N-CSR 1 d601297dncsr.htm EATON VANCE MUTUAL FUNDS TRUST Eaton Vance Mutual Funds Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-04015

 

 

Eaton Vance Mutual Funds Trust

(Exact Name of Registrant as Specified in Charter)

 

 

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

 

 

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

 

 

(617) 482-8260

(Registrant’s Telephone Number)

 

 

October 31

Date of Fiscal Year End

October 31, 2022

Date of Reporting Period

 

 

 


Item 1. Reports to Stockholders


LOGO

 

 

Eaton Vance

Global Macro Absolute Return Fund

Annual Report

October 31, 2022

 

 

 

LOGO


 

 

Commodity Futures Trading Commission Registration. The Commodity Futures Trading Commission (“CFTC”) has adopted regulations that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser is registered with the CFTC as a commodity pool operator with respect to its management of the Fund. As the commodity pool operator of the Fund, the adviser has claimed relief under the Commodity Exchange Act from certain reporting and recordkeeping requirements. The adviser is also registered as a commodity trading advisor.

Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.

This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.


Annual Report October 31, 2022

Eaton Vance

Global Macro Absolute Return Fund

 

Table of Contents

  

Management’s Discussion of Fund Performance

     2  

Performance

     3  

Fund Profile

     4  

Endnotes and Additional Disclosures

     5  

Fund Expenses

     6  

Financial Statements

     7  

Report of Independent Registered Public Accounting Firm

     20 and 75  

Federal Tax Information

     21  

Board of Trustees’ Contract Approval

     76  

Liquidity Risk Management Program

     80  

Management and Organization

     81  

Privacy Notice

     84  

Important Notices

     86  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Management’s Discussion of Fund Performance

 

 

Economic and Market Conditions

The world’s equity and fixed-income markets posted broad losses during the 12-month period ended October 31, 2022. The declines were due to several factors, including high inflation in many countries, aggressive monetary tightening by the U.S. Federal Reserve (the Fed), and slowing global economic growth.

During the period, U.S. inflation surged as strong consumer demand following the relaxation of COVID-19 restrictions coincided with supply shortages created by the pandemic. Production and trade disruptions resulting from Russia’s February 2022 invasion of Ukraine added to inflationary pressures by driving up prices of energy and grains. The Fed responded by increasing short-term interest rates at the fastest pace in decades and signaling that it would continue hiking rates until inflation was under control — even if it meant pushing the U.S. economy into recession.

The European Central Bank and Bank of England also raised interest rates during the period in efforts to tame inflation, despite signs of deterioration in the European economy. Conversely, the Bank of Japan held its main policy rate at -0.1%. Inflation rose in Japan during the period but remained low compared to inflation in other developed countries. The widening differential between interest rates in Japan and the U.S. contributed to a substantial weakening in the Japanese yen versus the U.S. dollar during the period.

In China, government policies helped contain inflation but also significantly slowed economic growth. First, China maintained its zero-COVID policy, which led to lockdowns of major cities during the period. Second, Chinese leaders renewed their focus on the country’s “common prosperity” agenda, implementing measures that negatively affected certain sectors of China’s economy, including real estate and technology.

During the period, a number of emerging and frontier nations either defaulted on their sovereign debt or were pushed to the brink of default. Rising food and energy prices pressured these governments to offer subsidies to consumers, putting additional stress on fiscal balances already strained by pandemic-related spending. In addition, broad strength in the U.S. dollar made servicing U.S. dollar-denominated debt more expensive.

On a positive note, we believe there were signs late in the period that inflation may have peaked in several major emerging-market economies. Central banks in these countries indicated that they were at, or near, the end of their tightening cycles.

Fund Performance

For the 12-month period ended October 31, 2022, Eaton Vance Global Macro Absolute Return Fund (the Fund) returned -4.27% for Class A shares at net asset value (NAV), underperforming its benchmark, the ICE BofA 3-Month U.S. Treasury Bill Index (the Index), which returned 0.78%.

The Fund’s interest rate exposure was the main detractor from its performance during the period. The Fund’s limited allocations to corporate credit and equities had a slightly negative impact on returns, while sovereign credit, commodities, and currencies made significant positive contributions to performance.

By region, Eastern Europe was the largest detractor from returns, driven by a long local bond position in Ukraine that performed poorly due to the Russia-Ukraine war, which led to a steep sell-off in local Ukrainian assets. A long sovereign credit position in Belarus also hurt returns. The strong performance of short positions in Russian sovereign credit and Polish interest rates helped counter these negative effects. By period-end, the long sovereign credit position in Belarus was sold from the Fund, and the short sovereign credit position in Russia was closed.

Investments in Asia and the Middle East & Africa (MEA) were the next-largest detractors during the period. In Asia, long positions in the Japanese yen and the sovereign credit of Sri Lanka were unfavorable and offset the benefit of a short position in the Chinese yuan. In MEA, long exposure to Lebanese sovereign credit was a notable detractor and was sold from the Fund by period-end.

The Dollar Bloc — Canada, New Zealand, and Australia — and Western Europe also negatively affected returns. In particular, long positions in the Australian dollar and the euro weighed on performance given the broad strength of the U.S. dollar during the period. By period-end, the long euro position was sold from the Fund.

Latin America had minimal impact on returns. Contributions from select positions, including long sovereign credit exposure in Suriname, were largely offset by positions that detracted, including long interest rate exposure in Colombia. By period-end, the long Colombian rates exposure was sold from the Fund.

The Fund used derivatives extensively to hedge select undesired risk exposures, as well as to gain select desired risk exposures. Some of the above commentary about notable drivers of performance at the country level involved the use of derivatives. The Fund’s use of derivatives broadly helped returns during the period. Interest rate swaps used to gain select exposures as well as hedge others contributed to performance, as did credit default swaps used to gain short exposure to certain sovereign credits, which also acted as hedges to other exposures in certain cases. Currency forwards used to gain both long and short exposure to select currencies around the world further added to performance during the period.

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

 

  2  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Performance

 

Portfolio Manager(s) John R. Baur, Patrick Campbell, CFA, Kyle Lee, CFA, Federico Sequeda, CFA each of Eaton Vance Management and Hussein Khattab, CFA of Eaton Vance Advisers International Ltd.

 

% Average Annual Total Returns1,2    Class
Inception Date
     Performance
Inception Date
     One Year     Five Years      Ten Years  

Class A at NAV

     06/27/2007        10/31/1997        (4.27 )%      1.24      1.79

Class A with 3.25% Maximum Sales Charge

                   (7.37     0.57        1.45  

Class C at NAV

     10/01/2009        10/31/1997        (4.91     0.54        1.21  

Class C with 1% Maximum Deferred Sales Charge

                   (5.83     0.54        1.21  

Class I at NAV

     06/27/2007        10/31/1997        (4.00     1.55        2.09  

Class R at NAV

     04/08/2010        10/31/1997        (4.45     1.04        1.57  

Class R6 at NAV

     05/31/2017        10/31/1997        (3.80     1.61        2.13  

 

ICE BofA 3-Month U.S. Treasury Bill Index

                   0.78     1.16      0.70
% Total Annual Operating Expense Ratios3    Class A      Class C      Class I     Class R      Class R6  
     1.10      1.80      0.80     1.29      0.73

Growth of $10,000

 

This graph shows the change in value of a hypothetical investment of $10,000 in Class A of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index.

 

 

LOGO

 

Growth of Investment2      Amount Invested        Period Beginning        At NAV        With Maximum Sales Charge  

Class C

       $10,000          10/31/2012          $11,284          N.A.  

Class I, at minimum investment

       $1,000,000          10/31/2012          $1,230,193          N.A.  

Class R

       $10,000          10/31/2012          $11,685          N.A.  

Class R6, at minimum investment

       $5,000,000          10/31/2012          $6,172,294          N.A.  

See Endnotes and Additional Disclosures in this report.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Furthermore, returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the redemption of Fund shares. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.

 

  3  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Fund Profile

 

 

Asset Allocation (% of net assets)1

 

 

 

LOGO

Foreign Currency Exposure (% of net assets)2

 

 

Ukraine

     3.7

Singapore

     3.1  

Uzbekistan

     3.0  

Australia

     2.7  

Serbia

     2.7  

Dominican Republic

     2.0  

Iceland

     1.8  

Kazakhstan

     1.3  

Uruguay

     1.1  

Japan

     1.0  

Other

     1.4 ** 

Saudi Arabia

     -1.3  

Bahrain

     -2.0  

Malaysia

     -2.0  

Thailand

     -2.1  

Oman

     -2.8  

Philippines

     -3.2  

Euro

     -3.8  

South Africa

     -4.0  

China

     -4.2  

United Arab Emirates

     -5.8  

Total Long

     23.9

Total Short

     -31.1

Total Net

     -7.2
 

Footnotes:

Fund invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund. References to investments are to the Portfolio’s holdings.

 

1 

Other Net Assets represents other assets less liabilities and includes any investment type that represents less than 1% of net assets.

 

2 

Currency exposures include all foreign exchange denominated assets, currency derivatives and commodities (including commodity derivatives). Total exposures may exceed 100% due to implicit leverage created by derivatives.

 

*

Net of securities sold short.

 

**

Includes amounts each less than 1.0% or –1.0%, as applicable.

 

  4  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Endnotes and Additional Disclosures

 

The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.

 

1 

ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.

 

2 

Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.

Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.

Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.

 

3 

Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower.

Fund profile subject to change due to active management.

Additional Information

A long position is the purchase of an investment with the expectation that it will rise in value.

A short position is the sale of a borrowed investment with the expectation that it will decline in value.

 

 

  5  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Fund Expenses

 

 

Example

As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2022 to October 31, 2022).

Actual Expenses

The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.

 

     Beginning
Account Value
(5/1/22)
     Ending
Account Value
(10/31/22)
     Expenses Paid
During Period*
(5/1/22 – 10/31/22)
     Annualized
Expense
Ratio
 

Actual

 

Class A

  $ 1,000.00      $ 976.10      $ 5.58        1.12

Class C

  $ 1,000.00      $ 971.70      $ 9.04        1.82

Class I

  $ 1,000.00      $ 977.50      $ 4.09        0.82

Class R

  $ 1,000.00      $ 974.00      $ 6.57        1.32

Class R6

  $ 1,000.00      $ 977.90      $ 3.74        0.75
 

Hypothetical

 

(5% return per year before expenses)

 

Class A

  $ 1,000.00      $ 1,019.56      $ 5.70        1.12

Class C

  $ 1,000.00      $ 1,016.03      $ 9.25        1.82

Class I

  $ 1,000.00      $ 1,021.07      $ 4.18        0.82

Class R

  $ 1,000.00      $ 1,018.55      $ 6.72        1.32

Class R6

  $ 1,000.00      $ 1,021.43      $ 3.82        0.75

 

*

Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on April 30, 2022. The Example reflects the expenses of both the Fund and the Portfolio.

 

  6  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Statement of Assets and Liabilities

 

 

Assets    October 31, 2022  

Investment in Global Macro Portfolio, at value (identified cost $2,190,148,368)

   $ 1,855,793,489  

Receivable for Fund shares sold

     5,757,071  

Total assets

   $ 1,861,550,560  
Liabilities

 

Payable for Fund shares redeemed

   $ 4,051,207  

Payable to affiliates:

 

Distribution and service fees

     65,378  

Trustees’ fees

     43  

Accrued expenses

     434,594  

Total liabilities

   $ 4,551,222  

Net Assets

   $ 1,856,999,338  
Sources of Net Assets

 

Paid-in capital

   $ 2,593,049,863  

Accumulated loss

     (736,050,525

Net Assets

   $ 1,856,999,338  
Class A Shares

 

Net Assets

   $ 163,369,194  

Shares Outstanding

     20,646,297  

Net Asset Value and Redemption Price Per Share

  

(net assets ÷ shares of beneficial interest outstanding)

   $ 7.91  

Maximum Offering Price Per Share

  

(100 ÷ 96.75 of net asset value per share)

   $ 8.18  
Class C Shares

 

Net Assets

   $ 26,639,600  

Shares Outstanding

     3,352,898  

Net Asset Value and Offering Price Per Share*

 

(net assets ÷ shares of beneficial interest outstanding)

   $ 7.95  
Class I Shares

 

Net Assets

   $ 1,413,454,485  

Shares Outstanding

     178,990,569  

Net Asset Value, Offering Price and Redemption Price Per Share

  

(net assets ÷ shares of beneficial interest outstanding)

   $ 7.90  
Class R Shares

 

Net Assets

   $ 1,267,035  

Shares Outstanding

     159,785  

Net Asset Value, Offering Price and Redemption Price Per Share

  

(net assets ÷ shares of beneficial interest outstanding)

   $ 7.93  

 

  7   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Statement of Assets and Liabilities — continued

 

 

Class R6 Shares    October 31, 2022  

Net Assets

   $ 252,269,024  

Shares Outstanding

     31,964,082  

Net Asset Value, Offering Price and Redemption Price Per Share

  

(net assets ÷ shares of beneficial interest outstanding)

   $ 7.89  

On sales of $100,000 or more, the offering price of Class A shares is reduced.

 

*

Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge.

 

  8   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Statement of Operations

 

 

Investment Income    Year Ended
October 31, 2022
 

Dividend income allocated from Portfolio (net of foreign taxes withheld of $141,616)

   $ 4,883,998  

Interest and other income allocated from Portfolio (net of foreign taxes withheld of $1,733,162)

     129,489,010  

Expenses, excluding interest and dividend expense, allocated from Portfolio

     (14,091,194

Interest and dividend expense allocated from Portfolio

     (1,651,069

Total investment income from Portfolio

   $ 118,630,745  
Expenses

 

Distribution and service fees:

 

Class A

   $ 618,750  

Class C

     314,965  

Class R

     6,614  

Trustees’ fees and expenses

     500  

Custodian fee

     61,000  

Transfer and dividend disbursing agent fees

     1,605,741  

Legal and accounting services

     72,211  

Printing and postage

     208,611  

Registration fees

     135,960  

Miscellaneous

     32,311  

Total expenses

   $ 3,056,663  

Net investment income

   $ 115,574,082  
Realized and Unrealized Gain (Loss) from Portfolio

 

Net realized gain (loss):

 

Investment transactions (net of foreign capital gains taxes of $104,862)

   $ (96,482,802

Securities sold short

     7,054,544  

Futures contracts

     61,923,077  

Swap contracts

     91,741,838  

Foreign currency transactions

     1,346,238  

Forward foreign currency exchange contracts

     66,399,925  

Non-deliverable bond forward contracts

     (21,155,804

Net realized gain

   $ 110,827,016  

Change in unrealized appreciation (depreciation):

  

Investments (including net decrease in accrued foreign capital gains taxes of $469,989)

   $ (366,056,991

Securities sold short

     4,226,748  

Futures contracts

     16,889,145  

Swap contracts

     14,627,485  

Foreign currency

     (1,829,283

Forward foreign currency exchange contracts

     10,258,101  

Non-deliverable bond forward contracts

     1,924,125  

Net change in unrealized appreciation (depreciation)

   $ (319,960,670

Net realized and unrealized loss

   $ (209,133,654

Net decrease in net assets from operations

   $ (93,559,572

 

  9   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Statements of Changes in Net Assets

 

 

     Year Ended October 31,  
Increase (Decrease) in Net Assets    2022      2021  

From operations:

     

Net investment income

   $ 115,574,082      $ 134,678,010  

Net realized gain (loss)

     110,827,016        (3,318,772

Net change in unrealized appreciation (depreciation)

     (319,960,670      (187,189

Net increase (decrease) in net assets from operations

   $ (93,559,572    $ 131,172,049  

Distributions to shareholders:

 

Class A

   $ (8,063,152    $ (14,306,118

Class C

     (1,034,667      (1,277,685

Class I

     (66,924,119      (92,453,325

Class R

     (49,057      (41,379

Class R6

     (13,033,990      (14,415,131

Total distributions to shareholders

   $ (89,104,985    $ (122,493,638

Tax return of capital to shareholders:

 

Class A

   $ (1,174,555    $  

Class C

     (156,590       

Class I

     (10,455,314       

Class R

     (7,965       

Class R6

     (1,997,959       

Total tax return of capital to shareholders

   $ (13,792,383    $  

Transactions in shares of beneficial interest:

     

Class A

   $ (95,399,484    $ (123,411,385

Class C

     (7,095,253      (18,174,890

Class I

     (290,445,028      (478,294,208

Class R

     114,208        308,257  

Class R6

     (96,685,321      (13,785,425

Net decrease in net assets from Fund share transactions

   $ (489,510,878    $ (633,357,651

Net decrease in net assets

   $ (685,967,818    $ (624,679,240
Net Assets

 

At beginning of year

   $ 2,542,967,156      $ 3,167,646,396  

At end of year

   $ 1,856,999,338      $ 2,542,967,156  

 

  10   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Financial Highlights

 

 

     Class A  
     Year Ended October 31,  
      2022      2021      2020      2019     2018  

Net asset value — Beginning of year

   $ 8.660      $ 8.640      $ 8.740      $ 8.590     $ 9.140  
Income (Loss) From Operations                                            

Net investment income(1)

   $ 0.418      $ 0.368      $ 0.356      $ 0.438     $ 0.383  

Net realized and unrealized gain (loss)

     (0.792      (0.016      (0.046      0.078       (0.647

Total income (loss) from operations

   $ (0.374    $ 0.352      $ 0.310      $ 0.516     $ (0.264
Less Distributions                                            

From net investment income

   $ (0.325    $ (0.332    $ (0.410    $ (0.366   $ (0.087

Tax return of capital

     (0.051                          (0.199

Total distributions

   $ (0.376    $ (0.332    $ (0.410    $ (0.366   $ (0.286

Net asset value — End of year

   $ 7.910      $ 8.660      $ 8.640      $ 8.740     $ 8.590  

Total Return(2)

     (4.27 )%       4.11      3.63      6.14     (2.97 )% 
Ratios/Supplemental Data                                            

Net assets, end of year (000’s omitted)

   $ 163,369      $ 276,486      $ 398,174      $ 366,740     $ 284,958  

Ratios (as a percentage of average daily net assets):(3)

             

Expenses(4)

     1.14 %(5)       1.10      1.05      1.04     1.08

Net investment income

     5.03      4.20      4.11      5.06     4.26

Portfolio Turnover of the Portfolio

     81      88      81      61     78

 

(1) 

Computed using average shares outstanding.

 

(2) 

Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.

 

(3) 

Includes the Fund’s share of the Portfolio’s allocated expenses.

 

(4) 

Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

 

(5) 

Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the year ended October 31, 2022).

 

  11   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Financial Highlights — continued

 

 

     Class C  
     Year Ended October 31,  
      2022      2021      2020      2019     2018  

Net asset value — Beginning of year

   $ 8.690      $ 8.680      $ 8.770      $ 8.620     $ 9.170  
Income (Loss) From Operations                                            

Net investment income(1)

   $ 0.365      $ 0.307      $ 0.305      $ 0.374     $ 0.321  

Net realized and unrealized gain (loss)

     (0.786      (0.026      (0.044      0.082       (0.647

Total income (loss) from operations

   $ (0.421    $ 0.281      $ 0.261      $ 0.456     $ (0.326
Less Distributions                                            

From net investment income

   $ (0.276    $ (0.271    $ (0.351    $ (0.306   $ (0.068

Tax return of capital

     (0.043                          (0.156

Total distributions

   $ (0.319    $ (0.271    $ (0.351    $ (0.306   $ (0.224

Net asset value — End of year

   $ 7.950      $ 8.690      $ 8.680      $ 8.770     $ 8.620  

Total Return(2)

     (4.91 )%       3.37      2.91      5.39     (3.63 )% 
Ratios/Supplemental Data                                            

Net assets, end of year (000’s omitted)

   $ 26,640      $ 36,557      $ 54,464      $ 106,291     $ 178,033  

Ratios (as a percentage of average daily net assets):(3)

             

Expenses(4)

     1.84 %(5)       1.80      1.75      1.76     1.78

Net investment income

     4.38      3.49      3.51      4.31     3.56

Portfolio Turnover of the Portfolio

     81      88      81      61     78

 

(1) 

Computed using average shares outstanding.

 

(2) 

Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges.

 

(3) 

Includes the Fund’s share of the Portfolio’s allocated expenses.

 

(4) 

Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

 

(5) 

Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the year ended October 31, 2022).

 

  12   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Financial Highlights — continued

 

 

     Class I  
     Year Ended October 31,  
      2022      2021      2020      2019     2018  

Net asset value — Beginning of year

   $ 8.640      $ 8.630      $ 8.720      $ 8.580     $ 9.120  
Income (Loss) From Operations                                            

Net investment income(1)

   $ 0.446      $ 0.393      $ 0.385      $ 0.458     $ 0.408  

Net realized and unrealized gain (loss)

     (0.786      (0.024      (0.039      0.074       (0.636

Total income (loss) from operations

   $ (0.340    $ 0.369      $ 0.346      $ 0.532     $ (0.228
Less Distributions                                            

From net investment income

   $ (0.345    $ (0.359    $ (0.436    $ (0.392   $ (0.095

Tax return of capital

     (0.055                          (0.217

Total distributions

   $ (0.400    $ (0.359    $ (0.436    $ (0.392   $ (0.312

Net asset value — End of year

   $ 7.900      $ 8.640      $ 8.630      $ 8.720     $ 8.580  

Total Return(2)

     (4.00 )%       4.31      4.07      6.34     (2.58 )% 
Ratios/Supplemental Data                                            

Net assets, end of year (000’s omitted)

   $ 1,413,454      $ 1,851,665      $ 2,323,831      $ 2,859,484     $ 4,237,027  

Ratios (as a percentage of average daily net assets):(3)

             

Expenses(4)

     0.84 %(5)       0.80      0.75      0.75     0.78

Net investment income

     5.39      4.50      4.45      5.31     4.56

Portfolio Turnover of the Portfolio

     81      88      81      61     78

 

(1) 

Computed using average shares outstanding.

 

(2) 

Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

 

(3) 

Includes the Fund’s share of the Portfolio’s allocated expenses.

 

(4) 

Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

 

(5) 

Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the year ended October 31, 2022).

 

  13   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Financial Highlights — continued

 

 

     Class R  
     Year Ended October 31,  
      2022      2021      2020      2019     2018  

Net asset value — Beginning of year

   $ 8.670      $ 8.660      $ 8.750      $ 8.610     $ 9.150  
Income (Loss) From Operations                                            

Net investment income(1)

   $ 0.410      $ 0.352      $ 0.338      $ 0.417     $ 0.369  

Net realized and unrealized gain (loss)

     (0.790      (0.027      (0.034      0.073       (0.641

Total income (loss) from operations

   $ (0.380    $ 0.325      $ 0.304      $ 0.490     $ (0.272
Less Distributions                                            

From net investment income

   $ (0.311    $ (0.315    $ (0.394    $ (0.350   $ (0.081

Tax return of capital

     (0.049                          (0.187

Total distributions

   $ (0.360    $ (0.315    $ (0.394    $ (0.350   $ (0.268

Net asset value — End of year

   $ 7.930      $ 8.670      $ 8.660      $ 8.750     $ 8.610  

Total Return(2)

     (4.45 )%       3.78      3.55      5.80     (3.04 )% 
Ratios/Supplemental Data                                            

Net assets, end of year (000’s omitted)

   $ 1,267      $ 1,274      $ 968      $ 861     $ 1,034  

Ratios (as a percentage of average daily net assets):(3)

             

Expenses(4)

     1.33 %(5)       1.29      1.25      1.26     1.28

Net investment income

     4.95      4.02      3.89      4.82     4.09

Portfolio Turnover of the Portfolio

     81      88      81      61     78

 

(1) 

Computed using average shares outstanding.

 

(2) 

Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

 

(3) 

Includes the Fund’s share of the Portfolio’s allocated expenses.

 

(4) 

Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

 

(5) 

Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the year ended October 31, 2022).

 

  14   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Financial Highlights — continued

 

 

     Class R6  
     Year Ended October 31,  
      2022      2021      2020      2019     2018  

Net asset value — Beginning of year

   $ 8.630      $ 8.620      $ 8.710      $ 8.570     $ 9.120  
Income (Loss) From Operations                                            

Net investment income(1)

   $ 0.450      $ 0.398      $ 0.391      $ 0.464     $ 0.405  

Net realized and unrealized gain (loss)

     (0.783      (0.024      (0.040      0.073       (0.638

Total income (loss) from operations

   $ (0.333    $ 0.374      $ 0.351      $ 0.537     $ (0.233
Less Distributions                                            

From net investment income

   $ (0.351    $ (0.364    $ (0.441    $ (0.397   $ (0.096

Tax return of capital

     (0.056                          (0.221

Total distributions

   $ (0.407    $ (0.364    $ (0.441    $ (0.397   $ (0.317

Net asset value — End of year

   $ 7.890      $ 8.630      $ 8.620      $ 8.710     $ 8.570  

Total Return(2)

     (3.80 )%       4.37      4.01      6.53     (2.63 )% 
Ratios/Supplemental Data                                            

Net assets, end of year (000’s omitted)

   $ 252,269      $ 376,984      $ 390,210      $ 224,436     $ 153,516  

Ratios (as a percentage of average daily net assets):(3)

             

Expenses(4)

     0.77 %(5)       0.73      0.68      0.69     0.72

Net investment income

     5.44      4.56      4.51      5.37     4.54

Portfolio Turnover of the Portfolio

     81      88      81      61     78

 

(1) 

Computed using average shares outstanding.

 

(2) 

Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested.

 

(3) 

Includes the Fund’s share of the Portfolio’s allocated expenses.

 

(4) 

Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.08%, 0.06%, 0.01%, 0.01% and 0.04% of average daily net assets for the years ended October 31, 2022, 2021, 2020, 2019 and 2018, respectively.

 

(5) 

Includes a reduction by the investment adviser of a portion of the Portfolio’s adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% of average daily net assets for the year ended October 31, 2022).

 

  15   See Notes to Financial Statements.


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Notes to Financial Statements

 

 

1  Significant Accounting Policies

Eaton Vance Global Macro Absolute Return Fund (the Fund) is a non-diversified series of Eaton Vance Mutual Funds Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund offers five classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. Class C shares are sold at net asset value and are generally subject to a contingent deferred sales charge (see Note 5). Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after their purchase as described in the Fund’s prospectus. Class I, Class R and Class R6 shares are sold at net asset value and are not subject to a sales charge. Each class represents a pro-rata interest in the Fund, but votes separately on class-specific matters and (as noted below) is subject to different expenses. Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based on the relative net assets of each class to the total net assets of the Fund. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer and dividend disbursing agent fees on the Statement of Operations, are not allocated to Class R6 shares. Each class of shares differs in its distribution plan and certain other class-specific expenses. The Fund invests substantially all of its investable assets in interests in Global Macro Portfolio (the Portfolio), a Massachusetts business trust, having the same investment objective and policies as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (approximately 100% at October 31, 2022). The performance of the Fund is directly affected by the performance of the Portfolio. The consolidated financial statements of the Portfolio, including the consolidated portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation — Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio’s Notes to Consolidated Financial Statements, which are included elsewhere in this report.

B  Income — The Fund’s net investment income or loss consists of the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.

C  Federal and Other Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.

In addition to the requirements of the Internal Revenue Code, the Fund may also be required to recognize its pro-rata share of the capital gains taxes incurred by the Portfolio. In doing so, the daily net asset value would reflect the Fund’s pro-rata share of the estimated reserve for such taxes incurred by the Portfolio.

As of October 31, 2022, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

D  Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.

E  Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

F  Indemnifications — Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

G  Other — Investment transactions are accounted for on a trade date basis.

 

  16  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Notes to Financial Statements — continued

 

 

2  Distributions to Shareholders and Income Tax Information

The Fund expects to pay any required income distributions monthly and intends to distribute annually all or substantially all of its net realized capital gains. The Fund may include in its distributions amounts attributable to the imputed interest on foreign currency exposures and certain other derivative positions which, in certain circumstances, may result in a return of capital for federal income tax purposes. Distributions to shareholders are recorded on the ex-dividend date. Distributions are declared separately for each class of shares. Shareholders may reinvest income and capital gain distributions in additional shares of the same class of the Fund at the net asset value as of the ex-dividend date or, at the election of the shareholder, receive distributions in cash. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.

The tax character of distributions declared for the years ended October 31, 2022 and October 31, 2021 was as follows:

 

    Year Ended October 31,  
     2022      2021  

Ordinary income

  $ 89,104,985      $ 122,493,638  

Tax return of capital

  $ 13,792,383      $     —  

During the year ended October 31, 2022, accumulated loss was decreased by $1,971,321 and paid-in capital was decreased by $1,971,321 due to differences between book and tax accounting. These reclassifications had no effect on the net assets or net asset value per share of the Fund.

As of October 31, 2022, the components of distributable earnings (accumulated loss) on a tax basis were as follows:

 

   

Deferred capital losses

   $ (284,751,114

Net unrealized depreciation

   $ (451,299,411

Accumulated loss

   $ (736,050,525

At October 31, 2022, the Fund, for federal income tax purposes, had deferred capital losses of $284,751,114 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at October 31, 2022, 284,751,114 are long-term.

3   Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Eaton Vance Management (EVM), an indirect, wholly-owned subsidiary of Morgan Stanley, as compensation for investment advisory services rendered to the Fund. The investment adviser fee is computed at an annual rate as a percentage of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser or administrator as follows and is payable monthly:

 

Average Daily Net Assets    Annual Fee Rate  

Up to $500 million

     0.615

$500 million but less than $1 billion

     0.595

$1 billion but less than $1.5 billion

     0.575

$1.5 billion but less than $2 billion

     0.555

$2 billion but less than $3 billion

     0.520

$3 billion but less than $5 billion

     0.490

$5 billion but less than $10 billion

     0.475

$10 billion and over

     0.465

 

  17  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Notes to Financial Statements — continued

 

 

Pursuant to an amendment to the investment advisory agreement dated April 29, 2022, EVM contractually agreed to reduce its investment advisory fee rate on average daily net assets of $5 billion and over from 0.490% to the rates as stated above. This contractual reduction cannot be terminated or reduced without Trustee and shareholder approval. For the year ended October 31, 2022, the Fund incurred no investment adviser fee on such assets. Pursuant to an investment sub-advisory agreement effective March 16, 2022, EVM has delegated a portion of the investment management of the Fund to Eaton Vance Advisers International Ltd. (EVAIL), an affiliate of EVM and an indirect, wholly-owned subsidiary of Morgan Stanley. EVAIL uses the portfolio management, research and other resources of its affiliate, MSIM Fund Management (Ireland) Limited (MSIM FMIL), to render investment advisory services to the Fund. MSIM FMIL has entered into a Memorandum of Understanding with EVAIL pursuant to which MSIM FMIL is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. EVM pays EVAIL a portion of its investment adviser fee for sub-advisory services provided to the Fund. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The Portfolio has engaged Boston Management and Research (BMR) to render investment advisory services. See Note 2 of the Portfolio’s Notes to Consolidated Financial Statements which are included elsewhere in this report. EVM also serves as the administrator of the Fund, but receives no compensation.

EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended October 31, 2022, EVM earned $167,201 from the Fund pursuant to such agreement, which is included in transfer and dividend disbursing agent fees on the Statement of Operations. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), an affiliate of EVM and the Fund’s principal underwriter, received $1,968 as its portion of the sales charge on sales of Class A shares for the year ended October 31, 2022. The Fund was informed that Morgan Stanley affiliated broker-dealers, which may be deemed to be affiliates of EVM, BMR and EVD, also received a portion of the sales charge on sales of Class A shares for the year ended October 31, 2022 in the amount of $2,248. EVD also received distribution and service fees from Class A, Class C and Class R shares (see Note 4) and contingent deferred sales charges (see Note 5).

Trustees and officers of the Fund who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.

4  Distribution Plans

The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays EVD a distribution and service fee of 0.30% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued to EVD for the year ended October 31, 2022 amounted to $618,750 for Class A shares.

The Fund also has in effect distribution plans for Class C shares (Class C Plan) and Class R shares (Class R Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. For the year ended October 31, 2022, the Fund paid or accrued to EVD $236,224 for Class C shares. The Class R Plan requires the Fund to pay EVD an amount up to 0.50% per annum of its average daily net assets attributable to Class R shares for providing ongoing distribution services and facilities to the Fund. The Trustees of the Trust have currently limited Class R distribution payments to 0.25% per annum of the average daily net assets attributable to Class R shares. For the year ended October 31, 2022, the Fund paid or accrued to EVD $3,307 for Class R shares.

Pursuant to the Class C and Class R Plans, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. They are separate and distinct from the sales commissions and distribution fees payable to EVD. Service fees paid or accrued for the year ended October 31, 2022 amounted to $78,741 and $3,307 for Class C and Class R shares, respectively.

Distribution and service fees are subject to the limitations contained in the Financial Industry Regulatory Authority Rule 2341(d).

5  Contingent Deferred Sales Charges

A contingent deferred sales charge (CDSC) of 1% generally is imposed on redemptions of Class C shares made within 12 months of purchase. Class A shares may be subject to a 0.75% (1% prior to April 29, 2022) CDSC if redeemed within 12 months (18 months prior to April 29, 2022) of purchase (depending on the circumstances of purchase). Generally, the CDSC is based upon the lower of the net asset value at date of redemption or date of purchase. No charge is levied on shares acquired by reinvestment of dividends or capital gain distributions. For the year ended October 31, 2022, the Fund was informed that EVD received approximately $1,000 and $4,000 of CDSCs paid by Class A and Class C shareholders, respectively.

6  Investment Transactions

For the year ended October 31, 2022, increases and decreases in the Fund’s investment in the Portfolio aggregated $115,421,516 and $722,141,458, respectively.

 

  18  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Notes to Financial Statements — continued

 

 

7  Shares of Beneficial Interest

The Fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Such shares may be issued in a number of different series (such as the Fund) and classes. Transactions in Fund shares, including direct exchanges pursuant to share class conversions for all periods presented, were as follows:

 

     Year Ended
October 31, 2022
     Year Ended
October 31, 2021
 
      Shares      Amount      Shares      Amount  

Class A

           

Sales

     4,592,167      $ 38,339,067        11,724,536      $ 102,711,836  

Issued to shareholders electing to receive payments of distributions in Fund shares

     1,048,566        8,652,844        1,570,878        13,724,612  

Redemptions

     (16,937,765      (142,391,395      (27,413,326      (239,847,833

Net decrease

     (11,297,032    $ (95,399,484      (14,117,912    $ (123,411,385

Class C

           

Sales

     332,112      $ 2,778,239        631,971      $ 5,551,839  

Issued to shareholders electing to receive payments of distributions in Fund shares

     142,074        1,173,583        144,970        1,271,825  

Redemptions

     (1,328,038      (11,047,075      (2,847,231      (24,998,554

Net decrease

     (853,852    $ (7,095,253      (2,070,290    $ (18,174,890

Class I

           

Sales

     71,497,227      $ 591,643,634        82,187,710      $ 717,985,965  

Issued to shareholders electing to receive payments of distributions in Fund shares

     8,239,895        67,606,194        8,956,504        78,070,972  

Redemptions

     (115,115,585      (949,694,856      (146,144,649      (1,274,351,145

Net decrease

     (35,378,463    $ (290,445,028      (55,000,435    $ (478,294,208

Class R

           

Sales

     45,748      $ 382,213        44,992      $ 393,791  

Issued to shareholders electing to receive payments of distributions in Fund shares

     6,942        57,022        4,728        41,379  

Redemptions

     (39,849      (325,027      (14,525      (126,913

Net increase

     12,841      $ 114,208        35,195      $ 308,257  

Class R6

           

Sales

     3,247,581      $ 27,190,898        19,638,845      $ 171,431,301  

Issued to shareholders electing to receive payments of distributions in Fund shares

     295,011        2,422,349        282,389        2,460,392  

Redemptions

     (15,238,556      (126,298,568      (21,517,489      (187,677,118

Net decrease

     (11,695,964    $ (96,685,321      (1,596,255    $ (13,785,425

 

  19  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Report of Independent Registered Public Accounting Firm

 

 

To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton Vance Global Macro Absolute Return Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Eaton Vance Global Macro Absolute Return Fund (the “Fund”) (one of the funds constituting Eaton Vance Mutual Funds Trust), as of October 31, 2022, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of October 31, 2022, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

December 29, 2022

We have served as the auditor of one or more Eaton Vance investment companies since 1959.

 

  20  


Eaton Vance

Global Macro Absolute Return Fund

October 31, 2022

 

Federal Tax Information (Unaudited)

 

 

The Form 1099-DIV you receive in February 2023 will show the tax status of all distributions paid to your account in calendar year 2022. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of qualified dividend income for individuals, the foreign tax credit and 163(j) interest dividends.

Qualified Dividend Income.  For the fiscal year ended October 31, 2022, the Fund designates approximately $917,940, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for the reduced tax rate of 15%.

Foreign Tax Credit.  For the fiscal year ended October 31, 2022, the Fund paid foreign taxes of $1,971,431 and recognized foreign source income of $133,666,522.

163(j) Interest Dividends.  For the fiscal year ended October 31, 2022, the Fund designates 93.27% of distributions from net investment income as a 163(j) interest dividend.

 

  21  


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments

 

 

Asset-Backed Securities — 0.2%

 

Security        Principal
Amount
(000’s omitted)
    Value  

CFG Investments, Ltd., Series 2021-1, Class B, 5.82%, 5/20/32(1)

      $ 3,600     $ 3,399,112  

Total Asset-Backed Securities
(identified cost $3,599,034)

 

  $ 3,399,112  
Collateralized Mortgage Obligations — 3.6%

 

Security        Principal
Amount
(000’s omitted)
    Value  

Federal Home Loan Mortgage Corp.:

     

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

    $ 0 (32)    $ 167  

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

      3       2,656  

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

      34       34,044  

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

      8       8,451  

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

      43       42,975  

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

      189       191,567  

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

      384       394,391  

Interest Only:(4)

     

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

      4,486       891,678  

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

     

Series 2020-DNA4, Class B1, 9.586%, (1 mo. USD LIBOR + 6.00%), 8/25/50(1)(2)

      4,296       4,518,390  

Series 2020-HQA4, Class B1, 8.836%, (1 mo. USD LIBOR + 5.25%), 9/25/50(1)(2)

      2,089       2,061,547  

Series 2022-HQA1, Class B1, 9.997%, (30-day average SOFR + 7.00%), 3/25/42(1)(2)

      3,697       3,484,050  

Series 2022-HQA1, Class M1B, 6.497%, (30-day average SOFR + 3.50%), 3/25/42(1)(2)

      1,479       1,416,468  

Series 2022-HQA1, Class M2, 8.247%, (30-day average SOFR + 5.25%), 3/25/42(1)(2)

      2,957       2,781,214  

Federal National Mortgage Association:

     

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

      0 (32)      192  

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

      23       23,120  

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

      2       2,485  

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

      6       5,984  

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

      2       1,999  

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

      42       42,373  

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

      10       9,666  

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

      118       120,936  

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

      18       18,883  

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

      32       32,965  

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

      13       13,349  

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

      77       78,452  

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

      126       127,701  

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

      131       131,325  
Security        Principal
Amount
(000’s omitted)
    Value  

Federal National Mortgage Association: (continued)

   

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

    $ 27     $ 27,861  

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

      67       70,412  

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

      996       995,083  

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

      291       295,049  

Series 2009-48, Class WA, 5.803%, 7/25/39(3)

      1,486       1,496,521  

Series 2011-38, Class SA, 2.743%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(5)

      648       489,041  

Interest Only:(4)

     

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

      5,681       1,023,650  

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

      4,927       920,510  

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

      770       147,170  

Federal National Mortgage Association Connecticut Avenue Securities:

     

Series 2021-R02, Class 2B1, 6.297%, (30-day average SOFR + 3.30%), 11/25/41(1)(2)

      5,415       4,781,943  

Series 2022-R02, Class 2B2, 10.647%, (30-day average SOFR + 7.65%), 1/25/42(1)(2)

      2,588       2,358,281  

Government National Mortgage Association,

     

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

      5       5,061  

PNMAC GMSR Issuer Trust:

     

Series 2018-GT1, Class A, 6.436%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(2)

      9,000       8,917,704  

Series 2018-GT2, Class A, 6.236%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2)

      8,064       7,959,416  

Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50(1)(3)

        23,099       21,118,906  

Total Collateralized Mortgage Obligations
(identified cost $83,234,457)

 

  $ 67,043,636  
Common Stocks — 2.6%

 

Security        Shares     Value  
Argentina — 0.3%  

Banco Macro S.A. ADR(6)

      64,200     $ 953,370  

Grupo Financiero Galicia S.A. ADR

      95,400       740,304  

IRSA Inversiones y Representaciones S.A. ADR(6)

      69,200       295,484  

Loma Negra Cia Industrial Argentina S.A. ADR

      145,800       982,692  

Pampa Energia S.A. ADR(6)

      62,700       1,578,159  

Telecom Argentina S.A. ADR(6)

      174,000       725,580  

Transportadora de Gas del Sur S.A. ADR(6)

        110,721       959,951  
      $ 6,235,540  
Bulgaria — 0.3%  

Eurohold Bulgaria AD(6)

        5,311,731     $ 5,181,674  
      $ 5,181,674  
 

 

  22   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Shares     Value  
Cyprus — 0.3%  

Bank of Cyprus Holdings PLC(6)

      4,401,002     $ 6,313,523  

Galaxy Cosmos Mezz PLC(6)

      23,855       3,852  

Sunrisemezz PLC(6)

        134,029       10,848  
      $ 6,328,223  
Egypt — 0.0%(7)  

Taaleem Management Services Co. SAE(6)

        1,354,109     $ 201,447  
      $ 201,447  
Greece — 0.5%  

Alpha Services and Holdings S.A.(6)

      644,100     $ 596,497  

Eurobank Ergasias Services and Holdings
S.A.(6)

      1,087,400       1,073,484  

Hellenic Telecommunications Organization S.A.

      112,400       1,765,191  

JUMBO S.A.

      71,500       1,015,556  

Motor Oil (Hellas) Corinth Refineries S.A.

      38,600       663,419  

Mytilineos S.A.

      50,500       846,795  

National Bank of Greece S.A.(6)

      226,500       820,671  

OPAP S.A.

      77,900       954,520  

Piraeus Financial Holdings S.A.(6)

      938,200       1,156,614  

Public Power Corp. S.A.(6)

      65,900       415,972  

Titan Cement International S.A.

        3,203       35,794  
      $ 9,344,513  
Iceland — 0.2%  

Arion Banki HF(1)

      1,015,472     $ 1,136,910  

Eik Fasteignafelag HF

      3,253,209       293,751  

Eimskipafelag Islands HF

      225,337       853,644  

Hagar HF

      921,987       460,498  

Islandsbanki HF

      668,258       592,572  

Reginn HF

      1,291,872       260,101  

Reitir Fasteignafelag HF

      875,641       557,972  

Siminn HF

        4,736,421       372,078  
      $ 4,527,526  
Indonesia — 0.0%(7)  

Bayan Resources Tbk PT

        20,900     $ 98,370  
      $ 98,370  
Japan — 0.2%  

Mizuho Financial Group, Inc.

      86,400     $ 934,456  

Resona Holdings, Inc.

      164,000       618,108  

SBI Holdings, Inc.

      18,400       332,378  

Sumitomo Mitsui Financial Group, Inc.

      33,300       935,116  

Tokio Marine Holdings, Inc.

        54,100       979,489  
      $ 3,799,547  
Security        Shares     Value  
United Arab Emirates — 0.3%  

Al Yah Satellite Communications Co-Pjsc-Yah Sat

      5,278,406     $ 3,936,204  

Dubai Electricity & Water Authority PJSC

        983,852       653,781  
      $ 4,589,985  
United Kingdom — 0.0%(7)  

Tesnik Cuatro, Ltd.(8)

        409,000     $ 327,036  
      $ 327,036  
Vietnam — 0.5%  

Bank for Foreign Trade of Vietnam JSC

      84,651     $ 250,149  

Binh Minh Plastics JSC

      14,820       36,285  

Coteccons Construction JSC

      36,000       60,879  

FPT Corp.

      575,901       1,874,679  

Hoa Phat Group JSC

      475,478       298,920  

KIDO Group Corp.

      10,295       25,460  

Military Commercial Joint Stock Bank(6)

      795,584       606,341  

Mobile World Investment Corp.

      1,082,498       2,405,106  

Phu Nhuan Jewelry JSC

      261,630       1,120,208  

Refrigeration Electrical Engineering Corp.

      250,251       851,256  

Vietnam Dairy Products JSC

      90,281       284,967  

Vietnam Prosperity JSC Bank(6)

      631,024       444,243  

Vietnam Technological & Commercial Joint Stock Bank(6)

      163,200       172,867  

Vingroup JSC(6)

        78,738       175,436  
      $ 8,606,796  

Total Common Stocks
(identified cost $56,416,878)

 

  $ 49,240,657  
Convertible Bonds — 0.3%

 

Security        Principal
Amount
(000’s omitted)
    Value  
Bermuda — 0.2%  

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

  USD     3,340     $ 2,974,688  
      $ 2,974,688  
India — 0.1%  

Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(9)

  USD     2,970     $ 2,042,246  
      $ 2,042,246  

Total Convertible Bonds
(identified cost $6,311,467)

 

  $ 5,016,934  
 

 

  23   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Foreign Corporate Bonds — 6.6%

 

Security        Principal
Amount
(000’s omitted)
    Value  
Argentina — 0.0%(7)  

IRSA Inversiones y Representaciones S.A., 8.75%, 6/22/28(1)

  USD     280     $ 261,649  
      $ 261,649  
Armenia — 0.2%  

Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(9)

  USD     3,334     $ 3,157,265  
      $ 3,157,265  
Brazil — 0.8%  

Braskem America Finance Co., 7.125%, 7/22/41(9)

  USD     1,279     $ 1,121,209  

Coruripe Netherlands BV:

     

10.00%, 2/10/27(1)

  USD     903       751,752  

10.00%, 2/10/27(9)

  USD     1,989       1,655,853  

Guara Norte S.a.r.l., 5.198%, 6/15/34(9)

  USD     1,103       867,059  

Hidrovias International Finance S.a.r.l., 4.95%, 2/8/31(9)

  USD     1,383       1,057,141  

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

  USD     3,757       2,876,885  

Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1)

  USD     1,328       1,108,880  

Natura Cosmeticos S.A., 4.125%, 5/3/28(9)

  USD     2,879       2,247,060  

Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(9)

  USD     358       349,922  

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

  USD     479       396,820  

Vale S.A., 2.762%(10)(11)

  BRL     42,422       2,689,589  
      $ 15,122,170  
Bulgaria — 0.3%  

Bulgarian Energy Holding EAD, 2.45%, 7/22/28(9)

  EUR     1,155     $ 828,814  

Eurohold Bulgaria AD, 6.50%, 12/7/22(9)

  EUR     4,582       4,517,700  
      $ 5,346,514  
Chile — 0.4%  

AES Andes S.A.:

     

6.35% to 4/7/25, 10/7/79(9)(12)

  USD     636     $ 517,601  

7.125% to 4/7/24, 3/26/79(9)(12)

  USD     928       763,022  

Latam Airlines Group S.A., 13.375%, 10/15/27(1)

  USD     1,900       1,869,961  

Mercury Chile Holdco, LLC, 6.50%, 1/24/27(9)

  USD     1,505       1,243,958  

VTR Comunicaciones SpA:

     

4.375%, 4/15/29(9)

  USD     2,328       1,307,393  
Security        Principal
Amount
(000’s omitted)
    Value  
Chile (continued)  

VTR Comunicaciones SpA: (continued)

     

5.125%, 1/15/28(9)

  USD     2,324     $ 1,481,515  
      $ 7,183,450  
China — 0.1%  

KWG Group Holdings, Ltd., 7.875%, 8/30/24

  USD     1,571     $ 278,792  

Shimao Group Holdings, Ltd., 5.60%, 7/15/26(9)(13)

  USD     5,100       269,055  

Sunac China Holdings, Ltd.:

     

6.50%, 7/9/23(9)(13)

  USD     2,000       124,526  

8.35%, 4/19/23(9)(13)

  USD     3,270       204,238  

Times China Holdings, Ltd.:

     

5.55%, 6/4/24(9)

  USD     3,999       355,526  

6.75%, 7/16/23(9)

  USD     2,966       354,280  
      $ 1,586,417  
Georgia — 0.3%  

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

  USD     6,762     $ 6,345,204  
      $ 6,345,204  
Honduras — 0.1%  

Inversiones Atlantida S.A., 7.50%, 5/19/26(9)

  USD     1,746     $ 1,565,289  
      $ 1,565,289  
Iceland — 0.9%  

Arion Banki HF, 6.00%, 4/12/24(9)

  ISK     1,000,000     $ 6,872,177  

Islandsbanki HF, 6.40%, 10/26/23

  ISK     860,000       5,930,830  

Landsbankinn HF, 5.00%, 11/23/23(9)

  ISK     560,000       3,818,682  

WOW Air HF:

     

0.00%(8)(10)(13)

  EUR     79       0  

0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(8)(13)

  EUR     3,600       0  
      $ 16,621,689  
India — 1.2%  

Indian Railway Finance Corp., Ltd.:

     

2.80%, 2/10/31(9)

  USD     15,006     $ 11,270,458  

3.57%, 1/21/32(9)

  USD     8,481       6,637,612  

JSW Infrastructure, Ltd., 4.95%, 1/21/29(9)

  USD     3,677       2,738,689  

JSW Steel, Ltd., 5.05%, 4/5/32(9)

  USD     1,466       924,035  

Reliance Communications, Ltd., 6.50%, 11/6/20(9)(13)

  USD     1,800       135,000  

Vedanta Resources Finance II PLC, 13.875%, 1/21/24(9)

  USD     1,481       1,241,255  
      $ 22,947,049  
 

 

  24   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
(000’s omitted)
    Value  
Indonesia — 0.2%  

Alam Sutera Realty Tbk PT, 6.25%, (6.25% cash or 6.50% PIK), 11/2/25(9)(14)

  USD     5,025     $ 3,215,938  
      $ 3,215,938  
Luxembourg — 0.0%(7)  

Gol Finance S.A., 8.00%, 6/30/26(9)

  USD     1,380     $ 810,323  
      $ 810,323  
Mexico — 0.3%  

Alpha Holding S.A. de CV:

     

9.00%, 2/10/25(9)(13)

  USD     3,890     $ 58,350  

10.00%, 12/19/22(9)(13)

  USD     1,849       27,735  

Braskem Idesa SAPI, 6.99%, 2/20/32(9)

  USD     3,000       2,013,885  

Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(9)(13)

  USD     1,124       691,183  

Total Play Telecomunicaciones S.A. de CV, 7.50%, 11/12/25(9)

  USD     2,010       1,703,186  

Trust Fibra Uno, 4.869%, 1/15/30(9)

  USD     1,277       965,029  
      $ 5,459,368  
Moldova — 0.2%  

Aragvi Finance International DAC, 8.45%, 4/29/26(9)

  USD     5,849     $ 4,111,496  
      $ 4,111,496  
Morocco — 0.1%  

OCP S.A., 5.125%, 6/23/51(9)

  USD     2,770     $ 1,705,201  
      $ 1,705,201  
Nigeria — 0.3%  

IHS Holding, Ltd., 5.625%, 11/29/26(9)

  USD     1,740     $ 1,327,359  

IHS Netherlands Holdco BV, 8.00%, 9/18/27(9)

  USD     970       758,239  

SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(9)

  USD     3,306       2,603,641  
      $ 4,689,239  
Paraguay — 0.2%  

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

  USD     4,435     $ 3,499,082  
      $ 3,499,082  
Peru — 0.0%(7)  

PetroTal Corp., 12.00%, 2/16/24(1)(9)

  USD     720     $ 736,200  
      $ 736,200  
Security        Principal
Amount
(000’s omitted)
    Value  
Saint Lucia — 0.1%  

Digicel International Finance, Ltd./Digicel International Holdings, Ltd., 8.75%, 5/25/24(9)

  USD     1,120     $ 958,322  
      $ 958,322  
South Africa — 0.2%  

HTA Group, Ltd., 7.00%, 12/18/25(9)

  USD     2,994     $ 2,642,205  

Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(9)(14)

  USD     1,060       1,070,717  
      $ 3,712,922  
Turkey — 0.2%  

Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(9)

  USD     4,389     $ 3,504,468  
      $ 3,504,468  
Uzbekistan — 0.5%  

Ipoteka-Bank ATIB, 5.50%, 11/19/25(9)

  USD     833     $ 718,213  

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

  UZS     101,000,000       9,059,036  
      $ 9,777,249  

Total Foreign Corporate Bonds
(identified cost $168,937,802)

 

  $ 122,316,504  
Loan Participation Notes — 2.2%

 

Security        Principal
Amount
(000’s omitted)
    Value  
Uzbekistan — 2.2%  

Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(8)(9)(15)

  UZS     293,470,000     $ 26,278,531  

Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(8)(9)(15)

  UZS     165,429,043       14,801,493  

Total Loan Participation Notes
(identified cost $45,874,617)

 

  $ 41,080,024  
Reinsurance Side Cars — 0.6%

 

Security        Shares     Value  

Eden Re II, Ltd.:

     

Series 2021A, 0.00%,
3/21/25(1)(8)(16)(17)

      383,031     $ 293,019  

Series 2022A, 0.00%,
3/20/26(1)(8)(16)(17)

      1,100,000       989,010  

Series 2022B, 0.00%,
3/20/26(1)(8)(16)(17)

      2,400,000       2,165,520  
 

 

  25   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Shares     Value  

Mt. Logan Re, Ltd.,
Series A-1(6)(8)(17)(18)

      4,400     $ 3,539,270  

Sussex Capital, Ltd.:

     

Designated Investment
Series 16, 12/21(6)(8)(17)(18)

      817       591,006  

Series 16, Preference
Shares(6)(8)(17)(18)

        5,500       4,347,304  

Total Reinsurance Side Cars
(identified cost $13,783,031)

 

  $ 11,925,129  
Senior Floating-Rate Loans — 0.9%(19)

 

Borrower/Description        Principal
Amount
(000’s omitted)
    Value  
Argentina — 0.0%(7)  

Desa, LLC, Term Loan, 2.50%, 6/30/24(8)(20)

      $ 843     $ 425,756  
      $ 425,756  
Luxembourg — 0.1%  

Zacapa LLC, Term Loan, 7.803%, (SOFR + 4.25%), 3/22/29

      $ 1,095     $ 1,048,531  
      $ 1,048,531  
Mexico — 0.8%  

Petroleos Mexicanos, Term Loan, 6.35%, (1 mo. USD LIBOR + 3.00%), 6/28/24

      $ 15,931     $ 15,373,415  
      $ 15,373,415  

Total Senior Floating-Rate Loans
(identified cost $17,362,406)

 

  $ 16,847,702  
Sovereign Government Bonds — 36.8%

 

Security        Principal
Amount
(000’s omitted)
    Value  
Albania — 0.1%  

Albania Government International Bond:

     

3.50%, 10/9/25(9)

  EUR     1,179     $ 1,058,582  

3.50%, 6/16/27(9)

  EUR     209       181,957  
      $ 1,240,539  
Argentina — 0.1%  

Provincia de Cordoba, 6.875%, 12/10/25(9)(21)

  USD     1,712     $ 1,309,862  
      $ 1,309,862  
Security        Principal
Amount
(000’s omitted)
    Value  
Armenia — 0.2%  

Republic of Armenia:

     

3.60%, 2/2/31(9)

  USD     2,895     $ 1,988,546  

3.95%, 9/26/29(9)

  USD     2,355       1,714,817  
      $ 3,703,363  
Bahrain — 0.4%  

Kingdom of Bahrain, 5.45%, 9/16/32(9)

  USD     10,100     $ 8,174,395  
      $ 8,174,395  
Barbados — 1.4%  

Government of Barbados, 6.50%, 10/1/29(9)

  USD     28,151     $ 25,411,177  
      $ 25,411,177  
Benin — 0.7%  

Benin Government International Bond:

     

4.875%, 1/19/32(9)

  EUR     6,529     $ 4,440,203  

4.95%, 1/22/35(9)

  EUR     2,320       1,426,153  

6.875%, 1/19/52(9)

  EUR     12,795       7,966,891  
      $ 13,833,247  
Colombia — 0.7%  

Titulos De Tesoreria B:

     

7.00%, 3/26/31

  COP     50,747,300     $ 6,897,090  

7.00%, 6/30/32

  COP     42,426,600       5,551,214  
      $ 12,448,304  
Costa Rica — 0.1%  

Costa Rica Government Bond, 9.66%, 9/30/26(9)

  CRC     684,200     $ 1,117,004  
      $ 1,117,004  
Dominican Republic — 2.0%  

Dominican Republic:

     

8.00%, 1/15/27(9)

  DOP     96,000     $ 1,505,930  

8.00%, 2/12/27(9)

  DOP     490,340       7,646,731  

12.00%, 8/8/25(1)

  DOP     373,380       6,586,008  

12.75%, 9/23/29(1)

  DOP     368,500       6,954,268  

13.00%, 6/10/34(9)

  DOP     613,300       11,220,551  

Dominican Republic Central Bank Notes:

     

8.00%, 3/12/27(9)

  DOP     31,580       470,665  

12.00%, 10/3/25(1)

  DOP     138,420       2,436,974  
      $ 36,821,127  
 

 

  26   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
(000’s omitted)
    Value  
Ecuador — 0.3%  

Republic of Ecuador:

     

1.50% to 7/31/23, 7/31/40(9)(21)

  USD     2,839     $ 809,519  

1.50% to 7/31/23, 7/31/40(9)(21)

  USD     10,433       3,483,961  

5.50% to 7/31/23, 7/31/30(9)(21)

  USD     2,450       1,313,095  
      $ 5,606,575  
Egypt — 0.9%  

Arab Republic of Egypt:

     

6.375%, 4/11/31(9)

  EUR     7,412     $ 4,446,826  

7.50%, 2/16/61(9)

  USD     17,193       9,645,273  

7.903%, 2/21/48(9)

  USD     586       332,239  

8.15%, 11/20/59(9)

  USD     1,129       653,571  

8.70%, 3/1/49(9)

  USD     1,260       753,785  

8.75%, 9/30/51(9)

  USD     2,013       1,203,472  

8.875%, 5/29/50(9)

  USD     711       424,722  
      $ 17,459,888  
El Salvador — 0.6%  

Republic of El Salvador:

     

7.125%, 1/20/50(9)

  USD     2,625     $ 921,247  

7.625%, 2/1/41(9)

  USD     1,259       450,636  

7.75%, 1/24/23(9)

  USD     10,490       9,571,743  
      $ 10,943,626  
Ethiopia — 0.2%  

Ethiopia Government International Bond, 6.625%, 12/11/24(9)

  USD     7,326     $ 3,814,722  
      $ 3,814,722  
Gabon — 0.5%  

Gabon Government International Bond, 6.625%, 2/6/31(9)

  USD     12,657     $ 8,934,576  
      $ 8,934,576  
Georgia — 0.1%  

Georgia Government International Bond, 2.75%, 4/22/26(9)

  USD     1,988     $ 1,694,583  
      $ 1,694,583  
Honduras — 1.4%  

Honduras Government International Bond:

     

5.625%, 6/24/30(9)

  USD     16,651     $ 11,433,687  

6.25%, 1/19/27(9)

  USD     2,710       2,144,837  
Security        Principal
Amount
(000’s omitted)
    Value  
Honduras (continued)  

Honduras Government International Bond: (continued)

   

7.50%, 3/15/24(9)(33)

  USD     12,536     $ 12,536,019  
      $ 26,114,543  
Iceland — 0.5%  

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

  ISK     1,418,285     $ 9,952,596  
      $ 9,952,596  
India — 0.5%  

Export-Import Bank of India:

     

2.25%, 1/13/31(9)

  USD     10,000     $ 7,354,900  

3.25%, 1/15/30(9)

  USD     2,980       2,425,046  
      $ 9,779,946  
Indonesia — 0.1%  

Indonesia Government International Bond, 4.65%, 9/20/32

  USD     2,900     $ 2,690,158  
      $ 2,690,158  
Iraq — 1.1%  

Republic of Iraq:

     

5.80%, 1/15/28(9)

  USD     20,446     $ 17,451,713  

6.752%, 3/9/23(9)

  USD     3,408       3,363,321  
      $ 20,815,034  
Ivory Coast — 0.1%  

Ivory Coast Government International Bond:

     

5.25%, 3/22/30(9)

  EUR     1,119     $ 848,973  

6.625%, 3/22/48(9)

  EUR     764       480,723  
      $ 1,329,696  
Jordan — 0.3%  

Kingdom of Jordan:

     

5.85%, 7/7/30(9)

  USD     585     $ 486,293  

7.375%, 10/10/47(9)

  USD     6,567       4,947,144  
      $ 5,433,437  
Lebanon — 0.2%  

Lebanese Republic:

     

5.80%, 4/14/20(9)(13)

  USD     337     $ 21,056  

6.00%, 1/27/23(9)(13)

  USD     1,505       94,424  

6.10%, 10/4/22(9)(13)

  USD     5,758       367,072  

6.15%, 6/19/20(13)

  USD     448       27,270  

6.20%, 2/26/25(9)(13)

  USD     450       28,316  
 

 

  27   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
(000’s omitted)
    Value  
Lebanon (continued)  

Lebanese Republic: (continued)

     

6.25%, 5/27/22(13)

  USD     750     $ 47,813  

6.25%, 11/4/24(9)(13)

  USD     7,663       483,765  

6.25%, 6/12/25(9)(13)

  USD     2,947       186,634  

6.375%, 3/9/20(13)

  USD     6,588       408,061  

6.40%, 5/26/23(13)

  USD     7,625       483,501  

6.65%, 4/22/24(9)(13)

  USD     7,602       480,305  

6.65%, 11/3/28(9)(13)

  USD     3,522       222,414  

6.65%, 2/26/30(9)(13)

  USD     453       28,371  

6.75%, 11/29/27(9)(13)

  USD     194       12,259  

6.85%, 5/25/29(13)

  USD     8,628       546,239  

7.00%, 12/3/24(13)

  USD     3,446       218,028  

7.00%, 3/20/28(9)(13)

  USD     5,356       333,818  

7.05%, 11/2/35(9)(13)

  USD     1,463       91,379  

7.15%, 11/20/31(9)(13)

  USD     4,621       286,179  

8.20%, 5/17/33(13)

  USD     1,595       99,384  

8.25%, 4/12/21(9)(13)

  USD     3,382       215,602  

8.25%, 5/17/34(13)

  USD     1,326       79,560  
      $ 4,761,450  
Macedonia — 0.7%  

North Macedonia Government International Bond:

     

1.625%, 3/10/28(9)

  EUR     9,553     $ 7,138,717  

2.75%, 1/18/25(9)

  EUR     2,570       2,319,309  

3.675%, 6/3/26(9)

  EUR     4,477       3,938,905  
      $ 13,396,931  
Mozambique — 0.3%  

Mozambique Government International Bond, 5.00% to 9/15/23, 9/15/31(9)(21)

  USD     8,238     $ 5,636,275  
      $ 5,636,275  
New Zealand — 0.6%  

New Zealand Government Bond, 3.00%, 9/20/30(9)(22)

  NZD     17,014     $ 10,515,229  
      $ 10,515,229  
Oman — 0.0%(7)  

Oman Government International Bond, 6.75%, 1/17/48(9)

  USD     1,130     $ 952,648  
      $ 952,648  
Pakistan — 0.2%  

Pakistan Government International Bond:

     

6.00%, 4/8/26(9)

  USD     2,622     $ 871,815  
Security        Principal
Amount
(000’s omitted)
    Value  
Pakistan (continued)  

Pakistan Government International Bond: (continued)

     

8.875%, 4/8/51(9)

  USD     4,200     $ 1,319,325  

Third Pakistan International Sukuk Co., Ltd. (The), 5.625%, 12/5/22(9)

  USD     1,426       1,301,881  
      $ 3,493,021  
Peru — 1.3%  

Peru Government Bond:

     

6.15%, 8/12/32

  PEN     11,854     $ 2,537,902  

6.95%, 8/12/31

  PEN     91,366       21,106,045  
      $ 23,643,947  
Philippines — 0.9%  

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

  PHP     1,024,000     $ 16,066,800  
      $ 16,066,800  
Romania — 1.4%  

Romania Government International Bond:

     

2.625%, 12/2/40(9)

  EUR     894     $ 464,612  

2.75%, 4/14/41(9)

  EUR     1,699       887,131  

3.375%, 1/28/50(9)

  EUR     5,202       2,748,816  

4.625%, 4/3/49(9)

  EUR     9,940       6,448,362  

5.00%, 9/27/26(9)

  EUR     8,524       8,182,464  

6.625%, 9/27/29(9)

  EUR     8,340       7,910,114  
      $ 26,641,499  
Serbia — 3.8%  

Serbia International Bond:

     

1.00%, 9/23/28(9)

  EUR     10,718     $ 7,477,995  

1.50%, 6/26/29(9)

  EUR     18,418       12,817,810  

1.65%, 3/3/33(9)

  EUR     368       215,362  

2.05%, 9/23/36(9)

  EUR     109       59,822  

3.125%, 5/15/27(9)

  EUR     1,040       878,710  

Serbia Treasury Bond:

     

4.50%, 8/20/32

  RSD     1,539,040       9,982,903  

5.875%, 2/8/28

  RSD     4,951,760       38,902,339  
      $ 70,334,941  
South Africa — 3.1%  

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

  ZAR     998,381     $ 57,041,212  
      $ 57,041,212  
 

 

  28   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
(000’s omitted)
    Value  
South Korea — 1.1%  

Korea Treasury Bond, 1.875%, 12/10/24

  KRW     31,500,000     $ 21,072,553  
      $ 21,072,553  
Sri Lanka — 0.7%  

Sri Lanka Government International Bond:

     

5.75%, 4/18/23(9)(13)

  USD     6,802     $ 1,596,294  

6.20%, 5/11/27(9)(13)

  USD     4,503       1,037,208  

6.35%, 6/28/24(9)(13)

  USD     2,360       554,365  

6.75%, 4/18/28(9)(13)

  USD     9,346       2,129,156  

6.825%, 7/18/26(9)(13)

  USD     12,809       3,042,891  

6.85%, 3/14/24(9)(13)

  USD     6,343       1,493,888  

6.85%, 11/3/25(9)(13)

  USD     2,892       698,239  

7.55%, 3/28/30(9)(13)

  USD     5,792       1,337,198  

7.85%, 3/14/29(9)(13)

  USD     2,800       647,700  
      $ 12,536,939  
Suriname — 2.0%  

Republic of Suriname:

     

9.25%, 10/26/26(9)(13)

  USD     44,764     $ 35,945,492  

12.875%, 12/30/23(9)(13)

  USD     1,385       1,121,850  
      $ 37,067,342  
Uganda — 0.1%  

Uganda Government Bond:

     

10.00%, 9/7/23

  UGX     5,761,400     $ 1,463,282  

11.00%, 4/13/23

  UGX     3,383,600       890,328  
      $ 2,353,610  
Ukraine — 3.0%  

Ukraine Government Bond:

     

10.00%, 8/23/23(8)

  UAH     39,841     $ 416,249  

10.95%, 11/1/23(8)

  UAH     25,660       268,090  

11.67%, 11/22/23(8)

  UAH     822,303       8,591,225  

15.84%, 2/26/25(8)

  UAH     3,871,788       43,340,911  

15.97%, 4/19/23(8)

  UAH     6,037       63,073  

Ukraine Government International Bond, 0.00%, GDP-Linked, 8/1/41(6)(9)(23)

  USD     9,576       2,435,636  
      $ 55,115,184  
United Arab Emirates — 0.6%  

Finance Department Government of Sharjah, 4.00%, 7/28/50(9)

  USD     19,846     $ 11,527,549  
      $ 11,527,549  
Security        Principal
Amount
(000’s omitted)
    Value  
Uruguay — 1.1%  

Uruguay Government Bond:

     

3.70%, 6/26/37

  UYU     51,105     $ 1,241,251  

3.875%, 7/2/40(22)

  UYU     639,130       15,867,717  

Uruguay Monetary Regulation Bill, 0.00%, 7/3/24

  UYU     151,660       3,106,775  
      $ 20,215,743  
Uzbekistan — 0.1%  

National Bank of Uzbekistan, 4.85%, 10/21/25(9)

  USD     326     $ 286,472  

Republic of Uzbekistan, 14.50%, 11/25/23(9)

  UZS     16,470,000       1,481,901  
      $ 1,768,373  
Vietnam — 2.1%  

Vietnam Government International Bond, 4.80%, 11/19/24(9)

  USD     39,614     $ 38,326,543  
      $ 38,326,543  
Zambia — 1.2%  

Zambia Government Bond:

     

11.00%, 1/25/26

  ZMW     183,205     $ 7,536,662  

11.00%, 12/27/26

  ZMW     72,160       2,682,093  

12.00%, 3/22/28

  ZMW     18,620       634,946  

12.00%, 5/31/28

  ZMW     8,430       282,923  

12.00%, 11/1/28

  ZMW     20,900       683,287  

12.00%, 2/21/29

  ZMW     47,920       1,529,482  

13.00%, 12/27/31

  ZMW     40,570       1,229,084  

14.00%, 12/5/31

  ZMW     4,600       148,236  

Zambia Government International Bond, 5.375%, 9/20/22(9)(13)

  USD     12,572       4,319,613  

8.50%, 4/14/24(9)(13)

  USD     4,696       1,902,021  

8.97%, 7/30/27(9)(13)

  USD     1,527       614,871  
      $ 21,563,218  

Total Sovereign Government Bonds
(identified cost $973,840,916)

 

  $ 682,659,405  
Sovereign Loans — 4.5%

 

Borrower/Description        Principal
Amount
(000’s omitted)
    Value  
Ivory Coast — 0.2%  

Republic of Ivory Coast, Term Loan, 5.991%, (6 mo. EURIBOR + 5.75%), 1/6/28(2)

  EUR     2,665     $ 2,641,395  
      $ 2,641,395  
 

 

  29   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Borrower/Description        Principal
Amount
(000’s omitted)
    Value  
Kenya — 0.6%  

Government of Kenya:

     

Term Loan, 9.312%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2)

  USD     10,449     $ 10,439,147  

Term Loan, 11.025%, (3 mo. USD LIBOR + 6.70%), 10/24/24(2)

  USD     1,162       1,152,481  
      $ 11,591,628  
Macedonia — 0.1%  

Republic of Macedonia, Term Loan, 4.534%, (6 mo. EURIBOR + 4.50%), 12/16/22(2)(24)

  EUR     1,100     $ 1,088,717  
      $ 1,088,717  
Nigeria — 0.5%  

Bank of Industry Limited, Term Loan, 9.27%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(24)

  USD     9,545     $ 9,441,652  
      $ 9,441,652  
Tanzania — 3.1%  

Government of the United Republic of Tanzania, Term Loan, 8.232%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2)

  USD     58,755     $ 58,170,564  
      $ 58,170,564  

Total Sovereign Loans
(identified cost $84,210,803)

 

  $ 82,933,956  
U.S. Government Agency Mortgage-Backed
Securities — 2.1%

 

Security        Principal
Amount
(000’s omitted)
    Value  

Federal Home Loan Mortgage Corp.:

 

2.675%, (COF + 2.43%), with maturity at 2023(25)

    $ 2     $ 1,669  

2.848%, (COF + 1.25%), with maturity at 2035(25)

      438       426,647  

3.68%, (1 yr. CMT + 2.31%), with maturity at 2036(25)

      557       566,021  

4.06%, (COF + 1.25%), with maturity at 2029(25)

      6       6,102  

4.426%, (COF + 1.25%), with maturity at 2030(25)

      129       131,405  

4.50%, with maturity at 2035

      123       119,633  

6.00%, with various maturities to 2035

      3,045       3,117,016  

6.50%, with various maturities to 2032

      3,368       3,486,066  

6.60%, with maturity at 2030

      329       338,264  

7.00%, with various maturities to 2036

      4,230       4,398,663  

7.31%, with maturity at 2026

      3       3,031  

7.50%, with various maturities to 2035

      1,559       1,625,597  

8.00%, with various maturities to 2030

      312       317,433  

8.50%, with maturity at 2025

      4       3,708  
Security        Principal
Amount
(000’s omitted)
    Value  

Federal Home Loan Mortgage Corp.: (continued)

 

9.00%, with various maturities to 2027

    $ 19     $ 19,059  

9.50%, with maturity at 2027

      9       9,339  

Federal National Mortgage Association:

     

1.96%, (COF + 1.30%), with maturity at 2024(25)

      126       124,705  

1.965%, (COF + 1.30%), with maturity at 2033(25)

      440       420,079  

2.269%, (COF + 1.40%), with maturity at 2025(25)

      86       84,596  

2.319%, (1 yr. CMT + 2.15%), with maturity at 2028(25)

      61       61,261  

2.455%, (COF + 1.35%), with maturity at 2027(25)

      26       25,185  

2.469%, (COF + 1.60%), with maturity at 2024(25)

      41       40,413  

3.155%, (COF + 1.25%), with maturity at 2034(25)

      137       137,136  

3.238%, (COF + 1.25%), with maturity at 2035(25)

      410       410,552  

6.00%, with various maturities to 2035

      10,097       10,346,127  

6.334%, (COF + 2.00%), with maturity at 2032(25)

      202       210,396  

6.50%, with various maturities to 2038

      3,721       3,825,372  

7.00%, with various maturities to 2035

      6,334       6,601,720  

7.50%, with various maturities to 2027

      8       8,007  

7.725%, (1 yr. CMT + 2.23%), with maturity at 2025(25)

      5       5,576  

8.00%, with maturity at 2026

      0 (32)      185  

8.50%, with various maturities to 2037

      827       878,963  

9.00%, with various maturities to 2032

      67       69,792  

9.50%, with various maturities to 2031

      19       19,641  

11.50%, with maturity at 2031

      78       86,537  

Federal National Mortgage Association, 4.152%, (COF + 1.79%), with maturity at 2035(25)

      864       875,420  

Government National Mortgage Association:

     

2.00%, (1 yr. CMT + 1.50%), with maturity at 2024(25)

      42       40,887  

6.50%, with various maturities to 2032

      153       157,577  

7.00%, with various maturities to 2031

      287       296,311  

7.50%, with various maturities to 2028

      29       29,486  

8.00%, with maturity at 2023

      3       3,206  

9.00%, with maturity at 2025

        2       1,973  

Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $42,583,647)

 

  $ 39,330,756  
U.S. Government Guaranteed Small Business
Administration Loans(26)(27) — 0.6%

 

Security        Principal
Amount
(000’s omitted)
    Value  

1.66%, 8/15/42 to 4/15/43

    $ 6,800     $ 342,374  

1.91%, 9/15/42 to 2/15/43

      7,724       449,431  

1.93%, 3/15/41 to 5/15/42

      1,988       120,324  
 

 

  30   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Security        Principal
Amount
(000’s omitted)
    Value  

1.96%, 9/15/42

    $ 2,740     $ 157,034  

2.16%, 2/15/42 to 4/15/43

      8,760       588,937  

2.24%, 10/4/23 to 8/25/42(28)

      7,768       620,755  

2.28%, 3/15/43

      2,621       207,816  

2.33%, 12/28/26 to 8/17/42(28)

      18,886       1,162,625  

2.36%, 9/15/42

      1,853       136,492  

2.38%, 2/15/41

      619       40,913  

2.39%, 7/15/39

      935       60,172  

2.41%, 7/15/42 to 4/15/43

      17,734       1,361,729  

2.46%, 1/15/43

      1,421       129,736  

2.66%, 4/15/43

      4,347       377,892  

2.71%, 8/15/27 to 9/15/42

      4,199       353,542  

2.91%, 10/15/42 to 4/15/43

      8,823       859,128  

2.93%, 4/15/42

      902       92,264  

2.96%, 7/15/27 to 12/15/42

      4,875       378,415  

3.16%, 9/15/42 to 4/15/43

      4,058       465,601  

3.21%, 6/15/27 to 3/15/43

      4,405       397,983  

3.41%, 3/15/43 to 4/15/43

      5,771       615,883  

3.46%, 3/15/27 to 9/15/42

      4,095       410,713  

3.66%, 1/15/43 to 6/15/43

      6,096       780,335  

3.71%, 3/15/28 to 10/15/42

      7,773       709,300  

3.78%, 5/15/27 to 6/15/42

        2,930       310,559  

Total U.S. Government Guaranteed Small Business
Administration Loans
(identified cost $18,850,568)

 

  $ 11,129,953  
U.S. Treasury Obligations — 2.3%

 

Security        Principal
Amount
(000’s omitted)
    Value  

U.S. Treasury Bond, 1.75%, 8/15/41(29)

    $ 55,958     $ 36,547,569  

U.S. Treasury Inflation-Protected Bond, 0.125%, 2/15/52(30)

        8,937       5,741,725  

Total U.S. Treasury Obligations
(identified cost $50,949,146)

 

  $ 42,289,294  
Warrants — 0.0%(7)

 

Security        Shares     Value  

IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(6)

        201,760     $ 39,848  

Total Warrants
(identified cost $0)

 

  $ 39,848  
Miscellaneous — 0.0%

 

Security        Shares     Value  
Financial Intermediaries — 0.0%  

Alpha Holding S.A., Escrow
Certificates(6)(8)

      3,698,000     $ 0  

Alpha Holding S.A., Escrow
Certificates(6)(8)

        7,780,000       0  

Total Miscellaneous
(identified cost $0)

 

  $ 0  
Short-Term Investments — 37.0%

 

Affiliated Fund — 11.1%

 

Security        Shares     Value  

Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(31)

        205,847,417     $ 205,847,417  

Total Affiliated Fund
(identified cost $205,847,417)

 

  $ 205,847,417  
Repurchase Agreements — 1.2%

 

Description        Principal
Amount
(000’s omitted)
    Value  

Barclays Bank PLC:

     

Dated 10/6/22 with an interest rate of 0.00%, collateralized by EUR 4,000,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $3,659,349(34)

  EUR     3,875     $ 3,829,468  

Dated 10/6/22 with an interest rate of 0.35%, collateralized by EUR 4,000,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $3,313,660(34)

  EUR     3,550       3,508,286  

Dated 10/12/22 with an interest rate of 0.15% payable by the Portfolio, collateralized by EUR 2,000,000 Republic of Poland, 2.75%, due 5/25/32 and a market value, including accrued interest, of $1,723,924(34)

  EUR     1,808       1,786,261  

Dated 10/13/22 with an interest rate of 0.00%, collateralized by EUR 1,200,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $994,098(34)

  EUR     1,052       1,039,145  

Dated 10/14/22 with an interest rate of 0.10% payable by the Portfolio, collateralized by EUR 2,000,000 Republic of Poland, 1.50%, due 1/19/26 and a market value, including accrued interest, of $1,894,219(34)

  EUR     2,015       1,991,323  

Dated 10/17/22 with an interest rate of 0.05% payable by the Portfolio, collateralized by EUR 4,000,000 Republic of Poland, 1.375%, due 10/22/27 and a market value, including accrued interest, of $3,525,878(34)

  EUR     3,785       3,740,525  
 

 

  31   See Notes to Consolidated Financial Statements.


Global Macro Portfolio

October 31, 2022

 

Consolidated Portfolio of Investments — continued

 

 

Description        Principal
Amount
(000’s omitted)
    Value  

Barclays Bank PLC: (continued)

     

Dated 10/26/22 with an interest rate of 2.75%, collateralized by USD 6,000,000 Ghana Government International Bond, 6.375%, due 2/11/27 and a market value, including accrued interest, of $1,935,070(34)

  USD     2,018     $ 2,017,500  

Nomura International PLC:

     

Dated 10/24/22 with an interest rate of 2.15%, collateralized by EUR 1,974,000 Republic of Poland, 1.50%, due 9/9/25 and a market value, including accrued interest, of $1,859,187(34)

  USD     1,933       1,932,961  

Dated 10/24/22 with an interest rate of 2.15%, collateralized by EUR 790,000 Republic of Poland, 1.125%, due 8/7/26 and a market value, including accrued interest, of $722,746(34)

  USD     747       746,961  

Dated 10/25/22 with an interest rate of 2.15%, collateralized by EUR 1,956,000 Republic of Poland, 1.00%, due 3/7/29 and a market value, including accrued interest, of $1,620,280(34)

  USD     1,665       1,664,554  

Total Repurchase Agreements
(identified cost $22,102,254)

 

  $ 22,256,984  
Sovereign Government Securities — 5.6%

 

Security        Principal
Amount
(000’s omitted)
    Value  
Israel — 4.6%  

Bank of Israel Treasury Bill:

     

0.00%, 12/7/22

  ILS     106,768     $ 30,173,317  

0.00%, 12/7/22

  ILS     182,431       51,556,139  

0.00%, 1/4/23

  ILS     5,337       1,504,306  

0.00%, 1/4/23

  ILS     5,337       1,504,305  

0.00%, 1/4/23

  ILS     3,755       1,058,373  
      $ 85,796,440  
Uganda — 0.8%  

Uganda Treasury Bill:

     

0.00%, 3/30/23

  UGX     29,078,200     $ 7,299,499  

0.00%, 4/13/23

  UGX     12,394,200       3,093,697  

0.00%, 5/25/23

  UGX     12,732,200       3,124,536  
      $ 13,517,732  
Security        Principal
Amount
(000’s omitted)
    Value  
Ukraine — 0.2%  

Ukraine Treasury Bill, 0.00%, 3/1/23(8)

  UAH     173,920     $ 4,103,850