UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22424
Global Macro Absolute Return Advantage Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
October 31, 2013
Date of Reporting Period
Item 1. Reports to Stockholders
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments
| 20 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 21 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 22 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 23 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 24 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 25 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 26 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 27 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Portfolio of Investments — continued
| 28 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Statement of Assets and Liabilities
| Assets | October 31, 2013 | |||
| Investments — |
||||
| Securities of unaffiliated issuers, at value (identified cost, $1,675,462,743) |
$ | 1,676,840,208 | ||
| Affiliated investments, at value (identified cost, $133,491,123) |
133,491,123 | |||
| Precious metals, at value (identified cost, $31,063,099) |
25,654,891 | |||
| Total Investments, at value (identified cost, $1,840,016,965) |
$ | 1,835,986,222 | ||
| Cash |
$ | 3,221,499 | ||
| Restricted cash* |
6,729,182 | |||
| Foreign currency, at value (identified cost, $23,035,887) |
22,955,185 | |||
| Interest receivable |
17,568,333 | |||
| Interest receivable from affiliated investment |
3,681 | |||
| Receivable for investments sold |
106,026,822 | |||
| Receivable for open forward commodity contracts |
547,013 | |||
| Receivable for open forward foreign currency exchange contracts |
9,021,236 | |||
| Receivable for open swap contracts |
27,817,985 | |||
| Premium paid on open swap contracts |
48,488,831 | |||
| Tax reclaims receivable |
34,437 | |||
| Total assets |
$ | 2,078,400,426 | ||
| Liabilities | ||||
| Written options outstanding, at value (premiums received, $2,584,548) |
$ | 3,363,385 | ||
| Payable for investments purchased |
114,830,962 | |||
| Payable for variation margin on open centrally cleared swap contracts |
213,000 | |||
| Payable for variation margin on open futures contracts |
529,834 | |||
| Payable for open forward foreign currency exchange contracts |
23,015,199 | |||
| Payable for open swap contracts |
22,988,783 | |||
| Premium payable for open swap contracts |
445,814 | |||
| Premium received on open swap contracts |
12,731,440 | |||
| Payable for securities sold short, at value (proceeds, $155,319,273) |
165,058,268 | |||
| Payable to affiliates: |
||||
| Investment adviser fee |
1,375,403 | |||
| Trustees’ fees |
5,667 | |||
| Interest payable |
1,717,154 | |||
| Accrued expenses |
495,729 | |||
| Total liabilities |
$ | 346,770,638 | ||
| Net Assets applicable to investors’ interest in Portfolio |
$ | 1,731,629,788 | ||
| Sources of Net Assets | ||||
| Investors’ capital |
$ | 1,760,805,612 | ||
| Net unrealized depreciation |
(29,175,824 | ) | ||
| Total |
$ | 1,731,629,788 | ||
| * | Represents restricted cash on deposit at the broker as collateral for open derivative contracts. |
| 29 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Statement of Operations
| Investment Income | Year Ended October 31, 2013 |
|||
| Interest (net of foreign taxes, $112,931) |
$ | 74,888,493 | ||
| Dividends (net of foreign taxes, $101,345) |
582,308 | |||
| Interest allocated from affiliated investment |
190,531 | |||
| Expenses allocated from affiliated investment |
(21,476 | ) | ||
| Total investment income |
$ | 75,639,856 | ||
| Expenses | ||||
| Investment adviser fee |
$ | 14,668,014 | ||
| Trustees’ fees and expenses |
59,894 | |||
| Custodian fee |
1,993,393 | |||
| Legal and accounting services |
149,182 | |||
| Interest expense and fees |
285,085 | |||
| Interest expense on securities sold short |
6,084,091 | |||
| Miscellaneous |
153,851 | |||
| Total expenses |
$ | 23,393,510 | ||
| Deduct — |
||||
| Reduction of custodian fee |
$ | 5,003 | ||
| Total expense reductions |
$ | 5,003 | ||
| Net expenses |
$ | 23,388,507 | ||
| Net investment income |
$ | 52,251,349 | ||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) — |
||||
| Investment transactions (including a loss of $106,495 from precious metals) |
$ | 4,364,029 | ||
| Investment transactions allocated from affiliated investment |
5,222 | |||
| Written options |
8,650,146 | |||
| Securities sold short |
3,168,376 | |||
| Futures contracts |
(1,914,497 | ) | ||
| Swap contracts |
(55,100,632 | ) | ||
| Forward commodity contracts |
3,232,493 | |||
| Foreign currency and forward foreign currency exchange contract transactions |
(32,191,754 | ) | ||
| Net realized loss |
$ | (69,786,617 | ) | |
| Change in unrealized appreciation (depreciation) — |
||||
| Investments (including net decrease of $2,025,805 from precious metals) |
$ | (28,638,178 | ) | |
| Written options |
(4,612,900 | ) | ||
| Securities sold short |
(449,239 | ) | ||
| Futures contracts |
(4,947,708 | ) | ||
| Swap contracts |
24,649,059 | |||
| Forward commodity contracts |
1,380,676 | |||
| Foreign currency and forward foreign currency exchange contracts |
(6,130,480 | ) | ||
| Net change in unrealized appreciation (depreciation) |
$ | (18,748,770 | ) | |
| Net realized and unrealized loss |
$ | (88,535,387 | ) | |
| Net decrease in net assets from operations |
$ | (36,284,038 | ) | |
| 30 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Statements of Changes in Net Assets
| Year Ended October 31, | ||||||||
| Increase (Decrease) in Net Assets | 2013 | 2012 | ||||||
| From operations — |
||||||||
| Net investment income |
$ | 52,251,349 | $ | 46,978,399 | ||||
| Net realized gain (loss) from investment transactions, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, and foreign currency and forward foreign currency exchange contract transactions |
(69,786,617 | ) | 18,418,323 | |||||
| Net change in unrealized appreciation (depreciation) from investments, written options, securities sold short, futures contracts, swap contracts, forward commodity contracts, foreign currency and forward foreign currency exchange contracts |
(18,748,770 | ) | (9,733,037 | ) | ||||
| Net increase (decrease) in net assets from operations |
$ | (36,284,038 | ) | $ | 55,663,685 | |||
| Capital transactions — |
||||||||
| Contributions |
$ | 739,654,827 | $ | 332,353,874 | ||||
| Withdrawals |
(159,206,013 | ) | (266,295,812 | ) | ||||
| Net increase in net assets from capital transactions |
$ | 580,448,814 | $ | 66,058,062 | ||||
| Net increase in net assets |
$ | 544,164,776 | $ | 121,721,747 | ||||
| Net Assets | ||||||||
| At beginning of year |
$ | 1,187,465,012 | $ | 1,065,743,265 | ||||
| At end of year |
$ | 1,731,629,788 | $ | 1,187,465,012 | ||||
| 31 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Consolidated Supplementary Data
| Year Ended October 31, | Period Ended October 31, 2010(1) |
|||||||||||||||
| Ratios/Supplemental Data | 2013 | 2012 | 2011 | |||||||||||||
| Ratios (as a percentage of average daily net assets): |
||||||||||||||||
| Expenses(2) |
1.53 | %(3) | 1.62 | %(3) | 1.42 | %(3) | 1.47 | %(4) | ||||||||
| Net investment income |
3.41 | % | 4.28 | % | 2.10 | % | 1.30 | %(4) | ||||||||
| Portfolio Turnover |
65 | % | 91 | % | 50 | % | 7 | %(5) | ||||||||
| Total Return |
(1.50 | )% | 5.20 | % | 0.45 | % | 0.63 | %(5) | ||||||||
| Net assets, end of period (000’s omitted) |
$ | 1,731,630 | $ | 1,187,465 | $ | 1,065,743 | $ | 182,405 | ||||||||
| (1) | For the period from the start of business, August 31, 2010, to October 31, 2010. |
| (2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. |
| (3) | Includes interest and dividend expense, primarily on securities sold short, of 0.42%, 0.47% and 0.25% for the years ended October 31, 2013, 2012 and 2011, respectively. |
| (4) | Annualized. |
| (5) | Not annualized. |
| 32 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements
1 Significant Accounting Policies
Global Macro Absolute Return Advantage Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2013, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Short Duration Strategic Income Fund (formerly, Eaton Vance Strategic Income Fund), Eaton Vance Multi-Strategy Absolute Return Fund, Eaton Vance International (Cayman Islands) Strategic Income Fund and Eaton Vance Multi-Strategy All Market Fund held an interest of 69.7%, 20.4%, 4.7%, 4.1% and 1.0%, respectively, in the Portfolio.
The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2013 were $36,957,017 or 2.1% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations. Debt obligations (including short-term obligations with a remaining maturity of more than sixty days and excluding most seasoned, fixed-rate 30-year mortgage-backed securities as noted below) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Most seasoned, fixed-rate 30-year mortgage-backed securities are valued through the use of the investment adviser’s matrix pricing system, which takes into account bond prices, yield differentials, anticipated prepayments and interest rates provided by dealers. Short-term obligations purchased with a remaining maturity of sixty days or less (excluding those that are non-U.S. dollar denominated, which typically are valued by a pricing service or dealer quotes) are generally valued at amortized cost, which approximates market value.
Equity Securities. Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices.
Commodities. Precious metals are valued at the New York composite mean quotation reported by Bloomberg at the valuation time.
Derivatives. Exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority for U.S. listed options or by the relevant exchange or board of trade for non-U.S. listed options. Over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial and commodities futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Forward commodity contracts are generally valued based on the price of the underlying futures or forward contract provided by the exchange on which the underlying instruments are traded or if unavailable, based on forward rates provided by broker/dealers. Swaps (other than centrally cleared) and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, or in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, the pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service. Centrally cleared swaps are valued at the daily settlement price provided by the central clearing counterparty.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities.
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). The value of the Portfolio’s investment in Cash Reserves Fund reflects the Portfolio’s proportionate interest in its net assets. Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.
As of October 31, 2013, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Consolidated Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
G Use of Estimates — The preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder.
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
I Financial and Commodities Futures Contracts — Upon entering into a financial or commodities futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange and Forward Commodity Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.
K Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.
L Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.
M Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared (“centrally cleared swaps”), whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment.
Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
N Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
O Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. All upfront payments, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 8. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.
P Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
Q Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked to market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked to market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the present terms of the underlying swap contract.
R Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
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October 31, 2013
Notes to Consolidated Financial Statements — continued
S Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 1.00% of its respective average daily net assets up to $500 million, 0.95% from $500 million but less than $1 billion, 0.925% from $1 billion but less than $2.5 billion, 0.90% from $2.5 billion but less than $5 billion, and 0.88% of average daily net assets of $5 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the year ended October 31, 2013, the Portfolio’s investment adviser fee amounted to $14,668,014 or 0.96% of the Portfolio’s consolidated average daily net assets. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2013, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the year ended October 31, 2013 were as follows:
| Purchases | Sales | |||||||
| Investments (non-U.S. Government) |
$ | 796,347,690 | $ | 486,901,895 | ||||
| U.S. Government and Agency Securities |
2,224,837 | 2,128,232 | ||||||
| $ | 798,572,527 | $ | 489,030,127 | |||||
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2013, as determined on a federal income tax basis, were as follows:
| Aggregate cost |
$ | 1,846,939,160 | ||
| Gross unrealized appreciation |
$ | 24,996,139 | ||
| Gross unrealized depreciation |
(35,949,077 | ) | ||
| Net unrealized depreciation |
$ | (10,952,938 | ) | |
The net unrealized appreciation (depreciation) on derivative contracts, foreign currency and securities sold short at October 31, 2013 on a federal income tax basis was $(11,845,041).
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward commodity contracts, forward foreign currency exchange contracts, futures contracts and swap contracts and may involve,
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of written options at October 31, 2013 is included in the Portfolio of Investments.
A summary of obligations under these financial instruments at October 31, 2013 is as follows:
| Forward Commodity Contracts(1) | ||||||||||
| Sales |
||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Net Unrealized Appreciation |
||||||
| 12/27/13 | Gold 8,388 Troy Ounces |
United States Dollar 11,504,821 |
Citibank NA | $ | 398,952 | |||||
| 12/27/13 | Gold 3,113 Troy Ounces |
United States Dollar 4,267,641 |
Merrill Lynch International | 148,061 | ||||||
| $ | 547,013 | |||||||||
| (1) | Non-deliverable contracts that are settled with the counterparty in cash. |
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/1/13 | Japanese Yen 2,315,396,000 |
United States Dollar 23,594,709 |
Standard Chartered Bank | $ | 47,511 | $ | — | $ | 47,511 | |||||||||
| 11/1/13 | Japanese Yen 1,432,200,000 |
United States Dollar 14,575,037 | Standard Chartered Bank | 9,798 | — | 9,798 | ||||||||||||
| 11/1/13 | Russian Ruble 2,767,221,000 |
United States Dollar 86,369,314 | HSBC Bank USA | 84,428 | — | 84,428 | ||||||||||||
| 11/1/13 | Russian Ruble 2,100,899,051 |
United States Dollar 64,410,773 | HSBC Bank USA | — | (1,097,488 | ) | (1,097,488 | ) | ||||||||||
| 11/1/13 | Russian Ruble 666,321,949 |
United States Dollar 20,423,849 | Standard Chartered Bank | — | (352,776 | ) | (352,776 | ) | ||||||||||
| 11/1/13 | United States Dollar 65,572,359 |
Russian Ruble 2,100,899,051 | HSBC Bank USA | — | (64,099 | ) | (64,099 | ) | ||||||||||
| 11/1/13 | United States Dollar 86,529,737 |
Russian Ruble 2,767,221,000 | HSBC Bank USA | — | (244,852 | ) | (244,852 | ) | ||||||||||
| 11/1/13 | United States Dollar 13,689,635 |
Japanese Yen 1,345,123,000 | Nomura International PLC | — | (9,954 | ) | (9,954 | ) | ||||||||||
| 11/1/13 | United States Dollar 24,450,536 |
Japanese Yen 2,402,473,000 | Nomura International PLC | — | (17,779 | ) | (17,779 | ) | ||||||||||
| 11/1/13 | United States Dollar 20,796,955 |
Russian Ruble 666,321,949 | Standard Chartered Bank | — | (20,330 | ) | (20,330 | ) | ||||||||||
| 11/4/13 | Brazilian Real 25,816,000 |
United States Dollar 11,720,694 | BNP Paribas | 196,723 | — | 196,723 | ||||||||||||
| 11/4/13 | Brazilian Real 77,449,000 |
United States Dollar 34,007,455 | BNP Paribas | — | (564,905 | ) | (564,905 | ) | ||||||||||
| 11/4/13 | Brazilian Real 51,633,000 |
United States Dollar 23,441,841 | Morgan Stanley & Co. International PLC |
393,453 | — | 393,453 | ||||||||||||
| 11/4/13 | United States Dollar 11,836,772 |
Brazilian Real 25,816,000 | BNP Paribas | — | (312,801 | ) | (312,801 | ) | ||||||||||
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/4/13 | United States Dollar 35,162,535 |
Brazilian Real 77,449,000 | BNP Paribas | $ | — | $ | (590,176 | ) | $ | (590,176 | ) | |||||||
| 11/4/13 | United States Dollar 23,679,431 |
Brazilian Real 51,633,000 | Morgan Stanley & Co. International PLC |
— | (631,043 | ) | (631,043 | ) | ||||||||||
| 11/5/13 | Euro 36,000,000 |
United States Dollar 49,006,800 | Bank of America | 127,718 | — | 127,718 | ||||||||||||
| 11/5/13 | Euro 28,306,000 |
United States Dollar 38,527,297 | Goldman Sachs International | 94,760 | — | 94,760 | ||||||||||||
| 11/5/13 | Indian Rupee 1,003,227,111 |
United States Dollar 14,500,645 | Citibank NA | — | (1,823,936 | ) | (1,823,936 | ) | ||||||||||
| 11/5/13 | Indian Rupee 845,868,000 |
United States Dollar 13,774,108 | Goldman Sachs International | 10,086 | — | 10,086 | ||||||||||||
| 11/5/13 | Swiss Franc 11,968,000 |
United States Dollar 12,984,984 | Goldman Sachs International | — | (205,182 | ) | (205,182 | ) | ||||||||||
| 11/5/13 | Swiss Franc 12,257,875 |
United States Dollar 13,074,927 | Goldman Sachs International | — | (434,715 | ) | (434,715 | ) | ||||||||||
| 11/5/13 | Swiss Franc 32,569,680 |
United States Dollar 35,208,562 | Goldman Sachs International | — | (687,116 | ) | (687,116 | ) | ||||||||||
| 11/5/13 | Swiss Franc 22,502,600 |
United States Dollar 24,073,904 | Goldman Sachs International | — | (726,649 | ) | (726,649 | ) | ||||||||||
| 11/5/13 | United States Dollar 24,786,792 |
Euro 18,000,000 |
Bank of America | — | (347,251 | ) | (347,251 | ) | ||||||||||
| 11/5/13 | United States Dollar 24,840,486 |
Euro 18,000,000 |
Bank of America | — | (400,945 | ) | (400,945 | ) | ||||||||||
| 11/5/13 | United States Dollar 16,336,543 |
Indian Rupee 1,003,227,111 | Citibank NA | — | (11,962 | ) | (11,962 | ) | ||||||||||
| 11/5/13 | United States Dollar 13,654,044 |
Indian Rupee 845,868,000 | Goldman Sachs International | 109,979 | — | 109,979 | ||||||||||||
| 11/5/13 | United States Dollar 87,554,549 |
Swiss Franc 79,298,155 | Goldman Sachs International | — | (158,510 | ) | (158,510 | ) | ||||||||||
| 11/5/13 | United States Dollar 19,485,058 |
Euro 14,153,000 |
Goldman Sachs International | — | (268,790 | ) | (268,790 | ) | ||||||||||
| 11/5/13 | United States Dollar 19,531,522 |
Euro 14,153,000 |
Goldman Sachs International | — | (315,254 | ) | (315,254 | ) | ||||||||||
| 11/6/13 | Philippine Peso 106,993,930 |
United States Dollar 2,485,861 | Goldman Sachs International | 10,009 | — | 10,009 | ||||||||||||
| 11/6/13 | Philippine Peso 9,742,000 |
United States Dollar 225,943 | Goldman Sachs International | 512 | — | 512 | ||||||||||||
| 11/6/13 | United States Dollar 6,027,234 |
Philippine Peso 262,034,000 | Barclays Bank PLC | 36,262 | — | 36,262 | ||||||||||||
| 11/6/13 | United States Dollar 2,033,997 |
Philippine Peso 88,428,000 | Goldman Sachs International | 12,237 | — | 12,237 | ||||||||||||
| 11/6/13 | United States Dollar 233,272 |
Philippine Peso 10,058,000 | Standard Chartered Bank | — | (529 | ) | (529 | ) | ||||||||||
| 11/6/13 | United States Dollar 6,790,016 |
Philippine Peso 292,446,000 | Standard Chartered Bank | — | (22,783 | ) | (22,783 | ) | ||||||||||
| 11/12/13 | Euro 18,261,798 |
United States Dollar 24,010,338 | Bank of America | — | (785,043 | ) | (785,043 | ) | ||||||||||
| 11/12/13 | Euro 30,954,055 |
United States Dollar 40,697,928 | Bank of America | — | (1,330,662 | ) | (1,330,662 | ) | ||||||||||
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/12/13 | Euro 3,287,273 |
United States Dollar 4,321,712 | Goldman Sachs International | $ | — | $ | (141,659 | ) | $ | (141,659 | ) | |||||||
| 11/12/13 | Euro 5,571,983 |
United States Dollar 7,325,375 | Goldman Sachs International | — | (240,115 | ) | (240,115 | ) | ||||||||||
| 11/12/13 | Malaysian Ringgit 21,026,000 |
United States Dollar 6,448,506 | Goldman Sachs International | — | (196,172 | ) | (196,172 | ) | ||||||||||
| 11/12/13 | Russian Ruble 1,468,851,000 |
United States Dollar 45,227,074 | Bank of America | — | (517,095 | ) | (517,095 | ) | ||||||||||
| 11/12/13 | Russian Ruble 1,169,023,000 |
United States Dollar 36,045,468 | HSBC Bank USA | — | (361,211 | ) | (361,211 | ) | ||||||||||
| 11/12/13 | United States Dollar 41,237,766 |
Euro 30,954,055 |
Bank of America | 790,823 | — | 790,823 | ||||||||||||
| 11/12/13 | United States Dollar 5,902,127 |
Euro 4,389,455 |
Bank of America | 57,758 | — | 57,758 | ||||||||||||
| 11/12/13 | United States Dollar 3,362,104 |
Euro 2,483,549 |
Bank of America | 9,992 | — | 9,992 | ||||||||||||
| 11/12/13 | United States Dollar 2,821,220 |
Euro 2,077,673 |
Bank of America | — | (211 | ) | (211 | ) | ||||||||||
| 11/12/13 | United States Dollar 5,237,453 |
Euro 3,856,115 |
Bank of America | — | (1,723 | ) | (1,723 | ) | ||||||||||
| 11/12/13 | United States Dollar 7,419,876 |
Euro 5,571,983 |
Goldman Sachs International | 145,614 | — | 145,614 | ||||||||||||
| 11/13/13 | Euro 822,252 |
Romanian Leu 3,679,000 | JPMorgan Chase Bank | 9,211 | — | 9,211 | ||||||||||||
| 11/13/13 | Euro 3,419,137 |
Romanian Leu 15,222,000 | Standard Chartered Bank | 14,975 | — | 14,975 | ||||||||||||
| 11/18/13 | Indian Rupee 157,359,111 |
United States Dollar 2,553,702 | Citibank NA | 16,313 | — | 16,313 | ||||||||||||
| 11/18/13 | Indian Rupee 209,011,000 |
United States Dollar 3,386,823 | JPMorgan Chase Bank | 16,556 | — | 16,556 | ||||||||||||
| 11/18/13 | Japanese Yen 13,993,697,000 |
United States Dollar 141,064,072 | Goldman Sachs International | — | (1,258,567 | ) | (1,258,567 | ) | ||||||||||
| 11/18/13 | United States Dollar 5,246,367 |
Colombian Peso 9,959,966,000 | Bank of America | 10,592 | — | 10,592 | ||||||||||||
| 11/18/13 | United States Dollar 21,429,676 |
Indian Rupee 1,365,799,000 | Barclays Bank PLC | 593,597 | — | 593,597 | ||||||||||||
| 11/18/13 | United States Dollar 8,758,039 |
Colombian Peso 16,614,000,000 | Citibank NA | 10,979 | — | 10,979 | ||||||||||||
| 11/18/13 | United States Dollar 18,301,865 |
Japanese Yen 1,805,845,000 | Goldman Sachs International | 64,449 | — | 64,449 | ||||||||||||
| 11/18/13 | United States Dollar 30,529,316 |
Japanese Yen 2,964,650,000 | Goldman Sachs International | — | (377,398 | ) | (377,398 | ) | ||||||||||
| 11/18/13 | United States Dollar 13,178,304 |
Indian Rupee 839,906,000 | Standard Chartered Bank | 365,036 | — | 365,036 | ||||||||||||
| 11/19/13 | Malaysian Ringgit 23,425,000 |
United States Dollar 7,181,838 | Deutsche Bank | — | (203,035 | ) | (203,035 | ) | ||||||||||
| 11/19/13 | Malaysian Ringgit 9,355,000 |
United States Dollar 2,856,445 | JPMorgan Chase Bank | — | (92,775 | ) | (92,775 | ) | ||||||||||
| 11/19/13 | Malaysian Ringgit 19,417,000 |
United States Dollar 5,953,943 | Standard Chartered Bank | — | (167,383 | ) | (167,383 | ) | ||||||||||
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Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/20/13 | Chilean Peso 2,752,101,000 |
United States Dollar 5,288,434 | JPMorgan Chase Bank | $ | — | $ | (71,584 | ) | $ | (71,584 | ) | |||||||
| 11/20/13 | Chilean Peso 6,345,824,000 |
United States Dollar 12,203,508 | Standard Chartered Bank | — | (155,678 | ) | (155,678 | ) | ||||||||||
| 11/20/13 | United States Dollar 4,203,626 |
Chilean Peso 2,124,512,417 | JPMorgan Chase Bank | — | (65,905 | ) | (65,905 | ) | ||||||||||
| 11/20/13 | United States Dollar 12,067,940 |
Chilean Peso 6,043,624,239 | JPMorgan Chase Bank | — | (297,321 | ) | (297,321 | ) | ||||||||||
| 11/20/13 | United States Dollar 1,856,606 |
Chilean Peso 929,788,344 | Standard Chartered Bank | — | (45,742 | ) | (45,742 | ) | ||||||||||
| 11/22/13 | United States Dollar 26,116,691 |
Colombian Peso 49,663,500,000 | Standard Chartered Bank | 86,467 | — | 86,467 | ||||||||||||
| 11/25/13 | United States Dollar 44,686,473 |
Israeli Shekel 157,779,000 | Standard Chartered Bank | 40,790 | — | 40,790 | ||||||||||||
| 11/26/13 | Malaysian Ringgit 23,463,765 |
United States Dollar 7,020,665 | JPMorgan Chase Bank | — | (358,543 | ) | (358,543 | ) | ||||||||||
| 11/26/13 | Thai Baht 226,202,675 |
United States Dollar 6,928,106 | Bank of America | — | (329,403 | ) | (329,403 | ) | ||||||||||
| 11/26/13 | Thai Baht 827,156,604 |
United States Dollar 25,376,794 | JPMorgan Chase Bank | — | (1,161,784 | ) | (1,161,784 | ) | ||||||||||
| 11/26/13 | United States Dollar 13,246,938 |
Thai Baht 416,965,000 | Citibank NA | 131,010 | — | 131,010 | ||||||||||||
| 11/26/13 | United States Dollar 10,093,723 |
Thai Baht 317,631,000 | Deutsche Bank | 97,182 | — | 97,182 | ||||||||||||
| 11/26/13 | United States Dollar 10,867,958 |
Thai Baht 341,928,790 | Goldman Sachs International | 102,520 | — | 102,520 | ||||||||||||
| 11/26/13 | United States Dollar 7,858,751 |
Malaysian Ringgit 24,915,384 | JPMorgan Chase Bank | — | (23,018 | ) | (23,018 | ) | ||||||||||
| 11/26/13 | United States Dollar 9,762,718 |
Thai Baht 304,665,136 | Standard Chartered Bank | 12,190 | — | 12,190 | ||||||||||||
| 11/29/13 | New Zealand Dollar 21,297,601 |
United States Dollar 17,680,203 | JPMorgan Chase Bank | 118,393 | — | 118,393 | ||||||||||||
| 11/29/13 | New Zealand Dollar 25,758,241 |
United States Dollar 21,252,738 | JPMorgan Chase Bank | 12,724 | — | 12,724 | ||||||||||||
| 11/29/13 | Russian Ruble 2,767,221,000 |
United States Dollar 86,117,247 | HSBC Bank USA | 194,050 | — | 194,050 | ||||||||||||
| 11/29/13 | Sri Lankan Rupee 202,128,000 |
United States Dollar 1,490,070 | HSBC Bank USA | — | (46,246 | ) | (46,246 | ) | ||||||||||
| 11/29/13 | Sri Lankan Rupee 230,719,249 |
United States Dollar 1,698,964 | HSBC Bank USA | — | (54,666 | ) | (54,666 | ) | ||||||||||
| 11/29/13 | United States Dollar 2,305,476 |
Kenyan Shilling 200,000,000 | Standard Chartered Bank | 24,563 | — | 24,563 | ||||||||||||
| 12/3/13 | Brazilian Real 71,273,000 |
United States Dollar 32,424,084 | Morgan Stanley & Co. International PLC | 830,835 | — | 830,835 | ||||||||||||
| 12/3/13 | United States Dollar 11,438,369 |
Singapore Dollar 14,610,000 | Bank of America | 323,205 | — | 323,205 | ||||||||||||
| 12/3/13 | United States Dollar 33,890,679 |
Singapore Dollar 43,234,000 | Goldman Sachs International | 914,242 | — | 914,242 | ||||||||||||
| 41 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 12/4/13 | Euro 14,143,931 |
Singapore Dollar 24,092,000 | Goldman Sachs International | $ | 189,749 | $ | — | $ | 189,749 | |||||||||
| 12/5/13 | Euro 11,348,412 |
Serbian Dinar 1,304,500,000 | Citibank NA | 20,723 | — | 20,723 | ||||||||||||
| 12/10/13 | Malaysian Ringgit 2,800,000 |
United States Dollar 860,638 | Credit Suisse International | — | (17,252 | ) | (17,252 | ) | ||||||||||
| 12/11/13 | South African Rand 226,120,579 |
United States Dollar 22,343,931 | Bank of America | — | (59,880 | ) | (59,880 | ) | ||||||||||
| 12/11/13 | South African Rand 261,504,421 |
United States Dollar 25,865,917 | Standard Chartered Bank | — | (43,691 | ) | (43,691 | ) | ||||||||||
| 12/11/13 | United States Dollar 1,144,893 |
Nigerian Naira 186,961,000 | Standard Chartered Bank | 19,490 | — | 19,490 | ||||||||||||
| 12/13/13 | Euro 6,253,035 |
Norwegian Krone 50,996,000 | Goldman Sachs International | 63,425 | — | 63,425 | ||||||||||||
| 12/13/13 | Euro 18,745,543 |
Norwegian Krone 152,988,000 | HSBC Bank USA | 208,689 | — | 208,689 | ||||||||||||
| 12/16/13 | Russian Ruble 232,008,000 |
United States Dollar 7,069,104 | Goldman Sachs International | — | (111,590 | ) | (111,590 | ) | ||||||||||
| 12/16/13 | Russian Ruble 32,842,000 |
United States Dollar 1,012,548 | JPMorgan Chase Bank | — | (3,918 | ) | (3,918 | ) | ||||||||||
| 12/16/13 | Thai Baht 327,830,647 |
United States Dollar 10,520,881 | JPMorgan Chase Bank | 15,761 | — | 15,761 | ||||||||||||
| 12/16/13 | United States Dollar 4,517,889 |
Russian Ruble 146,357,000 | Credit Suisse International | 11,890 | — | 11,890 | ||||||||||||
| 12/16/13 | United States Dollar 3,660,298 |
Russian Ruble 118,493,000 | Goldman Sachs International | 7,084 | — | 7,084 | ||||||||||||
| 12/17/13 | Japanese Yen 1,483,676,000 |
United States Dollar 14,956,411 | Bank of America | — | (136,210 | ) | (136,210 | ) | ||||||||||
| 12/17/13 | United States Dollar 875,292 |
Nigerian Naira 142,979,000 | Standard Bank | 13,623 | — | 13,623 | ||||||||||||
| 12/18/13 | Euro 6,458,131 |
Israeli Shekel 30,587,000 | JPMorgan Chase Bank | — | (101,698 | ) | (101,698 | ) | ||||||||||
| 12/18/13 | Euro 13,308,970 |
Polish Zloty 56,084,000 | Standard Chartered Bank | 86,911 | — | 86,911 | ||||||||||||
| 12/18/13 | Sri Lankan Rupee 175,906,314 |
United States Dollar 1,324,097 | HSBC Bank USA | — | (7,594 | ) | (7,594 | ) | ||||||||||
| 12/18/13 | Sri Lankan Rupee 271,891,908 |
United States Dollar 2,049,694 | HSBC Bank USA | — | (8,652 | ) | (8,652 | ) | ||||||||||
| 12/23/13 | United States Dollar 35,254,169 |
Singapore Dollar 43,865,000 | Citibank NA | 59,403 | — | 59,403 | ||||||||||||
| 12/23/13 | United States Dollar 825,006 |
Singapore Dollar 1,025,000 | JPMorgan Chase Bank | 171 | — | 171 | ||||||||||||
| 12/23/13 | United States Dollar 12,235,226 |
Singapore Dollar 15,183,242 | Standard Chartered Bank | — | (11,938 | ) | (11,938 | ) | ||||||||||
| 1/3/14 | Brazilian Real 919,000 |
United States Dollar 395,269 | BNP Paribas | — | (9,504 | ) | (9,504 | ) | ||||||||||
| 1/3/14 | Brazilian Real 20,101,000 |
United States Dollar 8,835,604 | State Street Bank and Trust Co. | — | (17,866 | ) | (17,866 | ) | ||||||||||
| 1/7/14 | New Turkish Lira 19,135,658 |
United States Dollar 9,481,547 | Deutsche Bank | 5,042 | — | 5,042 | ||||||||||||
| 42 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 1/8/14 | Euro 4,796,000 |
United States Dollar 6,512,153 | Australia and New Zealand Banking Group Limited |
$ | — | $ | (212 | ) | $ | (212 | ) | |||||||
| 1/8/14 | South African Rand 197,106,755 |
United States Dollar 19,340,309 | JPMorgan Chase Bank | — | (101,685 | ) | (101,685 | ) | ||||||||||
| 1/8/14 | Sri Lankan Rupee 295,757,902 |
United States Dollar 2,194,050 | Standard Chartered Bank | — | (34,945 | ) | (34,945 | ) | ||||||||||
| 1/9/14 | Euro 11,177,465 |
Czech Koruna 286,240,000 | JPMorgan Chase Bank | — | (108,142 | ) | (108,142 | ) | ||||||||||
| 1/9/14 | Euro 4,391,654 |
Czech Koruna 112,075,000 | Standard Chartered Bank | — | (62,990 | ) | (62,990 | ) | ||||||||||
| 1/9/14 | Euro 17,912,364 |
Czech Koruna 458,458,000 | Standard Chartered Bank | — | (186,664 | ) | (186,664 | ) | ||||||||||
| 1/9/14 | Euro 16,991,265 |
Czech Koruna 433,787,000 | Standard Chartered Bank | — | (234,763 | ) | (234,763 | ) | ||||||||||
| 1/9/14 | Sri Lankan Rupee 401,500,000 |
United States Dollar 2,982,912 | HSBC Bank USA | — | (42,310 | ) | (42,310 | ) | ||||||||||
| 1/15/14 | Australian Dollar 19,928,000 |
United States Dollar 18,467,477 | Goldman Sachs International | — | (278,546 | ) | (278,546 | ) | ||||||||||
| 1/15/14 | Australian Dollar 7,241,000 |
United States Dollar 6,724,644 | Morgan Stanley & Co. International PLC |
— | (86,875 | ) | (86,875 | ) | ||||||||||
| 1/15/14 | Australian Dollar 17,943,096 |
United States Dollar 16,663,574 | Morgan Stanley & Co. International PLC |
— | (215,275 | ) | (215,275 | ) | ||||||||||
| 1/15/14 | British Pound Sterling 54,155,325 |
United States Dollar 86,256,977 | Goldman Sachs International | — | (528,251 | ) | (528,251 | ) | ||||||||||
| 1/15/14 | Euro 25,912,000 |
United States Dollar 34,950,831 | JPMorgan Chase Bank | — | (234,841 | ) | (234,841 | ) | ||||||||||
| 1/15/14 | Hungarian Forint 15,224,391,239 |
Euro 51,201,962 |
JPMorgan Chase Bank | — | (84,392 | ) | (84,392 | ) | ||||||||||
| 1/17/14 | Euro 34,691,649 |
Polish Zloty 145,673,703 | JPMorgan Chase Bank | — | (26,181 | ) | (26,181 | ) | ||||||||||
| 1/17/14 | Euro 40,394,687 |
Polish Zloty 169,413,297 | Standard Chartered Bank | — | (97,721 | ) | (97,721 | ) | ||||||||||
| 1/21/14 | United States Dollar 442,558 |
Nigerian Naira 73,000,000 | Deutsche Bank | 6,704 | — | 6,704 | ||||||||||||
| 1/22/14 | Euro 10,690,000 |
United States Dollar 14,427,705 | Deutsche Bank | — | (88,330 | ) | (88,330 | ) | ||||||||||
| 1/29/14 | Euro 13,266,000 |
United States Dollar 18,006,074 | Goldman Sachs International | — | (8,156 | ) | (8,156 | ) | ||||||||||
| 1/30/14 | United States Dollar 33,794,651 |
Peruvian New Sol 94,135,000 | Bank of Nova Scotia | — | (165,400 | ) | (165,400 | ) | ||||||||||
| 2/3/14 | Euro 1,813,746 |
United States Dollar 2,453,617 | Goldman Sachs International | — | (9,335 | ) | (9,335 | ) | ||||||||||
| 2/3/14 | Japanese Yen 2,402,473,000 |
United States Dollar 24,465,102 | Nomura International PLC | 17,726 | — | 17,726 | ||||||||||||
| 2/3/14 | Japanese Yen 1,345,123,000 |
United States Dollar 13,697,790 | Nomura International PLC | 9,924 | — | 9,924 | ||||||||||||
| 2/4/14 | Brazilian Real 25,816,000 |
United States Dollar 11,584,994 | BNP Paribas | 305,228 | — | 305,228 | ||||||||||||
| 43 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 2/4/14 | Brazilian Real 51,633,000 |
United States Dollar 23,176,677 | Morgan Stanley & Co. International PLC |
$ | 616,708 | $ | — | $ | 616,708 | |||||||||
| 2/4/14 | Swiss Franc 79,298,155 |
United States Dollar 87,620,334 | Goldman Sachs International | 156,562 | — | 156,562 | ||||||||||||
| 2/4/14 | United States Dollar 49,013,460 |
Euro 36,000,000 |
Bank of America | — | (127,646 | ) | (127,646 | ) | ||||||||||
| 2/4/14 | United States Dollar 38,532,533 |
Euro 28,306,000 |
Goldman Sachs International | — | (94,704 | ) | (94,704 | ) | ||||||||||
| 2/5/14 | Euro 95,860,000 |
United States Dollar 130,112,695 | Goldman Sachs International | — | (59,620 | ) | (59,620 | ) | ||||||||||
| 2/12/14 | Euro 9,576,021 |
United States Dollar 13,160,977 | Standard Chartered Bank | 157,117 | — | 157,117 | ||||||||||||
| 2/12/14 | Euro 66,676,000 |
United States Dollar 90,000,598 | Standard Chartered Bank | — | (542,784 | ) | (542,784 | ) | ||||||||||
| 2/12/14 | United States Dollar 16,294,323 |
Euro 11,865,000 |
Standard Chartered Bank | — | (182,120 | ) | (182,120 | ) | ||||||||||
| 2/19/14 | Euro 3,816,000 |
United States Dollar 5,178,274 | Bank of America | — | (3,775 | ) | (3,775 | ) | ||||||||||
| 2/26/14 | Euro 20,184,000 |
United States Dollar 27,243,556 | Deutsche Bank | — | (166,275 | ) | (166,275 | ) | ||||||||||
| 3/5/14 | Euro 3,458,302 |
United States Dollar 4,755,770 | Bank of America | 59,339 | — | 59,339 | ||||||||||||
| 3/5/14 | Euro 1,550,568 |
United States Dollar 2,140,071 | Bank of America | 34,374 | — | 34,374 | ||||||||||||
| 3/5/14 | Euro 3,268,000 |
United States Dollar 4,436,571 | Bank of America | — | (1,427 | ) | (1,427 | ) | ||||||||||
| 3/5/14 | Euro 1,538,011 |
United States Dollar 2,081,559 | Bank of America | — | (7,085 | ) | (7,085 | ) | ||||||||||
| 3/21/14 | Croatian Kuna 5,873,000 |
Euro 762,826 |
Citibank NA | — | (8,435 | ) | (8,435 | ) | ||||||||||
| 3/21/14 | Croatian Kuna 6,379,000 |
Euro 828,226 |
Citibank NA | — | (9,600 | ) | (9,600 | ) | ||||||||||
| 3/21/14 | Croatian Kuna 28,551,000 |
Euro 3,727,041 |
Citibank NA | — | (15,693 | ) | (15,693 | ) | ||||||||||
| 3/21/14 | Croatian Kuna 9,637,000 |
Euro 1,250,243 |
Citibank NA | — | (15,847 | ) | (15,847 | ) | ||||||||||
| 3/21/14 | Croatian Kuna 23,125,000 |
Euro 3,024,853 |
Deutsche Bank | — | (4,399 | ) | (4,399 | ) | ||||||||||
| 4/2/14 | Croatian Kuna 5,887,000 |
Euro 763,950 |
Citibank NA | — | (9,196 | ) | (9,196 | ) | ||||||||||
| 4/2/14 | Croatian Kuna 22,158,100 |
Euro 2,891,381 |
Citibank NA | — | (12,955 | ) | (12,955 | ) | ||||||||||
| 4/2/14 | Croatian Kuna 25,478,000 |
Euro 3,321,881 |
Citibank NA | — | (18,575 | ) | (18,575 | ) | ||||||||||
| 4/2/14 | Croatian Kuna 29,613,000 |
Euro 3,862,020 |
Citibank NA | — | (20,222 | ) | (20,222 | ) | ||||||||||
| 4/2/14 | Croatian Kuna 6,551,700 |
Euro 849,161 |
Deutsche Bank | — | (11,656 | ) | (11,656 | ) | ||||||||||
| 4/3/14 | Croatian Kuna 9,970,000 |
Euro 1,295,478 |
Citibank NA | — | (13,262 | ) | (13,262 | ) | ||||||||||
| 44 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 4/3/14 | Croatian Kuna 17,473,000 |
Euro 2,268,926 |
Citibank NA | $ | — | $ | (25,244 | ) | $ | (25,244 | ) | |||||||
| 4/11/14 | United States Dollar 1,645,480 |
Kenyan Shilling 151,631,000 | Standard Chartered Bank | 72,859 | — | 72,859 | ||||||||||||
| 4/11/14 | United States Dollar 557,116 |
Kenyan Shilling 49,639,000 | Standard Chartered Bank | 5,412 | — | 5,412 | ||||||||||||
| 4/17/14 | United States Dollar 2,018,809 |
Kazakhstani Tenge 322,000,000 | Citibank NA | 6,731 | — | 6,731 | ||||||||||||
| 4/17/14 | United States Dollar 3,199,750 |
Kazakhstani Tenge 511,000,000 | VTB Capital PLC | 14,693 | — | 14,693 | ||||||||||||
| 4/18/14 | United States Dollar 3,203,762 |
Kazakhstani Tenge 511,000,000 | VTB Capital PLC | 10,063 | — | 10,063 | ||||||||||||
| 4/23/14 | United States Dollar 3,205,651 |
Kazakhstani Tenge 510,500,000 | VTB Capital PLC | 1,947 | — | 1,947 | ||||||||||||
| 5/6/14 | British Pound Sterling 1,122,392 |
United States Dollar 1,802,111 | Deutsche Bank | 5,017 | — | 5,017 | ||||||||||||
| 5/16/14 | United States Dollar 39,450,385 |
Russian Ruble 1,314,881,317 | Bank of America | 263,804 | — | 263,804 | ||||||||||||
| 5/16/14 | United States Dollar 13,928,545 |
Russian Ruble 462,775,913 | Bank of America | 48,967 | — | 48,967 | ||||||||||||
| 5/16/14 | United States Dollar 15,630,401 |
Russian Ruble 521,508,335 | Citibank NA | 121,044 | — | 121,044 | ||||||||||||
| 5/16/14 | United States Dollar 18,358,740 |
Russian Ruble 612,677,066 | Standard Chartered Bank | 146,331 | — | 146,331 | ||||||||||||
| 5/27/14 | United States Dollar 5,966,408 |
Russian Ruble 198,621,728 | Bank of America | 22,902 | — | 22,902 | ||||||||||||
| 5/27/14 | United States Dollar 40,437,063 |
Russian Ruble 1,340,109,541 | Bank of America | — | (26,925 | ) | (26,925 | ) | ||||||||||
| 5/27/14 | United States Dollar 19,897,922 |
Russian Ruble 662,501,302 | BNP Paribas | 79,377 | — | 79,377 | ||||||||||||
| 5/27/14 | United States Dollar 17,317,549 |
Russian Ruble 573,816,993 | Standard Chartered Bank | — | (14,468 | ) | (14,468 | ) | ||||||||||
| 6/17/14 | Indonesian Rupiah 10,752,202,000 |
United States Dollar 882,775 | Standard Chartered Bank | — | (42,344 | ) | (42,344 | ) | ||||||||||
| 7/21/14 | United States Dollar 11,253,769 |
Indonesian Rupiah 128,011,622,000 | Barclays Bank PLC | — | (319,614 | ) | (319,614 | ) | ||||||||||
| 7/21/14 | United States Dollar 6,254,490 |
Indonesian Rupiah 70,675,742,000 | Standard Chartered Bank | — | (217,698 | ) | (217,698 | ) | ||||||||||
| 7/22/14 | United States Dollar 6,200,094 |
Indonesian Rupiah 70,805,078,300 | Goldman Sachs International | — | (153,546 | ) | (153,546 | ) | ||||||||||
| 8/13/14 | United States Dollar 1,639,333 |
Indonesian Rupiah 18,606,431,000 | Deutsche Bank | — | (57,135 | ) | (57,135 | ) | ||||||||||
| 8/20/14 | United States Dollar 1,594,381 |
Indonesian Rupiah 18,606,431,000 | Deutsche Bank | — | (13,999 | ) | (13,999 | ) | ||||||||||
| 8/20/14 | United States Dollar 1,274,940 |
Indonesian Rupiah 14,846,674,000 | JPMorgan Chase Bank | — | (13,901 | ) | (13,901 | ) | ||||||||||
| 8/20/14 | United States Dollar 4,389,486 |
Indonesian Rupiah 50,896,091,425 | Standard Chartered Bank | — | (66,502 | ) | (66,502 | ) | ||||||||||
| 9/30/14 | United States Dollar 1,401,220 |
Azerbaijani Manat 1,149,000 | Standard Bank | 10,155 | — | 10,155 | ||||||||||||
| 45 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 10/9/14 | United States Dollar 2,814,724 |
Azerbaijani Manat 2,294,000 | VTB Capital PLC | $ | — | $ | (7,921 | ) | $ | (7,921 | ) | |||||||
| 10/9/14 | United States Dollar 2,823,818 |
Azerbaijani Manat 2,300,000 | VTB Capital PLC | — | (9,674 | ) | (9,674 | ) | ||||||||||
| 10/17/14 | United States Dollar 4,083,080 |
Kazakhstani Tenge 674,729,000 | Citibank NA | 13,084 | — | 13,084 | ||||||||||||
| 10/20/14 | United States Dollar 3,258,631 |
Kazakhstani Tenge 538,000,000 | Deutsche Bank | 5,665 | — | 5,665 | ||||||||||||
| 10/23/14 | United States Dollar 2,106,222 |
Kazakhstani Tenge 347,000,000 | JPMorgan Chase Bank | — | (1,977 | ) | (1,977 | ) | ||||||||||
| 10/27/14 | United States Dollar 3,028,190 |
Kazakhstani Tenge 499,500,000 | HSBC Bank USA | — | (1,404 | ) | (1,404 | ) | ||||||||||
| $ | 9,021,236 | $ | (23,015,199 | ) | $ | (13,993,963 | ) | |||||||||||
| Futures Contracts | ||||||||||||||||
| Expiration Month/Year |
Contracts | Position | Aggregate Cost | Value | Net Unrealized Appreciation (Depreciation) |
|||||||||||
| 12/13 | 826 Euro-Bobl |
Short | $ | (137,574,047 | ) | $ | (140,512,849 | ) | $ | (2,938,802 | ) | |||||
| 12/13 | 105 Euro-Bund |
Short | (19,476,216 | ) | (20,244,042 | ) | (767,826 | ) | ||||||||
| 12/13 | 79 Euro-Schatz |
Short | (11,800,987 | ) | (11,854,618 | ) | (53,631 | ) | ||||||||
| 12/13 | 48 Gold |
Short | (6,380,496 | ) | (6,353,761 | ) | 26,735 | |||||||||
| 12/13 | 15 Gold |
Long | 2,044,350 | 1,985,550 | (58,800 | ) | ||||||||||
| 12/13 | 340 IMM 10-Year Interest Rate Swap |
Long | 34,578,000 | 33,201,476 | (1,376,524 | ) | ||||||||||
| 12/13 | 84 Japan 10-Year Bond |
Short | (122,225,338 | ) | (123,928,404 | ) | (1,703,066 | ) | ||||||||
| 12/13 | 298 Nikkei 225 Index |
Long | 42,924,255 | 43,489,271 | 565,016 | |||||||||||
| 12/13 | 29 U.S. 2-Year Deliverable Interest Rate Swap |
Short | (2,900,797 | ) | (2,902,039 | ) | (1,242 | ) | ||||||||
| 12/13 | 66 U.S. 5-Year Deliverable Interest Rate Swap |
Short | (6,406,125 | ) | (6,592,781 | ) | (186,656 | ) | ||||||||
| 12/13 | 294 U.S. 10-Year Deliverable Interest Rate Swap |
Short | (28,173,069 | ) | (28,761,469 | ) | (588,400 | ) | ||||||||
| 12/14 | 98 Copper |
Short | (17,946,580 | ) | (17,858,050 | ) | 88,530 | |||||||||
| $ | (6,994,666 | ) | ||||||||||||||
Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.
Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.
| 46 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
Euro-Schatz: Short-term debt securities issued by the Federal Republic of Germany with a term to maturity of 1.75 to 2.25 years.
Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.
Nikkei 225 Index: Price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.
| Centrally Cleared Interest Rate Swaps | ||||||||||||||||||||||||
| Counterparty | Notional Amount (000’s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate Index |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| LCH.Clearnet | AUD | 13,089 | Pays | 6-month AUD Bank Bill | 4.31 | % | 7/4/23 | $ | (8,475 | ) | ||||||||||||||
| LCH.Clearnet | AUD | 17,116 | Pays | 6-month AUD Bank Bill | 4.31 | 7/15/23 | (21,191 | ) | ||||||||||||||||
| LCH.Clearnet | AUD | 16,060 | Pays | 6-month AUD Bank Bill | 4.48 | 8/20/23 | 175,268 | |||||||||||||||||
| LCH.Clearnet | NZD | 112,000 | Pays | 3-month NZD Bank Bill | 4.71 | 10/8/16 | 152,027 | |||||||||||||||||
| LCH.Clearnet | NZD | 117,000 | Pays | 3-month NZD Bank Bill | 4.76 | 10/10/16 | 201,319 | |||||||||||||||||
| LCH.Clearnet | NZD | 92,500 | Pays | 3-month NZD Bank Bill | 4.74 | 10/10/16 | 134,702 | |||||||||||||||||
| LCH.Clearnet | NZD | 5,449 | Pays | 3-month NZD Bank Bill | 4.21 | 10/23/17 | 27,930 | |||||||||||||||||
| LCH.Clearnet | NZD | 13,000 | Pays | 3-month NZD Bank Bill | 4.20 | 10/24/17 | 62,545 | |||||||||||||||||
| LCH.Clearnet | NZD | 11,000 | Pays | 3-month NZD Bank Bill | 4.15 | 10/25/17 | 34,095 | |||||||||||||||||
| LCH.Clearnet | NZD | 13,000 | Pays | 3-month NZD Bank Bill | 4.04 | 10/30/17 | (10,696 | ) | ||||||||||||||||
| LCH.Clearnet | NZD | 6,551 | Pays | 3-month NZD Bank Bill | 4.04 | 10/31/17 | (4,828 | ) | ||||||||||||||||
| LCH.Clearnet | NZD | 6,000 | Pays | 3-month NZD Bank Bill | 4.03 | 10/31/17 | (6,683 | ) | ||||||||||||||||
| $ | 736,013 | |||||||||||||||||||||||
| AUD | – | Australian Dollar | ||
| NZD | – | New Zealand Dollar |
| Interest Rate Swaps | ||||||||||||||||||||||
| Counterparty | Notional Amount (000’s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate Index |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Bank of America | CLP | 4,413,690 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.80 | % | 5/10/18 | $ | (81,878 | ) | ||||||||||
| Bank of America | CLP | 10,493,516 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.76 | 5/13/18 | (156,885 | ) | ||||||||||||
| Bank of America | CLP | 3,952,822 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.73 | 5/16/18 | (48,537 | ) | ||||||||||||
| Bank of America | CLP | 6,638,910 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.74 | 5/20/18 | (87,643 | ) | ||||||||||||
| Bank of America | HUF | 586,900 | Pays | 6-month HUF BUBOR | 5.75 | 12/16/16 | 237,824 | |||||||||||||||
| Bank of America | HUF | 787,130 | Receives | 6-month HUF BUBOR | 7.32 | 12/16/16 | (526,381 | ) | ||||||||||||||
| Bank of America | HUF | 312,000 | Pays | 6-month HUF BUBOR | 6.99 | 12/19/16 | 193,405 | |||||||||||||||
| Bank of America | HUF | 312,000 | Receives | 6-month HUF BUBOR | 7.29 | 12/19/16 | (207,764 | ) | ||||||||||||||
| Bank of America | HUF | 260,000 | Pays | 6-month HUF BUBOR | 6.97 | 12/20/16 | 157,215 | |||||||||||||||
| Bank of America | HUF | 260,000 | Receives | 6-month HUF BUBOR | 7.34 | 12/20/16 | (174,949 | ) | ||||||||||||||
| Bank of America | HUF | 358,000 | Pays | 6-month HUF BUBOR | 6.91 | 12/21/16 | 212,207 | |||||||||||||||
| Bank of America | HUF | 358,000 | Receives | 6-month HUF BUBOR | 7.37 | 12/21/16 | (242,547 | ) | ||||||||||||||
| Bank of America | HUF | 642,000 | Pays | 6-month HUF BUBOR | 5.13 | 12/21/16 | 118,400 | |||||||||||||||
| Bank of America | HUF | 111,400 | Pays | 6-month HUF BUBOR | 5.11 | 12/22/16 | 31,303 | |||||||||||||||
| Bank of America | HUF | 111,400 | Receives | 6-month HUF BUBOR | 7.32 | 12/22/16 | (74,380 | ) | ||||||||||||||
| 47 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Interest Rate Swaps (continued) | ||||||||||||||||||||||
| Counterparty | Notional Amount (000’s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate Index |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Bank of America | HUF | 217,350 | Pays | 6-month HUF BUBOR | 5.14 | % | 1/16/17 | $ | 64,412 | |||||||||||||
| Bank of America | HUF | 339,000 | Pays | 6-month HUF BUBOR | 6.95 | 1/17/17 | 202,263 | |||||||||||||||
| Bank of America | HUF | 339,000 | Receives | 6-month HUF BUBOR | 7.91 | 1/17/17 | (256,713 | ) | ||||||||||||||
| Bank of America | PLN | 4,860 | Receives | 6-month PLN WIBOR | 3.35 | 7/30/17 | (1,068 | ) | ||||||||||||||
| Bank of America | PLN | 12,640 | Pays | 6-month PLN WIBOR | 4.34 | 7/30/17 | 153,268 | |||||||||||||||
| Bank of America | PLN | 9,114 | Pays | 6-month PLN WIBOR | 4.31 | 8/10/17 | 106,433 | |||||||||||||||
| Bank of America | PLN | 18,180 | Pays | 6-month PLN WIBOR | 4.35 | 8/23/17 | 218,579 | |||||||||||||||
| Bank of America | PLN | 17,740 | Pays | 6-month PLN WIBOR | 4.30 | 9/18/17 | 195,835 | |||||||||||||||
| Bank of America | PLN | 5,900 | Pays | 6-month PLN WIBOR | 3.83 | 11/14/17 | 72,172 | |||||||||||||||
| Bank of America | PLN | 5,900 | Receives | 6-month PLN WIBOR | 3.61 | 11/14/17 | (32,109 | ) | ||||||||||||||
| Bank of America | PLN | 33,170 | Receives | 6-month PLN WIBOR | 3.52 | 11/16/17 | (200,233 | ) | ||||||||||||||
| Barclays Bank PLC | PLN | 21,490 | Pays | 6-month PLN WIBOR | 4.32 | 8/2/17 | 254,703 | |||||||||||||||
| Barclays Bank PLC | PLN | 10,800 | Pays | 6-month PLN WIBOR | 4.35 | 8/27/17 | 122,949 | |||||||||||||||
| Barclays Bank PLC | PLN | 33,170 | Pays | 6-month PLN WIBOR | 3.81 | 11/16/17 | 397,325 | |||||||||||||||
| Barclays Bank PLC | PLN | 54,800 | Pays | 6-month PLN WIBOR | 3.82 | 11/19/17 | 674,213 | |||||||||||||||
| Barclays Bank PLC | PLN | 31,320 | Pays | 6-month PLN WIBOR | 3.80 | 11/20/17 | 372,002 | |||||||||||||||
| BNP Paribas | PLN | 20,724 | Pays | 6-month PLN WIBOR | 4.25 | 8/7/17 | 226,989 | |||||||||||||||
| BNP Paribas | PLN | 20,724 | Receives | 6-month PLN WIBOR | 3.60 | 8/7/17 | (65,164 | ) | ||||||||||||||
| BNP Paribas | PLN | 5,100 | Pays | 6-month PLN WIBOR | 3.85 | 11/13/17 | 63,610 | |||||||||||||||
| BNP Paribas | PLN | 24,000 | Pays | 6-month PLN WIBOR | 3.83 | 11/14/17 | 293,580 | |||||||||||||||
| Citibank NA | CLP | 1,694,460 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.70 | 5/20/18 | (16,252 | ) | ||||||||||||
| Citibank NA | PLN | 17,853 | Pays | 6-month PLN WIBOR | 4.33 | 7/30/17 | 215,939 | |||||||||||||||
| Citibank NA | PLN | 13,400 | Pays | 6-month PLN WIBOR | 4.31 | 8/2/17 | 158,009 | |||||||||||||||
| Citibank NA | PLN | 2,906 | Pays | 6-month PLN WIBOR | 4.24 | 8/7/17 | 31,653 | |||||||||||||||
| Citibank NA | PLN | 8,910 | Pays | 6-month PLN WIBOR | 4.30 | 8/10/17 | 102,973 | |||||||||||||||
| Citibank NA | PLN | 8,170 | Pays | 6-month PLN WIBOR | 4.40 | 8/20/17 | 103,528 | |||||||||||||||
| Citibank NA | PLN | 10,200 | Pays | 6-month PLN WIBOR | 3.81 | 11/13/17 | 121,061 | |||||||||||||||
| Citibank NA | PLN | 8,240 | Pays | 6-month PLN WIBOR | 3.82 | 11/14/17 | 99,550 | |||||||||||||||
| Citibank NA | PLN | 23,800 | Pays | 6-month PLN WIBOR | 3.82 | 11/19/17 | 289,588 | |||||||||||||||
| Citibank NA | PLN | 23,800 | Receives | 6-month PLN WIBOR | 3.60 | 11/19/17 | (131,903 | ) | ||||||||||||||
| Credit Suisse International | HUF | 200,230 | Pays | 6-month HUF BUBOR | 5.20 | 12/16/16 | 62,929 | |||||||||||||||
| Credit Suisse International | HUF | 492,670 | Pays | 6-month HUF BUBOR | 6.93 | 12/16/16 | 301,687 | |||||||||||||||
| Credit Suisse International | HUF | 492,670 | Receives | 6-month HUF BUBOR | 7.32 | 12/16/16 | (329,465 | ) | ||||||||||||||
| Credit Suisse International | HUF | 120,600 | Pays | 6-month HUF BUBOR | 6.98 | 12/22/16 | 72,570 | |||||||||||||||
| Credit Suisse International | HUF | 120,600 | Receives | 6-month HUF BUBOR | 7.29 | 12/22/16 | (79,901 | ) | ||||||||||||||
| Credit Suisse International | HUF | 103,000 | Pays | 6-month HUF BUBOR | 6.99 | 12/27/16 | 65,167 | |||||||||||||||
| Credit Suisse International | HUF | 103,000 | Receives | 6-month HUF BUBOR | 7.38 | 12/27/16 | (69,634 | ) | ||||||||||||||
| Credit Suisse International | HUF | 155,590 | Pays | 6-month HUF BUBOR | 5.11 | 1/11/17 | 45,542 | |||||||||||||||
| Credit Suisse International | HUF | 244,410 | Pays | 6-month HUF BUBOR | 5.13 | 1/11/17 | 72,539 | |||||||||||||||
| Credit Suisse International | HUF | 400,000 | Receives | 6-month HUF BUBOR | 7.92 | 1/11/17 | (302,920 | ) | ||||||||||||||
| Credit Suisse International | HUF | 296,650 | Pays | 6-month HUF BUBOR | 5.12 | 1/16/17 | 86,888 | |||||||||||||||
| Credit Suisse International | HUF | 514,000 | Receives | 6-month HUF BUBOR | 7.63 | 1/16/17 | (366,476 | ) | ||||||||||||||
| Credit Suisse International | HUF | 176,000 | Pays | 6-month HUF BUBOR | 7.10 | 1/17/17 | 108,601 | |||||||||||||||
| Credit Suisse International | HUF | 176,000 | Receives | 6-month HUF BUBOR | 7.83 | 1/17/17 | (130,878 | ) | ||||||||||||||
| 48 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Interest Rate Swaps (continued) | ||||||||||||||||||||||
| Counterparty | Notional Amount (000’s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate Index |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Credit Suisse International | HUF | 186,000 | Pays | 6-month HUF BUBOR | 5.87 | % | 1/20/17 | $ | 78,674 | |||||||||||||
| Credit Suisse International | HUF | 186,000 | Receives | 6-month HUF BUBOR | 7.75 | 1/20/17 | (136,571 | ) | ||||||||||||||
| Credit Suisse International | PLN | 10,290 | Pays | 6-month PLN WIBOR | 4.40 | 8/20/17 | 130,398 | |||||||||||||||
| Deutsche Bank | BRL | 32,088 | Pays | |
Brazil CETIP Interbank Deposit Rate |
|
11.40 | 1/2/17 | 89,925 | |||||||||||||
| Deutsche Bank | BRL | 65,861 | Pays | |
Brazil CETIP Interbank Deposit Rate |
|
11.46 | 1/2/17 | 231,756 | |||||||||||||
| Deutsche Bank | BRL | 79,888 | Pays | |
Brazil CETIP Interbank Deposit Rate |
|
11.52 | 1/2/17 | 362,888 | |||||||||||||
| Deutsche Bank | BRL | 96,655 | Pays | |
Brazil CETIP Interbank Deposit Rate |
|
11.24 | 1/2/17 | 62,000 | |||||||||||||
| Deutsche Bank | CLP | 4,483,020 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.78 | 5/10/18 | (75,062 | ) | ||||||||||||
| Deutsche Bank | CLP | 13,240,270 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.70 | 5/13/18 | (126,189 | ) | ||||||||||||
| Deutsche Bank | CLP | 5,224,497 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.74 | 5/14/18 | (68,728 | ) | ||||||||||||
| Deutsche Bank | CLP | 3,290,792 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.70 | 5/20/18 | (31,562 | ) | ||||||||||||
| Deutsche Bank | CLP | 1,114,809 | Receives | |
6-month Sinacofi Chile Interbank Rate |
|
4.64 | 5/23/18 | (4,689 | ) | ||||||||||||
| Deutsche Bank | HUF | 182,820 | Pays | 6-month HUF BUBOR | 7.01 | 1/19/17 | 115,396 | |||||||||||||||
| Deutsche Bank | HUF | 182,820 | Receives | 6-month HUF BUBOR | 7.98 | 1/19/17 | (140,349 | ) | ||||||||||||||
| Deutsche Bank | PLN | 7,207 | Pays | 6-month PLN WIBOR | 4.34 | 7/30/17 | 87,826 | |||||||||||||||
| Deutsche Bank | PLN | 31,119 | Pays | 6-month PLN WIBOR | 4.36 | 8/1/17 | 384,900 | |||||||||||||||
| Deutsche Bank | PLN | 18,850 | Pays | 6-month PLN WIBOR | 4.28 | 8/6/17 | 213,328 | |||||||||||||||
| Deutsche Bank | PLN | 13,020 | Pays | 6-month PLN WIBOR | 4.24 | 8/7/17 | 141,819 | |||||||||||||||
| Deutsche Bank | PLN | 10,750 | Pays | 6-month PLN WIBOR | 4.33 | 8/17/17 | 118,699 | |||||||||||||||
| Deutsche Bank | PLN | 6,330 | Pays | 6-month PLN WIBOR | 3.79 | 11/16/17 | 73,914 | |||||||||||||||
| Deutsche Bank | PLN | 6,330 | Receives | 6-month PLN WIBOR | 3.60 | 11/16/17 | (34,169 | ) | ||||||||||||||
| Goldman Sachs International | PLN | 6,181 | Pays | 6-month PLN WIBOR | 4.35 | 8/1/17 | 75,553 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 1,612,000 | Pays | 6-month HUF BUBOR | 6.93 | 12/19/16 | 986,312 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 1,612,000 | Receives | 6-month HUF BUBOR | 7.26 | 12/19/16 | (1,064,508 | ) | ||||||||||||||
| JPMorgan Chase Bank | HUF | 529,000 | Pays | 6-month HUF BUBOR | 6.94 | 12/20/16 | 316,942 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 529,000 | Receives | 6-month HUF BUBOR | 7.34 | 12/20/16 | (356,154 | ) | ||||||||||||||
| JPMorgan Chase Bank | HUF | 642,000 | Receives | 6-month HUF BUBOR | 7.36 | 12/21/16 | (434,258 | ) | ||||||||||||||
| JPMorgan Chase Bank | HUF | 627,500 | Pays | 6-month HUF BUBOR | 6.99 | 12/22/16 | 389,710 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 627,500 | Receives | 6-month HUF BUBOR | 7.30 | 12/22/16 | (418,476 | ) | ||||||||||||||
| JPMorgan Chase Bank | HUF | 616,000 | Pays | 6-month HUF BUBOR | 5.10 | 12/27/16 | 172,353 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 616,000 | Receives | 6-month HUF BUBOR | 7.37 | 12/27/16 | (415,399 | ) | ||||||||||||||
| JPMorgan Chase Bank | HUF | 227,000 | Pays | 6-month HUF BUBOR | 5.09 | 1/20/17 | 65,308 | |||||||||||||||
| JPMorgan Chase Bank | HUF | 227,000 | Receives | 6-month HUF BUBOR | 7.75 | 1/20/17 | (166,675 | ) | ||||||||||||||
| JPMorgan Chase Bank | NZD | 86,000 | Pays | |
3-month NZD Bank Bill |
|
4.70 | 10/8/16 | 98,953 | |||||||||||||
| JPMorgan Chase Bank | NZD | 11,000 | Pays | |
3-month NZD Bank Bill |
|
3.86 | 2/25/23 | (643,946 | ) | ||||||||||||
| 49 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Interest Rate Swaps (continued) | ||||||||||||||||||||
| Counterparty | Notional Amount (000’s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate Index |
Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||
| JPMorgan Chase Bank | NZD | 5,490 | Pays | 3-month NZD Bank Bill |
4.06 | % | 6/4/23 | $ | (220,546 | ) | ||||||||||
| JPMorgan Chase Bank | NZD | 5,490 | Pays | 3-month NZD Bank Bill |
4.06 | 6/4/23 | (221,245 | ) | ||||||||||||
| JPMorgan Chase Bank | PLN | 8,370 | Pays | 6-month PLN WIBOR | 4.33 | 8/17/17 | 92,419 | |||||||||||||
| Morgan Stanley & Co. International PLC | HUF | 671,000 | Pays | 6-month HUF BUBOR | 6.94 | 12/19/16 | 411,137 | |||||||||||||
| Morgan Stanley & Co. International PLC | HUF | 671,000 | Receives | 6-month HUF BUBOR | 7.26 | 12/19/16 | (443,105 | ) | ||||||||||||
| Morgan Stanley & Co. International PLC | HUF | 265,000 | Pays | 6-month HUF BUBOR | 7.02 | 12/20/16 | 161,593 | |||||||||||||
| Morgan Stanley & Co. International PLC | HUF | 265,000 | Receives | 6-month HUF BUBOR | 7.36 | 12/20/16 | (179,225 | ) | ||||||||||||
| Nomura International PLC | HUF | 457,000 | Pays | 6-month HUF BUBOR | 6.99 | 12/21/16 | 283,366 | |||||||||||||
| Nomura International PLC | HUF | 457,000 | Receives | 6-month HUF BUBOR | 7.39 | 12/21/16 | (311,233 | ) | ||||||||||||
| $ | 2,376,311 | |||||||||||||||||||
| BRL | – | Brazilian Real | ||
| CLP | – | Chilean Peso | ||
| HUF | – | Hungarian Forint | ||
| NZD | – | New Zealand Dollar | ||
| PLN | – | Polish Zloty |
| Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount* (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Romania | BNP Paribas | $ | 3,100 | 1.00 | %(1) | 9/20/18 | 1.75 | % | $ | (105,283 | ) | $ | 112,535 | $ | 7,252 | |||||||||||||||
| Romania | Goldman Sachs International | 3,220 | 1.00 | (1) | 9/20/18 | 1.75 | (109,359 | ) | 116,714 | 7,355 | ||||||||||||||||||||
| South Africa | Bank of America | 3,190 | 1.00 | (1) | 12/20/15 | 1.03 | 1,464 | 11,509 | 12,973 | |||||||||||||||||||||
| South Africa | Bank of America | 890 | 1.00 | (1) | 12/20/15 | 1.03 | 408 | 3,064 | 3,472 | |||||||||||||||||||||
| South Africa | Bank of America | 7,500 | 1.00 | (1) | 9/20/17 | 1.54 | (143,380 | ) | 191,091 | 47,711 | ||||||||||||||||||||
| South Africa | Bank of America | 5,000 | 1.00 | (1) | 9/20/17 | 1.54 | (95,586 | ) | 59,212 | (36,374 | ) | |||||||||||||||||||
| South Africa | Bank of America | 14,640 | 1.00 | (1) | 9/20/17 | 1.54 | (279,877 | ) | 146,443 | (133,434 | ) | |||||||||||||||||||
| South Africa | Bank of America | 26,320 | 1.00 | (1) | 9/20/17 | 1.54 | (503,168 | ) | 349,683 | (153,485 | ) | |||||||||||||||||||
| South Africa | Barclays Bank PLC | 3,830 | 1.00 | (1) | 12/20/15 | 1.03 | 1,756 | 15,344 | 17,100 | |||||||||||||||||||||
| South Africa | Barclays Bank PLC | 2,280 | 1.00 | (1) | 12/20/15 | 1.03 | 1,046 | 9,211 | 10,257 | |||||||||||||||||||||
| South Africa | Barclays Bank PLC | 5,000 | 1.00 | (1) | 9/20/17 | 1.54 | (95,586 | ) | 106,139 | 10,553 | ||||||||||||||||||||
| South Africa | Barclays Bank PLC | 2,510 | 1.00 | (1) | 9/20/17 | 1.54 | (47,984 | ) | 49,606 | 1,622 | ||||||||||||||||||||
| South Africa | BNP Paribas | 4,190 | 1.00 | (1) | 9/20/17 | 1.54 | (80,102 | ) | 85,817 | 5,715 | ||||||||||||||||||||
| South Africa | Citibank NA | 4,800 | 1.00 | (1) | 9/20/15 | 0.97 | 8,370 | 50,619 | 58,989 | |||||||||||||||||||||
| South Africa | Credit Suisse International | 4,785 | 1.00 | (1) | 12/20/15 | 1.03 | 2,194 | 21,073 | 23,267 | |||||||||||||||||||||
| South Africa | Credit Suisse International | 2,000 | 1.00 | (1) | 12/20/15 | 1.03 | 917 | 7,585 | 8,502 | |||||||||||||||||||||
| South Africa | Credit Suisse International | 890 | 1.00 | (1) | 12/20/15 | 1.03 | 408 | 3,601 | 4,009 | |||||||||||||||||||||
| 50 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Sell Protection (continued) | ||||||||||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount* (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| South Africa | Credit Suisse International | $ | 9,000 | 1.00 | %(1) | 3/20/16 | 1.13 | % | $ | (16,815 | ) | $ | 67,297 | $ | 50,482 | |||||||||||||||
| South Africa | Credit Suisse International | 8,100 | 1.00 | (1) | 3/20/16 | 1.13 | (15,134 | ) | 34,246 | 19,112 | ||||||||||||||||||||
| South Africa | Credit Suisse International | 3,700 | 1.00 | (1) | 9/20/17 | 1.54 | (70,734 | ) | 102,142 | 31,408 | ||||||||||||||||||||
| South Africa | Deutsche Bank | 4,860 | 1.00 | (1) | 9/20/17 | 1.54 | (92,910 | ) | 137,539 | 44,629 | ||||||||||||||||||||
| South Africa | Deutsche Bank | 5,700 | 1.00 | (1) | 9/20/17 | 1.54 | (108,969 | ) | 145,229 | 36,260 | ||||||||||||||||||||
| South Africa | Goldman Sachs International | 15,000 | 1.00 | (1) | 9/20/17 | 1.54 | (286,760 | ) | 408,659 | 121,899 | ||||||||||||||||||||
| South Africa | Goldman Sachs International | 3,070 | 1.00 | (1) | 9/20/17 | 1.54 | (58,691 | ) | 82,540 | 23,849 | ||||||||||||||||||||
| South Africa | Goldman Sachs International | 2,647 | 1.00 | (1) | 12/20/17 | 1.59 | (59,445 | ) | 51,906 | (7,539 | ) | |||||||||||||||||||
| South Africa | HSBC Bank USA | 5,000 | 1.00 | (1) | 9/20/17 | 1.54 | (95,587 | ) | 104,345 | 8,758 | ||||||||||||||||||||
| South Africa | HSBC Bank USA | 2,500 | 1.00 | (1) | 12/20/17 | 1.59 | (56,143 | ) | 50,949 | (5,194 | ) | |||||||||||||||||||
| South Africa | HSBC Bank USA | 7,120 | 1.00 | (1) | 12/20/17 | 1.59 | (159,896 | ) | 126,032 | (33,864 | ) | |||||||||||||||||||
| South Africa | JPMorgan Chase Bank | 7,500 | 1.00 | (1) | 9/20/17 | 1.54 | (143,380 | ) | 156,518 | 13,138 | ||||||||||||||||||||
| South Africa | Nomura International PLC | 1,000 | 1.00 | (1) | 9/20/17 | 1.54 | (19,118 | ) | 11,870 | (7,248 | ) | |||||||||||||||||||
| South Africa | Nomura International PLC | 7,571 | 1.00 | (1) | 12/20/17 | 1.59 | (170,024 | ) | 151,378 | (18,646 | ) | |||||||||||||||||||
| Turkey | BNP Paribas | 4,800 | 1.00 | (1) | 9/20/22 | 2.24 | (439,053 | ) | 275,027 | (164,026 | ) | |||||||||||||||||||
| Turkey | BNP Paribas | 10,000 | 1.00 | (1) | 9/20/22 | 2.24 | (914,694 | ) | 515,198 | (399,496 | ) | |||||||||||||||||||
| Turkey | BNP Paribas | 15,456 | 1.00 | (1) | 9/20/22 | 2.24 | (1,413,750 | ) | 818,529 | (595,221 | ) | |||||||||||||||||||
| Turkey | JPMorgan Chase Bank | 7,400 | 1.00 | (1) | 9/20/22 | 2.24 | (676,873 | ) | 490,310 | (186,563 | ) | |||||||||||||||||||
| Total |
$ | 214,569 | $ | (6,241,738 | ) | $ | 5,068,960 | $ | (1,172,778 | ) | ||||||||||||||||||||
| Credit Default Swaps — Buy Protection | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Brazil | Barclays Bank PLC | $ | 12,000 | 1.00%(1) | 6/20/22 | $ | 952,564 | $ | (968,071 | ) | $ | (15,507 | ) | |||||||||
| Brazil | Goldman Sachs International | 12,800 | 1.00(1) | 9/20/22 | 1,051,448 | (1,025,709 | ) | 25,739 | ||||||||||||||
| Bulgaria | Barclays Bank PLC | 4,691 | 1.00(1) | 12/20/18 | 56,762 | (57,073 | ) | (311 | ) | |||||||||||||
| Bulgaria | BNP Paribas | 2,009 | 1.00(1) | 6/20/18 | 13,553 | (10,707 | ) | 2,846 | ||||||||||||||
| Bulgaria | BNP Paribas | 3,100 | 1.00(1) | 9/20/18 | 29,324 | (28,709 | ) | 615 | ||||||||||||||
| Bulgaria | BNP Paribas | 2,100 | 1.00(1) | 9/20/18 | 19,864 | (22,304 | ) | (2,440 | ) | |||||||||||||
| Bulgaria | BNP Paribas | 2,160 | 1.00(1) | 12/20/18 | 26,136 | (23,058 | ) | 3,078 | ||||||||||||||
| Bulgaria | Goldman Sachs International |
3,220 | 1.00(1) | 9/20/18 | 30,459 | (26,818 | ) | 3,641 | ||||||||||||||
| Bulgaria | Goldman Sachs International | 4,000 | 1.00(1) | 12/20/18 | 48,401 | (47,549 | ) | 852 | ||||||||||||||
| Bulgaria | Goldman Sachs International | 2,000 | 1.00(1) | 12/20/18 | 24,201 | (24,244 | ) | (43 | ) | |||||||||||||
| China | Bank of America | 6,100 | 1.00(1) | 3/20/17 | (114,513 | ) | (123,244 | ) | (237,757 | ) | ||||||||||||
| China | Barclays Bank PLC | 10,076 | 1.00(1) | 3/20/17 | (189,154 | ) | (185,258 | ) | (374,412 | ) | ||||||||||||
| China | Deutsche Bank | 3,700 | 1.00(1) | 3/20/17 | (69,459 | ) | (64,652 | ) | (134,111 | ) | ||||||||||||
| 51 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| China | Deutsche Bank | $ | 4,300 | 1.00%(1) | 3/20/17 | $ | (80,722 | ) | $ | (75,137 | ) | $ | (155,859 | ) | ||||||||
| China | JPMorgan Chase Bank | 10,200 | 1.00(1) | 3/20/18 | (160,831 | ) | 138,222 | (22,609 | ) | |||||||||||||
| Colombia | Bank of America | 3,900 | 1.00(1) | 9/20/21 | 150,658 | (138,114 | ) | 12,544 | ||||||||||||||
| Colombia | Barclays Bank PLC | 2,000 | 1.00(1) | 6/20/22 | 90,535 | (100,699 | ) | (10,164 | ) | |||||||||||||
| Colombia | Citibank NA | 2,100 | 1.00(1) | 6/20/22 | 95,062 | (143,472 | ) | (48,410 | ) | |||||||||||||
| Colombia | Deutsche Bank | 4,100 | 1.00(1) | 6/20/22 | 185,596 | (235,455 | ) | (49,859 | ) | |||||||||||||
| Colombia | Deutsche Bank | 4,580 | 1.00(1) | 6/20/22 | 207,351 | (293,615 | ) | (86,264 | ) | |||||||||||||
| Colombia | Goldman Sachs International | 7,410 | 1.00(1) | 6/20/17 | (15,706 | ) | (176,848 | ) | (192,554 | ) | ||||||||||||
| Colombia | Goldman Sachs International | 2,990 | 1.00(1) | 9/20/21 | 115,505 | (104,027 | ) | 11,478 | ||||||||||||||
| Colombia | Goldman Sachs International | 2,000 | 1.00(1) | 6/20/22 | 90,535 | (136,640 | ) | (46,105 | ) | |||||||||||||
| Colombia | Goldman Sachs International | 2,000 | 1.00(1) | 6/20/22 | 90,535 | (150,675 | ) | (60,140 | ) | |||||||||||||
| Colombia | HSBC Bank USA | 4,040 | 1.00(1) | 6/20/17 | (8,563 | ) | (97,764 | ) | (106,327 | ) | ||||||||||||
| Colombia | HSBC Bank USA | 8,590 | 1.00(1) | 9/20/21 | 331,835 | (292,170 | ) | 39,665 | ||||||||||||||
| Colombia | Morgan Stanley & Co. International PLC | 4,470 | 1.00(1) | 9/20/21 | 172,678 | (158,300 | ) | 14,378 | ||||||||||||||
| Colombia | Morgan Stanley & Co. International PLC | 4,000 | 1.00(1) | 6/20/22 | 181,069 | (223,595 | ) | (42,526 | ) | |||||||||||||
| Croatia | BNP Paribas | 2,000 | 1.00(1) | 12/20/17 | 159,843 | (111,411 | ) | 48,432 | ||||||||||||||
| Croatia | BNP Paribas | 3,960 | 1.00(1) | 6/20/18 | 374,811 | (291,919 | ) | 82,892 | ||||||||||||||
| Croatia | Citibank NA | 1,782 | 1.00(1) | 12/20/16 | 94,566 | (78,878 | ) | 15,688 | ||||||||||||||
| Croatia | Citibank NA | 5,000 | 1.00(1) | 12/20/17 | 399,607 | (281,567 | ) | 118,040 | ||||||||||||||
| Croatia | Citibank NA | 1,500 | 1.00(1) | 12/20/17 | 119,882 | (82,559 | ) | 37,323 | ||||||||||||||
| Croatia | Citibank NA | 3,063 | 1.00(1) | 3/20/18 | 267,373 | (225,284 | ) | 42,089 | ||||||||||||||
| Croatia | Citibank NA | 1,913 | 1.00(1) | 3/20/18 | 166,988 | (154,701 | ) | 12,287 | ||||||||||||||
| Croatia | Citibank NA | 5,580 | 1.00(1) | 6/20/18 | 528,149 | (481,097 | ) | 47,052 | ||||||||||||||
| Croatia | Citibank NA | 930 | 1.00(1) | 6/20/18 | 88,024 | (69,745 | ) | 18,279 | ||||||||||||||
| Croatia | Citibank NA | 1,270 | 1.00(1) | 6/20/18 | 120,206 | (110,897 | ) | 9,309 | ||||||||||||||
| Croatia | Goldman Sachs International | 2,000 | 1.00(1) | 12/20/17 | 159,843 | (110,371 | ) | 49,472 | ||||||||||||||
| Croatia | HSBC Bank USA | 2,822 | 1.00(1) | 3/20/18 | 246,336 | (228,210 | ) | 18,126 | ||||||||||||||
| Croatia | JPMorgan Chase Bank | 1,533 | 1.00(1) | 6/20/18 | 145,099 | (133,971 | ) | 11,128 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 2,500 | 1.00(1) | 12/20/17 | 199,803 | (139,878 | ) | 59,925 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 2,500 | 1.00(1) | 12/20/17 | 199,803 | (142,586 | ) | 57,217 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 1,385 | 1.00(1) | 12/20/17 | 110,691 | (73,938 | ) | 36,753 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 1,595 | 1.00(1) | 12/20/17 | 127,474 | (91,051 | ) | 36,423 | ||||||||||||||
| 52 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | $ | 1,266 | 1.00%(1) | 3/20/18 | $ | 110,511 | $ | (103,365 | ) | $ | 7,146 | ||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 2,500 | 1.00(1) | 6/20/18 | 236,626 | (208,832 | ) | 27,794 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 1,163 | 1.00(1) | 6/20/18 | 110,078 | (106,077 | ) | 4,001 | ||||||||||||||
| Croatia | Morgan Stanley & Co. International PLC | 2,745 | 1.00(1) | 6/20/18 | 259,815 | (256,316 | ) | 3,499 | ||||||||||||||
| Croatia | Nomura International PLC | 6,600 | 1.00(1) | 3/20/18 | 576,122 | (384,703 | ) | 191,419 | ||||||||||||||
| Egypt | Citibank NA | 1,300 | 1.00(1) | 12/20/15 | 138,947 | (37,336 | ) | 101,611 | ||||||||||||||
| Egypt | Credit Suisse International | 2,130 | 1.00(1) | 12/20/15 | 227,659 | (57,310 | ) | 170,349 | ||||||||||||||
| Egypt | Credit Suisse International | 2,155 | 1.00(1) | 12/20/15 | 230,331 | (61,896 | ) | 168,435 | ||||||||||||||
| Egypt | Deutsche Bank | 4,600 | 1.00(1) | 12/20/15 | 491,659 | (99,119 | ) | 392,540 | ||||||||||||||
| Hungary | Bank of America | 1,800 | 1.00(1) | 3/20/17 | 74,971 | (218,549 | ) | (143,578 | ) | |||||||||||||
| Hungary | Barclays Bank PLC | 900 | 1.00(1) | 3/20/17 | 37,485 | (109,265 | ) | (71,780 | ) | |||||||||||||
| Hungary | Barclays Bank PLC | 2,500 | 1.00(1) | 3/20/17 | 104,126 | (304,619 | ) | (200,493 | ) | |||||||||||||
| Hungary | Deutsche Bank | 1,700 | 1.00(1) | 3/20/17 | 70,806 | (205,483 | ) | (134,677 | ) | |||||||||||||
| Hungary | Goldman Sachs International | 3,400 | 1.00(1) | 3/20/17 | 141,611 | (409,458 | ) | (267,847 | ) | |||||||||||||
| Hungary | HSBC Bank USA | 900 | 1.00(1) | 3/20/17 | 37,485 | (109,265 | ) | (71,780 | ) | |||||||||||||
| Lebanon | Deutsche Bank | 1,338 | 1.00(1) | 3/20/18 | 143,963 | (157,830 | ) | (13,867 | ) | |||||||||||||
| Lebanon | Deutsche Bank | 5,130 | 1.00(1) | 3/20/18 | 551,970 | (630,074 | ) | (78,104 | ) | |||||||||||||
| Lebanon | Deutsche Bank | 5,130 | 1.00(1) | 3/20/18 | 551,969 | (630,302 | ) | (78,333 | ) | |||||||||||||
| Lebanon | Goldman Sachs International | 39,456 | 1.00(1) | 6/20/18 | 4,604,174 | (4,932,215 | ) | (328,041 | ) | |||||||||||||
| Lebanon | Goldman Sachs International | 3,722 | 5.00(1) | 12/20/18 | (196,478 | ) | 215,788 | 19,310 | ||||||||||||||
| Lebanon | Goldman Sachs International | 3,450 | 5.00(1) | 12/20/18 | (182,119 | ) | 184,996 | 2,877 | ||||||||||||||
| Lebanon | HSBC Bank USA | 1,250 | 1.00(1) | 12/20/17 | 123,068 | (147,276 | ) | (24,208 | ) | |||||||||||||
| Lebanon | JPMorgan Chase Bank | 1,300 | 5.00(1) | 12/20/17 | (76,277 | ) | 34,946 | (41,331 | ) | |||||||||||||
| Mexico | Bank of America | 1,900 | 1.00(1) | 6/20/22 | 57,095 | (106,217 | ) | (49,122 | ) | |||||||||||||
| Mexico | Bank of America | 3,910 | 1.00(1) | 6/20/22 | 117,497 | (248,356 | ) | (130,859 | ) | |||||||||||||
| Mexico | Barclays Bank PLC | 1,000 | 1.00(1) | 6/20/22 | 30,050 | (66,626 | ) | (36,576 | ) | |||||||||||||
| Mexico | Barclays Bank PLC | 12,800 | 1.00(1) | 6/20/23 | 472,222 | (434,097 | ) | 38,125 | ||||||||||||||
| Mexico | Citibank NA | 1,250 | 1.00(1) | 6/20/22 | 37,563 | (71,756 | ) | (34,193 | ) | |||||||||||||
| Mexico | Deutsche Bank | 1,900 | 1.00(1) | 6/20/22 | 57,095 | (107,519 | ) | (50,424 | ) | |||||||||||||
| Mexico | Deutsche Bank | 2,020 | 1.00(1) | 6/20/22 | 60,701 | (126,928 | ) | (66,227 | ) | |||||||||||||
| Mexico | Deutsche Bank | 1,850 | 1.00(1) | 6/20/22 | 55,593 | (125,642 | ) | (70,049 | ) | |||||||||||||
| Mexico | Deutsche Bank | 3,900 | 1.00(1) | 6/20/22 | 117,196 | (229,350 | ) | (112,154 | ) | |||||||||||||
| Mexico | Deutsche Bank | 10,000 | 1.00(1) | 6/20/23 | 368,924 | (306,974 | ) | 61,950 | ||||||||||||||
| 53 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Mexico | Goldman Sachs International | $ | 1,900 | 1.00%(1) | 6/20/22 | $ | 57,096 | $ | (107,529 | ) | $ | (50,433 | ) | |||||||||
| Mexico | Goldman Sachs International | 1,950 | 1.00(1) | 6/20/22 | 58,598 | (133,092 | ) | (74,494 | ) | |||||||||||||
| Philippines | Bank of America | 1,400 | 1.00(1) | 12/20/15 | (22,522 | ) | (8,344 | ) | (30,866 | ) | ||||||||||||
| Philippines | Bank of America | 2,000 | 1.00(1) | 12/20/15 | (32,173 | ) | (11,176 | ) | (43,349 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 2,400 | 1.00(1) | 12/20/15 | (38,608 | ) | (20,362 | ) | (58,970 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 1,000 | 1.00(1) | 3/20/16 | (16,379 | ) | (9,537 | ) | (25,916 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 1,400 | 1.00(1) | 3/20/16 | (22,930 | ) | (9,522 | ) | (32,452 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 1,600 | 1.00(1) | 3/20/16 | (26,205 | ) | (8,441 | ) | (34,646 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 1,600 | 1.00(1) | 3/20/16 | (26,206 | ) | (12,605 | ) | (38,811 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 2,100 | 1.00(1) | 3/20/16 | (34,395 | ) | (15,562 | ) | (49,957 | ) | ||||||||||||
| Philippines | Barclays Bank PLC | 2,500 | 1.00(1) | 3/20/16 | (40,947 | ) | (23,415 | ) | (64,362 | ) | ||||||||||||
| Philippines | Citibank NA | 6,600 | 1.00(1) | 9/20/15 | (97,803 | ) | (68,691 | ) | (166,494 | ) | ||||||||||||
| Philippines | Citibank NA | 2,000 | 1.00(1) | 3/20/16 | (32,758 | ) | (15,308 | ) | (48,066 | ) | ||||||||||||
| Philippines | Credit Suisse International | 8,100 | 1.00(1) | 12/20/16 | (139,714 | ) | (140,404 | ) | (280,118 | ) | ||||||||||||
| Philippines | Deutsche Bank | 1,000 | 1.00(1) | 12/20/15 | (16,086 | ) | (6,382 | ) | (22,468 | ) | ||||||||||||
| Philippines | Deutsche Bank | 1,300 | 1.00(1) | 12/20/15 | (20,913 | ) | (7,761 | ) | (28,674 | ) | ||||||||||||
| Philippines | Deutsche Bank | 2,300 | 1.00(1) | 12/20/15 | (36,999 | ) | (14,625 | ) | (51,624 | ) | ||||||||||||
| Philippines | Goldman Sachs International | 2,000 | 1.00(1) | 3/20/16 | (32,758 | ) | (15,748 | ) | (48,506 | ) | ||||||||||||
| Philippines | Standard Chartered Bank | 1,000 | 1.00(1) | 12/20/15 | (16,086 | ) | (5,338 | ) | (21,424 | ) | ||||||||||||
| Philippines | Standard Chartered Bank | 2,600 | 1.00(1) | 3/20/16 | (42,585 | ) | (21,629 | ) | (64,214 | ) | ||||||||||||
| Qatar | Barclays Bank PLC | 9,791 | 1.00(1) | 12/20/18 | (185,879 | ) | 164,847 | (21,032 | ) | |||||||||||||
| Qatar | Barclays Bank PLC | 7,680 | 1.00(1) | 9/20/23 | 7,253 | 6,548 | 13,801 | |||||||||||||||
| Russia | Barclays Bank PLC | 4,800 | 1.00(1) | 9/20/22 | 382,355 | (594,432 | ) | (212,077 | ) | |||||||||||||
| Russia | Citibank NA | 25,456 | 1.00(1) | 9/20/22 | 2,027,757 | (1,897,888 | ) | 129,869 | ||||||||||||||
| Russia | Deutsche Bank | 15,333 | 1.00(1) | 6/20/18 | 328,515 | (254,917 | ) | 73,598 | ||||||||||||||
| Russia | Deutsche Bank | 7,570 | 1.00(1) | 6/20/18 | 162,190 | (124,321 | ) | 37,869 | ||||||||||||||
| Russia | JPMorgan Chase Bank | 9,158 | 1.00(1) | 6/20/18 | 196,213 | (148,661 | ) | 47,552 | ||||||||||||||
| Russia | JPMorgan Chase Bank | 6,210 | 1.00(1) | 6/20/18 | 133,051 | (103,473 | ) | 29,578 | ||||||||||||||
| Russia | JPMorgan Chase Bank | 3,820 | 1.00(1) | 6/20/18 | 81,845 | (57,433 | ) | 24,412 | ||||||||||||||
| Russia | JPMorgan Chase Bank | 7,400 | 1.00(1) | 9/20/22 | 589,465 | (553,188 | ) | 36,277 | ||||||||||||||
| South Africa | Bank of America | 3,190 | 1.00(1) | 12/20/20 | 231,729 | (96,185 | ) | 135,544 | ||||||||||||||
| South Africa | Bank of America | 890 | 1.00(1) | 12/20/20 | 64,652 | (24,465 | ) | 40,187 | ||||||||||||||
| South Africa | Bank of America | 26,320 | 1.00(1) | 9/20/22 | 2,577,579 | (1,835,073 | ) | 742,506 | ||||||||||||||
| South Africa | Bank of America | 14,640 | 1.00(1) | 9/20/22 | 1,433,729 | (921,663 | ) | 512,066 | ||||||||||||||
| South Africa | Bank of America | 5,000 | 1.00(1) | 9/20/22 | 489,662 | (332,845 | ) | 156,817 | ||||||||||||||
| South Africa | Bank of America | 7,500 | 1.00(1) | 9/20/22 | 734,493 | (657,922 | ) | 76,571 | ||||||||||||||
| 54 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| South Africa | Barclays Bank PLC | $ | 3,830 | 1.00%(1) | 12/20/20 | $ | 278,220 | $ | (111,177 | ) | $ | 167,043 | ||||||||||
| South Africa | Barclays Bank PLC | 2,280 | 1.00(1) | 12/20/20 | 165,624 | (62,442 | ) | 103,182 | ||||||||||||||
| South Africa | Barclays Bank PLC | 3,100 | 1.00(1) | 9/20/22 | 303,591 | (233,491 | ) | 70,100 | ||||||||||||||
| South Africa | BNP Paribas | 3,100 | 1.00(1) | 9/20/22 | 303,590 | (239,900 | ) | 63,690 | ||||||||||||||
| South Africa | Citibank NA | 4,800 | 1.00(1) | 9/20/20 | 330,640 | (216,725 | ) | 113,915 | ||||||||||||||
| South Africa | Credit Suisse International | 4,785 | 1.00(1) | 12/20/20 | 347,593 | (146,962 | ) | 200,631 | ||||||||||||||
| South Africa | Credit Suisse International | 2,000 | 1.00(1) | 12/20/20 | 145,285 | (60,718 | ) | 84,567 | ||||||||||||||
| South Africa | Credit Suisse International | 890 | 1.00(1) | 12/20/20 | 64,652 | (26,012 | ) | 38,640 | ||||||||||||||
| South Africa | Credit Suisse International | 8,100 | 1.00(1) | 3/20/21 | 619,158 | (264,469 | ) | 354,689 | ||||||||||||||
| South Africa | Credit Suisse International | 9,000 | 1.00(1) | 3/20/21 | 687,954 | (344,412 | ) | 343,542 | ||||||||||||||
| South Africa | Credit Suisse International | 20,000 | 1.00(1) | 12/20/21 | 1,751,127 | (1,519,313 | ) | 231,814 | ||||||||||||||
| South Africa | Credit Suisse International | 3,700 | 1.00(1) | 9/20/22 | 362,349 | (337,028 | ) | 25,321 | ||||||||||||||
| South Africa | Deutsche Bank | 5,700 | 1.00(1) | 9/20/22 | 558,214 | (496,939 | ) | 61,275 | ||||||||||||||
| South Africa | Deutsche Bank | 4,860 | 1.00(1) | 9/20/22 | 475,947 | (425,530 | ) | 50,417 | ||||||||||||||
| South Africa | Goldman Sachs International | 15,000 | 1.00(1) | 9/20/22 | 1,468,970 | (1,314,094 | ) | 154,876 | ||||||||||||||
| South Africa | Goldman Sachs International | 3,070 | 1.00(1) | 9/20/22 | 300,650 | (260,502 | ) | 40,148 | ||||||||||||||
| South Africa | Goldman Sachs International | 2,647 | 1.00(1) | 12/20/22 | 267,957 | (234,851 | ) | 33,106 | ||||||||||||||
| South Africa | HSBC Bank USA | 7,120 | 1.00(1) | 12/20/22 | 720,760 | (575,678 | ) | 145,082 | ||||||||||||||
| South Africa | HSBC Bank USA | 2,500 | 1.00(1) | 12/20/22 | 253,076 | (213,005 | ) | 40,071 | ||||||||||||||
| South Africa | Nomura International PLC | 1,000 | 1.00(1) | 9/20/22 | 97,932 | (68,876 | ) | 29,056 | ||||||||||||||
| South Africa | Nomura International PLC | 7,571 | 1.00(1) | 12/20/22 | 766,415 | (661,081 | ) | 105,334 | ||||||||||||||
| Spain | Bank of America | 2,400 | 1.00(1) | 9/20/20 | 156,363 | (184,079 | ) | (27,716 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 2,421 | 1.00(1) | 9/20/20 | 157,731 | (162,686 | ) | (4,955 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 1,100 | 1.00(1) | 12/20/20 | 75,456 | (79,899 | ) | (4,443 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 3,900 | 1.00(1) | 12/20/20 | 267,525 | (288,611 | ) | (21,086 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 3,200 | 1.00(1) | 12/20/20 | 219,508 | (339,644 | ) | (120,136 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 5,000 | 1.00(1) | 6/20/21 | 366,700 | (377,208 | ) | (10,508 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 5,000 | 1.00(1) | 6/20/21 | 366,562 | (424,893 | ) | (58,331 | ) | |||||||||||||
| Spain | Barclays Bank PLC | 5,000 | 1.00(1) | 3/20/22 | 400,137 | (832,946 | ) | (432,809 | ) | |||||||||||||
| Spain | Citibank NA | 7,900 | 1.00(1) | 12/20/16 | (107,896 | ) | (196,134 | ) | (304,030 | ) | ||||||||||||
| Spain | Credit Suisse International | 2,200 | 1.00(1) | 3/20/21 | 156,097 | (252,079 | ) | (95,982 | ) | |||||||||||||
| Spain | Credit Suisse International | 5,000 | 1.00(1) | 6/20/21 | 366,701 | (411,857 | ) | (45,156 | ) | |||||||||||||
| 55 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Spain | Deutsche Bank | $ | 3,500 | 1.00%(1) | 12/20/20 | $ | 240,087 | $ | (297,047 | ) | $ | (56,960 | ) | |||||||||
| Spain | Deutsche Bank | 10,730 | 1.00(1) | 6/20/22 | 881,945 | (2,568,465 | ) | (1,686,520 | ) | |||||||||||||
| Thailand | Bank of America | 1,000 | 1.00(1) | 3/20/16 | (13,957 | ) | (2,213 | ) | (16,170 | ) | ||||||||||||
| Thailand | Barclays Bank PLC | 1,400 | 1.00(1) | 3/20/16 | (19,541 | ) | (4,603 | ) | (24,144 | ) | ||||||||||||
| Thailand | Barclays Bank PLC | 3,000 | 1.00(1) | 3/20/16 | (41,873 | ) | (1,331 | ) | (43,204 | ) | ||||||||||||
| Thailand | Citibank NA | 6,900 | 1.00(1) | 3/20/18 | (39,190 | ) | 2,884 | (36,306 | ) | |||||||||||||
| Thailand | Goldman Sachs International | 4,100 | 1.00(1) | 3/20/16 | (57,227 | ) | (16,291 | ) | (73,518 | ) | ||||||||||||
| Thailand | Standard Chartered Bank | 3,300 | 1.00(1) | 9/20/15 | (43,143 | ) | (16,240 | ) | (59,383 | ) | ||||||||||||
| Tunisia | Barclays Bank PLC | 1,970 | 1.00(1) | 9/20/17 | 170,788 | (137,302 | ) | 33,486 | ||||||||||||||
| Tunisia | Deutsche Bank | 3,800 | 1.00(1) | 6/20/17 | 304,385 | (218,689 | ) | 85,696 | ||||||||||||||
| Tunisia | Deutsche Bank | 2,150 | 1.00(1) | 6/20/17 | 172,218 | (130,603 | ) | 41,615 | ||||||||||||||
| Tunisia | Goldman Sachs International | 2,100 | 1.00(1) | 9/20/17 | 182,048 | (132,391 | ) | 49,657 | ||||||||||||||
| Tunisia | Goldman Sachs International | 2,250 | 1.00(1) | 9/20/17 | 195,051 | (149,301 | ) | 45,750 | ||||||||||||||
| Tunisia | Goldman Sachs International | 2,100 | 1.00(1) | 9/20/17 | 182,045 | (146,588 | ) | 35,457 | ||||||||||||||
| Tunisia | JPMorgan Chase Bank | 4,520 | 1.00(1) | 9/20/17 | 391,831 | (323,421 | ) | 68,410 | ||||||||||||||
| Tunisia | Morgan Stanley & Co. International PLC | 500 | 1.00(1) | 6/20/17 | 40,050 | (30,351 | ) | 9,699 | ||||||||||||||
| Tunisia | Nomura International PLC | 3,400 | 1.00(1) | 12/20/17 | 316,486 | (287,767 | ) | 28,719 | ||||||||||||||
| Venezuela | Barclays Bank PLC | 5,640 | 5.00(1) | 6/20/18 | 891,181 | (619,810 | ) | 271,371 | ||||||||||||||
| Venezuela | Barclays Bank PLC | 1,719 | 5.00(1) | 6/20/18 | 271,617 | (183,453 | ) | 88,164 | ||||||||||||||
| Venezuela | Barclays Bank PLC | 710 | 5.00(1) | 6/20/18 | 112,186 | (74,736 | ) | 37,450 | ||||||||||||||
| Venezuela | Citibank NA | 2,816 | 5.00(1) | 6/20/18 | 444,959 | (306,822 | ) | 138,137 | ||||||||||||||
| Venezuela | Deutsche Bank | 4,230 | 5.00(1) | 6/20/18 | 668,377 | (458,241 | ) | 210,136 | ||||||||||||||
| Venezuela | Deutsche Bank | 1,170 | 5.00(1) | 6/20/18 | 184,872 | (127,827 | ) | 57,045 | ||||||||||||||
| Venezuela | Deutsche Bank | 2,603 | 5.00(1) | 6/20/20 | 516,096 | (528,746 | ) | (12,650 | ) | |||||||||||||
| Venezuela | Deutsche Bank | 4,584 | 5.00(1) | 6/20/23 | 1,048,419 | (1,180,904 | ) | (132,485 | ) | |||||||||||||
| Venezuela | Goldman Sachs International | 1,740 | 5.00(1) | 6/20/23 | 397,960 | (381,436 | ) | 16,524 | ||||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Bank of America | 2,064 | 1.00(1) | 6/20/18 | 1,660 | (36,635 | ) | (34,975 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Barclays Bank PLC | 3,135 | 1.00(1) | 6/20/18 | 2,522 | (93,701 | ) | (91,179 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Barclays Bank PLC | 11,428 | 1.00(1) | 6/20/18 | 9,232 | (196,949 | ) | (187,717 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Barclays Bank PLC | 19,740 | 1.00(1) | 6/20/18 | 15,930 | (314,656 | ) | (298,726 | ) | |||||||||||||
| 56 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||
| Reference Entity |
Counterparty | Notional Amount (000’s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Market Value |
Unamortized Upfront Payments Received (Paid) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Citibank NA | $ | 5,601 | 1.00%(1) | 6/20/18 | $ | 4,505 | $ | (101,798 | ) | $ | (97,293 | ) | |||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Credit Suisse International | 4,562 | 1.00(1) | 6/20/18 | 3,669 | (72,599 | ) | (68,930 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Deutsche Bank | 2,759 | 1.00(1) | 6/20/18 | 2,219 | (47,882 | ) | (45,663 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Goldman Sachs International | 3,319 | 1.00(1) | 6/20/18 | 2,670 | (60,432 | ) | (57,762 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | Goldman Sachs International | 6,627 | 1.00(1) | 6/20/18 | 5,330 | (119,036 | ) | (113,706 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | JPMorgan Chase Bank | 2,065 | 1.00(1) | 6/20/18 | 1,661 | (37,531 | ) | (35,870 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | JPMorgan Chase Bank | 2,320 | 1.00(1) | 6/20/18 | 1,866 | (38,310 | ) | (36,444 | ) | |||||||||||||
| iTraxx Asia ex-Japan Investment Grade Index | JPMorgan Chase Bank | 3,093 | 1.00(1) | 6/20/18 | 2,488 | (48,427 | ) | (45,939 | ) | |||||||||||||
| iTraxx Europe Senior Financials 5-Year Index | Goldman Sachs International | EUR | 24,570 | 1.00(1) | 12/20/18 | 246,366 | (640,394 | ) | (394,028 | ) | ||||||||||||
| iTraxx Europe Subordinated Financials 5-Year Index | JPMorgan Chase Bank | EUR | 5,676 | 5.00(1) | 12/20/18 | (1,237,045 | ) | 1,052,836 | (184,209 | ) | ||||||||||||
| iTraxx Europe Subordinated Financials 5-Year Index | JPMorgan Chase Bank | EUR | 31,180 | 5.00(1) | 12/20/18 | (6,794,836 | ) | 5,861,413 | (933,423 | ) | ||||||||||||
| $ | 37,610,790 | $ | (40,826,351 | ) | $ | (3,215,561 | ) | |||||||||||||||
| * | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2013, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $214,569,000. |
| ** | The contract annual fixed rate represents the annual fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
| *** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
| (1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
| EUR | – | Euro |
| 57 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Total Return Swaps | ||||||||||||||||
| Counterparty | Number of |
Portfolio Receives | Portfolio Pays | Termination Date |
Net Unrealized Appreciation (Depreciation) |
|||||||||||
| Citibank NA | N.A. | Total Return on GTQ 12,719,000 Banco de Guatemala, 0%, due 12/3/13 | 3-month USD LIBOR-BBA + 50 bp on $1,569,688 (Notional Amount) plus Notional Amount at termination date | 12/5/13 | $ | 25,578 | ||||||||||
| Citibank NA | 21,000,000 | Positive Return on KOSPI 200 Index less 5bp | Negative Return on KOSPI 200 Index plus 5bp | 12/12/13 | 106,179 | |||||||||||
| Citibank NA | 13,500,000 | Positive Return on KOSPI 200 Index less 5bp | Negative Return on KOSPI 200 Index plus 5bp | 12/12/13 | 48,874 | |||||||||||
| Citibank NA | N.A. | Total Return on GTQ 9,681,000 Banco de Guatemala, 0%, due 3/4/14 |
3-month USD LIBOR-BBA + 50 bp on $1,196,296 (Notional Amount) plus Notional Amount at termination date | 3/10/14 | 5,832 | |||||||||||
| Citibank NA | N.A. | Total Return on GTQ 45,767,000 Banco de Guatemala, 0%, due 6/3/14 |
3-month USD LIBOR-BBA + 50 bp on $5,605,994 (Notional Amount) plus Notional Amount at termination date | 6/5/14 | 23,132 | |||||||||||
| JPMorgan Chase Bank | 460 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (26,758 | ) | ||||||||||
| JPMorgan Chase Bank | 4,430 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (207,639 | ) | ||||||||||
| JPMorgan Chase Bank | 1,150 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (61,381 | ) | ||||||||||
| JPMorgan Chase Bank | 1,210 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (67,523 | ) | ||||||||||
| JPMorgan Chase Bank | 1,220 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (48,905 | ) | ||||||||||
| JPMorgan Chase Bank | 12,560 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (727,102 | ) | ||||||||||
| JPMorgan Chase Bank | 1,880 | Negative Return on WIG20 Index | Positive Return on WIG20 Index | 12/20/13 | (82,266 | ) | ||||||||||
| $ | (1,011,979 | ) | ||||||||||||||
| GTQ | – | Guatemalan Quetzal |
| Cross-Currency Swaps | ||||||||||||||||||||||||||||
| Counterparty | Portfolio Receives Fixed Rate on Notional Amount (000’s omitted) |
Portfolio Pays Floating Rate on Notional Amount (000’somitted) |
Floating Rate | Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation |
||||||||||||||||||||||
| Bank of America | CLF | 192 | CLP | 4,413,690 | 6-month Sinacofi Chile Interbank Rate |
2.10 | % | 5/10/18 | $ | 79,966 | ||||||||||||||||||
| Bank of America | CLF | 457 | CLP | 10,493,516 | 6-month Sinacofi Chile Interbank Rate |
2.08 | 5/13/18 | 184,968 | ||||||||||||||||||||
| Bank of America | CLF | 172 | CLP | 3,952,822 | 6-month Sinacofi Chile Interbank Rate |
2.10 | 5/16/18 | 82,973 | ||||||||||||||||||||
| 58 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| Cross-Currency Swaps (continued) | ||||||||||||||||||||||||||||
| Counterparty | Portfolio Receives Fixed Rate on Notional Amount (000’s omitted) |
Portfolio Pays Floating Rate on Notional Amount (000’somitted) |
Floating Rate | Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation |
||||||||||||||||||||||
| Bank of America | CLF | 290 | CLP | 6,638,910 | 6-month Sinacofi Chile Interbank Rate |
2.05 | % | 5/20/18 | $ | 119,987 | ||||||||||||||||||
| Citibank NA | CLF | 74 | CLP | 1,694,460 | 6-month Sinacofi Chile Interbank Rate |
2.01 | 5/20/18 | 24,097 | ||||||||||||||||||||
| Deutsche Bank | CLF | 195 | CLP | 4,483,020 | 6-month Sinacofi Chile Interbank Rate |
2.09 | 5/10/18 | 76,914 | ||||||||||||||||||||
| Deutsche Bank | CLF | 577 | CLP | 13,240,270 | 6-month Sinacofi Chile Interbank Rate |
2.05 | 5/13/18 | 199,000 | ||||||||||||||||||||
| Deutsche Bank | CLF | 228 | CLP | 5,224,497 | 6-month Sinacofi Chile Interbank Rate |
2.11 | 5/14/18 | 109,708 | ||||||||||||||||||||
| Deutsche Bank | CLF | 144 | CLP | 3,290,792 | 6-month Sinacofi Chile Interbank Rate |
2.00 | 5/20/18 | 43,630 | ||||||||||||||||||||
| Deutsche Bank | CLF | 49 | CLP | 1,114,809 | 6-month Sinacofi Chile Interbank Rate |
1.93 | 5/23/18 | 8,897 | ||||||||||||||||||||
| $ | 930,140 | |||||||||||||||||||||||||||
| Counterparty | Notional Amount on Fixed Rate (Currency Received) (000’s omitted)* |
Notional Amount on Floating Rate (Currency Delivered (000’s omitted)* |
Floating Rate | Annual Fixed Rate |
Termination Date |
Net Unrealized Appreciation |
||||||||||||||||
| Bank of America | TRY | 700 | $ | 394 | 3-month USD LIBOR-BBA |
6.97 | % | 8/18/21 | $ | 52,185 | ||||||||||||
| Citibank NA | TRY | 10,951 | 7,200 | 3-month USD LIBOR-BBA |
8.23 | 9/3/20 | 1,461,380 | |||||||||||||||
| Citibank NA | TRY | 7,310 | 3,999 | 3-month USD LIBOR-BBA |
6.45 | 1/6/21 | 361,477 | |||||||||||||||
| Citibank NA | TRY | 5,133 | 3,216 | 3-month USD LIBOR-BBA |
8.23 | 2/25/21 | 390,143 | |||||||||||||||
| Citibank NA | TRY | 5,600 | 3,094 | 3-month USD LIBOR-BBA |
6.26 | 10/18/21 | 513,847 | |||||||||||||||
| Credit Suisse International | TRY | 10,104 | 5,676 | 3-month USD LIBOR-BBA |
6.90 | 8/18/21 | 769,716 | |||||||||||||||
| Deutsche Bank | TRY | 14,469 | 7,920 | 3-month USD LIBOR-BBA |
6.45 | 1/6/21 | 720,480 | |||||||||||||||
| Deutsche Bank | TRY | 18,837 | 11,832 | 3-month USD LIBOR-BBA |
8.20 | 2/24/21 | 1,478,034 | |||||||||||||||
| Deutsche Bank | TRY | 13,388 | 7,517 | 3-month USD LIBOR-BBA |
7.00 | 8/18/21 | 975,452 | |||||||||||||||
| HSBC Bank USA | TRY | 16,212 | 8,470 | 3-month USD LIBOR-BBA |
7.85 | 2/23/22 | 83,536 | |||||||||||||||
| JPMorgan Chase Bank | TRY | 29,548 | 15,430 | 3-month USD LIBOR-BBA |
7.86 | 7/21/21 | 116,819 | |||||||||||||||
| $ | 6,923,069 | |||||||||||||||||||||
| $ | 7,853,209 | |||||||||||||||||||||
| 59 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| CLF | – | Chilean Unidad de Fomento | ||
| CLP | – | Chilean Peso | ||
| TRY | – | New Turkish Lira |
| * | The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered. |
Written options activity for the year ended October 31, 2013 was as follows:
| Principal Amount of Contracts (000’s omitted) |
Principal Amount of Contracts (000’s omitted) |
Premiums Received |
||||||||||||||||||
| Outstanding, beginning of year |
INR | 10,798,200 | KRW | — | $ | 6,968,940 | ||||||||||||||
| Options written |
11,830,468 | 109,662,560 | 4,265,754 | |||||||||||||||||
| Options expired |
(13,061,993 | ) | (109,662,560 | ) | (8,650,146 | ) | ||||||||||||||
| Outstanding, end of year |
INR | 9,566,675 | KRW | — | $ | 2,584,548 | ||||||||||||||
| INR | – | Indian Rupee | ||
| KRW | – | South Korean Won |
At October 31, 2013, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative investments, including commodity futures contracts and options thereon and forward commodity contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative investments are used to enhance total return and/or as a substitute for the purchase or sale of commodities.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.
Equity Price Risk: The Portfolio enters into equity index futures and options thereon and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, options on currencies, total return swaps 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 futures, interest rate swaps and swaptions and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
The Portfolio enters into over-the-counter written options, non-centrally cleared swap contracts, forward foreign currency exchange contracts and forward commodity contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2013, the fair value of derivatives with credit-related contingent features in a net liability position was $49,367,367. The Portfolio may be required to pledge collateral in the form of cash or securities for the benefit of a counterparty if the net amount due to the counterparty exceeds a certain threshold. Collateral pledged for the benefit of a counterparty for over-the-counter derivatives is held in a segregated account by the Portfolio’s custodian. Securities pledged as collateral, if any, are identified in the Consolidated Portfolio of Investments. Cash pledged as collateral, if any, is included in restricted cash on the Consolidated Statement of Assets and Liabilities. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $28,997,630 at October 31, 2013.
The non-exchange traded derivatives in which the Portfolio invests, including non-centrally cleared swap contracts, swaption contracts, over-the counter options, forward commodity contracts and forward foreign currency exchange contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. The Portfolio is not subject to counterparty credit risk with respect to its written options as the Portfolio, not the counterparty, is obligated to perform under such derivatives. At October 31, 2013, the maximum amount of loss the Portfolio would incur due to counterparty risk was $40,877,255, with the highest amount from any one counterparty being $7,032,624. Such maximum amount would be reduced by any unamortized upfront payments received by the Portfolio. Such amount would be increased by any unamortized upfront payments made by the Portfolio. To mitigate this risk, the Portfolio (and Subsidiary) has entered into master netting agreements with substantially all of its derivative
| 60 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement into a single net amount payable by either the Portfolio (and Subsidiary) or the counterparty. At October 31, 2013, the maximum amount of loss the Portfolio would incur due to counterparty risk would be reduced by approximately $31,751,000 due to master netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Portfolio if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered Portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered Portfolio.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2013 was as follows:
| Fair Value | ||||||||||||||||||||
| Consolidated Statement of Assets and Liabilities Caption | Credit | Equity Price | Foreign Exchange |
Interest Rate |
Commodity | |||||||||||||||
| Securities of unaffiliated issuers, at value |
$ | — | $ | 2,368,392 | $ | 884,837 | $ | 237,792 | $ | — | ||||||||||
| Net unrealized depreciation* |
— | 565,016 | — | 787,886 | 115,265 | |||||||||||||||
| Receivable for open forward commodity contracts |
— | — | — | — | 547,013 | |||||||||||||||
| Receivable for open forward foreign currency exchange contracts |
— | — | 9,021,236 | — | — | |||||||||||||||
| Receivable for open swap contracts; Premium paid/received on open swap contracts |
47,957,829 | 155,053 | 54,542 | 19,305,289 | — | |||||||||||||||
| Total Asset Derivatives |
$ | 47,957,829 | $ | 3,088,461 | $ | 9,960,615 | $ | 20,330,967 | $ | 662,278 | ||||||||||
| Written options outstanding, at value |
$ | — | $ | — | $ | (3,363,385 | ) | $ | — | $ | — | |||||||||
| Net unrealized depreciation* |
— | — | — | (7,668,020 | ) | (58,800 | ) | |||||||||||||
| Payable for open forward foreign currency exchange contracts |
— | — | (23,015,199 | ) | — | — | ||||||||||||||
| Payable for open swap contracts; Premium paid/received on open swap contracts |
(16,588,777 | ) | (1,221,574 | ) | — | (9,075,769 | ) | — | ||||||||||||
| Total Liability Derivatives |
$ | (16,588,777 | ) | $ | (1,221,574 | ) | $ | (26,378,584 | ) | $ | (16,743,789 | ) | $ | (58,800 | ) | |||||
| * Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts and centrally cleared swap contracts in the Futures Contracts table and Centrally Cleared Swaps table above. Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
| |||||||||||||||||||
| 61 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
| The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the year ended October 31, 2013 was as follows: |
| |||||||||||||||||||
| Consolidated Statement of Operations Caption | Credit | Equity Price | Foreign Exchange |
Interest Rate |
Commodity | |||||||||||||||
| Net realized gain (loss) — |
$ | — | $ | (2,056,203 | ) | $ | (5,997,622 | ) | $ | — | $ | (2,980,680 | ) | |||||||
| Futures contracts |
— | (798,339 | ) | — | 62,603 | (1,178,761 | ) | |||||||||||||
| Written options |
— | — | 8,650,146 | — | — | |||||||||||||||
| Swap contracts |
(36,099,366 | ) | (44,606 | ) | (6,372 | ) | (18,950,288 | ) | — | |||||||||||
| Forward commodity contracts |
— | — | — | — | 3,232,493 | |||||||||||||||
| Foreign currency and forward foreign currency exchange contract transactions |
— | — | (33,602,735 | ) | — | — | ||||||||||||||
| Total |
$ | (36,099,366 | ) | $ | (2,899,148 | ) | $ | (30,956,583 | ) | $ | (18,887,685 | ) | $ | (926,948 | ) | |||||
| Change in unrealized appreciation (depreciation) — |
$ | — | $ | 1,839,634 | $ | (6,550,077 | ) | $ | (78,240 | ) | $ | 33,680 | ||||||||
| Futures contracts |
— | 295,109 | — | (7,195,994 | ) | 1,953,177 | ||||||||||||||
| Written options |
— | — | (4,612,900 | ) | — | — | ||||||||||||||
| Swap contracts |
11,911,046 | (1,066,521 | ) | 54,542 | 13,749,992 | — | ||||||||||||||
| Forward commodity contracts |
— | — | — | — | 1,380,676 | |||||||||||||||
| Foreign currency and forward foreign currency exchange contracts |
— | — | (6,378,199 | ) | — | — | ||||||||||||||
| Total |
$ | 11,911,046 | $ | 1,068,222 | $ | (17,486,634 | ) | $ | 6,475,758 | $ | 3,367,533 | |||||||||
The average notional amounts of futures contracts, forward commodity contracts, forward foreign currency exchange contracts, interest rate swaption contracts and swap contracts outstanding during the year ended October 31, 2013, which are indicative of the volume of these derivative types, were approximately $347,726,000, $17,289,000, $2,367,698,000, $24,000,000 and $2,119,181,000, respectively.
The average principal amount of purchased currency options contracts, average number of purchased index options contracts and average number of purchased commodity options contracts outstanding during the year ended October 31, 2013, which are indicative of the volume of these derivative types, were approximately $583,046,000, 119,092,000 contracts and 324 contracts, respectively.
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $750 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.08% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2013.
7 Risks Associated with Foreign Investments
The Portfolio’s investments in foreign instruments can be adversely affected by changes in currency exchange rates and political, economic and market developments abroad. In emerging or less developed countries, these risks can be more significant. Investment markets in emerging market countries are typically substantially smaller, less liquid and more volatile than the major markets in developed countries. Emerging market countries may have relatively unstable governments and economies. Emerging market investments often are subject to speculative trading, which typically contributes to volatility.
The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Economic data as reported by foreign governments and other issuers may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a foreign government to renegotiate defaulted debt may be limited.
| 62 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Notes to Consolidated Financial Statements — continued
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Ÿ | Level 1 – quoted prices in active markets for identical investments |
| Ÿ | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | 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 October 31, 2013, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Foreign Government Bonds |
$ | — | $ | 813,959,571 | $ | — | $ | 813,959,571 | ||||||||
| Collateralized Mortgage Obligations |
— | 27,257,126 | — | 27,257,126 | ||||||||||||
| Mortgage Pass-Throughs |
— | 4,783,798 | — | 4,783,798 | ||||||||||||
| U.S. Treasury Obligations |
— | 100,158,200 | — | 100,158,200 | ||||||||||||
| Common Stocks |
3,641,271 | 10,759,229 | * | — | 14,400,500 | |||||||||||
| Precious Metals |
25,654,891 | — | — | 25,654,891 | ||||||||||||
| Currency Call Options Purchased |
— | 479,583 | — | 479,583 | ||||||||||||
| Currency Put Options Purchased |
— | 405,254 | — | 405,254 | ||||||||||||
| Interest Rates Swaptions Purchased |
— | 237,792 | — | 237,792 | ||||||||||||
| Call Options Purchased |
— | 2,368,392 | — | 2,368,392 | ||||||||||||
| Short-Term Investments — |
||||||||||||||||
| Foreign Government Securities |
— | 382,492,581 | — | 382,492,581 | ||||||||||||
| U.S. Treasury Obligations |
— | 165,196,568 | — | 165,196,568 | ||||||||||||
| Repurchase Agreements |
— | 165,100,843 | — | 165,100,843 | ||||||||||||
| Other |
— | 133,491,123 | — | 133,491,123 | ||||||||||||
| Total Investments |
$ | 29,296,162 | $ | 1,806,690,060 | $ | — | $ | 1,835,986,222 | ||||||||
| Forward Commodity Contracts |
$ | — | $ | 547,013 | $ | — | $ | 547,013 | ||||||||
| Forward Foreign Currency Exchange Contracts |
— | 9,021,236 | — | 9,021,236 | ||||||||||||
| Swap Contracts |
— | 68,260,599 | — | 68,260,599 | ||||||||||||
| Futures Contracts |
680,281 | — | — | 680,281 | ||||||||||||
| Total |
$ | 29,976,443 | $ | 1,884,518,908 | $ | — | $ | 1,914,495,351 | ||||||||
| Liability Description |
||||||||||||||||
| Currency Put Options Written |
$ | — | $ | (3,363,385 | ) | $ | — | $ | (3,363,385 | ) | ||||||
| Securities Sold Short |
— | (165,058,268 | ) | — | (165,058,268 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts |
— | (23,015,199 | ) | — | (23,015,199 | ) | ||||||||||
| Swap Contracts |
— | (26,937,993 | ) | — | (26,937,993 | ) | ||||||||||
| Futures Contracts |
(7,674,947 | ) | — | — | (7,674,947 | ) | ||||||||||
| Total |
$ | (7,674,947 | ) | $ | (218,374,845 | ) | $ | — | $ | (226,049,792 | ) | |||||
| * | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
The Portfolio held no investments or other financial instruments as of October 31, 2012 whose fair value was determined using Level 3 inputs. At October 31, 2013, there were no investments transferred between Level 1 and Level 2 during the year then ended.
| 63 |
Global Macro Absolute Return Advantage Portfolio
October 31, 2013
Report of Independent Registered Public Accounting Firm
To the Trustees and Investors of Global Macro Absolute Return Advantage Portfolio:
We have audited the accompanying consolidated statement of assets and liabilities of Global Macro Absolute Return Advantage Portfolio and subsidiary (the “Portfolio”), including the consolidated portfolio of investments as of October 31, 2013, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated supplementary data for each of the three years in the period then ended and for the period from the start of business, August 31, 2010, to October 31, 2010. These consolidated financial statements and consolidated supplementary data are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated supplementary data based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated supplementary data are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2013, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such consolidated financial statements and consolidated supplementary data referred to above present fairly, in all material respects, the financial position of Global Macro Absolute Return Advantage Portfolio and subsidiary as of October 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the supplementary data for each of the three years in the period then ended and for the period from the start of business, August 31, 2010, to October 31, 2010, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 20, 2013
| 64 |
Eaton Vance
Global Macro Absolute Return Advantage Fund
October 31, 2013
Management and Organization
Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Global Macro Absolute Return Advantage Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund’s principal underwriter, the Portfolio’s placement agent and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 190 portfolios in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.
| Name and Year of Birth | Position(s) with the |
Length of Service |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
| Interested Trustee | ||||||
| Thomas E. Faust Jr. 1958 |
Trustee | Of the Trust since 2007 and of the Portfolio since 2010 | Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and Director of EVD. Trustee and/or officer of 190 registered investment companies. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Trust and the Portfolio. Directorships in the Last Five Years.(1) Director of EVC and Hexavest Inc. | |||
| Noninterested Trustees | ||||||
| Scott E. Eston 1956 |
Trustee | Since 2011 | Private investor. Formerly held various positions at Grantham, Mayo, Van Otterloo and Co., L.L.C. (investment management firm) (1997-2009), including Chief Operating Officer (2002-2009), Chief Financial Officer (1997-2009) and Chairman of the Executive Committee (2002-2008); President and Principal Executive Officer, GMO Trust (open-end registered investment company) (2006-2009). Former Partner, Coopers and Lybrand L.L.P. (now PricewaterhouseCoopers) (public accounting firm) (1987-1997). Directorships in the Last Five Years. None. | |||
| Benjamin C. Esty 1963 |
Trustee | Of the Trust since 2005 and of the Portfolio since 2010 | Roy and Elizabeth Simmons Professor of Business Administration and Finance Unit Head, Harvard University Graduate School of Business Administration. Directorships in the Last Five Years.(1) None. | |||
| Allen R. Freedman 1940 |
Trustee | Of the Trust since 2007 and of the Portfolio since 2010 | Private Investor. Former Chairman (2002-2004) and a Director (1983-2004) of Systems & Computer Technology Corp. (provider of software to higher education). Formerly, a Director of Loring Ward International (fund distributor) (2005-2007). Former Chairman and a Director of Indus International, Inc. (provider of enterprise management software to the power generating industry) (2005-2007). Former Chief Executive Officer of Assurant, Inc. (insurance provider) (1979-2000). Directorships in the Last Five Years.(1) Director of Stonemor Partners, L.P. (owner and operator of cemeteries). Formerly, Director of Assurant, Inc. (insurance provider) (1979-2011). | |||
| William H. Park 1947 |
Trustee | Of the Trust since 2003 and of the Portfolio since 2010 | Consultant and private investor. Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm) (1972-1981). Directorships in the Last Five Years.(1) None. | |||
| 65 |
Eaton Vance
Global Macro Absolute Return Advantage Fund
October 31, 2013
Management and Organization — continued
| Name and Year of Birth | Position(s) with the |
Length of Service |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
| Noninterested Trustees (continued) | ||||||
| Ronald A. Pearlman 1940 |
Trustee | Of the Trust since 2003 and of the Portfolio since 2010 | Professor of Law, Georgetown University Law Center. Formerly, Deputy Assistant Secretary (Tax Policy) and Assistant Secretary (Tax Policy), U.S. Department of the Treasury (1983-1985). Formerly, Chief of Staff, Joint Committee on Taxation, U.S. Congress (1988-1990). Directorships in the Last Five Years.(1) None. | |||
| Helen Frame Peters 1948 |
Trustee | Of the Trust since 2008 and of the Portfolio since 2010 | Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998). Directorships in the Last Five Years.(1) Formerly, Director of BJ’s Wholesale Club, Inc. (wholesale club retailer) (2004-2011). Formerly, Trustee of SPDR Index Shares Funds and SPDR Series Trust (exchange traded funds) (2000-2009). Formerly, Director of Federal Home Loan Bank of Boston (a bank for banks) (2007-2009). | |||
| Lynn A. Stout 1957 |
Trustee | Of the Trust since 1998 and of the Portfolio since 2010 | Distinguished Professor of Corporate and Business Law, Jack G. Clarke Business Law Institute, Cornell University Law School. Formerly, the Paul Hastings Professor of Corporate and Securities Law (2006-2012) and Professor of Law (2001-2006), University of California at Los Angeles School of Law. Directorships in the Last Five Years.(1) None. | |||
| Harriett Tee Taggart 1948 |
Trustee | Since 2011 | Managing Director, Taggart Associates (a professional practice firm). Formerly, Partner and Senior Vice President, Wellington Management Company, LLP (investment management firm) (1983-2006). Directorships in the Last Five Years. Director of Albemarle Corporation (chemicals manufacturer) (since 2007) and The Hanover Group (specialty property and casualty insurance company) (since 2009). Formerly, Director of Lubrizol Corporation (specialty chemicals) (2007-2011). | |||
| Ralph F. Verni 1943 |
Chairman of the Board and Trustee |
Chairman of the Board since 2007; Trustee of the Trust since 2005 and of the Portfolio since 2010 | Consultant and private investor. Formerly, Chief Investment Officer (1982-1992), Chief Financial Officer (1988-1990) and Director (1982-1992), New England Life. Formerly, Chairperson, New England Mutual Funds (1982-1992). Formerly, President and Chief Executive Officer, State Street Management & Research (1992-2000). Formerly, Chairperson, State Street Research Mutual Funds (1992-2000). Formerly, Director, W.P. Carey, LLC (1998-2004) and First Pioneer Farm Credit Corp. (2002-2006). Directorships in the Last Five Years.(1) None. | |||
| Principal Officers who are not Trustees | ||||||
| Name and Year of Birth | Position(s) with the Portfolio |
Length of Service |
Principal Occupation(s) During Past Five Years | |||
| Payson F. Swaffield(2) 1956 |
President of the Trust and Vice President of the Portfolio | President of the Trust since 2013 and Vice President of the Portfolio since 2011 | Vice President and Chief Income Investment Officer of EVM and BMR. | |||
| Eric A. Stein 1980 |
President of the Portfolio | Since 2012 | Vice President of EVM and BMR. | |||
| 66 |
Eaton Vance
Global Macro Absolute Return Advantage Fund
October 31, 2013
Management and Organization — continued
| Name and Year of Birth | Position(s) with the Trust and the Portfolio |
Length of Service |
Principal Occupation(s) During Past Five Years | |||
| Principal Officers who are not Trustees (continued) | ||||||
| Maureen A. Gemma 1960 |
Vice President, Secretary and Chief Legal Officer | Vice President since 2011; Secretary of the Trust since 2007 and of the Portfolio since 2010; and Chief Legal Officer of the Trust since 2008 and of the Portfolio since 2010 | Vice President of EVM and BMR. | |||
| James F. Kirchner(3) 1967 |
Treasurer | Since 2013 | Vice President of EVM and BMR. | |||
| Paul M. O’Neil 1953 |
Chief Compliance Officer | Of the Trust since 2004 and of the Portfolio since 2010 | Vice President of EVM and BMR. | |||
| (1) | During their respective tenures, the Trustees (except Mr. Eston and Ms. Taggart) also served as Board members of one or more of the following Eaton Vance funds (which operated in the years noted): Eaton Vance Credit Opportunities Fund (launched in 2005 and terminated in 2010); Eaton Vance Insured Florida Plus Municipal Bond Fund (launched in 2002 and terminated in 2009); and Eaton Vance National Municipal Income Trust (launched in 1998 and terminated in 2009). |
| (2) | Prior to October 1, 2013, Mr. Swaffield was Vice President of the Trust since 2011. |
| (3) | Prior to 2013, Mr. Kirchner served as Assistant Treasurer of the Trust since 2007 and of the Portfolio since 2010. |
The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
| 67 |
Eaton Vance Funds
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
| Ÿ | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| Ÿ | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
| Ÿ | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| Ÿ | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
| 68 |
This Page Intentionally Left Blank
| * | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
| 4836-12/13 | GMARADVSRC |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is a consultant and private investor. Previously, he served as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2012 and October 31, 2013 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
| Fiscal Period Ended |
10/31/12 | 10/31/13 | ||||||
| Audit Fees |
$ | 75,990 | $ | 82,890 | ||||
| Audit-Related Fees(1) |
$ | 0 | $ | 0 | ||||
| Tax Fees(2) |
$ | 32,650 | $ | 40,680 | ||||
| All Other Fees(3) |
$ | 7,630 | $ | 0 | ||||
|
|
|
|
|
|||||
| Total |
$ | 116,720 | $ | 123,570 | ||||
|
|
|
|
|
|||||
| (1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
| (2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other tax related compliance/planning matters. |
| (3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
| (f) | Not applicable. |
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2012 and October 31, 2013; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
| Fiscal Years Ended |
10/31/12 | 10/31/13 | ||||||
| Registrant | $ | 40,280 | $ | 40,680 | ||||
| Eaton Vance(1) | $ | 566,619 | $ | 526,385 | ||||
| (1) | Certain subsidiaries of Eaton Vance Corp. provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
| (a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
| (a)(2)(i) | Treasurer’s Section 302 certification. | |
| (a)(2)(ii) | President’s Section 302 certification. | |
| (b) | Combined Section 906 certification. | |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Global Macro Absolute Return Advantage Portfolio
| By: | /s/ Eric A. Stein | |
| Eric A. Stein | ||
| President | ||
| Date: | December 13, 2013 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer | ||
| Date: | December 13, 2013 | |
| By: | /s/ Eric A. Stein | |
| Eric A. Stein | ||
| President | ||
| Date: | December 13, 2013 | |