Close

Form NPORT-P EATON VANCE MUTUAL FUNDS For: Jul 31

September 28, 2021 12:49 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0000745463
          XXXXXXXX
        
      
      
      
      
        S000005301
        C000080481
        C000077400
        C000014481
        C000014479
      
      
      
    
  
  
    
      EATON VANCE MUTUAL FUNDS TRUST
      811-04015
      0000745463
      549300C67AFHZKODE756
      TWO INTERNATIONAL PLACE
      BOSTON
      
      02110
      617-482-8260
      Eaton Vance Short Duration Strategic Income Fund
      S000005301
      TRR43XJWNSQTT4ZJ4373
      2021-10-31
      2021-07-31
      N
    
    
      2768195620.10
      4478750.71
      2763716869.39
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      4155.26000000
      N
      
        
          
          
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        Emerging Markets Local Income Portfolio
        TJHVIYYZOASBZ463H550
        Emerging Markets Local Income Portfolio
        000000000
        
          
        
        14175044.11000000
        NS
        USD
        125165639.50000000
        4.528887922141
        Long
        EC
        RF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
      
        Global Macro Absolute Return Advantage Portfolio
        NKY7JRBKJHQQ68KJ6252
        Global Macro Absolute Return Advantage Portfolio
        000000000
        
          
        
        40395639.55000000
        NS
        USD
        417690912.90000000
        15.11337566905
        Long
        EC
        RF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
      
        Global Opportunities Portfolio
        732CSYB5YI2A4VM2EI15
        Global Opportunities Portfolio
        000000000
        
          
        
        95287632.76000000
        NS
        USD
        1750433814.00000000
        63.33622063052
        Long
        EC
        RF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
      
        Eaton Vance Emerging Markets Debt Opportunities Fund
        549300RCSLWCTPOHZZ51
        Eaton Vance Emerging Markets Debt Opportunities Fund
        27827V105
        
          
        
        12228526.27200000
        NS
        USD
        108222457.51000000
        3.915830116631
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Senior Debt Portfolio (MA)
        5493009DZ4DLQ0NAB757
        Senior Debt Portfolio (MA)
        000000000
        
          
        
        31803355.62000000
        NS
        USD
        362558254.10000000
        13.11850204757
        Long
        EC
        RF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-23
      EATON VANCE MUTUAL FUNDS TRUST
      James Kirchner
      James Kirchner
      Treasurer
    
  
  XXXX



Eaton Vance

Short Duration Strategic Income Fund

July 31, 2021 (Unaudited)

Eaton Vance Short Duration Strategic Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, currently pursues its investment objective by investing substantially all of its investable assets in interests in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates and in shares of Eaton Vance Emerging Markets Debt Opportunities Fund (the Affiliated Investment Fund). The Fund owns a pro-rata interest in the net assets of each Portfolio in which it invests. At July 31, 2021, the Fund owned 6.9% of Emerging Markets Local Income Portfolio’s outstanding interests, 13.9% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 98.3% of Global Opportunities Portfolio’s outstanding interests and 4.7% of Senior Debt Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at July 31, 2021 is set forth below.

 

 

 


PORTFOLIO OF INVESTMENTS (Unaudited)

Investments in Affiliated Portfolios

 

                                                                          
Description            Value     

% of Net

Assets

 

Emerging Markets Local Income Portfolio
(identified cost, $127,593,577)

      $ 125,159,951        4.5

Global Macro Absolute Return Advantage Portfolio
(identified cost, $409,775,730)

        417,654,112        15.1  

Global Opportunities Portfolio
(identified cost, $1,826,287,127)

        1,750,409,651        63.3  

Senior Debt Portfolio
(identified cost, $353,454,158)

        362,569,867        13.1  
     

 

 

    

 

 

 

Total Investments in Affiliated Portfolios
(identified cost $2,717,110,592)

      $ 2,655,793,581        96.0
     

 

 

    

 

 

 

Investments in Affiliated Investment Funds

        
Security    Shares      Value     

% of Net

Assets

 

Fixed Income Funds

        

Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6

     12,228,526      $ 108,222,458        3.9
     

 

 

    

 

 

 

Total Investments in Affiliated Investment Funds
(identified cost $113,704,341)

 

   $ 108,222,458        3.9
     

 

 

    

 

 

 

Total Investments
(identified cost $2,830,814,933)

 

   $ 2,764,016,039        99.9
     

 

 

    

 

 

 

Other Assets, Less Liabilities

 

   $ 1,992,711        0.1
     

 

 

    

 

 

 

Net Assets

 

   $ 2,766,008,750        100.0
     

 

 

    

 

 

 

 

2

 

 


At July 31, 2021, the value of the Fund’s investment in affiliated funds was $108,222,458 which represents 3.9% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended July 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
     Shares, end
of period
 
                                                        

Eaton Vance Emerging Markets Debt Opportunities Fund, Class R6

   $ 56,465,297      $     52,030,148      $     —        $     —        $     (272,987   $     108,222,458      $     4,783,369        12,228,526  

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

Level 1 — quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At July 31, 2021, the hierarchy of inputs used in valuing the Fund’s investments in securities and investments in the Portfolios, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Investments in Affiliated Portfolios

   $ 2,655,793,581      $      $      $ 2,655,793,581  

Investments in Affiliated Investment Funds

     108,222,458                      108,222,458  

Total Investments

   $     2,764,016,039      $     —      $     —      $     2,764,016,039  

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

The Global Opportunities Portfolio’s Portfolio of Investments is set forth below. A copy of each of the other Portfolio’s and Affiliated Investment Fund’s Part F to Form N-PORT (containing a Portfolio of Investments) at July 31, 2021 is available by calling Eaton Vance at 1-800-262-1122 or in EDGAR database on the Securities and Exchange Commission’s website at www.sec.gov.

 

3

 

 


Global Opportunities Portfolio

July 31, 2021

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Asset-Backed Securities — 10.0%

 

                                                 
Security    Principal
Amount
     Value  

Alinea CLO, Ltd., Series 2018-1A, Class E, 6.134%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2)

   $ 2,000,000      $ 1,976,906  

Allegany Park CLO, Ltd., Series 2019-1A, Class D, 3.834%, (3 mo. USD LIBOR + 3.70%), 1/20/33(1)(2)

     1,700,000        1,709,348  

AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 7.036%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2)

     3,000,000        2,957,628  

AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 6.342%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2)

     2,000,000        1,875,238  

Arch Street CLO, Ltd., Series 2016-2A, Class AR2, 1.134%, (3 mo. USD LIBOR + 1.00%), 10/20/28(1)(2)

     8,125,278        8,125,270  

Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class D, 6.006%, (3 mo. USD LIBOR + 5.85%), 5/15/30(1)(2)

     4,000,000        3,926,784  

Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 5.826%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2)

     3,000,000        2,929,137  

Bain Capital Credit CLO, Ltd., Series 2018-1A, Class E, 5.488%, (3 mo. USD LIBOR + 5.35%), 4/23/31(1)(2)

     3,500,000        3,283,843  

Barings CLO, Ltd., Series 2018-1A, Class D, 5.626%, (3 mo. USD LIBOR + 5.50%), 4/15/31(1)(2)

     5,000,000        4,791,775  

Benefit Street Partners CLO V-B, Ltd., Series 2018-5BA, Class D, 6.084%, (3 mo. USD LIBOR + 5.95%), 4/20/31(1)(2)

     3,000,000        2,819,721  

Benefit Street Partners CLO VIII, Ltd., Series 2015-8A, Class DR, 5.734%, (3 mo. USD LIBOR + 5.60%), 1/20/31(1)(2)

     5,000,000        4,623,755  

Benefit Street Partners CLO XIV, Ltd., Series 2018-14A, Class E, 5.484%, (3 mo. USD LIBOR + 5.35%), 4/20/31(1)(2)

     3,000,000        2,835,930  
Benefit Street Partners CLO XVI, Ltd.:

 

Series 2018-16A, Class DR, 3.134%, (3 mo. USD LIBOR + 3.00%), 1/17/32(1)(2)

     2,000,000        2,002,334  

Series 2018-16A, Class E, 6.834%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2)

     2,000,000        1,993,886  
Benefit Street Partners CLO XVII, Ltd.:

 

Series 2019-17A, Class DR, (3 mo. USD LIBOR + 3.35%), 7/15/32(1)(3)

     1,500,000        1,501,557  

Series 2019-17A, Class ER, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(3)

     750,000        750,617  

Betony CLO 2, Ltd., Series 2018-1A, Class D, 5.779%, (3 mo. USD LIBOR + 5.65%), 4/30/31(1)(2)

     3,000,000        2,848,779  
BlueMountain CLO, Ltd.:

 

Series 2015-3A, Class DR, 5.534%, (3 mo. USD LIBOR + 5.40%), 4/20/31(1)(2)

     2,000,000        1,828,872  

Series 2016-3A, Class ER, 6.106%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2)

     1,000,000        939,745  

Series 2018-1A, Class E, 6.079%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2)

     750,000        699,415  
Canyon Capital CLO, Ltd.:

 

Series 2016-1A, Class ER, 5.876%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2)

     4,000,000        3,844,728  

Series 2016-2A, Class ER, 6.126%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2)

     1,000,000        949,967  

Series 2017-1A, Class E, 6.376%, (3 mo. USD LIBOR + 6.25%), 7/15/30(1)(2)

     1,000,000        982,156  

Series 2018-1A, Class E, 5.876%, (3 mo. USD LIBOR + 5.75%), 7/15/31(1)(2)

     2,000,000        1,927,252  
Carlyle Global Market Strategies CLO, Ltd.:

 

Series 2012-3A, Class DR2, 6.633%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2)

     1,000,000        945,785  

Series 2014-3RA, Class D, 5.529%, (3 mo. USD LIBOR + 5.40%), 7/27/31(1)(2)

     2,000,000        1,887,378  

Series 2014-4RA, Class D, 5.776%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2)

     3,000,000        2,712,858  

 

1

 

 


                                                 
Security    Principal
Amount
     Value  

Series 2015-5A, Class DR, 6.834%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2)

   $ 3,500,000      $ 3,331,699  

Series C17A, Class DR, 6.129%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2)

     3,000,000        2,864,640  

CarVal CLO IV, Ltd., Series 2021-1A, Class E, 6.738%, (3 mo. USD LIBOR + 6.60%), 7/20/34(1)(2)

     1,000,000        992,225  

CIFC Funding 2017-III, Ltd., Series 2017-3A, Class A1, 1.354%, (3 mo. USD LIBOR + 1.22%), 7/20/30(1)(2)

     1,125,000        1,126,167  

Crown City CLO III, Series 2021-1A, Class C, 3.424%, (3 mo. USD LIBOR + 3.30%), 7/20/34(1)(2)

     1,000,000        1,000,894  

Dryden CLO, Ltd., Series 2018-55A, Class E, 5.526%, (3 mo. USD LIBOR + 5.40%), 4/15/31(1)(2)

     1,000,000        973,912  

Dryden Senior Loan Fund, Series 2016-42A, Class ER, 5.676%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2)

     2,000,000        1,936,730  
Galaxy XXI CLO, Ltd.:

 

Series 2015-21A, Class DR, 2.784%, (3 mo. USD LIBOR + 2.65%), 4/20/31(1)(2)

     5,000,000        4,932,705  

Series 2015-21A, Class ER, 5.384%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2)

     4,000,000        3,813,832  

Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 6.075%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2)

     2,000,000        1,965,212  

Golub Capital Partners CLO 22B, Ltd., Series 2015-22A, Class ER, 6.134%, (3 mo. USD LIBOR + 6.00%), 1/20/31(1)(2)

     3,000,000        2,851,446  

Golub Capital Partners CLO 37B, Ltd., Series 2018-37A, Class E, 5.884%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2)

     3,000,000        2,745,156  
Golub Capital Partners CLO 53B, Ltd.:

 

Series 2021-53A, Class D, 3.18%, (3 mo. USD LIBOR + 3.05%), 7/20/34(1)(2)

     2,000,000        1,999,874  

Series 2021-53A, Class E, 6.83%, (3 mo. USD LIBOR + 6.70%), 7/20/34(1)(2)

     1,000,000        999,715  

Golub Capital Partners CLO, Ltd., Series 2020-48A, Class D, 3.934%, (3 mo. USD LIBOR + 3.80%), 4/17/33(1)(2)

     3,000,000        3,003,825  

Harriman Park CLO, Ltd., Series 2020-1A, Class ER, 6.534%, (3 mo. USD LIBOR + 6.40%), 4/20/34(1)(2)

     1,000,000        999,965  

Highbridge Loan Management, Ltd., Series 3A-2014, Class DR, 6.634%, (3 mo. USD LIBOR + 6.50%), 7/18/29(1)(2)

     2,750,000        2,662,286  

ICG US CLO, Ltd., Series 2018-2A, Class E, 5.888%, (3 mo. USD LIBOR + 5.75%), 7/22/31(1)(2)

     1,000,000        923,882  

LCM XXV, Ltd., Series 25A, Class A, 1.344%, (3 mo. USD LIBOR + 1.21%), 7/20/30(1)(2)

     3,828,000        3,828,976  
Madison Park Funding XVII, Ltd.:

 

Series 2015-17A, Class DR, 3.734%, (3 mo. USD LIBOR + 3.60%), 7/21/30(1)(2)

     3,500,000        3,506,051  

Series 2015-17A, Class ER, 6.634%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2)

     2,500,000        2,491,050  

Mountain View CLO, LLC, Series 2017-2A, Class AR, (3 mo. USD LIBOR + 1.04%), 1/16/31(1)(3)

     7,000,000        7,000,000  

Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 6.194%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2)

     2,000,000        1,988,368  

Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 6.334%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2)

     2,000,000        1,999,934  

NRZ Excess Spread-Collateralized Notes, Series 2021-FNT1, Class A, 2.981%, 3/25/26(1)

     1,354,387        1,355,765  
Palmer Square CLO, Ltd.:

 

Series 2013-2A, Class DRR, 5.984%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2)

     1,500,000        1,477,664  

Series 2015-1A, Class DR4, 6.625%, (3 mo. USD LIBOR + 6.50%), 5/21/34(1)(2)

     2,000,000        1,997,806  

Series 2018-1A, Class D, 5.284%, (3 mo. USD LIBOR + 5.15%), 4/18/31(1)(2)

     4,000,000        3,878,532  

Series 2018-2A, Class D, 5.726%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2)

     2,500,000        2,458,558  

Series 2021-2A, Class E, 6.456%, (3 mo. USD LIBOR + 6.35%), 7/15/34(1)(2)

     1,000,000        999,841  
Pnmac Gmsr Issuer Trust:

 

Series 2018-GT1, Class A, 2.939%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(2)

     5,000,000        5,028,790  

Series 2018-GT2, Class A, 2.739%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2)

     4,272,000        4,270,999  

Regatta IX Funding, Ltd., Series 2017-1A, Class E, 6.134%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2)

     3,000,000        2,984,460  

 

2

 

 


                                                 
Security    Principal
Amount
     Value  

Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 6.076%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2)

   $ 3,000,000      $ 2,876,721  

Upland CLO, Ltd., Series 2016-1A, Class DR, 6.034%, (3 mo. USD LIBOR + 5.90%), 4/20/31(1)(2)

     2,000,000        1,924,710  

Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 6.384%, (3 mo. USD LIBOR + 6.25%),
7/20/31(1)(2)

     2,000,000        1,828,876  
Voya CLO, Ltd.:

 

Series 2013-1A, Class DR, 6.606%, (3 mo. USD LIBOR + 6.48%), 10/15/30(1)(2)

     5,000,000        4,670,615  

Series 2014-1A, Class DR2, 6.134%, (3 mo. USD LIBOR + 6.00%), 4/18/31(1)(2)

     2,000,000        1,847,314  

Series 2015-3A, Class DR, 6.334%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2)

     2,000,000        1,796,966  

Series 2017-4A, Class A1, 1.256%, (3 mo. USD LIBOR + 1.13%), 10/15/30(1)(2)

     5,087,000        5,092,407  

Series 2018-2A, Class E, 5.376%, (3 mo. USD LIBOR + 5.25%), 7/15/31(1)(2)

     1,000,000        955,741  
Wellfleet CLO, Ltd.:

 

Series 2016-2A, Class A1R, 1.274%, (3 mo. USD LIBOR + 1.14%), 10/20/28(1)(2)

     4,323,696        4,330,277  

Series 2021-2A, Class E, (3 mo. USD LIBOR + 6.96%), 7/15/34(1)(3)

     1,000,000        980,000  
     

 

 

 

Total Asset-Backed Securities
(identified cost $182,767,638)

 

   $ 178,365,250  
     

 

 

 

Closed-End Funds — 0.7%

 

Security    Shares      Value  

BlackRock Multi-Sector Income Trust

     156,650      $ 2,898,025  

Nuveen Global High Income Fund

     83,400        1,340,238  

PGIM Global High Yield Fund, Inc.

     430,326        6,708,783  

Western Asset High Income Opportunity Fund, Inc.

     383,997        2,012,144  
     

 

 

 

Total Closed-End Funds
(identified cost $10,948,484)

 

   $ 12,959,190  
     

 

 

 

Collateralized Mortgage Obligations — 6.8%

 

Security    Principal
Amount
     Value  
Federal Home Loan Mortgage Corp.:

 

  

Series 2182, Class ZC, 7.50%, 9/15/29

   $ 76,894      $ 87,830  

Series 4273, Class SP, 11.733%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(4)

     516,145        770,840  

Series 4637, Class CU, 3.00%, 8/15/44

     1,358,431        1,368,341  

Series 5071, Class SP, 3.274%, (3.30% - 30-day average SOFR), 2/25/51(4)

     4,776,170        4,856,895  

Series 5083, Class SK, 3.832%, (3.867% - 30-day average SOFR x 1.33), 3/25/51(4)

     4,805,126        4,856,077  

Series 5144, Class Z, 2.50%, 9/25/51(3)

     10,000,000        9,972,210  

Interest Only:(5)

  

Series 2631, Class DS, 7.007%, (7.10% - 1 mo. USD LIBOR), 6/15/33(4)

     1,183,636        165,385  

Series 2953, Class LS, 6.607%, (6.70% - 1 mo. USD LIBOR), 12/15/34(4)

     527,867        21,436  

Series 2956, Class SL, 6.907%, (7.00% - 1 mo. USD LIBOR), 6/15/32(4)

     759,081        168,424  

Series 3114, Class TS, 6.557%, (6.65% - 1 mo. USD LIBOR), 9/15/30(4)

     2,338,603        325,858  

Series 3153, Class JI, 6.527%, (6.62% - 1 mo. USD LIBOR), 5/15/36(4)

     1,862,686        371,335  

Series 4007, Class JI, 4.00%, 2/15/42

     926,405        105,423  

Series 4050, Class IB, 3.50%, 5/15/41

     1,428,404        12,404  

 

3

 

 


                                                 
Security    Principal
Amount
     Value  

Series 4067, Class JI, 3.50%, 6/15/27

   $ 3,827,886      $ 309,712  

Series 4070, Class S, 6.007%, (6.10% - 1 mo. USD LIBOR), 6/15/32(4)

     7,808,698        1,455,913  

Series 4095, Class HS, 6.007%, (6.10% - 1 mo. USD LIBOR), 7/15/32(4)

     2,110,012        313,319  

Series 4109, Class ES, 6.057%, (6.15% - 1 mo. USD LIBOR), 12/15/41(4)

     82,796        20,438  

Series 4109, Class SA, 6.107%, (6.20% - 1 mo. USD LIBOR), 9/15/32(4)

     3,321,099        620,685  

Series 4149, Class S, 6.157%, (6.25% - 1 mo. USD LIBOR), 1/15/33(4)

     2,423,855        471,371  

Series 4163, Class GS, 6.107%, (6.20% - 1 mo. USD LIBOR), 11/15/32(4)

     2,129,194        414,777  

Series 4169, Class AS, 6.157%, (6.25% - 1 mo. USD LIBOR), 2/15/33(4)

     3,244,166        563,890  

Series 4180, Class GI, 3.50%, 8/15/26

     1,239,437        36,486  

Series 4188, Class AI, 3.50%, 4/15/28

     3,255,912        213,262  

Series 4189, Class SQ, 6.057%, (6.15% - 1 mo. USD LIBOR), 12/15/42(4)

     752,672        101,168  

Series 4203, Class QS, 6.157%, (6.25% - 1 mo. USD LIBOR), 5/15/43(4)

     2,028,926        323,162  

Series 4323, Class CI, 4.00%, 3/15/40

     665,480        3,013  

Series 4332, Class IK, 4.00%, 4/15/44

     864,940        101,224  

Series 4332, Class KI, 4.00%, 9/15/43

     383,503        7,236  

Series 4343, Class PI, 4.00%, 5/15/44

     2,294,359        254,101  

Series 4370, Class IO, 3.50%, 9/15/41

     861,823        36,682  

Series 4381, Class SK, 6.057%, (6.15% - 1 mo. USD LIBOR), 6/15/44(4)

     2,282,718        308,493  

Series 4388, Class MS, 6.007%, (6.10% - 1 mo. USD LIBOR), 9/15/44(4)

     2,436,422        381,397  

Series 4408, Class IP, 3.50%, 4/15/44

     3,305,888        278,013  

Series 4452, Class SP, 6.107%, (6.20% - 1 mo. USD LIBOR), 10/15/43(4)

     801,823        9,816  

Series 4497, Class CS, 6.107%, (6.20% - 1 mo. USD LIBOR), 9/15/44(4)

     3,579,950        270,729  

Series 4507, Class MI, 3.50%, 8/15/44

     2,567,490        93,968  

Series 4507, Class SJ, 6.087%, (6.18% - 1 mo. USD LIBOR), 9/15/45(4)

     5,832,321        1,143,046  

Series 4520, Class PI, 4.00%, 8/15/45

     15,821,065        1,354,044  

Series 4526, Class PI, 3.50%, 1/15/42

     881,359        10,858  

Series 4528, Class BS, 6.057%, (6.15% - 1 mo. USD LIBOR), 7/15/45(4)

     3,151,594        390,394  

Series 4629, Class QI, 3.50%, 11/15/46

     3,849,140        359,690  

Series 4637, Class IP, 3.50%, 4/15/44

     1,058,230        37,788  

Series 4644, Class TI, 3.50%, 1/15/45

     3,345,234        220,236  

Series 4653, Class PI, 3.50%, 7/15/44

     510,595        2,488  

Series 4667, Class PI, 3.50%, 5/15/42

     4,705,861        93,186  

Series 4672, Class LI, 3.50%, 1/15/43

     2,250,601        48,526  

Series 4744, Class IO, 4.00%, 11/15/47

     3,064,890        359,342  

Series 4749, Class IL, 4.00%, 12/15/47

     2,403,339        282,208  

Series 4767, Class IM, 4.00%, 5/15/45

     2,072,532        33,887  

Series 4768, Class IO, 4.00%, 3/15/48

     2,988,318        348,840  

Series 5051, Class S, 3.55%, (3.60% - 30-day average SOFR), 12/25/50(4)

     22,815,565        2,322,636  
Principal Only:(6)

 

Series 4417, Class KO, 0.00%, 12/15/43

     812,933        656,554  

Series 4478, Class PO, 0.00%, 5/15/45

     1,396,242        1,263,463  
     

 

 

 
      $ 38,598,499  
     

 

 

 
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:

 

  

Series 2020-DNA4, Class M2, 3.839%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2)

   $ 4,150,757      $ 4,201,912  

Series 2020-HQA4, Class M2, 3.239%, (1 mo. USD LIBOR + 3.15%), 9/25/50(1)(2)

     8,075,343        8,140,415  
     

 

 

 
      $ 12,342,327  
     

 

 

 

 

4

 

 


                                                 
Security    Principal
Amount
     Value  
Federal National Mortgage Association:

 

  

Series G94-7, Class PJ, 7.50%, 5/17/24

   $ 81,803      $ 86,746  

Series 1994-42, Class K, 6.50%, 4/25/24

     59,425        63,136  

Series 2009-62, Class WA, 5.577%, 8/25/39(7)

     1,089,816        1,209,575  

Series 2013-6, Class TA, 1.50%, 1/25/43

     1,002,200        1,010,164  

Series 2021-15, Class HZ, 3.00%, 4/25/51

     979,260        980,424  

Series 2021-61, Class Z, 2.50%, 9/25/51(3)

     10,000,000        9,984,670  

Interest Only:(5)

 

Series 2004-46, Class SI, 5.911%, (6.00% - 1 mo. USD LIBOR), 5/25/34(4)

     2,000,964        308,400  

Series 2005-17, Class SA, 6.611%, (6.70% - 1 mo. USD LIBOR), 3/25/35(4)

     1,532,360        338,047  

Series 2005-71, Class SA, 6.661%, (6.75% - 1 mo. USD LIBOR), 8/25/25(4)

     499,456        30,822  

Series 2005-105, Class S, 6.611%, (6.70% - 1 mo. USD LIBOR), 12/25/35(4)

     1,249,790        280,147  

Series 2006-44, Class IS, 6.511%, (6.60% - 1 mo. USD LIBOR), 6/25/36(4)

     1,070,466        238,706  

Series 2006-65, Class PS, 7.131%, (7.22% - 1 mo. USD LIBOR), 7/25/36(4)

     1,061,413        262,028  

Series 2006-96, Class SN, 7.111%, (7.20% - 1 mo. USD LIBOR), 10/25/36(4)

     1,314,146        267,513  

Series 2006-104, Class SD, 6.551%, (6.64% - 1 mo. USD LIBOR), 11/25/36(4)

     1,102,302        225,600  

Series 2006-104, Class SE, 6.541%, (6.63% - 1 mo. USD LIBOR), 11/25/36(4)

     734,868        150,145  

Series 2007-50, Class LS, 6.361%, (6.45% - 1 mo. USD LIBOR), 6/25/37(4)

     1,569,110        300,055  

Series 2008-26, Class SA, 6.111%, (6.20% - 1 mo. USD LIBOR), 4/25/38(4)

     1,965,893        422,264  

Series 2008-61, Class S, 6.011%, (6.10% - 1 mo. USD LIBOR), 7/25/38(4)

     3,398,109        609,269  

Series 2010-135, Class SD, 5.911%, (6.00% - 1 mo. USD LIBOR), 6/25/39(4)

     539,296        9,287  

Series 2011-101, Class IC, 3.50%, 10/25/26

     1,870,420        104,766  

Series 2011-101, Class IE, 3.50%, 10/25/26

     1,363,769        72,707  

Series 2011-104, Class IM, 3.50%, 10/25/26

     2,482,813        150,912  

Series 2012-52, Class DI, 3.50%, 5/25/27

     4,223,311        319,647  

Series 2012-94, Class KS, 6.561%, (6.65% - 1 mo. USD LIBOR), 5/25/38(4)

     2,893,925        101,211  

Series 2012-94, Class SL, 6.611%, (6.70% - 1 mo. USD LIBOR), 5/25/38(4)

     2,170,444        76,468  

Series 2012-97, Class PS, 6.061%, (6.15% - 1 mo. USD LIBOR), 3/25/41(4)

     1,493,731        30,665  

Series 2012-112, Class SB, 6.061%, (6.15% - 1 mo. USD LIBOR), 9/25/40(4)

     903,262        12,321  

Series 2012-124, Class IO, 1.427%, 11/25/42(7)

     4,905,868        265,887  

Series 2012-139, Class LS, 6.05%, (6.15% - 1 mo. USD LIBOR), 12/25/42(4)

     3,956,548        892,719  

Series 2012-147, Class SA, 6.011%, (6.10% - 1 mo. USD LIBOR), 1/25/43(4)

     4,960,776        1,027,130  

Series 2012-150, Class PS, 6.061%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4)

     4,826,479        780,434  

Series 2012-150, Class SK, 6.061%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4)

     7,481,042        1,227,552  

Series 2013-11, Class IO, 4.00%, 1/25/43

     14,394,384        2,038,133  

Series 2013-12, Class SP, 5.561%, (5.65% - 1 mo. USD LIBOR), 11/25/41(4)

     1,028,916        81,567  

Series 2013-15, Class DS, 6.111%, (6.20% - 1 mo. USD LIBOR), 3/25/33(4)

     5,691,339        986,596  

Series 2013-23, Class CS, 6.161%, (6.25% - 1 mo. USD LIBOR), 3/25/33(4)

     3,013,938        527,093  

Series 2013-54, Class HS, 6.211%, (6.30% - 1 mo. USD LIBOR), 10/25/41(4)

     2,008,198        91,466  

Series 2013-64, Class PS, 6.161%, (6.25% - 1 mo. USD LIBOR), 4/25/43(4)

     2,999,173        447,874  

Series 2013-66, Class JI, 3.00%, 7/25/43

     5,274,244        808,748  

Series 2013-75, Class SC, 6.161%, (6.25% - 1 mo. USD LIBOR), 7/25/42(4)

     5,454,898        481,955  

Series 2014-29, Class IG, 3.50%, 6/25/43

     456,209        5,165  

Series 2014-32, Class EI, 4.00%, 6/25/44

     1,291,884        148,332  

Series 2014-41, Class SA, 5.961%, (6.05% - 1 mo. USD LIBOR), 7/25/44(4)

     2,171,169        354,968  

Series 2014-43, Class PS, 6.011%, (6.10% - 1 mo. USD LIBOR), 3/25/42(4)

     2,278,622        275,420  

 

5

 

 


                                                 
Security    Principal
Amount
     Value  

Series 2014-55, Class IN, 3.50%, 7/25/44

   $ 3,376,041      $ 525,027  

Series 2014-64, Class BI, 3.50%, 3/25/44

     903,975        39,764  

Series 2014-67, Class IH, 4.00%, 10/25/44

     2,105,069        306,675  

Series 2014-80, Class CI, 3.50%, 12/25/44

     2,149,676        301,263  

Series 2014-89, Class IO, 3.50%, 1/25/45

     3,197,506        401,215  

Series 2015-6, Class IM, 1.00%, (5.33% - 1 mo. USD LIBOR x 1.33, Cap 1.00%), 6/25/43(4)

     4,046,696        105,417  

Series 2015-14, Class KI, 3.00%, 3/25/45

     4,629,560        602,421  

Series 2015-17, Class SA, 6.111%, (6.20% - 1 mo. USD LIBOR), 11/25/43(4)

     1,095,574        19,074  

Series 2015-22, Class GI, 3.50%, 4/25/45

     1,517,690        192,701  

Series 2015-31, Class SG, 6.011%, (6.10% - 1 mo. USD LIBOR), 5/25/45(4)

     4,130,511        925,905  

Series 2015-36, Class IL, 3.00%, 6/25/45

     2,404,445        292,268  

Series 2015-52, Class MI, 3.50%, 7/25/45

     5,811,604        817,445  

Series 2015-93, Class BS, 6.061%, (6.15% - 1 mo. USD LIBOR), 8/25/45(4)

     2,544,852        254,912  

Series 2017-46, Class NI, 3.00%, 8/25/42

     1,269,928        7,923  

Series 2018-21, Class IO, 3.00%, 4/25/48

     6,939,075        611,428  
     

 

 

 
      $ 33,490,172  
     

 

 

 

Government National Mortgage Association:

     

Series 2021-57, Class LZ, 3.00%, 3/20/51

   $ 3,551,342      $ 3,549,709  

Interest Only:(5)

 

Series 2014-68, Class KI, 1.494%, 10/20/42(7)

     4,070,006        170,467  

Series 2017-104, Class SD, 6.116%, (6.20% - 1 mo. USD LIBOR), 7/20/47(4)

     7,430,313        1,193,642  

Series 2017-121, Class DS, 4.416%, (4.50% - 1 mo. USD LIBOR), 8/20/47(4)

     5,500,522        623,545  

Series 2017-137, Class AS, 4.416%, (4.50% - 1 mo. USD LIBOR), 9/20/47(4)

     7,705,567        851,684  

Series 2020-146, Class IQ, 2.00%, 10/20/50

     23,876,059        2,238,091  

Series 2020-151, Class HI, 2.50%, 10/20/50

     2,083,671        147,164  

Series 2020-154, Class PI, 2.50%, 10/20/50

     19,201,205        1,172,612  

Series 2020-167, Class KI, 2.00%, 11/20/50

     38,514,038        3,502,459  

Series 2020-176, Class HI, 2.50%, 11/20/50

     52,903,954        3,359,798  

Series 2020-191, Class AI, 2.00%, 12/20/50

     36,442,232        2,996,470  

Series 2021-46, Class IM, 2.50%, 3/20/51

     4,685,588        314,418  

Series 2021-56, Class SE, 2.04%, (2.30% - 30-day average SOFR), 10/20/50(4)

     9,424,456        357,861  

Series 2021-67, Class SA, 2.251%, (2.30% - 30-day average SOFR), 10/20/50(4)

     63,177,193        2,783,366  

Series 2021-77, Class SB, 3.666%, (3.75% - 1 mo. USD LIBOR), 5/20/51(4)

     14,841,917        1,972,969  

Series 2021-97, Class IG, 2.50%, 8/20/49

     49,836,253        4,631,447  

Series 2021-125, Class SA, 3.661%, (3.75% - 1 mo. USD LIBOR), 7/20/51(4)

     20,000,000        1,750,320  
     

 

 

 
      $ 31,616,022  
     

 

 

 

NewRez Warehouse Securitization Trust,
Series 2021-1, Class E, 3.339%, (1 mo. USD LIBOR + 3.25%), 5/25/55(1)(2)

   $ 3,300,000      $ 3,324,745  

Provident Funding Mortgage Warehouse Securitization Trust,
Series 2021-1, Class F, 4.589%, (1 mo. USD LIBOR + 4.50%), 2/25/55(1)(2)

     2,500,000        2,482,247  
     

 

 

 

Total Collateralized Mortgage Obligations
(identified cost $200,017,348)

 

   $ 121,854,012  
     

 

 

 

 

6

 

 


                                                 

Commercial Mortgage-Backed Securities — 0.7%

 

Security    Principal
Amount
     Value  
JPMBB Commercial Mortgage Securities Trust:

 

Series 2014-C22, Class D, 4.553%, 9/15/47(1)(7)

   $ 3,430,000      $ 2,636,934  

Series 2014-C25, Class D, 3.946%, 11/15/47(1)(7)

     8,045,000        6,479,359  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D,
4.354%, 8/15/46(1)(7)(8)

     5,000,000        471,975  

WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1)

     4,000,000        2,096,672  
     

 

 

 

Total Commercial Mortgage-Backed Securities
(identified cost $19,756,803)

 

   $ 11,684,940  
     

 

 

 

U.S. Government Agency Mortgage-Backed Securities — 31.6%

 

Security    Principal
Amount
     Value  
Federal Home Loan Mortgage Corp.:

 

  

2.792%, (COF + 1.25%), with maturity at 2035(9)

   $ 238,401      $ 245,190  

3.00%, with maturity at 2050

     23,636,728        24,808,918  

4.381%, (COF + 1.25%), with maturity at 2030(9)

     87,114        92,944  

7.00%, with various maturities to 2036

     918,235        1,041,791  

8.00%, with maturity at 2026

     28,333        30,774  
     

 

 

 
      $ 26,219,617  
     

 

 

 
Federal National Mortgage Association:

 

  

2.50%, 30-Year, TBA(10)

   $ 40,000,000      $ 41,585,934  

3.357%, (COF + 1.25%), with maturity at 2035(9)

     138,734        143,078  

3.937%, (COF + 1.78%), with maturity at 2035(9)

     604,026        640,785  

6.00%, with maturity at 2032

     211,515        244,482  

6.50%, with maturity at 2036

     467,806        531,975  

7.00%, with maturity at 2037

     389,240        443,195  

8.50%, with maturity at 2032

     129,629        152,463  

9.50%, with maturity at 2028

     48,021        53,476  
     

 

 

 
      $ 43,795,388  
     

 

 

 
Government National Mortgage Association:

 

  

2.50%, 30-Year, TBA(10)

   $ 150,000,000      $ 155,791,882  

2.50%, with various maturities to 2051

     237,048,833        246,780,196  

3.00%, 30-Year, TBA(10)

     20,000,000        20,870,259  

3.00%, with various maturities to 2051

     64,903,796        68,358,598  
     

 

 

 
      $ 491,800,935  
     

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $559,066,754)

      $ 561,815,940  
     

 

 

 

 

7

 

 


                                                 

Common Stocks — 0.6%

     
Security    Shares      Value  

Bulgaria — 0.4%

     

Eurohold Bulgaria AD(11)

     5,140,100      $ 7,809,414  
     

 

 

 

Total Bulgaria

      $ 7,809,414  
     

 

 

 

Iceland — 0.2%

     

Arion Banki HF(1)

     1,126,817      $ 1,478,053  

Eik Fasteignafelag HF

     1,980,300        170,459  

Eimskipafelag Islands HF

     125,154        387,415  

Hagar HF

     530,600        260,456  

Reginn HF(11)

     808,000        169,445  

Reitir Fasteignafelag HF

     544,900        310,478  

Siminn HF

     5,098,858        481,516  
     

 

 

 

Total Iceland

      $ 3,257,822  
     

 

 

 

Total Common Stocks
(identified cost $7,348,699)

      $ 11,067,236  
     

 

 

 

Convertible Bonds — 0.3%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Bermuda — 0.3%

     

Liberty Latin America, Ltd., 2.00%, 7/15/24

   USD 4,184      $ 4,210,359  
     

 

 

 

Total Bermuda

      $ 4,210,359  
     

 

 

 

Total Convertible Bonds
(identified cost $3,747,412)

      $ 4,210,359  
     

 

 

 

Foreign Corporate Bonds — 6.2%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Argentina — 0.6%

     

Generacion Mediterranea S.A./Central Termica Roca S.A., 15.00%, 5/5/23(1)(12)

   USD 1,163      $ 885,983  

IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(13)

   USD 493        467,467  

Telecom Argentina S.A., 8.00%, 7/18/26(13)

   USD 2,730        2,627,502  

Transportadora de Gas del Sur S.A., 6.75%, 5/2/25(13)

   USD 1,740        1,642,160  
YPF S.A.:      

4.00% to 1/1/23, 2/12/26(1)(14)

   USD 1,918        1,624,899  

4.00% to 1/1/23, 2/12/26(13)(14)

   USD 1,705        1,444,278  

6.95%, 7/21/27(13)

   USD 894        627,052  

8.50%, 7/28/25(13)

   USD 1,207        942,981  
     

 

 

 

Total Argentina

      $ 10,262,322  
     

 

 

 

 

8

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Armenia — 0.2%

     

Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(13)

   USD 3,400      $ 3,387,335  
     

 

 

 

Total Armenia

      $ 3,387,335  
     

 

 

 

Belarus — 0.1%

     

Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(13)

   USD 1,829      $ 1,948,031  
     

 

 

 

Total Belarus

      $ 1,948,031  
     

 

 

 

Brazil — 0.8%

     

Amaggi Luxembourg International S.a.r.l., 5.25%, 1/28/28(13)

   USD 750      $ 784,661  
Braskem Netherlands Finance BV:      

4.50%, 1/31/30(13)

   USD 1,656        1,750,243  

5.875%, 1/31/50(13)

   USD 2,185        2,451,297  

Guara Norte S.a.r.l., 5.198%, 6/15/34(13)

   USD 945        974,257  

MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1)

   USD 1,965        2,043,011  

MV24 Capital BV, 6.748%, 6/1/34(13)

   USD 630        684,380  
Odebrecht Offshore Drilling Finance, Ltd.:      

6.72%, 12/1/22(1)

   USD 215        211,533  

6.72%, 12/1/22(13)

   USD 1,985        1,950,273  

Oi Movel S.A., 8.75%, 7/30/26(13)

   USD 566        585,810  

Petrobras Global Finance BV, 6.90%, 3/19/49

   USD 1,080        1,267,542  

Vale S.A., 2.762%(15)(16)

   BRL 14,736        1,843,716  
     

 

 

 

Total Brazil

      $ 14,546,723  
     

 

 

 

Bulgaria — 0.1%

     

Eurohold Bulgaria AD, 6.50%, 12/7/22(13)

   EUR 2,000      $ 2,302,613  
     

 

 

 

Total Bulgaria

      $ 2,302,613  
     

 

 

 

China — 0.3%

     

CIFI Holdings Group Co., Ltd., 5.50%, 1/23/22(13)

   USD 1,300      $ 1,314,625  

Kaisa Group Holdings, Ltd., 9.375%, 6/30/24(13)

   USD 850        661,938  

Shimao Group Holdings, Ltd., 5.60%, 7/15/26(13)

   USD 1,650        1,720,081  

Times China Holdings, Ltd., 5.55%, 6/4/24(13)

   USD 2,115        2,016,924  
     

 

 

 

Total China

      $ 5,713,568  
     

 

 

 

Colombia — 0.1%

     
Gran Tierra Energy International Holdings, Ltd.:      

6.25%, 2/15/25(1)

   USD 278      $ 246,376  

6.25%, 2/15/25(13)

   USD 1,184        1,049,314  
     

 

 

 

Total Colombia

      $ 1,295,690  
     

 

 

 

El Salvador — 0.1%

     

AES El Salvador Trust II, 6.75%, 3/28/23(13)

   USD 1,654      $ 1,590,007  
     

 

 

 

Total El Salvador

      $ 1,590,007  
     

 

 

 

Georgia — 0.1%

     

Georgia Capital JSC, 6.125%, 3/9/24(13)

   USD 1,850      $ 1,882,375  

Silknet JSC, 11.00%, 4/2/24(13)

   USD 558        612,701  
     

 

 

 

Total Georgia

      $ 2,495,076  
     

 

 

 

 

9

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Honduras — 0.1%

     

Inversiones Atlantida S.A., 7.50%, 5/19/26(13)

   USD 1,735      $ 1,808,738  
     

 

 

 

Total Honduras

      $ 1,808,738  
     

 

 

 

Iceland — 0.3%

     

Arion Banki HF, 6.00%, 4/12/24(13)

   ISK 440,000      $ 3,835,911  

Islandsbanki HF, 6.40%, 10/26/23

   ISK 120,000        1,043,612  

Landsbankinn HF, 5.00%, 11/23/23(13)

   ISK 120,000        1,018,570  
WOW Air HF:      

0.00%(12)(15)(17)

   EUR 20        0  

0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(12)(17)

   EUR 900        0  
     

 

 

 

Total Iceland

      $ 5,898,093  
     

 

 

 

Indonesia — 0.1%

     
Alam Sutera Realty Tbk PT:      

6.00%, (6.00% cash or 6.25% PIK), 5/2/24(18)

   USD 881      $ 713,610  

6.25%, (6.25% cash or 6.50% PIK), 11/2/25(13)(18)

   USD 2,228        1,626,440  
     

 

 

 

Total Indonesia

      $ 2,340,050  
     

 

 

 

Mauritius — 0.1%

     

HTA Group, Ltd./Mauritius, 7.00%, 12/18/25(13)

   USD 930      $ 987,095  

Network i2i, Ltd., 3.975% to 3/3/26(13)(15)(19)

   USD 1,010        1,003,288  
     

 

 

 

Total Mauritius

      $ 1,990,383  
     

 

 

 

Mexico — 0.6%

     
Alpha Holding S.A. de CV:      

9.00%, 2/10/25(13)(17)

   USD 2,815      $ 330,762  

10.00%, 12/19/22(13)(17)

   USD 1,529        162,472  

Braskem Idesa SAPI, 7.45%, 11/15/29(13)

   USD 3,559        3,688,619  

Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(13)

   USD 2,637        2,380,697  
Petroleos Mexicanos:      

5.95%, 1/28/31

   USD 1,500        1,476,375  

6.75%, 9/21/47

   USD 1,930        1,728,006  
     

 

 

 

Total Mexico

      $ 9,766,931  
     

 

 

 

Moldova — 0.2%

     

Aragvi Finance International DAC, 8.45%, 4/29/26(13)

   USD 3,521      $ 3,669,727  
     

 

 

 

Total Moldova

      $ 3,669,727  
     

 

 

 

Nigeria — 0.1%

     

SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(13)

   USD 1,277      $ 1,330,864  
     

 

 

 

Total Nigeria

      $ 1,330,864  
     

 

 

 

Paraguay — 0.2%

     

Banco Continental SAE, 2.75%, 12/10/25(13)

   USD 515      $ 509,600  

Frigorifico Concepcion S.A., 7.70%, 7/21/28(1)

   USD 3,145        3,277,169  
     

 

 

 

Total Paraguay

      $ 3,786,769  
     

 

 

 

 

10

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Peru — 0.3%

     

Auna SAA, 6.50%, 11/20/25(13)

   USD 2,300      $ 2,368,839  

PetroTal Corp., 12.00%, 2/16/24(1)(13)

   USD 1,540        1,609,300  

Telefonica del Peru SAA, 7.375%, 4/10/27(13)

   PEN 4,500        1,064,539  
     

 

 

 

Total Peru

      $ 5,042,678  
     

 

 

 

Russia — 0.1%

     

Gazprom PJSC Via Gaz Finance PLC, 4.599% to 10/26/25(13)(15)(19)

   USD 1,115      $ 1,165,258  

Hacienda Investments, Ltd. Via DME Airport DAC, 5.35%, 2/8/28(13)

   USD 900        945,481  
     

 

 

 

Total Russia

      $ 2,110,739  
     

 

 

 

Saint Lucia — 0.2%

     

Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(13)

   USD 2,453      $ 2,557,792  
     

 

 

 

Total Saint Lucia

      $ 2,557,792  
     

 

 

 

Saudi Arabia — 0.1%

     

Dar Al-Arkan Sukuk Co., Ltd., 6.875%, 4/10/22(13)

   USD 1,640      $ 1,680,315  
     

 

 

 

Total Saudi Arabia

      $ 1,680,315  
     

 

 

 

Singapore — 0.2%

     

Puma International Financing S.A., 5.00%, 1/24/26(13)

   USD 1,782      $ 1,788,593  

TBLA International Pte Ltd., 7.00%, 1/24/23(13)

   USD 2,502        2,352,506  
     

 

 

 

Total Singapore

      $ 4,141,099  
     

 

 

 

South Africa — 0.2%

     

Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(13)

   USD 3,728      $ 3,779,143  
     

 

 

 

Total South Africa

      $ 3,779,143  
     

 

 

 

Turkey — 0.4%

     

Akbank T.A.S., 7.20% to 3/16/22, 3/16/27(13)(19)

   USD 1,050      $ 1,068,742  

Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(13)

   USD 2,305        2,426,596  

QNB Finansbank AS, 6.875%, 9/7/24(13)

   USD 1,505        1,644,438  

Ulker Biskuvi Sanayi AS, 6.95%, 10/30/25(13)

   USD 2,022        2,193,043  
     

 

 

 

Total Turkey

      $ 7,332,819  
     

 

 

 

Ukraine — 0.3%

     
Kernel Holding S.A.:      

6.75%, 10/27/27(13)

   USD 800      $ 861,000  

8.75%, 1/31/22(13)

   USD 1,850        1,912,689  
Metinvest BV:      

5.625%, 6/17/25(13)

   EUR 1,340        1,680,975  

7.75%, 10/17/29(13)

   USD 350        386,729  

8.50%, 4/23/26(13)

   USD 706        801,975  
     

 

 

 

Total Ukraine

      $ 5,643,368  
     

 

 

 

United Arab Emirates — 0.2%

     

NBK Tier 1 Financing, Ltd., 3.625% to 8/24/26(13)(15)(19)

   USD 1,490      $ 1,495,316  

Shelf Drilling Holdings, Ltd., 8.875%, 11/15/24(13)

   USD 1,067        1,097,634  
     

 

 

 

Total United Arab Emirates

      $ 2,592,950  
     

 

 

 

 

11

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

Uzbekistan — 0.1%

     

Ipoteka-Bank ATIB, 16.00%, 4/16/24(13)

   UZS  7,100,000      $ 666,560  

Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(13)

   UZS 3,000,000        280,779  
     

 

 

 

Total Uzbekistan

      $ 947,339  
     

 

 

 

Total Foreign Corporate Bonds
(identified cost $107,906,633)

      $ 109,961,162  
     

 

 

 

Loan Participation Notes — 0.0%(20)

     
Security    Principal
Amount
(000’s omitted)
     Value  

Uzbekistan — 0.0%(20)

     

Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(12)(13)(21)

   UZS 2,619,000      $ 253,137  

Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(12)(13)(21)

   UZS 2,952,000        283,609  
     

 

 

 

Total Loan Participation Notes
(identified cost $556,614)

      $ 536,746  
     

 

 

 

Reinsurance Side Cars — 2.3%

     
Security   

Principal

Amount/
Shares

     Value  

Altair VI Reinsurance(11)(12)(22)(23)

     1,000      $ 251,377  

Eden Re II, Ltd., Series 2018A, 0.00%, 3/22/22(1)(12)(23)

   $ 7,471        37,167  

Eden Re II, Ltd., Series 2018B, 0.00%, 3/22/22(1)(12)(23)

   $ 8,667        117,942  

Eden Re II, Ltd., Series 2019A, 0.00%, 3/22/23(1)(12)(23)

   $ 1,440        26,810  

Eden Re II, Ltd., Series 2019B, 0.00%, 3/22/23(1)(12)(23)

   $ 11,140        500,745  

Eden Re II, Ltd., Series 2020A, 0.00%, 3/22/24(1)(12)(23)

   $ 990,000        913,473  

Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(1)(12)(23)

   $ 900,000        891,900  

Eden Re II, Ltd., Series 2021B, 0.00%, 3/21/25(1)(12)(23)

   $ 8,900,000        8,805,660  

Mt. Logan Re, Ltd., Series 13, Preference Shares(11)(12)(22)(23)

     10,000        10,766,457  

Mt. Logan Re, Ltd., Series 17, Preference Shares(11)(12)(22)(23)

     860        894,222  

Mt. Logan Re, Ltd., Special Investment Series 13, 12/18(11)(12)(22)(23)

     2,000        426,116  

Mt. Logan Re, Ltd., Special Investment Series 13, 12/19(11)(12)(22)(23)

     1,829        636,297  

Sussex Capital, Ltd., Designated Investment Series 5, 5/19(11)(12)(22)(23)

     249        39,301  

Sussex Capital, Ltd., Designated Investment Series 5, 12/19(11)(12)(22)(23)

     791        117,940  

Sussex Capital, Ltd., Designated Investment Series 5, 6/20(11)(12)(22)(23)

     434        105,062  

Sussex Capital, Ltd., Designated Investment Series 5, 12/20(11)(12)(22)(23)

     292        150,407  

Sussex Capital, Ltd., Designated Investment Series 5, 4/21(11)(12)(22)(23)

     247        199,176  

 

12

 

 


                                                 
Security   

Principal

Amount/
Shares

     Value  

Sussex Capital, Ltd., Series 5, Preference Shares(11)(12)(22)(23)

   $ 6,000      $ 6,349,725  

Sussex Capital, Ltd., Series 15, Preference Shares(11)(12)(22)(23)

     5,000        5,030,329  

Sussex Re, Ltd., Series 2020A(11)(12)(22)(23)

     4,081,939        244,100  

Sussex Re, Ltd., Series 2021A(11)(12)(22)(23)

     4,154,232        4,141,769  

Versutus Re, Ltd., Series 2019(11)(12)(22)(23)

     220,133        147,929  
     

 

 

 

Total Reinsurance Side Cars
(identified cost $38,220,311)

      $ 40,793,904  
     

 

 

 

Sovereign Government Bonds — 19.2%

     
Security    Principal
Amount
(000’s omitted)
     Value  

China — 1.5%

     

China Development Bank, 3.70%, 10/20/30

   CNY 170,000      $ 27,154,785  
     

 

 

 

Total China

      $ 27,154,785  
     

 

 

 

Egypt — 1.4%

     
Egypt Government Bond:      

14.483%, 4/6/26

   EGP 349,977      $ 22,319,392  

14.563%, 7/6/26

   EGP 27,330        1,725,192  
     

 

 

 

Total Egypt

      $ 24,044,584  
     

 

 

 

Iceland — 1.2%

     
Republic of Iceland:      

5.00%, 11/15/28

   ISK 852,032      $ 7,647,637  

6.50%, 1/24/31

   ISK 1,234,839        12,399,778  

8.00%, 6/12/25

   ISK 194,682        1,866,275  
     

 

 

 

Total Iceland

      $ 21,913,690  
     

 

 

 

Indonesia — 4.9%

     
Indonesia Government Bond:      

6.50%, 2/15/31

   IDR 1,118,949,000      $ 78,637,840  

7.50%, 4/15/40

   IDR 77,875,000        5,645,231  

8.375%, 4/15/39

   IDR 45,746,000        3,563,206  
     

 

 

 

Total Indonesia

      $ 87,846,277  
     

 

 

 

New Zealand — 1.1%

     

New Zealand Government Bond, 3.00%, 9/20/30(13)(24)

   NZD 20,960      $ 19,037,338  
     

 

 

 

Total New Zealand

      $ 19,037,338  
     

 

 

 

Serbia — 2.2%

     
Serbia Treasury Bond:      

4.50%, 8/20/32

   RSD 3,419,480      $ 38,148,781  

5.875%, 2/8/28

   RSD 3,280        40,023  
     

 

 

 

Total Serbia

      $ 38,188,804  
     

 

 

 

 

13

 

 


                                                 
Security    Principal
Amount
(000’s omitted)
     Value  

South Africa — 3.4%

     

Republic of South Africa, 10.50%, 12/21/26

   ZAR 781,941      $ 60,863,413  
     

 

 

 

Total South Africa

      $ 60,863,413  
     

 

 

 

Suriname — 0.4%

     

Republic of Suriname, 9.25%, 10/26/26(13)

   USD 11,370      $ 7,242,690  
     

 

 

 

Total Suriname

      $ 7,242,690  
     

 

 

 

Thailand — 1.8%

     

Thailand Government Bond, 1.25%, 3/12/28(13)(24)

   THB 1,074,068      $ 32,348,047  
     

 

 

 

Total Thailand

      $ 32,348,047  
     

 

 

 

Ukraine — 1.3%

     

Ukraine Government Bond, 16.06%, 8/3/22

   UAH 25,000      $ 972,638  
Ukraine Government International Bond:      

1.258%, GDP-Linked, 5/31/40(13)(25)

   USD 4,433        5,177,722  

11.67%, 11/22/23

   UAH 25,000        921,086  

15.84%, 2/26/25

   UAH 394,170        15,936,006  
     

 

 

 

Total Ukraine

      $ 23,007,452  
     

 

 

 

Total Sovereign Government Bonds
(identified cost $334,833,213)

      $ 341,647,080  
     

 

 

 

Sovereign Loans — 0.1%

     
Borrower    Principal
Amount
(000’s omitted)
     Value  

Nigeria — 0.1%

     

Bank of Industry Limited, Term Loan, 6.119%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(26)

   $ 2,050      $ 2,069,649  
     

 

 

 

Total Nigeria

      $ 2,069,649  
     

 

 

 

Total Sovereign Loans
(identified cost $2,056,698)

      $ 2,069,649  
     

 

 

 

U.S. Government Guaranteed Small Business Administration Loans(27)(28) — 2.2%

     
Security    Principal
Amount
     Value  

0.66%, 3/15/30

   $ 2,695,021      $ 50,835  

0.73%, 7/15/31

     2,915,989        78,143  

0.93%, 5/15/42

     1,593,400        54,843  

0.98%, 4/15/32

     1,344,073        48,552  

1.31%, 4/15/42 to 7/15/42

     5,793,264        297,414  

1.34%, 9/15/41

     1,859,700        95,804  

1.38%, 6/15/41

     3,111,968        155,041  

1.56%, 7/15/42

     2,479,673        144,599  

1.59%, 10/21/36

     1,220,922        61,131  

 

14

 

 


                                                 
Security    Principal
Amount
     Value  

1.61%, 12/15/41 to 7/15/42

   $ 5,308,946      $ 331,111  

1.63%, 9/15/41

     1,932,545        123,602  

1.68%, 7/15/41

     1,935,606        133,809  

1.73%, 10/15/33 to 11/21/41

     2,758,152        172,624  

1.81%, 12/21/41 to 11/15/42

     7,743,799        528,849  

1.86%, 12/28/41 to 6/15/42

     16,467,109        1,145,716  

1.91%, 2/15/42 to 7/15/42

     6,761,587        514,842  

1.93%, 7/15/42

     1,729,671        127,384  

1.96%, 11/29/30 to 8/15/42

     4,909,402        334,773  

2.06%, 5/15/42 to 7/15/42

     5,067,014        393,472  

2.11%, 4/15/33 to 7/15/42

     4,665,239        347,600  

2.16%, 5/15/42 to 6/15/42

     3,854,637        298,288  

2.21%, 8/15/42

     3,227,883        260,758  

2.23%, 1/15/41 to 7/15/41

     2,713,776        235,157  

2.28%, 11/1/29

     1,228,960        62,905  

2.31%, 4/15/42 to 7/15/42

     5,107,887        473,856  

2.36%, 1/16/42 to 6/15/42

     16,455,801        1,462,651  

2.38%, 6/15/42

     1,556,569        137,372  

2.39%, 7/15/40

     1,371,623        110,519  

2.41%, 1/15/38 to 7/15/42

     13,822,285        1,244,357  

2.43%, 3/15/41 to 1/5/42

     3,032,348        274,519  

2.46%, 12/15/26 to 8/15/42

     12,497,540        1,075,894  

2.48%, 2/23/41

     1,110,779        107,935  

2.56%, 1/15/41 to 7/15/42

     3,180,732        323,544  

2.59%, 4/15/36

     1,381,869        111,601  

2.61%, 6/15/33 to 7/15/42

     4,717,468        450,288  

2.66%, 3/15/42 to 6/15/42

     4,529,400        469,438  

2.68%, 4/15/41 to 4/15/42

     3,370,445        364,522  

2.71%, 7/15/31 to 8/15/42

     17,421,890        1,783,385  

2.78%, 1/15/42 to 3/15/43(29)

     14,015,717        1,567,903  

2.86%, 5/15/32 to 7/15/42

     14,783,516        1,626,666  

2.89%, 8/15/40

     1,004,087        99,104  

2.91%, 12/15/41 to 7/15/42

     12,135,439        1,401,132  

2.92%, 10/25/41 to 1/7/43(29)

     26,623,227        3,018,497  

2.93%, 4/15/41 to 7/15/42

     4,129,106        446,851  

2.96%, 2/15/27 to 1/15/43

     11,565,419        1,177,444  

2.98%, 2/15/41 to 7/15/42

     8,557,235        1,080,913  

3.03%, 7/15/41 to 6/15/42

     2,426,357        283,891  

3.11%, 12/15/41 to 6/15/42

     5,508,624        642,061  

3.13%, 6/15/32

     588,384        59,944  

3.16%, 5/15/42 to 1/15/43

     15,536,323        1,960,317  

3.19%, 8/15/39

     1,486,495        165,896  

3.21%, 12/15/26 to 7/15/42

     13,631,358            1,541,815  

3.23%, 4/15/42

     945,921        114,706  

3.24%, 7/15/28 to 4/15/42

     2,594,985        235,780  

3.28%, 6/21/26 to 7/15/42

     5,442,205        599,580  

3.36%, 3/15/42 to 5/15/42

     3,005,909        394,307  

3.41%, 4/15/42 to 12/15/42

           5,575,369        757,048  

 

15

 

 


                                                 
Security    Principal
Amount
     Value  

3.43%, 9/15/41

   $ 904,988      $ 110,291  

3.46%, 2/15/27 to 8/15/42

     10,853,618        1,067,057  

3.48%, 5/15/36 to 7/15/42

     3,356,180        429,685  

3.53%, 6/15/26 to 8/15/42

     1,793,723        140,032  

3.61%, 6/15/32 to 6/15/42

     7,158,004        1,059,949  

3.64%, 8/15/41 to 12/15/41

     3,617,463        558,303  

3.66%, 5/15/42 to 7/15/42

     7,392,653        1,082,864  

3.68%, 11/15/31 to 5/15/42

     3,865,204        543,883  

3.71%, 1/15/24 to 7/15/42

     22,092,597        2,243,007  

3.73%, 1/15/37

     1,760,725        196,210  

3.78%, 2/15/27 to 6/15/42

     5,423,786        736,758  
     

 

 

 

Total U.S. Government Guaranteed Small Business Administration Loans
(identified cost $46,408,676)

 

   $ 39,729,027  
     

 

 

 

Senior Floating-Rate Loans — 0.2%(30)

 

Borrower/Description    Principal
Amount
(000’s omitted)
     Value  

Dominican Republic — 0.2%

 

Ingenieria Estrella, S.A., and Dominicana Cooperatief U.A., Term Loan, 5.172%, (6 mo. USD LIBOR + 5.00%), 11/29/24

   $ 3,019      $ 2,946,229  
     

 

 

 

Total Senior Floating-Rate Loans
(identified cost $2,904,133)

      $ 2,946,229  
     

 

 

 

Short-Term Investments — 33.4%

     

Affiliated Fund — 28.7%

     
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.08%(31)

     511,547,016      $ 511,547,016  
     

 

 

 

Total Affiliated Fund
(identified cost $511,547,002)

      $ 511,547,016  
     

 

 

 

Repurchase Agreements — 0.6%

     
Description   

Principal
Amount

(000’s omitted)

     Value  

JPMorgan Chase Bank, N.A.,
Dated 7/26/21 with a maturity date of 8/2/21, an interest rate of 0.30% payable by the Portfolio and repurchase proceeds of $10,638,899, collateralized by GBP 3,492,048 United Kingdom Gilt Bond, 0.25%, due 3/22/52 and a market value, including accrued interest, of $10,563,437

   $ 10,639      $ 10,639,431  
     

 

 

 

Total Repurchase Agreements
(identified cost $10,639,431)

      $ 10,639,431  
     

 

 

 

 

16

 

 


                                                 

Sovereign Government Securities — 3.7%

     
Security    Principal
Amount
(000’s omitted)
     Value  

Egypt — 2.1%

     
Egypt Treasury Bill:      

0.00%, 8/17/21

   EGP 224,675      $ 14,282,719  

0.00%, 8/31/21

   EGP 16,125        1,020,685  

0.00%, 11/2/21

   EGP 309,150        19,103,523  

0.00%, 12/28/21

   EGP 55,425        3,357,643  
     

 

 

 

Total Egypt

      $ 37,764,570  
     

 

 

 

Israel — 1.6%

     

Israel Treasury Bill, 0.00%, 8/31/21

   ILS 91,000      $ 28,151,585  
     

 

 

 

Total Israel

      $ 28,151,585  
     

 

 

 

Total Sovereign Government Securities
(identified cost $65,706,441)

      $ 65,916,155  
     

 

 

 

U.S. Treasury Obligations — 0.4%

     
Security   

Principal
Amount

(000’s omitted)

     Value  

U.S. Treasury Bill:

     

0.00%, 8/26/21(32)

   $ 3,325      $ 3,324,928  

0.00%, 9/9/21(32)

     3,675        3,674,845  
     

 

 

 

Total U.S. Treasury Obligations
(identified cost $6,999,759)

      $ 6,999,773  
     

 

 

 

Total Short-Term Investments
(identified cost $594,892,633)

      $ 595,102,375  
     

 

 

 

Total Purchased Swaptions — 0.0%(20)
(identified cost $1,143,186)

      $ 360,586  
     

 

 

 

Total Investments — 114.3%
(identified cost $2,112,575,235)

      $ 2,035,103,685  
     

 

 

 

 

17

 

 


                                                 

Securities Sold Short — (0.6)%

    

Sovereign Government Bonds — (0.6)%

    
Security    Principal
Amount
(000’s omitted)
    Value  

United Kingdom — (0.6)%

    

United Kingdom Gilt Bond, 0.25%, 3/22/52(13)(24)

   GBP (3,492   $ (10,559,088
    

 

 

 

Total United Kingdom

     $ (10,559,088
    

 

 

 

Total Sovereign Government Bonds
(proceeds $9,397,851)

     $ (10,559,088
    

 

 

 

Total Securities Sold Short
(proceeds $9,397,851)

     $ (10,559,088
    

 

 

 

TBA Sale Commitments — (8.7)%

    

U.S. Government Agency Mortgage-Backed Securities — (8.7)%

    
Security    Principal
Amount
(000’s omitted)
    Value  

Federal National Mortgage Association, 2.50%, 30-Year, TBA(10)

   $ (150,000   $ (156,060,537
    

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities
(proceeds $154,941,406)

     $ (156,060,537
    

 

 

 

Total TBA Sale Commitments
(proceeds $154,941,406)

     $ (156,060,537
    

 

 

 

Other Assets, Less Liabilities — (5.0)%

     $ (88,152,399
    

 

 

 

Net Assets — 100.0%

     $ 1,780,331,661  
    

 

 

 

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

 

(1)

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2021, the aggregate value of these securities is $230,869,530 or 13.0% of the Portfolio’s net assets.

 

(2)

Variable rate security. The stated interest rate represents the rate in effect at July 31, 2021.

 

(3)

When-issued security. For a variable rate security, interest rate will be determined after July 31, 2021.

 

(4)

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 July 31, 2021.

 

(5)

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.

 

18

 

 


(6) 

Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

 

(7) 

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

 

(8) 

Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021.

 

(9) 

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 July 31, 2021.

 

(10) 

TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement.

 

(11) 

Non-income producing security.

 

(12) 

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

 

(13) 

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 July 31, 2021, the aggregate value of these securities is $147,382,785 or 8.3% of the Portfolio’s net assets.

 

(14) 

Step coupon security. Interest rate represents the rate in effect at July 31, 2021.

 

(15) 

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

 

(16) 

Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at July 31, 2021.

 

(17) 

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.

 

(18) 

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

 

(19) 

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

 

(20) 

Amount is less than 0.05%.

 

(21) 

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.

 

(22) 

Restricted security.

 

(23) 

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.

 

(24) 

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.

 

(25) 

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.

 

(26) 

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

 

(27) 

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.

 

(28) 

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.

 

(29) 

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

 

19

 

 


(30) 

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

 

(31) 

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 July 31, 2021.

 

(32) 

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

Purchased Interest Rate Swaptions — 0.0%(20)

 

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        91,740,000      12/15/21    $ 37,928  

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        112,630,000      1/7/22      43,323  

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        56,320,000      1/10/22      21,641  

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        221,740,000      1/12/22      85,131  

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        61,919,000      1/17/22      25,453  

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        99,991,000      1/27/22      41,762  

Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88%

   Goldman Sachs International     ZAR        55,230,000      2/10/22      30,904  

Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18%

   Bank of America, N.A.     ZAR        14,620,000      2/16/22      13,979  

Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47%

   Bank of America, N.A.     ZAR        14,620,000      2/21/22      21,190  

 

20

 

 


Description

  

Counterparty

  Notional
Amount
    

Expiration
Date

   Value  

Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54%

   Bank of America, N.A.     ZAR        14,620,000      2/23/22    $ 23,127  

Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47%

   Goldman Sachs International     ZAR        11,210,000      2/23/22      16,148  
             

 

 

 

Total

   $ 360,586  
             

 

 

 

Forward Commodity Contracts(1)

 

Settlement
Date
    

Deliver

  

In Exchange For

  

Counterparty

   Value/
Unrealized
Appreciation
(Depreciation)
 
9/1/22     

USD

8,366,876

   Gold
4,300 Troy Ounces
   Citibank, N.A.    $ (545,735

Total

   $     (545,735
  

 

 

 

 

(1)

Non-deliverable contracts that are settled with the counterparty in cash.

Centrally Cleared Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
     Currency
Sold
          Settlement
Date
     Value/
Unrealized
Appreciation
(Depreciation)
 
BRL      4,150,000      USD      800,961           8/3/21      $ (4,148
BRL      4,150,000      USD      810,294           8/3/21        (13,481
USD      822,520      BRL      4,150,000           8/3/21        25,707  
USD      810,294      BRL      4,150,000           8/3/21        13,481  
USD      18      PHP      886           8/4/21        1  
NZD      195,423      USD      136,748           8/11/21        (600
NZD      12,253,112      USD      8,855,201           8/11/21        (318,611
USD      11,205,420      NZD      15,505,155           8/11/21        403,173  
USD      11,542,377      NZD      16,494,845           8/11/21        50,624  
USD      15,157,999      IDR      220,397,299,990           8/16/21        (92,668
COP      3,790,000,000      USD      1,033,483           8/20/21        (57,063
IDR      38,730,000,000      USD      2,679,720           8/20/21        (1,097
USD      1,023,340      COP      3,790,000,000           8/20/21        46,920  
USD      2,659,114      IDR      38,730,000,000           8/20/21        (19,510
GBP      1,427,000      USD      2,021,785           8/23/21        (38,163
GBP      6,720,544      USD      9,517,979           8/23/21        (175,991
RUB      97,000,000      USD      1,301,169           8/23/21        22,404  
USD      1,302,220      RUB      97,000,000           8/23/21        (21,353
BRL      4,350,000      USD      864,148           8/26/21        (31,511
USD      809,016      BRL      4,350,000           8/26/21        (23,620
USD      5,290,897      NZD      7,571,945           8/26/21        15,901  
USD      3,447,972      NZD      4,934,486           8/26/21        10,362  

 

21

 

 


Currency
Purchased
     Currency
Sold
          Settlement
Date
     Value/
Unrealized
Appreciation
(Depreciation)
 
INR      168,180,000      USD      2,275,692           8/27/21      $ (20,302
USD      2,248,666      INR      168,180,000           8/27/21        (6,724
NZD      5,276,512      USD      3,693,959           9/1/21        (18,156
NZD      2,110,982      USD      1,538,619           9/1/21        (68,035
USD      28,042,456      NZD      38,474,196           9/1/21        1,239,984  
USD      18,583,890      NZD      25,497,061           9/1/21        821,745  
BRL      4,150,000      USD      819,151           9/2/21        (25,572
CLP      832,000,000      USD      1,144,508           9/2/21        (49,184
USD      1,097,495      CLP      832,000,000           9/2/21        2,171  
NZD      28,011,493      USD      19,676,393           9/7/21        (163,216
PEN      3,700,000      USD      954,765           9/9/21        (43,818
USD      1,187,925      PEN      4,596,080           9/10/21        56,352  
EUR      2,120,113      USD      2,503,769           9/15/21        13,335  
EUR      245,209      USD      298,980           9/15/21        (7,856
USD      40,670,731      EUR      33,356,140           9/15/21        1,068,664  
USD      27,764,260      EUR      22,770,885           9/15/21        729,534  
USD      7,556,034      EUR      6,197,089           9/15/21        198,542  
USD      3,076,856      EUR      2,523,486           9/15/21        80,847  
USD      1,097,359      EUR      900,000           9/15/21        28,834  
USD      3,427,991      EUR      2,902,716           9/15/21        (18,257
PHP      218,000,000      USD      4,471,795           9/20/21        (120,507
USD      4,298,955      PHP      218,000,000           9/20/21        (52,333
TWD      96,600,000      USD      3,518,100           9/22/21        (55,409
AUD      42,245,000      USD      31,687,130           9/23/21        (678,146
NZD      16,384,960      USD      11,398,198           9/23/21        14,683  
USD      12,521,700      NZD      18,000,000           9/23/21        (16,130
NZD      8,194,246      USD      5,780,795           9/28/21        (73,296
USD      8,169,910      NZD      11,580,804           9/28/21        103,588  
USD      5,324,169      NZD      7,546,981           9/28/21        67,507  
USD      70,441,611      IDR      1,030,067,670,423           9/30/21        (440,723
RUB      189,546,000      USD      2,521,853           10/8/21        40,730  
USD      2,505,039      RUB      189,546,000           10/8/21        (57,544
USD      2,731,045      INR      206,000,000           10/14/21        (16,324
COP      4,916,000,000      USD      1,266,074           10/27/21        (4,007
USD      3,096,956      MXN      62,462,496           10/29/21        (3,381
                 

 

 

 
   $     2,318,353  
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
ILS      91,000,000      USD      27,953,400      Bank of America, N.A.      8/3/21      $ 198,185      $  
USD      28,036,940      ILS      91,000,000      HSBC Bank USA, N.A.      8/3/21               (114,646
EUR      2,876,217      USD      3,400,340      Bank of America, N.A.      8/6/21        11,768         
EUR      2,194,975      USD      2,604,056      Bank of America, N.A.      8/6/21               (118
USD      37,386,518      CNH      243,703,533      Goldman Sachs International      8/10/21               (290,312
USD      594,337      UAH      16,897,000      BNP Paribas      8/11/21               (34,041

 

22

 

 


Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
EUR      12,564,271      NOK      128,566,000      Barclays Bank PLC      8/12/21      $ 354,185      $  
NOK      128,566,000      EUR      12,838,909      Bank of America, N.A.      8/12/21               (680,031
USD      127,463      UAH      3,510,000      Citibank, N.A.      8/12/21               (3,039
USD      27,478,604      THB      897,121,451      Standard Chartered Bank      8/16/21        185,691         
USD      99,806      UAH      2,825,000      Bank of America, N.A.      8/16/21               (5,129
USD      1,714,739      ZAR      24,270,566      Citibank, N.A.      8/16/21        60,810         
USD      605,517      ZAR      8,591,351      Citibank, N.A.      8/16/21        20,055         
MXN      24,300,000      USD      1,215,340      HSBC Bank USA, N.A.      8/19/21        2,796         
SGD      4,087,000      USD      3,033,330      Citibank, N.A.      8/19/21               (17,052
USD      1,201,820      MXN      24,300,000      Citibank, N.A.      8/19/21               (16,316
USD      3,059,478      SGD      4,087,000      BNP Paribas      8/19/21        43,200         
USD      2,338,714      ILS      7,600,000      HSBC Bank USA, N.A.      8/20/21               (12,589
USD      796,016      UAH      22,376,000      Bank of America, N.A.      8/20/21               (34,354
USD      11,697,010      ZAR      171,718,230      BNP Paribas      8/23/21        5,666         
USD      27,256,684      ZAR      382,094,688      Citibank, N.A.      8/23/21        1,241,972         
USD      1,201,302      ZAR      17,182,701      Citibank, N.A.      8/23/21        31,427         
USD      1,199,364      ZAR      17,216,995      Citibank, N.A.      8/23/21        27,155         
USD      575,236      ZAR      8,217,008      Citibank, N.A.      8/23/21        15,785         
USD      3,696,005      ZAR      53,102,216      BNP Paribas      8/24/21        81,031         
SEK      60,300,000      USD      7,300,590      Standard Chartered Bank      8/25/21               (294,578
SEK      126,796,211      USD      15,351,361      Standard Chartered Bank      8/25/21               (619,425
USD      27,965,615      ILS      91,000,000      Bank of America, N.A.      8/31/21               (189,857
USD      1,463,026      UAH      40,994,000      Goldman Sachs International      9/1/21               (53,961
USD      1,447,568      UAH      40,170,000      Citibank, N.A.      9/7/21               (36,791
USD      1,617,696      MYR      6,750,000      Goldman Sachs International      9/8/21        26,895         
USD      1,766,882      ZAR      25,109,903      Citibank, N.A.      9/8/21        60,779         
USD      3,091,457      ZAR      43,965,593      Standard Chartered Bank      9/8/21        104,195         
EUR      2,508,123      PLN      11,200,000      UBS AG      9/13/21        70,045         
PLN      11,200,000      EUR      2,441,034      State Street Bank and Trust Company      9/13/21        9,605         
USD      1,325,842      EUR      1,122,682      BNP Paribas      9/15/21               (7,061
USD      3,525,082      EUR      2,984,929      BNP Paribas      9/15/21               (18,774
USD      667,400      UAH      18,507,000      BNP Paribas      9/15/21               (15,148
USD      2,166,346      ZAR      30,131,883      Standard Chartered Bank      9/15/21        120,849         
USD      3,910,752      THB      121,886,392      Standard Chartered Bank      9/16/21        203,201         
USD      503,610      UAH      13,950,000      HSBC Bank USA, N.A.      9/16/21               (10,749
TRY      8,600,000      USD      948,121      Citibank, N.A.      9/17/21        49,110         
USD      960,174      TRY      8,600,000      Standard Chartered Bank      9/17/21               (37,057
USD      718,656      UAH      20,108,000      Bank of America, N.A.      9/20/21               (22,043
USD      303,166      UAH      8,522,000      Citibank, N.A.      9/22/21               (10,599
USD      4,656,552      ZAR      67,161,043      BNP Paribas      9/23/21        101,983         
USD      4,416,853      ZAR      63,722,659      HSBC Bank USA, N.A.      9/23/21        95,460         

 

23

 

 


Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
     Unrealized
(Depreciation)
 
ZAR      13,850,000      USD      954,665      HSBC Bank USA, N.A.      9/27/21      $      $ (15,897
USD      2,925,358      UAH      81,676,000      BNP Paribas      9/30/21               (76,023
USD      5,892,843      ZAR      84,963,546      BNP Paribas      9/30/21        136,118         
USD      2,151,773      ZAR      31,251,159      Goldman Sachs International      10/1/21        34,613         
USD      2,780,457      ZAR      40,370,220      Citibank, N.A.      10/4/21        46,555         
HUF      4,700,000,000      EUR      13,130,927      BNP Paribas      10/8/21               (75,986
PLN      58,323,000      EUR      12,747,286      Goldman Sachs International      10/8/21        969         
MXN      23,000,000      USD      1,143,283      State Street Bank and Trust Company      10/13/21        968         
USD      1,126,058      MXN      23,000,000      Societe Generale      10/13/21               (18,194
CNH      74,903,533      USD      11,480,172      BNP Paribas      10/15/21        36,844         
USD      1,707,470      THB      55,864,596      Standard Chartered Bank      10/18/21        8,386         
MXN      10,486,661      USD      513,664      Goldman Sachs International      10/22/21        7,369         
MXN      8,658,611      USD      423,323      Standard Chartered Bank      10/22/21        6,883         
MXN      8,658,612      USD      425,477      Standard Chartered Bank      10/22/21        4,729         
MXN      8,658,612      USD      425,537      Standard Chartered Bank      10/22/21        4,669         
EGP      23,320,000      USD      1,421,951      Goldman Sachs International      10/28/21        32,159         
THB      99,000,000      USD      3,005,464      Standard Chartered Bank      11/2/21        5,381         
EGP      23,300,000      USD      1,421,599      Goldman Sachs International      11/8/21        26,798         
USD      4,209,726      BHD      1,605,000      Bank of America, N.A.      3/14/22               (27,047
USD      8,407,724      SAR      32,004,000      Standard Chartered Bank      3/14/22               (114,685
USD      20,243,572      SAR      77,035,000      Standard Chartered Bank      3/14/22               (270,230
USD      8,429,122      BHD      3,217,000      Standard Chartered Bank      3/16/22               (62,585
USD      4,215,852      BHD      1,625,000      Standard Chartered Bank      3/16/22               (73,556
USD      4,112,475      BHD      1,585,976      Standard Chartered Bank      3/16/22               (73,923
USD      8,651,101      SAR      32,792,000      BNP Paribas      3/24/22               (80,623
USD      12,976,517      SAR      49,181,000      HSBC Bank USA, N.A.      3/24/22               (119,205
USD      15,526,212      SAR      58,790,000      Standard Chartered Bank      3/28/22               (127,783
USD      23,292,293      OMR      9,293,625      BNP Paribas      8/29/22               (719,836
USD      5,030,996      BHD      1,911,024      Standard Chartered Bank      3/13/23        17,972         
USD      4,226,390      SAR      15,887,000      Standard Chartered Bank      3/13/23        3,801         
USD      6,711,224      BHD      2,554,000      Standard Chartered Bank      3/15/23        11,791         
USD      11,776,656      OMR      4,666,500      BNP Paribas      4/8/24               (102,634
USD      11,825,022      OMR      4,664,971      Standard Chartered Bank      4/22/24               (50,376
USD      8,189,339      OMR      3,237,000      BNP Paribas      7/8/24               (50,940
USD      5,155,499      OMR      2,039,000      Standard Chartered Bank      7/15/24               (35,087
USD      954,425      OMR      378,000      BNP Paribas      7/29/24               (7,832
                 

 

 

    

 

 

 
   $     3,507,853      $     (4,626,112
                 

 

 

    

 

 

 

Non-deliverable Bond Forward Contracts*

 

Settlement
Date
   Notional
Amount
(000’s omitted)
    

Reference Entity

  

Counterparty

   Aggregate Cost      Unrealized
Appreciation
(Depreciation)
 
8/16/21    COP     27,410,880      Republic of Colombia,
5.75%, 11/3/27
   Bank of America, N.A.    $ 7,068,303      $ (13,168
8/16/21    COP     27,410,880      Republic of Colombia,
5.75%, 11/3/27
   Bank of America, N.A.      7,048,894        19,410  

 

24

 

 


Settlement
Date
   Notional
Amount
(000’s omitted)
    

Reference Entity

  

Counterparty

   Aggregate Cost      Unrealized
Appreciation
(Depreciation)
 
8/17/21    COP     25,232,830      Republic of Colombia,
6.00%, 4/28/28
   Bank of America, N.A.    $ 6,506,661      $ (51,129
8/25/21    COP     8,255,529      Republic of Colombia,
5.75%, 11/3/27
   Bank of America, N.A.      2,128,811        32,813  
8/27/21    COP     8,038,070      Republic of Colombia,
6.00%, 4/28/28
   Goldman Sachs International      2,072,736        26,817  
9/3/21    COP     27,410,880      Republic of Colombia,
5.75%, 11/3/27
   Bank of America, N.A.      7,068,303        56,695  
9/15/21    COP     27,410,880      Republic of Colombia,
5.75%, 11/3/27
   Bank of America, N.A.      7,068,303        105,176  
                

 

 

 
   $     176,614  
                

 

 

 

 

*

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

Futures Contracts

 

Description    Number of
Contracts
     Position    Expiration
Date
     Notional
Amount
     Value/
Unrealized
Appreciation
(Depreciation)
 

 

  

 

 

    

 

  

 

 

    

 

 

    

 

 

 

Interest Rate Futures

 

U.S. 2-Year Treasury Note

     18      Long      9/30/21      $ 3,971,813      $ (1,387

U.S. 10-Year Treasury Note

     73      Long      9/21/21        9,815,078        137,600  

U.S. Ultra-Long Treasury Bond

     17      Long      9/21/21        3,392,031        208,069  

Euro-Bobl

     (4    Short      9/8/21        (642,283      (6,075

Euro-Buxl

     (14    Short      9/8/21        (3,571,275      (249,457

U.S. 5-Year Treasury Note

     (22    Short      9/30/21        (2,737,797      (12,631

U.S. 10-Year Treasury Note

     (1,752    Short      9/21/21        (235,561,875      (4,262,871

U.S. Long Treasury Bond

     (2    Short      9/21/21        (329,438      (16,144
              

 

 

 
   $ (4,202,896
              

 

 

 

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    

5,003

   Receives    Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)
   Pays    1.60%
(pays upon termination)
     8/15/32      $ (88,016
  EUR     19,000    Receives    Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)
   Pays    1.69%
(pays upon termination)
     11/15/32        (627,305
  EUR     5,003    Pays    Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)
   Receives    1.79%
(pays upon termination)
     8/15/42        212,003  
  EUR     19,000    Pays    Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)
   Receives    1.89%
(pays upon termination)
     11/15/42        1,563,751  
  USD     8,770    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.29%
(pays upon termination)
     1/26/26        (373,421

 

25

 

 


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     8,770    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.29%
(pays upon termination)
     1/26/26      $ (373,421
  USD     8,770    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.26%
(pays upon termination)
     1/27/26        (388,865
  USD     8,780    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.26%
(pays upon termination)
     1/27/26        (388,136
  USD     4,910    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.28%
(pays upon termination)
     1/28/26        (213,759
  USD     5,000    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    1.28%
(pays upon termination)
     4/20/30        742,537  
  USD     8,770    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.33%
(pays upon termination)
     1/26/31        399,331  
  USD    

8,770

   Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.33%
(pays upon termination)
     1/26/31        398,104  
  USD     8,780    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.31%
(pays upon termination)
     1/27/31        419,287  
  USD     8,770    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.31%
(pays upon termination)
     1/27/31        418,564  
  USD     4,910    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.32%
(pays upon termination)
     1/28/31        232,367  
  USD     19,500    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.30%
(pays upon termination)
     2/25/31        936,241  
  USD     25,300    Pays    Return on CPI-U (NSA)
(pays upon termination)
   Receives    2.22%
(pays upon termination)
     11/14/32        (1,355,127
  USD     25,300    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.20%
(pays upon termination)
     11/14/42        1,826,486  
  USD     2,309    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.13%
(pays upon termination)
     8/22/47        258,379  
  USD     2,295    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.15%
(pays upon termination)
     8/25/47        245,212  
  USD     4,400    Receives    Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.42%
(pays upon termination)
     6/8/48        (29,165
                   

 

 

 
   $ 3,815,047  
                   

 

 

 

 

CPI-U (NSA)

  -   Consumer Price Index All Urban Non-Seasonally Adjusted

HICP

  -   Harmonised Indices of Consumer Prices

Inflation Swaps

 

Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Return on
Reference
Index
 

Reference Index

  

Portfolio
Pays/Receives
Rate

  

Annual

Rate

   Termination
Date
     Value/
Unrealized

Appreciation
(Depreciation)
 
Bank of America, N.A.    USD     19,500      Receives   Return on CPI-U (NSA)
(pays upon termination)
   Pays    2.09%
(pays upon termination)
     4/2/29      $ 1,240,875  
                     

 

 

 
   $ 1,240,875  
                     

 

 

 

 

CPI-U (NSA)

  -   Consumer Price Index All Urban Non-Seasonally Adjusted

 

26

 

 


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 413,556      Pays    Brazil CETIP Interbank Deposit Rate
(pays upon termination)
   3.08%
(pays upon termination)
     1/3/22      $ (717,002   $     $ (717,002
BRL 417,031      Receives    Brazil CETIP Interbank Deposit Rate
(pays upon termination)
   3.40%
(pays upon termination)
     1/3/22        584,625             584,625  
BRL 34,700      Receives    Brazil CETIP Interbank Deposit Rate
(pays upon termination)
   8.59%
(pays upon termination)
     1/4/27        91,258             91,258  
CLP 4,565,350      Receives    6-month Sinacofi Chile Interbank Rate
(pays semi-annually)
   2.03%
(pays semi-annually)
     2/25/26        288,347             288,347  
CLP 1,842,670      Receives    6-month Sinacofi Chile Interbank Rate
(pays semi-annually)
   2.04%
(pays semi-annually)
     2/25/26        116,175             116,175  
CLP 9,791,980      Receives    6-month Sinacofi Chile Interbank Rate
(pays semi-annually)
   2.04%
(pays semi-annually)
     2/25/26        616,599             616,599  
CLP 7,600,000      Receives    6-month Sinacofi Chile Interbank Rate
(pays semi-annually)
   3.44%
(pays semi-annually)
     7/30/26        (33,599           (33,599
CNY 892,000      Pays    7-day China Fixing Repo Rates
(pays quarterly)
   2.31%
(pays quarterly)
     7/28/22        23,750             23,750  
COP 51,043,100      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.38%
(pays quarterly)
     3/30/26        250,119             250,119  
COP 25,273,200      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.38%
(pays quarterly)
     3/30/26        123,272             123,272  
COP 14,519,700      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.48%
(pays quarterly)
     3/31/26        54,096             54,096  
COP 15,543,300      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.56%
(pays quarterly)
     4/6/26        46,267             46,267  
COP 4,505,500      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.82%
(pays quarterly)
     3/26/28        28,892             28,892  
COP 5,037,000      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.82%
(pays quarterly)
     3/26/28        31,916             31,916  
COP 3,218,200      Receives    Colombia Overnight Interbank Reference Rate
(pays quarterly)
   4.83%
(pays quarterly)
     3/26/28        20,145             20,145  
EUR 750      Receives    6-month EURIBOR
(pays semi-annually)
   (0.30)%
(pays annually)
     6/16/25        (4,266     (1     (4,267
HUF 4,600,000      Receives    6-month HUF BUBOR
(pays semi-annually)
   2.45%
(pays annually)
     8/2/26        31,043             31,043  
MXN 1,081,600      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   8.54%
(pays monthly)
     12/15/23        3,139,022             3,139,022  
MXN 298,383      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.76%
(pays monthly)
     3/7/24        (267,429           (267,429
MXN 82,926      Receives    Mexico Interbank TIIE 28 Day
(pays monthly)
   6.79%
(pays monthly)
     3/7/24        (77,394           (77,394
MXN 393,100      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.63%
(pays monthly)
     1/9/25        (986,358           (986,358
MXN 393,300      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   4.61%
(pays monthly)
     1/10/25        (994,783           (994,783
MXN 350,000      Pays    Mexico Interbank TIIE 28 Day
(pays monthly)
   5.29%
(pays monthly)
     5/2/25        (577,169           (577,169
THB 384,716      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.19%
(pays semi-annually)
     2/23/28        (185,005           (185,005
THB 384,716      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.19%
(pays semi-annually)
     2/23/28        (185,005           (185,005
THB 217,211      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.32%
(pays semi-annually)
     2/25/28        (161,409           (161,409
THB 192,358      Receives    6-month THB Fixing Rate
(pays semi-annually)
   1.34%
(pays semi-annually)
     2/25/28        (151,059           (151,059
USD 1,010      Receives    3-month USD-LIBOR
(pays quarterly)
   0.32%
(pays semi-annually)
     6/11/23        (1,673           (1,673

 

27

 

 


                                                                                                                                                                              
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       332    Receives    3-month USD-LIBOR
(pays quarterly)
   0.44%
(pays semi-annually)
     6/12/25      $ 2,186     $     $ 2,186  
USD    1,010    Receives    3-month USD-LIBOR
(pays quarterly)
   0.36%
(pays semi-annually)
     6/15/25        9,824             9,824  
USD    1,316    Receives    3-month USD-LIBOR
(pays quarterly)
   0.37%
(pays semi-annually)
     6/23/25        12,954             12,954  
USD    1,180    Receives    3-month USD-LIBOR
(pays quarterly)
   0.32%
(pays semi-annually)
     7/14/25        14,537             14,537  
USD    1,000    Receives    3-month USD-LIBOR
(pays quarterly)
   0.50%
(pays semi-annually)
     6/4/27        22,033             22,033  
USD  51,000    Receives    3-month USD-LIBOR
(pays quarterly)
   0.94%
(pays semi-annually)
     1/7/31        1,261,629             1,261,629  
USD  11,693    Receives    3-month USD-LIBOR
(pays quarterly)
   2.50%
(pays semi-annually)
     9/20/47        (2,351,085     (98,019     (2,449,104
USD    2,450    Pays    3-month USD-LIBOR
(pays quarterly)
   0.58%
(pays semi-annually)
     3/11/50        (623,222           (623,222
USD    2,450    Pays    3-month USD-LIBOR
(pays quarterly)
   0.62%
(pays semi-annually)
     3/11/50        (598,215           (598,215
USD    3,670    Pays    3-month USD-LIBOR
(pays quarterly)
   0.97%
(pays semi-annually)
     3/20/50        (588,847           (588,847
USD       700    Receives    3-month USD-LIBOR
(pays quarterly)
   0.94%
(pays semi-annually)
     5/21/50        117,809             117,809  
USD    5,000    Receives    3-month USD-LIBOR
(pays quarterly)
   1.18%
(pays semi-annually)
     6/10/50        557,536             557,536  
USD  12,450    Pays    3-month USD-LIBOR
(pays quarterly)
   1.27%
(pays semi-annually)
     11/4/50        (1,116,214           (1,116,214
USD    3,750    Receives    3-month USD-LIBOR
(pays quarterly)
   1.76%
(pays semi-annually)
     2/12/51        (130,568           (130,568
USD    3,000    Receives    3-month USD-LIBOR
(pays quarterly)
   1.24%
(pays semi-annually)
     3/5/51        285,917             285,917  
USD    3,000    Pays    3-month USD-LIBOR
(pays quarterly)
   1.26%
(pays semi-annually)
     3/5/51        (272,774           (272,774
USD  12,500    Receives    3-month USD-LIBOR
(pays quarterly)
   1.70%
(pays semi-annually)
     3/5/51        (242,534     (334,143     (576,677
ZAR165,000    Pays    3-month ZAR JIBAR
(pays quarterly)
   5.74%
(pays quarterly)
     7/29/26        5,210       638       5,848  
              

 

 

   

 

 

   

 

 

 

Total

     $ (2,530,449   $ (431,525   $ (2,961,974
              

 

 

   

 

 

   

 

 

 

Interest Rate Swaps

 

Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
   Value/
Unrealized
Appreciation
(Depreciation)
 
Bank of America, N.A.    MYR     61,400      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.50%
(pays quarterly)
   7/19/26    $ (3,161
BNP Paribas    MYR     55,800      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%
(pays quarterly)
   7/16/26      5,171  
BNP Paribas    MYR     55,800      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%
(pays quarterly)
   7/16/26      5,169  
BNP Paribas    MYR     92,000      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.47%
(pays quarterly)
   7/26/26      (49,599
Goldman Sachs International    MYR     44,300      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.52%
(pays quarterly)
   7/16/26      6,632  

 

28

 

 


Counterparty

   Notional
Amount
(000’s omitted)
     Portfolio
Pays/Receives
Floating Rate
  

Floating Rate

  

Annual

Fixed Rate

   Termination
Date
   Value/
Unrealized
Appreciation
(Depreciation)
 
Goldman Sachs International    MYR     13,500      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.50%
(pays quarterly)
   7/19/26    $ (2,080
Standard Chartered Bank    MYR     99,300      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.53%
(pays quarterly)
   7/16/26      26,183  
Standard Chartered Bank    MYR     43,900      Pays    3-month MYR KLIBOR
(pays quarterly)
   2.49%
(pays quarterly)
   7/19/26      (9,268
                   

 

 

 
   $ (20,953
                   

 

 

 

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    $ 26,266      1.00%
(pays quarterly)(1)
     6/20/26      $ (643,939   $ 691,744      $ 47,805  
           

 

 

   

 

 

    

 

 

 

Total

     $ (643,939   $ 691,744      $ 47,805  
           

 

 

   

 

 

    

 

 

 

 

*

The contract annual fixed rate represents the fixed rate of interest paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract.

 

(1) 

Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Cross-Currency Swaps

 

                                                                                                   

Counterparty

  

Portfolio

Receives

  

Portfolio

Pays

   Termination
Date
   Value/
Unrealized
Appreciation

(Depreciation)
 
Bank of America, N.A.    1-day Indice Camara Promedio Rate on CLP 1,013,999,193 (pays semi-annually)*    (0.20)% on CLP equivalent of CLF 34,778 (pays semi-annually)*    2/10/31    $ 133,273  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 1,901,102,998 (pays semi-annually)*    (0.25)% on CLP equivalent of CLF 65,220 (pays semi-annually)*    2/9/31      261,383  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 959,074,478 (pays semi-annually)*    (0.24)% on CLP equivalent of CLF 32,886 (pays semi-annually)*    2/11/31      131,504  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 959,284,060 (pays semi-annually)*    (0.27)% on CLP equivalent of CLF 32,885 (pays semi-annually)*    2/12/31      135,703  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 467,082,022 (pays semi-annually)*    (0.32)% on CLP equivalent of CLF 15,992 (pays semi-annually)*    2/17/31      69,975  
Goldman Sachs International    1-day Indice Camara Promedio Rate on CLP 1,831,709,463 (pays semi-annually)*    (0.15)% on CLP equivalent of CLF 62,683 (pays semi-annually)*    2/19/31      234,988  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 558,373,067 (pays semi-annually)*    (0.23)% on CLP equivalent of CLF 19,151 (pays semi-annually)*    2/10/31      75,249  

 

29

 

 


                                                                                                   

Counterparty

  

Portfolio

Receives

  

Portfolio

Pays

   Termination
Date
     Value/
Unrealized
Appreciation

(Depreciation)
 
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 558,512,295 (pays semi-annually)*    (0.20)% on CLP equivalent of CLF 19,151 (pays semi-annually)*      2/11/31      $ 73,604  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 558,512,295 (pays semi-annually)*    (0.22)% on CLP equivalent of CLF 19,151 (pays semi-annually)*      2/11/31        74,720  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 1,117,024,590 (pays semi-annually)*    (0.22)% on CLP equivalent of CLF 38,302 (pays semi-annually)*      2/11/31        150,185  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 1,117,024,590 (pays semi-annually)*    (0.23)% on CLP equivalent of CLF 38,302 (pays semi-annually)*      2/11/31        151,674  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 890,207,440 (pays semi-annually)*    (0.30)% on CLP equivalent of CLF 30,517 (pays semi-annually)*      2/12/31        129,489  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 839,036,096 (pays semi-annually)*    (0.31)% on CLP equivalent of CLF 28,727 (pays semi-annually)*      2/16/31        124,600  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 559,347,662 (pays semi-annually)*    (0.34)% on CLP equivalent of CLF 19,151 (pays semi-annually)*      2/16/31        85,299  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 564,044,545 (pays semi-annually)*    (0.21)% on CLP equivalent of CLF 19,307 (pays semi-annually)*      2/18/31        76,099  
The Bank of Nova Scotia    1-day Indice Camara Promedio Rate on CLP 564,185,100 (pays semi-annually)*    (0.16)% on CLP equivalent of CLF 19,307 (pays semi-annually)*      2/19/31        72,566  
           

 

 

 
   $ 1,980,311  
           

 

 

 

 

*

At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date.    

 

30

 

 


Abbreviations:

 

COF

  -   Cost of Funds 11th District

EURIBOR

  -   Euro Interbank Offered Rate

GDP

  -   Gross Domestic Product

LIBOR

  -   London Interbank Offered Rate

PIK

  -   Payment In Kind

SOFR

  -   Secured Overnight Financing Rate

TBA

  -   To Be Announced

Currency Abbreviations:

 

AUD     -     Australian Dollar

BHD

    -     Bahraini Dinar

BRL

    -     Brazilian Real

CLF

    -     Chilean Unidad de Fomento

CLP

    -     Chilean Peso

CNH

    -     Yuan Renminbi Offshore

CNY

    -     Yuan Renminbi

COP

    -     Colombian Peso

EGP

    -     Egyptian Pound

EUR

    -     Euro

GBP

    -     British Pound Sterling

HUF

    -     Hungarian Forint

IDR

    -     Indonesian Rupiah

ILS

    -     Israeli Shekel

INR

    -     Indian Rupee

ISK

    -     Icelandic Krona

MXN

    -     Mexican Peso

MYR

    -     Malaysian Ringgit

NOK

  -   Norwegian Krone

NZD

  -   New Zealand Dollar

OMR

  -   Omani Rial

PEN

  -   Peruvian Sol

PHP

  -   Philippine Peso

PLN

  -   Polish Zloty

RSD

  -   Serbian Dinar

RUB

  -   Russian Ruble

SAR

  -   Saudi Riyal

SEK

  -   Swedish Krona

SGD

  -   Singapore Dollar

THB

  -   Thai Baht

TRY

  -   New Turkish Lira

TWD

  -   New Taiwan Dollar

UAH

  -   Ukrainian Hryvnia

USD

  -   United States Dollar

UZS

  -   Uzbekistani Som

ZAR

  -   South African Rand
 

 

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GOP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The net assets of the Subsidiary at July 31, 2021 were $1,352,833 or 0.1% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

 

31

 

 


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

Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including 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: During the fiscal year to date ended July 31, 2021, the Portfolio entered into total return swap contracts to enhance total return and/or to manage certain investment risks.

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

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives, including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions, inflation swaps, 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 July 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

Restricted Securities

At July 31, 2021, the Portfolio owned the following securities (representing 1.7% 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

           

Altair VI Reinsurance

     12/29/17        1,000      $ 2,670,333      $ 251,377  

Mt. Logan Re, Ltd., Series 13, Preference Shares

     1/2/18        10,000        6,658,283        10,766,457  

Mt. Logan Re, Ltd., Series 17, Preference Shares

     1/26/21        860        572,931        894,222  

Mt. Logan Re, Ltd., Special Investment Series 13, 12/18

     1/22/19        2,000        1,446,242        426,116  

Mt. Logan Re, Ltd., Special Investment Series 13, 12/19

     1/17/20        1,829        1,322,544        636,297  

Sussex Capital, Ltd., Designated Investment Series 5, 5/19

     5/31/19        249        212,150        39,301  

Sussex Capital, Ltd., Designated Investment Series 5, 12/19

     1/17/20        791        673,953        117,940  

Sussex Capital, Ltd., Designated Investment Series 5, 6/20

     6/30/20        434        69,673        105,062  

Sussex Capital, Ltd., Designated Investment Series 5, 12/20

     1/25/21        292        284,695        150,407  

Sussex Capital, Ltd., Designated Investment Series 5, 4/21

     4/1/21        247        195,858        199,176  

Sussex Capital, Ltd., Series 5, Preference Shares

     12/17/18        6,000        4,563,671        6,349,725  

Sussex Capital, Ltd., Series 15, Preference Shares

     6/1/21        5,000        5,000,000        5,030,329  

Sussex Re, Ltd., Series 2020A

     1/21/20        4,081,939        208,171        244,100  

Sussex Re, Ltd., Series 2021A

     1/14/21        4,154,232        3,475,256        4,141,769  

Versutus Re, Ltd., Series 2019

     1/21/20        220,133        47,833        147,929  
        

 

 

    

 

 

 

Total Restricted Securities

         $     27,401,593      $     29,500,207  
        

 

 

    

 

 

 

 

32

 

 


The Portfolio invested in issuers that may be deemed to be affiliated with Morgan Stanley. At July 31, 2021, the value of the Portfolio’s investment in affiliated issuers and funds was $512,018,991, which represents 28.8% of the Portfolio’s net assets. Transactions in affiliated issuers and funds by the Portfolio for the fiscal year to date ended July 31, 2021 were as follows:

 

                                                                                                                                                                                                       

Name

   Value,
beginning of
period
     Purchases      Sales
proceeds
    Net
realized
gain (loss)
     Change in
unrealized
appreciation
(depreciation)
    Value, end of
period
     Interest/Dividend
income
     Principal
amount/Units, end
of period
 
                                                       

Commercial Mortgage-Backed Securities

 

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class D, 4.354%, 8/15/46(1)

   $      $      $     $      $ (3,603   $ 471,975      $ 18,900      $ 5,000,000  

Short-Term Investments

 

Eaton Vance Cash Reserves Fund, LLC

     282,555,462        1,513,288,494        (1,284,296,271     4,376        (5,045     511,547,016        268,880        511,547,016  
          

 

 

    

 

 

   

 

 

    

 

 

    

Totals

           $     4,376      $     (8,648   $     512,018,991      $     287,780     
          

 

 

    

 

 

   

 

 

    

 

 

    

 

(1)

May be deemed to be an affiliated issuer as of March 1, 2021.

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.

 

33

 

 


At July 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  

Asset-Backed Securities

   $      $ 178,365,250      $      $ 178,365,250  

Closed-End Funds

     12,959,190                      12,959,190  

Collateralized Mortgage Obligations

            121,854,012               121,854,012  

Commercial Mortgage-Backed Securities

            11,684,940               11,684,940  

U.S. Government Agency Mortgage-Backed Securities

            561,815,940               561,815,940  

Common Stocks

            11,067,236             11,067,236  

Convertible Bonds

            4,210,359               4,210,359  

Foreign Corporate Bonds

            109,075,179        885,983        109,961,162  

Loan Participation Notes

                   536,746        536,746  

Reinsurance Side Cars

                   40,793,904        40,793,904  

Sovereign Government Bonds

            341,647,080               341,647,080  

Sovereign Loans

            2,069,649               2,069,649  

U.S. Government Guaranteed Small Business Administration Loans

            39,729,027               39,729,027  

Senior Floating-Rate Loans

            2,946,229               2,946,229  

Short-Term Investments —

           

Affiliated Fund

            511,547,016               511,547,016  

Repurchase Agreements

            10,639,431               10,639,431  

Sovereign Government Securities

            65,916,155               65,916,155  

U.S. Treasury Obligations

            6,999,773               6,999,773  

Purchased Interest Rate Swaptions

            360,586               360,586  

Total Investments

   $ 12,959,190      $ 1,979,927,862      $ 42,216,633      $ 2,035,103,685  

Forward Foreign Currency Exchange Contracts

   $      $ 8,562,942      $      $ 8,562,942  

Non-deliverable Bond Forward Contracts

            240,911               240,911  

Futures Contracts

     345,669                      345,669  

Swap Contracts

            18,651,764               18,651,764  

Total

   $     13,304,859      $     2,007,383,479      $     42,216,633      $     2,062,904,971  
Liability Description                          

Securities Sold Short

   $      $ (10,559,088    $      $ (10,559,088

TBA Sale Commitments

            (156,060,537             (156,060,537

Forward Commodity Contracts

            (545,735             (545,735

Forward Foreign Currency Exchange Contracts

            (7,362,848             (7,362,848

Non-deliverable Bond Forward Contracts

            (64,297             (64,297

Futures Contracts

     (4,548,565                    (4,548,565

Swap Contracts

            (14,810,872             (14,810,872

Total

   $ (4,548,565    $ (189,403,377    $      $ (193,951,942

 

*

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.

 

34

 

 


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

 

     Investments in
Foreign
Corporate
Bonds
     Investments in
Loan Participation Notes
     Investments in
Reinsurance
Side Cars*
     Total  

Balance as of October 31, 2020

   $ 800,582      $ 563,847      $ 36,084,623      $ 37,449,052  

Realized gains (losses)

                   178,579        178,579  

Change in net unrealized appreciation (depreciation)

     172,901        (24,782      (936,706      (788,587

Cost of purchases

                   19,328,740        19,328,740  

Proceeds from sales, including return of capital

     (87,500             (13,861,332      (13,948,832

Accrued discount (premium)

            (2,319             (2,319

Transfers to Level 3

                           

Transfers from Level 3

                           
  

 

 

    

 

 

    

 

 

    

 

 

 

Balance as of July 31, 2021

   $ 885,983      $ 536,746      $ 40,793,904      $ 42,216,633  
  

 

 

    

 

 

    

 

 

    

 

 

 

Change in net unrealized appreciation (depreciation) on investments still held as of July 31, 2021

   $ 172,901      $ (24,782    $ 959,057      $ 1,107,176  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

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

The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of July 31, 2021:

 

                                                                                                                            

Type of Investment

   Fair Value as
of July 31,
2021
     Valuation
Technique
    

Unobservable Input

   Input     Impact to
Valuation from an
Increase to Input*

Foreign Corporate Bonds

   $ 885,983        Matrix Pricing      Credit Spread to U.S. Treasury      22.31   Decrease

Loan Participation Notes

     536,746        Matrix Pricing      Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate      2.86   Decrease

Included in foreign corporate bonds are securities valued at $0 based on their estimated recovery value percentage.

 

*

Represents the directional change in the fair value of the Level 3 investments that would result in an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

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

 

35

 

 



Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings