Eaton Vance
Short Duration Strategic Income Fund
July 31, 2023 (Unaudited)
Eaton Vance Short Duration Strategic Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, currently pursues its investment objective by investing substantially all of its investable assets in interests in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates and in shares of Eaton Vance Emerging Markets Debt Opportunities Fund (the Affiliated Investment Fund). The Fund owns a pro-rata interest in the net assets of each Portfolio in which it invests. At July 31, 2023, the Fund owned 14.4% of Emerging Markets Local Income Portfolio’s outstanding interests, 25.5% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 98.5% of Global Opportunities Portfolio’s outstanding interests, 8.7% of High Income Opportunities Portfolio’s outstanding interests and 3.1% of Senior Debt Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at July 31, 2023 is set forth below.
1
Eaton Vance
Short Duration Strategic Income Fund
July 31, 2023
Portfolio of Investments (Unaudited)
Investments in Affiliated Portfolios (the Portfolios) |
Description | Value | % of Net Assets | |
Emerging Markets Local Income Portfolio | |||
(identified cost $173,032,154) | $ 177,356,644 | 4.7% | |
Global Macro Absolute Return Advantage Portfolio | |||
(identified cost $618,138,257) | 610,031,636 | 16.0 | |
Global Opportunities Portfolio | |||
(identified cost $2,772,240,651) | 2,555,207,136 | 67.1 | |
High Income Opportunities Portfolio | |||
(identified cost $106,740,964) | 96,542,821 | 2.5 | |
Senior Debt Portfolio | |||
(identified cost $184,798,777) | 184,766,678 | 4.9 | |
Total Investments in Affiliated Portfolios (identified cost $3,854,950,803) | $3,623,904,915 | 95.2% |
Investments in Affiliated Investment Funds |
Security | Shares | Value | % of Net Assets |
Fixed Income Funds | |||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | 20,716,799 | $ 156,826,168 | 4.1% |
Total Investments in Affiliated Investment Funds (identified cost $174,742,041) | $ 156,826,168 | 4.1% | |
Total Investments (identified cost $4,029,692,844) | $3,780,731,083 | 99.3% | |
Other Assets, Less Liabilities | $ 24,983,812 | 0.7% | |
Net Assets | $3,805,714,895 | 100.0% |
Affiliated Investments
At July 31, 2023, the value of the Fund's investment in funds that may be deemed to be affiliated was $156,826,168, which represents 4.1% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended July 31, 2023 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 | Shares, end of period |
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | $133,883,950 | $7,800,687 | $ — | $ — | $15,141,531 | $156,826,168 | $10,139,015 | 20,716,799 |
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 July 31, 2023, the hierarchy of inputs used in valuing the Fund's investments in securities and investments in the Portfolios, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Investments in Portfolios | $3,623,904,915 | $ — | $ — | $3,623,904,915 |
Investments in Affiliated Investment Funds | 156,826,168 | — | — | 156,826,168 |
Total Investments | $3,780,731,083 | $ — | $ — | $3,780,731,083 |
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Eaton Vance
Short Duration Strategic Income Fund
July 31, 2023
Portfolio of Investments (Unaudited) — continued
For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.
The Global Opportunities Portfolio’s Portfolio of Investments is set forth below. A copy of each of the other Portfolio’s and Affiliated Investment Fund’s Part F to Form N-PORT (containing a Portfolio of Investments) at July 31, 2023 is available by calling Eaton Vance at 1-800-262-1122 or in EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
3
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited)
Asset-Backed Securities — 9.9% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 3,000 | $ 3,000,690 |
Alinea CLO, Ltd., Series 2018-1A, Class E, 11.588%, (3 mo. SOFR + 6.26%), 7/20/31(1)(2) | 2,000 | 1,732,560 | |
Allegany Park CLO, Ltd., Series 2019-1A, Class ER, 11.726%, (3 mo. SOFR + 6.40%), 1/20/35(1)(2) | 1,000 | 913,424 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 12.48%, (3 mo. SOFR + 7.17%), 1/15/32(1)(2) | 3,000 | 2,613,573 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.517%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 2,000 | 1,738,666 | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 12.008%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 2,000 | 1,820,242 | |
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 11.171%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2) | 4,000 | 3,473,020 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 11.27%, (3 mo. SOFR + 5.96%), 7/15/30(1)(2) | 3,000 | 2,617,827 | |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.47%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 6,000 | 6,013,230 | |
Bain Capital Credit CLO, Ltd., Series 2018-1A, Class E, 10.957%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2) | 3,500 | 2,878,127 | |
Barings CLO, Ltd., Series 2018-1A, Class D, 11.07%, (3 mo. SOFR + 5.76%), 4/15/31(1)(2) | 5,000 | 4,361,500 | |
Battalion CLO XXII, Ltd., Series 2021-22A, Class D, 8.938%, (3 mo. SOFR + 3.61%), 1/20/35(1)(2) | 2,000 | 1,802,468 | |
Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 11.188%, (3 mo. SOFR + 5.86%), 1/20/31(1)(2) | 5,000 | 4,125,000 | |
Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class E, 10.938%, (3 mo. SOFR + 5.61%), 4/20/31(1)(2) | 3,000 | 2,607,237 | |
Benefit Street Partners CLO XVI, Ltd.: | |||
Series 2018-16A, Class DR, 8.57%, (3 mo. SOFR + 3.26%), 1/17/32(1)(2) | 2,000 | 1,948,178 | |
Series 2018-16A, Class E, 12.27%, (3 mo. SOFR + 6.96%), 1/17/32(1)(2) | 2,000 | 1,893,864 | |
Benefit Street Partners CLO XXII, Ltd.: | |||
Series 2020-22A, Class DR, 8.676%, (3 mo. SOFR + 3.35%), 4/20/35(1)(2) | 2,000 | 1,930,322 | |
Series 2020-22A, Class ER, 12.256%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 2,000 | 1,922,912 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.42%, (3 mo. SOFR + 7.11%), 1/15/35(1)(2) | 1,000 | 982,919 | |
Betony CLO 2, Ltd., Series 2018-1A, Class D, 11.281%, (3 mo. SOFR + 5.91%), 4/30/31(1)(2) | 3,000 | 2,663,850 |
Security | Principal Amount (000's omitted) | Value | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class D1R, 9.088%, (3 mo. SOFR + 3.76%), 10/20/34(1)(2) | $ | 3,500 | $ 3,441,252 |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 12.008%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,812,652 | |
BlueMountain CLO XXXIV, Ltd., Series 2022-34A, Class E, 12.876%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | 1,000 | 955,420 | |
BlueMountain CLO XXXV, Ltd., Series 2022-35A, Class E, 13.096%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 1,952,112 | |
BlueMountain CLO, Ltd.: | |||
Series 2015-3A, Class A1R, 6.588%, (3 mo. SOFR + 1.26%), 4/20/31(1)(2) | 3,367 | 3,356,662 | |
Series 2015-3A, Class DR, 10.988%, (3 mo. SOFR + 5.66%), 4/20/31(1)(2) | 2,000 | 1,635,320 | |
Series 2016-3A, Class ER, 11.271%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 1,000 | 847,786 | |
Canyon Capital CLO, Ltd.: | |||
Series 2016-1A, Class ER, 11.32%, (3 mo. SOFR + 6.01%), 7/15/31(1)(2) | 4,000 | 3,412,540 | |
Series 2016-2A, Class ER, 11.57%, (3 mo. SOFR + 6.26%), 10/15/31(1)(2) | 1,000 | 838,638 | |
Series 2017-1A, Class E, 11.82%, (3 mo. SOFR + 6.51%), 7/15/30(1)(2) | 1,000 | 883,391 | |
Series 2018-1A, Class E, 11.32%, (3 mo. SOFR + 6.01%), 7/15/31(1)(2) | 2,000 | 1,719,254 | |
Series 2022-1A, Class D, 8.51%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,900 | 1,805,984 | |
Carlyle CLO C17, Ltd., Series C17A, Class DR, 11.631%, (3 mo. SOFR + 6.26%), 4/30/31(1)(2) | 3,000 | 2,662,620 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 12.073%, (3 mo. SOFR + 6.76%), 1/14/32(1)(2) | 1,000 | 822,892 | |
Series 2014-3RA, Class D, 11.019%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2) | 2,000 | 1,665,594 | |
Series 2014-4RA, Class D, 11.22%, (3 mo. SOFR + 5.91%), 7/15/30(1)(2) | 3,000 | 2,503,317 | |
Series 2015-5A, Class DR, 12.288%, (3 mo. SOFR + 6.96%), 1/20/32(1)(2) | 3,500 | 3,069,279 | |
Series 2019-4A, Class CR, 8.508%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,750 | 1,653,593 | |
Series 2022-AA, Class C, 8.876%, (3 mo. SOFR + 3.55%), 4/20/35(1)(2) | 3,000 | 2,845,773 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.908%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,781,668 | |
CarVal CLO IV, Ltd., Series 2021-1A, Class E, 12.188%, (3 mo. SOFR + 6.86%), 7/20/34(1)(2) | 1,000 | 956,628 | |
CIFC Funding 2017-III, Ltd., Series 2017-3A, Class A1, 6.808%, (3 mo. SOFR + 1.48%), 7/20/30(1)(2) | 1,019 | 1,018,504 | |
Crown City CLO III, Series 2021-1A, Class C, 8.888%, (3 mo. SOFR + 3.56%), 7/20/34(1)(2) | 1,000 | 912,085 |
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Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Dryden CLO, Ltd.: | |||
Series 2018-55A, Class E, 10.97%, (3 mo. SOFR + 5.66%), 4/15/31(1)(2) | $ | 1,000 | $ 871,646 |
Series 2022-112A, Class E, 12.866%, (3 mo. SOFR + 7.78%), 8/15/34(1)(2) | 1,000 | 996,902 | |
Dryden Senior Loan Fund, Series 2016-42A, Class ER, 11.12%, (3 mo. SOFR + 5.81%), 7/15/30(1)(2) | 2,000 | 1,668,000 | |
Elmwood CLO 14, Ltd.: | |||
Series 2022-1A, Class D, 8.476%, (3 mo. SOFR + 3.15%), 4/20/35(1)(2) | 2,000 | 1,934,660 | |
Series 2022-1A, Class E, 11.676%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 2,000 | 1,919,724 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 12.458%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,999,602 | |
Galaxy 31 CLO, Ltd., Series 2023-31A, Class D, 10.031%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | 2,300 | 2,311,118 | |
Galaxy XXI CLO, Ltd.: | |||
Series 2015-21A, Class DR, 8.238%, (3 mo. SOFR + 2.91%), 4/20/31(1)(2) | 5,000 | 4,811,690 | |
Series 2015-21A, Class ER, 10.838%, (3 mo. SOFR + 5.51%), 4/20/31(1)(2) | 4,000 | 3,588,208 | |
Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 11.588%, (3 mo. SOFR + 6.26%), 1/20/31(1)(2) | 3,000 | 2,637,894 | |
Golub Capital Partners CLO 37B, Ltd.: | |||
Series 2018-37A, Class D, 8.888%, (3 mo. SOFR + 3.56%), 7/20/30(1)(2) | 1,500 | 1,392,539 | |
Series 2018-37A, Class E, 11.338%, (3 mo. SOFR + 6.01%), 7/20/30(1)(2) | 3,000 | 2,943,993 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.426%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,850,116 | |
Golub Capital Partners CLO 53B, Ltd.: | |||
Series 2021-53A, Class D, 8.638%, (3 mo. SOFR + 3.31%), 7/20/34(1)(2) | 2,000 | 1,827,756 | |
Series 2021-53A, Class E, 12.288%, (3 mo. SOFR + 6.96%), 7/20/34(1)(2) | 1,000 | 957,574 | |
Golub Capital Partners CLO 60B, Ltd., Series 2022-60A, Class D, 9.121%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 1,800 | 1,743,723 | |
Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 9.37%, (3 mo. SOFR + 4.06%), 4/17/33(1)(2) | 3,000 | 2,850,930 | |
Halseypoint CLO 5, Ltd., Series 2021-5A, Class D, 9.131%, (3 mo. SOFR + 3.76%), 1/30/35(1)(2) | 3,500 | 3,423,276 | |
Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 11.988%, (3 mo. SOFR + 6.66%), 4/20/34(1)(2) | 1,000 | 942,130 | |
Highbridge Loan Management, Series 3A-2014, Class DR, 12.072%, (3 mo. SOFR + 6.76%), 7/18/29(1)(2) | 2,750 | 2,312,973 |
Security | Principal Amount (000's omitted) | Value | |
ICG US CLO, Ltd., Series 2018-2A, Class E, 11.357%, (3 mo. SOFR + 6.01%), 7/22/31(1)(2) | $ | 1,000 | $ 844,580 |
KKR SFR Warehouse Participation, 8.815%, (30-day average SOFR + 3.50%), 12/13/23(2) | 12,097 | 12,064,034 | |
Madison Park Funding XVII, Ltd.: | |||
Series 2015-17A, Class DR, 9.195%, (3 mo. SOFR + 3.86%), 7/21/30(1)(2) | 3,500 | 3,501,260 | |
Series 2015-17A, Class ER, 12.095%, (3 mo. SOFR + 6.76%), 7/21/30(1)(2) | 2,500 | 2,369,190 | |
Madison Park Funding XXXVI, Ltd.: | |||
Series 2019-36A, Class D1R, 8.808%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 977,524 | |
Series 2019-36A, Class ER, 12.358%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,000 | 1,958,646 | |
Marble Point CLO XXIV, Ltd., Series 2022-1A, Class D1, 9.566%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,883,350 | |
Mountain View CLO, LLC, Series 2017-2A, Class AR, 6.61%, (3 mo. SOFR + 1.30%), 1/16/31(1)(2) | 6,926 | 6,894,115 | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 11.63%, (3 mo. SOFR + 6.32%), 10/17/30(1)(2) | 2,000 | 1,797,600 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.788%, (3 mo. SOFR + 6.46%), 1/20/31(1)(2) | 2,000 | 1,863,368 | |
Neuberger Berman Loan Advisers CLO 49, Ltd., Series 2022-49A, Class E, 12.351%, (3 mo. SOFR + 7.00%), 7/25/34(1)(2) | 2,000 | 1,973,086 | |
NewRez Warehouse Securitization Trust: | |||
Series 2021-1, Class E, 8.663%, (1 mo. SOFR + 3.25%), 5/25/55(1)(2) | 3,813 | 3,801,946 | |
Series 2021-1, Class F, 10.663%, (1 mo. SOFR + 5.25%), 5/25/55(1)(2) | 1,300 | 1,301,330 | |
Northwoods Capital, Ltd., Series 2018-11B1, Class A1, 6.682%, (3 mo. SOFR + 1.36%), 4/19/31(1)(2) | 9,759 | 9,694,694 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 842 | 762,630 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 5,372 | 4,840,994 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 11.42%, (3 mo. SOFR + 6.11%), 10/17/31(1)(2) | 1,500 | 1,372,296 | |
Series 2015-1A, Class DR4, 11.879%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2) | 2,000 | 1,823,652 | |
Series 2018-1A, Class D, 10.722%, (3 mo. SOFR + 5.41%), 4/18/31(1)(2) | 4,000 | 3,661,832 | |
Series 2021-2A, Class E, 11.92%, (3 mo. SOFR + 6.61%), 7/15/34(1)(2) | 1,000 | 974,396 | |
Series 2022-1A, Class D, 8.376%, (3 mo. SOFR + 3.05%), 4/20/35(1)(2) | 2,450 | 2,358,314 | |
Series 2022-3A, Class E, 13.306%, (3 mo. SOFR + 7.98%), 7/20/35(1)(2) | 1,000 | 1,011,542 | |
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 11.57%, (3 mo. SOFR + 6.26%), 4/17/30(1)(2) | 3,000 | 2,840,556 |
5
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 11.52%, (3 mo. SOFR + 6.21%), 7/15/31(1)(2) | $ | 3,000 | $ 2,631,027 |
Sandstone Peak, Ltd., Series 2021-1A, Class D, 9.12%, (3 mo. SOFR + 3.81%), 10/15/34(1)(2) | 4,000 | 3,748,296 | |
Shackleton CLO, Ltd., Series 2015-7RA, Class AR, 6.72%, (3 mo. SOFR + 1.41%), 7/15/31(1)(2) | 11,000 | 10,948,630 | |
Steele Creek CLO, Ltd., Series 2014-1RA, Class A, 6.665%, (3 mo. SOFR + 1.33%), 4/21/31(1)(2) | 7,535 | 7,500,541 | |
Upland CLO, Ltd., Series 2016-1A, Class DR, 11.488%, (3 mo. SOFR + 6.16%), 4/20/31(1)(2) | 2,000 | 1,726,052 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 11.838%, (3 mo. SOFR + 6.51%), 7/20/31(1)(2) | 2,000 | 1,506,336 | |
Voya CLO, Ltd.: | |||
Series 2013-1A, Class DR, 12.05%, (3 mo. SOFR + 6.74%), 10/15/30(1)(2) | 5,000 | 3,846,650 | |
Series 2014-1A, Class DR2, 11.572%, (3 mo. SOFR + 6.26%), 4/18/31(1)(2) | 2,000 | 1,580,054 | |
Series 2015-3A, Class DR, 11.788%, (3 mo. SOFR + 6.46%), 10/20/31(1)(2) | 2,000 | 1,533,100 | |
Series 2017-4A, Class A1, 6.70%, (3 mo. SOFR + 1.39%), 10/15/30(1)(2) | 4,252 | 4,238,930 | |
Series 2018-2A, Class E, 10.82%, (3 mo. SOFR + 5.51%), 7/15/31(1)(2) | 1,000 | 823,498 | |
Wellfleet CLO, Ltd.: | |||
Series 2016-2A, Class A1R, 6.728%, (3 mo. SOFR + 1.40%), 10/20/28(1)(2) | 1,467 | 1,463,652 | |
Series 2019-1A, Class CR, 9.138%, (3 mo. SOFR + 3.81%), 7/20/32(1)(2) | 2,500 | 2,281,633 | |
Series 2021-2A, Class E, 12.53%, (3 mo. SOFR + 7.22%), 7/15/34(1)(2) | 1,000 | 838,892 | |
Series 2022-1A, Class E, 13.168%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,840,114 | |
Series 2022-2A, Class E, 13.87%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 2,000 | 1,984,684 | |
Total Asset-Backed Securities (identified cost $274,279,103) | $255,640,051 |
Closed-End Funds — 0.3% |
Security | Shares | Value | |
Nuveen Global High Income Fund | 83,400 | $ 971,610 | |
PGIM Global High Yield Fund, Inc. | 430,326 | 4,897,110 | |
Western Asset High Income Opportunity Fund, Inc. | 383,997 | 1,478,388 | |
Total Closed-End Funds (identified cost $8,409,895) | $ 7,347,108 |
Collateralized Mortgage Obligations — 29.8% |
Security | Principal Amount (000's omitted) | Value | |
Angel Oak Mortgage Trust I, LLC, Series 2019-1, Class B1, 5.40%, 11/25/48(1)(3) | $ | 3,939 | $ 3,875,289 |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | 3,944 | 3,675,173 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 2,867 | 2,528,357 | |
CHNGE Mortgage Trust: | |||
Series 2022-4, Class A1, 6.00%, to 9/25/24, 10/25/57(1)(3) | 12,794 | 12,556,129 | |
Series 2022-NQ, Class M1, 5.82%, 6/25/67(1)(3) | 1,764 | 1,635,656 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class B2, 5.809%, 5/25/65(1)(3) | 4,273 | 4,127,661 | |
FARM Mortgage Trust: | |||
Series 2022-1, Class B, 2.945%, 1/25/52(1)(3) | 2,680 | 1,814,625 | |
Series 2023-1, Class B, 3.033%, 3/25/52(1)(3) | 2,690 | 1,831,104 | |
Federal Home Loan Mortgage Corp.: | |||
Series 2182, Class ZC, 7.50%, 9/15/29 | 39 | 39,353 | |
Series 4273, Class SP, 0.00%, (12.00% - 30-day average SOFR x 2.67, Floor 0.00%), 11/15/43(5) | 516 | 419,758 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day average SOFR, Floor 0.00%), 2/25/51(5) | 4,319 | 2,838,229 | |
Series 5083, Class SK, 0.00%, (3.87% - 30-day average SOFR x 1.33, Floor 0.00%), 3/25/51(5) | 3,411 | 2,175,396 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 2,039 | 1,203,040 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 7,524 | 4,587,756 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 2,625 | 1,599,920 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 4,229 | 2,576,488 | |
Series 5152, Class ZP, 3.00%, 7/25/50 | 10,082 | 6,296,532 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 854 | 554,399 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 1,560 | 1,055,436 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 1,071 | 667,961 | |
Series 5166, Class ZN, 3.00%, 9/25/50 | 1,946 | 1,260,785 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 2,038 | 1,359,566 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 10,900 | 10,850,958 | |
Series 5324, Class MZ, 6.00%, 7/25/53 | 3,342 | 3,392,533 | |
Series 5327, Class B, 6.00%, 8/25/53 | 20,000 | 20,203,264 | |
Interest Only:(6) | |||
Series 380, Class C1, 3.00%, 1/25/50 | 31,318 | 5,308,350 | |
Series 380, Class C5, 3.50%, 1/25/50 | 9,781 | 1,776,109 | |
Series 2631, Class DS, 1.918%, (7.10% - 30-day average SOFR), 6/15/33(5) | 469 | 10,941 | |
Series 2956, Class SL, 1.818%, (7.00% - 30-day average SOFR), 6/15/32(5) | 475 | 34,787 | |
Series 3114, Class TS, 1.468%, (6.54% - 30-day average SOFR), 9/15/30(5) | 1,151 | 41,713 | |
Series 3153, Class JI, 1.438%, (6.62% - 30-day average SOFR), 5/15/36(5) | 1,226 | 81,782 | |
Series 4007, Class JI, 4.00%, 2/15/42 | 546 | 81,383 |
6
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 4067, Class JI, 3.50%, 6/15/27 | $ | 1,480 | $ 60,755 |
Series 4070, Class S, 0.918%, (6.10% - 30-day average SOFR), 6/15/32(5) | 4,757 | 287,010 | |
Series 4095, Class HS, 0.918%, (6.10% - 30-day average SOFR), 7/15/32(5) | 964 | 35,566 | |
Series 4109, Class ES, 0.968%, (6.15% - 30-day average SOFR), 12/15/41(5) | 81 | 8,195 | |
Series 4109, Class SA, 1.018%, (6.09% - 30-day average SOFR), 9/15/32(5) | 2,144 | 118,740 | |
Series 4149, Class S, 1.068%, (6.25% - 30-day average SOFR), 1/15/33(5) | 1,525 | 97,651 | |
Series 4163, Class GS, 1.018%, (6.20% - 30-day average SOFR), 11/15/32(5) | 1,343 | 76,828 | |
Series 4169, Class AS, 1.068%, (6.25% - 30-day average SOFR), 2/15/33(5) | 2,019 | 109,148 | |
Series 4188, Class AI, 3.50%, 4/15/28 | 1,320 | 48,728 | |
Series 4189, Class SQ, 0.968%, (6.15% - 30-day average SOFR), 12/15/42(5) | 492 | 49,446 | |
Series 4203, Class QS, 1.068%, (6.25% - 30-day average SOFR), 5/15/43(5) | 1,373 | 80,194 | |
Series 4332, Class IK, 4.00%, 4/15/44 | 472 | 74,827 | |
Series 4343, Class PI, 4.00%, 5/15/44 | 1,469 | 243,680 | |
Series 4370, Class IO, 3.50%, 9/15/41 | 227 | 5,947 | |
Series 4381, Class SK, 0.968%, (6.15% - 30-day average SOFR), 6/15/44(5) | 1,322 | 111,368 | |
Series 4388, Class MS, 0.918%, (6.10% - 30-day average SOFR), 9/15/44(5) | 1,301 | 135,232 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 1,989 | 258,292 | |
Series 4497, Class CS, 1.018%, (6.09% - 30-day average SOFR), 9/15/44(5) | 1,082 | 16,551 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 695 | 31,295 | |
Series 4507, Class SJ, 0.998%, (6.18% - 30-day average SOFR), 9/15/45(5) | 3,740 | 386,976 | |
Series 4520, Class PI, 4.00%, 8/15/45 | 8,982 | 1,188,129 | |
Series 4528, Class BS, 0.968%, (6.15% - 30-day average SOFR), 7/15/45(5) | 1,775 | 160,762 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,829 | 365,399 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 250 | 9,289 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,646 | 237,223 | |
Series 4667, Class PI, 3.50%, 5/15/42 | 16 | 20 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 1,670 | 321,939 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 1,326 | 256,678 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,620 | 313,845 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day average SOFR, Floor 0.00%), 12/25/50(5) | 18,223 | 615,564 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 39,087 | 5,025,966 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 20,345 | 3,193,672 | |
Series 5236, Class TI, 3.00%, 1/25/51 | 73,905 | 11,775,552 | |
Principal Only:(7) | |||
Series 4417, Class KO, 0.00%, 12/15/43 | 539 | 347,257 |
Security | Principal Amount (000's omitted) | Value | |
Principal Only: (continued) | |||
Series 4478, Class PO, 0.00%, 5/15/45 | $ | 896 | $ 655,789 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-HQA3, Class B2, 12.684%, (30-day average SOFR + 7.61%), 9/25/49(1)(2) | 1,250 | 1,375,350 | |
Series 2020-DNA6, Class B2, 10.719%, (30-day average SOFR + 5.65%), 12/25/50(1)(2) | 6,900 | 7,163,919 | |
Series 2021-DNA5, Class B2, 10.569%, (30-day average SOFR + 5.50%), 1/25/34(1)(2) | 3,500 | 3,459,111 | |
Series 2021-DNA6, Class B2, 12.569%, (30-day average SOFR + 7.50%), 10/25/41(1)(2) | 13,640 | 14,348,598 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 5 | 5,181 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 7 | 7,415 | |
Series 2009-62, Class WA, 5.579%, 8/25/39(3) | 643 | 643,839 | |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 562 | 506,496 | |
Series 2021-56, Class GZ, 3.00%, 7/25/51 | 1,344 | 867,815 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 5,468 | 3,441,674 | |
Series 2021-61, Class LZ, 2.50%, 9/25/51 | 3,798 | 2,323,172 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 8,067 | 4,937,746 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 416 | 253,631 | |
Series 2021-77, Class Z, 3.00%, 5/25/51 | 5,200 | 3,271,724 | |
Series 2021-79, Class Z, 3.00%, 11/25/51 | 5,479 | 3,635,126 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 11,482 | 11,438,507 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 63,163 | 62,774,983 | |
Interest Only:(6) | |||
Series 2004-46, Class SI, 0.817%, (6.00% - 30-day average SOFR), 5/25/34(5) | 1,073 | 35,370 | |
Series 2005-17, Class SA, 1.517%, (6.70% - 30-day average SOFR), 3/25/35(5) | 979 | 82,628 | |
Series 2005-71, Class SA, 1.567%, (6.75% - 30-day average SOFR), 8/25/25(5) | 51 | 322 | |
Series 2005-105, Class S, 1.517%, (6.70% - 30-day average SOFR), 12/25/35(5) | 821 | 74,504 | |
Series 2006-44, Class IS, 1.417%, (6.60% - 30-day average SOFR), 6/25/36(5) | 716 | 57,275 | |
Series 2006-65, Class PS, 2.037%, (7.11% - 30-day average SOFR), 7/25/36(5) | 704 | 81,704 | |
Series 2006-96, Class SN, 2.017%, (7.20% - 30-day average SOFR), 10/25/36(5) | 780 | 55,118 | |
Series 2006-104, Class SD, 1.457%, (6.64% - 30-day average SOFR), 11/25/36(5) | 749 | 62,369 | |
Series 2006-104, Class SE, 1.447%, (6.63% - 30-day average SOFR), 11/25/36(5) | 499 | 41,369 | |
Series 2007-50, Class LS, 1.267%, (6.45% - 30-day average SOFR), 6/25/37(5) | 1,057 | 85,627 | |
Series 2008-26, Class SA, 1.017%, (6.20% - 30-day average SOFR), 4/25/38(5) | 1,177 | 109,135 | |
Series 2008-61, Class S, 0.917%, (6.10% - 30-day average SOFR), 7/25/38(5) | 2,148 | 130,579 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 682 | 20,846 |
7
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2011-101, Class IE, 3.50%, 10/25/26 | $ | 505 | $ 15,241 |
Series 2011-104, Class IM, 3.50%, 10/25/26 | 938 | 29,898 | |
Series 2012-52, Class DI, 3.50%, 5/25/27 | 1,962 | 83,132 | |
Series 2012-124, Class IO, 0.841%, 11/25/42(3) | 2,626 | 119,529 | |
Series 2012-139, Class LS, 0.945%, (6.15% - 30-day average SOFR), 12/25/42(5) | 2,582 | 348,889 | |
Series 2012-147, Class SA, 0.917%, (5.99% - 30-day average SOFR), 1/25/43(5) | 2,964 | 273,267 | |
Series 2012-150, Class PS, 0.967%, (6.15% - 30-day average SOFR), 1/25/43(5) | 3,696 | 339,889 | |
Series 2012-150, Class SK, 0.967%, (6.15% - 30-day average SOFR), 1/25/43(5) | 4,497 | 439,686 | |
Series 2013-11, Class IO, 4.00%, 1/25/43 | 9,513 | 1,173,223 | |
Series 2013-12, Class SP, 0.467%, (5.65% - 30-day average SOFR), 11/25/41(5) | 480 | 6,230 | |
Series 2013-15, Class DS, 1.017%, (6.20% - 30-day average SOFR), 3/25/33(5) | 3,603 | 189,775 | |
Series 2013-23, Class CS, 1.067%, (6.25% - 30-day average SOFR), 3/25/33(5) | 1,894 | 101,628 | |
Series 2013-54, Class HS, 1.117%, (6.30% - 30-day average SOFR), 10/25/41(5) | 97 | 188 | |
Series 2013-64, Class PS, 1.067%, (6.25% - 30-day average SOFR), 4/25/43(5) | 2,002 | 123,623 | |
Series 2013-66, Class JI, 3.00%, 7/25/43 | 3,218 | 517,479 | |
Series 2013-75, Class SC, 1.067%, (6.25% - 30-day average SOFR), 7/25/42(5) | 2,710 | 53,508 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 742 | 129,118 | |
Series 2014-41, Class SA, 0.867%, (5.94% - 30-day average SOFR), 7/25/44(5) | 1,236 | 172,048 | |
Series 2014-43, Class PS, 0.917%, (6.10% - 30-day average SOFR), 3/25/42(5) | 1,108 | 64,697 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 1,889 | 386,466 | |
Series 2014-64, Class BI, 3.50%, 3/25/44 | 257 | 8,512 | |
Series 2014-67, Class IH, 4.00%, 10/25/44 | 1,248 | 291,055 | |
Series 2014-80, Class CI, 3.50%, 12/25/44 | 1,321 | 280,400 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,966 | 426,654 | |
Series 2015-6, Class IM, 0.00%, (5.18% - 30-day average SOFR x 1.33, Floor 0.00%), 6/25/43(5) | 1,960 | 8,109 | |
Series 2015-14, Class KI, 3.00%, 3/25/45 | 2,347 | 387,834 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 690 | 129,142 | |
Series 2015-31, Class SG, 0.917%, (5.99% - 30-day average SOFR), 5/25/45(5) | 2,555 | 442,275 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 1,525 | 221,393 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 3,233 | 655,076 | |
Series 2015-93, Class BS, 0.967%, (6.15% - 30-day average SOFR), 8/25/45(5) | 1,391 | 65,417 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,145 | 734,306 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 11,912 | 1,955,096 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R04, Class 2B1, 10.434%, (30-day average SOFR + 5.36%), 6/25/39(1)(2) | $ | 16,529 | $ 17,592,648 |
Series 2019-R06, Class 2B1, 8.934%, (30-day average SOFR + 3.86%), 9/25/39(1)(2) | 954 | 982,847 | |
Series 2021-R01, Class 1B2, 11.069%, (30-day average SOFR + 6.00%), 10/25/41(1)(2) | 8,500 | 8,626,644 | |
FIGRE Trust, Series 2023-HE2, Class A, 6.512%, 5/25/53 | 5,790 | 5,815,075 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(3) | 1,000 | 611,802 | |
Flagstar Mortgage Trust: | |||
Series 2023-6INV, Class B4, 3.492%, 8/25/51(1)(3) | 4,231 | 2,928,454 | |
Series 2023-10IN, Class B4, 3.516%, 10/25/51(1)(3) | 6,937 | 4,794,588 | |
FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37(1)(3) | 3,179 | 3,183,048 | |
Government National Mortgage Association: | |||
Series 2021-136, Class Z, 2.50%, 8/20/51 | 8,750 | 5,309,430 | |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,695 | 1,180,251 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 1,762 | 1,071,524 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 2,835 | 1,713,685 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 14,599 | 8,857,550 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 280 | 163,997 | |
Series 2022-173, Class S, 4.15%, (22.73% - 30-day average SOFR x 3.667), 10/20/52(5) | 7,870 | 7,706,381 | |
Series 2022-189, Class US, 4.15%, (22.73% - 30-day average SOFR x 3.667), 11/20/52(5) | 11,479 | 11,480,770 | |
Series 2022-195, Class AS, 4.372%, (23.13% - 30-day average SOFR x 3.70), 11/20/52(5) | 4,917 | 5,230,169 | |
Series 2022-197, Class SW, 4.156%, (16.32% - 30-day average SOFR x 2.40), 11/20/52(5) | 9,223 | 9,030,740 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 20,000 | 19,546,208 | |
Series 2023-53, Class SE, 3.966%, (22.55% - 30-day average SOFR x 3.667), 4/20/53(5) | 20,002 | 19,889,963 | |
Series 2023-56, Class ZE, 6.00%, 4/20/53 | 16,058 | 16,042,004 | |
Series 2023-63, Class LB, 6.00%, 5/20/53 | 12,347 | 12,365,845 | |
Series 2023-63, Class S, 3.966%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 38,376 | 37,101,618 | |
Series 2023-64, Class LB, 6.00%, 5/20/53 | 5,036 | 5,044,637 | |
Series 2023-65, Class SB, 3.966%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 7,685 | 7,613,293 | |
Series 2023-65, Class SD, 3.966%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 15,253 | 15,493,346 | |
Series 2023-66, Class S, 3.966%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 7,062 | 7,016,967 | |
Series 2023-66, Class SD, 3.966%, (22.55% - 30-day average SOFR x 3.667), 5/20/53(5) | 6,304 | 6,095,961 | |
Series 2023-83, Class S, 3.711%, (22.89% - 30-day average SOFR x 3.78), 6/20/53(5) | 7,980 | 7,612,299 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 5,478 | 5,541,804 |
8
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-84, Class SN, 3.634%, (22.39% - 30-day average SOFR x 3.67%), 6/20/53(5) | $ | 8,393 | $ 8,057,761 |
Series 2023-89, Class SD, 3.60%, (22.18% - 30-day average SOFR x 3.667), 6/20/53(5) | 9,266 | 8,828,225 | |
Series 2023-96, Class BL, 6.00%, 7/20/53 | 10,000 | 10,153,464 | |
Series 2023-96, Class DB, 6.00%, 7/20/53 | 8,000 | 8,093,572 | |
Series 2023-97, Class CB, 6.00%, 7/20/53 | 20,000 | 20,217,529 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 3,000 | 3,039,197 | |
Series 2023-100, Class AY, 6.00%, 7/20/53 | 13,236 | 13,471,296 | |
Series 2023-100, Class JL, 6.00%, 7/20/53 | 11,099 | 11,266,903 | |
Interest Only:(6) | |||
Series 2014-68, Class KI, 0.00%, 10/20/42(3) | 2,594 | 93,371 | |
Series 2017-104, Class SD, 0.831%, (6.09% - 1 mo. SOFR), 7/20/47(5) | 4,468 | 441,241 | |
Series 2017-121, Class DS, 0.147%, (4.39% - 1 mo. SOFR), 8/20/47(5) | 2,983 | 113,233 | |
Series 2017-137, Class AS, 0.014%, (4.50% - 1 mo. SOFR), 9/20/47(5) | 4,112 | 151,257 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 17,290 | 2,267,416 | |
Series 2020-134, Class LI, 2.50%, 9/20/50 | 7,663 | 1,035,816 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 17,716 | 1,980,561 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 9,442 | 1,037,248 | |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 13,816 | 1,853,746 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 52,081 | 6,431,415 | |
Series 2020-151, Class HI, 2.50%, 10/20/50 | 1,211 | 161,849 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 12,255 | 1,636,798 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 28,841 | 3,228,109 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 21,640 | 2,630,020 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 30,016 | 4,023,736 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 7,430 | 865,477 | |
Series 2020-191, Class AI, 2.00%, 12/20/50 | 27,745 | 3,230,842 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 32,046 | 3,908,173 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,732 | 1,516,441 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 3,898 | 471,270 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 2,621 | 343,860 | |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR, Floor 0.00%), 10/20/50(5) | 5,441 | 68,348 | |
Series 2021-77, Class SB, 0.00%, (3.64% - 1 mo. SOFR, Floor 0.00%), 5/20/51(5) | 12,630 | 376,951 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 38,586 | 4,201,672 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 9,631 | 1,424,792 | |
Series 2021-121, Class TI, 3.00%, 7/20/51 | 35,225 | 4,290,632 | |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 6,426 | 962,926 | |
Series 2021-125, Class SA, 0.00%, (3.64% - 1 mo. SOFR, Floor 0.00%), 7/20/51(5) | 16,533 | 479,502 | |
Series 2021-154, Class MI, 3.00%, 9/20/51 | 48,044 | 6,242,731 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 17,675 | 1,937,959 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-175, Class AS, 0.00%, (1.69% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | $ | 26,662 | $ 205,742 |
Series 2021-175, Class SB, 0.00%, (1.69% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | 13,368 | 103,291 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 43,331 | 5,644,894 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR, Floor 0.00%), 11/20/51(5) | 25,833 | 293,063 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 27,353 | 2,998,540 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 19,282 | 2,410,515 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 25,978 | 3,359,904 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 212,856 | 1,720,579 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 23,651 | 191,175 | |
Series 2022-119, Class TA, 0.00%, (3.90% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 47,301 | 307,085 | |
Series 2022-119, Class TI, 0.00%, (3.85% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 473,013 | 2,882,401 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 63,474 | 958,008 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day average SOFR, Floor 0.00%), 7/20/52(5) | 47,301 | 734,112 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR, Floor 0.00%), 6/20/52(5) | 132,132 | 1,211,666 | |
Series 2023-13, Class SA, 0.332%, (5.40% - 30-day average SOFR), 1/20/53(5) | 17,613 | 353,625 | |
Series 2023-19, Class SD, 1.232%, (6.30% - 30-day average SOFR), 2/20/53(5) | 21,136 | 1,012,114 | |
Series 2023-20, Class HS, 1.232%, (6.30% - 30-day average SOFR), 2/20/53(5) | 14,742 | 729,373 | |
Series 2023-22, Class ES, 1.232%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,656 | 972,497 | |
Series 2023-22, Class SA, 0.632%, (5.70% - 30-day average SOFR), 2/20/53(5) | 34,314 | 841,159 | |
Series 2023-24, Class SB, 0.082%, (5.15% - 30-day average SOFR), 2/20/53(5) | 39,313 | 963,001 | |
Series 2023-24, Class SG, 1.232%, (6.30% - 30-day average SOFR), 2/20/53(5) | 19,656 | 972,497 | |
Series 2023-32, Class SA, 1.232%, (6.30% - 30-day average SOFR), 2/20/53(5) | 66,341 | 3,282,179 | |
Series 2023-38, Class LS, 1.232%, (6.30% - 30-day average SOFR), 3/20/53(5) | 63,170 | 3,072,414 | |
Series 2023-38, Class SD, 1.182%, (6.25% - 30-day average SOFR), 3/20/53(5) | 98,508 | 4,258,614 | |
Series 2023-38, Class SG, 1.132%, (6.20% - 30-day average SOFR), 3/20/53(5) | 49,283 | 2,356,973 | |
Series 2023-47, Class HS, 1.232%, (6.30% - 30-day average SOFR), 3/20/53(5) | 21,057 | 1,024,138 | |
Series 2023-47, Class SC, 1.182%, (6.25% - 30-day average SOFR), 3/20/53(5) | 31,569 | 1,458,723 | |
Series 2023-53, Class SK, 1.132%, (6.20% - 30-day average SOFR), 4/20/53(5) | 39,650 | 1,556,378 |
9
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
LHOME Mortgage Trust, Series 2023-RTL2, Class A1, 8.00% to 8/25/25, 6/25/28(1)(4) | $ | 2,775 | $ 2,762,259 |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 962 | 939,964 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.263%, (1 mo. USD LIBOR + 3.85%), 2/25/25(1)(2) | 5,000 | 5,022,726 | |
Series 2018-GT2, Class A, 8.063%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2) | 4,272 | 4,255,980 | |
Series 2022-GT1, Class A, 9.319%, (30-day average SOFR + 4.25%), 5/25/27(1)(2) | 6,000 | 5,991,218 | |
Radnor Re, Ltd., Series 2022-1, Class M1A, 8.819%, (30-day average SOFR + 3.75%), 9/25/32(1)(2) | 7,000 | 7,163,813 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 54,391 | 47,058,575 | |
Total Collateralized Mortgage Obligations (identified cost $880,628,912) | $773,875,944 |
Commercial Mortgage-Backed Securities — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
COMM Mortgage Trust, Series 2013-CR9, Class D, 4.501%, 7/10/45(1)(3) | $ | 2,037 | $ 1,995,848 |
CSMC Trust: | |||
Series 2020-TMIC, Class A, 8.837%, (1 mo. SOFR + 3.61%), 12/15/35(1)(2) | 3,000 | 2,996,280 | |
Series 2022-NWPT, Class A, 8.365%, (1 mo. SOFR + 3.143%), 9/9/24(1)(2) | 4,200 | 4,216,642 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.547%, 9/15/47(1)(3) | 3,430 | 2,557,860 | |
Series 2014-C25, Class D, 3.935%, 11/15/47(1)(3) | 8,045 | 3,392,131 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.326%, 8/15/46(1)(3)(8) | 5,000 | 306,656 | |
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,000 | 2,218,609 | |
Total Commercial Mortgage-Backed Securities (identified cost $27,795,838) | $ 17,684,026 |
Common Stocks — 0.2% |
Security | Shares | Value | |
Bermuda — 0.0%(9) | |||
Liberty Latin America, Ltd., Class A(10) | 92,500 | $ 777,000 | |
$ 777,000 |
Security | Shares | Value | |
Bulgaria — 0.2% | |||
Eurohold Bulgaria AD(10) | 5,140,100 | $ 4,902,919 | |
$ 4,902,919 | |||
Iceland — 0.0%(9) | |||
Siminn HF | 2,023,336 | $ 155,702 | |
$ 155,702 | |||
Total Common Stocks (identified cost $5,514,370) | $ 5,835,621 |
Convertible Bonds — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
Bermuda — 0.2% | |||
Jazz Investments I, Ltd., 2.00%, 6/15/26 | USD | 920 | $ 956,800 |
Liberty Latin America, Ltd., 2.00%, 7/15/24 | USD | 1,918 | 1,818,264 |
NCL Corp., Ltd., 1.125%, 2/15/27 | USD | 870 | 817,437 |
$ 3,592,501 | |||
British Virgin Islands — 0.0%(9) | |||
ADM Ag Holding, Ltd., 0.00%, 8/26/23(11) | USD | 200 | $ 198,950 |
$ 198,950 | |||
Canada — 0.0%(9) | |||
Shopify, Inc., 0.125%, 11/1/25 | USD | 300 | $ 273,300 |
$ 273,300 | |||
Cayman Islands — 0.2% | |||
Herbalife, Ltd., 2.625%, 3/15/24 | USD | 870 | $ 842,595 |
Li Auto, Inc., 0.25%, 5/1/28 | USD | 430 | 697,460 |
Poseidon Finance 1, Ltd., 0.00%, 2/1/25(11) | USD | 660 | 683,760 |
Sea, Ltd., 2.375%, 12/1/25 | USD | 940 | 1,015,200 |
ZTO Express Cayman, Inc., 1.50%, 9/1/27(1) | USD | 710 | 749,405 |
$ 3,988,420 | |||
China — 0.1% | |||
Meituan, 0.00%, 4/27/27(11) | USD | 3,000 | $ 2,648,250 |
$ 2,648,250 | |||
France — 0.0%(9) | |||
Veolia Environnement S.A., 0.00%, 1/1/25(11) | EUR | 1,150 | $ 409,437 |
$ 409,437 |
10
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Germany — 0.0%(9) | |||
DHL Group, 0.05%, 6/30/25(11) | EUR | 500 | $ 542,688 |
$ 542,688 | |||
India — 0.1% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(11) | USD | 1,325 | $ 1,101,095 |
$ 1,101,095 | |||
Israel — 0.0%(9) | |||
Nice, Ltd., 0.00%, 9/15/25 | USD | 415 | $ 408,469 |
$ 408,469 | |||
Luxembourg — 0.0%(9) | |||
Citigroup Global Markets Funding Luxembourg SCA, 0.00%, 7/25/24(11) | HKD | 6,000 | $ 726,256 |
$ 726,256 | |||
Netherlands — 0.0%(9) | |||
STMicroelectronics N.V., 0.00%, 8/4/25(11) | USD | 200 | $ 253,228 |
$ 253,228 | |||
South Africa — 0.0%(9) | |||
HTA Group, Ltd., 2.875%, 3/18/27(11) | USD | 200 | $ 161,700 |
$ 161,700 | |||
Spain — 0.0%(9) | |||
Cellnex Telecom S.A., 0.50%, 7/5/28(11) | EUR | 300 | $ 345,535 |
$ 345,535 | |||
United Arab Emirates — 0.0%(9) | |||
Abu Dhabi National Oil Co., 0.70%, 6/4/24(11) | USD | 200 | $ 189,973 |
$ 189,973 | |||
United States — 1.8% | |||
Airbnb, Inc., 0.00%, 3/15/26 | USD | 1,070 | $ 965,140 |
Akamai Technologies, Inc., 0.125%, 5/1/25 | USD | 1,070 | 1,172,568 |
Alnylam Pharmaceuticals, Inc., 1.00%, 9/15/27(1) | USD | 590 | 578,675 |
Ares Capital Corp., 4.625%, 3/1/24 | USD | 550 | 562,719 |
Axon Enterprise, Inc., 0.50%, 12/15/27(1) | USD | 670 | 693,115 |
Bentley Systems, Inc., 0.125%, 1/15/26 | USD | 870 | 891,870 |
BILL Holdings, Inc., 0.00%, 12/1/25 | USD | 770 | 829,290 |
BioMarin Pharmaceutical, Inc., 1.25%, 5/15/27 | USD | 815 | 822,524 |
BlackLine, Inc., 0.00%, 3/15/26 | USD | 540 | 464,400 |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | USD | 500 | 446,250 |
Block, Inc., 0.125%, 3/1/25 | USD | 870 | 863,910 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Bloom Energy Corp., 3.00%, 6/1/28(1) | USD | 560 | $ 674,445 |
Burlington Stores, Inc., 2.25%, 4/15/25 | USD | 780 | 847,763 |
Cable One, Inc., 0.00%, 3/15/26 | USD | 655 | 541,685 |
Carnival Corp., 5.75%, 12/1/27(1) | USD | 430 | 716,595 |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26 | USD | 560 | 500,175 |
Cloudflare, Inc., 0.00%, 8/15/26 | USD | 725 | 624,950 |
Confluent, Inc., 0.00%, 1/15/27(1) | USD | 870 | 727,238 |
CONMED Corp., 2.25%, 6/15/27 | USD | 260 | 274,170 |
CryoPort, Inc., 0.75%, 12/1/26(1) | USD | 535 | 419,859 |
Cytokinetics, Inc., 3.50%, 7/1/27 | USD | 300 | 279,147 |
Datadog, Inc., 0.125%, 6/15/25 | USD | 565 | 777,313 |
Dexcom, Inc.: | |||
0.25%, 11/15/25 | USD | 970 | 1,025,306 |
0.375%, 5/15/28(1) | USD | 550 | 555,500 |
DISH Network Corp., 0.00%, 12/15/25 | USD | 440 | 270,350 |
DraftKings Holdings, Inc., 0.00%, 3/15/28 | USD | 670 | 521,930 |
Dropbox, Inc., 0.00%, 3/1/26 | USD | 695 | 661,293 |
Duke Energy Corp., 4.125%, 4/15/26(1) | USD | 900 | 888,300 |
Enphase Energy, Inc., 0.00%, 3/1/26 | USD | 570 | 526,395 |
Envestnet, Inc., 0.75%, 8/15/25 | USD | 300 | 278,250 |
Etsy, Inc., 0.25%, 6/15/28 | USD | 870 | 709,485 |
Euronet Worldwide, Inc., 0.75%, 3/15/49 | USD | 300 | 282,375 |
Exact Sciences Corp., 0.375%, 3/1/28 | USD | 1,020 | 1,063,220 |
Expedia Group, Inc., 0.00%, 2/15/26 | USD | 870 | 781,956 |
Five9, Inc., 0.50%, 6/1/25 | USD | 300 | 298,050 |
Ford Motor Co., 0.00%, 3/15/26 | USD | 1,045 | 1,071,125 |
Glencore Funding, LLC, 0.00%, 3/27/25(11) | USD | 400 | 429,868 |
Halozyme Therapeutics, Inc., 1.00%, 8/15/28(1) | USD | 625 | 627,188 |
Insmed, Inc., 0.75%, 6/1/28 | USD | 600 | 519,000 |
Integra LifeSciences Holdings Corp., 0.50%, 8/15/25 | USD | 300 | 282,000 |
InterDigital, Inc.: | |||
2.00%, 6/1/24 | USD | 250 | 296,719 |
3.50%, 6/1/27 | USD | 455 | 598,925 |
Ionis Pharmaceuticals, Inc., 0.00%, 4/1/26 | USD | 870 | 819,431 |
Lantheus Holdings, Inc., 2.625%, 12/15/27(1) | USD | 240 | 320,226 |
Liberty Broadband Corp., 3.125%, 3/31/53(1) | USD | 440 | 449,240 |
Live Nation Entertainment, Inc., 2.00%, 2/15/25 | USD | 540 | 563,220 |
Lumentum Holdings, Inc., 0.50%, 6/15/28 | USD | 435 | 335,771 |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27(1) | USD | 635 | 611,188 |
Match Group Financeco 3, Inc., 2.00%, 1/15/30(1) | USD | 490 | 458,844 |
MongoDB, Inc., 0.25%, 1/15/26 | USD | 325 | 664,706 |
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | USD | 700 | 628,950 |
NRG Energy, Inc., 2.75%, 6/1/48 | USD | 690 | 736,575 |
NuVasive, Inc., 0.375%, 3/15/25 | USD | 525 | 476,438 |
11
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Okta, Inc., 0.125%, 9/1/25 | USD | 900 | $ 821,250 |
Omnicell, Inc., 0.25%, 9/15/25 | USD | 870 | 835,635 |
ON Semiconductor Corp., 0.50%, 3/1/29(1) | USD | 915 | 1,118,749 |
Palo Alto Networks, Inc., 0.375%, 6/1/25 | USD | 470 | 1,183,695 |
Post Holdings, Inc., 2.50%, 8/15/27(1) | USD | 500 | 499,500 |
Rapid7, Inc., 0.25%, 3/15/27 | USD | 550 | 481,594 |
Rivian Automotive, Inc., 4.625%, 3/15/29(1) | USD | 545 | 880,992 |
Sarepta Therapeutics, Inc., 1.25%, 9/15/27(1) | USD | 645 | 685,724 |
Snap, Inc., 0.00%, 5/1/27 | USD | 1,150 | 867,675 |
SoFi Technologies, Inc., 0.00%, 10/15/26(1) | USD | 820 | 701,920 |
Southern Co., 3.875%, 12/15/25(1) | USD | 600 | 605,100 |
Southwest Airlines Co., 1.25%, 5/1/25 | USD | 405 | 446,614 |
Spirit Airlines, Inc., 1.00%, 5/15/26 | USD | 580 | 513,409 |
Splunk, Inc., 1.125%, 9/15/25 | USD | 815 | 816,528 |
Spotify USA, Inc., 0.00%, 3/15/26 | USD | 505 | 430,828 |
Tyler Technologies, Inc., 0.25%, 3/15/26 | USD | 580 | 583,190 |
Uber Technologies, Inc., 0.00%, 12/15/25 | USD | 870 | 839,886 |
Wolfspeed, Inc., 1.875%, 12/1/29(1) | USD | 910 | 788,060 |
Ziff Davis, Inc., 1.75%, 11/1/26(1) | USD | 345 | 329,475 |
Zscaler, Inc., 0.125%, 7/1/25 | USD | 555 | 684,270 |
$ 46,539,719 | |||
Total Convertible Bonds (identified cost $59,037,808) | $ 61,379,521 |
Convertible Preferred Stocks — 0.0%(9) |
Security | Shares | Value | |
United States — 0.0%(9) | |||
Bank of America Corp., Series L, 7.25% | 625 | $ 761,250 | |
Total Convertible Preferred Stocks (identified cost $769,125) | $ 761,250 |
Foreign Corporate Bonds — 5.8% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(9) | |||
IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1) | USD | 151 | $ 147,230 |
$ 147,230 |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 0.1% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(11) | USD | 2,160 | $ 2,122,200 |
$ 2,122,200 | |||
Brazil — 0.8% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(1) | USD | 616 | $ 437,175 |
10.00%, 2/10/27(11) | USD | 4,757 | 3,376,043 |
Guara Norte S.a.r.l., 5.198%, 6/15/34(11) | USD | 1,829 | 1,633,441 |
Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(11) | USD | 3,086 | 2,486,600 |
MC Brazil Downstream Trading S.a.r.l.: | |||
7.25%, 6/30/31(1) | USD | 2,580 | 1,677,180 |
7.25%, 6/30/31(11) | USD | 323 | 209,805 |
MV24 Capital BV, 6.748%, 6/1/34(11) | USD | 873 | 806,737 |
Natura & Co. Luxembourg Holdings S.a.r.l.: | |||
6.00%, 4/19/29(1) | USD | 259 | 246,615 |
6.00%, 4/19/29(11) | USD | 2,663 | 2,535,664 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(11) | USD | 2,178 | 1,920,241 |
Petrobras Global Finance BV, 6.90%, 3/19/49 | USD | 3,509 | 3,310,479 |
Vale S.A., 2.762%(12)(13) | BRL | 14,736 | 962,950 |
$ 19,602,930 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(11) | EUR | 1,801 | $ 1,674,168 |
$ 1,674,168 | |||
Burkina Faso — 0.1% | |||
Endeavour Mining PLC, 5.00%, 10/14/26(11) | USD | 3,661 | $ 3,331,181 |
$ 3,331,181 | |||
Canada — 0.1% | |||
Aris Gold Corp., 7.50%, 8/26/27 | USD | 2,388 | $ 2,364,005 |
$ 2,364,005 | |||
Chile — 0.3% | |||
AES Andes S.A.: | |||
6.35% to 4/7/25, 10/7/79(11)(14) | USD | 1,453 | $ 1,374,149 |
7.125% to 4/7/24, 3/26/79(11)(14) | USD | 2,338 | 2,238,518 |
Latam Airlines Group S.A., 13.375%, 10/15/27(1) | USD | 295 | 321,886 |
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(11) | USD | 2,964 | 1,751,191 |
5.125%, 1/15/28(11) | USD | 2,674 | 1,581,442 |
$ 7,267,186 |
12
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
China — 0.0%(9) | |||
Kaisa Group Holdings, Ltd., 9.375%, 6/30/24(11)(15) | USD | 850 | $ 40,450 |
KWG Group Holdings, Ltd., 7.875%, 8/30/24 | USD | 519 | 40,222 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(11)(15) | USD | 4,343 | 331,154 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(11)(15) | USD | 400 | 46,007 |
8.35%, 4/19/23(11)(15) | USD | 1,864 | 209,732 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(11)(15) | USD | 2,221 | 119,762 |
6.75%, 7/16/23(11)(15) | USD | 1,041 | 46,845 |
$ 834,172 | |||
Colombia — 0.4% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(1) | USD | 3,441 | $ 2,915,624 |
Aris Mining Corp., 6.875%, 8/9/26(11) | USD | 2,880 | 2,306,319 |
Canacol Energy, Ltd., 5.75%, 11/24/28(11) | USD | 2,400 | 2,105,142 |
SierraCol Energy Andina, LLC, 6.00%, 6/15/28(11) | USD | 2,237 | 1,766,368 |
$ 9,093,453 | |||
Costa Rica — 0.1% | |||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/31(1) | USD | 2,887 | $ 2,898,205 |
$ 2,898,205 | |||
Georgia — 0.2% | |||
Georgia Capital JSC, 6.125%, 3/9/24(11) | USD | 1,850 | $ 1,838,438 |
TBC Bank JSC, 8.894% to 11/6/26(11)(12)(14) | USD | 2,674 | 2,398,578 |
$ 4,237,016 | |||
Ghana — 0.2% | |||
Kosmos Energy, Ltd.: | |||
7.50%, 3/1/28(11) | USD | 1,636 | $ 1,457,302 |
7.75%, 5/1/27(11) | USD | 794 | 730,256 |
Tullow Oil PLC, 10.25%, 5/15/26(11) | USD | 3,244 | 2,641,265 |
$ 4,828,823 | |||
Honduras — 0.1% | |||
Inversiones Atlantida S.A., 7.50%, 5/19/26(11) | USD | 1,935 | $ 1,804,213 |
$ 1,804,213 | |||
Hong Kong — 0.0%(9) | |||
Yuexiu REIT MTN Co., Ltd., 2.65%, 2/2/26(11) | USD | 800 | $ 688,017 |
$ 688,017 |
Security | Principal Amount (000's omitted) | Value | |
Hungary — 0.1% | |||
OTP Bank Nyrt, 8.75% to 2/15/28, 5/15/33(11)(14) | USD | 3,227 | $ 3,244,335 |
$ 3,244,335 | |||
Iceland — 0.2% | |||
Arion Banki HF, 6.00%, 4/12/24(11) | ISK | 440,000 | $ 3,285,583 |
Landsbankinn HF, 5.00%, 11/23/23(11) | ISK | 120,000 | 902,469 |
WOW Air HF: | |||
0.00%(12)(15)(16) | EUR | 20 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(15)(16) | EUR | 900 | 0 |
$ 4,188,052 | |||
India — 0.2% | |||
JSW Steel, Ltd., 5.05%, 4/5/32(11) | USD | 3,062 | $ 2,495,622 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(11) | USD | 2,927 | 2,628,185 |
$ 5,123,807 | |||
Indonesia — 0.2% | |||
Minejesa Capital BV, 4.625%, 8/10/30(11) | USD | 5,436 | $ 4,994,325 |
$ 4,994,325 | |||
Ireland — 0.1% | |||
C&W Senior Financing DAC, 6.875%, 9/15/27(11) | USD | 3,829 | $ 3,480,025 |
$ 3,480,025 | |||
Mexico — 1.0% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(11)(15) | USD | 2,815 | $ 42,225 |
10.00%, 12/19/22(11)(15) | USD | 1,440 | 21,597 |
Banco Mercantil del Norte S.A., 8.375% to 10/14/30(11)(12)(14) | USD | 1,314 | 1,289,113 |
BBVA Bancomer S.A.: | |||
5.125% to 1/17/28, 1/18/33(11)(14) | USD | 1,452 | 1,264,329 |
8.45% to 6/29/33, 6/29/38(1)(14) | USD | 1,410 | 1,436,790 |
Braskem Idesa SAPI: | |||
6.99%, 2/20/32(11) | USD | 2,284 | 1,474,736 |
7.45%, 11/15/29(11) | USD | 1,895 | 1,303,481 |
Cemex SAB de CV: | |||
5.125% to 6/8/26(11)(12)(14) | USD | 2,972 | 2,757,570 |
9.125% to 3/14/28(1)(12)(14) | USD | 3,062 | 3,188,442 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(1) | USD | 2,592 | 2,332,800 |
Petroleos Mexicanos: | |||
5.95%, 1/28/31 | USD | 3,763 | 2,797,242 |
6.35%, 2/12/48 | USD | 1,336 | 832,138 |
13
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Mexico (continued) | |||
Petroleos Mexicanos: (continued) | |||
6.875%, 8/4/26 | USD | 1,693 | $ 1,578,091 |
6.95%, 1/28/60 | USD | 1,028 | 656,438 |
10.00%, 2/7/33(1) | USD | 1,597 | 1,488,671 |
Total Play Telecomunicaciones S.A. de CV: | |||
6.375%, 9/20/28(11) | USD | 2,963 | 1,702,392 |
7.50%, 11/12/25(11) | USD | 3,550 | 2,429,983 |
$ 26,596,038 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(11) | USD | 2,360 | $ 1,633,356 |
$ 1,633,356 | |||
Nigeria — 0.1% | |||
IHS Netherlands Holdco BV, 8.00%, 9/18/27(11) | USD | 1,185 | $ 1,084,536 |
SEPLAT Energy PLC, 7.75%, 4/1/26(11) | USD | 2,026 | 1,814,587 |
$ 2,899,123 | |||
Paraguay — 0.1% | |||
Frigorifico Concepcion S.A.: | |||
7.70%, 7/21/28(1) | USD | 2,421 | $ 2,074,119 |
7.70%, 7/21/28(11) | USD | 1,420 | 1,216,543 |
$ 3,290,662 | |||
Peru — 0.3% | |||
Auna SAA, 6.50%, 11/20/25(11) | USD | 5,802 | $ 5,082,697 |
Peru LNG SRL, 5.375%, 3/22/30(11) | USD | 3,281 | 2,652,198 |
Telefonica del Peru SAA, 7.375%, 4/10/27(11) | PEN | 4,500 | 962,555 |
$ 8,697,450 | |||
Russia — 0.1% | |||
Gazprom PJSC Via Gaz Finance PLC, 4.599% to 10/26/25(11)(12)(14) | USD | 555 | $ 338,550 |
Hacienda Investments, Ltd. Via DME Airport DAC, 5.35%, 2/8/28(11) | USD | 450 | 265,500 |
Tinkoff Bank JSC Via TCS Finance, Ltd., 6.00% to 12/20/26(11)(12)(14) | USD | 1,226 | 655,910 |
$ 1,259,960 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(11) | USD | 4,217 | $ 3,833,422 |
$ 3,833,422 |
Security | Principal Amount (000's omitted) | Value | |
Singapore — 0.1% | |||
APL Realty Holdings Pte., Ltd., 5.95%, 6/2/24(11) | USD | 2,190 | $ 1,330,425 |
Indika Energy Capital IV Pte, Ltd., 8.25%, 10/22/25(11) | USD | 1,216 | 1,213,616 |
Puma International Financing S.A., 5.125%, 10/6/24(11) | USD | 708 | 704,375 |
$ 3,248,416 | |||
South Africa — 0.3% | |||
HTA Group, Ltd., 7.00%, 12/18/25(11) | USD | 1,864 | $ 1,784,053 |
Petra Diamonds US Treasury PLC, 9.75% PIK, 3/8/26(11) | USD | 421 | 382,774 |
Sasol Financing USA, LLC: | |||
5.50%, 3/18/31 | USD | 4,929 | 4,066,473 |
6.50%, 9/27/28 | USD | 1,059 | 981,076 |
$ 7,214,376 | |||
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(11) | USD | 3,395 | $ 3,041,854 |
Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(11) | USD | 3,318 | 3,138,828 |
$ 6,180,682 | |||
United Arab Emirates — 0.0%(9) | |||
Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24(11) | USD | 1,124 | $ 1,128,715 |
$ 1,128,715 | |||
Uzbekistan — 0.0%(9) | |||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(11) | UZS | 7,100,000 | $ 593,450 |
$ 593,450 | |||
Vietnam — 0.1% | |||
Mong Duong Finance Holdings BV, 5.125%, 5/7/29(11) | USD | 3,235 | $ 2,927,591 |
$ 2,927,591 | |||
Total Foreign Corporate Bonds (identified cost $162,604,704) | $151,426,584 |
14
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Loan Participation Notes — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 0.7% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(11)(16)(17) | UZS | 195,502,870 | $ 16,923,771 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(11)(16)(17) | UZS | 3,683,800 | 302,407 |
Total Loan Participation Notes (identified cost $16,894,593) | $ 17,226,178 |
Preferred Stocks — 0.0%(9) |
Security | Shares | Value | |
United States — 0.0%(9) | |||
Wells Fargo & Co., Series L, Class A, 7.50% (Convertible) | 620 | $ 730,974 | |
Total Preferred Stocks (identified cost $766,585) | $ 730,974 |
Reinsurance Side Cars — 2.2% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2020A, 0.00%, 3/22/24(1)(16)(18)(19) | 818,125 | $ 292,889 | |
Series 2021A, 0.00%, 3/21/25(1)(16)(18)(19) | 65,826 | 29,951 | |
Series 2021B, 0.00%, 3/21/25(1)(16)(18)(19) | 592,179 | 269,441 | |
Series 2022A, 0.00%, 3/20/26(1)(16)(18)(19) | 1,409,976 | 972,038 | |
Series 2022B, 0.00%, 3/20/26(1)(16)(18)(19) | 1,210,683 | 851,352 | |
Series 2023A, 0.00%, 3/19/27(1)(16)(18)(19) | 15,000,000 | 15,909,000 | |
Series 2023B, 0.00%, 3/19/27(1)(16)(18)(19) | 11,800,000 | 12,533,960 | |
Mt. Logan Re, Ltd.: | |||
Series 13, Preference Shares(16)(19)(20) | 10,000 | 11,599,499 | |
Series 17, Preference Shares(10)(16)(19)(20) | 860 | 984,430 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 5, 5/19(10)(16)(19)(20) | 249 | 13,762 | |
Designated Investment Series 5, 12/19(10)(16)(19)(20) | 791 | 42,345 | |
Designated Investment Series 5, 6/20(10)(16)(19)(20) | 434 | 41,533 | |
Designated Investment Series 5, 4/21(10)(16)(19)(20) | 247 | 51,324 | |
Designated Investment Series 5, 12/21(10)(16)(19)(20) | 958 | 153,587 | |
Designated Investment Series 5, 11/22(10)(16)(19)(20) | 958 | 559,862 | |
Designated Investment Series 15, 12/21(10)(16)(19)(20) | 743 | 119,041 | |
Designated Investment Series 15, 11/22(10)(16)(19)(20) | 721 | 421,380 | |
Series 5, Preference Shares(10)(16)(19)(20) | 6,000 | 6,582,956 | |
Series 15, Preference Shares(10)(16)(19)(20) | 5,000 | 4,991,431 |
Security | Shares | Value | |
Sussex Re, Ltd.: | |||
Series 2020A(10)(16)(19)(20) | 4,081,939 | $ 154,706 | |
Series 2021A(10)(16)(19)(20) | 4,154,232 | 454,888 | |
Total Reinsurance Side Cars (identified cost $48,837,955) | $ 57,029,375 |
Sovereign Government Bonds — 11.8% |
Security | Principal Amount (000's omitted) | Value | |
Benin — 0.0%(9) | |||
Benin Government International Bond, 6.875%, 1/19/52(11) | EUR | 1,630 | $ 1,312,740 |
$ 1,312,740 | |||
Dominican Republic — 1.2% | |||
Dominican Republic: | |||
9.75%, 6/5/26(11) | DOP | 56,750 | $ 1,031,772 |
12.00%, 8/8/25(1) | DOP | 450,030 | 8,263,941 |
12.75%, 9/23/29(1) | DOP | 794,700 | 16,373,311 |
13.625%, 2/3/33(1) | DOP | 8,000 | 176,296 |
Dominican Republic Central Bank Notes: | |||
12.00%, 10/3/25(1) | DOP | 299,010 | 5,496,610 |
13.00%, 12/5/25(1) | DOP | 12,940 | 245,455 |
$ 31,587,385 | |||
Iceland — 0.4% | |||
Republic of Iceland: | |||
5.00%, 11/15/28 | ISK | 852,032 | $ 5,922,158 |
6.50%, 1/24/31 | ISK | 285,839 | 2,147,168 |
8.00%, 6/12/25 | ISK | 307,477 | 2,333,843 |
$ 10,403,169 | |||
Malaysia — 0.0%(9) | |||
Malaysia Wakala Sukuk Bhd, 2.07%, 4/28/31(11) | USD | 1,000 | $ 857,071 |
$ 857,071 | |||
Mexico — 3.0% | |||
Mexican Udibonos: | |||
2.75%, 11/27/31(21) | MXN | 47,515 | $ 2,491,000 |
4.00%, 11/30/28(21) | MXN | 1,291,855 | 74,825,257 |
$ 77,316,257 |
15
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
New Zealand — 0.5% | |||
New Zealand Government Bond, 3.00%, 9/20/30(11)(21) | NZD | 18,939 | $ 12,326,907 |
$ 12,326,907 | |||
Peru — 1.6% | |||
Peru Government Bond: | |||
5.40%, 8/12/34 | PEN | 41,625 | $ 10,358,610 |
6.15%, 8/12/32 | PEN | 60,297 | 16,202,101 |
6.714%, 2/12/55 | PEN | 57,488 | 15,712,792 |
$ 42,273,503 | |||
Poland — 0.0%(9) | |||
Republic of Poland, 5.75%, 11/16/32 | USD | 1,000 | $ 1,057,690 |
$ 1,057,690 | |||
Romania — 0.0%(9) | |||
Romania Government International Bond, 7.125%, 1/17/33(11) | USD | 1,144 | $ 1,232,475 |
$ 1,232,475 | |||
Serbia — 1.1% | |||
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 3,319,480 | $ 27,877,776 |
5.875%, 2/8/28 | RSD | 3,280 | 31,778 |
$ 27,909,554 | |||
South Africa — 3.5% | |||
Republic of South Africa: | |||
8.25%, 3/31/32 | ZAR | 124,423 | $ 5,948,853 |
10.50%, 12/21/26 | ZAR | 1,437,663 | 84,117,381 |
$ 90,066,234 | |||
Suriname — 0.4% | |||
Republic of Suriname, 9.25%, 10/26/26(11)(15) | USD | 11,370 | $ 9,511,005 |
$ 9,511,005 | |||
Ukraine — 0.1% | |||
Ukraine Government Bond: | |||
10.95%, 11/1/23 | UAH | 7,018 | $ 153,961 |
11.67%, 11/22/23 | UAH | 38,811 | 851,439 |
12.70%, 10/30/24 | UAH | 31,519 | 589,656 |
$ 1,595,056 | |||
Total Sovereign Government Bonds (identified cost $334,330,751) | $307,449,046 |
Sovereign Loans — 0.0%(9) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Nigeria — 0.0%(9) | |||
Bank of Industry Limited, Term Loan, 11.511%, (3 mo. USD LIBOR + 6.00%), 12/11/23(2)(22) | USD | 456 | $ 456,854 |
Total Sovereign Loans (identified cost $455,715) | $ 456,854 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(6) | |||
Series 2021-SB91, Class X1, 0.575%, 8/25/41(3) | $ | 23,994 | $ 680,536 |
Series 2021-SB92, Class X1, 0.58%, 8/25/41(3) | 23,943 | 558,058 | |
Government National Mortgage Association: | |||
Interest Only:(6) | |||
Series 2021-101, Class IO, 0.679%, 4/16/63(3) | 27,305 | 1,472,167 | |
Series 2021-132, Class IO, 0.726%, 4/16/63(3) | 65,897 | 3,702,753 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(3) | 25,916 | 1,610,501 | |
Series 2021-186, Class IO, 0.765%, 5/16/63(3) | 47,862 | 2,789,486 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(3) | 68,118 | 3,293,519 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $18,468,248) | $ 14,107,020 |
U.S. Government Agency Mortgage-Backed Securities — 37.3% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.888%, (COF + 1.25%), with maturity at 2035(23) | $ | 83 | $ 82,191 |
4.558%, (COF + 1.25%), with maturity at 2030(23) | 54 | 53,302 | |
5.00%, with various maturities to 2052 | 16,828 | 16,500,502 | |
5.50%, with various maturities to 2052 | 8,951 | 8,913,028 | |
6.00%, with various maturities to 2053 | 4,729 | 4,767,981 | |
6.50%, with maturity at 2053 | 5,930 | 6,071,712 | |
7.00%, with various maturities to 2036 | 491 | 501,662 | |
8.00%, with maturity at 2026 | 2 | 1,720 | |
Federal National Mortgage Association: | |||
3.915%, (COF + 1.25%), with maturity at 2035(23) | 39 | 38,990 | |
4.909%, (COF + 1.79%), with maturity at 2035(23) | 323 | 318,453 | |
5.50%, 30-Year, TBA(24) | 32,200 | 31,996,235 | |
5.50%, with various maturities to 2052 | 89,811 | 89,425,933 |
16
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
6.00%, with various maturities to 2053 | $ | 18,490 | $ 18,671,859 |
6.50%, with various maturities to 2053 | 15,545 | 15,898,327 | |
7.00%, with maturity at 2037 | 188 | 193,288 | |
8.50%, with maturity at 2032 | 84 | 88,197 | |
9.50%, with maturity at 2028 | 16 | 16,801 | |
Government National Mortgage Association: | |||
5.00%, with maturity at 2052 | 19,495 | 19,146,140 | |
5.50%, with various maturities to 2063 | 71,558 | 71,242,744 | |
6.00%, with various maturities to 2063 | 76,197 | 76,754,357 | |
6.00%, 30-Year, TBA(24) | 122,950 | 123,614,373 | |
6.50%, with various maturities to 2063 | 49,594 | 50,660,922 | |
6.50%, 30-Year, TBA(24) | 351,600 | 357,322,185 | |
7.00%, with various maturities to 2063 | 73,184 | 75,060,944 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $971,297,026) | $967,341,846 |
U.S. Government Guaranteed Small Business Administration Loans(25)(26)— 0.7% |
Security | Principal Amount (000's omitted) | Value | |
0.66%, 3/15/30 | $ | 2,604 | $ 38,004 |
0.73%, 7/15/31 | 2,494 | 42,940 | |
0.93%, 5/15/42 | 1,519 | 45,577 | |
0.98%, 4/15/32 | 1,165 | 29,341 | |
1.31%, 5/15/42 to 7/15/42 | 4,241 | 183,291 | |
1.38%, 6/15/41 | 3,043 | 128,527 | |
1.56%, 7/15/42 | 1,075 | 53,846 | |
1.61%, 12/15/41 to 7/15/42 | 1,851 | 100,296 | |
1.63%, 9/15/41 | 1,837 | 99,226 | |
1.73%, 10/15/33 to 11/21/41 | 2,533 | 134,588 | |
1.86%, 4/15/42 to 6/15/42 | 6,768 | 404,821 | |
1.91%, 7/15/42 | 1,013 | 74,011 | |
1.96%, 11/29/30 | 931 | 39,482 | |
2.06%, 5/15/42 to 7/15/42 | 4,921 | 333,137 | |
2.11%, 4/15/33 to 5/15/42 | 2,310 | 145,373 | |
2.16%, 5/15/42 | 1,952 | 133,240 | |
2.23%, 1/15/41 | 1,348 | 98,646 | |
2.28%, 11/1/29 | 999 | 47,670 | |
2.31%, 4/15/42 to 6/15/42 | 2,969 | 256,946 | |
2.36%, 1/16/42 to 6/15/42 | 9,069 | 683,968 | |
2.38%, 6/15/42 | 1,292 | 101,300 | |
2.39%, 7/15/40 | 1,292 | 87,297 | |
2.41%, 6/15/41 to 6/15/42 | 7,251 | 594,511 |
Security | Principal Amount (000's omitted) | Value | |
2.43%, 3/15/41 | $ | 1,288 | $ 110,221 |
2.48%, 2/23/41 | 1,089 | 91,273 | |
2.56%, 1/15/41 | 1,007 | 71,003 | |
2.61%, 2/15/42 to 6/15/42 | 2,163 | 179,142 | |
2.66%, 4/15/42 to 6/15/42 | 2,590 | 224,021 | |
2.68%, 9/15/41 | 1,142 | 93,437 | |
2.71%, 8/15/42 | 6,830 | 597,477 | |
2.86%, 5/15/32 to 6/15/42 | 7,631 | 732,027 | |
2.88%, 8/16/42(27) | 18,439 | 1,841,723 | |
2.89%, 8/15/40 | 948 | 79,062 | |
2.90%, 11/2/42(27) | 8,794 | 848,002 | |
2.91%, 6/15/42 to 7/15/42 | 4,400 | 462,460 | |
2.93%, 4/15/41 to 5/15/41 | 2,229 | 195,739 | |
2.96%, 5/15/27 to 1/15/43 | 8,282 | 744,639 | |
2.98%, 9/15/41 to 7/15/42 | 4,097 | 457,140 | |
3.03%, 6/15/42 | 1,717 | 184,120 | |
3.11%, 5/15/42 to 6/15/42 | 2,909 | 295,649 | |
3.16%, 6/15/42 to 1/15/43 | 12,073 | 1,329,372 | |
3.19%, 8/15/39 | 1,375 | 127,215 | |
3.21%, 12/15/26 to 7/15/42 | 4,549 | 410,196 | |
3.28%, 4/15/27 to 7/15/42 | 4,068 | 444,595 | |
3.36%, 3/15/42 | 1,830 | 216,242 | |
3.41%, 6/15/42 to 12/15/42 | 3,401 | 385,555 | |
3.46%, 4/15/27 to 8/15/42 | 4,122 | 370,274 | |
3.53%, 6/15/26 to 8/15/42 | 1,106 | 84,191 | |
3.61%, 6/15/32 to 6/15/42 | 4,278 | 545,084 | |
3.64%, 12/15/41 | 1,017 | 136,830 | |
3.66%, 5/15/42 to 7/15/42 | 4,902 | 631,193 | |
3.68%, 2/15/42 to 5/15/42 | 620 | 78,554 | |
3.71%, 3/15/24 to 7/15/42 | 12,716 | 1,205,210 | |
3.73%, 1/15/37 | 1,637 | 164,925 | |
3.78%, 2/15/27 to 5/15/42 | 2,985 | 374,222 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $37,139,789) | $ 17,566,831 |
U.S. Treasury Obligations — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.125%, 2/15/52(28) | $ | 39,229 | $ 25,305,100 |
0.625%, 7/15/32(28) | 11,548 | 10,598,811 | |
Total U.S. Treasury Obligations (identified cost $39,532,890) | $ 35,903,911 |
17
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(10)(16) | 3,058,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(10)(16) | 5,630,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 14.1% |
Affiliated Fund — 11.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.19%(29) | 303,266,306 | $303,266,306 | |
Total Affiliated Fund (identified cost $303,266,306) | $303,266,306 |
Repurchase Agreements — 0.2% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 7/28/23 with an interest rate of 4.90%, collateralized by $1,000,000 Mexico Government International Bond, 6.35%, due 2/9/35 and a market value, including accrued interest, of $1,082,413 | USD | 1,078 | $ 1,077,500 |
Dated 7/28/23 with an interest rate of 4.00%, collateralized by $1,000,000 Indonesia Government International Bond, 4.85%, due 1/11/33 and a market value, including accrued interest, of $1,002,872 | USD | 999 | 998,750 |
Barclays Bank PLC: | |||
Dated 7/27/23 with an interest rate of 5.10%, collateralized by $1,000,000 Republic of Turkey, 9.375%, due 1/19/33 and a market value, including accrued interest, of $1,061,182 | USD | 1,086 | 1,086,250 |
JPMorgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 5.10%, collateralized by $1,000,000 Republic of South Africa, 5.875%, due 4/20/32 and a market value, including accrued interest, of $932,731 | USD | 930 | 929,743 |
Dated 7/27/23 with an interest rate of 5.05%, collateralized by $1,000,000 Peruvian Government International Bond, 2.783%, due 1/23/31 and a market value, including accrued interest, of $852,206 | USD | 849 | 848,887 |
Description | Principal Amount (000's omitted) | Value | |
Nomura International PLC: | |||
Dated 7/27/23 with an interest rate of 5.00%, collateralized by $1,000,000 Hungary Government International Bond, 6.25%, due 9/22/32 and a market value, including accrued interest, of $1,051,642 | USD | 1,100 | $ 1,100,006 |
Total Repurchase Agreements (identified cost $6,041,136) | $ 6,041,136 |
U.S. Treasury Obligations — 2.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill: | |||
0.00%, 10/12/23(30) | $ | 40,000 | $ 39,578,600 |
0.00%, 10/26/23(30) | 17,000 | 16,786,477 | |
Total U.S. Treasury Obligations (identified cost $56,373,801) | $ 56,365,077 | ||
Total Short-Term Investments (identified cost $365,681,243) | $365,672,519 |
Total Purchased Swaptions — 0.0%(9) (identified cost $2,294,655) | $ 130,981 | ||
Total Investments — 117.8% (identified cost $3,254,739,205) | $3,057,565,640 |
18
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
TBA Sale Commitments — (1.9)% | |||
U.S. Government Agency Mortgage-Backed Securities — (1.9)% |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association, 4.50%, 30-Year, TBA(24) | $ | (50,000) | $(48,120,430) |
Total U.S. Government Agency Mortgage-Backed Securities (proceeds $48,414,063) | $(48,120,430) | ||
Total TBA Sale Commitments (proceeds $48,414,063) | $(48,120,430) | ||
Securities Sold Short — (0.2)% | |||
Sovereign Government Bonds — (0.2)% |
Security | Principal Amount (000's omitted) | Value | |
Indonesia — (0.0)%(9) | |||
Indonesia Government International Bond, 4.85%, 1/11/33 | USD | (1,000) | $ (1,000,177) |
$ (1,000,177) | |||
Mexico — (0.1)% | |||
Mexico Government International Bond, 6.35%, 2/9/35 | USD | (1,000) | $ (1,052,075) |
$ (1,052,075) | |||
Peru — (0.0)%(9) | |||
Peruvian Government International Bond, 2.783%, 1/23/31 | USD | (1,000) | $ (851,588) |
$ (851,588) | |||
Turkey — (0.1)% | |||
Republic of Turkey, 9.375%, 1/19/33 | USD | (1,000) | $ (1,058,057) |
$ (1,058,057) | |||
Total Sovereign Government Bonds (proceeds $3,924,575) | $ (3,961,897) | ||
Total Securities Sold Short (proceeds $3,924,575) | $ (3,961,897) |
Other Assets, Less Liabilities — (15.8)% | $ (410,053,595) | ||
Net Assets — 100.0% | $2,595,429,718 |
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 July 31, 2023, the aggregate value of these securities is $526,852,850 or 20.3% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2023. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at July 31, 2023. |
(5) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2023. |
(6) | 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. |
(7) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(9) | Amount is less than 0.05% or (0.05)%, as applicable. |
(10) | Non-income producing security. |
(11) | 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 July 31, 2023, the aggregate value of these securities is $165,861,621 or 6.4% of the Portfolio's net assets. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | 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 July 31, 2023. |
(14) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(15) | 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. |
(16) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(17) | 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. |
(18) | Quantity held represents principal in USD. |
(19) | 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. |
(20) | Restricted security. |
19
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
(21) | 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. |
(22) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(23) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at July 31, 2023. |
(24) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(25) | 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. |
(26) | 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. |
(27) | The stated interest rate represents the weighted average fixed interest rate at July 31, 2023 of all interest only securities comprising the certificate. |
(28) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(29) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of July 31, 2023. |
(30) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Credit Default Swaptions (OTC) — 0.0%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Call to buy protection on Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) at 96, expiring 9/20/28 | Citibank, N.A. | USD | 18,600,000 | 9/20/23 | $ 13,504 |
Call to buy protection on Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) at 96, expiring 9/20/28 | JPMorgan Chase Bank, N.A. | USD | 111,500,000 | 9/20/23 | 80,949 |
Call to buy protection on Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) at 96, expiring 10/18/28 | Citibank, N.A. | USD | 6,500,000 | 10/18/23 | 11,043 |
Call to buy protection on Markit CDX North America High Yield 5-Year Index (CDX.NA.HY.40.V1) at 96, expiring 10/18/28 | Goldman Sachs International | USD | 15,000,000 | 10/18/23 | 25,485 |
Total | $130,981 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 3,607,958 | USD | 3,955,284 | 9/20/23 | $ 21,117 |
EUR | 2,000,000 | USD | 2,192,533 | 9/20/23 | 11,706 |
EUR | 1,931,587 | USD | 2,117,534 | 9/20/23 | 11,305 |
PEN | 4,371,400 | USD | 1,197,677 | 9/20/23 | 10,998 |
PEN | 1,623,005 | USD | 441,214 | 9/20/23 | 7,541 |
PEN | 8,555,000 | USD | 2,396,828 | 9/20/23 | (31,405) |
USD | 986,640 | EUR | 900,000 | 9/20/23 | (5,268) |
20
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 987,602 | EUR | 900,877 | 9/20/23 | $ (5,273) |
USD | 1,327,243 | EUR | 1,210,694 | 9/20/23 | (7,086) |
USD | 2,766,413 | EUR | 2,523,486 | 9/20/23 | (14,770) |
USD | 4,048,434 | EUR | 3,692,929 | 9/20/23 | (21,614) |
USD | 5,314,388 | EUR | 4,847,716 | 9/20/23 | (28,373) |
USD | 6,793,661 | EUR | 6,197,089 | 9/20/23 | (36,271) |
USD | 17,633,581 | EUR | 16,085,123 | 9/20/23 | (94,144) |
USD | 27,006,711 | EUR | 24,635,170 | 9/20/23 | (144,186) |
USD | 162,610 | PEN | 596,080 | 9/20/23 | (2,204) |
USD | 271,961 | PEN | 1,000,000 | 9/20/23 | (4,535) |
USD | 271,887 | PEN | 1,000,000 | 9/20/23 | (4,609) |
USD | 543,700 | PEN | 2,000,000 | 9/20/23 | (9,292) |
USD | 2,570,065 | PEN | 9,418,000 | 9/20/23 | (33,975) |
USD | 2,833,126 | PEN | 10,382,000 | 9/20/23 | (37,455) |
USD | 6,594,991 | PEN | 24,175,258 | 9/20/23 | (89,371) |
USD | 6,527,060 | PEN | 24,000,000 | 9/20/23 | (108,844) |
USD | 12,425,231 | PEN | 45,700,000 | 9/20/23 | (210,636) |
USD | 15,767,296 | PEN | 58,000,000 | 9/20/23 | (269,471) |
USD | 724,046 | HKD | 5,644,500 | 10/31/23 | (357) |
$(1,096,472) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 63,950,645 | CNH | 439,459,877 | Citibank, N.A. | 8/8/23 | $2,430,199 | $ — |
USD | 28,443,440 | ZAR | 522,221,557 | UBS AG | 9/18/23 | — | (633,339) |
AUD | 17,200,000 | USD | 11,230,241 | Citibank, N.A. | 9/20/23 | 342,294 | — |
AUD | 14,375,000 | USD | 9,827,469 | Citibank, N.A. | 9/20/23 | — | (155,655) |
AUD | 14,646,000 | USD | 10,010,102 | Citibank, N.A. | 9/20/23 | — | (155,953) |
AUD | 13,679,000 | USD | 9,350,141 | Standard Chartered Bank | 9/20/23 | — | (146,611) |
AUD | 21,845,000 | USD | 14,269,154 | UBS AG | 9/20/23 | 428,639 | — |
USD | 33,772,064 | MXN | 595,800,000 | Standard Chartered Bank | 9/20/23 | — | (1,495,590) |
USD | 20,135,630 | MXN | 357,000,000 | UBS AG | 9/20/23 | — | (996,550) |
USD | 20,807,430 | MXN | 368,378,900 | UBS AG | 9/20/23 | — | (998,310) |
USD | 15,452,770 | NZD | 25,074,391 | Citibank, N.A. | 9/20/23 | — | (121,917) |
USD | 20,336,023 | ZAR | 382,000,000 | Barclays Bank PLC | 9/20/23 | — | (929,506) |
USD | 20,368,736 | ZAR | 383,441,456 | Citibank, N.A. | 9/20/23 | — | (977,038) |
USD | 20,281,929 | ZAR | 382,000,000 | HSBC Bank USA, N.A. | 9/20/23 | — | (983,600) |
ZAR | 75,484,575 | USD | 3,999,807 | BNP Paribas | 9/20/23 | 202,338 | — |
USD | 505,898 | EUR | 457,477 | HSBC Bank USA, N.A. | 10/31/23 | 689 | — |
USD | 404,690 | EUR | 366,389 | HSBC Bank USA, N.A. | 10/31/23 | 73 | — |
USD | 386,761 | EUR | 350,191 | HSBC Bank USA, N.A. | 10/31/23 | 32 | — |
21
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 14,485,050 | SAR | 54,500,000 | Standard Chartered Bank | 3/14/24 | $ — | $ (26,785) |
USD | 7,606,557 | BHD | 2,900,000 | Standard Chartered Bank | 3/18/24 | — | (60,887) |
OMR | 4,666,500 | USD | 12,101,605 | Standard Chartered Bank | 4/8/24 | 6,699 | — |
USD | 11,776,656 | OMR | 4,666,500 | BNP Paribas | 4/8/24 | — | (331,648) |
OMR | 4,664,971 | USD | 12,097,326 | Standard Chartered Bank | 4/22/24 | 6,033 | — |
USD | 11,825,022 | OMR | 4,664,971 | Standard Chartered Bank | 4/22/24 | — | (278,338) |
OMR | 2,000,000 | USD | 5,183,496 | Standard Chartered Bank | 7/8/24 | 2,795 | — |
USD | 8,189,339 | OMR | 3,237,000 | BNP Paribas | 7/8/24 | — | (204,673) |
USD | 5,155,499 | OMR | 2,039,000 | Standard Chartered Bank | 7/15/24 | — | (131,663) |
USD | 954,425 | OMR | 378,000 | BNP Paribas | 7/29/24 | — | (25,639) |
USD | 23,985,158 | OMR | 9,293,625 | BNP Paribas | 7/29/24 | — | (110,997) |
USD | 4,828,281 | SAR | 18,220,000 | Standard Chartered Bank | 6/18/25 | — | (12,778) |
$3,419,791 | $(8,777,477) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 2,006 | Long | 9/29/23 | $ 214,281,548 | $(3,524,572) |
U.S. 10-Year Treasury Note | 287 | Long | 9/20/23 | 31,973,594 | (213,208) |
U.S. Ultra 10-Year Treasury Note | 113 | Long | 9/20/23 | 13,219,234 | (255,141) |
U.S. Ultra-Long Treasury Bond | 19 | Long | 9/20/23 | 2,512,156 | (61,536) |
Euro-Bobl | (13) | Short | 9/7/23 | (1,656,474) | 15,718 |
Euro-Bund | (11) | Short | 9/7/23 | (1,608,569) | 19,938 |
Japan 10-Year Bond | (193) | Short | 9/12/23 | (199,152,286) | 1,422,657 |
U.S. 2-Year Treasury Note | (28) | Short | 9/29/23 | (5,684,875) | 57,189 |
U.S. 10-Year Treasury Note | (81) | Short | 9/20/23 | (9,023,906) | 149,786 |
U.S. Long Treasury Bond | (2) | Short | 9/20/23 | (248,875) | 3,647 |
$(2,385,522) |
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 | 5,003 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.60% (pays upon termination) | 8/15/32 | $ 1,067,585 |
EUR | 19,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.69% (pays upon termination) | 11/15/32 | 3,886,159 |
22
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — 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) | |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 845,487 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 845,487 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 844,850 |
EUR | 5,260 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 937,671 |
EUR | 5,003 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | (1,443,719) |
EUR | 19,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 11/15/42 | (5,109,364) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,131,079) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,131,079) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,132,960) |
EUR | 5,260 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (1,292,653) |
EUR | 5,870 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (412,138) |
EUR | 20,500 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | (707,085) |
USD | 19,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.09% (pays upon termination) | 4/2/29 | (1,235,368) |
USD | 25,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.22% (pays upon termination) | 11/14/32 | (3,299,201) |
USD | 24,200 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (956,949) |
USD | 8,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (342,537) |
USD | 25,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.20% (pays upon termination) | 11/14/42 | 3,748,800 |
USD | 16,200 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 591,038 |
USD | 8,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 288,511 |
USD | 8,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 380,837 |
USD | 2,309 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 394,054 |
23
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — 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 | 2,295 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | $ 384,242 |
USD | 4,400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 408,476 |
USD | 7,955 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 265,825 |
$(3,305,110) |
Inflation Swaps (OTC) | ||||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Bank of America, N.A. | USD | 19,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.09% (pays upon termination) | 4/2/29 | $2,553,389 |
$2,553,389 |
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) | |
CLP | 29,260,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | $ (423,614) | $ — | $ (423,614) |
CLP | 3,691,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | (79,002) | — | (79,002) |
CLP | 4,222,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | (93,413) | — | (93,413) |
CLP | 65,644,190 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 831,873 | 21,057 | 852,930 |
CLP | 22,046,810 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 399,812 | — | 399,812 |
CNY | 259,300 | Receives | 7-day China Fixing Repo Rates (pays quarterly) | 2.49% (pays quarterly) | 9/20/28 | 1,643 | — | 1,643 |
COP | 120,000,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 8.93% (pays quarterly) | 6/21/28 | (1,176,413) | — | (1,176,413) |
24
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
COP | 80,414,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.26% (pays quarterly) | 6/21/28 | $ (1,060,292) | $ — | $ (1,060,292) |
COP | 59,333,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.71% (pays quarterly) | 9/20/28 | (38,307) | — | (38,307) |
CZK | 99,886 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | 15,936 | — | 15,936 |
CZK | 199,772 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 42,581 | — | 42,581 |
CZK | 300,341 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 72,414 | — | 72,414 |
CZK | 386,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.98% (pays annually) | 9/20/33 | 111,837 | — | 111,837 |
INR | 2,109,400 | Receives | 1-day INR FBIL MIBOR (pays semi-annually) | 6.30% (pays semi-annually) | 9/20/28 | 217,524 | — | 217,524 |
JPY | 2,585,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (136,365) | — | (136,365) |
JPY | 2,306,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (137,773) | — | (137,773) |
JPY | 2,459,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (171,714) | — | (171,714) |
KRW | 28,856,000 | Receives | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.50% (pays quarterly) | 9/20/28 | 68,329 | — | 68,329 |
MXN | 306,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 8.41% (pays monthly) | 7/14/28 | 54,752 | — | 54,752 |
PLN | 29,033 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.51% (pays annually) | 6/28/32 | (982,793) | — | (982,793) |
PLN | 29,032 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.78% (pays annually) | 6/28/32 | (1,126,083) | — | (1,126,083) |
PLN | 35,735 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.99% (pays annually) | 9/21/32 | (1,831,105) | — | (1,831,105) |
PLN | 186,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (2,021,047) | — | (2,021,047) |
USD | 44,500 | Pays | SOFR (pays annually) | 3.09% (pays annually) | 11/4/32 | (2,841,561) | — | (2,841,561) |
USD | 44,000 | Pays | SOFR (pays annually) | 3.18% (pays annually) | 2/2/33 | (2,405,213) | — | (2,405,213) |
USD | 18,760 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (106,902) | — | (106,902) |
USD | 26,270 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (127,772) | — | (127,772) |
USD | 25,325 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (111,698) | — | (111,698) |
USD | 23,445 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (98,861) | — | (98,861) |
ZAR | 14,620 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (44,590) | — | (44,590) |
25
Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
ZAR | 521,034 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | $ (742,917) | $ 248 | $ (742,669) |
ZAR | 502,633 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/19/28 | (669,337) | 271 | (669,066) |
ZAR | 533,233 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.71% (pays quarterly) | 1/20/28 | (706,770) | 272 | (706,498) |
Total | $(15,316,841) | $21,848 | $(15,294,993) |
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) | |
Brazil | $7,651 | 1.00% (pays quarterly)(1) | 6/20/28 | $ 201,459 | $ (484,769) | $ (283,310) | |
Malaysia | 8,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (212,320) | 53,842 | (158,478) | |
Malaysia | 12,400 | 1.00% (pays quarterly)(1) | 6/20/28 | (329,097) | 99,270 | (229,827) | |
Mexico | 11,819 | 1.00% (pays quarterly)(1) | 6/20/28 | (11,447) | (179,211) | (190,658) | |
Turkey | 3,201 | 1.00% (pays quarterly)(1) | 6/20/28 | 345,164 | (536,186) | (191,022) | |
Total | $(6,241) | $(1,047,054) | $(1,053,295) |
* | 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. |
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Global Opportunities Portfolio
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Consolidated Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 6,058,901,240 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $213,865 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 952,568,100 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 30,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (134,959) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,921,491,280 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 92,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (463,686) |
$(384,780) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | 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. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
LIBOR | – London Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HKD | – Hong Kong Dollar |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GOP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The net assets of the Subsidiary at July 31, 2023 were $919,827 or less than 0.1% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
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Global Opportunities Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Credit Risk: The Portfolio enters into credit default swap contracts and swaptions to manage certain investment risks and/or to enhance total return 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 utilized various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions, inflation swaps 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.
At July 31, 2023, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
Restricted Securities
At July 31, 2023, the Portfolio owned the following securities (representing 1.0% 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 13, Preference Shares | 1/2/18 | 10,000 | $ 6,658,283 | $11,599,499 |
Mt. Logan Re, Ltd., Series 17, Preference Shares | 1/26/21 | 860 | 572,931 | 984,430 |
Sussex Capital, Ltd., Designated Investment Series 5, 5/19 | 5/31/19 | 249 | 212,150 | 13,762 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/19 | 1/17/20 | 791 | 673,953 | 42,345 |
Sussex Capital, Ltd., Designated Investment Series 5, 6/20 | 6/30/20 | 434 | 69,673 | 41,533 |
Sussex Capital, Ltd., Designated Investment Series 5, 4/21 | 4/1/21 | 247 | 195,858 | 51,324 |
Sussex Capital, Ltd., Designated Investment Series 5, 12/21 | 1/24/22 | 958 | 952,280 | 153,587 |
Sussex Capital, Ltd., Designated Investment Series 5, 11/22 | 3/11/22 | 958 | 956,716 | 559,862 |
Sussex Capital, Ltd., Designated Investment Series 15, 12/21 | 1/24/22 | 743 | 738,092 | 119,041 |
Sussex Capital, Ltd., Designated Investment Series 15, 11/22 | 3/11/22 | 721 | 720,077 | 421,380 |
Sussex Capital, Ltd., Series 5, Preference Shares | 12/17/18 | 6,000 | 2,654,676 | 6,582,956 |
Sussex Capital, Ltd., Series 15, Preference Shares | 6/1/21 | 5,000 | 3,541,830 | 4,991,431 |
Sussex Re, Ltd., Series 2020A | 1/21/20 | 4,081,939 | 0 | 154,706 |
Sussex Re, Ltd., Series 2021A | 1/14/21 | 4,154,232 | 0 | 454,888 |
Total Restricted Securities | $17,946,519 | $26,170,744 |
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Global Opportunities Portfolio
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Consolidated Portfolio of Investments (Unaudited) — continued
Affiliated Investments
At July 31, 2023, the value of the Portfolio's investment in issuers and funds that may be deemed to be affiliated was $303,572,962, which represents 11.7% of the Portfolio's net assets. Transactions in such investments by the Portfolio for the fiscal year to date ended July 31, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.326%, 8/15/46 | $368,705 | $ — | $ — | $ — | $(67,542) | $306,656 | $119,785 | $5,000,000 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | 459,889,537 | 1,832,869,725 | (1,989,492,956) | — | — | 303,266,306 | 11,198,956 | 303,266,306 |
Total | $ — | $(67,542) | $303,572,962 | $11,318,741 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
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 July 31, 2023, 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 | $ — | $ 255,640,051 | $ — | $ 255,640,051 |
Closed-End Funds | 7,347,108 | — | — | 7,347,108 |
Collateralized Mortgage Obligations | — | 773,875,944 | — | 773,875,944 |
Commercial Mortgage-Backed Securities | — | 17,684,026 | — | 17,684,026 |
Common Stocks | 777,000 | 5,058,621* | — | 5,835,621 |
Convertible Bonds | — | 61,379,521 | — | 61,379,521 |
Convertible Preferred Stocks | 761,250 | — | — | 761,250 |
Foreign Corporate Bonds | — | 151,426,584 | 0 | 151,426,584 |
Loan Participation Notes | — | — | 17,226,178 | 17,226,178 |
Preferred Stocks | 730,974 | — | — | 730,974 |
Reinsurance Side Cars | — | — | 57,029,375 | 57,029,375 |
Sovereign Government Bonds | — | 307,449,046 | — | 307,449,046 |
Sovereign Loans | — | 456,854 | — | 456,854 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 14,107,020 | — | 14,107,020 |
U.S. Government Agency Mortgage-Backed Securities | — | 967,341,846 | — | 967,341,846 |
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Consolidated Portfolio of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
U.S. Government Guaranteed Small Business Administration Loans | $ — | $ 17,566,831 | $ — | $ 17,566,831 |
U.S. Treasury Obligations | — | 35,903,911 | — | 35,903,911 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 303,266,306 | — | — | 303,266,306 |
Repurchase Agreements | — | 6,041,136 | — | 6,041,136 |
U.S. Treasury Obligations | — | 56,365,077 | — | 56,365,077 |
Purchased Credit Default Swaptions | — | 130,981 | — | 130,981 |
Total Investments | $312,882,638 | $2,670,427,449 | $74,255,553 | $3,057,565,640 |
Forward Foreign Currency Exchange Contracts | $ — | $ 3,482,458 | $ — | $ 3,482,458 |
Futures Contracts | 1,668,935 | — | — | 1,668,935 |
Swap Contracts | — | 20,019,600 | — | 20,019,600 |
Total | $314,551,573 | $2,693,929,507 | $74,255,553 | $3,082,736,633 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (48,120,430) | $ — | $ (48,120,430) |
Securities Sold Short | — | (3,961,897) | — | (3,961,897) |
Forward Foreign Currency Exchange Contracts | — | (9,936,616) | — | (9,936,616) |
Futures Contracts | (4,054,457) | — | — | (4,054,457) |
Swap Contracts | — | (36,479,183) | — | (36,479,183) |
Total | $ (4,054,457) | $ (98,498,126) | $ — | $ (102,552,583) |
* | 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:
Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars* | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $680,180 | $410,149 | $36,781,743 | $4,853,497 | $ 403,306 | $43,128,875 |
Realized gains (losses) | — | (59,437) | (1,607,239) | — | — | (1,666,676) |
Change in net unrealized appreciation (depreciation) | (11,430) | 382,202 | 7,631,116 | — | — | 8,001,888 |
Cost of purchases | — | 16,856,792 | 30,167,166 | — | — | 47,023,958 |
Proceeds from sales, including return of capital | (668,750) | (401,329) | (15,943,411) | — | — | (17,013,490) |
Accrued discount (premium) | — | 37,801 | — | — | — | 37,801 |
Transfers to Level 3 | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | (4,853,497) | (403,306) | (5,256,803) |
Balance as of July 31, 2023 | $ 0 | $17,226,178 | $ 57,029,375 | $ — | $ — | $ 74,255,553 |
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2023 | $ — | $ 331,585 | $ 5,557,427 | $ — | $ — | $ 5,889,012 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
(1) | Transferred from Level 3 based on the observability of valuation inputs resulting from new market activity. |
Not included in the table above are investments in securities categorized as Miscellaneous in the Portfolio of Investments which were acquired at $0 cost and valued at $0 at July 31, 2023.
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Consolidated Portfolio of Investments (Unaudited) — continued
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of July 31, 2023:
Type of Investment | Fair Value as of July 31, 2023 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Foreign Corporate Bonds | $0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 17,226,178 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.92% - 8.32%** | 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. |
** | The weighted average of the unobservable input is 4.98% based on relative principal amounts. |
For information on the Portfolio's policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent financial statements included in its semiannual or annual report to shareholders.
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