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: 811-08342

Global Macro Portfolio

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Deidre E. Walsh

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number)

October 31

Date of Fiscal Year End

October 31, 2021

Date of Reporting Period

Item 1. Reports to Stockholders

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments

Asset-Backed Securities — 0.8%
Security	Principal Amount		Value
CFG Investments, Ltd., Series 2021-1, Class B, 5.82%, 5/20/32(1)	$	3,600,000	$	3,669,427
Pnmac Gmsr Issuer Trust:
Series 2018-GT1, Class A, 2.939%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(2)		9,000,000		9,028,188
Series 2018-GT2, Class A, 2.739%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(2)		8,064,000		8,070,401
Total Asset-Backed Securities (identified cost $20,662,918)			$	20,768,016
Collateralized Mortgage Obligations — 0.4%
Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
Series 4, Class D, 8.00%, 12/25/22	$	4,169	$	4,282
Series 1548, Class Z, 7.00%, 7/15/23		10,739		11,117
Series 1650, Class K, 6.50%, 1/15/24		82,422		85,606
Series 1817, Class Z, 6.50%, 2/15/26		15,288		16,229
Series 1927, Class ZA, 6.50%, 1/15/27		69,765		74,575
Series 2344, Class ZD, 6.50%, 8/15/31		242,594		268,990
Series 2458, Class ZB, 7.00%, 6/15/32		473,493		534,232
Interest Only:(3)
Series 4791, Class JI, 4.00%, 5/15/48		6,442,832		773,865
			$	1,768,896
Federal National Mortgage Association:
Series G92-60, Class Z, 7.00%, 10/25/22	$	13,462	$	13,666
Series G93-1, Class K, 6.675%, 1/25/23		20,279		20,689
Series G94-7, Class PJ, 7.50%, 5/17/24		67,675		70,554
Series 1992-180, Class F, 1.239%, (1 mo. USD LIBOR + 1.15%), 10/25/22(2)		26,170		26,257
Series 1993-16, Class Z, 7.50%, 2/25/23		28,427		29,340
Series 1993-79, Class PL, 7.00%, 6/25/23		19,188		19,838
Series 1993-104, Class ZB, 6.50%, 7/25/23		9,249		9,622
Series 1993-121, Class Z, 7.00%, 7/25/23		149,604		156,564
Series 1993-141, Class Z, 7.00%, 8/25/23		32,303		33,454
Series 1994-42, Class ZQ, 7.00%, 4/25/24		275,782		292,341
Series 1994-79, Class Z, 7.00%, 4/25/24		45,063		47,772
Series 1994-89, Class ZQ, 8.00%, 7/25/24		55,312		59,331
Series 1996-35, Class Z, 7.00%, 7/25/26		20,168		21,588
Series 1998-16, Class H, 7.00%, 4/18/28		99,957		112,000
Series 1998-44, Class ZA, 6.50%, 7/20/28		162,641		180,712
Series 1999-25, Class Z, 6.00%, 6/25/29		174,366		189,107
Series 2000-2, Class ZE, 7.50%, 2/25/30		40,570		44,921
Series 2000-49, Class A, 8.00%, 3/18/27		109,543		121,035
Series 2001-31, Class ZA, 6.00%, 7/25/31		1,343,669		1,458,387

Security	Principal Amount		Value
Federal National Mortgage Association: (continued)
Series 2001-74, Class QE, 6.00%, 12/25/31	$	361,030	$	405,216
Series 2009-48, Class WA, 5.845%, 7/25/39(4)		1,893,859		2,092,111
Series 2011-38, Class SA, 13.232%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(5)		1,287,106		2,544,318
Interest Only:(3)
Series 424, Class C8, 3.50%, 2/25/48		7,902,313		1,005,120
Series 2018-21, Class IO, 3.00%, 4/25/48		6,732,196		757,564
Series 2018-58, Class BI, 4.00%, 8/25/48		1,090,342		140,127
			$	9,851,634
Government National Mortgage Association, Series 2001-35, Class K, 6.45%, 10/26/23	$	14,816	$	15,470
			$	15,470
Total Collateralized Mortgage Obligations (identified cost $23,578,440)			$	11,636,000
U.S. Government Agency Mortgage-Backed Securities — 2.3%
Security	Principal Amount		Value
Federal Home Loan Mortgage Corp.:
2.373%, (1 yr. CMT + 2.31%), with maturity at 2036(6)	$	669,689	$	702,733
2.779%, (COF + 1.25%), with maturity at 2035(6)		718,708		738,812
2.844%, (COF + 2.39%), with maturity at 2023(6)		5,272		5,310
4.014%, (COF + 1.25%), with maturity at 2029(6)		7,692		8,163
4.382%, (COF + 1.25%), with maturity at 2030(6)		166,435		177,632
4.50%, with maturity at 2035		146,699		159,305
6.00%, with various maturities to 2035		3,889,435		4,436,935
6.50%, with various maturities to 2032		4,401,357		5,074,473
6.60%, with maturity at 2030		435,971		494,398
7.00%, with various maturities to 2036		5,757,236		6,598,711
7.31%, with maturity at 2026		9,359		10,035
7.50%, with various maturities to 2035		2,272,735		2,539,461
7.95%, with maturity at 2022		4,902		5,001
8.00%, with various maturities to 2030		515,261		556,079
8.50%, with maturity at 2025		10,716		11,881
9.00%, with various maturities to 2027		30,771		33,227
9.50%, with maturity at 2027		21,332		23,873
			$	21,576,029
Federal National Mortgage Association:
1.489%, (COF + 1.25%), with maturity at 2027(6)	$	32,740	$	33,058

21 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security	Principal Amount		Value
Federal National Mortgage Association: (continued)
1.532%, (COF + 1.25%), with various maturities to 2033(6)	$	941,146	$	951,888
1.663%, (COF + 1.40%), with maturity at 2025(6)		189,427		190,803
1.863%, (COF + 1.60%), with maturity at 2024(6)		70,945		71,491
2.275%, (1 yr. CMT + 2.15%), with maturity at 2028(6)		75,944		77,996
3.248%, (COF + 1.25%), with maturity at 2034(6)		287,194		301,285
3.344%, (COF + 1.25%), with maturity at 2035(6)		766,673		790,971
3.971%, (COF + 1.77%), with maturity at 2035(6)		1,279,796		1,364,007
6.00%, with various maturities to 2035		12,861,312		14,775,080
6.329%, (COF + 2.00%, Floor 6.329%), with maturity at 2032(6)		296,181		330,525
6.50%, with various maturities to 2038		5,128,616		5,826,885
7.00%, with various maturities to 2035		8,616,604		9,981,510
7.50%, with various maturities to 2027		24,836		26,099
7.725%, (1 yr. CMT + 2.22%), with maturity at 2025(6)		9,866		10,477
8.00%, with maturity at 2026		1,717		1,767
8.50%, with various maturities to 2037		1,040,098		1,206,665
9.00%, with various maturities to 2032		103,060		114,324
9.285%, with maturity at 2028		41		41
9.50%, with various maturities to 2031		31,760		34,585
9.535%, with maturity at 2027		856		924
10.50%, with maturity at 2029		21,816		25,507
11.50%, with maturity at 2031		91,591		109,571
			$	36,225,459
Government National Mortgage Association:
2.125%, (1 yr. CMT + 1.50%), with maturity at 2024(6)	$	70,994	$	72,059
6.50%, with various maturities to 2032		202,733		228,232
7.00%, with various maturities to 2031		393,357		439,409
7.50%, with various maturities to 2028		50,925		55,452
8.00%, with various maturities to 2023		16,693		17,315
9.00%, with maturity at 2025		4,958		5,270
			$	817,737
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $55,040,372)			$	58,619,225

U.S. Government Guaranteed Small Business Administration Loans(7)(8) — 0.8%
Security		Principal Amount (000’s omitted)		Value
1.11%, 9/15/42		$	1,618	$	61,823
1.41%, 9/15/42			1,085		53,722
1.66%, 8/15/42 to 4/15/43			7,023		398,449
1.91%, 8/15/42 to 2/15/43			12,026		792,647
1.93%, 3/15/41 to 5/15/42			2,055		136,691
1.96%, 9/15/42			2,834		182,042
2.11%, 8/15/42 to 9/15/42			5,902		433,364
2.16%, 2/15/42 to 4/15/43			14,379		1,079,722
2.21%, 9/15/42			2,563		191,459
2.28%, 3/15/43			2,710		242,982
2.36%, 9/15/42			1,910		158,246
2.38%, 2/15/41			642		47,501
2.39%, 7/15/39			974		71,342
2.41%, 7/15/42 to 4/15/43			21,200		1,842,476
2.46%, 3/15/28 to 4/15/43			5,497		435,473
2.53%, 6/15/36			819		61,471
2.61%, 9/15/42			2,833		268,569
2.66%, 4/15/43			7,551		733,450
2.71%, 7/15/27 to 9/15/42			9,047		798,050
2.74%, 10/4/23 to 8/25/42(9)			13,073		1,103,375
2.91%, 10/15/42 to 4/15/43			15,021		1,621,694
2.93%, 4/15/42			925		106,370
2.96%, 7/15/27 to 2/15/43			7,176		580,418
3.16%, 9/15/42 to 4/15/43			6,220		777,610
3.21%, 6/15/27 to 3/15/43			7,418		801,910
3.36%, 12/28/26 to 8/17/42(9)			29,410		2,326,495
3.41%, 3/15/43 to 4/15/43			7,545		926,689
3.46%, 3/15/27 to 9/15/42			4,475		500,910
3.66%, 1/15/43 to 6/15/43			7,749		1,101,501
3.69%, 3/15/43			1,310		209,311
3.71%, 3/15/28 to 10/15/42			9,304		943,857
3.78%, 5/15/27 to 9/15/42			3,934		494,923
Total U.S. Government Guaranteed Small Business Administration Loans (identified cost $21,713,138)				$	19,484,542
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	$	3,354,612
Total Bermuda				$	3,354,612

22 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
India — 0.1%
Indiabulls Housing Finance, Ltd., 4.50%, 9/28/26(10)	USD		2,970	$	2,829,965
Total India				$	2,829,965
Total Convertible Bonds (identified cost $6,309,300)				$	6,184,577
Foreign Corporate Bonds — 6.0%
Security		Principal Amount (000’s omitted)		Value
Argentina — 0.4%
IRSA Propiedades Comerciales S.A., 8.75%, 3/23/23(10)	USD		914	$	874,319
YPF S.A.:
4.00% to 1/1/23, 2/12/26(1)(11)	USD		9,379		8,089,057
4.00% to 1/1/23, 2/12/26(10)(11)	USD		43		37,478
6.95%, 7/21/27(10)	USD		992		721,258
8.50%, 7/28/25(10)	USD		528		428,081
Total Argentina				$	10,150,193
Armenia — 0.3%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(10)	USD		7,725	$	7,695,599
Total Armenia				$	7,695,599
Belarus — 0.1%
Eurotorg, LLC Via Bonitron DAC, 9.00%, 10/22/25(10)	USD		2,019	$	2,110,864
Total Belarus				$	2,110,864
Brazil — 1.0%
Amaggi Luxembourg International S.a.r.l., 5.25%, 1/28/28(10)	USD		2,110	$	2,121,236
Braskem America Finance Co., 7.125%, 7/22/41(10)	USD		1,279		1,552,405
Braskem Netherlands Finance BV, 5.875%, 1/31/50(10)	USD		3,939		4,197,694
Guara Norte S.a.r.l., 5.198%, 6/15/34(10)	USD		1,157		1,135,719
MC Brazil Downstream Trading S.a.r.l., 7.25%, 6/30/31(1)	USD		3,757		3,663,075
Odebrecht Offshore Drilling Finance, Ltd., 6.72%, 12/1/22(10)	USD		1,867		1,857,467
Oi Movel S.A., 8.75%, 7/30/26(10)	USD		5,901		6,139,990
Petrobras Global Finance BV, 6.90%, 3/19/49	USD		479		504,147

Security		Principal Amount (000’s omitted)		Value
Brazil (continued)
Vale S.A., 2.762%(12)(13)	BRL		42,422	$	3,997,100
Total Brazil				$	25,168,833
Bulgaria — 0.2%
Eurohold Bulgaria AD, 6.50%, 12/7/22(10)	EUR		4,582	$	5,173,547
Total Bulgaria				$	5,173,547
China — 0.1%
Times China Holdings, Ltd., 5.55%, 6/4/24(10)	USD		2,995	$	2,445,171
Total China				$	2,445,171
Georgia — 0.4%
Georgia Capital JSC, 6.125%, 3/9/24(10)	USD		6,762	$	6,975,003
Silknet JSC, 11.00%, 4/2/24(10)	USD		2,470		2,659,153
Total Georgia				$	9,634,156
Honduras — 0.1%
Inversiones Atlantida S.A., 7.50%, 5/19/26(10)	USD		2,945	$	3,055,181
Total Honduras				$	3,055,181
Iceland — 0.8%
Arion Banki HF, 6.00%, 4/12/24(10)	ISK		1,000,000	$	8,129,552
Islandsbanki HF, 6.40%, 10/26/23	ISK		860,000		6,997,048
Landsbankinn HF, 5.00%, 11/23/23(10)	ISK		560,000		4,455,659
WOW Air HF:
0.00%(12)(14)(15)	EUR		79		0
0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(14)(15)	EUR		3,600		0
Total Iceland				$	19,582,259
India — 0.6%
Indian Railway Finance Corp., Ltd., 2.80%, 2/10/31(10)	USD		15,006	$	14,508,697
JSW Steel, Ltd., 5.05%, 4/5/32(10)	USD		1,466		1,491,768
Reliance Communications, Ltd., 6.50%, 11/6/20(10)(15)	USD		1,800		166,500
Total India				$	16,166,965
Indonesia — 0.2%
Alam Sutera Realty Tbk PT:
6.00%, (6.00% cash or 6.25% PIK), 5/2/24(16)	USD		1,675	$	1,434,671
6.25%, (6.25% cash or 6.50% PIK), 11/2/25(10)(16)	USD		5,025		3,975,830
Total Indonesia				$	5,410,501

23 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Mexico — 0.3%
Alpha Capital DIP, 1.00%, 2/5/22	USD		177	$	168,284
Alpha Holding S.A. de CV:
9.00%, 2/10/25(10)(15)	USD		3,890		552,847
10.00%, 12/19/22(10)(15)	USD		1,849		262,780
Braskem Idesa SAPI, 6.99%, 2/20/32(10)	USD		3,000		3,075,000
Grupo Kaltex S.A. de CV, 8.875%, 4/11/22(10)	USD		781		733,453
Petroleos Mexicanos, 6.75%, 9/21/47	USD		3,700		3,280,272
Total Mexico				$	8,072,636
Moldova — 0.2%
Aragvi Finance International DAC, 8.45%, 4/29/26(10)	USD		5,849	$	6,048,550
Total Moldova				$	6,048,550
Nigeria — 0.1%
SEPLAT Petroleum Development Co. PLC, 7.75%, 4/1/26(10)	USD		3,306	$	3,410,139
Total Nigeria				$	3,410,139
Paraguay — 0.2%
Frigorifico Concepcion S.A., 7.70%, 7/21/28(1)	USD		4,435	$	4,527,048
Total Paraguay				$	4,527,048
Peru — 0.0%(17)
PetroTal Corp., 12.00%, 2/16/24(1)(10)	USD		900	$	954,000
Total Peru				$	954,000
Russia — 0.1%
Tinkoff Bank JSC Via TCS Finance, Ltd., 6.00% to 12/20/26(10)(12)(18)	USD		3,969	$	3,957,887
Total Russia				$	3,957,887
South Africa — 0.2%
Petra Diamonds US Treasury PLC, 10.50% PIK, 3/8/26(10)(16)	USD		4,601	$	4,756,589
Total South Africa				$	4,756,589
Turkey — 0.2%
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS, 9.50%, 7/10/36(10)	USD		4,390	$	4,398,486
Total Turkey				$	4,398,486

Security		Principal Amount (000’s omitted)		Value
United Arab Emirates — 0.1%
NBK Tier 1 Financing, Ltd., 3.625% to 8/24/26(10)(12)(18)	USD		1,765	$	1,758,196
Total United Arab Emirates				$	1,758,196
Uzbekistan — 0.4%
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV (FMO), 15.00%, 12/8/22(10)	UZS		101,000,000	$	9,463,383
Total Uzbekistan				$	9,463,383
Total Foreign Corporate Bonds (identified cost $161,093,659)				$	153,940,183
Loan Participation Notes — 2.0%
Security		Principal Amount (000’s omitted)		Value
Uzbekistan — 2.0%
Daryo Finance BV (borrower - Uzbek Industrial and Construction Bank ATB), 18.75%, 6/15/23(10)(14)(19)	UZS		293,470,000	$	27,778,118
Europe Asia Investment Finance BV (borrower - Joint Stock Commercial Bank “Asaka”), 18.70%, 7/26/23(10)(14)(19)	UZS		248,781,000		23,462,193
Total Uzbekistan				$	51,240,311
Total Loan Participation Notes (identified cost $53,728,199)				$	51,240,311
Senior Floating-Rate Loans — 0.0%(17)
Borrower/Description		Principal Amount (000’s omitted)		Value
Argentina — 0.0%(17)
Desa, LLC, Term Loan, 0.188%, 6/30/24(14)(29)		$	843	$	684,110
Total Argentina				$	684,110
Total Senior Floating-Rate Loans (identified cost $684,110)				$	684,110

24 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Sovereign Government Bonds — 43.5%
Security		Principal Amount (000’s omitted)		Value
Argentina — 0.5%
Republic of Argentina, 2.50% to 7/9/22, 7/9/41(11)	USD		38,901	$	13,465,733
Total Argentina				$	13,465,733
Bahrain — 0.6%
Kingdom of Bahrain:
5.45%, 9/16/32(10)	USD		10,100	$	9,906,585
6.00%, 9/19/44(10)	USD		4,528		4,205,312
7.50%, 9/20/47(10)	USD		440		456,653
Total Bahrain				$	14,568,550
Barbados — 1.1%
Government of Barbados, 6.50%, 10/1/29(10)	USD		28,151	$	28,361,830
Total Barbados				$	28,361,830
Belarus — 0.5%
Republic of Belarus:
5.875%, 2/24/26(10)	USD		7,310	$	6,753,928
6.875%, 2/28/23(10)	USD		6,700		6,784,822
Total Belarus				$	13,538,750
Benin — 0.5%
Benin Government International Bond, 6.875%, 1/19/52(10)	EUR		11,330	$	13,179,508
Total Benin				$	13,179,508
Costa Rica — 0.1%
Titulo Propiedad UD, 1.00%, 1/12/22(20)	CRC		1,721,610	$	2,681,999
Total Costa Rica				$	2,681,999
Croatia — 1.0%
Croatia Government International Bond, 1.75%, 3/4/41(10)	EUR		21,902	$	25,797,106
Total Croatia				$	25,797,106
Ecuador — 0.5%
Republic of Ecuador:
0.50% to 7/31/22, 7/31/40(10)(11)	USD		2,839	$	1,426,475
1.00% to 7/31/22, 7/31/35(10)(11)	USD		6,000		3,982,560
5.00% to 7/31/22, 7/31/30(10)(11)	USD		9,832		8,185,477
Total Ecuador				$	13,594,512

Security		Principal Amount (000’s omitted)		Value
Egypt — 5.6%
Arab Republic of Egypt:
5.875%, 2/16/31(10)	USD		2,150	$	1,947,367
6.375%, 4/11/31(10)	EUR		23,126		25,291,907
6.588%, 2/21/28(10)	USD		5,322		5,236,529
7.60%, 3/1/29(10)	USD		3,279		3,305,166
8.70%, 3/1/49(10)	USD		6,947		6,498,780
Egypt Government Bond:
14.06%, 1/12/26	EGP		391,915		24,854,392
14.483%, 4/6/26	EGP		779,460		50,159,904
14.556%, 10/13/27	EGP		292,422		18,859,406
14.563%, 7/6/26	EGP		98,940		6,322,800
Total Egypt				$	142,476,251
Georgia — 0.1%
Georgia Treasury Bond, 8.25%, 11/6/22	GEL		6,695	$	2,109,051
Total Georgia				$	2,109,051
Iceland — 1.9%
Republic of Iceland:
5.00%, 11/15/28	ISK		923,062	$	7,575,040
6.50%, 1/24/31	ISK		4,610,985		42,154,686
Total Iceland				$	49,729,726
India — 0.2%
Export-Import Bank of India:
2.25%, 1/13/31(10)	USD		2,400	$	2,245,132
3.25%, 1/15/30(10)	USD		2,980		3,031,600
Total India				$	5,276,732
Indonesia — 2.8%
Indonesia Government Bond:
6.50%, 2/15/31	IDR		405,624,000	$	29,346,363
7.00%, 9/15/30	IDR		212,074,000		15,777,378
7.50%, 6/15/35	IDR		348,780,000		26,083,107
7.50%, 4/15/40	IDR		5,755,000		427,334
Total Indonesia				$	71,634,182
Ivory Coast — 1.0%
Ivory Coast Government International Bond:
4.875%, 1/30/32(10)	EUR		3,666	$	4,156,079
5.25%, 3/22/30(10)	EUR		10,453		12,460,351
6.625%, 3/22/48(10)	EUR		5,615		6,490,647
6.875%, 10/17/40(10)	EUR		1,048		1,274,945
Total Ivory Coast				$	24,382,022

25 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Lebanon — 0.4%
Lebanese Republic:
6.25%, 11/4/24(10)(15)	USD		7,663	$	1,193,321
6.25%, 6/12/25(10)(15)	USD		2,947		454,634
6.40%, 5/26/23(15)	USD		7,625		1,183,286
6.65%, 4/22/24(10)(15)	USD		9,307		1,449,332
6.65%, 11/3/28(10)(15)	USD		3,522		540,416
6.65%, 2/26/30(10)(15)	USD		453		69,508
6.75%, 11/29/27(10)(15)	USD		194		29,767
6.85%, 5/25/29(15)	USD		8,628		1,303,950
7.00%, 12/3/24(15)	USD		3,446		536,542
7.00%, 3/20/28(10)(15)	USD		5,989		928,295
7.05%, 11/2/35(10)(15)	USD		1,463		224,936
7.15%, 11/20/31(10)(15)	USD		4,621		711,357
8.20%, 5/17/33(15)	USD		1,595		245,598
8.25%, 4/12/21(10)(15)	USD		1,000		153,750
8.25%, 5/17/34(15)	USD		1,326		205,530
Total Lebanon				$	9,230,222
Malaysia — 1.8%
Malaysia Government Bond:
3.726%, 3/31/26	MYR		80,580	$	19,949,005
3.955%, 9/15/25	MYR		99,820		24,948,221
Total Malaysia				$	44,897,226
New Zealand — 1.1%
New Zealand Government Bond:
2.75%, 5/15/51	NZD		21,580	$	14,710,898
3.00%, 9/20/30(10)(20)	NZD		15,873		13,945,988
Total New Zealand				$	28,656,886
Pakistan — 0.1%
Islamic Republic of Pakistan, 8.875%, 4/8/51(10)	USD		2,482	$	2,503,226
Total Pakistan				$	2,503,226
Philippines — 1.4%
Republic of the Philippines, 6.25%, 1/14/36	PHP		1,524,000	$	35,302,178
Total Philippines				$	35,302,178
Romania — 1.2%
Romania Government International Bond:
2.625%, 12/2/40(10)	EUR		894	$	947,821
2.75%, 4/14/41(10)	EUR		1,699		1,811,157
3.375%, 1/28/50(10)	EUR		6,177		6,966,559

Security		Principal Amount (000’s omitted)		Value
Romania (continued)
Romania Government International Bond: (continued)
4.625%, 4/3/49(10)	EUR		16,230	$	21,747,924
Total Romania				$	31,473,461
Serbia — 2.8%
Serbia Treasury Bond:
4.50%, 8/20/32	RSD		1,239,040	$	12,672,583
5.875%, 2/8/28	RSD		5,372,600		59,912,846
Total Serbia				$	72,585,429
South Africa — 2.8%
Republic of South Africa, 10.50%, 12/21/26	ZAR		995,881	$	71,488,273
Total South Africa				$	71,488,273
South Korea — 1.1%
Korea Treasury Bond, 1.50%, 12/10/30	KRW		35,000,000	$	27,135,818
Total South Korea				$	27,135,818
Suriname — 1.1%
Republic of Suriname:
9.25%, 10/26/26(10)(15)	USD		39,361	$	28,536,725
12.875%, 12/30/23(10)(15)	USD		885		601,358
Total Suriname				$	29,138,083
Thailand — 3.0%
Thailand Government Bond:
1.25%, 3/12/28(10)(20)	THB		2,468,815	$	73,501,620
2.875%, 6/17/46	THB		112,400		3,464,810
Total Thailand				$	76,966,430
Ukraine — 8.0%
Ukraine Government International Bond:
1.258%, GDP-Linked, 5/31/40(10)(21)	USD		11,542	$	12,191,584
10.00%, 8/23/23	UAH		39,841		1,461,694
11.67%, 11/22/23	UAH		693,998		26,061,318
15.84%, 2/26/25	UAH		4,020,752		165,765,544
Total Ukraine				$	205,480,140
United Arab Emirates — 0.7%
Finance Department Government of Sharjah, 4.00%, 7/28/50(10)	USD		19,846	$	17,961,305
Total United Arab Emirates				$	17,961,305

26 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)		Value
Uruguay — 1.0%
Uruguay Government International Bond:
8.25%, 5/21/31	UYU		1,003,176	$	22,608,062
9.875%, 6/20/22(10)	UYU		134,017		3,085,651
Total Uruguay				$	25,693,713
Uzbekistan — 0.1%
Republic of Uzbekistan, 14.50%, 11/25/23(10)	UZS		16,470,000	$	1,579,534
Total Uzbekistan				$	1,579,534
Zambia — 0.5%
Zambia Government Bond:
11.00%, 1/25/26	ZMW		240,690	$	10,172,186
11.00%, 9/20/26	ZMW		14,610		587,110
12.00%, 3/22/28	ZMW		26,190		989,389
12.00%, 5/31/28	ZMW		8,430		314,287
13.00%, 6/28/31	ZMW		20,170		685,761
15.00%, 2/16/27	ZMW		15,100		691,118
Total Zambia				$	13,439,851
Total Sovereign Government Bonds (identified cost $1,113,909,721)				$	1,114,327,727
Sovereign Loans — 4.5%
Borrower		Principal Amount (000’s omitted)		Value
Ivory Coast — 0.1%
Republic of Ivory Coast, Term Loan, 5.75%, (6 mo. EURIBOR + 5.75%), 1/6/28(2)	EUR		2,665	$	3,110,154
Total Ivory Coast				$	3,110,154
Kenya — 0.6%
Government of Kenya:
Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2)	USD		13,932	$	14,107,724
Term Loan, 6.87%, (6 mo. USD LIBOR + 6.70%), 10/24/24(2)	USD		1,742		1,756,918
Total Kenya				$	15,864,642
Macedonia — 0.2%
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), 12/16/22(2)(22)	EUR		3,300	$	3,821,491
Total Macedonia				$	3,821,491

Borrower		Principal Amount (000’s omitted)		Value
Nigeria — 0.7%
Bank of Industry Limited, Term Loan, 6.116%, (3 mo. USD LIBOR + 6.00%), 12/16/23(2)(22)	USD		17,180	$	17,130,092
Total Nigeria				$	17,130,092
Tanzania — 2.9%
Government of the United Republic of Tanzania:
Term Loan, 5.364%, (6 mo. USD LIBOR + 5.20%), 6/23/22(2)	USD		16,897	$	17,076,709
Term Loan, 6.446%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2)	USD		58,755		58,100,880
Total Tanzania				$	75,177,589
Total Sovereign Loans (identified cost $115,179,349)				$	115,103,968
Common Stocks — 2.7%
Security		Shares		Value
Brazil — 0.4%
Pagseguro Digital, Ltd., Class A(23)			43,700	$	1,581,940
Petroleo Brasileiro S.A. ADR			386,200		3,792,484
StoneCo, Ltd., Class A(23)			60,400		2,045,144
XP, Inc., Class A(23)			53,300		1,748,773
Total Brazil				$	9,168,341
Bulgaria — 0.3%
Eurohold Bulgaria AD(23)			5,313,401	$	6,720,490
Total Bulgaria				$	6,720,490
Cyprus — 0.2%
Bank of Cyprus Holdings PLC(23)			4,401,002	$	5,174,162
Total Cyprus				$	5,174,162
Egypt — 0.1%
Taaleem Management Services Co. SAE(23)			9,039,600	$	2,585,108
Total Egypt				$	2,585,108
Greece — 0.3%
Alpha Services and Holdings S.A.(23)			480,100	$	612,061
Eurobank Ergasias Services and Holdings S.A.(23)			809,400		850,127
Hellenic Telecommunications Organization S.A.			83,400		1,480,668
JUMBO S.A.			53,500		796,312
Motor Oil (Hellas) Corinth Refineries S.A.(23)			28,600		485,457

27 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security	Shares		Value
Greece (continued)
Mytilineos S.A.		37,500	$	685,295
National Bank of Greece S.A.(23)		168,500		532,078
OPAP S.A.		77,900		1,216,588
Piraeus Financial Holdings S.A.(23)		699,200		1,194,903
Public Power Corp. S.A.(23)		37,000		402,484
Titan Cement International S.A.(23)		3,203		55,695
Total Greece			$	8,311,668
Iceland — 0.5%
Arion Banki HF(1)		2,456,353	$	3,718,997
Eik Fasteignafelag HF(23)		7,781,922		749,614
Eimskipafelag Islands HF		557,209		1,911,584
Hagar HF		2,249,259		1,108,045
Islandsbanki HF(23)		1,632,006		1,590,421
Reginn HF(23)		3,082,490		740,784
Reitir Fasteignafelag HF		2,159,331		1,373,521
Siminn HF		11,783,288		1,117,048
Total Iceland			$	12,310,014
United Arab Emirates — 0.1%
Al Yah Satellite Communications Co-Pjsc-Yah Sat(23)		5,278,406	$	3,937,447
Total United Arab Emirates			$	3,937,447
United Kingdom — 0.0%(17)
Tesnik Cuatro, Ltd.(14)		409,000	$	273,212
Total United Kingdom			$	273,212
Vietnam — 0.8%
Bank for Foreign Trade of Vietnam JSC		206,310	$	887,100
Binh Minh Plastics JSC		32,720		86,383
Coteccons Construction JSC		111,300		351,744
FPT Corp.		484,201		2,206,598
Hoa Phat Group JSC		534,553		1,341,307
KIDO Group Corp.		20,450		51,977
Military Commercial Joint Stock Bank(23)		2,060,487		2,582,586
Mobile World Investment Corp.		541,249		3,344,770
Phu Nhuan Jewelry JSC		445,630		2,034,338
Refrigeration Electrical Engineering Corp.(23)		675,810		2,224,232
Viet Capital Securities JSC		333,800		940,507
Vietnam Dairy Products JSC		280,481		1,118,395
Vietnam Prosperity JSC Bank(23)		1,307,784		2,181,986
Vietnam Technological & Commercial Joint Stock Bank(23)		507,200		1,230,843

Security	Shares		Value
Vietnam (continued)
Vingroup JSC(23)		244,038	$	1,027,504
Total Vietnam			$	21,610,270
Total Common Stocks (identified cost $63,867,823)			$	70,090,712
Reinsurance Side Cars — 0.5%
Security	Principal Amount/ Shares		Value
Eden Re II, Ltd., Series 2021A, 0.00%, 3/21/25(1)(14)(24)	$	3,500,000	$	3,534,300
Mt. Logan Re Ltd., Series A-1(14)(23)(24)(25)		4,400		4,015,785
Sussex Capital, Ltd., Series 16, Preference Shares(14)(23)(24)(25)		5,500		5,227,006
Total Reinsurance Side Cars (identified cost $13,400,000)			$	12,777,091
Warrants — 0.0%(17)
Security	Shares		Value
IRSA Inversiones y Representaciones S.A., Exp. 3/5/26(23)		201,760	$	46,526
Total Warrants (identified cost $0)			$	46,526
Short-Term Investments — 30.3%
Affiliated Fund — 12.3%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 0.09%(26)		316,227,582	$	316,227,582
Total Affiliated Fund (identified cost $316,227,582)			$	316,227,582
Repurchase Agreements — 3.2%
Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC:
Dated 9/29/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $2,582,000 Country Garden Holdings Co., Ltd., 3.125%, due 10/22/25 and a market value, including accrued interest, of $2,409,758(27)	$	2,482	$	2,481,772

28 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Description	Principal Amount (000’s omitted)		Value
Barclays Bank PLC: (continued)
Dated 9/29/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $3,870,000 Country Garden Holdings Co., Ltd., 2.70%, due 7/12/26 and a market value, including accrued interest, of $3,542,925(27)	$	3,631	$	3,630,892
Dated 9/29/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $3,985,000 Country Garden Holdings Co., Ltd., 7.25%, due 4/8/26 and a market value, including accrued interest, of $4,161,555(27)		4,380		4,379,715
Dated 10/4/21 with an interest rate of 0.20% payable by the Portfolio, collateralized by $3,642,000 Chile Government International Bond, 3.86%, due 6/21/47 and a market value, including accrued interest, of $4,013,662(27)		3,961		3,960,675
Dated 10/7/21 with an interest rate of 0.50% payable by the Portfolio, collateralized by $813,000 Peruvian Government International Bond, 3.55%, due 3/10/51 and a market value, including accrued interest, of $826,495(27)		821		821,130
Dated 10/25/21 with an interest rate of 0.20% payable by the Portfolio, collateralized by $420,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $478,830(27)		470		469,508
Dated 10/25/21 with an interest rate of 0.20% payable by the Portfolio, collateralized by $1,110,000 Chile Government International Bond, 3.50%, due 1/25/50 and a market value, including accrued interest, of $1,142,294(27)		1,115		1,115,089
Dated 10/25/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $610,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $848,589(27)		857		857,144
JPMorgan Chase Bank, N.A.:
Dated 10/7/21 with an interest rate of 0.10% payable by the Portfolio, collateralized by $3,463,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $4,485,589(27)		4,647		4,647,442
Dated 10/25/21 with a maturity date of 11/1/21, an interest rate of 0.30% payable by the Portfolio and repurchase proceeds of $14,714,894, collateralized by GBP 4,840,211 United Kingdom Gilt Bond, 0.25%, due 3/22/52 and a market value, including accrued interest, of $14,365,505		14,716		14,715,630

Description	Principal Amount (000’s omitted)		Value
Nomura International PLC:
Dated 7/27/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $10,344,000 Qatar Government International Bond, 4.817%, due 3/14/49 and a market value, including accrued interest, of $13,398,478(27)	$	14,331	$	14,331,353
Dated 9/28/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $3,304,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $3,766,800(27)		4,073		4,073,237
Dated 9/28/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $3,239,000 Chile Government International Bond, 3.86%, due 6/21/47 and a market value, including accrued interest, of $3,569,536(27)		3,844		3,844,434
Dated 9/28/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $6,760,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $9,404,030(27)		10,199		10,199,217
Dated 9/29/21 with an interest rate of 0.25% payable by the Portfolio, collateralized by $3,906,000 Corp. Nacional del Cobre de Chile, 4.375%, due 2/5/49 and a market value, including accrued interest, of $4,453,123(27)		4,832		4,832,269
Dated 10/4/21 with an interest rate of 0.20% payable by the Portfolio, collateralized by $4,738,000 Peruvian Government International Bond, 5.625%, due 11/18/50 and a market value, including accrued interest, of $6,591,168(27)		7,036		7,035,930
Total Repurchase Agreements (identified cost $81,395,437)			$	81,395,437

29 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Sovereign Government Securities — 6.8%
Security		Principal Amount (000’s omitted)		Value
Egypt — 4.7%
Egypt Treasury Bill:
0.00%, 11/16/21	EGP		286,125	$	18,179,856
0.00%, 11/30/21	EGP		31,975		2,023,503
0.00%, 12/28/21	EGP		381,175		23,911,070
0.00%, 1/11/22	EGP		580,825		36,173,644
0.00%, 1/25/22	EGP		48,725		3,015,449
0.00%, 3/29/22	EGP		322,375		19,599,125
0.00%, 5/17/22	EGP		297,400		17,797,160
Total Egypt				$	120,699,807
Uganda — 1.7%
Uganda Treasury Bill:
0.00%, 2/24/22	UGX		32,801,000	$	9,009,467
0.00%, 3/10/22	UGX		26,067,200		7,128,930
0.00%, 3/24/22	UGX		5,022,600		1,367,296
0.00%, 4/7/22	UGX		7,437,500		2,020,256
0.00%, 4/21/22	UGX		1,487,500		402,895
0.00%, 5/5/22	UGX		8,330,000		2,248,121
0.00%, 5/19/22	UGX		2,305,600		617,985
0.00%, 6/3/22	UGX		22,454,400		6,012,862
0.00%, 6/16/22	UGX		28,620,100		7,635,904
0.00%, 6/23/22	UGX		6,727,400		1,790,768
0.00%, 7/7/22	UGX		24,047,800		6,375,679
Total Uganda				$	44,610,163
Uruguay — 0.4%
Uruguay Monetary Regulation Bill:
0.00%, 12/3/21	UYU		358,185	$	8,061,889
0.00%, 2/25/22	UYU		76,539		1,695,215
Total Uruguay				$	9,757,104
Total Sovereign Government Securities (identified cost $174,376,204)				$	175,067,074
U.S. Treasury Obligations — 8.0%
Security		Principal Amount (000’s omitted)		Value
U.S. Treasury Bill:
0.00%, 11/4/21(28)		$	28,840	$	28,839,927
0.00%, 12/9/21(28)			26,060		26,058,327

Security		Principal Amount (000’s omitted)			Value
U.S. Treasury Bill: (continued)
0.00%, 12/16/21(28)		$	150,000		$	149,986,406
Total U.S. Treasury Obligations (identified cost $204,891,206)					$	204,884,660
Total Short-Term Investments (identified cost $776,890,429)					$	777,574,753
Total Purchased Options and Swaptions — 0.0%(17) (identified cost $4,553,146)					$	488,819
Total Investments — 94.1% (identified cost $2,430,610,604)					$	2,412,966,560
Securities Sold Short — (3.0)%
Foreign Corporate Bonds — (0.7)%
Security		Principal Amount			Value
Chile — (0.3)%
Corp. Nacional del Cobre de Chile, 4.375%, 2/5/49(10)	USD		(7,630	)	$	(8,619,009	)
Total Chile					$	(8,619,009	)
China — (0.4)%
Country Garden Holdings Co., Ltd.:
2.70%, 7/12/26(10)	USD		(3,870	)	$	(3,511,288	)
3.125%, 10/22/25(10)	USD		(2,582	)		(2,407,741	)
7.25%, 4/8/26(10)	USD		(3,985	)		(4,143,096	)
Total China					$	(10,062,125	)
Total Foreign Corporate Bonds (proceeds $18,859,800)					$	(18,681,134	)
Sovereign Government Bonds — (2.3)%
Security		Principal Amount (000’s omitted)			Value
Chile — (0.3)%
Chile Government International Bond:
3.50%, 1/25/50	USD		(1,110	)	$	(1,131,933	)
3.86%, 6/21/47	USD		(6,881	)		(7,487,285	)
Total Chile					$	(8,619,218	)

30 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Security		Principal Amount (000’s omitted)			Value
Peru — (0.7)%
Peruvian Government International Bond:
5.625%, 11/18/50	USD		(12,108	)	$	(16,535,411	)
3.55%, 3/10/51	USD		(813	)		(822,407	)
Total Peru					$	(17,357,818	)
Qatar — (0.7)%
Qatar Government International Bond, 4.817%, 3/14/49(10)	USD		(13,807	)	$	(17,797,237	)
Total Qatar					$	(17,797,237	)
United Kingdom — (0.6)%
United Kingdom Gilt Bond, 0.25%, 3/22/52(10)(20)	GBP		(4,840	)	$	(14,363,711	)
Total United Kingdom					$	(14,363,711	)
Total Sovereign Government Bonds (proceeds $56,588,641)					$	(58,137,984	)
Total Securities Sold Short (proceeds $75,448,441)					$	(76,819,118	)
Other Assets, Less Liabilities — 8.9%					$	227,716,443
Net Assets — 100.0%					$	2,563,863,885

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

⁽¹⁾  Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At October 31, 2021, the aggregate value of these securities is $45,254,493 or 1.8% of the Portfolio’s net assets.

⁽²⁾  Variable rate security. The stated interest rate represents the rate in effect at October 31, 2021.

⁽³⁾  Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

⁽⁴⁾  Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at October 31, 2021.

⁽⁵⁾  Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at October 31, 2021.

⁽⁶⁾  Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at October 31, 2021.

⁽⁷⁾  Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated.

⁽⁸⁾  Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro-rata basis with all securities in the trust.

⁽⁹⁾  The stated interest rate represents the weighted average fixed interest rate at October 31, 2021 of all interest only securities comprising the certificate.

⁽¹⁰⁾  Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At October 31, 2021, the aggregate value of these securities is $496,622,202 or 19.4% of the Portfolio’s net assets.

⁽¹¹⁾  Step coupon security. Interest rate represents the rate in effect at October 31, 2021.

⁽¹²⁾  Perpetual security with no stated maturity date but may be subject to calls by the issuer.

⁽¹³⁾  Variable rate security whose coupon rate is linked to the issuer’s mining activities revenue. The coupon rate shown represents the rate in effect at October 31, 2021.

⁽¹⁴⁾  For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9).

⁽¹⁵⁾  Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

⁽¹⁶⁾  Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

⁽¹⁷⁾  Amount is less than 0.05%.

⁽¹⁸⁾  Security converts to variable rate after the indicated fixed-rate coupon period.

⁽¹⁹⁾  Limited recourse note whose payments by the issuer are limited to amounts received by the issuer from the borrower pursuant to a loan agreement with the borrower.

⁽²⁰⁾  Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

⁽²¹⁾  Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

⁽²²⁾  Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

⁽²³⁾  Non-income producing security.

⁽²⁴⁾  Security is subject to risk of loss depending on the occurrence, frequency and severity of the loss events that are covered by underlying reinsurance contracts and that may occur during a specified risk period.

⁽²⁵⁾  Restricted security (see Note 5).

⁽²⁶⁾  Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of October 31, 2021.

⁽²⁷⁾  Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

⁽²⁸⁾  Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

⁽²⁹⁾  Fixed-rate loan.

31 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Purchased Interest Rate Swaptions — 0.0%(17)
Description	Counterparty		Notional Amount			Expiration Date		Value
Option to enter into interest rate swap expiring 12/15/26 to pay 3-month ZAR-JIBAR and receive 5.73%		JPMorgan Chase Bank, N.A.		ZAR	161,720,000		12/15/21	$	68
Option to enter into interest rate swap expiring 1/7/27 to pay 3-month ZAR-JIBAR and receive 5.70%		Bank of America, N.A.		ZAR	198,570,000		1/7/22		432
Option to enter into interest rate swap expiring 1/10/27 to pay 3-month ZAR-JIBAR and receive 5.70%		Bank of America, N.A.		ZAR	99,280,000		1/10/22		255
Option to enter into interest rate swap expiring 1/12/27 to pay 3-month ZAR-JIBAR and receive 5.70%		JPMorgan Chase Bank, N.A.		ZAR	390,910,000		1/12/22		1,113
Option to enter into interest rate swap expiring 1/17/27 to pay 3-month ZAR-JIBAR and receive 5.73%		JPMorgan Chase Bank, N.A.		ZAR	109,162,000		1/17/22		462
Option to enter into interest rate swap expiring 1/27/27 to pay 3-month ZAR-JIBAR and receive 5.74%		Bank of America, N.A.		ZAR	176,282,000		1/27/22		1,154
Option to enter into interest rate swap expiring 2/10/27 to pay 3-month ZAR-JIBAR and receive 5.88%		Goldman Sachs International		ZAR	487,830,000		2/10/22		8,231
Option to enter into interest rate swap expiring 2/16/27 to pay 3-month ZAR-JIBAR and receive 6.18%		Bank of America, N.A.		ZAR	129,130,000		2/16/22		7,554
Option to enter into interest rate swap expiring 2/21/27 to pay 3-month ZAR-JIBAR and receive 6.47%		Bank of America, N.A.		ZAR	129,130,000		2/21/22		20,371
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.47%		Goldman Sachs International		ZAR	99,000,000		2/23/22		15,661
Option to enter into interest rate swap expiring 2/23/27 to pay 3-month ZAR-JIBAR and receive 6.54%		Bank of America, N.A.		ZAR	129,130,000		2/23/22		25,202
Total								$	80,503

Purchased Call Options — 0.0%(17)

Description

Counterparty

Notional Amount

Spread

Expiration Date

Value

2-year 10 Constant Maturity Swap Curve Cap

Bank of America, N.A.

USD

623,900,000

1.06

%

12/19/22

$

282,434

2-year 10 Constant Maturity Swap Curve Cap

Bank of America, N.A.

USD

304,600,000

1.09

1/4/23

125,882

Total

$

408,316

Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
IDR	237,210,400,000	USD	16,586,748		11/2/21	$	156,531
IDR	34,457,300,000	USD	2,406,976		11/2/21		25,161
IDR	276,464,060,024	USD	19,489,888		11/2/21		24,074
IDR	20,332,300,000	USD	1,420,667		11/2/21		14,470
IDR	292,000,000,000	USD	20,605,462		11/2/21		5,090
IDR	276,464,060,024	USD	19,509,143		11/2/21		4,820
USD	1,434,782	IDR	20,332,300,000		11/2/21		(354	)

32 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	2,431,536	IDR	34,457,300,000		11/2/21	$	(601	)
USD	16,739,143	IDR	237,210,400,000		11/2/21		(4,135	)
USD	19,509,143	IDR	276,464,060,024		11/2/21		(4,820	)
USD	20,585,125	IDR	292,000,000,000		11/2/21		(25,427	)
USD	19,331,529	IDR	276,464,060,024		11/2/21		(182,433	)
BRL	1,600,000	USD	283,537		11/3/21		(40	)
BRL	1,600,000	USD	283,537		11/3/21		(40	)
BRL	1,600,000	USD	283,537		11/3/21		(40	)
BRL	2,596,999	USD	460,216		11/3/21		(65	)
BRL	3,600,000	USD	637,959		11/3/21		(90	)
BRL	4,303,001	USD	762,538		11/3/21		(108	)
BRL	15,500,000	USD	2,746,766		11/3/21		(389	)
BRL	38,800,000	USD	6,875,775		11/3/21		(975	)
BRL	1,910,000	USD	342,349		11/3/21		(3,925	)
BRL	2,200,000	USD	402,123		11/3/21		(12,315	)
BRL	4,212,565	USD	770,416		11/3/21		(24,010	)
BRL	3,900,000	USD	715,043		11/3/21		(24,019	)
BRL	4,294,032	USD	788,844		11/3/21		(28,003	)
BRL	5,200,000	USD	953,525		11/3/21		(32,160	)
BRL	6,500,000	USD	1,195,213		11/3/21		(43,507	)
BRL	4,493,403	USD	846,261		11/3/21		(50,095	)
BRL	36,890,000	USD	6,617,040		11/3/21		(80,664	)
USD	7,095,947	BRL	38,800,000		11/3/21		221,146
USD	2,781,566	BRL	15,500,000		11/3/21		35,190
USD	645,995	BRL	3,600,000		11/3/21		8,127
USD	766,445	BRL	4,303,001		11/3/21		4,015
USD	287,359	BRL	1,600,000		11/3/21		3,862
USD	287,010	BRL	1,600,000		11/3/21		3,513
USD	286,269	BRL	1,600,000		11/3/21		2,772
USD	461,633	BRL	2,596,999		11/3/21		1,483
USD	6,537,303	BRL	36,890,000		11/3/21		927
USD	1,151,870	BRL	6,500,000		11/3/21		163
USD	921,496	BRL	5,200,000		11/3/21		131
USD	796,279	BRL	4,493,403		11/3/21		113
USD	760,948	BRL	4,294,032		11/3/21		108
USD	746,512	BRL	4,212,565		11/3/21		106
USD	691,122	BRL	3,900,000		11/3/21		98
USD	389,864	BRL	2,200,000		11/3/21		55
USD	338,472	BRL	1,910,000		11/3/21		48
NZD	16,329,003	USD	11,349,408		11/4/21		351,672
PHP	2,274,338	USD	45,153		11/4/21		(45	)
PHP	60,331,595	USD	1,204,849		11/4/21		(8,285	)
PHP	90,200,000	USD	1,801,262		11/4/21		(12,315	)
USD	15,073,629	NZD	21,687,240		11/4/21		(467,071	)

33 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	20,274,536	NZD	29,170,063		11/4/21	$	(628,226	)
USD	41,598,059	PHP	2,095,294,228		11/4/21		41,840
RUB	253,149,074	USD	3,412,370		11/8/21		153,626
RUB	228,243,254	USD	3,081,328		11/8/21		133,831
RUB	228,243,254	USD	3,082,196		11/8/21		132,963
RUB	439,610,000	USD	5,924,783		11/9/21		266,463
RUB	219,800,000	USD	2,964,242		11/9/21		131,311
RUB	164,851,217	USD	2,220,413		11/9/21		101,269
RUB	155,635,659	USD	2,096,352		11/9/21		95,542
USD	11,801,676	RUB	845,000,000		11/9/21		(98,879	)
AUD	65,822,527	USD	48,095,204		11/12/21		1,421,989
AUD	62,727,815	USD	45,992,661		11/12/21		1,196,432
AUD	49,225,560	USD	35,968,132		11/12/21		1,063,439
USD	36,680,136	AUD	50,200,000		11/12/21		(1,084,490	)
USD	81,802,092	AUD	111,953,375		11/12/21		(2,418,572	)
RUB	234,294,432	USD	3,110,583		11/16/21		184,110
RUB	204,505,568	USD	2,715,969		11/16/21		159,827
USD	4,319,953	RUB	312,400,000		11/16/21		(73,075	)
AUD	40,400,000	USD	29,360,296		11/22/21		1,033,059
USD	12,935,972	AUD	17,800,000		11/22/21		(455,160	)
USD	9,754,348	NZD	13,797,790		11/22/21		(130,517	)
USD	11,619,980	NZD	16,436,778		11/22/21		(155,479	)
GBP	7,567,574	USD	10,411,883		11/23/21		(55,127	)
GBP	18,674,529	USD	25,693,440		11/23/21		(136,036	)
USD	11,651,129	GBP	8,425,425		11/23/21		120,343
USD	5,710,827	GBP	4,142,270		11/23/21		41,841
USD	1,439,972	GBP	1,046,012		11/23/21		8,432
USD	841,339	GBP	612,735		11/23/21		2,769
USD	343,553	GBP	249,584		11/23/21		1,980
USD	1,246,686	GBP	910,061		11/23/21		1,204
USD	339,154	GBP	247,000		11/23/21		1,117
USD	490,497	GBP	359,913		11/23/21		(2,069	)
USD	6,016,150	PHP	306,041,535		11/26/21		(37,954	)
USD	7,571,293	PHP	385,151,693		11/26/21		(47,765	)
USD	15,136,636	PHP	770,303,386		11/26/21		(101,482	)
USD	15,118,810	PHP	770,303,386		11/26/21		(119,307	)
USD	3,040,772	ZAR	46,704,738		11/26/21		(7,984	)
USD	10,549,090	ZAR	162,028,752		11/26/21		(27,698	)
USD	90,409	ZAR	1,400,759		11/29/21		(994	)
USD	10,985,190	ZAR	170,199,039		11/29/21		(120,747	)
BRL	2,596,999	USD	459,039		12/2/21		(1,549	)
BRL	1,600,000	USD	284,619		12/2/21		(2,761	)
BRL	1,600,000	USD	285,358		12/2/21		(3,501	)
BRL	1,600,000	USD	285,717		12/2/21		(3,859	)

34 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
BRL	4,303,001	USD	762,128		12/2/21	$	(4,107	)
BRL	3,600,000	USD	642,330		12/2/21		(8,150	)
BRL	15,500,000	USD	2,765,783		12/2/21		(35,287	)
RUB	181,255,649	USD	2,455,673		12/8/21		81,145
RUB	161,044,557	USD	2,182,826		12/8/21		71,121
RUB	128,835,645	USD	1,742,263		12/8/21		60,894
USD	1,002,676	ZAR	14,529,282		12/8/21		55,702
USD	984,970	ZAR	14,275,067		12/8/21		54,564
USD	510,567	ZAR	7,401,887		12/8/21		28,134
USD	1,017,171	ZAR	15,550,000		12/8/21		3,669
ZAR	57,824,557	USD	3,989,854		12/8/21		(221,024	)
CLP	285,787,000	USD	369,970		12/9/21		(20,135	)
PEN	15,295,163	USD	3,728,254		12/9/21		99,568
COP	14,243,770,000	USD	3,713,570		12/10/21		58,992
PEN	14,221,885	USD	3,461,155		12/10/21		97,919
PEN	1,750,000	USD	424,942		12/10/21		13,001
ZAR	87,400,000	USD	6,105,612		12/13/21		(412,858	)
CLP	4,248,513,000	USD	5,389,783		12/15/21		(192,428	)
EUR	343,000	USD	396,932		12/15/21		(13	)
EUR	2,691,120	USD	3,114,258		12/15/21		(100	)
EUR	2,922,197	USD	3,381,669		12/15/21		(108	)
EUR	3,082,055	USD	3,566,662		12/15/21		(114	)
EUR	5,070,647	USD	5,867,930		12/15/21		(188	)
EUR	7,085,428	USD	8,199,506		12/15/21		(262	)
EUR	30,616,581	USD	35,430,579		12/15/21		(1,133	)
EUR	490,781	USD	580,954		12/15/21		(13,024	)
EUR	1,250,000	USD	1,479,669		12/15/21		(33,171	)
EUR	3,600,000	USD	4,261,446		12/15/21		(95,533	)
EUR	4,400,000	USD	5,208,434		12/15/21		(116,763	)
EUR	4,999,199	USD	5,917,727		12/15/21		(132,663	)
EUR	7,204,582	USD	8,528,315		12/15/21		(191,188	)
EUR	8,379,485	USD	9,919,089		12/15/21		(222,366	)
EUR	14,444,975	USD	17,099,021		12/15/21		(383,326	)
RUB	1,279,511,043	USD	17,329,329		12/15/21		551,758
RUB	398,617,839	USD	5,379,131		12/15/21		191,528
RUB	310,200,000	USD	4,181,376		12/15/21		153,650
RUB	372,924,156	USD	5,059,212		12/15/21		152,380
RUB	310,236,310	USD	4,186,730		12/15/21		148,803
RUB	331,000,000	USD	4,477,045		12/15/21		148,660
RUB	310,300,000	USD	4,193,776		12/15/21		142,647
RUB	266,564,801	USD	3,611,642		12/15/21		113,585
RUB	231,000,000	USD	3,127,297		12/15/21		100,913
USD	106,578,931	EUR	90,036,146		12/15/21		2,389,284
USD	95,280,072	EUR	80,491,053		12/15/21		2,135,987

35 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
USD	75,991,628	EUR	64,196,490		12/15/21	$	1,703,579
USD	44,449,247	EUR	37,550,000		12/15/21		996,462
USD	41,668,261	EUR	35,200,668		12/15/21		934,118
USD	41,339,034	EUR	34,922,542		12/15/21		926,738
USD	36,814,157	EUR	31,100,000		12/15/21		825,299
USD	31,311,330	EUR	26,451,301		12/15/21		701,937
USD	19,012,023	EUR	16,061,047		12/15/21		426,211
USD	12,071,701	EUR	10,197,976		12/15/21		270,623
USD	8,033,715	EUR	6,786,752		12/15/21		180,100
USD	7,214,892	EUR	6,095,023		12/15/21		161,743
USD	5,917,726	EUR	4,999,199		12/15/21		132,663
USD	5,317,265	EUR	4,491,939		12/15/21		119,202
USD	5,219,441	EUR	4,409,299		12/15/21		117,009
USD	4,739,277	EUR	4,003,664		12/15/21		106,245
USD	4,261,446	EUR	3,600,000		12/15/21		95,533
USD	3,314,458	EUR	2,800,000		12/15/21		74,303
USD	1,191,227	EUR	1,006,329		12/15/21		26,705
USD	261,342	EUR	220,778		12/15/21		5,859
USD	8,372,997	EUR	7,235,347		12/15/21		268
USD	26,077,155	RUB	1,853,100,000		12/15/21		180,197
USD	1,095,144	RUB	76,750,000		12/15/21		22,568
USD	1,097,704	ZAR	15,793,764		12/15/21		69,254
RUB	165,600,000	USD	2,238,091		12/16/21		75,666
RUB	153,874,100	USD	2,075,344		12/16/21		74,579
RUB	153,800,000	USD	2,083,004		12/16/21		65,884
RUB	267,100,000	USD	3,622,525		12/17/21		108,592
RUB	252,471,319	USD	3,424,380		12/17/21		102,389
COP	8,809,230,000	USD	2,284,759		12/20/21		46,983
USD	7,459,967	ZAR	113,836,864		12/22/21		53,956
RUB	398,130,000	USD	5,378,652		12/23/21		175,729
RUB	299,900,000	USD	4,031,272		12/23/21		152,686
RUB	300,000,000	USD	4,032,963		12/23/21		152,390
RUB	339,900,000	USD	4,599,817		12/23/21		142,188
USD	27,973,629	ZAR	419,498,131		12/23/21		685,427
ZAR	193,872,974	USD	12,928,140		12/23/21		(316,773	)
USD	17,779,651	ZAR	272,318,462		1/3/22		90,778
USD	2,026,678	ZAR	31,041,215		1/3/22		10,348
USD	19,885,049	ZAR	302,640,502		1/6/22		234,517
USD	8,886,420	ZAR	134,400,000		1/7/22		160,968
USD	6,611,920	ZAR	100,000,000		1/7/22		119,768
USD	8,825,428	ZAR	133,970,000		1/10/22		131,410
USD	6,560,746	ZAR	99,592,120		1/10/22		97,689
PEN	12,242,952	USD	2,950,820		1/12/22		108,440
PEN	8,200,000	USD	1,972,354		1/12/22		76,656

36 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
PEN	8,300,000	USD	2,000,530		1/12/22	$	73,468
COP	25,629,100,000	USD	6,753,831		1/14/22		18,417
COP	2,548,000,000	USD	671,652		1/14/22		1,633
RUB	276,036,586	USD	3,741,895		1/14/22		91,342
USD	2,452,623	COP	9,229,099,025		1/14/22		13,921
USD	2,498,846	COP	9,474,000,000		1/14/22		(4,569	)
USD	2,497,693	COP	9,474,000,975		1/14/22		(5,722	)
IDR	292,000,000,000	USD	20,436,730		1/18/22		(76,948	)
USD	19,349,388	IDR	276,464,060,024		1/18/22		72,854
AUD	17,650,000	USD	13,265,740		1/21/22		14,643
USD	15,401,633	NZD	21,500,000		1/21/22		16,075
KRW	17,246,000,000	USD	14,649,519		1/26/22		6,823
NZD	6,139,438	USD	4,382,760		1/27/22		10,069
USD	430,542	NZD	603,110		1/27/22		(989	)
USD	17,658,179	NZD	24,735,847		1/27/22		(40,568	)
						$	16,025,198

Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	4,648,009	UAH	124,892,000	Goldman Sachs International		11/1/21	$	—	$	(101,721	)
USD	5,154,525	UAH	138,682,500	Bank of America, N.A.		11/2/21		—		(119,667	)
EUR	5,552,531	PLN	25,500,000	Citibank, N.A.		11/4/21		27,543		—
EUR	1,084,294	PLN	4,900,000	Deutsche Bank AG		11/4/21		25,335		—
EUR	1,027,418	PLN	4,700,000	JPMorgan Chase Bank, N.A.		11/4/21		9,712		—
PLN	31,679,822	EUR	6,941,467	Bank of America, N.A.		11/4/21		—		(84,277	)
PLN	1,200,000	EUR	261,903	HSBC Bank USA, N.A.		11/4/21		—		(1,998	)
PLN	20,275,086	EUR	4,445,008	Standard Chartered Bank		11/4/21		—		(56,792	)
PLN	26,424,520	EUR	5,792,166	Standard Chartered Bank		11/4/21		—		(72,846	)
PLN	38,015,786	EUR	8,328,926	Standard Chartered Bank		11/4/21		—		(100,167	)
PLN	38,015,786	EUR	8,336,047	Standard Chartered Bank		11/4/21		—		(108,399	)
USD	9,291,125	UAH	250,210,000	Bank of America, N.A.		11/4/21		—		(218,340	)
EUR	879,627	USD	1,014,453	Bank of America, N.A.		11/5/21		2,454		—
EUR	4,688,275	USD	5,444,916	Bank of America, N.A.		11/5/21		—		(24,955	)
EUR	649,727	USD	753,491	Citibank, N.A.		11/5/21		—		(2,363	)
EUR	4,148,139	USD	4,785,954	Standard Chartered Bank		11/5/21		9,574		—
EUR	1,006,329	USD	1,161,061	Standard Chartered Bank		11/5/21		2,323		—
EUR	409,235	USD	472,159	Standard Chartered Bank		11/5/21		944		—
EUR	228,386	USD	264,160	Standard Chartered Bank		11/5/21		—		(131	)
EUR	1,538,561	USD	1,779,292	Standard Chartered Bank		11/5/21		—		(612	)
EUR	301,677	USD	351,009	Standard Chartered Bank		11/5/21		—		(2,251	)
EUR	529,168	USD	615,888	Standard Chartered Bank		11/5/21		—		(4,134	)

37 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	1,572,872	USD	1,823,906	Standard Chartered Bank		11/5/21	$	—	$	(5,561	)
EUR	1,741,548	USD	2,019,787	Standard Chartered Bank		11/5/21		—		(6,441	)
EUR	1,057,141	USD	1,232,192	Standard Chartered Bank		11/5/21		—		(10,066	)
EUR	3,962,395	USD	4,592,808	Standard Chartered Bank		11/5/21		—		(12,013	)
EUR	1,094,537	USD	1,279,054	Standard Chartered Bank		11/5/21		—		(13,696	)
EUR	1,808,586	USD	2,105,158	Standard Chartered Bank		11/5/21		—		(14,311	)
EUR	2,900,000	USD	3,368,380	Standard Chartered Bank		11/5/21		—		(15,786	)
EUR	3,300,000	USD	3,832,985	Standard Chartered Bank		11/5/21		—		(17,963	)
EGP	92,990,000	USD	5,673,581	Goldman Sachs International		11/8/21		236,579		—
THB	578,865,780	USD	17,460,698	Standard Chartered Bank		11/8/21		—		(16,732	)
USD	17,458,855	THB	578,865,780	Standard Chartered Bank		11/8/21		14,889		—
USD	5,200,431	UAH	138,682,500	BNP Paribas		11/8/21		—		(63,474	)
CNH	74,794,776	USD	11,601,266	HSBC Bank USA, N.A.		11/10/21		64,915		—
THB	289,394,221	USD	8,733,529	Standard Chartered Bank		11/10/21		—		(12,875	)
USD	11,494,936	CNH	74,794,776	Bank of America, N.A.		11/10/21		—		(171,245	)
USD	8,828,378	THB	289,394,221	Standard Chartered Bank		11/10/21		107,724		—
EUR	12,050,308	HUF	4,235,000,000	Bank of America, N.A.		11/12/21		332,116		—
EUR	1,413,809	HUF	500,000,000	Goldman Sachs International		11/12/21		28,926		—
EUR	2,045,527	USD	2,366,396	Bank of America, N.A.		11/12/21		—		(1,308	)
HUF	781,574,434	EUR	2,212,433	Citibank, N.A.		11/12/21		—		(48,035	)
HUF	1,351,103,816	EUR	3,823,049	Citibank, N.A.		11/12/21		—		(81,219	)
HUF	937,889,321	EUR	2,654,675	Goldman Sachs International		11/12/21		—		(57,359	)
HUF	1,250,519,094	EUR	3,538,487	Goldman Sachs International		11/12/21		—		(75,231	)
HUF	1,250,519	EUR	3,527	Standard Chartered Bank		11/12/21		—		(62	)
HUF	1,094,204,207	EUR	3,086,695	Standard Chartered Bank		11/12/21		—		(54,864	)
HUF	1,328,676,538	EUR	3,746,938	Standard Chartered Bank		11/12/21		—		(65,243	)
HUF	1,281,782,071	EUR	3,617,685	Standard Chartered Bank		11/12/21		—		(66,400	)
USD	5,022,898	UAH	133,810,000	BNP Paribas		11/12/21		—		(48,114	)
USD	7,212,930	UAH	191,900,000	Citibank, N.A.		11/12/21		—		(59,525	)
UZS	14,029,161,000	USD	1,266,513	ICBC Standard Bank plc		11/12/21		45,652		—
USD	8,192,350	UAH	222,750,000	BNP Paribas		11/16/21		—		(235,289	)
USD	5,599,671	ZAR	83,261,619	Bank of America, N.A.		11/16/21		157,745		—
USD	3,359,468	ZAR	49,956,972	Bank of America, N.A.		11/16/21		94,313		—
USD	3,652,008	ZAR	54,452,389	Bank of America, N.A.		11/16/21		93,035		—
USD	845,493	ZAR	12,571,659	Bank of America, N.A.		11/16/21		23,818		—
USD	507,246	ZAR	7,542,996	Bank of America, N.A.		11/16/21		14,240		—
USD	551,416	ZAR	8,221,758	Bank of America, N.A.		11/16/21		14,047		—
ZAR	34,000,000	USD	2,249,385	Bank of America, N.A.		11/16/21		—		(27,167	)
CZK	78,610,000	EUR	3,088,814	Standard Chartered Bank		11/18/21		—		(33,987	)
CZK	164,460,000	EUR	6,462,895	Standard Chartered Bank		11/18/21		—		(72,013	)
CZK	164,460,000	EUR	6,462,971	Standard Chartered Bank		11/18/21		—		(72,102	)
CZK	164,470,000	EUR	6,463,428	Standard Chartered Bank		11/18/21		—		(72,179	)
THB	346,749,893	USD	10,473,696	Standard Chartered Bank		11/18/21		—		(25,487	)
USD	77,431,135	THB	2,568,798,444	Standard Chartered Bank		11/18/21		28,535		—
USD	10,824,062	UAH	287,000,000	Citibank, N.A.		11/19/21		—		(21,011	)
USD	1,793,396	UAH	47,525,000	BNP Paribas		11/22/21		—		(246	)

38 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	7,802,709	UAH	207,396,000	BNP Paribas		11/22/21	$	—	$	(24,628	)
USD	8,128,302	ZAR	122,788,055	Standard Chartered Bank		11/23/21		110,016		—
USD	2,437,660	ZAR	36,836,416	Standard Chartered Bank		11/23/21		32,174		—
USD	2,342,981	ZAR	35,393,620	Standard Chartered Bank		11/23/21		31,712		—
USD	702,655	ZAR	10,618,086	Standard Chartered Bank		11/23/21		9,274		—
ZAR	126,000,000	USD	8,551,137	Standard Chartered Bank		11/23/21		—		(323,104	)
HUF	1,244,476,750	EUR	3,530,626	Citibank, N.A.		11/24/21		—		(89,004	)
HUF	1,244,476,750	EUR	3,532,970	Citibank, N.A.		11/24/21		—		(91,715	)
HUF	1,449,547,671	EUR	4,116,492	Citibank, N.A.		11/24/21		—		(108,380	)
HUF	1,244,476,749	EUR	3,532,010	Goldman Sachs International		11/24/21		—		(90,604	)
HUF	1,451,889,541	EUR	4,114,966	Goldman Sachs International		11/24/21		—		(99,099	)
HUF	440,000,000	EUR	1,241,313	Standard Chartered Bank		11/24/21		—		(23,393	)
USD	16,566,921	IDR	241,297,208,210	Standard Chartered Bank		11/24/21		—		(357,747	)
HUF	301,000,000	EUR	821,145	Citibank, N.A.		11/29/21		16,064		—
HUF	317,800,000	EUR	869,686	Citibank, N.A.		11/29/21		13,828		—
HUF	2,341,330,000	EUR	6,408,260	Standard Chartered Bank		11/29/21		100,694		—
HUF	641,704,719	EUR	1,758,075	Standard Chartered Bank		11/29/21		25,610		—
EUR	644,513	HUF	225,500,000	Citibank, N.A.		11/30/21		21,948		—
HUF	761,432,573	EUR	2,170,382	Citibank, N.A.		11/30/21		—		(67,277	)
HUF	761,432,575	EUR	2,171,244	Goldman Sachs International		11/30/21		—		(68,274	)
HUF	681,994,852	EUR	1,944,891	Standard Chartered Bank		11/30/21		—		(61,343	)
EGP	52,200,000	USD	3,174,217	Citibank, N.A.		12/1/21		124,233		—
EGP	52,090,000	USD	3,163,488	Goldman Sachs International		12/2/21		127,182		—
EUR	403,628	PLN	1,851,085	Bank of America, N.A.		12/10/21		3,402		—
EUR	607,457	PLN	2,800,000	UBS AG		12/10/21		1,582		—
PLN	6,813,779	EUR	1,505,974	Citibank, N.A.		12/10/21		—		(35,935	)
PLN	8,857,913	EUR	1,958,067	Citibank, N.A.		12/10/21		—		(47,063	)
PLN	9,539,291	EUR	2,109,110	Citibank, N.A.		12/10/21		—		(51,172	)
PLN	11,809,343	EUR	2,601,454	Citibank, N.A.		12/10/21		—		(52,291	)
PLN	13,627,558	EUR	3,009,331	Citibank, N.A.		12/10/21		—		(68,841	)
PLN	13,627,558	EUR	3,012,283	Citibank, N.A.		12/10/21		—		(72,257	)
PLN	7,000,000	EUR	1,516,520	Standard Chartered Bank		12/10/21		—		(1,498	)
PLN	13,627,558	EUR	3,010,817	UBS AG		12/10/21		—		(70,560	)
USD	1,396,523	ZAR	20,822,000	Standard Chartered Bank		12/15/21		40,646		—
USD	1,171,643	ZAR	17,478,000	Standard Chartered Bank		12/15/21		33,519		—
EGP	22,875,396	USD	1,422,157	Citibank, N.A.		12/28/21		12,635		—
EGP	25,104,604	USD	1,561,232	Goldman Sachs International		12/28/21		13,381		—
THB	232,090,106	USD	6,997,255	Standard Chartered Bank		1/10/22		—		(5,535	)
USD	17,058,572	THB	578,839,999	Standard Chartered Bank		1/10/22		—		(378,998	)
UYU	33,244,103	USD	732,992	HSBC Bank USA, N.A.		1/11/22		10,758		—
USD	44,083,419	CNH	286,000,000	Citibank, N.A.		1/20/22		—		(268,789	)
UYU	145,591,000	USD	3,248,349	Citibank, N.A.		1/24/22		834		—
HUF	49,215,529	EUR	134,646	Citibank, N.A.		1/25/22		1,576		—
HUF	63,310,895	EUR	173,943	Citibank, N.A.		1/25/22		1,178		—
HUF	18,000,000	EUR	49,511	Citibank, N.A.		1/25/22		269		—
HUF	98,400,000	EUR	270,389	UBS AG		1/25/22		1,783		—

39 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	1,085,187	AED	4,000,000	Standard Chartered Bank		1/31/22	$	—	$	(3,752	)
KES	344,850,000	USD	2,919,983	Standard Chartered Bank		2/8/22		117,482		—
UYU	75,026,000	USD	1,659,353	HSBC Bank USA, N.A.		2/9/22		9,896		—
AED	88,000,000	USD	23,957,965	Standard Chartered Bank		2/10/22		—		(1,466	)
USD	78,294,208	AED	288,627,683	Standard Chartered Bank		2/10/22		—		(279,756	)
KES	377,940,000	USD	3,238,560	ICBC Standard Bank plc		2/23/22		79,625		—
KES	189,130,000	USD	1,619,264	ICBC Standard Bank plc		2/23/22		41,234		—
KES	342,450,000	USD	2,919,437	Standard Chartered Bank		3/2/22		82,639		—
KES	341,700,000	USD	2,919,265	Standard Chartered Bank		3/4/22		74,950		—
KES	345,950,000	USD	2,963,677	Standard Chartered Bank		3/8/22		65,179		—
USD	2,309,368	KES	265,000,000	Standard Chartered Bank		3/8/22		—		(10,756	)
BHD	1,325,000	USD	3,503,437	Bank of America, N.A.		3/14/22		5,414		—
SAR	13,700,000	USD	3,649,830	Standard Chartered Bank		3/14/22		132		—
SAR	30,700,000	USD	8,179,316	Standard Chartered Bank		3/14/22		—		(205	)
USD	6,701,464	BHD	2,555,000	Bank of America, N.A.		3/14/22		—		(64,661	)
USD	13,371,339	SAR	50,898,000	Standard Chartered Bank		3/14/22		—		(188,935	)
USD	32,193,679	SAR	122,510,000	Standard Chartered Bank		3/14/22		—		(445,504	)
USD	3,538,199	BHD	1,350,000	Credit Agricole Corporate and Investment Bank		3/16/22		—		(36,747	)
USD	3,038,592	BHD	1,171,833	Standard Chartered Bank		3/16/22		—		(64,549	)
USD	6,701,258	BHD	2,583,000	Standard Chartered Bank		3/16/22		—		(138,806	)
USD	13,404,845	BHD	5,116,000	Standard Chartered Bank		3/16/22		—		(142,878	)
USD	14,866,113	SAR	56,350,000	BNP Paribas		3/24/22		—		(145,922	)
USD	22,298,945	SAR	84,513,000	HSBC Bank USA, N.A.		3/24/22		—		(215,911	)
USD	26,680,048	SAR	101,024,000	Standard Chartered Bank		3/28/22		—		(232,906	)
KES	168,900,000	USD	1,444,825	Standard Chartered Bank		4/1/22		26,353		—
UZS	13,647,940,000	USD	1,194,568	ICBC Standard Bank plc		5/6/22		21,160		—
KES	125,900,000	USD	1,112,387	Standard Chartered Bank		5/11/22		—		(24,973	)
KES	138,014,000	USD	1,213,310	ICBC Standard Bank plc		5/18/22		—		(22,970	)
KES	246,500,000	USD	2,160,386	Standard Chartered Bank		5/20/22		—		(35,247	)
KES	250,659,000	USD	2,190,118	Standard Chartered Bank		6/6/22		—		(36,598	)
KES	124,110,000	USD	1,085,827	Goldman Sachs International		6/8/22		—		(19,978	)
KES	250,440,000	USD	2,190,118	Standard Chartered Bank		6/8/22		—		(39,355	)
OMR	6,500,000	USD	16,822,952	Standard Chartered Bank		8/4/22		11,544		—
USD	10,343,133	OMR	4,000,000	Standard Chartered Bank		8/4/22		—		(16,556	)
USD	10,343,133	OMR	4,000,000	Standard Chartered Bank		8/4/22		—		(16,556	)
USD	14,980,607	OMR	5,793,450	Standard Chartered Bank		8/4/22		—		(23,979	)
ZMW	17,920,000	USD	803,587	JPMorgan Chase Bank, N.A.		8/18/22		128,324		—
ZMW	13,087,000	USD	643,096	JPMorgan Chase Bank, N.A.		8/25/22		35,032		—
USD	20,676,936	AED	76,129,895	BNP Paribas		3/6/23		—		(36,398	)
USD	81,481,884	AED	300,000,000	Credit Agricole Corporate and Investment Bank		3/6/23		—		(141,772	)
USD	138,538,867	AED	510,072,400	Standard Chartered Bank		3/6/23		—		(241,047	)
USD	36,781,609	OMR	14,400,000	Standard Chartered Bank		3/13/23		—		(376,870	)
USD	10,671,214	BHD	4,061,000	Standard Chartered Bank		3/15/23		—		(26,532	)
USD	19,454,755	OMR	7,600,000	Standard Chartered Bank		3/29/23		—		(151,231	)

40 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	9,004,416	OMR	3,568,000	BNP Paribas		4/8/24	$	—	$	(39,305	)
USD	1,267,427	OMR	500,000	Standard Chartered Bank		4/22/24		89		—
USD	16,212,793	OMR	6,400,000	Standard Chartered Bank		5/28/24		—		(9,128	)
USD	9,388,519	OMR	3,711,000	BNP Paribas		7/8/24		—		(17,660	)
USD	9,916,350	OMR	3,912,000	Standard Chartered Bank		7/8/24		700		—
USD	8,357,531	OMR	3,310,000	BNP Paribas		7/29/24		—		(32,243	)
							$	2,768,470	$	(8,114,316	)

Non-deliverable Bond Forward Contracts*
Settlement Date	Notional Amount (000’s omitted)		Reference Entity	Counterparty	Aggregate Cost		Unrealized Appreciation (Depreciation)
11/5/21	COP	15,490,780	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International	$	4,113,614	$	(69,228	)
11/11/21	COP	28,919,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		7,679,669		(147,096	)
11/12/21	COP	34,691,400	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		9,212,385		(175,524	)
11/23/21	COP	41,834,000	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		11,109,119		(236,513	)
11/24/21	COP	38,509,890	Republic of Colombia, 6.00%, 4/28/28	Bank of America, N.A.		10,226,394		(223,580	)
11/24/21	COP	30,981,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		8,227,239		32,909
11/25/21	COP	12,267,570	Republic of Colombia, 6.00%, 4/28/28	Goldman Sachs International		3,257,683		(21,634	)
11/25/21	COP	26,644,200	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		7,075,431		(61,606	)
11/25/21	COP	12,350,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		3,279,732		(9,695	)
11/26/21	COP	19,540,390	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		5,188,998		(70,098	)
11/26/21	COP	30,981,600	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		8,227,239		33,567
11/29/21	COP	50,821,100	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		13,495,666		(7,625	)
12/2/21	COP	41,834,000	Republic of Colombia, 5.75%, 11/3/27	Bank of America, N.A.		11,109,119		—
12/2/21	COP	33,880,700	Republic of Colombia, 6.25%, 11/26/25	Bank of America, N.A.		8,997,102		—
1/3/22	COP	14,897,000	Republic of Colombia, 6.25%, 11/26/25	Goldman Sachs International		3,955,934		—
							$	(956,123	)

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

41 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Futures Contracts
Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/Unrealized Appreciation (Depreciation)
Equity Futures
FTSE MIB Index		58			Long		12/17/21	$	8,972,001		$	397,025
TOPIX Index		44			Long		12/9/21		7,708,675			(92,209	)
SGX CNX Nifty Index		(259	)		Short		11/25/21		(9,217,680	)		223,262
Interest Rate Futures
U.S. Ultra-Long Treasury Bond		109			Long		12/21/21		21,408,281			502,366
Euro-Bund		(338	)		Short		12/8/21		(65,689,184	)		1,730,940
Euro-Buxl		(126	)		Short		12/8/21		(30,439,187	)		128,177
U.S. 2-Year Treasury Note		(151	)		Short		12/31/21		(33,106,750	)		137,289
U.S. 5-Year Treasury Note		(874	)		Short		12/31/21		(106,409,500	)		1,517,023
U.S. 10-Year Treasury Note		(911	)		Short		12/21/21		(119,070,547	)		2,047,871
U.S. Long Treasury Bond		(12	)		Short		12/21/21		(1,930,125	)		29,344
											$	6,621,088

Centrally Cleared Inflation Swaps
Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date	Value/Unrealized Appreciation (Depreciation)
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)	10/15/36	$	(190,680	)
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)	10/15/36		(182,006	)
EUR	5,900	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	2.20% (pays upon termination)	10/15/36		(182,007	)
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)	10/15/46		374,195
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)	10/15/46		374,195
EUR	5,900	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	2.29% (pays upon termination)	10/15/46		370,018
USD	20,760	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.29% (pays upon termination)	1/26/26		(1,447,027	)
USD	20,760	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.29% (pays upon termination)	1/26/26		(1,447,027	)

42 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Inflation Swaps (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index		Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date	Value/Unrealized Appreciation (Depreciation)
USD	20,750		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.26% (pays upon termination)	1/27/26	$	(1,479,526	)
USD	20,760		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.26% (pays upon termination)	1/27/26		(1,482,966	)
USD	11,630		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.28% (pays upon termination)	1/28/26		(821,561	)
USD	20,760		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.33% (pays upon termination)	1/26/31		1,631,912
USD	20,760		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.33% (pays upon termination)	1/26/31		1,629,079
USD	20,750		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.31% (pays upon termination)	1/27/31		1,676,055
USD	20,760		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.31% (pays upon termination)	1/27/31		1,676,297
USD	11,630		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.32% (pays upon termination)	1/28/31		934,447
USD	9,400		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.75% (pays upon termination)	10/29/36		242,277
USD	9,500		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.75% (pays upon termination)	10/29/36		244,854
USD	9,500		Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.75% (pays upon termination)	10/29/36		244,854
USD	9,450		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.62% (pays upon termination)	10/29/46		(488,070	)
USD	9,500		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.62% (pays upon termination)	10/29/46		(484,572	)
USD	9,500		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.62% (pays upon termination)	10/29/46		(484,572	)
								$	708,169

CPI-U (NSA)	–	Consumer Price Index All Urban Non-Seasonally Adjusted
HICP	–	Harmonised Indices of Consumer Prices

43 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps
Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
BRL	164,060	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	2.77% (pays upon termination)	1/3/22	$	(392,761	)	$	—	$	(392,761	)
BRL	243,243	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.42% (pays upon termination)	1/3/22		285,984			—		285,984
BRL	818,909	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.08% (pays upon termination)	1/3/22		(1,514,687	)		—		(1,514,687	)
BRL	1,189,580	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	2.92% (pays upon termination)	1/3/22		(2,241,418	)		—		(2,241,418	)
BRL	1,928,281	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	3.44% (pays upon termination)	1/3/22		2,168,846			—		2,168,846
CNY	44,764	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)	11/1/26		(1,694	)		—		(1,694	)
CNY	54,356	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)	11/1/26		(5,023	)		—		(5,023	)
CNY	63,948	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)	11/1/26		(2,419	)		—		(2,419	)
CNY	108,712	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)	11/1/26		(8,068	)		—		(8,068	)
CNY	111,909	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.63% (pays quarterly)	11/1/26		(10,341	)		—		(10,341	)
CNY	150,310	Pays	7-day China Fixing Repo Rates (pays quarterly)	2.64% (pays quarterly)	11/1/26		(11,155	)		—		(11,155	)
COP	62,519,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.84% (pays quarterly)	5/5/25		1,018,197			—		1,018,197
COP	10,940,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.85% (pays quarterly)	5/6/25		177,184			—		177,184
COP	72,092,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.70% (pays quarterly)	5/7/25		1,273,479			—		1,273,479
COP	7,936,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.49% (pays quarterly)	5/13/25		156,600			—		156,600
COP	7,936,810	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.54% (pays quarterly)	5/14/25		153,535			—		153,535
COP	29,306,100	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.19% (pays quarterly)	6/4/25		(681,292	)		—		(681,292	)
COP	44,982,400	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.26% (pays quarterly)	6/5/25		(1,019,925	)		—		(1,019,925	)

44 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
COP	59,477,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.34% (pays quarterly)	6/8/25	$	(1,308,648	)	$	—		$	(1,308,648	)
COP	29,163,200	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.44% (pays quarterly)	6/9/25		(615,254	)		—			(615,254	)
COP	2,605,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.21% (pays quarterly)	11/26/25		42,413			—			42,413
COP	2,672,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.02% (pays quarterly)	11/26/25		48,723			—			48,723
COP	3,307,500	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.73% (pays quarterly)	11/26/25		35,978			—			35,978
COP	6,280,900	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.05% (pays quarterly)	11/26/25		112,072			(102	)		111,970
COP	6,681,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.55% (pays quarterly)	11/26/25		85,393			—			85,393
COP	7,412,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.76% (pays quarterly)	11/26/25		154,555			—			154,555
COP	7,412,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	3.89% (pays quarterly)	11/26/25		144,647			—			144,647
COP	7,973,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.34% (pays quarterly)	11/26/25		118,401			—			118,401
COP	8,554,300	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.11% (pays quarterly)	11/26/25		148,026			—			148,026
COP	8,996,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)	11/26/25		146,881			—			146,881
COP	11,377,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.53% (pays quarterly)	11/26/25		147,277			—			147,277
COP	11,377,600	Pays	Colombia Overnight Interbank Reference Rate (pays quarterly)	5.68% (pays quarterly)	11/26/25		(27,957	)		—			(27,957	)
COP	13,085,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.25% (pays quarterly)	11/26/25		206,918			—			206,918
COP	13,905,100	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)	11/26/25		144,104			—			144,104
COP	14,717,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.90% (pays quarterly)	11/26/25		135,122			—			135,122

45 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.00% (pays quarterly)	11/26/25	$	272,527		$	—	$	272,527
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.07% (pays quarterly)	11/26/25		261,856			—		261,856
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.20% (pays quarterly)	11/26/25		242,037			—		242,037
COP	14,824,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.28% (pays quarterly)	11/26/25		229,843			—		229,843
COP	15,492,290	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.81% (pays quarterly)	11/26/25		156,571			—		156,571
COP	15,965,800	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.16% (pays quarterly)	11/26/25		267,246			—		267,246
COP	26,646,700	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.86% (pays quarterly)	11/26/25		254,395			—		254,395
COP	30,984,585	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.78% (pays quarterly)	11/26/25		321,106			—		321,106
COP	30,984,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.73% (pays quarterly)	11/26/25		338,631			—		338,631
COP	38,665,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)	3/30/26		645,278			—		645,278
COP	78,091,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.38% (pays quarterly)	3/30/26		1,304,914			—		1,304,914
COP	25,188,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.48% (pays quarterly)	3/31/26		392,801			—		392,801
COP	26,964,400	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.56% (pays quarterly)	4/6/26		401,174			—		401,174
COP	4,923,600	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.83% (pays quarterly)	3/26/28		99,388			—		99,388
COP	6,893,000	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.82% (pays quarterly)	3/26/28		140,152			—		140,152
COP	7,706,200	Receives	Colombia Overnight Interbank Reference Rate (pays quarterly)	4.82% (pays quarterly)	3/26/28		156,122			—		156,122
EUR	4,200	Receives	6-month EURIBOR (pays semi-annually)	1.00% (pays annually)	3/21/23		(125,904	)		46,906		(78,998	)

46 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
EUR	6,627	Receives	6-month EURIBOR (pays semi-annually)	0.11% (pays annually)	7/23/29	$	24,616		$	20,998		$	45,614
EUR	7,000	Receives	6-month EURIBOR (pays semi-annually)	(0.08)% (pays annually)	8/6/29		153,217			(7	)		153,210
EUR	4,728	Receives	6-month EURIBOR (pays semi-annually)	(0.16)% (pays annually)	9/12/29		145,800			2			145,802
EUR	7,054	Receives	6-month EURIBOR (pays semi-annually)	0.26% (pays annually)	2/25/50		97,382			4			97,386
GBP	31,546	Receives	1-day Sterling Overnight Index Average (pays annually)	0.54% (pays annually)	9/15/26		1,040,345			(565	)		1,039,780
GBP	31,550	Receives	1-day Sterling Overnight Index Average (pays annually)	0.54% (pays annually)	9/15/26		1,041,320			(565	)		1,040,755
GBP	43,454	Receives	1-day Sterling Overnight Index Average (pays annually)	0.54% (pays annually)	9/15/26		1,424,385			(784	)		1,423,601
GBP	25,420	Receives	1-day Sterling Overnight Index Average (pays annually)	0.87% (pays annually)	10/14/26		304,837			(767	)		304,070
GBP	26,380	Receives	1-day Sterling Overnight Index Average (pays annually)	0.87% (pays annually)	10/14/26		314,420			(797	)		313,623
KRW	67,516,400	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.77% (pays quarterly)	10/5/23		(331,368	)		—			(331,368	)
KRW	106,378,100	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)	10/5/23		(532,068	)		—			(532,068	)
KRW	154,705,500	Pays	3-month KRW Certificate of Deposit Rate (pays quarterly)	1.75% (pays quarterly)	10/5/23		(774,951	)		—			(774,951	)
MXN	917,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.96% (pays monthly)	6/24/25		(631,464	)		—			(631,464	)
MXN	917,400	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.91% (pays monthly)	6/25/25		(667,677	)		—			(667,677	)
MXN	723,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.60% (pays monthly)	7/8/26		(1,281,072	)		—			(1,281,072	)
PLN	26,040	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)	10/14/26		49,607			—			49,607
PLN	82,460	Receives	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)	10/15/26		161,269			—			161,269
PLN	34,400	Receives	6-month PLN WIBOR (pays semi-annually)	2.28% (pays annually)	10/4/31		341,099			—			341,099
PLN	13,530	Receives	6-month PLN WIBOR (pays semi-annually)	2.32% (pays annually)	10/5/31		121,062			—			121,062
PLN	13,850	Receives	6-month PLN WIBOR (pays semi-annually)	2.32% (pays annually)	10/5/31		123,925			—			123,925
PLN	30,760	Receives	6-month PLN WIBOR (pays semi-annually)	2.68% (pays annually)	10/22/31		61,222			—			61,222

47 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps (continued)
Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
PLN	14,140	Receives	6-month PLN WIBOR (pays semi-annually)	2.67% (pays annually)	10/25/31	$	31,707		$	—	$	31,707
PLN	21,040	Receives	6-month PLN WIBOR (pays semi-annually)	2.73% (pays annually)	10/25/31		19,402			—		19,402
TWD	320,248	Receives	3-month TWD TAIBOR (pays quarterly)	0.87% (pays quarterly)	11/2/26		1,501			—		1,501
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)	11/2/26		(11,194	)		—		(11,194	)
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.87% (pays quarterly)	11/2/26		3,001			—		3,001
TWD	640,496	Receives	3-month TWD TAIBOR (pays quarterly)	0.88% (pays quarterly)	11/2/26		(8,821	)		—		(8,821	)
TWD	858,264	Receives	3-month TWD TAIBOR (pays quarterly)	0.89% (pays quarterly)	11/2/26		(27,654	)		—		(27,654	)
USD	3,700	Receives	3-month USD-LIBOR (pays quarterly)	0.52% (pays semi-annually)	3/19/23		(4,699	)		—		(4,699	)
USD	2,300	Receives	3-month USD-LIBOR (pays quarterly)	0.47% (pays semi-annually)	4/3/23		(317	)		—		(317	)
USD	1,688	Receives	3-month USD-LIBOR (pays quarterly)	2.22% (pays semi-annually)	3/28/24		(59,496	)		—		(59,496	)
USD	3,880	Receives	3-month USD-LIBOR (pays quarterly)	1.59% (pays semi-annually)	1/23/25		(89,271	)		—		(89,271	)
USD	4,760	Receives	3-month USD-LIBOR (pays quarterly)	1.60% (pays semi-annually)	1/23/25		(111,038	)		—		(111,038	)
USD	775	Receives	3-month USD-LIBOR (pays quarterly)	1.49% (pays semi-annually)	1/28/25		(14,935	)		—		(14,935	)
USD	2,344	Receives	3-month USD-LIBOR (pays quarterly)	1.46% (pays semi-annually)	1/30/25		(42,933	)		—		(42,933	)
USD	4,650	Receives	3-month USD-LIBOR (pays quarterly)	1.41% (pays semi-annually)	2/3/25		(74,697	)		—		(74,697	)
USD	780	Receives	3-month USD-LIBOR (pays quarterly)	1.44% (pays semi-annually)	2/18/25		(12,707	)		—		(12,707	)
USD	1,500	Receives	3-month USD-LIBOR (pays quarterly)	1.16% (pays semi-annually)	2/28/25		(9,513	)		—		(9,513	)
USD	740	Receives	3-month USD-LIBOR (pays quarterly)	0.83% (pays semi-annually)	3/5/25		4,041			—		4,041
USD	14,720	Pays	3-month USD-LIBOR (pays quarterly)	0.71% (pays semi-annually)	3/20/25		(149,938	)		—		(149,938	)
USD	600	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)	5/18/25		14,505			—		14,505
USD	1,990	Receives	3-month USD-LIBOR (pays quarterly)	0.43% (pays semi-annually)	6/12/25		42,765			—		42,765
USD	7,257	Receives	3-month USD-LIBOR (pays quarterly)	0.39% (pays semi-annually)	6/19/25		169,039			—		169,039
USD	37,400	Receives	3-month USD-LIBOR (pays quarterly)	1.25% (pays semi-annually)	6/30/25		195,206			—		195,206
USD	18,654	Receives	3-month USD-LIBOR (pays quarterly)	1.28% (pays semi-annually)	7/3/25		86,255			—		86,255

48 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Interest Rate Swaps (continued)
Notional Amount (000’s omitted)			Portfolio Pays/Receives Floating Rate		Floating Rate	Annual Fixed Rate	Termination Date	Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	18,746			Receives	3-month USD-LIBOR (pays quarterly)	1.26% (pays semi-annually)	7/3/25	$	93,096		$	—		$	93,096
USD	2,580			Receives	3-month USD-LIBOR (pays quarterly)	0.32% (pays semi-annually)	7/14/25		69,771			—			69,771
USD	760			Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)	7/15/25		20,252			—			20,252
USD	15,783			Receives	3-month USD-LIBOR (pays quarterly)	0.89% (pays semi-annually)	7/15/26		187,553			—			187,553
USD	16,217			Receives	3-month USD-LIBOR (pays quarterly)	0.92% (pays semi-annually)	7/15/26		167,204			—			167,204
USD	33,064			Receives	3-month USD-LIBOR (pays quarterly)	1.74% (pays semi-annually)	12/16/26		(1,030,443	)		—			(1,030,443	)
USD	32,860			Pays	3-month USD-LIBOR (pays quarterly)	0.84% (pays semi-annually)	3/20/27		(724,789	)		—			(724,789	)
USD	14,560			Receives	3-month USD-LIBOR (pays quarterly)	0.76% (pays semi-annually)	6/5/30		856,844			—			856,844
USD	0	(1)		Receives	3-month USD-LIBOR (pays quarterly)	2.50% (pays semi-annually)	6/15/46		(24	)		11			(13	)
USD	0	(1)		Pays	3-month USD-LIBOR (pays quarterly)	2.75% (pays semi-annually)	9/21/46		31			(26	)		5
USD	1,500			Receives	3-month USD-LIBOR (pays quarterly)	1.83% (pays semi-annually)	11/22/49		(45,894	)		—			(45,894	)
USD	770			Receives	3-month USD-LIBOR (pays quarterly)	1.94% (pays semi-annually)	12/11/49		(41,941	)		—			(41,941	)
USD	1,063			Receives	3-month USD-LIBOR (pays quarterly)	1.90% (pays semi-annually)	1/8/50		(47,308	)		—			(47,308	)
Total								$	5,062,297		$	64,308		$	5,126,605

⁽¹⁾  Notional amount is less than USD 500.

Centrally Cleared Credit Default Swaps — Sell Protection
Reference Entity	Notional Amount* (000’s omitted)	Contract Annual Fixed Rate**		Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Brazil	$41,115		1.00% (pays quarterly)(1)		12/20/26		2.45	%	$	(2,813,097	)	$	2,670,073	$	(143,024	)
Turkey	7,810		1.00% (pays quarterly)(1)		12/20/21		2.69			(9,870	)		41,264		31,394
Total	$48,925								$	(2,822,967	)	$	2,711,337	$	(111,630	)

49 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Malaysia	$	81,600	1.00% (pays quarterly)(1)		12/20/26	$	(1,956,374	)	$	2,272,360		$	315,986
Markit CDX Emerging Markets Index (CDX.EM.31.V2)		2,820	1.00% (pays quarterly)(1)		6/20/24		7,477			(43,513	)		(36,036	)
Markit CDX Investment Grade Index (CDX.NA.IG.37.V1)		209,500	1.00% (pays quarterly)(1)		12/20/26		(5,207,517	)		4,787,883			(419,634	)
Mexico		6,730	1.00% (pays quarterly)(1)		12/20/26		3,758			41,759			45,517
Philippines		21,600	1.00% (pays quarterly)(1)		12/20/26		(481,540	)		618,493			136,953
Qatar		12,396	1.00% (pays quarterly)(1)		12/20/23		(236,027	)		48,844			(187,183	)
Qatar		7,630	1.00% (pays quarterly)(1)		12/20/26		(222,144	)		229,317			7,173
Russia		149,000	1.00% (pays quarterly)(1)		12/20/26		(1,435,760	)		1,162,428			(273,332	)
Saudi Arabia		10,950	1.00% (pays quarterly)(1)		12/20/26		(281,301	)		275,192			(6,109	)
South Africa		40,420	1.00% (pays quarterly)(1)		12/20/26		2,108,572			(1,928,597	)		179,975
South Africa		23,540	1.00% (pays quarterly)(1)		6/20/29		2,572,800			(2,950,556	)		(377,756	)
South Africa		65,930	1.00% (pays quarterly)(1)		6/20/31		9,761,470			(8,544,625	)		1,216,845
Turkey		68,490	1.00% (pays quarterly)(1)		12/20/26		10,392,417			(8,769,618	)		1,622,799
Total						$	15,025,831		$	(12,800,633	)	$	2,225,198

50 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Credit Default Swaps — Sell Protection
Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Vietnam	Barclays Bank PLC	$	8,600	1.00% (pays quarterly)(1)		12/20/26		1.03	%	$	(4,705	)	$	(10,558	)	$	(15,263	)
Vietnam	Goldman Sachs International		9,100	1.00% (pays quarterly)(1)		6/20/24		0.57			113,378			(71,628	)		41,750
Vietnam	Goldman Sachs International		3,100	1.00% (pays quarterly)(1)		12/20/26		1.03			(1,610	)		(4,954	)		(6,564	)
Vietnam	Nomura International PLC		1,500	1.00% (pays quarterly)		12/20/26		1.03			(821	)		—			(821	)
Total		$	22,300							$	106,242		$	(87,140	)	$	19,102

Credit Default Swaps — Buy Protection
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Dubai	Barclays Bank PLC	$	5,058	1.00% (pays quarterly)(1)		12/20/24	$	(66,487	)	$	(52,750	)	$	(119,237	)
Dubai	Barclays Bank PLC		3,357	1.00% (pays quarterly)(1)		12/20/24		(44,171	)		(34,980	)		(79,151	)
Oman	Bank of America, N.A.		20,851	1.00% (pays quarterly)(1)		6/20/22		(42,598	)		(131,770	)		(174,368	)
Oman	Bank of America, N.A.		16,680	1.00% (pays quarterly)(1)		12/20/22		(2,108	)		(203,769	)		(205,877	)
Qatar	Goldman Sachs International		3,700	1.00% (pays quarterly)(1)		12/20/23		(70,450	)		(2,698	)		(73,148	)
Qatar	Goldman Sachs International		3,090	1.00% (pays quarterly)(1)		9/20/24		(71,991	)		763			(71,228	)
Qatar	Nomura International PLC		9,620	1.00% (pays quarterly)(1)		9/20/24		(224,128	)		9,515			(214,613	)
Saudi Arabia	Barclays Bank PLC		21,084	1.00% (pays quarterly)(1)		6/20/31		(234,304	)		(374,243	)		(608,547	)
Saudi Arabia	Goldman Sachs International		33,090	1.00% (pays quarterly)(1)		12/20/31		(324,806	)		90,304			(234,502	)
South Africa	Goldman Sachs International		16,600	1.00% (pays quarterly)(1)		12/20/28		1,639,181			(1,640,104	)		(923	)
Total							$	558,138		$	(2,339,732	)	$	(1,781,594	)

* If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $71,225,000.

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

51 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

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

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

Total Return Swaps
Counterparty	Notional Amount (000’s omitted)		Portfolio Receives	Portfolio Pays	Termination Date	Value/ Unrealized Appreciation (Depreciation)
Citibank, N.A.	USD	59,500	Excess Return on Bloomberg Commodity ex-Natural Gas Index 4 Month Forward (pays upon termination)	Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.24% (pays upon termination)	11/4/21	$	(666,171	)
Citibank, N.A.	USD	51,100	Excess Return on Bloomberg Commodity ex-Natural Gas Index 5 Month Forward (pays upon termination)	Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.25% (pays upon termination)	11/4/21		(613,106	)
Citibank, N.A.	USD	127,600	Excess Return on Bloomberg Commodity ex-Natural Gas Index 5 Month Forward (pays upon termination)	Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.25% (pays upon termination)	11/4/21		(1,530,965	)
Citibank, N.A.	USD	45,400	Excess Return on Bloomberg Commodity ex-Natural Gas Index 6 Month Forward (pays upon termination)	Excess Return on Bloomberg Commodity ex-Natural Gas Index + 0.26% (pays upon termination)	11/4/21		(603,338	)
Citibank, N.A.	KRW	24,750	Negative Return on KOSPI 200 Index Futures 12/2021 (pays upon termination)	Positive Return on KOSPI 200 Index Futures 12/2021 (pays upon termination)	12/9/21		467,186
						$	(2,946,394	)

52 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Portfolio of Investments — continued

Abbreviations:

ADR	–	American Depositary Receipt
CMT	–	Constant Maturity Treasury
COF	–	Cost of Funds 11th District
EURIBOR	–	Euro Interbank Offered Rate
GDP	–	Gross Domestic Product
LIBOR	–	London Interbank Offered Rate
PIK	–	Payment in Kind

Currency Abbreviations:

AED	–	United Arab Emirates Dirham
AUD	–	Australian Dollar
BHD	–	Bahraini Dinar
BRL	–	Brazilian Real
CLP	–	Chilean Peso
CNH	–	Yuan Renminbi Offshore
CNY	–	Yuan Renminbi
COP	–	Colombian Peso
CRC	–	Costa Rican Colon
CZK	–	Czech Koruna
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	British Pound Sterling
GEL	–	Georgian Lari
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ISK	–	Icelandic Krona
KES	–	Kenyan Shilling
KRW	–	South Korean Won

MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NZD	–	New Zealand Dollar
OMR	–	Omani Rial
PEN	–	Peruvian Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
RSD	–	Serbian Dinar
RUB	–	Russian Ruble
SAR	–	Saudi Riyal
THB	–	Thai Baht
TWD	–	New Taiwan Dollar
UAH	–	Ukrainian Hryvnia
UGX	–	Ugandan Shilling
USD	–	United States Dollar
UYU	–	Uruguayan Peso
UZS	–	Uzbekistani Som
ZAR	–	South African Rand
ZMW	–	Zambian Kwacha

53 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Statement of Assets and Liabilities

Assets	October 31, 2021
Unaffiliated investments, at value (identified cost, $2,114,383,022)	$	2,096,738,978
Affiliated investment, at value (identified cost, $316,227,582)		316,227,582
Cash		73,307,743
Deposits for derivatives collateral —
Centrally cleared derivatives		91,493,216
OTC derivatives		3,442,124
Foreign currency, at value (identified cost, $26,373,786)		26,435,797
Interest and dividends receivable		34,097,542
Dividends receivable from affiliated investment		18,153
Receivable for investments sold		2,585,258
Receivable for variation margin on open futures contracts		490,671
Receivable for variation margin on open centrally cleared derivatives		6,271,154
Receivable for open forward foreign currency exchange contracts		2,768,470
Receivable for open swap contracts		508,936
Upfront payments on open non-centrally cleared swap contracts		2,527,454
Receivable for open non-deliverable bond forward contracts		66,476
Receivable for closed non-deliverable bond forward contracts		430,378
Receivable from broker		6,672,545
Total assets	$	2,664,082,477
Liabilities
Cash collateral due to brokers	$	600,000
Payable for investments purchased		1,292,906
Payable for closed purchased swaptions		1,284,303
Payable for securities sold short, at value (proceeds, $75,448,441)		76,819,118
Payable for open forward foreign currency exchange contracts		8,114,316
Payable for open swap contracts		5,217,822
Upfront receipts on open non-centrally cleared swap contracts		100,582
Payable for open non-deliverable bond forward contracts		1,022,599
Payable for closed non-deliverable bond forward contracts		1,407,780
Payable to affiliates:
Investment adviser fee		1,320,910
Trustees’ fees		9,222
Interest payable on securities sold short		679,596
Accrued foreign capital gains taxes		472,127
Accrued expenses and other liabilities		1,877,311
Total liabilities	$	100,218,592
Net Assets applicable to investors’ interest in Portfolio	$	2,563,863,885

54 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Statement of Operations

Investment Income	Year Ended October 31, 2021
Interest (net of foreign taxes, $6,788,942)	$	157,970,212
Dividends (net of foreign taxes, $63,872)		2,152,201
Dividends from affiliated investment		463,596
Total investment income	$	160,586,009
Expenses
Investment adviser fee	$	17,051,619
Trustees’ fees and expenses		108,500
Custodian fee		1,805,002
Legal and accounting services		343,975
Interest expense and fees		157,634
Interest and dividend expense on securities sold short		1,641,128
Miscellaneous		115,356
Total expenses	$	21,223,214
Net investment income	$	139,362,795
Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions (net of foreign capital gains taxes of $169,979)	$	65,604,167
Investment transactions — affiliated investment		10,700
Written options		300,773
Securities sold short		(1,386,950	)
Futures contracts		11,824,679
Swap contracts		(20,986,096	)
Forward commodity contracts		(3,532,864	)
Foreign currency transactions		746,124
Forward foreign currency exchange contracts		(44,367,778	)
Non-deliverable bond forward contracts		(11,544,026	)
Net realized loss	$	(3,331,271	)
Change in unrealized appreciation (depreciation) —
Investments (including net decrease in accrued foreign capital gains taxes of $65,279)	$	(25,148,193	)
Investments — affiliated investment		(10,925	)
Securities sold short		(4,757,082	)
Futures contracts		6,303,091
Swap contracts		18,372,478
Forward commodity contracts		2,375,840
Foreign currency		236,855
Forward foreign currency exchange contracts		3,145,599
Non-deliverable bond forward contracts		(956,123	)
Net change in unrealized appreciation (depreciation)	$	(438,460	)
Net realized and unrealized loss	$	(3,769,731	)
Net increase in net assets from operations	$	135,593,064

55 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Statements of Changes in Net Assets

	Year Ended October 31,
Increase (Decrease) in Net Assets	2021			2020
From operations —
Net investment income	$	139,362,795		$	150,161,988
Net realized loss		(3,331,271	)		(18,100,685	)
Net change in unrealized appreciation (depreciation)		(438,460	)		(10,578,798	)
Net increase in net assets from operations	$	135,593,064		$	121,482,505
Capital transactions —
Contributions	$	152,014,236		$	163,502,210
Withdrawals		(889,472,377	)		(678,982,536	)
Net decrease in net assets from capital transactions	$	(737,458,141	)	$	(515,480,326	)
Net decrease in net assets	$	(601,865,077	)	$	(393,997,821	)
Net Assets
At beginning of year	$	3,165,728,962		$	3,559,726,783
At end of year	$	2,563,863,885		$	3,165,728,962

56 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Consolidated Financial Highlights

	Year Ended October 31,
Ratios/Supplemental Data	2021			2020			2019			2018			2017
Ratios (as a percentage of average daily net assets):
Expenses(1)		0.70	%		0.66	%		0.65	%		0.70	%		0.64	%
Net investment income		4.60	%		4.53	%		5.41	%		4.64	%		4.14	%
Portfolio Turnover		88	%		81	%		61	%		78	%		74	%
Total Return		4.52	%		4.03	%		6.56	%		(2.60	)%		3.93	%
Net assets, end of year (000’s omitted)	$	2,563,864		$	3,165,729		$	3,559,727		$	4,864,519		$	5,484,065

⁽¹⁾  Includes interest and/or dividend expense, including on securities sold short and/or reverse repurchase agreements if applicable, of 0.06%, 0.01%, 0.01%, 0.04% and 0.03% of average daily net assets for the years ended October 31, 2021, 2020, 2019, 2018 and 2017, respectively.

57 See Notes to Consolidated Financial Statements.

Global Macro Portfolio

October 31, 2021

Notes to Consolidated Financial Statements

1  Significant Accounting Policies

Global Macro Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2021, Eaton Vance Global Macro Absolute Return Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 99.6% and 0.4%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2021 were $70,053,883 or 2.7% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

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

A  Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.

Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term debt obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.

Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service.

Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and ask prices on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ National Market System are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices.

Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign financial futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service.

Foreign Securities, Financial Futures Contracts and Currencies. Foreign securities, financial futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign financial futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign financial futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign financial futures contracts that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities and foreign financial futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign financial futures contracts.

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Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.

Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B  Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. In consideration of recent decisions rendered by European courts, the Portfolio has filed additional tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Due to the uncertainty as to the ultimate resolution of these proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment, no amounts are reflected in the Portfolio’s financial statements for such outstanding reclaims.

D  Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of October 31, 2021, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

F  Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.

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

H  Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

I  Financial and Commodities Futures Contracts — Upon entering into a financial or commodities futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

J  Forward Foreign Currency Exchange, Non-Deliverable Bond Forward and Forward Commodity Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. While forward foreign currency exchange contracts are privately negotiated agreements between the Portfolio and a counterparty, certain contracts may be “centrally cleared”, whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared contracts, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. For centrally cleared contracts, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.

K  Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the exercise price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the exercise price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.

L  Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

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M  Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared. Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, if any (which are amortized over the life of the swap contract), are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

N  Inflation Swaps — Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. The accounting policy for payments received or made and changes in the underlying value of the inflation swap are the same as for interest rate swaps as described above. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from the unanticipated movements in value of interest rates or the index.

O  Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

P  Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 6 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

Q  Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

R  Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to

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reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

S  Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.

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

U  Stripped Mortgage-Backed Securities — The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, forms of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR) as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. On March 1, 2021, Morgan Stanley acquired Eaton Vance Corp. (the “Transaction”) and BMR became an indirect, wholly-owned subsidiary of Morgan Stanley. In connection with the Transaction, the Portfolio and Subsidiary entered into new investment advisory agreements (the “New Agreements”) with BMR, which took effect on March 1, 2021. Pursuant to the New Agreements (and the Portfolio’s and Subsidiary’s investment advisory agreements with BMR in effect prior to March 1, 2021), the Portfolio and Subsidiary each pay BMR a fee computed at an annual rate as a percentage of its respective average daily net assets as follows and is payable monthly:

Average Daily Net Assets	Annual Fee Rate
Up to $500 million		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 and over		0.490	%

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In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the year ended October 31, 2021, the Portfolio’s investment adviser fee amounted to $17,051,619 or 0.56% of the Portfolio’s consolidated average daily net assets. The Portfolio may invest its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2021, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

During the year ended October 31, 2021, BMR reimbursed the Portfolio $12,664 for a net realized loss due to a trading error. The amount of the reimbursement had an impact on total return of less than 0.01%.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the year ended October 31, 2021 were as follows:

	Purchases		Sales
Investments (non-U.S. Government)	$	1,626,821,531	$	2,093,037,953
U.S. Government and Agency Securities		—		21,967,762
	$	1,626,821,531	$	2,115,005,715

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolio’s investment in the Subsidiary, at October 31, 2021, as determined on a federal income tax basis, were as follows:

Aggregate cost	$	2,575,208,814
Gross unrealized appreciation	$	60,061,535
Gross unrealized depreciation		(229,051,997	)
Net unrealized depreciation	$	(168,990,462	)

5  Restricted Securities

At October 31, 2021, the Portfolio owned the following securities (representing 0.4% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

Description	Date of Acquisition		Shares		Cost		Value
Reinsurance Side Cars
Mt. Logan Re Ltd., Series A-1		12/30/20		4,400	$	4,400,000	$	4,015,785
Sussex Capital, Ltd., Series 16, Preference Shares		6/1/21		5,500		5,500,000		5,227,006
Total Restricted Securities					$	9,900,000	$	9,242,791

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Notes to Consolidated Financial Statements — continued

6  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward foreign currency exchange contracts, non-deliverable bond forward contracts, forward commodity contracts, futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at October 31, 2021 is included in the Consolidated Portfolio of Investments. At October 31, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

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

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

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

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

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

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

The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2021, the fair value of derivatives with credit-related contingent features in a net liability position was $13,638,674. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $34,654,887 at October 31, 2021.

The OTC derivatives in which the Portfolio invests (except for written options as the Portfolio, not the counterparty, is obligated to perform) are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at October 31, 2021 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 9) at October 31, 2021. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its

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counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2021 was as follows:

	Fair Value
Consolidated Statement of Assets and Liabilities Caption	Commodity			Credit			Equity Price			Foreign Exchange			Interest Rate			Total
Unaffiliated investments, at value	$	—		$	—		$	—		$	—		$	488,819		$	488,819
Not applicable		—			24,846,494	*		620,287	*		25,273,870	*		35,246,248	*		85,986,899
Receivable for open forward foreign currency exchange contracts		—			—			—			2,768,470			—			2,768,470
Receivable/Payable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts		—			1,752,559			467,186			—			—			2,219,745
Receivable for open non-deliverable bond forward contracts		—			—			—			—			66,476			66,476
Total Asset Derivatives	$	—		$	26,599,053		$	1,087,473		$	28,042,340		$	35,801,543		$	91,530,409
Derivatives not subject to master netting or similar agreements	$	—		$	24,846,494		$	620,287		$	25,273,870		$	35,246,248		$	85,986,899
Total Asset Derivatives subject to master netting or similar agreements	$	—		$	1,752,559		$	467,186		$	2,768,470		$	555,295		$	5,543,510
Not applicable	$	—		$	(12,643,630	)*	$	(92,209	)*	$	(9,248,672	)*	$	(23,382,772	)*	$	(45,367,283	)
Payable for open forward foreign currency exchange contracts		—			—			—			(8,114,316	)		—			(8,114,316	)
Payable/Receivable for open swap contracts; Upfront payments/receipts on open non-centrally cleared swap contracts		(3,413,580	)		(1,088,179	)		—			—			—			(4,501,759	)
Payable for open non-deliverable bond forward contracts		—			—			—			—			(1,022,599	)		(1,022,599	)
Total Liability Derivatives	$	(3,413,580	)	$	(13,731,809	)	$	(92,209	)	$	(17,362,988	)	$	(24,405,371	)	$	(59,005,957	)
Derivatives not subject to master netting or similar agreements	$	—		$	(12,643,630	)	$	(92,209	)	$	(9,248,672	)	$	(23,382,772	)	$	(45,367,283	)
Total Liability Derivatives subject to master netting or similar agreements	$	(3,413,580	)	$	(1,088,179	)	$	—		$	(8,114,316	)	$	(1,022,599	)	$	(13,638,674	)

* Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable.

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Notes to Consolidated Financial Statements — continued

The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of October 31, 2021.

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(a)		Cash Collateral Received(a)			Net Amount of Derivative Assets(b)			Total Cash Collateral Received
Bank of America, N.A.	$	1,203,868		$	(1,203,868	)	$	—	$	—		$	—		$	—
Citibank, N.A.		687,294			(687,294	)		—		—			—			—
Deutsche Bank AG		25,335			—			—		—			25,335			—
Goldman Sachs International		2,248,995			(1,465,906	)		—		(410,000	)		373,089			410,000
HSBC Bank USA, N.A.		85,569			(85,569	)		—		—			—			—
ICBC Standard Bank plc		187,671			(22,970	)		—		—			164,701			—
JPMorgan Chase Bank, N.A.		174,711			—			—		(174,711	)		—			190,000
Standard Chartered Bank		926,702			(926,702	)		—		—			—			—
UBS AG		3,365			(3,365	)		—		—			—			—
	$	5,543,510		$	(4,395,674	)	$	—	$	(584,711	)	$	563,125		$	600,000
Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(a)		Cash Collateral Pledged(a)			Net Amount of Derivative Liabilities(c)			Total Cash Collateral Pledged
Bank of America, N.A.	$	(1,294,142	)	$	1,203,868		$	90,274	$	—		$	—		$	—
Barclays Bank PLC		(349,667	)		—			293,981		—			(55,686	)		—
BNP Paribas		(643,279	)		—			643,279		—			—			—
Citibank, N.A.		(4,578,457	)		687,294			3,891,163		—			—			2,842,124
Credit Agricole Corporate and Investment Bank		(178,519	)		—			97,994		—			(80,525	)		—
Goldman Sachs International		(1,465,906	)		1,465,906			—		—			—			—
HSBC Bank USA, N.A.		(217,909	)		85,569			111,000		—			(21,340	)		—
ICBC Standard Bank plc		(22,970	)		22,970			—		—			—			—
Nomura International PLC		(224,949	)		—			224,949		—			—			—
Standard Chartered Bank		(4,592,316	)		926,702			3,665,614		—			—			—
UBS AG		(70,560	)		3,365			—		—			(67,195	)		—
	$	(13,638,674	)	$	4,395,674		$	9,018,254	$	—		$	(224,746	)	$	2,842,124
Total — Deposits for derivatives collateral — OTC derivatives															$	3,442,124

^(a)  In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount due from the counterparty in the event of default.

^(c)  Net amount represents the net amount payable to the counterparty in the event of default.

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The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the year ended October 31, 2021 was as follows:

Consolidated Statement of Operations Caption	Commodity			Credit			Equity Price		Foreign Exchange			Interest Rate			Total
Net realized gain (loss) —
Investment transactions	$	—		$	—		$	—	$	(838,980	)	$	—		$	(838,980	)
Written options		—			—			—		300,773			—			300,773
Futures contracts		1,026,956			—			3,923,641		—			6,874,082			11,824,679
Swap contracts		5,926,324			(32,588,526	)		4,213,977		—			1,462,129			(20,986,096	)
Forward commodity contracts		(3,532,864	)		—			—		—			—			(3,532,864	)
Forward foreign currency exchange contracts		—			—			—		(44,367,778	)		—			(44,367,778	)
Non-deliverable bond forward contracts		—			—			—		—			(11,544,026	)		(11,544,026	)
Total	$	3,420,416		$	(32,588,526	)	$	8,137,618	$	(44,905,985	)	$	(3,207,815	)	$	(69,144,292	)
Change in unrealized appreciation (depreciation) —
Investments	$	—		$	—		$	—	$	—		$	(4,064,327	)	$	(4,064,327	)
Futures contracts		(557,045	)		—			1,121,412		—			5,738,724			6,303,091
Swap contracts		(6,069,808	)		(2,822,342	)		647,716		—			26,616,912			18,372,478
Forward commodity contracts		2,375,840			—			—		—			—			2,375,840
Forward foreign currency exchange contracts		—			—			—		3,145,599			—			3,145,599
Non-deliverable bond forward contracts		—			—			—		—			(956,123	)		(956,123	)
Total	$	(4,251,013	)	$	(2,822,342	)	$	1,769,128	$	3,145,599		$	27,335,186		$	25,176,558

The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the year ended October 31, 2021, which are indicative of the volume of these derivative types, were approximately as follows:

Futures Contracts — Long		Futures Contracts — Short		Forward Commodity Contracts		Forward Foreign Currency Exchange Contracts*		Non-deliverable Bond Forward Contracts
	$71,272,000	$	349,461,000	$	15,815,000	$	4,569,398,000	$	104,773,000

Purchased Swaptions		Purchased Call Options		Swap Contracts
	$106,344,000	$	762,223,000	$	3,391,381,000

* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.

The average principal amount of purchased currency options contracts and written currency options contracts outstanding during the year ended October 31, 2021, which are indicative of the volume of these derivative types, were approximately $50,357,000 and $15,152,000, respectively.

7  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in an $800 million unsecured line of credit agreement with a group of banks, which is in effect through October 25, 2022. Borrowings are made by the Portfolio solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Portfolio based on its borrowings at an amount above either the Secured Overnight Financing Rate (SOFR) or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated

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among the participating portfolios and funds at the end of each quarter. In connection with the renewal of the agreement in October 2021, an arrangement fee totaling $150,000 was incurred that was allocated to the participating portfolios and funds. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2021.

8  Investments in Affiliated Funds

At October 31, 2021, the value of the Portfolio’s investment in affiliated funds was $316,227,582, which represents 12.3% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the year ended October 31, 2021 were as follows:

Name	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)		Change in unrealized appreciation (depreciation)			Value, end of period		Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC	$	490,405,962	$	2,343,725,460	$	(2,517,903,615	)	$	10,700	$	(10,925	)	$	316,227,582	$	463,596		316,227,582

9  Fair Value Measurements

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

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

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

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

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

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At October 31, 2021, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1		Level 2			Level 3		Total
Asset-Backed Securities	$	—	$	20,768,016		$	—	$	20,768,016
Collateralized Mortgage Obligations		—		11,636,000			—		11,636,000
U.S. Government Agency Mortgage-Backed Securities		—		58,619,225			—		58,619,225
U.S. Government Guaranteed Small Business Administration Loans		—		19,484,542			—		19,484,542
Convertible Bonds		—		6,184,577			—		6,184,577
Foreign Corporate Bonds		—		153,940,183			0		153,940,183
Loan Participation Notes		—		—			51,240,311		51,240,311
Senior Floating-Rate Loans		—		—			684,110		684,110
Sovereign Government Bonds		—		1,114,327,727			—		1,114,327,727
Sovereign Loans		—		115,103,968			—		115,103,968
Common Stocks		13,105,788		56,711,712	*		273,212		70,090,712
Reinsurance Side Cars		—		—			12,777,091		12,777,091
Warrants		46,526		—			—		46,526
Short-Term Investments —
Affiliated Fund		—		316,227,582			—		316,227,582
Repurchase Agreements		—		81,395,437			—		81,395,437
Sovereign Government Securities		—		175,067,074			—		175,067,074
U.S. Treasury Obligations		—		204,884,660			—		204,884,660
Purchased Interest Rate Swaptions		—		80,503			—		80,503
Purchased Call Options		—		408,316			—		408,316
Total Investments	$	13,152,314	$	2,334,839,522		$	64,974,724	$	2,412,966,560
Forward Foreign Currency Exchange Contracts	$	—	$	28,042,340		$	—	$	28,042,340
Non-deliverable Bond Forward Contracts		—		66,476			—		66,476
Futures Contracts		6,093,010		620,287			—		6,713,297
Swap Contracts		—		56,219,477			—		56,219,477
Total	$	19,245,324	$	2,419,788,102		$	64,974,724	$	2,504,008,150
Liability Description
Securities Sold Short	$	—	$	(76,819,118	)	$	—	$	(76,819,118	)
Forward Foreign Currency Exchange Contracts		—		(17,362,988	)		—		(17,362,988	)
Non-deliverable Bond Forward Contracts		—		(1,022,599	)		—		(1,022,599	)
Futures Contracts		—		(92,209	)		—		(92,209	)
Swap Contracts		—		(40,528,161	)		—		(40,528,161	)
Total	$	—	$	(135,825,075	)	$	—	$	(135,825,075	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

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

	Investments in Foreign Corporate Bonds		Investments in Loan Participation Notes			Investments in Senior Floating- Rate Loans			Investments in Common Stocks		Investments in Reinsurance Side Cars*			Total
Balance as of October 31, 2020	$	0	$	36,524,211		$	967,250		$	—	$	—		$	37,491,461
Realized gains (losses)		—		—			(503,673	)		—		—			(503,673	)
Change in net unrealized appreciation (depreciation)		—		(2,872,680	)		857,750			—		(622,909	)		(2,637,839	)
Cost of purchases		—		18,013,705			684,110			273,212		13,400,000			32,371,027
Proceeds from sales, including return of capital		—		—			(1,321,327	)		—		—			(1,321,327	)
Accrued discount (premium)		—		(424,925	)		—			—		—			(424,925	)
Transfers to Level 3		—		—			—			—		—			—
Transfers from Level 3		—		—			—			—		—			—
Balance as of October 31, 2021	$	0	$	51,240,311		$	684,110		$	273,212	$	12,777,091		$	64,974,724
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2021	$	—	$	(2,872,680	)	$	—		$	—	$	(622,909	)	$	(3,495,589	)

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

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

Type of Investment	Fair Value as of October 31, 2021		Valuation Technique	Unobservable Input	Input			Impact to Valuation from an Increase to Input*
Foreign Corporate Bonds	$	0	Estimated Recovery Value	Estimated Recovery Value Percentage		0	%		Increase
Loan Participation Notes		51,240,311	Matrix Pricing	Adjusted Credit Spread to the Central Bank of Uzbekistan Quoted Policy Rate		3.93	%		Decrease
Senior Floating-Rate Loans		684,110	Market Approach	Discount Rate		10	%		Decrease
Common Stocks		273,212	Market Approach	EBITDA Multiple Discount Rate		15	%		Decrease

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

10  Risks and Uncertainties

Risks Associated with Foreign Investments

Foreign investments can be adversely affected by political, economic and market developments abroad, including the imposition of economic and other sanctions by the United States or another country. There may be less publicly available information about foreign issuers because they may not be subject to reporting practices, requirements or regulations comparable to those to which United States companies are subject. Foreign markets may be smaller, less liquid and more volatile than the major markets in the United States. Trading in foreign markets typically involves higher expense than trading in the United States. The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.

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Emerging market securities often involve greater risks than developed market securities. Investment markets within emerging market countries are typically smaller, less liquid, less developed and more volatile than those in more developed markets like the United States, and may be focused in certain economic sectors. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. Governmental actions can have a significant effect on the economic conditions in emerging market countries. It may be more difficult to make a claim or obtain a judgment in the courts of these countries than it is in the United States. The possibility of fraud, negligence, undue influence being exerted by an issuer or refusal to recognize ownership exists in some emerging markets. Disruptions due to work stoppages and trading improprieties in foreign securities markets have caused such markets to close. Emerging market securities are also subject to speculative trading, which contributes to their volatility.

Economic data as reported by sovereign entities may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a sovereign entity to restructure defaulted debt may be limited. Therefore, losses on sovereign defaults may far exceed the losses from the default of a similarly rated U.S. debt issuer.

LIBOR Transition Risk

Certain instruments held by the Portfolio may pay an interest rate based on the London Interbank Offered Rate (“LIBOR”), which is the average offered rate for various maturities of short-term loans between certain major international banks. LIBOR is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark Administration Limited, the administrator of LIBOR, is expected to cease publishing certain LIBOR settings on December 31, 2021, and the remaining LIBOR settings on June 30, 2023. Although the transition process away from LIBOR has become increasingly well-defined in advance of the anticipated discontinuation, the impact on certain debt securities, derivatives and other financial instruments that utilize LIBOR remains uncertain. The phase-out of LIBOR may result in, among other things, increased volatility or illiquidity in markets for instruments based on LIBOR and changes in the value of such instruments.

Pandemic Risk

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in late 2019 and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The impact of this outbreak has negatively affected the worldwide economy, the economies of individual countries, individual companies, and the market in general, and may continue to do so in significant and unforeseen ways, as may other epidemics and pandemics that may arise in the future. Any such impact could adversely affect the Portfolio’s performance, or the performance of the securities in which the Portfolio invests.

71

Eaton Vance

Global Macro Portfolio

October 31, 2021

Report of Independent Registered Public Accounting Firm

To the Trustees and Investors of Global Macro Portfolio:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities of Global Macro Portfolio and subsidiary (the “Portfolio”), including the consolidated portfolio of investments, as of October 31, 2021, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements and financial highlights”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of October 31, 2021, 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 Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’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 Portfolio 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 Portfolio 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 Portfolio’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. Our procedures included confirmation of securities and senior loans owned as of October 31, 2021, by correspondence with the custodian, brokers, and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

December 22, 2021

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

72

Eaton Vance

Global Macro Absolute Return Fund

October 31, 2021

Liquidity Risk Management Program

The Fund has implemented a written liquidity risk management program (Program) and related procedures to manage its liquidity in accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (Liquidity Rule). The Liquidity Rule defines “liquidity risk” as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of the remaining investors’ interests in the fund. The Fund’s Board of Trustees/Directors has designated the investment adviser to serve as the administrator of the Program and the related procedures. The administrator has established a Liquidity Risk Management Oversight Committee (Committee) to perform the functions necessary to administer the Program. As part of the Program, the administrator is responsible for identifying illiquid investments and categorizing the relative liquidity of the Fund’s investments in accordance with the Liquidity Rule. Under the Program, the administrator assesses, manages, and periodically reviews the Fund’s liquidity risk, and is responsible for making certain reports to the Fund’s Board of Trustees/Directors and the Securities and Exchange Commission (SEC) regarding the liquidity of the Fund’s investments, and to notify the Board of Trustees/Directors and the SEC of certain liquidity events specified in the Liquidity Rule. The liquidity of the Fund’s portfolio investments is determined based on a number of factors including, but not limited to, relevant market, trading and investment-specific considerations under the Program.

At a meeting of the Fund’s Board of Trustees/Directors on June 8, 2021, the Committee provided a written report to the Fund’s Board of Trustees/Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2020 through December 31, 2020 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

73

Eaton Vance

Global Macro Absolute Return Fund

October 31, 2021

Management and Organization

Fund Management.  The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Global Macro Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to EV LLC, “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton Vance Distributors, Inc. EV is the trustee of each of EVM and BMR. Effective March 1, 2021, each of EVM, BMR, EVD and EV are indirect, wholly owned subsidiaries of Morgan Stanley. Each officer affiliated with EVM may hold a position with other EVM affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 138 portfolios (with the exception of Messrs. Faust and Wennerholm and Ms. Frost who oversee 137 portfolios) in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.

Name and Year of Birth	Trust/Portfolio Position(s)	Trustee Since(1)	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Interested Trustee
Thomas E. Faust Jr. 1958	Trustee	2007	Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV, Chief Executive Officer of EVM and BMR, and Director of EVD. Formerly, Chairman, Chief Executive Officer and President of EVC. Trustee and/or officer of 137 registered investment companies. Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM, EVD, and EV, which are affiliates of the Trust and Portfolio, and his former position with EVC, which was an affiliate of the Trust and Portfolio prior to March 1, 2021. Other Directorships in the Last Five Years. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021).
Noninterested Trustees
Mark R. Fetting 1954	Trustee	2016	Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships in the Last Five Years. None.
Cynthia E. Frost 1961	Trustee	2014	Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships in the Last Five Years. None.
George J. Gorman 1952	Chairperson of the Board and Trustee	2021 (Chairperson) and 2014 (Trustee)	Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships in the Last Five Years. None.
Valerie A. Mosley 1960	Trustee	2014	Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUP, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships in the Last Five Years. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Groupon, Inc. (e-commerce provider) (since April 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020).

74

Eaton Vance

Global Macro Absolute Return Fund

October 31, 2021

Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Trustee Since(1)	Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience
Noninterested Trustees (continued)
William H. Park 1947	Trustee	2003	Private investor. Formerly, Consultant (management and transactional) (2012-2014). Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (a registered public accounting firm) (1972-1981). Other Directorships in the Last Five Years. None.
Helen Frame Peters 1948	Trustee	2008	Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998). Other Directorships in the Last Five Years. None.
Keith Quinton 1958	Trustee	2018	Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships in the Last Five Years. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank.
Marcus L. Smith 1966	Trustee	2018	Private investor. Formerly, Portfolio Manager at MFS Investment Management (investment management firm) (1994-2017). Other Directorships in the Last Five Years. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018).
Susan J. Sutherland 1957	Trustee	2015	Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships in the Last Five Years. Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (since 2021).
Scott E. Wennerholm 1959	Trustee	2016	Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships in the Last Five Years. None.

Name and Year of Birth	Trust/Portfolio Position(s)	Officer Since(2)	Principal Occupation(s) During Past Five Years
Principal Officers who are not Trustees
Eric A. Stein 1980	President	2020	Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”).
Deidre E. Walsh 1971	Vice President and Chief Legal Officer	2009	Vice President of EVM and BMR. Also Vice President of CRM.
James F. Kirchner 1967	Treasurer	2007	Vice President of EVM and BMR. Also Vice President of CRM.

75

Eaton Vance

Global Macro Absolute Return Fund

October 31, 2021

Management and Organization — continued

Name and Year of Birth	Trust/Portfolio Position(s)	Officer Since(2)	Principal Occupation(s) During Past Five Years
Principal Officers who are not Trustees (continued)
Kimberly M. Roessiger 1985	Secretary	2021	Vice President of EVM and BMR.
Richard F. Froio 1968	Chief Compliance Officer	2017	Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012).

⁽¹⁾  Year first appointed to serve as Trustee for a fund in the Eaton Vance family of funds. Each Trustee has served continuously since appointment unless indicated otherwise.

⁽²⁾  Year first elected to serve as officer of a fund in the Eaton Vance family of funds when the officer has served continuously. Otherwise, year of most recent election as an officer of a fund in the Eaton Vance family of funds. Titles may have changed since initial election.

The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.

76

Eaton Vance Funds

Privacy Notice April 2021

FACTS	WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: ∎   Social Security number and income ∎   investment experience and risk tolerance ∎   checking account number and wire transfer instructions
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Eaton Vance share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness	Yes	Yes
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For our investment management affiliates to market to you	Yes	Yes
For our affiliates to market to you	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

To limit our sharing	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com

77

Eaton Vance Funds

Privacy Notice — continued April 2021

Page 2

Who we are
Who is providing this notice?	Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below)
What we do
How does Eaton Vance protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information.
How does Eaton Vance collect my personal information?	We collect your personal information, for example, when you ∎   open an account or make deposits or withdrawals from your account ∎   buy securities from us or make a wire transfer ∎   give us your contact information We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ∎   sharing for affiliates’ everyday business purposes — information about your creditworthiness ∎   affiliates from using your information to market to you ∎   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.
Definitions
Investment Management Affiliates	Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker-dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎   Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎   Eaton Vance does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎   Eaton Vance doesn’t jointly market.
Other important information
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information. California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us.

78

Eaton Vance Funds

IMPORTANT NOTICES

Delivery of Shareholder Documents.  The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial intermediary.

Portfolio Holdings.  Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov.

Proxy Voting.  From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

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This Page Intentionally Left Blank

Investment Adviser of Global Macro Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance Global Macro Absolute Return Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

State Street Financial Center, One Lincoln Street

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 262-1122

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116-5022

Fund Offices

Two International Place

Boston, MA 02110

* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.

3041    10.31.21

Item 2. Code of Ethics

The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant not has amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.

Item 3. Audit Committee Financial Expert

The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman, William H. Park and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Park is a certified public accountant who is a private investor. Previously, he served as a consultant, as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (a registered public accounting firm). Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).

Item 4. Principal Accountant Fees and Services

(a)-(d)

The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.

Fiscal Years Ended	10/31/20		10/31/21
Audit Fees	$	126,369	$	133,300
Audit-Related Fees(1)	$	0	$	0
Tax Fees(2)	$	47,848	$	40,098
All Other Fees(3)	$	0	$	0
Total	$	174,217	$	173,398

⁽¹⁾  Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees.

⁽²⁾  Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other tax related compliance/planning matters.

⁽³⁾  All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services.

(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.

The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.

(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.

(f) Not applicable.

(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2020 and October 31, 2021; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.

Fiscal Years Ended	10/31/20		10/31/21
Registrant	$	47,848	$	40,098
Eaton Vance(1)	$	51,800	$	51,800

⁽¹⁾  Certain subsidiaries of Morgan Stanley provide ongoing services to the registrant.

(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

No material changes.

Item 11. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1)	Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i)	Treasurer’s Section 302 certification.
(a)(2)(ii)	President’s Section 302 certification.
(b)	Combined Section 906 certification.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Global Macro Portfolio
By:	/s/ Eric A. Stein
	Eric A. Stein
	President

Date: December 23, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ James F. Kirchner
	James F. Kirchner
	Treasurer

Date: December 23, 2021

By:	/s/ Eric A. Stein
	Eric A. Stein
	President

Date: December 23, 2021