Eaton Vance
Global Macro Absolute Return Fund
July 31, 2023 (Unaudited)
Eaton Vance Global Macro Absolute Return Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, invests its assets in Global Macro Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolio’s net assets. At July 31, 2023, the value of the Fund’s investment in the Portfolio was $1,814,826,226 and the Fund owned approximately 100% of the Portfolio’s outstanding interests. The Portfolio’s Consolidated Portfolio of Investments is set forth below.
1
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited)
Collateralized Mortgage Obligations — 3.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Series 1650, Class K, 6.50%, 1/15/24 | $ | 9 | $ 8,950 |
Series 1817, Class Z, 6.50%, 2/15/26 | 5 | 4,880 | |
Series 1927, Class ZA, 6.50%, 1/15/27 | 27 | 27,124 | |
Series 2344, Class ZD, 6.50%, 8/15/31 | 162 | 163,265 | |
Series 2458, Class ZB, 7.00%, 6/15/32 | 334 | 342,718 | |
Interest Only:(1) Series 4791, Class JI, 4.00%, 5/15/48 | 4,123 | 834,572 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2020-DNA4, Class B1, 11.184%, (30-day average SOFR + 6.11%), 8/25/50(2)(3) | 3,826 | 4,288,599 | |
Series 2020-HQA4, Class B1, 10.434%, (30-day average SOFR + 5.36%), 9/25/50(2)(3) | 1,933 | 2,103,398 | |
Series 2022-HQA1, Class M1B, 8.569%, (30-day average SOFR + 3.50%), 3/25/42(2)(3) | 1,479 | 1,526,822 | |
Series 2022-HQA1, Class M2, 10.319%, (30-day average SOFR + 5.25%), 3/25/42(2)(3) | 2,957 | 3,157,796 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 5 | 5,181 | |
Series 1993-141, Class Z, 7.00%, 8/25/23 | 0(4) | 219 | |
Series 1994-42, Class ZQ, 7.00%, 4/25/24 | 41 | 40,472 | |
Series 1994-79, Class Z, 7.00%, 4/25/24 | 5 | 5,475 | |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 16 | 16,139 | |
Series 1996-35, Class Z, 7.00%, 7/25/26 | 8 | 8,048 | |
Series 1998-16, Class H, 7.00%, 4/18/28 | 65 | 66,089 | |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | 101 | 101,826 | |
Series 1999-25, Class Z, 6.00%, 6/25/29 | 108 | 107,366 | |
Series 2000-2, Class ZE, 7.50%, 2/25/30 | 22 | 22,435 | |
Series 2000-49, Class A, 8.00%, 3/18/27 | 40 | 41,032 | |
Series 2001-31, Class ZA, 6.00%, 7/25/31 | 839 | 832,434 | |
Series 2001-74, Class QE, 6.00%, 12/25/31 | 254 | 257,783 | |
Series 2009-48, Class WA, 5.80%, 7/25/39(5) | 1,197 | 1,199,344 | |
Series 2011-38, Class SA, 0.00%, (13.50% - 30-day average SOFR x 3, Floor 0.00%), 5/25/41(6) | 648 | 498,323 | |
Interest Only:(1) | |||
Series 424, Class C8, 3.50%, 2/25/48 | 5,240 | 942,668 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,623 | 818,905 | |
Series 2018-58, Class BI, 4.00%, 8/25/48 | 720 | 140,304 | |
Government National Mortgage Association, Series 2001-35, Class K, 6.45%, 10/26/23 | 1 | 501 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 9.263%, (1 mo. USD LIBOR + 3.85%), 2/25/25(2)(3) | 9,000 | 9,040,907 | |
Series 2018-GT2, Class A, 8.063%, (1 mo. USD LIBOR + 2.65%), 8/25/25(2)(3) | 8,064 | 8,033,760 |
Security | Principal Amount (000's omitted) | Value | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(2)(5) | $ | 22,663 | $ 19,607,739 |
Total Collateralized Mortgage Obligations (identified cost $69,527,509) | $ 54,245,074 |
Common Stocks — 3.1% |
Security | Shares | Value | |
Bulgaria — 0.3% | |||
Eurohold Bulgaria AD(7) | 5,309,362 | $ 5,064,371 | |
$ 5,064,371 | |||
Cyprus — 0.4% | |||
Bank of Cyprus Holdings PLC | 2,520,596 | $ 7,960,238 | |
Galaxy Cosmos Mezz PLC(7) | 23,855 | 14,502 | |
Sunrisemezz PLC(7) | 134,028 | 37,665 | |
$ 8,012,405 | |||
Georgia — 0.3% | |||
Bank of Georgia Group PLC | 40,603 | $ 1,697,648 | |
Georgia Capital PLC(7) | 130,000 | 1,551,258 | |
TBC Bank Group PLC | 44,224 | 1,413,492 | |
$ 4,662,398 | |||
Greece — 1.1% | |||
Alpha Services and Holdings S.A.(7) | 740,700 | $ 1,333,934 | |
Eurobank Ergasias Services and Holdings S.A.(7) | 1,206,500 | 2,107,624 | |
Hellenic Telecommunications Organization S.A. | 127,496 | 2,012,137 | |
JUMBO S.A. | 79,363 | 2,368,125 | |
Motor Oil (Hellas) Corinth Refineries S.A. | 41,500 | 1,048,805 | |
Mytilineos S.A. | 56,975 | 2,371,058 | |
National Bank of Greece S.A.(7) | 251,300 | 1,730,631 | |
OPAP S.A. | 92,863 | 1,633,232 | |
Piraeus Financial Holdings S.A.(7) | 1,035,900 | 3,923,689 | |
Public Power Corp. S.A.(7) | 65,900 | 779,726 | |
Titan Cement International S.A. | 3,416 | 71,834 | |
$ 19,380,795 | |||
Iceland — 0.3% | |||
Arion Banki HF(2) | 1,015,472 | $ 1,151,010 | |
Eik Fasteignafelag HF(7) | 3,253,209 | 304,687 | |
Eimskipafelag Islands HF | 220,734 | 894,956 | |
Hagar HF | 921,987 | 473,743 | |
Islandsbanki HF | 668,258 | 598,765 |
2
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Iceland (continued) | |||
Reginn HF(7) | 1,291,872 | $ 246,007 | |
Reitir Fasteignafelag HF | 875,641 | 571,063 | |
Siminn HF | 1,879,514 | 144,634 | |
$ 4,384,865 | |||
Indonesia — 0.2% | |||
Bank Central Asia Tbk PT | 2,370,000 | $ 1,435,346 | |
Bank Mandiri Persero Tbk PT | 2,570,000 | 976,973 | |
Bank Negara Indonesia Persero Tbk PT | 270,000 | 158,950 | |
Bank Rakyat Indonesia Persero Tbk PT | 3,500,000 | 1,310,414 | |
$ 3,881,683 | |||
Romania — 0.0%(8) | |||
Societatea De Producere A Energiei Electrice in Hidrocentrale Hidroelectrica S.A.(7) | 23,097 | $ 577,502 | |
$ 577,502 | |||
United Kingdom — 0.0%(8) | |||
Tesnik Cuatro, Ltd.(9) | 409,000 | $ 459,184 | |
$ 459,184 | |||
Vietnam — 0.5% | |||
Bank for Foreign Trade of Vietnam JSC(7) | 99,972 | $ 386,953 | |
Binh Minh Plastics JSC | 14,820 | 61,326 | |
Coteccons Construction JSC(7) | 36,000 | 109,274 | |
FPT Corp. | 662,286 | 2,560,848 | |
Hoa Phat Group JSC(7) | 475,478 | 566,757 | |
KIDO Group Corp. | 10,295 | 28,247 | |
Military Commercial Joint Stock Bank | 914,921 | 779,040 | |
Mobile World Investment Corp. | 1,082,498 | 2,625,826 | |
Phu Nhuan Jewelry JSC | 348,840 | 1,223,133 | |
Refrigeration Electrical Engineering Corp. | 287,788 | 814,695 | |
Vietnam Dairy Products JSC | 90,281 | 297,478 | |
Vingroup JSC(7) | 78,738 | 183,297 | |
$ 9,636,874 | |||
Total Common Stocks (identified cost $43,530,849) | $ 56,060,077 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
India — 0.1% | |||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(10) | USD | 2,970 | $ 2,468,114 |
Total Convertible Bonds (identified cost $2,970,000) | $ 2,468,114 |
Foreign Corporate Bonds — 3.5% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 0.2% | |||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(10) | USD | 3,334 | $ 3,275,655 |
$ 3,275,655 | |||
Brazil — 0.1% | |||
Coruripe Netherlands BV: | |||
10.00%, 2/10/27(2) | USD | 903 | $ 640,859 |
10.00%, 2/10/27(10) | USD | 1,989 | 1,411,593 |
$ 2,052,452 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(10) | EUR | 1,155 | $ 1,073,661 |
$ 1,073,661 | |||
Chile — 0.1% | |||
VTR Comunicaciones SpA: | |||
4.375%, 4/15/29(10) | USD | 1,149 | $ 678,852 |
5.125%, 1/15/28(10) | USD | 1,147 | 678,353 |
$ 1,357,205 | |||
China — 0.1% | |||
KWG Group Holdings, Ltd., 7.875%, 8/30/24 | USD | 1,571 | $ 121,753 |
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(10)(11) | USD | 5,100 | 388,875 |
Sunac China Holdings, Ltd.: | |||
6.50%, 7/9/23(10)(11) | USD | 2,000 | 230,034 |
8.35%, 4/19/23(10)(11) | USD | 3,270 | 367,931 |
Times China Holdings, Ltd.: | |||
5.55%, 6/4/24(10)(11) | USD | 3,999 | 215,637 |
6.75%, 7/16/23(10)(11) | USD | 2,966 | 133,470 |
$ 1,457,700 |
3
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Georgia — 0.4% | |||
Georgia Capital JSC, 6.125%, 3/9/24(10) | USD | 6,762 | $ 6,719,737 |
$ 6,719,737 | |||
Iceland — 0.6% | |||
Arion Banki HF, 6.00%, 4/12/24(10) | ISK | 1,000,000 | $ 7,467,235 |
Landsbankinn HF, 5.00%, 11/23/23(10) | ISK | 560,000 | 4,211,521 |
WOW Air HF: | |||
0.00%(9)(11)(12) | EUR | 79 | 0 |
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(9)(11) | EUR | 3,600 | 0 |
$ 11,678,756 | |||
India — 0.8% | |||
Indian Railway Finance Corp., Ltd., 2.80%, 2/10/31(10) | USD | 15,006 | $ 12,420,305 |
JSW Steel, Ltd., 5.05%, 4/5/32(10) | USD | 1,466 | 1,194,834 |
Reliance Communications, Ltd., 6.50%, 11/6/20(10)(11) | USD | 1,800 | 112,500 |
Vedanta Resources Finance II PLC, 13.875%, 1/21/24(10) | USD | 1,481 | 1,329,806 |
$ 15,057,445 | |||
Mexico — 0.1% | |||
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(10)(11) | USD | 3,890 | $ 58,350 |
10.00%, 12/19/22(10)(11) | USD | 1,741 | 26,117 |
Grupo Kaltex S.A. de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(2) | USD | 1,124 | 1,011,600 |
$ 1,096,067 | |||
Moldova — 0.2% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(10) | USD | 5,849 | $ 4,048,093 |
$ 4,048,093 | |||
Nigeria — 0.2% | |||
IHS Netherlands Holdco BV, 8.00%, 9/18/27(10) | USD | 354 | $ 323,988 |
SEPLAT Energy PLC, 7.75%, 4/1/26(10) | USD | 3,306 | 2,961,019 |
$ 3,285,007 | |||
Paraguay — 0.1% | |||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(2) | USD | 2,239 | $ 1,918,196 |
$ 1,918,196 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(10) | USD | 1,120 | $ 1,018,125 |
$ 1,018,125 |
Security | Principal Amount (000's omitted) | Value | |
South Africa — 0.1% | |||
HTA Group, Ltd., 7.00%, 12/18/25(10) | USD | 2,353 | $ 2,252,080 |
Petra Diamonds US Treasury PLC, 9.75% PIK, 3/8/26(10) | USD | 627 | 570,598 |
$ 2,822,678 | |||
Turkey — 0.2% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(10) | USD | 4,382 | $ 3,926,416 |
$ 3,926,416 | |||
Uzbekistan — 0.1% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 16,000,000 | $ 1,382,699 |
Ipoteka-Bank ATIB, 5.50%, 11/19/25(10) | USD | 833 | 774,227 |
National Bank of Uzbekistan, 4.85%, 10/21/25(10) | USD | 326 | 311,330 |
$ 2,468,256 | |||
Total Foreign Corporate Bonds (identified cost $84,003,896) | $ 63,255,449 |
Loan Participation Notes — 1.3% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 1.3% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(9)(10)(13) | UZS | 151,973,440 | $ 13,155,631 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(9)(10)(13) | UZS | 125,249,130 | 10,281,853 |
Total Loan Participation Notes (identified cost $24,860,851) | $ 23,437,484 |
Reinsurance Side Cars — 0.8% |
Security | Shares | Value | |
Eden Re II, Ltd.: | |||
Series 2021A, 0.00%, 3/21/25(2)(9)(14)(15) | 255,989 | $ 116,475 | |
Series 2022A, 0.00%, 3/20/26(2)(9)(14)(15) | 193,872 | 133,655 | |
Series 2022B, 0.00%, 3/20/26(2)(9)(14)(15) | 415,091 | 291,892 | |
Series 2023B, 0.00%, 3/19/27(2)(9)(14)(15) | 2,800,000 | 2,974,160 | |
Mt. Logan Re, Ltd., Series A-1(7)(9)(15)(16) | 4,400 | 4,231,033 | |
Sussex Capital, Ltd.: | |||
Designated Investment Series 16, 12/21(7)(9)(15)(16) | 817 | 130,946 | |
Designated Investment Series 16, 11/22(7)(9)(15)(16) | 793 | 463,526 |
4
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Sussex Capital, Ltd.: (continued) | |||
Series 16, Preference Shares(9)(15)(16) | 5,500 | $ 5,490,573 | |
Total Reinsurance Side Cars (identified cost $13,564,952) | $ 13,832,260 |
Senior Floating-Rate Loans — 0.9%(17) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(8) | |||
Desa, LLC, Term Loan, 2.50%, 6/30/24(9)(18) | $ | 788 | $ 420,225 |
$ 420,225 | |||
Mexico — 0.9% | |||
Petroleos Mexicanos, Term Loan, 8.311%, (SOFR + 3.00%), 6/28/24 | $ | 15,931 | $ 15,811,517 |
$ 15,811,517 | |||
Total Senior Floating-Rate Loans (identified cost $16,446,997) | $ 16,231,742 |
Sovereign Government Bonds — 45.0% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 0.9% | |||
Albania Government International Bond: | |||
3.50%, 10/9/25(10) | EUR | 2,157 | $ 2,287,631 |
3.50%, 6/16/27(10) | EUR | 209 | 214,821 |
5.90%, 6/9/28(10) | EUR | 13,405 | 14,545,356 |
$ 17,047,808 | |||
Argentina — 0.0%(8) | |||
Provincia del Chubut Argentina, 7.75%, 7/26/30(10) | USD | 831 | $ 726,330 |
$ 726,330 | |||
Armenia — 1.0% | |||
Republic of Armenia Treasury Bond: | |||
8.00%, 10/29/31 | AMD | 476,321 | $ 1,062,768 |
9.00%, 4/29/26 | AMD | 500,800 | 1,246,339 |
9.25%, 4/29/28 | AMD | 372,550 | 914,750 |
9.60%, 10/29/33 | AMD | 4,549,715 | 11,127,972 |
9.75%, 10/29/50 | AMD | 571,827 | 1,396,620 |
Security | Principal Amount (000's omitted) | Value | |
Armenia (continued) | |||
Republic of Armenia Treasury Bond: (continued) | |||
9.75%, 10/29/52 | AMD | 621,020 | $ 1,513,872 |
$ 17,262,321 | |||
Barbados — 0.7% | |||
Government of Barbados, 6.50%, 10/1/29(10) | USD | 14,062 | $ 13,253,529 |
$ 13,253,529 | |||
Benin — 1.1% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(10) | EUR | 6,529 | $ 5,589,431 |
4.95%, 1/22/35(10) | EUR | 3,809 | 3,063,394 |
6.875%, 1/19/52(10) | EUR | 13,357 | 10,757,221 |
$ 19,410,046 | |||
Chile — 1.0% | |||
Bonos de la Tesoreria de la Republica en pesos, 5.30%, 11/1/37(2)(10) | CLP | 14,725,000 | $ 17,384,092 |
$ 17,384,092 | |||
Cyprus — 0.5% | |||
Cyprus Government International Bond: | |||
2.75%, 2/26/34(10) | EUR | 812 | $ 807,015 |
4.125%, 4/13/33(10) | EUR | 7,242 | 8,298,304 |
$ 9,105,319 | |||
Dominican Republic — 2.4% | |||
Dominican Republic: | |||
8.00%, 1/15/27(10) | DOP | 96,000 | $ 1,606,526 |
8.00%, 2/12/27(10) | DOP | 490,340 | 8,222,365 |
12.00%, 8/8/25(2) | DOP | 345,900 | 6,351,792 |
12.75%, 9/23/29(2) | DOP | 368,500 | 7,592,255 |
13.00%, 6/10/34(10) | DOP | 232,600 | 5,116,793 |
13.625%, 2/3/33(2) | DOP | 206,150 | 4,542,923 |
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(10) | DOP | 31,580 | 524,469 |
12.00%, 10/3/25(2) | DOP | 138,420 | 2,544,533 |
13.00%, 12/5/25(2) | DOP | 216,700 | 4,110,520 |
13.00%, 1/30/26(2) | DOP | 161,230 | 3,072,342 |
$ 43,684,518 | |||
Ecuador — 0.0%(8) | |||
Republic of Ecuador, 1.50% to 7/31/23, 7/31/40(10)(19) | USD | 2,839 | $ 635,869 |
$ 635,869 |
5
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Egypt — 0.2% | |||
Arab Republic of Egypt: | |||
6.375%, 4/11/31(10) | EUR | 3,015 | $ 1,999,903 |
7.50%, 2/16/61(10) | USD | 1,061 | 583,529 |
8.70%, 3/1/49(10) | USD | 925 | 542,909 |
$ 3,126,341 | |||
El Salvador — 0.0%(8) | |||
Republic of El Salvador, 5.875%, 1/30/25(10) | USD | 863 | $ 790,624 |
$ 790,624 | |||
Ethiopia — 0.6% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(10) | USD | 14,706 | $ 10,184,787 |
$ 10,184,787 | |||
Ghana — 0.3% | |||
Ghana Government International Bond: | |||
6.375%, 2/11/27(10)(11) | USD | 545 | $ 250,475 |
7.625%, 5/16/29(10)(11) | USD | 1,579 | 722,392 |
7.75%, 4/7/29(10)(11) | USD | 2,428 | 1,113,845 |
7.875%, 2/11/35(10)(11) | USD | 837 | 386,353 |
8.125%, 3/26/32(10)(11) | USD | 1,554 | 715,982 |
8.625%, 4/7/34(10)(11) | USD | 2,842 | 1,307,320 |
8.627%, 6/16/49(10)(11) | USD | 444 | 199,800 |
8.75%, 3/11/61(10)(11) | USD | 1,791 | 798,428 |
8.875%, 5/7/42(10)(11) | USD | 1,305 | 585,293 |
$ 6,079,888 | |||
Greece — 0.0%(8) | |||
Hellenic Republic Government Bond, 0.00%, GDP-Linked, 10/15/42 | EUR | 85,770 | $ 364,958 |
$ 364,958 | |||
Honduras — 0.4% | |||
Honduras Government International Bond: | |||
5.625%, 6/24/30(10) | USD | 4,819 | $ 3,975,675 |
6.25%, 1/19/27(10) | USD | 4,103 | 3,785,018 |
$ 7,760,693 | |||
Hungary — 0.5% | |||
Hungary Government Bond: | |||
3.00%, 4/25/41 | HUF | 1,964,450 | $ 3,237,497 |
4.00%, 4/28/51 | HUF | 1,143,090 | 1,977,380 |
Security | Principal Amount (000's omitted) | Value | |
Hungary (continued) | |||
Hungary Government Bond: (continued) | |||
4.75%, 11/24/32 | HUF | 1,945,960 | $ 4,598,675 |
$ 9,813,552 | |||
Iceland — 1.7% | |||
Republic of Iceland: | |||
2.50%, 4/15/24 | ISK | 168,247 | $ 1,223,518 |
6.50%, 1/24/31 | ISK | 1,418,285 | 10,653,890 |
8.00%, 6/12/25 | ISK | 2,433,368 | 18,469,974 |
$ 30,347,382 | |||
India — 3.0% | |||
Export-Import Bank of India, 5.50%, 1/18/33(2) | USD | 4,490 | $ 4,472,016 |
India Government Bond: | |||
7.10%, 4/18/29 | INR | 2,963,600 | 35,888,030 |
7.26%, 2/6/33 | INR | 1,102,690 | 13,526,400 |
$ 53,886,446 | |||
Indonesia — 2.6% | |||
Indonesia Government Bond: | |||
6.125%, 5/15/28 | IDR | 550,220,000 | $ 36,563,360 |
7.125%, 6/15/42 | IDR | 26,112,000 | 1,829,485 |
7.125%, 6/15/43 | IDR | 119,721,000 | 8,496,698 |
7.375%, 5/15/48 | IDR | 9,373,000 | 663,817 |
$ 47,553,360 | |||
Iraq — 0.4% | |||
Republic of Iraq, 5.80%, 1/15/28(10) | USD | 7,701 | $ 7,171,975 |
$ 7,171,975 | |||
Ivory Coast — 0.4% | |||
Ivory Coast Government International Bond: | |||
6.625%, 3/22/48(10) | EUR | 3,878 | $ 3,225,697 |
6.875%, 10/17/40(10) | EUR | 4,421 | 3,913,115 |
$ 7,138,812 | |||
Kenya — 0.1% | |||
Government of Kenya: | |||
7.00%, 5/22/27(10) | USD | 1,760 | $ 1,596,910 |
8.00%, 5/22/32(10) | USD | 623 | 539,586 |
$ 2,136,496 |
6
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Lebanon — 0.3% | |||
Lebanese Republic: | |||
5.80%, 4/14/20(10)(11) | USD | 337 | $ 25,255 |
6.00%, 1/27/23(10)(11) | USD | 1,505 | 102,253 |
6.10%, 10/4/22(10)(11) | USD | 5,758 | 431,505 |
6.15%, 6/19/20(11) | USD | 448 | 33,600 |
6.20%, 2/26/25(10)(11) | USD | 450 | 33,733 |
6.25%, 5/27/22(11) | USD | 750 | 56,205 |
6.25%, 11/4/24(10)(11) | USD | 7,663 | 573,154 |
6.25%, 6/12/25(10)(11) | USD | 2,947 | 221,025 |
6.375%, 3/9/20(11) | USD | 6,588 | 493,705 |
6.40%, 5/26/23(11) | USD | 7,625 | 572,485 |
6.65%, 4/22/24(10)(11) | USD | 7,602 | 569,070 |
6.65%, 11/3/28(10)(11) | USD | 3,522 | 262,407 |
6.65%, 2/26/30(10)(11) | USD | 453 | 33,921 |
6.75%, 11/29/27(10)(11) | USD | 194 | 14,436 |
6.85%, 5/25/29(11) | USD | 8,628 | 646,582 |
7.00%, 12/3/24(11) | USD | 3,446 | 258,812 |
7.00%, 3/20/28(10)(11) | USD | 5,356 | 401,164 |
7.05%, 11/2/35(10)(11) | USD | 1,463 | 108,900 |
7.15%, 11/20/31(10)(11) | USD | 4,621 | 346,113 |
8.20%, 5/17/33(11) | USD | 1,595 | 119,625 |
8.25%, 4/12/21(10)(11) | USD | 3,382 | 251,130 |
8.25%, 5/17/34(11) | USD | 1,326 | 96,002 |
$ 5,651,082 | |||
Mexico — 4.4% | |||
Mexican Udibonos, 4.00%, 11/30/28(20) | MXN | 1,372,630 | $ 79,503,809 |
$ 79,503,809 | |||
New Zealand — 1.0% | |||
New Zealand Government Bond, 3.00%, 9/20/30(10)(20) | NZD | 27,151 | $ 17,672,006 |
$ 17,672,006 | |||
North Macedonia — 1.5% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(10) | EUR | 10,491 | $ 9,516,604 |
2.75%, 1/18/25(10) | EUR | 2,570 | 2,725,409 |
3.675%, 6/3/26(10) | EUR | 4,477 | 4,651,964 |
6.96%, 3/13/27(10) | EUR | 9,573 | 10,889,437 |
$ 27,783,414 | |||
Panama — 0.1% | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(2)(10) | USD | 1,106 | $ 1,098,258 |
$ 1,098,258 |
Security | Principal Amount (000's omitted) | Value | |
Paraguay — 0.2% | |||
Republic of Paraguay, 5.40%, 3/30/50(10) | USD | 3,870 | $ 3,355,380 |
$ 3,355,380 | |||
Peru — 1.4% | |||
Peru Government Bond: | |||
5.35%, 8/12/40 | PEN | 17,353 | $ 4,114,747 |
5.40%, 8/12/34 | PEN | 6,979 | 1,736,763 |
6.15%, 8/12/32 | PEN | 29,333 | 7,881,921 |
6.95%, 8/12/31 | PEN | 3,691 | 1,051,298 |
7.30%, 8/12/33(2)(10) | PEN | 36,865 | 10,645,254 |
$ 25,429,983 | |||
Philippines — 1.0% | |||
Republic of the Philippines, 6.25%, 1/14/36 | PHP | 1,024,000 | $ 18,446,097 |
$ 18,446,097 | |||
Romania — 2.0% | |||
Romania Government International Bond: | |||
1.75%, 7/13/30(10) | EUR | 858 | $ 736,430 |
2.124%, 7/16/31(10) | EUR | 678 | 578,392 |
2.125%, 3/7/28(10) | EUR | 4,146 | 4,042,950 |
2.625%, 12/2/40(10) | EUR | 894 | 630,655 |
2.75%, 4/14/41(10) | EUR | 1,699 | 1,202,072 |
3.375%, 1/28/50(10) | EUR | 5,202 | 3,772,584 |
4.625%, 4/3/49(10) | EUR | 6,270 | 5,659,245 |
5.00%, 9/27/26(10) | EUR | 8,524 | 9,461,870 |
6.625%, 9/27/29(10) | EUR | 8,340 | 9,638,834 |
$ 35,723,032 | |||
Serbia — 2.8% | |||
Republic of Serbia: | |||
1.00%, 9/23/28(10) | EUR | 9,388 | $ 8,226,329 |
1.50%, 6/26/29(10) | EUR | 10,232 | 8,957,658 |
1.65%, 3/3/33(10) | EUR | 368 | 279,284 |
Serbia Treasury Bond: | |||
4.50%, 8/20/32 | RSD | 1,539,040 | 12,925,221 |
5.875%, 2/8/28 | RSD | 2,181,570 | 21,136,070 |
$ 51,524,562 | |||
South Africa — 3.5% | |||
Republic of South Africa: | |||
8.00%, 1/31/30 | ZAR | 884,300 | $ 44,378,794 |
8.25%, 3/31/32 | ZAR | 269,204 | 12,871,045 |
7
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
South Africa (continued) | |||
Republic of South Africa: (continued) | |||
10.50%, 12/21/26 | ZAR | 99,181 | $ 5,803,055 |
$ 63,052,894 | |||
South Korea — 1.3% | |||
Korea Treasury Bond, 1.875%, 12/10/24 | KRW | 31,500,000 | $ 24,131,677 |
$ 24,131,677 | |||
Sri Lanka — 1.2% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(10)(11) | USD | 7,202 | $ 3,276,910 |
6.20%, 5/11/27(10)(11) | USD | 5,303 | 2,405,689 |
6.35%, 6/28/24(10)(11) | USD | 3,160 | 1,441,499 |
6.75%, 4/18/28(10)(11) | USD | 7,311 | 3,314,762 |
6.825%, 7/18/26(10)(11) | USD | 13,209 | 6,147,810 |
6.85%, 3/14/24(10)(11) | USD | 2,910 | 1,328,155 |
6.85%, 11/3/25(10)(11) | USD | 5,492 | 2,537,468 |
7.55%, 3/28/30(10)(11) | USD | 2,992 | 1,358,520 |
$ 21,810,813 | |||
Suriname — 2.1% | |||
Republic of Suriname, 9.25%, 10/26/26(10)(11) | USD | 44,764 | $ 37,445,086 |
$ 37,445,086 | |||
Ukraine — 1.3% | |||
Ukraine Government Bond: | |||
10.00%, 8/23/23 | UAH | 23,905 | $ 530,865 |
10.95%, 11/1/23 | UAH | 51,923 | 1,139,091 |
11.67%, 11/22/23 | UAH | 822,303 | 18,039,756 |
12.70%, 10/30/24 | UAH | 211,153 | 3,950,238 |
$ 23,659,950 | |||
United Arab Emirates — 0.6% | |||
Finance Department Government of Sharjah, 4.00%, 7/28/50(10) | USD | 17,846 | $ 11,581,072 |
$ 11,581,072 | |||
Uruguay — 1.7% | |||
Uruguay Government Bond: | |||
3.875%, 7/2/40(20) | UYU | 436,258 | $ 12,573,544 |
9.75%, 7/20/33 | UYU | 539,428 | 15,100,015 |
Uruguay Monetary Regulation Bill, 0.00%, 7/3/24 | UYU | 88,660 | 2,170,249 |
$ 29,843,808 |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 0.1% | |||
Republic of Uzbekistan: | |||
14.00%, 7/19/24(10) | UZS | 2,500,000 | $ 212,144 |
14.50%, 11/25/23(10) | UZS | 16,470,000 | 1,423,581 |
$ 1,635,725 | |||
Zambia — 0.7% | |||
Zambia Government Bond: | |||
11.00%, 1/25/26 | ZMW | 115,980 | $ 5,199,032 |
11.00%, 6/28/26 | ZMW | 3,150 | 131,832 |
12.00%, 6/28/28 | ZMW | 10,500 | 373,021 |
12.00%, 8/30/28 | ZMW | 1,000 | 35,152 |
12.00%, 11/29/28 | ZMW | 3,500 | 120,769 |
13.00%, 1/25/31 | ZMW | 5,245 | 174,181 |
Zambia Government International Bond: | |||
5.375%, 9/20/22(10)(11) | USD | 7,897 | 4,201,086 |
8.50%, 4/14/24(10)(11) | USD | 3,533 | 2,061,241 |
8.97%, 7/30/27(10)(11) | USD | 1,295 | 751,229 |
$ 13,047,543 | |||
Total Sovereign Government Bonds (identified cost $849,481,291) | $817,261,337 |
Sovereign Loans — 3.6% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Ivory Coast — 0.1% | |||
Republic of Ivory Coast, Term Loan, 9.638%, (6 mo. EURIBOR + 5.75%), 1/6/28(3) | EUR | 2,399 | $ 2,806,916 |
$ 2,806,916 | |||
Kenya — 0.2% | |||
Government of Kenya, Term Loan, 12.203%, (3 mo. USD LIBOR + 6.45%), 6/29/25(3) | USD | 3,072 | $ 3,076,734 |
$ 3,076,734 | |||
Nigeria — 0.2% | |||
Bank of Industry Limited, Term Loan, 11.511%, (3 mo. USD LIBOR + 6.00%), 12/11/23(3)(21) | USD | 3,819 | $ 3,828,662 |
$ 3,828,662 |
8
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Borrower/Description | Principal Amount (000's omitted) | Value | |
Tanzania — 3.1% | |||
Government of the United Republic of Tanzania, Term Loan, 11.672%, (6 mo. USD LIBOR + 6.30%), 4/28/31(3) | USD | 55,299 | $ 56,573,240 |
$ 56,573,240 | |||
Total Sovereign Loans (identified cost $64,994,560) | $ 66,285,552 |
U.S. Government Agency Mortgage-Backed Securities — 1.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.888%, (COF + 1.25%), with maturity at 2035(22) | $ | 280 | $ 276,037 |
4.228%, (COF + 1.25%), with maturity at 2029(22) | 5 | 5,220 | |
4.50%, with maturity at 2035 | 105 | 102,221 | |
4.558%, (COF + 1.25%), with maturity at 2030(22) | 107 | 106,604 | |
4.792%, (1 yr. CMT + 2.32%), with maturity at 2036(22) | 505 | 510,930 | |
6.00%, with various maturities to 2035 | 2,664 | 2,710,299 | |
6.50%, with various maturities to 2032 | 2,826 | 2,901,200 | |
6.60%, with maturity at 2030 | 291 | 295,598 | |
7.00%, with various maturities to 2036 | 3,407 | 3,500,675 | |
7.50%, with various maturities to 2035 | 1,178 | 1,217,534 | |
8.00%, with various maturities to 2030 | 212 | 212,764 | |
8.50%, with maturity at 2025 | 2 | 1,875 | |
9.00%, with various maturities to 2027 | 10 | 9,457 | |
9.50%, with maturity at 2027 | 5 | 5,024 | |
Federal National Mortgage Association: | |||
3.871%, (COF + 1.30%), with maturity at 2024(22) | 25 | 25,195 | |
3.873%, (COF + 1.30%), with maturity at 2033(22) | 352 | 343,549 | |
3.915%, (COF + 1.25%), with maturity at 2035(22) | 242 | 239,718 | |
4.07%, (COF + 1.25%), with maturity at 2034(22) | 86 | 83,968 | |
4.131%, (COF + 1.40%), with maturity at 2025(22) | 53 | 52,860 | |
4.165%, (COF + 1.35%), with maturity at 2027(22) | 22 | 21,347 | |
4.32%, (1 yr. CMT + 2.15%), with maturity at 2028(22) | 51 | 50,558 | |
4.331%, (COF + 1.60%), with maturity at 2024(22) | 21 | 20,887 | |
4.909%, (COF + 1.79%), with maturity at 2035(22) | 759 | 747,933 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
6.00%, with various maturities to 2035 | $ | 8,839 | $ 9,001,105 |
6.334%, (COF + 2.00%), with maturity at 2032(22) | 172 | 175,839 | |
6.50%, with various maturities to 2038 | 3,073 | 3,141,660 | |
7.00%, with various maturities to 2035 | 5,222 | 5,393,451 | |
7.50%, with various maturities to 2027 | 3 | 2,998 | |
7.725%, (1 yr. CMT + 2.23%), with maturity at 2025(22) | 2 | 1,689 | |
8.00%, with maturity at 2026 | 0(4) | 133 | |
8.50%, with various maturities to 2037 | 664 | 697,568 | |
9.00%, with various maturities to 2032 | 43 | 45,158 | |
9.50%, with various maturities to 2031 | 6 | 6,006 | |
11.50%, with maturity at 2031 | 64 | 69,930 | |
Government National Mortgage Association: | |||
3.00%, (1 yr. CMT + 1.50%), with maturity at 2024(22) | 22 | 21,908 | |
6.50%, with various maturities to 2032 | 131 | 134,150 | |
7.00%, with various maturities to 2031 | 217 | 223,551 | |
7.50%, with various maturities to 2028 | 19 | 19,189 | |
9.00%, with maturity at 2025 | 1 | 661 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $35,355,882) | $ 32,376,449 |
U.S. Government Guaranteed Small Business Administration Loans(23)(24)— 0.6% |
Security | Principal Amount (000's omitted) | Value | |
1.66%, 8/15/42 to 4/15/43 | $ | 6,702 | $ 362,051 |
1.91%, 9/15/42 to 2/15/43 | 6,549 | 400,758 | |
1.93%, 5/15/42 | 1,187 | 76,256 | |
2.16%, 2/15/42 to 4/15/43 | 8,626 | 634,444 | |
2.24%, 3/19/36 to 8/25/42(25) | 7,413 | 629,378 | |
2.33%, 10/29/39 to 8/17/42(25) | 18,323 | 1,171,950 | |
2.36%, 9/15/42 | 1,844 | 141,113 | |
2.39%, 7/15/39 | 917 | 56,883 | |
2.41%, 7/15/42 to 4/15/43 | 15,604 | 1,325,144 | |
2.46%, 1/15/43 | 1,404 | 138,195 | |
2.66%, 4/15/43 | 4,295 | 419,192 | |
2.71%, 8/15/27 to 9/15/42 | 2,462 | 196,867 | |
2.91%, 10/15/42 to 4/15/43 | 8,610 | 920,382 | |
2.93%, 4/15/42 | 890 | 102,855 | |
2.96%, 7/15/27 to 12/15/42 | 4,686 | 380,459 | |
3.16%, 9/15/42 to 4/15/43 | 4,042 | 507,687 | |
3.21%, 6/15/27 to 3/15/43 | 3,548 | 329,101 |
9
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
3.41%, 3/15/43 to 4/15/43 | $ | 5,511 | $ 653,663 |
3.46%, 3/15/27 to 9/15/42 | 3,990 | 422,454 | |
3.66%, 1/15/43 to 6/15/43 | 6,035 | 845,865 | |
3.71%, 3/15/28 to 10/15/42 | 7,398 | 703,650 | |
3.78%, 5/15/27 to 6/15/42 | 944 | 93,774 | |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $17,941,107) | $ 10,512,121 |
U.S. Treasury Obligations — 7.0% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond: | |||
0.125%, 2/15/52(26) | $ | 9,176 | $ 5,919,322 |
0.625%, 7/15/32(26) | 12,354 | 11,338,873 | |
U.S. Treasury Inflation-Protected Note: | |||
1.25%, 4/15/28(26) | 28,184 | 27,379,922 | |
1.625%, 10/15/27(26)(27) | 82,948 | 82,003,912 | |
Total U.S. Treasury Obligations (identified cost $129,242,367) | $126,642,029 |
Warrants — 0.0%(8) |
Security | Shares | Value | |
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(7) | 201,760 | $ 92,810 | |
Total Warrants (identified cost $0) | $ 92,810 |
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(7)(9) | 3,698,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(7)(9) | 7,780,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 25.8% |
Affiliated Fund — 14.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.19%(28) | 265,755,581 | $265,755,581 | |
Total Affiliated Fund (identified cost $265,755,581) | $265,755,581 |
Repurchase Agreements — 3.7% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 3,600,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,666,888(29) | USD | 2,636 | $ 2,636,280 |
Dated 7/27/23 with an interest rate of 4.80%, collateralized by USD 7,674,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $5,684,917(29) | USD | 5,620 | 5,619,670 |
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 1,500,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $1,111,203(29) | USD | 1,098 | 1,098,450 |
Dated 7/27/23 with an interest rate of 4.75%, collateralized by USD 3,176,000 Republic of Colombia, 6.125%, due 1/18/41 and a market value, including accrued interest, of $2,718,286(29) | USD | 2,326 | 2,325,785 |
Barclays Bank PLC: | |||
Dated 7/31/23 with an interest rate of 2.75%, collateralized by USD 5,547,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $3,193,669(29) | USD | 3,176 | 3,176,430 |
Dated 7/28/23 with an interest rate of 2.50%, collateralized by USD 1,464,000 Pakistan Government International Bond, 6.875%, due 12/5/27 and a market value, including accrued interest, of $802,557(29) | USD | 772 | 772,260 |
Dated 7/28/23 with an interest rate of 2.25%, collateralized by USD 1,600,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $904,129(29) | USD | 862 | 862,000 |
Dated 7/28/23 with an interest rate of 2.25%, collateralized by EUR 2,794,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $2,915,332(29) | EUR | 2,771 | 3,046,403 |
Dated 7/28/23 with an interest rate of 0.00%, collateralized by USD 400,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $254,692(29) | USD | 247 | 246,500 |
10
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: (continued) | |||
Dated 7/27/23 with an interest rate of 5.05%, collateralized by USD 7,125,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $5,278,216(29) | USD | 5,468 | $ 5,468,438 |
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 11,401,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $8,445,887(29) | USD | 8,750 | 8,750,268 |
Dated 7/27/23 with an interest rate of 4.50%, collateralized by USD 5,500,000 Republic of Ecuador, 0.00%, due 7/31/30 and a market value, including accrued interest, of $1,595,440(29) | USD | 1,660 | 1,660,486 |
Dated 7/27/23 with an interest rate of 2.75%, collateralized by USD 5,547,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $3,134,501(29) | USD | 3,012 | 3,011,921 |
Dated 7/27/23 with an interest rate of 0.00%, collateralized by USD 920,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $585,791(29) | USD | 597 | 597,183 |
Dated 7/26/23 with an interest rate of 0.00%, collateralized by USD 400,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $254,692(29) | USD | 254 | 254,395 |
Dated 7/19/23 with an interest rate of 0.00%, collateralized by USD 460,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $292,895(29) | USD | 298 | 298,425 |
Dated 7/17/23 with an interest rate of 0.00%, collateralized by USD 879,000 Pakistan Government International Bond, 8.25%, due 9/30/25 and a market value, including accrued interest, of $559,685(29) | USD | 593 | 593,325 |
Dated 6/20/23 with an interest rate of 2.60%, collateralized by EUR 4,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $3,898,430(29) | EUR | 3,670 | 4,035,167 |
Dated 6/20/23 with an interest rate of 2.25%, collateralized by EUR 1,200,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,169,529(29) | EUR | 1,101 | 1,210,550 |
Dated 6/20/23 with an interest rate of 2.10%, collateralized by EUR 2,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $2,029,327(29) | EUR | 1,908 | 2,097,297 |
JPMorgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 5.00%, collateralized by USD 3,187,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,360,937(29) | USD | 2,341 | 2,340,993 |
Description | Principal Amount (000's omitted) | Value | |
JPMorgan Chase Bank, N.A.: (continued) | |||
Dated 7/27/23 with an interest rate of 4.95%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,352,788(29) | USD | 2,333 | $ 2,332,913 |
Nomura International PLC: | |||
Dated 7/27/23 with an interest rate of 5.05%, collateralized by USD 3,125,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,315,007(29) | USD | 2,411 | 2,411,077 |
Dated 7/27/23 with an interest rate of 5.05%, collateralized by USD 3,174,000 Republic of Colombia, 5.625%, due 2/26/44 and a market value, including accrued interest, of $2,563,934(29) | USD | 2,716 | 2,716,163 |
Dated 7/27/23 with an interest rate of 5.05%, collateralized by USD 3,175,000 Republic of Colombia, 5.00%, due 6/15/45 and a market value, including accrued interest, of $2,316,855(29) | USD | 2,455 | 2,455,404 |
Dated 7/27/23 with an interest rate of 4.90%, collateralized by USD 3,176,000 Republic of Colombia, 5.20%, due 5/15/49 and a market value, including accrued interest, of $2,352,788(29) | USD | 2,450 | 2,450,426 |
Dated 7/27/23 with an interest rate of 3.40%, collateralized by EUR 1,956,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,905,548(29) | USD | 1,993 | 1,993,321 |
Dated 7/27/23 with an interest rate of 3.25%, collateralized by USD 3,066,000 Pakistan Government International Bond, 6.00%, due 4/8/26 and a market value, including accrued interest, of $1,732,536(29) | USD | 1,904 | 1,904,244 |
Total Repurchase Agreements (identified cost $66,318,962) | $ 66,365,774 |
Sovereign Government Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Albania — 0.0%(8) | |||
Albania Treasury Bill, 0.00%, 1/18/24 | ALL | 11,000 | $ 115,875 |
$ 115,875 | |||
Sri Lanka — 0.4% | |||
Sri Lanka Treasury Bill: | |||
0.00%, 9/8/23 | LKR | 178,000 | $ 544,654 |
0.00%, 9/15/23 | LKR | 123,000 | 374,984 |
0.00%, 10/6/23 | LKR | 420,000 | 1,265,992 |
0.00%, 10/13/23 | LKR | 426,000 | 1,279,092 |
11
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Sri Lanka (continued) | |||
Sri Lanka Treasury Bill: (continued) | |||
0.00%, 10/27/23 | LKR | 312,000 | $ 929,390 |
0.00%, 11/24/23 | LKR | 85,000 | 249,955 |
0.00%, 12/8/23 | LKR | 198,000 | 578,832 |
0.00%, 1/5/24 | LKR | 435,000 | 1,257,790 |
0.00%, 3/15/24 | LKR | 100,000 | 282,060 |
0.00%, 4/19/24 | LKR | 286,000 | 797,825 |
$ 7,560,574 | |||
Total Sovereign Government Securities (identified cost $7,835,284) | $ 7,676,449 |
U.S. Treasury Obligations — 7.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill: | |||
0.00%, 10/5/23 | $ | 35,000 | $ 34,668,018 |
0.00%, 10/12/23(27) | 35,000 | 34,631,275 | |
0.00%, 10/19/23(27) | 30,000 | 29,654,046 | |
0.00%, 10/26/23(27) | 30,000 | 29,623,195 | |
Total U.S. Treasury Obligations (identified cost $128,600,071) | $128,576,534 | ||
Total Short-Term Investments (identified cost $468,509,898) | $468,374,338 |
Total Purchased Options and Swaptions — 0.1% (identified cost $3,160,850) | $ 2,865,450 | ||
Total Investments — 96.6% (identified cost $1,823,591,009) | $1,753,940,286 | ||
Total Written Options — (0.0)%(8) (premiums received $145,736) | $ (94,831) |
Securities Sold Short — (3.8)% | |||
Common Stocks — (0.5)% |
Security | Shares | Value | |
New Zealand — (0.5)% | |||
a2 Milk Co., Ltd. (The)(7) | (184,200) | $ (631,982) | |
Auckland International Airport, Ltd.(7) | (239,400) | (1,249,728) | |
Contact Energy, Ltd. | (156,000) | (805,512) |
Security | Shares | Value | |
New Zealand (continued) | |||
EBOS Group, Ltd. | (13,100) | $ (313,932) | |
Fisher & Paykel Healthcare Corp., Ltd., Class C | (94,600) | (1,444,263) | |
Fletcher Building, Ltd. | (155,800) | (540,188) | |
Infratil, Ltd. | (144,800) | (895,625) | |
Mainfreight, Ltd. | (16,900) | (712,755) | |
Meridian Energy, Ltd. | (240,400) | (843,775) | |
Ryman Healthcare, Ltd. | (96,000) | (406,611) | |
Spark New Zealand, Ltd. | (371,300) | (1,195,417) | |
Total Common Stocks (proceeds $9,210,470) | $ (9,039,788) | ||
Sovereign Government Bonds — (3.3)% |
Security | Principal Amount (000's omitted) | Value | |
Colombia — (2.1)% | |||
Republic of Colombia: | |||
5.00%, 6/15/45 | USD | (3,175) | $ (2,296,570) |
5.20%, 5/15/49 | USD | (42,853) | (31,275,168) |
5.625%, 2/26/44 | USD | (3,174) | (2,487,064) |
6.125%, 1/18/41 | USD | (3,176) | (2,711,261) |
$(38,770,063) | |||
Ecuador — (0.1)% | |||
Republic of Ecuador, 0.00%, 7/31/30(10) | USD | (5,506) | $ (1,597,181) |
$ (1,597,181) | |||
Pakistan — (0.5)% | |||
Pakistan Government International Bond: | |||
6.00%, 4/8/26(10) | USD | (10,213) | $ (5,578,821) |
6.875%, 12/5/27(10) | USD | (1,464) | (786,900) |
8.25%, 9/30/25(10) | USD | (3,059) | (1,862,931) |
$ (8,228,652) | |||
Poland — (0.6)% | |||
Republic of Poland: | |||
1.00%, 3/7/29(10) | EUR | (7,156) | $ (6,942,604) |
1.125%, 8/7/26(10) | EUR | (2,794) | (2,881,340) |
12
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Poland (continued) | |||
Republic of Poland: (continued) | |||
2.75%, 5/25/32(10) | EUR | (2,000) | $ (2,018,060) |
$(11,842,004) | |||
Total Sovereign Government Bonds (proceeds $56,808,781) | $(60,437,900) | ||
Total Securities Sold Short (proceeds $66,019,251) | $(69,477,688) |
Other Assets, Less Liabilities — 7.2% | $ 130,458,475 | ||
Net Assets — 100.0% | $1,814,826,242 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | 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. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2023, the aggregate value of these securities is $117,810,853 or 6.5% of the Portfolio's net assets. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at July 31, 2023. |
(4) | Principal amount is less than $500. |
(5) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2023. |
(6) | 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. |
(7) | Non-income producing security. |
(8) | Amount is less than 0.05% or (0.05)%, as applicable. |
(9) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(10) | 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 $396,441,798 or 21.8% of the Portfolio's net assets. |
(11) | 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. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | 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. |
(14) | Quantity held represents principal in USD. |
(15) | 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. |
(16) | Restricted security. |
(17) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(18) | Fixed-rate loan. |
(19) | Step coupon security. Interest rate represents the rate in effect at July 31, 2023. |
(20) | 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. |
(21) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(22) | 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. |
(23) | 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. |
(24) | 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. |
(25) | The stated interest rate represents the weighted average fixed interest rate at July 31, 2023 of all interest only securities comprising the certificate. |
(26) | 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. |
(27) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(28) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of July 31, 2023. |
13
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
(29) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Purchased Currency Options (OTC) — 0.1% | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call BRL vs. Put USD | Goldman Sachs International | USD | 19,210,000 | BRL | 4.93 | 1/22/24 | $ 892,689 |
Call BRL vs. Put USD | UBS AG | USD | 2,300,000 | BRL | 4.90 | 1/23/24 | 98,803 |
Call BRL vs. Put USD | UBS AG | USD | 14,700,000 | BRL | 4.91 | 1/23/24 | 649,755 |
Call BRL vs. Put USD (Digital Option) | Bank of America, N.A. | USD | 3,618,000 | BRL | 4.50 | 10/27/23 | 502,243 |
Call USD vs. Put CNH | Barclays Bank PLC | USD | 13,900,000 | CNH | 7.00 | 1/18/24 | 248,560 |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.00 | 1/18/24 | 432,744 |
Total | $2,824,794 |
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 | JPMorgan Chase Bank, N.A. | USD | 56,000,000 | 9/20/23 | $40,656 |
Total | $40,656 |
(1) | Amount is less than 0.05%. |
Written Currency Options (OTC) — (0.0)%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Call USD vs. Put CNH | Barclays Bank PLC | USD | 13,900,000 | CNH | 7.50 | 1/18/24 | $(34,597) |
Call USD vs. Put CNH | Goldman Sachs International | USD | 24,200,000 | CNH | 7.50 | 1/18/24 | (60,234) |
Total | $(94,831) |
(1) | Amount is less than (0.05)%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 39,912,846 | USD | 7,966,000 | 8/9/23 | $ 462,878 |
USD | 7,966,000 | BRL | 39,794,153 | 8/9/23 | (437,812) |
BRL | 19,047,526 | USD | 3,551,470 | 9/11/23 | 448,828 |
USD | 11,940,000 | BRL | 58,132,994 | 9/11/23 | (268,895) |
COP | 18,743,800,000 | USD | 4,190,431 | 9/20/23 | 524,430 |
COP | 17,709,000,000 | USD | 3,967,079 | 9/20/23 | 487,486 |
14
Global Macro 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) | ||
COP | 11,790,910,000 | USD | 2,639,559 | 9/20/23 | $ 326,355 |
COP | 10,771,200,000 | USD | 2,418,592 | 9/20/23 | 290,822 |
COP | 3,378,000,000 | USD | 790,407 | 9/20/23 | 59,304 |
COP | 15,090,000 | USD | 3,378 | 9/20/23 | 418 |
EUR | 7,272,945 | USD | 7,838,212 | 9/20/23 | 177,440 |
EUR | 6,177,682 | USD | 6,657,824 | 9/20/23 | 150,719 |
EUR | 7,707,922 | USD | 8,449,936 | 9/20/23 | 45,113 |
EUR | 1,731,710 | USD | 1,866,302 | 9/20/23 | 42,249 |
EUR | 5,775,000 | USD | 6,330,939 | 9/20/23 | 33,800 |
EUR | 4,409,299 | USD | 4,833,767 | 9/20/23 | 25,807 |
EUR | 2,195,104 | USD | 2,400,340 | 9/20/23 | 18,927 |
EUR | 3,100,000 | USD | 3,398,426 | 9/20/23 | 18,144 |
EUR | 2,191,939 | USD | 2,402,949 | 9/20/23 | 12,829 |
EUR | 1,941,857 | USD | 2,128,793 | 9/20/23 | 11,365 |
KRW | 16,855,340,473 | USD | 13,290,235 | 9/20/23 | (62,510) |
PEN | 61,294,000 | USD | 16,793,337 | 9/20/23 | 154,209 |
PEN | 16,230,000 | USD | 4,419,513 | 9/20/23 | 68,017 |
PEN | 2,722,000 | USD | 745,406 | 9/20/23 | 7,216 |
PEN | 22,008,000 | USD | 6,165,915 | 9/20/23 | (80,791) |
USD | 6,732,661 | CLP | 5,507,990,000 | 9/20/23 | 201,366 |
USD | 5,386,127 | CLP | 4,492,030,000 | 9/20/23 | 59,543 |
USD | 5,654,595 | CLP | 4,724,980,000 | 9/20/23 | 51,782 |
USD | 127,466 | COP | 546,500,000 | 9/20/23 | (10,002) |
USD | 1,317,355 | COP | 5,647,500,000 | 9/20/23 | (103,231) |
USD | 4,899,778 | COP | 20,778,000,000 | 9/20/23 | (326,771) |
USD | 5,445,863 | COP | 23,436,000,000 | 9/20/23 | (449,285) |
USD | 242,031 | EUR | 220,778 | 9/20/23 | (1,292) |
USD | 87,331 | EUR | 81,033 | 9/20/23 | (1,977) |
USD | 299,874 | EUR | 274,234 | 9/20/23 | (2,365) |
USD | 450,900 | EUR | 412,347 | 9/20/23 | (3,555) |
USD | 519,383 | EUR | 474,974 | 9/20/23 | (4,095) |
USD | 837,193 | EUR | 763,676 | 9/20/23 | (4,470) |
USD | 1,699,213 | EUR | 1,550,000 | 9/20/23 | (9,072) |
USD | 1,371,632 | EUR | 1,254,354 | 9/20/23 | (10,815) |
USD | 2,402,949 | EUR | 2,191,939 | 9/20/23 | (12,829) |
USD | 2,508,360 | EUR | 2,288,093 | 9/20/23 | (13,392) |
USD | 1,703,207 | EUR | 1,557,578 | 9/20/23 | (13,430) |
USD | 3,891,363 | EUR | 3,549,651 | 9/20/23 | (20,776) |
USD | 2,668,549 | EUR | 2,440,380 | 9/20/23 | (21,042) |
USD | 4,833,767 | EUR | 4,409,299 | 9/20/23 | (25,807) |
USD | 4,961,239 | EUR | 4,525,578 | 9/20/23 | (26,488) |
USD | 6,428,325 | EUR | 5,863,834 | 9/20/23 | (34,320) |
USD | 7,440,089 | EUR | 6,786,752 | 9/20/23 | (39,722) |
USD | 8,554,896 | EUR | 7,803,664 | 9/20/23 | (45,674) |
15
Global Macro 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 | 8,660,635 | EUR | 7,900,119 | 9/20/23 | $ (46,238) |
USD | 9,933,179 | EUR | 9,060,916 | 9/20/23 | (53,032) |
USD | 10,041,844 | EUR | 9,160,039 | 9/20/23 | (53,612) |
USD | 12,058,931 | EUR | 11,000,000 | 9/20/23 | (64,381) |
USD | 4,664,300 | EUR | 4,294,722 | 9/20/23 | (68,996) |
USD | 18,743,088 | EUR | 17,097,201 | 9/20/23 | (100,068) |
USD | 4,435,415 | EUR | 4,115,547 | 9/20/23 | (100,408) |
USD | 14,519,806 | EUR | 13,278,323 | 9/20/23 | (114,490) |
USD | 25,631,783 | EUR | 23,380,979 | 9/20/23 | (136,846) |
USD | 26,016,181 | EUR | 23,731,621 | 9/20/23 | (138,898) |
USD | 7,146,570 | EUR | 6,631,182 | 9/20/23 | (161,783) |
USD | 39,592,433 | EUR | 36,115,702 | 9/20/23 | (211,380) |
USD | 40,186,586 | EUR | 36,657,680 | 9/20/23 | (214,552) |
USD | 60,298,427 | EUR | 55,003,440 | 9/20/23 | (321,928) |
USD | 1,452,124 | INR | 119,700,000 | 9/20/23 | (1,331) |
USD | 7,683,557 | PEN | 27,826,000 | 9/20/23 | (10,221) |
USD | 2,037,932 | PEN | 7,468,000 | 9/20/23 | (26,940) |
USD | 2,246,416 | PEN | 8,232,000 | 9/20/23 | (29,699) |
USD | 5,486,963 | PEN | 20,113,562 | 9/20/23 | (74,356) |
USD | 7,428,853 | PEN | 27,174,000 | 9/20/23 | (84,650) |
USD | 5,575,197 | PEN | 20,500,000 | 9/20/23 | (92,971) |
USD | 10,603,589 | PEN | 39,000,000 | 9/20/23 | (179,755) |
USD | 13,320,647 | PEN | 49,000,000 | 9/20/23 | (227,657) |
USD | 9,697,901 | PHP | 530,000,000 | 9/20/23 | 20,452 |
USD | 14,432,574 | PHP | 789,404,095 | 9/20/23 | 18,579 |
USD | 7,941,591 | PHP | 434,000,000 | 9/20/23 | 17,039 |
USD | 5,290,085 | PHP | 289,000,000 | 9/20/23 | 13,137 |
USD | 4,611,078 | PHP | 252,000,000 | 9/20/23 | 9,725 |
USD | 6,856,077 | PHP | 375,000,000 | 9/20/23 | 8,826 |
USD | 3,769,511 | PHP | 206,000,000 | 9/20/23 | 8,087 |
USD | 2,507,757 | PHP | 137,000,000 | 9/20/23 | 6,227 |
IDR | 32,124,378,520 | USD | 2,134,170 | 10/17/23 | (9,700) |
IDR | 87,289,081,331 | USD | 5,815,783 | 10/18/23 | (43,258) |
IDR | 139,649,000,000 | USD | 9,305,467 | 10/18/23 | (70,322) |
USD | 13,542,766 | IDR | 203,239,000,000 | 10/18/23 | 102,344 |
USD | 14,477,219 | IDR | 217,922,104,000 | 10/18/23 | 65,787 |
USD | 8,464,215 | IDR | 127,039,395,631 | 10/18/23 | 62,957 |
USD | 3,318,007 | IDR | 49,794,000,000 | 10/18/23 | 25,074 |
USD | 2,073,797 | IDR | 31,125,616,677 | 10/18/23 | 15,425 |
$(615,184) |
16
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
UZS | 3,501,513,277 | USD | 295,549 | ICBC Standard Bank plc | 8/1/23 | $ 7,566 | $ — |
ARS | 708,500,000 | USD | 2,573,974 | BNP Paribas | 8/2/23 | — | (180) |
USD | 2,418,089 | ARS | 708,500,000 | BNP Paribas | 8/2/23 | — | (155,706) |
UGX | 10,035,233,840 | USD | 2,779,843 | Goldman Sachs International | 8/3/23 | — | (8,102) |
UGX | 10,035,233,840 | USD | 2,779,843 | Goldman Sachs International | 8/3/23 | — | (8,102) |
USD | 5,254,049 | UGX | 20,070,467,680 | Standard Chartered Bank | 8/3/23 | — | (289,432) |
EUR | 8,483,443 | USD | 9,439,458 | Australia and New Zealand Banking Group Limited | 8/4/23 | — | (111,023) |
EUR | 8,932,214 | USD | 10,043,914 | Citibank, N.A. | 8/4/23 | — | (222,007) |
EUR | 3,013,574 | USD | 3,324,410 | HSBC Bank USA, N.A. | 8/4/23 | — | (10,669) |
EUR | 2,883,234 | USD | 3,238,270 | Standard Chartered Bank | 8/4/23 | — | (67,851) |
KES | 178,630,000 | USD | 1,327,128 | Standard Chartered Bank | 8/4/23 | — | (79,311) |
USD | 566,653 | EUR | 505,891 | Citibank, N.A. | 8/4/23 | 10,373 | — |
USD | 2,718,270 | EUR | 2,494,733 | Citibank, N.A. | 8/4/23 | — | (24,950) |
USD | 574,511 | EUR | 510,990 | UBS AG | 8/4/23 | 12,624 | — |
USD | 1,175,197 | KES | 178,630,000 | Standard Chartered Bank | 8/4/23 | — | (72,620) |
USD | 48,191,203 | CNH | 331,163,200 | Citibank, N.A. | 8/8/23 | 1,831,322 | — |
USD | 2,490,734 | TRY | 63,243,967 | Standard Chartered Bank | 8/8/23 | 151,510 | — |
BRL | 81,425,370 | USD | 16,860,000 | Goldman Sachs International | 8/9/23 | 335,580 | — |
USD | 16,860,000 | BRL | 81,577,110 | Goldman Sachs International | 8/9/23 | — | (367,625) |
ILS | 34,449,394 | USD | 9,277,556 | Citibank, N.A. | 8/11/23 | 95,243 | — |
MYR | 10,200,000 | USD | 2,313,450 | Credit Agricole Corporate and Investment Bank | 8/15/23 | — | (49,147) |
MYR | 2,900,000 | USD | 657,373 | Goldman Sachs International | 8/15/23 | — | (13,601) |
USD | 2,845,352 | MYR | 13,100,000 | Goldman Sachs International | 8/15/23 | — | (62,723) |
UZS | 1,744,360,902 | USD | 147,327 | ICBC Standard Bank plc | 8/15/23 | 2,757 | — |
USD | 1,494,446 | ARS | 457,151,000 | Goldman Sachs International | 8/18/23 | — | (48,480) |
USD | 3,831,383 | UGX | 14,501,783,000 | Goldman Sachs International | 8/22/23 | — | (161,333) |
ILS | 32,081,176 | USD | 8,956,844 | Barclays Bank PLC | 8/24/23 | — | (224,281) |
ILS | 33,445,764 | USD | 9,345,394 | HSBC Bank USA, N.A. | 8/24/23 | — | (241,387) |
ILS | 5,929,792 | USD | 1,601,694 | BNP Paribas | 8/28/23 | 12,641 | — |
ILS | 5,929,792 | USD | 1,597,227 | Citibank, N.A. | 8/28/23 | 17,108 | — |
ILS | 5,390,720 | USD | 1,449,783 | Goldman Sachs International | 8/28/23 | 17,794 | — |
MYR | 12,700,000 | USD | 2,764,776 | Barclays Bank PLC | 8/30/23 | 57,612 | — |
MYR | 5,600,000 | USD | 1,221,774 | Goldman Sachs International | 8/30/23 | 22,744 | — |
USD | 3,974,805 | MYR | 18,300,000 | Goldman Sachs International | 8/30/23 | — | (92,101) |
UZS | 2,106,025,000 | USD | 182,735 | ICBC Standard Bank plc | 9/5/23 | — | (2,501) |
USD | 4,064,833 | UGX | 15,661,925,653 | Standard Chartered Bank | 9/6/23 | — | (236,230) |
BRL | 58,103,622 | USD | 11,940,000 | Citibank, N.A. | 9/11/23 | 262,727 | — |
USD | 3,553,643 | BRL | 19,047,526 | Citibank, N.A. | 9/11/23 | — | (446,654) |
UZS | 19,357,081,591 | USD | 1,672,318 | ICBC Standard Bank plc | 9/15/23 | — | (16,638) |
USD | 50,744,992 | ZAR | 931,678,062 | UBS AG | 9/18/23 | — | (1,129,919) |
AUD | 10,000,000 | USD | 6,529,210 | Citibank, N.A. | 9/20/23 | 199,008 | — |
AUD | 10,254,000 | USD | 7,010,147 | Citibank, N.A. | 9/20/23 | — | (111,032) |
AUD | 10,448,000 | USD | 7,140,894 | Citibank, N.A. | 9/20/23 | — | (111,252) |
AUD | 13,970,000 | USD | 9,411,997 | Standard Chartered Bank | 9/20/23 | — | (12,676) |
17
Global Macro 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) | ||
AUD | 9,758,000 | USD | 6,669,981 | Standard Chartered Bank | 9/20/23 | $ — | $ (104,586) |
AUD | 12,751,049 | USD | 8,328,985 | UBS AG | 9/20/23 | 250,199 | — |
CAD | 18,500,000 | USD | 13,889,460 | Bank of America, N.A. | 9/20/23 | 149,407 | — |
CAD | 11,308,565 | USD | 8,471,088 | Bank of America, N.A. | 9/20/23 | 110,504 | — |
CAD | 6,000,000 | USD | 4,512,825 | Bank of America, N.A. | 9/20/23 | 40,321 | — |
CZK | 37,000,000 | EUR | 1,545,725 | Goldman Sachs International | 9/20/23 | — | (4,018) |
CZK | 74,940,000 | EUR | 3,130,849 | Goldman Sachs International | 9/20/23 | — | (8,281) |
CZK | 74,000,000 | EUR | 3,090,742 | UBS AG | 9/20/23 | — | (7,256) |
EUR | 11,499,408 | HUF | 4,362,300,336 | UBS AG | 9/20/23 | 420,043 | — |
EUR | 1,301,552 | PLN | 5,841,209 | BNP Paribas | 9/20/23 | — | (20,246) |
EUR | 668,340 | PLN | 3,000,000 | HSBC Bank USA, N.A. | 9/20/23 | — | (10,538) |
EUR | 1,307,458 | PLN | 5,868,000 | HSBC Bank USA, N.A. | 9/20/23 | — | (20,410) |
HUF | 590,426,641 | EUR | 1,497,001 | Goldman Sachs International | 9/20/23 | 8,631 | — |
HUF | 1,013,670,472 | EUR | 2,579,518 | Goldman Sachs International | 9/20/23 | 4,458 | — |
HUF | 472,341,313 | EUR | 1,220,103 | Goldman Sachs International | 9/20/23 | — | (17,896) |
HUF | 1,500,000,000 | EUR | 3,913,384 | Goldman Sachs International | 9/20/23 | — | (99,525) |
HUF | 1,535,109,267 | EUR | 4,004,250 | Goldman Sachs International | 9/20/23 | — | (101,048) |
HUF | 469,625,350 | EUR | 1,212,779 | Standard Chartered Bank | 9/20/23 | — | (17,452) |
HUF | 1,497,388,162 | EUR | 3,937,091 | Standard Chartered Bank | 9/20/23 | — | (132,989) |
HUF | 265,000,000 | EUR | 683,462 | UBS AG | 9/20/23 | — | (8,874) |
HUF | 2,898,811,683 | EUR | 7,641,523 | UBS AG | 9/20/23 | — | (279,125) |
JPY | 2,994,331,969 | USD | 21,776,854 | Bank of America, N.A. | 9/20/23 | — | (568,248) |
MYR | 15,320,000 | USD | 3,341,148 | Barclays Bank PLC | 9/20/23 | 68,052 | — |
MYR | 12,560,000 | USD | 2,736,980 | Goldman Sachs International | 9/20/23 | 58,031 | — |
MYR | 11,420,000 | USD | 2,493,178 | State Street Bank and Trust Company | 9/20/23 | 48,145 | — |
NZD | 14,121,460 | USD | 8,702,731 | Citibank, N.A. | 9/20/23 | 68,662 | — |
NZD | 464,391 | USD | �� 278,792 | Citibank, N.A. | 9/20/23 | 9,659 | — |
USD | 1,209,686 | CAD | 1,610,000 | Bank of America, N.A. | 9/20/23 | — | (12,075) |
USD | 1,449,990 | CAD | 1,930,000 | Bank of America, N.A. | 9/20/23 | — | (14,606) |
USD | 1,855,615 | CAD | 2,470,000 | Bank of America, N.A. | 9/20/23 | — | (18,763) |
USD | 6,473,498 | CAD | 8,630,000 | Bank of America, N.A. | 9/20/23 | — | (75,444) |
USD | 8,490,263 | CAD | 11,308,565 | Bank of America, N.A. | 9/20/23 | — | (91,329) |
USD | 7,402,414 | CAD | 9,860,000 | JPMorgan Chase Bank, N.A. | 9/20/23 | — | (79,923) |
USD | 1,630,672 | JPY | 232,365,316 | Citibank, N.A. | 9/20/23 | — | (15,153) |
USD | 34,412,588 | MXN | 607,100,000 | Standard Chartered Bank | 9/20/23 | — | (1,523,956) |
USD | 20,530,446 | MXN | 364,000,000 | UBS AG | 9/20/23 | — | (1,016,090) |
USD | 21,179,110 | MXN | 374,959,200 | UBS AG | 9/20/23 | — | (1,016,143) |
USD | 4,353,031 | MYR | 20,000,000 | Barclays Bank PLC | 9/20/23 | — | (97,623) |
USD | 304,812 | MYR | 1,400,000 | Credit Agricole Corporate and Investment Bank | 9/20/23 | — | (6,734) |
USD | 3,898,084 | MYR | 17,900,000 | State Street Bank and Trust Company | 9/20/23 | — | (85,251) |
USD | 3,907,741 | NZD | 6,425,779 | Citibank, N.A. | 9/20/23 | — | (83,562) |
USD | 21,492,745 | NZD | 34,875,138 | Citibank, N.A. | 9/20/23 | — | (169,570) |
USD | 34,394,419 | NZD | 55,810,000 | Citibank, N.A. | 9/20/23 | — | (271,360) |
USD | 8,476,963 | NZD | 13,770,000 | UBS AG | 9/20/23 | — | (76,123) |
18
Global Macro 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 | 118,564 | THB | 4,090,000 | Standard Chartered Bank | 9/20/23 | $ — | $ (1,470) |
USD | 2,394,529 | UYU | 93,219,000 | Citibank, N.A. | 9/20/23 | — | (83,894) |
USD | 3,012,863 | UYU | 117,351,000 | Citibank, N.A. | 9/20/23 | — | (107,160) |
USD | 7,133,579 | ZAR | 134,000,000 | Barclays Bank PLC | 9/20/23 | — | (326,057) |
USD | 30,823,449 | ZAR | 579,000,000 | Barclays Bank PLC | 9/20/23 | — | (1,408,859) |
USD | 7,166,003 | ZAR | 134,900,000 | Citibank, N.A. | 9/20/23 | — | (343,735) |
USD | 30,808,653 | ZAR | 579,972,886 | Citibank, N.A. | 9/20/23 | — | (1,477,815) |
USD | 7,114,604 | ZAR | 134,000,000 | HSBC Bank USA, N.A. | 9/20/23 | — | (345,033) |
USD | 30,741,458 | ZAR | 579,000,000 | HSBC Bank USA, N.A. | 9/20/23 | — | (1,490,849) |
USD | 336,247 | ZMW | 6,960,304 | Goldman Sachs International | 9/20/23 | — | (27,353) |
ZAR | 40,000,000 | USD | 2,141,769 | BNP Paribas | 9/20/23 | 84,988 | — |
ZAR | 577,312,838 | USD | 32,064,029 | Citibank, N.A. | 9/20/23 | 74,357 | — |
ZAR | 138,457,135 | USD | 7,673,969 | Goldman Sachs International | 9/20/23 | 33,791 | — |
ZAR | 576,673,967 | USD | 32,018,054 | HSBC Bank USA, N.A. | 9/20/23 | 84,766 | — |
ZAR | 138,457,135 | USD | 7,675,652 | Standard Chartered Bank | 9/20/23 | 32,108 | — |
USD | 3,027,452 | KES | 471,741,325 | Standard Chartered Bank | 9/21/23 | — | (175,777) |
USD | 2,673,938 | EGP | 98,802,000 | Goldman Sachs International | 9/25/23 | — | (447,239) |
USD | 1,421,614 | EGP | 51,960,000 | HSBC Bank USA, N.A. | 9/25/23 | — | (219,813) |
EGP | 177,966,509 | USD | 4,925,727 | Citibank, N.A. | 9/28/23 | 689,080 | — |
USD | 2,673,997 | EGP | 98,002,000 | Goldman Sachs International | 9/28/23 | — | (417,946) |
USD | 5,347,982 | EGP | 195,803,000 | Goldman Sachs International | 9/28/23 | — | (829,562) |
USD | 2,756,932 | UGX | 10,035,233,840 | Goldman Sachs International | 9/29/23 | 10,236 | — |
UZS | 1,845,934,481 | USD | 154,278 | ICBC Standard Bank plc | 10/13/23 | 2,674 | — |
USD | 2,741,867 | UGX | 10,035,233,840 | Goldman Sachs International | 10/31/23 | 5,013 | — |
UZS | 9,849,953,397 | USD | 836,159 | ICBC Standard Bank plc | 11/27/23 | — | (12,859) |
USD | 1,376,114 | KES | 222,932,331 | Standard Chartered Bank | 12/21/23 | — | (106,483) |
HUF | 309,903,511 | EUR | 760,332 | BNP Paribas | 1/11/24 | 13,229 | — |
HUF | 280,523,130 | EUR | 691,943 | UBS AG | 1/11/24 | 7,879 | — |
HUF | 944,682,626 | EUR | 2,350,191 | UBS AG | 1/11/24 | 4,336 | — |
USD | 389,263 | EGP | 14,017,368 | Goldman Sachs International | 1/22/24 | — | (17,551) |
HUF | 1,655,088,317 | EUR | 3,877,901 | Barclays Bank PLC | 1/30/24 | 258,078 | — |
USD | 5,209,600 | UGX | 20,525,823,667 | Deutsche Bank AG | 2/6/24 | — | (325,371) |
USD | 12,438,538 | SAR | 46,800,000 | Standard Chartered Bank | 3/14/24 | — | (23,000) |
USD | 10,754,098 | BHD | 4,100,000 | Standard Chartered Bank | 3/18/24 | — | (86,082) |
USD | 1,424,623 | EGP | 56,700,000 | HSBC Bank USA, N.A. | 3/25/24 | — | (154,200) |
OMR | 3,568,000 | USD | 9,252,872 | Standard Chartered Bank | 4/8/24 | 5,122 | — |
USD | 9,004,416 | OMR | 3,568,000 | BNP Paribas | 4/8/24 | — | (253,578) |
USD | 1,267,427 | OMR | 500,000 | Standard Chartered Bank | 4/22/24 | — | (29,833) |
OMR | 6,000,000 | USD | 15,554,518 | Standard Chartered Bank | 5/28/24 | 8,850 | — |
USD | 16,212,793 | OMR | 6,400,000 | Standard Chartered Bank | 5/28/24 | — | (388,134) |
NGN | 194,367,272 | USD | 228,667 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (1,138) |
NGN | 1,020,857,426 | USD | 1,237,403 | Societe Generale | 6/21/24 | — | (42,719) |
NGN | 530,630,105 | USD | 624,276 | Standard Chartered Bank | 6/24/24 | — | (3,837) |
NGN | 546,549,008 | USD | 624,276 | Standard Chartered Bank | 6/26/24 | 14,403 | — |
NGN | 515,167,294 | USD | 578,844 | Standard Chartered Bank | 7/3/24 | 21,934 | — |
19
Global Macro 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) | ||
NGN | 554,934,742 | USD | 616,594 | Societe Generale | 7/8/24 | $ 29,618 | $ — |
USD | 9,388,519 | OMR | 3,711,000 | BNP Paribas | 7/8/24 | — | (234,643) |
USD | 9,916,350 | OMR | 3,912,000 | Standard Chartered Bank | 7/8/24 | — | (228,035) |
USD | 8,357,531 | OMR | 3,310,000 | BNP Paribas | 7/29/24 | — | (224,511) |
USD | 17,699,754 | BHD | 6,766,439 | Standard Chartered Bank | 6/18/25 | — | (64,038) |
USD | 5,911,596 | SAR | 22,308,000 | Standard Chartered Bank | 6/18/25 | — | (15,645) |
$5,653,183 | $(20,345,949) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
8/11/23 | COP | 20,731,000 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | $5,310,430 | $(23,258) |
8/11/23 | COP | 20,731,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 5,287,172 | 95,317 |
8/11/23 | COP | 5,448,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,389,441 | 7,750 |
8/11/23 | COP | 5,448,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,387,809 | 1,633 |
8/25/23 | COP | 5,379,500 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,371,971 | 3,962 |
8/25/23 | COP | 5,379,500 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 1,367,154 | 4,817 |
$90,221 |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures | |||||
WTI Crude Oil | 656 | Long | 11/20/23 | $ 52,709,600 | $ 4,422,030 |
WTI Crude Oil | (649) | Short | 8/22/23 | (53,088,200) | (4,945,791) |
Equity Futures | |||||
Hang Seng Index | 20 | Long | 8/30/23 | 2,603,440 | 149,330 |
Nikkei 225 Index | 45 | Long | 9/7/23 | 7,491,375 | 243,623 |
Euro Stoxx 50 Index | (380) | Short | 9/15/23 | (18,786,347) | (686,415) |
IFSC Nifty 50 Index | (354) | Short | 8/31/23 | (14,048,136) | (3,696) |
SPI 200 Index | (44) | Short | 9/21/23 | (5,456,063) | (164,848) |
Interest Rate Futures | |||||
Long Gilt | 176 | Long | 9/27/23 | 21,712,835 | 46,821 |
20
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures (continued) | |||||
U.S. Ultra-Long Treasury Bond | 86 | Long | 9/20/23 | $ 11,370,813 | $ (274,125) |
Euro-Bobl | (433) | Short | 9/7/23 | (55,173,336) | 528,375 |
Euro-Bund | (251) | Short | 9/7/23 | (36,704,621) | 430,923 |
Euro-Buxl | (78) | Short | 9/7/23 | (11,541,719) | 137,391 |
Japan 10-Year Bond | (47) | Short | 9/12/23 | (48,498,225) | 346,888 |
U.S. 2-Year Treasury Note | (76) | Short | 9/29/23 | (15,430,375) | 204,250 |
U.S. 5-Year Treasury Note | (306) | Short | 9/29/23 | (32,687,016) | 531,512 |
U.S. 10-Year Treasury Note | (495) | Short | 9/20/23 | (55,146,094) | 807,687 |
$1,773,955 |
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 | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 997,674 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 997,674 |
EUR | 5,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 996,924 |
EUR | 6,070 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 1,082,065 |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,334,673) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,334,673) |
EUR | 5,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (1,336,892) |
EUR | 6,070 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (1,491,712) |
EUR | 2,590 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | (181,846) |
EUR | 10,200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | (351,818) |
USD | 28,400 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (1,123,031) |
21
Global Macro 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 | 9,970 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | $ (401,776) |
USD | 19,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 693,193 |
USD | 9,450 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 340,804 |
USD | 9,950 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 445,803 |
USD | 3,510 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 117,290 |
$(1,884,994) |
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 | 30,240,300 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 9.38% (pays semi-annually) | 1/20/24 | $ 74,986 | $ — | $ 74,986 |
CLP | 105,841,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 9.39% (pays semi-annually) | 1/21/24 | 284,402 | — | 284,402 |
CLP | 53,652,040 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 9.22% (pays semi-annually) | 1/27/24 | 139,114 | — | 139,114 |
CLP | 64,016,800 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 9.26% (pays semi-annually) | 1/28/24 | 190,689 | — | 190,689 |
CLP | 1,456,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.57% (pays semi-annually) | 12/21/27 | (20,659) | — | (20,659) |
CLP | 2,873,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.58% (pays semi-annually) | 12/21/27 | (42,147) | — | (42,147) |
CLP | 2,852,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.64% (pays semi-annually) | 12/21/27 | (50,070) | — | (50,070) |
CLP | 2,851,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.67% (pays semi-annually) | 12/21/27 | (54,166) | — | (54,166) |
CLP | 2,522,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.68% (pays semi-annually) | 12/21/27 | (49,128) | — | (49,128) |
CLP | 1,545,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.69% (pays semi-annually) | 12/21/27 | (30,468) | — | (30,468) |
CLP | 2,148,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.72% (pays semi-annually) | 12/21/27 | (45,976) | — | (45,976) |
22
Global Macro 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) | |
CLP | 2,457,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.74% (pays semi-annually) | 12/21/27 | $ (54,362) | $ — | $ (54,362) |
CLP | 16,042,220 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 203,295 | 5,146 | 208,441 |
CLP | 5,387,780 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 97,706 | — | 97,706 |
CLP | 4,336,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.00% (pays semi-annually) | 6/22/33 | 62,169 | — | 62,169 |
CLP | 4,643,000 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.20% (pays semi-annually) | 6/22/33 | (24,015) | — | (24,015) |
COP | 62,519,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | 1,672,939 | — | 1,672,939 |
COP | 29,306,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (827,720) | — | (827,720) |
COP | 44,982,400 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (1,258,109) | — | (1,258,109) |
COP | 59,477,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (1,632,747) | — | (1,632,747) |
COP | 29,163,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (785,705) | — | (785,705) |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 215,884 | — | 215,884 |
COP | 7,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 210,448 | — | 210,448 |
COP | 2,672,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 74,001 | — | 74,001 |
COP | 14,824,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 405,844 | — | 405,844 |
COP | 8,554,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 232,506 | — | 232,506 |
COP | 2,605,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 69,359 | — | 69,359 |
COP | 7,973,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 205,987 | — | 205,987 |
COP | 11,377,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (208,155) | — | (208,155) |
23
Global Macro 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 | 32,127,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | $ 393,724 | $ — | $ 393,724 |
COP | 34,340,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 366,735 | — | 366,735 |
COP | 4,471,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 10.17% (pays quarterly) | 11/26/25 | (31,533) | (59) | (31,592) |
COP | 54,920,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.26% (pays quarterly) | 6/21/28 | (724,143) | — | (724,143) |
COP | 9,190,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.58% (pays quarterly) | 3/15/33 | (265,638) | — | (265,638) |
COP | 14,433,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.61% (pays quarterly) | 3/15/33 | (424,422) | — | (424,422) |
COP | 8,969,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.67% (pays quarterly) | 3/15/33 | (272,749) | — | (272,749) |
CZK | 223,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.18% (pays annually) | 9/20/28 | 29,383 | — | 29,383 |
CZK | 60,931 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | 9,721 | — | 9,721 |
CZK | 121,861 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 25,974 | — | 25,974 |
CZK | 183,208 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 44,172 | — | 44,172 |
EUR | 2,314 | Pays | 6-month EURIBOR (pays semi-annually) | 3.06% (pays annually) | 10/11/26 | 7,606 | — | 7,606 |
EUR | 789 | Pays | 6-month EURIBOR (pays semi-annually) | 2.99% (pays annually) | 10/26/26 | (152) | — | (152) |
EUR | 2,000 | Receives | 1-day Euro Short-Term Rate (pays annually) | 2.60% (pays annually) | 1/24/28 | 40,197 | (38) | 40,159 |
EUR | 3,629 | Pays | 6-month EURIBOR (pays semi-annually) | 3.03% (pays annually) | 10/10/29 | 31,661 | — | 31,661 |
EUR | 1,200 | Pays | 6-month EURIBOR (pays semi-annually) | 3.17% (pays annually) | 10/17/29 | 21,865 | — | 21,865 |
EUR | 1,781 | Pays | 6-month EURIBOR (pays semi-annually) | 3.01% (pays annually) | 10/27/29 | 11,816 | — | 11,816 |
EUR | 400 | Pays | 6-month EURIBOR (pays semi-annually) | 3.26% (pays annually) | 10/17/32 | 13,127 | — | 13,127 |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.31% (pays annually) | 10/18/32 | 30,499 | — | 30,499 |
EUR | 800 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 10/19/32 | 21,916 | — | 21,916 |
INR | 344,600 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.50% (pays semi-annually) | 9/20/25 | (7,882) | — | (7,882) |
INR | 1,532,400 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.50% (pays semi-annually) | 9/20/25 | (35,049) | — | (35,049) |
24
Global Macro 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) | |
INR | 1,783,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.50% (pays semi-annually) | 9/20/25 | $ (40,781) | $ — | $ (40,781) |
INR | 1,559,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.52% (pays semi-annually) | 9/20/25 | (28,754) | — | (28,754) |
INR | 960,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.52% (pays semi-annually) | 9/20/25 | (17,440) | — | (17,440) |
JPY | 2,838,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.31% (pays annually) | 12/1/27 | (66,789) | — | (66,789) |
JPY | 2,405,000 | Pays | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | 37,408 | — | 37,408 |
JPY | 2,405,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.32% (pays annually) | 12/1/27 | (62,026) | — | (62,026) |
JPY | 173,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (9,126) | — | (9,126) |
JPY | 155,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.28% (pays annually) | 3/15/53 | (9,261) | — | (9,261) |
JPY | 165,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (11,522) | — | (11,522) |
JPY | 512,600 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.29% (pays annually) | 3/15/53 | (37,178) | — | (37,178) |
JPY | 474,500 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (39,533) | — | (39,533) |
JPY | 472,700 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.30% (pays annually) | 3/15/53 | (41,507) | — | (41,507) |
KRW | 5,242,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.57% (pays quarterly) | 6/21/28 | (2,840) | — | (2,840) |
KRW | 5,241,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.60% (pays quarterly) | 6/21/28 | 3,838 | — | 3,838 |
KRW | 5,422,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.61% (pays quarterly) | 6/21/28 | 4,957 | — | 4,957 |
KRW | 1,961,584 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | (39,152) | — | (39,152) |
KRW | 11,880,785 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | (176,000) | — | (176,000) |
KRW | 2,192,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | (29,656) | — | (29,656) |
KRW | 2,103,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | (24,747) | — | (24,747) |
25
Global Macro 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) | |
KRW | 3,373,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | $ (51,495) | $ — | $ (51,495) |
KRW | 2,448,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (34,906) | — | (34,906) |
KRW | 613,331 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | (8,539) | — | (8,539) |
KRW | 3,264,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | (40,619) | — | (40,619) |
KRW | 3,264,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | (38,865) | — | (38,865) |
KRW | 2,915,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | (22,467) | — | (22,467) |
KRW | 2,976,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | 61 | — | 61 |
KRW | 6,013,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 15,275 | — | 15,275 |
KRW | 2,770,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 7,223 | — | 7,223 |
KRW | 2,369,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 6,814 | — | 6,814 |
KRW | 2,806,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | 13,728 | — | 13,728 |
MXN | 433,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 9.19% (pays monthly) | 2/18/28 | 611,362 | — | 611,362 |
PLN | 26,040 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 444,267 | — | 444,267 |
PLN | 82,460 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 1,408,679 | — | 1,408,679 |
PLN | 31,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 247,544 | — | 247,544 |
PLN | 22,700 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.56% (pays annually) | 12/21/27 | (334,599) | — | (334,599) |
PLN | 26,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (517,413) | — | (517,413) |
PLN | 13,580 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (307,466) | — | (307,466) |
PLN | 15,520 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (452,060) | — | (452,060) |
PLN | 45,564 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.70% (pays annually) | 9/20/33 | (74,654) | — | (74,654) |
PLN | 23,476 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.71% (pays annually) | 9/20/33 | (42,630) | — | (42,630) |
26
Global Macro 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) | |
PLN | 14,524 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.82% (pays annually) | 9/20/33 | $ (57,444) | $ — | $ (57,444) |
SEK | 171,112 | Pays | 3-month SEK STIBOR (pays quarterly) | 2.71% (pays annually) | 12/21/27 | 222,430 | — | 222,430 |
SEK | 171,112 | Receives | 3-month SEK STIBOR (pays quarterly) | 2.71% (pays annually) | 12/21/27 | 71,682 | (271,792) | (200,110) |
USD | 4,580 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (26,099) | — | (26,099) |
USD | 6,410 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (31,177) | — | (31,177) |
USD | 6,180 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (27,258) | — | (27,258) |
USD | 5,730 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (24,162) | — | (24,162) |
Total | $(1,290,167) | $(266,743) | $(1,556,910) |
Credit Default Swaps - Sell Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Colombia | $38,800 | 1.00% (pays quarterly)(1) | 1.98% | 6/20/28 | $(1,575,489) | $2,737,799 | $1,162,310 |
Total | $38,800 | $(1,575,489) | $2,737,799 | $1,162,310 |
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) | |
Austria | $8,750 | 1.00% (pays quarterly)(1) | 6/20/28 | $ (340,072) | $ 326,489 | $ (13,583) | |
Finland | 9,100 | 0.25% (pays quarterly)(1) | 6/20/28 | (23,810) | (4,075) | (27,885) | |
France | 41,000 | 0.25% (pays quarterly)(1) | 6/20/28 | (17,278) | (91,647) | (108,925) | |
Germany | 40,250 | 0.25% (pays quarterly)(1) | 6/20/28 | (223,575) | 162,921 | (60,654) | |
Hungary | 9,250 | 1.00% (pays quarterly)(1) | 6/20/28 | 200,197 | (296,013) | (95,816) | |
Malaysia | 54,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,433,163) | 363,432 | (1,069,731) |
27
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps - Buy Protection (Centrally Cleared) (continued) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Malaysia | $80,000 | 1.00% (pays quarterly)(1) | 6/20/28 | $(2,123,205) | $ 640,454 | $ (1,482,751) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | 2,580 | 1.00% (pays quarterly)(1) | 6/20/24 | (16,986) | (70,264) | (87,250) | |
Markit CDX Emerging Markets Index (CDX.EM.39.V1) | 42,400 | 1.00% (pays quarterly)(1) | 6/20/28 | 1,558,294 | (2,756,439) | (1,198,145) | |
Markit CDX North America High Yield Index (CDX.NA.HY.40.V1) | 48,600 | 5.00% (pays quarterly)(1) | 6/20/28 | (2,011,503) | (68,093) | (2,079,596) | |
Philippines | 40,800 | 1.00% (pays quarterly)(1) | 6/20/28 | (619,939) | (174,438) | (794,377) | |
Poland | 37,800 | 1.00% (pays quarterly)(1) | 6/20/28 | (571,407) | (73,273) | (644,680) | |
Qatar | 12,396 | 1.00% (pays quarterly)(1) | 12/20/23 | (59,230) | 34,045 | (25,185) | |
Qatar | 18,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (539,247) | 403,713 | (135,534) | |
Saudi Arabia | 116,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (2,754,677) | 1,578,685 | (1,175,992) | |
South Africa | 155,820 | 1.00% (pays quarterly) | 6/20/28 | 8,131,526 | (11,198,628) | (3,067,102) | |
South Africa | 23,540 | 1.00% (pays quarterly)(1) | 6/20/29 | 1,870,202 | (2,023,452) | (153,250) | |
South Africa | 9,666 | 1.00% (pays quarterly)(1) | 6/20/31 | 1,178,107 | (1,162,638) | 15,469 | |
Spain | 56,300 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,346,427) | 1,213,159 | (133,268) | |
United Kingdom | 40,000 | 1.00% (pays quarterly)(1) | 6/20/28 | (1,307,845) | 1,251,768 | (56,077) | |
Total | $(450,038) | $(11,944,294) | $(12,394,332) |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Goldman Sachs International | $9,100 | 1.00% (pays quarterly)(1) | 0.44% | 6/20/24 | $54,679 | $(24,124) | $30,555 |
Total | $9,100 | $54,679 | $(24,124) | $30,555 |
28
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Default Swaps - Buy Protection (OTC) | |||||||
Reference Entity | Counterparty | Notional Amount (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Czech Republic | JPMorgan Chase Bank, N.A. | $ 9,250 | 1.00% (pays quarterly)(1) | 6/20/28 | $ (279,544) | $ 260,516 | $ (19,028) |
Dubai | Barclays Bank PLC | 3,357 | 1.00% (pays quarterly)(1) | 12/20/24 | (35,634) | (15,489) | (51,123) |
Dubai | Barclays Bank PLC | 5,058 | 1.00% (pays quarterly)(1) | 12/20/24 | (53,690) | (23,357) | (77,047) |
Qatar | Goldman Sachs International | 3,700 | 1.00% (pays quarterly)(1) | 12/20/23 | (17,782) | (488) | (18,270) |
Qatar | Goldman Sachs International | 3,090 | 1.00% (pays quarterly)(1) | 9/20/24 | (34,532) | 301 | (34,231) |
Qatar | Nomura International PLC | 9,620 | 1.00% (pays quarterly)(1) | 9/20/24 | (107,507) | 3,756 | (103,751) |
Romania | Barclays Bank PLC | 9,820 | 1.00% (pays quarterly)(1) | 6/20/28 | 287,311 | (510,565) | (223,254) |
Saudi Arabia | Barclays Bank PLC | 14,533 | 1.00% (pays quarterly)(1) | 6/20/31 | (289,152) | (211,180) | (500,332) |
Saudi Arabia | Goldman Sachs International | 28,800 | 1.00% (pays quarterly)(1) | 6/20/33 | (473,848) | (91,755) | (565,603) |
South Africa | Goldman Sachs International | 16,600 | 1.00% (pays quarterly)(1) | 12/20/28 | 1,098,813 | (1,238,574) | (139,761) |
Sweden | Barclays Bank PLC | 19,250 | 0.25% (pays quarterly)(1) | 6/20/28 | (92,572) | 63,133 | (29,439) |
Total | $1,863 | $(1,763,702) | $(1,761,839) |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At July 31, 2023, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $47,900,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Total Return Swaps (OTC) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | USD | 144,000 | Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | $(159,317) |
BNP Paribas | USD | 54,000 | Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination) | Excess Return on Bloomberg Commodity Index + 0.13% (pays upon termination) | 8/25/23 | (59,337) |
29
Global Macro Portfolio
July 31, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Total Return Swaps (OTC) (continued) | ||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Citibank, N.A. | KRW | 21,000 | Positive Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | 9/14/23 | $ 22,434 |
Citibank, N.A. | KRW | 6,250 | Positive Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | Negative Return on KOSPI 200 Index Futures 9/2023 (pays upon termination) | 9/14/23 | (7,019) |
$(203,239) |
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 3,452,164,660 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 98,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $121,853 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,333,595,340 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 42,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (188,943) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 4,064,683,520 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 128,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (645,128) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 757,813,425 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 23,700 (pays semi-annually)* | Not Applicable/ 4/20/32 | (81,441) |
$(793,659) |
(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: | |
CMT | – Constant Maturity Treasury |
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. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
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 |
STIBOR | – Stockholm Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
ALL | – Albanian Lek |
AMD | – Armenian Dram |
ARS | – Argentine Peso |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
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Consolidated Portfolio of Investments (Unaudited) — continued
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EGP | – Egyptian Pound |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
ILS | – Israeli Shekel |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KES | – Kenyan Shilling |
KRW | – South Korean Won |
LKR | – Sri Lankan Rupee |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NGN | – Nigerian Naira |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
SEK | – Swedish Krona |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
UGX | – Ugandan Shilling |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at July 31, 2023 were $15,247,449 or 0.8% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including commodity futures contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.
Credit Risk: The Portfolio enters into credit default swap contracts and swaptions to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Equity Price Risk: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps, inflation swaps, cross-currency swaps and option contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
At July 31, 2023, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
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Consolidated Portfolio of Investments (Unaudited) — continued
Restricted Securities
At July 31, 2023, the Portfolio owned the following securities (representing 0.6% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued by the investment adviser as the Trustees’ valuation designee.
Description | Date(s) of Acquisition | Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re, Ltd., Series A-1 | 12/30/20 | 4,400 | $4,400,000 | $ 4,231,033 |
Sussex Capital, Ltd., Designated Investment Series 16, 12/21 | 11/30/22 | 817 | 811,902 | 130,946 |
Sussex Capital, Ltd., Designated Investment Series 16, 11/22 | 1/24/22 | 793 | 792,084 | 463,526 |
Sussex Capital, Ltd., Series 16, Preference Shares | 6/1/21 | 5,500 | 3,896,014 | 5,490,573 |
Total Restricted Securities | $9,900,000 | $10,316,078 |
Affiliated Investments
At July 31, 2023, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $265,755,581, which represents 14.6% 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 | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $205,847,417 | $1,040,452,384 | $(980,544,220) | $ — | $ — | $265,755,581 | $3,939,575 | 265,755,581 |
(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 |
Collateralized Mortgage Obligations | $ — | $ 54,245,074 | $ — | $ 54,245,074 |
Common Stocks | 577,502 | 55,023,391* | 459,184 | 56,060,077 |
Convertible Bonds | — | 2,468,114 | — | 2,468,114 |
Foreign Corporate Bonds | — | 63,255,449 | 0 | 63,255,449 |
Loan Participation Notes | — | — | 23,437,484 | 23,437,484 |
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Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Reinsurance Side Cars | $ — | $ — | $13,832,260 | $ 13,832,260 |
Senior Floating-Rate Loans | — | 15,811,517 | 420,225 | 16,231,742 |
Sovereign Government Bonds | — | 817,261,337 | — | 817,261,337 |
Sovereign Loans | — | 66,285,552 | — | 66,285,552 |
U.S. Government Agency Mortgage-Backed Securities | — | 32,376,449 | — | 32,376,449 |
U.S. Government Guaranteed Small Business Administration Loans | — | 10,512,121 | — | 10,512,121 |
U.S. Treasury Obligations | — | 126,642,029 | — | 126,642,029 |
Warrants | 92,810 | — | — | 92,810 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 265,755,581 | — | — | 265,755,581 |
Repurchase Agreements | — | 66,365,774 | — | 66,365,774 |
Sovereign Government Securities | — | 7,676,449 | — | 7,676,449 |
U.S. Treasury Obligations | — | 128,576,534 | — | 128,576,534 |
Purchased Currency Options | — | 2,824,794 | — | 2,824,794 |
Purchased Credit Default Swaptions | — | 40,656 | — | 40,656 |
Total Investments | $266,425,893 | $1,449,365,240 | $38,149,153 | $1,753,940,286 |
Forward Foreign Currency Exchange Contracts | $ — | $ 9,705,889 | $ — | $ 9,705,889 |
Non-Deliverable Bond Forward Contracts | — | 113,479 | — | 113,479 |
Futures Contracts | 7,699,500 | 149,330 | — | 7,848,830 |
Swap Contracts | — | 28,477,836 | — | 28,477,836 |
Total | $274,125,393 | $1,487,811,774 | $38,149,153 | $1,800,086,320 |
Liability Description | ||||
Securities Sold Short | $ — | $ (69,477,688) | $ — | $ (69,477,688) |
Written Currency Options | — | (94,831) | — | (94,831) |
Forward Foreign Currency Exchange Contracts | — | (25,013,839) | — | (25,013,839) |
Non-Deliverable Bond Forward Contracts | — | (23,258) | — | (23,258) |
Futures Contracts | (5,223,612) | (851,263) | — | (6,074,875) |
Swap Contracts | — | (34,618,880) | — | (34,618,880) |
Total | $ (5,223,612) | $ (130,079,759) | $ — | $ (135,303,371) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars* | Senior Floating-Rate Loans | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Balance as of October 31, 2022 | $327,036 | $0 | $41,080,024 | $11,925,129 | $425,756 | $52,679,548 | $4,103,850 | $110,541,343 |
Realized gains (losses) | — | — | (3,934,929) | — | 43,288 | — | — | (3,891,641) |
Change in net unrealized appreciation (depreciation) | 132,148 | — | 3,371,226 | 2,125,209 | 9,509 | — | — | 5,638,092 |
Cost of purchases | — | — | 10,216,259 | 4,403,987 | — | — | — | 14,620,246 |
Proceeds from sales, including return of capital | — | — | (27,333,227) | (4,622,065) | (92,675) | — | — | (32,047,967) |
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Common Stocks | Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars* | Senior Floating-Rate Loans | Sovereign Government Bonds | Sovereign Government Securities | Total | |
Accrued discount (premium) | — | — | 38,131 | — | 34,347 | — | — | 72,478 |
Transfers to Level 3 | — | — | — | — | — | — | — | — |
Transfers from Level 3(1) | — | — | — | — | — | (52,679,548) | (4,103,850) | (56,783,398) |
Balance as of July 31, 2023 | $459,184 | $0 | $ 23,437,484 | $13,832,260 | $420,225 | $ — | $ — | $ 38,149,153 |
Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2023 | $132,148 | $ — | $ 1,648,424 | $ 1,810,000 | $(27,332) | $ — | $ — | $ 3,563,240 |
* | 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.
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* |
Common Stocks | $459,184 | Market Approach | EBITDA Multiple Discount Rate | 15% | Decrease |
Foreign Corporate Bonds | 0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 23,437,484 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 4.92% - 8.32%** | Decrease |
Senior Floating-Rate Loans | 420,225 | Market Approach | Discount Rate | 10% | 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 6.46% 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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