Eaton Vance
Emerging Markets Local Income Fund
January 31, 2024 (Unaudited)
Eaton Vance Emerging Markets Local Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, invests its assets in Emerging Markets Local 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 $1,068,810,666 and the Fund owned 84.9% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
1
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited)
Foreign Corporate Bonds — 2.6% |
Security | Principal Amount (000's omitted) | Value | |
Brazil — 0.7% | |||
Simpar Finance SARL, 10.75%, 2/12/28(1) | BRL | 53,195 | $ 8,805,349 |
$ 8,805,349 | |||
Colombia — 0.3% | |||
Patrimonio Autonomo Union Del Sur, 6.66%, 2/28/41(2) | COP | 18,185,000 | $ 4,039,581 |
$ 4,039,581 | |||
Mexico — 0.0%(3) | |||
Petroleos Mexicanos, 7.19%, 9/12/24(2) | MXN | 10,630 | $ 593,764 |
$ 593,764 | |||
Paraguay — 0.5% | |||
Itau BBA International PLC, 9.03%, 2/19/30 | PYG | 41,850,780 | $ 6,116,064 |
$ 6,116,064 | |||
Peru — 0.9% | |||
Alicorp SAA, 6.875%, 4/17/27(1) | PEN | 25,530 | $ 6,608,254 |
Telefonica del Peru SAA, 7.375%, 4/10/27(2) | PEN | 24,500 | 4,941,977 |
$ 11,550,231 | |||
Uzbekistan — 0.2% | |||
International Finance Corp., 16.00%, 2/21/25 | UZS | 27,000,000 | $ 2,186,385 |
$ 2,186,385 | |||
Total Foreign Corporate Bonds (identified cost $28,173,033) | $ 33,291,374 |
Loan Participation Notes — 2.2% |
Security | Principal Amount (000's omitted) | Value | |
Uzbekistan — 2.2% | |||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/25(1)(4)(5) | UZS | 159,404,590 | $ 13,524,628 |
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank "Asaka"), 18.70%, 7/21/26(1)(4)(5) | UZS | 168,226,770 | 14,269,919 |
Total Loan Participation Notes (identified cost $28,431,636) | $ 27,794,547 |
Sovereign Government Bonds — 78.6% |
Security | Principal Amount (000's omitted) | Value | |
Armenia — 2.1% | |||
Republic of Armenia Treasury Bonds: | |||
9.00%, 4/29/26 | AMD | 212,760 | $ 513,276 |
9.25%, 4/29/28 | AMD | 3,148,100 | 7,486,668 |
9.60%, 10/29/33 | AMD | 6,155,594 | 14,511,648 |
9.75%, 10/29/50 | AMD | 719,503 | 1,670,986 |
9.75%, 10/29/52 | AMD | 781,610 | 1,808,713 |
$ 25,991,291 | |||
Azerbaijan — 0.2% | |||
Republic of Azerbaijan International Bonds, 4.75%, 3/18/24(1) | USD | 3,142 | $ 3,136,030 |
$ 3,136,030 | |||
Bahrain — 0.2% | |||
CBB International Sukuk Programme Co. WLL, 6.25%, 11/14/24(1) | USD | 2,624 | $ 2,620,720 |
$ 2,620,720 | |||
Benin — 0.6% | |||
Benin Government International Bonds: | |||
4.875%, 1/19/32(1) | EUR | 4,158 | $ 3,664,896 |
5.75%, 3/26/26(1) | EUR | 316 | 336,778 |
6.875%, 1/19/52(1) | EUR | 3,656 | 3,116,778 |
$ 7,118,452 | |||
Bosnia and Herzegovina — 0.1% | |||
Republic of Srpska Treasury Bonds: | |||
1.50%, 5/31/25 | BAM | 1,112 | $ 606,765 |
1.50%, 6/9/25 | BAM | 107 | 58,501 |
1.50%, 12/24/25 | BAM | 116 | 63,626 |
1.50%, 9/25/26 | BAM | 108 | 59,712 |
1.50%, 9/26/27 | BAM | 44 | 23,791 |
$ 812,395 | |||
Brazil — 4.3% | |||
Brazil Letras do Tesouro Nacional, 0.00%, 4/1/24 | BRL | 250,000 | $ 49,534,489 |
Brazil Notas do Tesouro Nacional, 10.00%, 1/1/27 | BRL | 22,375 | 4,532,981 |
$ 54,067,470 |
2
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Chile — 0.5% | |||
Bonos de la Tesoreria de la Republica en pesos, 5.30%, 11/1/37(1)(2) | CLP | 5,355,000 | $ 5,661,692 |
$ 5,661,692 | |||
Colombia — 0.1% | |||
Titulos De Tesoreria B, 10.00%, 7/24/24 | COP | 3,528,300 | $ 904,636 |
$ 904,636 | |||
Czech Republic — 3.0% | |||
Czech Republic Government Bonds: | |||
0.95%, 5/15/30(1) | CZK | 140,000 | $ 5,187,822 |
2.00%, 10/13/33 | CZK | 308,750 | 11,513,615 |
2.50%, 8/25/28(1) | CZK | 509,740 | 21,168,610 |
$ 37,870,047 | |||
Dominican Republic — 4.3% | |||
Dominican Republic Central Bank Notes: | |||
8.00%, 3/12/27(1) | DOP | 36,140 | $ 570,023 |
12.00%, 10/3/25(2) | DOP | 221,270 | 3,828,507 |
13.00%, 12/5/25(2) | DOP | 383,340 | 6,774,925 |
13.00%, 1/30/26(2) | DOP | 105,090 | 1,861,678 |
Dominican Republic International Bonds: | |||
8.00%, 1/15/27(1) | DOP | 111,360 | 1,777,689 |
8.00%, 2/12/27(1) | DOP | 568,540 | 9,063,176 |
11.25%, 9/15/35(2) | DOP | 140,600 | 2,579,327 |
12.00%, 8/8/25(2) | DOP | 616,460 | 10,653,519 |
12.75%, 9/23/29(2) | DOP | 377,800 | 7,153,140 |
13.00%, 6/10/34(1) | DOP | 35,400 | 703,556 |
13.625%, 2/3/33(2) | DOP | 467,800 | 9,661,584 |
$ 54,627,124 | |||
El Salvador — 0.2% | |||
El Salvador Government International Bonds, 5.875%, 1/30/25(1) | USD | 2,307 | $ 2,197,417 |
$ 2,197,417 | |||
Hungary — 2.0% | |||
Hungary Government Bonds: | |||
2.25%, 4/20/33 | HUF | 1,109,820 | $ 2,333,564 |
3.00%, 4/25/41 | HUF | 4,910,850 | 9,316,997 |
3.25%, 10/22/31 | HUF | 2,085,200 | 4,951,638 |
4.00%, 4/28/51 | HUF | 524,540 | 1,021,763 |
4.50%, 5/27/32 | HUF | 310,850 | 793,663 |
Security | Principal Amount (000's omitted) | Value | |
Hungary (continued) | |||
Hungary Government Bonds: (continued) | |||
4.75%, 11/24/32 | HUF | 2,389,870 | $ 6,202,052 |
$ 24,619,677 | |||
India — 2.8% | |||
India Government Bonds: | |||
7.10%, 4/18/29 | INR | 2,259,990 | $ 27,224,323 |
7.26%, 2/6/33 | INR | 693,050 | 8,409,862 |
$ 35,634,185 | |||
Indonesia — 8.4% | |||
Indonesia Treasury Bonds: | |||
6.375%, 4/15/32 | IDR | 46,500,000 | $ 2,907,812 |
6.50%, 2/15/31 | IDR | 490,135,000 | 30,812,035 |
7.00%, 2/15/33 | IDR | 235,674,000 | 15,364,959 |
7.125%, 6/15/38 | IDR | 37,641,000 | 2,467,620 |
7.125%, 6/15/42 | IDR | 60,101,000 | 3,890,569 |
7.125%, 6/15/43 | IDR | 162,709,000 | 10,608,565 |
7.375%, 5/15/48 | IDR | 16,622,000 | 1,112,505 |
7.50%, 5/15/38 | IDR | 232,589,000 | 15,686,492 |
7.50%, 4/15/40 | IDR | 45,427,000 | 3,059,385 |
8.25%, 6/15/32 | IDR | 11,609,000 | 810,386 |
8.25%, 5/15/36 | IDR | 242,576,000 | 17,314,054 |
8.375%, 4/15/39 | IDR | 22,764,000 | 1,651,299 |
9.50%, 5/15/41 | IDR | 5,702,000 | 454,747 |
$106,140,428 | |||
Ivory Coast — 0.2% | |||
Ivory Coast Government International Bonds, 5.125%, 6/15/25(1) | EUR | 1,726 | $ 1,901,568 |
$ 1,901,568 | |||
Jordan — 0.3% | |||
Jordan Government International Bonds, 4.95%, 7/7/25(1) | USD | 4,503 | $ 4,338,145 |
$ 4,338,145 | |||
Malaysia — 6.1% | |||
Malaysia Government Bonds: | |||
3.582%, 7/15/32 | MYR | 56,072 | $ 11,626,470 |
3.733%, 6/15/28 | MYR | 7,900 | 1,679,042 |
3.757%, 5/22/40 | MYR | 17,415 | 3,541,223 |
3.828%, 7/5/34 | MYR | 143,700 | 30,307,172 |
4.065%, 6/15/50 | MYR | 35,800 | 7,422,548 |
3
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Malaysia (continued) | |||
Malaysia Government Bonds: (continued) | |||
4.254%, 5/31/35 | MYR | 27,750 | $ 6,037,154 |
4.642%, 11/7/33 | MYR | 25,940 | 5,859,817 |
4.696%, 10/15/42 | MYR | 45,569 | 10,404,611 |
$ 76,878,037 | |||
Mexico — 6.1% | |||
Mexican Bonos: | |||
7.50%, 6/3/27 | MXN | 148,017 | $ 8,148,417 |
7.75%, 5/29/31 | MXN | 149,400 | 8,032,263 |
7.75%, 11/13/42(6) | MXN | 415,250 | 20,747,904 |
8.00%, 7/31/53(6) | MXN | 120,800 | 6,060,950 |
8.50%, 5/31/29 | MXN | 178,520 | 10,116,986 |
8.50%, 11/18/38 | MXN | 410,469 | 22,410,449 |
10.00%, 11/20/36 | MXN | 22,074 | 1,360,338 |
$ 76,877,307 | |||
North Macedonia — 0.1% | |||
North Macedonia Government International Bonds: | |||
2.75%, 1/18/25(1) | EUR | 913 | $ 967,353 |
3.675%, 6/3/26(1) | EUR | 600 | 631,825 |
$ 1,599,178 | |||
Oman — 0.3% | |||
Oman Government International Bonds, 4.875%, 2/1/25(1) | USD | 3,173 | $ 3,149,044 |
$ 3,149,044 | |||
Panama — 0.0%(3) | |||
Panama Bonos del Tesoro, 6.375%, 7/25/33(1)(2) | USD | 395 | $ 369,839 |
$ 369,839 | |||
Paraguay — 0.2% | |||
Paraguay Government International Bonds, 5.00%, 4/15/26(1) | USD | 2,174 | $ 2,168,815 |
$ 2,168,815 | |||
Peru — 5.0% | |||
Peru Government Bonds: | |||
5.40%, 8/12/34 | PEN | 7,309 | $ 1,749,071 |
5.94%, 2/12/29 | PEN | 135,044 | 36,211,303 |
6.15%, 8/12/32 | PEN | 15,223 | 3,940,465 |
6.35%, 8/12/28 | PEN | 8,808 | 2,414,565 |
6.85%, 2/12/42 | PEN | 14,084 | 3,737,282 |
Security | Principal Amount (000's omitted) | Value | |
Peru (continued) | |||
Peru Government Bonds: (continued) | |||
6.90%, 8/12/37 | PEN | 8,763 | $ 2,329,981 |
6.95%, 8/12/31 | PEN | 3,863 | 1,060,977 |
7.30%, 8/12/33(1)(2) | PEN | 40,795 | 11,321,852 |
$ 62,765,496 | |||
Romania — 4.6% | |||
Romania Government Bonds: | |||
2.50%, 10/25/27 | RON | 70,650 | $ 13,576,364 |
3.25%, 6/24/26 | RON | 57,650 | 11,838,587 |
4.15%, 1/26/28 | RON | 64,045 | 13,004,133 |
4.25%, 4/28/36 | RON | 30,070 | 5,401,336 |
4.85%, 4/22/26 | RON | 32,030 | 6,806,091 |
5.80%, 7/26/27 | RON | 16,020 | 3,452,341 |
8.75%, 10/30/28 | RON | 6,025 | 1,442,924 |
Romania Government International Bonds, 2.75%, 2/26/26(1) | EUR | 2,755 | 2,934,652 |
$ 58,456,428 | |||
Serbia — 2.2% | |||
Serbia Treasury Bonds: | |||
4.50%, 8/20/32 | RSD | 1,882,430 | $ 15,689,810 |
7.00%, 10/26/31 | RSD | 1,263,030 | 12,405,487 |
$ 28,095,297 | |||
Seychelles — 0.0%(3) | |||
Seychelles International Bonds, 8.00%, 1/1/26(1) | USD | 393 | $ 393,197 |
$ 393,197 | |||
South Africa — 13.8% | |||
Republic of South Africa Government Bonds: | |||
8.00%, 1/31/30 | ZAR | 361,300 | $ 17,812,683 |
8.25%, 3/31/32 | ZAR | 181,004 | 8,439,457 |
8.50%, 1/31/37 | ZAR | 369,200 | 15,414,509 |
8.75%, 1/31/44 | ZAR | 334,087 | 13,197,530 |
8.75%, 2/28/48 | ZAR | 69,430 | 2,726,766 |
9.00%, 1/31/40 | ZAR | 334,480 | 13,915,154 |
10.50%, 12/21/26 | ZAR | 1,832,062 | 102,379,241 |
$173,885,340 | |||
Suriname — 1.0% | |||
Suriname Government International Bonds: | |||
7.95%, (4.95% cash and 3.00% PIK), 7/15/33(2)(7) | USD | 10,032 | $ 8,590,442 |
4
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Suriname (continued) | |||
Suriname Government International Bonds: (continued) | |||
9.00%, 12/31/50(2)(8) | USD | 5,163 | $ 3,485,025 |
$ 12,075,467 | |||
Thailand — 4.6% | |||
Thailand Government Bonds: | |||
1.585%, 12/17/35 | THB | 378,694 | $ 9,446,673 |
1.60%, 12/17/29 | THB | 200,000 | 5,382,573 |
3.30%, 6/17/38 | THB | 794,751 | 23,475,492 |
3.40%, 6/17/36 | THB | 205,000 | 6,113,559 |
3.65%, 6/20/31 | THB | 264,884 | 8,041,171 |
4.875%, 6/22/29 | THB | 183,489 | 5,816,095 |
$ 58,275,563 | |||
Turkey — 0.6% | |||
Turkiye Government Bonds: | |||
17.30%, 7/19/28 | TRY | 171,300 | $ 4,383,406 |
26.20%, 10/5/33 | TRY | 100,000 | 3,316,856 |
$ 7,700,262 | |||
Ukraine — 0.2% | |||
Ukraine Government Bonds: | |||
15.84%, 2/26/25 | UAH | 98,529 | $ 2,032,810 |
19.19%, 9/30/26 | UAH | 30,935 | 779,025 |
$ 2,811,835 | |||
United Arab Emirates — 0.2% | |||
Sharjah Sukuk Ltd., 3.764%, 9/17/24(1) | USD | 2,747 | $ 2,712,690 |
$ 2,712,690 | |||
Uruguay — 2.4% | |||
Uruguay Government International Bonds: | |||
3.875%, 7/2/40(9) | UYU | 262,608 | $ 7,197,726 |
8.25%, 5/21/31 | UYU | 165,330 | 3,998,446 |
9.75%, 7/20/33 | UYU | 713,372 | 18,849,549 |
$ 30,045,721 | |||
Uzbekistan — 1.1% | |||
Republic of Uzbekistan International Bonds: | |||
4.75%, 2/20/24(1) | USD | 3,100 | $ 3,099,092 |
14.00%, 7/19/24(1) | UZS | 10,590,000 | 857,051 |
16.25%, 10/12/26(1) | UZS | 117,030,000 | 9,468,435 |
$ 13,424,578 |
Security | Principal Amount (000's omitted) | Value | |
Venezuela — 0.2% | |||
Venezuela Government International Bonds: | |||
7.00%, 3/31/38(1)(10) | USD | 1,171 | $ 179,377 |
7.65%, 4/21/25(1)(10) | USD | 1,931 | 289,524 |
8.25%, 10/13/24(1)(10) | USD | 2,926 | 432,488 |
9.00%, 5/7/23(1)(10) | USD | 1,000 | 147,400 |
9.25%, 9/15/27(10) | USD | 2,109 | 384,065 |
9.25%, 5/7/28(1)(10) | USD | 2,263 | 383,334 |
9.375%, 1/13/34(10) | USD | 349 | 62,456 |
11.75%, 10/21/26(1)(10) | USD | 447 | 82,970 |
$ 1,961,614 | |||
Vietnam — 0.2% | |||
Vietnam Government International Bonds, 4.80%, 11/19/24(1) | USD | 3,124 | $ 3,092,760 |
$ 3,092,760 | |||
Zambia — 0.4% | |||
Zambia Government Bonds: | |||
10.00%, 8/21/26 | ZMW | 3,355 | $ 99,482 |
10.00%, 11/27/26 | ZMW | 3,725 | 106,104 |
11.00%, 1/25/26 | ZMW | 100,560 | 3,338,555 |
11.00%, 6/28/26 | ZMW | 4,262 | 134,380 |
11.00%, 9/20/26 | ZMW | 7,455 | 228,022 |
11.00%, 12/27/26 | ZMW | 21,670 | 637,578 |
12.00%, 6/28/28 | ZMW | 14,500 | 385,775 |
12.00%, 8/30/28 | ZMW | 1,500 | 39,348 |
12.00%, 11/29/28 | ZMW | 4,500 | 115,854 |
13.00%, 1/25/31 | ZMW | 7,100 | 172,145 |
$ 5,257,243 | |||
Total Sovereign Government Bonds (identified cost $1,076,941,276) | $989,636,988 |
Short-Term Investments — 13.0% |
Affiliated Fund — 8.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.21%(11) | 106,715,142 | $106,715,142 | |
Total Affiliated Fund (identified cost $106,715,142) | $106,715,142 |
5
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Repurchase Agreements — 1.6% |
Description | Principal Amount (000's omitted) | Value | |
Barclays Bank PLC: | |||
Dated 9/29/23 with an interest rate of 5.15%, collateralized by MXN 72,463,688 Mexican Udibonos, 4.00%, due 11/3/50 and a market value, including accrued interest, of $3,938,623(12) | USD | 3,566 | $ 3,566,423 |
Dated 10/16/23 with an interest rate of 5.15%, collateralized by MXN 93,743,348 Mexican Udibonos, 4.00%, due 11/15/40 and a market value, including accrued interest, of $5,172,999(12) | USD | 4,685 | 4,684,754 |
JPMorgan Chase Bank, N.A.: | |||
Dated 1/8/24 with an interest rate of 10.70%, collateralized by MXN 226,300,000 Mexican Bonos, 8.00%, due 7/31/53 and a market value, including accrued interest, of $11,774,989(12) | MXN | 204,020 | 11,853,718 |
Total Repurchase Agreements (identified cost $20,374,314) | $ 20,104,895 |
U.S. Treasury Obligations — 2.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 2/1/24 | $ | 6,700 | $ 6,700,000 |
0.00%, 2/22/24(13) | 6,500 | 6,480,070 | |
0.00%, 2/29/24(13) | 6,745 | 6,717,438 | |
0.00%, 3/21/24(13) | 6,700 | 6,652,009 | |
0.00%, 4/18/24(13) | 10,000 | 9,888,834 | |
Total U.S. Treasury Obligations (identified cost $36,438,971) | $ 36,438,351 | ||
Total Short-Term Investments (identified cost $163,528,427) | $163,258,388 |
Total Purchased Options — 0.0%(3) (identified cost $412,230) | $ 363,345 | ||
Total Investments — 96.4% (identified cost $1,297,486,602) | $1,214,344,642 |
Securities Sold Short — (1.6)% | |||
Sovereign Government Bonds — (1.6)% |
Security | Principal Amount (000's omitted) | Value | |
Mexico — (1.6)% | |||
Mexican Bonos, 8.00%, 7/31/53 | MXN | (226,300) | $(11,354,247) |
Mexican Udibonos: | |||
4.00%, 11/15/40(9) | MXN | (93,743) | (5,140,320) |
4.00%, 11/3/50(9) | MXN | (72,464) | (3,913,362) |
Total Sovereign Government Bonds (proceeds $19,762,163) | $(20,407,929) | ||
Total Securities Sold Short (proceeds $19,762,163) | $(20,407,929) |
Other Assets, Less Liabilities — 5.2% | $ 65,513,924 | ||
Net Assets — 100.0% | $1,259,450,637 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At January 31, 2024, the aggregate value of these securities is $151,334,748 or 12.0% of the Portfolio's net assets. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2024, the aggregate value of these securities is $81,516,852 or 6.5% of the Portfolio's net assets. |
(3) | Amount is less than 0.05%. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(5) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(6) | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
(7) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(8) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2024. |
(9) | 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. |
6
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
(10) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(11) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of January 31, 2024. |
(12) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(13) | 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 | 24,100,000 | INR | 85.50 | 1/25/29 | $176,798 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 12,900,000 | INR | 85.50 | 1/25/29 | 94,634 |
Put USD vs. Call INR | JPMorgan Chase Bank, N.A. | USD | 12,500,000 | INR | 85.50 | 1/30/29 | 91,913 |
Total | $363,345 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
BRL | 11,244,000 | USD | 2,286,845 | 3/4/24 | $ (23,014) |
BRL | 292,723,018 | USD | 60,195,737 | 3/4/24 | (1,259,798) |
USD | 10,939,053 | BRL | 53,195,006 | 3/4/24 | 228,936 |
CLP | 1,350,000,000 | USD | 1,533,986 | 3/20/24 | (87,225) |
CLP | 1,544,000,000 | USD | 1,779,267 | 3/20/24 | (124,601) |
CLP | 20,913,276,480 | USD | 23,566,587 | 3/20/24 | (1,154,357) |
COP | 209,312,715,850 | USD | 51,380,214 | 3/20/24 | 1,915,166 |
COP | 20,000,000,000 | USD | 4,960,318 | 3/20/24 | 132,099 |
COP | 8,810,000,000 | USD | 2,210,391 | 3/20/24 | 32,818 |
EUR | 2,468,642 | USD | 2,677,319 | 3/20/24 | (4,157) |
EUR | 7,805,923 | USD | 8,465,765 | 3/20/24 | (13,143) |
EUR | 10,518,605 | USD | 11,610,006 | 3/20/24 | (219,964) |
EUR | 17,380,000 | USD | 19,058,908 | 3/20/24 | (239,023) |
EUR | 204,326,386 | USD | 225,527,112 | 3/20/24 | (4,272,851) |
IDR | 33,980,000,000 | USD | 2,148,190 | 3/20/24 | 4,416 |
IDR | 13,798,170,594 | USD | 882,405 | 3/20/24 | (8,302) |
IDR | 21,972,000,000 | USD | 1,404,500 | 3/20/24 | (12,591) |
IDR | 67,789,400,000 | USD | 4,308,192 | 3/20/24 | (13,787) |
IDR | 27,753,000,000 | USD | 1,772,736 | 3/20/24 | (14,606) |
IDR | 116,352,000,000 | USD | 7,391,652 | 3/20/24 | (20,845) |
IDR | 21,890,738,088 | USD | 1,410,041 | 3/20/24 | (23,281) |
IDR | 113,442,000,000 | USD | 7,210,908 | 3/20/24 | (24,447) |
IDR | 113,443,000,000 | USD | 7,212,805 | 3/20/24 | (26,281) |
IDR | 51,068,032,626 | USD | 3,291,193 | 3/20/24 | (56,073) |
IDR | 701,392,664,599 | USD | 44,883,386 | 3/20/24 | (450,716) |
INR | 190,940,000 | USD | 2,284,726 | 3/20/24 | 9,138 |
KRW | 1,159,000,000 | USD | 872,465 | 3/20/24 | (1,728) |
7
Emerging Markets Local 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) | ||
KRW | 1,074,400,000 | USD | 826,137 | 3/20/24 | $ (18,959) |
KRW | 3,527,000,000 | USD | 2,713,922 | 3/20/24 | (64,147) |
KRW | 3,222,000,000 | USD | 2,497,655 | 3/20/24 | (77,021) |
KRW | 9,371,400,000 | USD | 7,205,942 | 3/20/24 | (165,368) |
KRW | 30,758,000,000 | USD | 23,667,373 | 3/20/24 | (559,409) |
PEN | 42,968,218 | USD | 11,351,338 | 3/20/24 | (69,322) |
PEN | 13,530,600 | USD | 3,634,522 | 3/20/24 | (81,839) |
USD | 6,171,943 | CLP | 5,477,057,685 | 3/20/24 | 302,319 |
USD | 1,015,785 | COP | 4,013,700,000 | 3/20/24 | (6,187) |
USD | 317,468 | COP | 1,293,302,166 | 3/20/24 | (11,833) |
USD | 2,748,574 | COP | 11,197,140,625 | 3/20/24 | (102,451) |
USD | 4,487,947 | COP | 18,283,000,000 | 3/20/24 | (167,285) |
USD | 49,979,586 | EUR | 45,281,244 | 3/20/24 | 946,916 |
USD | 38,532,653 | EUR | 34,910,383 | 3/20/24 | 730,042 |
USD | 25,670,864 | EUR | 23,257,669 | 3/20/24 | 486,362 |
USD | 22,318,629 | EUR | 20,220,561 | 3/20/24 | 422,850 |
USD | 7,304,870 | EUR | 6,618,174 | 3/20/24 | 138,399 |
USD | 6,075,053 | EUR | 5,503,967 | 3/20/24 | 115,098 |
USD | 5,133,249 | EUR | 4,681,058 | 3/20/24 | 64,377 |
USD | 1,990,168 | EUR | 1,803,082 | 3/20/24 | 37,706 |
USD | 1,267,493 | EUR | 1,148,342 | 3/20/24 | 24,014 |
USD | 776,358 | EUR | 703,376 | 3/20/24 | 14,709 |
USD | 8,242,436 | EUR | 7,600,000 | 3/20/24 | 12,797 |
USD | 10,394,018 | IDR | 162,448,100,000 | 3/20/24 | 103,059 |
USD | 4,713,780 | IDR | 73,054,169,000 | 3/20/24 | 85,857 |
USD | 8,088,354 | IDR | 126,396,714,013 | 3/20/24 | 81,223 |
USD | 7,084,356 | IDR | 110,721,400,000 | 3/20/24 | 70,243 |
USD | 5,512,861 | IDR | 86,149,471,041 | 3/20/24 | 55,360 |
USD | 2,285,866 | IDR | 35,725,800,000 | 3/20/24 | 22,665 |
USD | 1,778,804 | IDR | 27,797,370,594 | 3/20/24 | 17,863 |
USD | 2,282,524 | INR | 190,940,000 | 3/20/24 | (11,339) |
USD | 11,462,236 | PEN | 43,388,000 | 3/20/24 | 69,999 |
USD | 9,512,324 | PEN | 36,007,000 | 3/20/24 | 58,091 |
USD | 6,260,739 | PEN | 23,665,595 | 3/20/24 | 46,946 |
USD | 4,337,909 | PEN | 16,418,987 | 3/20/24 | 26,833 |
USD | 3,600,088 | PEN | 13,626,332 | 3/20/24 | 22,269 |
USD | 2,622,342 | PEN | 9,929,000 | 3/20/24 | 15,319 |
USD | 2,506,665 | PEN | 9,496,000 | 3/20/24 | 13,334 |
USD | 2,176,261 | PEN | 8,240,000 | 3/20/24 | 12,713 |
USD | 2,263,812 | PEN | 8,576,000 | 3/20/24 | 12,042 |
USD | 1,564,657 | PEN | 5,914,405 | 3/20/24 | 11,733 |
USD | 1,805,823 | PEN | 6,841,000 | 3/20/24 | 9,606 |
USD | 1,452,197 | PEN | 5,497,000 | 3/20/24 | 8,868 |
USD | 1,498,825 | PEN | 5,678,000 | 3/20/24 | 7,973 |
8
Emerging Markets Local 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 | 4,099,610 | PEN | 15,585,897 | 3/20/24 | $ 7,275 |
USD | 3,701,864 | PEN | 14,073,747 | 3/20/24 | 6,569 |
USD | 549,568 | PEN | 2,080,113 | 3/20/24 | 3,399 |
USD | 382,758 | PEN | 1,450,000 | 3/20/24 | 2,036 |
USD | 332,250 | PEN | 1,258,000 | 3/20/24 | 1,941 |
USD | 228,863 | PEN | 867,000 | 3/20/24 | 1,217 |
USD | 625,621 | PEN | 2,378,487 | 3/20/24 | 1,110 |
BRL | 276,005,000 | USD | 56,588,551 | 4/2/24 | (1,206,452) |
USD | 13,693,152 | BRL | 66,704,000 | 4/2/24 | 308,585 |
USD | 13,006,740 | BRL | 63,296,000 | 4/2/24 | 306,009 |
USD | 19,803,624 | BRL | 98,156,662 | 4/2/24 | 107,886 |
USD | 4,404,521 | BRL | 21,843,338 | 4/2/24 | 21,520 |
$(3,454,697) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 1,253,690 | UZS | 15,620,984,000 | ICBC Standard Bank plc | 2/1/24 | $ 9,806 | $ — |
UZS | 15,620,984,000 | USD | 1,235,349 | ICBC Standard Bank plc | 2/1/24 | 8,536 | — |
EUR | 5,100,000 | USD | 5,543,405 | BNP Paribas | 2/9/24 | — | (30,238) |
USD | 7,993,471 | EUR | 7,350,458 | Citibank, N.A. | 2/9/24 | 47,528 | — |
USD | 5,454,845 | EUR | 5,004,749 | Citibank, N.A. | 2/9/24 | 44,645 | — |
USD | 3,292,249 | EUR | 3,008,393 | Citibank, N.A. | 2/9/24 | 40,136 | — |
USD | 2,066,067 | EUR | 1,895,328 | HSBC Bank USA, N.A. | 2/9/24 | 17,192 | — |
USD | 3,169,591 | EUR | 2,915,255 | Standard Chartered Bank | 2/9/24 | 18,162 | — |
UZS | 15,719,811,503 | USD | 1,235,349 | ICBC Standard Bank plc | 2/12/24 | 11,403 | — |
MYR | 76,581,000 | USD | 16,524,826 | Barclays Bank PLC | 2/13/24 | — | (314,012) |
MYR | 84,436,000 | USD | 18,233,567 | Barclays Bank PLC | 2/13/24 | — | (359,992) |
USD | 4,413,492 | MYR | 20,438,000 | Barclays Bank PLC | 2/13/24 | 87,137 | — |
USD | 3,998,231 | MYR | 18,529,000 | Barclays Bank PLC | 2/13/24 | 75,976 | — |
UZS | 19,943,560,497 | USD | 1,569,988 | ICBC Standard Bank plc | 2/15/24 | 10,029 | — |
HUF | 733,454,231 | EUR | 1,915,504 | UBS AG | 2/20/24 | — | (10,249) |
HUF | 2,230,072,830 | EUR | 5,851,827 | UBS AG | 2/20/24 | — | (61,145) |
SGD | 13,000,000 | USD | 9,742,279 | Citibank, N.A. | 2/26/24 | — | (41,119) |
SGD | 5,000,000 | USD | 3,775,078 | Citibank, N.A. | 2/26/24 | — | (43,862) |
SGD | 7,700,000 | USD | 5,809,589 | Goldman Sachs International | 2/26/24 | — | (63,517) |
SGD | 4,890,000 | USD | 3,661,133 | Standard Chartered Bank | 2/26/24 | — | (12,005) |
SGD | 15,170,000 | USD | 11,365,697 | Standard Chartered Bank | 2/26/24 | — | (45,189) |
SGD | 13,000,000 | USD | 9,746,801 | Standard Chartered Bank | 2/26/24 | — | (45,641) |
UZS | 10,698,454,000 | USD | 842,398 | Goldman Sachs International | 2/26/24 | 1,809 | — |
HUF | 654,869,850 | EUR | 1,671,077 | Goldman Sachs International | 2/29/24 | 30,719 | — |
9
Emerging Markets Local 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) | ||
HUF | 2,149,534,827 | EUR | 5,536,328 | UBS AG | 2/29/24 | $ 45,424 | $ — |
HUF | 553,041,295 | EUR | 1,423,493 | Goldman Sachs International | 3/1/24 | 12,442 | — |
TRY | 231,768,945 | USD | 7,426,599 | Standard Chartered Bank | 3/8/24 | — | (34,954) |
USD | 5,344,706 | TRY | 166,800,000 | Standard Chartered Bank | 3/8/24 | 25,070 | — |
CNH | 4,000,000 | USD | 563,333 | BNP Paribas | 3/20/24 | — | (5,293) |
CNH | 42,700,000 | USD | 6,013,576 | BNP Paribas | 3/20/24 | — | (56,499) |
CNH | 132,100,000 | USD | 18,604,062 | BNP Paribas | 3/20/24 | — | (174,790) |
CNH | 8,200,000 | USD | 1,154,831 | Goldman Sachs International | 3/20/24 | — | (10,849) |
CNH | 87,300,000 | USD | 12,294,720 | Goldman Sachs International | 3/20/24 | — | (115,497) |
CNH | 269,720,000 | USD | 37,985,474 | Goldman Sachs International | 3/20/24 | — | (356,836) |
CNH | 7,800,000 | USD | 1,099,017 | Standard Chartered Bank | 3/20/24 | — | (10,839) |
CNH | 18,860,000 | USD | 2,642,260 | Standard Chartered Bank | 3/20/24 | — | (11,101) |
CNH | 83,916,617 | USD | 11,823,821 | Standard Chartered Bank | 3/20/24 | — | (116,614) |
CNH | 259,351,267 | USD | 36,542,501 | Standard Chartered Bank | 3/20/24 | — | (360,405) |
CZK | 133,000,000 | EUR | 5,408,536 | Bank of America, N.A. | 3/20/24 | — | (74,320) |
CZK | 44,500,000 | EUR | 1,789,255 | Citibank, N.A. | 3/20/24 | — | (2,811) |
CZK | 1,707,854,070 | EUR | 69,654,312 | UBS AG | 3/20/24 | — | (1,174,450) |
EUR | 39,466,560 | CZK | 967,680,585 | UBS AG | 3/20/24 | 665,451 | — |
EUR | 21,898,805 | HUF | 8,467,381,154 | UBS AG | 3/20/24 | — | (18,149) |
EUR | 1,880,356 | PLN | 8,268,834 | HSBC Bank USA, N.A. | 3/20/24 | — | (27,751) |
EUR | 45,289,965 | RON | 226,190,134 | Citibank, N.A. | 3/20/24 | — | (56,898) |
EUR | 428,913 | RON | 2,142,895 | Goldman Sachs International | 3/20/24 | — | (710) |
EUR | 1,138,594 | RON | 5,692,935 | Goldman Sachs International | 3/20/24 | — | (2,839) |
HUF | 1,650,000,000 | EUR | 4,275,205 | Citibank, N.A. | 3/20/24 | — | (5,001) |
HUF | 2,481,301,859 | EUR | 6,479,999 | HSBC Bank USA, N.A. | 3/20/24 | — | (62,598) |
HUF | 16,329,462,990 | EUR | 42,232,153 | UBS AG | 3/20/24 | 35,000 | — |
MXN | 138,500,000 | USD | 7,937,000 | Bank of America, N.A. | 3/20/24 | 47,308 | — |
MXN | 2,784,628,318 | USD | 157,534,048 | Standard Chartered Bank | 3/20/24 | 2,995,422 | — |
MXN | 128,907,000 | USD | 7,320,161 | Standard Chartered Bank | 3/20/24 | 111,126 | — |
MXN | 73,302,000 | USD | 4,197,258 | Standard Chartered Bank | 3/20/24 | 28,488 | — |
MXN | 50,000,000 | USD | 2,900,786 | Standard Chartered Bank | 3/20/24 | — | (18,365) |
MXN | 88,000,000 | USD | 5,045,578 | State Street Bank and Trust Company | 3/20/24 | 27,484 | — |
MYR | 11,500,000 | USD | 2,480,052 | Barclays Bank PLC | 3/20/24 | — | (35,651) |
MYR | 133,537,422 | USD | 28,533,027 | Barclays Bank PLC | 3/20/24 | — | (148,766) |
MYR | 65,763,350 | USD | 14,153,918 | Barclays Bank PLC | 3/20/24 | — | (175,483) |
MYR | 6,700,000 | USD | 1,432,114 | Goldman Sachs International | 3/20/24 | — | (7,984) |
PLN | 12,000,000 | EUR | 2,759,545 | BNP Paribas | 3/20/24 | 7,018 | — |
PLN | 5,300,000 | EUR | 1,218,152 | HSBC Bank USA, N.A. | 3/20/24 | 3,800 | — |
PLN | 24,000,000 | EUR | 5,539,973 | HSBC Bank USA, N.A. | 3/20/24 | — | (8,578) |
PLN | 6,200,000 | EUR | 1,424,476 | JPMorgan Chase Bank, N.A. | 3/20/24 | 5,021 | — |
PLN | 349,789,920 | EUR | 80,073,694 | UBS AG | 3/20/24 | 599,496 | — |
PLN | 16,122,277 | EUR | 3,690,702 | UBS AG | 3/20/24 | 27,632 | — |
PLN | 6,500,000 | EUR | 1,487,976 | UBS AG | 3/20/24 | 11,140 | — |
RON | 186,791,000 | EUR | 37,401,092 | Citibank, N.A. | 3/20/24 | 46,987 | — |
10
Emerging Markets Local 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) | ||
RON | 7,100,000 | EUR | 1,422,907 | UBS AG | 3/20/24 | $ 404 | $ — |
THB | 911,000,000 | USD | 25,737,517 | Standard Chartered Bank | 3/20/24 | 34,879 | — |
THB | 31,000,000 | USD | 895,821 | Standard Chartered Bank | 3/20/24 | — | (18,824) |
THB | 651,567,013 | USD | 18,694,289 | Standard Chartered Bank | 3/20/24 | — | (261,311) |
THB | 669,710,000 | USD | 19,228,130 | Standard Chartered Bank | 3/20/24 | — | (281,882) |
THB | 725,580,000 | USD | 20,826,707 | Standard Chartered Bank | 3/20/24 | — | (299,884) |
TRY | 64,681,680 | USD | 2,071,487 | Standard Chartered Bank | 3/20/24 | — | (35,262) |
USD | 8,126,074 | CNH | 57,700,000 | BNP Paribas | 3/20/24 | 76,347 | — |
USD | 4,886,911 | CNH | 34,700,000 | BNP Paribas | 3/20/24 | 45,914 | — |
USD | 1,168,915 | CNH | 8,300,000 | BNP Paribas | 3/20/24 | 10,982 | — |
USD | 16,604,210 | CNH | 117,900,000 | Goldman Sachs International | 3/20/24 | 155,980 | — |
USD | 9,985,059 | CNH | 70,900,000 | Goldman Sachs International | 3/20/24 | 93,800 | — |
USD | 2,380,078 | CNH | 16,900,000 | Goldman Sachs International | 3/20/24 | 22,358 | — |
USD | 7,587,467 | CNH | 54,000,000 | HSBC Bank USA, N.A. | 3/20/24 | 53,926 | — |
USD | 4,566,531 | CNH | 32,500,000 | HSBC Bank USA, N.A. | 3/20/24 | 32,456 | — |
USD | 1,124,069 | CNH | 8,000,000 | HSBC Bank USA, N.A. | 3/20/24 | 7,989 | — |
USD | 15,963,298 | CNH | 113,295,515 | Standard Chartered Bank | 3/20/24 | 157,440 | — |
USD | 9,596,990 | CNH | 68,112,234 | Standard Chartered Bank | 3/20/24 | 94,652 | — |
USD | 11,373,477 | CNH | 80,900,000 | Standard Chartered Bank | 3/20/24 | 87,118 | — |
USD | 2,297,549 | CNH | 16,306,280 | Standard Chartered Bank | 3/20/24 | 22,660 | — |
USD | 1,221,145 | MXN | 21,491,654 | BNP Paribas | 3/20/24 | — | (17,815) |
USD | 4,331,816 | MXN | 76,238,200 | BNP Paribas | 3/20/24 | — | (63,197) |
USD | 8,498,312 | MXN | 148,091,586 | Citibank, N.A. | 3/20/24 | — | (38,936) |
USD | 4,035,816 | MXN | 69,500,000 | JPMorgan Chase Bank, N.A. | 3/20/24 | 29,250 | — |
USD | 57,290,472 | MXN | 1,012,703,123 | Standard Chartered Bank | 3/20/24 | — | (1,090,280) |
USD | 414,457 | MXN | 7,131,412 | State Street Bank and Trust Company | 3/20/24 | 3,342 | — |
USD | 7,953,987 | MYR | 36,956,610 | Barclays Bank PLC | 3/20/24 | 98,615 | — |
USD | 16,838,708 | MYR | 78,806,837 | Barclays Bank PLC | 3/20/24 | 87,794 | — |
USD | 1,998,717 | PEN | 7,573,000 | Standard Chartered Bank | 3/20/24 | 10,301 | — |
USD | 5,485,198 | THB | 191,180,000 | Standard Chartered Bank | 3/20/24 | 76,673 | — |
USD | 5,064,930 | THB | 176,410,000 | Standard Chartered Bank | 3/20/24 | 74,251 | — |
USD | 4,926,926 | THB | 171,651,524 | Standard Chartered Bank | 3/20/24 | 70,865 | — |
USD | 3,701,643 | THB | 128,900,000 | Standard Chartered Bank | 3/20/24 | 55,032 | — |
USD | 5,708,330 | THB | 199,900,000 | Standard Chartered Bank | 3/20/24 | 53,113 | — |
USD | 5,642,829 | THB | 197,617,500 | Standard Chartered Bank | 3/20/24 | 52,185 | — |
USD | 2,239,597 | THB | 78,182,500 | Standard Chartered Bank | 3/20/24 | 27,797 | — |
USD | 6,752,214 | THB | 239,000,000 | Standard Chartered Bank | 3/20/24 | — | (9,151) |
USD | 2,006,862 | TRY | 64,681,680 | Standard Chartered Bank | 3/20/24 | — | (29,363) |
USD | 3,503,615 | UYU | 142,450,000 | Bank of America, N.A. | 3/20/24 | — | (125,365) |
USD | 10,268,070 | ZAR | 191,000,000 | Bank of America, N.A. | 3/20/24 | 106,511 | — |
USD | 6,905,773 | ZAR | 130,684,730 | BNP Paribas | 3/20/24 | — | (46,901) |
USD | 17,234,552 | ZAR | 326,146,386 | BNP Paribas | 3/20/24 | — | (117,049) |
USD | 4,651,014 | ZAR | 89,299,462 | Citibank, N.A. | 3/20/24 | — | (99,886) |
USD | 11,607,410 | ZAR | 222,862,282 | Citibank, N.A. | 3/20/24 | — | (249,282) |
11
Emerging Markets Local 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) | ||
USD | 15,485,266 | ZAR | 295,633,079 | Credit Agricole Corporate and Investment Bank | 3/20/24 | $ — | $ (242,970) |
USD | 38,646,163 | ZAR | 737,803,568 | Credit Agricole Corporate and Investment Bank | 3/20/24 | — | (606,374) |
USD | 5,315,092 | ZAR | 102,170,964 | Goldman Sachs International | 3/20/24 | — | (120,596) |
USD | 4,683,987 | ZAR | 90,021,072 | HSBC Bank USA, N.A. | 3/20/24 | — | (105,304) |
USD | 11,689,700 | ZAR | 224,663,179 | HSBC Bank USA, N.A. | 3/20/24 | — | (262,803) |
USD | 13,920,406 | ZAR | 266,322,425 | UBS AG | 3/20/24 | — | (248,448) |
USD | 34,740,785 | ZAR | 664,653,752 | UBS AG | 3/20/24 | — | (620,044) |
USD | 236,622 | ZMW | 5,986,547 | Goldman Sachs International | 3/20/24 | 16,728 | — |
UYU | 42,680,000 | USD | 1,077,778 | Citibank, N.A. | 3/20/24 | 9,515 | — |
UYU | 49,890,000 | USD | 1,265,120 | Citibank, N.A. | 3/20/24 | 5,851 | — |
UYU | 49,880,000 | USD | 1,264,866 | Citibank, N.A. | 3/20/24 | 5,850 | — |
ZAR | 177,842,665 | USD | 9,397,739 | BNP Paribas | 3/20/24 | 63,825 | — |
ZAR | 22,431,724 | USD | 1,185,359 | BNP Paribas | 3/20/24 | 8,050 | — |
ZAR | 42,000,000 | USD | 2,247,090 | BNP Paribas | 3/20/24 | — | (12,611) |
ZAR | 123,610,857 | USD | 6,438,065 | Citibank, N.A. | 3/20/24 | 138,265 | — |
ZAR | 15,591,336 | USD | 812,049 | Citibank, N.A. | 3/20/24 | 17,440 | — |
ZAR | 402,313,069 | USD | 21,073,165 | Credit Agricole Corporate and Investment Bank | 3/20/24 | 330,646 | — |
ZAR | 50,744,718 | USD | 2,658,009 | Credit Agricole Corporate and Investment Bank | 3/20/24 | 41,705 | — |
ZAR | 120,417,973 | USD | 6,265,602 | HSBC Bank USA, N.A. | 3/20/24 | 140,861 | — |
ZAR | 15,188,609 | USD | 790,295 | HSBC Bank USA, N.A. | 3/20/24 | 17,767 | — |
ZAR | 31,700,000 | USD | 1,688,670 | HSBC Bank USA, N.A. | 3/20/24 | — | (2,171) |
ZAR | 14,100,000 | USD | 754,140 | JPMorgan Chase Bank, N.A. | 3/20/24 | — | (3,994) |
ZAR | 362,425,588 | USD | 18,943,622 | UBS AG | 3/20/24 | 338,101 | — |
ZAR | 45,713,613 | USD | 2,389,405 | UBS AG | 3/20/24 | 42,645 | — |
BRL | 10,020,000 | USD | 2,009,756 | Citibank, N.A. | 4/2/24 | 819 | — |
HUF | 5,058,691,682 | EUR | 13,169,904 | Bank of America, N.A. | 4/11/24 | — | (120,348) |
HUF | 1,086,152,721 | EUR | 2,841,368 | BNP Paribas | 4/11/24 | — | (40,641) |
HUF | 1,086,152,720 | EUR | 2,839,466 | HSBC Bank USA, N.A. | 4/11/24 | — | (38,580) |
UZS | 8,143,221,557 | USD | 632,483 | JPMorgan Chase Bank, N.A. | 4/19/24 | 20,691 | — |
UZS | 25,172,105,000 | USD | 1,925,209 | ICBC Standard Bank plc | 5/14/24 | 4,136 | — |
UZS | 13,095,620,000 | USD | 1,004,111 | ICBC Standard Bank plc | 5/14/24 | — | (383) |
UZS | 17,202,441,000 | USD | 1,326,735 | ICBC Standard Bank plc | 5/14/24 | — | (8,234) |
NGN | 250,679,285 | USD | 294,917 | JPMorgan Chase Bank, N.A. | 6/20/24 | — | (137,451) |
TRY | 229,146,000 | USD | 6,735,284 | Standard Chartered Bank | 6/20/24 | — | (181,257) |
NGN | 1,316,619,858 | USD | 1,595,903 | Societe Generale | 6/21/24 | — | (769,196) |
TRY | 31,652,538 | USD | 936,473 | Standard Chartered Bank | 6/21/24 | — | (32,058) |
USD | 901,518 | TRY | 31,652,538 | Standard Chartered Bank | 6/21/24 | — | (2,897) |
NGN | 684,364,061 | USD | 805,141 | Standard Chartered Bank | 6/24/24 | — | (375,955) |
NGN | 704,894,982 | USD | 805,141 | Standard Chartered Bank | 6/26/24 | — | (363,441) |
NGN | 664,421,370 | USD | 746,547 | Standard Chartered Bank | 7/3/24 | — | (331,396) |
NGN | 715,710,229 | USD | 795,234 | Societe Generale | 7/8/24 | — | (348,946) |
UZS | 43,293,543,400 | USD | 3,264,973 | ICBC Standard Bank plc | 7/22/24 | 62,968 | — |
12
Emerging Markets Local 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) | ||
UZS | 15,640,766,000 | USD | 1,175,114 | ICBC Standard Bank plc | 7/22/24 | $ 27,180 | $ — |
UZS | 64,679,524,000 | USD | 4,785,758 | ICBC Standard Bank plc | 8/30/24 | — | (5,979) |
UZS | 27,151,171,000 | USD | 2,008,223 | JPMorgan Chase Bank, N.A. | 8/30/24 | — | (1,767) |
USD | 425,197 | AMD | 169,568,504 | Citibank, N.A. | 9/6/24 | 16,162 | — |
USD | 1,260,027 | AMD | 511,886,000 | Citibank, N.A. | 9/16/24 | 26,899 | — |
EUR | 2,509,535 | PLN | 11,900,000 | Goldman Sachs International | 9/20/24 | — | (219,835) |
TRY | 36,665,785 | USD | 1,007,891 | Standard Chartered Bank | 9/20/24 | — | (49,683) |
TRY | 36,665,785 | USD | 1,008,235 | Standard Chartered Bank | 9/20/24 | — | (50,026) |
TRY | 91,504,000 | USD | 2,495,357 | Standard Chartered Bank | 9/20/24 | — | (104,028) |
TRY | 156,911,000 | USD | 4,284,165 | Standard Chartered Bank | 9/20/24 | — | (183,517) |
USD | 4,096,723 | TRY | 156,911,000 | Standard Chartered Bank | 9/20/24 | — | (3,925) |
TRY | 42,655,000 | USD | 1,148,656 | Standard Chartered Bank | 9/23/24 | — | (37,111) |
USD | 1,112,450 | TRY | 42,655,000 | Standard Chartered Bank | 9/23/24 | 904 | — |
UZS | 10,493,460,710 | USD | 771,578 | JPMorgan Chase Bank, N.A. | 10/22/24 | 9,740 | — |
UZS | 10,532,039,610 | USD | 771,578 | JPMorgan Chase Bank, N.A. | 10/24/24 | 13,151 | — |
UZS | 2,692,778,443 | USD | 197,273 | JPMorgan Chase Bank, N.A. | 11/1/24 | 3,915 | — |
TRY | 394,266,450 | USD | 10,128,956 | Standard Chartered Bank | 12/16/24 | — | (634,294) |
UZS | 16,001,091,000 | USD | 1,142,935 | JPMorgan Chase Bank, N.A. | 1/6/25 | — | (124) |
UZS | 17,381,356,000 | USD | 1,235,349 | ICBC Standard Bank plc | 1/23/25 | — | (1,366) |
UZS | 23,706,120,153 | USD | 1,696,323 | ICBC Standard Bank plc | 1/23/25 | — | (13,316) |
TRY | 237,580,198 | USD | 5,470,334 | Standard Chartered Bank | 1/29/25 | 26,846 | — |
$8,130,681 | $(13,166,457) |
Non-Deliverable Bond Forward Contracts* | ||||||
Settlement Date | Notional Amount (000's omitted) | Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) | |
2/8/24 | COP | 18,300,000 | Republic of Colombia, 7.25%, 10/18/34 | Goldman Sachs International | $ 4,699,568 | $ 276,668 |
2/8/24 | COP | 18,000,000 | Republic of Colombia, 7.25%, 10/18/34 | Goldman Sachs International | 4,622,526 | 452,393 |
3/1/24 | COP | 56,900,000 | Republic of Colombia, 6.00%, 4/28/28 | Bank of America, N.A. | 14,612,318 | 192,810 |
3/1/24 | COP | 72,000,000 | Republic of Colombia, 7.50%, 8/26/26 | Bank of America, N.A. | 18,490,103 | 176,784 |
3/1/24 | COP | 67,000,000 | Republic of Colombia, 7.75%, 9/18/30 | Bank of America, N.A. | 17,206,068 | 486,656 |
3/1/24 | COP | 73,500,000 | Republic of Colombia, 10.00%, 7/24/24 | Bank of America, N.A. | 18,875,314 | (160,082) |
3/8/24 | COP | 18,000,000 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | 4,622,526 | 69,389 |
$1,494,618 |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
13
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (12) | Short | 3/7/24 | $ (1,537,145) | $ (18,286) |
Euro-Bund | (17) | Short | 3/7/24 | (2,495,823) | (27,925) |
Euro-Buxl | (11) | Short | 3/7/24 | (1,635,272) | (119) |
U.S. 5-Year Treasury Note | (122) | Short | 3/28/24 | (13,223,656) | (285,938) |
U.S. 10-Year Treasury Note | (4) | Short | 3/19/24 | (449,313) | (13,982) |
$(346,250) |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Portfolio Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
BRL | 383,000 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.29% (pays upon termination) | 7/1/24 | $ (109,673) | $ — | $ (109,673) |
BRL | 72,000 | Receives | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 6.36% (pays upon termination) | 1/2/25 | 2,533,591 | — | 2,533,591 |
BRL | 73,368 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (22,246) | — | (22,246) |
BRL | 97,532 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.52% (pays upon termination) | 1/2/25 | (28,958) | — | (28,958) |
BRL | 44,130 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.88% (pays upon termination) | 1/2/25 | 49,778 | — | 49,778 |
BRL | 183,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.96% (pays upon termination) | 1/2/25 | 187,582 | — | 187,582 |
BRL | 94,990 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 11.07% (pays upon termination) | 1/2/25 | 135,171 | — | 135,171 |
BRL | 42,700 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.70% (pays upon termination) | 1/4/27 | (18,352) | — | (18,352) |
BRL | 29,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.74% (pays upon termination) | 1/4/27 | (10,410) | — | (10,410) |
BRL | 35,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 9.88% (pays upon termination) | 1/4/27 | 28,244 | — | 28,244 |
BRL | 88,800 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.02% (pays upon termination) | 1/4/27 | (111,692) | — | (111,692) |
BRL | 34,300 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 10.44% (pays upon termination) | 1/4/27 | 50,827 | — | 50,827 |
14
Emerging Markets Local 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) | |
BRL | 19,090 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.17% (pays upon termination) | 1/2/29 | $ 696,032 | $ — | $ 696,032 |
BRL | 15,200 | Pays | Brazil CETIP Interbank Deposit Rate (pays upon termination) | 13.07% (pays upon termination) | 1/2/31 | 728,545 | — | 728,545 |
CLP | 5,000,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.68% (pays semi-annually) | 2/11/24 | (155,585) | — | (155,585) |
CLP | 1,140,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 3.49% (pays semi-annually) | 4/26/24 | (28,349) | — | (28,349) |
CLP | 2,650,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.38% (pays semi-annually) | 6/17/25 | (157,454) | — | (157,454) |
CLP | 3,700,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.33% (pays semi-annually) | 9/11/25 | (333,509) | — | (333,509) |
CLP | 5,200,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.48% (pays semi-annually) | 12/23/25 | (356,670) | — | (356,670) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.59% (pays semi-annually) | 1/27/26 | (154,261) | — | (154,261) |
CLP | 2,500,000 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 1.92% (pays semi-annually) | 2/23/26 | (228,743) | — | (228,743) |
CLP | 584,900 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 2.87% (pays semi-annually) | 5/31/26 | (29,079) | — | (29,079) |
CLP | 3,362,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 4.08% (pays semi-annually) | 7/1/31 | (133,454) | — | (133,454) |
CLP | 20,798,900 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.23% (pays semi-annually) | 9/20/33 | (35,236) | — | (35,236) |
CLP | 6,236,900 | Receives | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 5.56% (pays semi-annually) | 12/20/33 | (71,788) | — | (71,788) |
CNY | 507,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 916,168 | — | 916,168 |
CNY | 68,700 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/21/27 | 125,849 | — | 125,849 |
CNY | 215,650 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.47% (pays quarterly) | 12/21/27 | 465,776 | — | 465,776 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.82% (pays quarterly) | 6/21/28 | 93,981 | — | 93,981 |
CNY | 41,300 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.87% (pays quarterly) | 6/21/28 | 188,592 | — | 188,592 |
15
Emerging Markets Local 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) | |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.28% (pays quarterly) | 9/20/28 | $ 48,952 | $ — | $ 48,952 |
CNY | 108,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 119,797 | — | 119,797 |
CNY | 45,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.29% (pays quarterly) | 9/20/28 | 50,329 | — | 50,329 |
CNY | 95,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.48% (pays quarterly) | 9/20/28 | 216,136 | — | 216,136 |
CNY | 62,400 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.49% (pays quarterly) | 9/20/28 | 148,841 | — | 148,841 |
CNY | 38,700 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.38% (pays quarterly) | 12/20/28 | 65,241 | — | 65,241 |
CNY | 22,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 38,073 | — | 38,073 |
CNY | 23,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.39% (pays quarterly) | 12/20/28 | 40,098 | — | 40,098 |
CNY | 31,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.40% (pays quarterly) | 12/20/28 | 56,030 | — | 56,030 |
CNY | 38,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.21% (pays quarterly) | 3/20/29 | 20,576 | — | 20,576 |
CNY | 100,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.34% (pays quarterly) | 3/20/29 | 133,189 | — | 133,189 |
CNY | 34,000 | Pays | 7-day China Fixing Repo Rates (pays quarterly) | 2.35% (pays quarterly) | 3/20/29 | 47,649 | — | 47,649 |
COP | 6,031,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 141,566 | — | 141,566 |
COP | 6,488,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 134,373 | — | 134,373 |
COP | 5,979,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 112,894 | — | 112,894 |
COP | 20,568,100 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (295,910) | — | (295,910) |
COP | 3,792,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 9.42% (pays quarterly) | 11/26/25 | (12,454) | — | (12,454) |
CZK | 200,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.40% (pays annually) | 3/6/25 | (471,873) | — | (471,873) |
CZK | 258,400 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 1.37% (pays annually) | 3/17/25 | 601,113 | — | 601,113 |
16
Emerging Markets Local 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) | |
CZK | 300,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 1.46% (pays annually) | 3/15/26 | $ (866,189) | $ — | $ (866,189) |
CZK | 110,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 5.39% (pays annually) | 3/15/28 | 435,062 | — | 435,062 |
CZK | 53,900 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.61% (pays annually) | 6/21/28 | 145,500 | — | 145,500 |
CZK | 230,500 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.15% (pays annually) | 9/20/28 | 141,020 | — | 141,020 |
CZK | 51,941 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.94% (pays annually) | 9/20/33 | 39,497 | — | 39,497 |
CZK | 103,882 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 84,426 | — | 84,426 |
CZK | 125,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 104,590 | — | 104,590 |
CZK | 156,178 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.96% (pays annually) | 9/20/33 | 131,187 | — | 131,187 |
CZK | 61,000 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 4.31% (pays annually) | 12/20/33 | 149,105 | — | 149,105 |
CZK | 77,800 | Pays | 6-month CZK PRIBOR (pays semi-annually) | 3.54% (pays annually) | 3/20/34 | 927 | — | 927 |
HUF | 480,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.79% (pays annually) | 8/6/24 | (142,071) | — | (142,071) |
HUF | 3,500,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 0.71% (pays annually) | 11/22/24 | (761,864) | — | (761,864) |
HUF | 6,619,000 | Receives | 6-month HUF BUBOR (pays semi-annually) | 1.30% (pays annually) | 3/16/25 | 1,852,941 | — | 1,852,941 |
HUF | 1,000,000 | Pays | 6-month HUF BUBOR (pays semi-annually) | 1.20% (pays annually) | 11/4/25 | (316,038) | — | (316,038) |
INR | 841,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.73% (pays semi-annually) | 12/20/25 | 78,668 | — | 78,668 |
INR | 1,743,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 172,603 | — | 172,603 |
INR | 2,479,000 | Pays | 1-day INR FBIL MIBOR (pays semi-annually) | 6.75% (pays semi-annually) | 12/20/25 | 246,319 | — | 246,319 |
KRW | 1,055,244 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 6/21/33 | 7,740 | — | 7,740 |
KRW | 658,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.35% (pays quarterly) | 6/21/33 | 5,909 | — | 5,909 |
KRW | 1,056,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.29% (pays quarterly) | 9/20/33 | 5,437 | — | 5,437 |
KRW | 766,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | 4,688 | — | 4,688 |
KRW | 191,712 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.31% (pays quarterly) | 9/20/33 | 1,235 | — | 1,235 |
KRW | 1,021,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.33% (pays quarterly) | 9/20/33 | 8,034 | — | 8,034 |
17
Emerging Markets Local 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 | 1,021,500 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.34% (pays quarterly) | 9/20/33 | $ 8,567 | $ — | $ 8,567 |
KRW | 2,183,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.40% (pays quarterly) | 9/20/33 | 27,142 | — | 27,142 |
KRW | 2,228,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.52% (pays quarterly) | 9/20/33 | 44,293 | — | 44,293 |
KRW | 4,502,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 100,432 | — | 100,432 |
KRW | 2,073,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 46,379 | — | 46,379 |
KRW | 1,773,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.56% (pays quarterly) | 9/20/33 | 40,127 | — | 40,127 |
KRW | 2,101,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.59% (pays quarterly) | 9/20/33 | 51,631 | — | 51,631 |
KRW | 543,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.02% (pays quarterly) | 12/20/33 | 28,862 | — | 28,862 |
KRW | 1,075,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 4.03% (pays quarterly) | 12/20/33 | 57,986 | — | 57,986 |
KRW | 2,170,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 3.27% (pays quarterly) | 3/20/34 | 10,023 | — | 10,023 |
MXN | 185,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.13% (pays monthly) | 2/2/24 | (29,400) | — | (29,400) |
MXN | 600,760 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.76% (pays monthly) | 3/7/24 | 261,121 | — | 261,121 |
MXN | 166,961 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.79% (pays monthly) | 3/7/24 | 72,111 | — | 72,111 |
MXN | 408,300 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.35% (pays monthly) | 3/14/24 | 154,301 | — | 154,301 |
MXN | 67,771 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.08% (pays monthly) | 6/27/24 | (95,038) | — | (95,038) |
MXN | 224,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 7.19% (pays monthly) | 6/27/24 | (248,163) | — | (248,163) |
MXN | 130,204 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 6.66% (pays monthly) | 11/7/24 | 272,461 | — | 272,461 |
MXN | 574,470 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.88% (pays monthly) | 1/6/25 | 6,666 | — | 6,666 |
18
Emerging Markets Local 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) | |
MXN | 1,577,110 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.82% (pays monthly) | 1/7/25 | $ (30,071) | $ — | $ (30,071) |
MXN | 1,391,420 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 10.80% (pays monthly) | 1/8/25 | (41,160) | — | (41,160) |
MXN | 391,500 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.65% (pays monthly) | 2/6/25 | (1,435,630) | — | (1,435,630) |
MXN | 144,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 7.40% (pays monthly) | 3/11/25 | 299,844 | — | 299,844 |
MXN | 222,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 4.71% (pays monthly) | 12/12/25 | (1,183,336) | — | (1,183,336) |
MXN | 111,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.07% (pays monthly) | 4/28/26 | (481,473) | — | (481,473) |
MXN | 165,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.11% (pays monthly) | 6/8/26 | (702,446) | — | (702,446) |
MXN | 130,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.21% (pays monthly) | 6/29/26 | (550,720) | — | (550,720) |
MXN | 160,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 6.54% (pays monthly) | 9/4/26 | (613,450) | — | (613,450) |
MXN | 23,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 4/17/28 | (4,752) | — | (4,752) |
MXN | 115,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.52% (pays monthly) | 12/8/28 | (62,379) | — | (62,379) |
MXN | 82,000 | Receives | Mexico Interbank TIIE 28 Day (pays monthly) | 8.67% (pays monthly) | 1/11/29 | 11,340 | — | 11,340 |
MXN | 54,600 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.69% (pays monthly) | 1/18/29 | (2,372) | — | (2,372) |
MXN | 99,960 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.71% (pays monthly) | 12/1/33 | 21,593 | — | 21,593 |
MXN | 96,100 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.77% (pays monthly) | 12/1/33 | 43,394 | — | 43,394 |
MXN | 59,530 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.43% (pays monthly) | 12/2/33 | (52,289) | — | (52,289) |
MXN | 61,510 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) | 8.49% (pays monthly) | 12/2/33 | (40,751) | — | (40,751) |
PLN | 16,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 2/11/24 | (50,250) | — | (50,250) |
PLN | 13,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.05% (pays annually) | 2/28/24 | (36,849) | — | (36,849) |
19
Emerging Markets Local 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) | |
PLN | 15,522 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.01% (pays annually) | 3/13/24 | $ (32,010) | $ — | $ (32,010) |
PLN | 18,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.00% (pays annually) | 5/30/24 | (41,717) | — | (41,717) |
PLN | 37,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.79% (pays annually) | 7/5/24 | (104,185) | — | (104,185) |
PLN | 27,850 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.77% (pays annually) | 8/6/24 | (301,134) | — | (301,134) |
PLN | 12,200 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.66% (pays annually) | 10/2/24 | (117,758) | — | (117,758) |
PLN | 11,400 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.44% (pays annually) | 10/28/24 | (87,041) | — | (87,041) |
PLN | 50,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.97% (pays annually) | 1/20/25 | (436,761) | — | (436,761) |
PLN | 10,800 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.48% (pays annually) | 8/7/25 | (261,666) | — | (261,666) |
PLN | 11,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.69% (pays annually) | 8/26/25 | (252,682) | — | (252,682) |
PLN | 42,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 0.64% (pays annually) | 1/25/26 | (863,348) | — | (863,348) |
PLN | 48,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 1.69% (pays annually) | 9/20/26 | 1,069,883 | — | 1,069,883 |
PLN | 102,370 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.19% (pays annually) | 10/8/26 | 1,908,329 | — | 1,908,329 |
PLN | 13,250 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.87% (pays annually) | 3/3/27 | (50,187) | — | (50,187) |
PLN | 99,138 | Pays | 6-month PLN WIBOR (pays semi-annually) | 3.91% (pays annually) | 3/3/27 | (338,945) | — | (338,945) |
PLN | 24,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 6.02% (pays annually) | 12/21/27 | (304,674) | — | (304,674) |
PLN | 75,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 2.84% (pays annually) | 1/10/28 | (1,185,152) | — | (1,185,152) |
PLN | 20,000 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.29% (pays annually) | 3/15/28 | 254,817 | — | 254,817 |
PLN | 26,700 | Pays | 6-month PLN WIBOR (pays semi-annually) | 1.74% (pays annually) | 7/2/31 | (1,127,324) | — | (1,127,324) |
PLN | 20,500 | Pays | 6-month PLN WIBOR (pays semi-annually) | 5.19% (pays annually) | 9/21/32 | 214,270 | — | 214,270 |
PLN | 46,000 | Receives | 6-month PLN WIBOR (pays semi-annually) | 5.24% (pays annually) | 6/21/33 | (835,037) | — | (835,037) |
THB | 175,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.29% (pays semi-annually) | 11/25/24 | (61,223) | — | (61,223) |
THB | 233,000 | Receives | Thai Overnight Repurchase Rate (pays semi-annually) | 1.02% (pays semi-annually) | 3/17/25 | 157,308 | — | 157,308 |
THB | 291,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 0.90% (pays semi-annually) | 2/23/26 | (315,417) | — | (315,417) |
THB | 120,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.30% (pays semi-annually) | 11/18/26 | (91,602) | — | (91,602) |
20
Emerging Markets Local 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) | |
THB | 514,900 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.94% (pays semi-annually) | 12/20/28 | $ 467,411 | $ — | $ 467,411 |
THB | 177,200 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 2.95% (pays semi-annually) | 12/20/28 | 163,057 | — | 163,057 |
THB | 204,600 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.72% (pays semi-annually) | 10/29/31 | (357,747) | — | (357,747) |
THB | 200,000 | Pays | Thai Overnight Repurchase Rate (pays semi-annually) | 1.69% (pays semi-annually) | 11/4/31 | (359,787) | — | (359,787) |
ZAR | 244,000 | Receives | 3-month ZAR JIBAR (pays quarterly) | 7.04% (pays quarterly) | 3/12/25 | 157,353 | — | 157,353 |
ZAR | 65,700 | Receives | 3-month ZAR JIBAR (pays quarterly) | 6.91% (pays quarterly) | 3/13/25 | 48,009 | — | 48,009 |
Total | $(249,193) | $ — | $(249,193) |
Interest Rate Swaps (OTC) | |||||||
Counterparty | Notional Amount (000's omitted) | Portfolio Pays/Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value/Unrealized Appreciation (Depreciation) | |
BNP Paribas | MYR | 17,413 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | $ (60,012) |
Citibank, N.A. | THB | 87,340 | Pays | 6-month THB Fixing Rate (pays semi-annually) | 1.96% (pays semi-annually) | 3/18/24 | (455) |
JPMorgan Chase Bank, N.A. | MYR | 88,787 | Pays | 3-month MYR KLIBOR (pays quarterly) | 2.95% (pays quarterly) | 3/16/27 | (306,585) |
Total | $(367,052) |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount (000's omitted) | Contract Annual Fixed Rate* | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Markit CDX Emerging Markets Index (CDX.EM.31.V3) | $86 | 1.00% (pays quarterly)(1) | 6/20/24 | $(351) | $(1,012) | $(1,363) | |
Total | $(351) | $(1,012) | $(1,363) |
* | 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. |
21
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
Abbreviations: | |
BUBOR | – Budapest Interbank Offered Rate |
FBIL | – Financial Benchmarks India Ltd. |
JIBAR | – Johannesburg Interbank Average Rate |
KLIBOR | – Kuala Lumpur Interbank Offered Rate |
MIBOR | – Mumbai Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
PRIBOR | – Prague Interbank Offered Rate |
WIBOR | – Warsaw Interbank Offered Rate |
Currency Abbreviations: | |
AMD | – Armenian Dram |
BAM | – Bosnia-Herzegovina Convertible Mark |
BRL | – Brazilian Real |
CLP | – Chilean Peso |
CNH | – Yuan Renminbi Offshore |
CNY | – Yuan Renminbi |
COP | – Colombian Peso |
CZK | – Czech Koruna |
DOP | – Dominican Peso |
EUR | – Euro |
HUF | – Hungarian Forint |
IDR | – Indonesian Rupiah |
INR | – Indian Rupee |
KRW | – South Korean Won |
MXN | – Mexican Peso |
MYR | – Malaysian Ringgit |
NGN | – Nigerian Naira |
PEN | – Peruvian Sol |
PLN | – Polish Zloty |
PYG | – Paraguay Guarani |
RON | – Romanian Leu |
RSD | – Serbian Dinar |
SGD | – Singapore Dollar |
THB | – Thai Baht |
TRY | – Turkish Lira |
UAH | – Ukrainian Hryvnia |
USD | – United States Dollar |
UYU | – Uruguayan Peso |
UZS | – Uzbekistani Som |
ZAR | – South African Rand |
ZMW | – Zambian Kwacha |
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 and currency options 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 and interest rate 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.
22
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
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% | $5,404,935 | $5,506,728 |
Barclays Bank PLC | 10/16/23 | On Demand(1) | 5.65 | 6,006,255 | 6,105,233 |
Total | $11,411,190 | $11,611,961 |
(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 $12,618,837.
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.
Affiliated Investments
At January 31, 2024, the value of the Portfolio's investment in funds that may be deemed to be affiliated was $106,715,142, which represents 8.5% 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) | $97,178,009 | $186,538,344 | $(177,001,211) | $ — | $ — | $106,715,142 | $1,509,566 | 106,715,142 |
(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.
23
Emerging Markets Local Income Portfolio
January 31, 2024
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 |
Foreign Corporate Bonds | $ — | $ 33,291,374 | $ — | $ 33,291,374 |
Loan Participation Notes | — | — | 27,794,547 | 27,794,547 |
Sovereign Government Bonds | — | 989,636,988 | — | 989,636,988 |
Short-Term Investments: | ||||
Affiliated Fund | 106,715,142 | — | — | 106,715,142 |
Repurchase Agreements | — | 20,104,895 | — | 20,104,895 |
U.S. Treasury Obligations | — | 36,438,351 | — | 36,438,351 |
Purchased Currency Options | — | 363,345 | — | 363,345 |
Total Investments | $106,715,142 | $1,079,834,953 | $27,794,547 | $1,214,344,642 |
Forward Foreign Currency Exchange Contracts | $ — | $ 15,268,386 | $ — | $ 15,268,386 |
Non-Deliverable Bond Forward Contracts | — | 1,654,700 | — | 1,654,700 |
Swap Contracts | — | 17,788,591 | — | 17,788,591 |
Total | $106,715,142 | $1,114,546,630 | $27,794,547 | $1,249,056,319 |
Liability Description | ||||
Securities Sold Short | $ — | $ (20,407,929) | $ — | $ (20,407,929) |
Forward Foreign Currency Exchange Contracts | — | (23,758,859) | — | (23,758,859) |
Non-Deliverable Bond Forward Contracts | — | (160,082) | — | (160,082) |
Futures Contracts | (346,250) | — | — | (346,250) |
Swap Contracts | — | (18,405,187) | — | (18,405,187) |
Total | $ (346,250) | $ (62,732,057) | $ — | $ (63,078,307) |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Loan Participation Notes | |
Balance as of October 31, 2023 | $25,557,142 |
Realized gains (losses) | — |
Change in net unrealized appreciation (depreciation) | 2,118,283 |
Cost of purchases | — |
Proceeds from sales, including return of capital | — |
Accrued discount (premium) | 119,122 |
Transfers to Level 3 | — |
Transfers from Level 3 | — |
Balance as of January 31, 2024 | $27,794,547 |
Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2024 | $ 2,118,283 |
24
Emerging Markets Local Income Portfolio
January 31, 2024
Portfolio of Investments (Unaudited) — continued
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of 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* |
Loan Participation Notes | $27,794,547 | Matrix Pricing | Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate | 1.14% - 1.66%** | Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
** | The weighted average of the unobservable input is 1.41% 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.
25