UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22896
Global Macro Capital Opportunities Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
October 31, 2014
Date of Reporting Period
Item 1. Reports to Stockholders
Global Macro Capital Opportunities Portfolio
October 31, 2014
Portfolio of Investments
| 1 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Portfolio of Investments — continued
| 2 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Portfolio of Investments — continued
| 3 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Portfolio of Investments — continued
| 4 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Statement of Assets and Liabilities
| Assets | October 31, 2014 | |||
| Unaffiliated investments, at value (identified cost, $39,100,119) |
$ | 38,753,902 | ||
| Affiliated investment, at value (identified cost, $10,093,410) |
10,093,410 | |||
| Cash |
150,000 | |||
| Restricted cash* |
1,226,615 | |||
| Foreign currency, at value (identified cost, $333,073) |
325,927 | |||
| Dividends receivable |
21,193 | |||
| Interest receivable from affiliated investment |
2,766 | |||
| Receivable for variation margin on open financial futures contracts |
492,077 | |||
| Receivable for open forward foreign currency exchange contracts |
361,304 | |||
| Total assets |
$ | 51,427,194 | ||
| Liabilities | ||||
| Payable for investments purchased |
$ | 133,086 | ||
| Payable for open forward foreign currency exchange contracts |
394,165 | |||
| Payable for open swap contracts |
176,162 | |||
| Payable to affiliates: |
||||
| Investment adviser fee |
42,305 | |||
| Trustees’ fees |
233 | |||
| Accrued foreign capital gains taxes |
21,953 | |||
| Accrued expenses |
99,724 | |||
| Total liabilities |
$ | 867,628 | ||
| Net Assets applicable to investors’ interest in Portfolio |
$ | 50,559,566 | ||
| Sources of Net Assets | ||||
| Investors’ capital |
$ | 50,784,811 | ||
| Net unrealized depreciation |
(225,245 | ) | ||
| Total |
$ | 50,559,566 | ||
| * | Represents restricted cash on deposit at the broker for open financial futures contracts. |
| 5 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Statement of Operations
| Investment Income | Year Ended October 31, 2014(1) |
|||
| Dividends (net of foreign taxes, $32,146) |
$ | 690,985 | ||
| Interest (net of foreign taxes, $45) |
8,259 | |||
| Interest allocated from affiliated investment |
23,662 | |||
| Expenses allocated from affiliated investment |
(2,897 | ) | ||
| Total investment income |
$ | 720,009 | ||
| Expenses | ||||
| Investment adviser fee |
$ | 499,943 | ||
| Trustees’ fees and expenses |
2,946 | |||
| Custodian fee |
230,759 | |||
| Legal and accounting services |
71,083 | |||
| Miscellaneous |
13,492 | |||
| Total expenses |
$ | 818,223 | ||
| Deduct — |
||||
| Reduction of custodian fee |
$ | 99 | ||
| Total expense reductions |
$ | 99 | ||
| Net expenses |
$ | 818,124 | ||
| Net investment loss |
$ | (98,115 | ) | |
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) — |
||||
| Investment transactions (net of foreign capital gains taxes of $56) |
$ | (146,267 | ) | |
| Investment transactions allocated from affiliated investment |
226 | |||
| Financial futures contracts |
1,411,395 | |||
| Swap contracts |
(453,152 | ) | ||
| Foreign currency and forward foreign currency exchange contract transactions |
69,724 | |||
| Net realized gain |
$ | 881,926 | ||
| Change in unrealized appreciation (depreciation) — |
||||
| Investments (net of increase in accrued foreign capital gains taxes of $21,953) |
$ | (368,170 | ) | |
| Financial futures contracts |
370,452 | |||
| Swap contracts |
(176,162 | ) | ||
| Foreign currency and forward foreign currency exchange contracts |
(51,365 | ) | ||
| Net change in unrealized appreciation (depreciation) |
$ | (225,245 | ) | |
| Net realized and unrealized gain |
$ | 656,681 | ||
| Net increase in net assets from operations |
$ | 558,566 | ||
| (1) | The Portfolio commenced operations on November 1, 2013. |
| 6 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Statement of Changes in Net Assets
| Increase (Decrease) in Net Assets | Year Ended October 31, 2014(1) |
|||
| From operations — |
||||
| Net investment loss |
$ | (98,115 | ) | |
| Net realized gain from investment transactions, financial futures contracts, swap contracts, and foreign currency and forward foreign currency exchange contract transactions |
881,926 | |||
| Net change in unrealized appreciation (depreciation) from investments, financial futures contracts, swap contracts, foreign currency and forward foreign currency exchange contracts |
(225,245 | ) | ||
| Net increase in net assets from operations |
$ | 558,566 | ||
| Capital transactions — |
||||
| Contributions |
$ | 50,001,000 | ||
| Net increase in net assets from capital transactions |
$ | 50,001,000 | ||
| Net increase in net assets |
$ | 50,559,566 | ||
| Net Assets | ||||
| At beginning of year |
$ | — | ||
| At end of year |
$ | 50,559,566 | ||
| (1) | The Portfolio commenced operations on November 1, 2013. |
| 7 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Supplementary Data
| Ratios/Supplemental Data | Year Ended October 31, 2014(1) |
|||
| Ratios (as a percentage of average daily net assets): |
||||
| Expenses(2) |
1.63 | % | ||
| Net investment loss |
(0.19 | )% | ||
| Portfolio Turnover |
112 | % | ||
| Total Return |
1.10 | % | ||
| Net assets, end of year (000’s omitted) |
$ | 50,560 | ||
| (1) | The Portfolio commenced operations on November 1, 2013. |
| (2) | Excludes the effect of custody fee credits, if any, of less than 0.005%. |
| 8 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements
1 Significant Accounting Policies
Global Macro Capital Opportunities Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio commenced operations on November 1, 2013. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2014, Eaton Vance Short Duration Strategic Income Fund and Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund held an interest of 83.7% and 16.3%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices. Equity-linked securities are generally valued based upon the value of the underlying equity security or instrument.
Debt Obligations. Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value.
Derivatives. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign financial futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. 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. In the case of total return swaps, the pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers.
Foreign Securities, Financial Futures Contracts and Currencies. Foreign securities, financial futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign financial futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign financial futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign financial futures contracts that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities and foreign financial futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign financial futures contracts.
Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). The value of the Portfolio’s investment in Cash Reserves Fund reflects the Portfolio’s proportionate interest in its net assets. Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
| 9 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.
D Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. If one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.
In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
As of October 31, 2014, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Statement of Operations.
F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
G Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
I Financial Futures Contracts — Upon entering into a financial futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying index, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.
J Forward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
| 10 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
K Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio. The fee is computed at an annual rate of 1.00% of the Portfolio’s average daily net assets up to $500 million, and is payable monthly. On net assets of $500 million and over, the annual fee is reduced. For the year ended October 31, 2014, the Portfolio’s investment adviser fee amounted to $499,943 or 1.00% of the Portfolio’s average daily net assets. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2014, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations, aggregated $61,262,637 and $32,016,177, respectively, for the year ended October 31, 2014.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2014, as determined on a federal income tax basis, were as follows:
| Aggregate cost |
$ | 49,443,142 | ||
| Gross unrealized appreciation |
$ | 1,827,337 | ||
| Gross unrealized depreciation |
(2,423,167 | ) | ||
| Net unrealized depreciation |
$ | (595,830 | ) | |
The net unrealized appreciation (depreciation) on foreign currency and derivative contracts at October 31, 2014 on a federal income tax basis was $84,227.
5 Financial Instruments
The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts, financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at October 31, 2014 is as follows:
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/4/14 | Brazilian Real 5,500,000 |
United States Dollar 2,270,851 | Standard Chartered Bank | $ | 51,229 | $ | — | $ | 51,229 | |||||||||
| 11/4/14 | Brazilian Real 7,405,000 |
United States Dollar 3,029,621 | Standard Chartered Bank | 41,204 | — | 41,204 | ||||||||||||
| 11 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
| Forward Foreign Currency Exchange Contracts (continued) | ||||||||||||||||||
| Settlement Date | Deliver | In Exchange For | Counterparty | Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| 11/4/14 | Brazilian Real 1,905,000 |
United States Dollar 781,699 | Standard Chartered Bank | $ | 12,903 | $ | — | $ | 12,903 | |||||||||
| 11/4/14 | South Korean Won 3,451,723,000 |
United States Dollar 3,260,033 | Bank of America, N.A. | 30,290 | — | 30,290 | ||||||||||||
| 11/4/14 | South Korean Won 3,451,723,000 |
United States Dollar 3,273,637 | Standard Chartered Bank | 43,894 | — | 43,894 | ||||||||||||
| 11/4/14 | United States Dollar 779,396 |
Brazilian Real 1,905,000 | Standard Chartered Bank | — | (10,600 | ) | (10,600 | ) | ||||||||||
| 11/4/14 | United States Dollar 2,250,225 |
Brazilian Real 5,500,000 | Standard Chartered Bank | — | (30,604 | ) | (30,604 | ) | ||||||||||
| 11/4/14 | United States Dollar 3,047,451 |
Brazilian Real 7,405,000 | Standard Chartered Bank | — | (59,033 | ) | (59,033 | ) | ||||||||||
| 11/4/14 | United States Dollar 3,394,025 |
South Korean Won 3,451,723,000 | Bank of America, N.A. | — | (164,282 | ) | (164,282 | ) | ||||||||||
| 11/4/14 | United States Dollar 3,260,033 |
South Korean Won 3,451,723,000 | Standard Chartered Bank | — | (30,290 | ) | (30,290 | ) | ||||||||||
| 11/13/14 | United States Dollar 2,428,586 |
New Taiwan Dollar 72,724,000 | Standard Chartered Bank | — | (38,966 | ) | (38,966 | ) | ||||||||||
| 11/18/14 | British Pound Sterling 166,410 |
United States Dollar 278,151 | BNP Paribas | 11,975 | — | 11,975 | ||||||||||||
| 11/18/14 | British Pound Sterling 162,674 |
United States Dollar 271,292 | BNP Paribas | 11,092 | — | 11,092 | ||||||||||||
| 11/21/14 | United States Dollar 3,513,337 |
Indian Rupee 217,862,000 | BNP Paribas | 27,389 | — | 27,389 | ||||||||||||
| 12/3/14 | United States Dollar 3,269,885 |
South Korean Won 3,451,723,000 | Standard Chartered Bank | — | (60,390 | ) | (60,390 | ) | ||||||||||
| 1/7/15 | United States Dollar 4,369,367 |
Mexican Peso 59,244,030 | JPMorgan Chase Bank, N.A. | 13,532 | — | 13,532 | ||||||||||||
| 1/21/15 | Euro 2,733,000 |
United States Dollar 3,488,429 | Standard Chartered Bank | 61,780 | — | 61,780 | ||||||||||||
| 1/21/15 | Euro 1,890,000 |
United States Dollar 2,412,415 | Standard Chartered Bank | 42,724 | — | 42,724 | ||||||||||||
| 1/21/15 | Euro 588,000 |
United States Dollar 750,529 | Standard Chartered Bank | 13,292 | — | 13,292 | ||||||||||||
| $ | 361,304 | $ | (394,165 | ) | $ | (32,861 | ) | |||||||||||
| 12 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
| Futures Contracts | ||||||||||||||||
| Expiration Month/Year |
Contracts | Position | Aggregate Cost |
Value | Net Unrealized Appreciation (Depreciation) |
|||||||||||
| Equity Futures | ||||||||||||||||
| 11/14 | 58 H-Shares Index |
Long | $ | 3,900,247 | $ | 4,022,961 | $ | 122,714 | ||||||||
| 11/14 | 26 Hang Seng Index |
Long | 3,897,571 | 4,016,059 | 118,488 | |||||||||||
| 11/14 | 221 SGX CNX Nifty Index |
Long | 3,579,377 | 3,692,615 | 113,238 | |||||||||||
| 11/14 | 40 TAIEX Index |
Long | 2,290,336 | 2,369,955 | 79,619 | |||||||||||
| 12/14 | 16 E-mini MSCI Emerging Markets Index |
Long | 780,240 | 810,880 | 30,640 | |||||||||||
| 12/14 | 131 Mexican Bolsa IPC Index |
Long | 4,477,889 | 4,383,642 | (94,247 | ) | ||||||||||
| $ | 370,452 | |||||||||||||||
| CNX | – | Credit Rating Information Services of India Limited | ||
| SGX | – | Singapore Exchange Limited | ||
| TAIEX | – | Taiwan Stock Exchange Capitalization Weighted Stock Index |
| Total Return Swaps | ||||||||||||||
| Counterparty | Notional Amount |
Portfolio Receives |
Portfolio Pays | Termination Date |
Net Unrealized Depreciation |
|||||||||
| Citibank, N.A. | KRW 3,440,870 | Positive Return on KOSPI 200 Index | Negative Return on KOSPI 200 Index | 12/11/14 | $ | (176,162 | ) | |||||||
| $ | (176,162 | ) | ||||||||||||
| KRW | – | South Korean Won |
At October 31, 2014, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Equity Price Risk: The Portfolio enters into equity futures contracts and total return swaps to enhance total return, to manage certain investment risks and/or as a substititute 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.
The Portfolio enters into swap contracts and forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2014, the fair value of derivatives with credit-related contingent features in a net liability position was $570,327. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $529,991 at October 31, 2014.
The over-the-counter (OTC) derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in
| 13 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.
The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as restricted cash and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Portfolio of Investments.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2014 was as follows:
| Fair Value | ||||||||||
| Risk | Derivative | Asset Derivative | Liability Derivative | |||||||
| Equity Price |
Financial futures contracts |
$464,699(1) | $ | (94,247 | )(1) | |||||
| Equity Price |
Swap contracts |
— | (176,162 | )(2) | ||||||
| Foreign Exchange |
Forward foreign currency exchange contracts |
361,304 | (3) | (394,165 | )(4) | |||||
| Total |
$826,003 | $ | (664,574 | ) | ||||||
| Derivatives not subject to master netting or similar agreements |
$464,699 | $ | (94,247 | ) | ||||||
| Total Derivatives subject to master netting or similar agreements |
$361,304 | $ | (570,327 | ) | ||||||
| (1) | Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above. Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable. |
| (2) | Statement of Assets and Liabilities location: Payable for open swap contracts; Net unrealized depreciation. |
| (3) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts; Net unrealized depreciation. |
| (4) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts; Net unrealized depreciation. |
The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio for assets and pledged by the Portfolio for liabilities as of October 31, 2014.
| Counterparty | Derivative Assets Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Received(a) |
Cash Collateral Received(a) |
Net Amount of Derivative Assets(b) |
|||||||||||||||
| Bank of America, N.A. | $ | 30,290 | $ | (30,290 | ) | $ | — | $ | — | $ | — | |||||||||
| BNP Paribas | 50,456 | — | — | — | 50,456 | |||||||||||||||
| JPMorgan Chase Bank, N.A. | 13,532 | — | — | — | 13,532 | |||||||||||||||
| Standard Chartered Bank | 267,026 | (229,883 | ) | — | — | 37,143 | ||||||||||||||
| $361,304 | $ | (260,173 | ) | $ | — | $ | — | $ | 101,131 | |||||||||||
| 14 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
| Counterparty | Derivative Liabilities Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Pledged(a) |
Cash Collateral Pledged(a) |
Net Amount of Derivative Liabilities(c) |
|||||||||||||||
| Bank of America, N.A. | $ | (164,282 | ) | $ | 30,290 | $ | — | $ | — | $ | (133,992 | ) | ||||||||
| Citibank, N.A. | (176,162 | ) | — | 176,162 | — | — | ||||||||||||||
| Standard Chartered Bank | (229,883 | ) | 229,883 | — | — | — | ||||||||||||||
| $ | (570,327 | ) | $ | 260,173 | $ | 176,162 | $ | — | $ | (133,992 | ) | |||||||||
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Net amount represents the net amount due from the counterparty in the event of default. |
| (c) | Net amount represents the net amount payable to the counterparty in the event of default. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the year ended October 31, 2014 was as follows:
| Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
|||||||
| Equity Price |
Financial futures contracts |
$ | 1,411,395 | $ | 370,452 | |||||
| Equity Price |
Swap contracts |
(453,152 | ) | (176,162 | ) | |||||
| Foreign Exchange |
Forward foreign currency exchange contracts |
204,711 | (32,861 | ) | ||||||
| Total |
$ | 1,162,954 | $ | 161,429 | ||||||
| (1) | Statement of Operations location: Net realized gain (loss) – Financial futures contracts, Swap contracts and Foreign currency and forward foreign currency exchange contract transactions, respectively. |
| (2) | Statement of Operations location: Change in unrealized appreciation (depreciation) – Financial futures contracts, Swap contracts and Foreign currency and forward foreign currency exchange contracts, respectively. |
The average notional amounts of derivative contracts outstanding during the year ended October 31, 2014, which are indicative of the volume of these derivative types, were as follows:
| Futures Contracts — Long |
Futures Contracts — Short |
Forward Foreign Currency Exchange Contracts |
Swap Contracts | |||
| $17,366,000 | $1,302,000 | $25,020,000 | $6,369,000 | |||
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $750 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.08% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended November 30, 2014.
7 Risks Associated with Foreign Investments
Investing in securities issued by entities whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and
| 15 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Notes to Financial Statements — continued
financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker/dealers and issuers than in the United States.
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Ÿ | Level 1 – quoted prices in active markets for identical investments |
| Ÿ | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | 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 October 31, 2014, 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 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Asia/Pacific |
$ | 1,422,444 | $ | 7,121,967 | $ | — | $ | 8,544,411 | ||||||||
| Developed Europe |
— | 449,914 | — | 449,914 | ||||||||||||
| Emerging Europe |
— | 5,702,562 | — | 5,702,562 | ||||||||||||
| Latin America |
3,412,468 | — | — | 3,412,468 | ||||||||||||
| Middle East/Africa |
284,035 | 6,896,201 | — | 7,180,236 | ||||||||||||
| Total Common Stocks |
$ | 5,118,947 | $ | 20,170,644 | * | $ | — | $ | 25,289,591 | |||||||
| Equity-Linked Securities |
$ | — | $ | 2,238,080 | $ | — | $ | 2,238,080 | ||||||||
| Investment Funds |
— | 1,226,251 | — | 1,226,251 | ||||||||||||
| Short-Term Investments — |
||||||||||||||||
| U.S. Treasury Obligations |
— | 9,999,980 | — | 9,999,980 | ||||||||||||
| Other |
— | 10,093,410 | — | 10,093,410 | ||||||||||||
| Total Investments |
$ | 5,118,947 | $ | 43,728,365 | $ | — | $ | 48,847,312 | ||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 361,304 | $ | — | $ | 361,304 | ||||||||
| Futures Contracts |
30,640 | 434,059 | — | 464,699 | ||||||||||||
| Total |
$ | 5,149,587 | $ | 44,523,728 | $ | — | $ | 49,673,315 | ||||||||
| Liability Description |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (394,165 | ) | $ | — | $ | (394,165 | ) | ||||||
| Futures Contracts |
(94,247 | ) | — | — | (94,247 | ) | ||||||||||
| Swap Contracts |
— | (176,162 | ) | — | (176,162 | ) | ||||||||||
| Total |
$ | (94,247 | ) | $ | (570,327 | ) | $ | — | $ | (664,574 | ) | |||||
| * | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
| 16 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Report of Independent Registered Public Accounting Firm
To the Trustees and Investors of Global Macro Capital Opportunities Portfolio:
We have audited the accompanying statement of assets and liabilities of Global Macro Capital Opportunities Portfolio (the “Portfolio”), including the portfolio of investments, as of October 31, 2014, and the related statement of operations, the statement of changes in net assets, and the supplementary data for the year then ended. These financial statements and supplementary data are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and supplementary data based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and supplementary data are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2014, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data referred to above present fairly, in all material respects, the financial position of Global Macro Capital Opportunities Portfolio as of October 31, 2014, and the results of its operations, the changes in its net assets, and the supplementary data for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 17, 2014
| 17 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Special Meeting of Interestholders (Unaudited)
The Portfolio held a Special Meeting of Interestholders on May 29, 2014 to elect five Trustees. The results of the vote were as follows:
| Nominee for Trustee |
Interest in the Portfolio | |||||||
| For | Withheld | |||||||
| Scott E. Eston |
98.86 | % | 1.14 | % | ||||
| Cynthia E. Frost |
98.79 | % | 1.21 | % | ||||
| George J. Gorman |
98.78 | % | 1.22 | % | ||||
| Valerie A. Mosley |
98.78 | % | 1.22 | % | ||||
| Harriett Tee Taggart |
98.87 | % | 1.13 | % | ||||
| 18 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Management and Organization
Fund Management. The Trustees of Global Macro Capital Opportunities Portfolio (the Portfolio) are responsible for the overall management and supervision of the Portfolio’s affairs. The Trustees and officers of the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Portfolio’s placement agent and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 180 portfolios in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.
| Name and Year of Birth | Position(s) with the Portfolio |
Trustee Since(1) |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
| Interested Trustee | ||||||
| Thomas E. Faust Jr. 1958 |
Trustee | 2007 | Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and Director of EVD. Trustee and/or officer of 180 registered investment companies. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Portfolio. Directorships in the Last Five Years.(2) Director of EVC and Hexavest Inc. | |||
| Noninterested Trustees | ||||||
| Scott E. Eston 1956 |
Trustee | 2011 | Private investor. Formerly held various positions at Grantham, Mayo, Van Otterloo and Co., L.L.C. (investment management firm) (1997-2009), including Chief Operating Officer (2002-2009), Chief Financial Officer (1997-2009) and Chairman of the Executive Committee (2002-2008); President and Principal Executive Officer, GMO Trust (open-end registered investment company) (2006-2009). Former Partner, Coopers and Lybrand L.L.P. (now PricewaterhouseCoopers) (public accounting firm) (1987-1997). Directorships in the Last Five Years.(2) None. | |||
| Cynthia E. Frost(3) 1961 |
Trustee | 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012); Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000); Managing Director, Cambridge Associates (1989-1995); Consultant, Bain and Company (1987-1989); Senior Equity Analyst, BA Investment Management Company (1983-1985). Directorships in the Last Five Years. None. | |||
| George J. Gorman(3) 1952 |
Trustee | 2014 | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (public accounting firm) (1974-2009). Directorships in the Last Five Years. Formerly, Trustee of the Bank of America Money Market Funds Series Trust (2011-2014) and of the Ashmore Funds (2010-2014). | |||
| Valerie A. Mosley(4) 1960 |
Trustee | 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Former Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Former Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Directorships in the Last Five Years.(2) Director of Dynex Capital, Inc. (mortgage REIT) (since 2013). | |||
| William H. Park 1947 |
Trustee | 2003 | Consultant and private investor. Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm) (1972-1981). Directorships in the Last Five Years.(2) None. | |||
| 19 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Management and Organization — continued
| Name and Year of Birth | Position(s) with the Portfolio |
Trustee Since(1) |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
| Noninterested Trustees (continued) | ||||||
| Ronald A. Pearlman 1940 |
Trustee | 2003 | Lawyer and consultant. Formerly, Professor of Law, Georgetown University Law Center (1999-2014). Formerly, Partner, Covington & Burling LLP (law firm) (1991-2000). Formerly, Chief of Staff, Joint Committee on Taxation, U.S. Congress (1988-1990). Formerly, Deputy Assistant Secretary (Tax Policy) and Assistant Secretary (Tax Policy), U.S. Department of the Treasury (1983-1985). Directorships in the Last Five Years.(2) None. | |||
| Helen Frame Peters 1948 |
Trustee | 2008 | Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998). Directorships in the Last Five Years.(2) Formerly, Director of BJ’s Wholesale Club, Inc. (wholesale club retailer) (2004-2011). Formerly, Trustee of SPDR Index Shares Funds and SPDR Series Trust (exchange traded funds) (2000-2009). Formerly, Director of Federal Home Loan Bank of Boston (a bank for banks) (2007-2009). | |||
| Harriett Tee Taggart 1948 |
Trustee | 2011 | Managing Director, Taggart Associates (a professional practice firm). Formerly, Partner and Senior Vice President, Wellington Management Company, LLP (investment management firm) (1983-2006). Directorships in the Last Five Years.(2) Director of Albemarle Corporation (chemicals manufacturer) (since 2007) and The Hanover Group (specialty property and casualty insurance company) (since 2009). Formerly, Director of Lubrizol Corporation (specialty chemicals) (2007-2011). | |||
| Ralph F. Verni 1943 |
Chairman of the Board and Trustee |
2007 (Chairman) 2005 (Trustee) |
Consultant and private investor. Formerly, Chief Investment Officer (1982-1992), Chief Financial Officer (1988-1990) and Director (1982-1992), New England Life. Formerly, Chairperson, New England Mutual Funds (1982-1992). Formerly, President and Chief Executive Officer, State Street Management & Research (1992-2000). Formerly, Chairperson, State Street Research Mutual Funds (1992-2000). Formerly, Director, W.P. Carey, LLC (1998-2004) and First Pioneer Farm Credit Corp. (2002-2006). Directorships in the Last Five Years.(2) None. | |||
| Principal Officers who are not Trustees | ||||||
| Name and Year of Birth | Position(s) Portfolio |
Officer Since(5) |
Principal Occupation(s) During Past Five Years | |||
| Eric A. Stein 1980 |
President | 2012 | Vice President of EVM and BMR. | |||
| Payson F. Swaffield 1956 |
Vice President | 2003 | Vice President and Chief Income Investment Officer of EVM and BMR. | |||
| Maureen A. Gemma 1960 |
Vice President, Secretary and Chief Legal Officer | 2005 | Vice President of EVM and BMR. | |||
| James F. Kirchner 1967 |
Treasurer | 2007 | Vice President of EVM and BMR. | |||
| Paul M. O’Neil 1953 |
Chief Compliance Officer | 2004 | Vice President of EVM and BMR. | |||
| (1) | Year first appointed to serve as Trustee for a fund in the Eaton Vance family of funds. Each Trustee has served continuously since appointment unless indicated otherwise. |
| (2) | During their respective tenures, the Trustees (except for Ms. Frost and Mr. Gorman) also served as Board members of one or more of the following funds (which operated in the years noted): eUnitsTM 2 Year U.S. Market Participation Trust: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014); eUnitsTM 2 Year U.S. Market Participation Trust II: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014); Eaton Vance Credit |
| 20 |
Global Macro Capital Opportunities Portfolio
October 31, 2014
Management and Organization — continued
| Opportunities Fund (launched in 2005 and terminated in 2010); Eaton Vance Insured Florida Plus Municipal Bond Fund (launched in 2002 and terminated in 2009); and Eaton Vance National Municipal Income Trust (launched in 1998 and terminated in 2009). However, Ms. Mosley did not serve as a Board member of eUnitsTM 2 Year U.S. Market Participation Trust: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014). |
| (3) | Ms. Frost and Mr. Gorman began serving as Trustees effective May 29, 2014. |
| (4) | Ms. Mosley began serving as a Trustee effective January 1, 2014. |
| (5) | Year first elected to serve as officer of a fund in the Eaton Vance family of funds when the officer has served continuously. Otherwise, year of most recent election as an officer of a fund in the Eaton Vance family of funds. Titles may have changed since initial election. |
The SAI for Eaton Vance Global Macro Capital Opportunities Fund (which invests in the Portfolio) includes additional information about the Trustees and officers of the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
| 21 |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is a consultant and private investor. Previously, he served as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s initial fiscal year October 31, 2014 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
| Fiscal Year Ended* |
10/31/14 | |||
| Audit Fees |
$ | 30,000 | ||
| Audit-Related Fees(1) |
$ | 0 | ||
| Tax Fees(2) |
$ | 22,500 | ||
| All Other Fees(3) |
$ | 0 | ||
|
|
|
|||
| Total |
$ | 52,500 | ||
|
|
|
|||
| * | Fund commenced operations on November 1, 2013 |
| (1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
| (2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other tax related compliance/planning matters. |
| (3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal year ended October 31, 2014; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
| Fiscal Year Ended* |
10/31/14 | |||
| Registrant |
$ | 22,500 | ||
| Eaton Vance(1) |
$ | 99,750 | ||
| * | Fund commenced operations on November 1, 2013 |
| (1) | Certain subsidiaries of Eaton Vance Corp. provide ongoing services to the registrant. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
| (a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
| (a)(2)(i) | Treasurer’s Section 302 certification. | |
| (a)(2)(ii) | President’s Section 302 certification. | |
| (b) | Combined Section 906 certification. | |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Global Macro Capital Opportunities Portfolio | ||
| By: | /s/ Eric A. Stein | |
| Eric A. Stein | ||
| President | ||
| Date: | December 11, 2014 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer | ||
| Date: | December 11, 2014 | |
| By: | /s/ Eric A. Stein | |
| Eric A. Stein | ||
| President | ||
| Date: | December 11, 2014 | |
Global Macro Capital Opportunities Portfolio
FORM N-CSR
Exhibit 12(a)(2)(i)
CERTIFICATION
I, James F. Kirchner, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Capital Opportunities Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: December 11, 2014
| /s/ James F. Kirchner |
| James F. Kirchner |
| Treasurer |
Global Macro Capital Opportunities Portfolio
FORM N-CSR
Exhibit 12(a)(2)(ii)
CERTIFICATION
I, Eric A. Stein, certify that:
1. I have reviewed this report on Form N-CSR of Global Macro Capital Opportunities Portfolio;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: December 11, 2014
| /s/ Eric A. Stein |
| Eric A. Stein |
| President |
Form N-CSR Item 12(b) Exhibit
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Global Macro Capital Opportunities Portfolio (the “Portfolio”), that:
| (a) | The Annual Report of the Portfolio on Form N-CSR for the period ended October 31, 2014 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
| (b) | The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Portfolio for such period. |
A signed original of this written statement required by section 906 has been provided to the Portfolio and will be retained by the Portfolio and furnished to the Securities and Exchange Commission or its staff upon request.
| Global Macro Capital Opportunities Portfolio |
| Date: December 11, 2014 |
| /s/ James F. Kirchner |
| James F. Kirchner |
| Treasurer |
| Date: December 11, 2014 |
| /s/ Eric A. Stein |
| Eric A. Stein |
| President |