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)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited)
Asset-Backed Securities 2.2% |
| |||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||
Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(2) |
$ | 50,580 | $ | 47,580,994 | ||||||
Total Asset-Backed
Securities |
|
$ | 47,580,994 | |||||||
Collateralized Mortgage Obligations 2.0% |
| |||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||
Interest Only:(3) | ||||||||||
Series 2770, Class SH, 6.546%, (7.10%-1 mo. USD LIBOR), 3/15/34(4) |
$ | 839 | $ | 138,096 | ||||||
Series 4791, Class JI, 4.00%, 5/15/48 |
9,042 | 1,644,823 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: |
||||||||||
Series 2020-HQA4, Class B1, 5.918%, (1 mo. USD LIBOR + 5.25%), 9/25/50(1)(5) |
3,561 | 3,686,090 | ||||||||
Series 2020-HQA4, Class B1, 6.668%, (1 mo. USD LIBOR + 6.00%), 8/25/50(1)(5) |
7,326 | 7,690,601 | ||||||||
Series 2022-HQA1, Class B1, 7.289%, (30-day average SOFR + 7.00%), 3/25/42(1)(5) |
6,303 | 6,406,481 | ||||||||
Series 2022-HQA1, Class M1B, 3.789%, (30-day average SOFR + 3.50%), 3/25/42(1)(5) |
2,521 | 2,579,550 | ||||||||
Series 2022-HQA1, Class M2, 5.539%, (30-day average SOFR + 5.25%), 3/25/42(1)(5) |
5,043 | 5,152,597 | ||||||||
Federal National Mortgage Association: | ||||||||||
Interest Only:(3) | ||||||||||
Series 424, Class C8, 3.50%, 2/25/48 |
11,455 | 1,950,592 | ||||||||
Series 2010-109, Class PS, 5.932%, (6.60% -1 mo. USD LIBOR), 10/25/40(4) |
1,798 | 257,573 | ||||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 |
9,613 | 1,722,996 | ||||||||
Series 2018-58, Class BI, 4.00%, 8/25/48 |
1,602 | 295,904 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities: |
||||||||||
Series 2021-R02, Class 2B1, 3.589%, (30-day average SOFR + 3.30%), 11/25/41(1)(5) |
9,233 | 8,577,748 | ||||||||
Series 2022-R02, Class 2B2, 7.939%, (30-day average SOFR + 7.65%), 1/25/42(1)(5) |
4,412 | 4,209,338 | ||||||||
Total Collateralized Mortgage
Obligations |
|
$ | 44,312,389 |
Common Stocks 5.8% |
| |||||||||||
Security | Shares | Value | ||||||||||
Argentina 0.5% | ||||||||||||
Banco Macro S.A. ADR(6) |
123,900 | $ | 1,817,613 | |||||||||
Grupo Financiero Galicia S.A. ADR |
183,900 | 1,671,651 | ||||||||||
IRSA Inversiones y Representaciones S.A. ADR(6) |
133,500 | 603,420 | ||||||||||
Loma Negra Cia Industrial Argentina S.A. ADR |
281,200 | 1,580,344 | ||||||||||
Pampa Energia S.A. ADR(6) |
121,000 | 2,609,970 | ||||||||||
Telecom Argentina S.A. ADR(6) |
335,800 | 1,836,826 | ||||||||||
Transportadora de Gas del Sur S.A. ADR(6) |
225,961 | 1,448,410 | ||||||||||
$ | 11,568,234 | |||||||||||
Brazil 0.6% | ||||||||||||
Pagseguro Digital, Ltd., Class A(6) |
90,400 | $ | 1,329,784 | |||||||||
Petroleo Brasileiro S.A. ADR |
574,100 | 7,790,537 | ||||||||||
StoneCo, Ltd., Class A(6) |
125,000 | 1,177,500 | ||||||||||
XP, Inc., Class A(6) |
110,300 | 2,714,483 | ||||||||||
$ | 13,012,304 | |||||||||||
Bulgaria 0.7% | ||||||||||||
Eurohold Bulgaria AD(6) |
|
11,361,600 | $ | 14,692,778 | ||||||||
$ | 14,692,778 | |||||||||||
Cyprus 0.4% | ||||||||||||
Bank of Cyprus Holdings PLC(6) |
8,424,416 | $ | 9,349,676 | |||||||||
$ | 9,349,676 | |||||||||||
Egypt 0.1% | ||||||||||||
Taaleem Management Services Co. SAE(6) |
11,253,385 | $ | 2,258,015 | |||||||||
$ | 2,258,015 | |||||||||||
Greece 1.0% | ||||||||||||
Alpha Services and Holdings S.A.(6) |
1,307,900 | $ | 1,472,228 | |||||||||
Eurobank Ergasias Services and Holdings S.A.(6) |
2,207,700 | 2,281,756 | ||||||||||
Hellenic Telecommunications Organization S.A. |
227,300 | 4,372,809 | ||||||||||
JUMBO S.A. |
145,300 | 2,355,003 | ||||||||||
Motor Oil (Hellas) Corinth Refineries S.A. |
78,100 | 1,235,554 | ||||||||||
Mytilineos S.A. |
102,500 | 1,898,081 | ||||||||||
National Bank of Greece S.A.(6) |
460,300 | 1,825,769 | ||||||||||
OPAP S.A. |
161,100 | 2,387,885 | ||||||||||
Piraeus Financial Holdings S.A.(6) |
1,909,800 | 2,757,107 | ||||||||||
Public Power Corp. S.A.(6) |
132,900 | 1,064,039 | ||||||||||
Titan Cement International S.A. |
6,605 | 92,538 | ||||||||||
$ | 21,742,769 |
19 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Shares | Value | ||||||||||
Iceland 0.8% | ||||||||||||
Arion Banki HF(1) |
3,025,250 | $ | 3,927,795 | |||||||||
Eik Fasteignafelag HF |
9,249,405 | 1,121,499 | ||||||||||
Eimskipafelag Islands HF |
769,259 | 3,319,946 | ||||||||||
Hagar HF |
2,980,965 | 1,834,801 | ||||||||||
Islandsbanki HF |
1,701,619 | 1,624,160 | ||||||||||
Reginn HF |
4,450,968 | 1,308,976 | ||||||||||
Reitir Fasteignafelag HF |
2,707,483 | 2,167,441 | ||||||||||
Siminn HF |
12,984,530 | 1,241,912 | ||||||||||
$ | 16,546,530 | |||||||||||
Indonesia 0.6% | ||||||||||||
Allo Bank Indonesia Tbk PT(6) |
701,500 | $ | 313,886 | |||||||||
Astra International Tbk PT |
1,947,300 | 1,016,766 | ||||||||||
Bank Central Asia Tbk PT |
5,806,800 | 3,256,869 | ||||||||||
Bank Jago Tbk PT(6) |
566,200 | 454,791 | ||||||||||
Bank Mandiri Persero Tbk PT |
2,076,400 | 1,274,982 | ||||||||||
Bank Negara Indonesia Persero Tbk PT |
859,000 | 542,588 | ||||||||||
Bank Rakyat Indonesia Persero Tbk PT |
7,060,500 | 2,352,467 | ||||||||||
Bayan Resources Tbk PT |
132,500 | 387,706 | ||||||||||
Chandra Asri Petrochemical Tbk PT |
769,100 | 532,631 | ||||||||||
Charoen Pokphand Indonesia Tbk PT |
788,700 | 279,607 | ||||||||||
Elang Mahkota Teknologi Tbk PT(6) |
2,359,200 | 485,773 | ||||||||||
Merdeka Copper Gold Tbk PT(6) |
1,185,077 | 431,875 | ||||||||||
Telkom Indonesia Persero Tbk PT |
4,930,900 | 1,569,804 | ||||||||||
Unilever Indonesia Tbk PT |
1,342,700 | 359,392 | ||||||||||
United Tractors Tbk PT |
171,300 | 357,452 | ||||||||||
$ | 13,616,589 | |||||||||||
Japan 0.2% | ||||||||||||
Mizuho Financial Group, Inc. |
112,700 | $ | 1,368,483 | |||||||||
SBI Holdings, Inc. |
18,800 | 420,502 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. |
41,800 | 1,262,942 | ||||||||||
Tokio Marine Holdings, Inc. |
25,600 | 1,384,158 | ||||||||||
$ | 4,436,085 | |||||||||||
United Arab Emirates 0.1% | ||||||||||||
Dubai Electricity & Water Authority PJSC(6) |
2,009,569 | $ | 1,548,326 | |||||||||
$ | 1,548,326 | |||||||||||
United Kingdom 0.0%(7) | ||||||||||||
Tesnik Cuatro, Ltd.(8) |
584,285 | $ | 411,804 | |||||||||
$ | 411,804 | |||||||||||
Vietnam 0.8% | ||||||||||||
Bank for Foreign Trade of Vietnam JSC |
371,402 | $ | 1,307,445 | |||||||||
Binh Minh Plastics JSC |
45,300 | 120,987 |
Security | Shares | Value | ||||||||||
Vietnam (continued) | ||||||||||||
Coteccons Construction JSC |
148,570 | $ | 357,781 | |||||||||
Ho Chi Minh City Infrastructure Investment JSC(6) |
868,000 | 888,602 | ||||||||||
Hoa Phat Group JSC |
1,232,170 | 2,312,596 | ||||||||||
KIDO Group Corp. |
38,090 | 85,814 | ||||||||||
Masan Group Corp. |
167,040 | 840,409 | ||||||||||
Mobile World Investment Corp. |
558,000 | 3,879,258 | ||||||||||
Refrigeration Electrical Engineering Corp. |
435,860 | 1,556,763 | ||||||||||
SSI Securities Corp. |
280,688 | 407,424 | ||||||||||
Vietnam Dairy Products JSC |
352,996 | 1,138,082 | ||||||||||
Vietnam Prosperity JSC Bank(6) |
888,013 | 1,518,557 | ||||||||||
Vietnam Technological & Commercial Joint Stock Bank(6) |
666,300 | 1,366,055 | ||||||||||
Vingroup JSC(6) |
458,952 | 1,594,521 | ||||||||||
$ | 17,374,294 | |||||||||||
Total Common
Stocks |
|
$ | 126,557,404 | |||||||||
Convertible Bonds 0.4% |
| |||||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Bermuda 0.2% | ||||||||||||
Liberty Latin America, Ltd., 2.00%, 7/15/24 |
USD | 4,760 | $ | 4,340,525 | ||||||||
$ | 4,340,525 | |||||||||||
India 0.2% | ||||||||||||
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(9) |
USD | 4,605 | $ | 3,587,940 | ||||||||
$ | 3,587,940 | |||||||||||
Total Convertible
Bonds |
|
$ | 7,928,465 | |||||||||
Foreign Corporate Bonds 9.5% |
| |||||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Argentina 1.0% | ||||||||||||
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(9) |
USD | 1,461 | $ | 1,439,786 | ||||||||
YPF S.A.: | ||||||||||||
4.00% to 1/1/23, 2/12/26(9)(10) |
USD | 2,726 | 2,420,082 | |||||||||
4.00% to 1/1/23, 2/12/26(1)(10) |
USD | 18,233 | 16,187,867 | |||||||||
6.95%, 7/21/27(9) |
USD | 1,428 | 1,035,479 |
20 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Argentina (continued) | ||||||||||||
YPF S.A.: (continued) | ||||||||||||
8.50%, 7/28/25(9) |
USD | 760 | $ | 620,453 | ||||||||
$ | 21,703,667 | |||||||||||
Armenia 0.6% | ||||||||||||
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(9) |
USD | 13,208 | $ | 12,283,440 | ||||||||
$ | 12,283,440 | |||||||||||
Brazil 1.7% | ||||||||||||
Arcos Dorados BV, 6.125%, 5/27/29(1) |
USD | 3,379 | $ | 3,318,398 | ||||||||
Braskem America Finance Co., 7.125%, 7/22/41(9) |
USD | 1,778 | 1,772,586 | |||||||||
Braskem Netherlands Finance BV, 5.875%, 1/31/50(9) |
USD | 6,191 | 5,546,641 | |||||||||
Coruripe Netherlands BV: | ||||||||||||
10.00%, 2/10/27(1) |
USD | 1,194 | 1,035,795 | |||||||||
10.00%, 2/10/27(9) |
USD | 2,597 | 2,252,897 | |||||||||
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1) |
USD | 5,892 | 5,136,056 | |||||||||
Natura & Co. Luxembourg Holding S.a.r.l., 6.00%, 4/19/29(1) |
USD | 1,883 | 1,831,218 | |||||||||
Natura Cosmeticos S.A., 4.125%, 5/3/28(9) |
USD | 7,545 | 6,775,561 | |||||||||
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(9) |
USD | 1,515 | 1,499,813 | |||||||||
Petrobras Global Finance BV, 6.90%, 3/19/49 |
USD | 736 | 694,832 | |||||||||
Vale S.A., 2.762%(11)(12) |
BRL | 64,850 | 6,099,415 | |||||||||
$ | 35,963,212 | |||||||||||
Bulgaria 0.5% | ||||||||||||
Bulgarian Energy Holding EAD, 2.45%, 7/22/28(9) |
EUR | 265 | $ | 224,309 | ||||||||
Eurohold Bulgaria AD, 6.50%, 12/7/22(9) |
EUR | 9,718 | 10,228,120 | |||||||||
$ | 10,452,429 | |||||||||||
China 0.5% | ||||||||||||
KWG Group Holdings, Ltd., 7.875%, 9/1/23(9) |
USD | 2,385 | $ | 1,123,335 | ||||||||
Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9) |
USD | 7,800 | 1,930,500 | |||||||||
Sunac China Holdings, Ltd.: | ||||||||||||
6.50%, 7/9/23(9) |
USD | 2,800 | 735,000 | |||||||||
8.35%, 4/19/23(9) |
USD | 5,201 | 1,287,247 | |||||||||
Times China Holdings, Ltd.: | ||||||||||||
5.55%, 6/4/24(9) |
USD | 6,284 | 3,330,520 | |||||||||
6.75%, 7/16/23(9) |
USD | 4,471 | 2,485,876 | |||||||||
$ | 10,892,478 |
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Georgia 0.4% | ||||||||||||
Georgia Capital JSC: | ||||||||||||
6.125%, 3/9/24(1) |
USD | 2,580 | $ | 2,509,050 | ||||||||
6.125%, 3/9/24(9) |
USD | 2,988 | 2,905,830 | |||||||||
Silknet JSC, 8.375%, 1/31/27(9) |
USD | 2,715 | 2,653,912 | |||||||||
$ | 8,068,792 | |||||||||||
Honduras 0.2% | ||||||||||||
Inversiones Atlantida S.A., 7.50%, 5/19/26(9) |
USD | 4,625 | $ | 4,538,721 | ||||||||
$ | 4,538,721 | |||||||||||
Iceland 1.3% | ||||||||||||
Arion Banki HF, 6.00%, 4/12/24(9) |
ISK | 1,720,000 | $ | 13,301,562 | ||||||||
Islandsbanki HF, 6.40%, 10/26/23 |
ISK | 900,000 | 6,988,020 | |||||||||
Landsbankinn HF, 5.00%, 11/23/23(9) |
ISK | 1,020,000 | 7,775,704 | |||||||||
WOW Air HF: | ||||||||||||
0.00%(8)(11)(13) |
EUR | 121 | 0 | |||||||||
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(13) |
EUR | 5,500 | 0 | |||||||||
$ | 28,065,286 | |||||||||||
India 0.3% | ||||||||||||
JSW Infrastructure, Ltd., 4.95%, 1/21/29(9) |
USD | 5,576 | $ | 5,020,018 | ||||||||
JSW Steel, Ltd., 5.05%, 4/5/32(9) |
USD | 2,277 | 1,953,230 | |||||||||
$ | 6,973,248 | |||||||||||
Indonesia 0.1% | ||||||||||||
Freeport Indonesia PT, 5.315%, 4/14/32(9) |
USD | 2,921 | $ | 2,840,673 | ||||||||
$ | 2,840,673 | |||||||||||
Mexico 0.5% | ||||||||||||
Alpha Holding S.A. de CV: | ||||||||||||
9.00%, 2/10/25(9)(13) |
USD | 5,879 | $ | 367,437 | ||||||||
10.00%, 12/19/22(9)(13) |
USD | 2,864 | 182,609 | |||||||||
Braskem Idesa SAPI, 6.99%, 2/20/32(9) |
USD | 4,630 | 4,163,227 | |||||||||
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(9) |
USD | 2,297 | 1,316,376 | |||||||||
Petroleos Mexicanos, 6.75%, 9/21/47 |
USD | 5,400 | 3,913,218 | |||||||||
$ | 9,942,867 | |||||||||||
Moldova 0.3% | ||||||||||||
Aragvi Finance International DAC, 8.45%, 4/29/26(9) |
USD | 8,981 | $ | 6,990,361 | ||||||||
$ | 6,990,361 | |||||||||||
Nigeria 0.3% | ||||||||||||
IHS Holding, Ltd., 5.625%, 11/29/26(9) |
USD | 2,750 | $ | 2,625,563 |
21 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Nigeria (continued) | ||||||||||||
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(9) |
USD | 4,892 | $ | 4,664,864 | ||||||||
$ | 7,290,427 | |||||||||||
Paraguay 0.3% | ||||||||||||
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1) |
USD | 7,075 | $ | 6,176,970 | ||||||||
$ | 6,176,970 | |||||||||||
Peru 0.0%(7) | ||||||||||||
PetroTal Corp., 12.00%, 2/16/24(1)(9) |
USD | 1,012 | $ | 1,052,480 | ||||||||
$ | 1,052,480 | |||||||||||
South Africa 0.4% | ||||||||||||
HTA Group, Ltd., 7.00%, 12/18/25(9) |
USD | 403 | $ | 399,732 | ||||||||
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(9)(14) |
USD | 7,682 | 8,143,008 | |||||||||
$ | 8,542,740 | |||||||||||
Turkey 0.3% | ||||||||||||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(9) |
USD | 6,880 | $ | 6,408,032 | ||||||||
$ | 6,408,032 | |||||||||||
Uzbekistan 0.8% | ||||||||||||
Ipoteka-Bank ATIB, 5.50%, 11/19/25(9) |
USD | 1,336 | $ | 1,214,090 | ||||||||
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22 |
UZS | 177,000,000 | 15,682,196 | |||||||||
$ | 16,896,286 | |||||||||||
Total Foreign Corporate
Bonds |
|
$ | 205,082,109 | |||||||||
Loan Participation Notes 2.4% |
| |||||||||||
Security | Principal |
Value | ||||||||||
Uzbekistan 2.4% | ||||||||||||
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(8)(9)(15) |
UZS | 294,368,000 | $ | 25,745,417 | ||||||||
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank Asaka), 18.70%, 7/26/23(8)(9)(15) |
UZS | 290,568,000 | 25,592,326 | |||||||||
Total Loan Participation
Notes |
$ | 51,337,743 |
Reinsurance Side Cars 1.1% |
| |||||||||||
Security | Shares | Value | ||||||||||
Eden Re II, Ltd.: | ||||||||||||
Series 2021A, 0.00%, 3/21/25(1)(8)(16)(17) |
2,130,000 | $ | 1,814,760 | |||||||||
Series 2022A, 0.00%, 3/20/26(1)(8)(16)(17) |
2,200,000 | 2,189,000 | ||||||||||
Series 2022B, 0.00%, 3/20/26(1)(8)(16)(17) |
4,900,000 | 4,877,950 | ||||||||||
Mt. Logan Re, Ltd., Series A-1(6)(8)(17)(18) |
8,600 | 7,901,460 | ||||||||||
Sussex Capital, Ltd.: | ||||||||||||
Designated Investment Series 14, 12/21(6)(8)(17)(18) |
1,114 | 1,101,713 | ||||||||||
Series 14, Preference Shares(6)(8)(17)(18) |
7,500 | 6,521,097 | ||||||||||
Total Reinsurance Side
Cars |
|
$ | 24,405,980 | |||||||||
Senior Floating-Rate Loans 0.4%(19) |
| |||||||||||
Borrower/Description | Principal Amount (000s omitted) |
Value | ||||||||||
Argentina 0.0%(7) | ||||||||||||
Desa, LLC, Term Loan, 0.188%, 6/30/24(8)(20) |
$ | 1,204 | $ | 906,940 | ||||||||
$ | 906,940 | |||||||||||
Mexico 0.4% | ||||||||||||
Petroleos Mexicanos, Term Loan, 6/28/24(21) |
$ | 8,171 | $ | 7,885,015 | ||||||||
$ | 7,885,015 | |||||||||||
Total Senior Floating-Rate
Loans |
|
$ | 8,791,955 | |||||||||
Sovereign Government Bonds 48.8% |
| |||||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Armenia 0.8% | ||||||||||||
Republic of Armenia: | ||||||||||||
3.60%, 2/2/31(9) |
USD | 5,818 | $ | 4,349,327 | ||||||||
3.95%, 9/26/29(9) |
USD | 4,628 | 3,725,540 | |||||||||
7.15%, 3/26/25(9) |
USD | 8,367 | 8,254,464 | |||||||||
$ | 16,329,331 | |||||||||||
Azerbaijan 0.4% | ||||||||||||
Republic of Azerbaijan, 3.50%, 9/1/32(9) |
USD | 9,907 | $ | 8,780,349 | ||||||||
$ | 8,780,349 |
22 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Bahrain 1.3% | ||||||||||||
Kingdom of Bahrain: | ||||||||||||
5.45%, 9/16/32(9) |
USD | 18,625 | $ | 16,820,107 | ||||||||
6.00%, 9/19/44(9) |
USD | 7,172 | 5,956,245 | |||||||||
7.50%, 9/20/47(9) |
USD | 4,847 | 4,526,129 | |||||||||
$ | 27,302,481 | |||||||||||
Barbados 1.9% | ||||||||||||
Government of Barbados, 6.50%, 10/1/29(9) |
USD | 43,780 | $ | 42,083,674 | ||||||||
$ | 42,083,674 | |||||||||||
Benin 0.9% | ||||||||||||
Benin Government International Bond, 6.875%, 1/19/52(9) |
EUR | 23,680 | $ | 20,648,004 | ||||||||
$ | 20,648,004 | |||||||||||
Costa Rica 0.6% | ||||||||||||
Costa Rica Government International Bond, 9.66%, 9/30/26(9) |
CRC | 7,043,600 | $ | 12,177,992 | ||||||||
$ | 12,177,992 | |||||||||||
Croatia 1.2% | ||||||||||||
Croatia Government International Bond: | ||||||||||||
1.125%, 3/4/33(9) |
EUR | 19,199 | $ | 16,497,361 | ||||||||
1.75%, 3/4/41(9) |
EUR | 10,868 | 9,048,977 | |||||||||
$ | 25,546,338 | |||||||||||
Dominican Republic 2.1% | ||||||||||||
Dominican Republic: | ||||||||||||
6.00%, 2/22/33(1) |
USD | 4,823 | $ | 4,393,185 | ||||||||
6.40%, 6/5/49(9) |
USD | 19,295 | 16,423,390 | |||||||||
6.50%, 2/15/48(9) |
USD | 431 | 372,238 | |||||||||
6.85%, 1/27/45(9) |
USD | 13,951 | 12,601,857 | |||||||||
8.00%, 1/15/27(9) |
DOP | 128,350 | 2,116,126 | |||||||||
8.00%, 2/12/27(9) |
DOP | 598,080 | 9,849,540 | |||||||||
$ | 45,756,336 | |||||||||||
Ecuador 0.1% | ||||||||||||
Republic of Ecuador, 0.50%, 7/31/40(9) |
USD | 5,728 | $ | 2,564,622 | ||||||||
$ | 2,564,622 | |||||||||||
Egypt 4.1% | ||||||||||||
Arab Republic of Egypt: | ||||||||||||
5.875%, 2/16/31(9) |
USD | 2,886 | $ | 2,120,589 | ||||||||
6.375%, 4/11/31(9) |
EUR | 32,046 | 25,569,605 |
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Egypt (continued) | ||||||||||||
Arab Republic of Egypt: (continued) | ||||||||||||
6.588%, 2/21/28(9) |
USD | 9,053 | $ | 7,561,102 | ||||||||
7.053%, 1/15/32(9) |
USD | 1,982 | 1,532,393 | |||||||||
7.30%, 9/30/33(9) |
USD | 1,353 | 1,016,834 | |||||||||
7.50%, 2/16/61(9) |
USD | 34,021 | 22,857,145 | |||||||||
7.60%, 3/1/29(9) |
USD | 8,373 | 7,140,076 | |||||||||
7.903%, 2/21/48(9) |
USD | 5,052 | 3,480,707 | |||||||||
8.15%, 11/20/59(9) |
USD | 2,217 | 1,545,763 | |||||||||
8.50%, 1/31/47(9) |
USD | 4,487 | 3,270,529 | |||||||||
8.70%, 3/1/49(9) |
USD | 11,552 | 8,481,848 | |||||||||
8.75%, 9/30/51(9) |
USD | 4,685 | 3,450,212 | |||||||||
8.875%, 5/29/50(9) |
USD | 1,823 | 1,348,838 | |||||||||
$ | 89,375,641 | |||||||||||
Ethiopia 0.4% | ||||||||||||
Ethiopia International Bond, 6.625%, 12/11/24(9) |
USD | 11,433 | $ | 7,941,819 | ||||||||
$ | 7,941,819 | |||||||||||
Gabon 1.0% | ||||||||||||
Gabon Government International Bond, 6.625%, 2/6/31(9) |
USD | 24,663 | $ | 22,359,229 | ||||||||
$ | 22,359,229 | |||||||||||
Georgia 0.2% | ||||||||||||
Georgia Government International Bond, 2.75%, 4/22/26(9) |
USD | 4,418 | $ | 3,807,918 | ||||||||
$ | 3,807,918 | |||||||||||
Honduras 2.1% | ||||||||||||
Honduras Government International Bond: | ||||||||||||
5.625%, 6/24/30(9) |
USD | 30,648 | $ | 24,257,892 | ||||||||
6.25%, 1/19/27(9) |
USD | 7,427 | 6,492,696 | |||||||||
7.50%, 3/15/24(9) |
USD | 14,610 | 14,316,828 | |||||||||
$ | 45,067,416 | |||||||||||
Iceland 2.4% | ||||||||||||
Republic of Iceland: | ||||||||||||
5.00%, 11/15/28 |
ISK | 2,319,313 | $ | 17,572,825 | ||||||||
6.50%, 1/24/31 |
ISK | 3,752,922 | 31,304,753 | |||||||||
8.00%, 6/12/25 |
ISK | 323,582 | 2,673,814 | |||||||||
$ | 51,551,392 |
23 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Indonesia 2.2% | ||||||||||||
Indonesia Government Bond: | ||||||||||||
6.50%, 2/15/31 |
IDR | 183,603,000 | $ | 12,227,957 | ||||||||
7.50%, 4/15/40 |
IDR | 516,926,000 | 36,459,739 | |||||||||
$ | 48,687,696 | |||||||||||
Iraq 1.3% | ||||||||||||
Republic of Iraq: | ||||||||||||
5.80%, 1/15/28(9) |
USD | 29,405 | $ | 28,490,314 | ||||||||
6.752%, 3/9/23(9) |
USD | 250 | 250,625 | |||||||||
$ | 28,740,939 | |||||||||||
Ivory Coast 1.5% | ||||||||||||
Ivory Coast Government International Bond: | ||||||||||||
4.875%, 1/30/32(9) |
EUR | 7,119 | $ | 6,334,471 | ||||||||
5.25%, 3/22/30(9) |
EUR | 16,942 | 16,068,512 | |||||||||
6.625%, 3/22/48(9) |
EUR | 10,058 | 8,507,651 | |||||||||
6.875%, 10/17/40(9) |
EUR | 1,643 | 1,467,401 | |||||||||
$ | 32,378,035 | |||||||||||
Jordan 0.3% | ||||||||||||
Kingdom of Jordan, 7.375%, 10/10/47(9) |
USD | 7,451 | $ | 6,520,594 | ||||||||
$ | 6,520,594 | |||||||||||
Lebanon 0.6% | ||||||||||||
Lebanese Republic: | ||||||||||||
5.80%, 4/14/20(9)(13) |
USD | 332 | $ | 39,840 | ||||||||
6.00%, 1/27/23(9)(13) |
USD | 1,485 | 181,913 | |||||||||
6.10%, 10/4/22(9)(13) |
USD | 5,684 | 695,182 | |||||||||
6.15%, 6/19/20(13) |
USD | 442 | 54,145 | |||||||||
6.20%, 2/26/25(9)(13) |
USD | 440 | 53,196 | |||||||||
6.25%, 5/27/22(13) |
USD | 740 | 89,725 | |||||||||
6.25%, 11/4/24(9)(13) |
USD | 11,108 | 1,354,676 | |||||||||
6.25%, 6/12/25(9)(13) |
USD | 7,800 | 955,500 | |||||||||
6.375%, 3/9/20(13) |
USD | 6,504 | 780,480 | |||||||||
6.40%, 5/26/23(13) |
USD | 11,020 | 1,308,625 | |||||||||
6.65%, 4/22/24(9)(13) |
USD | 13,568 | 1,679,447 | |||||||||
6.65%, 11/3/28(9)(13) |
USD | 2,923 | 349,883 | |||||||||
6.85%, 5/25/29(13) |
USD | 9,378 | 1,113,637 | |||||||||
7.00%, 12/3/24(13) |
USD | 4,878 | 591,457 | |||||||||
7.00%, 3/20/28(9)(13) |
USD | 13,884 | 1,666,080 | |||||||||
7.15%, 11/20/31(9)(13) |
USD | 12,224 | 1,482,160 | |||||||||
8.20%, 5/17/33(13) |
USD | 4,223 | 448,694 | |||||||||
8.25%, 4/12/21(9)(13) |
USD | 2,352 | 291,060 |
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Lebanon (continued) | ||||||||||||
Lebanese Republic: (continued) | ||||||||||||
8.25%, 5/17/34(13) |
USD | 3,507 | $ | 410,635 | ||||||||
$ | 13,546,335 | |||||||||||
Mozambique 0.3% | ||||||||||||
Mozambique International Bond, 5.00%, 9/15/31(9) |
USD | 6,807 | $ | 5,946,936 | ||||||||
$ | 5,946,936 | |||||||||||
New Zealand 1.2% | ||||||||||||
New Zealand Government Bond, 2.50%, 9/20/40(9)(22) |
NZD | 33,967 | $ | 25,365,426 | ||||||||
$ | 25,365,426 | |||||||||||
Oman 1.6% | ||||||||||||
Oman Government International Bond: | ||||||||||||
6.50%, 3/8/47(9) |
USD | 17,979 | $ | 16,505,890 | ||||||||
6.75%, 1/17/48(9) |
USD | 17,019 | 16,002,115 | |||||||||
7.00%, 1/25/51(9) |
USD | 1,308 | 1,262,547 | |||||||||
$ | 33,770,552 | |||||||||||
Pakistan 0.2% | ||||||||||||
Islamic Republic of Pakistan, 8.875%, 4/8/51(9) |
USD | 6,135 | $ | 4,411,065 | ||||||||
$ | 4,411,065 | |||||||||||
Romania 1.3% | ||||||||||||
Romania Government International Bond: | ||||||||||||
2.625%, 12/2/40(9) |
EUR | 1,710 | $ | 1,204,769 | ||||||||
2.75%, 4/14/41(9) |
EUR | 4,109 | 2,918,636 | |||||||||
3.375%, 1/28/50(9) |
EUR | 9,727 | 6,974,301 | |||||||||
4.625%, 4/3/49(9) |
EUR | 20,631 | 18,190,461 | |||||||||
$ | 29,288,167 | |||||||||||
Serbia 3.2% | ||||||||||||
Serbia Treasury Bond: | ||||||||||||
4.50%, 8/20/32 |
RSD | 4,545,300 | $ | 36,293,532 | ||||||||
5.875%, 2/8/28 |
RSD | 3,730,890 | 33,846,270 | |||||||||
$ | 70,139,802 | |||||||||||
South Africa 1.8% | ||||||||||||
Republic of South Africa: | ||||||||||||
5.875%, 4/20/32 |
USD | 31,282 | $ | 29,808,618 | ||||||||
7.30%, 4/20/52 |
USD | 10,449 | 9,810,357 | |||||||||
$ | 39,618,975 |
24 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Sri Lanka 1.2% | ||||||||||||
Sri Lanka Government International Bond: | ||||||||||||
5.75%, 4/18/23(9) |
USD | 4,973 | $ | 2,179,013 | ||||||||
6.20%, 5/11/27(9) |
USD | 5,396 | 2,330,425 | |||||||||
6.35%, 6/28/24(9) |
USD | 3,075 | 1,326,647 | |||||||||
6.75%, 4/18/28(9) |
USD | 16,667 | 7,151,643 | |||||||||
6.825%, 7/18/26(9) |
USD | 17,635 | 7,731,713 | |||||||||
6.85%, 3/14/24(9) |
USD | 6,120 | 2,631,478 | |||||||||
6.85%, 11/3/25(9) |
USD | 2,052 | 915,705 | |||||||||
7.55%, 3/28/30(9) |
USD | 600 | 256,902 | |||||||||
7.85%, 3/14/29(9) |
USD | 3,371 | 1,453,912 | |||||||||
$ | 25,977,438 | |||||||||||
Suriname 3.2% | ||||||||||||
Republic of Suriname: | ||||||||||||
9.25%, 10/26/26(9)(13) |
USD | 80,493 | $ | 67,211,655 | ||||||||
9.25%, 10/26/26(1)(13) |
USD | 200 | 167,000 | |||||||||
12.875%, 12/30/23(9)(13) |
USD | 2,634 | 2,199,390 | |||||||||
$ | 69,578,045 | |||||||||||
Thailand 2.4% | ||||||||||||
Thailand Government Bond, 1.25%, 3/12/28(9)(22) |
THB | 1,733,495 | $ | 51,966,511 | ||||||||
$ | 51,966,511 | |||||||||||
Ukraine 5.0% | ||||||||||||
Ukraine Government Bond: | ||||||||||||
1.258%, GDP-Linked, 5/31/40(9)(23) |
USD | 21,479 | $ | 6,306,020 | ||||||||
9.79%, 5/26/27(8) |
UAH | 1,287,962 | 20,305,707 | |||||||||
12.52%, 5/13/26(8) |
UAH | 1,605,408 | 25,310,486 | |||||||||
15.84%, 2/26/25(8) |
UAH | 3,386,787 | 56,446,450 | |||||||||
$ | 108,368,663 | |||||||||||
Uzbekistan 0.1% | ||||||||||||
National Bank of Uzbekistan, 4.85%, 10/21/25(9) |
USD | 1,236 | $ | 1,093,860 | ||||||||
Republic of Uzbekistan, 14.50%, 11/25/23(9) |
UZS | 6,120,000 | 541,390 | |||||||||
$ | 1,635,250 | |||||||||||
Zambia 1.9% | ||||||||||||
Zambia Government Bond: | ||||||||||||
11.00%, 1/25/26 |
ZMW | 434,310 | $ | 19,033,703 | ||||||||
11.00%, 9/20/26 |
ZMW | 18,560 | 767,394 | |||||||||
11.00%, 12/27/26 |
ZMW | 58,770 | 2,375,727 | |||||||||
12.00%, 3/22/28 |
ZMW | 36,400 | 1,388,827 | |||||||||
12.00%, 5/31/28 |
ZMW | 11,710 | 441,219 | |||||||||
12.00%, 11/1/28 |
ZMW | 12,400 | 452,394 |
Security | Principal Amount (000s omitted) |
Value | ||||||||||
Zambia (continued) | ||||||||||||
Zambia Government Bond: (continued) | ||||||||||||
12.00%, 2/21/29 |
ZMW | 46,990 | $ | 1,677,356 | ||||||||
13.00%, 1/25/31 |
ZMW | 35,620 | 1,237,862 | |||||||||
13.00%, 6/28/31 |
ZMW | 28,040 | 969,061 | |||||||||
13.00%, 9/20/31 |
ZMW | 55,730 | 1,910,537 | |||||||||
13.00%, 12/27/31 |
ZMW | 64,380 | 2,192,028 | |||||||||
14.00%, 12/5/31 |
ZMW | 2,700 | 97,702 | |||||||||
15.00%, 2/16/27 |
ZMW | 20,160 | 938,347 | |||||||||
Zambia Government International Bond, 5.375%, 9/20/22(9) |
USD | 11,611 | 8,365,261 | |||||||||
$ | 41,847,418 | |||||||||||
Total Sovereign Government
Bonds |
|
$ | 1,059,080,389 | |||||||||
Sovereign Loans 7.4% |
| |||||||||||
Borrower/Description | Principal |
Value | ||||||||||
Ivory Coast 0.3% | ||||||||||||
Republic of Ivory Coast, Term Loan, 5.75%, (6 mo. EURIBOR + 5.75%), 1/6/28(5) |
EUR | 5,655 | $ | 6,069,261 | ||||||||
$ | 6,069,261 | |||||||||||
Kenya 1.1% | ||||||||||||
Government of Kenya: | ||||||||||||
Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(5) |
USD | 20,885 | $ | 20,662,623 | ||||||||
Term Loan, 8.422%, (6 mo. USD LIBOR + 6.70%), 10/24/24(5) |
USD | 2,485 | 2,446,361 | |||||||||
$ | 23,108,984 | |||||||||||
Tanzania 6.0% | ||||||||||||
Government of the United Republic of Tanzania: | ||||||||||||
Term Loan, 5.429%, (6 mo. USD LIBOR + 5.20%), 5/23/23(5) |
USD | 31,436 | $ | 31,851,358 | ||||||||
Term Loan, 5.526%, (6 mo. USD LIBOR + 5.20%), 6/26/22(5) |
USD | 7,257 | 7,431,401 | |||||||||
Term Loan, 6.515%, (6 mo. USD LIBOR + 6.30%), 4/28/31(5) |
USD | 92,880 | 91,305,498 | |||||||||
$ | 130,588,257 | |||||||||||
Total Sovereign
Loans |
|
$ | 159,766,502 |
25 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
U.S. Government Guaranteed Small Business Administration Loans(24)(25) 1.0% |
| |||||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||||
1.88%, 10/30/42 to 12/28/42 |
$ | 7,394 | $ | 476,288 | ||||||||
2.38%, 11/30/42 to 3/1/43 |
5,831 | 501,564 | ||||||||||
2.56%, 11/15/32 to 4/10/43(26) |
32,079 | 2,661,509 | ||||||||||
2.63%, 10/27/42 to 3/20/43 |
5,137 | 458,252 | ||||||||||
2.81%, 4/12/27 to 3/10/43(26) |
68,089 | 6,025,982 | ||||||||||
2.88%, 10/27/42 to 2/13/43 |
8,414 | 869,066 | ||||||||||
3.05%, 2/2/27 to 12/17/43(26) |
78,414 | 7,525,958 | ||||||||||
3.13%, 10/12/42 to 1/2/43 |
3,081 | 352,819 | ||||||||||
3.63%, 10/27/42 to 3/28/43 |
20,943 | 2,784,818 | ||||||||||
Total U.S. Government Guaranteed
Small Business |
|
$ | 21,656,256 | |||||||||
Warrants 0.0%(7) |
| |||||||||||
Security | Shares | Value | ||||||||||
IRSA Inversiones y Representaciones S.A., |
383,780 | $ | 96,425 | |||||||||
Total Warrants |
|
$ | 96,425 | |||||||||
Short-Term Investments 9.2% |
| |||||||||||
Affiliated Fund 5.2% |
| |||||||||||
Security | Shares | Value | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 0.30%(27) |
111,785,737 | $ | 111,785,737 | |||||||||
Total Affiliated
Fund |
|
$ | 111,785,737 | |||||||||
Repurchase Agreements 1.5% | ||||||||||||
Description | Principal Amount (000s omitted) |
Value | ||||||||||
Barclays Bank PLC: | ||||||||||||
Dated 1/13/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $3,008,000 Country Garden Holdings Co., Ltd., 7.25%, due 4/8/26 and a market value, including accrued interest, of $2,623,439(28) |
$ | 2,610 | $ | 2,609,506 |
Description | Principal Amount (000s omitted) |
Value | ||||||||
Barclays Bank PLC: (continued) | ||||||||||
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $1,959,000 Country Garden Holdings Co., Ltd., 3.125%, due 10/22/25 and a market value, including accrued interest, of $1,664,747(28) |
$ | 1,663 | $ | 1,663,217 | ||||||
Dated 1/24/22 with an interest rate of 1.50% payable by the Portfolio, collateralized by $2,944,000 Country Garden Holdings Co., Ltd., 2.70%, due 7/12/26 and a market value, including accrued interest, of $2,171,965(28) |
2,412 | 2,412,446 | ||||||||
JPMorgan Chase Bank, N.A.: | ||||||||||
Dated 4/5/22 with an interest rate of 0.15%, collateralized by $4,906,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $5,315,621(28) |
6,145 | 6,145,211 | ||||||||
Nomura International PLC: | ||||||||||
Dated 3/17/22 with an interest rate of 0.00%, collateralized by $590,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $586,136(28) |
626 | 626,368 | ||||||||
Dated 4/4/22 with an interest rate of 0.00%, collateralized by $14,656,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $15,879,686(28) |
18,274 | 18,274,200 | ||||||||
Total Repurchase Agreements |
$ | 31,730,948 | ||||||||
U.S. Treasury Obligations 2.5% |
| |||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||
U.S. Treasury Bill: | ||||||||||
0.00%, 5/10/22(29) |
$ | 11,870 | $ | 11,869,716 | ||||||
0.00%, 5/24/22(29) |
43,130 | 43,122,554 | ||||||||
Total U.S. Treasury
Obligations |
|
$ | 54,992,270 | |||||||
Total Short-Term
Investments |
|
$ | 198,508,955 | |||||||
Total Purchased Options
0.0%(7) |
|
$ | 379,303 | |||||||
Total Investments
90.2% |
|
$ | 1,955,484,869 |
26 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Securities Sold Short (1.4)% |
| |||||||||
Common Stocks (0.4)% |
| |||||||||
Security | Shares | Value | ||||||||
New Zealand (0.4)% | ||||||||||
a2 Milk Co., Ltd. (The)(6) |
(142,600 | ) | $ | (451,855 | ) | |||||
Auckland International Airport, Ltd.(6) |
(228,900 | ) | (1,149,765 | ) | ||||||
Contact Energy, Ltd. |
(148,300 | ) | (779,110 | ) | ||||||
Fisher & Paykel Healthcare Corp., Ltd. |
(110,600 | ) | (1,519,879 | ) | ||||||
Fletcher Building, Ltd. |
(156,500 | ) | (623,421 | ) | ||||||
Infratil, Ltd. |
(136,700 | ) | (739,771 | ) | ||||||
Mainfreight, Ltd. |
(16,200 | ) | (847,962 | ) | ||||||
Meridian Energy, Ltd. |
(234,300 | ) | (711,114 | ) | ||||||
Ryman Healthcare, Ltd. |
(77,400 | ) | (458,074 | ) | ||||||
Spark New Zealand, Ltd. |
(354,900 | ) | (1,122,439 | ) | ||||||
Total Common Stocks |
|
$ | (8,403,390 | ) | ||||||
Sovereign Government Bonds (1.0)% |
| |||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||||
Qatar (1.0)% | ||||||||||
Qatar Government International Bond, 4.817%, 3/14/49(9) |
USD | (19,562 | ) | $ | (21,072,284 | ) | ||||
Total Sovereign Government
Bonds |
|
$ | (21,072,284 | ) | ||||||
Total Securities Sold
Short |
|
$ | (29,475,674 | ) | ||||||
Other Assets, Less Liabilities 11.2% |
|
$ | 241,821,109 | |||||||
Net Assets 100.0% |
$ | 2,167,830,304 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2022, the aggregate value of these securities is $140,500,923 or 6.5% of the Portfolios net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at April 30, 2022. |
(3) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(4) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at April 30, 2022. |
(5) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2022. |
(6) | Non-income producing security. |
(7) | Amount is less than 0.05%. |
(8) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2022, the aggregate value of these securities is $873,542,614 or 40.3% of the Portfolios net assets. |
(10) | Step coupon security. Interest rate represents the rate in effect at April 30, 2022. |
(11) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(12) | Variable rate security whose coupon rate is linked to the issuers mining activities revenue. The coupon rate shown represents the rate in effect at April 30, 2022. |
(13) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(14) | Represents a payment-in-kind security which may pay interest in additional principal at the issuers discretion. |
(15) | Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower. |
(16) | Quantity held represents principal in USD. |
(17) | Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period. |
(18) | Restricted security (see Note 5). |
(19) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (LIBOR) or the Secured Overnight Financing Rate (SOFR) and secondarily, the prime rate offered by one or more major United States banks (the Prime Rate). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(20) | Fixed-rate loan. |
27 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
(21) | This Senior Loan will settle after April 30, 2022, at which time the interest rate will be determined. |
(22) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. |
(23) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraines GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(24) | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
(25) | Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust. |
(26) | The stated interest rate represents the weighted average fixed interest rate at April 30, 2022 of all interest only securities comprising the certificate. |
(27) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2022. |
(28) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(29) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
Purchased Call Options 0.0%(1) | ||||||||||||||||||||
Description | Counterparty | Notional Amount | Spread | Expiration Date |
Value | |||||||||||||||
2-year 10 Constant Maturity Swap Curve Cap | Bank of America, N.A. | USD | 1,221,400,000 | 1.06% | 12/19/22 | $ | 253,221 | |||||||||||||
2-year 10 Constant Maturity Swap Curve Cap | Bank of America, N.A. | USD | 596,500,000 | 1.09 | 1/4/23 | 126,082 | ||||||||||||||
Total |
$ | 379,303 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
INR | 919,300,000 | USD | 11,998,690 | 5/2/22 | $ | 27,343 | ||||||||||||
INR | 4,070,000 | USD | 53,122 | 5/2/22 | 121 | |||||||||||||
INR | 923,370,000 | USD | 12,165,452 | 5/2/22 | (86,177 | ) | ||||||||||||
NZD | 23,478 | USD | 15,191 | 5/2/22 | (34 | ) | ||||||||||||
NZD | 23,478 | USD | 15,823 | 5/2/22 | (666 | ) | ||||||||||||
NZD | 7,482,459 | USD | 4,841,525 | 5/2/22 | (10,850 | ) | ||||||||||||
NZD | 11,400,000 | USD | 7,376,370 | 5/2/22 | (16,531 | ) | ||||||||||||
NZD | 13,972,238 | USD | 9,040,737 | 5/2/22 | (20,261 | ) | ||||||||||||
NZD | 5,788,722 | USD | 3,789,564 | 5/2/22 | (52,365 | ) | ||||||||||||
NZD | 45,976,292 | USD | 29,748,960 | 5/2/22 | (66,671 | ) | ||||||||||||
NZD | 69,653,889 | USD | 45,069,549 | 5/2/22 | (101,006 | ) | ||||||||||||
NZD | 70,319,423 | USD | 45,500,182 | 5/2/22 | (101,971 | ) | ||||||||||||
NZD | 8,183,516 | USD | 5,515,281 | 5/2/22 | (232,004 | ) | ||||||||||||
NZD | 17,036,468 | USD | 11,293,475 | 5/2/22 | (294,733 | ) | ||||||||||||
NZD | 11,400,000 | USD | 7,683,030 | 5/2/22 | (323,191 | ) | ||||||||||||
NZD | 24,495,449 | USD | 16,508,708 | 5/2/22 | (694,449 | ) | ||||||||||||
NZD | 52,640,899 | USD | 34,895,652 | 5/2/22 | (910,694 | ) | ||||||||||||
NZD | 45,800,496 | USD | 30,867,244 | 5/2/22 | (1,298,450 | ) |
28 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
NZD | 53,458,751 | USD | 36,090,003 | 5/2/22 | $ | (1,577,040 | ) | |||||||||||
USD | 12,141,584 | INR | 919,300,000 | 5/2/22 | 115,551 | |||||||||||||
USD | 53,199 | INR | 4,070,000 | 5/2/22 | (44 | ) | ||||||||||||
USD | 12,051,811 | INR | 923,370,000 | 5/2/22 | (27,464 | ) | ||||||||||||
USD | 47,391,775 | NZD | 70,319,423 | 5/2/22 | 1,993,564 | |||||||||||||
USD | 31,038,595 | NZD | 45,976,292 | 5/2/22 | 1,356,306 | |||||||||||||
USD | 45,598,640 | NZD | 69,653,889 | 5/2/22 | 630,097 | |||||||||||||
USD | 9,262,196 | NZD | 13,972,238 | 5/2/22 | 241,721 | |||||||||||||
USD | 5,051,408 | NZD | 7,482,459 | 5/2/22 | 220,733 | |||||||||||||
USD | 7,557,060 | NZD | 11,400,000 | 5/2/22 | 197,221 | |||||||||||||
USD | 34,590,485 | NZD | 53,458,751 | 5/2/22 | 77,521 | |||||||||||||
USD | 34,061,294 | NZD | 52,640,899 | 5/2/22 | 76,336 | |||||||||||||
USD | 29,635,211 | NZD | 45,800,496 | 5/2/22 | 66,416 | |||||||||||||
USD | 15,849,780 | NZD | 24,495,449 | 5/2/22 | 35,521 | |||||||||||||
USD | 11,023,447 | NZD | 17,036,468 | 5/2/22 | 24,705 | |||||||||||||
USD | 7,376,370 | NZD | 11,400,000 | 5/2/22 | 16,531 | |||||||||||||
USD | 5,295,144 | NZD | 8,183,516 | 5/2/22 | 11,867 | |||||||||||||
USD | 3,745,592 | NZD | 5,788,722 | 5/2/22 | 8,394 | |||||||||||||
USD | 15,564 | NZD | 23,478 | 5/2/22 | 406 | |||||||||||||
USD | 15,191 | NZD | 23,478 | 5/2/22 | 34 | |||||||||||||
BRL | 13,540,000 | USD | 2,438,322 | 5/3/22 | 300,379 | |||||||||||||
BRL | 12,400,000 | USD | 2,223,812 | 5/3/22 | 284,304 | |||||||||||||
BRL | 12,200,000 | USD | 2,186,717 | 5/3/22 | 280,946 | |||||||||||||
BRL | 7,700,000 | USD | 1,382,942 | 5/3/22 | 174,517 | |||||||||||||
BRL | 6,987,549 | USD | 1,266,933 | 5/3/22 | 146,421 | |||||||||||||
BRL | 300,000 | USD | 60,987 | 5/3/22 | (307 | ) | ||||||||||||
BRL | 2,187,549 | USD | 444,705 | 5/3/22 | (2,235 | ) | ||||||||||||
BRL | 2,200,000 | USD | 447,236 | 5/3/22 | (2,248 | ) | ||||||||||||
BRL | 3,200,000 | USD | 650,526 | 5/3/22 | (3,270 | ) | ||||||||||||
BRL | 900,000 | USD | 188,746 | 5/3/22 | (6,705 | ) | ||||||||||||
BRL | 21,700,000 | USD | 4,411,376 | 5/3/22 | (22,173 | ) | ||||||||||||
BRL | 24,140,000 | USD | 4,907,402 | 5/3/22 | (24,666 | ) | ||||||||||||
PHP | 2,620 | USD | 51 | 5/3/22 | (1 | ) | ||||||||||||
USD | 5,121,677 | BRL | 24,140,000 | 5/3/22 | 238,941 | |||||||||||||
USD | 4,613,870 | BRL | 21,700,000 | 5/3/22 | 224,667 | |||||||||||||
USD | 2,752,536 | BRL | 13,540,000 | 5/3/22 | 13,835 | |||||||||||||
USD | 2,520,786 | BRL | 12,400,000 | 5/3/22 | 12,670 | |||||||||||||
USD | 2,480,128 | BRL | 12,200,000 | 5/3/22 | 12,466 | |||||||||||||
USD | 1,565,327 | BRL | 7,700,000 | 5/3/22 | 7,868 | |||||||||||||
USD | 1,420,493 | BRL | 6,987,549 | 5/3/22 | 7,140 | |||||||||||||
USD | 182,960 | BRL | 900,000 | 5/3/22 | 920 | |||||||||||||
USD | 61,503 | BRL | 300,000 | 5/3/22 | 823 | |||||||||||||
USD | 439,003 | BRL | 2,187,549 | 5/3/22 | (3,467 | ) | ||||||||||||
USD | 641,283 | BRL | 3,200,000 | 5/3/22 | (5,973 | ) |
29 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
USD | 438,282 | BRL | 2,200,000 | 5/3/22 | $ | (6,706 | ) | |||||||||||
NZD | 23,478 | USD | 15,562 | 5/5/22 | (405 | ) | ||||||||||||
NZD | 11,400,000 | USD | 7,556,296 | 5/5/22 | (196,409 | ) | ||||||||||||
NZD | 13,972,238 | USD | 9,261,260 | 5/5/22 | (240,725 | ) | ||||||||||||
NZD | 69,653,889 | USD | 45,268,062 | 5/5/22 | (299,221 | ) | ||||||||||||
NZD | 30,410,753 | USD | 20,475,560 | 5/5/22 | (842,251 | ) | ||||||||||||
USD | 46,184,458 | NZD | 69,677,367 | 5/5/22 | 1,200,460 | |||||||||||||
USD | 19,763,948 | NZD | 30,410,753 | 5/5/22 | 130,639 | |||||||||||||
USD | 9,080,557 | NZD | 13,972,238 | 5/5/22 | 60,022 | |||||||||||||
USD | 7,408,860 | NZD | 11,400,000 | 5/5/22 | 48,972 | |||||||||||||
RUB | 176,513,314 | USD | 2,263,724 | 5/6/22 | 206,625 | |||||||||||||
RUB | 167,884,757 | USD | 2,166,680 | 5/6/22 | 182,910 | |||||||||||||
USD | 3,109,689 | RUB | 344,398,071 | 5/6/22 | (1,710,249 | ) | ||||||||||||
RUB | 1,161,742,983 | USD | 15,001,339 | 5/11/22 | 1,141,417 | |||||||||||||
RUB | 483,556,840 | USD | 6,160,132 | 5/11/22 | 559,030 | |||||||||||||
RUB | 414,477,292 | USD | 5,283,436 | 5/11/22 | 475,846 | |||||||||||||
SGD | 36,103,604 | USD | 26,805,361 | 5/11/22 | (699,702 | ) | ||||||||||||
USD | 4,247,667 | RUB | 324,946,530 | 5/11/22 | (267,559 | ) | ||||||||||||
USD | 15,593,983 | RUB | 1,734,830,585 | 5/11/22 | (8,511,993 | ) | ||||||||||||
USD | 26,569,625 | SGD | 36,103,604 | 5/11/22 | 463,967 | |||||||||||||
GBP | 7,600,000 | USD | 9,917,582 | 5/13/22 | (361,100 | ) | ||||||||||||
RUB | 89,720,470 | USD | 1,160,514 | 5/13/22 | 82,627 | |||||||||||||
RUB | 19,500,000 | USD | 251,953 | 5/13/22 | 18,233 | |||||||||||||
USD | 10,269,728 | GBP | 7,600,000 | 5/13/22 | 713,246 | |||||||||||||
USD | 703,835 | RUB | 53,913,767 | 5/13/22 | (43,178 | ) | ||||||||||||
USD | 674,925 | RUB | 55,306,703 | 5/13/22 | (91,389 | ) | ||||||||||||
RUB | 324,946,530 | USD | 4,215,978 | 5/17/22 | 260,877 | |||||||||||||
RUB | 55,306,703 | USD | 673,175 | 5/17/22 | 88,797 | |||||||||||||
RUB | 53,913,767 | USD | 700,406 | 5/17/22 | 42,375 | |||||||||||||
USD | 5,651,266 | RUB | 434,167,000 | 5/17/22 | (330,342 | ) | ||||||||||||
NOK | 60,430,000 | USD | 6,783,181 | 5/23/22 | (340,218 | ) | ||||||||||||
USD | 20,631,916 | ZAR | 315,719,901 | 5/25/22 | 685,696 | |||||||||||||
PEN | 6,200,000 | USD | 1,643,690 | 5/27/22 | (32,931 | ) | ||||||||||||
PEN | 22,900,000 | USD | 6,081,530 | 5/27/22 | (132,113 | ) | ||||||||||||
USD | 7,406,896 | PEN | 27,901,776 | 5/27/22 | 158,018 | |||||||||||||
USD | 4,427,415 | PEN | 16,638,224 | 5/27/22 | 104,806 | |||||||||||||
USD | 33,897,651 | PHP | 1,756,000,000 | 5/27/22 | 474,762 | |||||||||||||
USD | 32,218,041 | PHP | 1,669,700,000 | 5/27/22 | 437,747 | |||||||||||||
BRL | 7,780,000 | USD | 1,474,184 | 6/2/22 | 84,224 | |||||||||||||
BRL | 14,030,000 | USD | 2,729,572 | 6/2/22 | 80,771 | |||||||||||||
BRL | 300,000 | USD | 60,926 | 6/2/22 | (833 | ) | ||||||||||||
BRL | 7,400,000 | USD | 1,527,253 | 6/2/22 | (44,962 | ) | ||||||||||||
INR | 4,070,000 | USD | 52,987 | 6/7/22 | (26 | ) | ||||||||||||
USD | 53,309 | INR | 4,070,000 | 6/7/22 | 348 |
30 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
CLP | 767,745,000 | USD | 939,126 | 6/8/22 | $ | (45,436 | ) | |||||||||||
PEN | 13,675,168 | USD | 3,633,824 | 6/9/22 | (86,606 | ) | ||||||||||||
PEN | 17,340,000 | USD | 4,607,658 | 6/9/22 | (109,815 | ) | ||||||||||||
USD | 7,227,032 | ZAR | 111,516,714 | 6/9/22 | 193,106 | |||||||||||||
CAD | 14,800,000 | USD | 11,479,453 | 6/10/22 | 40,359 | |||||||||||||
COP | 20,963,930,000 | USD | 5,424,451 | 6/10/22 | (161,894 | ) | ||||||||||||
PEN | 24,672,829 | USD | 6,514,794 | 6/10/22 | (115,622 | ) | ||||||||||||
USD | 23,461,103 | INR | 1,809,000,000 | 6/10/22 | (71,307 | ) | ||||||||||||
USD | 32,470,301 | INR | 2,529,547,500 | 6/10/22 | (435,363 | ) | ||||||||||||
CLP | 1,265,000,000 | USD | 1,541,950 | 6/15/22 | (71,308 | ) | ||||||||||||
CLP | 1,351,855,000 | USD | 1,661,123 | 6/15/22 | (89,507 | ) | ||||||||||||
CLP | 1,908,000,000 | USD | 2,339,554 | 6/15/22 | (121,385 | ) | ||||||||||||
CLP | 2,487,800,000 | USD | 3,050,382 | 6/15/22 | (158,159 | ) | ||||||||||||
COP | 2,062,100,000 | USD | 533,136 | 6/15/22 | (15,869 | ) | ||||||||||||
COP | 14,045,270,000 | USD | 3,600,197 | 6/15/22 | (77,017 | ) | ||||||||||||
EUR | 726,204 | USD | 802,846 | 6/15/22 | (35,230 | ) | ||||||||||||
EUR | 2,140,000 | USD | 2,365,853 | 6/15/22 | (103,816 | ) | ||||||||||||
EUR | 3,533,000 | USD | 3,862,470 | 6/15/22 | (127,994 | ) | ||||||||||||
EUR | 3,680,993 | USD | 4,024,264 | 6/15/22 | (133,355 | ) | ||||||||||||
EUR | 4,588,000 | USD | 5,015,854 | 6/15/22 | (166,214 | ) | ||||||||||||
EUR | 5,553,000 | USD | 6,070,845 | 6/15/22 | (201,174 | ) | ||||||||||||
EUR | 8,206,000 | USD | 8,971,251 | 6/15/22 | (297,287 | ) | ||||||||||||
EUR | 8,208,454 | USD | 8,973,934 | 6/15/22 | (297,376 | ) | ||||||||||||
EUR | 11,362,000 | USD | 12,421,563 | 6/15/22 | (411,623 | ) | ||||||||||||
EUR | 57,100,000 | USD | 63,126,271 | 6/15/22 | (2,770,031 | ) | ||||||||||||
EUR | 60,200,000 | USD | 66,553,442 | 6/15/22 | (2,920,418 | ) | ||||||||||||
JPY | 8,735,405,667 | USD | 69,770,106 | 6/15/22 | (2,364,138 | ) | ||||||||||||
KRW | 10,959,200,000 | USD | 8,951,474 | 6/15/22 | (275,773 | ) | ||||||||||||
KRW | 17,892,793,394 | USD | 14,502,183 | 6/15/22 | (337,597 | ) | ||||||||||||
PEN | 4,400,000 | USD | 1,173,928 | 6/15/22 | (33,400 | ) | ||||||||||||
PEN | 19,500,000 | USD | 5,147,563 | 6/15/22 | (92,951 | ) | ||||||||||||
PEN | 14,500,000 | USD | 3,860,695 | 6/15/22 | (102,137 | ) | ||||||||||||
PEN | 17,700,000 | USD | 4,744,267 | 6/15/22 | (156,234 | ) | ||||||||||||
PEN | 34,832,003 | USD | 9,305,408 | 6/15/22 | (276,573 | ) | ||||||||||||
USD | 87,689,599 | EUR | 79,318,420 | 6/15/22 | 3,847,889 | |||||||||||||
USD | 81,477,001 | EUR | 73,698,901 | 6/15/22 | 3,575,275 | |||||||||||||
USD | 63,126,271 | EUR | 57,100,000 | 6/15/22 | 2,770,031 | |||||||||||||
USD | 61,238,011 | EUR | 55,392,000 | 6/15/22 | 2,687,173 | |||||||||||||
USD | 53,735,985 | EUR | 48,606,146 | 6/15/22 | 2,357,978 | |||||||||||||
USD | 48,447,359 | EUR | 43,822,392 | 6/15/22 | 2,125,909 | |||||||||||||
USD | 39,429,107 | EUR | 35,665,057 | 6/15/22 | 1,730,181 | |||||||||||||
USD | 34,402,905 | EUR | 31,118,674 | 6/15/22 | 1,509,627 | |||||||||||||
USD | 33,752,103 | EUR | 30,530,000 | 6/15/22 | 1,481,069 | |||||||||||||
USD | 25,680,330 | EUR | 23,228,789 | 6/15/22 | 1,126,873 |
31 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
USD | 21,305,964 | EUR | 19,272,016 | 6/15/22 | $ | 934,923 | ||||||||||||
USD | 16,047,587 | EUR | 14,515,624 | 6/15/22 | 704,181 | |||||||||||||
USD | 15,759,015 | EUR | 14,254,600 | 6/15/22 | 691,518 | |||||||||||||
USD | 12,736,288 | EUR | 11,520,434 | 6/15/22 | 558,878 | |||||||||||||
USD | 10,199,124 | EUR | 9,225,477 | 6/15/22 | 447,546 | |||||||||||||
USD | 8,395,426 | EUR | 7,593,967 | 6/15/22 | 368,398 | |||||||||||||
USD | 385,285 | EUR | 348,505 | 6/15/22 | 16,907 | |||||||||||||
USD | 5,174,849 | JPY | 647,905,033 | 6/15/22 | 175,348 | |||||||||||||
USD | 12,258,234 | KRW | 15,141,493,394 | 6/15/22 | 271,677 | |||||||||||||
USD | 10,152,223 | KRW | 12,543,000,000 | 6/15/22 | 222,728 | |||||||||||||
USD | 10,718,085 | PEN | 40,300,000 | 6/15/22 | 271,886 | |||||||||||||
USD | 41,554,835 | ZAR | 614,325,896 | 6/15/22 | 2,831,372 | |||||||||||||
USD | 17,729,093 | ZAR | 263,410,000 | 6/15/22 | 1,125,288 | |||||||||||||
USD | 14,502,106 | ZAR | 213,500,000 | 6/15/22 | 1,044,331 | |||||||||||||
ZAR | 68,560,346 | USD | 4,501,073 | 6/15/22 | (179,435 | ) | ||||||||||||
ZAR | 142,692,000 | USD | 9,705,618 | 6/15/22 | (711,160 | ) | ||||||||||||
ZAR | 514,528,851 | USD | 34,997,201 | 6/15/22 | (2,564,352 | ) | ||||||||||||
ZAR | 1,224,799,117 | USD | 82,849,063 | 6/15/22 | (5,644,987 | ) | ||||||||||||
IDR | 48,016,890,000 | USD | 3,349,813 | 6/21/22 | (62,434 | ) | ||||||||||||
IDR | 48,017,000,000 | USD | 3,351,411 | 6/21/22 | (64,024 | ) | ||||||||||||
IDR | 92,190,000,000 | USD | 6,429,363 | 6/21/22 | (117,762 | ) | ||||||||||||
IDR | 119,143,426,950 | USD | 8,311,830 | 6/21/22 | (154,916 | ) | ||||||||||||
IDR | 119,142,000,000 | USD | 8,315,675 | 6/21/22 | (158,859 | ) | ||||||||||||
IDR | 228,747,500,000 | USD | 15,952,932 | 6/21/22 | (292,198 | ) | ||||||||||||
IDR | 685,685,039,882 | USD | 47,571,236 | 6/21/22 | (627,200 | ) | ||||||||||||
USD | 49,159,487 | IDR | 708,577,865,950 | 6/21/22 | 648,140 | |||||||||||||
USD | 17,206,529 | IDR | 246,722,698,260 | 6/21/22 | 315,159 | |||||||||||||
USD | 10,693,740 | IDR | 153,775,977,320 | 6/21/22 | 165,779 | |||||||||||||
USD | 6,573,919 | IDR | 94,598,690,000 | 6/21/22 | 97,411 | |||||||||||||
USD | 6,505,816 | IDR | 93,625,200,000 | 6/21/22 | 95,957 | |||||||||||||
USD | 1,577,439 | IDR | 22,618,739,234 | 6/21/22 | 28,893 | |||||||||||||
USD | 7,207,854 | ZAR | 109,635,058 | 6/22/22 | 302,348 | |||||||||||||
USD | 9,772,197 | ZAR | 149,656,315 | 6/24/22 | 347,941 | |||||||||||||
USD | 12,007,891 | INR | 922,200,000 | 6/30/22 | 36,513 | |||||||||||||
USD | 9,439,511 | INR | 728,600,000 | 6/30/22 | (18,682 | ) | ||||||||||||
USD | 10,652,174 | INR | 823,200,000 | 6/30/22 | (34,052 | ) | ||||||||||||
AUD | 5,000,000 | USD | 3,745,197 | 7/5/22 | (208,447 | ) | ||||||||||||
AUD | 7,615,000 | USD | 5,702,752 | 7/5/22 | (316,281 | ) | ||||||||||||
AUD | 60,745,473 | USD | 45,491,313 | 7/5/22 | (2,523,002 | ) | ||||||||||||
BRL | 3,200,000 | USD | 629,314 | 7/5/22 | 5,732 | |||||||||||||
BRL | 7,390,000 | USD | 1,507,118 | 7/5/22 | (40,557 | ) | ||||||||||||
BRL | 7,500,000 | USD | 1,539,567 | 7/5/22 | (51,176 | ) | ||||||||||||
AUD | 3,385,000 | USD | 2,535,876 | 7/11/22 | (141,277 | ) | ||||||||||||
AUD | 29,230,197 | USD | 21,897,832 | 7/11/22 | (1,219,959 | ) |
32 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (Centrally Cleared) (continued) | ||||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
BRL | 2,200,000 | USD | 426,497 | 8/2/22 | $ | 6,394 | ||||||||||||
BRL | 2,187,549 | USD | 427,231 | 8/2/22 | 3,210 | |||||||||||||
USD | 13,543,490 | IDR | 195,568,000,220 | 8/22/22 | 230,528 | |||||||||||||
USD | 13,531,308 | IDR | 195,568,000,220 | 8/22/22 | 218,346 | |||||||||||||
$ | 2,290,175 |
Forward Foreign Currency Exchange Contracts (OTC) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EUR | 13,682,613 | PLN | 63,685,723 | Citibank, N.A. | 5/5/22 | $ | 67,735 | $ | | |||||||||||||||
EUR | 9,917,497 | PLN | 46,093,751 | Citibank, N.A. | 5/5/22 | 64,266 | | |||||||||||||||||
EUR | 3,184,769 | PLN | 14,823,505 | Citibank, N.A. | 5/5/22 | 15,766 | | |||||||||||||||||
EUR | 1,984,733 | PLN | 9,395,627 | Citibank, N.A. | 5/5/22 | | (25,750 | ) | ||||||||||||||||
EUR | 3,135,922 | PLN | 14,823,505 | Citibank, N.A. | 5/5/22 | | (35,768 | ) | ||||||||||||||||
EUR | 8,526,941 | PLN | 40,366,114 | Citibank, N.A. | 5/5/22 | | (110,628 | ) | ||||||||||||||||
EUR | 13,472,757 | PLN | 63,685,724 | Citibank, N.A. | 5/5/22 | | (153,670 | ) | ||||||||||||||||
EUR | 6,260,911 | PLN | 28,727,565 | Standard Chartered Bank | 5/5/22 | 124,360 | | |||||||||||||||||
EUR | 1,481,620 | PLN | 6,706,000 | Standard Chartered Bank | 5/5/22 | 50,245 | | |||||||||||||||||
EUR | 1,855,821 | PLN | 8,703,065 | Standard Chartered Bank | 5/5/22 | | (5,510 | ) | ||||||||||||||||
EUR | 1,480,402 | PLN | 6,983,353 | Standard Chartered Bank | 5/5/22 | | (13,612 | ) | ||||||||||||||||
EUR | 7,973,102 | PLN | 37,390,683 | Standard Chartered Bank | 5/5/22 | | (23,672 | ) | ||||||||||||||||
EUR | 6,360,202 | PLN | 30,002,343 | Standard Chartered Bank | 5/5/22 | | (58,482 | ) | ||||||||||||||||
EUR | 8,861,635 | PLN | 42,900,000 | Standard Chartered Bank | 5/5/22 | | (329,174 | ) | ||||||||||||||||
EUR | 4,700,232 | PLN | 22,235,257 | UBS AG | 5/5/22 | | (57,505 | ) | ||||||||||||||||
EUR | 20,193,450 | PLN | 95,528,586 | UBS AG | 5/5/22 | | (247,055 | ) | ||||||||||||||||
PLN | 128,334,368 | EUR | 27,371,844 | Bank of America, N.A. | 5/5/22 | 74,790 | | |||||||||||||||||
PLN | 128,334,433 | EUR | 27,388,214 | Bank of America, N.A. | 5/5/22 | 57,533 | | |||||||||||||||||
PLN | 29,063,665 | EUR | 6,275,807 | Citibank, N.A. | 5/5/22 | | (64,250 | ) | ||||||||||||||||
PLN | 37,576,026 | EUR | 8,060,485 | Standard Chartered Bank | 5/5/22 | | (26,705 | ) | ||||||||||||||||
PLN | 13,000,000 | EUR | 2,819,037 | Standard Chartered Bank | 5/5/22 | | (41,300 | ) | ||||||||||||||||
PLN | 12,300,000 | EUR | 2,682,643 | Standard Chartered Bank | 5/5/22 | | (55,324 | ) | ||||||||||||||||
PLN | 16,100,000 | EUR | 3,509,104 | Standard Chartered Bank | 5/5/22 | | (69,966 | ) | ||||||||||||||||
PLN | 84,401,000 | EUR | 18,383,211 | Standard Chartered Bank | 5/5/22 | | (353,532 | ) | ||||||||||||||||
PLN | 29,063,666 | EUR | 6,225,644 | UBS AG | 5/5/22 | | (11,326 | ) | ||||||||||||||||
PLN | 35,979,123 | EUR | 7,706,710 | UBS AG | 5/5/22 | | (13,732 | ) | ||||||||||||||||
PLN | 17,898,520 | EUR | 3,852,184 | UBS AG | 5/5/22 | | (26,170 | ) | ||||||||||||||||
USD | 816,987 | ZMW | 14,215,573 | ICBC Standard Bank PLC | 5/5/22 | | (17,706 | ) | ||||||||||||||||
EUR | 109,699 | USD | 118,566 | Citibank, N.A. | 5/6/22 | | (2,825 | ) | ||||||||||||||||
EUR | 5,476,089 | USD | 5,961,178 | Deutsche Bank AG | 5/6/22 | | (183,507 | ) | ||||||||||||||||
EUR | 443,145 | USD | 482,551 | HSBC Bank USA, N.A. | 5/6/22 | | (15,000 | ) | ||||||||||||||||
EUR | 1,686,447 | USD | 1,825,300 | UBS AG | 5/6/22 | | (45,977 | ) | ||||||||||||||||
EUR | 4,250,000 | USD | 4,623,792 | UBS AG | 5/6/22 | | (139,734 | ) |
33 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 784,902 | EUR | 726,204 | Citibank, N.A. | 5/6/22 | $ | 18,704 | $ | | |||||||||||||||
USD | 1,325,782 | EUR | 1,218,267 | State Street Bank and Trust Company | 5/6/22 | 40,423 | | |||||||||||||||||
UZS | 9,098,627,000 | USD | 796,379 | ICBC Standard Bank PLC | 5/6/22 | 16,694 | | |||||||||||||||||
EGP | 212,500,000 | USD | 11,491,331 | BNP Paribas | 5/9/22 | 1,367 | | |||||||||||||||||
EGP | 212,500,000 | USD | 13,235,752 | Goldman Sachs International | 5/9/22 | | (1,743,053 | ) | ||||||||||||||||
MYR | 52,560,420 | USD | 12,539,166 | Goldman Sachs International | 5/9/22 | | (447,574 | ) | ||||||||||||||||
THB | 408,439,377 | USD | 11,873,733 | Standard Chartered Bank | 5/9/22 | 51,803 | | |||||||||||||||||
THB | 379,250,000 | USD | 11,034,472 | Standard Chartered Bank | 5/9/22 | 38,798 | | |||||||||||||||||
USD | 12,925,869 | EGP | 212,500,000 | BNP Paribas | 5/9/22 | 1,433,171 | | |||||||||||||||||
USD | 11,491,332 | EGP | 212,500,000 | Goldman Sachs International | 5/9/22 | | (1,367 | ) | ||||||||||||||||
USD | 12,066,212 | MYR | 52,560,420 | Barclays Bank PLC | 5/9/22 | | (25,379 | ) | ||||||||||||||||
USD | 42,740,994 | THB | 1,432,772,146 | Standard Chartered Bank | 5/9/22 | 907,184 | | |||||||||||||||||
USD | 6,361,576 | THB | 213,331,000 | Standard Chartered Bank | 5/9/22 | 132,778 | | |||||||||||||||||
USD | 2,811,572 | TRY | 42,398,561 | Standard Chartered Bank | 5/9/22 | | (38,046 | ) | ||||||||||||||||
NZD | 11,400,000 | USD | 7,408,712 | Citibank, N.A. | 5/10/22 | | (48,702 | ) | ||||||||||||||||
NZD | 13,972,238 | USD | 9,080,376 | Citibank, N.A. | 5/10/22 | | (59,691 | ) | ||||||||||||||||
NZD | 30,410,753 | USD | 19,763,553 | Citibank, N.A. | 5/10/22 | | (129,918 | ) | ||||||||||||||||
UGX | 34,825,000,000 | USD | 9,128,440 | Standard Chartered Bank | 5/10/22 | 654,234 | | |||||||||||||||||
USD | 45,267,157 | NZD | 69,653,889 | Citibank, N.A. | 5/10/22 | 297,570 | | |||||||||||||||||
CZK | 214,532,855 | EUR | 8,701,965 | Citibank, N.A. | 5/11/22 | 5,505 | | |||||||||||||||||
CZK | 168,313,867 | EUR | 6,838,244 | Citibank, N.A. | 5/11/22 | | (7,322 | ) | ||||||||||||||||
EUR | 3,135,315 | HUF | 1,183,611,646 | Standard Chartered Bank | 5/11/22 | 10,852 | | |||||||||||||||||
EUR | 13,239,712 | HUF | 5,055,288,354 | Standard Chartered Bank | 5/11/22 | | (113,457 | ) | ||||||||||||||||
HUF | 6,238,900,000 | EUR | 17,483,256 | Standard Chartered Bank | 5/11/22 | | (1,066,888 | ) | ||||||||||||||||
KES | 235,200,000 | USD | 2,078,106 | Standard Chartered Bank | 5/11/22 | | (49,273 | ) | ||||||||||||||||
USD | 2,013,699 | KES | 235,200,000 | Standard Chartered Bank | 5/11/22 | | (15,134 | ) | ||||||||||||||||
JPY | 1,249,152,000 | USD | 10,000,000 | Citibank, N.A. | 5/13/22 | | (372,365 | ) | ||||||||||||||||
USD | 20,481,642 | ZAR | 315,067,935 | Bank of America, N.A. | 5/13/22 | 550,917 | | |||||||||||||||||
EUR | 1,407,368 | HUF | 535,700,000 | Standard Chartered Bank | 5/16/22 | | (6,046 | ) | ||||||||||||||||
HUF | 535,700,000 | EUR | 1,498,740 | Standard Chartered Bank | 5/16/22 | | (90,398 | ) | ||||||||||||||||
USD | 9,284,885 | TRY | 138,902,988 | Standard Chartered Bank | 5/16/22 | | (6,619 | ) | ||||||||||||||||
CZK | 201,976,639 | EUR | 8,203,819 | Citibank, N.A. | 5/18/22 | | (16,391 | ) | ||||||||||||||||
CZK | 201,976,639 | EUR | 8,183,437 | UBS AG | 5/18/22 | 5,125 | | |||||||||||||||||
KES | 257,553,000 | USD | 2,264,202 | ICBC Standard Bank PLC | 5/18/22 | | (45,739 | ) | ||||||||||||||||
USD | 64,933,456 | CNH | 413,980,000 | UBS AG | 5/18/22 | 2,680,558 | | |||||||||||||||||
USD | 2,177,118 | KES | 257,553,000 | Standard Chartered Bank | 5/18/22 | | (41,346 | ) | ||||||||||||||||
KES | 460,000,000 | USD | 4,031,551 | Standard Chartered Bank | 5/20/22 | | (70,910 | ) | ||||||||||||||||
USD | 3,928,602 | KES | 460,000,000 | Standard Chartered Bank | 5/20/22 | | (32,039 | ) | ||||||||||||||||
CZK | 265,100,000 | EUR | 10,741,491 | Goldman Sachs International | 5/23/22 | | (2,967 | ) | ||||||||||||||||
EUR | 7,363,573 | HUF | 2,783,879,859 | Bank of America, N.A. | 5/23/22 | 31,106 | | |||||||||||||||||
EUR | 6,493,048 | HUF | 2,454,291,139 | Bank of America, N.A. | 5/23/22 | 28,756 | | |||||||||||||||||
EUR | 10,849,487 | HUF | 4,146,872,640 | Goldman Sachs International | 5/23/22 | | (79,630 | ) | ||||||||||||||||
EUR | 13,923,900 | HUF | 5,238,170,999 | UBS AG | 5/23/22 | 130,895 | | |||||||||||||||||
HUF | 5,238,170,998 | EUR | 14,513,261 | Bank of America, N.A. | 5/23/22 | | (753,158 | ) | ||||||||||||||||
HUF | 4,146,872,640 | EUR | 11,485,712 | Goldman Sachs International | 5/23/22 | | (592,112 | ) |
34 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
HUF | 5,238,170,999 | EUR | 14,512,891 | UBS AG | 5/23/22 | $ | | $ | (752,768 | ) | ||||||||||||||
UGX | 68,235,820,000 | USD | 19,226,774 | Standard Chartered Bank | 5/25/22 | | (102,881 | ) | ||||||||||||||||
MYR | 40,000,000 | USD | 9,475,305 | Barclays Bank PLC | 6/1/22 | | (261,810 | ) | ||||||||||||||||
MYR | 36,764,000 | USD | 8,724,252 | Credit Agricole Corporate and Investment Bank |
6/1/22 | | (256,130 | ) | ||||||||||||||||
MYR | 40,000,000 | USD | 9,487,666 | Goldman Sachs International | 6/1/22 | | (274,171 | ) | ||||||||||||||||
USD | 26,750,057 | MYR | 116,764,000 | Barclays Bank PLC | 6/1/22 | | (145,055 | ) | ||||||||||||||||
EGP | 201,657,500 | USD | 12,471,088 | Bank of America, N.A. | 6/2/22 | | (1,737,812 | ) | ||||||||||||||||
EUR | 4,577,107 | HUF | 1,722,750,000 | Citibank, N.A. | 6/2/22 | 49,407 | | |||||||||||||||||
USD | 12,221,667 | EGP | 201,657,500 | Bank of America, N.A. | 6/2/22 | 1,488,390 | | |||||||||||||||||
EUR | 1,705,444 | PLN | 8,253,000 | Standard Chartered Bank | 6/3/22 | | (53,586 | ) | ||||||||||||||||
PLN | 8,253,000 | EUR | 1,763,209 | Standard Chartered Bank | 6/3/22 | | (7,433 | ) | ||||||||||||||||
KES | 467,765,000 | USD | 4,087,069 | Standard Chartered Bank | 6/6/22 | | (73,543 | ) | ||||||||||||||||
USD | 3,965,791 | KES | 467,765,000 | Standard Chartered Bank | 6/6/22 | | (47,735 | ) | ||||||||||||||||
CZK | 9,600,000 | EUR | 369,708 | Citibank, N.A. | 6/7/22 | 19,256 | | |||||||||||||||||
CZK | 99,900,000 | EUR | 3,810,897 | Standard Chartered Bank | 6/7/22 | 238,820 | | |||||||||||||||||
CZK | 66,409,600 | EUR | 2,557,993 | Standard Chartered Bank | 6/7/22 | 132,705 | | |||||||||||||||||
CZK | 9,000,000 | EUR | 346,163 | Standard Chartered Bank | 6/7/22 | 18,516 | | |||||||||||||||||
EUR | 1,761,070 | PLN | 8,253,000 | Standard Chartered Bank | 6/8/22 | 6,907 | | |||||||||||||||||
KES | 231,620,000 | USD | 2,026,422 | Goldman Sachs International | 6/8/22 | | (40,280 | ) | ||||||||||||||||
KES | 467,340,000 | USD | 4,086,926 | Standard Chartered Bank | 6/8/22 | | (79,486 | ) | ||||||||||||||||
PLN | 8,253,000 | EUR | 1,705,010 | Standard Chartered Bank | 6/8/22 | 52,327 | | |||||||||||||||||
USD | 1,963,214 | KES | 231,620,000 | Goldman Sachs International | 6/8/22 | | (22,927 | ) | ||||||||||||||||
USD | 3,967,233 | KES | 467,340,000 | Standard Chartered Bank | 6/8/22 | | (40,208 | ) | ||||||||||||||||
EUR | 563,483 | HUF | 213,647,571 | Citibank, N.A. | 6/10/22 | 2,633 | | |||||||||||||||||
EUR | 5,595,507 | HUF | 2,145,288,749 | Citibank, N.A. | 6/10/22 | | (39,678 | ) | ||||||||||||||||
EUR | 6,783,869 | HUF | 2,544,650,342 | UBS AG | 6/10/22 | 107,976 | | |||||||||||||||||
EUR | 4,959,391 | HUF | 1,902,042,138 | UBS AG | 6/10/22 | | (36,935 | ) | ||||||||||||||||
HUF | 4,081,686,320 | EUR | 10,635,740 | Citibank, N.A. | 6/10/22 | 86,513 | | |||||||||||||||||
HUF | 4,446,692,480 | EUR | 11,555,190 | UBS AG | 6/10/22 | 127,699 | | |||||||||||||||||
UGX | 35,147,800,000 | USD | 9,298,360 | Standard Chartered Bank | 6/13/22 | 522,933 | | |||||||||||||||||
CZK | 86,962,009 | EUR | 3,535,027 | Citibank, N.A. | 6/14/22 | | (26,346 | ) | ||||||||||||||||
CZK | 114,891,308 | EUR | 4,667,777 | Citibank, N.A. | 6/14/22 | | (32,077 | ) | ||||||||||||||||
CZK | 144,936,683 | EUR | 5,884,886 | Goldman Sachs International | 6/14/22 | | (36,696 | ) | ||||||||||||||||
CZK | 150,222,454 | EUR | 6,105,028 | Goldman Sachs International | 6/14/22 | | (43,871 | ) | ||||||||||||||||
CZK | 164,177,546 | EUR | 6,671,522 | Goldman Sachs International | 6/14/22 | | (47,270 | ) | ||||||||||||||||
CZK | 596,510,000 | EUR | 24,139,403 | Goldman Sachs International | 6/14/22 | | (65,642 | ) | ||||||||||||||||
UGX | 27,003,110,000 | USD | 7,288,289 | Standard Chartered Bank | 6/15/22 | 254,567 | | |||||||||||||||||
USD | 11,033,292 | THB | 379,250,000 | Standard Chartered Bank | 6/15/22 | | (46,254 | ) | ||||||||||||||||
USD | 11,872,427 | THB | 408,439,377 | Standard Chartered Bank | 6/15/22 | | (59,869 | ) | ||||||||||||||||
USD | 5,803,508 | TRY | 95,902,966 | Bank of America, N.A. | 6/15/22 | | (461,685 | ) | ||||||||||||||||
USD | 4,291,443 | TRY | 64,822,757 | Standard Chartered Bank | 6/15/22 | 56,672 | | |||||||||||||||||
USD | 1,339,462 | TRY | 20,400,000 | Standard Chartered Bank | 6/15/22 | 6,761 | | |||||||||||||||||
USD | 1,190,882 | TRY | 18,134,663 | Standard Chartered Bank | 6/15/22 | 6,173 | | |||||||||||||||||
USD | 759,162 | TRY | 11,600,000 | Standard Chartered Bank | 6/15/22 | 1,352 | | |||||||||||||||||
USD | 1,442,116 | TRY | 22,460,392 | Standard Chartered Bank | 6/15/22 | | (25,186 | ) |
35 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 2,884,233 | TRY | 44,938,724 | Standard Chartered Bank | 6/15/22 | $ | | $ | (51,545 | ) | ||||||||||||||
USD | 6,458,552 | TRY | 103,434,543 | Standard Chartered Bank | 6/15/22 | | (298,667 | ) | ||||||||||||||||
USD | 6,425,813 | TRY | 106,315,924 | Standard Chartered Bank | 6/15/22 | | (519,643 | ) | ||||||||||||||||
USD | 10,281,300 | TRY | 169,796,007 | Standard Chartered Bank | 6/15/22 | | (811,211 | ) | ||||||||||||||||
USD | 12,786,960 | TRY | 210,475,040 | Standard Chartered Bank | 6/15/22 | | (963,050 | ) | ||||||||||||||||
UGX | 29,524,990,000 | USD | 8,001,352 | Standard Chartered Bank | 6/16/22 | 244,537 | | |||||||||||||||||
EUR | 6,444,345 | PLN | 30,500,000 | Bank of America, N.A. | 6/17/22 | | (30,301 | ) | ||||||||||||||||
EUR | 27,182,380 | PLN | 128,334,433 | Bank of America, N.A. | 6/17/22 | | (57,091 | ) | ||||||||||||||||
EUR | 27,166,434 | PLN | 128,334,368 | Bank of America, N.A. | 6/17/22 | | (73,935 | ) | ||||||||||||||||
UGX | 36,563,109,603 | USD | 9,683,027 | ICBC Standard Bank PLC | 6/21/22 | 519,784 | | |||||||||||||||||
UGX | 17,415,100,000 | USD | 4,597,439 | Standard Chartered Bank | 6/23/22 | 260,525 | | |||||||||||||||||
USD | 84,390,094 | CNH | 541,000,000 | Citibank, N.A. | 6/23/22 | 3,218,666 | | |||||||||||||||||
USD | 67,061,474 | CNH | 430,139,000 | BNP Paribas | 6/27/22 | 2,536,933 | | |||||||||||||||||
EGP | 137,107,250 | USD | 7,324,105 | Goldman Sachs International | 6/28/22 | | (112,323 | ) | ||||||||||||||||
EGP | 130,359,701 | USD | 7,012,356 | Goldman Sachs International | 6/28/22 | | (155,492 | ) | ||||||||||||||||
EGP | 135,700,131 | USD | 7,295,706 | Standard Chartered Bank | 6/28/22 | | (157,938 | ) | ||||||||||||||||
CZK | 219,615,000 | EUR | 8,840,023 | Citibank, N.A. | 6/30/22 | 1,415 | | |||||||||||||||||
CZK | 219,615,000 | EUR | 8,842,130 | Citibank, N.A. | 6/30/22 | | (814 | ) | ||||||||||||||||
EGP | 185,025,480 | USD | 9,873,291 | Standard Chartered Bank | 6/30/22 | | (148,384 | ) | ||||||||||||||||
EGP | 176,356,396 | USD | 9,537,934 | UBS AG | 6/30/22 | | (268,672 | ) | ||||||||||||||||
UGX | 18,421,960,000 | USD | 4,841,514 | JPMorgan Chase Bank, N.A. | 7/5/22 | 286,809 | | |||||||||||||||||
UGX | 35,766,460,000 | USD | 9,399,858 | Standard Chartered Bank | 7/5/22 | 556,843 | | |||||||||||||||||
UGX | 57,448,570,397 | USD | 15,078,365 | Goldman Sachs International | 7/6/22 | 909,568 | | |||||||||||||||||
KZT | 973,745,667 | USD | 2,068,499 | Citibank, N.A. | 7/29/22 | 45,004 | | |||||||||||||||||
KZT | 692,946,997 | USD | 1,477,499 | Citibank, N.A. | 7/29/22 | 26,534 | | |||||||||||||||||
KZT | 685,559,501 | USD | 1,477,499 | Citibank, N.A. | 7/29/22 | 10,499 | | |||||||||||||||||
KZT | 685,559,501 | USD | 1,477,499 | Citibank, N.A. | 8/3/22 | 7,655 | | |||||||||||||||||
KZT | 558,510,986 | USD | 1,216,800 | JPMorgan Chase Bank, N.A. | 8/3/22 | | (6,876 | ) | ||||||||||||||||
ZMW | 36,540,000 | USD | 1,638,565 | JPMorgan Chase Bank, N.A. | 8/18/22 | 441,084 | | |||||||||||||||||
ZMW | 26,675,000 | USD | 1,310,811 | JPMorgan Chase Bank, N.A. | 8/25/22 | 203,475 | | |||||||||||||||||
OMR | 7,500,000 | USD | 18,796,992 | BNP Paribas | 8/29/22 | 678,336 | | |||||||||||||||||
USD | 23,292,293 | OMR | 9,293,625 | BNP Paribas | 8/29/22 | | (840,561 | ) | ||||||||||||||||
EGP | 89,237,029 | USD | 4,699,159 | BNP Paribas | 9/28/22 | | (168,011 | ) | ||||||||||||||||
EGP | 146,100,168 | USD | 7,649,223 | Goldman Sachs International | 9/28/22 | | (230,761 | ) | ||||||||||||||||
EGP | 228,902,488 | USD | 12,090,133 | Goldman Sachs International | 9/28/22 | | (467,254 | ) | ||||||||||||||||
USD | 12,483,846 | OMR | 4,830,000 | Standard Chartered Bank | 10/27/22 | | (57,535 | ) | ||||||||||||||||
USD | 12,923,236 | OMR | 5,000,000 | Standard Chartered Bank | 10/27/22 | | (59,560 | ) | ||||||||||||||||
AED | 72,500,000 | USD | 19,732,344 | Standard Chartered Bank | 12/12/22 | 12,843 | | |||||||||||||||||
AED | 173,933,000 | USD | 47,373,825 | Standard Chartered Bank | 12/12/22 | | (3,623 | ) | ||||||||||||||||
USD | 33,420,810 | AED | 123,212,500 | Standard Chartered Bank | 12/12/22 | | (135,796 | ) | ||||||||||||||||
USD | 33,420,899 | AED | 123,220,500 | Standard Chartered Bank | 12/12/22 | | (137,885 | ) | ||||||||||||||||
USD | 29,801,366 | OMR | 11,800,000 | BNP Paribas | 12/14/22 | | (835,520 | ) | ||||||||||||||||
AED | 215,000,000 | USD | 58,551,039 | BNP Paribas | 3/1/23 | 3,944 | | |||||||||||||||||
USD | 58,402,155 | AED | 215,000,000 | BNP Paribas | 3/1/23 | | (152,828 | ) | ||||||||||||||||
AED | 28,500,000 | USD | 7,761,966 | BNP Paribas | 3/6/23 | | (33 | ) |
36 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (OTC) (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 81,979,737 | AED | 301,839,143 | BNP Paribas | 3/6/23 | $ | | $ | (225,718 | ) | ||||||||||||||
USD | 30,000,000 | AED | 110,456,400 | BNP Paribas | 3/13/23 | | (82,610 | ) | ||||||||||||||||
USD | 109,556,452 | AED | 403,354,537 | BNP Paribas | 3/13/23 | | (296,459 | ) | ||||||||||||||||
USD | 12,664,006 | SAR | 47,604,000 | Standard Chartered Bank | 3/13/23 | | (4,255 | ) | ||||||||||||||||
USD | 26,361,023 | SAR | 99,041,000 | Standard Chartered Bank | 3/14/23 | 4,560 | | |||||||||||||||||
AED | 540,959,063 | USD | 147,328,031 | Standard Chartered Bank | 3/15/23 | 1,190 | | |||||||||||||||||
USD | 146,927,879 | AED | 540,959,063 | Standard Chartered Bank | 3/15/23 | | (401,343 | ) | ||||||||||||||||
USD | 20,104,768 | BHD | 7,651,000 | Standard Chartered Bank | 3/15/23 | | (121,139 | ) | ||||||||||||||||
USD | 22,725,930 | OMR | 8,900,000 | Standard Chartered Bank | 3/15/23 | | (375,514 | ) | ||||||||||||||||
USD | 15,256,481 | BHD | 5,771,878 | Standard Chartered Bank | 3/16/23 | | (1,699 | ) | ||||||||||||||||
USD | 9,511,645 | AED | 35,000,000 | BNP Paribas | 6/21/23 | | (19,445 | ) | ||||||||||||||||
USD | 9,036,785 | SAR | 34,000,000 | Standard Chartered Bank | 7/13/23 | | (6,949 | ) | ||||||||||||||||
USD | 36,694,600 | OMR | 14,300,000 | Standard Chartered Bank | 8/23/23 | | (406,157 | ) | ||||||||||||||||
USD | 48,448,681 | OMR | 18,858,800 | Standard Chartered Bank | 11/6/23 | | (471,890 | ) | ||||||||||||||||
USD | 28,368,794 | OMR | 11,000,000 | Standard Chartered Bank | 2/22/24 | | (159,147 | ) | ||||||||||||||||
USD | 26,205,980 | SAR | 98,600,000 | Standard Chartered Bank | 3/14/24 | 6,601 | | |||||||||||||||||
USD | 17,099,396 | BHD | 6,518,000 | Standard Chartered Bank | 3/15/24 | | (71,790 | ) | ||||||||||||||||
USD | 12,408,845 | BHD | 4,730,872 | Standard Chartered Bank | 3/18/24 | | (53,934 | ) | ||||||||||||||||
USD | 26,650,006 | OMR | 10,530,750 | Standard Chartered Bank | 8/29/24 | | (689,360 | ) | ||||||||||||||||
$ | 20,647,547 | $ | (22,933,456 | ) |
Non-Deliverable Bond Forward Contracts* | ||||||||||||||||||
Settlement Date |
Notional Amount (000s omitted) |
Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) |
|||||||||||||
5/5/22 | COP | 22,431,800 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | $ | 5,667,458 | $ | (133,554 | ) | |||||||||
5/19/22 | COP | 63,301,700 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 15,993,355 | (53,594 | ) | |||||||||||
5/19/22 | COP | 27,188,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 6,869,126 | (23,018 | ) | |||||||||||
5/20/22 | COP | 21,465,880 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 5,423,416 | (85,842 | ) | |||||||||||
5/20/22 | COP | 115,547,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 29,193,279 | (85,098 | ) | |||||||||||
5/23/22 | COP | 66,792,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 16,875,215 | (64,278 | ) | |||||||||||
5/24/22 | COP | 57,441,200 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 14,512,683 | (64,654 | ) | |||||||||||
5/26/22 | COP | 69,263,320 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 17,499,576 | (133,259 | ) | |||||||||||
5/26/22 | COP | 29,239,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 7,387,468 | 13,453 | ||||||||||||
5/30/22 | COP | 67,019,600 | Republic of Colombia, 6.25%, 11/26/25 | Bank of America, N.A. | 16,932,693 | 212,167 |
37 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Non-Deliverable Bond Forward Contracts* (continued) | ||||||||||||||||||
Settlement Date |
Notional Amount (000s omitted) |
Reference Entity | Counterparty | Aggregate Cost | Unrealized Appreciation (Depreciation) |
|||||||||||||
5/30/22 | COP | 20,311,040 | Republic of Colombia, 6.00%, 4/28/28 | Goldman Sachs International | $ | 5,131,642 | $ | (20,316 | ) | |||||||||
6/9/22 | COP | 33,396,060 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 8,437,610 | (211,514 | ) | |||||||||||
6/13/22 | COP | 80,203,600 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 20,263,669 | (466,368 | ) | |||||||||||
6/16/22 | COP | 68,623,300 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 17,337,873 | (189,971 | ) | |||||||||||
6/17/22 | COP | 81,564,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 20,607,377 | (294,500 | ) | |||||||||||
6/21/22 | COP | 40,781,000 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 10,303,436 | (103,642 | ) | |||||||||||
6/24/22 | COP | 74,765,000 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 18,889,591 | (108,823 | ) | |||||||||||
6/28/22 | COP | 100,529,300 | Republic of Colombia, 5.75%, 11/3/27 | Bank of America, N.A. | 25,399,015 | 51 | ||||||||||||
7/1/22 | COP | 102,136,100 | Republic of Colombia, 6.25%, 11/26/25 | Goldman Sachs International | 25,804,977 | | ||||||||||||
$ | (1,812,760 | ) |
* | Represents a short-term forward contract to purchase the reference entity denominated in a non-deliverable foreign currency. |
Futures Contracts | ||||||||||||||||||||
Description | Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Commodity Futures |
||||||||||||||||||||
Brent Crude | 132 | Long | 5/31/22 | $ | 14,142,480 | $ | 853,756 | |||||||||||||
Equity Futures |
||||||||||||||||||||
SGX CNX Nifty Index | (522 | ) | Short | 5/26/22 | (17,730,383 | ) | 29,644 | |||||||||||||
Interest Rate Futures |
||||||||||||||||||||
Euro-Bobl | (2 | ) | Short | 6/8/22 | (268,337 | ) | (550 | ) | ||||||||||||
U.S. 5-Year Treasury Note | (330 | ) | Short | 6/30/22 | (37,181,719 | ) | 622,390 | |||||||||||||
U.S. 10-Year Treasury Note | (760 | ) | Short | 6/21/22 | (90,558,750 | ) | 1,025,693 | |||||||||||||
U.S. Long Treasury Bond | (21 | ) | Short | 6/21/22 | (2,954,438 | ) | 19,790 | |||||||||||||
U.S. Ultra-Long Treasury Bond | (437 | ) | Short | 6/21/22 | (70,111,187 | ) | 5,699,139 | |||||||||||||
$ | 8,249,862 |
38 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Inflation Swaps (Centrally Cleared) | ||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/Receives Return on Reference Index |
Reference Index | Portfolio Pays/Receives Rate |
Annual Rate |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||
EUR | 11,000 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | $ | 1,698,816 | ||||||||||
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,684,916 | |||||||||||
EUR | 10,900 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.20% (pays upon termination) | 10/15/36 | 1,684,916 | |||||||||||
EUR | 11,410 | Receives | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Pays | 2.08% (pays upon termination) | 1/15/37 | 1,878,397 | |||||||||||
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (2,226,050 | ) | ||||||||||
EUR | 10,900 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (2,231,149 | ) | ||||||||||
EUR | 11,000 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.29% (pays upon termination) | 10/15/46 | (2,246,472 | ) | ||||||||||
EUR | 11,410 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 2.18% (pays upon termination) | 1/15/47 | (2,606,246 | ) | ||||||||||
EUR | 4,350 | Pays | Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination) | Receives | 1.10% (pays upon termination) | 3/12/50 | (2,737,857 | ) | ||||||||||
USD | 18,215 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.98% (pays upon termination) | 12/2/26 | (1,004,921 | ) | ||||||||||
USD | 42,510 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.90% (pays upon termination) | 1/11/27 | (2,093,663 | ) | ||||||||||
USD | 42,520 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.89% (pays upon termination) | 1/12/27 | (2,095,678 | ) | ||||||||||
USD | 51,550 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.75% (pays upon termination) | 10/29/36 | (3,138,099 | ) | ||||||||||
USD | 18,160 | Pays | Return on CPI-U (NSA) (pays upon termination) |
Receives | 2.67% (pays upon termination) | 1/7/37 | (1,120,331 | ) | ||||||||||
USD | 34,300 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.62% (pays upon termination) | 10/29/46 | 2,323,601 | |||||||||||
USD | 17,300 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.62% (pays upon termination) | 10/29/46 | 1,163,314 | |||||||||||
USD | 18,140 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.54% (pays upon termination) | 1/7/47 | 1,415,479 | |||||||||||
USD | 5,824 | Receives | Return on CPI-U (NSA) (pays upon termination) |
Pays | 2.42% (pays upon termination) | 6/8/48 | 835,624 | |||||||||||
$ | (8,815,403 | ) |
39 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) | ||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
AUD | 347,130 | Pays | 6-month AUD Bank Bill (pays semi-annually) | 1.58% (pays semi-annually) | 1/17/24 | $(4,967,395) | $ | | $ | (4,967,395 | ) | |||||||||
CAD | 190,420 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.19% (pays semi-annually) | 1/18/24 | (1,888,310) | | (1,888,310 | ) | |||||||||||
CAD | 128,330 | Pays | 3-month Canadian Bankers Acceptances (pays quarterly) | 2.19% (pays semi-annually) | 1/18/24 | (1,269,704) | | (1,269,704 | ) | |||||||||||
CLP | 5,032,380 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.48% (pays semi-annually) | 3/29/32 | 77,170 | | 77,170 | ||||||||||||
CLP | 3,302,600 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.20% (pays semi-annually) | 4/8/32 | (30,251) | | (30,251 | ) | |||||||||||
CLP | 10,143,370 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.35% (pays semi-annually) | 4/11/32 | 41,536 | | 41,536 | ||||||||||||
CLP | 7,639,960 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.51% (pays semi-annually) | 4/14/32 | 137,498 | | 137,498 | ||||||||||||
CLP | 1,945,360 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.40% (pays semi-annually) | 4/20/32 | 16,984 | | 16,984 | ||||||||||||
CLP | 9,903,610 | Pays | 6-month Sinacofi Chile Interbank Rate (pays semi-annually) | 6.38% (pays semi-annually) | 4/22/32 | 69,481 | | 69,481 | ||||||||||||
CNY | 111,257 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.63% (pays quarterly) | 11/1/26 | 123,224 | | 123,224 | ||||||||||||
CNY | 229,058 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.63% (pays quarterly) | 11/1/26 | 253,696 | | 253,696 | ||||||||||||
CNY | 91,623 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) | 11/1/26 | 105,979 | | 105,979 | ||||||||||||
CNY | 130,890 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) | 11/1/26 | 151,399 | | 151,399 | ||||||||||||
CNY | 222,514 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) | 11/1/26 | 250,092 | | 250,092 | ||||||||||||
CNY | 307,658 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.64% (pays quarterly) | 11/1/26 | 345,789 | | 345,789 | ||||||||||||
CNY | 315,167 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.26% (pays quarterly) | 2/7/27 | (446,119) | | (446,119 | ) | |||||||||||
CNY | 113,460 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.26% (pays quarterly) | 2/8/27 | (159,030) | | (159,030 | ) | |||||||||||
CNY | 72,173 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.27% (pays quarterly) | 2/8/27 | (98,678) | | (98,678 | ) |
40 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
COP | 86,746,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.84% (pays quarterly) | 5/5/25 | $2,892,035 | $ | | $ | 2,892,035 | ||||||||||
COP | 15,180,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.85% (pays quarterly) | 5/6/25 | 504,804 | | 504,804 | ||||||||||||
COP | 100,029,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.70% (pays quarterly) | 5/7/25 | 3,441,573 | | 3,441,573 | ||||||||||||
COP | 11,171,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.49% (pays quarterly) | 5/13/25 | 403,167 | | 403,167 | ||||||||||||
COP | 11,171,850 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.54% (pays quarterly) | 5/14/25 | 399,418 | | 399,418 | ||||||||||||
COP | 40,662,300 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.19% (pays quarterly) | 6/4/25 | (1,579,321) | | (1,579,321 | ) | |||||||||||
COP | 61,940,900 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.26% (pays quarterly) | 6/5/25 | (2,377,543) | | (2,377,543 | ) | |||||||||||
COP | 85,106,600 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.34% (pays quarterly) | 6/8/25 | (3,224,768) | | (3,224,768 | ) | |||||||||||
COP | 41,729,700 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.44% (pays quarterly) | 6/9/25 | (1,551,167) | | (1,551,167 | ) | |||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.76% (pays quarterly) | 11/26/25 | 576,170 | | 576,170 | ||||||||||||
COP | 14,659,900 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 3.89% (pays quarterly) | 11/26/25 | 560,398 | | 560,398 | ||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.00% (pays quarterly) | 11/26/25 | 1,094,112 | | 1,094,112 | ||||||||||||
COP | 6,351,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.02% (pays quarterly) | 11/26/25 | 236,207 | | 236,207 | ||||||||||||
COP | 14,924,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.05% (pays quarterly) | 11/26/25 | 550,430 | | 550,430 | ||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.07% (pays quarterly) | 11/26/25 | 1,077,127 | | 1,077,127 | ||||||||||||
COP | 20,326,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.11% (pays quarterly) | 11/26/25 | 740,842 | | 740,842 | ||||||||||||
COP | 31,578,500 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.16% (pays quarterly) | 11/26/25 | 1,136,577 | | 1,136,577 | ||||||||||||
COP | 17,793,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | 634,518 | | 634,518 |
41 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.20% (pays quarterly) | 11/26/25 | $1,045,583 | $ | | $ | 1,045,583 | ||||||||||
COP | 6,192,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.21% (pays quarterly) | 11/26/25 | 220,561 | | 220,561 | ||||||||||||
COP | 25,880,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.25% (pays quarterly) | 11/26/25 | 912,225 | | 912,225 | ||||||||||||
COP | 29,320,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.28% (pays quarterly) | 11/26/25 | 1,026,171 | | 1,026,171 | ||||||||||||
COP | 15,771,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.34% (pays quarterly) | 11/26/25 | 543,646 | | 543,646 | ||||||||||||
COP | 27,035,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.53% (pays quarterly) | 11/26/25 | 890,494 | | 890,494 | ||||||||||||
COP | 15,877,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.55% (pays quarterly) | 11/26/25 | 520,869 | | 520,869 | ||||||||||||
COP | 7,859,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 245,792 | | 245,792 | ||||||||||||
COP | 66,784,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.73% (pays quarterly) | 11/26/25 | 2,091,451 | | 2,091,451 | ||||||||||||
COP | 33,040,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 1,019,669 | | 1,019,669 | ||||||||||||
COP | 66,784,856 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.78% (pays quarterly) | 11/26/25 | 2,061,054 | | 2,061,054 | ||||||||||||
COP | 33,392,440 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.81% (pays quarterly) | 11/26/25 | 1,023,618 | | 1,023,618 | ||||||||||||
COP | 57,435,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.86% (pays quarterly) | 11/26/25 | 1,734,766 | | 1,734,766 | ||||||||||||
COP | 31,722,800 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.90% (pays quarterly) | 11/26/25 | 948,809 | | 948,809 | ||||||||||||
COP | 27,035,200 | Pays | Colombia Overnight Interbank Reference Rate (pays quarterly) | 5.68% (pays quarterly) | 11/26/25 | (632,970) | | (632,970 | ) | |||||||||||
COP | 40,836,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.00% (pays quarterly) | 11/26/25 | 871,871 | | 871,871 | ||||||||||||
COP | 115,701,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.05% (pays quarterly) | 11/26/25 | 2,423,006 | | 2,423,006 | ||||||||||||
COP | 35,344,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.06% (pays quarterly) | 11/26/25 | 737,951 | | 737,951 |
42 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
COP | 74,865,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.09% (pays quarterly) | 11/26/25 | $1,546,942 | $ | | $ | 1,546,942 | ||||||||||
COP | 28,925,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.12% (pays quarterly) | 11/26/25 | 590,291 | | 590,291 | ||||||||||||
COP | 36,412,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.14% (pays quarterly) | 11/26/25 | 738,792 | | 738,792 | ||||||||||||
COP | 37,433,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.18% (pays quarterly) | 11/26/25 | 747,743 | | 747,743 | ||||||||||||
COP | 76,566,300 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 6.25% (pays quarterly) | 11/26/25 | 1,484,330 | | 1,484,330 | ||||||||||||
COP | 149,705,000 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 7.03% (pays quarterly) | 11/26/25 | 1,832,449 | | 1,832,449 | ||||||||||||
COP | 69,316,700 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.38% (pays quarterly) | 3/30/26 | 2,568,553 | | 2,568,553 | ||||||||||||
COP | 36,071,400 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.48% (pays quarterly) | 3/31/26 | 1,304,469 | | 1,304,469 | ||||||||||||
COP | 38,614,600 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.56% (pays quarterly) | 4/6/26 | 1,372,733 | | 1,372,733 | ||||||||||||
COP | 11,441,100 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.82% (pays quarterly) | 3/26/28 | 520,705 | | 520,705 | ||||||||||||
COP | 8,172,200 | Receives | Colombia Overnight Interbank Reference Rate (pays quarterly) | 4.83% (pays quarterly) | 3/26/28 | 370,938 | | 370,938 | ||||||||||||
CZK | 392,533 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.36% (pays annually) | 3/25/24 | 99,046 | | 99,046 | ||||||||||||
CZK | 392,533 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.43% (pays annually) | 3/25/24 | 78,323 | | 78,323 | ||||||||||||
CZK | 440,460 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.60% (pays annually) | 3/28/24 | 28,189 | | 28,189 | ||||||||||||
CZK | 768,046 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.54% (pays annually) | 3/30/24 | 99,452 | | 99,452 | ||||||||||||
CZK | 626,545 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.56% (pays annually) | 3/30/24 | 69,562 | | 69,562 | ||||||||||||
CZK | 768,046 | Receives | 6-month CZK PRIBOR (pays semi-annually) | 5.60% (pays annually) | 3/30/24 | 60,341 | | 60,341 | ||||||||||||
EUR | 12,416 | Receives | 1-day Euro Short-Term Rate (pays annually) |
0.78% (pays annually) | 4/7/27 | 195,366 | | 195,366 | ||||||||||||
EUR | 12,416 | Receives | 1-day Euro Short-Term Rate (pays annually) |
0.98% (pays annually) | 4/13/27 | 68,902 | | 68,902 | ||||||||||||
EUR | 17,300 | Receives | 1-day Euro Short-Term Rate (pays annually) |
(0.03)% (pays annually) | 11/9/31 | 2,275,541 | | 2,275,541 |
43 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
EUR | 19,650 | Receives | 6-month EURIBOR (pays semi-annually) | 0.81% (pays annually) | 2/22/32 | $1,687,165 | $ | | $ | 1,687,165 | ||||||||||||
EUR | 19,650 | Receives | 6-month EURIBOR (pays semi-annually) | 0.80% (pays annually) | 2/23/32 | 1,706,084 | | 1,706,084 | ||||||||||||||
EUR | 23,900 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.78% (pays annually) | 3/17/32 | 1,432,827 | | 1,432,827 | ||||||||||||||
EUR | 24,172 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.81% (pays annually) | 3/18/32 | 1,357,212 | | 1,357,212 | ||||||||||||||
EUR | 9,074 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.98% (pays annually) | 4/7/32 | 367,196 | | 367,196 | ||||||||||||||
EUR | 9,074 | Receives | 1-day Euro Short-Term Rate (pays annually) | 1.19% (pays annually) | 4/13/32 | 177,163 | | 177,163 | ||||||||||||||
EUR | 10,000 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.82% (pays annually) | 3/17/52 | 1,498,995 | | 1,498,995 | ||||||||||||||
EUR | 10,000 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.86% (pays annually) | 3/18/52 | 1,418,251 | | 1,418,251 | ||||||||||||||
EUR | 11,171 | Receives | 1-day Euro Short-Term Rate (pays annually) | 0.87% (pays annually) | 3/18/52 | 1,545,551 | | 1,545,551 | ||||||||||||||
EUR | 4,270 | Receives | 1-day Euro Short-Term Rate (pays annually) | 1.29% (pays annually) | 4/20/52 | 133,974 | 33 | 134,007 | ||||||||||||||
JPY | 1,534,582 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.56% (pays annually) | 1/11/52 | 711,151 | | 711,151 | ||||||||||||||
JPY | 1,613,311 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.56% (pays annually) | 1/11/52 | 762,629 | | 762,629 | ||||||||||||||
JPY | 1,952,107 | Receives | 1-day Overnight Tokyo Average Rate (pays annually) | 0.56% (pays annually) | 1/11/52 | 912,474 | | 912,474 | ||||||||||||||
KRW | 280,598,000 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (2,916,343) | | (2,916,343 | ) | |||||||||||||
KRW | 192,943,700 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.75% (pays quarterly) | 10/5/23 | (2,003,972) | | (2,003,972 | ) | |||||||||||||
KRW | 122,458,300 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.77% (pays quarterly) | 10/5/23 | (1,261,223) | | (1,261,223 | ) | |||||||||||||
KRW | 20,704,100 | Pays | 3-month KRW Certificate of Deposit Rate (pays quarterly) | 1.65% (pays quarterly) | 7/19/31 | (1,790,004) | | (1,790,004 | ) | |||||||||||||
NZD | 190,540 | Pays | 3-month NZD Bank Bill (pays quarterly) | 2.69% (pays semi-annually) | 1/18/24 | (1,863,702) | | (1,863,702 | ) | |||||||||||||
NZD | 186,090 | Pays | 3-month NZD Bank Bill (pays quarterly) | 2.71% (pays semi-annually) | 1/18/24 | (1,797,314) | | (1,797,314 | ) |
44 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||
NZD | 27,000 | Pays | 3-month NZD Bank Bill (pays quarterly) | 2.09% (pays semi-annually) | 9/23/31 | $(2,504,041) | $ | | $ | (2,504,041 | ) | |||||||||
PLN | 54,770 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/14/26 | 1,714,291 | | 1,714,291 | ||||||||||||
PLN | 163,380 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.49% (pays annually) | 10/15/26 | 5,115,835 | | 5,115,835 | ||||||||||||
PLN | 85,600 | Receives | 6-month PLN WIBOR (pays semi-annually) | 3.39% (pays annually) | 12/15/26 | 2,206,734 | | 2,206,734 | ||||||||||||
PLN | 71,350 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.28% (pays annually) | 10/4/31 | 3,936,014 | | 3,936,014 | ||||||||||||
PLN | 28,070 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.32% (pays annually) | 10/5/31 | 1,527,327 | | 1,527,327 | ||||||||||||
PLN | 28,720 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.32% (pays annually) | 10/5/31 | 1,562,694 | | 1,562,694 | ||||||||||||
PLN | 60,940 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.68% (pays annually) | 10/22/31 | 2,977,913 | | 2,977,913 | ||||||||||||
PLN | 29,830 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.67% (pays annually) | 10/25/31 | 1,462,080 | | 1,462,080 | ||||||||||||
PLN | 44,420 | Receives | 6-month PLN WIBOR (pays semi-annually) | 2.73% (pays annually) | 10/25/31 | 2,131,398 | | 2,131,398 | ||||||||||||
TWD | 653,926 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.87% (pays quarterly) | 11/2/26 | 791,826 | | 791,826 | ||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.87% (pays quarterly) | 11/2/26 | 1,583,651 | | 1,583,651 | ||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.88% (pays quarterly) | 11/2/26 | 1,563,911 | | 1,563,911 | ||||||||||||
TWD | 1,307,851 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.88% (pays quarterly) | 11/2/26 | 1,559,962 | | 1,559,962 | ||||||||||||
TWD | 1,752,521 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.89% (pays quarterly) | 11/2/26 | 2,069,188 | | 2,069,188 | ||||||||||||
TWD | 1,260,030 | Receives | 3-month TWD TAIBOR (pays quarterly) | 0.95% (pays quarterly) | 2/8/27 | 1,455,805 | | 1,455,805 | ||||||||||||
TWD | 423,055 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.00% (pays quarterly) | 2/9/27 | 453,259 | | 453,259 | ||||||||||||
TWD | 630,015 | Receives | 3-month TWD TAIBOR (pays quarterly) | 1.00% (pays quarterly) | 2/9/27 | 678,013 | | 678,013 | ||||||||||||
USD | 10,300 | Receives | SOFR (pays annually) |
1.21% (pays annually) | 11/29/26 | 637,124 | | 637,124 | ||||||||||||
USD | 24,050 | Receives | SOFR (pays annually) |
1.39% (pays annually) | 1/12/27 | 1,358,015 | | 1,358,015 | ||||||||||||
USD | 24,200 | Receives | SOFR (pays annually) |
1.39% (pays annually) | 1/13/27 | 1,372,220 | | 1,372,220 | ||||||||||||
USD | 48,150 | Receives | SOFR (pays annually) |
1.33% (pays annually) | 1/18/27 | 2,878,772 | | 2,878,772 | ||||||||||||
USD | 5,458 | Pays | SOFR (pays annually) |
1.60% (pays semi-annually) | 3/10/27 | (273,127) | (5,398 | ) | (278,525 | ) | ||||||||||
USD | 82,372 | Receives | SOFR (pays annually) |
1.60% (pays semi-annually) | 3/10/27 | 4,123,224 | 86,373 | 4,209,597 | ||||||||||||
USD | 50,000 | Receives | SOFR (pays annually) |
1.87% (pays annually) | 3/17/27 | 1,899,143 | | 1,899,143 |
45 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Interest Rate Swaps (Centrally Cleared) (continued) | ||||||||||||||||||||||
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
USD | 55,850 | Receives | SOFR (pays annually) |
1.87% (pays annually) | 3/17/27 | $2,134,460 | $ | | $ | 2,134,460 | ||||||||||||
USD | 21,700 | Receives | SOFR (pays annually) | 1.26% (pays annually) | 11/9/31 | 2,520,483 | | 2,520,483 | ||||||||||||||
USD | 58,623 | Receives | SOFR (pays annually) | 1.94% (pays annually) | 3/17/32 | 3,777,457 | 3,332 | 3,780,789 | ||||||||||||||
USD | 6,500 | Receives | SOFR (pays annually) | 1.43% (pays annually) | 11/9/51 | 1,367,813 | | 1,367,813 | ||||||||||||||
ZAR | 72,640 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.47% (pays quarterly) | 2/24/26 | (237,928) | 193 | (237,735 | ) | |||||||||||||
ZAR | 476,700 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.52% (pays quarterly) | 2/24/26 | (1,507,761) | 1,303 | (1,506,458 | ) | |||||||||||||
ZAR | 419,363 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.82% (pays quarterly) | 3/11/26 | (1,096,300) | 1,302 | (1,094,998 | ) | |||||||||||||
ZAR | 474,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.82% (pays quarterly) | 3/11/26 | (1,241,354) | 1,474 | (1,239,880 | ) | |||||||||||||
ZAR | 474,840 | Pays | 3-month ZAR JIBAR (pays quarterly) | 5.88% (pays quarterly) | 3/11/26 | (1,177,636) | 1,515 | (1,176,121 | ) | |||||||||||||
ZAR | 444,000 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.03% (pays quarterly) | 6/30/26 | (1,142,015) | 1,677 | (1,140,338 | ) | |||||||||||||
ZAR | 243,850 | Pays | 3-month ZAR JIBAR (pays quarterly) | 6.54% (pays quarterly) | 2/23/27 | (461,015) | | (461,015 | ) | |||||||||||||
Total |
$79,260,722 | $ | 91,804 | $ | 79,352,526 |
Interest Rate Swaps (OTC) | ||||||||||||||||||
Counterparty | Notional Amount (000s omitted) |
Portfolio Pays/Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||
Bank of America, N.A. | MYR | 145,100 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.61% (pays quarterly) | 6/15/27 | $ | 530,782 | ||||||||||
Goldman Sachs International | MYR | 140,000 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.62% (pays quarterly) | 6/15/27 | 504,723 | |||||||||||
Goldman Sachs International | MYR | 114,900 | Receives | 3-month MYR KLIBOR (pays quarterly) | 3.61% (pays quarterly) | 6/15/27 | 420,309 | |||||||||||
Total |
$ | 1,455,814 |
46 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Credit Default Swaps - Sell Protection (Centrally Cleared) | ||||||||||||||||||||||||
Reference Entity | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Current Market Annual Fixed Rate*** |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Greece | $ | 46,146 | |
1.00% (pays quarterly)(1) |
|
1.51% | 6/20/27 | $ | (1,050,213) | $ | 568,789 | $ | (481,424) | |||||||||||
Mexico | 88,206 | |
1.00% (pays quarterly)(1) |
|
4.47 | 6/20/27 | (13,023,943) | 11,153,645 | (1,870,298) | |||||||||||||||
Total |
$ | 134,352 | $ | (14,074,156) | $ | 11,722,434 | $ | (2,351,722) |
Credit Default Swaps - Buy Protection (Centrally Cleared) | ||||||||||||||||||
Reference Entity | Notional Amount(2) (000s omitted) |
Contract Annual |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||
Austria | 18,213 | 1.00% (pays quarterly)(1) |
6/20/27 | $(785,873) | $ | 763,831 | $ | (22,042) | ||||||||||
Finland | 18,801 | 0.25% (pays quarterly)(1) |
6/20/27 | (76,686) | 82,142 | 5,456 | ||||||||||||
France | 87,573 | 0.25% (pays quarterly)(1) |
6/20/27 | (101,130) | (32,334) | (133,464) | ||||||||||||
Germany | 85,444 | 0.25% (pays quarterly)(1) |
6/20/27 | (528,406) | 469,314 | (59,092) | ||||||||||||
Hungary | 19,438 | 1.00% (pays quarterly)(1) |
6/20/27 | 105,715 | (59,757) | 45,958 | ||||||||||||
Malaysia | 235,109 | 1.00% (pays quarterly)(1) |
6/20/27 | (1,187,161) | 992,512 | (194,649) | ||||||||||||
Markit CDX Emerging Markets Index (CDX.EM.31.V2) | 940 | 1.00% (pays quarterly)(1) |
6/20/24 | 56,693 | (61,709) | (5,016) | ||||||||||||
Markit CDX North America High Yield Index (CDX.NA.HY.38.V1) | 379,469 | 5.00% (pays quarterly)(1) |
6/20/27 | (8,123,625) | 21,175,560 | 13,051,935 | ||||||||||||
Markit CDX North America Investment Grade Index (CDX.NA.IG.38.V1) | 148,770 | 1.00% (pays quarterly)(1) |
6/20/27 | (1,310,119) | 1,894,930 | 584,811 | ||||||||||||
Markit iTraxx Europe Crossover Index (ITRAXX.XO.37.V1) | EUR 63,304 | 5.00% (pays quarterly)(1) |
6/20/27 | (2,355,633) | 3,806,079 | 1,450,446 | ||||||||||||
Mexico | 95,469 | 1.00% (pays quarterly)(1) |
6/20/27 | 1,595,345 | (1,403,930) | 191,415 | ||||||||||||
Philippines | 77,200 | 1.00% (pays quarterly)(1) |
6/20/27 | 330,035 | (330,132) | (97) | ||||||||||||
Poland | 40,299 | 1.00% (pays quarterly)(1) |
6/20/27 | (231,085) | 306,294 | 75,209 | ||||||||||||
Qatar | 67,769 | 1.00% (pays quarterly)(1) |
12/20/27 | (1,241,552) | 1,324,576 | 83,024 | ||||||||||||
Saudi Arabia | 27,191 | 1.00% (pays quarterly)(1) |
6/20/27 | (528,073) | 566,019 | 37,946 | ||||||||||||
Saudi Arabia | 60,727 | 1.00% (pays quarterly)(1) |
6/20/32 | (328,341) | 598,830 | 270,489 | ||||||||||||
South Africa | 85,667 | 1.00% (pays quarterly)(1) |
6/20/27 | 5,680,238 | (5,320,210) | 360,028 | ||||||||||||
South Africa | 41,600 | 1.00% (pays quarterly)(1) |
12/20/27 | 3,225,749 | (3,041,105) | 184,644 |
47 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Credit Default Swaps - Buy Protection (Centrally Cleared) (continued) | ||||||||||||||||||
Reference Entity | Notional Amount(2) (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||
South Africa | 58,700 | 1.00% (pays quarterly)(1) |
6/20/29 | $ 6,369,274 | $ | (6,118,249) | $ | 251,025 | ||||||||||
South Africa | 35,264 | 1.00% (pays quarterly)(1) |
6/20/31 | 5,092,536 | (4,914,653) | 177,883 | ||||||||||||
Turkey | 61,101 | 1.00% (pays quarterly)(1) |
6/20/27 | 12,423,804 | (12,255,724) | 168,080 | ||||||||||||
United Kingdom | 85,267 | 1.00% (pays quarterly)(1) |
6/20/27 | (3,718,943) | 3,564,285 | (154,658) | ||||||||||||
Total |
$14,362,762 | $ | 2,006,569 | $ | 16,369,331 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||||||||||||||||||||||
Reference Entity |
Counterparty | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Current Market Annual Fixed Rate*** |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Vietnam | BNP Paribas | $ | 23,200 | 1.00% (pays quarterly)(1) | 1.32% | 6/20/27 | $ | (317,354 | ) | $ | 162,046 | $ | (155,308 | ) | ||||||||||||||
Vietnam | BNP Paribas | 13,200 | 1.00% (pays quarterly)(1) | 1.32 | 6/20/27 | (180,564 | ) | 170,982 | (9,582 | ) | ||||||||||||||||||
Vietnam | Goldman Sachs International | 19,880 | 1.00% (pays quarterly)(1) | 0.65 | 6/20/24 | 167,742 | (127,038 | ) | 40,704 | |||||||||||||||||||
Vietnam | Goldman Sachs International | 32,420 | 1.00% (pays quarterly)(1) | 1.32 | 6/20/27 | (443,475 | ) | 256,918 | (186,557 | ) | ||||||||||||||||||
Vietnam | Nomura International PLC | 3,500 | 1.00% (pays quarterly)(1) | 1.32 | 6/20/27 | (47,877 | ) | 24,447 | (23,430 | ) | ||||||||||||||||||
Total |
$ | 92,200 | $ | (821,528 | ) | $ | 487,355 | $ | (334,173 | ) |
Credit Default Swaps - Buy Protection (OTC) | ||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount(2) (000s omitted) |
Contract Annual |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Czech Republic | JPMorgan Chase Bank, N.A. | 19,840 | 1.00% (pays quarterly)(1) | 12/20/26 | $ | (559,955 | ) | $ | 351,942 | $ | (208,013 | ) | ||||||||||
Dubai | Barclays Bank PLC | 6,348 | 1.00% (pays quarterly)(1) | 12/20/24 | (62,945 | ) | (55,690 | ) | (118,635 | ) | ||||||||||||
Dubai | Barclays Bank PLC | 9,572 | 1.00% (pays quarterly)(1) | 12/20/24 | (94,914 | ) | (84,046 | ) | (178,960 | ) | ||||||||||||
Egypt | Barclays Bank PLC | 9,744 | 1.00% (pays quarterly)(1) | 12/20/24 | 1,345,485 | (506,176 | ) | 839,309 | ||||||||||||||
Egypt | JPMorgan Chase Bank, N.A. | 9,097 | 1.00% (pays quarterly)(1) | 12/20/24 | 1,256,145 | (471,600 | ) | 784,545 | ||||||||||||||
Oman | Bank of America, N.A. | 17,964 | 1.00% (pays quarterly)(1) | 6/20/22 | (24,893 | ) | (24,573 | ) | (49,466 | ) |
48 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Credit Default Swaps - Buy Protection (OTC) (continued) | ||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount(2) (000s omitted) |
Contract Annual |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Oman | Bank of America, N.A. | 14,372 | 1.00% (pays quarterly)(1) | 12/20/22 | $ | (28,322 | ) | $ | (98,813 | ) | $ | (127,135 | ) | |||||||||||
Romania | Barclays Bank PLC | 19,120 | 1.00% (pays quarterly)(1) | 6/20/27 | 936,354 | (791,743 | ) | 144,611 | ||||||||||||||||
Saudi Arabia | Barclays Bank PLC | 25,486 | 1.00% (pays quarterly)(1) | 6/20/31 | (209,811 | ) | (429,104 | ) | (638,915 | ) | ||||||||||||||
Sweden | Barclays Bank PLC | 19,185 | 0.25% (pays quarterly)(1) | 6/20/27 | (118,014 | ) | 99,786 | (18,228 | ) | |||||||||||||||
Sweden | Barclays Bank PLC | 22,000 | 0.25% (pays quarterly)(1) | 6/20/27 | (135,330 | ) | 70,145 | (65,185 | ) | |||||||||||||||
Total |
$ | 2,303,800 | $ | (1,939,872 | ) | $ | 363,928 |
* | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2022, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $226,552,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
(2) | In U.S. dollars unless otherwise indicated. |
Total Return Swaps (OTC) | ||||||||||||||||||
Counterparty | Notional Amount (000s omitted) |
Portfolio Receives | Portfolio Pays | Termination Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||
Bank of America, N.A. | USD | 8,577 | Market value of 11,251,978 common shares of AI Yah Satellite Communications Company in USD (pays monthly) | Notional amount plus 1-month USD-LIBOR + 0.75% on Notional Amount (pays monthly) | 8/12/22 | $ | (399,305 | ) | ||||||||||
$ | (399,305 | ) |
49 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
Cross-Currency Swaps (OTC) | ||||||||||
Counterparty | Portfolio Receives | Portfolio Pays | Termination Date |
Value/Unrealized Appreciation (Depreciation) |
||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 3,996,922,860 (pays semi-annually)* | 2.06% on CLP equivalent of CLF 126,000 (pays semi-annually)* | 3/29/32 | $ | (76,407 | ) | ||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 2,698,942,950 (pays semi-annually)* | 2.10% on CLP equivalent of CLF 85,000 (pays semi-annually)* | 4/8/32 | (63,457 | ) | |||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 8,224,633,060 (pays semi-annually)* | 2.25% on CLP equivalent of CLF 259,000 (pays semi-annually)* | 4/11/32 | (330,803 | ) | |||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 6,084,326,010 (pays semi-annually)* | 2.00% on CLP equivalent of CLF 191,000 (pays semi-annually)* | 4/14/32 | (59,412 | ) | |||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 1,531,614,475 (pays semi-annually)* | 1.85% on CLP equivalent of CLF 47,900 (pays semi-annually)* | 4/20/32 | 15,190 | ||||||
Goldman Sachs International | 1-day Indice Camara Promedio Rate on CLP 7,619,665,200 (pays semi-annually)* | 1.84% on CLP equivalent of CLF 238,000 (pays semi-annually)* | 4/22/32 | 92,416 | ||||||
$ | (422,473 | ) |
* | At the termination date, the Portfolio will either pay or receive the USD equivalent of the difference between the initial CLP notional amount and the CLP equivalent of the CLF notional amount on such date. |
Abbreviations:
ADR | | American Depositary Receipt | ||
CPI-U (NSA) | | Consumer Price Index All Urban Non-Seasonally Adjusted | ||
EURIBOR | | Euro Interbank Offered Rate | ||
GDP | | Gross Domestic Product | ||
HICP | | Harmonised Indices of Consumer Prices | ||
LIBOR | | London Interbank Offered Rate | ||
OTC | | Over-the-counter | ||
PIK | | Payment In Kind | ||
SOFR | | Secured Overnight Financing Rate | ||
Currency Abbreviations: |
AED | | United Arab Emirates Dirham | ||
AUD | | Australian Dollar | ||
BHD | | Bahraini Dinar | ||
BRL | | Brazilian Real | ||
CAD | | Canadian Dollar | ||
CLF | | Chilean Unidad de Fomento | ||
CLP | | Chilean Peso | ||
CNH | | Yuan Renminbi Offshore | ||
CNY | | Yuan Renminbi | ||
COP | | Colombian Peso | ||
CRC | | Costa Rican Colon | ||
CZK | | Czech Koruna | ||
DOP | | Dominican Peso | ||
EGP | | Egyptian Pound | ||
EUR | | Euro | ||
GBP | | British Pound Sterling | ||
HUF | | Hungarian Forint | ||
IDR | | Indonesian Rupiah | ||
INR | | Indian Rupee | ||
ISK | | Icelandic Krona |
JPY | | Japanese Yen | ||
KES | | Kenyan Shilling | ||
KRW | | Korean Won | ||
KZT | | Kazakhstani Tenge | ||
MYR | | Malaysian Ringgit | ||
NOK | | Norwegian Krone | ||
NZD | | New Zealand Dollar | ||
OMR | | Omani Rial | ||
PEN | | Peruvian Sol | ||
PHP | | Philippine Peso | ||
PLN | | Polish Zloty | ||
RSD | | Serbian Dinar | ||
RUB | | Russian Ruble | ||
SAR | | Saudi Riyal | ||
SGD | | Singapore Dollar | ||
THB | | Thai Baht | ||
TRY | | New Turkish Lira | ||
TWD | | Taiwan New Dollar | ||
UAH | | Ukrainian Hryvnia |
50 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Portfolio of Investments (Unaudited) continued
UGX | | Ugandan Shilling | ||
USD | | United States Dollar | ||
UZS | | Uzbekistani Som | ||
ZAR | | South African Rand | ||
ZMW | | Zambian Kwacha |
51 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Statement of Assets and Liabilities (Unaudited)
Assets | April 30, 2022 | |||
Unaffiliated investments, at value (identified cost $2,179,761,894) |
$ | 1,843,699,132 | ||
Affiliated investment, at value (identified cost $111,785,737) |
111,785,737 | |||
Cash |
14,092,269 | |||
Deposits for derivatives collateral: |
||||
Futures contracts |
5,800,000 | |||
Centrally cleared derivatives |
165,754,801 | |||
OTC derivatives |
9,214,145 | |||
Foreign currency, at value (identified cost $37,633,660) |
36,691,444 | |||
Interest and dividends receivable |
35,054,838 | |||
Dividends receivable from affiliated investment |
4,308 | |||
Receivable for investments sold |
5,725,750 | |||
Receivable for variation margin on open futures contracts |
841,734 | |||
Receivable for variation margin on open centrally cleared derivatives |
3,677,694 | |||
Receivable for open forward foreign currency exchange contracts |
20,647,547 | |||
Receivable for open swap contracts |
3,372,589 | |||
Upfront payments on open non-centrally cleared swap contracts |
2,588,783 | |||
Receivable for open non-deliverable bond forward contracts |
225,671 | |||
Receivable for closed non-deliverable bond forward contracts |
196,281 | |||
Receivable from affiliate |
8,494 | |||
Total assets |
$ | 2,259,381,217 | ||
Liabilities | ||||
Cash collateral due to brokers |
$ | 6,670,000 | ||
Payable for investments purchased |
23,709,646 | |||
Payable for securities sold short, at value (proceeds $34,814,261) |
29,475,674 | |||
Payable for open forward foreign currency exchange contracts |
22,933,456 | |||
Payable for open swap contracts |
2,708,798 | |||
Upfront receipts on open non-centrally cleared swap contracts |
1,136,266 | |||
Payable for open non-deliverable bond forward contracts |
2,038,431 | |||
Payable for closed non-deliverable bond forward contracts |
99,608 | |||
Payable to affiliates: |
||||
Investment adviser fee |
1,704,797 | |||
Trustees fees |
9,218 | |||
Interest payable on securities sold short |
123,023 | |||
Accrued expenses |
941,996 | |||
Total liabilities |
$ | 91,550,913 | ||
Net Assets applicable to investors interest in Portfolio |
$ | 2,167,830,304 |
52 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Statement of Operations (Unaudited)
Investment Income | Six Months Ended April 30, 2022 |
|||
Dividend income (net of foreign taxes withheld of $218,557) |
$ | 2,741,279 | ||
Dividend income from affiliated investments |
91,107 | |||
Interest and other income (net of foreign taxes withheld of $600,309) |
72,959,108 | |||
Total investment income |
$ | 75,791,494 | ||
Expenses | ||||
Investment adviser fee |
$ | 11,294,388 | ||
Trustees fees and expenses |
54,250 | |||
Custodian fee |
818,800 | |||
Legal and accounting services |
153,249 | |||
Interest expense and fees |
314,104 | |||
Interest and dividend expense on securities sold short |
1,486,484 | |||
Miscellaneous |
31,067 | |||
Total expenses |
$ | 14,152,342 | ||
Deduct: |
||||
Waiver and/or reimbursement of expenses by affiliate |
$ | 150,936 | ||
Total expense reductions |
$ | 150,936 | ||
Net expenses |
$ | 14,001,406 | ||
Net investment income |
$ | 61,790,088 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss): |
||||
Investment transactions (net of foreign capital gains taxes of $53) |
$ | (38,843,453 | ) | |
Investment transactions - affiliated investment |
(26,308 | ) | ||
Securities sold short |
(1,787,020 | ) | ||
Futures contracts |
33,018,043 | |||
Swap contracts |
129,408,400 | |||
Foreign currency transactions |
(112,212,440 | ) | ||
Forward foreign currency exchange contracts |
168,030,892 | |||
Non-deliverable bond forward contracts |
(20,483,984 | ) | ||
Net realized gain |
$ | 157,104,130 | ||
Change in unrealized appreciation (depreciation): |
||||
Investments (including net decrease in accrued foreign capital gains taxes of $29,779) |
$ | (303,331,286 | ) | |
Securities sold short |
8,031,102 | |||
Futures contracts |
(1,451,468 | ) | ||
Swap contracts |
91,440,789 | |||
Foreign currency |
(2,205,623 | ) | ||
Forward foreign currency exchange contracts |
(22,023,183 | ) | ||
Non-deliverable bond forward contracts |
(92,210 | ) | ||
Net change in unrealized appreciation (depreciation) |
$ | (229,631,879 | ) | |
Net realized and unrealized loss |
$ | (72,527,749 | ) | |
Net decrease in net assets from operations |
$ | (10,737,661 | ) |
53 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, 2021 |
||||||
From operations: |
||||||||
Net investment income |
$ | 61,790,088 | $ | 163,892,797 | ||||
Net realized gain (loss) |
157,104,130 | (45,072,641 | ) | |||||
Net change in unrealized appreciation (depreciation) |
(229,631,879 | ) | 61,571,718 | |||||
Net increase (decrease) in net assets from operations |
$ | (10,737,661 | ) | $ | 180,391,874 | |||
Capital transactions: |
||||||||
Contributions |
$ | 131,377,352 | $ | 424,628,148 | ||||
Withdrawals |
(584,964,783 | ) | (1,018,584,474 | ) | ||||
Net decrease in net assets from capital transactions |
$ | (453,587,431 | ) | $ | (593,956,326 | ) | ||
Net decrease in net assets |
$ | (464,325,092 | ) | $ | (413,564,452 | ) | ||
Net Assets | ||||||||
At beginning of period |
$ | 2,632,155,396 | $ | 3,045,719,848 | ||||
At end of period |
$ | 2,167,830,304 | $ | 2,632,155,396 |
54 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Consolidated Financial Highlights
Six Months Ended April 30, 2022 (Unaudited) |
Year Ended October 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Ratios (as a percentage of average daily net assets): |
||||||||||||||||||||||||
Expenses(1) |
1.17 | %(2)(3)(4) | 1.12 | % | 1.11 | %(3) | 1.26 | %(3) | 1.11 | %(3) | 1.13 | % | ||||||||||||
Net investment income |
5.19 | %(2) | 5.37 | % | 5.69 | % | 5.86 | % | 5.09 | % | 4.54 | % | ||||||||||||
Portfolio Turnover |
40 | %(5) | 82 | % | 80 | % | 71 | % | 75 | % | 76 | % | ||||||||||||
Total Return |
(0.69 | )%(5) | 5.94 | % | 6.57 | %(3) | 8.22 | %(3) | (7.08 | )%(3) | 5.65 | % | ||||||||||||
Net assets, end of period (000s omitted) |
$ | 2,167,830 | $ | 2,632,155 | $ | 3,045,720 | $ | 3,331,278 | $ | 4,516,938 | $ | 4,067,979 |
(1) | Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.15%, 0.11%, 0.09%, 0.24%, 0.07% and 0.06% of average daily net assets for the six months ended April 30, 2022 and the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively. |
(2) | Annualized. |
(3) | The investment adviser reimbursed certain operating expenses (equal to 0.01%, 0.04%, 0.05% and 0.03% of average daily net assets for the six months ended April 30, 2022 and the years ended October 31, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Includes a reduction by the investment adviser of a portion of its adviser fee (equal to less than 0.005% of average daily net assets for the six months ended April 30, 2022). |
(5) | Not annualized. |
55 | See Notes to Consolidated Financial Statements. |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited)
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 Portfolios investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2022, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Short Duration Strategic Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 78.2%, 20.8% 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 April 30, 2022 were $17,409,848 or 0.8% of the Portfolios consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service.
Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices.
Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign financial futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolios forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Foreign Securities, Futures Contracts and Currencies. Foreign securities, futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign futures contracts that meet certain criteria, the Portfolios Trustees have approved the use of a fair value service that values such securities and foreign futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign futures contracts.
Other. Investments in management investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value as of the close of each business day.
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Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the securitys fair value, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the securitys 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 companys or entitys financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolios understanding of the applicable countries tax rules and rates.
D Federal and Other Taxes The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolios 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 investors distributive share of the Portfolios net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.
In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiarys income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.
As of April 30, 2022, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Foreign Currency Translation Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
F Unfunded Loan Commitments The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrowers discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.
G Use of Estimates The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications Under the Portfolios 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 Portfolios Declaration of Trust contains an express disclaimer of
liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolios 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.
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I Futures Contracts Upon entering into a futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index, or commodity and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange and Non-Deliverable Bond Forward Contracts The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be centrally cleared, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.
K Purchased Options Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolios policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
L Interest Rate Swaps Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of
the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.
M Inflation Swaps Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. The accounting policy for payments received or made and changes in the underlying value of the inflation swap are the same as for interest rate swaps as described above. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from the unanticipated movements in value of interest rates or the index.
N Cross-Currency Swaps Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
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O Credit Default Swaps When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 6 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
P Total Return Swaps In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
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 Portfolios risk for purchased swaptions is limited to the premium paid. The writer of a swaption
bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
R Repurchase Agreements A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.
S Securities Sold Short A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. When making a short sale, the Portfolio segregates liquid assets with the custodian equal to its obligations under the
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Notes to Consolidated Financial Statements (Unaudited) continued
short sale. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.
T Stripped Mortgage-Backed Securities The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, forms of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.
U Interim Consolidated Financial Statements The interim consolidated financial statements relating to April 30, 2022 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolios management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. The Portfolio and Subsidiary each pay BMR a fee computed at an annual rate as a percentage of its respective average daily net assets as follows and is payable monthly:
Average Daily Net Assets | Annual Fee Rate | |||
Up to $500 million |
1.000 | % | ||
$500 million but less than $1 billion |
0.950 | % | ||
$1 billion but less than $2.5 billion |
0.925 | % | ||
$2.5 billion but less than $5 billion |
0.900 | % | ||
$5 billion and over |
0.880 | % |
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 Portfolios average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiarys average daily net assets to determine the amount of the investment adviser fee. For the six months ended April 30, 2022, the Portfolios investment adviser fee amounted to $11,294,388 or 0.95% (annualized) of the Portfolios consolidated average daily net assets. Effective April 26, 2022, the Portfolio may invest in a money market fund, the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio (the Liquidity Fund), an open-end management investment company managed by Morgan Stanley Investment Management Inc., a wholly-owned subsidiary of Morgan Stanley. The investment adviser fee paid by the Portfolio is reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Portfolio due to its investment in the Liquidity Fund. For the six months ended April 30, 2022, the investment adviser fee paid was reduced by $1,034 relating to the Portfolios investment in the Liquidity Fund. Prior to April 26, 2022, the Portfolio may have invested its cash in Eaton Vance Cash Reserves Fund (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). EVM did not receive a fee for advisory services provided to Cash Reserves Fund. Pursuant to a voluntary expense reimbursement, BMR was allocated $149,902 of the Portfolios operating expenses for the six months ended April 30, 2022.
Pursuant to an investment sub-advisory agreement effective March 16, 2022, BMR has delegated a portion of the investment management of the Portfolio to Eaton Vance Advisers International Ltd. (EVAIL), an affiliate of BMR and an indirect, wholly-owned subsidiary of Morgan Stanley. EVAIL uses the portfolio management, research and other resources of its affiliate, MSIM Fund Management (Ireland) Limited (MSIM FMIL), to render investment advisory services to the Portfolio. MSIM FMIL has entered into a Memorandum of Understanding with EVAIL pursuant to which MSIM FMIL is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. BMR pays EVAIL a portion of its investment adviser fee for sub-advisory services provided to the Portfolio.
Trustees and officers of the Portfolio who are members of EVMs or BMRs organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2022, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
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3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the six months ended April 30, 2022 were as follows:
Purchases | Sales | |||||||
Investments (non-U.S. Government) |
$ | 899,837,208 | $ | 709,337,605 | ||||
U.S. Government and Agency Securities |
42,088,964 | 3,750,282 | ||||||
$ | 941,926,172 | $ | 713,087,887 |
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolios investment in the Subsidiary, at April 30, 2022, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$ | 2,338,955,686 | ||
Gross unrealized appreciation |
$ | 143,130,719 | ||
Gross unrealized depreciation |
(462,795,531 | ) | ||
Net unrealized depreciation |
$ | (319,664,812 | ) |
5 Restricted Securities
At April 30, 2022, the Portfolio owned the following securities (representing 0.7% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
Description | Date(s) of Acquisition |
Shares | Cost | Value | ||||||||||||
Reinsurance Side Cars |
||||||||||||||||
Mt. Logan Re, Ltd., Series A-1 |
12/30/20 | 8,600 | $ | 8,600,000 | $ | 7,901,460 | ||||||||||
Sussex Capital, Ltd., Designated Investment Series 14, 12/21 |
1/24/22 | 1,114 | | 1,101,713 | ||||||||||||
Sussex Capital, Ltd., Series 14, Preference Shares |
6/1/21 | 7,500 | 7,500,000 | 6,521,097 | ||||||||||||
Total Restricted Securities |
$ | 16,100,000 | $ | 15,524,270 |
6 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, non-deliverable bond forward contracts, futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2022 is included in the Consolidated Portfolio of Investments. At April 30, 2022, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
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In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including commodity futures contracts, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities and to manage certain investment risks.
Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.
Equity Price Risk: The Portfolio enters into equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including non-deliverable bond forward contracts, interest rate futures contracts, interest rate swaps and swaptions, inflation swaps, cross-currency swaps and option contracts to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.
The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolios net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2022, the fair value of derivatives with credit-related contingent features in a net liability position was $28,124,725. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $41,421,071 at April 30, 2022.
The OTC derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolios net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolios custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2022 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2022. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.
62 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2022 was as follows:
Fair Value | ||||||||||||||||||||||||
Consolidated Statement of Assets and Liabilities Caption |
Commodity | Credit | Equity Price |
Foreign Exchange |
Interest Rate |
Total | ||||||||||||||||||
Unaffiliated investments, at value |
$ | | $ | | $ | | $ | | $ | 379,303 | $ | 379,303 | ||||||||||||
Not applicable |
853,756 | * | 34,879,389 | * | 29,644 | * | 50,121,502 | * | 138,811,788 | * | 224,696,079 | |||||||||||||
Receivable for open forward foreign currency exchange contracts |
| | | 20,647,547 | | 20,647,547 | ||||||||||||||||||
Receivable/Payable for open swap contracts; |
||||||||||||||||||||||||
Upfront payments/receipts on open non-centrally cleared swap contracts |
| 3,705,726 | | | 1,563,420 | 5,269,146 | ||||||||||||||||||
Receivable for open non-deliverable bond forward contracts |
| | | | 225,671 | 225,671 | ||||||||||||||||||
Total Asset Derivatives |
$ | 853,756 | $ | 38,585,115 | $ | 29,644 | $ | 70,769,049 | $ | 140,980,182 | $ | 251,217,746 | ||||||||||||
Derivatives not subject to master netting or similar agreements |
$ | 853,756 | $ | 34,879,389 | $ | 29,644 | $ | 50,121,502 | $ | 138,811,788 | $ | 224,696,079 | ||||||||||||
Total Asset Derivatives subject to master netting or similar agreements |
$ | | $ | 3,705,726 | $ | | $ | 20,647,547 | $ | 2,168,394 | $ | 26,521,667 | ||||||||||||
Not applicable |
$ | | $ | (34,590,783 | )* | $ | | $ | (47,831,327 | )* | $ | (61,000,007 | )* | $ | (143,422,117 | ) | ||||||||
Payable for open forward foreign currency exchange contracts |
| | | (22,933,456 | ) | | (22,933,456 | ) | ||||||||||||||||
Payable/Receivable for open swap contracts; |
||||||||||||||||||||||||
Upfront payments/receipts on open non-centrally cleared swap contracts |
| (2,223,454 | ) | (399,305 | ) | | (530,079 | ) | (3,152,838 | ) | ||||||||||||||
Payable for open non-deliverable bond forward contracts |
| | | | (2,038,431 | ) | (2,038,431 | ) | ||||||||||||||||
Total Liability Derivatives |
$ | | $ | (36,814,237 | ) | $ | (399,305 | ) | $ | (70,764,783 | ) | $ | (63,568,517 | ) | $ | (171,546,842 | ) | |||||||
Derivatives not subject to master netting or similar agreements |
$ | | $ | (34,590,783 | ) | $ | | $ | (47,831,327 | ) | $ | (61,000,007 | ) | $ | (143,422,117 | ) | ||||||||
Total Liability Derivatives subject to master netting or similar agreements |
$ | | $ | (2,223,454 | ) | $ | (399,305 | ) | $ | (22,933,456 | ) | $ | (2,568,510 | ) | $ | (28,124,725 | ) |
* | Only the current days variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
63 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
The Portfolios derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolios derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of April 30, 2022.
Counterparty | Derivative Assets Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Received(a) |
Cash Collateral Received(a) |
Net Amount of Derivative Assets(b) |
Total Cash Collateral Received |
||||||||||||||||||
Bank of America, N.A. |
$ | 3,353,795 | $ | (3,353,795 | ) | $ | | $ | | $ | | $ | | |||||||||||
Barclays Bank PLC |
2,281,839 | (1,053,258 | ) | (1,228,581 | ) | | | | ||||||||||||||||
BNP Paribas |
4,653,751 | (3,119,103 | ) | (1,534,648 | ) | | | | ||||||||||||||||
Citibank, N.A. |
3,937,128 | (1,126,195 | ) | | | 2,810,933 | | |||||||||||||||||
Goldman Sachs International |
2,123,401 | (2,123,401 | ) | | | | | |||||||||||||||||
ICBC Standard Bank PLC |
536,478 | (63,445 | ) | | (370,000 | ) | 103,033 | 370,000 | ||||||||||||||||
JPMorgan Chase Bank, N.A. |
2,187,513 | (566,831 | ) | | (1,620,682 | ) | | 6,300,000 | ||||||||||||||||
Standard Chartered Bank |
4,355,086 | (4,355,086 | ) | | | | | |||||||||||||||||
State Street Bank and Trust Company |
40,423 | | | | 40,423 | | ||||||||||||||||||
UBS AG |
3,052,253 | (1,599,874 | ) | (937,303 | ) | | 515,076 | | ||||||||||||||||
$ | 26,521,667 | $ | (17,360,988 | ) | $ | (3,700,532 | ) | $ | (1,990,682 | ) | $ | 3,469,465 | $ | 6,670,000 | ||||||||||
Counterparty | Derivative Liabilities Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Pledged(a) |
Cash Collateral Pledged(a) |
Net Amount of Derivative Liabilities(c) |
Total Cash Collateral Pledged |
||||||||||||||||||
Bank of America, N.A. |
$ | (4,022,799 | ) | $ | 3,353,795 | $ | 669,004 | $ | | $ | | $ | | |||||||||||
Barclays Bank PLC |
(1,053,258 | ) | 1,053,258 | | | | | |||||||||||||||||
BNP Paribas |
(3,119,103 | ) | 3,119,103 | | | | | |||||||||||||||||
Citibank, N.A. |
(1,126,195 | ) | 1,126,195 | | | | 2,544,145 | |||||||||||||||||
Credit Agricole Corporate and Investment Bank |
(256,130 | ) | | 239,994 | | (16,136 | ) | | ||||||||||||||||
Deutsche Bank AG |
(183,507 | ) | | 131,977 | | (51,530 | ) | | ||||||||||||||||
Goldman Sachs International |
(6,919,078 | ) | 2,123,401 | 4,795,677 | | | | |||||||||||||||||
HSBC Bank USA, N.A. |
(15,000 | ) | | 15,000 | | | | |||||||||||||||||
ICBC Standard Bank PLC |
(63,445 | ) | 63,445 | | | | | |||||||||||||||||
JPMorgan Chase Bank, N.A. |
(566,831 | ) | 566,831 | | | | | |||||||||||||||||
Nomura International PLC |
(47,877 | ) | | 47,877 | | | | |||||||||||||||||
Standard Chartered Bank |
(9,151,628 | ) | 4,355,086 | 4,796,542 | | | | |||||||||||||||||
UBS AG |
(1,599,874 | ) | 1,599,874 | | | | | |||||||||||||||||
$ | (28,124,725 | ) | $ | 17,360,988 | $ | 10,696,071 | $ | | $ | (67,666 | ) | $ | 2,544,145 | |||||||||||
Total Deposits for derivatives collateral OTC derivatives |
|
$ | 9,214,145 |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
64 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2022 was as follows:
Consolidated Statement of Operations Caption |
Commodity | Credit | Equity Price |
Foreign Exchange |
Interest Rate |
Total | ||||||||||||||||||
Net realized gain (loss): |
||||||||||||||||||||||||
Investment transactions |
$ | | $ | | $ | | $ | | $ | (6,323,036 | ) | $ | (6,323,036 | ) | ||||||||||
Futures contracts |
10,659,366 | | 1,787,548 | | 20,571,129 | 33,018,043 | ||||||||||||||||||
Swap contracts |
(22,705,684 | ) | 137,004,532 | (499,053 | ) | 2,356 | 15,606,249 | 129,408,400 | ||||||||||||||||
Forward foreign currency exchange contracts |
| | | 168,030,892 | | 168,030,892 | ||||||||||||||||||
Non-deliverable bond forward contracts |
| | | | (20,483,984 | ) | (20,483,984 | ) | ||||||||||||||||
Total |
$ | (12,046,318 | ) | $ | 137,004,532 | $ | 1,288,495 | $ | 168,033,248 | $ | 9,370,358 | $ | 303,650,315 | |||||||||||
Change in unrealized appreciation (depreciation): |
||||||||||||||||||||||||
Investments |
$ | | $ | | $ | | $ | | $ | 5,750,578 | $ | 5,750,578 | ||||||||||||
Futures contracts |
853,756 | | (1,063,196 | ) | | (1,242,028 | ) | (1,451,468 | ) | |||||||||||||||
Swap contracts |
6,506,802 | 15,833,792 | (1,913,126 | ) | | 71,013,321 | 91,440,789 | |||||||||||||||||
Forward foreign currency exchange contracts |
| | | (22,023,183 | ) | | (22,023,183 | ) | ||||||||||||||||
Non-deliverable bond forward contracts |
| | | | (92,210 | ) | (92,210 | ) | ||||||||||||||||
Total |
$ | 7,360,558 | $ | 15,833,792 | $ | (2,976,322 | ) | $ | (22,023,183 | ) | $ | 75,429,661 | $ | 73,624,506 |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2022, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts Long |
Futures Contracts Short |
Forward Foreign Currency Exchange Contracts* |
Non-Deliverable Bond Forward Contracts |
Purchased Swaptions |
||||||||||||||
$71,188,000 | $ | 381,781,000 | $ | 5,132,636,000 | $ | 288,692,000 | $ | 125,750,000 |
Purchased Call Options |
Swap Contracts | |
$1,817,900,000 | $6,966,624,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
65 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
7 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in an $800 million unsecured line of credit agreement with a group of banks, which is in effect through October 25, 2022. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. In connection with the renewal of the agreement in October 2021, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2022.
8 Investments in Affiliated Funds
At April 30, 2022, the value of the Portfolios investment in affiliated funds was $111,785,737, which represents 5.2% of the Portfolios net assets. Transactions in affiliated funds by the Portfolio for the six months ended April 30, 2022 were as follows:
Name | Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in (depreciation) |
Value, end of period |
Dividend income |
Units/ Shares, end of period |
||||||||||||||||||||||||
Short-Term Investments |
||||||||||||||||||||||||||||||||
Cash Reserves Fund |
$ | 244,492,544 | $ | 1,346,185,859 | $ | (1,590,652,095 | ) | $ | (26,308 | ) | $ | | $ | | $ | 86,799 | | |||||||||||||||
Liquidity Fund |
| 125,475,915 | (13,690,178 | ) | | | 111,785,737 | 4,308 | 111,785,737 | |||||||||||||||||||||||
Total |
$ | (26,308 | ) | $ | | $ | 111,785,737 | $ | 91,107 |
9 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At April 30, 2022, the hierarchy of inputs used in valuing the Portfolios investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities |
$ | | $ | 47,580,994 | $ | | $ | 47,580,994 | ||||||||
Collateralized Mortgage Obligations |
| 44,312,389 | | 44,312,389 | ||||||||||||
Common Stocks |
26,128,864 | 100,016,736 | * | 411,804 | 126,557,404 | |||||||||||
Convertible Bonds |
| 7,928,465 | | 7,928,465 | ||||||||||||
Foreign Corporate Bonds |
| 205,082,109 | 0 | 205,082,109 | ||||||||||||
Loan Participation Notes |
| | 51,337,743 | 51,337,743 | ||||||||||||
Reinsurance Side Cars |
| | 24,405,980 | 24,405,980 | ||||||||||||
Senior Floating-Rate Loans |
| 7,885,015 | 906,940 | 8,791,955 | ||||||||||||
Sovereign Government Bonds |
| 957,017,746 | 102,062,643 | 1,059,080,389 |
66 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Sovereign Loans |
$ | | $ | 159,766,502 | $ | | $ | 159,766,502 | ||||||||
U.S. Government Guaranteed Small Business |
||||||||||||||||
Administration Loans |
| 21,656,256 | | 21,656,256 | ||||||||||||
Warrants |
96,425 | | | 96,425 | ||||||||||||
Short-Term Investments: |
||||||||||||||||
Affiliated Fund |
111,785,737 | | | 111,785,737 | ||||||||||||
Repurchase Agreements |
| 31,730,948 | | 31,730,948 | ||||||||||||
U.S. Treasury Obligations |
| 54,992,270 | | 54,992,270 | ||||||||||||
Purchased Call Options |
| 379,303 | | 379,303 | ||||||||||||
Total Investments |
$ | 138,011,026 | $ | 1,638,348,733 | $ | 179,125,110 | $ | 1,955,484,869 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 70,769,049 | $ | | $ | 70,769,049 | ||||||||
Non-Deliverable Bond Forward Contracts |
| 225,671 | | 225,671 | ||||||||||||
Futures Contracts |
8,220,768 | 29,644 | | 8,250,412 | ||||||||||||
Swap Contracts |
| 171,593,311 | | 171,593,311 | ||||||||||||
Total |
$ | 146,231,794 | $ | 1,880,966,408 | $ | 179,125,110 | $ | 2,206,323,312 | ||||||||
Liability Description |
||||||||||||||||
Securities Sold Short |
$ | | $ | (29,475,674 | ) | $ | | $ | (29,475,674 | ) | ||||||
Forward Foreign Currency Exchange Contracts |
| (70,764,783 | ) | | (70,764,783 | ) | ||||||||||
Non-Deliverable Bond Forward Contracts |
| (2,038,431 | ) | | (2,038,431 | ) | ||||||||||
Futures Contracts |
(550 | ) | | | (550 | ) | ||||||||||
Swap Contracts |
| (98,743,078 | ) | | (98,743,078 | ) | ||||||||||
Total |
$ | (550 | ) | $ | (201,021,966 | ) | $ | | $ | (201,022,516 | ) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in Senior Floating- Rate Loans |
Investments in Foreign Corporate Bonds |
Investments in Loan Participation Notes |
Investments in Common Stocks |
Investments in Reinsurance Side Cars* |
Investments in Sovereign Government Bonds |
Total | ||||||||||||||||||||||
Balance as of October 31, 2021 |
$ | 977,300 | $ | 0 | $ | 55,266,184 | $ | 390,302 | $ | 22,146,350 | $ | | $ | 78,780,136 | ||||||||||||||
Realized gains (losses) |
| | | | | (2,722,802 | ) | (2,722,802 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) |
(144,307 | ) | | (4,390,204 | ) | 21,502 | 129,630 | (143,748,357 | ) | (148,131,736 | ) | |||||||||||||||||
Cost of purchases |
| | | | 7,100,000 | 34,373,967 | 41,473,967 | |||||||||||||||||||||
Proceeds from sales, including return of capital |
| | | | (4,970,000 | ) | (37,257,452 | ) | (42,227,452 | ) | ||||||||||||||||||
Accrued discount (premium) |
73,947 | | 461,763 | | | 548,992 | 1,084,702 | |||||||||||||||||||||
Transfers to Level 3 |
| | | | | 250,868,295 | 250,868,295 | |||||||||||||||||||||
Transfers from Level 3 |
| | | | | | | |||||||||||||||||||||
Balance as of April 30, 2022 |
$ | 906,940 | $ | 0 | $ | 51,337,743 | $ | 411,804 | $ | 24,405,980 | $ | 102,062,643 | $ | 179,125,110 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2022 |
$ | (144,307 | ) | $ | | $ | (4,390,204 | ) | $ | 21,502 | $ | 178,336 | $ | (122,292,996 | ) | $ | (126,627,669 | ) |
* | The Portfolios investments in Reinsurance Side Cars were primarily valued on the basis of broker quotations. |
67 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
The following is a summary of quantitative information about significant unobservable valuation inputs for Level 3 investments held as of April 30, 2022:
Type of Investment | Fair Value as of April 30, 2022 |
Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* | |||||||||
Common Stocks |
$ | 411,804 | Market Approach | EBITDA Multiple Discount Rate | 15 | % | Decrease | |||||||
Foreign Corporate Bonds |
0 | Estimated Recovery Value | Estimated Recovery Value Percentage |
0 | % | Increase | ||||||||
Loan Participation Notes |
51,337,743 | Matrix Pricing | Ajdusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate |
3.98 | % | Decrease | ||||||||
Senior Floating-Rate Loans |
906,940 | Market Approach | Discount Rate | 10 | % | Decrease | ||||||||
Sovereign Government Bonds |
102,062,643 | Third Party Indication of Value | Foreign Currency Exchange Rate | |
33.30 UAH/USD |
Decrease |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
10 Risks and Uncertainties
Risks Associated with Foreign Investments
Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.
Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.
On February 24, 2022, Russia launched an invasion of Ukraine, following rising tensions over the buildup of Russian troops along the Ukrainian border and joint military exercises by Russia with Belarus. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. The conflict and sanctions have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Belarus and Ukraine. The conflict could also have a significant effect on investments outside the region. The duration and extent of the military conflict with Russia and the related sanctions cannot be predicted at this time.
LIBOR Transition Risk
Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (LIBOR), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, ceased publishing certain LIBOR settings on December 31, 2021, and is expected to cease publishing the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.
68 |
Global Macro Absolute Return Advantage Portfolio
April 30, 2022
Notes to Consolidated Financial Statements (Unaudited) continued
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks of disease, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and industries, and could continue to affect the market in significant and unforeseen ways. Other epidemics and pandemics that may arise in the future may have similar effects. Any such impact could adversely affect the Portfolios performance, or the performance of the securities in which the Portfolio invests.
69 |
Eaton Vance
Global Macro Absolute Return Advantage Fund
April 30, 2022
Officers of Eaton Vance Global Macro Absolute Return Advantage Fund
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Officers of Global Macro Absolute Return Advantage Portfolio
Eric A. Stein
President
Deidre E. Walsh
Vice President and Chief Legal Officer
James F. Kirchner
Treasurer
Jill R. Damon
Secretary
Richard F. Froio
Chief Compliance Officer
Trustees of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio
George J. Gorman
Chairperson
Alan C. Bowser**
Thomas E. Faust Jr.*
Mark R. Fetting
Cynthia E. Frost
Valerie A. Mosley
William H. Park
Helen Frame Peters
Keith Quinton
Marcus L. Smith
Susan J. Sutherland
Scott E. Wennerholm
Nancy A. Wiser**
* | Interested Trustee |
** | Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022. |
70 |
Eaton Vance Funds
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? | |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income ∎ investment experience and risk tolerance ∎ checking account number and wire transfer instructions | |
How? | All financial companies need to share customers personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. | |
Reasons we can share your personal information |
Does Eaton Vance share? | Can you limit this sharing? | ||
For our everyday business purposes such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We dont share | ||
For our investment management affiliates everyday business purposes information about your transactions, experiences, and creditworthiness | Yes | Yes | ||
For our affiliates everyday business purposes information about your transactions and experiences | Yes | No | ||
For our affiliates everyday business purposes information about your creditworthiness | No | We dont share | ||
For our investment management affiliates to market to you | Yes | Yes | ||
For our affiliates to market to you | No | We dont share | ||
For nonaffiliates to market to you | No | We dont share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com
Please note:
If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. | |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com | |
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Eaton Vance Funds
Privacy Notice continued | April 2021 |
Page 2 |
Who we are | ||
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Managements Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (Eaton Vance) (see Investment Management Affiliates definition below) | |
What we do | ||
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. | |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you
∎ open an account or make deposits or withdrawals from your account ∎ buy securities from us or make a wire transfer ∎ give us your contact information
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why cant I limit all sharing? | Federal law gives you the right to limit only
∎ sharing for affiliates everyday business purposes information about your creditworthiness ∎ affiliates from using your information to market to you ∎ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
Definitions | ||
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Eaton Vance does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Eaton Vance doesnt jointly market. | |
Other important information | ||
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.
California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
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Eaton Vance Funds
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called householding and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SECs website at www.sec.gov.
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds and Portfolios Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SECs website at www.sec.gov.
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Investment Adviser of Global Macro Absolute Return Advantage Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance Global Macro Absolute Return Advantage Fund
Eaton Vance Management
Two International Place
Boston, MA 02110
Investment Sub-Adviser
Eaton Vance Advisers International Ltd.
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Fund Offices
Two International Place
Boston, MA 02110
* | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
7772 4.30.22
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants 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 Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrants Code of Ethics Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurers Section 302 certification. | |
(a)(2)(ii) | Presidents 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: | June 23, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | June 23, 2022 |
By: |
/s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2022 |
Global Macro Absolute Return Advantage Portfolio
FORM N-CSR
Exhibit 13(a)(2)(i)
CERTIFICATION
I, James F. Kirchner, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 23, 2022 | /s/ James F. Kirchner | |||||
James F. Kirchner | ||||||
Treasurer |
Global Macro Absolute Return Advantage Portfolio
FORM N-CSR
Exhibit 13(a)(2)(ii)
CERTIFICATION
I, Eric A. Stein, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: June 23, 2022 | /s/ Eric A. Stein | |||||
Eric A. Stein | ||||||
President |
Form N-CSR Item 13(b) Exhibit
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Global Macro Absolute Return Advantage Portfolio (the Portfolio), that:
(a) | The Semiannual Report of the Portfolio on Form N-CSR for the period ended April 30, 2022 (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(b) | The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Portfolio for such period. |
A signed original of this written statement required by section 906 has been provided to the Portfolio and will be retained by the Portfolio and furnished to the Securities and Exchange Commission or its staff upon request.
Global Macro Absolute Return Advantage Portfolio
Date: June 23, 2022 |
/s/ James F. Kirchner |
James F. Kirchner |
Treasurer |
Date: June 23, 2022 |
/s/ Eric A. Stein |
Eric A. Stein |
President |