Global Macro Portfolio N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-08342

Global Macro Portfolio

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number)

October 31

Date of Fiscal Year End

April 30, 2022

Date of Reporting Period

Item 1. Reports to Stockholders

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited)

Asset-Backed Securities — 2.0%
Security	Principal Amount (000’s omitted)			Value
CFG Investments, Ltd., Series 2021-1, Class B, 5.82%, 5/20/32(1)		$	3,600	$	3,499,278
PNMAC GMSR Issuer Trust:
Series 2018-GT1, Class A, 3.518%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(2)			9,000		8,969,343
Series 2018-GT2, Class A, 3.318%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2)			8,064		7,995,714
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3)			24,317		22,875,478
Total Asset-Backed Securities (identified cost $44,624,379)				$	43,339,813
Collateralized Mortgage Obligations — 1.5%
Security		Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 4, Class D, 8.00%, 12/25/22		$	1	$	1,387
Series 1548, Class Z, 7.00%, 7/15/23			6		5,779
Series 1650, Class K, 6.50%, 1/15/24			59		60,210
Series 1817, Class Z, 6.50%, 2/15/26			12		12,241
Series 1927, Class ZA, 6.50%, 1/15/27			58		60,121
Series 2344, Class ZD, 6.50%, 8/15/31			212		221,343
Series 2458, Class ZB, 7.00%, 6/15/32			430		454,922
Interest Only:(4)
Series 4791, Class JI, 4.00%, 5/15/48			4,993		908,247
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2020-DNA4, Class B1, 6.668%, (1 mo. USD LIBOR + 6.00%), 8/25/50(1)(2)			4,296		4,510,277
Series 2020-HQA4, Class B1, 5.918%, (1 mo. USD LIBOR + 5.25%), 9/25/50(1)(2)			2,089		2,161,889
Series 2022-HQA1, Class B1, 7.289%, (30-day average SOFR + 7.00%), 3/25/42(1)(2)			3,697		3,757,222
Series 2022-HQA1, Class M1B, 3.789%, (30-day average SOFR + 3.50%), 3/25/42(1)(2)			1,479		1,512,863
Series 2022-HQA1, Class M2, 5.539%, (30-day average SOFR + 5.25%), 3/25/42(1)(2)			2,957		3,021,750
Federal National Mortgage Association:
Series G92-60, Class Z, 7.00%, 10/25/22			2		1,974
Series G93-1, Class K, 6.675%, 1/25/23			5		5,119
Series G94-7, Class PJ, 7.50%, 5/17/24			42		42,973
Series 1992-180, Class F, 1.818%, (1 mo. USD LIBOR + 1.15%), 10/25/22(2)			9		9,433

Security		Principal Amount (000’s omitted)		Value
Federal National Mortgage Association: (continued)
Series 1993-16, Class Z, 7.50%, 2/25/23		$	13	$	12,807
Series 1993-79, Class PL, 7.00%, 6/25/23			12		12,247
Series 1993-104, Class ZB, 6.50%, 7/25/23			6		5,908
Series 1993-121, Class Z, 7.00%, 7/25/23			92		93,568
Series 1993-141, Class Z, 7.00%, 8/25/23			19		19,636
Series 1994-42, Class ZQ, 7.00%, 4/25/24			187		191,939
Series 1994-79, Class Z, 7.00%, 4/25/24			30		30,413
Series 1994-89, Class ZQ, 8.00%, 7/25/24			44		46,135
Series 1996-35, Class Z, 7.00%, 7/25/26			17		17,240
Series 1998-16, Class H, 7.00%, 4/18/28			92		97,367
Series 1998-44, Class ZA, 6.50%, 7/20/28			144		152,238
Series 1999-25, Class Z, 6.00%, 6/25/29			151		155,287
Series 2000-2, Class ZE, 7.50%, 2/25/30			34		35,996
Series 2000-49, Class A, 8.00%, 3/18/27			89		94,125
Series 2001-31, Class ZA, 6.00%, 7/25/31			1,171		1,203,806
Series 2001-74, Class QE, 6.00%, 12/25/31			321		340,445
Series 2009-48, Class WA, 5.832%, 7/25/39(3)			1,676		1,759,517
Series 2011-38, Class SA, 11.496%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(5)			775		749,609
Interest Only:(4)
Series 424, Class C8, 3.50%, 2/25/48			6,328		1,077,567
Series 2018-21, Class IO, 3.00%, 4/25/48			5,308		951,320
Series 2018-58, Class BI, 4.00%, 8/25/48			839		154,980
Federal National Mortgage Association Connecticut Avenue Securities:
Series 2021-R02, Class 2B1, 3.589%, (30-day average SOFR + 3.30%), 11/25/41(1)(2)			5,415		5,030,431
Series 2022-R02, Class 2B2, 7.939%, (30-day average SOFR + 7.65%), 1/25/42(1)(2)			2,588		2,468,638
Government National Mortgage Association, Series 2001-35, Class K, 6.45%, 10/26/23			9		9,567
				$	31,458,536
Total Collateralized Mortgage Obligations (identified cost $44,597,567)				$	31,458,536
Common Stocks — 3.2%
Security	Shares			Value
Argentina — 0.3%
Banco Macro S.A. ADR(6)			64,200	$	941,814
Grupo Financiero Galicia S.A. ADR			95,400		867,186
IRSA Inversiones y Representaciones S.A. ADR(6)			69,200		312,784
Loma Negra Cia Industrial Argentina S.A. ADR			145,800		819,396

19 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Shares		Value
Argentina (continued)
Pampa Energia S.A. ADR(6)		62,700	$	1,352,439
Telecom Argentina S.A. ADR(6)		174,000		951,780
Transportadora de Gas del Sur S.A. ADR(6)		110,721		709,722
			$	5,955,121
Brazil — 0.3%
Pagseguro Digital, Ltd., Class A(6)		43,700	$	642,827
Petroleo Brasileiro S.A. ADR		278,800		3,783,316
StoneCo, Ltd., Class A(6)		60,400		568,968
XP, Inc., Class A(6)		53,300		1,311,713
			$	6,306,824
Bulgaria — 0.3%
Eurohold Bulgaria AD(6)		5,313,401	$	6,871,270
			$	6,871,270
Cyprus — 0.2%
Bank of Cyprus Holdings PLC(6)		4,401,002	$	4,884,367
			$	4,884,367
Egypt — 0.1%
Taaleem Management Services Co. SAE(6)		5,694,463	$	1,142,606
			$	1,142,606
Greece — 0.5%
Alpha Services and Holdings S.A.(6)		644,100	$	725,027
Eurobank Ergasias Services and Holdings S.A.(6)		1,087,400		1,123,876
Hellenic Telecommunications Organization S.A.		112,400		2,162,357
JUMBO S.A.		71,500		1,158,863
Motor Oil (Hellas) Corinth Refineries S.A.		38,600		610,658
Mytilineos S.A.		50,500		935,152
National Bank of Greece S.A.(6)		226,500		898,407
OPAP S.A.		77,900		1,154,663
Piraeus Financial Holdings S.A.(6)		938,200		1,354,444
Public Power Corp. S.A.(6)		65,900		527,616
Titan Cement International S.A.		3,203		44,875
			$	10,695,938
Iceland — 0.4%
Arion Banki HF(1)		1,520,353	$	1,973,931
Eik Fasteignafelag HF		4,818,922		584,298
Eimskipafelag Islands HF		345,209		1,489,843
Hagar HF		1,391,259		856,328
Islandsbanki HF		1,010,006		964,030

Security	Shares		Value
Iceland (continued)
Reginn HF		1,908,490	$	561,264
Reitir Fasteignafelag HF		1,336,331		1,069,783
Siminn HF		7,290,288		697,283
			$	8,196,760
Indonesia — 0.3%
Allo Bank Indonesia Tbk PT(6)		346,000	$	154,818
Astra International Tbk PT		963,500		503,083
Bank Central Asia Tbk PT		2,864,100		1,606,392
Bank Jago Tbk PT(6)		279,300		224,343
Bank Mandiri Persero Tbk PT		1,021,800		627,421
Bank Negara Indonesia Persero Tbk PT		423,700		267,630
Bank Rakyat Indonesia Persero Tbk PT		3,486,600		1,161,690
Bayan Resources Tbk PT		65,400		191,366
Chandra Asri Petrochemical Tbk PT		381,600		264,273
Charoen Pokphand Indonesia Tbk PT		389,000		137,907
Elang Mahkota Teknologi Tbk PT(6)		1,163,600		239,592
Merdeka Copper Gold Tbk PT(6)		579,907		211,334
Telkom Indonesia Persero Tbk PT		2,432,100		774,285
Unilever Indonesia Tbk PT		662,300		177,274
United Tractors Tbk PT		84,500		176,326
			$	6,717,734
Japan — 0.1%
Mizuho Financial Group, Inc.		52,500	$	637,492
SBI Holdings, Inc.		8,800		196,830
Sumitomo Mitsui Financial Group, Inc.		19,500		589,172
Tokio Marine Holdings, Inc.		11,900		643,417
			$	2,066,911
United Arab Emirates — 0.2%
Al Yah Satellite Communications Co-Pjsc-Yah Sat		5,278,406	$	3,814,477
Dubai Electricity & Water Authority PJSC(6)		983,852		758,035
			$	4,572,512
United Kingdom — 0.0%(7)
Tesnik Cuatro, Ltd.(8)		409,000	$	288,263
			$	288,263
Vietnam — 0.5%
Bank for Foreign Trade of Vietnam JSC		84,651	$	297,997
Binh Minh Plastics JSC		14,820		39,581
Coteccons Construction JSC		36,000		86,694
FPT Corp.		156,001		763,242

20 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security			Shares		Value
Vietnam (continued)
Hoa Phat Group JSC				365,753	$	686,463
KIDO Group Corp.				10,295		23,194
Military Commercial Joint Stock Bank(6)				662,987		920,591
Mobile World Investment Corp.				541,249		3,762,804
Phu Nhuan Jewelry JSC				143,430		673,726
Refrigeration Electrical Engineering Corp.				217,610		777,238
Vietnam Dairy Products JSC				90,281		291,072
Vietnam Prosperity JSC Bank(6)				420,683		719,394
Vietnam Technological & Commercial Joint Stock Bank(6)				163,200		334,594
Vingroup JSC(6)				78,738		273,557
					$	9,650,147
Total Common Stocks (identified cost $71,023,737)					$	67,348,453
Convertible Bonds — 0.3%
Security	Principal Amount (000’s omitted)				Value
Bermuda — 0.2%
Liberty Latin America, Ltd., 2.00%, 7/15/24		USD		3,340	$	3,045,662
					$	3,045,662
India — 0.1%
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(9)		USD		2,970	$	2,314,046
					$	2,314,046
Total Convertible Bonds (identified cost $6,310,770)					$	5,359,708
Foreign Corporate Bonds — 7.3%
Security	Principal Amount (000’s omitted)				Value
Argentina — 0.5%
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(9)		USD		914	$	900,729
YPF S.A.:
4.00% to 1/1/23, 2/12/26(1)(10)		USD		9,379		8,327,048
4.00% to 1/1/23, 2/12/26(9)(10)		USD		1,523		1,352,591
6.95%, 7/21/27(9)		USD		992		719,324
8.50%, 7/28/25(9)		USD		528		431,051
					$	11,730,743

Security	Principal Amount (000’s omitted)			Value
Armenia — 0.3%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(9)		USD	6,432	$	5,981,760
				$	5,981,760
Brazil — 1.2%
Arcos Dorados BV, 6.125%, 5/27/29(1)		USD	2,215	$	2,175,274
Braskem America Finance Co., 7.125%, 7/22/41(9)		USD	1,279		1,275,105
Braskem Netherlands Finance BV, 5.875%, 1/31/50(9)		USD	3,939		3,529,029
Coruripe Netherlands BV:
10.00%, 2/10/27(1)		USD	903		783,353
10.00%, 2/10/27(9)		USD	1,745		1,513,787
Guara Norte S.a.r.l., 5.198%, 6/15/34(9)		USD	1,130		997,755
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1)		USD	3,757		3,274,977
Natura & Co. Luxembourg Holding S.a.r.l., 6.00%, 4/19/29(1)		USD	1,328		1,291,480
Natura Cosmeticos S.A., 4.125%, 5/3/28(9)		USD	4,657		4,182,079
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(9)		USD	1,022		1,012,165
Petrobras Global Finance BV, 6.90%, 3/19/49		USD	479		452,207
Vale S.A., 2.762%(11)(12)		BRL	42,422		3,989,936
				$	24,477,147
Bulgaria — 0.2%
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(9)		EUR	180	$	152,361
Eurohold Bulgaria AD, 6.50%, 12/7/22(9)		EUR	4,582		4,822,519
				$	4,974,880
China — 0.3%
KWG Group Holdings, Ltd., 7.875%, 9/1/23(9)		USD	1,571	$	739,941
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9)		USD	5,100		1,262,250
Sunac China Holdings, Ltd.:
6.50%, 7/9/23(9)		USD	2,000		525,000
8.35%, 4/19/23(9)		USD	3,270		809,325
Times China Holdings, Ltd.:
5.55%, 6/4/24(9)		USD	3,999		2,119,470
6.75%, 7/16/23(9)		USD	2,966		1,649,096
				$	7,105,082
Georgia — 0.4%
Georgia Capital JSC, 6.125%, 3/9/24(9)		USD	6,762	$	6,576,045
Silknet JSC, 8.375%, 1/31/27(9)		USD	1,686		1,648,065
				$	8,224,110

21 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)			Value
Honduras — 0.1%
Inversiones Atlantida S.A., 7.50%, 5/19/26(9)		USD	2,945	$	2,890,061
				$	2,890,061
Iceland — 0.9%
Arion Banki HF, 6.00%, 4/12/24(9)		ISK	1,000,000	$	7,733,466
Islandsbanki HF, 6.40%, 10/26/23		ISK	860,000		6,677,442
Landsbankinn HF, 5.00%, 11/23/23(9)		ISK	560,000		4,269,014
WOW Air HF:
0.00%(8)(11)(13)		EUR	79		0
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(13)		EUR	3,600		0
				$	18,679,922
India — 1.2%
Indian Railway Finance Corp., Ltd.:
2.80%, 2/10/31(9)		USD	15,006	$	12,506,517
3.57%, 1/21/32(9)		USD	8,481		7,476,468
JSW Infrastructure, Ltd., 4.95%, 1/21/29(9)		USD	3,677		3,310,367
JSW Steel, Ltd., 5.05%, 4/5/32(9)		USD	1,466		1,257,548
Reliance Communications, Ltd., 6.50%, 11/6/20(9)(13)		USD	1,800		158,400
				$	24,709,300
Indonesia — 0.3%
Alam Sutera Realty Tbk PT:
6.00%, (6.00% cash or 6.25% PIK), 5/2/24(14)		USD	1,675	$	1,186,905
6.25%, (6.25% cash or 6.50% PIK), 11/2/25(9)(14)		USD	5,025		3,240,220
Freeport Indonesia PT, 5.315%, 4/14/32(9)		USD	1,896		1,843,860
				$	6,270,985
Mexico — 0.3%
Alpha Holding S.A. de CV:
9.00%, 2/10/25(9)(13)		USD	3,890	$	243,125
10.00%, 12/19/22(9)(13)		USD	1,849		117,892
Braskem Idesa SAPI, 6.99%, 2/20/32(9)		USD	3,000		2,697,555
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(9)		USD	1,124		644,148
Petroleos Mexicanos, 6.75%, 9/21/47		USD	3,700		2,681,279
				$	6,383,999
Moldova — 0.2%
Aragvi Finance International DAC, 8.45%, 4/29/26(9)		USD	5,849	$	4,552,569
				$	4,552,569

Security	Principal Amount (000’s omitted)			Value
Nigeria — 0.2%
IHS Holding, Ltd., 5.625%, 11/29/26(9)		USD	1,740	$	1,661,265
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(9)		USD	3,306		3,152,502
				$	4,813,767
Paraguay — 0.2%
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1)		USD	4,435	$	3,872,066
				$	3,872,066
Peru — 0.0%(7)
PetroTal Corp., 12.00%, 2/16/24(1)(9)		USD	720	$	748,800
				$	748,800
South Africa — 0.2%
HTA Group, Ltd., 7.00%, 12/18/25(9)		USD	269	$	266,818
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(9)(14)		USD	4,843		5,133,435
				$	5,400,253
Turkey — 0.2%
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(9)		USD	4,390	$	4,088,846
				$	4,088,846
United Arab Emirates — 0.1%
NBK Tier 1 Financing, Ltd., 3.625% to 8/24/26(9)(11)(15)		USD	1,765	$	1,622,900
				$	1,622,900
Uzbekistan — 0.5%
Ipoteka-Bank ATIB, 5.50%, 11/19/25(9)		USD	833	$	756,989
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(9)		UZS	101,000,000		8,948,597
				$	9,705,586
Total Foreign Corporate Bonds (identified cost $183,605,674)				$	156,232,776

22 See Notes to Consolidated Financial Statements.

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April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

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%, 6/15/23(8)(9)(16)		UZS		293,470,000	$	25,666,878
Europe Asia Investment Finance BV (borrower -Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(8)(9)(16)		UZS		248,781,000		21,911,856
Total Loan Participation Notes (identified cost $54,200,436)					$	47,578,734
Reinsurance Side Cars — 0.7%
Security	Shares				Value
Eden Re II, Ltd.:
Series 2021A, 0.00%, 3/21/25(1)(8)(17)(32)				1,050,000	$	894,600
Series 2022A, 0.00%, 3/20/26(1)(8)(17)(32)				1,100,000		1,094,500
Series 2022B, 0.00%, 3/20/26(1)(8)(17)(32)				2,400,000		2,389,200
Mt. Logan Re, Ltd., Series A-1(6)(8)(17)(18)				4,400		4,042,607
Sussex Capital, Ltd.:
Designated Investment Series 16, 12/21(6)(8)(17)(18)				817		807,923
Series 16, Preference Shares(6)(8)(17)(18)				5,500		4,782,138
Total Reinsurance Side Cars (identified cost $14,450,000)					$	14,010,968
Senior Floating-Rate Loans — 0.5%(19)
Borrower/Description	Principal Amount (000’s omitted)				Value
Argentina — 0.0%(7)
Desa, LLC, Term Loan, 0.188%, 6/30/24(8)(20)			$	843	$	634,858
					$	634,858
Luxembourg — 0.0%(7)
Zacapa LLC, Term Loan, 3/22/29(21)			$	1,100	$	1,093,263
					$	1,093,263

Borrower/Description	Principal Amount (000’s omitted)				Value
Mexico — 0.5%
Petroleos Mexicanos, Term Loan, 6/28/24(21)			$	10,251	$	9,892,215
					$	9,892,215
Total Senior Floating-Rate Loans (identified cost $11,747,588)					$	11,620,336
Sovereign Government Bonds — 43.0%
Security	Principal Amount (000’s omitted)				Value
Armenia — 0.4%
Republic of Armenia:
3.60%, 2/2/31(9)		USD		2,895	$	2,164,198
3.95%, 9/26/29(9)		USD		2,355		1,895,775
7.15%, 3/26/25(9)		USD		4,124		4,068,532
					$	8,128,505
Azerbaijan — 0.2%
Republic of Azerbaijan, 3.50%, 9/1/32(9)		USD		4,935	$	4,373,778
					$	4,373,778
Bahrain — 0.6%
Kingdom of Bahrain:
5.45%, 9/16/32(9)		USD		10,100	$	9,121,239
6.00%, 9/19/44(9)		USD		4,528		3,760,441
7.50%, 9/20/47(9)		USD		440		410,872
					$	13,292,552
Barbados — 1.3%
Government of Barbados, 6.50%, 10/1/29(9)		USD		28,151	$	27,060,142
					$	27,060,142
Benin — 0.5%
Benin Government International Bond, 6.875%, 1/19/52(9)		EUR		11,330	$	9,879,303
					$	9,879,303
Costa Rica — 0.0%(7)
Costa Rica Government International Bond, 9.66%, 9/30/26(9)		CRC		684,200	$	1,182,944
					$	1,182,944

23 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)			Value
Croatia — 0.9%
Croatia Government International Bond, 1.75%, 3/4/41(9)		EUR	21,902	$	18,236,171
				$	18,236,171
Dominican Republic — 1.2%
Dominican Republic:
6.00%, 2/22/33(1)		USD	2,198	$	2,002,119
6.40%, 6/5/49(9)		USD	9,148		7,786,534
6.50%, 2/15/48(9)		USD	207		178,778
6.85%, 1/27/45(9)		USD	6,547		5,913,867
8.00%, 1/15/27(9)		DOP	96,000		1,582,766
8.00%, 2/12/27(9)		DOP	474,470		7,813,857
				$	25,277,921
Ecuador — 0.1%
Republic of Ecuador, 0.50%, 7/31/40(9)		USD	2,839	$	1,271,089
				$	1,271,089
Egypt — 2.4%
Arab Republic of Egypt:
5.875%, 2/16/31(9)		USD	862	$	633,385
6.375%, 4/11/31(9)		EUR	21,787		17,383,916
6.588%, 2/21/28(9)		USD	5,322		4,444,956
7.053%, 1/15/32(9)		USD	2,618		2,024,120
7.50%, 2/16/61(9)		USD	20,206		13,575,482
7.60%, 3/1/29(9)		USD	3,279		2,796,167
7.903%, 2/21/48(9)		USD	956		658,661
8.15%, 11/20/59(9)		USD	1,329		926,621
8.70%, 3/1/49(9)		USD	6,947		5,100,710
8.75%, 9/30/51(9)		USD	2,777		2,045,088
8.875%, 5/29/50(9)		USD	1,083		801,312
				$	50,390,418
Ethiopia — 0.2%
Ethiopia International Bond, 6.625%, 12/11/24(9)		USD	6,390	$	4,438,750
				$	4,438,750
Gabon — 0.5%
Gabon Government International Bond, 6.625%, 2/6/31(9)		USD	12,657	$	11,474,710
				$	11,474,710

Security	Principal Amount (000’s omitted)				Value
Georgia — 0.1%
Georgia Government International Bond, 2.75%, 4/22/26(9)		USD		2,541	$	2,190,113
					$	2,190,113
Greece — 0.5%
Hellenic Republic Government Bond, 1.75%, 6/18/32(1)(9)		EUR		11,700	$	10,701,804
					$	10,701,804
Honduras — 1.2%
Honduras Government International Bond:			��
5.625%, 6/24/30(9)		USD		16,651	$	13,179,266
6.25%, 1/19/27(9)		USD		2,710		2,369,087
7.50%, 3/15/24(9)		USD		10,723		10,507,462
					$	26,055,815
Iceland — 1.3%
Republic of Iceland, 6.50%, 1/24/31		ISK		3,257,985	$	27,176,271
					$	27,176,271
India — 0.2%
Export-Import Bank of India:
2.25%, 1/13/31(9)		USD		2,400	$	1,961,952
3.25%, 1/15/30(9)		USD		2,980		2,684,118
					$	4,646,070
Indonesia — 1.5%
Indonesia Government Bond:
6.50%, 2/15/31		IDR		193,960,000	$	12,917,733
7.00%, 9/15/30		IDR		101,409,000		6,977,334
7.50%, 6/15/35		IDR		166,778,000		11,687,944
7.50%, 4/15/40		IDR		2,752,000		194,104
					$	31,777,115
Iraq — 0.7%
Republic of Iraq, 5.80%, 1/15/28(9)		USD		15,101	$	14,631,025
					$	14,631,025
Israel — 1.8%
Israel Government Bond, 0.75%, 7/31/22		ILS		125,096	$	37,501,315
					$	37,501,315

24 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)			Value
Ivory Coast — 0.9%
Ivory Coast Government International Bond:
4.875%, 1/30/32(9)		EUR	3,666	$	3,261,999
5.25%, 3/22/30(9)		EUR	10,453		9,914,069
6.625%, 3/22/48(9)		EUR	5,615		4,749,499
6.875%, 10/17/40(9)		EUR	1,048		935,993
				$	18,861,560
Jordan — 0.1%
Kingdom of Jordan, 7.375%, 10/10/47(9)		USD	3,586	$	3,138,216
				$	3,138,216
Lebanon — 0.4%
Lebanese Republic:
5.80%, 4/14/20(9)(13)		USD	337	$	40,440
6.00%, 1/27/23(9)(13)		USD	1,505		184,363
6.10%, 10/4/22(9)(13)		USD	5,758		704,232
6.15%, 6/19/20(13)		USD	448		54,880
6.20%, 2/26/25(9)(13)		USD	450		54,405
6.25%, 5/27/22(13)		USD	750		90,938
6.25%, 11/4/24(9)(13)		USD	7,663		934,541
6.25%, 6/12/25(9)(13)		USD	2,947		361,007
6.375%, 3/9/20(13)		USD	6,588		790,560
6.40%, 5/26/23(13)		USD	7,625		905,469
6.65%, 4/22/24(9)(13)		USD	7,602		940,976
6.65%, 11/3/28(9)(13)		USD	3,522		421,583
6.65%, 2/26/30(9)(13)		USD	453		54,478
6.75%, 11/29/27(9)(13)		USD	194		23,523
6.85%, 5/25/29(13)		USD	8,628		1,024,575
7.00%, 12/3/24(13)		USD	3,446		417,827
7.00%, 3/20/28(9)(13)		USD	5,356		642,720
7.05%, 11/2/35(9)(13)		USD	1,463		178,340
7.15%, 11/20/31(9)(13)		USD	4,621		560,296
8.20%, 5/17/33(13)		USD	1,595		169,469
8.25%, 4/12/21(9)(13)		USD	3,382		418,522
8.25%, 5/17/34(13)		USD	1,326		155,261
				$	9,128,405
Mexico — 1.1%
Mexican Udibonos, 2.75%, 11/27/31(22)		MXN	546,741	$	24,200,404
				$	24,200,404

Security	Principal Amount (000’s omitted)			Value
Mozambique — 0.2%
Mozambique International Bond, 5.00%, 9/15/31(9)		USD	3,889	$	3,397,625
				$	3,397,625
New Zealand — 0.6%
New Zealand Government Bond, 3.00%, 9/20/30(9)(22)		NZD	16,455	$	12,182,113
				$	12,182,113
Oman — 0.8%
Oman Government International Bond:
6.50%, 3/8/47(9)		USD	9,241	$	8,483,839
6.75%, 1/17/48(9)		USD	8,665		8,147,266
7.00%, 1/25/51(9)		USD	670		646,717
				$	17,277,822
Pakistan — 0.1%
Islamic Republic of Pakistan, 8.875%, 4/8/51(9)		USD	3,022	$	2,172,818
				$	2,172,818
Philippines — 1.4%
Republic of the Philippines, 6.25%, 1/14/36		PHP	1,524,000	$	30,283,286
				$	30,283,286
Romania — 0.7%
Romania Government International Bond:
2.625%, 12/2/40(9)		EUR	894	$	629,862
2.75%, 4/14/41(9)		EUR	1,699		1,206,805
3.375%, 1/28/50(9)		EUR	5,202		3,729,857
4.625%, 4/3/49(9)		EUR	9,940		8,764,150
				$	14,330,674
Serbia — 2.5%
Serbia Treasury Bond:
4.50%, 8/20/32		RSD	1,139,040	$	9,095,062
5.875%, 2/8/28		RSD	4,951,760		44,921,883
				$	54,016,945
South Africa — 4.1%
Republic of South Africa:
5.875%, 4/20/32		USD	15,200	$	14,484,080
7.30%, 4/20/52		USD	5,092		4,780,777
10.50%, 12/21/26		ZAR	323,494		68,262,849
				$	87,527,706

25 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)			Value
South Korea — 1.1%
Korea Treasury Bond, 1.875%, 12/10/24		KRW	31,500,000	$	24,400,070
				$	24,400,070
Sri Lanka — 0.7%
Sri Lanka Government International Bond:
5.75%, 4/18/23(9)		USD	3,000	$	1,314,506
6.20%, 5/11/27(9)		USD	2,838		1,225,675
6.35%, 6/28/24(9)		USD	1,960		845,603
6.75%, 4/18/28(9)		USD	9,346		4,010,275
6.825%, 7/18/26(9)		USD	9,809		4,300,560
6.85%, 3/14/24(9)		USD	3,988		1,714,760
6.85%, 11/3/25(9)		USD	1,000		446,250
7.55%, 3/28/30(9)		USD	200		85,634
7.85%, 3/14/29(9)		USD	1,600		690,080
				$	14,633,343
Suriname — 1.8%
Republic of Suriname:
9.25%, 10/26/26(9)(13)		USD	44,764	$	37,377,940
12.875%, 12/30/23(9)(13)		USD	1,385		1,156,475
				$	38,534,415
Thailand — 3.8%
Thailand Government Bond:
1.25%, 3/12/28(9)(22)		THB	2,575,237	$	77,200,124
2.875%, 6/17/46		THB	112,400		2,710,272
				$	79,910,396
Ukraine — 3.9%
Ukraine Government Bond:
1.258%, GDP-Linked, 5/31/40(9)(23)		USD	11,029	$	3,238,004
10.00%, 8/23/23(8)		UAH	39,841		807,588
11.67%, 11/22/23(8)		UAH	693,998		14,067,527
15.84%, 2/26/25(8)		UAH	3,871,788		64,529,800
				$	82,642,919
United Arab Emirates — 0.7%
Finance Department Government of Sharjah, 4.00%, 7/28/50(9)		USD	19,846	$	14,873,347
				$	14,873,347
Uzbekistan — 0.1%
National Bank of Uzbekistan, 4.85%, 10/21/25(9)		USD	326	$	288,510

Security		Principal Amount (000’s omitted)		Value
Uzbekistan (continued)
Republic of Uzbekistan, 14.50%, 11/25/23(9)	UZS		16,470,000	$	1,456,977
				$	1,745,487
Vietnam — 1.0%
Vietnam Government International Bond, 4.80%, 11/19/24(9)	USD		21,375	$	21,936,094
				$	21,936,094
Zambia — 1.4%
Zambia Government Bond:
11.00%, 1/25/26	ZMW		229,105	$	10,040,562
11.00%, 9/20/26	ZMW		14,610		604,075
11.00%, 12/27/26	ZMW		72,160		2,917,007
12.00%, 3/22/28	ZMW		26,190		999,269
12.00%, 5/31/28	ZMW		8,430		317,632
12.00%, 11/1/28	ZMW		20,900		762,502
12.00%, 2/21/29	ZMW		47,920		1,710,553
13.00%, 1/25/31	ZMW		21,610		750,989
13.00%, 6/28/31	ZMW		20,170		697,074
13.00%, 9/20/31	ZMW		36,470		1,250,265
13.00%, 12/27/31	ZMW		76,230		2,595,500
14.00%, 12/5/31	ZMW		4,600		166,456
15.00%, 2/16/27	ZMW		15,100		702,829
Zambia Government International Bond, 5.375%, 9/20/22(9)	USD		7,546		5,436,591
				$	28,951,304
Total Sovereign Government Bonds (identified cost $1,104,161,672)				$	913,830,760
Sovereign Loans — 4.6%
Borrower/Description		Principal Amount (000’s omitted)		Value
Ivory Coast — 0.2%
Republic of Ivory Coast, Term Loan, 5.75%, (6 mo. EURIBOR + 5.75%), 1/6/28(2)	EUR		2,665	$	2,860,227
				$	2,860,227
Kenya — 0.6%
Government of Kenya:
Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2)	USD		12,191	$	12,060,988

26 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Borrower/Description		Principal Amount (000’s omitted)		Value
Kenya (continued)
Government of Kenya: (continued)
Term Loan, 8.422%, (6 mo. USD LIBOR + 6.70%), 10/24/24(2)	USD		1,452	$	1,429,265
				$	13,490,253
Macedonia — 0.1%
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), 12/16/22(2)(24)	EUR		2,200	$	2,321,366
				$	2,321,366
Nigeria — 0.6%
Bank of Industry Limited, Term Loan, 6.803%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(24)	USD		13,363	$	13,362,711
				$	13,362,711
Tanzania — 3.1%
Government of the United Republic of Tanzania:
Term Loan, 5.526%, (6 mo. USD LIBOR + 5.20%), 6/26/22(2)	USD		8,449	$	8,651,439
Term Loan, 6.454%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2)	USD		58,755		57,758,985
				$	66,410,424
Total Sovereign Loans (identified cost $99,696,163)				$	98,444,981
U.S. Government Agency Mortgage-Backed Securities — 2.3%
Security		Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.43%, (1 yr. CMT + 2.31%), with maturity at 2036(25)		$	633	$	657,459
2.768%, (COF + 1.25%), with maturity at 2035(25)			561		575,541
2.875%, (COF + 2.43%), with maturity at 2023(25)			3		3,102
4.007%, (COF + 1.25%), with maturity at 2029(25)			7		7,419
4.391%, (COF + 1.25%), with maturity at 2030(25)			142		151,376
4.50%, with maturity at 2035			128		131,313
6.00%, with various maturities to 2035			3,399		3,663,525
6.50%, with various maturities to 2032			3,919		4,266,645
6.60%, with maturity at 2030			389		417,817
7.00%, with various maturities to 2036			4,958		5,391,976
7.31%, with maturity at 2026			6		5,886

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.: (continued)
7.50%, with various maturities to 2035	$	1,879	$	2,025,973
7.95%, with maturity at 2022		1		1,445
8.00%, with various maturities to 2030		398		417,549
8.50%, with maturity at 2025		7		7,529
9.00%, with various maturities to 2027		25		25,773
9.50%, with maturity at 2027		14		15,246
			$	17,765,574
Federal National Mortgage Association:
1.518%, (COF + 1.30%), with maturity at 2024(25)	$	204	$	204,827
1.527%, (COF + 1.31%), with maturity at 2033(25)		556		566,924
1.642%, (COF + 1.40%), with maturity at 2025(25)		112		113,082
1.653%, (COF + 1.35%), with maturity at 2027(25)		29		29,122
1.842%, (COF + 1.60%), with maturity at 2024(25)		56		56,453
2.318%, (1 yr. CMT + 2.15%), with maturity at 2028(25)		69		69,726
3.264%, (COF + 1.25%), with maturity at 2035(25)		552		566,436
3.267%, (COF + 1.25%), with maturity at 2034(25)		197		206,403
4.052%, (COF + 1.79%), with maturity at 2035(25)		1,009		1,076,831
6.00%, with various maturities to 2035		11,338		12,272,391
6.335%, (COF + 2.00%, Floor 6.335%), with maturity at 2032(25)		225		250,709
6.50%, with various maturities to 2038		4,338		4,672,478
7.00%, with various maturities to 2035		7,378		8,071,422
7.50%, with various maturities to 2027		15		15,578
7.725%, (1 yr. CMT + 2.23%), with maturity at 2025(25)		8		8,254
8.00%, with maturity at 2026		1		548
8.50%, with various maturities to 2037		921		1,019,600
9.00%, with various maturities to 2032		83		88,445
9.50%, with various maturities to 2031		26		26,739
10.50%, with maturity at 2029		21		22,982
11.50%, with maturity at 2031		85		97,680
			$	29,436,630
Government National Mortgage Association:
2.00%, (1 yr. CMT + 1.50%), with maturity at 2024(25)	$	55	$	55,341
6.50%, with various maturities to 2032		181		194,690
7.00%, with various maturities to 2031		339		362,257
7.50%, with various maturities to 2028		40		42,123
8.00%, with maturity at 2023		9		8,952

27 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)		Value
Government National Mortgage Association: (continued)
9.00%, with maturity at 2025	$	3	$	3,171
			$	666,534
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $49,367,581)			$	47,868,738
U.S. Government Guaranteed Small Business Administration Loans(26)(27)—0.7%
Security	Principal Amount (000’s omitted)		Value
1.11%, 9/15/42	$	1,586	$	57,891
1.66%, 8/15/42 to 4/15/43		6,906		379,565
1.91%, 8/15/42 to 2/15/43		10,400		653,071
1.93%, 3/15/41 to 5/15/42		2,013		131,451
1.96%, 9/15/42		2,778		170,590
2.11%, 8/15/42 to 9/15/42		5,810		407,525
2.16%, 2/15/42 to 4/15/43		9,676		716,623
2.28%, 3/15/43		2,661		232,631
2.36%, 9/15/42		1,876		148,447
2.38%, 2/15/41		627		45,491
2.39%, 7/15/39		951		66,170
2.41%, 7/15/42 to 4/15/43		19,161		1,611,214
2.46%, 1/15/43		1,439		144,983
2.53%, 6/15/36		793		59,630
2.61%, 9/15/42		2,809		254,122
2.66%, 4/15/43		5,595		529,390
2.71%, 8/15/27 to 9/15/42		7,770		696,351
2.77%, 10/4/23 to 8/25/42(28)		11,032		894,765
2.91%, 10/15/42 to 4/15/43		9,455		1,008,008
2.93%, 4/15/42		912		103,208
2.96%, 7/15/27 to 2/15/43		6,643		517,346
3.16%, 9/15/42 to 4/15/43		4,416		548,875
3.21%, 6/15/27 to 3/15/43		7,117		740,905
3.33%, 12/28/26 to 8/17/42(28)		21,608		1,498,011
3.41%, 3/15/43 to 4/15/43		7,465		893,898
3.46%, 3/15/27 to 9/15/42		4,247		454,951
3.66%, 1/15/43 to 6/15/43		6,167		868,753
3.69%, 3/15/43		1,290		200,987
3.71%, 3/15/28 to 10/15/42		8,858		849,281
3.78%, 5/15/27 to 9/15/42		3,816		466,082
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $20,025,156)			$	15,350,215

Warrants — 0.0%(7)
Security	Shares		Value
IRSA Inversiones y Representaciones S.A. Exp. 3/5/26(6)		201,760	$	50,692
Total Warrants (identified cost $0)			$	50,692
Short-Term Investments — 26.9%
Affiliated Fund — 11.8%
Security	Shares		Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 0.30%(29)		251,817,413	$	251,817,413
Total Affiliated Fund (identified cost $251,817,413)			$	251,817,413
Repurchase Agreements — 1.0%
Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC:
Dated 1/13/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $1,994,000 Country Garden Holdings Co., Ltd., 7.25%, due 4/8/26 and a market value, including accrued interest, of $1,739,075(30)	$	1,730	$	1,729,839
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $1,292,000 Country Garden Holdings Co., Ltd., 3.125%, due 10/22/25 and a market value, including accrued interest, of $1,097,934(30)		1,097		1,096,925
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $1,937,000 Country Garden Holdings Co., Ltd., 2.70%, due 7/12/26 and a market value, including accrued interest, of $1,429,041(30)		1,587		1,587,265
JPMorgan Chase Bank, N.A.:
Dated 4/5/22 with an interest rate of 0.15%, collateralized by $3,463,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $3,752,139(30)		4,338		4,337,722

28 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Description		Principal Amount (000’s omitted)		Value
Nomura International PLC:
Dated 3/17/22 with an interest rate of 0.00%, collateralized by $200,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $198,690(30)		$	212	$	212,328
Dated 3/17/22 with an interest rate of 0.00%, collateralized by $10,344,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $11,207,660(30)			12,735		12,734,757
Total Repurchase Agreements (identified cost $21,698,836)				$	21,698,836
Sovereign Government Securities — 4.5%
Security		Principal Amount (000’s omitted)		Value
Egypt — 1.5%
Egypt Treasury Bill:
0.00%, 9/6/22	EGP		126,825	$	6,596,437
0.00%, 9/20/22	EGP		69,375		3,590,091
0.00%, 9/27/22	EGP		34,675		1,789,842
0.00%, 10/4/22	EGP		283,475		14,590,734
0.00%, 12/27/22	EGP		99,350		4,964,335
				$	31,531,439
Israel — 1.1%
Bank of Israel Treasury Bill:
0.00%, 7/6/22	ILS		25,019	$	7,495,885
0.00%, 8/3/22	ILS		50,035		15,010,503
				$	22,506,388
Uganda — 1.9%
Uganda Treasury Bill:
0.00%, 5/5/22	UGX		8,330,000	$	2,348,334
0.00%, 5/19/22	UGX		2,305,600		646,777
0.00%, 6/3/22	UGX		22,454,400		6,297,039
0.00%, 6/16/22	UGX		28,620,100		8,007,441
0.00%, 6/23/22	UGX		6,727,400		1,879,885
0.00%, 7/7/22	UGX		24,047,800		6,703,434
0.00%, 3/30/23	UGX		29,078,200		7,597,409

Security		Principal Amount (000’s omitted)			Value
Uganda (continued)
Uganda Treasury Bill: (continued)
0.00%, 4/13/23	UGX		27,482,600		$	7,166,078
					$	40,646,397
Total Sovereign Government Securities (identified cost $95,698,113)					$	94,684,224
U.S. Treasury Obligations — 9.6%
Security		Principal Amount (000’s omitted)			Value
U.S. Treasury Bill:
0.00%, 5/10/22(31)		$	26,060		$	26,059,377
0.00%, 5/17/22(31)			150,000			149,988,594
0.00%, 5/24/22(31)			28,840			28,835,021
Total U.S. Treasury Obligations (identified cost $202,480,525)					$	204,882,992
Total Short-Term Investments (identified cost $571,694,887)					$	573,083,465
Total Purchased Options — 0.0%(7) (identified cost $1,284,303)					$	193,730
Total Investments — 95.2% (identified cost $2,276,789,913)					$	2,025,771,905
Securities Sold Short — (0.9)%
Common Stocks — (0.2)%
Security		Shares			Value
New Zealand — (0.2)%
a2 Milk Co., Ltd. (The)(6)			(70,300	)	$	(222,759	)
Auckland International Airport, Ltd.(6)			(112,900	)		(567,097	)
Contact Energy, Ltd.			(73,100	)		(384,039	)
Fisher & Paykel Healthcare Corp., Ltd.			(54,500	)		(748,945	)
Fletcher Building, Ltd.			(77,200	)		(307,528	)
Infratil, Ltd.			(67,400	)		(364,744	)
Mainfreight, Ltd.			(8,000	)		(418,747	)
Meridian Energy, Ltd.			(115,500	)		(350,549	)

29 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Security		Shares			Value
New Zealand (continued)
Ryman Healthcare, Ltd.			(38,300	)	$	(226,670	)
Spark New Zealand, Ltd.			(175,400	)		(554,736	)
Total Common Stocks (proceeds $4,610,343)					$	(4,145,814	)
Sovereign Government Bonds — (0.7)%
Security		Principal Amount (000’s omitted)			Value
Qatar — (0.7)%
Qatar Government International Bond, 4.817%, 3/14/49(9)	USD		(13,807	)	$	(14,872,969	)
Total Sovereign Government Bonds (proceeds $17,975,995)					$	(14,872,969	)
Total Securities Sold Short (proceeds $22,586,338)					$	(19,018,783	)
Other Assets, Less Liabilities — 5.7%					$	120,554,035
Net Assets — 100.0%					$	2,127,307,157

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.

⁽¹⁾  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2022, the aggregate value of these securities is $106,425,298 or 5.0% of the Portfolio’s net assets.

⁽²⁾  Variable rate security. The stated interest rate represents the rate in effect at April 30, 2022.

⁽³⁾ Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2022.

⁽⁴⁾  Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

⁽⁵⁾  Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at April 30, 2022.

⁽⁶⁾ Non-income producing security.

⁽⁷⁾ Amount is less than 0.05%.

⁽⁸⁾ For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9).

⁽⁹⁾  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 April 30, 2022, the aggregate value of these securities is $642,247,270 or 30.2% of the Portfolio’s net assets.

⁽¹⁰⁾  Step coupon security. Interest rate represents the rate in effect at April 30, 2022.

⁽¹¹⁾  Perpetual security with no stated maturity date but may be subject to calls by the issuer.

⁽¹²⁾  Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at April 30, 2022.

⁽¹³⁾  Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

⁽¹⁴⁾  Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

⁽¹⁵⁾  Security converts to variable rate after the indicated fixed-rate coupon period.

⁽¹⁶⁾ 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.

⁽¹⁷⁾  Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period.

⁽¹⁸⁾  Restricted security (see Note 5).

⁽¹⁹⁾  Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold.

⁽²⁰⁾  Fixed-rate loan.

⁽²¹⁾  This Senior Loan will settle after April 30, 2022, at which time the interest rate will be determined.

⁽²²⁾  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.

⁽²³⁾ Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

30 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

⁽²⁴⁾  Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

⁽²⁵⁾  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 April 30, 2022.

⁽²⁶⁾  Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated.

⁽²⁷⁾  Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust.

⁽²⁸⁾  The stated interest rate represents the weighted average fixed interest rate at April 30, 2022 of all interest only securities comprising the certificate.

⁽²⁹⁾  May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2022.

⁽³⁰⁾  Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

⁽³¹⁾  Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

⁽³²⁾  Quantity held represents principal in USD.

Purchased Call Options — 0.0%(1)
Description	Counterparty	Notional Amount		Spread			Expiration Date		Value
2-year 10 Constant Maturity Swap Curve Cap	Bank of America, N.A.	USD	623,900,000		1.06	%		12/19/22	$	129,347
2-year 10 Constant Maturity Swap Curve Cap	Bank of America, N.A.	USD	304,600,000		1.09			1/4/23		64,383
Total									$	193,730

⁽¹⁾  Amount is less than 0.05%.

Forward Foreign Currency Exchange Contracts (Centrally Cleared)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
INR	435,200,000	USD	5,680,224		5/2/22	$	12,944
INR	435,200,000	USD	5,733,785		5/2/22		(40,617	)
NZD	3,197,375	USD	2,068,862		5/2/22		(4,637	)
NZD	6,170,000	USD	3,992,299		5/2/22		(8,947	)
NZD	6,892,773	USD	4,459,969		5/2/22		(9,995	)
NZD	12,841,060	USD	8,308,808		5/2/22		(18,621	)
NZD	13,797,790	USD	8,927,860		5/2/22		(20,008	)
NZD	1,480,853	USD	981,806		5/2/22		(25,767	)
NZD	2,855,928	USD	1,869,622		5/2/22		(25,835	)
NZD	21,687,240	USD	14,032,728		5/2/22		(31,449	)
NZD	24,735,847	USD	16,005,330		5/2/22		(35,870	)
NZD	37,936,778	USD	24,546,992		5/2/22		(55,013	)
NZD	4,885,936	USD	3,251,102		5/2/22		(96,742	)
NZD	4,036,845	USD	2,720,632		5/2/22		(114,445	)
NZD	5,536,328	USD	3,737,575		5/2/22		(163,322	)
NZD	6,170,000	USD	4,158,271		5/2/22		(174,920	)
NZD	15,320,450	USD	10,221,620		5/2/22		(330,740	)

31 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
NZD	21,102,523	USD	13,990,973		5/2/22	$	(367,186	)
NZD	14,135,431	USD	9,542,829		5/2/22		(416,997	)
NZD	51,734,569	USD	34,866,513		5/2/22		(1,466,681	)
USD	5,747,870	INR	435,200,000		5/2/22		54,702
USD	5,680,224	INR	435,200,000		5/2/22		(12,944	)
USD	25,567,492	NZD	37,936,778		5/2/22		1,075,512
USD	16,699,170	NZD	24,735,847		5/2/22		729,710
USD	9,299,021	NZD	13,797,790		5/2/22		391,169
USD	14,197,465	NZD	21,687,240		5/2/22		196,185
USD	4,569,909	NZD	6,892,773		5/2/22		119,935
USD	8,406,349	NZD	12,841,060		5/2/22		116,162
USD	4,090,710	NZD	6,170,000		5/2/22		107,359
USD	33,474,853	NZD	51,734,569		5/2/22		75,021
USD	2,119,860	NZD	3,197,375		5/2/22		55,635
USD	13,654,388	NZD	21,102,523		5/2/22		30,601
USD	9,913,097	NZD	15,320,450		5/2/22		22,217
USD	9,146,331	NZD	14,135,431		5/2/22		20,498
USD	3,992,298	NZD	6,170,000		5/2/22		8,947
USD	3,582,281	NZD	5,536,328		5/2/22		8,028
USD	3,161,445	NZD	4,885,936		5/2/22		7,085
USD	2,612,040	NZD	4,036,845		5/2/22		5,854
USD	1,847,928	NZD	2,855,928		5/2/22		4,141
USD	958,186	NZD	1,480,853		5/2/22		2,147
BRL	7,700,000	USD	1,386,638		5/3/22		170,821
BRL	7,000,000	USD	1,254,674		5/3/22		161,198
BRL	6,900,000	USD	1,237,444		5/3/22		158,201
BRL	4,400,000	USD	790,253		5/3/22		99,724
BRL	3,541,000	USD	642,029		5/3/22		74,200
BRL	100,000	USD	20,329		5/3/22		(102	)
BRL	1,100,000	USD	223,618		5/3/22		(1,124	)
BRL	1,141,000	USD	231,953		5/3/22		(1,166	)
BRL	1,700,000	USD	345,592		5/3/22		(1,737	)
BRL	500,000	USD	104,859		5/3/22		(3,725	)
BRL	12,300,000	USD	2,500,457		5/3/22		(12,568	)
BRL	13,700,000	USD	2,785,062		5/3/22		(13,999	)
PHP	1,944,762,633	USD	37,132,215		5/3/22		120,206
PHP	1,158,996,000	USD	22,140,215		5/3/22		60,647
PHP	785,766,633	USD	15,020,772		5/3/22		30,787
PHP	2,274,338	USD	43,425		5/3/22		141
PHP	2,274,338	USD	44,046		5/3/22		(481	)
USD	2,906,668	BRL	13,700,000		5/3/22		135,605
USD	2,615,235	BRL	12,300,000		5/3/22		127,346
USD	1,565,327	BRL	7,700,000		5/3/22		7,868
USD	1,423,025	BRL	7,000,000		5/3/22		7,153

32 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	1,402,696	BRL	6,900,000		5/3/22	$	7,050
USD	894,473	BRL	4,400,000		5/3/22		4,496
USD	719,847	BRL	3,541,000		5/3/22		3,618
USD	101,645	BRL	500,000		5/3/22		511
USD	20,501	BRL	100,000		5/3/22		274
USD	228,979	BRL	1,141,000		5/3/22		(1,808	)
USD	340,681	BRL	1,700,000		5/3/22		(3,173	)
USD	219,141	BRL	1,100,000		5/3/22		(3,353	)
USD	37,663,651	PHP	1,944,762,633		5/3/22		411,230
USD	43,476	PHP	2,274,338		5/3/22		(89	)
USD	43,425	PHP	2,274,338		5/3/22		(141	)
USD	15,002,991	PHP	785,766,633		5/3/22		(48,568	)
USD	22,129,224	PHP	1,158,996,000		5/3/22		(71,638	)
RUB	363,707,404	USD	4,664,425		5/6/22		425,752
RUB	345,928,178	USD	4,464,464		5/6/22		376,888
USD	6,407,545	RUB	709,635,582		5/6/22		(3,523,984	)
RUB	76,083,717	USD	982,453		5/11/22		74,753
RUB	31,668,624	USD	403,433		5/11/22		36,612
RUB	27,144,535	USD	346,018		5/11/22		31,164
USD	1,212,556	RUB	134,896,876		5/11/22		(661,875	)
GBP	3,700,000	USD	4,828,296		5/13/22		(175,799	)
USD	4,999,736	GBP	3,700,000		5/13/22		347,238
RUB	241,685,000	USD	3,145,855		5/17/22		183,889
USD	2,177,342	RUB	241,685,000		5/17/22		(1,152,402	)
NOK	32,900,000	USD	3,692,978		5/23/22		(185,226	)
USD	10,588,384	ZAR	162,028,752		5/25/22		351,902
USD	3,052,099	ZAR	46,704,738		5/25/22		101,436
PEN	3,500,000	USD	927,890		5/27/22		(18,590	)
PEN	13,000,000	USD	3,452,397		5/27/22		(74,998	)
PHP	2,274,338	USD	43,360		5/27/22		(72	)
USD	4,201,082	PEN	15,825,477		5/27/22		89,625
USD	2,499,873	PEN	9,394,523		5/27/22		59,177
USD	22,083,663	PHP	1,144,000,000		5/27/22		309,298
USD	20,989,870	PHP	1,087,800,000		5/27/22		285,190
USD	12,324,945	PHP	646,468,000		5/27/22		20,373
USD	18,168,397	PHP	953,532,000		5/27/22		19,312
USD	2,655,735	PHP	139,298,633		5/27/22		4,390
USD	3,914,868	PHP	205,464,000		5/27/22		4,161
USD	13,169,182	MXN	267,933,585		6/1/22		112,366
BRL	4,170,000	USD	790,147		6/2/22		45,143
BRL	7,530,000	USD	1,464,981		6/2/22		43,350
BRL	100,000	USD	20,309		6/2/22		(278	)
BRL	3,900,000	USD	804,904		6/2/22		(23,696	)
CLP	285,787,000	USD	349,582		6/8/22		(16,913	)

33 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
PEN	6,695,163	USD	1,779,067		6/9/22	$	(42,401	)
PEN	9,880,000	USD	2,625,355		6/9/22		(62,571	)
USD	3,354,152	ZAR	51,756,236		6/9/22		89,623
ZAR	57,824,557	USD	3,747,420		6/9/22		(100,131	)
CAD	8,030,000	USD	6,228,379		6/10/22		21,898
COP	10,910,770,000	USD	2,823,179		6/10/22		(84,258	)
PEN	12,671,885	USD	3,345,977		6/10/22		(59,383	)
USD	14,343,825	INR	1,106,000,000		6/10/22		(43,596	)
USD	19,878,075	INR	1,548,570,000		6/10/22		(266,526	)
CLP	703,000,000	USD	856,910		6/15/22		(39,628	)
CLP	753,013,000	USD	925,282		6/15/22		(49,857	)
CLP	1,061,200,000	USD	1,301,224		6/15/22		(67,512	)
CLP	1,383,700,000	USD	1,696,605		6/15/22		(87,967	)
COP	1,127,800,000	USD	291,582		6/15/22		(8,679	)
COP	7,681,430,000	USD	1,968,966		6/15/22		(42,121	)
EUR	490,781	USD	542,577		6/15/22		(23,809	)
EUR	1,566,000	USD	1,712,037		6/15/22		(56,733	)
EUR	2,511,000	USD	2,745,163		6/15/22		(90,969	)
EUR	2,808,833	USD	3,070,771		6/15/22		(101,758	)
EUR	3,110,000	USD	3,400,023		6/15/22		(112,669	)
EUR	3,894,766	USD	4,257,972		6/15/22		(141,100	)
EUR	5,603,000	USD	6,125,508		6/15/22		(202,986	)
EUR	5,651,000	USD	6,177,984		6/15/22		(204,725	)
EUR	17,676,141	USD	19,324,530		6/15/22		(640,372	)
EUR	27,800,000	USD	30,733,981		6/15/22		(1,348,631	)
EUR	30,900,000	USD	34,161,152		6/15/22		(1,499,018	)
JPY	1,067,352,624	USD	8,524,997		6/15/22		(288,867	)
NZD	6,170,000	USD	4,019,274		6/15/22		(36,263	)
NZD	6,892,773	USD	4,490,104		6/15/22		(40,511	)
PEN	2,400,000	USD	640,324		6/15/22		(18,218	)
PEN	11,100,000	USD	2,930,152		6/15/22		(52,911	)
PEN	8,240,000	USD	2,193,940		6/15/22		(58,042	)
PEN	9,700,000	USD	2,599,965		6/15/22		(85,620	)
PEN	19,042,952	USD	5,087,346		6/15/22		(151,205	)
USD	68,350,129	EUR	61,825,169		6/15/22		2,999,258
USD	62,471,347	EUR	56,507,597		6/15/22		2,741,292
USD	32,687,469	EUR	29,567,000		6/15/22		1,434,352
USD	30,733,981	EUR	27,800,000		6/15/22		1,348,632
USD	27,412,681	EUR	24,795,763		6/15/22		1,202,890
USD	26,218,120	EUR	23,715,240		6/15/22		1,150,472
USD	26,096,987	EUR	23,605,670		6/15/22		1,145,157
USD	24,059,872	EUR	21,763,026		6/15/22		1,055,766
USD	18,351,946	EUR	16,600,000		6/15/22		805,298
USD	12,150,315	EUR	10,990,401		6/15/22		533,166

34 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	11,942,296	EUR	10,802,239		6/15/22	$	524,037
USD	10,480,552	EUR	9,480,039		6/15/22		459,895
USD	7,503,018	EUR	6,786,752		6/15/22		329,238
USD	7,493,473	EUR	6,778,118		6/15/22		328,820
USD	6,602,108	EUR	5,971,845		6/15/22		289,706
USD	4,966,013	EUR	4,491,939		6/15/22		217,913
USD	4,874,652	EUR	4,409,299		6/15/22		213,904
USD	4,426,207	EUR	4,003,664		6/15/22		194,226
USD	1,713,585	EUR	1,550,000		6/15/22		75,194
USD	244,078	EUR	220,778		6/15/22		10,710
USD	2,411,301	JPY	301,901,352		6/15/22		81,706
USD	13,877,899	KRW	17,142,120,000		6/15/22		307,574
USD	11,493,711	KRW	14,200,400,000		6/15/22		252,158
USD	12,628,468	NZD	19,386,001		6/15/22		113,937
USD	6,090,426	PEN	22,900,000		6/15/22		154,496
USD	28,376,104	ZAR	419,498,131		6/15/22		1,933,428
USD	20,471,506	ZAR	302,640,502		6/15/22		1,394,842
USD	18,522,545	ZAR	272,318,462		6/15/22		1,357,204
USD	9,129,194	ZAR	134,400,000		6/15/22		657,415
USD	10,026,586	ZAR	148,970,000		6/15/22		636,400
USD	6,792,555	ZAR	100,000,000		6/15/22		489,148
USD	11,173,781	ZAR	170,199,039		6/15/22		445,443
USD	6,703,155	ZAR	99,592,120		6/15/22		425,458
USD	945,964	ZAR	14,408,923		6/15/22		37,711
ZAR	79,300,000	USD	5,393,824		6/15/22		(395,222	)
ZAR	283,858,785	USD	19,307,495		6/15/22		(1,414,719	)
ZAR	637,392,974	USD	43,115,160		6/15/22		(2,937,686	)
IDR	27,233,860,000	USD	1,899,922		6/21/22		(35,411	)
IDR	27,234,000,000	USD	1,900,833		6/21/22		(36,313	)
IDR	52,287,800,000	USD	3,646,570		6/21/22		(66,792	)
IDR	64,847,051,680	USD	4,523,939		6/21/22		(84,317	)
IDR	64,847,000,000	USD	4,526,083		6/21/22		(86,464	)
IDR	124,502,900,000	USD	8,682,877		6/21/22		(159,038	)
IDR	311,844,741,769	USD	21,635,064		6/21/22		(285,246	)
USD	19,180,435	IDR	276,464,060,024		6/21/22		252,883
USD	7,567,779	IDR	108,513,628,580		6/21/22		138,614
USD	5,275,399	IDR	75,860,241,819		6/21/22		81,782
USD	3,728,552	IDR	53,653,860,000		6/21/22		55,249
USD	3,689,931	IDR	53,101,800,000		6/21/22		54,424
USD	778,528	IDR	11,163,240,831		6/21/22		14,260
USD	3,024,996	ZAR	46,011,706		6/22/22		126,889
USD	2,210,609	ZAR	33,624,471		6/22/22		92,728
USD	7,433,273	ZAR	113,836,864		6/24/22		264,663
USD	3,917,994	INR	300,900,000		6/30/22		11,914

35 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	3,078,270	INR	237,600,000		6/30/22	$	(6,092	)
USD	3,474,379	INR	268,500,000		6/30/22		(11,107	)
AUD	4,105,000	USD	3,074,169		7/5/22		(170,497	)
AUD	5,000,000	USD	3,745,197		7/5/22		(208,447	)
AUD	27,198,000	USD	20,368,147		7/5/22		(1,129,642	)
BRL	1,700,000	USD	334,323		7/5/22		3,045
BRL	3,900,000	USD	795,366		7/5/22		(21,403	)
BRL	3,900,000	USD	800,575		7/5/22		(26,612	)
AUD	1,825,000	USD	1,367,201		7/11/22		(76,169	)
AUD	14,314,527	USD	10,723,742		7/11/22		(597,435	)
BRL	1,100,000	USD	213,249		8/2/22		3,197
BRL	1,141,000	USD	222,839		8/2/22		1,674
USD	5,956,701	IDR	86,014,758,623		8/22/22		101,391
USD	5,951,343	IDR	86,014,758,624		8/22/22		96,033
						$	11,028,170

Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	7,015,233	PLN	32,652,404	Citibank, N.A.		5/5/22	$	34,728	$	—
EUR	5,089,872	PLN	23,656,302	Citibank, N.A.		5/5/22		32,983		—
EUR	1,641,469	PLN	7,640,218	Citibank, N.A.		5/5/22		8,126		—
EUR	1,022,956	PLN	4,842,622	Citibank, N.A.		5/5/22		—		(13,272	)
EUR	1,616,293	PLN	7,640,218	Citibank, N.A.		5/5/22		—		(18,435	)
EUR	4,371,861	PLN	20,696,171	Citibank, N.A.		5/5/22		—		(56,720	)
EUR	6,907,638	PLN	32,652,404	Citibank, N.A.		5/5/22		—		(78,788	)
EUR	3,087,805	PLN	14,168,085	Standard Chartered Bank		5/5/22		61,333		—
EUR	436,510	PLN	1,975,700	Standard Chartered Bank		5/5/22		14,803		—
EUR	956,513	PLN	4,485,667	Standard Chartered Bank		5/5/22		—		(2,840	)
EUR	763,018	PLN	3,599,307	Standard Chartered Bank		5/5/22		—		(7,016	)
EUR	4,087,901	PLN	19,170,634	Standard Chartered Bank		5/5/22		—		(12,137	)
EUR	3,260,949	PLN	15,382,548	Standard Chartered Bank		5/5/22		—		(29,985	)
EUR	2,086,306	PLN	10,100,000	Standard Chartered Bank		5/5/22		—		(77,498	)
EUR	2,422,558	PLN	11,460,326	UBS AG		5/5/22		—		(29,639	)
EUR	10,353,414	PLN	48,978,606	UBS AG		5/5/22		—		(126,668	)
NZD	19,386,001	USD	12,631,957	BNP Paribas		5/5/22		—		(116,274	)
NZD	3,197,375	USD	2,119,645	Citibank, N.A.		5/5/22		—		(55,407	)
NZD	6,170,000	USD	4,090,297	Citibank, N.A.		5/5/22		—		(106,919	)
NZD	6,892,773	USD	4,569,447	Citibank, N.A.		5/5/22		—		(119,444	)
PLN	61,942,590	EUR	13,211,449	Bank of America, N.A.		5/5/22		36,099		—
PLN	61,942,622	EUR	13,219,350	Bank of America, N.A.		5/5/22		27,770		—
PLN	20,926,928	EUR	4,489,028	BNP Paribas		5/5/22		—		(14,834	)

36 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
PLN	16,186,205	EUR	3,495,137	Citibank, N.A.		5/5/22	$	—	$	(35,782	)
PLN	5,300,000	EUR	1,149,300	Standard Chartered Bank		5/5/22		—		(16,838	)
PLN	5,100,000	EUR	1,112,315	Standard Chartered Bank		5/5/22		—		(22,939	)
PLN	6,700,000	EUR	1,460,310	Standard Chartered Bank		5/5/22		—		(29,116	)
PLN	34,811,000	EUR	7,582,114	Standard Chartered Bank		5/5/22		—		(145,813	)
PLN	16,186,205	EUR	3,467,200	UBS AG		5/5/22		—		(6,308	)
PLN	20,037,577	EUR	4,292,039	UBS AG		5/5/22		—		(7,647	)
PLN	9,968,085	EUR	2,145,367	UBS AG		5/5/22		—		(14,575	)
USD	4,491,345	NZD	6,892,773	BNP Paribas		5/5/22		41,342		—
USD	4,020,384	NZD	6,170,000	BNP Paribas		5/5/22		37,007		—
USD	13,989,559	NZD	21,102,523	Citibank, N.A.		5/5/22		365,682		—
USD	981,706	NZD	1,480,853	Citibank, N.A.		5/5/22		25,661		—
USD	462,826	ZMW	8,053,174	ICBC Standard Bank plc		5/5/22		—		(10,030	)
EUR	6,034	USD	6,522	Citibank, N.A.		5/6/22		—		(155	)
EUR	2,434,059	USD	2,649,675	Deutsche Bank AG		5/6/22		—		(81,567	)
EUR	382,079	USD	416,054	HSBC Bank USA, N.A.		5/6/22		—		(12,933	)
EUR	800,318	USD	866,212	UBS AG		5/6/22		—		(21,819	)
EUR	2,077,000	USD	2,259,674	UBS AG		5/6/22		—		(68,289	)
USD	530,450	EUR	490,781	Citibank, N.A.		5/6/22		12,641		—
USD	850,723	EUR	781,733	State Street Bank and Trust Company		5/6/22		25,938		—
USD	1,069,231	MXN	21,500,000	Goldman Sachs International		5/6/22		16,293		—
USD	10,766,279	MXN	216,259,124	Standard Chartered Bank		5/6/22		175,235		—
UZS	13,647,940,000	USD	1,194,568	ICBC Standard Bank plc		5/6/22		25,041		—
THB	637,383,000	USD	18,529,349	Standard Chartered Bank		5/9/22		80,840		—
THB	591,833,823	USD	17,219,707	Standard Chartered Bank		5/9/22		60,546		—
USD	66,698,708	THB	2,235,887,444	Standard Chartered Bank		5/9/22		1,415,689		—
USD	9,927,477	THB	332,911,000	Standard Chartered Bank		5/9/22		207,205		—
USD	1,441,763	TRY	21,741,822	Standard Chartered Bank		5/9/22		—		(19,510	)
USD	4,351,638	UAH	124,892,000	Citibank, N.A.		5/10/22		130,531		—
CZK	102,576,588	EUR	4,160,752	Citibank, N.A.		5/11/22		2,632		—
CZK	80,477,474	EUR	3,269,633	Citibank, N.A.		5/11/22		—		(3,501	)
EUR	3,043,851	HUF	1,162,226,424	Standard Chartered Bank		5/11/22		—		(26,084	)
EUR	83,354	HUF	31,073,576	UBS AG		5/11/22		1,384		—
HUF	1,193,300,000	EUR	3,343,982	Standard Chartered Bank		5/11/22		—		(204,061	)
KES	125,900,000	USD	1,112,387	Standard Chartered Bank		5/11/22		—		(26,375	)
USD	1,077,911	KES	125,900,000	Standard Chartered Bank		5/11/22		—		(8,101	)
JPY	4,005,284,345	USD	32,064,027	Citibank, N.A.		5/13/22		—		(1,193,951	)
USD	6,859,041	ZAR	105,512,234	Bank of America, N.A.		5/13/22		184,495		—
USD	1,842,067	ZAR	28,336,413	Bank of America, N.A.		5/13/22		49,548		—
EUR	269,021	HUF	102,400,000	Standard Chartered Bank		5/16/22		—		(1,156	)
HUF	102,400,000	EUR	286,487	Standard Chartered Bank		5/16/22		—		(17,280	)
USD	4,737,562	TRY	70,874,494	Standard Chartered Bank		5/16/22		—		(3,377	)
CZK	96,572,969	EUR	3,922,568	Citibank, N.A.		5/18/22		—		(7,837	)
CZK	96,572,969	EUR	3,912,823	UBS AG		5/18/22		2,450		—
KES	138,014,000	USD	1,213,310	ICBC Standard Bank plc		5/18/22		—		(24,510	)

37 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	27,069,462	CNH	172,580,000	UBS AG		5/18/22	$	1,117,471	$	—
USD	1,166,644	KES	138,014,000	Standard Chartered Bank		5/18/22		—		(22,156	)
KES	246,500,000	USD	2,160,386	Standard Chartered Bank		5/20/22		—		(37,999	)
USD	2,105,218	KES	246,500,000	Standard Chartered Bank		5/20/22		—		(17,169	)
CZK	143,940,000	EUR	5,832,253	Goldman Sachs International		5/23/22		—		(1,611	)
EUR	1,384,590	HUF	523,459,452	Bank of America, N.A.		5/23/22		5,849		—
EUR	1,220,903	HUF	461,486,114	Bank of America, N.A.		5/23/22		5,407		—
EUR	4,052,181	HUF	1,549,337,523	Bank of America, N.A.		5/23/22		—		(31,187	)
EUR	5,249,098	HUF	2,006,301,284	Goldman Sachs International		5/23/22		—		(38,526	)
EUR	6,736,531	HUF	2,534,283,088	UBS AG		5/23/22		63,329		—
HUF	2,534,283,089	EUR	7,021,671	Bank of America, N.A.		5/23/22		—		(364,386	)
HUF	2,006,301,284	EUR	5,556,910	Goldman Sachs International		5/23/22		—		(286,470	)
HUF	2,534,283,088	EUR	7,021,492	UBS AG		5/23/22		—		(364,197	)
EUR	2,459,655	HUF	930,514,375	BNP Paribas		6/1/22		12,915		—
EUR	2,299,911	HUF	870,402,985	BNP Paribas		6/1/22		11,183		—
EUR	2,097,513	HUF	802,955,555	UBS AG		6/1/22		—		(15,221	)
EUR	2,606,224	HUF	997,961,804	UBS AG		6/1/22		—		(19,650	)
HUF	1,800,917,360	EUR	4,832,342	BNP Paribas		6/1/22		—		(100,967	)
HUF	1,800,917,359	EUR	4,863,279	UBS AG		6/1/22		—		(133,643	)
EUR	1,970,961	HUF	747,228,570	Citibank, N.A.		6/2/22		6,302		—
EUR	1,397,498	HUF	529,313,936	Citibank, N.A.		6/2/22		5,868		—
EUR	268,892	HUF	102,817,494	Citibank, N.A.		6/2/22		—		(1,572	)
HUF	1,379,360,000	EUR	3,664,768	Citibank, N.A.		6/2/22		—		(39,559	)
KES	250,659,000	USD	2,190,118	Standard Chartered Bank		6/6/22		—		(39,409	)
USD	2,125,129	KES	250,659,000	Standard Chartered Bank		6/6/22		—		(25,580	)
CZK	6,900,000	EUR	265,728	Citibank, N.A.		6/7/22		13,840		—
CZK	71,700,000	EUR	2,735,148	Standard Chartered Bank		6/7/22		171,405		—
CZK	47,662,000	EUR	1,835,865	Standard Chartered Bank		6/7/22		95,242		—
CZK	6,400,000	EUR	246,160	Standard Chartered Bank		6/7/22		13,167		—
KES	124,110,000	USD	1,085,827	Goldman Sachs International		6/8/22		—		(21,584	)
KES	250,440,000	USD	2,190,118	Standard Chartered Bank		6/8/22		—		(42,595	)
USD	1,051,958	KES	124,110,000	Goldman Sachs International		6/8/22		—		(12,285	)
USD	2,125,976	KES	250,440,000	Standard Chartered Bank		6/8/22		—		(21,547	)
EUR	1,845,898	HUF	707,707,749	Citibank, N.A.		6/10/22		—		(13,089	)
EUR	2,055,421	HUF	770,994,751	UBS AG		6/10/22		32,715		—
HUF	707,707,749	EUR	1,844,090	Citibank, N.A.		6/10/22		15,000		—
HUF	770,994,751	EUR	2,003,510	UBS AG		6/10/22		22,141		—
CZK	43,081,038	EUR	1,751,255	Citibank, N.A.		6/14/22		—		(13,052	)
CZK	56,917,232	EUR	2,312,420	Citibank, N.A.		6/14/22		—		(15,891	)
CZK	71,801,730	EUR	2,915,377	Goldman Sachs International		6/14/22		—		(18,179	)
CZK	74,442,298	EUR	3,025,329	Goldman Sachs International		6/14/22		—		(21,740	)
CZK	81,357,702	EUR	3,306,053	Goldman Sachs International		6/14/22		—		(23,425	)
CZK	295,500,000	EUR	11,958,213	Goldman Sachs International		6/14/22		—		(32,518	)
USD	17,217,866	THB	591,833,823	Standard Chartered Bank		6/15/22		—		(72,181	)
USD	18,527,310	THB	637,383,000	Standard Chartered Bank		6/15/22		—		(93,427	)

38 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	2,982,983	TRY	49,293,800	Bank of America, N.A.		6/15/22	$	—	$	(237,305	)
USD	2,189,685	TRY	33,075,459	Standard Chartered Bank		6/15/22		28,916		—
USD	682,863	TRY	10,400,000	Standard Chartered Bank		6/15/22		3,447		—
USD	611,062	TRY	9,305,206	Standard Chartered Bank		6/15/22		3,167		—
USD	392,670	TRY	6,000,000	Standard Chartered Bank		6/15/22		699		—
USD	739,512	TRY	11,517,604	Standard Chartered Bank		6/15/22		—		(12,915	)
USD	1,479,024	TRY	23,044,407	Standard Chartered Bank		6/15/22		—		(26,432	)
USD	3,319,674	TRY	53,165,008	Standard Chartered Bank		6/15/22		—		(153,514	)
USD	3,254,728	TRY	53,849,904	Standard Chartered Bank		6/15/22		—		(263,203	)
USD	5,207,565	TRY	86,003,098	Standard Chartered Bank		6/15/22		—		(410,885	)
USD	6,572,454	TRY	108,183,461	Standard Chartered Bank		6/15/22		—		(495,004	)
EUR	3,359,511	PLN	15,900,000	Bank of America, N.A.		6/17/22		—		(15,796	)
EUR	13,120,001	PLN	61,942,622	Bank of America, N.A.		6/17/22		—		(27,556	)
EUR	13,112,304	PLN	61,942,590	Bank of America, N.A.		6/17/22		—		(35,686	)
USD	44,612,878	CNH	286,000,000	Citibank, N.A.		6/23/22		1,701,550		—
USD	36,176,705	CNH	232,041,000	BNP Paribas		6/27/22		1,368,563		—
CZK	85,845,000	EUR	3,455,464	Citibank, N.A.		6/30/22		553		—
CZK	85,845,000	EUR	3,456,288	Citibank, N.A.		6/30/22		—		(318	)
USD	7,881,686	ILS	25,018,520	Barclays Bank PLC		7/6/22		363,939		—
KZT	636,306,458	USD	1,351,687	Citibank, N.A.		7/29/22		29,409		—
KZT	452,815,004	USD	965,490	Citibank, N.A.		7/29/22		17,339		—
KZT	447,987,552	USD	965,490	Citibank, N.A.		7/29/22		6,861		—
USD	39,697,864	ILS	126,030,794	JPMorgan Chase Bank, N.A.		8/1/22		1,773,915		—
KZT	447,987,552	USD	965,490	Citibank, N.A.		8/3/22		5,002		—
KZT	364,966,088	USD	795,133	JPMorgan Chase Bank, N.A.		8/3/22		—		(4,493	)
USD	15,820,988	ILS	50,037,040	JPMorgan Chase Bank, N.A.		8/3/22		762,703		—
OMR	6,500,000	USD	16,822,952	Standard Chartered Bank		8/4/22		56,203		—
USD	10,343,134	OMR	4,000,000	Standard Chartered Bank		8/4/22		—		(44,039	)
USD	10,343,133	OMR	4,000,000	Standard Chartered Bank		8/4/22		—		(44,039	)
USD	14,980,607	OMR	5,793,450	Standard Chartered Bank		8/4/22		—		(63,784	)
ZMW	17,920,000	USD	803,587	JPMorgan Chase Bank, N.A.		8/18/22		216,317		—
USD	16,633,157	IDR	241,297,208,210	Standard Chartered Bank		8/23/22		208,611		—
ZMW	13,087,000	USD	643,096	JPMorgan Chase Bank, N.A.		8/25/22		99,827		—
USD	1,660,316	AED	6,100,000	Standard Chartered Bank		2/10/23		—		(1,016	)
AED	475,000,000	USD	129,378,439	Standard Chartered Bank		3/6/23		—		(12,875	)
USD	20,676,936	AED	76,129,895	BNP Paribas		3/6/23		—		(56,931	)
USD	81,481,884	AED	300,000,000	Credit Agricole Corporate and Investment Bank		3/6/23		—		(222,683	)
USD	138,538,867	AED	510,072,400	Standard Chartered Bank		3/6/23		—		(378,615	)
USD	36,781,609	OMR	14,400,000	Standard Chartered Bank		3/13/23		—		(596,335	)
USD	12,458,545	SAR	46,808,000	Standard Chartered Bank		3/14/23		2,155		—
USD	10,671,214	BHD	4,061,000	Standard Chartered Bank		3/15/23		—		(64,298	)
USD	16,178,854	BHD	6,120,833	Standard Chartered Bank		3/16/23		—		(1,801	)
USD	19,454,755	OMR	7,600,000	Standard Chartered Bank		3/29/23		—		(271,113	)
USD	12,438,538	SAR	46,800,000	Standard Chartered Bank		3/14/24		3,133		—

39 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (OTC) (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	10,754,098	BHD	4,100,000	Standard Chartered Bank		3/18/24	$	—	$	(46,742	)
USD	9,004,416	OMR	3,568,000	BNP Paribas		4/8/24		—		(248,106	)
USD	1,267,427	OMR	500,000	Standard Chartered Bank		4/22/24		—		(29,132	)
USD	16,212,793	OMR	6,400,000	Standard Chartered Bank		5/28/24		—		(402,542	)
USD	9,388,519	OMR	3,711,000	BNP Paribas		7/8/24		—		(245,779	)
USD	9,916,350	OMR	3,912,000	Standard Chartered Bank		7/8/24		—		(239,774	)
USD	8,357,531	OMR	3,310,000	BNP Paribas		7/29/24		—		(235,713	)
							$	11,320,145	$	(9,704,669	)

Non-Deliverable Bond Forward Contracts*
Settlement Date	Notional Amount (000’s omitted)		Reference Entity	Counterparty	Aggregate Cost		Unrealized Appreciation (Depreciation)
5/5/22	COP	13,548,460	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.	$	3,423,057	$	(80,664	)
5/19/22	COP	28,919,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		7,306,620		(24,484	)
5/19/22	COP	11,459,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		2,895,149		(9,702	)
5/20/22	COP	19,540,390	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		4,936,935		(78,142	)
5/20/22	COP	48,702,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		12,304,699		(35,868	)
5/23/22	COP	30,981,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		7,827,590		(29,815	)
5/24/22	COP	26,644,200	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		6,731,733		(29,990	)
5/26/22	COP	41,834,000	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		10,569,480		(80,487	)
5/26/22	COP	12,350,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		3,120,414		5,682
5/30/22	COP	12,267,570	Republic of Colombia, 6.00%, 4/28/28	Goldman Sachs International		3,099,437		(12,271	)
5/30/22	COP	33,880,700	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		8,560,056		107,258
6/9/22	COP	15,490,780	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		3,913,790		(98,111	)
6/13/22	COP	33,804,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		8,540,829		(196,567	)
6/16/22	COP	34,691,400	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		8,764,881		(96,037	)
6/17/22	COP	34,377,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		8,685,447		(124,124	)
6/21/22	COP	17,189,000	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		4,342,850		(43,685	)
6/24/22	COP	31,513,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		7,961,849		(45,868	)

40 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Non-Deliverable Bond Forward Contracts* (continued)
Settlement Date	Notional Amount (000’s omitted)		Reference Entity	Counterparty	Aggregate Cost		Unrealized Appreciation (Depreciation)
6/28/22	COP	50,821,100	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.	$	12,840,096	$	26
7/1/22	COP	45,878,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		11,591,359		—
							$	(872,849	)

* Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency.

Futures Contracts
Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Commodity Futures
Brent Crude		74			Long		5/31/22	$	7,928,360		$	478,620
Equity Futures
SGX CNX Nifty Index		(259	)		Short		5/26/22		(8,797,260	)		14,714
Interest Rate Futures
Euro-Bobl		(1	)		Short		6/8/22		(134,169	)		(274	)
Euro-Bund		(436	)		Short		6/8/22		(70,644,997	)		6,203,597
Euro-Buxl		(114	)		Short		6/8/22		(20,562,795	)		3,230,606
U.S. 2-Year Treasury Note		(151	)		Short		6/30/22		(31,832,687	)		588,664
U.S. 5-Year Treasury Note		(1,168	)		Short		6/30/22		(131,600,750	)		4,863,629
U.S. 10-Year Treasury Note		(1,580	)		Short		6/21/22		(188,266,875	)		8,578,892
U.S. Long Treasury Bond		(10	)		Short		6/21/22		(1,406,875	)		9,481
U.S. Ultra-Long Treasury Bond		(293	)		Short		6/21/22		(47,008,188	)		4,462,794
											$	28,430,723

Inflation Swaps (Centrally Cleared)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/ Unrealized Appreciation (Depreciation)
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36	$	912,019
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36		912,019
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)		10/15/36		911,183
EUR	6,070	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.08% (pays upon termination)		1/15/37		999,288

41 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Inflation Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/ Unrealized Appreciation (Depreciation)
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46	$	(1,204,926	)
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46		(1,204,926	)
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)		10/15/46		(1,207,686	)
EUR	6,070	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.18% (pays upon termination)		1/15/47		(1,386,496	)
USD	8,640	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.98% (pays upon termination)		12/2/26		(476,669	)
USD	22,010	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.90% (pays upon termination)		1/11/27		(1,084,016	)
USD	22,010	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.89% (pays upon termination)		1/12/27		(1,084,804	)
USD	10,400	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	3.13% (pays upon termination)		3/29/32		(70,404	)
USD	7,050	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	3.16% (pays upon termination)		3/30/32		(21,041	)
USD	2,161	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	3.04% (pays upon termination)		3/31/32		(31,981	)
USD	28,400	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.75% (pays upon termination)		10/29/36		(1,728,846	)
USD	9,970	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.67% (pays upon termination)		1/7/37		(615,072	)
USD	19,000	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.62% (pays upon termination)		10/29/46		1,287,126
USD	9,450	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.62% (pays upon termination)		10/29/46		635,452
USD	9,950	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.54% (pays upon termination)		1/7/47		776,407
								$	(3,683,373	)

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	166,490	Pays	6-month AUD Bank Bill (pays semi-annually)	1.58% (pays semi-annually)		1/17/24	$	(2,382,455	)	$	—	$	(2,382,455	)
CAD	91,320	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.19% (pays semi-annually)		1/18/24		(905,580	)		—		(905,580	)
CAD	61,550	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.19% (pays semi-annually)		1/18/24		(608,979	)		—		(608,979	)

42 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
CLP	2,491,150	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.48% (pays semi-annually)		3/29/32	$	38,201		$	—	$	38,201
CLP	1,634,800	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.20% (pays semi-annually)		4/8/32		(14,974	)		—		(14,974	)
CLP	5,021,220	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.35% (pays semi-annually)		4/11/32		20,562			—		20,562
CLP	3,781,960	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.51% (pays semi-annually)		4/14/32		68,065			—		68,065
CLP	963,000	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.40% (pays semi-annually)		4/20/32		8,407			—		8,407
CLP	4,902,560	Pays	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	6.38% (pays semi-annually)		4/22/32		34,395			—		34,395
CNY	54,356	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)		11/1/26		60,203			—		60,203
CNY	111,909	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)		11/1/26		123,946			—		123,946
CNY	108,712	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		122,186			—		122,186
CNY	150,310	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		168,940			—		168,940
CNY	44,764	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		51,778			—		51,778
CNY	63,948	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)		11/1/26		73,968			—		73,968
CNY	162,492	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.26% (pays quarterly)		2/7/27		(230,008	)		—		(230,008	)
CNY	58,497	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.26% (pays quarterly)		2/8/27		(81,992	)		—		(81,992	)
CNY	37,211	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.27% (pays quarterly)		2/8/27		(50,876	)		—		(50,876	)
COP	62,519,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.84% (pays quarterly)		5/5/25		2,084,343			—		2,084,343
COP	10,940,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.85% (pays quarterly)		5/6/25		363,820			—		363,820
COP	72,092,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.70% (pays quarterly)		5/7/25		2,480,406			—		2,480,406

43 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
COP	7,936,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.49% (pays quarterly)		5/13/25	$	286,420		$	—		$	286,420
COP	7,936,810	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.54% (pays quarterly)		5/14/25		283,758			—			283,758
COP	29,306,100	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.19% (pays quarterly)		6/4/25		(1,138,247	)		—			(1,138,247	)
COP	44,982,400	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.26% (pays quarterly)		6/5/25		(1,726,607	)		—			(1,726,607	)
COP	59,477,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.34% (pays quarterly)		6/8/25		(2,253,662	)		—			(2,253,662	)
COP	29,163,200	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.44% (pays quarterly)		6/9/25		(1,084,048	)		—			(1,084,048	)
COP	7,412,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.76% (pays quarterly)		11/26/25		291,310			—			291,310
COP	7,412,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.89% (pays quarterly)		11/26/25		283,336			—			283,336
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.00% (pays quarterly)		11/26/25		553,176			—			553,176
COP	2,672,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.02% (pays quarterly)		11/26/25		99,403			—			99,403
COP	6,280,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.05% (pays quarterly)		11/26/25		231,646			(90	)		231,556
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.07% (pays quarterly)		11/26/25		544,588			—			544,588
COP	8,554,300	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.11% (pays quarterly)		11/26/25		311,781			—			311,781
COP	15,965,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.16% (pays quarterly)		11/26/25		574,643			—			574,643
COP	8,996,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)		11/26/25		320,807			—			320,807
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)		11/26/25		528,640			—			528,640
COP	2,605,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.21% (pays quarterly)		11/26/25		92,821			—			92,821
COP	13,085,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.25% (pays quarterly)		11/26/25		461,214			—			461,214

44 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.28% (pays quarterly)		11/26/25	$	518,825		$	—	$	518,825
COP	7,973,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.34% (pays quarterly)		11/26/25		274,865			—		274,865
COP	11,377,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.53% (pays quarterly)		11/26/25		374,759			—		374,759
COP	6,681,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.55% (pays quarterly)		11/26/25		219,203			—		219,203
COP	30,984,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.73% (pays quarterly)		11/26/25		970,322			—		970,322
COP	3,307,500	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.73% (pays quarterly)		11/26/25		103,442			—		103,442
COP	13,905,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)		11/26/25		429,127			—		429,127
COP	30,984,585	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)		11/26/25		956,218			—		956,218
COP	15,492,290	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.81% (pays quarterly)		11/26/25		474,904			—		474,904
COP	26,646,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.86% (pays quarterly)		11/26/25		804,837			—		804,837
COP	14,717,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.90% (pays quarterly)		11/26/25		440,197			—		440,197
COP	11,377,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	5.68% (pays quarterly)		11/26/25		(266,382	)		—		(266,382	)
COP	17,135,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.00% (pays quarterly)		11/26/25		365,842			—		365,842
COP	48,548,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.05% (pays quarterly)		11/26/25		1,016,691			—		1,016,691
COP	14,897,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.06% (pays quarterly)		11/26/25		311,036			—		311,036
COP	31,413,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.09% (pays quarterly)		11/26/25		649,100			—		649,100
COP	12,137,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.12% (pays quarterly)		11/26/25		247,688			—		247,688
COP	15,278,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.14% (pays quarterly)		11/26/25		309,987			—		309,987

45 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value		Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
COP	15,707,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.18% (pays quarterly)		11/26/25	$	313,755	$	—	$	313,755
COP	32,127,300	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	6.25% (pays quarterly)		11/26/25		622,826		—		622,826
COP	69,340,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	7.03% (pays quarterly)		11/26/25		848,749		—		848,749
COP	41,202,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)		3/30/26		1,526,754		—		1,526,754
COP	25,188,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.48% (pays quarterly)		3/31/26		910,909		—		910,909
COP	26,964,400	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.56% (pays quarterly)		4/6/26		958,574		—		958,574
COP	6,893,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.82% (pays quarterly)		3/26/28		313,713		—		313,713
COP	4,923,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.83% (pays quarterly)		3/26/28		223,484		—		223,484
CZK	195,105	Receives	6-month CZK PRIBOR (pays semi-annually)	5.43% (pays annually)		3/25/24		38,930		—		38,930
CZK	195,105	Receives	6-month CZK PRIBOR (pays semi-annually)	5.36% (pays annually)		3/25/24		49,230		—		49,230
CZK	218,926	Receives	6-month CZK PRIBOR (pays semi-annually)	5.60% (pays annually)		3/28/24		14,011		—		14,011
CZK	311,418	Receives	6-month CZK PRIBOR (pays semi-annually)	5.56% (pays annually)		3/30/24		34,575		—		34,575
CZK	381,750	Receives	6-month CZK PRIBOR (pays semi-annually)	5.54% (pays annually)		3/30/24		49,432		—		49,432
CZK	381,750	Receives	6-month CZK PRIBOR (pays semi-annually)	5.60% (pays annually)		3/30/24		29,992		—		29,992
EUR	13,257	Receives	1-day Euro Short-Term Rate (pays annually)	0.78% (pays annually)		4/7/27		208,608		—		208,608
EUR	13,257	Receives	1-day Euro Short-Term Rate (pays annually)	0.98% (pays annually)		4/13/27		73,572		—		73,572
EUR	17,800	Receives	6-month EURIBOR (pays semi-annually)	0.81% (pays annually)		2/22/32		1,528,323		—		1,528,323
EUR	17,800	Receives	6-month EURIBOR (pays semi-annually)	0.80% (pays annually)		2/23/32		1,545,460		—		1,545,460
EUR	3,112	Receives	1-day Euro Short-Term Rate (pays annually)	0.98% (pays annually)		4/7/32		125,940		—		125,940
EUR	3,112	Receives	1-day Euro Short-Term Rate (pays annually)	1.19% (pays annually)		4/13/32		60,763		—		60,763

46 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
JPY	752,246	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52	$	348,603		$	—	$	348,603
JPY	790,839	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52		373,838			—		373,838
JPY	956,915	Receives	1-day Overnight Tokyo Average Rate (pays annually)	0.56% (pays annually)		1/11/52		447,291			—		447,291
KRW	154,705,500	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)		10/5/23		(1,607,903	)		—		(1,607,903	)
KRW	106,378,100	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)		10/5/23		(1,104,875	)		—		(1,104,875	)
KRW	67,516,400	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.77% (pays quarterly)		10/5/23		(695,365	)		—		(695,365	)
NZD	91,380	Pays	3-month NZD Bank Bill (pays quarterly)	2.69% (pays semi-annually)		1/18/24		(893,802	)		—		(893,802	)
NZD	89,240	Pays	3-month NZD Bank Bill (pays quarterly)	2.71% (pays semi-annually)		1/18/24		(861,907	)		—		(861,907	)
NZD	16,865	Receives	3-month NZD Bank Bill (pays quarterly)	2.98% (pays semi-annually)		2/23/32		800,035			—		800,035
PLN	26,040	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)		10/14/26		815,047			—		815,047
PLN	82,460	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)		10/15/26		2,582,028			—		2,582,028
PLN	31,600	Receives	6-month PLN WIBOR (pays semi-annually)	3.39% (pays annually)		12/15/26		814,636			—		814,636
PLN	34,400	Receives	6-month PLN WIBOR (pays semi-annually)	2.28% (pays annually)		10/4/31		1,897,672			—		1,897,672
PLN	13,530	Receives	6-month PLN WIBOR (pays semi-annually)	2.32% (pays annually)		10/5/31		736,186			—		736,186
PLN	13,850	Receives	6-month PLN WIBOR (pays semi-annually)	2.32% (pays annually)		10/5/31		753,597			—		753,597
PLN	30,760	Receives	6-month PLN WIBOR (pays semi-annually)	2.68% (pays annually)		10/22/31		1,503,128			—		1,503,128
PLN	14,140	Receives	6-month PLN WIBOR (pays semi-annually)	2.67% (pays annually)		10/25/31		693,054			—		693,054
PLN	21,040	Receives	6-month PLN WIBOR (pays semi-annually)	2.73% (pays annually)		10/25/31		1,009,559			—		1,009,559
TWD	320,248	Receives	3-month TWD TAIBOR (pays quarterly)	0.87% (pays quarterly)		11/2/26		387,782			—		387,782
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.87% (pays quarterly)		11/2/26		775,564			—		775,564
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)		11/2/26		765,896			—		765,896
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)		11/2/26		763,962			—		763,962
TWD	858,264	Receives	3-month TWD TAIBOR (pays quarterly)	0.89% (pays quarterly)		11/2/26		1,013,346			—		1,013,346

47 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (Centrally Cleared) (continued)
Notional Amount (000’s omitted)		Portfolio Pays/ Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
TWD	644,532	Receives	3-month TWD TAIBOR (pays quarterly)	0.95% (pays quarterly)		2/8/27	$	744,675		$	—		$	744,675
TWD	322,266	Receives	3-month TWD TAIBOR (pays quarterly)	1.00% (pays quarterly)		2/9/27		346,818			—			346,818
TWD	216,402	Receives	3-month TWD TAIBOR (pays quarterly)	1.00% (pays quarterly)		2/9/27		231,852			—			231,852
USD	9,000	Receives	SOFR (pays annually)	1.44% (pays semi-annually)		9/9/24		262,699			—			262,699
USD	14,000	Receives	SOFR (pays annually)	1.64% (pays semi-annually)		9/11/24		343,719			—			343,719
USD	12,500	Receives	SOFR (pays annually)	1.39% (pays annually)		1/12/27		705,829			—			705,829
USD	12,400	Receives	SOFR (pays annually)	1.39% (pays annually)		1/13/27		703,121			—			703,121
USD	25,000	Receives	SOFR (pays annually)	1.33% (pays annually)		1/18/27		1,494,689			—			1,494,689
USD	13,040	Receives	3-month USD-LIBOR (pays quarterly)	2.56% (pays semi-annually)		3/29/32		469,630			—			469,630
USD	8,850	Receives	3-month USD-LIBOR (pays quarterly)	2.55% (pays semi-annually)		3/30/32		324,006			—			324,006
USD	2,706	Receives	3-month USD-LIBOR (pays quarterly)	2.49% (pays semi-annually)		3/31/32		113,590			—			113,590
ZAR	129,130	Pays	3-month ZAR JIBAR (pays quarterly)	6.54% (pays quarterly)		2/23/27		(244,129	)		—			(244,129	)
Total							$	34,577,467		$	(90	)	$	34,577,377

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)
Bank of America, N.A.	MYR	72,600	Receives	3-month MYR KLIBOR (pays quarterly)	3.61% (pays quarterly)		6/15/27	$	265,574
Goldman Sachs International	MYR	70,000	Receives	3-month MYR KLIBOR (pays quarterly)	3.62% (pays quarterly)		6/15/27		252,362
Goldman Sachs International	MYR	57,400	Receives	3-month MYR KLIBOR (pays quarterly)	3.61% (pays quarterly)		6/15/27		209,972
Total								$	727,908

48 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps - Sell Protection (Centrally Cleared)
Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**		Current Market Annual Fixed Rate***	Termination Date	Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Mexico	$	37,998		1.00% (pays quarterly)(1)	4.47%	6/20/27	$	(5,610,672	)	$	4,804,846	$	(805,826	)
Total	$	37,998					$	(5,610,672	)	$	4,804,846	$	(805,826	)

Credit Default Swaps - Buy Protection (Centrally Cleared)
Reference Entity	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Value	Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Austria		9,465	1.00% (pays quarterly)(1)	6/20/27	$(408,405)	$	396,951		$	(11,454	)
Finland		9,771	0.25% (pays quarterly)(1)	6/20/27	(39,854)		42,690			2,836
France		44,677	0.25% (pays quarterly)(1)	6/20/27	(51,770)		(16,496	)		(68,266	)
Germany		43,749	0.25% (pays quarterly)(1)	6/20/27	(270,284)		240,298			(29,986	)
Hungary		10,178	1.00% (pays quarterly)(1)	6/20/27	55,355		(31,290	)		24,065
Malaysia		112,553	1.00% (pays quarterly)(1)	6/20/27	(568,326)		475,142			(93,184	)
Markit CDX Emerging Markets Index (CDX.EM.31.V2)		2,820	1.00% (pays quarterly)(1)	6/20/24	170,080		(185,126	)		(15,046	)
Markit CDX North America High Yield Index (CDX.NA.HY.38.V1)		187,242	5.00% (pays quarterly)(1)	6/20/27	(4,008,453)		10,448,690			6,440,237
Markit CDX North America Investment Grade Index (CDX.NA.IG.38.V1)		76,270	1.00% (pays quarterly)(1)	6/20/27	(671,659)		971,475			299,816
Markit iTraxx Europe Crossover Index (ITRAXX.XO.37.V1)	EU	R 37,095	5.00% (pays quarterly)(1)	6/20/27	(1,380,358)		2,230,294			849,936
Mexico		50,342	1.00% (pays quarterly)(1)	6/20/27	841,209		(740,310	)		100,899
Philippines		37,600	1.00% (pays quarterly)(1)	6/20/27	160,742		(160,790	)		(48	)
Poland		20,196	1.00% (pays quarterly)(1)	6/20/27	(115,811)		153,500			37,689
Qatar		12,396	1.00% (pays quarterly)(1)	12/20/23	(148,193)		144,390			(3,803	)
Qatar		6,763	1.00% (pays quarterly)(1)	6/20/27	(131,343)		139,999			8,656
Saudi Arabia		10,151	1.00% (pays quarterly)(1)	6/20/27	(197,141)		211,308			14,167
Saudi Arabia		31,769	1.00% (pays quarterly)(1)	6/20/32	(171,770)		313,275			141,505
South Africa		37,080	1.00% (pays quarterly)(1)	6/20/27	2,458,627		(2,302,792	)		155,835
South Africa		23,540	1.00% (pays quarterly)(1)	6/20/29	2,554,220		(2,453,553	)		100,667

49 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps - Buy Protection (Centrally Cleared) (continued)
Reference Entity	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**		Termination Date	Value	Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
South Africa	$	27,066		1.00% (pays quarterly)(1)	6/20/31	$ 3,908,649	$	(3,772,118	)	$	136,531
Turkey		31,631		1.00% (pays quarterly)(1)	6/20/27	6,431,602		(6,344,590	)		87,012
United Kingdom		43,834		1.00% (pays quarterly)(1)	6/20/27	(1,911,832)		1,832,325			(79,507	)
Total						$ 6,505,285	$	1,593,272		$	8,098,557

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		BNP Paribas	$	11,600	1.00% (pays quarterly)(1)	1.32%		6/20/27	$	(158,677	)	$	81,023		$	(77,654	)
Vietnam		Goldman Sachs International		9,100	1.00% (pays quarterly)(1)	0.65		6/20/24		76,783			(58,151	)		18,632
Vietnam		Goldman Sachs International		16,200	1.00% (pays quarterly)(1)	1.32		6/20/27		(221,601	)		128,380			(93,221	)
Vietnam		Nomura International PLC		1,500	1.00% (pays quarterly)(1)	1.32		6/20/27		(20,519	)		10,477			(10,042	)
Total			$	38,400					$	(324,014	)	$	161,729		$	(162,285	)

Credit Default Swaps - Buy Protection (OTC)
Reference Entity	Counterparty	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Czech Republic	JPMorgan Chase Bank, N.A.		10,160	1.00% (pays quarterly)(1)	12/20/26	$	(286,751	)	$	180,228		$	(106,523	)
Dubai	Barclays Bank PLC		3,357	1.00% (pays quarterly)(1)	12/20/24		(33,287	)		(29,450	)		(62,737	)
Dubai	Barclays Bank PLC		5,058	1.00% (pays quarterly)(1)	12/20/24		(50,026	)		(44,411	)		(94,437	)
Oman	Bank of America, N.A.		20,851	1.00% (pays quarterly)(1)	6/20/22		(28,894	)		(28,522	)		(57,416	)
Oman	Bank of America, N.A.		16,680	1.00% (pays quarterly)(1)	12/20/22		(32,871	)		(114,682	)		(147,553	)
Qatar	Goldman Sachs International		3,700	1.00% (pays quarterly)(1)	12/20/23		(44,336	)		(2,071	)		(46,407	)
Qatar	Goldman Sachs International		3,090	1.00% (pays quarterly)(1)	9/20/24		(47,719	)		632			(47,087	)

50 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps - Buy Protection (OTC) (continued)
Reference Entity	Counterparty	Notional Amount(2) (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Qatar	Nomura International PLC		9,620	1.00% (pays quarterly)(1)	9/20/24	$	(148,563	)	$	7,881		$	(140,682	)
Romania	Barclays Bank PLC		9,820	1.00% (pays quarterly)(1)	6/20/27		480,910			(406,638	)		74,272
Saudi Arabia	Barclays Bank PLC		14,533	1.00% (pays quarterly)(1)	6/20/31		(119,642	)		(244,690	)		(364,332	)
South Africa	Goldman Sachs International		16,600	1.00% (pays quarterly)(1)	12/20/28		1,636,905			(1,526,190	)		110,715
Sweden	Barclays Bank PLC		9,749	0.25% (pays quarterly)(1)	6/20/27		(59,970	)		50,707			(9,263	)
Sweden	Barclays Bank PLC		11,000	0.25% (pays quarterly)(1)	6/20/27		(67,665	)		35,072			(32,593	)
Total Sell Protection						$	1,198,091		$	(2,122,134	)	$	(924,043	)

* 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 April 30, 2022, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $76,398,000.

** 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.

⁽²⁾  In U.S. dollars unless otherwise indicated.

Cross-Currency Swaps (OTC)
Counterparty	Portfolio Receives	Portfolio Pays	Termination Date	Value/Unrealized Appreciation (Depreciation)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 1,998,461,430 (pays semi-annually)*	2.06% on CLP equivalent of CLF 63,000 (pays semi-annually)*	3/29/32	$	(38,204	)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 1,333,595,340 (pays semi-annually)*	2.10% on CLP equivalent of CLF 42,000 (pays semi-annually)*	4/8/32		(31,355	)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 4,064,683,520 (pays semi-annually)*	2.25% on CLP equivalent of CLF 128,000 (pays semi-annually)*	4/11/32		(163,486	)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 3,026,235,450 (pays semi-annually)*	2.00% on CLP equivalent of CLF 95,000 (pays semi-annually)*	4/14/32		(29,550	)
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 757,813,425 (pays semi-annually)*	1.85% on CLP equivalent of CLF 23,700 (pays semi-annually)*	4/20/32		7,516
Goldman Sachs International	1-day Indice Camara Promedio Rate on CLP 3,777,817,200 (pays semi-annually)*	1.84% on CLP equivalent of CLF 118,000 (pays semi-annually)*	4/22/32		45,820
				$	(209,259	)

* 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.

51 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Portfolio of Investments (Unaudited) — continued

Abbreviations:

ADR	–	American Depositary Receipt
CMT	–	Constant Maturity Treasury
COF	–	Cost of Funds 11th District
CPI-U (NSA)	–	Consumer Price Index All Urban Non-Seasonally Adjusted
EURIBOR	–	Euro Interbank Offered Rate
GDP	–	Gross Domestic Product
HICP	–	Harmonised Indices of Consumer Prices
LIBOR	–	London Interbank Offered Rate
OTC	–	Over-the-counter
PIK	–	Payment In Kind
SOFR	–	Secured Overnight Financing Rate

Currency Abbreviations:

AED	–	United Arab Emirates Dirham
AUD	–	Australian Dollar
BHD	–	Bahraini Dinar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CLF	–	Chilean Unidad de Fomento
CLP	–	Chilean Peso
CNH	–	Yuan Renminbi Offshore
CNY	–	Yuan Renminbi
COP	–	Colombian Peso
CRC	–	Costa Rican Colon
CZK	–	Czech Koruna
DOP	–	Dominican Peso
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	British Pound Sterling
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
ISK	–	Icelandic Krona
JPY	–	Japanese Yen
KES	–	Kenyan Shilling
KRW	–	Korean Won
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krone
NZD	–	New Zealand Dollar
OMR	–	Omani Rial
PEN	–	Peruvian Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
RSD	–	Serbian Dinar

RUB	–	Russian Ruble
SAR	–	Saudi Riyal
THB	–	Thai Baht
TRY	–	New Turkish Lira
TWD	–	Taiwan New Dollar
UAH	–	Ukrainian Hrynvia
UGX	–	Ugandan Shilling
USD	–	United States Dollar
UZS	–	Uzbekistani Som
ZAR	–	South African Rand
ZMW	–	Zambian Kwacha

52 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

April 30, 2022

Statement of Assets and Liabilities (Unaudited)

Assets	April 30, 2022
Unaffiliated investments, at value (identified cost $2,024,972,500)	$	1,773,954,492
Affiliated investment, at value (identified cost $251,817,413)		251,817,413
Deposits for derivatives collateral:
Centrally cleared derivatives		82,290,126
OTC derivatives		3,383,902
Foreign currency, at value (identified cost $36,717,548)		35,358,297
Interest and dividends receivable		25,832,942
Dividends receivable from affiliated investment		10,179
Receivable for investments sold		2,893,640
Receivable for variation margin on open futures contracts		1,382,287
Receivable for open forward foreign currency exchange contracts		11,320,145
Receivable for open swap contracts		984,863
Upfront payments on open non-centrally cleared swap contracts		2,454,805
Receivable for open non-deliverable bond forward contracts		112,966
Receivable for closed non-deliverable bond forward contracts		91,046
Total assets	$	2,191,887,103
Liabilities
Cash collateral due to brokers	$	3,383,902
Payable for investments purchased		19,847,140
Payable for securities sold short, at value (proceeds $22,586,338)		19,018,783
Payable for variation margin on open centrally cleared derivatives		36,211
Payable for open forward foreign currency exchange contracts		9,704,669
Payable for open swap contracts		1,552,542
Upfront receipts on open non-centrally cleared swap contracts		494,400
Payable for open non-deliverable bond forward contracts		985,815
Payable for closed non-deliverable bond forward contracts		41,983
Due to custodian		7,471,305
Payable to affiliates:
Investment adviser fee		1,020,646
Trustees’ fees		9,223
Interest payable on securities sold short		86,632
Accrued foreign capital gains taxes		4,602
Accrued expenses and other liabilities		922,093
Total liabilities	$	64,579,946
Net Assets applicable to investors’ interest in Portfolio	$	2,127,307,157

53 See Notes to Financial Statements.

Global Macro Portfolio

April 30, 2022

Statement of Operations (Unaudited)

Investment Income	Six Months Ended April 30, 2022
Dividend income (net of foreign taxes withheld of $107,002)	$	1,455,838
Dividend income from affiliated investments		128,359
Interest and other income (net of foreign taxes withheld of $1,320,968)		64,660,786
Total investment income	$	66,244,983
Expenses
Investment adviser fee	$	6,683,401
Trustees’ fees and expenses		54,250
Custodian fee		742,654
Legal and accounting services		139,265
Interest expense and fees		174,862
Interest and dividend expense on securities sold short		864,949
Miscellaneous		42,784
Total expenses	$	8,702,165
Deduct:
Waiver and/or reimbursement of expenses by affiliate	$	2,730
Total expense reductions		2,730
Net expenses	$	8,699,435
Net investment income	$	57,545,548
Realized and Unrealized Gain (Loss)
Net realized gain (loss):
Investment transactions (net of foreign capital gains taxes of $105,350)	$	(35,083,587	)
Investment transactions — affiliated investment		(27,401	)
Securities sold short		2,953,863
Futures contracts		22,803,942
Swap contracts		62,909,351
Foreign currency transactions		(4,116,436	)
Forward foreign currency exchange contracts		31,956,678
Non-deliverable bond forward contracts		(10,243,140	)
Net realized gain	$	71,153,270
Change in unrealized appreciation (depreciation):
Investments (including net decrease in accrued foreign capital gains taxes of $467,525)	$	(232,906,439	)
Securities sold short		4,938,232
Futures contracts		21,809,635
Swap contracts		34,379,600
Foreign currency		(1,685,281	)
Forward foreign currency exchange contracts		1,964,294
Non-deliverable bond forward contracts		83,274
Net change in unrealized appreciation (depreciation)	$	(171,416,685	)
Net realized and unrealized loss	$	(100,263,415	)
Net decrease in net assets from operations	$	(42,717,867	)

54 See Notes to Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Statements of Changes in Net Assets

Increase (Decrease) in Net Assets	Six Months Ended April 30, 2022 (Unaudited)			Year Ended October 31, 2021
From operations:
Net investment income	$	57,545,548		$	139,362,795
Net realized gain (loss)		71,153,270			(3,331,271	)
Net change in unrealized appreciation (depreciation)		(171,416,685	)		(438,460	)
Net increase (decrease) in net assets from operations	$	(42,717,867	)	$	135,593,064
Capital transactions:
Contributions	$	53,949,132		$	152,014,236
Withdrawals		(447,787,993	)		(889,472,377	)
Net decrease in net assets from capital transactions	$	(393,838,861	)	$	(737,458,141	)
Net decrease in net assets	$	(436,556,728	)	$	(601,865,077	)
Net Assets
At beginning of period	$	2,563,863,885		$	3,165,728,962
At end of period	$	2,127,307,157		$	2,563,863,885

55 See Notes to Financial Statements.

Global Macro Portfolio

April 30, 2022

Consolidated Financial Highlights

	Six Months Ended April 30, 2022 (Unaudited)			Year Ended October 31,
Ratios/Supplemental Data				2021			2020			2019			2018			2017
Ratios (as a percentage of average daily net assets):
Expenses(1)		0.75	%(2)(3)		0.70	%		0.66	%		0.65	%		0.70	%		0.64	%
Net investment income		4.96	%(2)		4.60	%		4.53	%		5.41	%		4.64	%		4.14	%
Portfolio Turnover		36	%(4)		88	%		81	%		61	%		78	%		74	%
Total Return		(1.72	)%(4)		4.52	%		4.03	%		6.56	%		(2.60	)%		3.93	%
Net assets, end of period (000’s omitted)	$	2,127,307		$	2,563,864		$	3,165,729		$	3,559,727		$	4,864,519		$	5,484,065

 ⁽¹⁾ Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.09%, 0.06%, 0.01%, 0.01%, 0.04% and 0.03% for the six months ended April 30, 2022 and the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively.

 ⁽²⁾ Annualized.

 ⁽³⁾ The investment adviser reduced a portion of its adviser fee (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2022).

 ⁽⁴⁾ Not annualized.

56

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited)

1  Significant Accounting Policies

Global Macro Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2022, Eaton Vance Global Macro Absolute Return Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 99.5% and 0.5%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2022 were $15,702,651 or 0.7% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.

Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.

Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service.

Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices.

Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign financial futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.

Foreign Securities, Futures Contracts and Currencies. Foreign securities, futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign futures contracts that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities and foreign futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign futures contracts.

57

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.

Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B  Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. In consideration of recent decisions rendered by European courts, the Portfolio has filed additional tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Due to the uncertainty as to the ultimate resolution of these proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment, no amounts are reflected in the Portfolio’s financial statements for such outstanding reclaims.

D  Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of April 30, 2022, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

F  Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.

58

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

G  Use of Estimates — The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

H  Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

I  Futures Contracts — Upon entering into a futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index or commodity, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

J  Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be “centrally cleared”, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.

K  Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

59

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

L  Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

M  Inflation Swaps — Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. The accounting policy for payments received or made and changes in the underlying value of the inflation swap are the same as for interest rate swaps as described above. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from the unanticipated movements in value of interest rates or the index.

N  Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

O  Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 6 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

P  Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

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Q  Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

R  Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.

S  Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. When making a short sale, the Portfolio segregates liquid assets with the custodian equal to its obligations under the short sale. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.

T  Stripped Mortgage-Backed Securities — The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, forms of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.

U  Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2022 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.

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2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. The Portfolio and Subsidiary each pay BMR a fee computed at an annual rate as a percentage of its respective average daily net assets as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $500 million		0.615	%
$500 million but less than $1 billion		0.595	%
$1 billion but less than $1.5 billion		0.575	%
$1.5 billion but less than $2 billion		0.555	%
$2 billion but less than $3 billion		0.520	%
$3 billion but less than $5 billion		0.490	%
$5 billion but less than $10 billion		0.475	%
$10 billion and over		0.465	%

Pursuant to an amendment to the investment advisory agreement dated April 29, 2022, BMR contractually agreed to reduce its investment advisory fee rate on average daily net assets of $5 billion and over from 0.490% to the rates as stated above. This contractual reduction cannot be terminated or reduced without Trustee and shareholder approval. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the six months ended April 30, 2022, the Portfolio’s investment adviser fee amounted to $6,683,401 or 0.58% (annualized) of the Portfolio’s consolidated average daily net assets.

Pursuant to an investment sub-advisory agreement effective March 16, 2022, BMR has delegated a portion of the investment management of the Portfolio to Eaton Vance Advisers International Ltd. (EVAIL), an affiliate of BMR and an indirect, wholly-owned subsidiary of Morgan Stanley. EVAIL uses the portfolio management, research and other resources of its affiliate, MSIM Fund Management (Ireland) Limited (MSIM FMIL), to render investment advisory services to the Portfolio. MSIM FMIL has entered into a Memorandum of Understanding with EVAIL pursuant to which MSIM FMIL is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. BMR pays EVAIL a portion of its investment adviser fee for sub-advisory services provided to the Portfolio.

Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the “Liquidity Fund”), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the six months ended April 30, 2022, the investment adviser fee paid was reduced by $2,730 relating to the Portfolio’s investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). EVM did not receive a fee for advisory services provided to Cash Reserves Fund.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2022, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the six months ended April 30, 2022 were as follows:

	Purchases		Sales
Investments (non-U.S. Government)	$	584,758,812	$	515,630,720
U.S. Government and Agency Securities		22,517,017		8,787,959
	$	607,275,829	$	524,418,679

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Notes to Consolidated Financial Statements (Unaudited) — continued

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolio’s investment in the Subsidiary, at April 30, 2022, as determined on a federal income tax basis, were as follows:

Aggregate cost	$2,463,592,471
Gross unrealized appreciation	$	103,647,333
Gross unrealized depreciation		(462,442,491	)
Net unrealized depreciation	$	(358,795,158	)

5  Restricted Securities

At April 30, 2022, the Portfolio owned the following securities (representing 0.5% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

Description	Date(s) of Acquisition		Shares		Cost		Value
Reinsurance Side Cars
Mt. Logan Re, Ltd., Series A-1		12/30/20		4,400	$	4,400,000	$	4,042,607
Sussex Capital, Ltd., Designated Investment Series 16, 12/21		1/24/22		817		—		807,923
Sussex Capital, Ltd., Series 16, Preference Shares		6/1/21		5,500		5,500,000		4,782,138
Total Restricted Securities					$	9,900,000	$	9,632,668

6  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, non-deliverable bond forward contracts, futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2022 is included in the Consolidated Portfolio of Investments. At April 30, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Commodity Risk: During the six months ended April 30, 2022, the Portfolio invested in commodities-linked derivative instruments, including commodity futures contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.

Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.

Equity Price Risk: During the six months ended April 30, 2022, the Portfolio entered into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts 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.

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Notes to Consolidated Financial Statements (Unaudited) — continued

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, cross-currency swaps and option contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.

The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $12,273,600. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $20,303,990 at April 30, 2022.

The OTC derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2022 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2022. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.

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Notes to Consolidated Financial Statements (Unaudited) — continued

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2022 was as follows:

	Fair Value
Consolidated Statement of Assets and Liabilities Caption	Commodity			Credit			Equity Price			Foreign Exchange			Interest Rate			Total
Unaffiliated investments, at value	$	—		$	—		$	—		$	—		$	193,730		$	193,730
Not applicable		478,620	*		16,580,484	*		14,714	*		34,304,060	*		85,100,415	*		136,478,293
Receivable for open forward foreign currency exchange contracts		—			—			—			11,320,145			—			11,320,145
Receivable/Payable for open swap contracts;
Upfront payments/receipts on open non-centrally cleared swap contracts		—			2,194,598			—			—			781,244			2,975,842
Receivable for open non-deliverable bond forward contracts		—			—			—			—			112,966			112,966
Total Asset Derivatives	$	478,620		$	18,775,082		$	14,714		$	45,624,205		$	86,188,355		$	151,080,976
Derivatives not subject to master netting or similar agreements	$	478,620		$	16,580,484		$	14,714		$	34,304,060		$	85,100,415		$	136,478,293
Total Asset Derivatives subject to master netting or similar agreements	$	—		$	2,194,598		$	—		$	11,320,145		$	1,087,940		$	14,602,683
Not applicable	$	—		$	(15,685,871	)*	$	—		$	(23,275,890	)*	$	(26,268,932	)*	$	(65,230,693	)
Payable for open forward foreign currency exchange contracts		—			—			—			(9,704,669	)		—			(9,704,669	)
Payable/Receivable for open swap contracts;
Upfront payments/receipts on open non-centrally cleared swap contracts		—			(1,320,521	)		—			—			(262,595	)		(1,583,116	)
Payable for open non-deliverable bond forward contracts		—			—			—			—			(985,815	)		(985,815	)
Total Liability Derivatives	$	—		$	(17,006,392	)	$	—		$	(32,980,559	)	$	(27,517,342	)	$	(77,504,293	)
Derivatives not subject to master netting or similar agreements	$	—		$	(15,685,871	)	$	—		$	(23,275,890	)	$	(26,268,932	)	$	(65,230,693	)
Total Liability Derivatives subject to master netting or similar agreements	$	—		$	(1,320,521	)	$	—		$	(9,704,669	)	$	(1,248,410	)	$	(12,273,600	)

* Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable.

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Notes to Consolidated Financial Statements (Unaudited) — continued

The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of April 30, 2022.

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(a)			Cash Collateral Received(a)			Net Amount of Derivative Assets(b)			Total Cash Collateral Received
Bank of America, N.A.	$	875,756		$	(875,756	)	$	—		$	—		$	—		$	—
Barclays Bank PLC		844,849			(330,590	)		(281,924	)		—			232,335			—
BNP Paribas		1,471,010			(1,177,281	)		(293,729	)		—			—			—
Citibank, N.A.		2,414,708			(1,773,692	)		—			—			641,016			393,902
Goldman Sachs International		2,251,333			(1,735,426	)		—			(515,907	)		—			700,000
ICBC Standard Bank plc		25,041			(25,041	)		—			—			—			—
JPMorgan Chase Bank, N.A.		2,852,762			(291,244	)		—			(2,290,000	)		271,518			2,290,000
Standard Chartered Bank		2,601,796			(2,601,796	)		—			—			—			—
State Street Bank and Trust Company		25,938			—			—			—			25,938			—
UBS AG		1,239,490			(807,656	)		(102,742	)		—			329,092			—
	$	14,602,683		$	(9,618,482	)	$	(678,395	)	$	(2,805,907	)	$	1,499,899		$	3,383,902
Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(a)			Cash Collateral Pledged(a)			Net Amount of Derivative Liabilities(c)			Total Cash Collateral Pledged
Bank of America, N.A.	$	(1,056,659	)	$	875,756		$	180,903		$	—		$	—		$	—
Barclays Bank PLC		(330,590	)		330,590			—			—			—			—
BNP Paribas		(1,177,281	)		1,177,281			—			—			—			—
Citibank, N.A.		(1,773,692	)		1,773,692			—			—			—			—
Credit Agricole Corporate and Investment Bank		(222,683	)		—			207,995			—			(14,688	)		—
Deutsche Bank AG		(81,567	)		—			—			—			(81,567	)		—
Goldman Sachs International		(1,735,426	)		1,735,426			—			—			—			—
HSBC Bank USA, N.A.		(12,933	)		—			—			—			(12,933	)		—
ICBC Standard Bank plc		(34,540	)		25,041			—			—			(9,499	)		—
JPMorgan Chase Bank, N.A.		(291,244	)		291,244			—			—			—			—
Nomura International PLC		(169,082	)		—			169,082			—			—			—
Standard Chartered Bank		(4,580,247	)		2,601,796			1,978,451			—			—			—
UBS AG		(807,656	)		807,656			—			—			—			—
	$	(12,273,600	)	$	9,618,482		$	2,536,431		$	—		$	(118,687	)	$	—
Total — Deposits for derivatives collateral — OTC derivatives																$	3,383,902

^(a) In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount due from the counterparty in the event of default.

^(c)  Net amount represents the net amount payable to the counterparty in the event of default.

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Notes to Consolidated Financial Statements (Unaudited) — continued

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2022 was as follows:

Consolidated Statement of Operations Caption	Commodity			Credit		Equity Price			Foreign Exchange		Interest Rate			Total
Net realized gain (loss):
Investment transactions	$	—		$	—	$	—		$	—	$	(3,268,844	)	$	(3,268,844	)
Futures contracts		5,922,171			—		866,612			—		16,015,159			22,803,942
Swap contracts		(13,977,201	)		68,067,439		1,002,243			—		7,816,870			62,909,351
Forward foreign currency exchange contracts		—			—		—			31,956,678		—			31,956,678
Non-deliverable bond forward contracts		—			—		—			—		(10,243,140	)		(10,243,140	)
Total	$	(8,055,030	)	$	68,067,439	$	1,868,855		$	31,956,678	$	10,320,045		$	104,157,987
Change in unrealized appreciation
(depreciation):
Investments	$	—		$	—	$	—		$	—	$	2,973,754		$	2,973,754
Futures contracts		478,620			—		(513,364	)		—		21,844,379			21,809,635
Swap contracts		3,413,580			5,855,327		(467,186	)		—		25,577,879			34,379,600
Forward foreign currency exchange contracts		—			—		—			1,964,294		—			1,964,294
Non-deliverable bond forward contracts		—			—		—			—		83,274			83,274
Total	$	3,892,200		$	5,855,327	$	(980,550	)	$	1,964,294	$	50,479,286		$	61,210,557

The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2022, which are indicative of the volume of these derivative types, were approximately as follows:

Futures Contracts — Long	Futures Contracts — Short		Forward Foreign Currency Exchange Contracts*		Non-Deliverable Bond Forward Contracts		Purchased Swaptions
$28,855,000	$	459,393,000	$	2,758,162,000	$	141,631,000	$	65,210,000

Purchased Call Options	Swap Contracts
$928,500,000	$	3,306,014,000

* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.

7  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in an $800 million unsecured line of credit agreement with a group of banks, which is in effect through October 25, 2022. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. In connection with the renewal of the agreement in October 2021, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2022.

67

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

8  Investments in Affiliated Funds

At April 30, 2022, the value of the Portfolio’s investment in affiliated funds was $251,817,413, which represents 11.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the six months ended April 30, 2022 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		Units/Shares, end of period
Short-Term Investments
Cash Reserves Fund	$	316,227,582	$	810,344,399	$	(1,126,544,580	)	$	(27,401	)	$	—	$	—	$	117,783		—
Liquidity Fund		—		259,583,341		(7,765,928	)		—			—		251,817,413		10,179		251,817,413
Total								$	(27,401	)	$	—	$	251,817,413	$	127,962

9  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 April 30, 2022, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1		Level 2			Level 3		Total
Asset-Backed Securities	$	—	$	43,339,813		$	—	$	43,339,813
Collateralized Mortgage Obligations		—		31,458,536			—		31,458,536
Common Stocks		13,019,980		54,040,210	*		288,263		67,348,453
Convertible Bonds		—		5,359,708			—		5,359,708
Foreign Corporate Bonds		—		156,232,776			0		156,232,776
Loan Participation Notes		—		—			47,578,734		47,578,734
Reinsurance Side Cars		—		—			14,010,968		14,010,968
Senior Floating-Rate Loans		—		10,985,478			634,858		11,620,336
Sovereign Government Bonds		—		834,425,845			79,404,915		913,830,760
Sovereign Loans		—		98,444,981			—		98,444,981
U.S. Government Agency Mortgage-Backed Securities		—		47,868,738			—		47,868,738
U.S. Government Guaranteed Small Business
Administration Loans		—		15,350,215			—		15,350,215
Warrants		50,692		—			—		50,692
Short-Term Investments:
Affiliated Fund		251,817,413		—			—		251,817,413
Repurchase Agreements		—		21,698,836			—		21,698,836
Sovereign Government Securities		—		94,684,224			—		94,684,224
U.S. Treasury Obligations		—		204,882,992			—		204,882,992

68

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

Asset Description (continued)	Level 1			Level 2			Level 3		Total
Purchased Call Options	$	—		$	193,730		$	—	$	193,730
Total Investments	$	264,888,085		$	1,618,966,082		$	141,917,738	$	2,025,771,905
Forward Foreign Currency Exchange Contracts	$	—		$	45,624,205		$	—	$	45,624,205
Non-Deliverable Bond Forward Contracts		—			112,966			—		112,966
Futures Contracts		28,416,283			14,714			—		28,430,997
Swap Contracts		—			76,719,078			—		76,719,078
Total	$	293,304,368		$	1,741,437,045		$	141,917,738	$	2,176,659,151
Liability Description
Securities Sold Short	$	—		$	(19,018,783	)	$	—	$	(19,018,783	)
Forward Foreign Currency Exchange Contracts		—			(32,980,559	)		—		(32,980,559	)
Non-Deliverable Bond Forward Contracts		—			(985,815	)		—		(985,815	)
Futures Contracts		(274	)		—			—		(274	)
Swap Contracts		—			(43,537,645	)		—		(43,537,645	)
Total	$	(274	)	$	(96,522,802	)	$	—	$	(96,523,076	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Investments in Common Stocks		Investments in Foreign Corporate Bonds		Investments in Loan Participation Notes			Investments in Reinsurance Side Cars*			Investments in Senior Floating- Rate Loans			Investments in Sovereign Government Bonds			Total
Balance as of October 31, 2021	$	273,212	$	0	$	51,240,311		$	12,777,091		$	684,110		$	—		$	64,974,724
Realized gains (losses)		—		—		—			—			—			(1,087,905	)		(1,087,905	)
Change in net unrealized appreciation (depreciation)		15,051		—		(4,133,814	)		183,877			(101,015	)		(108,343,341	)		(112,379,242	)
Cost of purchases		—		—		—			3,500,000			—			—			3,500,000
Proceeds from sales, including return of capital		—		—		—			(2,450,000	)		—			(5,218,678	)		(7,668,678	)
Accrued discount (premium)		—		—		472,237			—			51,763			766,283			1,290,283
Transfers to Level 3		—		—		—			—			—			193,288,556			193,288,556
Transfers from Level 3		—		—		—			—			—			—			—
Balance as of April 30, 2022	$	288,263	$	0	$	47,578,734		$	14,010,968		$	634,858		$	79,404,915		$	141,917,738
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2022	$	15,051	$	—	$	(4,133,814	)	$	207,887		$	(101,015	)	$	(108,067,900	)	$	(112,079,791	)

* The Portfolio’s investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations.

69

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements (Unaudited) — continued

The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of April 30, 2022:

Type of Investment	Fair Value as of April 30, 2022		Valuation Technique	Unobservable Input	Input			Impact to Valuation from an Increase to Input*
Common Stocks	$	288,263	Market Approach	EBITDA Multiple Discount Rate		15	%		Decrease
Foreign Corporate Bonds		0	Estimated Recovery Value	Estimated Recovery Value Percentage		0	%		Increase
Loan Participation Notes		47,578,734	Matrix Pricing	Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate		3.98	%		Decrease
Senior Floating-Rate Loans		634,858	Market Approach	Discount Rate		10	%		Decrease
Sovereign Government Bonds		79,404,915	Third Party Indication of Value	Foreign Currency Exchange Rate		33.30 UAH/USD			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.

10  Risks and Uncertainties

Risks Associated with Foreign Investments

Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.

Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.

Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.

On February 24, 2022, Russia launched an invasion of Ukraine, following rising tensions over the buildup of Russian troops along the Ukrainian border and joint military exercises by Russia with Belarus. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. The conflict and sanctions have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Belarus and Ukraine. The conflict could also have a significant effect on investments outside the region. The duration and extent of the military conflict with Russia and the related sanctions cannot be predicted at this time.

70

Global Macro Portfolio

April 30, 2022

Notes to Consolidated Financial Statements — continued

LIBOR Transition Risk

Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.

Pandemic Risk

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.

71

Eaton Vance

Global Macro Absolute Return Fund

April 30, 2022

Officers and Trustees

Officers of Eaton Vance Global Macro Absolute Return Fund

Eric A. Stein

President

Deidre E. Walsh

Vice President and Chief Legal Officer

James F. Kirchner

Treasurer

Jill R. Damon

Secretary

Richard F. Froio

Chief Compliance Officer

Officers of Global Macro Portfolio

Eric A. Stein

President

Deidre E. Walsh

Vice President and Chief Legal Officer

James F. Kirchner

Treasurer

Jill R. Damon

Secretary

Richard F. Froio

Chief Compliance Officer

Trustees of Eaton Vance Global Macro Absolute Return Fund and Global Macro Portfolio

George J. Gorman

Chairperson

Alan C. Bowser*

Thomas E. Faust Jr.**

Mark R. Fetting

Cynthia E. Frost

Valerie A. Mosley

William H. Park

Helen Frame Peters

Keith Quinton

Marcus L. Smith

Susan J. Sutherland

Scott E. Wennerholm

Nancy A. Wiser*

* Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022.

** Interested Trustee

72

Eaton Vance Funds

Privacy Notice April 2021

FACTS	WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: ∎   Social Security number and income ∎   investment experience and risk tolerance ∎   checking account number and wire transfer instructions
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Eaton Vance share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness	Yes	Yes
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For our investment management affiliates to market to you	Yes	Yes
For our affiliates to market to you	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

To limit our sharing	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com

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Eaton Vance Funds

Privacy Notice — continued April 2021

Page 2

Who we are
Who is providing this notice?	Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below)
What we do
How does Eaton Vance protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.
How does Eaton Vance collect my personal information?	We collect your personal information, for example, when you ∎   open an account or make deposits or withdrawals from your account ∎   buy securities from us or make a wire transfer ∎   give us your contact information We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ∎   sharing for affiliates’ everyday business purposes — information about your creditworthiness ∎   affiliates from using your information to market to you ∎   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.
Definitions
Investment Management Affiliates	Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker-dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎   Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎   Eaton Vance does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎   Eaton Vance doesn’t jointly market.
Other important information
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information. California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.

74

Eaton Vance Funds

IMPORTANT NOTICES

Delivery of Shareholder Documents.  The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.

Portfolio Holdings.  Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.

Proxy Voting.  From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

75

This Page Intentionally Left Blank

Investment Adviser of Global Macro Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance Global Macro Absolute Return Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Investment Sub-Adviser

Eaton Vance Advisers International Ltd.

125 Old Broad Street

London, EC2N 1AR

United Kingdom

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

State Street Financial Center, One Lincoln Street

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 262-1122

Fund Offices

Two International Place

Boston, MA 02110

* FINRA BrokerCheck.  Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.

7757    4.30.22

Item 2. Code of Ethics

Not required in this filing.

Item 3. Audit Committee Financial Expert

Not required in this filing.

Item 4. Principal Accountant Fees and Services

Not required in this filing.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

No material changes.

Item 11. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1)	Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i)	Treasurer’s Section 302 certification.
(a)(2)(ii)	President’s Section 302 certification.
(b)	Combined Section 906 certification.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Global Macro Portfolio
By:	/s/ Eric A. Stein
	Eric A. Stein
	President
Date:	June 23, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ James F. Kirchner
	James F. Kirchner
	Treasurer
Date:	June 23, 2022

By:	/s/ Eric A. Stein
	Eric A. Stein
	President
Date:	June 23, 2022