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, 2015
Date of Reporting Period
| Item 1. | Reports to Stockholders |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments
| 17 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 18 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 19 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 20 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 21 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 22 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| 23 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
| Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
| USD | 2,900,900 | EUR | 2,646,000 | BNP Paribas | 11/9/15 | $ | — | $ | (8,979 | ) | ||||||||||||||
| USD | 2,601,787 | EUR | 2,373,170 | BNP Paribas | 11/9/15 | — | (8,053 | ) | ||||||||||||||||
| USD | 10,859,470 | EUR | 9,905,257 | BNP Paribas | 11/9/15 | — | (33,613 | ) | ||||||||||||||||
| USD | 740,025 | EUR | 675,000 | BNP Paribas | 11/9/15 | — | (2,291 | ) | ||||||||||||||||
| USD | 678,447 | EUR | 597,000 | Standard Chartered Bank | 11/9/15 | 21,910 | — | |||||||||||||||||
| USD | 969,640 | THB | 35,004,000 | Standard Chartered Bank | 11/9/15 | — | (14,299 | ) | ||||||||||||||||
| USD | 3,150,487 | TWD | 104,048,000 | Standard Chartered Bank | 12/2/15 | — | (53,015 | ) | ||||||||||||||||
| USD | 1,365,974 | SGD | 1,939,000 | Standard Chartered Bank | 12/14/15 | — | (16,200 | ) | ||||||||||||||||
| USD | 303,396 | SGD | 434,403 | Standard Chartered Bank | 1/6/16 | — | (6,018 | ) | ||||||||||||||||
| USD | 4,369,517 | KRW | 5,080,000,000 | BNP Paribas | 1/13/16 | — | (70,344 | ) | ||||||||||||||||
| USD | 208,612 | NOK | 1,747,958 | Standard Chartered Bank | 1/28/16 | 3,151 | — | |||||||||||||||||
| USD | 4,724,324 | KRW | 5,353,604,000 | Bank of America, N.A. | 1/29/16 | 47,734 | — | |||||||||||||||||
| $ | 72,795 | $ | (212,812 | ) | ||||||||||||||||||||
| Futures Contracts | ||||||||||||||||||||
| Description | Contracts | Position | Expiration Month/Year |
Aggregate Cost | Value | Net Unrealized |
||||||||||||||
| E-mini MSCI Emerging Markets Index | 182 | Long | Dec-15 | $ | 7,309,120 | $ | 7,677,670 | $ | 368,550 | |||||||||||
| SET50 Index | 191 | Short | Dec-15 | (947,598 | ) | (959,489 | ) | (11,891 | ) | |||||||||||
| $ | 356,659 | |||||||||||||||||||
SET: Stock Exchange of Thailand.
| 24 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Portfolio of Investments — continued
Abbreviations:
| ADR | – | American Depositary Receipt | ||
| GDR | – | Global Depositary Receipt | ||
| PCL | – | Public Company Ltd. | ||
| PFC Shares | – | Preference Shares |
| Currency Abbreviations:
| ||||
| EUR | – | Euro | ||
| NOK | – | Norwegian Krone | ||
| KRW | – | South Korean Won | ||
| SGD | – | Singapore Dollar | ||
| THB | – | Thai Baht | ||
| TWD | – | New Taiwan Dollar | ||
| USD | – | United States Dollar | ||
| 25 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Statement of Assets and Liabilities
| Assets | October 31, 2015 | |||
| Unaffiliated investments, at value (identified cost, $121,623,780) |
$ | 107,051,228 | ||
| Affiliated investment, at value (identified cost, $4,194,186) |
4,194,186 | |||
| Cash |
1,300,381 | |||
| Restricted cash* |
685,615 | |||
| Foreign currency, at value (identified cost, $786,953) |
775,755 | |||
| Dividends receivable |
91,124 | |||
| Interest receivable from affiliated investment |
461 | |||
| Receivable for variation margin on open financial futures contracts |
17,359 | |||
| Receivable for open forward foreign currency exchange contracts |
72,795 | |||
| Other assets |
25,591 | |||
| Total assets |
$ | 114,214,495 | ||
| Liabilities | ||||
| Payable for open forward foreign currency exchange contracts |
$ | 212,812 | ||
| Payable to affiliates: |
||||
| Investment adviser fee |
94,600 | |||
| Trustees’ fees |
608 | |||
| Accrued foreign capital gains taxes |
7,158 | |||
| Accrued expenses |
117,345 | |||
| Total liabilities |
$ | 432,523 | ||
| Net Assets applicable to investors’ interest in Portfolio |
$ | 113,781,972 | ||
| Sources of Net Assets | ||||
| Investors’ capital |
$ | 128,208,064 | ||
| Net unrealized depreciation |
(14,426,092 | ) | ||
| Total |
$ | 113,781,972 | ||
| * | Represents restricted cash on deposit at the custodian and the broker for open derivative contracts. |
| 26 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Statement of Operations
| Investment Income | Year Ended October 31, 2015 |
|||
| Dividends (net of foreign taxes, $258,467) |
$ | 3,078,135 | ||
| Interest (net of foreign taxes, $339) |
2,905 | |||
| Interest allocated from affiliated investment |
14,741 | |||
| Expenses allocated from affiliated investment |
(1,478 | ) | ||
| Total investment income |
$ | 3,094,303 | ||
| Expenses | ||||
| Investment adviser fee |
$ | 1,051,329 | ||
| Trustees’ fees and expenses |
6,216 | |||
| Custodian fee |
261,407 | |||
| Legal and accounting services |
50,337 | |||
| Miscellaneous |
23,129 | |||
| Total expenses |
$ | 1,392,418 | ||
| Deduct — |
||||
| Reduction of custodian fee |
$ | 100 | ||
| Total expense reductions |
$ | 100 | ||
| Net expenses |
$ | 1,392,318 | ||
| Net investment income |
$ | 1,701,985 | ||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) — |
||||
| Investment transactions (net of foreign capital gains taxes of $84,182) |
$ | (2,446,293 | ) | |
| Investment transactions allocated from affiliated investment |
44 | |||
| Financial futures contracts |
(1,446,152 | ) | ||
| Swap contracts |
(135,222 | ) | ||
| Foreign currency and forward foreign currency exchange contract transactions |
796,652 | |||
| Net realized loss |
$ | (3,230,971 | ) | |
| Change in unrealized appreciation (depreciation) — |
||||
| Investments (including net decrease in accrued foreign capital gains taxes of $14,795) |
$ | (14,211,540 | ) | |
| Financial futures contracts |
(13,793 | ) | ||
| Swap contracts |
176,162 | |||
| Foreign currency and forward foreign currency exchange contracts |
(151,676 | ) | ||
| Net change in unrealized appreciation (depreciation) |
$ | (14,200,847 | ) | |
| Net realized and unrealized loss |
$ | (17,431,818 | ) | |
| Net decrease in net assets from operations |
$ | (15,729,833 | ) | |
| 27 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Statements of Changes in Net Assets
| Year Ended October 31, | ||||||||
| Increase (Decrease) in Net Assets | 2015 | 2014(1) | ||||||
| From operations — |
||||||||
| Net investment income (loss) |
$ | 1,701,985 | $ | (98,115 | ) | |||
| Net realized gain (loss) from investment transactions, financial futures contracts, swap contracts, and foreign currency and forward foreign currency exchange contract transactions |
(3,230,971 | ) | 881,926 | |||||
| Net change in unrealized appreciation (depreciation) from investments, financial futures contracts, swap contracts, foreign currency and forward foreign currency exchange contracts |
(14,200,847 | ) | (225,245 | ) | ||||
| Net increase (decrease) in net assets from operations |
$ | (15,729,833 | ) | $ | 558,566 | |||
| Capital transactions — |
||||||||
| Contributions |
$ | 133,663,505 | $ | 50,001,000 | ||||
| Withdrawals |
(54,711,266 | ) | — | |||||
| Net increase in net assets from capital transactions |
$ | 78,952,239 | $ | 50,001,000 | ||||
| Net increase in net assets |
$ | 63,222,406 | $ | 50,559,566 | ||||
| Net Assets | ||||||||
| At beginning of year |
$ | 50,559,566 | $ | — | ||||
| At end of year |
$ | 113,781,972 | $ | 50,559,566 | ||||
| (1) | The Portfolio commenced operations on November 1, 2013. |
| 28 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Supplementary Data
| Year Ended October 31, | ||||||||
| Ratios/Supplemental Data | 2015 | 2014(1) | ||||||
| Ratios (as a percentage of average daily net assets): |
||||||||
| Expenses(2) |
1.32 | % | 1.63 | % | ||||
| Net investment income (loss) |
1.61 | % | (0.19 | )% | ||||
| Portfolio Turnover |
27 | % | 112 | % | ||||
| Total Return |
(14.05 | )% | 1.10 | % | ||||
| Net assets, end of year (000’s omitted) |
$ | 113,782 | $ | 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%. |
| 29 | See Notes to Financial Statements. |
Global Macro Capital Opportunities Portfolio
October 31, 2015
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’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2015, Eaton Vance Global Macro Capital Opportunities Fund held a 99.9% interest 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.
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 based on available market quotations provided by a third party pricing service.
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.
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. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.
| 30 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Notes to Financial Statements — continued
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 losses 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, 2015, 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.
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.
| 31 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Notes to Financial Statements — continued
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, 2015, the Portfolio’s investment adviser fee amounted to $1,051,329 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, 2015, 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 $118,867,624 and $23,981,353, respectively, for the year ended October 31, 2015.
4 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2015, as determined on a federal income tax basis, were as follows:
| Aggregate cost |
$ | 126,025,163 | ||
| Gross unrealized appreciation |
$ | 5,904,905 | ||
| Gross unrealized depreciation |
(20,684,654 | ) | ||
| Net unrealized depreciation |
$ | (14,779,749 | ) | |
The net unrealized appreciation (depreciation) on foreign currency transactions and derivative contracts, including foreign capital gains taxes, at October 31, 2015 on a federal income tax basis was $(171,605).
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, 2015 is included in the Portfolio of Investments. At October 31, 2015, 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 to enhance total return, to manage certain investment risks and/or as a substitute for the purchase or sale of securities. During the year ended October 31, 2015, the Portfolio also entered into total return swaps to enhance total return.
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 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, 2015, the fair value of derivatives with credit-related contingent features in a net liability position was $212,812. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $20,000 at October 31, 2015.
| 32 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Notes to Financial Statements — continued
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 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, 2015 was as follows:
| Fair Value | ||||||||||
| Risk | Derivative | Asset Derivative |
Liability Derivative |
|||||||
| Equity Price |
Financial futures contracts |
$ | 368,550 | (1) | $ | (11,891 | )(1) | |||
| Foreign Exchange |
Forward foreign currency exchange contracts |
72,795 | (2) | (212,812 | )(3) | |||||
| Total |
$ | 441,345 | $ | (224,703 | ) | |||||
| Derivatives not subject to master netting or similar agreements |
$ | 368,550 | $ | (11,891 | ) | |||||
| Total Derivatives subject to master netting or similar agreements |
$ | 72,795 | $ | (212,812 | ) | |||||
| (1) | Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts. Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable for variation margin. |
| (2) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts; Net unrealized depreciation. |
| (3) | 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, 2015.
| Counterparty | Derivative Assets Subject to Master Netting Agreement |
Derivatives for Offset |
Non-cash Collateral Received(a) |
Cash Collateral Received(a) |
Net Amount of Derivative Assets(b) |
|||||||||||||||
| Bank of America, N.A. |
$ | 47,734 | $ | — | $ | — | $ | — | $ | 47,734 | ||||||||||
| Standard Chartered Bank |
25,061 | (25,061 | ) | — | — | — | ||||||||||||||
| $ | 72,795 | $ | (25,061 | ) | $ | — | $ | — | $ | 47,734 | ||||||||||
| 33 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
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) |
|||||||||||||||
| BNP Paribas |
$ | (123,280 | ) | $ | — | $ | — | $ | 20,000 | $ | (103,280 | ) | ||||||||
| Standard Chartered Bank |
(89,532 | ) | 25,061 | — | — | (64,471 | ) | |||||||||||||
| $ | (212,812 | ) | $ | 25,061 | $ | — | $ | 20,000 | $ | (167,751 | ) | |||||||||
| (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, 2015 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 |
$ | (1,446,152 | ) | $ | (13,793 | ) | |||
| Equity Price |
Swap contracts | (135,222 | ) | 176,162 | ||||||
| Foreign Exchange |
Forward foreign currency exchange contracts |
1,026,480 | (107,156 | ) | ||||||
| Total |
$ | (554,894 | ) | $ | 55,213 | |||||
| (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, 2015, which are indicative of the volume of these derivative types, were as follows:
| Futures Contracts — Long |
Futures Contracts — Short |
Forward Foreign Currency |
Swap Contracts |
|||||||||||
| $14,592,000 | $ | 733,000 | $ | 39,062,000 | $ | 487,000 | ||||||||
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $625 million unsecured line of credit agreement with a group of banks, which is in effect through September 2, 2016. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.10% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2015.
7 Risks Associated with Foreign Investments
Investing in securities issued by companies 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
| 34 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Notes to Financial Statements — continued
disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker/dealers and issuers than in the United States. The foregoing risks of foreign investing can be more significant in less developed countries characterized as emerging market countries.
8 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At October 31, 2015, 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 |
$ | 1,069,599 | $ | 65,489,092 | $ | 50,089 | $ | 66,608,780 | ||||||||
| Developed Europe |
— | 576,564 | — | 576,564 | ||||||||||||
| Emerging Europe |
— | 13,563,255 | — | 13,563,255 | ||||||||||||
| Latin America |
17,727,379 | — | — | 17,727,379 | ||||||||||||
| Middle East/Africa |
112,365 | 5,575,098 | — | 5,687,463 | ||||||||||||
| North America |
5,088 | — | — | 5,088 | ||||||||||||
| Total Common Stocks |
$ | 18,914,431 | $ | 85,204,009 | ** | $ | 50,089 | $ | 104,168,529 | |||||||
| Investment Funds |
$ | — | $ | 2,881,720 | $ | — | $ | 2,881,720 | ||||||||
| Warrants |
979 | — | — | 979 | ||||||||||||
| Short-Term Investments |
— | 4,194,186 | — | 4,194,186 | ||||||||||||
| Total Investments |
$ | 18,915,410 | $ | 92,279,915 | $ | 50,089 | $ | 111,245,414 | ||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 72,795 | $ | — | $ | 72,795 | ||||||||
| Futures Contracts |
368,550 | — | — | 368,550 | ||||||||||||
| Total |
$ | 19,283,960 | $ | 92,352,710 | $ | 50,089 | $ | 111,686,759 | ||||||||
| Liability Description |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (212,812 | ) | $ | — | $ | (212,812 | ) | ||||||
| Futures Contracts |
— | (11,891 | ) | — | (11,891 | ) | ||||||||||
| Total |
$ | — | $ | (224,703 | ) | $ | — | $ | (224,703 | ) | ||||||
| * | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
| ** | 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. |
| 35 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
Notes to Financial Statements — continued
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended October 31, 2015 is not presented. At October 31, 2015, the value of investments transferred between Level 1 and Level 2 during the year then ended was not significant.
| 36 |
Global Macro Capital Opportunities Portfolio
October 31, 2015
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, 2015, the related statement of operations for the year then ended, and the statements of changes in net assets and the supplementary data for each of the two years in the period 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 audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits 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 audits 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, 2015, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide 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, 2015, the results of its operations for the year then ended, and the changes in its net assets and the supplementary data for each of the two years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 17, 2015
| 37 |
Eaton Vance
Global Macro Capital Opportunities Fund
October 31, 2015
Management and Organization
Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Global Macro Capital Opportunities Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and 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 Trust and the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and 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 Fund’s principal underwriter, 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 174 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 Trust 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 174 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 Trust and 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 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 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 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 | Private investor. Formerly, Consultant (2012-2014). 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. | |||
| 38 |
Eaton Vance
Global Macro Capital Opportunities Fund
October 31, 2015
Management and Organization — continued
| Name and Year of Birth | Position(s) with the Trust Portfolio |
Trustee Since(1) |
Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience | |||
| Noninterested Trustees (continued) | ||||||
| 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). | |||
| Susan J. Sutherland(3) 1957 |
Trustee | 2015 | Private investor. Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Directorships in the Last Five Years. Formerly, Director of Montpelier Re Holdings Ltd. (global provider of customized insurance and reinsurance products) (2013-2015). | |||
| 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) with the Trust and the Portfolio |
Officer Since(4) |
Principal Occupation(s) During Past Five Years | |||
| Payson F. Swaffield 1956 |
President of the Trust and Vice President of the Portfolio | 2003 | Vice President and Chief Income Investment Officer of EVM and BMR. | |||
| Eric A. Stein 1980 |
President of the Portfolio | 2012 | Vice President 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 Mmes. Frost and Sutherland 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 |
| 39 |
Eaton Vance
Global Macro Capital Opportunities Fund
October 31, 2015
Management and Organization — continued
| terminated in 2014); eUnitsTM 2 Year U.S. Market Participation Trust II: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014); 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. Sutherland began serving as a Trustee effective May 1, 2015. |
| (4) | 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 the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
| 40 |
Eaton Vance Funds
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
| • | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| • | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
| • | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| • | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
| 41 |
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| * | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
| 20357 10.31.15 |
| 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 private investor. Previously, he served as a consultant, 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 fiscal years October 31, 2014 and October 31, 2015 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 | 10/31/15 | ||||||
| Audit Fees |
$ | 30,000 | $ | 30,900 | ||||
| Audit-Related Fees(1) |
$ | 0 | $ | 0 | ||||
| Tax Fees(2) |
$ | 22,500 | $ | 25,125 | ||||
| All Other Fees(3) |
$ | 0 | $ | 0 | ||||
|
|
|
|
|
|||||
| Total |
$ | 52,500 | $ | 56,025 | ||||
|
|
|
|
|
|||||
| * | Portfolio 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 years ended October 31, 2014 and October 31, 2015; 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 | 10/31/15 | ||||||
| Registrant |
$ | 22,500 | $ | 25,125 | ||||
| Eaton Vance(1) |
$ | 99,750 | $ | 46,000 | ||||
| * | Portfolio 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, 2015 | |
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, 2015 | |
| By: | /s/ Eric A. Stein | |
| Eric A. Stein | ||
| President | ||
| Date: | December 11, 2015 | |