NPORT-EX 2 NPORT_FH8Y_44482315_0921.htm HTML

Parametric

Commodity Strategy Fund

September 30, 2021

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

 

                                                 
Short-Term Investments — 97.5%  
U.S. Treasury Obligations — 90.6%  
Security   

Principal

Amount

(000’s omitted)

      Value  

U.S. Treasury Bill, 0.00%, 10/7/21

    $ 59,300      $ 59,299,679  

U.S. Treasury Bill, 0.00%, 11/4/21(1)

      46,000        45,996,959  

U.S. Treasury Bill, 0.00%, 11/9/21

      10,000        9,999,445  

U.S. Treasury Bill, 0.00%, 12/2/21

      34,200        34,198,125  

U.S. Treasury Bill, 0.00%, 12/30/21(1)

      62,000        61,994,575  

U.S. Treasury Bill, 0.00%, 1/27/22

      34,000        33,995,514  

U.S. Treasury Bill, 0.00%, 2/24/22

      20,000        19,996,350  

U.S. Treasury Bill, 0.00%, 7/14/22(1)

      118,000        117,939,066  

U.S. Treasury Bill, 0.00%, 8/11/22(1)

      30,000        29,982,338  

U.S. Treasury Inflation-Protected Note, 0.125%, 1/15/22(2)

      8,442        8,503,803  

U.S. Treasury Inflation-Protected Note, 0.125%, 4/15/22(2)

      14,030        14,226,484  

U.S. Treasury Inflation-Protected Note, 0.125%, 7/15/22(2)

      25,401        26,015,115  

U.S. Treasury Note, 0.125%, 5/31/22

      10,000        10,003,066  

U.S. Treasury Note, 0.125%, 6/30/22

      12,000        12,004,198  

U.S. Treasury Note, 0.375%, 3/31/22

      15,000        15,023,811  

U.S. Treasury Note, 1.50%, 1/31/22

      40,000        40,193,169  

U.S. Treasury Note, 1.50%, 8/15/22

      24,000        24,299,182  

U.S. Treasury Note, 1.75%, 2/28/22(1)

      59,750        60,171,365  

U.S. Treasury Note, 1.75%, 3/31/22(1)

      80,000        80,677,006  

U.S. Treasury Note, 1.75%, 4/30/22

      82,000        82,806,391  

U.S. Treasury Note, 1.75%, 5/15/22

      25,000        25,264,458  

U.S. Treasury Note, 1.75%, 5/31/22

      47,000        47,526,654  

U.S. Treasury Note, 1.75%, 7/15/22

      500        506,543  

U.S. Treasury Note, 1.875%, 1/31/22

      50,000        50,303,608  

U.S. Treasury Note, 1.875%, 2/28/22

      28,900        29,117,354  

U.S. Treasury Note, 1.875%, 3/31/22(1)

      29,300        29,563,977  

U.S. Treasury Note, 1.875%, 4/30/22

      20,000        20,211,525  

U.S. Treasury Note, 1.875%, 7/31/22

      500        507,482  

U.S. Treasury Note, 1.875%, 8/31/22

      24,000        24,394,861  

U.S. Treasury Note, 2.00%, 12/31/21

      10,000        10,048,383  

U.S. Treasury Note, 2.125%, 12/31/21

      18,000        18,092,652  

U.S. Treasury Note, 2.125%, 5/15/22(1)

      58,650        59,403,300  

U.S. Treasury Note, 2.25%, 4/15/22

      29,000        29,342,899  

U.S. Treasury Note, 2.375%, 3/15/22

      50,000        50,532,402  

U.S. Treasury Note, 2.50%, 1/15/22

      42,500        42,800,716  
     

 

 

  

Total U.S. Treasury Obligations
(identified cost $1,225,026,895)

 

    $ 1,224,942,455  
     

 

 

  

 

1

 

 

                                                 
Affiliated Fund — 6.9%

 

Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.05%(3)

      93,910,069      $ 93,910,069  
     

 

 

  

Total Affiliated Fund
(identified cost $93,910,069)

 

    $ 93,910,069  
     

 

 

  

Total Short-Term Investments
(identified cost $1,318,936,964)

 

    $ 1,318,852,524  
     

 

 

  

 

                        

Total Investments — 97.5%
(identified cost $1,318,936,964)

    $ 1,318,852,524  
  

 

 

  

Other Assets, Less Liabilities — 2.5%

    $ 33,865,616  
  

 

 

  

Net Assets — 100.0%

    $ 1,352,718,140  
  

 

 

  

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.

 

(1)

Security (or a portion thereof) has been pledged as collateral for open futures contracts.

 

(2)

Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal.

 

(3)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2021.

Futures Contracts

 

                                                                                                                            

Description

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

Commodity Futures

 

Brent Crude Oil

      320       Long        11/30/21      $ 24,809,600      $ 1,969,686  

Cocoa

      880       Long        12/15/21        23,337,600       2,616,986  

Coffee

      663       Long        12/20/21        48,233,250       9,589,691  

Copper

      441       Long        12/29/21        45,081,225       (1,810,416 ) 

Corn

       1,791        Long        12/14/21        48,065,963       524,696  

Cotton No. 2

      507       Long        12/8/21        26,820,300       5,085,046  

Feeder Cattle

      148       Long        1/27/22        11,408,950       (802,910 ) 

Gold

      545       Long        12/29/21           95,756,500         (5,461,996 ) 

Hard Red Winter Wheat

      331       Long        12/14/21        12,110,463       2,275,994  

Lean Hogs

      793       Long        12/14/21        27,088,880       1,104,792  

Live Cattle

      914       Long        12/31/21        45,965,060       (2,892,949 ) 

LME Copper

      178       Long        10/18/21        39,785,225       (1,663,143 ) 

LME Copper

      189       Long        11/15/21        42,228,506       (2,417,723 ) 

LME Copper

      196       Long        12/15/21        43,787,625       (2,430,400 ) 

LME Lead

      363       Long        10/18/21        19,134,638       (1,706,100 ) 

LME Lead

      399       Long        11/15/21        20,952,488       (2,722,788 ) 

LME Lead

      444       Long        12/13/21        23,265,600       (2,220,663 ) 

 

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Description

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

LME Nickel

      379       Long        10/18/21      $ 40,808,067     $ (106,878 ) 

LME Nickel

      392       Long        11/15/21        42,196,056       (3,088,779 ) 

LME Nickel

      431       Long        12/13/21        46,383,789       (4,529,546 ) 

LME Primary Aluminum

      1,406       Long        10/18/21        100,168,713       11,307,713  

LME Primary Aluminum

      1,377       Long        11/15/21        98,343,619       9,974,819  

LME Primary Aluminum

      1,401       Long        12/15/21        100,075,181       4,436,119  

LME Tin

      66       Long        10/18/21        11,556,930       1,105,830  

LME Tin

      68       Long        11/15/21        11,771,140       30,565  

LME Tin

      69       Long        12/13/21        11,771,745       367,425  

LME Zinc

      591       Long        10/18/21        44,018,419       612,453  

LME Zinc

      611       Long        11/15/21        45,588,238       144,565  

LME Zinc

      617       Long        12/13/21        46,074,475       (161,963 ) 

Low Sulphur Gasoil

      755       Long        12/10/21        50,660,500       5,015,784  

Natural Gas

      1,890       Long        12/29/21        114,779,700       53,776,954  

NY Harbor ULSD

      507       Long        11/30/21        49,655,479       3,937,228  

Palladium

      131       Long        12/29/21        24,887,380       (7,057,259 ) 

Platinum

      507       Long        1/27/22        24,396,840       (1,366,638 ) 

RBOB Gasoline

      1,067       Long        11/30/21        96,623,465       4,939,203  

Robusta Coffee

      574       Long        11/24/21        12,203,240       1,946,060  

Silver

      874       Long        12/29/21        96,345,390       (15,088,957 ) 

Soybean

      732       Long        1/14/22        46,317,300       (1,290,524 ) 

Soybean Meal

      691       Long        1/14/22        22,872,100       (794,256 ) 

Soybean Oil

      1,395       Long        1/14/22        49,006,350       (203,547 ) 

Sugar No. 11

      1,044       Long        2/28/22        23,783,155       1,965,380  

Wheat

      689       Long        12/14/21        24,993,475       3,026,626  

White Sugar

      450       Long        11/15/21        11,538,000       128,375  

WTI Crude Oil

      331       Long        11/19/21        24,725,700       1,967,757  

LME Copper

      (178 )      Short        10/18/21        (39,785,225 )      2,320,675  

LME Copper

      (189 )      Short        11/15/21        (42,228,506 )      2,318,794  

LME Lead

      (363 )      Short        10/18/21        (19,134,638 )      2,500,163  

LME Lead

      (399 )      Short        11/15/21        (20,952,488 )      2,137,144  

LME Nickel

      (379 )      Short        10/18/21        (40,808,067 )      2,945,967  

LME Nickel

      (392 )      Short        11/15/21        (42,196,056 )      4,358,844  

LME Primary Aluminum

      (1,406 )      Short        10/18/21        (100,168,713 )      (9,938,663 ) 

LME Primary Aluminum

      (1,377 )      Short        11/15/21        (98,343,619 )      (4,535,494 ) 

LME Primary Aluminum

      (65 )      Short        12/15/21        (4,643,031 )      59,313  

LME Tin

      (66 )      Short        10/18/21        (11,556,930 )      (22,110 ) 

LME Tin

      (68 )      Short        11/15/21        (11,771,140 )      (503,540 ) 

LME Zinc

      (591 )      Short        10/18/21        (44,018,419 )      (99,731 ) 

LME Zinc

      (611 )      Short        11/15/21        (45,588,238 )      171,691  
            

 

 

  
  $ 71,745,365  
            

 

 

  

Abbreviations:

 

LME

   -   London Metal Exchange

RBOB

   -   Reformulated Blendstock for Oxygenate Blending

ULSD

   -   Ultra-Low Sulfur Diesel

WTI

   -   West Texas Intermediate

 

3

Basis for Consolidation

The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in PSC Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at September 30, 2021 were $264,258,873 or 19.5% of the Fund’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.

The Fund is subject to commodity risk in the normal course of pursuing its investment objective. Commodity risk is the risk that the value of a commodity or commodity index will fluctuate based on increases or decreases in the commodities market and factors specific to a particular industry or commodity. The Fund invests primarily in commodities-linked derivative investments, including commodity futures contracts that provide exposure to the investment returns of the commodities markets, without investing directly in physical commodities.

At September 30, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

At September 30, 2021, the value of the Fund’s investment in affiliated funds was $93,910,069, which represents 6.9% of the Fund’s consolidated net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended September 30, 2021 were as follows:

 

                                                                                                                                                                                                       

Name of

affiliated fund

   Value,
beginning of
period		     Purchases     Sales
proceeds		     Net
realized
gain (loss)		     Change in
unrealized
appreciation
(depreciation)		     Value, end of
period		     Dividend
income		     Units, end
of period		  
                                                 

Short-Term Investments

 

Eaton Vance Cash Reserves Fund, LLC

   $ 77,222,587     $ 1,178,992,303     $ (1,162,305,384 )    $ 563     $ —     $ 93,910,069     $ 29,533       93,910,069  

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 September 30, 2021, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Short-Term Investments -

            

U.S. Treasury Obligations

    $ —      $     1,224,942,455      $ —      $     1,224,942,455  

Affiliated Fund

      —        93,910,069        —        93,910,069  

Total Investments

    $ —      $ 1,318,852,524      $ —      $ 1,318,852,524  

Futures Contracts

    $     144,662,338      $ —      $ —      $ 144,662,338  

Total

    $ 144,662,338      $ 1,318,852,524      $ —      $ 1,463,514,862  
Liability Description                          

Futures Contracts

    $ (72,916,973 )     $ —      $ —      $ (72,916,973 ) 

Total

    $ (72,916,973 )     $ —      $ —      $ (72,916,973 ) 

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

 

4