Eaton Vance
Strategic Income Fund
January 31, 2024 (Unaudited)
Eaton Vance Strategic Income Fund (the Fund) (formerly, Eaton Vance Short Duration Strategic Income Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, currently pursues its investment objective by investing substantially all of its investable assets in interests in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates and in shares of Eaton Vance Emerging Markets Debt Opportunities Fund (the Affiliated Investment Fund). The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2024, the Fund owned 14.8% of Emerging Markets Local Income Portfolio’s outstanding interests, 29.7% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 98.8% of Global Opportunities Portfolio’s outstanding interests, 14.9% of High Income Opportunities Portfolio’s outstanding interests and 1.6% of Senior Debt Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at January 31, 2024 is set forth below.
1
Eaton Vance
Strategic Income Fund
January 31, 2024
Portfolio of Investments (Unaudited)
Investments in Affiliated Portfolios (the Portfolios) |
Description | Value | % of Net Assets | |
Emerging Markets Local Income Portfolio | |||
(identified cost $187,169,949) | $ 186,814,178 | 4.0% | |
Global Macro Absolute Return Advantage Portfolio | |||
(identified cost $761,934,788) | 782,775,903 | 16.7 | |
Global Opportunities Portfolio | |||
(identified cost $3,342,926,123) | 3,247,514,225 | 69.3 | |
High Income Opportunities Portfolio | |||
(identified cost $188,675,228) | 185,468,978 | 3.9 | |
Senior Debt Portfolio | |||
(identified cost $89,574,074) | 92,524,297 | 2.0 | |
Total Investments in Affiliated Portfolios (identified cost $4,570,280,162) | $4,495,097,581 | 95.9% |
Investments in Affiliated Investment Funds |
Security | Shares | Value | % of Net Assets |
Fixed Income Funds | |||
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | 24,458,923 | $ 184,664,871 | 4.0% |
Total Investments in Affiliated Investment Funds (identified cost $202,802,737) | $ 184,664,871 | 4.0% | |
Total Investments (identified cost $4,773,082,899) | $4,679,762,452 | 99.9% | |
Other Assets, Less Liabilities | $ 6,507,003 | 0.1% | |
Net Assets | $4,686,269,455 | 100.0% |
Affiliated Investments
At January 31, 2024, the value of the Fund's investment in affiliated funds was $184,664,871, which represents 4.0% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended January 31, 2024 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6 | $154,109,514 | $24,524,470 | $ — | $ — | $6,030,887 | $184,664,871 | $3,886,470 | 24,458,923 |
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 January 31, 2024, the hierarchy of inputs used in valuing the Fund's investments in securities and investments in the Portfolios, which are carried at fair value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Investments in Portfolios | $4,495,097,581 | $ — | $ — | $4,495,097,581 |
Investments in Affiliated Investment Funds | 184,664,871 | — | — | 184,664,871 |
Total Investments | $4,679,762,452 | $ — | $ — | $4,679,762,452 |
2
Eaton Vance
Strategic Income Fund
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Name Change
Effective January 16, 2024, the Fund changed its name from Eaton Vance Short Duration Strategic Income Fund to Eaton Vance Strategic Income Fund, and amended its principal investment strategy to no longer limit its average duration under normal market conditions to 3.5 years or less.
For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.
The Global Opportunities Portfolio’s Portfolio of Investments is set forth below. A copy of each of the other Portfolio’s and Affiliated Investment Fund’s Part F to Form N-PORT (containing a Portfolio of Investments) at January 31, 2024 is available by calling Eaton Vance at 1-800-262-1122 or in EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.
3
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited)
Asset-Backed Securities — 10.4% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | $ | 2,027 | $ 2,030,070 |
Alinea CLO Ltd., Series 2018-1A, Class E, 11.579%, (3 mo. SOFR + 6.262%), 7/20/31(1)(2) | 2,000 | 1,938,152 | |
Allegany Park CLO Ltd., Series 2019-1A, Class ER, 11.718%, (3 mo. SOFR + 6.40%), 1/20/35(1)(2) | 1,000 | 963,136 | |
AMMC CLO XII Ltd., Series 2013-12A, Class ER, 11.811%, (3 mo. SOFR + 6.442%), 11/10/30(1)(2) | 2,000 | 1,842,832 | |
AMSR Trust, Series 2021-SFR1, Class G, 4.612%, 6/17/38(1) | 2,250 | 1,931,677 | |
ARES LVIII CLO Ltd., Series 2020-58A, Class ER, 12.014%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | 2,000 | 1,958,130 | |
ARES XXXIIR CLO Ltd., Series 2014-32RA, Class D, 11.491%, (3 mo. SOFR + 6.112%), 5/15/30(1)(2) | 4,000 | 3,784,320 | |
ARES XXXVR CLO Ltd., Series 2015-35RA, Class E, 11.276%, (3 mo. SOFR + 5.962%), 7/15/30(1)(2) | 3,000 | 2,847,945 | |
Atlas Senior Loan Fund XX Ltd., Series 2022-20A, Class B1, 8.46%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 6,000 | 6,047,778 | |
Bain Capital Credit CLO Ltd., Series 2018-1A, Class E, 10.927%, (3 mo. SOFR + 5.612%), 4/23/31(1)(2) | 3,500 | 3,242,561 | |
Barings CLO Ltd., Series 2018-1A, Class D, 11.076%, (3 mo. SOFR + 5.762%), 4/15/31(1)(2) | 5,000 | 4,663,910 | |
Battalion CLO XXII Ltd., Series 2021-22A, Class D, 8.929%, (3 mo. SOFR + 3.612%), 1/20/35(1)(2) | 2,000 | 1,924,740 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class DR, 11.179%, (3 mo. SOFR + 5.862%), 1/20/31(1)(2) | 5,000 | 4,708,640 | |
Benefit Street Partners CLO XIV Ltd., Series 2018-14A, Class E, 10.929%, (3 mo. SOFR + 5.612%), 4/20/31(1)(2) | 3,000 | 2,902,662 | |
Benefit Street Partners CLO XVI Ltd.: | |||
Series 2018-16A, Class DR, 8.578%, (3 mo. SOFR + 3.262%), 1/17/32(1)(2) | 2,000 | 2,002,308 | |
Series 2018-16A, Class E, 12.278%, (3 mo. SOFR + 6.962%), 1/17/32(1)(2) | 2,000 | 2,008,412 | |
Benefit Street Partners CLO XXII Ltd.: | |||
Series 2020-22A, Class DR, 8.668%, (3 mo. SOFR + 3.35%), 4/20/35(1)(2) | 2,000 | 1,984,738 | |
Series 2020-22A, Class ER, 12.248%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 2,000 | 2,006,080 | |
Benefit Street Partners CLO XXV Ltd., Series 2021-25A, Class E, 12.426%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 1,000 | 1,004,422 |
Security | Principal Amount (000's omitted) | Value | |
Betony CLO 2 Ltd., Series 2018-1A, Class D, 11.229%, (3 mo. SOFR + 5.912%), 4/30/31(1)(2) | $ | 3,000 | $ 2,860,632 |
BlueMountain CLO Ltd.: | |||
Series 2015-3A, Class A1R, 6.579%, (3 mo. SOFR + 1.262%), 4/20/31(1)(2) | 3,016 | 3,018,587 | |
Series 2015-3A, Class DR, 10.979%, (3 mo. SOFR + 5.662%), 4/20/31(1)(2) | 2,000 | 1,830,258 | |
Series 2016-3A, Class ER, 11.591%, (3 mo. SOFR + 6.212%), 11/15/30(1)(2) | 1,000 | 936,612 | |
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class D1R, 9.079%, (3 mo. SOFR + 3.762%), 10/20/34(1)(2) | 3,500 | 3,466,039 | |
BlueMountain CLO XXX Ltd., Series 2020-30A, Class ER, 12.014%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,922,496 | |
BlueMountain CLO XXXIV Ltd., Series 2022-34A, Class E, 12.868%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | 1,000 | 997,387 | |
BlueMountain CLO XXXV Ltd., Series 2022-35A, Class E, 13.068%, (3 mo. SOFR + 7.75%), 7/22/35(1)(2) | 2,000 | 2,007,388 | |
Canyon Capital CLO Ltd.: | |||
Series 2016-1A, Class ER, 11.326%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 4,000 | 3,725,368 | |
Series 2016-2A, Class ER, 11.576%, (3 mo. SOFR + 6.262%), 10/15/31(1)(2) | 1,000 | 944,304 | |
Series 2017-1A, Class E, 11.826%, (3 mo. SOFR + 6.512%), 7/15/30(1)(2) | 1,000 | 955,200 | |
Series 2018-1A, Class E, 11.326%, (3 mo. SOFR + 6.012%), 7/15/31(1)(2) | 2,000 | 1,881,048 | |
Series 2022-1A, Class D, 8.517%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,900 | 1,854,731 | |
Carlyle C17 CLO Ltd., Series C17A, Class DR, 11.579%, (3 mo. SOFR + 6.262%), 4/30/31(1)(2) | 3,000 | 2,873,229 | |
Carlyle Global Market Strategies CLO Ltd.: | |||
Series 2012-3A, Class DR2, 12.076%, (3 mo. SOFR + 6.762%), 1/14/32(1)(2) | 1,000 | 960,711 | |
Series 2014-3RA, Class D, 10.981%, (3 mo. SOFR + 5.662%), 7/27/31(1)(2) | 2,000 | 1,867,662 | |
Carlyle U.S. CLO Ltd.: | |||
Series 2019-4A, Class CR, 8.514%, (3 mo. SOFR + 3.20%), 4/15/35(1)(2) | 1,750 | 1,723,869 | |
Series 2019-4A, Class DR, 11.914%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,941,672 | |
Series 2022-AA, Class C, 8.868%, (3 mo. SOFR + 3.55%), 4/20/35(1)(2) | 3,000 | 3,004,815 | |
CarVal CLO IV Ltd., Series 2021-1A, Class E, 12.179%, (3 mo. SOFR + 6.862%), 7/20/34(1)(2) | 1,000 | 1,002,555 |
4
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
CFMT LLC: | |||
Series 2023-HB11, Class M3, 4.00%, 2/25/37(1)(3) | $ | 7,600 | $ 6,504,313 |
Series 2023-HB11, Class M4, 4.00%, 2/25/37(1)(3) | 2,075 | 1,685,974 | |
Series 2023-HB12, Class M4, 4.25%, 4/25/33(1)(3) | 11,000 | 8,765,927 | |
CIFC Funding Ltd., Series 2017-3A, Class A1, 6.799%, (3 mo. SOFR + 1.482%), 7/20/30(1)(2) | 857 | 857,716 | |
Crown City CLO III, Series 2021-1A, Class C, 8.879%, (3 mo. SOFR + 3.562%), 7/20/34(1)(2) | 1,000 | 948,895 | |
Dryden CLO Ltd., Series 2018-55A, Class E, 10.976%, (3 mo. SOFR + 5.662%), 4/15/31(1)(2) | 1,000 | 931,478 | |
Dryden Senior Loan Fund, Series 2016-42A, Class ER, 11.126%, (3 mo. SOFR + 5.812%), 7/15/30(1)(2) | 2,000 | 1,863,818 | |
Elmwood CLO 14 Ltd., Series 2022-1A, Class D, 8.468%, (3 mo. SOFR + 3.15%), 4/20/35(1)(2) | 2,000 | 2,002,188 | |
Elmwood CLO 17 Ltd., Series 2022-4A, Class E, 12.467%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 2,010,048 | |
FIGRE Trust, Series 2023-HE3, Class A, 6.436%, 1/25/42(1) | 6,511 | 6,630,413 | |
FirstKey Homes Trust: | |||
Series 2021-SFR1, Class F2, 3.452%, 8/17/38(1) | 3,712 | 3,308,816 | |
Series 2021-SFR1, Class F3, 3.686%, 8/17/38(1) | 4,339 | 3,824,672 | |
Series 2021-SFR1, Class G, 3.835%, 8/17/38(1) | 5,939 | 5,154,899 | |
FMC GMSR Issuer Trust, Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 6,250 | 6,421,499 | |
Galaxy 31 CLO Ltd., Series 2023-31A, Class D, 10.564%, (3 mo. SOFR + 5.25%), 4/15/36(1)(2) | 2,300 | 2,348,974 | |
Galaxy XXI CLO Ltd.: | |||
Series 2015-21A, Class DR, 8.229%, (3 mo. SOFR + 2.912%), 4/20/31(1)(2) | 5,000 | 4,976,095 | |
Series 2015-21A, Class ER, 10.829%, (3 mo. SOFR + 5.512%), 4/20/31(1)(2) | 4,000 | 3,824,400 | |
Golub Capital Partners 48 LP, Series 2020-48A, Class D, 9.378%, (3 mo. SOFR + 4.062%), 4/17/33(1)(2) | 3,000 | 2,956,128 | |
Golub Capital Partners CLO 22B Ltd., Series 2015-22A, Class ER, 11.579%, (3 mo. SOFR + 6.262%), 1/20/31(1)(2) | 3,000 | 2,968,284 | |
Golub Capital Partners CLO 37B Ltd.: | |||
Series 2018-37A, Class D, 8.879%, (3 mo. SOFR + 3.562%), 7/20/30(1)(2) | 1,500 | 1,488,137 | |
Series 2018-37A, Class E, 11.329%, (3 mo. SOFR + 6.012%), 7/20/30(1)(2) | 3,000 | 3,008,835 | |
Golub Capital Partners CLO 50B-R Ltd., Series 2020-50A, Class ER, 12.418%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 2,009,830 |
Security | Principal Amount (000's omitted) | Value | |
Golub Capital Partners CLO 53B Ltd.: | |||
Series 2021-53A, Class D, 8.629%, (3 mo. SOFR + 3.312%), 7/20/34(1)(2) | $ | 2,000 | $ 1,998,650 |
Series 2021-53A, Class E, 12.279%, (3 mo. SOFR + 6.962%), 7/20/34(1)(2) | 1,000 | 993,963 | |
Golub Capital Partners CLO 60B Ltd., Series 2022-60A, Class D, 9.095%, (3 mo. SOFR + 3.77%), 10/25/34(1)(2) | 1,800 | 1,801,825 | |
HalseyPoint CLO 5 Ltd., Series 2021-5A, Class D, 9.079%, (3 mo. SOFR + 3.762%), 1/30/35(1)(2) | 3,500 | 3,405,476 | |
Harriman Park CLO Ltd., Series 2020-1A, Class ER, 11.979%, (3 mo. SOFR + 6.662%), 4/20/34(1)(2) | 1,000 | 1,003,849 | |
Highbridge Loan Management, Series 3A-2014, Class DR, 12.06%, (3 mo. SOFR + 6.762%), 7/18/29(1)(2) | 2,750 | 2,588,080 | |
Home Partners of America Trust, Series 2021-2, Class F, 3.799%, 12/17/26(1) | 23,675 | 21,164,695 | |
ICG U.S. CLO Ltd., Series 2018-2A, Class E, 11.329%, (3 mo. SOFR + 6.012%), 7/22/31(1)(2) | 1,000 | 916,966 | |
KKR SFR Warehouse Participation, 8.836%, (30-day SOFR Average + 3.50%), 12/13/24(2) | 13,475 | 13,427,725 | |
Loandepot GMSR Master Trust, Series 2018-GT1, Class A, 8.998%, (1 mo. SOFR + 3.664%), 10/16/25(1)(2) | 4,000 | 3,845,461 | |
Madison Park Funding XVII Ltd., Series 2015-17A, Class ER, 12.079%, (3 mo. SOFR + 6.762%), 7/21/30(1)(2) | 2,500 | 2,463,998 | |
Madison Park Funding XXXVI Ltd.: | |||
Series 2019-36A, Class D1R, 8.814%, (3 mo. SOFR + 3.50%), 4/15/35(1)(2) | 1,000 | 1,001,550 | |
Series 2019-36A, Class ER, 12.364%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 2,000 | 2,005,190 | |
Marble Point CLO XXIV Ltd., Series 2022-1A, Class D1, 9.558%, (3 mo. SOFR + 4.24%), 4/20/35(1)(2) | 2,000 | 1,948,958 | |
Mountain View CLO LLC, Series 2017-2A, Class AR, 6.616%, (3 mo. SOFR + 1.302%), 1/16/31(1)(2) | 5,806 | 5,807,255 | |
Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class ER, 11.638%, (3 mo. SOFR + 6.322%), 10/17/30(1)(2) | 2,000 | 2,005,458 | |
Neuberger Berman Loan Advisers CLO 30 Ltd., Series 2018-30A, Class ER, 11.779%, (3 mo. SOFR + 6.462%), 1/20/31(1)(2) | 2,000 | 1,979,404 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2022-49A, Class E, 12.325%, (3 mo. SOFR + 7.00%), 7/25/34(1)(2) | 2,000 | 2,006,080 | |
NewRez Warehouse Securitization Trust: | |||
Series 2021-1, Class E, 8.70%, (1 mo. SOFR + 3.364%), 5/25/55(1)(2) | 3,813 | 3,837,491 |
5
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
NewRez Warehouse Securitization Trust: (continued) | |||
Series 2021-1, Class F, 10.70%, (1 mo. SOFR + 5.364%), 5/25/55(1)(2) | $ | 1,950 | $ 1,964,800 |
Northwoods Capital XI-B Ltd., Series 2018-11B1, Class A1, 6.671%, (3 mo. SOFR + 1.362%), 4/19/31(1)(2) | 9,505 | 9,508,664 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FNT1, Class A, 2.981%, 3/25/26(1) | 635 | 596,843 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 2,460 | 2,292,665 | |
Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40(1) | 4,500 | 3,071,634 | |
Palmer Square CLO Ltd.: | |||
Series 2015-1A, Class DR4, 12.129%, (3 mo. SOFR + 6.762%), 5/21/34(1)(2) | 2,000 | 1,992,300 | |
Series 2018-1A, Class D, 10.71%, (3 mo. SOFR + 5.412%), 4/18/31(1)(2) | 4,000 | 3,951,316 | |
Series 2021-2A, Class E, 11.926%, (3 mo. SOFR + 6.612%), 7/15/34(1)(2) | 1,000 | 1,004,985 | |
Series 2022-1A, Class D, 8.368%, (3 mo. SOFR + 3.05%), 4/20/35(1)(2) | 2,450 | 2,452,629 | |
PMT Issuer Trust - FMSR, Series 2022-FT1, Class A, 9.534%, (30-day SOFR Average + 4.19%), 6/25/27(1)(2) | 3,000 | 3,023,648 | |
Regatta IX Funding Ltd., Series 2017-1A, Class E, 11.578%, (3 mo. SOFR + 6.262%), 4/17/30(1)(2) | 3,000 | 2,930,655 | |
Regatta XIII Funding Ltd., Series 2018-2A, Class D, 11.526%, (3 mo. SOFR + 6.212%), 7/15/31(1)(2) | 3,000 | 2,820,915 | |
Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | 10,000 | 6,853,141 | |
Sandstone Peak Ltd., Series 2021-1A, Class D, 9.126%, (3 mo. SOFR + 3.812%), 10/15/34(1)(2) | 4,000 | 3,891,660 | |
Shackleton CLO Ltd., Series 2015-7RA, Class AR, 6.726%, (3 mo. SOFR + 1.412%), 7/15/31(1)(2) | 10,729 | 10,752,178 | |
STAR Trust: | |||
Series 2021-SFR1, Class G, 8.649%, (1 mo. SOFR + 3.314%), 4/17/38(1)(2) | 2,494 | 2,374,739 | |
Series 2021-SFR1, Class H, 9.899%, (1 mo. SOFR + 4.564%), 4/17/38(1)(2) | 1,600 | 1,461,339 | |
Steele Creek CLO Ltd., Series 2014-1RA, Class A, 6.649%, (3 mo. SOFR + 1.332%), 4/21/31(1)(2) | 6,372 | 6,375,377 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 11.829%, (3 mo. SOFR + 6.512%), 7/20/31(1)(2) | 2,000 | 1,657,748 | |
VINE Trust, Series 2023-SFR1, Class E1, 4.75%, 12/17/40(1) | 15,000 | 13,537,371 | |
Voya CLO Ltd.: | |||
Series 2013-1A, Class DR, 12.056%, (3 mo. SOFR + 6.742%), 10/15/30(1)(2) | 5,000 | 4,191,185 |
Security | Principal Amount (000's omitted) | Value | |
Voya CLO Ltd.: (continued) | |||
Series 2014-1A, Class DR2, 11.56%, (3 mo. SOFR + 6.262%), 4/18/31(1)(2) | $ | 2,000 | $ 1,848,186 |
Series 2015-3A, Class DR, 11.779%, (3 mo. SOFR + 6.462%), 10/20/31(1)(2) | 2,000 | 1,741,922 | |
Series 2017-4A, Class A1, 6.706%, (3 mo. SOFR + 1.392%), 10/15/30(1)(2) | 3,519 | 3,521,069 | |
Series 2018-2A, Class E, 10.826%, (3 mo. SOFR + 5.512%), 7/15/31(1)(2) | 1,000 | 900,438 | |
Wellfleet CLO Ltd.: | |||
Series 2016-2A, Class A1R, 6.719%, (3 mo. SOFR + 1.402%), 10/20/28(1)(2) | 361 | 361,412 | |
Series 2019-1A, Class CR, 9.129%, (3 mo. SOFR + 3.812%), 7/20/32(1)(2) | 2,500 | 2,418,403 | |
Series 2021-2A, Class E, 12.536%, (3 mo. SOFR + 7.222%), 7/15/34(1)(2) | 1,000 | 909,859 | |
Series 2022-1A, Class E, 13.174%, (3 mo. SOFR + 7.86%), 4/15/34(1)(2) | 2,000 | 1,931,220 | |
Series 2022-2A, Class E, 13.858%, (3 mo. SOFR + 8.56%), 10/18/35(1)(2) | 2,000 | 2,008,388 | |
Total Asset-Backed Securities (identified cost $343,080,542) | $ 340,607,178 |
Closed-End Funds — 0.2% |
Security | Shares | Value | |
Nuveen Global High Income Fund | 83,400 | $ 1,048,338 | |
PGIM Global High Yield Fund, Inc. | 430,326 | 4,901,413 | |
Western Asset High Income Opportunity Fund, Inc. | 383,997 | 1,512,948 | |
Total Closed-End Funds (identified cost $8,409,895) | $ 7,462,699 |
Collateralized Mortgage Obligations — 32.5% |
Security | Principal Amount (000's omitted) | Value | |
Angel Oak Mortgage Trust I LLC, Series 2019-1, Class B1, 5.40%, 11/25/48(1)(3) | $ | 3,939 | $ 3,914,182 |
Brean Asset-Backed Securities Trust, Series 2023-RM6, Class A1, 5.25% to 1/25/28, 1/25/63(1)(4) | 3,866 | 3,668,426 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 2,792 | 2,553,194 | |
CHNGE Mortgage Trust: | |||
Series 2022-4, Class A1, 6.00% to 9/25/24, 10/25/57(1)(4) | 11,607 | 11,564,695 | |
Series 2022-NQ, Class M1, 5.82% to 8/25/25, 6/25/67(1)(4) | 1,764 | 1,794,523 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class B2, 5.786%, 5/25/65(1)(3) | 4,273 | 4,225,517 |
6
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
FARM Mortgage Trust: | |||
Series 2022-1, Class B, 2.947%, 1/25/52(1)(3) | $ | 2,632 | $ 1,895,935 |
Series 2023-1, Class B, 3.034%, 3/25/52(1)(3) | 2,646 | 1,911,629 | |
Federal Home Loan Mortgage Corp.: | |||
Series 2182, Class ZC, 7.50%, 9/15/29 | 33 | 33,681 | |
Series 4273, Class SP, 0.00%, (11.695% - 30-day SOFR Average x 2.667, Floor 0.00%), 11/15/43(5) | 516 | 431,702 | |
Series 5071, Class SP, 0.00%, (3.30% - 30-day SOFR Average, Floor 0.00%), 2/25/51(5) | 4,319 | 1,819,512 | |
Series 5083, Class SK, 0.00%, (3.867% - 30-day SOFR Average x 1.333, Floor 0.00%), 3/25/51(5) | 3,411 | 2,048,724 | |
Series 5139, Class DZ, 2.50%, 9/25/51 | 2,064 | 1,207,935 | |
Series 5144, Class Z, 2.50%, 9/25/51 | 7,618 | 4,632,394 | |
Series 5150, Class QZ, 2.50%, 10/25/51 | 2,658 | 1,610,469 | |
Series 5150, Class ZJ, 2.50%, 10/25/51 | 4,282 | 2,596,926 | |
Series 5152, Class ZP, 3.00%, 7/25/50 | 10,234 | 6,253,062 | |
Series 5159, Class ZP, 3.00%, 11/25/51 | 867 | 555,277 | |
Series 5159, Class ZT, 3.00%, 11/25/51 | 1,538 | 1,035,677 | |
Series 5163, Class Z, 3.00%, 11/25/51 | 1,087 | 665,075 | |
Series 5168, Class MZ, 3.00%, 10/25/51 | 2,069 | 1,367,102 | |
Series 5300, Class EY, 6.00%, 12/25/52 | 10,900 | 11,334,398 | |
Series 5324, Class MZ, 6.00%, 7/25/53 | 3,443 | 3,603,287 | |
Series 5327, Class B, 6.00%, 8/25/53 | 20,000 | 20,699,362 | |
Interest Only:(6) | |||
Series 380, Class C1, 3.00%, 1/25/50 | 30,086 | 5,231,966 | |
Series 380, Class C5, 3.50%, 1/25/50 | 9,362 | 1,689,136 | |
Series 2631, Class DS, 1.64%, (6.986% - 30-day SOFR Average), 6/15/33(5) | 355 | 8,317 | |
Series 2956, Class SL, 1.54%, (6.886% - 30-day SOFR Average), 6/15/32(5) | 433 | 34,867 | |
Series 3114, Class TS, 1.19%, (6.536% - 30-day SOFR Average), 9/15/30(5) | 942 | 37,856 | |
Series 3153, Class JI, 1.16%, (6.506% - 30-day SOFR Average), 5/15/36(5) | 1,110 | 83,413 | |
Series 4007, Class JI, 4.00%, 2/15/42 | 532 | 82,662 | |
Series 4067, Class JI, 3.50%, 6/15/27 | 1,204 | 44,290 | |
Series 4070, Class S, 0.64%, (5.986% - 30-day SOFR Average), 6/15/32(5) | 4,354 | 290,047 | |
Series 4095, Class HS, 0.64%, (5.986% - 30-day SOFR Average), 7/15/32(5) | 817 | 33,243 | |
Series 4109, Class ES, 0.69%, (6.036% - 30-day SOFR Average), 12/15/41(5) | 81 | 8,800 | |
Series 4109, Class SA, 0.74%, (6.086% - 30-day SOFR Average), 9/15/32(5) | 1,974 | 123,375 | |
Series 4149, Class S, 0.79%, (6.136% - 30-day SOFR Average), 1/15/33(5) | 1,374 | 97,359 | |
Series 4163, Class GS, 0.74%, (6.086% - 30-day SOFR Average), 11/15/32(5) | 1,238 | 79,256 | |
Series 4169, Class AS, 0.79%, (6.136% - 30-day SOFR Average), 2/15/33(5) | 1,795 | 109,751 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 4188, Class AI, 3.50%, 4/15/28 | $ | 1,009 | $ 32,185 |
Series 4189, Class SQ, 0.69%, (6.036% - 30-day SOFR Average), 12/15/42(5) | 481 | 51,757 | |
Series 4203, Class QS, 0.79%, (6.136% - 30-day SOFR Average), 5/15/43(5) | 1,277 | 84,838 | |
Series 4332, Class IK, 4.00%, 4/15/44 | 449 | 71,436 | |
Series 4343, Class PI, 4.00%, 5/15/44 | 1,366 | 224,960 | |
Series 4370, Class IO, 3.50%, 9/15/41 | 182 | 4,209 | |
Series 4381, Class SK, 0.69%, (6.036% - 30-day SOFR Average), 6/15/44(5) | 1,275 | 116,099 | |
Series 4388, Class MS, 0.64%, (5.986% - 30-day SOFR Average), 9/15/44(5) | 1,237 | 136,238 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 1,902 | 246,097 | |
Series 4497, Class CS, 0.74%, (6.086% - 30-day SOFR Average), 9/15/44(5) | 1,014 | 19,069 | |
Series 4507, Class MI, 3.50%, 8/15/44 | 563 | 22,368 | |
Series 4507, Class SJ, 0.72%, (6.066% - 30-day SOFR Average), 9/15/45(5) | 3,527 | 390,740 | |
Series 4520, Class PI, 4.00%, 8/15/45 | 8,401 | 1,089,287 | |
Series 4528, Class BS, 0.69%, (6.036% - 30-day SOFR Average), 7/15/45(5) | 1,695 | 164,835 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,762 | 348,658 | |
Series 4637, Class IP, 3.50%, 4/15/44 | 206 | 6,652 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,575 | 223,581 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 1,590 | 314,416 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 1,264 | 250,423 | |
Series 4768, Class IO, 4.00%, 3/15/48 | 1,547 | 308,514 | |
Series 5051, Class S, 0.00%, (3.60% - 30-day SOFR Average, Floor 0.00%), 12/25/50(5) | 17,762 | 631,441 | |
Series 5070, Class CI, 2.00%, 2/25/51 | 38,045 | 5,018,146 | |
Series 5156, Class IP, 3.00%, 12/25/49 | 19,578 | 3,082,546 | |
Series 5236, Class TI, 3.00%, 1/25/51 | 71,429 | 12,120,038 | |
Principal Only:(7) | |||
Series 4417, Class KO, 0.00%, 12/15/43 | 539 | 356,612 | |
Series 4478, Class PO, 0.00%, 5/15/45 | 829 | 611,168 | |
Federal Home Loan Mortgage Corp. STACR REMICS Trust: | |||
Series 2019-HQA3, Class B2, 12.959%, (30-day SOFR Average + 7.614%), 9/25/49(1)(2) | 1,250 | 1,414,423 | |
Series 2020-DNA6, Class B2, 10.995%, (30-day SOFR Average + 5.65%), 12/25/50(1)(2) | 6,900 | 7,480,351 | |
Series 2021-DNA3, Class B2, 11.595%, (30-day SOFR Average + 6.25%), 10/25/33(1)(2) | 6,500 | 7,428,605 | |
Series 2021-DNA5, Class B2, 10.845%, (30-day SOFR Average + 5.50%), 1/25/34(1)(2) | 14,500 | 15,753,637 | |
Series 2021-DNA6, Class B2, 12.845%, (30-day SOFR Average + 7.50%), 10/25/41(1)(2) | 16,140 | 17,438,439 | |
Federal National Mortgage Association: | |||
Series G94-7, Class PJ, 7.50%, 5/17/24 | 1 | 853 | |
Series 1994-42, Class K, 6.50%, 4/25/24 | 1 | 1,173 |
7
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2009-62, Class WA, 5.583%, 8/25/39(3) | $ | 559 | $ 564,886 |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 503 | 440,215 | |
Series 2021-56, Class GZ, 3.00%, 7/25/51 | 1,364 | 869,421 | |
Series 2021-56, Class LZ, 2.50%, 9/25/51 | 5,537 | 3,483,136 | |
Series 2021-61, Class LZ, 2.50%, 9/25/51 | 3,846 | 2,343,946 | |
Series 2021-61, Class Z, 2.50%, 9/25/51 | 8,169 | 4,982,719 | |
Series 2021-77, Class WZ, 3.00%, 8/25/50 | 422 | 250,821 | |
Series 2023-12, Class LW, 6.00%, 4/25/53 | 11,482 | 11,940,614 | |
Series 2023-14, Class EL, 6.00%, 4/25/53 | 63,163 | 65,842,539 | |
Interest Only:(6) | |||
Series 2004-46, Class SI, 0.541%, (5.886% - 30-day SOFR Average), 5/25/34(5) | 936 | 36,130 | |
Series 2005-17, Class SA, 1.241%, (6.586% - 30-day SOFR Average), 3/25/35(5) | 899 | 84,498 | |
Series 2005-71, Class SA, 1.291%, (6.636% - 30-day SOFR Average), 8/25/25(5) | 17 | 82 | |
Series 2005-105, Class S, 1.241%, (6.586% - 30-day SOFR Average), 12/25/35(5) | 748 | 73,312 | |
Series 2006-44, Class IS, 1.141%, (6.486% - 30-day SOFR Average), 6/25/36(5) | 658 | 58,166 | |
Series 2006-65, Class PS, 1.761%, (7.106% - 30-day SOFR Average), 7/25/36(5) | 647 | 80,517 | |
Series 2006-96, Class SN, 1.741%, (7.086% - 30-day SOFR Average), 10/25/36(5) | 691 | 54,197 | |
Series 2006-104, Class SD, 1.181%, (6.526% - 30-day SOFR Average), 11/25/36(5) | 695 | 69,663 | |
Series 2006-104, Class SE, 1.171%, (6.516% - 30-day SOFR Average), 11/25/36(5) | 463 | 46,160 | |
Series 2007-50, Class LS, 0.991%, (6.336% - 30-day SOFR Average), 6/25/37(5) | 1,000 | 90,235 | |
Series 2008-26, Class SA, 0.741%, (6.086% - 30-day SOFR Average), 4/25/38(5) | 1,086 | 108,670 | |
Series 2008-61, Class S, 0.641%, (5.986% - 30-day SOFR Average), 7/25/38(5) | 1,931 | 133,815 | |
Series 2011-101, Class IC, 3.50%, 10/25/26 | 495 | 12,464 | |
Series 2011-101, Class IE, 3.50%, 10/25/26 | 363 | 9,000 | |
Series 2011-104, Class IM, 3.50%, 10/25/26 | 667 | 17,643 | |
Series 2012-52, Class DI, 3.50%, 5/25/27 | 1,471 | 53,553 | |
Series 2012-124, Class IO, 1.618%, 11/25/42(3) | 2,462 | 114,165 | |
Series 2012-139, Class LS, 0.694%, (6.036% - 30-day SOFR Average), 12/25/42(5) | 2,429 | 338,600 | |
Series 2012-147, Class SA, 0.641%, (5.986% - 30-day SOFR Average), 1/25/43(5) | 2,815 | 282,405 | |
Series 2012-150, Class PS, 0.691%, (6.036% - 30-day SOFR Average), 1/25/43(5) | 3,612 | 363,021 | |
Series 2012-150, Class SK, 0.691%, (6.036% - 30-day SOFR Average), 1/25/43(5) | 4,174 | 440,889 | |
Series 2013-11, Class IO, 4.00%, 1/25/43 | 8,562 | 1,041,513 | |
Series 2013-12, Class SP, 0.191%, (5.536% - 30-day SOFR Average), 11/25/41(5) | 417 | 6,601 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2013-15, Class DS, 0.741%, (6.086% - 30-day SOFR Average), 3/25/33(5) | $ | 3,270 | $ 193,828 |
Series 2013-23, Class CS, 0.791%, (6.136% - 30-day SOFR Average), 3/25/33(5) | 1,682 | 101,895 | |
Series 2013-64, Class PS, 0.791%, (6.136% - 30-day SOFR Average), 4/25/43(5) | 1,835 | 126,912 | |
Series 2013-66, Class JI, 3.00%, 7/25/43 | 3,015 | 471,218 | |
Series 2013-75, Class SC, 0.791%, (6.136% - 30-day SOFR Average), 7/25/42(5) | 2,417 | 56,796 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 711 | 122,619 | |
Series 2014-41, Class SA, 0.591%, (5.936% - 30-day SOFR Average), 7/25/44(5) | 1,164 | 167,955 | |
Series 2014-43, Class PS, 0.641%, (5.986% - 30-day SOFR Average), 3/25/42(5) | 1,013 | 64,861 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 1,804 | 344,163 | |
Series 2014-64, Class BI, 3.50%, 3/25/44 | 185 | 5,109 | |
Series 2014-67, Class IH, 4.00%, 10/25/44 | 1,144 | 248,664 | |
Series 2014-80, Class CI, 3.50%, 12/25/44 | 1,240 | 241,859 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,864 | 361,904 | |
Series 2015-6, Class IM, 0.00%, (5.181% - 30-day SOFR Average x 1.333, Floor 0.00%), 6/25/43(5) | 1,960 | 9,377 | |
Series 2015-14, Class KI, 3.00%, 3/25/45 | 2,208 | 357,081 | |
Series 2015-22, Class GI, 3.50%, 4/25/45 | 664 | 122,135 | |
Series 2015-31, Class SG, 0.641%, (5.986% - 30-day SOFR Average), 5/25/45(5) | 2,466 | 433,599 | |
Series 2015-36, Class IL, 3.00%, 6/25/45 | 1,491 | 215,778 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 3,038 | 587,770 | |
Series 2015-93, Class BS, 0.691%, (6.036% - 30-day SOFR Average), 8/25/45(5) | 1,307 | 69,324 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 3,953 | 701,488 | |
Series 2021-94, Class CI, 3.00%, 1/25/52 | 11,277 | 1,878,845 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R04, Class 2B1, 10.709%, (30-day SOFR Average + 5.364%), 6/25/39(1)(2) | 15,510 | 16,628,495 | |
Series 2019-R06, Class 2B1, 9.209%, (30-day SOFR Average + 3.864%), 9/25/39(1)(2) | 897 | 931,884 | |
Series 2021-R01, Class 1B2, 11.345%, (30-day SOFR Average + 6.00%), 10/25/41(1)(2) | 8,500 | 8,966,568 | |
FIGRE Trust, Series 2023-HE2, Class A, 6.512%, 5/25/53(1)(3) | 5,138 | 5,252,487 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32(1)(3) | 1,000 | 657,411 | |
Flagstar Mortgage Trust: | |||
Series 2023-10IN, Class B4, 3.511%, 10/25/51(1)(3) | 6,863 | 5,138,276 | |
Series 2023-6INV, Class B4, 3.486%, 8/25/51(1)(3) | 4,178 | 3,183,907 | |
FREED Mortgage Trust, Series 2022-HE1, Class A, 7.00%, 10/25/37(1) | 2,705 | 2,728,121 |
8
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: | |||
Series 2021-136, Class Z, 2.50%, 8/20/51 | $ | 8,860 | $ 5,350,807 |
Series 2021-139, Class ZJ, 2.50%, 8/20/51 | 1,716 | 1,179,875 | |
Series 2021-154, Class ZC, 2.50%, 9/20/51 | 1,784 | 1,081,658 | |
Series 2021-154, Class ZL, 3.00%, 9/20/51 | 2,878 | 1,686,170 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 14,782 | 8,951,691 | |
Series 2022-31, Class ZD, 3.00%, 2/20/52 | 285 | 116,452 | |
Series 2022-173, Class S, 3.134%, (22.733% - 30-day SOFR Average x 3.667), 10/20/52(5) | 7,503 | 7,465,643 | |
Series 2022-189, Class US, 3.134%, (22.733% - 30-day SOFR Average x 3.667), 11/20/52(5) | 10,967 | 11,086,262 | |
Series 2022-195, Class AS, 3.348%, (23.125% - 30-day SOFR Average x 3.70), 11/20/52(5) | 4,761 | 5,141,362 | |
Series 2022-197, Class SW, 3.491%, (16.32% - 30-day SOFR Average x 2.40), 11/20/52(5) | 8,606 | 8,608,881 | |
Series 2023-47, Class HS, 7.00%, 1/1/54 | 1,033 | 1,046,186 | |
Series 2023-53, Class AL, 5.50%, 4/20/53 | 20,000 | 19,754,618 | |
Series 2023-53, Class SE, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 4/20/53(5) | 19,276 | 19,812,092 | |
Series 2023-56, Class ZE, 6.00%, 4/20/53 | 16,546 | 17,473,736 | |
Series 2023-63, Class LB, 6.00%, 5/20/53 | 12,347 | 12,922,004 | |
Series 2023-63, Class S, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53(5) | 37,279 | 37,439,491 | |
Series 2023-64, Class LB, 6.00%, 5/20/53 | 5,036 | 5,270,910 | |
Series 2023-65, Class SB, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53(5) | 7,567 | 7,733,327 | |
Series 2023-65, Class SD, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53(5) | 15,043 | 15,734,252 | |
Series 2023-66, Class S, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53(5) | 6,873 | 7,058,471 | |
Series 2023-66, Class SD, 2.951%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53(5) | 6,135 | 6,163,440 | |
Series 2023-83, Class S, 2.664%, (22.868% - 30-day SOFR Average x 3.78), 6/20/53(5) | 7,758 | 7,686,228 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 5,478 | 5,694,064 | |
Series 2023-84, Class SN, 2.77%, (22.387% - 30-day SOFR Average x 3.67), 6/20/53(5) | 8,169 | 8,144,897 | |
Series 2023-89, Class SD, 2.584%, (22.183% - 30-day SOFR Average x 3.667), 6/20/53(5) | 9,160 | 9,071,013 | |
Series 2023-96, Class BL, 6.00%, 7/20/53 | 10,000 | 10,393,765 | |
Series 2023-96, Class DB, 6.00%, 7/20/53 | 8,000 | 8,315,628 | |
Series 2023-97, Class CB, 6.00%, 7/20/53 | 20,000 | 20,691,228 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 3,000 | 3,118,570 | |
Series 2023-100, Class AY, 6.00%, 7/20/53 | 13,236 | 13,758,415 | |
Series 2023-100, Class JL, 6.00%, 7/20/53 | 11,099 | 11,535,945 | |
Series 2023-116, Class CY, 6.00%, 8/20/53 | 2,618 | 2,719,714 | |
Series 2023-133, Class S, 5.564%, (21.60% - 30-day SOFR Average x 3.00), 9/20/53(5) | 14,891 | 15,613,870 | |
Series 2023-146, Class BY, 6.00%, 10/20/53 | 5,318 | 5,488,782 | |
Series 2023-149, Class S, 5.414%, (21.45% - 30-day SOFR Average x 3.00), 10/20/53(5) | 9,193 | 9,894,249 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-150, Class AS, 6.948%, (27.528% - 30-day SOFR Average x 3.85), 10/20/53(5) | $ | 5,231 | $ 5,672,604 |
Series 2023-153, Class SM, 6.619%, (28.00% - 30-day SOFR Average x 4.00), 10/20/53(5) | 15,800 | 17,126,954 | |
Series 2023-164, Class EL, 6.00%, 11/20/53 | 9,325 | 9,652,155 | |
Series 2023-165, Class DY, 6.00%, 11/20/53 | 81,056 | 83,252,111 | |
Series 2023-165, Class EY, 6.50%, 11/20/53 | 25,000 | 26,313,702 | |
Series 2023-169, Class JW, 6.50%, 11/20/53 | 5,000 | 5,273,872 | |
Series 2023-173, Class AX, 6.00%, 11/20/53 | 8,555 | 8,844,489 | |
Series 2023-182, Class EL, 6.00%, 12/20/53 | 12,883 | 13,325,046 | |
Series 2023-186, Class HL, 6.00%, 12/20/53 | 5,445 | 5,614,126 | |
Series 2024-1, Class GL, 6.00%, 1/20/54 | 2,500 | 2,598,723 | |
Series 2024-3, Class CY, 6.00%, 1/20/54 | 2,073 | 2,155,492 | |
Series 2024-6, Class CB, 6.00%, 1/20/54 | 5,000 | 5,197,809 | |
Series 2024-6, Class LB, 6.00%, 1/20/54 | 6,784 | 7,052,605 | |
Interest Only:(6) | |||
Series 2014-68, Class KI, 0.00%, 10/20/42(3) | 2,377 | 91,177 | |
Series 2017-104, Class SD, 0.749%, (6.086% - 1 mo. SOFR), 7/20/47(5) | 4,223 | 482,179 | |
Series 2017-121, Class DS, 0.00%, (4.386% - 1 mo. SOFR, Floor 0.00%), 8/20/47(5) | 2,800 | 118,083 | |
Series 2017-137, Class AS, 0.00%, (4.386% - 1 mo. SOFR, Floor 0.00%), 9/20/47(5) | 3,893 | 160,114 | |
Series 2020-116, Class MI, 2.00%, 8/20/50 | 16,587 | 2,158,910 | |
Series 2020-134, Class LI, 2.50%, 9/20/50 | 7,402 | 1,012,407 | |
Series 2020-146, Class IQ, 2.00%, 10/20/50 | 17,076 | 1,908,125 | |
Series 2020-146, Class QI, 2.00%, 10/20/50 | 9,041 | 998,535 | |
Series 2020-149, Class NI, 2.50%, 10/20/50 | 13,416 | 1,793,333 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 50,290 | 6,155,374 | |
Series 2020-151, Class HI, 2.50%, 10/20/50 | 1,171 | 156,369 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 11,898 | 1,583,684 | |
Series 2020-167, Class KI, 2.00%, 11/20/50 | 27,777 | 3,100,728 | |
Series 2020-173, Class DI, 2.00%, 11/20/50 | 20,974 | 2,522,464 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 29,056 | 3,885,636 | |
Series 2020-185, Class BI, 2.00%, 12/20/50 | 7,184 | 826,765 | |
Series 2020-191, Class AI, 2.00%, 12/20/50 | 26,909 | 3,093,510 | |
Series 2021-15, Class AI, 2.00%, 1/20/51 | 30,897 | 3,728,542 | |
Series 2021-23, Class TI, 2.50%, 2/20/51 | 11,146 | 1,427,614 | |
Series 2021-30, Class AI, 2.00%, 2/20/51 | 3,791 | 452,064 | |
Series 2021-46, Class IM, 2.50%, 3/20/51 | 2,525 | 330,510 | |
Series 2021-56, Class SE, 0.00%, (2.30% - 30-day SOFR Average, Floor 0.00%), 10/20/50(5) | 5,239 | 70,378 | |
Series 2021-77, Class SB, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 5/20/51(5) | 12,040 | 382,153 | |
Series 2021-97, Class IG, 2.50%, 8/20/49 | 36,467 | 3,960,741 | |
Series 2021-114, Class MI, 3.00%, 6/20/51 | 9,128 | 1,416,171 |
9
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2021-121, Class TI, 3.00%, 7/20/51 | $ | 33,099 | $ 4,224,248 |
Series 2021-122, Class NI, 3.00%, 7/20/51 | 6,091 | 927,843 | |
Series 2021-125, Class SA, 0.00%, (3.636% - 1 mo. SOFR, Floor 0.00%), 7/20/51(5) | 15,932 | 486,466 | |
Series 2021-154, Class MI, 3.00%, 9/20/51 | 45,392 | 5,846,879 | |
Series 2021-160, Class IT, 2.50%, 9/20/51 | 16,900 | 1,807,818 | |
Series 2021-175, Class AS, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | 25,562 | 202,311 | |
Series 2021-175, Class SB, 0.00%, (1.686% - 1 mo. SOFR, Floor 0.00%), 10/20/51(5) | 12,949 | 102,673 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 40,925 | 5,304,799 | |
Series 2021-193, Class YS, 0.00%, (2.45% - 30-day SOFR Average, Floor 0.00%), 11/20/51(5) | 24,823 | 244,978 | |
Series 2021-201, Class PI, 3.00%, 11/20/51 | 25,562 | 2,800,693 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 18,164 | 2,242,392 | |
Series 2022-104, Class IO, 2.50%, 6/20/51 | 24,653 | 3,306,483 | |
Series 2022-119, Class CS, 0.00%, (3.00% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 204,387 | 1,767,212 | |
Series 2022-119, Class SC, 0.00%, (3.00% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 22,710 | 196,357 | |
Series 2022-119, Class TA, 0.00%, (3.90% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 45,419 | 315,783 | |
Series 2022-119, Class TI, 0.00%, (3.85% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 454,193 | 2,973,105 | |
Series 2022-126, Class AS, 0.00%, (3.69% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 60,948 | 951,761 | |
Series 2022-126, Class SC, 0.00%, (3.73% - 30-day SOFR Average, Floor 0.00%), 7/20/52(5) | 45,419 | 728,653 | |
Series 2022-135, Class SA, 0.00%, (3.00% - 30-day SOFR Average, Floor 0.00%), 6/20/52(5) | 127,095 | 1,245,599 | |
Series 2023-13, Class SA, 0.055%, (5.40% - 30-day SOFR Average), 1/20/53(5) | 15,753 | 409,721 | |
Series 2023-19, Class SD, 0.955%, (6.30% - 30-day SOFR Average), 2/20/53(5) | 20,031 | 1,011,973 | |
Series 2023-20, Class HS, 0.955%, (6.30% - 30-day SOFR Average), 2/20/53(5) | 14,011 | 728,417 | |
Series 2023-22, Class ES, 0.955%, (6.30% - 30-day SOFR Average), 2/20/53(5) | 18,682 | 971,223 | |
Series 2023-22, Class SA, 0.355%, (5.70% - 30-day SOFR Average), 2/20/53(5) | 30,690 | 965,834 | |
Series 2023-24, Class SB, 0.00%, (5.15% - 30-day SOFR Average, Floor 0.00%), 2/20/53(5) | 37,363 | 1,006,451 | |
Series 2023-24, Class SG, 0.955%, (6.30% - 30-day SOFR Average), 2/20/53(5) | 18,682 | 971,223 | |
Series 2023-32, Class SA, 0.955%, (6.30% - 30-day SOFR Average), 2/20/53(5) | 63,050 | 3,277,878 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2023-38, Class LS, 0.955%, (6.30% - 30-day SOFR Average), 3/20/53(5) | $ | 60,334 | $ 3,138,551 |
Series 2023-38, Class SD, 0.905%, (6.25% - 30-day SOFR Average), 3/20/53(5) | 90,608 | 3,905,861 | |
Series 2023-38, Class SG, 0.855%, (6.20% - 30-day SOFR Average), 3/20/53(5) | 46,839 | 2,336,334 | |
Series 2023-47, Class HS, 0.955%, (6.30% - 30-day SOFR Average), 3/20/53(5) | 20,111 | 1,046,184 | |
Series 2023-47, Class SC, 0.905%, (6.25% - 30-day SOFR Average), 3/20/53(5) | 30,099 | 1,534,120 | |
Series 2023-53, Class SK, 0.855%, (6.20% - 30-day SOFR Average), 4/20/53(5) | 38,210 | 1,937,277 | |
GS Mortgage-Backed Securities Trust: | |||
Series 2022-PJ6, Class B4, 3.184%, 1/25/53(1)(3) | 1,934 | 1,104,629 | |
Series 2024-PJ1, Class B3, 7.324%, 6/25/54(1)(3) | 5,777 | 5,965,402 | |
LHOME Mortgage Trust: | |||
Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | 2,775 | 2,811,394 | |
Series 2023-RTL3, Class A1, 8.00% to 3/25/26, 8/25/28(1)(4) | 13,700 | 13,890,623 | |
Series 2023-RTL4, Class A1, 7.628% to 8/25/25, 11/25/28(1)(4) | 13,631 | 13,734,931 | |
Mello Warehouse Securitization Trust, Series 2021-3, Class E, 8.70%, (1 mo. SOFR + 3.364%), 11/25/55(1)(2) | 1,500 | 1,502,717 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67(1)(4) | 876 | 889,709 | |
NYMT Loan Trust, Series 2024-BPL1, Class A1, 7.154% to 7/25/26, 2/25/29(1)(4) | 11,820 | 11,788,469 | |
PNMAC GMSR Issuer Trust: | |||
2024 Participation, 11.13%, (30-day SOFR Average + 5.75%), 12/14/24(2) | 4,095 | 4,104,246 | |
Series 2022-GT1, Class A, 9.595%, (30-day SOFR Average + 4.25%), 5/25/27(1)(2) | 6,000 | 6,056,647 | |
Series 2018-GT2, Class A, 8.851%, (1 mo. SOFR + 3.515%), 8/25/25(1)(2) | 2,793 | 2,799,340 | |
PRPM LLC, Series 2024-RCF1, Class A3, 4.00% to 1/25/26, 1/25/54(1)(4) | 2,700 | 2,432,677 | |
Radnor RE Ltd., Series 2022-1, Class M1A, 9.095%, (30-day SOFR Average + 3.75%), 9/25/32(1)(2) | 6,142 | 6,242,229 | |
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3) | 52,605 | 48,638,850 | |
Total Collateralized Mortgage Obligations (identified cost $1,136,813,369) | $1,067,402,654 |
10
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Commercial Mortgage-Backed Securities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
CSMC Trust, Series 2022-NWPT, Class A, 8.476%, (1 mo. SOFR + 3.143%), 9/9/24(1)(2) | $ | 4,200 | $ 4,239,421 |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.711%, 9/15/47(1)(3) | 3,430 | 2,408,508 | |
Series 2014-C25, Class D, 4.08%, 11/15/47(1)(3) | 8,045 | 3,634,793 | |
Med Trust, Series 2021-MDLN, Class E, 8.598%, (1 mo. SOFR + 3.264%), 11/15/38(1)(2) | 5,265 | 5,175,609 | |
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,000 | 2,702,241 | |
Total Commercial Mortgage-Backed Securities (identified cost $23,183,215) | $ 18,160,572 |
Common Stocks — 0.2% |
Security | Shares | Value | |
Bermuda — 0.1% | |||
Liberty Latin America Ltd., Class A(8) | 105,100 | $ 739,904 | |
$ 739,904 | |||
Bulgaria — 0.1% | |||
Eurohold Bulgaria AD(8) | 5,131,967 | $ 3,672,955 | |
$ 3,672,955 | |||
Canada — 0.0%(9) | |||
Canacol Energy Ltd. | 147,000 | $ 677,898 | |
$ 677,898 | |||
Iceland — 0.0%(9) | |||
Siminn Hf. | 2,023,336 | $ 157,860 | |
$ 157,860 | |||
Total Common Stocks (identified cost $6,377,492) | $ 5,248,617 |
Convertible Bonds — 2.6% |
Security | Principal Amount (000's omitted) | Value | |
Bermuda — 0.1% | |||
Jazz Investments I Ltd., 2.00%, 6/15/26 | USD | 1,305 | $ 1,316,745 |
NCL Corp. Ltd., 1.125%, 2/15/27 | USD | 1,335 | 1,190,687 |
$ 2,507,432 |
Security | Principal Amount (000's omitted) | Value | |
Canada — 0.0%(9) | |||
Shopify, Inc., 0.125%, 11/1/25 | USD | 460 | $ 441,600 |
$ 441,600 | |||
Cayman Islands — 0.2% | |||
Herbalife Ltd., 2.625%, 3/15/24 | USD | 870 | $ 866,710 |
Li Auto, Inc., 0.25%, 5/1/28 | USD | 660 | 795,273 |
Poseidon Finance 1 Ltd., 0.00%, 2/1/25(10) | USD | 1,010 | 1,015,302 |
Sea Ltd., 2.375%, 12/1/25 | USD | 1,440 | 1,378,800 |
ZTO Express Cayman, Inc., 1.50%, 9/1/27 | USD | 1,085 | 984,366 |
$ 5,040,451 | |||
China — 0.1% | |||
Meituan, 0.00%, 4/27/27(10) | USD | 3,400 | $ 3,127,150 |
Sunac China Holdings Ltd., 1.00%, 9/30/32(10)(11) | USD | 255 | 14,043 |
$ 3,141,193 | |||
France — 0.0%(9) | |||
Veolia Environnement SA, 0.00%, 1/1/25(10) | EUR | 1,650 | $ 574,504 |
$ 574,504 | |||
Germany — 0.0%(9) | |||
Deutsche Post AG, 0.05%, 6/30/25(10) | EUR | 800 | $ 844,428 |
$ 844,428 | |||
India — 0.1% | |||
Indiabulls Housing Finance Ltd., 4.50%, 9/28/26(10) | USD | 1,325 | $ 1,326,484 |
$ 1,326,484 | |||
Israel — 0.0%(9) | |||
Nice Ltd., 0.00%, 9/15/25 | USD | 635 | $ 611,505 |
$ 611,505 | |||
Luxembourg — 0.0%(9) | |||
Citigroup Global Markets Funding Luxembourg SCA, 0.00%, 7/25/24(10) | HKD | 6,000 | $ 743,133 |
$ 743,133 | |||
Netherlands — 0.0%(9) | |||
STMicroelectronics NV, Series A, 0.00%, 8/4/25(10) | USD | 400 | $ 450,859 |
$ 450,859 | |||
South Africa — 0.0%(9) | |||
HTA Group Ltd., 2.875%, 3/18/27(10) | USD | 600 | $ 518,440 |
$ 518,440 |
11
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
South Korea — 0.0%(9) | |||
LG Chem Ltd., 1.60%, 7/18/30(10) | USD | 900 | $ 831,375 |
$ 831,375 | |||
Spain — 0.0%(9) | |||
Cellnex Telecom SA, 0.50%, 7/5/28(10) | EUR | 500 | $ 575,994 |
$ 575,994 | |||
United Arab Emirates — 0.0%(9) | |||
Abu Dhabi National Oil Co., 0.70%, 6/4/24(10) | USD | 400 | $ 392,901 |
$ 392,901 | |||
United States — 2.1% | |||
Airbnb, Inc., 0.00%, 3/15/26 | USD | 1,475 | $ 1,342,250 |
Akamai Technologies, Inc., 1.125%, 2/15/29(1) | USD | 2,065 | 2,297,312 |
Alnylam Pharmaceuticals, Inc., 1.00%, 9/15/27 | USD | 905 | 874,502 |
Amphastar Pharmaceuticals, Inc., 2.00%, 3/15/29(1) | USD | 550 | 614,955 |
Ares Capital Corp., 4.625%, 3/1/24 | USD | 840 | 878,850 |
Axon Enterprise, Inc., 0.50%, 12/15/27 | USD | 720 | 885,960 |
Bentley Systems, Inc., 0.125%, 1/15/26 | USD | 1,125 | 1,107,450 |
BILL Holdings, Inc., 0.00%, 12/1/25 | USD | 970 | 909,375 |
BioMarin Pharmaceutical, Inc., 1.25%, 5/15/27 | USD | 1,250 | 1,250,750 |
BlackLine, Inc., 0.00%, 3/15/26 | USD | 825 | 736,828 |
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | USD | 500 | 449,750 |
Block, Inc., 0.125%, 3/1/25 | USD | 1,165 | 1,125,739 |
Bloom Energy Corp., 3.00%, 6/1/28(1) | USD | 860 | 798,166 |
Burlington Stores, Inc., 2.25%, 4/15/25 | USD | 845 | 910,995 |
Cable One, Inc., 0.00%, 3/15/26 | USD | 800 | 687,600 |
Carnival Corp., 5.75%, 12/1/27 | USD | 430 | 655,535 |
Ceridian HCM Holding, Inc., 0.25%, 3/15/26 | USD | 740 | 672,956 |
Cloudflare, Inc., 0.00%, 8/15/26 | USD | 1,000 | 895,250 |
Confluent, Inc., 0.00%, 1/15/27(1) | USD | 1,085 | 906,626 |
CryoPort, Inc., 0.75%, 12/1/26(1) | USD | 820 | 673,466 |
Cytokinetics, Inc., 3.50%, 7/1/27 | USD | 665 | 1,143,002 |
Datadog, Inc., 0.125%, 6/15/25 | USD | 865 | 1,228,732 |
Dexcom, Inc., 0.375%, 5/15/28(1) | USD | 1,400 | 1,413,300 |
DraftKings Holdings, Inc., 0.00%, 3/15/28 | USD | 1,025 | 866,125 |
Dropbox, Inc., 0.00%, 3/1/26 | USD | 1,065 | 1,080,975 |
Duke Energy Corp., 4.125%, 4/15/26(1) | USD | 1,105 | 1,103,342 |
Enphase Energy, Inc., 0.00%, 3/1/26 | USD | 875 | 784,875 |
Envista Holdings Corp., 1.75%, 8/15/28(1) | USD | 920 | 838,120 |
Etsy, Inc., 0.25%, 6/15/28 | USD | 870 | 686,256 |
Euronet Worldwide, Inc., 0.75%, 3/15/49 | USD | 460 | 441,140 |
Evolent Health, Inc., 3.50%, 12/1/29(1) | USD | 585 | 641,745 |
Exact Sciences Corp., 0.375%, 3/1/28 | USD | 1,565 | 1,383,147 |
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Expedia Group, Inc., 0.00%, 2/15/26 | USD | 720 | $ 681,352 |
Federal Realty OP LP, 3.25%, 1/15/29(1) | USD | 675 | 668,854 |
Five9, Inc., 0.50%, 6/1/25 | USD | 460 | 440,450 |
Ford Motor Co., 0.00%, 3/15/26 | USD | 1,600 | 1,566,960 |
Glencore Funding LLC, 0.00%, 3/27/25(10) | USD | 600 | 621,015 |
Halozyme Therapeutics, Inc., 1.00%, 8/15/28 | USD | 955 | 868,477 |
Insmed, Inc., 0.75%, 6/1/28 | USD | 905 | 985,998 |
Integra LifeSciences Holdings Corp., 0.50%, 8/15/25 | USD | 460 | 433,780 |
InterDigital, Inc.: | |||
2.00%, 6/1/24 | USD | 250 | 322,656 |
3.50%, 6/1/27 | USD | 455 | 650,650 |
Ionis Pharmaceuticals, Inc., 0.00%, 4/1/26 | USD | 1,335 | 1,423,777 |
Lantheus Holdings, Inc., 2.625%, 12/15/27 | USD | 240 | 249,600 |
Liberty Broadband Corp., 3.125%, 3/31/53(1) | USD | 675 | 666,563 |
Live Nation Entertainment, Inc., 2.00%, 2/15/25 | USD | 640 | 673,600 |
Lumentum Holdings, Inc., 0.50%, 6/15/28 | USD | 665 | 534,062 |
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27 | USD | 770 | 681,450 |
Match Group Financeco 3, Inc., 2.00%, 1/15/30(1) | USD | 750 | 669,825 |
Merit Medical Systems, Inc., 3.00%, 2/1/29(1) | USD | 585 | 658,710 |
MongoDB, Inc., 0.25%, 1/15/26 | USD | 500 | 968,250 |
NextEra Energy Partners LP, 2.50%, 6/15/26(1) | USD | 1,230 | 1,110,075 |
NRG Energy, Inc., 2.75%, 6/1/48 | USD | 1,055 | 1,395,237 |
NuVasive, Inc., 0.375%, 3/15/25 | USD | 805 | 758,466 |
Okta, Inc., 0.125%, 9/1/25 | USD | 900 | 831,150 |
ON Semiconductor Corp., 0.50%, 3/1/29(1) | USD | 1,510 | 1,471,495 |
Palo Alto Networks, Inc., 0.375%, 6/1/25 | USD | 720 | 2,451,651 |
Post Holdings, Inc., 2.50%, 8/15/27 | USD | 765 | 797,895 |
PPL Capital Funding, Inc., 2.875%, 3/15/28(1) | USD | 925 | 885,225 |
Rapid7, Inc., 0.25%, 3/15/27 | USD | 840 | 756,000 |
Rivian Automotive, Inc., 4.625%, 3/15/29(1) | USD | 835 | 893,257 |
Sarepta Therapeutics, Inc., 1.25%, 9/15/27 | USD | 1,120 | 1,265,600 |
Shift4 Payments, Inc., 0.50%, 8/1/27 | USD | 980 | 913,262 |
Shockwave Medical, Inc., 1.00%, 8/15/28(1) | USD | 695 | 731,835 |
Snap, Inc., 0.00%, 5/1/27 | USD | 1,150 | 927,935 |
Southwest Airlines Co., 1.25%, 5/1/25 | USD | 620 | 638,755 |
Splunk, Inc., 1.125%, 9/15/25 | USD | 1,250 | 1,393,125 |
Spotify USA, Inc., 0.00%, 3/15/26 | USD | 775 | 694,594 |
Tyler Technologies, Inc., 0.25%, 3/15/26 | USD | 890 | 899,345 |
Uber Technologies, Inc., 0.00%, 12/15/25 | USD | 1,335 | 1,387,688 |
Western Digital Corp., 3.00%, 11/15/28(1) | USD | 930 | 1,208,535 |
Wolfspeed, Inc., 1.875%, 12/1/29 | USD | 1,395 | 805,613 |
12
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
United States (continued) | |||
Ziff Davis, Inc., 1.75%, 11/1/26 | USD | 530 | $ 502,175 |
Zscaler, Inc., 0.125%, 7/1/25 | USD | 850 | 1,362,975 |
$ 68,132,991 | |||
Total Convertible Bonds (identified cost $83,927,494) | $ 86,133,290 |
Convertible Preferred Stocks — 0.1% |
Security | Shares | Value | |
United States — 0.1% | |||
Bank of America Corp., Series L, 7.25% | 1,125 | $ 1,370,081 | |
Wells Fargo & Co., Series L, Class A, 7.50% | 1,120 | 1,355,200 | |
Total Convertible Preferred Stocks (identified cost $2,722,536) | $ 2,725,281 |
Exchange-Traded Funds — 0.4% |
Security | Shares | Value | |
Equity Funds — 0.4% | |||
ProShares Short VIX Short-Term Futures ETF | 112,100 | $ 11,726,781 | |
Total Exchange-Traded Funds (identified cost $11,075,571) | $ 11,726,781 |
Foreign Corporate Bonds — 7.0% |
Security | Principal Amount (000's omitted) | Value | |
Argentina — 0.0%(9) | |||
IRSA Inversiones y Representaciones SA, 8.75%, 6/22/28(1) | USD | 31 | $ 30,908 |
$ 30,908 | |||
Brazil — 1.0% | |||
3R Lux SARL, 9.75%, 2/5/31(1)(12) | USD | 2,558 | $ 2,553,523 |
Braskem Netherlands Finance BV, 8.50% to 10/24/25, 1/23/81(10)(13) | USD | 4,029 | 3,856,091 |
Coruripe Netherlands BV, 10.00%, 2/10/27(10) | USD | 5,979 | 4,818,847 |
FORESEA Holding SA, 7.50%, 6/15/30(10) | USD | 3,730 | 3,444,319 |
Guara Norte SARL, 5.198%, 6/15/34(10) | USD | 3,743 | 3,415,682 |
Hidrovias International Finance SARL, 4.95%, 2/8/31(10) | USD | 4,544 | 3,731,212 |
Security | Principal Amount (000's omitted) | Value | |
Brazil (continued) | |||
MC Brazil Downstream Trading SARL: | |||
7.25%, 6/30/31(1) | USD | 2,303 | $ 1,772,335 |
7.25%, 6/30/31(10) | USD | 2,118 | 1,629,767 |
MV24 Capital BV, 6.748%, 6/1/34(10) | USD | 1,305 | 1,226,057 |
Samarco Mineracao SA, 9.50%, 6/30/31(10)(11) | USD | 5,743 | 4,789,762 |
Vale SA, Series A6, 1.641%(14)(15) | BRL | 14,736 | 1,055,914 |
$ 32,293,509 | |||
Bulgaria — 0.1% | |||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(10) | EUR | 3,738 | $ 3,539,144 |
$ 3,539,144 | |||
Burkina Faso — 0.1% | |||
Endeavour Mining PLC, 5.00%, 10/14/26(10) | USD | 3,883 | $ 3,591,433 |
$ 3,591,433 | |||
Canada — 0.1% | |||
Aris Gold Corp., 7.50%, 8/26/27 | USD | 2,246 | $ 2,285,621 |
$ 2,285,621 | |||
Chile — 0.2% | |||
AES Andes SA: | |||
6.35% to 1/7/25, 10/7/79(10)(13) | USD | 1,730 | $ 1,642,696 |
7.125% to 4/7/24, 3/26/79(10)(13) | USD | 3,738 | 3,592,909 |
Inversiones La Construccion SA, 4.75%, 2/7/32(10) | USD | 910 | 784,602 |
$ 6,020,207 | |||
China — 0.2% | |||
China Oil & Gas Group Ltd., 4.70%, 6/30/26(10) | USD | 4,844 | $ 4,512,498 |
Kaisa Group Holdings Ltd., 9.375%, 6/30/24(10)(16) | USD | 850 | 26,563 |
KWG Group Holdings Ltd., 7.875%, 8/30/24(16) | USD | 519 | 45,672 |
Longfor Group Holdings Ltd., 3.85%, 1/13/32(10) | USD | 1,699 | 683,822 |
Shimao Group Holdings Ltd., 5.60%, 7/15/26(10)(16) | USD | 4,343 | 219,973 |
Sunac China Holdings Ltd.: | |||
6.00%, (5.00% cash or 6.00% PIK), 9/30/26(10)(11) | USD | 207 | 27,988 |
6.25%, (5.25% cash or 6.25% PIK), 9/30/27(10)(11) | USD | 207 | 25,542 |
6.50%, (5.50% cash or 6.50% PIK), 9/30/27(10)(11) | USD | 413 | 42,343 |
6.75%, (5.75% cash or 6.75% PIK), 9/30/28(10)(11) | USD | 620 | 57,318 |
7.00%, (6.00% cash or 7.00% PIK), 9/30/29(10)(11) | USD | 620 | 51,122 |
7.25%, (6.25% cash or 7.25% PIK), 9/30/30(10)(11) | USD | 291 | 21,977 |
13
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
China (continued) | |||
Times China Holdings Ltd.: | |||
5.55%, 6/4/24(10)(16) | USD | 2,221 | $ 78,845 |
6.75%, 7/16/23(10)(16) | USD | 1,041 | 39,037 |
$ 5,832,700 | |||
Colombia — 0.4% | |||
ABRA Global Finance, 11.50%, (6.00% cash and 5.50% PIK), 3/2/28(1)(11) | USD | 1,639 | $ 1,233,045 |
Aris Mining Corp., 6.875%, 8/9/26(10) | USD | 1,758 | 1,538,746 |
Avianca Midco 2 PLC, 9.00%, 12/1/28(10) | USD | 3,408 | 3,063,364 |
Bancolombia SA, 6.909%, 10/18/27 | USD | 941 | 927,735 |
Canacol Energy Ltd., 5.75%, 11/24/28(10) | USD | 5,465 | 3,765,787 |
SierraCol Energy Andina LLC, 6.00%, 6/15/28(10) | USD | 4,291 | 3,618,793 |
$ 14,147,470 | |||
Costa Rica — 0.1% | |||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/31(1) | USD | 2,290 | $ 2,343,338 |
$ 2,343,338 | |||
Cyprus — 0.0%(9) | |||
Bank of Cyprus PLC: | |||
7.375% to 7/25/27, 7/25/28(10)(13) | EUR | 615 | $ 692,915 |
11.875% to 12/21/28(10)(13)(14) | EUR | 213 | 249,645 |
$ 942,560 | |||
Georgia — 0.1% | |||
TBC Bank JSC, 8.894% to 11/6/26(10)(13)(14) | USD | 3,132 | $ 2,920,590 |
$ 2,920,590 | |||
Ghana — 0.2% | |||
Kosmos Energy Ltd.: | |||
7.50%, 3/1/28(10) | USD | 4,374 | $ 4,050,587 |
7.75%, 5/1/27(10) | USD | 794 | 750,973 |
Tullow Oil PLC, 10.25%, 5/15/26(10) | USD | 2,624 | 2,418,488 |
$ 7,220,048 | |||
Greece — 0.4% | |||
Alpha Bank SA, 6.875% to 6/27/28, 6/27/29(10)(13) | EUR | 770 | $ 890,742 |
Alpha Services & Holdings SA, 5.50% to 3/11/26, 6/11/31(10)(13) | EUR | 2,712 | 2,872,664 |
National Bank of Greece SA, 8.00% to 10/3/28, 1/3/34(10)(13) | EUR | 1,745 | 2,047,060 |
Piraeus Financial Holdings SA: | |||
5.50% to 2/19/25, 2/19/30(10)(13) | EUR | 810 | 864,219 |
Security | Principal Amount (000's omitted) | Value | |
Greece (continued) | |||
Piraeus Financial Holdings SA: (continued) | |||
7.25% to 1/17/29, 4/17/34(10)(13) | EUR | 2,200 | $ 2,426,577 |
8.75% to 6/16/26(10)(13)(14) | EUR | 2,487 | 2,678,448 |
$ 11,779,710 | |||
Honduras — 0.1% | |||
Inversiones Atlantida SA, 7.50%, 5/19/26(10) | USD | 1,935 | $ 1,872,471 |
$ 1,872,471 | |||
Hong Kong — 0.2% | |||
Yuexiu REIT MTN Co. Ltd., 2.65%, 2/2/26(10) | USD | 5,517 | $ 4,874,607 |
$ 4,874,607 | |||
Hungary — 0.3% | |||
MBH Bank Nyrt, 8.625% to 10/19/26, 10/19/27(10)(13) | EUR | 3,074 | $ 3,512,421 |
OTP Bank Nyrt, 8.75% to 2/15/28, 5/15/33(10)(13) | USD | 5,194 | 5,378,387 |
$ 8,890,808 | |||
Iceland — 0.0% | |||
Wow Air Hf.: | |||
0.00%(14)(16)(17) | EUR | 20 | $ 0 |
0.00%, (3 mo. EURIBOR + 9.00%)(14)(16)(17) | EUR | 900 | 0 |
$ 0 | |||
India — 0.2% | |||
Vedanta Resources Finance II PLC: | |||
13.875%, 1/21/27(10) | USD | 3,978 | $ 3,754,735 |
13.875%, 12/9/28(10) | USD | 4,600 | 3,995,859 |
$ 7,750,594 | |||
Indonesia — 0.3% | |||
LLPL Capital Pte. Ltd., 6.875%, 2/4/39(10) | USD | 3,677 | $ 3,531,017 |
Minejesa Capital BV: | |||
4.625%, 8/10/30(10) | USD | 4,420 | 4,210,050 |
5.625%, 8/10/37(10) | USD | 1,343 | 1,166,052 |
$ 8,907,119 | |||
Kazakhstan — 0.1% | |||
Tengizchevroil Finance Co. International Ltd.: | |||
3.25%, 8/15/30(10) | USD | 3,343 | $ 2,767,596 |
4.00%, 8/15/26(10) | USD | 1,482 | 1,402,341 |
$ 4,169,937 |
14
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Mauritius — 0.1% | |||
Azure Power Energy Ltd., 3.575%, 8/19/26(10) | USD | 2,417 | $ 2,225,187 |
$ 2,225,187 | |||
Mexico — 1.0% | |||
Alpha Holding SA de CV: | |||
9.00%, 2/10/25(10)(16) | USD | 2,654 | $ 39,807 |
10.00%, 12/19/22(10)(16) | USD | 1,440 | 21,597 |
Banco Mercantil del Norte SA: | |||
5.875% to 1/24/27(10)(13)(14) | USD | 433 | 404,691 |
7.625% to 1/10/28(10)(13)(14) | USD | 563 | 549,981 |
8.375% to 10/14/30(10)(13)(14) | USD | 1,314 | 1,298,807 |
BBVA Bancomer SA: | |||
5.125% to 1/17/28, 1/18/33(10)(13) | USD | 2,994 | 2,738,939 |
8.125% to 1/8/34, 1/8/39(1)(13) | USD | 1,260 | 1,282,680 |
8.45% to 6/29/33, 6/29/38(1)(13) | USD | 1,896 | 1,980,294 |
Braskem Idesa SAPI, 6.99%, 2/20/32(10) | USD | 3,526 | 2,302,095 |
Cemex SAB de CV: | |||
5.125% to 6/8/26(10)(13)(14) | USD | 1,319 | 1,257,150 |
9.125% to 3/14/28(1)(13)(14) | USD | 2,626 | 2,799,240 |
Grupo Aeromexico SAB de CV, 8.50%, 3/17/27(10) | USD | 2,422 | 2,323,020 |
Grupo Kaltex SA de CV, 14.50%, (13.00% cash and 1.50% PIK), 9/30/25(1)(11) | USD | 2,592 | 2,242,080 |
Petroleos Mexicanos: | |||
6.84%, 1/23/30 | USD | 4,147 | 3,563,388 |
6.875%, 8/4/26 | USD | 6,086 | 5,939,799 |
Total Play Telecomunicaciones SA de CV: | |||
6.375%, 9/20/28(10) | USD | 3,653 | 1,596,818 |
7.50%, 11/12/25(10) | USD | 1,896 | 1,112,848 |
$ 31,453,234 | |||
Moldova — 0.1% | |||
Aragvi Finance International DAC, 8.45%, 4/29/26(10) | USD | 4,037 | $ 2,902,740 |
$ 2,902,740 | |||
Nigeria — 0.1% | |||
Access Bank PLC, 6.125%, 9/21/26(10) | USD | 2,608 | $ 2,405,627 |
IHS Netherlands Holdco BV, 8.00%, 9/18/27(10) | USD | 1,318 | 1,218,132 |
SEPLAT Energy PLC, 7.75%, 4/1/26(10) | USD | 1,280 | 1,194,454 |
$ 4,818,213 | |||
Panama — 0.2% | |||
AES Panama Generation Holdings SRL, 4.375%, 5/31/30(10) | USD | 6,435 | $ 5,503,008 |
Security | Principal Amount (000's omitted) | Value | |
Panama (continued) | |||
C&W Senior Financing DAC, 6.875%, 9/15/27(10) | USD | 2,561 | $ 2,429,326 |
$ 7,932,334 | |||
Paraguay — 0.1% | |||
Frigorifico Concepcion SA: | |||
7.70%, 7/21/28(1) | USD | 2,421 | $ 2,138,409 |
7.70%, 7/21/28(10) | USD | 2,453 | 2,166,673 |
$ 4,305,082 | |||
Peru — 0.3% | |||
Auna SAA, 10.00%, 12/15/29(1) | USD | 3,830 | $ 3,860,295 |
Hunt Oil Co. of Peru LLC, 8.55%, 9/18/33(1) | USD | 961 | 1,024,125 |
Peru LNG Srl, 5.375%, 3/22/30(10) | USD | 5,932 | 4,888,157 |
Telefonica del Peru SAA, 7.375%, 4/10/27(10) | PEN | 4,500 | 907,710 |
$ 10,680,287 | |||
Romania — 0.1% | |||
Banca Transilvania SA: | |||
7.25% to 12/7/27, 12/7/28(10)(13) | EUR | 2,058 | $ 2,300,678 |
8.875% to 4/27/26, 4/27/27(10)(13) | EUR | 482 | 550,547 |
$ 2,851,225 | |||
Russia — 0.0%(9) | |||
Gazprom PJSC via Gaz Finance PLC, 4.599% to 10/26/25(10)(13)(14) | USD | 555 | $ 294,150 |
Hacienda Investments Ltd. Via DME Airport DAC, 5.35%, 2/8/28(10) | USD | 450 | 263,250 |
Tinkoff Bank JSC Via TCS Finance Ltd., 6.00% to 12/20/26(10)(13)(14)(17) | USD | 1,226 | 0 |
$ 557,400 | |||
Saint Lucia — 0.1% | |||
Digicel International Finance Ltd./Digicel International Holdings Ltd., 9.00%, 5/25/27 | USD | 4,218 | $ 3,932,354 |
$ 3,932,354 | |||
Singapore — 0.2% | |||
Indika Energy Capital IV Pte. Ltd., 8.25%, 10/22/25(10) | USD | 2,913 | $ 2,921,209 |
Puma International Financing SA, 5.00%, 1/24/26(10) | USD | 4,346 | 4,127,244 |
$ 7,048,453 |
15
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Slovenia — 0.0%(9) | |||
Nova Ljubljanska Banka DD, 6.875% to 1/24/29, 1/24/34(10)(13) | EUR | 200 | $ 221,531 |
$ 221,531 | |||
South Africa — 0.1% | |||
Sasol Financing USA LLC: | |||
5.50%, 3/18/31 | USD | 3,249 | $ 2,730,813 |
6.50%, 9/27/28 | USD | 2,105 | 1,994,260 |
$ 4,725,073 | |||
Spain — 0.0%(9) | |||
International Airport Finance SA, 12.00%, 3/15/33(10) | USD | 202 | $ 205,986 |
$ 205,986 | |||
Turkey — 0.3% | |||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(10) | USD | 3,239 | $ 2,976,691 |
Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(10) | USD | 2,437 | 2,398,647 |
WE Soda Investments Holding PLC, 9.50%, 10/6/28(10) | USD | 3,999 | 4,095,248 |
$ 9,470,586 | |||
United Arab Emirates — 0.1% | |||
Shelf Drilling Holdings Ltd.: | |||
9.625%, 4/15/29(1) | USD | 1,016 | $ 986,434 |
9.625%, 4/15/29(10) | USD | 2,352 | 2,283,557 |
$ 3,269,991 | |||
Uzbekistan — 0.0%(9) | |||
Ipoteka-Bank ATIB, 16.00%, 4/16/24(10) | UZS | 7,100,000 | $ 569,907 |
$ 569,907 | |||
Vietnam — 0.1% | |||
Mong Duong Finance Holdings BV, 5.125%, 5/7/29(10) | USD | 4,440 | $ 4,170,825 |
$ 4,170,825 | |||
Total Foreign Corporate Bonds (identified cost $234,202,608) | $ 230,753,182 |
Loan Participation Notes — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 0.5% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(10)(17)(18) | UZS | 195,502,870 | $ 16,587,374 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(10)(17)(18) | UZS | 3,683,800 | 312,480 |
Total Loan Participation Notes (identified cost $17,036,132) | $ 16,899,854 |
Reinsurance Side Cars — 3.2% |
Security | Shares | Value | |
Eden Re II Ltd.: | |||
Series 2020A, 0.00%, 3/22/24(1)(17)(19)(20) | 689,219 | $ 200,563 | |
Series 2021A, 0.00%, 3/21/25(1)(17)(19)(20) | 41,325 | 10,166 | |
Series 2021B, 0.00%, 3/21/25(1)(17)(19)(20) | 394,291 | 117,893 | |
Series 2022A, 0.00%, 3/20/26(1)(17)(19)(20) | 839,905 | 502,767 | |
Series 2022B, 0.00%, 3/20/26(1)(17)(19)(20) | 690,061 | 418,867 | |
Series 2023A, 0.00%, 3/19/27(1)(17)(19)(20) | 300,000 | 355,530 | |
Series 2023B, 0.00%, 3/19/27(1)(17)(19)(20) | 118,000 | 140,302 | |
Series 2024A, 0.00%, 3/17/28(1)(17)(19)(20) | 7,700,000 | 7,700,000 | |
Series 2024B, 0.00%, 3/17/28(1)(17)(19)(20) | 26,300,000 | 30,713,140 | |
Mt. Logan Re Ltd.: | |||
Series 13, Preference Shares(17)(20)(21) | 10,000 | 15,910,220 | |
Series 17, Preference Shares(8)(17)(20)(21) | 860 | 1,350,305 | |
Special Investment Series 13(17)(20) | 464 | 463,585 | |
Special Investment Series 17(17)(20) | 39 | 39,343 | |
PartnerRe ILS Fund SAC Ltd.(20)(21) | 34,000,000 | 34,000,000 | |
Sussex Capital Ltd.: | |||
Designated Investment Series 5, 5/19(8)(17)(20)(21) | 249 | 11,252 | |
Designated Investment Series 5, 12/19(8)(17)(20)(21) | 791 | 44,952 | |
Designated Investment Series 5, 6/20(8)(17)(20)(21) | 434 | 39,182 | |
Designated Investment Series 5, 4/21(8)(17)(20)(21) | 247 | 12,944 | |
Designated Investment Series 5, 12/21(8)(17)(20)(21) | 958 | 23,228 | |
Designated Investment Series 5, 11/22(8)(17)(20)(21) | 958 | 257,269 | |
Designated Investment Series 15, 12/21(8)(17)(20)(21) | 743 | 18,003 | |
Designated Investment Series 15, 11/22(8)(17)(20)(21) | 721 | 193,633 | |
Series 5, Preference Shares(8)(17)(20)(21) | 5,583 | 7,502,294 | |
Series 15, Preference Shares(8)(17)(20)(21) | 4,657 | 5,653,275 |
16
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Sussex Re Ltd.: | |||
Series 2020A(8)(17)(20)(21) | 4,081,939 | $ 154,706 | |
Series 2021A(8)(17)(20)(21) | 4,154,232 | 304,505 | |
Total Reinsurance Side Cars (identified cost $88,586,266) | $ 106,137,924 |
Sovereign Government Bonds — 10.7% |
Security | Principal Amount (000's omitted) | Value | |
Benin — 0.1% | |||
Benin Government International Bonds: | |||
4.875%, 1/19/32(10) | EUR | 120 | $ 105,769 |
6.875%, 1/19/52(10) | EUR | 1,733 | 1,477,401 |
$ 1,583,170 | |||
Czech Republic — 1.6% | |||
Czech Republic Government Bonds, 2.00%, 10/13/33 | CZK | 1,436,300 | $ 53,561,149 |
$ 53,561,149 | |||
Dominican Republic — 0.9% | |||
Dominican Republic Central Bank Notes: | |||
12.00%, 10/3/25(1) | DOP | 299,010 | $ 5,173,597 |
13.00%, 12/5/25(1) | DOP | 12,940 | 228,694 |
Dominican Republic International Bonds: | |||
12.00%, 8/8/25(1) | DOP | 450,030 | 7,777,314 |
12.75%, 9/23/29(1) | DOP | 794,700 | 15,046,586 |
13.625%, 2/3/33(1) | DOP | 8,000 | 165,226 |
$ 28,391,417 | |||
Iceland — 0.4% | |||
Republic of Iceland: | |||
4.50%, 2/17/42 | ISK | 299,783 | $ 1,749,053 |
5.00%, 11/15/28 | ISK | 513,120 | 3,414,973 |
6.50%, 1/24/31 | ISK | 285,839 | 2,046,959 |
7.00%, 9/17/35 | ISK | 553,340 | 4,176,916 |
8.00%, 6/12/25 | ISK | 261,078 | 1,883,291 |
$ 13,271,192 | |||
Mexico — 1.5% | |||
Mexican Bonos: | |||
7.75%, 11/13/42(22) | MXN | 511,160 | $ 25,540,032 |
8.00%, 7/31/53(22) | MXN | 470,600 | 23,611,617 |
$ 49,151,649 |
Security | Principal Amount (000's omitted) | Value | |
Panama — 0.1% | |||
Panama Bonos del Tesoro, 3.362%, 6/30/31 | USD | 3,023 | $ 2,357,184 |
$ 2,357,184 | |||
Peru — 2.5% | |||
Peru Government Bonds: | |||
5.40%, 8/12/34 | PEN | 41,625 | $ 9,961,017 |
5.94%, 2/12/29 | PEN | 199,073 | 53,380,325 |
6.15%, 8/12/32 | PEN | 65,080 | 16,845,923 |
6.714%, 2/12/55 | PEN | 5,641 | 1,480,249 |
$ 81,667,514 | |||
Serbia — 0.8% | |||
Serbia Treasury Bonds: | |||
4.50%, 8/20/32 | RSD | 3,319,480 | $ 27,667,436 |
5.875%, 2/8/28 | RSD | 3,280 | 31,271 |
$ 27,698,707 | |||
South Africa — 2.4% | |||
Republic of South Africa Government Bonds, 10.50%, 12/21/26 | ZAR | 1,437,663 | $ 80,339,405 |
$ 80,339,405 | |||
Suriname — 0.4% | |||
Suriname Government International Bonds: | |||
7.95%, (4.95% cash and 3.00% PIK), 7/15/33(1)(11) | USD | 10,846 | $ 9,287,802 |
9.00%, 12/31/50(1)(3) | USD | 5,223 | 3,525,525 |
$ 12,813,327 | |||
Ukraine — 0.0%(9) | |||
Ukraine Government Bonds: | |||
15.84%, 2/26/25 | UAH | 11,529 | $ 237,862 |
19.19%, 9/30/26 | UAH | 5,023 | 126,492 |
$ 364,354 | |||
Uzbekistan — 0.0%(9) | |||
Republic of Uzbekistan International Bonds, 16.25%, 10/12/26(10) | UZS | 6,450,000 | $ 521,844 |
$ 521,844 | |||
Total Sovereign Government Bonds (identified cost $383,875,294) | $ 351,720,912 |
17
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
U.S. Department of Agriculture Loans — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
USDA Guaranteed Loans: | |||
8.00%, (USD Prime - 0.50%), 2/16/43(2) | $ | 4,806 | $ 4,808,922 |
8.00%, (USD Prime - 0.50%), 2/16/63(2) | 865 | 865,291 | |
Total U.S. Department of Agriculture Loans (identified cost $5,670,845) | $ 5,674,213 |
U.S. Government Agency Commercial Mortgage-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
FRESB Mortgage Trust: | |||
Interest Only:(6) | |||
Series 2021-SB91, Class X1, 0.681%, 8/25/41(3) | $ | 23,683 | $ 660,181 |
Series 2021-SB92, Class X1, 0.686%, 8/25/41(3) | 23,762 | 533,600 | |
Government National Mortgage Association: | |||
Interest Only:(6) | |||
Series 2021-101, Class IO, 0.677%, 4/16/63(3) | 26,662 | 1,423,342 | |
Series 2021-132, Class IO, 0.726%, 4/16/63(3) | 65,242 | 3,633,050 | |
Series 2021-144, Class IO, 0.825%, 4/16/63(3) | 25,657 | 1,542,986 | |
Series 2021-186, Class IO, 0.764%, 5/16/63(3) | 47,377 | 2,727,293 | |
Series 2022-3, Class IO, 0.64%, 2/16/61(3) | 67,457 | 3,272,696 | |
Total U.S. Government Agency Commercial Mortgage-Backed Securities (identified cost $17,832,678) | $ 13,793,148 |
U.S. Government Agency Mortgage-Backed Securities — 31.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
4.391%, (COF + 1.254%), with maturity at 2035(23) | $ | 58 | $ 57,010 |
4.698%, (COF + 1.251%), with maturity at 2030(23) | 47 | 46,287 | |
5.00%, with maturity at 2052 | 7,706 | 7,636,914 | |
6.00%, with various maturities to 2053 | 4,633 | 4,707,033 | |
6.50%, with maturity at 2053 | 5,889 | 6,059,340 | |
7.00%, with various maturities to 2053 | 1,638 | 1,704,510 | |
8.00%, with maturity at 2026 | 1 | 627 | |
Federal National Mortgage Association: | |||
4.367%, (COF + 1.254%), with maturity at 2035(23) | 25 | 24,621 | |
5.148%, (COF + 1.791%), with maturity at 2035(23) | 294 | 288,766 | |
5.50%, with various maturities to 2052 | 77,607 | 78,076,967 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
6.00%, with various maturities to 2053 | $ | 18,151 | $ 18,445,140 |
6.50%, with various maturities to 2053 | 17,469 | 17,951,617 | |
7.00%, with maturity at 2037 | 156 | 161,411 | |
8.50%, with maturity at 2032 | 77 | 81,251 | |
9.50%, with maturity at 2028 | 8 | 8,306 | |
Government National Mortgage Association: | |||
5.00%, with maturity at 2052 | 18,917 | 18,840,399 | |
5.50%, with various maturities to 2063 | 68,760 | 69,412,129 | |
6.00%, 30-Year, TBA(24) | 45,650 | 46,369,599 | |
6.00%, with various maturities to 2063 | 171,198 | 174,650,110 | |
6.50%, with various maturities to 2063 | 134,022 | 137,709,088 | |
7.00%, with various maturities to 2063 | 23,750 | 24,458,457 | |
7.50%, with various maturities to 2054 | 39,738 | 40,521,377 | |
8.00%, with various maturities to 2054 | 18,837 | 19,427,433 | |
Uniform Mortgage-Backed Security: | |||
5.00%, 30-Year, TBA(24) | 8,671 | 8,579,887 | |
5.50%, 30-Year, TBA(24) | 200,000 | 200,804,680 | |
6.00%, 30-Year, TBA(24) | 165,400 | 167,835,780 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $1,040,663,600) | $1,043,858,739 |
U.S. Government Guaranteed Small Business Administration Loans — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
SBA IO Trust: Interest Only:(25)(26) Series 2018-1, Class A, 2.669%, 3/25/44(1) | $ | 163,156 | $ 9,124,199 |
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $32,593,312) | $ 9,124,199 |
U.S. Treasury Obligations — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bonds, 0.625%, 7/15/32(27) | $ | 11,661 | $ 10,727,100 |
Total U.S. Treasury Obligations (identified cost $11,052,992) | $ 10,727,100 |
18
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Miscellaneous — 0.0% |
Security | Shares | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding SA, Escrow Certificates(8)(17) | 3,058,000 | $ 0 | |
Alpha Holding SA, Escrow Certificates(8)(17) | 5,630,000 | 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 13.4% |
Affiliated Fund — 9.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.21%(28) | 310,603,619 | $ 310,603,619 | |
Total Affiliated Fund (identified cost $310,603,619) | $ 310,603,619 |
Repurchase Agreements — 1.9% |
Description | Principal Amount (000's omitted) | Value | |
Bank of America: | |||
Dated 9/8/23 with an interest rate of 4.95%, collateralized by $1,000,000 Indonesia Government International Bonds, 4.85%, due 1/11/33 and a market value, including accrued interest, of $1,005,224 | USD | 980 | $ 980,000 |
Dated 10/19/23 with an interest rate of 5.00%, collateralized by $1,000,000 Philippines Government International Bonds, 5.00%, due 7/17/33 and a market value, including accrued interest, of $1,014,877 | USD | 948 | 947,500 |
Dated 10/20/23 with an interest rate of 5.00%, collateralized by $1,000,000 Chile Government International Bonds, 3.50%, due 1/31/34 and a market value, including accrued interest, of $1,000,097(29) | USD | 803 | 802,500 |
Dated 1/18/24 with an interest rate of 5.00%, collateralized by $5,000,000 Mexico Government International Bonds, 6.35%, due 2/9/35 and a market value, including accrued interest, of $5,363,660(29) | USD | 5,300 | 5,300,000 |
Dated 1/18/24 with an interest rate of 5.10%, collateralized by $5,000,000 Brazil Government International Bonds, 3.75%, due 9/12/31 and a market value, including accrued interest, of $4,471,747 | USD | 4,463 | 4,462,500 |
Dated 1/18/24 with an interest rate of 5.10%, collateralized by $5,000,000 Indonesia Government International Bonds, 4.85%, due 1/11/33 and a market value, including accrued interest, of $5,026,118 | USD | 4,994 | 4,993,750 |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 1/17/24 with an interest rate of 5.15%, collateralized by MXN 282,197,300 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $15,338,286(29) | USD | 15,693 | $ 15,692,928 |
Dated 1/17/24 with an interest rate of 5.15%, collateralized by MXN 364,978,399 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $20,141,033(29) | USD | 20,431 | 20,431,412 |
Dated 1/31/24 with an interest rate of 5.00%, collateralized by $5,000,000 Philippines Government International Bonds, 5.00%, due 7/17/33 and a market value, including accrued interest, of $5,074,384 | USD | 5,338 | 5,337,500 |
JP Morgan Chase Bank, N.A.: | |||
Dated 7/27/23 with an interest rate of 5.05%, collateralized by $1,000,000 Peru Government International Bonds, 2.78%, due 1/23/31 and a market value, including accrued interest, of $1,000,618(29) | USD | 849 | 848,886 |
Nomura International PLC: | |||
Dated 9/5/20 with an interest rate of 5.00%, collateralized by $1,000,000 Chile Government International Bonds, 3.50%, due 1/31/34 and a market value, including accrued interest, of $1,000,097(29) | USD | 900 | 899,850 |
Total Repurchase Agreements (identified cost $60,696,826) | $ 60,696,826 |
U.S. Treasury Obligations — 2.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 2/1/24 | $ | 13,401 | $ 13,401,000 |
0.00%, 2/22/24 | 13,000 | 12,960,140 | |
0.00%, 2/29/24(30) | 13,488 | 13,432,884 | |
0.00%, 3/21/24 | 13,500 | 13,403,302 | |
0.00%, 4/18/24(30) | 17,000 | 16,811,018 | |
Total U.S. Treasury Obligations (identified cost $70,009,415) | $ 70,008,344 | ||
Total Short-Term Investments (identified cost $441,309,860) | $ 441,308,789 |
Total Investments — 114.6% (identified cost $3,888,413,701) | $3,769,465,132 |
19
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Securities Sold Short — (1.7)% | |||
Sovereign Government Bonds — (1.7)% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — (0.1)% | |||
Brazil Government International Bonds, 3.75%, 9/12/31 | USD | (5,000) | $ (4,399,351) |
$ (4,399,351) | |||
Indonesia — (0.2)% | |||
Indonesia Government International Bonds, 4.85%, 1/11/33 | USD | (5,000) | $ (5,012,645) |
$ (5,012,645) | |||
Mexico — (1.2)% | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(31) | MXN | (364,978) | $ (20,013,214) |
4.00%, 11/3/50(31) | MXN | (282,197) | (15,239,911) |
Mexico Government International Bonds, 6.35%, 2/9/35 | USD | (5,000) | (5,211,966) |
$ (40,465,091) | |||
Philippines — (0.2)% | |||
Philippines Government International Bonds, 5.00%, 7/17/33 | USD | (5,000) | $ (5,064,662) |
$ (5,064,662) | |||
Total Sovereign Government Bonds (proceeds $51,909,201) | $ (54,941,749) | ||
Total Securities Sold Short (proceeds $51,909,201) | $ (54,941,749) |
Other Assets, Less Liabilities — (12.9)% | $ (425,913,780) | ||
Net Assets — 100.0% | $3,288,609,603 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2024, the aggregate value of these securities is $720,714,630 or 21.9% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2024. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2024. |
(4) | Step coupon security. Interest rate represents the rate in effect at January 31, 2024. |
(5) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2024. |
(6) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(7) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(8) | Non-income producing security. |
(9) | Amount is less than 0.05%. |
(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 January 31, 2024, the aggregate value of these securities is $214,071,416 or 6.5% of the Portfolio's net assets. |
(11) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(12) | When-issued security. |
(13) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(14) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(15) | Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at January 31, 2024. |
(16) | 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. |
(17) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(18) | 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. |
(19) | Quantity held represents principal in USD. |
(20) | 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. |
(21) | Restricted security. |
(22) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(23) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2024. |
20
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
(24) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
(25) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(26) | The stated interest rate represents the weighted average fixed interest rate at January 31, 2024 of all interest only securities comprising the trust. |
(27) | 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. |
(28) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of January 31, 2024. |
(29) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(30) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
(31) | 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. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
EUR | 1,084,472 | USD | 1,196,996 | 3/20/24 | $ (22,678) |
IDR | 51,331,892,351 | USD | 3,282,720 | 3/20/24 | (30,885) |
IDR | 81,737,000,000 | USD | 5,224,815 | 3/20/24 | (46,841) |
IDR | 103,246,200,000 | USD | 6,594,900 | 3/20/24 | (54,336) |
IDR | 79,252,403,764 | USD | 5,104,861 | 3/20/24 | (84,284) |
IDR | 184,883,024,918 | USD | 11,915,197 | 3/20/24 | (203,004) |
PEN | 51,028,600 | USD | 13,707,046 | 3/20/24 | (308,644) |
USD | 25,059,287 | EUR | 22,703,583 | 3/20/24 | 474,775 |
USD | 17,754,101 | EUR | 16,085,123 | 3/20/24 | 336,370 |
USD | 6,840,093 | EUR | 6,197,089 | 3/20/24 | 129,593 |
USD | 5,350,711 | EUR | 4,847,716 | 3/20/24 | 101,375 |
USD | 51,386,144 | EUR | 47,380,982 | 3/20/24 | 79,779 |
USD | 3,157,973 | EUR | 2,861,107 | 3/20/24 | 59,831 |
USD | 1,942,971 | EUR | 1,760,322 | 3/20/24 | 36,812 |
USD | 1,868,586 | EUR | 1,692,929 | 3/20/24 | 35,402 |
USD | 1,679,921 | EUR | 1,522,000 | 3/20/24 | 31,828 |
USD | 1,337,667 | EUR | 1,211,919 | 3/20/24 | 25,344 |
USD | 1,336,314 | EUR | 1,210,694 | 3/20/24 | 25,318 |
USD | 2,021,574 | EUR | 1,844,948 | 3/20/24 | 23,777 |
USD | 1,530,784 | EUR | 1,395,936 | 3/20/24 | 19,198 |
USD | 994,352 | EUR | 900,877 | 3/20/24 | 18,839 |
USD | 993,383 | EUR | 900,000 | 3/20/24 | 18,821 |
USD | 1,236,742 | EUR | 1,127,797 | 3/20/24 | 15,510 |
USD | 529,172 | EUR | 482,557 | 3/20/24 | 6,636 |
USD | 1,335,932 | EUR | 1,231,806 | 3/20/24 | 2,074 |
USD | 844,110 | EUR | 778,318 | 3/20/24 | 1,311 |
USD | 17,065,439 | IDR | 264,480,176,555 | 3/20/24 | 310,830 |
USD | 8,503,743 | IDR | 132,905,000,000 | 3/20/24 | 84,317 |
USD | 6,617,399 | IDR | 103,410,092,351 | 3/20/24 | 66,452 |
USD | 33,819,512 | PEN | 128,017,000 | 3/20/24 | 206,534 |
21
Global Opportunities Portfolio
January 31, 2024
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 | 12,799,244 | PEN | 48,445,137 | 3/20/24 | $ 79,172 |
USD | 7,737,348 | PEN | 29,296,000 | 3/20/24 | 45,200 |
USD | 6,679,249 | PEN | 25,303,000 | 3/20/24 | 35,528 |
USD | 5,476,448 | PEN | 20,730,000 | 3/20/24 | 33,444 |
USD | 5,328,247 | PEN | 20,185,000 | 3/20/24 | 28,342 |
USD | 10,923,174 | PEN | 41,527,721 | 3/20/24 | 19,384 |
USD | 2,072,686 | PEN | 7,845,115 | 3/20/24 | 12,821 |
USD | 1,252,935 | PEN | 4,744,000 | 3/20/24 | 7,319 |
USD | 1,081,752 | PEN | 4,098,000 | 3/20/24 | 5,754 |
USD | 862,920 | PEN | 3,269,000 | 3/20/24 | 4,590 |
USD | 1,768,763 | PEN | 6,724,485 | 3/20/24 | 3,139 |
USD | 493,224 | PEN | 1,867,000 | 3/20/24 | 3,012 |
USD | 186,693 | PEN | 706,632 | 3/20/24 | 1,155 |
USD | 130,138 | PEN | 493,000 | 3/20/24 | 692 |
USD | 112,775 | PEN | 427,000 | 3/20/24 | 659 |
USD | 77,607 | PEN | 294,000 | 3/20/24 | 413 |
USD | 212,649 | PEN | 808,448 | 3/20/24 | 377 |
$1,641,055 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 1,153,742 | EUR | 1,054,208 | State Street Bank and Trust Company | 2/9/24 | $ 14,129 | $ — |
USD | 671,265 | EUR | 613,723 | State Street Bank and Trust Company | 2/9/24 | 7,822 | — |
USD | 569,532 | EUR | 520,122 | State Street Bank and Trust Company | 2/9/24 | 7,274 | — |
USD | 2,414,728 | EUR | 2,205,539 | UBS AG | 2/9/24 | 30,511 | — |
USD | 220,888 | EUR | 203,000 | UBS AG | 2/9/24 | 1,442 | — |
USD | 14,485,050 | SAR | 54,500,000 | Standard Chartered Bank | 3/14/24 | — | (42,245) |
USD | 7,606,557 | BHD | 2,900,000 | Standard Chartered Bank | 3/18/24 | — | (79,645) |
AUD | 32,475,000 | USD | 21,374,499 | Standard Chartered Bank | 3/20/24 | — | (36,692) |
AUD | 20,983,000 | USD | 13,805,009 | UBS AG | 3/20/24 | — | (18,059) |
AUD | 28,287,000 | USD | 18,625,434 | UBS AG | 3/20/24 | — | (39,366) |
EUR | 47,557,736 | CZK | 1,166,068,117 | UBS AG | 3/20/24 | 801,877 | — |
USD | 40,108 | CAD | 54,320 | State Street Bank and Trust Company | 3/20/24 | — | (321) |
USD | 6,563,106 | CAD | 8,888,742 | State Street Bank and Trust Company | 3/20/24 | — | (52,445) |
USD | 10,421,654 | CNH | 74,000,000 | BNP Paribas | 3/20/24 | 97,914 | — |
USD | 21,293,948 | CNH | 151,200,000 | Goldman Sachs International | 3/20/24 | 200,036 | — |
USD | 9,695,096 | CNH | 69,000,000 | HSBC Bank USA, N.A. | 3/20/24 | 68,906 | — |
USD | 20,467,065 | CNH | 145,259,877 | Standard Chartered Bank | 3/20/24 | 201,859 | — |
USD | 14,336,258 | MXN | 253,416,900 | Standard Chartered Bank | 3/20/24 | — | (272,830) |
USD | 93,715 | NZD | 152,000 | Standard Chartered Bank | 3/20/24 | 800 | — |
22
Global Opportunities Portfolio
January 31, 2024
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 | 264,650 | NZD | 432,452 | Standard Chartered Bank | 3/20/24 | $ 298 | $ — |
USD | 5,896,915 | PEN | 22,343,000 | Standard Chartered Bank | 3/20/24 | 30,391 | — |
USD | 954,887 | PEN | 3,618,000 | Standard Chartered Bank | 3/20/24 | 4,921 | — |
USD | 12,127,010 | ZAR | 229,491,352 | BNP Paribas | 3/20/24 | — | (82,361) |
USD | 8,167,499 | ZAR | 156,815,983 | Citibank, N.A. | 3/20/24 | — | (175,406) |
USD | 27,193,189 | ZAR | 519,151,969 | Credit Agricole Corporate and Investment Bank | 3/20/24 | — | (426,672) |
USD | 8,225,402 | ZAR | 158,083,177 | HSBC Bank USA, N.A. | 3/20/24 | — | (184,920) |
USD | 24,445,188 | ZAR | 467,680,449 | UBS AG | 3/20/24 | — | (436,291) |
OMR | 4,666,500 | USD | 12,101,605 | Standard Chartered Bank | 4/8/24 | 18,576 | — |
USD | 11,776,656 | OMR | 4,666,500 | BNP Paribas | 4/8/24 | — | (343,525) |
OMR | 4,664,971 | USD | 12,097,326 | Standard Chartered Bank | 4/22/24 | 17,856 | — |
USD | 11,825,022 | OMR | 4,664,971 | Standard Chartered Bank | 4/22/24 | — | (290,160) |
USD | 648,777 | EUR | 598,174 | Goldman Sachs International | 4/30/24 | — | (100) |
USD | 659,408 | EUR | 608,093 | Goldman Sachs International | 4/30/24 | — | (229) |
USD | 692,025 | EUR | 638,065 | HSBC Bank USA, N.A. | 4/30/24 | — | (124) |
USD | 12,946 | HKD | 100,944 | Bank of America, N.A. | 4/30/24 | 4 | — |
USD | 734,268 | HKD | 5,725,056 | HSBC Bank USA, N.A. | 4/30/24 | 249 | — |
OMR | 2,000,000 | USD | 5,183,496 | Standard Chartered Bank | 7/8/24 | 8,088 | — |
USD | 8,189,339 | OMR | 3,237,000 | BNP Paribas | 7/8/24 | — | (213,240) |
USD | 5,155,499 | OMR | 2,039,000 | Standard Chartered Bank | 7/15/24 | — | (137,086) |
USD | 954,425 | OMR | 378,000 | BNP Paribas | 7/29/24 | — | (26,654) |
USD | 23,985,158 | OMR | 9,293,625 | BNP Paribas | 7/29/24 | — | (135,945) |
USD | 4,828,281 | SAR | 18,220,000 | Standard Chartered Bank | 6/18/25 | — | (10,213) |
$1,512,953 | $(3,004,529) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 18,931 | Long | 3/28/24 | $ 2,051,942,922 | $24,144,358 |
U.S. 10-Year Treasury Note | 221 | Long | 3/19/24 | 24,824,516 | 198,063 |
U.S. Ultra 10-Year Treasury Note | 143 | Long | 3/19/24 | 16,713,125 | 336,851 |
U.S. Ultra-Long Treasury Bond | 52 | Long | 3/19/24 | 6,719,375 | 400,388 |
30 Day Federal Funds | (2,852) | Short | 4/30/24 | (1,126,748,966) | 16,212 |
Euro-Bobl | (95) | Short | 3/7/24 | (12,169,063) | (84,984) |
Euro-Bund | (382) | Short | 3/7/24 | (56,082,613) | (1,191,268) |
Euro-Buxl | (1) | Short | 3/7/24 | (148,661) | (7,529) |
Euro-Schatz | (17) | Short | 3/7/24 | (1,950,912) | (4,350) |
Japan 10-Year Bond | (193) | Short | 3/13/24 | (191,780,473) | (1,482,895) |
U.S. 2-Year Treasury Note | (11) | Short | 3/28/24 | (2,262,219) | (5,178) |
U.S. 5-Year Treasury Note | (40) | Short | 3/28/24 | (4,335,625) | (17,224) |
23
Global Opportunities Portfolio
January 31, 2024
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. 10-Year Treasury Note | (153) | Short | 3/19/24 | $ (17,186,203) | $ (254,793) |
U.S. Long Treasury Bond | (385) | Short | 3/19/24 | (47,102,344) | (2,818,991) |
U.S. Ultra-Long Treasury Bond | (975) | Short | 3/19/24 | (125,988,281) | (4,373,084) |
$14,855,576 |
Inflation Swaps (Centrally Cleared) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 5,003 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.60% (pays upon termination) | 8/15/32 | $ 827,493 |
EUR | 19,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 1.69% (pays upon termination) | 11/15/32 | 2,947,203 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 523,354 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 523,354 |
EUR | 5,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 522,684 |
EUR | 5,260 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 598,434 |
EUR | 5,003 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.79% (pays upon termination) | 8/15/42 | (988,173) |
EUR | 19,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.89% (pays upon termination) | 11/15/42 | (3,333,903) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (575,508) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (575,508) |
EUR | 5,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (577,492) |
EUR | 5,260 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (713,300) |
EUR | 5,870 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | 405,043 |
24
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Inflation Swaps (Centrally Cleared) (continued) | |||||||
Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
EUR | 20,500 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | $ 2,160,441 |
EUR | 4,400 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.63% (pays upon termination) | 11/15/53 | 338,778 |
USD | 19,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.09% (pays upon termination) | 4/2/29 | (1,175,230) |
USD | 25,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.22% (pays upon termination) | 11/14/32 | (2,994,946) |
USD | 24,200 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (613,899) |
USD | 8,500 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (224,329) |
USD | 25,300 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.20% (pays upon termination) | 11/14/42 | 3,289,900 |
USD | 16,200 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 352,631 |
USD | 8,000 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 170,846 |
USD | 8,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 257,819 |
USD | 2,309 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.13% (pays upon termination) | 8/22/47 | 350,012 |
USD | 2,295 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.15% (pays upon termination) | 8/25/47 | 340,701 |
USD | 4,400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.42% (pays upon termination) | 6/8/48 | 335,113 |
USD | 7,955 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 175,375 |
$2,346,893 |
Inflation Swaps (OTC) | ||||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Return on Reference Index | Reference Index | Portfolio Pays/Receives Rate | Annual Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
Bank of America, N.A. | USD | 19,500 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.09% (pays upon termination) | 4/2/29 | $2,376,663 |
$2,376,663 |
25
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
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 | 65,644,190 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | $ 847,155 | $20,089 | $ 867,244 |
CLP | 22,046,810 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 399,337 | — | 399,337 |
CNY | 76,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 131,526 | — | 131,526 |
CNY | 77,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 135,114 | — | 135,114 |
CNY | 107,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/20/28 | 194,297 | — | 194,297 |
CNY | 305,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.25% (pays quarterly) | 3/20/29 | 234,580 | — | 234,580 |
CNY | 770,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.26% (pays quarterly) | 3/20/29 | 640,910 | — | 640,910 |
CZK | 99,886 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | 75,955 | — | 75,955 |
CZK | 199,772 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 162,358 | — | 162,358 |
CZK | 300,341 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 252,283 | — | 252,283 |
CZK | 386,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.98% (pays annually) | 9/20/33 | 342,549 | — | 342,549 |
JPY | 45,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (792) | — | (792) |
JPY | 12,019,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (213,115) | 159 | (212,956) |
JPY | 15,542,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (277,481) | 206 | (277,275) |
JPY | 2,500,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 1.41% (pays annually) | 9/20/53 | 606,272 | — | 606,272 |
MXN | 283,800 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 8.67% (pays monthly) | 1/11/29 | 39,249 | — | 39,249 |
PLN | 180,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (3,268,503) | — | (3,268,503) |
TWD | 469,200 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.26% (pays quarterly) | 3/20/29 | 130,830 | — | 130,830 |
TWD | 623,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.27% (pays quarterly) | 3/20/29 | 159,147 | — | 159,147 |
TWD | 633,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.32% (pays quarterly) | 3/20/29 | 111,605 | — | 111,605 |
TWD | 1,493,400 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.33% (pays quarterly) | 3/20/29 | 233,461 | — | 233,461 |
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Global Opportunities Portfolio
January 31, 2024
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) | |
TWD | 514,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.35% (pays quarterly) | 3/20/29 | $ 66,135 | $ — | $ 66,135 |
TWD | 2,056,500 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.36% (pays quarterly) | 3/20/29 | 232,093 | — | 232,093 |
TWD | 623,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.37% (pays quarterly) | 3/20/29 | 60,549 | — | 60,549 |
TWD | 623,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.38% (pays quarterly) | 3/20/29 | 55,609 | — | 55,609 |
USD | 10,000 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | 84,379 | — | 84,379 |
USD | 65,150 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | 552,742 | — | 552,742 |
USD | 38,900 | Pays | SOFR (pays annually) | 4.05% (pays annually) | 9/20/28 | 503,668 | — | 503,668 |
USD | 38,900 | Pays | SOFR (pays annually) | 4.06% (pays annually) | 9/20/28 | 508,138 | — | 508,138 |
USD | 18,760 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (207,409) | — | (207,409) |
USD | 26,270 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (267,831) | — | (267,831) |
USD | 25,325 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (246,465) | — | (246,465) |
USD | 23,445 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (224,111) | — | (224,111) |
ZAR | 14,620 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (27,558) | — | (27,558) |
ZAR | 521,034 | Pays | 3-month ZAR JIBAR (pays quarterly) | 7.67% (pays quarterly) | 1/19/28 | (153,127) | 222 | (152,905) |
Total | $1,873,549 | $20,676 | $1,894,225 |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate* | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Brazil | $7,651 | 1.00% (pays quarterly)(1) | 12/20/28 | $ 114,096 | $(263,052) | $(148,956) | |
Malaysia | 20,400 | 1.00% (pays quarterly)(1) | 12/20/28 | (521,649) | 445,772 | (75,877) | |
Total | $(407,553) | $182,720 | $(224,833) |
* | The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
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Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 6,058,901,240 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | 1/13/33 | $15,504 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 952,568,100 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 30,000 (pays semi-annually)* | 4/8/32 | (163,449) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,921,491,280 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 92,000 (pays semi-annually)* | 4/11/32 | (545,118) |
$(693,063) |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
HICP | – Harmonised Indices of Consumer Prices |
JIBAR | – Johannesburg Interbank Average Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
STACR | – Structured Agency Credit Risk |
TAIBOR | – Taipei Interbank Offered Rate |
TBA | – To Be Announced |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
BHD | – Bahraini Dinar |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HKD | – Hong Kong Dollar |
IDR | – Indonesian Rupiah |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
NZD | – New Zealand Dollar |
OMR | – Omani Rial |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
RSD | – Serbian Dinar |
SAR | – Saudi Riyal |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
Basis for Consolidation
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GOP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The net assets of the Subsidiary at January 31, 2024 were $920,753 or less than 0.1% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
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Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilized various interest rate derivatives including interest rate futures contracts, interest rate swaps, inflation swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
At January 31, 2024, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
Reverse Repurchase Agreements
Reverse repurchase agreements outstanding as of January 31, 2024 were as follows:
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
Barclays Bank PLC | 1/17/24 | On Demand(1) | 5.65% | $24,801,210 | $24,854,957 |
Barclays Bank PLC | 1/17/24 | On Demand(1) | 5.65 | 23,415,218 | 23,465,962 |
Total | $48,216,428 | $48,320,919 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
At January 31, 2024, the remaining contractual maturity of all open reverse repurchase agreements was overnight and continuous. At January 31, 2024, the underlying collateral for all open reverse repurchase agreements was comprised of sovereign government bonds having an aggregate market value of $49,151,649.
Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at January 31, 2024. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at January 31, 2024.
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Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
Restricted Securities
At January 31, 2024, the Portfolio owned the following securities (representing 2.0% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees’ valuation designee.
Description | Date(s) of Acquisition | Shares | Cost | Value |
Reinsurance Side Cars | ||||
Mt. Logan Re Ltd., Series 13, Preference Shares | 1/2/18 | 10,000 | $ 6,658,283 | $15,910,220 |
Mt. Logan Re Ltd., Series 17, Preference Shares | 1/26/21 | 860 | 572,931 | 1,350,305 |
PartnerRe ILS Fund SAC Ltd. | 1/2/24 | 34,000,000 | 34,000,000 | 34,000,000 |
Sussex Capital Ltd., Designated Investment Series 5, 5/19 | 5/31/19 | 249 | 212,150 | 11,252 |
Sussex Capital Ltd., Designated Investment Series 5, 12/19 | 1/17/20 | 791 | 673,953 | 44,952 |
Sussex Capital Ltd., Designated Investment Series 5, 6/20 | 6/30/20 | 434 | 64,320 | 39,182 |
Sussex Capital Ltd., Designated Investment Series 5, 4/21 | 4/1/21 | 247 | 195,858 | 12,944 |
Sussex Capital Ltd., Designated Investment Series 5, 12/21 | 1/24/22 | 958 | 952,280 | 23,228 |
Sussex Capital Ltd., Designated Investment Series 5, 11/22 | 3/11/22 | 958 | 956,716 | 257,269 |
Sussex Capital Ltd., Designated Investment Series 15, 12/21 | 1/24/22 | 743 | 738,092 | 18,003 |
Sussex Capital Ltd., Designated Investment Series 15, 11/22 | 3/11/22 | 721 | 720,077 | 193,633 |
Sussex Capital Ltd., Series 5, Preference Shares | 12/17/18 | 5,583 | 2,470,224 | 7,502,294 |
Sussex Capital Ltd., Series 15, Preference Shares | 6/1/21 | 4,657 | 3,298,581 | 5,653,275 |
Sussex Re Ltd., Series 2020A | 1/21/20 | 4,081,939 | 0 | 154,706 |
Sussex Re Ltd., Series 2021A | 1/14/21 | 4,154,232 | 0 | 304,505 |
Total Restricted Securities | $51,513,465 | $65,475,768 |
Affiliated Investments
At January 31, 2024, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $310,603,619, which represents 9.4% of the Portfolio's net assets. Transactions in such investments by the Portfolio for the fiscal year to date ended January 31, 2024 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) | $422,234,524 | $737,844,939 | $(849,475,844) | $ — | $ — | $310,603,619 | $3,997,185 | 310,603,619 |
(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.
30
Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
At January 31, 2024, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at fair value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 340,607,178 | $ — | $ 340,607,178 |
Closed-End Funds | 7,462,699 | — | — | 7,462,699 |
Collateralized Mortgage Obligations | — | 1,067,402,654 | — | 1,067,402,654 |
Commercial Mortgage-Backed Securities | — | 18,160,572 | — | 18,160,572 |
Common Stocks | 1,417,802 | 3,830,815* | — | 5,248,617 |
Convertible Bonds | — | 86,133,290 | — | 86,133,290 |
Convertible Preferred Stocks | 2,725,281 | — | — | 2,725,281 |
Exchange-Traded Funds | 11,726,781 | — | — | 11,726,781 |
Foreign Corporate Bonds | — | 230,753,182 | 0 | 230,753,182 |
Loan Participation Notes | — | — | 16,899,854 | 16,899,854 |
Reinsurance Side Cars | — | 34,000,000 | 72,137,924 | 106,137,924 |
Sovereign Government Bonds | — | 351,720,912 | — | 351,720,912 |
U.S. Department of Agriculture Loans | — | 5,674,213 | — | 5,674,213 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 13,793,148 | — | 13,793,148 |
U.S. Government Agency Mortgage-Backed Securities | — | 1,043,858,739 | — | 1,043,858,739 |
U.S. Government Guaranteed Small Business Administration Loans | — | 9,124,199 | — | 9,124,199 |
U.S. Treasury Obligations | — | 10,727,100 | — | 10,727,100 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments: | ||||
Affiliated Fund | 310,603,619 | — | — | 310,603,619 |
Repurchase Agreements | — | 60,696,826 | — | 60,696,826 |
U.S. Treasury Obligations | — | 70,008,344 | — | 70,008,344 |
Total Investments | $333,936,182 | $3,346,491,172 | $89,037,778 | $3,769,465,132 |
Forward Foreign Currency Exchange Contracts | $ — | $ 3,904,680 | $ — | $ 3,904,680 |
Futures Contracts | 25,095,872 | — | — | 25,095,872 |
Swap Contracts | — | 23,385,385 | — | 23,385,385 |
Total | $359,032,054 | $3,373,781,237 | $89,037,778 | $3,821,851,069 |
Liability Description | ||||
Securities Sold Short | $ — | $ (54,941,749) | $ — | $ (54,941,749) |
Forward Foreign Currency Exchange Contracts | — | (3,755,201) | — | (3,755,201) |
Futures Contracts | (10,240,296) | — | — | (10,240,296) |
Swap Contracts | — | (17,888,896) | — | (17,888,896) |
Total | $(10,240,296) | $ (76,585,846) | $ — | $ (86,826,142) |
* | 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. |
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Global Opportunities Portfolio
January 31, 2024
Consolidated Portfolio of Investments (Unaudited) — continued
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Foreign Corporate Bonds | Loan Participation Notes | Reinsurance Side Cars* | Miscellaneous | Total | |
Balance as of October 31, 2023 | $0 | $15,902,788 | $63,870,436 | $0 | $79,773,224 |
Realized gains (losses) | — | — | 511,804 | 57,727 | 569,531 |
Change in net unrealized appreciation (depreciation) | (628,325) | 926,938 | 2,519,176 | — | 2,817,789 |
Cost of purchases | — | — | 34,000,000 | — | 34,000,000 |
Proceeds from sales, including return of capital | — | — | (28,763,492) | (57,727) | (28,821,219) |
Accrued discount (premium) | — | 70,128 | — | — | 70,128 |
Transfers to Level 3(1) | 628,325 | — | — | — | 628,325 |
Transfers from Level 3 | — | — | — | — | — |
Balance as of January 31, 2024 | $ 0 | $16,899,854 | $ 72,137,924 | $ 0 | $ 89,037,778 |
Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2024 | $(628,325) | $ 926,938 | $ 6,306,983 | $ — | $ 6,605,596 |
* | The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
(1) | Transferred from Level 2 to Level 3 due to restrictions imposed on the sale of the investment. |
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of January 31, 2024:
Type of Investment | Fair Value as of January 31, 2024 | Valuation Technique | Unobservable Input | Range of Unobservable Input | Impact to Valuation from an Increase to Input* |
Foreign Corporate Bonds | $0 | Estimated Recovery Value | Estimated Recovery Value Percentage | 0% | Increase |
Loan Participation Notes | 16,899,854 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 1.14% - 1.66%** | Decrease |
Miscellaneous | 0 | Estimated Value | Estimated Recovery Value Percentage | 0% | Increase |
* | 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 1.15% 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.
32