International Income Portfolio
July 31, 2020
PORTFOLIO OF INVESTMENTS (Unaudited)
Foreign Government Bonds 37.8%
Security | Principal Amount (000s omitted) |
Value | ||||||
Australia 4.7% |
| |||||||
Australia Government Bond, 1.00%, 12/21/30 (1) |
AUD | 1,300 | $ | 941,418 | ||||
Australian Capital Territory, 1.25%, 5/22/25(1) |
AUD | 2,350 | 1,725,410 | |||||
|
|
|||||||
Total Australia |
|
$ | 2,666,828 | |||||
|
|
|||||||
Bahrain 1.0% |
| |||||||
Kingdom of Bahrain, 7.00%, 10/12/28(1) |
USD | 500 | $ | 561,377 | ||||
|
|
|||||||
Total Bahrain |
|
$ | 561,377 | |||||
|
|
|||||||
Bermuda 0.4% |
| |||||||
Bermuda Government International Bond, 3.717%, 1/25/27(1) |
USD | 200 | $ | 218,900 | ||||
|
|
|||||||
Total Bermuda |
|
$ | 218,900 | |||||
|
|
|||||||
Egypt 1.0% |
| |||||||
Arab Republic of Egypt, 8.875%, 5/29/50(1) |
USD | 600 | $ | 602,154 | ||||
|
|
|||||||
Total Egypt |
|
$ | 602,154 | |||||
|
|
|||||||
Georgia 0.2% |
| |||||||
Georgia Treasury Bond, 7.00%, 5/30/24 |
GEL | 430 | $ | 133,060 | ||||
|
|
|||||||
Total Georgia |
|
$ | 133,060 | |||||
|
|
|||||||
Iceland 4.2% |
| |||||||
Republic of Iceland, 5.00%, 11/15/28 |
ISK | 59,300 | $ | 518,450 | ||||
Republic of Iceland, 6.50%, 1/24/31 |
ISK | 184,200 | 1,853,392 | |||||
|
|
|||||||
Total Iceland |
|
$ | 2,371,842 | |||||
|
|
|||||||
Indonesia 2.5% |
| |||||||
Indonesia Government International Bond, 3.85%, 10/15/30 |
USD | 375 | $ | 432,100 | ||||
Indonesia Treasury Bond, 7.50%, 6/15/35 |
IDR | 14,000,000 | 980,671 | |||||
|
|
|||||||
Total Indonesia |
|
$ | 1,412,771 | |||||
|
|
|||||||
New Zealand 6.2% |
| |||||||
New Zealand Government Bond, 3.00%, 9/20/30(1)(2) |
NZD | 4,014 | $ | 3,496,607 | ||||
|
|
|||||||
Total New Zealand |
|
$ | 3,496,607 | |||||
|
|
|||||||
Peru 2.2% |
| |||||||
Peru Government Bond, 6.90%, 8/12/37 |
PEN | 3,500 | $ | 1,228,420 | ||||
|
|
|||||||
Total Peru |
|
$ | 1,228,420 | |||||
|
|
|||||||
Philippines 2.6% |
| |||||||
Republic of the Philippines, 2.95%, 5/5/45 |
USD | 500 | $ | 562,309 | ||||
Republic of the Philippines, 6.25%, 1/14/36 |
PHP | 34,000 | 896,043 | |||||
|
|
|||||||
Total Philippines |
|
$ | 1,458,352 | |||||
|
|
|||||||
Romania 1.1% |
| |||||||
Romanian Government International Bond, 3.375%, 1/28/50(1) |
EUR | 500 | $ | 605,073 | ||||
|
|
|||||||
Total Romania |
|
$ | 605,073 | |||||
|
|
1
Security | Principal Amount (000s omitted) |
Value | ||||||
Serbia 7.8% |
| |||||||
Serbia Treasury Bond, 5.875%, 2/8/28 |
RSD | 370,200 | $ | 4,401,316 | ||||
|
|
|||||||
Total Serbia |
|
$ | 4,401,316 | |||||
|
|
|||||||
Ukraine 3.9% |
| |||||||
Ukraine Government International Bond, 15.70%, 1/20/21 |
UAH | 30,860 | $ | 1,136,950 | ||||
Ukraine Government International Bond, 18.00%, 3/24/21 |
UAH | 28,055 | 1,055,081 | |||||
|
|
|||||||
Total Ukraine |
|
$ | 2,192,031 | |||||
|
|
|||||||
Total Foreign Government Bonds |
|
$ | 21,348,731 | |||||
|
|
|||||||
Foreign Corporate Bonds 3.8% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Iceland 3.8% |
| |||||||
Arion Banki HF, 6.00%, 4/12/24(1) |
ISK | 100,000 | $ | 834,855 | ||||
Islandsbanki HF, 6.40%, 10/26/23 |
ISK | 40,000 | 333,390 | |||||
Landsbankinn HF, 5.00%, 11/23/23(1) |
ISK | 120,000 | 962,354 | |||||
|
|
|||||||
Total Iceland |
|
$ | 2,130,599 | |||||
|
|
|||||||
Total Foreign Corporate Bonds |
|
$ | 2,130,599 | |||||
|
|
|||||||
Mortgage Pass-Throughs 0.5% |
| |||||||
Security | Principal Amount |
Value | ||||||
Federal National Mortgage Association: |
| |||||||
$ | 256,656 | $ | 266,812 | |||||
|
|
|||||||
$ | 266,812 | |||||||
|
|
|||||||
Total Mortgage Pass-Throughs |
|
$ | 266,812 | |||||
|
|
|||||||
U.S. Treasury Obligations 3.3% |
| |||||||
Security | Principal |
Value | ||||||
U.S. Treasury Inflation-Protected Note, 0.25%, 1/15/25(4) |
$ | 1,764 | $ | 1,882,625 | ||||
|
|
|||||||
Total U.S. Treasury Obligations |
|
$ | 1,882,625 | |||||
|
|
2
Short-Term Investments 50.8% |
| |||||||
Foreign Government Securities 8.7% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Egypt 3.0% |
| |||||||
Egypt Treasury Bill, 0.00%, 10/13/20 |
EGP | 13,775 | $ | 842,857 | ||||
Egypt Treasury Bill, 0.00%, 4/6/21 |
EGP | 14,600 | 842,371 | |||||
|
|
|||||||
Total Egypt |
|
$ | 1,685,228 | |||||
|
|
|||||||
Georgia 0.0%(5) |
| |||||||
Georgia Treasury Bill, 0.00%, 10/8/20 |
GEL | 5 | $ | 1,602 | ||||
Georgia Treasury Bill, 0.00%, 12/3/20 |
GEL | 15 | 4,751 | |||||
|
|
|||||||
Total Georgia |
|
$ | 6,353 | |||||
|
|
|||||||
United Kingdom 5.7% |
| |||||||
United Kingdom Gilt, 8.00%, 6/7/21(1) |
GBP | 2,300 | $ | 3,213,598 | ||||
|
|
|||||||
Total United Kingdom |
|
$ | 3,213,598 | |||||
|
|
|||||||
Total Foreign Government Securities |
|
$ | 4,905,179 | |||||
|
|
|||||||
U.S. Treasury Obligations 33.7% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
U.S. Treasury Bill, 0.00%, 8/6/20 |
$ | 19,000 | $ | 18,999,885 | ||||
|
|
|||||||
Total U.S. Treasury Obligations |
|
$ | 18,999,885 | |||||
|
|
|||||||
Other 8.4% |
| |||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.22%(6) |
4,742,455 | $ | 4,741,981 | |||||
|
|
|||||||
Total Other |
|
$ | 4,741,981 | |||||
|
|
|||||||
Total Short-Term Investments |
|
$ | 28,647,045 | |||||
|
|
|||||||
Total Investments 96.2% |
$ | 54,275,812 | ||||||
|
|
|||||||
Other Assets, Less Liabilities 3.8% |
$ | 2,157,309 | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 56,433,121 | ||||||
|
|
3
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(1) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2020, the aggregate value of these securities is $13,161,746 or 23.3% of the Portfolios net assets applicable to common shares. |
(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) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at July 31, 2020. |
(4) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(5) | Amount is less than 0.05%. |
(6) | 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 July 31, 2020. |
4
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||
EUR | 23,730,000 | USD | 26,705,386 | 8/3/20 | $ | 1,247,383 | ||||||||||||||
EUR | 2,604,104 | USD | 3,016,334 | 8/3/20 | 51,172 | |||||||||||||||
EUR | 2,359,282 | USD | 2,732,756 | 8/3/20 | 46,361 | |||||||||||||||
EUR | 1,972,008 | USD | 2,284,177 | 8/3/20 | 38,751 | |||||||||||||||
EUR | 1,972,008 | USD | 2,325,885 | 8/3/20 | (2,957 | ) | ||||||||||||||
EUR | 2,359,282 | USD | 2,782,655 | 8/3/20 | (3,537 | ) | ||||||||||||||
EUR | 2,604,104 | USD | 3,071,410 | 8/3/20 | (3,904 | ) | ||||||||||||||
EUR | 23,730,000 | USD | 27,988,349 | 8/3/20 | (35,580 | ) | ||||||||||||||
USD | 27,988,349 | EUR | 23,730,000 | 8/3/20 | 35,580 | |||||||||||||||
USD | 3,071,410 | EUR | 2,604,104 | 8/3/20 | 3,904 | |||||||||||||||
USD | 2,782,655 | EUR | 2,359,282 | 8/3/20 | 3,537 | |||||||||||||||
USD | 2,325,885 | EUR | 1,972,008 | 8/3/20 | 2,957 | |||||||||||||||
USD | 2,219,268 | EUR | 1,972,008 | 8/3/20 | (103,660 | ) | ||||||||||||||
USD | 2,655,101 | EUR | 2,359,282 | 8/3/20 | (124,017 | ) | ||||||||||||||
USD | 2,930,620 | EUR | 2,604,104 | 8/3/20 | (136,886 | ) | ||||||||||||||
USD | 27,486,459 | EUR | 23,730,000 | 8/3/20 | (466,310 | ) | ||||||||||||||
USD | 1,234,284 | PEN | 4,219,400 | 8/6/20 | 40,368 | |||||||||||||||
USD | 1,834,181 | EUR | 1,618,000 | 8/7/20 | (71,861 | ) | ||||||||||||||
USD | 844,794 | PHP | 43,000,000 | 8/7/20 | (30,090 | ) | ||||||||||||||
KRW | 1,220,000,000 | USD | 1,025,198 | 8/10/20 | (1,792 | ) | ||||||||||||||
AUD | 2,240,000 | USD | 1,462,944 | 8/12/20 | 137,469 | |||||||||||||||
AUD | 2,442,258 | USD | 1,710,616 | 8/12/20 | 34,304 | |||||||||||||||
AUD | 81,988 | USD | 57,426 | 8/12/20 | 1,152 | |||||||||||||||
USD | 1,686,712 | AUD | 2,417,688 | 8/12/20 | (40,654 | ) | ||||||||||||||
NZD | 410,000 | USD | 267,770 | 8/17/20 | 4,148 | |||||||||||||||
JPY | 1,237,000,000 | USD | 11,564,152 | 8/20/20 | 123,642 | |||||||||||||||
USD | 1,120,642 | JPY | 120,000,000 | 8/20/20 | (13,178 | ) | ||||||||||||||
JPY | 373,200,639 | USD | 3,470,863 | 8/26/20 | 55,554 | |||||||||||||||
EUR | 10,500,000 | USD | 12,171,611 | 9/2/20 | 204,431 | |||||||||||||||
KRW | 582,359,000 | USD | 486,996 | 9/2/20 | 429 | |||||||||||||||
USD | 829,017 | AUD | 1,194,876 | 9/8/20 | (24,770 | ) | ||||||||||||||
USD | 909,998 | AUD | 1,311,596 | 9/8/20 | (27,189 | ) | ||||||||||||||
USD | 96,342 | IDR | 1,417,354,000 | 9/8/20 | 576 | |||||||||||||||
JPY | 61,520,881 | USD | 564,606 | 9/9/20 | 16,811 | |||||||||||||||
USD | 13,297 | CAD | 18,040 | 9/18/20 | (173 | ) | ||||||||||||||
GBP | 959,627 | USD | 1,196,982 | 10/5/20 | 59,592 | |||||||||||||||
KRW | 784,775,981 | USD | 653,833 | 10/5/20 | 3,073 | |||||||||||||||
JPY | 49,768,691 | USD | 462,521 | 10/8/20 | 8,019 | |||||||||||||||
NOK | 13,196,000 | USD | 1,404,006 | 10/8/20 | 46,154 | |||||||||||||||
NZD | 59,291 | USD | 38,836 | 10/8/20 | 487 | |||||||||||||||
USD | 763,075 | NOK | 7,172,000 | 10/8/20 | (25,085 | ) | ||||||||||||||
USD | 3,347,975 | NZD | 5,111,295 | 10/8/20 | (41,984 | ) | ||||||||||||||
SEK | 22,653,993 | USD | 2,480,115 | 10/15/20 | 101,869 | |||||||||||||||
KRW | 280,075,000 | USD | 232,441 | 10/20/20 | 2,010 | |||||||||||||||
|
|
|||||||||||||||||||
$ | 1,116,106 | |||||||||||||||||||
|
|
5
Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EUR | 21,000,000 | USD | 24,395,070 | BNP Paribas | 8/4/20 | $ | 341,894 | $ | | |||||||||||||||
EUR | 664,868 | USD | 760,672 | Citibank, N.A. | 8/4/20 | 22,510 | | |||||||||||||||||
EUR | 2,006,660 | USD | 2,256,913 | Goldman Sachs International | 8/4/20 | 106,834 | | |||||||||||||||||
EUR | 3,536,425 | USD | 4,092,963 | Goldman Sachs International | 8/4/20 | 72,771 | | |||||||||||||||||
EUR | 2,484,904 | USD | 2,875,960 | Goldman Sachs International | 8/4/20 | 51,134 | | |||||||||||||||||
EUR | 872,100 | USD | 980,860 | Goldman Sachs International | 8/4/20 | 46,430 | | |||||||||||||||||
EUR | 1,877,397 | USD | 2,172,849 | Goldman Sachs International | 8/4/20 | 38,632 | | |||||||||||||||||
EUR | 822,314 | USD | 951,724 | Goldman Sachs International | 8/4/20 | 16,921 | | |||||||||||||||||
EUR | 775,740 | USD | 897,821 | Goldman Sachs International | 8/4/20 | 15,963 | | |||||||||||||||||
EUR | 770,895 | USD | 892,213 | Goldman Sachs International | 8/4/20 | 15,863 | | |||||||||||||||||
EUR | 599,718 | USD | 694,098 | Goldman Sachs International | 8/4/20 | 12,341 | | |||||||||||||||||
EUR | 195,889 | USD | 220,319 | Goldman Sachs International | 8/4/20 | 10,429 | | |||||||||||||||||
EUR | 498,325 | USD | 576,748 | Goldman Sachs International | 8/4/20 | 10,254 | | |||||||||||||||||
EUR | 119,200 | USD | 134,066 | Goldman Sachs International | 8/4/20 | 6,346 | | |||||||||||||||||
EUR | 23,730,000 | USD | 27,486,934 | State Street Bank and Trust Company | 8/4/20 | 465,835 | | |||||||||||||||||
EUR | 10,500,000 | USD | 12,203,964 | State Street Bank and Trust Company | 8/4/20 | 164,518 | | |||||||||||||||||
USD | 2,187,046 | EUR | 1,912,049 | Bank of America, N.A. | 8/4/20 | | (65,254 | ) | ||||||||||||||||
USD | 12,195,719 | EUR | 10,500,000 | BNP Paribas | 8/4/20 | | (172,763 | ) | ||||||||||||||||
USD | 12,164,250 | EUR | 10,500,000 | BNP Paribas | 8/4/20 | | (204,232 | ) | ||||||||||||||||
USD | 4,270,122 | EUR | 3,732,314 | Citibank, N.A. | 8/4/20 | | (126,360 | ) | ||||||||||||||||
USD | 560,472 | EUR | 498,325 | Goldman Sachs International | 8/4/20 | | (26,531 | ) | ||||||||||||||||
USD | 674,510 | EUR | 599,718 | Goldman Sachs International | 8/4/20 | | (31,929 | ) | ||||||||||||||||
USD | 867,034 | EUR | 770,895 | Goldman Sachs International | 8/4/20 | | (41,042 | ) | ||||||||||||||||
USD | 872,483 | EUR | 775,740 | Goldman Sachs International | 8/4/20 | | (41,300 | ) | ||||||||||||||||
USD | 1,989,614 | EUR | 1,769,000 | Goldman Sachs International | 8/4/20 | | (94,181 | ) | ||||||||||||||||
USD | 13,264,652 | EUR | 11,461,000 | Goldman Sachs International | 8/4/20 | | (235,840 | ) | ||||||||||||||||
USD | 2,284,216 | EUR | 1,972,008 | State Street Bank and Trust Company | 8/4/20 | | (38,712 | ) | ||||||||||||||||
USD | 2,732,804 | EUR | 2,359,282 | State Street Bank and Trust Company | 8/4/20 | | (46,314 | ) | ||||||||||||||||
USD | 3,016,386 | EUR | 2,604,104 | State Street Bank and Trust Company | 8/4/20 | | (51,120 | ) | ||||||||||||||||
USD | 24,388,875 | EUR | 21,000,000 | State Street Bank and Trust Company | 8/4/20 | | (348,089 | ) | ||||||||||||||||
KRW | 2,545,050,000 | USD | 2,129,457 | Australia and New Zealand Banking Group Limited | 8/10/20 | 5,479 | | |||||||||||||||||
USD | 288,316 | THB | 9,118,000 | Standard Chartered Bank | 8/10/20 | | (4,079 | ) | ||||||||||||||||
CHF | 2,250,000 | EUR | 2,089,779 | Morgan Stanley & Co. International PLC | 8/11/20 | | (1,301 | ) | ||||||||||||||||
UGX | 982,637,000 | USD | 247,080 | Standard Chartered Bank | 8/14/20 | 18,998 | | |||||||||||||||||
USD | 247,514 | UGX | 982,637,000 | Standard Chartered Bank | 8/14/20 | | (18,564 | ) | ||||||||||||||||
THB | 7,053,000 | USD | 219,617 | Standard Chartered Bank | 8/18/20 | 6,553 | | |||||||||||||||||
THB | 8,315,000 | USD | 268,425 | Standard Chartered Bank | 8/24/20 | | (1,791 | ) | ||||||||||||||||
EUR | 447,185 | USD | 525,188 | BNP Paribas | 8/31/20 | 1,873 | | |||||||||||||||||
EUR | 152,533 | USD | 179,337 | BNP Paribas | 8/31/20 | 442 | | |||||||||||||||||
EUR | 11,461,000 | USD | 13,272,285 | Goldman Sachs International | 8/31/20 | 235,886 | | |||||||||||||||||
USD | 577,080 | EUR | 498,325 | Goldman Sachs International | 8/31/20 | | (10,256 | ) | ||||||||||||||||
USD | 694,497 | EUR | 599,718 | Goldman Sachs International | 8/31/20 | | (12,343 | ) | ||||||||||||||||
USD | 892,726 | EUR | 770,895 | Goldman Sachs International | 8/31/20 | | (15,866 | ) | ||||||||||||||||
USD | 898,337 | EUR | 775,740 | Goldman Sachs International | 8/31/20 | | (15,966 | ) | ||||||||||||||||
USD | 952,272 | EUR | 822,314 | Goldman Sachs International | 8/31/20 | | (16,925 | ) | ||||||||||||||||
USD | 2,174,099 | EUR | 1,877,397 | Goldman Sachs International | 8/31/20 | | (38,640 | ) |
6
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 2,877,615 | EUR | 2,484,904 | Goldman Sachs International | 8/31/20 | $ | | $ | (51,143 | ) | ||||||||||||||
USD | 4,095,318 | EUR | 3,536,425 | Goldman Sachs International | 8/31/20 | | (72,785 | ) | ||||||||||||||||
THB | 7,444,665 | USD | 240,560 | Standard Chartered Bank | 9/25/20 | | (1,849 | ) | ||||||||||||||||
THB | 9,038,445 | USD | 291,687 | Standard Chartered Bank | 9/25/20 | | (1,873 | ) | ||||||||||||||||
THB | 9,038,445 | USD | 291,704 | Standard Chartered Bank | 9/25/20 | | (1,890 | ) | ||||||||||||||||
THB | 9,038,445 | USD | 291,791 | Standard Chartered Bank | 9/25/20 | | (1,977 | ) | ||||||||||||||||
USD | 173,225 | THB | 5,355,000 | Standard Chartered Bank | 9/25/20 | 1,519 | | |||||||||||||||||
USD | 28,653 | THB | 895,000 | Standard Chartered Bank | 9/25/20 | | (45 | ) | ||||||||||||||||
USD | 880,639 | IDR | 13,000,000,000 | Standard Chartered Bank | 10/26/20 | 9,577 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 1,679,002 | $ | (1,790,960 | ) | ||||||||||||||||||||
|
|
|
|
Futures Contracts
Description |
Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/ Unrealized Depreciation |
|||||||||||||||||||||
Interest Rate Futures |
| |||||||||||||||||||||||||
Euro-Buxl |
(2 | ) | Short | 9/8/20 | $ | (529,701 | ) | $ | (8,528 | ) | ||||||||||||||||
U.S. 5-Year Treasury Note |
(2 | ) | Short | 9/30/20 | (252,250 | ) | (1,422 | ) | ||||||||||||||||||
U.S. 10-Year Treasury Note |
(3 | ) | Short | 9/21/20 | (420,234 | ) | (3,531 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (13,481 | ) | ||||||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Notional Amount (000s omitted) |
Portfolio Pays/ Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
CNY | 21,500 | Pays | 7-day China Fixing Repo Rates (pays quarterly) |
2.28% (pays quarterly) |
6/8/25 | $ | (42,132 | ) | $ | | $ | (42,132 | ) | |||||||||||||
MXN | 27,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) |
5.11% (pays monthly) |
5/5/25 | 15,606 | | 15,606 | ||||||||||||||||||
MXN | 24,000 | Pays | Mexico Interbank TIIE 28 Day (pays monthly) |
6.70% (pays monthly) |
10/3/29 | 97,135 | | 97,135 | ||||||||||||||||||
SGD | 3,500 | Pays | 6-month Singapore Swap Offered Rate (pays semi-annually) |
1.64% (pays semi-annually) |
10/16/29 | 158,096 | | 158,096 | ||||||||||||||||||
THB | 70,000 | Pays | 6-month THB Fixing Rate (pays semi-annually) |
1.37% (pays semi-annually) |
10/17/29 | 78,424 | | 78,424 | ||||||||||||||||||
USD | 96 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.64% (pays semi-annually) |
6/30/30 | (1,101 | ) | | (1,101 | ) | ||||||||||||||||
USD | 270 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.62% (pays semi-annually) |
7/1/30 | (2,666 | ) | | (2,666 | ) | ||||||||||||||||
USD | 340 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.82% (pays semi-annually) |
5/12/50 | (4,486 | ) | | (4,486 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.92% (pays semi-annually) |
6/30/50 | (8,107 | ) | | (8,107 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total | $ | 290,769 | $ | | $ | 290,769 | ||||||||||||||||||||
|
|
|
|
|
|
7
Interest Rate Swaps
Counterparty |
Notional Amount (000s omitted) |
Portfolio Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value/ Unrealized Appreciation |
||||||||||||||||
Citibank, N.A. | MYR | 8,000 | Pays | 3-month MYR KLIBOR (pays quarterly) | |
3.15 (pays quarterly) |
%
|
10/14/24 | $ | 101,969 | ||||||||||||
Goldman Sachs International | RUB | 152,000 | Pays | 3-month Moscow Prime Offered Rate (pays quarterly) |
|
5.34 (pays annually) |
%
|
5/18/25 | 8,506 | |||||||||||||
|
|
|||||||||||||||||||||
Total | $ | 110,475 | ||||||||||||||||||||
|
|
Credit Default Swaps Sell Protection
Reference Entity | Counterparty |
Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation |
||||||||||||||||||||||
Greece | Citibank, N.A. | $ | 2,000 | |
1.00 (pays quarterly |
% )(1) |
6/20/25 | 1.60 | % | $ | (54,137 | ) | $ | 147,652 | $ | 93,515 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total | $ | 2,000 | $ | (54,137 | ) | $ | 147,652 | $ | 93,515 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
* | 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 July 31, 2020, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $2,000,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations:
COF |
- | Cost of Funds 11th District |
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Currency Abbreviations:
At July 31, 2020, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Credit Risk: The Portfolio enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase or sale of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including interest rate futures contracts and interest rate swaps to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.
At July 31, 2020, the value of the Portfolios investment in affiliated funds was $4,741,981, which represents 8.4% of the Portfolios net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended July 31, 2020 were as follows:
Name of affiliated fund |
Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end
of period |
Dividend income |
Units, end of period |
||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC |
$ | 6,491,338 | $ | 45,742,239 | $ | (47,491,067 | ) | $ | 137 | $ | (666 | ) | $ | 4,741,981 | $ | 17,403 | 4,742,455 |
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Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At July 31, 2020, the hierarchy of inputs used in valuing the Portfolios investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Foreign Government Bonds |
$ | | $ | 21,348,731 | $ | | $ | 21,348,731 | ||||||||
Foreign Corporate Bonds |
| 2,130,599 | | 2,130,599 | ||||||||||||
Mortgage Pass-Throughs |
| 266,812 | | 266,812 | ||||||||||||
U.S. Treasury Obligations |
| 1,882,625 | | 1,882,625 | ||||||||||||
Short-Term Investments - |
||||||||||||||||
Foreign Government Securities |
| 4,905,179 | | 4,905,179 | ||||||||||||
U.S. Treasury Obligations |
| 18,999,885 | | 18,999,885 | ||||||||||||
Other |
| 4,741,981 | | 4,741,981 | ||||||||||||
Total Investments |
$ | | $ | 54,275,812 | $ | | $ | 54,275,812 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 3,948,735 | $ | | $ | 3,948,735 | ||||||||
Swap Contracts |
| 459,736 | | 459,736 | ||||||||||||
Total |
$ | | $ | 58,684,283 | $ | | $ | 58,684,283 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (2,944,587 | ) | $ | | $ | (2,944,587 | ) | ||||||
Futures Contracts |
(13,481 | ) | | | (13,481 | ) | ||||||||||
Swap Contracts |
| (112,629 | ) | | (112,629 | ) | ||||||||||
Total |
$ | (13,481 | ) | $ | (3,057,216 | ) | $ | | $ | (3,070,697 | ) |
Investment Valuation Derivatives. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models.
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
10
agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. 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 or receipts, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps. 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.
For additional information on the Portfolios policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolios most recent financial statements included in its semiannual or annual report to shareholders.
11