UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22048
Emerging Markets Local Income Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2011
Date of Reporting Period
Item 1. Reports to Stockholders
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited)
| Foreign Government Bonds — 68.9% | ||||||||||||
|
Principal |
||||||||||||
| Security | Amount | Value | ||||||||||
| Albania — 0.7% | ||||||||||||
|
Republic of Albania, 7.50%, 11/4/15
|
EUR | 3,500,000 | $ | 4,990,921 | ||||||||
|
Total Albania
|
$ | 4,990,921 | ||||||||||
| Bermuda — 0.1% | ||||||||||||
|
Government of Bermuda,
5.603%, 7/20/20(1)
|
USD | 900,000 | $ | 958,408 | ||||||||
|
Total Bermuda
|
$ | 958,408 | ||||||||||
| Brazil — 4.4% | ||||||||||||
|
Nota Do Tesouro Nacional,
6.00%, 5/15/15(2)
|
BRL | 468,142 | $ | 291,565 | ||||||||
|
Nota Do Tesouro Nacional, 10.00%, 1/1/12
|
BRL | 6,142,000 | 3,847,144 | |||||||||
|
Nota Do Tesouro Nacional, 10.00%, 1/1/13
|
BRL | 5,118,000 | 3,127,992 | |||||||||
|
Nota Do Tesouro Nacional, 10.00%, 1/1/14
|
BRL | 20,289,000 | 12,149,928 | |||||||||
|
Nota Do Tesouro Nacional, 10.00%, 1/1/17
|
BRL | 10,405,000 | 5,951,195 | |||||||||
|
Nota Do Tesouro Nacional, 10.00%, 1/1/21
|
BRL | 9,400,000 | 5,157,691 | |||||||||
|
Republic of Brazil, 10.25%, 1/10/28
|
BRL | 620,000 | 423,462 | |||||||||
|
Total Brazil
|
$ | 30,948,977 | ||||||||||
| Chile — 1.2% | ||||||||||||
|
Government of Chile,
2.10%, 9/1/15(2)
|
CLP | 86,823,160 | $ | 185,235 | ||||||||
|
Government of Chile,
3.00%, 1/1/15(2)
|
CLP | 759,702,650 | 1,677,286 | |||||||||
|
Government of Chile, 6.00%, 3/1/17
|
CLP | 70,000,000 | 150,330 | |||||||||
|
Government of Chile, 6.00%, 3/1/18
|
CLP | 2,350,000,000 | 5,048,991 | |||||||||
|
Government of Chile, 6.00%, 1/1/20
|
CLP | 465,000,000 | 994,542 | |||||||||
|
Total Chile
|
$ | 8,056,384 | ||||||||||
| Colombia — 4.0% | ||||||||||||
|
Republic of Colombia, 7.75%, 4/14/21
|
COP | 9,341,000,000 | $ | 5,888,099 | ||||||||
|
Republic of Colombia, 9.85%, 6/28/27
|
COP | 8,093,000,000 | 5,758,032 | |||||||||
|
Republic of Colombia, 12.00%, 10/22/15
|
COP | 15,960,000,000 | 11,643,211 | |||||||||
|
Titulos De Tesoreria B, 9.25%, 8/15/12
|
COP | 1,749,800,000 | 1,045,749 | |||||||||
|
Titulos De Tesoreria B, 11.00%, 5/18/11
|
COP | 6,500,000,000 | 3,697,315 | |||||||||
|
Total Colombia
|
$ | 28,032,406 | ||||||||||
| Congo — 0.2% | ||||||||||||
|
Republic of Congo, 3.00%, 6/30/29
|
USD | 2,333,200 | $ | 1,481,582 | ||||||||
|
Total Congo
|
$ | 1,481,582 | ||||||||||
| Costa Rica — 0.0%(3) | ||||||||||||
|
Titulo Propiedad Ud,
1.00%, 1/12/22(2)
|
CRC | 52,816,999 | $ | 85,238 | ||||||||
|
Titulo Propiedad Ud,
1.63%, 7/13/16(2)
|
CRC | 5,933,671 | 10,851 | |||||||||
|
Total Costa Rica
|
$ | 96,089 | ||||||||||
| Dominican Republic — 1.2% | ||||||||||||
|
Dominican Republic,
16.00%, 7/10/20(1)
|
DOP | 38,000,000 | $ | 1,037,365 | ||||||||
|
Dominican Republic “Bonos Internos” Total Return
Linked Bond (Citibank, N.A.),
13.00%, 2/25/13(4)
|
DOP | 107,000,000 | 2,873,343 | |||||||||
|
Dominican Republic “Bonos Internos” Total Return
Linked Bond (Citibank, N.A.),
15.00%, 3/12/12(4)
|
DOP | 82,000,000 | 2,229,445 | |||||||||
|
Dominican Republic “Bonos Internos” Total Return
Linked Bond (Citibank, N.A.),
16.00%, 7/10/20(4)
|
DOP | 67,800,000 | 1,848,550 | |||||||||
|
Total Dominican Republic
|
$ | 7,988,703 | ||||||||||
| Egypt — 0.0%(3) | ||||||||||||
|
Arab Republic of Egypt,
8.75%, 7/18/12(1)
|
EGP | 1,690,000 | $ | 268,547 | ||||||||
|
Total Egypt
|
$ | 268,547 | ||||||||||
| Greece — 0.0%(3) | ||||||||||||
|
Hellenic Republic Government Bond, 6.10%, 8/20/15
|
EUR | 225,000 | $ | 202,188 | ||||||||
|
Total Greece
|
$ | 202,188 | ||||||||||
| Hungary — 7.3% | ||||||||||||
|
Hungary Government Bond, 5.50%, 2/12/14
|
HUF | 1,525,600,000 | $ | 8,381,960 | ||||||||
|
Hungary Government Bond, 5.50%, 2/12/16
|
HUF | 862,500,000 | 4,600,340 | |||||||||
|
Hungary Government Bond, 6.00%, 10/24/12
|
HUF | 676,970,000 | 3,790,710 | |||||||||
|
Hungary Government Bond, 6.00%, 11/24/23
|
HUF | 195,000,000 | 998,347 | |||||||||
|
Hungary Government Bond, 6.50%, 6/24/19
|
HUF | 579,100,000 | 3,154,647 | |||||||||
|
Hungary Government Bond, 6.75%, 2/12/13
|
HUF | 785,300,000 | 4,448,751 | |||||||||
|
Hungary Government Bond, 6.75%, 2/24/17
|
HUF | 1,554,520,000 | 8,693,098 | |||||||||
|
Hungary Government Bond, 6.75%, 11/24/17
|
HUF | 1,123,980,000 | 6,246,492 | |||||||||
|
Hungary Government Bond, 7.25%, 6/12/12
|
HUF | 322,000,000 | 1,829,041 | |||||||||
|
Hungary Government Bond, 7.50%, 10/24/13
|
HUF | 796,000,000 | 4,595,050 | |||||||||
|
Hungary Government Bond, 7.50%, 11/12/20
|
HUF | 668,800,000 | 3,868,543 | |||||||||
|
Hungary Government Bond, 8.00%, 2/12/15
|
HUF | 60,000,000 | 351,917 | |||||||||
|
Total Hungary
|
$ | 50,958,896 | ||||||||||
See Notes to
Consolidated Financial Statements.
15
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
|
Principal |
||||||||||||
| Security | Amount | Value | ||||||||||
| Indonesia — 8.5% | ||||||||||||
|
Indonesia Government, 7.375%, 9/15/16
|
IDR | 43,648,000,000 | $ | 5,233,795 | ||||||||
|
Indonesia Government, 8.25%, 7/15/21
|
IDR | 4,730,000,000 | 568,690 | |||||||||
|
Indonesia Government, 8.375%, 9/15/26
|
IDR | 14,100,000,000 | 1,664,263 | |||||||||
|
Indonesia Government, 9.00%, 9/15/13
|
IDR | 26,300,000,000 | 3,245,348 | |||||||||
|
Indonesia Government, 9.00%, 9/15/18
|
IDR | 42,550,000,000 | 5,386,455 | |||||||||
|
Indonesia Government, 9.50%, 6/15/15
|
IDR | 33,485,000,000 | 4,282,049 | |||||||||
|
Indonesia Government, 9.50%, 7/15/23
|
IDR | 35,245,000,000 | 4,517,429 | |||||||||
|
Indonesia Government, 9.50%, 7/15/31
|
IDR | 58,734,000,000 | 7,294,885 | |||||||||
|
Indonesia Government, 9.75%, 5/15/37
|
IDR | 28,656,000,000 | 3,471,017 | |||||||||
|
Indonesia Government, 10.00%, 7/15/17
|
IDR | 10,200,000,000 | 1,364,104 | |||||||||
|
Indonesia Government, 10.00%, 9/15/24
|
IDR | 22,100,000,000 | 2,928,947 | |||||||||
|
Indonesia Government, 10.00%, 2/15/28
|
IDR | 8,560,000,000 | 1,105,817 | |||||||||
|
Indonesia Government, 10.25%, 7/15/27
|
IDR | 22,325,000,000 | 2,977,223 | |||||||||
|
Indonesia Government, 10.50%, 8/15/30
|
IDR | 24,610,000,000 | 3,297,282 | |||||||||
|
Indonesia Government, 10.50%, 7/15/38
|
IDR | 10,900,000,000 | 1,431,866 | |||||||||
|
Indonesia Government, 11.00%, 11/15/20
|
IDR | 14,560,000,000 | 2,068,861 | |||||||||
|
Indonesia Government, 11.00%, 9/15/25
|
IDR | 16,440,000,000 | 2,329,151 | |||||||||
|
Indonesia Government, 11.25%, 5/15/14
|
IDR | 16,743,000,000 | 2,204,891 | |||||||||
|
Indonesia Government, 11.50%, 9/15/19
|
IDR | 25,200,000,000 | 3,638,098 | |||||||||
|
Total Indonesia
|
$ | 59,010,171 | ||||||||||
| Israel — 0.1% | ||||||||||||
|
Israel Government Bond,
3.00%, 10/31/19(2)
|
ILS | 569,005 | $ | 177,614 | ||||||||
|
Israel Government Bond,
5.00%, 4/30/15(2)
|
ILS | 1,443,765 | 486,232 | |||||||||
|
Total Israel
|
$ | 663,846 | ||||||||||
| Macedonia — 0.1% | ||||||||||||
|
Republic of Macedonia, 4.625%, 12/8/15
|
EUR | 280,000 | $ | 395,645 | ||||||||
|
Total Macedonia
|
$ | 395,645 | ||||||||||
| Malaysia — 3.8% | ||||||||||||
|
Malaysia Government, 2.509%, 8/27/12
|
MYR | 3,800,000 | $ | 1,276,040 | ||||||||
|
Malaysia Government, 3.21%, 5/31/13
|
MYR | 5,925,000 | 2,001,058 | |||||||||
|
Malaysia Government, 3.502%, 5/31/27
|
MYR | 4,125,000 | 1,251,621 | |||||||||
|
Malaysia Government, 3.70%, 5/15/13
|
MYR | 6,355,000 | 2,167,098 | |||||||||
|
Malaysia Government, 3.741%, 2/27/15
|
MYR | 24,076,000 | 8,230,481 | |||||||||
|
Malaysia Government, 4.012%, 9/15/17
|
MYR | 10,786,000 | 3,696,732 | |||||||||
|
Malaysia Government, 4.24%, 2/7/18
|
MYR | 15,775,000 | 5,458,640 | |||||||||
|
Malaysia Government, 4.378%, 11/29/19
|
MYR | 3,750,000 | 1,304,682 | |||||||||
|
Malaysia Government, 4.498%, 4/15/30
|
MYR | 3,480,000 | 1,166,886 | |||||||||
|
Total Malaysia
|
$ | 26,553,238 | ||||||||||
| Mexico — 4.6% | ||||||||||||
|
Government of Mexico, 7.25%, 12/15/16
|
MXN | 20,800,000 | $ | 1,858,353 | ||||||||
|
Government of Mexico, 7.50%, 6/3/27
|
MXN | 30,480,000 | 2,579,959 | |||||||||
|
Government of Mexico, 7.75%, 12/14/17
|
MXN | 9,500,000 | 865,767 | |||||||||
|
Government of Mexico, 8.00%, 12/19/13
|
MXN | 61,900,000 | 5,671,805 | |||||||||
|
Government of Mexico, 8.00%, 6/11/20
|
MXN | 21,018,000 | 1,933,334 | |||||||||
|
Government of Mexico, 8.50%, 12/13/18
|
MXN | 6,832,600 | 647,155 | |||||||||
|
Government of Mexico, 8.50%, 11/18/38
|
MXN | 36,100,000 | 3,278,230 | |||||||||
|
Government of Mexico, 9.00%, 12/20/12
|
MXN | 39,000,000 | 3,590,790 | |||||||||
|
Government of Mexico, 9.50%, 12/18/14
|
MXN | 23,060,000 | 2,220,925 | |||||||||
|
Government of Mexico, 10.00%, 12/5/24
|
MXN | 63,550,000 | 6,701,299 | |||||||||
|
Government of Mexico, 10.00%, 11/20/36
|
MXN | 23,470,000 | 2,459,195 | |||||||||
|
Total Mexico
|
$ | 31,806,812 | ||||||||||
| Montenegro — 0.4% | ||||||||||||
|
Republic of Montenegro, 7.875%, 9/14/15
|
EUR | 2,000,000 | $ | 3,073,535 | ||||||||
|
Total Montenegro
|
$ | 3,073,535 | ||||||||||
| Peru — 1.5% | ||||||||||||
|
Republic of Peru, 6.90%, 8/12/37
|
PEN | 2,700,000 | $ | 869,942 | ||||||||
|
Republic of Peru,
6.90%, 8/12/37(1)
|
PEN | 2,367,000 | 762,649 | |||||||||
|
Republic of Peru, 6.95%, 8/12/31
|
PEN | 2,000,000 | 657,279 | |||||||||
|
Republic of Peru,
7.84%, 8/12/20(5)
|
PEN | 7,570,000 | 2,811,599 | |||||||||
|
Republic of Peru, 7.84%, 8/12/20
|
PEN | 1,130,000 | 419,697 | |||||||||
|
Republic of Peru, 8.20%, 8/12/26
|
PEN | 5,775,000 | 2,172,291 | |||||||||
|
Republic of Peru, 8.60%, 8/12/17
|
PEN | 5,305,000 | 2,112,991 | |||||||||
|
Republic of Peru, 9.91%, 5/5/15
|
PEN | 1,760,000 | 713,278 | |||||||||
|
Total Peru
|
$ | 10,519,726 | ||||||||||
| Philippines — 1.0% | ||||||||||||
|
Philippine Government International Bond, 4.95%, 1/15/21
|
PHP | 139,000,000 | $ | 3,182,298 | ||||||||
|
Philippine Government International Bond, 6.25%, 1/14/36
|
PHP | 150,000,000 | 3,389,954 | |||||||||
|
Total Philippines
|
$ | 6,572,252 | ||||||||||
| Poland — 0.8% | ||||||||||||
|
Poland Government Bond,
3.00%, 8/24/16(2)
|
PLN | 1,834,622 | $ | 712,197 | ||||||||
|
Poland Government Bond, 4.75%, 4/25/12
|
PLN | 2,010,000 | 757,354 | |||||||||
|
Poland Government Bond, 5.25%, 10/25/17
|
PLN | 3,575,000 | 1,302,976 | |||||||||
|
Poland Government Bond, 5.75%, 9/23/22
|
PLN | 5,420,000 | 1,969,536 | |||||||||
See Notes to
Consolidated Financial Statements.
16
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
|
Principal |
||||||||||||
| Security | Amount | Value | ||||||||||
|
Poland (continued)
|
||||||||||||
|
Poland Government Bond, 6.25%, 10/24/15
|
PLN | 2,900,000 | $ | 1,119,692 | ||||||||
|
Total Poland
|
$ | 5,861,755 | ||||||||||
| Russia — 3.3% | ||||||||||||
|
Russia Foreign Bond,
7.85%, 3/10/18(1)
|
RUB | 600,000,000 | $ | 23,293,371 | ||||||||
|
Total Russia
|
$ | 23,293,371 | ||||||||||
| Serbia — 1.3% | ||||||||||||
|
Serbia Treasury Bill, 0.00%, 8/9/12
|
RSD | 230,950,000 | $ | 2,958,668 | ||||||||
|
Serbia Treasury Bill, 0.00%, 9/6/12
|
RSD | 403,070,000 | 5,116,948 | |||||||||
|
Serbia Treasury Bill, 0.00%, 4/25/13
|
RSD | 55,500,000 | 654,286 | |||||||||
|
Total Serbia
|
$ | 8,729,902 | ||||||||||
| South Africa — 8.1% | ||||||||||||
|
Republic of South Africa,
2.50%, 1/31/17(2)
|
ZAR | 6,069,759 | $ | 962,328 | ||||||||
|
Republic of South Africa,
2.60%, 3/31/28(2)
|
ZAR | 6,183,120 | 930,152 | |||||||||
|
Republic of South Africa,
2.75%, 1/31/22(2)
|
ZAR | 32,470,528 | 4,981,617 | |||||||||
|
Republic of South Africa,
5.50%, 12/7/23(2)
|
ZAR | 2,939,171 | 585,506 | |||||||||
|
Republic of South Africa, 6.25%, 3/31/36
|
ZAR | 22,825,000 | 2,589,499 | |||||||||
|
Republic of South Africa, 6.75%, 3/31/21
|
ZAR | 45,745,000 | 6,206,137 | |||||||||
|
Republic of South Africa, 7.00%, 2/28/31
|
ZAR | 19,600,000 | 2,482,766 | |||||||||
|
Republic of South Africa, 7.25%, 1/15/20
|
ZAR | 51,600,000 | 7,319,906 | |||||||||
|
Republic of South Africa, 7.50%, 1/15/14
|
ZAR | 34,500,000 | 5,332,134 | |||||||||
|
Republic of South Africa, 8.25%, 9/15/17
|
ZAR | 19,430,000 | 2,976,365 | |||||||||
|
Republic of South Africa, 8.75%, 12/21/14
|
ZAR | 10,290,000 | 1,642,168 | |||||||||
|
Republic of South Africa, 10.50%, 12/21/26
|
ZAR | 30,356,000 | 5,362,585 | |||||||||
|
Republic of South Africa, 13.50%, 9/15/15
|
ZAR | 81,005,000 | 14,982,409 | |||||||||
|
Total South Africa
|
$ | 56,353,572 | ||||||||||
| Sri Lanka — 0.1% | ||||||||||||
|
Republic of Sri Lanka,
6.25%, 10/4/20(1)
|
USD | 950,000 | $ | 958,360 | ||||||||
|
Total Sri Lanka
|
$ | 958,360 | ||||||||||
| Taiwan — 0.4% | ||||||||||||
|
Taiwan Government Bond, 0.25%, 10/21/11
|
TWD | 12,500,000 | $ | 436,099 | ||||||||
|
Taiwan Government Bond, 0.25%, 2/10/12
|
TWD | 74,400,000 | 2,592,669 | |||||||||
|
Total Taiwan
|
$ | 3,028,768 | ||||||||||
| Thailand — 5.0% | ||||||||||||
|
Bank of Thailand, 3.625%, 5/2/11
|
THB | 22,000,000 | $ | 737,018 | ||||||||
|
Kingdom of Thailand, 3.625%, 6/16/23
|
THB | 75,523,000 | 2,488,724 | |||||||||
|
Kingdom of Thailand, 3.85%, 12/12/25
|
THB | 74,315,000 | 2,459,759 | |||||||||
|
Kingdom of Thailand, 3.875%, 6/13/19
|
THB | 93,235,000 | 3,206,013 | |||||||||
|
Kingdom of Thailand, 4.25%, 3/13/13
|
THB | 168,678,000 | 5,761,368 | |||||||||
|
Kingdom of Thailand, 4.50%, 4/9/24
|
THB | 61,371,000 | 2,190,772 | |||||||||
|
Kingdom of Thailand, 4.75%, 12/20/24
|
THB | 30,000,000 | 1,095,335 | |||||||||
|
Kingdom of Thailand, 5.125%, 3/13/18
|
THB | 86,300,000 | 3,158,233 | |||||||||
|
Kingdom of Thailand, 5.25%, 5/12/14
|
THB | 275,409,000 | 9,732,613 | |||||||||
|
Kingdom of Thailand, 5.67%, 3/13/28
|
THB | 92,500,000 | 3,727,236 | |||||||||
|
Total Thailand
|
$ | 34,557,071 | ||||||||||
| Turkey — 10.1% | ||||||||||||
|
Turkey Government Bond, 0.00%, 4/25/12
|
TRY | 19,569,000 | $ | 11,908,656 | ||||||||
|
Turkey Government Bond, 0.00%, 8/8/12
|
TRY | 11,410,000 | 6,774,584 | |||||||||
|
Turkey Government Bond, 0.00%, 11/7/12
|
TRY | 17,860,000 | 10,367,489 | |||||||||
|
Turkey Government Bond,
4.00%, 4/1/20(2)
|
TRY | 9,714,335 | 7,063,171 | |||||||||
|
Turkey Government Bond, 8.00%, 10/9/13
|
TRY | 7,015,000 | 4,531,386 | |||||||||
|
Turkey Government Bond, 10.00%, 1/9/13
|
TRY | 8,595,000 | 5,776,620 | |||||||||
|
Turkey Government Bond, 10.00%, 4/10/13
|
TRY | 7,165,000 | 4,825,658 | |||||||||
|
Turkey Government Bond, 10.00%, 6/17/15
|
TRY | 7,800,000 | 5,325,446 | |||||||||
|
Turkey Government Bond, 10.50%, 1/15/20
|
TRY | 6,051,000 | 4,324,416 | |||||||||
|
Turkey Government Bond, 11.00%, 8/6/14
|
TRY | 9,221,000 | 6,415,900 | |||||||||
|
Turkey Government Bond, 14.00%, 9/26/12
|
TRY | 1,790,000 | 1,262,768 | |||||||||
|
Turkey Government Bond, 16.00%, 3/7/12
|
TRY | 1,270,000 | 886,829 | |||||||||
|
Turkey Government Bond, 16.00%, 8/28/13
|
TRY | 1,330,000 | 1,008,212 | |||||||||
|
Total Turkey
|
$ | 70,471,135 | ||||||||||
| Uruguay — 0.1% | ||||||||||||
|
Republic of Uruguay,
5.00%, 9/14/18(2)
|
UYU | 14,668,276 | $ | 932,233 | ||||||||
|
Total Uruguay
|
$ | 932,233 | ||||||||||
| Venezuela — 0.6% | ||||||||||||
|
Bolivarian Republic of Venezuela,
7.00%, 3/31/38(5)
|
USD | 6,137,000 | $ | 3,513,433 | ||||||||
|
Bolivarian Republic of Venezuela,
9.25%, 5/7/28(5)
|
USD | 1,368,100 | 932,360 | |||||||||
|
Total Venezuela
|
$ | 4,445,793 | ||||||||||
|
Total Foreign Government Bonds
|
||||||||||||
|
(identified cost $453,593,579)
|
$ | 481,210,286 | ||||||||||
See Notes to
Consolidated Financial Statements.
17
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
| Mortgage Pass-Throughs — 2.0% | ||||||||||||
|
Principal |
||||||||||||
| Security | Amount | Value | ||||||||||
|
Federal Home Loan Mortgage Corp.:
|
||||||||||||
|
7.00%, with maturity at 2032
|
$ | 3,184,973 | $ | 3,654,970 | ||||||||
|
7.50%, with maturity at 2034
|
701,134 | 823,518 | ||||||||||
| $ | 4,478,488 | |||||||||||
|
Federal National Mortgage Association:
|
||||||||||||
|
2.734%, with maturity at
2035(6)
|
$ | 1,649,375 | $ | 1,722,086 | ||||||||
|
4.378%, with maturity at
2035(6)
|
1,379,787 | 1,494,482 | ||||||||||
|
6.50%, with various maturities to 2033
|
3,084,845 | 3,364,571 | ||||||||||
|
7.00%, with maturity at 2033
|
1,296,296 | 1,495,093 | ||||||||||
|
8.50%, with maturity at 2032
|
1,164,130 | 1,428,521 | ||||||||||
| $ | 9,504,753 | |||||||||||
|
Total Mortgage Pass-Throughs
|
||||||||||||
|
(identified cost $13,622,634)
|
$ | 13,983,241 | ||||||||||
| U.S. Government Agency Obligations — 1.1% | ||||||||||||
|
Principal |
||||||||||||
| Security | Amount | Value | ||||||||||
|
Federal Home Loan Bank:
|
||||||||||||
|
4.50%, 9/13/19
|
$ | 4,000,000 | $ | 4,366,900 | ||||||||
|
5.25%, 12/9/22
|
2,700,000 | 3,017,444 | ||||||||||
|
Total U.S. Government Agency
Obligations
|
||||||||||||
|
(identified cost $7,801,968)
|
$ | 7,384,344 | ||||||||||
| Precious Metals — 1.8% | ||||||||||||
| Description | Troy Ounces | Value | ||||||||||
|
Gold(7)
|
2,421 | $ | 3,783,733 | |||||||||
|
Platinum(7)
|
4,784 | 8,952,341 | ||||||||||
|
Total Precious Metals
|
||||||||||||
|
(identified cost $11,651,853)
|
$ | 12,736,074 | ||||||||||
| Currency Options Purchased — 0.0%(3) | ||||||||||||||||||
|
Principal |
||||||||||||||||||
|
Amount of |
||||||||||||||||||
|
Contracts |
Strike |
Expiration |
||||||||||||||||
| Description | (000’s omitted) | Price | Date | Value | ||||||||||||||
|
Euro Put Option
|
EUR | 5,600 | EUR | 1.22 | 5/11/11 | $ | 0 | |||||||||||
|
Euro Put Option
|
EUR | 6,566 | EUR | 1.17 | 5/3/12 | 61,960 | ||||||||||||
|
Total Currency Options Purchased
|
||||||||||||||||||
|
(identified cost $591,330)
|
$ | 61,960 | ||||||||||||||||
| Put Options Purchased — 0.0%(3) | ||||||||||||||||||
|
Number of |
Strike |
Expiration |
||||||||||||||||
| Description | Contracts | Price | Date | Value | ||||||||||||||
|
KOSPI 200 Index
|
28,650,000 | KRW | 205 | 10/13/11 | $ | 14,914 | ||||||||||||
|
KOSPI 200 Index
|
28,650,000 | KRW | 200 | 10/11/12 | 92,101 | |||||||||||||
|
Light Sweet Crude Oil Future 12/11
|
6 | USD | 80 | 11/15/11 | 5,280 | |||||||||||||
|
Total Put Options Purchased
|
||||||||||||||||||
|
(identified cost $547,687)
|
$ | 112,295 | ||||||||||||||||
| Short-Term Investments — 23.3% | ||||||||||||
| Foreign Government Securities — 17.4% | ||||||||||||
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Brazil — 0.9% | ||||||||||||
|
Letras Do Tesouro Nacional, 0.00%, 7/1/11
|
BRL | 10,400 | $ | 6,479,407 | ||||||||
|
Total Brazil
|
$ | 6,479,407 | ||||||||||
| Colombia — 0.1% | ||||||||||||
|
Titulos De Tesoreria B, 0.00%, 4/26/12
|
COP | 1,178,600 | $ | 635,652 | ||||||||
|
Total Colombia
|
$ | 635,652 | ||||||||||
| Croatia — 1.4% | ||||||||||||
|
Croatia Treasury Bill, 0.00%, 5/5/11
|
EUR | 341 | $ | 504,942 | ||||||||
|
Croatia Treasury Bill, 0.00%, 6/2/11
|
EUR | 700 | 1,035,197 | |||||||||
|
Croatia Treasury Bill, 0.00%, 6/16/11
|
EUR | 819 | 1,210,073 | |||||||||
|
Croatia Treasury Bill, 0.00%, 8/25/11
|
EUR | 307 | 451,321 | |||||||||
|
Croatia Treasury Bill, 0.00%, 9/8/11
|
EUR | 592 | 869,269 | |||||||||
|
Croatia Treasury Bill, 0.00%, 9/15/11
|
EUR | 3,467 | 5,087,722 | |||||||||
|
Croatia Treasury Bill, 0.00%, 9/22/11
|
EUR | 540 | 791,949 | |||||||||
|
Total Croatia
|
$ | 9,950,473 | ||||||||||
| Egypt — 0.2% | ||||||||||||
|
Egypt Treasury Bill, 0.00%, 7/12/11
|
EGP | 3,600 | $ | 592,335 | ||||||||
|
Egypt Treasury Bill, 0.00%, 8/2/11
|
EGP | 1,900 | 310,548 | |||||||||
|
Egypt Treasury Bill, 0.00%, 8/9/11
|
EGP | 4,700 | 766,504 | |||||||||
|
Total Egypt
|
$ | 1,669,387 | ||||||||||
See Notes to
Consolidated Financial Statements.
18
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Georgia — 0.2% | ||||||||||||
|
Bank of Georgia Promissory Note, 9.00%, 12/7/11
|
USD | 1,500 | $ | 1,500,000 | ||||||||
|
Total Georgia
|
$ | 1,500,000 | ||||||||||
| Ghana — 0.3% | ||||||||||||
|
Ghana Government Bond, 14.47%, 12/15/11
|
GHS | 3,062 | $ | 2,079,345 | ||||||||
|
Total Ghana
|
$ | 2,079,345 | ||||||||||
| Hong Kong — 1.5% | ||||||||||||
|
Hong Kong Treasury Bill, 0.00%, 5/11/11
|
HKD | 34,000 | $ | 4,377,725 | ||||||||
|
Hong Kong Treasury Bill, 0.00%, 7/20/11
|
HKD | 9,500 | 1,222,693 | |||||||||
|
Hong Kong Treasury Bill, 0.00%, 8/10/11
|
HKD | 34,000 | 4,375,544 | |||||||||
|
Hong Kong Treasury Bill, 0.00%, 9/7/11
|
HKD | 3,500 | 450,918 | |||||||||
|
Total Hong Kong
|
$ | 10,426,880 | ||||||||||
| Iceland — 0.0%(3) | ||||||||||||
|
Iceland Treasury Bill, 0.00%, 5/16/11
|
ISK | 7,518 | $ | 57,486 | ||||||||
|
Iceland Treasury Bill, 0.00%, 6/15/11
|
ISK | 12,310 | 93,897 | |||||||||
|
Total Iceland
|
$ | 151,383 | ||||||||||
| Indonesia — 0.8% | ||||||||||||
|
Indonesia Treasury Bill, 0.00%, 5/5/11
|
IDR | 4,826,000 | $ | 563,317 | ||||||||
|
Indonesia Treasury Bill, 0.00%, 6/9/11
|
IDR | 3,655,000 | 424,165 | |||||||||
|
Indonesia Treasury Bill, 0.00%, 6/23/11
|
IDR | 4,380,000 | 507,039 | |||||||||
|
Indonesia Treasury Bill, 0.00%, 7/6/11
|
IDR | 6,759,000 | 781,062 | |||||||||
|
Indonesia Treasury Bill, 0.00%, 7/7/11
|
IDR | 9,106,000 | 1,054,003 | |||||||||
|
Indonesia Treasury Bill, 0.00%, 7/20/11
|
IDR | 16,548,000 | 1,910,775 | |||||||||
|
Total Indonesia
|
$ | 5,240,361 | ||||||||||
| Israel — 3.5% | ||||||||||||
|
Israel Treasury Bill, 0.00%, 5/4/11
|
ILS | 4,556 | $ | 1,347,321 | ||||||||
|
Israel Treasury Bill, 0.00%, 6/1/11
|
ILS | 17,435 | 5,145,139 | |||||||||
|
Israel Treasury Bill, 0.00%, 7/6/11
|
ILS | 1,746 | 513,700 | |||||||||
|
Israel Treasury Bill, 0.00%, 8/3/11
|
ILS | 9,306 | 2,730,425 | |||||||||
|
Israel Treasury Bill, 0.00%, 9/7/11
|
ILS | 12,718 | 3,724,920 | |||||||||
|
Israel Treasury Bill, 0.00%, 10/5/11
|
ILS | 6,204 | 1,810,135 | |||||||||
|
Israel Treasury Bill, 0.00%, 11/2/11
|
ILS | 22,957 | 6,680,795 | |||||||||
|
Israel Treasury Bill, 0.00%, 2/29/12
|
ILS | 8,112 | 2,333,587 | |||||||||
|
Total Israel
|
$ | 24,286,022 | ||||||||||
| Kazakhstan — 2.1% | ||||||||||||
|
Kazakhstan National Bank, 0.00%, 5/13/11
|
KZT | 119,000 | $ | 815,844 | ||||||||
|
Kazakhstan National Bank, 0.00%, 5/27/11
|
KZT | 271,637 | 1,861,850 | |||||||||
|
Kazakhstan National Bank, 0.00%, 6/3/11
|
KZT | 25,800 | 176,811 | |||||||||
|
Kazakhstan National Bank, 0.00%, 6/10/11
|
KZT | 355,008 | 2,432,536 | |||||||||
|
Kazakhstan National Bank, 0.00%, 6/17/11
|
KZT | 151,305 | 1,036,564 | |||||||||
|
Kazakhstan National Bank, 0.00%, 7/8/11
|
KZT | 134,321 | 919,639 | |||||||||
|
Kazakhstan National Bank, 0.00%, 7/15/11
|
KZT | 55,867 | 382,406 | |||||||||
|
Kazakhstan National Bank, 0.00%, 7/22/11
|
KZT | 164,968 | 1,128,911 | |||||||||
|
Kazakhstan National Bank, 0.00%, 7/29/11
|
KZT | 485,279 | 3,319,969 | |||||||||
|
Kazakhstan National Bank, 0.00%, 8/19/11
|
KZT | 416,900 | 2,849,591 | |||||||||
|
Kazakhstan National Bank, 0.00%, 3/4/12
|
KZT | 4,386 | 29,679 | |||||||||
|
Total Kazakhstan
|
$ | 14,953,800 | ||||||||||
| Lebanon — 0.6% | ||||||||||||
|
Lebanon Treasury Bill, 0.00%, 6/30/11
|
LBP | 386,000 | $ | 255,208 | ||||||||
|
Lebanon Treasury Bill, 0.00%, 7/14/11
|
LBP | 179,220 | 118,315 | |||||||||
|
Lebanon Treasury Bill, 0.00%, 7/28/11
|
LBP | 1,727,060 | 1,138,432 | |||||||||
|
Lebanon Treasury Bill, 0.00%, 8/11/11
|
LBP | 72,000 | 47,379 | |||||||||
|
Lebanon Treasury Bill, 0.00%, 9/22/11
|
LBP | 192,250 | 125,805 | |||||||||
|
Lebanon Treasury Bill, 0.00%, 10/6/11
|
LBP | 3,479,130 | 2,272,150 | |||||||||
|
Lebanon Treasury Note, 6.74%, 10/20/11
|
LBP | 358,450 | 241,055 | |||||||||
|
Lebanon Treasury Note, 6.86%, 10/6/11
|
LBP | 179,220 | 120,523 | |||||||||
|
Lebanon Treasury Note, 9.06%, 11/10/11
|
LBP | 179,220 | 122,059 | |||||||||
|
Total Lebanon
|
$ | 4,440,926 | ||||||||||
| Malaysia — 1.0% | ||||||||||||
|
Malaysia Treasury Bill, 0.00%, 5/10/11
|
MYR | 3,612 | $ | 1,218,726 | ||||||||
|
Malaysia Treasury Bill, 0.00%, 6/2/11
|
MYR | 495 | 166,734 | |||||||||
|
Malaysia Treasury Bill, 0.00%, 6/16/11
|
MYR | 6,620 | 2,227,261 | |||||||||
|
Malaysia Treasury Bill, 0.00%, 7/14/11
|
MYR | 10,961 | 3,680,809 | |||||||||
|
Total Malaysia
|
$ | 7,293,530 | ||||||||||
| Philippines — 0.4% | ||||||||||||
|
Philippine Treasury Bill, 0.00%, 6/8/11
|
PHP | 34,840 | $ | 812,905 | ||||||||
|
Philippine Treasury Bill, 0.00%, 9/7/11
|
PHP | 34,840 | 811,838 | |||||||||
|
Philippine Treasury Bill, 0.00%, 9/21/11
|
PHP | 51,300 | 1,193,475 | |||||||||
|
Total Philippines
|
$ | 2,818,218 | ||||||||||
See Notes to
Consolidated Financial Statements.
19
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
| Romania — 1.2% | ||||||||||||
|
Romania Treasury Bill, 0.00%, 11/9/11
|
RON | 7,160 | $ | 2,512,537 | ||||||||
|
Romania Treasury Bill, 0.00%, 12/14/11
|
RON | 2,200 | 767,939 | |||||||||
|
Romania Treasury Bill, 0.00%, 3/21/12
|
RON | 9,520 | 3,248,551 | |||||||||
|
Romania Treasury Bill, 0.00%, 4/11/12
|
RON | 4,990 | 1,700,901 | |||||||||
|
Total Romania
|
$ | 8,229,928 | ||||||||||
| Serbia — 0.4% | ||||||||||||
|
Serbia Treasury Bill, 0.00%, 12/13/11
|
RSD | 37,420 | $ | 517,046 | ||||||||
|
Serbia Treasury Bill, 0.00%, 3/22/12
|
RSD | 146,950 | 1,964,345 | |||||||||
|
Serbia Treasury Bill, 0.00%, 4/5/12
|
RSD | 29,480 | 392,282 | |||||||||
|
Total Serbia
|
$ | 2,873,673 | ||||||||||
| South Korea — 0.6% | ||||||||||||
|
Korea Monetary Stabilization Bond, 0.00%, 5/17/11
|
KRW | 637,100 | $ | 593,699 | ||||||||
|
Korea Monetary Stabilization Bond, 0.00%, 5/17/11
|
KRW | 181,250 | 168,907 | |||||||||
|
Korea Monetary Stabilization Bond,
0.00%, 6/7/11 |
KRW | 239,490 | 222,724 | |||||||||
|
Korea Monetary Stabilization Bond,
0.00%, 7/5/11 |
KRW | 649,960 | 602,878 | |||||||||
|
Korea Monetary Stabilization Bond, 0.00%, 8/23/11
|
KRW | 2,511,600 | 2,318,056 | |||||||||
|
Total South Korea
|
$ | 3,906,264 | ||||||||||
| Sri Lanka — 0.4% | ||||||||||||
|
Sri Lanka Treasury Bill, 0.00%, 7/15/11
|
LKR | 60,920 | $ | 546,367 | ||||||||
|
Sri Lanka Treasury Bill, 0.00%, 8/5/11
|
LKR | 22,030 | 196,842 | |||||||||
|
Sri Lanka Treasury Bill, 0.00%, 3/9/12
|
LKR | 17,130 | 146,638 | |||||||||
|
Sri Lanka Treasury Bill, 0.00%, 3/16/12
|
LKR | 9,720 | 83,082 | |||||||||
|
Sri Lanka Treasury Bill, 0.00%, 3/23/12
|
LKR | 14,370 | 122,632 | |||||||||
|
Sri Lanka Treasury Bill, 0.00%, 4/27/12
|
LKR | 180,600 | 1,528,609 | |||||||||
|
Total Sri Lanka
|
$ | 2,624,170 | ||||||||||
| Turkey — 0.4% | ||||||||||||
|
Turkey Government Bond, 0.00%, 5/11/11
|
TRY | 285 | $ | 186,948 | ||||||||
|
Turkey Government Bond, 0.00%, 11/16/11
|
TRY | 4,630 | 2,918,940 | |||||||||
|
Total Turkey
|
$ | 3,105,888 | ||||||||||
| Uruguay — 0.9% | ||||||||||||
|
Uruguay Treasury Bill, 0.00%, 5/10/11
|
UYU | 859 | $ | 45,451 | ||||||||
|
Uruguay Treasury Bill, 0.00%, 5/25/11
|
UYU | 12,500 | 659,777 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 6/15/11
|
UYU | 8,600 | 452,031 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 6/16/11
|
UYU | 32,000 | 1,681,614 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 6/21/11
|
UYU | 6,910 | 362,733 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 7/5/11
|
UYU | 9,773 | 511,456 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 7/7/11
|
UYU | 3,550 | 185,702 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 8/11/11
|
UYU | 12,355 | 641,324 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 8/18/11
|
UYU | 4,625 | 239,685 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 8/30/11
|
UYU | 5,327 | 275,286 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 9/16/11
|
UYU | 6,200 | 319,168 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 10/21/11
|
UYU | 6,725 | 343,201 | |||||||||
|
Uruguay Treasury Bill, 0.00%, 11/22/11
|
UYU | 13,225 | 669,569 | |||||||||
|
Total Uruguay
|
$ | 6,386,997 | ||||||||||
| Zambia — 0.5% | ||||||||||||
|
Zambia Treasury Bill, 0.00%, 5/9/11
|
ZMK | 655,000 | $ | 138,992 | ||||||||
|
Zambia Treasury Bill, 0.00%, 6/13/11
|
ZMK | 1,245,000 | 262,727 | |||||||||
|
Zambia Treasury Bill, 0.00%, 8/29/11
|
ZMK | 2,005,000 | 416,882 | |||||||||
|
Zambia Treasury Bill, 0.00%, 9/12/11
|
ZMK | 1,515,000 | 313,791 | |||||||||
|
Zambia Treasury Bill, 0.00%, 10/10/11
|
ZMK | 2,910,000 | 597,638 | |||||||||
|
Zambia Treasury Bill, 0.00%, 12/12/11
|
ZMK | 4,170,000 | 845,472 | |||||||||
|
Zambia Treasury Bill, 0.00%, 3/12/12
|
ZMK | 540,000 | 106,981 | |||||||||
|
Zambia Treasury Bill, 0.00%, 3/19/12
|
ZMK | 3,225,000 | 637,071 | |||||||||
|
Total Zambia
|
$ | 3,319,554 | ||||||||||
|
Total Foreign Government Securities
|
||||||||||||
|
(identified cost $117,995,144)
|
$ | 122,371,858 | ||||||||||
| U.S. Treasury Obligations — 0.3% | ||||||||||||
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
|
United States Treasury Bill,
0.00%, 6/23/11(8)
|
$ | 2,000 | $ | 1,999,966 | ||||||||
|
United States Treasury Bill,
0.00%, 7/28/11(8)
|
267 | 266,881 | ||||||||||
|
United States Treasury Bill, 0.00%, 10/6/11
|
71 | 71,273 | ||||||||||
|
Total U.S. Treasury Obligations
|
||||||||||||
|
(identified cost $2,337,615)
|
$ | 2,338,120 | ||||||||||
See Notes to
Consolidated Financial Statements.
20
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
| Repurchase Agreements — 0.8% | ||||||||||||
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Description | (000’s omitted) | Value | ||||||||||
|
Bank of America, dated 4/27/11 with a maturity date of 7/1/11,
an interest rate of 0.75% and repurchase proceeds of EUR
3,560,147, collateralized by EUR 3,610,000 Belgium Kingdom
Government Bond 3.75%, due 9/28/20 and a market value, including
accrued interest, of $5,309,664.
|
EUR | 3,556 | $ | 5,266,748 | ||||||||
|
Total Repurchase Agreements
|
||||||||||||
|
(identified cost $5,260,343)
|
$ | 5,266,748 | ||||||||||
| Other Securities — 4.8% | ||||||||||||
|
Interest |
||||||||||||
| Description | (000’s omitted) | Value | ||||||||||
|
Eaton Vance Cash Reserves Fund, LLC,
0.16%(9)
|
$ | 33,262 | $ | 33,261,562 | ||||||||
|
Total Other Securities
|
||||||||||||
|
(identified cost $33,261,562)
|
$ | 33,261,562 | ||||||||||
|
Total Short-Term Investments
|
||||||||||||
|
(identified cost $158,854,664)
|
$ | 163,238,288 | ||||||||||
|
Total Investments — 97.1%
|
||||||||||||
|
(identified cost $646,663,715)
|
$ | 678,726,488 | ||||||||||
|
Other Assets, Less
Liabilities — 2.9%
|
$ | 20,361,003 | ||||||||||
|
Net Assets — 100.0%
|
$ | 699,087,491 | ||||||||||
The percentage shown for each investment category in the
Consolidated Portfolio of Investments is based on net assets.
|
BRL
|
- Brazilian Real
|
|
|
CLP
|
- Chilean Peso
|
|
|
COP
|
- Colombian Peso
|
|
|
CRC
|
- Costa Rican Colon
|
|
|
DOP
|
- Dominican Peso
|
|
|
EGP
|
- Egyptian Pound
|
|
|
EUR
|
- Euro
|
|
|
GHS
|
- Ghanaian Cedi
|
|
|
HKD
|
- Hong Kong Dollar
|
|
|
HUF
|
- Hungarian Forint
|
|
|
IDR
|
- Indonesian Rupiah
|
|
|
ILS
|
- Israeli Shekel
|
|
|
ISK
|
- Icelandic Krona
|
|
|
KRW
|
- South Korean Won
|
|
|
KZT
|
- Kazak Tenge
|
|
|
LBP
|
- Lebanese Pound
|
|
|
LKR
|
- Sri Lankan Rupee
|
|
|
MXN
|
- Mexican Peso
|
|
|
MYR
|
- Malaysian Ringgit
|
|
|
PEN
|
- Peruvian New Sol
|
|
|
PHP
|
- Philippine Peso
|
|
|
PLN
|
- Polish Zloty
|
|
|
RON
|
- Romanian Leu
|
|
|
RSD
|
- Serbian Dinar
|
|
|
RUB
|
- Russian Ruble
|
|
|
THB
|
- Thailand Baht
|
|
|
TRY
|
- New Turkish Lira
|
|
|
TWD
|
- New Taiwan Dollar
|
|
|
USD
|
- United States Dollar
|
|
|
UYU
|
- Uruguayan Peso
|
|
|
ZAR
|
- South African Rand
|
|
|
ZMK
|
- Zambian Kwacha
|
| (1) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At April 30, 2011, the aggregate value of these securities is $27,278,700 or 3.9% of the Portfolio’s net assets. | |
| (2) | Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal. | |
| (3) | Amount is less than 0.05%. | |
| (4) | Represents a structured security whose market value and interest rate are linked to the performance of the underlying security. | |
| (5) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| (6) | Adjustable rate mortgage security. Rate shown is the rate at April 30, 2011. | |
| (7) | Non-income producing. | |
| (8) | Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts. | |
| (9) | Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of April 30, 2011. |
See Notes to
Consolidated Financial Statements.
21
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Portfolio of Investments (Unaudited) — continued
| Securities Sold Short | ||||||||||||
| Foreign Government Bonds | ||||||||||||
|
Principal |
||||||||||||
|
Amount |
||||||||||||
| Security | (000’s omitted) | Value | ||||||||||
|
Belgium Kingdom Government Bond, 3.75%, 9/28/20
|
EUR | (3,150 | ) | $ | (4,530,054 | ) | ||||||
|
Total Foreign Government Bonds
|
||||||||||||
|
(proceeds $4,174,334)
|
$ | (4,530,054 | ) | |||||||||
|
Total Securities Sold Short
|
||||||||||||
|
(proceeds $4,174,334)
|
$ | (4,530,054 | ) | |||||||||
See Notes to
Consolidated Financial Statements.
22
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Statement of Assets and Liabilities (Unaudited)
| Assets | April 30, 2011 | |||||
|
Investments —
|
||||||
|
Securities of unaffiliated issuers, at value (identified cost,
$601,750,300)
|
$ | 632,728,852 | ||||
|
Affiliated investment, at value (identified cost, $33,261,562)
|
33,261,562 | |||||
|
Precious metals, at value (identified cost, $11,651,853)
|
12,736,074 | |||||
|
Total Investments, at value (identified cost $646,663,715)
|
$ | 678,726,488 | ||||
|
Cash
|
$ | 879,659 | ||||
|
Cash collateral on deposit at broker
|
10,950 | |||||
|
Foreign currency, at value (identified cost, $9,020,306)
|
9,094,468 | |||||
|
Interest and dividends receivable
|
10,040,478 | |||||
|
Interest receivable from affiliated investment
|
4,593 | |||||
|
Receivable for investments sold
|
5,366,271 | |||||
|
Receivable for variation margin on open financial futures
contracts
|
525,102 | |||||
|
Receivable for open forward foreign currency exchange contracts
|
14,641,300 | |||||
|
Receivable for closed forward foreign currency exchange contracts
|
682,690 | |||||
|
Receivable for open swap contracts
|
2,041,166 | |||||
|
Receivable for closed swap contracts
|
54,363 | |||||
|
Receivable for closed options
|
87,183 | |||||
|
Premium paid on open swap contracts
|
3,118,935 | |||||
|
Total assets
|
$ | 725,273,646 | ||||
| Liabilities | ||||||
|
Payable for investments purchased
|
$ | 11,124,410 | ||||
|
Payable for variation margin on open financial futures contracts
|
30,091 | |||||
|
Payable for open forward commodity contracts
|
795,970 | |||||
|
Payable for open forward foreign currency exchange contracts
|
4,177,331 | |||||
|
Payable for closed forward foreign currency exchange contracts
|
360,479 | |||||
|
Payable for open swap contracts
|
3,991,714 | |||||
|
Payable for securities sold short, at value (proceeds,
$4,174,334)
|
4,530,054 | |||||
|
Premium received on open swap contracts
|
148,474 | |||||
|
Payable to affiliates:
|
||||||
|
Investment adviser fee
|
354,616 | |||||
|
Trustees’ fees
|
1,440 | |||||
|
Interest payable for securities sold short
|
95,912 | |||||
|
Accrued expenses
|
575,664 | |||||
|
Total liabilities
|
$ | 26,186,155 | ||||
|
Net Assets applicable to investors’ interest in
Portfolio
|
$ | 699,087,491 | ||||
| Sources of Net Assets | ||||||
|
Net proceeds from capital contributions and withdrawals
|
$ | 659,573,780 | ||||
|
Net unrealized appreciation
|
39,513,711 | |||||
|
Total
|
$ | 699,087,491 | ||||
See Notes to
Consolidated Financial Statements.
23
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Statement of Operations (Unaudited)
|
Six Months Ended |
||||||
| Investment Income | April 30, 2011 | |||||
|
Interest (net of foreign taxes, $664,033)
|
$ | 15,259,134 | ||||
|
Interest allocated from affiliated investment
|
30,845 | |||||
|
Expenses allocated from affiliated investment
|
(1,526 | ) | ||||
|
Total investment income
|
$ | 15,288,453 | ||||
| Expenses | ||||||
|
Investment adviser fee
|
$ | 1,760,150 | ||||
|
Trustees’ fees and expenses
|
9,560 | |||||
|
Custodian fee
|
267,945 | |||||
|
Legal and accounting services
|
98,346 | |||||
|
Interest expense on securities sold short
|
35,225 | |||||
|
Miscellaneous
|
2,538 | |||||
|
Total expenses
|
$ | 2,173,764 | ||||
|
Deduct —
|
||||||
|
Reduction of custodian fee
|
$ | 163 | ||||
|
Total expense reductions
|
$ | 163 | ||||
|
Net expenses
|
$ | 2,173,601 | ||||
|
Net investment income
|
$ | 13,114,852 | ||||
| Realized and Unrealized Gain (Loss) | ||||||
|
Net realized gain (loss) —
|
||||||
|
Investment transactions
|
$ | 2,008,768 | ||||
|
Investment transactions allocated from affiliated investment
|
532 | |||||
|
Financial futures contracts
|
22,869 | |||||
|
Swap contracts
|
(280,413 | ) | ||||
|
Forward commodity contracts
|
(19,234 | ) | ||||
|
Foreign currency and forward foreign currency exchange contract
transactions
|
4,578,370 | |||||
|
Net realized gain
|
$ | 6,310,892 | ||||
|
Change in unrealized appreciation (depreciation) —
|
||||||
|
Investments (including net increase of $1,055,072 from precious
metals)
|
$ | 13,970,781 | ||||
|
Securities sold short
|
(355,720 | ) | ||||
|
Financial futures contracts
|
(466,989 | ) | ||||
|
Swap contracts
|
(2,611,942 | ) | ||||
|
Forward commodity contracts
|
(795,970 | ) | ||||
|
Foreign currency and forward foreign currency exchange contracts
|
11,496,916 | |||||
|
Net change in unrealized appreciation (depreciation)
|
$ | 21,237,076 | ||||
|
Net realized and unrealized gain
|
$ | 27,547,968 | ||||
|
Net increase in net assets from operations
|
$ | 40,662,820 | ||||
See Notes to
Consolidated Financial Statements.
24
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Statements of Changes in Net Assets
|
Six Months Ended |
||||||||||
|
April 30, 2011 |
Year Ended |
|||||||||
| Increase (Decrease) in Net Assets | (Unaudited) | October 31, 2010 | ||||||||
|
From operations —
|
||||||||||
|
Net investment income
|
$ | 13,114,852 | $ | 8,940,269 | ||||||
|
Net realized gain from investment transactions, financial
futures contracts, swap contracts, written options, forward
commodity contracts and foreign currency and forward foreign
currency exchange contract transactions
|
6,310,892 | 6,405,538 | ||||||||
|
Net change in unrealized appreciation (depreciation) from
investments, securities sold short, financial futures contracts,
swap contracts, written options, forward commodity contracts,
foreign currency and forward foreign currency exchange contracts
|
21,237,076 | 14,299,069 | ||||||||
|
Net increase in net assets from operations
|
$ | 40,662,820 | $ | 29,644,876 | ||||||
|
Capital transactions —
|
||||||||||
|
Contributions
|
$ | 286,938,428 | $ | 270,094,823 | ||||||
|
Withdrawals
|
(29,161,627 | ) | (15,131,692 | ) | ||||||
|
Net increase in net assets from capital transactions
|
$ | 257,776,801 | $ | 254,963,131 | ||||||
|
Net increase in net assets
|
$ | 298,439,621 | $ | 284,608,007 | ||||||
| Net Assets | ||||||||||
|
At beginning of period
|
$ | 400,647,870 | $ | 116,039,863 | ||||||
|
At end of period
|
$ | 699,087,491 | $ | 400,647,870 | ||||||
See Notes to
Consolidated Financial Statements.
25
Emerging
Markets Local Income Portfolio
April 30, 2011
Consolidated
Supplementary Data
|
Six Months Ended |
Year Ended October 31, | |||||||||||||||||||||
|
April 30, 2011 |
Period Ended |
|||||||||||||||||||||
| Ratios/Supplemental Data | (Unaudited) | 2010 | 2009 | 2008 | October 31, 2007(1) | |||||||||||||||||
|
Ratios (as a percentage of average daily net assets):
|
||||||||||||||||||||||
|
Expenses(2)
|
0.80 | %(3)(4) | 0.93 | % | 0.91 | % | 0.96 | % | 1.13 | %(3) | ||||||||||||
|
Net investment income
|
4.83 | %(3) | 5.30 | % | 5.70 | % | 5.51 | % | 5.25 | %(3) | ||||||||||||
|
Portfolio Turnover
|
9 | %(5) | 17 | % | 26 | % | 38 | % | 2 | %(5) | ||||||||||||
|
Total Return
|
6.00 | %(5) | 19.03 | % | 30.48 | % | (13.13 | )% | 10.48 | %(5) | ||||||||||||
|
Net assets, end of period (000’s omitted)
|
$ | 699,087 | $ | 400,648 | $ | 116,040 | $ | 60,837 | $ | 55,813 | ||||||||||||
| (1) | For the period from the start of business, June 27, 2007, to October 31, 2007. | |
| (2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. | |
| (3) | Annualized. | |
| (4) | Includes interest expense on securities sold short of 0.01%. | |
| (5) | Not annualized. |
See Notes to
Consolidated Financial Statements.
26
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited)
1 Significant
Accounting Policies
Emerging Markets Local Income Portfolio (the Portfolio) is a
Massachusetts business trust registered under the Investment
Company Act of 1940, as amended (the 1940 Act), as a
non-diversified, open-end management investment company. The
Portfolio’s investment objective is total return. Total
return is defined as income plus capital appreciation. The
Declaration of Trust permits the Trustees to issue interests in
the Portfolio. At April 30, 2011, Eaton Vance Emerging
Markets Local Income Fund, Eaton Vance Strategic Income Fund,
Eaton Vance International (Cayman Islands) Strategic Income Fund
and Eaton Vance International (Cayman Islands) Emerging Markets
Local Income Fund held an interest of 74.8%, 21.1%, 3.9% and
0.2%, respectively, in the Portfolio.
The Portfolio seeks to gain exposure to the commodity markets,
in whole or in part, through investments in Eaton Vance EMLIP
Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned
subsidiary of the Portfolio organized under the laws of the
Cayman Islands with the same objective and investment policies
and restrictions as the Portfolio. The Portfolio may invest up
to 25% of its total assets in the Subsidiary. The net assets of
the Subsidiary at April 30, 2011 were $13,125,415 or 1.9%
of the Portfolio’s consolidated net assets. The
accompanying consolidated financial statements include the
accounts of the Subsidiary. Intercompany balances and
transactions have been eliminated in consolidation.
The following is a summary of significant accounting policies of
the Portfolio. The policies are in conformity with accounting
principles generally accepted in the United States of America.
A Investment
Valuation — Debt obligations (including
short-term obligations with a remaining maturity of more than
sixty days and excluding most seasoned mortgage-backed
securities) 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
asked prices, broker/dealer quotations, prices or yields of
securities with similar characteristics, 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. Most
seasoned, fixed rate
30-year
mortgage-backed securities are valued through the use of the
investment adviser’s matrix pricing system, which takes
into account bond prices, yield differentials, anticipated
prepayments and interest rates provided by dealers. Short-term
debt securities purchased with a remaining maturity of sixty
days or less (excluding those that are
non-U.S.
dollar denominated, which typically are valued by a pricing
service or dealer quotes) are generally valued at amortized
cost, which approximates market value. Equity securities
(including common shares of closed-end investment companies)
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 asked prices therefore 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 asked 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
will use 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. Precious metals are valued at the New York
Composite mean quotation reported by Bloomberg at the valuation
time.
Exchange-traded options are valued at the mean between the bid
and asked prices at valuation time as reported by the Options
Price Reporting Authority for U.S. listed options or by the
relevant exchange or board of trade for
non-U.S.
listed options.
Over-the-counter
options (including options on securities, indices and foreign
currencies) are valued by a third party pricing service using
techniques that consider factors including the value of the
underlying instrument, the volatility of the underlying
instrument and the period of time until option expiration.
Financial futures contracts are valued at the 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
asked prices that are reported by currency dealers to a third
party pricing service at the valuation time. Such third party
pricing service valuations are supplied for specific settlement
periods and the Portfolio’s forward foreign currency
exchange contracts are valued at an interpolated rate between
the closest preceding and subsequent settlement period reported
by the third party pricing service. Forward commodity contracts
are valued based on interpolated rates derived from forward
rates as provided by brokers for specific settlement periods.
Interest rate swaps and
cross-currency
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. Future cash flows are
discounted to their present value using swap rates provided by
electronic data services or by broker/dealers. Credit default
swaps are normally valued using valuations provided by a third
party pricing service. The pricing services employ electronic
data processing techniques to determine the present value based
on credit spread quotations obtained from broker/dealers and
expected default recovery rates determined by the pricing
service using proprietary models. 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. Investments for
which valuations or market quotations are not readily available
or are deemed unreliable are valued at fair value using methods
determined in good faith by or at the direction of the Trustees
of the Portfolio in a manner that most fairly reflects the
security’s value, or the amount that the Portfolio might
reasonably expect to receive for the security upon its current
sale in the ordinary course. Each such determination is based on
a consideration of all relevant factors, which are likely to
vary from one pricing context to another. These factors may
include, but are not limited to, the type of security, the
existence of any contractual restrictions on the security’s
disposition, the price and extent of public trading in similar
securities of the issuer or of comparable companies or entities,
quotations or relevant information obtained from broker-dealers
or other market participants, information obtained from the
issuer, analysts,
and/or the
appropriate stock exchange (for exchange-traded securities), an
analysis of the company’s or entity’s financial
condition, and an evaluation of the forces that influence the
issuer and the market(s) in which the security is purchased and
sold.
27
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC
(Cash Reserves Fund), an affiliated investment company managed
by Eaton Vance Management (EVM). Cash Reserves Fund generally
values its investment securities utilizing the amortized cost
valuation technique in accordance with
Rule 2a-7
under the 1940 Act. This technique involves initially valuing a
portfolio security at its cost and thereafter assuming a
constant amortization to maturity of any discount or premium. If
amortized cost is determined not to approximate fair value, Cash
Reserves Fund may value its investment securities in the same
manner as debt obligations described above.
B Investment
Transactions — Investment transactions for
financial statement purposes are accounted for on a trade date
basis. Realized gains and losses on investments sold are
determined on the basis of identified cost.
C Income —
Interest income is recorded on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount.
Inflation adjustments to the principal amount of
inflation-adjusted bonds and notes are reflected as interest
income. Withholding taxes on foreign interest and capital gains
have been provided for in accordance with the Portfolio’s
understanding of the applicable countries’ tax rules and
rates.
D Federal
Taxes — The Portfolio has elected to be treated
as a partnership for federal tax purposes. No provision is made
by the Portfolio for federal or state taxes on any taxable
income of the Portfolio because each investor in the Portfolio
is ultimately responsible for the payment of any taxes on its
share of taxable income. Since at least one of the
Portfolio’s investors is a regulated investment company
that invests all or substantially all of its assets in the
Portfolio, the Portfolio normally must satisfy the applicable
source of income and diversification requirements (under the
Internal Revenue Code) in order for its investors to satisfy
them. The Portfolio will allocate, at least annually among its
investors, each investor’s distributive share of the
Portfolio’s net investment income, net realized capital
gains and any other items of income, gain, loss, deduction or
credit.
The Subsidiary is treated as a controlled foreign corporation
under the Internal Revenue Code and is not expected to be
subject to U.S. federal income tax. The Portfolio is treated as
a U.S. shareholder of the Subsidiary. As a result, the Portfolio
is required to include in gross income for U.S. federal income
tax purposes all of the Subsidiary’s income, whether or not
such income is distributed by the Subsidiary. If a net loss is
realized by the Subsidiary, such loss is not generally available
to offset the income earned by the Portfolio.
As of April 30, 2011, the Portfolio had no uncertain tax
positions that would require financial statement recognition,
de-recognition, or disclosure. Each of the Portfolio’s
federal tax returns filed in the
3-year
period ended October 31, 2010 remains subject to
examination by the Internal Revenue Service.
E Expense
Reduction — State Street Bank and
Trust Company (SSBT) serves as custodian of the Portfolio.
Pursuant to the custodian agreement, SSBT receives a fee reduced
by credits, which are determined based on the average daily cash
balance the Portfolio maintains with SSBT. All credit balances,
if any, used to reduce the Portfolio’s custodian fees are
reported as a reduction of expenses in the Consolidated
Statement of Operations.
F 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.
G Use of
Estimates — The preparation of the consolidated
financial statements in conformity with accounting principles
generally accepted in the United States of America requires
management to make estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the
consolidated financial statements and the reported amounts of
income and expense during the reporting period. Actual results
could differ from those estimates.
H Indemnifications —
Under the Portfolio’s organizational documents, its
officers and Trustees may be indemnified against certain
liabilities and expenses arising out of the performance of their
duties to the Portfolio. Under Massachusetts law, if certain
conditions prevail, interestholders in the Portfolio could be
deemed to have personal liability for the obligations of the
Portfolio. However, the Portfolio’s Declaration of Trust
contains an express disclaimer of liability on the part of
Portfolio interestholders and the By-laws provide that the
Portfolio shall assume the defense on behalf of any Portfolio
interestholder. Moreover, the By-laws also provide for
indemnification out of Portfolio property of any interestholder
held personally liable solely by reason of being or having been
an interestholder for all loss or expense arising from such
liability. Additionally, in the normal course of business, the
Portfolio enters into agreements with service providers that may
contain indemnification clauses. The Portfolio’s maximum
exposure under these arrangements is unknown as this would
involve future claims that may be made against the Portfolio
that have not yet occurred.
I Financial Futures
Contracts — Upon entering into a financial
futures contract, the Portfolio is required to deposit with the
broker, either in cash or securities, an amount equal to a
certain percentage of the purchase price (initial margin).
Subsequent payments, known as variation margin, are made or
received by the Portfolio each business day, depending on the
daily fluctuations in the value of the underlying security,
commodity or currency, and are recorded as unrealized gains or
losses by the Portfolio. Gains (losses) are realized upon the
expiration or closing of the financial futures contracts. Should
market conditions change unexpectedly, the Portfolio 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.
28
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
J Forward Foreign Currency
Exchange and Forward Commodity Contracts — The
Portfolio may enter into forward foreign currency exchange
contracts for the purchase or sale of a specific foreign
currency at a fixed price on a future date. The forward foreign
currency exchange contract is adjusted by the daily exchange
rate of the underlying currency and any gains or losses are
recorded as unrealized until such time as the contract has been
closed or offset by another contract with the same broker for
the same settlement date and currency. Unrealized and realized
gains and losses on forward commodity contracts, which are
entered into for the purchase or sale of a specific commodity at
a fixed price on a future date, are accounted for as described
above. Risks may arise upon entering these contracts from the
potential inability of counterparties to meet the terms of their
contracts and, in the case of forward foreign currency exchange
contracts, from movements in the value of a foreign currency
relative to the U.S. dollar.
K Written
Options — Upon the writing of a call or a put
option, the premium received by the Portfolio is included in the
Consolidated Statement of Assets and Liabilities as a liability.
The amount of the liability is subsequently
marked-to-market
to reflect the current market value of the option written, in
accordance with the Portfolio’s policies on investment
valuations discussed above. Premiums received from writing
options which expire are treated as realized gains. Premiums
received from writing options which are exercised or are closed
are added to or offset against the proceeds or amount paid on
the transaction to determine the realized gain or loss. When an
index option is exercised, the Portfolio is required to deliver
an amount of cash determined by the excess of the strike price
of the option over the value of the index (in the case of a put)
or the excess of the value of the index over the strike price of
the option (in the case of a call) at contract termination. If a
put option on a security is exercised, the premium reduces the
cost basis of the securities purchased by the Portfolio. The
Portfolio, as a writer of an option, may have no control over
whether the underlying securities or other assets may be sold
(call) or purchased (put) and, as a result, bears the market
risk of an unfavorable change in the price of the securities or
other assets underlying the written option. The Portfolio may
also bear the risk of not being able to enter into a closing
transaction if a liquid secondary market does not exist.
L Purchased
Options — Upon the purchase of a call or put
option, the premium paid by the Portfolio is included in the
Consolidated Statement of Assets and Liabilities as an
investment. The amount of the investment is subsequently
marked-to-market
to reflect the current market value of the option purchased, in
accordance with the Portfolio’s policies on investment
valuations discussed above. As the purchaser of an index option,
the Portfolio has the right to receive a cash payment equal to
any depreciation in the value of the index below the strike
price of the option (in the case of a put) or equal to any
appreciation in the value of the index over the strike price of
the option (in the case of a call) as of the valuation date of
the option. If an option which the Portfolio has purchased
expires on the stipulated expiration date, the Portfolio will
realize a loss in the amount of the cost of the option. If the
Portfolio enters into a closing sale transaction, the Portfolio
will realize a gain or loss, depending on whether the sales
proceeds from the closing sale transaction are greater or less
than the cost of the option. If the Portfolio exercises a put
option on a security, it will realize a gain or loss from the
sale of the underlying security, and the proceeds from such sale
will be decreased by the premium originally paid. If the
Portfolio exercises a call option on a security, the cost of the
security which the Portfolio purchases upon exercise will be
increased by the premium originally paid. The risk associated
with purchasing options is limited to the premium originally
paid.
M Interest Rate
Swaps — Pursuant to interest rate swap
agreements, the Portfolio either makes floating-rate payments
based on a benchmark interest rate in exchange for fixed-rate
payments or the Portfolio makes fixed-rate payments in exchange
for payments on a floating benchmark interest rate. Payments
received or made 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. The value of the swap is determined by changes
in the relationship between two rates of interest. The Portfolio
is exposed to credit loss in the event of non-performance by the
swap counterparty. Risk may also arise from movements in
interest rates.
N Cross-Currency
Swaps — Cross-currency swaps are interest rate
swaps in which interest cash flows are exchanged between two
parties based on the notional amounts of two different
currencies. The notional amounts are typically determined based
on the spot exchange rates at the inception of the trade.
Cross-currency swaps also involve the exchange of the notional
amounts at the start of the contract at the current spot rate
with an agreement to re-exchange such amounts at a later date at
the same exchange rate, a specified rate or the then current
spot rate. The entire principal value of a cross-currency swap
is subject to the risk that the counterparty to the swap will
default on its contractual delivery obligations.
O Credit Default
Swaps — When the Portfolio is the buyer of a
credit default swap contract, the Portfolio is entitled to
receive the par (or other
agreed-upon)
value of a referenced debt obligation (or basket of debt
obligations) from the counterparty to the contract if a credit
event by a third party, such as a U.S. or foreign corporate
issuer or sovereign issuer, on the debt obligation occurs. In
return, the Portfolio pays the counterparty a periodic stream of
payments over the term of the contract provided that no credit
event has occurred. If no credit event occurs, the Portfolio
would have spent the stream of payments and received no proceeds
from the contract. When the Portfolio is the seller of a credit
default swap contract, it receives the stream of payments, but
is obligated to pay to the buyer of the protection an amount up
to the notional amount of the swap and in certain instances take
delivery of securities of the reference entity upon the
occurrence of a credit event, as defined under the terms of that
particular swap agreement. Credit events are contract specific
but may include bankruptcy, failure to pay, restructuring,
obligation acceleration and repudiation/moratorium. If the
Portfolio is a seller of protection and a credit event occurs,
the maximum potential amount of future payments that the
Portfolio could be required to make would be an amount equal to
the notional amount of the agreement. This potential amount
would be partially offset by any recovery value of the
respective referenced obligation, or net amount received from
the settlement of a buy protection credit default swap agreement
entered into by the Portfolio for the same referenced
obligation. As the seller, the Portfolio effectively may create
economic leverage to its portfolio because, in addition to its
total net assets, the Portfolio is subject to investment
exposure on the notional amount of the swap. The interest fee
paid or received on the swap contract, which is based on a
specified interest rate on a fixed notional amount, is accrued
daily as a component of unrealized appreciation (depreciation)
and is recorded as realized gain upon receipt or realized loss
upon payment. The Portfolio also records an increase or decrease
to unrealized appreciation (depreciation) in an amount equal to
the daily valuation. Upfront payments or receipts, if any, are
recorded as other assets or other liabilities, respectively, and
amortized over the life of the swap contract as realized gains
or losses. For financial reporting purposes, unamortized upfront
payments, if any, are netted with unrealized
29
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
appreciation or depreciation on swap contracts to determine the
market value of swaps as presented in Notes 5 and 8. The
Portfolio segregates assets in the form of cash or liquid
securities in an amount equal to the notional amount of the
credit default swaps of which it is the seller. The Portfolio
segregates assets in the form of cash or liquid securities in an
amount equal to any unrealized depreciation of the credit
default swaps of which it is the buyer, marked to market on a
daily basis. These transactions involve certain risks, including
the risk that the seller may be unable to fulfill the
transaction.
P Total Return
Swaps — In a total return swap, the Portfolio
makes payments at a rate equal to a predetermined spread to the
one or three-month LIBOR. In exchange, the Portfolio receives
payments based on the rate of return of a benchmark industry
index or basket of securities. During the term of the
outstanding swap agreement, changes in the underlying value of
the swap are recorded as unrealized gains and losses. Periodic
payments received or made are recorded as realized gains or
losses. The value of the swap is determined by changes in the
relationship between the rate of interest and the benchmark
industry index or basket of securities. The Portfolio is exposed
to credit loss in the event of nonperformance by the swap
counterparty. Risk may also arise from the unanticipated
movements in value of interest rates, securities, or the index.
Q Repurchase
Agreements — A repurchase agreement is the
purchase by the Portfolio of securities from a counterparty in
exchange for cash that is coupled with an agreement to resell
those securities to the counterparty at a specified date and
price. When a repurchase agreement is entered, the Portfolio
typically receives securities with a value that equals or
exceeds the repurchase price, including any accrued interest
earned on the agreement. The value of such securities will be
marked to market daily, and cash or additional securities will
be exchanged between the parties as needed. Except in the case
of a repurchase agreement entered to settle a short sale, the
value of the securities delivered to the Portfolio will be at
least equal to 90% of the repurchase price during the term of
the repurchase agreement. The terms of a repurchase agreement
entered to settle a short sale may provide that the cash
purchase price paid by the Portfolio is more than the value of
purchased securities that effectively collateralize the
repurchase price payable by the counterparty. Since in such a
transaction the Portfolio normally will have used the purchased
securities to settle the short sale, the Portfolio will
segregate liquid assets equal to the marked to market value of
the purchased securities that it is obligated to return to the
counterparty under the repurchase agreement. In the event of the
insolvency of the counterparty to a repurchase agreement,
recovery of the repurchase price owed to the Portfolio may be
delayed. Such an insolvency also may result in a loss to the
extent that the value of the purchased securities decreases
during the delay or that value has otherwise not been maintained
at an amount at least equal to the repurchase price.
R Securities Sold
Short — A short sale is a transaction in which
the Portfolio sells a security it does not own in anticipation
of a decline in the market value of that security. To complete
such a transaction, the Portfolio must borrow the security to
make delivery to the buyer with an obligation to replace such
borrowed security at a later date. Until the security is
replaced, the Portfolio is required to repay the lender any
dividends or interest, which accrue during the period of the
loan. The proceeds received from a short sale are recorded as a
liability and the Portfolio records an unrealized gain or loss
to the extent of the difference between the proceeds received
and the value of the open short position on the day of
determination. A gain, limited to the price at which the
Portfolio sold the security short, or a loss, potentially
unlimited as there is no upward limit on the price of a
security, is recorded when the short position is terminated.
Interest payable on securities sold short is recorded as an
expense.
S Interim Consolidated
Financial Statements — The interim consolidated
financial statements relating to April 30, 2011 and for the
six months then ended have not been audited by an independent
registered public accounting firm, but in the opinion of the
Portfolio’s management, reflect all adjustments, consisting
only of normal recurring adjustments, necessary for the fair
presentation of the consolidated financial statements.
2 Investment
Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and
Research (BMR), a subsidiary of EVM, as compensation for
investment advisory services rendered to the Portfolio and the
Subsidiary. Pursuant to the investment advisory agreement
between the Portfolio and BMR and the investment advisory
agreement between the Subsidiary and BMR, the Portfolio and
Subsidiary each pay BMR a fee at an annual rate of 0.650% of its
respective average daily net assets up to $1 billion,
0.625% from $1 billion up to $2 billion, 0.600% from
$2 billion up to $5 billion, and 0.575% of average
daily net assets of $5 billion or more, and is payable
monthly. In determining the investment adviser fee for the
Portfolio and Subsidiary, the applicable advisory fee rate is
based on the average daily net assets of the Portfolio
(inclusive of its interest in the Subsidiary). Such fee rate is
then assessed separately on the Portfolio’s average daily
net assets (exclusive of its interest in the Subsidiary) and the
Subsidiary’s average daily net assets to determine the
amount of the investment adviser fee. The Portfolio invests its
cash in Cash Reserves Fund. EVM does not currently receive a fee
for advisory services provided to Cash Reserves Fund. For the
six months ended April 30, 2011, the Portfolio’s
investment adviser fee totaled $1,760,150 or 0.65% (annualized)
of the Portfolio’s consolidated average daily net assets.
Except for Trustees of the Portfolio who are not members of
EVM’s or BMR’s organizations, officers and Trustees
receive remuneration for their services to the Portfolio out of
the investment adviser fee. Trustees of the Portfolio who are
not affiliated with the investment adviser may elect to defer
receipt of all or a percentage of their annual fees in
accordance with the terms of the Trustees Deferred Compensation
Plan. For the six months ended April 30, 2011, no
significant amounts have been deferred. Certain officers and
Trustees of the Portfolio are officers of the above
organizations.
30
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
3 Purchases
and Sales of Investments
Purchases and sales of investments, other than short-term
obligations and including maturities, paydowns and securities
sold short, for the six months ended April 30, 2011 were as
follows:
| Purchases | Sales | |||||||||
|
Investments
(non-U.S.
Government)
|
$ | 217,825,968 | $ | 1,307,415 | ||||||
|
U.S. Government and Agency Securities
|
— | 33,469,296 | ||||||||
| $ | 217,825,968 | $ | 34,776,711 | |||||||
Included in sales are proceeds of $19,479,035 from the sale of
securities by the Portfolio to investment companies advised by
EVM or its affiliates. Such transactions were executed in
accordance with affiliated transaction procedures approved by
the Portfolio’s Trustees.
4 Federal
Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of
investments of the Portfolio at April 30, 2011, as
determined on a federal income tax basis, were as follows:
|
Aggregate cost
|
$ | 649,153,721 | ||||
|
Gross unrealized appreciation
|
$ | 36,224,518 | ||||
|
Gross unrealized depreciation
|
(6,651,751 | ) | ||||
|
Net unrealized appreciation
|
$ | 29,572,767 | ||||
5 Financial
Instruments
The Portfolio may trade in financial instruments with
off-balance sheet risk in the normal course of its investing
activities. These financial instruments may include forward
commodity contracts, 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 Portfolio has in particular classes of
financial instruments and do not necessarily represent the
amounts potentially subject to risk. The measurement of the
risks associated with these instruments is meaningful only when
all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at
April 30, 2011 is as follows:
| Forward Commodity Contracts(1) | ||||||||||||
|
Sales
|
||||||||||||
|
Net Unrealized |
||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Depreciation | ||||||||
|
6/28/11
|
Gold 1,972 Troy Ounces |
United States Dollar 2,834,780 |
Citigroup Global Markets | $ | (256,793 | ) | ||||||
|
10/27/11
|
Gold 1,462 Troy Ounces |
United States Dollar 2,083,744 |
Citigroup Global Markets | (208,337 | ) | |||||||
|
4/26/12
|
Gold 2,480 Troy Ounces |
United States Dollar 3,559,658 |
Citigroup Global Markets | (330,840 | ) | |||||||
| $ | (795,970 | ) | ||||||||||
| (1) | Non-deliverable contracts that are settled with the counterparty in cash. |
31
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts | ||||||||||||
|
Sales
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
|
5/2/11
|
New Turkish Lira 6,107,419 |
United States Dollar 4,025,454 |
Deutsche Bank | $ | 10,057 | |||||||
|
5/3/11
|
South African Rand 2,653,432 |
United States Dollar 401,731 |
Standard Bank | (2,448 | ) | |||||||
|
5/4/11
|
Euro 453,910 |
United States Dollar 645,234 |
Deutsche Bank | (27,057 | ) | |||||||
|
5/4/11
|
Israeli Shekel 1,696,000 |
United States Dollar 454,022 |
Barclays Bank PLC | (47,690 | ) | |||||||
|
5/4/11
|
Israeli Shekel 2,860,000 |
United States Dollar 760,032 |
Citigroup Global Markets | (86,016 | ) | |||||||
|
5/4/11
|
New Zealand Dollar 3,627,900 |
United States Dollar 2,758,525 |
Credit Suisse | (177,157 | ) | |||||||
|
5/4/11
|
New Zealand Dollar 1,035,000 |
United States Dollar 786,595 |
Goldman Sachs, Inc. | (50,923 | ) | |||||||
|
5/4/11
|
New Zealand Dollar 1,034,600 |
United States Dollar 786,586 |
HSBC Bank USA | (50,608 | ) | |||||||
|
5/4/11
|
New Zealand Dollar 489,800 |
United States Dollar 371,954 |
JPMorgan Chase Bank | (24,390 | ) | |||||||
|
5/4/11
|
Serbian Dinar 84,685,000 |
Euro 851,962 |
Deutsche Bank | (4,488 | ) | |||||||
|
5/5/11
|
Euro 341,000 |
United States Dollar 446,846 |
HSBC Bank USA | (58,198 | ) | |||||||
|
5/19/11
|
Japanese Yen 232,125,000 |
United States Dollar 2,788,556 |
Goldman Sachs, Inc. | (73,278 | ) | |||||||
|
5/20/11
|
Euro 569,857 |
United States Dollar 833,419 |
Deutsche Bank | (10,231 | ) | |||||||
|
5/20/11
|
Euro 281,107 |
United States Dollar 410,746 |
Goldman Sachs, Inc. | (5,421 | ) | |||||||
|
5/20/11
|
Euro 11,105,843 |
United States Dollar 15,914,673 |
HSBC Bank USA | (527,071 | ) | |||||||
|
5/20/11
|
Euro 11,105,843 |
United States Dollar 15,836,654 |
JPMorgan Chase Bank | (605,090 | ) | |||||||
|
5/23/11
|
Euro 1,570,000 |
United States Dollar 2,244,158 |
Standard Bank | (79,971 | ) | |||||||
|
6/1/11
|
Israeli Shekel 4,955,000 |
United States Dollar 1,353,271 |
Barclays Bank PLC | (110,430 | ) | |||||||
|
6/2/11
|
Euro 700,000 |
United States Dollar 856,310 |
HSBC Bank USA | (179,642 | ) | |||||||
|
6/15/11
|
South African Rand 774,936 |
United States Dollar 110,884 |
Bank of America | (6,468 | ) | |||||||
|
6/16/11
|
Euro 819,000 |
United States Dollar 1,009,999 |
Citigroup Global Markets | (201,605 | ) | |||||||
|
7/6/11
|
Israeli Shekel 1,746,000 |
United States Dollar 472,467 |
Deutsche Bank | (42,473 | ) | |||||||
|
7/15/11
|
Sri Lankan Rupee 60,920,000 |
United States Dollar 512,665 |
HSBC Bank USA | (39,384 | ) | |||||||
32
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Sales
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | (Depreciation) | ||||||||
|
8/3/11
|
Israeli Shekel 9,305,600 |
United States Dollar 2,667,049 |
Deutsche Bank | $ | (74,327 | ) | ||||||
|
8/5/11
|
Sri Lankan Rupee 22,030,000 |
United States Dollar 189,505 |
HSBC Bank USA | (9,826 | ) | |||||||
|
8/25/11
|
Euro 307,000 |
United States Dollar 386,851 |
Deutsche Bank | (66,342 | ) | |||||||
|
9/7/11
|
Israeli Shekel 3,412,100 |
United States Dollar 976,141 |
Barclays Bank PLC | (27,497 | ) | |||||||
|
9/7/11
|
Israeli Shekel 9,305,600 |
United States Dollar 2,661,937 |
Deutsche Bank | (75,221 | ) | |||||||
|
9/8/11
|
Euro 592,000 |
United States Dollar 751,745 |
Citigroup Global Markets | (121,749 | ) | |||||||
|
9/15/11
|
Euro 3,467,000 |
United States Dollar 4,502,038 |
Deutsche Bank | (612,295 | ) | |||||||
|
9/22/11
|
Euro 540,000 |
United States Dollar 707,697 |
Goldman Sachs, Inc. | (88,693 | ) | |||||||
|
10/5/11
|
Israeli Shekel 6,203,700 |
United States Dollar 1,772,739 |
Citigroup Global Markets | (49,780 | ) | |||||||
|
11/2/11
|
Israeli Shekel 19,627,000 |
United States Dollar 5,368,435 |
Barclays Bank PLC | (390,491 | ) | |||||||
|
11/2/11
|
Israeli Shekel 1,500,000 |
United States Dollar 405,351 |
Deutsche Bank | (34,777 | ) | |||||||
|
2/29/12
|
Israeli Shekel 5,553,000 |
United States Dollar 1,518,458 |
Deutsche Bank | (102,577 | ) | |||||||
|
3/9/12
|
Sri Lankan Rupee 17,130,000 |
United States Dollar 152,402 |
Standard Chartered Bank | (274 | ) | |||||||
|
3/16/12
|
Sri Lankan Rupee 9,720,000 |
United States Dollar 85,942 |
Standard Chartered Bank | (656 | ) | |||||||
|
3/23/12
|
Sri Lankan Rupee 14,370,000 |
United States Dollar 127,450 |
HSBC Bank USA | (524 | ) | |||||||
|
4/27/12
|
Sri Lankan Rupee 180,600,000 |
United States Dollar 1,595,406 |
Standard Chartered Bank | (9,760 | ) | |||||||
| $ | (4,064,771 | ) | ||||||||||
33
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
5/2/11
|
New Turkish Lira 6,107,419 |
United States Dollar 3,787,859 |
JPMorgan Chase Bank | $ | 227,538 | |||||||
|
5/3/11
|
Romanian Leu 7,938,000 |
Euro 1,950,488 |
Credit Suisse | (4,780 | ) | |||||||
|
5/3/11
|
Thai Baht 148,200,000 |
United States Dollar 4,835,237 |
Standard Chartered Bank | 129,588 | ||||||||
|
5/4/11
|
Czech Koruna 13,237,000 |
Euro 539,191 |
Deutsche Bank | 12,278 | ||||||||
|
5/4/11
|
Israeli Shekel 4,335,900 |
United States Dollar 1,267,733 |
Bank of America | 14,917 | ||||||||
|
5/4/11
|
Israeli Shekel 5,439,034 |
United States Dollar 1,624,562 |
Bank of America | (15,582 | ) | |||||||
|
5/4/11
|
Israeli Shekel 7,389,216 |
United States Dollar 2,141,367 |
Credit Suisse | 44,518 | ||||||||
|
5/4/11
|
Israeli Shekel 4,340,160 |
United States Dollar 1,264,321 |
Credit Suisse | 19,590 | ||||||||
|
5/4/11
|
Israeli Shekel 2,801,700 |
United States Dollar 820,879 |
Credit Suisse | 7,923 | ||||||||
|
5/4/11
|
Israeli Shekel 1,116,710 |
United States Dollar 325,844 |
Standard Bank | 4,502 | ||||||||
|
5/4/11
|
Serbian Dinar 57,083,000 |
Euro 573,524 |
Credit Suisse | 4,138 | ||||||||
|
5/4/11
|
Serbian Dinar 27,602,000 |
Euro 278,190 |
Raiffeisen Zentralbank | 717 | ||||||||
|
5/5/11
|
Mexican Peso 293,734,056 |
United States Dollar 24,798,147 |
Citigroup Global Markets | 713,409 | ||||||||
|
5/5/11
|
Mexican Peso 32,126,000 |
United States Dollar 2,765,073 |
Credit Suisse | 25,153 | ||||||||
|
5/6/11
|
Polish Zloty 22,597,883 |
Euro 5,589,454 |
Credit Suisse | 232,678 | ||||||||
|
5/9/11
|
Czech Koruna 80,338,000 |
Euro 3,284,532 |
Citigroup Global Markets | 57,061 | ||||||||
|
5/10/11
|
Mexican Peso 11,903,502 |
United States Dollar 983,314 |
Citigroup Global Markets | 50,073 | ||||||||
|
5/10/11
|
Mexican Peso 24,280,000 |
United States Dollar 1,999,094 |
Deutsche Bank | 108,741 | ||||||||
|
5/10/11
|
Thai Baht 315,825,000 |
United States Dollar 10,279,089 |
Bank of America | 297,448 | ||||||||
|
5/10/11
|
Thai Baht 300,000,000 |
United States Dollar 9,760,859 |
Barclays Bank PLC | 285,721 | ||||||||
|
5/11/11
|
Indonesian Rupiah 6,145,000,000 |
United States Dollar 682,778 |
Barclays Bank PLC | 34,631 | ||||||||
|
5/11/11
|
Indonesian Rupiah 5,525,000,000 |
United States Dollar 613,889 |
Credit Suisse | 31,137 | ||||||||
|
5/11/11
|
Indonesian Rupiah 2,520,000,000 |
United States Dollar 280,000 |
Standard Chartered Bank | 14,202 | ||||||||
34
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
5/11/11
|
New Turkish Lira 6,107,419 |
United States Dollar 4,019,626 |
Deutsche Bank | $ | (10,404 | ) | ||||||
|
5/13/11
|
Polish Zloty 47,002,000 |
Euro 11,815,782 |
Standard Bank | 194,194 | ||||||||
|
5/13/11
|
Russian Ruble 231,060,000 |
United States Dollar 8,204,673 |
HSBC Bank USA | 221,688 | ||||||||
|
5/16/11
|
Czech Koruna 55,600,000 |
Euro 2,278,035 |
Bank of America | 32,663 | ||||||||
|
5/16/11
|
Indian Rupee 37,500,000 |
United States Dollar 822,008 |
Goldman Sachs, Inc. | 24,034 | ||||||||
|
5/16/11
|
New Taiwan Dollar 15,840,000 |
United States Dollar 540,928 |
Citigroup Global Markets | 12,211 | ||||||||
|
5/18/11
|
Swedish Krona 47,394,000 |
Euro 5,245,949 |
Goldman Sachs, Inc. | 70,487 | ||||||||
|
5/19/11
|
Indonesian Rupiah 12,405,000,000 |
United States Dollar 1,428,160 |
Credit Suisse | 19,821 | ||||||||
|
5/20/11
|
Indonesian Rupiah 1,815,000,000 |
United States Dollar 208,573 |
Barclays Bank PLC | 3,279 | ||||||||
|
5/20/11
|
Indonesian Rupiah 1,566,000,000 |
United States Dollar 180,000 |
Deutsche Bank | 2,788 | ||||||||
|
5/20/11
|
Indonesian Rupiah 1,925,000,000 |
United States Dollar 221,264 |
Standard Chartered Bank | 3,427 | ||||||||
|
5/23/11
|
Czech Koruna 46,978,208 |
Euro 1,921,713 |
Credit Suisse | 32,493 | ||||||||
|
5/23/11
|
Indonesian Rupiah 2,833,620,000 |
United States Dollar 317,102 |
Citigroup Global Markets | 13,625 | ||||||||
|
5/23/11
|
Indonesian Rupiah 17,270,000,000 |
United States Dollar 1,980,050 |
Credit Suisse | 35,619 | ||||||||
|
5/23/11
|
Indonesian Rupiah 3,058,180,000 |
United States Dollar 342,231 |
Goldman Sachs, Inc. | 14,704 | ||||||||
|
5/23/11
|
Serbian Dinar 15,139,223 |
Euro 148,526 |
Deutsche Bank | 5,299 | ||||||||
|
5/23/11
|
Serbian Dinar 58,293,000 |
Euro 571,500 |
Standard Bank | 20,984 | ||||||||
|
5/23/11
|
Singapore Dollar 3,264,000 |
United States Dollar 2,560,602 |
Deutsche Bank | 105,930 | ||||||||
|
5/24/11
|
Indonesian Rupiah 22,000,000,000 |
United States Dollar 2,452,346 |
Citigroup Global Markets | 115,328 | ||||||||
|
5/24/11
|
Thai Baht 331,700,000 |
United States Dollar 10,818,656 |
Citigroup Global Markets | 280,051 | ||||||||
|
5/26/11
|
Yuan Renminbi 4,609,500 |
United States Dollar 700,000 |
Bank of America | 12,703 | ||||||||
|
5/26/11
|
Yuan Renminbi 9,223,200 |
United States Dollar 1,400,000 |
Barclays Bank PLC | 26,056 | ||||||||
|
5/26/11
|
Yuan Renminbi 4,610,200 |
United States Dollar 700,000 |
Citigroup Global Markets | 12,811 | ||||||||
35
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
5/31/11
|
Indian Rupee 30,000,000 |
United States Dollar 664,452 |
Bank of America | $ | 10,466 | |||||||
|
5/31/11
|
Indian Rupee 39,200,000 |
United States Dollar 868,025 |
Standard Chartered Bank | 13,868 | ||||||||
|
5/31/11
|
Norwegian Krone 32,130,000 |
Euro 4,066,497 |
Credit Suisse | 95,713 | ||||||||
|
5/31/11
|
Norwegian Krone 14,000,000 |
Euro 1,798,018 |
Goldman Sachs, Inc. | 3,041 | ||||||||
|
5/31/11
|
Polish Zloty 11,476,000 |
Euro 2,913,356 |
Standard Bank | 226 | ||||||||
|
5/31/11
|
South Korean Won 568,000,000 |
United States Dollar 507,778 |
Barclays Bank PLC | 23,433 | ||||||||
|
5/31/11
|
South Korean Won 544,000,000 |
United States Dollar 486,322 |
Citigroup Global Markets | 22,443 | ||||||||
|
5/31/11
|
Swedish Krona 31,216,800 |
Euro 3,531,552 |
Credit Suisse | (68,086 | ) | |||||||
|
6/3/11
|
South African Rand 30,573,046 |
United States Dollar 4,608,678 |
Standard Bank | 29,032 | ||||||||
|
6/3/11
|
Yuan Renminbi 1,950,000 |
United States Dollar 294,740 |
Bank of America | 7,141 | ||||||||
|
6/3/11
|
Yuan Renminbi 1,950,000 |
United States Dollar 294,606 |
Deutsche Bank | 7,274 | ||||||||
|
6/6/11
|
Indian Rupee 51,000,000 |
United States Dollar 1,126,325 |
Deutsche Bank | 19,795 | ||||||||
|
6/6/11
|
Indonesian Rupiah 8,260,000,000 |
United States Dollar 927,048 |
Bank of America | 36,616 | ||||||||
|
6/6/11
|
Indonesian Rupiah 6,838,000,000 |
United States Dollar 786,791 |
Citigroup Global Markets | 10,973 | ||||||||
|
6/6/11
|
Malaysian Ringgit 8,573,000 |
United States Dollar 2,807,046 |
Bank of America | 89,031 | ||||||||
|
6/6/11
|
Polish Zloty 7,125,614 |
United States Dollar 2,583,000 |
Goldman Sachs, Inc. | 92,905 | ||||||||
|
6/6/11
|
Polish Zloty 13,513,870 |
United States Dollar 4,749,875 |
JPMorgan Chase Bank | 325,032 | ||||||||
|
6/7/11
|
Indonesian Rupiah 4,650,000,000 |
United States Dollar 523,531 |
Barclays Bank PLC | 18,937 | ||||||||
|
6/7/11
|
Indonesian Rupiah 4,880,000,000 |
United States Dollar 549,550 |
Deutsche Bank | 19,750 | ||||||||
|
6/7/11
|
Singapore Dollar 2,225,000 |
United States Dollar 1,754,593 |
Bank of America | 63,115 | ||||||||
|
6/7/11
|
Singapore Dollar 2,225,000 |
United States Dollar 1,755,078 |
Citigroup Global Markets | 62,631 | ||||||||
|
6/7/11
|
Swedish Krona 37,111,000 |
Euro 4,120,514 |
Credit Suisse | 33,159 | ||||||||
|
6/9/11
|
Indonesian Rupiah 5,675,000,000 |
United States Dollar 640,808 |
Barclays Bank PLC | 21,161 | ||||||||
36
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
6/9/11
|
Indonesian Rupiah 5,675,000,000 |
United States Dollar 640,881 |
Standard Chartered Bank | $ | 21,088 | |||||||
|
6/9/11
|
Malaysian Ringgit 5,510,000 |
United States Dollar 1,811,308 |
Deutsche Bank | 49,913 | ||||||||
|
6/9/11
|
South Korean Won 890,000,000 |
United States Dollar 827,676 |
Bank of America | 4,557 | ||||||||
|
6/9/11
|
South Korean Won 1,200,000,000 |
United States Dollar 1,101,301 |
Barclays Bank PLC | 20,810 | ||||||||
|
6/9/11
|
South Korean Won 948,000,000 |
United States Dollar 860,566 |
Credit Suisse | 25,902 | ||||||||
|
6/9/11
|
South Korean Won 1,290,000,000 |
United States Dollar 1,200,782 |
Credit Suisse | 5,488 | ||||||||
|
6/10/11
|
Polish Zloty 98,917,720 |
United States Dollar 34,369,105 |
Citigroup Global Markets | 2,763,652 | ||||||||
|
6/10/11
|
South Korean Won 145,000,000 |
United States Dollar 132,541 |
Barclays Bank PLC | 3,039 | ||||||||
|
6/10/11
|
South Korean Won 147,000,000 |
United States Dollar 134,375 |
Citigroup Global Markets | 3,074 | ||||||||
|
6/10/11
|
South Korean Won 148,000,000 |
United States Dollar 135,271 |
Goldman Sachs, Inc. | 3,114 | ||||||||
|
6/13/11
|
Indian Rupee 10,950,000 |
United States Dollar 245,186 |
Bank of America | 597 | ||||||||
|
6/13/11
|
Indian Rupee 12,310,000 |
United States Dollar 275,638 |
Barclays Bank PLC | 671 | ||||||||
|
6/13/11
|
Indian Rupee 13,390,000 |
United States Dollar 299,888 |
Credit Suisse | 663 | ||||||||
|
6/13/11
|
Indian Rupee 13,390,000 |
United States Dollar 299,888 |
Goldman Sachs, Inc. | 663 | ||||||||
|
6/13/11
|
Malaysian Ringgit 6,300,000 |
United States Dollar 2,070,393 |
Citigroup Global Markets | 57,480 | ||||||||
|
6/13/11
|
Malaysian Ringgit 11,500,000 |
United States Dollar 3,806,057 |
Standard Chartered Bank | 78,156 | ||||||||
|
6/13/11
|
South Korean Won 1,168,000,000 |
United States Dollar 1,069,499 |
Deutsche Bank | 22,409 | ||||||||
|
6/14/11
|
Malaysian Ringgit 5,800,000 |
United States Dollar 1,902,575 |
Bank of America | 56,373 | ||||||||
|
6/14/11
|
South Korean Won 708,600,000 |
United States Dollar 646,651 |
Barclays Bank PLC | 15,743 | ||||||||
|
6/14/11
|
South Korean Won 1,480,000,000 |
United States Dollar 1,351,969 |
Credit Suisse | 31,524 | ||||||||
|
6/14/11
|
South Korean Won 642,000,000 |
United States Dollar 585,927 |
Goldman Sachs, Inc. | 14,210 | ||||||||
|
6/15/11
|
Yuan Renminbi 1,800,000 |
United States Dollar 272,521 |
Citigroup Global Markets | 6,519 | ||||||||
|
6/15/11
|
Yuan Renminbi 3,800,000 |
United States Dollar 574,887 |
HSBC Bank USA | 14,198 | ||||||||
37
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
6/21/11
|
Serbian Dinar 33,685,000 |
Euro 327,261 |
HSBC Bank USA | $ | 13,029 | |||||||
|
6/27/11
|
Malaysian Ringgit 7,738,000 |
United States Dollar 2,543,303 |
Deutsche Bank | 69,396 | ||||||||
|
6/27/11
|
Norwegian Krone 14,564,882 |
Euro 1,867,604 |
Standard Bank | 4,976 | ||||||||
|
6/30/11
|
Czech Koruna 33,030,000 |
Euro 1,369,687 |
Deutsche Bank | (3,372 | ) | |||||||
|
6/30/11
|
Hungarian Forint 896,948,135 |
Euro 3,367,554 |
Standard Bank | 13,248 | ||||||||
|
6/30/11
|
Malaysian Ringgit 6,300,000 |
United States Dollar 2,074,894 |
Bank of America | 52,120 | ||||||||
|
7/5/11
|
Brazilian Real 4,344,000 |
United States Dollar 2,684,796 |
Credit Suisse | 61,182 | ||||||||
|
7/5/11
|
Brazilian Real 26,430,000 |
United States Dollar 15,487,841 |
Standard Bank | 1,219,388 | ||||||||
|
7/5/11
|
Brazilian Real 4,600,000 |
United States Dollar 2,702,703 |
Standard Chartered Bank | 205,101 | ||||||||
|
7/5/11
|
Serbian Dinar 84,685,000 |
Euro 836,674 |
Deutsche Bank | 8,081 | ||||||||
|
7/6/11
|
Indian Rupee 74,100,000 |
United States Dollar 1,632,878 |
Citigroup Global Markets | 23,818 | ||||||||
|
7/11/11
|
Indian Rupee 22,400,000 |
United States Dollar 499,777 |
Goldman Sachs, Inc. | 608 | ||||||||
|
7/11/11
|
Malaysian Ringgit 13,890,000 |
United States Dollar 4,577,964 |
Bank of America | 109,812 | ||||||||
|
7/11/11
|
Malaysian Ringgit 7,320,000 |
United States Dollar 2,414,168 |
Deutsche Bank | 56,279 | ||||||||
|
7/12/11
|
Malaysian Ringgit 17,800,000 |
United States Dollar 5,880,021 |
JPMorgan Chase Bank | 127,089 | ||||||||
|
7/18/11
|
Ghanaian Cedi 829,820 |
United States Dollar 537,797 |
Standard Bank | 1,609 | ||||||||
|
7/18/11
|
Malaysian Ringgit 45,150,000 |
United States Dollar 14,877,912 |
Standard Chartered Bank | 355,236 | ||||||||
|
7/20/11
|
Ghanaian Cedi 3,288,700 |
United States Dollar 2,131,367 |
Standard Bank | 5,307 | ||||||||
|
7/25/11
|
Indian Rupee 96,573,000 |
United States Dollar 2,141,783 |
Credit Suisse | 10,419 | ||||||||
|
7/25/11
|
Malaysian Ringgit 36,075,000 |
United States Dollar 11,960,810 |
Deutsche Bank | 206,810 | ||||||||
|
7/28/11
|
Malaysian Ringgit 13,000,000 |
United States Dollar 4,330,446 |
Bank of America | 53,708 | ||||||||
|
7/29/11
|
Malaysian Ringgit 3,530,000 |
United States Dollar 1,183,214 |
Barclays Bank PLC | 7,201 | ||||||||
|
7/29/11
|
Serbian Dinar 48,350,000 |
Euro 470,789 |
Citigroup Global Markets | 10,153 | ||||||||
38
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||
|
Purchases
|
||||||||||||
|
Net Unrealized |
||||||||||||
|
Appreciation |
||||||||||||
| Settlement Date | In Exchange For | Deliver | Counterparty | (Depreciation) | ||||||||
|
7/29/11
|
Serbian Dinar 64,194,000 |
Euro 626,283 |
Standard Bank | $ | 11,678 | |||||||
|
8/2/11
|
Brazilian Real 13,500,000 |
United States Dollar 7,721,787 |
HSBC Bank USA | 768,972 | ||||||||
|
8/4/11
|
Serbian Dinar 32,219,000 |
Euro 316,960 |
Barclays Bank PLC | 1,224 | ||||||||
|
8/4/11
|
Serbian Dinar 54,106,000 |
Euro 529,931 |
JPMorgan Chase Bank | 5,522 | ||||||||
|
8/9/11
|
Yuan Renminbi 2,470,000 |
United States Dollar 369,263 |
Goldman Sachs, Inc. | 15,818 | ||||||||
|
8/24/11
|
Yuan Renminbi 1,920,000 |
United States Dollar 287,511 |
Bank of America | 12,147 | ||||||||
|
10/12/11
|
Yuan Renminbi 2,000,000 |
United States Dollar 309,191 |
Deutsche Bank | 4,060 | ||||||||
|
10/12/11
|
Yuan Renminbi 13,300,000 |
United States Dollar 2,048,991 |
JPMorgan Chase Bank | 34,126 | ||||||||
|
10/13/11
|
Russian Ruble 231,059,000 |
United States Dollar 8,087,045 |
Credit Suisse | 219,248 | ||||||||
|
10/13/11
|
Zambian Kwacha 749,000,000 |
United States Dollar 152,143 |
Standard Chartered Bank | 2,841 | ||||||||
|
11/28/11
|
Yuan Renminbi 4,545,800 |
United States Dollar 700,000 |
Barclays Bank PLC | 14,219 | ||||||||
|
11/28/11
|
Yuan Renminbi 4,547,550 |
United States Dollar 700,000 |
JPMorgan Chase Bank | 14,494 | ||||||||
|
11/28/11
|
Yuan Renminbi 9,093,000 |
United States Dollar 1,400,000 |
Standard Chartered Bank | 28,657 | ||||||||
|
12/8/11
|
Russian Ruble 296,460,000 |
United States Dollar 9,187,573 |
HSBC Bank USA | 1,408,055 | ||||||||
|
12/13/11
|
Mexican Peso 217,378,684 |
United States Dollar 16,856,874 |
HSBC Bank USA | 1,597,748 | ||||||||
|
12/30/11
|
Yuan Renminbi 6,600,000 |
United States Dollar 1,020,882 |
Bank of America | 18,129 | ||||||||
|
1/19/12
|
Yuan Renminbi 780,000 |
United States Dollar 123,223 |
Barclays Bank PLC | (279 | ) | |||||||
|
1/30/12
|
Yuan Renminbi 4,190,000 |
United States Dollar 648,828 |
Bank of America | 12,049 | ||||||||
|
1/30/12
|
Yuan Renminbi 14,416,000 |
United States Dollar 2,234,935 |
Barclays Bank PLC | 38,859 | ||||||||
|
6/18/12
|
Yuan Renminbi 1,990,000 |
United States Dollar 299,248 |
Goldman Sachs, Inc. | 17,099 | ||||||||
|
11/13/12
|
Yuan Renminbi 10,940,000 |
United States Dollar 1,743,426 |
Bank of America | 9,985 | ||||||||
| $ | 14,528,740 | |||||||||||
At April 30, 2011, closed forward foreign currency
purchases and sales contracts excluded above amounted to a
receivable of $682,690 and a payable of $360,479.
39
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Futures Contracts | ||||||||||||||||||
|
Net Unrealized |
||||||||||||||||||
|
Appreciation |
||||||||||||||||||
| Expiration Date | Contracts | Position | Aggregate Cost | Value | (Depreciation) | |||||||||||||
|
6/11
|
36 Euro-Bobl | Short | $ | (6,175,063 | ) | $ | (6,144,759 | ) | $ | 30,304 | ||||||||
|
6/11
|
18 Euro-Bund | Short | (3,265,136 | ) | (3,277,133 | ) | (11,997 | ) | ||||||||||
|
6/11
|
10 Euro-Buxl | Short | (1,539,508 | ) | (1,535,953 | ) | 3,555 | |||||||||||
|
6/11
|
16 Gold | Short | (2,336,051 | ) | (2,490,240 | ) | (154,189 | ) | ||||||||||
|
6/11
|
6 Japan 10-Year Bond | Short | (10,270,603 | ) | (10,359,366 | ) | (88,763 | ) | ||||||||||
|
6/11
|
17 U.S. 2-Year Treasury Note | Short | (3,705,469 | ) | (3,725,125 | ) | (19,656 | ) | ||||||||||
|
6/11
|
19 U.S. 5-Year Treasury Note | Short | (2,214,688 | ) | (2,250,907 | ) | (36,219 | ) | ||||||||||
|
6/11
|
7 U.S. 10-Year Treasury Note | Short | (829,719 | ) | (847,985 | ) | (18,266 | ) | ||||||||||
|
6/11
|
74 U.S. 30-Year Treasury Bond | Short | (8,824,500 | ) | (9,055,750 | ) | (231,250 | ) | ||||||||||
|
6/11
|
3 U.S. Ultra-Long Treasury Bond | Short | (358,001 | ) | (377,625 | ) | (19,624 | ) | ||||||||||
|
7/11
|
22 Platinum | Long | 1,973,547 | 2,052,050 | 78,503 | |||||||||||||
| $ | (467,602 | ) | ||||||||||||||||
Euro-Bobl: Medium-term debt securities issued by the
Federal Republic of Germany with a term to maturity of 4.5 to
5 years.
Euro-Bund: Long-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 8.5 to
10.5 years.
Euro-Buxl: Long-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 24 to
35 years.
Japan
10-Year
Bond: Japanese Government Bonds (JGB) having a maturity of
7 years or more but less than 11 years.
| Interest Rate Swaps | ||||||||||||||||||||
|
Notional |
Portfolio |
Net Unrealized |
||||||||||||||||||
|
Amount |
Pays/Receives |
Floating |
Annual |
Termination |
Appreciation |
|||||||||||||||
| Counterparty | (000’s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
|
Bank of America
|
ILS 640 | Receive | 3-month ILS TELBOR | 4.20 | % | 11/19/14 | $ | (935 | ) | |||||||||||
|
Bank of America
|
ILS 600 | Receive | 3-month ILS TELBOR | 4.54 | 1/6/15 | (2,314 | ) | |||||||||||||
|
Bank of America
|
MXN 26,000 | Pay | Mexican Interbank Deposit Rate | 6.46 | 9/24/20 | (150,566 | ) | |||||||||||||
|
Bank of America
|
PLN 10,700 | Pay | 6-month PLN WIBOR | 4.88 | 9/14/14 | 11,089 | ||||||||||||||
|
Bank of America
|
PLN 3,600 | Pay | 6-month PLN WIBOR | 4.95 | 9/14/20 | (38,274 | ) | |||||||||||||
|
Barclays Bank PLC
|
ILS 303 | Receive | 3-month ILS TELBOR | 5.15 | 3/5/20 | 258 | ||||||||||||||
|
Barclays Bank PLC
|
ILS 303 | Receive | 3-month ILS TELBOR | 5.16 | 3/8/20 | 211 | ||||||||||||||
|
Barclays Bank PLC
|
MYR 26,000 | Pay | 3-month MYR KLIBOR | 3.39 | 11/23/13 | (47,725 | ) | |||||||||||||
|
Barclays Bank PLC
|
MYR 18,000 | Pay | 3-month MYR KLIBOR | 3.70 | 10/19/15 | (50,386 | ) | |||||||||||||
|
Barclays Bank PLC
|
MYR 10,000 | Pay | 3-month MYR KLIBOR | 4.13 | 10/19/20 | (77,530 | ) | |||||||||||||
|
Barclays Bank PLC
|
PLN 8,000 | Pay | 6-month PLN WIBOR | 5.42 | 6/1/14 | 79,785 | ||||||||||||||
|
Barclays Bank PLC
|
PLN 14,300 | Pay | 6-month PLN WIBOR | 5.02 | 7/30/14 | 51,659 | ||||||||||||||
|
Barclays Bank PLC
|
PLN 24,000 | Pay | 6-month PLN WIBOR | 5.18 | 11/9/14 | (67,007 | ) | |||||||||||||
|
Barclays Bank PLC
|
PLN 2,300 | Pay | 6-month PLN WIBOR | 5.36 | 7/30/20 | 3,825 | ||||||||||||||
|
Barclays Bank PLC
|
THB 143,000 | Pay | 6-month THBFIX | 3.34 | 2/16/15 | (26,749 | ) | |||||||||||||
|
Barclays Bank PLC
|
THB 149,550 | Pay | 6-month THBFIX | 3.21 | 10/4/20 | (354,950 | ) | |||||||||||||
|
Barclays Bank PLC
|
ZAR 53,700 | Pay | 3-month JIBAR | 7.41 | 9/24/20 | (360,463 | ) | |||||||||||||
| Citigroup Global Markets | MXN 50,000 | Pay | Mexican Interbank Deposit Rate | 9.08 | 8/6/13 | 318,724 | ||||||||||||||
40
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Interest Rate Swaps (continued) | ||||||||||||||||||||
|
Notional |
Portfolio |
Net Unrealized |
||||||||||||||||||
|
Amount |
Pays/Receives |
Floating |
Annual |
Termination |
Appreciation |
|||||||||||||||
| Counterparty | (000’s omitted) | Floating Rate | Rate Index | Fixed Rate | Date | (Depreciation) | ||||||||||||||
| Citigroup Global Markets | MXN 48,000 | Pay | Mexican Interbank Deposit Rate | 6.86 | % | 11/10/20 | $ | (165,701 | ) | |||||||||||
| Citigroup Global Markets | MYR 37,000 | Pay | 3-month MYR KLIBOR | 3.48 | 3/4/13 | (11,643 | ) | |||||||||||||
| Citigroup Global Markets | THB 69,000 | Pay | 6-month THBFIX | 3.40 | 1/14/15 | 4,223 | ||||||||||||||
|
Credit Suisse
|
MXN 42,000 | Pay | Mexican Interbank Deposit Rate | 6.24 | 7/31/15 | (36,034 | ) | |||||||||||||
|
Credit Suisse
|
MXN 45,000 | Pay | Mexican Interbank Deposit Rate | 5.84 | 10/1/15 | (109,900 | ) | |||||||||||||
|
Credit Suisse
|
MXN 41,500 | Pay | Mexican Interbank Deposit Rate | 6.36 | 10/23/20 | (269,279 | ) | |||||||||||||
|
Credit Suisse
|
PLN 10,000 | Pay | 6-month PLN WIBOR | 5.17 | 6/15/12 | 108,573 | ||||||||||||||
|
Deutsche Bank
|
MYR 10,800 | Pay | 3-month MYR KLIBOR | 4.38 | 11/23/20 | (6,470 | ) | |||||||||||||
|
Deutsche Bank
|
PLN 5,400 | Pay | 6-month PLN WIBOR | 4.85 | 4/23/14 | (34,197 | ) | |||||||||||||
|
Deutsche Bank
|
PLN 3,100 | Pay | 6-month PLN WIBOR | 5.11 | 4/23/17 | (32,809 | ) | |||||||||||||
|
HSBC Bank USA
|
MXN 44,030 | Pay | Mexican Interbank Deposit Rate | 7.28 | 12/23/20 | (47,047 | ) | |||||||||||||
|
HSBC Bank USA
|
THB 262,000 | Pay | 6-month THBFIX | 2.67 | 10/21/15 | (377,463 | ) | |||||||||||||
|
HSBC Bank USA
|
THB 94,300 | Pay | 6-month THBFIX | 3.26 | 8/19/20 | (195,724 | ) | |||||||||||||
|
HSBC Bank USA
|
THB 159,000 | Pay | 6-month THBFIX | 3.50 | 11/25/20 | (206,944 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
BRL 41,183 | Pay | Brazilian Interbank Deposit Rate | 11.41 | 7/2/12 | (265,184 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
MXN 50,500 | Pay | Mexican Interbank Deposit Rate | 5.31 | 9/19/12 | 199 | ||||||||||||||
|
JPMorgan Chase Bank
|
MYR 4,750 | Pay | 3-month MYR KLIBOR | 4.44 | 4/8/19 | 16,477 | ||||||||||||||
|
JPMorgan Chase Bank
|
PLN 16,600 | Pay | 6-month PLN WIBOR | 4.75 | 10/11/13 | 49,755 | ||||||||||||||
|
JPMorgan Chase Bank
|
PLN 31,500 | Pay | 6-month PLN WIBOR | 5.06 | 11/26/13 | (47,196 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
PLN 16,200 | Pay | 6-month PLN WIBOR | 4.93 | 10/13/17 | (104,057 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
PLN 9,900 | Pay | 6-month PLN WIBOR | 4.91 | 10/11/18 | (87,876 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
PLN 15,099 | Pay | 6-month PLN WIBOR | 5.62 | 4/8/21 | (13,343 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
THB 108,000 | Pay | 6-month THBFIX | 3.22 | 10/21/20 | (258,172 | ) | |||||||||||||
|
JPMorgan Chase Bank
|
ZAR 36,500 | Pay | 3-month JIBAR | 9.05 | 10/12/15 | 322,867 | ||||||||||||||
| Standard Chartered Bank | BRL 19,000 | Pay | Brazilian Interbank Deposit Rate | 12.12 | 1/2/13 | (68,297 | ) | |||||||||||||
| $ | (2,546,590 | ) | ||||||||||||||||||
|
BRL
|
- Brazilian Real
|
|
|
ILS
|
- Israeli Shekel
|
|
|
MXN
|
- Mexican Peso
|
|
|
MYR
|
- Malaysian Ringgit
|
|
|
PLN
|
- Polish Zloty
|
|
|
THB
|
- Thailand Baht
|
|
|
ZAR
|
- South African Rand
|
41
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Credit Default Swaps — Sell Protection | ||||||||||||||||||||||||||||||||
|
Current |
Upfront |
|||||||||||||||||||||||||||||||
|
Notional |
Contract |
Market |
Payments |
Net Unrealized |
||||||||||||||||||||||||||||
|
Amount* |
Annual |
Termination |
Annual |
Market |
Received |
Appreciation |
||||||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Fixed Rate*** | Value | (Paid) | (Depreciation) | ||||||||||||||||||||||||
| Argentina | Bank of America | $ | 4,959 | 5.00 | %(1) | 6/20/13 | 4.38 | % | $ | 91,476 | $ | (29,810 | ) | $ | 61,666 | |||||||||||||||||
|
Argentina
|
Bank of America | 1,520 | 5.00 | (1) | 6/20/13 | 4.38 | 28,038 | (20,841 | ) | 7,197 | ||||||||||||||||||||||
|
Argentina
|
Bank of America | 760 | 5.00 | (1) | 6/20/13 | 4.38 | 14,019 | (10,730 | ) | 3,289 | ||||||||||||||||||||||
|
Argentina
|
Bank of America | 667 | 5.00 | (1) | 6/20/13 | 4.38 | 12,309 | (12,427 | ) | (118 | ) | |||||||||||||||||||||
|
Argentina
|
Bank of America | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,815 | (13,365 | ) | (550 | ) | |||||||||||||||||||||
|
Argentina
|
Citigroup Global Markets | 375 | 5.00 | (1) | 6/20/16 | 5.79 | (10,395 | ) | 9,730 | (665 | ) | |||||||||||||||||||||
|
Argentina
|
Credit Suisse | 826 | 5.00 | (1) | 6/20/13 | 4.38 | 15,236 | (4,965 | ) | 10,271 | ||||||||||||||||||||||
|
Argentina
|
Credit Suisse | 763 | 5.00 | (1) | 6/20/13 | 4.38 | 14,074 | (10,801 | ) | 3,273 | ||||||||||||||||||||||
|
Argentina
|
Credit Suisse | 379 | 5.00 | (1) | 6/20/13 | 4.38 | 6,991 | (3,809 | ) | 3,182 | ||||||||||||||||||||||
|
Argentina
|
Credit Suisse | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
|
Argentina
|
Credit Suisse | 847 | 5.00 | (1) | 6/20/16 | 5.79 | (23,478 | ) | 20,950 | (2,528 | ) | |||||||||||||||||||||
|
Argentina
|
Credit Suisse | 670 | 5.00 | (1) | 6/20/16 | 5.79 | (18,572 | ) | 15,223 | (3,349 | ) | |||||||||||||||||||||
|
Argentina
|
Deutsche Bank | 734 | 5.00 | (1) | 6/20/13 | 4.38 | 13,540 | (10,391 | ) | 3,149 | ||||||||||||||||||||||
|
Argentina
|
Deutsche Bank | 668 | 5.00 | (1) | 6/20/13 | 4.38 | 12,322 | (9,451 | ) | 2,871 | ||||||||||||||||||||||
|
Argentina
|
Deutsche Bank | 695 | 5.00 | (1) | 6/20/13 | 4.38 | 12,817 | (13,367 | ) | (550 | ) | |||||||||||||||||||||
|
Iceland
|
JPMorgan Chase Bank | 500 | 1.75 | 3/20/18 | 2.50 | (20,433 | ) | — | (20,433 | ) | ||||||||||||||||||||||
|
Iceland
|
JPMorgan Chase Bank | 200 | 2.10 | 3/20/23 | 2.49 | (5,855 | ) | — | (5,855 | ) | ||||||||||||||||||||||
|
Iceland
|
JPMorgan Chase Bank | 200 | 2.45 | 3/20/23 | 2.49 | (34 | ) | — | (34 | ) | ||||||||||||||||||||||
|
South Africa
|
Bank of America | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 5,801 | 3,073 | ||||||||||||||||||||||
|
South Africa
|
Bank of America | 525 | 1.00 | (1) | 12/20/15 | 1.10 | (1,848 | ) | 4,119 | 2,271 | ||||||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/15 | 1.10 | (2,640 | ) | 6,534 | 3,894 | ||||||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/15 | 1.10 | (1,989 | ) | 4,964 | 2,975 | ||||||||||||||||||||||
|
South Africa
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 1.10 | (2,957 | ) | 16,426 | 13,469 | ||||||||||||||||||||||
|
South Africa
|
Credit Suisse | 790 | 1.00 | (1) | 12/20/15 | 1.10 | (2,781 | ) | 7,566 | 4,785 | ||||||||||||||||||||||
|
South Africa
|
Credit Suisse | 775 | 1.00 | (1) | 12/20/15 | 1.10 | (2,728 | ) | 6,818 | 4,090 | ||||||||||||||||||||||
|
South Africa
|
Deutsche Bank | 500 | 1.00 | (1) | 9/20/15 | 1.06 | (662 | ) | 10,475 | 9,813 | ||||||||||||||||||||||
|
South Africa
|
Deutsche Bank | 610 | 1.00 | (1) | 12/20/15 | 1.10 | (2,148 | ) | 5,360 | 3,212 | ||||||||||||||||||||||
|
South Africa
|
Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/15 | 1.10 | (2,887 | ) | 7,853 | 4,966 | ||||||||||||||||||||||
|
South Africa
|
Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/15 | 1.10 | (2,869 | ) | 7,516 | 4,647 | ||||||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 1,500 | 1.00 | (1) | 9/20/15 | 1.06 | (1,986 | ) | 19,139 | 17,153 | ||||||||||||||||||||||
| $ | 140,187 | $ | (1,874 | ) | $ | 138,313 | ||||||||||||||||||||||||||
| Credit Default Swaps — Buy Protection | ||||||||||||||||||||||||||||
|
Upfront |
||||||||||||||||||||||||||||
|
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
|
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
|
Austria
|
Barclays Bank PLC | $ | 300 | 0.44 | % | 12/20/13 | $ | (1,051 | ) | $ | — | $ | (1,051 | ) | ||||||||||||||
|
Austria
|
Barclays Bank PLC | 200 | 1.42 | 3/20/14 | (6,491 | ) | — | (6,491 | ) | |||||||||||||||||||
|
Brazil
|
Bank of America | 350 | 1.00 | (1) | 6/20/20 | 11,553 | (11,731 | ) | (178 | ) | ||||||||||||||||||
|
Brazil
|
Bank of America | 825 | 1.00 | (1) | 6/20/20 | 27,232 | (34,890 | ) | (7,658 | ) | ||||||||||||||||||
|
Brazil
|
Bank of America | 2,900 | 1.00 | (1) | 12/20/20 | 106,045 | (89,124 | ) | 16,921 | |||||||||||||||||||
|
Brazil
|
Bank of America | 883 | 1.00 | (1) | 12/20/20 | 32,289 | (31,727 | ) | 562 | |||||||||||||||||||
42
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
|
Upfront |
||||||||||||||||||||||||||||
|
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
|
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
|
Brazil
|
Bank of America | $ | 387 | 1.00 | %(1) | 12/20/20 | $ | 14,151 | $ | (13,601 | ) | $ | 550 | |||||||||||||||
|
Brazil
|
Bank of America | 120 | 1.00 | (1) | 12/20/20 | 4,388 | (4,035 | ) | 353 | |||||||||||||||||||
|
Brazil
|
Barclays Bank PLC | 450 | 1.65 | 9/20/19 | (9,110 | ) | — | (9,110 | ) | |||||||||||||||||||
|
Brazil
|
Barclays Bank PLC | 770 | 1.00 | (1) | 12/20/20 | 28,156 | (28,312 | ) | (156 | ) | ||||||||||||||||||
|
Brazil
|
Citigroup Global Markets | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (6,463 | ) | 485 | |||||||||||||||||||
|
Brazil
|
Deutsche Bank | 1,600 | 1.00 | (1) | 12/20/20 | 58,507 | (36,693 | ) | 21,814 | |||||||||||||||||||
|
Brazil
|
Deutsche Bank | 190 | 1.00 | (1) | 12/20/20 | 6,948 | (7,210 | ) | (262 | ) | ||||||||||||||||||
|
Brazil
|
HSBC Bank USA | 160 | 1.00 | (1) | 12/20/20 | 5,851 | (5,443 | ) | 408 | |||||||||||||||||||
|
Brazil
|
Standard Chartered Bank | 800 | 1.00 | (1) | 12/20/20 | 29,254 | (22,915 | ) | 6,339 | |||||||||||||||||||
|
Brazil
|
Standard Chartered Bank | 150 | 1.00 | (1) | 12/20/20 | 5,485 | (5,102 | ) | 383 | |||||||||||||||||||
|
Egypt
|
Bank of America | 550 | 1.00 | (1) | 9/20/15 | 49,935 | (23,128 | ) | 26,807 | |||||||||||||||||||
|
Egypt
|
Barclays Bank PLC | 125 | 1.00 | (1) | 6/20/15 | 10,601 | (4,217 | ) | 6,384 | |||||||||||||||||||
|
Egypt
|
Citigroup Global Markets | 650 | 1.00 | (1) | 12/20/15 | 62,770 | (40,595 | ) | 22,175 | |||||||||||||||||||
|
Egypt
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,134 | ) | 7,361 | |||||||||||||||||||
|
Egypt
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,645 | ) | 6,850 | |||||||||||||||||||
|
Egypt
|
Credit Suisse | 1,085 | 1.00 | (1) | 12/20/15 | 104,778 | (67,768 | ) | 37,010 | |||||||||||||||||||
|
Egypt
|
Credit Suisse | 375 | 1.00 | (1) | 12/20/15 | 36,213 | (21,941 | ) | 14,272 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 250 | 1.00 | (1) | 6/20/15 | 21,202 | (8,344 | ) | 12,858 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 12,722 | (6,755 | ) | 5,967 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,065 | ) | 3,416 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/15 | 8,481 | (5,231 | ) | 3,250 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 125 | 1.00 | (1) | 9/20/15 | 11,349 | (6,744 | ) | 4,605 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 1,400 | 1.00 | (1) | 12/20/15 | 135,197 | (65,600 | ) | 69,597 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 930 | 1.00 | (1) | 12/20/15 | 89,809 | (52,836 | ) | 36,973 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 17,495 | (10,196 | ) | 7,299 | |||||||||||||||||||
|
Egypt
|
Deutsche Bank | 50 | 1.00 | (1) | 6/20/20 | 8,747 | (5,091 | ) | 3,656 | |||||||||||||||||||
|
Egypt
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 6/20/15 | 8,480 | (5,132 | ) | 3,348 | |||||||||||||||||||
|
Greece
|
Citigroup Global Markets | 225 | 1.00 | (1) | 6/20/15 | 108,636 | (35,863 | ) | 72,773 | |||||||||||||||||||
|
Guatemala
|
Citigroup Global Markets | 458 | 1.00 | (1) | 9/20/20 | 30,693 | (33,032 | ) | (2,339 | ) | ||||||||||||||||||
|
Lebanon
|
Barclays Bank PLC | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,212 | ) | 3,743 | |||||||||||||||||||
|
Lebanon
|
Citigroup Global Markets | 250 | 3.30 | 9/20/14 | (1,696 | ) | — | (1,696 | ) | |||||||||||||||||||
|
Lebanon
|
Citigroup Global Markets | 200 | 1.00 | (1) | 12/20/14 | 14,955 | (11,381 | ) | 3,574 | |||||||||||||||||||
|
Lebanon
|
Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/14 | 11,216 | (8,240 | ) | 2,976 | |||||||||||||||||||
|
Lebanon
|
Citigroup Global Markets | 100 | 1.00 | (1) | 12/20/14 | 7,477 | (5,606 | ) | 1,871 | |||||||||||||||||||
|
Lebanon
|
Credit Suisse | 300 | 1.00 | (1) | 3/20/15 | 24,282 | (16,465 | ) | 7,817 | |||||||||||||||||||
|
Lebanon
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,520 | ) | 2,574 | |||||||||||||||||||
|
Lebanon
|
Credit Suisse | 1,000 | 1.00 | (1) | 12/20/15 | 99,701 | (79,091 | ) | 20,610 | |||||||||||||||||||
|
Lebanon
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/15 | 83,748 | (69,639 | ) | 14,109 | |||||||||||||||||||
|
Lebanon
|
Credit Suisse | 350 | 1.00 | (1) | 12/20/15 | 34,895 | (27,620 | ) | 7,275 | |||||||||||||||||||
|
Lebanon
|
Deutsche Bank | 100 | 1.00 | (1) | 3/20/15 | 8,094 | (5,096 | ) | 2,998 | |||||||||||||||||||
|
Lebanon
|
Deutsche Bank | 1,140 | 1.00 | (1) | 12/20/15 | 113,658 | (93,627 | ) | 20,031 | |||||||||||||||||||
|
Lebanon
|
Deutsche Bank | 865 | 1.00 | (1) | 12/20/15 | 86,241 | (71,334 | ) | 14,907 | |||||||||||||||||||
|
Malaysia
|
Bank of America | 200 | 0.83 | 12/20/14 | (2,266 | ) | — | (2,266 | ) | |||||||||||||||||||
|
Malaysia
|
Barclays Bank PLC | 300 | 2.40 | 3/20/14 | (17,671 | ) | — | (17,671 | ) | |||||||||||||||||||
|
Malaysia
|
Barclays Bank PLC | 400 | 0.82 | 12/20/14 | (4,385 | ) | — | (4,385 | ) | |||||||||||||||||||
|
Malaysia
|
Citigroup Global Markets | 300 | 2.45 | 3/20/14 | (18,119 | ) | — | (18,119 | ) | |||||||||||||||||||
|
Philippines
|
Bank of America | 700 | 1.00 | (1) | 12/20/15 | 3,953 | (14,092 | ) | (10,139 | ) | ||||||||||||||||||
|
Philippines
|
Barclays Bank PLC | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) | |||||||||||||||||
43
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
|
Upfront |
||||||||||||||||||||||||||||
|
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
|
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
|
Philippines
|
Barclays Bank PLC | $ | 500 | 1.70 | % | 12/20/14 | $ | (15,171 | ) | $ | — | $ | (15,171 | ) | ||||||||||||||
|
Philippines
|
Barclays Bank PLC | 300 | 1.84 | 12/20/14 | (10,649 | ) | — | (10,649 | ) | |||||||||||||||||||
|
Philippines
|
Barclays Bank PLC | 100 | 1.85 | 12/20/14 | (3,586 | ) | — | (3,586 | ) | |||||||||||||||||||
|
Philippines
|
Citigroup Global Markets | 200 | 1.84 | 12/20/14 | (7,099 | ) | — | (7,099 | ) | |||||||||||||||||||
|
Philippines
|
Citigroup Global Markets | 100 | 1.86 | 12/20/14 | (3,623 | ) | — | (3,623 | ) | |||||||||||||||||||
|
Philippines
|
Deutsche Bank | 150 | 1.00 | (1) | 3/20/15 | (390 | ) | (3,683 | ) | (4,073 | ) | |||||||||||||||||
|
Philippines
|
HSBC Bank USA | 600 | 1.00 | (1) | 9/20/15 | 1,534 | (13,646 | ) | (12,112 | ) | ||||||||||||||||||
|
Philippines
|
JPMorgan Chase Bank | 142 | 1.00 | (1) | 3/20/15 | (370 | ) | (3,209 | ) | (3,579 | ) | |||||||||||||||||
|
Philippines
|
JPMorgan Chase Bank | 400 | 1.69 | 12/20/14 | (11,990 | ) | — | (11,990 | ) | |||||||||||||||||||
|
Philippines
|
Standard Chartered Bank | 4,900 | 1.00 | (1) | 3/20/16 | 42,528 | (83,635 | ) | (41,107 | ) | ||||||||||||||||||
|
Russia
|
Bank of America | 540 | 1.00 | (1) | 6/20/15 | 1,755 | (24,652 | ) | (22,897 | ) | ||||||||||||||||||
|
Russia
|
Bank of America | 860 | 1.00 | (1) | 12/20/20 | 41,191 | (54,889 | ) | (13,698 | ) | ||||||||||||||||||
|
Russia
|
Barclays Bank PLC | 500 | 1.00 | (1) | 12/20/20 | 23,948 | (31,538 | ) | (7,590 | ) | ||||||||||||||||||
|
Russia
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/15 | 325 | (1,285 | ) | (960 | ) | ||||||||||||||||||
|
Russia
|
Credit Suisse | 200 | 1.00 | (1) | 3/20/15 | 325 | (2,226 | ) | (1,901 | ) | ||||||||||||||||||
|
Russia
|
Credit Suisse | 300 | 1.00 | (1) | 6/20/15 | 976 | (3,644 | ) | (2,668 | ) | ||||||||||||||||||
|
Russia
|
Deutsche Bank | 490 | 1.00 | (1) | 12/20/20 | 23,469 | (31,274 | ) | (7,805 | ) | ||||||||||||||||||
|
South Africa
|
Bank of America | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (12,025 | ) | (2,051 | ) | ||||||||||||||||||
|
South Africa
|
Bank of America | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (28,784 | ) | 2,313 | |||||||||||||||||||
|
South Africa
|
Bank of America | 525 | 1.00 | (1) | 12/20/20 | 21,066 | (21,388 | ) | (322 | ) | ||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/19 | 9,974 | (13,900 | ) | (3,926 | ) | ||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,552 | ) | (51 | ) | ||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 565 | 1.00 | (1) | 12/20/20 | 22,671 | (20,907 | ) | 1,764 | |||||||||||||||||||
|
South Africa
|
Barclays Bank PLC | 750 | 1.00 | (1) | 12/20/20 | 30,094 | (29,415 | ) | 679 | |||||||||||||||||||
|
South Africa
|
Citigroup Global Markets | 150 | 1.00 | (1) | 12/20/19 | 4,987 | (7,902 | ) | (2,915 | ) | ||||||||||||||||||
|
South Africa
|
Citigroup Global Markets | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,544 | ) | (2,043 | ) | ||||||||||||||||||
|
South Africa
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,895 | ) | (394 | ) | ||||||||||||||||||
|
South Africa
|
Credit Suisse | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (4,739 | ) | (1,238 | ) | ||||||||||||||||||
|
South Africa
|
Credit Suisse | 775 | 1.00 | (1) | 12/20/20 | 31,097 | (30,604 | ) | 493 | |||||||||||||||||||
|
South Africa
|
Credit Suisse | 790 | 1.00 | (1) | 12/20/20 | 31,699 | (32,783 | ) | (1,084 | ) | ||||||||||||||||||
|
South Africa
|
Credit Suisse | 840 | 1.00 | (1) | 12/20/20 | 33,705 | (42,842 | ) | (9,137 | ) | ||||||||||||||||||
|
South Africa
|
Deutsche Bank | 500 | 1.00 | (1) | 9/20/20 | 19,232 | (26,702 | ) | (7,470 | ) | ||||||||||||||||||
|
South Africa
|
Deutsche Bank | 610 | 1.00 | (1) | 12/20/20 | 24,477 | (23,524 | ) | 953 | |||||||||||||||||||
|
South Africa
|
Goldman Sachs, Inc. | 815 | 1.00 | (1) | 12/20/20 | 32,702 | (32,064 | ) | 638 | |||||||||||||||||||
|
South Africa
|
Goldman Sachs, Inc. | 820 | 1.00 | (1) | 12/20/20 | 32,903 | (32,784 | ) | 119 | |||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,325 | (5,493 | ) | (2,168 | ) | ||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 12/20/19 | 3,324 | (6,592 | ) | (3,268 | ) | ||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,827 | ) | (326 | ) | ||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (3,964 | ) | (463 | ) | ||||||||||||||||||
|
South Africa
|
JPMorgan Chase Bank | 100 | 1.00 | (1) | 3/20/20 | 3,501 | (5,478 | ) | (1,977 | ) | ||||||||||||||||||
|
Spain
|
Barclays Bank PLC | 167 | 1.00 | (1) | 9/20/20 | 16,225 | (15,305 | ) | 920 | |||||||||||||||||||
|
Spain
|
Barclays Bank PLC | 700 | 1.00 | (1) | 12/20/20 | 69,215 | (68,697 | ) | 518 | |||||||||||||||||||
|
Spain
|
Barclays Bank PLC | 300 | 1.00 | (1) | 12/20/20 | 29,663 | (29,549 | ) | 114 | |||||||||||||||||||
|
Spain
|
Barclays Bank PLC | 690 | 1.00 | (1) | 12/20/20 | 68,228 | (68,991 | ) | (763 | ) | ||||||||||||||||||
|
Spain
|
Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (7,311 | ) | 20,755 | |||||||||||||||||||
|
Spain
|
Citigroup Global Markets | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 | |||||||||||||||||||
|
Spain
|
Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (6,903 | ) | 21,163 | |||||||||||||||||||
|
Spain
|
Deutsche Bank | 300 | 1.00 | (1) | 3/20/20 | 28,066 | (15,055 | ) | 13,011 | |||||||||||||||||||
44
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| Credit Default Swaps — Buy Protection (continued) | ||||||||||||||||||||||||||||
|
Upfront |
||||||||||||||||||||||||||||
|
Notional |
Contract |
Payments |
Net Unrealized |
|||||||||||||||||||||||||
|
Amount |
Annual |
Termination |
Market |
Received |
Appreciation |
|||||||||||||||||||||||
| Reference Entity | Counterparty | (000’s omitted) | Fixed Rate** | Date | Value | (Paid) | (Depreciation) | |||||||||||||||||||||
|
Spain
|
Deutsche Bank | $ | 550 | 1.00 | %(1) | 6/20/20 | $ | 52,457 | $ | (35,611 | ) | $ | 16,846 | |||||||||||||||
|
Spain
|
Deutsche Bank | 3,265 | 1.00 | (1) | 12/20/20 | 322,843 | (279,968 | ) | 42,875 | |||||||||||||||||||
|
Spain
|
Deutsche Bank | 670 | 1.00 | (1) | 12/20/20 | 66,250 | (66,991 | ) | (741 | ) | ||||||||||||||||||
|
Spain
|
Goldman Sachs, Inc. | 193 | 1.00 | (1) | 9/20/20 | 18,752 | (18,065 | ) | 687 | |||||||||||||||||||
|
Thailand
|
Barclays Bank PLC | 400 | 0.97 | 9/20/19 | 11,162 | — | 11,162 | |||||||||||||||||||||
|
Thailand
|
Citigroup Global Markets | 400 | 0.86 | 12/20/14 | 330 | — | 330 | |||||||||||||||||||||
|
Thailand
|
Citigroup Global Markets | 200 | 0.95 | 9/20/19 | 5,872 | — | 5,872 | |||||||||||||||||||||
|
Thailand
|
Goldman Sachs, Inc. | 1,500 | 1.00 | (1) | 3/20/16 | 5,778 | (12,229 | ) | (6,451 | ) | ||||||||||||||||||
|
Thailand
|
JPMorgan Chase Bank | 200 | 0.87 | 12/20/14 | 92 | — | 92 | |||||||||||||||||||||
|
Uruguay
|
Citigroup Global Markets | 100 | 1.00 | (1) | 6/20/20 | 7,655 | (6,976 | ) | 679 | |||||||||||||||||||
|
Uruguay
|
Deutsche Bank | 100 | 1.00 | (1) | 6/20/20 | 7,654 | (6,812 | ) | 842 | |||||||||||||||||||
|
Banco Comercial Portugues, S.A. |
JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 28,983 | (4,757 | ) | 24,226 | |||||||||||||||||||
| Banco de Sabadell, S.A. | JPMorgan Chase Bank | 110 | 3.00 | (1) | 3/20/15 | 6,238 | (560 | ) | 5,678 | |||||||||||||||||||
|
Citibank Corp.
|
Bank of America | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (29,119 | ) | (13,815 | ) | ||||||||||||||||||
|
Citibank Corp.
|
JPMorgan Chase Bank | 490 | 1.00 | (1) | 9/20/20 | 15,304 | (30,820 | ) | (15,516 | ) | ||||||||||||||||||
| Erste Group Bank AG | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 3,838 | (6,071 | ) | (2,233 | ) | ||||||||||||||||||
| ING Verzekeringen N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | 5,049 | (2,731 | ) | 2,318 | |||||||||||||||||||
|
OAO Gazprom
|
Barclays Bank PLC | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,232 | ) | (4,305 | ) | ||||||||||||||||||
|
OAO Gazprom
|
Deutsche Bank | 150 | 1.00 | (1) | 6/20/15 | 3,927 | (8,285 | ) | (4,358 | ) | ||||||||||||||||||
|
OAO Gazprom
|
Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,239 | ) | (2,924 | ) | ||||||||||||||||||
|
OAO Gazprom
|
Deutsche Bank | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,597 | ) | (3,282 | ) | ||||||||||||||||||
|
OAO Gazprom
|
Goldman Sachs, Inc. | 100 | 1.00 | (1) | 9/20/20 | 8,315 | (11,306 | ) | (2,991 | ) | ||||||||||||||||||
|
OAO Gazprom
|
Goldman Sachs, Inc. | 390 | 1.00 | (1) | 9/20/20 | 32,429 | (46,306 | ) | (13,877 | ) | ||||||||||||||||||
| Rabobank Nederland N.V. | JPMorgan Chase Bank | 110 | 1.00 | (1) | 3/20/15 | (619 | ) | (80 | ) | (699 | ) | |||||||||||||||||
| Raiffeisen Zentralbank | Barclays Bank PLC | 110 | 1.00 | (1) | 3/20/15 | 5,231 | (8,195 | ) | (2,964 | ) | ||||||||||||||||||
|
iTraxx Europe Senior Financials 5-Year Index |
Bank of America | EUR | 920 | 1.00 | (1) | 6/20/16 | 17,185 | (27,395 | ) | (10,210 | ) | |||||||||||||||||
|
iTraxx Europe Subordinated Financials 5-Year Index |
Goldman Sachs, Inc. | EUR | 3,100 | 1.00 | (1) | 6/20/16 | 254,465 | (318,292 | ) | (63,827 | ) | |||||||||||||||||
| $ | 3,208,149 | $ | (2,968,587 | ) | $ | 239,562 | ||||||||||||||||||||||
| * | If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $25,457,000. |
| ** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract. |
| *** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
45
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
| (1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
EUR - Euro
| Cross-Currency Swaps | ||||||||||||||||||||||
|
Notional |
Notional |
|||||||||||||||||||||
|
Amount on |
Amount on |
|||||||||||||||||||||
|
Fixed Rate |
Floating Rate |
|||||||||||||||||||||
|
(Currency |
(Currency |
Net Unrealized |
||||||||||||||||||||
|
Received) |
Delivered) |
Termination |
Appreciation |
|||||||||||||||||||
| Counterparty | (000’s omitted) | (000’s omitted) | Floating Rate | Fixed Rate | Date | (Depreciation) | ||||||||||||||||
| Deutsche Bank | COP 5,200,000 | $ | 2,728 |
6-Month USD-LIBOR-BBA |
3.32 | % | 12/17/13 | $ | 218,167 | |||||||||||||
| $ | 218,167 | |||||||||||||||||||||
COP - Colombian Peso
The Portfolio pays interest on the currency received and
receives interest on the currency delivered. At the termination
date, the notional amount of the currency received will be
exchanged for the notional amount of the currency delivered.
At April 30, 2011, the Portfolio had sufficient cash
and/or
securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives and
its use of derivatives, the Portfolio is subject to the
following risks:
Commodity Risk: The Portfolio invests in commodities-linked
derivative investments, including commodity futures contracts
and options thereon and forward commodity contracts, that
provide exposure to the investment returns of certain
commodities. Commodities-related investments are used to enhance
return.
Credit Risk: The Portfolio enters into credit default swap
contracts to manage its credit risk, to gain a particular
exposure to a credit risk, or to enhance return.
Equity Risk: The Portfolio enters into equity index options
to enhance return.
Foreign Exchange Risk: The Portfolio engages in forward
foreign currency exchange contracts, currency options and cross
currency swaps to enhance return or to hedge against
fluctuations in currency exchange rates. It also enters into
forward foreign currency exchange contracts as a substitute for
the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest
rate derivatives including futures, options on futures, interest
rate swaps and cross currency swaps to enhance return, to change
the overall duration of the portfolio, or to hedge against
fluctuations in securities prices due to interest rates.
The Portfolio enters into swap contracts and forward foreign
currency exchange contracts that may contain provisions whereby
the counterparty may terminate the contract under certain
conditions, including but not limited to a decline in the
Portfolio’s net assets below a certain level over a certain
period of time, which would trigger a payment by the Portfolio
for those derivatives in a liability position. At April 30,
2011, the fair value of derivatives with credit-related
contingent features in a net liability position was $1,266,590.
The aggregate fair value of assets pledged as collateral by the
Portfolio for such liability was $1,106,955 at April 30,
2011.
The non-exchange traded derivatives in which the Portfolio
invests, including swap contracts, over-the counter options and
forward foreign currency exchange contracts, are subject to the
risk that the counterparty to the contract fails to perform its
obligations under the contract. The Portfolio is not subject to
counterparty credit risk with respect to its written options as
the Portfolio, not the counterparty, is obligated to perform
under such derivatives. At April 30, 2011, the maximum
amount of loss the Portfolio would incur due to counterparty
risk was $17,534,131, with the highest amount from any one
counterparty being $4,696,971. Such maximum amount would be
reduced by any unamortized upfront payments received by the
Portfolio. Such amount would be increased by any unamortized
upfront payments made by the Portfolio. To mitigate this risk,
the Portfolio has entered into master netting agreements with
substantially all its derivative counterparties, which allows it
and a counterparty to aggregate amounts owed by each of them for
derivative transactions under the agreement into a single net
amount payable by either the Portfolio or the counterparty. At
April 30, 2011, the maximum amount of loss the Portfolio
would incur due to counterparty risk would be reduced by
approximately $8,059,000 due to master netting agreements.
Counterparties may be required to pledge collateral in the form
of cash, U.S. Government securities or highly-rated bonds for
the benefit of the Portfolio if the net amount due from the
counterparty with respect to a derivative contract exceeds a
certain threshold. The amount of collateral posted by the
counterparties with respect to such contracts would also reduce
the amount of any loss incurred.
46
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
The fair value of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) by risk
exposure at April 30, 2011 was as follows:
| Fair Value | ||||||||||||||||||||||
|
Foreign |
Interest |
|||||||||||||||||||||
| Consolidated Statement of Assets and Liabilities Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
|
Securities of unaffiliated issuers, at value
|
$ | — | $ | 107,015 | $ | 61,960 | $ | — | $ | 5,280 | ||||||||||||
|
Net unrealized appreciation*
|
— | — | — | 33,859 | 78,503 | |||||||||||||||||
|
Receivable for open and closed forward foreign currency exchange
contracts
|
— | — | 15,323,990 | — | — | |||||||||||||||||
|
Receivable for open swap contracts; Premium paid/received on
open swap contracts
|
3,569,982 | — | — | 1,185,812 | — | |||||||||||||||||
|
Total Asset Derivatives
|
$ | 3,569,982 | $ | 107,015 | $ | 15,385,950 | $ | 1,219,671 | $ | 83,783 | ||||||||||||
|
Net unrealized appreciation*
|
$ | — | $ | — | $ | — | $ | (425,775 | ) | $ | (154,189 | ) | ||||||||||
|
Payable for open forward commodity contracts
|
— | — | — | — | (795,970 | ) | ||||||||||||||||
|
Payable for open and closed forward foreign currency exchange
contracts
|
— | — | (4,537,810 | ) | — | — | ||||||||||||||||
|
Payable for open swap contracts; Premium paid/received on open
swap contracts
|
(221,646 | ) | — | — | (3,514,235 | ) | — | |||||||||||||||
|
Total Liability Derivatives
|
$ | (221,646 | ) | $ | — | $ | (4,537,810 | ) | $ | (3,940,010 | ) | $ | (950,159 | ) | ||||||||
| * | Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above. Only the current day’s variation margin on open futures contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
The effect of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) on the
Consolidated Statement of Operations by risk exposure for the
six months ended April 30, 2011 was as follows:
|
Foreign |
Interest |
|||||||||||||||||||||
| Consolidated Statement of Operations Caption | Credit | Equity | Exchange | Rate | Commodity | |||||||||||||||||
|
Net realized gain (loss) —
|
||||||||||||||||||||||
|
Financial futures contracts
|
$ | — | $ | — | $ | — | $ | 148,216 | $ | (125,347 | ) | |||||||||||
|
Swap contracts
|
(420,867 | ) | — | — | 140,454 | — | ||||||||||||||||
|
Forward commodity contracts
|
— | — | — | — | (19,234 | ) | ||||||||||||||||
|
Foreign currency and forward foreign currency exchange contract
transactions
|
— | — | 4,478,481 | — | — | |||||||||||||||||
|
Total
|
$ | (420,867 | ) | $ | — | $ | 4,478,481 | $ | 288,670 | $ | (144,581 | ) | ||||||||||
|
Change in unrealized appreciation (depreciation) —
|
||||||||||||||||||||||
|
Investments
|
$ | — | $ | (376,745 | ) | $ | (183,195 | ) | $ | — | $ | (36,420 | ) | |||||||||
|
Financial futures contracts
|
— | — | — | (391,303 | ) | (75,686 | ) | |||||||||||||||
|
Swap contracts
|
648,304 | — | — | (3,260,246 | ) | — | ||||||||||||||||
|
Forward commodity contracts
|
— | — | — | — | (795,970 | ) | ||||||||||||||||
|
Foreign currency and forward foreign currency exchange contracts
|
— | — | 11,019,137 | — | — | |||||||||||||||||
|
Total
|
$ | 648,304 | $ | (376,745 | ) | $ | 10,835,942 | $ | (3,651,549 | ) | $ | (908,076 | ) | |||||||||
The average notional amounts of futures contracts, forward
commodity contracts, forward foreign currency exchange contracts
and swap contracts outstanding during the six months ended
April 30, 2011, which are indicative of the volume of these
derivative types, were approximately $23,446,000, $1,564,000,
$463,134,000 and $423,068,000, respectively.
47
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
The average principal amount of purchased currency options
contracts, average number of purchased index options contracts
and average number of purchased commodity options contracts
outstanding during the six months ended April 30, 2011
which are indicative of the volume of these derivative types,
were approximately $16,813,000, 57,300,000 contracts and 6
contracts, respectively.
6 Line
of Credit
The Portfolio participates with other portfolios and funds
managed by EVM and its affiliates in a $450 million
unsecured line of credit agreement with a group of banks.
Borrowings are made by the Portfolio solely to facilitate the
handling of unusual
and/or
unanticipated short-term cash requirements. Interest is charged
to the Portfolio based on its borrowings at an amount above
either the Eurodollar rate or Federal Funds rate. In addition, a
fee computed at an annual rate of 0.10% on the daily unused
portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter.
Because the line of credit is not available exclusively to the
Portfolio, it may be unable to borrow some or all of its
requested amounts at any particular time. The Portfolio did not
have any significant borrowings or allocated fees during the six
months ended April 30, 2011.
7 Risks
Associated with Foreign Investments
Investing in securities issued by 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 Portfolio,
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.
8 Fair
Value Measurements
Under generally accepted accounting principles for fair value
measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation
techniques to measure fair value. The three-tier hierarchy of
inputs is summarized in the three broad levels listed below.
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in
different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is
significant to the fair value measurement in its entirety. The
inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing
in those securities.
48
Emerging
Markets Local Income Portfolio
April 30, 2011
Notes
to Consolidated Financial Statements (Unaudited) —
continued
At April 30, 2011, the hierarchy of inputs used in valuing
the Portfolio’s investments, which are carried at value,
were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
|
Foreign Government Bonds
|
$ | — | $ | 481,210,286 | $ | — | $ | 481,210,286 | ||||||||||
|
Mortgage Pass-Throughs
|
— | 13,983,241 | — | 13,983,241 | ||||||||||||||
|
U.S. Government Agency Obligations
|
— | 7,384,344 | — | 7,384,344 | ||||||||||||||
|
Precious Metals
|
12,736,074 | — | — | 12,736,074 | ||||||||||||||
|
Currency Options Purchased
|
— | 61,960 | — | 61,960 | ||||||||||||||
|
Put Options Purchased
|
5,280 | 107,015 | — | 112,295 | ||||||||||||||
|
Short-Term Investments —
|
||||||||||||||||||
|
Foreign Government Securities
|
— | 122,371,858 | — | 122,371,858 | ||||||||||||||
|
U.S. Treasury Obligations
|
— | 2,338,120 | — | 2,338,120 | ||||||||||||||
|
Repurchase Agreements
|
— | 5,266,748 | — | 5,266,748 | ||||||||||||||
|
Other Securities
|
— | 33,261,562 | — | 33,261,562 | ||||||||||||||
|
Total Investments
|
$ | 12,741,354 | $ | 665,985,134 | $ | — | $ | 678,726,488 | ||||||||||
|
Forward Foreign Currency Exchange Contracts
|
$ | — | $ | 15,323,990 | $ | — | $ | 15,323,990 | ||||||||||
|
Swaps Contracts
|
— | 4,755,794 | — | 4,755,794 | ||||||||||||||
|
Futures Contracts
|
112,362 | — | — | 112,362 | ||||||||||||||
|
Total
|
$ | 12,853,716 | $ | 686,064,918 | $ | — | $ | 698,918,634 | ||||||||||
|
Liability Description
|
||||||||||||||||||
|
Securities Sold Short
|
$ | — | $ | (4,530,054 | ) | $ | — | $ | (4,530,054 | ) | ||||||||
|
Forward Commodity Contracts
|
— | (795,970 | ) | — | (795,970 | ) | ||||||||||||
|
Forward Foreign Currency Exchange Contracts
|
— | (4,537,810 | ) | — | (4,537,810 | ) | ||||||||||||
|
Swaps Contracts
|
— | (3,735,881 | ) | — | (3,735,881 | ) | ||||||||||||
|
Futures Contracts
|
(579,964 | ) | — | — | (579,964 | ) | ||||||||||||
|
Total
|
$ | (579,964 | ) | $ | (13,599,715 | ) | $ | — | $ | (14,179,679 | ) | |||||||
The Portfolio held no investments or other financial instruments
as of October 31, 2010 whose fair value was determined
using Level 3 inputs. At April 30, 2011, the value of
investments transferred between Level 1 and Level 2,
if any, during the six months then ended was not significant.
49
Eaton Vance
Emerging
Markets Local Income Fund
April 30, 2011
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 each investment
advisory agreement between a fund and its investment adviser
will continue in effect from year to year only if its
continuance is approved at least annually by the fund’s
board of trustees, including by a vote of 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 of the Boards of Trustees (each a
“Board”) of the Eaton Vance group of mutual funds (the
“Eaton Vance Funds”) held on April 25, 2011, the
Board, including a majority of the Independent Trustees, voted
to approve continuation of existing advisory and
sub-advisory
agreements for the Eaton Vance Funds for an additional one-year
period. In voting its approval, the Board relied upon the
affirmative recommendation of the Contract Review Committee of
the Board, which is a committee comprised exclusively of
Independent Trustees. Prior to making its recommendation, the
Contract Review Committee reviewed information furnished for a
series of meetings of the Contract Review Committee held between
February and April 2011. Such information included, among
other things, the following:
Information about
Fees, Performance and Expenses
| • | An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds; | |
| • | An independent report comparing each fund’s total expense ratio and its components to comparable funds; | |
| • | An independent report comparing the investment performance of each fund (including yield data and Sharpe and information ratios where relevant) to the investment performance of comparable funds over various time periods; | |
| • | Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices; | |
| • | For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund; | |
| • | Profitability analyses for each adviser with respect to each fund; |
Information about
Portfolio Management
| • | Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel; | |
| • | Information about the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and/or the fund’s policies with respect to “soft dollar” arrangements; | |
| • | Data relating to portfolio turnover rates of each fund; | |
| • | The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes; |
Information about
each Adviser
| • | Reports detailing the financial results and condition of each adviser; | |
| • | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; | |
| • | Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes; | |
| • | Copies of or descriptions of each adviser’s policies and procedures relating to proxy voting, the handling of corporate actions and class actions; | |
| • | Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions; | |
| • | Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates; | |
| • | A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers; |
Other Relevant
Information
| • | Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates; | |
| • | Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and | |
| • | The terms of each advisory agreement. |
50
Eaton Vance
Emerging
Markets Local Income Fund
April 30, 2011
Board
of Trustees’ Contract Approval — continued
In addition to the information identified above, the Contract
Review Committee considered information provided from time to
time by each adviser throughout the year at meetings of the
Board and its committees. Over the course of the twelve-month
period ended April 30, 2011, with respect to one or more
funds, the Board met nine times and the Contract Review
Committee, the Audit Committee, the Governance Committee, the
Portfolio Management Committee and the Compliance Reports and
Regulatory Matters Committee, each of which is a Committee
comprised solely of Independent Trustees, met nine, fifteen,
seven, eight and twelve times, respectively. At such meetings,
the Trustees received, among other things, presentations by the
portfolio managers and other investment professionals of each
adviser relating to the investment performance of each fund and
the investment strategies used in pursuing the fund’s
investment objective including, where relevant, the use of
derivative instruments, as well as trading policies and
procedures and risk management techniques.
For funds that invest through one or more underlying portfolios,
the Board considered similar information about the portfolio(s)
when considering the approval of advisory agreements. In
addition, in cases where the fund’s investment adviser has
engaged a
sub-adviser,
the Board considered similar information about the
sub-adviser
when considering the approval of any
sub-advisory
agreement.
The Contract Review Committee was assisted throughout the
contract review process by Goodwin Procter LLP, legal counsel
for the Independent Trustees. The members of the Contract Review
Committee relied upon the advice of such counsel and their own
business judgment in determining the material factors to be
considered in evaluating each advisory and
sub-advisory
agreement and the weight to be given to each such factor. The
conclusions reached with respect to each advisory 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 advisory and
sub-advisory
agreement.
Results
of the Process
Based on its consideration of the foregoing, and such other
information as it deemed relevant, including the factors and
conclusions described below, the Contract Review Committee
concluded that the continuance of the investment advisory
agreement of Eaton Vance Emerging Markets Local Income Fund (the
“Fund”) with Eaton Vance Management (“EVM”),
as well as the terms of the investment advisory agreement of
Emerging Markets Local Income Portfolio (the
“Portfolio”), the portfolio in which the Fund invests
with Boston Management and Research (“BMR”), an
affiliate of EVM (EVM, with respect to the Fund, and BMR, with
respect to the Portfolio, are each referred to herein as the
“Adviser”), including their fee structures, is in the
interests of shareholders and, therefore, the Contract Review
Committee recommended to the Board approval of each agreement.
The Board accepted the recommendation of the Contract Review
Committee as well as the factors considered and conclusions
reached by the Contract Review Committee with respect to the
agreements. Accordingly, the Board, including a majority of the
Independent Trustees, voted to approve the investment advisory
agreements for the Fund and the Portfolio.
Nature,
Extent and Quality of Services
In considering whether to approve the investment advisory
agreements of the Fund and the Portfolio, the Board evaluated
the nature, extent and quality of services provided to the Fund
by EVM and to the Portfolio by BMR.
The Board considered EVM’s and BMR’s management
capabilities and investment process with respect to the types of
investments to be held by the Fund and the Portfolio, including
the education, experience and number of its investment
professionals and other personnel who provide portfolio
management, investment research, and similar services to the
Portfolio and the Fund. The Board specifically noted EVM’s
and BMR’s expertise with respect to emerging markets and
in-house research capabilities. The Board also took into account
the resources dedicated to portfolio management and other
services, including the compensation methods to recruit and
retain investment personnel, and the time and attention devoted
to the Fund and Portfolio by senior management.
The Board noted that under the terms of the investment advisory
agreement of the Fund, EVM may invest assets of the Fund
directly in securities, for which it would receive a fee, or in
the Portfolio, for which it receives no separate fee but for
which BMR receives an advisory fee from the Portfolio. The
Trustees considered the potential benefits to the Fund of the
ability to make direct investments, such as an improved ability
to: manage the Fund’s duration, or other general market
exposures, using certain derivatives; add exposure to specific
market sectors or asset classes without changing the
Portfolio’s investments, which would affect any other fund
investing in the Portfolio; hedge some of the general market
risks of the Portfolio while retaining the value added by the
individual manager; and hedge a portion of the exposures of the
Portfolio while retaining others (e.g., hedging the U.S.
government exposure of the Portfolio while retaining its
exposure to high-grade corporate bonds).
The Board also reviewed the compliance programs of EVM and
relevant affiliates thereof. Among other matters, the Board
considered compliance and reporting matters relating to personal
trading by investment personnel, selective disclosure of
portfolio holdings, late trading, frequent trading, portfolio
valuation, business continuity and the allocation of investment
opportunities. The Board also evaluated the responses of EVM and
its affiliates in recent years to requests from regulatory
authorities such as the Securities and Exchange Commission and
the Financial Industry Regulatory Authority.
The Board considered shareholder and other administrative
services provided or managed by EVM 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 family of funds, including the
ability, in many cases, to exchange an investment among
different funds without incurring additional sales charges.
51
Eaton Vance
Emerging
Markets Local Income Fund
April 30, 2011
Board
of Trustees’ Contract Approval — continued
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 agreements.
Fund Performance
The Board compared the Fund’s investment performance to a
relevant universe of comparable funds identified by an
independent data provider as well as a peer group of similarly
managed funds and appropriate benchmark indices. The Board
reviewed comparative performance data for the one- and
three-year periods ended September 30, 2010 for the Fund.
The Board concluded that the performance of the Fund was
satisfactory.
Management
Fees and Expenses
The Board reviewed contractual investment advisory fee rates
payable by the Fund and by the Portfolio (referred to
collectively as “management fees”). As part of its
review, the Board considered the management fees and the
Fund’s total expense ratio for the year ended
September 30, 2010, as compared to a group of similarly
managed funds selected by an independent data provider. The
Board noted that the Portfolio has established a wholly-owned
subsidiary for the primary purpose of investing in
commodity-related investments. The subsidiary is managed by BMR
pursuant to a separate investment advisory agreement that is
subject to annual approval by the Board. The subsidiary’s
fee rates are the same as those charged to the Portfolio, and
the Portfolio will not pay any additional management fees with
respect to its assets invested in the subsidiary. The Board also
considered factors that had an impact on Fund expense ratios, as
identified by management in response to inquiries from the
Contract Review Committee, as well as actions being taken to
reduce expenses at the Eaton Vance fund complex level, including
the negotiation of reduced fees for transfer agency and custody
services. In considering the Fund’s total expense ratio and
management fees, the Board noted the impact of the Fund’s
use of leverage. The Board also considered that EVM had waived
fees and/or
paid expenses for the Fund.
After reviewing the foregoing information, and in light of the
nature, extent and quality of the services provided by EVM and
BMR, the Board concluded that the management fees charged for
advisory and related services are reasonable.
Profitability
The Board reviewed the level of profits realized by the Adviser
and relevant affiliates thereof in providing investment advisory
and administrative services to the Fund, to the Portfolio and to
all Eaton Vance Funds as a group. The Board considered the level
of profits realized without regard to revenue sharing or other
payments by the Adviser and its affiliates to third parties in
respect of distribution services. The Board also considered
other direct or indirect benefits received by the Adviser in
connection with its relationship with the Fund and Portfolio,
including the benefits of research services that may be
available to the Adviser as a result of securities transactions
effected for the Fund and Portfolio and other investment
advisory clients.
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
reasonable.
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 and the Portfolio, on the other
hand, can expect to realize benefits from economies of scale as
the assets of the Fund and the Portfolio increase. The Board
acknowledged the difficulty in accurately measuring the benefits
resulting from the economies of scale 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. The Board also concluded that, assuming
reasonably foreseeable increases in the assets of the Portfolio,
the structure of the advisory fee, which includes breakpoints at
several asset levels both at the Fund and the Portfolio level,
will allow the Fund to continue to benefit from economies of
scale in the future.
52
Eaton Vance
Emerging
Markets Local Income Fund
April 30, 2011
Officers
and Trustees
| Officers of Eaton Vance Emerging Markets Local Income Fund | ||
|
Duncan W. Richardson
President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer |
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
|
| Officers of Emerging Markets Local Income Portfolio | ||
|
Mark S. Venezia
President Payson F. Swaffield Vice President Barbara E. Campbell Treasurer |
Maureen A. Gemma
Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer |
|
| Trustees of Eaton Vance Emerging Markets Local Income Fund and Emerging Markets Local Income Portfolio | ||
|
Ralph F. Verni
Chairman Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman |
William H. Park
Ronald A. Pearlman Helen Frame Peters Lynn A. Stout |
|
| * | Interested Trustee |
53
Eaton Vance
Emerging
Markets Local Income Fund
April 30, 2011
IMPORTANT
NOTICES
Privacy. The
Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has
in effect the following policy (Privacy Policy) with respect to
nonpublic personal information about its customers:
| • | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| • | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers. |
| • | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| • | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy 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’s Real Estate Investment Group and Boston
Management and Research. In addition, our Privacy Policy applies
only to those Eaton Vance customers who are individuals and who
have a direct relationship with us. If a customer’s account
(i.e., fund shares) is held in the name of a third-party
financial adviser/broker-dealer, it is likely that only such
adviser’s privacy policies apply to the customer. This
notice supersedes all previously issued privacy disclosures. For
more information about Eaton Vance’s Privacy Policy, please
call
1-800-262-1122.
Delivery of Shareholder
Documents. The Securities and Exchange
Commission (the “SEC”) permits funds to deliver only
one copy of shareholder documents, including prospectuses, proxy
statements and shareholder reports, to fund investors with
multiple accounts at the same residential or post office box
address. This practice is often called “householding”
and it helps eliminate duplicate mailings to shareholders.
Eaton Vance, or your financial adviser, may household the
mailing of your documents indefinitely unless you instruct Eaton
Vance, or your financial adviser, otherwise. If you would
prefer that your Eaton Vance documents not be householded,
please contact Eaton Vance at
1-800-262-1122,
or contact your financial adviser. Your instructions that
householding not apply to delivery of your Eaton Vance documents
will be effective within 30 days of receipt by Eaton Vance
or your financial adviser.
Portfolio
Holdings. Each Eaton Vance Fund and its
underlying Portfolio(s) (if applicable) will file a schedule of
portfolio holdings on
Form N-Q
with the SEC for the first and third quarters of each fiscal
year. The
Form N-Q
will be available on the Eaton Vance website at
www.eatonvance.com, by calling Eaton Vance at
1-800-262-1122
or in the EDGAR database on the SEC’s website at
www.sec.gov.
Form N-Q
may also be reviewed and copied at the SEC’s public
reference room in Washington, D.C. (call
1-800-732-0330
for information on the operation of the public reference room).
Proxy
Voting. From time to time, funds are required to
vote proxies related to the securities held by the funds. The
Eaton Vance Funds or their underlying Portfolios (if applicable)
vote proxies according to a set of policies and procedures
approved by the Funds’ and Portfolios’ Boards. You may
obtain a description of these policies and procedures and
information on how the Funds or Portfolios voted proxies
relating to portfolio securities during the most recent 12-month
period ended June 30, without charge, upon request, by
calling
1-800-262-1122
and by accessing the SEC’s website at www.sec.gov.
54
This Page Intentionally Left Blank
This Page Intentionally Left Blank
Investment
Adviser of Emerging Markets Local Income Portfolio
Boston Management and Research
Boston Management and Research
Two International Place
Boston, MA 02110
Investment
Adviser and Administrator of Eaton Vance Emerging Markets Local
Income Fund
Eaton Vance Management
Eaton Vance Management
Two International Place
Boston, MA 02110
Principal
Underwriter*
Eaton Vance Distributors, Inc.
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer
Agent
BNY Mellon Investment Servicing (US) Inc.
BNY Mellon Investment Servicing (US) Inc.
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI
02940-9653
(800) 262-1122
Fund
Offices
Two International Place
Two International Place
Boston, MA 02110
| * | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
| 3040-6/11 | EMISRC |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit
committee financial expert. Mr. Park is a certified public accountant who is the Chief Financial
Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice
Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief
Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice
President and Chief Financial Officer of United Asset Management Corporation (an institutional
investment management firm) and as a Senior Manager at Price Waterhouse (now
PricewaterhouseCoopers) (an independent registered public accounting firm).
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 applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated
Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal
financial officer that the effectiveness of the registrant’s current disclosure controls and
procedures (such disclosure controls and procedures having been evaluated within 90 days of the
date of this filing) provide reasonable assurance that the information required to be disclosed by
the registrant has been recorded, processed, summarized and reported within the time period
specified in the Commission’s rules and forms and that the information required to be disclosed by
the registrant has been accumulated and communicated to the registrant’s principal executive
officer and principal financial officer in order to allow timely decisions regarding required
disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting
during the second fiscal quarter of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant’s internal control over financial
reporting.
Item 12. Exhibits
(a)(1)
|
Registrant’s Code of Ethics — Not applicable (please see Item 2). | |
(a)(2)(i)
|
Treasurer’s Section 302 certification. | |
(a)(2)(ii)
|
President’s Section 302 certification. | |
(b)
|
Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Emerging Markets Local Income Portfolio
By:
|
/s/ Mark S. Venezia
|
|||||
| President | ||||||
Date:
|
June 14, 2011 |
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/ Barbara E. Campbell
|
|||||
| Treasurer | ||||||
Date:
|
June 14, 2011 | |||||
By:
|
/s/ Mark S. Venezia
|
|||||
| President | ||||||
Date:
|
June 14, 2011 |