NPORT-EX 2 globalmacroportfolio_nported.htm globalmacroportfolio_nported.htm - Generated by SEC Publisher for SEC Filing

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited)

 

Foreign Government Bonds — 50.8%

 

Security

 

 

Principal
Amount
(000's omitted)

 

Value

 

 

Albania — 0.0%(1)

 

Republic of Albania, 5.75%, 11/12/20(2)

 

EUR

1,000

 

$

1,160,343

 

 

Total Albania

$

1,160,343

 

 

Australia — 2.1%

 

Australia Government Bond, 0.75%, 11/21/27(2)(3)

 

AUD

33,411

 

$

24,668,877

 

 

Australia Government Bond, 2.50%, 9/20/30(2)(3)

 

AUD

57,110

 

 

50,501,968

 

 

Total Australia

$

75,170,845

 

 

Barbados — 1.3%

 

Government of Barbados, 6.50%, 2/1/21(4)

 

USD

8,439

 

$

8,485,616

 

 

Government of Barbados, 6.50%, 10/1/29(4)

 

USD

37,137

 

 

37,648,039

 

 

Total Barbados

$

46,133,655

 

 

Benin — 0.5%

 

Benin Government International Bond, 5.75%, 3/26/26(2)

 

EUR

15,118

 

$

17,389,825

 

 

Total Benin

$

17,389,825

 

 

China — 0.0%(1)

 

China Government Bond, 3.40%, 2/9/27

 

CNY

10,000

 

$

1,480,598

 

 

Total China

$

1,480,598

 

 

Costa Rica — 0.5%

 

Costa Rica Government International Bond, 5.625%, 4/30/43(2)

 

USD

4,195

 

$

3,909,467

 

 

Costa Rica Government International Bond, 7.00%, 4/4/44(2)

 

USD

2,891

 

 

3,072,945

 

 

Costa Rica Government International Bond, 7.158%, 3/12/45(2)

 

USD

8,053

 

 

8,654,519

 

 

Titulo Propiedad UD, 1.00%, 1/12/22(3)

 

CRC

1,681,734

 

 

2,527,276

 

 

Total Costa Rica

$

18,164,207

 

 

Dominican Republic — 2.0%

 

Dominican Republic, 10.50%, 4/7/23(2)

 

DOP

3,608,800

 

$

69,513,610

 

 

Dominican Republic, 15.95%, 6/4/21(2)

 

DOP

114,300

 

 

2,331,900

 

 

Total Dominican Republic

$

71,845,510

 

 

Egypt — 5.3%

 

Arab Republic of Egypt, 4.75%, 4/11/25(2)

 

EUR

9,369

 

$

11,224,672

 

 

Arab Republic of Egypt, 5.625%, 4/16/30(2)

 

EUR

1,025

 

 

1,195,016

 

 

Arab Republic of Egypt, 6.375%, 4/11/31(2)

 

EUR

38,240

 

 

46,197,526

 

 

Arab Republic of Egypt, 8.15%, 11/20/59(2)

 

USD

32,714

 

 

35,894,455

 

 

Arab Republic of Egypt, 8.50%, 1/31/47(2)

 

USD

8,571

 

 

9,828,657

 

 

Arab Republic of Egypt, 8.70%, 3/1/49(2)

 

USD

24,472

 

 

28,271,621

 

 

Egypt Government Bond, 14.40%, 9/10/29

 

EGP

65,015

 

 

4,287,745

 

 

Egypt Government Bond, 15.60%, 8/6/26

 

EGP

615,363

 

 

42,201,234

 

 

Egypt Government Bond, 16.10%, 5/7/29

 

EGP

137,650

 

 

9,893,518

 

 

Total Egypt

$

188,994,444

 

 

El Salvador — 1.5%

 

Republic of El Salvador, 7.125%, 1/20/50(2)

 

USD

34,186

 

$

37,534,006

 

 

Republic of El Salvador, 7.625%, 2/1/41(2)

 

USD

1,429

 

 

1,666,135

 

 

Republic of El Salvador, 7.65%, 6/15/35(2)

 

USD

7,041

 

 

8,209,419

 

 

Republic of El Salvador, 8.25%, 4/10/32(2)

 

USD

3,867

 

 

4,734,552

 

 

Total El Salvador

$

52,144,112

 

 

Fiji — 1.5%

 

Republic of Fiji, 6.625%, 10/2/20(2)

 

USD

53,368

 

$

53,634,840

 

 

Total Fiji

$

53,634,840

 

 

Georgia — 0.4%

 

Georgia Treasury Bond, 7.00%, 5/30/24

 

GEL

25,057

 

$

7,903,059

 

 

Georgia Treasury Bond, 7.25%, 1/17/21

 

GEL

4,385

 

 

1,499,657

 

 

Georgia Treasury Bond, 7.375%, 9/27/23

 

GEL

5,820

 

 

1,882,989

 

 

Georgia Treasury Bond, 8.125%, 1/25/23

 

GEL

2,922

 

 

994,294

 

 

Georgia Treasury Bond, 9.375%, 4/9/22

 

GEL

4,290

 

 

1,502,150

 

 

Total Georgia

$

13,782,149

 

 

Iceland — 3.3%

 

Republic of Iceland, 5.00%, 11/15/28

 

ISK

4,794,888

 

$

44,491,258

 

 

Republic of Iceland, 6.50%, 1/24/31

 

ISK

5,641,242

 

 

59,902,821

 

 

Republic of Iceland, 8.00%, 6/12/25

 

ISK

1,217,748

 

 

12,278,902

 

 

Total Iceland

$

116,672,981

 

 

Jordan — 0.3%

 

Jordan Government International Bond, 7.375%, 10/10/47(2)

 

USD

8,600

 

$

9,476,202

 

 

Total Jordan

$

9,476,202

 

 

Macedonia — 0.0%(1)

 

Republic of Macedonia, 5.625%, 7/26/23(2)

 

EUR

1,000

 

$

1,289,675

 

 

Total Macedonia

$

1,289,675

 

 

Montenegro — 0.1%

 

Montenegro Government International Bond, 3.375%, 4/21/25(2)

 

EUR

1,000

 

$

1,196,986

 

 

Montenegro Government International Bond, 5.75%, 3/10/21(2)

 

EUR

1,104

 

 

1,300,193

 

 

Total Montenegro

$

2,497,179

 

 

New Zealand — 4.4%

 

New Zealand Government Bond, 2.00%, 9/20/25(2)(3)

 

NZD

91,370

 

$

65,879,358

 

 

New Zealand Government Bond, 2.50%, 9/20/35(2)(3)

 

NZD

41,235

 

 

34,815,402

 

 

New Zealand Government Bond, 3.00%, 9/20/30(2)(3)

 

NZD

66,529

 

 

55,403,659

 

 

Total New Zealand

$

156,098,419

 

 

Nigeria — 0.3%

 

Republic of Nigeria, 7.875%, 2/16/32(2)

 

USD

4,789

 

$

5,020,668

 

 

Republic of Nigeria, 8.747%, 1/21/31(2)

 

USD

5,093

 

 

5,704,669

 

 

Total Nigeria

$

10,725,337

 

 

Philippines — 1.1%

 

Republic of the Philippines, 6.25%, 1/14/36

 

PHP

1,649,000

 

$

40,351,368

 

 

Total Philippines

$

40,351,368

 

 

Serbia — 8.6%

 

Serbia Treasury Bond, 4.50%, 1/11/26

 

RSD

2,759,650

 

$

28,626,663

 

 

Serbia Treasury Bond, 5.75%, 7/21/23

 

RSD

18,371,480

 

 

193,635,827

 

 

Serbia Treasury Bond, 5.875%, 2/8/28

 

RSD

7,189,920

 

 

81,242,065

 

 

Serbia Treasury Bond, 10.00%, 10/23/24

 

RSD

193,680

 

 

2,436,182

 

 

Total Serbia

$

305,940,737

 

 

South Africa — 1.5%

 

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

 

ZAR

720,000

 

$

54,156,511

 

 

Total South Africa

$

54,156,511

 

 

Sri Lanka — 0.9%

 

Sri Lanka Government Bond, 10.25%, 3/15/25

 

LKR

929,740

 

$

5,287,410

 

 

Sri Lanka Government Bond, 11.00%, 8/1/24

 

LKR

1,660,000

 

 

9,667,490

 

 

Sri Lanka Government Bond, 11.00%, 6/1/26

 

LKR

696,370

 

 

4,116,026

 

 

Sri Lanka Government Bond, 11.20%, 9/1/23

 

LKR

1,035,380

 

 

6,032,282

 

 

Sri Lanka Government Bond, 11.40%, 1/1/24

 

LKR

769,680

 

 

4,511,196

 

 

Sri Lanka Government Bond, 11.50%, 5/15/23

 

LKR

96,000

 

 

562,588

 

 

Total Sri Lanka

$

30,176,992

 

 

Suriname — 0.3%

 

Suriname Government International Bond, 9.25%, 10/26/26(2)

 

USD

12,749

 

$

10,936,698

 

 

Total Suriname

$

10,936,698

 

 

Tanzania — 0.7%

 

United Republic of Tanzania, 7.989%, (6 mo. USD LIBOR + 6.00%), 3/9/20(2)(5)

 

USD

23,001

 

$

23,245,449

 

 

Total Tanzania

$

23,245,449

 

 

Thailand — 2.3%

 

Thailand Government Bond, 1.25%, 3/12/28(2)(3)

 

THB

2,476,419

 

$

78,853,635

 

 

Thailand Government Bond, 2.875%, 6/17/46

 

THB

112,400

 

 

4,302,730

 

 

Total Thailand

$

83,156,365

 

 

Ukraine — 11.9%

 

Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(2)(4)(6)

 

USD

47,964

 

$

47,664,225

 

 

Ukraine Government International Bond, 10.00%, 8/23/23

 

UAH

1,710,361

 

 

69,289,942

 

 

Ukraine Government International Bond, 11.67%, 11/22/23

 

UAH

750,674

 

 

32,101,129

 

 

Ukraine Government International Bond, 14.91%, 10/12/22

 

UAH

63,115

 

 

2,805,379

 

 

Ukraine Government International Bond, 15.70%, 1/20/21

 

UAH

248,191

 

 

10,446,030

 

 

Ukraine Government International Bond, 15.84%, 2/26/25

 

UAH

4,452,709

 

 

224,372,652

 

 

Ukraine Government International Bond, 17.00%, 5/11/22

 

UAH

88,200

 

 

3,993,782

 

 

Ukraine Government International Bond, 17.25%, 1/5/22

 

UAH

39,000

 

 

1,750,077

 

 

Ukraine Government International Bond, 18.00%, 3/24/21

 

UAH

696,753

 

 

30,256,805

 

 

Total Ukraine

$

422,680,021

 

 

Total Foreign Government Bonds
(identified cost $1,654,236,229)

$

1,807,304,462

 

 

Foreign Corporate Bonds — 2.6%

 

Security

 

Principal
Amount
(000's omitted)

 

Value

 

 

Bulgaria — 0.3%

 

Eurohold Bulgaria AD, 6.50%, 12/7/22(2)

EUR

9,200

 

$

10,177,849

 

Total Bulgaria

$

10,177,849

 

 

Georgia — 0.1%

 

Georgia Capital JSC, 6.125%, 3/9/24(2)

USD

200

 

$

198,500

 

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

USD

4,277

 

 

4,829,417

 

Total Georgia

$

5,027,917

 

 

Iceland — 0.9%

 

Arion Banki HF, 6.00%, 4/12/24(2)

ISK

1,000,000

 

$

8,876,701

 

Heimavellir HF, 7.91%, 4/25/23(7)

ISK

1,036,833

 

 

8,910,893

 

Islandsbanki HF, 6.40%, 10/26/23

ISK

860,000

 

 

7,645,493

 

Landsbankinn HF, 5.00%, 11/23/23(2)

ISK

560,000

 

 

4,751,639

 

WOW Air HF, 0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(5)(8)

EUR

3,600

 

 

399,298

 

WOW Air HF, 0.00%(8)(9)

EUR

79

 

 

8,784

 

Total Iceland

$

30,592,808

 

 

India — 0.0%(1)

 

Reliance Communications, Ltd., 6.50%, 11/6/20(2)

USD

1,800

 

$

252,720

 

Total India

$

252,720

 

 

Indonesia — 0.2%

 

Bayan Resources Tbk PT, 6.125%, 1/24/23(2)

USD

5,385

 

$

5,282,995

 

Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(2)

IDR

18,080,000

 

 

1,313,677

 

Total Indonesia

$

6,596,672

 

 

Ireland — 0.4%

 

Aragvi Finance International DAC, 12.00%, 4/9/24(2)

USD

11,426

 

$

12,425,775

 

Total Ireland

$

12,425,775

 

 

Mexico — 0.0%(1)

 

Grupo Kaltex SA de CV, 8.875%, 4/11/22(2)

USD

1,427

 

$

1,163,465

 

Total Mexico

$

1,163,465

 

 

Mongolia — 0.2%

 

Trade and Development Bank of Mongolia, LLC, 9.375%, 5/19/20(2)

USD

4,990

 

$

5,071,553

 

Total Mongolia

$

5,071,553

 

 

Netherlands — 0.2%

 

Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(2)

USD

4,747

 

$

4,812,271

 

Braskem Netherlands Finance BV, 5.875%, 1/31/50(2)

USD

2,710

 

 

2,815,013

 

Total Netherlands

$

7,627,284

 

 

Saint Lucia — 0.1%

 

Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(2)

USD

2,870

 

$

2,856,841

 

Total Saint Lucia

$

2,856,841

 

 

Spain — 0.1%

 

Atento Luxco 1 SA, 6.125%, 8/10/22(2)

USD

4,000

 

$

4,045,000

 

Total Spain

$

4,045,000

 

 

United Kingdom — 0.1%

 

Ellaktor Value PLC, 6.375%, 12/15/24(2)

EUR

4,445

 

$

5,058,687

 

Total United Kingdom

$

5,058,687

 

 

Total Foreign Corporate Bonds
(identified cost $95,705,843)

$

90,896,571

 

 

Sovereign Loans — 2.7%

 

Borrower

 

 

Principal
Amount
(000's omitted)

 

Value

 

 

Ethiopia — 0.2%

 

Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.94%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(5)(10)

$

6,933

$

6,980,216

 

 

Total Ethiopia

$

6,980,216

 

 

Kenya — 0.6%

 

Government of Kenya, Term Loan, 8.37%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(5)

$

17,415

$

17,562,697

 

 

Government of Kenya, Term Loan, 8.63%, (6 mo. USD LIBOR + 6.70%), Maturing October 24, 2024(5)

 

2,904

 

2,958,396

 

 

Total Kenya

$

20,521,093

 

 

Macedonia — 0.3%

 

Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing December 16, 2022(5)(10)

EUR

7,700

$

8,691,764

 

 

Total Macedonia

$

8,691,764

 

 

Nigeria — 0.4%

 

Bank of Industry Limited, Term Loan, 7.85%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(5)(10)

$

15,238

$

15,649,431

 

 

Total Nigeria

$

15,649,431

 

 

Tanzania — 1.2%

 

Government of the United Republic of Tanzania, Term Loan, 7.12%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(5)

$

42,243

$

43,942,034

 

 

Total Tanzania

$

43,942,034

 

 

Total Sovereign Loans
(identified cost $92,822,533)

$

95,784,538

 

 

Credit Linked Notes — 0.0%(1)

 

Security

 

 

Principal
Amount
(000's omitted)

 

Value

 

 

Argentina — 0.0%(1)

 

Desarrolladora Energética SA (Deutsche Bank AG), 9.50%, 7/27/20(4)(7)(11)

 

$

1,825

 

$

1,241,000

 

 

Total Argentina

$

1,241,000

 

 

Total Credit Linked Notes
(identified cost $1,829,847)

$

1,241,000

 

 

Debt Obligations - United States — 5.7%

 

Asset-Backed Securities — 0.9%

 

Security

 

Principal
Amount

 

Value

 

 

Invitation Homes Trust

 

    Series 2018-SFR3, Class E, 3.669%, (1 mo. USD LIBOR + 2.00%), 7/17/37(4)(5)

$

13,000,000

$

13,069,604

 

Pnmac Gmsr Issuer Trust

 

    Series 2018-GT1, Class A, 4.511%, (1 mo. USD LIBOR + 2.85%), 2/25/23(4)(5)

 

9,000,000

 

9,059,953

 

    Series 2018-GT2, Class A, 4.311%, (1 mo. USD LIBOR + 2.65%), 8/25/25(4)(5)

 

8,064,000

 

8,125,156

 

Total Asset-Backed Securities
(identified cost $30,064,000)

$

30,254,713

 

 

Collateralized Mortgage Obligations — 1.4%

 

Security

 

Principal
Amount

 

Value

 

 

Federal Home Loan Mortgage Corp.:

 

 

Series 4, Class D, 8.00%, 12/25/22

 

$

25,658

 

$

27,093

 

 

 

Series 1548, Class Z, 7.00%, 7/15/23

 

 

34,269

 

 

36,689

 

 

 

Series 1650, Class K, 6.50%, 1/15/24

 

 

197,908

 

 

212,283

 

 

 

Series 1817, Class Z, 6.50%, 2/15/26

 

 

38,379

 

 

41,882

 

 

 

Series 1927, Class ZA, 6.50%, 1/15/27

 

 

129,402

 

 

142,227

 

 

 

Series 2344, Class ZD, 6.50%, 8/15/31

 

 

367,619

 

 

422,256

 

 

 

Series 2458, Class ZB, 7.00%, 6/15/32

 

 

693,534

 

 

814,375

 

 

Interest Only:(12) 

 

 

Series 362, Class C6, 3.50%, 12/15/47

 

 

15,640,253

 

 

1,988,339

 

 

 

Series 4791, Class JI, 4.00%, 5/15/48

 

 

25,789,438

 

 

3,167,196

 

 

 

$

6,852,340

 

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

 

 

 

 

 

 

 

Series 2020-DNA1, Class M2, 3.359%, (1 mo. USD LIBOR + 1.70%), 3/25/30(4)(5)

 

$

4,705,440

 

$

4,716,544

 

 

 

$

4,716,544

 

 

Federal National Mortgage Association:

 

 

Series G48, Class Z, 7.10%, 12/25/21

 

$

84,441

 

$

87,283

 

 

 

Series G92-60, Class Z, 7.00%, 10/25/22

 

 

136,682

 

 

142,703

 

 

 

Series G93-1, Class K, 6.675%, 1/25/23

 

 

133,565

 

 

139,084

 

 

 

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

 

 

190,498

 

 

206,071

 

 

 

Series 1992-180, Class F, 2.811%, (1 mo. USD LIBOR + 1.15%), 10/25/22(5)

 

 

110,242

 

 

110,990

 

 

 

Series 1993-16, Class Z, 7.50%, 2/25/23

 

 

106,044

 

 

112,164

 

 

 

Series 1993-79, Class PL, 7.00%, 6/25/23

 

 

69,518

 

 

74,265

 

 

 

Series 1993-104, Class ZB, 6.50%, 7/25/23

 

 

28,304

 

 

29,900

 

 

 

Series 1993-121, Class Z, 7.00%, 7/25/23

 

 

437,676

 

 

464,672

 

 

 

Series 1993-141, Class Z, 7.00%, 8/25/23

 

 

95,468

 

 

102,266

 

 

 

Series 1994-42, Class ZQ, 7.00%, 4/25/24

 

 

652,037

 

 

702,768

 

 

 

Series 1994-79, Class Z, 7.00%, 4/25/24

 

 

121,317

 

 

130,464

 

 

 

Series 1994-89, Class ZQ, 8.00%, 7/25/24

 

 

114,736

 

 

126,242

 

 

 

Series 1996-35, Class Z, 7.00%, 7/25/26

 

 

36,328

 

 

40,285

 

 

 

Series 1998-16, Class H, 7.00%, 4/18/28

 

 

156,178

 

 

177,869

 

 

 

Series 1998-44, Class ZA, 6.50%, 7/20/28

 

 

267,422

 

 

296,922

 

 

 

Series 1999-25, Class Z, 6.00%, 6/25/29

 

 

266,962

 

 

298,648

 

 

 

Series 2000-2, Class ZE, 7.50%, 2/25/30

 

 

64,736

 

 

73,946

 

 

 

Series 2000-49, Class A, 8.00%, 3/18/27

 

 

197,168

 

 

221,212

 

 

 

Series 2001-31, Class ZA, 6.00%, 7/25/31

 

 

2,125,697

 

 

2,379,116

 

 

 

Series 2001-74, Class QE, 6.00%, 12/25/31

 

 

565,957

 

 

643,096

 

 

 

Series 2009-48, Class WA, 5.834%, 7/25/39(13)

 

 

2,763,347

 

 

3,015,780

 

 

 

Series 2011-38, Class SA, 8.517%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(14)

 

 

3,901,841

 

 

4,923,426

 

 

Interest Only:(12) 

 

 

Series 424, Class C8, 3.50%, 2/25/48

 

 

22,169,266

 

 

2,877,152

 

 

 

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

 

 

23,261,473

 

 

2,658,745

 

 

 

Series 2018-58, Class BI, 4.00%, 8/25/48

 

 

3,603,427

 

 

421,047

 

 

 

$

20,456,116

 

 

Federal National Mortgage Association Connecticut Avenue Securities:

 

 

Series 2017-C07, Class 1M2, 4.061%, (1 mo. USD LIBOR + 2.40%), 5/25/30(5)

 

$

5,000,000

 

$

5,111,442

 

 

 

Series 2017-C07, Class 1M2C, 4.061%, (1 mo. USD LIBOR + 2.40%), 5/25/30(5)

 

 

3,942,383

 

 

4,026,933

 

 

 

Series 2018-C01, Class 1M2, 3.911%, (1 mo. USD LIBOR + 2.25%), 7/25/30(5)

 

 

5,000,000

 

 

5,105,893

 

 

 

Series 2018-C03, Class 1M2, 3.811%, (1 mo. USD LIBOR + 2.15%), 10/25/30(5)

 

 

5,500,000

 

 

5,606,611

 

 

 

$

19,850,879

 

 

Government National Mortgage Association:

 

 

Series 2001-35, Class K, 6.45%, 10/26/23

$

42,496

 

$

45,002

 

 

 

$

45,002

 

 

Total Collateralized Mortgage Obligations
(identified cost $61,182,510)

$

51,920,881

 

 

Mortgage Pass-Throughs — 2.6%

 

Security

 

Principal
Amount

 

Value

 

 

Federal Home Loan Mortgage Corp.:

 

 

2.875%, (COF + 1.25%), with maturity at 2035(15)

 

$

1,319,950

 

$

1,336,966

 

 

 

3.471%, (COF + 2.39%), with maturity at 2023(15)

 

 

13,739

 

 

13,806

 

 

 

3.985%, (COF + 1.25%), with maturity at 2029(15)

 

 

10,987

 

 

11,403

 

 

 

4.41%, (COF + 1.25%), with maturity at 2030(15)

 

 

258,521

 

 

270,543

 

 

 

4.50%, with maturity at 2035

 

 

223,685

 

 

239,341

 

 

 

4.594%, (1 yr. CMT + 2.33%), with maturity at 2036(15)

 

 

1,082,527

 

 

1,140,740

 

 

 

6.00%, with various maturities to 2035

 

5,672,133

 

 

6,413,977

 

 

 

6.50%, with various maturities to 2032

 

6,599,221

 

 

7,545,068

 

 

 

6.60%, with maturity at 2030

 

 

615,625

 

 

698,102

 

 

 

7.00%, with various maturities to 2036

 

9,215,294

 

 

10,484,506

 

 

 

7.31%, with maturity at 2026

 

 

22,726

 

 

24,789

 

 

 

7.50%, with various maturities to 2035

 

4,206,993

 

 

4,704,213

 

 

 

7.95%, with maturity at 2022

 

 

53,572

 

 

54,040

 

 

 

8.00%, with various maturities to 2030

 

943,947

 

 

1,025,798

 

 

 

8.15%, with maturity at 2021

 

 

2,917

 

 

2,990

 

 

 

8.50%, with maturity at 2025

 

 

47,594

 

 

48,891

 

 

 

9.00%, with various maturities to 2027

 

120,156

 

 

127,919

 

 

 

9.50%, with maturity at 2027

 

 

40,982

 

 

41,088

 

 

 

10.00%, with maturity at 2020

 

 

127

 

 

128

 

 

 

10.50%, with maturity at 2021

 

 

842

 

 

856

 

 

 

$

34,185,164

 

 

Federal National Mortgage Association:

 

 

2.38%, (COF + 1.25%), with maturity at 2027(15)

 

$

76,056

 

$

76,141

 

 

 

2.405%, (COF + 1.25%), with various maturities to 2033(15)

 

1,765,911

 

 

1,767,941

 

 

 

2.555%, (COF + 1.40%), with maturity at 2025(15)

 

 

297,923

 

 

298,293

 

 

 

2.755%, (COF + 1.60%), with maturity at 2024(15)

 

 

123,015

 

 

123,483

 

 

 

3.389%, (COF + 1.25%), with maturity at 2034(15)

 

 

672,038

 

 

686,908

 

 

 

3.498%, (COF + 1.25%), with maturity at 2035(15)

 

 

1,587,823

 

 

1,617,920

 

 

 

4.084%, (COF + 1.77%), with maturity at 2035(15)

 

 

2,100,336

 

 

2,165,047

 

 

 

4.511%, (1 yr. CMT + 2.15%), with maturity at 2028(15)

 

 

100,904

 

 

104,471

 

 

 

5.50%, with maturity at 2020

 

 

39

 

 

39

 

 

 

6.00%, with various maturities to 2035

 

19,211,548

 

 

21,939,458

 

 

 

6.328%, (COF + 2.00%, Floor 6.328%), with maturity at 2032(15)

 

 

645,487

 

 

705,035

 

 

 

6.50%, with various maturities to 2038

 

8,021,483

 

 

9,066,897

 

 

 

7.00%, with various maturities to 2035

 

12,488,901

 

 

14,320,620

 

 

 

7.50%, with various maturities to 2027

 

68,165

 

 

72,769

 

 

 

7.628%, (1 yr. CMT + 2.15%), with maturity at 2025(15)

 

 

18,140

 

 

19,115

 

 

 

8.00%, with various maturities to 2026

 

14,656

 

 

15,314

 

 

 

8.50%, with various maturities to 2037

 

1,708,461

 

 

1,975,833

 

 

 

9.00%, with various maturities to 2032

 

229,141

 

 

252,606

 

 

 

9.251%, with maturity at 2028

 

 

1,056

 

 

1,083

 

 

 

9.50%, with various maturities to 2031

 

95,691

 

 

103,875

 

 

 

9.543%, with maturity at 2027

 

 

3,325

 

 

3,551

 

 

 

10.50%, with maturity at 2029

 

 

25,837

 

 

30,430

 

 

 

11.50%, with maturity at 2031

 

 

114,938

 

 

137,922

 

 

 

$

55,484,751

 

 

Government National Mortgage Association:

 

 

4.125%, (1 yr. CMT + 1.50%), with maturity at 2024(15)

 

$

134,338

 

$

136,325

 

 

 

6.50%, with various maturities to 2032

 

379,503

 

 

422,797

 

 

 

7.00%, with various maturities to 2031

 

635,849

 

 

713,834

 

 

 

7.50%, with various maturities to 2028

 

91,178

 

 

100,619

 

 

 

8.00%, with various maturities to 2023

 

53,632

 

 

57,063

 

 

 

8.50%, with maturity at 2021

 

 

249

 

 

250

 

 

 

9.00%, with maturity at 2025

 

 

18,247

 

 

19,391

 

 

 

9.50%, with various maturities to 2021

 

4,056

 

 

4,126

 

 

 

$

1,454,405

 

 

Total Mortgage Pass-Throughs
(identified cost $87,115,922)

$

91,124,320

 

 

U.S. Treasury Obligations — 0.0%(1)

 

Security

 

Principal
Amount

 

Value

 

 

U.S. Treasury Bond, 7.875%, 2/15/21

$

1,500,000

 

$

1,597,763

 

 

Total U.S. Treasury Obligations
(identified cost $1,532,224)

$

1,597,763

 

 

U.S. Government Guaranteed Small Business Administration Loans                                                                                                                                                                           (16)(17) — 0.8%

 

Security

 

 

Principal
Amount
(000's omitted)

 

Value

 

 

 1.11%, 9/15/42

$

1,687,828

$

69,407

 

 1.41%, 9/15/42

 

1,111,046

 

59,222

 

 

 1.61%, 8/15/42 to 9/15/42

 

1,905,216

 

123,325

 

 

 1.66%, 8/15/42 to 4/15/43

 

7,294,401

 

447,611

 

 

 1.91%, 7/15/42 to 4/15/43

 

15,044,338

 

1,066,498

 

 

 1.93%, 3/15/41 to 5/15/42

 

2,145,515

 

148,674

 

 1.96%, 9/15/42

 

2,955,168

 

203,779

 

 2.03%, 8/15/32

 

813,458

 

53,489

 

 

 2.11%, 8/15/42 to 9/15/42

 

6,008,146

 

468,721

 

 

 2.16%, 2/15/42 to 4/15/43

 

16,371,423

 

1,351,669

 

 

 2.21%, 9/15/42 

 

2,735,089

 

219,862

 

 2.28%, 3/15/43

 

2,766,208

 

273,848

 

 2.36%, 9/15/42

 

1,981,793

 

176,624

 

 

 2.38%, 2/15/41 to 3/15/41

 

1,370,601

 

115,595

 

 2.39%, 7/15/39

 

1,018,688

 

79,651

 

 

 2.41%, 12/15/41 to 4/15/43

 

25,189,259

 

2,384,571

 

 

 2.46%, 3/15/28 to 4/15/43

 

10,221,064

 

903,300

 

 2.53%, 6/15/36

 

875,436

 

73,370

 

 2.56%, 5/15/37

 

1,397,103

 

116,194

 

 2.58%, 9/15/42

 

2,505,140

 

241,827

 

 2.61%, 9/15/42

 

2,889,211

 

296,167

 

 2.63%, 11/15/36

 

627,265

 

52,765

 

 

 2.66%, 4/15/43 

 

8,216,982

 

879,693

 

 2.71%, 10/4/23 to 8/25/42(18)

 

22,186,973

 

1,767,013

 

 

 2.71%, 7/15/27 to 9/15/42

 

9,551,670

 

914,961

 

 

 2.91%, 10/15/42 to 4/15/43

 

16,552,547

 

1,955,315

 

 

 2.93%, 4/15/42 to 5/15/42

 

1,010,551

 

121,481

 

 

 2.96%, 7/15/27 to 2/15/43

 

8,305,663

 

735,225

 

 2.98%, 7/15/43

 

1,219,123

 

144,072

 

 2.99%, 2/15/29

 

917,695

 

72,209

 

 

 3.03%, 4/15/41 to 7/15/41

 

1,894,493

 

197,654

 

 

 3.16%, 9/15/42 to 4/15/43

 

6,442,992

 

879,943

 

 

 3.21%, 6/15/27 to 3/15/43

 

8,678,626

 

1,033,483

 

 3.29%, 12/15/42

 

3,575,516

 

477,217

 

 3.34%, 12/28/26 to 8/17/42(18)

 

35,463,970

 

2,989,441

 

 

 3.41%, 3/15/43 to 4/15/43

 

8,317,999

 

1,112,707

 

 

 3.46%, 3/15/27 to 3/15/43

 

6,043,268

 

772,389

 

 

 3.66%, 9/15/42 to 6/15/43

 

9,615,137

 

1,497,148

 

 3.69%, 3/15/43

 

1,359,133

 

240,304

 

 

 3.71%, 2/15/28 to 10/15/42

 

13,565,545

 

1,575,882

 

 

 3.78%, 5/15/27 to 9/15/42

 

4,126,655

 

552,337

 

Total U.S. Government Guaranteed Small Business Administration Loans                                                                                                                                                                          
(identified cost $29,257,022)

$

26,844,643

 

 

Total Debt Obligations - United States
(identified cost $209,151,678)

$

201,742,320

 

 

Common Stocks — 3.1%

 

Security

 

Shares

 

Value

 

 

Cyprus  — 0.2%

 

Bank of Cyprus Holdings PLC(19)

4,401,002

 

$

6,315,010

 

 

Total Cyprus

$

6,315,010

 

 

Greece  — 0.4%

 

Alpha Bank AE(19)

911,347

 

$

1,824,028

 

 

Eurobank Ergasias SA(19)

2,484,668

 

 

2,279,738

 

 

Hellenic Telecommunications Organization SA

153,638

 

 

2,294,523

 

 

JUMBO SA

101,395

 

 

2,062,187

 

 

National Bank of Greece SA(19)

594,090

 

 

1,885,785

 

 

OPAP SA

172,260

 

 

2,144,993

 

 

Piraeus Bank SA(19)

475,597

 

 

1,688,973

 

 

Total Greece

$

14,180,227

 

 

Iceland  — 1.1%

 

Arion Banki HF(4)

15,974,003

 

$

10,673,174

 

 

Eik Fasteignafelag HF

55,172,752

 

 

3,847,361

 

 

Eimskipafelag Islands HF

4,064,445

 

 

5,612,839

 

 

Hagar HF

15,796,119

 

 

6,547,927

 

 

Heimavellir HF(19)

34,561,103

 

 

369,411

 

 

Reginn HF(19)

22,125,500

 

 

3,886,632

 

 

Reitir Fasteignafelag HF

8,912,481

 

 

5,439,915

 

 

Siminn HF

99,569,761

 

 

4,310,166

 

 

Total Iceland

$

40,687,425

 

 

Indonesia  — 0.3%

 

Astra International Tbk PT

2,035,300

 

$

939,570

 

 

Bank Central Asia Tbk PT

965,600

 

 

2,281,732

 

 

Bank Mandiri Persero Tbk PT

1,824,600

 

 

997,683

 

 

Bank Negara Indonesia Persero Tbk PT

750,100

 

 

393,005

 

 

Bank Rakyat Indonesia Persero Tbk PT

5,388,300

 

 

1,751,762

 

 

Barito Pacific Tbk PT(19)

2,811,700

 

 

268,027

 

 

Charoen Pokphand Indonesia Tbk PT

694,300

 

 

336,522

 

 

Gudang Garam Tbk PT

50,000

 

 

203,724

 

 

Indocement Tunggal Prakarsa Tbk PT

184,900

 

 

221,578

 

 

Indofood CBP Sukses Makmur Tbk PT

210,400

 

 

174,595

 

 

Indofood Sukses Makmur Tbk PT

417,400

 

 

239,165

 

 

Kalbe Farma Tbk PT

2,126,400

 

 

221,814

 

 

Semen Indonesia Persero Tbk PT

279,400

 

 

243,407

 

 

Telekomunikasi Indonesia Persero Tbk PT

4,703,500

 

 

1,304,642

 

 

Unilever Indonesia Tbk PT

752,200

 

 

436,910

 

 

United Tractors Tbk PT

168,700

 

 

235,741

 

 

Total Indonesia

$

10,249,877

 

 

Mongolia  — 0.0%(1)

 

Mongolian Mining Corp.(19)

2,862,450

 

$

186,128

 

 

Total Mongolia

$

186,128

 

 

Serbia  — 0.1%

 

Komercijalna Banka AD Beograd(19)

84,003

 

$

2,465,648

 

 

Total Serbia

$

2,465,648

 

 

Singapore  — 0.3%

 

Yoma Strategic Holdings, Ltd.(19)

43,974,000

 

$

10,082,536

 

 

Total Singapore

$

10,082,536

 

 

Sri Lanka  — 0.1%

 

Softlogic Life Insurance PLC

23,874,288

 

$

4,796,677

 

 

Total Sri Lanka

$

4,796,677

 

 

Vietnam  — 0.6%

 

Bank for Foreign Trade of Vietnam JSC

635,510

 

$

2,403,060

 

 

Bank for Investment and Development of Vietnam JSC

468,816

 

 

1,023,324

 

 

Bao Viet Holdings

156,900

 

 

394,491

 

 

Binh Minh Plastics JSC

255,600

 

 

463,938

 

 

Coteccons Construction JSC

133,000

 

 

315,506

 

 

Domesco Medical Import Export JSC

240,160

 

 

783,126

 

 

Hoa Phat Group JSC(19)

1,189,907

 

 

1,217,833

 

 

KIDO Group Corp.

137,550

 

 

111,283

 

 

Masan Group Corp.(19)

715,980

 

 

1,535,259

 

 

PetroVietnam Gas JSC

165,200

 

 

608,027

 

 

PetroVietnam Nhon Trach 2 Power JSC

882,000

 

 

725,513

 

 

PetroVietnam Technical Services Corp.

672,281

 

 

466,815

 

 

Refrigeration Electrical Engineering Corp.

807,810

 

 

1,169,082

 

 

SSI Securities Corp.

668,470

 

 

502,153

 

 

Viet Capital Securities JSC

448,200

 

 

514,704

 

 

Vietnam Dairy Products JSC

546,768

 

 

2,535,770

 

 

Vietnam Prosperity JSC Bank(19)

1,636,555

 

 

1,692,826

 

 

Vietnam Technological & Commercial Joint Stock Bank(19)

781,800

 

 

778,063

 

 

Vingroup JSC(19)

1,039,114

 

 

5,108,006

 

 

Total Vietnam

$

22,348,779

 

 

Total Common Stocks
(identified cost $128,749,467)

$

111,312,307

 

 

Short-Term Investments — 30.3%

 

Foreign Government Securities — 9.0%

 

Security

 

Principal
Amount
(000's omitted)

 

Value

 

 

Egypt — 4.1%

 

Egypt Treasury Bill, 0.00%, 3/10/20

EGP

128,750

 

$

8,061,334

 

 

Egypt Treasury Bill, 0.00%, 4/14/20

EGP

570,100

 

 

35,226,769

 

 

Egypt Treasury Bill, 0.00%, 4/21/20

EGP

206,350

 

 

12,715,955

 

 

Egypt Treasury Bill, 0.00%, 4/28/20

EGP

531,025

 

 

32,502,091

 

 

Egypt Treasury Bill, 0.00%, 8/4/20

EGP

967,625

 

 

57,076,402

 

 

Total Egypt

$

145,582,551

 

 

Georgia — 0.6%

 

Bank of Georgia Promissory Note, 7.40%, 4/30/20

GEL

2,631

 

$

903,438

 

 

Bank of Georgia Promissory Note, 7.40%, 5/13/20

GEL

1,565

 

 

536,968

 

 

Bank of Georgia Promissory Note, 7.40%, 5/18/20

GEL

2,302

 

 

789,165

 

 

Bank of Georgia Promissory Note, 7.45%, 4/10/20

GEL

1,904

 

 

655,142

 

 

Bank of Georgia Promissory Note, 7.45%, 4/16/20

GEL

3,253

 

 

1,118,560

 

 

Bank of Georgia Promissory Note, 7.45%, 4/22/20

GEL

1,937

 

 

665,920

 

 

Bank of Georgia Promissory Note, 7.45%, 4/24/20

GEL

3,235

 

 

1,111,734

 

 

Bank of Georgia Promissory Note, 7.45%, 4/28/20

GEL

1,310

 

 

449,855

 

 

Bank of Georgia Promissory Note, 7.50%, 5/26/20

GEL

2,879

 

 

986,455

 

 

Bank of Georgia Promissory Note, 7.50%, 5/28/20

GEL

7,363

 

 

2,522,744

 

 

Bank of Georgia Promissory Note, 7.50%, 6/10/20

GEL

1,309

 

 

448,005

 

 

Bank of Georgia Promissory Note, 7.50%, 6/12/20

GEL

1,021

 

 

349,318

 

 

Bank of Georgia Promissory Note, 7.50%, 6/15/20

GEL

2,028

 

 

693,425

 

 

Bank of Georgia Promissory Note, 7.50%, 6/16/20

GEL

1,185

 

 

405,224

 

 

Bank of Georgia Promissory Note, 7.50%, 6/17/20

GEL

1,944

 

 

664,698

 

 

Bank of Georgia Promissory Note, 7.50%, 6/19/20

GEL

2,140

 

 

731,626

 

 

Bank of Georgia Promissory Note, 7.50%, 6/26/20

GEL

2,843

 

 

971,100

 

 

Bank of Georgia Promissory Note, 7.50%, 6/29/20

GEL

2,384

 

 

814,358

 

 

Georgia Treasury Bill, 0.00%, 5/7/20

GEL

1,815

 

 

615,437

 

 

Georgia Treasury Bill, 0.00%, 5/14/20

GEL

4,290

 

 

1,451,439

 

 

Georgia Treasury Bill, 0.00%, 6/4/20

GEL

2,686

 

 

904,599

 

 

Georgia Treasury Bill, 0.00%, 6/11/20

GEL

3,269

 

 

1,097,935

 

 

Georgia Treasury Bill, 0.00%, 7/2/20

GEL

160

 

 

53,522

 

 

Georgia Treasury Bill, 0.00%, 1/14/21

GEL

3,982

 

 

1,273,621

 

 

Total Georgia

$

20,214,288

 

 

Nigeria — 0.3%

 

Nigeria OMO Bill, 0.00%, 7/21/20

NGN

1,458,865

 

$

3,806,173

 

 

Nigeria OMO Bill, 0.00%, 1/12/21

NGN

1,463,905

 

 

3,558,960

 

 

Nigeria OMO Bill, 0.00%, 1/26/21

NGN

1,366,367

 

 

3,279,010

 

 

Total Nigeria

$

10,644,143

 

 

Pakistan — 4.0%

 

Pakistan Treasury Bill, 0.00%, 2/13/20

PKR

2,378,700

 

$

15,313,468

 

 

Pakistan Treasury Bill, 0.00%, 5/21/20

PKR

2,461,400

 

 

15,301,563

 

 

Pakistan Treasury Bill, 0.00%, 11/19/20

PKR

2,602,700

 

 

15,215,383

 

 

Pakistan Treasury Bill, 0.00%, 12/3/20

PKR

3,290,700

 

 

19,156,552

 

 

Pakistan Treasury Bill, 0.00%, 12/17/20

PKR

5,406,600

 

 

31,337,718

 

 

Pakistan Treasury Bill, 0.00%, 12/31/20

PKR

1,817,000

 

 

10,487,032

 

 

Pakistan Treasury Bill, 0.00%, 1/14/21

PKR

1,347,200

 

 

7,742,849

 

 

Pakistan Treasury Bill, 0.00%, 1/28/21

PKR

3,476,500

 

 

19,887,487

 

 

Pakistan Treasury Bill, 0.00%, 1/28/21

PKR

1,490,000

 

 

8,523,617

 

 

Total Pakistan

$

142,965,669

 

 

Total Foreign Government Securities
(identified cost $312,236,664)

$

319,406,651

 

 

U.S. Treasury Obligations — 1.5%

 

Security

 

Principal
Amount
(000's omitted)

 

Value

 

 

U.S. Treasury Bill, 0.00%, 2/20/20(20)

$

54,900

 

$

54,861,934

 

 

Total U.S. Treasury Obligations
(identified cost $54,856,826)

$

54,861,934

 

 

Other — 19.8%

 

Description

 

Units

 

 

Value

 

 

Eaton Vance Cash Reserves Fund, LLC, 1.74%(21)

 

704,491,493

 

$

704,561,942

 

 

Total Other
(identified cost $704,465,917)

$

704,561,942

 

 

Total Short-Term Investments
(identified cost $1,071,559,407)

$

1,078,830,527

 

 

Total Purchased Options and Swaptions — 0.1%
(identified cost $3,937,029)

$

4,077,374

 

 

Total Investments — 95.3%
(identified cost $3,257,992,033)

$

3,391,189,099

 

 

Securities Sold Short  — (0.3)%

 

Common Stocks — (0.3)%

 

Security

 

Shares

 

Value

 

 

Ashmore Group PLC

(1,343,300)

 

$

(9,607,558)

 

 

Total Common Stocks

$

(9,607,558)

 

 

Total Securities Sold Short
  (proceeds $8,950,969)

$

(9,607,558)

 

 

Other Assets, Less Liabilities — 4.9%

$

175,873,169

 

 

Net Assets — 100.0%

$

3,557,454,710

 

 

 

 

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

 

 

 

(1)

Amount is less than 0.05%.

 

(2)

Security exempt from registration under Regulation S of the Securities Act of 1933, 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. At January 31, 2020, the aggregate value of these securities is $834,313,275 or 23.5% of the Portfolio's net assets.

 

(3)

Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

 

(4)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2020, the aggregate value of these securities is $135,966,767 or 3.8% of the Portfolio's net assets.

 

(5)

Variable rate security. The stated interest rate represents the rate in effect at January 31, 2020.

 

(6)

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

 

(7)

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

 

(8)

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.

 

(9)

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

 

(10)

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

 

(11)

Security whose performance, including redemption at maturity, is linked to the price of the underlying security. The investment is subject to credit risk of the issuing financial institution (Deutsche Bank AG) in addition to the market risk of the underlying security.

 

(12)

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.

 

(13)

Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2020.

 

(14)

Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2020.

 

(15)

Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2020.

 

(16)

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.

 

(17)

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.

 

(18)

The stated interest rate represents the weighted average fixed interest rate at January 31, 2020 of all interest only securities comprising the certificate.

 

(19)

Non-income producing security.

 

(20)

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

 

(21)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2020.

 

 

 
                                                           
 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Purchased Currency Options — 0.0%(1)

 

Description

 

Counterparty

Notional
Amount

 

Exercise
Price

 

Expiration
Date

 

Value

 

___________________________________________________________________________________________________________

 

Call BRL/Put USD

 

Standard Chartered Bank

USD

36,740,000

BRL

3.57

 

7/20/20

$

7,679

 

___________________________________________________________________________________________________________

 

Total

 

$

7,679

 

___________________________________________________________________________________________________________

 

Purchased Interest Rate Swaptions — 0.1%

 

Description

 

Counterparty

 

 

Notional
Amount

 



 

Expiration
Date

 

Value

 

___________________________________________________________________________________________________________

 

Option to enter into interest rate swap expiring 7/7/38 to pay 3-month USD-LIBOR Rate and receive 2.98%

 

Morgan Stanley & Co. International PLC

 

$

28,963,000

 

 

 

7/5/28

$

3,385,944

 

Option to enter into interest rate swap expiring 7/7/38 to receive 3-month USD-LIBOR Rate and pay 2.98%

 

Morgan Stanley & Co. International PLC

 

 

28,963,000

 

 

 

7/5/28

 

683,751

 

___________________________________________________________________________________________________________

 

Total

 

$

4,069,695

 

___________________________________________________________________________________________________________

 


Centrally Cleared Forward Foreign Currency Exchange Contracts

 

Currency
Purchased

 

Currency
Sold

 

 

 

Settlement
Date

 

Value/Unrealized
 Appreciation
 (Depreciation)

 

___________________________________________________________________________________________________________

 

NZD

13,944,849

 

USD

9,047,418

 

 

 

2/3/20

 

$

(33,469)

 

NZD

20,315,000

 

USD

13,180,372

 

 

 

2/3/20

 

 

(48,759)

 

NZD

23,782,000

 

USD

15,429,762

 

 

 

2/3/20

 

 

(57,080)

 

NZD

40,311,000

 

USD

26,153,777

 

 

 

2/3/20

 

 

(96,751)

 

NZD

64,093,000

 

USD

41,897,594

 

 

 

2/3/20

 

 

(467,887)

 

NZD

34,259,849

 

USD

22,680,363

 

 

 

2/3/20

 

 

(534,801)

 

USD

26,686,285

 

NZD

40,311,000

 

 

 

2/3/20

 

 

629,260

 

USD

41,583,538

 

NZD

64,093,000

 

 

 

2/3/20

 

 

153,831

 

USD

9,115,748

 

NZD

13,944,849

 

 

 

2/3/20

 

 

101,799

 

USD

22,227,790

 

NZD

34,259,849

 

 

 

2/3/20

 

 

82,228

 

USD

12,928,466

 

NZD

20,315,000

 

 

 

2/3/20

 

 

(203,147)

 

USD

15,134,865

 

NZD

23,782,000

 

 

 

2/3/20

 

 

(237,817)

 

BRL

101,702,000

 

USD

23,820,588

 

 

 

2/4/20

 

 

(72,865)

 

BRL

221,402,000

 

USD

54,874,464

 

 

 

2/4/20

 

 

(3,176,430)

 

USD

24,260,973

 

BRL

101,702,000

 

 

 

2/4/20

 

 

513,250

 

USD

51,856,658

 

BRL

221,402,000

 

 

 

2/4/20

 

 

158,624

 

AUD

22,121,000

 

USD

15,367,791

 

 

 

2/10/20

 

 

(558,665)

 

EUR

1,791,484

 

USD

2,008,469

 

 

 

2/10/20

 

 

(20,902)

 

EUR

35,397,612

 

USD

39,684,971

 

 

 

2/10/20

 

 

(413,007)

 

PHP

254,405,000

 

USD

5,003,048

 

 

 

2/10/20

 

 

(3,424)

 

SEK

353,979,000

 

USD

37,000,000

 

 

 

2/10/20

 

 

(219,740)

 

USD

4,180,919

 

CLP

3,241,571,000

 

 

 

2/10/20

 

 

130,713

 

USD

2,090,476

 

CLP

1,616,982,874

 

 

 

2/10/20

 

 

70,124

 

USD

213,658,583

 

EUR

190,576,016

 

 

 

2/10/20

 

 

2,223,575

 

USD

10,314,304

 

EUR

9,200,000

 

 

 

2/10/20

 

 

107,342

 

USD

4,371,043

 

NZD

6,565,000

 

 

 

2/10/20

 

 

127,146

 

USD

1,417,509

 

NZD

2,129,000

 

 

 

2/10/20

 

 

41,233

 

USD

24,818,456

 

RUB

1,540,355,000

 

 

 

2/10/20

 

 

741,569

 

USD

8,355,465

 

SGD

11,272,943

 

 

 

2/10/20

 

 

94,738

 

USD

4,162,171

 

KRW

4,816,880,761

 

 

 

2/13/20

 

 

124,755

 

USD

18,883,752

 

AUD

27,503,000

 

 

 

2/14/20

 

 

470,268

 

USD

19,149,684

 

AUD

27,927,000

 

 

 

2/14/20

 

 

452,328

 

USD

19,762,395

 

NZD

29,780,000

 

 

 

2/21/20

 

 

508,682

 

USD

9,820,809

 

NZD

14,799,000

 

 

 

2/21/20

 

 

252,786

 

USD

6,888,983

 

NZD

10,720,267

 

 

 

2/24/20

 

 

(42,272)

 

USD

12,892,869

 

NZD

20,063,194

 

 

 

2/24/20

 

 

(79,114)

 

JPY

8,367,251,719

 

USD

77,435,835

 

 

 

2/26/20

 

 

(125,376)

 

USD

25,473,428

 

JPY

2,752,505,810

 

 

 

2/26/20

 

 

41,244

 

BRL

101,702,000

 

USD

24,231,493

 

 

 

3/3/20

 

 

(519,658)

 

USD

5,268,114

 

EUR

4,755,989

 

 

 

3/3/20

 

 

(15,558)

 

USD

9,070,519

 

EUR

8,192,600

 

 

 

3/3/20

 

 

(31,060)

 

AUD

17,849,697

 

USD

12,203,124

 

 

 

3/5/20

 

 

(248,067)

 

USD

7,077,496

 

NZD

10,874,000

 

 

 

3/5/20

 

 

45,947

 

USD

2,706,293

 

NZD

4,158,000

 

 

 

3/5/20

 

 

17,569

 

USD

41,768,155

 

EUR

37,289,000

 

 

 

3/6/20

 

 

334,250

 

USD

32,367,906

 

EUR

28,896,820

 

 

 

3/6/20

 

 

259,025

 

USD

12,424,303

 

EUR

11,091,939

 

 

 

3/6/20

 

 

99,426

 

USD

6,467,573

 

EUR

5,774,000

 

 

 

3/6/20

 

 

51,757

 

PHP

458,712,000

 

USD

8,999,823

 

 

 

3/9/20

 

 

(24,057)

 

PHP

458,712,000

 

USD

9,001,413

 

 

 

3/9/20

 

 

(25,646)

 

USD

22,135,491

 

PHP

1,162,888,000

 

 

 

3/9/20

 

 

(619,117)

 

AUD

31,921,000

 

USD

21,955,104

 

 

 

3/10/20

 

 

(573,634)

 

USD

574,504

 

KRW

665,890,000

 

 

 

3/10/20

 

 

17,555

 

USD

4,224,334

 

KRW

5,024,212,000

 

 

 

3/10/20

 

 

22,095

 

USD

151,813

 

KRW

176,487,054

 

 

 

3/10/20

 

 

4,200

 

JPY

4,071,042,626

 

USD

37,718,238

 

 

 

3/11/20

 

 

(74,643)

 

AUD

92,906,533

 

USD

63,409,303

 

 

 

3/13/20

 

 

(1,174,764)

 

JPY

1,673,386,602

 

USD

15,481,777

 

 

 

3/13/20

 

 

(6,796)

 

USD

74,769,416

 

AUD

109,551,230

 

 

 

3/13/20

 

 

1,385,229

 

USD

33,243,210

 

NZD

50,858,000

 

 

 

3/13/20

 

 

352,886

 

USD

4,231,061

 

NZD

6,473,000

 

 

 

3/13/20

 

 

44,914

 

INR

410,721,000

 

USD

5,758,040

 

 

 

3/16/20

 

 

(49,221)

 

INR

768,445,000

 

USD

10,770,077

 

 

 

3/16/20

 

 

(89,071)

 

NOK

411,372,700

 

USD

45,605,213

 

 

 

3/19/20

 

 

(873,051)

 

CAD

73,204,311

 

USD

55,855,784

 

 

 

3/20/20

 

 

(542,501)

 

GBP

1,887,981

 

USD

2,453,243

 

 

 

3/20/20

 

 

42,832

 

GBP

2,247,792

 

USD

2,939,033

 

 

 

3/20/20

 

 

32,743

 

GBP

2,272,817

 

USD

2,972,390

 

 

 

3/20/20

 

 

32,471

 

GBP

470,993

 

USD

611,914

 

 

 

3/20/20

 

 

10,780

 

USD

55,855,784

 

CAD

72,864,987

 

 

 

3/20/20

 

 

798,894

 

JPY

1,857,000,000

 

USD

17,078,218

 

 

 

3/26/20

 

 

107,215

 

NZD

13,944,849

 

USD

9,122,869

 

 

 

3/31/20

 

 

(102,405)

 

USD

41,930,326

 

NZD

64,093,000

 

 

 

3/31/20

 

 

470,671

 

INR

724,980,000

 

USD

10,067,768

 

 

 

4/3/20

 

 

(16,053)

 

EUR

10,129,852

 

USD

11,315,166

 

 

 

4/9/20

 

 

(35,772)

 

EUR

28,896,819

 

USD

32,503,085

 

 

 

4/9/20

 

 

(327,036)

 

USD

48,062,015

 

EUR

42,729,464

 

 

 

4/9/20

 

 

483,585

 

USD

43,966,106

 

EUR

39,088,002

 

 

 

4/9/20

 

 

442,373

 

USD

31,801,806

 

EUR

28,273,348

 

 

 

4/9/20

 

 

319,980

 

USD

13,948,398

 

EUR

12,400,803

 

 

 

4/9/20

 

 

140,344

 

USD

11,801,129

 

RUB

737,901,000

 

 

 

4/9/20

 

 

339,604

 

AUD

34,615,000

 

USD

23,780,055

 

 

 

4/14/20

 

 

(578,511)

 

INR

1,204,990

 

USD

16,822

 

 

 

4/15/20

 

 

(138)

 

INR

66,896,000

 

USD

932,999

 

 

 

4/15/20

 

 

(6,803)

 

USD

48,283,667

 

EUR

43,121,582

 

 

 

4/15/20

 

 

251,265

 

USD

56,171,390

 

ZAR

810,996,912

 

 

 

4/20/20

 

 

2,672,340

 

USD

39,683,146

 

ZAR

581,457,300

 

 

 

4/20/20

 

 

1,326,141

 

USD

19,106,023

 

ZAR

279,951,000

 

 

 

4/20/20

 

 

638,490

 

ZAR

577,210,000

 

USD

39,393,278

 

 

 

4/20/20

 

 

(1,316,454)

 

USD

5,507,695

 

KRW

6,369,264,000

 

 

 

4/22/20

 

 

176,668

 

USD

3,226,500

 

KRW

3,749,193,000

 

 

 

4/22/20

 

 

88,453

 

USD

77,506,679

 

EUR

69,360,000

 

 

 

4/24/20

 

 

205,836

 

USD

22,980,901

 

KRW

26,703,806,389

 

 

 

4/29/20

 

 

628,443

 

USD

7,115,358

 

EUR

6,376,340

 

 

 

5/8/20

 

 

3,097

 

USD

5,177,776

 

EUR

4,640,000

 

 

 

5/8/20

 

 

2,254

 

USD

1,828,960

 

EUR

1,639,000

 

 

 

5/8/20

 

 

796

 

USD

21,252,508

 

EUR

19,083,051

 

 

 

5/8/20

 

 

(33,001)

 

USD

48,788,660

 

ZAR

717,447,000

 

 

 

5/26/20

 

 

1,683,646

 

USD

81,884,413

 

EUR

72,337,013

 

 

 

7/10/20

 

 

907,264

 

USD

41,399,577

 

EUR

36,572,549

 

 

 

7/10/20

 

 

458,699

 

USD

4,075,146

 

EUR

3,600,000

 

 

 

7/10/20

 

 

45,152

 

EUR

1,818,678

 

USD

2,051,160

 

 

 

7/17/20

 

 

(14,436)

 

EUR

5,774,000

 

USD

6,512,090

 

 

 

7/17/20

 

 

(45,833)

 

USD

76,820,574

 

EUR

68,113,611

 

 

 

7/17/20

 

 

540,670

 

USD

8,939,181

 

EUR

7,926,000

 

 

 

7/17/20

 

 

62,915

 

USD

2,051,159

 

EUR

1,818,678

 

 

 

7/17/20

 

 

14,436

 

USD

5,955,559

 

IDR

82,526,178,894

 

 

 

7/21/20

 

 

89,905

 

USD

4,767,041

 

IDR

66,095,025,000

 

 

 

7/21/20

 

 

69,253

 

___________________________________________________________________________________________________________

 

 

 

 

 

 

$

9,012,771

 

___________________________________________________________________________________________________________

 


Forward Foreign Currency Exchange Contracts

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

Unrealized
(Depreciation)

 

___________________________________________________________________________________________________________

 

AED

51,000,000

 

USD

13,875,663

 

Standard Chartered Bank

 

2/3/20

 

$

9,255

$

—

 

AED

4,000,000

 

USD

1,089,037

 

Standard Chartered Bank

 

2/3/20

 

 

—

 

(24)

 

AED

74,626,500

 

USD

20,318,418

 

Standard Chartered Bank

 

2/3/20

 

 

—

 

(1,106)

 

EUR

19,110,250

 

USD

21,030,830

 

UBS AG

 

2/3/20

 

 

163,383

 

—

 

EUR

19,110,250

 

USD

21,088,161

 

UBS AG

 

2/3/20

 

 

106,053

 

—

 

EUR

7,703,664

 

USD

8,477,883

 

UBS AG

 

2/3/20

 

 

65,863

 

—

 

EUR

7,703,664

 

USD

8,500,994

 

UBS AG

 

2/3/20

 

 

42,752

 

—

 

EUR

4,445,000

 

USD

4,891,723

 

UBS AG

 

2/3/20

 

 

38,003

 

—

 

EUR

4,445,000

 

USD

4,905,058

 

UBS AG

 

2/3/20

 

 

24,668

 

—

 

TRY

1,826,000

 

USD

264,830

 

Goldman Sachs International

 

2/3/20

 

 

40,279

 

—

 

TRY

56,075,000

 

USD

12,210,125

 

Goldman Sachs International

 

2/3/20

 

 

—

 

(2,840,477)

 

TRY

75,000,000

 

USD

16,383,058

 

Goldman Sachs International

 

2/3/20

 

 

—

 

(3,851,206)

 

TRY

105,714,000

 

USD

23,012,321

 

Goldman Sachs International

 

2/3/20

 

 

—

 

(5,348,425)

 

TRY

137,406

 

USD

19,923

 

JPMorgan Chase Bank, N.A.

 

2/3/20

 

 

3,037

 

—

 

TRY

22,380,694

 

USD

4,837,709

 

JPMorgan Chase Bank, N.A.

 

2/3/20

 

 

—

 

(1,098,089)

 

TRY

24,435,900

 

USD

5,260,689

 

JPMorgan Chase Bank, N.A.

 

2/3/20

 

 

—

 

(1,177,661)

 

USD

35,157,716

 

AED

129,626,500

 

Standard Chartered Bank

 

2/3/20

 

 

—

 

(133,527)

 

USD

21,247,541

 

EUR

19,110,250

 

UBS AG

 

2/3/20

 

 

53,327

 

—

 

USD

8,565,242

 

EUR

7,703,664

 

UBS AG

 

2/3/20

 

 

21,497

 

—

 

USD

4,942,129

 

EUR

4,445,000

 

UBS AG

 

2/3/20

 

 

12,404

 

—

 

USD

4,905,058

 

EUR

4,445,000

 

UBS AG

 

2/3/20

 

 

—

 

(24,668)

 

USD

8,500,994

 

EUR

7,703,664

 

UBS AG

 

2/3/20

 

 

—

 

(42,752)

 

USD

21,088,161

 

EUR

19,110,250

 

UBS AG

 

2/3/20

 

 

—

 

(106,053)

 

USD

47,022,367

 

TRY

238,615,000

 

Goldman Sachs International

 

2/3/20

 

 

7,151,862

 

—

 

USD

9,296,901

 

TRY

46,954,000

 

JPMorgan Chase Bank, N.A.

 

2/3/20

 

 

1,451,294

 

—

 

BRL

119,700,000

 

USD

28,036,070

 

Standard Chartered Bank

 

2/4/20

 

 

—

 

(85,759)

 

EUR

8,192,600

 

USD

9,055,281

 

Citibank, N.A.

 

2/4/20

 

 

30,718

 

—

 

USD

29,631,529

 

BRL

119,700,000

 

Standard Chartered Bank

 

2/4/20

 

 

1,681,219

 

—

 

USD

9,051,938

 

EUR

8,192,600

 

Standard Chartered Bank

 

2/4/20

 

 

—

 

(34,061)

 

TRY

203,749,000

 

USD

34,281,250

 

Standard Chartered Bank

 

2/6/20

 

 

—

 

(261,086)

 

AED

108,000,000

 

USD

29,380,560

 

Standard Chartered Bank

 

2/10/20

 

 

22,797

 

—

 

EGP

140,315,000

 

USD

7,556,004

 

Goldman Sachs International

 

2/10/20

 

 

1,308,198

 

—

 

EGP

127,882,000

 

USD

7,288,800

 

Goldman Sachs International

 

2/10/20

 

 

789,965

 

—

 

TRY

373,541

 

USD

54,154

 

Deutsche Bank AG

 

2/10/20

 

 

8,156

 

—

 

TRY

65,656,459

 

USD

14,248,363

 

Deutsche Bank AG

 

2/10/20

 

 

—

 

(3,296,165)

 

TRY

538,000

 

USD

77,354

 

Standard Chartered Bank

 

2/10/20

 

 

12,390

 

—

 

TRY

56,075,000

 

USD

12,196,846

 

Standard Chartered Bank

 

2/10/20

 

 

—

 

(2,842,937)

 

TRY

65,656,000

 

USD

14,263,741

 

Standard Chartered Bank

 

2/10/20

 

 

—

 

(3,311,619)

 

USD

46,457,938

 

AED

171,309,000

 

Standard Chartered Bank

 

2/10/20

 

 

—

 

(181,504)

 

USD

61,108,343

 

AED

225,318,683

 

Standard Chartered Bank

 

2/10/20

 

 

—

 

(235,413)

 

USD

5,226,209

 

CLP

4,032,000,000

 

Standard Chartered Bank

 

2/10/20

 

 

188,395

 

—

 

USD

5,435,173

 

CLP

4,208,900,000

 

Standard Chartered Bank

 

2/10/20

 

 

176,330

 

—

 

USD

418,082

 

CLP

324,100,000

 

Standard Chartered Bank

 

2/10/20

 

 

13,133

 

—

 

USD

13,012,119

 

TRY

66,030,000

 

Deutsche Bank AG

 

2/10/20

 

 

1,997,610

 

—

 

USD

24,106,664

 

TRY

122,269,000

 

Standard Chartered Bank

 

2/10/20

 

 

3,710,889

 

—

 

USD

3,767,929

 

UAH

95,517,000

 

Bank of America, N.A.

 

2/12/20

 

 

—

 

(39,192)

 

USD

3,767,913

 

UAH

95,705,000

 

Citibank, N.A.

 

2/12/20

 

 

—

 

(46,701)

 

USD

16,088,960

 

KRW

18,672,281,000

 

Australia and New Zealand Banking Group Limited

 

2/13/20

 

 

438,217

 

—

 

USD

14,401,086

 

KRW

16,670,088,000

 

Australia and New Zealand Banking Group Limited

 

2/13/20

 

 

428,542

 

—

 

USD

4,046,263

 

KRW

4,728,055,000

 

Australia and New Zealand Banking Group Limited

 

2/13/20

 

 

83,299

 

—

 

USD

2,381,665

 

KRW

2,758,955,400

 

Australia and New Zealand Banking Group Limited

 

2/13/20

 

 

69,162

 

—

 

USD

2,381,637

 

KRW

2,780,282,418

 

Australia and New Zealand Banking Group Limited

 

2/13/20

 

 

51,258

 

—

 

USD

3,762,609

 

UAH

95,194,000

 

Citibank, N.A.

 

2/13/20

 

 

—

 

(30,901)

 

USD

3,767,905

 

UAH

95,328,000

 

Citibank, N.A.

 

2/13/20

 

 

—

 

(30,944)

 

TRY

80,401,306

 

USD

17,459,567

 

Goldman Sachs International

 

2/14/20

 

 

—

 

(4,059,926)

 

TRY

743,459

 

USD

106,819

 

Standard Chartered Bank

 

2/14/20

 

 

17,086

 

—

 

TRY

83,851,541

 

USD

18,214,737

 

Standard Chartered Bank

 

2/14/20

 

 

—

 

(4,240,081)

 

UAH

59,600,000

 

USD

2,386,864

 

Standard Chartered Bank

 

2/14/20

 

 

—

 

(12,248)

 

USD

16,049,767

 

TRY

80,401,306

 

Goldman Sachs International

 

2/14/20

 

 

2,650,126

 

—

 

USD

16,600,142

 

TRY

84,595,000

 

Standard Chartered Bank

 

2/14/20

 

 

2,501,582

 

—

 

USD

7,349,695

 

BHD

2,830,000

 

Bank of America, N.A.

 

2/18/20

 

 

—

 

(156,294)

 

MYR

25,266,000

 

USD

6,082,330

 

State Street Bank and Trust Company

 

2/20/20

 

 

73,171

 

—

 

USD

6,092,009

 

MYR

25,266,000

 

Barclays Bank PLC

 

2/20/20

 

 

—

 

(63,492)

 

EUR

9,613,783

 

RSD

1,134,907,034

 

JPMorgan Chase Bank, N.A.

 

2/24/20

 

 

—

 

(21,950)

 

EUR

313,402

 

USD

350,271

 

Australia and New Zealand Banking Group Limited

 

2/24/20

 

 

—

 

(2,268)

 

EUR

1,516,007

 

USD

1,672,779

 

Bank of America, N.A.

 

2/24/20

 

 

10,603

 

—

 

EUR

4,374,019

 

USD

4,867,518

 

Bank of America, N.A.

 

2/24/20

 

 

—

 

(10,584)

 

EUR

7,646,222

 

USD

8,525,063

 

Bank of America, N.A.

 

2/24/20

 

 

—

 

(34,657)

 

EUR

11,464,028

 

USD

12,793,202

 

Goldman Sachs International

 

2/24/20

 

 

—

 

(63,483)

 

INR

339,970,000

 

USD

4,754,466

 

Australia and New Zealand Banking Group Limited

 

2/24/20

 

 

—

 

(11,575)

 

INR

127,093,200

 

USD

1,788,335

 

Australia and New Zealand Banking Group Limited

 

2/24/20

 

 

—

 

(15,269)

 

INR

475,200,000

 

USD

6,682,539

 

Australia and New Zealand Banking Group Limited

 

2/24/20

 

 

—

 

(53,066)

 

INR

878,324,000

 

USD

12,329,448

 

Australia and New Zealand Banking Group Limited

 

2/24/20

 

 

—

 

(76,030)

 

INR

2,595,000

 

USD

35,706

 

Goldman Sachs International

 

2/24/20

 

 

497

 

—

 

USD

1,694,491

 

EUR

1,522,694

 

Bank of America, N.A.

 

2/24/20

 

 

3,684

 

—

 

USD

2,579,266

 

EUR

2,314,559

 

Goldman Sachs International

 

2/24/20

 

 

9,167

 

—

 

USD

1,319,741

 

EUR

1,184,298

 

Goldman Sachs International

 

2/24/20

 

 

4,691

 

—

 

USD

1,242,121

 

EUR

1,114,643

 

Goldman Sachs International

 

2/24/20

 

 

4,415

 

—

 

USD

1,159,543

 

EUR

1,040,540

 

Goldman Sachs International

 

2/24/20

 

 

4,121

 

—

 

USD

166,831

 

EUR

148,589

 

Morgan Stanley & Co. International PLC

 

2/24/20

 

 

1,837

 

—

 

USD

4,897,990

 

EUR

4,445,000

 

UBS AG

 

2/24/20

 

 

—

 

(37,762)

 

USD

8,488,745

 

EUR

7,703,664

 

UBS AG

 

2/24/20

 

 

—

 

(65,446)

 

USD

21,057,776

 

EUR

19,110,250

 

UBS AG

 

2/24/20

 

 

—

 

(162,349)

 

USD

20,703,452

 

ZAR

309,175,000

 

Standard Chartered Bank

 

2/24/20

 

 

157,990

 

—

 

EUR

11,985,972

 

RSD

1,410,629,043

 

HSBC Bank USA, N.A.

 

2/27/20

 

 

15,370

 

—

 

UAH

38,755,394

 

USD

1,552,700

 

Bank of America, N.A.

 

2/28/20

 

 

—

 

(12,777)

 

USD

2,552,192

 

UAH

63,268,850

 

Bank of America, N.A.

 

3/3/20

 

 

40,190

 

—

 

EUR

9,264,808

 

RSD

1,093,710,594

 

JPMorgan Chase Bank, N.A.

 

3/4/20

 

 

—

 

(16,365)

 

THB

295,713,451

 

USD

9,771,775

 

Standard Chartered Bank

 

3/6/20

 

 

—

 

(278,754)

 

USD

25,722,604

 

THB

778,417,451

 

Standard Chartered Bank

 

3/6/20

 

 

733,775

 

—

 

USD

714,503

 

KRW

834,362,000

 

Australia and New Zealand Banking Group Limited

 

3/10/20

 

 

16,644

 

—

 

USD

3,505,583

 

BHD

1,350,000

 

Credit Agricole Corporate and Investment Bank

 

3/12/20

 

 

—

 

(74,467)

 

USD

4,750,977

 

OMR

1,884,000

 

Standard Chartered Bank

 

3/12/20

 

 

—

 

(140,193)

 

NOK

486,950,000

 

EUR

49,039,749

 

Standard Chartered Bank

 

3/16/20

 

 

—

 

(1,574,735)

 

USD

28,131,141

 

THB

849,609,458

 

Standard Chartered Bank

 

3/16/20

 

 

850,847

 

—

 

UGX

1,580,167,000

 

USD

416,711

 

Citibank, N.A.

 

3/20/20

 

 

8,889

 

—

 

UGX

16,904,446,000

 

USD

4,207,179

 

Citibank, N.A.

 

3/23/20

 

 

343,649

 

—

 

EUR

21,681,198

 

RSD

2,551,876,957

 

Citibank, N.A.

 

3/24/20

 

 

63,437

 

—

 

UGX

16,908,653,925

 

USD

4,207,179

 

Citibank, N.A.

 

3/25/20

 

 

343,323

 

—

 

UGX

3,654,323,000

 

USD

964,710

 

Standard Chartered Bank

 

3/27/20

 

 

18,436

 

—

 

USD

19,758,300

 

ZAR

296,497,000

 

Standard Chartered Bank

 

3/27/20

 

 

137,819

 

—

 

USD

1,635,006

 

UAH

39,747,000

 

Goldman Sachs International

 

4/3/20

 

 

67,395

 

—

 

USD

3,787,879

 

OMR

1,500,000

 

Credit Agricole Corporate and Investment Bank

 

4/6/20

 

 

—

 

(105,293)

 

USD

32,378,657

 

THB

980,879,038

 

Standard Chartered Bank

 

4/10/20

 

 

866,077

 

—

 

UGX

1,574,165,000

 

USD

390,709

 

Standard Chartered Bank

 

4/14/20

 

 

31,051

 

—

 

UGX

3,849,800,000

 

USD

959,093

 

Citibank, N.A.

 

4/20/20

 

 

70,412

 

—

 

EGP

18,550,000

 

USD

971,459

 

Goldman Sachs International

 

4/21/20

 

 

175,724

 

—

 

EGP

56,500,000

 

USD

2,958,115

 

HSBC Bank USA, N.A.

 

4/21/20

 

 

536,000

 

—

 

USD

5,358,126

 

CNH

37,000,000

 

Citibank, N.A.

 

4/21/20

 

 

85,146

 

—

 

USD

3,524,319

 

CNH

24,220,000

 

UBS AG

 

4/23/20

 

 

72,862

 

—

 

USD

7,947,020

 

THB

241,351,000

 

Standard Chartered Bank

 

4/24/20

 

 

190,941

 

—

 

USD

26,277,227

 

KRW

30,545,700,000

 

Barclays Bank PLC

 

4/29/20

 

 

708,907

 

—

 

EGP

147,335,000

 

USD

7,734,121

 

Goldman Sachs International

 

5/7/20

 

 

1,339,594

 

—

 

EGP

136,520,000

 

USD

7,185,263

 

Societe Generale

 

5/13/20

 

 

1,209,001

 

—

 

AED

14,203,000

 

USD

3,863,185

 

Standard Chartered Bank

 

5/21/20

 

 

2,228

 

—

 

USD

3,854,797

 

AED

14,203,000

 

Standard Chartered Bank

 

5/21/20

 

 

—

 

(10,616)

 

USD

4,904,943

 

OMR

1,935,000

 

Standard Chartered Bank

 

5/21/20

 

 

—

 

(113,734)

 

USD

605,446

 

GHS

3,669,000

 

ICBC Standard Bank plc

 

5/22/20

 

 

—

 

(35,092)

 

USD

1,222,772

 

GHS

7,410,000

 

ICBC Standard Bank plc

 

5/22/20

 

 

—

 

(70,873)

 

USD

502,391

 

GHS

3,047,000

 

JPMorgan Chase Bank, N.A.

 

5/22/20

 

 

—

 

(29,558)

 

USD

1,243,931

 

GHS

7,532,000

 

JPMorgan Chase Bank, N.A.

 

5/22/20

 

 

—

 

(71,014)

 

USD

1,518,294

 

GHS

9,254,000

 

ICBC Standard Bank plc

 

5/26/20

 

 

—

 

(94,407)

 

USD

494,042

 

GHS

3,039,000

 

JPMorgan Chase Bank, N.A.

 

5/29/20

 

 

—

 

(34,861)

 

USD

249,552

 

GHS

1,531,000

 

Standard Chartered Bank

 

5/29/20

 

 

—

 

(16,901)

 

USD

624,544

 

GHS

3,855,000

 

JPMorgan Chase Bank, N.A.

 

6/3/20

 

 

—

 

(44,889)

 

USD

2,036,846

 

GHS

12,659,000

 

Standard Chartered Bank

 

6/4/20

 

 

—

 

(160,455)

 

USD

765,133

 

GHS

4,740,000

 

JPMorgan Chase Bank, N.A.

 

6/8/20

 

 

—

 

(56,164)

 

USD

1,288,382

 

GHS

7,901,000

 

Standard Chartered Bank

 

6/8/20

 

 

—

 

(80,620)

 

UGX

3,554,626,000

 

USD

880,076

 

Standard Chartered Bank

 

6/15/20

 

 

59,579

 

—

 

USD

1,259,464

 

GHS

7,752,000

 

Standard Chartered Bank

 

6/15/20

 

 

—

 

(79,578)

 

USD

741,998

 

GHS

4,567,000

 

JPMorgan Chase Bank, N.A.

 

6/17/20

 

 

—

 

(46,188)

 

USD

739,595

 

GHS

4,567,000

 

Standard Chartered Bank

 

6/19/20

 

 

—

 

(47,898)

 

USD

1,035,855

 

GHS

6,298,000

 

JPMorgan Chase Bank, N.A.

 

6/22/20

 

 

—

 

(48,685)

 

UGX

3,964,490,000

 

USD

989,391

 

Citibank, N.A.

 

6/26/20

 

 

56,662

 

—

 

USD

936,339

 

GHS

5,795,000

 

JPMorgan Chase Bank, N.A.

 

6/26/20

 

 

—

 

(59,833)

 

UGX

19,325,459,000

 

USD

4,845,295

 

Standard Chartered Bank

 

7/2/20

 

 

248,675

 

—

 

USD

1,302,249

 

GHS

7,985,000

 

Citibank, N.A.

 

7/2/20

 

 

—

 

(66,787)

 

UGX

16,955,721,000

 

USD

4,258,092

 

Standard Chartered Bank

 

7/10/20

 

 

205,215

 

—

 

USD

1,284,910

 

GHS

7,872,000

 

JPMorgan Chase Bank, N.A.

 

7/13/20

 

 

—

 

(58,291)

 

BRL

38,197,000

 

USD

9,913,653

 

Standard Chartered Bank

 

7/23/20

 

 

—

 

(1,070,278)

 

USD

9,910,408

 

BRL

38,197,000

 

Standard Chartered Bank

 

7/23/20

 

 

1,067,032

 

—

 

UGX

2,576,770,000

 

USD

645,807

 

Citibank, N.A.

 

8/10/20

 

 

27,741

 

—

 

UGX

3,610,435,000

 

USD

907,829

 

Standard Chartered Bank

 

8/14/20

 

 

34,149

 

—

 

USD

4,940,466

 

OMR

1,946,000

 

Deutsche Bank AG

 

8/27/20

 

 

—

 

(98,701)

 

EGP

95,900,000

 

USD

5,407,387

 

Goldman Sachs International

 

11/12/20

 

 

232,012

 

—

 

USD

5,479,625

 

OMR

2,165,000

 

BNP Paribas

 

2/16/21

 

 

—

 

(99,818)

 

USD

46,099,201

 

OMR

18,170,000

 

Standard Chartered Bank

 

3/10/21

 

 

—

 

(697,817)

 

USD

23,189,500

 

OMR

9,138,750

 

Standard Chartered Bank

 

3/29/21

 

 

—

 

(334,827)

 

USD

23,457,728

 

AED

86,430,000

 

BNP Paribas

 

4/5/21

 

 

—

 

(36,980)

 

USD

100,000,000

 

AED

368,410,000

 

Credit Agricole Corporate and Investment Bank

 

4/5/21

 

 

—

 

(146,772)

 

USD

6,889,064

 

AED

25,380,000

 

BNP Paribas

 

4/8/21

 

 

—

 

(10,003)

 

USD

13,779,125

 

AED

50,749,895

 

BNP Paribas

 

4/8/21

 

 

—

 

(16,263)

 

USD

61,323,814

 

AED

225,892,400

 

Standard Chartered Bank

 

4/8/21

 

 

—

 

(80,711)

 

USD

77,166,210

 

AED

284,180,000

 

Standard Chartered Bank

 

4/8/21

 

 

—

 

(82,683)

 

USD

9,084,659

 

OMR

3,568,000

 

BNP Paribas

 

4/8/21

 

 

—

 

(97,245)

 

USD

7,091,855

 

OMR

2,781,000

 

Standard Chartered Bank

 

4/26/21

 

 

—

 

(61,150)

 

USD

17,461,490

 

OMR

6,858,000

 

Standard Chartered Bank

 

5/27/21

 

 

—

 

(162,559)

 

USD

9,440,346

 

OMR

3,711,000

 

BNP Paribas

 

7/6/21

 

 

—

 

(85,645)

 

USD

9,949,641

 

OMR

3,912,000

 

Standard Chartered Bank

 

7/6/21

 

 

—

 

(92,309)

 

USD

8,422,392

 

OMR

3,310,000

 

BNP Paribas

 

7/19/21

 

 

—

 

(71,142)

 

USD

35,093,372

 

OMR

13,793,450

 

Standard Chartered Bank

 

8/9/21

 

 

—

 

(280,039)

 

USD

1,085,187

 

AED

4,000,000

 

Standard Chartered Bank

 

1/31/22

 

 

—

 

(450)

 

___________________________________________________________________________________________________________

 

 

$

35,491,707

$

(41,061,170)

 

___________________________________________________________________________________________________________

 


Futures Contracts

 

Description

 

Number of
Contracts

 

Position

 

Expiration
Date

 

Notional
Amount

 

Value/Unrealized
Appreciation (Depreciation)

___________________________________________________________________________________________________________

 


Commodity Futures

 

WTI Crude Oil

 

624

 

Long

 

7/20/20

 

$

32,192,160

$

(3,608,494)

 

WTI Crude Oil

 

566

 

Short

 

3/19/20

 

 

(29,250,880)

 

4,291,595

 


Equity Futures

 

SPI 200 Index

 

102

 

Long

 

3/19/20

 

 

11,724,036

 

120,053

 

TOPIX Index

 

131

 

Long

 

3/12/20

 

 

19,917,244

 

(828,718)

 


Interest Rate Futures

 

Euro-Bobl

 

131

 

Short

 

3/6/20

 

 

(19,607,729)

 

(121,397)

 

Euro-Bund

 

53

 

Short

 

3/6/20

 

 

(10,288,786)

 

(166,934)

 

U.S. 2-Year Treasury Note

 

151

 

Short

 

3/31/20

 

 

(32,670,266)

 

(102,110)

 

U.S. 5-Year Treasury Note

 

448

 

Short

 

3/31/20

 

 

(53,903,500)

 

(524,922)

 

U.S. Ultra-Long Treasury Bond

 

12

 

Short

 

3/20/20

 

 

(2,324,250)

 

(59,665)

 

___________________________________________________________________________________________________________

 

 

$

(1,000,592)

 

___________________________________________________________________________________________________________

 

 

 

WTI – West Texas Intermediate

 

 

 

 

 


Centrally Cleared Inflation Swaps

 
                                                                                                                 
 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Notional
Amount
(000's omitted)

 

 

Portfolio
Pays/Receives
Return on
Reference Index

 

Reference Index

 

Portfolio
Pays/Receives
Rate

 

Annual Rate

 

Termination
Date

 

Value/Unrealized
Appreciation (Depreciation)

 

___________________________________________________________________________________________________________

 

EUR

 

13,634

 

 

Receives

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Pays

 

1.57%
(pays upon termination)

 

8/15/32

$

(993,545)

 

EUR

 

13,669

 

 

Receives

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Pays

 

1.59%
(pays upon termination)

 

8/15/32

 

(1,041,395)

 

EUR

 

13,346

 

 

Receives

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Pays

 

1.60%
(pays upon termination)

 

8/15/32

 

(1,061,139)

 

EUR

 

13,427

 

 

Receives

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Pays

 

1.64%
(pays upon termination)

 

10/15/32

 

(1,146,647)

 

EUR

 

13,634

 

 

Pays

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Receives

 

1.77%
(pays upon termination)

 

8/15/42

 

2,012,552

 

EUR

 

13,669

 

 

Pays

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Receives

 

1.78%
(pays upon termination)

 

8/15/42

 

2,034,271

 

EUR

 

13,346

 

 

Pays

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Receives

 

1.79%
(pays upon termination)

 

8/15/42

 

2,080,703

 

EUR

 

13,427

 

 

Pays

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Receives

 

1.85%
(pays upon termination)

 

10/15/42

 

2,356,840

 

EUR

 

1,231

 

 

Pays

 

Eurostat Eurozone HICP ex Tobacco NSA
(pays upon termination)

 

Receives

 

1.90%
(pays upon termination)

 

8/4/47

 

278,110

 

USD

 

74,987

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pay

 

1.73%
(pays upon termination)

 

6/21/24

 

(163,474)

 

USD

 

36,990

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

1.88%
(pays upon termination)

 

7/15/24

 

(390,480)

 

USD

 

3,927

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

2.16%
(pays upon termination)

 

8/4/47

 

(284,411)

 

USD

 

6,107

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

2.13%
(pays upon termination)

 

8/22/47

 

(376,922)

 

USD

 

6,072

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

2.15%
(pays upon termination)

 

8/25/47

 

(404,316)

 

USD

 

6,054

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

2.15%
(pays upon termination)

 

9/1/47

 

(408,481)

 

USD

 

5,275

 

 

Receives

 

Return on CPI-U (NSA)
(pays upon termination)

 

Pays

 

2.22%
(pays upon termination)

 

10/5/47

 

(484,835)

 

___________________________________________________________________________________________________________

 

 

$

2,006,831

___________________________________________________________________________________________________________

 

 

 

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

 

HICP - Harmonised Indices of Consumer Prices

 

 

 


Centrally Cleared Interest Rate Swaps

 

Notional
Amount
(000's omitted)

 

Portfolio
Pays/
Receives
Floating
Rate

 

Floating
Rate

 

Annual
Fixed Rate

 

Termination
Date

 


Value

Unamortized
Upfront
Receipts
(Payments)

 

Unrealized
Appreciation (Depreciation)

___________________________________________________________________________________________________________

 

AUD

 

7,000

 

Receives

 

6-Month AUD LIBOR
(pays semi-annually)

 

1.11%
(pays semi-annually)

8/22/29

$

(20,415)

$

—

$

(20,415)

AUD

 

25,000

 

Receives

 

6-Month AUD LIBOR
(pays semi-annually)

 

1.11%
(pays semi-annually)

8/22/29

 

(71,299)

 

—

 

(71,299)

AUD

 

31,000

 

Receives

 

6-Month AUD LIBOR
(pays semi-annually)

 

1.10%
(pays semi-annually)

8/22/29

 

(72,426)

 

—

 

(72,426)

AUD

 

42,000

 

Receives

 

6-Month AUD LIBOR
(pays semi-annually)

 

1.10%
(pays semi-annually)

8/22/29

 

(92,711)

 

—

 

(92,711)

CAD

 

155,500

 

Receives

 

3-month Canadian Bankers Acceptances
(pays quarterly)

 

1.80%
(pays semi-annually)

6/11/24

 

(709,647)

 

—

 

(709,647)

CNY

 

102,100

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.18%
(pays quarterly)

4/30/24

 

351,409

 

—

 

351,409

CNY

 

102,100

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.18%
(pays quarterly)

4/30/24

 

349,929

 

—

 

349,929

CNY

 

163,300

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.18%
(pays quarterly)

4/30/24

 

564,415

 

—

 

564,415

CNY

 

306,300

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.18%
(pays quarterly)

4/30/24

 

1,049,786

 

—

 

1,049,786

CNY

 

29,590

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

56,704

 

—

 

56,704

CNY

 

59,180

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

112,499

 

—

 

112,499

CNY

 

59,180

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

111,771

 

—

 

111,771

CNY

 

78,906

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

147,571

 

—

 

147,571

CNY

 

90,742

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

173,892

 

—

 

173,892

CNY

 

118,359

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.90%
(pays quarterly)

6/6/24

 

224,996

 

—

 

224,996

CNY

 

39,453

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.87%
(pays quarterly)

6/10/24

 

68,100

 

—

 

68,100

CNY

 

77,000

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.96%
(pays quarterly)

6/12/24

 

170,463

 

—

 

170,463

CNY

 

147,200

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.95%
(pays quarterly)

6/12/24

 

316,822

 

—

 

316,822

CNY

 

180,000

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.94%
(pays quarterly)

6/12/24

 

381,885

 

—

 

381,885

CNY

 

231,000

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.94%
(pays quarterly)

6/12/24

 

487,672

 

—

 

487,672

CNY

 

42,255

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.22%
(pays quarterly)

6/19/24

 

160,653

 

—

 

160,653

CNY

 

147,945

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

3.22%
(pays quarterly)

6/19/24

 

562,485

 

—

 

562,485

CNY

 

111,819

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.67%
(pays quarterly)

8/12/24

 

53,142

 

—

 

53,142

CNY

 

196,330

 

Pays

 

7-day China Fixing Repo Rates
(pays quarterly)

 

2.67%
(pays quarterly)

8/12/24

 

83,762

 

—

 

83,762

EUR

 

7,400

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

1.00%
(pays annually)

3/21/23

 

(432,585)

 

164,240

 

(268,345)

EUR

 

2,800

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.30)%
(pays annually)

7/23/24

 

2,642

 

—

 

2,642

EUR

 

7,139

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.53)%
(pays annually)

8/22/24

 

80,486

 

(3)

 

80,483

EUR

 

2,500

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.45)%
(pays annually)

8/26/24

 

17,554

 

(3)

 

17,551

EUR

 

1,000

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.52)%
(pays annually)

8/30/24

 

11,121

 

(19)

 

11,102

EUR

 

2,500

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.46)%
(pays annually)

9/12/24

 

18,993

 

—

 

18,993

EUR

 

3,813

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

0.11%
(pays annually)

7/23/29

 

(82,817)

 

41,259

 

(41,558)

EUR

 

6,627

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

0.11%
(pays annually)

7/23/29

 

(139,596)

 

26,076

 

(113,520)

EUR

 

6,421

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.05)%
(pays annually)

8/6/29

 

(33,318)

 

(6)

 

(33,324)

EUR

 

7,000

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.08)%
(pays annually)

8/6/29

 

(14,285)

 

(7)

 

(14,292)

EUR

 

4,728

 

Receives

 

6-month EURIBOR
(pays semi-annually)

 

(0.16)%
(pays annually)

9/12/29

 

36,908

 

2

 

36,910

GBP

 

23,102

 

Receives

 

6-month GBP LIBOR
(pays semi-annually)

 

1.49%
(pays semi-annually)

2/28/29

 

(2,151,934)

 

—

 

(2,151,934)

GBP

 

26,040

 

Receives

 

6-month GBP LIBOR
(pays semi-annually)

 

1.49%
(pays semi-annually)

2/28/29

 

(2,427,189)

 

—

 

(2,427,189)

NZD

 

30,800

 

Receives

 

3-month NZD Bank Bill
(pays quarterly)

 

3.40%
(pays semi-annually)

4/28/27

 

(3,128,201)

 

—

 

(3,128,201)

NZD

 

39,000

 

Receives

 

3-month NZD Bank Bill
(pays quarterly)

 

3.13%
(pays semi-annually)

1/9/28

 

(3,510,554)

 

—

 

(3,510,554)

NZD

 

39,000

 

Receives

 

3-month NZD Bank Bill
(pays quarterly)

 

3.13%
(pays semi-annually)

1/9/28

 

(3,515,360)

 

—

 

(3,515,360)

NZD

 

13,700

 

Receives

 

3-month NZD Bank Bill
(pays quarterly)

 

2.50%
(pays semi-annually)

2/22/29

 

(931,137)

 

—

 

(931,137)

SGD

 

71,000

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

2.45%
(pays semi-annually)

10/22/23

 

2,221,643

 

—

 

2,221,643

SGD

 

19,000

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

2.44%
(pays semi-annually)

10/23/23

 

591,940

 

—

 

591,940

SGD

 

50,640

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

2.08%
(pays semi-annually)

12/13/23

 

1,069,889

 

—

 

1,069,889

SGD

 

53,070

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

2.09%
(pays semi-annually)

12/13/23

 

1,136,372

 

—

 

1,136,372

SGD

 

9,469

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

1.55%
(pays semi-annually)

8/14/24

 

59,526

 

—

 

59,526

SGD

 

10,652

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

1.57%
(pays semi-annually)

8/14/24

 

73,592

 

—

 

73,592

SGD

 

10,653

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

1.56%
(pays semi-annually)

8/14/24

 

72,652

 

—

 

72,652

SGD

 

10,889

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

1.55%
(pays semi-annually)

8/14/24

 

67,485

 

—

 

67,485

SGD

 

15,387

 

Pays

 

6-month Singapore Swap Offered Rate
(pays semi-annually)

 

1.57%
(pays semi-annually)

8/14/24

 

106,306

 

—

 

106,306

USD

 

3,133

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.22%
(pays semi-annually)

3/28/24

 

(130,669)

 

—

 

(130,669)

USD

 

5,290

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.37%
(pays semi-annually)

4/3/24

 

(255,983)

 

—

 

(255,983)

USD

 

186

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.75%
(pays semi-annually)

7/5/24

 

(3,358)

 

—

 

(3,358)

USD

 

885

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.84%
(pays semi-annually)

7/11/24

 

(19,515)

 

—

 

(19,515)

USD

 

2,455

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.85%
(pays semi-annually)

7/15/24

 

(56,166)

 

—

 

(56,166)

USD

 

350

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.80%
(pays semi-annually)

7/22/24

 

(7,292)

 

—

 

(7,292)

USD

 

750

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.40%
(pays semi-annually)

8/23/24

 

(4,634)

 

—

 

(4,634)

USD

 

1,500

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.64%
(pays semi-annually)

11/7/24

 

(20,919)

 

—

 

(20,919)

USD

 

836

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.55%
(pays semi-annually)

11/27/24

 

(8,236)

 

—

 

(8,236)

USD

 

3,880

 

Receives

 

3-month USD-LIBOR

(pays quarterly)

 

1.59%
(pays semi-annually)

1/23/25

 

(49,224)

 

—

 

(49,224)

USD

 

4,760

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.60%
(pays semi-annually)

1/23/25

 

(62,499)

 

—

 

(62,499)

USD

 

775

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.49%
(pays semi-annually)

1/28/25

 

(6,103)

 

—

 

(6,103)

USD

 

2,344

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.46%
(pays semi-annually)

1/30/25

 

(15,820)

 

—

 

(15,820)

USD

 

4,650

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.41%
(pays semi-annually)

2/3/25

 

(20,124)

 

—

 

(20,124)

USD

 

33,064

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.74%
(pays semi-annually)

12/16/26

 

(805,243)

 

—

 

(805,243)

USD

 

47,201

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.18%
(pays semi-annually)

9/19/27

 

(2,958,684)

 

—

 

(2,958,684)

USD

 

4,575

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.47%
(pays semi-annually)

9/9/29

 

(26,834)

 

—

 

(26,834)

USD

 

4,354

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.64%
(pays semi-annually)

9/16/29

 

(92,126)

 

—

 

(92,126)

USD

 

600

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.71%
(pays semi-annually)

9/19/29

 

(16,530)

 

—

 

(16,530)

USD

 

1,629

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.99%
(pays semi-annually)

7/3/38

 

(153,755)

 

—

 

(153,755)

USD

 

47,226

 

Pays

 

3-month USD-LIBOR
(pays quarterly)

 

2.07%
(pays semi-annually)

7/3/38

 

928,717

 

—

 

928,717

USD

 

2,895

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.98%
(pays semi-annually)

7/5/38

 

(270,150)

 

—

 

(270,150)

USD

 

2,895

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

3.01%
(pays semi-annually)

7/5/38

 

(277,180)

 

—

 

(277,180)

USD

 

3,763

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

3.01%
(pays semi-annually)

7/5/38

 

(360,134)

 

—

 

(360,134)

USD

 

20,450

 

Pays

 

3-month USD-LIBOR
(pays quarterly)

 

1.81%
(pays semi-annually)

7/5/38

 

(26,796)

 

—

 

(26,796)

USD

 

4,052

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.98%
(pays semi-annually)

7/6/38

 

(378,737)

 

—

 

(378,737)

USD

 

6,233

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.97%
(pays semi-annually)

7/7/38

 

(575,473)

 

—

 

(575,473)

USD

 

23,596

 

Pays

 

3-month USD-LIBOR
(pays quarterly)

 

1.66%
(pays semi-annually)

7/7/38

 

(329,055)

 

—

 

(329,055)

USD

 

13,700

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

3.04%
(pays semi-annually)

12/21/38

 

(1,327,963)

 

—

 

(1,327,963)

USD

 

10,359

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.80%
(pays semi-annually)

3/27/39

 

(795,019)

 

(12,295)

 

(807,314)

USD

 

18,263

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.52%
(pays semi-annually)

6/4/39

 

(983,026)

 

—

 

(983,026)

USD

 

2,220

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.90%
(pays semi-annually)

1/23/40

 

(102,634)

 

—

 

(102,634)

USD

 

4,060

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.85%
(pays semi-annually)

1/27/40

 

(148,399)

 

—

 

(148,399)

USD

 

2,251

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.78%
(pays semi-annually)

1/28/40

 

(57,339)

 

—

 

(57,339)

USD

 

1,045

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.76%
(pays semi-annually)

1/30/40

 

(22,872)

 

—

 

(22,872)

USD

 

200

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.71%
(pays semi-annually)

2/3/40

 

(2,748)

 

—

 

(2,748)

USD

 

1,450

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.71%
(pays semi-annually)

2/3/40

 

(18,929)

 

—

 

(18,929)

USD

 

0(1)

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.50%
(pays semi-annually)

6/15/46

 

(26)

 

12

 

(14)

USD

 

8,500

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.75%
(pays semi-annually)

9/21/46

 

(1,999,436)

 

1,460,201

 

(539,235)

USD

 

8,500

 

Pays

 

3-month USD-LIBOR
(pays quarterly)

 

2.75%
(pays semi-annually)

9/21/46

 

1,999,470

 

(1,612,151)

 

387,319

USD

 

7,815

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.21%
(pays semi-annually)

8/1/49

 

(1,034,230)

 

—

 

(1,034,230)

USD

 

1,062

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.71%
(pays semi-annually)

8/27/49

 

(15,572)

 

—

 

(15,572)

USD

 

1,226

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.70%
(pays semi-annually)

8/27/49

 

(14,752)

 

—

 

(14,752)

USD

 

1,700

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.65%
(pays semi-annually)

8/28/49

 

1,999

 

—

 

1,999

USD

 

3,310

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.57%
(pays semi-annually)

8/29/49

 

65,805

 

—

 

65,805

USD

 

600

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.54%
(pays semi-annually)

8/30/49

 

16,202

 

—

 

16,202

USD

 

300

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.58%
(pays semi-annually)

9/3/49

 

5,107

 

—

 

5,107

USD

 

3,590

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.65%
(pays semi-annually)

9/9/49

 

1,646

 

—

 

1,646

USD

 

2,390

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.70%
(pays semi-annually)

9/12/49

 

(26,325)

 

—

 

(26,325)

USD

 

550

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.81%
(pays semi-annually)

9/13/49

 

(20,383)

 

—

 

(20,383)

USD

 

700

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.82%
(pays semi-annually)

9/20/49

 

(28,923)

 

—

 

(28,923)

USD

 

1,085

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.97%
(pays semi-annually)

11/15/49

 

(77,163)

 

—

 

(77,163)

USD

 

4,700

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.91%
(pays semi-annually)

11/18/49

 

(264,646)

 

—

 

(264,646)

USD

 

100

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.81%
(pays semi-annually)

11/22/49

 

(3,405)

 

—

 

(3,405)

USD

 

1,500

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.83%
(pays semi-annually)

11/22/49

 

(57,500)

 

—

 

(57,500)

USD

 

100

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.84%
(pays semi-annually)

11/25/49

 

(4,176)

 

—

 

(4,176)

USD

 

450

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.85%
(pays semi-annually)

11/25/49

 

(18,844)

 

—

 

(18,844)

USD

 

3,150

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.85%
(pays semi-annually)

11/25/49

 

(131,907)

 

—

 

(131,907)

USD

 

5,000

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.84%
(pays semi-annually)

11/25/49

 

(198,660)

 

—

 

(198,660)

USD

 

100

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.84%
(pays semi-annually)

11/26/49

 

(3,961)

 

—

 

(3,961)

USD

 

568

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.81%
(pays semi-annually)

12/6/49

 

(19,376)

 

—

 

(19,376)

USD

 

4,060

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.82%
(pays semi-annually)

12/6/49

 

(143,715)

 

—

 

(143,715)

USD

 

770

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.94%
(pays semi-annually)

12/11/49

 

(48,802)

 

—

 

(48,802)

USD

 

770

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.93%
(pays semi-annually)

12/12/49

 

(48,072)

 

—

 

(48,072)

USD

 

1,815

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

2.05%
(pays semi-annually)

12/30/49

 

(165,994)

 

—

 

(165,994)

USD

 

1,063

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.90%
(pays semi-annually)

1/8/50

 

(57,971)

 

—

 

(57,971)

USD

 

2,310

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.90%
(pays semi-annually)

1/8/50

 

(127,632)

 

—

 

(127,632)

USD

 

466

 

Receives

 

3-month USD-LIBOR
(pays quarterly)

 

1.94%
(pays semi-annually)

1/9/50

 

(29,723)

 

—

 

(29,723)

___________________________________________________________________________________________________________

 

Total

 

 

 

 

$

(18,250,825)

$

67,306

$

(18,183,519)

___________________________________________________________________________________________________________

 

 

 

(1) Notional amount is less than USD 500.

 

 

 


Centrally Cleared Credit Default Swaps - Sell Protection

 
                                                                                                                   
 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Reference
Entity

 

 

 

Notional
Amount*
(000's omitted)

 

Contract
Annual
Fixed
Rate**

 

Termination
Date

 

Current
Market
Annual
Fixed
Rate***

 


Value

Unamortized
Upfront
Receipts (Payments)

Unrealized
Appreciation (Depreciation)

___________________________________________________________________________________________________________

 

Indonesia

 

 

$

11,570

 

 


1.00%

(pays quarterly)(1)

12/20/24

 

0.68%

 

 

 

$   187,196

 

$ (64,276)

$

$   122,920

 

___________________________________________________________________________________________________________

 

Total

$

11,570

 

$

187,196

$

(64,276)

$

122,920

___________________________________________________________________________________________________________

 


Centrally Cleared Credit Default Swaps - Buy Protection

 

Reference
Entity

 

 

 

Notional
Amount
(000's
omitted)

 

Contract
Annual
Fixed
Rate**

 

Termination
Date

 


Value

Unamortized
Upfront Receipts
(Payments)

Unrealized
Appreciation (Depreciation)

___________________________________________________________________________________________________________

 

Malaysia

 

 

$

184,080

 

1.00%
(pays quarterly)(1)

12/20/24

$

(5,251,660)

 

$

4,412,743

$

(838,917)

Mexico

 

 

 

150,100

 

1.00%
(pays quarterly)(1)

12/20/24

 

(1,315,584)

 

 

894,356

 

(421,228)

Markit CDX Emerging Markets Index (CDX.EM.31.V1)

 

 

 

3,000

 

1.00%
(pays quarterly)(1)

6/20/24

 

98,999

 

 

(77,039)

 

21,960

Qatar

 

 

 

119,079

 

1.00%
(pays quarterly)(1)

12/20/22

 

(2,710,758)

 

 

3,660

 

(2,707,098)

Qatar

 

 

 

12,396

 

1.00%
(pays quarterly)(1)

12/20/23

 

(324,161)

 

 

88,909

 

(235,252)

Russia

 

 

 

103,173

 

1.00%
(pays quarterly)(1)

12/20/24

 

(1,854,992)

 

 

858,752

 

(996,240)

South Africa

 

 

 

32,140

 

1.00%
(pays quarterly)(1)

9/20/22

 

149,597

 

 

256,585

 

406,182

___________________________________________________________________________________________________________

 

Total

 

 

 

 

$

(11,208,559)

$

6,437,966

$

(4,770,593)

___________________________________________________________________________________________________________

 

 

 

 

 


Credit Default Swaps - Sell Protection

 

Reference
Entity

 

Counterparty

 

Notional
Amount*
(000's omitted)

 

Contract
Annual
Fixed
Rate**

 

Termination
Date

 

Current
Market
Annual
Fixed
Rate***

 


Value

Unamortized
Upfront
Receipts
(Payments)

Unrealized
Appreciation (Depreciation)

___________________________________________________________________________________________________________

 
                                                                                                                         
 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Indonesia

 

Goldman Sachs International

$

5,450

 

1.00%
(pays quarterly)(1)

12/20/24

 

0.68

%

$

88,178

$

(31,154)

$

57,024

 

Indonesia

 

HSBC Bank USA, N.A.

 

34,050

 

1.00%
(pays quarterly)(1)

12/20/24

 

0.68

 

 

550,910

 

(194,641)

 

356,269

 

Indonesia

 

JPMorgan Chase Bank, N.A.

 

17,650

 

1.00%
(pays quarterly)(1)

12/20/24

 

0.68

 

 

285,567

 

(96,837)

 

188,730

 

___________________________________________________________________________________________________________

 

Total

$

57,150

 

$

924,655

$

(322,632)

$

602,023

 

___________________________________________________________________________________________________________

 


Credit Default Swaps - Buy Protection

 

Reference
Entity

 

Counterparty

 

Notional
Amount
(000's
omitted)

 

Contract
Annual
Fixed
Rate**

 

Termination
Date

 


Value

Unamortized
Upfront
Receipts
(Payments)

Unrealized
Appreciation (Depreciation)

 

___________________________________________________________________________________________________________

 

Croatia

 

Barclays Bank PLC

 

$

4,520

 

1.00%
(pays quarterly)(1)

3/20/20

$

(10,972)

$

(8,572)

$

(19,544)

 

Croatia

 

Barclays Bank PLC

 

 

4,520

 

1.00%
(pays quarterly)(1)

3/20/20

 

(10,972)

 

(8,583)

 

(19,555)

 

Croatia

 

Barclays Bank PLC

 

 

4,520

 

1.00%
(pays quarterly)(1)

3/20/20

 

(10,972)

 

(8,821)

 

(19,793)

 

Croatia

 

Barclays Bank PLC

 

 

9,040

 

1.00%
(pays quarterly)(1)

3/20/20

 

(21,944)

 

(17,130)

 

(39,074)

 

Croatia

 

BNP Paribas

 

 

1,500

 

1.00%
(pays quarterly)(1)

3/20/20

 

(3,641)

 

(3,262)

 

(6,903)

 

Croatia

 

BNP Paribas

 

 

2,340

 

1.00%
(pays quarterly)(1)

3/20/20

 

(5,680)

 

(4,557)

 

(10,237)

 

Croatia

 

BNP Paribas

 

 

2,760

 

1.00%
(pays quarterly)(1)

3/20/20

 

(6,700)

 

(5,165)

 

(11,865)

 

Croatia

 

BNP Paribas

 

 

6,250

 

1.00%
(pays quarterly)(1)

3/20/20

 

(15,172)

 

(13,571)

 

(28,743)

 

Croatia

 

Citibank, N.A.

 

 

1,660

 

1.00%
(pays quarterly)(1)

3/20/20

 

(4,030)

 

(3,133)

 

(7,163)

 

Croatia

 

Citibank, N.A.

 

 

4,260

 

1.00%
(pays quarterly)(1)

3/20/20

 

(10,341)

 

(8,402)

 

(18,743)

 

Croatia

 

Citibank, N.A.

 

 

10,000

 

1.00%
(pays quarterly)(1)

3/20/20

 

(24,274)

 

(20,706)

 

(44,980)

 

Croatia

 

Citibank, N.A.

 

 

167

 

1.00%
(pays quarterly)(1)

6/20/20

 

(792)

 

(925)

 

(1,717)

 

Croatia

 

Citibank, N.A.

 

 

1,000

 

1.00%
(pays quarterly)(1)

6/20/20

 

(4,735)

 

(5,663)

 

(10,398)

 

Croatia

 

Goldman Sachs International

 

 

2,210

 

1.00%
(pays quarterly)(1)

3/20/20

 

(5,365)

 

(4,304)

 

(9,669)

 

Croatia

 

Goldman Sachs International

 

 

3,410

 

1.00%
(pays quarterly)(1)

3/20/20

 

(8,278)

 

(6,647)

 

(14,925)

 

Croatia

 

Goldman Sachs International

 

 

1,700

 

1.00%
(pays quarterly)(1)

6/20/20

 

(8,050)

 

(9,659)

 

(17,709)

 

Egypt

 

Citibank, N.A.

 

 

50

 

1.00%
(pays quarterly)(1)

6/20/20

 

(34)

 

(223)

 

(257)

 

Egypt

 

Citibank, N.A.

 

 

4,550

 

1.00%
(pays quarterly)(1)

6/20/20

 

(3,082)

 

(19,339)

 

(22,421)

 

Egypt

 

Deutsche Bank AG

 

 

5,100

 

1.00%
(pays quarterly)(1)

6/20/20

 

(3,455)

 

(19,274)

 

(22,729)

 

Egypt

 

Deutsche Bank AG

 

 

4,550

 

1.00%
(pays quarterly)(1)

6/20/20

 

(3,082)

 

(19,457)

 

(22,539)

 

Egypt

 

Deutsche Bank AG

 

 

4,600

 

1.00%
(pays quarterly)(1)

6/20/20

 

(3,116)

 

(19,645)

 

(22,761)

 

Oman

 

Bank of America, N.A.

 

 

20,851

 

1.00%
(pays quarterly)(1)

6/20/22

 

237,588

 

(496,275)

 

(258,687)

 

Oman

 

Bank of America, N.A.

 

 

16,680

 

1.00%
(pays quarterly)(1)

12/20/22

 

303,835

 

(518,283)

 

(214,448)

 

Qatar

 

Goldman Sachs International

 

 

10

 

1.00%
(pays quarterly)(1)

12/20/20

 

(91)

 

(22)

 

(113)

 

Qatar

 

Goldman Sachs International

 

 

1,660

 

1.00%
(pays quarterly)(1)

12/20/20

 

(15,195)

 

(6,936)

 

(22,131)

 

Qatar

 

Goldman Sachs International

 

 

9,740

 

1.00%
(pays quarterly)(1)

12/20/20

 

(89,155)

 

(27,687)

 

(116,842)

 

Qatar

 

Goldman Sachs International

 

 

3,700

 

1.00%
(pays quarterly)(1)

12/20/23

 

(96,757)

 

(4,910)

 

(101,667)

 

Qatar

 

Goldman Sachs International

 

 

3,090

 

1.00%
(pays quarterly)(1)

9/20/24

 

(81,862)

 

1,226

 

(80,636)

 

Qatar

 

Nomura International PLC

 

 

9,620

 

1.00%
(pays quarterly)(1)

9/20/24

 

(254,857)

 

15,284

 

(239,573)

 

South Africa

 

Bank of America, N.A.

 

 

16,100

 

1.00%
(pays quarterly)(1)

9/20/22

 

74,939

 

(317,730)

 

(242,791)

 

South Africa

 

Bank of America, N.A.

 

 

20,830

 

1.00%
(pays quarterly)(1)

9/20/22

 

96,955

 

(430,543)

 

(333,588)

 

South Africa

 

Bank of America, N.A.

 

 

29,280

 

1.00%
(pays quarterly)(1)

9/20/22

 

136,286

 

(546,465)

 

(410,179)

 

South Africa

 

Bank of America, N.A.

 

 

19,900

 

1.00%
(pays quarterly)(1)

9/20/22

 

92,626

 

(517,519)

 

(424,893)

 

South Africa

 

Goldman Sachs International

 

 

10,690

 

1.00%
(pays quarterly)(1)

9/20/22

 

49,757

 

(268,912)

 

(219,155)

 

South Africa

 

Goldman Sachs International

 

 

8,022

 

1.00%
(pays quarterly)(1)

12/20/22

 

52,797

 

(224,658)

 

(171,861)

 

South Africa

 

Goldman Sachs International

 

 

16,600

 

1.00%
(pays quarterly)(1)

12/20/28

 

1,869,103

 

(2,042,263)

 

(173,160)

 

South Africa

 

HSBC Bank USA, N.A.

 

 

7,300

 

1.00%
(pays quarterly)(1)

12/20/22

 

48,046

 

(196,324)

 

(148,278)

 

South Africa

 

HSBC Bank USA, N.A.

 

 

23,540

 

1.00%
(pays quarterly)(1)

6/20/29

 

2,837,878

 

(2,791,920)

 

45,958

 

South Africa

 

Nomura International PLC

 

 

7,068

 

1.00%
(pays quarterly)(1)

12/20/22

 

46,518

 

(194,805)

 

(148,287)

 

Ukraine

 

Barclays Bank PLC

 

 

13,090

 

5.00%
(pays quarterly)(1)

12/20/24

 

(1,002,186)

 

461,446

 

(540,740)

 

Ukraine

 

Barclays Bank PLC

 

 

19,910

 

5.00%
(pays quarterly)(1)

12/20/24

 

(1,524,334)

 

701,863

 

(822,471)

 

Ukraine

 

Barclays Bank PLC

 

 

3,442

 

5.00%
(pays quarterly)(1)

12/20/24

 

(263,493)

 

84,443

 

(179,050)

 

Ukraine

 

Barclays Bank PLC

 

 

3,442

 

5.00%
(pays quarterly)(1)

12/20/24

 

(263,493)

 

48,971

 

(214,522)

 

Ukraine

 

JPMorgan Chase Bank, N.A.

 

 

20,000

 

5.00%
(pays quarterly)(1)

12/20/24

 

(1,531,224)

 

745,392

 

(785,832)

 

___________________________________________________________________________________________________________

 

Total

 

 

 

 

$

558,994

$

(6,733,665)

$

(6,174,671)

 

___________________________________________________________________________________________________________

 

 

 

* If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2020, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $68,720,000.

 

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

 

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

 

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

 

 

 


Total Return Swaps

 

Counterparty

 

Notional Amount
(000's omitted)

 

Portfolio
Receives

 

Portfolio
Pays

 

Termination
Date

 

Value/ Unrealized
Appreciation (Depreciation)

 

___________________________________________________________________________________________________________

 

Citibank, N.A.

USD

 

49,500

 

Excess Return on Bloomberg Commodity 4 Month Forward Index
(pays upon termination)

 

Excess Return on Bloomberg Commodity Index + 0.24%

(pays upon termination)

3/26/20

 

 

207,693

 

Citibank, N.A.

USD

 

42,500

 

Excess Return on Bloomberg Commodity 5 Month Forward Index
(pays upon termination)

 

Excess Return on Bloomberg Commodity Index + 0.25%

(pays upon termination)

3/26/20

 

 

249,246

 

Citibank, N.A.

USD

 

39,000

 

Excess Return on Bloomberg Commodity 6 Month Forward Index
(pays upon termination)

 

Excess Return on Bloomberg Commodity Index + 0.26%

(pays upon termination)

3/26/20

 

 

242,032

 

JPMorgan Chase Bank, N.A.

CNY

 

29,860

 

Total Return on Shenzhen Stock Exchange Composite Index
(pays quarterly)

 

3-month USD-LIBOR minus 6.10% on $4,350,114

(pays quarterly)

4/17/20

 

 

(434,924)

 

UBS AG

CNY

 

27,938

 

Total Return on Shenzhen Stock Exchange Composite Index
(pays quarterly)

 

3-month USD-LIBOR minus 10.90% on $3,992,735
(pays quarterly)

2/12/20

 

 

96,265

 

___________________________________________________________________________________________________________

 

 

$

360,312

 

___________________________________________________________________________________________________________

 

 

 

 

 

 


Abbreviations:

 

CMT

-

Constant Maturity Treasury

 

COF

-

Cost of Funds 11th District

 

EURIBOR

-

Euro Interbank Offered Rate

 

GDP

-

Gross Domestic Product

 

LIBOR

-

London Interbank Offered Rate

 

OMO

-

Open Market Operation

 


Currency Abbreviations:

 

AED

-

United Arab Emirates Dirham

 

AUD

-

Australian Dollar

 

BHD

-

Bahraini Dinar

 

BRL

-

Brazilian Real

 

CAD

-

Canadian Dollar

 

CLP

-

Chilean Peso

 

CNH

-

Yuan Renminbi Offshore

 

CNY

-

Yuan Renminbi

 

CRC

-

Costa Rican Colon

 

DOP

-

Dominican Peso

 

EGP

-

Egyptian Pound

 

EUR

-

Euro

 

GBP

-

British Pound Sterling

 

GEL

-

Georgian Lari

 

GHS

-

Ghanaian Cedi

 

IDR

-

Indonesian Rupiah

 

INR

-

Indian Rupee

 

ISK

-

Icelandic Krona

 

JPY

-

Japanese Yen

 

KRW

-

South Korean Won

 

LKR

-

Sri Lankan Rupee

 

MYR

-

Malaysian Ringgit

 

NGN

-

Nigerian Naira

 

NOK

-

Norwegian Krone

 

NZD

-

New Zealand Dollar

 

OMR

-

Omani Rial

 

PHP

-

Philippine Peso

 

PKR

-

Pakistani Rupee

 

RSD

-

Serbian Dinar

 

RUB

-

Russian Ruble

 

SEK

-

Swedish Krona

 

SGD

-

Singapore Dollar

 

THB

-

Thai Baht

 

TRY

-

New Turkish Lira

 

UAH

-

Ukrainian Hryvnia

 

UGX

-

Ugandan Shilling

 

USD

-

United States Dollar

 

ZAR

-

South African Rand

 

 

 

 

 

 

 
                                                                                                               
 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Basis for Consolidation

 

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2020 were $10,484,471 or 0.3% of the Portfolio's consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

 

At January 31, 2020, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

 

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

 

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

 

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

 

Equity Price Risk: The Portfolio enters into equity index futures contracts and options thereon and total return swaps to enhance total return and/or to manage certain investment risks.

 

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

 

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

 

At January 31, 2020, the value of the Portfolio’s investment in affiliated funds was $704,561,942 which represents 19.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2020 were as follows:

 

Name of affiliated fund

Value, beginning of period

Purchases

Sales proceeds

Net realized gain (loss)

Change in unrealized appreciation (depreciation)

Value, end of period

Dividend income

Units, end of period

Short-Term Investments

Eaton Vance Cash Reserves Fund, LLC

$

559,146,895

$

461,705,816

$

(316,366,200)

$

37,870

$

37,561

$

704,561,942

$

2,982,162

 

704,491,493
                                                 

 

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

 

• Level 1 – quoted prices in active markets for identical investments

 

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

 

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

 

 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

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 January 31, 2020, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

 

 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Asset Description

 

Level 1

 

Level 2

 

Level 3*

 

Total

 

________________________________________________________________________________________________________

 

Foreign Government Bonds

$

—

$

1,807,304,462

$

—

$

1,807,304,462

 

 

Foreign Corporate Bonds

 

—

 

81,985,678

 

8,910,893

 

90,896,571

 

 

Sovereign Loans

 

—

 

95,784,538

 

—

 

95,784,538

 

 

Credit Linked Notes

 

—

 

—

 

1,241,000

 

1,241,000

 

 

Asset-Backed Securities

 

—

 

30,254,713

 

—

 

30,254,713

 

 

Collateralized Mortgage Obligations

 

—

 

51,920,881

 

—

 

51,920,881

 

 

Mortgage Pass-Throughs

 

—

 

91,124,320

 

—

 

91,124,320

 

 

U.S. Treasury Obligations

 

—

 

1,597,763

 

—

 

1,597,763

 

 

U.S. Government Guaranteed Small Business Administration Loans

 

—

 

26,844,643

 

—

 

26,844,643

 

 

Common Stocks

 

—

 

111,312,307**

 

—

 

111,312,307

 

 

Short-Term Investments

 —

 

 

 

 

Foreign Government Securities

 

—

 

319,406,651

 

—

 

319,406,651

 

 

 

U.S. Treasury Obligations

 

—

 

54,861,934

 

—

 

54,861,934

 

 

 

Other

 

—

 

704,561,942

 

—

 

704,561,942

 

 

Purchased Currency Options

 

—

 

7,679

 

—

 

7,679

 

 

Purchased Interest Rate Swaptions

 

—

 

4,069,695

 

—

 

4,069,695

 

 

________________________________________________________________________________________________________

 

Total Investments

$

—

$

3,381,037,206

$

10,151,893

$

3,391,189,099

 

 

________________________________________________________________________________________________________

 

Forward Foreign Currency Exchange Contracts

$

—

$

58,239,270

$

—

$

58,239,270

 

 

Futures Contracts

 

4,291,595

 

120,053

 

—

 

4,411,648

 

 

Swap Contracts

 

—

 

30,778,498

 

—

 

30,778,498

 

 

________________________________________________________________________________________________________

 

Total

$

4,291,595

$

3,470,175,027

 

$

10,151,893

$

3,484,618,515

 

 

________________________________________________________________________________________________________

 

 

 

Liability Description

 

 

 

 

 

 

 

 

 

________________________________________________________________________________________________________

 

Securities Sold Short

$

—

$

(9,607,558)

$

—

$

(9,607,558)

 

 

Forward Foreign Currency Exchange Contracts

 

—

 

(54,795,962)

 

—

 

(54,795,962)

 

 

Futures Contracts

 

(4,583,522)

 

(828,718)

 

—

 

(5,412,240)

 

 

Swap Contracts

 

—

 

(56,199,894)

 

—

 

(56,199,894)

 

 

________________________________________________________________________________________________________

 

Total

$

(4,583,522)

$

(121,432,132)

$

—

$

(126,015,654)

 

 

________________________________________________________________________________________________________

 

*

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

 

**

Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated

 

 

instruments that occurred after the close of trading in their applicable foreign markets.

 
                                                 

 

 

 

Global Macro Portfolio

January 31, 2020

 

Consolidated Portfolio of Investments (Unaudited) —  continued

 

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2020 is not presented.

 

Securities Sold Short

 

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

 

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