, and such other information it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory and administrative agreement between Eaton Vance Global Macro Absolute Return Advantage Fund (the “Fund”) and Eaton Vance Management (“EVM”), as well as the investment advisory agreement between Global Macro Absolute Return Advantage Portfolio (the “Portfolio”), the portfolio in which the Fund invests, and Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), and the sub-advisory agreement between EVM and Eaton Vance Advisers International Ltd. (the “Sub-adviser”), an affiliate of the Advisers, with respect to the Fund, and the sub-advisory agreement between BMR and the Sub-adviser, with respect to the Portfolio, including their respective fee structures, are in the interests of shareholders

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Board of Trustees’ Contract Approval — continued

and, therefore, recommended to the Board approval of each agreement. Based on the recommendation of the Contract Review Committee, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory and administrative agreement for the Fund and the investment advisory agreement for the Portfolio (together, the “investment advisory agreements”) and the sub-advisory agreements for the Fund and the Portfolio (together, the “sub-advisory agreements”).

Nature, Extent and Quality of Services

In considering whether to approve the investment advisory agreements and sub-advisory agreements for the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and to the Portfolio by the applicable Adviser and the Sub-adviser, respectively.

The Board considered each Adviser’s and the Sub-adviser’s management capabilities and investment processes in light of the types of investments held by the Fund and the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio, including recent changes to such personnel. The Board considered each Adviser’s expertise with respect to global markets and in-house research capabilities. The Board also considered the resources available to the Sub-adviser in fulfilling its duties under the sub-advisory agreements and the abilities and experience of the Sub-adviser’s investment professionals in implementing the investment strategies of the Fund and the Portfolio. In particular, the Board considered the expertise of the Sub-adviser’s investment professionals with respect to global markets and in-house research capabilities. The Board considered the international investment capabilities of the Sub-adviser, which is based in London, and the benefits to the Fund and the Portfolio of having portfolio management services involving investments in international securities provided by investment professionals located abroad. The Board also took into account the resources dedicated to portfolio management and other services, the compensation methods of each Adviser and other factors, including the reputation and resources of each Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolio, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolio, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolio.

The Board noted that, under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio.

The Board considered the compliance programs of each Adviser and relevant affiliates thereof, including the Sub-adviser. The Board considered compliance and reporting matters regarding, among other things, personal trading by investment professionals, disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities, such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered other administrative services provided or overseen by EVM and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser and the Sub-adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement and the applicable sub-advisory agreement.

Fund Performance

The Board compared the Fund’s investment performance to that of comparable funds identified by an independent data provider (the peer group), as well as an appropriate benchmark index. The Board’s review included comparative performance data with respect to the Fund for the one-, three-, five- and ten-year periods ended December 31, 2021. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its benchmark index for the three-year period. The Board concluded that the performance of the Fund was satisfactory.

Management Fees and Expenses

The Board considered contractual fee rates payable by the Portfolio and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for a one-year period ended December 31, 2021, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board noted that the Portfolio has established a wholly-owned subsidiary to accommodate the Portfolio’s commodity-related investments. The subsidiary is managed by BMR pursuant to a separate investment advisory agreement that is subject to annual approval by the Board. The subsidiary’s fee rates are the same as those charged to the Portfolio, and the Portfolio will not pay any additional management fees with respect to its assets invested in the subsidiary. The Board also considered certain factors identified by management in response to inquiries from the Contract Review Committee regarding the Fund’s total expense ratio relative to comparable funds.

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Board of Trustees’ Contract Approval — continued

After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser and the Sub-adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.

Profitability and “Fall-Out” Benefits

The Board considered the level of profits realized by each Adviser and relevant affiliates thereof, including the Sub-adviser, in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution or other services.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates, including the Sub-adviser, are deemed not to be excessive.

The Board also considered direct or indirect fall-out benefits received by each Adviser and its affiliates, including the Sub-adviser, in connection with their respective relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser or the Sub-adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale, if any, when they are realized by each Adviser. The Board also concluded that the structure of the advisory fees, which include breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from any economies of scale in the future.

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October 31, 2022

Liquidity Risk Management Program

The Fund has implemented a written liquidity risk management program (Program) and related procedures to manage its liquidity in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (Liquidity Rule). The Liquidity Rule defines “liquidity risk” as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of the remaining investors’ interests in the fund. The Fund’s Board of Trustees/Directors has designated the investment adviser to serve as the administrator of the Program and the related procedures. The administrator has established a Liquidity Risk Management Oversight Committee (Committee) to perform the functions necessary to administer the Program. As part of the Program, the administrator is responsible for identifying illiquid investments and categorizing the relative liquidity of the Fund’s investments in accordance with the Liquidity Rule. Under the Program, the administrator assesses, manages, and periodically reviews the Fund’s liquidity risk, and is responsible for making certain reports to the Fund’s Board of Trustees/Directors and the Securities and Exchange Commission (SEC) regarding the liquidity of the Fund’s investments, and to notify the Board of Trustees/Directors and the SEC of certain liquidity events specified in the Liquidity Rule. The liquidity of the Fund’s portfolio investments is determined based on a number of factors including, but not limited to, relevant market, trading and investment-specific considerations under the Program.

At a meeting of the Fund’s Board of Trustees/Directors on June 7, 2022, the Committee provided a written report to the Fund’s Board of Trustees/Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2021 through December 31, 2021 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

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Management and Organization

Fund Management.  The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Global Macro Absolute Return Advantage Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and the Portfolio’s affairs. The Board members and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Board members hold indefinite terms of office. Each Trustee holds office until his or her successor is elected and qualified, subject to a prior death, resignation, retirement, disqualification or removal. Under the terms of the Fund’s and the Portfolio’s current Trustee retirement policy, an Independent Trustee must retire and resign as a Trustee on the earlier of: (i) the first day of July following his or her 74th birthday; or (ii), with limited exception, December 31st of the 20th year in which he or she has served as a Trustee. However, if such retirement and resignation would cause the Fund and the Portfolio to be out of compliance with Section 16 of the 1940 Act or any other regulations or guidance of the SEC, then such retirement and resignation will not become effective until such time as action has been taken for the Fund and the Portfolio to be in compliance therewith. The “noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Board member and officer is Two International Place, Boston, Massachusetts 02110. As used below, “BMR” refers to Boston Management and Research, “EVC” refers to Eaton Vance Corp., “EV” refers to EV LLC, “EVM” refers to Eaton Vance Management and “EVD” refers to Eaton Vance Distributors, Inc. EV is the trustee of each of EVM and BMR. Effective March 1, 2021, each of EVM, BMR, EVD and EV are indirect, wholly owned subsidiaries of Morgan Stanley. Each officer affiliated with EVM may hold a position with other EVM affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 135 funds (with the exception of Mr. Bowser who oversees 110 funds) in the Eaton Vance fund complex (including both funds and portfolios in a hub and spoke structure).

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Interested Trustee
Thomas E. Faust Jr. 1958	Trustee	Since 2007	Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV (since 2021), Chief Executive Officer of EVM and BMR. Formerly, Chairman, Chief Executive Officer (2007-2021) and President (2006-2021) of EVC and Director of EVD (2007-2022). Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM and EV, which are affiliates of the Trust and the Portfolio. Other Directorships. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021).
Noninterested Trustees
Alan C. Bowser(1) 1962	Trustee	Since 2022	Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011-present). Other Directorships. None.
Mark R. Fetting 1954	Trustee	Since 2016	Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None.
Cynthia E. Frost 1961	Trustee	Since 2014	Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None.
George J. Gorman 1952	Chairperson of the Board and Trustee	Since 2021 (Chairperson) and 2014 (Trustee)	Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None.

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Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Noninterested Trustees (continued)
Valerie A. Mosley 1960	Trustee	Since 2014	Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022).
Keith Quinton 1958	Trustee	Since 2018	Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank.
Marcus L. Smith 1966	Trustee	Since 2018	Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018).
Susan J. Sutherland 1957	Trustee	Since 2015	Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021).
Scott E. Wennerholm 1959	Trustee	Since 2016	Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None.
Nancy A. Wiser(1) 1967	Trustee	Since 2022	Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None.

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October 31, 2022

Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Length of Service	Principal Occupation(s) During Past Five Years
Principal Officers who are not Trustees
Eric A. Stein 1980	President	Since 2020	Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”).
Deidre E. Walsh 1971	Vice President and Chief Legal Officer	Since 2009	Vice President of EVM and BMR. Also Vice President of CRM.
James F. Kirchner 1967	Treasurer	Since 2007	Vice President of EVM and BMR. Also Vice President of CRM.
Nicholas Di Lorenzo 1987	Secretary	Since 2022	Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP.
Richard F. Froio 1968	Chief Compliance Officer	Since 2017	Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012).

⁽¹⁾  Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022.

The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.

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Privacy Notice April 2021

FACTS	WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: ∎   Social Security number and income ∎   investment experience and risk tolerance ∎   checking account number and wire transfer instructions
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Eaton Vance share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness	Yes	Yes
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For our investment management affiliates to market to you	Yes	Yes
For our affiliates to market to you	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

To limit our sharing	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com

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Privacy Notice — continued April 2021

Page 2

Who we are
Who is providing this notice?	Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below)
What we do
How does Eaton Vance protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.
How does Eaton Vance collect my personal information?	We collect your personal information, for example, when you ∎   open an account or make deposits or withdrawals from your account ∎   buy securities from us or make a wire transfer ∎   give us your contact information We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ∎   sharing for affiliates’ everyday business purposes — information about your creditworthiness ∎   affiliates from using your information to market to you ∎   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.
Definitions
Investment Management Affiliates	Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎   Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎   Eaton Vance does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎   Eaton Vance doesn’t jointly market.
Other important information
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information. California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.

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IMPORTANT NOTICES

Delivery of Shareholder Documents.  The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.

Portfolio Holdings.  Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.

Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

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Investment Adviser of Global Macro Absolute Return Advantage Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance Global Macro Absolute Return Advantage Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Investment Sub-Adviser

Eaton Vance Advisers International Ltd.

125 Old Broad Street

London, EC2N 1AR

United Kingdom

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

State Street Financial Center, One Lincoln Street

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 262-1122

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116-5022

Fund Offices

Two International Place

Boston, MA 02110

* FINRA BrokerCheck.  Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.

4836    10.31.22

Item 2. Code of Ethics

The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.

Item 3. Audit Committee Financial Expert

The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other

mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).

Item 4. Principal Accountant Fees and Services

Eaton Vance Emerging Markets Local Income Fund and Eaton Vance Global Macro Absolute Return Advantage Fund (the “Fund(s)”) are series of Eaton Vance Mutual Funds Trust (the “Trust”), a Massachusetts business trust, which, including the Funds, contains a total of 33 series (the “Series”). The Trust is registered under the Investment Company Act of 1940 as an open-end management investment company. This Form N-CSR relates to the Funds’ annual reports.

(a)-(d)

The following table presents the aggregate fees billed to the Funds for the Funds’ fiscal years ended October 31, 2021 and October 31, 2022 by the Funds’ principal accountant, Deloitte and Touche LLP (“D&T”), for professional services rendered for the audit of the Funds’ annual financial statements and fees billed for other services rendered by D&T during such periods.

Eaton Vance Emerging Markets Local Income Fund Fiscal Years Ended	10/31/21		10/31/22
Audit Fees	$	21,550	$	24,550
Audit-Related Fees(1)	$	0	$	0
Tax Fees(2)	$	8,209	$	3,350
All Other Fees(3)	$	0	$	0
Total	$	29,759	$	27,900

Eaton Vance Global Macro Absolute Return Advantage Fund Fiscal Years Ended	10/31/21		10/31/22
Audit Fees	$	25,750	$	29,050
Audit-Related Fees(1)	$	0	$	0
Tax Fees(2)	$	12,118	$	3,450
All Other Fees(3)	$	0	$	0
Total	$	37,868	$	32,500

⁽¹⁾  Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of financial statements and are not reported under the category of audit fees.

⁽²⁾  Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters.

⁽³⁾  All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services.

The various Series comprising the Trust have differing fiscal year ends (January 31, February 28, July 31, September 30, October 31, November 30, or December 31). The following table presents the aggregate audit, audit-related, tax, and other fees billed to all of the Series in the Trust by D&T for the last two fiscal years of each Series.

Fiscal Years Ended	12/31/20		1/31/21		2/28/21		9/30/21		10/31/21		11/30/21		12/31/21		1/31/22		2/28/22		9/30/22		10/31/22
Audit Fees	$	106,700	$	201,300	$	26,250	$	91,600	$	729,872	$	37,050	$	111,700	$	198,900	$	24,050	$	104,200	$	816,633
Audit-Related Fees(1)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Tax Fees(2)	$	60,338	$	73,973	$	10,103	$	23,248	$	271,569	$	13,000	$	61,738	$	78,353	$	8,478	$	5,000	$	44,100
All Other Fees(3)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Total	$	167,038	$	275,273	$	36,353	$	114,848	$	1,001,441	$	50,050	$	173,438	$	277,253	$	32,528	$	109,200	$	860,733

⁽¹⁾  Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. Includes consent fee for N-14 registration statements related to fund mergers.

⁽²⁾  Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters.

⁽³⁾  All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services.

(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.

The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.

(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01(c)(7)(i)(C) of Regulation S-X.

(f) Not applicable.

(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed for services rendered to all of the Series in the Trust by D&T for the last two fiscal years of each Series; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the last two fiscal years of each Series.

Fiscal Years Ended	12/31/20		1/31/21		2/28/21		9/30/21		10/31/21		11/30/21		12/31/21		1/31/22		2/28/22		9/30/22		10/31/22
Registrant(1)	$	60,338	$	73,973	$	10,103	$	23,248	$	271,569	$	13,000	$	61,738	$	78,353	$	8,478	$	5,000	$	44,100
Eaton Vance(2)	$	150,300	$	150,300	$	150,300	$	51,800	$	51,800	$	51,800	$	51,800	$	51,800	$	51,800	$	52,836	$	52,836

⁽¹⁾ Includes all of the Series of the Trust. During the fiscal years reported above, certain of the Funds were “feeder” funds in a “master-feeder” fund structure or funds of funds.

⁽²⁾ Various subsidiaries of Morgan Stanley. act in either an investment advisory and/or service provider capacity with respect to the Series and/or their respective “master” funds (if applicable).

(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

No material changes.

Item 11. Controls and Procedures

(a) The registrant maintains disclosure controls and procedures to provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. Within 90 days prior to the filing date of the annual report on Form N-CSR, management carried out an evaluation of the

effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures were not effective due to a material weakness with respect to Eaton Vance Emerging Markets Local Income Fund (EMLI Fund) and Eaton Vance Global Macro Absolute Return Advantage Fund (GMARA Fund), two series of the registrant. EMLI Fund is a feeder fund of Emerging Markets Local Income Portfolio (EMLI Portfolio) and holds an 86.7% interest in EMLI Portfolio at October 31, 2022. GMARA Fund is a feeder fund of Global Macro Absolute Return Advantage Portfolio (GMARA Portfolio) and holds a 78.3% interest in GMARA Portfolio at October 31, 2022. EMLI Fund is reliant on EMLI Portfolio and GMARA Fund is reliant on GMARA Portfolio to provide accurate information to them regarding their investment in EMLI Portfolio and GMARA Portfolio, respectively.

A material weakness exists in the design and operating effectiveness of controls for EMLI Fund and GMARA Fund because of incorrect information used by EMLI Portfolio and GMARA Portfolio, respectively, over the amounts used to determine the mark-to-market adjustment on unrealized gains and losses arising from foreign currencies at year-end for tax purposes, which affected the determination of tax-related financial statement balances and disclosures by EMLI Fund and GMARA Fund, respectively. This material weakness resulted in audit adjustments to decrease paid-in capital and accumulated loss for EMLI Fund, and decrease undistributed ordinary income and net unrealized depreciation for GMARA Fund at October 31, 2022. This material weakness did not result in a misstatement of previously issued financial statements.

To remediate the material weakness described above, management of EMLI Fund and GMARA Fund is enhancing its oversight and review controls over activities performed by an outsourced tax preparer.

(b) Other than the enhancements to controls noted above that are being implemented subsequent to October 31, 2022, there have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report and subsequent to the date of their evaluation in connection with the preparation of this Form N-CSR that materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1)	Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i)	Treasurer’s Section 302 certification.
(a)(2)(ii)	President’s Section 302 certification.
(b)	Combined Section 906 certification.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Mutual Funds Trust
By:	/s/ Eric A. Stein
	Eric A. Stein
	President

Date: January 6, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ James F. Kirchner
	James F. Kirchner
	Treasurer

Date: January 6, 2023

By:	/s/ Eric A. Stein
	Eric A. Stein
	President

Date: January 6, 2023