NPORT-EX 2 NPORT_1059633081762051.htm html

International Income Portfolio

July 31, 2020

PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 37.8%

 

                                                 
Security    Principal
Amount
(000’s 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
(000’s 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
(identified cost $20,447,271)

 

    $ 21,348,731  
     

 

 

  

Foreign Corporate Bonds — 3.8%

 

Security    Principal
Amount
(000’s 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
(identified cost $2,199,828)

 

    $ 2,130,599  
     

 

 

  

Mortgage Pass-Throughs — 0.5%

 

Security    Principal
Amount		      Value  

Federal National Mortgage Association:
3.966%, (COF + 1.77%), with maturity at 2035(3)

 

   $ 256,656      $ 266,812  
     

 

 

  
      $ 266,812  
     

 

 

  

Total Mortgage Pass-Throughs
(identified cost $256,674)

 

    $ 266,812  
     

 

 

  

U.S. Treasury Obligations — 3.3%

 

Security   

Principal
Amount
(000’s omitted)

      Value  

U.S. Treasury Inflation-Protected Note, 0.25%, 1/15/25(4)

    $ 1,764      $ 1,882,625  
     

 

 

  

Total U.S. Treasury Obligations
(identified cost $1,812,991)

 

    $ 1,882,625  
     

 

 

  

 

2

 

 

                                                 

Short-Term Investments — 50.8%

 

Foreign Government Securities — 8.7%

 

Security    Principal
Amount
(000’s 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
(identified cost $4,817,963)

 

    $ 4,905,179  
     

 

 

  

U.S. Treasury Obligations — 33.7%

 

Security    Principal
Amount
(000’s omitted)		      Value  

U.S. Treasury Bill, 0.00%, 8/6/20

    $ 19,000      $ 18,999,885  
     

 

 

  

Total U.S. Treasury Obligations
(identified cost $18,999,602)

 

    $ 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
(identified cost $4,742,019)

 

    $ 4,741,981  
     

 

 

  

Total Short-Term Investments
(identified cost $28,559,584)

 

    $ 28,647,045  
     

 

 

  

Total Investments — 96.2%
(identified cost $53,276,348)

       $ 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 Portfolio’s 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
(000’s 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
(000’s
omitted)		     

Portfolio
Pays/Receives

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

 

(1)

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

Abbreviations:

 

COF

   -   Cost of Funds 11th District

 

8

 

 

Currency Abbreviations:

 

AUD

   -   Australian Dollar

CAD

   -   Canadian Dollar

CHF

   -   Swiss Franc

CNY

   -   Yuan Renminbi

EGP

   -   Egyptian Pound

EUR

   -   Euro

GBP

   -   British Pound Sterling

GEL

   -   Georgian Lari

IDR

   -   Indonesian Rupiah

ISK

   -   Icelandic Krona

JPY

   -   Japanese Yen

KRW

   -   South Korean Won

MXN

   -   Mexican Peso

MYR

   -   Malaysian Ringgit

NOK

   -   Norwegian Krone

NZD

   -   New Zealand Dollar

PEN

   -   Peruvian Sol

PHP

   -   Philippine Peso

RSD

   -   Serbian Dinar

RUB

   -   Russian Ruble

SEK

   -   Swedish Krona

SGD

   -   Singapore Dollar

THB

   -   Thai Baht

UAH

   -   Ukrainian Hryvnia

UGX

   -   Ugandan Shilling

USD

   -   United States Dollar
 

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 Portfolio’s investment in affiliated funds was $4,741,981, which represents 8.4% of the Portfolio’s 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  

 

9

 

 

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.

At July 31, 2020, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

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 Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.

 

11