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: 811-21323
Eaton Vance Limited Duration Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number)
March 31
Date of Fiscal Year End
September 30, 2020
Date of Reporting Period
Item 1. | Reports to Stockholders |
Eaton Vance
Limited Duration Income Fund (EVV)
Semiannual Report
September 30, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds website (funds.eatonvance.com/closed-end-fund-and-term-trust-documents.php), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you hold shares at the Funds transfer agent, American Stock Transfer & Trust Company, LLC (AST), you may elect to receive shareholder reports and other communications from the Fund electronically by contacting AST. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you hold shares at AST, you can inform AST that you wish to continue receiving paper copies of your shareholder reports by calling 1-866-439-6787. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with AST or to all funds held through your financial intermediary, as applicable.
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (CFTC) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The investment adviser has claimed an exclusion from the definition of commodity pool operator under the Commodity Exchange Act with respect to its management of the Fund. Accordingly, neither the Fund nor the adviser with respect to the operation of the Fund is subject to CFTC regulation. Because of its management of other strategies, the Funds adviser is registered with the CFTC as a commodity pool operator. The adviser is also registered as a commodity trading advisor.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
Semiannual Report September 30, 2020
Eaton Vance
Limited Duration Income Fund
2 | ||||
3 | ||||
4 | ||||
5 | ||||
75 | ||||
79 | ||||
80 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio Managers Payson F. Swaffield, CFA, Catherine C. McDermott, Andrew Szczurowski, CFA, Eric A. Stein, CFA and Kelley G. Baccei
% Average Annual Total Returns | Inception Date | Six Months | One Year | Five Years | Ten Years | |||||||||||||||
Fund at NAV |
05/30/2003 | 18.28 | % | 1.00 | % | 5.64 | % | 5.89 | % | |||||||||||
Fund at Market Price |
| 12.84 | 0.18 | 5.87 | 4.39 | |||||||||||||||
| ||||||||||||||||||||
Blended Index |
| 9.65 | % | 2.40 | % | 4.47 | % | 4.45 | % | |||||||||||
% Premium/Discount to NAV3 | ||||||||||||||||||||
14.25 | % | |||||||||||||||||||
Distributions4 | ||||||||||||||||||||
Total Distributions per share for the period |
$ | 0.600 | ||||||||||||||||||
Distribution Rate at NAV |
9.10 | % | ||||||||||||||||||
Distribution Rate at Market Price |
10.61 | % | ||||||||||||||||||
% Total Leverage5 | ||||||||||||||||||||
Auction Preferred Shares (APS) |
9.19 | % | ||||||||||||||||||
Borrowings |
25.65 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated net of management fees and other expenses by determining the percentage change in net asset value (NAV) or market price (as applicable) with all distributions reinvested in accordance with the Funds Dividend Reinvestment Plan. Performance at market price will differ from performance at NAV due to variations in the Funds market price versus NAV, which may reflect factors such as fluctuations in supply and demand for Fund shares, changes in Fund distributions, shifting market expectations for the Funds future returns and distribution rates, and other considerations affecting the trading prices of closed-end funds. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to eatonvance.com.
2 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
MBS refers to Mortgage-Backed Securities
See Endnotes and Additional Disclosures in this report.
3 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Endnotes and Additional Disclosures
4 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited)
5 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
6 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
7 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
8 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
9 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
10 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
11 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
12 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
13 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
14 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
15 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
16 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
17 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
18 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
19 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
20 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
21 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
22 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
23 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
24 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
25 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
26 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
27 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
28 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
29 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
30 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
31 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
32 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
33 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
34 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
35 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
36 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
37 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
38 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
39 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
40 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
41 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
42 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
43 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
44 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
45 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
46 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
47 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
48 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Centrally Cleared Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Currency Purchased | Currency Sold | Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||
EUR | 4,641,043 | USD | 5,442,319 | 10/2/20 | $ | (929 | ) | |||||||||
USD | 5,554,019 | EUR | 4,641,043 | 10/2/20 | 112,628 | |||||||||||
USD | 5,445,765 | EUR | 4,641,043 | 11/3/20 | 782 | |||||||||||
$ | 112,481 |
49 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EUR | 401,200 | USD | 470,118 | State Street Bank and Trust Company | 10/1/20 | $ | 269 | $ | | |||||||||||||||
EUR | 4,641,043 | USD | 5,442,319 | BNP Paribas | 10/2/20 | | (929 | ) | ||||||||||||||||
EUR | 28,169,930 | USD | 33,033,468 | Standard Chartered Bank | 10/2/20 | | (5,640 | ) | ||||||||||||||||
USD | 5,442,319 | EUR | 4,641,043 | BNP Paribas | 10/2/20 | 929 | | |||||||||||||||||
USD | 33,711,689 | EUR | 28,169,930 | Standard Chartered Bank | 10/2/20 | 683,861 | | |||||||||||||||||
EUR | 84,328 | USD | 99,663 | Bank of America, N.A. | 10/30/20 | | (735 | ) | ||||||||||||||||
EUR | 883,235 | USD | 1,031,134 | Citibank, N.A. | 10/30/20 | 5,013 | | |||||||||||||||||
EUR | 94,094 | USD | 110,637 | Citibank, N.A. | 10/30/20 | | (253 | ) | ||||||||||||||||
EUR | 100,396 | USD | 118,037 | Citibank, N.A. | 10/30/20 | | (260 | ) | ||||||||||||||||
EUR | 113,036 | USD | 133,805 | JPMorgan Chase Bank, N.A. | 10/30/20 | | (1,200 | ) | ||||||||||||||||
GBP | 90,948 | USD | 116,336 | Bank of America, N.A. | 10/30/20 | 1,036 | | |||||||||||||||||
GBP | 332,652 | USD | 434,196 | Bank of America, N.A. | 10/30/20 | | (4,896 | ) | ||||||||||||||||
GBP | 78,047 | USD | 100,049 | HSBC Bank USA, N.A. | 10/30/20 | 673 | | |||||||||||||||||
GBP | 111,760 | USD | 141,977 | State Street Bank and Trust Company | 10/30/20 | 2,254 | | |||||||||||||||||
GBP | 2,754 | USD | 3,499 | State Street Bank and Trust Company | 10/30/20 | 56 | | |||||||||||||||||
USD | 8,061,851 | EUR | 6,834,197 | Bank of America, N.A. | 10/30/20 | 44,468 | | |||||||||||||||||
USD | 3,116,909 | EUR | 2,642,268 | Bank of America, N.A. | 10/30/20 | 17,193 | | |||||||||||||||||
USD | 157,472 | EUR | 135,000 | Bank of America, N.A. | 10/30/20 | | (900 | ) | ||||||||||||||||
USD | 4,029,453 | EUR | 3,417,099 | Citibank, N.A. | 10/30/20 | 20,762 | | |||||||||||||||||
USD | 1,557,885 | EUR | 1,321,134 | Citibank, N.A. | 10/30/20 | 8,027 | | |||||||||||||||||
USD | 4,510,535 | EUR | 3,824,905 | Goldman Sachs International | 10/30/20 | 23,434 | | |||||||||||||||||
USD | 1,743,883 | EUR | 1,478,802 | Goldman Sachs International | 10/30/20 | 9,060 | | |||||||||||||||||
USD | 27,442,412 | EUR | 23,509,325 | Goldman Sachs International | 10/30/20 | | (137,018 | ) | ||||||||||||||||
USD | 8,059,269 | EUR | 6,834,197 | State Street Bank and Trust Company | 10/30/20 | 41,886 | | |||||||||||||||||
USD | 1,780,751 | EUR | 1,500,000 | State Street Bank and Trust Company | 10/30/20 | 21,060 | | |||||||||||||||||
USD | 3,115,911 | EUR | 2,642,268 | State Street Bank and Trust Company | 10/30/20 | 16,194 | | |||||||||||||||||
USD | 1,180,250 | EUR | 1,000,000 | State Street Bank and Trust Company | 10/30/20 | 7,123 | | |||||||||||||||||
USD | 870,495 | EUR | 737,317 | State Street Bank and Trust Company | 10/30/20 | 5,528 | | |||||||||||||||||
USD | 433,225 | EUR | 365,004 | State Street Bank and Trust Company | 10/30/20 | 5,029 | | |||||||||||||||||
USD | 473,741 | EUR | 400,000 | State Street Bank and Trust Company | 10/30/20 | 4,490 | | |||||||||||||||||
USD | 355,769 | EUR | 300,000 | State Street Bank and Trust Company | 10/30/20 | 3,830 | | |||||||||||||||||
USD | 112,853 | EUR | 95,054 | State Street Bank and Trust Company | 10/30/20 | 1,343 | | |||||||||||||||||
USD | 118,587 | EUR | 100,000 | State Street Bank and Trust Company | 10/30/20 | 1,275 | | |||||||||||||||||
USD | 116,789 | EUR | 98,871 | State Street Bank and Trust Company | 10/30/20 | 801 | | |||||||||||||||||
USD | 63,329 | EUR | 53,640 | State Street Bank and Trust Company | 10/30/20 | 403 | | |||||||||||||||||
USD | 117,327 | EUR | 100,000 | State Street Bank and Trust Company | 10/30/20 | 14 | | |||||||||||||||||
USD | 470,166 | EUR | 401,003 | State Street Bank and Trust Company | 10/30/20 | | (261 | ) | ||||||||||||||||
USD | 1,896,445 | EUR | 1,623,780 | State Street Bank and Trust Company | 10/30/20 | | (8,456 | ) | ||||||||||||||||
USD | 2,080,001 | EUR | 1,780,945 | State Street Bank and Trust Company | 10/30/20 | | (9,274 | ) | ||||||||||||||||
USD | 3,283,138 | GBP | 2,530,000 | Bank of America, N.A. | 10/30/20 | 18,077 | | |||||||||||||||||
USD | 189,462 | GBP | 146,000 | Bank of America, N.A. | 10/30/20 | 1,043 | | |||||||||||||||||
USD | 3,188,635 | GBP | 2,456,982 | Citibank, N.A. | 10/30/20 | 17,806 | | |||||||||||||||||
USD | 183,786 | GBP | 141,615 | Citibank, N.A. | 10/30/20 | 1,026 | | |||||||||||||||||
USD | 33,054,616 | EUR | 28,169,930 | Standard Chartered Bank | 11/3/20 | 4,976 | | |||||||||||||||||
EUR | 211,179 | USD | 250,801 | State Street Bank and Trust Company | 11/30/20 | | (2,902 | ) |
50 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 32,446,144 | EUR | 27,424,661 | HSBC Bank USA, N.A. | 11/30/20 | $ | 252,853 | $ | | |||||||||||||||
USD | 1,812,147 | EUR | 1,530,250 | State Street Bank and Trust Company | 11/30/20 | 15,815 | | |||||||||||||||||
USD | 3,869,894 | GBP | 2,930,197 | State Street Bank and Trust Company | 11/30/20 | 87,836 | | |||||||||||||||||
$ | 1,325,443 | $ | (172,724 | ) |
Futures Contracts | ||||||||||||||||||||
Description | Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Interest Rate Futures |
||||||||||||||||||||
U.S. 10-Year Treasury Note | 176 | Long | 12/21/20 | $ | 24,557,500 | $ | 64,203 | |||||||||||||
5-Year USD Deliverable Interest Rate Swap | (4 | ) | Short | 12/14/20 | (412,594 | ) | 156 | |||||||||||||
10-Year USD Deliverable Interest Rate Swap | (4 | ) | Short | 12/14/20 | (410,063 | ) | 938 | |||||||||||||
Euro-Bobl | (11 | ) | Short | 12/8/20 | (1,743,280 | ) | (950 | ) | ||||||||||||
Euro-Bund | (3 | ) | Short | 12/8/20 | (613,848 | ) | (1,161 | ) | ||||||||||||
Euro-Buxl | (2 | ) | Short | 12/8/20 | (522,162 | ) | (6,331 | ) | ||||||||||||
U.S. 5-Year Treasury Note | (2 | ) | Short | 12/31/20 | (252,062 | ) | 141 | |||||||||||||
U.S. Long Treasury Bond | (10 | ) | Short | 12/21/20 | (1,762,813 | ) | (8,752 | ) | ||||||||||||
$ | 48,244 |
Centrally Cleared Interest Rate Swaps | ||||||||||||||||||||||||||
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 950 | Receives | 6-month EURIBOR (pays semi-annually) | (0.53)% (pays annually) | 8/22/24 | $ | 3,290 | $ | | $ | 3,290 | |||||||||||||||
EUR | 246 | Receives | 6-month EURIBOR (pays semi-annually) | 0.37% (pays annually) |
2/12/50 | (33,774 | ) | | (33,774 | ) | ||||||||||||||||
EUR | 207 | Receives | 6-month EURIBOR (pays semi-annually) | 0.38% (pays annually) |
2/13/50 | (28,912 | ) | 3 | (28,909 | ) | ||||||||||||||||
EUR | 242 | Receives | 6-month EURIBOR (pays semi-annually) | 0.39% (pays annually) |
2/13/50 | (34,426 | ) | | (34,426 | ) | ||||||||||||||||
EUR | 1,500 | Receives | 6-month EURIBOR (pays semi-annually) | 0.26% (pays annually) |
2/25/50 | (146,044 | ) | | (146,044 | ) | ||||||||||||||||
EUR | 260 | Receives | 6-month EURIBOR (pays semi-annually) | 0.21% (pays annually) |
2/26/50 | (20,497 | ) | (2 | ) | (20,499 | ) | |||||||||||||||
EUR | 681 | Receives | 6-month EURIBOR (pays semi-annually) | 0.12% (pays annually) |
6/8/50 | (32,695 | ) | | (32,695 | ) | ||||||||||||||||
USD | 760 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.93% (pays semi-annually) |
11/3/20 | (6,834 | ) | | (6,834 | ) | ||||||||||||||||
USD | 100 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.96% (pays semi-annually) |
11/17/20 | (906 | ) | (12 | ) | (918 | ) |
51 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||||
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 2,680 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.55% (pays semi-annually) |
3/12/23 | $ | (21,139 | ) | $ | | $ | (21,139 | ) | |||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.49% (pays semi-annually) |
1/28/25 | (10,644 | ) | | (10,644 | ) | ||||||||||||||||
USD | 461 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.46% (pays semi-annually) |
1/30/25 | (23,963 | ) | | (23,963 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.41% (pays semi-annually) |
2/3/25 | (39,749 | ) | | (39,749 | ) | ||||||||||||||||
USD | 260 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.44% (pays semi-annually) |
2/18/25 | (13,162 | ) | | (13,162 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.16% (pays semi-annually) |
2/28/25 | (7,674 | ) | | (7,674 | ) | ||||||||||||||||
USD | 120 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.83% (pays semi-annually) |
3/5/25 | (2,801 | ) | | (2,801 | ) | ||||||||||||||||
USD | 850 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.43% (pays semi-annually) |
4/30/25 | (5,353 | ) | | (5,353 | ) | ||||||||||||||||
USD | 562 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.33% (pays semi-annually) |
5/12/25 | (890 | ) | | (890 | ) | ||||||||||||||||
USD | 150 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.34% (pays semi-annually) |
5/15/25 | (281 | ) | | (281 | ) | ||||||||||||||||
USD | 140 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.34% (pays semi-annually) |
5/19/25 | (221 | ) | | (221 | ) | ||||||||||||||||
USD | 452 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.39% (pays semi-annually) |
6/19/25 | (1,845 | ) | | (1,845 | ) | ||||||||||||||||
USD | 2,240 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.74% (pays semi-annually) |
12/16/26 | (191,269 | ) | | (191,269 | ) | ||||||||||||||||
USD | 1,700 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.57% (pays semi-annually) |
4/17/27 | (15,648 | ) | | (15,648 | ) | ||||||||||||||||
USD | 5,222 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.09% (pays semi-annually) |
7/15/29 | (675,256 | ) | 1,558 | (673,698 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.76% (pays semi-annually) |
12/12/29 | (83,882 | ) | | (83,882 | ) | ||||||||||||||||
USD | 570 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.80% (pays semi-annually) |
4/15/30 | (8,249 | ) | | (8,249 | ) | ||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.60% (pays semi-annually) |
5/12/30 | 2,755 | | 2,755 | ||||||||||||||||||
USD | 163 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.67% (pays semi-annually) |
5/26/30 | (75 | ) | | (75 | ) | ||||||||||||||||
USD | 173 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.69% (pays semi-annually) |
6/1/30 | (506 | ) | | (506 | ) | ||||||||||||||||
USD | 1,850 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.66% (pays semi-annually) |
6/2/30 | 1,067 | | 1,067 | ||||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.80% (pays semi-annually) |
6/11/30 | (6,364 | ) | | (6,364 | ) | ||||||||||||||||
USD | 68 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.77% (pays semi-annually) |
6/12/30 | (703 | ) | | (703 | ) | ||||||||||||||||
USD | 375 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.69% (pays semi-annually) |
6/16/30 | (857 | ) | | (857 | ) |
52 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Centrally Cleared Interest Rate Swaps (continued) | ||||||||||||||||||||||||||
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate | Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 313 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.74% (pays semi-annually) |
6/18/30 | $ | (2,135 | ) | $ | | $ | (2,135 | ) | |||||||||||||
USD | 634 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.72% (pays semi-annually) |
6/19/30 | (3,427 | ) | | (3,427 | ) | ||||||||||||||||
USD | 43 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.67% (pays semi-annually) |
6/26/30 | 2 | | 2 | ||||||||||||||||||
USD | 1,280 | Receives | 3-month USD-LIBOR (pays quarterly) | 2.88% (pays semi-annually) |
1/31/49 | (563,399 | ) | (636 | ) | (564,035 | ) | |||||||||||||||
USD | 128 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.71% (pays semi-annually) |
8/27/49 | (19,392 | ) | | (19,392 | ) | ||||||||||||||||
USD | 148 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.70% (pays semi-annually) |
8/27/49 | (22,011 | ) | | (22,011 | ) | ||||||||||||||||
USD | 160 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.65% (pays semi-annually) |
8/28/49 | (21,553 | ) | | (21,553 | ) | ||||||||||||||||
USD | 85 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.54% (pays semi-annually) |
8/30/49 | (9,106 | ) | | (9,106 | ) | ||||||||||||||||
USD | 88 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.70% (pays semi-annually) |
9/12/49 | (12,943 | ) | | (12,943 | ) | ||||||||||||||||
USD | 1,400 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.87% (pays semi-annually) |
10/25/49 | (277,304 | ) | | (277,304 | ) | ||||||||||||||||
USD | 92 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.82% (pays semi-annually) |
12/6/49 | (16,361 | ) | | (16,361 | ) | ||||||||||||||||
USD | 91 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.81% (pays semi-annually) |
12/6/49 | (16,049 | ) | | (16,049 | ) | ||||||||||||||||
USD | 19 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.94% (pays semi-annually) |
1/9/50 | (4,080 | ) | | (4,080 | ) | ||||||||||||||||
USD | 210 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.79% (pays semi-annually) |
4/23/50 | 16,824 | | 16,824 | ||||||||||||||||||
USD | 1,650 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.96% (pays semi-annually) |
6/2/50 | 61,579 | | 61,579 | ||||||||||||||||||
USD | 383 | Receives | 3-month USD-LIBOR (pays quarterly) | 1.10% (pays semi-annually) |
6/11/50 | 302 | | 302 | ||||||||||||||||||
USD | 347 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.93% (pays semi-annually) |
6/15/50 | 15,793 | | 15,793 | ||||||||||||||||||
USD | 316 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.93% (pays semi-annually) |
6/15/50 | 14,752 | | 14,752 | ||||||||||||||||||
USD | 121 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.97% (pays semi-annually) |
6/16/50 | 4,262 | | 4,262 | ||||||||||||||||||
USD | 280 | Receives | 3-month USD-LIBOR (pays quarterly) | 0.97% (pays semi-annually) | 6/17/50 | 9,694 | | 9,694 | ||||||||||||||||||
Total |
$ | (2,252,059 | ) | $ | 911 | $ | (2,251,148 | ) |
53 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Centrally Cleared Credit Default Swaps Sell Protection | ||||||||||||||||||||||||||||
Reference Entity | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Brazil | $ | 950 | 1.00% (pays quarterly)(1) |
12/20/25 | 2.43 | % | $ | (66,944 | ) | $ | 53,020 | $ | (13,924 | ) | ||||||||||||||
Colombia | 3,725 | 1.00% (pays quarterly)(1) |
12/20/25 | 1.48 | (90,556 | ) | 60,446 | (30,110 | ) | |||||||||||||||||||
Indonesia | 3,750 | 1.00% (pays quarterly)(1) |
12/20/25 | 1.14 | (26,735 | ) | | (26,735 | ) | |||||||||||||||||||
Philippines | 3,100 | 1.00% (pays quarterly)(1) |
12/20/25 | 0.55 | 73,463 | (78,697 | ) | (5,234 | ) | |||||||||||||||||||
South Africa | 1,840 | 1.00% (pays quarterly)(1) |
6/20/21 | 1.27 | (3,083 | ) | 15,851 | 12,768 | ||||||||||||||||||||
Turkey | 3,196 | 1.00% (pays quarterly)(1) |
6/20/21 | 3.89 | (65,267 | ) | 110,177 | 44,910 | ||||||||||||||||||||
Turkey | 2,400 | 1.00% (pays quarterly)(1) |
6/20/25 | 5.25 | (416,559 | ) | 405,534 | (11,025 | ) | |||||||||||||||||||
Total |
$ | 18,961 | $ | (595,681 | ) | $ | 566,331 | $ | (29,350 | ) |
Credit Default Swaps Sell Protection | ||||||||||||||||||||||||||||
Reference Entity | Counterparty | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,150 | 1.00% (pays quarterly)(1) |
6/20/22 | 7.06 | % | $ | (111,399 | ) | $ | 35,509 | $ | (75,890 | ) | |||||||||||||
Brazil | Citibank, N.A. | 2,450 | 1.00% (pays quarterly)(1) |
12/20/30 | 3.12 | (443,931 | ) | 377,995 | (65,936 | ) | ||||||||||||||||||
Mexico | Citibank, N.A. | 2,640 | 1.00% (pays quarterly)(1) |
12/20/30 | 2.11 | (266,197 | ) | 220,566 | (45,631 | ) | ||||||||||||||||||
Mexico | |
Goldman Sachs International |
|
2,385 | 1.00% (pays quarterly)(1) |
12/20/30 | 2.11 | (240,485 | ) | 187,263 | (53,222 | ) | ||||||||||||||||
Total |
$ | 8,625 | $ | (1,062,012 | ) | $ | 821,333 | $ | (240,679 | ) |
* | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At September 30, 2020, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $27,586,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
54 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Portfolio of Investments (Unaudited) continued
Abbreviations:
CMT | | Constant Maturity Treasury | ||
COF | | Cost of Funds 11th District | ||
DIP | | Debtor In Possession | ||
EURIBOR | | Euro Interbank Offered Rate | ||
GDP | | Gross Domestic Product | ||
LIBOR | | London Interbank Offered Rate | ||
PIK | | Payment In Kind |
Currency Abbreviations:
EUR | | Euro | ||
GBP | | British Pound Sterling | ||
USD | | United States Dollar |
55 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Statement of Assets and Liabilities (Unaudited)
Assets | September 30, 2020 | |||
Unaffiliated investments, at value (identified cost, $2,410,333,499) |
$ | 2,337,054,301 | ||
Affiliated investment, at value (identified cost, $34,303,791) |
34,303,854 | |||
Cash |
6,498,809 | |||
Deposits for derivatives collateral |
||||
Financial futures contracts |
272,734 | |||
Centrally cleared derivatives |
6,746,482 | |||
OTC derivatives |
1,272,500 | |||
Deposits for reverse repurchase agreements |
2,762,942 | |||
Foreign currency, at value (identified cost, $1,031,498) |
1,070,811 | |||
Interest and dividends receivable |
18,961,284 | |||
Dividends receivable from affiliated investment |
4,399 | |||
Receivable for investments sold |
6,567,544 | |||
Receivable for variation margin on open centrally cleared derivatives |
246,123 | |||
Receivable for open forward foreign currency exchange contracts |
1,325,443 | |||
Tax reclaims receivable |
7,056 | |||
Prepaid upfront fees on notes payable |
633,915 | |||
Prepaid expenses |
38,657 | |||
Total assets |
$ | 2,417,766,854 | ||
Liabilities | ||||
Notes payable |
$ | 550,000,000 | ||
Cash collateral due to brokers |
970,000 | |||
Payable for reverse repurchase agreements, including accrued interest of $2,310 |
53,046,548 | |||
Payable for investments purchased |
54,088,608 | |||
Payable for when-issued securities |
7,462,620 | |||
Payable for variation margin on open financial futures contracts |
27,336 | |||
Payable for open forward foreign currency exchange contracts |
172,724 | |||
Payable for open swap contracts |
240,679 | |||
Upfront receipts on open non-centrally cleared swap contracts |
821,333 | |||
Payable to affiliate: |
||||
Investment adviser fee |
1,462,690 | |||
Accrued expenses |
1,493,977 | |||
Total liabilities |
$ | 669,786,515 | ||
Auction preferred shares (8,640 shares outstanding) at liquidation value plus cumulative unpaid dividends |
$ | 216,003,009 | ||
Net assets applicable to common shares |
$ | 1,531,977,330 | ||
Sources of Net Assets | ||||
Common shares, $0.01 par value, unlimited number of shares authorized, 116,147,018 shares issued and outstanding |
$ | 1,161,470 | ||
Additional paid-in capital |
1,790,375,350 | |||
Accumulated loss |
(259,559,490 | ) | ||
Net assets applicable to common shares |
$ | 1,531,977,330 | ||
Net Asset Value Per Common Share | ||||
($1,531,977,330 ÷ 116,147,018 common shares issued and outstanding) |
$ | 13.19 |
56 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Statement of Operations (Unaudited)
Investment Income | Six Months Ended September 30, 2020 |
|||
Interest and other income (net of foreign taxes, $101) |
$ | 51,898,337 | ||
Dividends |
1,069,816 | |||
Dividends from affiliated investment |
48,198 | |||
Total investment income |
$ | 53,016,351 | ||
Expenses | ||||
Investment adviser fee |
$ | 8,641,426 | ||
Trustees fees and expenses |
54,250 | |||
Custodian fee |
274,544 | |||
Transfer and dividend disbursing agent fees |
9,320 | |||
Legal and accounting services |
424,992 | |||
Printing and postage |
98,040 | |||
Interest expense and fees |
4,450,449 | |||
Preferred shares service fee |
113,612 | |||
Miscellaneous |
92,704 | |||
Total expenses |
$ | 14,159,337 | ||
Net investment income |
$ | 38,857,014 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) |
||||
Investment transactions |
$ | (19,503,756 | ) | |
Investment transactions affiliated investment |
14,228 | |||
Financial futures contracts |
4,962,647 | |||
Swap contracts |
(1,201,215 | ) | ||
Foreign currency transactions |
211,503 | |||
Forward foreign currency exchange contracts |
(9,017,423 | ) | ||
Net realized loss |
$ | (24,534,016 | ) | |
Change in unrealized appreciation (depreciation) |
||||
Investments |
$ | 225,114,753 | ||
Investments affiliated investment |
(342 | ) | ||
Financial futures contracts |
(4,692,540 | ) | ||
Swap contracts |
1,812,452 | |||
Foreign currency |
(271,199 | ) | ||
Forward foreign currency exchange contracts |
891,809 | |||
Net change in unrealized appreciation (depreciation) |
$ | 222,854,933 | ||
Net realized and unrealized gain |
$ | 198,320,917 | ||
Distributions to preferred shareholders |
$ | (709,329 | ) | |
Net increase in net assets from operations |
$ | 236,468,602 |
57 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2020 (Unaudited) |
Year Ended March 31, 2020 |
||||||
From operations |
||||||||
Net investment income |
$ | 38,857,014 | $ | 88,499,011 | ||||
Net realized loss |
(24,534,016 | ) | (21,565,589 | ) | ||||
Net change in unrealized appreciation (depreciation) |
222,854,933 | (255,637,607 | ) | |||||
Distributions to preferred shareholders |
(709,329 | ) | (6,436,406 | ) | ||||
Net increase (decrease) in net assets from operations |
$ | 236,468,602 | $ | (195,140,591 | ) | |||
Distributions to common shareholders |
$ | (69,688,211 | ) | $ | (97,429,716 | ) | ||
Tax return of capital to common shareholders |
$ | | $ | (20,691,801 | ) | |||
Net increase (decrease) in net assets |
$ | 166,780,391 | $ | (313,262,108 | ) | |||
Net Assets Applicable to Common Shares | ||||||||
At beginning of period |
$ | 1,365,196,939 | $ | 1,678,459,047 | ||||
At end of period |
$ | 1,531,977,330 | $ | 1,365,196,939 |
58 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Statement of Cash Flows (Unaudited)
Cash Flows From Operating Activities | Six Months Ended September 30, 2020 |
|||
Net increase in net assets from operations |
$ | 236,468,602 | ||
Distributions to preferred shareholders |
709,329 | |||
Net increase in net assets from operations excluding distributions to preferred shareholders |
$ | 237,177,931 | ||
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: |
||||
Investments purchased |
(541,221,547 | ) | ||
Investments sold and principal repayments |
555,247,218 | |||
Increase in short-term investments, net |
(9,628,392 | ) | ||
Net amortization/accretion of premium (discount) |
11,829,807 | |||
Amortization of prepaid upfront fees on notes payable |
261,082 | |||
Decrease in interest and dividends receivable |
2,129,061 | |||
Decrease in dividends receivable from affiliated investment |
31,528 | |||
Decrease in receivable for variation margin on open centrally cleared derivatives |
313,240 | |||
Increase in receivable for open forward foreign currency exchange contracts |
(267,683 | ) | ||
Increase in tax reclaims receivable |
(1,665 | ) | ||
Decrease in prepaid expenses |
14,557 | |||
Increase in cash collateral due to brokers |
640,000 | |||
Decrease in payable for variation margin on open financial futures contracts |
(645,267 | ) | ||
Decrease in payable for open forward foreign currency exchange contracts |
(367,681 | ) | ||
Increase in payable for open swap contracts |
229,021 | |||
Increase in upfront receipts on open non-centrally cleared swap contracts |
775,461 | |||
Decrease in payable to affiliate for investment adviser fee |
(92,564 | ) | ||
Decrease in accrued expenses |
(1,090,848 | ) | ||
Decrease in accrued interest on reverse repurchase agreements |
(21,095 | ) | ||
Increase in unfunded loan commitments |
440,619 | |||
Net change in unrealized (appreciation) depreciation from investments |
(225,114,411 | ) | ||
Net realized loss from investments |
19,489,528 | |||
Net cash provided by operating activities |
$ | 50,127,900 | ||
Cash Flows From Financing Activities | ||||
Cash distributions paid to common shareholders |
$ | (69,688,211 | ) | |
Cash distributions paid to preferred shareholders |
(778,222 | ) | ||
Proceeds from notes payable |
135,000,000 | |||
Repayments of notes payable |
(110,000,000 | ) | ||
Repayments of reverse repurchase agreements, net |
(13,435,918 | ) | ||
Net cash used in financing activities |
$ | (58,902,351 | ) | |
Net decrease in cash and restricted cash* |
$ | (8,774,451 | ) | |
Cash and restricted cash at beginning of period (including foreign currency) |
$ | 27,398,729 | ||
Cash and restricted cash at end of period (including foreign currency) |
$ | 18,624,278 | ||
Supplemental disclosure of cash flow information: | ||||
Cash paid for interest and fees on borrowings and reverse repurchase agreements |
$ | 4,776,808 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $157. |
59 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Statement of Cash Flows (Unaudited) continued
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the Statement of Cash Flows.
September 30, 2020 | ||||
Cash |
$ | 6,498,809 | ||
Deposits for derivatives collateral |
||||
Financial futures contracts |
272,734 | |||
Centrally cleared derivatives |
6,746,482 | |||
OTC derivatives |
1,272,500 | |||
Deposits for reverse repurchase agreements |
2,762,942 | |||
Foreign currency |
1,070,811 | |||
Total cash and restricted cash as shown on the Statement of Cash Flows |
$ | 18,624,278 |
60 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Financial Highlights
Selected data for a common share outstanding during the periods stated
Six Months Ended September 30, 2020 (Unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Net asset value Beginning of period (Common shares) |
$ | 11.750 | $ | 14.450 | $ | 14.740 | $ | 15.110 | $ | 14.510 | $ | 16.010 | ||||||||||||
Income (Loss) From Operations | ||||||||||||||||||||||||
Net investment income(1) |
$ | 0.335 | $ | 0.762 | $ | 0.826 | $ | 0.808 | $ | 0.899 | $ | 0.979 | ||||||||||||
Net realized and unrealized gain (loss) |
1.711 | (2.390 | ) | (0.267 | ) | (0.168 | ) | 0.834 | (1.278 | ) | ||||||||||||||
Distributions to preferred shareholders |
||||||||||||||||||||||||
From net investment income(1) |
(0.006 | ) | (0.055 | ) | (0.066 | ) | (0.043 | ) | (0.018 | ) | (0.007 | ) | ||||||||||||
Discount on redemption and repurchase of auction preferred shares(1) |
| | 0.035 | | | | ||||||||||||||||||
Total income (loss) from operations |
$ | 2.040 | $ | (1.683 | ) | $ | 0.528 | $ | 0.597 | $ | 1.715 | $ | (0.306 | ) | ||||||||||
Less Distributions to Common Shareholders | ||||||||||||||||||||||||
From net investment income |
$ | (0.600 | ) | $ | (0.839 | ) | $ | (0.818 | ) | $ | (0.818 | ) | $ | (0.991 | ) | $ | (1.114 | ) | ||||||
Tax return of capital |
| (0.178 | ) | | (0.149 | ) | (0.124 | ) | (0.106 | ) | ||||||||||||||
Total distributions to common shareholders |
$ | (0.600 | ) | $ | (1.017 | ) | $ | (0.818 | ) | $ | (0.967 | ) | $ | (1.115 | ) | $ | (1.220 | ) | ||||||
Anti-dilutive effect of share repurchase program (see Note 6)(1) |
$ | | $ | | $ | | $ | | $ | | $ | 0.026 | ||||||||||||
Net asset value End of period (Common shares) |
$ | 13.190 | $ | 11.750 | $ | 14.450 | $ | 14.740 | $ | 15.110 | $ | 14.510 | ||||||||||||
Market value End of period (Common shares) |
$ | 11.310 | $ | 10.570 | $ | 12.650 | $ | 13.020 | $ | 13.830 | $ | 13.180 | ||||||||||||
Total Investment Return on Net Asset Value(2) |
18.28 | %(3) | (11.69 | )% | 4.57 | %(4) | 4.72 | % | 12.99 | % | (0.62 | )% | ||||||||||||
Total Investment Return on Market Value(2) |
12.84 | %(3) | (9.33 | )% | 3.70 | % | 0.99 | % | 13.85 | % | 0.44 | % |
61 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Financial Highlights continued
Selected data for a common share outstanding during the periods stated
Six Months Ended September 30, 2020 (Unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
Ratios/Supplemental Data | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net assets applicable to common shares, end of period (000s omitted) |
$ | 1,531,977 | $ | 1,365,197 | $ | 1,678,459 | $ | 1,712,583 | $ | 1,755,135 | $ | 1,685,016 | ||||||||||||
Ratios (as a percentage of average daily net assets applicable to common shares):(5) |
||||||||||||||||||||||||
Expenses excluding interest and fees(6) |
1.30 | %(7) | 1.29 | % | 1.31 | % | 1.30 | % | 1.32 | % | 1.37 | % | ||||||||||||
Interest and fee expense(8) |
0.60 | %(7) | 1.33 | % | 1.43 | % | 1.00 | % | 0.73 | % | 0.63 | % | ||||||||||||
Total expenses(6) |
1.90 | %(7) | 2.62 | % | 2.74 | % | 2.30 | % | 2.05 | % | 2.00 | % | ||||||||||||
Net investment income |
5.20 | %(7) | 5.33 | % | 5.71 | % | 5.36 | % | 6.01 | % | 6.49 | % | ||||||||||||
Portfolio Turnover |
25 | %(3) | 49 | % | 34 | % | 43 | % | 45 | % | 33 | % | ||||||||||||
Senior Securities: |
||||||||||||||||||||||||
Total notes payable outstanding (in 000s) |
$ | 550,000 | $ | 525,000 | $ | 595,000 | $ | 663,000 | $ | 585,000 | $ | 660,000 | ||||||||||||
Asset coverage per $1,000 of notes payable(9) |
$ | 4,178 | $ | 4,012 | $ | 4,184 | $ | 3,985 | $ | 4,456 | $ | 3,957 | ||||||||||||
Total preferred shares outstanding |
8,640 | 8,640 | 8,640 | 10,665 | 10,665 | 10,665 | ||||||||||||||||||
Asset coverage per preferred share(10) |
$ | 74,999 | $ | 71,062 | $ | 76,744 | $ | 71,059 | $ | 76,524 | $ | 70,461 | ||||||||||||
Involuntary liquidation preference per preferred share(11) |
$ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | ||||||||||||
Approximate market value per preferred share(11) |
$ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 | $ | 25,000 |
(1) | Computed using average common shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Funds dividend reinvestment plan. |
(3) | Not annualized. |
(4) | The total return based on net asset value reflects the impact of the tender and repurchase by the Fund of a portion of its Auction Preferred Shares at 92% of the per share liquidation preference. Absent this transaction, the total return based on net asset value would have been 4.31%. |
(5) | Ratios do not reflect the effect of dividend payments to preferred shareholders. |
(6) | Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian. |
(7) | Annualized. |
(8) | Interest and fee expense relates to the notes payable, a portion of which was incurred to partially redeem the Funds Auction Preferred Shares (see Note 2), and the reverse repurchase agreements (see Note 10). |
(9) | Calculated by subtracting the Funds total liabilities (not including the notes payable and preferred shares) from the Funds total assets, and dividing the result by the notes payable balance in thousands. |
(10) | Calculated by subtracting the Funds total liabilities (not including the notes payable and preferred shares) from the Funds total assets, dividing the result by the sum of the value of the notes payable and liquidation value of the preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 300%, 284%, 307%, 284%, 306% and 282% at September 30, 2020 and March 31, 2020, 2019, 2018, 2017 and 2016, respectively. |
(11) | Plus accumulated and unpaid dividends. |
| Ratios based on net assets applicable to common shares plus preferred shares and borrowings are presented below. Ratios do not reflect the effect of dividend payments to preferred shareholders and exclude the effect of custody fee credits, if any. Ratios for periods less than one year are annualized. |
Six Months Ended September 30, 2020 (Unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Expenses excluding interest and fees |
0.86 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.87 | % | 0.88 | % | ||||||||||||
Interest and fee expense |
0.40 | % | 0.89 | % | 0.95 | % | 0.67 | % | 0.49 | % | 0.40 | % | ||||||||||||
Total expenses |
1.26 | % | 1.75 | % | 1.82 | % | 1.54 | % | 1.36 | % | 1.28 | % | ||||||||||||
Net investment income |
3.45 | % | 3.57 | % | 3.79 | % | 3.58 | % | 3.99 | % | 4.15 | % |
62 | See Notes to Financial Statements. |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Eaton Vance Limited Duration Income Fund (the Fund) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Funds primary investment objective is to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent it is consistent with its primary objective.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation The following methodologies are used to determine the market value or fair value of investments.
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. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrowers outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrowers assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment advisers Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
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.
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 Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that uses various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events.
Derivatives. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average 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 Funds 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. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Funds Trustees have approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities.
63 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
Affiliated Fund. The Fund 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 Fund in a manner that most fairly reflects the securitys fair value, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the securitys disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the companys or entitys financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Withholding taxes on foreign interest have been provided for in accordance with the Funds understanding of the applicable countries tax rules and rates. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
D Federal Taxes The Funds policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary.
As of September 30, 2020, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
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 Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrowers discretion. These commitments are disclosed in the accompanying Portfolio of Investments. At September 30, 2020, the Fund had sufficient cash and/or securities to cover these commitments.
G Use of Estimates The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications Under the Funds organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Fund) could be deemed to have personal liability for the obligations of the Fund. However, the Funds Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Fund shall assume, upon request by the shareholder, the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Financial Futures Contracts Upon entering into a financial futures contract, the Fund 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 Fund each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Fund. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the financial 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.
64 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
J Forward Foreign Currency Exchange Contracts The Fund 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 Fund and a counterparty, certain contracts may be centrally cleared, whereby all payments made or received by the Fund 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 Fund 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. Risks may arise upon entering forward foreign currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. In the case of centrally cleared contracts, counterparty risk is minimal due to protections provided by the CCP.
K Interest Rate Swaps Pursuant to interest rate swap agreements, the Fund 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 Fund 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, 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 Fund 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.
L Credit Default Swaps When the Fund is the buyer of a credit default swap contract, the Fund 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 Fund 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 Fund would have spent the stream of payments and received no proceeds from the contract. When the Fund 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 Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund 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 Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund 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 Fund 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 8 and 12. The Fund 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 Fund 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.
M Reverse Repurchase Agreements Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio security to another party, such as a bank or broker/dealer, in return for cash. At the same time, the Fund agrees to repurchase the security at an agreed upon time and price, which reflects an interest payment. In periods of increased demand for a security, the Fund may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Because the Fund retains effective control over the transferred security, the transaction is accounted for as a secured borrowing. The Fund may enter into such agreements when it believes it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Funds assets. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds (and the counterparty making a loan), they constitute a form of leverage. The Fund segregates cash or liquid assets equal to its obligation to repurchase the security. During the term of the agreement, the Fund may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security. In the event the counterparty to a reverse repurchase agreement becomes insolvent, recovery of the security transferred by the Fund may be delayed or the Fund may incur a loss equal to the amount by which the value of the security transferred by the Fund exceeds the repurchase price payable by the Fund.
65 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
N Stripped Mortgage-Backed Securities The Fund may invest in Interest Only (IO) and Principal Only (PO) securities, a form 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 Fund 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.
O When-Issued Securities and Delayed Delivery Transactions The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Fund maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
P Interim Financial Statements The interim financial statements relating to September 30, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Funds management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Auction Preferred Shares
The Fund issued Auction Preferred Shares (APS) on July 25, 2003 in a public offering. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days by an auction, unless a special dividend period has been set. Series of APS are identical in all respects except for the reset dates of the dividend rates. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. Auctions have not cleared since February 13, 2008 and the rate since that date has been the maximum applicable rate (see Note 3). The maximum applicable rate on the APS is 150% of the AA Financial Composite Commercial Paper Rate at the date of the auction. The stated spread over the reference benchmark rate is determined based on the credit rating of the APS.
The number of APS issued and outstanding at September 30, 2020 are as follows:
APS Issued and Outstanding |
||||
Series A |
1,728 | |||
Series B |
1,728 | |||
Series C |
1,728 | |||
Series D |
1,728 | |||
Series E |
1,728 |
The APS are redeemable at the option of the Fund at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Fund is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Fund is required to maintain certain asset coverage with respect to the APS as defined in the Funds By-Laws and the 1940 Act. The Fund pays an annual fee up to 0.15% of the liquidation value of the APS to broker/dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.
66 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
3 Distributions to Shareholders and Income Tax Information
The Fund intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, the Fund intends to distribute all or substantially all of its net realized capital gains. Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for the APS at September 30, 2020, and the amount of dividends accrued (including capital gains, if any) to APS shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:
APS Dividend Rates at September 30, 2020 |
Dividends Accrued to APS Shareholders |
Average APS Dividend Rates |
Dividend Rate Ranges (%) |
|||||||||||||
Series A |
0.14 | % | $ | 138,865 | 0.64 | % | 0.06-3.32 | |||||||||
Series B |
0.12 | 142,865 | 0.66 | 0.06-3.32 | ||||||||||||
Series C |
0.14 | 144,752 | 0.67 | 0.06-3.46 | ||||||||||||
Series D |
0.12 | 146,320 | 0.68 | 0.09-3.32 | ||||||||||||
Series E |
0.15 | 136,527 | 0.63 | 0.09-3.32 |
Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the Funds APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rates. The table above reflects such maximum dividend rate for each series as of September 30, 2020.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
Distributions in any year may include a return of capital component. For the six months ended September 30, 2020, the amount of distributions estimated to be a tax return of capital was approximately $22,788,000. The final determination of tax characteristics of the Funds distributions will occur at the end of the year, at which time it will be reported to the shareholders.
At March 31, 2020, the Fund, for federal income tax purposes, had deferred capital losses of $116,241,745 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Funds next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at March 31, 2020, $15,423,802 are short-term and $100,817,943 are long-term.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at September 30, 2020, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$ | 2,458,921,418 | ||
Gross unrealized appreciation |
$ | 50,757,500 | ||
Gross unrealized depreciation |
(139,528,496 | ) | ||
Net unrealized depreciation |
$ | (88,770,996 | ) |
4 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by EVM, a wholly-owned subsidiary of Eaton Vance Corp., as compensation for management and investment advisory services rendered to the Fund. The fee is computed at an annual rate of 0.75% of the Funds average weekly gross assets and is payable monthly. Gross assets as referred to herein represent net assets plus obligations attributable to investment leverage. For the six months ended September 30, 2020, the Funds investment adviser fee amounted to $8,641,426. The Fund invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. EVM also serves as administrator of the Fund, but receives no compensation.
67 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
Trustees and officers of the Fund who are members of EVMs organization receive remuneration for their services to the Fund out of the investment adviser fee. Trustees of the Fund who are not affiliated with EVM may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended September 30, 2020, no significant amounts have been deferred. Certain officers and Trustees of the Fund are officers of EVM.
5 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and principal repayments on Senior Loans, for the six months ended September 30, 2020 were as follows:
Purchases | Sales | |||||||
Investments (non-U.S. Government) |
$ | 358,506,412 | $ | 341,811,792 | ||||
U.S. Government and Agency Securities |
212,022,457 | 214,385,963 | ||||||
$ | 570,528,869 | $ | 556,197,755 |
6 Common Shares of Beneficial Interest
The Fund may issue common shares pursuant to its dividend reinvestment plan. There were no common shares issued by the Fund for the six months ended September 30, 2020 and the year ended March 31, 2020.
In November 2013, the Board of Trustees initially approved a share repurchase program for the Fund. Pursuant to the reauthorization of the share repurchase program by the Board of Trustees in March 2019, the Fund is authorized to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year at market prices when shares are trading at a discount to net asset value. The share repurchase program does not obligate the Fund to purchase a specific amount of shares. There were no repurchases of common shares by the Fund for the six months ended September 30, 2020 and the year ended March 31, 2020.
7 Restricted Securities
At September 30, 2020, the Fund owned the following securities which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund 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 | ||||||||||||
Common Stocks |
||||||||||||||||
Nine Point Energy Holdings, Inc. |
7/15/14 | 29,787 | $ | 1,370,397 | $ | 0 | ||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00% |
5/26/17 | 555 | 555,000 | 0 | ||||||||||||
Total Restricted Securities |
$ | 1,925,397 | $ | 0 |
8 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, financial 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 Fund 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 September 30, 2020 is included in the Portfolio of Investments. At September 30, 2020, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
68 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:
Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.
Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.
Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.
The Fund 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 Funds net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At September 30, 2020, the fair value of derivatives with credit-related contingent features in a net liability position was $1,234,736. The aggregate fair value of assets pledged as collateral by the Fund for such liability was $802,446 at September 30, 2020.
The OTC derivatives in which the Fund invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Fund 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 Fund 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 Fund 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 Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Fund 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 Fund and/or counterparty is held in segregated accounts by the Funds 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 Fund, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at September 30, 2020 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 12) at September 30, 2020.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at September 30, 2020 was as follows:
Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange |
Interest Rate | Total | ||||||||||||
Accumulated loss |
$ | 73,463 | * | $ | 113,410 | * | $ | 195,758 | * | $ | 382,631 | |||||
Receivable for open forward foreign currency exchange contracts |
| 1,325,443 | | 1,325,443 | ||||||||||||
Total Asset Derivatives |
$ | 73,463 | $ | 1,438,853 | $ | 195,758 | $ | 1,708,074 | ||||||||
Derivatives not subject to master netting or similar agreements |
$ | 73,463 | $ | 113,410 | $ | 195,758 | $ | 382,631 | ||||||||
Total Asset Derivatives subject to master netting or similar agreements |
$ | | $ | 1,325,443 | $ | | $ | 1,325,443 |
69 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
Credit | Foreign Exchange |
Interest Rate |
Total | |||||||||||||
Accumulated loss |
$ | (669,144 | )* | $ | (929 | )* | $ | (2,399,573 | )* | $ | (3,069,646 | ) | ||||
Payable for open forward foreign currency exchange contracts |
| (172,724 | ) | | (172,724 | ) | ||||||||||
Payable/receivable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts |
(1,062,012 | ) | | | (1,062,012 | ) | ||||||||||
Total Liability Derivatives |
$ | (1,731,156 | ) | $ | (173,653 | ) | $ | (2,399,573 | ) | $ | (4,304,382 | ) | ||||
Derivatives not subject to master netting or similar agreements |
$ | (669,144 | ) | $ | (929 | ) | $ | (2,399,573 | ) | $ | (3,069,646 | ) | ||||
Total Liability Derivatives subject to master netting or similar agreements |
$ | (1,062,012 | ) | $ | (172,724 | ) | $ | | $ | (1,234,736 | ) |
* | For futures contracts and centrally cleared derivatives, amount represents value as shown in the Portfolio of Investments. Only the current days variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open financial futures contracts and centrally cleared derivatives, as applicable. |
The Funds derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Funds 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 Fund for such assets and pledged by the Fund for such liabilities as of September 30, 2020.
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. |
$ | 81,817 | $ | (6,531 | ) | $ | | $ | (75,286 | ) | $ | | $ | 130,000 | ||||||||||
BNP Paribas |
929 | (929 | ) | | | | | |||||||||||||||||
Citibank, N.A. |
52,634 | (52,634 | ) | | | | | |||||||||||||||||
Goldman Sachs International |
32,494 | (32,494 | ) | | | | | |||||||||||||||||
HSBC Bank USA, N.A. |
253,526 | | (234,229 | ) | | 19,297 | | |||||||||||||||||
Standard Chartered Bank |
688,837 | (5,640 | ) | | (683,197 | ) | | 840,000 | ||||||||||||||||
State Street Bank and Trust Company |
215,206 | (20,893 | ) | (194,313 | ) | | | | ||||||||||||||||
$ | 1,325,443 | $ | (119,121 | ) | $ | (428,542 | ) | $ | (758,483 | ) | $ | 19,297 | $ | 970,000 |
70 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
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. |
$ | (6,531 | ) | $ | 6,531 | $ | | $ | | $ | | $ | | |||||||||||
BNP Paribas |
(929 | ) | 929 | | | | | |||||||||||||||||
Citibank, N.A. |
(710,641 | ) | 52,634 | 499,946 | 72,500 | (85,561 | ) | 72,500 | ||||||||||||||||
Deutsche Bank AG |
(111,399 | ) | | | | (111,399 | ) | | ||||||||||||||||
Goldman Sachs International |
(377,503 | ) | 32,494 | | 230,000 | (115,009 | ) | 230,000 | ||||||||||||||||
JPMorgan Chase Bank, N.A. |
(1,200 | ) | | | | (1,200 | ) | | ||||||||||||||||
Standard Chartered Bank |
(5,640 | ) | 5,640 | | | | | |||||||||||||||||
State Street Bank and Trust Company |
(20,893 | ) | 20,893 | | | | | |||||||||||||||||
$ | (1,234,736 | ) | $ | 119,121 | $ | 499,946 | $ | 302,500 | $ | (313,169 | ) | $ | 302,500 | |||||||||||
Total Deposits for derivatives collateral OTC derivatives |
|
$ | 1,272,500 |
(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. |
Information with respect to reverse repurchase agreements at September 30, 2020 is included at Note 10.
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the six months ended September 30, 2020 was as follows:
Statement of Operations Caption | Credit | Foreign Exchange |
Interest Rate |
Total | ||||||||||||
Net realized gain (loss) |
||||||||||||||||
Financial futures contracts |
$ | | $ | | $ | 4,962,647 | $ | 4,962,647 | ||||||||
Swap contracts |
1,203,640 | | (2,404,855 | ) | (1,201,215 | ) | ||||||||||
Forward foreign currency exchange contracts |
| (9,017,423 | ) | | (9,017,423 | ) | ||||||||||
Total |
$ | 1,203,640 | $ | (9,017,423 | ) | $ | 2,557,792 | $ | (5,255,991 | ) | ||||||
Change in unrealized appreciation (depreciation) |
||||||||||||||||
Financial futures contracts |
$ | | $ | | $ | (4,692,540 | ) | $ | (4,692,540 | ) | ||||||
Swap contracts |
(360,012 | ) | | 2,172,464 | 1,812,452 | |||||||||||
Forward foreign currency exchange contracts |
| 891,809 | | 891,809 | ||||||||||||
Total |
$ | (360,012 | ) | $ | 891,809 | $ | (2,520,076 | ) | $ | (1,988,279 | ) |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended September 30, 2020, which are indicative of the volume of these derivative types, were approximately as follows:
Futures Contracts Long |
Futures Contracts Short |
Forward Foreign Currency Exchange Contracts* |
Swap Contracts |
|||||||||||
$82,904,000 | $ | 5,751,000 | $ | 188,986,000 | $ | 56,652,000 |
* | The average notional amount of forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
71 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
9 Credit Agreement
The Fund has entered into a Credit Agreement, as amended (the Agreement) with major financial institutions to borrow up to $850 million. Borrowings under the Agreement are secured by the assets of the Fund. Interest is charged at a rate above the London Interbank Offered Rate (LIBOR) and is payable monthly. Under the terms of the Agreement, in effect through December 17, 2021, the Fund pays a facility fee of 0.25% per annum on the borrowing limit. In connection with the renewal of the Agreement on December 18, 2018, the Fund paid an upfront fee of $1,530,000, which is being amortized to interest expense over a period of three years through December 2021. The unamortized balance at September 30, 2020 is approximately $634,000 and is included in prepaid upfront fees on notes payable in the Statement of Assets and Liabilities. The Fund is required to maintain certain net asset levels during the term of the Agreement. At September 30, 2020, the Fund had borrowings outstanding under the Agreement of $550,000,000 at an interest rate of 1.00%. Based on the short-term nature of the borrowings under the Agreement and the variable interest rate, the carrying amount of the borrowings at September 30, 2020 approximated its fair value. If measured at fair value, borrowings under the Agreement would have been considered as Level 2 in the fair value hierarchy (see Note 12) at September 30, 2020. Facility fees for the six months ended September 30, 2020 totaled $1,080,209 and are included in interest expense and fees on the Statement of Operations. For the six months ended September 30, 2020, the average borrowings under the Agreement and the average annual interest rate (excluding fees) were $539,639,344 and 1.09%, respectively.
10 Reverse Repurchase Agreements
Reverse repurchase agreements outstanding as of September 30, 2020 were as follows:
Counterparty | Trade Date |
Maturity Date |
Interest Rate |
Principal Amount |
Value Including Interest |
U.S. Government Securities Pledged as |
||||||||||||||||||
Bank of America |
9/24/20 | 10/27/20 | 0.24 | % | $ | 10,088,540 | $ | 10,088,944 | $ | 10,682,606 | ||||||||||||||
Bank of America |
9/24/20 | 10/27/20 | 0.29 | 26,021,921 | 26,023,178 | 28,107,573 | ||||||||||||||||||
Bank of Montreal |
9/24/20 | 10/27/20 | 0.23 | 16,933,777 | 16,934,426 | 18,150,087 | ||||||||||||||||||
Total |
$ | 53,044,238 | $ | 53,046,548 | $ | 56,940,266 |
The Fund also pledged cash of $2,492,942 and $270,000 to Bank of America and Bank of Montreal, respectively, as additional collateral for its reverse repurchase agreements. At September 30, 2020, the remaining contractual maturity of all reverse repurchase agreements was less than 30 days.
For the six months ended September 30, 2020, the average borrowings under settled reverse repurchase agreements and the average annual interest rate were $59,736,288 and 0.43%, respectively. The reverse repurchase agreements entered into by the Fund are subject to Master Repurchase Agreements (MRA), which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. At September 30, 2020, the market value of securities and cash pledged for the benefit of counterparties for reverse repurchase agreements exceeded the amount of borrowings for each counterparty. Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at September 30, 2020. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy (see Note 12) at September 30, 2020.
11 Investments in Affiliated Funds
At September 30, 2020, the value of the Funds investment in affiliated funds was $34,303,854, which represents 2.3% of the Funds net assets applicable to common shares. Transactions in affiliated funds by the Fund for the six months ended September 30, 2020 were as follows:
Name of affiliated fund | Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Units, end of period |
||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC |
$ | 24,661,698 | $ | 483,602,818 | $ | (473,974,548 | ) | $ | 14,228 | $ | (342 | ) | $ | 34,303,854 | $ | 48,198 | 34,303,854 |
72 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
12 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At September 30, 2020, the hierarchy of inputs used in valuing the Funds investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) |
$ | | $ | 759,940,750 | $ | 1,729,181 | $ | 761,669,931 | ||||||||
Corporate Bonds & Notes |
| 778,084,535 | | 778,084,535 | ||||||||||||
Foreign Government Securities |
| 65,261,900 | | 65,261,900 | ||||||||||||
Sovereign Loans |
| 8,676,652 | | 8,676,652 | ||||||||||||
Mortgage Pass-Throughs |
| 258,323,286 | | 258,323,286 | ||||||||||||
Collateralized Mortgage Obligations |
| 233,769,007 | | 233,769,007 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 77,414,421 | | 77,414,421 | ||||||||||||
Asset-Backed Securities |
| 116,942,843 | | 116,942,843 | ||||||||||||
Common Stocks |
828,257 | 3,958,642 | 5,242,824 | 10,029,723 | ||||||||||||
Convertible Bonds |
| 1,133,866 | | 1,133,866 | ||||||||||||
Convertible Preferred Stocks |
| | 0 | 0 | ||||||||||||
Preferred Stocks |
1,220,690 | 27,045 | 621,003 | 1,868,738 | ||||||||||||
Closed-End Funds |
23,366,462 | | | 23,366,462 | ||||||||||||
Warrants |
| | 0 | 0 | ||||||||||||
Miscellaneous |
| 12,991 | 0 | 12,991 | ||||||||||||
Short-Term Investments |
||||||||||||||||
U.S. Treasury Obligations |
| 499,946 | | 499,946 | ||||||||||||
Other |
| 34,303,854 | | 34,303,854 | ||||||||||||
Total Investments |
$ | 25,415,409 | $ | 2,338,349,738 | $ | 7,593,008 | $ | 2,371,358,155 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 1,438,853 | $ | | $ | 1,438,853 | ||||||||
Futures Contracts |
65,438 | | | 65,438 | ||||||||||||
Swap Contracts |
| 203,783 | | 203,783 | ||||||||||||
Total |
$ | 25,480,847 | $ | 2,339,992,374 | $ | 7,593,008 | $ | 2,373,066,229 | ||||||||
Liability Description |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (173,653 | ) | $ | | $ | (173,653 | ) | ||||||
Futures Contracts |
(17,194 | ) | | | (17,194 | ) | ||||||||||
Swap Contracts |
| (4,113,535 | ) | | (4,113,535 | ) | ||||||||||
Total |
$ | (17,194 | ) | $ | (4,287,188 | ) | $ | | $ | (4,304,382 | ) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
73 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Notes to Financial Statements (Unaudited) continued
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended September 30, 2020 is not presented.
13 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in securities issued by companies or entities whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Fund, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker/dealers and issuers than in the United States.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 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 Funds performance, or the performance of the securities in which the Fund invests.
14 Additional Information
On August 27, 2020, the Funds Board of Trustees (the Board) received a shareholder demand letter from counsel to Saba Capital Master Fund, Ltd., a hedge fund (Saba). Saba also filed claims against the Fund in a lawsuit in Suffolk County Superior Court in Massachusetts asserting breach of contract and fiduciary duty by the Fund and certain of its affiliates, the Funds adviser, and the Board, following the recent implementation by the Fund of by-law amendments that (i) require trustee nominees in contested elections to obtain affirmative votes of a majority of eligible shares in order to be elected and (ii) establish certain requirements related to shares obtained in control share acquisitions. With respect to the Fund, Saba seeks rescission of these by-law provisions and certain related relief. As of the date these financial statements were issued, the court has not ruled on these matters.
15 Subsequent Event
On October 8, 2020, Morgan Stanley and Eaton Vance Corp. (Eaton Vance) announced that they had entered into a definitive agreement under which Morgan Stanley would acquire Eaton Vance. Under the Investment Company Act of 1940, as amended, consummation of this transaction may be deemed to result in the automatic termination of an Eaton Vance Funds investment advisory agreement, and, where applicable, any related sub-advisory agreement. On November 10, 2020, the Funds Board approved a new investment advisory agreement. The new investment advisory agreement will be presented to Fund shareholders for approval, and, if approved, would take effect upon consummation of the transaction. Shareholders of record of the Fund at the close of business on October 29, 2020 who have voting power with respect to such shares are entitled to be present and vote at a joint special meeting of shareholders to be held on January 7, 2021 and at any adjournments or postponements thereof.
74 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Board of Trustees Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended (the 1940 Act), provides, in substance, that the investment advisory agreement between a fund and its investment adviser will continue in effect from year-to-year only if its continuation is approved on an annual basis by a vote of the funds board of trustees, including a majority of the trustees who are not interested persons of the fund (independent trustees), cast in person at a meeting called for the purpose of considering such approval.
At a meeting held on April 22, 2020 (the April 2020 Meeting), the Boards of Trustees/Directors comprised of the same individuals (collectively, the Board) that oversees a majority of the registered investment companies advised by Eaton Vance Management or its affiliate, Boston Management and Research (the Eaton Vance Funds), including a majority of the independent trustees (the Independent Trustees), voted to approve the continuation of existing investment advisory agreements and sub-advisory agreements(1) for each of the Eaton Vance Funds for an additional one-year period. The Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee exclusively comprised of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by the adviser and sub-adviser to each of the Eaton Vance Funds (including information specifically requested by the Board) for a series of formal meetings held between February and April 2020. Members of the Contract Review Committee also considered information received at prior meetings of the Board and its committees, to the extent such information was relevant to the Contract Review Committees annual evaluation of the investment advisory agreements and sub-advisory agreements.
In connection with its evaluation of the investment advisory agreements and sub-advisory agreements, the Board considered various information relating to the Eaton Vance Funds. This included information applicable to all or groups of Eaton Vance Funds, which is referenced immediately below, and information applicable to the particular Eaton Vance Fund covered by this report (additional fund-specific information is referenced below under Results of the Contract Review Process). (For funds that invest through one or more underlying portfolios, references to each fund in this section may include information that was considered at the portfolio-level.)
Information about Fees, Performance and Expenses
| A report from an independent data provider comparing advisory and other fees paid by each fund to such fees paid by comparable funds, as identified by the independent data provider (comparable funds); |
| A report from an independent data provider comparing each funds total expense ratio (and its components) to those of comparable funds; |
| A report from an independent data provider comparing the investment performance of each fund (including, as relevant, total return data, income data, Sharpe ratios and information ratios) to the investment performance of comparable funds and, as applicable, benchmark indices, over various time periods; |
| In certain instances, data regarding investment performance relative to customized groups of peer funds and blended indices identified by the adviser in consultation with the Portfolio Management Committee of the Board; |
| Comparative information concerning the fees charged and services provided by the adviser and sub-adviser to each fund in managing other accounts (which may include other mutual funds, collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund(s), if any; |
| Profitability analyses with respect to the adviser and sub-adviser to each of the funds; |
Information about Portfolio Management and Trading
| Descriptions of the investment management services provided to each fund, as well as each of the funds investment strategies and policies; |
| The procedures and processes used to determine the fair value of fund assets, when necessary, and actions taken to monitor and test the effectiveness of such procedures and processes; |
| Information about the policies and practices of each funds adviser and sub-adviser (in the context of a sub-adviser, only those with trading responsibilities) with respect to trading, including their processes for seeking best execution of portfolio transactions; |
| Information about the allocation of brokerage transactions and the benefits, if any, received by the adviser and sub-adviser (in the context of a sub-adviser, only those with trading responsibilities) to each fund as a result of brokerage allocation, including, as applicable, information concerning the acquisition of research through client commission arrangements and policies with respect to soft dollars; |
| Data relating to the portfolio turnover rate of each fund; |
Information about each Adviser and Sub-adviser
| Reports detailing the financial results and condition of the adviser and sub-adviser to each fund; |
| Information regarding the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and, for portfolio managers and certain other investment professionals, information relating to their responsibilities with respect to managing other mutual funds and investment accounts, as applicable; |
(1) | Not all Eaton Vance Funds have entered into a sub-advisory agreement with a sub-adviser. Accordingly, references to sub-adviser or sub-advisory agreement in this Overview section may not be applicable to the particular Eaton Vance Fund covered by this report. |
75 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Board of Trustees Contract Approval continued
| The Code of Ethics of the adviser and its affiliates and the sub-adviser of each fund, together with information relating to compliance with, and the administration of, such codes; |
| Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
| Information concerning the resources devoted to compliance efforts undertaken by the adviser and its affiliates and the sub-adviser of each fund, if any, including descriptions of their various compliance programs and their record of compliance; |
| Information concerning the business continuity and disaster recovery plans of the adviser and its affiliates and the sub-adviser of each fund, if any; |
| A description of Eaton Vance Managements and Boston Management and Researchs oversight of sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
| Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates; |
| Information concerning oversight of the relationship with the custodian, subcustodians and fund accountants by the adviser and/or administrator to each of the funds; |
| For an Eaton Vance Fund structured as an exchange-listed closed-end fund, information concerning the benefits of the closed-end fund structure, as well as, where relevant, the closed-end funds market prices, trading volume data, distribution rates and other relevant matters; and |
| The terms of each investment advisory agreement and sub-advisory agreement. |
During the various meetings of the Board and its committees throughout the twelve months ended April 2020, the Trustees received information from portfolio managers and other investment professionals of the advisers and sub-advisers of the funds regarding investment and performance matters, and considered various investment and trading strategies used in pursuing the funds investment objectives. The Trustees also received information regarding risk management techniques employed in connection with the management of the funds. The Board and its committees evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management, Boston Management and Research and fund sub-advisers, with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Trustees held regular teleconferences to discuss, among other topics, matters relating to the continuation of investment advisory agreements and sub-advisory agreements.
The Contract Review Committee was advised throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee, with the advice of such counsel, exercised their own business judgment in determining the material factors to be considered in evaluating each investment advisory agreement and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory agreement and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory agreement and sub-advisory agreement. In evaluating each investment advisory agreement and sub-advisory agreement, including the fee structures and other terms contained in such agreements, the members of the Contract Review Committee were also informed by multiple years of analysis and discussion with the adviser and sub-adviser to each of the Eaton Vance Funds.
In voting its approval of the continuation of existing investment advisory agreements and sub-advisory agreements at the April 2020 Meeting, the Board relied on an order issued by the Securities and Exchange Commission on March 25, 2020, which provided temporary relief from the in-person voting requirements under Section 15 of the 1940 Act in response to the impacts of the COVID-19 pandemic.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory agreement between Eaton Vance Limited Duration Income Fund (the Fund) and Eaton Vance Management (the Adviser), including its fee structure, is in the interests of shareholders and, therefore, recommended to the Board approval of the agreement. Based on the recommendation of the Contract Review Committee, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreement for the Fund.
Nature, Extent and Quality of Services
In considering whether to approve the investment advisory agreement for the Fund, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Advisers management capabilities and investment processes in light of the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund, including recent changes to such personnel. In particular, the Board considered the abilities and experience of the Advisers investment professionals in analyzing factors such as credit risk in the context of investment grade and below investment grade investments. The Board
76 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Board of Trustees Contract Approval continued
considered the Advisers ability to implement the Funds investment strategy, including, with respect to the component of the Fund invested in below investment grade investments and bank loans, the Advisers deep and broad experience with investing in high-yield bonds and senior secured floating rate loans. The Board also considered, among other things, the Advisers experience investing in mortgage-backed securities and other investment grade instruments. As part of its evaluation, the Board considered the resources available to investment professionals of the Adviser. The Board also took into account the resources dedicated to portfolio management and other services, the compensation methods of the Adviser and other factors, including the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund, including the provision of administrative services. The Board also considered the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. The Board considered the deep experience of the Adviser and its affiliates with managing and operating funds organized as exchange-listed closed-end funds, such as the Fund. In this regard, the Board considered, among other things, the Advisers and its affiliates experience with implementing leverage arrangements, monitoring and assessing trading price discounts and premiums and adhering to the requirements of securities exchanges.
The Board considered the compliance programs of the Adviser and relevant affiliates thereof. The Board considered compliance and reporting matters regarding, among other things, personal trading by investment professionals, disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of the Adviser and its affiliates to requests in recent years from regulatory authorities, such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.
The Board considered other administrative services provided or overseen by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines.
After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory agreement.
Fund Performance
The Board compared the Funds investment performance to that of comparable funds identified by an independent data provider (the peer group), as well as a custom benchmark index and a custom peer group of similarly managed funds. The Boards review included comparative performance data with respect to the Fund for the one-, three-, five- and ten-year periods ended September 30, 2019. In this regard, the Board noted that the performance of the Fund was lower than the median performance of the Funds peer group and custom peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its custom benchmark index for the three-year period. On the basis of the foregoing and other relevant information provided by the Adviser in response to inquiries from the Contract Review Committee, the Board concluded that the performance of the Fund was satisfactory.
Management Fees and Expenses
The Board considered contractual fee rates payable by the Fund for advisory and administrative services (referred to collectively as management fees). As part of its review, the Board considered the Funds management fees and total expense ratio for the one-year period ended September 30, 2019, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board also considered factors that had an impact on the Funds total expense ratio relative to comparable funds.
After considering the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.
Profitability and Fall-Out Benefits
The Board considered the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution or other services.
The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are deemed not to be excessive.
The Board also considered direct or indirect fall-out benefits received by the Adviser and its affiliates in connection with their respective relationships with the Fund, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Fund and other investment advisory clients.
77 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Board of Trustees Contract Approval continued
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale, if any, when they are realized by the Adviser. The Board also considered the fact that the Fund is not continuously offered and that the Funds assets are not expected to increase materially in the foreseeable future. Accordingly, the Board did not find that the implementation of breakpoints in the advisory fee schedule is warranted at this time.
78 |
Eaton Vance
Limited Duration Income Fund
September 30, 2020
Officers
Eric A. Stein
President
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer
James F. Kirchner
Treasurer
Richard F. Froio
Chief Compliance Officer
Trustees
* | Interested Trustee |
79 |
Eaton Vance Funds
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (Privacy Program) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Managements Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called householding and it helps eliminate duplicate mailings to shareholders. American Stock Transfer & Trust Company, LLC (AST), the closed-end funds transfer agent, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct AST, or your financial intermediary, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact AST or 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 AST or your financial intermediary.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC. Certain information filed on Form N-PORT may be viewed on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SECs website at www.sec.gov.
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds and Portfolios Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SECs website at www.sec.gov.
Share Repurchase Program. The Funds Board of Trustees has approved a share repurchase program authorizing the Fund to repurchase up to 10% of its common shares outstanding as of the last day of the prior calendar year in open-market transactions at a discount to net asset value. The repurchase program does not obligate the Fund to purchase a specific amount of shares. The Funds repurchase activity, including the number of shares purchased, average price and average discount to net asset value, is disclosed in the Funds annual and semi-annual reports to shareholders.
Additional Notice to Shareholders. If applicable, a Fund may also redeem or purchase its outstanding preferred shares in order to maintain compliance with regulatory requirements, borrowing or rating agency requirements or for other purposes as it deems appropriate or necessary.
Closed-End Fund Information. Eaton Vance closed-end funds make fund performance data and certain information about portfolio characteristics available on the Eaton Vance website shortly after the end of each month. Other information about the funds is available on the website. The funds net asset value per share is readily accessible on the Eaton Vance website. Portfolio holdings for the most recent month-end are also posted to the website approximately 30 days following the end of the month. This information is available at www.eatonvance.com on the fund information pages under Individual Investors Closed-End Funds.
80 |
7731 9.30.20
Item 2. | Code of Ethics |
Not required in this filing.
Item 3. | Audit Committee Financial Expert |
Not required in this filing.
Item 4. | Principal Accountant Fees and Services |
Not required in this filing.
Item 5. | Audit Committee of Listed Registrants |
Not required in this filing.
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 required in this filing.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not required in this filing.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
No such purchases this period.
Item 10. | Submission of Matters to a Vote of Security Holders |
No material changes.
Item 11. | Controls and Procedures |
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
No activity to report for the registrants most recent fiscal year end.
Item 13. | Exhibits |
(a)(1) | Registrants Code of Ethics Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurers Section 302 certification. | |
(a)(2)(ii) | Presidents Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Limited Duration Income Fund | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | November 23, 2020 |
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: | November 23, 2020 |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | November 23, 2020 |
Eaton Vance Limited Duration Income Fund
FORM N-CSR
Exhibit 13(a)(2)(i)
CERTIFICATION
I, James F. Kirchner, certify that:
1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: November 23, 2020 | /s/ James F. Kirchner | |||||
James F. Kirchner | ||||||
Treasurer |
Eaton Vance Limited Duration Income Fund
FORM N-CSR
Exhibit 13(a)(2)(ii)
CERTIFICATION
I, Eric A. Stein, certify that:
1. I have reviewed this report on Form N-CSR of Eaton Vance Limited Duration Income Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: November 23, 2020 | /s/ Eric A. Stein | |||||
Eric A. Stein | ||||||
President |
Form N-CSR Item 13(b) Exhibit
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Eaton Vance Limited Duration Income Fund (the Fund), that:
(a) | The Semiannual Report of the Fund on Form N-CSR for the period ended September 30, 2020 (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
(b) | The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Fund for such period. |
A signed original of this written statement required by section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.
Eaton Vance Limited Duration Income Fund |
Date: November 23, 2020 |
/s/ James F. Kirchner |
James F. Kirchner |
Treasurer |
Date: November 23, 2020 |
/s/ Eric A. Stein |
Eric A. Stein |
President |
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