Eaton Vance
Global Sovereign Opportunities Fund
January 31, 2024 (Unaudited)
Eaton Vance Global Sovereign Opportunities Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, invests its assets in International Income Portfolio (the Portfolio) and owns a pro rata interest in the Portfolio’s net assets. At January 31, 2024, the value of the Fund’s investment in the Portfolio was $37,813,710 and the Fund owned 99.9% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
1
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited)
Collateralized Mortgage Obligations — 7.6% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. STACR REMICS Trust, Series 2022-DNA1, Class M2, 7.845%, (30-day SOFR Average + 2.50%), 1/25/42(1)(2) | $ | 1,800 | $ 1,823,921 |
Government National Mortgage Association, Series 2023-115, Class AL, 6.00%, 8/20/53 | 1,000 | 1,038,430 | |
Total Collateralized Mortgage Obligations (identified cost $2,698,315) | $ 2,862,351 |
Foreign Corporate Bonds — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
Paraguay — 0.8% | |||
Itau BBA International PLC, 9.03%, 2/19/30 | PYG | 1,906,340 | $ 278,592 |
Total Foreign Corporate Bonds (identified cost $280,990) | $ 278,592 |
Sovereign Government Bonds — 58.0% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 4.6% | |||
Brazil Letras do Tesouro Nacional, 0.00%, 4/1/24 | BRL | 8,760 | $ 1,735,688 |
$ 1,735,688 | |||
China — 2.1% | |||
China Government Bonds: | |||
2.67%, 11/25/33 | CNY | 3,000 | $ 426,757 |
3.00%, 10/15/53 | CNY | 2,500 | 374,872 |
$ 801,629 | |||
Colombia — 2.2% | |||
Titulos De Tesoreria B: | |||
7.00%, 6/30/32 | COP | 817,000 | $ 181,543 |
13.25%, 2/9/33 | COP | 2,040,400 | 637,674 |
$ 819,217 | |||
Dominican Republic — 4.4% | |||
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(3) | DOP | 900 | $ 14,195 |
13.00%, 12/5/25(1) | DOP | 8,440 | 149,164 |
Security | Principal Amount (000's omitted) | Value | |
Dominican Republic (continued) | |||
Dominican Republic Central Bank Notes: (continued) | |||
13.00%, 1/30/26(1) | DOP | 6,240 | $ 110,542 |
Dominican Republic International Bonds: | |||
8.00%, 1/15/27(3) | DOP | 3,970 | 63,375 |
8.00%, 2/12/27(3) | DOP | 20,150 | 321,214 |
11.25%, 9/15/35(1) | DOP | 8,000 | 146,761 |
12.00%, 8/8/25(1) | DOP | 10,500 | 181,459 |
13.00%, 6/10/34(3) | DOP | 25,400 | 504,811 |
13.625%, 2/3/33(1) | DOP | 8,000 | 165,226 |
$ 1,656,747 | |||
Germany — 5.0% | |||
Bundesrepublik Deutschland Bundesanleihe, 1.70%, 8/15/32(3) | EUR | 1,800 | $ 1,890,071 |
$ 1,890,071 | |||
Greece — 0.0%(4) | |||
Hellenic Republic Government Bonds, 0.00%, GDP-Linked, 10/15/42 | EUR | 4,090 | $ 12,598 |
$ 12,598 | |||
Hungary — 1.3% | |||
Hungary Government Bonds: | |||
4.00%, 4/28/51 | HUF | 37,210 | $ 72,482 |
4.75%, 11/24/32 | HUF | 167,540 | 434,790 |
$ 507,272 | |||
Iceland — 7.4% | |||
Republic of Iceland: | |||
4.50%, 2/17/42 | ISK | 184,453 | $ 1,076,173 |
5.00%, 11/15/28 | ISK | 3,916 | 26,061 |
7.00%, 9/17/35 | ISK | 15,871 | 119,802 |
8.00%, 6/12/25 | ISK | 218,166 | 1,573,742 |
$ 2,795,778 | |||
India — 4.9% | |||
India Government Bonds: | |||
7.10%, 4/18/29 | INR | 94,900 | $ 1,143,186 |
7.26%, 2/6/33 | INR | 59,600 | 723,220 |
$ 1,866,406 | |||
Indonesia — 1.9% | |||
Indonesia Treasury Bonds: | |||
6.125%, 5/15/28 | IDR | 1,053,000 | $ 66,280 |
2
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Indonesia (continued) | |||
Indonesia Treasury Bonds: (continued) | |||
7.125%, 6/15/42 | IDR | 1,472,000 | $ 95,288 |
7.125%, 6/15/43 | IDR | 8,036,000 | 523,944 |
7.375%, 5/15/48 | IDR | 529,000 | 35,406 |
$ 720,918 | |||
Mexico — 2.3% | |||
Mexican Bonos: | |||
7.75%, 11/13/42(5) | MXN | 9,160 | $ 457,678 |
8.00%, 7/31/53(5) | MXN | 8,400 | 421,457 |
$ 879,135 | |||
Peru — 3.3% | |||
Peru Government Bonds: | |||
5.40%, 8/12/34 | PEN | 1,243 | $ 297,455 |
6.714%, 2/12/55 | PEN | 1,820 | 477,584 |
6.95%, 8/12/31 | PEN | 845 | 232,080 |
7.30%, 8/12/33(1)(3) | PEN | 914 | 253,663 |
$ 1,260,782 | |||
Philippines — 1.5% | |||
Philippines Government International Bonds, 6.25%, 1/14/36 | PHP | 34,000 | $ 564,003 |
$ 564,003 | |||
Serbia — 6.5% | |||
Serbia Treasury Bonds: | |||
5.875%, 2/8/28 | RSD | 187,260 | $ 1,785,300 |
7.00%, 10/26/31 | RSD | 67,850 | 666,423 |
$ 2,451,723 | |||
South Africa — 5.3% | |||
Republic of South Africa Government Bonds: | |||
8.00%, 1/31/30 | ZAR | 19,710 | $ 971,736 |
10.50%, 12/21/26 | ZAR | 18,138 | 1,013,578 |
$ 1,985,314 | |||
South Korea — 1.4% | |||
Korea Treasury Bonds, 4.00%, 12/10/31 | KRW | 692,140 | $ 540,895 |
$ 540,895 | |||
Ukraine — 0.1% | |||
Ukraine Government Bonds: | |||
15.84%, 2/26/25 | UAH | 444 | $ 9,160 |
Security | Principal Amount (000's omitted) | Value | |
Ukraine (continued) | |||
Ukraine Government Bonds: (continued) | |||
19.19%, 9/30/26 | UAH | 682 | $ 17,175 |
$ 26,335 | |||
Uruguay — 3.8% | |||
Uruguay Government International Bonds: | |||
3.875%, 7/2/40(6) | UYU | 11,247 | $ 308,260 |
8.25%, 5/21/31 | UYU | 5,490 | 132,774 |
9.75%, 7/20/33 | UYU | 37,543 | 992,005 |
$ 1,433,039 | |||
Total Sovereign Government Bonds (identified cost $22,664,872) | $21,947,550 |
U.S. Government Agency Mortgage-Backed Securities — 9.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
5.00%, with maturity at 2052 | $ | 928 | $ 918,741 |
5.148%, (COF + 1.791%), with maturity at 2035(7) | 92 | 90,406 | |
Uniform Mortgage-Backed Security, 5.50%, 30-Year, TBA(8) | 2,700 | 2,710,863 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,417,084) | $ 3,720,010 |
U.S. Treasury Obligations — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bonds, 0.625%, 7/15/32(9) | $ | 343 | $ 315,980 |
Total U.S. Treasury Obligations (identified cost $328,437) | $ 315,980 |
Short-Term Investments — 35.8% |
Affiliated Fund — 6.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.21%(10) | 2,460,258 | $ 2,460,258 | |
Total Affiliated Fund (identified cost $2,460,258) | $ 2,460,258 |
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International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Repurchase Agreements — 4.6% |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 6,300,000 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $342,424(11) | USD | 250 | $ 249,927 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 8,100,000 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $296,382(11) | USD | 326 | 326,281 |
JPMorgan Chase Bank, N.A.: | |||
Dated 1/8/24 with an interest rate of 10.70%, collateralized by MXN 22,000,000 Mexican Bonos, 8.00%, due 7/31/53 and a market value, including accrued interest, of $1,144,718(11) | MXN | 19,834 | 1,152,372 |
Total Repurchase Agreements (identified cost $1,754,772) | $ 1,728,580 |
U.S. Treasury Obligations — 24.7% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 2/1/24 | $ | 1,273 | $ 1,273,000 |
0.00%, 2/22/24 | 1,250 | 1,246,167 | |
0.00%, 2/29/24(12) | 2,981 | 2,968,819 | |
0.00%, 3/21/24 | 1,300 | 1,290,688 | |
0.00%, 4/18/24(12) | 2,600 | 2,571,097 | |
Total U.S. Treasury Obligations (identified cost $9,349,863) | $ 9,349,771 | ||
Total Short-Term Investments (identified cost $13,564,893) | $13,538,609 |
Total Purchased Options — 0.0%(4) (identified cost $18,395) | $ 16,221 | ||
Total Investments — 112.8% (identified cost $42,972,986) | $42,679,313 |
Securities Sold Short — (4.6)% | |||
Sovereign Government Bonds — (4.6)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (4.6)% | |||
Mexican Bonos, 8.00%, 7/31/53 | MXN | (22,000) | $(1,103,816) |
Security | Principal Amount (000's omitted) | Value | |
Mexico (continued) | |||
Mexican Udibonos: | |||
4.00%, 11/15/40(6) | MXN | (6,529) | $ (358,010) |
4.00%, 11/3/50(6) | MXN | (5,078) | (274,240) |
Total Sovereign Government Bonds (proceeds $1,694,168) | $(1,736,066) | ||
Total Securities Sold Short (proceeds $1,694,168) | $(1,736,066) |
Other Assets, Less Liabilities — (8.2)% | $(3,121,344) | ||
Net Assets — 100.0% | $37,821,903 |
The percentage shown for each investment category in the 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 $2,830,736 or 7.5% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2024. |
(3) | 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 $3,047,329 or 8.1% of the Portfolio's net assets. |
(4) | Amount is less than 0.05%. |
(5) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(6) | 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. |
(7) | 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. |
(8) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(9) | 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. |
4
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
(10) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of January 31, 2024. |
(11) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(12) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Currency Options (OTC) — 0.0%(1) | |||||||
Description | Counterparty | Notional Amount | Exercise Price | Expiration Date | Value | ||
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 1,100,000 | INR | 85.50 | 1/25/29 | $ 8,069 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 600,000 | INR | 85.50 | 1/25/29 | 4,402 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 510,000 | INR | 85.50 | 1/30/29 | 3,750 |
Total | $16,221 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
CLP | 157,600,000 | USD | 177,595 | 3/20/24 | $ (8,699) |
COP | 523,040,000 | USD | 128,391 | 3/20/24 | 4,786 |
COP | 99,298,000 | USD | 24,962 | 3/20/24 | 322 |
COP | 4,602,000 | USD | 1,155 | 3/20/24 | 16 |
EUR | 258,453 | USD | 280,300 | 3/20/24 | (435) |
EUR | 67,274 | USD | 74,254 | 3/20/24 | (1,407) |
EUR | 8,231,202 | USD | 9,085,265 | 3/20/24 | (172,130) |
IDR | 916,765,204 | USD | 58,628 | 3/20/24 | (552) |
IDR | 2,905,400,000 | USD | 184,646 | 3/20/24 | (591) |
IDR | 1,461,000,000 | USD | 93,390 | 3/20/24 | (837) |
IDR | 4,986,000,000 | USD | 316,752 | 3/20/24 | (893) |
IDR | 1,845,000,000 | USD | 117,850 | 3/20/24 | (971) |
IDR | 4,861,000,000 | USD | 308,988 | 3/20/24 | (1,048) |
IDR | 1,040,005,192 | USD | 66,990 | 3/20/24 | (1,106) |
IDR | 4,861,000,000 | USD | 309,067 | 3/20/24 | (1,126) |
IDR | 1,050,000,000 | USD | 68,167 | 3/20/24 | (1,650) |
IDR | 2,425,483,300 | USD | 156,316 | 3/20/24 | (2,663) |
IDR | 17,549,829,911 | USD | 1,123,045 | 3/20/24 | (11,278) |
INR | 30,357,083 | USD | 363,315 | 3/20/24 | 1,381 |
INR | 2,800,000 | USD | 33,472 | 3/20/24 | 166 |
KRW | 410,757,211 | USD | 315,843 | 3/20/24 | (7,248) |
KRW | 1,350,000,000 | USD | 1,038,785 | 3/20/24 | (24,553) |
PEN | 9,000 | USD | 2,433 | 3/20/24 | (69) |
PEN | 181,000 | USD | 48,899 | 3/20/24 | (1,375) |
PEN | 1,000,000 | USD | 264,180 | 3/20/24 | (1,613) |
PEN | 471,942 | USD | 127,373 | 3/20/24 | (3,457) |
PEN | 907,200 | USD | 243,688 | 3/20/24 | (5,487) |
5
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
PEN | 3,990,501 | USD | 1,063,992 | 3/20/24 | $ (16,220) |
USD | 177,595 | CLP | 157,600,000 | 3/20/24 | 8,699 |
USD | 767,248 | COP | 3,125,615,800 | 3/20/24 | (28,599) |
USD | 2,611,696 | EUR | 2,366,183 | 3/20/24 | 49,481 |
USD | 2,223,771 | EUR | 2,014,725 | 3/20/24 | 42,132 |
USD | 1,460,946 | EUR | 1,323,609 | 3/20/24 | 27,679 |
USD | 1,285,324 | EUR | 1,164,497 | 3/20/24 | 24,352 |
USD | 856,230 | EUR | 775,740 | 3/20/24 | 16,222 |
USD | 850,882 | EUR | 770,895 | 3/20/24 | 16,121 |
USD | 599,387 | EUR | 543,041 | 3/20/24 | 11,356 |
USD | 529,503 | EUR | 479,727 | 3/20/24 | 10,032 |
USD | 174,480 | EUR | 158,078 | 3/20/24 | 3,306 |
USD | 14,612 | EUR | 13,239 | 3/20/24 | 277 |
USD | 1,091,170 | IDR | 17,053,900,000 | 3/20/24 | 10,819 |
USD | 849,126 | IDR | 13,269,284,263 | 3/20/24 | 8,527 |
USD | 223,906 | IDR | 3,470,100,000 | 3/20/24 | 4,078 |
USD | 151,955 | IDR | 2,374,900,000 | 3/20/24 | 1,507 |
USD | 118,248 | IDR | 1,847,865,204 | 3/20/24 | 1,187 |
USD | 902,438 | PEN | 3,416,000 | 3/20/24 | 5,511 |
USD | 341,466 | PEN | 1,292,449 | 3/20/24 | 2,112 |
USD | 206,269 | PEN | 781,000 | 3/20/24 | 1,205 |
USD | 178,180 | PEN | 675,000 | 3/20/24 | 948 |
USD | 142,280 | PEN | 539,000 | 3/20/24 | 757 |
USD | 97,482 | PEN | 369,000 | 3/20/24 | 595 |
USD | 87,444 | PEN | 331,000 | 3/20/24 | 534 |
USD | 291,471 | PEN | 1,108,114 | 3/20/24 | 517 |
USD | 36,818 | PEN | 139,354 | 3/20/24 | 228 |
USD | 33,107 | PEN | 125,310 | 3/20/24 | 205 |
USD | 25,605 | PEN | 97,000 | 3/20/24 | 136 |
USD | 22,185 | PEN | 84,000 | 3/20/24 | 130 |
USD | 22,966 | PEN | 87,000 | 3/20/24 | 122 |
USD | 20,072 | PEN | 76,000 | 3/20/24 | 117 |
USD | 15,310 | PEN | 58,000 | 3/20/24 | 81 |
USD | 42,045 | PEN | 159,846 | 3/20/24 | 75 |
USD | 13,727 | PEN | 52,000 | 3/20/24 | 73 |
USD | 37,785 | PEN | 143,649 | 3/20/24 | 67 |
USD | 161,926 | PHP | 9,000,000 | 3/20/24 | 1,937 |
USD | 161,303 | PHP | 9,000,000 | 3/20/24 | 1,315 |
USD | 98,852 | PHP | 5,500,000 | 3/20/24 | 1,081 |
USD | 107,540 | PHP | 6,000,000 | 3/20/24 | 881 |
USD | 107,026 | PHP | 6,000,000 | 3/20/24 | 367 |
BRL | 139,000 | USD | 28,212 | 4/2/24 | (321) |
BRL | 272,000 | USD | 55,767 | 4/2/24 | (1,189) |
USD | 1,445,577 | BRL | 7,165,000 | 4/2/24 | 7,875 |
6
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 321,618 | BRL | 1,595,000 | 4/2/24 | $ 1,571 |
$(24,631) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 429,406 | EUR | 394,864 | Citibank, N.A. | 2/9/24 | $ 2,553 | $ — |
USD | 293,032 | EUR | 268,853 | Citibank, N.A. | 2/9/24 | 2,398 | — |
HUF | 62,846,911 | EUR | 164,132 | UBS AG | 2/20/24 | — | (878) |
HUF | 191,086,485 | EUR | 501,421 | UBS AG | 2/20/24 | — | (5,239) |
TRY | 3,472,556 | USD | 111,354 | Standard Chartered Bank | 2/22/24 | 998 | — |
EUR | 312,329 | CZK | 7,700,000 | Barclays Bank PLC | 2/26/24 | 2,968 | — |
EUR | 66,680 | CZK | 1,650,000 | HSBC Bank USA, N.A. | 2/26/24 | 368 | — |
SGD | 1,000,000 | USD | 749,406 | Citibank, N.A. | 2/26/24 | — | (3,163) |
SGD | 1,000,000 | USD | 755,016 | Citibank, N.A. | 2/26/24 | — | (8,772) |
SGD | 200,000 | USD | 150,898 | Goldman Sachs International | 2/26/24 | — | (1,650) |
SGD | 520,000 | USD | 389,595 | Standard Chartered Bank | 2/26/24 | — | (1,549) |
HUF | 56,113,315 | EUR | 143,188 | Goldman Sachs International | 2/29/24 | 2,632 | — |
HUF | 40,032,062 | EUR | 103,040 | Goldman Sachs International | 3/1/24 | 901 | — |
JPY | 6,200,000 | USD | 43,031 | Citibank, N.A. | 3/13/24 | — | (640) |
JPY | 32,470,000 | USD | 232,599 | HSBC Bank USA, N.A. | 3/13/24 | — | (10,594) |
JPY | 688,849,895 | USD | 4,934,574 | HSBC Bank USA, N.A. | 3/13/24 | — | (224,753) |
AUD | 107,000 | USD | 70,426 | Standard Chartered Bank | 3/20/24 | — | (121) |
AUD | 1,193,000 | USD | 785,212 | Standard Chartered Bank | 3/20/24 | — | (1,348) |
AUD | 69,000 | USD | 45,396 | UBS AG | 3/20/24 | — | (59) |
AUD | 94,000 | USD | 61,894 | UBS AG | 3/20/24 | — | (131) |
AUD | 771,932 | USD | 507,865 | UBS AG | 3/20/24 | — | (664) |
AUD | 1,040,000 | USD | 684,783 | UBS AG | 3/20/24 | — | (1,447) |
CAD | 69,000 | USD | 51,712 | JPMorgan Chase Bank, N.A. | 3/20/24 | — | (358) |
CAD | 1,720,000 | USD | 1,269,982 | State Street Bank and Trust Company | 3/20/24 | 10,148 | — |
CAD | 390,000 | USD | 287,961 | State Street Bank and Trust Company | 3/20/24 | 2,301 | — |
CZK | 800,000 | EUR | 32,628 | UBS AG | 3/20/24 | — | (550) |
EUR | 409,755 | HUF | 158,435,827 | UBS AG | 3/20/24 | — | (340) |
EUR | 398,829 | USD | 434,473 | Standard Chartered Bank | 3/20/24 | — | (2,602) |
EUR | 1,287,230 | USD | 1,396,607 | Standard Chartered Bank | 3/20/24 | — | (2,734) |
EUR | 328,665 | USD | 358,752 | UBS AG | 3/20/24 | — | (2,858) |
GBP | 1,240,000 | USD | 1,565,980 | State Street Bank and Trust Company | 3/20/24 | 6,052 | — |
HUF | 212,613,347 | EUR | 555,247 | HSBC Bank USA, N.A. | 3/20/24 | — | (5,364) |
HUF | 103,613,649 | EUR | 267,971 | UBS AG | 3/20/24 | 222 | — |
MXN | 2,480,000 | USD | 140,912 | BNP Paribas | 3/20/24 | 2,056 | — |
MXN | 600,000 | USD | 34,949 | Citibank, N.A. | 3/20/24 | — | (360) |
7
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
MXN | 12,600,000 | USD | 712,816 | Standard Chartered Bank | 3/20/24 | $ 13,554 | $ — |
MXN | 12,129,000 | USD | 688,762 | Standard Chartered Bank | 3/20/24 | 10,456 | — |
MXN | 7,539,000 | USD | 431,682 | Standard Chartered Bank | 3/20/24 | 2,930 | — |
NZD | 123,149 | USD | 75,364 | Standard Chartered Bank | 3/20/24 | — | (85) |
PLN | 303,198 | EUR | 69,408 | UBS AG | 3/20/24 | 520 | — |
SEK | 734,000 | EUR | 65,512 | Goldman Sachs International | 3/20/24 | — | (275) |
SEK | 3,153,000 | EUR | 284,680 | UBS AG | 3/20/24 | — | (4,715) |
TRY | 2,085,315 | USD | 66,784 | Standard Chartered Bank | 3/20/24 | — | (1,137) |
USD | 184,276 | AUD | 270,000 | Citibank, N.A. | 3/20/24 | 6,872 | — |
USD | 338,000 | CNH | 2,400,000 | BNP Paribas | 3/20/24 | 3,176 | — |
USD | 42,250 | CNH | 300,000 | BNP Paribas | 3/20/24 | 397 | — |
USD | 171,642 | CNH | 1,225,916 | Citibank, N.A. | 3/20/24 | 615 | — |
USD | 704,165 | CNH | 5,000,000 | Goldman Sachs International | 3/20/24 | 6,615 | — |
USD | 621,771 | CNH | 4,427,300 | Goldman Sachs International | 3/20/24 | 4,118 | — |
USD | 70,417 | CNH | 500,000 | Goldman Sachs International | 3/20/24 | 661 | — |
USD | 281,017 | CNH | 2,000,000 | HSBC Bank USA, N.A. | 3/20/24 | 1,997 | — |
USD | 670,231 | CNH | 4,756,800 | Standard Chartered Bank | 3/20/24 | 6,610 | — |
USD | 474,101 | CNH | 3,372,300 | Standard Chartered Bank | 3/20/24 | 3,631 | — |
USD | 80,454 | CNH | 571,000 | Standard Chartered Bank | 3/20/24 | 793 | — |
USD | 1,087,000 | MXN | 18,942,071 | Citibank, N.A. | 3/20/24 | — | (4,980) |
USD | 255,071 | MXN | 4,508,800 | Standard Chartered Bank | 3/20/24 | — | (4,854) |
USD | 40,314 | MXN | 693,665 | State Street Bank and Trust Company | 3/20/24 | 325 | — |
USD | 283,158 | MYR | 1,310,000 | Goldman Sachs International | 3/20/24 | 4,708 | — |
USD | 58,410 | MYR | 270,000 | Goldman Sachs International | 3/20/24 | 1,020 | — |
USD | 542,563 | NZD | 880,000 | Standard Chartered Bank | 3/20/24 | 4,631 | — |
USD | 1,529,428 | NZD | 2,499,162 | Standard Chartered Bank | 3/20/24 | 1,724 | — |
USD | 45,008 | NZD | 73,000 | Standard Chartered Bank | 3/20/24 | 384 | — |
USD | 126,679 | NZD | 207,000 | Standard Chartered Bank | 3/20/24 | 143 | — |
USD | 25,012 | NZD | 40,000 | UBS AG | 3/20/24 | 560 | — |
USD | 157,300 | PEN | 596,000 | Standard Chartered Bank | 3/20/24 | 811 | — |
USD | 188,469 | THB | 6,600,000 | Standard Chartered Bank | 3/20/24 | 1,754 | — |
USD | 188,458 | THB | 6,600,000 | Standard Chartered Bank | 3/20/24 | 1,743 | — |
USD | 74,479 | THB | 2,600,000 | Standard Chartered Bank | 3/20/24 | 924 | — |
USD | 64,751 | TRY | 2,085,315 | Standard Chartered Bank | 3/20/24 | — | (896) |
USD | 298,932 | ZAR | 5,656,987 | BNP Paribas | 3/20/24 | — | (2,030) |
USD | 201,330 | ZAR | 3,865,531 | Citibank, N.A. | 3/20/24 | — | (4,324) |
USD | 670,315 | ZAR | 12,797,152 | Credit Agricole Corporate and Investment Bank | 3/20/24 | — | (10,518) |
USD | 202,757 | ZAR | 3,896,767 | HSBC Bank USA, N.A. | 3/20/24 | — | (4,558) |
USD | 602,577 | ZAR | 11,528,373 | UBS AG | 3/20/24 | — | (10,755) |
EUR | 172,558 | ISK | 26,341,000 | JPMorgan Chase Bank, N.A. | 3/27/24 | — | (3,991) |
ISK | 26,341,000 | EUR | 174,271 | JPMorgan Chase Bank, N.A. | 3/27/24 | 2,136 | — |
HUF | 71,093,176 | EUR | 185,979 | BNP Paribas | 4/11/24 | — | (2,660) |
HUF | 71,093,176 | EUR | 185,855 | HSBC Bank USA, N.A. | 4/11/24 | — | (2,525) |
TRY | 10,212,000 | USD | 300,161 | Standard Chartered Bank | 6/20/24 | — | (8,078) |
8
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
TRY | 1,020,467 | USD | 30,191 | Standard Chartered Bank | 6/21/24 | $ — | $ (1,033) |
USD | 29,065 | TRY | 1,020,467 | Standard Chartered Bank | 6/21/24 | — | (93) |
TRY | 1,633,974 | USD | 44,916 | Standard Chartered Bank | 9/20/24 | — | (2,214) |
TRY | 1,633,974 | USD | 44,931 | Standard Chartered Bank | 9/20/24 | — | (2,229) |
TRY | 4,078,000 | USD | 111,209 | Standard Chartered Bank | 9/20/24 | — | (4,636) |
TRY | 5,059,000 | USD | 138,127 | Standard Chartered Bank | 9/20/24 | — | (5,917) |
USD | 131,770 | TRY | 5,059,000 | Standard Chartered Bank | 9/20/24 | — | (440) |
TRY | 1,375,000 | USD | 37,027 | Standard Chartered Bank | 9/23/24 | — | (1,196) |
USD | 35,860 | TRY | 1,375,000 | Standard Chartered Bank | 9/23/24 | 29 | — |
USD | 296,058 | HKD | 2,300,000 | BNP Paribas | 12/9/24 | 145 | — |
USD | 823,904 | HKD | 6,400,000 | Deutsche Bank AG | 12/9/24 | 493 | — |
TRY | 17,570,092 | USD | 451,387 | Standard Chartered Bank | 12/16/24 | — | (28,267) |
TRY | 6,375,000 | USD | 146,786 | Standard Chartered Bank | 1/29/25 | 720 | — |
$118,792 | $(388,580) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bund | 8 | Long | 3/7/24 | $ 1,174,505 | $ 17,054 |
U.S. 5-Year Treasury Note | 100 | Long | 3/28/24 | 10,839,063 | 13,103 |
U.S. 10-Year Treasury Note | 13 | Long | 3/19/24 | 1,460,266 | 26,686 |
30 Day Federal Funds | (70) | Short | 4/30/24 | (27,655,129) | 399 |
Euro-Bobl | (1) | Short | 3/7/24 | (128,095) | (1,524) |
Japan 10-Year Bond | (1) | Short | 3/13/24 | (993,681) | (7,674) |
U.S. Ultra-Long Treasury Bond | (3) | Short | 3/19/24 | (387,656) | (11,938) |
$36,106 |
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 | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 31,401 |
EUR | 300 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 31,401 |
9
International Income Portfolio
January 31, 2024
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 | 200 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ 20,907 |
EUR | 280 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 31,856 |
EUR | 200 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (23,020) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (34,530) |
EUR | 300 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (34,650) |
EUR | 280 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (37,970) |
EUR | 110 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.64% (pays upon termination) | 3/13/53 | 7,590 |
EUR | 500 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.72% (pays upon termination) | 6/15/53 | 52,694 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.44% (pays upon termination) | 1/13/33 | 599 |
USD | 1,300 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.75% (pays upon termination) | 10/29/36 | (32,978) |
USD | 450 | Pays | Return on CPI-U (NSA) (pays upon termination) | Receives | 2.67% (pays upon termination) | 1/7/37 | (11,876) |
USD | 800 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 17,414 |
USD | 400 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.62% (pays upon termination) | 10/29/46 | 8,542 |
USD | 490 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.54% (pays upon termination) | 1/7/47 | 14,862 |
USD | 150 | Receives | Return on CPI-U (NSA) (pays upon termination) | Pays | 2.40% (pays upon termination) | 3/13/53 | 3,307 |
$45,549 |
10
International Income Portfolio
January 31, 2024
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) | |
AUD | 500 | Pays | 6-month AUD Bank Bill (pays semi-annually) | 4.48% (pays semi-annually) | 6/21/25 | $ 1,326 | $ — | $ 1,326 |
CLP | 756,080 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.77% (pays semi-annually) | 6/6/33 | 9,757 | 232 | 9,989 |
CLP | 253,920 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.65% (pays semi-annually) | 6/14/33 | 4,599 | — | 4,599 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | 4,351 | — | 4,351 |
CNY | 8,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 8,874 | — | 8,874 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 4,474 | — | 4,474 |
CNY | 2,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 2,685 | — | 2,685 |
CNY | 2,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 3,461 | — | 3,461 |
CNY | 1,100 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 1,918 | — | 1,918 |
CNY | 2,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/20/28 | 3,615 | — | 3,615 |
CNY | 4,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.43% (pays quarterly) | 12/20/28 | 8,062 | — | 8,062 |
CZK | 3,829 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | 2,912 | — | 2,912 |
CZK | 7,658 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 6,224 | — | 6,224 |
CZK | 11,513 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 9,671 | — | 9,671 |
CZK | 11,170 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.12% (pays annually) | 12/20/33 | 19,441 | — | 19,441 |
CZK | 9,530 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 12/20/33 | 17,909 | — | 17,909 |
EUR | 4,100 | Pays | 6-month EURIBOR (pays semi-annually) | 3.60% (pays annually) | 6/21/25 | 102,461 | — | 102,461 |
EUR | 2,065 | Pays | 6-month EURIBOR (pays semi-annually) | 3.14% (pays annually) | 9/20/28 | 50,276 | — | 50,276 |
EUR | 2,065 | Pays | 6-month EURIBOR (pays semi-annually) | 3.20% (pays annually) | 9/20/28 | 56,920 | — | 56,920 |
EUR | 625 | Pays | 6-month EURIBOR (pays semi-annually) | 2.96% (pays annually) | 9/20/43 | 34,340 | — | 34,340 |
EUR | 625 | Pays | 6-month EURIBOR (pays semi-annually) | 3.00% (pays annually) | 9/20/43 | 38,855 | — | 38,855 |
11
International Income Portfolio
January 31, 2024
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) | |
GBP | 101 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.56% (pays annually) | 10/2/28 | $ 4,495 | $ — | $ 4,495 |
GBP | 540 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.27% (pays annually) | 12/20/28 | 17,800 | — | 17,800 |
GBP | 540 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.28% (pays annually) | 12/20/28 | 18,090 | — | 18,090 |
GBP | 199 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.39% (pays annually) | 12/20/28 | 7,930 | — | 7,930 |
GBP | 100 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.59% (pays annually) | 12/20/28 | 5,083 | — | 5,083 |
GBP | 1,853 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 3.83% (pays annually) | 3/20/29 | 25,665 | — | 25,665 |
GBP | 850 | Pays | 1-day Sterling Overnight Index Average (pays annually) | 4.20% (pays annually) | 6/21/33 | 46,628 | — | 46,628 |
INR | 37,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 3,461 | — | 3,461 |
INR | 23,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 2,164 | — | 2,164 |
INR | 121,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 11,982 | — | 11,982 |
INR | 173,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 17,190 | — | 17,190 |
INR | 34,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.14% (pays semi-annually) | 3/20/29 | (380) | — | (380) |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (17) | — | (17) |
JPY | 153,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (2,692) | 2 | (2,690) |
JPY | 205,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (3,635) | 3 | (3,632) |
JPY | 265,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.33% (pays annually) | 12/20/25 | (4,731) | 3 | (4,728) |
JPY | 243,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.34% (pays annually) | 12/20/25 | (4,504) | 3 | (4,501) |
JPY | 273,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.34% (pays annually) | 12/20/25 | (5,138) | 4 | (5,134) |
JPY | 129,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.41% (pays annually) | 9/20/28 | 1,431 | — | 1,431 |
12
International Income Portfolio
January 31, 2024
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) | |
JPY | 80,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | $ 15,138 | $ — | $ 15,138 |
JPY | 90,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.43% (pays annually) | 6/15/32 | 17,031 | — | 17,031 |
JPY | 21,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.90% (pays annually) | 2/2/33 | (1,987) | — | (1,987) |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 40 | — | 40 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.80% (pays annually) | 9/20/33 | 40 | — | 40 |
JPY | 1,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.81% (pays annually) | 9/20/33 | 36 | — | 36 |
JPY | 120,000 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.82% (pays annually) | 9/20/33 | 3,391 | — | 3,391 |
KRW | 60,947 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.23% (pays quarterly) | 6/21/33 | 81 | — | 81 |
KRW | 370,101 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 6/21/33 | 2,270 | — | 2,270 |
KRW | 68,321 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | 501 | — | 501 |
KRW | 18,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | 162 | — | 162 |
KRW | 30,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | 154 | — | 154 |
KRW | 21,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | 129 | — | 129 |
KRW | 5,131 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | 33 | — | 33 |
KRW | 28,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | 220 | — | 220 |
KRW | 28,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | 239 | — | 239 |
KRW | 44,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | 547 | — | 547 |
KRW | 45,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | 895 | — | 895 |
13
International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
KRW | 91,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | $ 2,030 | $ — | $ 2,030 |
KRW | 42,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 940 | — | 940 |
KRW | 36,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 815 | — | 815 |
KRW | 42,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | 1,032 | — | 1,032 |
MXN | 51,430 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.88% (pays monthly) | 1/6/25 | 597 | — | 597 |
MXN | 141,200 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.82% (pays monthly) | 1/7/25 | (2,692) | — | (2,692) |
MXN | 124,570 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.80% (pays monthly) | 1/8/25 | (3,685) | — | (3,685) |
MXN | 7,400 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 8.67% (pays monthly) | 1/11/29 | 1,023 | — | 1,023 |
MXN | 9,770 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 12/1/33 | 2,110 | — | 2,110 |
MXN | 9,400 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.77% (pays monthly) | 12/1/33 | 4,245 | — | 4,245 |
MXN | 5,820 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.43% (pays monthly) | 12/2/33 | (5,112) | — | (5,112) |
MXN | 6,010 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.49% (pays monthly) | 12/2/33 | (3,982) | — | (3,982) |
PLN | 600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.99% (pays annually) | 9/21/32 | (26,239) | — | (26,239) |
PLN | 510 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.53% (pays annually) | 12/21/32 | (8,665) | — | (8,665) |
PLN | 590 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.85% (pays annually) | 12/21/32 | (13,491) | — | (13,491) |
PLN | 1,500 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.98% (pays annually) | 12/21/32 | (37,752) | — | (37,752) |
PLN | 750 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.32% (pays annually) | 2/1/33 | (13,495) | — | (13,495) |
PLN | 1,327 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.70% (pays annually) | 9/20/33 | (1,229) | — | (1,229) |
PLN | 667 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.71% (pays annually) | 9/20/33 | (739) | — | (739) |
PLN | 413 | Receives | 6-month PLN WIBOR (pays semi-annually) | 4.82% (pays annually) | 9/20/33 | (1,362) | — | (1,362) |
TWD | 7,400 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.26% (pays quarterly) | 3/20/29 | 2,063 | — | 2,063 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.27% (pays quarterly) | 3/20/29 | 2,526 | — | 2,526 |
TWD | 10,100 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.32% (pays quarterly) | 3/20/29 | 1,778 | — | 1,778 |
TWD | 23,800 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.33% (pays quarterly) | 3/20/29 | 3,721 | — | 3,721 |
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International Income Portfolio
January 31, 2024
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 | 8,000 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.35% (pays quarterly) | 3/20/29 | $ 1,029 | $ — | $ 1,029 |
TWD | 32,700 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.36% (pays quarterly) | 3/20/29 | 3,690 | — | 3,690 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.37% (pays quarterly) | 3/20/29 | 961 | — | 961 |
TWD | 9,900 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.38% (pays quarterly) | 3/20/29 | 883 | — | 883 |
USD | 1,050 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | 8,860 | — | 8,860 |
USD | 1,050 | Pays | SOFR (pays annually) | 4.01% (pays annually) | 8/4/28 | 8,908 | — | 8,908 |
USD | 1,000 | Pays | SOFR (pays annually) | 3.06% (pays annually) | 11/7/32 | (44,020) | — | (44,020) |
USD | 160 | Pays | SOFR (pays annually) | 3.23% (pays semi-annually) | 1/13/33 | (4,010) | — | (4,010) |
USD | 220 | Pays | SOFR (pays annually) | 3.22% (pays annually) | 6/6/33 | (2,432) | — | (2,432) |
USD | 310 | Pays | SOFR (pays annually) | 3.25% (pays annually) | 6/6/33 | (3,161) | — | (3,161) |
USD | 300 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/7/33 | (2,920) | — | (2,920) |
USD | 270 | Pays | SOFR (pays annually) | 3.26% (pays annually) | 6/14/33 | (2,581) | — | (2,581) |
USD | 1,265 | Pays | SOFR (pays annually) | 3.80% (pays annually) | 11/28/33 | 13,161 | — | 13,161 |
Total | $454,678 | $247 | $454,925 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Vietnam | Goldman Sachs International | $300 | 1.00% (pays quarterly)(1) | 0.55% | 6/20/24 | $880 | $(344) | $536 |
Total | $300 | $880 | $(344) | $536 |
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International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2024, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $300,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Cross-Currency Swaps (OTC) | ||||
Counterparty | Portfolio Receives | Portfolio Pays | Effective Date/ Termination Date(1) | Value/Unrealized Appreciation (Depreciation) |
Barclays Bank PLC | 1-day Indice Camara Promedio Rate on CLP 140,904,680 (pays semi-annually)* | 1.41% on CLP equivalent of CLF 172,000 (pays semi-annually)* | Not Applicable/ 1/13/33 | $361 |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 63,504,540 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 2,000 (pays semi-annually)* | Not Applicable/ 4/8/32 | (10,897) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 158,776,700 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 5,000 (pays semi-annually)* | Not Applicable/ 4/11/32 | (29,626) |
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 28,777,725 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 900 (pays semi-annually)* | Not Applicable/ 4/20/32 | (4,029) |
$(44,191) |
(1) | Effective date represents the date on which the Portfolio and counterparty exchange the currencies and begin interest payment accrual. |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations: | |
COF | – Cost of Funds 11th District |
CPI-U (NSA) | – Consumer Price Index All Urban Non-Seasonally Adjusted |
EURIBOR | – Euro Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
GDP | – Gross Domestic Product |
HICP | – Harmonised Indices of Consumer Prices |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
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 |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
CLF | – Chilean Unidad de Fomento |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
GBP | – British Pound Sterling |
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International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
HKD | – Hong Kong Dollar |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
ISK | – Icelandic Krona |
JPY | – Japanese Yen |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NZD | – New Zealand Dollar |
PEN | – Peruvian Sol |
PHP | – Philippine Peso |
PLN | – Polish Zloty |
PYG | – Paraguay Guarani |
RSD | – Serbian Dinar |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
THB | – Thai Baht |
TRY | – Turkish Lira |
TWD | – New Taiwan Dollar |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
ZAR | – South African Rand |
At January 31, 2024, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Credit Risk: The Portfolio enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase or sale of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions, inflation swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
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 | 9/29/23 | On Demand(1) | 5.65% | $375,840 | $382,918 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 419,179 | 426,087 |
Total | $795,019 | $809,005 |
(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 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 $879,135.
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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International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Affiliated Investments
At January 31, 2024, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $2,460,258, which represents 6.5% 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) | $803,076 | $13,280,986 | $(11,623,804) | $ — | $ — | $2,460,258 | $22,272 | 2,460,258 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At 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 |
Collateralized Mortgage Obligations | $ — | $ 2,862,351 | $ — | $ 2,862,351 |
Foreign Corporate Bonds | — | 278,592 | — | 278,592 |
Sovereign Government Bonds | — | 21,947,550 | — | 21,947,550 |
U.S. Government Agency Mortgage-Backed Securities | — | 3,720,010 | — | 3,720,010 |
U.S. Treasury Obligations | — | 315,980 | — | 315,980 |
Short-Term Investments: | ||||
Affiliated Fund | 2,460,258 | — | — | 2,460,258 |
Repurchase Agreements | — | 1,728,580 | — | 1,728,580 |
U.S. Treasury Obligations | — | 9,349,771 | — | 9,349,771 |
Purchased Currency Options | — | 16,221 | — | 16,221 |
Total Investments | $2,460,258 | $40,219,055 | $ — | $42,679,313 |
Forward Foreign Currency Exchange Contracts | $ — | $ 389,678 | $ — | $ 389,678 |
Futures Contracts | 57,242 | — | — | 57,242 |
Swap Contracts | — | 877,143 | — | 877,143 |
Total | $2,517,500 | $41,485,876 | $ — | $44,003,376 |
Liability Description | ||||
Securities Sold Short | $ — | $(1,736,066) | $ — | $(1,736,066) |
Forward Foreign Currency Exchange Contracts | — | (684,097) | — | (684,097) |
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International Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Liability Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $ (21,136) | $ — | $ — | $ (21,136) |
Swap Contracts | — | (420,227) | — | (420,227) |
Total | $ (21,136) | $(2,840,390) | $ — | $(2,861,526) |
For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.
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