NPORT-EX 2 NPORT_11224940691114148.htm html

International Income Portfolio

January 31, 2021

PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Corporate Bonds — 3.6%

 

                                                 
Security   

Principal

Amount

(000’s omitted)

      Value  

Iceland — 3.6%

 

Arion Banki HF, 6.00%, 4/12/24 (1)

   ISK 100,000      $ 860,574  

Islandsbanki HF, 6.40%, 10/26/23

   ISK 40,000        343,826  

Landsbankinn HF, 5.00%, 11/23/23 (1)

   ISK 120,000        995,374  
     

 

 

  

Total Iceland

 

    $ 2,199,774  
     

 

 

  

Total Foreign Corporate Bonds
(identified cost $2,185,755)

 

    $ 2,199,774  
     

 

 

  

Foreign Government Bonds — 39.8%

 

Security   

Principal

Amount

(000’s omitted)

      Value  

Australia — 6.7%

 

Australian Capital Territory, 1.25%, 5/22/25 (1)

   AUD 2,350      $ 1,869,214  

New South Wales Treasury Corp., 4.00%, 5/20/26 (1)

   AUD 2,500        2,258,696  
     

 

 

  

Total Australia

 

    $ 4,127,910  
     

 

 

  

Bahrain — 0.9%

 

Kingdom of Bahrain, 7.00%, 10/12/28 (1)

   USD 500      $ 580,097  
     

 

 

  

Total Bahrain

 

    $ 580,097  
     

 

 

  

Egypt — 2.2%

 

Arab Republic of Egypt, 8.875%, 5/29/50 (1)

   USD 1,200      $ 1,362,648  
     

 

 

  

Total Egypt

 

    $ 1,362,648  
     

 

 

  

Georgia — 0.2%

 

Georgia Treasury Bond, 7.00%, 5/30/24

   GEL 430      $ 126,190  
     

 

 

  

Total Georgia

 

    $ 126,190  
     

 

 

  

Iceland — 3.8%

 

Republic of Iceland, 5.00%, 11/15/28

   ISK 59,300      $ 519,529  

Republic of Iceland, 6.50%, 1/24/31

   ISK 184,200        1,811,857  
     

 

 

  

Total Iceland

 

    $ 2,331,386  
     

 

 

  

Indonesia — 6.7%

 

Indonesia Government Bond, 7.00%, 9/15/30

   IDR 13,850,000      $ 1,038,197  

Indonesia Government Bond, 7.50%, 6/15/35

   IDR 35,000,000        2,663,892  

Indonesia Government International Bond, 3.85%, 10/15/30

   USD 375        434,087  
     

 

 

  

Total Indonesia

 

    $ 4,136,176  
     

 

 

  

 

1

 

 

                                                 
Security   

Principal

Amount

(000’s omitted)

      Value  

Mongolia — 0.4%

 

Mongolia Government International Bond, 5.125%, 4/7/26 (1)

   USD 200      $ 214,484  
     

 

 

  

Total Mongolia

 

    $ 214,484  
     

 

 

  

New Zealand — 4.6%

 

New Zealand Government Bond, 3.00%, 9/20/30 (1)(2)

   NZD  2,932      $ 2,827,109  
     

 

 

  

Total New Zealand

 

    $ 2,827,109  
     

 

 

  

Philippines — 2.3%

 

Republic of the Philippines, 2.95%, 5/5/45

   USD 500      $ 519,140  

Republic of the Philippines, 6.25%, 1/14/36

   PHP 34,000        914,136  
     

 

 

  

Total Philippines

 

    $ 1,433,276  
     

 

 

  

Romania — 1.1%

 

Romania Government International Bond, 3.375%, 1/28/50 (1)

   EUR 500      $ 685,089  
     

 

 

  

Total Romania

 

    $ 685,089  
     

 

 

  

Serbia — 7.5%

 

Serbia Treasury Bond, 5.875%, 2/8/28

   RSD 370,200      $ 4,617,838  
     

 

 

  

Total Serbia

 

    $ 4,617,838  
     

 

 

  

Ukraine — 3.4%

 

Ukraine Government International Bond, 15.84%, 2/26/25

   UAH 53,710      $ 2,117,812  
     

 

 

  

Total Ukraine

 

    $ 2,117,812  
     

 

 

  

Total Foreign Government Bonds
(identified cost $22,681,072)

 

    $ 24,560,015  
     

 

 

  

Mortgage Pass-Throughs — 5.4%

      
Security   

Principal

Amount

      Value  
Federal National Mortgage Association:      

2.00%, 30-Year, TBA(3)

    $ 3,000,000      $ 3,097,645  

3.902%, (COF + 1.78%), with maturity at 2035(4)

      226,416        239,072  
     

 

 

  
      $ 3,336,717  
     

 

 

  

Total Mortgage Pass-Throughs
(identified cost $3,317,258)

       $ 3,336,717  
     

 

 

  

 

2

 

 

                                                 

Short-Term Investments — 48.3%

      

Foreign Government Securities — 4.0%

      
Security   

Principal

Amount

(000’s omitted)

      Value  

Egypt — 4.0%

      

Egypt Treasury Bill, 0.00%, 4/6/21

   EGP  14,600      $ 918,111  

Egypt Treasury Bill, 0.00%, 5/25/21

   EGP 10,050        615,417  

Egypt Treasury Bill, 0.00%, 7/13/21

   EGP 7,325        442,516  

Egypt Treasury Bill, 0.00%, 10/12/21

   EGP 7,750        453,796  
     

 

 

  

Total Egypt

       $ 2,429,840  
     

 

 

  

Georgia — 0.0%(5)

      

Georgia Treasury Bill, 0.00%, 12/9/21

   GEL  36      $ 10,205  
     

 

 

  

Total Georgia

       $ 10,205  
     

 

 

  

Total Foreign Government Securities
(identified cost $2,419,839)

       $ 2,440,045  
     

 

 

  

U.S. Treasury Obligations — 40.5%

      
Security   

Principal

Amount

(000’s omitted)

      Value  

U.S. Treasury Bill, 0.00%, 2/4/21

    $ 6,000      $ 5,999,986  

U.S. Treasury Bill, 0.00%, 3/25/21

      9,000        8,999,415  

U.S. Treasury Bill, 0.00%, 4/29/21

      10,000        9,998,852  
     

 

 

  

Total U.S. Treasury Obligations
(identified cost $24,996,920)

       $ 24,998,253  
     

 

 

  

Other — 3.8%

 

Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.11%(6)

      2,348,106      $ 2,348,106  
     

 

 

  

Total Other
(identified cost $2,348,106)

       $ 2,348,106  
     

 

 

  

Total Short-Term Investments
(identified cost $29,764,865)

       $ 29,786,404  
     

 

 

  

Total Purchased Options — 0.1%
(identified cost $32,900)

       $ 38,350  
     

 

 

  

Total Investments — 97.2%
(identified cost $57,981,850)

       $ 59,921,260  
     

 

 

  

Other Assets, Less Liabilities — 2.8%

       $ 1,722,496  
     

 

 

  

Net Assets — 100.0%

       $ 61,643,756  
     

 

 

  

 

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, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At January 31, 2021, the aggregate value of these securities is $11,653,285 or 18.9% 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)

TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement.

 

(4)

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 January 31, 2021.

 

(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 January 31, 2021.

 

4

 

 

Purchased Call Options — 0.1%

 

                                                                                                                            

Description

    Counterparty      Notional
Amount		      Spread     Expiration
Date		      Value  

2-year 10 Constant Maturity Swap Curve Cap

      Bank of America, N.A.      USD 23,500,000        1.09 %      1/4/23      $ 38,350  

Centrally Cleared Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		      Currency
Sold		           Settlement
Date		      Value/
Unrealized
Appreciation
(Depreciation)		  
BRL      1,075,000      USD      196,315           2/2/21      $ 161  
BRL      1,075,000      USD      206,229           2/2/21        (9,753 ) 
USD      200,595      BRL      1,075,000           2/2/21        4,119  
USD      196,315      BRL      1,075,000           2/2/21        (161 ) 
PEN      2,739,000      USD      757,781           2/4/21        (4,842 ) 
PEN      4,219,400      USD      1,166,508           2/4/21        (6,613 ) 
USD      379,077      PEN      1,369,000           2/4/21        2,745  
USD      1,167,354      PEN      4,219,400           2/4/21        7,459  
USD      378,914      PEN      1,370,000           2/4/21        2,306  
USD      1,433,172      NZD      1,997,285           2/5/21        (2,071 ) 
INR      35,989,275      USD      485,227           2/8/21        8,059  
INR      28,534,933      USD      384,723           2/8/21        6,390  
USD      374,824      INR      27,856,927           2/8/21        (6,996 ) 
USD      9,123      INR      678,006           2/8/21        (170 ) 
USD      893,135      PHP      43,000,000           2/8/21        (1,534 ) 
AUD      1,319,448      USD      965,007           2/16/21        43,460  
USD      108,256      NZD      157,550           2/16/21        (4,959 ) 
JPY      359,921,501      USD      3,470,863           2/25/21        (33,995 ) 
USD      2,450,000      JPY      254,094,523           2/25/21        23,667  
USD      209,809      ZAR      3,116,090           2/25/21        4,471  
NZD      365,456      USD      264,196           3/2/21        (1,576 ) 
JPY      791,027,959      USD      7,584,063           3/8/21        (29,703 ) 
INR      35,010,725      USD      470,846           3/9/21        7,003  
INR      27,759,067      USD      373,322           3/9/21        5,552  
USD      375,838      INR      27,759,067           3/9/21        (3,036 ) 
COP      1,477,000,000      USD      424,763           3/17/21        (11,567 ) 
MXN      5,100,000      USD      255,849           3/17/21        (8,191 ) 
USD      27,941      COP      96,221,200           3/17/21        1,023  
USD      217,258      COP      756,000,000           3/17/21        5,765  
USD      255,851      MXN      5,100,000           3/17/21        8,193  
ZAR      6,400,000      USD      424,277           3/17/21        (3,720 ) 
IDR      5,698,075,000      USD      400,230           3/22/21        3,614  
USD      10,507      IDR      150,521,475           3/22/21        (161 ) 
USD      201,078      IDR      2,848,075,000           3/22/21        (775 ) 
AUD      4,764,246      USD      3,672,257           3/29/21        (30,021 ) 
NZD      510,343      USD      366,447           3/29/21        286  
USD      5,172,860      AUD      6,711,071           3/29/21        42,289  
USD      921,004      AUD      1,194,876           3/29/21        7,529  
USD      188,038      IDR      2,699,478,525           3/29/21        (3,139 ) 
JPY      47,620,464      USD      462,521           4/6/21        (7,588 ) 

 

5

 

 

Currency
Purchased		      Currency
Sold		           Settlement
Date		      Value/
Unrealized
Appreciation
(Depreciation)		  
NZD      364,515      USD      259,959           4/6/21      $ 1,981  
USD      2,192,127      NZD      3,054,719           4/6/21        (2,993 ) 
USD      67,171      NZD      92,450           4/12/21        737  
SGD      4,670,000      USD      3,526,485           4/26/21        (11,043 ) 
USD      513,489      SGD      680,000           4/26/21        1,604  
USD      219,391      ZAR      3,283,910           4/26/21        4,766  
                 

 

 

  
                  $     8,572  
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation		      Unrealized
(Depreciation)		  
MYR      3,544,890        USD        878,100      Barclays Bank PLC      2/2/21      $ —      $ (1,195 ) 
MYR      3,544,890        USD        876,537      Credit Agricole Corporate and Investment Bank      2/2/21        369        —  
MYR      652,728        USD        161,399      Credit Agricole Corporate and Investment Bank      2/2/21        68        —  
MYR      2,229,728        USD        534,195      Morgan Stanley & Co. International PLC      2/2/21        17,377        —  
MYR      1,577,000        USD        389,941      State Street Bank and Trust Company      2/2/21        164        —  
USD      876,537        MYR        3,544,890      Barclays Bank PLC      2/2/21        —        (368 ) 
USD      161,287        MYR        652,728      Credit Agricole Corporate and Investment Bank      2/2/21        —        (179 ) 
USD      875,930        MYR        3,544,890      Credit Agricole Corporate and Investment Bank      2/2/21        —        (975 ) 
USD      551,340        MYR        2,229,728      Morgan Stanley & Co. International PLC      2/2/21        —        (232 ) 
USD      388,471        MYR        1,577,000      State Street Bank and Trust Company      2/2/21        —        (1,634 ) 
USD      179,992        COP        624,778,800      Standard Chartered Bank      2/4/21        4,945        —  
EUR      21,961,000        USD        27,060,783      Standard Chartered Bank      2/8/21        —        (406,634 ) 
PLN      6,600,000        EUR        1,466,301      UBS AG      2/8/21        —        (7,756 ) 
USD      1,359,767        EUR        1,120,000      JPMorgan Chase Bank, N.A.      2/8/21        419        —  
USD      4,805,658        EUR        3,900,000      Standard Chartered Bank      2/8/21        72,213        —  
USD      4,729,142        EUR        3,837,904      Standard Chartered Bank      2/8/21        71,063        —  
USD      4,357,653        EUR        3,536,425      Standard Chartered Bank      2/8/21        65,481        —  
USD      2,563,600        EUR        2,080,473      Standard Chartered Bank      2/8/21        38,522        —  
USD      2,313,366        EUR        1,877,397      Standard Chartered Bank      2/8/21        34,762        —  
USD      955,882        EUR        775,740      Standard Chartered Bank      2/8/21        14,364        —  
USD      949,912        EUR        770,895      Standard Chartered Bank      2/8/21        14,274        —  
USD      614,047        EUR        498,325      Standard Chartered Bank      2/8/21        9,227        —  
USD      320,287        EUR        259,927      Standard Chartered Bank      2/8/21        4,813        —  
CNH      4,820,123        USD        722,380      Standard Chartered Bank      2/9/21        24,856        —  
CNH      4,139,477        USD        620,373      Standard Chartered Bank      2/9/21        21,346        —  
USD      596,655        CNH        3,864,000      Bank of America, N.A.      2/9/21        —        (2,359 ) 
GBP      1,000,000        USD        1,364,621      JPMorgan Chase Bank, N.A.      2/16/21        5,619        —  
GBP      2,175,000        USD        2,864,139      Societe Generale      2/16/21        116,134        —  
THB      23,301,315        USD        776,581      Standard Chartered Bank      2/16/21        1,907        —  
USD      421,200        THB        12,709,808      Standard Chartered Bank      2/16/21        —        (3,430 ) 
MYR      652,728        USD        161,068      Credit Agricole Corporate and Investment Bank      3/2/21        —        (213 ) 
MYR      3,544,890        USD        874,742      Credit Agricole Corporate and Investment Bank      3/2/21        —        (1,155 ) 
MYR      924,272        USD        226,760      Goldman Sachs International      3/2/21        1,014        —  
USD      389,095        MYR        1,577,000      Goldman Sachs International      3/2/21        466        —  
CNH      1,987,162        USD        302,635      Citibank, N.A.      3/9/21        4,788        —  
CNH      469,765        USD        71,543      Citibank, N.A.      3/9/21        1,132        —  
CNH      1,627,931        USD        248,054      Goldman Sachs International      3/9/21        3,794        —  
CNH      384,843        USD        58,640      Goldman Sachs International      3/9/21        897        —  

 

6

 

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation		      Unrealized
(Depreciation)		  
USD      240,552        THB        7,262,748      Standard Chartered Bank      3/16/21      $ —      $ (2,074 ) 
TRY      9,200,000        USD        1,206,859      HSBC Bank USA, N.A.      4/7/21        17,085        —  
CNH      9,640,247        USD        1,489,430      Bank of America, N.A.      4/12/21        —        (1,433 ) 
USD      244,892        CNH        1,585,046      Bank of America, N.A.      4/12/21        236        —  
USD      110,227        THB        3,328,759      Standard Chartered Bank      4/16/21        —        (968 ) 
CNH      1,924,538        USD        294,715      Goldman Sachs International      4/21/21        2,143        —  
CNH      454,961        USD        69,671      Goldman Sachs International      4/21/21        507        —  
                 

 

 

     

 

 

  
   $     549,985      $     (430,605 ) 
                 

 

 

     

 

 

  

Futures Contracts

 

                                                                                                                            

Description

    Number of
Contracts		     Position      Expiration
Date		      Notional
Amount		     Value/
Unrealized
Appreciation		  

Interest Rate Futures

 

Euro-Buxl

      (2 )      Short        3/8/21      $ (537,117 )    $ 3,932  

U.S. 5-Year Treasury Note

      (2 )      Short        3/31/21        (251,750 )      94  

U.S. 10-Year Treasury Note

      (3 )      Short        3/22/21        (411,094 )      2,873  

U.S. Long Treasury Bond

      (4 )      Short        3/22/21        (674,875 )      22,904  
            

 

 

  
             $     29,803  
            

 

 

  

Centrally Cleared Interest Rate Swaps

 

Notional
Amount
(000’s omitted)		   

Portfolio

Pays/Receives

Floating Rate

   

Floating Rate

   

Annual Fixed Rate

    Termination
Date		      Value     Unamortized
Upfront
Receipts
(Payments)		      Unrealized
Appreciation
(Depreciation)		  
BRL    5,838    Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

    3.42%
(pays upon termination)		      1/3/22      $ (6,231 )    $ —      $ (6,231 ) 
BRL    46,281    Receives   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

    3.44%
(pays upon termination)		      1/3/22        (51,808 )      —        (51,808 ) 
BRL    52,136    Pays   

Brazil CETIP Interbank Deposit Rate

(pays upon termination)

    3.08%
(pays upon termination)		      1/3/22        19,763       —        19,763  
CNY    21,500    Pays   

7-day China Fixing Repo Rates

(pays quarterly)

    2.28%
(pays quarterly)		      6/8/25        (64,728 )      —        (64,728 ) 
CNY    9,300    Pays   

7-day China Fixing Repo Rates

(pays quarterly)

    2.79%
(pays quarterly)		      9/8/25        2,584       —        2,584  
MXN    27,000    Pays   

Mexico Interbank TIIE 28 Day

(pays monthly)

    5.11%
(pays monthly)		      5/5/25        25,819       —        25,819  
MXN    24,000    Pays   

Mexico Interbank TIIE 28 Day

(pays monthly)

    6.70%
(pays monthly)		      10/3/29        114,337       —        114,337  

 

7

 

 

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)		  
SGD    3,500    Pays   

6-month Singapore Swap Offered Rate

(pays semi-annually)

    1.64%
(pays semi-annually)		      10/16/29      $ 162,389      $ —      $ 162,389  
THB    70,000    Pays   

6-month THB Fixing Rate

(pays semi-annually)

    1.37%
(pays semi-annually)		      10/17/29        60,004        —        60,004  
USD    96    Receives   

3-month USD-LIBOR

(pays quarterly)

    0.64%
(pays semi-annually)		      6/30/30        3,813        —        3,813  
USD    270    Receives   

3-month USD-LIBOR

(pays quarterly)

    0.62%
(pays semi-annually)		      7/1/30        11,145        —        11,145  
USD    340    Receives   

3-month USD-LIBOR

(pays quarterly)

    0.82%
(pays semi-annually)		      5/12/50        64,705        —        64,705  
USD    200    Receives   

3-month USD-LIBOR

(pays quarterly)

    0.92%
(pays semi-annually)		      6/30/50        33,336        —        33,336  
                 

 

 

     

 

 

     

 

 

  
Total                   $     375,128      $         —      $ 375,128  
  

 

 

     

 

 

     

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Entity

    Notional
Amount*
(000’s omitted)		     

Contract

Annual

Fixed Rate**

   

Termination

Date

    Current
Market
Annual
Fixed Rate***		     Value     Unamortized
Upfront
Receipts
(Payments)		     Unrealized
Appreciation
(Depreciation)		  

Brazil

    $ 731     

1.00%

(pays quarterly)(1)

    12/20/25      1.72 %    $ (24,167 )    $ 48,693     $ 24,526  

Chile

      651     

1.00%

(pays quarterly)(1)

    12/20/25      0.55       15,210       (9,401 )      5,809  

Colombia

      689     

1.00%

(pays quarterly)(1)

    12/20/25      1.13       (3,404 )      17,390       13,986  

Greece

      3,200     

1.00%

(pays quarterly)(1)

    12/20/25      0.96       10,037       79,464       89,501  

Mexico

      689     

1.00%

(pays quarterly)(1)

    12/20/25      0.95       2,512       19,110       21,622  

Peru

      661     

1.00%

(pays quarterly)(1)

    12/20/25      0.63       12,664       (5,059 )      7,605  
  

 

 

             

 

 

    

 

 

    

 

 

  

Total

    $ 6,621              $ 12,852     $ 150,197     $     163,049  
  

 

 

             

 

 

    

 

 

    

 

 

  

Credit Default Swaps — Sell Protection

 

Reference Entity

  

Counterparty

   Notional
Amount*
(000’s omitted)		    

Contract

Annual

Fixed Rate**

   Termination
Date		     Current
Market
Annual
Fixed Rate***		     Value     Unamortized
Upfront
Receipts
(Payments)		      Unrealized
Appreciation
(Depreciation)		  

Vietnam

   Barclays Bank PLC   $ 300     1.00%
(pays quarterly)(1)		     12/20/25       1.03 %    $ (147 )    $ 3,739      $ 3,592  
   

 

 

          

 

 

    

 

 

     

 

 

  

Total

     $ 300           $     (147 )    $ 3,739      $     3,592  
   

 

 

          

 

 

    

 

 

     

 

 

  

 

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Credit Default Swaps — Buy Protection

 

Reference Entity  

Counterparty

   Notional
Amount
(000’s omitted)		    

Contract

Annual

Fixed Rate**

   Termination
Date		     Value     Unamortized
Upfront
Receipts
(Payments)		      Unrealized
Appreciation
(Depreciation)		  
Vietnam   Goldman Sachs International   $     200     1.00%
(pays quarterly)(1)		     12/20/25     $ (98 )    $ 2,516      $ 2,418  
         

 

 

    

 

 

     

 

 

  
Total           $     (98 )    $ 2,516      $     2,418  
         

 

 

    

 

 

     

 

 

  

 

*

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 January 31, 2021, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $6,921,000.

 

**

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

 

***

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

TBA

   -   To Be Announced

Currency Abbreviations:

 

AUD

   -   Australian Dollar

BRL

   -   Brazilian Real

CNH

   -   Yuan Renminbi Offshore

CNY

   -   Yuan Renminbi

COP

   -   Colombian Peso

EGP

   -   Egyptian Pound

EUR

   -   Euro

GBP

   -   British Pound Sterling

GEL

   -   Georgian Lari

IDR

   -   Indonesian Rupiah

INR

   -   Indian Rupee

ISK

   -   Icelandic Krona

JPY

   -   Japanese Yen

MXN

   -   Mexican Peso

MYR

   -   Malaysian Ringgit

 

9

 

 

NZD

   -   New Zealand Dollar

PEN

   -   Peruvian Sol

PHP

   -   Philippine Peso

PLN

   -   Polish Zloty

RSD

   -   Serbian Dinar

SGD

   -   Singapore Dollar

THB

   -   Thai Baht

TRY

   -   New Turkish Lira

UAH

   -   Ukrainian Hryvnia

USD

   -   United States Dollar

ZAR

   -   South African Rand

At January 31, 2021, 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, interest rate swaps and options contracts to enhance total return, to seek to hedge against fluctuations in interest rates, and/or to change the effective duration of its portfolio.

At January 31, 2021, the value of the Portfolio’s investment in affiliated funds was $2,348,106, which represents 3.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2021 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

    $     3,099,970      $     8,832,873      $     (9,584,737 )    $     —      $     —      $     2,348,106      $     1,399        2,348,106  

 

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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 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.

 

11

 

 

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

 

Asset Description    Level 1      Level 2      Level 3      Total  

Foreign Corporate Bonds

    $ —      $ 2,199,774      $ —      $ 2,199,774  

Foreign Government Bonds

      —        24,560,015        —        24,560,015  

Mortgage Pass-Throughs

      —        3,336,717        —        3,336,717  

Short-Term Investments —

            

Foreign Government Securities

      —        2,440,045        —        2,440,045  

U.S. Treasury Obligations

      —        24,998,253        —        24,998,253  

Other

      —        2,348,106        —        2,348,106  

Purchased Call Options

      —        38,350        —        38,350  

Total Investments

    $ —      $ 59,921,260      $ —      $ 59,921,260  

Forward Foreign Currency Exchange Contracts

    $ —      $ 743,164      $ —      $ 743,164  

Futures Contracts

      29,803        —        —        29,803  

Swap Contracts

      —        538,318        —        538,318  

Total

    $     29,803      $     61,202,742      $ —      $     61,232,545  
Liability Description                                

Forward Foreign Currency Exchange Contracts

    $ —      $ (615,212 )     $ —      $ (615,212 ) 

Swap Contracts

      —        (150,583 )       —        (150,583 ) 

Total

    $ —      $ (765,795 )     $ —      $ (765,795 ) 

Investment Valuation — Derivatives. U.S. 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. Non-U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration.

Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the 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. As the purchaser of an index or other cash settled option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index or underlying instrument below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index or underlying instrument over the exercise price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

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.

 

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