Global Macro Portfolio NPORT-P Global Macro Portfolio (Jan 2021 report)

Global Macro Portfolio

January 31, 2021

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 44.5%

Security	Principal Amount (000’s omitted)		Value
Argentina — 0.0%(1)
City of Buenos Aires, 7.50%, 6/1/27(2)	USD	1,896	$	1,502,580
Total Argentina			$	1,502,580
Australia — 3.6%
Australia Government Bond, 0.25%, 11/21/25(2)	AUD	95,000	$	72,255,139
Australia Government Bond, 0.75%, 11/21/27(2)	AUD	21,445		18,535,410
Australia Government Bond, 1.00%, 2/21/50(2)	AUD	13,342		12,499,542
Australia Government Bond, 1.25%, 8/21/40(2)	AUD	12,982		12,390,351
Total Australia			$	115,680,442
Bahrain — 2.1%
Kingdom of Bahrain, 5.45%, 9/16/32(2)	USD	10,100	$	10,284,204
Kingdom of Bahrain, 5.625%, 9/30/31(2)	USD	4,748		4,891,294
Kingdom of Bahrain, 6.00%, 9/19/44(2)	USD	4,528		4,491,613
Kingdom of Bahrain, 6.25%, 1/25/51(2)	USD	10,395		10,304,044
Kingdom of Bahrain, 6.75%, 9/20/29(2)	USD	3,542		4,000,551
Kingdom of Bahrain, 7.00%, 10/12/28(2)	USD	6,732		7,810,426
Kingdom of Bahrain, 7.375%, 5/14/30(2)	USD	14,458		16,798,461
Kingdom of Bahrain, 7.50%, 9/20/47(2)	USD	8,790		9,928,920
Total Bahrain			$	68,509,513
Barbados — 0.8%
Government of Barbados, 6.50%, 10/1/29(2)	USD	27,151	$	27,422,207
Total Barbados			$	27,422,207
Belarus — 0.4%
Republic of Belarus, 5.875%, 2/24/26(2)	USD	7,310	$	7,511,062
Republic of Belarus, 6.875%, 2/28/23(2)	USD	6,700		6,991,249
Total Belarus			$	14,502,311
Benin — 0.7%
Benin Government International Bond, 6.875%, 1/19/52(2)	EUR	16,930	$	21,744,094
Total Benin			$	21,744,094
China — 2.5%
China Development Bank, 3.70%, 10/20/30	CNY	505,000	$	79,366,920
China Government Bond, 3.40%, 2/9/27	CNY	10,000		1,582,083
Total China			$	80,949,003

1

Security	Principal Amount (000’s omitted)		Value
Costa Rica — 0.1%
Titulo Propiedad UD, 1.00%, 1/12/22(3)	CRC	1,696,726	$	2,631,837
Total Costa Rica			$	2,631,837
Dominican Republic — 1.5%
Dominican Republic, 5.30%, 1/21/41(2)	USD	9,230	$	9,564,587
Dominican Republic, 5.875%, 1/30/60(2)	USD	22,532		23,703,664
Dominican Republic, 5.875%, 1/30/60(4)	USD	869		914,188
Dominican Republic, 6.40%, 6/5/49(2)	USD	3,137		3,529,125
Dominican Republic, 6.85%, 1/27/45(2)	USD	3,219		3,806,468
Dominican Republic, 7.45%, 4/30/44(2)	USD	4,820		6,075,610
Total Dominican Republic			$	47,593,642
Egypt — 3.0%
Arab Republic of Egypt, 6.375%, 4/11/31(2)	EUR	32,648	$	42,523,237
Arab Republic of Egypt, 8.15%, 11/20/59(2)	USD	31,072		33,129,588
Arab Republic of Egypt, 8.70%, 3/1/49(2)	USD	19,982		22,327,087
Total Egypt			$	97,979,912
Georgia — 0.5%
Georgia Treasury Bond, 7.00%, 5/30/24	GEL	25,057	$	7,353,338
Georgia Treasury Bond, 7.375%, 9/27/23	GEL	5,820		1,734,642
Georgia Treasury Bond, 8.125%, 1/25/23	GEL	2,922		893,492
Georgia Treasury Bond, 9.375%, 4/9/22	GEL	22,758		7,036,779
Total Georgia			$	17,018,251
Iceland — 2.2%
Republic of Iceland, 5.00%, 11/15/28	ISK	1,734,908	$	15,199,583
Republic of Iceland, 6.50%, 1/24/31	ISK	5,641,242		55,489,284
Total Iceland			$	70,688,867
Indonesia — 2.7%
Indonesia Government Bond, 6.50%, 2/15/31	IDR	308,686,000	$	22,455,091
Indonesia Government Bond, 7.00%, 9/15/30	IDR	328,345,000		24,612,769
Indonesia Government Bond, 7.50%, 6/15/35	IDR	540,000,000		41,100,043
Total Indonesia			$	88,167,903
Ivory Coast — 1.1%
Ivory Coast Government International Bond, 4.875%, 1/30/32(2)	EUR	3,666	$	4,590,125
Ivory Coast Government International Bond, 5.25%, 3/22/30(2)	EUR	10,453		13,555,440
Ivory Coast Government International Bond, 6.625%, 3/22/48(2)	EUR	7,641		10,086,414
Ivory Coast Government International Bond, 6.875%, 10/17/40(2)	EUR	5,248		7,185,622
Total Ivory Coast			$	35,417,601

2

Security	Principal Amount (000’s omitted)		Value
Jordan — 0.7%
Jordan Government International Bond, 5.85%, 7/7/30(2)	USD	1,638	$	1,805,019
Jordan Government International Bond, 7.375%, 10/10/47(2)	USD	17,147		19,586,418
Total Jordan			$	21,391,437
Lebanon — 0.3%
Lebanese Republic, 6.25%, 11/4/24(2)(5)	USD	7,663	$	1,003,731
Lebanese Republic, 6.25%, 6/12/25(2)(5)	USD	2,947		389,484
Lebanese Republic, 6.40%, 5/26/23(5)	USD	7,625		1,000,133
Lebanese Republic, 6.65%, 4/22/24(2)(5)	USD	14,836		1,961,319
Lebanese Republic, 6.65%, 11/3/28(2)(5)	USD	3,522		471,927
Lebanese Republic, 6.65%, 2/26/30(2)(5)	USD	453		59,604
Lebanese Republic, 6.75%, 11/29/27(2)(5)	USD	194		25,269
Lebanese Republic, 6.85%, 3/23/27(2)(5)	USD	7,024		933,630
Lebanese Republic, 6.85%, 5/25/29(5)	USD	9,973		1,331,296
Lebanese Republic, 7.00%, 12/3/24(5)	USD	3,446		451,130
Lebanese Republic, 7.00%, 3/20/28(2)(5)	USD	5,989		797,435
Lebanese Republic, 7.05%, 11/2/35(2)(5)	USD	1,463		194,076
Lebanese Republic, 7.15%, 11/20/31(2)(5)	USD	4,621		608,586
Lebanese Republic, 8.20%, 5/17/33(5)	USD	1,595		214,639
Lebanese Republic, 8.25%, 4/12/21(2)(5)	USD	1,000		138,040
Lebanese Republic, 8.25%, 5/17/34(5)	USD	1,326		174,581
Total Lebanon			$	9,754,880
Mongolia — 0.1%
Mongolia Government International Bond, 5.125%, 4/7/26(2)	USD	1,554	$	1,666,541
Total Mongolia			$	1,666,541
New Zealand — 0.9%
New Zealand Government Bond, 2.50%, 9/20/35(2)(3)	NZD	12,174	$	12,155,558
New Zealand Government Bond, 3.00%, 9/20/30(2)(3)	NZD	18,598		17,935,768
Total New Zealand			$	30,091,326
Oman — 0.1%
Oman Government International Bond, 3.625%, 6/15/21(2)	USD	3,600	$	3,619,058
Total Oman			$	3,619,058
Philippines — 1.6%
Republic of the Philippines, 2.95%, 5/5/45	USD	7,455	$	7,740,373
Republic of the Philippines, 6.25%, 1/14/36	PHP	1,649,000		44,335,600
Total Philippines			$	52,075,973

3

Security	Principal Amount (000’s omitted)		Value
Romania — 3.2%
Romania Government International Bond, 2.625%, 12/2/40(2)	EUR	3,639	$	4,617,437
Romania Government International Bond, 3.375%, 1/28/50(2)	EUR	32,746		44,867,833
Romania Government International Bond, 4.625%, 4/3/49(2)	EUR	32,498		53,006,553
Total Romania			$	102,491,823
Rwanda — 0.0%(1)
Republic of Rwanda, 6.625%, 5/2/23(2)	USD	579	$	615,625
Total Rwanda			$	615,625
Serbia — 4.5%
Serbia Treasury Bond, 4.50%, 1/11/26	RSD	2,759,650	$	31,480,255
Serbia Treasury Bond, 4.50%, 8/20/32	RSD	600,880		6,895,645
Serbia Treasury Bond, 5.75%, 7/21/23	RSD	1,709,000		19,358,622
Serbia Treasury Bond, 5.875%, 2/8/28	RSD	7,189,920		89,686,349
Total Serbia			$	147,420,871
Suriname — 0.5%
Republic of Suriname, 9.25%, 10/26/26(2)	USD	26,286	$	17,262,016
Total Suriname			$	17,262,016
Thailand — 2.7%
Thailand Government Bond, 1.25%, 3/12/28(2)(3)	THB	2,466,328	$	83,047,468
Thailand Government Bond, 2.875%, 6/17/46	THB	112,400		4,480,138
Total Thailand			$	87,527,606
Ukraine — 7.5%
Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(2)(4)(6)	USD	16,642	$	18,844,069
Ukraine Government International Bond, 9.79%, 5/26/27	UAH	25,000		780,981
Ukraine Government International Bond, 10.00%, 8/23/23	UAH	696,196		23,619,433
Ukraine Government International Bond, 11.67%, 11/22/23	UAH	693,998		24,317,315
Ukraine Government International Bond, 15.84%, 2/26/25	UAH	4,481,371		176,702,705
Total Ukraine			$	244,264,503
Uruguay — 0.9%
Republic of Uruguay, 3.875%, 7/2/40(3)	UYU	846,807	$	23,611,348
Republic of Uruguay, 9.875%, 6/20/22(2)	UYU	272,785		6,740,020
Total Uruguay			$	30,351,368
Uzbekistan — 0.1%
Republic of Uzbekistan, 14.50%, 11/25/23(2)	UZS	23,580,000	$	2,239,226
Total Uzbekistan			$	2,239,226

4

Security	Principal Amount (000’s omitted)		Value
Zambia — 0.2%
Republic of Zambia, 5.375%, 9/20/22(2)	USD	7,429	$	3,843,193
Republic of Zambia, 8.50%, 4/14/24(2)	USD	1,344		722,464
Republic of Zambia, 8.97%, 7/30/27(2)	USD	1,345		709,521
Total Zambia			$	5,275,178
Total Foreign Government Bonds (identified cost $1,346,478,060)			$	1,445,855,594
Foreign Corporate Bonds — 3.5%
Security	Principal Amount (000’s omitted)		Value
Argentina — 0.2%
YPF S.A., 6.95%, 7/21/27(2)	USD	992	$	611,409
YPF S.A., 8.50%, 3/23/21(2)	USD	3,500		3,233,475
YPF S.A., 8.50%, 3/23/25(2)	USD	2,083		1,713,267
YPF S.A., 8.50%, 7/28/25(2)	USD	528		357,562
Total Argentina			$	5,915,713
Armenia — 0.3%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(2)	USD	8,832	$	8,787,840
Total Armenia			$	8,787,840
Belarus — 0.1%
Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(2)	USD	2,019	$	2,190,615
Total Belarus			$	2,190,615
Brazil — 0.2%
Amaggi Luxembourg International S.a.r.l., 5.25%, 1/28/28(2)	USD	2,110	$	2,128,463
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(2)	USD	3,370		3,243,192
Total Brazil			$	5,371,655
Bulgaria — 0.3%
Eurohold Bulgaria AD, 6.50%, 12/7/22(2)	EUR	9,200	$	10,640,233
Total Bulgaria			$	10,640,233
Georgia — 0.2%
Georgia Capital JSC, 6.125%, 3/9/24(2)	USD	5,296	$	5,389,739
Silknet JSC, 11.00%, 4/2/24(2)	USD	2,470		2,697,611
Total Georgia			$	8,087,350

5

Security	Principal Amount (000’s omitted)		Value
Greece — 0.2%
Ellaktor Value PLC, 6.375%, 12/15/24(2)	EUR	4,445	$	5,017,279
Total Greece			$	5,017,279
Iceland — 0.6%
Arion Banki HF, 6.00%, 4/12/24(2)	ISK	1,000,000	$	8,605,745
Islandsbanki HF, 6.40%, 10/26/23	ISK	860,000		7,392,249
Landsbankinn HF, 5.00%, 11/23/23(2)	ISK	560,000		4,645,081
WOW Air HF, 0.00%(5)(7)(8)	EUR	79		0
WOW Air HF, 0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(5)(7)	EUR	3,600		0
Total Iceland			$	20,643,075
India — 0.0%(1)
Reliance Communications, Ltd., 6.50%, 11/6/20(2)(5)	USD	1,800	$	166,500
Total India			$	166,500
Indonesia — 0.3%
Alam Sutera Realty Tbk PT, 6.00%, (6.00% cash or 6.25% PIK), 5/2/24(9)	USD	1,675	$	1,285,575
Alam Sutera Realty Tbk PT, 6.25%, (6.25% cash or 6.50% PIK), 11/2/25(2)(9)	USD	5,025		3,655,360
Bayan Resources Tbk PT, 6.125%, 1/24/23(2)	USD	5,385		5,523,407
Total Indonesia			$	10,464,342
Mexico — 0.1%
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(2)	USD	781	$	583,317
Petroleos Mexicanos, 6.75%, 9/21/47	USD	3,700		3,238,018
Total Mexico			$	3,821,335
Moldova — 0.4%
Aragvi Finance International DAC, 12.00%, 4/9/24(2)	USD	11,426	$	12,597,165
Total Moldova			$	12,597,165
Paraguay — 0.2%
Banco Continental SAE, 2.75%, 12/10/25(2)	USD	561	$	558,195
Frigorifico Concepcion S.A., 10.25%, 1/29/25(2)	USD	4,725		4,632,863
Total Paraguay			$	5,191,058

6

Security	Principal Amount (000’s omitted)		Value
Uzbekistan — 0.4%
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(2)	UZS	143,000,000	$	13,507,484
Total Uzbekistan			$	13,507,484
Total Foreign Corporate Bonds (identified cost $116,577,066)			$	112,401,644
Senior Floating-Rate Loans — 0.0%(1)
Borrower/Tranche Description	Principal Amount (000’s omitted)		Value
Argentina — 0.0%(1)
Desarrolladora Energética S.A., Term Loan, 9.50%, Maturing July 18, 2020(5)(7)(10)	$	1,825	$	967,250
Total Argentina			$	967,250
Total Senior Floating-Rate Loans (identified cost $1,825,000)			$	967,250
Sovereign Loans — 2.2%
Borrower	Principal Amount (000’s omitted)		Value
Ethiopia — 0.1%
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 4.06%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(11)(12)	$	3,467	$	3,463,144
Total Ethiopia			$	3,463,144
Kenya — 0.5%
Government of Kenya, Term Loan, 6.71%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(11)	$	15,674	$	15,806,615
Government of Kenya, Term Loan, 6.95%, (6 mo. USD LIBOR + 6.70%), Maturing October 24, 2024(11)		2,323		2,343,565
Total Kenya			$	18,150,180
Macedonia — 0.2%
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing December 16, 2022(11)(12)	EUR	4,400	$	5,336,724
Total Macedonia			$	5,336,724

7

Borrower	Principal Amount (000’s omitted)		Value
Nigeria — 0.6%
Bank of Industry Limited, Term Loan, 6.22%, (3 mo. USD LIBOR + 6.00%), Maturing December 14, 2023(11)(12)	$	19,000	$	19,216,315
Total Nigeria			$	19,216,315
Tanzania — 0.8%
Government of the United Republic of Tanzania, Term Loan, 5.46%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(11)	$	25,346	$	25,615,722
Total Tanzania			$	25,615,722
Total Sovereign Loans (identified cost $70,515,131)			$	71,782,085
Loan Participation Notes — 1.5%
Security	Principal Amount (000’s omitted)		Value
Uzbekistan — 1.5%
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(2)(7)(13)	UZS	235,761,000	$	23,111,144
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(2)(7)(13)	UZS	248,781,000		24,270,515
Total Uzbekistan			$	47,381,659
Total Loan Participation Notes (identified cost $48,336,669)			$	47,381,659
Debt Obligations - United States — 4.0%
Asset-Backed Securities — 0.5%
Security	Principal Amount		Value
Pnmac Gmsr Issuer Trust
Series 2018-GT1, Class A, 2.98%, (1 mo. USD LIBOR + 2.85%), 2/25/23(4)(11)	$	9,000,000	$	8,925,208
Series 2018-GT2, Class A, 2.78%, (1 mo. USD LIBOR + 2.65%), 8/25/25(4)(11)		8,064,000		7,919,988
Total Asset-Backed Securities (identified cost $17,064,000)			$	16,845,196

8

Collateralized Mortgage Obligations — 0.5%

Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
Series 4, Class D, 8.00%, 12/25/22	$	11,263	$	11,803
Series 1548, Class Z, 7.00%, 7/15/23		18,311		19,508
Series 1650, Class K, 6.50%, 1/15/24		126,316		135,310
Series 1817, Class Z, 6.50%, 2/15/26		28,533		31,343
Series 1927, Class ZA, 6.50%, 1/15/27		99,893		110,939
Series 2344, Class ZD, 6.50%, 8/15/31		300,691		351,681
Series 2458, Class ZB, 7.00%, 6/15/32		579,879		693,115
Interest Only:(14)
Series 4791, Class JI, 4.00%, 5/15/48		11,485,302		1,465,407
			$	2,819,106
Federal National Mortgage Association:
Series G48, Class Z, 7.10%, 12/25/21	$	20,414	$	20,787
Series G92-60, Class Z, 7.00%, 10/25/22		54,316		56,230
Series G93-1, Class K, 6.675%, 1/25/23		59,881		62,266
Series G94-7, Class PJ, 7.50%, 5/17/24		116,097		125,028
Series 1992-180, Class F, 1.280%, (1 mo. USD LIBOR + 1.15%), 10/25/22(11)		60,673		61,029
Series 1993-16, Class Z, 7.50%, 2/25/23		56,546		59,621
Series 1993-79, Class PL, 7.00%, 6/25/23		31,956		34,056
Series 1993-104, Class ZB, 6.50%, 7/25/23		15,310		16,096
Series 1993-121, Class Z, 7.00%, 7/25/23		251,866		268,394
Series 1993-141, Class Z, 7.00%, 8/25/23		56,667		60,480
Series 1994-42, Class ZQ, 7.00%, 4/25/24		420,970		455,909
Series 1994-79, Class Z, 7.00%, 4/25/24		72,185		77,502
Series 1994-89, Class ZQ, 8.00%, 7/25/24		83,734		92,889
Series 1996-35, Class Z, 7.00%, 7/25/26		26,762		29,788
Series 1998-16, Class H, 7.00%, 4/18/28		112,194		128,819
Series 1998-44, Class ZA, 6.50%, 7/20/28		197,403		224,696
Series 1999-25, Class Z, 6.00%, 6/25/29		210,394		238,919
Series 2000-2, Class ZE, 7.50%, 2/25/30		49,200		56,905
Series 2000-49, Class A, 8.00%, 3/18/27		147,026		164,167
Series 2001-31, Class ZA, 6.00%, 7/25/31		1,747,983		1,988,911
Series 2001-74, Class QE, 6.00%, 12/25/31		446,541		514,222
Series 2009-48, Class WA, 5.849%, 7/25/39(15)		2,174,383		2,447,303
Series 2011-38, Class SA, 13.11%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(11)(16)		2,746,935		3,762,259
Interest Only:(14)
Series 424, Class C8, 3.50%, 2/25/48		12,475,525		1,212,347
Series 2018-21, Class IO, 3.00%, 4/25/48		11,567,359		1,290,914
Series 2018-58, Class BI, 4.00%, 8/25/48		1,800,247		213,340
			$	13,662,877
Government National Mortgage Association:
Series 2001-35, Class K, 6.45%, 10/26/23	$	24,843	$	26,388
			$	26,388
Total Collateralized Mortgage Obligations (identified cost $24,572,256)			$	16,508,371

9

Mortgage Pass-Throughs — 2.2%

Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
2.792%, (COF + 1.25%), with maturity at 2035(17)	$	988,150	$	1,014,805
2.845%, (1 yr. CMT + 2.31%), with maturity at 2036(17)		793,186		835,299
3.347%, (COF + 2.39%), with maturity at 2023(17)		9,069		9,143
4.03%, (COF + 1.25%), with maturity at 2029(17)		8,687		9,186
4.379%, (COF + 1.25%), with maturity at 2030(17)		201,425		214,287
4.50%, with maturity at 2035		170,633		187,662
6.00%, with various maturities to 2035		4,658,323		5,380,365
6.50%, with various maturities to 2032		5,217,070		6,035,891
6.60%, with maturity at 2030		507,834		584,309
7.00%, with various maturities to 2036		7,257,137		8,355,536
7.31%, with maturity at 2026		15,339		16,644
7.50%, with various maturities to 2035		3,012,713		3,379,382
7.95%, with maturity at 2022		13,811		14,291
8.00%, with various maturities to 2030		687,769		742,823
8.50%, with maturity at 2025		24,554		24,559
9.00%, with various maturities to 2027		54,707		58,886
9.50%, with maturity at 2027		31,706		35,025
			$	26,898,093
Federal National Mortgage Association:
1.712%, (COF + 1.25%), with maturity at 2027(17)	$	61,635	$	62,184
1.753%, (COF + 1.25%), with various maturities to 2033(17)		1,225,582		1,237,493
1.866%, (COF + 1.40%), with maturity at 2025(17)		234,807		236,537
2.066%, (COF + 1.60%), with maturity at 2024(17)		93,173		93,938
2.508%, (1 yr. CMT + 2.15%), with maturity at 2028(17)		86,620		89,255
3.329%, (COF + 1.25%), with maturity at 2034(17)		404,776		421,340
3.375%, (COF + 1.25%), with maturity at 2035(17)		1,064,550		1,096,567
3.901%, (COF + 1.78%), with maturity at 2035(17)		1,698,540		1,793,484
6.00%, with various maturities to 2035		15,600,735		18,206,189
6.332%, (COF + 2.00%, Floor 6.332%), with maturity at 2032(17)		434,743		481,810
6.50%, with various maturities to 2038		6,235,008		7,120,825
7.00%, with various maturities to 2035		10,288,015		11,966,953
7.50%, with various maturities to 2027		42,684		45,214
7.707%, (1 yr. CMT + 2.15%), with maturity at 2025(17)		13,168		13,919
8.00%, with maturity at 2026		6,021		6,254
8.50%, with various maturities to 2037		1,231,344		1,436,283
9.00%, with various maturities to 2032		144,440		160,167
9.285%, with maturity at 2028		114		118
9.50%, with various maturities to 2031		47,512		51,963
9.535%, with maturity at 2027		1,153		1,263
10.50%, with maturity at 2029		23,633		27,802
11.50%, with maturity at 2031		100,366		120,599
			$	44,670,157
Government National Mortgage Association:
2.125%, (1 yr. CMT + 1.50%), with maturity at 2024(17)	$	94,809	$	96,495
6.50%, with various maturities to 2032		253,777		285,978
7.00%, with various maturities to 2031		476,341		537,316
7.50%, with various maturities to 2028		67,828		74,574

10

Security	Principal Amount		Value
8.00%, with various maturities to 2023	$	29,903	$	31,473
9.00%, with maturity at 2025		8,956		9,534
9.50%, with maturity at 2021		198		200
			$	1,035,570
Total Mortgage Pass-Throughs (identified cost $68,008,783)			$	72,603,820
U.S. Treasury Obligations — 0.1%
Security	Principal Amount		Value
U.S. Treasury Bond, 7.875%, 2/15/21	$	1,500,000	$	1,504,452
Total U.S. Treasury Obligations (identified cost $1,501,199)			$	1,504,452
U.S. Government Guaranteed Small Business Administration Loans (18)(19) — 0.7%
Security	Principal Amount (000’s omitted)		Value
1.11%, 9/15/42	$	1,645	$	65,601
1.41%, 9/15/42		1,101		56,957
1.61%, 9/15/42		1,851		116,930
1.66%, 8/15/42 to 4/15/43		7,122		423,424
1.91%, 8/15/42 to 4/15/43		13,080		901,490
1.93%, 3/15/41 to 5/15/42		2,091		139,170
1.96%, 9/15/42		2,882		191,955
2.03%, 8/15/32		771		54,750
2.11%, 8/15/42 to 9/15/42		5,935		454,749
2.16%, 2/15/42 to 4/15/43		15,979		1,267,015
2.21%, 9/15/42		2,590		201,365
2.28%, 3/15/43		2,720		260,578
2.36%, 9/15/42		1,938		167,700
2.38%, 2/15/41		647		46,546
2.39%, 7/15/39		993		73,559
2.41%, 7/15/42 to 4/15/43		22,108		2,013,163
2.46%, 3/15/28 to 4/15/43		9,792		833,050
2.53%, 6/15/36		841		67,843
2.56%, 5/15/37		1,352		106,653
2.61%, 9/15/42		2,852		283,631
2.63%, 11/15/36		603		48,650
2.66%, 4/15/43		8,028		828,019
2.71%, 7/15/27 to 9/15/42		9,239		852,167
2.73%, 10/4/23 to 8/25/42(20)		16,147		1,327,368
2.91%, 10/15/42 to 4/15/43		16,093		1,841,218
2.93%, 4/15/42		925		108,593
2.96%, 7/15/27 to 2/15/43		7,728		649,511
2.98%, 7/15/43		1,194		138,377
2.99%, 2/15/29		833		52,409

11

Security	Principal Amount (000’s omitted)		Value
3.16%, 9/15/42 to 4/15/43	$	6,298	$	838,654
3.21%, 6/15/27 to 3/15/43		7,648		871,785
3.36%, 12/28/26 to 8/17/42(20)		30,880		2,532,721
3.41%, 3/15/43 to 4/15/43		7,593		982,020
3.46%, 3/15/27 to 9/15/42		4,630		534,251
3.66%, 1/15/43 to 6/15/43		8,663		1,319,368
3.69%, 3/15/43		1,333		230,326
3.71%, 3/15/28 to 10/15/42		9,752		1,040,252
3.78%, 5/15/27 to 9/15/42		3,982		514,501
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $24,210,987)			$	22,436,319
Total Debt Obligations - United States (identified cost $135,357,225)			$	129,898,158
Common Stocks — 2.7%
Security	Shares		Value
Argentina — 0.2%
Empresa Distribuidora Y Comercializadora Norte ADR(21)		36,031	$	122,145
IRSA Inversiones y Representaciones S.A. ADR(21)		301,081		1,261,529
IRSA Propiedades Comerciales S.A. ADR		1,341		12,324
Loma Negra Cia Industrial Argentina S.A. ADR		225,800		1,158,354
Pampa Energia S.A. ADR(21)		89,700		1,131,117
Telecom Argentina S.A. ADR		143,100		927,288
Transportadora de Gas del Sur S.A. ADR(21)		220,600		1,107,412
YPF S.A. ADR(21)		298,100		1,088,065
Total Argentina			$	6,808,234
Colombia — 0.3%
Bancolombia S.A.		136,302	$	1,168,628
Bancolombia S.A., PFC Shares		237,970		2,101,654
Cementos Argos S.A.		250,370		409,683
Corp. Financiera Colombiana S.A.(21)		46,640		421,053
Ecopetrol S.A.		2,723,210		1,548,924
Grupo Argos S.A.		164,930		614,616
Grupo de Inversiones Suramericana S.A.		134,870		857,816
Interconexion Electrica S.A.		259,030		1,673,641
Total Colombia			$	8,796,015
Cyprus — 0.1%
Bank of Cyprus Holdings PLC(21)		4,401,002	$	4,094,308
Total Cyprus			$	4,094,308
Georgia — 0.1%
Georgia Capital PLC(21)		776,696	$	5,353,064
Total Georgia			$	5,353,064
Greece — 0.3%
Alpha Bank AE(21)		1,247,900	$	1,129,040
Eurobank Ergasias Services and Holdings S.A.(21)		2,679,600		1,769,879
Hellenic Telecommunications Organization S.A.		86,871		1,262,725

12

Security	Shares		Value
JUMBO S.A.		67,891	$	1,063,510
National Bank of Greece S.A.(21)		776,900		1,823,208
OPAP S.A.		122,204		1,496,043
Piraeus Financial Holdings S.A.(21)		716,900		776,425
Total Greece			$	9,320,830
Iceland — 0.5%
Arion Banki HF(4)(21)		5,194,553	$	3,852,428
Eik Fasteignafelag HF(21)		19,600,022		1,455,183
Eimskipafelag Islands HF(21)		1,228,725		2,468,582
Hagar HF(21)		5,204,459		2,302,932
Reginn HF(21)		7,280,590		1,256,422
Reitir Fasteignafelag HF		2,964,531		1,646,722
Siminn HF		32,564,621		2,141,932
Total Iceland			$	15,124,201
Mexico — 0.0%(1)
Vista Oil & Gas SAB de CV ADR(21)		477,800	$	1,189,722
Total Mexico			$	1,189,722
Serbia — 0.1%
Komercijalna Banka AD Beograd(21)		84,003	$	2,586,591
Total Serbia			$	2,586,591
Singapore — 0.3%
Yoma Strategic Holdings, Ltd.(21)		43,974,000	$	9,085,477
Total Singapore			$	9,085,477
Vietnam — 0.8%
Bank for Foreign Trade of Vietnam JSC		539,910	$	2,168,884
Bank for Investment and Development of Vietnam JSC		468,816		807,725
Binh Minh Plastics JSC		39,120		100,810
Coteccons Construction JSC		133,000		424,800
FPT Corp.		503,306		1,464,979
Hoa Phat Group JSC		953,288		1,611,699
KIDO Group Corp.		24,450		41,470
Masan Group Corp.		429,280		1,585,909
Military Commercial Joint Stock Bank(21)		2,163,261		2,192,012
PetroVietnam Nhon Trach 2 Power JSC		485,400		492,597
Phu Nhuan Jewelry JSC		532,630		2,054,747
Refrigeration Electrical Engineering Corp.		807,810		1,912,543
SSI Securities Corp.		775,425		963,491
Viet Capital Securities JSC		448,200		949,171
Vietnam Dairy Products JSC		474,081		2,107,684
Vietnam Prosperity JSC Bank(21)		1,581,255		2,202,190
Vietnam Technological & Commercial Joint Stock Bank(21)		781,800		1,161,388
Vingroup JSC(21)		632,834		2,720,063
Total Vietnam			$	24,962,162
Total Common Stocks (identified cost $102,581,877)			$	87,320,604

13

Reinsurance Side Cars — 0.2%
Security	Principal Amount/ Shares		Value
Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(4)(7)(22)	$	3,500,000	$	3,500,000
Mt. Logan Re Ltd., Series A-1(7)(21)(22)(23)		4,400		4,421,454
Total Reinsurance Side Cars (identified cost $7,900,000)			$	7,921,454
Short-Term Investments — 34.7%
Foreign Government Securities — 7.6%
Security	Principal Amount (000’s omitted)		Value
Egypt — 6.9%
Egypt Treasury Bill, 0.00%, 2/2/21	EGP	44,050	$	2,803,947
Egypt Treasury Bill, 0.00%, 2/16/21	EGP	534,050		33,876,343
Egypt Treasury Bill, 0.00%, 3/2/21	EGP	29,850		1,889,764
Egypt Treasury Bill, 0.00%, 3/23/21	EGP	45,250		2,851,644
Egypt Treasury Bill, 0.00%, 3/30/21	EGP	184,700		11,623,847
Egypt Treasury Bill, 0.00%, 4/6/21	EGP	208,975		13,141,247
Egypt Treasury Bill, 0.00%, 5/4/21	EGP	296,500		18,337,521
Egypt Treasury Bill, 0.00%, 5/18/21	EGP	547,750		33,714,367
Egypt Treasury Bill, 0.00%, 5/25/21	EGP	185,675		11,369,905
Egypt Treasury Bill, 0.00%, 6/8/21	EGP	45,100		2,748,574
Egypt Treasury Bill, 0.00%, 6/15/21	EGP	157,275		9,592,887
Egypt Treasury Bill, 0.00%, 6/29/21	EGP	295,900		17,949,686
Egypt Treasury Bill, 0.00%, 7/6/21	EGP	406,925		24,642,072
Egypt Treasury Bill, 0.00%, 7/13/21	EGP	369,875		22,344,803
Egypt Treasury Bill, 0.00%, 9/28/21	EGP	92,950		5,467,295
Egypt Treasury Bill, 0.00%, 10/12/21	EGP	194,675		11,399,066
Total Egypt			$	223,752,968
Georgia — 0.4%
Georgia Treasury Bill, 0.00%, 2/11/21	GEL	11,447	$	3,459,311
Georgia Treasury Bill, 0.00%, 4/8/21	GEL	843		251,703
Georgia Treasury Bill, 0.00%, 5/13/21	GEL	18,000		5,330,832
Georgia Treasury Bill, 0.00%, 6/3/21	GEL	1,632		480,613
Georgia Treasury Bill, 0.00%, 7/15/21	GEL	7,000		2,046,646
Georgia Treasury Bill, 0.00%, 10/14/21	GEL	3,340		957,595
Georgia Treasury Bill, 0.00%, 11/11/21	GEL	5,492		1,568,370
Georgia Treasury Bill, 0.00%, 12/9/21	GEL	946		268,168
Total Georgia			$	14,363,238
Uruguay — 0.3%
Uruguay Monetary Regulation Bill, 0.00%, 12/3/21	UYU	358,185	$	8,002,081
Total Uruguay			$	8,002,081
Total Foreign Government Securities (identified cost $245,190,411)			$	246,118,287

14

U.S. Treasury Obligations — 6.3%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 2/4/21(24)	$	28,840	$	28,839,931
U.S. Treasury Bill, 0.00%, 2/11/21(24)		26,060		26,059,765
U.S. Treasury Bill, 0.00%, 2/18/21(24)		150,000		149,998,051
Total U.S. Treasury Obligations (identified cost $204,894,403)			$	204,897,747
Repurchase Agreements — 0.5%
Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC:
Dated 1/26/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by USD 1,456,000 Costa Rica Government International Bond 4.25%, due 1/26/23 and a market value, including accrued interest, of $1,442,314(25)	USD	1,408	$	1,408,488
Dated 1/26/21 with an interest rate of 0.30% payable by the Portfolio, collateralized by USD 1,300,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $1,290,515(25)	USD	1,297		1,296,962
Dated 1/26/21 with an interest rate of 0.35% payable by the Portfolio, collateralized by USD 3,037,000 Costa Rica Government International Bond 4.25%, due 1/26/23 and a market value, including accrued interest, of $3,008,453(25)	USD	2,938		2,937,897
Dated 1/26/21 with an interest rate of 0.50% payable by the Portfolio, collateralized by USD 1,800,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $1,786,867(25)	USD	1,796		1,795,793
Dated 1/26/21 with an interest rate of 0.75% payable by the Portfolio, collateralized by USD 2,402,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $2,384,475(25)	USD	2,396		2,396,386
JPMorgan Chase Bank, N.A.:
Dated 1/4/21 with an interest rate of 0.35% payable by the Portfolio, collateralized by USD 1,367,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $1,357,026 (25)	USD	1,260		1,260,093
Dated 1/11/21 with an interest rate of 0.35% payable by the Portfolio, collateralized by USD 800,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $794,163(25)	USD	797		797,052
Dated 1/14/21 with an interest rate of 0.40% payable by the Portfolio, collateralized by USD 1,520,000 Costa Rica Government International Bond 4.25%, due 1/26/23 and a market value, including accrued interest, of $1,505,712(25)	USD	1,561		1,560,766
Nomura International PLC:
Dated 1/12/21 with an interest rate of 0.50% payable by the Portfolio, collateralized by USD 3,300,000 Costa Rica Government International Bond 4.375%, due 4/30/25 and a market value, including accrued interest, of $3,275,923(25)	USD	3,262		3,262,412
Total Repurchase Agreements (identified cost $16,715,849)			$	16,715,849

15

Other — 20.3%
Description	Units			Value
Eaton Vance Cash Reserves Fund, LLC, 0.11%(26)		659,660,357		$	659,660,357
Total Other (identified cost $659,660,357)				$	659,660,357
Total Short-Term Investments (identified cost $1,126,461,020)				$	1,127,392,240
Total Purchased Options and Swaptions — 0.1% (identified cost $2,987,070)				$	3,142,221
Total Investments — 93.4% (identified cost $2,959,019,118)				$	3,034,062,909
Securities Sold Short — (0.9)%
Foreign Government Bonds — (0.5)%
Security	Principal Amount (000’s omitted)			Value
Costa Rica — (0.5)%
Costa Rica Government International Bond, 4.25%, 1/26/23(2)	USD	(6,013	)	$	(5,952,930	)
Costa Rica Government International Bond, 4.375%, 4/30/25(2)	USD	(10,969	)		(10,767,664	)
Total Costa Rica				$	(16,720,594	)
Total Foreign Government Bonds (proceeds $16,068,234)				$	(16,720,594	)
Common Stocks — (0.4)%
Security	Shares			Value
Ashmore Group PLC		(1,867,300	)	$	(11,505,427	)
Total Common Stocks (proceeds $12,025,557)				$	(11,505,427	)
Total Securities Sold Short (proceeds $28,093,791)				$	(28,226,021	)
Other Assets, Less Liabilities — 7.5%				$	241,567,374
Net Assets — 100.0%				$	3,247,404,262

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

(1) Amount is less than 0.05%.

16

(2) Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At January 31, 2021, the aggregate value of these securities is $860,451,869 or 26.5% of the Portfolio’s net assets.

(3) 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.

(4) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2021, the aggregate value of these securities is $43,955,881 or 1.4% of the Portfolio’s net assets.

(5) 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.

(6) 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.

(7) For fair value measurement disclosure purposes, security is categorized as Level 3.

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

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

(10) Fixed-rate loan.

(11) Variable rate security. The stated interest rate represents the rate in effect at January 31, 2021.

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

(13) Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower.

(14) 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.

(15) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2021.

(16) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2021.

(17) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2021.

(18) 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.

(19) 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.

(20) The stated interest rate represents the weighted average fixed interest rate at January 31, 2021 of all interest only securities comprising the certificate.

(21) Non-income producing security.

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

17

(23) Restricted security.

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

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

(26) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2021.

Purchased Interest Rate Swaptions — 0.0%⁽¹⁾

Description	Counterparty		Notional Amount		Expiration Date		Value
Option to enter into interest rate swap expiring 12/15/26 to pay 3-month ZAR-JIBAR and receive 5.73%	JPMorgan Chase Bank, N.A.	ZAR		161,720,000		12/15/21	$	235,830
Option to enter into interest rate swap expiring 1/7/27 to pay 3-month ZAR-JIBAR and receive 5.70%	Bank of America, N.A.	ZAR		198,570,000		1/7/22		270,662
Option to enter into interest rate swap expiring 1/10/27 to pay 3-month ZAR-JIBAR and receive 5.70%	Bank of America, N.A.	ZAR		99,280,000		1/10/22		134,750
Option to enter into interest rate swap expiring 1/12/27 to pay 3-month ZAR-JIBAR and receive 5.70%	JPMorgan Chase Bank, N.A.	ZAR		390,910,000		1/12/22		529,034
Option to enter into interest rate swap expiring 1/17/27 to pay 3-month ZAR-JIBAR and receive 5.73%	JPMorgan Chase Bank, N.A.	ZAR		109,162,000		1/17/22		151,924
Option to enter into interest rate swap expiring 1/27/27 to pay 3-month ZAR-JIBAR and receive 5.74%	Bank of America, N.A.	ZAR		176,282,000		1/27/22		244,608
Total							$	1,566,808

Purchased Call Options — 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	$	1,078,336
2-year 10 Constant Maturity Swap Curve Cap	Bank of America, N.A.	USD		304,600,000		1.09			1/4/23		497,077
Total										$	1,575,413

18

Centrally Cleared Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold			Settlement Date		Value/ Unrealized Appreciation (Depreciation)
BRL	5,746,000		USD	1,049,325		2/2/21	$	864
BRL	68,248,162		USD	12,463,369		2/2/21		10,251
BRL	73,994,162		USD	13,657,099		2/2/21		(133,291	)
EUR	1,978,100		USD	2,403,194		2/2/21		(2,671	)
EUR	15,207,097		USD	18,475,102		2/2/21		(20,537	)
EUR	14,800,000		USD	17,992,831		2/2/21		(32,298	)
EUR	553,637,306		USD	672,613,974		2/2/21		(747,685	)
USD	1,082,272		BRL	5,746,000		2/2/21		32,084
USD	13,302,641		BRL	68,248,162		2/2/21		829,021
USD	13,512,694		BRL	73,994,162		2/2/21		(11,114	)
USD	677,844,678		EUR	553,637,306		2/2/21		5,978,390
USD	18,487,808		EUR	15,207,097		2/2/21		33,242
USD	17,980,520		EUR	14,800,000		2/2/21		19,987
USD	2,404,846		EUR	1,978,100		2/2/21		4,324
COP	2,805,800,000		USD	719,582		2/4/21		66,530
PEN	22,845,000		USD	6,319,152		2/4/21		(39,159	)
PEN	22,845,000		USD	6,320,376		2/4/21		(40,383	)
PEN	116,162,563		USD	32,114,656		2/4/21		(182,062	)
USD	32,153,947		PEN	116,162,563		2/4/21		221,353
USD	6,318,453		PEN	22,845,000		2/4/21		38,460
USD	6,318,453		PEN	22,845,000		2/4/21		38,460
USD	282,959		NZD	394,335		2/5/21		(409	)
USD	11,297,089		NZD	15,743,755		2/5/21		(16,327	)
INR	237,555,066		USD	3,202,846		2/8/21		53,194
INR	237,555,066		USD	3,202,846		2/8/21		53,194
PHP	7,558,338		USD	156,991		2/8/21		270
USD	6,156,022		INR	457,515,586		2/8/21		(114,898	)
USD	6,156,022		INR	457,515,586		2/8/21		(114,898	)
USD	149,829		INR	11,135,414		2/8/21		(2,798	)
USD	149,829		INR	11,135,414		2/8/21		(2,798	)
USD	43,520,495		PHP	2,095,294,228		2/8/21		(74,768	)
AUD	49,225,560		USD	36,002,196		2/16/21		1,621,402
NZD	63,249,871		USD	43,460,251		2/16/21		1,990,827
NZD	9,172,922		USD	6,504,336		2/16/21		87,286
USD	3,382,728		AUD	4,635,480		2/16/21		(160,217	)
USD	37,171,340		AUD	51,050,227		2/16/21		(1,846,870	)
USD	17,697,541		NZD	24,958,454		2/16/21		(237,495	)
USD	5,286,335		NZD	7,693,467		2/16/21		(242,156	)
USD	39,393,277		NZD	57,331,000		2/16/21		(1,804,527	)
USD	1,462,207		IDR	20,754,560,000		2/22/21		(13,301	)
USD	10,149,184		IDR	144,057,515,000		2/22/21		(92,321	)
USD	10,299,667		IDR	146,275,875,791		2/22/21		(99,548	)
USD	24,680,896		IDR	352,690,000,000		2/23/21		(390,068	)
GBP	7,567,574		USD	10,076,679		2/25/21		293,202
GBP	5,307,000		USD	7,066,589		2/25/21		205,617
JPY	3,168,861,659		USD	30,558,561		2/25/21		(299,298	)
USD	15,434,108		ZAR	229,227,366		2/25/21		328,914
USD	1,788,429		ZAR	26,561,745		2/25/21		38,113
USD	1,788,429		ZAR	26,561,745		2/25/21		38,113

19

Currency Purchased		Currency Sold		Settlement Date			Value/ Unrealized Appreciation (Depreciation)
USD	109,793	PHP	5,284,000		2/26/21		$	(64	)
EUR	14,800,000	USD	17,990,986		3/2/21			(19,501	)
NZD	4,150,996	USD	2,914,456		3/2/21			68,487
NZD	1,100,663	USD	787,530		3/2/21			3,416
NZD	13,219,308	USD	9,505,344		3/2/21			(5,831	)
NZD	6,155,287	USD	4,449,780		3/2/21			(26,536	)
NZD	24,175,979	USD	17,402,474		3/2/21			(29,400	)
USD	13,647,653	BRL	73,994,162		3/2/21			134,589
USD	673,005,484	EUR	553,637,306		3/2/21			729,504
USD	18,485,856	EUR	15,207,097		3/2/21			20,038
USD	2,404,593	EUR	1,978,100		3/2/21			2,606
USD	6,542,497	NZD	9,318,336		3/2/21			(153,743	)
USD	46,728,645	NZD	66,554,593		3/2/21			(1,098,079	)
NOK	157,860,700	USD	17,813,616		3/3/21			616,387
JPY	1,857,760,629	USD	17,811,473		3/8/21			(69,759	)
INR	231,095,934	USD	3,107,924		3/9/21			46,222
INR	231,095,934	USD	3,107,924		3/9/21			46,222
CAD	4,283,621	USD	3,348,960		3/17/21			1,273
COP	9,423,131,500	USD	2,709,948		3/17/21			(73,793	)
COP	12,228,931,500	USD	3,516,853		3/17/21			(95,766	)
COP	29,192,113,994	USD	8,421,045		3/17/21	��		(254,447	)
MXN	70,704,000	USD	3,546,976		3/17/21			(113,561	)
MXN	70,704,000	USD	3,546,976		3/17/21			(113,561	)
MXN	103,308,000	USD	5,182,606		3/17/21			(165,928	)
USD	16,765,286	CLP	12,364,700,000		3/17/21			(70,630	)
USD	473,910	COP	1,632,014,800		3/17/21			17,348
USD	473,910	COP	1,632,014,800		3/17/21			17,348
USD	3,056,891	COP	10,596,916,700		3/17/21			92,366
USD	3,056,891	COP	10,596,916,700		3/17/21			92,366
USD	1,511,760	COP	5,289,209,472		3/17/21			32,085
USD	5,182,606	MXN	103,308,000		3/17/21			165,928
USD	3,546,994	MXN	70,704,000		3/17/21			113,579
USD	3,546,994	MXN	70,704,000		3/17/21			113,579
USD	85,745,074	ZAR	1,293,421,569		3/17/21			751,792
ZAR	54,554,000	USD	3,616,560		3/17/21			(31,709	)
ZAR	54,554,000	USD	3,616,560		3/17/21			(31,709	)
ZAR	301,980,000	USD	20,019,225		3/17/21			(175,524	)
IDR	46,357,618,000	USD	3,256,137		3/22/21			29,403
IDR	46,357,618,000	USD	3,256,137		3/22/21			29,403
USD	170,903	IDR	2,448,356,849		3/22/21			(2,621	)
USD	170,903	IDR	2,448,356,849		3/22/21			(2,621	)
AUD	65,822,527	USD	50,735,675		3/29/21			(414,772	)
NZD	12,274,760	USD	8,813,781		3/29/21			6,889
USD	109,760,572	AUD	142,399,175		3/29/21			897,310
USD	3,058,600	IDR	43,909,261,151		3/29/21			(51,055	)
USD	3,058,600	IDR	43,909,261,151		3/29/21			(51,055	)
USD	17,722,688	NZD	24,682,000		3/29/21			(13,852	)

20

Currency Purchased		Currency Sold		Settlement Date		Value/ Unrealized Appreciation (Depreciation)
JPY	324,104,073	USD	3,147,913		4/6/21	$	(51,641	)
NZD	6,139,438	USD	4,378,426		4/6/21		33,373
USD	432,804	NZD	603,110		4/6/21		(591	)
USD	17,279,618	NZD	24,079,064		4/6/21		(23,595	)
NZD	30,360,937	USD	22,059,349		4/12/21		(241,916	)
USD	24,735,778	NZD	34,044,585		4/12/21		271,267
NZD	5,734,384	USD	4,122,475		4/19/21		(1,720	)
USD	19,088,029	NZD	26,551,546		4/19/21		7,963
USD	9,877,858	SGD	13,081,000		4/26/21		30,858
USD	8,512,539	SGD	11,272,943		4/26/21		26,593
USD	16,138,949	ZAR	241,572,634		4/26/21		350,563
USD	1,870,102	ZAR	27,992,255		4/26/21		40,621
USD	1,870,102	ZAR	27,992,255		4/26/21		40,621
						$	6,706,220

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	917,575	USD	1,114,653	Standard Chartered Bank		2/2/21	$	—	$	(1,131	)
MYR	12,897,087	USD	3,186,827	Credit Agricole Corporate and Investment Bank		2/2/21		3,547		—
MYR	12,897,087	USD	3,186,827	Credit Agricole Corporate and Investment Bank		2/2/21		3,547		—
MYR	13,670,913	USD	3,275,255	Morgan Stanley & Co. International PLC		2/2/21		106,542		—
MYR	13,670,913	USD	3,275,255	Morgan Stanley & Co. International PLC		2/2/21		106,542		—
MYR	26,568,000	USD	6,569,408	State Street Bank and Trust Company		2/2/21		2,763		—
MYR	26,568,000	USD	6,569,408	State Street Bank and Trust Company		2/2/21		2,763		—
USD	1,132,955	EUR	917,575	Bank of America, N.A.		2/2/21		19,432		—
USD	3,189,033	MYR	12,897,087	Credit Agricole Corporate and Investment Bank		2/2/21		—		(1,341	)
USD	3,189,033	MYR	12,897,087	Credit Agricole Corporate and Investment Bank		2/2/21		—		(1,341	)
USD	3,380,375	MYR	13,670,913	Morgan Stanley & Co. International PLC		2/2/21		—		(1,422	)
USD	3,380,375	MYR	13,670,913	Morgan Stanley & Co. International PLC		2/2/21		—		(1,422	)
USD	6,544,648	MYR	26,568,000	State Street Bank and Trust Company		2/2/21		—		(27,522	)
USD	6,544,648	MYR	26,568,000	State Street Bank and Trust Company		2/2/21		—		(27,522	)
USD	1,157,217	CRC	711,700,000	Citibank, N.A.		2/4/21		—		(4,062	)
USD	6,786,059	UAH	199,578,000	Bank of America, N.A.		2/4/21		—		(305,329	)
EUR	9,942,265	RSD	1,171,000,000	JPMorgan Chase Bank, N.A.		2/5/21		—		(15,227	)
EUR	304,513	USD	370,032	BNP Paribas		2/8/21		—		(443	)
EUR	623,292	USD	758,395	Citibank, N.A.		2/8/21		—		(1,903	)
EUR	5,027,527	USD	6,115,320	Citibank, N.A.		2/8/21		—		(13,392	)
EUR	19,513,943	USD	23,694,514	Deutsche Bank AG		2/8/21		—		(10,368	)
EUR	4,761,516	USD	5,789,860	JPMorgan Chase Bank, N.A.		2/8/21		—		(10,791	)
EUR	7,037,564	USD	8,557,558	JPMorgan Chase Bank, N.A.		2/8/21		—		(16,040	)
EUR	8,176,090	USD	9,941,823	JPMorgan Chase Bank, N.A.		2/8/21		—		(18,471	)
EUR	234,711	USD	288,015	Morgan Stanley & Co. International PLC		2/8/21		—		(3,145	)
EUR	4,931,716	USD	6,054,648	Morgan Stanley & Co. International PLC		2/8/21		—		(69,006	)
EUR	490,781	USD	604,750	Standard Chartered Bank		2/8/21		—		(9,087	)
EUR	7,425,870	USD	9,102,371	Standard Chartered Bank		2/8/21		—		(89,563	)
EUR	553,637,306	USD	682,202,961	Standard Chartered Bank		2/8/21		—		(10,251,256	)
EUR	3,174,041	USD	3,834,683	UBS AG		2/8/21		17,663		—

21

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	1,056,584	USD	1,282,155	UBS AG		2/8/21	$	225	$	—
PLN	71,083,000	EUR	15,862,698	Citibank, N.A.		2/8/21		—		(169,002	)
PLN	73,328,000	EUR	16,291,046	UBS AG		2/8/21		—		(86,176	)
TRY	39,392,000	USD	5,304,905	Standard Chartered Bank		2/8/21		63,710		—
USD	196,351,485	EUR	159,347,750	Standard Chartered Bank		2/8/21		2,950,514		—
USD	128,439,482	EUR	104,234,213	Standard Chartered Bank		2/8/21		1,930,021		—
USD	104,080,962	EUR	84,466,217	Standard Chartered Bank		2/8/21		1,563,993		—
USD	50,183,392	EUR	40,726,000	Standard Chartered Bank		2/8/21		754,091		—
USD	42,339,903	EUR	34,360,668	Standard Chartered Bank		2/8/21		636,229		—
USD	36,263,532	EUR	29,429,430	Standard Chartered Bank		2/8/21		544,921		—
USD	23,396,196	EUR	18,987,028	Standard Chartered Bank		2/8/21		351,567		—
USD	19,289,111	EUR	15,653,950	Standard Chartered Bank		2/8/21		289,852		—
USD	13,667,709	EUR	11,091,939	Standard Chartered Bank		2/8/21		205,380		—
USD	11,336,424	EUR	9,200,000	Standard Chartered Bank		2/8/21		170,349		—
USD	10,136,617	EUR	8,226,305	Standard Chartered Bank		2/8/21		152,320		—
USD	9,492,609	EUR	7,703,664	Standard Chartered Bank		2/8/21		142,643		—
USD	8,964,101	EUR	7,274,757	Standard Chartered Bank		2/8/21		134,701		—
USD	5,477,218	EUR	4,445,000	Standard Chartered Bank		2/8/21		82,304		—
USD	4,435,992	EUR	3,600,000	Standard Chartered Bank		2/8/21		66,658		—
USD	1,465,269	EUR	1,189,129	Standard Chartered Bank		2/8/21		22,018		—
USD	1,373,486	EUR	1,114,643	Standard Chartered Bank		2/8/21		20,639		—
USD	367,247	EUR	298,037	Standard Chartered Bank		2/8/21		5,519		—
USD	1,114,793	EUR	917,575	Standard Chartered Bank		2/8/21		1,128		—
USD	67,227	EUR	54,557	Standard Chartered Bank		2/8/21		1,010		—
CNH	15,897,731	USD	2,382,553	Standard Chartered Bank		2/9/21		81,982		—
CNH	15,897,731	USD	2,382,553	Standard Chartered Bank		2/9/21		81,982		—
EGP	46,036,000	USD	2,856,717	Citibank, N.A.		2/9/21		67,452		—
EGP	44,094,000	USD	2,731,970	Goldman Sachs International		2/9/21		68,845		—
EGP	46,549,000	USD	2,918,433	Goldman Sachs International		2/9/21		38,322		—
EGP	49,351,000	USD	3,096,048	HSBC Bank USA, N.A.		2/9/21		38,688		—
USD	14,320,467	CNH	95,554,178	Standard Chartered Bank		2/9/21		—		(492,756	)
USD	913,800	CRC	562,800,000	Citibank, N.A.		2/9/21		—		(4,469	)
EUR	14,769,679	RSD	1,737,726,598	HSBC Bank USA, N.A.		2/10/21		—		(1,458	)
USD	1,881,590	CRC	1,160,000,000	Citibank, N.A.		2/12/21		—		(11,012	)
OMR	2,165,000	USD	5,469,934	BNP Paribas		2/16/21		152,225		—
THB	667,748,556	USD	22,254,576	Standard Chartered Bank		2/16/21		54,648		—
USD	5,479,625	OMR	2,165,000	BNP Paribas		2/16/21		—		(142,534	)
USD	1,438,125	THB	43,395,759	Standard Chartered Bank		2/16/21		—		(11,711	)
USD	12,070,375	THB	364,226,485	Standard Chartered Bank		2/16/21		—		(98,293	)
USD	84,662,710	THB	2,540,304,604	Standard Chartered Bank		2/16/21		—		(207,898	)
USD	14,631,142	UAH	422,840,000	BNP Paribas		2/16/21		—		(349,284	)
USD	10,050,397	UAH	291,160,000	Citibank, N.A.		2/16/21		—		(264,854	)
USD	2,946,984	CNH	19,410,000	UBS AG		2/22/21		—		(59,053	)
USD	2,476,719	CRC	1,500,000,000	Citibank, N.A.		2/23/21		29,687		—
TRY	15,546,000	USD	2,079,778	Citibank, N.A.		2/26/21		23,362		—
TRY	107,066,000	USD	14,317,465	Standard Chartered Bank		2/26/21		166,959		—
TRY	107,052,000	USD	14,317,507	Standard Chartered Bank		2/26/21		165,022		—
TRY	115,000,000	USD	15,406,256	Standard Chartered Bank		2/26/21		151,518		—
TRY	64,285,000	USD	8,590,484	Standard Chartered Bank		2/26/21		106,311		—
TRY	9,413,645	USD	1,259,334	Standard Chartered Bank		2/26/21		14,191		—
USD	224,620	TRY	1,700,000	Citibank, N.A.		2/26/21		—		(5,364	)

22

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	11,506,751	TRY	80,289,000	Standard Chartered Bank		2/26/21	$	644,855	$	—
USD	9,205,351	TRY	64,075,000	Standard Chartered Bank		2/26/21		536,965		—
USD	9,205,539	TRY	64,092,000	Standard Chartered Bank		2/26/21		534,853		—
USD	5,753,439	TRY	40,237,000	Standard Chartered Bank		2/26/21		309,977		—
USD	1,989,529	TRY	14,440,000	Standard Chartered Bank		2/26/21		36,013		—
USD	22,086	TRY	154,000	Standard Chartered Bank		2/26/21		1,252		—
USD	943,948	TRY	7,505,645	Standard Chartered Bank		2/26/21		—		(71,453	)
USD	4,070,803	TRY	30,870,000	Standard Chartered Bank		2/26/21		—		(105,445	)
USD	3,346,083	UAH	97,806,000	BNP Paribas		2/26/21		—		(110,573	)
USD	3,694,629	UAH	107,994,000	BNP Paribas		2/26/21		—		(122,091	)
USD	2,222,830	ZAR	34,000,000	UBS AG		2/26/21		—		(17,318	)
MYR	12,897,087	USD	3,164,153	Goldman Sachs International		3/2/21		14,147		—
MYR	12,897,087	USD	3,164,153	Goldman Sachs International		3/2/21		14,147		—
USD	3,182,501	MYR	12,897,087	Credit Agricole Corporate and Investment Bank		3/2/21		4,202		—
USD	3,182,501	MYR	12,897,087	Credit Agricole Corporate and Investment Bank		3/2/21		4,202		—
USD	5,332,300	UAH	154,770,000	Goldman Sachs International		3/3/21		—		(130,854	)
EGP	136,520,000	USD	7,726,089	Goldman Sachs International		3/8/21		876,198		—
EGP	75,050,000	USD	4,237,719	Goldman Sachs International		3/8/21		491,271		—
EGP	489,295,000	USD	26,999,674	HSBC Bank USA, N.A.		3/8/21		3,831,387		—
EGP	147,335,000	USD	8,309,927	HSBC Bank USA, N.A.		3/8/21		973,827		—
PLN	62,047,000	EUR	13,845,398	Citibank, N.A.		3/8/21		—		(150,971	)
USD	10,316,284	EGP	179,916,000	Goldman Sachs International		3/8/21		—		(1,020,437	)
USD	21,908,945	EGP	382,092,000	Goldman Sachs International		3/8/21		—		(2,167,127	)
USD	21,908,945	EGP	382,092,000	Goldman Sachs International		3/8/21		—		(2,167,127	)
CNH	6,554,055	USD	998,150	Citibank, N.A.		3/9/21		15,793		—
CNH	6,554,055	USD	998,150	Citibank, N.A.		3/9/21		15,793		—
CNH	5,763,783	USD	877,796	Citibank, N.A.		3/9/21		13,889		—
CNH	5,369,243	USD	818,133	Goldman Sachs International		3/9/21		12,515		—
CNH	5,369,243	USD	818,133	Goldman Sachs International		3/9/21		12,515		—
CNH	4,721,833	USD	719,485	Goldman Sachs International		3/9/21		11,006		—
OMR	2,000,000	USD	5,037,783	Standard Chartered Bank		3/10/21		153,999		—
USD	46,099,201	OMR	18,170,000	Standard Chartered Bank		3/10/21		—		(1,068,138	)
PLN	28,950,183	EUR	6,521,251	Standard Chartered Bank		3/11/21		—		(144,988	)
PLN	28,916,817	EUR	6,514,394	Standard Chartered Bank		3/11/21		—		(145,621	)
USD	8,023,144	BHD	3,039,167	Standard Chartered Bank		3/11/21		—		(35,114	)
USD	6,685,631	SAR	25,265,000	Standard Chartered Bank		3/11/21		—		(49,531	)
USD	10,723,443	BHD	4,061,000	Standard Chartered Bank		3/16/21		—		(43,392	)
USD	821,329	THB	24,797,576	Standard Chartered Bank		3/16/21		—		(7,082	)
USD	6,893,529	THB	208,129,420	Standard Chartered Bank		3/16/21		—		(59,438	)
USD	3,483,831	UAH	100,404,000	BNP Paribas		3/22/21		—		(43,039	)
USD	1,637,946	UAH	47,525,000	Bank of America, N.A.		3/23/21		—		(31,027	)
USD	23,189,500	OMR	9,138,750	Standard Chartered Bank		3/29/21		—		(525,775	)
USD	11,033,793	UAH	314,761,000	Bank of America, N.A.		3/29/21		—		(2,964	)
USD	23,457,728	AED	86,430,000	BNP Paribas		4/5/21		—		(70,296	)
USD	100,000,000	AED	368,410,000	Credit Agricole Corporate and Investment Bank		4/5/21		—		(288,782	)
USD	1,242,756	UAH	35,810,000	BNP Paribas		4/5/21		—		(10,763	)
USD	1,036,691	UAH	29,950,000	BNP Paribas		4/5/21		—		(11,700	)
TRY	26,198,000	USD	3,421,891	Standard Chartered Bank		4/6/21		64,912		—
TRY	213,040,000	USD	28,015,215	Standard Chartered Bank		4/7/21		327,057		—
TRY	53,090,000	USD	6,984,148	Standard Chartered Bank		4/7/21		78,804		—
TRY	45,150,000	USD	5,977,014	Standard Chartered Bank		4/7/21		29,622		—
USD	6,889,064	AED	25,380,000	BNP Paribas		4/8/21		—		(19,873	)
USD	13,779,125	AED	50,749,895	BNP Paribas		4/8/21		—		(35,997	)

23

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	61,323,814	AED	225,892,400	Standard Chartered Bank		4/8/21	$	—	$	(168,551	)
USD	77,166,210	AED	284,180,000	Standard Chartered Bank		4/8/21		—		(193,189	)
USD	9,084,659	OMR	3,568,000	BNP Paribas		4/8/21		—		(172,712	)
CNH	27,961,643	USD	4,320,109	Bank of America, N.A.		4/12/21		—		(4,156	)
USD	5,279,082	CNH	34,168,539	Bank of America, N.A.		4/12/21		5,079		—
USD	5,279,082	CNH	34,168,539	Bank of America, N.A.		4/12/21		5,079		—
USD	897,928	CRC	556,500,000	Citibank, N.A.		4/12/21		—		(7,000	)
USD	2,767,061	UAH	79,470,000	Bank of America, N.A.		4/12/21		—		(10,431	)
USD	376,355	THB	11,365,556	Standard Chartered Bank		4/16/21		—		(3,305	)
USD	3,158,802	THB	95,392,651	Standard Chartered Bank		4/16/21		—		(27,741	)
USD	919,704	CRC	563,300,000	Citibank, N.A.		4/19/21		4,682		—
USD	1,836,259	CRC	1,127,500,000	Citibank, N.A.		4/20/21		5,029		—
CNH	6,347,510	USD	972,028	Goldman Sachs International		4/21/21		7,068		—
CNH	6,347,510	USD	972,028	Goldman Sachs International		4/21/21		7,068		—
USD	4,811,182	CNH	31,417,857	Goldman Sachs International		4/21/21		—		(34,984	)
USD	6,571,050	IDR	93,197,208,210	Deutsche Bank AG		4/26/21		—		(8,116	)
USD	10,445,761	IDR	148,100,000,000	Standard Chartered Bank		4/26/21		—		(9,214	)
USD	7,091,855	OMR	2,781,000	Standard Chartered Bank		4/26/21		—		(121,211	)
USD	3,347,982	UAH	96,221,000	Bank of America, N.A.		4/26/21		—		(4,523	)
USD	1,520,010	CRC	934,700,000	Citibank, N.A.		4/27/21		3,513		—
TRY	79,190,000	USD	9,651,509	Standard Chartered Bank		5/17/21		704,860		—
TRY	39,693,269	USD	4,820,108	Standard Chartered Bank		5/17/21		370,928		—
TRY	39,707,000	USD	4,826,170	Standard Chartered Bank		5/17/21		366,661		—
TRY	39,670,000	USD	4,826,073	Standard Chartered Bank		5/17/21		361,920		—
TRY	39,669,000	USD	4,825,951	Standard Chartered Bank		5/17/21		361,911		—
TRY	39,640,000	USD	4,825,358	Standard Chartered Bank		5/17/21		358,711		—
TRY	39,611,000	USD	4,826,234	Standard Chartered Bank		5/17/21		354,043		—
TRY	39,280,000	USD	4,825,591	Standard Chartered Bank		5/17/21		311,398		—
TRY	13,105,000	USD	1,594,635	Standard Chartered Bank		5/17/21		119,220		—
TRY	7,505,645	USD	909,006	Standard Chartered Bank		5/17/21		72,573		—
USD	193,088	TRY	1,493,560	Standard Chartered Bank		5/17/21		—		(2,238	)
USD	6,292,606	TRY	48,329,354	Standard Chartered Bank		5/17/21		—		(27,846	)
USD	3,160,948	TRY	24,687,000	Standard Chartered Bank		5/17/21		—		(67,587	)
USD	3,160,870	TRY	24,718,000	Standard Chartered Bank		5/17/21		—		(71,720	)
USD	3,160,994	TRY	24,798,000	Standard Chartered Bank		5/17/21		—		(82,057	)
USD	3,160,916	TRY	25,055,000	Standard Chartered Bank		5/17/21		—		(115,746	)
USD	4,741,461	TRY	37,440,000	Standard Chartered Bank		5/17/21		—		(154,895	)
USD	7,902,339	TRY	63,843,000	Standard Chartered Bank		5/17/21		—		(446,968	)
USD	15,804,790	TRY	126,707,000	Standard Chartered Bank		5/17/21		—		(765,793	)
USD	3,218,128	GHS	21,658,000	ICBC Standard Bank plc		5/24/21		—		(334,385	)
USD	1,380,699	GHS	9,254,000	Standard Chartered Bank		5/24/21		—		(137,213	)
USD	17,461,490	OMR	6,858,000	Standard Chartered Bank		5/27/21		—		(315,877	)
USD	684,132	GHS	4,570,000	JPMorgan Chase Bank, N.A.		5/28/21		—		(64,217	)
USD	577,528	GHS	3,855,000	JPMorgan Chase Bank, N.A.		6/2/21		—		(52,416	)
USD	1,878,190	GHS	12,659,000	Standard Chartered Bank		6/4/21		—		(188,683	)
USD	1,863,080	GHS	12,641,000	JPMorgan Chase Bank, N.A.		6/7/21		—		(198,267	)
USD	1,165,714	GHS	7,752,000	ICBC Standard Bank plc		6/14/21		—		(94,705	)
UYU	32,777,018	USD	749,514	HSBC Bank USA, N.A.		6/14/21		8,423		—
UYU	16,279,580	USD	372,241	HSBC Bank USA, N.A.		6/14/21		4,209		—

24

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
UYU	16,216,544	USD	370,799	HSBC Bank USA, N.A.		6/14/21	$	4,193	$	—
UYU	16,198,980	USD	371,196	HSBC Bank USA, N.A.		6/14/21		3,390		—
USD	677,596	GHS	4,567,000	Standard Chartered Bank		6/16/21		—		(64,347	)
USD	676,492	GHS	4,567,000	Standard Chartered Bank		6/18/21		—		(64,834	)
USD	932,346	GHS	6,298,000	ICBC Standard Bank plc		6/21/21		—		(88,686	)
USD	862,351	GHS	5,795,000	JPMorgan Chase Bank, N.A.		6/23/21		—		(76,355	)
USD	1,193,573	GHS	7,985,000	JPMorgan Chase Bank, N.A.		7/1/21		—		(95,602	)
USD	9,440,346	OMR	3,711,000	BNP Paribas		7/6/21		—		(172,221	)
USD	9,949,641	OMR	3,912,000	Standard Chartered Bank		7/6/21		—		(183,574	)
USD	1,183,759	GHS	7,872,000	JPMorgan Chase Bank, N.A.		7/12/21		—		(81,415	)
USD	8,422,392	OMR	3,310,000	BNP Paribas		7/19/21		—		(149,407	)
USD	35,093,372	OMR	13,793,450	Standard Chartered Bank		8/9/21		—		(612,550	)
KES	400,890,000	USD	3,386,753	Standard Chartered Bank		10/12/21		67,727		—
KES	267,260,000	USD	2,257,836	Standard Chartered Bank		10/12/21		45,151		—
UYU	32,602,760	USD	729,776	HSBC Bank USA, N.A.		10/13/21		6,716		—
GEL	4,403,600	USD	1,271,247	Goldman Sachs International		10/21/21		—		(7,624	)
UYU	33,244,103	USD	732,992	HSBC Bank USA, N.A.		1/11/22		4,925		—
UYU	145,591,000	USD	3,248,349	Citibank, N.A.		1/24/22		—		(24,867	)
USD	1,085,187	AED	4,000,000	Standard Chartered Bank		1/31/22		—		(3,229	)
USD	78,294,208	AED	288,627,683	Standard Chartered Bank		2/10/22		—		(238,682	)
USD	6,701,464	BHD	2,555,000	Bank of America, N.A.		3/14/22		—		(46,083	)
USD	13,371,339	SAR	50,898,000	Standard Chartered Bank		3/14/22		—		(188,009	)
USD	32,193,679	SAR	122,510,000	Standard Chartered Bank		3/14/22		—		(443,274	)
USD	3,538,199	BHD	1,350,000	Credit Agricole Corporate and Investment Bank		3/16/22		—		(26,910	)
USD	3,038,592	BHD	1,171,833	Standard Chartered Bank		3/16/22		—		(56,010	)
USD	13,404,845	BHD	5,116,000	Standard Chartered Bank		3/16/22		—		(105,600	)
USD	6,701,258	BHD	2,583,000	Standard Chartered Bank		3/16/22		—		(119,985	)
USD	14,866,113	SAR	56,350,000	BNP Paribas		3/24/22		—		(144,740	)
USD	22,298,945	SAR	84,513,000	HSBC Bank USA, N.A.		3/24/22		—		(214,138	)
USD	26,680,048	SAR	101,024,000	Standard Chartered Bank		3/28/22		—		(230,674	)
							$	24,167,463	$	(28,765,126	)

Futures Contracts

Description	Number of Contracts			Position	Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Equity Futures
E-mini S&P 500 Index		52		Long		3/19/21	$	9,633,520		$	172,120
SPI 200 Index		130		Long		3/18/21		16,165,329			(347,596	)
MSCI Emerging Markets Index		(115	)	Short		3/19/21		(7,625,075	)		(404,225	)
Interest Rate Futures
CME 90-Day Eurodollar		1,977		Long		3/18/24		490,765,537			(184,217	)
Euro-Bobl		(29	)	Short		3/8/21		(4,759,845	)		352
Euro-Bund		(126	)	Short		3/8/21		(27,102,808	)		3,058
Euro-Buxl		(248	)	Short		3/8/21		(66,602,510	)		599,226
U.S. 2-Year Treasury Note		(151	)	Short		3/31/21		(33,367,461	)		(31,852	)
U.S. 5-Year Treasury Note		(514	)	Short		3/31/21		(64,699,750	)		(19,437	)

25

Description	Number of Contracts			Position	Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
U.S. 10-Year Treasury Note		(184	)	Short		3/22/21	$	(25,213,750	)	$	153,500
U.S. Long Treasury Bond		(160	)	Short		3/22/21		(26,995,000	)		659,207
U.S. Ultra-Long Treasury Bond		(225	)	Short		3/22/21		(46,061,719	)		1,758,059
										$	2,358,195

Centrally Cleared Inflation Swaps

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	13,346	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.60% (pays upon termination)		8/15/32	$	(1,300,445	)
	EUR	13,634	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.57% (pays upon termination)		8/15/32		(1,227,810	)
	EUR	13,669	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.59% (pays upon termination)		8/15/32		(1,281,369	)
	EUR	13,427	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.64% (pays upon termination)		10/15/32		(1,398,724	)
	EUR	13,346	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.79% (pays upon termination)		8/15/42		2,389,956
	EUR	13,634	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.77% (pays upon termination)		8/15/42		2,312,626
	EUR	13,669	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.78% (pays upon termination)		8/15/42		2,337,437
	EUR	13,427	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.85% (pays upon termination)		10/15/42		2,703,392
	EUR	1,231	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.90% (pays upon termination)		8/4/47		315,592

26

Notional Amount (000’s omitted)			Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/Unrealized Appreciation (Depreciation)
	USD	20,760	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.29% (pays upon termination)		1/26/26	$	4,290
	USD	20,760	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.29% (pays upon termination)		1/26/26		4,290
	USD	20,750	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.26% (pays upon termination)		1/27/26		(29,658	)
	USD	20,760	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.26% (pays upon termination)		1/27/26		(32,462	)
	USD	11,630	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.28% (pays upon termination)		1/28/26		(8,756	)
	USD	20,760	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.33% (pays upon termination)		1/26/31		395
	USD	20,760	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.33% (pays upon termination)		1/26/31		(2,518	)
	USD	20,750	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.31% (pays upon termination)		1/27/31		46,575
	USD	20,760	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.31% (pays upon termination)		1/27/31		46,016
	USD	11,630	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.32% (pays upon termination)		1/28/31		21,120
	USD	3,927	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.16% (pays upon termination)		8/4/47		199,142
	USD	6,107	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.13% (pays upon termination)		8/22/47		377,791
	USD	6,072	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		8/25/47		344,926
	USD	6,054	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		9/1/47		338,395
	USD	5,275	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.22% (pays upon termination)		10/5/47		162,366
									$	6,322,567

CPI-U (NSA) - Consumer Price Index All Urban Non-Seasonally Adjusted

HICP - Harmonised Indices of Consumer Prices

27

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
BRL	164,060	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	2.77% (pays upon termination)		1/3/22	$	(28,485	)	$	—		$	(28,485	)
BRL	243,243	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.42% (pays upon termination)		1/3/22		(259,616	)		—			(259,616	)
BRL	818,909	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.08% (pays upon termination)		1/3/22		310,414			—			310,414
BRL	1,189,580	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	2.92% (pays upon termination)		1/3/22		419,538			—			419,538
BRL	1,928,281	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.44% (pays upon termination)		1/3/22		(2,158,579	)		—			(2,158,579	)
CAD	41,210	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	1.80% (pays semi-annually)		6/11/24		(1,276,962	)		—			(1,276,962	)
CAD	20,350	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	1.70% (pays semi-annually)		2/19/25		(682,042	)		—			(682,042	)
CAD	23,340	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	1.71% (pays semi-annually)		2/19/25		(787,149	)		—			(787,149	)
CAD	58,220	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	0.88% (pays semi-annually)		6/5/25		(171,716	)		—			(171,716	)
CAD	8,660	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	1.03% (pays semi-annually)		8/19/30		171,778			(90	)		171,688
CAD	13,202	Receives	3-month Canadian Bankers Acceptances (pays quarterly)	1.04% (pays semi-annually)		8/19/30		256,895			(137	)		256,758
COP	62,519,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.84% (pays quarterly)		5/5/25		(809,454	)		—			(809,454	)
COP	10,940,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.85% (pays quarterly)		5/6/25		(143,169	)		—			(143,169	)
COP	72,092,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.70% (pays quarterly)		5/7/25		(804,386	)		—			(804,386	)
COP	7,936,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.49% (pays quarterly)		5/13/25		(68,017	)		—			(68,017	)
COP	7,936,810	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.54% (pays quarterly)		5/14/25		(72,334	)		—			(72,334	)
COP	29,306,100	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.19% (pays quarterly)		6/4/25		132,259			—			132,259
COP	44,982,400	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.26% (pays quarterly)		6/5/25		236,459			—			236,459
COP	59,477,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.34% (pays quarterly)		6/8/25		367,379			—			367,379
COP	29,163,200	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.44% (pays quarterly)		6/9/25		216,123			—			216,123
EUR	7,400	Receives	6-month EURIBOR (pays semi-annually)	1.00% (pays annually)		3/21/23		(386,100	)		117,041			(269,059	)
EUR	3,813	Receives	6-month EURIBOR (pays semi-annually)	0.11% (pays annually)		7/23/29		(157,052	)		36,734			(120,318	)
EUR	6,627	Receives	6-month EURIBOR (pays semi-annually)	0.11% (pays annually)		7/23/29		(268,283	)		23,210			(245,073	)
EUR	7,000	Receives	6-month EURIBOR (pays semi-annually)	(0.08)% (pays annually)		8/6/29		(154,583	)		(7	)		(154,590	)
EUR	4,728	Receives	6-month EURIBOR (pays semi-annually)	(0.16)% (pays annually)		9/12/29		(58,298	)		2			(58,296	)

28

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)
EUR	1,847	Receives	6-month EURIBOR (pays semi-annually)	0.37% (pays annually)		2/12/50	$	(175,370	)	$	—		$	(175,370	)
EUR	1,821	Receives	6-month EURIBOR (pays semi-annually)	0.39% (pays annually)		2/13/50		(178,843	)		—			(178,843	)
EUR	3,316	Receives	6-month EURIBOR (pays semi-annually)	0.37% (pays annually)		2/17/50		(312,349	)		(1	)		(312,350	)
EUR	2,876	Receives	6-month EURIBOR (pays semi-annually)	0.35% (pays annually)		2/18/50		(254,133	)		(1	)		(254,134	)
EUR	16,000	Receives	6-month EURIBOR (pays semi-annually)	0.26% (pays annually)		2/25/50		(870,825	)		4			(870,821	)
EUR	2,510	Receives	6-month EURIBOR (pays semi-annually)	0.21% (pays annually)		2/26/50		(89,552	)		—			(89,552	)
EUR	7,009	Receives	6-month EURIBOR (pays semi-annually)	0.12% (pays annually)		6/8/50		(14,890	)		(6	)		(14,896	)
GBP	23,102	Receives	6-month GBP LIBOR (pays semi-annually)	1.49% (pays semi-annually)		2/28/29		(2,782,487	)		—			(2,782,487	)
GBP	26,040	Receives	6-month GBP LIBOR (pays semi-annually)	1.49% (pays semi-annually)		2/28/29		(3,137,847	)		—			(3,137,847	)
KRW	17,462,170	Receives	3-month KRW Certificate of Deposit Rate (pays quarterly)	0.92% (pays quarterly)		7/27/30		583,596			—			583,596
KRW	23,283,000	Receives	3-month KRW Certificate of Deposit Rate (pays quarterly)	0.92% (pays quarterly)		7/27/30		773,220			—			773,220
MXN	699,100	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.42% (pays monthly)		9/1/21		31,419			—			31,419
MXN	785,600	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.42% (pays monthly)		9/1/21		35,306			—			35,306
MXN	2,111,800	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.43% (pays monthly)		9/1/21		101,324			—			101,324
MXN	360,100	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.42% (pays monthly)		9/2/21		16,380			—			16,380
MXN	389,616	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.50% (pays monthly)		8/31/22		87,978			—			87,978
MXN	1,554,016	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.49% (pays monthly)		8/31/22		347,214			—			347,214
MXN	600,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.23% (pays monthly)		1/6/23		(4,298	)		—			(4,298	)
MXN	915,800	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	4.61% (pays monthly)		1/10/25		88,807			—			88,807
SGD	19,000	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	2.44% (pays semi-annually)		10/23/23		904,722			—			904,722
SGD	9,469	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.55% (pays semi-annually)		8/14/24		324,479			—			324,479
SGD	10,653	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.56% (pays semi-annually)		8/14/24		369,835			—			369,835
SGD	10,889	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.55% (pays semi-annually)		8/14/24		372,325			—			372,325
SGD	14,570	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.08% (pays semi-annually)		3/31/25		301,732			—			301,732
SGD	24,900	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.06% (pays semi-annually)		3/31/25		498,897			—			498,897
SGD	72,840	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	1.07% (pays semi-annually)		3/31/25		1,491,294			—			1,491,294
SGD	46,100	Pays	6-month Singapore Swap Offered Rate (pays semi-annually)	0.52% (pays semi-annually)		8/21/25		17,652			—			17,652

29

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)
USD	3,700	Receives	3-month USD-LIBOR (pays quarterly)	0.52% (pays semi-annually)		3/19/23	$	(31,355	)	$	—	$	(31,355	)
USD	665	Receives	3-month USD-LIBOR (pays quarterly)	0.46% (pays semi-annually)		4/1/23		(4,753	)		—		(4,753	)
USD	2,300	Receives	3-month USD-LIBOR (pays quarterly)	0.47% (pays semi-annually)		4/3/23		(16,447	)		—		(16,447	)
USD	1,688	Receives	3-month USD-LIBOR (pays quarterly)	2.22% (pays semi-annually)		3/28/24		(115,783	)		—		(115,783	)
USD	5,290	Receives	3-month USD-LIBOR (pays quarterly)	2.37% (pays semi-annually)		4/3/24		(391,014	)		—		(391,014	)
USD	186	Receives	3-month USD-LIBOR (pays quarterly)	1.75% (pays semi-annually)		7/5/24		(9,372	)		—		(9,372	)
USD	885	Receives	3-month USD-LIBOR (pays quarterly)	1.84% (pays semi-annually)		7/11/24		(47,322	)		—		(47,322	)
USD	350	Receives	3-month USD-LIBOR (pays quarterly)	1.80% (pays semi-annually)		7/22/24		(18,253	)		—		(18,253	)
USD	750	Receives	3-month USD-LIBOR (pays quarterly)	1.40% (pays semi-annually)		8/23/24		(33,109	)		—		(33,109	)
USD	1,500	Receives	3-month USD-LIBOR (pays quarterly)	1.64% (pays semi-annually)		11/7/24		(77,587	)		—		(77,587	)
USD	836	Receives	3-month USD-LIBOR (pays quarterly)	1.55% (pays semi-annually)		11/27/24		(40,026	)		—		(40,026	)
USD	3,880	Receives	3-month USD-LIBOR (pays quarterly)	1.59% (pays semi-annually)		1/23/25		(187,822	)		—		(187,822	)
USD	4,760	Receives	3-month USD-LIBOR (pays quarterly)	1.60% (pays semi-annually)		1/23/25		(232,171	)		—		(232,171	)
USD	775	Receives	3-month USD-LIBOR (pays quarterly)	1.49% (pays semi-annually)		1/28/25		(34,283	)		—		(34,283	)
USD	2,344	Receives	3-month USD-LIBOR (pays quarterly)	1.46% (pays semi-annually)		1/30/25		(101,202	)		—		(101,202	)
USD	4,650	Receives	3-month USD-LIBOR (pays quarterly)	1.41% (pays semi-annually)		2/3/25		(221,198	)		—		(221,198	)
USD	780	Receives	3-month USD-LIBOR (pays quarterly)	1.44% (pays semi-annually)		2/18/25		(37,713	)		—		(37,713	)
USD	1,500	Receives	3-month USD-LIBOR (pays quarterly)	1.16% (pays semi-annually)		2/28/25		(53,822	)		—		(53,822	)
USD	740	Receives	3-month USD-LIBOR (pays quarterly)	0.83% (pays semi-annually)		3/5/25		(15,301	)		—		(15,301	)
USD	14,720	Pays	3-month USD-LIBOR (pays quarterly)	0.71% (pays semi-annually)		3/20/25		220,287			—		220,287
USD	600	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)		5/18/25		2,220			—		2,220
USD	1,990	Receives	3-month USD-LIBOR (pays quarterly)	0.43% (pays semi-annually)		6/12/25		207			—		207
USD	7,257	Receives	3-month USD-LIBOR (pays quarterly)	0.39% (pays semi-annually)		6/19/25		14,462			—		14,462
USD	2,580	Receives	3-month USD-LIBOR (pays quarterly)	0.32% (pays semi-annually)		7/14/25		14,740			—		14,740

30

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)
USD	760	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)		7/15/25	$	4,017		$	—		$	4,017
USD	33,064	Receives	3-month USD-LIBOR (pays quarterly)	1.74% (pays semi-annually)		12/16/26		(2,156,093	)		—			(2,156,093	)
USD	32,860	Pays	3-month USD-LIBOR (pays quarterly)	0.84% (pays semi-annually)		3/20/27		384,179			—			384,179
USD	1,516	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/1/30		49,838			—			49,838
USD	14,560	Receives	3-month USD-LIBOR (pays quarterly)	0.76% (pays semi-annually)		6/5/30		400,791			—			400,791
USD	4,475	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		6/11/30		107,505			—			107,505
USD	597	Receives	3-month USD-LIBOR (pays quarterly)	0.77% (pays semi-annually)		6/12/30		15,556			—			15,556
USD	3,281	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/16/30		110,838			—			110,838
USD	3,600	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		6/26/30		130,674			—			130,674
USD	4,127	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/26/30		143,021			—			143,021
USD	3,250	Receives	3-month USD-LIBOR (pays quarterly)	0.62% (pays semi-annually)		7/1/30		133,989			—			133,989
USD	0(1)	Receives	3-month USD-LIBOR (pays quarterly)	2.50% (pays semi-annually)		6/15/46		(29	)		11			(18	)
USD	0(1)	Pays	3-month USD-LIBOR (pays quarterly)	2.75% (pays semi-annually)		9/21/46		37			(26	)		(11	)
USD	1,226	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		8/27/49		(40,507	)		—			(40,507	)
USD	300	Receives	3-month USD-LIBOR (pays quarterly)	1.58% (pays semi-annually)		9/3/49		(869	)		—			(869	)
USD	3,590	Receives	3-month USD-LIBOR (pays quarterly)	1.65% (pays semi-annually)		9/9/49		(70,351	)		—			(70,351	)
USD	2,390	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		9/12/49		(74,763	)		—			(74,763	)
USD	700	Receives	3-month USD-LIBOR (pays quarterly)	1.82% (pays semi-annually)		9/20/49		(43,479	)		—			(43,479	)
USD	1,085	Receives	3-month USD-LIBOR (pays quarterly)	1.97% (pays semi-annually)		11/15/49		(102,430	)		—			(102,430	)
USD	4,700	Receives	3-month USD-LIBOR (pays quarterly)	1.91% (pays semi-annually)		11/18/49		(371,401	)		—			(371,401	)
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	1.81% (pays semi-annually)		11/22/49		(5,600	)		—			(5,600	)
USD	1,500	Receives	3-month USD-LIBOR (pays quarterly)	1.83% (pays semi-annually)		11/22/49		(90,612	)		—			(90,612	)
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	1.84% (pays semi-annually)		11/25/49		(6,379	)		—			(6,379	)

31

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)
USD	450	Receives	3-month USD-LIBOR (pays quarterly)	1.85% (pays semi-annually)		11/25/49	$	(28,760	)	$	—	$	(28,760	)
USD	3,150	Receives	3-month USD-LIBOR (pays quarterly)	1.85% (pays semi-annually)		11/25/49		(201,321	)		—		(201,321	)
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	1.84% (pays semi-annually)		11/26/49		(6,152	)		—		(6,152	)
USD	568	Receives	3-month USD-LIBOR (pays quarterly)	1.81% (pays semi-annually)		12/6/49		(34,043	)		—		(34,043	)
USD	4,060	Receives	3-month USD-LIBOR (pays quarterly)	1.82% (pays semi-annually)		12/6/49		(248,683	)		—		(248,683	)
USD	770	Receives	3-month USD-LIBOR (pays quarterly)	1.94% (pays semi-annually)		12/11/49		(65,639	)		—		(65,639	)
USD	770	Receives	3-month USD-LIBOR (pays quarterly)	1.93% (pays semi-annually)		12/12/49		(64,855	)		—		(64,855	)
USD	1,063	Receives	3-month USD-LIBOR (pays quarterly)	1.90% (pays semi-annually)		1/8/50		(79,557	)		—		(79,557	)
USD	466	Receives	3-month USD-LIBOR (pays quarterly)	1.94% (pays semi-annually)		1/9/50		(39,313	)		—		(39,313	)
USD	2,805	Pays	3-month USD-LIBOR (pays quarterly)	0.62% (pays semi-annually)		3/11/50		(663,340	)		—		(663,340	)
USD	2,805	Pays	3-month USD-LIBOR (pays quarterly)	0.58% (pays semi-annually)		3/11/50		(692,986	)		—		(692,986	)
USD	4,680	Pays	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		3/20/50		(707,680	)		—		(707,680	)
USD	3,430	Receives	3-month USD-LIBOR (pays quarterly)	0.83% (pays semi-annually)		4/29/50		637,243			—		637,243
USD	1,320	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		216,673			—		216,673
USD	800	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/16/50		122,626			—		122,626
Total							$	(12,404,266	)	$	176,734	$	(12,227,532	)

(1) Notional amount is less than USD 500.

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
South Africa	$	3,290	1.00% (pays quarterly)(1)		6/20/21		0.50	%	$	10,460		$	37,632	$	48,092
Turkey		40,966	1.00% (pays quarterly)(1)		6/20/21		1.35			(7,366	)		662,804		655,438
Turkey		7,810	1.00% (pays quarterly)(1)		12/20/21		1.89			(53,025	)		271,165		218,140
Total	$	52,066							$	(49,931	)	$	971,601	$	921,670

32

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Entity	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Malaysia	$	89,753	1.00% (pays quarterly)(1)		12/20/25	$	(2,592,665	)	$	2,117,960		$	(474,705	)
Markit CDX Emerging Markets Index (CDX.EM.31.V2)		2,820	1.00% (pays quarterly)(1)		6/20/24		(2,790	)		(55,861	)		(58,651	)
Mexico		7,100	1.00% (pays quarterly)(1)		12/20/25		(25,891	)		37,268			11,377
Qatar		119,079	1.00% (pays quarterly)(1)		12/20/22		(1,965,922	)		2,388			(1,963,534	)
Qatar		12,396	1.00% (pays quarterly)(1)		12/20/23		(288,237	)		65,961			(222,276	)
Qatar		8,250	1.00% (pays quarterly)(1)		12/20/25		(230,849	)		203,606			(27,243	)
Russia		73,003	1.00% (pays quarterly)(1)		12/20/25		(225,628	)		(458,922	)		(684,550	)
Saudi Arabia		24,167	1.00% (pays quarterly)(1)		12/20/25		(410,154	)		137,915			(272,239	)
Saudi Arabia		55,564	1.00% (pays quarterly)(1)		12/20/30		622,280			(797,357	)		(175,077	)
South Africa		29,280	1.00% (pays quarterly)(1)		12/20/25		1,672,981			(1,554,522	)		118,459
South Africa		131,530	1.00% (pays quarterly)(1)		12/20/30		22,297,536			(22,401,543	)		(104,007	)
Turkey		40,552	1.00% (pays quarterly)(1)		12/20/25		3,756,508			(7,080,449	)		(3,323,941	)
Total						$	22,607,169		$	(29,783,556	)	$	(7,176,387	)

Credit Default Swaps — Sell Protection

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Vietnam	Barclays Bank PLC	$	3,300	1.00% (pays quarterly)(1)		12/20/25		1.03	%	$	(1,615	)	$	41,127	$	39,512
Vietnam	Goldman Sachs International		3,100	1.00% (pays quarterly)(1)		12/20/25		1.03			(1,517	)		38,992		37,475
Vietnam	Nomura International PLC		1,500	1.00% (pays quarterly)(1)		12/20/25		1.03			(734	)		17,660		16,926
Total		$	7,900							$	(3,866	)	$	97,779	$	93,913

33

Credit Default Swaps - Buy Protection

Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Dubai	Barclays Bank PLC	$	5,058	1.00% (pays quarterly)(1)		12/20/24	$	(13,401	)	$	(65,327	)	$	(78,728	)
Dubai	Barclays Bank PLC		3,357	1.00% (pays quarterly)(1)		12/20/24		(8,894	)		(43,320	)		(52,214	)
Oman	Bank of America, N.A.		20,851	1.00% (pays quarterly)(1)		6/20/22		440,447			(287,497	)		152,950
Oman	Bank of America, N.A.		16,680	1.00% (pays quarterly)(1)		12/20/22		536,021			(338,139	)		197,882
Qatar	Goldman Sachs International		3,700	1.00% (pays quarterly)(1)		12/20/23		(86,034	)		(3,643	)		(89,677	)
Qatar	Goldman Sachs International		3,090	1.00% (pays quarterly)(1)		9/20/24		(81,293	)		961			(80,332	)
Qatar	Nomura International PLC		9,620	1.00% (pays quarterly)(1)		9/20/24		(253,087	)		11,980			(241,107	)
South Africa	Goldman Sachs International		16,600	1.00% (pays quarterly)(1)		12/20/28		2,150,855			(1,811,918	)		338,937
South Africa	HSBC Bank USA, N.A.		23,540	1.00% (pays quarterly)(1)		6/20/29		3,297,237			(2,493,746	)		803,491
Ukraine	Barclays Bank PLC		35,369	5.00% (pays quarterly)(1)		12/20/25		(2,090,895	)		(981,636	)		(3,072,531	)
Ukraine	JPMorgan Chase Bank, N.A.		20,000	5.00% (pays quarterly)(1)		12/20/25		(1,182,327	)		(527,279	)		(1,709,606	)
Total							$	2,708,629		$	(6,539,564	)	$	(3,830,935	)

* If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $59,966,000.

** 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.

34

Total Return Swaps

Counterparty	Notional Amount (000’s omitted)			Portfolio Receives	Portfolio Pays	Termination Date		Value/ Unrealized Appreciation (Depreciation)
Citibank, N.A.		USD	45,000	Excess Return on Bloomberg Commodity 4 Month Forward Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.24% (pays upon termination)		2/18/21	$	(300,094	)
Citibank, N.A.		USD	38,500	Excess Return on Bloomberg Commodity 5 Month Forward Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.25% (pays upon termination)		2/18/21		(374,008	)
Citibank, N.A.		USD	35,300	Excess Return on Bloomberg Commodity 6 Month Forward Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.26% (pays upon termination)		2/18/21		(782,500	)
JPMorgan Chase Bank, N.A.		CNY	71,727	Total Return on Shenzhen Stock Exchange Composite Index (pays upon termination)	3-month USD-LIBOR minus 14.00% on $11,039,224 (pays quarterly)		4/16/21		(148,113	)
UBS AG		CNY	38,579	Total Return on Shenzhen Stock Exchange Composite Index (pays upon termination)	3-month USD-LIBOR minus 11.00% on $5,819,054 (pays quarterly)		2/18/21		471,823
								$	(1,132,892	)

Abbreviations:

ADR	-	American Depositary Receipt
CMT	-	Constant Maturity Treasury
COF	-	Cost of Funds 11th District
EURIBOR	-	Euro Interbank Offered Rate
GDP	-	Gross Domestic Product
LIBOR	-	London Interbank Offered Rate
PFC Shares	-	Preference Shares
PIK	-	Payment In Kind

Currency Abbreviations:

AED	-	United Arab Emirates Dirham
AUD	-	Australian Dollar
BHD	-	Bahraini Dinar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CLP	-	Chilean Peso

CNH	-	Yuan Renminbi Offshore
CNY	-	Yuan Renminbi
COP	-	Colombian Peso
CRC	-	Costa Rican Colon
EGP	-	Egyptian Pound
EUR	-	Euro

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GBP	-	British Pound Sterling
GEL	-	Georgian Lari
GHS	-	Ghanaian Cedi
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
ISK	-	Icelandic Krona
JPY	-	Japanese Yen
KES	-	Kenyan Shilling
KRW	-	South Korean Won
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
SAR	-	Saudi Riyal
SGD	-	Singapore Dollar
THB	-	Thai Baht
TRY	-	New Turkish Lira
UAH	-	Ukrainian Hryvnia
USD	-	United States Dollar
UYU	-	Uruguayan Peso
UZS	-	Uzbekistani Som
ZAR	-	South African Rand

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Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2021 were $32,095,259 or 1.0% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

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

Commodity Risk: During the fiscal year to date ended January 31, 2021, the Portfolio invested in commodities-linked derivative instruments, including commodity futures contracts, forward commodity 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: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including interest rate futures contracts, interest rate swaps and swaptions, inflation swaps, cross-currency swaps and options contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.

At January 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

Restricted Securities

At January 31, 2021, the Portfolio owned the following securities (representing 0.1% 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 of Acquisition		Shares		Cost		Value
Reinsurance Side Cars
Mt. Logan Re Ltd., Series A-1		12/30/20		4,400	$	4,400,000	$	4,421,454

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At January 31, 2021, the value of the Portfolio’s investment in affiliated funds was $659,660,357, which represents 20.3% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2021 were as follows:

Name of affiliated fund	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)		Change in unrealized appreciation (depreciation)			Value, end of period		Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC	$	490,405,962	$	896,955,054	$	(727,700,659	)	$	10,925	$	(10,925	)	$	659,660,357	$	126,156		659,660,357

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.

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At January 31, 2021, 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
Foreign Government Bonds	$	—		$	1,445,855,594		$	—	$	1,445,855,594
Foreign Corporate Bonds		—			112,401,644			0		112,401,644
Senior Floating-Rate Loans		—			—			967,250		967,250
Sovereign Loans		—			71,782,085			—		71,782,085
Loan Participation Notes		—			—			47,381,659		47,381,659
Asset-Backed Securities		—			16,845,196			—		16,845,196
Collateralized Mortgage Obligations		—			16,508,371			—		16,508,371
Mortgage Pass-Throughs		—			72,603,820			—		72,603,820
U.S. Treasury Obligations		—			1,504,452			—		1,504,452
U.S. Government Guaranteed Small Business Administration Loans		—			22,436,319			—		22,436,319
Common Stocks		14,692,317			72,628,287	**		—		87,320,604
Reinsurance Side Cars		—			—			7,921,454		7,921,454
Short-Term Investments —
Foreign Government Securities		—			246,118,287			—		246,118,287
U.S. Treasury Obligations		—			204,897,747			—		204,897,747
Repurchase Agreements		—			16,715,849			—		16,715,849
Other		—			659,660,357			—		659,660,357
Purchased Interest Rate Swaptions		—			1,566,808			—		1,566,808
Purchased Call Options		—			1,575,413			—		1,575,413
Total Investments	$	14,692,317		$	2,963,100,229		$	56,270,363	$	3,034,062,909
Forward Foreign Currency Exchange Contracts	$	—		$	40,980,560		$	—	$	40,980,560
Futures Contracts		3,345,522			—			—		3,345,522
Swap Contracts		—			58,026,385			—		58,026,385
Total	$	18,037,839		$	3,062,107,174		$	56,270,363	$	3,136,415,376
Liability Description
Securities Sold Short	$	—		$	(28,226,021	)	$	—	$	(28,226,021	)
Forward Foreign Currency Exchange Contracts		—			(38,872,003	)		—		(38,872,003	)
Futures Contracts		(639,731	)		(347,596	)		—		(987,327	)
Swap Contracts		—			(39,978,975	)		—		(39,978,975	)
Total	$	(639,731	)	$	(107,424,595	)	$	—	$	(108,064,326	)

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio.

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

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Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2021 is not presented.

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. Swaptions 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. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service.

For additional information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.

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